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 811-3327
MFS SERIES TRUST XIII
(Exact name of registrant as specified in charter)
111 Huntington Avenue, Boston, Massachusetts 02199
(Address of principal executive offices) (Zip code)
Christopher R. Bohane
Massachusetts Financial Services Company
111 Huntington Avenue
Boston, Massachusetts 02199
(Name and address of agents for service)
Registrant’s telephone number, including area code: (617) 954-5000
Date of fiscal year end: February 28*
Date of reporting period: August 31, 2021
* | This Form N-CSR pertains only to the following series of the Registrant: MFS Diversified Income Fund, MFS Government Securities Fund and MFS New Discovery Value Fund. The remaining series of the Registrant has a fiscal year end other than February 28. |
ITEM 1. | REPORTS TO STOCKHOLDERS. |
Item 1(a):
Income Fund
Income Fund
1 | |
2 | |
5 | |
7 | |
38 | |
40 | |
42 | |
43 | |
51 | |
70 | |
74 | |
75 | |
75 | |
75 | |
75 | |
75 |
back cover |
Prologis, Inc., REIT | 1.7% |
Equinix, Inc., REIT | 1.2% |
Extra Space Storage, Inc., REIT | 1.1% |
Roche Holding AG | 1.0% |
Johnson & Johnson | 1.0% |
Welltower, Inc., REIT | 1.0% |
AvalonBay Communities, Inc., REIT | 0.9% |
Merck & Co., Inc. | 0.9% |
Schneider Electric SE | 0.9% |
U.S. Treasury Ultra Bond Future - DEC 2021 | (1.4)% |
Real Estate | 17.7% |
Health Care | 4.6% |
Consumer Staples | 3.7% |
Financials | 3.5% |
Information Technology | 2.8% |
Industrials | 2.5% |
Communication Services | 1.5% |
Materials | 1.3% |
Utilities | 1.2% |
Energy | 0.8% |
Consumer Discretionary | 0.6% |
ETFs | 0.4% |
Convertible Debt | 0.2% |
Equity Warrants (o) | 0.0% |
High Yield Corporates | 23.5% |
Emerging Markets Bonds | 18.0% |
Investment Grade Corporates | 8.8% |
Mortgage-Backed Securities | 3.1% |
U.S. Treasury Securities | 2.7% |
Collateralized Debt Obligations | 0.3% |
Municipal Bonds | 0.2% |
Commercial Mortgage-Backed Securities | 0.2% |
U.S. Government Agencies | 0.1% |
Non-U.S. Government Bonds | 0.1% |
Asset-Backed Securities (o) | 0.0% |
AAA | 0.4% |
AA | 1.2% |
A | 3.2% |
BBB | 10.1% |
BB | 18.2% |
B | 13.7% |
CCC | 3.7% |
CC (o) | 0.0% |
C (o) | 0.0% |
U.S. Government | 2.6% |
Federal Agencies | 3.2% |
Not Rated | 18.2% |
Non-Fixed Income | 23.3% |
Cash & Cash Equivalents | 2.3% |
Other | (0.1)% |
United States | 64.3% |
United Kingdom | 2.4% |
Canada | 2.2% |
Switzerland | 2.1% |
China | 1.9% |
Japan | 1.9% |
Mexico | 1.3% |
Brasil | 1.1% |
France | 1.1% |
Other Countries | 21.7% |
(a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities. |
(g) | The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and S&P Global Market Intelligence Inc. (“S&P Global Market Intelligence”). GICS is a service mark of MSCI and S&P Global Market Intelligence and has been licensed for use by MFS. MFS has applied its own internal sector/industry classification methodology for equity securities and non-equity securities that are unclassified by GICS. |
(i) | For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
(o) | Less than 0.1%. |
(x) | Represents the portfolio’s exposure to issuer countries as a percentage of a portfolio’s net assets. For purposes of this presentation, United States includes Cash & Cash Equivalents and Other. |
March 1, 2021 through August 31, 2021
Share Class | Annualized Expense Ratio | Beginning Account Value 3/01/21 | Ending Account Value 8/31/21 | Expenses Paid During Period (p) 3/01/21-8/31/21 | |
A | Actual | 0.97% | $1,000.00 | $1,076.42 | $5.08 |
Hypothetical (h) | 0.97% | $1,000.00 | $1,020.32 | $4.94 | |
C | Actual | 1.72% | $1,000.00 | $1,071.66 | $8.98 |
Hypothetical (h) | 1.72% | $1,000.00 | $1,016.53 | $8.74 | |
I | Actual | 0.72% | $1,000.00 | $1,077.75 | $3.77 |
Hypothetical (h) | 0.72% | $1,000.00 | $1,021.58 | $3.67 | |
R1 | Actual | 1.72% | $1,000.00 | $1,072.47 | $8.98 |
Hypothetical (h) | 1.72% | $1,000.00 | $1,016.53 | $8.74 | |
R2 | Actual | 1.22% | $1,000.00 | $1,075.08 | $6.38 |
Hypothetical (h) | 1.22% | $1,000.00 | $1,019.06 | $6.21 | |
R3 | Actual | 0.97% | $1,000.00 | $1,076.36 | $5.08 |
Hypothetical (h) | 0.97% | $1,000.00 | $1,020.32 | $4.94 | |
R4 | Actual | 0.73% | $1,000.00 | $1,077.69 | $3.82 |
Hypothetical (h) | 0.73% | $1,000.00 | $1,021.53 | $3.72 | |
R6 | Actual | 0.64% | $1,000.00 | $1,078.22 | $3.35 |
Hypothetical (h) | 0.64% | $1,000.00 | $1,021.98 | $3.26 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. In addition to the fees and expenses which the fund bears directly, the fund indirectly bears a pro rata share of the fees and expenses of the underlying funds in which the fund invests. If these indirect costs were included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – 40.0% | ||||
Alcoholic Beverages – 0.1% | ||||
Kirin Holdings Co. Ltd. | 195,300 | $ 3,539,774 | ||
Apparel Manufacturers – 0.1% | ||||
Compagnie Financiere Richemont S.A. | 20,433 | $ 2,253,599 | ||
Automotive – 0.4% | ||||
Magna International, Inc. | 164,768 | $ 13,011,402 | ||
Zhengzhou Yutong Bus Co. Ltd., “A” | 708,775 | 1,348,857 | ||
$14,360,259 | ||||
Biotechnology – 0.3% | ||||
Biogen, Inc. (a) | 12,442 | $ 4,216,718 | ||
Gilead Sciences, Inc. | 76,904 | 5,597,073 | ||
$9,813,791 | ||||
Brokerage & Asset Managers – 0.1% | ||||
IG Group Holdings PLC | 177,130 | $ 2,280,632 | ||
Business Services – 0.1% | ||||
Amdocs Ltd. | 69,983 | $ 5,390,790 | ||
Chemicals – 0.2% | ||||
Eastman Chemical Co. | 49,978 | $ 5,655,510 | ||
Computer Software – 0.5% | ||||
Adobe Systems, Inc. (a) | 4,622 | $ 3,067,621 | ||
Microsoft Corp. | 53,201 | 16,060,318 | ||
$19,127,939 | ||||
Computer Software - Systems – 1.4% | ||||
Asustek Computer, Inc. | 152,000 | $ 1,777,040 | ||
Compal Electronics | 2,107,000 | 1,741,039 | ||
Fujitsu Ltd. | 17,000 | 3,136,845 | ||
Hitachi Ltd. | 434,200 | 24,015,880 | ||
Hon Hai Precision Industry Co. Ltd. | 2,125,000 | 8,511,195 | ||
Samsung Electronics Co. Ltd. | 185,766 | 12,288,803 | ||
$51,470,802 | ||||
Construction – 2.6% | ||||
American Homes 4 Rent, “A”, REIT | 604,126 | $ 25,337,044 | ||
AvalonBay Communities, Inc., REIT | 145,244 | 33,345,118 | ||
D.R. Horton, Inc. | 20,852 | 1,993,868 | ||
ICA Tenedora S.A. de C.V. (a) | 560,019 | 2,307,604 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Construction – continued | ||||
Mid-America Apartment Communities, Inc., REIT | 158,885 | $ 30,564,708 | ||
$93,548,342 | ||||
Consumer Products – 1.1% | ||||
Colgate-Palmolive Co. | 201,477 | $ 15,705,132 | ||
Kimberly-Clark Corp. | 163,437 | 22,523,253 | ||
$38,228,385 | ||||
Containers – 0.3% | ||||
Graphic Packaging Holding Co. | 452,378 | $ 9,282,797 | ||
Electrical Equipment – 0.9% | ||||
Schneider Electric SE | 172,317 | $ 30,783,997 | ||
Electronics – 1.2% | ||||
Intel Corp. | 244,503 | $ 13,217,832 | ||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 174,301 | 20,743,562 | ||
Texas Instruments, Inc. | 46,457 | 8,869,106 | ||
$42,830,500 | ||||
Energy - Independent – 0.1% | ||||
China Shenhua Energy Co. Ltd. | 2,439,000 | $ 5,400,174 | ||
Energy - Integrated – 0.5% | ||||
China Petroleum & Chemical Corp. | 33,466,000 | $ 16,222,132 | ||
LUKOIL PJSC, ADR | 13,716 | 1,162,568 | ||
$17,384,700 | ||||
Food & Beverages – 1.3% | ||||
General Mills, Inc. | 368,964 | $ 21,329,809 | ||
J.M. Smucker Co. | 174,016 | 21,520,558 | ||
JBS S.A. | 368,677 | 2,222,415 | ||
$45,072,782 | ||||
Food & Drug Stores – 0.1% | ||||
Albertsons Cos., Inc., “A” (l) | 176,907 | $ 5,370,897 | ||
Forest & Paper Products – 0.2% | ||||
Rayonier, Inc., REIT | 219,487 | $ 8,072,732 | ||
General Merchandise – 0.3% | ||||
BIM Birlesik Magazalar A.S. | 607,140 | $ 5,245,357 | ||
Wal-Mart de Mexico S.A.B. de C.V. | 1,342,662 | 4,777,267 | ||
$10,022,624 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Insurance – 1.5% | ||||
Equitable Holdings, Inc. | 242,723 | $ 7,526,840 | ||
Hartford Financial Services Group, Inc. | 80,160 | 5,388,355 | ||
Manulife Financial Corp. | 1,118,191 | 21,776,208 | ||
MetLife, Inc. | 129,837 | 8,049,894 | ||
NN Group N.V. | 24,001 | 1,246,074 | ||
Samsung Fire & Marine Insurance Co. Ltd. | 44,310 | 8,636,906 | ||
$52,624,277 | ||||
Leisure & Toys – 0.1% | ||||
Brunswick Corp. | 38,708 | $ 3,749,644 | ||
Polaris, Inc. | 12,508 | 1,497,958 | ||
$5,247,602 | ||||
Machinery & Tools – 0.8% | ||||
Eaton Corp. PLC | 175,620 | $ 29,567,383 | ||
Major Banks – 1.3% | ||||
China Construction Bank Corp. | 9,756,000 | $ 7,049,704 | ||
DBS Group Holdings Ltd. | 984,400 | 21,943,894 | ||
Goldman Sachs Group, Inc. | 4,497 | 1,859,554 | ||
UBS Group AG | 996,827 | 16,632,833 | ||
$47,485,985 | ||||
Medical & Health Technology & Services – 2.0% | ||||
Encompass Health Corp. | 97,597 | $ 7,656,485 | ||
HCA Healthcare, Inc. | 26,536 | 6,713,077 | ||
Medical Properties Trust, Inc., REIT | 961,534 | 19,692,216 | ||
Omega Healthcare Investors, Inc., REIT | 72,703 | 2,437,732 | ||
Welltower, Inc., REIT | 393,292 | 34,424,849 | ||
$70,924,359 | ||||
Metals & Mining – 0.8% | ||||
ArcelorMittal S.A. | 64,133 | $ 2,150,212 | ||
Fortescue Metals Group Ltd. | 453,035 | 6,959,773 | ||
POSCO | 5,312 | 1,543,960 | ||
Rio Tinto PLC | 212,518 | 15,725,148 | ||
Vale S.A. | 166,600 | 3,179,409 | ||
$29,558,502 | ||||
Natural Gas - Distribution – 0.2% | ||||
Italgas S.p.A. | 610,928 | $ 4,049,677 | ||
UGI Corp. | 36,404 | 1,685,869 | ||
$5,735,546 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Natural Gas - Pipeline – 0.1% | ||||
Enterprise Products Partners LP | 164,290 | $ 3,657,095 | ||
Network & Telecom – 2.4% | ||||
CoreSite Realty Corp., REIT | 168,663 | $ 25,024,529 | ||
Equinix, Inc., REIT | 52,564 | 44,335,106 | ||
QTS Realty Trust, Inc., REIT, “A” | 230,174 | 17,948,969 | ||
$87,308,604 | ||||
Other Banks & Diversified Financials – 0.4% | ||||
KB Financial Group, Inc. | 48,947 | $ 2,233,211 | ||
Sberbank of Russia, ADR | 373,515 | 6,665,375 | ||
SLM Corp. | 222,516 | 4,172,175 | ||
Synchrony Financial | 47,587 | 2,367,453 | ||
$15,438,214 | ||||
Pharmaceuticals – 3.9% | ||||
Bayer AG | 188,717 | $ 10,505,207 | ||
Eli Lilly & Co. | 51,893 | 13,403,443 | ||
Johnson & Johnson | 207,851 | 35,985,243 | ||
Merck & Co., Inc. | 404,986 | 30,896,382 | ||
Novartis AG | 124,765 | 11,552,088 | ||
Organon & Co. | 40,499 | 1,372,511 | ||
Roche Holding AG | 93,469 | 37,535,599 | ||
$141,250,473 | ||||
Precious Metals & Minerals – 0.0% | ||||
Petra Diamonds Ltd. (a) | 36,792,338 | $ 859,927 | ||
Printing & Publishing – 0.0% | ||||
Transcontinental, Inc. | 75,049 | $ 1,452,619 | ||
Real Estate – 10.6% | ||||
Alexandria Real Estate Equities, Inc., REIT | 107,657 | $ 22,217,175 | ||
Boston Properties, Inc., REIT | 101,821 | 11,504,755 | ||
Brixmor Property Group, Inc., REIT | 903,615 | 21,189,772 | ||
Douglas Emmett, Inc., REIT | 343,776 | 11,348,046 | ||
Empire State Realty Trust, REIT, “A” | 366,141 | 3,760,268 | ||
EPR Properties, REIT | 57,683 | 2,927,412 | ||
Equity Lifestyle Properties, Inc., REIT | 323,759 | 27,542,178 | ||
Extra Space Storage, Inc., REIT | 213,769 | 39,955,564 | ||
Host Hotels & Resorts, Inc., REIT (a) | 893,246 | 14,792,154 | ||
National Retail Properties, Inc., REIT | 337,960 | 16,090,276 | ||
National Storage Affiliates Trust, REIT | 30,094 | 1,722,881 | ||
Phillips Edison & Co., REIT | 240,985 | 7,244,009 | ||
Prologis, Inc., REIT | 466,669 | 62,841,648 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Real Estate – continued | ||||
Simon Property Group, Inc., REIT | 185,076 | $ 24,883,468 | ||
STAG Industrial, Inc., REIT | 536,976 | 22,687,236 | ||
Starwood Property Trust, Inc., REIT | 158,631 | 4,092,680 | ||
STORE Capital Corp., REIT | 541,158 | 19,519,569 | ||
Sun Communities, Inc., REIT | 139,548 | 28,117,526 | ||
Urban Edge Properties, REIT | 948,554 | 17,965,613 | ||
VICI Properties, Inc., REIT | 742,772 | 22,959,082 | ||
$383,361,312 | ||||
Special Products & Services – 0.1% | ||||
Tisco Financial Group PCL | 1,780,400 | $ 5,192,200 | ||
Telecommunications - Wireless – 1.7% | ||||
American Tower Corp., REIT | 56,937 | $ 16,635,283 | ||
KDDI Corp. | 708,100 | 21,690,651 | ||
Mobile TeleSystems PJSC, ADR | 259,402 | 2,433,191 | ||
Turkcell Iletisim Hizmetleri A.S. | 745,895 | 1,469,996 | ||
Vodafone Group PLC | 10,944,185 | 18,350,849 | ||
$60,579,970 | ||||
Telephone Services – 0.3% | ||||
Hellenic Telecommunications Organization S.A. | 326,202 | $ 6,418,742 | ||
PT Telekom Indonesia | 11,702,600 | 2,789,752 | ||
$9,208,494 | ||||
Tobacco – 0.9% | ||||
British American Tobacco PLC | 342,264 | $ 12,841,628 | ||
Imperial Brands PLC | 333,932 | 7,077,125 | ||
Japan Tobacco, Inc. | 674,100 | 13,066,566 | ||
$32,985,319 | ||||
Utilities - Electric Power – 1.1% | ||||
CLP Holdings Ltd. | 684,000 | $ 6,837,845 | ||
E.ON SE | 642,733 | 8,483,062 | ||
Energias do Brasil S.A. | 486,360 | 1,734,447 | ||
Energisa S.A., IEU | 137,700 | 1,181,587 | ||
ENGIE Energía Brasil S.A. | 227,400 | 1,651,364 | ||
Exelon Corp. | 199,046 | 9,757,235 | ||
Iberdrola S.A. | 409,638 | 5,076,222 | ||
Transmissora Alianca de Energia Eletrica S.A., IEU | 548,121 | 4,018,579 | ||
$38,740,341 | ||||
Total Common Stocks (Identified Cost, $1,021,060,461) | $1,441,069,248 |
Issuer | Shares/Par | Value ($) | ||
Bonds – 33.0% | ||||
Aerospace & Defense – 0.2% | ||||
BAE Systems PLC, 3.4%, 4/15/2030 (n) | $ | 1,818,000 | $ 1,992,927 | |
Boeing Co., 5.15%, 5/01/2030 | 1,797,000 | 2,126,145 | ||
Boeing Co., 3.75%, 2/01/2050 | 518,000 | 536,212 | ||
DAE Sukuk DIFC Ltd., 3.75%, 2/15/2026 (n) | 1,258,000 | 1,335,556 | ||
Raytheon Technologies Corp., 1.9%, 9/01/2031 | 486,000 | 480,171 | ||
$6,471,011 | ||||
Airlines – 0.0% | ||||
Azul Investments LLP, 7.25%, 6/15/2026 (n) | $ | 1,050,000 | $ 1,015,885 | |
Apparel Manufacturers – 0.0% | ||||
Tapestry, Inc., 4.125%, 7/15/2027 | $ | 652,000 | $ 713,692 | |
Asset-Backed & Securitized – 0.5% | ||||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 1.595% (LIBOR - 1mo. + 1.5%), 12/15/2035 (n) | $ | 998,500 | $ 999,431 | |
Bancorp Commercial Mortgage Trust, 2019-CRE6, “A”, FLR, 1.214% (LIBOR - 1mo. + 1.05%), 9/15/2036 (n) | 506,789 | 506,843 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.767%, 2/15/2054 (i) | 3,569,720 | 441,470 | ||
Benchmark Mortgage Trust, 2021-B24, “XA”, 1.273%, 3/15/2054 (i) | 6,701,871 | 568,990 | ||
Benchmark Mortgage Trust, 2021-B26, “XA”, 0.999%, 6/15/2054 (i) | 6,509,470 | 443,036 | ||
Benchmark Mortgage Trust, 2021-B27, “XA”, 1.389%, 7/15/2054 (i) | 7,631,008 | 748,801 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 515,743 | 529,879 | ||
Citigroup Commercial Mortgage Trust, 2019-XA, “C7”, 1.002%, 12/15/2072 (i)(n) | 9,477,286 | 578,206 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.893%, 4/15/2054 (i) | 4,834,747 | 285,873 | ||
CSAIL Commercial Mortgage Trust, 2015-C2, “A4”, 3.504%, 6/15/2057 | 58,835 | 63,617 | ||
GS Mortgage Securities Trust, 2015-GC32, “A2”, 3.062%, 7/10/2048 | 214,184 | 218,569 | ||
KREF Ltd., 2018-FT1, “A”, FLR, 1.163% (LIBOR - 1mo. + 1.1%), 2/15/2039 (n) | 478,500 | 478,500 | ||
KREF Ltd., 2018-FT1, “AS”, FLR, 1.393% (LIBOR - 1mo. + 1.3%), 2/15/2039 (n) | 526,000 | 526,000 | ||
LoanCore Ltd., 2021-CRE5, “AS”, FLR, 1.845% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 750,000 | 750,234 | ||
Madison Park Funding Ltd., 2014-13A, “BR2”, FLR, 1.634% (LIBOR - 3mo. + 1.5%), 4/19/2030 (n) | 2,390,920 | 2,401,997 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
MF1 CLO Ltd., 2021-FL5, “AS”, FLR, 1.364% (LIBOR - 1mo. + 1.2%), 7/15/2036 (n) | $ | 985,000 | $ 985,613 | |
MF1 CLO Ltd., 2021-FL5, “B”, FLR, 1.614% (LIBOR - 1mo. + 1.45%), 7/15/2036 (n) | 1,241,000 | 1,242,544 | ||
MF1 Multi-Family Housing Mortgage Loan Trust, 2020-FL4, “A”, FLR, 1.864% (LIBOR - 1mo. + 1.7%), 11/15/2035 (n) | 1,592,000 | 1,608,903 | ||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 1.025%, 12/15/2051 (i) | 9,987,405 | 515,690 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.425%, 5/15/2054 (i) | 2,701,904 | 259,194 | ||
Palmer Square Loan Funding Ltd., 2020-1A, “A2”, FLR, 1.481% (LIBOR - 3mo. + 1.35%), 2/20/2028 (n) | 1,308,942 | 1,302,533 | ||
PFP III Ltd., 2021-7, “AS”, FLR, 1.245% (LIBOR - 1mo. + 1.15%), 4/14/2038 (n) | 1,383,931 | 1,379,603 | ||
Symphony CLO Ltd., 2016-17A, “BR”, FLR, 1.326% (LIBOR - 3mo. + 1.2%), 4/15/2028 (n) | 2,026,203 | 2,023,287 | ||
Wells Fargo Commercial Mortgage Trust, 2018-C48, “XA”, 1.113%, 1/15/2052 (i)(n) | 5,871,017 | 337,026 | ||
$19,195,839 | ||||
Automotive – 0.4% | ||||
Aptiv PLC, 5.4%, 3/15/2049 | $ | 1,364,000 | $ 1,898,037 | |
Hyundai Capital America, 2.375%, 2/10/2023 (n) | 789,000 | 807,743 | ||
Hyundai Capital America, 2.375%, 10/15/2027 (n) | 597,000 | 610,766 | ||
Hyundai Capital America, 1.8%, 1/10/2028 (n) | 852,000 | 847,838 | ||
Hyundai Capital America, 6.375%, 4/08/2030 (n) | 3,373,000 | 4,386,144 | ||
Lear Corp., 3.8%, 9/15/2027 | 2,009,000 | 2,236,599 | ||
Volkswagen Group of America Finance LLC, 3.35%, 5/13/2025 (n) | 1,818,000 | 1,957,610 | ||
$12,744,737 | ||||
Broadcasting – 0.6% | ||||
Discovery Communications LLC, 3.625%, 5/15/2030 | $ | 1,364,000 | $ 1,494,257 | |
Discovery Communications LLC, 4%, 9/15/2055 | 1,082,000 | 1,158,359 | ||
Prosus N.V., 3.68%, 1/21/2030 (n) | 4,984,000 | 5,188,422 | ||
Prosus N.V., 3.061%, 7/13/2031 (n) | 1,227,000 | 1,200,406 | ||
Prosus N.V., 4.027%, 8/03/2050 (n) | 1,149,000 | 1,083,284 | ||
Prosus N.V., 3.832%, 2/08/2051 (n) | 2,834,000 | 2,566,530 | ||
Walt Disney Co., 3.35%, 3/24/2025 | 1,455,000 | 1,578,486 | ||
Walt Disney Co., 3.5%, 5/13/2040 | 2,155,000 | 2,423,765 | ||
Walt Disney Co., 3.8%, 5/13/2060 | 1,364,000 | 1,631,134 | ||
Weibo Corp., 3.375%, 7/08/2030 | 1,657,000 | 1,696,128 | ||
$20,020,771 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Brokerage & Asset Managers – 0.3% | ||||
Banco BTG Pactual S.A. (Cayman Islands Branch), 4.5%, 1/10/2025 (n) | $ | 1,598,000 | $ 1,654,249 | |
Banco BTG Pactual S.A. (Cayman Islands Branch), 4.5%, 1/10/2025 | 1,548,000 | 1,602,490 | ||
Brookfield Finance, Inc., 2.34%, 1/30/2032 | 1,906,000 | 1,905,781 | ||
Charles Schwab Corp., 1.95%, 12/01/2031 | 2,865,000 | 2,867,565 | ||
E*TRADE Financial Corp., 3.8%, 8/24/2027 | 547,000 | 613,080 | ||
Intercontinental Exchange, Inc., 1.85%, 9/15/2032 | 2,974,000 | 2,865,479 | ||
Intercontinental Exchange, Inc., 3%, 9/15/2060 | 591,000 | 585,505 | ||
$12,094,149 | ||||
Building – 0.1% | ||||
CEMEX S.A.B. de C.V., 7.375%, 6/05/2027 (n) | $ | 841,000 | $ 946,125 | |
CEMEX S.A.B. de C.V., 3.875%, 7/11/2031 (n) | 1,252,000 | 1,288,008 | ||
Masco Corp., 4.5%, 5/15/2047 | 436,000 | 532,095 | ||
Vulcan Materials Co., 3.5%, 6/01/2030 | 1,246,000 | 1,386,554 | ||
Vulcan Materials Co., 4.5%, 6/15/2047 | 739,000 | 911,597 | ||
$5,064,379 | ||||
Business Services – 0.5% | ||||
Equinix, Inc., 2.5%, 5/15/2031 | $ | 2,649,000 | $ 2,716,287 | |
Equinix, Inc., 3%, 7/15/2050 | 891,000 | 866,142 | ||
Fiserv, Inc., 4.4%, 7/01/2049 | 682,000 | 834,445 | ||
Mastercard, Inc., 3.85%, 3/26/2050 | 1,655,000 | 2,020,137 | ||
NXP Semiconductors N.V., 3.4%, 5/01/2030 (n) | 2,036,000 | 2,233,058 | ||
StoneCo Ltd., 3.95%, 6/16/2028 (n) | 1,603,000 | 1,546,655 | ||
Tencent Holdings Ltd., 2.39%, 6/03/2030 (n) | 3,235,000 | 3,228,860 | ||
Visa, Inc., 2.05%, 4/15/2030 | 909,000 | 938,668 | ||
Visa, Inc., 2.7%, 4/15/2040 | 1,818,000 | 1,890,261 | ||
$16,274,513 | ||||
Cable TV – 0.3% | ||||
Cable Onda S.A., 4.5%, 1/30/2030 (n) | $ | 1,842,000 | $ 1,955,283 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | 3,046,000 | 4,071,526 | ||
Comcast Corp., 3.75%, 4/01/2040 | 909,000 | 1,043,739 | ||
United Group B.V., 4.625%, 8/15/2028 (n) | EUR | 367,000 | 434,195 | |
VTR Comunicaciones S.p.A., 5.125%, 1/15/2028 (n) | $ | 1,273,000 | 1,330,285 | |
VTR Finance N.V., 6.375%, 7/15/2028 (n) | 2,925,000 | 3,104,887 | ||
$11,939,915 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Chemicals – 0.3% | ||||
Alpek SAB de C.V., 3.25%, 2/25/2031 (n) | $ | 466,000 | $ 477,655 | |
Consolidated Energy Finance S.A., 6.875%, 6/15/2025 (n) | 1,352,000 | 1,395,940 | ||
Consolidated Energy Finance S.A., 6.875%, 6/15/2025 | 293,000 | 302,523 | ||
RPM International, Inc., 4.55%, 3/01/2029 | 217,000 | 251,169 | ||
RPM International, Inc., 4.25%, 1/15/2048 | 110,000 | 124,716 | ||
Sasol Financing (USA) LLC, 4.375%, 9/18/2026 | 1,552,000 | 1,602,440 | ||
Sasol Financing (USA) LLC, 5.5%, 3/18/2031 | 2,503,000 | 2,646,923 | ||
Sherwin-Williams Co., 3.45%, 6/01/2027 | 1,409,000 | 1,556,546 | ||
Sherwin-Williams Co., 4.5%, 6/01/2047 | 1,082,000 | 1,355,421 | ||
Synthos S.A., 2.5%, 6/07/2028 (n) | EUR | 1,249,000 | 1,465,321 | |
$11,178,654 | ||||
Computer Software – 0.1% | ||||
Microsoft Corp., 2.525%, 6/01/2050 | $ | 3,182,000 | $ 3,174,333 | |
VeriSign, Inc., 4.75%, 7/15/2027 | 1,502,000 | 1,581,907 | ||
$4,756,240 | ||||
Computer Software - Systems – 0.2% | ||||
Apple, Inc., 2.05%, 9/11/2026 | $ | 3,416,000 | $ 3,582,556 | |
Apple, Inc., 1.7%, 8/05/2031 | 2,384,000 | 2,359,510 | ||
Apple, Inc., 2.65%, 5/11/2050 | 791,000 | 784,009 | ||
$6,726,075 | ||||
Conglomerates – 0.4% | ||||
Carrier Global Corp., 2.722%, 2/15/2030 | $ | 1,409,000 | $ 1,477,760 | |
Carrier Global Corp., 3.377%, 4/05/2040 | 1,282,000 | 1,369,877 | ||
Grupo KUO S.A.B. de C.V., 5.75%, 7/07/2027 (n) | 5,300,000 | 5,541,203 | ||
Otis Worldwide Corp., 2.565%, 2/15/2030 | 2,127,000 | 2,222,245 | ||
Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | 1,927,000 | 2,243,018 | ||
$12,854,103 | ||||
Construction – 0.1% | ||||
Seazen Group Ltd., 4.45%, 7/13/2025 | $ | 1,614,000 | $ 1,583,455 | |
Sunac China Holdings Ltd., 7.5%, 2/01/2024 | 1,231,000 | 1,246,141 | ||
$2,829,596 | ||||
Consumer Products – 0.1% | ||||
Mattel, Inc., 3.75%, 4/01/2029 (n) | $ | 873,000 | $ 916,475 | |
Reckitt Benckiser Treasury Services PLC, 2.75%, 6/26/2024 (n) | 2,516,000 | 2,648,355 | ||
$3,564,830 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Consumer Services – 0.2% | ||||
B2W Digital Lux S.à r.l., 4.375%, 12/20/2030 (n) | $ | 1,498,000 | $ 1,498,000 | |
Booking Holdings, Inc., 3.55%, 3/15/2028 | 1,200,000 | 1,339,259 | ||
Conservation Fund, 3.474%, 12/15/2029 | 1,031,000 | 1,104,980 | ||
Meituan, 2.125%, 10/28/2025 (n) | 865,000 | 844,769 | ||
Meituan, 3.05%, 10/28/2030 (n) | 1,511,000 | 1,431,273 | ||
$6,218,281 | ||||
Containers – 0.1% | ||||
Canpack S.A./Eastern PA Land Investment Holding LLC, 3.125%, 11/01/2025 (n) | $ | 412,000 | $ 418,180 | |
Canpack S.A./Eastern PA Land Investment Holding LLC, 2.375%, 11/01/2027 (n) | EUR | 445,000 | 539,773 | |
San Miguel Industrias PET S.A., 3.5%, 8/02/2028 (n) | $ | 2,000,000 | 1,970,000 | |
$2,927,953 | ||||
Electrical Equipment – 0.0% | ||||
Arrow Electronics, Inc., 3.875%, 1/12/2028 | $ | 389,000 | $ 428,219 | |
Electronics – 0.2% | ||||
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.5%, 1/15/2028 | $ | 2,782,000 | $ 3,025,623 | |
Broadcom, Inc., 5%, 4/15/2030 | 1,591,000 | 1,884,450 | ||
Broadcom, Inc., 3.469%, 4/15/2034 (n) | 854,000 | 904,136 | ||
NXP B.V./NXP Funding LLC, 4.625%, 6/01/2023 (n) | 1,818,000 | 1,940,445 | ||
$7,754,654 | ||||
Emerging Market Quasi-Sovereign – 3.3% | ||||
Abu Dhabi Crude Oil Pipeline, 4.6%, 11/02/2047 | $ | 1,915,000 | $ 2,301,255 | |
Aeropuerto Internacional de Tocumen S.A. (Republic of Panama), 5.125%, 8/11/2061 (n) | 1,651,000 | 1,745,107 | ||
Autoridad del Canal de Panama, 4.95%, 7/29/2035 (n) | 281,000 | 348,443 | ||
Autoridad del Canal de Panama, 4.95%, 7/29/2035 | 1,220,000 | 1,512,812 | ||
Banco de Reservas de la Republica Dominicana, 7%, 2/01/2023 | 1,500,000 | 1,578,765 | ||
Banco Nacional de Panama, 2.5%, 8/11/2030 (n) | 241,000 | 231,360 | ||
Biz Finance PLC (Ukraine), 9.75%, 1/22/2025 | 295,313 | 318,961 | ||
CDBL Funding 1 (People's Republic of China), 4.25%, 12/02/2024 | 854,000 | 924,207 | ||
China Construction Bank Corp., 4.25% to 2/27/2024, FLR (CMT - 5yr. + 1.88%) to 2/27/2029 | 1,764,000 | 1,890,022 | ||
China Development Bank Financial Leasing Co. Ltd., 2.875%, 9/28/2030 | 1,618,000 | 1,654,712 | ||
Comision Federal de Electricidad (United Mexican States), 3.348%, 2/09/2031 (n) | 1,360,000 | 1,353,214 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Quasi-Sovereign – continued | ||||
Comision Federal de Electricidad (United Mexican States), 3.875%, 7/26/2033 (n) | $ | 1,391,000 | $ 1,394,144 | |
DAE Funding LLC (United Arab Emirates), 3.375%, 3/20/2028 (n) | 935,000 | 966,826 | ||
Development Bank of Kazakhstan, 4.125%, 12/10/2022 | 1,663,000 | 1,728,855 | ||
DP World Salaam (United Arab Emirates), 6% to 1/01/2026, FLR (CMT - 5yr. + 5.75%) to 1/01/2031, FLR (CMT - 5yr. + 6.75%) to 1/01/2070 | 2,760,000 | 3,013,506 | ||
Ecopetrol S.A., 5.375%, 6/26/2026 | 2,155,000 | 2,376,965 | ||
Ecopetrol S.A., 6.875%, 4/29/2030 | 1,273,000 | 1,534,309 | ||
Emirates NBD Bank PJSC, 6.125% to 7/09/2026, FLR (Swap Rate - 6yr. + 5.702%) to 1/09/2170 | 1,170,000 | 1,285,245 | ||
Empresa de Transmision Electrica S.A. (Republic of Panama), 5.125%, 5/02/2049 (n) | 1,694,000 | 1,943,865 | ||
Empresa Nacional del Petroleo (Republic of Chile), 4.375%, 10/30/2024 (n) | 2,469,000 | 2,680,354 | ||
Empresas Publicas de Medellin E.S.P., 4.25%, 7/18/2029 | 448,000 | 447,328 | ||
Empresas Publicas de Medellin E.S.P., 4.375%, 2/15/2031 (n) | 1,193,000 | 1,178,064 | ||
EQUATE Petrochemical B.V. (State of Kuwait), 4.25%, 11/03/2026 | 3,292,000 | 3,655,865 | ||
EQUATE Petrochemical B.V. (State of Kuwait), 2.625%, 4/28/2028 (n) | 548,000 | 557,313 | ||
Eskom Holdings SOC Ltd. (Republic of South Africa), 6.35%, 8/10/2028 (n) | 2,885,000 | 3,189,010 | ||
Export-Import Bank of India, 3.875%, 2/01/2028 (n) | 2,738,000 | 2,981,223 | ||
Export-Import Bank of India, 2.25%, 1/13/2031 (n) | 2,354,000 | 2,229,164 | ||
Greenko Dutch B.V. (Republic of India), 3.85%, 3/29/2026 (n) | 1,193,000 | 1,218,506 | ||
Huarong Finance Co. Ltd. (People's Republic of China), 3.25%, 11/13/2024 | 2,058,000 | 1,955,100 | ||
Indian Railway Finance Corp., 2.8%, 2/10/2031 (n) | 2,640,000 | 2,588,205 | ||
Industrial & Commercial Bank of China Ltd., 4.875%, 9/21/2025 | 1,689,000 | 1,891,842 | ||
Ipoteka Bank (Republic of Uzbekistan), 5.5%, 11/19/2025 | 1,553,000 | 1,602,510 | ||
Krung Thai Bank PLC (Cayman Islands Branch), 4.4% to 3/25/2026, FLR (CMT - 5yr. + 3.53%) to 9/25/2169 | 1,612,000 | 1,624,832 | ||
MDGH - GMTN B.V. (United Arab Emirates), 2.875%, 11/07/2029 (n) | 2,464,000 | 2,608,711 | ||
MEGlobal Canada ULC (State of Kuwait), 5.875%, 5/18/2030 (n) | 910,000 | 1,132,158 | ||
NAK Naftogaz Ukraine via Standard Bank London Holdings PLC, 7.625%, 11/08/2026 (n) | 3,111,000 | 3,207,431 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Quasi-Sovereign – continued | ||||
OCP S.A. (Republic of Madagascar), 6.875%, 4/25/2044 | $ | 2,448,000 | $ 2,979,162 | |
Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 3.75%, 6/23/2031 (n) | 1,113,000 | 1,125,882 | ||
Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 5.125%, 6/23/2051 (n) | 1,279,000 | 1,290,191 | ||
Ooredoo International Finance Ltd. (State of Qatar), 2.625%, 4/08/2031 (n) | 3,227,000 | 3,323,810 | ||
Oryx Funding Ltd. (Sultanate of Oman), 5.8%, 2/03/2031 (n) | 1,210,000 | 1,279,938 | ||
Petroleos Mexicanos, 6.875%, 10/16/2025 (n) | 1,634,000 | 1,785,112 | ||
Petroleos Mexicanos, 6.49%, 1/23/2027 | 1,374,000 | 1,455,588 | ||
Petroleos Mexicanos, 6.84%, 1/23/2030 | 3,174,000 | 3,304,515 | ||
Petroleos Mexicanos, 6.75%, 9/21/2047 | 1,784,000 | 1,567,244 | ||
Petroleos Mexicanos, 7.69%, 1/23/2050 | 5,408,000 | 5,163,396 | ||
Petroleos Mexicanos, 6.95%, 1/28/2060 | 3,229,000 | 2,848,624 | ||
PJSC State Savings Bank of Ukraine, 9.375%, 3/10/2023 | 1,178,800 | 1,231,846 | ||
PJSC State Savings Bank of Ukraine, 9.625%, 3/20/2025 | 852,800 | 925,288 | ||
PT Bank Negara Indonesia (Persero) Tbk, 3.75%, 3/30/2026 | 1,293,000 | 1,332,701 | ||
PT Indonesia Asahan Aluminium (Persero), 4.75%, 5/15/2025 (n) | 1,905,000 | 2,076,660 | ||
PT Indonesia Asahan Aluminium (Persero), 5.8%, 5/15/2050 (n) | 1,191,000 | 1,417,290 | ||
PT Pertamina (Persero) (Republic of Indonesia), 6.45%, 5/30/2044 | 1,662,000 | 2,206,687 | ||
PT Perusahaan Listrik Negara (Republic of Indonesia), 6.15%, 5/21/2048 (n) | 1,317,000 | 1,675,224 | ||
PTT Treasury Center Co. Ltd. (Kingdom of Thailand), 3.7%, 7/16/2070 (n) | 1,999,000 | 2,068,466 | ||
Qatar Petroleum, 2.25%, 7/12/2031 (n) | 1,397,000 | 1,408,684 | ||
Qatar Petroleum, 3.125%, 7/12/2041 (n) | 1,292,000 | 1,329,504 | ||
Qatar Petroleum, 3.3%, 7/12/2051 (n) | 1,053,000 | 1,087,538 | ||
SA Global Sukuk Ltd. (Kingdom of Saudi Arabia), 1.602%, 6/17/2026 (n) | 414,000 | 414,811 | ||
SA Global Sukuk Ltd. (Kingdom of Saudi Arabia), 2.694%, 6/17/2031 (n) | 593,000 | 606,787 | ||
Saudi Arabian Oil Co., 3.5%, 11/24/2070 (n) | 1,098,000 | 1,073,471 | ||
Southern Gas Corridor CJSC (Republic of Azerbaijan), 6.875%, 3/24/2026 (n) | 5,170,000 | 6,124,899 | ||
State Oil Company of the Azerbaijan Republic, 4.75%, 3/13/2023 | 3,933,000 | 4,129,650 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Quasi-Sovereign – continued | ||||
T.C. Ziraat Bankasi A.S. (Republic of Turkey), 5.375%, 3/02/2026 (n) | $ | 1,464,000 | $ 1,458,364 | |
$119,541,521 | ||||
Emerging Market Sovereign – 8.7% | ||||
Arab Republic of Egypt, 0%, 12/07/2021 | EGP | 28,500,000 | $ 1,756,291 | |
Arab Republic of Egypt, 6.125%, 1/31/2022 | $ | 7,492,000 | 7,610,673 | |
Arab Republic of Egypt, 5.577%, 2/21/2023 (n) | 1,218,000 | 1,272,995 | ||
Arab Republic of Egypt, 7.5%, 1/31/2027 | 1,900,000 | 2,116,543 | ||
Arab Republic of Egypt, 6.588%, 2/21/2028 | 1,753,000 | 1,860,722 | ||
Arab Republic of Egypt, 7.6%, 3/01/2029 (n) | 1,396,000 | 1,532,389 | ||
Arab Republic of Egypt, 7.625%, 5/29/2032 (n) | 1,736,000 | 1,862,568 | ||
Arab Republic of Egypt, 8.875%, 5/29/2050 (n) | 1,710,000 | 1,840,388 | ||
Arab Republic of Egypt, 7.5%, 2/16/2061 (n) | 1,617,000 | 1,532,496 | ||
Commonwealth of Bahamas, 8.95%, 10/15/2032 | 1,130,000 | 1,228,875 | ||
Dominican Republic, 6.875%, 1/29/2026 | 3,004,000 | 3,492,150 | ||
Dominican Republic, 5.95%, 1/25/2027 | 3,057,000 | 3,462,053 | ||
Dominican Republic, 6%, 7/19/2028 (n) | 3,561,000 | 4,077,381 | ||
Dominican Republic, 4.875%, 9/23/2032 (n) | 3,806,000 | 3,996,338 | ||
Dominican Republic, 5.3%, 1/21/2041 (n) | 1,002,000 | 1,022,050 | ||
Dominican Republic, 5.875%, 1/30/2060 (n) | 2,282,000 | 2,321,958 | ||
Dominican Republic, 5.875%, 1/30/2060 | 2,407,000 | 2,449,147 | ||
Federal Republic of Nigeria, 7.625%, 11/21/2025 | 1,042,000 | 1,165,435 | ||
Federal Republic of Nigeria, 6.5%, 11/28/2027 (n) | 2,571,000 | 2,713,665 | ||
Federal Republic of Nigeria, 7.143%, 2/23/2030 (n) | 521,000 | 548,034 | ||
Federal Republic of Nigeria, 7.875%, 2/16/2032 | 1,417,000 | 1,524,525 | ||
Federal Republic of Nigeria, 7.696%, 2/23/2038 | 969,000 | 992,450 | ||
Federative Republic of Brazil, 10%, 1/01/2023 | BRL | 14,946,000 | 2,939,722 | |
Federative Republic of Brazil, 3.75%, 9/12/2031 | $ | 1,249,000 | 1,230,265 | |
Federative Republic of Brazil, 4.75%, 1/14/2050 | 1,053,000 | 996,412 | ||
Government of Jamaica, 8%, 3/15/2039 | 3,225,000 | 4,579,532 | ||
Government of Jamaica, 7.875%, 7/28/2045 | 1,935,000 | 2,752,557 | ||
Government of Malaysia, 4.065%, 6/15/2050 | MYR | 12,547,000 | 2,950,431 | |
Government of Oman, 6.25%, 1/25/2031 | $ | 1,488,000 | 1,622,039 | |
Government of Oman, 7%, 1/25/2051 | 336,000 | 349,994 | ||
Government of Romania, 2.625%, 12/02/2040 (n) | EUR | 602,000 | 700,825 | |
Government of Ukraine, 7.75%, 9/01/2024 (n) | $ | 2,600,000 | 2,854,072 | |
Government of Ukraine, 7.75%, 9/01/2025 | 4,164,000 | 4,590,810 | ||
Government of Ukraine, 7.75%, 9/01/2026 | 3,434,000 | 3,816,754 | ||
Government of Ukraine, 6.876%, 5/21/2029 (n) | 2,213,000 | 2,335,777 | ||
Government of Ukraine, 6.876%, 5/21/2029 | 598,000 | �� 631,177 | ||
Government of Ukraine, 4.375%, 1/27/2030 (n) | EUR | 1,074,000 | 1,208,270 | |
Government of Ukraine, 7.253%, 3/15/2033 (n) | $ | 3,003,000 | 3,180,141 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
Government of Ukraine, 7.253%, 3/15/2033 | $ | 3,089,000 | $ 3,271,214 | |
Government of Ukraine, GDP Linked Bond, 0%, 5/31/2040 | 6,063,000 | 6,902,726 | ||
Hashemite Kingdom of Jordan, 5.85%, 7/07/2030 (n) | 2,432,000 | 2,565,760 | ||
Islamic Republic of Pakistan, 8.875%, 4/08/2051 (n) | 1,504,000 | 1,552,910 | ||
Kingdom of Morocco, 1.375%, 3/30/2026 (n) | EUR | 1,001,000 | 1,194,814 | |
Kingdom of Morocco, 2.375%, 12/15/2027 (n) | $ | 1,562,000 | 1,542,475 | |
Kingdom of Morocco, 3%, 12/15/2032 (n) | 1,638,000 | 1,584,627 | ||
Kingdom of Morocco, 3%, 12/15/2032 | 1,357,000 | 1,312,784 | ||
Kingdom of Morocco, 4%, 12/15/2050 (n) | 1,126,000 | 1,046,414 | ||
Kingdom of Saudi Arabia, 2.25%, 2/02/2033 (n) | 1,288,000 | 1,268,922 | ||
Oriental Republic of Uruguay, 8.5%, 3/15/2028 | UYU | 82,019,000 | 2,002,722 | |
Oriental Republic of Uruguay, 4.375%, 1/23/2031 | $ | 3,844,000 | 4,509,166 | |
Oriental Republic of Uruguay, 8.25%, 5/21/2031 | UYU | 53,264,000 | 1,268,131 | |
Oriental Republic of Uruguay, Inflation Linked Bond, 3.875%, 7/02/2040 | 82,945,565 | 2,263,315 | ||
Republic of Angola, 9.375%, 5/08/2048 | $ | 2,905,000 | 3,086,249 | |
Republic of Argentina, 0.5%, 7/09/2030 | 1,517,982 | 592,332 | ||
Republic of Argentina, 1.125%, 7/09/2035 | 2,781,057 | 970,617 | ||
Republic of Benin, 4.875%, 1/19/2032 (n) | EUR | 1,060,000 | 1,266,844 | |
Republic of Benin, 6.875%, 1/19/2052 (n) | 419,000 | 519,293 | ||
Republic of Chile, 5%, 10/01/2028 (n) | CLP | 870,000,000 | 1,156,325 | |
Republic of Chile, 2.55%, 7/27/2033 | $ | 1,604,000 | 1,632,407 | |
Republic of Colombia, 3.875%, 4/25/2027 | 1,350,000 | 1,429,596 | ||
Republic of Colombia, 5.75%, 11/03/2027 | COP | 11,984,300,000 | 3,075,929 | |
Republic of Colombia, 3.25%, 4/22/2032 | $ | 2,274,000 | 2,219,106 | |
Republic of Costa Rica, 6.125%, 2/19/2031 | 3,248,000 | 3,451,032 | ||
Republic of Costa Rica, 7.158%, 3/12/2045 | 1,997,000 | 2,081,892 | ||
Republic of Cote d'Ivoire, 5.25%, 3/22/2030 (n) | EUR | 2,432,000 | 3,061,269 | |
Republic of Cote d'Ivoire, 5.875%, 10/17/2031 (n) | 1,678,000 | 2,161,454 | ||
Republic of Cote d'Ivoire, 4.875%, 1/30/2032 (n) | 1,724,000 | 2,075,169 | ||
Republic of Cote d'Ivoire, 6.875%, 10/17/2040 (n) | 2,193,000 | 2,892,876 | ||
Republic of Cote d'Ivoire, 6.625%, 3/22/2048 (n) | 602,000 | 763,104 | ||
Republic of Croatia, 2.75%, 1/27/2030 | 1,000,000 | 1,386,473 | ||
Republic of Croatia, 1.75%, 3/04/2041 | 1,325,000 | 1,655,954 | ||
Republic of Ecuador, 0%, 7/31/2030 (n) | $ | 532,211 | 300,705 | |
Republic of Ecuador, 5%, 7/31/2030 | 1,965,000 | 1,758,695 | ||
Republic of Ecuador, 1%, 7/31/2035 (n) | 3,587,406 | 2,569,515 | ||
Republic of Ecuador, 1%, 7/31/2035 | 4,219,000 | 3,021,901 | ||
Republic of Ecuador, 0.5%, 7/31/2040 (n) | 3,326,765 | 2,125,004 | ||
Republic of Ecuador, 0.5%, 7/31/2040 | 2,198,000 | 1,403,994 | ||
Republic of El Salvador, 6.375%, 1/18/2027 | 1,580,000 | 1,374,616 | ||
Republic of Ghana, 7.75%, 4/07/2029 (n) | 1,182,000 | 1,193,413 | ||
Republic of Ghana, 8.625%, 4/07/2034 (n) | 631,000 | 638,320 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
Republic of Ghana, 7.875%, 2/11/2035 | $ | 2,325,000 | $ 2,235,116 | |
Republic of Ghana, 8.875%, 5/07/2042 (n) | 596,000 | 592,923 | ||
Republic of Ghana, 8.75%, 3/11/2061 | 1,973,000 | 1,891,910 | ||
Republic of Guatemala, 4.9%, 6/01/2030 | 4,648,000 | 5,198,834 | ||
Republic of Guatemala, 5.375%, 4/24/2032 (n) | 880,000 | 1,015,960 | ||
Republic of Guatemala, 6.125%, 6/01/2050 | 2,624,000 | 3,144,890 | ||
Republic of Hungary, 1.75%, 6/05/2035 | EUR | 2,896,000 | 3,688,734 | |
Republic of India, 7.27%, 4/08/2026 | INR | 269,280,000 | 3,903,052 | |
Republic of India, 7.26%, 1/14/2029 | 283,120,000 | 4,092,021 | ||
Republic of Indonesia, 1.1%, 3/12/2033 | EUR | 1,082,000 | 1,261,155 | |
Republic of Indonesia, 7.125%, 6/15/2042 | IDR | 36,592,000,000 | 2,651,103 | |
Republic of Indonesia, 4.35%, 1/11/2048 | $ | 1,978,000 | 2,293,059 | |
Republic of Kenya, 7%, 5/22/2027 (n) | 1,709,000 | 1,876,824 | ||
Republic of Kenya, 8%, 5/22/2032 | 3,895,000 | ��� 4,449,890 | ||
Republic of Kenya, 8.25%, 2/28/2048 (n) | 1,974,000 | 2,234,173 | ||
Republic of Kenya, 8.25%, 2/28/2048 | 1,785,000 | 2,020,263 | ||
Republic of North Macedonia, 1.625%, 3/10/2028 (n) | EUR | 1,618,000 | 1,909,002 | |
Republic of Pakistan, 6%, 4/08/2026 (n) | $ | 1,550,000 | 1,557,363 | |
Republic of Panama, 3.362%, 6/30/2031 (n) | 1,539,000 | 1,565,933 | ||
Republic of Panama, 2.252%, 9/29/2032 | 2,191,000 | 2,137,145 | ||
Republic of Paraguay, 6.1%, 8/11/2044 | 4,048,000 | 5,110,640 | ||
Republic of Paraguay, 5.6%, 3/13/2048 | 1,226,000 | 1,471,212 | ||
Republic of Paraguay, 5.4%, 3/30/2050 (n) | 1,944,000 | 2,321,136 | ||
Republic of Philippines, 1.2%, 4/28/2033 | EUR | 2,353,000 | 2,839,327 | |
Republic of Philippines, 1.75%, 4/28/2041 | 1,891,000 | 2,268,478 | ||
Republic of Romania, 1.75%, 7/13/2030 (n) | 1,556,000 | 1,844,173 | ||
Republic of Romania, 2.124%, 7/16/2031 | 1,290,000 | 1,566,535 | ||
Republic of Romania, 2%, 1/28/2032 (n) | 3,455,000 | 4,115,456 | ||
Republic of Romania, 2%, 1/28/2032 | 1,150,000 | 1,369,833 | ||
Republic of Romania, 2%, 4/14/2033 (n) | 2,181,000 | 2,563,375 | ||
Republic of Romania, 2.75%, 4/14/2041 (n) | 1,029,000 | 1,199,972 | ||
Republic of Rwanda, 5.5%, 8/09/2031 (n) | $ | 793,000 | 816,219 | |
Republic of Senegal, 4.75%, 3/13/2028 (n) | EUR | 1,883,000 | 2,358,052 | |
Republic of Senegal, 5.375%, 6/08/2037 (n) | 633,000 | 764,755 | ||
Republic of Senegal, 6.75%, 3/13/2048 | $ | 1,061,000 | 1,102,943 | |
Republic of Serbia, 3.125%, 5/15/2027 (n) | EUR | 1,566,000 | 2,061,141 | |
Republic of Serbia, 1.65%, 3/03/2033 (n) | 1,574,000 | 1,839,916 | ||
Republic of South Africa, 4.85%, 9/27/2027 | $ | 1,734,000 | 1,858,848 | |
Republic of South Africa, 4.85%, 9/30/2029 | 1,946,000 | 2,058,284 | ||
Republic of South Africa, 8%, 1/31/2030 | ZAR | 37,114,000 | 2,439,732 | |
Republic of South Africa, 8.25%, 3/31/2032 | 63,469,000 | 4,031,912 | ||
Republic of Sri Lanka, 6.125%, 6/03/2025 | $ | 4,379,000 | 2,890,140 | |
Republic of Sri Lanka, 7.55%, 3/28/2030 | 2,892,000 | 1,840,035 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
Republic of Turkey, 5.6%, 11/14/2024 | $ | 2,529,000 | $ 2,621,855 | |
Republic of Turkey, 6.375%, 10/14/2025 | 1,646,000 | 1,738,999 | ||
Republic of Turkey, 4.75%, 1/26/2026 | 1,172,000 | 1,168,214 | ||
Republic of Turkey, 5.875%, 6/26/2031 | 1,223,000 | 1,216,836 | ||
Republic of Turkey, 6.625%, 2/17/2045 | 1,943,000 | 1,904,140 | ||
Republic of Turkey, 5.75%, 5/11/2047 | 2,106,000 | 1,873,161 | ||
Republic of Uzbekistan, 3.7%, 11/25/2030 (n) | 1,498,000 | 1,482,870 | ||
Republic of Uzbekistan, 3.9%, 10/19/2031 (n) | 835,000 | 833,864 | ||
Russian Federation, 4.75%, 5/27/2026 | 2,800,000 | 3,175,760 | ||
Russian Federation, 4.25%, 6/23/2027 | 5,600,000 | 6,288,184 | ||
State of Qatar, 3.75%, 4/16/2030 (n) | 1,818,000 | 2,071,131 | ||
State of Qatar, 5.103%, 4/23/2048 (n) | 2,326,000 | 3,131,466 | ||
State of Qatar, 4.817%, 3/14/2049 (n) | 1,236,000 | 1,614,147 | ||
Sultanate of Oman, 6%, 8/01/2029 | 1,515,000 | 1,620,132 | ||
Sultanate of Oman, 6.75%, 1/17/2048 | 3,925,000 | 4,008,406 | ||
Sultanate of Oman, 7%, 1/25/2051 (n) | 3,249,000 | 3,384,321 | ||
United Mexican States, 2.659%, 5/24/2031 | 1,818,000 | 1,806,892 | ||
United Mexican States, 1.45%, 10/25/2033 | EUR | 722,000 | 818,913 | |
United Mexican States, 4.5%, 1/31/2050 | $ | 1,241,000 | 1,348,731 | |
$311,827,454 | ||||
Energy - Independent – 0.6% | ||||
Diamondback Energy, Inc., 3.125%, 3/24/2031 | $ | 936,000 | $ 974,414 | |
Energean Israel Finance Ltd., 4.875%, 3/30/2026 | 1,724,000 | 1,764,686 | ||
Energean Israel Finance Ltd., 5.375%, 3/30/2028 | 1,533,000 | 1,564,472 | ||
Hess Corp., 5.8%, 4/01/2047 | 1,364,000 | 1,774,018 | ||
Leviathan Bond Ltd., 6.75%, 6/30/2030 (n) | 2,841,000 | 3,175,045 | ||
Medco Bell Pte. Ltd., 6.375%, 1/30/2027 (n) | 1,718,000 | 1,746,931 | ||
Sierracol Energy Andina LLC, 6%, 6/15/2028 (n) | 2,195,000 | 2,189,513 | ||
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n) | 2,119,000 | 2,296,886 | ||
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 | 1,507,000 | 1,633,510 | ||
Tengizchevroil Finance Co. International Ltd., 3.25%, 8/15/2030 (n) | 3,178,000 | 3,257,450 | ||
$20,376,925 | ||||
Energy - Integrated – 0.1% | ||||
Cenovus Energy, Inc., 6.75%, 11/15/2039 | $ | 801,000 | $ 1,081,636 | |
Eni S.p.A., 4.75%, 9/12/2028 (n) | 1,818,000 | 2,138,210 | ||
$3,219,846 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Financial Institutions – 0.3% | ||||
AerCap Ireland Capital DAC, 3.65%, 7/21/2027 | $ | 1,669,000 | $ 1,777,805 | |
Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | 909,000 | 985,609 | ||
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 855,000 | 929,070 | ||
Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | 1,636,000 | 1,641,278 | ||
Muthoot Finance Ltd., 4.4%, 9/02/2023 (n) | 2,255,000 | 2,311,375 | ||
Shriram Transport Finance Co. Ltd., 4.4%, 3/13/2024 (n) | 2,049,000 | 2,069,449 | ||
Times China Holdings Ltd., 6.75%, 7/08/2025 | 1,256,000 | 1,249,900 | ||
$10,964,486 | ||||
Food & Beverages – 0.8% | ||||
Anheuser-Busch InBev Worldwide, Inc., 3.5%, 6/01/2030 | $ | 2,791,000 | $ 3,108,646 | |
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | 1,364,000 | 1,896,102 | ||
Aragvi Finance International DAC, 8.45%, 4/29/2026 (n) | 1,588,000 | 1,648,122 | ||
Bacardi Ltd., 5.15%, 5/15/2038 (n) | 1,036,000 | 1,296,504 | ||
Central American Bottling Corp., 5.75%, 1/31/2027 (n) | 1,742,000 | 1,824,745 | ||
Constellation Brands, Inc., 3.5%, 5/09/2027 | 2,727,000 | 3,016,421 | ||
Constellation Brands, Inc., 3.15%, 8/01/2029 | 1,527,000 | 1,649,943 | ||
Constellation Brands, Inc., 4.1%, 2/15/2048 | 2,446,000 | 2,823,827 | ||
Corporacion Lindley S.A., 6.75%, 11/23/2021 (n) | 286,250 | 288,397 | ||
Grupo Bimbo S.A.B. de C.V., 5.95%, 4/17/2059 | 1,248,000 | 1,321,632 | ||
JBS Finance Luxembourg S.à r.l., 3.625%, 1/15/2032 (n) | 1,297,000 | 1,342,149 | ||
JBS Investments II GmbH, 5.75%, 1/15/2028 (n) | 1,796,000 | 1,896,217 | ||
JBS Investments II GmbH, 5.75%, 1/15/2028 | 928,000 | 979,782 | ||
JBS USA Lux S.A./JBS USA Finance, Inc., 6.5%, 4/15/2029 (n) | 1,304,000 | 1,476,780 | ||
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 6.5%, 4/15/2029 | 1,107,000 | 1,253,677 | ||
PT Indofood CBP Sukses Makmur Tbk, 3.398%, 6/09/2031 | 759,000 | 794,852 | ||
SYSCO Corp., 2.4%, 2/15/2030 | 218,000 | 224,549 | ||
SYSCO Corp., 4.45%, 3/15/2048 | 391,000 | 473,756 | ||
$27,316,101 | ||||
Forest & Paper Products – 0.1% | ||||
Celulosa Arauco y Constitucion, 4.2%, 1/29/2030 (n) | $ | 1,818,000 | $ 1,983,892 | |
Gaming & Lodging – 0.1% | ||||
GENM Capital Labuan Ltd., 3.882%, 4/19/2031 (n) | $ | 1,716,000 | $ 1,726,626 | |
Marriott International, Inc., 4.625%, 6/15/2030 | 455,000 | 522,871 | ||
Marriott International, Inc., 2.85%, 4/15/2031 | 482,000 | 491,723 | ||
Marriott International, Inc., 3.5%, 10/15/2032 | 1,164,000 | 1,242,533 | ||
$3,983,753 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Industrial – 0.2% | ||||
Arabian Centres Sukuk II Ltd., 5.625%, 10/07/2026 (n) | $ | 2,278,000 | $ 2,357,502 | |
Dar Al-Arkan Sukuk Co. Ltd., 6.875%, 2/26/2027 | 1,811,000 | 1,869,894 | ||
GEMS Menasa Cayman Ltd./GEMS Education Delaware LLC, 7.125%, 7/31/2026 (n) | 1,470,000 | 1,521,450 | ||
Howard University, Washington D.C., 2.638%, 10/01/2021 | 181,000 | 181,320 | ||
Howard University, Washington D.C., 2.738%, 10/01/2022 | 190,000 | 193,826 | ||
Howard University, Washington D.C., 2.801%, 10/01/2023 | 209,000 | 216,978 | ||
Howard University, Washington D.C., AGM, 2.416%, 10/01/2024 | 230,000 | 236,305 | ||
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | 285,000 | 294,084 | ||
Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | 2,127,000 | 2,089,050 | ||
$8,960,409 | ||||
Insurance - Health – 0.1% | ||||
UnitedHealth Group, Inc., 2.3%, 5/15/2031 | $ | 143,000 | $ 148,084 | |
UnitedHealth Group, Inc., 4.625%, 7/15/2035 | 2,782,000 | 3,537,645 | ||
UnitedHealth Group, Inc., 3.25%, 5/15/2051 | 477,000 | 522,574 | ||
$4,208,303 | ||||
Insurance - Property & Casualty – 0.2% | ||||
Aon Corp./Aon Global Holdings PLC, 2.05%, 8/23/2031 | $ | 1,593,000 | $ 1,585,384 | |
Fairfax Financial Holdings Ltd., 4.625%, 4/29/2030 | 1,100,000 | 1,261,390 | ||
Fairfax Financial Holdings Ltd., 3.375%, 3/03/2031 (n) | 536,000 | 565,579 | ||
Hartford Financial Services Group, Inc., 3.6%, 8/19/2049 | 1,318,000 | 1,480,539 | ||
Progressive Corp., 4.125%, 4/15/2047 | 1,427,000 | 1,784,054 | ||
Willis North America, Inc., 3.875%, 9/15/2049 | 1,818,000 | 2,053,565 | ||
$8,730,511 | ||||
International Market Sovereign – 0.1% | ||||
Government of Bermuda, 2.375%, 8/20/2030 (n) | $ | 1,818,000 | $ 1,824,817 | |
Government of Bermuda, 3.375%, 8/20/2050 (n) | 1,290,000 | 1,345,857 | ||
$3,170,674 | ||||
Internet – 0.0% | ||||
XP, Inc., 3.25%, 7/01/2026 (n) | $ | 1,819,000 | $ 1,776,072 | |
Machinery & Tools – 0.1% | ||||
CNH Industrial Capital LLC, 3.85%, 11/15/2027 | $ | 3,018,000 | $ 3,365,870 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – 1.6% | ||||
Australia and New Zealand Banking Group Ltd., 2.57%, 11/25/2035 (n) | $ | 982,000 | $ 966,514 | |
Bank of America Corp., 3.366% to 1/23/2025, FLR (LIBOR - 3mo. + 0.81%) to 1/23/2026 | 6,364,000 | 6,836,174 | ||
Bank of America Corp., 3.419% to 12/20/2027, FLR (LIBOR - 3mo. + 1.04%) to 12/20/2028 | 3,227,000 | 3,544,151 | ||
Bank of America Corp., 2.496% to 2/13/2030, FLR (LIBOR - 3mo. + 0.99%) to 2/13/2031 | 1,446,000 | 1,486,895 | ||
Bank of America Corp., 3.311% to 4/22/2041, FLR (SOFR + 1.58%) to 4/22/2042 | 2,255,000 | 2,431,367 | ||
Commonwealth Bank of Australia, 3.61% to 9/12/2029, FLR (CMT - 1yr. + 2.05%) to 9/12/2034 (n) | 1,818,000 | 1,948,262 | ||
Commonwealth Bank of Australia, 3.305%, 3/11/2041 (n) | 1,818,000 | 1,885,406 | ||
Credit Agricole S.A., 1.247% to 1/26/2026, FLR (SOFR + 0.89162%) to 1/26/2027 (n) | 2,273,000 | 2,250,927 | ||
Credit Suisse Group AG, 3.091% to 5/14/2031, FLR (SOFR + 1.73%) to 5/14/2032 (n) | 2,273,000 | 2,370,917 | ||
Goldman Sachs Group, Inc., 2.908%, 7/21/2042 | 1,896,000 | 1,915,400 | ||
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR + 1.929%) to 6/04/2026 | 3,637,000 | 3,739,522 | ||
HSBC Holdings PLC, 2.357% to 8/18/2030, FLR (SOFR + 1.947%) to 8/18/2031 | 4,091,000 | 4,108,895 | ||
HSBC Holdings PLC, 5.25%, 3/14/2044 | 1,818,000 | 2,409,582 | ||
JPMorgan Chase & Co., 3.782% to 2/01/2027, FLR (LIBOR - 3mo. + 1.337%) to 2/01/2028 | 5,000,000 | 5,558,174 | ||
JPMorgan Chase & Co., 3.109% to 4/22/2040, FLR (SOFR + 2.46%) to 4/22/2041 | 909,000 | 957,769 | ||
Kasikornbank PLC (Hong Kong Branch), 3.343% to 10/02/2026, FLR (CMT - 5yr. + 1.7%) to 10/02/2031 | 1,269,000 | 1,289,388 | ||
Morgan Stanley, 3.125%, 7/27/2026 | 3,309,000 | 3,590,690 | ||
Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR + 3.12%) to 4/01/2031 | 2,782,000 | 3,116,026 | ||
Morgan Stanley, 3.217% to 4/22/2041, FLR (SOFR + 1.485%) to 4/22/2042 | 1,309,000 | 1,403,281 | ||
Oversea-Chinese Banking Corp. Ltd., 1.832% to 9/10/2025, FLR (CMT - 1yr. + 1.58%) to 9/10/2030 (n) | 723,000 | 723,983 | ||
Sumitomo Mitsui Financial Group, Inc., 1.71%, 1/12/2031 | 1,818,000 | 1,770,855 | ||
UBS Group AG, 3.491%, 5/23/2023 (n) | 829,000 | 847,515 | ||
UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | 3,182,000 | 3,240,900 | ||
$58,392,593 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Medical & Health Technology & Services – 0.5% | ||||
Alcon Finance Corp., 2.75%, 9/23/2026 (n) | $ | 1,818,000 | $ 1,927,107 | |
Alcon, Inc., 2.6%, 5/27/2030 (n) | 1,818,000 | 1,877,045 | ||
Becton, Dickinson and Co., 2.823%, 5/20/2030 | 3,182,000 | 3,369,091 | ||
HCA, Inc., 5.125%, 6/15/2039 | 1,600,000 | 2,015,357 | ||
Montefiore Obligated Group, AGM, 5.246%, 11/01/2048 | 3,192,000 | 4,186,855 | ||
ProMedica Toledo Hospital, “B”, AGM, 5.325%, 11/15/2028 | 1,721,000 | 2,059,827 | ||
Thermo Fisher Scientific, Inc., 2.8%, 10/15/2041 | 1,407,000 | 1,437,746 | ||
$16,873,028 | ||||
Medical Equipment – 0.1% | ||||
Boston Scientific Corp., 3.75%, 3/01/2026 | $ | 764,000 | $ 846,189 | |
Danaher Corp., 2.6%, 10/01/2050 | 2,027,000 | 1,979,506 | ||
$2,825,695 | ||||
Metals & Mining – 0.2% | ||||
Anglo American Capital PLC, 2.875%, 3/17/2031 (n) | $ | 2,616,000 | $ 2,693,190 | |
First Quantum Minerals Ltd., 6.875%, 10/15/2027 (n) | 1,802,000 | 1,950,665 | ||
Glencore Funding LLC, 2.5%, 9/01/2030 (n) | 909,000 | 907,082 | ||
Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 918,000 | 939,466 | ||
Petra Diamonds US$ Treasury PLC, 10.5%,(0% cash or 10.5% PIK) 3/08/2026 (n)(p) | 1,453,584 | 1,437,776 | ||
$7,928,179 | ||||
Midstream – 0.6% | ||||
Cheniere Corpus Christi Holdings LLC, 3.7%, 11/15/2029 | $ | 822,000 | $ 901,728 | |
Energy Transfer LP, 3.75%, 5/15/2030 | 473,000 | 513,569 | ||
Energy Transfer Partners LP, 5.15%, 3/15/2045 | 1,364,000 | 1,583,110 | ||
Enterprise Products Operating LLC, 3.7%, 1/31/2051 | 840,000 | 910,199 | ||
Galaxy Pipeline Assets Bidco Ltd., 1.75%, 9/30/2027 (n) | 2,000,000 | 2,031,429 | ||
Galaxy Pipeline Assets Bidco Ltd., 2.625%, 3/31/2036 (n) | 2,156,000 | 2,153,754 | ||
Galaxy Pipeline Assets Bidco Ltd., 2.94%, 9/30/2040 (n) | 1,779,000 | 1,806,900 | ||
Galaxy Pipeline Assets Bidco Ltd., 3.25%, 9/30/2040 (n) | 1,589,000 | 1,631,585 | ||
MPLX LP, 4.5%, 4/15/2038 | 1,655,000 | 1,892,801 | ||
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/2029 | 1,827,000 | 1,935,190 | ||
Plains All American Pipeline LP/PAA Finance Corp., 4.3%, 1/31/2043 | 1,364,000 | 1,374,132 | ||
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 3,055,000 | 3,432,207 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 927,000 | 1,073,805 | ||
$21,240,409 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – 3.1% | ||||
Fannie Mae, 4.5%, 1/01/2023 - 11/01/2042 | $ | 2,004,367 | $ 2,231,397 | |
Fannie Mae, 5%, 7/01/2023 - 3/01/2042 | 4,152,576 | 4,740,143 | ||
Fannie Mae, 3.5%, 5/25/2025 - 5/01/2049 | 4,340,824 | 4,664,291 | ||
Fannie Mae, 3%, 11/01/2028 - 9/01/2046 | 7,362,036 | 7,799,009 | ||
Fannie Mae, 2.5%, 11/01/2031 - 10/01/2046 | 758,506 | 791,558 | ||
Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | 709,940 | 74,162 | ||
Fannie Mae, 6.5%, 1/01/2033 - 10/01/2037 | 51,206 | 58,307 | ||
Fannie Mae, 3%, 2/25/2033 (i) | 855,847 | 83,923 | ||
Fannie Mae, 5.5%, 5/01/2033 - 5/01/2044 | 3,602,668 | 4,175,925 | ||
Fannie Mae, 6%, 8/01/2034 - 6/01/2038 | 192,797 | 225,529 | ||
Fannie Mae, 4%, 9/01/2040 - 7/01/2043 | 4,761,269 | 5,240,477 | ||
Fannie Mae, 2%, 10/25/2040 - 5/25/2044 | 536,054 | 540,855 | ||
Fannie Mae, UMBS, 5.5%, 5/01/2044 | 585,890 | 679,601 | ||
Fannie Mae, UMBS, 2.5%, 2/01/2050 - 7/01/2050 | 3,571,907 | 3,745,363 | ||
Fannie Mae, UMBS, 2%, 1/01/2051 - 2/01/2051 | 1,338,404 | 1,365,024 | ||
Freddie Mac, 5%, 4/01/2023 - 12/01/2044 | 1,925,700 | 2,194,640 | ||
Freddie Mac, 1.017%, 4/25/2024 (i) | 17,683,079 | 318,759 | ||
Freddie Mac, 0.732%, 7/25/2024 (i) | 24,071,609 | 302,515 | ||
Freddie Mac, 4.5%, 9/01/2024 - 5/01/2042 | 1,214,329 | 1,357,074 | ||
Freddie Mac, 4%, 7/01/2025 - 4/01/2044 | 1,380,372 | 1,521,866 | ||
Freddie Mac, 3.5%, 1/15/2027 - 10/25/2058 | 4,800,132 | 5,210,131 | ||
Freddie Mac, 1.481%, 3/25/2027 (i) | 2,188,000 | 155,708 | ||
Freddie Mac, 0.711%, 7/25/2027 (i) | 45,363,129 | 1,416,368 | ||
Freddie Mac, 0.562%, 8/25/2027 (i) | 34,428,417 | 828,561 | ||
Freddie Mac, 0.427%, 1/25/2028 (i) | 63,799,973 | 1,212,091 | ||
Freddie Mac, 0.434%, 1/25/2028 (i) | 26,301,096 | 513,971 | ||
Freddie Mac, 0.269%, 2/25/2028 (i) | 78,646,610 | 784,681 | ||
Freddie Mac, 2.5%, 3/15/2028 | 277,614 | 282,750 | ||
Freddie Mac, 0.262%, 4/25/2028 (i) | 50,520,625 | 470,418 | ||
Freddie Mac, 3%, 6/15/2028 - 3/01/2047 | 6,493,128 | 6,898,904 | ||
Freddie Mac, 1.218%, 7/25/2029 (i) | 8,111,911 | 629,354 | ||
Freddie Mac, 1.268%, 8/25/2029 (i) | 14,242,054 | 1,158,654 | ||
Freddie Mac, 1.915%, 4/25/2030 (i) | 3,344,437 | 477,720 | ||
Freddie Mac, 1.984%, 4/25/2030 (i) | 8,166,315 | 1,213,296 | ||
Freddie Mac, 1.765%, 5/25/2030 (i) | 4,373,949 | 585,205 | ||
Freddie Mac, 1.906%, 5/25/2030 (i) | 9,928,903 | 1,429,756 | ||
Freddie Mac, 5.5%, 6/01/2030 - 9/01/2041 | 1,178,385 | 1,369,291 | ||
Freddie Mac, 1.436%, 6/25/2030 (i) | 3,957,955 | 431,246 | ||
Freddie Mac, 1.704%, 8/25/2030 (i) | 3,506,241 | 460,651 | ||
Freddie Mac, 1.263%, 9/25/2030 (i) | 2,193,674 | 215,568 | ||
Freddie Mac, 0.423%, 1/25/2031 (i) | 12,741,258 | 347,785 | ||
Freddie Mac, 0.874%, 1/25/2031 (i) | 4,987,462 | 343,543 | ||
Freddie Mac, 6%, 8/01/2034 - 10/01/2038 | 228,425 | 269,510 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Freddie Mac, 5.5%, 2/15/2036 (i) | $ | 212,228 | $ 38,909 | |
Freddie Mac, 6.5%, 5/01/2037 | 8,416 | 9,825 | ||
Freddie Mac, 4.5%, 12/15/2040 (i) | 79,729 | 7,682 | ||
Freddie Mac, UMBS, 2.5%, 8/01/2040 | 298,286 | 315,408 | ||
Freddie Mac, UMBS, 3%, 2/01/2050 - 6/01/2050 | 1,486,116 | 1,571,941 | ||
Ginnie Mae, 5.5%, 5/15/2033 - 1/20/2042 | 175,386 | 204,190 | ||
Ginnie Mae, 4.5%, 7/20/2033 - 9/20/2041 | 2,796,083 | 3,109,798 | ||
Ginnie Mae, 5.698%, 8/20/2034 | 589,913 | 673,231 | ||
Ginnie Mae, 4%, 5/16/2039 - 7/20/2049 | 1,903,810 | 2,045,348 | ||
Ginnie Mae, 3.5%, 10/20/2041 (i) | 343,953 | 24,768 | ||
Ginnie Mae, 3.5%, 12/15/2041 - 4/20/2047 | 4,085,987 | 4,401,510 | ||
Ginnie Mae, 2.5%, 6/20/2042 - 8/20/2051 | 4,647,365 | 4,824,504 | ||
Ginnie Mae, 4%, 8/16/2042 (i) | 378,060 | 49,923 | ||
Ginnie Mae, 3%, 4/20/2045 - 9/20/2047 | 3,330,725 | 3,518,752 | ||
Ginnie Mae, 5.87%, 4/20/2058 | 1,763 | 2,027 | ||
Ginnie Mae, 0.558%, 2/16/2059 (i) | 1,433,920 | 61,362 | ||
Ginnie Mae, TBA, 2.5%, 2/20/2051 - 10/15/2051 | 125,000 | 129,390 | ||
Ginnie Mae, TBA, 3.5%, 9/15/2051 | 1,700,000 | 1,789,117 | ||
Ginnie Mae, TBA, 2%, 9/21/2051 | 1,425,000 | 1,454,558 | ||
UMBS, TBA, 2.5%, 9/14/2051 - 10/25/2051 | 3,780,000 | 3,925,153 | ||
UMBS, TBA, 2%, 9/25/2051 - 10/14/2051 | 14,100,000 | 14,266,487 | ||
UMBS, TBA, 3%, 9/25/2051 | 1,825,000 | 1,909,050 | ||
$113,148,513 | ||||
Municipals – 0.1% | ||||
Massachusetts Educational Financing Authority, Education Loan Rev., “A”, 2.562%, 7/01/2026 | $ | 55,000 | $ 57,666 | |
Massachusetts Educational Financing Authority, Education Loan Rev., “A”, 2.682%, 7/01/2027 | 255,000 | 267,749 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev. (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 599,796 | 624,542 | ||
Philadelphia, PA, School District, “A”, AGM, 5.995%, 9/01/2030 | 1,210,000 | 1,587,074 | ||
State of Florida, “A”, 2.154%, 7/01/2030 | 936,000 | 960,283 | ||
Texas Transportation Commission, Central Texas Turnpike System First Tier Refunding Rev., Taxable, “B”, 1.98%, 8/15/2042 | 1,355,000 | 1,373,448 | ||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, “A-1”, 1.497%, 6/01/2024 | 210,000 | 212,872 | ||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, “A-1”, 1.647%, 6/01/2025 | 175,000 | 177,287 | ||
$5,260,921 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Natural Gas - Distribution – 0.2% | ||||
ENN Clean Energy International Investment Ltd., 3.375%, 5/12/2026 (n) | $ | 1,893,000 | $ 1,922,683 | |
Infraestructura Energética Nova S.A.B. de C.V., 4.875%, 1/14/2048 | 2,466,000 | 2,576,970 | ||
NiSource, Inc., 5.65%, 2/01/2045 | 773,000 | 1,083,786 | ||
$5,583,439 | ||||
Network & Telecom – 0.2% | ||||
AT&T, Inc., 2.75%, 6/01/2031 | $ | 3,309,000 | $ 3,467,476 | |
AT&T, Inc., 3.3%, 2/01/2052 | 1,682,000 | 1,674,904 | ||
AT&T, Inc., 3.55%, 9/15/2055 (n) | 519,000 | 531,066 | ||
Verizon Communications, Inc., 2.1%, 3/22/2028 | 236,000 | 242,257 | ||
Verizon Communications, Inc., 3.15%, 3/22/2030 | 427,000 | 463,198 | ||
Verizon Communications, Inc., 3.4%, 3/22/2041 | 864,000 | 925,681 | ||
$7,304,582 | ||||
Oil Services – 0.1% | ||||
Guara Norte S.à r.l., 5.198%, 6/15/2034 (n) | $ | 1,259,296 | $ 1,296,319 | |
Halliburton Co., 5%, 11/15/2045 | 909,000 | 1,092,287 | ||
MV24 Capital B.V., 6.748%, 6/01/2034 | 1,163,477 | 1,266,457 | ||
$3,655,063 | ||||
Oils – 0.2% | ||||
FS Luxembourg S.à r.l., 10%, 12/15/2025 (n) | $ | 1,740,000 | $ 1,957,517 | |
MC Brazil Downstream Trading S.à r.l., 7.25%, 6/30/2031 (n) | 1,553,000 | 1,616,207 | ||
Puma International Financing S.A., 5%, 1/24/2026 | 2,372,000 | 2,372,000 | ||
$5,945,724 | ||||
Other Banks & Diversified Financials – 0.7% | ||||
Banco Continental S.A.E.C.A., 2.75%, 12/10/2025 (n) | $ | 1,239,000 | $ 1,230,277 | |
Banco GNB Sudameris S.A., 7.5% to 4/16/2026, FLR (CMT - 5yr. + 6.66%) to 4/16/2031 (n) | 1,456,000 | 1,493,871 | ||
Banco Industrial S. A., 4.875% to 1/29/2026, FLR (CMT - 5yr. + 4.442%) to 1/29/2031 (n) | 1,050,000 | 1,081,500 | ||
Bank Leumi le-Israel B.M., 3.275% to 1/29/2026, FLR (CMT - 5yr. + 1.631%) to 1/29/2031 (n) | 3,963,000 | 4,057,121 | ||
BBVA Bancomer S.A./Texas, 5.875%, 9/13/2034 (n) | 823,000 | 906,798 | ||
BPCE S.A., 1.652% to 10/6/2025, FLR (SOFR + 1.52%) to 10/06/2026 (n) | 2,670,000 | 2,684,745 | ||
Commercial Bank PSQC, 4.5% to 9/03/2026, FLR (CMT - 5yr. + 3.874%) to 9/03/2169 | 1,294,000 | 1,308,557 | ||
Grupo Aval Ltd., 4.375%, 2/04/2030 (n) | 1,643,000 | 1,638,564 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Other Banks & Diversified Financials – continued | ||||
Mizrahi Tefahot Bank Ltd., 3.077% to 4/07/2026, FLR (CMT - 5yr. + 2.25%) to 4/07/2031 (n) | $ | 3,279,000 | $ 3,313,495 | |
NBK Tier 1 Financing Ltd., 3.625% to 2/24/2027, FLR (Swap Rate - 6yr. + 2.875%) to 8/24/2169 | 1,256,000 | 1,255,030 | ||
United Overseas Bank Ltd., 2% to 10/14/2026, FLR (CMT - 5yr. + 1.23%) to 10/14/2031 (n) | 1,677,000 | 1,692,191 | ||
Uzbek Industrial and Construction Bank, 5.75%, 12/02/2024 | 3,783,000 | 3,967,989 | ||
$24,630,138 | ||||
Personal Computers & Peripherals – 0.1% | ||||
Equifax, Inc., 3.1%, 5/15/2030 | $ | 2,237,000 | $ 2,397,084 | |
Equifax, Inc., 2.35%, 9/15/2031 | 2,407,000 | 2,423,307 | ||
$4,820,391 | ||||
Real Estate - Apartment – 0.1% | ||||
American Homes 4 Rent, L.P., 2.375%, 7/15/2031 | $ | 1,118,000 | $ 1,122,855 | |
American Homes 4 Rent, L.P., 3.375%, 7/15/2051 | 1,114,000 | 1,147,770 | ||
Mid-America Apartment Communities, REIT, 1.7%, 2/15/2031 | 1,282,000 | 1,234,132 | ||
$3,504,757 | ||||
Real Estate - Office – 0.1% | ||||
Corporate Office Property LP, REIT, 2%, 1/15/2029 | $ | 1,314,000 | $ 1,302,879 | |
Corporate Office Property LP, REIT, 2.75%, 4/15/2031 | 1,600,000 | 1,632,779 | ||
$2,935,658 | ||||
Real Estate - Other – 0.1% | ||||
Lexington Realty Trust Co., 2.7%, 9/15/2030 | $ | 1,082,000 | $ 1,111,589 | |
Lexington Realty Trust Co., 2.375%, 10/01/2031 | 450,000 | 446,159 | ||
Sun Communities, Inc., 2.7%, 7/15/2031 | 1,100,000 | 1,120,100 | ||
W.P. Carey, Inc., REIT, 2.4%, 2/01/2031 | 1,646,000 | 1,653,599 | ||
$4,331,447 | ||||
Real Estate - Retail – 0.1% | ||||
Brixmor Operating Partnership LP, REIT, 4.05%, 7/01/2030 | $ | 1,573,000 | $ 1,780,447 | |
Brixmor Operating Partnership LP, REIT, 2.5%, 8/16/2031 | 597,000 | 600,149 | ||
National Retail Properties, Inc., REIT, 3.5%, 4/15/2051 | 418,000 | 444,687 | ||
STORE Capital Corp., REIT, 2.75%, 11/18/2030 | 1,909,000 | 1,944,022 | ||
VEREIT Operating Partnership LP, REIT, 3.1%, 12/15/2029 | 373,000 | 401,414 | ||
$5,170,719 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Retailers – 0.3% | ||||
Alibaba Group Holding Ltd., 2.125%, 2/09/2031 | $ | 1,975,000 | $ 1,943,083 | |
Alimentation Couche-Tard, Inc., 3.8%, 1/25/2050 (n) | 1,621,000 | 1,774,421 | ||
Grupo Axo S.A.P.I. de C.V., 5.75%, 6/08/2026 (n) | 1,154,000 | 1,175,937 | ||
Home Depot, Inc., 3.9%, 6/15/2047 | 1,773,000 | 2,132,338 | ||
JD.com, Inc., 3.375%, 1/14/2030 | 1,160,000 | 1,237,641 | ||
Kohl's Corp., 3.375%, 5/01/2031 | 1,718,000 | 1,802,594 | ||
MercadoLibre, Inc., 2.375%, 1/14/2026 | 550,000 | 552,095 | ||
MercadoLibre, Inc., 3.125%, 1/14/2031 | 507,000 | 500,526 | ||
$11,118,635 | ||||
Specialty Stores – 0.0% | ||||
Nordstrom, Inc., 4.25%, 8/01/2031 | $ | 882,000 | $ 918,002 | |
Nordstrom, Inc., 5%, 1/15/2044 | 478,000 | 475,266 | ||
$1,393,268 | ||||
Supranational – 0.1% | ||||
Inter-American Development Bank, 4.375%, 1/24/2044 | $ | 511,000 | $ 718,963 | |
West African Development Bank, 4.7%, 10/22/2031 (n) | 1,855,000 | 2,037,532 | ||
$2,756,495 | ||||
Telecommunications - Wireless – 0.5% | ||||
American Tower Corp., REIT, 4%, 6/01/2025 | $ | 2,400,000 | $ 2,636,567 | |
Cellnex Finance Co. S.A., 3.875%, 7/07/2041 (n) | 1,304,000 | 1,317,470 | ||
Crown Castle International Corp., 4.45%, 2/15/2026 | 799,000 | 899,226 | ||
Crown Castle International Corp., 3.7%, 6/15/2026 | 3,355,000 | 3,694,369 | ||
Millicom International Cellular S.A., 4.5%, 4/27/2031 (n) | 512,000 | 533,760 | ||
Rogers Communications, Inc., 3.7%, 11/15/2049 | 1,709,000 | 1,814,282 | ||
Telefonica Celular del Paraguay S.A., 5.875%, 4/15/2027 (n) | 1,846,000 | 1,940,607 | ||
Telefonica Celular del Paraguay S.A., 5.875%, 4/15/2027 | 1,203,000 | 1,264,654 | ||
T-Mobile USA, Inc., 3.5%, 4/15/2025 | 2,182,000 | 2,355,142 | ||
VEON Holdings B.V., 4%, 4/09/2025 (n) | 1,444,000 | 1,520,965 | ||
$17,977,042 | ||||
Transportation - Services – 0.3% | ||||
Adani Ports & Special Economic Zone Ltd., 5%, 8/02/2041 (n) | $ | 1,694,000 | $ 1,777,565 | |
Aeropuertos Dominicanos Siglo XXI S.A., 6.75%, 3/30/2029 | 737,000 | 764,623 | ||
Cliffton Ltd., 6.25%, 10/25/2025 (n) | 1,732,000 | 1,714,680 | ||
Delhi International Airport Ltd., 6.45%, 6/04/2029 (n) | 1,600,000 | 1,572,000 | ||
ERAC USA Finance LLC, 3.3%, 12/01/2026 | 2,463,000 | 2,688,036 | ||
Hacienda Investments Ltd. via DME Airport Ltd., 5.35%, 2/08/2028 (n) | 1,281,000 | 1,347,046 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Transportation - Services – continued | ||||
ICTSI Treasury B.V., 5.875%, 9/17/2025 | $ | 1,055,000 | $ 1,234,585 | |
$11,098,535 | ||||
U.S. Government Agencies and Equivalents – 0.1% | ||||
Small Business Administration, 6.07%, 3/01/2022 | $ | 1,368 | $ 1,379 | |
Small Business Administration, 5.16%, 2/01/2028 | 25,894 | 28,322 | ||
Small Business Administration, 2.21%, 2/01/2033 | 134,864 | 141,122 | ||
Small Business Administration, 2.22%, 3/01/2033 | 221,819 | 230,341 | ||
Small Business Administration, 3.15%, 7/01/2033 | 262,448 | 281,955 | ||
Small Business Administration, 3.16%, 8/01/2033 | 317,565 | 341,163 | ||
Small Business Administration, 3.62%, 9/01/2033 | 274,559 | 298,449 | ||
Tennessee Valley Authority, 0.75%, 5/15/2025 | 1,502,000 | 1,515,997 | ||
$2,838,728 | ||||
U.S. Treasury Obligations – 2.6% | ||||
U.S. Treasury Bonds, 6.375%, 8/15/2027 | $ | 106,000 | $ 139,676 | |
U.S. Treasury Bonds, 5.25%, 2/15/2029 | 2,965,000 | 3,846,508 | ||
U.S. Treasury Bonds, 1.625%, 5/15/2031 | 2,940,000 | 3,031,416 | ||
U.S. Treasury Bonds, 1.375%, 11/15/2040 | 4,091,000 | 3,786,732 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2043 | 6,853,400 | 8,089,957 | ||
U.S. Treasury Bonds, 2.875%, 11/15/2046 (f) | 7,328,000 | 8,763,830 | ||
U.S. Treasury Notes, 1.75%, 6/15/2022 | 11,589,000 | 11,741,106 | ||
U.S. Treasury Notes, 0.125%, 9/30/2022 | 6,171,000 | 6,173,411 | ||
U.S. Treasury Notes, 2.5%, 8/15/2023 | 7,225,000 | 7,548,149 | ||
U.S. Treasury Notes, 2.75%, 2/15/2024 | 7,855,000 | 8,326,607 | ||
U.S. Treasury Notes, 2.5%, 5/15/2024 | 4,680,000 | 4,952,025 | ||
U.S. Treasury Notes, 2.875%, 7/31/2025 | 1,948,000 | 2,119,363 | ||
U.S. Treasury Notes, 2.25%, 8/15/2027 | 8,936,000 | 9,623,304 | ||
U.S. Treasury Notes, 2.375%, 5/15/2029 | 8,149,500 | 8,889,958 | ||
U.S. Treasury Notes, 1.125%, 8/15/2040 | 6,301,000 | 5,593,614 | ||
$92,625,656 | ||||
Utilities - Electric Power – 1.7% | ||||
Adani Green Energy (UP) Ltd./Prayatna Developers Private Ltd., 6.25%, 12/10/2024 (n) | $ | 3,526,000 | $ 3,839,461 | |
Adani Transmission Ltd., 4.25%, 5/21/2036 (n) | 2,921,875 | 3,023,650 | ||
AES Gener S.A., 7.125% to 7/06/2024, FLR (Swap Rate - 5yr. + 4.644%) to 7/06/2029, FLR (Swap Rate - 5yr. + 4.894%) to 7/06/2044, FLR (Swap Rate - 5yr. + 5.644%) to 3/26/2079 | 1,802,000 | 1,928,140 | ||
AES Gener S.A., 6.35% to 4/07/2025, FLR (CMT - 5yr. + 4.917%) to 4/07/2030, FLR (CMT - 5yr. + 5.167%) to 4/07/2045, FLR (CMT - 5yr. + 5.917%) to 10/07/2079 (n) | 1,885,000 | 1,991,503 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Utilities - Electric Power – continued | ||||
AES Panama Generation Holdings SRL, 4.375%, 5/31/2030 (n) | $ | 1,897,000 | $ 1,971,932 | |
Alabama Power Co., 3.45%, 10/01/2049 | 1,609,000 | 1,786,325 | ||
American Electric Power Co., Inc., 2.3%, 3/01/2030 | 955,000 | 964,174 | ||
Azure Power Energy Ltd., 3.575%, 8/19/2026 (n) | 1,175,000 | 1,189,688 | ||
CenterPoint Energy, Inc., 2.65%, 6/01/2031 | 936,000 | 972,076 | ||
Clean Renewable Power, 4.25%, 3/25/2027 (n) | 1,545,000 | 1,568,175 | ||
Dominion Energy, Inc., 2.25%, 8/15/2031 | 1,669,000 | 1,685,264 | ||
Duke Energy Corp., 3.3%, 6/15/2041 | 1,936,000 | 2,009,267 | ||
Duke Energy Indiana LLC, 2.75%, 4/01/2050 | 691,000 | 676,868 | ||
Enel Finance International N.V., 4.875%, 6/14/2029 (n) | 2,273,000 | 2,738,428 | ||
Energuate Trust, 5.875%, 5/03/2027 | 1,613,000 | 1,681,569 | ||
EnfraGen Energia Sur S.A., 5.375%, 12/30/2030 (n) | 1,426,000 | 1,416,018 | ||
ENGIE Energía Chile S.A., 4.5%, 1/29/2025 | 1,156,000 | 1,262,224 | ||
Evergy, Inc., 2.9%, 9/15/2029 | 842,000 | 899,639 | ||
FirstEnergy Corp., 2.65%, 3/01/2030 | 2,000,000 | 2,035,000 | ||
Investment Energy Resources Ltd., 6.25%, 4/26/2029 (n) | 1,219,000 | 1,328,710 | ||
Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 2,671,000 | 2,777,578 | ||
Listrindo Capital B.V., 4.95%, 9/14/2026 | 1,877,000 | 1,920,171 | ||
MidAmerican Energy Co., 3.95%, 8/01/2047 | 1,818,000 | 2,183,927 | ||
Pacific Gas & Electric Co., 2.5%, 2/01/2031 | 1,206,000 | 1,136,204 | ||
Pacific Gas & Electric Co., 4.95%, 7/01/2050 | 471,000 | 498,537 | ||
ReNew Wind Energy AP2/ReNew Power Private Ltd., 4.5%, 7/14/2028 (n) | 1,249,000 | 1,279,013 | ||
Southern California Edison, 4.5%, 9/01/2040 | 454,000 | 525,924 | ||
Southern California Edison, 2.95%, 2/01/2051 | 478,000 | 436,205 | ||
Southern California Edison Co.'s First & Refunding Mortgage Bonds, 3.65%, 2/01/2050 | 1,836,000 | 1,870,975 | ||
Star Energy Geothermal (Salak-Darajat) B.V., 4.85%, 10/14/2038 (n) | 1,119,000 | 1,235,096 | ||
TermoCandelaria Power Ltd., 7.875%, 1/30/2029 (n) | 2,307,875 | 2,428,946 | ||
TerraForm Global Operating LLC, 6.125%, 3/01/2026 (n) | 1,536,000 | 1,580,160 | ||
Transelec S.A., 3.875%, 1/12/2029 (n) | 3,854,000 | 4,186,446 | ||
Virginia Electric & Power Co., 2.875%, 7/15/2029 | 2,473,000 | 2,665,722 | ||
$59,693,015 | ||||
Utilities - Water – 0.0% | ||||
Aegea Finance S.à r.l., 5.75%, 10/10/2024 | $ | 1,716,000 | $ 1,767,497 | |
Total Bonds (Identified Cost, $1,146,674,954) | $ 1,189,019,440 |
Issuer | Shares/Par | Value ($) | ||
Convertible Preferred Stocks – 0.2% | ||||
Medical Equipment – 0.1% | ||||
Boston Scientific Corp., 5.5% | 14,339 | $ 1,722,974 | ||
Danaher Corp., 4.75% | 857 | 1,860,556 | ||
$3,583,530 | ||||
Utilities - Electric Power – 0.1% | ||||
CenterPoint Energy, Inc., 7% | 83,168 | $ 3,851,510 | ||
Total Convertible Preferred Stocks (Identified Cost, $6,448,138) | $ 7,435,040 | |||
Preferred Stocks – 0.2% | ||||
Computer Software - Systems – 0.2% | ||||
Samsung Electronics Co. Ltd. (Identified Cost, $5,506,462) | 109,887 | $ 6,710,078 | ||
Investment Companies (h) – 26.9% | ||||
Bond Funds – 24.7% | ||||
MFS High Yield Pooled Portfolio (v) | 95,517,726 | $ 889,270,032 | ||
Money Market Funds – 2.2% | ||||
MFS Institutional Money Market Portfolio, 0.04% (v) | 79,460,143 | $ 79,460,143 | ||
Total Investment Companies (Identified Cost, $895,814,091) | $ 968,730,175 | |||
Collateral for Securities Loaned – 0.0% | ||||
JPMorgan U.S. Government Money Market Fund, 0.03% (j) (Identified Cost, $2,631,477) | 2,631,477 | $ 2,631,477 | ||
Other Assets, Less Liabilities – (0.3)% | (11,786,138) | |||
Net Assets – 100.0% | $3,603,809,320 |
(a) | Non-income producing security. | |||
(f) | All or a portion of the security has been segregated as collateral for open futures contracts. | |||
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $968,730,175 and $2,646,865,283, respectively. | |||
(i) | Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security. | |||
(j) | The rate quoted is the annualized seven-day yield of the fund at period end. | |||
(l) | A portion of this security is on loan. See Note 2 for additional information. | |||
(n) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $400,984,390, representing 11.1% of net assets. | |||
(p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. |
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
The following abbreviations are used in this report and are defined: | |
ADR | American Depositary Receipt |
AGM | Assured Guaranty Municipal |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
IEU | International Equity Unit |
LIBOR | London Interbank Offered Rate |
PCL | Public Company Limited |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
UMBS | Uniform Mortgage-Backed 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: | |
BRL | Brazilian Real |
CLP | Chilean Peso |
CNH | Chinese Yuan Renminbi (Offshore) |
COP | Colombian Peso |
EGP | Egypt Pound |
EUR | Euro |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
RUB | Russian Ruble |
UYU | Uruguayan Peso |
ZAR | South African Rand |
Forward Foreign Currency Exchange Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives | ||||||
CNH | 19,359,000 | USD | 2,969,404 | HSBC Bank | 10/08/2021 | $19,985 |
COP | 11,727,389,450 | USD | 3,075,633 | Goldman Sachs International | 9/07/2021 | 35,010 |
EUR | 1,299,833 | USD | 1,528,622 | Citibank N.A. | 10/08/2021 | 7,299 |
HUF | 384,285,000 | USD | 1,269,676 | Merrill Lynch International | 10/08/2021 | 29,239 |
IDR | 1,754,095,589 | USD | 119,595 | Barclays Bank PLC | 9/22/2021 | 3,176 |
IDR | 21,132,328,000 | USD | 1,450,400 | JPMorgan Chase Bank N.A. | 9/22/2021 | 28,673 |
INR | 92,718,024 | USD | 1,236,900 | Barclays Bank PLC | 9/30/2021 | 29,492 |
Forward Foreign Currency Exchange Contracts - continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives - continued | ||||||
MXN | 32,724,842 | USD | 1,615,283 | Merrill Lynch International | 10/08/2021 | $5,915 |
USD | 1,215,946 | CLP | 924,265,000 | Goldman Sachs International | 9/27/2021 | 22,783 |
USD | 57,166,321 | EUR | 48,331,105 | Goldman Sachs International | 10/08/2021 | 56,837 |
USD | 1,844,344 | EUR | 1,555,222 | JPMorgan Chase Bank N.A. | 10/08/2021 | 6,647 |
$245,056 | ||||||
Liability Derivatives | ||||||
BRL | 5,402,829 | USD | 1,044,287 | Barclays Bank PLC | 10/04/2021 | $(4,112) |
CLP | 519,188,000 | USD | 704,936 | Goldman Sachs International | 9/27/2021 | (34,699) |
CLP | 1,426,361,000 | USD | 1,978,364 | Morgan Stanley Capital Services, Inc. | 9/27/2021 | (137,029) |
EUR | 1,887,000 | USD | 2,245,398 | Deutsche Bank AG | 10/08/2021 | (15,662) |
EUR | 1,358,159 | USD | 1,605,428 | JPMorgan Chase Bank N.A. | 10/08/2021 | (587) |
KRW | 4,431,487,000 | USD | 3,935,461 | JPMorgan Chase Bank N.A. | 9/29/2021 | (114,749) |
MYR | 4,793,791 | USD | 1,161,146 | Barclays Bank PLC | 9/13/2021 | (8,559) |
RUB | 95,372,000 | USD | 1,296,910 | Goldman Sachs International | 9/27/2021 | (209) |
ZAR | 23,543,000 | USD | 1,615,375 | State Street Bank Corp. | 10/08/2021 | (2,771) |
USD | 1,912,263 | BRL | 10,256,000 | Citibank N.A. | 10/04/2021 | (62,268) |
USD | 2,966,078 | CNH | 19,359,000 | Brown Brothers Harriman | 10/08/2021 | (23,310) |
USD | 3,060,272 | COP | 11,727,389,450 | Goldman Sachs International | 12/01/2021 | (35,333) |
USD | 3,091,353 | COP | 11,727,389,450 | JPMorgan Chase Bank N.A. | 9/07/2021 | (19,290) |
USD | 433,148 | EUR | 367,000 | JPMorgan Chase Bank N.A. | 10/08/2021 | (510) |
USD | 1,551,088 | IDR | 22,644,179,000 | Citibank N.A. | 9/22/2021 | (33,801) |
USD | 2,622,800 | IDR | 37,938,031,000 | Merrill Lynch International | 9/22/2021 | (32,520) |
USD | 6,314,344 | INR | 475,312,208 | JPMorgan Chase Bank N.A. | 9/30/2021 | (177,723) |
USD | 6,441,259 | ZAR | 95,230,150 | Deutsche Bank AG | 10/08/2021 | (81,635) |
$(784,767) |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Note 10 yr | Long | USD | 140 | $18,683,438 | December – 2021 | $3,864 |
U.S. Treasury Note 2 yr | Long | USD | 138 | 30,405,281 | December – 2021 | 23,226 |
U.S. Treasury Note 5 yr | Long | USD | 99 | 12,248,156 | December – 2021 | 18,563 |
U.S. Treasury Ultra Bond | Long | USD | 21 | 4,142,906 | December – 2021 | 26,196 |
$71,849 | ||||||
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Bond | Short | USD | 72 | $11,733,750 | December – 2021 | $(26,057) |
Futures Contracts - continued | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Liability Derivatives - continued | ||||||
Interest Rate Futures - continued | ||||||
U.S. Treasury Ultra Note 10 yr | Short | USD | 338 | $50,029,281 | December – 2021 | $(39,366) |
$(65,423) |
Assets | |
Investments in unaffiliated issuers, at value, including $2,685,433 of securities on loan (identified cost, $2,182,321,492) | $2,646,865,283 |
Investments in affiliated issuers, at value (identified cost, $895,814,091) | 968,730,175 |
Cash | 3,759,750 |
Restricted cash for | |
Forward foreign currency exchange contracts | 320,000 |
Receivables for | |
Forward foreign currency exchange contracts | 245,056 |
Net daily variation margin on open futures contracts | 90,682 |
Investments sold | 3,822,510 |
Fund shares sold | 2,486,773 |
Interest and dividends | 17,722,538 |
Other assets | 63,652 |
Total assets | $3,644,106,419 |
Liabilities | |
Payables for | |
Distributions | $732,029 |
Forward foreign currency exchange contracts | 784,767 |
Investments purchased | 6,688,026 |
TBA purchase commitments | 23,472,385 |
Fund shares reacquired | 4,969,240 |
Collateral for securities loaned, at value | 2,631,477 |
Payable to affiliates | |
Investment adviser | 115,241 |
Administrative services fee | 2,618 |
Shareholder servicing costs | 559,719 |
Distribution and service fees | 46,018 |
Deferred country tax expense payable | 46,125 |
Accrued expenses and other liabilities | 249,454 |
Total liabilities | $40,297,099 |
Net assets | $3,603,809,320 |
Net assets consist of | |
Paid-in capital | $3,070,286,081 |
Total distributable earnings (loss) | 533,523,239 |
Net assets | $3,603,809,320 |
Shares of beneficial interest outstanding | 258,326,828 |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $1,663,497,416 | 119,220,588 | $13.95 |
Class C | 419,705,322 | 30,098,322 | 13.94 |
Class I | 1,209,447,828 | 86,708,469 | 13.95 |
Class R1 | 268,794 | 19,286 | 13.94 |
Class R2 | 1,909,837 | 136,924 | 13.95 |
Class R3 | 24,321,440 | 1,742,709 | 13.96 |
Class R4 | 8,404,999 | 602,219 | 13.96 |
Class R6 | 276,253,684 | 19,798,311 | 13.95 |
(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 $14.57 [100 / 95.75 x $13.95]. On sales of $100,000 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, R4, and R6. |
Net investment income (loss) | |
Income | |
Dividends | $26,561,902 |
Dividends from affiliated issuers | 24,836,085 |
Interest | 21,794,072 |
Other | 61,457 |
Income on securities loaned | 7,783 |
Foreign taxes withheld | (1,145,394) |
Total investment income | $72,115,905 |
Expenses | |
Management fee | $10,711,056 |
Distribution and service fees | 4,291,724 |
Shareholder servicing costs | 1,597,382 |
Administrative services fee | 237,952 |
Independent Trustees' compensation | 25,966 |
Custodian fee | 168,629 |
Shareholder communications | 112,451 |
Audit and tax fees | 44,432 |
Legal fees | 13,822 |
Miscellaneous | 141,570 |
Total expenses | $17,344,984 |
Fees paid indirectly | (479) |
Reduction of expenses by investment adviser and distributor | (224,326) |
Net expenses | $17,120,179 |
Net investment income (loss) | $54,995,726 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $40,713,026 |
Affiliated issuers | 475,688 |
Futures contracts | (208,776) |
Forward foreign currency exchange contracts | 412,642 |
Foreign currency | 45,848 |
Net realized gain (loss) | $41,438,428 |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers (net of $46,125 increase in deferred country tax) | $157,541,274 |
Affiliated issuers | 8,475,180 |
Futures contracts | (97,943) |
Forward foreign currency exchange contracts | (1,221,801) |
Translation of assets and liabilities in foreign currencies | (27,673) |
Net unrealized gain (loss) | $164,669,037 |
Net realized and unrealized gain (loss) | $206,107,465 |
Change in net assets from operations | $261,103,191 |
Six months ended | Year ended | |
8/31/21 (unaudited) | 2/28/21 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $54,995,726 | $106,181,817 |
Net realized gain (loss) | 41,438,428 | (18,075,299) |
Net unrealized gain (loss) | 164,669,037 | 63,447,015 |
Change in net assets from operations | $261,103,191 | $151,553,533 |
Total distributions to shareholders | $(49,513,804) | $(106,424,048) |
Change in net assets from fund share transactions | $(97,896,692) | $(554,489,316) |
Total change in net assets | $113,692,695 | $(509,359,831) |
Net assets | ||
At beginning of period | 3,490,116,625 | 3,999,476,456 |
At end of period | $3,603,809,320 | $3,490,116,625 |
Class A | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $13.14 | $12.86 | $12.35 | $12.10 | $12.28 | $11.22 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.21 | $0.37 | $0.37 | $0.39 | $0.37 | $0.39 |
Net realized and unrealized gain (loss) | 0.79 | 0.28 | 0.51 | 0.33 | (0.10) | 1.08 |
Total from investment operations | $1.00 | $0.65 | $0.88 | $0.72 | $0.27 | $1.47 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.18) | $(0.34) | $(0.37) | $(0.39) | $(0.39) | $(0.41) |
From net realized gain | (0.01) | (0.03) | (0.00)(w) | (0.08) | (0.06) | (0.00)(w) |
Total distributions declared to shareholders | $(0.19) | $(0.37) | $(0.37) | $(0.47) | $(0.45) | $(0.41) |
Net asset value, end of period (x) | $13.95 | $13.14 | $12.86 | $12.35 | $12.10 | $12.28 |
Total return (%) (r)(s)(t)(x) | 7.64(n) | 5.28 | 7.20 | 6.10 | 2.19 | 13.26 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 0.99(a) | 0.99 | 0.98 | 0.99 | 0.99 | 1.02 |
Expenses after expense reductions (f)(h) | 0.97(a) | 0.98 | 0.97 | 0.98 | 0.98 | 1.00 |
Net investment income (loss) | 3.06(a) | 2.97 | 2.86 | 3.21 | 2.97 | 3.25 |
Portfolio turnover | 48(n) | 111 | 57 | 36 | 44 | 46 |
Net assets at end of period (000 omitted) | $1,663,497 | $1,577,032 | $1,540,570 | $1,315,625 | $1,343,257 | $1,321,135 |
Class C | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $13.14 | $12.85 | $12.35 | $12.09 | $12.28 | $11.22 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.16 | $0.28 | $0.28 | $0.30 | $0.28 | $0.30 |
Net realized and unrealized gain (loss) | 0.78 | 0.29 | 0.49 | 0.34 | (0.11) | 1.08 |
Total from investment operations | $0.94 | $0.57 | $0.77 | $0.64 | $0.17 | $1.38 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.13) | $(0.25) | $(0.27) | $(0.30) | $(0.30) | $(0.32) |
From net realized gain | (0.01) | (0.03) | (0.00)(w) | (0.08) | (0.06) | (0.00)(w) |
Total distributions declared to shareholders | $(0.14) | $(0.28) | $(0.27) | $(0.38) | $(0.36) | $(0.32) |
Net asset value, end of period (x) | $13.94 | $13.14 | $12.85 | $12.35 | $12.09 | $12.28 |
Total return (%) (r)(s)(t)(x) | 7.17(n) | 4.57 | 6.32 | 5.40 | 1.34 | 12.43 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 1.74(a) | 1.74 | 1.73 | 1.75 | 1.74 | 1.77 |
Expenses after expense reductions (f)(h) | 1.72(a) | 1.73 | 1.72 | 1.74 | 1.73 | 1.75 |
Net investment income (loss) | 2.32(a) | 2.27 | 2.14 | 2.48 | 2.23 | 2.50 |
Portfolio turnover | 48(n) | 111 | 57 | 36 | 44 | 46 |
Net assets at end of period (000 omitted) | $419,705 | $456,806 | $724,758 | $756,643 | $931,292 | $1,046,946 |
Class I | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $13.14 | $12.86 | $12.35 | $12.09 | $12.28 | $11.22 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.23 | $0.40 | $0.40 | $0.42 | $0.40 | $0.41 |
Net realized and unrealized gain (loss) | 0.79 | 0.29 | 0.51 | 0.34 | (0.11) | 1.09 |
Total from investment operations | $1.02 | $0.69 | $0.91 | $0.76 | $0.29 | $1.50 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.20) | $(0.38) | $(0.40) | $(0.42) | $(0.42) | $(0.44) |
From net realized gain | (0.01) | (0.03) | (0.00)(w) | (0.08) | (0.06) | (0.00)(w) |
Total distributions declared to shareholders | $(0.21) | $(0.41) | $(0.40) | $(0.50) | $(0.48) | $(0.44) |
Net asset value, end of period (x) | $13.95 | $13.14 | $12.86 | $12.35 | $12.09 | $12.28 |
Total return (%) (r)(s)(t)(x) | 7.77(n) | 5.54 | 7.46 | 6.45 | 2.36 | 13.54 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 0.74(a) | 0.74 | 0.73 | 0.74 | 0.74 | 0.77 |
Expenses after expense reductions (f)(h) | 0.72(a) | 0.73 | 0.72 | 0.74 | 0.73 | 0.75 |
Net investment income (loss) | 3.31(a) | 3.24 | 3.11 | 3.47 | 3.23 | 3.44 |
Portfolio turnover | 48(n) | 111 | 57 | 36 | 44 | 46 |
Net assets at end of period (000 omitted) | $1,209,448 | $1,156,030 | $1,425,004 | $1,181,300 | $1,371,333 | $1,434,280 |
Class R1 | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $13.13 | $12.85 | $12.34 | $12.08 | $12.26 | $11.21 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.16 | $0.28 | $0.27 | $0.31 | $0.28 | $0.31 |
Net realized and unrealized gain (loss) | 0.79 | 0.28 | 0.51 | 0.33 | (0.10) | 1.06 |
Total from investment operations | $0.95 | $0.56 | $0.78 | $0.64 | $0.18 | $1.37 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.13) | $(0.25) | $(0.27) | $(0.30) | $(0.30) | $(0.32) |
From net realized gain | (0.01) | (0.03) | (0.00)(w) | (0.08) | (0.06) | (0.00)(w) |
Total distributions declared to shareholders | $(0.14) | $(0.28) | $(0.27) | $(0.38) | $(0.36) | $(0.32) |
Net asset value, end of period (x) | $13.94 | $13.13 | $12.85 | $12.34 | $12.08 | $12.26 |
Total return (%) (r)(s)(t)(x) | 7.25(n) | 4.49 | 6.40 | 5.40 | 1.42 | 12.35 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 1.74(a) | 1.74 | 1.73 | 1.75 | 1.75 | 1.77 |
Expenses after expense reductions (f)(h) | 1.72(a) | 1.73 | 1.72 | 1.74 | 1.74 | 1.75 |
Net investment income (loss) | 2.31(a) | 2.22 | 2.12 | 2.57 | 2.29 | 2.55 |
Portfolio turnover | 48(n) | 111 | 57 | 36 | 44 | 46 |
Net assets at end of period (000 omitted) | $269 | $241 | $214 | $193 | $573 | $938 |
Class R2 | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $13.14 | $12.86 | $12.35 | $12.09 | $12.28 | $11.22 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.19 | $0.35 | $0.34 | $0.36 | $0.34 | $0.36 |
Net realized and unrealized gain (loss) | 0.79 | 0.27 | 0.51 | 0.34 | (0.11) | 1.08 |
Total from investment operations | $0.98 | $0.62 | $0.85 | $0.70 | $0.23 | $1.44 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.16) | $(0.31) | $(0.34) | $(0.36) | $(0.36) | $(0.38) |
From net realized gain | (0.01) | (0.03) | (0.00)(w) | (0.08) | (0.06) | (0.00)(w) |
Total distributions declared to shareholders | $(0.17) | $(0.34) | $(0.34) | $(0.44) | $(0.42) | $(0.38) |
Net asset value, end of period (x) | $13.95 | $13.14 | $12.86 | $12.35 | $12.09 | $12.28 |
Total return (%) (r)(s)(t)(x) | 7.51(n) | 5.01 | 6.93 | 5.92 | 1.85 | 12.98 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 1.24(a) | 1.24 | 1.23 | 1.25 | 1.24 | 1.27 |
Expenses after expense reductions (f)(h) | 1.22(a) | 1.23 | 1.22 | 1.24 | 1.23 | 1.25 |
Net investment income (loss) | 2.81(a) | 2.78 | 2.65 | 2.99 | 2.73 | 2.99 |
Portfolio turnover | 48(n) | 111 | 57 | 36 | 44 | 46 |
Net assets at end of period (000 omitted) | $1,910 | $1,830 | $3,085 | $3,486 | $4,396 | $4,223 |
Class R3 | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $13.15 | $12.86 | $12.36 | $12.10 | $12.28 | $11.23 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.21 | $0.37 | $0.37 | $0.39 | $0.37 | $0.39 |
Net realized and unrealized gain (loss) | 0.79 | 0.29 | 0.50 | 0.34 | (0.10) | 1.07 |
Total from investment operations | $1.00 | $0.66 | $0.87 | $0.73 | $0.27 | $1.46 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.18) | $(0.34) | $(0.37) | $(0.39) | $(0.39) | $(0.41) |
From net realized gain | (0.01) | (0.03) | (0.00)(w) | (0.08) | (0.06) | (0.00)(w) |
Total distributions declared to shareholders | $(0.19) | $(0.37) | $(0.37) | $(0.47) | $(0.45) | $(0.41) |
Net asset value, end of period (x) | $13.96 | $13.15 | $12.86 | $12.36 | $12.10 | $12.28 |
Total return (%) (r)(s)(t)(x) | 7.64(n) | 5.36 | 7.11 | 6.18 | 2.19 | 13.16 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 0.99(a) | 0.99 | 0.98 | 1.00 | 0.99 | 1.02 |
Expenses after expense reductions (f)(h) | 0.97(a) | 0.98 | 0.97 | 0.99 | 0.98 | 1.00 |
Net investment income (loss) | 3.06(a) | 2.98 | 2.86 | 3.21 | 2.97 | 3.24 |
Portfolio turnover | 48(n) | 111 | 57 | 36 | 44 | 46 |
Net assets at end of period (000 omitted) | $24,321 | $22,760 | $24,385 | $19,159 | $20,013 | $19,274 |
Class R4 | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $13.15 | $12.86 | $12.36 | $12.10 | $12.29 | $11.23 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.23 | $0.41 | $0.41 | $0.41 | $0.40 | $0.42 |
Net realized and unrealized gain (loss) | 0.79 | 0.29 | 0.49 | 0.35 | (0.10) | 1.08 |
Total from investment operations | $1.02 | $0.70 | $0.90 | $0.76 | $0.30 | $1.50 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.20) | $(0.38) | $(0.40) | $(0.42) | $(0.43) | $(0.44) |
From net realized gain | (0.01) | (0.03) | (0.00)(w) | (0.08) | (0.06) | (0.00)(w) |
Total distributions declared to shareholders | $(0.21) | $(0.41) | $(0.40) | $(0.50) | $(0.49) | $(0.44) |
Net asset value, end of period (x) | $13.96 | $13.15 | $12.86 | $12.36 | $12.10 | $12.29 |
Total return (%) (r)(s)(t)(x) | 7.77(n) | 5.62 | 7.38 | 6.45 | 2.36 | 13.53 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 0.74(a) | 0.74 | 0.73 | 0.74 | 0.74 | 0.77 |
Expenses after expense reductions (f)(h) | 0.73(a) | 0.73 | 0.72 | 0.73 | 0.73 | 0.75 |
Net investment income (loss) | 3.32(a) | 3.24 | 3.15 | 3.43 | 3.20 | 3.50 |
Portfolio turnover | 48(n) | 111 | 57 | 36 | 44 | 46 |
Net assets at end of period (000 omitted) | $8,405 | $8,626 | $9,783 | $10,063 | $7,915 | $6,179 |
Class R6 | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $13.14 | $12.86 | $12.35 | $12.10 | $12.28 | $11.22 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.23 | $0.42 | $0.41 | $0.43 | $0.38 | $0.43 |
Net realized and unrealized gain (loss) | 0.79 | 0.28 | 0.51 | 0.33 | (0.06)(g) | 1.08 |
Total from investment operations | $1.02 | $0.70 | $0.92 | $0.76 | $0.32 | $1.51 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.20) | $(0.39) | $(0.41) | $(0.43) | $(0.44) | $(0.45) |
From net realized gain | (0.01) | (0.03) | (0.00)(w) | (0.08) | (0.06) | (0.00)(w) |
Total distributions declared to shareholders | $(0.21) | $(0.42) | $(0.41) | $(0.51) | $(0.50) | $(0.45) |
Net asset value, end of period (x) | $13.95 | $13.14 | $12.86 | $12.35 | $12.10 | $12.28 |
Total return (%) (r)(s)(t)(x) | 7.82(n) | 5.64 | 7.55 | 6.46 | 2.54 | 13.65 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 0.65(a) | 0.65 | 0.64 | 0.65 | 0.65 | 0.67 |
Expenses after expense reductions (f)(h) | 0.64(a) | 0.64 | 0.63 | 0.64 | 0.64 | 0.65 |
Net investment income (loss) | 3.40(a) | 3.32 | 3.19 | 3.55 | 3.08 | 3.57 |
Portfolio turnover | 48(n) | 111 | 57 | 36 | 44 | 46 |
Net assets at end of period (000 omitted) | $276,254 | $266,792 | $271,679 | $218,650 | $214,111 | $15,036 |
(a) | Annualized. |
(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. |
(h) | In addition to the fees and expenses which the fund bears directly, the fund indirectly bears a pro rata share of the fees and expenses of the underlying affiliated funds in which the fund invests. Accordingly, the expense ratio for the fund reflects only those fees and expenses borne directly by the fund. Because the underlying affiliated funds have varied expense and fee levels and the fund may own different proportions of the underlying affiliated funds at different times, the amount of fees and expenses incurred indirectly by the fund will vary. |
(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. |
(x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Equity Securities: | ||||
United States | $983,722,516 | $— | $— | $983,722,516 |
Switzerland | 67,974,119 | — | — | 67,974,119 |
Japan | 65,449,716 | — | — | 65,449,716 |
United Kingdom | 57,135,309 | — | — | 57,135,309 |
Canada | 36,240,229 | — | — | 36,240,229 |
France | 32,934,209 | — | — | 32,934,209 |
Taiwan | 32,772,836 | — | — | 32,772,836 |
South Korea | 31,412,958 | — | — | 31,412,958 |
China | 30,020,867 | — | — | 30,020,867 |
Other Countries | 110,051,803 | 7,499,804 | — | 117,551,607 |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 95,464,384 | — | 95,464,384 |
Non - U.S. Sovereign Debt | — | 437,296,144 | — | 437,296,144 |
Municipal Bonds | — | 5,260,921 | — | 5,260,921 |
U.S. Corporate Bonds | — | 244,544,796 | — | 244,544,796 |
Residential Mortgage-Backed Securities | — | 113,148,513 | — | 113,148,513 |
Commercial Mortgage-Backed Securities | — | 7,097,152 | — | 7,097,152 |
Asset-Backed Securities (including CDOs) | — | 12,098,687 | — | 12,098,687 |
Foreign Bonds | — | 274,108,843 | — | 274,108,843 |
Mutual Funds | 971,361,652 | — | — | 971,361,652 |
Total | $2,419,076,214 | $1,196,519,244 | $— | $3,615,595,458 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $71,849 | $— | $— | $71,849 |
Futures Contracts – Liabilities | (65,423) | — | — | (65,423) |
Forward Foreign Currency Exchange Contracts – Assets | — | 245,056 | — | 245,056 |
Forward Foreign Currency Exchange Contracts – Liabilities | — | (784,767) | — | (784,767) |
Fixed Income Securities | |
Balance as of 2/28/21 | $0 |
Realized gain (loss) | (193,010) |
Change in unrealized appreciation or depreciation | 193,010 |
Disposition of worthless securities | 0 |
Balance as of 8/31/21 | $— |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Interest Rate | Futures Contracts | $71,849 | $(65,423) |
Foreign Exchange | Forward Foreign Currency Exchange Contracts | 245,056 | (784,767) |
Total | $316,905 | $(850,190) |
(a) | Values presented in this table for futures contracts correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts is separately reported within the Statement of Assets and Liabilities. |
Risk | Futures Contracts | Forward Foreign Currency Exchange Contracts | Unaffiliated Issuers (Purchased Options) |
Interest Rate | $(208,776) | $ — | $ — |
Foreign Exchange | — | 412,642 | — |
Equity | — | — | (6,237,000) |
Total | $(208,776) | $412,642 | $(6,237,000) |
Risk | Futures Contracts | Forward Foreign Currency Exchange Contracts | Unaffiliated Issuers (Purchased Options) |
Interest Rate | $(97,943) | $ — | $ — |
Foreign Exchange | — | (1,221,801) | — |
Equity | — | — | 5,819,000 |
Total | $(97,943) | $(1,221,801) | $5,819,000 |
Year ended 2/28/21 | |
Ordinary income (including any short-term capital gains) | $99,621,041 |
Long-term capital gains | 6,803,007 |
Total distributions | $106,424,048 |
As of 8/31/21 | |
Cost of investments | $3,139,542,543 |
Gross appreciation | 501,805,981 |
Gross depreciation | (25,753,066) |
Net unrealized appreciation (depreciation) | $ 476,052,915 |
As of 2/28/21 | |
Undistributed ordinary income | 10,954,318 |
Undistributed long-term capital gain | 2,490,794 |
Other temporary differences | (5,556,146) |
Net unrealized appreciation (depreciation) | 314,044,886 |
Six months ended 8/31/21 | Year ended 2/28/21 | ||
Class A | $22,506,796 | $44,341,535 | |
Class C | 4,452,960 | 13,078,504 | |
Class I | 17,880,524 | 39,272,282 | |
Class R1 | 2,369 | 5,201 | |
Class R2 | 23,981 | 50,897 | |
Class R3 | 324,947 | 703,020 | |
Class R4 | 125,742 | 274,982 | |
Class R6 | 4,196,485 | 8,697,627 | |
Total | $49,513,804 | $106,424,048 |
Up to $1 billion | 0.65% |
In excess of $1 billion and up to $2.5 billion | 0.60% |
In excess of $2.5 billion and up to $5 billion | 0.55% |
In excess of $5 billion | 0.50% |
Classes | |||||||
A | C | I | R1 | R2 | R3 | R4 | R6 |
1.10% | 1.85% | 0.85% | 1.85% | 1.35% | 1.10% | 0.85% | 0.79% |
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% | $ 2,042,196 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 2,214,081 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 1,182 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 4,786 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 29,479 |
Total Distribution and Service Fees | $4,291,724 |
(d) | In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’s average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below. |
(e) | The annual effective rates represent actual fees incurred under the distribution plan for the six months ended August 31, 2021 based on each class's average daily net assets. MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. For the six months ended August 31, 2021, this rebate amounted to $154 and $6 for Class A and Class C, respectively, and is included in the reduction of total expenses in the Statement of Operations. |
Amount | |
Class A | $15,754 |
Class C | 2,732 |
Purchases | Sales | |
U.S. Government securities | $793,826,770 | $1,141,894,178 |
Non-U.S. Government securities | 870,651,586 | 623,163,727 |
Six months ended 8/31/21 | Year ended 2/28/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 7,258,472 | $98,771,435 | 26,698,817 | $334,629,453 | |
Class C | 859,885 | 11,685,729 | 2,317,040 | 28,643,678 | |
Class I | 7,997,505 | 108,427,259 | 21,074,382 | 260,990,032 | |
Class R1 | 5,574 | 76,529 | 4,179 | 50,747 | |
Class R2 | 11,175 | 152,291 | 35,647 | 449,430 | |
Class R3 | 125,957 | 1,715,097 | 274,176 | 3,430,576 | |
Class R4 | 82,580 | 1,109,936 | 159,223 | 2,005,362 | |
Class R6 | 1,959,977 | 26,641,350 | 4,833,104 | 60,253,088 | |
18,301,125 | $248,579,626 | 55,396,568 | $690,452,366 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 1,560,017 | $21,301,958 | 3,375,341 | $42,228,518 | |
Class C | 303,669 | 4,142,549 | 946,276 | 11,795,795 | |
Class I | 1,076,697 | 14,697,975 | 2,541,818 | 31,726,946 | |
Class R1 | 173 | 2,351 | 399 | 4,993 | |
Class R2 | 1,753 | 23,929 | 3,739 | 46,640 | |
Class R3 | 23,779 | 324,903 | 56,059 | 700,910 | |
Class R4 | 9,202 | 125,656 | 22,000 | 274,956 | |
Class R6 | 295,063 | 4,028,681 | 660,976 | 8,265,621 | |
3,270,353 | $44,648,002 | 7,606,608 | $95,044,379 |
Six months ended 8/31/21 | Year ended 2/28/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares reacquired | |||||
Class A | (9,586,182) | $(130,152,082) | (29,866,177) | $(368,944,745) | |
Class C | (5,841,435) | (79,309,294) | (24,873,333) | (313,101,450) | |
Class I | (10,352,661) | (140,260,517) | (46,458,975) | (567,582,659) | |
Class R1 | (4,790) | (65,384) | (2,873) | (36,133) | |
Class R2 | (15,301) | (209,898) | (140,095) | (1,765,344) | |
Class R3 | (138,350) | (1,867,491) | (494,519) | (6,285,453) | |
Class R4 | (145,705) | (1,952,348) | (285,574) | (3,527,252) | |
Class R6 | (2,755,466) | (37,307,306) | (6,317,809) | (78,743,025) | |
(28,839,890) | $(391,124,320) | (108,439,355) | $(1,339,986,061) | ||
Net change | |||||
Class A | (767,693) | $(10,078,689) | 207,981 | $7,913,226 | |
Class C | (4,677,881) | (63,481,016) | (21,610,017) | (272,661,977) | |
Class I | (1,278,459) | (17,135,283) | (22,842,775) | (274,865,681) | |
Class R1 | 957 | 13,496 | 1,705 | 19,607 | |
Class R2 | (2,373) | (33,678) | (100,709) | (1,269,274) | |
Class R3 | 11,386 | 172,509 | (164,284) | (2,153,967) | |
Class R4 | (53,923) | (716,756) | (104,351) | (1,246,934) | |
Class R6 | (500,426) | (6,637,275) | (823,729) | (10,224,316) | |
(7,268,412) | $(97,896,692) | (45,436,179) | $(554,489,316) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS High Yield Pooled Portfolio | $1,016,507,214 | $27,512,827 | $163,700,877 | $475,688 | $8,475,180 | $889,270,032 |
MFS Institutional Money Market Portfolio | 165,569,182 | 813,005,316 | 899,114,355 | — | — | 79,460,143 |
$1,182,076,396 | $840,518,143 | $1,062,815,232 | $475,688 | $8,475,180 | $968,730,175 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS High Yield Pooled Portfolio | $24,809,789 | $— |
MFS Institutional Money Market Portfolio | 26,296 | — |
$24,836,085 | $— |
Securities Fund
Securities Fund
1 | |
2 | |
4 | |
6 | |
15 | |
17 | |
18 | |
19 | |
25 | |
39 | |
43 | |
44 | |
44 | |
44 | |
44 | |
44 |
back cover |
Mortgage-Backed Securities | 45.0% |
U.S. Treasury Securities | 40.1% |
Commercial Mortgage-Backed Securities | 5.1% |
Municipal Bonds | 2.0% |
Collateralized Debt Obligations | 1.4% |
Investment Grade Corporates | 1.3% |
U.S. Government Agencies | 0.4% |
Non-U.S. Government Bonds | 0.1% |
Asset-Backed Securities | 0.1% |
AAA | 5.4% |
AA | 1.7% |
A | 2.5% |
BBB | 0.3% |
U.S. Government | 40.0% |
Federal Agencies | 45.5% |
Not Rated | 0.1% |
Cash & Cash Equivalents | 4.6% |
Other | (0.1)% |
Average Duration (d) | 5.2 |
Average Effective Maturity (m) | 5.9 yrs. |
(a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities. Not Rated includes fixed income securities and fixed income derivatives that have not been rated by any rating agency. The fund may or may not have held all of these instruments on this date. The fund is not rated by these agencies. |
(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 value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
(m) | In determining each 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. |
March 1, 2021 through August 31, 2021
Share Class | Annualized Expense Ratio | Beginning Account Value 3/01/21 | Ending Account Value 8/31/21 | Expenses Paid During Period (p) 3/01/21-8/31/21 | |
A | Actual | 0.79% | $1,000.00 | $1,008.41 | $4.00 |
Hypothetical (h) | 0.79% | $1,000.00 | $1,021.22 | $4.02 | |
B | Actual | 1.54% | $1,000.00 | $1,004.62 | $7.78 |
Hypothetical (h) | 1.54% | $1,000.00 | $1,017.44 | $7.83 | |
C | Actual | 1.54% | $1,000.00 | $1,003.63 | $7.78 |
Hypothetical (h) | 1.54% | $1,000.00 | $1,017.44 | $7.83 | |
I | Actual | 0.54% | $1,000.00 | $1,008.70 | $2.73 |
Hypothetical (h) | 0.54% | $1,000.00 | $1,022.48 | $2.75 | |
R1 | Actual | 1.54% | $1,000.00 | $1,004.62 | $7.78 |
Hypothetical (h) | 1.54% | $1,000.00 | $1,017.44 | $7.83 | |
R2 | Actual | 1.04% | $1,000.00 | $1,007.15 | $5.26 |
Hypothetical (h) | 1.04% | $1,000.00 | $1,019.96 | $5.30 | |
R3 | Actual | 0.79% | $1,000.00 | $1,007.43 | $4.00 |
Hypothetical (h) | 0.79% | $1,000.00 | $1,021.22 | $4.02 | |
R4 | Actual | 0.54% | $1,000.00 | $1,009.68 | $2.74 |
Hypothetical (h) | 0.54% | $1,000.00 | $1,022.48 | $2.75 | |
R6 | Actual | 0.44% | $1,000.00 | $1,010.20 | $2.23 |
Hypothetical (h) | 0.44% | $1,000.00 | $1,022.99 | $2.24 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Bonds – 95.1% | ||||
Asset-Backed & Securitized – 6.5% | ||||
Allegro CLO Ltd., 2016-1A, “BR2”, FLR, 1.676% (LIBOR - 3mo. + 1.55%), 1/15/2030 (n) | $ | 6,215,880 | $ 6,216,626 | |
Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 1.595% (LIBOR - 1mo. + 1.5%), 12/15/2035 (n) | 3,901,000 | 3,904,636 | ||
Bancorp Commercial Mortgage Trust, 2019-CRE6, “A”, FLR, 1.214% (LIBOR - 1mo. + 1.05%), 9/15/2036 (n) | 1,383,397 | 1,383,544 | ||
Bank, 2021-BN35, “XA”, 1.159%, 7/15/2031 (i) | 13,420,652 | 1,101,331 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.433%, 7/15/2054 (i) | 21,386,971 | 2,133,053 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.767%, 2/15/2054 (i) | 13,986,927 | 1,729,776 | ||
Benchmark Mortgage Trust, 2020-B18, “A5”, 1.925%, 7/15/2053 | 5,074,627 | 5,083,421 | ||
Benchmark Mortgage Trust, 2021-B23, “XA”, 1.385%, 2/15/2054 (i) | 44,053,867 | 4,125,107 | ||
Benchmark Mortgage Trust, 2021-B24, “XA”, 1.273%, 3/15/2054 (i) | 26,380,656 | 2,239,723 | ||
Benchmark Mortgage Trust, 2021-B26, “XA”, 0.999%, 6/15/2054 (i) | 28,371,816 | 1,930,992 | ||
Benchmark Mortgage Trust, 2021-B27, “XA”, 1.389%, 7/15/2054 (i) | 33,851,133 | 3,321,680 | ||
Benchmark Mortgage Trust, 2021-B28, “XA”, 1.406%, 8/15/2054 (i) | 40,536,065 | 4,026,897 | ||
BPCRE Holder LLC, FLR, 0.942% (LIBOR - 1mo. + 0.85%), 2/15/2037 (n) | 1,747,800 | 1,746,700 | ||
BPCRE Holder LLC, FLR, 1.642% (LIBOR - 1mo. + 1.55%), 2/15/2037 (n) | 1,306,500 | 1,306,090 | ||
BXMT Ltd., 2021-FL4, “AS”, FLR, 1.395% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | 7,779,500 | 7,779,136 | ||
Cantor Commercial Real Estate, 2019-CF3, “A4”, 3.005%, 1/15/2053 | 5,105,000 | 5,513,687 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 1,256,938 | 1,291,388 | ||
Citigroup Commercial Mortgage Trust, 2019-C7, “A4”, 3.102%, 12/15/2072 | 1,830,317 | 1,999,017 | ||
Citigroup Commercial Mortgage Trust, 2019-XA, “C7”, 1.002%, 12/15/2072 (i)(n) | 23,528,832 | 1,435,487 | ||
Commercial Mortgage Pass-Through Certificates, 2020-BN28, “A4”, 1.844%, 3/15/2063 | 1,526,471 | 1,521,956 | ||
Commercial Mortgage Pass-Through Certificates, 2020-BN29, “A4”, 1.997%, 11/15/2053 | 2,554,811 | 2,574,829 | ||
Commercial Mortgage Pass-Through Certificates, 2020-BN30, “A4”, 1.925%, 12/15/2053 | 4,192,000 | 4,203,094 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.443%, 2/15/2054 (i) | $ | 33,913,025 | $ 3,456,059 | |
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.893%, 4/15/2054 (i) | 19,077,937 | 1,128,058 | ||
Commercial Mortgage Trust, 2014-CR19, “A5”, 3.796%, 8/10/2047 | 1,000,000 | 1,082,728 | ||
Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/2048 | 4,990,000 | 5,367,460 | ||
Commercial Mortgage Trust, 2015-LC21, “A4”, 3.708%, 7/10/2048 | 3,135,000 | 3,419,366 | ||
Commercial Mortgage Trust, 2015-PC1, “A5”, 3.902%, 7/10/2050 | 5,300,000 | 5,813,239 | ||
Commercial Mortgage Trust, 2017-COR2, “A3”, 3.51%, 9/10/2050 | 5,351,861 | 5,939,461 | ||
CSAIL Commercial Mortgage Trust, 2015-C2, “A4”, 3.504%, 6/15/2057 | 5,341,994 | 5,776,161 | ||
GS Mortgage Securities Trust, 2015-GC30, “A4”, 3.382%, 5/10/2050 | 5,951,000 | 6,439,943 | ||
GS Mortgage Securities Trust, 2015-GC32, “A2”, 3.062%, 7/10/2048 | 511,278 | 521,746 | ||
GS Mortgage Securities Trust, 2020-GC45, “A5”, 2.911%, 2/13/2053 | 3,429,659 | 3,702,126 | ||
KREF Ltd., 2018-FT1, “AS”, FLR, 1.393% (LIBOR - 1mo. + 1.3%), 2/15/2039 (n) | 759,000 | 759,000 | ||
LoanCore Ltd., 2021-CRE5, “AS”, FLR, 1.845% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 6,508,500 | 6,510,529 | ||
Madison Park Funding Ltd., 2014-13A, “BR2”, FLR, 1.634% (LIBOR - 3mo. + 1.5%), 4/19/2030 (n) | 5,711,934 | 5,738,397 | ||
MF1 CLO Ltd., 2021-FL5, “AS”, FLR, 1.364% (LIBOR - 1mo. + 1.2%), 7/15/2036 (n) | 3,875,500 | 3,877,911 | ||
MF1 CLO Ltd., 2021-FL5, “B”, FLR, 1.614% (LIBOR - 1mo. + 1.45%), 7/15/2036 (n) | 4,881,500 | 4,887,572 | ||
MF1 Multi-Family Housing Mortgage Loan Trust, 2020-FL4, “A”, FLR, 1.864% (LIBOR - 1mo. + 1.7%), 11/15/2035 (n) | 4,790,500 | 4,841,362 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C34, “A4”, 3.536%, 11/15/2052 | 1,650,987 | 1,834,874 | ||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 1.025%, 12/15/2051 (i) | 24,876,038 | 1,284,449 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.425%, 5/15/2054 (i) | 16,833,921 | 1,614,878 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.356%, 6/15/2054 (i) | 20,775,860 | 1,823,688 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Palmer Square Loan Funding Ltd., 2020-1A, “A2”, FLR, 1.481% (LIBOR - 3mo. + 1.35%), 2/20/2028 (n) | $ | 3,163,115 | $ 3,147,628 | |
PFP III Ltd., 2021-7, “AS”, FLR, 1.245% (LIBOR - 1mo. + 1.15%), 4/14/2038 (n) | 5,441,728 | 5,424,712 | ||
Symphony CLO Ltd., 2016-17A, “BR”, FLR, 1.326% (LIBOR - 3mo. + 1.2%), 4/15/2028 (n) | 4,840,622 | 4,833,656 | ||
UBS Commercial Mortgage Trust, 2017-C1, “A4”, 3.544%, 11/15/2050 | 3,359,567 | 3,741,462 | ||
Wells Fargo Commercial Mortgage Trust, 2018-C48, “XA”, 1.113%, 1/15/2052 (i)(n) | 14,459,908 | 830,071 | ||
Wells Fargo Commercial Mortgage Trust, 2019-C54, “A4”, 3.146%, 12/15/2052 | 7,948,914 | 8,723,381 | ||
Wells Fargo Commercial Mortgage Trust, 2020-C58, “A4”, 2.092%, 7/15/2053 | 2,285,000 | 2,317,541 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C60, 1.684%, 8/15/2054 (i) | 20,992,114 | 2,486,629 | ||
$173,892,257 | ||||
Automotive – 0.2% | ||||
Hyundai Capital America, 2.85%, 11/01/2022 (n) | $ | 2,831,000 | $ 2,904,737 | |
Hyundai Capital America, 2.375%, 2/10/2023 (n) | 1,899,000 | 1,944,112 | ||
$4,848,849 | ||||
Consumer Services – 0.1% | ||||
Conservation Fund, 3.474%, 12/15/2029 | $ | 2,018,000 | $ 2,162,802 | |
Industrial – 0.1% | ||||
Howard University, Washington D.C., 2.638%, 10/01/2021 | $ | 436,000 | $ 436,770 | |
Howard University, Washington D.C., 2.738%, 10/01/2022 | 458,000 | 467,223 | ||
Howard University, Washington D.C., 2.801%, 10/01/2023 | 505,000 | 524,277 | ||
Howard University, Washington D.C., AGM, 2.416%, 10/01/2024 | 556,000 | 571,241 | ||
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | 688,000 | 709,931 | ||
$2,709,442 | ||||
Major Banks – 0.3% | ||||
JPMorgan Chase & Co., 1.578% to 4/22/2026, FLR (SOFR + 0.885%) to 4/22/2027 | $ | 5,416,000 | $ 5,466,771 | |
UBS Group AG, 3.491%, 5/23/2023 (n) | 2,120,000 | 2,167,349 | ||
$7,634,120 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Medical & Health Technology & Services – 0.7% | ||||
Montefiore Obligated Group, AGM, 5.246%, 11/01/2048 | $ | 7,884,000 | $ 10,341,217 | |
ProMedica Toledo Hospital, “B”, AGM, 5.325%, 11/15/2028 | 4,139,000 | 4,953,878 | ||
ProMedica Toledo Hospital, “B”, AGM, 5.75%, 11/15/2038 | 1,992,000 | 2,398,261 | ||
$17,693,356 | ||||
Mortgage-Backed – 44.9% | ||||
Fannie Mae, 2.152%, 1/25/2023 | $ | 1,773,679 | $ 1,801,545 | |
Fannie Mae, 2.41%, 5/01/2023 | 1,367,831 | 1,401,011 | ||
Fannie Mae, 2.55%, 5/01/2023 | 1,176,378 | 1,206,948 | ||
Fannie Mae, 5.5%, 6/01/2023 - 5/01/2044 | 11,572,391 | 13,376,607 | ||
Fannie Mae, 5%, 3/01/2024 - 3/01/2042 | 10,704,359 | 12,187,841 | ||
Fannie Mae, 4.5%, 5/01/2025 - 6/01/2044 | 26,166,066 | 29,219,286 | ||
Fannie Mae, 3.5%, 5/25/2025 - 5/01/2049 | 37,254,598 | 40,172,568 | ||
Fannie Mae, 2.641%, 12/25/2026 | 4,567,009 | 4,912,231 | ||
Fannie Mae, 4%, 3/25/2028 - 7/01/2047 | 51,332,732 | 56,237,990 | ||
Fannie Mae, 3%, 11/01/2028 - 5/25/2053 | 32,526,801 | 34,334,715 | ||
Fannie Mae, 2.5%, 11/01/2031 - 10/01/2046 | 5,366,130 | 5,559,708 | ||
Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | 2,063,991 | 217,656 | ||
Fannie Mae, 6.5%, 1/01/2032 - 10/01/2037 | 918,689 | 1,057,041 | ||
Fannie Mae, 6%, 1/01/2033 - 12/01/2037 | 2,616,125 | 3,045,678 | ||
Fannie Mae, 3%, 2/25/2033 (i) | 2,035,537 | 199,602 | ||
Fannie Mae, 2%, 10/25/2040 - 4/25/2046 | 2,960,286 | 3,026,980 | ||
Fannie Mae, 1.75%, 9/25/2041 - 10/25/2041 | 8,518,890 | 8,684,405 | ||
Fannie Mae, 2.75%, 9/25/2042 | 2,467,683 | 2,568,805 | ||
Fannie Mae, UMBS, 5.5%, 5/01/2044 | 1,753,029 | 2,033,423 | ||
Fannie Mae, UMBS, 2.5%, 2/01/2050 - 7/01/2050 | 8,978,626 | 9,417,242 | ||
Fannie Mae, UMBS, 2%, 1/01/2051 - 2/01/2051 | 4,457,547 | 4,546,206 | ||
Freddie Mac, 5%, 12/01/2021 - 12/01/2044 | 11,340,668 | 12,912,019 | ||
Freddie Mac, 5.5%, 5/01/2022 - 9/01/2041 | 5,033,861 | 5,811,441 | ||
Freddie Mac, 4.5%, 11/01/2022 - 5/01/2042 | 4,506,952 | 5,017,254 | ||
Freddie Mac, 3.32%, 2/25/2023 | 4,605,000 | 4,781,292 | ||
Freddie Mac, 3.25%, 4/25/2023 | 9,000,000 | 9,356,611 | ||
Freddie Mac, 6%, 6/01/2023 - 10/01/2038 | 1,624,586 | 1,891,568 | ||
Freddie Mac, 3.06%, 7/25/2023 | 871,000 | 906,485 | ||
Freddie Mac, 3.531%, 7/25/2023 | 240,000 | 252,560 | ||
Freddie Mac, 3.458%, 8/25/2023 | 4,600,000 | 4,847,717 | ||
Freddie Mac, 1.017%, 4/25/2024 (i) | 45,654,403 | 822,975 | ||
Freddie Mac, 0.732%, 7/25/2024 (i) | 58,313,821 | 732,847 | ||
Freddie Mac, 3.303%, 7/25/2024 | 4,700,000 | 5,037,929 | ||
Freddie Mac, 3.064%, 8/25/2024 | 6,098,509 | 6,472,664 | ||
Freddie Mac, 2.67%, 12/25/2024 | 10,788,000 | 11,450,868 | ||
Freddie Mac, 3.062%, 12/25/2024 | 325,000 | 349,035 | ||
Freddie Mac, 2.811%, 1/25/2025 | 9,000,000 | 9,606,383 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Freddie Mac, 3.329%, 5/25/2025 | $ | 16,621,000 | $ 18,106,206 | |
Freddie Mac, 3.284%, 6/25/2025 | 1,125,000 | 1,224,196 | ||
Freddie Mac, 4%, 7/01/2025 - 4/01/2044 | 3,964,807 | 4,353,049 | ||
Freddie Mac, 3.01%, 7/25/2025 | 2,651,000 | 2,864,571 | ||
Freddie Mac, 3.5%, 11/15/2025 - 10/25/2058 | 47,461,429 | 50,847,869 | ||
Freddie Mac, 3.3%, 10/25/2026 | 7,808,000 | 8,669,084 | ||
Freddie Mac, 1.481%, 3/25/2027 (i) | 5,583,000 | 397,311 | ||
Freddie Mac, 3.117%, 6/25/2027 | 5,237,000 | 5,798,191 | ||
Freddie Mac, 0.711%, 7/25/2027 (i) | 105,743,174 | 3,301,609 | ||
Freddie Mac, 0.562%, 8/25/2027 (i) | 83,326,548 | 2,005,353 | ||
Freddie Mac, 0.427%, 1/25/2028 (i) | 151,146,474 | 2,871,526 | ||
Freddie Mac, 0.434%, 1/25/2028 (i) | 62,212,027 | 1,215,735 | ||
Freddie Mac, 0.269%, 2/25/2028 (i) | 176,673,473 | 1,762,724 | ||
Freddie Mac, 2.5%, 3/15/2028 | 664,700 | 676,999 | ||
Freddie Mac, 0.262%, 4/25/2028 (i) | 113,603,475 | 1,057,807 | ||
Freddie Mac, 3%, 6/15/2028 - 2/25/2059 | 33,091,825 | 35,183,297 | ||
Freddie Mac, 1.218%, 7/25/2029 (i) | 19,381,215 | 1,503,672 | ||
Freddie Mac, 1.268%, 8/25/2029 (i) | 33,888,326 | 2,756,964 | ||
Freddie Mac, 1.915%, 4/25/2030 (i) | 14,430,646 | 2,061,278 | ||
Freddie Mac, 1.984%, 4/25/2030 (i) | 20,077,463 | 2,982,975 | ||
Freddie Mac, 1.765%, 5/25/2030 (i) | 12,033,779 | 1,610,039 | ||
Freddie Mac, 1.906%, 5/25/2030 (i) | 26,880,424 | 3,870,765 | ||
Freddie Mac, 1.436%, 6/25/2030 (i) | 11,124,134 | 1,212,050 | ||
Freddie Mac, 1.704%, 8/25/2030 (i) | 10,235,210 | 1,344,706 | ||
Freddie Mac, 1.263%, 9/25/2030 (i) | 6,568,138 | 645,438 | ||
Freddie Mac, 1.172%, 11/25/2030 (i) | 13,158,725 | 1,213,650 | ||
Freddie Mac, 0.423%, 1/25/2031 (i) | 50,236,349 | 1,371,251 | ||
Freddie Mac, 0.874%, 1/25/2031 (i) | 19,512,958 | 1,344,080 | ||
Freddie Mac, 1.027%, 1/25/2031 (i) | 14,681,587 | 1,190,954 | ||
Freddie Mac, 0.625%, 3/25/2031 (i) | 40,555,216 | 1,807,104 | ||
Freddie Mac, 0.837%, 3/25/2031 (i) | 17,260,719 | 1,144,555 | ||
Freddie Mac, 1.333%, 5/25/2031 (i) | 7,120,528 | 776,007 | ||
Freddie Mac, 5.5%, 2/15/2036 (i) | 504,758 | 92,541 | ||
Freddie Mac, 2%, 8/15/2036 | 4,502,048 | 4,559,240 | ||
Freddie Mac, 6.5%, 5/01/2037 | 183,405 | 214,102 | ||
Freddie Mac, 4.5%, 12/15/2040 (i) | 189,733 | 18,282 | ||
Freddie Mac, 1.75%, 8/15/2041 | 1,882,760 | 1,931,874 | ||
Freddie Mac, UMBS, 2.5%, 8/01/2040 | 823,025 | 870,266 | ||
Freddie Mac, UMBS, 3%, 2/01/2050 - 7/01/2050 | 3,934,751 | 4,165,046 | ||
Ginnie Mae, 5.5%, 3/15/2033 - 1/20/2042 | 2,265,348 | 2,616,713 | ||
Ginnie Mae, 4.5%, 7/20/2033 - 7/20/2049 | 6,601,180 | 7,370,630 | ||
Ginnie Mae, 5.698%, 8/20/2034 | 1,764,195 | 2,013,365 | ||
Ginnie Mae, 4%, 5/16/2039 - 7/20/2049 | 6,522,063 | 7,007,301 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Ginnie Mae, 3.5%, 10/20/2041 (i) | $ | 818,219 | $ 58,919 | |
Ginnie Mae, 3.5%, 12/15/2041 - 7/20/2043 | 10,323,375 | 11,194,802 | ||
Ginnie Mae, 2.5%, 6/20/2042 - 8/20/2051 | 29,785,325 | 30,913,930 | ||
Ginnie Mae, 4%, 8/16/2042 (i) | 899,355 | 118,761 | ||
Ginnie Mae, 3%, 2/20/2043 - 8/20/2051 | 30,489,939 | 32,077,077 | ||
Ginnie Mae, 2.25%, 9/20/2043 | 1,969,321 | 1,999,702 | ||
Ginnie Mae, 5.87%, 4/20/2058 | 41,763 | 48,024 | ||
Ginnie Mae, 0.558%, 2/16/2059 (i) | 3,615,401 | 154,715 | ||
Ginnie Mae, TBA, 3.5%, 9/15/2051 | 56,717,230 | 59,690,453 | ||
Ginnie Mae, TBA, 2%, 9/21/2051 | 16,350,000 | 16,689,135 | ||
Ginnie Mae, TBA, 3%, 9/21/2051 | 14,650,000 | 15,315,545 | ||
Ginnie Mae, TBA, 4%, 9/21/2051 | 20,525,000 | 21,730,844 | ||
Ginnie Mae, TBA, 2.5%, 10/15/2051 | 20,925,000 | 21,659,827 | ||
UMBS, TBA, 1.5%, 9/25/2036 - 10/19/2036 | 19,625,000 | 19,926,048 | ||
UMBS, TBA, 2%, 9/25/2036 - 10/14/2051 | 226,700,000 | 230,420,678 | ||
UMBS, TBA, 2.5%, 9/25/2036 - 10/25/2051 | 132,540,000 | 137,779,133 | ||
UMBS, TBA, 3%, 9/25/2036 - 9/25/2051 | 82,985,603 | 86,822,127 | ||
$ 1,200,087,231 | ||||
Municipals – 1.9% | ||||
California Earthquake Authority Rev., “B”, 1.327%, 7/01/2022 | $ | 1,910,000 | $ 1,925,983 | |
California Earthquake Authority Rev., “B”, 1.477%, 7/01/2023 | 1,355,000 | 1,380,716 | ||
Chicago, IL, Transit Authority Sales Tax Receipts Refunding Rev., Taxable, “B”, 1.838%, 12/01/2023 | 492,000 | 504,847 | ||
Chicago, IL, Transit Authority Sales Tax Receipts Refunding Rev., Taxable, “B”, 2.064%, 12/01/2024 | 985,000 | 1,021,156 | ||
Chicago, IL, Transit Authority Sales Tax Receipts Refunding Rev., Taxable, “B”, 2.214%, 12/01/2025 | 738,000 | 769,901 | ||
Chicago, IL, Transit Authority Sales Tax Receipts Refunding Rev., Taxable, “B”, 2.481%, 12/01/2026 | 1,723,000 | 1,819,727 | ||
Florida State Board of Administration Finance Corp. Rev., “A”, 1.705%, 7/01/2027 | 4,545,000 | 4,656,943 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., “A”, 2.562%, 7/01/2026 | �� 445,000 | 466,573 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., “A”, 2.682%, 7/01/2027 | 2,165,000 | 2,273,239 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev. (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 1,780,286 | 1,853,737 | ||
New Jersey Economic Development Authority State Pension Funding Rev., Capital Appreciation, “B”, AGM, 0%, 2/15/2023 | 14,792,000 | 14,689,805 | ||
New York Transportation Development Corp., Special Facilities Taxable Rev. (Terminal 4 John F. Kennedy International Airport Project), “B”, 1.36%, 12/01/2021 | 810,000 | 811,811 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Municipals – continued | ||||
New York Transportation Development Corp., Special Facilities Taxable Rev. (Terminal 4 John F. Kennedy International Airport Project), “B”, 1.61%, 12/01/2022 | $ | 770,000 | $ 779,616 | |
Philadelphia, PA, School District, “A”, AGM, 5.995%, 9/01/2030 | 3,280,000 | 4,302,151 | ||
Port Authority of NY & NJ, “AAA”, 1.086%, 7/01/2023 | 4,045,000 | 4,103,369 | ||
Port Oakland, CA, Senior Lien Refunding Taxable Rev., “R”, 1.081%, 5/01/2024 | 1,150,000 | 1,162,060 | ||
Port Oakland, CA, Senior Lien Refunding Taxable Rev., “R”, 1.517%, 5/01/2026 | 1,680,000 | 1,711,084 | ||
Rhode Island Student Loan Authority, Education Loan Rev., “1”, 2.195%, 12/01/2039 | 770,000 | 794,545 | ||
Texas Transportation Commission, Central Texas Turnpike System First Tier Refunding Rev., Taxable, “B”, 1.98%, 8/15/2042 | 3,260,000 | 3,304,385 | ||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, “A-1”, 1.497%, 6/01/2024 | 1,900,000 | 1,925,979 | ||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, “A-1”, 1.647%, 6/01/2025 | 1,550,000 | 1,570,260 | ||
$51,827,887 | ||||
Supranational – 0.2% | ||||
Inter-American Development Bank, 4.375%, 1/24/2044 | $ | 2,796,000 | $ 3,933,897 | |
U.S. Government Agencies and Equivalents – 0.4% | ||||
Small Business Administration, 6.07%, 3/01/2022 | $ | 9,928 | $ 10,011 | |
Small Business Administration, 4.98%, 11/01/2023 | 45,117 | 46,773 | ||
Small Business Administration, 4.89%, 12/01/2023 | 129,068 | 133,205 | ||
Small Business Administration, 4.77%, 4/01/2024 | 150,575 | 155,989 | ||
Small Business Administration, 5.52%, 6/01/2024 | 78,484 | 82,060 | ||
Small Business Administration, 4.99%, 9/01/2024 | 121,724 | 126,518 | ||
Small Business Administration, 4.86%, 10/01/2024 | 85,453 | 88,971 | ||
Small Business Administration, 4.86%, 1/01/2025 | 164,010 | 171,949 | ||
Small Business Administration, 5.11%, 4/01/2025 | 128,036 | 134,563 | ||
Small Business Administration, 2.21%, 2/01/2033 | 1,073,237 | 1,123,044 | ||
Small Business Administration, 2.22%, 3/01/2033 | 1,691,544 | 1,756,530 | ||
Small Business Administration, 3.15%, 7/01/2033 | 1,643,460 | 1,765,617 | ||
Small Business Administration, 3.16%, 8/01/2033 | 635,131 | 682,325 | ||
Small Business Administration, 3.62%, 9/01/2033 | 686,397 | 746,123 | ||
Tennessee Valley Authority, 0.75%, 5/15/2025 | 3,827,000 | 3,862,663 | ||
$10,886,341 | ||||
U.S. Treasury Obligations – 39.8% | ||||
U.S. Treasury Bonds, 6.25%, 8/15/2023 | $ | 1,445,000 | $ 1,615,183 | |
U.S. Treasury Bonds, 6%, 2/15/2026 | 5,933,000 | 7,320,766 | ||
U.S. Treasury Bonds, 6.75%, 8/15/2026 | 981,000 | 1,266,601 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Treasury Obligations – continued | ||||
U.S. Treasury Bonds, 6.375%, 8/15/2027 | $ | 2,309,000 | $ 3,042,558 | |
U.S. Treasury Bonds, 1.625%, 5/15/2031 | 41,833,000 | 43,133,745 | ||
U.S. Treasury Bonds, 4.375%, 2/15/2038 | 2,078,000 | 2,920,321 | ||
U.S. Treasury Bonds, 4.5%, 8/15/2039 | 11,926,300 | 17,192,041 | ||
U.S. Treasury Bonds, 3.125%, 2/15/2043 | 9,748,800 | 11,946,088 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2043 | 27,528,200 | 32,495,105 | ||
U.S. Treasury Bonds, 2.5%, 2/15/2045 | 97,983,000 | 109,155,359 | ||
U.S. Treasury Bonds, 2.875%, 11/15/2046 | 26,245,000 | 31,387,380 | ||
U.S. Treasury Notes, 1.5%, 9/15/2022 | 35,000,000 | 35,511,328 | ||
U.S. Treasury Notes, 0.125%, 9/30/2022 | 49,534,000 | 49,553,349 | ||
U.S. Treasury Notes, 0.125%, 2/28/2023 | 51,824,200 | 51,803,956 | ||
U.S. Treasury Notes, 2.5%, 3/31/2023 | 131,000,000 | 135,851,094 | ||
U.S. Treasury Notes, 0.125%, 5/31/2023 | 33,455,000 | 33,426,249 | ||
U.S. Treasury Notes, 0.125%, 6/30/2023 | 18,346,500 | 18,332,883 | ||
U.S. Treasury Notes, 2.5%, 8/15/2023 (f) | 136,673,000 | 142,785,913 | ||
U.S. Treasury Notes, 0.125%, 12/15/2023 | 51,749,000 | 51,579,199 | ||
U.S. Treasury Notes, 2.875%, 7/31/2025 | 30,757,000 | 33,462,655 | ||
U.S. Treasury Notes, 0.25%, 9/30/2025 | 19,700,000 | 19,391,418 | ||
U.S. Treasury Notes, 2.625%, 12/31/2025 | 20,900,000 | 22,637,313 | ||
U.S. Treasury Notes, 2%, 11/15/2026 | 51,959,000 | 55,115,103 | ||
U.S. Treasury Notes, 2.75%, 2/15/2028 | 54,157,000 | 60,093,115 | ||
U.S. Treasury Notes, 1%, 7/31/2028 | 32,248,000 | 32,086,760 | ||
U.S. Treasury Notes, 2.375%, 5/15/2029 | 19,515,500 | 21,288,666 | ||
U.S. Treasury Notes, 1.625%, 8/15/2029 | 29,405,000 | 30,446,810 | ||
U.S. Treasury Notes, 1.75%, 11/15/2029 | 8,564,000 | 8,949,380 | ||
$ 1,063,790,338 | ||||
Total Bonds (Identified Cost, $2,448,835,895) | $ 2,539,466,520 | |||
Investment Companies (h) – 27.8% | ||||
Money Market Funds – 27.8% | ||||
MFS Institutional Money Market Portfolio, 0.04% (v) (Identified Cost, $742,448,403) | 742,449,918 | $ 742,449,918 | ||
Other Assets, Less Liabilities – (22.9)% | (610,645,540) | |||
Net Assets – 100.0% | $ 2,671,270,898 |
(f) | All or a portion of the security has been segregated as collateral for open futures contracts. | |||
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $742,449,918 and $2,539,466,520, respectively. | |||
(i) | Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security. |
(n) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $72,930,643, representing 2.7% of net assets. | |||
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
The following abbreviations are used in this report and are defined: | |
AGM | Assured Guaranty Municipal |
CLO | Collateralized Loan Obligation |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
LIBOR | London Interbank Offered Rate |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
UMBS | Uniform Mortgage-Backed Security |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Note 10 yr | Long | USD | 670 | $89,413,594 | December – 2021 | $18,492 |
U.S. Treasury Ultra Bond | Long | USD | 447 | 88,184,719 | December – 2021 | 555,922 |
$574,414 | ||||||
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Bond | Short | USD | 141 | $22,978,594 | December – 2021 | $(51,028) |
U.S. Treasury Note 2 yr | Short | USD | 482 | 106,198,156 | December – 2021 | (88,320) |
U.S. Treasury Note 5 yr | Short | USD | 174 | 21,527,063 | December – 2021 | (34,602) |
U.S. Treasury Ultra Note 10 yr | Short | USD | 160 | 23,682,500 | December – 2021 | (17,531) |
$(191,481) |
Assets | |
Investments in unaffiliated issuers, at value (identified cost, $2,448,835,895) | $2,539,466,520 |
Investments in affiliated issuers, at value (identified cost, $742,448,403) | 742,449,918 |
Receivables for | |
Investments sold | 898,245 |
TBA sale commitments | 5,716,242 |
Fund shares sold | 5,179,348 |
Interest | 7,556,500 |
Other assets | 15,526 |
Total assets | $3,301,282,299 |
Liabilities | |
Payable to custodian | $110,131 |
Payables for | |
Distributions | 219,565 |
Net daily variation margin on open futures contracts | 378,218 |
Investments purchased | 12,033,503 |
TBA purchase commitments | 615,068,745 |
Fund shares reacquired | 1,578,481 |
Payable to affiliates | |
Investment adviser | 51,576 |
Administrative services fee | 1,962 |
Shareholder servicing costs | 443,371 |
Distribution and service fees | 13,734 |
Payable for independent Trustees' compensation | 5,534 |
Accrued expenses and other liabilities | 106,581 |
Total liabilities | $630,011,401 |
Net assets | $2,671,270,898 |
Net assets consist of | |
Paid-in capital | $2,666,521,515 |
Total distributable earnings (loss) | 4,749,383 |
Net assets | $2,671,270,898 |
Shares of beneficial interest outstanding | 262,638,328 |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $780,095,293 | 76,636,927 | $10.18 |
Class B | 3,430,183 | 337,405 | 10.17 |
Class C | 13,219,190 | 1,296,860 | 10.19 |
Class I | 152,196,869 | 14,974,921 | 10.16 |
Class R1 | 2,156,877 | 212,143 | 10.17 |
Class R2 | 57,032,733 | 5,609,244 | 10.17 |
Class R3 | 42,835,697 | 4,210,172 | 10.17 |
Class R4 | 69,141,931 | 6,793,566 | 10.18 |
Class R6 | 1,551,162,125 | 152,567,090 | 10.17 |
(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 $10.63 [100 / 95.75 x $10.18]. On sales of $100,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A, Class B, and Class C shares. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R6. |
Net investment income (loss) | |
Income | |
Interest | $20,304,930 |
Dividends from affiliated issuers | 134,261 |
Total investment income | $20,439,191 |
Expenses | |
Management fee | $4,846,298 |
Distribution and service fees | 1,317,739 |
Shareholder servicing costs | 1,213,391 |
Administrative services fee | 177,389 |
Independent Trustees' compensation | 20,271 |
Custodian fee | 73,828 |
Shareholder communications | 32,229 |
Audit and tax fees | 33,199 |
Legal fees | 9,366 |
Miscellaneous | 133,530 |
Total expenses | $7,857,240 |
Fees paid indirectly | (69) |
Reduction of expenses by investment adviser and distributor | (166,512) |
Net expenses | $7,690,659 |
Net investment income (loss) | $12,748,532 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $(737,209) |
Futures contracts | 4,603,796 |
Net realized gain (loss) | $3,866,587 |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $6,594,270 |
Futures contracts | 697,074 |
Net unrealized gain (loss) | $7,291,344 |
Net realized and unrealized gain (loss) | $11,157,931 |
Change in net assets from operations | $23,906,463 |
Six months ended | Year ended | |
8/31/21 (unaudited) | 2/28/21 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $12,748,532 | $37,460,682 |
Net realized gain (loss) | 3,866,587 | 11,832,530 |
Net unrealized gain (loss) | 7,291,344 | (43,921,875) |
Change in net assets from operations | $23,906,463 | $5,371,337 |
Total distributions to shareholders | $(16,953,804) | $(44,976,163) |
Change in net assets from fund share transactions | $67,795,492 | $382,371,044 |
Total change in net assets | $74,748,151 | $342,766,218 |
Net assets | ||
At beginning of period | 2,596,522,747 | 2,253,756,529 |
At end of period | $2,671,270,898 | $2,596,522,747 |
Class A | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $10.15 | $10.28 | $9.59 | $9.55 | $9.84 | $10.17 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.04 | $0.14 | $0.20 | $0.20 | $0.20 | $0.19(c) |
Net realized and unrealized gain (loss) | 0.05 | (0.10) | 0.70 | 0.06 | (0.26) | (0.29) |
Total from investment operations | $0.09 | $0.04 | $0.90 | $0.26 | $(0.06) | $(0.10) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.06) | $(0.17) | $(0.21) | $(0.22) | $(0.23) | $(0.23) |
Net asset value, end of period (x) | $10.18 | $10.15 | $10.28 | $9.59 | $9.55 | $9.84 |
Total return (%) (r)(s)(t)(x) | 0.84(n) | 0.40 | 9.48 | 2.75 | (0.61) | (0.97)(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.80(a) | 0.81 | 0.85 | 0.86 | 0.87 | 0.88(c) |
Expenses after expense reductions (f) | 0.79(a) | 0.80 | 0.84 | 0.84 | 0.85 | 0.86(c) |
Net investment income (loss) | 0.76(a) | 1.35 | 1.98 | 2.12 | 2.06 | 1.93(c) |
Portfolio turnover | 211(n) | 307 | 113 | 56 | 20 | 48 |
Net assets at end of period (000 omitted) | $780,095 | $805,484 | $702,063 | $596,678 | $625,457 | $685,256 |
Class B | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $10.14 | $10.27 | $9.58 | $9.54 | $9.82 | $10.16 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.00(w) | $0.07 | $0.12 | $0.13 | $0.13 | $0.12(c) |
Net realized and unrealized gain (loss) | 0.05 | (0.10) | 0.71 | 0.06 | (0.25) | (0.30) |
Total from investment operations | $0.05 | $(0.03) | $0.83 | $0.19 | $(0.12) | $(0.18) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.02) | $(0.10) | $(0.14) | $(0.15) | $(0.16) | $(0.16) |
Net asset value, end of period (x) | $10.17 | $10.14 | $10.27 | $9.58 | $9.54 | $9.82 |
Total return (%) (r)(s)(t)(x) | 0.46(n) | (0.35) | 8.68 | 1.99 | (1.26) | (1.82)(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.55(a) | 1.56 | 1.60 | 1.61 | 1.62 | 1.63(c) |
Expenses after expense reductions (f) | 1.54(a) | 1.55 | 1.59 | 1.60 | 1.61 | 1.62(c) |
Net investment income (loss) | 0.02(a) | 0.66 | 1.23 | 1.37 | 1.31 | 1.18(c) |
Portfolio turnover | 211(n) | 307 | 113 | 56 | 20 | 48 |
Net assets at end of period (000 omitted) | $3,430 | $4,468 | $7,711 | $8,811 | $12,968 | $18,013 |
Class C | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $10.17 | $10.29 | $9.60 | $9.57 | $9.85 | $10.19 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.00(w) | $0.07 | $0.12 | $0.13 | $0.13 | $0.12(c) |
Net realized and unrealized gain (loss) | 0.04 | (0.09) | 0.71 | 0.05 | (0.25) | (0.30) |
Total from investment operations | $0.04 | $(0.02) | $0.83 | $0.18 | $(0.12) | $(0.18) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.02) | $(0.10) | $(0.14) | $(0.15) | $(0.16) | $(0.16) |
Net asset value, end of period (x) | $10.19 | $10.17 | $10.29 | $9.60 | $9.57 | $9.85 |
Total return (%) (r)(s)(t)(x) | 0.36(n) | (0.25) | 8.66 | 1.88 | (1.25) | (1.81)(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.55(a) | 1.56 | 1.60 | 1.61 | 1.62 | 1.63(c) |
Expenses after expense reductions (f) | 1.54(a) | 1.55 | 1.59 | 1.60 | 1.61 | 1.62(c) |
Net investment income (loss) | 0.02(a) | 0.63 | 1.23 | 1.37 | 1.30 | 1.17(c) |
Portfolio turnover | 211(n) | 307 | 113 | 56 | 20 | 48 |
Net assets at end of period (000 omitted) | $13,219 | $19,052 | $20,084 | $19,919 | $29,766 | $41,824 |
Class I | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $10.14 | $10.27 | $9.58 | $9.55 | $9.83 | $10.16 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.05 | $0.17 | $0.22 | $0.22 | $0.22 | $0.22(c) |
Net realized and unrealized gain (loss) | 0.04 | (0.10) | 0.70 | 0.05 | (0.24) | (0.29) |
Total from investment operations | $0.09 | $0.07 | $0.92 | $0.27 | $(0.02) | $(0.07) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.07) | $(0.20) | $(0.23) | $(0.24) | $(0.26) | $(0.26) |
Net asset value, end of period (x) | $10.16 | $10.14 | $10.27 | $9.58 | $9.55 | $9.83 |
Total return (%) (r)(s)(t)(x) | 0.87(n) | 0.65 | 9.76 | 2.90 | (0.26) | (0.73)(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.55(a) | 0.56 | 0.60 | 0.61 | 0.62 | 0.63(c) |
Expenses after expense reductions (f) | 0.54(a) | 0.55 | 0.59 | 0.60 | 0.61 | 0.62(c) |
Net investment income (loss) | 1.01(a) | 1.60 | 2.20 | 2.36 | 2.29 | 2.17(c) |
Portfolio turnover | 211(n) | 307 | 113 | 56 | 20 | 48 |
Net assets at end of period (000 omitted) | $152,197 | $162,286 | $96,407 | $43,627 | $39,572 | $43,439 |
Class R1 | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $10.14 | $10.27 | $9.58 | $9.54 | $9.83 | $10.16 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.00(w) | $0.06 | $0.12 | $0.13 | $0.13 | $0.12(c) |
Net realized and unrealized gain (loss) | 0.05 | (0.09) | 0.71 | 0.06 | (0.26) | (0.29) |
Total from investment operations | $0.05 | $(0.03) | $0.83 | $0.19 | $(0.13) | $(0.17) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.02) | $(0.10) | $(0.14) | $(0.15) | $(0.16) | $(0.16) |
Net asset value, end of period (x) | $10.17 | $10.14 | $10.27 | $9.58 | $9.54 | $9.83 |
Total return (%) (r)(s)(t)(x) | 0.46(n) | (0.35) | 8.68 | 1.99 | (1.36) | (1.72)(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.55(a) | 1.56 | 1.60 | 1.61 | 1.62 | 1.63(c) |
Expenses after expense reductions (f) | 1.54(a) | 1.55 | 1.59 | 1.60 | 1.61 | 1.62(c) |
Net investment income (loss) | 0.01(a) | 0.61 | 1.23 | 1.37 | 1.31 | 1.18(c) |
Portfolio turnover | 211(n) | 307 | 113 | 56 | 20 | 48 |
Net assets at end of period (000 omitted) | $2,157 | $2,274 | $2,158 | $2,125 | $2,237 | $3,265 |
Class R2 | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $10.14 | $10.27 | $9.58 | $9.54 | $9.83 | $10.16 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.03 | $0.12 | $0.17 | $0.18 | $0.18 | $0.17(c) |
Net realized and unrealized gain (loss) | 0.04 | (0.10) | 0.71 | 0.06 | (0.26) | (0.29) |
Total from investment operations | $0.07 | $0.02 | $0.88 | $0.24 | $(0.08) | $(0.12) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.04) | $(0.15) | $(0.19) | $(0.20) | $(0.21) | $(0.21) |
Net asset value, end of period (x) | $10.17 | $10.14 | $10.27 | $9.58 | $9.54 | $9.83 |
Total return (%) (r)(s)(t)(x) | 0.71(n) | 0.15 | 9.22 | 2.50 | (0.86) | (1.22)(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.05(a) | 1.06 | 1.10 | 1.11 | 1.12 | 1.13(c) |
Expenses after expense reductions (f) | 1.04(a) | 1.05 | 1.09 | 1.10 | 1.11 | 1.12(c) |
Net investment income (loss) | 0.51(a) | 1.12 | 1.73 | 1.87 | 1.80 | 1.68(c) |
Portfolio turnover | 211(n) | 307 | 113 | 56 | 20 | 48 |
Net assets at end of period (000 omitted) | $57,033 | $63,945 | $78,519 | $86,431 | $98,060 | $111,123 |
Class R3 | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $10.15 | $10.27 | $9.58 | $9.55 | $9.83 | $10.17 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.04 | $0.14 | $0.20 | $0.20 | $0.20 | $0.19(c) |
Net realized and unrealized gain (loss) | 0.03 | (0.09) | 0.70 | 0.05 | (0.25) | (0.30) |
Total from investment operations | $0.07 | $0.05 | $0.90 | $0.25 | $(0.05) | $(0.11) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.05) | $(0.17) | $(0.21) | $(0.22) | $(0.23) | $(0.23) |
Net asset value, end of period (x) | $10.17 | $10.15 | $10.27 | $9.58 | $9.55 | $9.83 |
Total return (%) (r)(s)(t)(x) | 0.74(n) | 0.50 | 9.49 | 2.65 | (0.51) | (1.07)(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.80(a) | 0.81 | 0.85 | 0.86 | 0.87 | 0.88(c) |
Expenses after expense reductions (f) | 0.79(a) | 0.80 | 0.84 | 0.85 | 0.86 | 0.87(c) |
Net investment income (loss) | 0.76(a) | 1.36 | 1.99 | 2.12 | 2.05 | 1.93(c) |
Portfolio turnover | 211(n) | 307 | 113 | 56 | 20 | 48 |
Net assets at end of period (000 omitted) | $42,836 | $49,242 | $52,773 | $66,977 | $79,274 | $88,434 |
Class R4 | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $10.15 | $10.28 | $9.59 | $9.55 | $9.84 | $10.17 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.05 | $0.17 | $0.22 | $0.22 | $0.23 | $0.22(c) |
Net realized and unrealized gain (loss) | 0.05 | (0.10) | 0.71 | 0.06 | (0.26) | (0.29) |
Total from investment operations | $0.10 | $0.07 | $0.93 | $0.28 | $(0.03) | $(0.07) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.07) | $(0.20) | $(0.24) | $(0.24) | $(0.26) | $(0.26) |
Net asset value, end of period (x) | $10.18 | $10.15 | $10.28 | $9.59 | $9.55 | $9.84 |
Total return (%) (r)(s)(t)(x) | 0.97(n) | 0.65 | 9.75 | 3.01 | (0.36) | (0.72)(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.55(a) | 0.56 | 0.60 | 0.61 | 0.62 | 0.63(c) |
Expenses after expense reductions (f) | 0.54(a) | 0.55 | 0.59 | 0.60 | 0.61 | 0.62(c) |
Net investment income (loss) | 1.01(a) | 1.61 | 2.22 | 2.36 | 2.30 | 2.18(c) |
Portfolio turnover | 211(n) | 307 | 113 | 56 | 20 | 48 |
Net assets at end of period (000 omitted) | $69,142 | $67,258 | $73,230 | $58,677 | $64,691 | $64,371 |
Class R6 | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $10.14 | $10.27 | $9.58 | $9.54 | $9.83 | $10.16 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.06 | $0.18 | $0.23 | $0.24 | $0.24 | $0.23(c) |
Net realized and unrealized gain (loss) | 0.04 | (0.10) | 0.71 | 0.05 | (0.26) | (0.29) |
Total from investment operations | $0.10 | $0.08 | $0.94 | $0.29 | $(0.02) | $(0.06) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.07) | $(0.21) | $(0.25) | $(0.25) | $(0.27) | $(0.27) |
Net asset value, end of period (x) | $10.17 | $10.14 | $10.27 | $9.58 | $9.54 | $9.83 |
Total return (%) (r)(s)(t)(x) | 1.02(n) | 0.75 | 9.87 | 3.13 | (0.25) | (0.61)(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.45(a) | 0.46 | 0.50 | 0.50 | 0.50 | 0.51(c) |
Expenses after expense reductions (f) | 0.44(a) | 0.45 | 0.49 | 0.49 | 0.50 | 0.50(c) |
Net investment income (loss) | 1.11(a) | 1.69 | 2.33 | 2.48 | 2.42 | 2.30(c) |
Portfolio turnover | 211(n) | 307 | 113 | 56 | 20 | 48 |
Net assets at end of period (000 omitted) | $1,551,162 | $1,422,514 | $1,220,812 | $1,025,911 | $1,066,416 | $1,038,818 |
(a) | Annualized. |
(c) | Amount reflects a one-time reimbursement of expenses by the custodian (or former custodian) without which net investment income and performance would be lower and expenses would be higher. |
(d) | Per share data is based on average shares outstanding. |
(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. |
(w) | Per share amount was less than $0.01. |
(x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | $— | $1,074,676,679 | $— | $1,074,676,679 |
Non - U.S. Sovereign Debt | — | 3,933,897 | — | 3,933,897 |
Municipal Bonds | — | 51,827,887 | — | 51,827,887 |
U.S. Corporate Bonds | — | 32,881,220 | — | 32,881,220 |
Residential Mortgage-Backed Securities | — | 1,200,087,231 | — | 1,200,087,231 |
Commercial Mortgage-Backed Securities | — | 134,394,081 | — | 134,394,081 |
Asset-Backed Securities (including CDOs) | — | 39,498,176 | — | 39,498,176 |
Foreign Bonds | — | 2,167,349 | — | 2,167,349 |
Mutual Funds | 742,449,918 | — | — | 742,449,918 |
Total | $742,449,918 | $2,539,466,520 | $— | $3,281,916,438 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $574,414 | $— | $— | $574,414 |
Futures Contracts – Liabilities | (191,481) | — | — | (191,481) |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Interest Rate | Futures Contracts | $574,414 | $(191,481) |
(a) | Values presented in this table for futures contracts correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts is separately reported within the Statement of Assets and Liabilities. |
Risk | Futures Contracts |
Interest Rate | $4,603,796 |
Risk | Futures Contracts |
Interest Rate | $697,074 |
Year ended 2/28/21 | |
Ordinary income (including any short-term capital gains) | $44,976,163 |
As of 8/31/21 | |
Cost of investments | $3,206,802,287 |
Gross appreciation | 78,909,031 |
Gross depreciation | (3,794,880) |
Net unrealized appreciation (depreciation) | $ 75,114,151 |
As of 2/28/21 | |
Undistributed ordinary income | 7,415,651 |
Capital loss carryforwards | (73,886,735) |
Other temporary differences | (3,017,965) |
Net unrealized appreciation (depreciation) | 67,285,773 |
Long-Term | $(73,886,735) |
Six months ended 8/31/21 | Year ended 2/28/21 | |
Class A | $4,284,600 | $13,069,927 |
Class B | 6,614 | 60,676 |
Class C | 26,931 | 222,594 |
Class I | 1,055,943 | 3,382,613 |
Class R1 | 3,677 | 22,693 |
Class R2 | 255,992 | 1,057,985 |
Class R3 | 250,866 | 864,178 |
Class R4 | 454,948 | 1,407,096 |
Class R6 | 10,614,233 | 24,888,401 |
Total | $16,953,804 | $44,976,163 |
Up to $1 billion | 0.40% |
In excess of $1 billion and up to $2.5 billion | 0.35% |
In excess of $2.5 billion and up to $5 billion | 0.30% |
In excess of $5 billion | 0.29% |
Classes | ||||||||
A | B | C | I | R1 | R2 | R3 | R4 | R6 |
0.80% | 1.55% | 1.55% | 0.55% | 1.55% | 1.05% | 0.80% | 0.55% | 0.44% |
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% | $ 994,371 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 19,817 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 80,011 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 11,141 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 154,334 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 58,065 |
Total Distribution and Service Fees | $1,317,739 |
(d) | In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’s average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below. |
(e) | The annual effective rates represent actual fees incurred under the distribution plan for the six months ended August 31, 2021 based on each class's average daily net assets. MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. For the six months ended August 31, 2021, this rebate amounted to $712, $1, and $46 for Class A, Class C, and Class R3, respectively, and is included in the reduction of total expenses in the Statement of Operations. |
Amount | |
Class A | $32,320 |
Class B | 2,891 |
Class C | 1,372 |
Purchases | Sales | |
U.S. Government securities | $5,292,152,748 | $5,131,081,275 |
Non-U.S. Government securities | 50,745,278 | 58,559,391 |
Six months ended 8/31/21 | Year ended 2/28/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 7,919,199 | $80,218,730 | 37,432,324 | $388,976,524 | |
Class B | 5,860 | 59,274 | 172,933 | 1,792,195 | |
Class C | 150,588 | 1,525,430 | 1,838,016 | 19,087,959 | |
Class I | 2,010,799 | 20,337,191 | 20,764,180 | 215,062,429 | |
Class R1 | 14,224 | 143,870 | 157,633 | 1,631,410 | |
Class R2 | 409,824 | 4,136,913 | 2,829,544 | 29,391,810 | |
Class R3 | 527,940 | 5,345,988 | 1,848,618 | 19,205,838 | |
Class R4 | 927,610 | 9,387,137 | 4,005,926 | 41,619,980 | |
Class R6 | 16,059,594 | 162,591,347 | 49,026,064 | 509,164,154 | |
28,025,638 | $283,745,880 | 118,075,238 | $1,225,932,299 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 334,391 | $3,387,305 | 1,005,414 | $10,466,299 | |
Class B | 636 | 6,424 | 5,698 | 59,331 | |
Class C | 2,587 | 26,211 | 20,289 | 211,820 | |
Class I | 94,640 | 957,030 | 290,751 | 3,022,529 | |
Class R1 | 363 | 3,674 | 2,180 | 22,685 | |
Class R2 | 24,988 | 252,759 | 99,515 | 1,035,320 | |
Class R3 | 24,787 | 250,860 | 83,031 | 864,142 | |
Class R4 | 17,143 | 173,617 | 63,588 | 662,276 | |
Class R6 | 1,030,922 | 10,431,793 | 2,344,033 | 24,359,227 | |
1,530,457 | $15,489,673 | 3,914,499 | $40,703,629 |
Six months ended 8/31/21 | Year ended 2/28/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares reacquired | |||||
Class A | (10,946,316) | $(110,929,451) | (27,409,355) | $(284,825,248) | |
Class B | (109,679) | (1,109,151) | (489,221) | (5,076,599) | |
Class C | (730,056) | (7,399,435) | (1,935,540) | (20,133,491) | |
Class I | (3,138,245) | (31,777,142) | (14,438,216) | (149,772,348) | |
Class R1 | (26,690) | (269,375) | (145,752) | (1,509,695) | |
Class R2 | (1,130,509) | (11,446,951) | (4,272,384) | (44,167,230) | |
Class R3 | (1,194,628) | (12,111,646) | (2,216,138) | (22,928,241) | |
Class R4 | (776,266) | (7,865,120) | (4,570,079) | (47,313,619) | |
Class R6 | (4,788,121) | (48,531,790) | (30,003,593) | (308,538,413) | |
(22,840,510) | $(231,440,061) | (85,480,278) | $(884,264,884) | ||
Net change | |||||
Class A | (2,692,726) | $(27,323,416) | 11,028,383 | $114,617,575 | |
Class B | (103,183) | (1,043,453) | (310,590) | (3,225,073) | |
Class C | (576,881) | (5,847,794) | (77,235) | (833,712) | |
Class I | (1,032,806) | (10,482,921) | 6,616,715 | 68,312,610 | |
Class R1 | (12,103) | (121,831) | 14,061 | 144,400 | |
Class R2 | (695,697) | (7,057,279) | (1,343,325) | (13,740,100) | |
Class R3 | (641,901) | (6,514,798) | (284,489) | (2,858,261) | |
Class R4 | 168,487 | 1,695,634 | (500,565) | (5,031,363) | |
Class R6 | 12,302,395 | 124,491,350 | 21,366,504 | 224,984,968 | |
6,715,585 | $67,795,492 | 36,509,459 | $382,371,044 |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $688,575,859 | $517,676,046 | $463,801,987 | $— | $— | $742,449,918 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $134,261 | $— |
Value Fund
Value Fund
1 | |
2 | |
3 | |
5 | |
11 | |
13 | |
14 | |
15 | |
24 | |
35 | |
39 | |
40 | |
40 | |
40 | |
40 | |
40 |
back cover |
Berry Global Group, Inc. | 1.7% |
Graphic Packaging Holding Co. | 1.7% |
Skechers USA, Inc., “A” | 1.7% |
Umpqua Holdings Corp. | 1.6% |
LKQ Corp. | 1.5% |
Cathay General Bancorp, Inc. | 1.5% |
Element Solutions, Inc. | 1.5% |
International Game Technology PLC | 1.5% |
UMB Financial Corp. | 1.5% |
Encore Capital Group, Inc. | 1.5% |
Financials | 24.1% |
Industrials | 15.1% |
Consumer Discretionary | 13.1% |
Materials | 11.2% |
Real Estate | 8.8% |
Information Technology | 7.5% |
Health Care | 6.0% |
Energy | 5.1% |
Utilities | 5.0% |
Consumer Staples | 2.6% |
Communication Services | 0.5% |
(g) | The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and S&P Global Market Intelligence Inc. (“S&P Global Market Intelligence”). GICS is a service mark of MSCI and S&P Global Market Intelligence and has been licensed for use by MFS. MFS has applied its own internal sector/industry classification methodology for equity securities and non-equity securities that are unclassified by GICS. |
March 1, 2021 through August 31, 2021
Share Class | Annualized Expense Ratio | Beginning Account Value 3/01/21 | Ending Account Value 8/31/21 | Expenses Paid During Period (p) 3/01/21-8/31/21 | |
A | Actual | 1.18% | $1,000.00 | $1,139.97 | $6.36 |
Hypothetical (h) | 1.18% | $1,000.00 | $1,019.26 | $6.01 | |
B | Actual | 1.93% | $1,000.00 | $1,135.23 | $10.39 |
Hypothetical (h) | 1.93% | $1,000.00 | $1,015.48 | $9.80 | |
C | Actual | 1.93% | $1,000.00 | $1,135.32 | $10.39 |
Hypothetical (h) | 1.93% | $1,000.00 | $1,015.48 | $9.80 | |
I | Actual | 0.93% | $1,000.00 | $1,140.80 | $5.02 |
Hypothetical (h) | 0.93% | $1,000.00 | $1,020.52 | $4.74 | |
R1 | Actual | 1.93% | $1,000.00 | $1,134.67 | $10.38 |
Hypothetical (h) | 1.93% | $1,000.00 | $1,015.48 | $9.80 | |
R2 | Actual | 1.43% | $1,000.00 | $1,137.97 | $7.71 |
Hypothetical (h) | 1.43% | $1,000.00 | $1,018.00 | $7.27 | |
R3 | Actual | 1.18% | $1,000.00 | $1,139.66 | $6.36 |
Hypothetical (h) | 1.18% | $1,000.00 | $1,019.26 | $6.01 | |
R4 | Actual | 0.93% | $1,000.00 | $1,140.52 | $5.02 |
Hypothetical (h) | 0.93% | $1,000.00 | $1,020.52 | $4.74 | |
R6 | Actual | 0.83% | $1,000.00 | $1,141.56 | $4.48 |
Hypothetical (h) | 0.83% | $1,000.00 | $1,021.02 | $4.23 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – 99.0% | ||||
Aerospace & Defense – 3.2% | ||||
CACI International, Inc., “A” (a) | 182,545 | $ 47,012,639 | ||
KBR, Inc. | 1,404,814 | 54,703,457 | ||
PAE, Inc. (a)(h) | 4,731,143 | 31,651,347 | ||
$133,367,443 | ||||
Apparel Manufacturers – 2.6% | ||||
PVH Corp. (a) | 379,491 | $ 39,766,862 | ||
Skechers USA, Inc., “A” (a) | 1,378,163 | 69,500,760 | ||
$109,267,622 | ||||
Automotive – 3.5% | ||||
LKQ Corp. (a) | 1,215,627 | $ 64,051,387 | ||
Methode Electronics, Inc. | 1,016,792 | 47,352,003 | ||
Stoneridge, Inc. (a) | 608,451 | 14,176,908 | ||
Visteon Corp. (a) | 187,772 | 19,843,745 | ||
$145,424,043 | ||||
Business Services – 1.1% | ||||
Paya, Inc. (a) | 2,997,493 | $ 28,925,807 | ||
WNS (Holdings) Ltd., ADR (a) | 216,821 | 17,983,134 | ||
$46,908,941 | ||||
Chemicals – 1.5% | ||||
Element Solutions, Inc. | 2,764,561 | $ 62,838,471 | ||
Computer Software – 0.9% | ||||
8x8, Inc. (a) | 749,579 | $ 18,102,333 | ||
ACI Worldwide, Inc. (a) | 648,473 | 20,900,285 | ||
$39,002,618 | ||||
Computer Software - Systems – 2.1% | ||||
Softchoice Corp. | 1,835,176 | $ 48,728,567 | ||
Verint Systems, Inc. (a) | 880,949 | 39,325,563 | ||
$88,054,130 | ||||
Construction – 1.7% | ||||
Armstrong World Industries, Inc. | 183,360 | $ 19,056,605 | ||
GMS, Inc. (a) | 346,316 | 17,111,474 | ||
Toll Brothers, Inc. | 542,359 | 34,743,517 | ||
$70,911,596 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Consumer Products – 2.6% | ||||
Energizer Holdings, Inc. | 614,080 | $ 24,157,907 | ||
Newell Brands, Inc. | 1,157,525 | 29,412,710 | ||
Prestige Consumer Healthcare, Inc. (a) | 946,197 | 54,302,246 | ||
$107,872,863 | ||||
Consumer Services – 1.7% | ||||
BrightView Holdings, Inc. (a) | 1,082,367 | $ 16,592,686 | ||
Grand Canyon Education, Inc. (a) | 481,112 | 42,886,324 | ||
Regis Corp. (a)(h) | 1,889,155 | 10,239,220 | ||
$69,718,230 | ||||
Containers – 6.1% | ||||
Ardagh Metal Packaging S.A. (a)(l) | 2,192,940 | $ 23,486,387 | ||
Berry Global, Inc. (a) | 1,059,225 | 71,148,143 | ||
Graphic Packaging Holding Co. | 3,423,037 | 70,240,719 | ||
Owens Corning | 237,843 | 22,725,899 | ||
Pactiv Evergreen, Inc. | 2,442,414 | 33,583,193 | ||
Silgan Holdings, Inc. | 787,779 | 33,425,463 | ||
$254,609,804 | ||||
Electrical Equipment – 2.8% | ||||
nVent Electric PLC | 1,273,441 | $ 43,755,433 | ||
TriMas Corp. (a) | 1,294,902 | 41,579,303 | ||
WESCO International, Inc. (a) | 282,385 | 33,044,693 | ||
$118,379,429 | ||||
Electronics – 2.3% | ||||
Cohu, Inc. (a) | 765,254 | $ 27,304,263 | ||
nLIGHT, Inc. (a) | 462,616 | 12,772,828 | ||
Plexus Corp. (a) | 595,332 | 54,669,337 | ||
$94,746,428 | ||||
Energy - Independent – 2.4% | ||||
Devon Energy Corp. | 952,006 | $ 28,131,777 | ||
Magnolia Oil & Gas Corp., “A” | 2,407,664 | 37,752,172 | ||
Viper Energy Partners LP | 1,868,293 | 34,600,786 | ||
$100,484,735 | ||||
Engineering - Construction – 1.5% | ||||
APi Group, Inc. (a) | 1,793,407 | $ 41,589,108 | ||
Quanta Services, Inc. | 225,466 | 23,020,079 | ||
$64,609,187 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Food & Beverages – 2.0% | ||||
Hostess Brands, Inc. (a) | 2,482,405 | $ 39,619,184 | ||
Nomad Foods Ltd. (a) | 1,646,903 | 43,461,770 | ||
$83,080,954 | ||||
Furniture & Appliances – 0.6% | ||||
IMAX Corp. (a) | 1,481,392 | $ 23,272,668 | ||
Gaming & Lodging – 2.2% | ||||
International Game Technology PLC (a) | 2,900,586 | $ 62,333,593 | ||
Wyndham Hotels & Resorts, Inc. | 408,822 | 29,721,360 | ||
$92,054,953 | ||||
Insurance – 4.2% | ||||
CNO Financial Group, Inc. | 1,969,458 | $ 48,172,943 | ||
Everest Re Group Ltd. | 133,647 | 35,403,090 | ||
Hanover Insurance Group, Inc. | 282,016 | 39,851,681 | ||
Selective Insurance Group, Inc. | 442,065 | 36,943,372 | ||
SiriusPoint Ltd. (a) | 1,711,526 | 16,790,070 | ||
$177,161,156 | ||||
Leisure & Toys – 1.1% | ||||
Brunswick Corp. | 272,666 | $ 26,413,155 | ||
Funko, Inc., “A” (a) | 919,939 | 18,343,584 | ||
$44,756,739 | ||||
Machinery & Tools – 1.4% | ||||
Enerpac Tool Group Corp. | 557,985 | $ 14,038,903 | ||
Regal Beloit Corp. | 120,484 | 18,002,719 | ||
Rexnord Corp. | 447,082 | 27,164,702 | ||
$59,206,324 | ||||
Medical & Health Technology & Services – 3.3% | ||||
ICON PLC (a) | 124,847 | $ 31,932,117 | ||
Premier, Inc., “A” | 1,288,747 | 47,915,613 | ||
Syneos Health, Inc. (a) | 639,107 | 59,296,348 | ||
$139,144,078 | ||||
Medical Equipment – 0.8% | ||||
Agiliti Health, Inc. (a) | 1,657,969 | $ 35,364,479 | ||
Metals & Mining – 1.4% | ||||
Arconic Corp. (a) | 1,079,407 | $ 37,228,747 | ||
Kaiser Aluminum Corp. | 182,427 | 23,033,233 | ||
$60,261,980 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Natural Gas - Distribution – 2.2% | ||||
New Jersey Resources Corp. | 1,084,360 | $ 40,490,003 | ||
South Jersey Industries, Inc. | 2,075,898 | 51,503,029 | ||
$91,993,032 | ||||
Natural Gas - Pipeline – 1.1% | ||||
Plains GP Holdings LP | 4,557,644 | $ 44,482,605 | ||
Oil Services – 1.6% | ||||
ChampionX Corp. (a) | 2,169,559 | $ 50,615,811 | ||
Frank's International N.V. (a) | 5,977,271 | 17,214,541 | ||
$67,830,352 | ||||
Other Banks & Diversified Financials – 21.1% | ||||
Air Lease Corp. | 570,019 | $ 22,652,555 | ||
Bank of Hawaii Corp. | 516,721 | 43,306,387 | ||
Brookline Bancorp, Inc. | 2,503,525 | 37,477,769 | ||
Cathay General Bancorp, Inc. | 1,581,771 | 62,922,850 | ||
East West Bancorp, Inc. | 584,161 | 42,842,368 | ||
Element Fleet Management Corp. | 3,910,702 | 43,116,447 | ||
Encore Capital Group, Inc. (a) | 1,238,033 | 60,923,604 | ||
First Hawaiian, Inc. | 1,823,767 | 50,901,337 | ||
Hanmi Financial Corp. | 1,450,163 | 27,959,143 | ||
Lakeland Financial Corp. | 432,093 | 28,695,296 | ||
Prosperity Bancshares, Inc. | 774,123 | 54,095,715 | ||
Sandy Spring Bancorp, Inc. | 519,881 | 22,651,215 | ||
Signature Bank | 108,013 | 28,011,011 | ||
SLM Corp. | 3,164,541 | 59,335,144 | ||
Textainer Group Holdings Ltd. (a) | 1,741,588 | 57,855,553 | ||
Triton International Ltd. of Bermuda | 467,605 | 25,587,346 | ||
UMB Financial Corp. | 679,956 | 62,270,371 | ||
Umpqua Holdings Corp. | 3,490,468 | 67,959,412 | ||
Wintrust Financial Corp. | 571,564 | 42,775,850 | ||
Zions Bancorp NA | 772,486 | 44,726,939 | ||
$886,066,312 | ||||
Pharmaceuticals – 0.5% | ||||
Organon & Co. | 631,201 | $ 21,391,402 | ||
Pollution Control – 0.5% | ||||
U.S. Ecology, Inc. (a) | 565,482 | $ 20,272,530 | ||
Real Estate – 10.1% | ||||
Brixmor Property Group, Inc., REIT | 1,172,881 | $ 27,504,059 | ||
Broadstone Net Lease, Inc. | 1,683,791 | 46,135,873 | ||
Douglas Emmett, Inc., REIT | 513,846 | 16,962,057 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Real Estate – continued | ||||
Empire State Realty Trust, REIT, “A” | 3,041,749 | $ 31,238,762 | ||
Industrial Logistics Properties Trust, REIT | 1,903,900 | 52,223,977 | ||
Lexington Realty Trust, REIT | 3,304,496 | 44,709,831 | ||
Life Storage, Inc., REIT | 310,665 | 38,659,153 | ||
National Storage Affiliates Trust, REIT | 550,470 | 31,514,408 | ||
Office Properties Income Trust, REIT | 618,193 | 16,400,660 | ||
Phillips Edison & Co., REIT (h) | 1,098,212 | 33,012,253 | ||
STAG Industrial, Inc., REIT | 773,603 | 32,684,727 | ||
Two Harbors Investment Corp., REIT | 7,796,444 | 51,456,530 | ||
$422,502,290 | ||||
Specialty Chemicals – 3.5% | ||||
Avient Corp. | 1,122,553 | $ 58,473,786 | ||
Axalta Coating Systems Ltd. (a) | 644,917 | 19,695,765 | ||
Diversey Holdings Ltd. (a) | 2,056,192 | 35,921,674 | ||
Univar Solutions, Inc. (a) | 1,322,272 | 31,218,842 | ||
$145,310,067 | ||||
Specialty Stores – 2.0% | ||||
Urban Outfitters, Inc. (a) | 1,309,546 | $ 43,241,209 | ||
Zumiez, Inc. (a) | 1,058,373 | 42,536,011 | ||
$85,777,220 | ||||
Trucking – 0.6% | ||||
Schneider National, Inc. | 1,122,828 | $ 25,308,543 | ||
Utilities - Electric Power – 2.8% | ||||
Black Hills Corp. | 847,400 | $ 59,597,642 | ||
Portland General Electric Co. | 1,119,556 | 57,489,201 | ||
$117,086,843 | ||||
Total Common Stocks (Identified Cost, $3,024,206,009) | $4,148,520,067 | |||
Investment Companies (h) – 1.0% | ||||
Money Market Funds – 1.0% | ||||
MFS Institutional Money Market Portfolio, 0.04% (v) (Identified Cost, $41,221,211) | 41,221,211 | $ 41,221,211 | ||
Collateral for Securities Loaned – 0.2% | ||||
State Street Navigator Securities Lending Government Money Market Portfolio, 0.03% (j) (Identified Cost, $6,976,811) | 6,976,811 | $ 6,976,811 | ||
Other Assets, Less Liabilities – (0.2)% | (7,990,878) | |||
Net Assets – 100.0% | $4,188,727,211 |
(a) | Non-income producing security. | |||
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $116,124,031 and $4,080,594,058, respectively. | |||
(j) | The rate quoted is the annualized seven-day yield of the fund at period end. | |||
(l) | A portion of this security is on loan. See Note 2 for additional information. | |||
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
The following abbreviations are used in this report and are defined: | |
ADR | American Depositary Receipt |
REIT | Real Estate Investment Trust |
Assets | |
Investments in unaffiliated issuers, at value, including $7,064,969 of securities on loan (identified cost, $2,932,208,597) | $4,080,594,058 |
Investments in affiliated issuers, at value (identified cost, $140,195,434) | 116,124,031 |
Receivables for | |
Investments sold | 4,485,703 |
Fund shares sold | 4,755,660 |
Interest and dividends | 3,957,277 |
Other assets | 72,441 |
Total assets | $4,209,989,170 |
Liabilities | |
Payables for | |
Investments purchased | $4,074,113 |
Fund shares reacquired | 9,203,086 |
Collateral for securities loaned, at value (c) | 6,976,811 |
Payable to affiliates | |
Investment adviser | 202,755 |
Administrative services fee | 3,058 |
Shareholder servicing costs | 550,440 |
Distribution and service fees | 9,231 |
Accrued expenses and other liabilities | 242,465 |
Total liabilities | $21,261,959 |
Net assets | $4,188,727,211 |
Net assets consist of | |
Paid-in capital | $2,823,876,816 |
Total distributable earnings (loss) | 1,364,850,395 |
Net assets | $4,188,727,211 |
Shares of beneficial interest outstanding | 197,610,555 |
(c) | Non-cash collateral is not included. |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $363,952,794 | 17,326,050 | $21.01 |
Class B | 6,456,976 | 325,763 | 19.82 |
Class C | 40,626,800 | 2,060,623 | 19.72 |
Class I | 1,679,540,817 | 79,207,106 | 21.20 |
Class R1 | 2,445,812 | 123,372 | 19.82 |
Class R2 | 5,099,443 | 245,037 | 20.81 |
Class R3 | 100,711,366 | 4,783,794 | 21.05 |
Class R4 | 100,948,598 | 4,754,055 | 21.23 |
Class R6 | 1,888,944,605 | 88,784,755 | 21.28 |
(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 $22.29 [100 / 94.25 x $21.01]. On sales of $50,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A, Class B, and Class C shares. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R6. |
Net investment income (loss) | |
Income | |
Dividends | $31,411,429 |
Other | 111,714 |
Income on securities loaned | 64,410 |
Dividends from affiliated issuers | 6,009 |
Foreign taxes withheld | (57,101) |
Total investment income | $31,536,461 |
Expenses | |
Management fee | $16,558,844 |
Distribution and service fees | 845,183 |
Shareholder servicing costs | 1,236,662 |
Administrative services fee | 272,323 |
Independent Trustees' compensation | 27,879 |
Custodian fee | 65,201 |
Shareholder communications | 116,099 |
Audit and tax fees | 29,455 |
Legal fees | 10,718 |
Miscellaneous | 120,982 |
Total expenses | $19,283,346 |
Reduction of expenses by investment adviser and distributor | (257,684) |
Net expenses | $19,025,662 |
Net investment income (loss) | $12,510,799 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $289,559,401 |
Foreign currency | 74,885 |
Net realized gain (loss) | $289,634,286 |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $238,306,070 |
Affiliated issuers | (16,692,183) |
Net unrealized gain (loss) | $221,613,887 |
Net realized and unrealized gain (loss) | $511,248,173 |
Change in net assets from operations | $523,758,972 |
Six months ended | Year ended | |
8/31/21 (unaudited) | 2/28/21 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $12,510,799 | $23,018,760 |
Net realized gain (loss) | 289,634,286 | (33,509,403) |
Net unrealized gain (loss) | 221,613,887 | 992,232,798 |
Change in net assets from operations | $523,758,972 | $981,742,155 |
Total distributions to shareholders | $(23,583,414) | $(67,363,256) |
Change in net assets from fund share transactions | $(42,632,090) | $(147,791,280) |
Total change in net assets | $457,543,468 | $766,587,619 |
Net assets | ||
At beginning of period | 3,731,183,743 | 2,964,596,124 |
At end of period | $4,188,727,211 | $3,731,183,743 |
Class A | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $18.53 | $14.12 | $15.16 | $14.92 | $14.99 | $11.40 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.04 | $0.07 | $0.10 | $0.05 | $0.02 | $0.03(c) |
Net realized and unrealized gain (loss) | 2.55 | 4.66 | (0.38) | 1.21 | 0.72 | 4.18 |
Total from investment operations | $2.59 | $4.73 | $(0.28) | $1.26 | $0.74 | $4.21 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.11) | $— | $(0.10) | $(0.04) | $(0.00)(w) | $(0.06) |
From net realized gain | (0.00)(w) | (0.32) | (0.66) | (0.98) | (0.81) | (0.56) |
Total distributions declared to shareholders | $(0.11) | $(0.32) | $(0.76) | $(1.02) | $(0.81) | $(0.62) |
Net asset value, end of period (x) | $21.01 | $18.53 | $14.12 | $15.16 | $14.92 | $14.99 |
Total return (%) (r)(s)(t)(x) | 14.00(n) | 34.47 | (2.41) | 8.90 | 4.98 | 37.22(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.19(a) | 1.23 | 1.23 | 1.29 | 1.33 | 1.43(c) |
Expenses after expense reductions (f) | 1.18(a) | 1.22 | 1.22 | 1.28 | 1.32 | 1.39(c) |
Net investment income (loss) | 0.35(a) | 0.53 | 0.64 | 0.31 | 0.12 | 0.22(c) |
Portfolio turnover | 21(n) | 48 | 44 | 57 | 60 | 60 |
Net assets at end of period (000 omitted) | $363,953 | $333,743 | $331,255 | $318,067 | $250,525 | $189,746 |
Class B | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $17.54 | $13.48 | $14.52 | $14.40 | $14.60 | $11.16 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $(0.04) | $(0.03) | $(0.02) | $(0.07) | $(0.09) | $(0.07)(c) |
Net realized and unrealized gain (loss) | 2.41 | 4.41 | (0.36) | 1.17 | 0.70 | 4.08 |
Total from investment operations | $2.37 | $4.38 | $(0.38) | $1.10 | $0.61 | $4.01 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.09) | $— | $— | $— | $— | $(0.01) |
From net realized gain | (0.00)(w) | (0.32) | (0.66) | (0.98) | (0.81) | (0.56) |
Total distributions declared to shareholders | $(0.09) | $(0.32) | $(0.66) | $(0.98) | $(0.81) | $(0.57) |
Net asset value, end of period (x) | $19.82 | $17.54 | $13.48 | $14.52 | $14.40 | $14.60 |
Total return (%) (r)(s)(t)(x) | 13.52(n) | 33.50 | (3.11) | 8.05 | 4.21 | 36.17(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.94(a) | 1.98 | 1.98 | 2.04 | 2.08 | 2.18(c) |
Expenses after expense reductions (f) | 1.93(a) | 1.97 | 1.97 | 2.03 | 2.07 | 2.14(c) |
Net investment income (loss) | (0.40)(a) | (0.21) | (0.12) | (0.48) | (0.63) | (0.54)(c) |
Portfolio turnover | 21(n) | 48 | 44 | 57 | 60 | 60 |
Net assets at end of period (000 omitted) | $6,457 | $6,032 | $6,207 | $7,198 | $6,329 | $5,872 |
Class C | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $17.45 | $13.41 | $14.45 | $14.33 | $14.54 | $11.11 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $(0.04) | $(0.03) | $(0.02) | $(0.08) | $(0.09) | $(0.06)(c) |
Net realized and unrealized gain (loss) | 2.40 | 4.39 | (0.36) | 1.18 | 0.69 | 4.05 |
Total from investment operations | $2.36 | $4.36 | $(0.38) | $1.10 | $0.60 | $3.99 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.09) | $— | $— | $— | $— | $— |
From net realized gain | (0.00)(w) | (0.32) | (0.66) | (0.98) | (0.81) | (0.56) |
Total distributions declared to shareholders | $(0.09) | $(0.32) | $(0.66) | $(0.98) | $(0.81) | $(0.56) |
Net asset value, end of period (x) | $19.72 | $17.45 | $13.41 | $14.45 | $14.33 | $14.54 |
Total return (%) (r)(s)(t)(x) | 13.53(n) | 33.52 | (3.12) | 8.09 | 4.15 | 36.17(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.94(a) | 1.98 | 1.98 | 2.04 | 2.08 | 2.18(c) |
Expenses after expense reductions (f) | 1.93(a) | 1.97 | 1.97 | 2.03 | 2.07 | 2.14(c) |
Net investment income (loss) | (0.41)(a) | (0.21) | (0.11) | (0.56) | (0.64) | (0.46)(c) |
Portfolio turnover | 21(n) | 48 | 44 | 57 | 60 | 60 |
Net assets at end of period (000 omitted) | $40,627 | $39,061 | $38,477 | $41,046 | $52,616 | $63,140 |
Class I | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $18.69 | $14.21 | $15.25 | $15.00 | $15.06 | $11.44 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.06 | $0.11 | $0.14 | $0.12 | $0.06 | $0.06(c) |
Net realized and unrealized gain (loss) | 2.57 | 4.70 | (0.39) | 1.19 | 0.73 | 4.20 |
Total from investment operations | $2.63 | $4.81 | $(0.25) | $1.31 | $0.79 | $4.26 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.12) | $(0.01) | $(0.13) | $(0.08) | $(0.04) | $(0.08) |
From net realized gain | (0.00)(w) | (0.32) | (0.66) | (0.98) | (0.81) | (0.56) |
Total distributions declared to shareholders | $(0.12) | $(0.33) | $(0.79) | $(1.06) | $(0.85) | $(0.64) |
Net asset value, end of period (x) | $21.20 | $18.69 | $14.21 | $15.25 | $15.00 | $15.06 |
Total return (%) (r)(s)(t)(x) | 14.08(n) | 34.82 | (2.17) | 9.19 | 5.26 | 37.54(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.94(a) | 0.98 | 0.98 | 1.04 | 1.08 | 1.18(c) |
Expenses after expense reductions (f) | 0.93(a) | 0.97 | 0.97 | 1.03 | 1.07 | 1.14(c) |
Net investment income (loss) | 0.60(a) | 0.78 | 0.89 | 0.77 | 0.37 | 0.42(c) |
Portfolio turnover | 21(n) | 48 | 44 | 57 | 60 | 60 |
Net assets at end of period (000 omitted) | $1,679,541 | $1,430,510 | $1,119,891 | $917,167 | $351,939 | $242,154 |
Class R1 | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $17.55 | $13.49 | $14.53 | $14.41 | $14.61 | $11.16 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $(0.04) | $(0.03) | $(0.02) | $(0.06) | $(0.09) | $(0.06)(c) |
Net realized and unrealized gain (loss) | 2.40 | 4.41 | (0.36) | 1.16 | 0.70 | 4.07 |
Total from investment operations | $2.36 | $4.38 | $(0.38) | $1.10 | $0.61 | $4.01 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.09) | $— | $(0.00)(w) | $— | $— | $— |
From net realized gain | (0.00)(w) | (0.32) | (0.66) | (0.98) | (0.81) | (0.56) |
Total distributions declared to shareholders | $(0.09) | $(0.32) | $(0.66) | $(0.98) | $(0.81) | $(0.56) |
Net asset value, end of period (x) | $19.82 | $17.55 | $13.49 | $14.53 | $14.41 | $14.61 |
Total return (%) (r)(s)(t)(x) | 13.47(n) | 33.47 | (3.08) | 8.04 | 4.20 | 36.19(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.94(a) | 1.98 | 1.98 | 2.04 | 2.08 | 2.18(c) |
Expenses after expense reductions (f) | 1.93(a) | 1.96 | 1.97 | 2.03 | 2.07 | 2.14(c) |
Net investment income (loss) | (0.40)(a) | (0.22) | (0.11) | (0.42) | (0.64) | (0.45)(c) |
Portfolio turnover | 21(n) | 48 | 44 | 57 | 60 | 60 |
Net assets at end of period (000 omitted) | $2,446 | $2,320 | $1,453 | $1,581 | $1,228 | $210 |
Class R2 | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $18.38 | $14.04 | $15.09 | $14.87 | $14.97 | $11.40 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.02 | $0.04 | $0.06 | $0.02 | $(0.02) | $(0.00)(c)(w) |
Net realized and unrealized gain (loss) | 2.51 | 4.62 | (0.38) | 1.19 | 0.73 | 4.17 |
Total from investment operations | $2.53 | $4.66 | $(0.32) | $1.21 | $0.71 | $4.17 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.10) | $— | $(0.07) | $(0.01) | $— | $(0.04) |
From net realized gain | (0.00)(w) | (0.32) | (0.66) | (0.98) | (0.81) | (0.56) |
Total distributions declared to shareholders | $(0.10) | $(0.32) | $(0.73) | $(0.99) | $(0.81) | $(0.60) |
Net asset value, end of period (x) | $20.81 | $18.38 | $14.04 | $15.09 | $14.87 | $14.97 |
Total return (%) (r)(s)(t)(x) | 13.80(n) | 34.16 | (2.64) | 8.59 | 4.78 | 36.81(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.44(a) | 1.48 | 1.47 | 1.54 | 1.58 | 1.68(c) |
Expenses after expense reductions (f) | 1.43(a) | 1.47 | 1.47 | 1.53 | 1.57 | 1.64(c) |
Net investment income (loss) | 0.15(a) | 0.29 | 0.40 | 0.16 | (0.13) | (0.02)(c) |
Portfolio turnover | 21(n) | 48 | 44 | 57 | 60 | 60 |
Net assets at end of period (000 omitted) | $5,099 | $4,779 | $5,054 | $3,719 | $2,349 | $1,216 |
Class R3 | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $18.57 | $14.15 | $15.20 | $14.96 | $15.03 | $11.43 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.04 | $0.07 | $0.10 | $0.06 | $0.02 | $0.01(c) |
Net realized and unrealized gain (loss) | 2.55 | 4.67 | (0.38) | 1.20 | 0.73 | 4.20 |
Total from investment operations | $2.59 | $4.74 | $(0.28) | $1.26 | $0.75 | $4.21 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.11) | $(0.00)(w) | $(0.11) | $(0.04) | $(0.01) | $(0.05) |
From net realized gain | (0.00)(w) | (0.32) | (0.66) | (0.98) | (0.81) | (0.56) |
Total distributions declared to shareholders | $(0.11) | $(0.32) | $(0.77) | $(1.02) | $(0.82) | $(0.61) |
Net asset value, end of period (x) | $21.05 | $18.57 | $14.15 | $15.20 | $14.96 | $15.03 |
Total return (%) (r)(s)(t)(x) | 13.97(n) | 34.47 | (2.41) | 8.88 | 5.04 | 37.11(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.19(a) | 1.23 | 1.22 | 1.29 | 1.33 | 1.46(c) |
Expenses after expense reductions (f) | 1.18(a) | 1.22 | 1.21 | 1.28 | 1.32 | 1.39(c) |
Net investment income (loss) | 0.37(a) | 0.53 | 0.64 | 0.40 | 0.11 | 0.08(c) |
Portfolio turnover | 21(n) | 48 | 44 | 57 | 60 | 60 |
Net assets at end of period (000 omitted) | $100,711 | $88,963 | $76,069 | $45,355 | $26,095 | $14,208 |
Class R4 | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $18.72 | $14.23 | $15.27 | $15.02 | $15.08 | $11.46 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.05 | $0.11 | $0.14 | $0.10 | $0.06 | $0.06(c) |
Net realized and unrealized gain (loss) | 2.58 | 4.71 | (0.38) | 1.21 | 0.73 | 4.20 |
Total from investment operations | $2.63 | $4.82 | $(0.24) | $1.31 | $0.79 | $4.26 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.12) | $(0.01) | $(0.14) | $(0.08) | $(0.04) | $(0.08) |
From net realized gain | (0.00)(w) | (0.32) | (0.66) | (0.98) | (0.81) | (0.56) |
Total distributions declared to shareholders | $(0.12) | $(0.33) | $(0.80) | $(1.06) | $(0.85) | $(0.64) |
Net asset value, end of period (x) | $21.23 | $18.72 | $14.23 | $15.27 | $15.02 | $15.08 |
Total return (%) (r)(s)(t)(x) | 14.05(n) | 34.84 | (2.16) | 9.19 | 5.28 | 37.46(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.94(a) | 0.98 | 0.98 | 1.03 | 1.08 | 1.20(c) |
Expenses after expense reductions (f) | 0.93(a) | 0.97 | 0.97 | 1.03 | 1.07 | 1.14(c) |
Net investment income (loss) | 0.53(a) | 0.78 | 0.89 | 0.66 | 0.36 | 0.45(c) |
Portfolio turnover | 21(n) | 48 | 44 | 57 | 60 | 60 |
Net assets at end of period (000 omitted) | $100,949 | $104,206 | $82,613 | $71,765 | $5,469 | $2,440 |
Class R6 | Six months ended | Year ended | ||||
8/31/21 (unaudited) | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | 2/28/17 | |
Net asset value, beginning of period | $18.75 | $14.24 | $15.27 | $15.02 | $15.08 | $11.45 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.07 | $0.13 | $0.16 | $0.12 | $0.07 | $0.10(c) |
Net realized and unrealized gain (loss) | 2.58 | 4.71 | (0.38) | 1.20 | 0.73 | 4.18 |
Total from investment operations | $2.65 | $4.84 | $(0.22) | $1.32 | $0.80 | $4.28 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.12) | $(0.01) | $(0.15) | $(0.09) | $(0.05) | $(0.09) |
From net realized gain | (0.00)(w) | (0.32) | (0.66) | (0.98) | (0.81) | (0.56) |
Total distributions declared to shareholders | $(0.12) | $(0.33) | $(0.81) | $(1.07) | $(0.86) | $(0.65) |
Net asset value, end of period (x) | $21.28 | $18.75 | $14.24 | $15.27 | $15.02 | $15.08 |
Total return (%) (r)(s)(t)(x) | 14.16(n) | 34.98 | (2.02) | 9.28 | 5.36 | 37.68(c) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.84(a) | 0.87 | 0.87 | 0.92 | 0.97 | 1.07(c) |
Expenses after expense reductions (f) | 0.83(a) | 0.86 | 0.86 | 0.92 | 0.96 | 1.02(c) |
Net investment income (loss) | 0.71(a) | 0.89 | 0.99 | 0.78 | 0.47 | 0.73(c) |
Portfolio turnover | 21(n) | 48 | 44 | 57 | 60 | 60 |
Net assets at end of period (000 omitted) | $1,888,945 | $1,721,570 | $1,303,575 | $938,134 | $599,845 | $346,955 |
(a) | Annualized. |
(c) | Amount reflects a one-time reimbursement of expenses by the custodian (or former custodian) without which net investment income and performance would be lower and expenses would be higher. |
(d) | Per share data is based on average shares outstanding. |
(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. |
(w) | Per share amount was less than $0.01. |
(x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Equity Securities | $4,148,520,067 | $— | $— | $4,148,520,067 |
Mutual Funds | 48,198,022 | — | — | 48,198,022 |
Total | $4,196,718,089 | $— | $— | $4,196,718,089 |
Year ended 2/28/21 | |
Ordinary income (including any short-term capital gains) | $34,305,697 |
Long-term capital gains | 33,057,559 |
Total distributions | $67,363,256 |
As of 8/31/21 | |
Cost of investments | $3,134,011,438 |
Gross appreciation | 1,132,195,986 |
Gross depreciation | (69,489,335) |
Net unrealized appreciation (depreciation) | $1,062,706,651 |
As of 2/28/21 | |
Undistributed ordinary income | 23,582,073 |
Net unrealized appreciation (depreciation) | 841,092,764 |
Six months ended 8/31/21 | Year ended 2/28/21 | ||
Class A | $1,949,830 | $6,297,483 | |
Class B | 30,113 | 130,336 | |
Class C | 187,123 | 807,766 | |
Class I | 9,388,103 | 24,173,641 | |
Class R1 | 11,252 | 35,695 | |
Class R2 | 25,641 | 98,960 | |
Class R3 | 532,537 | 1,755,065 | |
Class R4 | 524,491 | 1,948,117 | |
Class R6 | 10,934,324 | 32,116,193 | |
Total | $23,583,414 | $67,363,256 |
Up to $1 billion | 0.90% |
In excess of $1 billion and up to $2.5 billion | 0.80% |
In excess of $2.5 billion and up to $5 billion | 0.75% |
In excess of $5 billion | 0.70% |
Classes | ||||||||
A | B | C | I | R1 | R2 | R3 | R4 | R6 |
1.39% | 2.14% | 2.14% | 1.14% | 2.14% | 1.64% | 1.39% | 1.14% | 1.10% |
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% | $ 455,534 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 32,934 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 208,074 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 12,221 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 13,202 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 123,218 |
Total Distribution and Service Fees | $845,183 |
(d) | In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’s average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below. |
(e) | The annual effective rates represent actual fees incurred under the distribution plan for the six months ended August 31, 2021 based on each class's average daily net assets. MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. For the six months ended August 31, 2021, this rebate amounted to $210 for Class A and is included in the reduction of total expenses in the Statement of Operations. |
Amount | |
Class A | $460 |
Class B | 1,982 |
Class C | 345 |
Six months ended 8/31/21 | Year ended 2/28/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 657,280 | $13,346,786 | 2,019,337 | $26,327,639 | |
Class B | 1,264 | 24,717 | 976 | 13,070 | |
Class C | 41,142 | 788,559 | 169,412 | 2,108,802 | |
Class I | 10,905,691 | 224,113,340 | 31,316,292 | 433,769,956 | |
Class R1 | 13,795 | 264,921 | 32,645 | 482,002 | |
Class R2 | 67,796 | 1,358,774 | 71,753 | 972,777 | |
Class R3 | 990,068 | 20,365,673 | 1,577,907 | 21,718,615 | |
Class R4 | 960,022 | 19,858,509 | 1,417,123 | 19,335,999 | |
Class R6 | 10,080,740 | 208,271,151 | 31,239,089 | 414,302,831 | |
23,717,798 | $488,392,430 | 67,844,534 | $919,031,691 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 93,872 | $1,946,914 | 486,139 | $6,285,772 | |
Class B | 1,529 | 29,941 | 10,527 | 129,382 | |
Class C | 9,601 | 186,940 | 66,035 | 806,943 | |
Class I | 437,149 | 9,149,535 | 1,807,969 | 23,539,760 | |
Class R1 | 575 | 11,252 | 2,904 | 35,695 | |
Class R2 | 1,248 | 25,641 | 7,707 | 98,960 | |
Class R3 | 25,627 | 532,537 | 135,422 | 1,755,065 | |
Class R4 | 25,023 | 524,491 | 149,395 | 1,948,117 | |
Class R6 | 459,685 | 9,653,392 | 2,195,048 | 28,645,381 | |
1,054,309 | $22,060,643 | 4,861,146 | $63,245,075 | ||
Shares reacquired | |||||
Class A | (1,432,444) | $(29,213,839) | (7,951,911) | $(102,359,961) | |
Class B | (20,932) | (407,773) | (127,934) | (1,696,929) | |
Class C | (228,883) | (4,409,704) | (864,947) | (10,878,824) | |
Class I | (8,669,013) | (178,656,884) | (35,383,231) | (472,821,255) | |
Class R1 | (23,206) | (444,227) | (11,060) | (151,491) | |
Class R2 | (84,045) | (1,713,305) | (179,347) | (2,429,696) | |
Class R3 | (1,021,403) | (20,759,006) | (2,298,084) | (34,272,909) | |
Class R4 | (1,798,434) | (37,324,406) | (1,803,699) | (25,628,339) | |
Class R6 | (13,590,560) | (280,156,019) | (33,135,986) | (479,828,642) | |
(26,868,920) | $(553,085,163) | (81,756,199) | $(1,130,068,046) |
Six months ended 8/31/21 | Year ended 2/28/21 | ||||
Shares | Amount | Shares | Amount | ||
Net change | |||||
Class A | (681,292) | $(13,920,139) | (5,446,435) | $(69,746,550) | |
Class B | (18,139) | (353,115) | (116,431) | (1,554,477) | |
Class C | (178,140) | (3,434,205) | (629,500) | (7,963,079) | |
Class I | 2,673,827 | 54,605,991 | (2,258,970) | (15,511,539) | |
Class R1 | (8,836) | (168,054) | 24,489 | 366,206 | |
Class R2 | (15,001) | (328,890) | (99,887) | (1,357,959) | |
Class R3 | (5,708) | 139,204 | (584,755) | (10,799,229) | |
Class R4 | (813,389) | (16,941,406) | (237,181) | (4,344,223) | |
Class R6 | (3,050,135) | (62,231,476) | 298,151 | (36,880,430) | |
(2,096,813) | $(42,632,090) | (9,050,519) | $(147,791,280) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $51,206,243 | $420,846,435 | $430,831,467 | $— | $— | $41,221,211 |
PAE, Inc. | 37,682,140 | 1,030,366 | — | — | (7,061,159) | 31,651,347 |
Phillips Edison & Co., REIT | — | 30,760,741 | — | — | 2,251,512 | 33,012,253 |
Regis Corp. | 21,725,186 | 396,570 | — | — | (11,882,536) | 10,239,220 |
$110,613,569 | $453,034,112 | $430,831,467 | $— | $(16,692,183) | $116,124,031 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $6,009 | $— |
PAE, Inc. | — | — |
Phillips Edison & Co., REIT | — | — |
Regis Corp. | — | — |
$6,009 | $— |
Item 1(b):
Not applicable
ITEM 2. | CODE OF ETHICS. |
During the period covered by this report, the Registrant has not amended any provision in its Code of Ethics (the “Code”) that relates to an element of the Code’s definition enumerated in paragraph (b) of Item 2 of this Form N-CSR. During the period covered by this report, the Registrant did not grant a waiver, including an implicit waiver, from any provision of the Code.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable for semi-annual reports.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable for semi-annual reports.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable to the Registrant.
ITEM 6. | INVESTMENTS |
A schedule of investments for each series of the Registrant is included as part of the report to shareholders of such series under Item 1(a) of this Form N-CSR.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable to the Registrant.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrant’s Board since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | Based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this report on Form N-CSR, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by the report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 13. | EXHIBITS. |
(a) (1) | Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. Not applicable. |
(2) | A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto as EX-99.302CERT. |
(3) | Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable. |
(4) | Change in the registrant’s independent public accountant. Not applicable. |
(b) | If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Attached hereto as EX-99.906CERT. |
Notice
A copy of the Amended and Restated Declaration of Trust, as amended, of the Registrant is on file with the Secretary of State of The Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) MFS SERIES TRUST XIII
By (Signature and Title)* | /S/ DAVID L. DILORENZO | |
David L. DiLorenzo, President |
Date: October 15, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /S/ DAVID L. DILORENZO | |
David L. DiLorenzo, President (Principal Executive Officer) |
Date: October 15, 2021
By (Signature and Title)* | /S/ JAMES O. YOST | |
James O. Yost, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: October 15, 2021
* | Print name and title of each signing officer under his or her signature. |