Form N-Q MFS SERIES TRUST XV For: Jul 31

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-4253

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: July 31, 2018

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ITEM 1.

SCHEDULE OF INVESTMENTS.

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Quarterly Report

July 31, 2018

 

 

MFS® Commodity Strategy Fund

 

 

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PORTFOLIO OF INVESTMENTS

7/31/18 (unaudited)

The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.

 

Issuer		Shares/Par				Value ($)
Bonds - 75.0%
Asset-Backed & Securitized - 19.9%
A Voce CLO Ltd., 2014-1A, “A2R”, FLR, 3.889% (LIBOR-3mo. + 1.55%), 7/15/2026 (n)		$	1,167,000			$	1,165,816
A Voce CLO Ltd., 2014-1A, “BR”, FLR, 4.489% (LIBOR-3mo. + 2.15%), 7/15/2026 (n)			1,518,000				1,514,934
AIMCO Properties CLO LP, 2014-AA, “B1R”, FLR, 3.947% (LIBOR-3mo. + 1.6%), 7/20/2026 (n)			1,183,000				1,183,241
AIMCO Properties CLO LP, 2014-AA, “B2R”, 3.49%, 7/20/2026 (n)			376,000				375,573
ALM Loan Funding CLO, 2015-12A, “A2A2”, FLR, 3.689% (LIBOR-3mo. + 1.35%), 4/16/2027 (n)			2,726,878				2,708,119
ALM Loan Funding CLO, 2015-16A, “BR2”, FLR, 4.239% (LIBOR-3mo. + 1.9%), 7/15/2027 (n)			1,497,569				1,494,547
AmeriCredit Automobile Receivables Trust, 2017-2, “C”, 2.97%, 3/20/2023			1,265,000				1,253,746
Ares CLO Ltd., 2013-3A, “B1R”, FLR, 3.836% (LIBOR-3mo. + 1.5%), 10/17/2024 (n)			1,445,000				1,443,535
ARI Fleet Lease Trust, 2016-A, “A2”, 1.82%, 7/15/2024 (n)			145,155				144,988
Atrium CDO Corp., 2010-A, “B1R”, FLR, 3.789% (LIBOR-3mo. + 1.45%), 7/16/2025 (n)			1,778,000				1,776,378
Atrium CDO Corp., 2011-A, “BR”, FLR, 3.847% (LIBOR-3mo. + 1.5%), 10/23/2025 (n)			1,167,000				1,164,512
Avery Point CLO Ltd., 2014-1A, “CR”, FLR, 4.685% (LIBOR-3mo. + 2.35%), 4/25/2026 (n)			1,150,000				1,149,948
Babson CLO Ltd., 2013-IIA, “BR”, FLR, 3.836% (LIBOR-3mo. + 1.5%), 10/17/2026 (n)			1,747,000				1,745,229
Ballyrock Ltd., 2018-1A, “A2”, FLR, 3.957% (LIBOR-3mo. + 1.6%), 4/20/2031 (n)			1,368,365				1,366,685
Ballyrock Ltd., 2018-1A, “B”, FLR, 4.257% (LIBOR-3mo. + 1.9%), 4/20/2031 (n)			579,877				573,740
Bancorp Commercial Mortgage Trust, 2018-CR3, “B”, FLR, 3.621% (LIBOR-1mo. + 1.55%), 1/15/2033 (n)			1,177,240				1,179,471
Business Jet Securities LLC, 2018-1, “A”, 4.335%, 2/15/2033 (z)			1,678,973				1,682,286
Capital One Multi-Asset Execution Trust, 2016-A4, “A4”, 1.33%, 6/15/2022			1,250,000				1,231,184
CD Commercial Mortgage Trust, 2017-CD4, “XA”, 1.322%, 5/10/2050 (i)			12,088,999				997,512
Chesapeake Funding II LLC, 2016-1A, “A2”, FLR, 3.221% (LIBOR-1mo. + 1.15%), 3/15/2028 (n)			410,191				411,542
Chesapeake Funding II LLC, 2017-2A, “B”, 2.81%, 5/15/2029 (n)			832,000				824,281
Chesapeake Funding II LLC, 2017-2A, “C”, 3.01%, 5/15/2029 (n)			372,000				368,395
Chesapeake Funding II LLC, 2017-3A, “B”, 2.57%, 8/15/2029 (n)			536,000				527,355
Chesapeake Funding II LLC, 2017-4A, “B”, 2.59%, 11/15/2029 (n)			578,000				563,548
Chesapeake Funding II LLC, 2017-4A, “C”, 2.76%, 11/15/2029 (n)			709,000				692,972
CNH Equipment Trust, 2016-C, “A4”, 1.76%, 9/15/2023			1,855,638				1,803,327
Colony Starwood Homes, 2016-2A, “A”, FLR, 3.321% (LIBOR-1mo. + 1.25%), 12/17/2033 (n)			1,458,105				1,463,747
CPS Auto Trust, 2016-D, “B”, 2.11%, 3/15/2021 (n)			1,414,000				1,407,636
CPS Auto Trust, 2017-C, “C”, 2.86%, 6/15/2023 (n)			820,000				811,413
Credit Acceptance Auto Loan Trust, 2016-3A, “A”, 2.15%, 4/15/2024 (n)			1,493,000				1,483,552
Credit Acceptance Auto Loan Trust, 2017-2A, “B”, 3.02%, 4/15/2026 (n)			1,822,000				1,786,093
Cutwater Ltd., 2014-1A, “A2R”, FLR, 4.039% (LIBOR-3mo. + 1.7%), 7/15/2026 (n)			2,250,000				2,247,714
Dell Equipment Finance Trust, 2017-2, “B”, 2.47%, 10/24/2022 (n)			510,000				502,308
DLL Securitization Trust, 2017-A, “A3”, 2.14%, 12/15/2021 (n)			555,000				546,453
Drive Auto Receivables Trust, 2017-1, “B”, 2.36%, 3/15/2021			481,979				481,426
DT Auto Owner Trust, 2017-2A, “C”, 3.03%, 1/17/2023 (n)			1,389,000				1,385,453
DT Auto Owner Trust, 2017-3A, “C”, 3.01%, 5/15/2023 (n)			901,000				897,056
DT Auto Owner Trust, 2018-2A, “C”, 3.67%, 3/15/2024 (n)			576,000				575,962
Enterprise Fleet Financing LLC, 1.74%, 2/22/2022 (n)			383,692				381,810
Exeter Automobile Receivables Trust, 2016-3A, “A”, 1.84%, 11/16/2020 (n)			230,440				230,052
Exeter Automobile Receivables Trust, 2017-1A, “A”, 1.96%, 3/15/2021 (n)			129,676				129,412
Exeter Automobile Receivables Trust, 2018-1A, “B”, 2.75%,1/23/18 4/15/2022 (n)			1,385,000				1,372,519
Exeter Automobile Receivables Trust, 2018-2A, “C”, 3.69%, 3/15/2023 (n)			1,825,000				1,819,163
Figueroa CLO Ltd., 2014-1A, “BR”, FLR, 3.839% (LIBOR-3mo. + 1.5%), 1/15/2027 (n)			2,050,000				2,050,000
Flagship Credit Auto Trust, 2016-1, “A”, 2.77%, 12/15/2020 (n)			192,520				192,544
Ford Credit Auto Owner Trust, 2014-1,“A”, 2.26%, 11/15/2025 (n)			406,000				404,335
Ford Credit Auto Owner Trust, 2014-2,“A”, 2.31%, 4/15/2026 (n)			1,602,000				1,589,003
GMF Floorplan Owner Revolving Trust, 2017-A1, “A”, 2.22%, 1/18/2022 (n)			1,010,000				998,369
Granite Point Mortgage Trust Inc., FLR, 2.986% (LIBOR-1mo. + 0.9%), 11/21/2035 (n)			1,826,000				1,822,635
GS Mortgage Securities Trust, 2010-C1, “A2”, 4.592%, 8/10/2043 (n)			2,104,000				2,151,248
GS Mortgage Securities Trust, 2017-GS6, “XA”, 1.195%, 5/10/2050 (i)			10,994,670				823,193
GS Mortgage Securities Trust, 2017-GS7, “XA”, 1.285%, 8/10/2050 (i)			11,445,203				884,405

 

1

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Asset-Backed & Securitized - continued
Hertz Fleet Lease Funding LP, 2016-1, “A2”, 1.96%, 4/10/2030 (n)		$	475,166			$	473,388
Hertz Fleet Lease Funding LP, 2018-1, “B”, 3.64%, 5/10/2032 (z)			862,000				862,051
Hertz Fleet Lease Funding LP, 2018-1, “C”, 3.77%, 5/10/2032 (n)			495,000				494,898
Invitation Homes Trust, 2017-SFR2, “A”, FLR, 2.923% (LIBOR-1mo. + 1.00%), 12/17/2036 (n)			1,741,180				1,740,158
Invitation Homes Trust, 2018-SFR1, “B”, 3.023% (LIBOR-1mo. + 0.95%) 3/17/2037 (n)			953,000				947,378
JPMorgan Chase Commercial Mortgage Securities Corp., 1.089%, 9/15/2050 (i)			23,565,098				1,641,316
JPMorgan Chase Commercial Mortgage Securities Corp., 2011-C3, “A4”, 4.717%, 2/15/2046 (n)			2,011,847				2,070,233
LoanCore Ltd., 2018-CRE1, “AS”, FLR, 3.571% (LIBOR-1mo. + 1.5%), 5/15/2028 (n)			1,731,000				1,732,566
LoanCore Ltd., 2018-CRE1, “C”, FLR, 4.621% (LIBOR-1mo. + 2.55%), 5/15/2028 (z)			577,000				578,058
Loomis, Sayles & Co., CLO, “A2”, FLR, 3.739% (LIBOR-3mo. + 1.4%), 4/15/2028 (n)			1,445,525				1,432,210
Loomis, Sayles & Co., CLO, 2015-2A, “A1R”, FLR, 3.239% (LIBOR-3mo. + 0.9%), 4/15/2028 (n)			1,283,932				1,281,294
Madison Park Funding XIII Ltd., 2014-13A, “BR2”, FLR, 3.841% (LIBOR-3mo. + 1.5%), 4/19/2030 (n)			2,174,539				2,160,755
Madison Park Funding XIV Ltd., 2014-14A, “C1R”, FLR, 4.397% (LIBOR-3mo. + 2.05%), 7/20/2026 (n)			1,634,000				1,632,508
Magnetite CLO Ltd., 2015-16A, “BR”, FLR, 3.532% (LIBOR-3mo. + 1.20%) 1/18/2028 (n)			2,590,000				2,548,829
Magnetite XI Ltd., 2014-11A, “BR”, FLR, 4.432% (LIBOR-3mo. + 2.1%), 1/18/2027 (n)			805,000				803,376
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C33, “XA”, 1.441%, 5/15/2050 (i)			11,999,413				980,443
Morgan Stanley Capital I Trust, 2017-H1, “XA”, 1.453%, 6/15/2050 (i)			4,703,225				408,678
Mountain Hawk CLO Ltd., 2013-2A, “BR”, FLR, 3.947% (LIBOR-3mo. + 1.6%), 7/20/2024 (z)			1,809,670				1,809,670
Mountain Hawk CLO Ltd., 2014-3A, “BR”, FLR, 4.132% (LIBOR-3mo. + 1.8%), 4/18/2025 (n)			2,325,000				2,322,638
Nationstar HECM Loan Trust, 2018-1A, “M1”, 3.238%, 2/25/2028 (n)			1,027,000				1,022,586
Nationstar HECM Loan Trust, 2018-2A, “M1”, 3.551%, 7/25/2028 (z)			1,072,000				1,071,998
Navient Student Loan Trust, 2016-3A, “A1”, FLR, 2.663% (LIBOR-1mo. + 0.6%), 6/25/2065 (n)			38,539				38,553
Neuberger Berman CLO Ltd., 2015-20A, “BR”, FLR, 3.589% (LIBOR-3mo. + 1.25%) 1/15/2028 (z)			2,729,000				2,697,500
Neuberger Berman CLO Ltd., 2016-21A, “CR”, FLR, 3.947% (LIBOR-3mo. + 1.6%), 4/20/2027 (n)			1,515,565				1,514,454
NextGear Floorplan Master Owner Trust, 2017-1A, “A2”, 2.54%, 4/18/2022 (n)			938,000				926,811
NextGear Floorplan Master Owner Trust, 2017-2A, “B”, 3.02%, 10/17/2022 (n)			766,000				757,155
Oaktree CLO Ltd., 2014-2A, “BR”, FLR, 4.897% (LIBOR-3mo. + 2.55%), 10/20/2026 (n)			1,149,000				1,149,723
OCP CLO Ltd., 2015-10A, “A2AR”, FLR, 3.634% (LIBOR-3mo. + 1.30%) 10/26/2027 (z)			2,211,957				2,189,167
OneMain Financial Issuance Trust, 2017-1A, “A1”, 2.37%, 9/14/2032 (n)			1,525,000				1,494,140
Oscar U.S. Funding Trust, 2016-2A, “A”, 2.31%, 11/15/2019 (n)			64,200				64,183
Oscar U.S. Funding Trust, 2017-1A, “A3”, 2.82%, 6/10/2021 (n)			1,110,000				1,104,703
Oscar U.S. Funding Trust, 2017-2A, “A2B”, FLR, 2.736% (LIBOR-1mo. + 0.65%), 11/10/2020 (n)			674,955				675,835
Oscar U.S. Funding Trust, 2018-2A, “A3”, 3.39%, 9/12/2022 (z)			630,000				629,085
PFS Financing Corp., 2017-C, “A”, FLR, 2.541% (LIBOR-1mo. + 0.47%), 10/15/2021 (n)			670,000				671,268
Santander Drive Auto Receivable Trust, 2018-1, “B”, 2.63%, 7/15/2022			1,246,000				1,235,314
Santander Drive Auto Receivables Trust, 2017-2, “C”, 2.79%, 8/15/2022			769,000				764,602
Santander Retail Auto Lease Trust, 2017-A, “B”, 2.68%, 1/20/2022 (n)			866,000				854,948
Shackelton CLO Ltd., 2013-4A, “B”, FLR, 4.237% (LIBOR-3mo. + 1.9%), 4/13/2031 (n)			722,762				722,151
Sierra Receivables Funding Co. LLC, 2015-1A, “A”, 2.4%, 3/22/2032 (n)			260,782				258,739
Silver Spring CLO Ltd., FLR, 5.089% (LIBOR-3mo. + 2.75%), 10/15/2026 (n)			973,000				971,932
SPS Servicer Advance Receivables Trust, 2016-T1, “AT1”, 2.53%, 11/16/2048 (n)			1,880,000				1,886,168
Starwood Waypoint Homes Trust, 2017-1, “B”, FLR, 3.241% (LIBOR-1mo. + 1.17%), 1/17/2035 (n)			1,514,489				1,515,740
Thacher Park CLO Ltd. 2014-1A. “CR”, FLR, 4.547% (LIBOR-3mo. + 2.2%), 10/20/2026 (n)			1,143,000				1,144,631
TICP CLO Ltd., 2018-3R, “B”, FLR, 3.708% (LIBOR-3mo. + 1.35%), 4/20/2028 (n)			681,356				677,987
TICP CLO Ltd., 2018-3R, “C”, FLR, 4.158% (LIBOR-3mo. + 1.8%), 4/20/2028 (n)			1,195,706				1,194,966
Tricon American Homes 2015-SFR1, Trust “1A”, 2.589%, 11/17/2033 (n)			1,027,675				993,380
UBS Commercial Mortgage Trust, 2017-C1, “XA”, 1.022%, 11/15/2050 (i)			7,944,919				528,968
Verizon Owner Trust, 2016-1A, “A”, 1.42%, 1/20/2021 (n)			1,880,000				1,870,548
Verizon Owner Trust, 2017-3a, “B”, 2.38%, 4/20/2022 (n)			769,000				753,825
Veros Auto Receivables Trust, 2017-1, “A”, 2.84%, 4/17/2023 (n)			335,179				333,779
Volvo Financial Equipment Master Owner Trust, 2017-A, “A”, FLR, 2.571% (LIBOR-1mo. + 0.50%), 11/15/2022 (n)			2,219,000				2,222,107
West CLO Ltd., 2013-1A, “A2BR”, 3.393%, 11/07/2025 (n)			1,174,000				1,167,532
WF-RBS Commercial Mortgage Trust, 2011-C3, “A4”, 4.375%, 3/15/2044 (n)			2,276,538				2,329,033
						$	121,134,323

 

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Automotive - 1.0%
BMW US Capital LLC, 3.1%, 4/12/2021 (n)		$	1,639,000			$	1,628,616
Hyundai Capital America, 2.4%, 10/30/2018 (n)			640,000				639,586
Hyundai Capital America, 3.75%, 7/08/2021 (n)			1,082,000				1,077,131
Toyota Motor Credit Corp., 1.7%, 2/19/2019			1,190,000				1,183,965
Toyota Motor Credit Corp., FLR, 2.726% (LIBOR-3mo. + 0.39%), 1/17/2019			1,620,000				1,622,608
						$	6,151,906
Broadcasting - 0.1%
SES Global Americas Holdings GP, 2.5%, 3/25/2019 (n)		$	371,000			$	369,572
Brokerage & Asset Managers - 0.5%
E*TRADE Financial Corp., 2.95%, 8/24/2022		$	2,000,000			$	1,936,491
Intercontinental Exchange, Inc., 2.75%, 12/01/2020			1,402,000				1,389,522
						$	3,326,013
Building - 0.2%
Stanley Black & Decker, Inc., 1.622%, 11/17/2018		$	1,060,000			$	1,056,713
Cable TV - 0.4%
Time Warner Cable, Inc., 5%, 2/01/2020		$	2,308,000			$	2,354,632
Chemicals - 0.5%
Dow Chemical Co., 8.55%, 5/15/2019		$	2,000,000			$	2,086,398
LyondellBasell Industries N.V., 5%, 4/15/2019			760,000				767,314
						$	2,853,712
Computer Software - 0.2%
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 3.48%, 6/01/2019 (n)		$	990,000			$	993,235
Conglomerates - 0.1%
Roper Technologies, Inc., 2.8%, 12/15/2021		$	508,000			$	496,767
Consumer Products - 1.0%
Newell Brands, Inc., 2.6%, 3/29/2019		$	99,000			$	98,545
Reckitt Benckiser Treasury Services PLC, 2.125%, 9/21/2018 (n)			2,890,000				2,888,830
Reckitt Benckiser Treasury Services PLC, 2.375%, 6/24/2022 (n)			3,041,000				2,907,047
						$	5,894,422
Consumer Services - 0.4%
Alibaba Group Holding Ltd., 2.8%, 6/06/2023		$	1,506,000			$	1,452,708
QVC, Inc., 5.125%, 7/02/2022			1,156,000				1,175,977
						$	2,628,685
Electrical Equipment - 0.2%
Molex Electronic Technologies LLC, 2.878%, 4/15/2020 (n)		$	1,408,000			$	1,393,490
Electronics - 0.5%
Broadcom Corp./Broadcom Cayman Finance Ltd., 3%, 1/15/2022		$	1,861,000			$	1,805,684
Microchip Technology, Inc., 3.922%, 6/01/2021 (n)			1,058,000				1,060,102
Tyco Electronics Group S.A., 2.375%, 12/17/2018			281,000				280,852
						$	3,146,638
Emerging Market Quasi-Sovereign - 0.2%
Corporacion Financiera de Desarrollo S.A., 3.25%, 7/15/2019 (n)		$	1,170,000			$	1,168,655

 

3

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Energy - Integrated - 0.5%
BP Capital Markets PLC, 2.521%, 1/15/2020		$	806,000			$	800,564
Shell International Finance B.V., 1.375%, 5/10/2019			2,500,000				2,478,535
						$	3,279,099
Entertainment - 0.1%
Royal Caribbean Cruises Ltd., 2.65%, 11/28/2020		$	836,000			$	820,355
Food & Beverages - 0.8%
Anheuser-Busch InBev Finance, Inc., 2.65%, 2/01/2021		$	1,465,000			$	1,445,843
Diageo Capital PLC, 3%, 5/18/2020			967,000				966,997
General Mills, Inc., 3.2%, 4/16/2021			546,000				543,504
Kraft Heinz Foods Co., 6.125%, 8/23/2018			1,560,000				1,563,007
Pernod Ricard S.A., 5.75%, 4/07/2021 (n)			480,000				506,409
Wm. Wrigley Jr. Co., 2.4%, 10/21/2018 (n)			96,000				96,003
						$	5,121,763
Insurance - 0.7%
American International Group, Inc., 2.3%, 7/16/2019		$	1,182,000			$	1,176,894
American International Group, Inc., 3.3%, 3/01/2021			1,138,000				1,135,801
Metropolitan Life Global Funding I, 2%, 4/14/2020 (n)			2,200,000				2,159,649
						$	4,472,344
Insurance - Health - 0.3%
UnitedHealth Group, Inc., 1.95%, 10/15/2020		$	1,775,000			$	1,734,038
International Market Quasi-Sovereign - 1.8%
Caisse d’Amortissement de la Dette Sociale, 1.875%, 1/13/2020 (n)		$	1,230,000			$	1,213,328
CPPIB Capital, Inc., 1.25%, 9/20/2019 (n)			1,980,000				1,946,342
Dexia Credit Local S.A., 1.875%, 9/15/2021 (n)			2,010,000				1,932,398
Dexia Credit Local S.A., 2.25%, 1/30/2019 (n)			590,000				588,632
Dexia Credit Local S.A., 2.25%, 2/18/2020 (n)			580,000				573,597
Electricite de France, 2.15%, 1/22/2019 (n)			1,200,000				1,196,232
Kommunalbanken A.S., 1.375%, 10/26/2020 (n)			720,000				696,285
Swedish Export Credit Corp., 1.125%, 8/28/2019			2,700,000				2,654,750
						$	10,801,564
International Market Sovereign - 0.4%
Republic of Finland, 1%, 4/23/2019 (n)		$	2,300,000			$	2,273,319
Internet - 0.2%
Baidu, Inc., 2.75%, 6/09/2019		$	539,000			$	536,570
Baidu, Inc., 3.875%, 9/29/2023			875,000				867,043
						$	1,403,613
Local Authorities - 0.4%
Kommuninvest i Sverige AB, 1.125%, 9/17/2019 (n)		$	2,390,000			$	2,348,328
Major Banks - 5.7%
ABN AMRO Bank N.V., 2.65%, 1/19/2021 (n)		$	1,435,000			$	1,407,583
Barclays PLC, 3.25%, 1/12/2021			4,050,000				3,994,232
BNP Paribas, 2.7%, 8/20/2018			1,090,000				1,090,262
Commonwealth Bank of Australia, 1.75%, 11/02/2018			1,000,000				997,578
Commonwealth Bank of Australia, 2.3%, 9/06/2019			1,725,000				1,714,047
Credit Agricole, “A”, FLR, 3.761% (LIBOR-3mo. + 1.43%), 1/10/2022 (n)			750,000				761,725
Credit Suisse Group AG, “A”, 3.574%, 1/09/2023 (n)			2,060,000				2,028,861
Credit Suisse Group Fund Guernsey Ltd., 3.8%, 9/15/2022			1,764,000				1,755,515
DNB Bank A.S.A., 2.125%, 10/02/2020 (n)			1,910,000				1,859,137

 

4

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Major Banks - continued
HSBC Holdings PLC, 3.262% to 3/13/2022, FLR to 3/13/2023		$	1,161,000			$	1,141,254
HSBC Holdings PLC, 3.033% to 3/13/2022, FLR to 11/22/2023			957,000				923,100
ING Bank N.V., 2.3%, 3/22/2019 (n)			500,000				498,387
Mitsubishi UFJ Financial Group, Inc., 3.535%, 7/26/2021			1,593,000				1,595,501
Mitsubishi UFJ Financial Group, Inc., 2.95%, 3/01/2021			449,000				442,760
Mitsubishi UFJ Financial Group, Inc., 2.998%, 2/22/2022			868,000				850,637
National Australia Bank Ltd., 1.375%, 7/12/2019			1,100,000				1,086,641
PNC Bank N.A., 2.25%, 7/02/2019			1,140,000				1,135,755
Skandinaviska Enskilda Banken AB, 2.45%, 5/27/2020 (n)			2,200,000				2,167,713
Sumitomo Mitsui Financial Group, 3.102%, 1/17/2023			1,108,000				1,080,010
Svenska Handelsbanken AB, 2.25%, 6/17/2019			1,725,000				1,719,163
Toronto-Dominion Bank, 1.45%, 9/06/2018			980,000				979,139
UBS Group Funding (Jersey) Ltd., 3%, 4/15/2021 (n)			3,100,000				3,061,775
UBS Group Funding (Switzerland) AG, 3.491%, 5/23/2023 (n)			2,337,000				2,300,802
						$	34,591,577
Medical & Health Technology & Services - 0.8%
Becton, Dickinson and Co., 2.675%, 12/15/2019		$	1,750,000			$	1,738,843
Becton, Dickinson and Co., 2.404%, 6/05/2020			796,000				782,700
Becton, Dickinson and Co., 2.894%, 6/06/2022			948,000				920,476
Laboratory Corp. of America Holdings, 2.625%, 2/01/2020			1,450,000				1,437,275
						$	4,879,294
Medical Equipment - 0.6%
Abbott Laboratories, 2.35%, 11/22/2019		$	1,034,000			$	1,027,674
Abbott Laboratories, 2%, 3/15/2020			681,000				670,175
Zimmer Biomet Holdings, Inc., 2.7%, 4/01/2020			1,894,000				1,877,368
Zimmer Biomet Holdings, Inc., FLR, 3.075% (LIBOR-3mo. + 0.75%), 3/19/2021			356,000				356,467
						$	3,931,684
Metals & Mining - 0.2%
Glencore Finance (Canada), 4.95%, 11/15/2021 (n)		$	729,000			$	746,933
Glencore Funding LLC, 3%, 10/27/2022 (n)			610,000				580,809
						$	1,327,742
Midstream - 1.0%
Andeavor Logistics LP/Tesoro Logistics Finance Corp., 3.5%, 12/01/2022		$	1,661,000			$	1,632,311
EL Paso LLC, 6.5%, 9/15/2020			1,874,000				1,988,445
EnLink Midstream Partners LP, 2.7%, 4/01/2019			430,000				428,431
Enterprise Products Operating LP, 6.5%, 1/31/2019			930,000				946,551
MPLX LP, 3.375%, 3/15/2023			471,000				461,267
ONEOK Partners LP, 3.2%, 9/15/2018			790,000				790,000
						$	6,247,005
Mortgage-Backed - 0.6%
Fannie Mae, 4.5%, 4/01/2024		$	292,200			$	301,944
Fannie Mae, 4%, 3/01/2025			34,143				35,085
Fannie Mae, 4.5%, 5/01/2025			107,750				111,197
Fannie Mae, 3%, 12/01/2031			684,997				679,408
Fannie Mae, 2%, 5/25/2044			2,059,202				1,957,665
Freddie Mac, 0.882%, 4/25/2024 (i)			128,476				5,291
Freddie Mac, 4%, 7/01/2025			248,890				255,681
						$	3,346,271
Municipals - 0.4%
New Jersey Economic Development Authority State Pension Funding Rev., Capital Appreciation, “B”, 0%, 2/15/2023		$	3,058,000			$	2,573,032

 

5

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Network & Telecom - 1.1%
AT&T, Inc., 2.3%, 3/11/2019		$	1,300,000			$	1,297,266
AT&T, Inc., 2.45%, 6/30/2020			2,480,000				2,447,338
AT&T, Inc., FLR, 3.229% (LIBOR-3mo. + 0.91%), 11/27/2018			1,570,000				1,573,839
British Telecommunications PLC, 2.35%, 2/14/2019			1,090,000				1,087,136
						$	6,405,579
Oils - 0.1%
Phillips 66, FLR, 2.919% (LIBOR-3mo. + 0.60%), 2/26/2021		$	839,000			$	840,351
Other Banks & Diversified Financials - 5.3%
Banque Federative du Credit Mutuel, 2.75%, 1/22/2019 (n)		$	400,000			$	399,898
Banque Federative du Credit Mutuel, 2%, 4/12/2019 (n)			1,590,000				1,580,659
Banque Federative du Credit Mutuel, 2.2%, 7/20/2020 (n)			1,854,000				1,811,140
BPCE S.A., 2.5%, 7/15/2019			1,234,000				1,226,465
Branch Banking & Trust Co., 1.45%, 5/10/2019			1,570,000				1,555,333
Capital One Financial Corp., 2.5%, 5/12/2020			1,177,000				1,161,466
Capital One Financial Corp., 2.4%, 10/30/2020			590,000				575,932
Capital One Financial Corp., 3.2%, 1/30/2023			1,498,000				1,455,299
Citizens Bank N.A., 2.3%, 12/03/2018			1,400,000				1,399,173
Citizens Bank N.A., 2.25%, 3/02/2020			925,000				909,666
Citizens Bank N.A., 2.55%, 5/13/2021			310,000				301,736
Compass Bank, 2.875%, 6/29/2022			2,837,000				2,733,059
Compass Bank, 3.5%, 6/11/2021			1,498,000				1,493,085
Discover Bank, 3.1%, 6/04/2020			1,190,000				1,184,701
Fifth Third Bancorp, 2.3%, 3/01/2019			364,000				363,341
Fifth Third Bancorp, 2.3%, 3/15/2019			1,040,000				1,038,108
First Republic Bank, 2.375%, 6/17/2019			278,000				277,365
Groupe BPCE S.A., 2.5%, 12/10/2018			920,000				919,659
Intesa Sanpaolo S.p.A., FLR, 2.966% (LIBOR-3mo. + 0.63%) 7/17/2019			3,136,000				3,137,466
Lloyds Bank PLC, 2.3%, 11/27/2018			630,000				629,583
National Bank of Canada, FLR, 3.175% (LIBOR-3mo. + 0.84%), 12/14/2018			3,200,000				3,208,512
Santander UK Group Holdings PLC, 2.875%, 8/05/2021			1,390,000				1,357,371
Santander UK PLC, 3.05%, 8/23/2018			439,000				439,214
U.S. Bank NA Cincinnati, 2.05%, 10/23/2020			2,170,000				2,119,583
UniCredito Italiano S.p.A., 3.75%, 4/12/2022 (n)			1,015,000				974,888
						$	32,252,702
Pharmaceuticals - 2.0%
Actavis Funding SCS, 3%, 3/12/2020		$	1,058,000			$	1,053,659
Actavis Funding SCS, 3.45%, 3/15/2022			735,000				726,690
Amgen, Inc., 2.2%, 5/11/2020			2,350,000				2,310,674
Bayer U.S. Finance II LLC, 3.5%, 6/25/2021 (n)			1,166,000				1,168,564
Celgene Corp., 2.875%, 8/15/2020			1,912,000				1,897,170
Celgene Corp., 2.75%, 2/15/2023			1,297,000				1,243,027
Gilead Sciences, Inc., 1.85%, 9/04/2018			1,310,000				1,309,358
Shire Acquisitions Investments Ireland Designated Activity Co., 1.9%, 9/23/2019			2,740,000				2,703,023
						$	12,412,165
Printing & Publishing - 0.2%
Moody’s Corp., 3.25%, 6/07/2021		$	1,266,000			$	1,260,999
Retailers - 0.3%
Alimentation Couche-Tard, Inc., 2.35%, 12/13/2019 (n)		$	1,786,000			$	1,764,151
Supranational - 0.2%
Corporacion Andina de Fomento, 2%, 5/10/2019		$	1,180,000			$	1,171,103

 

6

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Bonds - continued
Telecommunications - Wireless - 0.8%
American Tower Corp., REIT, 2.8%, 6/01/2020		$	573,000			$	567,476
American Tower Corp., REIT, 3%, 6/15/2023			1,462,000				1,403,152
Crown Castle International Corp., 3.4%, 2/15/2021			610,000				608,861
Crown Castle International Corp., 3.15%, 7/15/2023			755,000				724,855
SBA Tower Trust, 2.898%, 10/15/2044 (n)			878,000				872,070
SBA Tower Trust, 2.877%, 7/10/2046 (n)			660,000				645,202
						$	4,821,616
Tobacco - 0.9%
BAT Capital Corp., 2.297%, 8/14/2020 (n)		$	2,011,000			$	1,972,482
BAT Capital Corp., 2.764%, 8/15/2022 (n)			1,250,000				1,207,423
Imperial Tobacco Finance PLC, 2.95%, 7/21/2020 (n)			2,266,000				2,242,401
						$	5,422,306
Transportation - Services - 0.4%
TTX Co., 2.6%, 6/15/2020 (n)		$	2,400,000			$	2,362,401
U.S. Government Agencies and Equivalents - 0.2%
Hashemite Kingdom of Jordan, 1.945%, 6/23/2019		$	750,000			$	745,903
Small Business Administration, 2.25%, 7/01/2021			146,544				145,746
						$	891,649
U.S. Treasury Obligations - 21.9%
U.S. Treasury Notes, 0.75%, 9/30/2018 (s)		$	15,000,000			$	14,969,484
U.S. Treasury Notes, 2.375%, 3/15/2021 (f)			8,081,000				8,005,241
U.S. Treasury Notes, 1%, 11/30/2018 (s)			13,580,000				13,531,197
U.S. Treasury Notes, 1%, 3/15/2019 (s)			15,000,000				14,883,398
U.S. Treasury Notes, 0.875%, 7/31/2019 (s)			15,000,000				14,766,797
U.S. Treasury Notes, 1.375%, 10/31/2020			38,541,000				37,422,408
U.S. Treasury Notes, 2.625%, 6/15/2021			29,872,000				29,755,313
						$	133,333,838
Utilities - Electric Power - 1.9%
Dominion Energy, Inc., 2.962%, 7/01/2019		$	780,000			$	780,437
Dominion Energy, Inc., 2.579%, 7/01/2020			1,136,000				1,119,530
Dominion Resources, Inc., 2.5%, 12/01/2019			1,600,000				1,590,798
Emera U.S. Finance LP, 2.15%, 6/15/2019			1,165,000				1,156,383
Engie Energia Chile S.A., 5.625%, 1/15/2021			1,582,000				1,642,938
Eversource Energy, 2.5%, 3/15/2021			730,000				714,899
FirstEnergy Corp., 2.85%, 7/15/2022			581,000				562,401
NextEra Energy Capital Holdings, Inc., 2.3%, 4/01/2019			1,034,000				1,030,620
Southern Co., 2.45%, 9/01/2018			630,000				629,854
Southern Co., 1.85%, 7/01/2019			1,560,000				1,547,922
WEC Energy Group, Inc., 3.375%, 6/15/2021			1,056,000				1,056,262
						$	11,832,044
Total Bonds						$	456,890,695
Short-Term Obligations (s)(y) - 9.5%
American Honda Finance Corp., 2.03%, due 9/05/2018		$	4,000,000			$	3,992,106
Bank of Montreal, 1.85%, due 8/01/2018			4,000,000				4,000,000
Chevron Corp., 1.94%, due 8/27/2018			4,000,000				3,994,396
Colgate Palmolive Co., 1.88%, due 8/01/2018			4,000,000				4,000,000
Exxon Mobil Corp., 1.9%, due 8/03/2018			4,250,000				4,249,551
Federal Home Loan Bank, 1.77%, due 8/01/2018			34,028,000				34,028,000
Novartis Finance Corp, 1.97%, due 8/13/2018			3,750,000				3,747,537
Total Short-Term Obligations						$	58,011,590

 

7

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Investment Companies (h) - 14.9%
Money Market Funds - 14.9%
MFS Institutional Money Market Portfolio, 1.98% (v)			90,953,818			$	90,944,723
Other Assets, Less Liabilities - 0.6%							3,290,965
Net Assets - 100.0%						$	609,137,973

 

(f)	All or a portion of the security has been segregated as collateral for open futures contracts.

(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 $90,944,723 and $514,902,285, 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 $158,652,184, representing 26.0% of net assets.

(s)	All or a portion of security is held by a wholly-owned subsidiary. See Principles of Consolidation in the notes 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 shown represents an annualized yield at time of purchase.

(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
Business Jet Securities LLC, 2018-1, “A”, 4.335%, 2/15/2033			2/21/18				$1,678,945				$1,682,286
Hertz Fleet Lease Funding LP, 2018-1, “B”, 3.64%, 5/10/2032			4/25/18				861,878				862,051
LoanCore Ltd., 2018-CRE1, “C”, FLR, 4.621% (LIBOR-1mo. + 2.55%), 5/15/2028			5/18/18				577,000				578,058
Mountain Hawk CLO Ltd., 2013-2A, “BR”, FLR, 3.947% (LIBOR-3mo. + 1.6%), 7/20/2024			7/12/18				1,809,670				1,809,670
Nationstar HECM Loan Trust, 2018-2A, “M1”, 3.551%, 7/25/2028			7/25/18				1,071,998				1,071,998
Neuberger Berman CLO Ltd., 2015-20A, “BR”, FLR, 3.589% (LIBOR-3mo. + 1.25%), 1/15/2028			11/15/17				2,729,000				2,697,500
OCP CLO Ltd., 2015-10A, “A2AR”, FLR, 3.634% (LIBOR-3mo. + 1.30%), 10/26/2027			11/27/17				2,211,957				2,189,167
Oscar U.S. Funding Trust, 2018-2A, “A3”, 3.39%, 9/12/2022			7/18/18				629,970				629,085
Total Restricted Securities											$11,519,815
% of Net assets											1.9%

Derivative Contracts at 7/31/18

Futures Contracts

 

Description

Long/ Short

Currency

Contracts

Notional Amount

Expiration Date

Value/Unrealized Appreciation (Depreciation)

Liability Derivatives

Interest Rate Futures

U.S. Treasury Note 2 yr

Long

USD

200

$42,275,000

September - 2018

$(200,000

)

 

8

---

Portfolio of Investments (unaudited) – continued

 

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 Swap Agreements
8/31/18			USD				$5,877,570			(Short)		Morgan Stanley Capital Services, Inc.		3 month T-Bill + 0.05%		BCOMWHTR (floating rate)			$9,080				$—				$9,080
9/26/18			USD				6,019,740			(Short)		Goldman Sachs International		3 month T-Bill + 0.08%		BCOMPLTR (floating rate)			10,577				—				10,577
12/18/18			USD				6,027,471			(Short)		Merrill Lynch International		3 month T-Bill + 0.02%		BCOMCNTR (floating rate)			9,782				—				9,782
1/23/19			USD				8,591,878			(Short)		Merrill Lynch International		3 month T-Bill + 0.04%		BCOMKWT (floating rate)			12,805				—				12,805
5/31/19			USD				5,463,927			(Short)		Merrill Lynch International		3 month T-Bill + 0.05%		BCOMSBTR (floating rate)			10,828				—				10,828
5/31/19			USD				6,305,999			(Short)		Merrill Lynch International		3 month T-Bill + 0.05%		BCOMLCTR (floating rate)			10,778				—				10,778
6/17/19			USD				3,755,479			(Short)		Merrill Lynch International		3 month T-Bill + 0%		BCOMBOTR (floating rate)			6,339				—				6,339
8/21/19			USD				5,750,533			(Short)		Merrill Lynch International		3 month T-Bill + 0.04%		BCOMKCTR (floating rate)			6,852				—				6,852
																			$77,041				$—				$77,041
Liability Derivatives
Total Return Swap Agreements
8/22/18			USD				$9,480,877			(Long)		Goldman Sachs International		BCOMCTTR (floating rate)		3 month T-Bill + 0.23%			$(16,555	)			$—				$(16,555	)
8/31/18			USD				6,568,221			(Long)		JPMorgan Chase Bank N.A.		BCOMHOTR (floating rate)		3 month T-Bill + 0.08%			(11,800	)			—				(11,800	)
9/12/18			USD				7,472,016			(Long)		JPMorgan Chase Bank N.A.		BCOMZSTR (floating rate)		3 month T-Bill + 0.09%			(14,120	)			—				(14,120	)
10/29/18			USD				16,682,665			(Long)		JPMorgan Chase Bank N.A.		BCOMF3T (floating rate)		3 month T-Bill + 0.13%			(30,204	)			—				(30,204	)
11/19/18			USD				9,516,155			(Long)		JPMorgan Chase Bank N.A.		BCOMCOT (floating rate)		3 month T-Bill + 0.08%			(17,518	)			—				(17,518	)
12/3/18			USD				17,372,662			(Long)		Goldman Sachs International		BCOMF3T (floating rate)		3 month T-Bill + 0.13%			(31,454	)			—				(31,454	)
12/3/18			USD				18,394,584			(Long)		JPMorgan Chase Bank N.A.		BCOMF3T (floating rate)		3 month T-Bill + 0.13%			(33,305	)			—				(33,305	)
1/4/19			USD				2,199,471			(Long)		Goldman Sachs International		BCOMHGTR (floating rate)		3 month T-Bill + 0.11%			(4,055	)			—				(4,055	)
1/4/19			USD				10,992,479			(Long)		JPMorgan Chase Bank N.A.		BCOMTR (floating rate)		3 month T-Bill + 0.09%			(19,598	)			—				(19,598	)
1/4/19			USD				14,837,900			(Long)		Goldman Sachs International		BCOMCLTR (floating rate)		3 month T-Bill + 0.08%			(27,096	)			—				(27,096	)
2/14/19			USD				4,235,348			(Long)		JPMorgan Chase Bank N.A.		BCOMRBTR (floating rate)		3 month T-Bill + 0.08%			(7,520	)			—				(7,520	)
2/14/19			USD				29,617,956			(Long)		Goldman Sachs International		BCOMF3T (floating rate)		3 month T-Bill + 0.12%			(53,361	)			—				(53,361	)
2/21/19			USD				28,578,777			(Long)		Goldman Sachs International		BCOMF3T (floating rate)		3 month T-Bill + 0.11%			(51,233	)			—				(51,233	)
3/20/19			USD				7,040,445			(Long)		JPMorgan Chase Bank N.A.		BCOMTR (floating rate)		3 month T-Bill + 0.09%			(12,552	)			—				(12,552	)
3/22/19			USD				20,534,312			(Long)		Merrill Lynch International		BCOMF3T (floating rate)		3 month T-Bill + 0.14%			(37,360	)			—				(37,360	)
3/22/19			USD				21,512,137			(Long)		Goldman Sachs International		BCOMF3T (floating rate)		3 month T-Bill + 0.13%			(38,949	)			—				(38,949	)
3/22/19			USD				21,512,137			(Long)		JPMorgan Chase Bank N.A.		BCOMF3T (floating rate)		3 month T-Bill + 0.11%			(38,565	)			—				(38,565	)

 

9

---

Portfolio of Investments (unaudited) – 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 Swap Agreements – continued
4/30/19			USD				8,938,947			(Long)		Goldman Sachs International		BCOMF3T (floating rate)		3 month T-Bill + 0.11%			(16,025	)			$—				$(16,025	)
4/30/19			USD				11,888,027			(Long)		JPMorgan Chase Bank N.A.		BCOMTR (floating rate)		3 month T-Bill + 0.09%			(21,195	)			—				(21,195	)
4/30/19			USD				13,832,681			(Long)		Merrill Lynch International		MLCILPRT (floating rate)		3 month T-Bill + 0.13%			(25,150	)			—				(25,150	)
5/10/19			USD				59,156,101			(Long)		Merrill Lynch International		MLCILPRT (floating rate)		3 month T-Bill + 0.13%			(107,556	)			—				(107,556	)
5/31/19			USD				4,795,337			(Long)		Merrill Lynch International		MLCILPRT (floating rate)		3 month T-Bill + 013%			(8,718	)			—				(8,718	)
5/31/19			USD				7,438,262			(Long)		JPMorgan Chase Bank N.A.		BCOMNGTR (floating rate)		3 month T-Bill + 0.08%			(8,874	)			—				(8,874	)
5/31/19			USD				8,310,206			(Long)		JPMorgan Chase Bank N.A.		BCOMALTR (floating rate)		3 month T-Bill + 0.09%			(14,864	)			—				(14,864	)
6/17/19			USD				3,785,023			(Long)		JPMorgan Chase Bank N.A.		BCOMGCTR (floating rate)		3 month T-Bill + 0.07%			(6,697	)			—				(6,697	)
6/17/19			USD				7,524,454			(Long)		JPMorgan Chase Bank N.A.		BCOMNGTR (floating rate)		3 month T-Bill + 0.08%			(8,977	)			—				(8,977	)
7/12/19			USD				6,696,230			(Long)		Morgan Stanley Capital Services, Inc.		BCOMSMT (floating rate)		3 month T-Bill + 0.30%			(12,456	)			—				(12,456	)
7/12/19			USD				11,109,505			(Long)		Merrill Lynch International		MLCILPRT (floating rate)		3 month T-Bill + 0.13%			(138,524	)			—				(138,524	)
7/26/19			USD				12,913,710			(Long)		Merrill Lynch International		BCOMTR (floating rate)		3 month T-Bill + 0.09%			(24,807	)			—				(24,807	)
8/21/19			USD				9,970,792			(Long)		Citibank N.A.		BCOMTR (floating rate)		3 month T-Bill + 0.12%			(11,881	)			—				(11,881	)
8/21/19			USD				11,990,773			(Long)		Goldman Sachs International		BCOMF3T (floating rate)		3 month T-Bill + 0.11%			(14,187	)			—				(14,187	)
8/21/19			USD				31,910,824			(Long)		Merrill Lynch International		MLCILPRT (floating rate)		3 month T-Bill + 0.13%			(38,213	)			—				(38,213	)
8/21/19			USD				59,824,751			(Long)		Goldman Sachs International		BCOMTR (floating rate)		3 month T-Bill + 0.09%			(70,388	)			—				(70,388	)
8/21/19			USD				69,795,543			(Long)		JPMorgan Chase Bank N.A.		BCOMTR (floating rate)		3 month T-Bill + 0.09%			(81,955	)			—				(81,955	)
																			$(1,055,712	)			$—				$(1,055,712	)

At July 31, 2018, the fund had cash collateral of $10,795,370 and liquid securities with an aggregate value of $57,695,256 to cover any commitments for certain derivative contracts. All or a portion of swap contracts are held by a wholly-owned subsidiary. See Principles of Consolidation in the notes for details of the wholly-owned subsidiary.

The following abbreviations are used in this report and are defined:

 

BCOMALTR		Bloomberg Aluminum Subindex Total Return, this index is composed of futures contracts on aluminum. It reflects the return of underlying commodity futures price movements only. It is quoted in USD.
BCOMBOTR		Bloomberg Soybean Oil Subindex Total Return, this index is composed of futures contracts on soybean oil. It reflects the return on fully collateralized futures positions. 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 reflects on fully collateralized futures positions. It is quoted in USD.
BCOMCTTR		Bloomberg Cotton Subindex Total Return, this index is of futures contracts on cotton. It reflects the return on fully collateralized futures positions. It is quoted in USD.

 

10

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Portfolio of Investments (unaudited) – continued

 

BCOMF3T		Bloomberg Commodity Index 3 Month Forward Total Return, this index is composed of longer-dated futures contracts on 19 physical commodities.
BCOMGCTR		Bloomberg Gold Subindex Total Return, this index is composed of futures contracts on gold. It reflects the return of underlying commodity futures price movements only. It is quoted in USD.
BCOMHGTR		Bloomberg Copper Subindex Total Return, this index is composed of futures contracts on gold. It reflects the return on fully collateralized futures positions. It is quoted in USD.
BCOMHOTR		Bloomberg Heating Oil Subindex Total Return, this index is composed of futures contracts on heating oil. It reflects the return on fully collateralized futures positions. It is quoted in USD.
BCOMKCTR		Bloomberg Coffee Subindex Total Return, this index is composed of futures contracts on coffee. It reflects the return of underlying commodity futures price movements only. 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 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.
BCOMPLTR		Bloomberg Platinum Subindex Total Return, this index is composed of futures contracts on platinum. It reflects the return on fully collateralized futures positions. It is quoted in USD.
BCOMRBTR		Bloomberg Unleaded Gasoline Subindex Total Return, this index is composed of futures contracts on unleaded gasoline. It reflects the return on fully collateralized futures positions. It is quoted in USD.
BCOMSBTR		Bloomberg Sugar Subindex Total Return, this index is composed of futures contracts on sugar. It reflects the return on fully collateralized futures positions. It is quoted in USD.
BCOMSMT		Bloomberg Soybean Meal Subindex Total Return, this index is composed of futures contracts on soybean meal.
BCOMTR		Bloomberg Commodity Index Total Return, this index is composed of futures contracts on nineteen physical commodities.
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, the index is composed of futures contracts on zinc. It reflects the return of underlying commodity futures price movements only. It is quoted in USD.
CDO		Collateralized Debt Obligation
CLO		Collateralized Loan Obligation
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.
MLCILPRT		Merrill Lynch International Bloomberg Commodity Index Total Return
PLC		Public Limited Company
REIT		Real Estate Investment Trust

See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.

 

11

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Supplemental Information

7/31/18 (unaudited)

The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

Principles of Consolidation – The fund gains exposure to the commodities markets by primarily investing the fund’s assets in the MFS Commodity Strategy Portfolio, a wholly owned and controlled subsidiary organized in the Cayman Islands (“Subsidiary”). The fund will not invest directly in commodities. The fund may invest up to 25% of its assets (at the time of purchase) in the Subsidiary. The Subsidiary has the same objective, the Subsidiary gains exposure to the commodities market by investing primarily in commodity-linked futures, options, and swaps, instead of commodity linked-notes.

The fund may also gain exposure to the commodities markets by investing the fund’s assets directly in commodity-linked notes. The fund also invests directly in debt securities, and the Subsidiary may also invest in debt securities. As of July 31, 2018, the Subsidiary’s net assets were $118,962,872, which represented 19.5% of the fund’s net assets. The fund’s financial statements have been consolidated and include the accounts of the fund and the Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation.

(1) Investment Valuations

Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service. Swap agreements are generally valued at valuations provided by a third-party pricing service, which for cleared swaps includes an evaluation of any trading activity at the clearinghouses. Open-end investment companies are generally valued at net asset value per share. Securities and other assets, including commodity-linked structured notes, generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.

The Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments (including any fair valuation) to the adviser pursuant to valuation policies and procedures approved by the Board. If the adviser determines that reliable market quotations are not readily available, investments are valued at fair value as determined in good faith by the adviser in accordance with such procedures under the oversight of the Board of Trustees. Under the fund’s valuation policies and procedures, market quotations are not considered to be readily available for most types of debt instruments and floating rate loans and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services. In addition, investments may be valued at fair value if the adviser determines that an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund’s net asset value, or after the halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.

Various inputs are used in determining the value of the fund’s assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk).

 

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Supplemental Information (unaudited) – continued

 

Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts and swap agreements. The following is a summary of the levels used as of July 31, 2018 in valuing the fund’s assets or liabilities:

 

Financial Instruments		Level 1				Level 2				Level 3				Total
U.S. Treasury Bonds & U.S. Government Agency & Equivalents			$—				$134,225,487				$—				$134,225,487
Non-U.S. Sovereign Debt			—				15,414,641				—				15,414,641
Municipal Bonds			—				2,573,032				—				2,573,032
U.S. Corporate Bonds			—				95,212,536				—				95,212,536
Residential Mortgage-Backed Securities			—				10,006,672				—				10,006,672
Commercial Mortgage-Backed Securities			—				15,817,135				—				15,817,135
Asset-Backed Securities (including CDOs)			—				98,656,787				—				98,656,787
Foreign Bonds			—				84,984,405				—				84,984,405
Short Term Securities			—				58,011,590				—				58,011,590
Mutual Funds			90,944,723				—				—				90,944,723
Total			$90,944,723				$514,902,285				$—				$605,847,008
Other Financial Instruments
Futures Contracts – Liabilities			$(200,000	)			$—				$—				$(200,000	)
Swap Agreements – Assets			—				77,041				—				77,041
Swap Agreements – Liabilities			—				(1,055,712	)			—				(1,055,712	)

For further information regarding security characteristics, see the Portfolio of Investments.

Swap Agreements – During the period the fund entered into swap agreements. Swap agreements generally involve a periodic exchange of cash payments on a net basis, at specified intervals or upon the occurrence of specified events, between the fund and a counterparty. Certain swap agreements may be entered into as a bilateral contract (“uncleared swaps”) while others are required to be centrally cleared (“cleared swaps”). In a cleared swap transaction, the ultimate counterparty to the transaction is a clearinghouse (the “clearinghouse”). The contract is transferred and accepted by the clearinghouse immediately following execution of the swap contract with an executing broker. Thereafter, throughout the term of the cleared swap, the fund interfaces indirectly with the clearinghouse through a clearing broker and has counterparty risk to the clearing broker as well.

Amounts paid or received at the inception of uncleared swap agreements are presented parenthetically as premiums paid or received and reflected in the value of the uncleared swap in the Statement of Assets and Liabilities. Those premiums are amortized using the effective interest method over the term of the agreement as realized gain or loss on swap agreements in the Statement of Operations. The value of the uncleared swap agreements, which is adjusted daily and includes any related interest accruals to be paid or received by the fund, is recorded in the Statement of Assets and Liabilities as “Uncleared swaps, at value”. The daily change in the value of uncleared swaps, including any related interest accruals to be paid or received, is recorded as unrealized appreciation or depreciation on swap agreements in the Statement of Operations. For cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities and reflected in unrealized appreciation or depreciation on swap agreements in the Statement of Operations. The periodic exchange of net cash payments, at specified intervals or upon the occurrence of specified events as stipulated by the agreement, is recorded as realized gain or loss on swap agreements in the Statement of Operations. A liquidation payment received or made upon early termination is recorded as a realized gain or loss on swap agreements in the Statement of Operations.

Risks related to swap agreements include the possible lack of a liquid market, unfavorable market and interest rate movements of the underlying instrument and the failure of the counterparty to perform under the terms of the agreements. The fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the contract’s remaining life, to the extent that the amount is positive. To address counterparty risk, uncleared swap agreements are limited to only highly-rated counterparties. Risk is further reduced by having an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and, where applicable, by the posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA Master Agreement. The fund’s counterparty risk due to cleared swaps is mitigated by the fact that the clearinghouse is the true counterparty to the transaction and the regulatory requirement safeguards in the event of a clearing broker bankruptcy.

The fund entered into total return swaps on various commodity indexes in order to gain exposure without having to own the underlying commodities. Under a total return swap the fund pays the counterparty interest (based on a fixed or floating rate) and in return receives a payment equal to the increase in the total return of the reference index. To the extent there is a decline in the total return of the index, the fund pays the counterparty for that decline in addition to making the fixed or floating rate interest payment. The total return of the reference index includes changes in the market value of the index and any interest or dividend payments attributable to the index.

 

13

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Supplemental Information (unaudited) – continued

 

(2) Investments in Affiliated Issuers

An affiliated issuer may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the fund assumes the following to be affiliated issuers:

 

Affiliated Issuers						Beginning Shares/Par Amount				Acquisitions Shares/Par Amount				Dispositions Shares/Par Amount				Ending Shares/Par Amount
MFS Institutional Money Market Portfolio							80,553,666				269,640,550				(259,240,398	)			90,953,818
Affiliated Issuers		Realized Gain (Loss)				Change in Unrealized Appreciation/ Depreciation				Capital Gain Distributions				Dividend Income				Ending Value
MFS Institutional Money Market Portfolio			$(5,349	)			$(417	)			$—				$1,007,878				$90,944,723

 

14

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ITEM 2.

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 Form N-Q, 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 registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

ITEM 3.

EXHIBITS.

File as exhibits as part of this Form 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.CERT.

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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.

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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)*		DAVID L. DILORENZO
		David L. DiLorenzo, President

Date: September 17, 2018

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)*		DAVID L. DILORENZO
		David L. DiLorenzo, President (Principal Executive Officer)

Date: September 17, 2018

 

By (Signature and Title)*		JAMES O. YOST
		James O. Yost, Treasurer
		(Principal Financial Officer
		and Accounting Officer)

Date: September 17, 2018

 

*	Print name and title of each signing officer under his or her signature.

EX-99.CERT

MFS SERIES TRUST XV

CERTIFICATION

I, James O. Yost, certify that:

 

1.	I have reviewed this report on Form N-Q of MFS Series Trust XV;

 

2.	Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.	Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

 

4.

The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

a.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

c.

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

 

d.

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.	The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

a.

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

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b.

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: September 17, 2018				JAMES O. YOST
				James O. Yost
				Treasurer (Principal Financial Officer and Accounting Officer)

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EX-99.CERT

MFS SERIES TRUST XV

CERTIFICATION

I, David L. DiLorenzo, certify that:

 

1.	I have reviewed this report on Form N-Q of MFS Series Trust XV;

 

2.	Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.	Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

 

4.

The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

a.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

c.

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

 

d.

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.	The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

a.

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

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b.

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: September 17, 2018				DAVID L. DILORENZO
				David L. DiLorenzo
				President (Principal Executive Officer)