MFS Series Trust Xiii N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-03327

MFS SERIES TRUST XIII

(Exact name of registrant as specified in charter)

500 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Susan S. Newton

Massachusetts Financial Services Company

500 Boylston Street

Boston, Massachusetts 02116

(Name and address of agents for service)

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

Date of fiscal year end: February 28*

Date of reporting period: February 28, 2011

The MFS New Discovery Value Fund, a series of the Registrant, is currently in registration and did not commence investment operations during the reporting period.

ITEM 1. REPORTS TO STOCKHOLDERS.

There is no report to stockholders for the MFS New Discovery Value Fund because the fund did not have any shareholders at period end. Please see the note above.

MFS^® Diversified Income Fund

ANNUAL REPORT

February 28, 2011

DIF-ANN

MFS® DIVERSIFIED INCOME FUND

Letter from the CEO	1
Portfolio composition	2
Management review	4
Performance summary	6
Expense table	9
Portfolio of investments	11
Statement of assets and liabilities	37
Statement of operations	38
Statements of changes in net assets	39
Financial highlights	40
Notes to financial statements	46
Report of independent registered public accounting firm	64
Trustees and officers	65
Board review of investment advisory agreement	70
Proxy voting policies and information	70
Quarterly portfolio disclosure	70
Further information	70
Federal tax information	71
MFS® privacy notice	72
Contact information    back cover

SIPC Contact Information: You may obtain information about the Securities Investor Protection Corporation (“SIPC”), including the SIPC Brochure, by contacting SIPC either by telephone (1-202-371-8300) or by accessing SIPC’s web site address (www.sipc.org).

The report is prepared for the general information of shareholders.

It is authorized for distribution to prospective investors only when preceded or accompanied by a current prospectus.

NOT FDIC INSURED Ÿ MAY LOSE VALUE Ÿ NO BANK GUARANTEE

LETTER FROM THE CEO

Dear Shareholders:

After an extended rebound in the financial markets, uncertainty returned in 2010 as investors began to question the durability of the recovery for global economies and markets. That uncertainty led to increased risk aversion, especially as investors saw the eurozone struggle with the debt woes of many of its members. Last September, the U.S. Federal Reserve Board’s promises to further loosen monetary policy helped assuage market fears and drive asset prices off their recent lows. A combination of solid earnings and improving economic data gave an additional boost to investor sentiment. For 2011, we are cautiously optimistic that economic growth will continue to improve and that the global economies will recover from the shocks of the past few years. We expect the pace

of recovery worldwide will be uneven and volatile and acknowledge the elevated uncertainty created by events in Japan, Europe, and the Middle East.

As always, we continue to be mindful of the many economic challenges faced at the local, national, and international levels. It is in times such as these that we want to remind investors of the merits of maintaining a long-term view, adhering to basic investing principles such as asset allocation and diversification, and working closely with their advisors to research and identify appropriate investment opportunities.

Respectfully,

Robert J. Manning

Chairman and Chief Executive Officer

MFS Investment Management®

April 15, 2011

The opinions expressed in this letter are subject to change, may not be relied upon for investment advice, and no forecasts can be guaranteed.

1

PORTFOLIO COMPOSITION

Portfolio structure (i)

Top ten holdings (i)
U.S. Treasury Notes, 1.375%, 2012	2.9%
Simon Property Group, Inc., REIT	2.0%
U.S. Treasury Notes, 2.75%, 2019	1.7%
Fannie Mae, 5.5%, 30 Years	1.3%
U.S. Treasury Notes, 1.875%, 2014	1.2%
U.S. Treasury Notes, 5.25%, 2029	1.1%
Public Storage, Inc., REIT	1.1%
U.S. Treasury Notes, 2.125%, 2015	1.1%
Chevron Corp.	1.0%
Vornado Realty Trust, REIT	0.9%

Fixed income sectors (i)
High Yield Corporates	22.2%
Emerging Markets Bonds	11.6%
U.S. Treasury Securities	10.8%
Mortgage-Backed Securities	6.5%
U.S. Government Agencies	1.0%
High Grade Corporates	0.9%
Commercial Mortgage-Backed Securities	0.2%
Floating Rate Loans	0.1%
Collateralized Debt Obligations (o)	0.0%
Non-U.S. Government Bonds (o)	0.0%

Equity sectors (i)
Financial Services	23.7%
Utilities & Communications	2.8%
Energy	2.7%
Health Care	2.4%
Leisure	2.1%
Basic Materials	1.7%
Consumer Staples	1.6%
Industrial Goods & Services	1.4%
Autos & Housing	0.9%
Retailing	0.7%
Technology	0.6%
Transportation	0.3%
Composition including fixed income credit quality (a)(i)
AAA	11.5%
AA	0.3%
A	1.1%
BBB	6.0%
BB	9.9%
B	13.5%
CCC	3.8%
CC	0.1%
C (o)	0.0%
U.S. Agency (NR)	6.8%
Other Fixed Income (NR)	0.3%
Non-Fixed Income (NR)	40.9%
Cash & Other	5.8%

2

Portfolio Composition – continued

(a) The rating categories include debt securities and fixed-income structured products where these have long-term public ratings. All ratings are assigned in accordance with the following hierarchy: If a security is rated by Moody’s, then that rating is used; if not rated by Moody’s, then a Standard & Poor’s rating is used; if not rated by S&P, then a Fitch rating is used. Ratings from Moody’s are shown in the S&P and Fitch scale (e.g., AAA). All ratings are subject to change. U.S. Agency (NR) includes unrated U.S. Agency fixed income securities and collateralized mortgage obligations of U.S. Agency mortgage backed securities. Other Fixed Income (NR) includes unrated long-term fixed income securities, interest rate swaps and fixed income futures. Non-Fixed Income (NR) includes equity securities (including convertible bonds and equity derivatives) and commodities. Cash & Other includes cash, other assets less liabilities, offsets to derivative positions, and short-term securities. The fund may not hold all of these instruments.

(i) For purposes of this presentation, the components include the market value of securities, and reflect the impact of the equivalent exposure of derivative positions, if applicable. These amounts may be negative from time to time. The bond component will include any accrued interest amounts. 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 market value. Where the fund holds convertible bonds, these are treated as part of the equity portion of the portfolio.

(o) Less than 0.1%.

Percentages are based on net assets as of 2/28/11, unless otherwise noted.

The portfolio is actively managed and current holdings may be different.

3

MANAGEMENT REVIEW

Summary of Results

The MFS Diversified Income Fund includes investments in high yield corporate bonds, U.S. government securities, emerging markets debt, real estate investment trusts (REITs), and domestic equity securities.

For the twelve months ended February 28, 2011, Class A shares of the MFS Diversified Income Fund provided a total return of 17.36%, at net asset value. This compares with a return of 22.58% for the fund’s benchmark, the Standard & Poor’s 500 Stock Index. Effective September 1, 2010, the Standard & Poor’s 500 Stock Index replaced the Barclays Capital U.S. Aggregate Bond Index as the fund’s benchmark. For the twelve months ended February 28, 2011, the Barclays Capital U.S. Aggregate Bond Index generated a return of 4.93%. The fund’s other benchmark, the MFS Diversified Income Fund Blended Index (the “Blended Index”), generated a return of 18.69%. The Blended Index reflects the blended returns of various equity and fixed income market indices, with percentage allocations to each index designed to resemble the allocations of the fund. The market indices and related percentage allocations used to compile the Blended Index are set forth in the Performance Summary.

Market Environment

The beginning of the reporting period witnessed a continuation of the financial market and macroeconomic rebounds that had begun in early 2009. These recoveries in global activity and asset valuations were generally synchronized around the world, led importantly by emerging Asian economies, but broadening to include most of the global economy to varying degrees. Primary drivers of the recoveries included an unwinding of the inventory destocking that took place earlier, the production of manufacturing and capital goods, as well as massive fiscal and monetary stimulus.

During the second and third quarters of 2010, heightened risk surrounding the public-debt profiles of several of the peripheral European countries impaired market sentiment. At the same time, the improving trend in global macroeconomic data began to weaken somewhat. These two dynamics caused many asset prices to retrench significantly, as many questioned the durability of the global recovery.

Towards the end of the period, the U.S. Federal Reserve (the Fed) indicated that further monetary loosening would be forthcoming if macroeconomic activity did not show signs of improvement. The prospects for more easing by the Fed improved market sentiment and drove risk-asset prices markedly higher. However, in a text-book case of “buy the rumor, sell the fact,” the weeks following the early November announcement of further quantitative easing saw a sell-off in U.S. Treasury bonds. This rise in Treasury yields occurred despite risk-off behavior in equities and credit markets (which would

4

Management Review – continued

normally result in Treasury yield compression), and appears to have been the result of a few factors: signs of improved U.S. and global economic activity; opposition to quantitative easing from some quarters; and crowded long positions in U.S. Treasuries. The December agreement on an expansionary U.S. fiscal package also boosted sentiment, leading markets to reach near-term highs in risky asset valuations.

Factors affecting Performance

During a period in which real estate investment trusts (REITs) significantly outpaced the broad market, the fund’s underweight position in this asset class was the primary factor that held back relative results. Security selection within the REIT asset class was an additional factor that detracted from relative performance since the fund’s holdings in this asset class generated lower returns than the Morgan Stanley Capital International (MSCI) U.S. REIT Index. The fund’s investments in high yield corporate bonds held back relative performance as the high yield corporate bond sleeve underperformed the Barclay’s Capital U.S. High-Yield Corporate Bond Index. Here, it was the fund’s return from yield, which was less than that of the high yield index, that held back relative performance.

The fund’s overweight position and stock selection within the U.S. large cap value equity sleeve were strong positive factors for relative returns. Stock selection was strongest in the retailing and leisure sectors. Within these sectors, ownership in standout-performing casino resorts operator Las Vegas Sands and specialty retailer Limited Brands contributed to relative results. The fund’s underweight position in the emerging markets debt sleeve was another contributor to performance relative to the Blended Index, as this asset class underperformed most of the other asset classes during the reporting period.

Respectfully,

John Addeo	David Cole	Richard Gable
Portfolio Manager	Portfolio Manager	Portfolio Manager
Thomas Pedulla	Matthew Ryan	Jonathan Sage
Portfolio Manager	Portfolio Manager	Portfolio Manager
Leo Saraceno	Geoffrey Schechter	James Swanson
Portfolio Manager	Portfolio Manager	Portfolio Manager

The views expressed in this report are those of the portfolio managers only through the end of the period of the report as stated on the cover and do not necessarily reflect the views of MFS or any other person in the MFS organization. These views are subject to change at any time based on market or other conditions, and MFS disclaims any responsibility to update such views. These views may not be relied upon as investment advice or an indication of trading intent on behalf of any MFS portfolio. References to specific securities are not recommendations of such securities, and may not be representative of any MFS portfolio’s current or future investments.

5

PERFORMANCE SUMMARY THROUGH 2/28/11

The following chart illustrates a representative class of the fund’s historical performance in comparison to its benchmark(s). Performance results include the deduction of the maximum applicable sales charge and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. The performance of other share classes will be greater than or less than that of the class depicted below. Benchmarks are unmanaged and may not be invested in directly. Benchmark returns do not reflect sales charges, commissions or expenses. (See Notes to Performance Summary.)

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value fluctuate so your shares, when sold, may be worth more or less than the original cost; current performance may be lower or higher than quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on fund distributions or the redemption of fund shares.

Growth of a Hypothetical $10,000 Investment (t)

6

Performance Summary – continued

Total Returns through 2/28/11

Average annual without sales charge

Share class	Class inception date	1-yr	Life (t)
A	5/26/06	17.36%	6.88%
C	5/26/06	16.51%	6.10%
I	5/26/06	17.65%	7.18%
R1	7/01/08	16.51%	8.20%
R2	7/01/08	17.09%	8.74%
R3	7/01/08	17.48%	9.00%
R4	7/01/08	17.78%	9.27%

Comparative benchmarks

Standard & Poor’s 500 Stock Index (f)(z)	22.58%	N/A
MFS Diversified Income Fund Blended Index (f)(y)	18.69%	N/A
Barclays Capital U.S. Aggregate Bond Index (f)(z)	4.93%	N/A
Barclays Capital U.S. Government/Mortgage Bond Index (f)	3.77%	N/A
Barclays Capital U.S. High-Yield Corporate Bond Index (f)	17.51%	N/A
JPMorgan Emerging Markets Bond Index Global (f)	9.79%	N/A
MSCI U.S. REIT Index (f)	38.88%	N/A
Russell 1000 Value Index (f)	22.16%	N/A

Average annual with sales charge

A With Initial Sales Charge (4.75%)	11.79%	5.80%
C With CDSC (1% for 12 months) (x)	15.51%	6.10%

Class I, R1, R2, R3, and R4 shares do not have a sales charge.

CDSC – Contingent Deferred Sales Charge.

(f) Source: FactSet Research Systems Inc.

(t) For the period from the class inception date through the stated period end. No comparative benchmark performance information is provided for the “life” periods. (See Notes to Performance Summary.)

(x) Assuming redemption at the end of the applicable period.

(y) MFS Diversified Income Fund Blended Index is at a point in time and allocations during the period can change. As of February 28, 2011 the blended index was comprised of 25% Barclays Capital U.S. High-Yield Corporate Bond Index, 20% Barclays Capital U.S. Government/Mortgage Bond Index, 20% Russell 1000 Value Index, 20% MSCI U.S. REIT Index, and 15% JPMorgan Emerging Markets Bond Index Global.

(z) Effective September 1, 2010, the Standard & Poor’s 500 Stock Index replaced the Barclays Capital U.S. Aggregate Bond Index as the primary benchmark for the fund. The fund’s investment adviser believes that the Standard & Poor’s 500 Stock Index better reflects the investment policies and strategies of the fund.

Benchmark Definitions

Barclays Capital U.S. Aggregate Bond Index – a market capitalization-weighted index that measures the performance of the U.S. investment-grade, fixed rate bond market, with index components for government and corporate securities,

7

Performance Summary – continued

mortgage pass-through securities, and asset-backed securities with at least one year to final maturity.

Barclays Capital U.S. Government/Mortgage Bond Index – measures debt issued by the U.S. Government, and its agencies, as well as mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC).

Barclays Capital U.S. High-Yield Corporate Bond Index – a market capitalization-weighted index that measures the performance of non-investment grade, fixed rate debt. Eurobonds and debt issues from countries designated as emerging markets (e.g., Argentina, Brazil, Venezuela, etc.) are excluded.

JPMorgan Emerging Markets Bond Index Global – measures the performance of U.S.-dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans, Eurobonds.

MSCI U.S. REIT Index – a market capitalization-weighted index that is designed to measure equity market performance for real estate investment trusts (REITs) that generate a majority of their revenue and income from real estate rental and leasing operations.

Russell 1000 Value Index – constructed to provide a comprehensive barometer for the value securities in the large-cap segment of the U.S. equity universe. Companies in this index generally have lower price-to-book ratios and lower forecasted growth values.

Standard & Poor’s 500 Stock Index – a market capitalization-weighted index of 500 widely held equity securities, designed to measure broad U.S. equity performance.

It is not possible to invest directly in an index.

Notes to Performance Summary

Average annual total return represents the average annual change in value for each share class for the periods presented. Life returns are presented where the share class has less than 10 years of performance history and represent the average annual total return from the class inception date to the stated period end date. As the fund’s share classes may have different inception dates, the life returns may represent different time periods and may not be comparable. As a result, no comparative benchmark information is provided for life periods.

Performance results reflect any applicable expense subsidies and waivers in effect during the periods shown. Without such subsidies and waivers the fund’s performance results would be less favorable. Please see the prospectus and financial statements for complete details.

From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower.

8

EXPENSE TABLE

Fund expenses borne by the shareholders during the period,

September 1, 2010 through February 28, 2011

As a shareholder of the fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on certain purchase or redemption payments, and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period September 1, 2010 through February 28, 2011.

Actual Expenses

The first line for each share class in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line for each share class in the following table provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line for each share class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

9

Expense Table – continued

Share Class		Annualized Expense Ratio		Beginning Account Value 9/01/10		Ending Account Value 2/28/11		Expenses Paid During Period (p) 9/01/10-2/28/11
A	Actual		1.10%		$1,000.00		$1,110.82		$5.76
	Hypothetical (h)		1.10%		$1,000.00		$1,019.34		$5.51
C	Actual		1.85%		$1,000.00		$1,105.71		$9.66
	Hypothetical (h)		1.85%		$1,000.00		$1,015.62		$9.25
I	Actual		0.85%		$1,000.00		$1,111.08		$4.45
	Hypothetical (h)		0.85%		$1,000.00		$1,020.58		$4.26
R1	Actual		1.85%		$1,000.00		$1,106.82		$9.66
	Hypothetical (h)		1.85%		$1,000.00		$1,015.62		$9.25
R2	Actual		1.35%		$1,000.00		$1,109.55		$7.06
	Hypothetical (h)		1.35%		$1,000.00		$1,018.10		$6.76
R3	Actual		1.10%		$1,000.00		$1,110.82		$5.76
	Hypothetical (h)		1.10%		$1,000.00		$1,019.34		$5.51
R4	Actual		0.85%		$1,000.00		$1,112.19		$4.45
	Hypothetical (h)		0.85%		$1,000.00		$1,020.58		$4.26

(h) 5% class return per year before expenses.

(p) Expenses paid is equal to each class’ annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by the number of days in the period, divided by the number of days in the year. Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher.

10

PORTFOLIO OF INVESTMENTS

2/28/11

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

Bonds - 52.5%
Issuer	Shares/Par		Value ($)
Aerospace - 0.3%
Alliant Techsystems, Inc., 6.875%, 2020	$	105,000	$	108,544
BE Aerospace, Inc., 8.5%, 2018		135,000		149,175
Bombardier, Inc., 7.5%, 2018 (n)		730,000		784,750
Hawker Beechcraft Acquisition Co. LLC, 8.5%, 2015		240,000		192,600
Oshkosh Corp., 8.25%, 2017		150,000		166,500
			$	1,401,569
Agency - Other - 0.7%
Financing Corp., 9.4%, 2018	$	965,000	$	1,337,397
Financing Corp., 10.35%, 2018		715,000		1,047,540
Financing Corp., STRIPS, 0%, 2017		860,000		692,612
			$	3,077,549
Apparel Manufacturers - 0.1%
Hanesbrands, Inc., 8%, 2016	$	215,000	$	232,738
Hanesbrands, Inc., 6.375%, 2020		100,000		96,450
Phillips-Van Heusen Corp., 7.375%, 2020		185,000		197,025
			$	526,213
Asset-Backed & Securitized - 0.2%
Citigroup Commercial Mortgage Trust, FRN, 5.698%, 2049	$	198,555	$	102,560
Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.322%, 2049		100,000		105,400
Commercial Mortgage Pass-Through Certificates, “A4”, 5.306%, 2046		199,556		211,013
G-Force LLC, CDO, “A2”, 4.83%, 2036 (z)		188,032		186,621
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.818%, 2049		124,877		134,504
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.988%, 2051		105,201		111,193
Merrill Lynch/Countrywide Commercial Mortgage Trust, FRN, 5.744%, 2050		66,000		61,768
Wachovia Bank Commercial Mortgage Trust, FRN, 5.746%, 2047		116,771		49,062
			$	962,121
Automotive - 1.0%
Accuride Corp., 9.5%, 2018	$	175,000	$	195,125
Allison Transmission, Inc., 11%, 2015 (n)		345,000		375,188
Ford Motor Credit Co. LLC, 8%, 2014		690,000		771,707
Ford Motor Credit Co. LLC, 12%, 2015		1,555,000		1,963,766
General Motors Corp., 7.125%, 2013 (d)		268,000		85,090

11

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Bonds - continued
Automotive - continued
Goodyear Tire & Rubber Co., 10.5%, 2016	$	580,000	$	661,200
UCI International, Inc., 8.625%, 2019 (z)		65,000		69,225
			$	4,121,301
Basic Industry - 0.0%
Trimas Corp., 9.75%, 2017	$	155,000	$	172,050
Broadcasting - 1.2%
Allbritton Communications Co., 8%, 2018	$	400,000	$	419,000
Citadel Broadcasting Corp., 7.75%, 2018 (z)		35,000		37,538
Entravision Communications Corp., 8.75%, 2017		50,000		54,000
Gray Television, Inc., 10.5%, 2015		70,000		74,375
Inmarsat Finance PLC, 7.375%, 2017 (n)		210,000		225,750
Intelsat Bermuda Ltd., 11.25%, 2017		250,000		276,563
Intelsat Jackson Holdings Ltd., 9.5%, 2016		1,430,000		1,512,225
Lamar Media Corp., 6.625%, 2015		250,000		256,250
LBI Media, Inc., 8.5%, 2017 (z)		125,000		104,531
Local TV Finance LLC, 9.25%, 2015 (p)(z)		413,826		401,411
Newport Television LLC, 13%, 2017 (p)(n)		79,814		75,491
Nexstar Broadcasting, Inc., 0.5% to 2011, 7% to 2014 (p)		244,997		237,647
Nexstar Broadcasting, Inc., 7%, 2014		80,000		78,000
Salem Communications Corp., 9.625%, 2016		24,000		26,340
Sinclair Broadcast Group, Inc., 9.25%, 2017 (n)		195,000		220,350
Sinclair Broadcast Group, Inc., 8.375%, 2018 (n)		30,000		31,725
SIRIUS XM Radio, Inc., 13%, 2013 (z)		150,000		178,875
SIRIUS XM Radio, Inc., 8.75%, 2015 (n)		405,000		449,044
SIRIUS XM Radio, Inc., 7.625%, 2018 (n)		160,000		169,600
Univision Communications, Inc., 12%, 2014 (n)		140,000		152,600
Univision Communications, Inc., 7.875%, 2020 (n)		95,000		101,888
Young Broadcasting, Inc., 8.75%, 2014 (d)		110,000		0
			$	5,083,203
Brokerage & Asset Managers - 0.2%
E*TRADE Financial Corp., 7.875%, 2015	$	135,000	$	135,675
E*TRADE Financial Corp., 12.5%, 2017		435,000		515,475
Janus Capital Group, Inc., 6.7%, 2017		290,000		317,754
			$	968,904
Building - 0.6%
Building Materials Holding Corp., 6.875%, 2018 (n)	$	150,000	$	153,750
Building Materials Holding Corp., 7%, 2020 (n)		60,000		63,225
CEMEX Finance LLC, 9.5%, 2016 (n)		435,000		466,755
CEMEX S.A.B. de C.V., 9%, 2018 (n)		1,064,000		1,101,240

12

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Bonds - continued
Building - continued
Nortek, Inc., 11%, 2013	$	266,200	$	283,503
Nortek, Inc., 10%, 2018 (n)		65,000		69,388
Owens Corning, 9%, 2019		345,000		408,265
Ply Gem Industries, Inc., 8.25%, 2018 (z)		90,000		92,138
			$	2,638,264
Business Services - 0.4%
First Data Corp., 9.875%, 2015	$	185,000	$	186,850
Interactive Data Corp., 10.25%, 2018 (n)		370,000		414,400
Iron Mountain, Inc., 6.625%, 2016		190,000		190,950
Iron Mountain, Inc., 8.375%, 2021		70,000		77,438
SunGard Data Systems, Inc., 10.25%, 2015		612,000		644,895
SunGard Data Systems, Inc., 7.375%, 2018 (n)		95,000		98,087
SunGard Data Systems, Inc., 7.625%, 2020 (n)		110,000		113,575
			$	1,726,195
Cable TV - 1.3%
Bresnan Broadband Holdings LLC, 8%, 2018 (z)	$	55,000	$	57,750
Cablevision Systems Corp., 8.625%, 2017		365,000		408,800
CCH II LLC, 13.5%, 2016		525,000		635,906
CCO Holdings LLC, 7.875%, 2018		335,000		357,613
CCO Holdings LLC, 8.125%, 2020		125,000		134,844
Cequel Communications Holdings, 8.625%, 2017 (z)		210,000		222,075
Charter Communications Operating LLC, 10.875%, 2014 (n)		145,000		162,944
CSC Holdings LLC, 8.5%, 2014		225,000		252,000
CSC Holdings LLC, 8.5%, 2015		305,000		333,975
Insight Communications Co., Inc., 9.375%, 2018 (n)		265,000		292,163
Mediacom LLC, 9.125%, 2019		350,000		371,875
Myriad International Holdings B.V., 6.375%, 2017 (n)		983,000		1,018,634
UPCB Finance III Ltd., 6.625%, 2020 (z)		245,000		244,081
Videotron LTEE, 6.875%, 2014		110,000		111,512
Virgin Media Finance PLC, 9.125%, 2016		300,000		320,250
Virgin Media Finance PLC, 9.5%, 2016		400,000		461,500
			$	5,385,922
Chemicals - 1.4%
Ashland, Inc., 9.125%, 2017	$	325,000	$	378,016
Braskem S.A., 7%, 2020 (n)		526,000		543,095
Celanese U.S. Holdings LLC, 6.625%, 2018 (n)		115,000		120,175
Hexion U.S. Finance Corp/Hexion Nova Scotia Finance, 8.875%, 2018		425,000		456,344
Hexion U.S. Finance Corp/Hexion Nova Scotia Finance, 9%, 2020 (n)		55,000		58,506
Huntsman International LLC, 8.625%, 2021 (n)		295,000		327,450
Lyondell Chemical Co., 8%, 2017 (n)		103,000		115,939

13

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Bonds - continued
Chemicals - continued
Lyondell Chemical Co., 11%, 2018	$	1,580,286	$	1,813,378
Momentive Performance Materials, Inc., 12.5%, 2014		209,000		233,296
Momentive Performance Materials, Inc., 11.5%, 2016		464,000		503,440
Momentive Performance Materials, Inc., 9%, 2021 (n)		115,000		122,331
Polypore International, Inc., 7.5%, 2017 (z)		65,000		67,275
Sociedad Quimica y Minera de Chile S.A., 5.5%, 2020 (n)		552,000		549,456
Solutia, Inc., 7.875%, 2020		435,000		478,500
			$	5,767,201
Computer Software - 0.0%
Syniverse Holdings, Inc., 9.125%, 2019 (z)	$	160,000	$	172,800
Computer Software - Systems - 0.2%
DuPont Fabros Technology, Inc., REIT, 8.5%, 2017	$	590,000	$	650,475
Conglomerates - 0.2%
Amsted Industries, Inc., 8.125%, 2018 (n)	$	305,000	$	327,875
Pinafore LLC, 9%, 2018 (n)		450,000		500,625
			$	828,500
Construction - 0.2%
Corporacion GEO S.A.B. de C.V., 8.875%, 2014 (n)	$	616,000	$	689,920
Consumer Products - 0.3%
ACCO Brands Corp., 10.625%, 2015	$	20,000	$	22,600
ACCO Brands Corp., 7.625%, 2015		70,000		71,313
Central Garden & Pet Co., 8.25%, 2018		105,000		110,381
Easton-Bell Sports, Inc., 9.75%, 2016		245,000		275,625
Elizabeth Arden, Inc., 7.375%, 2021 (z)		160,000		168,000
Jarden Corp., 7.5%, 2017		110,000		117,013
Libbey Glass, Inc., 10%, 2015		319,000		348,508
NBTY, Inc., 9%, 2018 (n)		25,000		27,125
Visant Corp., 10%, 2017		165,000		178,612
			$	1,319,177
Consumer Services - 0.5%
KAR Holdings, Inc., 10%, 2015	$	84,000	$	89,040
KAR Holdings, Inc., FRN, 4.304%, 2014		425,000		419,688
Realogy Corp., 10.5%, 2014		120,000		124,800
Service Corp. International, 6.75%, 2015		60,000		63,450
Service Corp. International, 7%, 2017		625,000		665,625
Service Corp. International, 7%, 2019		75,000		77,438
Ticketmaster Entertainment, Inc., 10.75%, 2016		430,000		471,925
			$	1,911,966

14

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Bonds - continued
Containers - 0.4%
Graham Packaging Co. LP/GPC Capital Corp., 9.875%, 2014	$	315,000	$	326,025
Graham Packaging Co. LP/GPC Capital Corp., 8.25%, 2018		160,000		172,400
Greif, Inc., 6.75%, 2017		220,000		233,200
Owens-Illinois, Inc., 7.375%, 2016		115,000		125,350
Packaging Dynamics Corp., 8.75%, 2016 (z)		95,000		97,256
Reynolds Group, 7.75%, 2016 (n)		100,000		106,500
Reynolds Group, 7.125%, 2019 (n)		105,000		107,625
Reynolds Group, 9%, 2019 (z)		390,000		406,575
Reynolds Group, 8.25%, 2021 (z)		115,000		115,288
			$	1,690,219
Defense Electronics - 0.1%
ManTech International Corp., 7.25%, 2018	$	115,000	$	120,175
MOOG, Inc., 7.25%, 2018		95,000		99,990
			$	220,165
Electronics - 0.2%
CPI International Acquisition, Inc., 8%, 2018 (z)	$	80,000	$	80,600
Freescale Semiconductor, Inc., 10.125%, 2018 (n)		170,000		194,650
Freescale Semiconductor, Inc., 9.25%, 2018 (n)		225,000		250,875
Jabil Circuit, Inc., 7.75%, 2016		140,000		158,550
NXP B.V., 7.875%, 2014		285,000		297,469
			$	982,144
Emerging Market Quasi-Sovereign - 3.6%
Banco do Brasil S.A., 5.375%, 2021 (n)	$	409,000	$	395,299
Banco do Nordeste do Brasil (BNB), 3.625%, 2015 (n)		1,236,000		1,206,220
Banco Nacional de Desenvolvimento Economico e Social, 6.5%, 2019		509,000		553,537
Biz Finance PLC, 8.375%, 2015		621,000		642,735
BNDES Participacoes S.A., 6.5%, 2019 (n)		248,000		269,700
Corporacion Nacional del Cobre de Chile, 3.75%, 2020 (n)		498,000		470,300
Development Bank of Kazakhstan, 5.5%, 2015 (n)		1,000,000		1,025,000
Ecopetrol S.A., 7.625%, 2019		201,000		232,658
Empresa Nacional del Petroleo, 5.25%, 2020 (n)		786,000		771,427
Gaz Capital S.A., 8.125%, 2014 (n)		784,000		887,394
Gaz Capital S.A., 5.092%, 2015 (n)		241,000		246,423
Gaz Capital S.A., 9.25%, 2019		333,000		408,551
KazMunaiGaz Finance B.V., 11.75%, 2015 (n)		680,000		850,000
KazMunaiGaz Finance B.V., 6.375%, 2021 (n)		202,000		206,808
Majapahit Holding B.V., 7.75%, 2020		454,000		511,885
Novatek Finance Ltd., 5.326%, 2016 (n)		200,000		204,120
Novatek Finance Ltd., 6.604%, 2021 (n)		998,000		1,030,435
Pemex Project Funding Master Trust, 6.625%, 2035		351,000		349,903

15

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Bonds - continued
Emerging Market Quasi-Sovereign - continued
Petrobras International Finance Co., 7.875%, 2019	$	566,000	$	667,064
Petrobras International Finance Co., 5.375%, 2021		1,843,000		1,850,057
Petrobras International Finance Co., 6.75%, 2041		139,000		142,245
Petroleos Mexicanos, 8%, 2019		160,000		190,000
Petroleos Mexicanos, 6%, 2020		223,000		233,035
Ras Laffan Liquefied Natural Gas Co. Ltd., 5.832%, 2016 (n)		449,669		478,897
Transnet Ltd., 4.5%, 2016 (z)		202,000		205,248
VEB Finance Ltd., 6.902%, 2020 (n)		521,000		545,122
VTB Capital S.A., 6.465%, 2015 (n)		179,000		189,525
VTB Capital S.A., 6.551%, 2020 (n)		478,000		476,518
			$	15,240,106
Emerging Market Sovereign - 3.0%
Dominican Republic, 7.5%, 2021 (n)	$	517,000	$	532,510
Government of Ukraine, 6.875%, 2015 (n)		782,000		793,339
Republic of Argentina, 8.75%, 2017		1,146,000		1,154,595
Republic of Argentina, FRN, 0.467%, 2012		1,523,225		1,455,672
Republic of Colombia, 7.375%, 2017		187,000		221,315
Republic of Colombia, 7.375%, 2019		233,000		278,435
Republic of Indonesia, 8.5%, 2035		193,000		248,970
Republic of Panama, 8.875%, 2027		427,000		575,810
Republic of Panama, 9.375%, 2029		188,000		263,200
Republic of Peru, 7.35%, 2025		787,000		950,303
Republic of Philippines, 7.75%, 2031		389,000		474,580
Republic of Philippines, 6.375%, 2034		409,000		432,518
Republic of South Africa, 5.5%, 2020		1,035,000		1,089,338
Republic of Sri Lanka, 6.25%, 2020 (n)		101,000		99,485
Republic of Turkey, 5.625%, 2021		131,000		130,345
Republic of Ukraine, 7.95%, 2021 (z)		898,000		899,500
Republic of Uruguay, 8%, 2022		426,000		525,471
Republic of Uruguay, 7.625%, 2036		304,000		357,200
Republic of Venezuela, 12.75%, 2022		543,000		458,835
Republic of Venezuela, 9.25%, 2027		1,659,000		1,187,844
Republic of Vietnam, 6.875%, 2016		376,000		389,025
United Mexican States, 5.625%, 2017		306,000		337,365
United Mexican States, 5.75%, 2110		82,000		73,390
			$	12,929,045
Energy - Independent - 1.7%
Bill Barrett Corp., 9.875%, 2016	$	250,000	$	280,000
Carrizo Oil & Gas, Inc., 8.625%, 2018 (n)		245,000		260,313
Chesapeake Energy Corp., 6.875%, 2020		185,000		197,025
Comstock Resources, Inc., 7.75%, 2019		125,000		125,938

16

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Bonds - continued
Energy - Independent - continued
Concho Resources, Inc., 8.625%, 2017	$	55,000	$	60,638
Denbury Resources, Inc., 8.25%, 2020		190,000		211,375
Energy XXI Gulf Coast, Inc., 9.25%, 2017 (n)		255,000		274,125
EXCO Resources, Inc., 7.5%, 2018		95,000		94,288
Harvest Operations Corp., 6.875%, 2017 (n)		370,000		384,800
Hilcorp Energy I LP, 9%, 2016 (n)		490,000		514,500
Linn Energy LLC, 8.625%, 2020 (n)		375,000		418,125
Linn Energy LLC, 7.75%, 2021 (n)		135,000		143,438
Newfield Exploration Co., 6.625%, 2016		590,000		609,175
OPTI Canada, Inc., 9.75%, 2013 (n)		145,000		142,825
OPTI Canada, Inc., 8.25%, 2014		415,000		226,175
Penn Virginia Corp., 10.375%, 2016		505,000		566,863
Pioneer Natural Resources Co., 6.875%, 2018		280,000		303,991
Pioneer Natural Resources Co., 7.5%, 2020		665,000		746,658
Plains Exploration & Production Co., 7%, 2017		450,000		469,125
QEP Resources, Inc., 6.875%, 2021		205,000		214,738
Quicksilver Resources, Inc., 8.25%, 2015		150,000		154,875
Quicksilver Resources, Inc., 9.125%, 2019		240,000		254,400
Range Resources Corp., 8%, 2019		135,000		148,669
SandRidge Energy, Inc., 8%, 2018 (n)		415,000		434,713
			$	7,236,772
Energy - Integrated - 0.2%
CCL Finance Ltd., 9.5%, 2014 (n)	$	894,000	$	1,028,100
Entertainment - 0.2%
AMC Entertainment, Inc., 8.75%, 2019	$	165,000	$	177,169
AMC Entertainment, Inc., 9.75%, 2020 (z)		245,000		262,763
Cinemark USA, Inc., 8.625%, 2019		110,000		119,900
NAI Entertainment Holdings LLC, 8.25%, 2017 (z)		100,000		107,500
			$	667,332
Financial Institutions - 1.4%
American General Finance Corp., 5.375%, 2012	$	105,000	$	103,294
American General Finance Corp., 6.9%, 2017		420,000		376,950
CIT Group, Inc., 7%, 2014		440,000		448,525
CIT Group, Inc., 7%, 2016		1,045,000		1,054,144
CIT Group, Inc., 7%, 2017		1,435,000		1,445,763
Credit Acceptance Corp., 9.125%, 2017 (z)		210,000		222,600
General Electric Capital Corp., 6.375% to 2017, FRN to 2067		259,000		265,151
GMAC, Inc., 8%, 2031		405,000		463,725
International Lease Finance Corp., 8.75%, 2017 (n)		610,000		696,925

17

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Bonds - continued
Financial Institutions - continued
International Lease Finance Corp., 7.125%, 2018 (n)	$	262,000	$	285,908
International Lease Finance Corp., 8.25%, 2020		55,000		61,188
Nationstar Mortgage LLC, 10.875%, 2015 (z)		220,000		226,600
SLM Corp., 8%, 2020		435,000		461,644
			$	6,112,417
Food & Beverages - 0.4%
ARAMARK Corp., 8.5%, 2015	$	160,000	$	167,200
B&G Foods, Inc., 7.625%, 2018		115,000		122,763
CEDC Finance Corp. International, Inc., 9.125%, 2016 (n)		205,000		221,913
Constellation Brands, Inc., 7.25%, 2016		295,000		317,125
Del Monte Foods Co., 6.75%, 2015		300,000		304,500
Pinnacle Foods Finance LLC, 9.25%, 2015		305,000		317,963
Pinnacle Foods Finance LLC, 10.625%, 2017		105,000		112,613
TreeHouse Foods, Inc., 7.75%, 2018		175,000		189,438
			$	1,753,515
Forest & Paper Products - 0.7%
Boise, Inc., 8%, 2020	$	235,000	$	259,088
Cascades, Inc., 7.75%, 2017		350,000		366,188
Fibria Overseas Finance, 6.75%, 2021 (z)		197,000		195,241
Georgia-Pacific Corp., 7.125%, 2017 (n)		140,000		148,750
Georgia-Pacific Corp., 8%, 2024		130,000		149,013
Georgia-Pacific Corp., 7.25%, 2028		45,000		47,475
Graphic Packaging Holding Co., 7.875%, 2018		130,000		139,750
Inversiones CMPC S.A., 4.75%, 2018 (n)		1,050,000		1,010,226
JSG Funding PLC, 7.75%, 2015		10,000		10,250
Millar Western Forest Products Ltd., 7.75%, 2013		230,000		225,975
Sappi Papier Holding GmbH, 6.75%, 2012 (n)		95,000		99,038
Smurfit Kappa Group PLC, 7.75%, 2019 (n)	EUR	225,000		332,223
			$	2,983,217
Gaming & Lodging - 1.1%
Ameristar Casinos, Inc., 9.25%, 2014	$	195,000	$	209,625
Firekeepers Development Authority, 13.875%, 2015 (n)		180,000		214,425
Fontainebleau Las Vegas Holdings LLC, 10.25%, 2015 (d)(n)		505,000		2,525
Gaylord Entertainment Co., 6.75%, 2014		300,000		304,500
GWR Operating Partnership LLP, 10.875%, 2017		110,000		118,525
Harrah’s Operating Co., Inc., 11.25%, 2017		715,000		811,525
Harrah’s Operating Co., Inc., 10%, 2018		337,000		316,780
Host Hotels & Resorts, Inc., 6.75%, 2016		560,000		581,000
Host Hotels & Resorts, Inc., 9%, 2017		270,000		303,075
MGM Mirage, 10.375%, 2014		35,000		39,200

18

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Bonds - continued
Gaming & Lodging - continued
MGM Mirage, 11.125%, 2017	$	335,000	$	386,088
MGM Mirage, 9%, 2020 (n)		180,000		196,650
MGM Resorts International, 11.375%, 2018		165,000		187,275
Penn National Gaming, Inc., 8.75%, 2019		150,000		167,250
Starwood Hotels & Resorts Worldwide, Inc., 6.75%, 2018		315,000		340,987
Station Casinos, Inc., 6.5%, 2014 (d)		440,000		44
Station Casinos, Inc., 6.875%, 2016 (d)		475,000		48
Wyndham Worldwide Corp., 6%, 2016		100,000		106,482
Wyndham Worldwide Corp., 7.375%, 2020		190,000		210,322
Wynn Las Vegas LLC, 7.75%, 2020		80,000		84,600
			$	4,580,926
Industrial - 0.1%
Altra Holdings, Inc., 8.125%, 2016	$	230,000	$	245,525
Diversey, Inc., 8.25%, 2019		100,000		108,875
Mueller Water Products, Inc., 7.375%, 2017		140,000		136,500
Mueller Water Products, Inc., 8.75%, 2020		93,000		102,998
			$	593,898
Insurance - 0.4%
American International Group, Inc., 8.175% to 2038, FRN to 2058	$	465,000	$	510,338
ING Capital Funding Trust III, FRN, 3.903%, 2049		340,000		326,240
ING Groep N.V., 5.775% to 2015, FRN to 2049		524,000		466,360
MetLife, Inc., 9.25% to 2038, FRN to 2068 (n)		300,000		363,000
			$	1,665,938
Insurance - Property & Casualty - 0.3%
Liberty Mutual Group, Inc., 10.75% to 2038, FRN to 2088 (n)	$	450,000	$	586,125
USI Holdings Corp., 9.75%, 2015 (z)		205,000		211,150
XL Group PLC, 6.5% to 2017, FRN to 2049		460,000		425,500
			$	1,222,775
International Market Sovereign - 0.0%
Republic of Ireland, 5.4%, 2025	EUR	90,000	$	87,334
Local Authorities - 0.0%
Nashville & Davidson County, TN, Metropolitan Government Convention Center Authority (Build America Bonds), 6.731%, 2043	$	115,000	$	112,448
San Francisco, CA, City & County Public Utilities Commission, Water Rev. (Build America Bonds), 6%, 2040		15,000		14,780
University of California Rev. (Build America Bonds), 5.77%, 2043		60,000		57,513
			$	184,741

19

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Bonds - continued
Machinery & Tools - 0.2%
Case Corp., 7.25%, 2016	$	85,000	$	92,863
Case New Holland, Inc., 7.875%, 2017 (n)		510,000		569,925
Rental Service Corp., 9.5%, 2014		97,000		101,850
RSC Equipment Rental, Inc., 8.25%, 2021 (z)		230,000		243,225
			$	1,007,863
Major Banks - 0.6%
Bank of America Corp., 8% to 2018, FRN to 2049	$	1,375,000	$	1,451,574
JPMorgan Chase & Co., 7.9% to 2018, FRN to 2049		460,000		500,715
Royal Bank of Scotland Group PLC, 6.99% to 2017, FRN to 2049 (d)(n)		100,000		86,000
Royal Bank of Scotland Group PLC, 7.648% to 2031, FRN to 2049		770,000		704,550
			$	2,742,839
Medical & Health Technology & Services - 1.7%
Biomet, Inc., 10%, 2017	$	185,000	$	206,044
Biomet, Inc., 10.375%, 2017 (p)		110,000		123,063
Biomet, Inc., 11.625%, 2017		315,000		355,163
Community Health Systems, Inc., 8.875%, 2015		320,000		339,200
Davita, Inc., 6.375%, 2018		185,000		187,544
Davita, Inc., 6.625%, 2020		85,000		86,169
Fresenius Medical Care AG & Co. KGaA, 9%, 2015 (n)		175,000		200,594
HCA, Inc., 9.25%, 2016		2,365,000		2,554,200
HealthSouth Corp., 8.125%, 2020		430,000		466,550
Tenet Healthcare Corp., 9.25%, 2015		460,000		505,425
Tenet Healthcare Corp., 8%, 2020		65,000		66,950
United Surgical Partners International, Inc., 8.875%, 2017		345,000		363,975
United Surgical Partners International, Inc., 9.25%, 2017 (p)		120,000		126,900
Universal Hospital Services, Inc., 8.5%, 2015 (p)		275,000		287,375
Universal Hospital Services, Inc., FRN, 3.834%, 2015		65,000		62,400
Vanguard Health Systems, Inc., 8%, 2018		965,000		991,538
VWR Funding, Inc., 10.25%, 2015 (p)		312,219		330,952
			$	7,254,042
Metals & Mining - 1.4%
Arch Coal, Inc., 7.25%, 2020	$	85,000	$	90,313
Bumi Investment Pte Ltd., 10.75%, 2017 (n)		998,000		1,099,048
Cloud Peak Energy, Inc., 8.25%, 2017		500,000		543,750
Cloud Peak Energy, Inc., 8.5%, 2019		405,000		446,513
CONSOL Energy, Inc., 8%, 2017		320,000		347,200
CONSOL Energy, Inc., 8.25%, 2020		70,000		77,175
Gold Fields Orogen Holdings Ltd., 4.875%, 2020 (n)		1,093,000		1,043,795
Metinvest B.V., 8.75%, 2018 (z)		1,000,000		1,020,000
Novelis, Inc., 8.375%, 2017 (n)		120,000		132,300

20

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Bonds - continued
Metals & Mining - continued
Novelis, Inc., 8.75%, 2020 (n)	$	60,000	$	66,150
Southern Copper Corp., 6.75%, 2040		730,000		758,634
Vale Overseas Ltd., 4.625%, 2020		103,000		101,138
Vale Overseas Ltd., 6.875%, 2039		71,000		76,587
			$	5,802,603
Mortgage-Backed - 6.5%
Fannie Mae, 5.503%, 2011	$	39,000	$	39,898
Fannie Mae, 6.088%, 2011		62,000		62,594
Fannie Mae, 4.35%, 2013		175,331		183,950
Fannie Mae, 4.374%, 2013		124,890		131,069
Fannie Mae, 4.518%, 2013		116,574		122,721
Fannie Mae, 5.159%, 2013		49,086		52,427
Fannie Mae, 5.37%, 2013		93,270		97,657
Fannie Mae, 4.778%, 2014		175,202		186,880
Fannie Mae, 4.88%, 2014		98,792		106,060
Fannie Mae, 4.935%, 2014		160,053		170,697
Fannie Mae, 4.56%, 2015		72,704		77,525
Fannie Mae, 4.562%, 2015		271,166		290,000
Fannie Mae, 4.6%, 2015		27,428		29,266
Fannie Mae, 4.69%, 2015		191,588		205,017
Fannie Mae, 4.7%, 2015		143,412		153,526
Fannie Mae, 4.78%, 2015		81,370		87,331
Fannie Mae, 4.79%, 2015		123,068		132,020
Fannie Mae, 4.81%, 2015		183,309		196,923
Fannie Mae, 4.85%, 2015		176,817		190,080
Fannie Mae, 4.856%, 2015		64,105		68,619
Fannie Mae, 5.022%, 2015		157,958		169,759
Fannie Mae, 5.034%, 2015		127,620		138,183
Fannie Mae, 4.5%, 2016 - 2040		1,611,030		1,689,783
Fannie Mae, 5.09%, 2016		65,154		70,402
Fannie Mae, 5.157%, 2016		32,544		35,483
Fannie Mae, 5.395%, 2016		107,522		116,134
Fannie Mae, 5.424%, 2016		123,781		135,076
Fannie Mae, 5.845%, 2016		49,896		54,321
Fannie Mae, 5.93%, 2016		114,987		124,179
Fannie Mae, 3.309%, 2017		449,573		449,021
Fannie Mae, 5.5%, 2017 - 2040		5,425,712		5,821,094
Fannie Mae, 5.507%, 2017		67,661		73,095
Fannie Mae, 6%, 2017 - 2038		2,012,343		2,201,255
Fannie Mae, 6.5%, 2017 - 2037		472,156		531,696
Fannie Mae, 5.16%, 2018		219,930		238,087

21

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Bonds - continued
Mortgage-Backed - continued
Fannie Mae, 4.67%, 2019	$	28,000	$	29,293
Fannie Mae, 4.83%, 2019		73,705		77,713
Fannie Mae, 4.875%, 2019		115,689		124,904
Fannie Mae, 5%, 2019 - 2040		2,767,147		2,907,283
Fannie Mae, 5.05%, 2019		24,579		26,172
Fannie Mae, 5.08%, 2019		24,451		26,030
Fannie Mae, 3.87%, 2020		72,576		71,747
Fannie Mae, 4.14%, 2020		43,770		44,100
Fannie Mae, 4.86%, 2034		430,950		464,512
Freddie Mac, 3.882%, 2017		235,000		240,389
Freddie Mac, 5%, 2017 - 2040		1,325,506		1,402,710
Freddie Mac, 6%, 2017 - 2038		1,007,540		1,108,851
Freddie Mac, 4.186%, 2019		146,000		147,021
Freddie Mac, 5.085%, 2019		162,000		169,877
Freddie Mac, 2.757%, 2020		299,508		295,861
Freddie Mac, 3.32%, 2020		269,000		271,644
Freddie Mac, 4.224%, 2020		99,963		100,658
Freddie Mac, 4.251%, 2020		70,000		71,201
Freddie Mac, 4.5%, 2024 - 2028		308,356		321,455
Freddie Mac, 5.5%, 2024 - 2038		1,217,145		1,309,423
Freddie Mac, 4%, 2025		1,105,634		1,137,429
Freddie Mac, 6.5%, 2037		229,745		257,879
Ginnie Mae, 5.5%, 2033 - 2040		1,033,898		1,124,301
Ginnie Mae, 4.5%, 2039 - 2040		798,158		828,913
Ginnie Mae, 5.612%, 2058		334,021		356,059
Ginnie Mae, 6.357%, 2058		287,088		309,887
			$	27,657,140
Natural Gas - Distribution - 0.1%
AmeriGas Partners LP, 7.125%, 2016	$	205,000	$	213,200
Ferrellgas Partners LP, 8.625%, 2020		155,000		168,563
			$	381,763
Natural Gas - Pipeline - 0.6%
Atlas Pipeline Partners LP, 8.125%, 2015	$	125,000	$	130,469
Atlas Pipeline Partners LP, 8.75%, 2018		470,000		502,900
Crosstex Energy, Inc., 8.875%, 2018		475,000		523,688
El Paso Corp., 7%, 2017		545,000		608,884
El Paso Corp., 7.75%, 2032		75,000		79,410
Energy Transfer Equity LP, 7.5%, 2020		505,000		547,294
Enterprise Products Partners LP, 8.375% to 2016, FRN to 2066		112,000		120,820
Enterprise Products Partners LP, 7.034% to 2018, FRN to 2068		71,000		74,018
			$	2,587,483

22

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Bonds - continued
Network & Telecom - 0.6%
CenturyLink, Inc., 7.6%, 2039	$	150,000	$	158,352
Cincinnati Bell, Inc., 8.25%, 2017		260,000		262,600
Cincinnati Bell, Inc., 8.75%, 2018		180,000		172,575
Citizens Communications Co., 9%, 2031		60,000		63,150
Frontier Communications Corp., 8.25%, 2017		150,000		165,750
Frontier Communications Corp., 8.5%, 2020		375,000		416,250
Qwest Communications International, Inc., 8%, 2015		65,000		70,931
Qwest Communications International, Inc., 7.125%, 2018 (n)		280,000		300,300
Windstream Corp., 8.625%, 2016		540,000		571,050
Windstream Corp., 8.125%, 2018		150,000		160,500
Windstream Corp., 7.75%, 2020		100,000		103,625
			$	2,445,083
Oil Services - 0.3%
Afren PLC, 11.5%, 2016 (n)	$	200,000	$	208,000
Edgen Murray Corp., 12.25%, 2015		110,000		105,050
Expro Finance Luxembourg, 8.5%, 2016 (n)		450,000		462,375
McJunkin Red Man Holding Corp., 9.5%, 2016 (n)		75,000		74,250
Pioneer Drilling Co., 9.875%, 2018		225,000		245,250
Trinidad Drilling Ltd., 7.875%, 2019 (n)		120,000		125,550
			$	1,220,475
Oils - 0.3%
LUKOIL International Finance B.V., 6.125%, 2020 (n)	$	1,036,000	$	1,047,707
Petroplus Holdings AG, 9.375%, 2019 (n)		100,000		104,000
			$	1,151,707
Other Banks & Diversified Financials - 1.4%
Banco PanAmericano S.A., 8.5%, 2020 (n)	$	565,000	$	577,713
Bangkok Bank (Hong Kong), 4.8%, 2020 (n)		477,000		453,506
Bank of China (Hong Kong) Ltd., 5.55%, 2020 (n)		385,000		396,074
Capital One Financial Corp., 10.25%, 2039		195,000		211,819
Citigroup Capital XXI, 8.3% to 2037, FRN to 2077		1,045,000		1,076,350
Groupe BPCE S.A., 12.5% to 2019, FRN to 2049 (n)		130,000		146,322
Grupo Financiero BBVA Bancomer S.A. de C.V., 7.25%, 2020 (n)		1,058,000		1,116,078
Isbank GmbH, 5.1%, 2016 (n)		1,153,000		1,138,829
LBG Capital No. 1 PLC, 7.875%, 2020 (n)		580,000		559,700
Santander UK PLC, 8.963% to 2030, FRN to 2049		387,000		425,700
			$	6,102,091
Pharmaceuticals - 0.1%
Valeant Pharmaceuticals International, Inc., 6.75%, 2017 (n)	$	440,000	$	455,400

23

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Bonds - continued
Precious Metals & Minerals - 0.1%
ALROSA Finance S.A., 7.75%, 2020 (n)	$	203,000	$	215,180
Printing & Publishing - 0.1%
American Media, Inc., 13.5%, 2018 (z)	$	26,083	$	26,637
McClatchy Co., 11.5%, 2017		140,000		158,900
Nielsen Finance LLC, 11.5%, 2016		204,000		240,210
Nielsen Finance LLC, 7.75%, 2018 (n)		85,000		91,906
			$	517,653
Railroad & Shipping - 0.1%
Kansas City Southern Railway, 8%, 2015	$	205,000	$	222,425
Real Estate - 0.2%
CB Richard Ellis Group, Inc., 11.625%, 2017	$	235,000	$	277,006
Country Garden Holding Co., 11.125%, 2018 (z)		200,000		199,600
Entertainment Properties Trust, REIT, 7.75%, 2020 (n)		215,000		226,288
			$	702,894
Restaurants - 0.0%
Dunkin Finance Corp., 9.625%, 2018 (n)	$	76,000	$	76,950
Retailers - 0.5%
Burlington Coat Factory Warehouse Corp., 10%, 2019 (z)	$	60,000	$	60,600
Express LLC/Express Finance Corp., 8.75%, 2018		320,000		344,400
Limited Brands, Inc., 6.9%, 2017		110,000		117,975
Limited Brands, Inc., 6.95%, 2033		60,000		55,800
Neiman Marcus Group, Inc., 10.375%, 2015		245,000		259,394
QVC, Inc., 7.375%, 2020 (n)		180,000		190,800
Sally Beauty Holdings, Inc., 10.5%, 2016		85,000		93,500
Toys “R” Us Property Co. II LLC, 8.5%, 2017		625,000		679,687
Toys “R” Us, Inc., 10.75%, 2017		175,000		199,937
YCC Holdings LLC, 10.25%, 2016 (p)(z)		145,000		149,350
			$	2,151,443
Specialty Stores - 0.2%
Giraffe Acquisition Corp., 9.125%, 2018 (n)	$	75,000	$	76,500
Michaels Stores, Inc., 11.375%, 2016		125,000		136,563
Michaels Stores, Inc., 7.75%, 2018 (n)		445,000		459,463
Payless ShoeSource, Inc., 8.25%, 2013		151,000		153,548
			$	826,074

24

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Bonds - continued
Telecommunications - Wireless - 2.1%
Clearwire Corp., 12%, 2015 (n)	$	605,000	$	659,450
Cricket Communications, Inc., 7.75%, 2016		135,000		142,763
Crown Castle International Corp., 9%, 2015		170,000		191,250
Crown Castle International Corp., 7.125%, 2019		185,000		196,794
Digicel Group Ltd., 8.25%, 2017 (n)		160,000		167,200
Digicel Group Ltd., 10.5%, 2018 (n)		510,000		581,400
Globo Comunicacoes e Participacoes S.A., 6.25% to 2015, 9.375% to 2049 (n)		1,142,000		1,193,390
MetroPCS Wireless, Inc., 7.875%, 2018		195,000		205,969
Net Servicos de Comunicacao S.A., 7.5%, 2020		887,000		1,028,920
Nextel Communications, Inc., 7.375%, 2015		210,000		210,525
NII Holdings, Inc., 10%, 2016		140,000		158,550
NII Holdings, Inc., 8.875%, 2019		405,000		447,525
SBA Communications Corp., 8%, 2016		55,000		59,950
SBA Communications Corp., 8.25%, 2019		105,000		115,763
Sprint Capital Corp., 6.875%, 2028		85,000		76,606
Sprint Nextel Corp., 8.375%, 2017		1,340,000		1,485,725
Sprint Nextel Corp., 8.75%, 2032		240,000		249,600
Telefonica Moviles Chile, 2.875%, 2015 (n)		100,000		95,499
VimpelCom Ltd., 7.748%, 2021 (z)		981,000		1,014,158
Wind Acquisition Finance S.A., 11.75%, 2017 (n)		380,000		436,050
Wind Acquisition Finance S.A., 7.25%, 2018 (n)		400,000		413,000
			$	9,130,087
Telephone Services - 0.1%
Cogent Communications Group, Inc., 8.375%, 2018 (z)	$	105,000	$	108,938
Frontier Communications Corp., 8.125%, 2018		365,000		405,606
			$	514,544
Transportation - Services - 0.5%
ACL I Corp., 10.625%, 2016 (p)(z)	$	220,000	$	219,849
Aguila American Resources Ltd., 7.875%, 2018 (z)		150,000		155,625
American Petroleum Tankers LLC, 10.25%, 2015 (n)		105,000		109,856
Commercial Barge Line Co., 12.5%, 2017		255,000		295,800
Hertz Corp., 8.875%, 2014		82,000		84,153
Hertz Corp., 7.5%, 2018 (n)		425,000		449,969
Hertz Corp., 7.375%, 2021 (n)		210,000		219,450
Navios Maritime Acquisition Corp., 8.625%, 2017 (n)		255,000		265,838
Navios Maritime Holdings, Inc., 8.875%, 2017		110,000		118,800
Swift Services Holdings, Inc., 10%, 2018 (z)		360,000		394,200
			$	2,313,540

25

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Bonds - continued
U.S. Government Agencies and Equivalents - 0.2%
Aid-Egypt, 4.45%, 2015	$	170,000	$	186,186
FDIC Structured Sale Guarantee Note, 0%, 2012 (n)		25,000		24,342
Small Business Administration, 6.34%, 2021		249,368		270,677
Small Business Administration, 6.07%, 2022		223,351		241,650
Small Business Administration, 5.16%, 2028		255,525		269,893
			$	992,748
U.S. Treasury Obligations - 10.7%
U.S. Treasury Bonds, 9.25%, 2016	$	47,000	$	63,024
U.S. Treasury Bonds, 6.375%, 2027		106,000		135,017
U.S. Treasury Bonds, 5.25%, 2029		4,289,000		4,857,292
U.S. Treasury Bonds, 4.5%, 2036		70,000		70,930
U.S. Treasury Bonds, 4.375%, 2038		638,000		629,826
U.S. Treasury Bonds, 4.5%, 2039		2,059,300		2,065,091
U.S. Treasury Notes, 5.125%, 2011		495,000		503,198
U.S. Treasury Notes, 1.125%, 2012		18,000		18,133
U.S. Treasury Notes, 1.375%, 2012 (s)		12,059,900		12,183,791
U.S. Treasury Notes, 1.375%, 2012		750,000		760,283
U.S. Treasury Notes, 3.125%, 2013		305,000		321,989
U.S. Treasury Notes, 4%, 2014		18,000		19,524
U.S. Treasury Notes, 1.875%, 2014		4,868,000		4,964,221
U.S. Treasury Notes, 4%, 2015		1,397,000		1,525,676
U.S. Treasury Notes, 2.125%, 2015		4,537,000		4,601,153
U.S. Treasury Notes, 3.75%, 2018		3,361,000		3,547,169
U.S. Treasury Notes, 2.75%, 2019		7,303,800		7,160,003
U.S. Treasury Notes, TIPS, 1.25%, 2020		2,227,102		2,293,044
			$	45,719,364
Utilities - Electric Power - 1.3%
AES Corp., 8%, 2017	$	765,000	$	830,025
Calpine Corp., 8%, 2016 (n)		175,000		189,875
Calpine Corp., 7.875%, 2020 (n)		390,000		412,425
Colbun S.A., 6%, 2020 (n)		454,000		456,321
Covanta Holding Corp., 7.25%, 2020		170,000		178,545
Dynegy Holdings, Inc., 7.75%, 2019		460,000		332,350
Edison Mission Energy, 7%, 2017		490,000		398,125
Energy Future Holdings Corp., 10.25%, 2020 (n)		225,000		234,304
Energy Future Holdings Corp., 10%, 2020		1,660,000		1,732,794
Genon Escrow Corp., 9.875%, 2020 (n)		590,000		620,975
Texas Competitive Electric Holdings LLC, 10.25%, 2015		200,000		112,500
			$	5,498,239
Total Bonds (Identified Cost, $217,586,539)			$	224,271,604

26

Portfolio of Investments – continued

Common Stocks - 40.7%
Issuer	Shares/Par		Value ($)
Aerospace - 0.5%
Lockheed Martin Corp.		8,560	$	677,610
Northrop Grumman Corp.		23,606		1,574,048
			$	2,251,658
Automotive - 0.5%
Accuride Corp. (a)		5,511	$	77,099
Johnson Controls, Inc.		27,100		1,105,680
Lear Corp.		8,170		864,386
			$	2,047,165
Broadcasting - 0.3%
CBS Corp., “B”		44,730	$	1,067,258
New Young Broadcasting Holding Co., Inc. (a)		30		75,000
			$	1,142,258
Brokerage & Asset Managers - 0.3%
CME Group, Inc.		3,680	$	1,145,510
NASDAQ OMX Group, Inc. (a)		7,518		215,090
			$	1,360,600
Cable TV - 0.5%
Comcast Corp., “A”		15,700	$	404,432
Time Warner Cable, Inc.		24,950		1,800,891
			$	2,205,323
Chemicals - 0.6%
E.I. du Pont de Nemours & Co.		34,700	$	1,903,989
PPG Industries, Inc.		9,540		843,145
			$	2,747,134
Computer Software - 0.2%
Microsoft Corp.		34,020	$	904,252
Construction - 0.2%
Owens Corning (a)		26,830	$	958,607
Consumer Products - 0.4%
Kimberly-Clark Corp.		4,583	$	302,020
Newell Rubbermaid, Inc.		25,990		502,647
Procter & Gamble Co.		12,540		790,647
			$	1,595,314

27

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Common Stocks - continued
Electrical Equipment - 0.5%
General Electric Co.		109,492	$	2,290,573
Electronics - 0.4%
Intel Corp.		33,687	$	723,260
Microchip Technology, Inc.		26,610		982,175
			$	1,705,435
Energy - Integrated - 2.3%
Chevron Corp.		40,695	$	4,222,106
ConocoPhillips		22,140		1,724,042
Exxon Mobil Corp.		23,150		1,980,020
Hess Corp.		7,470		650,114
Marathon Oil Corp.		24,880		1,234,048
			$	9,810,330
Food & Beverages - 0.7%
Coca-Cola Co.		9,810	$	627,055
Dr Pepper Snapple Group, Inc.		41,840		1,508,750
General Mills, Inc.		10,294		382,319
PepsiCo, Inc.		9,020		572,048
			$	3,090,172
Forest & Paper Products - 0.9%
International Paper Co.		19,550	$	543,099
Weyerhaeuser Co.		130,289		3,180,354
			$	3,723,453
Furniture & Appliances - 0.1%
Whirlpool Corp.		3,250	$	268,125
Gaming & Lodging - 0.5%
Las Vegas Sands Corp. (a)		21,560	$	1,005,558
Royal Caribbean Cruises Ltd. (a)		22,741		995,828
			$	2,001,386
General Merchandise - 0.3%
Macy’s, Inc.		58,225	$	1,391,578
Health Maintenance Organizations - 0.5%
Aetna, Inc.		32,850	$	1,227,276
Humana, Inc. (a)		13,170		856,182
			$	2,083,458

28

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Common Stocks - continued
Insurance - 2.1%
ACE Ltd.		12,977	$	820,795
Aflac, Inc.		23,260		1,369,084
Allied World Assurance Co.		19,290		1,190,386
Aon Corp.		6,130		322,683
Chubb Corp.		18,400		1,116,512
MetLife, Inc.		13,870		656,883
Prudential Financial, Inc.		28,470		1,874,180
Travelers Cos., Inc.		28,410		1,702,611
			$	9,053,134
Leisure & Toys - 0.1%
Activision Blizzard, Inc.		36,320	$	403,878
Machinery & Tools - 0.2%
Pitney Bowes, Inc.		11,980	$	301,656
Timken Co.		14,120		687,926
			$	989,582
Major Banks - 2.7%
Bank of America Corp.		205,646	$	2,938,681
Bank of New York Mellon Corp.		45,270		1,375,755
Goldman Sachs Group, Inc.		3,000		491,340
JPMorgan Chase & Co.		60,940		2,845,289
Morgan Stanley		31,130		923,938
State Street Corp.		9,240		413,213
Wells Fargo & Co.		75,640		2,440,146
			$	11,428,362
Medical & Health Technology & Services - 0.5%
Cardinal Health, Inc.		12,440	$	518,002
McKesson Corp.		19,670		1,559,438
			$	2,077,440
Medical Equipment - 0.1%
Medtronic, Inc.		14,280	$	570,058
Metals & Mining - 0.2%
Cliffs Natural Resources, Inc.		7,740	$	751,322
Steel Dynamics, Inc.		11,710		216,167
			$	967,489
Natural Gas - Distribution - 0.3%
NiSource, Inc.		70,600	$	1,352,696

29

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Common Stocks - continued
Oil Services - 0.4%
National Oilwell Varco, Inc.		19,470	$	1,549,228
Other Banks & Diversified Financials - 0.7%
American Express Co.		9,840	$	428,729
Capital One Financial Corp.		20,590		1,024,764
CIT Group, Inc. (a)		6,310		273,349
Citigroup, Inc. (a)		239,440		1,120,579
New York Community Bancorp, Inc.		14,240		265,718
			$	3,113,139
Pharmaceuticals - 1.3%
Abbott Laboratories		22,510	$	1,082,731
Johnson & Johnson		27,900		1,714,176
Merck & Co., Inc.		10,293		335,243
Pfizer, Inc.		132,580		2,550,839
			$	5,682,989
Pollution Control - 0.2%
Republic Services, Inc.		28,470	$	842,997
Printing & Publishing - 0.4%
American Media, Inc. (a)		6,684	$	95,381
Moody’s Corp.		46,210		1,474,099
Quad/Graphics, Inc. (a)		178		7,729
			$	1,577,209
Railroad & Shipping - 0.2%
CSX Corp.		10,540	$	786,916
Real Estate - 17.9%
Alexandria Real Estate Equities, Inc., REIT		30,271	$	2,427,734
Associated Estates Realty Corp., REIT		37,413		607,961
Atrium European Real Estate Ltd.		78,930		506,040
AvalonBay Communities, Inc., REIT		17,728		2,145,620
BioMed Realty Trust, Inc., REIT		138,245		2,509,147
Boston Properties, Inc., REIT		30,428		2,918,654
CapLease, Inc., REIT		8,243		44,265
Cousins Properties, Inc., REIT		187,214		1,587,575
Digital Realty Trust, Inc., REIT		49,088		2,887,356
Douglas Emmett, Inc., REIT		66,300		1,243,125
Duke Realty Corp., REIT		104,859		1,475,366
DuPont Fabros Technology, Inc., REIT		56,665		1,383,759
Entertainment Properties Trust, REIT		26,421		1,259,489

30

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Common Stocks - continued
Real Estate - continued
Equity Lifestyle Properties, Inc., REIT		28,361	$	1,646,072
Equity Residential, REIT		58,781		3,239,421
Federal Realty Investment Trust, REIT		17,236		1,450,926
HCP, Inc., REIT		69,042		2,623,596
Home Properties, Inc., REIT		37,685		2,220,400
Host Hotels & Resorts, Inc., REIT		40,841		751,474
Kimco Realty Corp., REIT		97,185		1,883,445
Mack-Cali Realty Corp., REIT		32,745		1,111,365
Medical Properties Trust, Inc., REIT		271,453		3,184,144
Mid-America Apartment Communities, Inc., REIT		35,517		2,307,539
Nationwide Health Properties, Inc., REIT		56,947		2,433,915
Parkway Properties, Inc., REIT		120,200		1,948,442
Plum Creek Timber Co. Inc., REIT		53,681		2,252,455
ProLogis, REIT		43,808		712,318
Public Storage, Inc., REIT		42,684		4,791,279
Ramco-Gershenson Properties Trust, REIT		132,253		1,786,738
SEGRO PLC, REIT		54,208		283,757
Simon Property Group, Inc., REIT		75,961		8,358,748
SL Green Realty Corp., REIT		18,693		1,415,621
Starwood Property Trust, Inc., REIT		112,426		2,629,644
Tanger Factory Outlet Centers, Inc., REIT		38,012		1,013,020
Taubman Centers, Inc., REIT		26,884		1,491,524
Ventas, Inc., REIT		42,195		2,338,447
Vornado Realty Trust, REIT		39,287		3,666,656
			$	76,537,037
Restaurants - 0.2%
Darden Restaurants, Inc.		16,702	$	787,165
Special Products & Services - 0.0%
Mark IV Industries LLC, Common Units, “A” (a)		200	$	11,700
Specialty Stores - 0.4%
Abercrombie & Fitch Co., “A”		7,470	$	428,554
Foot Locker, Inc.		18,460		366,800
Limited Brands, Inc.		23,800		762,076
			$	1,557,430
Telephone Services - 1.3%
AT&T, Inc.		87,850	$	2,493,183
CenturyLink, Inc.		22,164		912,714
Qwest Communications International, Inc.		113,510		774,138
Verizon Communications, Inc.		32,940		1,216,145
			$	5,396,180

31

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Common Stocks - continued
Tobacco - 0.5%
Altria Group, Inc.		18,140	$	460,212
Philip Morris International, Inc.		4,070		255,515
Reynolds American, Inc.		48,170		1,653,194
			$	2,368,921
Trucking - 0.1%
United Parcel Service, Inc., “B”		5,030	$	371,214
Utilities - Electric Power - 1.2%
Alliant Energy Corp.		22,800	$	897,864
Ameren Corp.		23,110		646,156
American Electric Power Co., Inc.		8,541		305,597
DPL, Inc.		43,930		1,143,059
Integrys Energy Group, Inc.		12,480		611,146
PPL Corp.		37,430		951,845
Public Service Enterprise Group, Inc.		12,730		416,271
			$	4,971,938
Total Common Stocks (Identified Cost, $140,198,792)			$	173,973,523
Floating Rate Loans (g)(r) - 0.1%
Aerospace - 0.0%
Hawker Beechcraft Acquisition Co. LLC, Term Loan B, 10.5%, 2014	$	103,031	$	104,447
Broadcasting - 0.0%
Gray Television, Inc., Term Loan B, 3.77%, 2014	$	70,090	$	69,777
Local TV Finance LLC, Term Loan B, 2.31%, 2013		13,526		13,188
New Young Broadcasting Holding Co., Inc., Term Loan, 8%, 2015		67,147		67,426
			$	150,391
Building - 0.0%
Goodman Global, Inc., Second Lien Term Loan, 9%, 2017	$	11,206	$	11,549
Consumer Services - 0.0%
Realogy Corp., Letter of Credit B, 3.28%, 2013	$	9,309	$	8,930
Realogy Corp., Term Loan B, 3.25%, 2013		54,885		52,650
			$	61,580
Financial Institutions - 0.0%
American General Finance Corp., Term Loan, 7.25%, 2015	$	29,643	$	29,906

32

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Floating Rate Loans (g)(r) - continued
Gaming & Lodging - 0.1%
Green Valley Ranch Gaming LLC, Second Lien Term Loan, 3.5%, 2014 (d)	$	302,859	$	2,847
MGM Mirage, Inc., Term Loan E, 7%, 2014 (o)		173,226		170,605
			$	173,452
Total Floating Rate Loans (Identified Cost, $683,992)			$	531,325
Preferred Stocks - 0.1%
Automotive - 0.1%
General Motors Co., 4.75%		4,150	$	211,152
Other Banks & Diversified Financials - 0.0%
Citigroup Capital XIII, 7.875%		1,625	$	43,956
Total Preferred Stocks (Identified Cost, $248,125)			$	255,108

	Strike Price		First Exercise
Warrants - 0.1%
Broadcasting - 0.1%
New Young Broadcasting Holding Co., Inc. (1 share for 1 warrant) (Identified Cost, $154,932) (a)	$	0.01		7/14/10		82	$	205,000
Issuer/Expiration Date/Strike Price					Number of Contracts
Call Options Purchased - 0.0%
U.S. Treasury Note 10 year Futures - March 2011 @ $119.50 (Premiums Paid, $5,903)						8	$	5,750
Put Options Purchased - 0.0%
iShares Dow Jones U.S. Real Estate - March 2011 @ $52 (Premiums Paid $55,000)						1,250	$	5,000
Issuer					Shares/Par
Money Market Funds (v) - 4.9%
MFS Institutional Money Market Portfolio, 0.2%, at Cost and Net Asset Value						21,088,116	$	21,088,116
Total Investments (Identified Cost, $380,021,399)							$	420,335,426

33

Portfolio of Investments – continued

Put Options Written - 0.0%
Issuer/Expiration Date/Strike Price	Number of Contracts			Value ($)
iShares Dow Jones U.S. Real Estate - March 2011 @ $47 (Premium Received, $16,250)		(1,250	)	$	(2,500	)
Other Assets, Less Liabilities - 1.6%					6,814,478
Net Assets - 100.0%				$	427,147,404

(a) Non-income producing security.

(d) Non-income producing security - in default.

(g) The rate shown represents a weighted average coupon rate on settled positions at period end, unless otherwise indicated.

(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 $47,249,910, representing 11.1% of net assets.

(o) All or a portion of this position has not settled. Upon settlement date, interest rates for unsettled amounts will be determined. The rate shown represents the weighted average coupon rate for settled amounts.

(p) Payment-in-kind security.

(r) Remaining maturities of floating rate loans may be less than stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. These loans may be subject to restrictions on resale. Floating rate loans generally have rates of interest which are determined periodically by reference to a base lending rate plus a premium.

(s) Security or a portion of the security was pledged to cover collateral requirements for written options. At February 28, 2011, the value of securities pledged amounted to $6,566,775.

(v) Underlying affiliated fund that is available only to investment companies managed by MFS. The rate quoted is the annualized seven-day yield of the fund at period end.

(z) Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities:

Restricted Securities	Acquisition Date	Cost		Value
ACL I Corp., 10.625%, 2016	2/10/11		$216,173		$219,849
AMC Entertainment, Inc., 9.75%, 2020	12/01/10-2/04/11		255,275		262,763
Aguila American Resources Ltd., 7.875%, 2018	1/25/11		153,714		155,625
American Media, Inc., 13.5%, 2018	12/28/10		26,494		26,637
Bresnan Broadband Holdings LLC, 8%, 2018	12/01/10		55,000		57,750
Burlington Coat Factory Warehouse Corp., 10%, 2019	2/17/11		60,000		60,600
CPI International Acquisition, Inc., 8%, 2018	2/03/11		80,000		80,600
Cequel Communications Holdings, 8.625%, 2017	1/13/11-1/21/11		217,978		222,075
Citadel Broadcasting Corp., 7.75%, 2018	12/06/10		35,000		37,538
Cogent Communications Group, Inc., 8.375%, 2018	1/11/11		105,000		108,938
Country Garden Holding Co., 11.125%, 2018	2/16/11		198,812		199,600
Credit Acceptance Corp., 9.125%, 2017	2/28/11		222,600		222,600

34

Portfolio of Investments – continued

Restricted Securities - continued	Acquisition Date	Cost		Value
Elizabeth Arden, Inc., 7.375%, 2021	1/13/11-1/21/11		$162,749		$168,000
Fibria Overseas Finance, 6.75%, 2021	2/28/11		195,241		195,241
G-Force LLC, CDO, “A2”, 4.83%, 2036	1/20/11		182,402		186,621
LBI Media, Inc., 8.5%, 2017	7/18/07		123,486		104,531
Local TV Finance LLC, 9.25%, 2015	11/09/07-2/16/11		402,399		401,411
Metinvest B.V., 8.75%, 2018	2/07/11-2/14/11		999,049		1,020,000
NAI Entertainment Holdings LLC, 8.25%, 2017	12/02/10-12/20/10		103,396		107,500
Nationstar Mortgage LLC, 10.875%, 2015	3/23/10-2/17/11		220,387		226,600
Packaging Dynamics Corp., 8.75%, 2016	1/25/11-2/01/11		96,526		97,256
Ply Gem Industries, Inc., 8.25%, 2018	2/09/11		90,000		92,138
Polypore International, Inc., 7.5%, 2017	11/10/10-2/24/11		66,350		67,275
RSC Equipment Rental, Inc., 8.25%, 2021	1/13/11-2/01/11		235,627		243,225
Republic of Ukraine, 7.95%, 2021	2/16/11		898,000		899,500
Reynolds Group, 9%, 2019	1/24/11-2/03/11		412,426		406,575
Reynolds Group, 8.25%, 2021	1/27/11		115,000		115,288
SIRIUS XM Radio, Inc., 13%, 2013	12/15/10-1/03/11		176,818		178,875
Swift Services Holdings, Inc., 10%, 2018	12/15/10-1/04/11		370,783		394,200
Syniverse Holdings, Inc., 9.125%, 2019	12/16/10		163,166		172,800
Transnet Ltd., 4.5%, 2016	2/03/11		200,885		205,248
UCI International, Inc., 8.625%, 2019	1/11/11		65,000		69,225
UPCB Finance III Ltd., 6.625%, 2020	2/07/11		245,000		244,081
USI Holdings Corp., 9.75%, 2015	4/26/07-11/28/07		199,535		211,150
VimpelCom Ltd., 7.748%, 2021	1/26/11-2/14/11		998,533		1,014,158
YCC Holdings LLC, 10.25%, 2016	2/04/11-2/10/11		146,344		149,350
Total Restricted Securities					$8,624,823
% of Net Assets					2.0%

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

CDO Collateralized Debt Obligation

FRN Floating Rate Note. Interest rate resets periodically and may not be the rate reported at period end.

PLC Public Limited Company

REIT Real Estate Investment Trust

STRIPS Separate Trading of Registered Interest and Principal of Securities

TIPS Treasury Inflation Protected Security

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

35

Portfolio of Investments – continued

Derivative Contracts at 2/28/11

Forward Foreign Currency Exchange Contracts at 2/28/11

Type	Currency	Counterparty	Contracts to Deliver/ Receive		Settlement Date Range		In Exchange For		Contracts at Value		Net Unrealized Appreciation (Depreciation)
Liability Derivatives
SELL	EUR	Credit Suisse Group		69,591		4/12/11		$94,633		$95,984		$(1,351	)
SELL	EUR	UBS AG		135,693		4/12/11		186,172		187,157		(985	)
												$(2,336	)

Futures Contracts Outstanding at 2/28/11

Description	Currency		Contracts		Value	Expiration Date		Unrealized Appreciation (Depreciation)
Liability Derivatives
Interest Rate Futures
U.S. Treasury Bond 30 yr (Short)		USD		2	$240,688		June - 2011		$(773	)

At February 28, 2011, the fund had sufficient cash and/or securities to cover any commitments under these derivative contracts.

See Notes to Financial Statements

36

Financial Statements

STATEMENT OF ASSETS AND LIABILITIES

At 2/28/11

This statement represents your fund’s balance sheet, which details the assets and liabilities comprising the total value of the fund.

Assets
Investments-
Non-affiliated issuers, at value (identified cost, $358,933,283)	$399,247,310
Underlying affiliated funds, at cost and value	21,088,116
Total investments, at value (identified cost, $380,021,399)	$420,335,426
Cash	2,234,450
Receivables for
Investments sold	409,028
Fund shares sold	6,705,866
Interest and dividends	3,302,363
Other assets	3,301
Total assets	$432,990,434
Liabilities
Payables for
Distributions	$362,640
Forward foreign currency exchange contracts	2,336
Daily variation margin on open futures contracts	375
Investments purchased	4,361,072
Fund shares reacquired	911,863
Written options outstanding, at value (premiums received, $16,250)	2,500
Payable to affiliates
Investment adviser	2,738
Shareholder servicing costs	61,740
Distribution and service fees	21,944
Payable for independent Trustees’ compensation	794
Accrued expenses and other liabilities	115,028
Total liabilities	$5,843,030
Net assets	$427,147,404
Net assets consist of
Paid-in capital	$432,848,486
Unrealized appreciation (depreciation) on investments and translation of assets and liabilities in foreign currencies	40,324,869
Accumulated net realized gain (loss) on investments and foreign currency transactions	(45,412,521	)
Accumulated distributions in excess of net investment income	(613,430	)
Net assets	$427,147,404
Shares of beneficial interest outstanding	39,596,288

	Net assets		Shares outstanding		Net asset value per share (a)
Class A		$257,247,293		23,843,366		$10.79
Class C		138,343,877		12,828,652		10.78
Class I		30,993,104		2,872,042		10.79
Class R1		126,472		11,735		10.78
Class R2		124,998		11,598		10.78
Class R3		185,042		17,156		10.79
Class R4		126,618		11,739		10.79

(a) Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $11.33 [100 / 95.25 x $10.79]. On sales of $50,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A and Class C shares. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, and R4.

See Notes to Financial Statements

37

Financial Statements

STATEMENT OF OPERATIONS

Year ended 2/28/11

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
Income
Interest	$9,369,844
Dividends	3,778,821
Dividends from underlying affiliated funds	35,748
Total investment income	$13,184,413
Expenses
Management fee	$1,711,715
Distribution and service fees	1,294,330
Shareholder servicing costs	261,121
Administrative services fee	45,891
Independent Trustees’ compensation	6,496
Custodian fee	96,705
Shareholder communications	40,056
Auditing fees	57,448
Legal fees	3,922
Miscellaneous	139,251
Total expenses	$3,656,935
Fees paid indirectly	(56	)
Reduction of expenses by investment adviser	(219,849	)
Net expenses	$3,437,030
Net investment income	$9,747,383
Realized and unrealized gain (loss) on investments and foreign currency transactions
Realized gain (loss) (identified cost basis)
Investment transactions	$6,196,985
Futures contracts	102,134
Foreign currency transactions	123,517
Net realized gain (loss) on investments and foreign currency transactions	$6,422,636
Change in unrealized appreciation (depreciation)
Investments	$27,263,164
Written options	13,750
Futures contracts	(7,155	)
Translation of assets and liabilities in foreign currencies	(63,914	)
Net unrealized gain (loss) on investments and foreign currency translation	$27,205,845
Net realized and unrealized gain (loss) on investments and foreign currency	$33,628,481
Change in net assets from operations	$43,375,864

See Notes to Financial Statements

38

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.

	Years ended 2/28
	2011			2010
Change in net assets
From operations
Net investment income		$9,747,383			$7,940,708
Net realized gain (loss) on investments and foreign currency transactions		6,422,636			(8,501,822	)
Net unrealized gain (loss) on investments and foreign currency translation		27,205,845			61,189,255
Change in net assets from operations		$43,375,864			$60,628,141
Distributions declared to shareholders
From net investment income		$(10,855,741	)		$(8,471,693	)
Change in net assets from fund share transactions		$210,670,060			$(7,589,192	)
Total change in net assets		$243,190,183			$44,567,256
Net assets
At beginning of period		183,957,221			139,389,965
At end of period (including accumulated distributions in excess of net investment income of $613,430 and $88,511, respectively)		$427,147,404			$183,957,221

See Notes to Financial Statements

39

Financial Statements

FINANCIAL HIGHLIGHTS

The financial highlights table is intended to help you understand the fund’s financial performance for the past 5 years (or life of a particular share class, if shorter). Certain information reflects financial results for a single fund share. The total returns in the table represent the rate by which 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.

Class A	Years ended 2/29, 2/28
	2011			2010			2009			2008			2007 (c)
Net asset value, beginning of period		$9.60			$6.88			$10.04			$10.95			$10.00
Income (loss) from investment operations
Net investment income (d)		$0.40			$0.43			$0.47			$0.47			$0.37
Net realized and unrealized gain (loss) on investments and foreign currency		1.23			2.75			(3.13	)		(0.80	)		0.93
Total from investment operations		$1.63			$3.18			$(2.66	)		$(0.33	)		$1.30
Less distributions declared to shareholders
From net investment income		$(0.44	)		$(0.46	)		$(0.49	)		$(0.48	)		$(0.35	)
From net realized gain on investments		—			—			(0.01	)		(0.10	)		(0.00	)(w)
Total distributions declared to shareholders		$(0.44	)		$(0.46	)		$(0.50	)		$(0.58	)		$(0.35	)
Net asset value, end of period		$10.79			$9.60			$6.88			$10.04			$10.95
Total return (%) (r)(s)(t)		17.36			47.12			(27.43	)		(3.18	)		13.20	(n)
Ratios (%) (to average net assets) and Supplemental data:
Expenses before expense reductions (f)		1.15			1.20			1.23			1.18			1.36	(a)
Expenses after expense reductions (f)		1.06			0.94			0.95			0.95			0.95	(a)
Net investment income		3.95			5.02			5.23			4.35			4.45	(a)
Portfolio turnover		59			79			80			89			46
Net assets at end of period (000 omitted)		$257,247			$116,318			$91,445			$166,546			$156,447

See Notes to Financial Statements

40

Financial Highlights – continued

Class C	Years ended 2/29, 2/28
	2011			2010			2009			2008			2007 (c)
Net asset value, beginning of period		$9.59			$6.88			$10.03			$10.94			$10.00
Income (loss) from investment operations
Net investment income (d)		$0.33			$0.37			$0.41			$0.39			$0.30
Net realized and unrealized gain (loss) on investments and foreign currency		1.22			2.74			(3.13	)		(0.80	)		0.93
Total from investment operations		$1.55			$3.11			$(2.72	)		$(0.41	)		$1.23
Less distributions declared to shareholders
From net investment income		$(0.36	)		$(0.40	)		$(0.42	)		$(0.40	)		$(0.29	)
From net realized gain on investments		—			—			(0.01	)		(0.10	)		(0.00	)(w)
Total distributions declared to shareholders		$(0.36	)		$(0.40	)		$(0.43	)		$(0.50	)		$(0.29	)
Net asset value, end of period		$10.78			$9.59			$6.88			$10.03			$10.94
Total return (%) (r)(s)(t)		16.51			45.90			(27.88	)		(3.87	)		12.51	(n)
Ratios (%) (to average net assets) and Supplemental data:
Expenses before expense reductions (f)		1.90			1.95			1.93			1.89			2.01	(a)
Expenses after expense reductions (f)		1.81			1.69			1.65			1.65			1.65	(a)
Net investment income		3.20			4.27			4.54			3.64			3.67	(a)
Portfolio turnover		59			79			80			89			46
Net assets at end of period (000 omitted)		$138,344			$63,377			$46,617			$82,486			$64,316

See Notes to Financial Statements

41

Financial Highlights – continued

Class I	Years ended 2/29, 2/28
	2011			2010			2009			2008			2007 (c)
Net asset value, beginning of period		$9.60			$6.88			$10.04			$10.95			$10.00
Income (loss) from investment operations
Net investment income (d)		$0.41			$0.45			$0.50			$0.51			$0.41
Net realized and unrealized gain (loss) on investments and foreign currency		1.25			2.75			(3.14	)		(0.81	)		0.91
Total from investment operations		$1.66			$3.20			$(2.64	)		$(0.30	)		$1.32
Less distributions declared to shareholders
From net investment income		$(0.47	)		$(0.48	)		$(0.51	)		$(0.51	)		$(0.37	)
From net realized gain on investments		—			—			(0.01	)		(0.10	)		(0.00	)(w)
Total distributions declared to shareholders		$(0.47	)		$(0.48	)		$(0.52	)		$(0.61	)		$(0.37	)
Net asset value, end of period		$10.79			$9.60			$6.88			$10.04			$10.95
Total return (%) (r)(s)		17.65			47.47			(27.21	)		(2.89	)		13.45	(n)
Ratios (%) (to average net assets) and Supplemental data:
Expenses before expense reductions (f)		0.89			0.93			0.93			0.88			1.29	(a)
Expenses after expense reductions (f)		0.83			0.69			0.65			0.65			0.65	(a)
Net investment income		3.94			4.95			5.56			4.67			4.84	(a)
Portfolio turnover		59			79			80			89			46
Net assets at end of period (000 omitted)		$30,993			$3,835			$1,036			$1,507			$2,459

See Notes to Financial Statements

42

Financial Highlights – continued

Class R1	Years ended 2/28
	2011			2010			2009 (i)
Net asset value, beginning of period		$9.59			$6.87			$9.83
Income (loss) from investment operations
Net investment income (d)		$0.34			$0.37			$0.27
Net realized and unrealized gain (loss) on investments and foreign currency		1.21			2.75			(2.94	)
Total from investment operations		$1.55			$3.12			$(2.67	)
Less distributions declared to shareholders
From net investment income		$(0.36	)		$(0.40	)		$(0.29	)
Net asset value, end of period		$10.78			$9.59			$6.87
Total return (%) (r)(s)		16.51			46.11			(27.52	)(n)
Ratios (%) (to average net assets) and Supplemental data:
Expenses before expense reductions (f)		1.90			1.94			1.97	(a)
Expenses after expense reductions (f)		1.80			1.69			1.65	(a)
Net investment income		3.32			4.24			4.76	(a)
Portfolio turnover		59			79			80
Net assets at end of period (000 omitted)		$126			$106			$73
Class R2	Years ended 2/28
	2011			2010			2009 (i)
Net asset value, beginning of period		$9.59			$6.87			$9.83
Income (loss) from investment operations
Net investment income (d)		$0.39			$0.41			$0.29
Net realized and unrealized gain (loss) on investments and foreign currency		1.21			2.75			(2.93	)
Total from investment operations		$1.60			$3.16			$(2.64	)
Less distributions declared to shareholders
From net investment income		$(0.41	)		$(0.44	)		$(0.32	)
Net asset value, end of period		$10.78			$9.59			$6.87
Total return (%) (r)(s)		17.09			46.82			(27.27	)(n)
Ratios (%) (to average net assets) and Supplemental data:
Expenses before expense reductions (f)		1.40			1.45			1.48	(a)
Expenses after expense reductions (f)		1.30			1.19			1.15	(a)
Net investment income		3.83			4.74			5.26	(a)
Portfolio turnover		59			79			80
Net assets at end of period (000 omitted)		$125			$107			$73

See Notes to Financial Statements

43

Financial Highlights – continued

Class R3	Years ended 2/28
	2011			2010			2009 (i)
Net asset value, beginning of period		$9.59			$6.88			$9.84
Income (loss) from investment operations
Net investment income (d)		$0.41			$0.43			$0.31
Net realized and unrealized gain (loss) on investments and foreign currency		1.23			2.74			(2.93	)
Total from investment operations		$1.64			$3.17			$(2.62	)
Less distributions declared to shareholders
From net investment income		$(0.44	)		$(0.46	)		$(0.34	)
Net asset value, end of period		$10.79			$9.59			$6.88
Total return (%) (r)(s)		17.48			46.96			(27.12	)(n)
Ratios (%) (to average net assets) and Supplemental data:
Expenses before expense reductions (f)		1.15			1.20			1.22	(a)
Expenses after expense reductions (f)		1.06			0.94			0.90	(a)
Net investment income		3.99			4.99			5.49	(a)
Portfolio turnover		59			79			80
Net assets at end of period (000 omitted)		$185			$107			$73
Class R4	Years ended 2/28
	2011			2010			2009 (i)
Net asset value, beginning of period		$9.59			$6.88			$9.84
Income (loss) from investment operations
Net investment income (d)		$0.44			$0.46			$0.32
Net realized and unrealized gain (loss) on investments and foreign currency		1.23			2.73			(2.93	)
Total from investment operations		$1.67			$3.19			$(2.61	)
Less distributions declared to shareholders
From net investment income		$(0.47	)		$(0.48	)		$(0.35	)
Net asset value, end of period		$10.79			$9.59			$6.88
Total return (%) (r)(s)		17.78			47.32			(26.99	)(n)
Ratios (%) (to average net assets) and Supplemental data:
Expenses before expense reductions (f)		0.90			0.95			0.97	(a)
Expenses after expense reductions (f)		0.80			0.69			0.65	(a)
Net investment income		4.32			5.24			5.76	(a)
Portfolio turnover		59			79			80
Net assets at end of period (000 omitted)		$127			$108			$73

See Notes to Financial Statements

44

Financial Highlights – continued

(a) Annualized.

(c) For the period from the commencement of the fund’s investment operations, May 26, 2006, through the stated period end.

(d) Per share data is based on average shares outstanding.

(f) Ratios do not reflect reductions from fees paid indirectly, if applicable.

(i) For the period from the class’ inception, July 1, 2008 (Classes R1, R2, R3, and R4) through the stated period end.

(n) Not annualized.

(r) Certain expenses have been reduced without which performance would have been lower.

(s) From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower.

(t) Total returns do not include any applicable sales charges.

(w) Per share amount was less than $0.01.

See Notes to Financial Statements

45

NOTES TO FINANCIAL STATEMENTS

(1) Business and Organization

MFS Diversified Income Fund (the fund) is a series of MFS Series Trust XIII (the trust). The trust is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.

(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 revenues and expenses 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 foreign securities, including securities of emerging market issuers. 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 legal, political, and economic environment. The markets of emerging markets countries are generally more volatile than the markets of developed countries with more mature economies. All of the risks of investing in foreign securities previously described are heightened when investing in emerging markets countries.

Investment Valuations – Equity securities, including restricted equity securities, are generally valued at the last sale or official closing price as provided by a third-party pricing service on the market or exchange on which they are primarily traded. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation as provided by a third-party pricing service on the market or exchange on which such securities are primarily traded. Equity securities held short, for which there were no sales reported for that day, are generally valued at the last quoted daily ask quotation as provided by a third-party pricing service on the market or exchange on which such securities are primarily traded. Debt instruments and floating rate loans (other than short-term instruments), 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 generally are valued at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price as provided by a

46

Notes to Financial Statements – continued

third-party pricing service on the exchange on which such options are primarily traded. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation as provided by a third-party pricing service on the exchange on which such options are primarily traded. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally valued at valuations provided by a third-party pricing service. Futures contracts are generally valued at last posted settlement price as provided by a third-party pricing service on the market on which they are primarily traded. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation as provided by a third-party pricing service on the market on which such futures contracts are primarily traded. Forward foreign currency 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. 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. Values obtained from 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 effected 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. Events that occur on a frequent basis after foreign

47

Notes to Financial Statements – continued

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 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 unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments not reflected in total investments, such as futures, forwards, and written options.

48

Notes to Financial Statements – continued

The following is a summary of the levels used as of February 28, 2011 in valuing the fund’s assets or liabilities:

Investments at Value	Level 1			Level 2			Level 3		Total
Equity Securities:
United States		$173,261,784			$387,081			$—		$173,648,864
Austria		506,040			—			—		506,040
United Kingdom		283,757			—			—		283,757
U.S. Treasury Bonds & U.S. Government Agency & Equivalents		5,750			49,789,661			—		49,795,414
Non-U.S. Sovereign Debt		—			27,613,750			—		27,613,750
Corporate Bonds		—			85,382,952			—		85,382,952
Residential Mortgage-Backed Securities		—			27,657,140			—		27,657,140
Commercial Mortgage-Backed Securities		—			775,500			—		775,500
Asset-Backed Securities		—			186,621			—		186,621
Foreign Bonds		—			32,865,949			—		32,865,947
Floating Rate Loans		—			531,325			—		531,325
Mutual Funds		21,088,116			—			—		21,088,116
Total Investments		$195,145,447			$225,189,979			$—		$420,335,426
Other Financial Instruments
Futures		$(773	)		$—			$—		$(773	)
Forward Currency Contracts		—			(2,336	)		—		(2,336	)
Written Options		(2,500	)		—			—		(2,500	)

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

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 2/28/10		$12,506
Accrued discounts/premiums		—
Realized gain (loss)		(9,325	)
Change in unrealized appreciation (depreciation)		(3,181	)
Purchases		—
Sales		0
Transfer into level 3		—
Transfer out of Level 3		—
Balance as of 2/28/11		$—

Inflation-Adjusted Debt Securities – The fund invests in inflation-adjusted debt securities issued by the U.S. Treasury. The fund may also invest in inflation-adjusted debt securities issued by U.S. Government agencies and

49

Notes to Financial Statements – continued

instrumentalities other than the U.S. Treasury and by other entities such as U.S. and foreign corporations and foreign governments. The principal value of these debt securities is adjusted through income according to changes in the Consumer Price Index or another general price or wage index. These debt securities typically pay a fixed rate of interest, but this fixed rate is applied to the inflation-adjusted principal amount. The principal paid at maturity of the debt security is typically equal to the inflation-adjusted principal amount, or the security’s original par value, whichever is greater. Other types of inflation-adjusted securities may use other methods to adjust for other measures of inflation.

Foreign Currency Translation – Purchases and sales of foreign investments, income, and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions or on the reporting date for foreign denominated receivables and payables. Gains and losses attributable to foreign currency exchange rates on sales of securities are recorded for financial statement purposes as net realized gains and losses on investments. Gains and losses attributable to foreign exchange rate movements on receivables, payables, income and expenses are recorded for financial statement purposes as foreign currency transaction gains and losses. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.

Derivatives – The fund uses derivatives for different purposes, including to earn income and enhance returns, to increase or decrease exposure to a particular market, to manage or adjust the risk profile of the fund, 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 were written options, purchased options, futures contracts, and forward foreign currency exchange contracts. 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.

50

Notes to Financial Statements – continued

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 February 28, 2011 as reported in the Statement of Assets and Liabilities:

		Fair Value (a)
Risk	Derivative	Asset Derivatives		Liability Derivatives
Interest Rate Contracts	Purchased Options		$5,750		$—
Interest Rate Contracts	Interest Rate Futures		—		(773	)
Foreign Exchange Contracts	Forward Foreign Currency Exchange Contracts		—		(2,336	)
Equity Contracts	Purchased Equity Options		5,000		—
Equity Contracts	Written Equity Options		—		(2,500	)
Total			$10,750		$(5,609	)

(a) The value of purchased options outstanding is included in total investments, at value, within the fund’s Statement of Assets and Liabilities. The value of futures contracts outstanding includes cumulative appreciation (depreciation) as reported in the fund’s Portfolio of Investments. Only the current day variation margin for futures contracts is separately reported within the fund’s Statement of Assets and Liabilities.

The following table presents, by major type of derivative contract, the realized gain (loss) on derivatives held by the fund for the year ended February 28, 2011 as reported in the Statement of Operations:

Risk	Futures Contracts		Foreign Currency Transactions		Investment Transactions (Purchased Options)
Interest Rate Contracts		$102,134		$—		$—
Foreign Exchange Contracts		—		123,066		—
Equity Contracts		—		—		(478,790	)
Total		$102,134		$123,066		$(478,790	)

The following table presents, by major type of derivative contract, the change in unrealized appreciation (depreciation) on derivatives held by the fund for the year ended February 28, 2011 as reported in the Statement of Operations:

Risk	Futures Contracts			Translation of Assets and Liabilities in Foreign Currencies			Investments (Purchased Options)			Written Options
Interest Rate Contracts		$(7,155	)		$—			$(153	)		$—
Foreign Exchange Contracts		—			(64,250	)		—			—
Equity Contracts		—			—			170,840			13,750
Total		$(7,155	)		$(64,250	)		$170,687			$13,750

51

Notes to Financial Statements – continued

Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter derivatives, the fund attempts to reduce its exposure to counterparty credit risk whenever possible by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of the counterparties with whom it undertakes a significant volume of transactions. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction 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. However, absent an event of default by the counterparty or a termination of the agreement, the ISDA Master Agreement does not result in an offset of reported amounts of assets and liabilities in the Statement of Assets and Liabilities across transactions between the fund and the applicable counterparty.

Collateral requirements differ by type of derivative. Collateral or margin requirements are set by the broker or exchange clearing house for exchange traded derivatives (i.e., futures and exchange-traded options) while collateral terms are contract specific for over-the-counter traded derivatives (i.e., forwards, swaps and over-the-counter options). For derivatives traded under an ISDA Master Agreement, the collateral requirements are netted across all transactions traded under such agreement and one amount is posted from one party to the other to collateralize such obligations. Cash collateral that has been pledged to cover obligations of the fund under derivative contracts, if any, will be reported separately on the Statement of Assets and Liabilities as restricted cash. Securities collateral pledged for the same purpose, if any, is noted in the Portfolio of Investments.

Written Options – In exchange for a premium, the fund wrote put options on securities that it anticipated the price would increase. At the time the option was written, the fund believed the premium received exceeded the potential loss that could result from adverse price changes in the options’ underlying securities. In a written option, the fund as the option writer grants the buyer the right to purchase from, or sell to, the fund a specified number of shares or units of a particular security, currency or index at a specified price within a specified period of time.

52

Notes to Financial Statements – continued

The premium received is initially recorded as a liability on the Statement of Assets and Liabilities. The option is subsequently marked-to-market daily with the difference between the premium received and the market value of the written option being recorded as unrealized appreciation or depreciation. When a written option expires, the fund realizes a gain equal to the amount of the premium received. The difference between the premium received and the amount paid on effecting a closing transaction is considered a realized gain or loss. When a written put option is exercised, the premium reduces the cost basis of the security purchased by the fund.

At the initiation of the written option contract, for exchange traded options, the fund is required to deposit securities or cash as collateral with the custodian for the benefit of the broker. For over-the-counter options, the fund may post collateral subject to the terms of an ISDA Master Agreement as generally described above if the market value of the options contract moves against it. The fund, as writer of an option, may have no control over whether the underlying securities may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the securities underlying the written option. Losses from writing options can exceed the premium received and can exceed the potential loss from an ordinary buy and sell transaction. Although the fund’s market risk may be significant, the maximum counterparty credit risk to the fund is equal to the market value of any collateral posted to the broker. For over-the-counter options, 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.

Written Option Transactions

	Number of Contracts		Premiums Received
Outstanding, beginning of period		—		$—
Options written		1,250		16,250
Outstanding, end of period		1,250		$16,250

Purchased Options – The fund purchased call and put options for a premium. Purchased call and put options entitle the holder to buy and sell a specified number of shares or units of a particular security, currency or index at a specified price at a specified date or within a specified period of time. Purchasing call options may be used to hedge against an anticipated increase in the dollar cost of securities or currency to be acquired or to increase the fund’s exposure to an underlying instrument. Purchasing put options may hedge against a decline in the value of portfolio securities or currency.

The premium paid is initially recorded as an investment in the Statement of Assets and Liabilities. That investment is subsequently marked-to-market daily with the difference between the premium paid and the market value of the

53

Notes to Financial Statements – continued

purchased option being recorded as unrealized appreciation or depreciation. Premiums paid for purchased call and put options which have expired are treated as realized losses on investments in the Statement of Operations. Upon the exercise or closing of a purchased call option, the premium paid is added to the cost of the security or financial instrument. Upon the exercise or closing of a purchased put option, the premium paid is offset against the proceeds on the sale of the underlying security or financial instrument in order to determine the realized gain or loss on investments.

The risk in purchasing an option is that the fund pays a premium whether or not the option is exercised. The fund’s maximum risk of loss due to counterparty credit risk is limited to the market value of the option. For over-the-counter options, 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 for posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA Master Agreement.

Futures Contracts – The fund entered into futures contracts which may be used to hedge against or obtain broad market, interest rate or currency exposure. 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 certain 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 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 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

54

Notes to Financial Statements – continued

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 foreign currency transactions.

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 our use of Continuous Linked Settlement, an industry accepted settlement system. 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 for posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA Master Agreement.

Security Loans – JPMorgan Chase and Co. (“Chase”), as lending agent, loans the securities of the fund to certain qualified institutions (the “Borrowers”) approved by the fund. The loans are collateralized by cash and/or U.S. Treasury and federal agency obligations in an amount typically at least equal to the market value of the securities loaned. The market value of the loaned securities is determined at the close of business of the fund and any additional required collateral is delivered to the fund on the next business day. Chase provides the fund with indemnification against Borrower default. The fund bears the risk of loss with respect to the investment of cash collateral. On loans collateralized by cash, the cash collateral is invested in short-term securities. A portion of the income generated upon investment of the collateral is remitted to the Borrowers, and the remainder is allocated between the fund and the lending agent. On loans collateralized by U.S. Treasury and/or federal agency obligations, a fee is received from the Borrower, and is allocated between the fund and the lending agent. Income from securities lending is included in interest income on the Statement of Operations. The dividend and interest income earned on the securities loaned is accounted for in the same manner as other dividend and interest income.

55

Notes to Financial Statements – continued

Loans and Other Direct Debt Instruments – The fund invests in loans and loan participations or other receivables. These investments may include standby financing commitments, including revolving credit facilities, which obligate the fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary.

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. 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. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted upward or downward to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond is generally recorded as an increase or decrease in interest income, respectively, even though the adjusted principal is not received until maturity. 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. 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

56

Notes to Financial Statements – continued

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.

Fees Paid Indirectly – The fund’s custody fee may be reduced according to an arrangement that measures the value of cash deposited with the custodian by the fund. This amount, for the year ended February 28, 2011, is shown as a reduction of total expenses on 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 for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Foreign taxes, if any, have been accrued by the fund in the accompanying financial statements.

Distributions to shareholders are recorded on the ex-dividend date. 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. Distributions in excess of net investment income or net realized gains are temporary overdistributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

Book/tax differences primarily relate to amortization and accretion of debt securities and wash sale loss deferrals.

The tax character of distributions declared to shareholders for the last two fiscal years is as follows:

	2/28/11		2/28/10
Ordinary income (including any short-term capital gains)		$10,855,741		$8,471,693

57

Notes to Financial Statements – continued

The federal tax cost and the tax basis components of distributable earnings were as follows:

As of 2/28/11
Cost of investments	$387,005,947
Gross appreciation	36,658,318
Gross depreciation	(3,328,839	)
Net unrealized appreciation (depreciation)	$33,329,479
Undistributed ordinary income	645,012
Capital loss carryforwards	(38,424,969	)
Other temporary differences	(1,250,604	)

As of February 28, 2011, the fund had capital loss carryforwards available to offset future realized gains. Such losses expire as follows:

2/28/17	$(9,619,018	)
2/28/18	(28,805,951	)
	$(38,424,969	)

Multiple Classes of Shares of Beneficial Interest – The fund offers multiple classes of shares, which differ in their respective distribution and/or service fees. The fund’s income and common expenses are allocated to shareholders based on the value of settled shares outstanding of each class. The fund’s realized and unrealized gain (loss) are allocated to shareholders based on the daily net assets of each class. Dividends are declared separately for each class. Differences in per share dividend rates are generally due to differences in separate class expenses. The fund’s distributions declared to shareholders as reported on the Statements of Changes in Net Assets are presented by class as follows:

	From net investment income
	Year ended 2/28/11		Year ended 2/28/10
Class A		$7,167,650		$5,790,209
Class C		3,185,496		2,530,928
Class I		482,602		131,206
Class R1		4,145		4,289
Class R2		4,708		4,775
Class R3		5,806		5,020
Class R4		5,334		5,266
Total		$10,855,741		$8,471,693

(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.

58

Notes to Financial Statements – continued

The management fee is computed daily and paid monthly at an annual rate of 0.65% of the fund’s average daily net assets. The adviser and the fund have engaged a sub-adviser for the real estate related component of the fund, Sun Capital Advisers LLC, referred to as Sun Capital or the sub-adviser. MFS pays a sub-advisory fee to the sub-adviser in an amount equal to 0.30% annually of the average daily net asset value of the fund’s assets managed by the sub-adviser. The fund is not responsible for paying the sub-advisory fee. At a meeting held on April 12, 2011, the fund’s Board of Trustees approved the termination of the sub-advisory agreement with Sun Capital effective on or about May 1, 2011.

Prior to July 1, 2010, the investment adviser agreed in writing to pay a portion of the fund’s total annual operating expenses, exclusive of interest, taxes, extraordinary expenses, brokerage and transaction costs, and investment related expenses, such that total annual fund operating expenses did not exceed the following rates annually of the fund’s average daily net assets.

Class A	Class C		Class I		Class R1		Class R2		Class R3		Class R4
0.95%		1.70%		0.70%		1.70%		1.20%		0.95%		0.70%

This written agreement expired June 30, 2010. For the period March 1, 2010 through June 30, 2010, this reduction amounted to $136,231 and is reflected as a reduction of total expenses in the Statements of Operations.

Effective July 1, 2010, the investment adviser has agreed in writing to pay a portion of the fund’s total annual operating expenses, exclusive of interest, taxes, extraordinary expenses, brokerage and transaction costs, and investment-related expenses, such that total annual fund operating expenses do not exceed the following rates annually of the fund’s average daily net assets.

Class A	Class C		Class I		Class R1		Class R2		Class R3		Class R4
1.10%		1.85%		0.85%		1.85%		1.35%		1.10%		0.85%

This written agreement will continue until modified by the fund’s Board of Trustees, but such agreement will continue at least until June 30, 2012. For the period July 1, 2010 through February 28, 2011, this reduction amounted to $82,479 and is reflected as a reduction of total expenses in the Statement of Operations.

Distributor – MFS Fund Distributors, Inc. (MFD), a wholly-owned subsidiary of MFS, as distributor, received $325,068 for the year ended February 28, 2011, as its portion of the initial sales charge on sales of Class A shares of the fund.

The Board of Trustees has adopted a distribution plan for certain class shares pursuant to Rule 12b-1 of the Investment Company Act of 1940.

The fund’s distribution plan provides that the fund will pay MFD for services provided by MFD and financial intermediaries in connection with the distribution and servicing of certain share classes. One component of the plan

59

Notes to Financial Statements – continued

is a distribution fee paid to MFD and another component of the plan is a service fee paid to MFD. MFD may subsequently pay all, or a portion, of the distribution and/or service fees to financial intermediaries.

Distribution Plan Fee Table:

	Distribution Fee Rate (d)		Service Fee Rate (d)		Total Distribution Plan (d)		Annual Effective Rate (e)		Distribution and Service Fee
Class A		—		0.25%		0.25%		0.25%		$410,826
Class C		0.75%		0.25%		1.00%		1.00%		881,447
Class R1		0.75%		0.25%		1.00%		1.00%		1,152
Class R2		0.25%		0.25%		0.50%		0.50%		574
Class R3		—		0.25%		0.25%		0.25%		331
Total Distribution and Service Fees										$1,294,330

(d) In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’ average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below.

(e) The annual effective rates represent actual fees incurred under the distribution plan for the year ended February 28, 2011 based on each class’ average daily net assets.

Certain Class A shares are subject to a contingent deferred sales charge (CDSC) in the event of a shareholder redemption within 24 months of purchase. Class C shares are subject to a CDSC in the event of a shareholder redemption within 12 months of purchase. All contingent deferred sales charges are paid to MFD and during the year ended February 28, 2011, were as follows:

	Amount
Class A		$197
Class C		13,652

Shareholder Servicing Agent – MFS Service Center, Inc. (MFSC), a wholly-owned subsidiary of MFS, receives a fee from the fund for its services as shareholder servicing agent calculated as a percentage of the average daily net assets of the fund as determined periodically under the supervision of the fund’s Board of Trustees. For the year ended February 28, 2011, the fee was $84,326, which equated to 0.0320% annually of the fund’s average daily net assets. MFSC also receives payment from the fund for out-of-pocket expenses, sub-accounting and other shareholder servicing costs which may be paid to affiliated and unaffiliated service providers. For the year ended February 28, 2011, these out-of-pocket expenses, sub-accounting and other shareholder servicing costs amounted to $176,795.

Administrator – MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund. Under an administrative services agreement, the fund partially 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.

60

Notes to Financial Statements – continued

The administrative services fee incurred for the year ended February 28, 2011 was equivalent to an annual effective rate of 0.0174% 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 for their services to the fund from MFS. Certain officers and Trustees of the fund are officers or directors of MFS, MFD, and MFSC.

Other – This fund and certain other funds managed by MFS (the funds) have entered into services agreements (the Agreements) which provide for payment of fees by the funds to Tarantino LLC and Griffin Compliance LLC in return for the provision of services of an Independent Chief Compliance Officer (ICCO) and Assistant ICCO, respectively, for the funds. The ICCO and Assistant ICCO are officers of the funds and the sole members of Tarantino LLC and Griffin Compliance LLC, respectively. The funds can terminate the Agreements with Tarantino LLC and Griffin Compliance LLC at any time under the terms of the Agreements. For the year ended February 28, 2011, the aggregate fees paid by the fund to Tarantino LLC and Griffin Compliance LLC were $2,359 and are included in miscellaneous expense on the Statement of Operations. MFS has agreed to reimburse the fund for a portion of the payments made by the fund in the amount of $1,139, which is shown as a reduction of total expenses in the Statement of Operations. Additionally, MFS has agreed to bear all expenses associated with office space, other administrative support, and supplies provided to the ICCO and Assistant ICCO.

The fund invests in the MFS Institutional Money Market Portfolio which is managed by MFS and seeks a high level of current income consistent with preservation of capital and liquidity. Income earned on this investment is included in dividends from underlying affiliated funds on the Statement of Operations. This money market fund does not pay a management fee to MFS.

(4) Portfolio Securities

Purchases and sales of investments, other than purchased option transactions and short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities		$76,084,036		$30,482,520
Investments (non-U.S. Government securities)		$257,988,558		$116,040,930

61

Notes to Financial Statements – continued

(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. Transactions in fund shares were as follows:

	Year ended 2/28/11						Year ended 2/28/10
	Shares			Amount			Shares			Amount
Shares sold
Class A		15,865,631			$163,162,444			3,044,087			$26,342,501
Class C		7,370,346			75,831,109			1,367,721			12,303,241
Class I		2,690,752			28,005,712			310,755			2,822,701
Class R1		285			2,873			—			—
Class R3		5,419			56,104			—			—
		25,932,433			$267,058,242			4,722,563			$41,468,443
Shares issued to shareholders in reinvestment of distributions
Class A		510,353			$5,222,898			540,822			$4,706,859
Class C		202,690			2,072,344			186,069			1,616,346
Class I		16,446			168,941			9,337			82,026
Class R1		408			4,145			492			4,289
Class R2		464			4,708			548			4,775
Class R3		568			5,806			576			5,020
Class R4		524			5,334			603			5,266
		731,453			$7,484,176			738,447			$6,424,581
Shares reacquired
Class A		(4,652,805	)		$(47,705,796	)		(4,752,596	)		$(40,470,307	)
Class C		(1,351,941	)		(13,745,859	)		(1,724,255	)		(14,356,702	)
Class I		(234,608	)		(2,420,703	)		(71,205	)		(655,207	)
		(6,239,354	)		$(63,872,358	)		(6,548,056	)		$(55,482,216	)
Net change
Class A		11,723,179			$120,679,546			(1,167,687	)		$(9,420,947	)
Class C		6,221,095			64,157,594			(170,465	)		(437,115	)
Class I		2,472,590			25,753,950			248,887			2,249,520
Class R1		693			7,018			492			4,289
Class R2		464			4,708			548			4,775
Class R3		5,987			61,910			576			5,020
Class R4		524			5,334			603			5,266
		20,424,532			$210,670,060			(1,087,046	)		$(7,589,192	)

(6) Line of Credit

The fund and certain other funds managed by MFS participate in a $1.1 billion unsecured committed line of credit, subject to a $1 billion sublimit, provided by a syndication of banks under a credit agreement. Borrowings may be made for temporary financing needs. Interest is charged to each fund, based on its

62

Notes to Financial Statements – continued

borrowings, generally at a rate equal to the higher of the Federal Reserve funds rate or one month LIBOR 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 at the end of each calendar quarter. 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 a rate equal to the Federal Reserve funds rate plus an agreed upon spread. For the year ended February 28, 2011, the fund’s commitment fee and interest expense were $2,339 and $0, respectively, and are included in miscellaneous expense on the Statement of Operations.

(7) Transactions in Underlying Affiliated Funds-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:

Underlying Affiliated Funds	Beginning Shares/Par Amount		Acquisitions Shares/Par Amount		Dispositions Shares/Par Amount			Ending Shares/Par Amount
MFS Institutional Money Market Portfolio		10,587,045		132,773,215		(122,272,144	)		21,088,116
Underlying Affiliated Funds	Realized Gain (Loss)		Capital Gain Distributions		Dividend Income			Ending Value
MFS Institutional Money Market Portfolio		$—		$—		$35,748			$21,088,116

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Trustees and Shareholders of

MFS Diversified Income Fund:

We have audited the accompanying statement of assets and liabilities of MFS Diversified Income Fund (the Fund), including the portfolio of investments, as of February 28, 2011, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of February 28, 2011, by correspondence with the Fund’s custodian and brokers or by other appropriate auditing procedures when replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of MFS Diversified Income Fund at February 28, 2011, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for the periods indicated therein, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts

April 15, 2011

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TRUSTEES AND OFFICERS — IDENTIFICATION AND BACKGROUND

The Trustees and officers of the Trust, as of April 1, 2011, are listed below, together with their principal occupations during the past five years. (Their titles may have varied during that period.) The address of each Trustee and officer is 500 Boylston Street, Boston, Massachusetts 02116.

Name, Date of Birth	Position(s) Held with Fund	Trustee/Officer Since (h)	Principal Occupations During the Past Five Years & Other Directorships  (j)
INTERESTED TRUSTEES
Robert J. Manning (k) (born 10/20/63)	Trustee	February 2004	Massachusetts Financial Services Company, Chairman, Chief Executive Officer and Director; President (until December 2009); Chief Investment Officer (until July 2010)
Robert C. Pozen (k) (born 8/08/46)	Trustee	February 2004	Massachusetts Financial Services Company, Chairman Emeritus; Chairman (until July 2010); Medtronic, Inc, (medical devices), Director (since 2004); Harvard Business School (education), Senior Lecturer (since 2008); The Neilsen Company (market research), Director (since 2010); Telesat (satellite communications), Director (until November 2007); Bell Canada Enterprises (telecommunications), Director (until February 2009)
INDEPENDENT TRUSTEES
David H. Gunning (born 5/30/42)	Trustee and Chair of Trustees	January 2004	Retired; Lincoln Electric Holdings, Inc. (welding equipment manufacturer), Director; Development Alternatives, Inc. (consulting), Director/Non-Executive Chairman; Cleveland-Cliffs Inc. (mining products and service provider), Vice Chairman/Director (until May 2007); Portman Limited (mining), Director (until 2008)
Robert E. Butler (born 11/29/41)	Trustee	January 2006	Consultant – investment company industry regulatory and compliance matters; PricewaterhouseCoopers LLP (professional services firm), Partner (until 2002)

65

Trustees and Officers – continued

Name, Date of Birth	Position(s) Held with Fund	Trustee/Officer Since (h)	Principal Occupations During the Past Five Years & Other Directorships (j)
Maureen R. Goldfarb (born 4/06/55)	Trustee	January 2009	Private investor; John Hancock Financial Services, Inc., Executive Vice President (until 2004); John Hancock Mutual Funds, Trustee and Chief Executive Officer (until 2004)
William R. Gutow (born 9/27/41)	Trustee	December 1993	Private investor and real estate consultant; Capital Entertainment Management Company (video franchise), Vice Chairman; Atlantic Coast Tan (tanning salons), Vice Chairman (until 2007); Texas Donuts (donut franchise), Vice Chairman (until 2010)
Michael Hegarty (born 12/21/44)	Trustee	December 2004	Private investor; AXA Financial (financial services and insurance), Vice Chairman and Chief Operating Officer (until 2001); The Equitable Life Assurance Society (insurance), President and Chief Operating Officer (until 2001)
John P. Kavanaugh (born 11/04/54)	Trustee	January 2009	Private investor; The Hanover Insurance Group, Inc., Vice President and Chief Investment Officer (until 2006); Allmerica Investment Trust, Allmerica Securities Trust and Opus Investment Trust (investment companies), Chairman, President and Trustee (until 2006)
J. Dale Sherratt (born 9/23/38)	Trustee	June 1989	Insight Resources, Inc. (acquisition planning specialists), President; Wellfleet Investments (investor in health care companies), Managing General Partner
Laurie J. Thomsen (born 8/05/57)	Trustee	March 2005	Private investor; The Travelers Companies (property and casualty insurance), Director; New Profit, Inc. (venture philanthropy), Executive Partner (until 2010)

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Trustees and Officers – continued

Name, Date of Birth	Position(s) Held with Fund	Trustee/Officer Since (h)	Principal Occupations During the Past Five Years & Other Directorships (j)
Robert W. Uek (born 5/18/41)	Trustee	January 2006	Consultant to investment company industry; PricewaterhouseCoopers LLP (professional services firm), Partner (until 1999)
OFFICERS
Maria F. DiOrioDwyer (k) (born 12/01/58)	President	March 2004	Massachusetts Financial Services Company, Executive Vice President and Chief Regulatory Officer (since March 2004) Chief Compliance Officer (since December 2006)
Christopher R. Bohane (k) (born 1/18/74)	Assistant Secretary and Assistant Clerk	July 2005	Massachusetts Financial Services Company, Vice President and Senior Counsel
John M. Corcoran (k) (born 4/13/65)	Treasurer	October 2008	Massachusetts Financial Services Company, Senior Vice President (since October 2008); State Street Bank and Trust (financial services provider), Senior Vice President, (until September 2008)
Ethan D. Corey (k) (born 11/21/63)	Assistant Secretary and Assistant Clerk	July 2005	Massachusetts Financial Services Company, Senior Vice President and Associate General Counsel
David L. DiLorenzo (k) (born 8/10/68)	Assistant Treasurer	July 2005	Massachusetts Financial Services Company, Vice President
Timothy M. Fagan (k) (born 7/10/68)	Assistant Secretary and Assistant Clerk	September 2005	Massachusetts Financial Services Company, Vice President and Senior Counsel
Robyn L. Griffin (born 7/04/75)	Assistant Independent Chief Compliance Officer	August 2008	Griffin Compliance LLC (provider of compliance services), Principal (since August 2008); State Street Corporation (financial services provider), Mutual Fund Administration Assistant Vice President (October 2006 – July 2008); Liberty Mutual Group (insurance), Personal Market Assistant Controller (April 2006 – October 2006); Deloitte & Touche LLP (professional services firm), Senior Manager (prior to April 2006)

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Trustees and Officers – continued

Name, Date of Birth	Position(s) Held with Fund	Trustee/Officer Since (h)	Principal Occupations During the Past Five Years & Other Directorships (j)
Brian E. Langenfeld (k) (born 3/07/73)	Assistant Secretary and Assistant Clerk	June 2006	Massachusetts Financial Services Company, Vice President and Senior Counsel (since May 2006); John Hancock Advisers, LLC, Assistant Vice President and Counsel (until April 2006)
Ellen Moynihan (k) (born 11/13/57)	Assistant Treasurer	April 1997	Massachusetts Financial Services Company, Senior Vice President
Susan S. Newton (k) (born 3/07/50)	Assistant Secretary and Assistant Clerk	May 2005	Massachusetts Financial Services Company, Senior Vice President and Associate General Counsel
Susan A. Pereira (k) (born 11/05/70)	Assistant Secretary and Assistant Clerk	July 2005	Massachusetts Financial Services Company, Vice President and Senior Counsel
Mark N. Polebaum (k) (born 5/01/52)	Secretary and Clerk	January 2006	Massachusetts Financial Services Company, Executive Vice President, General Counsel and Secretary (since January 2006); Wilmer Cutler Pickering Hale and Dorr LLP (law firm), Partner (until January 2006)
Frank L. Tarantino (born 3/07/44)	Independent Chief Compliance Officer	June 2004	Tarantino LLC (provider of compliance services), Principal
Richard S. Weitzel (k) (born 7/16/70)	Assistant Secretary and Assistant Clerk	October 2007	Massachusetts Financial Services Company, Vice President and Assistant General Counsel
James O. Yost (k) (born 6/12/60)	Assistant Treasurer	September 1990	Massachusetts Financial Services Company, Senior Vice President

(h) Date first appointed to serve as Trustee/officer of an MFS fund. Each Trustee has served continuously since appointment unless indicated otherwise. For the period from December 15, 2004 until February 22, 2005, Messrs. Pozen and Manning served as Advisory Trustees. For the period March 2008 until October 2008, Ms. DiOrioDwyer served as Treasurer of the Funds.

(j) Directorships or trusteeships of companies required to report to the Securities and Exchange Commission (i.e., “public companies”).

(k) “Interested person” of the Trust within the meaning of the Investment Company Act of 1940 (referred to as the 1940 Act), which is the principal federal law governing investment companies like the fund, as a result of position with MFS. The address of MFS is 500 Boylston Street, Boston, Massachusetts 02116.

Each Trustee has been elected by shareholders and each Trustee and officer holds office until his or her successor is chosen and qualified or until his or her earlier death, resignation, retirement or removal. The Trust does not hold annual meetings for the purpose of electing Trustees, and Trustees are not

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Trustees and Officers – continued

elected for fixed terms. Messrs. Butler, Kavanaugh, Uek and Ms. Thomsen are members of the Trust’s Audit Committee.

Each of the Fund’s Trustees and officers holds comparable positions with certain other funds of which MFS or a subsidiary is the investment adviser or distributor, and, in the case of the officers, with certain affiliates of MFS. As of January 1, 2011, the Trustees served as board members of 105 funds within the MFS Family of Funds.

The Statement of Additional Information for the Fund includes further information about the Trustees and is available without charge upon request by calling 1-800-225-2606.

Investment Adviser	Custodian
Massachusetts Financial Services Company 500 Boylston Street, Boston, MA 02116-3741	JPMorgan Chase Bank One Chase Manhattan Plaza New York, NY 10081
Sub-Investment Adviser	Independent Registered Public Accounting Firm
Sun Capital Advisers LLC One Sun Life Executive Park, Wellesley Hills, MA 02481	Ernst & Young LLP 200 Clarendon Street, Boston, MA 02116
Distributor
MFS Fund Distributors, Inc. 500 Boylston Street, Boston, MA 02116-3741
Portfolio Managers
John Addeo David Cole Richard Gable Thomas Pedulla Matthew Ryan Jonathan Sage Leo Saraceno Geoffrey Schechter James Swanson

69

BOARD REVIEW OF INVESTMENT ADVISORY AGREEMENT

A discussion regarding the Board’s most recent review and renewal of the fund’s Investment Advisory Agreement with MFS is available by clicking on the fund’s name under “Mutual Funds” in the “Products and Performance” section of the MFS Web site (mfs.com).

PROXY VOTING POLICIES AND INFORMATION

A general description of the MFS funds’ proxy voting policies and procedures is available without charge, upon request, by calling
1-800-225-2606, by visiting the Proxy Voting section of mfs.com 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 without charge by visiting the Proxy Voting section of mfs.com or by visiting the SEC’s Web site at http://www.sec.gov.

QUARTERLY PORTFOLIO DISCLOSURE

The fund will file a complete schedule of portfolio holdings with the Securities and Exchange Commission (the Commission) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Form N-Q may be reviewed and copied at the:

Public Reference Room

Securities and Exchange Commission

100 F Street, NE, Room 1580

Washington, D.C. 20549

Information on the operation of the Public Reference Room may be obtained by calling the Commission at 1-800-SEC-0330. The fund’s Form N-Q is available on the EDGAR database on the Commission’s Internet Web site at http://www.sec.gov, and copies of this information may be obtained, upon payment of a duplicating fee, by electronic request at the following e-mail address: publicinfo@sec.gov or by writing the Public Reference Section at the above address.

A shareholder can also obtain the quarterly portfolio holdings report at mfs.com.

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 by visiting the “News & Commentary” section of mfs.com or by clicking on the fund’s name under “Mutual Funds” in the “Products and Performance” section of mfs.com.

70

FEDERAL TAX INFORMATION (unaudited)

The fund will notify shareholders of amounts for use in preparing 2011 income tax forms in January 2012. The following information is provided pursuant to provisions of the Internal Revenue Code.

The fund designates the maximum amount allowable as qualified dividend income eligible for the 15% tax rate.

For corporate shareholders, 15.04% of the ordinary income dividends paid during the fiscal year qualify for the corporate dividends received deduction.

71

rev. 3/11

FACTS WHAT DOES MFS DO WITH YOUR PERSONAL INFORMATION?

Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

What? The types of personal information we collect and share depend on the product or service you have with us. This information can include:   •Social Security number and account balances •Account transactions and transaction history •Checking account information and wire transfer instructions   When you are no longer our customer, we continue to share your information as described in this notice.

How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons MFS chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Does MFS share?	Can you limit this sharing?
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus	Yes	No
For our marketing purposes – to offer our products and services to you	No	We don’t share
For joint marketing with other financial companies	No	We don’t share
For our affiliates’ everyday business purposes – information about your transactions and experiences	No	We don’t share
For our affiliates’ everyday business purposes – information about your creditworthiness	No	We don’t share
For nonaffiliates to market to you	No	We don’t share

Questions? Call 800-225-2606 or go to mfs.com.

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Page 2

Who we are
Who is providing this notice?	MFS Funds, MFS Investment Management, MFS Institutional Advisors, Inc., MFS Fund Distributors, Inc., MFS Heritage Trust Company, and MFS Service Center, Inc.

What we do
How does MFS protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include procedural, electronic, and physical safeguards for the protection of the personal information we collect about you.
How does MFS collect my personal information?	We collect your personal information, for example, when you •open an account or provide account information • direct us to buy securities or direct us to sell your securities •make a wire transfer We also collect your personal information from others, such as credit bureaus, affiliates and other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only •sharing for affiliates’ everyday business purposes – information about your creditworthiness •affiliates from using your information to market to you •sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing.

Definitions
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. •MFS does not share personal information with affiliates, except for everyday business purposes as described on page one of this notice.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. • MFS does not share with nonaffiliates so they can market to you.
Joint Marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. •MFS doesn’t jointly market.

Other important information

If you own an MFS product or receive an MFS service in the name of a third party such as a bank or broker-dealer, their privacy policy may apply to you instead of ours.

73

Save paper with eDelivery.

MFS^® will send you prospectuses, reports, and proxies directly via e-mail so you will get information faster with less mailbox clutter.

To sign up:

1. Go to mfs.com.

2. Log in via MFS^® Access.

3. Select eDelivery.

If you own your MFS fund shares through a financial institution or a retirement plan, MFS^® TALK, MFS^® Access, or eDelivery may not be available to you.

Web site

mfs.com

MFS TALK

1-800-637-8255

24 hours a day

Account service and literature

Shareholders

1-800-225-2606

Financial advisors

1-800-343-2829

Retirement plan services

1-800-637-1255

Mailing address

MFS Service Center, Inc.

P.O. Box 55824

Boston, MA 02205-5824

Overnight mail

MFS Service Center, Inc.

c/o Boston Financial Data Services

30 Dan Road

Canton, MA 02021-2809

MFS^® Government Securities Fund

ANNUAL REPORT

February 28, 2011

MFG-ANN

MFS® GOVERNMENT SECURITIES FUND

Letter from the CEO	1
Portfolio composition	2
Management review	3
Performance summary	5
Expense table	8
Portfolio of investments	10
Statement of assets and liabilities	15
Statement of operations	16
Statements of changes in net assets	17
Financial highlights	18
Notes to financial statements	23
Report of independent registered public accounting firm	38
Trustees and officers	39
Board review of investment advisory agreement	44
Proxy voting policies and information	44
Quarterly portfolio disclosure	44
Further information	44
Federal tax information	44
MFS® privacy notice	45
Contact information    back cover

SIPC Contact Information: You may obtain information about the Securities Investor Protection Corporation (“SIPC”), including the SIPC Brochure, by contacting SIPC either by telephone (1-202-371-8300) or by accessing SIPC’s web site address (www.sipc.org).

The report is prepared for the general information of shareholders.

It is authorized for distribution to prospective investors only when preceded or accompanied by a current prospectus.

NOT FDIC INSURED Ÿ MAY LOSE VALUE Ÿ NO BANK GUARANTEE

LETTER FROM THE CEO

Dear Shareholders:

After an extended rebound in the financial markets, uncertainty returned in 2010 as investors began to question the durability of the recovery for global economies and markets. That uncertainty led to increased risk aversion, especially as investors saw the eurozone struggle with the debt woes of many of its members. Last September, the U.S. Federal Reserve Board’s promises to further loosen monetary policy helped assuage market fears and drive asset prices off their recent lows. A combination of solid earnings and improving economic data gave an additional boost to investor sentiment. For 2011, we are cautiously optimistic that economic growth will continue to improve and that the global economies will recover from the shocks of the past few years. We expect the pace of recovery worldwide will be uneven and volatile and acknowledge the elevated uncertainty created by events in Japan, Europe, and the Middle East.

As always, we continue to be mindful of the many economic challenges faced at the local, national, and international levels. It is in times such as these that we want to remind investors of the merits of maintaining a long-term view, adhering to basic investing principles such as asset allocation and diversification, and working closely with their advisors to research and identify appropriate investment opportunities.

Respectfully,

Robert J. Manning

Chairman and Chief Executive Officer

MFS Investment Management®

April 15, 2011

The opinions expressed in this letter are subject to change, may not be relied upon for investment advice, and no forecasts can be guaranteed.

1

PORTFOLIO COMPOSITION

Portfolio structure (i)

Fixed income sectors (i)
Mortgage-Backed Securities	45.0%
U.S. Treasury Securities	35.1%
U.S. Government Agencies	9.1%
Commercial Mortgage-Backed Securities	1.5%
High Grade Corporates	0.5%

Composition including fixed income credit quality (a)(i)
AAA	42.1%
AA	1.5%
U.S. Agency (NR)	47.1%
Other Fixed Income (NR)	0.5%
Cash & Other	8.8%
Portfolio facts (i)
Average Duration (d)	4.4
Average Effective Maturity (m)	6.3 yrs.

(a) The rating categories include debt securities and fixed-income structured products where these have long-term public ratings. All ratings are assigned in accordance with the following hierarchy: If a security is rated by Moody’s, then that rating is used; if not rated by Moody’s, then a Standard & Poor’s rating is used; if not rated by S&P, then a Fitch rating is used. Ratings from Moody’s are shown in the S&P and Fitch scale (e.g., AAA). All ratings are subject to change. U.S. Agency (NR) includes unrated U.S. Agency fixed income securities and collateralized mortgage obligations of U.S. Agency mortgage backed securities. Other Fixed Income (NR) includes unrated long-term fixed income securities, interest rate swaps and fixed income futures. Cash & Other includes cash, other assets less liabilities, offsets to derivative positions, and short-term securities. The fund may not hold all of these instruments.

(d) Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move.

(i) For purposes of this presentation, the components include the market value of securities, and reflect the impact of the equivalent exposure of derivative positions, if applicable. These amounts may be negative from time to time. The bond component will include any accrued interest amounts. 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 market value. Where the fund holds convertible bonds, these are treated as part of the equity portion of the portfolio.

(m) In determining an instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity.

Percentages are based on net assets as of 2/28/11, unless otherwise noted.

The portfolio is actively managed and current holdings may be different.

2

MANAGEMENT REVIEW

Summary of Results

For the twelve months ended February 28, 2011, Class A shares of the MFS Government Securities Fund (the “fund”) provided a total return of 2.96%, at net asset value. This compares with a return of 3.77% for the fund’s benchmark, the Barclays Capital U.S. Government/Mortgage Bond Index.

Market Environment

The beginning of the reporting period witnessed a continuation of the financial market and macroeconomic rebounds that had begun in early 2009. These recoveries in global activity and asset valuations were generally synchronized around the world, led importantly by emerging Asian economies, but broadening to include most of the global economy to varying degrees. Primary drivers of the recoveries included an unwinding of the inventory destocking that took place earlier, the production of manufacturing and capital goods, as well as massive fiscal and monetary stimulus.

During the second and third quarters of 2010, heightened risk surrounding the public-debt profiles of several of the peripheral European countries impaired market sentiment. At the same time, the improving trend in global macroeconomic data began to weaken somewhat. These two dynamics caused many asset prices to retrench significantly, as many questioned the durability of the global recovery.

Towards the end of the period, the U.S. Federal Reserve (the Fed) indicated that further monetary loosening would be forthcoming if macroeconomic activity did not show signs of improvement. The prospects for more easing by the Fed improved market sentiment and drove risk-asset prices markedly higher. However, in a text-book case of “buy the rumor, sell the fact,” the weeks following the early November announcement of further quantitative easing saw a sell-off in U.S. Treasury bonds. This rise in Treasury yields occurred despite risk-off behavior in equities and credit markets (which would normally result in Treasury yield compression), and appears to have been the result of a few factors: signs of improved U.S. and global economic activity; opposition to quantitative easing from some quarters; and crowded long positions in U.S. Treasuries. The December agreement on an expansionary U.S. fiscal package also boosted sentiment, leading markets to reach near-term highs in risky asset valuations.

Detractors from Performance

Relative to the Barclays Capital U.S. Government/Mortgage Bond Index, the fund’s lesser exposure to Government National Mortgage Association (Ginnie Mae) and Federal Home Loan Association (Freddie Mac) mortgage-backed

3

Management Review – continued

securities held back relative performance as these bonds outperformed the benchmark over the reporting period. The fund’s underweight position in U.S. treasury securities, and overweight position in municipal bonds, also detracted from relative returns. The fund’s yield curve (y) positioning also held back performance. The fund’s return from yield, which was less than that of the index, was a negative factor for relative performance.

Contributors to Performance

The fund’s greater exposure to Federal National Mortgage Association (Fannie Mae) mortgage-backed securities enhanced relative returns as these bonds outperformed the benchmark over the reporting period. The fund benefited from holdings of commercial mortgage-backed securities and government agency securities.

Respectfully,

Geoffrey Schechter

Portfolio Manager

(y) A yield curve graphically depicts the yields of different maturity bonds of the same credit quality and type; a normal yield curve is upward sloping, with short-term rates lower than long-term rates.

The views expressed in this report are those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily reflect the views of MFS or any other person in the MFS organization. These views are subject to change at any time based on market or other conditions, and MFS disclaims any responsibility to update such views. These views may not be relied upon as investment advice or an indication of trading intent on behalf of any MFS portfolio. References to specific securities are not recommendations of such securities, and may not be representative of any MFS portfolio’s current or future investments.

4

PERFORMANCE SUMMARY THROUGH 2/28/11

The following chart illustrates a representative class of the fund’s historical performance in comparison to its benchmark(s). Performance results include the deduction of the maximum applicable sales charge and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. The performance of other share classes will be greater than or less than that of the class depicted below. Benchmarks are unmanaged and may not be invested in directly. Benchmark returns do not reflect sales charges, commissions or expenses. (See Notes to Performance Summary.)

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value fluctuate so your shares, when sold, may be worth more or less than the original cost; current performance may be lower or higher than quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on fund distributions or the redemption of fund shares.

Growth of a Hypothetical $10,000 Investment

5

Performance Summary – continued

Total Returns through 2/28/11

Average annual without sales charge

	Share class	Class inception date	1-yr	5-yr	10-yr	Life (t)
	A	7/25/84	2.96%	5.58%	4.91%	N/A
	B	8/30/93	2.09%	4.78%	4.17%	N/A
	C	4/01/96	2.19%	4.77%	4.16%	N/A
	I	1/02/97	3.11%	5.83%	5.21%	N/A
	R1	4/01/05	2.09%	4.74%	N/A	4.31%
	R2	10/31/03	2.60%	5.22%	N/A	4.34%
	R3	4/01/05	2.86%	5.48%	N/A	5.08%
	R4	4/01/05	3.22%	5.81%	N/A	5.38%
Comparative benchmark
	Barclays Capital U.S. Government/ Mortgage Bond Index (f)		3.77%	5.82%	5.43%	N/A
Average annual with sales charge
	A With Initial Sales Charge (4.75%)		(1.93)%	4.56%	4.40%	N/A
	B With CDSC (Declining over six years from 4% to 0%) (x)		(1.89)%	4.45%	4.17%	N/A
	C With CDSC (1% for 12 months) (x)		1.20%	4.77%	4.16%	N/A

Class I, R1, R2, R3, and R4 shares do not have a sales charge.

CDSC – Contingent Deferred Sales Charge.

(f) Source: FactSet Research Systems Inc.

(t) For the period from the class inception date through the stated period end (for those share classes with less than 10 years of performance history). No comparative benchmark performance information is provided for “life” periods. (See Notes to Performance Summary.)

(x) Assuming redemption at the end of the applicable period.

Benchmark Definition

Barclays Capital U.S. Government/Mortgage Bond Index – measures debt issued by the U.S. Government, and its agencies, as well as mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC).

It is not possible to invest directly in an index.

Notes to Performance Summary

Average annual total return represents the average annual change in value for each share class for the periods presented. Life returns are presented where the

6

Performance Summary – continued

share class has less than 10 years of performance history and represent the average annual total return from the class inception date to the stated period end date. As the fund’s share classes may have different inception dates, the life returns may represent different time periods and may not be comparable. As a result, no comparative benchmark performance information is provided for life periods.

Performance results reflect any applicable expense subsidies and waivers in effect during the periods shown. Without such subsidies and waivers the fund’s performance results would be less favorable. Please see the prospectus and financial statements for complete details.

From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower.

7

EXPENSE TABLE

Fund expenses borne by the shareholders during the period,

September 1, 2010 through February 28, 2011

As a shareholder of the fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on certain purchase or redemption payments, and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period September 1, 2010 through February 28, 2011.

The expenses include the payment of a portion of the transfer-agent-related expenses of MFS funds that invest in the fund. For further information, please see the Notes to the Financial Statements.

Actual Expenses

The first line for each share class in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line for each share class in the following table provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line for each share class in the table is useful in comparing ongoing costs only, and will not help you determine the

8

Expense Table – continued

relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Share Class		Annualized Expense Ratio		Beginning Account Value 9/01/10		Ending Account Value 2/28/11		Expenses Paid During Period (p) 9/01/10-2/28/11
A	Actual		0.88%		$1,000.00		$983.83		$4.33
	Hypothetical (h)		0.88%		$1,000.00		$1,020.43		$4.41
B	Actual		1.63%		$1,000.00		$979.15		$8.00
	Hypothetical (h)		1.63%		$1,000.00		$1,016.71		$8.15
C	Actual		1.63%		$1,000.00		$979.27		$8.00
	Hypothetical (h)		1.63%		$1,000.00		$1,016.71		$8.15
I	Actual		0.63%		$1,000.00		$984.08		$3.10
	Hypothetical (h)		0.63%		$1,000.00		$1,021.67		$3.16
R1	Actual		1.64%		$1,000.00		$979.15		$8.05
	Hypothetical (h)		1.64%		$1,000.00		$1,016.66		$8.20
R2	Actual		1.14%		$1,000.00		$981.59		$5.60
	Hypothetical (h)		1.14%		$1,000.00		$1,019.14		$5.71
R3	Actual		0.89%		$1,000.00		$982.85		$4.38
	Hypothetical (h)		0.89%		$1,000.00		$1,020.38		$4.46
R4	Actual		0.64%		$1,000.00		$984.11		$3.15
	Hypothetical (h)		0.64%		$1,000.00		$1,021.62		$3.21

(h) 5% class return per year before expenses.

(p) Expenses paid is equal to each class’ annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by the number of days in the period, divided by the number of days in the year. Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher.

9

PORTFOLIO OF INVESTMENTS

2/28/11

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

Bonds - 90.1%
Issuer	Shares/Par		Value ($)
Agency - Other - 5.5%
Financing Corp., 10.7%, 2017	$	14,360,000	$	21,037,185
Financing Corp., 9.4%, 2018		11,750,000		16,284,372
Financing Corp., 9.8%, 2018		14,975,000		21,195,046
Financing Corp., 10.35%, 2018		15,165,000		22,218,105
Financing Corp., STRIPS, 0%, 2017		18,780,000		15,124,717
			$	95,859,425
Asset-Backed & Securitized - 1.5%
Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.322%, 2049	$	4,260,000	$	4,490,030
Commercial Mortgage Pass-Through Certificates, “A4”, 5.306%, 2046		9,314,763		9,849,560
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.818%, 2049		5,431,290		5,849,988
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.988%, 2051		5,341,614		5,645,847
			$	25,835,425
Local Authorities - 0.5%
Nashville & Davidson County, TN, Metropolitan Government Convention Center Authority (Build America Bonds), 6.731%, 2043	$	4,855,000	$	4,747,264
San Francisco, CA, City & County Public Utilities Commission, Water Rev. (Build America Bonds), 6%, 2040		840,000		827,669
University of California Rev. (Build America Bonds), 5.77%, 2043		2,750,000		2,636,013
			$	8,210,946
Mortgage-Backed - 44.7%
Fannie Mae, 5.503%, 2011	$	1,743,000	$	1,783,152
Fannie Mae, 6.088%, 2011		2,736,000		2,762,215
Fannie Mae, 4.73%, 2012		2,603,864		2,718,449
Fannie Mae, 4.77%, 2012 - 2014		2,141,481		2,268,590
Fannie Mae, 4.951%, 2012		884,046		917,095
Fannie Mae, 6.205%, 2012		1,141,827		1,164,625
Fannie Mae, 6.468%, 2012		359,992		371,903
Fannie Mae, 4.35%, 2013		854,739		896,756
Fannie Mae, 4.374%, 2013		2,372,918		2,490,312
Fannie Mae, 4.518%, 2013		564,220		593,968
Fannie Mae, 4.543%, 2013		2,561,293		2,687,296

10

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Bonds - continued
Mortgage-Backed - continued
Fannie Mae, 4.845%, 2013	$	3,528,580	$	3,730,959
Fannie Mae, 5%, 2013 - 2040		74,914,694		79,054,359
Fannie Mae, 5.06%, 2013 - 2017		3,242,181		3,435,094
Fannie Mae, 5.105%, 2013		2,017,969		2,155,327
Fannie Mae, 5.37%, 2013		1,865,405		1,953,132
Fannie Mae, 4.6%, 2014		1,713,248		1,817,382
Fannie Mae, 4.61%, 2014		5,585,550		5,982,216
Fannie Mae, 4.714%, 2014		2,078,087		2,208,123
Fannie Mae, 4.82%, 2014 - 2015		4,954,354		5,326,649
Fannie Mae, 4.839%, 2014		8,071,923		8,620,288
Fannie Mae, 4.92%, 2014		736,216		780,335
Fannie Mae, 4.935%, 2014		743,358		792,793
Fannie Mae, 5.034%, 2014		5,209,285		5,510,664
Fannie Mae, 5.1%, 2014 - 2015		3,166,703		3,388,110
Fannie Mae, 4.56%, 2015		2,217,801		2,364,864
Fannie Mae, 4.564%, 2015		720,928		771,001
Fannie Mae, 4.62%, 2015		3,169,125		3,383,353
Fannie Mae, 4.665%, 2015		1,498,741		1,603,083
Fannie Mae, 4.69%, 2015		1,221,261		1,306,860
Fannie Mae, 4.7%, 2015		2,161,896		2,312,868
Fannie Mae, 4.74%, 2015		1,701,611		1,824,121
Fannie Mae, 4.78%, 2015		1,849,575		1,985,067
Fannie Mae, 4.79%, 2015		1,910,398		2,049,354
Fannie Mae, 4.81%, 2015		1,594,789		1,713,232
Fannie Mae, 4.815%, 2015		1,950,046		2,094,302
Fannie Mae, 4.85%, 2015		1,369,419		1,472,140
Fannie Mae, 4.87%, 2015		1,305,433		1,405,670
Fannie Mae, 4.89%, 2015		1,209,026		1,301,788
Fannie Mae, 4.925%, 2015		5,488,740		5,926,715
Fannie Mae, 5.471%, 2015		5,323,637		5,786,513
Fannie Mae, 4%, 2016		128,188		128,429
Fannie Mae, 4.5%, 2016 - 2040		32,699,242		34,356,845
Fannie Mae, 5.09%, 2016		600,000		646,067
Fannie Mae, 5.249%, 2016 - 2019		2,064,429		2,218,865
Fannie Mae, 5.445%, 2016		648,809		699,302
Fannie Mae, 5.605%, 2016		4,325,904		4,720,648
Fannie Mae, 5.915%, 2016		3,716,700		4,052,776
Fannie Mae, 6.5%, 2016 - 2037		17,718,422		19,978,694
Fannie Mae, 3.309%, 2017		4,995,259		4,989,122
Fannie Mae, 5.05%, 2017		2,320,422		2,497,670
Fannie Mae, 5.155%, 2017		4,478,113		4,864,508
Fannie Mae, 5.3%, 2017		759,809		820,795

11

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Bonds - continued
Mortgage-Backed - continued
Fannie Mae, 5.38%, 2017	$	2,006,098	$	2,166,143
Fannie Mae, 5.5%, 2017 - 2038		137,059,077		147,509,859
Fannie Mae, 5.507%, 2017		1,469,219		1,587,200
Fannie Mae, 6%, 2017 - 2037		45,412,186		49,750,999
Fannie Mae, 5.332%, 2018		820,077		887,783
Fannie Mae, 5.549%, 2018		1,880,000		2,021,467
Fannie Mae, 5.869%, 2018		1,132,436		1,215,734
Fannie Mae, 4.825%, 2019		1,180,000		1,234,476
Fannie Mae, 4.991%, 2019		1,623,768		1,712,225
Fannie Mae, 5.001%, 2019		628,895		665,170
Fannie Mae, 5.037%, 2019		5,347,469		5,773,415
Fannie Mae, 5.104%, 2019		429,867		455,456
Fannie Mae, 5.218%, 2019		740,331		788,306
Fannie Mae, 5.456%, 2019		586,819		629,725
Fannie Mae, 5.652%, 2019		390,887		413,731
Fannie Mae, 5.786%, 2019		1,442,115		1,541,738
Fannie Mae, 3.999%, 2020		1,896,916		1,875,239
Fannie Mae, 4.278%, 2020		1,165,919		1,174,722
Fannie Mae, 4.88%, 2020		1,044,547		1,096,610
Fannie Mae, 5.19%, 2020		1,970,927		2,075,680
Fannie Mae, 7.5%, 2024 - 2031		458,245		529,890
Fannie Mae, 4.5%, 2025		3,023,740		3,172,060
Freddie Mac, 4.375%, 2015		1,092,602		1,110,240
Freddie Mac, 4.5%, 2016 - 2028		16,044,278		16,745,968
Freddie Mac, 5%, 2016 - 2040		44,643,888		47,033,657
Freddie Mac, 6.5%, 2016 - 2038		5,769,823		6,458,805
Freddie Mac, 3.882%, 2017		5,323,000		5,445,063
Freddie Mac, 6%, 2017 - 2038		34,832,228		38,157,251
Freddie Mac, 4.186%, 2019		2,800,000		2,819,587
Freddie Mac, 5.085%, 2019		6,865,000		7,198,804
Freddie Mac, 2.757%, 2020		7,905,237		7,808,962
Freddie Mac, 3.32%, 2020		7,921,000		7,998,852
Freddie Mac, 4.224%, 2020		4,281,146		4,310,931
Freddie Mac, 4.251%, 2020		3,106,000		3,159,301
Freddie Mac, 5.5%, 2021 - 2038		53,056,409		57,155,832
Freddie Mac, 4%, 2025		14,014,573		14,417,567
Ginnie Mae, 4%, 2032		334,234		340,231
Ginnie Mae, 5.5%, 2033 - 2038		25,965,531		28,237,155
Ginnie Mae, 4.5%, 2039 - 2040		21,178,842		22,014,775
Ginnie Mae, 5.612%, 2058		12,466,837		13,289,369
Ginnie Mae, 6.357%, 2058		6,800,952		7,341,043
			$	780,005,465

12

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Bonds - continued
U.S. Government Agencies and Equivalents - 3.4%
Aid-Egypt, 4.45%, 2015	$	6,204,000	$	6,794,683
Farmer Mac, 5.5%, 2011 (n)		11,110,000		11,324,712
FDIC Structured Sale Guarantee Note, 0%, 2012 (n)		1,106,000		1,076,868
Small Business Administration, 8.8%, 2011		7,629		7,689
Small Business Administration, 6.35%, 2021		1,390,581		1,508,764
Small Business Administration, 6.34%, 2021		1,620,889		1,759,402
Small Business Administration, 6.44%, 2021		1,504,589		1,636,689
Small Business Administration, 6.625%, 2021		1,546,942		1,688,742
Small Business Administration, 6.07%, 2022		1,620,891		1,753,689
Small Business Administration, 4.98%, 2023		1,781,925		1,878,668
Small Business Administration, 4.89%, 2023		4,012,032		4,291,377
Small Business Administration, 4.77%, 2024		3,574,804		3,780,882
Small Business Administration, 5.52%, 2024		2,546,946		2,721,911
Small Business Administration, 4.99%, 2024		3,118,565		3,318,592
Small Business Administration, 4.86%, 2024		2,343,714		2,485,041
Small Business Administration, 4.86%, 2025		3,446,319		3,651,383
Small Business Administration, 5.11%, 2025		3,098,054		3,287,494
U.S. Department of Housing & Urban Development, 6.36%, 2016		7,000,000		7,160,706
U.S. Department of Housing & Urban Development, 6.59%, 2016		350,000		358,365
			$	60,485,657
U.S. Treasury Obligations - 34.5%
U.S. Treasury Bonds, 7.5%, 2016	$	3,421,000	$	4,359,637
U.S. Treasury Bonds, 6.25%, 2023		1,445,000		1,803,315
U.S. Treasury Bonds, 6%, 2026		5,933,000		7,266,999
U.S. Treasury Bonds, 6.75%, 2026		6,811,000		8,958,590
U.S. Treasury Bonds, 6.375%, 2027		2,309,000		2,941,089
U.S. Treasury Bonds, 5.25%, 2029		83,773,000		94,872,923
U.S. Treasury Bonds, 6.25%, 2030		3,166,000		4,012,411
U.S. Treasury Bonds, 4.5%, 2036		2,662,000		2,697,354
U.S. Treasury Bonds, 5%, 2037		4,133,000		4,508,847
U.S. Treasury Bonds, 4.375%, 2038		13,550,000		13,376,397
U.S. Treasury Bonds, 4.5%, 2039		34,180,300		34,276,415
U.S. Treasury Notes, 0.75%, 2011		45,000,000		45,175,770
U.S. Treasury Notes, 1.125%, 2012		12,294,000		12,384,767
U.S. Treasury Notes, 1.375%, 2013		16,769,000		16,999,574
U.S. Treasury Notes, 3.625%, 2013		5,523,000		5,874,230
U.S. Treasury Notes, 3.375%, 2013		2,594,000		2,752,680
U.S. Treasury Notes, 3.125%, 2013		48,289,000		50,978,842
U.S. Treasury Notes, 4%, 2014		2,232,000		2,421,024
U.S. Treasury Notes, 1.875%, 2014		85,109,000		86,791,264
U.S. Treasury Notes, 2.625%, 2014		16,750,000		17,455,326
U.S. Treasury Notes, 4%, 2015		13,740,000		15,005,578

13

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Bonds - continued
U.S. Treasury Obligations - continued
U.S. Treasury Notes, 2.625%, 2016	$	4,787,000	$	4,885,358
U.S. Treasury Notes, 4.75%, 2017		11,447,000		12,895,755
U.S. Treasury Notes, 3.75%, 2018		57,439,000		60,620,604
U.S. Treasury Notes, 2.75%, 2019		19,935,600		19,543,108
U.S. Treasury Notes, 3.125%, 2019		3,613,000		3,624,572
U.S. Treasury Notes, 3.5%, 2020		19,949,000		20,274,767
U.S. Treasury Notes, TIPS, 1.25%, 2020		43,341,056		44,624,342
			$	601,381,538
Total Bonds (Identified Cost, $1,511,775,165)			$	1,571,778,456
Issuer/Expiration Date/Strike Price	Number of Contracts
Call Options Purchased - 0.0%
U.S. Treasury Note 10 year Futures - March 2011 @ $119.50 (Premiums Paid, $107,730)		146	$	104,938
Issuer	Shares/Par
Money Market Funds (v) - 9.4%
MFS Institutional Money Market Portfolio, 0.2%, at Cost and Net Asset Value		162,661,736	$	162,661,736
Total Investments (Identified Cost, $1,674,544,631)			$	1,734,545,130
Other Assets, Less Liabilities - 0.5%				9,519,254
Net Assets - 100.0%			$	1,744,064,384

(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 $12,401,580, representing 0.7% of net assets.

(v) Underlying affiliated fund that is available only to investment companies managed by MFS. The rate quoted is the annualized seven-day yield of the fund at period end.

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

FRN Floating Rate Note. Interest rate resets periodically and may not be the rate reported at period end.

STRIPS  Separate Trading of Registered Interest and Principal of Securities

TIPS Treasury Inflation Protected Security

See Notes to Financial Statements

14

Financial Statements

STATEMENT OF ASSETS AND LIABILITIES

At 2/28/11

This statement represents your fund’s balance sheet, which details the assets and liabilities comprising the total value of the fund.

Assets
Investments-
Non-affiliated issuers, at value (identified cost, $1,511,882,895)	$1,571,883,394
Underlying affiliated funds, at cost and value	162,661,736
Total investments, at value (identified cost, $1,674,544,631)	$1,734,545,130
Receivables for
Investments sold	16,853,324
Fund shares sold	3,759,652
Interest and dividends	8,524,545
Other assets	16,072
Total assets	$1,763,698,723
Liabilities
Payables for
Distributions	$835,592
Investments purchased	11,763,022
Fund shares reacquired	6,123,524
Payable to affiliates
Investment adviser	79,217
Shareholder servicing costs	556,046
Distribution and service fees	52,672
Payable for independent Trustees’ compensation	85,267
Accrued expenses and other liabilities	138,999
Total liabilities	$19,634,339
Net assets	$1,744,064,384
Net assets consist of
Paid-in capital	$1,719,815,867
Unrealized appreciation (depreciation) on investments	60,000,499
Accumulated net realized gain (loss) on investments	(37,770,656	)
Undistributed net investment income	2,018,674
Net assets	$1,744,064,384
Shares of beneficial interest outstanding	172,256,199

	Net assets		Shares outstanding		Net asset value per share (a)
Class A		$915,575,852		90,427,080		$10.13
Class B		53,576,827		5,298,207		10.11
Class C		111,328,463		10,971,807		10.15
Class I		434,682,205		42,937,715		10.12
Class R1		7,218,895		713,702		10.11
Class R2		123,672,223		12,227,473		10.11
Class R3		70,987,973		7,012,592		10.12
Class R4		27,021,946		2,667,623		10.13

(a) Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $10.64 [100 / 95.25 x $10.13]. On sales of $50,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A, Class B, and Class C shares. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, and R4.

See Notes to Financial Statements

15

Financial Statements

STATEMENT OF OPERATIONS

Year ended 2/28/11

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
Income
Interest	$63,949,754
Other	13,302
Dividends from underlying affiliated funds	309,979
Total investment income	$64,273,035
Expenses
Management fee	$6,854,430
Distribution and service fees	5,064,786
Shareholder servicing costs	2,706,555
Administrative services fee	240,120
Independent Trustees’ compensation	53,436
Custodian fee	239,406
Shareholder communications	177,461
Auditing fees	52,241
Legal fees	31,134
Miscellaneous	283,328
Total expenses	$15,702,897
Fees paid indirectly	(20	)
Reduction of expenses by investment adviser	(8,039	)
Net expenses	$15,694,838
Net investment income	$48,578,197
Realized and unrealized gain (loss) on investments
Realized gain (loss) (identified cost basis)
Investment transactions	$4,540,376
Futures contracts	(245,676	)
Net realized gain (loss) on investments	$4,294,700
Change in unrealized appreciation (depreciation)
Investments	$(7,655,221	)
Futures contracts	(54,512	)
Net unrealized gain (loss) on investments	$(7,709,733	)
Net realized and unrealized gain (loss) on investments	$(3,415,033	)
Change in net assets from operations	$45,163,164

See Notes to Financial Statements

16

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.

	Years ended 2/28
	2011			2010
Change in net assets
From operations
Net investment income		$48,578,197			$50,138,296
Net realized gain (loss) on investments		4,294,700			11,696,754
Net unrealized gain (loss) on investments		(7,709,733	)		25,491,603
Change in net assets from operations		$45,163,164			$87,326,653
Distributions declared to shareholders
From net investment income		$(52,591,517	)		$(55,242,760	)
Change in net assets from fund share transactions		$180,029,376			$98,887,942
Total change in net assets		$172,601,023			$130,971,835
Net assets
At beginning of period		1,571,463,361			1,440,491,526
At end of period (including undistributed net investment income of $2,018,674 and $1,198,139, respectively)		$1,744,064,384			$1,571,463,361

See Notes to Financial Statements

17

Financial Statements

FINANCIAL HIGHLIGHTS

The financial highlights table is intended to help you understand the fund’s financial performance for the past 5 years. Certain information reflects financial results for a single fund share. The total returns in the table represent the rate by which 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.

Class A	Years ended 2/29, 2/28
	2011			2010			2009			2008			2007
Net asset value, beginning of period		$10.15			$9.92			$9.78			$9.48			$9.47
Income (loss) from investment operations
Net investment income (d)		$0.30			$0.35			$0.39			$0.41			$0.40
Net realized and unrealized gain (loss) on investments		(0.00	)(w)		0.27			0.17			0.33			0.04
Total from investment operations		$0.30			$0.62			$0.56			$0.74			$0.44
Less distributions declared to shareholders
From net investment income		$(0.32	)		$(0.39	)		$(0.42	)		$(0.44	)		$(0.43	)
Net asset value, end of period		$10.13			$10.15			$9.92			$9.78			$9.48
Total return (%) (r)(s)(t)		2.96			6.31			5.95			8.02			4.75
Ratios (%) (to average net assets) and Supplemental data:
Expenses before expense reductions (f)		0.87			0.88			0.91			0.84			0.88
Expenses after expense reductions (f)		0.87			0.88			0.80			0.73			0.78
Net investment income		2.88			3.49			3.98			4.35			4.29
Portfolio turnover		34			32			57			55			14
Net assets at end of period (000 omitted)		$915,576			$923,918			$888,523			$740,620			$731,126

See Notes to Financial Statements

18

Financial Highlights – continued

Class B	Years ended 2/29, 2/28
	2011			2010			2009			2008			2007
Net asset value, beginning of period		$10.14			$9.91			$9.77			$9.47			$9.46
Income (loss) from investment operations
Net investment income (d)		$0.22			$0.28			$0.32			$0.34			$0.33
Net realized and unrealized gain (loss) on investments		(0.01	)		0.26			0.17			0.33			0.04
Total from investment operations		$0.21			$0.54			$0.49			$0.67			$0.37
Less distributions declared to shareholders
From net investment income		$(0.24	)		$(0.31	)		$(0.35	)		$(0.37	)		$(0.36	)
Net asset value, end of period		$10.11			$10.14			$9.91			$9.77			$9.47
Total return (%) (r)(s)(t)		2.09			5.52			5.16			7.22			3.97
Ratios (%) (to average net assets) and Supplemental data:
Expenses before expense reductions (f)		1.62			1.63			1.66			1.59			1.64
Expenses after expense reductions (f)		1.62			1.63			1.55			1.49			1.54
Net investment income		2.15			2.75			3.25			3.61			3.55
Portfolio turnover		34			32			57			55			14
Net assets at end of period (000 omitted)		$53,577			$74,842			$102,852			$94,206			$124,277

Class C	Years ended 2/29, 2/28
	2011			2010			2009			2008			2007
Net asset value, beginning of period		$10.17			$9.95			$9.81			$9.51			$9.50
Income (loss) from investment operations
Net investment income (d)		$0.22			$0.27			$0.31			$0.34			$0.33
Net realized and unrealized gain (loss) on investments		(0.00	)(w)		0.26			0.18			0.33			0.04
Total from investment operations		$0.22			$0.53			$0.49			$0.67			$0.37
Less distributions declared to shareholders
From net investment income		$(0.24	)		$(0.31	)		$(0.35	)		$(0.37	)		$(0.36	)
Net asset value, end of period		$10.15			$10.17			$9.95			$9.81			$9.51
Total return (%) (r)(s)(t)		2.19			5.40			5.16			7.21			3.97
Ratios (%) (to average net assets) and Supplemental data:
Expenses before expense reductions (f)		1.62			1.62			1.66			1.59			1.64
Expenses after expense reductions (f)		1.62			1.62			1.55			1.49			1.54
Net investment income		2.12			2.71			3.21			3.59			3.55
Portfolio turnover		34			32			57			55			14
Net assets at end of period (000 omitted)		$111,328			$116,622			$92,046			$35,316			$27,529

See Notes to Financial Statements

19

Financial Highlights – continued

Class I	Years ended 2/29, 2/28
	2011			2010			2009			2008			2007
Net asset value, beginning of period		$10.15			$9.92			$9.78			$9.48			$9.47
Income (loss) from investment operations
Net investment income (d)		$0.32			$0.38			$0.41			$0.44			$0.42
Net realized and unrealized gain (loss) on investments		(0.00	)(w)		0.26			0.18			0.32			0.04
Total from investment operations		$0.32			$0.64			$0.59			$0.76			$0.46
Less distributions declared to shareholders
From net investment income		$(0.35	)		$(0.41	)		$(0.45	)		$(0.46	)		$(0.45	)
Net asset value, end of period		$10.12			$10.15			$9.92			$9.78			$9.48
Total return (%) (r)(s)		3.11			6.57			6.21			8.28			5.01
Ratios (%) (to average net assets) and Supplemental data:
Expenses before expense reductions (f)		0.62			0.63			0.66			0.59			0.63
Expenses after expense reductions (f)		0.62			0.63			0.55			0.48			0.53
Net investment income		3.13			3.73			4.26			4.61			4.54
Portfolio turnover		34			32			57			55			14
Net assets at end of period (000 omitted)		$434,682			$318,667			$286,371			$449,109			$432,536

Class R1	Years ended 2/29, 2/28
	2011			2010			2009			2008			2007
Net asset value, beginning of period		$10.14			$9.91			$9.77			$9.48			$9.46
Income (loss) from investment operations
Net investment income (d)		$0.22			$0.28			$0.32			$0.33			$0.32
Net realized and unrealized gain (loss) on investments		(0.01	)		0.26			0.17			0.32			0.05
Total from investment operations		$0.21			$0.54			$0.49			$0.65			$0.37
Less distributions declared to shareholders
From net investment income		$(0.24	)		$(0.31	)		$(0.35	)		$(0.36	)		$(0.35	)
Net asset value, end of period		$10.11			$10.14			$9.91			$9.77			$9.48
Total return (%) (r)(s)		2.09			5.52			5.16			7.00			3.98
Ratios (%) (to average net assets) and Supplemental data:
Expenses before expense reductions (f)		1.62			1.63			1.66			1.68			1.82
Expenses after expense reductions (f)		1.62			1.63			1.55			1.58			1.62
Net investment income		2.14			2.74			3.24			3.45			3.45
Portfolio turnover		34			32			57			55			14
Net assets at end of period (000 omitted)		$7,219			$6,246			$5,713			$3,832			$586

See Notes to Financial Statements

20

Financial Highlights – continued

Class R2	Years ended 2/29, 2/28
	2011			2010			2009			2008			2007
Net asset value, beginning of period		$10.14			$9.91			$9.77			$9.48			$9.47
Income (loss) from investment operations
Net investment income (d)		$0.27			$0.32			$0.36			$0.37			$0.37
Net realized and unrealized gain (loss) on investments		(0.01	)		0.27			0.18			0.32			0.03
Total from investment operations		$0.26			$0.59			$0.54			$0.69			$0.40
Less distributions declared to shareholders
From net investment income		$(0.29	)		$(0.36	)		$(0.40	)		$(0.40	)		$(0.39	)
Net asset value, end of period		$10.11			$10.14			$9.91			$9.77			$9.48
Total return (%) (r)(s)		2.60			6.04			5.69			7.51			4.34
Ratios (%) (to average net assets) and Supplemental data:
Expenses before expense reductions (f)		1.12			1.13			1.16			1.19			1.37
Expenses after expense reductions (f)		1.12			1.12			1.05			1.09			1.17
Net investment income		2.62			3.22			3.74			3.95			3.89
Portfolio turnover		34			32			57			55			14
Net assets at end of period (000 omitted)		$123,672			$73,052			$35,616			$13,863			$3,928

Class R3	Years ended 2/29, 2/28
	2011			2010			2009			2008			2007
Net asset value, beginning of period		$10.15			$9.92			$9.78			$9.48			$9.48
Income (loss) from investment operations
Net investment income (d)		$0.29			$0.35			$0.39			$0.40			$0.39
Net realized and unrealized gain (loss) on investments		(0.00	)(w)		0.27			0.17			0.33			0.02
Total from investment operations		$0.29			$0.62			$0.56			$0.73			$0.41
Less distributions declared to shareholders
From net investment income		$(0.32	)		$(0.39	)		$(0.42	)		$(0.43	)		$(0.41	)
Net asset value, end of period		$10.12			$10.15			$9.92			$9.78			$9.48
Total return (%) (r)(s)		2.86			6.31			5.95			7.88			4.49
Ratios (%) (to average net assets) and Supplemental data:
Expenses before expense reductions (f)		0.87			0.88			0.91			0.95			1.02
Expenses after expense reductions (f)		0.87			0.87			0.80			0.85			0.92
Net investment income		2.87			3.47			3.98			4.21			4.15
Portfolio turnover		34			32			57			55			14
Net assets at end of period (000 omitted)		$70,988			$46,780			$25,009			$15,317			$8,108

See Notes to Financial Statements

21

Financial Highlights – continued

Class R4	Years ended 2/29, 2/28
	2011			2010			2009			2008			2007
Net asset value, beginning of period		$10.15			$9.93			$9.78			$9.51			$9.47
Income (loss) from investment operations
Net investment income (d)		$0.32			$0.37			$0.41			$0.43			$0.42
Net realized and unrealized gain (loss) on investments		0.01	(g)		0.26			0.19			0.29			0.06
Total from investment operations		$0.33			$0.63			$0.60			$0.72			$0.48
Less distributions declared to shareholders
From net investment income		$(0.35	)		$(0.41	)		$(0.45	)		$(0.45	)		$(0.44	)
Net asset value, end of period		$10.13			$10.15			$9.93			$9.78			$9.51
Total return (%) (r)(s)		3.22			6.46			6.32			7.85			5.24
Ratios (%) (to average net assets) and Supplemental data:
Expenses before expense reductions (f)		0.63			0.63			0.66			0.65			0.73
Expenses after expense reductions (f)		0.63			0.62			0.55			0.55			0.63
Net investment income		3.10			3.71			4.23			4.47			4.44
Portfolio turnover		34			32			57			55			14
Net assets at end of period (000 omitted)		$27,022			$11,337			$4,361			$3,772			$54

(d) Per share data is based on average shares outstanding.

(f) Ratios do not reflect reductions from fees paid indirectly, if applicable.

(g) The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time.

(r) Certain expenses have been reduced without which performance would have been lower.

(s) From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower.

(t) Total returns do not include any applicable sales charges.

(w) Per share amount was less than $0.01.

See Notes to Financial Statements

22

NOTES TO FINANCIAL STATEMENTS

(1) Business and Organization

MFS Government Securities Fund (the fund) is a series of MFS Series Trust XIII (the trust). The trust is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.

(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 revenues and expenses 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 a significant portion of its assets in asset-backed and/or mortgage-backed securities. The value of these securities may depend, in part, on the issuer’s or borrower’s credit quality or ability to pay principal and interest when due and may fall if an issuer or borrower defaults on its obligation to pay principal or interest or if the instrument’s credit rating is downgraded by a credit rating agency. U.S. Government securities not supported as to the payment of principal or interest by the U.S. Treasury, such as those issued by Fannie Mae, Freddie Mac, and the Federal Home Loan Banks, are subject to greater credit risk than are U.S. Government securities supported by the U.S. Treasury, such as those issued by Ginnie Mae.

Investment Valuations – Debt instruments and floating rate loans (other than short-term instruments), 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 generally are valued at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price as provided by a third-party pricing service on the exchange on which such options are primarily traded. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation as provided by a third-party pricing service on the exchange on which such options are primarily traded. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally valued at valuations provided by a third-party pricing service. Futures contracts are generally valued at last posted settlement price as

23

Notes to Financial Statements – continued

provided by a third-party pricing service on the market on which they are primarily traded. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation as provided by a third-party pricing service on the market on which such futures contracts are primarily traded. Open-end investment companies are generally valued at net asset value per share. 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. Values obtained from 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 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 effected 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.

24

Notes to Financial Statements – continued

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 unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. The following is a summary of the levels used as of February 28, 2011 in valuing the fund’s assets or liabilities:

Investments at Value	Level 1		Level 2		Level 3		Total
U.S. Treasury Bonds & U.S. Government Agency & Equivalents		$104,938		$757,726,620		$—		$757,831,558
Corporate Bonds		—		8,210,946		—		8,210,946
Residential Mortgage-Backed Securities		—		780,005,465		—		780,005,465
Commercial Mortgage-Backed Securities		—		25,835,425		—		25,835,425
Mutual Funds		162,661,736		—		—		162,661,736
Total Investments		$162,766,674		$1,571,778,456		$—		$1,734,545,130

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

Inflation-Adjusted Debt Securities – The fund invests in inflation-adjusted debt securities issued by the U.S. Treasury. The fund may also invest in inflation-adjusted debt securities issued by U.S. Government agencies and instrumentalities other than the U.S. Treasury and by other entities such as U.S. and foreign corporations and foreign governments. The principal value of these debt securities is adjusted through income according to changes in the Consumer Price Index or another general price or wage index. These debt securities typically pay a fixed rate of interest, but this fixed rate is applied to the inflation-adjusted principal amount. The principal paid at maturity of the debt security is typically equal to the inflation-adjusted principal amount, or the security’s original par value, whichever is greater. Other types of inflation-adjusted securities may use other methods to adjust for other measures of inflation.

Derivatives – The fund uses derivatives for different purposes, including to earn income and enhance returns, to increase or decrease exposure to a

25

Notes to Financial Statements – continued

particular market, to manage or adjust the risk profile of the fund, 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 were purchased options and futures contracts. The fund’s period end derivatives, as presented in the Portfolio of Investments, generally are inductive of 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 February 28, 2011 as reported in the Statement of Assets and Liabilities:

		Fair Value (a)
Risk	Derivative	Asset Derivatives
Interest Rate Contracts	Purchased Interest Rate Options		$104,938

(a) The value of purchased options outstanding is included in total investments, at value, within the fund’s Statement of Assets and Liabilities.

The following table presents, by major type of derivative contract, the realized gain (loss) on derivatives held by the fund for the year ended February 28, 2011 as reported in the Statement of Operations:

Risk	Futures Contracts
Interest Rate Contracts		$(245,676	)

The following table presents, by major type of derivative contract, the change in unrealized appreciation (depreciation) on derivatives held by the fund for the year ended February 28, 2011 as reported in the Statement of Operations:

Risk	Futures Contracts			Investments (Purchased Options)
Interest Rate Contracts		$(54,512	)		$(2,792	)

Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter derivatives, the fund attempts to reduce its exposure to counterparty credit risk whenever possible by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of the counterparties with whom it undertakes a significant volume of transactions. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master

26

Notes to Financial Statements – continued

Agreement gives the fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction 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. However, absent an event of default by the counterparty or a termination of the agreement, the ISDA Master Agreement does not result in an offset of reported amounts of assets and liabilities in the Statement of Assets and Liabilities across transactions between the fund and the applicable counterparty.

Collateral requirements differ by type of derivative. Collateral or margin requirements are set by the broker or exchange clearing house for exchange traded derivatives (i.e., futures and exchange-traded options) while collateral terms are contract specific for over-the-counter traded derivatives (i.e., forwards, swaps and over-the-counter options). For derivatives traded under an ISDA Master Agreement, the collateral requirements are netted across all transactions traded under such agreement and one amount is posted from one party to the other to collateralize such obligations. Cash collateral that has been pledged to cover obligations of the fund under derivative contracts, if any, will be reported separately on the Statement of Assets and Liabilities as restricted cash. Securities collateral pledged for the same purpose, if any, is noted in the Portfolio of Investments.

Purchased Options – The fund purchased call options for a premium. Purchased call options entitle the holder to buy a specified number of shares or units of a particular security, currency or index at a specified price at a specified date or within a specified period of time. Purchasing call options may be used to hedge against an anticipated increase in the dollar cost of securities or currency to be acquired or to increase the fund’s exposure to an underlying instrument.

The premium paid is initially recorded as an investment in the Statement of Assets and Liabilities. That investment is subsequently marked-to-market daily with the difference between the premium paid and the market value of the purchased option being recorded as unrealized appreciation or depreciation. Premiums paid for purchased call options which have expired are treated as realized losses on investments in the Statement of Operations. Upon the exercise or closing of a purchased call option, the premium paid is added to the cost of the security or financial instrument.

The risk in purchasing an option is that the fund pays a premium whether or not the option is exercised. The fund’s maximum risk of loss due to counterparty credit risk is limited to the market value of the option. For over-the-counter options, this risk is mitigated in cases where there is an ISDA

27

Notes to Financial Statements – continued

Master Agreement between the fund and the counterparty providing for netting as described above and for posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty under such ISDA Master Agreement.

Futures Contracts – The fund entered into futures contracts which may be used to hedge against or obtain broad market, interest rate or currency exposure. 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 certain 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 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 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.

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. Some securities may be purchased on a “when-issued” or “forward delivery” basis, which means that the securities will be delivered to the fund at a future date, usually beyond customary settlement time. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted upward or downward to the rate of inflation. Interest is accrued based on the principal

28

Notes to Financial Statements – continued

value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond is generally recorded as an increase or decrease in interest income, respectively, even though the adjusted principal is not received until maturity. Dividends received in cash are recorded on 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.

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. On November 1, 2010, the fund received $32,855 from a non-recurring administrative proceeding concerning market timing, of which $19,553 was recorded as realized gain on investment transactions and $13,302 was recorded as other income (See Note 7 for further information).

The fund entered into “TBA” (to be announced) purchase commitments to purchase securities for a fixed unit price at a future date. Although the unit price has been established, the principal value has not been finalized. However, the principal amount of the commitments will not fluctuate more than 0.01%. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to settlement date, which is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at the current market value of the underlying securities.

The fund entered into “TBA” sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.

Fees Paid Indirectly – The fund’s custody fee may be reduced according to an arrangement that measures the value of cash deposited with the custodian by the fund. This amount, for the year ended February 28, 2011, is shown as a reduction of total expenses on the Statement of Operations.

29

Notes to Financial Statements – continued

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 for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Foreign taxes, if any, have been accrued by the fund in the accompanying financial statements.

Distributions to shareholders are recorded on the ex-dividend date. 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. Distributions in excess of net investment income or net realized gains are temporary overdistributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

Book/tax differences primarily relate to amortization and accretion of debt securities, and straddle loss deferrals.

The tax character of distributions declared to shareholders for the last two fiscal years is as follows:

	2/28/11		2/28/10
Ordinary income (including any short-term capital gains)		$52,591,517		$55,242,760

The federal tax cost and the tax basis components of distributable earnings were as follows:

As of 2/28/11
Cost of investments	$1,691,274,770
Gross appreciation	57,216,332
Gross depreciation	(13,945,972	)
Net unrealized appreciation (depreciation)	$43,270,360
Undistributed ordinary income	6,353,025
Capital loss carryforwards	(19,521,141	)
Post-October capital loss deferral	(568,797	)
Other temporary differences	(5,284,930	)

30

Notes to Financial Statements – continued

As of February 28, 2011, the fund had capital loss carryforwards available to offset future realized gains. Such losses expire as follows:

2/28/13	$(5,766,968	)
2/28/14	(6,955,037	)
2/28/15	(6,799,136	)
Total	$(19,521,141	)

Multiple Classes of Shares of Beneficial Interest – The fund offers multiple classes of shares, which differ in their respective distribution and service fees. The fund’s income and common expenses are allocated to shareholders based on the value of settled shares outstanding of each class. The fund’s realized and unrealized gain (loss) are allocated to shareholders based on the daily net assets of each class. Dividends are declared separately for each class. Differences in per share dividend rates are generally due to differences in separate class expenses. Class B shares will convert to Class A shares approximately eight years after purchase. The fund’s distributions declared to shareholders as reported on the Statements of Changes in Net Assets are presented by class as follows:

	From net investment income
	Year ended 2/28/11		Year ended 2/28/10
Class A		$29,917,744		$34,422,498
Class B		1,583,311		2,827,407
Class C		2,969,622		3,307,032
Class I		12,384,622		11,075,341
Class R1		160,835		193,209
Class R2		2,983,568		1,778,346
Class R3		1,912,136		1,378,388
Class R4		679,679		260,539
Total		$52,591,517		$55,242,760

(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 0.40% of the fund’s average daily net assets.

The investment adviser has agreed in writing to pay a portion of the fund’s total annual operating expenses, exclusive of interest, taxes, extraordinary expenses, brokerage and transaction costs, and investment-related expenses, such that total annual fund operating expenses do not exceed the following rates annually of the fund’s average daily net assets with respect to each class:

Class A	Class B		Class C		Class I		Class R1		Class R2		Class R3		Class R4
0.90%		1.65%		1.65%		0.65%		1.65%		1.15%		0.90%		0.65%

31

Notes to Financial Statements – continued

This written agreement will terminate on June 30, 2011. For the year ended February 28, 2011, the fund’s actual operating expenses did not exceed the limit and therefore, the investment adviser did not pay any portion of the fund’s expenses.

Distributor – MFS Fund Distributors, Inc. (MFD), a wholly-owned subsidiary of MFS, as distributor, received $262,855 for the year ended February 28, 2011, as its portion of the initial sales charge on sales of Class A shares of the fund.

The Board of Trustees has adopted a distribution plan for certain class shares pursuant to Rule 12b-1 of the Investment Company Act of 1940.

The fund’s distribution plan provides that the fund will pay MFD for services provided by MFD and financial intermediaries in connection with the distribution and servicing of certain share classes. One component of the plan is a distribution fee paid to MFD and another component of the plan is a service fee paid to MFD. MFD may subsequently pay all, or a portion, of the distribution and/or service fees to financial intermediaries.

Distribution Plan Fee Table:

	Distribution Fee Rate (d)		Service Fee Rate (d)		Total Distribution Plan (d)		Annual Effective Rate (e)		Distribution and Service Fee
Class A		—		0.25%		0.25%		0.25%		$2,398,382
Class B		0.75%		0.25%		1.00%		1.00%		664,364
Class C		0.75%		0.25%		1.00%		1.00%		1,255,855
Class R1		0.75%		0.25%		1.00%		1.00%		68,047
Class R2		0.25%		0.25%		0.50%		0.50%		523,838
Class R3		—		0.25%		0.25%		0.25%		154,300
Total Distribution and Service Fees										$5,064,786

(d) In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’ average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below.

(e) The annual effective rates represent actual fees incurred under the distribution plan for the year ended February 28, 2011 based on each class’ average daily net assets.

Certain Class A shares are subject to a contingent deferred sales charge (CDSC) in the event of a shareholder redemption within 24 months of purchase. Class C shares are subject to a CDSC in the event of a shareholder redemption within 12 months of purchase. Class B shares are subject to a CDSC in the event of a shareholder redemption within six years of purchase. All contingent deferred sales charges are paid to MFD and during the year ended February 28, 2011, were as follows:

	Amount
Class A		$41,841
Class B		109,434
Class C		30,458

32

Notes to Financial Statements – continued

Shareholder Servicing Agent – MFS Service Center, Inc. (MFSC), a wholly-owned subsidiary of MFS, receives a fee from the fund for its services as shareholder servicing agent calculated as a percentage of the average daily net assets of the fund as determined periodically under the supervision of the fund’s Board of Trustees. For the year ended February 28, 2011, the fee was $831,383, which equated to 0.0485% annually of the fund’s average daily net assets. MFSC also receives payment from the fund for out-of-pocket expenses, sub-accounting and other shareholder servicing costs which may be paid to affiliated and unaffiliated service providers. For the year ended February 28, 2011, these out-of-pocket expenses, sub-accounting and other shareholder servicing costs amounted to $1,497,226.

Under a Special Servicing Agreement among MFS, each MFS fund which invests in other MFS funds (“MFS fund-of-funds”) and certain underlying funds in which a MFS fund-of-funds invests (“underlying funds”), each underlying fund may pay a portion of each MFS fund-of-fund’s transfer agent-related expenses, including sub-accounting fees payable to financial intermediaries, to the extent such payments do not exceed the benefits realized or expected to be realized by the underlying fund from the investment in the underlying fund by the MFS fund-of-fund. For the year ended February 28, 2011, these costs for the fund amounted to $377,946 and are reflected in the shareholder servicing costs on the Statement of Operations.

Administrator – MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund. Under an administrative services agreement, the fund partially 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 year ended February 28, 2011 was equivalent to an annual effective rate of 0.0140% 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 for their services to the fund from MFS. Certain officers and Trustees of the fund are officers or directors of MFS, MFD, and MFSC.

Prior to December 31, 2001, the fund had an unfunded defined benefit plan (“DB plan”) for independent Trustees. As of December 31, 2001, the Board took action to terminate the DB plan with respect to then-current and any future independent Trustees, such that the DB Plan covers only certain of those former independent Trustees who retired on or before December 31, 2001.

33

Notes to Financial Statements – continued

Effective January 1, 2002, accrued benefits under the DB Plan for then-current independent Trustees who continued were credited to an unfunded retirement deferral plan (the “Retirement Deferral plan”), which was established for and exists solely with respect to these credited amounts, and is not available for other deferrals by these or other independent Trustees. Although the Retirement Deferral plan is unfunded, amounts deferred under the plan are periodically adjusted for investment experience as if they had been invested in shares of the fund. The DB Plan resulted in a pension expense of $6,760 and the Retirement Deferral plan resulted in an expense of $1,594. Both amounts are included in independent Trustees’ compensation for the year ended February 28, 2011. The liability for deferred retirement benefits payable to certain independent Trustees under both plans amounted to $79,776 at February 28, 2011, and is included in payable for independent Trustees’ compensation on the Statement of Assets and Liabilities.

Other – This fund and certain other funds managed by MFS (the funds) have entered into services agreements (the Agreements) which provide for payment of fees by the funds to Tarantino LLC and Griffin Compliance LLC in return for the provision of services of an Independent Chief Compliance Officer (ICCO) and Assistant ICCO, respectively, for the funds. The ICCO and Assistant ICCO are officers of the funds and the sole members of Tarantino LLC and Griffin Compliance LLC, respectively. The funds can terminate the Agreements with Tarantino LLC and Griffin Compliance LLC at any time under the terms of the Agreements. For the year ended February 28, 2011, the aggregate fees paid by the fund to Tarantino LLC and Griffin Compliance LLC were $16,243 and are included in miscellaneous expense on the Statement of Operations. MFS has agreed to reimburse the fund for a portion of the payments made by the fund in the amount of $8,039, which is shown as a reduction of total expenses in the Statement of Operations. Additionally, MFS has agreed to bear all expenses associated with office space, other administrative support, and supplies provided to the ICCO and Assistant ICCO.

The fund invests in the MFS Institutional Money Market Portfolio which is managed by MFS and seeks a high level of current income consistent with preservation of capital and liquidity. Income earned on this investment is included in dividends from underlying affiliated funds on the Statement of Operations. This money market fund does not pay a management fee to MFS.

(4) Portfolio Securities

Purchases and sales of investments, other than purchased option transactions and short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities		$681,292,919		$463,975,662
Investments (non-U.S. Government securities)		$25,308,915		$73,549,484

34

Notes to Financial Statements – continued

(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. Transactions in fund shares were as follows:

	Year ended 2/28/11						Year ended 2/28/10
	Shares			Amount			Shares			Amount
Shares sold
Class A		26,667,083			$273,592,738			30,152,926			$303,515,458
Class B		1,553,300			15,930,201			2,250,198			22,570,039
Class C		5,026,803			51,750,174			6,820,065			68,787,912
Class I		14,001,097			143,194,324			12,697,855			127,567,025
Class R1		394,547			4,040,808			381,748			3,829,688
Class R2		7,708,713			78,920,205			5,655,407			56,941,017
Class R3		4,462,455			45,744,844			3,532,952			35,577,880
Class R4		3,137,352			32,426,895			917,796			9,282,098
		62,951,350			$645,600,189			62,408,947			$628,071,117
Shares issued to shareholders in reinvestment of distributions
Class A		2,092,509			$21,483,496			2,538,614			$25,594,453
Class B		125,859			1,290,097			226,503			2,279,487
Class C		177,402			1,825,956			200,512			2,026,448
Class I		1,147,562			11,772,037			1,062,592			10,717,601
Class R1		15,593			159,915			18,996			191,277
Class R2		251,598			2,579,819			149,809			1,510,214
Class R3		185,930			1,908,299			136,428			1,376,308
Class R4		48,348			496,050			7,776			78,553
		4,044,801			$41,515,669			4,341,230			$43,774,341
Shares reacquired
Class A		(29,372,786	)		$(300,393,949	)		(31,182,922	)		$(313,229,747	)
Class B		(3,764,909	)		(38,469,699	)		(5,470,545	)		(54,932,982	)
Class C		(5,698,132	)		(58,177,566	)		(4,807,469	)		(48,455,838	)
Class I		(3,614,436	)		(37,064,519	)		(11,215,801	)		(112,328,817	)
Class R1		(312,562	)		(3,204,492	)		(360,873	)		(3,622,302	)
Class R2		(2,938,760	)		(30,064,238	)		(2,191,570	)		(21,982,239	)
Class R3		(2,245,914	)		(22,908,988	)		(1,579,439	)		(15,907,194	)
Class R4		(1,634,929	)		(16,803,031	)		(248,104	)		(2,498,397	)
		(49,582,428	)		$(507,086,482	)		(57,056,723	)		$(572,957,516	)

35

Notes to Financial Statements – continued

	Year ended 2/28/11						Year ended 2/28/10
	Shares			Amount			Shares			Amount
Net change
Class A		(613,194	)		$(5,317,715	)		1,508,618			$15,880,164
Class B		(2,085,750	)		(21,249,401	)		(2,993,844	)		(30,083,456	)
Class C		(493,927	)		(4,601,436	)		2,213,108			22,358,522
Class I		11,534,223			117,901,842			2,544,646			25,955,809
Class R1		97,578			996,231			39,871			398,663
Class R2		5,021,551			51,435,786			3,613,646			36,468,992
Class R3		2,402,471			24,744,155			2,089,941			21,046,994
Class R4		1,550,771			16,119,914			677,468			6,862,254
		17,413,723			$180,029,376			9,693,454			$98,887,942

The fund is one of several mutual funds in which the MFS funds-of-funds may invest. The MFS funds-of-funds do not invest in the underlying MFS funds for the purpose of exercising management or control. At the end of the period, the MFS Moderate Allocation Fund, and the MFS Conservative Allocation Fund were the owners of record of approximately 15% and 7%, respectively, of the value of outstanding voting shares of the fund. In addition, the MFS Lifetime Retirement Income Fund, the MFS Lifetime 2010 Fund, and the MFS Lifetime 2020 Fund were each the owners of record of less than 1% of the value of outstanding voting shares of the fund.

(6) Line of Credit

The fund and certain other funds managed by MFS participate in a $1.1 billion unsecured committed line of credit, subject to a $1 billion sublimit, provided by a syndication 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 higher of the Federal Reserve funds rate or one month LIBOR 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 at the end of each calendar quarter. 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 a rate equal to the Federal Reserve funds rate plus an agreed upon spread. For the year ended February 28, 2011, the fund’s commitment fee and interest expense were $18,474 and $0, respectively, and are included in miscellaneous expense on the Statement of Operations.

(7) Gain Contingency

The fund’s investment adviser, MFS, was the subject of an administrative proceeding concerning market timing which resulted in the Securities and Exchange Commission (the “SEC”) entering an order approving a settlement

36

Notes to Financial Statements – continued

with MFS and two of its former officers (the “Settlement Order”). Under the terms of the Settlement Order, MFS transferred $175 million in disgorgement and $50 million in penalty (the “Payments”) to the SEC, which established a Fair Fund from which settlement funds have been, or will be, distributed to eligible current and former shareholders of the fund and certain other affected MFS retail funds. The Payments, along with additional amounts from a third-party settlement, have been distributed to eligible shareholders in accordance with a plan developed by an independent distribution consultant (the “IDC”) in consultation with MFS and the Board of Trustees of the MFS retail funds. The plan was approved in July 2007 by the SEC. Pursuant to the distribution plan, after the distributions to eligible shareholders have been made, any undistributed amounts could be designated “residual” and distributed to the fund and certain other affected MFS retail funds for the benefit of fund shareholders. In November 2010, the SEC issued an order designating certain undistributed amounts residual and ordering that such amounts be distributed to the affected MFS retail funds. The SEC order designated other undistributed amounts for use in funding certain additional distribution efforts to eligible shareholders. As a result of the SEC’s approval of the residual payments, the fund received $32,855. Additional residual amounts may be received by the fund in the future. Certain procedural conditions of the distribution plan (as modified by the November 2010 SEC order) have not been met to date and, as such, the ultimate timing and amount of any payment of additional residual amounts is not known at this time.

(8) Transactions in Underlying Affiliated Funds-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:

Underlying Affiliated Funds	Beginning Shares/Par Amount		Acquisitions Shares/Par Amount		Dispositions Shares/Par Amount			Ending Shares/Par Amount
MFS Institutional Money Market Portfolio		154,222,839		670,369,448		(661,930,551	)		162,661,736
Underlying Affiliated Funds	Realized Gain (Loss)		Capital Gain Distributions		Dividend Income			Ending Value
MFS Institutional Money Market Portfolio		$—		$—		$309,979			$162,661,736

37

REPORT OF INDEPENDENT REGISTERED

PUBLIC ACCOUNTING FIRM

To the Board of Trustees and the Shareholders of

MFS Government Securities Fund:

We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of MFS Government Securities Fund (the “Fund”) as of February 28, 2011, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of February 28, 2011, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of MFS Government Securities Fund as of February 28, 2011, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

DELOITTE & TOUCHE LLP

Boston, Massachusetts

April 15, 2011

38

TRUSTEES AND OFFICERS —

IDENTIFICATION AND BACKGROUND

The Trustees and officers of the Trust, as of April 1, 2011, are listed below, together with their principal occupations during the past five years. (Their titles may have varied during that period.) The address of each Trustee and officer is 500 Boylston Street, Boston, Massachusetts 02116.

Name, Date of Birth	Position(s) Held with Fund	Trustee/Officer Since (h)	Principal Occupations During the Past Five Years & Other Directorships  (j)
INTERESTED TRUSTEES
Robert J. Manning (k) (born 10/20/63)	Trustee	February 2004	Massachusetts Financial Services Company, Chairman, Chief Executive Officer and Director; President (until December 2009); Chief Investment Officer (until July 2010)
Robert C. Pozen (k) (born 8/08/46)	Trustee	February 2004	Massachusetts Financial Services Company, Chairman Emeritus; Chairman (until July 2010); Medtronic, Inc, (medical devices), Director (since 2004); Harvard Business School (education), Senior Lecturer (since 2008); The Neilsen Company (market research), Director (since 2010); Telesat (satellite communications), Director (until November 2007); Bell Canada Enterprises (telecommunications), Director (until February 2009)
INDEPENDENT TRUSTEES
David H. Gunning (born 5/30/42)	Trustee and Chair of Trustees	January 2004	Retired; Lincoln Electric Holdings, Inc. (welding equipment manufacturer), Director; Development Alternatives, Inc. (consulting), Director/Non-Executive Chairman; Cleveland-Cliffs Inc. (mining products and service provider), Vice Chairman/Director (until May 2007); Portman Limited (mining), Director (until 2008)
Robert E. Butler (born 11/29/41)	Trustee	January 2006	Consultant – investment company industry regulatory and compliance matters; PricewaterhouseCoopers LLP (professional services firm), Partner (until 2002)

39

Trustees and Officers – continued

Name, Date of Birth	Position(s) Held with Fund	Trustee/Officer Since (h)	Principal Occupations During the Past Five Years & Other Directorships (j)
Maureen R. Goldfarb (born 4/06/55)	Trustee	January 2009	Private investor; John Hancock Financial Services, Inc., Executive Vice President (until 2004); John Hancock Mutual Funds, Trustee and Chief Executive Officer (until 2004)
William R. Gutow (born 9/27/41)	Trustee	December 1993	Private investor and real estate consultant; Capital Entertainment Management Company (video franchise), Vice Chairman; Atlantic Coast Tan (tanning salons), Vice Chairman (until 2007); Texas Donuts (donut franchise), Vice Chairman (until 2010)
Michael Hegarty (born 12/21/44)	Trustee	December 2004	Private investor; AXA Financial (financial services and insurance), Vice Chairman and Chief Operating Officer (until 2001); The Equitable Life Assurance Society (insurance), President and Chief Operating Officer (until 2001)
John P. Kavanaugh (born 11/04/54)	Trustee	January 2009	Private investor; The Hanover Insurance Group, Inc., Vice President and Chief Investment Officer (until 2006); Allmerica Investment Trust, Allmerica Securities Trust and Opus Investment Trust (investment companies), Chairman, President and Trustee (until 2006)
J. Dale Sherratt (born 9/23/38)	Trustee	June 1989	Insight Resources, Inc. (acquisition planning specialists), President; Wellfleet Investments (investor in health care companies), Managing General Partner
Laurie J. Thomsen (born 8/05/57)	Trustee	March 2005	Private investor; The Travelers Companies (property and casualty insurance), Director; New Profit, Inc. (venture philanthropy), Executive Partner (until 2010)

40

Trustees and Officers – continued

Name, Date of Birth	Position(s) Held with Fund	Trustee/Officer Since (h)	Principal Occupations During the Past Five Years & Other Directorships (j)
Robert W. Uek (born 5/18/41)	Trustee	January 2006	Consultant to investment company industry; PricewaterhouseCoopers LLP (professional services firm), Partner (until 1999)
OFFICERS
Maria F. DiOrioDwyer (k) (born 12/01/58)	President	March 2004	Massachusetts Financial Services Company, Executive Vice President and Chief Regulatory Officer (since March 2004) Chief Compliance Officer (since December 2006)
Christopher R. Bohane (k) (born 1/18/74)	Assistant Secretary and Assistant Clerk	July 2005	Massachusetts Financial Services Company, Vice President and Senior Counsel
John M. Corcoran (k) (born 4/13/65)	Treasurer	October 2008	Massachusetts Financial Services Company, Senior Vice President (since October 2008); State Street Bank and Trust (financial services provider), Senior Vice President, (until September 2008)
Ethan D. Corey (k) (born 11/21/63)	Assistant Secretary and Assistant Clerk	July 2005	Massachusetts Financial Services Company, Senior Vice President and Associate General Counsel
David L. DiLorenzo (k) (born 8/10/68)	Assistant Treasurer	July 2005	Massachusetts Financial Services Company, Vice President
Timothy M. Fagan (k) (born 7/10/68)	Assistant Secretary and Assistant Clerk	September 2005	Massachusetts Financial Services Company, Vice President and Senior Counsel
Robyn L. Griffin (born 7/04/75)	Assistant Independent Chief Compliance Officer	August 2008	Griffin Compliance LLC (provider of compliance services), Principal (since August 2008); State Street Corporation (financial services provider), Mutual Fund Administration Assistant Vice President (October 2006 – July 2008); Liberty Mutual Group (insurance), Personal Market Assistant Controller (April 2006 – October 2006); Deloitte & Touche LLP (professional services firm), Senior Manager (prior to April 2006)

41

Trustees and Officers – continued

Name, Date of Birth	Position(s) Held with Fund	Trustee/Officer Since (h)	Principal Occupations During the Past Five Years & Other Directorships (j)
Brian E. Langenfeld (k) (born 3/07/73)	Assistant Secretary and Assistant Clerk	June 2006	Massachusetts Financial Services Company, Vice President and Senior Counsel (since May 2006); John Hancock Advisers, LLC, Assistant Vice President and Counsel (until April 2006)
Ellen Moynihan (k) (born 11/13/57)	Assistant Treasurer	April 1997	Massachusetts Financial Services Company, Senior Vice President
Susan S. Newton (k) (born 3/07/50)	Assistant Secretary and Assistant Clerk	May 2005	Massachusetts Financial Services Company, Senior Vice President and Associate General Counsel
Susan A. Pereira (k) (born 11/05/70)	Assistant Secretary and Assistant Clerk	July 2005	Massachusetts Financial Services Company, Vice President and Senior Counsel
Mark N. Polebaum (k) (born 5/01/52)	Secretary and Clerk	January 2006	Massachusetts Financial Services Company, Executive Vice President, General Counsel and Secretary (since January 2006); Wilmer Cutler Pickering Hale and Dorr LLP (law firm), Partner (until January 2006)
Frank L. Tarantino (born 3/07/44)	Independent Chief Compliance Officer	June 2004	Tarantino LLC (provider of compliance services), Principal
Richard S. Weitzel (k) (born 7/16/70)	Assistant Secretary and Assistant Clerk	October 2007	Massachusetts Financial Services Company, Vice President and Assistant General Counsel
James O. Yost (k) (born 6/12/60)	Assistant Treasurer	September 1990	Massachusetts Financial Services Company, Senior Vice President

(h) Date first appointed to serve as Trustee/officer of an MFS fund. Each Trustee has served continuously since appointment unless indicated otherwise. For the period from December 15, 2004 until February 22, 2005, Messrs. Pozen and Manning served as Advisory Trustees. For the period March 2008 until October 2008, Ms. DiOrioDwyer served as Treasurer of the Funds.

(j) Directorships or trusteeships of companies required to report to the Securities and Exchange Commission (i.e., “public companies”).

(k) “Interested person” of the Trust within the meaning of the Investment Company Act of 1940 (referred to as the 1940 Act), which is the principal federal law governing investment companies like the fund, as a result of position with MFS. The address of MFS is 500 Boylston Street, Boston, Massachusetts 02116.

Each Trustee has been elected by shareholders and each Trustee and officer holds office until his or her successor is chosen and qualified or until his or her earlier death, resignation, retirement or removal. The Trust does not hold annual meetings for the purpose of electing Trustees, and Trustees are not

42

Trustees and Officers – continued

elected for fixed terms. Messrs. Butler, Kavanaugh, Uek and Ms. Thomsen are members of the Trust’s Audit Committee.

Each of the Fund’s Trustees and officers holds comparable positions with certain other funds of which MFS or a subsidiary is the investment adviser or distributor, and, in the case of the officers, with certain affiliates of MFS. As of January 1, 2011, the Trustees served as board members of 105 funds within the MFS Family of Funds.

The Statement of Additional Information for the Fund includes further information about the Trustees and is available without charge upon request by calling 1-800-225-2606.

Investment Adviser	Custodian
Massachusetts Financial Services Company 500 Boylston Street, Boston, MA 02116-3741 Distributor MFS Fund Distributors, Inc. 500 Boylston Street, Boston, MA 02116-3741 Portfolio Manager Geoffrey Schechter	JPMorgan Chase Bank One Chase Manhattan Plaza, New York, NY 10081 Independent Registered Public Accounting Firm Deloitte & Touche LLP 200 Berkeley Street, Boston, MA 02116

43

BOARD REVIEW OF INVESTMENT ADVISORY AGREEMENT

A discussion regarding the Board’s most recent review and renewal of the fund’s Investment Advisory Agreement with MFS is available by clicking on the fund’s name under “Mutual Funds” in the “Products and Performance” section of the MFS Web site (mfs.com).

PROXY VOTING POLICIES AND INFORMATION

A general description of the MFS funds’ proxy voting policies and procedures is available without charge, upon request, by calling
1-800-225-2606, by visiting the Proxy Voting section of mfs.com 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 without charge by visiting the Proxy Voting section of mfs.com or by visiting the SEC’s Web site at http://www.sec.gov.

QUARTERLY PORTFOLIO DISCLOSURE

The fund will file a complete schedule of portfolio holdings with the Securities and Exchange Commission (the Commission) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Form N-Q may be reviewed and copied at the:

Public Reference Room

Securities and Exchange Commission

100 F Street, NE, Room 1580

Washington, D.C. 20549

Information on the operation of the Public Reference Room may be obtained by calling the Commission at 1-800-SEC-0330. The fund’s Form N-Q is available on the EDGAR database on the Commission’s Internet Web site at http://www.sec.gov, and copies of this information may be obtained, upon payment of a duplicating fee, by electronic request at the following e-mail address: publicinfo@sec.gov or by writing the Public Reference Section at the above address.

A shareholder can also obtain the quarterly portfolio holdings report at mfs.com.

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 by visiting the “News & Commentary” section of mfs.com or by clicking on the fund’s name under “Mutual Funds” in the “Products and Performance” section of mfs.com.

FEDERAL TAX INFORMATION (unaudited)

The fund will notify shareholders of amounts for use in preparing 2011 income tax forms in January 2012.

44

rev. 3/11

FACTS WHAT DOES MFS DO WITH YOUR PERSONAL INFORMATION?

Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

What? The types of personal information we collect and share depend on the product or service you have with us. This information can include:   •Social Security number and account balances •Account transactions and transaction history •Checking account information and wire transfer instructions   When you are no longer our customer, we continue to share your information as described in this notice.

How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons MFS chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Does MFS share?	Can you limit this sharing?
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus	Yes	No
For our marketing purposes – to offer our products and services to you	No	We don’t share
For joint marketing with other financial companies	No	We don’t share
For our affiliates’ everyday business purposes – information about your transactions and experiences	No	We don’t share
For our affiliates’ everyday business purposes – information about your creditworthiness	No	We don’t share
For nonaffiliates to market to you	No	We don’t share

Questions? Call 800-225-2606 or go to mfs.com.

45

Page 2

Who we are
Who is providing this notice?	MFS Funds, MFS Investment Management, MFS Institutional Advisors, Inc., MFS Fund Distributors, Inc., MFS Heritage Trust Company, and MFS Service Center, Inc.

What we do
How does MFS protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include procedural, electronic, and physical safeguards for the protection of the personal information we collect about you.
How does MFS collect my personal information?	We collect your personal information, for example, when you •open an account or provide account information •direct us to buy securities or direct us to sell your securities •make a wire transfer We also collect your personal information from others, such as credit bureaus, affiliates and other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only •sharing for affiliates’ everyday business purposes – information about your creditworthiness •affiliates from using your information to market to you •sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing.

Definitions
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. •MFS does not share personal information with affiliates, except for everyday business purposes as described on page one of this notice.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. •MFS does not share with nonaffiliates so they can market to you.
Joint Marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. •MFS doesn’t jointly market.

Other important information

If you own an MFS product or receive an MFS service in the name of a third party such as a bank or broker-dealer, their privacy policy may apply to you instead of ours.

46

Save paper with eDelivery.

MFS^® will send you prospectuses, reports, and proxies directly via e-mail so you will get information faster with less mailbox clutter.

To sign up:

1. Go to mfs.com.

2. Log in via MFS^® Access.

3. Select eDelivery.

If you own your MFS fund shares through a financial institution or a retirement plan, MFS^® TALK, MFS^® Access, or eDelivery may not be available to you.

Web site

mfs.com

MFS TALK

1-800-637-8255

24 hours a day

Account service and literature

Shareholders

1-800-225-2606

Financial advisors

1-800-343-2829

Retirement plan services

1-800-637-1255

Mailing address

MFS Service Center, Inc.

P.O. Box 55824

Boston, MA 02205-5824

Overnight mail

MFS Service Center, Inc.

c/o Boston Financial Data Services

30 Dan Road

Canton, MA 02021-2809

MFS^® Global Real Estate Fund

ANNUAL REPORT

February 28, 2011

GRE-ANN

MFS® GLOBAL REAL ESTATE FUND

Letter from the CEO	1
Portfolio composition	2
Management review	3
Performance summary	5
Expense table	7
Portfolio of investments	9
Statement of assets and liabilities	12
Statement of operations	13
Statements of changes in net assets	14
Financial highlights	15
Notes to financial statements	17
Report of independent registered public accounting firm	27
Trustees and officers	28
Board review of investment advisory agreement	33
Proxy voting policies and information	33
Quarterly portfolio disclosure	33
Further information	33
Federal tax information	34
MFS® privacy notice	35
Contact information    back cover

SIPC Contact Information: You may obtain information about the Securities Investor Protection Corporation (“SIPC”), including the SIPC Brochure, by contacting SIPC either by telephone (1-202-371-8300) or by accessing SIPC’s web site address (www.sipc.org).

The report is prepared for the general information of shareholders.

It is authorized for distribution to prospective investors only when preceded or accompanied by a current prospectus.

NOT FDIC INSURED Ÿ MAY LOSE VALUE Ÿ NO BANK GUARANTEE

LETTER FROM THE CEO

Dear Shareholders:

After an extended rebound in the financial markets, uncertainty returned in 2010 as investors began to question the durability of the recovery for global economies and markets. That uncertainty led to increased risk aversion, especially as investors saw the eurozone struggle with the debt woes of many of its members. Last September, the U.S. Federal Reserve Board’s promises to further loosen monetary policy helped assuage market fears and drive asset prices off their recent lows. A combination of solid earnings and improving economic data gave an additional boost to investor sentiment. For 2011, we are cautiously optimistic that economic growth will continue to improve and that the global economies will recover from the shocks of the past few years. We expect the pace of recovery worldwide will be uneven and volatile and acknowledge the elevated uncertainty created by events in Japan, Europe, and the Middle East.

As always, we continue to be mindful of the many economic challenges faced at the local, national, and international levels. It is in times such as these that we want to remind investors of the merits of maintaining a long-term view, adhering to basic investing principles such as asset allocation and diversification, and working closely with their advisors to research and identify appropriate investment opportunities.

Respectfully,

Robert J. Manning

Chairman and Chief Executive Officer

MFS Investment Management®

April 15, 2011

The opinions expressed in this letter are subject to change, may not be relied upon for investment advice, and no forecasts can be guaranteed.

1

PORTFOLIO COMPOSITION

Portfolio structure

Top ten holdings
Sun Hung Kai Properties Ltd.	4.5%
Simon Property Group, Inc., REIT	4.1%
SEGRO PLC, REIT	3.2%
Westfield Group, REIT	2.8%
Weyerhaeuser Co.	2.8%
Mitsubishi Estate Co. Ltd.	2.8%
Atrium European Real Estate Ltd.	2.8%
Mitsui Fudosan Co. Ltd.	2.8%
Stockland, IEU	2.6%
BR Malls Participacoes S.A.	2.5%

Equity industries
Real Estate	94.7%
Forest and Paper Products	2.8%
Issuer country weightings
United States	44.8%
Hong Kong	12.2%
Japan	9.8%
Australia	9.2%
United Kingdom	7.4%
France	4.5%
Singapore	3.1%
Austria	2.8%
Brazil	2.5%
Other Countries	3.7%

Percentages are based on net assets as of 2/28/11.

The portfolio is actively managed and current holdings may be different.

2

MANAGEMENT REVIEW

Summary of Results

For the twelve months ended February 28, 2011, Class A shares of the MFS Global Real Estate Fund (the “fund”) provided a total return of 23.61%, at net asset value. This compares with a return of 29.26% for the fund’s benchmark, the FTSE EPRA/NAREIT Developed Real Estate Index.

Market Environment

The beginning of the reporting period witnessed a continuation of the financial market and macroeconomic rebounds that had begun in early 2009. These recoveries in global activity and asset valuations were generally synchronized around the world, led importantly by emerging Asian economies, but broadening to include most of the global economy to varying degrees. Primary drivers of the recoveries included an unwinding of the inventory destocking that took place earlier, the production of manufacturing and capital goods, as well as massive fiscal and monetary stimulus.

During the second and third quarters of 2010, heightened risk surrounding the public-debt profiles of several of the peripheral European countries impaired market sentiment. At the same time, the improving trend in global macroeconomic data began to weaken somewhat. These two dynamics caused many asset prices to retrench significantly, as many questioned the durability of the global recovery.

Towards the end of the period, the U.S. Federal Reserve (the Fed) indicated that further monetary loosening would be forthcoming if macroeconomic activity did not show signs of improvement. The prospects for more easing by the Fed improved market sentiment and drove risk-asset prices markedly higher. However, in a text-book case of “buy the rumor, sell the fact,” the weeks following the early November announcement of further quantitative easing saw a sell-off in U.S. Treasury bonds. This rise in Treasury yields occurred despite risk-off behavior in equities and credit markets (which would normally result in Treasury yield compression), and appears to have been the result of a few factors: signs of improved U.S. and global economic activity; opposition to quantitative easing from some quarters; and crowded long positions in U.S. Treasuries. The December agreement on an expansionary U.S. fiscal package also boosted sentiment, leading markets to reach near-term highs in risky asset valuations.

Detractors from Performance

Security selection of U.S. real estate investments detracted from relative performance. Holdings of real estate investment trusts Parkway Properties, the timing of the fund’s ownership in shares of Host Hotels & Resorts, and an underweight allocation to strong-performing Equity Residential hurt relative performance over the reporting period.

3

Management Review – continued

Security selection in Austria also held back relative results. Holdings of retail property investment company Atrium European Real Estate (b) (Austria) was among the fund’s top detractors.

Elsewhere, holdings of CapitaLand (Singapore), SEGRO PLC (United Kingdom), Stockland (Australia), and Nippon Building Fund (Japan) dampened relative returns as these securities underperformed the benchmark. Not owning strong-performing Hongkong Land (Hong Kong) also weighed on relative performance.

The fund’s cash position, which the fund maintained for purposes of liquidity, was another detractor within the up-market environment that occurred during the reporting period.

During the reporting period, the fund’s currency exposure, resulting primarily from holdings of foreign denominated securities, was a detractor from relative performance. All of MFS’ investment decisions are driven by the fundamentals of each individual opportunity and as such, it is common for our portfolios to have different currency exposure than the benchmark.

Contributors to Performance

Not owning real estate investments in China helped relative performance as several Chinese real estate firms, all of which were held in the benchmark, performed poorly over the reporting period. These included China Overseas Land & Investment, China Resources Land, and Shimao Property Holdings.

Elsewhere, holdings of specialty real estate company Weyerhaeuser (b), shopping mall operator BR Malls Participacoes (b) (Brazil), commercial real estate investor CapLease, and real estate investment trust Lexington Realty Trust (h) were among the fund’s top contributors. Not owning Sino Land (Hong Kong), Mirvac Real Estate Investment (Australia), and Capitamalls Asia (Singapore) also helped relative results as these benchmark constituents underperformed during the period.

Respectfully,

Richard Gable	Thomas Pedulla	Leo Saraceno
Portfolio Manager	Portfolio Manager	Portfolio Manager

(b) Security is not a benchmark constituent.

(h) Security was not held in the portfolio at period end.

The views expressed in this report are those of the portfolio managers only through the end of the period of the report as stated on the cover and do not necessarily reflect the views of MFS or any other person in the MFS organization. These views are subject to change at any time based on market or other conditions, and MFS disclaims any responsibility to update such views. These views may not be relied upon as investment advice or an indication of trading intent on behalf of any MFS portfolio. References to specific securities are not recommendations of such securities, and may not be representative of any MFS portfolio’s current or future investments.

4

PERFORMANCE SUMMARY THROUGH 2/28/11

The following chart illustrates a representative class of the fund’s historical performance in comparison to its benchmark(s). Performance results include the deduction of the maximum applicable sales charge and reflect the percentage change in net asset value, including reinvestment of dividends and capital gains distributions. The performance of other share classes will be greater than or less than that of the class depicted below. Benchmarks are unmanaged and may not be invested in directly. Benchmark returns do not reflect sales charges, commissions or expenses. (See Notes to Performance Summary.)

Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value fluctuate so your shares, when sold, may be worth more or less than the original cost; current performance may be lower or higher than quoted. The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on fund distributions or the redemption of fund shares.

Growth of a Hypothetical $10,000 Investment (t)

5

Performance Summary – continued

Total Returns through 2/28/11

Average annual without sales charge

	Share class	Class inception date	1-yr	Life (t)
	A	3/11/09	23.61%	54.68%
	I	3/11/09	23.89%	55.04%
Comparative benchmark
	FTSE EPRA/NAREIT Developed Real Estate Index (f)		29.26%	58.97%
Average annual with sales charge
	A With Initial Sales Charge (5.75%)		16.51%	50.10%

Class I shares do not have a sales charge.

(f) Source: FactSet Research Systems Inc.

(t) For the period from the commencement of the class’ inception date through the stated period end.

Benchmark Definition

FTSE EPRA/NAREIT Developed Real Estate Index (formerly FTSE EPRA/NAREIT Global Real Estate Index) – measures the performance of eligible real estate equities worldwide that generate a majority of their revenue and income through the ownership, disposure and development of income-producing real estate.

It is not possible to invest directly in an index.

Notes to Performance Summary

Average annual total return represents the average annual change in value for each share class for the periods presented. Life returns are presented where the share class has less than 10 years of performance history and represent the average annual total return from the class inception date to the stated period end date.

Performance results reflect any applicable expense subsidies and waivers in effect during the periods shown. Without such subsidies and waivers the fund’s performance results would be less favorable. Please see the prospectus and financial statements for complete details.

From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower.

6

EXPENSE TABLE

Fund expenses borne by the shareholders during the period,

September 1, 2010 through February 28, 2011

As a shareholder of the fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on certain purchase or redemption payments, and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period September 1, 2010 through February 28, 2011.

Actual Expenses

The first line for each share class in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line for each share class in the following table provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line for each share class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

7

Expense Table – continued

Share Class		Annualized Expense Ratio		Beginning Account Value 9/01/10		Ending Account Value 2/28/11		Expenses Paid During Period (p) 9/01/10-2/28/11
A	Actual		1.25%		$1,000.00		$1,180.85		$6.76
	Hypothetical (h)		1.25%		$1,000.00		$1,018.60		$6.26
I	Actual		1.00%		$1,000.00		$1,182.18		$5.41
	Hypothetical (h)		1.00%		$1,000.00		$1,019.84		$5.01

(h) 5% class return per year before expenses.

(p) Expenses paid is equal to each class’ annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by the number of days in the period, divided by the number of days in the year. Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher.

8

PORTFOLIO OF INVESTMENTS

2/28/11

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

Common Stocks - 97.5%
Issuer	Shares/Par		Value ($)
Forest & Paper Products - 2.8%
Weyerhaeuser Co.		250,183	$	6,106,967
Real Estate - 94.7%
Alexandria Real Estate Equities, Inc., REIT		21,095	$	1,691,819
Associated Estates Realty Corp., REIT		32,543		528,824
Atrium European Real Estate Ltd.		934,542		5,991,580
Beni Stabili S.p.A. (a)		2,027,913		2,079,225
Big Yellow Group PLC, REIT		282,679		1,484,304
BioMed Realty Trust, Inc., REIT		213,445		3,874,027
Boston Properties, Inc., REIT		25,401		2,436,464
BR Malls Participacoes S.A.		573,196		5,460,486
British Land Co. PLC, REIT		242,626		2,301,468
Capital & Counties Properties PLC		699,452		1,701,047
CapitaLand Ltd.		1,792,213		4,601,691
CapLease, Inc., REIT		29,553		158,700
CFS Retail Property Trust, REIT		2,077,035		3,982,635
Corio N.V., REIT		58,904		3,906,130
Cousins Properties, Inc., REIT		231,855		1,966,130
Digital Realty Trust, Inc., REIT		66,202		3,894,002
Douglas Emmett, Inc., REIT		81,718		1,532,213
Duke Realty Corp., REIT		108,275		1,523,429
DuPont Fabros Technology, Inc., REIT		118,997		2,905,907
Entertainment Properties Trust, REIT		72,986		3,479,243
Equity Lifestyle Properties, Inc., REIT		54,595		3,168,694
Equity Residential, REIT		24,345		1,341,653
Federal Realty Investment Trust, REIT		13,939		1,173,385
Global Logistic Properties Ltd. (a)		1,474,325		2,209,090
Hammerson PLC, REIT		145,925		1,105,695
Hang Lung Properties Ltd.		742,013		3,163,178
HCP, Inc., REIT		29,212		1,110,056
Henderson Land Development Co. Ltd.		416,953		2,649,807
Home Properties, Inc., REIT		59,364		3,497,727
Host Hotels & Resorts, Inc., REIT		55,646		1,023,886
Japan Retail Fund Investment Corp., REIT		725		1,246,381
Kimco Realty Corp., REIT		99,707		1,932,322
Klepierre, REIT		78,432		3,059,184
Land Securities Group PLC		207,101		2,580,602
Link, REIT		1,700,101		5,243,795

9

Portfolio of Investments – continued

Issuer	Shares/Par		Value ($)
Common Stocks - continued
Real Estate - continued
Mack-Cali Realty Corp., REIT		52,536	$	1,783,072
Macquarie Goodman Group, REIT		3,468,026		2,483,115
Medical Properties Trust, Inc., REIT		421,985		4,949,883
Mercialys		47,060		1,789,434
Mid-America Apartment Communities, Inc., REIT		56,354		3,661,319
Mitsubishi Estate Co. Ltd.		296,412		6,068,630
Mitsui Fudosan Co. Ltd.		280,979		5,981,820
Nationwide Health Properties, Inc., REIT		26,335		1,125,558
New World Development Group		985,366		1,779,706
Nippon Building Fund, Inc., REIT		212		2,224,496
NTT Urban Development Corp.		2,738		2,852,938
Parkway Properties, Inc., REIT		198,915		3,224,412
Plum Creek Timber Co. Inc., REIT		52,790		2,215,068
ProLogis, REIT		57,787		939,617
PSP Swiss Property AG		17,611		1,404,558
Public Storage, Inc., REIT		40,961		4,597,872
Ramco-Gershenson Properties Trust, REIT		163,976		2,215,316
SEGRO PLC, REIT		1,316,524		6,891,462
Simon Property Group, Inc., REIT		81,574		8,976,403
SL Green Realty Corp., REIT		16,612		1,258,027
Starwood Property Trust, Inc., REIT		134,438		3,144,505
Stockland, IEU		1,474,270		5,718,779
Sun Hung Kai Properties Ltd.		601,951		9,741,550
Tanger Factory Outlet Centers, Inc., REIT		59,804		1,593,777
Taubman Centers, Inc., REIT		39,729		2,204,165
Tokyo Tatemono Co. Ltd.		578,694		2,727,897
Unibail-Rodamco		24,526		4,931,166
Ventas, Inc., REIT		39,631		2,196,350
Vornado Realty Trust, REIT		52,309		4,881,999
Westfield Group, REIT		614,459		6,121,039
Westfield Retail Trust, REIT		603,303		1,643,569
Wharf Holdings Ltd.		534,116		3,501,107
			$	204,833,388
Total Common Stocks (Identified Cost, $146,351,896)			$	210,940,355

	Strike Price		First Exercise
Rights - 0.0%
Real Estate - 0.0%
Wharf Holdings Ltd. (1 share for 1 right) (Identified Cost, $0) (a)	HKD	36.5		3/18/11	53,411	$	100,471

10

Portfolio of Investments – continued

Money Market Funds (v) - 2.1%
Issuer	Shares/Par		Value ($)
MFS Institutional Money Market Portfolio, 0.2%, at Cost and Net Asset Value		4,515,376	$	4,515,376
Total Investments (Identified Cost, $150,867,272)			$	215,556,202
Other Assets, Less Liabilities - 0.4%				762,124
Net Assets - 100.0%			$	216,318,326

(a) Non-income producing security.

(v) Underlying affiliated fund that is available only to investment companies managed by MFS. The rate quoted is the annualized seven-day yield of the fund at period end.

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

IEU International Equity Unit

PLC Public Limited Company

REIT Real Estate Investment Trust

See Notes to Financial Statements

11

Financial Statements

STATEMENT OF ASSETS AND LIABILITIES

At 2/28/11

This statement represents your fund’s balance sheet, which details the assets and liabilities comprising the total value of the fund.

Assets
Investments-
Non-affiliated issuers, at value (identified cost, $146,351,896)	$211,040,826
Underlying affiliated funds, at cost and value	4,515,376
Total investments, at value (identified cost, $150,867,272)	$215,556,202
Foreign currency, at value (identified cost, $530,587)	534,577
Receivables for
Fund shares sold	105,870
Interest and dividends	222,780
Other assets	2,040
Total assets	$216,421,469
Liabilities
Payable for fund shares reacquired	$2,153
Payable to affiliates
Investment adviser	21,172
Shareholder servicing costs	24
Distribution and service fees	6
Payable for independent Trustees’ compensation	787
Accrued expenses and other liabilities	79,001
Total liabilities	$103,143
Net assets	$216,318,326
Net assets consist of
Paid-in capital	$158,963,686
Unrealized appreciation (depreciation) on investments and translation of assets and liabilities in foreign currencies	64,694,078
Accumulated distributions in excess of net realized gain on investments and foreign currency transactions	(8,431,302	)
Undistributed net investment income	1,091,864
Net assets	$216,318,326
Shares of beneficial interest outstanding	14,840,666

	Net assets		Shares outstanding		Net asset value per share (a)
Class A		$236,332		16,225		$14.57
Class I		216,081,994		14,824,441		14.58

(a) Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $15.46 [100 / 94.25 x $14.57]. On sales of $50,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A shares. Redemption price per share was equal to the net asset value per share for Class I.

See Notes to Financial Statements

12

Financial Statements

STATEMENT OF OPERATIONS

Year ended 2/28/11

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
Income
Dividends	$9,033,178
Dividends from underlying affiliated funds	6,183
Foreign taxes withheld	(148,338	)
Total investment income	$8,891,023
Expenses
Management fee	$1,677,053
Distribution and service fees	522
Shareholder servicing costs	185
Administrative services fee	35,733
Independent Trustees’ compensation	6,223
Custodian fee	67,023
Shareholder communications	6,443
Auditing fees	51,379
Legal fees	3,213
Miscellaneous	25,125
Total expenses	$1,872,899
Fees paid indirectly	(7	)
Reduction of expenses by investment adviser	(864	)
Net expenses	$1,872,028
Net investment income	$7,018,995
Realized and unrealized gain (loss) on investments and foreign currency transactions
Realized gain (loss) (identified cost basis)
Investment transactions	$14,785,897
Foreign currency transactions	3,678
Net realized gain (loss) on investments and foreign currency transactions	$14,789,575
Change in unrealized appreciation (depreciation)
Investments	$19,304,302
Translation of assets and liabilities in foreign currencies	(2,874	)
Net unrealized gain (loss) on investments and foreign currency translation	$19,301,428
Net realized and unrealized gain (loss) on investments and foreign currency	$34,091,003
Change in net assets from operations	$41,109,998

See Notes to Financial Statements

13

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.

	Years ended 2/28
	2011			2010 (c)
Change in net assets
From operations
Net investment income		$7,018,995			$4,759,522
Net realized gain (loss) on investments and foreign currency transactions		14,789,575			41,578,017
Net unrealized gain (loss) on investments and foreign currency translation		19,301,428			45,392,650
Change in net assets from operations		$41,109,998			$91,730,189
Distributions declared to shareholders
From net investment income		$(10,363,080	)		$(17,316,456	)
From net realized gain on investments		(20,475,685	)		(26,270,995	)
Total distributions declared to shareholders		$(30,838,765	)		$(43,587,451	)
Change in net assets from fund share transactions		$41,508,984			$116,395,371
Total change in net assets		$51,780,217			$164,538,109
Net assets
At beginning of period		164,538,109			—
At end of period (including undistributed net investment income of $1,091,864 and $190,741, respectively)		$216,318,326			$164,538,109

(c) For the period from the commencement of the fund’s investment operations, March 11, 2009 through the stated period end.

See Notes to Financial Statements

14

Financial Statements

FINANCIAL HIGHLIGHTS

The financial highlights table is intended to help you understand the fund’s financial performance for the past 5 years (or life of a particular share class, if shorter). Certain information reflects financial results for a single fund share. The total returns in the table represent the rate by which 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.

Class A	Year ended 2/28/11			Period ended 2/28/10 (c)
Net asset value, beginning of period		$14.02			$10.00
Income (loss) from investment operations
Net investment income (d)		$0.49			$0.42
Net realized and unrealized gain (loss) on investments and foreign currency		2.46			8.68
Total from investment operations		$2.95			$9.10
Less distributions declared to shareholders
From net investment income		$(0.77	)		$(2.00	)
From net realized gain on investments		(1.63	)		(3.08	)
Total distributions declared to shareholders		$(2.40	)		$(5.08	)
Net asset value, end of period		$14.57			$14.02
Total return (%) (r)(s)(t)		23.61			91.24	(n)
Ratios (%) (to average net assets) and Supplemental data:
Expenses before expense reductions (f)		1.25			1.28	(a)
Expenses after expense reductions (f)		1.25			1.28	(a)
Net investment income		3.45			2.89	(a)
Portfolio turnover		33			91
Net assets at end of period (000 omitted)		$236			$191

See Notes to Financial Statements

15

Financial Highlights – continued

Class I	Year ended 2/28/11			Period ended 2/28/10 (c)
Net asset value, beginning of period		$14.03			$10.00
Income (loss) from investment operations
Net investment income (d)		$0.54			$0.47
Net realized and unrealized gain (loss) on investments and foreign currency		2.45			8.67
Total from investment operations		$2.99			$9.14
Less distributions declared to shareholders
From net investment income		$(0.81	)		$(2.03	)
From net realized gain on investments		(1.63	)		(3.08	)
Total distributions declared to shareholders		$(2.44	)		$(5.11	)
Net asset value, end of period		$14.58			$14.03
Total return (%) (r)(s)		23.89			91.71	(n)
Ratios (%) (to average net assets) and Supplemental data:
Expenses before expense reductions (f)		1.00			1.03	(a)
Expenses after expense reductions (f)		1.00			1.03	(a)
Net investment income		3.77			3.22	(a)
Portfolio turnover		33			91
Net assets at end of period (000 omitted)		$216,082			$164,347

(a) Annualized.

(c) For the period from the commencement of the fund’s investment operations, March 11, 2009, through the stated period end.

(d) Per share data is based on average shares outstanding.

(f) Ratios do not reflect reductions from fees paid indirectly, if applicable.

(n) Not annualized.

(r) Certain expenses have been reduced without which performance would have been lower.

(s) From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower.

(t) Total returns do not include any applicable sales charges.

See Notes to Financial Statements

16

NOTES TO FINANCIAL STATEMENTS

(1) Business and Organization

MFS Global Real Estate Fund (the fund) is a series of MFS Series Trust XIII (the trust). The trust is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.

(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 revenues and expenses 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 a significant amount of its net assets in U.S. and foreign real estate related investments and as a result include certain risks associated with the direct ownership of real estate and the real estate industry in general. These include risks related to general, regional and local economic conditions; fluctuations in interest rates; property tax rates, zoning laws, environmental regulations and other governmental action; cash flow dependency; increased operating expenses; lack of availability of mortgage funds; losses due to natural disasters; changes in property values and rental rates; and other factors. The fund invests in foreign securities, including securities of emerging market issuers. 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 legal, political, and economic environment. The markets of emerging markets countries are generally more volatile than the markets of developed countries with more mature economies. All of the risks of investing in foreign securities previously described are heightened when investing in emerging markets countries.

Investment Valuations – Equity securities, including restricted equity securities, are generally valued at the last sale or official closing price as provided by a third-party pricing service on the market or exchange on which they are primarily traded. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation as provided by a third-party pricing service on the market or exchange on which such securities are primarily traded. Equity securities held short, for which there were no sales reported for that day, are generally valued at the last

17

Notes to Financial Statements – continued

quoted daily ask quotation as provided by a third-party pricing service on the market or exchange on which such securities are primarily traded. Short-term instruments with a maturity at issuance of 60 days or less generally are valued at amortized cost, which approximates market value. Open-end investment companies are generally valued at net asset value per share. 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. Values obtained from 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 effected 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. Events that occur on a frequent basis 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

18

Notes to Financial Statements – continued

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). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. The following is a summary of the levels used as of February 28, 2011 in valuing the fund’s assets or liabilities:

Investments at Value	Level 1		Level 2		Level 3		Total
Equity Securities:
United States		$92,312,791		$—		$—		$92,312,791
Hong Kong		6,664,285		19,515,329		—		26,179,614
Japan		—		21,102,162		—		21,102,162
Australia		—		19,949,137		—		19,949,137
United Kingdom		16,064,578		—		—		16,064,578
France		9,779,784		—		—		9,779,784
Singapore		—		6,810,781		—		6,810,781
Austria		5,991,580		—		—		5,991,580
Brazil		5,460,486		—		—		5,460,486
Other Countries		7,389,913		—		—		7,389,913
Mutual Funds		4,515,376		—		—		4,515,376
Total Investments		$148,178,793		$67,377,409		$—		$215,556,202

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

Of the level 2 investments presented above, equity investments amounting to $52,167,551 would have been considered level 1 investments at the beginning of the period. The primary reason for changes in the classifications between levels 1 and 2 occurs when foreign equity securities are fair valued using other

19

Notes to Financial Statements – continued

observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded. The fund’s foreign equity securities may often be valued at fair value.

Foreign Currency Translation – Purchases and sales of foreign investments, income, and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions or on the reporting date for foreign denominated receivables and payables. Gains and losses attributable to foreign currency exchange rates on sales of securities are recorded for financial statement purposes as net realized gains and losses on investments. Gains and losses attributable to foreign exchange rate movements on receivables, payables, income and expenses are recorded for financial statement purposes as foreign currency transaction gains and losses. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.

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. 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.

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.

Fees Paid Indirectly – The fund’s custody fee may be reduced according to an arrangement that measures the value of cash deposited with the custodian by the fund. This amount, for the year ended February 28, 2011, is shown as a reduction of total expenses on the Statement of Operations.

20

Notes to Financial Statements – continued

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 since the inception of the fund remains subject to examination by the Internal Revenue Service. Foreign taxes, if any, have been accrued by the fund in the accompanying financial statements.

Distributions to shareholders are recorded on the ex-dividend date. 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. Distributions in excess of net investment income or net realized gains are temporary overdistributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

Book/tax differences primarily relate to passive foreign investment company adjustments, wash sale loss deferrals, and treating a portion of the proceeds from redemptions as a distribution for tax purposes.

The tax character of distributions declared to shareholders for the period ended February 28, 2011 is as follows:

	2/28/11		2/28/10
Ordinary income (including any short-term capital gains)		$26,689,299		$43,587,451
Long-term capital gain		4,149,466		—
Total distributions		$30,838,765		$43,587,451

The federal tax cost and the tax basis components of distributable earnings were as follows:

As of 2/28/11
Cost of investments	$161,965,186
Gross appreciation	54,960,245
Gross depreciation	(1,369,229	)
Net unrealized appreciation (depreciation)	$53,591,016
Undistributed ordinary income	1,516,372
Undistributed long-term capital gain	2,249,234
Other temporary differences	(1,982	)

21

Notes to Financial Statements – continued

Multiple Classes of Shares of Beneficial Interest – The fund offers multiple classes of shares, which differ in their respective distribution and service fees. The fund’s income, realized and unrealized gain (loss), and common expenses are allocated to shareholders based on the daily net assets of each class. Dividends are declared separately for each class. Differences in per share dividend rates are generally due to differences in separate class expenses. The fund’s distributions declared to shareholders as reported on the Statements of Changes in Net Assets are presented by class as follows:

	From net investment income				From net realized gain on investments
	Year ended 2/28/11		Period ended 2/28/10 (c)		Year ended 2/28/11		Period ended 2/28/10 (c)
Class A		$11,221		$19,954		$22,957		$30,762
Class I		10,351,859		17,296,502		20,452,728		26,240,233
Total		$10,363,080		$17,316,456		$20,475,685		$26,270,995

(c) For the period from the commencement of the fund’s investment operations, March 11, 2009, through the stated period end.

(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 the following annual rates:

First $1 billion of average daily net assets	0.90	%
Next $1.5 billion of average daily net assets	0.75	%
Average daily net assets in excess of $2.5 billion	0.65	%

The management fee incurred for the year ended February 28, 2011 was equivalent to an annual effective rate of 0.90% of the fund’s average daily net assets.

The adviser and the fund have retained Sun Capital Advisers LLC, referred to as Sun Capital or the sub-adviser, as a sub-adviser to the fund. MFS pays a sub-advisory fee to Sun Capital at the following rates:

First $1 billion of average daily net assets	0.40	%
Next $1.5 billion of average daily net assets	0.33	%
Average daily net assets in excess of $2.5 billion	0.29	%

The fund is not responsible for paying the sub-advisory fee. At a meeting held on April 12, 2011, the fund’s Board of Trustees approved the termination of the sub-advisory agreement with Sun Capital effective on or about May 1, 2011.

Distributor – MFS Fund Distributors, Inc. (MFD), a wholly-owned subsidiary of MFS, as distributor, received $0 for the year ended February 28, 2011, as its portion of the initial sales charge on sales of Class A shares of the fund.

The Board of Trustees has adopted a distribution plan for certain class shares pursuant to Rule 12b-1 of the Investment Company Act of 1940.

22

Notes to Financial Statements – continued

The fund’s distribution plan provides that the fund will pay MFD for services provided by MFD and financial intermediaries in connection with the distribution and servicing of certain share classes. One component of the plan is a distribution fee paid to MFD and another component of the plan is a service fee paid to MFD. MFD may subsequently pay all, or a portion, of the distribution and/or service fees to financial intermediaries.

Distribution Plan Fee Table:

	Distribution Fee Rate (d)		Service Fee Rate (d)		Total Distribution Plan (d)		Annual Effective Rate (e)		Distribution and Service Fee
Class A		—		0.25%		0.25%		0.25%		$522

(d) In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’ average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below.

(e) The annual effective rates represent actual fees incurred under the distribution plan for the year ended February 28, 2011 based on each class’ average daily net assets.

Certain Class A shares are subject to a contingent deferred sales charge (CDSC) in the event of a shareholder redemption within 24 months of purchase. All contingent deferred sales charges are paid to MFD. There were no contingent deferred sales charges imposed during the year ended February 28, 2011.

Shareholder Servicing Agent – MFS Service Center, Inc. (MFSC), a wholly-owned subsidiary of MFS, provides transfer agent and recordkeeping functions in connection with the issuance, transfer, and redemption of shares of the fund under a Shareholder Servicing Agent Agreement. MFSC is not paid a fee for providing these services. MFSC receives payment from the fund for out-of-pocket expenses paid by MFSC on behalf of the fund. For the year ended February 28, 2011, these costs amounted to $185. The fund may also pay shareholder servicing related costs to non-related parties.

Administrator – MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund. Under an administrative services agreement, the fund partially 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 year ended February 28, 2011 was equivalent to an annual effective rate of 0.0192% 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 for their services

23

Notes to Financial Statements – continued

to the fund from MFS. Certain officers and Trustees of the fund are officers or directors of MFS, MFD, and MFSC.

Other – This fund and certain other funds managed by MFS (the funds) have entered into services agreements (the Agreements) which provide for payment of fees by the funds to Tarantino LLC and Griffin Compliance LLC in return for the provision of services of an Independent Chief Compliance Officer (ICCO) and Assistant ICCO, respectively, for the funds. The ICCO and Assistant ICCO are officers of the funds and the sole members of Tarantino LLC and Griffin Compliance LLC, respectively. The funds can terminate the Agreements with Tarantino LLC and Griffin Compliance LLC at any time under the terms of the Agreements. For the year ended February 28, 2011, the aggregate fees paid by the fund to Tarantino LLC and Griffin Compliance LLC were $1,741 and are included in miscellaneous expense on the Statement of Operations. MFS has agreed to reimburse the fund for a portion of the payments made by the fund in the amount of $864, which is shown as a reduction of total expenses in the Statement of Operations. Additionally, MFS has agreed to bear all expenses associated with office space, other administrative support, and supplies provided to the ICCO and Assistant ICCO.

The fund invests in the MFS Institutional Money Market Portfolio which is managed by MFS and seeks a high level of current income consistent with preservation of capital and liquidity. Income earned on this investment is included in dividends from underlying affiliated funds on the Statement of Operations. This money market fund does not pay a management fee to MFS.

On March 11, 2009, MFS purchased 10,000 shares of Class A for an amount of $100,000. At February 28, 2011, MFS was the sole shareholder of the class.

(4) Portfolio Securities

Purchases and sales of investments, other than U.S. Government securities, purchased option transactions, and short-term obligations, aggregated $79,381,511 and $60,654,930, 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. Transactions in fund shares were as follows:

	Year ended 2/28/11				Period ended 2/28/10 (c)
	Shares		Amount		Shares		Amount
Shares sold
Class A		—		$—		10,000		$100,000
Class I		2,192,094		30,476,722		12,642,755		130,025,125
		2,192,094		$30,476,722		12,652,755		$130,125,125

24

Notes to Financial Statements – continued

	Year ended 2/28/11						Period ended 2/28/10 (c)
	Shares			Amount			Shares			Amount
Shares issued to shareholders in reinvestment of distributions
Class A		2,584			$34,178			3,641			$50,716
Class I		2,327,776			30,804,587			3,125,394			43,536,735
		2,330,360			$30,838,765			3,129,035			$43,587,451
Shares reacquired
Class I		(1,412,034	)		$(19,806,503	)		(4,051,544	)		$(57,317,205	)
Net change
Class A		2,584			$34,178			13,641			$150,716
Class I		3,107,836			41,474,806			11,716,605			116,244,655
		3,110,420			$41,508,984			11,730,246			$116,395,371

(c) For the period from the commencement of the fund’s investment operations, March 11, 2009, through the stated period end.

Class A, Class B, Class C, Class R1, Class R2, Class R3, and Class R4 shares were not publicly available for sale during the period. During the period, the fund’s Class I shares were available for sale only to funds distributed by MFD that invest primarily in shares of other MFS funds (“MFS fund-of-funds”). Please see the fund’s prospectus for details.

The fund is one of several mutual funds in which the MFS funds-of-funds may invest. The MFS funds-of-funds do not invest in the underlying MFS funds for the purpose of exercising management or control. At the end of the period, the MFS Growth Allocation Fund, MFS Aggressive Growth Allocation Fund, MFS Moderate Allocation Fund, MFS Conservative Allocation Fund, MFS Lifetime 2030 Fund, MFS Lifetime 2040 Fund, and MFS Lifetime 2020 Fund were the owners of record of approximately 38%, 27%, 24%, 6%, 2%, 1% and 1% respectively, of the value of outstanding voting shares of the fund. In addition, the MFS Lifetime 2050 Fund, MFS Lifetime 2010 Fund, and MFS Lifetime Retirement Income Fund were each the owners of record of less than 1% of the value of outstanding voting shares of the fund.

(6) Line of Credit

The fund and certain other funds managed by MFS participate in a $1.1 billion unsecured committed line of credit, subject to a $1 billion sublimit, provided by a syndication 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 higher of the Federal Reserve funds rate or one month LIBOR 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 at the end of each calendar quarter. In addition, the fund and other funds managed by MFS have established

25

Notes to Financial Statements – continued

unsecured uncommitted borrowing arrangements with certain banks for temporary financing needs. Interest is charged to each fund, based on its borrowings, at a rate equal to the Federal Reserve funds rate plus an agreed upon spread. For the year ended February 28, 2011, the fund’s commitment fee and interest expense were $1,948 and $0, respectively, and are included in miscellaneous expense on the Statement of Operations.

(7) Transactions in Underlying Affiliated Funds-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:

Underlying Affiliated Funds	Beginning Shares/Par Amount		Acquisitions Shares/Par Amount		Dispositions Shares/Par Amount			Ending Shares/Par Amount
MFS Institutional Money Market Portfolio		4,900,846		55,421,942		(55,807,412	)		4,515,376
Underlying Affiliated Funds	Realized Gain (Loss)		Capital Gain Distributions		Dividend Income			Ending Value
MFS Institutional Money Market Portfolio		$—		$—		$6,183			$4,515,376

26

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Trustees and Shareholders of

MFS Global Real Estate Fund:

We have audited the accompanying statement of assets and liabilities of MFS Global Real Estate Fund (the Fund), including the portfolio of investments, as of February 28, 2011, the related statement of operations for the year then ended, and the statement of changes in net assets and the financial highlights for the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit.

We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of February 28, 2011, by correspondence with the Fund’s custodian. We believe that our audit provides a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of MFS Global Real Estate Fund at February 28, 2011, the results of its operations for the year then ended, and the changes in its net assets and its financial highlights for the periods indicated therein, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts

April 15, 2011

27

TRUSTEES AND OFFICERS — IDENTIFICATION AND BACKGROUND

The Trustees and officers of the Trust, as of April 1, 2011, are listed below, together with their principal occupations during the past five years. (Their titles may have varied during that period.) The address of each Trustee and officer is 500 Boylston Street, Boston, Massachusetts 02116.

Name, Date of Birth	Position(s) Held with Fund	Trustee/Officer Since (h)	Principal Occupations During the Past Five Years & Other Directorships  (j)
INTERESTED TRUSTEES
Robert J. Manning (k) (born 10/20/63)	Trustee	February 2004	Massachusetts Financial Services Company, Chairman, Chief Executive Officer and Director; President (until December 2009); Chief Investment Officer (until July 2010)
Robert C. Pozen (k) (born 8/08/46)	Trustee	February 2004	Massachusetts Financial Services Company, Chairman Emeritus; Chairman (until July 2010); Medtronic, Inc, (medical devices), Director (since 2004); Harvard Business School (education), Senior Lecturer (since 2008); The Neilsen Company (market research), Director (since 2010); Telesat (satellite communications), Director (until November 2007); Bell Canada Enterprises (telecommunications), Director (until February 2009)
INDEPENDENT TRUSTEES
David H. Gunning (born 5/30/42)	Trustee and Chair of Trustees	January 2004	Retired; Lincoln Electric Holdings, Inc. (welding equipment manufacturer), Director; Development Alternatives, Inc. (consulting), Director/Non-Executive Chairman; Cleveland-Cliffs Inc. (mining products and service provider), Vice Chairman/Director (until May 2007); Portman Limited (mining), Director (until 2008)
Robert E. Butler (born 11/29/41)	Trustee	January 2006	Consultant – investment company industry regulatory and compliance matters; PricewaterhouseCoopers LLP (professional services firm), Partner (until 2002)

28

Trustees and Officers – continued

Name, Date of Birth	Position(s) Held with Fund	Trustee/Officer Since (h)	Principal Occupations During the Past Five Years & Other Directorships (j)
Maureen R. Goldfarb (born 4/06/55)	Trustee	January 2009	Private investor; John Hancock Financial Services, Inc., Executive Vice President (until 2004); John Hancock Mutual Funds, Trustee and Chief Executive Officer (until 2004)
William R. Gutow (born 9/27/41)	Trustee	December 1993	Private investor and real estate consultant; Capital Entertainment Management Company (video franchise), Vice Chairman; Atlantic Coast Tan (tanning salons), Vice Chairman (until 2007); Texas Donuts (donut franchise), Vice Chairman (until 2010)
Michael Hegarty (born 12/21/44)	Trustee	December 2004	Private investor; AXA Financial (financial services and insurance), Vice Chairman and Chief Operating Officer (until 2001); The Equitable Life Assurance Society (insurance), President and Chief Operating Officer (until 2001)
John P. Kavanaugh (born 11/04/54)	Trustee	January 2009	Private investor; The Hanover Insurance Group, Inc., Vice President and Chief Investment Officer (until 2006); Allmerica Investment Trust, Allmerica Securities Trust and Opus Investment Trust (investment companies), Chairman, President and Trustee (until 2006)
J. Dale Sherratt (born 9/23/38)	Trustee	June 1989	Insight Resources, Inc. (acquisition planning specialists), President; Wellfleet Investments (investor in health care companies), Managing General Partner
Laurie J. Thomsen (born 8/05/57)	Trustee	March 2005	Private investor; The Travelers Companies (property and casualty insurance), Director; New Profit, Inc. (venture philanthropy), Executive Partner (until 2010)

29

Trustees and Officers – continued

Name, Date of Birth	Position(s) Held with Fund	Trustee/Officer Since (h)	Principal Occupations During the Past Five Years & Other Directorships (j)
Robert W. Uek (born 5/18/41)	Trustee	January 2006	Consultant to investment company industry; PricewaterhouseCoopers LLP (professional services firm), Partner (until 1999)
OFFICERS
Maria F. DiOrioDwyer (k) (born 12/01/58)	President	March 2004	Massachusetts Financial Services Company, Executive Vice President and Chief Regulatory Officer (since March 2004) Chief Compliance Officer (since December 2006)
Christopher R. Bohane (k) (born 1/18/74)	Assistant Secretary and Assistant Clerk	July 2005	Massachusetts Financial Services Company, Vice President and Senior Counsel
John M. Corcoran (k) (born 4/13/65)	Treasurer	October 2008	Massachusetts Financial Services Company, Senior Vice President (since October 2008); State Street Bank and Trust (financial services provider), Senior Vice President, (until September 2008)
Ethan D. Corey (k) (born 11/21/63)	Assistant Secretary and Assistant Clerk	July 2005	Massachusetts Financial Services Company, Senior Vice President and Associate General Counsel
David L. DiLorenzo (k) (born 8/10/68)	Assistant Treasurer	July 2005	Massachusetts Financial Services Company, Vice President
Timothy M. Fagan (k) (born 7/10/68)	Assistant Secretary and Assistant Clerk	September 2005	Massachusetts Financial Services Company, Vice President and Senior Counsel
Robyn L. Griffin (born 7/04/75)	Assistant Independent Chief Compliance Officer	August 2008	Griffin Compliance LLC (provider of compliance services), Principal (since August 2008); State Street Corporation (financial services provider), Mutual Fund Administration Assistant Vice President (October 2006 – July 2008); Liberty Mutual Group (insurance), Personal Market Assistant Controller (April 2006 – October 2006); Deloitte & Touche LLP (professional services firm), Senior Manager (prior to April 2006)

30

Trustees and Officers – continued

Name, Date of Birth	Position(s) Held with Fund	Trustee/Officer Since (h)	Principal Occupations During the Past Five Years & Other Directorships (j)
Brian E. Langenfeld (k) (born 3/07/73)	Assistant Secretary and Assistant Clerk	June 2006	Massachusetts Financial Services Company, Vice President and Senior Counsel (since May 2006); John Hancock Advisers, LLC, Assistant Vice President and Counsel (until April 2006)
Ellen Moynihan (k) (born 11/13/57)	Assistant Treasurer	April 1997	Massachusetts Financial Services Company, Senior Vice President
Susan S. Newton (k) (born 3/07/50)	Assistant Secretary and Assistant Clerk	May 2005	Massachusetts Financial Services Company, Senior Vice President and Associate General Counsel
Susan A. Pereira (k) (born 11/05/70)	Assistant Secretary and Assistant Clerk	July 2005	Massachusetts Financial Services Company, Vice President and Senior Counsel
Mark N. Polebaum (k) (born 5/01/52)	Secretary and Clerk	January 2006	Massachusetts Financial Services Company, Executive Vice President, General Counsel and Secretary (since January 2006); Wilmer Cutler Pickering Hale and Dorr LLP (law firm), Partner (until January 2006)
Frank L. Tarantino (born 3/07/44)	Independent Chief Compliance Officer	June 2004	Tarantino LLC (provider of compliance services), Principal
Richard S. Weitzel (k) (born 7/16/70)	Assistant Secretary and Assistant Clerk	October 2007	Massachusetts Financial Services Company, Vice President and Assistant General Counsel
James O. Yost (k) (born 6/12/60)	Assistant Treasurer	September 1990	Massachusetts Financial Services Company, Senior Vice President

(h) Date first appointed to serve as Trustee/officer of an MFS fund. Each Trustee has served continuously since appointment unless indicated otherwise. For the period from December 15, 2004 until February 22, 2005, Messrs. Pozen and Manning served as Advisory Trustees. For the period March 2008 until October 2008, Ms. DiOrioDwyer served as Treasurer of the Funds.

(j) Directorships or trusteeships of companies required to report to the Securities and Exchange Commission (i.e., “public companies”).

(k) “Interested person” of the Trust within the meaning of the Investment Company Act of 1940 (referred to as the 1940 Act), which is the principal federal law governing investment companies like the fund, as a result of position with MFS. The address of MFS is 500 Boylston Street, Boston, Massachusetts 02116.

Each Trustee has been elected by shareholders and each Trustee and officer holds office until his or her successor is chosen and qualified or until his or her earlier death, resignation, retirement or removal. The Trust does not hold annual meetings for the purpose of electing Trustees, and Trustees are not

31

Trustees and Officers – continued

elected for fixed terms. Messrs. Butler, Kavanaugh, Uek and Ms. Thomsen are members of the Trust’s Audit Committee.

Each of the Fund’s Trustees and officers holds comparable positions with certain other funds of which MFS or a subsidiary is the investment adviser or distributor, and, in the case of the officers, with certain affiliates of MFS. As of January 1, 2011, the Trustees served as board members of 105 funds within the MFS Family of Funds.

The Statement of Additional Information for the Fund includes further information about the Trustees and is available without charge upon request by calling 1-800-225-2606.

Investment Adviser	Portfolio Managers
Massachusetts Financial Services Company 500 Boylston Street, Boston, MA 02116-3741 Sub-Investment Adviser Sun Capital Advisers LLC One Sun Life Executive Park, Wellesley Hills, MA 02481 Distributor MFS Fund Distributors, Inc. 500 Boylston Street, Boston, MA 02116-3741	Richard Gable Thomas Pedulla Leo Saraceno Custodian State Street Bank and Trust 1 Lincoln Street, Boston, MA 02111-2900 Independent Registered Public Accounting Firm Ernst & Young LLP 200 Clarendon Street, Boston, MA 02116

32

BOARD REVIEW OF INVESTMENT ADVISORY AGREEMENT

A discussion regarding the Board’s most recent review and renewal of the fund’s Investment Advisory Agreement with MFS is available by clicking on the fund’s name under “Mutual Funds” in the “Products and Performance” section of the MFS Web site (mfs.com).

PROXY VOTING POLICIES AND INFORMATION

A general description of the MFS funds’ proxy voting policies and procedures is available without charge, upon request, by calling
1-800-225-2606, by visiting the Proxy Voting section of mfs.com 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 without charge by visiting the Proxy Voting section of mfs.com or by visiting the SEC’s Web site at http://www.sec.gov.

QUARTERLY PORTFOLIO DISCLOSURE

The fund will file a complete schedule of portfolio holdings with the Securities and Exchange Commission (the Commission) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Form N-Q may be reviewed and copied at the:

Public Reference Room

Securities and Exchange Commission

100 F Street, NE, Room 1580

Washington, D.C. 20549

Information on the operation of the Public Reference Room may be obtained by calling the Commission at 1-800-SEC-0330. The fund’s Form N-Q is available on the EDGAR database on the Commission’s Internet Web site at http://www.sec.gov, and copies of this information may be obtained, upon payment of a duplicating fee, by electronic request at the following e-mail address: publicinfo@sec.gov or by writing the Public Reference Section at the above address.

A shareholder can also obtain the quarterly portfolio holdings report at mfs.com.

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 by visiting the “News & Commentary” section of mfs.com or by clicking on the fund’s name under “Mutual Funds” in the “Products and Performance” section of mfs.com.

33

FEDERAL TAX INFORMATION (unaudited)

The fund will notify shareholders of amounts for use in preparing 2011 income tax forms in January 2012. The following information is provided pursuant to provisions of the Internal Revenue Code.

The fund designates the maximum amount allowable as qualified dividend income eligible for the 15% tax rate.

The fund designates $5,452,000 as capital gain dividends paid during the fiscal year.

Income derived from foreign sources was $4,897,391. The fund intends to pass through foreign tax credits of $162,703 for the fiscal year.

34

rev. 3/11

FACTS WHAT DOES MFS DO WITH YOUR PERSONAL INFORMATION?

Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

What? The types of personal information we collect and share depend on the product or service you have with us. This information can include:   •Social Security number and account balances •Account transactions and transaction history •Checking account information and wire transfer instructions   When you are no longer our customer, we continue to share your information as described in this notice.

How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons MFS chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Does MFS share?	Can you limit this sharing?
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus	Yes	No
For our marketing purposes – to offer our products and services to you	No	We don’t share
For joint marketing with other financial companies	No	We don’t share
For our affiliates’ everyday business purposes – information about your transactions and experiences	No	We don’t share
For our affiliates’ everyday business purposes – information about your creditworthiness	No	We don’t share
For nonaffiliates to market to you	No	We don’t share

Questions? Call 800-225-2606 or go to mfs.com.

35

Page 2

Who we are
Who is providing this notice?	MFS Funds, MFS Investment Management, MFS Institutional Advisors, Inc., MFS Fund Distributors, Inc., MFS Heritage Trust Company, and MFS Service Center, Inc.

What we do
How does MFS protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include procedural, electronic, and physical safeguards for the protection of the personal information we collect about you.
How does MFS collect my personal information?	We collect your personal information, for example, when you •open an account or provide account information •direct us to buy securities or direct us to sell your securities •make a wire transfer We also collect your personal information from others, such as credit bureaus, affiliates and other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only •sharing for affiliates’ everyday business purposes – information about your creditworthiness •affiliates from using your information to market to you •sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing.

Definitions
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. •MFS does not share personal information with affiliates, except for everyday business purposes as described on page one of this notice.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. •MFS does not share with nonaffiliates so they can market to you.
Joint Marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. •MFS doesn’t jointly market.

Other important information

If you own an MFS product or receive an MFS service in the name of a third party such as a bank or broker-dealer, their privacy policy may apply to you instead of ours.

36

Save paper with eDelivery.

MFS^® will send you prospectuses, reports, and proxies directly via e-mail so you will get information faster with less mailbox clutter.

To sign up:

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mfs.com

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1-800-637-8255

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Account service and literature

Shareholders

1-800-225-2606

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1-800-343-2829

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1-800-637-1255

Mailing address

MFS Service Center, Inc.

P.O. Box 55824

Boston, MA 02205-5824

Overnight mail

MFS Service Center, Inc.

c/o Boston Financial Data Services

30 Dan Road

Canton, MA 02021-2809

ITEM 2. CODE OF ETHICS.

The Registrant has adopted a Code of Ethics pursuant to Section 406 of the Sarbanes-Oxley Act and as defined in Form N-CSR that applies to the Registrant’s principal executive officer and principal financial and accounting officer. During the period covered by this report, the Registrant has not amended any provision in its Code of Ethics (the “Code”) that relates to an element of the Code’s definitions enumerated in paragraph (b) of Item 2 of this Form N-CSR. During the period covered by this report, the Registrant did not grant a waiver, including an implicit waiver, from any provision of the Code.

A copy of the Code of Ethics is filed as an exhibit to this Form N-CSR.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Messrs. Robert E. Butler, John P. Kavanaugh and Robert W. Uek and Ms. Laurie J. Thomsen, members of the Audit Committee, have been determined by the Board of Trustees in their reasonable business judgment to meet the definition of “audit committee financial expert” as such term is defined in Form N-CSR. In addition, Messrs. Butler, Kavanaugh and Uek and Ms. Thomsen are “independent” members of the Audit Committee (as such term has been defined by the Securities and Exchange Commission in regulations implementing Section 407 of the Sarbanes-Oxley Act of 2002). The Securities and Exchange Commission has stated that the designation of a person as an audit committee financial expert pursuant to this Item 3 on the Form N-CSR does not impose on such a person any duties, obligations or liability that are greater than the duties, obligations or liability imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Items 4(a) through 4(d) and 4(g):

The Board of Trustees has appointed Deloitte & Touche LLP (“Deloitte”) to serve as independent accountants to certain series of the Registrant and Ernst & Young LLP (“E&Y”) to serve in the same capacity to certain other series of the Registrant (the series referred to collectively as the “Funds” and singularly as a “Fund”). The tables below set forth the audit fees billed to the Funds as well as fees for non-audit services provided to the Funds and/or to the Funds’ investment adviser, Massachusetts Financial Services Company (“MFS”), and to various entities either controlling, controlled by, or under common control with MFS that provide ongoing services to the Funds (“MFS Related Entities”).

For the fiscal years ended February 28, 2011 and February 28, 2010, respectively, audit fees billed to the Funds** by Deloitte and E&Y were as follows:

	Audit Fees
	2011		2010
Fees billed by Deloitte:
MFS Government Securities Fund		44,397		43,923
	Audit Fees
	2011		2010
Fees billed by E&Y:
MFS Diversified Income Fund		48,516		47,196
MFS Global Real Estate Fund		40,987		39,750
Total		89,503		86,946

For the fiscal years ended February 28, 2011 and February 28, 2010, respectively, fees billed by Deloitte and E&Y for audit-related, tax and other services provided to the Funds and for audit-related, tax and other services provided to MFS and MFS Related Entities ** were as follows:

	Audit-Related Fees1				Tax Fees2				All Other Fees3
	2011		2010		2011		2010		2011		2010
Fees billed by Deloitte:
To MFS Government Securities Fund		0		0		6,225		6,157		933		1,351
To MFS and MFS Related Entities of MFS Government Securities Fund *		1,157,606		1,056,757		0		0		113,100		59,174

	2011		2010
Aggregate fees for non-audit services:
To MFS Government Securities Fund, MFS and MFS Related Entities#		1,677,760		1,296,564

	Audit-Related Fees1				Tax Fees2				All Other Fees4
	2011		2010		2011		2010		2011		2010
Fees billed by E&Y:
To MFS Diversified Income Fund		0		0		7,314		6,810		0		0

To MFS Global Real Estate Fund	0	0	9,024	8,500	0	0
Total fees billed by E&Y To above Funds	0	0	16,338	15,310	0	0
To MFS and MFS Related Entities of MFS Diversified Income Fund*	0	0	0	0	0	0
To MFS and MFS Related Entities of MFS Global Real Estate Fund *	0	0	0	0	0	0

	2011		2010
Aggregate fees for non-audit services:
To MFS Diversified Income Fund, MFS and MFS Related Entities#		241,102		247,063
To MFS Global Real Estate Fund, MFS and MFS Related Entities#		242,812		248,753

** This information is not provided for the MFS New Discovery Value Fund, a series of the Registrant, because the fund did not commence investment operations during the reporting period.

* This amount reflects the fees billed to MFS and MFS Related Entities for non-audit services relating directly to the operations and financial reporting of the Funds (portions of which services also related to the operations and financial reporting of other funds within the MFS Funds complex).

# This amount reflects the aggregate fees billed by Deloitte or E&Y, as the case may be, for non-audit services rendered to the Funds and for non-audit services rendered to MFS and the MFS Related Entities.

¹  The fees included under “Audit-Related Fees” are fees related to assurance and related services that are reasonably related to the performance of the audit or review of financial statements, but not reported under “Audit Fees,” including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters and internal control reviews.

²  The fees included under “Tax Fees” are fees associated with tax compliance, tax advice and tax planning, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews and tax distribution and analysis.

³  The fees included under “All Other Fees” are fees for products and services provided by Deloitte other than those reported under “Audit Fees,” “Audit-Related Fees” and “Tax Fees,” including fees for services related to analysis of certain portfolio holdings, review of internal controls and review of Rule 38a-1 compliance program.

⁴  The fees under “All Other Fees” are fees for products and services provided by E&Y other than those reported under “Audit Fees,” “Audit-Related Fees” and “Tax Fees”.

Item 4(e)(1):

Set forth below are the policies and procedures established by the Audit Committee of the Board of Trustees relating to the pre-approval of audit and non-audit related services:

To the extent required by applicable law, pre-approval by the Audit Committee of the Board is needed for all audit and permissible non-audit services rendered to the Funds and all permissible non-audit services rendered to MFS or MFS Related Entities if the services relate directly to the operations and financial reporting of the Registrant. Pre-approval is currently on an engagement-by-engagement basis. In the event pre-approval of such services is necessary between regular meetings of the Audit Committee and it is not practical to wait to seek pre-approval at the next regular meeting of the Audit Committee, pre-approval of such services may be referred to the Chair of the Audit Committee for approval; provided that the Chair may not pre-approve any individual engagement for such services exceeding $50,000 or multiple engagements for such services in the aggregate exceeding $100,000 in each period between regular meetings of the Audit Committee. Any engagement pre-approved by the Chair between regular meetings of the Audit Committee shall be presented for ratification by the entire Audit Committee at its next regularly scheduled meeting.

Item 4(e)(2):

None, or 0%, of the services relating to the Audit-Related Fees, Tax Fees and All Other Fees paid by the Fund and MFS and MFS Related Entities relating directly to the operations and financial reporting of the Registrant disclosed above were approved by the audit committee pursuant to paragraphs (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (which permits audit committee approval after the start of the engagement with respect to services other than audit, review or attest services, if certain conditions are satisfied).

Item 4(f): Not applicable.

Item 4(h): The Registrant’s Audit Committee has considered whether the provision by a Registrant’s independent registered public accounting firm of non-audit services to MFS and MFS Related Entities that were not pre-approved by the Committee (because such services did not relate directly to the operations and financial reporting of the Registrant) was compatible with maintaining the independence of the independent registered public accounting firm as the Registrant’s principal auditors.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable to the Registrant.

ITEM 6. INVESTMENTS

A schedule of investments of the Registrant is included as part of the report to shareholders of such series under Item 1 of this Form N-CSR.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable to the Registrant.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable to the Registrant.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable to the Registrant.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrant’s Board since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.

ITEM 11. CONTROLS AND PROCEDURES.

(a) Based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this report on Form N-CSR, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by the report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a) File the exhibits listed below as part of this form. Letter or number the exhibits in the sequence indicated.

(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Code of Ethics attached hereto.

(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto.

(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference: Attached hereto.

Notice

A copy of the Amended and Restated Declaration of Trust, as amended, of the Registrant is on file with the Secretary of State of The Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) MFS SERIES TRUST XIIII

By (Signature and Title)*	MARIA F. DIORIODWYER
	Maria F. DiOrioDwyer, President

Date: April 15, 2011

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)*	MARIA F. DIORIODWYER
	Maria F. DiOrioDwyer, President (Principal Executive Officer)

Date: April 15, 2011

By (Signature and Title)*	JOHN M. CORCORAN
	John M. Corcoran, Treasurer (Principal Financial Officer and Accounting Officer)

Date: April 15, 2011

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