SEC Form N-CSRS filed by MFS Special Value Trust
$MFV
Trusts Except Educational Religious and Charitable
Finance
Semiannual Report
April 30, 2023
MFS® Special Value Trust
MFV-SEM
MANAGED DISTRIBUTION POLICY
DISCLOSURE
The MFS Special Value Trust’s
(the fund) Board of Trustees adopted a managed distribution policy. The fund seeks to pay monthly distributions based on an annual rate of 10.00% of the fund’s average monthly net asset value. The primary
purpose of the managed distribution policy is to provide shareholders with a constant, but not guaranteed, fixed rate of distribution each month. You should not draw any conclusions about the fund’s investment
performance from the amount of the current distribution or from the terms of the fund’s managed distribution policy. The Board may amend or terminate the managed distribution policy at any time without prior
notice to fund shareholders. The amendment or termination of the managed distribution policy could have an adverse effect on the market price of the fund’s shares.
With each distribution, the fund
will issue a notice to shareholders and an accompanying press release which will provide detailed information regarding the amount and composition of the distribution and other related information. The amounts and
sources of distributions reported in the notice to shareholders are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will
depend upon the fund’s investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. The fund will send you a Form 1099-DIV for the calendar year that will
tell you how to report these distributions for federal income tax purposes. Please refer to “Tax Matters and Distributions” under Note 2 of the Notes to Financial Statements for information regarding the
tax character of the fund’s distributions.
Under a managed distribution policy
the fund may at times distribute more than its net investment income and net realized capital gains; therefore, a portion of your distribution may result in a return of capital. A return of capital may occur, for
example, when some or all of the money that you invested in the fund is paid back to you. Any such returns of capital will decrease the fund’s total assets and, therefore, could have the effect of increasing the
fund’s expense ratio. In addition, in order to make the level of distributions called for under its managed distribution policy, the fund may have to sell portfolio securities at a less than opportune time. A
return of capital does not necessarily reflect the fund’s investment performance and should not be confused with ‘yield’ or ‘income’. The fund’s total return in relation to changes
in net asset value is presented in the Financial Highlights.
MFS® Special Value Trust
New York Stock Exchange Symbol: MFV
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| back cover |
NOT FDIC INSURED
• MAY LOSE VALUE • NO BANK GUARANTEE
Portfolio Composition - continued
| (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. Not Rated includes fixed income securities and fixed income derivatives that have not been rated by any rating agency. Non-Fixed Income includes equity securities (including convertible bonds and equity 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. |
| (f) | The fund invests a portion of its assets in Exchange-Traded Funds (ETFs) to gain fixed income exposure. Percentages include the direct exposure from investing in ETFs and not the indirect exposure to the underlying holdings. |
| (g) | The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and S&P Global Market Intelligence Inc. (“S&P Global Market Intelligence”). GICS is a service mark of MSCI and S&P Global Market Intelligence and has been licensed for use by MFS. MFS has applied its own internal sector/industry classification methodology for equity securities and non-equity securities that are unclassified by GICS. |
| (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. |
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 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 April 30, 2023.
The portfolio is actively managed
and current holdings may be different.
2
Portfolio Managers' Profiles
| Portfolio Manager | Primary Role | Since | Title and Five Year History |
| Ward Brown | Emerging Markets Debt Instruments Portfolio Manager | 2012 | Investment Officer of MFS; employed in the investment management area of MFS since 2005. |
| Katherine Cannan | Equity Securities Portfolio Manager | 2019 | Investment Officer of MFS; employed in the investment management area of MFS since 2013. |
| Nevin Chitkara | Equity Securities Portfolio Manager | 2012 | Investment Officer of MFS; employed in the investment management area of MFS since 1997. |
| David Cole | Below Investment Grade Debt Instruments Portfolio Manager | 2006 | Investment Officer of MFS; employed in the investment management area of MFS since 2004. |
| Matt Ryan | Emerging Markets Debt Instruments Portfolio Manager | 2012 | Investment Officer of MFS; employed in the investment management area of MFS since 1997. |
| Michael Skatrud | Below Investment Grade Debt Instruments Portfolio Manager | 2018 | Investment Officer of MFS; employed in the investment management area of MFS since 2013. |
Effective April 30, 2024, Matt Ryan
will no longer be a Portfolio Manager of the fund.
Other Notes
The fund’s shares may trade at
a discount or premium to net asset value. When fund shares trade at a premium, buyers pay more than the net asset value of the underlying fund shares, and shares purchased at a premium would receive less than the
amount paid for them in the event of the fund’s concurrent liquidation.
The fund's target annual
distribution rate is calculated based on an annual rate of 10.00% of the fund's average monthly net asset value, not a fixed share price, and the fund's dividend amount will fluctuate with changes in the fund's
average monthly net assets.
In accordance with Section 23(c)
of the Investment Company Act of 1940, the fund hereby gives notice that it may from time to time repurchase shares of the fund in the open market at the option of the Board of Trustees and on such terms as the
Trustees shall determine.
3
Portfolio of Investments
4/30/23 (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 – 52.8% | ||||
| Aerospace & Defense – 1.3% | ||||
| Bombardier, Inc., 7.5%, 3/15/2025 (n) | $ | 13,000 | $13,001 | |
| Bombardier, Inc., 7.125%, 6/15/2026 (n) | 33,000 | 32,896 | ||
| Moog, Inc., 4.25%, 12/15/2027 (n) | 76,000 | 71,454 | ||
| Spirit AeroSystems, Inc., 4.6%, 6/15/2028 | 45,000 | 38,177 | ||
| TransDigm, Inc., 6.25%, 3/15/2026 (n) | 60,000 | 60,284 | ||
| TransDigm, Inc., 6.375%, 6/15/2026 | 40,000 | 39,946 | ||
| TransDigm, Inc., 5.5%, 11/15/2027 | 64,000 | 61,419 | ||
| TransDigm, Inc., 6.75%, 8/15/2028 (n) | 48,000 | 48,746 | ||
| TransDigm, Inc., 4.625%, 1/15/2029 | 57,000 | 51,585 | ||
| $417,508 | ||||
| Airlines – 0.3% | ||||
| Air Canada, 3.875%, 8/15/2026 (n) | $ | 58,000 | $53,689 | |
| American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 4/20/2029 (n) | 35,527 | 33,761 | ||
| $87,450 | ||||
| Automotive – 1.4% | ||||
| Clarios Global LP/Clarios U.S. Finance Co., 8.5%, 5/15/2027 (n) | $ | 78,000 | $78,456 | |
| Clarios Global LP/Clarios U.S. Finance Co., 6.75%, 5/15/2028 (n) | 25,000 | 25,097 | ||
| Dana, Inc., 5.375%, 11/15/2027 | 46,000 | 43,234 | ||
| Dana, Inc., 4.25%, 9/01/2030 | 32,000 | 25,920 | ||
| Dornoch Debt Merger Sub, Inc., 6.625%, 10/15/2029 (n) | 61,000 | 45,191 | ||
| Ford Motor Credit Co. LLC, 4.134%, 8/04/2025 | 200,000 | 189,257 | ||
| Real Hero Merger Sub 2, Inc., 6.25%, 2/01/2029 (n) | 45,000 | 33,862 | ||
| $441,017 | ||||
| Broadcasting – 0.9% | ||||
| Gray Escrow II, Inc., 5.375%, 11/15/2031 (n) | $ | 85,000 | $54,487 | |
| iHeartCommunications, Inc., 8.375%, 5/01/2027 | 67,000 | 44,212 | ||
| Midas OpCo Holdings LLC, 5.625%, 8/15/2029 (n) | 49,000 | 42,600 | ||
| Summer (BC) Bidco B LLC, 5.5%, 10/31/2026 (n) | 200,000 | 167,867 | ||
| $309,166 | ||||
| Brokerage & Asset Managers – 0.8% | ||||
| AG Issuer LLC, 6.25%, 3/01/2028 (n) | $ | 10,000 | $9,294 | |
| AG TTMT Escrow Issuer LLC, 8.625%, 9/30/2027 (n) | 65,000 | 66,823 | ||
| Aretec Escrow Issuer, Inc., 7.5%, 4/01/2029 (n) | 55,000 | 46,066 | ||
| LPL Holdings, Inc., 4.375%, 5/15/2031 (n) | 40,000 | 35,500 | ||
| NFP Corp., 4.875%, 8/15/2028 (n) | 53,000 | 48,242 | ||
4
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Brokerage & Asset Managers – continued | ||||
| NFP Corp., 6.875%, 8/15/2028 (n) | $ | 56,000 | $48,853 | |
| $254,778 | ||||
| Building – 1.7% | ||||
| ABC Supply Co., Inc., 4%, 1/15/2028 (n) | $ | 35,000 | $32,043 | |
| Foundation Building Materials LLC, 6%, 3/01/2029 (n) | 56,000 | 44,739 | ||
| GYP Holding III Corp., 4.625%, 5/01/2029 (n) | 85,000 | 75,012 | ||
| Interface, Inc., 5.5%, 12/01/2028 (n) | 88,000 | 70,532 | ||
| MIWD Holdco II LLC/MIWD Finance Co., 5.5%, 2/01/2030 (n) | 40,000 | 33,600 | ||
| New Enterprise Stone & Lime Co., Inc., 9.75%, 7/15/2028 (n) | 48,000 | 45,840 | ||
| Patrick Industries, Inc., 7.5%, 10/15/2027 (n) | 70,000 | 68,787 | ||
| SRS Distribution, Inc., 6.125%, 7/01/2029 (n) | 36,000 | 29,697 | ||
| Standard Industries, Inc., 4.75%, 1/15/2028 (n) | 33,000 | 30,843 | ||
| Standard Industries, Inc., 4.375%, 7/15/2030 (n) | 65,000 | 56,105 | ||
| White Cap Buyer LLC, 6.875%, 10/15/2028 (n) | 59,000 | 51,163 | ||
| $538,361 | ||||
| Business Services – 0.7% | ||||
| Entegris Escrow Corp., 5.95%, 6/15/2030 (n) | $ | 31,000 | $29,464 | |
| Iron Mountain, Inc., 4.875%, 9/15/2027 (n) | 45,000 | 42,889 | ||
| Iron Mountain, Inc., 5.25%, 3/15/2028 (n) | 35,000 | 33,665 | ||
| Verscend Escrow Corp., 9.75%, 8/15/2026 (n) | 70,000 | 70,646 | ||
| ZI Technologies LLC/ZI Finance Corp. Co., 3.875%, 2/01/2029 (n) | 49,000 | 42,249 | ||
| $218,913 | ||||
| Cable TV – 4.5% | ||||
| Cable One, Inc., 4%, 11/15/2030 (n) | $ | 69,000 | $56,111 | |
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027 (n) | 46,000 | 43,404 | ||
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, 3/01/2030 (n) | 193,000 | 166,056 | ||
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, 8/15/2030 (n) | 103,000 | 86,489 | ||
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 2/01/2031 (n) | 73,000 | 59,788 | ||
| CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 1/15/2034 (n) | 50,000 | 38,087 | ||
| CSC Holdings LLC, 5.375%, 2/01/2028 (n) | 200,000 | 164,040 | ||
| DISH DBS Corp., 7.75%, 7/01/2026 | 35,000 | 20,219 | ||
| DISH DBS Corp., 5.25%, 12/01/2026 (n) | 50,000 | 38,192 | ||
| DISH DBS Corp., 5.125%, 6/01/2029 | 40,000 | 18,447 | ||
| DISH Network Corp., 11.75%, 11/15/2027 (n) | 25,000 | 23,616 | ||
| Sirius XM Radio, Inc., 4%, 7/15/2028 (n) | 52,000 | 43,906 | ||
| Sirius XM Radio, Inc., 5.5%, 7/01/2029 (n) | 125,000 | 111,341 | ||
| Sirius XM Radio, Inc., 3.875%, 9/01/2031 (n) | 37,000 | 27,960 | ||
| Telenet Finance Luxembourg S.A., 5.5%, 3/01/2028 (n) | 200,000 | 184,600 | ||
| Videotron Ltd., 5.125%, 4/15/2027 (n) | 44,000 | 42,460 | ||
| Videotron Ltd., 3.625%, 6/15/2029 (n) | 24,000 | 20,753 | ||
| Virgin Media Finance PLC, 5%, 7/15/2030 (n) | 200,000 | 168,536 | ||
5
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Cable TV – continued | ||||
| Ziggo Bond Finance B.V., 5.125%, 2/28/2030 (n) | $ | 200,000 | $162,511 | |
| $1,476,516 | ||||
| Chemicals – 1.5% | ||||
| Axalta Coating Systems Ltd., 4.75%, 6/15/2027 (n) | $ | 150,000 | $144,871 | |
| Element Solutions, Inc., 3.875%, 9/01/2028 (n) | 80,000 | 70,590 | ||
| Ingevity Corp., 3.875%, 11/01/2028 (n) | 69,000 | 60,551 | ||
| LSF11 A5 HoldCo LLC, 6.625%, 10/15/2029 (n) | 58,000 | 49,952 | ||
| Sasol Financing (USA) LLC, 5.5%, 3/18/2031 | 200,000 | 165,594 | ||
| $491,558 | ||||
| Computer Software – 0.7% | ||||
| Camelot Finance S.A., 4.5%, 11/01/2026 (n) | $ | 42,000 | $39,777 | |
| Clarivate Science Holdings Corp., 3.875%, 7/01/2028 (n) | 15,000 | 13,497 | ||
| Clarivate Science Holdings Corp., 4.875%, 7/01/2029 (n) | 65,000 | 58,539 | ||
| Dun & Bradstreet Corp., 5%, 12/15/2029 (n) | 60,000 | 52,684 | ||
| Neptune Bidco U.S., Inc., 9.29%, 4/15/2029 (n) | 55,000 | 51,769 | ||
| $216,266 | ||||
| Computer Software - Systems – 1.1% | ||||
| Fair Isaac Corp., 5.25%, 5/15/2026 (n) | $ | 114,000 | $112,147 | |
| Fair Isaac Corp., 4%, 6/15/2028 (n) | 7,000 | 6,521 | ||
| Sabre GLBL, Inc., 7.375%, 9/01/2025 (n) | 24,000 | 21,330 | ||
| Sabre GLBL, Inc., 11.25%, 12/15/2027 (n) | 25,000 | 21,969 | ||
| SS&C Technologies Holdings, Inc., 5.5%, 9/30/2027 (n) | 97,000 | 93,888 | ||
| Viavi Solutions, Inc., 3.75%, 10/01/2029 (n) | 71,000 | 59,285 | ||
| Virtusa Corp., 7.125%, 12/15/2028 (n) | 49,000 | 39,444 | ||
| $354,584 | ||||
| Conglomerates – 1.6% | ||||
| BWX Technologies, Inc., 4.125%, 6/30/2028 (n) | $ | 68,000 | $62,241 | |
| BWX Technologies, Inc., 4.125%, 4/15/2029 (n) | 83,000 | 75,115 | ||
| Chart Industries, Inc., 9.5%, 1/01/2031 (n) | 55,000 | 58,231 | ||
| Gates Global LLC, 6.25%, 1/15/2026 (n) | 72,000 | 71,280 | ||
| Griffon Corp., 5.75%, 3/01/2028 | 68,000 | 62,734 | ||
| Madison IAQ LLC, 5.875%, 6/30/2029 (n) | 64,000 | 50,100 | ||
| Regal Rexnord Corp., 6.3%, 2/15/2030 (n) | 42,000 | 42,790 | ||
| TriMas Corp., 4.125%, 4/15/2029 (n) | 112,000 | 99,680 | ||
| $522,171 | ||||
| Construction – 0.7% | ||||
| Empire Communities Corp., 7%, 12/15/2025 (n) | $ | 51,000 | $46,650 | |
| Mattamy Group Corp., 5.25%, 12/15/2027 (n) | 30,000 | 27,909 | ||
| Mattamy Group Corp., 4.625%, 3/01/2030 (n) | 47,000 | 41,182 | ||
6
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Construction – continued | ||||
| Meritage Homes Corp., 3.875%, 4/15/2029 (n) | $ | 19,000 | $17,100 | |
| Taylor Morrison Communities, Inc., 5.75%, 1/15/2028 (n) | 69,000 | 68,366 | ||
| Weekley Homes LLC/Weekley Finance Corp., 4.875%, 9/15/2028 (n) | 48,000 | 41,670 | ||
| $242,877 | ||||
| Consumer Products – 1.1% | ||||
| Energizer Gamma Acquisition B.V., 3.5%, 6/30/2029 | EUR | 100,000 | $86,637 | |
| Mattel, Inc., 3.375%, 4/01/2026 (n) | $ | 41,000 | 38,782 | |
| Mattel, Inc., 5.875%, 12/15/2027 (n) | 39,000 | 39,048 | ||
| Mattel, Inc., 6.2%, 10/01/2040 | 5,000 | 4,712 | ||
| Newell Brands, Inc., 6.375%, 9/15/2027 | 34,000 | 33,490 | ||
| Newell Brands, Inc., 6.625%, 9/15/2029 | 39,000 | 38,525 | ||
| Prestige Consumer Healthcare, Inc., 5.125%, 1/15/2028 (n) | 55,000 | 53,343 | ||
| Spectrum Brands, Inc., 3.875%, 3/15/2031 (n) | 50,000 | 41,000 | ||
| SWF Escrow Issuer Corp., 6.5%, 10/01/2029 (n) | 45,000 | 27,450 | ||
| $362,987 | ||||
| Consumer Services – 2.1% | ||||
| Allied Universal Holdco LLC, 9.75%, 7/15/2027 (n) | $ | 96,000 | $89,302 | |
| ANGI Group LLC, 3.875%, 8/15/2028 (n) | 71,000 | 55,569 | ||
| Arches Buyer, Inc., 6.125%, 12/01/2028 (n) | 65,000 | 56,388 | ||
| Cushman & Wakefield PLC, 6.75%, 5/15/2028 (n) | 20,000 | 18,665 | ||
| GoDaddy, Inc., 3.5%, 3/01/2029 (n) | 103,000 | 89,227 | ||
| GW B-CR Security Corp., 9.5%, 11/01/2027 (n) | 49,000 | 46,956 | ||
| Match Group Holdings II LLC, 5%, 12/15/2027 (n) | 69,000 | 65,008 | ||
| Match Group Holdings II LLC, 4.625%, 6/01/2028 (n) | 60,000 | 55,350 | ||
| Match Group Holdings II LLC, 4.125%, 8/01/2030 (n) | 20,000 | 17,095 | ||
| Match Group Holdings II LLC, 3.625%, 10/01/2031 (n) | 5,000 | 4,085 | ||
| Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 1/15/2029 (n) | 56,000 | 41,580 | ||
| Realogy Group LLC/Realogy Co-Issuer Corp., 5.25%, 4/15/2030 (n) | 45,000 | 32,083 | ||
| TriNet Group, Inc., 3.5%, 3/01/2029 (n) | 91,000 | 79,579 | ||
| WASH Multi-Family Acquisition, Inc., 5.75%, 4/15/2026 (n) | 49,000 | 45,938 | ||
| $696,825 | ||||
| Containers – 1.2% | ||||
| Can-Pack S.A./Eastern PA Land Investment Holding LLC, 3.875%, 11/15/2029 (n) | $ | 200,000 | $160,215 | |
| Crown Americas LLC, 5.25%, 4/01/2030 | 45,000 | 43,772 | ||
| Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/2026 | 80,000 | 76,584 | ||
| Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 2/01/2026 | 55,000 | 53,918 | ||
7
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Containers – continued | ||||
| LABL, Inc., 5.875%, 11/01/2028 (n) | $ | 45,000 | $41,512 | |
| $376,001 | ||||
| Electrical Equipment – 0.1% | ||||
| CommScope Technologies LLC, 5%, 3/15/2027 (n) | $ | 61,000 | $42,142 | |
| Electronics – 0.7% | ||||
| Entegris, Inc., 4.375%, 4/15/2028 (n) | $ | 30,000 | $27,361 | |
| Entegris, Inc., 3.625%, 5/01/2029 (n) | 27,000 | 23,120 | ||
| Sensata Technologies B.V., 5.625%, 11/01/2024 (n) | 25,000 | 25,015 | ||
| Sensata Technologies B.V., 5%, 10/01/2025 (n) | 85,000 | 83,690 | ||
| Synaptics, Inc., 4%, 6/15/2029 (n) | 65,000 | 54,925 | ||
| $214,111 | ||||
| Emerging Market Quasi-Sovereign – 0.3% | ||||
| Petroleos Mexicanos, 6.49%, 1/23/2027 | $ | 100,000 | $89,558 | |
| Energy - Independent – 1.4% | ||||
| Callon Petroleum Co., 8%, 8/01/2028 (n) | $ | 20,000 | $19,732 | |
| CNX Resources Corp., 6%, 1/15/2029 (n) | 37,000 | 34,227 | ||
| CNX Resources Corp., 7.375%, 1/15/2031 (n) | 15,000 | 14,472 | ||
| Comstock Resources, Inc., 6.75%, 3/01/2029 (n) | 75,000 | 67,903 | ||
| CrownRock LP/CrownRock Finance, Inc., “F”, 5%, 5/01/2029 (n) | 65,000 | 61,408 | ||
| Encino Acquisition Partners Holdings LLC, 8.5%, 5/01/2028 (n) | 40,000 | 35,467 | ||
| Matador Resources Co., 6.875%, 4/15/2028 (n) | 17,000 | 17,107 | ||
| Moss Creek Resources Holdings, Inc., 7.5%, 1/15/2026 (n) | 44,000 | 41,131 | ||
| Permian Resources Operating LLC, 7.75%, 2/15/2026 (n) | 5,000 | 5,056 | ||
| Permian Resources Operating LLC, 5.875%, 7/01/2029 (n) | 53,000 | 50,153 | ||
| SM Energy Co., 6.75%, 9/15/2026 | 15,000 | 14,775 | ||
| SM Energy Co., 6.5%, 7/15/2028 | 50,000 | 47,375 | ||
| Southwestern Energy Co., 8.375%, 9/15/2028 | 25,000 | 26,176 | ||
| Southwestern Energy Co., 5.375%, 3/15/2030 | 35,000 | 32,572 | ||
| $467,554 | ||||
| Entertainment – 1.2% | ||||
| Carnival Corp. PLC, 7.625%, 3/01/2026 (n) | $ | 71,000 | $64,921 | |
| Carnival Corp. PLC, 5.75%, 3/01/2027 (n) | 40,000 | 32,920 | ||
| Carnival Corp. PLC, 9.875%, 8/01/2027 (n) | 30,000 | 30,757 | ||
| Life Time, Inc., 8%, 4/15/2026 (n) | 35,000 | 34,802 | ||
| NCL Corp. Ltd., 5.875%, 3/15/2026 (n) | 46,000 | 39,623 | ||
| NCL Corp. Ltd., 5.875%, 2/15/2027 (n) | 15,000 | 14,149 | ||
| Royal Caribbean Cruises Ltd., 5.375%, 7/15/2027 (n) | 42,000 | 37,288 | ||
| Royal Caribbean Cruises Ltd., 5.5%, 4/01/2028 (n) | 65,000 | 57,317 | ||
| SeaWorld Parks & Entertainment, 5.25%, 8/15/2029 (n) | 45,000 | 40,501 | ||
8
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Entertainment – continued | ||||
| VOC Escrow Ltd., 5%, 2/15/2028 (n) | $ | 30,000 | $26,678 | |
| $378,956 | ||||
| Financial Institutions – 1.8% | ||||
| Credit Acceptance Corp., 5.125%, 12/31/2024 (n) | $ | 67,000 | $63,827 | |
| Credit Acceptance Corp., 6.625%, 3/15/2026 | 8,000 | 7,645 | ||
| Global Aircraft Leasing Co. Ltd., 6.5% (6.5% Cash or 7.25% PIK), 9/15/2024 (n)(p) | 130,495 | 116,495 | ||
| Howard Hughes Corp., 4.125%, 2/01/2029 (n) | 86,000 | 72,295 | ||
| Nationstar Mortgage Holdings, Inc., 6%, 1/15/2027 (n) | 85,000 | 80,538 | ||
| OneMain Finance Corp., 6.875%, 3/15/2025 | 50,000 | 48,914 | ||
| OneMain Finance Corp., 7.125%, 3/15/2026 | 69,000 | 67,243 | ||
| Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 (n) | 62,000 | 52,422 | ||
| SLM Corp., 3.125%, 11/02/2026 | 70,000 | 61,250 | ||
| $570,629 | ||||
| Food & Beverages – 2.0% | ||||
| B&G Foods, Inc., 5.25%, 4/01/2025 | $ | 40,000 | $37,794 | |
| B&G Foods, Inc., 5.25%, 9/15/2027 | 15,000 | 13,137 | ||
| BellRing Brands, Inc., 7%, 3/15/2030 (n) | 71,000 | 72,738 | ||
| Central America Bottling Co., 5.25%, 4/27/2029 (n) | 200,000 | 186,506 | ||
| Performance Food Group Co., 5.5%, 10/15/2027 (n) | 76,000 | 74,486 | ||
| Post Holdings, Inc., 5.625%, 1/15/2028 (n) | 59,000 | 57,649 | ||
| Post Holdings, Inc., 4.625%, 4/15/2030 (n) | 80,000 | 72,257 | ||
| Primo Water Holding, Inc., 4.375%, 4/30/2029 (n) | 91,000 | 80,255 | ||
| U.S. Foods Holding Corp., 4.75%, 2/15/2029 (n) | 75,000 | 69,764 | ||
| $664,586 | ||||
| Gaming & Lodging – 1.7% | ||||
| Caesars Entertainment, Inc., 4.625%, 10/15/2029 (n) | $ | 28,000 | $24,564 | |
| Caesars Entertainment, Inc., 7%, 2/15/2030 (n) | 43,000 | 43,384 | ||
| Caesars Resort Collection LLC/CRC Finco, Inc., 8.125%, 7/01/2027 (n) | 58,000 | 59,174 | ||
| CCM Merger, Inc., 6.375%, 5/01/2026 (n) | 54,000 | 52,785 | ||
| Churchill Downs, Inc., 5.5%, 4/01/2027 (n) | 24,000 | 23,413 | ||
| Penn National Gaming, Inc., 4.125%, 7/01/2029 (n) | 8,000 | 6,740 | ||
| Sands China Ltd., 4.3%, 1/08/2026 | 200,000 | 187,952 | ||
| Scientific Games Holdings LP/Scientific Games US Finco, Inc., 6.625%, 3/01/2030 (n) | 48,000 | 42,587 | ||
| Wyndham Hotels & Resorts, Inc., 4.375%, 8/15/2028 (n) | 73,000 | 67,875 | ||
| Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029 (n) | 63,000 | 58,007 | ||
| $566,481 | ||||
9
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Industrial – 0.5% | ||||
| APi Escrow Corp., 4.75%, 10/15/2029 (n) | $ | 85,000 | $77,011 | |
| Williams Scotsman International, Inc., 4.625%, 8/15/2028 (n) | 80,000 | 73,456 | ||
| $150,467 | ||||
| Insurance - Property & Casualty – 0.7% | ||||
| Acrisure LLC/Acrisure Finance, Inc., 7%, 11/15/2025 (n) | $ | 36,000 | $34,378 | |
| Acrisure LLC/Acrisure Finance, Inc., 4.25%, 2/15/2029 (n) | 14,000 | 11,719 | ||
| Acrisure LLC/Acrisure Finance, Inc., 6%, 8/01/2029 (n) | 25,000 | 20,679 | ||
| Alliant Holdings Intermediate LLC, 6.75%, 10/15/2027 (n) | 30,000 | 28,005 | ||
| Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 5.875%, 11/01/2029 (n) | 5,000 | 4,313 | ||
| AssuredPartners, Inc., 5.625%, 1/15/2029 (n) | 40,000 | 34,630 | ||
| GTCR (AP) Finance, Inc., 8%, 5/15/2027 (n) | 30,000 | 29,326 | ||
| Hub International Ltd., 5.625%, 12/01/2029 (n) | 86,000 | 76,540 | ||
| $239,590 | ||||
| Machinery & Tools – 0.6% | ||||
| Ritchie Bros Holdings, Inc., 6.75%, 3/15/2028 (n) | $ | 45,000 | $46,575 | |
| Ritchie Bros Holdings, Inc., 7.75%, 3/15/2031 (n) | 85,000 | 90,312 | ||
| Terex Corp., 5%, 5/15/2029 (n) | 60,000 | 55,807 | ||
| $192,694 | ||||
| Medical & Health Technology & Services – 3.1% | ||||
| AdaptHealth LLC, 4.625%, 8/01/2029 (n) | $ | 34,000 | $27,554 | |
| Avantor Funding, Inc., 4.625%, 7/15/2028 (n) | 80,000 | 74,830 | ||
| Catalent, Inc., 3.125%, 2/15/2029 (n) | 81,000 | 68,933 | ||
| Charles River Laboratories International, Inc., 3.75%, 3/15/2029 (n) | 90,000 | 78,969 | ||
| CHS/Community Health Systems, Inc., 8%, 12/15/2027 (n) | 35,000 | 34,666 | ||
| CHS/Community Health Systems, Inc., 6.125%, 4/01/2030 (n) | 81,000 | 57,650 | ||
| CHS/Community Health Systems, Inc., 5.25%, 5/15/2030 (n) | 50,000 | 41,673 | ||
| DaVita, Inc., 4.625%, 6/01/2030 (n) | 60,000 | 52,264 | ||
| Encompass Health Corp., 5.75%, 9/15/2025 | 10,000 | 9,976 | ||
| Encompass Health Corp., 4.75%, 2/01/2030 | 68,000 | 62,708 | ||
| Encompass Health Corp., 4.625%, 4/01/2031 | 10,000 | 8,967 | ||
| IQVIA Holdings, Inc., 5%, 5/15/2027 (n) | 200,000 | 195,136 | ||
| Legacy LifePoint Health LLC, 4.375%, 2/15/2027 (n) | 25,000 | 21,270 | ||
| Regional Care/LifePoint Health, Inc., 9.75%, 12/01/2026 (n) | 45,000 | 37,423 | ||
| Syneos Health, Inc., 3.625%, 1/15/2029 (n) | 63,000 | 52,649 | ||
| Tenet Healthcare Corp., 6.125%, 10/01/2028 | 80,000 | 77,617 | ||
| Tenet Healthcare Corp., 4.375%, 1/15/2030 | 19,000 | 17,458 | ||
| Tenet Healthcare Corp., 6.125%, 6/15/2030 (n) | 53,000 | 52,423 | ||
| U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026 (n) | 50,000 | 44,625 | ||
| $1,016,791 | ||||
10
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Medical Equipment – 0.6% | ||||
| Embecta Corp., 5%, 2/15/2030 (n) | $ | 40,000 | $34,503 | |
| Garden SpinCo Corp., 8.625%, 7/20/2030 (n) | 68,000 | 73,100 | ||
| Mozart Debt Merger Sub, Inc., 5.25%, 10/01/2029 (n) | 35,000 | 30,274 | ||
| Teleflex, Inc., 4.625%, 11/15/2027 | 62,000 | 59,675 | ||
| $197,552 | ||||
| Metals & Mining – 1.9% | ||||
| Baffinland Iron Mines Corp./Baffinland Iron Mines LP, 8.75%, 7/15/2026 (n) | $ | 68,000 | $65,582 | |
| Coeur Mining, Inc., 5.125%, 2/15/2029 (n) | 57,000 | 47,008 | ||
| Compass Minerals International, Inc., 6.75%, 12/01/2027 (n) | 48,000 | 46,029 | ||
| Eldorado Gold Corp., 6.25%, 9/01/2029 (n) | 35,000 | 32,550 | ||
| Ero Copper Corp., 6.5%, 2/15/2030 (n) | 40,000 | 35,588 | ||
| FMG Resources Ltd., 4.375%, 4/01/2031 (n) | 95,000 | 82,520 | ||
| GrafTech Finance, Inc., 4.625%, 12/15/2028 (n) | 72,000 | 60,517 | ||
| Kaiser Aluminum Corp., 4.625%, 3/01/2028 (n) | 52,000 | 45,918 | ||
| Kaiser Aluminum Corp., 4.5%, 6/01/2031 (n) | 75,000 | 59,435 | ||
| Novelis Corp., 3.25%, 11/15/2026 (n) | 14,000 | 12,816 | ||
| Novelis Corp., 4.75%, 1/30/2030 (n) | 61,000 | 55,197 | ||
| Novelis Corp., 3.875%, 8/15/2031 (n) | 59,000 | 49,407 | ||
| Petra Diamonds US$ Treasury PLC, 10.5% (10.5% PIK/9.75% Cash to 6/30/2023), 9.75% Cash to 3/08/2026 (n)(p) | 30,091 | 28,436 | ||
| TMS International Corp., 6.25%, 4/15/2029 (n) | 10,000 | 7,728 | ||
| $628,731 | ||||
| Midstream – 2.8% | ||||
| DT Midstream, Inc., 4.125%, 6/15/2029 (n) | $ | 49,000 | $43,426 | |
| DT Midstream, Inc., 4.375%, 6/15/2031 (n) | 84,000 | 73,039 | ||
| EQM Midstream Partners LP, 6%, 7/01/2025 (n) | 6,000 | 5,895 | ||
| EQM Midstream Partners LP, 6.5%, 7/01/2027 (n) | 5,000 | 4,875 | ||
| EQM Midstream Partners LP, 5.5%, 7/15/2028 | 105,000 | 95,710 | ||
| EQM Midstream Partners LP, 4.5%, 1/15/2029 (n) | 70,000 | 59,489 | ||
| Genesis Energy LP/Genesis Energy Finance Corp., 8%, 1/15/2027 | 20,000 | 19,958 | ||
| Genesis Energy LP/Genesis Energy Finance Corp., 8.875%, 4/15/2030 | 50,000 | 50,067 | ||
| Kinetik Holdings, Inc., 5.875%, 6/15/2030 (n) | 100,000 | 95,797 | ||
| NuStar Logistics, LP, 6.375%, 10/01/2030 | 6,000 | 5,778 | ||
| Peru LNG, 5.375%, 3/22/2030 | 200,000 | 161,500 | ||
| Tallgrass Energy Partners LP, 6%, 3/01/2027 (n) | 22,000 | 21,226 | ||
| Tallgrass Energy Partners LP, 5.5%, 1/15/2028 (n) | 88,000 | 81,415 | ||
| Targa Resources Partners LP/Targa Resources Finance Corp., 6.875%, 1/15/2029 | 70,000 | 71,491 | ||
| Venture Global Calcasieu Pass LLC, 3.875%, 8/15/2029 (n) | 75,000 | 67,365 | ||
| Venture Global Calcasieu Pass LLC, 6.25%, 1/15/2030 (n) | 16,000 | 16,224 | ||
11
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Midstream – continued | ||||
| Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031 (n) | $ | 50,000 | $44,293 | |
| $917,548 | ||||
| Network & Telecom – 0.6% | ||||
| Iliad Holding S.A.S., 7%, 10/15/2028 (n) | $ | 200,000 | $189,233 | |
| Oil Services – 0.8% | ||||
| MV24 Capital B.V., 6.748%, 6/01/2034 (n) | $ | 171,300 | $152,967 | |
| Nabors Industries Ltd., 7.25%, 1/15/2026 (n) | 65,000 | 61,267 | ||
| Solaris Midstream Holding LLC, 7.625%, 4/01/2026 (n) | 44,000 | 42,240 | ||
| $256,474 | ||||
| Oils – 0.4% | ||||
| Parkland Corp., 4.625%, 5/01/2030 (n) | $ | 100,000 | $87,008 | |
| PBF Holding Co. LLC/PBF Finance Corp., 6%, 2/15/2028 | 40,000 | 36,794 | ||
| $123,802 | ||||
| Other Banks & Diversified Financials – 0.1% | ||||
| Macquarie AirFinance Ltd., 8.375%, 5/01/2028 (n) | $ | 39,000 | $39,026 | |
| Personal Computers & Peripherals – 0.3% | ||||
| NCR Corp., 5%, 10/01/2028 (n) | $ | 62,000 | $54,075 | |
| NCR Corp., 5.125%, 4/15/2029 (n) | 48,000 | 41,520 | ||
| $95,595 | ||||
| Pharmaceuticals – 0.8% | ||||
| 1375209 BC Ltd., 9%, 1/30/2028 (n) | $ | 35,000 | $34,650 | |
| Bausch Health Co., Inc., 11%, 9/30/2028 (n) | 37,000 | 29,831 | ||
| Bausch Health Co., Inc., 14%, 10/15/2030 (n) | 6,000 | 3,840 | ||
| Organon Finance 1 LLC, 4.125%, 4/30/2028 (n) | 200,000 | 184,001 | ||
| $252,322 | ||||
| Pollution Control – 0.5% | ||||
| GFL Environmental, Inc., 4.25%, 6/01/2025 (n) | $ | 20,000 | $19,454 | |
| GFL Environmental, Inc., 4%, 8/01/2028 (n) | 55,000 | 50,198 | ||
| GFL Environmental, Inc., 4.75%, 6/15/2029 (n) | 20,000 | 18,614 | ||
| GFL Environmental, Inc., 4.375%, 8/15/2029 (n) | 25,000 | 22,626 | ||
| Stericycle, Inc., 3.875%, 1/15/2029 (n) | 70,000 | 62,979 | ||
| $173,871 | ||||
| Precious Metals & Minerals – 0.3% | ||||
| IAMGOLD Corp., 5.75%, 10/15/2028 (n) | $ | 60,000 | $47,401 | |
| Taseko Mines Ltd., 7%, 2/15/2026 (n) | 45,000 | 41,517 | ||
| $88,918 | ||||
12
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Printing & Publishing – 0.4% | ||||
| Cimpress PLC, 7%, 6/15/2026 | $ | 150,000 | $125,583 | |
| Real Estate - Healthcare – 0.2% | ||||
| MPT Operating Partnership LP/MPT Finance Corp., REIT, 5%, 10/15/2027 | $ | 74,000 | $61,987 | |
| Real Estate - Other – 0.2% | ||||
| XHR LP, REIT, 4.875%, 6/01/2029 (n) | $ | 70,000 | $60,754 | |
| Restaurants – 0.1% | ||||
| Fertitta Entertainment LLC, 6.75%, 1/15/2030 (n) | $ | 55,000 | $44,555 | |
| Retailers – 0.9% | ||||
| Asbury Automotive Group, Inc., 4.625%, 11/15/2029 (n) | $ | 70,000 | $62,301 | |
| Bath & Body Works, Inc., 5.25%, 2/01/2028 | 101,000 | 96,556 | ||
| Hanesbrands, Inc., 9%, 2/15/2031 (n) | 35,000 | 35,828 | ||
| Macy's Retail Holdings LLC, 5.875%, 4/01/2029 (n) | 39,000 | 35,725 | ||
| Victoria's Secret & Co., 4.625%, 7/15/2029 (n) | 69,000 | 55,807 | ||
| $286,217 | ||||
| Specialty Stores – 0.5% | ||||
| Group 1 Automotive, Inc., 4%, 8/15/2028 (n) | $ | 51,000 | $45,256 | |
| Lithia Motors, Inc., 3.875%, 6/01/2029 (n) | 20,000 | 17,312 | ||
| Michael Cos., Inc., 5.25%, 5/01/2028 (n) | 35,000 | 28,833 | ||
| Michael Cos., Inc., 7.875%, 5/01/2029 (n) | 40,000 | 26,814 | ||
| Penske Automotive Group Co., 3.75%, 6/15/2029 | 69,000 | 59,996 | ||
| $178,211 | ||||
| Supermarkets – 0.2% | ||||
| Albertsons Cos. LLC/Safeway, Inc., 4.625%, 1/15/2027 (n) | $ | 35,000 | $33,834 | |
| Albertsons Cos. LLC/Safeway, Inc., 3.5%, 3/15/2029 (n) | 50,000 | 44,300 | ||
| $78,134 | ||||
| Telecommunications - Wireless – 1.2% | ||||
| Altice France S.A., 6%, 2/15/2028 (n) | $ | 200,000 | $123,154 | |
| Millicom International Cellular S.A., 4.5%, 4/27/2031 (n) | 200,000 | 154,821 | ||
| SBA Communications Corp., 3.875%, 2/15/2027 | 51,000 | 47,568 | ||
| SBA Communications Corp., 3.125%, 2/01/2029 | 95,000 | 81,273 | ||
| $406,816 | ||||
| Tobacco – 0.1% | ||||
| Vector Group Ltd., 5.75%, 2/01/2029 (n) | $ | 35,000 | $31,312 | |
| U.S. Treasury Obligations – 0.4% | ||||
| U.S. Treasury Notes, 3%, 6/30/2024 | $ | 123,000 | $120,699 | |
13
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Utilities - Electric Power – 3.8% | ||||
| Adani Green Energy (UP) Ltd./Prayatna Developers Private Ltd., 6.25%, 12/10/2024 (n) | $ | 200,000 | $190,711 | |
| Calpine Corp., 4.5%, 2/15/2028 (n) | 73,000 | 67,985 | ||
| Calpine Corp., 5.125%, 3/15/2028 (n) | 78,000 | 72,049 | ||
| Clearway Energy Operating LLC, 4.75%, 3/15/2028 (n) | 49,000 | 46,436 | ||
| Clearway Energy Operating LLC, 3.75%, 2/15/2031 (n) | 121,000 | 103,523 | ||
| Greenko Dutch B.V. (Republic of India), 3.85%, 3/29/2026 (n) | 188,000 | 169,200 | ||
| Investment Energy Resources Ltd., 6.25%, 4/26/2029 (n) | 200,000 | 185,000 | ||
| Mercury Chile Holdco LLC, 6.5%, 1/24/2027 (n) | 200,000 | 187,460 | ||
| NextEra Energy, Inc., 4.25%, 7/15/2024 (n) | 6,000 | 5,910 | ||
| NextEra Energy, Inc., 4.25%, 9/15/2024 (n) | 10,000 | 9,600 | ||
| NextEra Energy, Inc., 4.5%, 9/15/2027 (n) | 50,000 | 47,000 | ||
| TerraForm Global Operating LLC, 6.125%, 3/01/2026 (n) | 50,000 | 47,812 | ||
| TerraForm Power Operating LLC, 5%, 1/31/2028 (n) | 88,000 | 84,260 | ||
| TerraForm Power Operating LLC, 4.75%, 1/15/2030 (n) | 32,000 | 29,680 | ||
| $1,246,626 | ||||
| Total Bonds (Identified Cost, $18,789,223) | $17,204,503 | |||
| Common Stocks – 42.2% | ||||
| Aerospace & Defense – 2.9% | ||||
| Honeywell International, Inc. | 1,903 | $380,296 | ||
| Northrop Grumman Corp. | 1,249 | 576,126 | ||
| $956,422 | ||||
| Brokerage & Asset Managers – 2.3% | ||||
| Citigroup, Inc. | 8,120 | $382,208 | ||
| NASDAQ, Inc. | 6,758 | 374,191 | ||
| $756,399 | ||||
| Business Services – 1.8% | ||||
| Accenture PLC, “A” | 1,026 | $287,577 | ||
| Equifax, Inc. (f) | 1,373 | 286,106 | ||
| $573,683 | ||||
| Cable TV – 1.7% | ||||
| Comcast Corp., “A” | 12,876 | $532,680 | ||
| Intelsat Emergence S.A. (a) | 705 | 17,449 | ||
| $550,129 | ||||
| Construction – 0.9% | ||||
| Sherwin-Williams Co. | 1,247 | $296,212 | ||
| Electronics – 1.6% | ||||
| Texas Instruments, Inc. | 3,167 | $529,522 | ||
14
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Common Stocks – continued | ||||
| Energy - Independent – 2.7% | ||||
| ConocoPhillips | 3,344 | $344,064 | ||
| Pioneer Natural Resources Co. | 2,434 | 529,517 | ||
| $873,581 | ||||
| Food & Beverages – 1.6% | ||||
| Nestle S.A., ADR | 4,165 | $534,203 | ||
| Gaming & Lodging – 1.4% | ||||
| Marriott International, Inc., “A” | 2,639 | $446,888 | ||
| Health Maintenance Organizations – 1.7% | ||||
| Cigna Group | 2,216 | $561,291 | ||
| Insurance – 5.9% | ||||
| Aon PLC | 1,833 | $596,055 | ||
| Marsh & McLennan Cos., Inc. | 3,445 | 620,755 | ||
| Progressive Corp. | 5,156 | 703,278 | ||
| $1,920,088 | ||||
| Machinery & Tools – 1.2% | ||||
| Illinois Tool Works, Inc. | 1,581 | $382,507 | ||
| Major Banks – 3.5% | ||||
| JPMorgan Chase & Co. | 4,448 | $614,892 | ||
| Morgan Stanley | 5,650 | 508,330 | ||
| $1,123,222 | ||||
| Medical Equipment – 1.1% | ||||
| Thermo Fisher Scientific, Inc. | 637 | $353,471 | ||
| Oil Services – 0.1% | ||||
| LTRI Holdings LP (a)(u) | 60 | $20,102 | ||
| Other Banks & Diversified Financials – 1.6% | ||||
| American Express Co. | 3,226 | $520,483 | ||
| Pharmaceuticals – 2.8% | ||||
| Johnson & Johnson | 3,609 | $590,793 | ||
| Pfizer, Inc. | 8,212 | 319,365 | ||
| $910,158 | ||||
| Real Estate – 1.3% | ||||
| Prologis, Inc., REIT | 3,379 | $423,220 | ||
| Specialty Stores – 1.4% | ||||
| Lowe's Cos., Inc. | 2,176 | $452,238 | ||
15
Portfolio of Investments (unaudited)
– continued
| Issuer | Shares/Par | Value ($) | ||
| Common Stocks – continued | ||||
| Utilities - Electric Power – 4.7% | ||||
| Dominion Energy, Inc. | 8,961 | $512,032 | ||
| Duke Energy Corp. | 5,082 | 502,508 | ||
| Southern Co. | 7,171 | 527,427 | ||
| $1,541,967 | ||||
| Total Common Stocks (Identified Cost, $9,430,558) | $13,725,786 | |||
| Exchange-Traded Funds – 1.2% | ||||
| Fixed Income ETFs – 1.2% | ||||
| iShares iBoxx $ High Yield Corporate Bond ETF (Identified Cost, $390,290) | 5,200 | $391,872 | ||
| Contingent Value Rights – 0.0% | ||||
| Cable TV – 0.0% | ||||
| Intelsat Jackson Holdings S.A. - Series A, 12/05/2025 (a) | 73 | $475 | ||
| Intelsat Jackson Holdings S.A. - Series B, 12/05/2025 (a) | 73 | 310 | ||
| Total Contingent Value Rights (Identified Cost, $0) | $785 | |||
| Investment Companies (h) – 3.0% | ||||
| Money Market Funds – 3.0% | ||||
| MFS Institutional Money Market Portfolio, 4.59% (v) (Identified Cost, $970,998) | 971,040 | $971,234 | ||
| Other Assets, Less Liabilities – 0.8% | 276,588 | |||
| Net Assets – 100.0% | $32,570,768 | |||
| (a) | Non-income producing security. | |||
| (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 $971,234 and $31,322,946, respectively. | |||
| (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 $14,200,369, representing 43.6% of net assets. | |||
| (p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. | |||
| (u) | The security was valued using significant unobservable inputs and is considered level 3 under the fair value hierarchy. For further information about the fund’s level 3 holdings, please see Note 2 in the Notes to Financial Statements. | |||
| (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. |
16
Portfolio of Investments (unaudited)
– continued
| The following abbreviations are used in this report and are defined: | |
| ADR | American Depositary Receipt |
| ETF | Exchange-Traded Fund |
| REIT | Real Estate Investment Trust |
| Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below: | |
| EUR | Euro |
Derivative Contracts at 4/30/23
| Forward Foreign Currency Exchange Contracts | ||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
| Liability Derivatives | ||||||
| USD | 85,413 | EUR | 77,514 | HSBC Bank | 7/21/2023 | $(377) |
| Futures Contracts | ||||||
| Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
| Asset Derivatives | ||||||
| Interest Rate Futures | ||||||
| U.S. Treasury Bond | Long | USD | 1 | $131,656 | June – 2023 | $6,368 |
At April 30, 2023, the fund had
liquid securities with an aggregate value of $6,460 to cover any collateral or margin obligations for certain derivative contracts.
See Notes to Financial Statements
17
Financial Statements
Statement of Assets and
Liabilities
At 4/30/23 (unaudited)
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, $28,610,071) | $31,322,946 |
| Investments in affiliated issuers, at value (identified cost, $970,998) | 971,234 |
| Cash | 20,032 |
| Receivables for | |
| Net daily variation margin on open futures contracts | 1,255 |
| Investments sold | 164,314 |
| Interest and dividends | 296,457 |
| Other assets | 16,199 |
| Total assets | $32,792,437 |
| Liabilities | |
| Payables for | |
| Distributions | $13,567 |
| Forward foreign currency exchange contracts | 377 |
| Investments purchased | 126,949 |
| Payable to affiliates | |
| Investment adviser | 3,195 |
| Administrative services fee | 192 |
| Transfer agent and dividend disbursing costs | 337 |
| Payable for independent Trustees' compensation | 398 |
| Accrued expenses and other liabilities | 76,654 |
| Total liabilities | $221,669 |
| Net assets | $32,570,768 |
| Net assets consist of | |
| Paid-in capital | $30,704,678 |
| Total distributable earnings (loss) | 1,866,090 |
| Net assets | $32,570,768 |
| Shares of beneficial interest outstanding | 7,307,087 |
| Net asset value per share (net assets of $32,570,768 / 7,307,087 shares of beneficial interest outstanding) | $4.46 |
See Notes to Financial Statements
18
Financial Statements
Statement of Operations
Six months ended 4/30/23
(unaudited)
This statement describes how much
your fund earned in investment income and accrued in expenses. It also describes any gains and/or losses generated by fund operations.
| Net investment income (loss) | |
| Income | |
| Interest | $552,934 |
| Dividends | 185,287 |
| Dividends from affiliated issuers | 16,428 |
| Other | 131 |
| Foreign taxes withheld | (1,990) |
| Total investment income | $752,790 |
| Expenses | |
| Management fee | $137,514 |
| Transfer agent and dividend disbursing costs | 6,905 |
| Administrative services fee | 8,679 |
| Independent Trustees' compensation | 2,503 |
| Stock exchange fee | 11,845 |
| Custodian fee | 2,345 |
| Shareholder communications | 21,583 |
| Audit and tax fees | 43,825 |
| Legal fees | 162 |
| Miscellaneous | 18,663 |
| Total expenses | $254,024 |
| Net investment income (loss) | $498,766 |
| Realized and unrealized gain (loss) | |
| Realized gain (loss) (identified cost basis) | |
| Unaffiliated issuers | $488,163 |
| Affiliated issuers | 97 |
| Futures contracts | 16,706 |
| Forward foreign currency exchange contracts | (5,811) |
| Foreign currency | (85) |
| Net realized gain (loss) | $499,070 |
| Change in unrealized appreciation or depreciation | |
| Unaffiliated issuers | $770,350 |
| Affiliated issuers | 157 |
| Futures contracts | (4,667) |
| Forward foreign currency exchange contracts | (377) |
| Translation of assets and liabilities in foreign currencies | 28 |
| Net unrealized gain (loss) | $765,491 |
| Net realized and unrealized gain (loss) | $1,264,561 |
| Change in net assets from operations | $1,763,327 |
See Notes to Financial Statements
19
Financial Statements
Statements of Changes in Net
Assets
These statements describe the
increases and/or decreases in net assets resulting from operations, any distributions, and any shareholder transactions.
| Six months ended | Year ended | |
| 4/30/23 (unaudited) | 10/31/22 | |
| Change in net assets | ||
| From operations | ||
| Net investment income (loss) | $498,766 | $843,924 |
| Net realized gain (loss) | 499,070 | 1,287,045 |
| Net unrealized gain (loss) | 765,491 | (6,293,001) |
| Change in net assets from operations | $1,763,327 | $(4,162,032) |
| Distributions to shareholders | $(919,255) | $(2,171,339) |
| Tax return of capital distributions to shareholders | $— | $(1,486,857) |
| Distributions from other sources | $(718,067) | $— |
| Change in net assets from fund share transactions | $14,139 | $188,978 |
| Total change in net assets | $140,144 | $(7,631,250) |
| Net assets | ||
| At beginning of period | 32,430,624 | 40,061,874 |
| At end of period | $32,570,768 | $32,430,624 |
See Notes to Financial Statements
20
Financial Statements
Financial Highlights
The financial highlights table is
intended to help you understand the fund's financial performance for the semiannual period and the past 5 fiscal years. Certain information reflects financial results for a single fund share. The total returns in the
table represent the rate that an investor would have earned (or lost) on an investment in the fund share class (assuming reinvestment of all distributions) held for the entire period.
| Six months ended | Year ended | |||||
| 4/30/23 (unaudited) | 10/31/22 | 10/31/21 | 10/31/20 | 10/31/19 | 10/31/18 | |
| Net asset value, beginning of period | $4.44 | $5.51 | $5.15 | $5.60 | $5.43 | $6.03 |
| Income (loss) from investment operations | ||||||
| Net investment income (loss) (d) | $0.07 | $0.12 | $0.12 | $0.15 | $0.16 | $0.16 |
| Net realized and unrealized gain (loss) | 0.17 | (0.69) | 0.79 | (0.07) | 0.56 | (0.18) |
| Total from investment operations | $0.24 | $(0.57) | $0.91 | $0.08 | $0.72 | $(0.02) |
| Less distributions declared to shareholders | ||||||
| From net investment income | $(0.12) | $(0.13) | $(0.16) | $(0.16) | $(0.17) | $(0.18) |
| From net realized gain | — | (0.17) | (0.21) | (0.36) | (0.03) | (0.11) |
| From tax return of capital | — | (0.20) | (0.18) | (0.01) | (0.35) | (0.29) |
| From other sources | (0.10) | — | — | — | — | — |
| Total distributions declared to shareholders | $(0.22) | $(0.50) | $(0.55) | $(0.53) | $(0.55) | $(0.58) |
| Net increase from repurchase of capital shares | $— | $— | $— | $0.00(w) | $— | $— |
| Net asset value, end of period | $4.46 | $4.44 | $5.51 | $5.15 | $5.60 | $5.43 |
| Market value, end of period | $4.34 | $4.28 | $6.77 | $5.25 | $6.48 | $5.49 |
| Total return at market value (%) (j)(r)(s)(x) | 6.64(n) | (30.40) | 41.18 | (10.63) | 30.24 | (8.87) |
| Total return at net asset value (%) | 5.71(n) | (11.35) | 17.13 | 1.44 | 13.80 | (0.44) |
| Ratios (%) (to average net assets) and Supplemental data: | ||||||
| Expenses | 1.56(a) | 1.49 | 1.38 | 1.44 | 1.41 | 1.39 |
| Net investment income (loss) | 3.06(a) | 2.35 | 2.27 | 2.76 | 2.89 | 2.76 |
| Portfolio turnover | 16(n) | 24 | 38 | 48 | 34 | 33 |
| Net assets at end of period (000 omitted) | $32,571 | $32,431 | $40,062 | $37,202 | $40,258 | $38,834 |
See Notes to Financial Statements
21
Financial Highlights – continued
| (a) | Annualized. |
| (d) | Per share data is based on average shares outstanding. |
| (j) | Total return at net asset value is calculated using the net asset value of the fund, not the publicly traded price and therefore may be different than the total return at market value. |
| (n) | Not annualized. |
| (r) | Certain expenses have been reduced without which performance would have been lower. |
| (s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
| (w) | Per share amount was less than $0.01. |
| (x) | The net asset values and total returns at net asset value have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
See Notes to Financial Statements
22
Notes to Financial Statements
(unaudited)
(1) Business and
Organization
MFS Special Value Trust (the fund)
is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as a diversified closed-end management investment company.
The fund is an investment company
and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment
Companies.
(2) Significant Accounting
Policies
General — The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations
during the reporting period. Actual results could differ from those estimates. In the preparation of these financial statements, management has evaluated subsequent events occurring after the date of the fund’s
Statement of Assets and Liabilities through the date that the financial statements were issued. The fund invests in high-yield securities rated below investment grade. Investments in below investment grade quality securities can involve a substantially greater risk of default or can
already be in default, and their values can decline significantly. Below investment grade quality securities tend to be more sensitive to adverse news about the issuer, or the market or economy in general, than higher
quality debt instruments. The fund invests in foreign securities. Investments in foreign securities are vulnerable to the effects of changes in the relative values of the local currency and the U.S. dollar and to
the effects of changes in each country’s market, economic, industrial, political, regulatory, geopolitical, environmental, public health, and other conditions.
Balance Sheet Offsetting — The fund's accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the International
Swaps and Derivatives Association (ISDA) Master Agreement, or similar agreement, does not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and
Liabilities across transactions between the fund and the applicable counterparty. The fund's right to setoff may be restricted or prohibited by the bankruptcy or insolvency laws of the particular jurisdiction to which
a specific master netting agreement counterparty is subject. Balance sheet offsetting disclosures, to the extent applicable to the fund, have been included in the fund’s Significant Accounting Policies note
under the captions for each of the fund’s in-scope financial instruments and transactions.
Investment Valuations — Subject to its oversight, the fund's Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments to MFS as
the fund's adviser, pursuant to the fund’s valuation policy and procedures which have been adopted by the adviser and approved by the Board. In accordance with Rule 2a-5 under the Investment Company Act of
1940, the Board of Trustees designated the adviser as the “valuation designee” of the fund. If the
23
Notes to Financial
Statements (unaudited) - continued
adviser, as valuation designee, determines that
reliable market quotations are not readily available for an investment, the investment is valued at fair value as determined in good faith by the adviser in accordance with the adviser’s fair valuation policy
and procedures.
Under the fund's valuation policy
and procedures, equity securities, including restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing
service. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided by a third-party pricing
service. 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.
Forward foreign currency exchange contracts are
generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for proximate time periods. Open-end investment companies are generally valued
at net asset value per share. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided
by a third-party pricing service.
Under the fund’s valuation
policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based
on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser’s fair valuation policy and procedures. Securities and other assets generally valued on the
basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information
such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other market data. An investment may also be valued at fair value if the adviser determines that the
investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the
determination of the fund’s net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally
traded. Events that occur after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination of the fund’s net asset value may be
deemed to have a material effect on the value of securities traded in foreign markets. Accordingly, the fund’s foreign equity securities may often be valued at fair value. The adviser generally relies on
third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the
business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes
of calculating the fund’s net asset value can differ depending on the source and method used to determine
24
Notes to Financial
Statements (unaudited) - continued
value. When fair valuation is used, the value of an
investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an
investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.
Various inputs are used in
determining the value of the fund's assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value
hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund's assessment of the significance of a
particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or
liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes significant
unobservable inputs, which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts and forward foreign
currency exchange contracts. The following is a summary of the levels used as of April 30, 2023 in valuing the fund's assets and liabilities:
| Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
| Equity Securities: | ||||
| United States | $13,545,904 | $— | $20,102 | $13,566,006 |
| Switzerland | 534,203 | — | — | 534,203 |
| Luxembourg | — | 18,234 | — | 18,234 |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 120,699 | — | 120,699 |
| Non - U.S. Sovereign Debt | — | 89,558 | — | 89,558 |
| U.S. Corporate Bonds | — | 12,826,588 | — | 12,826,588 |
| Foreign Bonds | — | 4,167,658 | — | 4,167,658 |
| Mutual Funds | 971,234 | — | — | 971,234 |
| Total | $15,051,341 | $17,222,737 | $20,102 | $32,294,180 |
| Other Financial Instruments | ||||
| Futures Contracts – Assets | $6,368 | $— | $— | $6,368 |
| Forward Foreign Currency Exchange Contracts – Liabilities | — | (377) | — | (377) |
For further information regarding
security characteristics, see the Portfolio of Investments.
25
Notes to Financial
Statements (unaudited) - continued
The following is a reconciliation of
level 3 assets for which significant unobservable inputs were used to determine fair value. The table presents the activity of level 3 securities held at the beginning and the end of the period.
| Equity Securities | |
| Balance as of 10/31/22 | $33,721 |
| Realized gain (loss) | 9,939 |
| Change in unrealized appreciation or depreciation | (13,619) |
| Disposed of as part of a corporate action | (9,939) |
| Balance as of 4/30/23 | $20,102 |
The net change in unrealized
appreciation or depreciation from investments held as level 3 at April 30, 2023 is $(4,574). At April 30, 2023, the fund held one level 3 security.
Derivatives — The fund uses derivatives primarily to increase or decrease exposure to a particular market or segment of the market, or security, to increase or decrease interest rate exposure,
or as alternatives to direct investments. Derivatives are used for hedging or non-hedging purposes. While hedging can reduce or eliminate losses, it can also reduce or eliminate gains. When the fund uses derivatives
as an investment to increase market exposure, or for hedging purposes, gains and losses from derivative instruments may be substantially greater than the derivative’s original cost.
The derivative instruments used by
the fund during the period were futures contracts and forward foreign currency exchange contracts. Depending on the type of derivative, a fund may exit a derivative position by entering into an offsetting transaction
with a counterparty or exchange, negotiating an agreement with the derivative counterparty, or novating the position to a third party. The fund may be unable to promptly close out a futures position in instances where
the daily fluctuation in the price for that type of future exceeds the daily limit set by the exchange. The fund's period end derivatives, as presented in the Portfolio of Investments and the associated Derivative
Contract tables, generally are indicative of the volume of its derivative activity during the period.
The following table presents, by
major type of derivative contract, the fair value, on a gross basis, of the asset and liability components of derivatives held by the fund at April 30, 2023 as reported in the Statement of Assets and Liabilities:
| Fair Value (a) | |||
| Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
| Interest Rate | Futures Contracts | $6,368 | $— |
| Foreign Exchange | Forward Foreign Currency Exchange Contracts | — | (377) |
| Total | $6,368 | $(377) | |
| (a) | Values presented in this table for futures contracts correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts is reported separately within the Statement of Assets and Liabilities. |
26
Notes to Financial
Statements (unaudited) - continued
The following table presents, by
major type of derivative contract, the realized gain (loss) on derivatives held by the fund for the six months ended April 30, 2023 as reported in the Statement of Operations:
| Risk | Futures Contracts | Forward Foreign Currency Exchange Contracts |
| Interest Rate | $16,706 | $— |
| Foreign Exchange | — | (5,811) |
| Total | $16,706 | $(5,811) |
The following table presents, by
major type of derivative contract, the change in unrealized appreciation or depreciation on derivatives held by the fund for the six months ended April 30, 2023 as reported in the Statement of Operations:
| Risk | Futures Contracts | Forward Foreign Currency Exchange Contracts |
| Interest Rate | $(4,667) | $— |
| Foreign Exchange | — | (377) |
| Total | $(4,667) | $(377) |
Derivative counterparty credit risk
is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain, but not all, uncleared derivatives, the fund attempts to reduce its exposure to counterparty credit risk
whenever possible by entering into an ISDA Master Agreement on a bilateral basis. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if
there is a specified deterioration in the credit quality of the other party. Upon an event of default or a termination of the ISDA Master Agreement, the non-defaulting party has the right to close out all transactions
traded under such agreement and to net amounts owed under each agreement to one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA
Master Agreement could result in a reduction of the fund's credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions, if any.
Collateral and margin requirements
differ by type of derivative. For cleared derivatives (e.g., futures contracts, cleared swaps, and exchange-traded options), margin requirements are set by the clearing broker and the clearing house and collateral, in
the form of cash or securities, is posted by the fund directly with the clearing broker. Collateral terms are counterparty agreement specific for uncleared derivatives (e.g., forward foreign currency exchange
contracts, uncleared swap agreements, and uncleared options) and collateral, in the form of cash and securities, is held in segregated accounts with the fund's custodian in connection with these agreements. For
derivatives traded under an ISDA Master Agreement, which contains a credit support annex, the collateral requirements are netted across all transactions traded under such counterparty-specific agreement and an amount
is posted from one party to the other to collateralize such obligations. Cash that has been segregated or
27
Notes to Financial
Statements (unaudited) - continued
delivered to cover the fund's collateral or margin
obligations under derivative contracts, if any, will be reported separately in the Statement of Assets and Liabilities as restricted cash for uncleared derivatives and/or deposits with brokers for cleared derivatives.
Securities pledged as collateral or margin for the same purpose, if any, are noted in the Portfolio of Investments. The fund may be required to make payments of interest on uncovered collateral or margin obligations
with the broker. Any such payments are included in “Miscellaneous” expense in the Statement of Operations.
Futures Contracts — The fund entered into futures contracts which may be used to hedge against or obtain broad market exposure, interest rate exposure, currency exposure, or to manage duration. A
futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures
contract, the fund is required to deposit with the broker, either in cash or securities, an initial margin in an amount equal to a specified percentage of the notional amount of the contract. Subsequent payments
(variation margin) are made or received by the fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gain or loss by the fund
until the contract is closed or expires at which point the gain or loss on futures contracts is realized.
The fund bears the risk of interest
rates, exchange rates or securities prices moving unexpectedly, in which case, the fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. While futures contracts may present
less counterparty risk to the fund since the contracts are exchange traded and the exchange’s clearinghouse guarantees payments to the broker, there is still counterparty credit risk due to the insolvency of the
broker. The fund’s maximum risk of loss due to counterparty credit risk is equal to the margin posted by the fund to the broker plus any gains or minus any losses on the outstanding futures contracts.
Forward Foreign Currency Exchange
Contracts — The fund entered into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. These contracts may be
used to hedge the fund’s currency risk or for non-hedging purposes. For hedging purposes, the fund may enter into contracts to deliver or receive foreign currency that the fund will receive from or use in its
normal investment activities. The fund may also use contracts to hedge against declines in the value of foreign currency denominated securities due to unfavorable exchange rate movements. For non-hedging purposes, the
fund may enter into contracts with the intent of changing the relative exposure of the fund’s portfolio of securities to different currencies to take advantage of anticipated exchange rate changes.
Forward foreign currency exchange
contracts are adjusted by the daily exchange rate of the underlying currency and any unrealized gains or losses are recorded as a receivable or payable for forward foreign currency exchange contracts until the
contract settlement date. On contract settlement date, any gain or loss on the contract is recorded as realized gains or losses on forward foreign currency exchange contracts.
Risks may arise upon entering into
these contracts from unanticipated movements in the value of the contract and from the potential inability of counterparties to meet the terms of their contracts. Generally, the fund’s maximum risk due to
counterparty credit risk is the unrealized gain on the contract due to the use of Continuous Linked Settlement, a multicurrency cash settlement system for the centralized settlement of
28
Notes to Financial
Statements (unaudited) - continued
foreign transactions. This risk is mitigated in
cases where there is an ISDA Master Agreement between the fund and the counterparty providing for netting as described above 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.
Indemnifications — Under the fund's organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to
the fund. Additionally, in the normal course of business, the fund enters into agreements with service providers that may contain indemnification clauses. The fund's maximum exposure under these agreements is unknown
as this would involve future claims that may be made against the fund that have not yet occurred.
Investment Transactions and
Income — Investment transactions are recorded on the trade date. Interest income is recorded on the accrual basis. All premium and discount is amortized or accreted for financial statement purposes in accordance with U.S. generally accepted accounting principles. Dividends received in cash are recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded when the fund is informed of the dividend if such information is
obtained subsequent to the ex-dividend date. Dividend and interest payments received in additional securities are recorded on the ex-dividend or ex-interest date in an amount equal to the value of the security on such
date. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis. The fund earns certain fees in connection with its floating rate loan purchasing activities. These fees are in addition to interest payments earned and may include amendment fees,
commitment fees, facility fees, consent fees, and prepayment fees. Commitment fees are recorded on an accrual basis as income in the accompanying financial statements.
Debt obligations may be placed on non-accrual
status or set to accrue at a rate of interest less than the contractual coupon when the collection of all or a portion of interest has become doubtful. Interest income for those debt obligations may be further reduced
by the write-off of the related interest receivables when deemed uncollectible.
The fund may receive proceeds from
litigation settlements. Any proceeds received from litigation involving portfolio holdings are reflected in the Statement of Operations in realized gain/loss if the security has been disposed of by the fund or in
unrealized gain/loss if the security is still held by the fund. Any other proceeds from litigation not related to portfolio holdings are reflected as other income in the Statement of Operations.
Tax Matters and Distributions — The fund intends to qualify as a regulated investment company, as defined under Subchapter M of the Internal Revenue Code, and to distribute all of its taxable income, including
realized capital gains. As a result, no provision for federal income tax is required. The fund’s federal tax returns, when filed, will remain subject to examination by the Internal Revenue Service for a three
year period. Management has analyzed the fund’s tax positions taken on federal and state tax returns for all open tax years and does not believe that there are any uncertain tax positions that require
recognition of a tax liability. Foreign taxes, if any, have been accrued by the fund in the accompanying financial statements in accordance with the
29
Notes to Financial
Statements (unaudited) - continued
applicable foreign tax law. Foreign income taxes
may be withheld by certain countries in which the fund invests. Additionally, capital gains realized by the fund on securities issued in or by certain foreign countries may be subject to capital gains tax imposed by
those countries.
Distributions to shareholders are
recorded on the ex-dividend date. The fund employs a managed distribution policy whereby the fund seeks to pay monthly distributions based on an annual rate of 10.00% of the fund’s average monthly net asset
value. As a result, distributions may exceed actual earnings which may result in a tax return of capital. Distributions in any year may include a substantial return of capital component. Please refer to the Financial
Highlights for distributions of tax returns of capital made during the prior five years. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S.
generally accepted accounting principles. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no
impact on net assets or net asset value per share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will
reverse at some time in the future.
Book/tax differences primarily
relate to defaulted bonds and amortization and accretion of debt securities.
For the six months ended April 30,
2023, the amount of distributions estimated to be a tax return of capital was approximately $718,067 which is reported as distributions from other sources in the Statements of Changes in Net Assets. All or a portion
of this amount may be redesignated as capital gains at fiscal year end.
The tax character of distributions
made during the current period will be determined at fiscal year end. The tax character of distributions declared to shareholders for the last fiscal year is as follows:
| Year ended 10/31/22 | |
| Ordinary income (including any short-term capital gains) | $916,437 |
| Long-term capital gains | 1,254,902 |
| Tax return of capital (b) | 1,486,857 |
| Total distributions | $3,658,196 |
| (b) | Distributions in excess of tax basis earnings and profits are reported in the financial statements as a tax return of capital. |
30
Notes to Financial
Statements (unaudited) - continued
The federal tax cost and the tax
basis components of distributable earnings were as follows:
| As of 4/30/23 | |
| Cost of investments | $29,762,881 |
| Gross appreciation | 4,619,513 |
| Gross depreciation | (2,088,214) |
| Net unrealized appreciation (depreciation) | $2,531,299 |
| As of 10/31/22 | |
| Other temporary differences | (13,732) |
| Net unrealized appreciation (depreciation) | 1,753,817 |
The aggregate cost above includes
prior fiscal year end tax adjustments, if applicable.
(3) Transactions with
Affiliates
Investment Adviser — The fund has an investment advisory agreement with MFS to provide overall investment management and related administrative services and facilities to the fund. The management fee is computed daily and paid monthly at an annual rate of 0.68% of the fund’s average daily net assets and 3.40% of gross income. Gross income is calculated based on
tax elections that generally include the accretion of discount and exclude the amortization of premium, which may differ from investment income reported in the Statement of Operations. MFS has agreed to reduce its
management fee to the lesser of the contractual management fee as set forth above or 0.90% of the fund's average daily net assets. This written agreement will continue until modified by the fund's Board of Trustees,
but such agreement will continue at least until October 31, 2023. For the six months ended April 30, 2023, the fund’s average daily net assets and gross income fees did not meet the thresholds required to waive
the management fee under this agreement. The management fee, from net assets and gross income, incurred for the six months ended April 30, 2023 was equivalent to an annual effective rate of 0.84% of the fund’s
average daily net assets.
Transfer Agent — The fund engages Computershare Trust Company, N.A. (“Computershare”) as the sole transfer agent for the fund. MFS Service Center, Inc. (MFSC) monitors and supervises
the activities of Computershare for an agreed upon fee approved by the Board of Trustees. For the six months ended April 30, 2023, these fees paid to MFSC amounted to $1,106.
Administrator — MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund. Under an administrative services agreement, the fund
reimburses MFS the costs incurred to provide these services. The fund is charged an annual fixed amount of $17,500 plus a fee based on average daily net assets. The administrative services fee incurred for the six
months ended April 30, 2023 was equivalent to an annual effective rate of 0.0532% of the fund's average daily net assets.
Trustees’ and Officers’
Compensation — The fund pays compensation to independent Trustees in the form of a retainer, attendance fees, and additional compensation to Board and Committee chairpersons. The fund does not
pay compensation directly to Trustees or officers of the fund who are also officers of the investment adviser, all of whom receive remuneration from MFS for their services to the fund. Certain officers and Trustees of
the fund are officers or directors of MFS and MFSC.
31
Notes to Financial
Statements (unaudited) - continued
Other — The fund invests in the MFS Institutional Money Market Portfolio which is managed by MFS and seeks current income consistent with preservation of capital and liquidity. This money
market fund does not pay a management fee to MFS but does incur investment and operating costs.
The adviser has voluntarily
undertaken to reimburse the fund from its own resources on a quarterly basis for the cost of investment research embedded in the cost of the fund’s securities trades. This agreement may be rescinded at any time.
For the six months ended April 30, 2023, this reimbursement amounted to $81, which is included in “Other” income in the Statement of Operations.
(4) Portfolio Securities
For the six months ended April 30,
2023, purchases and sales of investments, other than short-term obligations, aggregated $5,074,711 and $6,540,430, respectively.
(5) Shares of Beneficial
Interest
The fund's Declaration of Trust
permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest. The Trustees have authorized the repurchase by the fund of up to 10% annually of its own shares of beneficial
interest.
During the six months ended April 30, 2023 and the
year ended October 31, 2022, the fund did not repurchase any shares. Transactions in fund shares were as follows:
| Six months ended 4/30/23 | Year ended 10/31/22 | ||||
| Shares | Amount | Shares | Amount | ||
| Shares issued to shareholders in reinvestment of distributions | 3,067 | $14,139 | 34,187 | $188,978 | |
(6) Line of Credit
The fund and certain other funds
managed by MFS participate in a $1.45 billion unsecured committed line of credit of which $1.2 billion is reserved for use by the fund and certain other MFS U.S. funds. The line of credit is provided by a syndicate of
banks under a credit agreement. Borrowings may be made for temporary financing needs. Interest is charged to each fund, based on its borrowings, generally at a rate equal to the highest of 1) Daily Simple SOFR
(Secured Overnight Financing Rate) plus 0.10%, 2) the Federal Funds Effective Rate, or 3) the Overnight Bank Funding Rate, each plus an agreed upon spread. A commitment fee, based on the average daily unused portion
of the committed line of credit, is allocated among the participating funds. The line of credit expires on March 14, 2024 unless extended or renewed. In addition, the fund and other funds managed by MFS have
established unsecured uncommitted borrowing arrangements with certain banks for temporary financing needs. Interest is charged to each fund, based on its borrowings, at rates equal to customary reference rates plus an
agreed upon spread. For the six months ended April 30, 2023, the fund’s commitment fee and interest expense were $85 and $0, respectively, and are included in “Miscellaneous” expense in the Statement
of Operations.
32
Notes to Financial
Statements (unaudited) - continued
(7) Investments in Affiliated
Issuers
An affiliated issuer may be
considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the following were affiliated issuers:
| Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
| MFS Institutional Money Market Portfolio | $728,206 | $3,132,407 | $2,889,633 | $97 | $157 | $971,234 |
| Affiliated Issuers | Dividend Income | Capital Gain Distributions |
| MFS Institutional Money Market Portfolio | $16,428 | $— |
33
Report of Independent Registered Public
Accounting Firm
To the Shareholders and the Board
of Trustees of MFS Special Value Trust:
Results of Review of Interim Financial
Statements
We have reviewed the accompanying
statement of assets and liabilities of MFS Special Value Trust (the “Fund”), including the portfolio of investments, as of April 30, 2023, and the related statements of operations, changes in net assets
and financial highlights for the six-month period then ended and the related notes (collectively referred to as the “interim financial statements”). Based on our review, we are not aware of any material
modifications that should be made to the interim financial statements for them to be in conformity with U.S. generally accepted accounting principles.
We have previously audited, in
accordance with the standards of the Public Company Accounting Oversight Board (United States) (“PCAOB”), the statement of changes in net assets for the year ended October 31, 2022 and the financial
highlights for each of the five years in the period then ended; and in our report dated December 15, 2022, we expressed an unqualified opinion on those financial statements.
Basis for Review Results
These financial statements are the
responsibility of the Fund's management. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and
the applicable rules and regulations of the SEC and the PCAOB. We conducted our review in accordance with the standards of the PCAOB. A review of interim financial statements consists principally of applying
analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with the standards of the PCAOB, the
objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express such an opinion.
Boston, Massachusetts
June 15, 2023
June 15, 2023
34
Proxy Voting Policies and
Information
MFS votes proxies on behalf of the
fund pursuant to proxy voting policies and procedures that are available without charge, upon request, by calling 1-800-225-2606, by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Information regarding how the fund
voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available by August 31 of each year without charge by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.
Quarterly Portfolio
Disclosure
The fund files a complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s Web site at
http://www.sec.gov. A shareholder can obtain the portfolio holdings report for the first and third quarters of the fund's fiscal year at mfs.com/closedendfunds by choosing the fund's name and then scrolling to the “Resources” section and clicking on the “Prospectus and Reports” tab.
Further Information
From time to time, MFS may post
important information about the fund or the MFS Funds on the MFS Web site (mfs.com). This information is available at https://www.mfs.com/announcements or at mfs.com/closedendfunds by choosing the fund's name and then scrolling to the “Resources” section and clicking on the “Announcements” tab, if any.
Additional information about the
fund (e.g., performance, dividends and the fund’s price history) is also available at mfs.com/closedendfunds by choosing the fund's name, if any.
INFORMATION ABOUT FUND
CONTRACTS AND LEGAL CLAIMS
The fund has entered into
contractual arrangements with an investment adviser, administrator, transfer agent, and custodian who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended
beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them
against the service providers, either directly or on behalf of the fund.
Under the Trust’s By-Laws and
Declaration of Trust, any claims asserted against or on behalf of the MFS Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of
Massachusetts.
35
CONTACT US
TRANSFER AGENT, REGISTRAR, AND
DIVIDEND DISBURSING AGENT
DIVIDEND DISBURSING AGENT
CALL
1-800-637-2304
9 a.m. to 5 p.m. Eastern time
WRITE
Computershare Trust Company, N.A.
P.O. Box 43078
Providence, RI 02940-3078
New York Stock Exchange Symbol:
MFV
