UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-03327
MFS SERIES TRUST XIII
(Exact name of registrant as specified in charter)
111 Huntington Avenue, Boston, Massachusetts 02199 (Address of principal executive offices) (Zip code)
Christopher R. Bohane
Massachusetts Financial Services Company
111Huntington 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: February 28, 2023
*This Form N-CSR pertains 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
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back cover |
U.S. Treasury Note 10 yr Future - JUN 2023 | 1.7% |
U.S. Treasury Note 2 yr Future - JUN 2023 | 1.5% |
U.S. Treasury Note 5 yr Future - JUN 2023 | 1.4% |
Prologis, Inc., REIT | 1.3% |
Equinix, Inc., REIT | 1.1% |
Simon Property Group, Inc., REIT | 1.1% |
U.S. Treasury Ultra Bond Future - JUN 2023 | 1.0% |
UMBS, TBA, 2.5%, 30 year (h) | 0.9% |
Markit CDX North America Investment Grade Series 39 Index Credit Default Swap-Option - APR 2023 | (1.2)% |
U.S. Treasury Ultra Note 10 yr Future - JUN 2023 | (2.0)% |
Real Estate | 11.4% |
Health Care | 3.8% |
Financials | 3.1% |
Consumer Staples | 3.0% |
Information Technology | 1.7% |
Communication Services | 1.5% |
Materials | 1.4% |
Energy | 1.4% |
Industrials | 1.1% |
Utilities | 0.7% |
Consumer Discretionary | 0.6% |
Convertible Debt | 0.1% |
Equity Warrants (o) | 0.0% |
Index Options | (0.2)% |
Equity Options | (0.6)% |
High Yield Corporates | 21.5% |
Emerging Markets Bonds | 14.0% |
Investment Grade Corporates | 13.8% |
U.S. Treasury Securities | 9.5% |
Mortgage-Backed Securities | 7.2% |
Commercial Mortgage-Backed Securities | 0.4% |
Collateralized Debt Obligations | 0.4% |
Non-U.S. Government Bonds | 0.2% |
Municipal Bonds | 0.2% |
Asset-Backed Securities | 0.2% |
U.S. Government Agencies (o) | 0.0% |
AAA | 0.9% |
AA | 2.0% |
A | 6.5% |
BBB | 11.7% |
BB | 15.1% |
B | 11.2% |
CCC | 3.6% |
CC | 0.1% |
C (o) | 0.0% |
D | 0.1% |
U.S. Government | 5.3% |
Federal Agency | 7.2% |
Not Rated | 3.7% |
Non-Fixed Income | 29.0% |
Cash & Cash Equivalents | 6.1% |
Other | (2.5)% |
United States | 70.2% |
Canada | 2.7% |
United Kingdom | 2.4% |
France | 1.4% |
Mexico | 1.4% |
Japan | 1.3% |
Switzerland | 1.2% |
China | 1.0% |
India | 0.9% |
Other Countries | 17.5% |
(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. |
(h) | UMBS may include both Fannie Mae and Freddie Mac securities. |
(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. |
Share Class | Class Inception Date | 1-yr | 5-yr | 10-yr |
A | 5/26/06 | (6.96)% | 2.83% | 3.99% |
C | 5/26/06 | (7.74)% | 2.06% | 3.21% |
I | 5/26/06 | (6.73)% | 3.10% | 4.25% |
R1 | 7/01/08 | (7.67)% | 2.08% | 3.22% |
R2 | 7/01/08 | (7.20)% | 2.59% | 3.73% |
R3 | 7/01/08 | (7.04)% | 2.83% | 3.98% |
R4 | 7/01/08 | (6.80)% | 3.09% | 4.25% |
R6 | 7/02/12 | (6.64)% | 3.18% | 4.35% |
Standard & Poor’s 500 Stock Index (f) | (7.69)% | 9.82% | 12.25% |
MFS Diversified Income Fund Blended Index - Current (f)(w) | (7.89)% | 3.03% | 3.92% |
MFS Diversified Income Fund Blended Index - Prior (f)(w) | (7.89)% | 3.03% | 3.81% |
Bloomberg U.S. Corporate High-Yield 2% Issuer Capped Index (f) | (5.45)% | 2.85% | 4.09% |
Bloomberg U.S. Credit Index (f) | (10.15)% | 1.05% | 1.91% |
Bloomberg U.S. Government/Mortgage Index (f) | (9.61)% | 0.22% | 0.73% |
JPMorgan Emerging Markets Bond Index Global (f) | (8.20)% | (0.40)% | 1.59% |
JPMorgan Emerging Markets Bond Index Global Diversified (f) | (8.64)% | (0.73)% | 1.85% |
MSCI All Country World High Dividend Yield Index (net div) (f) | (5.71)% | 4.37% | 5.74% |
MSCI US REIT Index (net div) (f) | (12.77)% | 6.13% | 5.23% |
A With Initial Sales Charge (4.25%) | (10.92)% | 1.94% | 3.54% |
C With CDSC (1% for 12 months) (v) | (8.63)% | 2.06% | 3.21% |
(f) | Source: FactSet Research Systems Inc. |
(v) | Assuming redemption at the end of the applicable period. |
(w) | The MFS Diversified Income Fund Blended Index (a custom index) was comprised of the following at the beginning and at the end of the reporting period (change effective as of July 21, 2022): |
2/28/23 | 2/28/22 | |
Bloomberg U.S. Corporate High-Yield 2% Issuer Capped Index | 25% | 25% |
Bloomberg U.S. Government/Mortgage Index | 10% | 10% |
Bloomberg U.S. Credit Index | 15% | 15% |
JPMorgan Emerging Markets Bond Index Global | N/A | 15% |
JPMorgan Emerging Markets Bond Index Global Diversified | 15% | N/A |
MSCI US REIT Index (net div) | 15% | 15% |
MSCI All Country World High Dividend Yield Index (net div) | 20% | 20% |
(a) | Source: Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg's licensors own all proprietary rights in the Bloomberg Indices. Bloomberg neither approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith. |
(e) | Morgan Stanley Capital International (“MSCI”) makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
(g) | “Standard & Poor's®” and “S&P®” are registered trademarks of Standard & Poor's Financial Services LLC (“S&P”) and Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”) and have been licensed for use by S&P Dow Jones Indices LLC and sublicensed for certain purposes by MFS. The S&P 500® is a product of S&P Dow Jones Indices LLC, and has been licensed for use by MFS. MFS's product(s) is not sponsored, endorsed, sold, or promoted by S&P Dow Jones Indices LLC, Dow Jones, S&P, or their respective affiliates, and neither S&P Dow Jones Indices LLC, Dow Jones, S&P, nor their respective affiliates make any representation regarding the advisability of investing in such product(s). |
September 1, 2022 through February 28, 2023
Share Class | Annualized Expense Ratio | Beginning Account Value 9/01/22 | Ending Account Value 2/28/23 | Expenses Paid During Period (p) 9/01/22-2/28/23 | |
A | Actual | 0.89% | $1,000.00 | $1,014.15 | $4.44 |
Hypothetical (h) | 0.89% | $1,000.00 | $1,020.38 | $4.46 | |
C | Actual | 1.64% | $1,000.00 | $1,009.46 | $8.17 |
Hypothetical (h) | 1.64% | $1,000.00 | $1,016.66 | $8.20 | |
I | Actual | 0.64% | $1,000.00 | $1,015.41 | $3.20 |
Hypothetical (h) | 0.64% | $1,000.00 | $1,021.62 | $3.21 | |
R1 | Actual | 1.64% | $1,000.00 | $1,010.34 | $8.17 |
Hypothetical (h) | 1.64% | $1,000.00 | $1,016.66 | $8.20 | |
R2 | Actual | 1.14% | $1,000.00 | $1,012.88 | $5.69 |
Hypothetical (h) | 1.14% | $1,000.00 | $1,019.14 | $5.71 | |
R3 | Actual | 0.89% | $1,000.00 | $1,014.15 | $4.44 |
Hypothetical (h) | 0.89% | $1,000.00 | $1,020.38 | $4.46 | |
R4 | Actual | 0.64% | $1,000.00 | $1,014.53 | $3.20 |
Hypothetical (h) | 0.64% | $1,000.00 | $1,021.62 | $3.21 | |
R6 | Actual | 0.55% | $1,000.00 | $1,015.85 | $2.75 |
Hypothetical (h) | 0.55% | $1,000.00 | $1,022.07 | $2.76 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. In addition to the fees and expenses which the fund bears directly, the fund indirectly bears a pro rata share of the fees and expenses of the underlying funds in which the fund invests. If these indirect costs were included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Bonds – 41.3% | ||||
Aerospace & Defense – 0.3% | ||||
Boeing Co., 2.196%, 2/04/2026 | $ | 920,000 | $835,682 | |
Boeing Co., 5.15%, 5/01/2030 | 731,000 | 707,364 | ||
Boeing Co., 5.805%, 5/01/2050 | 2,462,000 | 2,341,919 | ||
General Dynamics Corp., 3.625%, 4/01/2030 | 1,362,000 | 1,269,048 | ||
Raytheon Technologies Corp., 1.9%, 9/01/2031 | 1,540,000 | 1,203,899 | ||
Raytheon Technologies Corp., 2.375%, 3/15/2032 | 1,796,000 | 1,447,579 | ||
Raytheon Technologies Corp., 3.03%, 3/15/2052 | 1,272,000 | 877,775 | ||
$8,683,266 | ||||
Apparel Manufacturers – 0.1% | ||||
Tapestry, Inc., 4.125%, 7/15/2027 | $ | 667,000 | $629,268 | |
Tapestry, Inc., 3.05%, 3/15/2032 | 785,000 | 623,739 | ||
$1,253,007 | ||||
Asset-Backed & Securitized – 1.0% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.027%, 11/15/2054 (i) | $ | 6,505,896 | $359,555 | |
ACREC 2021-FL1 Ltd., “A”, FLR, 5.751% (LIBOR - 1mo. + 1.15%), 10/16/2036 (n) | 1,091,500 | 1,067,489 | ||
ACREC 2023-FL2 LLC, “A”, FLR, 6.63% (SOFR - 1mo. + 2.23%), 2/19/2038 (n) | 888,988 | 886,792 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 6.073% (LIBOR - 1mo. + 1.5%), 12/15/2035 (n) | 998,500 | 927,862 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “AS”, FLR, 6.288% (LIBOR - 1mo. + 1.7%), 11/15/2036 (n) | 484,000 | 475,562 | ||
AREIT 2022-CRE6 Trust, “AS”, FLR, 6.076% (SOFR - 30 day + 1.65%), 1/16/2037 (n) | 946,500 | 910,553 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.62%, 2/15/2054 (i) | 3,531,156 | 315,816 | ||
BBCMS Mortgage Trust, 2022-C18, “XA”, 0.46%, 12/15/2055 (i) | 4,291,275 | 166,958 | ||
BDS 2021-FL7 Ltd., “B”, FLR, 6.091% (LIBOR - 1mo. + 1.5%), 6/16/2036 (n) | 431,500 | 407,177 | ||
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.151%, 3/15/2054 (i) | 6,687,288 | 414,331 | ||
Benchmark 2021-B26 Mortgage Trust, “XA”, 0.885%, 6/15/2054 (i) | 6,504,681 | 318,884 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.266%, 7/15/2054 (i) | 7,589,849 | 544,509 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Benchmark 2022-B36 Mortgage Trust, “XA”, 0.639%, 7/15/2055 (i) | $ | 6,962,076 | $338,382 | |
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 512,405 | 477,564 | ||
Citigroup Commercial Mortgage Trust, 2019-XA, “C7”, 0.867%, 12/15/2072 (i)(n) | 9,399,939 | 408,433 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.778%, 4/15/2054 (i) | 4,821,109 | 206,438 | ||
Commercial Mortgage Pass-Through Certificates, 2022-BN43, “XA”, 0.895%, 8/15/2055 (i) | 7,983,644 | 498,151 | ||
CPS Auto Trust, 2019-D, “E”, 3.86%, 10/15/2025 (n) | 1,008,000 | 981,325 | ||
DT Auto Owner Trust, 2023-1A, “A”, 5.48%, 4/15/2027 (n) | 645,840 | 644,563 | ||
Flagship Credit Auto Trust, 2019-3, “D”, 2.86%, 12/15/2025 (n) | 500,000 | 484,876 | ||
KREF 2018-FT1 Ltd., “A”, FLR, 5.671% (LIBOR - 1mo. + 1.1%), 2/15/2039 (n) | 478,500 | 462,414 | ||
KREF 2018-FT1 Ltd., “AS”, FLR, 5.901% (LIBOR - 1mo. + 1.3%), 2/15/2039 (n) | 526,000 | 501,988 | ||
LAD Auto Receivables Trust, 2022-1A, “A”, 5.21%, 6/15/2027 (n) | 371,735 | 368,848 | ||
LAD Auto Receivables Trust, 2023-1A, “A2”, 5.68%, 10/15/2026 (n) | 332,000 | 331,861 | ||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 6.338% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 750,000 | 725,258 | ||
MF1 2020-FL4 Ltd., “A”, FLR, 6.376% (LIBOR - 1mo. + 1.7%), 11/15/2035 (n) | 1,047,125 | 1,047,154 | ||
MF1 2021-FL5 Ltd., “AS”, FLR, 5.876% (LIBOR - 1mo. + 1.2%), 7/15/2036 (n) | 985,000 | 954,167 | ||
MF1 2021-FL5 Ltd., “B”, FLR, 6.126% (LIBOR - 1mo. + 1.45%), 7/15/2036 (n) | 1,241,000 | 1,200,066 | ||
MF1 2022-FL8 Ltd., “A”, FLR, 5.784% (SOFR - 1mo. + 1.35%), 2/19/2037 (n) | 1,430,921 | 1,411,586 | ||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 0.831%, 12/15/2051 (i) | 9,705,960 | 345,520 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.295%, 5/15/2054 (i) | 2,693,080 | 183,312 | ||
Palmer Square Loan Funding 2020-1A Ltd., “A2”, FLR, 6.025% (LIBOR - 3mo. + 1.35%), 2/20/2028 (n) | 1,308,942 | 1,295,184 | ||
PFP III 2021-7 Ltd., “AS”, FLR, 5.738% (LIBOR - 1mo. + 1.15%), 4/14/2038 (n) | 1,383,931 | 1,320,626 | ||
PFP III 2021-8 Ltd., “A”, FLR, 5.59% (LIBOR - 1mo. + 1%), 8/09/2037 (n) | 692,161 | 672,126 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
PFP III 2021-8 Ltd., “AS”, FLR, 5.84% (LIBOR - 1mo. + 1.25%), 8/09/2037 (n) | $ | 1,010,000 | $954,310 | |
ReadyCap Commercial Mortgage Trust, 2021-FL5, “A”, FLR, 5.617% (LIBOR - 1mo. + 1%), 4/25/2038 (n) | 535,207 | 519,619 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “A”, FLR, 5.817% (LIBOR - 1mo. + 1.2%), 11/25/2036 (n) | 353,699 | 343,319 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “AS”, FLR, 6.117% (LIBOR - 1mo. + 1.5%), 11/25/2036 (n) | 109,000 | 106,275 | ||
Santander Drive Auto Receivables Trust, 2022-5, “A2”, 3.98%, 1/15/2025 | 406,862 | 405,597 | ||
Santander Drive Auto Receivables Trust, 2022-6, “A2”, 4.37%, 5/15/2025 | 157,593 | 157,098 | ||
Wells Fargo Commercial Mortgage Trust, 2018-C48, “XA”, 1.058%, 1/15/2052 (i)(n) | 5,197,209 | 211,775 | ||
Westlake Automobile Receivable Trust, 2023-1A, “A2B”, FLR, 5.251% (SOFR - 1mo. + 0.85%), 6/15/2026 (n) | 187,000 | 187,007 | ||
Westlake Automobile Receivables Trust, 2022-3A, “A2”, 5.24%, 7/15/2025 (n) | 850,000 | 847,870 | ||
$25,388,200 | ||||
Automotive – 0.1% | ||||
Hyundai Capital America, 1.8%, 1/10/2028 (n) | $ | 852,000 | $714,248 | |
Hyundai Capital America, 6.375%, 4/08/2030 (n) | 851,000 | 878,095 | ||
$1,592,343 | ||||
Broadcasting – 0.5% | ||||
Activision Blizzard, Inc., 2.5%, 9/15/2050 | $ | 1,594,000 | $993,936 | |
Discovery Communications LLC, 3.625%, 5/15/2030 | 2,384,000 | 2,040,124 | ||
Discovery Communications LLC, 4%, 9/15/2055 | 1,082,000 | 699,650 | ||
Prosus N.V., 4.193%, 1/19/2032 (n) | 881,000 | 724,220 | ||
Prosus N.V., 4.027%, 8/03/2050 (n) | 1,149,000 | 726,729 | ||
Prosus N.V., 3.832%, 2/08/2051 (n) | 1,016,000 | 615,376 | ||
Walt Disney Co., 3.35%, 3/24/2025 | 2,391,000 | 2,310,170 | ||
Walt Disney Co., 3.5%, 5/13/2040 | 2,155,000 | 1,741,483 | ||
Walt Disney Co., 3.8%, 5/13/2060 | 1,364,000 | 1,067,397 | ||
Warnermedia Holdings, Inc., 4.279%, 3/15/2032 (n) | 2,105,000 | 1,817,270 | ||
Warnermedia Holdings, Inc., 5.391%, 3/15/2062 (n) | 882,000 | 687,969 | ||
$13,424,324 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Brokerage & Asset Managers – 0.2% | ||||
Brookfield Finance, Inc., 2.34%, 1/30/2032 | $ | 1,462,000 | $1,144,653 | |
Intercontinental Exchange, Inc., 1.85%, 9/15/2032 | 2,958,000 | 2,213,578 | ||
Intercontinental Exchange, Inc., 5.2%, 6/15/2062 | 1,145,000 | 1,119,629 | ||
$4,477,860 | ||||
Building – 0.2% | ||||
Fortune Brands Home & Security, Inc., 4%, 3/25/2032 | $ | 3,331,000 | $2,894,618 | |
GCC S.A.B de C.V., 3.614%, 4/20/2032 (n) | 1,646,000 | 1,371,233 | ||
Vulcan Materials Co., 3.5%, 6/01/2030 | 360,000 | 319,440 | ||
Vulcan Materials Co., 4.5%, 6/15/2047 | 325,000 | 277,929 | ||
$4,863,220 | ||||
Business Services – 0.5% | ||||
Equifax, Inc., 3.1%, 5/15/2030 | $ | 1,801,000 | $1,533,585 | |
Equifax, Inc., 2.35%, 9/15/2031 | 1,098,000 | 865,393 | ||
Equinix, Inc., 2.5%, 5/15/2031 | 2,649,000 | 2,121,156 | ||
Fiserv, Inc., 4.4%, 7/01/2049 | 1,953,000 | 1,578,996 | ||
Mastercard, Inc., 3.85%, 3/26/2050 | 1,013,000 | 853,204 | ||
Visa, Inc., 2.05%, 4/15/2030 | 3,932,000 | 3,323,089 | ||
Visa, Inc., 2.7%, 4/15/2040 | 1,818,000 | 1,361,998 | ||
Visa, Inc., 2%, 8/15/2050 | 1,791,000 | 1,062,111 | ||
$12,699,532 | ||||
Cable TV – 0.3% | ||||
Cable Onda S.A., 4.5%, 1/30/2030 (n) | $ | 1,326,000 | $1,080,690 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | 1,092,000 | 1,048,185 | ||
Comcast Corp., 1.5%, 2/15/2031 | 3,070,000 | 2,370,470 | ||
Comcast Corp., 3.75%, 4/01/2040 | 1,245,000 | 1,019,659 | ||
Liberty Costa Rica Senior Secured Finance, 10.875%, 1/15/2031 (n) | 1,588,000 | 1,498,858 | ||
United Group B.V., 4.625%, 8/15/2028 (n) | EUR | 367,000 | 307,629 | |
VTR Comunicaciones S.p.A., 5.125%, 1/15/2028 (n) | $ | 1,273,000 | 899,807 | |
$8,225,298 | ||||
Chemicals – 0.1% | ||||
RPM International, Inc., 4.55%, 3/01/2029 | $ | 1,380,000 | $1,276,925 | |
RPM International, Inc., 4.25%, 1/15/2048 | 110,000 | 82,941 | ||
Sasol Financing (USA) LLC, 5.5%, 3/18/2031 | 1,455,000 | 1,213,106 | ||
$2,572,972 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Computer Software – 0.3% | ||||
Cisco Systems, Inc., 5.5%, 1/15/2040 | $ | 745,000 | $783,064 | |
Microsoft Corp., 2.525%, 6/01/2050 | 7,093,000 | 4,736,702 | ||
Oracle Corp., 5.55%, 2/06/2053 | 1,130,000 | 1,035,455 | ||
VeriSign, Inc., 4.75%, 7/15/2027 | 2,180,000 | 2,113,624 | ||
$8,668,845 | ||||
Computer Software - Systems – 0.3% | ||||
Apple, Inc., 2.05%, 9/11/2026 | $ | 3,416,000 | $3,110,510 | |
Apple, Inc., 1.7%, 8/05/2031 | 3,997,000 | 3,180,714 | ||
Apple, Inc., 2.65%, 5/11/2050 | 2,850,000 | 1,913,801 | ||
$8,205,025 | ||||
Conglomerates – 0.3% | ||||
Grupo KUO S.A.B. de C.V., 5.75%, 7/07/2027 (n) | $ | 1,187,000 | $1,087,407 | |
Otis Worldwide Corp., 2.565%, 2/15/2030 | 101,000 | 85,102 | ||
Regal Rexnord Corp., 6.05%, 4/15/2028 (n) | 1,114,000 | 1,089,279 | ||
Regal Rexnord Corp., 6.3%, 2/15/2030 (n) | 955,000 | 934,356 | ||
Regal Rexnord Corp., 6.4%, 4/15/2033 (n) | 1,392,000 | 1,369,688 | ||
Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | 3,268,000 | 3,153,675 | ||
$7,719,507 | ||||
Construction – 0.1% | ||||
Seazen Group Ltd., 4.45%, 7/13/2025 | $ | 1,614,000 | $1,226,640 | |
Consumer Products – 0.1% | ||||
Hasbro, Inc., 3.9%, 11/19/2029 | $ | 1,181,000 | $1,041,142 | |
Mattel, Inc., 3.75%, 4/01/2029 (n) | 1,163,000 | 1,005,995 | ||
$2,047,137 | ||||
Consumer Services – 0.2% | ||||
Booking Holdings, Inc., 3.55%, 3/15/2028 | $ | 1,755,000 | $1,645,157 | |
Booking Holdings, Inc., 4.625%, 4/13/2030 | 876,000 | 851,151 | ||
Conservation Fund, 3.474%, 12/15/2029 | 1,031,000 | 878,418 | ||
Meituan, 3.05%, 10/28/2030 (n) | 1,511,000 | 1,161,536 | ||
Meituan, 3.05%, 10/28/2030 | 1,024,000 | 787,169 | ||
$5,323,431 | ||||
Containers – 0.1% | ||||
San Miguel Industrias PET S.A., 3.5%, 8/02/2028 (n) | $ | 2,000,000 | $1,660,000 | |
Electrical Equipment – 0.1% | ||||
Arrow Electronics, Inc., 3.875%, 1/12/2028 | $ | 3,044,000 | $2,788,269 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Electronics – 0.3% | ||||
Broadcom, Inc., 3.187%, 11/15/2036 (n) | $ | 1,648,000 | $1,193,366 | |
Lam Research Corp., 1.9%, 6/15/2030 | 988,000 | 804,529 | ||
Lam Research Corp., 4.875%, 3/15/2049 | 795,000 | 751,124 | ||
NXP B.V./NXP Funding LLC/NXP USA, Inc., 3.125%, 2/15/2042 | 767,000 | 517,119 | ||
Qualcomm, Inc., 3.25%, 5/20/2027 | 876,000 | 823,937 | ||
SK Hynix, Inc., 6.375%, 1/17/2028 (n) | 1,259,000 | 1,239,663 | ||
TSMC Arizona Corp., 3.875%, 4/22/2027 | 834,000 | 800,824 | ||
TSMC Arizona Corp., 3.125%, 10/25/2041 | 1,658,000 | 1,294,314 | ||
$7,424,876 | ||||
Emerging Market Quasi-Sovereign – 3.0% | ||||
Abu Dhabi Crude Oil Pipeline, 4.6%, 11/02/2047 | $ | 870,000 | $792,788 | |
Aeropuerto Internacional de Tocumen S.A. (Republic of Panama), 5.125%, 8/11/2061 (n) | 530,000 | 415,300 | ||
Autoridad del Canal de Panama, 4.95%, 7/29/2035 (n) | 281,000 | 263,649 | ||
Autoridad del Canal de Panama, 4.95%, 7/29/2035 | 1,220,000 | 1,144,667 | ||
Bulgarian Energy Holding EAD, 2.45%, 7/22/2028 | EUR | 1,694,000 | 1,469,051 | |
China Development Bank Financial Leasing Co. Ltd., 2.875% to 9/28/2025, FLR (CMT - 1yr. + 2.75%) to 9/28/2030 | $ | 753,000 | 700,742 | |
Comision Federal de Electricidad (United Mexican States), 4.688%, 5/15/2029 (n) | 932,000 | 834,140 | ||
Comision Federal de Electricidad (United Mexican States), 3.875%, 7/26/2033 (n) | 1,391,000 | 1,053,781 | ||
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 | 1,464,000 | 1,454,929 | ||
Dua Capital Ltd. (Federation of Malaysia), 2.78%, 5/11/2031 | 1,263,000 | 1,036,620 | ||
Empresa de Transmision Electrica S.A. (Republic of Panama), 5.125%, 5/02/2049 (n) | 1,694,000 | 1,372,140 | ||
Empresa Nacional del Petroleo, 5.25%, 11/06/2029 | 624,000 | 591,864 | ||
Empresa Nacional del Petroleo (Republic of Chile), 3.45%, 9/16/2031 (n) | 1,391,000 | 1,142,435 | ||
Empresa Nacional del Petroleo (Republic of Chile), 4.5%, 9/14/2047 | 895,000 | 686,037 | ||
Eskom Holdings SOC Ltd. (Republic of South Africa), 7.125%, 2/11/2025 | 1,686,000 | 1,652,280 | ||
Eskom Holdings SOC Ltd. (Republic of South Africa), 6.35%, 8/10/2028 (n) | 1,294,000 | 1,209,890 | ||
Eskom Holdings SOC Ltd. (Republic of South Africa), 8.45%, 8/10/2028 | 845,000 | 827,221 | ||
Export-Import Bank of India, 5.5%, 1/18/2033 (n) | 2,154,000 | 2,107,770 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Quasi-Sovereign – continued | ||||
Export-Import Bank of Korea, 4.5%, 9/15/2032 | $ | 631,000 | $614,401 | |
Export-Import Bank of Korea, 5.125%, 1/11/2033 | 437,000 | 446,599 | ||
Huarong Finance 2017 Co. Ltd. (People's Republic of China), 4.25%, 11/07/2027 | 1,496,000 | 1,248,748 | ||
Huarong Finance 2017 Co. Ltd. (People's Republic of China), 4.95%, 11/07/2047 | 1,673,000 | 1,111,995 | ||
Indian Railway Finance Corp., 2.8%, 2/10/2031 (n) | 2,640,000 | 2,130,401 | ||
Ipoteka Bank (Republic of Uzbekistan), 5.5%, 11/19/2025 | 1,553,000 | 1,465,721 | ||
KazMunayGas National Co., JSC (Republic of Kazakhstan), 3.5%, 4/14/2033 | 1,039,000 | 775,894 | ||
KazMunayGas National Co., JSC (Republic of Kazakhstan), 5.75%, 4/19/2047 | 1,109,000 | 884,161 | ||
KazMunayGas National Co., JSC (Republic of Kazakhstan), 6.375%, 10/24/2048 | 3,964,000 | 3,324,274 | ||
Korea Hydro & Nuclear Power Co. Ltd., 4.25%, 7/27/2027 (n) | 2,119,000 | 2,040,364 | ||
MEGlobal Canada ULC (State of Kuwait), 5.875%, 5/18/2030 (n) | 591,000 | 602,541 | ||
NAK Naftogaz Ukraine via Kondor Finance PLC, 7.625%, 11/08/2026 (a)(z) | 3,111,000 | 591,090 | ||
National Central Cooling Co. PJSC, 2.5%, 10/21/2027 | 957,000 | 845,111 | ||
NBK SPC Ltd. (State of Kuwait), 1.625% to 9/15/2026, FLR (SOFR - 1 day + 1.05%) to 9/15/2027 (n) | 1,664,000 | 1,468,480 | ||
NPC Ukrenergo (Government of Ukraine), 6.875%, 11/09/2028 (a)(n) | 905,000 | 151,757 | ||
OCP S.A. (Republic of Madagascar), 6.875%, 4/25/2044 | 1,263,000 | 1,149,330 | ||
Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 5.125%, 6/23/2051 (n) | 2,245,000 | 1,619,206 | ||
Oryx Funding Ltd. (Sultanate of Oman), 5.8%, 2/03/2031 (n) | 1,210,000 | 1,178,237 | ||
Pertamina PT, 5.625%, 5/20/2043 | 957,000 | 887,716 | ||
Petroleos Mexicanos, 6.84%, 1/23/2030 | 1,186,000 | 991,874 | ||
Petroleos Mexicanos, 10%, 2/07/2033 (n) | 2,302,000 | 2,217,747 | ||
Petroleos Mexicanos, 6.75%, 9/21/2047 | 3,572,000 | 2,322,563 | ||
Petroleos Mexicanos, 7.69%, 1/23/2050 | 6,564,000 | 4,631,500 | ||
Petroleos Mexicanos, 6.95%, 1/28/2060 | 3,229,000 | 2,074,901 | ||
PETRONAS Capital Ltd. (Federation of Malaysia), 3.404%, 4/28/2061 | 1,343,000 | 940,145 | ||
Power Finance Corp. Ltd. (Republic of India), 3.95%, 4/23/2030 (n) | 1,228,000 | 1,054,668 | ||
PT Bank Negara Indonesia (Persero) Tbk, 3.75%, 3/30/2026 | 1,838,000 | 1,692,029 | ||
PT Freeport Indonesia, 5.315%, 4/14/2032 (n) | 1,564,000 | 1,438,428 | ||
PT Freeport Indonesia, 6.2%, 4/14/2052 (n) | 1,473,000 | 1,296,186 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Quasi-Sovereign – continued | ||||
PT Indonesia Asahan Aluminium (Persero), 5.8%, 5/15/2050 (n) | $ | 1,883,000 | $1,646,698 | |
Qatar Petroleum, 2.25%, 7/12/2031 (n) | 1,397,000 | 1,147,286 | ||
Qatar Petroleum, 3.125%, 7/12/2041 (n) | 1,997,000 | 1,517,520 | ||
Qatar Petroleum, 3.3%, 7/12/2051 (n) | 1,053,000 | 767,374 | ||
QNB Finance Ltd. (State of Qatar), 2.75%, 2/12/2027 | 1,129,000 | 1,033,035 | ||
SA Global Sukuk Ltd. (Kingdom of Saudi Arabia), 2.694%, 6/17/2031 (n) | 593,000 | 505,918 | ||
Saudi Arabian Oil Co., 3.5%, 11/24/2070 (n) | 3,601,000 | 2,364,056 | ||
Southern Gas Corridor CJSC (Republic of Azerbaijan), 6.875%, 3/24/2026 (n) | 3,049,000 | 3,111,200 | ||
State Oil Company of the Azerbaijan Republic, 6.95%, 3/18/2030 | 3,263,000 | 3,348,491 | ||
State Savings Bank of Ukraine PJSC, 9.375%, 3/10/2023 | 294,700 | 212,368 | ||
State Savings Bank of Ukraine PJSC, 9.625%, 3/20/2025 | 533,000 | 306,901 | ||
Sweihan PV Power Co. PJSC, 3.625%, 1/31/2049 (n) | 997,920 | 816,965 | ||
T.C. Ziraat Bankasi A.S. (Republic of Turkey), 9.5%, 8/01/2026 (n) | 752,000 | 739,127 | ||
Uzbekneftegaz JSC (Republic of Uzbekistan), 4.75%, 11/16/2028 (n) | 1,236,000 | 1,027,116 | ||
$78,495,426 | ||||
Emerging Market Sovereign – 6.0% | ||||
Arab Republic of Egypt, 7.6%, 3/01/2029 (n) | $ | 1,396,000 | $1,093,975 | |
Arab Republic of Egypt, 7.903%, 2/21/2048 (n) | 1,492,000 | 898,008 | ||
Arab Republic of Egypt, 7.903%, 2/21/2048 | 2,991,000 | 1,800,229 | ||
Arab Republic of Egypt, 8.875%, 5/29/2050 (n) | 2,842,000 | 1,825,212 | ||
Arab Republic of Egypt, 7.5%, 2/16/2061 (n) | 1,617,000 | 942,116 | ||
Dominican Republic, 6%, 7/19/2028 (n) | 1,663,000 | 1,603,290 | ||
Dominican Republic, 5.5%, 2/22/2029 (n) | 1,714,000 | 1,588,168 | ||
Dominican Republic, 7.05%, 2/03/2031 (n) | 764,000 | 762,709 | ||
Dominican Republic, 4.875%, 9/23/2032 (n) | 1,192,000 | 996,308 | ||
Dominican Republic, 6%, 2/22/2033 (n) | 2,048,000 | 1,853,376 | ||
Dominican Republic, 5.3%, 1/21/2041 (n) | 1,002,000 | 783,722 | ||
Dominican Republic, 5.875%, 1/30/2060 (n) | 2,282,000 | 1,710,345 | ||
Dominican Republic, 5.875%, 1/30/2060 | 2,407,000 | 1,804,031 | ||
Emirate of Sharjah, 6.5%, 11/23/2032 (n) | 518,000 | 521,885 | ||
Federal Republic of Nigeria, 6.125%, 9/28/2028 (n) | 1,457,000 | 1,154,498 | ||
Federal Republic of Nigeria, 7.375%, 9/28/2033 (n) | 1,839,000 | 1,336,390 | ||
Federal Republic of Nigeria, 7.696%, 2/23/2038 | 969,000 | 675,219 | ||
Federative Republic of Brazil, 4.75%, 1/14/2050 | 1,053,000 | 753,131 | ||
Government of Ukraine, 7.75%, 9/01/2028 (a) | 1,262,000 | 235,679 | ||
Government of Ukraine, 4.375%, 1/27/2030 (a)(n) | EUR | 1,074,000 | 187,435 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
Government of Ukraine, 6.876%, 5/21/2031 (a) | $ | 598,000 | $100,763 | |
Government of Ukraine, 7.253%, (7.253% cash or 7.253% PIK) 3/15/2035 (a)(p) | 3,089,000 | 524,744 | ||
Government of Ukraine, GDP Linked Bond, 0%, 5/31/2040 (a) | 2,068,000 | 559,394 | ||
Hashemite Kingdom of Jordan, 7.75%, 1/15/2028 (n) | 817,000 | 837,588 | ||
Hashemite Kingdom of Jordan, 5.85%, 7/07/2030 (n) | 2,432,000 | 2,191,718 | ||
Hashemite Kingdom of Jordan, 7.375%, 10/10/2047 | 3,663,000 | 3,199,557 | ||
Islamic Republic of Pakistan, 6%, 4/08/2026 (n) | 1,550,000 | 689,750 | ||
Islamic Republic of Pakistan, 8.875%, 4/08/2051 (n) | 1,504,000 | 609,625 | ||
Kingdom of Saudi Arabia, 4.875%, 7/18/2033 (n) | 603,000 | 593,020 | ||
Kingdom of Saudi Arabia, 4.5%, 10/26/2046 | 2,723,000 | 2,344,590 | ||
Kingdom of Saudi Arabia, 4.625%, 10/04/2047 | 3,863,000 | 3,375,296 | ||
Kingdom of Saudi Arabia, 5.25%, 1/16/2050 | 1,032,000 | 983,969 | ||
Kingdom of Saudi Arabia, 3.25%, 11/17/2051 (n) | 2,103,000 | 1,445,981 | ||
Kingdom of Saudi Arabia, 5%, 1/18/2053 (n) | 872,000 | 795,700 | ||
Oriental Republic of Uruguay, 8.25%, 5/21/2031 | UYU | 89,988,000 | 2,090,421 | |
Oriental Republic of Uruguay, 5.75%, 10/28/2034 | $ | 1,729,000 | 1,858,583 | |
Oriental Republic of Uruguay, 4.975%, 4/20/2055 | 1,300,000 | 1,239,051 | ||
Republic of Angola, 8.75%, 4/14/2032 (n) | 1,899,000 | 1,704,637 | ||
Republic of Angola, 9.375%, 5/08/2048 | 2,905,000 | 2,470,122 | ||
Republic of Angola, 9.125%, 11/26/2049 | 3,425,000 | 2,877,000 | ||
Republic of Argentina, 3.875%, 1/09/2038 | 8,097,000 | 2,832,275 | ||
Republic of Argentina, 3.5%, 7/09/2041 | 11,085,000 | 3,480,928 | ||
Republic of Cameroon, 5.95%, 7/07/2032 | EUR | 1,136,000 | 900,019 | |
Republic of Chile, 2.55%, 1/27/2032 | $ | 997,000 | 817,342 | |
Republic of Chile, 4%, 1/31/2052 | 1,103,000 | 855,283 | ||
Republic of Colombia, 8%, 4/20/2033 | 1,186,000 | 1,170,995 | ||
Republic of Colombia, 5.2%, 5/15/2049 | 613,000 | 405,102 | ||
Republic of Costa Rica, 7.158%, 3/12/2045 | 958,000 | 928,413 | ||
Republic of Cote d'Ivoire, 4.875%, 1/30/2032 (n) | EUR | 1,724,000 | 1,392,442 | |
Republic of Cote d'Ivoire, 6.875%, 10/17/2040 (n) | 2,193,000 | 1,711,488 | ||
Republic of Cote d'Ivoire, 6.625%, 3/22/2048 (n) | 602,000 | 442,276 | ||
Republic of Ecuador, 2.5%, 7/31/2035 (n) | $ | 1,794,406 | 632,451 | |
Republic of Ecuador, 2.5%, 7/31/2035 | 1,175,000 | 414,137 | ||
Republic of Ecuador, 1.5%, 7/31/2040 (n) | 1,683,765 | 525,919 | ||
Republic of Ecuador, 1.5%, 7/31/2040 | 3,713,000 | 1,159,745 | ||
Republic of Gabon, 7%, 11/24/2031 (n) | 1,694,000 | 1,376,375 | ||
Republic of Ghana, 7.75%, 4/07/2029 (a)(n) | 982,000 | 365,795 | ||
Republic of Ghana, 7.875%, 2/11/2035 (a) | 2,325,000 | 854,159 | ||
Republic of Guatemala, 3.7%, 10/07/2033 (n) | 1,018,000 | 837,345 | ||
Republic of Guatemala, 4.65%, 10/07/2041 (n) | 808,000 | 654,927 | ||
Republic of Guatemala, 6.125%, 6/01/2050 | 1,673,000 | 1,582,682 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
Republic of Hungary, 6.125%, 5/22/2028 (n) | $ | 951,000 | $965,417 | |
Republic of Hungary, 6.25%, 9/22/2032 (n) | 1,389,000 | 1,409,835 | ||
Republic of Hungary, 5.5%, 6/16/2034 (n) | 2,223,000 | 2,134,151 | ||
Republic of Hungary, 6.75%, 9/25/2052 (n) | 1,056,000 | 1,081,635 | ||
Republic of Indonesia, 4.65%, 9/20/2032 | 1,032,000 | 1,004,410 | ||
Republic of Indonesia, 1.1%, 3/12/2033 | EUR | 1,082,000 | 835,298 | |
Republic of Indonesia, 5.125%, 1/15/2045 | $ | 816,000 | 795,681 | |
Republic of Indonesia, 4.35%, 1/11/2048 | 2,767,000 | 2,422,608 | ||
Republic of Indonesia, 5.45%, 9/20/2052 | 644,000 | 638,365 | ||
Republic of Indonesia, 5.65%, 1/11/2053 | 833,000 | 847,001 | ||
Republic of Kazakhstan, 6.5%, 7/21/2045 | 1,362,000 | 1,442,086 | ||
Republic of Kenya, 8%, 5/22/2032 | 2,864,000 | 2,441,045 | ||
Republic of Kenya, 8.25%, 2/28/2048 | 728,000 | 561,623 | ||
Republic of Panama, 3.362%, 6/30/2031 (n) | 1,539,000 | 1,269,675 | ||
Republic of Panama, 6.4%, 2/14/2035 | 1,081,000 | 1,113,639 | ||
Republic of Paraguay, 3.849%, 6/28/2033 (n) | 612,000 | 515,764 | ||
Republic of Paraguay, 6.1%, 8/11/2044 | 1,400,000 | 1,319,996 | ||
Republic of Paraguay, 5.6%, 3/13/2048 | 2,372,000 | 2,039,176 | ||
Republic of Paraguay, 5.4%, 3/30/2050 (n) | 1,944,000 | 1,627,807 | ||
Republic of Peru, 2.783%, 1/23/2031 | 708,000 | 582,620 | ||
Republic of Peru, 1.862%, 12/01/2032 | 545,000 | 394,647 | ||
Republic of Philippines, 5.609%, 4/13/2033 | 701,000 | 722,360 | ||
Republic of Philippines, 5%, 7/17/2033 | 1,231,000 | 1,220,497 | ||
Republic of Philippines, 5.5%, 1/17/2048 | 840,000 | 848,886 | ||
Republic of Poland, 5.75%, 11/16/2032 | 1,038,000 | 1,086,869 | ||
Republic of Romania, 6.625%, 2/17/2028 (n) | 1,032,000 | 1,053,672 | ||
Republic of Romania, 1.75%, 7/13/2030 (n) | EUR | 1,556,000 | 1,188,912 | |
Republic of Romania, 2%, 1/28/2032 (n) | 1,241,000 | 913,705 | ||
Republic of Romania, 2%, 1/28/2032 | 1,150,000 | 846,705 | ||
Republic of Romania, 7.125%, 1/17/2033 (n) | $ | 1,186,000 | 1,240,912 | |
Republic of Romania, 2.625%, 12/02/2040 (n) | EUR | 602,000 | 359,291 | |
Republic of Romania, 2.75%, 4/14/2041 (n) | 611,000 | 369,076 | ||
Republic of Senegal, 6.75%, 3/13/2048 | $ | 1,061,000 | 743,782 | |
Republic of Serbia, 6.25%, 5/26/2028 (n) | 1,236,000 | 1,233,034 | ||
Republic of Serbia, 6.5%, 9/26/2033 (n) | 719,000 | 698,509 | ||
Republic of Serbia, 2.05%, 9/23/2036 (n) | EUR | 954,000 | 587,769 | |
Republic of South Africa, 5.75%, 9/30/2049 | $ | 3,173,000 | 2,308,358 | |
Republic of South Africa, 7.3%, 4/20/2052 | 2,881,000 | 2,481,261 | ||
Republic of Sri Lanka, 6.125%, 6/03/2025 (a) | 4,379,000 | 1,654,991 | ||
Republic of Sri Lanka, 7.55%, 3/28/2030 (a) | 2,892,000 | 1,042,856 | ||
Republic of Turkey, 9.875%, 1/15/2028 | 994,000 | 1,007,558 | ||
Republic of Turkey, 9.375%, 1/19/2033 | 1,048,000 | 1,011,404 | ||
Republic of Turkey, 5.75%, 5/11/2047 | 1,220,000 | 816,348 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
Republic of Zambia, 8.97%, 7/30/2027 (a)(d) | $ | 1,909,000 | $857,905 | |
Socialist Republic of Vietnam, 4.8%, 11/19/2024 | 1,088,000 | 1,067,924 | ||
State of Qatar, 5.103%, 4/23/2048 (n) | 1,215,000 | 1,197,409 | ||
State of Qatar, 4.817%, 3/14/2049 (n) | 1,236,000 | 1,174,200 | ||
State of Qatar, 4.817%, 3/14/2049 | 619,000 | 588,050 | ||
State of Qatar, 4.4%, 4/16/2050 (n) | 652,000 | 583,670 | ||
Sultanate of Oman, 6.5%, 3/08/2047 | 2,434,000 | 2,262,306 | ||
Sultanate of Oman, 6.75%, 1/17/2048 | 4,130,000 | 3,949,147 | ||
Sultanate of Oman, 7%, 1/25/2051 (n) | 3,249,000 | 3,202,422 | ||
Sultanate of Oman, 7%, 1/25/2051 | 3,459,000 | 3,409,412 | ||
United Arab Emirates, 4.951%, 7/07/2052 (n) | 2,155,000 | 2,088,540 | ||
United Mexican States, 5.75%, 3/05/2026 | MXN | 17,400,000 | 837,918 | |
United Mexican States, 7.5%, 6/03/2027 | 16,400,000 | 826,727 | ||
United Mexican States, 5.4%, 2/09/2028 | $ | 634,000 | 636,196 | |
United Mexican States, 7.75%, 5/29/2031 | MXN | 24,900,000 | 1,244,775 | |
United Mexican States, 4.875%, 5/19/2033 | $ | 1,282,000 | 1,189,892 | |
United Mexican States, 3.5%, 2/12/2034 | 1,435,000 | 1,168,741 | ||
United Mexican States, 4.28%, 8/14/2041 | 972,000 | 774,250 | ||
United Mexican States, 4.5%, 1/31/2050 | 2,754,000 | 2,157,740 | ||
United Mexican States, 4.4%, 2/12/2052 | 1,036,000 | 784,434 | ||
$155,238,225 | ||||
Energy - Independent – 0.8% | ||||
Energean PLC, 6.5%, 4/30/2027 (n) | $ | 1,565,000 | $1,439,293 | |
EQT Corp., 3.625%, 5/15/2031 (n) | 2,977,000 | 2,498,447 | ||
Hess Corp., 5.8%, 4/01/2047 | 2,385,000 | 2,254,567 | ||
Leviathan Bond Ltd., 6.75%, 6/30/2030 (n) | 2,841,000 | 2,649,165 | ||
Medco Bell Pte. Ltd., 6.375%, 1/30/2027 (n) | 1,146,000 | 1,050,077 | ||
Medco Laurel Tree Pte. Ltd., 6.95%, 11/12/2028 (n) | 1,636,000 | 1,487,436 | ||
Pioneer Natural Resources Co., 1.9%, 8/15/2030 | 2,149,000 | 1,674,789 | ||
Sierracol Energy Andina LLC, 6%, 6/15/2028 (n) | 1,240,000 | 970,662 | ||
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n) | 2,119,000 | 1,866,415 | ||
Tengizchevroil Finance Co. International Ltd., 3.25%, 8/15/2030 (n) | 4,736,000 | 3,572,128 | ||
$19,462,979 | ||||
Energy - Integrated – 0.2% | ||||
BP Capital Markets America, Inc., 1.749%, 8/10/2030 | $ | 1,672,000 | $1,338,774 | |
BP Capital Markets America, Inc., 4.812%, 2/13/2033 | 1,140,000 | 1,119,777 | ||
BP Capital Markets America, Inc., 3.001%, 3/17/2052 | 1,301,000 | 873,520 | ||
Eni S.p.A., 4.75%, 9/12/2028 (n) | 1,818,000 | 1,771,782 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Energy - Integrated – continued | ||||
Eni S.p.A., 4.25%, 5/09/2029 (n) | $ | 976,000 | $899,808 | |
$6,003,661 | ||||
Financial Institutions – 0.5% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, 7/21/2027 | $ | 1,425,000 | $1,290,612 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.3%, 1/30/2032 | 2,323,000 | 1,858,953 | ||
Air Lease Corp., 2.875%, 1/15/2032 | 1,362,000 | 1,069,241 | ||
Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | 909,000 | 843,548 | ||
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 855,000 | 795,394 | ||
Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | 1,636,000 | 1,366,006 | ||
Muthoot Finance Ltd., 4.4%, 9/02/2023 (n) | 2,255,000 | 2,215,537 | ||
Shriram Transport Finance Co. Ltd., 4.4%, 3/13/2024 (n) | 2,049,000 | 1,982,407 | ||
Sunac China Holdings Ltd., 7.5%, 2/01/2024 (a)(d) | 1,792,000 | 469,585 | ||
Times China Holdings Ltd., 6.75%, 7/08/2025 (a) | 1,256,000 | 200,105 | ||
$12,091,388 | ||||
Food & Beverages – 0.9% | ||||
Agrosuper S.A., 4.6%, 1/20/2032 (n) | $ | 610,000 | $519,964 | |
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | 2,533,000 | 2,548,606 | ||
Aragvi Finance International DAC, 8.45%, 4/29/2026 (n) | 1,588,000 | 1,124,368 | ||
Bacardi Ltd., 5.15%, 5/15/2038 (n) | 1,036,000 | 963,184 | ||
Central America Bottling Co., 5.25%, 4/27/2029 (n) | 2,121,000 | 1,952,635 | ||
Compania Cervecerias Unidas S.A., 3.35%, 1/19/2032 (n) | 1,439,000 | 1,192,211 | ||
Constellation Brands, Inc., 2.25%, 8/01/2031 | 1,839,000 | 1,447,942 | ||
Constellation Brands, Inc., 4.1%, 2/15/2048 | 3,081,000 | 2,430,107 | ||
Grupo Bimbo S.A.B. de C.V., 5.95% to 7/17/2023, FLR (CMT - 5yr. + 3.28%) to 7/17/2028, FLR (CMT - 5yr. + 3.53%) to 7/17/2043, FLR (CMT - 5yr. + 4.28%) to 7/17/2171 | 1,248,000 | 1,244,980 | ||
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 (n) | 1,065,000 | 885,711 | ||
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.625%, 1/15/2032 (n) | 1,557,000 | 1,247,188 | ||
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.75%, 4/01/2033 (n) | 894,000 | 833,852 | ||
Kraft Heinz Foods Co., 4.875%, 10/01/2049 | 816,000 | 719,340 | ||
Kraft Heinz Foods Co., 5.5%, 6/01/2050 | 1,419,000 | 1,360,715 | ||
PT Indofood CBP Sukses Makmur Tbk, 3.398%, 6/09/2031 | 1,243,000 | 1,018,098 | ||
PT Indofood CBP Sukses Makmur Tbk, 4.805%, 4/27/2052 | 1,637,000 | 1,198,406 | ||
SYSCO Corp., 2.45%, 12/14/2031 | 2,369,000 | 1,905,948 | ||
SYSCO Corp., 4.45%, 3/15/2048 | 1,219,000 | 1,006,493 | ||
$23,599,748 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Gaming & Lodging – 0.2% | ||||
GENM Capital Labuan Ltd., 3.882%, 4/19/2031 (n) | $ | 803,000 | $623,495 | |
Marriott International, Inc., 2.85%, 4/15/2031 | 2,566,000 | 2,116,473 | ||
Marriott International, Inc., 3.5%, 10/15/2032 | 2,052,000 | 1,737,015 | ||
VICI Properties LP / VICI Note Co., Inc., 4.25%, 12/01/2026 (n) | 264,000 | 244,821 | ||
VICI Properties LP, REIT, 4.75%, 2/15/2028 | 1,316,000 | 1,241,422 | ||
$5,963,226 | ||||
Industrial – 0.1% | ||||
Dar Al-Arkan Sukuk Co. Ltd., 6.875%, 2/26/2027 | $ | 798,000 | $788,663 | |
GEMS Menasa Cayman Ltd./GEMS Education Delaware LLC, 7.125%, 7/31/2026 (n) | 627,000 | 612,690 | ||
Howard University, Washington D.C., AGM, 2.416%, 10/01/2024 | 230,000 | 219,499 | ||
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | 285,000 | 264,306 | ||
Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | 2,127,000 | 1,383,510 | ||
$3,268,668 | ||||
Insurance – 0.3% | ||||
AIA Group Ltd., 5.625%, 10/25/2027 (n) | $ | 896,000 | $917,112 | |
Corebridge Financial, Inc., 3.9%, 4/05/2032 (n) | 2,080,000 | 1,820,024 | ||
Corebridge Financial, Inc., 4.35%, 4/05/2042 (n) | 2,580,000 | 2,126,578 | ||
Equitable Holdings, Inc., 5.594%, 1/11/2033 | 2,538,000 | 2,516,259 | ||
$7,379,973 | ||||
Insurance - Health – 0.3% | ||||
Humana, Inc., 2.15%, 2/03/2032 | $ | 1,951,000 | $1,506,239 | |
Humana, Inc., 4.95%, 10/01/2044 | 2,242,000 | 2,010,009 | ||
Humana, Inc., 5.5%, 3/15/2053 | 269,000 | 259,753 | ||
UnitedHealth Group, Inc., 5.3%, 2/15/2030 | 1,215,000 | 1,232,891 | ||
UnitedHealth Group, Inc., 2.3%, 5/15/2031 | 1,986,000 | 1,637,016 | ||
UnitedHealth Group, Inc., 4.625%, 7/15/2035 | 444,000 | 425,358 | ||
UnitedHealth Group, Inc., 5.875%, 2/15/2053 | 971,000 | 1,047,429 | ||
$8,118,695 | ||||
Insurance - Property & Casualty – 0.2% | ||||
Aon Corp./Aon Global Holdings PLC, 2.05%, 8/23/2031 | $ | 3,843,000 | $3,019,508 | |
Aon Corp./Aon Global Holdings PLC, 2.6%, 12/02/2031 | 187,000 | 152,400 | ||
Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032 (n) | 3,206,000 | 3,047,695 | ||
$6,219,603 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
International Market Quasi-Sovereign – 0.0% | ||||
Ontario Teachers' Cadillac Fairview Properties, 2.5%, 10/15/2031 (n) | $ | 1,158,000 | $888,929 | |
International Market Sovereign – 0.2% | ||||
Government of Bermuda, 5%, 7/15/2032 (n) | $ | 3,115,000 | $3,028,667 | |
Government of Bermuda, 3.375%, 8/20/2050 (n) | 2,322,000 | 1,602,191 | ||
$4,630,858 | ||||
Machinery & Tools – 0.2% | ||||
Ashtead Capital, Inc., 5.55%, 5/30/2033 (n) | $ | 1,339,000 | $1,283,074 | |
CNH Industrial N.V., 3.85%, 11/15/2027 | 3,018,000 | 2,860,605 | ||
$4,143,679 | ||||
Major Banks – 3.6% | ||||
Australia and New Zealand Banking Group Ltd., 2.57% to 11/25/2030, FLR (CMT - 5yr. + 1.7%) to 11/25/2035 (n) | $ | 2,249,000 | $1,715,041 | |
Banco Mercantil del Norte S.A., 6.625% to 1/24/2032, FLR (CMT - 10yr. + 5.034%) to 1/24/2171 | 1,055,000 | 906,772 | ||
Bank of America Corp., 3.366% to 1/23/2025, FLR (LIBOR - 3mo. + 0.81%) to 1/23/2026 | 3,238,000 | 3,099,491 | ||
Bank of America Corp., 3.419% to 12/20/2027, FLR (LIBOR - 3mo. + 1.04%) to 12/20/2028 | 3,227,000 | 2,937,163 | ||
Bank of America Corp., 2.496% to 2/13/2030, FLR (LIBOR - 3mo. + 0.99%) to 2/13/2031 | 505,000 | 416,436 | ||
Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032 | 4,771,000 | 3,869,445 | ||
Bank of New York Mellon Corp., 5.802% to 10/25/2027, FLR (SOFR - 1 day + 1.802%) to 10/25/2028 | 1,707,000 | 1,748,649 | ||
Bank of New York Mellon Corp., 5.834% to 10/25/2032, FLR (SOFR - 1 day + 2.074%) to 10/25/2033 | 1,281,000 | 1,333,935 | ||
Barclays PLC, 2.894% to 11/24/2031, FLR (CMT - 1yr. + 1.3%) to 11/24/2032 | 3,578,000 | 2,778,066 | ||
Commonwealth Bank of Australia, 3.61% to 9/12/2029, FLR (CMT - 1yr. + 2.05%) to 9/12/2034 (n) | 1,818,000 | 1,535,315 | ||
Commonwealth Bank of Australia, 3.305%, 3/11/2041 (n) | 2,351,000 | 1,657,523 | ||
Credit Agricole S.A., 1.247% to 1/26/2026, FLR (SOFR - 1 day + 0.89162%) to 1/26/2027 (n) | 3,272,000 | 2,887,827 | ||
Goldman Sachs Group, Inc., 2.64% to 2/24/2027, FLR (SOFR - 1 day + 1.114%) to 2/24/2028 | 3,267,000 | 2,919,375 | ||
Goldman Sachs Group, Inc., 3.102% to 2/24/2032, FLR (SOFR - 1 day + 1.41%) to 2/24/2033 | 1,036,000 | 853,937 | ||
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR - 1 day + 1.929%) to 6/04/2026 | 3,837,000 | 3,530,951 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
HSBC Holdings PLC, 2.357% to 8/18/2030, FLR (SOFR - 1 day + 1.947%) to 8/18/2031 | $ | 3,604,000 | $2,845,831 | |
JPMorgan Chase & Co., 3.782% to 2/01/2027, FLR (LIBOR - 3mo. + 1.337%) to 2/01/2028 | 2,435,000 | 2,287,690 | ||
JPMorgan Chase & Co., 2.545% to 11/08/2031, FLR (SOFR - 1 day + 1.18%) to 11/08/2032 | 5,987,000 | 4,786,830 | ||
JPMorgan Chase & Co., 3.109% to 4/22/2040, FLR (SOFR - 1 day + 2.46%) to 4/22/2041 | 2,419,000 | 1,779,586 | ||
Kasikornbank PLC (Hong Kong Branch), 3.343% to 10/02/2026, FLR (CMT - 5yr. + 1.7%) to 10/02/2031 | 940,000 | 826,739 | ||
Mitsubishi UFJ Financial Group, Inc., 1.64% to 10/13/2026, FLR (CMT - 1yr. + 0.67%) to 10/13/2027 | 2,438,000 | 2,115,291 | ||
Mitsubishi UFJ Financial Group, Inc., 2.494% to 10/13/2031, FLR (CMT - 1yr. + 0.97%) to 10/13/2032 | 6,270,000 | 4,937,090 | ||
Morgan Stanley, 3.125%, 7/27/2026 | 4,414,000 | 4,107,628 | ||
Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031 | 4,129,000 | 3,656,110 | ||
Morgan Stanley, 3.217% to 4/22/2041, FLR (SOFR - 1 day + 1.485%) to 4/22/2042 | 2,137,000 | 1,588,425 | ||
National Australia Bank Ltd., 3.347% to 1/12/2032, FLR (CMT - 5yr. + 1.7%) to 1/12/2037 (n) | 2,091,000 | 1,669,974 | ||
NatWest Group PLC, 5.847% to 3/02/2026, FLR (CMT - 1yr. + 1.35%) to 3/02/2027 | 956,000 | 956,486 | ||
NatWest Group PLC, 6.016% to 3/02/2033, FLR (CMT - 1yr. + 2.1%) to 3/02/2034 | 250,000 | 250,322 | ||
Nordea Bank Abp, 1.5%, 9/30/2026 (n) | 3,606,000 | 3,136,359 | ||
Oversea-Chinese Banking Corp. Ltd., 1.832% to 9/10/2025, FLR (CMT - 1yr. + 1.58%) to 9/10/2030 (n) | 723,000 | 654,995 | ||
Oversea-Chinese Banking Corp. Ltd., 4.602%, 6/15/2032 | 671,000 | 649,349 | ||
Royal Bank of Canada, 2.3%, 11/03/2031 | 4,776,000 | 3,832,405 | ||
Royal Bank of Canada, 5%, 2/01/2033 | 2,507,000 | 2,448,903 | ||
Sumitomo Mitsui Financial Group, Inc., 1.71%, 1/12/2031 | 2,461,000 | 1,877,830 | ||
Toronto-Dominion Bank, 4.108%, 6/08/2027 | 1,725,000 | 1,653,468 | ||
Toronto-Dominion Bank, 4.693%, 9/15/2027 | 1,665,000 | 1,628,641 | ||
Toronto-Dominion Bank, 2%, 9/10/2031 | 1,949,000 | 1,531,657 | ||
Toronto-Dominion Bank, 4.456%, 6/08/2032 | 379,000 | 356,729 | ||
UBS Group AG, 3.179% to 2/11/2042, FLR (CMT - 1yr. + 1.1%) to 2/11/2043 (n) | 3,775,000 | 2,733,210 | ||
UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | 1,750,000 | 1,578,587 | ||
UniCredit S.p.A., 1.982% to 6/03/2026, FLR (CMT - 1yr. + 1.2%) to 6/03/2027 (n) | 282,000 | 245,932 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
Wells Fargo & Co., 3.908% to 4/25/2025, FLR (SOFR - 1 day + 1.32%) to 4/25/2026 | $ | 1,496,000 | $1,442,978 | |
Wells Fargo & Co., 4.54% to 8/15/2025, FLR (SOFR - 1 day + 1.56%) to 8/15/2026 | 2,350,000 | 2,293,079 | ||
Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | 2,462,000 | 2,081,630 | ||
$92,143,680 | ||||
Medical & Health Technology & Services – 0.5% | ||||
Alcon Finance Corp., 2.6%, 5/27/2030 (n) | $ | 1,260,000 | $1,059,024 | |
Alcon Finance Corp., 5.375%, 12/06/2032 (n) | 507,000 | 509,019 | ||
Alcon, Inc., 2.75%, 9/23/2026 (n) | 1,818,000 | 1,666,340 | ||
Becton, Dickinson and Co., 2.823%, 5/20/2030 | 1,871,000 | 1,600,510 | ||
Becton, Dickinson and Co., 4.298%, 8/22/2032 | 3,123,000 | 2,901,589 | ||
CVS Health Corp., 5%, 2/20/2026 | 1,211,000 | 1,204,332 | ||
CVS Health Corp., 5.625%, 2/21/2053 | 1,126,000 | 1,089,702 | ||
ProMedica Toledo Hospital, “B”, AGM, 5.325%, 11/15/2028 | 1,721,000 | 1,688,447 | ||
Thermo Fisher Scientific, Inc., 2%, 10/15/2031 | 1,930,000 | 1,540,850 | ||
Thermo Fisher Scientific, Inc., 2.8%, 10/15/2041 | 1,197,000 | 863,816 | ||
$14,123,629 | ||||
Medical Equipment – 0.1% | ||||
Danaher Corp., 2.6%, 10/01/2050 | $ | 4,299,000 | $2,745,216 | |
Metals & Mining – 0.4% | ||||
Anglo American Capital PLC, 4.5%, 3/15/2028 (n) | $ | 1,778,000 | $1,682,091 | |
Anglo American Capital PLC, 2.875%, 3/17/2031 (n) | 3,799,000 | 3,109,704 | ||
Antofagasta PLC, 5.625%, 5/13/2032 (n) | 1,059,000 | 1,025,029 | ||
Ero Copper Corp., 6.5%, 2/15/2030 (n) | 613,000 | 515,143 | ||
Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 1,809,000 | 1,480,061 | ||
Petra Diamonds US$ Treasury PLC, 10.5% (10.5% PIK/9.75% Cash to 6/30/2023), 9.75% Cash to 3/08/2026 (n)(p) | 1,694,753 | 1,624,232 | ||
Prumo Participacoes e Investimentos S.A., 7.5%, 12/31/2031 | 770,268 | 734,209 | ||
$10,170,469 | ||||
Midstream – 0.9% | ||||
Cheniere Corpus Christi Holdings LLC, 3.7%, 11/15/2029 | $ | 822,000 | $740,262 | |
Enbridge, Inc., 3.4%, 8/01/2051 | 1,735,000 | 1,195,186 | ||
Energy Transfer LP, 4%, 10/01/2027 | 893,000 | 832,490 | ||
Energy Transfer LP, 3.75%, 5/15/2030 | 1,147,000 | 1,017,538 | ||
Energy Transfer Partners LP, 5.15%, 3/15/2045 | 1,963,000 | 1,647,343 | ||
Galaxy Pipeline Assets Bidco Ltd., 1.75%, 9/30/2027 (n) | 2,330,411 | 2,147,403 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Midstream – continued | ||||
Galaxy Pipeline Assets Bidco Ltd., 2.625%, 3/31/2036 (n) | $ | 1,010,000 | $798,220 | |
Galaxy Pipeline Assets Bidco Ltd., 2.94%, 9/30/2040 (n) | 1,719,457 | 1,353,468 | ||
Galaxy Pipeline Assets Bidco Ltd., 3.25%, 9/30/2040 (n) | 1,589,000 | 1,208,773 | ||
Peru LNG, 5.375%, 3/22/2030 | 1,254,000 | 1,006,623 | ||
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/2029 | 1,827,000 | 1,584,144 | ||
Plains All American Pipeline LP/PAA Finance Corp., 4.3%, 1/31/2043 | 1,810,000 | 1,326,470 | ||
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 3,055,000 | 2,867,798 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 1,798,000 | 1,684,264 | ||
Targa Resources Corp., 4.2%, 2/01/2033 | 2,118,000 | 1,844,009 | ||
Targa Resources Corp., 4.95%, 4/15/2052 | 2,512,000 | 2,009,307 | ||
$23,263,298 | ||||
Mortgage-Backed – 7.1% | ||||
Fannie Mae, 5%, 7/01/2023 - 3/01/2042 | $ | 2,688,380 | $2,707,302 | |
Fannie Mae, 4.5%, 5/01/2025 - 11/01/2042 | 1,382,675 | 1,372,585 | ||
Fannie Mae, 3%, 11/01/2028 - 9/01/2046 | 6,726,605 | 6,264,851 | ||
Fannie Mae, 2.5%, 11/01/2031 - 10/01/2046 | 575,436 | 505,783 | ||
Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | 479,955 | 45,446 | ||
Fannie Mae, 6.5%, 1/01/2033 - 10/01/2037 | 39,157 | 40,296 | ||
Fannie Mae, 3%, 2/25/2033 (i) | 640,190 | 57,838 | ||
Fannie Mae, 5.5%, 5/01/2033 - 5/01/2044 | 2,557,707 | 2,614,097 | ||
Fannie Mae, 6%, 8/01/2034 - 6/01/2038 | 134,529 | 137,917 | ||
Fannie Mae, 3.5%, 4/25/2040 - 12/01/2047 | 2,301,414 | 2,157,065 | ||
Fannie Mae, 4%, 9/01/2040 - 7/01/2043 | 3,659,598 | 3,516,727 | ||
Fannie Mae, 2%, 10/25/2040 - 5/25/2044 | 123,281 | 119,067 | ||
Fannie Mae, UMBS, 2.5%, 11/01/2036 - 6/01/2052 | 31,165,658 | 26,691,249 | ||
Fannie Mae, UMBS, 2%, 5/01/2037 - 9/01/2052 | 17,277,854 | 14,444,237 | ||
Fannie Mae, UMBS, 1.5%, 2/01/2042 - 7/01/2051 | 1,541,566 | 1,194,822 | ||
Fannie Mae, UMBS, 5.5%, 5/01/2044 - 11/01/2052 | 1,423,037 | 1,433,267 | ||
Fannie Mae, UMBS, 3.5%, 5/01/2049 - 7/01/2052 | 792,168 | 732,177 | ||
Fannie Mae, UMBS, 3%, 7/01/2050 - 11/01/2052 | 5,831,501 | 5,144,854 | ||
Fannie Mae, UMBS, 4%, 5/01/2052 - 9/01/2052 | 1,996,619 | 1,879,750 | ||
Fannie Mae, UMBS, 4.5%, 7/01/2052 - 9/01/2052 | 459,989 | 444,723 | ||
Fannie Mae, UMBS, 5%, 8/01/2052 | 423,225 | 416,308 | ||
Fannie Mae, UMBS, 6%, 2/01/2053 | 299,699 | 314,107 | ||
Freddie Mac, 5%, 4/01/2023 - 12/01/2044 | 1,426,203 | 1,438,898 | ||
Freddie Mac, 0.903%, 4/25/2024 (i) | 13,982,360 | 112,329 | ||
Freddie Mac, 0.597%, 7/25/2024 (i) | 20,256,383 | 121,145 | ||
Freddie Mac, 4.5%, 9/01/2024 - 5/01/2042 | 1,865,875 | 1,832,720 | ||
Freddie Mac, 4%, 7/01/2025 - 4/01/2044 | 1,266,027 | 1,217,064 | ||
Freddie Mac, 3.5%, 1/15/2027 - 10/25/2058 | 3,935,719 | 3,663,205 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Freddie Mac, 1.368%, 3/25/2027 (i) | $ | 2,188,000 | $106,406 | |
Freddie Mac, 0.573%, 7/25/2027 (i) | 44,591,502 | 933,095 | ||
Freddie Mac, 0.424%, 8/25/2027 (i) | 33,679,164 | 546,034 | ||
Freddie Mac, 0.293%, 1/25/2028 (i) | 60,603,603 | 807,543 | ||
Freddie Mac, 0.304%, 1/25/2028 (i) | 26,067,922 | 357,668 | ||
Freddie Mac, 0.135%, 2/25/2028 (i) | 77,912,390 | 547,896 | ||
Freddie Mac, 2.5%, 3/15/2028 | 86,463 | 85,759 | ||
Freddie Mac, 0.12%, 4/25/2028 (i) | 50,265,580 | 335,352 | ||
Freddie Mac, 3%, 6/15/2028 - 10/01/2046 | 3,718,881 | 3,384,991 | ||
Freddie Mac, 3.78%, 10/25/2028 | 1,350,000 | 1,292,351 | ||
Freddie Mac, 4.06%, 10/25/2028 | 2,474,000 | 2,401,917 | ||
Freddie Mac, 1.091%, 7/25/2029 (i) | 8,086,674 | 451,680 | ||
Freddie Mac, 1.143%, 8/25/2029 (i) | 14,171,676 | 831,904 | ||
Freddie Mac, 1.8%, 4/25/2030 (i) | 3,344,437 | 351,004 | ||
Freddie Mac, 1.868%, 4/25/2030 (i) | 8,166,315 | 866,537 | ||
Freddie Mac, 1.665%, 5/25/2030 (i) | 4,373,949 | 426,661 | ||
Freddie Mac, 1.797%, 5/25/2030 (i) | 9,928,903 | 1,042,029 | ||
Freddie Mac, 5.5%, 6/01/2030 - 9/01/2041 | 851,043 | 874,213 | ||
Freddie Mac, 1.341%, 6/25/2030 (i) | 3,957,955 | 317,538 | ||
Freddie Mac, 1.6%, 8/25/2030 (i) | 3,506,241 | 336,626 | ||
Freddie Mac, 1.17%, 9/25/2030 (i) | 2,193,674 | 156,925 | ||
Freddie Mac, 0.329%, 1/25/2031 (i) | 12,719,871 | 251,684 | ||
Freddie Mac, 0.781%, 1/25/2031 (i) | 4,987,462 | 253,154 | ||
Freddie Mac, 6%, 8/01/2034 - 10/01/2038 | 167,574 | 173,223 | ||
Freddie Mac, 5.5%, 2/15/2036 (i) | 155,832 | 25,044 | ||
Freddie Mac, 6.5%, 5/01/2037 | 6,010 | 6,314 | ||
Freddie Mac, 4.5%, 12/15/2040 (i) | 47,559 | 4,123 | ||
Freddie Mac, 2.92%, 6/25/2054 | 1,900,000 | 1,676,795 | ||
Freddie Mac, 2.58%, 6/25/2055 | 752,286 | 645,125 | ||
Freddie Mac, 3.25%, 11/25/2061 | 1,473,025 | 1,333,143 | ||
Freddie Mac, UMBS, 2%, 4/01/2037 - 6/01/2052 | 17,040,010 | 14,148,267 | ||
Freddie Mac, UMBS, 2.5%, 4/01/2037 - 3/01/2052 | 9,198,610 | 7,828,321 | ||
Freddie Mac, UMBS, 3%, 3/01/2047 - 7/01/2052 | 6,588,553 | 5,832,811 | ||
Freddie Mac, UMBS, 1.5%, 6/01/2051 - 11/01/2051 | 64,555 | 49,951 | ||
Freddie Mac, UMBS, 3.5%, 5/01/2052 - 9/01/2052 | 6,883,233 | 6,271,444 | ||
Freddie Mac, UMBS, 4%, 5/01/2052 - 6/01/2052 | 1,454,761 | 1,372,913 | ||
Freddie Mac, UMBS, 6%, 10/01/2052 | 93,436 | 94,628 | ||
Freddie Mac, UMBS, 5.5%, 12/01/2052 | 597,413 | 596,792 | ||
Freddie Mac, UMBS, 4.5%, 1/01/2053 | 322,326 | 310,721 | ||
Ginnie Mae, 5.5%, 5/15/2033 - 1/20/2042 | 134,580 | 139,051 | ||
Ginnie Mae, 4.5%, 7/20/2033 - 12/20/2052 | 11,161,794 | 10,875,772 | ||
Ginnie Mae, 5.679%, 8/20/2034 | 405,013 | 411,897 | ||
Ginnie Mae, 4%, 5/16/2039 - 10/20/2052 | 4,791,017 | 4,551,193 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Ginnie Mae, 3.5%, 10/20/2041 (i) | $ | 195,425 | $9,515 | |
Ginnie Mae, 3.5%, 12/15/2041 - 11/20/2052 | 6,155,826 | 5,723,871 | ||
Ginnie Mae, 2.5%, 6/20/2042 - 7/20/2052 | 9,803,117 | 8,483,956 | ||
Ginnie Mae, 4%, 8/16/2042 (i) | 285,110 | 41,846 | ||
Ginnie Mae, 3%, 4/20/2045 - 10/20/2052 | 7,908,708 | 7,106,230 | ||
Ginnie Mae, 5%, 5/20/2049 - 11/20/2052 | 3,988 | 3,989 | ||
Ginnie Mae, 2%, 1/20/2052 - 3/20/2052 | 2,201,127 | 1,845,453 | ||
Ginnie Mae, 0.586%, 2/16/2059 (i) | 1,027,371 | 35,053 | ||
Ginnie Mae, TBA, 5%, 3/15/2053 - 4/20/2053 | 825,000 | 815,036 | ||
Ginnie Mae, TBA, 5.5%, 3/15/2053 - 4/20/2053 | 2,200,000 | 2,206,965 | ||
Ginnie Mae, TBA, 6%, 3/15/2053 | 450,000 | 456,467 | ||
UMBS, TBA, 6%, 3/13/2053 | 1,525,000 | 1,542,625 | ||
UMBS, TBA, 2%, 3/25/2053 | 1,550,000 | 1,262,251 | ||
UMBS, TBA, 2.5%, 3/25/2053 | 750,000 | 635,244 | ||
UMBS, TBA, 5.5%, 3/25/2053 | 600,000 | 598,969 | ||
$184,693,794 | ||||
Municipals – 0.2% | ||||
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 2.746%, 6/01/2034 | $ | 855,000 | $694,245 | |
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 3%, 6/01/2046 | 730,000 | 670,070 | ||
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B-1”, 1.85%, 6/01/2031 | 155,000 | 153,690 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.682%, 7/01/2027 | 255,000 | 229,507 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 390,762 | 370,920 | ||
Philadelphia, PA, School District, Taxable, “A”, AGM, 5.995%, 9/01/2030 | 1,210,000 | 1,272,712 | ||
State of Florida, Taxable, “A”, 2.154%, 7/01/2030 | 936,000 | 766,291 | ||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.497%, 6/01/2024 | 210,000 | 199,526 | ||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.647%, 6/01/2025 | 175,000 | 160,340 | ||
$4,517,301 | ||||
Natural Gas - Distribution – 0.0% | ||||
NiSource, Inc., 5.65%, 2/01/2045 | $ | 295,000 | $289,406 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Natural Gas - Pipeline – 0.1% | ||||
APA Infrastructure Ltd., 5%, 3/23/2035 (n) | $ | 1,605,000 | $1,478,138 | |
Network & Telecom – 0.1% | ||||
AT&T, Inc., 2.75%, 6/01/2031 | $ | 775,000 | $640,235 | |
AT&T, Inc., 3.55%, 9/15/2055 | 633,000 | 428,796 | ||
Total Play Telecomunicaciones S.A. de C.V., 6.375%, 9/20/2028 (n) | 1,574,000 | 1,223,628 | ||
$2,292,659 | ||||
Oil Services – 0.0% | ||||
Acu Petroleo Luxembourg S.à r.l., 7.5%, 1/13/2032 (n) | $ | 625,150 | $563,573 | |
MV24 Capital B.V., 6.748%, 6/01/2034 | 424,824 | 381,332 | ||
$944,905 | ||||
Oils – 0.0% | ||||
Puma International Financing S.A., 5%, 1/24/2026 | $ | 1,210,000 | $1,101,099 | |
Other Banks & Diversified Financials – 0.6% | ||||
American Express Co., 4.989% to 5/26/2032, FLR (SOFR - 1 day + 2.255%) to 5/26/2033 | $ | 2,417,000 | $2,316,494 | |
Banco Continental S.A.E.C.A., 2.75%, 12/10/2025 (n) | 1,239,000 | 1,096,515 | ||
Banco GNB Sudameris S.A., 7.5% to 4/16/2026, FLR (CMT - 5yr. + 6.66%) to 4/16/2031 (n) | 1,456,000 | 1,214,807 | ||
Banco Industrial S.A., 4.875% to 1/29/2026, FLR (CMT - 5yr. + 4.442%) to 1/29/2031 (n) | 1,050,000 | 980,497 | ||
Bangkok Bank Public Co. Ltd., 3.466% to 9/23/2031, FLR (CMT - 5yr. + 2.15%) to 9/23/2036 (n) | 2,084,000 | 1,684,584 | ||
Bangkok Bank Public Co. Ltd. (Hong Kong), 3.733% to 9/25/2029, FLR (CMT - 5yr. + 1.9%) to 9/25/2034 | 1,004,000 | 848,378 | ||
BSF Finance, 5.5%, 11/23/2027 | 800,000 | 811,000 | ||
Mizrahi Tefahot Bank Ltd., 3.077% to 4/07/2026, FLR (CMT - 5yr. + 2.25%) to 4/07/2031 (n) | 1,218,000 | 1,059,355 | ||
United Overseas Bank Ltd., 2% to 10/14/2026, FLR (CMT - 5yr. + 1.23%) to 10/14/2031 (n) | 1,677,000 | 1,469,503 | ||
United Overseas Bank Ltd., 3.863% to 10/07/2027, FLR (CMT - 5yr. + 1.45%) to 10/07/2032 (n) | 934,000 | 873,473 | ||
Uzbek Industrial and Construction Bank, 5.75%, 12/02/2024 | 3,783,000 | 3,593,850 | ||
$15,948,456 | ||||
Pharmaceuticals – 0.1% | ||||
Amgen, Inc., 5.15%, 3/02/2028 | $ | 638,000 | $635,476 | |
Amgen, Inc., 5.25%, 3/02/2030 | 979,000 | 974,225 | ||
AstraZeneca PLC, 1.375%, 8/06/2030 | 913,000 | 720,820 | ||
Merck & Co., Inc., 2.75%, 12/10/2051 | 826,000 | 552,346 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Pharmaceuticals – continued | ||||
Pfizer, Inc., 2.55%, 5/28/2040 | $ | 826,000 | $596,939 | |
$3,479,806 | ||||
Pollution Control – 0.1% | ||||
Waste Connections, Inc., 4.2%, 1/15/2033 | $ | 1,344,000 | $1,242,021 | |
Waste Management, Inc., 4.625%, 2/15/2033 | 1,806,000 | 1,737,961 | ||
$2,979,982 | ||||
Railroad & Shipping – 0.0% | ||||
Canadian Pacific Railway Co., 3%, 12/02/2041 | $ | 323,000 | $244,682 | |
Canadian Pacific Railway Co., 3.1%, 12/02/2051 | 480,000 | 327,579 | ||
$572,261 | ||||
Real Estate - Apartment – 0.0% | ||||
American Homes 4 Rent LP, REIT, 2.375%, 7/15/2031 | $ | 1,118,000 | $878,963 | |
Real Estate - Office – 0.1% | ||||
Corporate Office Property LP, REIT, 2%, 1/15/2029 | $ | 2,124,000 | $1,635,021 | |
Corporate Office Property LP, REIT, 2.75%, 4/15/2031 | 1,544,000 | 1,162,509 | ||
$2,797,530 | ||||
Real Estate - Other – 0.1% | ||||
EPR Properties, REIT, 3.6%, 11/15/2031 | $ | 741,000 | $557,635 | |
Lexington Realty Trust Co., 2.7%, 9/15/2030 | 1,082,000 | 865,690 | ||
Lexington Realty Trust Co., 2.375%, 10/01/2031 | 474,000 | 359,429 | ||
W.P. Carey, Inc., REIT, 2.45%, 2/01/2032 | 386,000 | 305,014 | ||
$2,087,768 | ||||
Real Estate - Retail – 0.1% | ||||
STORE Capital Corp., REIT, 2.75%, 11/18/2030 | $ | 2,605,000 | $1,967,488 | |
Retailers – 0.3% | ||||
Alimentation Couche-Tard, Inc., 3.8%, 1/25/2050 (n) | $ | 936,000 | $670,227 | |
Amazon.com, Inc., 3.6%, 4/13/2032 | 3,809,000 | 3,487,006 | ||
AutoZone, Inc., 4.75%, 8/01/2032 | 2,321,000 | 2,214,823 | ||
Grupo Axo S.A.P.I. de C.V., 5.75%, 6/08/2026 (n) | 1,154,000 | 1,011,654 | ||
Home Depot, Inc., 3.9%, 6/15/2047 | 1,785,000 | 1,479,090 | ||
$8,862,800 | ||||
Specialty Chemicals – 0.1% | ||||
Braskem Idesa S.A.P.I., 6.99%, 2/20/2032 | $ | 903,000 | $628,669 | |
International Flavors & Fragrances, Inc., 1.23%, 10/01/2025 (n) | 414,000 | 366,675 | ||
International Flavors & Fragrances, Inc., 1.832%, 10/15/2027 (n) | 417,000 | 349,119 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Specialty Chemicals – continued | ||||
International Flavors & Fragrances, Inc., 2.3%, 11/01/2030 (n) | $ | 1,606,000 | $1,240,003 | |
International Flavors & Fragrances, Inc., 3.268%, 11/15/2040 (n) | 1,208,000 | 828,369 | ||
$3,412,835 | ||||
Specialty Stores – 0.1% | ||||
DICK'S Sporting Goods, 3.15%, 1/15/2032 | $ | 910,000 | $718,750 | |
DICK'S Sporting Goods, 4.1%, 1/15/2052 | 2,272,000 | 1,508,409 | ||
$2,227,159 | ||||
Telecommunications - Wireless – 0.6% | ||||
Crown Castle, Inc., REIT, 4.45%, 2/15/2026 | $ | 1,267,000 | $1,231,919 | |
Crown Castle, Inc., REIT, 3.7%, 6/15/2026 | 2,254,000 | 2,133,712 | ||
Millicom International Cellular S.A., 4.5%, 4/27/2031 (n) | 737,000 | 595,127 | ||
Rogers Communications, Inc., 3.8%, 3/15/2032 (n) | 764,000 | 667,338 | ||
Rogers Communications, Inc., 4.5%, 3/15/2042 (n) | 2,401,000 | 1,968,345 | ||
Rogers Communications, Inc., 3.7%, 11/15/2049 | 1,709,000 | 1,204,802 | ||
Sitios Latinoamerica, S.A.B. de C.V., 5.375%, 4/04/2032 | 879,000 | 777,475 | ||
Telefonica Celular del Paraguay S.A., 5.875%, 4/15/2027 | 1,203,000 | 1,087,109 | ||
T-Mobile USA, Inc., 3.5%, 4/15/2025 | 2,182,000 | 2,090,054 | ||
VEON Holdings B.V., 4%, 4/09/2025 (n) | 1,444,000 | 1,198,520 | ||
Vodafone Group PLC, 5.625%, 2/10/2053 | 1,305,000 | 1,253,872 | ||
$14,208,273 | ||||
Tobacco – 0.1% | ||||
Philip Morris International, Inc., 5.625%, 11/17/2029 | $ | 605,000 | $613,031 | |
Philip Morris International, Inc., 5.125%, 2/15/2030 | 1,467,000 | 1,435,999 | ||
$2,049,030 | ||||
Transportation – 0.0% | ||||
Hidrovias International Finance S.à r.l., 4.95%, 2/08/2031 | $ | 1,410,000 | $994,871 | |
Transportation - Services – 0.3% | ||||
Adani Ports & Special Economic Zone Ltd., 5%, 8/02/2041 (n) | $ | 1,694,000 | $1,079,925 | |
Cliffton Ltd., 6.25%, 10/25/2025 (n) | 2,561,000 | 2,439,737 | ||
ERAC USA Finance LLC, 3.3%, 12/01/2026 | 2,463,000 | 2,271,472 | ||
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/2027 | 420,000 | 364,560 | ||
ICTSI Treasury B.V., 3.5%, 11/16/2031 | 1,309,000 | 1,088,628 | ||
Royal Capital B.V., 5% to 5/05/2026, FLR (CMT - 5yr. + 7.396%) to 7/31/2070 | 914,000 | 880,200 | ||
$8,124,522 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Government Agencies and Equivalents – 0.0% | ||||
Small Business Administration, 5.16%, 2/01/2028 | $ | 14,560 | $14,027 | |
Small Business Administration, 2.21%, 2/01/2033 | 87,239 | 78,241 | ||
Small Business Administration, 2.22%, 3/01/2033 | 143,424 | 129,188 | ||
Small Business Administration, 3.15%, 7/01/2033 | 178,087 | 166,774 | ||
Small Business Administration, 3.16%, 8/01/2033 | 213,829 | 200,988 | ||
Small Business Administration, 3.62%, 9/01/2033 | 158,712 | 151,432 | ||
$740,650 | ||||
U.S. Treasury Obligations – 5.3% | ||||
U.S. Treasury Bonds, 6.375%, 8/15/2027 | $ | 106,000 | $114,894 | |
U.S. Treasury Bonds, 5.25%, 2/15/2029 | 2,965,000 | 3,132,592 | ||
U.S. Treasury Bonds, 1.125%, 8/15/2040 | 4,402,000 | 2,772,400 | ||
U.S. Treasury Bonds, 1.375%, 11/15/2040 | 5,929,000 | 3,895,770 | ||
U.S. Treasury Bonds, 2.375%, 2/15/2042 | 6,879,000 | 5,294,949 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2043 | 6,853,400 | 5,669,582 | ||
U.S. Treasury Bonds, 2.5%, 2/15/2046 | 3,581,000 | 2,721,420 | ||
U.S. Treasury Bonds, 2.875%, 11/15/2046 (f) | 7,328,000 | 5,970,889 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2052 | 2,359,000 | 1,931,708 | ||
U.S. Treasury Notes, 0.125%, 7/15/2023 | 2,180,000 | 2,140,147 | ||
U.S. Treasury Notes, 2.5%, 8/15/2023 | 7,225,000 | 7,142,025 | ||
U.S. Treasury Notes, 0.375%, 10/31/2023 | 11,653,300 | 11,295,507 | ||
U.S. Treasury Notes, 0.875%, 1/31/2024 | 7,753,600 | 7,458,903 | ||
U.S. Treasury Notes, 2.75%, 2/15/2024 | 7,855,000 | 7,678,876 | ||
U.S. Treasury Notes, 2.5%, 5/15/2024 | 4,680,000 | 4,536,127 | ||
U.S. Treasury Notes, 3%, 6/30/2024 | 12,564,000 | 12,224,379 | ||
U.S. Treasury Notes, 4.25%, 12/31/2024 | 2,160,000 | 2,135,784 | ||
U.S. Treasury Notes, 2.625%, 4/15/2025 | 6,492,000 | 6,212,540 | ||
U.S. Treasury Notes, 0.875%, 9/30/2026 | 5,600,000 | 4,953,813 | ||
U.S. Treasury Notes, 2.25%, 8/15/2027 | 8,936,000 | 8,214,837 | ||
U.S. Treasury Notes, 2.375%, 5/15/2029 | 8,149,500 | 7,374,661 | ||
U.S. Treasury Notes, 1.625%, 5/15/2031 | 4,940,000 | 4,153,074 | ||
U.S. Treasury Notes, 1.875%, 2/15/2032 | 7,500,000 | 6,353,613 | ||
U.S. Treasury Notes, 2.75%, 8/15/2032 | 12,028,000 | 10,930,445 | ||
U.S. Treasury Notes, 3.25%, 5/15/2042 | 1,714,000 | 1,514,948 | ||
$135,823,883 | ||||
Utilities - Electric Power – 2.3% | ||||
Adani Green Energy (UP) Ltd./Prayatna Developers Private Ltd., 6.25%, 12/10/2024 (n) | $ | 1,238,000 | $1,166,815 | |
Adani Transmission Ltd., 4.25%, 5/21/2036 (n) | 2,640,625 | 1,840,783 | ||
AES Gener S.A., 7.125% to 7/06/2024, FLR (Swap Rate - 5yr. + 4.644%) to 7/06/2029, FLR (Swap Rate - 5yr. + 4.894%) to 7/06/2044, FLR (Swap Rate - 5yr. + 5.644%) to 3/26/2079 | 1,018,000 | 969,677 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Utilities - Electric Power – continued | ||||
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 | $1,755,725 | |
AES Panama Generation Holdings SRL, 4.375%, 5/31/2030 (n) | 675,000 | 589,950 | ||
Alabama Power Co., 3.45%, 10/01/2049 | 2,366,000 | 1,727,881 | ||
Alfa Desarrollo S.p.A., 4.55%, 9/27/2051 (n) | 1,027,242 | 752,968 | ||
American Electric Power Co., Inc., 2.3%, 3/01/2030 | 1,879,000 | 1,527,598 | ||
American Electric Power Co., Inc., 5.625%, 3/01/2033 | 300,000 | 299,835 | ||
American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | 305,000 | 249,934 | ||
Azure Power Energy Ltd., 3.575%, 8/19/2026 (n) | 1,054,327 | 801,289 | ||
CenterPoint Energy, Inc., 2.65%, 6/01/2031 | 936,000 | 767,469 | ||
Clean Renewable Power (Mauritius) Pte. Ltd., 4.25%, 3/25/2027 (n) | 1,475,475 | 1,266,954 | ||
Duke Energy Carolinas LLC, 2.85%, 3/15/2032 | 3,193,000 | 2,675,715 | ||
Duke Energy Corp., 3.3%, 6/15/2041 | 2,356,000 | 1,708,924 | ||
Electricidad Firme de Mexico, 4.9%, 11/20/2026 (n) | 967,000 | 867,999 | ||
Empresa Generadora de Electricidad Haina S.A., 5.625%, 11/08/2028 (n) | 1,095,000 | 947,284 | ||
Enel Finance International N.V., 4.625%, 6/15/2027 (n) | 1,080,000 | 1,036,749 | ||
Enel Finance International N.V., 2.25%, 7/12/2031 (n) | 662,000 | 498,907 | ||
Enel Finance International N.V., 7.75%, 10/14/2052 (n) | 1,023,000 | 1,155,791 | ||
Energuate Trust, 5.875%, 5/03/2027 | 1,613,000 | 1,501,573 | ||
EnfraGen Energia Sur S.A., 5.375%, 12/30/2030 (n) | 1,426,000 | 911,656 | ||
Evergy, Inc., 2.9%, 9/15/2029 | 2,162,000 | 1,850,433 | ||
FirstEnergy Corp., 2.65%, 3/01/2030 | 1,863,000 | 1,544,911 | ||
Florida Power & Light Co., 2.85%, 4/01/2025 | 3,623,000 | 3,468,478 | ||
Florida Power & Light Co., 3.95%, 3/01/2048 | 1,629,000 | 1,332,091 | ||
Georgia Power Co., 4.7%, 5/15/2032 | 2,379,000 | 2,262,190 | ||
Georgia Power Co., 5.125%, 5/15/2052 | 1,101,000 | 1,027,876 | ||
Greenko Dutch B.V. (Republic of India), 3.85%, 3/29/2026 (n) | 1,139,315 | 1,003,053 | ||
Greenko Wind Projects (Mauritius) Ltd., 5.5%, 4/06/2025 (n) | 1,322,000 | 1,242,474 | ||
Investment Energy Resources Ltd., 6.25%, 4/26/2029 (n) | 1,219,000 | 1,090,315 | ||
Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 3,045,000 | 2,486,295 | ||
Mercury Chile Holdco LLC, 6.5%, 1/24/2027 (n) | 1,039,000 | 992,245 | ||
NextEra Energy Capital Holdings, Inc., 6.051%, 3/01/2025 | 848,000 | 853,164 | ||
NextEra Energy Capital Holdings, Inc., 2.44%, 1/15/2032 | 1,197,000 | 947,988 | ||
NextEra Energy Capital Holdings, Inc., 3.8% to 3/15/2027, FLR (CMT - 5yr. + 2.547%) to 3/15/2082 | 1,583,000 | 1,352,777 | ||
Pacific Gas & Electric Co., 3.25%, 2/16/2024 | 654,000 | 639,477 | ||
Pacific Gas & Electric Co., 2.5%, 2/01/2031 | 1,645,000 | 1,282,004 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Utilities - Electric Power – continued | ||||
ReNew Wind Energy AP2/ReNew Power Private Ltd., 4.5%, 7/14/2028 (n) | $ | 1,249,000 | $1,033,391 | |
Southern California Edison Co., 4.5%, 9/01/2040 | 454,000 | 389,327 | ||
Southern California Edison Co., 3.65%, 2/01/2050 | 1,318,000 | 968,221 | ||
Star Energy Geothermal (Salak-Darajat) B.V., 4.85%, 10/14/2038 (n) | 1,119,000 | 959,878 | ||
TermoCandelaria Power Ltd., 7.875%, 1/30/2029 (n) | 1,043,150 | 933,619 | ||
Transelec S.A., 3.875%, 1/12/2029 (n) | 1,886,000 | 1,712,317 | ||
Virginia Electric & Power Co., 2.875%, 7/15/2029 | 2,899,000 | 2,538,314 | ||
Xcel Energy, Inc., 4.6%, 6/01/2032 | 1,907,000 | 1,808,292 | ||
$58,740,606 | ||||
Utilities - Water – 0.1% | ||||
Aegea Finance S.à r.l., 6.75%, 5/20/2029 (n) | $ | 1,634,000 | $1,536,503 | |
Total Bonds (Identified Cost, $1,200,189,488) | $1,068,945,790 | |||
Common Stocks – 29.4% | ||||
Aerospace & Defense – 0.5% | ||||
General Dynamics Corp. | 59,124 | $13,474,951 | ||
Alcoholic Beverages – 0.1% | ||||
Kirin Holdings Co. Ltd. | 260,400 | $3,899,641 | ||
Apparel Manufacturers – 0.1% | ||||
Compagnie Financiere Richemont S.A. | 17,548 | $2,641,006 | ||
Automotive – 0.3% | ||||
Magna International, Inc. | 86,224 | $4,805,669 | ||
Stellantis N.V. | 169,566 | 2,968,959 | ||
$7,774,628 | ||||
Biotechnology – 0.2% | ||||
Biogen, Inc. (a) | 4,642 | $1,252,690 | ||
Gilead Sciences, Inc. | 42,406 | 3,414,955 | ||
$4,667,645 | ||||
Broadcasting – 0.3% | ||||
Omnicom Group, Inc. | 93,596 | $8,476,990 | ||
Business Services – 0.1% | ||||
Amdocs Ltd. | 40,946 | $3,751,063 | ||
Cable TV – 0.3% | ||||
Comcast Corp., “A” | 219,149 | $8,145,768 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Chemicals – 0.0% | ||||
Nutrien Ltd. | 15,734 | $1,225,972 | ||
Computer Software – 0.3% | ||||
Microsoft Corp. | 27,448 | $6,846,080 | ||
Computer Software - Systems – 0.7% | ||||
Hitachi Ltd. | 67,700 | $3,425,897 | ||
Hon Hai Precision Industry Co. Ltd. | 1,464,000 | 4,852,853 | ||
Lenovo Group Ltd. | 2,860,000 | 2,565,088 | ||
Samsung Electronics Co. Ltd. | 77,564 | 3,552,147 | ||
Seagate Technology Holdings PLC | 41,706 | 2,692,539 | ||
$17,088,524 | ||||
Construction – 1.7% | ||||
American Homes 4 Rent, “A”, REIT | 302,750 | $9,391,305 | ||
Anhui Conch Cement Co. Ltd. | 660,500 | 2,423,421 | ||
AvalonBay Communities, Inc., REIT | 90,803 | 15,665,333 | ||
Essex Property Trust, Inc., REIT | 69,111 | 15,761,455 | ||
ICA Tenedora S.A. de C.V. (a)(u) | 560,019 | 520,336 | ||
$43,761,850 | ||||
Consumer Products – 0.8% | ||||
Colgate-Palmolive Co. | 111,832 | $8,197,286 | ||
Kimberly-Clark Corp. | 91,168 | 11,400,558 | ||
$19,597,844 | ||||
Electronics – 0.7% | ||||
Novatek Microelectronics Corp. | 179,000 | $2,376,418 | ||
Texas Instruments, Inc. | 95,117 | 16,307,810 | ||
$18,684,228 | ||||
Energy - Independent – 0.2% | ||||
Coterra Energy, Inc. | 116,003 | $2,896,595 | ||
Valero Energy Corp. | 20,850 | 2,746,571 | ||
$5,643,166 | ||||
Energy - Integrated – 1.1% | ||||
China Petroleum & Chemical Corp. | 15,606,000 | $7,972,592 | ||
Eni S.p.A. | 416,711 | 5,891,134 | ||
Exxon Mobil Corp. | 50,479 | 5,548,147 | ||
LUKOIL PJSC (a)(u) | 17,902 | 0 | ||
Suncor Energy, Inc. | 47,375 | 1,592,245 | ||
TotalEnergies SE | 114,567 | 7,097,367 | ||
$28,101,485 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Food & Beverages – 1.1% | ||||
Archer Daniels Midland Co. | 56,003 | $4,457,839 | ||
Coca-Cola FEMSA S.A.B. de C.V. | 26,888 | 1,936,205 | ||
General Mills, Inc. | 179,421 | 14,265,763 | ||
J.M. Smucker Co. | 45,682 | 6,755,911 | ||
$27,415,718 | ||||
Food & Drug Stores – 0.5% | ||||
Albertsons Cos., Inc., “A” | 125,226 | $2,489,493 | ||
BIM Birlesik Magazalar A.S. | 661,520 | 4,774,433 | ||
Tesco PLC | 1,827,240 | 5,604,634 | ||
$12,868,560 | ||||
Forest & Paper Products – 0.9% | ||||
Rayonier, Inc., REIT | 304,489 | $10,224,740 | ||
Weyerhaeuser Co., REIT | 397,163 | 12,411,344 | ||
$22,636,084 | ||||
Health Maintenance Organizations – 0.1% | ||||
Cigna Group | 6,890 | $2,012,569 | ||
Insurance – 1.4% | ||||
Equitable Holdings, Inc. | 239,352 | $7,520,440 | ||
Hartford Financial Services Group, Inc. | 41,226 | 3,227,171 | ||
Manulife Financial Corp. (l) | 600,687 | 11,877,270 | ||
MetLife, Inc. | 84,553 | 6,064,987 | ||
Samsung Fire & Marine Insurance Co. Ltd. | 26,456 | 4,288,541 | ||
Zurich Insurance Group AG | 9,604 | 4,551,920 | ||
$37,530,329 | ||||
Leisure & Toys – 0.1% | ||||
Nintendo Co. Ltd. | 44,700 | $1,682,221 | ||
Machinery & Tools – 0.4% | ||||
GEA Group AG | 40,003 | $1,760,991 | ||
Timken Co. | 15,134 | 1,293,200 | ||
Volvo Group | 357,879 | 7,172,623 | ||
$10,226,814 | ||||
Major Banks – 1.3% | ||||
BNP Paribas | 165,326 | $11,567,340 | ||
DBS Group Holdings Ltd. | 571,400 | 14,479,393 | ||
Erste Group Bank AG | 48,581 | 1,910,462 | ||
Regions Financial Corp. | 196,077 | 4,572,516 | ||
State Street Corp. | 24,984 | 2,215,581 | ||
$34,745,292 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Medical & Health Technology & Services – 0.7% | ||||
Encompass Health Corp. | 204,861 | $11,578,744 | ||
McKesson Corp. | 21,598 | 7,555,196 | ||
$19,133,940 | ||||
Metals & Mining – 1.0% | ||||
Fortescue Metals Group Ltd. | 48,174 | $693,708 | ||
Glencore PLC | 367,142 | 2,187,549 | ||
Rio Tinto PLC | 226,719 | 15,577,135 | ||
United States Steel Corp. | 76,274 | 2,336,273 | ||
Vale S.A. | 354,600 | 5,778,772 | ||
$26,573,437 | ||||
Natural Gas - Pipeline – 0.0% | ||||
Plains GP Holdings LP | 91,467 | $1,272,306 | ||
Network & Telecom – 1.1% | ||||
Equinix, Inc., REIT | 42,056 | $28,945,883 | ||
Other Banks & Diversified Financials – 0.3% | ||||
China Construction Bank Corp. | 3,939,000 | $2,408,745 | ||
KB Financial Group, Inc. | 31,508 | 1,221,508 | ||
Sberbank of Russia PJSC (a)(u) | 1,738,404 | 0 | ||
SLM Corp. | 201,920 | 2,903,609 | ||
$6,533,862 | ||||
Pharmaceuticals – 2.8% | ||||
Bayer AG | 105,643 | $6,289,766 | ||
Johnson & Johnson | 84,313 | 12,921,810 | ||
Merck & Co., Inc. | 212,528 | 22,578,975 | ||
Novartis AG | 31,122 | 2,619,687 | ||
Organon & Co. | 269,146 | 6,591,386 | ||
Pfizer, Inc. | 96,932 | 3,932,531 | ||
Roche Holding AG | 50,514 | 14,577,380 | ||
Sanofi | 34,365 | 3,230,961 | ||
$72,742,496 | ||||
Printing & Publishing – 0.1% | ||||
Lamar Advertising Co., REIT | 15,252 | $1,594,749 | ||
Railroad & Shipping – 0.1% | ||||
A.P. Moller-Maersk A/S | 439 | $1,023,723 | ||
Orient Overseas International Ltd. | 44,000 | 706,296 | ||
$1,730,019 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Real Estate – 7.1% | ||||
Alexandria Real Estate Equities, Inc., REIT | 87,600 | $13,120,728 | ||
Brixmor Property Group, Inc., REIT | 631,050 | 14,286,972 | ||
Douglas Emmett, Inc., REIT | 159,516 | 2,253,961 | ||
Equity Lifestyle Properties, Inc., REIT | 237,766 | 16,289,349 | ||
Extra Space Storage, Inc., REIT | 115,599 | 19,033,375 | ||
Farmland Partners, Inc., REIT | 184,951 | 1,982,675 | ||
National Retail Properties, Inc., REIT | 350,070 | 15,865,172 | ||
Phillips Edison & Co., REIT | 365,990 | 12,476,599 | ||
Prologis, Inc., REIT | 262,579 | 32,402,249 | ||
Simon Property Group, Inc., REIT | 224,646 | 27,427,030 | ||
Sun Communities, Inc., REIT | 108,533 | 15,535,414 | ||
Urban Edge Properties, REIT | 755,035 | 11,627,539 | ||
W.P. Carey, Inc., REIT | 30,750 | 2,495,670 | ||
$184,796,733 | ||||
Restaurants – 0.2% | ||||
Darden Restaurants, Inc. | 11,451 | $1,637,378 | ||
Sodexo | 21,185 | 1,966,023 | ||
Texas Roadhouse, Inc. | 19,218 | 1,951,396 | ||
$5,554,797 | ||||
Specialty Chemicals – 0.1% | ||||
Chemours Co. | 43,331 | $1,481,054 | ||
Telecommunications - Wireless – 1.2% | ||||
American Tower Corp., REIT | 23,521 | $4,657,393 | ||
KDDI Corp. | 415,800 | 12,172,735 | ||
PT Telekom Indonesia | 6,853,600 | 1,743,736 | ||
SBA Communications Corp., REIT | 44,640 | 11,577,384 | ||
$30,151,248 | ||||
Telephone Services – 0.2% | ||||
France Telecom | 265,033 | $3,025,272 | ||
Hellenic Telecommunications Organization S.A. | 228,432 | 3,508,214 | ||
$6,533,486 | ||||
Tobacco – 0.6% | ||||
British American Tobacco PLC | 208,033 | $7,866,059 | ||
Japan Tobacco, Inc. | 205,900 | 4,188,168 | ||
Philip Morris International, Inc. | 25,454 | 2,476,674 | ||
$14,530,901 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Utilities - Electric Power – 0.7% | ||||
American Electric Power Co., Inc. | 31,434 | $2,765,249 | ||
E.ON SE | 450,170 | 4,925,718 | ||
Edison International | 85,703 | 5,674,396 | ||
Iberdrola S.A. | 243,901 | 2,802,889 | ||
Vistra Corp. | 50,557 | 1,111,748 | ||
$17,280,000 | ||||
Total Common Stocks (Identified Cost, $622,646,359) | $761,753,339 | |||
Preferred Stocks – 0.2% | ||||
Computer Software - Systems – 0.0% | ||||
Samsung Electronics Co. Ltd. | 37,246 | $1,503,069 | ||
Metals & Mining – 0.2% | ||||
Gerdau S.A. | 822,800 | $4,499,473 | ||
Total Preferred Stocks (Identified Cost, $5,616,244) | $6,002,542 | |||
Convertible Preferred Stocks – 0.1% | ||||
Medical Equipment – 0.1% | ||||
Boston Scientific Corp., 5.5% (Identified Cost, $3,372,789) | 30,481 | $3,467,823 | ||
Investment Companies (h) – 28.7% | ||||
Mutual Funds – 22.8% | ||||
MFS High Yield Pooled Portfolio (v) | 74,857,752 | $591,376,239 | ||
Money Market Funds – 5.9% | ||||
MFS Institutional Money Market Portfolio, 4.55% (v) | 151,917,676 | $151,917,677 | ||
Total Investment Companies (Identified Cost, $776,373,089) | $743,293,916 |
Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional Amount | Par Amount/ Number of Contracts | Value ($) |
Purchased Options – 0.0% | |||||
Market Index Securities – 0.0% | |||||
Markit CDX North America Investment Grade Series 39 Index Credit Default Swap-Fund pays 1%, Fund receives notional amount upon a defined credit event of an Index constituent – April 2023 @ 0.875% | Put | Merrill Lynch International | $ 97,062,086 | $ 95,900,000 | $126,135 |
S&P 500 Index – June 2023 @ $3,000 | Put | Goldman Sachs International | 119,090,700 | 300 | 324,000 |
Total Purchased Options (Premiums Paid, $4,148,987) | $450,135 |
Issuer | Shares/Par | |||
Collateral for Securities Loaned – 0.3% | ||||
JPMorgan U.S. Government Money Market Fund - Class IM Shares, 4.41% (j) (Identified Cost, $6,187,066) | 6,187,066 | $6,187,066 | ||
Written Options (see table below) – (0.0)% | ||||
(Premiums Received, $95,900) | $(36,598) | |||
Other Assets, Less Liabilities – (0.0)% | (723,689) | |||
Net Assets – 100.0% | $2,589,340,324 |
(a) | Non-income producing security. |
(d) | In default. |
(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 $743,293,916 and $1,846,806,695, 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 $276,605,092, representing 10.7% of net assets. |
(p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. |
(u) | The security was valued using significant unobservable inputs and is considered level 3 under the fair value hierarchy. For further information about the fund’s level 3 holdings, please see Note 2 in the Notes to Financial Statements. |
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
(z) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities: |
Restricted Securities | Acquisition Date | Cost | Value |
NAK Naftogaz Ukraine via Kondor Finance PLC, 7.625%, 11/08/2026 | 11/04/2019-6/03/2020 | $3,064,674 | $591,090 |
% of Net assets | 0.0% |
The following abbreviations are used in this report and are defined: | |
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. |
LIBOR | London Interbank Offered Rate |
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) |
EUR | Euro |
JPY | Japanese Yen |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
PHP | Philippine Peso |
THB | Thai Baht |
UYU | Uruguayan Peso |
Written Options | |||||||
Underlying | Put/ Call | Counterparty | Par Amount/ Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value |
Liability Derivatives | |||||||
Market Index Securities | |||||||
Markit CDX North America Investment Grade Series 39 Index Credit Default Swap-Fund pays 1%, Fund receives notional amount upon a defined credit event of an Index constituent | Put | Merrill Lynch International | $(95,900,000) | $(97,062,086) | 1.10% | April – 2023 | $(36,598) |
Forward Foreign Currency Exchange Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives | ||||||
CLP | 978,429,400 | USD | 1,099,606 | Barclays Bank PLC | 3/06/2023 | $82,054 |
CLP | 1,832,463,439 | USD | 1,956,670 | Morgan Stanley Capital Services, Inc. | 3/06/2023 | 256,416 |
MXN | 14,163,204 | USD | 747,268 | UBS AG | 4/21/2023 | 19,326 |
USD | 660,370 | BRL | 3,403,285 | Goldman Sachs International | 4/04/2023 | 14,613 |
USD | 1,106,226 | CLP | 914,295,839 | Goldman Sachs International | 3/06/2023 | 2,021 |
USD | 11,591,641 | EUR | 10,676,032 | JPMorgan Chase Bank N.A. | 4/21/2023 | 265,491 |
USD | 57,503 | EUR | 52,538 | State Street Bank Corp. | 4/21/2023 | 1,766 |
USD | 866,103 | THB | 28,259,534 | JPMorgan Chase Bank N.A. | 3/07/2023 | 63,507 |
$705,194 | ||||||
Liability Derivatives | ||||||
BRL | 3,458,000 | USD | 660,971 | Banco Santander S.A. | 4/04/2023 | $(4,831) |
CLP | 914,295,839 | USD | 1,093,067 | Goldman Sachs International | 6/02/2023 | (1,939) |
CNH | 7,168,626 | USD | 1,064,716 | BNP Paribas S.A. | 4/21/2023 | (29,744) |
EUR | 523 | USD | 555 | Brown Brothers Harriman | 4/21/2023 | (1) |
EUR | 52,538 | USD | 57,043 | JPMorgan Chase Bank N.A. | 4/21/2023 | (1,306) |
EUR | 259,310 | USD | 283,216 | UBS AG | 4/21/2023 | (8,116) |
JPY | 215,547,497 | USD | 1,708,741 | Merrill Lynch International | 4/21/2023 | (114,127) |
MYR | 10,700,080 | USD | 2,453,697 | Barclays Bank PLC | 6/20/2023 | (50,811) |
PHP | 55,695,229 | USD | 1,007,876 | Barclays Bank PLC | 5/16/2023 | (4,810) |
THB | 96,513,744 | USD | 2,933,344 | JPMorgan Chase Bank N.A. | 3/07/2023 | (192,268) |
USD | 1,989,110 | CLP | 1,896,597,000 | Barclays Bank PLC | 3/06/2023 | (301,430) |
Forward Foreign Currency Exchange Contracts - continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Liability Derivatives - continued | ||||||
USD | 1,626,577 | MXN | 30,920,092 | HSBC Bank | 4/21/2023 | $(46,995) |
$(756,378) |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Bond | Long | USD | 125 | $15,652,344 | June – 2023 | $(2,986) |
U.S. Treasury Note 10 yr | Long | USD | 527 | 58,842,844 | June – 2023 | (68,363) |
U.S. Treasury Note 2 yr | Long | USD | 193 | 39,319,226 | June – 2023 | (119,224) |
U.S. Treasury Note 5 yr | Long | USD | 329 | 35,220,992 | June – 2023 | (99,283) |
U.S. Treasury Ultra Bond | Long | USD | 178 | 24,041,125 | June – 2023 | (110,722) |
U.S. Treasury Ultra Note 10 yr | Short | USD | 448 | 52,500,000 | June – 2023 | (40,456) |
$(441,034) |
Assets | |
Investments in unaffiliated issuers, at value, including $5,951,891 of securities on loan (identified cost, $1,842,160,933) | $1,846,806,695 |
Investments in affiliated issuers, at value (identified cost, $776,373,089) | 743,293,916 |
Cash | 687,833 |
Restricted cash for | |
Forward foreign currency exchange contracts | 110,000 |
Receivables for | |
Forward foreign currency exchange contracts | 705,194 |
Investments sold | 14,815,418 |
TBA sale commitments | 6,561,165 |
Fund shares sold | 1,178,454 |
Interest and dividends | 12,820,886 |
Other assets | 8,372 |
Total assets | $2,626,987,933 |
Liabilities | |
Payable to custodian | $22,522 |
Payables for | |
Distributions | 675,847 |
Forward foreign currency exchange contracts | 756,378 |
Net daily variation margin on open futures contracts | 54,492 |
Investments purchased | 11,916,129 |
TBA purchase commitments | 10,876,354 |
Fund shares reacquired | 5,537,079 |
Collateral for securities loaned, at value | 6,187,066 |
Written options (premiums received, $95,900) | 36,598 |
Payable to affiliates | |
Investment adviser | 25,956 |
Administrative services fee | 2,177 |
Shareholder servicing costs | 590,495 |
Distribution and service fees | 30,268 |
Payable for independent Trustees' compensation | 37 |
Deferred country tax expense payable | 694,756 |
Accrued expenses and other liabilities | 241,455 |
Total liabilities | $37,647,609 |
Net assets | $2,589,340,324 |
Net assets consist of | |
Paid-in capital | $2,698,272,108 |
Total distributable earnings (loss) | (108,931,784) |
Net assets | $2,589,340,324 |
Shares of beneficial interest outstanding | 225,649,412 |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $1,300,450,630 | 113,308,323 | $11.48 |
Class C | 220,774,656 | 19,246,657 | 11.47 |
Class I | 816,791,119 | 71,196,089 | 11.47 |
Class R1 | 180,262 | 15,724 | 11.46 |
Class R2 | 1,289,328 | 112,375 | 11.47 |
Class R3 | 21,712,125 | 1,891,412 | 11.48 |
Class R4 | 4,145,993 | 361,118 | 11.48 |
Class R6 | 223,996,211 | 19,517,714 | 11.48 |
(a) | Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $11.99 [100 / 95.75 x $11.48]. 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 | |
Interest | $47,693,623 |
Dividends from affiliated issuers | 42,157,633 |
Dividends | 37,504,213 |
Other | 566,972 |
Income on securities loaned | 20,824 |
Foreign taxes withheld | (1,349,300) |
Total investment income | $126,593,965 |
Expenses | |
Management fee | $16,604,077 |
Distribution and service fees | 6,328,367 |
Shareholder servicing costs | 2,638,839 |
Administrative services fee | 463,188 |
Independent Trustees' compensation | 46,664 |
Custodian fee | 315,003 |
Shareholder communications | 159,305 |
Audit and tax fees | 89,014 |
Legal fees | 14,030 |
Miscellaneous | 265,089 |
Total expenses | $26,923,576 |
Fees paid indirectly | (24,178) |
Reduction of expenses by investment adviser and distributor | (1,056,890) |
Net expenses | $25,842,508 |
Net investment income (loss) | $100,751,457 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers (net of $687,364 country tax) | $(15,036,764) |
Affiliated issuers | (21,050,773) |
Futures contracts | (7,454,280) |
Forward foreign currency exchange contracts | 3,499,957 |
Foreign currency | (311,889) |
Net realized gain (loss) | $(40,353,749) |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers (net of $22,347 decrease in deferred country tax) | $(241,324,526) |
Affiliated issuers | (55,811,816) |
Written options | 59,302 |
Futures contracts | (204,599) |
Forward foreign currency exchange contracts | (360,044) |
Translation of assets and liabilities in foreign currencies | (166,371) |
Net unrealized gain (loss) | $(297,808,054) |
Net realized and unrealized gain (loss) | $(338,161,803) |
Change in net assets from operations | $(237,410,346) |
Year ended | ||
2/28/23 | 2/28/22 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $100,751,457 | $99,044,479 |
Net realized gain (loss) | (40,353,749) | 120,461,861 |
Net unrealized gain (loss) | (297,808,054) | (103,477,005) |
Change in net assets from operations | $(237,410,346) | $116,029,335 |
Total distributions to shareholders | $(131,363,838) | $(174,809,430) |
Change in net assets from fund share transactions | $(396,673,104) | $(76,548,918) |
Total change in net assets | $(765,447,288) | $(135,329,013) |
Net assets | ||
At beginning of period | 3,354,787,612 | 3,490,116,625 |
At end of period | $2,589,340,324 | $3,354,787,612 |
Class A | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $12.91 | $13.14 | $12.86 | $12.35 | $12.10 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.41 | $0.38 | $0.37 | $0.37 | $0.39 |
Net realized and unrealized gain (loss) | (1.31) | 0.07 | 0.28 | 0.51 | 0.33 |
Total from investment operations | $(0.90) | $0.45 | $0.65 | $0.88 | $0.72 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.38) | $(0.41) | $(0.34) | $(0.37) | $(0.39) |
From net realized gain | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) |
Total distributions declared to shareholders | $(0.53) | $(0.68) | $(0.37) | $(0.37) | $(0.47) |
Net asset value, end of period (x) | $11.48 | $12.91 | $13.14 | $12.86 | $12.35 |
Total return (%) (r)(s)(t)(x) | (6.96) | 3.22 | 5.28 | 7.20 | 6.10 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f)(h) | 0.97 | 0.99 | 0.99 | 0.98 | 0.99 |
Expenses after expense reductions (f)(h) | 0.93 | 0.98 | 0.98 | 0.97 | 0.98 |
Net investment income (loss) | 3.46 | 2.78 | 2.97 | 2.86 | 3.21 |
Portfolio turnover | 62 | 72 | 111 | 57 | 36 |
Net assets at end of period (000 omitted) | $1,300,451 | $1,563,027 | $1,577,032 | $1,540,570 | $1,315,625 |
Class C | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $12.91 | $13.14 | $12.85 | $12.35 | $12.09 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.32 | $0.28 | $0.28 | $0.28 | $0.30 |
Net realized and unrealized gain (loss) | (1.32) | 0.06 | 0.29 | 0.49 | 0.34 |
Total from investment operations | $(1.00) | $0.34 | $0.57 | $0.77 | $0.64 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.29) | $(0.30) | $(0.25) | $(0.27) | $(0.30) |
From net realized gain | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) |
Total distributions declared to shareholders | $(0.44) | $(0.57) | $(0.28) | $(0.27) | $(0.38) |
Net asset value, end of period (x) | $11.47 | $12.91 | $13.14 | $12.85 | $12.35 |
Total return (%) (r)(s)(t)(x) | (7.74) | 2.44 | 4.57 | 6.32 | 5.40 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f)(h) | 1.72 | 1.74 | 1.74 | 1.73 | 1.75 |
Expenses after expense reductions (f)(h) | 1.69 | 1.73 | 1.73 | 1.72 | 1.74 |
Net investment income (loss) | 2.71 | 2.05 | 2.27 | 2.14 | 2.48 |
Portfolio turnover | 62 | 72 | 111 | 57 | 36 |
Net assets at end of period (000 omitted) | $220,775 | $355,639 | $456,806 | $724,758 | $756,643 |
Class I | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $12.91 | $13.14 | $12.86 | $12.35 | $12.09 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.44 | $0.41 | $0.40 | $0.40 | $0.42 |
Net realized and unrealized gain (loss) | (1.32) | 0.07 | 0.29 | 0.51 | 0.34 |
Total from investment operations | $(0.88) | $0.48 | $0.69 | $0.91 | $0.76 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.41) | $(0.44) | $(0.38) | $(0.40) | $(0.42) |
From net realized gain | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) |
Total distributions declared to shareholders | $(0.56) | $(0.71) | $(0.41) | $(0.40) | $(0.50) |
Net asset value, end of period (x) | $11.47 | $12.91 | $13.14 | $12.86 | $12.35 |
Total return (%) (r)(s)(t)(x) | (6.81) | 3.47 | 5.54 | 7.46 | 6.45 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f)(h) | 0.72 | 0.74 | 0.74 | 0.73 | 0.74 |
Expenses after expense reductions (f)(h) | 0.69 | 0.73 | 0.73 | 0.72 | 0.74 |
Net investment income (loss) | 3.70 | 3.03 | 3.24 | 3.11 | 3.47 |
Portfolio turnover | 62 | 72 | 111 | 57 | 36 |
Net assets at end of period (000 omitted) | $816,791 | $1,145,617 | $1,156,030 | $1,425,004 | $1,181,300 |
Class R1 | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $12.90 | $13.13 | $12.85 | $12.34 | $12.08 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.32 | $0.28 | $0.28 | $0.27 | $0.31 |
Net realized and unrealized gain (loss) | (1.32) | 0.06 | 0.28 | 0.51 | 0.33 |
Total from investment operations | $(1.00) | $0.34 | $0.56 | $0.78 | $0.64 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.29) | $(0.30) | $(0.25) | $(0.27) | $(0.30) |
From net realized gain | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) |
Total distributions declared to shareholders | $(0.44) | $(0.57) | $(0.28) | $(0.27) | $(0.38) |
Net asset value, end of period (x) | $11.46 | $12.90 | $13.13 | $12.85 | $12.34 |
Total return (%) (r)(s)(t)(x) | (7.75) | 2.44 | 4.49 | 6.40 | 5.40 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f)(h) | 1.72 | 1.74 | 1.74 | 1.73 | 1.75 |
Expenses after expense reductions (f)(h) | 1.69 | 1.73 | 1.73 | 1.72 | 1.74 |
Net investment income (loss) | 2.70 | 2.03 | 2.22 | 2.12 | 2.57 |
Portfolio turnover | 62 | 72 | 111 | 57 | 36 |
Net assets at end of period (000 omitted) | $180 | $225 | $241 | $214 | $193 |
Class R2 | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $12.91 | $13.14 | $12.86 | $12.35 | $12.09 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.38 | $0.34 | $0.35 | $0.34 | $0.36 |
Net realized and unrealized gain (loss) | (1.32) | 0.07 | 0.27 | 0.51 | 0.34 |
Total from investment operations | $(0.94) | $0.41 | $0.62 | $0.85 | $0.70 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.35) | $(0.37) | $(0.31) | $(0.34) | $(0.36) |
From net realized gain | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) |
Total distributions declared to shareholders | $(0.50) | $(0.64) | $(0.34) | $(0.34) | $(0.44) |
Net asset value, end of period (x) | $11.47 | $12.91 | $13.14 | $12.86 | $12.35 |
Total return (%) (r)(s)(t)(x) | (7.28) | 2.96 | 5.01 | 6.93 | 5.92 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f)(h) | 1.22 | 1.24 | 1.24 | 1.23 | 1.25 |
Expenses after expense reductions (f)(h) | 1.18 | 1.23 | 1.23 | 1.22 | 1.24 |
Net investment income (loss) | 3.21 | 2.53 | 2.78 | 2.65 | 2.99 |
Portfolio turnover | 62 | 72 | 111 | 57 | 36 |
Net assets at end of period (000 omitted) | $1,289 | $1,647 | $1,830 | $3,085 | $3,486 |
Class R3 | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $12.92 | $13.15 | $12.86 | $12.36 | $12.10 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.41 | $0.38 | $0.37 | $0.37 | $0.39 |
Net realized and unrealized gain (loss) | (1.32) | 0.07 | 0.29 | 0.50 | 0.34 |
Total from investment operations | $(0.91) | $0.45 | $0.66 | $0.87 | $0.73 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.38) | $(0.41) | $(0.34) | $(0.37) | $(0.39) |
From net realized gain | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) |
Total distributions declared to shareholders | $(0.53) | $(0.68) | $(0.37) | $(0.37) | $(0.47) |
Net asset value, end of period (x) | $11.48 | $12.92 | $13.15 | $12.86 | $12.36 |
Total return (%) (r)(s)(t)(x) | (7.04) | 3.21 | 5.36 | 7.11 | 6.18 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f)(h) | 0.97 | 0.99 | 0.99 | 0.98 | 1.00 |
Expenses after expense reductions (f)(h) | 0.93 | 0.98 | 0.98 | 0.97 | 0.99 |
Net investment income (loss) | 3.45 | 2.78 | 2.98 | 2.86 | 3.21 |
Portfolio turnover | 62 | 72 | 111 | 57 | 36 |
Net assets at end of period (000 omitted) | $21,712 | $22,253 | $22,760 | $24,385 | $19,159 |
Class R4 | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $12.92 | $13.15 | $12.86 | $12.36 | $12.10 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.44 | $0.42 | $0.41 | $0.41 | $0.41 |
Net realized and unrealized gain (loss) | (1.32) | 0.06 | 0.29 | 0.49 | 0.35 |
Total from investment operations | $(0.88) | $0.48 | $0.70 | $0.90 | $0.76 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.41) | $(0.44) | $(0.38) | $(0.40) | $(0.42) |
From net realized gain | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) |
Total distributions declared to shareholders | $(0.56) | $(0.71) | $(0.41) | $(0.40) | $(0.50) |
Net asset value, end of period (x) | $11.48 | $12.92 | $13.15 | $12.86 | $12.36 |
Total return (%) (r)(s)(t)(x) | (6.80) | 3.47 | 5.62 | 7.38 | 6.45 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f)(h) | 0.72 | 0.74 | 0.74 | 0.73 | 0.74 |
Expenses after expense reductions (f)(h) | 0.69 | 0.73 | 0.73 | 0.72 | 0.73 |
Net investment income (loss) | 3.71 | 3.05 | 3.24 | 3.15 | 3.43 |
Portfolio turnover | 62 | 72 | 111 | 57 | 36 |
Net assets at end of period (000 omitted) | $4,146 | $5,995 | $8,626 | $9,783 | $10,063 |
Class R6 | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $12.91 | $13.14 | $12.86 | $12.35 | $12.10 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.45 | $0.42 | $0.42 | $0.41 | $0.43 |
Net realized and unrealized gain (loss) | (1.31) | 0.07 | 0.28 | 0.51 | 0.33 |
Total from investment operations | $(0.86) | $0.49 | $0.70 | $0.92 | $0.76 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.42) | $(0.45) | $(0.39) | $(0.41) | $(0.43) |
From net realized gain | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) |
Total distributions declared to shareholders | $(0.57) | $(0.72) | $(0.42) | $(0.41) | $(0.51) |
Net asset value, end of period (x) | $11.48 | $12.91 | $13.14 | $12.86 | $12.35 |
Total return (%) (r)(s)(t)(x) | (6.64) | 3.57 | 5.64 | 7.55 | 6.46 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f)(h) | 0.63 | 0.65 | 0.65 | 0.64 | 0.65 |
Expenses after expense reductions (f)(h) | 0.59 | 0.64 | 0.64 | 0.63 | 0.64 |
Net investment income (loss) | 3.79 | 3.12 | 3.32 | 3.19 | 3.55 |
Portfolio turnover | 62 | 72 | 111 | 57 | 36 |
Net assets at end of period (000 omitted) | $223,996 | $260,384 | $266,792 | $271,679 | $218,650 |
(d) | Per share data is based on average shares outstanding. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. See Note 2 in the Notes to Financial Statements for additional information. |
(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. |
(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 | $537,614,340 | $— | $— | $537,614,340 |
United Kingdom | 31,235,377 | — | — | 31,235,377 |
France | 26,886,963 | — | — | 26,886,963 |
Japan | 25,368,662 | — | — | 25,368,662 |
Switzerland | 24,389,993 | — | — | 24,389,993 |
Canada | 19,501,156 | — | — | 19,501,156 |
China | 16,076,142 | — | — | 16,076,142 |
Singapore | 14,479,393 | — | — | 14,479,393 |
Germany | 12,976,475 | — | — | 12,976,475 |
Other Countries | 60,122,449 | 2,376,418 | 520,336 | 63,019,203 |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 136,564,533 | — | 136,564,533 |
Non - U.S. Sovereign Debt | — | 239,253,438 | — | 239,253,438 |
Municipal Bonds | — | 4,517,301 | — | 4,517,301 |
U.S. Corporate Bonds | — | 274,465,382 | — | 274,465,382 |
Residential Mortgage-Backed Securities | — | 184,693,794 | — | 184,693,794 |
Commercial Mortgage-Backed Securities | — | 10,849,218 | — | 10,849,218 |
Asset-Backed Securities (including CDOs) | — | 14,538,982 | — | 14,538,982 |
Foreign Bonds | — | 204,189,277 | — | 204,189,277 |
Mutual Funds | 749,480,982 | — | — | 749,480,982 |
Total | $1,518,131,932 | $1,071,448,343 | $520,336 | $2,590,100,611 |
Other Financial Instruments | ||||
Futures Contracts – Liabilities | $(441,034) | $— | $— | $(441,034) |
Forward Foreign Currency Exchange Contracts – Assets | — | 705,194 | — | 705,194 |
Forward Foreign Currency Exchange Contracts – Liabilities | — | (756,378) | — | (756,378) |
Written Options - Liabilities | — | (36,598) | — | (36,598) |
Equity Securities | Fixed Income Securities | Total | |
Balance as of 2/28/22 | $464,837 | $7,687,618 | $8,152,455 |
Accrued discounts/premiums | — | (30,769) | (30,769) |
Realized gain (loss) | — | (5,881,891) | (5,881,891) |
Change in unrealized appreciation or depreciation | 55,499 | 6,013,389 | 6,068,888 |
Sales | — | (3,719,696) | (3,719,696) |
Transfers out of level 3 | — | (4,068,651) | (4,068,651) |
Balance as of 2/28/23 | $520,336 | $— | $520,336 |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Credit | Written Option Contracts | $— | $(36,598) |
Equity | Purchased Option Contracts | 324,000 | — |
Credit | Purchased Option Contracts | 126,135 | — |
Interest Rate | Futures Contracts | — | (441,034) |
Foreign Exchange | Forward Foreign Currency Exchange Contracts | 705,194 | (756,378) |
Total | $1,155,329 | $(1,234,010) |
(a) | The value of purchased options outstanding is included in investments in unaffiliated issuers, at value, within the Statement of Assets and Liabilities. Values presented in this table for futures contracts correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts is reported separately within the Statement of Assets and Liabilities. |
Risk | Futures Contracts | Forward Foreign Currency Exchange Contracts |
Interest Rate | $(7,454,280) | $— |
Foreign Exchange | — | 3,499,957 |
Total | $(7,454,280) | $3,499,957 |
Risk | Futures Contracts | Forward Foreign Currency Exchange Contracts | Unaffiliated Issuers (Purchased Options) | Written Options |
Interest Rate | $(204,599) | $— | $— | $— |
Foreign Exchange | — | (360,044) | — | — |
Equity | — | — | (3,590,991) | — |
Credit | — | — | (107,861) | 59,302 |
Total | $(204,599) | $(360,044) | $(3,698,852) | $59,302 |
Year ended 2/28/23 | Year ended 2/28/22 | |
Ordinary income (including any short-term capital gains) | $95,051,016 | $112,252,493 |
Long-term capital gains | 36,312,822 | 62,556,937 |
Total distributions | $131,363,838 | $174,809,430 |
As of 2/28/23 | |
Cost of investments | $2,659,167,616 |
Gross appreciation | 172,767,557 |
Gross depreciation | (242,363,378) |
Net unrealized appreciation (depreciation) | $(69,595,821) |
Undistributed ordinary income | 16,377,528 |
Capital loss carryforwards | (47,228,379) |
Other temporary differences | (8,485,112) |
Total distributable earnings (loss) | $(108,931,784) |
Short-Term | $(47,228,379) |
Year ended 2/28/23 | Year ended 2/28/22 | ||
Class A | $62,915,628 | $80,153,863 | |
Class C | 10,456,513 | 16,876,828 | |
Class I | 45,334,899 | 61,796,880 | |
Class R1 | 7,733 | 11,007 | |
Class R2 | 54,720 | 89,714 | |
Class R3 | 959,124 | 1,143,825 | |
Class R4 | 226,361 | 406,553 | |
Class R6 | 11,408,860 | 14,330,760 | |
Total | $131,363,838 | $174,809,430 |
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% |
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% |
Classes | |||||||
A | C | I | R1 | R2 | R3 | R4 | R6 |
0.89% | 1.64% | 0.64% | 1.64% | 1.14% | 0.89% | 0.64% | 0.55% |
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% | $ 3,480,198 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 2,786,627 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 2,006 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 6,567 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 52,969 |
Total Distribution and Service Fees | $6,328,367 |
(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 year ended February 28, 2023 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 year ended February 28, 2023, this rebate amounted to $173 for Class A shares, respectively, and is included in the reduction of total expenses in the Statement of Operations. |
Amount | |
Class A | $73,643 |
Class C | 8,698 |
Purchases | Sales | |
U.S. Government securities | $839,599,018 | $711,130,754 |
Non-U.S. Government securities | 874,202,811 | 1,543,339,083 |
Year ended 2/28/23 | Year ended 2/28/22 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 14,774,136 | $174,356,080 | 14,607,047 | $198,557,562 | |
Class C | 944,302 | 11,158,682 | 1,711,416 | 23,298,433 | |
Class I | 10,662,576 | 126,908,598 | 16,504,267 | 224,664,063 | |
Class R1 | 1,874 | 22,246 | 6,820 | 93,515 | |
Class R2 | 10,736 | 127,045 | 20,842 | 284,007 | |
Class R3 | 286,020 | 3,366,042 | 226,162 | 3,076,702 | |
Class R4 | 33,848 | 398,607 | 120,292 | 1,623,061 | |
Class R6 | 3,524,722 | 41,388,166 | 3,701,055 | 50,342,326 | |
30,238,214 | $357,725,466 | 36,897,901 | $501,939,669 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 5,070,118 | $59,553,596 | 5,582,553 | $75,785,017 | |
Class C | 837,455 | 9,851,187 | 1,161,810 | 15,773,452 | |
Class I | 3,225,812 | 37,924,405 | 3,782,563 | 51,329,884 | |
Class R1 | 653 | 7,678 | 809 | 10,977 | |
Class R2 | 4,647 | 54,626 | 6,579 | 89,333 | |
Class R3 | 81,598 | 957,903 | 84,146 | 1,142,993 | |
Class R4 | 19,182 | 225,843 | 29,898 | 406,227 | |
Class R6 | 939,612 | 11,034,589 | 1,018,378 | 13,826,069 | |
10,179,077 | $119,609,827 | 11,666,736 | $158,363,952 | ||
Shares reacquired | |||||
Class A | (27,576,832) | $(322,612,726) | (19,136,980) | $(259,994,737) | |
Class C | (10,091,221) | (118,516,947) | (10,093,308) | (136,833,130) | |
Class I | (31,441,612) | (368,467,110) | (19,524,445) | (264,711,290) | |
Class R1 | (4,267) | (48,165) | (8,494) | (115,225) | |
Class R2 | (30,572) | (377,408) | (39,154) | (529,170) | |
Class R3 | (199,120) | (2,335,392) | (318,717) | (4,323,050) | |
Class R4 | (156,023) | (1,831,518) | (342,221) | (4,608,637) | |
Class R6 | (5,110,900) | (59,819,131) | (4,853,890) | (65,737,300) | |
(74,610,547) | $(874,008,397) | (54,317,209) | $(736,852,539) |
Year ended 2/28/23 | Year ended 2/28/22 | ||||
Shares | Amount | Shares | Amount | ||
Net change | |||||
Class A | (7,732,578) | $(88,703,050) | 1,052,620 | $14,347,842 | |
Class C | (8,309,464) | (97,507,078) | (7,220,082) | (97,761,245) | |
Class I | (17,553,224) | (203,634,107) | 762,385 | 11,282,657 | |
Class R1 | (1,740) | (18,241) | (865) | (10,733) | |
Class R2 | (15,189) | (195,737) | (11,733) | (155,830) | |
Class R3 | 168,498 | 1,988,553 | (8,409) | (103,355) | |
Class R4 | (102,993) | (1,207,068) | (192,031) | (2,579,349) | |
Class R6 | (646,566) | (7,396,376) | (134,457) | (1,568,905) | |
(34,193,256) | $(396,673,104) | (5,752,572) | $(76,548,918) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS High Yield Pooled Portfolio | $809,235,637 | $59,220,377 | $200,214,510 | $(21,043,061) | $(55,822,204) | $591,376,239 |
MFS Institutional Money Market Portfolio | 106,862,112 | 1,280,610,750 | 1,235,557,861 | (7,712) | 10,388 | 151,917,677 |
$916,097,749 | $1,339,831,127 | $1,435,772,371 | $(21,050,773) | $(55,811,816) | $743,293,916 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS High Yield Pooled Portfolio | $38,492,773 | $— |
MFS Institutional Money Market Portfolio | 3,664,860 | — |
$42,157,633 | $— |
April 14, 2023
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds overseen by the Trustee | Principal Occupations During the Past Five Years | Other Directorships During the Past Five Years (j) | |||||
INTERESTED TRUSTEE | ||||||||||
Michael W. Roberge (k) (age 56) | Trustee | January 2021 | 136 | Massachusetts Financial Services Company, Chairman (since January 2021); Chief Executive Officer (since January 2017); Director; Chairman of the Board (since January 2022); President (until December 2018); Chief Investment Officer (until December 2018) | N/A | |||||
INDEPENDENT TRUSTEES | ||||||||||
John P. Kavanaugh (age 68) | Trustee and Chair of Trustees | January 2009 | 136 | Private investor | N/A | |||||
Steven E. Buller (age 71) | Trustee | February 2014 | 136 | Private investor | N/A | |||||
John A. Caroselli (age 68) | Trustee | March 2017 | 136 | Private investor; JC Global Advisors, LLC (management consulting), President (since 2015) | N/A | |||||
Maureen R. Goldfarb (age 67) | Trustee | January 2009 | 136 | Private investor | N/A | |||||
Peter D. Jones (age 67) | Trustee | January 2019 | 136 | Private investor | N/A | |||||
James W. Kilman, Jr. (age 61) | Trustee | January 2019 | 136 | Burford Capital Limited (finance and investment management), Senior Advisor (since May 3, 2021), Chief Financial Officer (2019 - May 2, 2021); KielStrand Capital LLC (family office), Chief Executive Officer (since 2016) | Alpha-En Corporation, Director (2016-2019) |
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds overseen by the Trustee | Principal Occupations During the Past Five Years | Other Directorships During the Past Five Years (j) | |||||
Clarence Otis, Jr. (age 66) | Trustee | March 2017 | 136 | Private investor | VF Corporation, Director; Verizon Communications, Inc., Director; The Travelers Companies, Director | |||||
Maryanne L. Roepke (age 67) | Trustee | May 2014 | 136 | Private investor | N/A | |||||
Laurie J. Thomsen (age 65) | Trustee | March 2005 | 136 | Private investor | The Travelers Companies, Director; Dycom Industries, Inc., Director |
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds for which the Person is an Officer | Principal Occupations During the Past Five Years | ||||
OFFICERS | ||||||||
Christopher R. Bohane (k) (age 49) | Assistant Secretary and Assistant Clerk | July 2005 | 136 | Massachusetts Financial Services Company, Senior Vice President and Senior Managing Counsel | ||||
Kino Clark (k) (age 54) | Assistant Treasurer | January 2012 | 136 | Massachusetts Financial Services Company, Vice President | ||||
John W. Clark, Jr. (k) (age 56) | Assistant Treasurer | April 2017 | 136 | Massachusetts Financial Services Company, Vice President | ||||
David L. DiLorenzo (k) (age 54) | President | July 2005 | 136 | Massachusetts Financial Services Company, Senior Vice President | ||||
Heidi W. Hardin (k) (age 55) | Secretary and Clerk | April 2017 | 136 | Massachusetts Financial Services Company, Executive Vice President and General Counsel | ||||
Brian E. Langenfeld (k) (age 50) | Assistant Secretary and Assistant Clerk | June 2006 | 136 | Massachusetts Financial Services Company, Vice President and Managing Counsel |
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds for which the Person is an Officer | Principal Occupations During the Past Five Years | ||||
Rosa E. Licea-Mailloux (k) (age 46) | Chief Compliance Officer | March 2022 | 136 | Massachusetts Financial Services Company, Vice President (since 2018); Director of Corporate Compliance (2018-2021), Senior Director Compliance (2021-2022), Senior Managing Director of North American Compliance & Chief Compliance Officer (since March 2022); Natixis Investment Managers (investment management), Funds Chief Compliance Officer, Deputy General Counsel & Senior Vice President (until 2018) | ||||
Amanda S. Mooradian (k) (age 44) | Assistant Secretary and Assistant Clerk | September 2018 | 136 | Massachusetts Financial Services Company, Assistant Vice President and Senior Counsel | ||||
Susan A. Pereira (k) (age 52) | Assistant Secretary and Assistant Clerk | July 2005 | 136 | Massachusetts Financial Services Company, Vice President and Managing Counsel | ||||
Kasey L. Phillips (k) (age 52) | Assistant Treasurer | September 2012 | 136 | Massachusetts Financial Services Company, Vice President | ||||
Matthew A. Stowe (k) (age 48) | Assistant Secretary and Assistant Clerk | October 2014 | 136 | Massachusetts Financial Services Company, Vice President and Senior Managing Counsel | ||||
William B. Wilson (k) (age 40) | Assistant Secretary and Assistant Clerk | October 2022 | 136 | Massachusetts Financial Services Company, Assistant Vice President and Senior Counsel | ||||
James O. Yost (k) (age 62) | Treasurer | September 1990 | 136 | Massachusetts Financial Services Company, Senior Vice President |
(h) | Date first appointed to serve as Trustee/Officer of an MFS Fund. Each Trustee has served continuously since appointment unless indicated otherwise. From January 2012 through December 2016, Messrs. DiLorenzo and Yost served as Treasurer and Deputy Treasurer of the Funds, respectively. |
(j) | Directorships or trusteeships of companies required to report to the Securities and Exchange Commission (i.e., “public companies”). |
(k) | “Interested person” of the Trust within the meaning of the Investment Company Act of 1940 (referred to as the 1940 Act), which is the principal federal law governing investment companies like the fund, as a result of a position with MFS. The address of MFS is 111 Huntington Avenue, Boston, Massachusetts 02199-7618. |
Investment Adviser | Custodian |
Massachusetts Financial Services Company 111 Huntington Avenue Boston, MA 02199-7618 | JPMorgan Chase Bank, NA 4 Metrotech Center New York, NY 11245 |
Distributor | Independent Registered Public Accounting Firm |
MFS Fund Distributors, Inc. 111 Huntington Avenue Boston, MA 02199-7618 | Ernst & Young LLP 200 Clarendon Street Boston, MA 02116 |
Portfolio Manager(s) | |
Robert Almeida Neeraj Arora David Cole Rick Gable Alexander Mackey John Mitchell Matt Ryan Jonathan Sage Geoffrey Schechter Michael Skatrud |
FACTS | WHAT DOES MFS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: |
• Social Security number and account balances | |
• Account transactions and transaction history | |
• Checking account information and wire transfer instructions | |
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers' personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers' personal information; the reasons MFS chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does MFS share? | Can you limit this sharing? |
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes – to offer our products and services to you | No | We don't share |
For joint marketing with other financial companies | No | We don't share |
For our affiliates' everyday business purposes – information about your transactions and experiences | No | We don't share |
For our affiliates' everyday business purposes – information about your creditworthiness | No | We don't share |
For nonaffiliates to market to you | No | We don't share |
Questions? | Call 800-225-2606 or go to mfs.com. |
Who we are | |
Who is providing this notice? | MFS Funds, MFS Investment Management, MFS Institutional Advisors, Inc., and MFS Heritage Trust Company. |
What we do | |
How does MFS protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include procedural, electronic, and physical safeguards for the protection of the personal information we collect about you. |
How does MFS collect my personal information? | We collect your personal information, for example, when you |
• open an account or provide account information | |
• direct us to buy securities or direct us to sell your securities | |
• make a wire transfer | |
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. | |
Why can't I limit all sharing? | Federal law gives you the right to limit only |
• sharing for affiliates' everyday business purposes – information about your creditworthiness | |
• affiliates from using your information to market to you | |
• sharing for nonaffiliates to market to you | |
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. |
• MFS does not share personal information with affiliates, except for everyday business purposes as described on page one of this notice. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. |
• MFS does not share with nonaffiliates so they can market to you. | |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. |
• MFS doesn't jointly market. |
Other important information |
If you own an MFS product or receive an MFS service in the name of a third party such as a bank or broker-dealer, their privacy policy may apply to you instead of ours. |
Securities Fund
Securities Fund
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back cover |
U.S. Treasury Securities | 61.4% |
Mortgage-Backed Securities | 48.3% |
Commercial Mortgage-Backed Securities | 4.0% |
Collateralized Debt Obligations | 1.5% |
Municipal Bonds | 0.9% |
Asset-Backed Securities | 0.8% |
Investment Grade Corporates | 0.5% |
U.S. Government Agencies | 0.2% |
AAA | 4.9% |
AA | 1.6% |
A | 0.9% |
BBB | 0.3% |
U.S. Government | 36.4% |
Federal Agencies | 48.5% |
Not Rated | 25.0% |
Cash & Cash Equivalents | 7.4% |
Other (q) | (25.0%) |
Average Duration (d) | 6.2 |
Average Effective Maturity (m) | 6.8 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. |
(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. The Average Duration calculation reflects the impact of the equivalent exposure of derivative positions, if any. |
(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. |
(q) | For purposes of this presentation, Other includes equivalent exposure from currency derivatives and/or any offsets to derivative positions and may be negative. |
(v) | For purposes of this presentation, market value of fixed income and/or equity derivatives, if any, is included in Cash & Cash Equivalents. |
(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. |
Share Class | Class Inception Date | 1-yr | 5-yr | 10-yr |
A | 7/25/84 | (9.83)% | (0.13)% | 0.20% |
B | 8/30/93 | (10.52)% | (0.87)% | (0.54)% |
C | 4/01/96 | (10.58)% | (0.89)% | (0.56)% |
I | 1/02/97 | (9.71)% | 0.08% | 0.43% |
R1 | 4/01/05 | (10.52)% | (0.87)% | (0.55)% |
R2 | 10/31/03 | (10.07)% | (0.38)% | (0.05)% |
R3 | 4/01/05 | (9.93)% | (0.15)% | 0.20% |
R4 | 4/01/05 | (9.60)% | 0.12% | 0.45% |
R6 | 7/02/12 | (9.52)% | 0.23% | 0.56% |
Bloomberg U.S. Government/Mortgage Index (f) | (9.61)% | 0.22% | 0.73% |
A With Initial Sales Charge (4.25%) | (13.66)% | (0.99)% | (0.24)% |
B With CDSC (Declining over six years from 4% to 0%) (v) | (14.06)% | (1.25)% | (0.54)% |
C With CDSC (1% for 12 months) (v) | (11.47)% | (0.89)% | (0.56)% |
(f) | Source: FactSet Research Systems Inc. |
(v) | Assuming redemption at the end of the applicable period. |
(a) | Source: Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg's licensors own all proprietary rights in the Bloomberg Indices. Bloomberg neither approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith. |
September 1, 2022 through February 28, 2023
Share Class | Annualized Expense Ratio | Beginning Account Value 9/01/22 | Ending Account Value 2/28/23 | Expenses Paid During Period (p) 9/01/22-2/28/23 | |
A | Actual | 0.76% | $1,000.00 | $972.21 | $3.72 |
Hypothetical (h) | 0.76% | $1,000.00 | $1,021.03 | $3.81 | |
B | Actual | 1.51% | $1,000.00 | $968.49 | $7.37 |
Hypothetical (h) | 1.51% | $1,000.00 | $1,017.31 | $7.55 | |
C | Actual | 1.51% | $1,000.00 | $968.58 | $7.37 |
Hypothetical (h) | 1.51% | $1,000.00 | $1,017.31 | $7.55 | |
I | Actual | 0.51% | $1,000.00 | $973.35 | $2.50 |
Hypothetical (h) | 0.51% | $1,000.00 | $1,022.27 | $2.56 | |
R1 | Actual | 1.51% | $1,000.00 | $968.49 | $7.37 |
Hypothetical (h) | 1.51% | $1,000.00 | $1,017.31 | $7.55 | |
R2 | Actual | 1.01% | $1,000.00 | $970.94 | $4.94 |
Hypothetical (h) | 1.01% | $1,000.00 | $1,019.79 | $5.06 | |
R3 | Actual | 0.76% | $1,000.00 | $972.17 | $3.72 |
Hypothetical (h) | 0.76% | $1,000.00 | $1,021.03 | $3.81 | |
R4 | Actual | 0.51% | $1,000.00 | $973.44 | $2.50 |
Hypothetical (h) | 0.51% | $1,000.00 | $1,022.27 | $2.56 | |
R6 | Actual | 0.41% | $1,000.00 | $973.86 | $2.01 |
Hypothetical (h) | 0.41% | $1,000.00 | $1,022.76 | $2.06 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Bonds – 92.2% | ||||
Asset-Backed & Securitized – 6.3% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.027%, 11/15/2054 (i) | $ | 21,942,651 | $1,212,682 | |
ACREC 2021-FL1 Ltd., “AS”, FLR, 6.101% (LIBOR - 1mo. + 1.5%), 10/16/2036 (n) | 7,778,000 | 7,500,990 | ||
ACREC 2023-FL2 LLC, “A”, FLR, 6.63% (SOFR - 1mo. + 2.23%), 2/19/2038 (n) | 4,824,645 | 4,812,728 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 6.073% (LIBOR - 1mo. + 1.5%), 12/15/2035 (n) | 3,901,000 | 3,625,028 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “AS”, FLR, 5.988% (LIBOR - 1mo. + 1.4%), 8/15/2034 (n) | 6,638,000 | 6,455,455 | ||
AREIT 2022-CRE6 Trust, “AS”, FLR, 6.076% (SOFR - 30 day + 1.65%), 1/16/2037 (n) | 7,155,500 | 6,883,741 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.297%, 7/15/2054 (i) | 21,198,614 | 1,543,952 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.62%, 2/15/2054 (i) | 13,835,823 | 1,237,433 | ||
BBCMS Mortgage Trust, 2022-C18, “AS”, 6.148%, 12/15/2055 | 2,688,397 | 2,823,310 | ||
BBCMS Mortgage Trust, 2022-C18, “XA”, 0.46%, 12/15/2055 (i) | 23,093,876 | 898,500 | ||
Benchmark 2021-B23 Mortgage Trust, “XA”, 1.271%, 2/15/2054 (i) | 43,809,183 | 2,997,026 | ||
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.151%, 3/15/2054 (i) | 26,323,250 | 1,630,936 | ||
Benchmark 2021-B26 Mortgage Trust, “XA”, 0.885%, 6/15/2054 (i) | 38,154,652 | 1,870,486 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.266%, 7/15/2054 (i) | 33,668,550 | 2,415,442 | ||
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.282%, 8/15/2054 (i) | 40,215,692 | 2,914,130 | ||
Benchmark 2021-B29 Mortgage Trust, “XA”, 1.042%, 9/15/2054 (i) | 45,401,030 | 2,539,902 | ||
BSPDF 2021-FL1 Issuer Ltd., “A”, FLR, 5.787% (LIBOR - 1mo. + 1.2%), 10/15/2036 (n) | 3,712,000 | 3,645,611 | ||
BSPDF 2021-FL1 Issuer Ltd., “AS”, FLR, 6.068% (LIBOR - 1mo. + 1.48%), 10/15/2036 (n) | 4,700,500 | 4,572,092 | ||
BXMT 2021-FL4 Ltd., “AS”, FLR, 5.887% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | 7,779,500 | 7,475,157 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 1,248,803 | 1,163,889 | ||
Citigroup Commercial Mortgage Trust, 2019-XA, “C7”, 0.867%, 12/15/2072 (i)(n) | 23,336,805 | 1,013,998 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.324%, 2/15/2054 (i) | 33,566,823 | 2,492,092 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.778%, 4/15/2054 (i) | $ | 19,024,121 | $814,607 | |
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.046%, 6/15/2064 (i) | 13,329,077 | 784,464 | ||
CPS Auto Trust, 2019-D, “E”, 3.86%, 10/15/2025 (n) | 5,505,000 | 5,359,321 | ||
DT Auto Owner Trust, 2023-1A, “A”, 5.48%, 4/15/2027 (n) | 3,485,833 | 3,478,939 | ||
Flagship Credit Auto Trust, 2019-3, “D”, 2.86%, 12/15/2025 (n) | 2,270,000 | 2,201,337 | ||
KREF 2018-FT1 Ltd., “AS”, FLR, 5.901% (LIBOR - 1mo. + 1.3%), 2/15/2039 (n) | 759,000 | 724,351 | ||
LAD Auto Receivables Trust, 2022-1A, “A”, 5.21%, 6/15/2027 (n) | 1,165,598 | 1,156,545 | ||
LAD Auto Receivables Trust, 2023-1A, “A2”, 5.68%, 10/15/2026 (n) | 1,353,000 | 1,352,433 | ||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 6.338% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 6,508,500 | 6,293,786 | ||
LoanCore 2021-CRE6 Ltd., “AS”, FLR, 6.238% (LIBOR - 1mo. + 1.65%), 11/15/2038 (n) | 10,000,000 | 9,448,620 | ||
MF1 2021-FL5 Ltd., “AS”, FLR, 5.876% (LIBOR - 1mo. + 1.2%), 7/15/2036 (n) | 3,875,500 | 3,754,189 | ||
MF1 2021-FL5 Ltd., “B”, FLR, 6.126% (LIBOR - 1mo. + 1.45%), 7/15/2036 (n) | 4,881,500 | 4,720,485 | ||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 0.831%, 12/15/2051 (i) | 24,175,030 | 860,602 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.295%, 5/15/2054 (i) | 16,778,949 | 1,142,104 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.228%, 6/15/2054 (i) | 20,581,911 | 1,283,937 | ||
Morgan Stanley Capital I Trust, 2021-L7, “XA”, 1.099%, 10/15/2054 (i) | 80,723,073 | 4,737,532 | ||
PFP III 2021-7 Ltd., “AS”, FLR, 5.738% (LIBOR - 1mo. + 1.15%), 4/14/2038 (n) | 5,441,728 | 5,192,807 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “A”, FLR, 5.817% (LIBOR - 1mo. + 1.2%), 11/25/2036 (n) | 4,033,142 | 3,914,777 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “AS”, FLR, 6.117% (LIBOR - 1mo. + 1.5%), 11/25/2036 (n) | 1,261,500 | 1,229,962 | ||
Santander Drive Auto Receivables Trust, 2022-5, “A2”, 3.98%, 1/15/2025 | 910,165 | 907,335 | ||
Santander Drive Auto Receivables Trust, 2022-6, “A2”, 4.37%, 5/15/2025 | 841,371 | 838,730 | ||
Wells Fargo Commercial Mortgage Trust, 2018-C48, “XA”, 1.058%, 1/15/2052 (i)(n) | 12,800,367 | 521,587 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C60, “XA”, 1.545%, 8/15/2054 (i) | 20,674,178 | 1,796,944 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Westlake Automobile Receivable Trust, 2023-1A, “A2B”, FLR, 5.251% (SOFR - 1mo. + 0.85%), 6/15/2026 (n) | $ | 1,011,000 | $1,011,040 | |
$135,251,014 | ||||
Consumer Services – 0.1% | ||||
Conservation Fund, 3.474%, 12/15/2029 | $ | 2,018,000 | $1,719,349 | |
Industrial – 0.1% | ||||
Howard University, Washington D.C., 2.801%, 10/01/2023 | $ | 505,000 | $495,391 | |
Howard University, Washington D.C., AGM, 2.416%, 10/01/2024 | 556,000 | 530,614 | ||
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | 688,000 | 638,043 | ||
$1,664,048 | ||||
Medical & Health Technology & Services – 0.3% | ||||
ProMedica Toledo Hospital, “B”, AGM, 5.325%, 11/15/2028 | $ | 4,139,000 | $4,060,711 | |
ProMedica Toledo Hospital, “B”, AGM, 5.75%, 11/15/2038 | 1,992,000 | 1,932,248 | ||
$5,992,959 | ||||
Mortgage-Backed – 48.1% | ||||
Fannie Mae, 2.41%, 5/01/2023 | $ | 1,309,884 | $1,299,882 | |
Fannie Mae, 5.5%, 6/01/2023 - 5/01/2044 | 8,187,154 | 8,358,962 | ||
Fannie Mae, 5%, 3/01/2024 - 3/01/2042 | 7,440,903 | 7,490,123 | ||
Fannie Mae, 4.5%, 5/01/2025 - 6/01/2044 | 18,177,039 | 18,019,209 | ||
Fannie Mae, 4%, 3/25/2028 - 7/01/2047 | 38,710,536 | 37,160,841 | ||
Fannie Mae, 3%, 11/01/2028 - 5/25/2053 | 28,606,938 | 26,690,752 | ||
Fannie Mae, 2.5%, 11/01/2031 - 10/01/2046 | 3,453,246 | 3,116,533 | ||
Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | 1,398,124 | 133,548 | ||
Fannie Mae, 6.5%, 1/01/2032 - 10/01/2037 | 658,307 | 681,920 | ||
Fannie Mae, 6%, 1/01/2033 - 12/01/2037 | 1,764,060 | 1,808,202 | ||
Fannie Mae, 3%, 2/25/2033 (i) | 1,522,621 | 137,560 | ||
Fannie Mae, 3.5%, 4/01/2038 - 12/01/2047 | 25,123,000 | 23,466,389 | ||
Fannie Mae, 2%, 10/25/2040 - 4/25/2046 | 1,488,831 | 1,352,645 | ||
Fannie Mae, 1.75%, 9/25/2041 - 10/25/2041 | 4,647,673 | 4,262,027 | ||
Fannie Mae, 2.75%, 9/25/2042 | 1,524,032 | 1,412,462 | ||
Fannie Mae, UMBS, 2.5%, 5/01/2036 - 1/01/2053 | 185,249,741 | 158,221,250 | ||
Fannie Mae, UMBS, 2%, 10/01/2036 - 3/01/2052 | 138,319,894 | 114,559,581 | ||
Fannie Mae, UMBS, 5.5%, 10/01/2038 - 12/01/2052 | 3,832,573 | 3,864,565 | ||
Fannie Mae, UMBS, 1.5%, 2/01/2042 | 526,081 | 425,257 | ||
Fannie Mae, UMBS, 3.5%, 5/01/2049 - 9/01/2052 | 10,900,982 | 9,943,933 | ||
Fannie Mae, UMBS, 3%, 6/01/2051 - 11/01/2052 | 24,469,489 | 21,654,405 | ||
Fannie Mae, UMBS, 4%, 5/01/2052 - 9/01/2052 | 6,033,927 | 5,697,166 | ||
Fannie Mae, UMBS, 4.5%, 9/01/2052 | 2,371,578 | 2,293,257 | ||
Fannie Mae, UMBS, 6%, 2/01/2053 | 1,748,241 | 1,832,293 | ||
Freddie Mac, 5%, 4/01/2023 - 12/01/2044 | 8,230,280 | 8,286,532 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Freddie Mac, 3.25%, 4/25/2023 - 11/25/2061 | $ | 15,253,767 | $13,821,366 | |
Freddie Mac, 6%, 6/01/2023 - 10/01/2038 | 1,057,674 | 1,090,540 | ||
Freddie Mac, 3.06%, 7/25/2023 | 869,032 | 862,865 | ||
Freddie Mac, 3.531%, 7/25/2023 | 228,881 | 227,232 | ||
Freddie Mac, 3.458%, 8/25/2023 | 4,509,040 | 4,473,502 | ||
Freddie Mac, 0.903%, 4/25/2024 (i) | 36,099,839 | 290,012 | ||
Freddie Mac, 0.597%, 7/25/2024 (i) | 49,071,381 | 293,476 | ||
Freddie Mac, 3.303%, 7/25/2024 | 4,700,000 | 4,588,488 | ||
Freddie Mac, 3.064%, 8/25/2024 | 5,927,185 | 5,759,335 | ||
Freddie Mac, 4.5%, 9/01/2024 - 5/01/2042 | 6,680,960 | 6,564,951 | ||
Freddie Mac, 2.67%, 12/25/2024 | 10,948,000 | 10,496,242 | ||
Freddie Mac, 3.062%, 12/25/2024 | 325,000 | 313,470 | ||
Freddie Mac, 2.811%, 1/25/2025 | 7,434,950 | 7,137,808 | ||
Freddie Mac, 3.329%, 5/25/2025 | 16,621,000 | 16,026,743 | ||
Freddie Mac, 3.284%, 6/25/2025 | 1,125,000 | 1,084,363 | ||
Freddie Mac, 4%, 7/01/2025 - 4/01/2044 | 4,429,421 | 4,263,413 | ||
Freddie Mac, 3.5%, 11/15/2025 - 10/25/2058 | 33,421,807 | 31,406,500 | ||
Freddie Mac, 1.368%, 3/25/2027 (i) | 5,583,000 | 271,510 | ||
Freddie Mac, 0.573%, 7/25/2027 (i) | 103,944,483 | 2,175,080 | ||
Freddie Mac, 0.424%, 8/25/2027 (i) | 81,513,145 | 1,321,556 | ||
Freddie Mac, 0.293%, 1/25/2028 (i) | 143,574,055 | 1,913,124 | ||
Freddie Mac, 0.304%, 1/25/2028 (i) | 61,660,482 | 846,019 | ||
Freddie Mac, 0.135%, 2/25/2028 (i) | 175,024,107 | 1,230,805 | ||
Freddie Mac, 2.5%, 3/15/2028 | 207,020 | 205,336 | ||
Freddie Mac, 0.12%, 4/25/2028 (i) | 113,029,965 | 754,091 | ||
Freddie Mac, 3%, 6/15/2028 - 2/25/2059 | 24,774,913 | 22,495,794 | ||
Freddie Mac, 3.69%, 1/25/2029 | 5,643,236 | 5,393,839 | ||
Freddie Mac, 1.091%, 7/25/2029 (i) | 19,320,919 | 1,079,168 | ||
Freddie Mac, 1.143%, 8/25/2029 (i) | 33,720,863 | 1,979,479 | ||
Freddie Mac, 1.8%, 4/25/2030 (i) | 14,430,646 | 1,514,518 | ||
Freddie Mac, 1.868%, 4/25/2030 (i) | 20,077,463 | 2,130,442 | ||
Freddie Mac, 1.665%, 5/25/2030 (i) | 12,033,779 | 1,173,847 | ||
Freddie Mac, 1.797%, 5/25/2030 (i) | 26,880,424 | 2,821,076 | ||
Freddie Mac, 5.5%, 6/01/2030 - 9/01/2041 | 3,678,746 | 3,768,304 | ||
Freddie Mac, 1.341%, 6/25/2030 (i) | 11,124,134 | 892,466 | ||
Freddie Mac, 1.6%, 8/25/2030 (i) | 10,235,210 | 982,658 | ||
Freddie Mac, 1.17%, 9/25/2030 (i) | 6,568,138 | 469,854 | ||
Freddie Mac, 1.08%, 11/25/2030 (i) | 13,158,725 | 882,982 | ||
Freddie Mac, 0.329%, 1/25/2031 (i) | 50,152,023 | 992,343 | ||
Freddie Mac, 0.781%, 1/25/2031 (i) | 19,512,958 | 990,439 | ||
Freddie Mac, 0.936%, 1/25/2031 (i) | 14,681,587 | 873,230 | ||
Freddie Mac, 0.516%, 3/25/2031 (i) | 40,293,212 | 1,287,251 | ||
Freddie Mac, 0.732%, 3/25/2031 (i) | 17,260,719 | 828,858 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Freddie Mac, 1.217%, 5/25/2031 (i) | $ | 7,120,528 | $564,108 | |
Freddie Mac, 0.937%, 7/25/2031 (i) | 11,674,001 | 736,346 | ||
Freddie Mac, 0.508%, 8/25/2031 (i) | 14,900,584 | 514,593 | ||
Freddie Mac, 0.536%, 9/25/2031 (i) | 50,149,699 | 1,870,985 | ||
Freddie Mac, 0.855%, 9/25/2031 (i) | 14,983,637 | 865,221 | ||
Freddie Mac, 2.154%, 10/25/2031 | 1,500,000 | 1,249,431 | ||
Freddie Mac, 0.349%, 11/25/2031 (i) | 73,361,326 | 1,849,212 | ||
Freddie Mac, 0.498%, 12/25/2031 (i) | 73,957,916 | 2,571,250 | ||
Freddie Mac, 0.567%, 12/25/2031 (i) | 12,187,459 | 477,679 | ||
Freddie Mac, 2.59%, 1/25/2032 | 1,000,000 | 861,315 | ||
Freddie Mac, 2.4%, 3/25/2032 | 1,000,000 | 846,849 | ||
Freddie Mac, 5.5%, 2/15/2036 (i) | 370,628 | 59,564 | ||
Freddie Mac, 2%, 8/15/2036 | 732,709 | 724,482 | ||
Freddie Mac, 6.5%, 5/01/2037 | 130,967 | 137,585 | ||
Freddie Mac, 4.5%, 12/15/2040 (i) | 113,178 | 9,811 | ||
Freddie Mac, 1.75%, 8/15/2041 | 1,232,522 | 1,125,907 | ||
Freddie Mac, 2.58%, 6/25/2055 | 1,880,714 | 1,612,812 | ||
Freddie Mac, UMBS, 2.5%, 3/01/2037 - 1/01/2053 | 41,989,729 | 36,000,557 | ||
Freddie Mac, UMBS, 2%, 4/01/2037 - 5/01/2052 | 60,270,150 | 51,062,644 | ||
Freddie Mac, UMBS, 3.5%, 12/01/2046 - 11/01/2052 | 7,975,923 | 7,308,585 | ||
Freddie Mac, UMBS, 3%, 2/01/2050 - 10/01/2052 | 41,289,986 | 36,400,854 | ||
Freddie Mac, UMBS, 1.5%, 7/01/2051 - 10/01/2051 | 8,365,656 | 6,474,706 | ||
Freddie Mac, UMBS, 4%, 5/01/2052 - 9/01/2052 | 6,372,709 | 6,027,584 | ||
Ginnie Mae, 5.5%, 3/15/2033 - 1/20/2053 | 10,922,278 | 11,003,462 | ||
Ginnie Mae, 4.5%, 7/20/2033 - 12/20/2052 | 53,159,408 | 51,655,862 | ||
Ginnie Mae, 5.679%, 8/20/2034 | 1,211,231 | 1,231,820 | ||
Ginnie Mae, 4%, 5/16/2039 - 10/20/2052 | 17,941,064 | 17,024,823 | ||
Ginnie Mae, 3.5%, 10/20/2041 (i) | 464,891 | 22,636 | ||
Ginnie Mae, 3.5%, 12/15/2041 - 11/20/2052 | 35,513,392 | 32,835,994 | ||
Ginnie Mae, 2.5%, 6/20/2042 - 6/20/2052 | 45,599,548 | 39,473,588 | ||
Ginnie Mae, 4%, 8/16/2042 (i) | 678,240 | 99,547 | ||
Ginnie Mae, 3%, 2/20/2043 - 10/20/2052 | 46,315,504 | 41,574,818 | ||
Ginnie Mae, 2.25%, 9/20/2043 | 810,321 | 769,681 | ||
Ginnie Mae, 2%, 1/20/2052 - 3/20/2052 | 21,589,601 | 18,102,399 | ||
Ginnie Mae, 0.586%, 2/16/2059 (i) | 2,590,353 | 88,382 | ||
Ginnie Mae, TBA, 5%, 3/15/2053 - 4/20/2053 | 3,325,000 | 3,284,840 | ||
Ginnie Mae, TBA, 6%, 3/15/2053 | 13,375,000 | 13,567,200 | ||
Ginnie Mae, TBA, 5.5%, 4/20/2053 | 3,700,000 | 3,708,816 | ||
UMBS, TBA, 6%, 3/13/2053 | 450,000 | 455,201 | ||
$1,024,394,818 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Municipals – 0.8% | ||||
California Earthquake Authority Rev., Taxable, “B”, 1.477%, 7/01/2023 | $ | 1,355,000 | $1,338,085 | |
Chicago, IL, Transit Authority Sales Tax Receipts Refunding Rev., Taxable, “B”, 2.064%, 12/01/2024 | 985,000 | 934,652 | ||
Chicago, IL, Transit Authority Sales Tax Receipts Refunding Rev., Taxable, “B”, 2.214%, 12/01/2025 | 738,000 | 684,505 | ||
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 3%, 6/01/2046 | 4,150,000 | 3,809,303 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.682%, 7/01/2027 | 2,165,000 | 1,948,556 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 1,159,841 | 1,100,949 | ||
Philadelphia, PA, School District, Taxable, “A”, AGM, 5.995%, 9/01/2030 | 3,280,000 | 3,449,996 | ||
Port of Oakland, CA, Senior Lien Refunding Rev., Taxable, “R”, 1.517%, 5/01/2026 | 1,680,000 | 1,507,942 | ||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.497%, 6/01/2024 | 1,900,000 | 1,805,231 | ||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.647%, 6/01/2025 | 1,550,000 | 1,420,151 | ||
$17,999,370 | ||||
U.S. Government Agencies and Equivalents – 0.2% | ||||
Small Business Administration, 4.98%, 11/01/2023 | $ | 13,765 | $13,666 | |
Small Business Administration, 4.89%, 12/01/2023 | 43,040 | 42,514 | ||
Small Business Administration, 4.77%, 4/01/2024 | 61,360 | 60,540 | ||
Small Business Administration, 5.52%, 6/01/2024 | 25,275 | 25,226 | ||
Small Business Administration, 4.99%, 9/01/2024 | 41,475 | 40,804 | ||
Small Business Administration, 4.86%, 10/01/2024 | 39,009 | 38,580 | ||
Small Business Administration, 4.86%, 1/01/2025 | 67,602 | 66,594 | ||
Small Business Administration, 5.11%, 4/01/2025 | 56,327 | 55,175 | ||
Small Business Administration, 2.21%, 2/01/2033 | 694,246 | 622,637 | ||
Small Business Administration, 2.22%, 3/01/2033 | 1,093,717 | 985,162 | ||
Small Business Administration, 3.15%, 7/01/2033 | 1,115,186 | 1,044,344 | ||
Small Business Administration, 3.16%, 8/01/2033 | 427,658 | 401,976 | ||
Small Business Administration, 3.62%, 9/01/2033 | 396,780 | 378,580 | ||
$3,775,798 | ||||
U.S. Treasury Obligations – 36.3% | ||||
U.S. Treasury Bonds, 6.25%, 8/15/2023 | $ | 1,445,000 | $1,453,128 | |
U.S. Treasury Bonds, 6%, 2/15/2026 | 5,933,000 | 6,177,504 | ||
U.S. Treasury Bonds, 6.75%, 8/15/2026 | 981,000 | 1,053,770 | ||
U.S. Treasury Bonds, 6.375%, 8/15/2027 | 2,309,000 | 2,502,740 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Treasury Obligations – continued | ||||
U.S. Treasury Bonds, 4.375%, 2/15/2038 | $ | 2,078,000 | $2,176,543 | |
U.S. Treasury Bonds, 4.5%, 8/15/2039 | 11,926,300 | 12,649,798 | ||
U.S. Treasury Bonds, 3.125%, 2/15/2043 | 9,748,800 | 8,400,343 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2043 | 27,528,200 | 22,773,133 | ||
U.S. Treasury Bonds, 2.5%, 2/15/2045 | 97,983,000 | 74,853,653 | ||
U.S. Treasury Bonds, 2.875%, 11/15/2046 | 26,245,000 | 21,384,549 | ||
U.S. Treasury Notes, 2.5%, 3/31/2023 | 131,000,000 | 130,760,877 | ||
U.S. Treasury Notes, 0.125%, 5/31/2023 | 33,455,000 | 33,059,078 | ||
U.S. Treasury Notes, 0.125%, 6/30/2023 | 18,346,500 | 18,055,536 | ||
U.S. Treasury Notes, 0.125%, 7/15/2023 | 11,546,000 | 11,334,925 | ||
U.S. Treasury Notes, 2.5%, 8/15/2023 (f) | 136,673,000 | 135,103,395 | ||
U.S. Treasury Notes, 0.375%, 10/31/2023 | 8,133,200 | 7,883,485 | ||
U.S. Treasury Notes, 4.375%, 10/31/2024 | 5,227,000 | 5,177,997 | ||
U.S. Treasury Notes, 2.625%, 12/31/2025 | 20,900,000 | 19,872,961 | ||
U.S. Treasury Notes, 0.75%, 5/31/2026 | 38,599,000 | 34,318,431 | ||
U.S. Treasury Notes, 2%, 11/15/2026 | 51,959,000 | 47,790,102 | ||
U.S. Treasury Notes, 2.75%, 2/15/2028 | 54,157,000 | 50,670,643 | ||
U.S. Treasury Notes, 1%, 7/31/2028 | 32,248,000 | 27,350,335 | ||
U.S. Treasury Notes, 2.375%, 5/15/2029 | 19,515,500 | 17,660,003 | ||
U.S. Treasury Notes, 1.625%, 8/15/2029 | 29,405,000 | 25,416,947 | ||
U.S. Treasury Notes, 1.75%, 11/15/2029 | 8,564,000 | 7,451,349 | ||
U.S. Treasury Notes, 1.625%, 5/15/2031 | 41,833,000 | 35,169,134 | ||
U.S. Treasury Notes, 1.375%, 11/15/2031 | 11,425,300 | 9,300,462 | ||
U.S. Treasury Notes, 3.25%, 5/15/2042 | 3,075,000 | 2,717,892 | ||
$772,518,713 | ||||
Total Bonds (Identified Cost, $2,130,332,223) | $1,963,316,069 | |||
Investment Companies (h) – 8.4% | ||||
Money Market Funds – 8.4% | ||||
MFS Institutional Money Market Portfolio, 4.55% (v) (Identified Cost, $179,828,867) | 179,832,235 | $179,832,235 | ||
Other Assets, Less Liabilities – (0.6)% | (13,096,501) | |||
Net Assets – 100.0% | $2,130,051,803 |
(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 $179,832,235 and $1,963,316,069, 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 $97,508,868, representing 4.6% 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 Ultra Note 10 yr | Long | USD | 333 | $39,023,437 | June – 2023 | $93,483 |
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Bond | Long | USD | 359 | $44,953,531 | June – 2023 | $(25,052) |
U.S. Treasury Note 10 yr | Long | USD | 1,580 | 176,416,875 | June – 2023 | (195,794) |
U.S. Treasury Note 2 yr | Long | USD | 202 | 41,152,766 | June – 2023 | (124,089) |
U.S. Treasury Note 5 yr | Long | USD | 1,799 | 192,591,384 | June – 2023 | (443,189) |
U.S. Treasury Ultra Bond | Long | USD | 285 | 38,492,812 | June – 2023 | (177,222) |
$(965,346) |
Assets | |
Investments in unaffiliated issuers, at value (identified cost, $2,130,332,223) | $1,963,316,069 |
Investments in affiliated issuers, at value (identified cost, $179,828,867) | 179,832,235 |
Receivables for | |
Net daily variation margin on open futures contracts | 16,827 |
Investments sold | 8,579,604 |
TBA sale commitments | 12,592,320 |
Fund shares sold | 2,044,820 |
Interest | 7,687,558 |
Other assets | 6,589 |
Total assets | $2,174,076,022 |
Liabilities | |
Payable to custodian | $33,399 |
Payables for | |
Distributions | 193,069 |
Investments purchased | 7,131,533 |
TBA purchase commitments | 33,829,783 |
Fund shares reacquired | 2,399,689 |
Payable to affiliates | |
Investment adviser | 41,913 |
Administrative services fee | 1,794 |
Shareholder servicing costs | 244,774 |
Distribution and service fees | 8,280 |
Payable for independent Trustees' compensation | 4,008 |
Accrued expenses and other liabilities | 135,977 |
Total liabilities | $44,024,219 |
Net assets | $2,130,051,803 |
Net assets consist of | |
Paid-in capital | $2,509,941,941 |
Total distributable earnings (loss) | (379,890,138) |
Net assets | $2,130,051,803 |
Shares of beneficial interest outstanding | 245,395,701 |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $468,594,901 | 53,931,815 | $8.69 |
Class B | 1,528,677 | 176,145 | 8.68 |
Class C | 5,145,908 | 591,376 | 8.70 |
Class I | 233,539,998 | 26,926,376 | 8.67 |
Class R1 | 1,587,242 | 182,876 | 8.68 |
Class R2 | 40,294,727 | 4,642,605 | 8.68 |
Class R3 | 27,808,376 | 3,202,024 | 8.68 |
Class R4 | 42,785,185 | 4,925,399 | 8.69 |
Class R6 | 1,308,766,789 | 150,817,085 | 8.68 |
(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 $9.08 [100 / 95.75 x $8.69]. 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 | $50,309,403 |
Dividends from affiliated issuers | 3,714,566 |
Other | 273 |
Total investment income | $54,024,242 |
Expenses | |
Management fee | $8,406,577 |
Distribution and service fees | 1,681,722 |
Shareholder servicing costs | 1,195,142 |
Administrative services fee | 364,456 |
Independent Trustees' compensation | 39,023 |
Custodian fee | 142,043 |
Shareholder communications | 58,077 |
Audit and tax fees | 74,114 |
Legal fees | 11,639 |
Miscellaneous | 229,675 |
Total expenses | $12,202,468 |
Fees paid indirectly | (33,334) |
Reduction of expenses by investment adviser and distributor | (312,331) |
Net expenses | $11,856,803 |
Net investment income (loss) | $42,167,439 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $(50,288,051) |
Affiliated issuers | (18,693) |
Futures contracts | (47,715,958) |
Foreign currency | (11) |
Net realized gain (loss) | $(98,022,713) |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $(184,217,592) |
Affiliated issuers | 1,853 |
Futures contracts | (2,806,758) |
Net unrealized gain (loss) | $(187,022,497) |
Net realized and unrealized gain (loss) | $(285,045,210) |
Change in net assets from operations | $(242,877,771) |
Year ended | ||
2/28/23 | 2/28/22 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $42,167,439 | $24,907,648 |
Net realized gain (loss) | (98,022,713) | (19,495,848) |
Net unrealized gain (loss) | (187,022,497) | (64,585,881) |
Change in net assets from operations | $(242,877,771) | $(59,174,081) |
Total distributions to shareholders | $(44,759,748) | $(30,875,262) |
Change in net assets from fund share transactions | $(163,743,589) | $74,959,507 |
Total change in net assets | $(451,381,108) | $(15,089,836) |
Net assets | ||
At beginning of period | 2,581,432,911 | 2,596,522,747 |
At end of period | $2,130,051,803 | $2,581,432,911 |
Class A | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $9.81 | $10.15 | $10.28 | $9.59 | $9.55 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.15 | $0.07 | $0.14 | $0.20 | $0.20 |
Net realized and unrealized gain (loss) | (1.11) | (0.31) | (0.10) | 0.70 | 0.06 |
Total from investment operations | $(0.96) | $(0.24) | $0.04 | $0.90 | $0.26 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.16) | $(0.10) | $(0.17) | $(0.21) | $(0.22) |
Net asset value, end of period (x) | $8.69 | $9.81 | $10.15 | $10.28 | $9.59 |
Total return (%) (r)(s)(t)(x) | (9.83) | (2.43) | 0.40 | 9.48 | 2.75 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 0.78 | 0.79 | 0.81 | 0.85 | 0.86 |
Expenses after expense reductions (f) | 0.76 | 0.78 | 0.80 | 0.84 | 0.84 |
Net investment income (loss) | 1.63 | 0.73 | 1.35 | 1.98 | 2.12 |
Portfolio turnover | 198 | 398 | 307 | 113 | 56 |
Net assets at end of period (000 omitted) | $468,595 | $589,493 | $805,484 | $702,063 | $596,678 |
Class B | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $9.80 | $10.14 | $10.27 | $9.58 | $9.54 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.08 | $(0.00)(w) | $0.07 | $0.12 | $0.13 |
Net realized and unrealized gain (loss) | (1.11) | (0.32) | (0.10) | 0.71 | 0.06 |
Total from investment operations | $(1.03) | $(0.32) | $(0.03) | $0.83 | $0.19 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.09) | $(0.02) | $(0.10) | $(0.14) | $(0.15) |
Net asset value, end of period (x) | $8.68 | $9.80 | $10.14 | $10.27 | $9.58 |
Total return (%) (r)(s)(t)(x) | (10.52) | (3.16) | (0.35) | 8.68 | 1.99 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.53 | 1.54 | 1.56 | 1.60 | 1.61 |
Expenses after expense reductions (f) | 1.51 | 1.53 | 1.55 | 1.59 | 1.60 |
Net investment income (loss) | 0.83 | (0.02) | 0.66 | 1.23 | 1.37 |
Portfolio turnover | 198 | 398 | 307 | 113 | 56 |
Net assets at end of period (000 omitted) | $1,529 | $2,757 | $4,468 | $7,711 | $8,811 |
Class C | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $9.83 | $10.17 | $10.29 | $9.60 | $9.57 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.07 | $(0.00)(w) | $0.07 | $0.12 | $0.13 |
Net realized and unrealized gain (loss) | (1.11) | (0.32) | (0.09) | 0.71 | 0.05 |
Total from investment operations | $(1.04) | $(0.32) | $(0.02) | $0.83 | $0.18 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.09) | $(0.02) | $(0.10) | $(0.14) | $(0.15) |
Net asset value, end of period (x) | $8.70 | $9.83 | $10.17 | $10.29 | $9.60 |
Total return (%) (r)(s)(t)(x) | (10.58) | (3.15) | (0.25) | 8.66 | 1.88 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.53 | 1.54 | 1.56 | 1.60 | 1.61 |
Expenses after expense reductions (f) | 1.51 | 1.53 | 1.55 | 1.59 | 1.60 |
Net investment income (loss) | 0.83 | (0.01) | 0.63 | 1.23 | 1.37 |
Portfolio turnover | 198 | 398 | 307 | 113 | 56 |
Net assets at end of period (000 omitted) | $5,146 | $10,187 | $19,052 | $20,084 | $19,919 |
Class I | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $9.80 | $10.14 | $10.27 | $9.58 | $9.55 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.17 | $0.10 | $0.17 | $0.22 | $0.22 |
Net realized and unrealized gain (loss) | (1.12) | (0.32) | (0.10) | 0.70 | 0.05 |
Total from investment operations | $(0.95) | $(0.22) | $0.07 | $0.92 | $0.27 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.18) | $(0.12) | $(0.20) | $(0.23) | $(0.24) |
Net asset value, end of period (x) | $8.67 | $9.80 | $10.14 | $10.27 | $9.58 |
Total return (%) (r)(s)(t)(x) | (9.71) | (2.18) | 0.65 | 9.76 | 2.90 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 0.53 | 0.53 | 0.56 | 0.60 | 0.61 |
Expenses after expense reductions (f) | 0.51 | 0.52 | 0.55 | 0.59 | 0.60 |
Net investment income (loss) | 1.88 | 0.97 | 1.60 | 2.20 | 2.36 |
Portfolio turnover | 198 | 398 | 307 | 113 | 56 |
Net assets at end of period (000 omitted) | $233,540 | $274,851 | $162,286 | $96,407 | $43,627 |
Class R1 | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $9.80 | $10.14 | $10.27 | $9.58 | $9.54 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.08 | $(0.00)(w) | $0.06 | $0.12 | $0.13 |
Net realized and unrealized gain (loss) | (1.11) | (0.32) | (0.09) | 0.71 | 0.06 |
Total from investment operations | $(1.03) | $(0.32) | $(0.03) | $0.83 | $0.19 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.09) | $(0.02) | $(0.10) | $(0.14) | $(0.15) |
Net asset value, end of period (x) | $8.68 | $9.80 | $10.14 | $10.27 | $9.58 |
Total return (%) (r)(s)(t)(x) | (10.52) | (3.16) | (0.35) | 8.68 | 1.99 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.53 | 1.54 | 1.56 | 1.60 | 1.61 |
Expenses after expense reductions (f) | 1.51 | 1.53 | 1.55 | 1.59 | 1.60 |
Net investment income (loss) | 0.89 | (0.02) | 0.61 | 1.23 | 1.37 |
Portfolio turnover | 198 | 398 | 307 | 113 | 56 |
Net assets at end of period (000 omitted) | $1,587 | $1,960 | $2,274 | $2,158 | $2,125 |
Class R2 | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $9.80 | $10.14 | $10.27 | $9.58 | $9.54 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.13 | $0.05 | $0.12 | $0.17 | $0.18 |
Net realized and unrealized gain (loss) | (1.11) | (0.32) | (0.10) | 0.71 | 0.06 |
Total from investment operations | $(0.98) | $(0.27) | $0.02 | $0.88 | $0.24 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.14) | $(0.07) | $(0.15) | $(0.19) | $(0.20) |
Net asset value, end of period (x) | $8.68 | $9.80 | $10.14 | $10.27 | $9.58 |
Total return (%) (r)(s)(t)(x) | (10.07) | (2.67) | 0.15 | 9.22 | 2.50 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.03 | 1.04 | 1.06 | 1.10 | 1.11 |
Expenses after expense reductions (f) | 1.01 | 1.03 | 1.05 | 1.09 | 1.10 |
Net investment income (loss) | 1.39 | 0.48 | 1.12 | 1.73 | 1.87 |
Portfolio turnover | 198 | 398 | 307 | 113 | 56 |
Net assets at end of period (000 omitted) | $40,295 | $49,375 | $63,945 | $78,519 | $86,431 |
Class R3 | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $9.81 | $10.15 | $10.27 | $9.58 | $9.55 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.15 | $0.07 | $0.14 | $0.20 | $0.20 |
Net realized and unrealized gain (loss) | (1.12) | (0.31) | (0.09) | 0.70 | 0.05 |
Total from investment operations | $(0.97) | $(0.24) | $0.05 | $0.90 | $0.25 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.16) | $(0.10) | $(0.17) | $(0.21) | $(0.22) |
Net asset value, end of period (x) | $8.68 | $9.81 | $10.15 | $10.27 | $9.58 |
Total return (%) (r)(s)(t)(x) | (9.93) | (2.43) | 0.50 | 9.49 | 2.65 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 0.78 | 0.79 | 0.81 | 0.85 | 0.86 |
Expenses after expense reductions (f) | 0.76 | 0.78 | 0.80 | 0.84 | 0.85 |
Net investment income (loss) | 1.62 | 0.73 | 1.36 | 1.99 | 2.12 |
Portfolio turnover | 198 | 398 | 307 | 113 | 56 |
Net assets at end of period (000 omitted) | $27,808 | $38,286 | $49,242 | $52,773 | $66,977 |
Class R4 | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $9.81 | $10.15 | $10.28 | $9.59 | $9.55 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.17 | $0.10 | $0.17 | $0.22 | $0.22 |
Net realized and unrealized gain (loss) | (1.11) | (0.32) | (0.10) | 0.71 | 0.06 |
Total from investment operations | $(0.94) | $(0.22) | $0.07 | $0.93 | $0.28 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.18) | $(0.12) | $(0.20) | $(0.24) | $(0.24) |
Net asset value, end of period (x) | $8.69 | $9.81 | $10.15 | $10.28 | $9.59 |
Total return (%) (r)(s)(t)(x) | (9.60) | (2.18) | 0.65 | 9.75 | 3.01 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 0.53 | 0.54 | 0.56 | 0.60 | 0.61 |
Expenses after expense reductions (f) | 0.51 | 0.53 | 0.55 | 0.59 | 0.60 |
Net investment income (loss) | 1.87 | 0.98 | 1.61 | 2.22 | 2.36 |
Portfolio turnover | 198 | 398 | 307 | 113 | 56 |
Net assets at end of period (000 omitted) | $42,785 | $53,252 | $67,258 | $73,230 | $58,677 |
Class R6 | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $9.80 | $10.14 | $10.27 | $9.58 | $9.54 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.18 | $0.11 | $0.18 | $0.23 | $0.24 |
Net realized and unrealized gain (loss) | (1.11) | (0.32) | (0.10) | 0.71 | 0.05 |
Total from investment operations | $(0.93) | $(0.21) | $0.08 | $0.94 | $0.29 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.19) | $(0.13) | $(0.21) | $(0.25) | $(0.25) |
Net asset value, end of period (x) | $8.68 | $9.80 | $10.14 | $10.27 | $9.58 |
Total return (%) (r)(s)(t)(x) | (9.52) | (2.08) | 0.75 | 9.87 | 3.13 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 0.43 | 0.44 | 0.46 | 0.50 | 0.50 |
Expenses after expense reductions (f) | 0.41 | 0.42 | 0.45 | 0.49 | 0.49 |
Net investment income (loss) | 1.98 | 1.08 | 1.69 | 2.33 | 2.48 |
Portfolio turnover | 198 | 398 | 307 | 113 | 56 |
Net assets at end of period (000 omitted) | $1,308,767 | $1,561,273 | $1,422,514 | $1,220,812 | $1,025,911 |
(d) | Per share data is based on average shares outstanding. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. See Note 2 in the Notes to Financial Statements for additional information. |
(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 | $— | $776,294,511 | $— | $776,294,511 |
Municipal Bonds | — | 17,999,370 | — | 17,999,370 |
U.S. Corporate Bonds | — | 9,376,356 | — | 9,376,356 |
Residential Mortgage-Backed Securities | — | 1,024,394,818 | — | 1,024,394,818 |
Commercial Mortgage-Backed Securities | — | 85,139,495 | — | 85,139,495 |
Asset-Backed Securities (including CDOs) | — | 50,111,519 | — | 50,111,519 |
Mutual Funds | 179,832,235 | — | — | 179,832,235 |
Total | $179,832,235 | $1,963,316,069 | $— | $2,143,148,304 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $93,483 | $— | $— | $93,483 |
Futures Contracts – Liabilities | (965,346) | — | — | (965,346) |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Interest Rate | Futures Contracts | $93,483 | $(965,346) |
(a) | Values presented in this table for futures contracts correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts is reported separately within the Statement of Assets and Liabilities. |
Risk | Futures Contracts |
Interest Rate | $(47,715,958) |
Risk | Futures Contracts |
Interest Rate | $(2,806,758) |
Year ended 2/28/23 | Year ended 2/28/22 | |
Ordinary income (including any short-term capital gains) | $44,759,748 | $30,875,262 |
As of 2/28/23 | |
Cost of investments | $2,326,333,813 |
Gross appreciation | 1,689,821 |
Gross depreciation | (185,747,193) |
Net unrealized appreciation (depreciation) | $(184,057,372) |
Undistributed ordinary income | 14,088,188 |
Capital loss carryforwards | (204,998,297) |
Other temporary differences | (4,922,657) |
Total distributable earnings (loss) | $(379,890,138) |
Short-Term | $(83,581,935) |
Long-Term | (121,416,362) |
Total | $(204,998,297) |
Year ended 2/28/23 | Year ended 2/28/22 | |
Class A | $8,867,727 | $6,866,841 |
Class B | 18,682 | 7,613 |
Class C | 67,107 | 30,740 |
Class I | 4,959,100 | 2,502,609 |
Class R1 | 17,491 | 4,340 |
Class R2 | 647,768 | 407,067 |
Class R3 | 562,865 | 416,860 |
Class R4 | 868,517 | 772,308 |
Class R6 | 28,750,491 | 19,866,884 |
Total | $44,759,748 | $30,875,262 |
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% | $ 1,274,319 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 19,960 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 72,864 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 17,559 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 215,815 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 81,205 |
Total Distribution and Service Fees | $1,681,722 |
(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 year ended February 28, 2023 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 year ended February 28, 2023, this rebate amounted to $885 for Class A shares and is included in the reduction of total expenses in the Statement of Operations. |
Amount | |
Class A | $82,580 |
Class B | 1,956 |
Class C | 374 |
Purchases | Sales | |
U.S. Government securities | $4,312,904,188 | $4,534,496,533 |
Non-U.S. Government securities | 25,837,252 | 71,926,553 |
Year ended 2/28/23 | Year ended 2/28/22 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 8,608,163 | $77,542,261 | 12,865,232 | $129,822,253 | |
Class B | 6,271 | 60,226 | 21,933 | 216,332 | |
Class C | 107,209 | 979,565 | 205,708 | 2,075,649 | |
Class I | 6,457,198 | 58,069,206 | 18,031,612 | 182,635,307 | |
Class R1 | 17,127 | 154,253 | 21,801 | 219,632 | |
Class R2 | 1,359,314 | 12,281,140 | 797,169 | 8,008,502 | |
Class R3 | 1,036,197 | 9,344,478 | 887,626 | 8,929,415 | |
Class R4 | 1,141,117 | 10,200,677 | 1,720,152 | 17,301,502 | |
Class R6 | 12,743,386 | 114,469,579 | 27,045,019 | 273,000,607 | |
31,475,982 | $283,101,385 | 61,596,252 | $622,209,199 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 942,599 | $8,394,304 | 573,886 | $5,784,485 | |
Class B | 2,103 | 18,602 | 730 | 7,374 | |
Class C | 7,370 | 65,405 | 2,956 | 29,928 | |
Class I | 535,799 | 4,765,741 | 232,686 | 2,336,109 | |
Class R1 | 1,979 | 17,475 | 430 | 4,337 | |
Class R2 | 72,622 | 644,607 | 39,925 | 402,161 | |
Class R3 | 63,239 | 562,856 | 41,361 | 416,755 | |
Class R4 | 31,462 | 280,532 | 28,135 | 283,710 | |
Class R6 | 3,169,327 | 28,224,056 | 1,940,314 | 19,521,118 | |
4,826,500 | $42,973,578 | 2,860,423 | $28,785,977 | ||
Shares reacquired | |||||
Class A | (15,693,409) | $(141,722,518) | (32,694,309) | $(330,894,993) | |
Class B | (113,486) | (1,032,921) | (181,994) | (1,831,424) | |
Class C | (559,768) | (5,073,505) | (1,045,840) | (10,566,047) | |
Class I | (8,124,551) | (72,935,528) | (6,214,095) | (62,539,024) | |
Class R1 | (36,152) | (324,927) | (46,555) | (467,553) | |
Class R2 | (1,826,618) | (16,564,007) | (2,104,748) | (21,209,554) | |
Class R3 | (1,800,829) | (16,274,771) | (1,877,643) | (18,929,424) | |
Class R4 | (1,675,006) | (15,234,061) | (2,945,540) | (29,635,565) | |
Class R6 | (24,396,879) | (220,656,314) | (9,948,777) | (99,962,085) | |
(54,226,698) | $(489,818,552) | (57,059,501) | $(576,035,669) |
Year ended 2/28/23 | Year ended 2/28/22 | ||||
Shares | Amount | Shares | Amount | ||
Net change | |||||
Class A | (6,142,647) | $(55,785,953) | (19,255,191) | $(195,288,255) | |
Class B | (105,112) | (954,093) | (159,331) | (1,607,718) | |
Class C | (445,189) | (4,028,535) | (837,176) | (8,460,470) | |
Class I | (1,131,554) | (10,100,581) | 12,050,203 | 122,432,392 | |
Class R1 | (17,046) | (153,199) | (24,324) | (243,584) | |
Class R2 | (394,682) | (3,638,260) | (1,267,654) | (12,798,891) | |
Class R3 | (701,393) | (6,367,437) | (948,656) | (9,583,254) | |
Class R4 | (502,427) | (4,752,852) | (1,197,253) | (12,050,353) | |
Class R6 | (8,484,166) | (77,962,679) | 19,036,556 | 192,559,640 | |
(17,924,216) | $(163,743,589) | 7,397,174 | $74,959,507 |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $677,447,936 | $1,322,516,628 | $1,820,115,489 | $(18,693) | $1,853 | $179,832,235 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $3,714,566 | $— |
April 14, 2023
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds overseen by the Trustee | Principal Occupations During the Past Five Years | Other Directorships During the Past Five Years (j) | |||||
INTERESTED TRUSTEE | ||||||||||
Michael W. Roberge (k) (age 56) | Trustee | January 2021 | 136 | Massachusetts Financial Services Company, Chairman (since January 2021); Chief Executive Officer (since January 2017); Director; Chairman of the Board (since January 2022); President (until December 2018); Chief Investment Officer (until December 2018) | N/A | |||||
INDEPENDENT TRUSTEES | ||||||||||
John P. Kavanaugh (age 68) | Trustee and Chair of Trustees | January 2009 | 136 | Private investor | N/A | |||||
Steven E. Buller (age 71) | Trustee | February 2014 | 136 | Private investor | N/A | |||||
John A. Caroselli (age 68) | Trustee | March 2017 | 136 | Private investor; JC Global Advisors, LLC (management consulting), President (since 2015) | N/A | |||||
Maureen R. Goldfarb (age 67) | Trustee | January 2009 | 136 | Private investor | N/A | |||||
Peter D. Jones (age 67) | Trustee | January 2019 | 136 | Private investor | N/A | |||||
James W. Kilman, Jr. (age 61) | Trustee | January 2019 | 136 | Burford Capital Limited (finance and investment management), Senior Advisor (since May 3, 2021), Chief Financial Officer (2019 - May 2, 2021); KielStrand Capital LLC (family office), Chief Executive Officer (since 2016) | Alpha-En Corporation, Director (2016-2019) |
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds overseen by the Trustee | Principal Occupations During the Past Five Years | Other Directorships During the Past Five Years (j) | |||||
Clarence Otis, Jr. (age 66) | Trustee | March 2017 | 136 | Private investor | VF Corporation, Director; Verizon Communications, Inc., Director; The Travelers Companies, Director | |||||
Maryanne L. Roepke (age 67) | Trustee | May 2014 | 136 | Private investor | N/A | |||||
Laurie J. Thomsen (age 65) | Trustee | March 2005 | 136 | Private investor | The Travelers Companies, Director; Dycom Industries, Inc., Director |
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds for which the Person is an Officer | Principal Occupations During the Past Five Years | ||||
OFFICERS | ||||||||
Christopher R. Bohane (k) (age 49) | Assistant Secretary and Assistant Clerk | July 2005 | 136 | Massachusetts Financial Services Company, Senior Vice President and Senior Managing Counsel | ||||
Kino Clark (k) (age 54) | Assistant Treasurer | January 2012 | 136 | Massachusetts Financial Services Company, Vice President | ||||
John W. Clark, Jr. (k) (age 56) | Assistant Treasurer | April 2017 | 136 | Massachusetts Financial Services Company, Vice President | ||||
David L. DiLorenzo (k) (age 54) | President | July 2005 | 136 | Massachusetts Financial Services Company, Senior Vice President | ||||
Heidi W. Hardin (k) (age 55) | Secretary and Clerk | April 2017 | 136 | Massachusetts Financial Services Company, Executive Vice President and General Counsel | ||||
Brian E. Langenfeld (k) (age 50) | Assistant Secretary and Assistant Clerk | June 2006 | 136 | Massachusetts Financial Services Company, Vice President and Managing Counsel |
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds for which the Person is an Officer | Principal Occupations During the Past Five Years | ||||
Rosa E. Licea-Mailloux (k) (age 46) | Chief Compliance Officer | March 2022 | 136 | Massachusetts Financial Services Company, Vice President (since 2018); Director of Corporate Compliance (2018-2021), Senior Director Compliance (2021-2022), Senior Managing Director of North American Compliance & Chief Compliance Officer (since March 2022); Natixis Investment Managers (investment management), Funds Chief Compliance Officer, Deputy General Counsel & Senior Vice President (until 2018) | ||||
Amanda S. Mooradian (k) (age 44) | Assistant Secretary and Assistant Clerk | September 2018 | 136 | Massachusetts Financial Services Company, Assistant Vice President and Senior Counsel | ||||
Susan A. Pereira (k) (age 52) | Assistant Secretary and Assistant Clerk | July 2005 | 136 | Massachusetts Financial Services Company, Vice President and Managing Counsel | ||||
Kasey L. Phillips (k) (age 52) | Assistant Treasurer | September 2012 | 136 | Massachusetts Financial Services Company, Vice President | ||||
Matthew A. Stowe (k) (age 48) | Assistant Secretary and Assistant Clerk | October 2014 | 136 | Massachusetts Financial Services Company, Vice President and Senior Managing Counsel | ||||
William B. Wilson (k) (age 40) | Assistant Secretary and Assistant Clerk | October 2022 | 136 | Massachusetts Financial Services Company, Assistant Vice President and Senior Counsel | ||||
James O. Yost (k) (age 62) | Treasurer | September 1990 | 136 | Massachusetts Financial Services Company, Senior Vice President |
(h) | Date first appointed to serve as Trustee/Officer of an MFS Fund. Each Trustee has served continuously since appointment unless indicated otherwise. From January 2012 through December 2016, Messrs. DiLorenzo and Yost served as Treasurer and Deputy Treasurer of the Funds, respectively. |
(j) | Directorships or trusteeships of companies required to report to the Securities and Exchange Commission (i.e., “public companies”). |
(k) | “Interested person” of the Trust within the meaning of the Investment Company Act of 1940 (referred to as the 1940 Act), which is the principal federal law governing investment companies like the fund, as a result of a position with MFS. The address of MFS is 111 Huntington Avenue, Boston, Massachusetts 02199-7618. |
Investment Adviser | Custodian |
Massachusetts Financial Services Company 111 Huntington Avenue Boston, MA 02199-7618 | JPMorgan Chase Bank, NA 4 Metrotech Center New York, NY 11245 |
Distributor | Independent Registered Public Accounting Firm |
MFS Fund Distributors, Inc. 111 Huntington Avenue Boston, MA 02199-7618 | Deloitte & Touche LLP 200 Berkeley Street Boston, MA 02116 |
Portfolio Manager(s) | |
Geoffrey Schechter Jake Stone |
FACTS | WHAT DOES MFS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: |
• Social Security number and account balances | |
• Account transactions and transaction history | |
• Checking account information and wire transfer instructions | |
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers' personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers' personal information; the reasons MFS chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does MFS share? | Can you limit this sharing? |
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes – to offer our products and services to you | No | We don't share |
For joint marketing with other financial companies | No | We don't share |
For our affiliates' everyday business purposes – information about your transactions and experiences | No | We don't share |
For our affiliates' everyday business purposes – information about your creditworthiness | No | We don't share |
For nonaffiliates to market to you | No | We don't share |
Questions? | Call 800-225-2606 or go to mfs.com. |
Who we are | |
Who is providing this notice? | MFS Funds, MFS Investment Management, MFS Institutional Advisors, Inc., and MFS Heritage Trust Company. |
What we do | |
How does MFS protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include procedural, electronic, and physical safeguards for the protection of the personal information we collect about you. |
How does MFS collect my personal information? | We collect your personal information, for example, when you |
• open an account or provide account information | |
• direct us to buy securities or direct us to sell your securities | |
• make a wire transfer | |
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. | |
Why can't I limit all sharing? | Federal law gives you the right to limit only |
• sharing for affiliates' everyday business purposes – information about your creditworthiness | |
• affiliates from using your information to market to you | |
• sharing for nonaffiliates to market to you | |
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. |
• MFS does not share personal information with affiliates, except for everyday business purposes as described on page one of this notice. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. |
• MFS does not share with nonaffiliates so they can market to you. | |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. |
• MFS doesn't jointly market. |
Other important information |
If you own an MFS product or receive an MFS service in the name of a third party such as a bank or broker-dealer, their privacy policy may apply to you instead of ours. |
Value Fund
Value Fund
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back cover |
International Game Technology PLC | 1.7% |
Berry Global, Inc. | 1.5% |
Umpqua Holdings Corp. | 1.5% |
Cathay General Bancorp, Inc. | 1.5% |
KBR, Inc. | 1.4% |
Prosperity Bancshares, Inc. | 1.4% |
Nomad Foods Ltd. | 1.4% |
Selective Insurance Group, Inc. | 1.4% |
Phillips Edison & Co., REIT | 1.3% |
Avient Corp. | 1.3% |
Financials | 22.0% |
Consumer Discretionary | 15.2% |
Industrials | 15.1% |
Materials | 12.3% |
Health Care | 7.2% |
Energy | 7.0% |
Information Technology | 6.8% |
Real Estate | 6.4% |
Utilities | 4.4% |
Consumer Staples | 2.1% |
(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. |
(b) | Security is not a benchmark constituent. |
(h) | Security was not held in the portfolio at period end. |
Share Class | Class Inception Date | 1-yr | 5-yr | 10-yr |
A | 5/26/11 | (2.88)% | 10.43% | 11.07% |
B | 5/26/11 | (3.61)% | 9.61% | 10.24% |
C | 5/26/11 | (3.65)% | 9.61% | 10.23% |
I | 5/26/11 | (2.70)% | 10.70% | 11.34% |
R1 | 5/26/11 | (3.60)% | 9.60% | 10.24% |
R2 | 5/26/11 | (3.13)% | 10.15% | 10.80% |
R3 | 5/26/11 | (2.92)% | 10.42% | 11.07% |
R4 | 5/26/11 | (2.66)% | 10.71% | 11.35% |
R6 | 7/02/12 | (2.59)% | 10.83% | 11.46% |
Russell 2000® Value Index (f) | (4.40)% | 6.38% | 8.46% |
A With Initial Sales Charge (5.75%) | (8.47)% | 9.13% | 10.41% |
B With CDSC (Declining over six years from 4% to 0%) (v) | (7.20)% | 9.33% | 10.24% |
C With CDSC (1% for 12 months) (v) | (4.55)% | 9.61% | 10.23% |
(f) | Source: FactSet Research Systems Inc. |
(v) | Assuming redemption at the end of the applicable period. |
(h) | Frank Russell Company (“Russell”) is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company. Neither Russell nor its licensors accept any liability for any errors or omissions in the Russell Indexes and/or Russell ratings or underlying data and no party may rely on any Russell Indexes and/or Russell ratings and/or underlying data contained in this document. No further distribution of Russell Data is permitted without Russell's express written consent. Russell does not promote, sponsor, or endorse the content of this document. |
September 1, 2022 through February 28, 2023
Share Class | Annualized Expense Ratio | Beginning Account Value 9/01/22 | Ending Account Value 2/28/23 | Expenses Paid During Period (p) 9/01/22-2/28/23 | |
A | Actual | 1.18% | $1,000.00 | $1,091.14 | $6.12 |
Hypothetical (h) | 1.18% | $1,000.00 | $1,018.94 | $5.91 | |
B | Actual | 1.93% | $1,000.00 | $1,087.12 | $9.99 |
Hypothetical (h) | 1.93% | $1,000.00 | $1,015.22 | $9.64 | |
C | Actual | 1.93% | $1,000.00 | $1,086.74 | $9.99 |
Hypothetical (h) | 1.93% | $1,000.00 | $1,015.22 | $9.64 | |
I | Actual | 0.93% | $1,000.00 | $1,091.99 | $4.82 |
Hypothetical (h) | 0.93% | $1,000.00 | $1,020.18 | $4.66 | |
R1 | Actual | 1.91% | $1,000.00 | $1,087.26 | $9.88 |
Hypothetical (h) | 1.91% | $1,000.00 | $1,015.32 | $9.54 | |
R2 | Actual | 1.43% | $1,000.00 | $1,089.99 | $7.41 |
Hypothetical (h) | 1.43% | $1,000.00 | $1,017.70 | $7.15 | |
R3 | Actual | 1.18% | $1,000.00 | $1,090.97 | $6.12 |
Hypothetical (h) | 1.18% | $1,000.00 | $1,018.94 | $5.91 | |
R4 | Actual | 0.93% | $1,000.00 | $1,092.31 | $4.82 |
Hypothetical (h) | 0.93% | $1,000.00 | $1,020.18 | $4.66 | |
R6 | Actual | 0.84% | $1,000.00 | $1,092.61 | $4.36 |
Hypothetical (h) | 0.84% | $1,000.00 | $1,020.63 | $4.21 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – 98.5% | ||||
Aerospace & Defense – 2.2% | ||||
CACI International, Inc., “A” (a) | 108,114 | $31,677,402 | ||
KBR, Inc. | 984,553 | 54,258,716 | ||
$85,936,118 | ||||
Apparel Manufacturers – 3.6% | ||||
Canada Goose Holdings, Inc. (a)(l) | 1,739,929 | $32,728,064 | ||
PVH Corp. | 479,792 | 38,498,510 | ||
Skechers USA, Inc., “A” (a) | 1,118,776 | 49,796,720 | ||
Under Amour, Inc., “C” (a) | 1,972,955 | 17,362,004 | ||
$138,385,298 | ||||
Automotive – 3.1% | ||||
LKQ Corp. | 824,706 | $47,247,407 | ||
Methode Electronics, Inc. | 887,788 | 43,261,909 | ||
Visteon Corp. (a) | 175,238 | 29,271,755 | ||
$119,781,071 | ||||
Business Services – 2.3% | ||||
HireRight Holdings Corp. (a) | 1,457,176 | $16,058,079 | ||
TaskUs, Inc., “A” (a) | 1,064,321 | 18,311,643 | ||
Thoughtworks Holding, Inc. (a) | 2,228,415 | 16,401,134 | ||
TriNet Group, Inc. (a) | 177,888 | 14,741,579 | ||
WNS (Holdings) Ltd., ADR (a) | 254,491 | 22,120,358 | ||
$87,632,793 | ||||
Chemicals – 2.4% | ||||
Avient Corp. | 1,191,577 | $51,988,505 | ||
Element Solutions, Inc. | 2,045,521 | 42,015,001 | ||
$94,003,506 | ||||
Computer Software – 1.9% | ||||
ACI Worldwide, Inc. (a) | 1,474,043 | $38,104,011 | ||
Dun & Bradstreet Holdings, Inc. | 1,600,663 | 19,223,963 | ||
Everbridge, Inc. (a) | 478,803 | 15,647,282 | ||
$72,975,256 | ||||
Computer Software - Systems – 1.2% | ||||
Softchoice Corp. (l) | 1,818,140 | $22,198,763 | ||
Verint Systems, Inc. (a) | 672,835 | 25,150,572 | ||
$47,349,335 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Construction – 1.0% | ||||
Toll Brothers, Inc. | 634,686 | $38,043,079 | ||
Consumer Products – 1.9% | ||||
Newell Brands, Inc. | 2,063,854 | $30,318,015 | ||
Prestige Consumer Healthcare, Inc. (a) | 719,870 | 43,372,168 | ||
$73,690,183 | ||||
Consumer Services – 1.6% | ||||
Bright Horizons Family Solutions, Inc. (a) | 394,861 | $31,130,841 | ||
Grand Canyon Education, Inc. (a) | 274,451 | 31,092,554 | ||
$62,223,395 | ||||
Containers – 3.3% | ||||
Ardagh Metal Packaging S.A. | 4,955,329 | $23,884,686 | ||
Graphic Packaging Holding Co. | 1,836,217 | 43,701,965 | ||
Pactiv Evergreen, Inc. | 1,203,480 | 13,009,619 | ||
Silgan Holdings, Inc. | 872,649 | 46,599,456 | ||
$127,195,726 | ||||
Electrical Equipment – 4.5% | ||||
Berry Global, Inc. | 957,615 | $59,467,892 | ||
nVent Electric PLC | 962,541 | 44,122,879 | ||
TriMas Corp. | 1,337,927 | 40,124,431 | ||
Vertiv Holdings Co. | 1,913,060 | 31,087,225 | ||
$174,802,427 | ||||
Electronics – 1.6% | ||||
Cohu, Inc. (a) | 809,604 | $30,117,269 | ||
Plexus Corp. (a) | 324,368 | 31,103,647 | ||
$61,220,916 | ||||
Energy - Independent – 2.8% | ||||
CNX Resources Corp. (a) | 2,523,424 | $38,734,558 | ||
Magnolia Oil & Gas Corp., “A” | 1,346,320 | 29,417,092 | ||
Viper Energy Partners LP | 1,355,995 | 38,822,137 | ||
$106,973,787 | ||||
Food & Beverages – 2.1% | ||||
Hostess Brands, Inc. (a) | 1,198,974 | $29,614,658 | ||
Nomad Foods Ltd. (a) | 2,947,637 | 52,821,655 | ||
$82,436,313 | ||||
Gaming & Lodging – 1.7% | ||||
International Game Technology PLC | 2,489,225 | $66,113,816 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Insurance – 4.1% | ||||
CNO Financial Group, Inc. | 1,522,283 | $39,000,890 | ||
Everest Re Group Ltd. | 84,484 | 32,439,322 | ||
Hanover Insurance Group, Inc. | 248,962 | 34,725,220 | ||
Selective Insurance Group, Inc. | 518,868 | 52,680,668 | ||
$158,846,100 | ||||
Leisure & Toys – 1.7% | ||||
Brunswick Corp. | 345,669 | $30,218,384 | ||
Funko, Inc., “A” (a) | 1,571,841 | 16,991,601 | ||
Hayward Holdings, Inc. (a) | 1,444,126 | 17,777,191 | ||
$64,987,176 | ||||
Machinery & Tools – 4.7% | ||||
ESAB Corp. | 690,245 | $40,482,869 | ||
Flowserve Corp. | 1,183,841 | 41,067,444 | ||
ITT, Inc. | 236,957 | 21,537,022 | ||
Regal Rexnord Corp. | 230,705 | 36,368,336 | ||
Timken Co. | 509,666 | 43,550,960 | ||
$183,006,631 | ||||
Medical & Health Technology & Services – 2.5% | ||||
ICON PLC (a) | 146,539 | $33,063,595 | ||
Premier, Inc., “A” | 1,095,116 | 35,251,784 | ||
Syneos Health, Inc. (a) | 672,034 | 27,029,207 | ||
$95,344,586 | ||||
Medical Equipment – 3.0% | ||||
Agiliti Health, Inc. (a) | 1,071,608 | $20,424,849 | ||
Envista Holdings Corp. (a) | 982,462 | 37,981,981 | ||
Maravai Lifesciences Holdings, Inc., “A” (a) | 1,111,983 | 16,401,749 | ||
Quidel Corp. (a) | 344,133 | 29,918,923 | ||
Sotera Health Co. (a) | 769,352 | 12,840,485 | ||
$117,567,987 | ||||
Metals & Mining – 1.4% | ||||
Arconic Corp. (a) | 1,340,455 | $35,441,630 | ||
Kaiser Aluminum Corp. | 214,121 | 16,984,078 | ||
$52,425,708 | ||||
Natural Gas - Distribution – 2.0% | ||||
New Jersey Resources Corp. | 740,171 | $37,770,926 | ||
ONE Gas, Inc. | 506,309 | 40,585,730 | ||
$78,356,656 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Natural Gas - Pipeline – 1.2% | ||||
Plains GP Holdings LP | 3,269,088 | $45,473,014 | ||
Oil Services – 3.0% | ||||
ChampionX Corp. | 1,471,729 | $44,990,756 | ||
Expro Group Holdings N.V. (a) | 1,929,752 | 43,863,263 | ||
Helmerich & Payne | 630,705 | 26,540,066 | ||
$115,394,085 | ||||
Other Banks & Diversified Financials – 19.1% | ||||
Air Lease Corp. | 1,185,113 | $51,291,691 | ||
Bank of Hawaii Corp. | 441,076 | 33,018,949 | ||
Brookline Bancorp, Inc. | 2,707,253 | 35,085,999 | ||
Cathay General Bancorp, Inc. | 1,325,961 | 56,910,246 | ||
East West Bancorp, Inc. | 617,271 | 47,042,223 | ||
Element Fleet Management Corp. | 1,845,145 | 26,355,351 | ||
First Hawaiian, Inc. | 1,349,170 | 36,899,799 | ||
First Interstate BancSystem, Inc. | 1,113,363 | 39,568,921 | ||
Hanmi Financial Corp. | 1,165,439 | 27,527,669 | ||
Pacific Premier Bancorp, Inc. | 998,563 | 32,373,412 | ||
Prosperity Bancshares, Inc. | 728,183 | 53,514,169 | ||
Sandy Spring Bancorp, Inc. | 630,786 | 20,784,399 | ||
Signature Bank | 133,506 | 15,359,865 | ||
SLM Corp. | 3,059,737 | 43,999,018 | ||
Texas Capital Bancshares, Inc. (a) | 498,208 | 32,996,316 | ||
Textainer Group Holdings Ltd. | 647,670 | 21,321,296 | ||
UMB Financial Corp. | 555,921 | 50,399,798 | ||
Umpqua Holdings Corp. | 3,250,874 | 57,410,435 | ||
Wintrust Financial Corp. | 223,408 | 20,582,579 | ||
Zions Bancorp NA | 653,495 | 33,079,917 | ||
$735,522,052 | ||||
Pharmaceuticals – 0.6% | ||||
Organon & Co. | 870,908 | $21,328,537 | ||
Real Estate – 7.1% | ||||
Brixmor Property Group, Inc., REIT | 1,157,078 | $26,196,246 | ||
Broadstone Net Lease, Inc., REIT | 2,538,558 | 45,059,405 | ||
Cushman & Wakefield PLC (a) | 1,443,517 | 18,679,110 | ||
Douglas Emmett, Inc., REIT | 603,121 | 8,522,100 | ||
Empire State Realty Trust, REIT, “A” | 3,918,780 | 28,567,906 | ||
LXP Industrial Trust, REIT | 3,055,700 | 31,870,951 | ||
National Storage Affiliates Trust, REIT | 795,822 | 33,663,271 | ||
Phillips Edison & Co., REIT | 1,526,003 | 52,021,442 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Real Estate – continued | ||||
Two Harbors Investment Corp., REIT | 1,651,855 | $27,371,237 | ||
$271,951,668 | ||||
Restaurants – 0.9% | ||||
Jack in the Box, Inc. | 419,445 | $32,884,488 | ||
Specialty Chemicals – 2.6% | ||||
Axalta Coating Systems Ltd. (a) | 1,328,945 | $39,602,561 | ||
Diversey Holdings Ltd. (a) | 6,441,115 | 38,066,990 | ||
Quaker Chemical Corp. | 122,662 | 24,014,766 | ||
$101,684,317 | ||||
Specialty Stores – 2.5% | ||||
Monro Muffler Brake, Inc. | 539,290 | $27,201,787 | ||
Urban Outfitters, Inc. (a) | 1,501,087 | 40,454,295 | ||
Zumiez, Inc. (a)(h) | 1,156,726 | 26,905,447 | ||
$94,561,529 | ||||
Trucking – 2.5% | ||||
RXO, Inc. (a) | 1,461,785 | $30,068,917 | ||
Schneider National, Inc. | 1,217,295 | 34,157,298 | ||
XPO Logistics, Inc. (a) | 988,817 | 32,986,935 | ||
$97,213,150 | ||||
Utilities - Electric Power – 2.4% | ||||
Black Hills Corp. | 727,477 | $44,674,363 | ||
Portland General Electric Co. | 964,118 | 46,084,840 | ||
$90,759,203 | ||||
Total Common Stocks (Identified Cost, $3,093,616,384) | $3,796,069,906 | |||
Investment Companies (h) – 1.0% | ||||
Money Market Funds – 1.0% | ||||
MFS Institutional Money Market Portfolio, 4.55% (v) (Identified Cost, $38,401,851) | 38,401,851 | $38,401,851 | ||
Collateral for Securities Loaned – 0.2% | ||||
State Street Navigator Securities Lending Government Money Market Portfolio, 4.59% (j) (Identified Cost, $9,026,775) | 9,026,775 | $9,026,775 | ||
Other Assets, Less Liabilities – 0.3% | 10,002,194 | |||
Net Assets – 100.0% | $3,853,500,726 |
(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 $65,307,298 and $3,778,191,234, 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 $8,925,725 of securities on loan (identified cost, $3,080,152,190) | $3,778,191,234 |
Investments in affiliated issuers, at value (identified cost, $60,892,820) | 65,307,298 |
Cash | 310,989 |
Receivables for | |
Investments sold | 23,971,775 |
Fund shares sold | 2,329,888 |
Interest and dividends | 3,979,267 |
Other assets | 11,174 |
Total assets | $3,874,101,625 |
Liabilities | |
Payables for | |
Investments purchased | $1,622,157 |
Fund shares reacquired | 8,946,057 |
Collateral for securities loaned, at value | 9,026,775 |
Payable to affiliates | |
Investment adviser | 168,098 |
Administrative services fee | 3,216 |
Shareholder servicing costs | 563,136 |
Distribution and service fees | 7,600 |
Payable for independent Trustees' compensation | 63 |
Accrued expenses and other liabilities | 263,797 |
Total liabilities | $20,600,899 |
Net assets | $3,853,500,726 |
Net assets consist of | |
Paid-in capital | $3,150,820,893 |
Total distributable earnings (loss) | 702,679,833 |
Net assets | $3,853,500,726 |
Shares of beneficial interest outstanding | 211,740,220 |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $306,254,013 | 16,989,851 | $18.03 |
Class B | 4,022,899 | 239,101 | 16.83 |
Class C | 29,474,081 | 1,764,741 | 16.70 |
Class I | 1,604,805,682 | 88,158,539 | 18.20 |
Class R1 | 2,196,011 | 130,739 | 16.80 |
Class R2 | 5,676,915 | 318,299 | 17.84 |
Class R3 | 99,011,686 | 5,479,532 | 18.07 |
Class R4 | 73,846,123 | 4,049,165 | 18.24 |
Class R6 | 1,728,213,316 | 94,610,253 | 18.27 |
(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 $19.13 [100 / 94.25 x $18.03]. 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 | $69,543,912 |
Dividends from affiliated issuers | 987,529 |
Other | 257,931 |
Income on securities loaned | 55,316 |
Foreign taxes withheld | (475,637) |
Total investment income | $70,369,051 |
Expenses | |
Management fee | $30,986,258 |
Distribution and service fees | 1,413,236 |
Shareholder servicing costs | 2,219,479 |
Administrative services fee | 610,977 |
Independent Trustees' compensation | 60,190 |
Custodian fee | 129,834 |
Shareholder communications | 300,952 |
Audit and tax fees | 65,316 |
Legal fees | 18,969 |
Miscellaneous | 245,037 |
Total expenses | $36,050,248 |
Reduction of expenses by investment adviser and distributor | (528,196) |
Net expenses | $35,522,052 |
Net investment income (loss) | $34,846,999 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $179,583,837 |
Affiliated issuers | (441,407) |
Foreign currency | 6,749 |
Net realized gain (loss) | $179,149,179 |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $(326,825,833) |
Affiliated issuers | (21,284,202) |
Net unrealized gain (loss) | $(348,110,035) |
Net realized and unrealized gain (loss) | $(168,960,856) |
Change in net assets from operations | $(134,113,857) |
Year ended | ||
2/28/23 | 2/28/22 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $34,846,999 | $20,645,545 |
Net realized gain (loss) | 179,149,179 | 515,912,927 |
Net unrealized gain (loss) | (348,110,035) | 147,863,386 |
Change in net assets from operations | $(134,113,857) | $684,421,858 |
Total distributions to shareholders | $(293,062,186) | $(372,836,514) |
Change in net assets from fund share transactions | $(11,547,898) | $249,455,580 |
Total change in net assets | $(438,723,941) | $561,040,924 |
Net assets | ||
At beginning of period | 4,292,224,667 | 3,731,183,743 |
At end of period | $3,853,500,726 | $4,292,224,667 |
Class A | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $20.03 | $18.53 | $14.12 | $15.16 | $14.92 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.12 | $0.05 | $0.07 | $0.10 | $0.05 |
Net realized and unrealized gain (loss) | (0.77) | 3.32 | 4.66 | (0.38) | 1.21 |
Total from investment operations | $(0.65) | $3.37 | $4.73 | $(0.28) | $1.26 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.23) | $(0.15) | $— | $(0.10) | $(0.04) |
From net realized gain | (1.12) | (1.72) | (0.32) | (0.66) | (0.98) |
Total distributions declared to shareholders | $(1.35) | $(1.87) | $(0.32) | $(0.76) | $(1.02) |
Net asset value, end of period (x) | $18.03 | $20.03 | $18.53 | $14.12 | $15.16 |
Total return (%) (r)(s)(t)(x) | (2.88) | 18.34 | 34.47 | (2.41) | 8.90 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 1.20 | 1.19 | 1.23 | 1.23 | 1.29 |
Expenses after expense reductions | 1.18 | 1.18 | 1.22 | 1.22 | 1.28 |
Net investment income (loss) | 0.65 | 0.25 | 0.53 | 0.64 | 0.31 |
Portfolio turnover | 30 | 44 | 48 | 44 | 57 |
Net assets at end of period (000 omitted) | $306,254 | $361,165 | $333,743 | $331,255 | $318,067 |
Class B | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $18.77 | $17.54 | $13.48 | $14.52 | $14.40 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $(0.01) | $(0.09) | $(0.03) | $(0.02) | $(0.07) |
Net realized and unrealized gain (loss) | (0.73) | 3.13 | 4.41 | (0.36) | 1.17 |
Total from investment operations | $(0.74) | $3.04 | $4.38 | $(0.38) | $1.10 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.08) | $(0.09) | $— | $— | $— |
From net realized gain | (1.12) | (1.72) | (0.32) | (0.66) | (0.98) |
Total distributions declared to shareholders | $(1.20) | $(1.81) | $(0.32) | $(0.66) | $(0.98) |
Net asset value, end of period (x) | $16.83 | $18.77 | $17.54 | $13.48 | $14.52 |
Total return (%) (r)(s)(t)(x) | (3.61) | 17.45 | 33.50 | (3.11) | 8.05 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 1.95 | 1.94 | 1.98 | 1.98 | 2.04 |
Expenses after expense reductions | 1.93 | 1.93 | 1.97 | 1.97 | 2.03 |
Net investment income (loss) | (0.09) | (0.49) | (0.21) | (0.12) | (0.48) |
Portfolio turnover | 30 | 44 | 48 | 44 | 57 |
Net assets at end of period (000 omitted) | $4,023 | $6,016 | $6,032 | $6,207 | $7,198 |
Class C | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $18.66 | $17.45 | $13.41 | $14.45 | $14.33 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $(0.02) | $(0.09) | $(0.03) | $(0.02) | $(0.08) |
Net realized and unrealized gain (loss) | (0.72) | 3.11 | 4.39 | (0.36) | 1.18 |
Total from investment operations | $(0.74) | $3.02 | $4.36 | $(0.38) | $1.10 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.10) | $(0.09) | $— | $— | $— |
From net realized gain | (1.12) | (1.72) | (0.32) | (0.66) | (0.98) |
Total distributions declared to shareholders | $(1.22) | $(1.81) | $(0.32) | $(0.66) | $(0.98) |
Net asset value, end of period (x) | $16.70 | $18.66 | $17.45 | $13.41 | $14.45 |
Total return (%) (r)(s)(t)(x) | (3.65) | 17.42 | 33.52 | (3.12) | 8.09 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 1.95 | 1.94 | 1.98 | 1.98 | 2.04 |
Expenses after expense reductions | 1.93 | 1.93 | 1.97 | 1.97 | 2.03 |
Net investment income (loss) | (0.09) | (0.48) | (0.21) | (0.11) | (0.56) |
Portfolio turnover | 30 | 44 | 48 | 44 | 57 |
Net assets at end of period (000 omitted) | $29,474 | $37,588 | $39,061 | $38,477 | $41,046 |
Class I | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $20.22 | $18.69 | $14.21 | $15.25 | $15.00 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.16 | $0.10 | $0.11 | $0.14 | $0.12 |
Net realized and unrealized gain (loss) | (0.78) | 3.35 | 4.70 | (0.39) | 1.19 |
Total from investment operations | $(0.62) | $3.45 | $4.81 | $(0.25) | $1.31 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.28) | $(0.20) | $(0.01) | $(0.13) | $(0.08) |
From net realized gain | (1.12) | (1.72) | (0.32) | (0.66) | (0.98) |
Total distributions declared to shareholders | $(1.40) | $(1.92) | $(0.33) | $(0.79) | $(1.06) |
Net asset value, end of period (x) | $18.20 | $20.22 | $18.69 | $14.21 | $15.25 |
Total return (%) (r)(s)(t)(x) | (2.70) | 18.64 | 34.82 | (2.17) | 9.19 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 0.95 | 0.94 | 0.98 | 0.98 | 1.04 |
Expenses after expense reductions | 0.93 | 0.93 | 0.97 | 0.97 | 1.03 |
Net investment income (loss) | 0.91 | 0.46 | 0.78 | 0.89 | 0.77 |
Portfolio turnover | 30 | 44 | 48 | 44 | 57 |
Net assets at end of period (000 omitted) | $1,604,806 | $1,795,671 | $1,430,510 | $1,119,891 | $917,167 |
Class R1 | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $18.78 | $17.55 | $13.49 | $14.53 | $14.41 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $(0.01) | $(0.10) | $(0.03) | $(0.02) | $(0.06) |
Net realized and unrealized gain (loss) | (0.74) | 3.14 | 4.41 | (0.36) | 1.16 |
Total from investment operations | $(0.75) | $3.04 | $4.38 | $(0.38) | $1.10 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.11) | $(0.09) | $— | $(0.00)(w) | $— |
From net realized gain | (1.12) | (1.72) | (0.32) | (0.66) | (0.98) |
Total distributions declared to shareholders | $(1.23) | $(1.81) | $(0.32) | $(0.66) | $(0.98) |
Net asset value, end of period (x) | $16.80 | $18.78 | $17.55 | $13.49 | $14.53 |
Total return (%) (r)(s)(t)(x) | (3.65) | 17.45 | 33.47 | (3.08) | 8.04 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 1.95 | 1.94 | 1.98 | 1.98 | 2.04 |
Expenses after expense reductions | 1.92 | 1.93 | 1.96 | 1.97 | 2.03 |
Net investment income (loss) | (0.09) | (0.51) | (0.22) | (0.11) | (0.42) |
Portfolio turnover | 30 | 44 | 48 | 44 | 57 |
Net assets at end of period (000 omitted) | $2,196 | $2,224 | $2,320 | $1,453 | $1,581 |
Class R2 | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $19.84 | $18.38 | $14.04 | $15.09 | $14.87 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.07 | $0.01 | $0.04 | $0.06 | $0.02 |
Net realized and unrealized gain (loss) | (0.76) | 3.28 | 4.62 | (0.38) | 1.19 |
Total from investment operations | $(0.69) | $3.29 | $4.66 | $(0.32) | $1.21 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.19) | $(0.11) | $— | $(0.07) | $(0.01) |
From net realized gain | (1.12) | (1.72) | (0.32) | (0.66) | (0.98) |
Total distributions declared to shareholders | $(1.31) | $(1.83) | $(0.32) | $(0.73) | $(0.99) |
Net asset value, end of period (x) | $17.84 | $19.84 | $18.38 | $14.04 | $15.09 |
Total return (%) (r)(s)(t)(x) | (3.13) | 18.02 | 34.16 | (2.64) | 8.59 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 1.45 | 1.44 | 1.48 | 1.47 | 1.54 |
Expenses after expense reductions | 1.43 | 1.43 | 1.47 | 1.47 | 1.53 |
Net investment income (loss) | 0.40 | 0.05 | 0.29 | 0.40 | 0.16 |
Portfolio turnover | 30 | 44 | 48 | 44 | 57 |
Net assets at end of period (000 omitted) | $5,677 | $6,251 | $4,779 | $5,054 | $3,719 |
Class R3 | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $20.08 | $18.57 | $14.15 | $15.20 | $14.96 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.12 | $0.05 | $0.07 | $0.10 | $0.06 |
Net realized and unrealized gain (loss) | (0.78) | 3.33 | 4.67 | (0.38) | 1.20 |
Total from investment operations | $(0.66) | $3.38 | $4.74 | $(0.28) | $1.26 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.23) | $(0.15) | $(0.00)(w) | $(0.11) | $(0.04) |
From net realized gain | (1.12) | (1.72) | (0.32) | (0.66) | (0.98) |
Total distributions declared to shareholders | $(1.35) | $(1.87) | $(0.32) | $(0.77) | $(1.02) |
Net asset value, end of period (x) | $18.07 | $20.08 | $18.57 | $14.15 | $15.20 |
Total return (%) (r)(s)(t)(x) | (2.92) | 18.36 | 34.47 | (2.41) | 8.88 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 1.20 | 1.19 | 1.23 | 1.22 | 1.29 |
Expenses after expense reductions | 1.18 | 1.18 | 1.22 | 1.21 | 1.28 |
Net investment income (loss) | 0.65 | 0.24 | 0.53 | 0.64 | 0.40 |
Portfolio turnover | 30 | 44 | 48 | 44 | 57 |
Net assets at end of period (000 omitted) | $99,012 | $104,164 | $88,963 | $76,069 | $45,355 |
Class R4 | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $20.25 | $18.72 | $14.23 | $15.27 | $15.02 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.17 | $0.09 | $0.11 | $0.14 | $0.10 |
Net realized and unrealized gain (loss) | (0.78) | 3.36 | 4.71 | (0.38) | 1.21 |
Total from investment operations | $(0.61) | $3.45 | $4.82 | $(0.24) | $1.31 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.28) | $(0.20) | $(0.01) | $(0.14) | $(0.08) |
From net realized gain | (1.12) | (1.72) | (0.32) | (0.66) | (0.98) |
Total distributions declared to shareholders | $(1.40) | $(1.92) | $(0.33) | $(0.80) | $(1.06) |
Net asset value, end of period (x) | $18.24 | $20.25 | $18.72 | $14.23 | $15.27 |
Total return (%) (r)(s)(t)(x) | (2.66) | 18.60 | 34.84 | (2.16) | 9.19 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 0.95 | 0.94 | 0.98 | 0.98 | 1.03 |
Expenses after expense reductions | 0.93 | 0.93 | 0.97 | 0.97 | 1.03 |
Net investment income (loss) | 0.91 | 0.45 | 0.78 | 0.89 | 0.66 |
Portfolio turnover | 30 | 44 | 48 | 44 | 57 |
Net assets at end of period (000 omitted) | $73,846 | $103,464 | $104,206 | $82,613 | $71,765 |
Class R6 | Year ended | ||||
2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $20.29 | $18.75 | $14.24 | $15.27 | $15.02 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.18 | $0.13 | $0.13 | $0.16 | $0.12 |
Net realized and unrealized gain (loss) | (0.78) | 3.35 | 4.71 | (0.38) | 1.20 |
Total from investment operations | $(0.60) | $3.48 | $4.84 | $(0.22) | $1.32 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.30) | $(0.22) | $(0.01) | $(0.15) | $(0.09) |
From net realized gain | (1.12) | (1.72) | (0.32) | (0.66) | (0.98) |
Total distributions declared to shareholders | $(1.42) | $(1.94) | $(0.33) | $(0.81) | $(1.07) |
Net asset value, end of period (x) | $18.27 | $20.29 | $18.75 | $14.24 | $15.27 |
Total return (%) (r)(s)(t)(x) | (2.59) | 18.75 | 34.98 | (2.02) | 9.28 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions | 0.85 | 0.84 | 0.87 | 0.87 | 0.92 |
Expenses after expense reductions | 0.84 | 0.83 | 0.86 | 0.86 | 0.92 |
Net investment income (loss) | 1.00 | 0.62 | 0.89 | 0.99 | 0.78 |
Portfolio turnover | 30 | 44 | 48 | 44 | 57 |
Net assets at end of period (000 omitted) | $1,728,213 | $1,875,681 | $1,721,570 | $1,303,575 | $938,134 |
(d) | Per share data is based on average shares outstanding. |
(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 | $3,796,069,906 | $— | $— | $3,796,069,906 |
Mutual Funds | 47,428,626 | — | — | 47,428,626 |
Total | $3,843,498,532 | $— | $— | $3,843,498,532 |
Year ended 2/28/23 | Year ended 2/28/22 | |
Ordinary income (including any short-term capital gains) | $98,166,756 | $165,834,643 |
Long-term capital gains | 194,895,430 | 207,001,871 |
Total distributions | $293,062,186 | $372,836,514 |
As of 2/28/23 | |
Cost of investments | $3,198,411,997 |
Gross appreciation | 869,608,219 |
Gross depreciation | (224,521,684) |
Net unrealized appreciation (depreciation) | $645,086,535 |
Undistributed ordinary income | 50,558,747 |
Undistributed long-term capital gain | 7,034,551 |
Total distributable earnings (loss) | $702,679,833 |
Year ended 2/28/23 | Year ended 2/28/22 | ||
Class A | $22,849,984 | $31,886,235 | |
Class B | 319,016 | 572,192 | |
Class C | 2,234,690 | 3,520,445 | |
Class I | 123,507,919 | 151,035,934 | |
Class R1 | 154,412 | 226,208 | |
Class R2 | 430,752 | 501,000 | |
Class R3 | 6,677,151 | 8,905,282 | |
Class R4 | 5,586,823 | 8,957,807 | |
Class R6 | 131,301,439 | 167,231,411 | |
Total | $293,062,186 | $372,836,514 |
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% |
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% | 1.07% |
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% | $ 772,903 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 46,262 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 313,098 |
Class R1 | 0.75% | 0.25% | 1.00% | 0.99% | 20,748 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 29,230 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 230,995 |
Total Distribution and Service Fees | $1,413,236 |
(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 year ended February 28, 2023 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 year ended February 28, 2023, this rebate amounted to $150 and $194 for Class A and Class R1 shares, respectively, and is included in the reduction of total expenses in the Statement of Operations. |
Amount | |
Class A | $81 |
Class B | 6,552 |
Class C | 357 |
Year ended 2/28/23 | Year ended 2/28/22 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 767,039 | $13,764,757 | 1,098,623 | $22,440,858 | |
Class B | 1,248 | 20,802 | 4,693 | 88,671 | |
Class C | 45,215 | 751,541 | 73,653 | 1,430,370 | |
Class I | 24,332,154 | 441,640,960 | 23,172,755 | 478,577,848 | |
Class R1 | 36,941 | 631,900 | 44,355 | 850,624 | |
Class R2 | 49,007 | 873,667 | 150,541 | 3,094,638 | |
Class R3 | 1,480,378 | 26,135,987 | 1,796,008 | 37,157,318 | |
Class R4 | 800,576 | 14,616,720 | 1,451,743 | 30,146,067 | |
Class R6 | 14,443,299 | 261,969,209 | 19,041,746 | 396,650,999 | |
41,955,857 | $760,405,543 | 46,834,117 | $970,437,393 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 1,304,261 | $22,828,836 | 1,604,212 | $31,851,630 | |
Class B | 19,303 | 316,664 | 30,529 | 568,762 | |
Class C | 137,333 | 2,234,690 | 190,074 | 3,520,261 | |
Class I | 6,899,575 | 121,870,477 | 7,437,596 | 148,948,456 | |
Class R1 | 9,451 | 154,412 | 12,144 | 226,208 | |
Class R2 | 24,869 | 430,752 | 25,476 | 501,000 | |
Class R3 | 380,813 | 6,677,151 | 447,641 | 8,905,282 | |
Class R4 | 315,554 | 5,586,823 | 446,689 | 8,957,807 | |
Class R6 | 6,603,399 | 116,928,077 | 7,443,689 | 149,542,988 | |
15,694,558 | $277,027,882 | 17,638,050 | $353,022,394 |
Year ended 2/28/23 | Year ended 2/28/22 | ||||
Shares | Amount | Shares | Amount | ||
Shares reacquired | |||||
Class A | (3,108,143) | $(55,867,073) | (2,683,483) | $(54,860,923) | |
Class B | (101,934) | (1,698,892) | (58,640) | (1,130,466) | |
Class C | (431,880) | (7,154,573) | (488,417) | (9,439,974) | |
Class I | (31,874,555) | (574,677,907) | (18,342,265) | (381,438,542) | |
Class R1 | (34,092) | (576,567) | (70,268) | (1,327,926) | |
Class R2 | (70,612) | (1,235,919) | (121,020) | (2,477,181) | |
Class R3 | (1,568,721) | (28,035,177) | (1,846,089) | (37,845,051) | |
Class R4 | (2,175,652) | (38,958,705) | (2,357,189) | (49,091,085) | |
Class R6 | (18,888,251) | (340,776,510) | (25,868,519) | (536,393,059) | |
(58,253,840) | $(1,048,981,323) | (51,835,890) | $(1,074,004,207) | ||
Net change | |||||
Class A | (1,036,843) | $(19,273,480) | 19,352 | $(568,435) | |
Class B | (81,383) | (1,361,426) | (23,418) | (473,033) | |
Class C | (249,332) | (4,168,342) | (224,690) | (4,489,343) | |
Class I | (642,826) | (11,166,470) | 12,268,086 | 246,087,762 | |
Class R1 | 12,300 | 209,745 | (13,769) | (251,094) | |
Class R2 | 3,264 | 68,500 | 54,997 | 1,118,457 | |
Class R3 | 292,470 | 4,777,961 | 397,560 | 8,217,549 | |
Class R4 | (1,059,522) | (18,755,162) | (458,757) | (9,987,211) | |
Class R6 | 2,158,447 | 38,120,776 | 616,916 | 9,800,928 | |
(603,425) | $(11,547,898) | 12,636,277 | $249,455,580 |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $17,782,312 | $708,180,116 | $687,559,101 | $(1,476) | $— | $38,401,851 |
Zumiez, Inc. | 44,592,594 | 4,748,367 | 711,381 | (439,931) | (21,284,202) | 26,905,447 |
$62,374,906 | $712,928,483 | $688,270,482 | $(441,407) | $(21,284,202) | $65,307,298 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $987,529 | $— |
Zumiez, Inc. | — | — |
$987,529 | $— |
April 14, 2023
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds overseen by the Trustee | Principal Occupations During the Past Five Years | Other Directorships During the Past Five Years (j) | |||||
INTERESTED TRUSTEE | ||||||||||
Michael W. Roberge (k) (age 56) | Trustee | January 2021 | 136 | Massachusetts Financial Services Company, Chairman (since January 2021); Chief Executive Officer (since January 2017); Director; Chairman of the Board (since January 2022); President (until December 2018); Chief Investment Officer (until December 2018) | N/A | |||||
INDEPENDENT TRUSTEES | ||||||||||
John P. Kavanaugh (age 68) | Trustee and Chair of Trustees | January 2009 | 136 | Private investor | N/A | |||||
Steven E. Buller (age 71) | Trustee | February 2014 | 136 | Private investor | N/A | |||||
John A. Caroselli (age 68) | Trustee | March 2017 | 136 | Private investor; JC Global Advisors, LLC (management consulting), President (since 2015) | N/A | |||||
Maureen R. Goldfarb (age 67) | Trustee | January 2009 | 136 | Private investor | N/A | |||||
Peter D. Jones (age 67) | Trustee | January 2019 | 136 | Private investor | N/A | |||||
James W. Kilman, Jr. (age 61) | Trustee | January 2019 | 136 | Burford Capital Limited (finance and investment management), Senior Advisor (since May 3, 2021), Chief Financial Officer (2019 - May 2, 2021); KielStrand Capital LLC (family office), Chief Executive Officer (since 2016) | Alpha-En Corporation, Director (2016-2019) |
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds overseen by the Trustee | Principal Occupations During the Past Five Years | Other Directorships During the Past Five Years (j) | |||||
Clarence Otis, Jr. (age 66) | Trustee | March 2017 | 136 | Private investor | VF Corporation, Director; Verizon Communications, Inc., Director; The Travelers Companies, Director | |||||
Maryanne L. Roepke (age 67) | Trustee | May 2014 | 136 | Private investor | N/A | |||||
Laurie J. Thomsen (age 65) | Trustee | March 2005 | 136 | Private investor | The Travelers Companies, Director; Dycom Industries, Inc., Director |
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds for which the Person is an Officer | Principal Occupations During the Past Five Years | ||||
OFFICERS | ||||||||
Christopher R. Bohane (k) (age 49) | Assistant Secretary and Assistant Clerk | July 2005 | 136 | Massachusetts Financial Services Company, Senior Vice President and Senior Managing Counsel | ||||
Kino Clark (k) (age 54) | Assistant Treasurer | January 2012 | 136 | Massachusetts Financial Services Company, Vice President | ||||
John W. Clark, Jr. (k) (age 56) | Assistant Treasurer | April 2017 | 136 | Massachusetts Financial Services Company, Vice President | ||||
David L. DiLorenzo (k) (age 54) | President | July 2005 | 136 | Massachusetts Financial Services Company, Senior Vice President | ||||
Heidi W. Hardin (k) (age 55) | Secretary and Clerk | April 2017 | 136 | Massachusetts Financial Services Company, Executive Vice President and General Counsel | ||||
Brian E. Langenfeld (k) (age 50) | Assistant Secretary and Assistant Clerk | June 2006 | 136 | Massachusetts Financial Services Company, Vice President and Managing Counsel |
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds for which the Person is an Officer | Principal Occupations During the Past Five Years | ||||
Rosa E. Licea-Mailloux (k) (age 46) | Chief Compliance Officer | March 2022 | 136 | Massachusetts Financial Services Company, Vice President (since 2018); Director of Corporate Compliance (2018-2021), Senior Director Compliance (2021-2022), Senior Managing Director of North American Compliance & Chief Compliance Officer (since March 2022); Natixis Investment Managers (investment management), Funds Chief Compliance Officer, Deputy General Counsel & Senior Vice President (until 2018) | ||||
Amanda S. Mooradian (k) (age 44) | Assistant Secretary and Assistant Clerk | September 2018 | 136 | Massachusetts Financial Services Company, Assistant Vice President and Senior Counsel | ||||
Susan A. Pereira (k) (age 52) | Assistant Secretary and Assistant Clerk | July 2005 | 136 | Massachusetts Financial Services Company, Vice President and Managing Counsel | ||||
Kasey L. Phillips (k) (age 52) | Assistant Treasurer | September 2012 | 136 | Massachusetts Financial Services Company, Vice President | ||||
Matthew A. Stowe (k) (age 48) | Assistant Secretary and Assistant Clerk | October 2014 | 136 | Massachusetts Financial Services Company, Vice President and Senior Managing Counsel | ||||
William B. Wilson (k) (age 40) | Assistant Secretary and Assistant Clerk | October 2022 | 136 | Massachusetts Financial Services Company, Assistant Vice President and Senior Counsel | ||||
James O. Yost (k) (age 62) | Treasurer | September 1990 | 136 | Massachusetts Financial Services Company, Senior Vice President |
(h) | Date first appointed to serve as Trustee/Officer of an MFS Fund. Each Trustee has served continuously since appointment unless indicated otherwise. From January 2012 through December 2016, Messrs. DiLorenzo and Yost served as Treasurer and Deputy Treasurer of the Funds, respectively. |
(j) | Directorships or trusteeships of companies required to report to the Securities and Exchange Commission (i.e., “public companies”). |
(k) | “Interested person” of the Trust within the meaning of the Investment Company Act of 1940 (referred to as the 1940 Act), which is the principal federal law governing investment companies like the fund, as a result of a position with MFS. The address of MFS is 111 Huntington Avenue, Boston, Massachusetts 02199-7618. |
Investment Adviser | Custodian |
Massachusetts Financial Services Company 111 Huntington Avenue Boston, MA 02199-7618 | State Street Bank and Trust Company 1 Lincoln Street Boston, MA 02111-2900 |
Distributor | Independent Registered Public Accounting Firm |
MFS Fund Distributors, Inc. 111 Huntington Avenue Boston, MA 02199-7618 | Ernst & Young LLP 200 Clarendon Street Boston, MA 02116 |
Portfolio Manager(s) | |
Richard Offen Kevin Schmitz |
FACTS | WHAT DOES MFS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: |
• Social Security number and account balances | |
• Account transactions and transaction history | |
• Checking account information and wire transfer instructions | |
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers' personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers' personal information; the reasons MFS chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does MFS share? | Can you limit this sharing? |
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes – to offer our products and services to you | No | We don't share |
For joint marketing with other financial companies | No | We don't share |
For our affiliates' everyday business purposes – information about your transactions and experiences | No | We don't share |
For our affiliates' everyday business purposes – information about your creditworthiness | No | We don't share |
For nonaffiliates to market to you | No | We don't share |
Questions? | Call 800-225-2606 or go to mfs.com. |
Who we are | |
Who is providing this notice? | MFS Funds, MFS Investment Management, MFS Institutional Advisors, Inc., and MFS Heritage Trust Company. |
What we do | |
How does MFS protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include procedural, electronic, and physical safeguards for the protection of the personal information we collect about you. |
How does MFS collect my personal information? | We collect your personal information, for example, when you |
• open an account or provide account information | |
• direct us to buy securities or direct us to sell your securities | |
• make a wire transfer | |
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. | |
Why can't I limit all sharing? | Federal law gives you the right to limit only |
• sharing for affiliates' everyday business purposes – information about your creditworthiness | |
• affiliates from using your information to market to you | |
• sharing for nonaffiliates to market to you | |
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. |
• MFS does not share personal information with affiliates, except for everyday business purposes as described on page one of this notice. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. |
• MFS does not share with nonaffiliates so they can market to you. | |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. |
• MFS doesn't jointly market. |
Other important information |
If you own an MFS product or receive an MFS service in the name of a third party such as a bank or broker-dealer, their privacy policy may apply to you instead of ours. |
Item 1(b):
Not applicable.
ITEM 2. CODE OF ETHICS.
The Registrant has adopted a Code of Ethics (the "Code") pursuant to Section 406 of the Sarbanes-Oxley Act and as defined in Form N-CSR that applies to the Registrant's principal executive officer and principal financial and accounting officer. During the period covered by this report, the Registrant has not amended any provision in 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.
A copy of the Code is attached hereto as EX-99.COE.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Messrs. Steven E. Buller, James Kilman, and Clarence Otis, Jr. and Ms. Maryanne L. Roepke, members of the Audit Committee, have been determined by the Board of Trustees in their reasonable business judgment to meet the definition of "audit committee financial expert" as such term is defined in Form N-CSR. In addition, Messrs. Buller, Kilman, and Otis and Ms. Roepke are "independent" members of the Audit Committee (as such term has been defined by the Securities and Exchange Commission in regulations implementing Section 407 of the Sarbanes-Oxley Act of 2002). The Securities and Exchange Commission has stated that the designation of a person as an audit committee financial expert pursuant to this Item 3 on the Form N-CSR does not impose on such a person any duties, obligations or liability that are greater than the duties, obligations or liability imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Items 4(a) through 4(d) and 4(g):
The Board of Trustees has appointed Deloitte & Touche LLP ("Deloitte") to serve as independent accountants to certain series of the Registrant and Ernst & Young LLP ("E&Y") to serve in the same capacity to certain other series of the Registrant (each a "Fund" and collectively the "Funds"). The tables below set forth the audit fees billed to each Fund as well as fees for non-audit services provided to each Fund and/or to each Fund's investment adviser, Massachusetts Financial Services Company ("MFS"), and to various entities either controlling, controlled by, or under common control with MFS that provide ongoing services to the Funds ("MFS Related Entities").
For the fiscal years ended February 28, 2023 and 2022, respectively, audit fees billed to each Fund by Deloitte and E&Y were as follows:
Fees billed by Deloitte: |
| Audit Fees | |
| 2023 |
| 2022 |
|
|
|
|
MFS Government Securities Fund | 64,436 |
| 59,613 |
|
|
| |
Fees billed by E&Y: |
| Audit Fees | |
| 2023 |
| 2022 |
MFS Diversified Income Fund | 68,993 |
| 63,826 |
MFS New Discovery Value Fund | 54,371 |
| 50,312 |
Total | 123,364 |
| 114,138 |
For the fiscal years ended February 28, 2023 and 2022, respectively, fees billed by Deloitte and E&Y for audit-related, tax and other services provided to each Fund and for audit-related, tax and other services provided to MFS and MFS Related Entities were as follows:
Fees billed by Deloitte: | Audit-Related Fees1 |
|
| Tax Fees2 | All Other Fees3 | ||||||||
|
| 2023 | 2022 |
| 2023 | 20225 | 2023 |
| 2022 | ||||
To MFS Government | 0 | 0 |
| 0 | 862 |
| 0 |
| 0 | ||||
Securities Fund |
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
| ||
Fees billed by Deloitte: | Audit-Related Fees1 |
|
| Tax Fees2 | All Other Fees3 | ||||||||
|
| 2023 |
| 2022 |
| 2023 | 2022 |
| 2023 |
| 2022 | ||
To MFS and MFS Related |
|
|
|
|
|
|
|
|
|
|
|
| |
Entities of MFS Government Securi | 0 |
| 0 |
| 0 | 0 |
| 3,790 |
| 5,390 | |||
* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
Fees billed by Deloitte: |
|
|
|
|
| Aggregate fees for non-audit services |
| ||||||
|
|
|
|
|
| 2023 |
|
| 20225 |
| |||
To MFS Government Securities Fund, MFS and MFS |
| 3,790 |
|
| 6,252 |
| |||||||
Related Entities# |
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
| ||||||
Fees billed by E&Y: |
| Audit-Related Fees1 |
|
| Tax Fees2 | All Other Fees4 | |||||||
|
| 2023 | 2022 |
| 2023 | 20225 | 2023 |
| 2022 | ||||
To MFS Diversified Income |
| 0 | 0 |
| 632 | 2,844 | 0 |
| 1,680 | ||||
Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
To MFS New Discovery |
| 0 | 0 |
| 632 | 2,857 | 0 |
| 1,740 | ||||
Value Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fees billed by E&Y |
| 0 | 0 |
| 1,264 | 5,701 | 0 |
| 3,420 | ||||
To above Funds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Fees billed by E&Y: |
| Audit-Related Fees1 |
|
| Tax Fees2 | All Other Fees4 | |||||||
|
| 2023 | 2022 |
| 2023 | 2022 |
| 2023 |
| 2022 | |||
To MFS and MFS Related |
|
|
|
|
|
|
|
|
|
|
|
|
|
Entities of MFS Diversified |
| 0 | 1,795,090 |
| 0 | 0 |
| 3,165 |
| 111,720 | |||
Income Fund* |
|
|
|
|
|
|
|
|
|
|
|
|
|
To MFS and MFS Related |
|
|
|
|
|
|
|
|
|
|
|
|
|
Entities of MFS New |
| 0 | 1,795,090 |
| 0 | 0 |
| 3,165 |
| 111,720 | |||
Discovery Value Fund* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Fees billed by E&Y: |
|
|
|
| Aggregate fees for non-audit services |
| |||||||
|
|
|
|
|
| 2023 |
|
| 20225 |
| |||
To MFS Diversified Income Fund, MFS and |
|
|
| 143,797 |
|
| 2,165,964 |
| |||||
MFS Related Entities# |
|
|
|
|
|
|
|
|
|
|
|
| |
To MFS New Discovery Value Fund, MFS |
|
|
| 143,797 |
|
| 2,166,037 |
| |||||
and MFS Related Entities# |
|
|
|
|
|
|
|
|
|
|
|
|
*This amount reflects the fees billed to MFS and MFS Related Entities for non-audit services relating directly to the operations and financial reporting of the Funds (portions of which services also related to the operations and financial reporting of other funds within the MFS Funds complex).
# This amount reflects the aggregate fees billed by Deloitte or E&Y, as the case may be, for non-audit services rendered to the Funds and for non- audit services rendered to MFS and the MFS Related Entities.
1 The fees included under "Audit-Related Fees" are fees related to assurance and related services that are reasonably related to the performance of the audit or review of financial statements, but not reported under ''Audit Fees,'' including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters and internal control reviews.
2 The fees included under "Tax Fees" are fees associated with tax compliance, tax advice and tax planning, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews and tax distribution and analysis.
3 The fees included under "All Other Fees" are fees for products and services provided by Deloitte other than those reported under "Audit Fees," "Audit-Related Fees" and "Tax Fees".
4 The fees included under "All Other Fees" are fees for products and services provided by E&Y other than those reported under "Audit Fees," "Audit-Related Fees" and "Tax Fees," including fees for services related to reviews of internal controls and review of Rule 38a-1 compliance program.
5 Certain fees reported in 2022 have been restated in this filing from those reported in the Registrant's filing for the reporting period ended February 28, 2022.
Item 4(e)(1):
Set forth below are the policies and procedures established by the Audit Committee of the Board of Trustees relating to the pre-approval of audit and non-audit related services:
To the extent required by applicable law, pre-approval by the Audit Committee of the Board is needed for all audit and permissible non-audit services rendered to the Funds and all permissible non-audit services rendered to MFS or MFS Related Entities if the services relate directly to the operations and financial reporting of the Registrant. Pre-approval is currently on an engagement-by-engagement basis. In the event pre-approval of such services is necessary between regular meetings of the Audit Committee and it is not practical to wait to seek pre-approval at the next regular meeting of the Audit Committee, pre-approval of such services may be referred to the Chair of the Audit Committee for approval; provided that the Chair may not pre-approve any individual engagement for such services exceeding $50,000 or multiple engagements for such services in the aggregate exceeding $100,000 in each period between regular meetings of the Audit Committee. Any engagement pre-approved by the Chair between regular meetings of the Audit Committee shall be presented for ratification by the entire Audit Committee at its next regularly scheduled meeting.
Item 4(e)(2):
None, or 0%, of the services relating to the Audit-Related Fees, Tax Fees and All Other Fees paid by the Fund and MFS and MFS Related Entities relating directly to the operations and financial reporting of the Registrant disclosed above were approved by the audit committee pursuant to paragraphs (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (which permits audit committee approval after the start of the engagement with respect to services other than audit, review or attest services, if certain conditions are satisfied).
Item 4(f):
Not applicable.
Item 4(h):
The Registrant's Audit Committee has considered whether the provision by a Registrant's independent registered public accounting firm of non-audit services to MFS and MFS Related Entities that were not pre-approved by the Committee (because such services did not relate directly to the operations and financial reporting of the Registrant) was compatible with maintaining the independence of the independent registered public accounting firm as the Registrant's principal auditors.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to the Registrant.
ITEM 6. INVESTMENTS
A schedule of investments for each series covered by this Form N-CSR 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: Attached hereto as EX-99.COE.
(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: April 14, 2023
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: April 14, 2023
By (Signature and Title)*
/S/ JAMES O. YOST
James O. Yost, Treasurer (Principal Financial Officer and Accounting Officer) Date: April 14, 2023
* Print name and title of each signing officer under his or her signature.