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 811-04492
MFS SERIES TRUST X
(Exact name of registrant as specified in charter)
111 Huntington Avenue, Boston, Massachusetts 02199 (Address of principal executive offices) (Zip code)
Christopher R. Bohane
Massachusetts Financial Services Company
111 Huntington Avenue
Boston, Massachusetts 02199
(Name and address of agents for service)
Registrant's telephone number, including area code: (617) 954-5000
Date of fiscal year end: November 30*
Date of reporting period: November 30, 2022
*This Form N-CSR pertains only to the following series of the Registrant: MFS Global Opportunistic Bond Fund. The remaining series of the Registrant have fiscal year ends other than November 30.
ITEM 1. REPORTS TO STOCKHOLDERS.
Item 1(a):
Bond Fund
Bond Fund
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75 | |
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86 |
back cover |
Emerging Markets Bonds | 25.8% |
Investment Grade Corporates | 20.6% |
Non-U.S. Government Bonds | 10.3% |
High Yield Corporates | 8.1% |
Mortgage-Backed Securities | 8.0% |
Collateralized Debt Obligations | 4.1% |
U.S. Treasury Securities | 3.8% |
Commercial Mortgage-Backed Securities | 3.4% |
Municipal Bonds | 1.2% |
Asset-Backed Securities | 0.6% |
U.S. Government Agencies (o) | 0.0% |
AAA | 9.2% |
AA | 12.4% |
A | 17.4% |
BBB | 22.5% |
BB | 12.0% |
B | 4.3% |
CCC | 1.0% |
U.S. Government | 4.7% |
Federal Agencies | 8.0% |
Not Rated | (5.6)% |
Cash & Cash Equivalents | 4.7% |
Other (q) | 9.4% |
Average Duration (d) | 7.1 |
Average Effective Maturity (m) | 9.8 yrs. |
United States | 51.1% |
United Kingdom | 8.3% |
Canada | 8.0% |
South Korea | 6.1% |
Japan | 4.5% |
China | 4.1% |
France | 3.6% |
Italy | (3.5)% |
Germany | (9.0)% |
Other Countries | 26.8% |
(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. |
(o) | Less than 0.1%. |
(p) | For purposes of the presentation of Portfolio structure at value, Other includes equivalent exposure from currency derivatives and may be negative. |
(q) | For purposes of this presentation, Other includes equivalent exposure from currency derivatives and/or any offsets to derivative positions and may be negative. |
(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. |
(r) | Securities rated “BBB”, “Baa”, or higher are considered investment grade; securities rated “BB”, “Ba”, or below are considered non-investment grade. Ratings are assigned to underlying securities utilizing ratings from Moody's, Fitch, and Standard & Poor's 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). For securities that are not rated by any of the rating agencies, the security is considered Not Rated. |
(y) | A yield curve graphically depicts the yields of different maturity bonds of the same credit quality and type; a normal yield curve is upward sloping, with short-term rates lower than long-term rates. |
Share Class | Class Inception Date | 1-yr | 5-yr | 10-yr |
A | 6/02/10 | (10.28)% | 0.36% | (0.28)% |
B | 6/02/10 | (11.03)% | (0.40)% | (1.02)% |
C | 6/02/10 | (10.92)% | (0.37)% | (1.02)% |
I | 6/02/10 | (10.01)% | 0.61% | (0.02)% |
R1 | 6/02/10 | (11.03)% | (0.42)% | (1.02)% |
R2 | 6/02/10 | (10.58)% | 0.10% | (0.54)% |
R3 | 6/02/10 | (10.24)% | 0.36% | (0.27)% |
R4 | 6/02/10 | (10.01)% | 0.61% | (0.03)% |
R6 | 10/01/12 | (9.95)% | 0.70% | 0.08% |
Bloomberg Global Aggregate Index (USD Hedged) (f) | (10.52)% | 0.64% | 1.83% |
A With Initial Sales Charge (4.25%) | (14.10)% | (0.50)% | (0.72)% |
B With CDSC (Declining over six years from 4% to 0%) (v) | (14.44)% | (0.76)% | (1.02)% |
C With CDSC (1% for 12 months) (v) | (11.77)% | (0.37)% | (1.02)% |
(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. |
June 1, 2022 through November 30, 2022
Share Class | Annualized Expense Ratio | Beginning Account Value 6/01/22 | Ending Account Value 11/30/22 | Expenses Paid During Period (p) 6/01/22-11/30/22 | |
A | Actual | 0.95% | $1,000.00 | $979.39 | $4.71 |
Hypothetical (h) | 0.95% | $1,000.00 | $1,020.31 | $4.81 | |
B | Actual | 1.70% | $1,000.00 | $974.35 | $8.41 |
Hypothetical (h) | 1.70% | $1,000.00 | $1,016.55 | $8.59 | |
C | Actual | 1.70% | $1,000.00 | $976.78 | $8.42 |
Hypothetical (h) | 1.70% | $1,000.00 | $1,016.55 | $8.59 | |
I | Actual | 0.70% | $1,000.00 | $980.49 | $3.48 |
Hypothetical (h) | 0.70% | $1,000.00 | $1,021.56 | $3.55 | |
R1 | Actual | 1.70% | $1,000.00 | $975.55 | $8.42 |
Hypothetical (h) | 1.70% | $1,000.00 | $1,016.55 | $8.59 | |
R2 | Actual | 1.20% | $1,000.00 | $978.00 | $5.95 |
Hypothetical (h) | 1.20% | $1,000.00 | $1,019.05 | $6.07 | |
R3 | Actual | 0.95% | $1,000.00 | $979.26 | $4.71 |
Hypothetical (h) | 0.95% | $1,000.00 | $1,020.31 | $4.81 | |
R4 | Actual | 0.70% | $1,000.00 | $980.49 | $3.48 |
Hypothetical (h) | 0.70% | $1,000.00 | $1,021.56 | $3.55 | |
R6 | Actual | 0.61% | $1,000.00 | $980.87 | $3.03 |
Hypothetical (h) | 0.61% | $1,000.00 | $1,022.01 | $3.09 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Bonds – 97.2% | ||||
Aerospace & Defense – 0.3% | ||||
Boeing Co., 5.805%, 5/01/2050 | $ | 1,427,000 | $1,346,309 | |
Raytheon Technologies Corp., 2.82%, 9/01/2051 | 1,987,000 | 1,362,289 | ||
$2,708,598 | ||||
Airlines – 0.1% | ||||
EasyJet Finco B.V., 1.875%, 3/03/2028 | EUR | 1,450,000 | $1,268,100 | |
Alcoholic Beverages – 0.1% | ||||
Pernod Ricard S.A., 3.75%, 11/02/2032 | EUR | 900,000 | $967,206 | |
Apparel Manufacturers – 0.1% | ||||
Tapestry, Inc., 3.05%, 3/15/2032 | $ | 1,264,000 | $978,069 | |
Asset-Backed & Securitized – 8.1% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.142%, 11/15/2054 (i) | $ | 11,880,972 | $708,367 | |
AA Bond Co. Ltd., 3.25%, 7/31/2028 | GBP | 980,000 | 890,539 | |
ACREC 2021-FL1 Ltd., “C”, FLR, 6.061% (LIBOR - 1mo. + 2.15%), 10/16/2036 (n) | $ | 2,557,500 | 2,395,999 | |
ACRES 2021-FL2 Issuer Ltd., “AS”, FLR, 5.66% (LIBOR - 1mo. + 1.75%), 1/15/2037 (n) | 1,595,500 | 1,503,268 | ||
ACRES 2021-FL2 Issuer Ltd., “B”, FLR, 6.161% (LIBOR - 1mo. + 2.25%), 1/15/2037 (n) | 2,479,000 | 2,345,857 | ||
Allegro CLO Ltd., 2016-1A, “BR2”, FLR, 5.629% (LIBOR - 3mo. + 1.55%), 1/15/2030 (n) | 855,495 | 829,886 | ||
Arbor Realty Trust, Inc., CLO, 2019-FL2, “AS”, FLR, 5.359% (LIBOR - 1mo. + 1.45%), 9/15/2034 (n) | 450,000 | 442,070 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 5.879% (LIBOR - 1mo. + 2%), 12/15/2035 (n) | 204,000 | 189,972 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL2, “B”, FLR, 5.475% (LIBOR - 1mo. + 1.6%), 5/15/2036 (n) | 418,000 | 390,978 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL2, “C”, FLR, 5.825% (LIBOR - 1mo. + 1.95%), 5/15/2036 (n) | 1,359,500 | 1,259,033 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “B”, FLR, 5.475% (LIBOR - 1mo. + 1.6%), 8/15/2034 (n) | 1,205,000 | 1,094,027 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “C”, FLR, 5.725% (LIBOR - 1mo. + 1.85%), 8/15/2034 (n) | 1,049,500 | 944,802 | ||
Arbor Realty Trust, Inc., CLO, 2022-FL1, “C”, FLR, 5.518% (SOFR - 30 day + 2.3%), 1/15/2037 (n) | 3,751,000 | 3,603,427 | ||
Arbor Realty Trust, Inc., CLO, 2022-FL1, “D”, FLR, 6.217% (SOFR - 30 day + 3%), 1/15/2037 (n) | 2,400,000 | 2,200,500 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
AREIT 2022-CRE6 Trust, “C”, FLR, 5.542% (SOFR - 30 day + 2.15%), 1/16/2037 (n) | $ | 533,500 | $494,963 | |
AREIT 2022-CRE6 Trust, “D”, FLR, 6.242% (SOFR - 30 day + 2.85%), 12/17/2024 (n) | 569,500 | 525,077 | ||
BBCMS Mortgage Trust, 2020-C7, “XA”, 1.736%, 4/15/2053 (i) | 1,436,426 | 105,911 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.422%, 7/15/2054 (i) | 9,761,762 | 718,194 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.751%, 2/15/2054 (i) | 15,133,075 | 1,391,809 | ||
BBCMS Mortgage Trust, 2022-C18, “AS”, 6.148%, 12/15/2055 (w) | 1,004,922 | 1,056,461 | ||
Benchmark 2020-B18 Mortgage Trust, “XA”, 1.79%, 7/15/2053 (i) | 12,916,814 | 1,033,018 | ||
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.15%, 3/15/2054 (i) | 6,405,966 | 396,859 | ||
Benchmark 2021-B26 Mortgage Trust, “XA”, 0.998%, 6/15/2054 (i) | 19,823,660 | 989,127 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.383%, 7/15/2054 (i) | 20,286,010 | 1,452,923 | ||
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.396%, 8/15/2054 (i) | 21,012,479 | 1,504,805 | ||
Benchmark 2022-B37 Mortgage Trust, “AS”, 5.943%, 11/15/2055 | 394,000 | 395,692 | ||
BSPRT 2021-FL7 Issuer Ltd., “B”, FLR, 5.925% (LIBOR - 1mo. + 2.05%), 12/15/2038 (n) | 632,000 | 585,725 | ||
BSPRT 2021-FL7 Issuer Ltd., “C”, FLR, 6.175% (LIBOR - 1mo. + 2.3%), 12/15/2038 (n) | 572,500 | 526,253 | ||
Business Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n) | 358,944 | 325,325 | ||
Business Jet Securities LLC, 2021-1A, “A”, 2.162%, 4/15/2036 (n) | 441,543 | 384,328 | ||
BXMT 2021-FL4 Ltd., “AS”, FLR, 5.175% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | 1,100,000 | 1,048,320 | ||
BXMT 2021-FL4 Ltd., “B”, FLR, 5.425% (LIBOR - 1mo. + 1.55%), 5/15/2038 (n) | 2,995,500 | 2,798,908 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 491,366 | 459,369 | ||
CarMax Auto Owner Trust, 2022-2, “A4”, 3.62%, 9/15/2027 | 1,435,000 | 1,375,707 | ||
CF Hippolyta Issuer LLC, 2020-1, “A1”, 1.69%, 7/15/2060 (n) | 387,671 | 343,135 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.78%, 4/15/2054 (i) | 7,809,979 | 344,518 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN34, “XA”, 0.98%, 6/15/2063 (i) | 11,367,152 | 646,328 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.152%, 6/15/2064 (i) | $ | 9,493,398 | $568,621 | |
Commercial Mortgage Pass-Through Certificates, 2022-BNK41, “AS”, 3.916%, 4/15/2065 | 2,344,000 | 1,996,957 | ||
Covestro AG, 4.75%, 11/15/2028 | EUR | 600,000 | 632,819 | |
Fortress CBO Investments Ltd., 2022-FL3, “AS”, FLR, 5.745% (SOFR - 30 day + 2.25%), 2/23/2039 (n) | $ | 990,500 | 946,229 | |
FS Rialto 2021-FL2 Issuer Ltd., “AS”, FLR, 5.436% (LIBOR - 1mo. + 1.6%), 5/16/2038 (n) | 2,483,500 | 2,362,372 | ||
HarbourView CLO VII Ltd., 7RA, “B”, FLR, 5.894% (LIBOR - 3mo. + 1.7%), 7/18/2031 (n) | 2,560,000 | 2,402,872 | ||
KREF 2018-FT1 Ltd., “AS”, FLR, 5.211% (LIBOR - 1mo. + 1.3%), 2/15/2039 (n) | 2,500,000 | 2,321,588 | ||
KREF 2021-FL2 Ltd., “B”, FLR, 5.561% (LIBOR - 1mo. + 1.65%), 2/15/2039 (n) | 2,155,000 | 1,993,416 | ||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 5.625% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 3,300,000 | 3,059,793 | ||
LoanCore 2021-CRE5 Ltd., “B”, FLR, 5.875% (LIBOR - 1mo. + 2%), 7/15/2036 (n) | 1,395,500 | 1,289,321 | ||
MF1 2020-FL4 Ltd., “AS”, FLR, 6.078% (LIBOR - 1mo. + 2.1%), 11/15/2035 (n) | 647,000 | 620,261 | ||
MF1 2021-FL5 Ltd., “B”, FLR, 5.428% (LIBOR - 1mo. + 1.45%), 7/15/2036 (n) | 2,542,500 | 2,402,965 | ||
MF1 2021-FL5 Ltd., “C”, FLR, 5.678% (LIBOR - 1mo. + 1.7%), 7/15/2036 (n) | 645,000 | 599,687 | ||
MF1 2021-FL6 Ltd., “AS”, FLR, 5.361% (LIBOR - 1mo. + 1.45%), 7/16/2036 (n) | 2,500,000 | 2,364,069 | ||
MF1 2021-FL6 Ltd., “B”, FLR, 5.56% (LIBOR - 1mo. + 1.65%), 7/16/2036 (n) | 3,800,000 | 3,576,539 | ||
MF1 2022-FL8 Ltd., “C”, FLR, 5.617% (SOFR - 30 day + 2.2%), 2/19/2037 (n) | 1,130,366 | 1,062,152 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.419%, 5/15/2054 (i) | 5,717,445 | 401,228 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.345%, 6/15/2054 (i) | 17,360,503 | 1,118,532 | ||
Navistar Financial Dealer Note Master Owner Trust, 2022-1, “A”, FLR, 4.642% (SOFR - 30 day + 1.25%), 5/25/2027 (n) | 947,000 | 948,238 | ||
PFP III 2021-7 Ltd., “AS”, FLR, 5.025% (LIBOR - 1mo. + 1.15%), 4/14/2038 (n) | 871,956 | 814,822 | ||
PFP III 2021-7 Ltd., “B”, FLR, 5.303% (LIBOR - 1mo. + 1.4%), 4/14/2038 (n) | 684,966 | 638,332 | ||
PFP III 2021-7 Ltd., “C”, FLR, 5.554% (LIBOR - 1mo. + 1.65%), 4/14/2038 (n) | 468,477 | 433,765 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
PFP III 2021-8 Ltd., “B”, FLR, 5.403% (LIBOR - 1mo. + 1.5%), 8/09/2037 (n) | $ | 812,000 | $729,722 | |
RAC Bond Co. PLC, 4.87%, 5/06/2026 | GBP | 557,000 | 611,691 | |
Shelter Growth CRE 2021-FL3 Ltd., “C”, FLR, 6.025% (LIBOR - 1mo. + 2.15%), 9/15/2036 (n) | $ | 1,212,000 | 1,136,065 | |
Starwood Commercial Mortgage, 2021-FL2, “B”, FLR, 5.711% (LIBOR - 1mo. + 1.8%), 4/18/2038 (n) | 1,223,000 | 1,169,501 | ||
Starwood Commercial Mortgage, 2021-FL2, “C”, FLR, 6.01% (LIBOR - 1mo. + 2.1%), 4/18/2038 (n) | 238,000 | 220,279 | ||
TPG Real Estate Finance, 2021-FL4, “A”, FLR, 5.111% (LIBOR - 1mo. + 1.2%), 3/15/2038 (n) | 762,000 | 734,837 | ||
TPG Real Estate Finance, 2021-FL4, “AS”, FLR, 5.31% (LIBOR - 1mo. + 1.4%), 3/15/2038 (n) | 800,000 | 760,093 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C59, “XA”, 1.67%, 4/15/2054 (i) | 9,362,738 | 788,256 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C60, “XA”, 1.672%, 8/15/2054 (i) | 15,780,521 | 1,414,687 | ||
$77,821,189 | ||||
Automotive – 1.1% | ||||
Hyundai Capital America, 2%, 6/15/2028 (n) | $ | 1,492,000 | $1,207,655 | |
Hyundai Capital America, 6.375%, 4/08/2030 (n) | 1,680,000 | 1,715,809 | ||
Mercedes-Benz Financial Services (Canada), 3%, 2/23/2027 | EUR | 580,000 | 601,825 | |
RAC Bond Co. PLC, 5.25%, 11/04/2027 | GBP | 200,000 | 186,281 | |
RAC Bond Co. PLC, 5.25%, 11/04/2046 (n) | 1,950,000 | 1,816,241 | ||
Stellantis N.V., 2.75%, 4/01/2032 | EUR | 940,000 | 860,732 | |
TI Automotive Finance PLC, 3.75%, 4/15/2029 (n) | 2,590,000 | 2,082,006 | ||
TI Automotive Finance PLC, 3.75%, 4/15/2029 | 1,050,000 | 844,057 | ||
Volkswagen International Finance N.V., 4.375%, 3/28/2168 | 1,000,000 | 868,776 | ||
$10,183,382 | ||||
Broadcasting – 1.2% | ||||
Discovery, Inc., 4.125%, 5/15/2029 | $ | 1,860,000 | $1,637,481 | |
Prosus N.V., 1.539%, 8/03/2028 | EUR | 1,390,000 | 1,136,203 | |
Prosus N.V., 2.085%, 1/19/2030 | 840,000 | 658,858 | ||
Prosus N.V., 3.061%, 7/13/2031 (n) | $ | 895,000 | 668,131 | |
Prosus N.V., 4.027%, 8/03/2050 | 1,200,000 | 732,339 | ||
Summer (BC) Holdco S.à r.l., “A”, 9.25%, 10/31/2027 | EUR | 2,230,105 | 1,798,687 | |
Ubisoft Entertainment S.A., 0.878%, 11/24/2027 | 700,000 | 555,840 | ||
Warnermedia Holdings, Inc., 4.279%, 3/15/2032 (n) | $ | 1,563,000 | 1,326,986 | |
WMG Acquisition Corp., 2.25%, 8/31/2031 (n) | EUR | 1,764,000 | 1,416,180 | |
WMG Acquisition Corp., 2.25%, 8/31/2031 | 1,460,000 | 1,172,121 | ||
$11,102,826 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Brokerage & Asset Managers – 0.2% | ||||
Ameriprise Financial, Inc., 4.5%, 5/13/2032 | $ | 551,000 | $539,145 | |
Low Income Investment Fund, 3.386%, 7/01/2026 | 310,000 | 295,750 | ||
Low Income Investment Fund, 3.711%, 7/01/2029 | 840,000 | 791,277 | ||
$1,626,172 | ||||
Building – 0.7% | ||||
Holcim Sterling Finance (Netherlands) B.V., 2.25%, 4/04/2034 | GBP | 1,020,000 | $867,895 | |
Imerys S.A., 1%, 7/15/2031 | EUR | 900,000 | 658,154 | |
New Enterprise Stone & Lime Co., Inc., 5.25%, 7/15/2028 (n) | $ | 2,440,000 | 2,208,200 | |
Standard Industries, Inc., 4.75%, 1/15/2028 (n) | 1,770,000 | 1,604,178 | ||
Vulcan Materials Co., 3.5%, 6/01/2030 | 1,618,000 | 1,441,465 | ||
$6,779,892 | ||||
Business Services – 0.9% | ||||
Entegris Escrow Corp., 5.95%, 6/15/2030 (n) | $ | 2,300,000 | $2,148,313 | |
Euronet Worldwide, Inc., 1.375%, 5/22/2026 | EUR | 1,450,000 | 1,356,323 | |
Fiserv, Inc., 2.65%, 6/01/2030 | $ | 1,341,000 | 1,135,116 | |
Fiserv, Inc., 4.4%, 7/01/2049 | 669,000 | 551,395 | ||
Mastercard, Inc., 3.3%, 3/26/2027 | 1,960,000 | 1,887,437 | ||
Mastercard, Inc., 3.85%, 3/26/2050 | 691,000 | 602,804 | ||
Visa, Inc., 3.65%, 9/15/2047 | 1,125,000 | 957,300 | ||
$8,638,688 | ||||
Cable TV – 1.3% | ||||
CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, 8/15/2030 (n) | $ | 3,360,000 | $2,830,800 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.908%, 7/23/2025 | 607,000 | 597,465 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.8%, 3/01/2050 | 942,000 | 706,781 | ||
Comcast Corp., 3.75%, 4/01/2040 | 1,675,000 | 1,399,628 | ||
SES S.A., 3.5%, 1/14/2029 | EUR | 1,040,000 | 1,006,819 | |
Virgin Media Finance PLC, 3.75%, 7/15/2030 | 2,950,000 | 2,436,783 | ||
VTR Comunicaciones S.p.A., 5.125%, 1/15/2028 | $ | 1,900,000 | 1,083,000 | |
Ziggo B.V., 3.375%, 2/28/2030 | EUR | 3,175,000 | 2,523,358 | |
$12,584,634 | ||||
Chemicals – 0.5% | ||||
Axalta Coating Systems Ltd., 3.375%, 2/15/2029 (n) | $ | 2,900,000 | $2,373,780 | |
LYB International Finance III, LLC, 4.2%, 5/01/2050 | 1,382,000 | 1,035,490 | ||
Sasol Financing (USA) LLC, 4.375%, 9/18/2026 | 800,000 | 726,000 | ||
Synthos S.A., 2.5%, 6/07/2028 (n) | EUR | 1,286,000 | 1,023,280 | |
$5,158,550 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Computer Software – 0.3% | ||||
Microsoft Corp., 3.3%, 2/06/2027 | $ | 1,346,000 | $1,301,898 | |
Microsoft Corp., 2.525%, 6/01/2050 | 888,000 | 611,555 | ||
Microsoft Corp., 2.675%, 6/01/2060 | 1,695,000 | 1,145,525 | ||
$3,058,978 | ||||
Computer Software - Systems – 0.3% | ||||
Apple, Inc., 3.2%, 5/11/2027 | $ | 2,523,000 | $2,422,127 | |
Apple, Inc., 4.5%, 2/23/2036 | 953,000 | 962,577 | ||
$3,384,704 | ||||
Conglomerates – 0.6% | ||||
TriMas Corp., 4.125%, 4/15/2029 (n) | $ | 3,460,000 | $2,949,650 | |
Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | 2,472,000 | 2,374,499 | ||
$5,324,149 | ||||
Consumer Products – 0.1% | ||||
JAB Holdings B.V., 2.25%, 12/19/2039 | EUR | 1,900,000 | $1,411,915 | |
Consumer Services – 0.5% | ||||
Booking Holdings, Inc., 4.75%, 11/15/2034 | EUR | 540,000 | $597,775 | |
Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2027 (n) | $ | 1,754,000 | 1,297,278 | |
TriNet Group, Inc., 3.5%, 3/01/2029 (n) | 3,600,000 | 2,992,500 | ||
$4,887,553 | ||||
Containers – 0.5% | ||||
ARD Finance S.A., 5%, (5% cash or 5.75% PIK) 6/30/2027 (p) | EUR | 1,831,829 | $1,292,474 | |
Ardagh Metal Packaging Finance USA LLC, 3%, 9/01/2029 (n) | 1,800,000 | 1,395,445 | ||
Ardagh Metal Packaging Finance USA LLC, 3%, 9/01/2029 | 750,000 | 581,435 | ||
Can-Pack S.A./Eastern PA Land Investment Holding LLC, 3.125%, 11/01/2025 | $ | 1,500,000 | 1,290,000 | |
$4,559,354 | ||||
Electrical Equipment – 0.4% | ||||
Arrow Electronics, Inc., 2.95%, 2/15/2032 | $ | 1,680,000 | $1,339,429 | |
Telefonaktiebolaget LM Ericsson, 1.125%, 2/08/2027 | EUR | 1,390,000 | 1,248,976 | |
Telefonaktiebolaget LM Ericsson, 1%, 5/26/2029 | 1,830,000 | 1,448,988 | ||
$4,037,393 | ||||
Electronics – 0.2% | ||||
Broadcom, Inc., 3.419%, 4/15/2033 (n) | $ | 1,876,000 | $1,524,307 | |
Broadcom, Inc., 3.187%, 11/15/2036 (n) | 50,000 | 36,415 | ||
$1,560,722 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Quasi-Sovereign – 2.8% | ||||
Banco de Reservas de la Republica Dominicana, 7%, 2/01/2023 | $ | 700,000 | $698,250 | |
CEZ A.S. (Czech Republic), 2.375%, 4/06/2027 | EUR | 1,045,000 | 997,279 | |
Comision Federal de Electricidad (United Mexican States), 3.348%, 2/09/2031 | $ | 600,000 | 461,106 | |
Comision Federal de Electricidad (United Mexican States), 3.875%, 7/26/2033 (n) | 844,000 | 626,248 | ||
DAE Funding LLC (United Arab Emirates), 3.375%, 3/20/2028 | 850,000 | 740,795 | ||
Dua Capital Ltd. (Federation of Malaysia), 2.78%, 5/11/2031 | 3,745,000 | 2,966,115 | ||
Emirates NBD Bank PJSC, 6.125% to 7/09/2026, FLR (Swap Rate - 6yr. + 5.702%) to 1/09/2170 | 1,800,000 | 1,724,861 | ||
Eskom Holdings SOC Ltd. (Republic of South Africa), 7.125%, 2/11/2025 | 1,200,000 | 1,125,396 | ||
Export-Import Bank of India, 2.25%, 1/13/2031 | 1,800,000 | 1,433,267 | ||
Indian Railway Finance Corp., 2.8%, 2/10/2031 | 1,850,000 | 1,520,932 | ||
Industrial & Commercial Bank of China Ltd., 4.875%, 9/21/2025 | 1,400,000 | 1,373,077 | ||
Ipoteka Bank (Republic of Uzbekistan), 5.5%, 11/19/2025 | 2,202,000 | 1,882,710 | ||
KazMunayGas National Co., JSC (Republic of Kazakhstan), 6.375%, 10/24/2048 | 1,097,000 | 877,583 | ||
Krung Thai Bank PLC (Cayman Islands Branch), 4.4% to 3/25/2026, FLR (CMT - 5yr. + 3.53%) to 9/25/2169 | 1,500,000 | 1,282,500 | ||
Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 3.75%, 6/23/2031 (n) | 1,077,000 | 879,896 | ||
Pertamina PT, 5.625%, 5/20/2043 | 1,667,000 | 1,565,689 | ||
Petroleos Mexicanos, 7.69%, 1/23/2050 | 3,190,000 | 2,195,228 | ||
PT Freeport Indonesia, 5.315%, 4/14/2032 (n) | 755,000 | 698,375 | ||
Southern Gas Corridor CJSC (Republic of Azerbaijan), 6.875%, 3/24/2026 | 1,420,000 | 1,451,808 | ||
SPP-Distribucia A.S. (Republic of Slovakia), 1%, 6/09/2031 | EUR | 1,400,000 | 950,646 | |
State Oil Company of the Azerbaijan Republic, 6.95%, 3/18/2030 | $ | 1,000,000 | 1,011,808 | |
$26,463,569 | ||||
Emerging Market Sovereign – 18.2% | ||||
Arab Republic of Egypt, 7.053%, 1/15/2032 | $ | 1,100,000 | $814,880 | |
Arab Republic of Egypt, 8.875%, 5/29/2050 | 1,900,000 | 1,302,636 | ||
Dominican Republic, 4.875%, 9/23/2032 | 1,300,000 | 1,073,058 | ||
Dominican Republic, 5.875%, 1/30/2060 | 2,400,000 | 1,779,000 | ||
Federative Republic of Brazil, 5.625%, 2/21/2047 | 400,000 | 329,583 | ||
Hellenic Republic (Republic of Greece), 0%, 2/12/2026 | EUR | 7,701,000 | 7,214,234 | |
Hellenic Republic (Republic of Greece), 2%, 4/22/2027 (n) | 13,156,000 | 12,999,995 | ||
Hellenic Republic (Republic of Greece), 1.75%, 6/18/2032 (n) | 8,594,000 | 7,268,981 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
Hellenic Republic (Republic of Greece), 1.875%, 1/24/2052 | EUR | 2,561,000 | $1,645,943 | |
Kingdom of Morocco, 2%, 9/30/2030 | 1,600,000 | 1,296,005 | ||
Kingdom of Morocco, 3%, 12/15/2032 | $ | 650,000 | 514,917 | |
Kingdom of Saudi Arabia, 3.25%, 11/17/2051 (n) | 1,300,000 | 937,823 | ||
Oriental Republic of Uruguay, 4.375%, 1/23/2031 | 784,000 | 782,908 | ||
Oriental Republic of Uruguay, 8.25%, 5/21/2031 | UYU | 482,632,000 | 10,472,447 | |
People's Republic of China, 3.03%, 3/11/2026 | CNY | 128,100,000 | 18,240,503 | |
People's Republic of China, 3.13%, 11/21/2029 | 80,220,000 | 11,479,722 | ||
Republic of Benin, 6.875%, 1/19/2052 | EUR | 1,500,000 | 1,132,308 | |
Republic of Cote d'Ivoire, 6.875%, 10/17/2040 | 2,600,000 | 2,063,038 | ||
Republic of Croatia, 1.125%, 3/04/2033 | 3,172,000 | 2,589,935 | ||
Republic of Guatemala, 6.125%, 6/01/2050 | $ | 1,300,000 | 1,193,507 | |
Republic of Hungary, 2.125%, 9/22/2031 (n) | 945,000 | 707,489 | ||
Republic of Hungary, 5.5%, 6/16/2034 (n) | 1,364,000 | 1,303,711 | ||
Republic of Indonesia, 3.55%, 3/31/2032 | 1,180,000 | 1,065,057 | ||
Republic of Korea, 2.125%, 6/10/2027 | KRW | 9,363,000,000 | 6,644,675 | |
Republic of Korea, 1.875%, 6/10/2029 | 42,314,110,000 | 28,955,744 | ||
Republic of Korea, 1.375%, 6/10/2030 | 32,382,080,000 | 20,986,278 | ||
Republic of Panama, 3.298%, 1/19/2033 | $ | 2,309,000 | 1,895,383 | |
Republic of Paraguay, 6.1%, 8/11/2044 (n) | 1,760,000 | 1,654,400 | ||
Republic of Paraguay, 5.6%, 3/13/2048 | 2,000,000 | 1,704,000 | ||
Republic of Philippines, 3.556%, 9/29/2032 | 759,000 | 683,912 | ||
Republic of Poland, 5.75%, 11/16/2032 | 678,000 | 714,883 | ||
Republic of Romania, 2%, 1/28/2032 | EUR | 2,220,000 | 1,611,779 | |
Republic of Senegal, 6.25%, 5/23/2033 | $ | 1,400,000 | 1,169,000 | |
Republic of Serbia, 1.65%, 3/03/2033 | EUR | 1,028,000 | 694,067 | |
Republic of Serbia, 2.05%, 9/23/2036 (n) | 896,000 | 562,283 | ||
Republic of Serbia, 2.05%, 9/23/2036 | 800,000 | 502,039 | ||
Republic of South Africa, 5.875%, 4/20/2032 | $ | 955,000 | 882,063 | |
Sultanate of Oman, 7%, 1/25/2051 | 2,550,000 | 2,378,135 | ||
United Arab Emirates, 4.951%, 7/07/2052 (n) | 1,230,000 | 1,216,509 | ||
United Mexican States, 7.5%, 6/03/2027 | MXN | 265,600,000 | 12,808,792 | |
United Mexican States, 4.875%, 5/19/2033 | $ | 1,049,000 | 985,264 | |
United Mexican States, 3.771%, 5/24/2061 | 1,046,000 | 704,659 | ||
$174,961,545 | ||||
Energy - Independent – 0.4% | ||||
Energean Israel Finance Ltd., 4.875%, 3/30/2026 | $ | 1,300,000 | $1,205,750 | |
Leviathan Bond Ltd., 6.75%, 6/30/2030 (n) | 1,100,000 | 1,038,950 | ||
Medco Bell Pte. Ltd., 6.375%, 1/30/2027 | 668,000 | 593,377 | ||
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n) | 1,500,000 | 1,275,000 | ||
$4,113,077 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Energy - Integrated – 0.6% | ||||
BP Capital Markets PLC, 3.625%, 6/22/2170 | EUR | 2,910,000 | $2,601,632 | |
Eni S.p.A., 4.25%, 5/09/2029 (n) | $ | 1,139,000 | 1,057,043 | |
Galp Energia SGPS S.A., 2%, 1/15/2026 | EUR | 2,000,000 | 1,933,942 | |
MOL PLC, 1.5%, 10/08/2027 | 600,000 | 515,846 | ||
$6,108,463 | ||||
Engineering - Construction – 0.1% | ||||
Bouygues S.A., 4.625%, 6/07/2032 | EUR | 600,000 | $662,015 | |
Financial Institutions – 2.0% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.3%, 1/30/2032 | $ | 375,000 | $298,864 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.85%, 10/29/2041 | 299,000 | 219,334 | ||
Avolon Holdings Funding Ltd., 3.95%, 7/01/2024 (n) | 773,000 | 736,163 | ||
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 1,336,000 | 1,214,438 | ||
Credit Logement S.A., 1.081% to 2/15/2029, FLR (EUR ICE Swap Rate - 5yr. + 1.1%) to 2/15/2034 | EUR | 1,700,000 | 1,429,899 | |
CTP N.V., 0.942%, 1/20/2026 | 880,000 | 750,452 | ||
CTP N.V., 1.5%, 9/27/2031 | 1,140,000 | 712,568 | ||
EXOR N.V., 2.25%, 4/29/2030 | 1,000,000 | 908,583 | ||
Global Aircraft Leasing Co. Ltd., 6.5% (6.5% cash or 7.25% PIK), 9/15/2024 (n)(p) | $ | 2,875,593 | 2,401,018 | |
Global Aircraft Leasing Co. Ltd., 6.5% (6.5% cash or 7.25% PIK), 9/15/2024 (n)(p) | 1,253,862 | 1,046,930 | ||
Grand City Properties S.A., 1.5%, 12/09/2069 | EUR | 1,200,000 | 549,537 | |
Logicor Financing S.à r.l., 1.625%, 1/17/2030 | 1,100,000 | 870,377 | ||
Logicor Financing S.à r.l., 0.875%, 1/14/2031 | 970,000 | 698,270 | ||
Nationstar Mortgage Holdings, Inc., 6%, 1/15/2027 (n) | $ | 2,300,000 | 2,090,953 | |
P3 Group S.à r.l., 0.875%, 1/26/2026 | EUR | 1,160,000 | 996,583 | |
Samhallsbyggnadsbolaget i Norden AB, 1.75%, 1/14/2025 | 780,000 | 679,634 | ||
Samhallsbyggnadsbolaget i Norden AB, 2.875%, 1/30/2171 | 2,600,000 | 1,062,473 | ||
SBB Treasury Oyj, 0.75%, 12/14/2028 | 730,000 | 459,453 | ||
SBB Treasury Oyj, 1.125%, 11/26/2029 | 580,000 | 363,855 | ||
VGP N.V., 1.5%, 4/08/2029 | 1,500,000 | 1,038,680 | ||
Vonovia SE, REIT, 1.625%, 9/01/2051 | 1,100,000 | 638,272 | ||
$19,166,336 | ||||
Food & Beverages – 0.8% | ||||
Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | $ | 1,112,000 | $1,018,117 | |
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | 669,000 | 684,940 | ||
Central America Bottling Co., 5.25%, 4/27/2029 (n) | 1,160,000 | 1,045,810 | ||
Constellation Brands, Inc., 4.75%, 12/01/2025 | 667,000 | 667,425 | ||
Constellation Brands, Inc., 3.15%, 8/01/2029 | 821,000 | 727,759 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Food & Beverages – continued | ||||
Constellation Brands, Inc., 2.25%, 8/01/2031 | $ | 760,000 | $608,132 | |
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.625%, 1/15/2032 (n) | 1,595,000 | 1,315,875 | ||
Kraft Heinz Foods Co., 3.875%, 5/15/2027 | 1,624,000 | 1,566,121 | ||
$7,634,179 | ||||
Gaming & Lodging – 0.4% | ||||
Las Vegas Sands Corp., 3.9%, 8/08/2029 | $ | 925,000 | $794,384 | |
Marriott International, Inc., 2.85%, 4/15/2031 | 1,632,000 | 1,333,444 | ||
VICI Properties LP, REIT, 4.95%, 2/15/2030 | 1,767,000 | 1,670,439 | ||
$3,798,267 | ||||
Industrial – 0.7% | ||||
Albion Financing 1 S.à r.l., 5.25%, 10/15/2026 | EUR | 2,370,000 | $2,198,287 | |
Dar Al-Arkan Sukuk Co. Ltd., 6.875%, 2/26/2027 | $ | 1,500,000 | 1,396,122 | |
Investor AB, 2.75%, 6/10/2032 | EUR | 295,000 | 294,053 | |
Peach Property Finance GmbH, 4.375%, 11/15/2025 | 1,900,000 | 1,425,558 | ||
Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | $ | 1,894,000 | 1,211,058 | |
$6,525,078 | ||||
Insurance – 1.1% | ||||
AIA Group Ltd., 0.88%, 9/09/2033 | EUR | 2,230,000 | $1,798,014 | |
Allianz SE, 3.2% to 4/30/2028, FLR (CMT - 5yr. + 2.165%) to 4/30/2171 (n) | $ | 400,000 | 295,600 | |
Allianz SE, 3.5% to 4/30/2026, FLR (CMT - 5yr. + 2.973%) to 4/30/2171 (n) | 1,200,000 | 1,018,500 | ||
Argentum Netherlands B.V., 5.125%, 6/01/2048 | 670,000 | 597,796 | ||
Argentum Netherlands B.V. for Zurich Insurance Co. Ltd., 2.75%, 2/19/2049 | EUR | 1,230,000 | 1,129,133 | |
ASR Nederland N.V., 7% to 12/07/2033, FLR (EUR Swap Rate - 5yr. + 5.3%) to 12/07/2043 | 920,000 | 997,787 | ||
Aviva PLC, 4% to 6/03/2035, FLR (GBP Government Yield - 5yr. + 4.7%) to 6/03/2055 | GBP | 1,139,000 | 1,070,175 | |
Corebridge Financial, Inc., 4.35%, 4/05/2042 (n) | $ | 1,170,000 | 957,912 | |
Credit Agricole Assurances S.A., 2%, 7/17/2030 | EUR | 800,000 | 676,973 | |
NN Group N.V., 4.625%, 1/13/2048 | 1,540,000 | 1,536,724 | ||
Zurich Finance (Ireland) DAC, 3%, 4/19/2051 | $ | 800,000 | 605,920 | |
$10,684,534 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Insurance - Health – 0.3% | ||||
UnitedHealth Group, Inc., 4.625%, 7/15/2035 | $ | 1,611,000 | $1,581,439 | |
UnitedHealth Group, Inc., 3.5%, 8/15/2039 | 670,000 | 554,660 | ||
UnitedHealth Group, Inc., 3.25%, 5/15/2051 | 701,000 | 514,399 | ||
$2,650,498 | ||||
Insurance - Property & Casualty – 0.1% | ||||
Aon Corp./Aon Global Holdings PLC, 2.6%, 12/02/2031 | $ | 204,000 | $166,997 | |
QBE Insurance Group Ltd., 2.5% to 9/13/2028, FLR (GBP Government Yield - 5yr. + 2.061%) to 9/13/2038 | GBP | 685,000 | 628,089 | |
$795,086 | ||||
International Market Quasi-Sovereign – 1.6% | ||||
Caixa Geral de Depositos S.A. (Republic of Portugal), 5.75% to 10/31/2027, FLR (EUR Swap Rate - 1yr. + 2.75%) to 10/31/2028 | EUR | 600,000 | $637,760 | |
Electricite de France S.A., 2.625% to 6/01/2028, FLR (EUR Swap Rate - 5yr. + 2.86%) to 6/01/2033, FLR (EUR Swap Rate - 5yr. + 3.11%) to 6/01/2048, FLR (EUR Swap Rate - 5yr. + 3.86%) to 12/29/2049 | 600,000 | 490,451 | ||
Electricite de France S.A., 2.875% to 3/15/2027, FLR (EUR Swap Rate - 5yr. + 3.373%) to 3/15/2031, FLR (EUR Swap Rate - 5yr. + 3.623%) to 3/15/2047, FLR (EUR Swap Rate - 5yr. + 4.373%) to 3/15/2070 | 1,400,000 | 1,209,177 | ||
Electricite de France S.A., 5.875% to 1/22/2029, FLR (GBP Swap Rate - 15yr. + 3.046%) to 1/22/2049, FLR (GBP Swap Rate - 15yr. + 3.796%) to 12/31/2165 | GBP | 1,000,000 | 988,305 | |
EnBW International Finance B.V., 4.049%, 11/22/2029 | EUR | 250,000 | 265,261 | |
ESB Finance DAC, 1%, 7/19/2034 | 1,520,000 | 1,197,210 | ||
Islandsbanki (Republic of Iceland), 0.75%, 3/25/2025 | 830,000 | 738,902 | ||
Kreditanstalt Fuer Wiederaufbau, 1.125%, 3/31/2037 | 6,983,000 | 5,891,730 | ||
La Banque Postale S.A., 5.5% to 3/05/2029, FLR (EUR Swap Rate - 5yr. + 2.85%) to 3/05/2034 | 900,000 | 939,509 | ||
Landsbankinn Bank (Republic of Iceland), 0.375%, 5/23/2025 | 2,020,000 | 1,799,073 | ||
Ontario Teachers' Cadillac Fairview Properties, 2.5%, 10/15/2031 (n) | $ | 878,000 | 685,159 | |
RTE Reseau de Transport d'Electricite, 0.75%, 1/12/2034 | EUR | 800,000 | 625,229 | |
$15,467,766 | ||||
International Market Sovereign – 17.0% | ||||
Commonwealth of Australia, 3.25%, 6/21/2039 | AUD | 26,851,000 | $16,869,309 | |
Federal Republic of Germany, 1.7%, 8/15/2032 | EUR | 18,330,000 | 18,667,536 | |
Federal Republic of Germany, 0%, 8/15/2052 | 7,282,375 | 4,540,079 | ||
Government of Bermuda, 2.375%, 8/20/2030 (n) | $ | 508,000 | 413,702 | |
Government of Bermuda, 5%, 7/15/2032 (n) | 1,933,000 | 1,860,626 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
International Market Sovereign – continued | ||||
Government of Japan, 1.7%, 6/20/2033 | JPY | 1,199,450,000 | $9,816,572 | |
Government of Japan, 1.7%, 6/20/2044 | 3,180,900,000 | 25,195,197 | ||
Government of Japan, 0.3%, 6/20/2046 | 1,403,950,000 | 8,139,738 | ||
Kingdom of Belgium, 0.4%, 6/22/2040 | EUR | 11,191,000 | 7,872,423 | |
Kingdom of Spain, 2.55%, 10/31/2032 | 5,469,000 | 5,496,146 | ||
Kingdom of Spain, 1%, 10/31/2050 | 9,142,000 | 5,698,424 | ||
Republic of Cyprus, 0.625%, 1/21/2030 | 3,390,000 | 2,798,119 | ||
Republic of France, 0%, 5/25/2032 | 12,300,000 | 10,248,029 | ||
Republic of France, 0.75%, 5/25/2053 | 6,644,200 | 4,283,112 | ||
United Kingdom Treasury, 1.25%, 7/22/2027 | GBP | 30,892,000 | 34,003,774 | |
United Kingdom Treasury, 1.25%, 10/22/2041 | 4,675,000 | 3,893,625 | ||
United Kingdom Treasury, 1.25%, 7/31/2051 | 5,050,000 | 3,678,262 | ||
$163,474,673 | ||||
Local Authorities – 0.9% | ||||
City of Oslo, 2.17%, 5/18/2029 | NOK | 26,000,000 | $2,368,458 | |
Province of Alberta, 4.5%, 12/01/2040 | CAD | 760,000 | 594,525 | |
Province of British Columbia, 2.95%, 6/18/2050 | 765,000 | 469,186 | ||
Province of Ontario, 1.9%, 12/02/2051 | 10,516,000 | 5,005,683 | ||
$8,437,852 | ||||
Machinery & Tools – 0.1% | ||||
Sarens Finance Co. N.V., 5.75%, 2/21/2027 | EUR | 1,611,000 | $1,266,358 | |
Major Banks – 4.6% | ||||
Australia and New Zealand Banking Group Ltd., 2.57% to 11/25/2030, FLR (CMT - 5yr. + 1.7%) to 11/25/2035 (n) | $ | 1,133,000 | $826,361 | |
Bank of America Corp., 3.5%, 4/19/2026 | 2,195,000 | 2,104,635 | ||
Bank of America Corp., 0.694%, 3/22/2031 | EUR | 1,380,000 | 1,135,361 | |
Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032 | $ | 2,325,000 | 1,883,574 | |
Barclays Bank PLC, 8.407% to 11/14/2027, FLR (GBP Swap Rate - 5yr. + 4.75%) to 11/14/2032 | GBP | 750,000 | 935,411 | |
BNP Paribas S.A., 4.625% to 1/12/2027, FLR (CMT - 5yr. + 3.196%) to 1/12/2027 (n) | $ | 1,460,000 | 1,184,226 | |
Commonwealth Bank of Australia, 2.688%, 3/11/2031 (n) | 1,696,000 | 1,293,338 | ||
Crédit Agricole Group, 3.875%, 11/28/2034 | EUR | 900,000 | 948,425 | |
Credit Suisse AG (London), 2.125%, 5/31/2024 | 890,000 | 881,604 | ||
Credit Suisse Group AG, 7.75% to 3/01/2028, FLR (EUR ICE Swap Rate - 1yr. + 4.95%) to 3/01/2029 | 600,000 | 615,306 | ||
Goldman Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR - 1 day + 1.248%) to 7/21/2032 | $ | 1,958,000 | 1,546,598 | |
Goldman Sachs Group, Inc., 3.436% to 2/24/2042, FLR (SOFR - 1 day + 1.632%) to 2/24/2043 | 1,439,000 | 1,090,095 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
HSBC Holdings PLC, 4.375%, 11/23/2026 | $ | 2,272,000 | $2,180,081 | |
HSBC Holdings PLC, 6.364% to 11/16/2027, FLR (EUR Swap Rate - 5yr. + 3.3%) to 11/16/2032 | EUR | 800,000 | 858,636 | |
JPMorgan Chase & Co., 1.47%, 9/22/2027 | $ | 4,598,000 | 3,991,115 | |
JPMorgan Chase & Co., 3.328% to 4/22/2051, FLR (SOFR - 1 day + 1.58%) to 4/22/2052 | 2,081,000 | 1,505,189 | ||
Morgan Stanley, 3.125%, 7/27/2026 | 1,950,000 | 1,829,060 | ||
Morgan Stanley, 1.593% to 5/04/2026, FLR (SOFR - 1 day + 0.879%) to 5/04/2027 | 1,525,000 | 1,343,497 | ||
Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031 | 3,475,000 | 3,096,774 | ||
Morgan Stanley, 5.789% to 11/18/2032, FLR (SONIA + 2.252%) to 11/18/2033 | GBP | 418,000 | 512,475 | |
Nationwide Building Society, 6.18% to 12/07/2026, FLR (SONIA + 2.213%) to 12/07/2027 (w) | 240,000 | 290,119 | ||
NatWest Group PLC, 7.42% to 6/06/2028, FLR (GBP Swap Rate - 5yr. + 4.2%) to 6/06/2033 (w) | 630,000 | 760,879 | ||
NatWest Markets PLC, 6.375%, 11/08/2027 | 392,000 | 485,665 | ||
Société Générale S.A., 4%, 11/16/2027 | EUR | 1,000,000 | 1,057,974 | |
Standard Chartered PLC, 0.8% to 11/17/2028, FLR (EUR Swap Rate - 1yr. + 0.85%) to 11/17/2029 | 910,000 | 759,199 | ||
Toronto Dominion Bank, 4.108%, 6/08/2027 | $ | 2,190,000 | 2,114,756 | |
Unicaja Banco S.A., 1%, 12/01/2026 | EUR | 700,000 | 640,832 | |
UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | $ | 1,350,000 | 1,187,921 | |
UniCredit S.p.A., 5.85% to 11/15/2026, FLR (EURIBOR - 3mo. + 2.85%) to 11/15/2027 | EUR | 510,000 | 545,237 | |
UniCredit S.p.A., 0.925% to 1/28/2027, FLR (EURIBOR - 3mo. + 0.85%) to 1/18/2028 | 2,250,000 | 2,027,026 | ||
Wells Fargo & Co., 3.526% to 3/24/2027, FLR (SOFR - 1 day + 1.51%) to 3/24/2028 | $ | 2,658,000 | 2,469,006 | |
Wells Fargo & Co., 2.572% to 2/11/2030, FLR (LIBOR - 3mo. +1%) to 2/11/2031 | 1,828,000 | 1,529,469 | ||
Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | 709,000 | 606,496 | ||
$44,236,340 | ||||
Medical & Health Technology & Services – 0.8% | ||||
Alcon, Inc., 2.6%, 5/27/2030 (n) | $ | 2,129,000 | $1,788,704 | |
Becton, Dickinson and Co., 4.298%, 8/22/2032 | 428,000 | 407,492 | ||
HCA, Inc., 5.125%, 6/15/2039 | 1,542,000 | 1,374,433 | ||
New York Society for the Relief of the Ruptured & Crippled, 2.667%, 10/01/2050 | 1,500,000 | 932,828 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Medical & Health Technology & Services – continued | ||||
ProMedica Toledo Hospital, “B”, AGM, 6.015%, 11/15/2048 | $ | 675,000 | $652,659 | |
Thermo Fisher Scientific Finance I B.V., 2%, 10/18/2051 | EUR | 920,000 | 680,589 | |
Thermo Fisher Scientific, Inc., 1.75%, 10/15/2028 | $ | 1,863,000 | 1,593,552 | |
$7,430,257 | ||||
Medical Equipment – 0.2% | ||||
Boston Scientific Corp., 2.65%, 6/01/2030 | $ | 2,680,000 | $2,313,042 | |
Metals & Mining – 0.9% | ||||
Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | $ | 451,000 | $448,571 | |
Anglo American Capital PLC, 4.75%, 9/21/2032 | EUR | 610,000 | 646,286 | |
Coeur Mining, Inc., 5.125%, 2/15/2029 (n) | $ | 2,955,000 | 2,301,147 | |
First Quantum Minerals Ltd., 6.875%, 10/15/2027 (n) | 1,200,000 | 1,143,025 | ||
Glencore Capital Finance DAC, 1.125%, 3/10/2028 | EUR | 1,370,000 | 1,228,801 | |
Glencore Funding LLC, 2.85%, 4/27/2031 (n) | $ | 788,000 | 648,942 | |
Novelis Sheet Ingot GmbH, 3.375%, 4/15/2029 | EUR | 2,290,000 | 2,065,066 | |
$8,481,838 | ||||
Midstream – 1.0% | ||||
DT Midstream, Inc., 4.125%, 6/15/2029 (n) | $ | 3,370,000 | $2,969,307 | |
Enbridge, Inc., 5.375%, 9/27/2077 | CAD | 1,400,000 | 957,993 | |
Energy Transfer LP, 5%, 5/15/2050 | $ | 1,483,000 | 1,222,214 | |
Galaxy Pipeline Assets Bidco Ltd., 1.75%, 9/30/2027 | 811,990 | 750,166 | ||
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/2029 | 1,820,000 | 1,586,049 | ||
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 792,000 | 747,737 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 1,093,000 | 1,032,751 | ||
Targa Resources Corp., 4.2%, 2/01/2033 | 118,000 | 103,189 | ||
Targa Resources Corp., 4.95%, 4/15/2052 | 716,000 | 581,985 | ||
$9,951,391 | ||||
Mortgage-Backed – 8.0% | ||||
Fannie Mae, 5%, 8/01/2040 | $ | 304,787 | $308,795 | |
Fannie Mae, 4%, 9/01/2040 - 11/01/2044 | 203,181 | 198,022 | ||
Fannie Mae, 4.5%, 2/01/2041 - 4/01/2044 | 1,430,876 | 1,432,769 | ||
Fannie Mae, 3.5%, 9/01/2045 - 12/01/2047 | 703,950 | 659,753 | ||
Fannie Mae, UMBS, 2%, 5/01/2037 - 5/01/2052 | 7,758,251 | 6,515,090 | ||
Fannie Mae, UMBS, 3.5%, 5/01/2049 | 167,260 | 156,676 | ||
Fannie Mae, UMBS, 2.5%, 3/01/2050 - 6/01/2052 | 14,785,227 | 12,667,535 | ||
Fannie Mae, UMBS, 3%, 12/01/2051 - 11/01/2052 | 7,813,942 | 6,921,710 | ||
Fannie Mae, UMBS, 4%, 6/01/2052 - 12/01/2052 | 3,949,999 | 3,737,281 | ||
Freddie Mac, 0.327%, 9/25/2026 (i) | 62,189,000 | 483,557 | ||
Freddie Mac, 1.482%, 3/25/2027 (i) | 1,517,000 | 76,031 | ||
Freddie Mac, 0.467%, 2/25/2028 (i) | 46,151,000 | 692,408 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Freddie Mac, 0.251%, 4/25/2028 (i) | $ | 46,683,000 | $335,861 | |
Freddie Mac, 0.253%, 5/25/2028 (i) | 47,225,000 | 366,622 | ||
Freddie Mac, 1.917%, 4/25/2030 (i) | 2,395,024 | 256,419 | ||
Freddie Mac, 1.985%, 4/25/2030 (i) | 2,589,254 | 280,409 | ||
Freddie Mac, 1.768%, 5/25/2030 (i) | 3,408,930 | 341,478 | ||
Freddie Mac, 1.907%, 5/25/2030 (i) | 7,523,890 | 810,993 | ||
Freddie Mac, 1.436%, 6/25/2030 (i) | 3,170,959 | 260,651 | ||
Freddie Mac, 1.704%, 8/25/2030 (i) | 2,931,170 | 291,715 | ||
Freddie Mac, 1.263%, 9/25/2030 (i) | 1,901,519 | 139,166 | ||
Freddie Mac, 1.172%, 11/25/2030 (i) | 3,948,102 | 272,677 | ||
Freddie Mac, 0.422%, 1/25/2031 (i) | 15,732,398 | 318,985 | ||
Freddie Mac, 0.613%, 3/25/2031 (i) | 20,458,699 | 669,085 | ||
Freddie Mac, 1.039%, 7/25/2031 (i) | 5,068,698 | 325,991 | ||
Freddie Mac, 0.632%, 9/25/2031 (i) | 21,590,988 | 833,900 | ||
Freddie Mac, 0.664%, 12/25/2031 (i) | 5,486,706 | 219,597 | ||
Freddie Mac, 4.5%, 12/01/2039 - 5/01/2042 | 654,812 | 657,181 | ||
Freddie Mac, 5%, 7/01/2041 | 312,668 | 320,254 | ||
Freddie Mac, 4%, 4/01/2044 | 33,748 | 33,000 | ||
Freddie Mac, UMBS, 3%, 6/01/2050 - 9/01/2052 | 2,996,128 | 2,655,503 | ||
Freddie Mac, UMBS, 2.5%, 8/01/2051 - 10/01/2052 | 4,965,679 | 4,254,886 | ||
Freddie Mac, UMBS, 2%, 1/01/2052 - 8/01/2052 | 4,479,461 | 3,692,911 | ||
Freddie Mac, UMBS, 5%, 8/01/2052 | 534,587 | 532,574 | ||
Freddie Mac, UMBS, 3.5%, 9/01/2052 | 3,575,224 | 3,274,127 | ||
Freddie Mac, UMBS, 4.5%, 10/01/2052 | 3,136,197 | 3,053,857 | ||
Ginnie Mae, 2.5%, 8/20/2051 - 5/20/2052 | 974,240 | 857,072 | ||
Ginnie Mae, 3%, 5/20/2052 - 10/20/2052 | 1,268,912 | 1,146,964 | ||
Ginnie Mae, 4.5%, 9/20/2052 | 2,066,186 | 2,024,826 | ||
Ginnie Mae, 5%, 9/20/2052 - 11/20/2052 | 1,823,876 | 1,823,353 | ||
Ginnie Mae, 3.5%, 10/20/2052 - 11/20/2052 | 2,197,185 | 2,040,431 | ||
Ginnie Mae, 4%, 10/20/2052 - 11/20/2052 | 1,098,707 | 1,049,260 | ||
Ginnie Mae, TBA, 5.5%, 12/15/2052 | 925,000 | 935,970 | ||
Ginnie Mae, TBA, 2%, 12/20/2052 | 675,000 | 574,383 | ||
UMBS, TBA, 5.5%, 12/25/2052 | 6,475,000 | 6,548,505 | ||
UMBS, TBA, 6%, 12/25/2052 | 1,450,000 | 1,482,503 | ||
$76,530,736 | ||||
Municipals – 1.2% | ||||
Iowa Student Loan Liquidity Corp. Rev., Taxable, “A”, 5.08%, 12/01/2039 | $ | 1,845,000 | $1,703,764 | |
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 4.949%, 7/01/2038 | 2,690,000 | 2,590,077 | ||
Massachusetts Educational Financing Authority, Education Loan Subordinate Rev., Taxable, “A”, 2.641%, 7/01/2037 | 1,060,000 | 962,870 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Municipals – continued | ||||
Massachusetts Housing Finance Agency, Single Family Housing Rev., Taxable, “226”, 5.562%, 12/01/2052 (w) | $ | 1,855,000 | $1,869,653 | |
Michigan Finance Authority Hospital Rev., Taxable (Trinity Health Credit Group), 3.384%, 12/01/2040 | 1,040,000 | 826,257 | ||
Minnesota Housing Finance Agency, Residential Housing, Taxable, “G”, 4.337%, 1/01/2047 | 1,775,000 | 1,701,152 | ||
New Jersey Economic Development Authority State Pension Funding Rev., Taxable, “A”, NPFG, 7.425%, 2/15/2029 | 890,000 | 961,878 | ||
Oklahoma Development Finance Authority, Health System Rev., Taxable (OU Medicine Project), “C”, 5.45%, 8/15/2028 | 742,000 | 651,584 | ||
$11,267,235 | ||||
Natural Gas - Distribution – 0.1% | ||||
NiSource, Inc., 2.95%, 9/01/2029 | $ | 1,406,000 | $1,232,724 | |
Natural Gas - Pipeline – 0.2% | ||||
APT Pipelines Ltd., 0.75%, 3/15/2029 | EUR | 1,130,000 | $961,868 | |
APT Pipelines Ltd., 2.5%, 3/15/2036 | GBP | 910,000 | 734,567 | |
$1,696,435 | ||||
Network & Telecom – 0.3% | ||||
AT&T, Inc., 3.5%, 9/15/2053 | $ | 335,000 | $236,550 | |
Verizon Communications, Inc., 2.1%, 3/22/2028 | 1,414,000 | 1,237,147 | ||
Verizon Communications, Inc., 2.355%, 3/15/2032 | 341,000 | 273,731 | ||
Verizon Communications, Inc., 3.875%, 3/01/2052 | 1,355,000 | 1,051,878 | ||
$2,799,306 | ||||
Oil Services – 0.1% | ||||
MV24 Capital B.V., 6.748%, 6/01/2034 | $ | 1,244,460 | $1,103,298 | |
Oils – 0.4% | ||||
Neste Oyj, 0.75%, 3/25/2028 | EUR | 1,400,000 | $1,257,471 | |
Parkland Corp., 4.625%, 5/01/2030 (n) | $ | 3,080,000 | 2,582,580 | |
$3,840,051 | ||||
Other Banks & Diversified Financials – 2.3% | ||||
AIB Group PLC, 5.75% to 2/16/2028, FLR (EUR Swap Rate - 1yr. + 2.85%) to 2/16/2029 | EUR | 650,000 | $699,363 | |
Arion Banki HF, 4.875%, 12/21/2024 | 1,650,000 | 1,659,279 | ||
Bank Hapoalim B.M., 3.255% to 1/21/2027, FLR (CMT - 5yr. + 2.155%) to 1/21/2032 (n) | $ | 1,065,000 | 908,679 | |
Belfius Bank S.A., 1.25% to 4/06/2029, FLR (EUR Swap Rate - 5yr. + 1.3%) to 4/06/2034 | EUR | 1,300,000 | 1,064,881 | |
BPCE S.A., 2.277% to 1/20/2031, FLR (SOFR - 1 day + 1.312%) to 1/20/2032 (n) | $ | 1,240,000 | 924,600 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Other Banks & Diversified Financials – continued | ||||
CaixaBank S.A., 5.375% to 11/14/2029, FLR (EURIBOR - 3mo. + 2.4%) to 11/14/2030 | EUR | 600,000 | $646,437 | |
CaixaBank S.A., 6.25% to 2/23/2028, FLR (EUR Swap Rate - 1yr. + 3.55%) to 2/23/2033 | 300,000 | 317,322 | ||
Commercial Bank PSQC, 4.5% to 9/03/2026, FLR (CMT - 5yr. + 3.874%) to 9/03/2169 | $ | 2,500,000 | 2,228,250 | |
Commerzbank AG, 4.625%, 3/21/2027 | EUR | 800,000 | 818,087 | |
Deutsche Bank AG, 1.875% to 2/23/2027, FLR (EURIBOR - 3mo. + 1.38%) to 2/23/2028 | 700,000 | 639,139 | ||
Deutsche Bank AG, 3.25% to 5/24/2027, FLR (EURIBOR - 3mo. + 1.93%) to 5/24/2028 | 400,000 | 385,771 | ||
Deutsche Bank AG, 1.375% to 2/17/2031, FLR (EURIBOR - 3mo. + 1.5%) to 2/17/2032 | 800,000 | 611,224 | ||
Deutsche Bank AG, 4%, 6/24/2032 | 700,000 | 657,690 | ||
Groupe BPCE S.A., 4.5%, 3/15/2025 (n) | $ | 1,100,000 | 1,053,825 | |
Groupe des Assurances du Credit Mutuel, 1.85% to 4/21/2032, FLR (EURIBOR - 3mo. + 2.65%) to 4/21/2042 | EUR | 1,800,000 | 1,391,923 | |
Intesa Sanpaolo S.p.A., 2.625%, 3/11/2036 | GBP | 1,330,000 | 1,046,507 | |
Macquarie Group Ltd., 4.08%, 5/31/2029 | 1,210,000 | 1,309,834 | ||
Shinhan Bank Co., Ltd., 4.375%, 4/13/2032 (n) | $ | 1,850,000 | 1,645,354 | |
United Overseas Bank Ltd., 2% to 10/14/2026, FLR (CMT - 5yr. + 1.23%) to 10/14/2031 (n) | 1,000,000 | 873,722 | ||
Uzbek Industrial and Construction Bank, 5.75%, 12/02/2024 | 1,930,000 | 1,770,775 | ||
Virgin Money UK PLC, 5.125% to 12/11/2025, FLR (GBP Government Yield - 5yr. + 5.25%) to 12/11/2030 | GBP | 960,000 | 1,067,892 | |
$21,720,554 | ||||
Pollution Control – 0.5% | ||||
GFL Environmental, Inc., 4%, 8/01/2028 (n) | $ | 3,260,000 | $2,796,770 | |
Waste Connections, Inc., 4.2%, 1/15/2033 | 1,896,000 | 1,790,605 | ||
$4,587,375 | ||||
Printing & Publishing – 0.1% | ||||
Informa PLC, 3.125%, 7/05/2026 | GBP | 473,000 | $517,824 | |
Railroad & Shipping – 0.2% | ||||
Canadian Pacific Railway Co., 2.45%, 12/02/2031 | $ | 906,000 | $755,042 | |
Wabtec Transportation Netherlands B.V., 1.25%, 12/03/2027 | EUR | 817,000 | 736,329 | |
$1,491,371 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Real Estate - Office – 0.2% | ||||
Corporate Office Property LP, REIT, 2.25%, 3/15/2026 | $ | 841,000 | $738,645 | |
Corporate Office Property LP, REIT, 2%, 1/15/2029 | 382,000 | 295,636 | ||
Corporate Office Property LP, REIT, 2.75%, 4/15/2031 | 946,000 | 714,778 | ||
$1,749,059 | ||||
Real Estate - Other – 0.3% | ||||
EPR Properties, REIT, 3.6%, 11/15/2031 | $ | 694,000 | $508,838 | |
Lexington Realty Trust Co., 2.7%, 9/15/2030 | 880,000 | 704,161 | ||
SEGRO Capital S.à r.l., 0.5%, 9/22/2031 | EUR | 850,000 | 640,430 | |
W.P. Carey, Inc., REIT, 2.4%, 2/01/2031 | $ | 1,717,000 | 1,365,233 | |
$3,218,662 | ||||
Real Estate - Retail – 0.4% | ||||
Brixmor Operating Partnership LP, REIT, 4.05%, 7/01/2030 | $ | 947,000 | $827,616 | |
Hammerson Ireland Finance Designated Activity Co., 1.75%, 6/03/2027 | EUR | 776,000 | 635,584 | |
Regency Centers Corp., 3.7%, 6/15/2030 | $ | 679,000 | 593,526 | |
STORE Capital Corp., REIT, 2.75%, 11/18/2030 | 1,370,000 | 1,068,332 | ||
Unibail-Rodamco, REIT, 2.125% to 10/25/2023, FLR (EUR Swap Rate - 5yr. + 1.675%) to 10/25/2028, FLR (EUR Swap Rate - 5yr. + 1.925%) to, 10/25/2043 FLR (EUR Swap Rate - 5yr. + 2.675%) to 10/25/2070 | EUR | 1,000,000 | 895,020 | |
$4,020,078 | ||||
Retailers – 0.2% | ||||
AutoZone, Inc., 4.75%, 8/01/2032 | $ | 450,000 | $441,327 | |
Bath & Body Works, Inc., 5.25%, 2/01/2028 | 1,330,000 | 1,224,001 | ||
Nordstrom, Inc., 4.25%, 8/01/2031 | 597,000 | 463,594 | ||
$2,128,922 | ||||
Specialty Chemicals – 0.3% | ||||
Covestro AG, 4.75%, 11/15/2028 | EUR | 300,000 | $316,409 | |
CTEC II GmbH, 5.25%, 2/15/2030 (n) | 1,669,000 | 1,449,762 | ||
International Flavors & Fragrances, Inc., 1.832%, 10/15/2027 (n) | $ | 917,000 | 766,359 | |
$2,532,530 | ||||
Specialty Stores – 0.3% | ||||
DICK'S Sporting Goods, 3.15%, 1/15/2032 | $ | 1,054,000 | $838,871 | |
Michael Cos., Inc., 7.875%, 5/01/2029 (n) | 2,840,000 | 1,679,150 | ||
$2,518,021 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Supermarkets – 0.3% | ||||
Auchan Holding S.A., 3.25%, 7/23/2027 | EUR | 800,000 | $782,776 | |
Iceland Bondco PLC, 4.625%, 3/15/2025 | GBP | 1,795,000 | 1,790,233 | |
$2,573,009 | ||||
Supranational – 0.8% | ||||
European Financial Stability Facility, 3.375%, 4/03/2037 | EUR | 1,345,000 | $1,491,466 | |
European Stability Mechanism, 0.01%, 10/15/2031 | 5,300,000 | 4,397,694 | ||
International Bank for Reconstruction and Development, 4.25%, 6/24/2025 | AUD | 590,000 | 404,664 | |
West African Development Bank, 4.7%, 10/22/2031 | $ | 1,576,000 | 1,293,108 | |
$7,586,932 | ||||
Telecommunications - Wireless – 0.9% | ||||
America Movil S.A.B. de C.V., 4.7%, 7/21/2032 | $ | 658,000 | $635,786 | |
American Tower Corp., REIT, 2.75%, 1/15/2027 | 680,000 | 615,507 | ||
Cellnex Finance Co. S.A., 2%, 2/15/2033 | EUR | 3,900,000 | 3,103,656 | |
Crown Castle, Inc., REIT, 3.7%, 6/15/2026 | $ | 2,033,000 | 1,936,418 | |
Millicom International Cellular S.A., 5.125%, 1/15/2028 | 720,000 | 651,089 | ||
Rogers Communications, Inc., 3.8%, 3/15/2032 (n) | 821,000 | 726,824 | ||
Rogers Communications, Inc., 3.7%, 11/15/2049 | 532,000 | 376,446 | ||
T-Mobile USA, Inc., 3.875%, 4/15/2030 | 582,000 | 534,529 | ||
$8,580,255 | ||||
Telephone Services – 0.1% | ||||
TELUS Corp., 2.85%, 11/13/2031 | CAD | 1,475,000 | $936,647 | |
Tobacco – 0.2% | ||||
B.A.T. Capital Corp., 2.125%, 8/15/2025 | GBP | 1,140,000 | $1,254,303 | |
Philip Morris International, Inc., 5.125%, 11/17/2027 | $ | 466,000 | 466,985 | |
$1,721,288 | ||||
Transportation - Services – 0.5% | ||||
ERAC USA Finance LLC, 7%, 10/15/2037 (n) | $ | 210,000 | $228,429 | |
Holding d'Infrastructures de Transport, 1.475%, 1/18/2031 | EUR | 1,400,000 | 1,166,539 | |
Q-Park Holding I B.V., 2%, 3/01/2027 | 3,400,000 | 2,978,145 | ||
Triton International Ltd., 3.15%, 6/15/2031 (n) | $ | 1,009,000 | 795,770 | |
$5,168,883 | ||||
U.S. Government Agencies and Equivalents – 0.0% | ||||
Small Business Administration, 2.22%, 3/01/2033 | $ | 242,749 | $221,017 | |
U.S. Treasury Obligations – 4.7% | ||||
U.S. Treasury Bill, 0%, 8/10/2023 | $ | 5,380,000 | $5,214,446 | |
U.S. Treasury Bonds, 1.125%, 8/15/2040 (f) | 48,927,000 | 31,074,379 | ||
U.S. Treasury Bonds, 2.25%, 8/15/2049 | 1,272,000 | 924,138 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Treasury Obligations – continued | ||||
U.S. Treasury Bonds, 2.375%, 11/15/2049 (f) | $ | 10,257,000 | $7,666,306 | |
$44,879,269 | ||||
Utilities - Electric Power – 2.5% | ||||
Adani Transmission Ltd., 4.25%, 5/21/2036 | $ | 1,098,500 | $808,361 | |
American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | 1,316,000 | 1,074,655 | ||
Bruce Power LP, 2.68%, 12/21/2028 | CAD | 1,650,000 | 1,104,616 | |
Clearway Energy Operating LLC, 3.75%, 2/15/2031 (n) | $ | 3,480,000 | 2,948,221 | |
ContourGlobal Power Holdings S.A., 2.75%, 1/01/2026 | EUR | 2,300,000 | 2,094,208 | |
ContourGlobal Power Holdings S.A., 3.125%, 1/01/2028 | 679,000 | 572,476 | ||
Duke Energy Corp., 2.55%, 6/15/2031 | $ | 1,238,000 | 1,018,213 | |
Enel Finance International N.V., 3.5%, 4/06/2028 (n) | 505,000 | 444,718 | ||
Enel S.p.A., 2.25% to 3/10/2027, FLR (EUR Swap Rate - 5yr. + 2.679%) to 3/10/2032, FLR (EUR Swap Rate - 5yr. + 2.929%) to 3/10/2047, FLR (EUR Swap Rate - 5yr. + 3.679%) to 3/10/2070 | EUR | 1,780,000 | 1,591,448 | |
Enel S.p.A., 1.875%, 3/08/2170 | 1,395,000 | 1,039,820 | ||
Energuate Trust, 5.875%, 5/03/2027 | $ | 1,100,000 | 1,002,815 | |
ENGIE Energía Chile S.A., 4.5%, 1/29/2025 (n) | 620,000 | 593,650 | ||
ENGIE Energía Chile S.A., 4.5%, 1/29/2025 | 858,000 | 821,535 | ||
Evergy, Inc., 2.9%, 9/15/2029 | 1,575,000 | 1,359,611 | ||
Investment Energy Resources Ltd., 6.25%, 4/26/2029 (n) | 820,000 | 745,688 | ||
Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 626,000 | 509,067 | ||
Listrindo Capital B.V., 4.95%, 9/14/2026 | 1,396,000 | 1,286,463 | ||
Mong Duong Finance Holdings B.V., 5.125%, 5/07/2029 | 1,450,000 | 1,232,500 | ||
National Grid Electricity Transmission PLC, 2%, 4/17/2040 | GBP | 1,000,000 | 766,517 | |
Southern California Edison Co., 3.65%, 2/01/2050 | $ | 1,010,000 | 753,626 | |
Star Energy Geothermal (Wayang Windu) Ltd., 6.75%, 4/24/2033 | 810,800 | 759,508 | ||
Virginia Electric & Power Co., 3.5%, 3/15/2027 | 558,000 | 530,566 | ||
WEC Energy Group, Inc., 1.8%, 10/15/2030 | 1,145,000 | 904,127 | ||
Xcel Energy, Inc., 4.6%, 6/01/2032 | 422,000 | 405,654 | ||
$24,368,063 | ||||
Total Bonds (Identified Cost, $1,042,445,598) | $931,653,782 | |||
Investment Companies (h) – 4.4% | ||||
Money Market Funds – 4.4% | ||||
MFS Institutional Money Market Portfolio, 3.67% (v) (Identified Cost, $41,764,398) | 41,764,910 | $41,764,910 |
Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional Amount | Par Amount/ Number of Contracts | Value ($) |
Purchased Options – 0.0% | |||||
Market Index Securities – 0.0% | |||||
iTraxx Europe Crossover Series 38 Index Credit Default Swap-Fund pays 5%, Fund receives notional amount upon a defined credit event of an index constituent – February 2023 @ EUR 90 (Premiums Paid, $167,215) | Call | Merrill Lynch International | $ 116,862,408 | EUR 110,380,000 | $331,624 |
Other Assets, Less Liabilities – (1.6)% | (14,986,482) | |||
Net Assets – 100.0% | $958,763,834 |
(f) | All or a portion of the security has been segregated as collateral for open futures contracts and cleared swap agreements. | |||
(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 $41,764,910 and $931,985,406, 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 $173,744,048, representing 18.1% of net assets. | |||
(p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. | |||
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. | |||
(w) | When-issued security. |
The following abbreviations are used in this report and are defined: | |
AGM | Assured Guaranty Municipal |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
EURIBOR | Euro Interbank Offered Rate |
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. |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
NPFG | National Public Finance Guarantee Corp. |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Index Average |
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: | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CLP | Chilean Peso |
CNH | Chinese Yuan Renminbi (Offshore) |
CNY | China Yuan Renminbi |
CZK | Czech Koruna |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
TWD | Taiwan Dollar |
UYU | Uruguayan Peso |
Forward Foreign Currency Exchange Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives | ||||||
AUD | 7,519,027 | USD | 4,927,106 | Goldman Sachs International | 1/20/2023 | $187,533 |
AUD | 15,177,500 | USD | 9,849,172 | Merrill Lynch International | 1/20/2023 | 474,959 |
AUD | 10,430,693 | USD | 6,560,024 | State Street Bank Corp. | 1/20/2023 | 535,204 |
BRL | 26,535,407 | USD | 4,907,240 | JPMorgan Chase Bank N.A. | 2/02/2023 | 144,247 |
CAD | 15,226,533 | USD | 11,067,097 | Brown Brothers Harriman | 1/20/2023 | 261,606 |
CAD | 3,096,363 | USD | 2,300,510 | JPMorgan Chase Bank N.A. | 1/20/2023 | 3,217 |
CNH | 48,487,000 | USD | 6,762,483 | Citibank N.A. | 1/20/2023 | 146,814 |
CZK | 29,536,177 | USD | 1,178,267 | Deutsche Bank AG | 1/20/2023 | 81,096 |
CZK | 124,950,383 | USD | 5,111,737 | Goldman Sachs International | 1/20/2023 | 215,896 |
CZK | 222,672,473 | USD | 9,440,664 | JPMorgan Chase Bank N.A. | 1/20/2023 | 53,642 |
EUR | 1,573,076 | USD | 1,632,594 | Brown Brothers Harriman | 1/20/2023 | 11,145 |
EUR | 12,368,973 | USD | 12,555,088 | Deutsche Bank AG | 1/20/2023 | 369,498 |
EUR | 10,414,824 | USD | 10,645,198 | HSBC Bank | 1/20/2023 | 237,460 |
EUR | 4,719,195 | USD | 4,621,938 | HSBC Bank | 1/30/2023 | 312,645 |
EUR | 1,027,735 | USD | 1,020,307 | JPMorgan Chase Bank N.A. | 1/20/2023 | 53,594 |
EUR | 69,922 | USD | 72,548 | Merrill Lynch International | 1/20/2023 | 514 |
EUR | 224,444 | USD | 232,049 | Morgan Stanley Capital Services, Inc. | 1/20/2023 | 2,476 |
Forward Foreign Currency Exchange Contracts - continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives - continued | ||||||
EUR | 4,416,853 | USD | 4,599,879 | Natwest Markets PLC | 1/20/2023 | $15,379 |
EUR | 17,383,977 | USD | 17,769,400 | State Street Bank Corp. | 1/20/2023 | 395,464 |
EUR | 4,362,686 | USD | 4,428,257 | UBS AG | 1/20/2023 | 130,401 |
GBP | 13,852,190 | USD | 15,755,251 | Goldman Sachs International | 1/20/2023 | 969,287 |
GBP | 4,713,089 | USD | 5,538,675 | HSBC Bank | 1/20/2023 | 151,705 |
GBP | 1,237,069 | USD | 1,396,745 | Morgan Stanley Capital Services, Inc. | 1/20/2023 | 96,839 |
GBP | 1,193,894 | USD | 1,343,798 | NatWest Markets PLC | 1/20/2023 | 97,658 |
GBP | 3,051,583 | USD | 3,612,856 | State Street Bank Corp. | 1/20/2023 | 71,494 |
GBP | 1,039,182 | USD | 1,194,540 | UBS AG | 1/20/2023 | 60,123 |
JPY | 174,506,529 | USD | 1,203,213 | Citibank N.A. | 1/20/2023 | 69,127 |
JPY | 390,978,412 | USD | 2,652,442 | HSBC Bank | 1/20/2023 | 198,212 |
JPY | 1,367,783,999 | USD | 9,731,640 | JPMorgan Chase Bank N.A. | 1/20/2023 | 240,978 |
KRW | 7,022,179,146 | USD | 5,147,772 | Citibank N.A. | 1/13/2023 | 181,549 |
MXN | 26,201,149 | USD | 1,271,318 | JPMorgan Chase Bank N.A. | 3/15/2023 | 61,975 |
NOK | 3,448,000 | USD | 325,742 | Brown Brothers Harriman | 1/20/2023 | 25,025 |
NZD | 42,030,177 | USD | 23,838,739 | BNP Paribas S.A. | 1/20/2023 | 2,665,714 |
NZD | 8,314,020 | USD | 4,975,392 | Brown Brothers Harriman | 1/20/2023 | 267,473 |
NZD | 3,884,280 | USD | 2,410,285 | Citibank N.A. | 1/20/2023 | 39,163 |
NZD | 3,959,464 | USD | 2,281,109 | Goldman Sachs International | 1/20/2023 | 215,750 |
NZD | 17,075,357 | USD | 9,941,650 | HSBC Bank | 1/20/2023 | 826,161 |
NZD | 21,324,960 | USD | 12,321,604 | Natwest Markets PLC | 1/20/2023 | 1,126,028 |
NZD | 45,371,683 | USD | 25,803,103 | State Street Bank Corp. | 1/20/2023 | 2,808,521 |
SEK | 2,098,000 | USD | 188,305 | Deutsche Bank AG | 1/20/2023 | 12,204 |
SGD | 788,748 | USD | 554,930 | Brown Brothers Harriman | 1/20/2023 | 24,907 |
SGD | 1,291,594 | USD | 915,252 | JPMorgan Chase Bank N.A. | 1/30/2023 | 34,348 |
SGD | 40,629,476 | USD | 28,535,138 | State Street Bank Corp. | 1/20/2023 | 1,333,039 |
TOF | 505,970,132 | USD | 14,321,553 | Barclays Bank PLC | 2/21/2023 | 230,163 |
USD | 157,037 | CAD | 208,822 | Morgan Stanley Capital Services, Inc. | 1/20/2023 | 1,672 |
USD | 1,609,338 | CAD | 2,149,105 | State Street Bank Corp. | 1/20/2023 | 10,381 |
USD | 469,708 | EUR | 448,454 | Deutsche Bank AG | 1/20/2023 | 1,109 |
USD | 313,653 | EUR | 299,583 | HSBC Bank | 1/20/2023 | 612 |
USD | 1,704,380 | KRW | 2,245,180,000 | Barclays Bank PLC | 1/13/2023 | 453 |
USD | 5,168,548 | TWD | 157,330,595 | Merrill Lynch International | 3/01/2023 | 33,842 |
$15,488,302 | ||||||
Liability Derivatives | ||||||
CAD | 3,020,788 | USD | 2,256,733 | State Street Bank Corp. | 1/20/2023 | $(9,235) |
CNH | 56,212,078 | USD | 8,013,259 | JPMorgan Chase Bank N.A. | 1/20/2023 | (3,156) |
EUR | 425,306 | USD | 444,562 | Brown Brothers Harriman | 1/20/2023 | (151) |
KRW | 12,370,243,165 | USD | 9,407,029 | Citibank N.A. | 1/13/2023 | (18,917) |
USD | 9,488,715 | AUD | 14,209,428 | Citibank N.A. | 1/20/2023 | (176,908) |
USD | 1,475,899 | AUD | 2,297,974 | HSBC Bank | 1/20/2023 | (87,242) |
USD | 34,968,899 | AUD | 55,684,601 | State Street Bank Corp. | 1/20/2023 | (2,909,217) |
USD | 4,909,802 | BRL | 26,773,153 | Citibank N.A. | 2/02/2023 | (186,943) |
Forward Foreign Currency Exchange Contracts - continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Liability Derivatives - continued | ||||||
USD | 544,800 | CAD | 746,356 | Deutsche Bank AG | 1/20/2023 | $(10,497) |
USD | 3,604,256 | CAD | 4,924,643 | HSBC Bank | 1/20/2023 | (59,731) |
USD | 28,084,708 | CAD | 38,715,173 | JPMorgan Chase Bank N.A. | 1/20/2023 | (719,796) |
USD | 11,073 | CLP | 10,587,812 | Goldman Sachs International | 3/06/2023 | (639) |
USD | 725,284 | CNH | 5,285,219 | Brown Brothers Harriman | 1/20/2023 | (27,849) |
USD | 61,759,962 | CNH | 442,318,668 | JPMorgan Chase Bank N.A. | 1/20/2023 | (1,269,523) |
USD | 15,035,302 | CZK | 377,536,435 | Deutsche Bank AG | 1/20/2023 | (1,062,092) |
USD | 6,434,509 | EUR | 6,203,777 | Barclays Bank PLC | 1/20/2023 | (47,941) |
USD | 1,353,073 | EUR | 1,333,659 | Brown Brothers Harriman | 1/20/2023 | (40,494) |
USD | 574,970 | EUR | 550,733 | Citibank N.A. | 1/20/2023 | (501) |
USD | 1,507,432 | EUR | 1,504,575 | Deutsche Bank AG | 1/20/2023 | (64,728) |
USD | 10,863,881 | EUR | 10,841,499 | HSBC Bank | 1/20/2023 | (464,617) |
USD | 5,339,659 | EUR | 5,191,900 | JPMorgan Chase Bank N.A. | 1/20/2023 | (85,460) |
USD | 202,223,748 | EUR | 205,331,439 | Morgan Stanley Capital Services, Inc. | 1/20/2023 | (12,331,161) |
USD | 37,601,363 | EUR | 38,052,336 | State Street Bank Corp. | 1/20/2023 | (2,160,277) |
USD | 4,473,541 | EUR | 4,518,702 | UBS AG | 1/20/2023 | (248,140) |
USD | 407,591 | GBP | 339,604 | Brown Brothers Harriman | 1/20/2023 | (2,433) |
USD | 211,880 | GBP | 178,818 | Deutsche Bank AG | 1/20/2023 | (4,018) |
USD | 228,477 | GBP | 204,329 | Deutsche Bank AG | 1/30/2023 | (18,284) |
USD | 22,758,191 | GBP | 19,927,321 | HSBC Bank | 1/20/2023 | (1,301,201) |
USD | 1,828,347 | GBP | 1,616,807 | JPMorgan Chase Bank N.A. | 1/20/2023 | (123,717) |
USD | 4,883,269 | GBP | 4,206,352 | Morgan Stanley Capital Services, Inc. | 1/20/2023 | (195,300) |
USD | 912,202 | GBP | 814,262 | Natwest Markets PLC | 1/20/2023 | (70,904) |
USD | 70,991,951 | GBP | 63,044,612 | State Street Bank Corp. | 1/20/2023 | (5,125,398) |
USD | 4,597,447 | GBP | 4,004,826 | State Street Bank Corp. | 1/30/2023 | (239,038) |
USD | 1,322,387 | GBP | 1,143,529 | UBS AG | 1/20/2023 | (58,261) |
USD | 4,828,454 | JPY | 695,831,521 | Citibank N.A. | 1/20/2023 | (244,907) |
USD | 642,735 | JPY | 93,858,566 | Deutsche Bank AG | 1/20/2023 | (41,595) |
USD | 38,669,421 | JPY | 5,699,996,797 | HSBC Bank | 1/20/2023 | (2,889,694) |
USD | 555,872 | JPY | 81,472,584 | NatWest Markets PLC | 1/20/2023 | (38,151) |
USD | 2,368,990 | KRW | 3,367,520,000 | Barclays Bank PLC | 1/13/2023 | (186,711) |
USD | 840,375 | KRW | 1,131,144,755 | Citibank N.A. | 1/13/2023 | (18,081) |
USD | 34,419,769 | KRW | 49,019,602,669 | Citibank N.A. | 2/02/2023 | (2,811,354) |
USD | 25,095,336 | KRW | 35,627,095,281 | Merrill Lynch International | 1/25/2023 | (1,955,356) |
USD | 1,572,854 | KRW | 2,236,283,525 | Merrill Lynch International | 2/02/2023 | (125,637) |
USD | 2,030,213 | MXN | 41,526,152 | Goldman Sachs International | 1/20/2023 | (103,074) |
USD | 2,524,434 | NOK | 26,733,344 | Citibank N.A. | 1/20/2023 | (195,166) |
USD | 57,978,888 | NZD | 102,077,303 | HSBC Bank | 1/20/2023 | (6,391,601) |
USD | 4,684,230 | NZD | 8,122,319 | State Street Bank Corp. | 1/20/2023 | (437,748) |
USD | 390,265 | NZD | 670,353 | UBS AG | 1/20/2023 | (32,463) |
USD | 168,824 | SEK | 1,880,949 | Deutsche Bank AG | 1/20/2023 | (10,941) |
USD | 9,605,089 | SGD | 13,208,390 | Brown Brothers Harriman | 1/20/2023 | (104,870) |
USD | 2,833,916 | SGD | 3,879,842 | State Street Bank Corp. | 1/20/2023 | (18,294) |
Forward Foreign Currency Exchange Contracts - continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Liability Derivatives - continued | ||||||
USD | 8,675,203 | TWD | 271,707,347 | Barclays Bank PLC | 1/13/2023 | $(150,809) |
USD | 9,762,770 | TWD | 312,389,100 | Merrill Lynch International | 2/03/2023 | (405,460) |
$(45,285,681) |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
Canadian Treasury Bond 10 yr | Long | CAD | 704 | $65,807,501 | March – 2023 | $411,336 |
Euro-Bobl 5 yr | Short | EUR | 539 | 67,322,835 | December – 2022 | 1,171,571 |
Euro-Bund 10 yr | Long | EUR | 203 | 29,759,745 | December – 2022 | 693,721 |
Euro-Schatz 2 yr | Short | EUR | 762 | 84,669,835 | December – 2022 | 443,390 |
Long Gilt 10 yr | Long | GBP | 101 | 12,780,459 | March – 2023 | 21,346 |
U.S. Treasury Note 2 yr | Long | USD | 167 | 34,295,016 | March – 2023 | 71,693 |
U.S. Treasury Ultra Bond | Long | USD | 55 | 7,495,469 | March – 2023 | 32,886 |
$2,845,943 | ||||||
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
Australian Bond 10 yr | Short | AUD | 110 | $9,008,745 | December – 2022 | $(49,114) |
Canadian Treasury Bond 5 yr | Short | CAD | 108 | 9,027,633 | March – 2023 | (32,375) |
Euro-BTP 10 yr | Short | EUR | 346 | 42,953,679 | December – 2022 | (783,622) |
Euro-Buxl 30 yr | Long | EUR | 76 | 12,519,251 | December – 2022 | (47,209) |
U.S. Treasury Bond | Short | USD | 40 | 5,080,000 | March – 2023 | (21,085) |
U.S. Treasury Note 10 yr | Short | USD | 56 | 6,356,000 | March – 2023 | (24,747) |
U.S. Treasury Note 5 yr | Short | USD | 246 | 26,708,297 | March – 2023 | (133,276) |
U.S. Treasury Ultra Note 10 yr | Short | USD | 103 | 12,324,594 | March – 2023 | (5,999) |
$(1,097,427) |
Cleared Swap Agreements | ||||||||||
Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive/ Frequency | Cash Flows to Pay/ Frequency | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |||
Liability Derivatives | ||||||||||
Credit Default Swaps | ||||||||||
12/20/27 | EUR | 57,140,000 | centrally cleared | (1) | 1.00%/Quarterly | $(145,992) | $(210,350) | $(356,343) |
Uncleared Swap Agreements | ||||||||||
Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive/ Frequency | Cash Flows to Pay/ Frequency | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |||
Asset Derivatives | ||||||||||
Credit Default Swaps | ||||||||||
12/20/27 | EUR | 990,000 | Barclays Bank PLC | 1.00%/Quarterly | (2) | $27,026 | $(24,078) | $2,949 | ||
Liability Derivatives | ||||||||||
Credit Default Swaps | ||||||||||
12/20/31 | EUR | 1,160,000 | Barclays Bank PLC | 1.00%/Quarterly | (3) | $(26,016) | $11,567 | $(14,449) |
(1) | Fund, as protection buyer, to receive notional amount upon a defined credit event by a reference obligation specified in the iTraxx Europe Crossover Series 38 Index. |
(2) | Fund, as protection seller, to pay notional amount upon a defined credit event by Airbus SE, 2.375%, 4/02/24, an A rated bond. The fund entered into the contract to gain issuer exposure. |
(3) | Fund, as protection seller, to pay notional amount upon a defined credit event by Mercedes-Benz Group AG, 1.4%, 1/12/24, an A- rated bond. The fund entered into the contract to gain issuer exposure. |
Assets | |
Investments in unaffiliated issuers, at value (identified cost, $1,042,612,813) | $931,985,406 |
Investments in affiliated issuers, at value (identified cost, $41,764,398) | 41,764,910 |
Cash | 66,936 |
Restricted cash for | |
Forward foreign currency exchange contracts | 16,846,000 |
Receivables for | |
Net daily variation margin on open cleared swap agreements | 6,448 |
Forward foreign currency exchange contracts | 15,488,302 |
Net daily variation margin on open futures contracts | 31,046 |
Investments sold | 20,365,130 |
TBA sale commitments | 933,816 |
Fund shares sold | 101,202 |
Interest and dividends | 8,941,939 |
Uncleared swaps, at value (net of unamortized premiums received, $24,078) | 2,949 |
Other assets | 397 |
Total assets | $1,036,534,481 |
Liabilities | |
Payable to custodian | $15,610 |
Payables for | |
Distributions | 461 |
Forward foreign currency exchange contracts | 45,285,681 |
Investments purchased | 17,936,181 |
TBA purchase commitments | 10,236,174 |
Fund shares reacquired | 209,545 |
When-issued investments purchased | 3,936,185 |
Uncleared swaps, at value (net of unamortized premiums paid, $11,567) | 14,449 |
Payable to affiliates | |
Investment adviser | 28,134 |
Administrative services fee | 831 |
Shareholder servicing costs | 17,049 |
Distribution and service fees | 299 |
Payable for independent Trustees' compensation | 11 |
Accrued expenses and other liabilities | 90,037 |
Total liabilities | $77,770,647 |
Net assets | $958,763,834 |
Net assets consist of | |
Paid-in capital | $1,099,171,053 |
Total distributable earnings (loss) | (140,407,219) |
Net assets | $958,763,834 |
Shares of beneficial interest outstanding | 121,171,186 |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $15,419,075 | 1,937,756 | $7.96 |
Class B | 165,040 | 20,850 | 7.92 |
Class C | 419,957 | 53,041 | 7.92 |
Class I | 9,541,430 | 1,204,759 | 7.92 |
Class R1 | 578,615 | 73,120 | 7.91 |
Class R2 | 655,636 | 82,862 | 7.91 |
Class R3 | 435,321 | 54,992 | 7.92 |
Class R4 | 181,272 | 22,890 | 7.92 |
Class R6 | 931,367,488 | 117,720,916 | 7.91 |
(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 $8.31 [100 / 95.75 x $7.96]. 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 | $33,343,951 |
Dividends from affiliated issuers | 757,729 |
Other | 22,287 |
Foreign taxes withheld | (40,818) |
Total investment income | $34,083,149 |
Expenses | |
Management fee | $5,838,105 |
Distribution and service fees | 64,280 |
Shareholder servicing costs | 66,781 |
Administrative services fee | 174,346 |
Independent Trustees' compensation | 17,963 |
Custodian fee | 190,736 |
Shareholder communications | 38,448 |
Audit and tax fees | 88,860 |
Legal fees | 5,227 |
Miscellaneous | 197,363 |
Total expenses | $6,682,109 |
Fees paid indirectly | (119,258) |
Reduction of expenses by investment adviser | (150,541) |
Net expenses | $6,412,310 |
Net investment income (loss) | $27,670,839 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers (net of $247 country tax) | $(140,173,304) |
Affiliated issuers | 2,110 |
Written options | 967,203 |
Futures contracts | 19,602,263 |
Swap agreements | (4,251,713) |
Forward foreign currency exchange contracts | 112,361,313 |
Foreign currency | (1,972,758) |
Net realized gain (loss) | $(13,464,886) |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $(91,305,818) |
Affiliated issuers | 465 |
Futures contracts | 3,497,627 |
Swap agreements | (135,653) |
Forward foreign currency exchange contracts | (49,020,608) |
Translation of assets and liabilities in foreign currencies | 117,936 |
Net unrealized gain (loss) | $(136,846,051) |
Net realized and unrealized gain (loss) | $(150,310,937) |
Change in net assets from operations | $(122,640,098) |
Year ended | ||
11/30/22 | 11/30/21 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $27,670,839 | $17,121,587 |
Net realized gain (loss) | (13,464,886) | 16,541,802 |
Net unrealized gain (loss) | (136,846,051) | (45,947,965) |
Change in net assets from operations | $(122,640,098) | $(12,284,576) |
Distributions to shareholders | $(53,126,048) | $(33,101,269) |
Tax return of capital distributions to shareholders | $(8,616,179) | $— |
Change in net assets from fund share transactions | $(49,743,385) | $475,958,309 |
Total change in net assets | $(234,125,710) | $430,572,464 |
Net assets | ||
At beginning of period | 1,192,889,544 | 762,317,080 |
At end of period | $958,763,834 | $1,192,889,544 |
Class A | Year ended | ||||
11/30/22 | 11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | |
Net asset value, beginning of period | $9.33 | $9.82 | $9.11 | $8.44 | $8.97 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.18 | $0.13 | $0.10 | $0.16 | $0.15 |
Net realized and unrealized gain (loss) | (1.10) | (0.28) | 0.75 | 0.67 | (0.52) |
Total from investment operations | $(0.92) | $(0.15) | $0.85 | $0.83 | $(0.37) |
Less distributions declared to shareholders | |||||
From net investment income | $(0.16) | $(0.18) | $(0.13) | $(0.16) | $(0.16) |
From net realized gain | (0.26) | (0.16) | (0.01) | — | — |
From tax return of capital | (0.03) | — | — | — | — |
Total distributions declared to shareholders | $(0.45) | $(0.34) | $(0.14) | $(0.16) | $(0.16) |
Net asset value, end of period (x) | $7.96 | $9.33 | $9.82 | $9.11 | $8.44 |
Total return (%) (r)(s)(t)(x) | (10.28) | (1.64) | 9.55 | 9.91 | (4.16) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 0.95 | 1.05 | 1.10 | 1.13 | 1.13 |
Expenses after expense reductions (f) | 0.94 | 0.99 | 1.04 | 1.05 | 1.05 |
Net investment income (loss) | 2.23 | 1.40 | 1.13 | 1.78 | 1.72 |
Portfolio turnover | 150 | 216 | 210 | 126 | 108 |
Net assets at end of period (000 omitted) | $15,419 | $21,218 | $19,934 | $16,487 | $14,062 |
Class B | Year ended | ||||
11/30/22 | 11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | |
Net asset value, beginning of period | $9.28 | $9.77 | $9.06 | $8.40 | $8.92 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.12 | $0.06 | $0.04 | $0.09 | $0.08 |
Net realized and unrealized gain (loss) | (1.09) | (0.29) | 0.74 | 0.67 | (0.51) |
Total from investment operations | $(0.97) | $(0.23) | $0.78 | $0.76 | $(0.43) |
Less distributions declared to shareholders | |||||
From net investment income | $(0.11) | $(0.10) | $(0.06) | $(0.10) | $(0.09) |
From net realized gain | (0.26) | (0.16) | (0.01) | — | — |
From tax return of capital | (0.02) | — | — | — | — |
Total distributions declared to shareholders | $(0.39) | $(0.26) | $(0.07) | $(0.10) | $(0.09) |
Net asset value, end of period (x) | $7.92 | $9.28 | $9.77 | $9.06 | $8.40 |
Total return (%) (r)(s)(t)(x) | (10.92) | (2.40) | 8.78 | 9.01 | (4.80) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.70 | 1.80 | 1.86 | 1.88 | 1.89 |
Expenses after expense reductions (f) | 1.69 | 1.75 | 1.79 | 1.80 | 1.80 |
Net investment income (loss) | 1.47 | 0.64 | 0.42 | 1.04 | 0.97 |
Portfolio turnover | 150 | 216 | 210 | 126 | 108 |
Net assets at end of period (000 omitted) | $165 | $268 | $373 | $605 | $712 |
Class C | Year ended | ||||
11/30/22 | 11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | |
Net asset value, beginning of period | $9.28 | $9.77 | $9.06 | $8.40 | $8.92 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.12 | $0.06 | $0.04 | $0.09 | $0.09 |
Net realized and unrealized gain (loss) | (1.09) | (0.29) | 0.74 | 0.67 | (0.52) |
Total from investment operations | $(0.97) | $(0.23) | $0.78 | $0.76 | $(0.43) |
Less distributions declared to shareholders | |||||
From net investment income | $(0.11) | $(0.10) | $(0.06) | $(0.10) | $(0.09) |
From net realized gain | (0.26) | (0.16) | (0.01) | — | — |
From tax return of capital | (0.02) | — | — | — | — |
Total distributions declared to shareholders | $(0.39) | $(0.26) | $(0.07) | $(0.10) | $(0.09) |
Net asset value, end of period (x) | $7.92 | $9.28 | $9.77 | $9.06 | $8.40 |
Total return (%) (r)(s)(t)(x) | (10.92) | (2.40) | 8.78 | 9.01 | (4.80) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.70 | 1.80 | 1.86 | 1.88 | 1.88 |
Expenses after expense reductions (f) | 1.69 | 1.75 | 1.79 | 1.80 | 1.80 |
Net investment income (loss) | 1.47 | 0.63 | 0.44 | 1.04 | 0.97 |
Portfolio turnover | 150 | 216 | 210 | 126 | 108 |
Net assets at end of period (000 omitted) | $420 | $812 | $1,353 | $2,229 | $2,332 |
Class I | Year ended | ||||
11/30/22 | 11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | |
Net asset value, beginning of period | $9.29 | $9.78 | $9.07 | $8.41 | $8.93 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.21 | $0.16 | $0.12 | $0.18 | $0.17 |
Net realized and unrealized gain (loss) | (1.11) | (0.29) | 0.76 | 0.66 | (0.51) |
Total from investment operations | $(0.90) | $(0.13) | $0.88 | $0.84 | $(0.34) |
Less distributions declared to shareholders | |||||
From net investment income | $(0.18) | $(0.20) | $(0.16) | $(0.18) | $(0.18) |
From net realized gain | (0.26) | (0.16) | (0.01) | — | — |
From tax return of capital | (0.03) | — | — | — | — |
Total distributions declared to shareholders | $(0.47) | $(0.36) | $(0.17) | $(0.18) | $(0.18) |
Net asset value, end of period (x) | $7.92 | $9.29 | $9.78 | $9.07 | $8.41 |
Total return (%) (r)(s)(t)(x) | (10.11) | (1.40) | 9.86 | 10.09 | (3.83) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 0.70 | 0.80 | 0.85 | 0.88 | 0.89 |
Expenses after expense reductions (f) | 0.68 | 0.74 | 0.79 | 0.80 | 0.80 |
Net investment income (loss) | 2.48 | 1.64 | 1.30 | 2.05 | 1.98 |
Portfolio turnover | 150 | 216 | 210 | 126 | 108 |
Net assets at end of period (000 omitted) | $9,541 | $12,395 | $9,731 | $862 | $1,160 |
Class R1 | Year ended | ||||
11/30/22 | 11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | |
Net asset value, beginning of period | $9.28 | $9.77 | $9.07 | $8.40 | $8.93 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.12 | $0.06 | $0.03 | $0.09 | $0.09 |
Net realized and unrealized gain (loss) | (1.10) | (0.29) | 0.75 | 0.68 | (0.53) |
Total from investment operations | $(0.98) | $(0.23) | $0.78 | $0.77 | $(0.44) |
Less distributions declared to shareholders | |||||
From net investment income | $(0.11) | $(0.10) | $(0.07) | $(0.10) | $(0.09) |
From net realized gain | (0.26) | (0.16) | (0.01) | — | — |
From tax return of capital | (0.02) | — | — | — | — |
Total distributions declared to shareholders | $(0.39) | $(0.26) | $(0.08) | $(0.10) | $(0.09) |
Net asset value, end of period (x) | $7.91 | $9.28 | $9.77 | $9.07 | $8.40 |
Total return (%) (r)(s)(t)(x) | (11.03) | (2.40) | 8.66 | 9.13 | (4.90) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.70 | 1.80 | 1.85 | 1.88 | 1.88 |
Expenses after expense reductions (f) | 1.69 | 1.74 | 1.79 | 1.80 | 1.80 |
Net investment income (loss) | 1.51 | 0.65 | 0.33 | 1.03 | 0.99 |
Portfolio turnover | 150 | 216 | 210 | 126 | 108 |
Net assets at end of period (000 omitted) | $579 | $615 | $494 | $243 | $214 |
Class R2 | Year ended | ||||
11/30/22 | 11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | |
Net asset value, beginning of period | $9.28 | $9.77 | $9.06 | $8.39 | $8.92 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.16 | $0.11 | $0.07 | $0.14 | $0.13 |
Net realized and unrealized gain (loss) | (1.10) | (0.29) | 0.76 | 0.67 | (0.52) |
Total from investment operations | $(0.94) | $(0.18) | $0.83 | $0.81 | $(0.39) |
Less distributions declared to shareholders | |||||
From net investment income | $(0.15) | $(0.15) | $(0.11) | $(0.14) | $(0.14) |
From net realized gain | (0.26) | (0.16) | (0.01) | — | — |
From tax return of capital | (0.02) | — | — | — | — |
Total distributions declared to shareholders | $(0.43) | $(0.31) | $(0.12) | $(0.14) | $(0.14) |
Net asset value, end of period (x) | $7.91 | $9.28 | $9.77 | $9.06 | $8.39 |
Total return (%) (r)(s)(t)(x) | (10.58) | (1.91) | 9.32 | 9.68 | (4.43) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.20 | 1.30 | 1.35 | 1.38 | 1.39 |
Expenses after expense reductions (f) | 1.19 | 1.24 | 1.29 | 1.30 | 1.30 |
Net investment income (loss) | 2.00 | 1.16 | 0.79 | 1.53 | 1.47 |
Portfolio turnover | 150 | 216 | 210 | 126 | 108 |
Net assets at end of period (000 omitted) | $656 | $822 | $621 | $240 | $208 |
Class R3 | Year ended | ||||
11/30/22 | 11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | |
Net asset value, beginning of period | $9.28 | $9.77 | $9.07 | $8.40 | $8.93 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.19 | $0.13 | $0.10 | $0.16 | $0.15 |
Net realized and unrealized gain (loss) | (1.10) | (0.28) | 0.75 | 0.67 | (0.52) |
Total from investment operations | $(0.91) | $(0.15) | $0.85 | $0.83 | $(0.37) |
Less distributions declared to shareholders | |||||
From net investment income | $(0.16) | $(0.18) | $(0.14) | $(0.16) | $(0.16) |
From net realized gain | (0.26) | (0.16) | (0.01) | — | — |
From tax return of capital | (0.03) | — | — | — | — |
Total distributions declared to shareholders | $(0.45) | $(0.34) | $(0.15) | $(0.16) | $(0.16) |
Net asset value, end of period (x) | $7.92 | $9.28 | $9.77 | $9.07 | $8.40 |
Total return (%) (r)(s)(t)(x) | (10.24) | (1.66) | 9.47 | 9.94 | (4.18) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 0.95 | 1.05 | 1.10 | 1.13 | 1.14 |
Expenses after expense reductions (f) | 0.94 | 1.00 | 1.04 | 1.05 | 1.05 |
Net investment income (loss) | 2.25 | 1.39 | 1.02 | 1.80 | 1.73 |
Portfolio turnover | 150 | 216 | 210 | 126 | 108 |
Net assets at end of period (000 omitted) | $435 | $566 | $510 | $60 | $71 |
Class R4 | Year ended | ||||
11/30/22 | 11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | |
Net asset value, beginning of period | $9.29 | $9.77 | $9.07 | $8.40 | $8.93 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.21 | $0.15 | $0.12 | $0.18 | $0.17 |
Net realized and unrealized gain (loss) | (1.11) | (0.27) | 0.75 | 0.67 | (0.52) |
Total from investment operations | $(0.90) | $(0.12) | $0.87 | $0.85 | $(0.35) |
Less distributions declared to shareholders | |||||
From net investment income | $(0.18) | $(0.20) | $(0.16) | $(0.18) | $(0.18) |
From net realized gain | (0.26) | (0.16) | (0.01) | — | — |
From tax return of capital | (0.03) | — | — | — | — |
Total distributions declared to shareholders | $(0.47) | $(0.36) | $(0.17) | $(0.18) | $(0.18) |
Net asset value, end of period (x) | $7.92 | $9.29 | $9.77 | $9.07 | $8.40 |
Total return (%) (r)(s)(t)(x) | (10.11) | (1.30) | 9.74 | 10.22 | (3.95) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 0.70 | 0.81 | 0.84 | 0.88 | 0.88 |
Expenses after expense reductions (f) | 0.69 | 0.76 | 0.79 | 0.80 | 0.80 |
Net investment income (loss) | 2.51 | 1.61 | 1.33 | 2.03 | 1.96 |
Portfolio turnover | 150 | 216 | 210 | 126 | 108 |
Net assets at end of period (000 omitted) | $181 | $213 | $557 | $77 | $53 |
Class R6 | Year ended | ||||
11/30/22 | 11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | |
Net asset value, beginning of period | $9.28 | $9.76 | $9.06 | $8.39 | $8.92 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.21 | $0.17 | $0.13 | $0.19 | $0.18 |
Net realized and unrealized gain (loss) | (1.10) | (0.28) | 0.75 | 0.67 | (0.52) |
Total from investment operations | $(0.89) | $(0.11) | $0.88 | $0.86 | $(0.34) |
Less distributions declared to shareholders | |||||
From net investment income | $(0.19) | $(0.21) | $(0.17) | $(0.19) | $(0.19) |
From net realized gain | (0.26) | (0.16) | (0.01) | — | — |
From tax return of capital | (0.03) | — | — | — | — |
Total distributions declared to shareholders | $(0.48) | $(0.37) | $(0.18) | $(0.19) | $(0.19) |
Net asset value, end of period (x) | $7.91 | $9.28 | $9.76 | $9.06 | $8.39 |
Total return (%) (r)(s)(t)(x) | (10.05) | (1.22) | 9.84 | 10.33 | (3.84) |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 0.61 | 0.70 | 0.77 | 0.78 | 0.78 |
Expenses after expense reductions (f) | 0.60 | 0.65 | 0.71 | 0.70 | 0.69 |
Net investment income (loss) | 2.58 | 1.75 | 1.46 | 2.13 | 2.07 |
Portfolio turnover | 150 | 216 | 210 | 126 | 108 |
Net assets at end of period (000 omitted) | $931,367 | $1,155,980 | $728,743 | $630,673 | $601,381 |
(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. |
(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 | $— | $45,100,286 | $— | $45,100,286 |
Non - U.S. Sovereign Debt | — | 387,954,485 | — | 387,954,485 |
Municipal Bonds | — | 11,267,235 | — | 11,267,235 |
U.S. Corporate Bonds | — | 152,061,713 | — | 152,061,713 |
Residential Mortgage-Backed Securities | — | 76,530,736 | — | 76,530,736 |
Commercial Mortgage-Backed Securities | — | 32,397,380 | — | 32,397,380 |
Asset-Backed Securities (including CDOs) | — | 44,790,990 | — | 44,790,990 |
Foreign Bonds | — | 181,882,581 | — | 181,882,581 |
Mutual Funds | 41,764,910 | — | — | 41,764,910 |
Total | $41,764,910 | $931,985,406 | $— | $973,750,316 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $2,845,943 | $— | $— | $2,845,943 |
Futures Contracts – Liabilities | (1,097,427) | — | — | (1,097,427) |
Forward Foreign Currency Exchange Contracts – Assets | — | 15,488,302 | — | 15,488,302 |
Forward Foreign Currency Exchange Contracts – Liabilities | — | (45,285,681) | — | (45,285,681) |
Swap Agreements – Assets | — | 2,949 | — | 2,949 |
Swap Agreements – Liabilities | — | (370,792) | — | (370,792) |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Credit | Purchased Option Contracts | $331,624 | $— |
Interest Rate | Futures Contracts | 2,845,943 | (1,097,427) |
Foreign Exchange | Forward Foreign Currency Exchange Contracts | 15,488,302 | (45,285,681) |
Credit | Cleared Swap Agreements | — | (356,343) |
Credit | Uncleared Swap Agreements | 2,949 | (14,449) |
Total | $18,668,818 | $(46,753,900) |
(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 and cleared swap agreements correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts and cleared swap agreements is reported separately within the Statement of Assets and Liabilities. |
Risk | Futures Contracts | Swap Agreements | Forward Foreign Currency Exchange Contracts | Unaffiliated Issuers (Purchased Options) | Written Options |
Interest Rate | $19,602,263 | $— | $— | $— | $— |
Foreign Exchange | — | — | 112,361,313 | — | — |
Credit | — | (4,251,713) | — | 1,827,794 | 967,203 |
Total | $19,602,263 | $(4,251,713) | $112,361,313 | $1,827,794 | $967,203 |
Risk | Futures Contracts | Swap Agreements | Forward Foreign Currency Exchange Contracts | Unaffiliated Issuers (Purchased Options) |
Interest Rate | $3,497,627 | $— | $— | $(1,130,386) |
Foreign Exchange | — | — | (49,020,608) | — |
Credit | — | (135,653) | — | 164,409 |
Total | $3,497,627 | $(135,653) | $(49,020,608) | $(965,977) |
Gross Amounts of: | Derivative Assets | Derivative Liabilities |
Futures Contracts (a) | $31,046 | $— |
Uncleared Swaps, at value | 2,949 | 14,449 |
Cleared Swap Agreements (a) | 6,448 | — |
Forward Foreign Currency Exchange Contracts | 15,488,302 | 45,285,681 |
Purchased Options | 331,624 | — |
Total Gross Amount of Derivative Assets and Liabilities Presented in the Statement of Assets & Liabilities | $15,860,369 | $45,300,130 |
Less: Derivatives Assets and Liabilities Not Subject to a Master Netting Agreement or Similar Arrangement | 8,679,606 | 22,541,212 |
Total Gross Amount of Derivative Assets and Liabilities Subject to a Master Netting Agreement or Similar Arrangement | $7,180,763 | $22,758,918 |
(a) | The amount presented here represents the fund's current day net variation margin for futures contracts and for cleared swap agreements. This amount, which is recognized within the Statement of Assets and Liabilities, differs from the fair value of the futures contracts and cleared swap agreements which is presented in the tables that follow the Portfolio of Investments. |
Amounts Not Offset in the Statement of Assets & Liabilities | |||||
Gross Amount of Derivative Assets Subject to a Master Netting Agreement (or Similar Arrangement) by Counterparty | Financial Instruments Available for Offset | Financial Instruments Collateral Received (b) | Cash Collateral Received (b) | Net Amount of Derivative Assets by Counterparty | |
Barclays Bank PLC | $233,564 | $(233,564) | $— | $— | $— |
BNP Paribas S.A. | 2,665,714 | — | (2,169,198) | — | 496,516 |
Brown Brothers Harriman | 590,156 | (175,797) | — | — | 414,359 |
Citibank N.A. | 436,653 | (436,653) | — | — | — |
Deutche Bank AG | 463,907 | (463,907) | — | — | — |
Goldman Sachs International | 1,588,466 | (103,713) | — | (1,160,000) | 324,753 |
JPMorgan Chase Bank N.A. | 592,001 | (592,001) | — | — | — |
Merrill Lynch International | 509,315 | (509,315) | — | — | — |
Morgan Stanley Capital Services, Inc. | 100,987 | (100,987) | — | — | — |
Total | $7,180,763 | $(2,615,937) | $(2,169,198) | $(1,160,000) | $1,235,628 |
Amounts Not Offset in the Statement of Assets & Liabilities | |||||
Gross Amount of Derivative Liabilities Subject to a Master Netting Agreement (or Similar Arrangement) by Counterparty | Financial Instruments Available for Offset | Financial Instruments Collateral Pledged (b) | Cash Collateral Pledged (b) | Net Amount of Derivative Liabilities by Counterparty | |
Barclays Bank PLC | $(399,910) | $233,564 | $— | $— | $(166,346) |
Brown Brothers Harriman | (175,797) | 175,797 | — | — | — |
Citibank N.A. | (3,652,778) | 436,653 | — | 2,870,000 | (346,125) |
Deutsche Bank AG | (1,212,154) | 463,907 | — | 748,247 | — |
Goldman Sachs International | (103,713) | 103,713 | — | — | — |
JPMorgan Chase Bank N.A. | (2,201,652) | 592,001 | — | 776,000 | (833,651) |
Merrill Lynch International | (2,486,453) | 509,315 | — | 1,480,000 | (497,138) |
Morgan Stanley Capital Services, Inc. | (12,526,461) | 100,987 | — | 10,970,000 | (1,455,474) |
Total | $(22,758,918) | $2,615,937 | $— | $16,844,247 | $(3,298,734) |
(b) | The amount presented here may be less than the total amount of collateral (received)/pledged as the excess collateral (received)/pledged is not shown for purposes of this presentation. |
Year ended 11/30/22 | Year ended 11/30/21 | |
Ordinary income (including any short-term capital gains) (a) | $22,993,014 | $28,501,026 |
Long-term capital gains | 30,133,034 | 4,600,243 |
Tax return of capital (b) | 8,616,179 | — |
Total distributions | $61,742,227 | $33,101,269 |
(a) | Included in the fund’s distributions from ordinary income for the year ended November 30, 2022 is $6,255,559 in excess of investment company taxable income which, in accordance with applicable U.S. tax law, is taxable to shareholders as ordinary income distributions. |
(b) | Distributions in excess of tax basis earnings and profits are reported in the financial statements as a tax return of capital. |
As of 11/30/22 | |
Cost of investments | $1,065,565,079 |
Gross appreciation | 33,841,748 |
Gross depreciation | (154,073,217) |
Net unrealized appreciation (depreciation) | $(120,231,469) |
Undistributed long-term capital gain | 17,935,000 |
Post-October capital loss deferral | (30,632,470) |
Late year ordinary loss deferral | (6,447,157) |
Other temporary differences | (1,031,123) |
Total distributable earnings (loss) | $(140,407,219) |
From net investment income | From tax return of capital | ||||||
Year ended 11/30/22 | Year ended 11/30/21 | Year ended 11/30/22 | Year ended 11/30/21 | ||||
Class A | $874,181 | $718,005 | $141,778 | $— | |||
Class B | 9,011 | 9,688 | 1,462 | — | |||
Class C | 27,446 | 33,968 | 4,451 | — | |||
Class I | 539,345 | 407,919 | 87,473 | — | |||
Class R1 | 22,745 | 15,115 | 3,689 | — | |||
Class R2 | 33,184 | 21,030 | 5,382 | — | |||
Class R3 | 24,218 | 17,585 | 3,928 | — | |||
Class R4 | 9,461 | 17,735 | 1,534 | — | |||
Class R6 | 51,586,457 | 31,860,224 | 8,366,482 | — | |||
Total | $53,126,048 | $33,101,269 | $8,616,179 | $— |
Up to $1 billion | 0.55% |
In excess of $1 billion and up to $2.5 billion | 0.45% |
In excess of $2.5 billion | 0.425% |
Classes | ||||||||
A | B | C | I | R1 | R2 | R3 | R4 | R6 |
0.97% | 1.72% | 1.72% | 0.72% | 1.72% | 1.22% | 0.97% | 0.72% | 0.64% |
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% | $ 46,271 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 1,984 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 5,169 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 5,661 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 3,826 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 1,369 |
Total Distribution and Service Fees | $64,280 |
(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 November 30, 2022 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. There were no service fee rebates for the year ended November 30, 2022. |
Amount | |
Class A | $209 |
Class B | 199 |
Class C | 11 |
Purchases | Sales | |
U.S. Government securities | $411,545,263 | $358,960,618 |
Non-U.S. Government securities | 1,135,247,340 | 1,163,830,490 |
Year ended 11/30/22 | Year ended 11/30/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 271,901 | $2,333,894 | 652,705 | $6,235,880 | |
Class B | 423 | 3,623 | 4,350 | 41,051 | |
Class C | 3,597 | 29,888 | 26,461 | 251,757 | |
Class I | 376,217 | 3,127,999 | 909,468 | 8,600,174 | |
Class R1 | 18,923 | 158,404 | 14,748 | 141,455 | |
Class R2 | 6,294 | 52,157 | 38,261 | 363,390 | |
Class R3 | 21,698 | 177,012 | 37,269 | 352,205 | |
Class R4 | 2,978 | 24,400 | 7,254 | 68,638 | |
Class R6 | 9,093,518 | 76,148,841 | 48,251,772 | 454,004,087 | |
9,795,549 | $82,056,218 | 49,942,288 | $470,058,637 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 114,205 | $1,010,081 | 73,303 | $707,884 | |
Class B | 1,168 | 10,415 | 999 | 9,663 | |
Class C | 3,526 | 31,500 | 3,339 | 32,340 | |
Class I | 71,135 | 624,538 | 42,082 | 403,688 | |
Class R1 | 2,969 | 26,434 | 1,564 | 15,115 | |
Class R2 | 4,373 | 38,551 | 2,188 | 21,027 | |
Class R3 | 3,204 | 28,127 | 1,829 | 17,581 | |
Class R4 | 1,255 | 10,994 | 1,800 | 17,377 | |
Class R6 | 6,527,121 | 57,122,570 | 3,261,947 | 31,222,711 | |
6,728,956 | $58,903,210 | 3,389,051 | $32,447,386 | ||
Shares reacquired | |||||
Class A | (722,762) | $(5,955,242) | (481,827) | $(4,592,886) | |
Class B | (9,667) | (82,084) | (14,626) | (138,858) | |
Class C | (41,616) | (358,208) | (80,788) | (771,444) | |
Class I | (577,312) | (4,751,916) | (612,364) | (5,768,011) | |
Class R1 | (15,036) | (129,237) | (619) | (5,921) | |
Class R2 | (16,448) | (128,949) | (15,427) | (145,270) | |
Class R3 | (30,883) | (241,921) | (30,284) | (285,175) | |
Class R4 | (4,254) | (33,927) | (43,200) | (406,651) | |
Class R6 | (22,517,546) | (179,021,329) | (1,526,656) | (14,433,498) | |
(23,935,524) | $(190,702,813) | (2,805,791) | $(26,547,714) |
Year ended 11/30/22 | Year ended 11/30/21 | ||||
Shares | Amount | Shares | Amount | ||
Net change | |||||
Class A | (336,656) | $(2,611,267) | 244,181 | $2,350,878 | |
Class B | (8,076) | (68,046) | (9,277) | (88,144) | |
Class C | (34,493) | (296,820) | (50,988) | (487,347) | |
Class I | (129,960) | (999,379) | 339,186 | 3,235,851 | |
Class R1 | 6,856 | 55,601 | 15,693 | 150,649 | |
Class R2 | (5,781) | (38,241) | 25,022 | 239,147 | |
Class R3 | (5,981) | (36,782) | 8,814 | 84,611 | |
Class R4 | (21) | 1,467 | (34,146) | (320,636) | |
Class R6 | (6,896,907) | (45,749,918) | 49,987,063 | 470,793,300 | |
(7,411,019) | $(49,743,385) | 50,525,548 | $475,958,309 |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $44,596,212 | $944,358,894 | $947,192,771 | $2,110 | $465 | $41,764,910 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $757,729 | $— |
January 13, 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 66) | 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 48) | 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 55) | 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 49) | 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 43) | 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 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) | |
Ward Brown Philipp Burgener David Cole Pilar Gomez-Bravo Andy Li Henry Peabody Matt Ryan Michael Skatrud Robert Spector Erik Weisman |
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 Ernst & Young LLP ("E&Y") to serve as independent accountants to the Registrant (hereinafter the "Registrant" or the "Fund"). The tables below set forth the audit fees billed to the Fund as well as fees for non-audit services provided to the Fund and/or to the 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 Fund ("MFS Related Entities").
For the fiscal years ended November 30, 2022 and 2021, audit fees billed to the Fund by E&Y were as follows:
Fees billed by E&Y: |
| Audit Fees | |
| 2022 |
| 2021 |
MFS Global Opportunistic Bond Fund | 61,325 |
| 58,224 |
For the fiscal years ended November 30, 2022 and 2021, fees billed by E&Y for audit-related, tax and other services provided to the Fund and for audit-related, tax and other services provided to MFS and MFS Related Entities were as follows:
Fees billed by E&Y: | Audit-Related |
|
| Tax Fees2 |
| All Other Fees3 |
| ||||||||||
| Fees1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| 2022 |
|
| 2021 |
| 2022 |
| 2021 |
| 2022 |
| 2021 |
| ||||
To MFS Global Opportunistic | 0 |
|
| 0 |
| 255 |
| 10,891 |
| 157 |
| 1,024 |
| ||||
Bond Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||
Fees billed by E&Y: | Audit-Related Fees1 |
| Tax Fees2 | All Other Fees3 | |||||||||||||
| 2022 |
|
| 2021 |
|
| 2022 |
| 2021 | 2022 |
| 2021 | |||||
To MFS and MFS Related | 520,036 |
|
| 1,275,054 |
| 0 |
|
| 0 |
| 111,415 |
| 110,620 | ||||
Entities of MFS Global |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Opportunistic Bond Fund* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Fees Billed by E&Y: |
|
|
| Aggregate Fees for Non-audit Services |
| ||||||||||||
|
|
|
|
|
| 2022 |
|
|
|
|
| 2021 |
|
|
| ||
To MFS Global Opportunistic Bond Fund, |
| 882,293 |
|
|
|
|
| 1,564,289 |
|
|
| ||||||
MFS 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 Fund (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 E&Y for non-audit services rendered to the Fund 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 E&Y other than those reported under "Audit Fees," "Audit-Related Fees" and "Tax Fees," including fees for services related to review of internal controls and review of Rule 38a-1 compliance program.
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 Fund 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 between such 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 were provided prior to the effectiveness of SEC rules requiring pre-approval or 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 X
By (Signature and Title)*
/S/ DAVID L. DILORENZO
David L. DiLorenzo, President
Date: January 13, 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: January 13, 2023
By (Signature and Title)*
/S/ JAMES O. YOST
James O. Yost, Treasurer (Principal Financial Officer and Accounting Officer) Date: January 13, 2023
* Print name and title of each signing officer under his or her signature.