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 811-8879
MFS VARIABLE INSURANCE TRUST III (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: December 31
Date of reporting period: June 30, 2022
ITEM 1. REPORTS TO STOCKHOLDERS.
Item 1(a):
Allocation Portfolio
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18 |
MFS Total Return Bond Series | 12.2% |
MFS Government Securities Portfolio | 10.2% |
MFS Value Series | 9.0% |
MFS Growth Series | 8.8% |
MFS Research Series | 7.9% |
MFS Research International Portfolio | 6.9% |
MFS Mid Cap Value Portfolio | 6.9% |
MFS Mid Cap Growth Series | 6.9% |
MFS Global Governments Portfolio | 5.1% |
MFS Inflation-Adjusted Bond Portfolio | 5.0% |
MFS High Yield Portfolio | 5.0% |
MFS Limited Maturity Portfolio | 4.1% |
MFS International Intrinsic Value Portfolio | 3.0% |
MFS International Growth Portfolio | 3.0% |
MFS Global Real Estate Portfolio | 3.0% |
MFS New Discovery Value Portfolio | 1.5% |
MFS New Discovery Series | 1.4% |
Cash & Cash Equivalents | 0.1% |
January 1, 2022 through June 30, 2022
Share Class | Annualized Expense Ratio | Beginning Account Value 1/01/22 | Ending Account Value 6/30/22 | Expenses Paid During Period (p) 1/01/22-6/30/22 | |
Initial Class | Actual | 0.01% | $1,000.00 | $825.28 | $0.05 |
Hypothetical (h) | 0.01% | $1,000.00 | $1,024.74 | $0.05 | |
Service Class | Actual | 0.26% | $1,000.00 | $824.46 | $1.18 |
Hypothetical (h) | 0.26% | $1,000.00 | $1,023.51 | $1.30 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). In addition to the fees and expenses which the fund bears directly, the fund indirectly bears a pro rata share of the fees and expenses of the underlying funds in which the fund invests. If these indirect costs were included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Investment Companies (h) – 100.0% | ||||
Bond Funds – 41.6% | ||||
MFS Global Governments Portfolio - Initial Class | 5,941,636 | $ 54,068,888 | ||
MFS Government Securities Portfolio - Initial Class | 9,638,151 | 108,621,968 | ||
MFS High Yield Portfolio - Initial Class | 11,004,316 | 52,930,762 | ||
MFS Inflation-Adjusted Bond Portfolio - Initial Class | 5,408,093 | 53,594,200 | ||
MFS Limited Maturity Portfolio - Initial Class | 4,405,449 | 43,085,290 | ||
MFS Total Return Bond Series - Initial Class | 10,762,496 | 129,795,696 | ||
$442,096,804 | ||||
International Stock Funds – 12.9% | ||||
MFS International Growth Portfolio - Initial Class | 2,337,930 | $ 31,632,187 | ||
MFS International Intrinsic Value Portfolio - Initial Class | 1,149,528 | 31,646,511 | ||
MFS Research International Portfolio - Initial Class | 4,876,086 | 73,921,471 | ||
$137,200,169 | ||||
Specialty Funds – 3.0% | ||||
MFS Global Real Estate Portfolio - Initial Class | 2,115,439 | $ 31,604,651 | ||
U.S. Stock Funds – 42.4% | ||||
MFS Growth Series - Initial Class | 1,673,581 | $ 93,720,517 | ||
MFS Mid Cap Growth Series - Initial Class | 8,968,009 | 73,178,951 | ||
MFS Mid Cap Value Portfolio - Initial Class | 7,751,944 | 73,488,425 | ||
MFS New Discovery Series - Initial Class | 973,626 | 15,480,657 | ||
MFS New Discovery Value Portfolio - Initial Class | 1,618,062 | 15,727,566 | ||
MFS Research Series - Initial Class | 2,698,387 | 83,865,876 | ||
MFS Value Series - Initial Class | 4,451,038 | 95,608,300 | ||
$451,070,292 | ||||
Money Market Funds – 0.1% | ||||
MFS Institutional Money Market Portfolio, 1.21% (v) | 1,521,007 | $ 1,520,855 | ||
Total Investment Companies (Identified Cost, $948,313,833) | $1,063,492,771 | |||
Other Assets, Less Liabilities – (0.0)% | (126,904) | |||
Net Assets – 100.0% | $1,063,365,867 |
(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 value of the fund’s investments in affiliated issuers was $1,063,492,771. | |||
(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. |
Financial Statements | Statement of Assets and Liabilities (unaudited) |
At 6/30/22Assets | |
Investments in affiliated issuers, at value (identified cost, $948,313,833) | $1,063,492,771 |
Receivables for | |
Investments sold | 1,045,188 |
Fund shares sold | 523 |
Dividends | 1,172 |
Other assets | 2,708 |
Total assets | $1,064,542,362 |
Liabilities | |
Payables for | |
Investments purchased | $33,773 |
Fund shares reacquired | 1,044,770 |
Payable to affiliates | |
Administrative services fee | 96 |
Shareholder servicing costs | 98 |
Distribution and/or service fees | 14,516 |
Payable for independent Trustees' compensation | 381 |
Accrued expenses and other liabilities | 82,861 |
Total liabilities | $1,176,495 |
Net assets | $1,063,365,867 |
Net assets consist of | |
Paid-in capital | $808,144,525 |
Total distributable earnings (loss) | 255,221,342 |
Net assets | $1,063,365,867 |
Shares of beneficial interest outstanding | 89,142,477 |
Net assets | Shares outstanding | Net asset value per share | |
Initial Class | $7,558,083 | 632,646 | $11.95 |
Service Class | 1,055,807,784 | 88,509,831 | 11.93 |
Financial Statements | Statement of Operations (unaudited) |
Six months ended 6/30/22 | |
Net investment income (loss) | |
Income | |
Dividends from affiliated issuers | $2,478 |
Expenses | |
Distribution and/or service fees | $1,479,863 |
Shareholder servicing costs | 10,429 |
Administrative services fee | 8,679 |
Independent Trustees' compensation | 8,959 |
Custodian fee | 10,659 |
Shareholder communications | 5,313 |
Audit and tax fees | 21,436 |
Legal fees | 3,595 |
Miscellaneous | 17,597 |
Total expenses | $1,566,530 |
Net investment income (loss) | $(1,564,052) |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Investments in affiliated issuers | $6,327,805 |
Change in unrealized appreciation or depreciation | |
Affiliated issuers | $(238,342,507) |
Net realized and unrealized gain (loss) | $(232,014,702) |
Change in net assets from operations | $(233,578,754) |
Financial Statements | Statements of Changes in Net Assets |
Six months ended | Year ended | |
6/30/22 (unaudited) | 12/31/21 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $(1,564,052) | $19,432,185 |
Net realized gain (loss) | 6,327,805 | 122,852,398 |
Net unrealized gain (loss) | (238,342,507) | 8,807,403 |
Change in net assets from operations | $(233,578,754) | $151,091,986 |
Total distributions to shareholders | $— | $(87,100,447) |
Change in net assets from fund share transactions | $(69,253,128) | $(131,955,533) |
Total change in net assets | $(302,831,882) | $(67,963,994) |
Net assets | ||
At beginning of period | 1,366,197,749 | 1,434,161,743 |
At end of period | $1,063,365,867 | $1,366,197,749 |
Financial Statements | Financial Highlights |
Initial Class | Six months ended | Year ended | ||||
6/30/22 (unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |
Net asset value, beginning of period | $14.48 | $13.86 | $13.23 | $11.95 | $13.33 | $12.25 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d)(l) | $(0.00)(w) | $0.25 | $0.29 | $0.30 | $0.30 | $0.26 |
Net realized and unrealized gain (loss) | (2.53) | 1.34 | 1.51 | 2.28 | (0.74) | 1.60 |
Total from investment operations | $(2.53) | $1.59 | $1.80 | $2.58 | $(0.44) | $1.86 |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.30) | $(0.32) | $(0.35) | $(0.29) | $(0.28) |
From net realized gain | — | (0.67) | (0.85) | (0.95) | (0.65) | (0.50) |
Total distributions declared to shareholders | $— | $(0.97) | $(1.17) | $(1.30) | $(0.94) | $(0.78) |
Net asset value, end of period (x) | $11.95 | $14.48 | $13.86 | $13.23 | $11.95 | $13.33 |
Total return (%) (k)(s)(x) | (17.47)(n) | 11.61 | 14.29 | 22.23 | (3.85) | 15.52 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (h) | 0.01(a) | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 |
Expenses after expense reductions (h) | N/A | N/A | N/A | N/A | N/A | N/A |
Net investment income (loss) (l) | (0.01)(a) | 1.74 | 2.24 | 2.28 | 2.29 | 1.98 |
Portfolio turnover | 2(n) | 2 | 7 | 1 | 1 | 0(b) |
Net assets at end of period (000 omitted) | $7,558 | $9,312 | $7,891 | $6,448 | $5,333 | $6,053 |
Service Class | Six months ended | Year ended | ||||
6/30/22 (unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |
Net asset value, beginning of period | $14.47 | $13.86 | $13.22 | $11.94 | $13.32 | $12.24 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d)(l) | $(0.02) | $0.20 | $0.24 | $0.26 | $0.27 | $0.22 |
Net realized and unrealized gain (loss) | (2.52) | 1.34 | 1.54 | 2.28 | (0.75) | 1.60 |
Total from investment operations | $(2.54) | $1.54 | $1.78 | $2.54 | $(0.48) | $1.82 |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.26) | $(0.29) | $(0.31) | $(0.25) | $(0.24) |
From net realized gain | — | (0.67) | (0.85) | (0.95) | (0.65) | (0.50) |
Total distributions declared to shareholders | $— | $(0.93) | $(1.14) | $(1.26) | $(0.90) | $(0.74) |
Net asset value, end of period (x) | $11.93 | $14.47 | $13.86 | $13.22 | $11.94 | $13.32 |
Total return (%) (k)(s)(x) | (17.55)(n) | 11.26 | 14.08 | 21.90 | (4.13) | 15.23 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (h) | 0.26(a) | 0.26 | 0.26 | 0.26 | 0.26 | 0.26 |
Expenses after expense reductions (h) | N/A | N/A | N/A | N/A | N/A | N/A |
Net investment income (loss) (l) | (0.26)(a) | 1.38 | 1.81 | 1.98 | 2.02 | 1.66 |
Portfolio turnover | 2(n) | 2 | 7 | 1 | 1 | 0(b) |
Net assets at end of period (000 omitted) | $1,055,808 | $1,356,886 | $1,426,271 | $1,414,989 | $1,364,874 | $1,686,004 |
(a) | Annualized. |
(b) | Less than 0.5%. |
(d) | Per share data is based on average shares outstanding. |
(h) | In addition to the fees and expenses which the fund bears directly, the fund indirectly bears a pro rata share of the fees and expenses of the underlying affiliated funds in which the fund invests. Accordingly, the expense ratio for the fund reflects only those fees and expenses borne directly by the fund. Because the underlying affiliated funds have varied expense and fee levels and the fund may own different proportions of the underlying affiliated funds at different times, the amount of fees and expenses incurred indirectly by the fund will vary. |
(k) | The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown. |
(l) | Recognition of net investment income by the fund may be affected by the timing of the declaration of dividends by the underlying affiliated funds in which the fund invests and for interim net investment income ratios, the actual annual net investment income ratio may differ. The ratios and per share amounts do not include net investment income of the underlying affiliated funds in which the fund invests. |
(n) | Not annualized. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(w) | Per share amount was less than $0.01. |
(x) | The net asset values and total returns 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 |
Mutual Funds | $1,063,492,771 | $— | $— | $1,063,492,771 |
Year ended 12/31/21 | |
Ordinary income (including any short-term capital gains) | $31,407,050 |
Long-term capital gains | 55,693,397 |
Total distributions | $87,100,447 |
As of 6/30/22 | |
Cost of investments | $955,206,360 |
Gross appreciation | 163,159,637 |
Gross depreciation | (54,873,226) |
Net unrealized appreciation (depreciation) | $108,286,411 |
As of 12/31/21 | |
Undistributed ordinary income | 22,413,264 |
Undistributed long-term capital gain | 119,757,914 |
Net unrealized appreciation (depreciation) | 346,628,918 |
Six months ended 6/30/22 | Year ended 12/31/21 | ||
Initial Class | $— | $625,183 | |
Service Class | — | 86,475,264 | |
Total | $— | $87,100,447 |
Six months ended 6/30/22 | Year ended 12/31/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Initial Class | 6,334 | $82,679 | 100,307 | $1,443,545 | |
Service Class | 659,578 | 8,209,801 | 306,006 | 4,390,844 | |
665,912 | $8,292,480 | 406,313 | $5,834,389 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Initial Class | — | $— | 43,965 | $625,183 | |
Service Class | — | — | 6,076,969 | 86,475,264 | |
— | $— | 6,120,934 | $87,100,447 | ||
Shares reacquired | |||||
Initial Class | (16,903) | $(224,931) | (70,317) | $(1,014,109) | |
Service Class | (5,904,075) | (77,320,677) | (15,563,681) | (223,876,260) | |
(5,920,978) | $(77,545,608) | (15,633,998) | $(224,890,369) | ||
Net change | |||||
Initial Class | (10,569) | $(142,252) | 73,955 | $1,054,619 | |
Service Class | (5,244,497) | (69,110,876) | (9,180,706) | (133,010,152) | |
(5,255,066) | $(69,253,128) | (9,106,751) | $(131,955,533) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Global Governments Portfolio | $66,714,569 | $97,624 | $3,665,626 | $(708,633) | $(8,369,046) | $54,068,888 |
MFS Global Real Estate Portfolio | 42,050,156 | 1,098,010 | 2,602,270 | 967,641 | (9,908,886) | 31,604,651 |
MFS Government Securities Portfolio | 134,944,096 | 16,401 | 14,964,980 | (2,581,268) | (8,792,281) | 108,621,968 |
MFS Growth Series | 122,716,807 | 7,515,847 | 111,161 | (10,419) | (36,390,557) | 93,720,517 |
MFS High Yield Portfolio | 68,185,130 | 1,711 | 6,207,133 | (1,074,761) | (7,974,185) | 52,930,762 |
MFS Inflation-Adjusted Bond Portfolio | 67,626,116 | 427,460 | 3,432,688 | 208,008 | (11,234,696) | 53,594,200 |
Affiliated Issuers − continued | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $1,500,980 | $2,875,024 | $2,855,023 | $(5) | $(121) | $1,520,855 |
MFS International Growth Portfolio | 41,247,180 | 21,053 | 1,823,498 | 256,566 | (8,069,114) | 31,632,187 |
MFS International Intrinsic Value Portfolio | 41,185,739 | 1,678,025 | 151,111 | 73,181 | (11,139,323) | 31,646,511 |
MFS Limited Maturity Portfolio | 54,135,043 | — | 8,878,125 | (326,057) | (1,845,571) | 43,085,290 |
MFS Mid Cap Growth Series | 96,354,427 | 6,372,644 | 30,871 | (11,256) | (29,505,993) | 73,178,951 |
MFS Mid Cap Value Portfolio | 97,152,435 | 200,741 | 11,068,873 | 2,997,622 | (15,793,500) | 73,488,425 |
MFS New Discovery Series | 18,898,498 | 2,747,200 | 6,615 | (3,413) | (6,155,013) | 15,480,657 |
MFS New Discovery Value Portfolio | 20,681,954 | 33,312 | 2,194,647 | 592,406 | (3,385,459) | 15,727,566 |
MFS Research International Portfolio | 96,117,925 | 119,537 | 2,683,430 | (89,770) | (19,542,791) | 73,921,471 |
MFS Research Series | 110,061,530 | 252,895 | 5,675,511 | 2,122,829 | (22,895,867) | 83,865,876 |
MFS Total Return Bond Series | 162,364,517 | 12,583 | 14,366,066 | (1,478,430) | (16,736,908) | 129,795,696 |
MFS Value Series | 124,350,782 | 108,393 | 13,641,243 | 5,393,564 | (20,603,196) | 95,608,300 |
$1,366,287,884 | $23,578,460 | $94,358,871 | $6,327,805 | $(238,342,507) | $1,063,492,771 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Global Governments Portfolio | $— | $— |
MFS Global Real Estate Portfolio | — | — |
MFS Government Securities Portfolio | — | — |
MFS Growth Series | — | — |
MFS High Yield Portfolio | — | — |
MFS Inflation-Adjusted Bond Portfolio | — | — |
MFS Institutional Money Market Portfolio | 2,478 | — |
MFS International Growth Portfolio | — | — |
MFS International Intrinsic Value Portfolio | — | — |
MFS Limited Maturity Portfolio | — | — |
MFS Mid Cap Growth Series | — | — |
MFS Mid Cap Value Portfolio | — | — |
MFS New Discovery Series | — | — |
MFS New Discovery Value Portfolio | — | — |
MFS Research International Portfolio | — | — |
MFS Research Series | — | — |
MFS Total Return Bond Series | — | — |
MFS Value Series | — | — |
$2,478 | $— |
Bond Portfolio
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2 | |
4 | |
5 | |
10 | |
11 | |
12 | |
13 | |
15 | |
23 | |
24 | |
24 | |
24 | |
24 |
Non-U.S. Government Bonds | 45.2% |
U.S. Treasury Securities | 43.1% |
Commercial Mortgage-Backed Securities | 1.6% |
Mortgage-Backed Securities | 0.9% |
Investment Grade Corporates | 0.6% |
Municipal Bonds | 0.5% |
AAA | 10.2% |
AA | 32.3% |
A | 2.5% |
BBB | 8.0% |
U.S. Government | 45.9% |
Federal Agencies | 0.9% |
Not Rated | (7.9)% |
Cash & Cash Equivalents | 0.2% |
Other | 7.9% |
Average Duration (d) | 10.1 |
Average Effective Maturity (m) | 10.6 yrs. |
United States | 54.8% |
United Kingdom | 24.4% |
France | 7.0% |
Italy | 5.7% |
Spain | 2.2% |
Japan | 2.0% |
New Zealand | 1.7% |
Canada | 1.0% |
Germany | 1.0% |
Other Countries | 0.2% |
United States Dollar | 51.9% |
British Pound Sterling | 20.6% |
Euro | 17.3% |
Canadian Dollar | 4.1% |
Japanese Yen | 2.8% |
Norwegian Krone | 1.0% |
Australian Dollar | 0.9% |
Swedish Krona | 0.7% |
New Zealand Dollar | 0.5% |
Other Currencies | 0.2% |
(a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities. Not Rated includes fixed income securities and fixed income derivatives that have not been rated by any rating agency. The fund may or may not have held all of these instruments on this date. The fund is not rated by these agencies. |
(d) | Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move. |
(i) | For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
(m) | In determining each instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. |
(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. |
(y) | Represents the portfolio’s exposure to a particular currency as a percentage of a portfolio's net assets. For purposes of this presentation, United States Dollar includes Cash & Cash Equivalents. |
January 1, 2022 through June 30, 2022
Share Class | Annualized Expense Ratio | Beginning Account Value 1/01/22 | Ending Account Value 6/30/22 | Expenses Paid During Period (p) 1/01/22 - 6/30/22 | |
Initial Class | Actual | 0.56% | $1,000.00 | $830.68 | $2.54 |
Hypothetical (h) | 0.56% | $1,000.00 | $1,022.02 | $2.81 | |
Service Class | Actual | 0.81% | $1,000.00 | $830.22 | $3.68 |
Hypothetical (h) | 0.81% | $1,000.00 | $1,020.78 | $4.06 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class's annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
Issuer | Shares/Par | Value ($) | ||
Bonds – 99.5% | ||||
Asset-Backed & Securitized – 1.6% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.145%, 11/15/2054 (i) | $ | 2,111,555 | $ 137,025 | |
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.426%, 7/15/2054 (i) | 2,086,792 | 166,341 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.756%, 2/15/2054 (i) | 1,337,786 | 134,142 | ||
Benchmark 2021-B23 Mortgage Trust, “XA”, 1.381%, 2/15/2054 (i) | 4,281,820 | 316,805 | ||
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.27%, 3/15/2054 (i) | 2,522,255 | 169,618 | ||
Benchmark 2021-B26 Mortgage Trust, “XA”, 0.999%, 6/15/2054 (i) | 2,802,295 | 151,994 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.385%, 7/15/2054 (i) | 3,296,281 | 259,404 | ||
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.399%, 8/15/2054 (i) | 3,957,245 | 315,533 | ||
Benchmark 2021-B29 Mortgage Trust, “XA”, 1.156%, 9/15/2054 (i) | 4,348,927 | 271,689 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.436%, 2/15/2054 (i) | 3,310,735 | 273,639 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.155%, 6/15/2064 (i) | 1,303,179 | 85,167 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.421%, 5/15/2054 (i) | 1,655,923 | 128,329 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.348%, 6/15/2054 (i) | 2,015,206 | 141,708 | ||
Morgan Stanley Capital I Trust, 2021-L7, “XA”, 1.218%, 10/15/2054 (i) | 7,561,656 | 502,662 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C60, “XA”, 1.676%, 8/15/2054 (i) | 1,465,216 | 142,823 | ||
$3,196,879 | ||||
Consumer Services – 0.2% | ||||
Conservation Fund, 3.474%, 12/15/2029 | $ | 312,000 | $ 288,069 | |
Industrial – 0.1% | ||||
Howard University, Washington D.C., 2.738%, 10/01/2022 | $ | 55,000 | $ 54,802 | |
Howard University, Washington D.C., 2.801%, 10/01/2023 | 60,000 | 59,431 | ||
Howard University, Washington D.C., AGM, 2.416%, 10/01/2024 | 66,000 | 63,626 | ||
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | 82,000 | 77,653 | ||
$255,512 | ||||
International Market Sovereign – 50.1% | ||||
Commonwealth of Australia, Inflation Linked Bond, 1.25%, 8/21/2040 | AUD | 656,298 | $ 419,016 | |
Federal Republic of Germany, Inflation Linked Bond, 0.1%, 4/15/2026 | EUR | 2,222,432 | 2,483,536 | |
Federal Republic of Germany, Inflation Linked Bond, 0.5%, 4/15/2030 | 3,756,315 | 4,400,488 | ||
Federal Republic of Germany, Inflation Linked Bond, 0.1%, 4/15/2033 | 2,603,777 | 2,958,455 | ||
Federal Republic of Germany, Inflation Linked Bond, 0.1%, 4/15/2046 | 1,870,393 | 2,304,151 | ||
Government of Canada, Inflation Linked Bond, 3%, 12/01/2036 | CAD | 2,145,373 | 2,035,137 | |
Government of Japan, Inflation Linked Bond, 0.1%, 3/10/2026 | JPY | 392,901,000 | 3,033,342 | |
Government of Japan, Inflation Linked Bond, 0.005%, 3/10/2031 | 117,717,450 | 917,065 | ||
Government of New Zealand, Inflation Linked Bond, 3%, 9/20/2030 | NZD | 1,659,140 | 1,113,455 | |
Government of New Zealand, Inflation Linked Bond, 2.5%, 9/20/2035 | 3,617,390 | 2,320,906 | ||
Kingdom of Spain, Inflation Linked Bond, 0.65%, 11/30/2027 | EUR | 1,883,953 | 2,091,120 | |
Kingdom of Spain, Inflation Linked Bond, 1%, 11/30/2030 | 1,424,267 | 1,596,336 | ||
Kingdom of Spain, Inflation Linked Bond, 0.7%, 11/30/2033 (n) | 687,381 | 732,933 | ||
Republic of France, Inflation Linked Bond, 0.25%, 7/25/2024 | 5,096,174 | 5,709,032 | ||
Republic of France, Inflation Linked Bond, 3.4%, 7/25/2029 | 5,519,560 | 7,593,320 | ||
Republic of France, Inflation Linked Bond, 0.1%, 7/25/2036 (n) | 377,769 | 397,896 | ||
Republic of Italy, Inflation Linked Bond, 2.6%, 9/15/2023 | 202,724 | 229,577 | ||
Republic of Italy, Inflation Linked Bond, 2.35%, 9/15/2024 | 535,341 | 614,104 | ||
Republic of Italy, Inflation Linked Bond, 3.1%, 9/15/2026 | 6,086,649 | 7,278,562 | ||
Republic of Italy, Inflation Linked Bond, 1.3%, 5/15/2028 | 188,770 | 205,825 | ||
Republic of Italy, Inflation Linked Bond, 2.35%, 9/15/2035 | 2,417,132 | 2,810,148 | ||
United Kingdom Treasury, Inflation Linked Bond, 0.125%, 3/22/2024 | GBP | 3,145,590 | 4,046,468 | |
United Kingdom Treasury, Inflation Linked Bond, 0.125%, 3/22/2029 | 6,229,194 | 8,473,359 | ||
United Kingdom Treasury, Inflation Linked Bond, 0.75%, 3/22/2034 | 1,109,431 | 1,685,259 | ||
United Kingdom Treasury, Inflation Linked Bond, 2%, 1/26/2035 | 1,654,782 | 3,012,162 | ||
United Kingdom Treasury, Inflation Linked Bond, 0.125%, 11/22/2036 | 1,608,537 | 2,327,000 | ||
United Kingdom Treasury, Inflation Linked Bond, 1.125%, 11/22/2037 | 1,977,068 | 3,293,789 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
International Market Sovereign – continued | ||||
United Kingdom Treasury, Inflation Linked Bond, 0.625%, 3/22/2040 | GBP | 1,920,858 | $ 3,038,539 | |
United Kingdom Treasury, Inflation Linked Bond, 0.625%, 11/22/2042 | 1,952,814 | 3,155,029 | ||
United Kingdom Treasury, Inflation Linked Bond, 0.125%, 3/22/2044 | 550,712 | 817,597 | ||
United Kingdom Treasury, Inflation Linked Bond, 0.125%, 3/22/2046 | 1,044,858 | 1,549,435 | ||
United Kingdom Treasury, Inflation Linked Bond, 0.75%, 11/22/2047 | 2,541,306 | 4,371,188 | ||
United Kingdom Treasury, Inflation Linked Bond, 0.5%, 3/22/2050 | 1,006,624 | 1,679,968 | ||
United Kingdom Treasury, Inflation Linked Bond, 0.25%, 3/22/2052 | 1,175,006 | 1,865,731 | ||
United Kingdom Treasury, Inflation Linked Bond, 1.25%, 11/22/2055 | 825,182 | 1,722,394 | ||
United Kingdom Treasury, Inflation Linked Bond, 0.125%, 3/22/2058 | 1,209,134 | 1,919,192 | ||
United Kingdom Treasury, Inflation Linked Bond, 0.375%, 3/22/2062 | 1,240,049 | 2,194,317 | ||
United Kingdom Treasury, Inflation Linked Bond, 0.125%, 11/22/2065 | 687,357 | 1,160,734 | ||
United Kingdom Treasury, Inflation Linked Bond, 0.125%, 3/22/2068 | 1,011,708 | 1,778,900 | ||
United Kingdom Treasury, Inflation Linked Bond, 0.125%, 3/22/2073 | 184,491 | 352,499 | ||
$99,687,964 | ||||
Medical & Health Technology & Services – 0.3% | ||||
ProMedica Toledo Hospital, “B”, AGM, 5.325%, 11/15/2028 | $ | 487,000 | $ 514,084 | |
ProMedica Toledo Hospital, “B”, AGM, 5.75%, 11/15/2038 | 144,000 | 148,560 | ||
$662,644 | ||||
Mortgage-Backed – 0.9% | ||||
Freddie Mac, 1.914%, 4/25/2030 (i) | $ | 564,669 | $ 66,163 | |
Freddie Mac, 1.766%, 5/25/2030 (i) | 1,221,668 | 134,632 | ||
Freddie Mac, 1.262%, 9/25/2030 (i) | 646,322 | 52,211 | ||
Freddie Mac, 0.422%, 1/25/2031 (i) | 4,880,607 | 108,504 | ||
Freddie Mac, 0.873%, 1/25/2031 (i) | 1,882,263 | 105,561 | ||
Freddie Mac, 1.026%, 1/25/2031 (i) | 1,425,035 | 94,785 | ||
Freddie Mac, 0.613%, 3/25/2031 (i) | 5,928,839 | 211,120 | ||
Freddie Mac, 1.333%, 5/25/2031 (i) | 709,327 | 63,282 | ||
Freddie Mac, 1.039%, 7/25/2031 (i) | 1,133,380 | 79,269 | ||
Freddie Mac, 0.632%, 9/25/2031 (i) | 4,635,695 | 184,680 | ||
Freddie Mac, 0.955%, 9/25/2031 (i) | 1,417,400 | 92,549 | ||
Freddie Mac, 0.441%, 11/25/2031 (i) | 6,965,967 | 205,126 | ||
Freddie Mac, 0.597%, 12/25/2031 (i) | 6,916,623 | 273,419 | ||
Freddie Mac, 0.664%, 12/25/2031 (i) | 1,130,491 | 49,534 | ||
$1,720,835 | ||||
Municipals – 0.5% | ||||
Chicago, IL, Board of Education, Taxable, “E”, BAM, 6.138%, 12/01/2039 | $ | 550,000 | $ 606,468 | |
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 3%, 6/01/2046 | 395,000 | 347,113 | ||
$953,581 | ||||
U.S. Treasury Inflation Protected Securities – 45.8% | ||||
U.S. Treasury Bonds, 0.375%, 7/15/2023 | $ | 975,213 | $ 992,356 | |
U.S. Treasury Bonds, 0.625%, 1/15/2024 | 1,040,802 | 1,058,610 | ||
U.S. Treasury Bonds, 0.25%, 1/15/2025 (f) | 19,465,227 | 19,583,083 | ||
U.S. Treasury Bonds, 2%, 1/15/2026 | 6,458,698 | 6,840,164 | ||
U.S. Treasury Bonds, 0.375%, 1/15/2027 | 4,159,054 | 4,143,566 | ||
U.S. Treasury Bonds, 0.75%, 2/15/2042 | 9,539,728 | 8,715,436 | ||
U.S. Treasury Bonds, 0.75%, 2/15/2045 | 3,376,285 | 3,022,698 | ||
U.S. Treasury Bonds, 1%, 2/15/2048 | 399,788 | 381,548 | ||
U.S. Treasury Bonds, 0.25%, 2/15/2050 | 396,506 | 312,883 | ||
U.S. Treasury Bonds, 0.125%, 2/15/2051 | 2,914,958 | 2,243,834 | ||
U.S. Treasury Notes, 0.375%, 7/15/2025 | 14,255,287 | 14,398,026 | ||
U.S. Treasury Notes, 0.875%, 1/15/2029 | 17,747,035 | 17,912,489 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Treasury Inflation Protected Securities – continued | ||||
U.S. Treasury Notes, 0.125%, 1/15/2031 | $ | 12,098,985 | $ 11,507,899 | |
$91,112,592 | ||||
Total Bonds (Identified Cost, $217,374,265) | $197,878,076 | |||
Investment Companies (h) – 0.8% | ||||
Money Market Funds – 0.8% | ||||
MFS Institutional Money Market Portfolio, 1.21% (v) (Identified Cost, $1,656,792) | 1,656,799 | $ 1,656,634 | ||
Other Assets, Less Liabilities – (0.3)% | (625,441) | |||
Net Assets – 100.0% | $198,909,269 |
(f) | All or a portion of the security has been segregated as collateral for open futures contracts. | |||
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $1,656,634 and $197,878,076, 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 $1,130,829, representing 0.6% of net assets. | |||
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
The following abbreviations are used in this report and are defined: | |
AGM | Assured Guaranty Municipal |
BAM | Build America Mutual |
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 |
CAD | Canadian Dollar |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
Derivative Contracts at 6/30/22 | ||||||
Forward Foreign Currency Exchange Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives | ||||||
CAD | 1,261,000 | USD | 968,903 | Merrill Lynch International | 7/15/2022 | $10,773 |
EUR | 1,326,281 | USD | 1,387,706 | HSBC Bank | 7/15/2022 | 3,055 |
NZD | 157,520 | USD | 98,368 | Brown Brothers Harriman | 7/15/2022 | 6 |
USD | 2,364,754 | AUD | 3,180,000 | State Street Bank Corp. | 7/15/2022 | 169,665 |
USD | 1,052,942 | CAD | 1,341,420 | UBS AG | 7/15/2022 | 10,787 |
USD | 1,055,816 | EUR | 982,533 | Barclays Bank PLC | 7/15/2022 | 25,514 |
USD | 2,933,886 | EUR | 2,758,258 | Brown Brothers Harriman | 7/15/2022 | 41,528 |
USD | 2,373,666 | EUR | 2,242,070 | Brown Brothers Harriman | 9/21/2022 | 11,013 |
USD | 602,748 | EUR | 566,502 | HSBC Bank | 7/15/2022 | 8,706 |
Forward Foreign Currency Exchange Contracts - continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives - continued | ||||||
USD | 1,688,535 | EUR | 1,522,652 | JPMorgan Chase Bank N.A. | 7/15/2022 | $91,856 |
USD | 10,673,909 | EUR | 9,683,859 | Merrill Lynch International | 7/15/2022 | 519,245 |
USD | 3,157,624 | EUR | 2,934,709 | Morgan Stanley Capital Services, Inc. | 7/15/2022 | 80,236 |
USD | 4,514,316 | EUR | 4,193,946 | State Street Bank Corp. | 7/15/2022 | 116,471 |
USD | 934,758 | EUR | 870,000 | UBS AG | 7/15/2022 | 22,461 |
USD | 993,237 | GBP | 813,270 | Barclays Bank PLC | 7/15/2022 | 3,113 |
USD | 2,380,077 | GBP | 1,893,926 | Brown Brothers Harriman | 7/15/2022 | 74,296 |
USD | 3,284,226 | GBP | 2,584,325 | Deutsche Bank AG | 7/15/2022 | 137,914 |
USD | 934,061 | GBP | 761,295 | HSBC Bank | 7/15/2022 | 7,215 |
USD | 3,258,091 | GBP | 2,523,147 | Morgan Stanley Capital Services, Inc. | 7/15/2022 | 186,261 |
USD | 3,675,784 | GBP | 2,962,883 | State Street Bank Corp. | 7/15/2022 | 68,591 |
USD | 2,004,548 | JPY | 259,483,817 | Brown Brothers Harriman | 7/15/2022 | 91,005 |
USD | 2,161,672 | NOK | 20,726,670 | Deutsche Bank AG | 7/15/2022 | 57,068 |
USD | 1,141,285 | NOK | 10,421,000 | Goldman Sachs International | 7/15/2022 | 83,128 |
USD | 4,158,663 | NOK | 39,929,745 | Morgan Stanley Capital Services, Inc. | 7/15/2022 | 104,162 |
USD | 967,861 | NOK | 9,060,000 | UBS AG | 7/15/2022 | 47,901 |
USD | 5,125,997 | NZD | 7,523,049 | Deutsche Bank AG | 7/15/2022 | 427,712 |
USD | 2,282,479 | NZD | 3,464,912 | Morgan Stanley Capital Services, Inc. | 7/15/2022 | 118,576 |
USD | 1,118,428 | SEK | 11,188,177 | Deutsche Bank AG | 7/15/2022 | 24,392 |
USD | 1,030,873 | SEK | 10,091,772 | UBS AG | 7/15/2022 | 44,049 |
$2,586,699 | ||||||
Liability Derivatives | ||||||
AUD | 1,780,665 | USD | 1,315,528 | Brown Brothers Harriman | 7/15/2022 | $(86,372) |
AUD | 154,750 | USD | 116,216 | JPMorgan Chase Bank N.A. | 7/15/2022 | (9,395) |
AUD | 2,749,206 | USD | 2,067,664 | Merrill Lynch International | 7/15/2022 | (169,943) |
AUD | 616,100 | USD | 463,632 | Morgan Stanley Capital Services, Inc. | 7/15/2022 | (38,351) |
CAD | 1,036,145 | USD | 825,242 | Brown Brothers Harriman | 7/15/2022 | (20,257) |
CAD | 627,366 | USD | 502,582 | Deutsche Bank AG | 7/15/2022 | (15,179) |
CAD | 5,876,045 | USD | 4,694,676 | Merrill Lynch International | 7/15/2022 | (129,554) |
CAD | 3,836,317 | USD | 3,045,645 | State Street Bank Corp. | 7/15/2022 | (65,194) |
DKK | 3,369,185 | USD | 502,390 | Deutsche Bank AG | 7/15/2022 | (27,384) |
EUR | 942,838 | USD | 993,174 | Barclays Bank PLC | 7/15/2022 | (4,498) |
EUR | 655,573 | USD | 702,235 | Brown Brothers Harriman | 7/15/2022 | (14,790) |
EUR | 1,664,359 | USD | 1,761,736 | Deutsche Bank AG | 9/21/2022 | (7,864) |
EUR | 7,606,065 | USD | 8,134,813 | HSBC Bank | 7/15/2022 | (158,961) |
EUR | 1,006,502 | USD | 1,068,791 | JPMorgan Chase Bank N.A. | 7/15/2022 | (13,355) |
EUR | 1,182,341 | USD | 1,267,770 | Merrill Lynch International | 7/15/2022 | (27,946) |
EUR | 2,090,000 | USD | 2,208,792 | Morgan Stanley Capital Services, Inc. | 7/15/2022 | (17,181) |
EUR | 3,605,941 | USD | 3,814,079 | UBS AG | 7/15/2022 | (32,826) |
GBP | 886,000 | USD | 1,090,216 | Brown Brothers Harriman | 7/15/2022 | (11,546) |
GBP | 576,851 | USD | 756,030 | Deutsche Bank AG | 7/15/2022 | (53,737) |
GBP | 1,504,021 | USD | 1,853,001 | Deutsche Bank AG | 9/21/2022 | (19,417) |
GBP | 1,230,403 | USD | 1,544,818 | JPMorgan Chase Bank N.A. | 7/15/2022 | (46,851) |
GBP | 793,561 | USD | 1,041,191 | Merrill Lynch International | 7/15/2022 | (75,063) |
GBP | 1,009,043 | USD | 1,232,839 | State Street Bank Corp. | 9/21/2022 | (2,693) |
JPY | 133,824,548 | USD | 1,060,351 | Barclays Bank PLC | 7/15/2022 | (73,472) |
JPY | 18,511,933 | USD | 137,895 | Brown Brothers Harriman | 7/15/2022 | (1,380) |
JPY | 180,229,757 | USD | 1,471,768 | Merrill Lynch International | 7/15/2022 | (142,677) |
JPY | 138,731,666 | USD | 1,080,577 | Morgan Stanley Capital Services, Inc. | 7/15/2022 | (57,511) |
NOK | 10,219,593 | USD | 1,061,061 | Barclays Bank PLC | 7/15/2022 | (23,354) |
NOK | 30,070,792 | USD | 3,182,177 | Goldman Sachs International | 7/15/2022 | (128,762) |
NOK | 39,865,000 | USD | 4,600,934 | HSBC Bank | 7/15/2022 | (553,008) |
Forward Foreign Currency Exchange Contracts - continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Liability Derivatives - continued | ||||||
NOK | 19,554,008 | USD | 1,995,576 | Morgan Stanley Capital Services, Inc. | 7/15/2022 | $(10,045) |
NZD | 1,968,139 | USD | 1,269,635 | Brown Brothers Harriman | 7/15/2022 | (40,495) |
NZD | 4,865,385 | USD | 3,182,443 | JPMorgan Chase Bank N.A. | 7/15/2022 | (143,918) |
SEK | 34,649,557 | USD | 3,669,748 | Deutsche Bank AG | 7/15/2022 | (281,543) |
USD | 850,050 | CAD | 1,104,102 | Citibank N.A. | 7/15/2022 | (7,732) |
USD | 1,413,660 | CAD | 1,838,463 | HSBC Bank | 7/15/2022 | (14,648) |
USD | 398,431 | CAD | 513,000 | State Street Bank Corp. | 7/15/2022 | (121) |
USD | 502,585 | EUR | 481,082 | JPMorgan Chase Bank N.A. | 7/15/2022 | (1,887) |
USD | 805,494 | EUR | 769,995 | State Street Bank Corp. | 7/15/2022 | (1,936) |
USD | 698,960 | GBP | 575,463 | State Street Bank Corp. | 7/15/2022 | (1,643) |
$(2,532,489) |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Ultra Bond | Long | USD | 31 | $4,784,656 | September – 2022 | $6,881 |
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
Euro-Schatz 2 yr | Short | EUR | 89 | $10,179,687 | September – 2022 | $(62,880) |
U.S. Treasury Note 2 yr | Short | USD | 49 | 10,290,765 | September – 2022 | (27,257) |
$(90,137) |
Financial Statements | Statement of Assets and Liabilities (unaudited) |
At 6/30/22Assets | |
Investments in unaffiliated issuers, at value (identified cost, $217,374,265) | $197,878,076 |
Investments in affiliated issuers, at value (identified cost, $1,656,792) | 1,656,634 |
Foreign currency, at value (identified cost, $67) | 81 |
Receivables for | |
Forward foreign currency exchange contracts | 2,586,699 |
Net daily variation margin on open futures contracts | 13,328 |
Fund shares sold | 812 |
Interest and dividends | 672,941 |
Other assets | 743 |
Total assets | $202,809,314 |
Liabilities | |
Payables for | |
Forward foreign currency exchange contracts | $2,532,489 |
Investments purchased | 1,203,502 |
Fund shares reacquired | 76,236 |
Payable to affiliates | |
Investment adviser | 5,261 |
Administrative services fee | 232 |
Shareholder servicing costs | 24 |
Distribution and/or service fees | 1,342 |
Payable for independent Trustees' compensation | 64 |
Accrued expenses and other liabilities | 80,895 |
Total liabilities | $3,900,045 |
Net assets | $198,909,269 |
Net assets consist of | |
Paid-in capital | $193,532,633 |
Total distributable earnings (loss) | 5,376,636 |
Net assets | $198,909,269 |
Shares of beneficial interest outstanding | 20,207,456 |
Net assets | Shares outstanding | Net asset value per share | |
Initial Class | $100,282,749 | 10,120,387 | $9.91 |
Service Class | 98,626,520 | 10,087,069 | 9.78 |
Financial Statements | Statement of Operations (unaudited) |
Six months ended 6/30/22 | |
Net investment income (loss) | |
Income | |
Interest | $7,155,786 |
Dividends from affiliated issuers | 1,194 |
Other | 4 |
Total investment income | $7,156,984 |
Expenses | |
Management fee | $557,176 |
Distribution and/or service fees | 137,681 |
Shareholder servicing costs | 2,665 |
Administrative services fee | 21,616 |
Independent Trustees' compensation | 2,637 |
Custodian fee | 14,784 |
Shareholder communications | 3,203 |
Audit and tax fees | 23,557 |
Legal fees | 679 |
Miscellaneous | 14,960 |
Total expenses | $778,958 |
Reduction of expenses by investment adviser | (15,679) |
Net expenses | $763,279 |
Net investment income (loss) | $6,393,705 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $(2,348,901) |
Affiliated issuers | (35) |
Futures contracts | 491,021 |
Forward foreign currency exchange contracts | (148,261) |
Foreign currency | (24,926) |
Net realized gain (loss) | $(2,031,102) |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $(45,301,674) |
Affiliated issuers | (158) |
Futures contracts | (74,029) |
Forward foreign currency exchange contracts | 206,843 |
Translation of assets and liabilities in foreign currencies | (17,663) |
Net unrealized gain (loss) | $(45,186,681) |
Net realized and unrealized gain (loss) | $(47,217,783) |
Change in net assets from operations | $(40,824,078) |
Financial Statements | Statements of Changes in Net Assets |
Six months ended | Year ended | |
6/30/22 (unaudited) | 12/31/21 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $6,393,705 | $7,049,975 |
Net realized gain (loss) | (2,031,102) | 14,982,442 |
Net unrealized gain (loss) | (45,186,681) | (17,972,564) |
Change in net assets from operations | $(40,824,078) | $4,059,853 |
Total distributions to shareholders | $— | $(6,632,339) |
Change in net assets from fund share transactions | $(9,167,884) | $(7,574,086) |
Total change in net assets | $(49,991,962) | $(10,146,572) |
Net assets | ||
At beginning of period | 248,901,231 | 259,047,803 |
At end of period | $198,909,269 | $248,901,231 |
Financial Statements | Financial Highlights |
Initial Class | Six months ended | Year ended | ||||
6/30/22 (unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |
Net asset value, beginning of period | $11.93 | $12.06 | $10.81 | $10.15 | $10.81 | $9.98 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.32 | $0.34 | $0.05 | $0.12 | $0.19 | $0.13 |
Net realized and unrealized gain (loss) | (2.34) | (0.14) | 1.40 | 0.72 | (0.67) | 0.70 |
Total from investment operations | $(2.02) | $0.20 | $1.45 | $0.84 | $(0.48) | $0.83 |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.13) | $(0.05) | $(0.18) | $(0.18) | $— |
From net realized gain | — | (0.20) | (0.15) | — | — | — |
Total distributions declared to shareholders | $— | $(0.33) | $(0.20) | $(0.18) | $(0.18) | $— |
Net asset value, end of period (x) | $9.91 | $11.93 | $12.06 | $10.81 | $10.15 | $10.81 |
Total return (%) (k)(r)(s)(x) | (16.93)(n) | 1.63 | 13.55 | 8.26 | (4.47) | 8.32 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 0.58(a) | 0.57 | 0.58 | 0.57 | 0.57 | 0.56 |
Expenses after expense reductions | 0.56(a) | 0.56 | 0.57 | 0.56 | 0.56 | 0.55 |
Net investment income (loss) | 5.87(a)(l) | 2.88 | 0.45 | 1.11 | 1.78 | 1.28 |
Portfolio turnover | 72(n) | 96 | 46 | 62 | 63 | 40 |
Net assets at end of period (000 omitted) | $100,283 | $126,161 | $132,577 | $131,221 | $134,599 | $162,429 |
Service Class | Six months ended | Year ended | ||||
6/30/22 (unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |
Net asset value, beginning of period | $11.78 | $11.92 | $10.69 | $10.03 | $10.68 | $9.89 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.30 | $0.31 | $0.02 | $0.09 | $0.16 | $0.11 |
Net realized and unrealized gain (loss) | (2.30) | (0.15) | 1.38 | 0.72 | (0.66) | 0.68 |
Total from investment operations | $(2.00) | $0.16 | $1.40 | $0.81 | $(0.50) | $0.79 |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.10) | $(0.02) | $(0.15) | $(0.15) | $— |
From net realized gain | — | (0.20) | (0.15) | — | — | — |
Total distributions declared to shareholders | $— | $(0.30) | $(0.17) | $(0.15) | $(0.15) | $— |
Net asset value, end of period (x) | $9.78 | $11.78 | $11.92 | $10.69 | $10.03 | $10.68 |
Total return (%) (k)(r)(s)(x) | (16.98)(n) | 1.32 | 13.21 | 8.05 | (4.70) | 7.99 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 0.83(a) | 0.82 | 0.83 | 0.82 | 0.82 | 0.81 |
Expenses after expense reductions | 0.81(a) | 0.81 | 0.82 | 0.81 | 0.81 | 0.80 |
Net investment income (loss) | 5.62(a)(l) | 2.64 | 0.19 | 0.86 | 1.54 | 1.03 |
Portfolio turnover | 72(n) | 96 | 46 | 62 | 63 | 40 |
Net assets at end of period (000 omitted) | $98,627 | $122,740 | $126,471 | $125,926 | $131,678 | $165,418 |
(a) | Annualized. |
(d) | Per share data is based on average shares outstanding. |
(k) | The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown. |
(l) | Recognition of net investment income by the fund may be affected by inflation/deflation adjustments through period end and the actual annual net investment income ratio may differ. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(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 | $— | $91,112,592 | $— | $91,112,592 |
Non - U.S. Sovereign Debt | — | 99,687,964 | — | 99,687,964 |
Municipal Bonds | — | 953,581 | — | 953,581 |
U.S. Corporate Bonds | — | 1,206,225 | — | 1,206,225 |
Residential Mortgage-Backed Securities | — | 1,720,835 | — | 1,720,835 |
Commercial Mortgage-Backed Securities | — | 3,196,879 | — | 3,196,879 |
Mutual Funds | 1,656,634 | — | — | 1,656,634 |
Total | $1,656,634 | $197,878,076 | $— | $199,534,710 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $6,881 | $— | $— | $6,881 |
Futures Contracts – Liabilities | (90,137) | — | — | (90,137) |
Forward Foreign Currency Exchange Contracts – Assets | — | 2,586,699 | — | 2,586,699 |
Forward Foreign Currency Exchange Contracts – Liabilities | — | (2,532,489) | — | (2,532,489) |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Interest Rate | Futures Contracts | $6,881 | $(90,137) |
Foreign Exchange | Forward Foreign Currency Exchange Contracts | 2,586,699 | (2,532,489) |
Total | $2,593,580 | $(2,622,626) |
Risk | Futures Contracts | Forward Foreign Currency Exchange Contracts | ||
Interest Rate | $491,021 | $— | ||
Foreign Exchange | — | (148,261) | ||
Total | $491,021 | $(148,261) |
Risk | Futures Contracts | Forward Foreign Currency Exchange Contracts | ||
Interest Rate | $(74,029) | $— | ||
Foreign Exchange | — | 206,843 | ||
Total | $(74,029) | $206,843 |
Year ended 12/31/21 | |
Ordinary income (including any short-term capital gains) | $3,482,285 |
Long-term capital gains | 3,150,054 |
Total distributions | $6,632,339 |
As of 6/30/22 | |
Cost of investments | $219,636,538 |
Gross appreciation | 564,245 |
Gross depreciation | (20,666,073) |
Net unrealized appreciation (depreciation) | $(20,101,828) |
As of 12/31/21 | |
Undistributed ordinary income | 10,065,802 |
Undistributed long-term capital gain | 11,008,773 |
Other temporary differences | (469) |
Net unrealized appreciation (depreciation) | 25,126,608 |
Six months ended 6/30/22 | Year ended 12/31/21 | ||
Initial Class | $— | $3,498,989 | |
Service Class | — | 3,133,350 | |
Total | $— | $6,632,339 |
Purchases | Sales | |
U.S. Government securities | $92,248,011 | $75,558,154 |
Non-U.S. Government securities | 69,492,933 | 94,836,240 |
Six months ended 6/30/22 | Year ended 12/31/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Initial Class | 100,187 | $1,005,699 | 223,436 | $2,667,109 | |
Service Class | 342,644 | 3,551,734 | 1,067,266 | 12,419,057 | |
442,831 | $4,557,433 | 1,290,702 | $15,086,166 |
Six months ended 6/30/22 | Year ended 12/31/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Initial Class | — | $— | 291,582 | $3,498,989 | |
Service Class | — | — | 263,972 | 3,133,350 | |
— | $— | 555,554 | $6,632,339 | ||
Shares reacquired | |||||
Initial Class | (558,691) | $(6,319,581) | (931,878) | $(11,261,662) | |
Service Class | (672,995) | (7,405,736) | (1,526,352) | (18,030,929) | |
(1,231,686) | $(13,725,317) | (2,458,230) | $(29,292,591) | ||
Net change | |||||
Initial Class | (458,504) | $(5,313,882) | (416,860) | $(5,095,564) | |
Service Class | (330,351) | (3,854,002) | (195,114) | (2,478,522) | |
(788,855) | $(9,167,884) | (611,974) | $(7,574,086) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $157,672 | $35,320,068 | $33,820,913 | $(35) | $(158) | $1,656,634 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $1,194 | $— |
Value Portfolio
1 | |
2 | |
3 | |
4 | |
9 | |
10 | |
11 | |
12 | |
14 | |
20 | |
21 | |
21 | |
21 | |
21 |
Black Hills Corp. | 1.7% |
Umpqua Holdings Corp. | 1.6% |
SLM Corp. | 1.6% |
Prosperity Bancshares, Inc. | 1.6% |
Skechers USA, Inc., “A” | 1.5% |
Prestige Consumer Healthcare, Inc. | 1.5% |
Cathay General Bancorp, Inc. | 1.5% |
LKQ Corp. | 1.4% |
International Game Technology PLC | 1.4% |
Plexus Corp. | 1.4% |
Financials | 23.6% |
Consumer Discretionary | 13.9% |
Materials | 11.9% |
Industrials | 11.6% |
Information Technology | 8.5% |
Health Care | 8.1% |
Energy | 6.5% |
Real Estate | 6.2% |
Utilities | 5.3% |
Consumer Staples | 2.7% |
Communication Services | 0.6% |
(g) | The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and S&P Global Market Intelligence Inc. (“S&P Global Market Intelligence”). GICS is a service mark of MSCI and S&P Global Market Intelligence and has been licensed for use by MFS. MFS has applied its own internal sector/industry classification methodology for equity securities and non-equity securities that are unclassified by GICS. |
January 1, 2022 through June 30, 2022
Share Class | Annualized Expense Ratio | Beginning Account Value 1/01/22 | Ending Account Value 6/30/22 | Expenses Paid During Period (p) 1/01/22-6/30/22 | |
Initial Class | Actual | 0.88% | $1,000.00 | $852.63 | $4.04 |
Hypothetical (h) | 0.88% | $1,000.00 | $1,020.43 | $4.41 | |
Service Class | Actual | 1.13% | $1,000.00 | $850.93 | $5.19 |
Hypothetical (h) | 1.13% | $1,000.00 | $1,019.19 | $5.66 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class's annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – 98.9% | ||||
Aerospace & Defense – 2.3% | ||||
CACI International, Inc., “A” (a) | 1,789 | $ 504,104 | ||
KBR, Inc. | 11,245 | 544,146 | ||
$1,048,250 | ||||
Apparel Manufacturers – 2.3% | ||||
PVH Corp. | 5,827 | $ 331,556 | ||
Skechers USA, Inc., “A” (a) | 19,393 | 690,003 | ||
$1,021,559 | ||||
Automotive – 3.7% | ||||
LKQ Corp. | 12,544 | $ 615,785 | ||
Methode Electronics, Inc. | 13,812 | 511,597 | ||
Stoneridge, Inc. (a) | 7,859 | 134,782 | ||
Visteon Corp. (a) | 3,806 | 394,225 | ||
$1,656,389 | ||||
Brokerage & Asset Managers – 0.8% | ||||
Focus Financial Partners, “A” (a) | 10,068 | $ 342,916 | ||
Business Services – 2.6% | ||||
HireRight Holdings Corp. (a) | 23,847 | $ 338,866 | ||
Paya, Inc. (a) | 76,402 | 501,961 | ||
TaskUs, Inc., “A” (a) | 8,317 | 140,224 | ||
WNS (Holdings) Ltd., ADR (a) | 2,909 | 217,128 | ||
$1,198,179 | ||||
Chemicals – 1.0% | ||||
Element Solutions, Inc. | 26,092 | $ 464,438 | ||
Computer Software – 1.4% | ||||
ACI Worldwide, Inc. (a) | 13,639 | $ 353,114 | ||
Everbridge, Inc. (a) | 5,483 | 152,921 | ||
Sabre Corp. (a) | 24,544 | 143,091 | ||
$649,126 | ||||
Computer Software - Systems – 1.6% | ||||
Softchoice Corp. (l) | 23,473 | $ 410,486 | ||
Verint Systems, Inc. (a) | 7,679 | 325,205 | ||
$735,691 | ||||
Construction – 0.8% | ||||
Toll Brothers, Inc. | 8,256 | $ 368,218 | ||
Consumer Products – 2.9% | ||||
Energizer Holdings, Inc. | 8,229 | $ 233,292 | ||
Newell Brands, Inc. | 19,750 | 376,040 | ||
Prestige Consumer Healthcare, Inc. (a) | 11,571 | 680,375 | ||
$1,289,707 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Consumer Services – 1.3% | ||||
Bright Horizons Family Solutions, Inc. (a) | 3,217 | $ 271,901 | ||
Grand Canyon Education, Inc. (a) | 3,159 | 297,546 | ||
$569,447 | ||||
Containers – 5.0% | ||||
Ardagh Metal Packaging S.A. | 56,328 | $ 343,601 | ||
Berry Global, Inc. (a) | 10,940 | 597,762 | ||
Graphic Packaging Holding Co. | 26,097 | 534,988 | ||
Pactiv Evergreen, Inc. | 26,518 | 264,119 | ||
Silgan Holdings, Inc. | 12,549 | 518,901 | ||
$2,259,371 | ||||
Electrical Equipment – 2.3% | ||||
nVent Electric PLC | 11,105 | $ 347,920 | ||
TriMas Corp. | 16,927 | 468,708 | ||
Vertiv Holdings Co. | 29,554 | 242,934 | ||
$1,059,562 | ||||
Electronics – 2.4% | ||||
Cohu, Inc. (a) | 16,580 | $ 460,095 | ||
Plexus Corp. (a) | 7,782 | 610,887 | ||
$1,070,982 | ||||
Energy - Independent – 3.1% | ||||
CNX Resources Corp. (a) | 28,866 | $ 475,134 | ||
Magnolia Oil & Gas Corp., “A” | �� | 18,459 | 387,455 | |
Viper Energy Partners LP | 20,187 | 538,589 | ||
$1,401,178 | ||||
Food & Beverages – 2.2% | ||||
Hostess Brands, Inc. (a) | 18,476 | $ 391,876 | ||
Nomad Foods Ltd. (a) | 29,103 | 581,769 | ||
$973,645 | ||||
Furniture & Appliances – 0.6% | ||||
IMAX Corp. (a) | 15,892 | $ 268,416 | ||
Gaming & Lodging – 1.4% | ||||
International Game Technology PLC | 33,060 | $ 613,594 | ||
General Merchandise – 0.6% | ||||
Five Below, Inc. (a) | 2,540 | $ 288,112 | ||
Insurance – 4.1% | ||||
CNO Financial Group, Inc. | 19,365 | $ 350,313 | ||
Everest Re Group Ltd. | 1,578 | 442,282 | ||
Hanover Insurance Group, Inc. | 3,780 | 552,825 | ||
Selective Insurance Group, Inc. | 5,947 | 517,032 | ||
$1,862,452 | ||||
Leisure & Toys – 1.1% | ||||
Brunswick Corp. | 3,672 | $ 240,075 | ||
Funko, Inc., “A” (a) | 10,981 | 245,096 | ||
$485,171 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Machinery & Tools – 3.9% | ||||
ESAB Corp. | 7,355 | $ 321,781 | ||
Flowserve Corp. | 16,449 | 470,935 | ||
ITT, Inc. | 2,726 | 183,296 | ||
Regal Rexnord Corp. | 3,686 | 418,435 | ||
Timken Co. | 7,032 | 373,048 | ||
$1,767,495 | ||||
Medical & Health Technology & Services – 3.2% | ||||
ICON PLC (a) | 1,670 | $ 361,889 | ||
Premier, Inc., “A” | 14,707 | 524,746 | ||
Syneos Health, Inc. (a) | 7,686 | 550,932 | ||
$1,437,567 | ||||
Medical Equipment – 2.8% | ||||
Agiliti Health, Inc. (a) | 17,324 | $ 355,315 | ||
Envista Holdings Corp. (a) | 11,218 | 432,342 | ||
Maravai Lifesciences Holdings, Inc., “A” (a) | 5,400 | 153,414 | ||
Quidel Corp. (a) | 3,192 | 310,198 | ||
$1,251,269 | ||||
Metals & Mining – 1.4% | ||||
Arconic Corp. (a) | 15,282 | $ 428,660 | ||
Kaiser Aluminum Corp. | 2,452 | 193,929 | ||
$622,589 | ||||
Natural Gas - Distribution – 2.4% | ||||
New Jersey Resources Corp. | 12,866 | $ 572,923 | ||
ONE Gas, Inc. | 6,211 | 504,271 | ||
$1,077,194 | ||||
Natural Gas - Pipeline – 0.9% | ||||
Plains GP Holdings LP | 37,386 | $ 385,824 | ||
Oil Services – 2.5% | ||||
ChampionX Corp. | 27,182 | $ 539,563 | ||
Expro Group Holdings N.V. (a) | 25,596 | 294,866 | ||
Helmerich & Payne | 7,236 | 311,582 | ||
$1,146,011 | ||||
Other Banks & Diversified Financials – 19.1% | ||||
Air Lease Corp. | 12,631 | $ 422,254 | ||
Bank of Hawaii Corp. | 7,517 | 559,265 | ||
Brookline Bancorp, Inc. | 31,807 | 423,351 | ||
Cathay General Bancorp, Inc. | 17,314 | 677,843 | ||
East West Bancorp, Inc. | 6,324 | 409,795 | ||
Element Fleet Management Corp. (l) | 52,496 | 547,309 | ||
Encore Capital Group, Inc. (a) | 910 | 52,571 | ||
First Hawaiian, Inc. | 18,062 | 410,188 | ||
First Interstate BancSystem, Inc. | 14,332 | 546,193 | ||
Hanmi Financial Corp. | 15,578 | 349,570 | ||
Prosperity Bancshares, Inc. | 10,374 | 708,233 | ||
Sandy Spring Bancorp, Inc. | 7,904 | 308,809 | ||
SLM Corp. | 45,330 | 722,560 | ||
Texas Capital Bancshares, Inc. (a) | 5,682 | 299,100 | ||
Textainer Group Holdings Ltd. | 9,838 | 269,660 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Other Banks & Diversified Financials – continued | ||||
UMB Financial Corp. | 6,355 | $ 547,166 | ||
Umpqua Holdings Corp. | 43,728 | 733,319 | ||
Wintrust Financial Corp. | 3,098 | 248,305 | ||
Zions Bancorp NA | 8,029 | 408,676 | ||
$8,644,167 | ||||
Pharmaceuticals – 0.6% | ||||
Organon & Co. | 8,530 | $ 287,887 | ||
Real Estate – 7.4% | ||||
Brixmor Property Group, Inc., REIT | 10,954 | $ 221,380 | ||
Broadstone Net Lease, Inc., REIT | 26,017 | 533,609 | ||
Douglas Emmett, Inc., REIT | 6,905 | 154,534 | ||
Empire State Realty Trust, REIT, “A” | 44,978 | 316,195 | ||
Industrial Logistics Properties Trust, REIT | 21,095 | 297,018 | ||
Life Storage, Inc., REIT | 1,699 | 189,710 | ||
LXP Industrial Trust, REIT | 16,777 | 180,185 | ||
National Storage Affiliates Trust, REIT | 6,726 | 336,771 | ||
Phillips Edison & Co., REIT | 17,466 | 583,539 | ||
Two Harbors Investment Corp., REIT | 104,351 | 519,668 | ||
$3,332,609 | ||||
Restaurants – 0.7% | ||||
Jack in the Box, Inc. | 5,699 | $ 319,486 | ||
Specialty Chemicals – 3.7% | ||||
Avient Corp. | 11,771 | $ 471,781 | ||
Axalta Coating Systems Ltd. (a) | 15,116 | 334,215 | ||
Diversey Holdings Ltd. (a) | 78,443 | 517,724 | ||
Quaker Chemical Corp. | 1,523 | 227,719 | ||
Univar Solutions, Inc. (a) | 5,169 | 128,553 | ||
$1,679,992 | ||||
Specialty Stores – 2.4% | ||||
Monro Muffler Brake, Inc. | 6,204 | $ 266,028 | ||
Urban Outfitters, Inc. (a) | 25,790 | 481,241 | ||
Zumiez, Inc. (a) | 12,724 | 330,824 | ||
$1,078,093 | ||||
Trucking – 1.5% | ||||
Schneider National, Inc. | 13,915 | $ 311,418 | ||
XPO Logistics, Inc. (a) | 7,893 | 380,127 | ||
$691,545 | ||||
Utilities - Electric Power – 2.9% | ||||
Black Hills Corp. | 10,459 | $ 761,101 | ||
Portland General Electric Co. | 11,723 | 566,573 | ||
$1,327,674 | ||||
Total Common Stocks (Identified Cost, $36,973,602) | $44,675,805 | |||
Investment Companies (h) – 0.8% | ||||
Money Market Funds – 0.8% | ||||
MFS Institutional Money Market Portfolio, 1.21% (v) (Identified Cost, $370,741) | 370,778 | $ 370,741 |
Issuer | Shares/Par | Value ($) | ||
Collateral for Securities Loaned – 0.1% | ||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.55% (j) (Identified Cost, $32,153) | 32,153 | $ 32,153 | ||
Other Assets, Less Liabilities – 0.2% | 73,611 | |||
Net Assets – 100.0% | $45,152,310 |
(a) | Non-income producing security. | |||
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $370,741 and $44,707,958, respectively. | |||
(j) | The rate quoted is the annualized seven-day yield of the fund at period end. | |||
(l) | A portion of this security is on loan. See Note 2 for additional information. | |||
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
The following abbreviations are used in this report and are defined: | |
ADR | American Depositary Receipt |
REIT | Real Estate Investment Trust |
Financial Statements | Statement of Assets and Liabilities (unaudited) |
At 6/30/22Assets | |
Investments in unaffiliated issuers, at value, including $31,978 of securities on loan (identified cost, $37,005,755) | $44,707,958 |
Investments in affiliated issuers, at value (identified cost, $370,741) | 370,741 |
Receivables for | |
Investments sold | 131,542 |
Fund shares sold | 4,666 |
Interest and dividends | 51,751 |
Receivable from investment adviser | 9,682 |
Other assets | 280 |
Total assets | $45,276,620 |
Liabilities | |
Payables for | |
Investments purchased | $49,974 |
Fund shares reacquired | 1,045 |
Collateral for securities loaned, at value | 32,153 |
Payable to affiliates | |
Administrative services fee | 96 |
Shareholder servicing costs | 22 |
Distribution and/or service fees | 177 |
Payable for independent Trustees' compensation | 60 |
Accrued expenses and other liabilities | 40,783 |
Total liabilities | $124,310 |
Net assets | $45,152,310 |
Net assets consist of | |
Paid-in capital | $25,070,751 |
Total distributable earnings (loss) | 20,081,559 |
Net assets | $45,152,310 |
Shares of beneficial interest outstanding | 4,664,859 |
Net assets | Shares outstanding | Net asset value per share | |
Initial Class | $32,350,205 | 3,329,653 | $9.72 |
Service Class | 12,802,105 | 1,335,206 | 9.59 |
Financial Statements | Statement of Operations (unaudited) |
Six months ended 6/30/22 | |
Net investment income (loss) | |
Income | |
Dividends | $464,512 |
Other | 2,333 |
Dividends from affiliated issuers | 888 |
Income on securities loaned | 802 |
Foreign taxes withheld | (3,114) |
Total investment income | $465,421 |
Expenses | |
Management fee | $227,077 |
Distribution and/or service fees | 16,998 |
Shareholder servicing costs | 2,508 |
Administrative services fee | 8,799 |
Independent Trustees' compensation | 1,528 |
Custodian fee | 2,588 |
Shareholder communications | 2,271 |
Audit and tax fees | 29,467 |
Legal fees | 167 |
Miscellaneous | 12,713 |
Total expenses | $304,116 |
Reduction of expenses by investment adviser | (65,087) |
Net expenses | $239,029 |
Net investment income (loss) | $226,392 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $3,744,321 |
Foreign currency | 11 |
Net realized gain (loss) | $3,744,332 |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $(11,869,546) |
Translation of assets and liabilities in foreign currencies | (41) |
Net unrealized gain (loss) | $(11,869,587) |
Net realized and unrealized gain (loss) | $(8,125,255) |
Change in net assets from operations | $(7,898,863) |
Financial Statements | Statements of Changes in Net Assets |
Six months ended | Year ended | |
6/30/22 (unaudited) | 12/31/21 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $226,392 | $284,504 |
Net realized gain (loss) | 3,744,332 | 11,782,149 |
Net unrealized gain (loss) | (11,869,587) | 3,812,772 |
Change in net assets from operations | $(7,898,863) | $15,879,425 |
Total distributions to shareholders | $— | $(1,651,131) |
Change in net assets from fund share transactions | $(2,155,116) | $(14,070,396) |
Total change in net assets | $(10,053,979) | $157,898 |
Net assets | ||
At beginning of period | 55,206,289 | 55,048,391 |
At end of period | $45,152,310 | $55,206,289 |
Financial Statements | Financial Highlights |
Initial Class | Six months ended | Year ended | ||||
6/30/22 (unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |
Net asset value, beginning of period | $11.40 | $8.77 | $9.33 | $8.45 | $11.13 | $10.79 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.05 | $0.06 | $0.07 | $0.10 | $0.08 | $0.05 |
Net realized and unrealized gain (loss) | (1.73) | 2.91 | 0.14 | 2.46 | (0.94) | 1.44 |
Total from investment operations | $(1.68) | $2.97 | $0.21 | $2.56 | $(0.86) | $1.49 |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.09) | $(0.08) | $(0.08) | $(0.06) | $(0.11) |
From net realized gain | — | (0.25) | (0.69) | (1.60) | (1.76) | (1.04) |
Total distributions declared to shareholders | $— | $(0.34) | $(0.77) | $(1.68) | $(1.82) | $(1.15) |
Net asset value, end of period (x) | $9.72 | $11.40 | $8.77 | $9.33 | $8.45 | $11.13 |
Total return (%) (k)(r)(s)(x) | (14.74)(n) | 34.05 | 4.19 | 33.65 | (10.78) | 15.24 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 1.14(a) | 1.12 | 1.14 | 1.13 | 1.11 | 1.08 |
Expenses after expense reductions | 0.88(a) | 0.88 | 0.88 | 0.88 | 0.88 | 0.88 |
Net investment income (loss) | 0.96(a) | 0.58 | 0.90 | 1.02 | 0.72 | 0.48 |
Portfolio turnover | 17(n) | 51 | 84 | 38 | 55 | 52 |
Net assets at end of period (000 omitted) | $32,350 | $40,980 | $44,834 | $41,098 | $36,665 | $45,470 |
Service Class | Six months ended | Year ended | ||||
6/30/22 (unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |
Net asset value, beginning of period | $11.27 | $8.67 | $9.25 | $8.38 | $11.05 | $10.72 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.04 | $0.04 | $0.05 | $0.07 | $0.05 | $0.03 |
Net realized and unrealized gain (loss) | (1.72) | 2.88 | 0.12 | 2.45 | (0.93) | 1.43 |
Total from investment operations | $(1.68) | $2.92 | $0.17 | $2.52 | $(0.88) | $1.46 |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.07) | $(0.06) | $(0.05) | $(0.03) | $(0.09) |
From net realized gain | — | (0.25) | (0.69) | (1.60) | (1.76) | (1.04) |
Total distributions declared to shareholders | $— | $(0.32) | $(0.75) | $(1.65) | $(1.79) | $(1.13) |
Net asset value, end of period (x) | $9.59 | $11.27 | $8.67 | $9.25 | $8.38 | $11.05 |
Total return (%) (k)(r)(s)(x) | (14.91)(n) | 33.87 | 3.73 | 33.43 | (11.00) | 15.01 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 1.39(a) | 1.37 | 1.39 | 1.38 | 1.36 | 1.33 |
Expenses after expense reductions | 1.13(a) | 1.13 | 1.13 | 1.13 | 1.13 | 1.13 |
Net investment income (loss) | 0.73(a) | 0.36 | 0.66 | 0.78 | 0.45 | 0.24 |
Portfolio turnover | 17(n) | 51 | 84 | 38 | 55 | 52 |
Net assets at end of period (000 omitted) | $12,802 | $14,227 | $10,215 | $9,518 | $8,387 | $10,907 |
(a) | Annualized. |
(d) | Per share data is based on average shares outstanding. |
(k) | The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Equity Securities | $44,675,805 | $— | $— | $44,675,805 |
Mutual Funds | 402,894 | — | — | 402,894 |
Total | $45,078,699 | $— | $— | $45,078,699 |
Year ended 12/31/21 | |
Ordinary income (including any short-term capital gains) | $1,311,100 |
Long-term capital gains | 340,031 |
Total distributions | $1,651,131 |
As of 6/30/22 | |
Cost of investments | $39,695,489 |
Gross appreciation | 8,077,436 |
Gross depreciation | (2,694,226) |
Net unrealized appreciation (depreciation) | $5,383,210 |
As of 12/31/21 | |
Undistributed ordinary income | 4,592,558 |
Undistributed long-term capital gain | 6,033,325 |
Other temporary differences | 42 |
Net unrealized appreciation (depreciation) | 17,354,497 |
Six months ended 6/30/22 | Year ended 12/31/21 | ||
Initial Class | $— | $1,259,904 | |
Service Class | — | 391,227 | |
Total | $— | $1,651,131 |
Up to $250 million | 0.90% |
In excess of $250 million | 0.85% |
Six months ended 6/30/22 | Year ended 12/31/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Initial Class | 50,315 | $552,673 | 431,095 | $4,511,414 | |
Service Class | 217,682 | 2,314,214 | 437,830 | 4,651,820 | |
267,997 | $2,866,887 | 868,925 | $9,163,234 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Initial Class | — | $— | 118,412 | $1,259,904 | |
Service Class | — | — | 37,189 | 391,227 | |
— | $— | 155,601 | $1,651,131 | ||
Shares reacquired | |||||
Initial Class | (314,196) | $(3,459,341) | (2,069,710) | $(20,828,539) | |
Service Class | (145,044) | (1,562,662) | (390,160) | (4,056,222) | |
(459,240) | $(5,022,003) | (2,459,870) | $(24,884,761) | ||
Net change | |||||
Initial Class | (263,881) | $(2,906,668) | (1,520,203) | $(15,057,221) | |
Service Class | 72,638 | 751,552 | 84,859 | 986,825 | |
(191,243) | $(2,155,116) | (1,435,344) | $(14,070,396) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $383,820 | $5,080,551 | $5,093,630 | $— | $— | $370,741 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $888 | $— |
1 | |
2 | |
3 | |
4 | |
10 | |
11 | |
12 | |
13 | |
15 | |
21 | |
22 | |
22 | |
22 | |
22 |
Hartford Financial Services Group, Inc. | 1.3% |
KBR, Inc. | 1.2% |
LKQ Corp. | 1.2% |
Arthur J. Gallagher & Co. | 1.2% |
Dollar Tree, Inc. | 1.2% |
Pioneer Natural Resources Co. | 1.1% |
Mid-America Apartment Communities, Inc., REIT | 1.0% |
Corteva, Inc. | 1.0% |
Assurant, Inc. | 1.0% |
L3Harris Technologies, Inc. | 1.0% |
Financials | 20.0% |
Industrials | 16.2% |
Consumer Discretionary | 10.6% |
Materials | 9.3% |
Information Technology | 7.8% |
Utilities | 7.7% |
Health Care | 7.2% |
Real Estate | 6.7% |
Energy | 6.6% |
Consumer Staples | 4.5% |
Communication Services | 1.9% |
(g) | The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and S&P Global Market Intelligence Inc. (“S&P Global Market Intelligence”). GICS is a service mark of MSCI and S&P Global Market Intelligence and has been licensed for use by MFS. MFS has applied its own internal sector/industry classification methodology for equity securities and non-equity securities that are unclassified by GICS. |
January 1, 2022 through June 30, 2022
Share Class | Annualized Expense Ratio | Beginning Account Value 1/01/22 | Ending Account Value 6/30/22 | Expenses Paid During Period (p) 1/01/22-6/30/22 | |
Initial Class | Actual | 0.79% | $1,000.00 | $854.82 | $3.63 |
Hypothetical (h) | 0.79% | $1,000.00 | $1,020.88 | $3.96 | |
Service Class | Actual | 1.04% | $1,000.00 | $853.88 | $4.78 |
Hypothetical (h) | 1.04% | $1,000.00 | $1,019.64 | $5.21 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class's annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – 98.1% | ||||
Aerospace & Defense – 3.8% | ||||
Howmet Aerospace, Inc. | 112,443 | $ 3,536,332 | ||
KBR, Inc. | 122,249 | 5,915,629 | ||
L3Harris Technologies, Inc. | 19,902 | 4,810,313 | ||
Leidos Holdings, Inc. | 36,753 | 3,701,395 | ||
$17,963,669 | ||||
Airlines – 0.8% | ||||
Alaska Air Group, Inc. (a) | 40,961 | $ 1,640,488 | ||
Delta Air Lines, Inc. (a) | 72,961 | 2,113,680 | ||
$3,754,168 | ||||
Apparel Manufacturers – 0.9% | ||||
PVH Corp. | 22,871 | $ 1,301,360 | ||
Skechers USA, Inc., “A” (a) | 86,307 | 3,070,803 | ||
$4,372,163 | ||||
Automotive – 2.2% | ||||
Aptiv PLC (a) | 23,810 | $ 2,120,757 | ||
Lear Corp. | 21,679 | 2,729,169 | ||
LKQ Corp. | 117,367 | 5,761,546 | ||
$10,611,472 | ||||
Broadcasting – 0.4% | ||||
Warner Bros. Discovery, Inc. (a) | 136,675 | $ 1,834,179 | ||
Brokerage & Asset Managers – 3.0% | ||||
Apollo Global Management, Inc. | 71,056 | $ 3,444,795 | ||
Cboe Global Markets, Inc. | 25,878 | 2,929,131 | ||
Invesco Ltd. | 107,355 | 1,731,636 | ||
Raymond James Financial, Inc. | 50,827 | 4,544,442 | ||
TPG, Inc. | 67,740 | 1,619,663 | ||
$14,269,667 | ||||
Business Services – 1.7% | ||||
Amdocs Ltd. | 56,260 | $ 4,687,020 | ||
Global Payments, Inc. | 29,823 | 3,299,617 | ||
$7,986,637 | ||||
Chemicals – 1.6% | ||||
Celanese Corp. | 25,763 | $ 3,029,987 | ||
Eastman Chemical Co. | 48,673 | 4,369,375 | ||
$7,399,362 | ||||
Computer Software – 0.9% | ||||
Black Knight, Inc. (a) | 33,012 | $ 2,158,655 | ||
Dun & Bradstreet Holdings, Inc. (a) | 129,006 | 1,938,960 | ||
$4,097,615 | ||||
Computer Software - Systems – 1.0% | ||||
Verint Systems, Inc. (a) | 36,530 | $ 1,547,045 | ||
Zebra Technologies Corp., “A” (a) | 10,800 | 3,174,660 | ||
$4,721,705 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Construction – 4.4% | ||||
Fortune Brands Home & Security, Inc. | 36,215 | $ 2,168,554 | ||
Masco Corp. | 66,600 | 3,369,960 | ||
Mid-America Apartment Communities, Inc., REIT | 28,536 | 4,984,383 | ||
Stanley Black & Decker, Inc. | 32,750 | 3,434,165 | ||
Toll Brothers, Inc. | 99,408 | 4,433,597 | ||
Vulcan Materials Co. | 17,708 | 2,516,307 | ||
$20,906,966 | ||||
Consumer Products – 1.3% | ||||
Energizer Holdings, Inc. | 41,002 | $ 1,162,407 | ||
International Flavors & Fragrances, Inc. | 15,151 | 1,804,787 | ||
Newell Brands, Inc. | 177,882 | 3,386,873 | ||
$6,354,067 | ||||
Consumer Services – 0.3% | ||||
Grand Canyon Education, Inc. (a) | 15,751 | $ 1,483,587 | ||
Containers – 3.6% | ||||
Avery Dennison Corp. | 15,348 | $ 2,484,381 | ||
Berry Global, Inc. (a) | 62,543 | 3,417,350 | ||
Crown Holdings, Inc. | 33,760 | 3,111,659 | ||
Graphic Packaging Holding Co. | 193,801 | 3,972,920 | ||
WestRock Co. | 106,915 | 4,259,494 | ||
$17,245,804 | ||||
Electrical Equipment – 2.2% | ||||
Johnson Controls International PLC | 90,920 | $ 4,353,249 | ||
Sensata Technologies Holding PLC | 70,286 | 2,903,515 | ||
TE Connectivity Ltd. | 26,747 | 3,026,423 | ||
$10,283,187 | ||||
Electronics – 3.1% | ||||
Corning, Inc. | 96,323 | $ 3,035,138 | ||
Flex Ltd. (a) | 152,653 | 2,208,889 | ||
Marvell Technology, Inc. | 52,317 | 2,277,359 | ||
NXP Semiconductors N.V. | 24,805 | 3,671,884 | ||
ON Semiconductor Corp. (a) | 74,999 | 3,773,199 | ||
$14,966,469 | ||||
Energy - Independent – 5.0% | ||||
Coterra Energy, Inc. | 105,875 | $ 2,730,516 | ||
Devon Energy Corp. | 83,122 | 4,580,853 | ||
Diamondback Energy, Inc. | 30,240 | 3,663,576 | ||
Hess Corp. | 42,889 | 4,543,661 | ||
Pioneer Natural Resources Co. | 22,918 | 5,112,548 | ||
Valero Energy Corp. | 29,619 | 3,147,907 | ||
$23,779,061 | ||||
Energy - Renewables – 0.8% | ||||
AES Corp. | 192,489 | $ 4,044,194 | ||
Engineering - Construction – 0.5% | ||||
Quanta Services, Inc. | 20,398 | $ 2,556,685 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Food & Beverages – 2.7% | ||||
Coca-Cola Europacific Partners PLC | 57,340 | $ 2,959,317 | ||
Ingredion, Inc. | 37,697 | 3,323,368 | ||
J.M. Smucker Co. | 22,696 | 2,905,315 | ||
Kellogg Co. | 52,658 | 3,756,622 | ||
$12,944,622 | ||||
Food & Drug Stores – 0.7% | ||||
Albertsons Cos., Inc., “A” | 131,955 | $ 3,525,838 | ||
Gaming & Lodging – 0.7% | ||||
Hyatt Hotels Corp. (a) | 25,442 | $ 1,880,418 | ||
International Game Technology PLC | 88,562 | 1,643,711 | ||
$3,524,129 | ||||
General Merchandise – 1.2% | ||||
Dollar Tree, Inc. (a) | 36,033 | $ 5,615,743 | ||
Insurance – 8.9% | ||||
American International Group, Inc. | 51,112 | $ 2,613,357 | ||
Arthur J. Gallagher & Co. | 34,735 | 5,663,194 | ||
Assurant, Inc. | 28,188 | 4,872,296 | ||
Cincinnati Financial Corp. | 16,628 | 1,978,399 | ||
Equitable Holdings, Inc. | 167,330 | 4,362,293 | ||
Everest Re Group Ltd. | 15,822 | 4,434,590 | ||
Hanover Insurance Group, Inc. | 18,223 | 2,665,114 | ||
Hartford Financial Services Group, Inc. | 95,096 | 6,222,131 | ||
Reinsurance Group of America, Inc. | 24,562 | 2,880,877 | ||
Voya Financial, Inc. | 47,345 | 2,818,448 | ||
Willis Towers Watson PLC | 20,013 | 3,950,366 | ||
$42,461,065 | ||||
Leisure & Toys – 2.0% | ||||
Brunswick Corp. | 36,896 | $ 2,412,260 | ||
Electronic Arts, Inc. | 21,554 | 2,622,044 | ||
Mattel, Inc. (a) | 124,803 | 2,786,851 | ||
Polaris, Inc. | 18,420 | 1,828,738 | ||
$9,649,893 | ||||
Machinery & Tools – 4.7% | ||||
Eaton Corp. PLC | 37,656 | $ 4,744,280 | ||
Ingersoll Rand, Inc. | 73,650 | 3,099,192 | ||
ITT, Inc. | 35,580 | 2,392,399 | ||
PACCAR, Inc. | 55,238 | 4,548,297 | ||
Regal Rexnord Corp. | 30,283 | 3,437,726 | ||
Wabtec Corp. | 50,037 | 4,107,037 | ||
$22,328,931 | ||||
Major Banks – 1.8% | ||||
Comerica, Inc. | 41,625 | $ 3,054,442 | ||
KeyCorp | 188,099 | 3,240,946 | ||
State Street Corp. | 34,684 | 2,138,269 | ||
$8,433,657 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Medical & Health Technology & Services – 3.3% | ||||
AmerisourceBergen Corp. | 30,754 | $ 4,351,076 | ||
ICON PLC (a) | 15,004 | 3,251,367 | ||
Laboratory Corp. of America Holdings | 14,469 | 3,390,955 | ||
Syneos Health, Inc. (a) | 25,684 | 1,841,029 | ||
Universal Health Services, Inc. | 29,035 | 2,924,115 | ||
$15,758,542 | ||||
Medical Equipment – 3.3% | ||||
Agilent Technologies, Inc. | 21,197 | $ 2,517,568 | ||
Dentsply Sirona, Inc. | 81,216 | 2,901,848 | ||
Hologic, Inc. (a) | 32,345 | 2,241,508 | ||
Maravai Lifesciences Holdings, Inc., “A” (a) | 41,123 | 1,168,304 | ||
PerkinElmer, Inc. | 25,671 | 3,650,930 | ||
Zimmer Biomet Holdings, Inc. | 30,543 | 3,208,847 | ||
$15,689,005 | ||||
Natural Gas - Distribution – 0.4% | ||||
Atmos Energy Corp. | 17,867 | $ 2,002,891 | ||
Natural Gas - Pipeline – 1.1% | ||||
Plains GP Holdings LP | 221,892 | $ 2,289,925 | ||
Targa Resources Corp. | 50,970 | 3,041,380 | ||
$5,331,305 | ||||
Network & Telecom – 0.9% | ||||
Motorola Solutions, Inc. | 20,399 | $ 4,275,630 | ||
Oil Services – 0.5% | ||||
Halliburton Co. | 81,194 | $ 2,546,244 | ||
Other Banks & Diversified Financials – 6.3% | ||||
Discover Financial Services | 21,546 | $ 2,037,821 | ||
East West Bancorp, Inc. | 35,717 | 2,314,462 | ||
Element Fleet Management Corp. (l) | 210,512 | 2,194,741 | ||
Northern Trust Corp. | 34,489 | 3,327,499 | ||
Prosperity Bancshares, Inc. | 38,414 | 2,622,524 | ||
Signature Bank | 12,208 | 2,187,796 | ||
SLM Corp. | 276,692 | 4,410,470 | ||
SVB Financial Group (a) | 5,825 | 2,300,817 | ||
Umpqua Holdings Corp. | 191,403 | 3,209,828 | ||
Wintrust Financial Corp. | 22,517 | 1,804,737 | ||
Zions Bancorp NA | 75,278 | 3,831,650 | ||
$30,242,345 | ||||
Pharmaceuticals – 0.6% | ||||
Organon & Co. | 78,583 | $ 2,652,176 | ||
Pollution Control – 1.2% | ||||
GFL Environmental, Inc. | 63,753 | $ 1,644,828 | ||
Republic Services, Inc. | 30,898 | 4,043,621 | ||
$5,688,449 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Real Estate – 5.6% | ||||
Boston Properties, Inc., REIT | 14,711 | $ 1,308,985 | ||
Brixmor Property Group, Inc., REIT | 151,320 | 3,058,177 | ||
Host Hotels & Resorts, Inc., REIT | 167,141 | 2,620,771 | ||
Life Storage, Inc., REIT | 36,234 | 4,045,888 | ||
Spirit Realty Capital, Inc., REIT | 55,025 | 2,078,845 | ||
STAG Industrial, Inc., REIT | 42,525 | 1,313,172 | ||
Sun Communities, Inc., REIT | 25,514 | 4,065,911 | ||
VICI Properties, Inc., REIT | 160,156 | 4,771,047 | ||
W.P. Carey, Inc., REIT | 43,488 | 3,603,416 | ||
$26,866,212 | ||||
Restaurants – 1.8% | ||||
Aramark | 98,870 | $ 3,028,388 | ||
Performance Food Group Co. (a) | 43,754 | 2,011,809 | ||
Wendy's Co. | 180,977 | 3,416,846 | ||
$8,457,043 | ||||
Specialty Chemicals – 3.4% | ||||
Ashland Global Holdings, Inc. | 36,865 | $ 3,798,938 | ||
Axalta Coating Systems Ltd. (a) | 135,226 | 2,989,847 | ||
Corteva, Inc. | 91,066 | 4,930,313 | ||
DuPont de Nemours, Inc. | 67,552 | 3,754,540 | ||
Univar Solutions, Inc. (a) | 33,718 | 838,567 | ||
$16,312,205 | ||||
Specialty Stores – 1.0% | ||||
Builders FirstSource, Inc. (a) | 25,183 | $ 1,352,327 | ||
Ross Stores, Inc. | 32,642 | 2,292,448 | ||
Urban Outfitters, Inc. (a) | 69,293 | 1,293,007 | ||
$4,937,782 | ||||
Telecommunications - Wireless – 0.8% | ||||
Liberty Broadband Corp. (a) | 31,506 | $ 3,643,354 | ||
Telephone Services – 0.2% | ||||
Altice USA, Inc., “A” (a) | 78,983 | $ 730,593 | ||
Trucking – 1.0% | ||||
Knight-Swift Transportation Holdings, Inc. | 51,276 | $ 2,373,566 | ||
XPO Logistics, Inc. (a) | 45,147 | 2,174,280 | ||
$4,547,846 | ||||
Utilities - Electric Power – 6.5% | ||||
CenterPoint Energy, Inc. | 114,584 | $ 3,389,395 | ||
CMS Energy Corp. | 65,278 | 4,406,265 | ||
Edison International | 42,078 | 2,661,013 | ||
Eversource Energy | 42,576 | 3,596,394 | ||
PG&E Corp. (a) | 456,039 | 4,551,269 | ||
Pinnacle West Capital Corp. | 49,366 | 3,609,642 | ||
Public Service Enterprise Group, Inc. | 73,575 | 4,655,826 | ||
Sempra Energy | 26,355 | 3,960,366 | ||
$30,830,170 | ||||
Total Common Stocks (Identified Cost, $367,045,335) | $467,626,327 |
Issuer | Shares/Par | Value ($) | ||
Preferred Stocks – 0.4% | ||||
Consumer Products – 0.4% | ||||
Henkel AG & Co. KGaA (Identified Cost, $2,620,734) | 29,584 | $ 1,822,330 | ||
Investment Companies (h) – 1.3% | ||||
Money Market Funds – 1.3% | ||||
MFS Institutional Money Market Portfolio, 1.21% (v) (Identified Cost, $6,351,163) | 6,351,556 | $ 6,350,921 | ||
Collateral for Securities Loaned – 0.0% | ||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.55% (j) (Identified Cost, $71,797) | 71,797 | $ 71,797 | ||
Other Assets, Less Liabilities – 0.2% | 764,698 | |||
Net Assets – 100.0% | $476,636,073 |
(a) | Non-income producing security. | |||
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $6,350,921 and $469,520,454, respectively. | |||
(j) | The rate quoted is the annualized seven-day yield of the fund at period end. | |||
(l) | A portion of this security is on loan. See Note 2 for additional information. | |||
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
The following abbreviations are used in this report and are defined: | |
REIT | Real Estate Investment Trust |
Financial Statements | Statement of Assets and Liabilities (unaudited) |
At 6/30/22Assets | |
Investments in unaffiliated issuers, at value, including $69,965 of securities on loan (identified cost, $369,737,866) | $469,520,454 |
Investments in affiliated issuers, at value (identified cost, $6,351,163) | 6,350,921 |
Cash | 39,126 |
Receivables for | |
Fund shares sold | 743,906 |
Interest and dividends | 632,344 |
Other assets | 1,780 |
Total assets | $477,288,531 |
Liabilities | |
Payables for | |
Fund shares reacquired | $492,584 |
Collateral for securities loaned, at value | 71,797 |
Payable to affiliates | |
Investment adviser | 19,454 |
Administrative services fee | 494 |
Shareholder servicing costs | 116 |
Distribution and/or service fees | 2,913 |
Accrued expenses and other liabilities | 65,100 |
Total liabilities | $652,458 |
Net assets | $476,636,073 |
Net assets consist of | |
Paid-in capital | $321,474,681 |
Total distributable earnings (loss) | 155,161,392 |
Net assets | $476,636,073 |
Shares of beneficial interest outstanding | 50,591,639 |
Net assets | Shares outstanding | Net asset value per share | |
Initial Class | $266,139,743 | 28,074,460 | $9.48 |
Service Class | 210,496,330 | 22,517,179 | 9.35 |
Financial Statements | Statement of Operations (unaudited) |
Six months ended 6/30/22 | |
Net investment income (loss) | |
Income | |
Dividends | $5,089,871 |
Dividends from affiliated issuers | 19,376 |
Other | 11,169 |
Income on securities loaned | 5 |
Foreign taxes withheld | (18,985) |
Total investment income | $5,101,436 |
Expenses | |
Management fee | $1,959,355 |
Distribution and/or service fees | 277,450 |
Shareholder servicing costs | 13,039 |
Administrative services fee | 44,197 |
Independent Trustees' compensation | 4,390 |
Custodian fee | 11,146 |
Shareholder communications | 5,059 |
Audit and tax fees | 30,251 |
Legal fees | 1,234 |
Miscellaneous | 17,457 |
Total expenses | $2,363,578 |
Reduction of expenses by investment adviser | (36,772) |
Net expenses | $2,326,806 |
Net investment income (loss) | $2,774,630 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $8,338,311 |
Affiliated issuers | (698) |
Foreign currency | 116 |
Net realized gain (loss) | $8,337,729 |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $(93,106,781) |
Affiliated issuers | (242) |
Translation of assets and liabilities in foreign currencies | (646) |
Net unrealized gain (loss) | $(93,107,669) |
Net realized and unrealized gain (loss) | $(84,769,940) |
Change in net assets from operations | $(81,995,310) |
Financial Statements | Statements of Changes in Net Assets |
Six months ended | Year ended | |
6/30/22 (unaudited) | 12/31/21 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $2,774,630 | $4,272,910 |
Net realized gain (loss) | 8,337,729 | 42,522,241 |
Net unrealized gain (loss) | (93,107,669) | 79,620,961 |
Change in net assets from operations | $(81,995,310) | $126,416,112 |
Total distributions to shareholders | $— | $(7,068,768) |
Change in net assets from fund share transactions | $14,208,646 | $11,028,583 |
Total change in net assets | $(67,786,664) | $130,375,927 |
Net assets | ||
At beginning of period | 544,422,737 | 414,046,810 |
At end of period | $476,636,073 | $544,422,737 |
Financial Statements | Financial Highlights |
Initial Class | Six months ended | Year ended | ||||
6/30/22 (unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |
Net asset value, beginning of period | $11.09 | $8.59 | $8.74 | $7.42 | $9.01 | $8.29 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.06 | $0.10 | $0.09 | $0.11 | $0.10 | $0.07 |
Net realized and unrealized gain (loss) | (1.67) | 2.55 | 0.19 | 2.09 | (1.03) | 1.03 |
Total from investment operations | $(1.61) | $2.65 | $0.28 | $2.20 | $(0.93) | $1.10 |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.08) | $(0.10) | $(0.12) | $(0.08) | $(0.11) |
From net realized gain | — | (0.07) | (0.33) | (0.76) | (0.58) | (0.27) |
Total distributions declared to shareholders | $— | $(0.15) | $(0.43) | $(0.88) | $(0.66) | $(0.38) |
Net asset value, end of period (x) | $9.48 | $11.09 | $8.59 | $8.74 | $7.42 | $9.01 |
Total return (%) (k)(r)(s)(x) | (14.52)(n) | 30.99 | 3.87 | 31.12 | (11.45) | 13.67 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 0.80(a) | 0.80 | 0.81 | 0.81 | 0.81 | 0.81 |
Expenses after expense reductions | 0.79(a) | 0.79 | 0.80 | 0.80 | 0.80 | 0.81 |
Net investment income (loss) | 1.16(a) | 0.97 | 1.22 | 1.31 | 1.13 | 0.82 |
Portfolio turnover | 9(n) | 26 | 35 | 30 | 32 | 36 |
Net assets at end of period (000 omitted) | $266,140 | $316,524 | $271,131 | $261,832 | $210,218 | $268,291 |
Service Class | Six months ended | Year ended | ||||
6/30/22 (unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |
Net asset value, beginning of period | $10.95 | $8.50 | $8.65 | $7.35 | $8.93 | $8.22 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.05 | $0.07 | $0.08 | $0.09 | $0.08 | $0.05 |
Net realized and unrealized gain (loss) | (1.65) | 2.52 | 0.18 | 2.06 | (1.02) | 1.02 |
Total from investment operations | $(1.60) | $2.59 | $0.26 | $2.15 | $(0.94) | $1.07 |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.07) | $(0.08) | $(0.09) | $(0.06) | $(0.09) |
From net realized gain | — | (0.07) | (0.33) | (0.76) | (0.58) | (0.27) |
Total distributions declared to shareholders | $— | $(0.14) | $(0.41) | $(0.85) | $(0.64) | $(0.36) |
Net asset value, end of period (x) | $9.35 | $10.95 | $8.50 | $8.65 | $7.35 | $8.93 |
Total return (%) (k)(r)(s)(x) | (14.61)(n) | 30.60 | 3.67 | 30.71 | (11.61) | 13.41 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 1.05(a) | 1.05 | 1.06 | 1.06 | 1.06 | 1.06 |
Expenses after expense reductions | 1.04(a) | 1.04 | 1.05 | 1.05 | 1.05 | 1.05 |
Net investment income (loss) | 0.93(a) | 0.74 | 1.01 | 1.06 | 0.86 | 0.59 |
Portfolio turnover | 9(n) | 26 | 35 | 30 | 32 | 36 |
Net assets at end of period (000 omitted) | $210,496 | $227,898 | $142,916 | $74,018 | $55,837 | $85,643 |
(a) | Annualized. |
(d) | Per share data is based on average shares outstanding. |
(k) | The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Equity Securities | $469,448,657 | $— | $— | $469,448,657 |
Mutual Funds | 6,422,718 | — | — | 6,422,718 |
Total | $475,871,375 | $— | $— | $475,871,375 |
Year ended 12/31/21 | |
Ordinary income (including any short-term capital gains) | $5,697,623 |
Long-term capital gains | 1,371,145 |
Total distributions | $7,068,768 |
As of 6/30/22 | |
Cost of investments | $379,576,009 |
Gross appreciation | 114,155,464 |
Gross depreciation | (17,860,098) |
Net unrealized appreciation (depreciation) | $96,295,366 |
As of 12/31/21 | |
Undistributed ordinary income | 11,919,413 |
Undistributed long-term capital gain | 35,160,386 |
Other temporary differences | 55 |
Net unrealized appreciation (depreciation) | 190,076,848 |
Six months ended 6/30/22 | Year ended 12/31/21 | ||
Initial Class | $— | $4,276,275 | |
Service Class | — | 2,792,493 | |
Total | $— | $7,068,768 |
Up to $1 billion | 0.75% |
In excess of $1 billion | 0.70% |
Six months ended 6/30/22 | Year ended 12/31/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Initial Class | 3,009,564 | $32,369,295 | 5,403,334 | $54,466,927 | |
Service Class | 12,085,327 | 124,092,211 | 8,348,445 | 83,577,530 | |
15,094,891 | $156,461,506 | 13,751,779 | $138,044,457 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Initial Class | — | $— | 415,576 | $4,276,275 | |
Service Class | — | — | 274,581 | 2,792,493 | |
— | $— | 690,157 | $7,068,768 | ||
Shares reacquired | |||||
Initial Class | (3,472,639) | $(36,679,346) | (8,849,348) | $(87,892,961) | |
Service Class | (10,372,813) | (105,573,514) | (4,637,335) | (46,191,681) | |
(13,845,452) | $(142,252,860) | (13,486,683) | $(134,084,642) | ||
Net change | |||||
Initial Class | (463,075) | $(4,310,051) | (3,030,438) | $(29,149,759) | |
Service Class | 1,712,514 | 18,518,697 | 3,985,691 | 40,178,342 | |
1,249,439 | $14,208,646 | 955,253 | $11,028,583 |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $5,087,830 | $52,362,717 | $51,098,686 | $(698) | $(242) | $6,350,921 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $19,376 | $— |
1 | |
2 | |
4 | |
5 | |
15 | |
16 | |
17 | |
18 | |
20 | |
28 | |
29 | |
29 | |
29 | |
29 |
Investment Grade Corporates | 51.1% |
U.S. Treasury Securities | 21.2% |
Collateralized Debt Obligations | 12.1% |
Commercial Mortgage-Backed Securities | 7.3% |
Non-U.S. Government Bonds | 5.5% |
Municipal Bonds | 3.9% |
Emerging Markets Bonds | 3.8% |
Asset-Backed Securities | 2.8% |
High Yield Corporates | 1.2% |
Mortgage-Backed Securities | 1.1% |
Residential Mortgage-Backed Securities | 0.4% |
AAA | 9.0% |
AA | 12.4% |
A | 23.0% |
BBB | 37.0% |
BB | 1.2% |
U.S. Government | 16.5% |
Federal Agencies | 1.1% |
Not Rated | 10.2% |
Cash & Cash Equivalents | (0.1)% |
Other | (10.3)% |
Average Duration (d) | 1.9 |
Average Effective Maturity (m) | 2.4 yrs. |
(a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities. Not Rated includes fixed income securities and fixed income derivatives that have not been rated by any rating agency. The fund may or may not have held all of these instruments on this date. The fund is not rated by these agencies. |
(d) | Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move. |
(i) | For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
(m) | In determining each instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. |
(v) | For purposes of this presentation, market value of fixed income and/or equity derivatives, if any, is included in Cash & Cash Equivalents. |
January 1, 2022 through June 30, 2022
Share Class | Annualized Expense Ratio | Beginning Account Value 1/01/22 | Ending Account Value 6/30/22 | Expenses Paid During Period (p) 1/01/22 - 6/30/22 | |
Initial Class | Actual | 0.44% | $1,000.00 | $957.88 | $2.14 |
Hypothetical (h) | 0.44% | $1,000.00 | $1,022.61 | $2.21 | |
Service Class | Actual | 0.70% | $1,000.00 | $956.86 | $3.40 |
Hypothetical (h) | 0.70% | $1,000.00 | $1,021.32 | $3.51 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class's annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
Issuer | Shares/Par | Value ($) | ||
Bonds – 99.5% | ||||
Aerospace & Defense – 0.7% | ||||
Boeing Co., 1.167%, 2/04/2023 | $ | 438,000 | $ 433,025 | |
Boeing Co., 1.433%, 2/04/2024 | 876,000 | 836,781 | ||
Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 1,049,000 | 1,032,857 | ||
Raytheon Technologies Corp., 3.65%, 8/16/2023 | 114,000 | 113,880 | ||
$2,416,543 | ||||
Asset-Backed & Securitized – 22.5% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.145%, 11/15/2054 (i) | $ | 13,107,366 | $ 850,576 | |
ACREC 2021-FL1 Ltd., “AS”, FLR, 3.112% (LIBOR - 1mo. + 1.5%), 10/16/2036 (n) | 898,000 | 859,137 | ||
ACREC 2021-FL1 Ltd., “B”, FLR, 3.412% (LIBOR - 1mo. + 1.8%), 10/16/2036 (n) | 1,596,000 | 1,521,706 | ||
ACREC 2021-FL1 Ltd., “C”, FLR, 3.762% (LIBOR - 1mo. + 2.15%), 10/16/2036 (n) | 902,000 | 867,551 | ||
AmeriCredit Automobile Receivables Trust, 2020-1, “C”, 1.59%, 10/20/2025 | 659,000 | 637,218 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “B”, FLR, 2.924% (LIBOR - 1mo. + 1.6%), 8/15/2034 (n) | 455,000 | 427,422 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “C”, FLR, 3.174% (LIBOR - 1mo. + 1.85%), 8/15/2034 (n) | 264,000 | 245,195 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “AS”, FLR, 3.024% (LIBOR - 1mo. + 1.7%), 11/15/2036 (n) | 1,102,500 | 1,061,345 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “B”, FLR, 3.324% (LIBOR - 1mo. + 2%), 11/15/2036 (n) | 1,102,500 | 1,060,341 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “C”, FLR, 3.624% (LIBOR - 1mo. + 2.3%), 11/15/2036 (n) | 663,500 | 637,997 | ||
Arbor Realty Trust, Inc., CLO, 2022-FL1, “C”, FLR, 3.079% (SOFR - 30 day + 2.3%), 1/15/2037 (n) | 1,737,500 | 1,650,678 | ||
AREIT 2019-CRE3 Trust, “AS”, FLR, 2.748% (LIBOR - 1mo. + 1.3%), 9/14/2036 (n) | 647,000 | 646,777 | ||
AREIT 2019-CRE3 Trust, “B”, FLR, 2.998% (LIBOR - 1mo. + 1.55%), 9/14/2036 (n) | 319,500 | 317,597 | ||
AREIT 2019-CRE3 Trust, “C”, FLR, 3.348% (SOFR - 1mo. + 2.014%), 9/14/2036 (n) | 264,000 | 261,079 | ||
AREIT 2022-CRE6 Trust, “D”, FLR, 3.62% (SOFR - 30 day + 2.85%), 12/17/2024 (n) | 237,500 | 233,017 | ||
Avery Point CLO Ltd., 2014-1A, “CR”, FLR, 3.534% (LIBOR - 3mo. + 2.35%), 4/25/2026 (n) | 617,466 | 614,215 | ||
Balboa Bay Loan Funding Ltd., 2020-1A, “BR”, FLR, 2.712% (LIBOR - 3mo. + 1.65%), 1/20/2032 (n) | 1,039,826 | 984,010 | ||
Balboa Bay Loan Funding Ltd., 2020-1A, “CR”, FLR, 3.162% (LIBOR - 3mo. + 2.1%), 1/20/2032 (n) | 563,239 | 527,244 | ||
Ballyrock CLO 2018-1A Ltd., “A2”, FLR, 2.662% (LIBOR - 3mo. + 1.6%), 4/20/2031 (n) | 1,748,737 | 1,670,370 | ||
Ballyrock CLO 2018-1A Ltd., “B”, FLR, 2.962% (LIBOR - 3mo. + 1.9%), 4/20/2031 (n) | 741,069 | 701,431 | ||
BBCMS Mortgage Trust, 2018-C2, “XA”, 0.926%, 12/15/2051 (i)(n) | 21,885,769 | 838,888 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.426%, 7/15/2054 (i) | 5,769,257 | 459,875 | ||
BBCMS Mortgage Trust, 2021-C11, “XA”, 1.505%, 9/15/2054 (i) | 5,966,058 | 502,386 | ||
BDS 2021-FL10 Ltd., “B”, FLR, 3.562% (LIBOR - 1mo. + 1.95%), 12/16/2036 (n) | 519,000 | 482,507 | ||
BDS 2021-FL10 Ltd., “C”, FLR, 3.912% (LIBOR - 1mo. + 2.3%), 12/16/2036 (n) | 377,500 | 346,916 | ||
Benchmark 2021-B23 Mortgage Trust, “XA”, 1.381%, 2/15/2054 (i) | 10,392,619 | 768,932 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.385%, 7/15/2054 (i) | 11,312,660 | 890,260 | ||
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.399%, 8/15/2054 (i) | 8,268,835 | 659,319 | ||
Benchmark 2021-B29 Mortgage Trust, “XA”, 1.156%, 9/15/2054 (i) | 11,910,574 | 744,085 | ||
BSPRT 2022-FL8 Issuer Ltd., “A”, FLR, 2.279% (SOFR - 30 day + 1.5%), 2/15/2037 (n) | 2,069,500 | 1,996,916 | ||
BSPRT 2022-FL8 Issuer Ltd., “B”, FLR, 2.829% (SOFR - 30 day + 2.05%), 2/15/2037 (n) | 287,500 | 278,557 | ||
BSPRT 2022-FL8 Issuer Ltd., “C”, FLR, 3.079% (SOFR - 30 day + 2.3%), 2/15/2037 (n) | 463,500 | 454,133 | ||
Business Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n) | 252,404 | 231,554 | ||
Business Jet Securities LLC, 2021-1A, “A”, 2.162%, 4/15/2036 (n) | 313,684 | 283,604 | ||
Business Jet Securities LLC, 2021-1A, “B”, 2.918%, 4/15/2036 (n) | 79,524 | 71,050 | ||
BXMT 2020-FL2 Ltd., “B”, FLR, 2.991% (LIBOR - 1mo. + 1.4%), 2/15/2038 (n) | 1,445,000 | 1,366,880 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 554,359 | 529,400 | ||
CD 2017-CD4 Mortgage Trust, “XA”, 1.234%, 5/10/2050 (i) | 16,547,171 | 651,629 | ||
CF Hippolyta Issuer LLC, 2020-1, “A1”, 1.69%, 7/15/2060 (n) | 343,825 | 311,552 | ||
CF Hippolyta Issuer LLC, 2020-1, “B1”, 2.28%, 7/15/2060 (n) | 108,765 | 97,565 | ||
Commercial Equipment Finance 2021-A, LLC, “A”, 2.05%, 2/16/2027 (n) | 627,034 | 607,643 | ||
Commercial Mortgage Pass-Through Certificates, 2019-BN24,“XA”, 0.76%, 11/15/2062 (i) | 8,857,455 | 342,001 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.436%, 2/15/2054 (i) | 9,145,635 | 755,906 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN34, “XA”, 0.978%, 6/15/2063 (i) | 8,870,557 | 547,195 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.155%, 6/15/2064 (i) | 4,943,744 | 323,091 | ||
Credit Acceptance Auto Loan Trust, 2021-4, “B”, 1.74%, 12/16/2030 (n) | 478,000 | 440,832 | ||
Credit Acceptance Auto Loan Trust, 2021-2A, “A”, 0.96%, 2/15/2030 (n) | 373,000 | 357,092 | ||
Credit Acceptance Auto Loan Trust, 2021-2A, “B”, 1.26%, 4/15/2030 (n) | 250,000 | 230,669 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Credit Acceptance Auto Loan Trust, 2021-3A, “B”, 1.38%, 7/15/2030 (n) | $ | 250,000 | $ 230,086 | |
Credit Acceptance Auto Loan Trust, 2021-3A, “C”, 1.63%, 9/16/2030 (n) | 250,000 | 229,133 | ||
Credit Acceptance Auto Loan Trust, 2021-4, “A” , 1.26%, 10/15/2030 (n) | 261,000 | 245,969 | ||
Exeter Automobile Receivables Trust, 2019-3A, “C”, 2.79%, 5/15/2024 (n) | 72,892 | 72,886 | ||
Exeter Automobile Receivables Trust, 2020-1A, 2.49%, 1/15/2025 (n) | 234,257 | 234,218 | ||
Fortress CBO Investments Ltd., 2022-FL3, “A”, FLR, 2.753% (SOFR - 30 day + 1.85%), 2/23/2039 (n) | 1,241,500 | 1,190,875 | ||
Fortress CBO Investments Ltd., 2022-FL3, “AS”, FLR, 3.153% (SOFR - 30 day + 2.25%), 2/23/2039 (n) | 1,154,000 | 1,102,532 | ||
GLS Auto Receivables Trust, 2021-3A, “B”, 0.78%, 11/17/2025 (n) | 704,072 | 674,771 | ||
GS Mortgage Securities Trust, 2017-GS6, “XA”, 1.041%, 5/10/2050 (i) | 15,445,572 | 633,837 | ||
GS Mortgage Securities Trust, 2017-GS7, “XA”, 1.098%, 8/10/2050 (i) | 15,321,855 | 612,511 | ||
GS Mortgage Securities Trust, 2020-GC47, “A5”, 1.245%, 5/12/2053 (i) | 8,344,126 | 576,179 | ||
Invitation Homes 2018-SFR1 Trust, “B”, FLR, 2.473% (LIBOR - 1mo. + 0.95%), 3/17/2037 (n) | 1,365,804 | 1,355,528 | ||
Jamestown CLO Ltd., 2020-15A, “C”, FLR, 3.494% (LIBOR - 3mo. + 2.45%), 4/15/2033 (n) | 1,998,469 | 1,875,967 | ||
JPMorgan Chase Commercial Mortgage Securities Corp., 1.153%, 9/15/2050 (i) | 14,293,284 | 501,969 | ||
LoanCore 2018-CRE1 Ltd., “AS”, FLR, 2.824% (LIBOR - 1mo. + 1.5%), 5/15/2028 (n) | 2,225,000 | 2,193,652 | ||
LoanCore 2018-CRE1 Ltd., “C”, FLR, 3.874% (LIBOR - 1mo. + 2.55%), 5/15/2028 (n) | 741,500 | 736,438 | ||
LoanCore 2019-CRE3 Ltd., “AS”, FLR, 2.694% (LIBOR - 1mo. + 1.37%), 4/15/2034 (n) | 1,849,009 | 1,840,343 | ||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 3.074% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 1,344,000 | 1,282,328 | ||
LoanCore 2021-CRE5 Ltd., “B”, FLR, 3.324% (LIBOR - 1mo. + 2%), 7/15/2036 (n) | 567,500 | 528,951 | ||
Madison Park Funding Ltd., 2014-13A, “BR2”, FLR, 2.544% (LIBOR - 3mo. + 1.5%), 4/19/2030 (n) | 2,779,008 | 2,699,039 | ||
Magnetite CLO Ltd., 2015-16A, “BR”, FLR, 2.244% (LIBOR - 3mo. + 1.2%), 1/18/2028 (n) | 3,559,000 | 3,466,466 | ||
MF1 2020-FL3 Ltd., “B”, FLR, 5.143% (LIBOR - 1mo. + 3.75%), 7/15/2035 (z) | 192,000 | 189,150 | ||
MF1 2020-FL3 Ltd., “C”, FLR, 5.893% (LIBOR - 1mo. + 4.5%), 7/15/2035 (z) | 274,500 | 270,424 | ||
MF1 2020-FL4 Ltd., “B”, FLR, 4.198% (LIBOR - 1mo. + 2.75%), 11/15/2035 (n) | 1,946,000 | 1,906,934 | ||
MF1 2021-FL6 Ltd., “B”, FLR, 3.173% (LIBOR - 1mo. + 1.65%), 7/16/2036 (n) | 1,598,887 | 1,526,085 | ||
MF1 2022-FL9 Ltd., “B”, FLR, 3.96% (SOFR - 1mo. + 3.15%), 6/19/2037 (n) | 1,885,500 | 1,875,786 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C33, “XA”, 1.409%, 5/15/2050 (i) | 13,544,203 | 611,995 | ||
Morgan Stanley Capital I Trust, 2017-H1, “XA”, 1.495%, 6/15/2050 (i) | 6,909,191 | 299,710 | ||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 1.001%, 12/15/2051 (i) | 17,492,169 | 710,567 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.421%, 5/15/2054 (i) | 7,312,410 | 566,691 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.348%, 6/15/2054 (i) | 6,854,472 | 482,003 | ||
Navistar Financial Dealer Note Master Owner Trust, 2020-1, “A”, FLR, 2.573% (LIBOR - 1mo. + 0.95%), 7/25/2025 (n) | 367,000 | 366,901 | ||
Navistar Financial Dealer Note Master Owner Trust, 2020-1, “B”, FLR, 2.973% (LIBOR - 1mo. + 1.35%), 7/25/2025 (n) | 338,000 | 338,051 | ||
Navistar Financial Dealer Note Master Owner Trust, 2020-1, “C”, FLR, 3.773% (LIBOR - 1mo. + 2.15%), 7/25/2025 (n) | 279,000 | 278,986 | ||
Oaktree CLO 2019-1A Ltd., “BR”, FLR, 2.886% (LIBOR - 3mo. + 1.75%), 4/22/2030 (n) | 1,129,454 | 1,069,646 | ||
Oaktree CLO 2019-1A Ltd., “CR”, FLR, 3.486% (LIBOR - 3mo. + 2.35%), 4/22/2030 (n) | 1,129,454 | 1,066,842 | ||
OneMain Financial Issuance Trust, 2020-1A, “A”, 3.84%, 5/14/2032 (n) | 1,505,765 | 1,501,471 | ||
OneMain Financial Issuance Trust, 2020-2A, “A”, 1.75%, 9/14/2035 (n) | 1,108,000 | 986,657 | ||
OneMain Financial Issuance Trust, 2022-S1, “A”, 4.13%, 5/14/2035 (n) | 712,000 | 700,941 | ||
PFP III 2021-8 Ltd., “B”, FLR, 3.009% (LIBOR - 1mo. + 1.5%), 8/09/2037 (n) | 490,500 | 472,265 | ||
Securitized Term Auto Receivable Trust, 2019-CRTA, “B”, 2.453%, 3/25/2026 (n) | 89,144 | 88,662 | ||
Securitized Term Auto Receivable Trust, 2019-CRTA, “C”, 2.849%, 3/25/2026 (n) | 114,298 | 113,799 | ||
Shackleton 2013-4RA CLO Ltd., “B”, FLR, 2.921% (LIBOR - 3mo. + 1.9%), 4/13/2031 (n) | 927,055 | 863,878 | ||
Shackleton 2015-8A CLO Ltd., “CR”, FLR, 2.712% (LIBOR - 3mo. + 1.65%), 10/20/2027 (n) | 709,957 | 686,616 | ||
Shelter Growth CRE 2021-FL3 Ltd., “C”, FLR, 3.474% (LIBOR - 1mo. + 2.15%), 9/15/2036 (n) | 516,000 | 486,589 | ||
Southwick Park CLO, Ltd., 2019-4A, “B1R”, FLR, 2.562% (LIBOR - 3mo. + 1.5%), 7/20/2032 (n) | 422,000 | 401,269 | ||
Southwick Park CLO, Ltd., 2019-4A, “B2R”, 2.47%, 7/20/2032 (n) | 735,000 | 613,351 | ||
Southwick Park CLO, Ltd., 2019-4A, “CR”, FLR, 3.012% (LIBOR - 3mo. + 1.95%), 7/20/2032 (n) | 1,001,000 | 934,642 | ||
Starwood Commercial Mortgage, 2021-FL2, “B”, FLR, 3.323% (LIBOR - 1mo. + 1.8%), 4/18/2038 (n) | 764,000 | 734,912 | ||
TICP CLO 2018-3R Ltd., “B”, FLR, 2.412% (LIBOR - 3mo. + 1.35%), 4/20/2028 (n) | 870,756 | 855,203 | ||
TICP CLO 2018-3R Ltd., “C”, FLR, 2.862% (LIBOR - 3mo. + 1.8%), 4/20/2028 (n) | 1,528,084 | 1,478,459 | ||
TPG Real Estate Finance, 2021-FL4, “B”, FLR, 3.373% (LIBOR - 1mo. + 1.85%), 3/15/2038 (n) | 2,000,000 | 1,953,826 | ||
UBS Commercial Mortgage Trust, 2017-C1, “XA”, 1.14%, 11/15/2050 (i) | 11,057,075 | 376,464 | ||
UBS Commercial Mortgage Trust, 2018-C14, “XA”, 1.15%, 12/15/2051 (i) | 8,868,052 | 430,751 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C61, “XA”, 1.503%, 11/15/2054 (i) | 4,017,840 | 332,197 | ||
$79,200,744 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Automotive – 2.9% | ||||
Daimler Finance North America LLC, 0.75%, 3/01/2024 (n) | $ | 870,000 | $ 826,454 | |
Daimler Trucks Finance North America LLC, 1.625%, 12/13/2024 (n) | 1,487,000 | 1,398,155 | ||
General Motors Financial Co., 1.7%, 8/18/2023 | 1,491,000 | 1,453,698 | ||
Hyundai Capital America, 2.85%, 11/01/2022 (n) | 355,000 | 354,097 | ||
Hyundai Capital America, 5.75%, 4/06/2023 (n) | 1,733,000 | 1,758,879 | ||
Hyundai Capital America, 0.8%, 1/08/2024 (n) | 154,000 | 146,260 | ||
Hyundai Capital America, 5.875%, 4/07/2025 (n) | 958,000 | 987,141 | ||
Stellantis Finance US, Inc., 1.711%, 1/29/2027 (n) | 1,275,000 | 1,108,684 | ||
Volkswagen Group of America Finance LLC, 2.85%, 9/26/2024 (n) | 1,120,000 | 1,090,927 | ||
Volkswagen Group of America Finance LLC, 3.35%, 5/13/2025 (n) | 650,000 | 628,232 | ||
Volkswagen Group of America Finance LLC, 1.25%, 11/24/2025 (n) | 494,000 | 442,018 | ||
$10,194,545 | ||||
Broadcasting – 0.8% | ||||
Magallanes, Inc., 3.637%, 3/15/2025 (n) | $ | 2,271,000 | $ 2,201,280 | |
Magallanes, Inc., 3.755%, 3/15/2027 (n) | 679,000 | 636,896 | ||
$2,838,176 | ||||
Brokerage & Asset Managers – 1.5% | ||||
Brookfield Finance, Inc., 3.9%, 1/25/2028 | $ | 1,942,000 | $ 1,855,584 | |
Morgan Stanley Domestic Holdings, Inc., 2.95%, 8/24/2022 | 2,157,000 | 2,157,596 | ||
National Securities Clearing Corp., 1.5%, 4/23/2025 (n) | 250,000 | 235,253 | ||
National Securities Clearing Corp., 0.75%, 12/07/2025 (n) | 1,000,000 | 902,184 | ||
$5,150,617 | ||||
Business Services – 1.3% | ||||
Equinix, Inc., 1.25%, 7/15/2025 | $ | 607,000 | $ 551,423 | |
Global Payments, Inc., 1.2%, 3/01/2026 | 1,450,000 | 1,277,346 | ||
Tencent Holdings Ltd., 1.81%, 1/26/2026 (n) | 1,481,000 | 1,369,007 | ||
TSMC Arizona Corp., 1.75%, 10/25/2026 | 855,000 | 786,235 | ||
Western Union Co., 1.35%, 3/15/2026 | 829,000 | 740,126 | ||
$4,724,137 | ||||
Cable TV – 0.7% | ||||
SES S.A., 3.6%, 4/04/2023 (n) | $ | 2,469,000 | $ 2,435,627 | |
Chemicals – 0.1% | ||||
Westlake Chemical Corp., 0.875%, 8/15/2024 | $ | 500,000 | $ 477,200 | |
Computer Software – 0.5% | ||||
Dell International LLC/EMC Corp., 4%, 7/15/2024 | $ | 1,415,000 | $ 1,410,043 | |
Dell International LLC/EMC Corp., 5.85%, 7/15/2025 | 340,000 | 350,644 | ||
$1,760,687 | ||||
Computer Software - Systems – 0.6% | ||||
Apple, Inc., 1.7%, 9/11/2022 | $ | 862,000 | $ 862,475 | |
VMware, Inc., 1%, 8/15/2024 | 839,000 | 784,831 | ||
VMware, Inc., 1.4%, 8/15/2026 | 649,000 | 574,178 | ||
$2,221,484 | ||||
Conglomerates – 0.7% | ||||
Carrier Global Corp., 2.242%, 2/15/2025 | $ | 200,000 | $ 190,046 | |
Westinghouse Air Brake Technologies Corp., 4.15%, 3/15/2024 | 2,237,000 | 2,240,823 | ||
$2,430,869 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Consumer Products – 0.3% | ||||
GSK Consumer Healthcare Capital US LLC, 3.125%, 3/24/2025 (n) | $ | 591,000 | $ 575,548 | |
GSK Consumer Healthcare Capital US LLC, 3.375%, 3/24/2027 (n) | 345,000 | 330,210 | ||
$905,758 | ||||
Containers – 0.5% | ||||
Berry Global, Inc., 1.57%, 1/15/2026 | $ | 432,000 | $ 385,223 | |
Berry Global, Inc., 1.65%, 1/15/2027 | 1,534,000 | 1,342,697 | ||
$1,727,920 | ||||
Electronics – 0.8% | ||||
Microchip Technology, Inc., 0.983%, 9/01/2024 | $ | 2,095,000 | $ 1,953,678 | |
Qorvo, Inc., 1.75%, 12/15/2024 (n) | 515,000 | 481,072 | ||
Skyworks Solutions, Inc., 0.9%, 6/01/2023 | 590,000 | 570,242 | ||
$3,004,992 | ||||
Emerging Market Quasi-Sovereign – 1.4% | ||||
Bharat Petroleum Corp. Ltd., 4.625%, 10/25/2022 | $ | 1,865,000 | $ 1,870,166 | |
DAE Funding LLC (United Arab Emirates), 1.55%, 8/01/2024 (n) | 619,000 | 579,791 | ||
DAE Funding LLC (United Arab Emirates), 2.625%, 3/20/2025 (n) | 344,000 | 319,561 | ||
Indian Oil Corp. Ltd., 5.75%, 8/01/2023 | 933,000 | 952,117 | ||
Sinopec Group Overseas Development (2018) Ltd. (People's Republic of China), 1.45%, 1/08/2026 (n) | 1,302,000 | 1,200,252 | ||
$4,921,887 | ||||
Emerging Market Sovereign – 0.4% | ||||
Emirate of Abu Dhabi, 0.75%, 9/02/2023 (n) | $ | 1,572,000 | $ 1,520,910 | |
Energy - Independent – 0.0% | ||||
Pioneer Natural Resources Co., 0.55%, 5/15/2023 | $ | 204,000 | $ 198,826 | |
Energy - Integrated – 0.8% | ||||
Cenovus Energy, Inc., 5.375%, 7/15/2025 | $ | 831,000 | $ 855,311 | |
Eni S.p.A., 4%, 9/12/2023 (n) | 1,857,000 | 1,847,888 | ||
$2,703,199 | ||||
Financial Institutions – 2.9% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.875%, 1/16/2024 | $ | 1,585,000 | $ 1,576,715 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.15%, 2/15/2024 | 1,399,000 | 1,353,929 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.75%, 10/29/2024 | 798,000 | 736,314 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.5%, 7/15/2025 | 1,212,000 | 1,240,091 | ||
Air Lease Corp., 2.2%, 1/15/2027 | 1,101,000 | 959,566 | ||
Avolon Holdings Funding Ltd., 3.95%, 7/01/2024 (n) | 1,214,000 | 1,162,314 | ||
Avolon Holdings Funding Ltd., 2.125%, 2/21/2026 (n) | 1,574,000 | 1,360,748 | ||
Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | 506,000 | 468,580 | ||
Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 (n) | 886,000 | 722,212 | ||
Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | 678,000 | 552,945 | ||
$10,133,414 | ||||
Food & Beverages – 0.8% | ||||
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.125%, 2/01/2028 (n) | $ | 546,000 | $ 533,180 | |
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 (n) | 1,669,000 | 1,409,810 | ||
JDE Peet's N.V., 0.8%, 9/24/2024 (n) | 408,000 | 379,133 | ||
JDE Peet's N.V., 1.375%, 1/15/2027 (n) | 678,000 | 583,140 | ||
$2,905,263 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Food & Drug Stores – 0.9% | ||||
7-Eleven, Inc., 0.625%, 2/10/2023 (n) | $ | 1,785,000 | $ 1,750,328 | |
7-Eleven, Inc., 0.8%, 2/10/2024 (n) | 1,339,000 | 1,268,637 | ||
$3,018,965 | ||||
Forest & Paper Products – 0.2% | ||||
Fibria Overseas Finance Ltd. , 5.5%, 1/17/2027 | $ | 829,000 | $ 821,953 | |
Gaming & Lodging – 1.5% | ||||
GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/2023 | $ | 1,459,000 | $ 1,461,405 | |
GLP Capital LP/GLP Financing II, Inc., 5.25%, 6/01/2025 | 1,084,000 | 1,063,068 | ||
Hyatt Hotels Corp., 1.3%, 10/01/2023 | 1,224,000 | 1,185,288 | ||
Hyatt Hotels Corp., 1.8%, 10/01/2024 | 1,134,000 | 1,071,869 | ||
Marriott International, Inc., 3.75%, 10/01/2025 | 370,000 | 362,139 | ||
$5,143,769 | ||||
Industrial – 0.1% | ||||
Howard University, Washington D.C., 2.738%, 10/01/2022 | $ | 96,000 | $ 95,655 | |
Howard University, Washington D.C., 2.801%, 10/01/2023 | 106,000 | 104,994 | ||
Howard University, Washington D.C., AGM, 2.416%, 10/01/2024 | 117,000 | 112,791 | ||
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | 144,000 | 136,367 | ||
$449,807 | ||||
Insurance – 0.2% | ||||
Equitable Financial Life Insurance Co., 1.4%, 7/07/2025 (n) | $ | 882,000 | $ 810,581 | |
Insurance - Property & Casualty – 0.2% | ||||
Aon PLC, 2.2%, 11/15/2022 | $ | 821,000 | $ 819,180 | |
Internet – 0.2% | ||||
Baidu, Inc., 3.875%, 9/29/2023 | $ | 676,000 | $ 678,483 | |
Machinery & Tools – 0.4% | ||||
CNH Industrial Capital LLC, 4.2%, 1/15/2024 | $ | 1,121,000 | $ 1,121,749 | |
CNH Industrial Capital LLC, 1.875%, 1/15/2026 | 448,000 | 406,060 | ||
$1,527,809 | ||||
Major Banks – 16.2% | ||||
Bank of America Corp., 4.2%, 8/26/2024 | $ | 692,000 | $ 693,323 | |
Bank of America Corp., 4.45%, 3/03/2026 | 995,000 | 990,188 | ||
Bank of America Corp., 4.25%, 10/22/2026 | 575,000 | 566,898 | ||
Bank of America Corp., 1.734% to 7/22/2026, FLR (SOFR - 1 day + 0.96%) to 7/22/2027 | 2,531,000 | 2,249,796 | ||
Bank of America Corp., 4.183%, 11/25/2027 | 959,000 | 932,010 | ||
Bank of Montreal, 2.05%, 11/01/2022 | 1,168,000 | 1,164,864 | ||
Barclays PLC, 1.007% to 12/10/2023, FLR (CMT - 1yr. + 0.8%) to 12/10/2024 | 207,000 | 196,460 | ||
Barclays PLC, 2.852% to 5/07/2025, FLR (LIBOR - 3mo. + 2.452%) to 5/07/2026 | 550,000 | 519,363 | ||
Barclays PLC, 2.279% to 11/24/2026, FLR (CMT - 1yr. + 1.05%) to 11/24/2027 | 1,474,000 | 1,306,719 | ||
BBVA USA Bancshares, Inc., 2.5%, 8/27/2024 | 1,183,000 | 1,149,562 | ||
BNP Paribas S.A., 2.591% to 1/20/2027, FLR (SOFR - 1 day + 1.228%) to 1/20/2028 (n) | 1,764,000 | 1,586,693 | ||
Capital One Financial Corp., 2.636% to 3/03/2025, FLR (SOFR - 1 day + 1.29%) to 3/03/2026 | 1,545,000 | 1,458,743 | ||
Credit Suisse Group AG, 4.207% to 6/12/2023, FLR (LIBOR - 3mo. + 1.24%) to 6/12/2024 (n) | 443,000 | 438,925 | ||
Deutsche Bank AG, 0.898%, 5/28/2024 | 421,000 | 394,423 | ||
Deutsche Bank AG, 1.447% to 4/1/2024, FLR (SOFR - 1 day + 1.131%) to 4/01/2025 | 2,012,000 | 1,880,126 | ||
Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027 | 464,000 | 400,424 | ||
Goldman Sachs Group, Inc., 1.757% to 1/24/2024, FLR (SOFR - 1 day + 0.73%) to 1/24/2025 | 1,426,000 | 1,370,828 | ||
Goldman Sachs Group, Inc., 3.5%, 4/01/2025 | 750,000 | 735,191 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
Goldman Sachs Group, Inc., 1.093% to 12/09/2025, FLR (SOFR - 1 day + 0.789%) to 12/09/2026 | $ | 821,000 | $ 731,231 | |
Goldman Sachs Group, Inc., 5.95%, 1/15/2027 | 1,439,000 | 1,507,039 | ||
Goldman Sachs Group, Inc., 1.948% to 10/21/2026, FLR (SOFR - 1 day + 0.913%) to 10/21/2027 | 1,205,000 | 1,066,488 | ||
HSBC Holdings PLC, 3.033% to 11/22/2022, FLR (LIBOR - 3mo. + 0.923%) to 11/22/2023 | 491,000 | 488,776 | ||
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR - 1 day + 1.929%) to 6/04/2026 | 910,000 | 840,532 | ||
HSBC Holdings PLC, 1.589% to 5/24/2026, FLR (SOFR - 1 day + 1.29%) to 5/24/2027 | 623,000 | 547,110 | ||
HSBC Holdings PLC, 2.251% to 11/22/2026, FLR (SOFR - 1 day + 1.1%) to 11/22/2027 | 900,000 | 801,870 | ||
JPMorgan Chase & Co., 3.797% to 7/23/2023, FLR (LIBOR - 3mo. + 0.89%) to 7/23/2024 | 1,380,000 | 1,374,862 | ||
JPMorgan Chase & Co., 2.005% to 3/13/2025, FLR (SOFR - 1 day + 1.585%) to 3/13/2026 | 1,642,000 | 1,537,639 | ||
JPMorgan Chase & Co., 1.04% to 2/04/2026, FLR (SOFR - 1 day + 0.695%) to 2/04/2027 | 1,071,000 | 947,217 | ||
JPMorgan Chase & Co., 1.578% to 4/22/2026, FLR (SOFR - 1 day + 0.885%) to 4/22/2027 | 862,000 | 767,108 | ||
JPMorgan Chase & Co., 4.25%, 10/01/2027 | 959,000 | 950,013 | ||
Lloyds Banking Group PLC, 3.511% to 3/18/2025, FLR (CMT - 1yr. + 1.6%) to 3/18/2026 | 450,000 | 438,101 | ||
Mitsubishi UFJ Financial Group, Inc., 2.623%, 7/18/2022 | 1,921,000 | 1,921,174 | ||
Mitsubishi UFJ Financial Group, Inc., 0.953% to 7/19/2024, FLR (CMT - 1yr. + 0.55%) to 7/19/2025 | 1,003,000 | 935,928 | ||
Mitsubishi UFJ Financial Group, Inc., 0.962% to 10/11/2024, FLR (CMT - 1yr. + 0.45%) to 10/11/2025 | 437,000 | 404,788 | ||
Mizuho Financial Group, 0.849% to 9/08/2023, FLR (LIBOR - 3mo. + 0.61%) to 9/08/2024 | 600,000 | 576,866 | ||
Morgan Stanley, 0.56% to 11/10/2022, FLR (SOFR - 1 day + 0.466%) to 11/10/2023 | 1,637,000 | 1,618,322 | ||
Morgan Stanley, 0.529% to 1/25/2023, FLR (SOFR - 1 day + 0.455%) to 1/25/2024 | 2,151,000 | 2,108,534 | ||
Morgan Stanley, 0.864% to 10/21/2024, FLR (SOFR - 1 day + 0.745%) to 10/21/2025 | 1,635,000 | 1,508,154 | ||
Morgan Stanley, 4.35%, 9/08/2026 | 1,350,000 | 1,336,048 | ||
Morgan Stanley, 3.95%, 4/23/2027 | 512,000 | 495,788 | ||
Morgan Stanley, 1.512% to 7/20/2026, FLR (SOFR - 1 day + 0.858%) to 7/20/2027 | 411,000 | 360,459 | ||
Nationwide Building Society, 2.972% to 2/16/2027, FLR (SOFR - 1 day + 1.29%) to 2/16/2028 (n) | 750,000 | 684,486 | ||
NatWest Group PLC, 2.359% to 5/22/2023, FLR (CMT - 1yr. + 2.15%) to 5/22/2024 | 1,038,000 | 1,019,387 | ||
NatWest Group PLC, 4.269% to 3/22/2024, FLR (LIBOR - 3mo. + 1.762%) to 3/22/2025 | 2,018,000 | 1,997,251 | ||
Standard Chartered PLC, 1.319% to 10/14/2022, FLR (CMT - 1yr. + 1.17%) to 10/14/2023 (n) | 1,457,000 | 1,446,470 | ||
Standard Chartered PLC, 0.991% to 1/12/2024, FLR (CMT - 1yr. + 0.78%) to 1/12/2025 (n) | 907,000 | 856,249 | ||
Standard Chartered PLC, 1.214% to 3/23/2024, FLR (CMT - 1yr. + 0.88%) to 3/23/2025 (n) | 437,000 | 411,775 | ||
Standard Chartered PLC, 1.822% to 11/23/2024, FLR (CMT - 1yr. + 0.95%) to 11/23/2025 (n) | 444,000 | 411,156 | ||
Sumitomo Mitsui Financial Group, Inc., 0.508%, 1/12/2024 | 455,000 | 433,269 | ||
Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025 | 1,613,000 | 1,481,364 | ||
Sumitomo Mitsui Financial Group, Inc., 2.174%, 1/14/2027 | 1,184,000 | 1,070,734 | ||
Sumitomo Mitsui Trust Bank Ltd., 0.85%, 3/25/2024 (n) | 944,000 | 895,068 | ||
Toronto-Dominion Bank, 0.25%, 1/06/2023 | 910,000 | 897,870 | ||
UBS Group AG, 1.008% to 7/30/2023, FLR (CMT - 1yr. + 0.83%) to 7/30/2024 (n) | 924,000 | 894,705 | ||
UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | 421,000 | 376,605 | ||
Wells Fargo & Co., 2.164% to 2/11/2025, FLR (LIBOR - 3mo. + 0.75%) to 2/11/2026 | 2,242,000 | 2,107,177 | ||
Wells Fargo & Co., 3.526% to 3/24/2027, FLR (SOFR - 1 day + 1.51%) to 3/24/2028 | 734,000 | 695,206 | ||
$56,977,355 | ||||
Medical & Health Technology & Services – 1.0% | ||||
HCA Healthcare, Inc., 3.125%, 3/15/2027 (n) | $ | 411,000 | $ 373,404 | |
HCA, Inc., 5%, 3/15/2024 | 1,692,000 | 1,699,622 | ||
Thermo Fisher Scientific, Inc., 1.215%, 10/18/2024 | 1,500,000 | 1,421,082 | ||
$3,494,108 | ||||
Metals & Mining – 1.4% | ||||
Anglo American Capital PLC, 4.75%, 4/10/2027 (n) | $ | 766,000 | $ 756,746 | |
Glencore Funding LLC, 3%, 10/27/2022 (n) | 848,000 | 845,607 | ||
Glencore Funding LLC, 4.125%, 3/12/2024 (n) | 1,354,000 | 1,347,208 | ||
Glencore Funding LLC, 1.625%, 9/01/2025 (n) | 1,100,000 | 1,004,217 | ||
Glencore Funding LLC, 1.625%, 4/27/2026 (n) | 1,191,000 | 1,053,521 | ||
$5,007,299 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Midstream – 2.1% | ||||
Enbridge, Inc., 2.5%, 2/14/2025 | $ | 496,000 | $ 476,118 | |
Energy Transfer LP, 2.9%, 5/15/2025 | 635,000 | 603,556 | ||
Gray Oak Pipeline LLC, 2%, 9/15/2023 (n) | 968,000 | 943,093 | ||
MPLX LP, 3.5%, 12/01/2022 | 1,218,000 | 1,217,397 | ||
MPLX LP, 3.375%, 3/15/2023 | 642,000 | 640,211 | ||
Plains All American Pipeline LP, 3.85%, 10/15/2023 | 750,000 | 745,673 | ||
Plains All American Pipeline LP/PAA Finance Corp., 4.65%, 10/15/2025 | 992,000 | 982,189 | ||
Western Midstream Operating LP, 4.35%, 2/01/2025 | 796,000 | 733,315 | ||
Western Midstream Operating LP, FLR, 2.621% (LIBOR - 3mo. + 0.85%), 1/13/2023 | 1,222,000 | 1,215,890 | ||
$7,557,442 | ||||
Mortgage-Backed – 1.1% | ||||
Fannie Mae, 5.5%, 5/01/2025 | $ | 88 | $ 88 | |
Fannie Mae, 5%, 7/01/2039 - 3/01/2042 | 498,298 | 523,261 | ||
Fannie Mae, 2%, 5/25/2044 | 309,257 | 302,473 | ||
Freddie Mac, 1.031%, 4/25/2024 (i) | 455,119 | 6,128 | ||
Freddie Mac, 1.697%, 4/25/2030 (i) | 6,135,019 | 595,785 | ||
Freddie Mac, 3%, 4/15/2033 - 6/15/2045 | 2,173,508 | 2,120,021 | ||
Freddie Mac, 2%, 7/15/2042 | 366,070 | 348,166 | ||
$3,895,922 | ||||
Municipals – 3.9% | ||||
California Earthquake Authority Rev., Taxable, “B”, 1.327%, 7/01/2022 | $ | 620,000 | $ 620,000 | |
California Earthquake Authority Rev., Taxable, “B”, 1.477%, 7/01/2023 | 440,000 | 431,747 | ||
California Municipal Finance Authority Rev., Taxable (Century Housing Corp.), 1.486%, 11/01/2022 | 235,000 | 234,321 | ||
California Municipal Finance Authority Rev., Taxable (Century Housing Corp.), 1.605%, 11/01/2023 | 280,000 | 273,700 | ||
Illinois Sales Tax Securitization Corp., Second Lien, Taxable, “B”, BAM, 2.128%, 1/01/2023 | 300,000 | 298,131 | ||
Illinois Sales Tax Securitization Corp., Second Lien, Taxable, “B”, BAM, 2.225%, 1/01/2024 | 730,000 | 712,622 | ||
Long Island, NY, Power Authority, Electric System General Rev., Taxable, “C”, 0.764%, 3/01/2023 | 595,000 | 585,696 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 1.904%, 7/01/2023 | 65,000 | 64,039 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.156%, 7/01/2024 | 190,000 | 184,093 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.306%, 7/01/2025 | 150,000 | 143,253 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.562%, 7/01/2026 | 185,000 | 175,467 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 398,229 | 366,898 | ||
New Jersey Economic Development Authority Rev., School Facilities Construction, Taxable, “HHH”, 3.75%, 9/01/2022 (n) | 2,885,000 | 2,890,219 | ||
New Jersey Economic Development Authority State Pension Funding Rev., Capital Appreciation, Taxable, “B”, AGM, 0%, 2/15/2023 | 4,091,000 | 4,015,650 | ||
New Jersey Transportation Trust Fund Authority, Transportation System, Taxable, “B”, 2.551%, 6/15/2023 | 465,000 | 460,276 | ||
New Jersey Transportation Trust Fund Authority, Transportation System, Taxable, “B”, 2.631%, 6/15/2024 | 440,000 | 428,221 | ||
Port Authority of NY & NJ, Taxable, “AAA”, 1.086%, 7/01/2023 | 1,060,000 | 1,040,354 | ||
Texas Transportation Commission, Central Texas Turnpike System First Tier Refunding Rev., Taxable, “B”, 1.98%, 8/15/2042 | 680,000 | 679,641 | ||
$13,604,328 | ||||
Natural Gas - Distribution – 0.4% | ||||
CenterPoint Energy Resources Corp., 0.7%, 3/02/2023 | $ | 1,302,000 | $ 1,275,044 | |
Natural Gas - Pipeline – 0.5% | ||||
APT Pipelines Ltd., 4.2%, 3/23/2025 (n) | $ | 1,960,000 | $ 1,943,541 | |
Network & Telecom – 0.7% | ||||
AT&T, Inc., 0.9%, 3/25/2024 | $ | 2,621,000 | $ 2,499,019 | |
Oils – 0.4% | ||||
Valero Energy Corp., 1.2%, 3/15/2024 | $ | 1,330,000 | $ 1,264,801 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Other Banks & Diversified Financials – 2.6% | ||||
American Express Co., 2.25%, 3/04/2025 | $ | 773,000 | $ 742,594 | |
Banque Federative du Credit Mutuel S.A., 0.65%, 2/27/2024 (n) | 1,833,000 | 1,740,598 | ||
Groupe BPCE S.A., 4%, 9/12/2023 (n) | 1,385,000 | 1,382,699 | ||
Groupe BPCE S.A., FLR, 2.961% (LIBOR - 3mo. + 1.24%), 9/12/2023 (n) | 1,385,000 | 1,388,563 | ||
Macquarie Group Ltd., 1.201% to 10/14/2024, FLR (SOFR - 1 day + 0.694%) to 10/14/2025 (n) | 654,000 | 606,366 | ||
Macquarie Group Ltd., 1.34% to 1/12/2026, FLR (SOFR - 1 day + 1.069%) to 1/12/2027 (n) | 1,200,000 | 1,054,670 | ||
National Bank of Canada, 2.15%, 10/07/2022 (n) | 1,348,000 | 1,345,705 | ||
National Bank of Canada, 0.9% to 8/15/2022, FLR (CMT - 1yr. + 0.77%) to 8/15/2023 | 523,000 | 521,057 | ||
National Bank of Canada, 0.55% to 11/15/2023, FLR (CMT - 1yr. + 0.4%) to 11/15/2024 | 250,000 | 238,339 | ||
$9,020,591 | ||||
Pharmaceuticals – 0.4% | ||||
Royalty Pharma PLC, 0.75%, 9/02/2023 | $ | 1,481,000 | $ 1,426,101 | |
Railroad & Shipping – 0.4% | ||||
Canadian Pacific Railway Co., 1.35%, 12/02/2024 | $ | 1,588,000 | $ 1,493,837 | |
Real Estate - Office – 0.2% | ||||
Corporate Office Property LP, REIT, 2.25%, 3/15/2026 | $ | 697,000 | $ 631,705 | |
Retailers – 1.0% | ||||
Alibaba Group Holding Ltd., 2.8%, 6/06/2023 | $ | 1,223,000 | $ 1,214,371 | |
Kohl's Corp., 9.5%, 5/15/2025 | 1,587,000 | 1,675,314 | ||
Nordstrom, Inc., 2.3%, 4/08/2024 | 519,000 | 493,932 | ||
$3,383,617 | ||||
Specialty Stores – 0.6% | ||||
Genuine Parts Co., 1.75%, 2/01/2025 | $ | 792,000 | $ 746,198 | |
Ross Stores, Inc., 0.875%, 4/15/2026 | 1,622,000 | 1,433,959 | ||
$2,180,157 | ||||
Telecommunications - Wireless – 1.1% | ||||
Crown Castle International Corp., 3.15%, 7/15/2023 | $ | 1,037,000 | $ 1,025,721 | |
Crown Castle International Corp., REIT, 1.35%, 7/15/2025 | 257,000 | 234,911 | ||
Crown Castle International Corp., REIT, 2.9%, 3/15/2027 | 206,000 | 189,963 | ||
Rogers Communications, Inc., 3.2%, 3/15/2027 (n) | 683,000 | 647,831 | ||
T-Mobile USA, Inc., 3.5%, 4/15/2025 | 1,901,000 | 1,859,254 | ||
$3,957,680 | ||||
Tobacco – 0.3% | ||||
B.A.T. Capital Corp., 3.222%, 8/15/2024 | $ | 1,047,000 | $ 1,017,690 | |
Transportation - Services – 1.3% | ||||
Element Fleet Management Corp., 1.6%, 4/06/2024 (n) | $ | 2,849,000 | $ 2,713,056 | |
ERAC USA Finance LLC, 2.7%, 11/01/2023 (n) | 872,000 | 859,277 | ||
ERAC USA Finance LLC, 3.85%, 11/15/2024 (n) | 551,000 | 543,490 | ||
ERAC USA Finance LLC, 3.8%, 11/01/2025 (n) | 551,000 | 541,252 | ||
$4,657,075 | ||||
U.S. Treasury Obligations – 16.5% | ||||
U.S. Treasury Notes, 0.125%, 1/31/2023 (f) | $ | 17,971,000 | $ 17,717,581 | |
U.S. Treasury Notes, 0.125%, 12/15/2023 (f) | 42,034,000 | 40,332,936 | ||
$58,050,517 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Utilities - Electric Power – 3.5% | ||||
Emera US Finance LP, 0.833%, 6/15/2024 | $ | 589,000 | $ 549,945 | |
ENGIE Energía Chile S.A., 4.5%, 1/29/2025 (n) | 2,071,000 | 2,034,757 | ||
FirstEnergy Corp., 2.05%, 3/01/2025 | 929,000 | 852,357 | ||
FirstEnergy Corp., 1.6%, 1/15/2026 | 513,000 | 447,593 | ||
NextEra Energy Capital Holdings, Inc., 0.65%, 3/01/2023 | 1,049,000 | 1,030,987 | ||
Pacific Gas & Electric Co., 1.367%, 3/10/2023 | 432,000 | 425,368 | ||
Pacific Gas & Electric Co., 1.7%, 11/15/2023 | 443,000 | 426,917 | ||
Pacific Gas & Electric Co., 3.25%, 2/16/2024 | 1,338,000 | 1,303,174 | ||
Pacific Gas & Electric Co., 4.95%, 6/08/2025 | 550,000 | 539,279 | ||
Southern California Edison Co., 0.7%, 8/01/2023 | 900,000 | 872,235 | ||
Southern California Edison Co., 0.975%, 8/01/2024 | 667,000 | 628,824 | ||
Vistra Operations Co. LLC, 4.875%, 5/13/2024 (n) | 952,000 | 947,099 | ||
WEC Energy Group, Inc., 0.8%, 3/15/2024 | 612,000 | 581,149 | ||
Xcel Energy, Inc., 0.5%, 10/15/2023 | 1,753,000 | 1,686,776 | ||
$12,326,460 | ||||
Total Bonds (Identified Cost, $366,401,588) | $350,807,634 | |||
Investment Companies (h) – 0.0% | ||||
Money Market Funds – 0.0% | ||||
MFS Institutional Money Market Portfolio, 1.21% (v) (Identified Cost, $2) | 2 | $ 2 | ||
Other Assets, Less Liabilities – 0.5% | 1,650,289 | |||
Net Assets – 100.0% | $352,457,925 |
(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 $2 and $350,807,634, 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 $133,816,808, representing 38.0% of net assets. |
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
(z) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities: |
Restricted Securities | Acquisition Date | Cost | Value |
MF1 2020-FL3 Ltd., “B”, FLR, 5.143% (LIBOR - 1mo. + 3.75%), 7/15/2035 | 6/12/20 | $192,000 | $189,150 |
MF1 2020-FL3 Ltd., “C”, FLR, 5.893% (LIBOR - 1mo. + 4.5%), 7/15/2035 | 6/12/20 | 274,500 | 270,424 |
Total Restricted Securities | $459,574 | ||
% of Net assets | 0.1% |
The following abbreviations are used in this report and are defined: | |
AGM | Assured Guaranty Municipal |
BAM | Build America Mutual |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
LIBOR | London Interbank Offered Rate |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
Derivative Contracts at 6/30/22 | ||||||
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Note 2 yr | Long | USD | 79 | $16,591,234 | September – 2022 | $(114,774) |
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 | ||||||||||
Interest Rate Swaps | ||||||||||
5/13/25 | USD | 19,500,000 | centrally cleared | 2.76%/Annual | 2.76% FLR (Daily SOFR)/Daily | $(15,384) | $— | $(15,384) |
Financial Statements | Statement of Assets and Liabilities (unaudited) |
At 6/30/22Assets | |
Investments in unaffiliated issuers, at value (identified cost, $366,401,588) | $350,807,634 |
Investments in affiliated issuers, at value (identified cost, $2) | 2 |
Receivables for | |
Net daily variation margin on open cleared swap agreements | 71,880 |
Net daily variation margin on open futures contracts | 44,457 |
Investments sold | 2,643,202 |
Fund shares sold | 58,158 |
Interest and dividends | 2,100,283 |
Other assets | 1,016 |
Total assets | $355,726,632 |
Liabilities | |
Payable to custodian | $2,893,309 |
Payables for | |
Fund shares reacquired | 254,350 |
Payable to affiliates | |
Investment adviser | 7,440 |
Administrative services fee | 374 |
Shareholder servicing costs | 30 |
Distribution and/or service fees | 1,233 |
Accrued expenses and other liabilities | 111,971 |
Total liabilities | $3,268,707 |
Net assets | $352,457,925 |
Net assets consist of | |
Paid-in capital | $360,299,538 |
Total distributable earnings (loss) | (7,841,613) |
Net assets | $352,457,925 |
Shares of beneficial interest outstanding | 36,057,929 |
Net assets | Shares outstanding | Net asset value per share | |
Initial Class | $262,301,765 | 26,823,534 | $9.78 |
Service Class | 90,156,160 | 9,234,395 | 9.76 |
Financial Statements | Statement of Operations (unaudited) |
Six months ended 6/30/22 | |
Net investment income (loss) | |
Income | |
Interest | $2,141,178 |
Other | 13,596 |
Dividends from affiliated issuers | 10,266 |
Total investment income | $2,165,040 |
Expenses | |
Management fee | $783,291 |
Distribution and/or service fees | 125,314 |
Shareholder servicing costs | 3,274 |
Administrative services fee | 34,293 |
Independent Trustees' compensation | 3,657 |
Custodian fee | 13,320 |
Shareholder communications | 5,242 |
Audit and tax fees | 35,507 |
Legal fees | 1,146 |
Miscellaneous | 18,691 |
Total expenses | $1,023,735 |
Reduction of expenses by investment adviser | (27,556) |
Net expenses | $996,179 |
Net investment income (loss) | $1,168,861 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $(941,825) |
Affiliated issuers | (691) |
Futures contracts | (515,211) |
Net realized gain (loss) | $(1,457,727) |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $(16,857,187) |
Futures contracts | (107,276) |
Swap agreements | (15,384) |
Net unrealized gain (loss) | $(16,979,847) |
Net realized and unrealized gain (loss) | $(18,437,574) |
Change in net assets from operations | $(17,268,713) |
Financial Statements | Statements of Changes in Net Assets |
Six months ended | Year ended | |
6/30/22 (unaudited) | 12/31/21 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $1,168,861 | $6,078,008 |
Net realized gain (loss) | (1,457,727) | 2,567,548 |
Net unrealized gain (loss) | (16,979,847) | (8,459,336) |
Change in net assets from operations | $(17,268,713) | $186,220 |
Total distributions to shareholders | $— | $(10,447,490) |
Change in net assets from fund share transactions | $(55,543,714) | $(3,392,860) |
Total change in net assets | $(72,812,427) | $(13,654,130) |
Net assets | ||
At beginning of period | 425,270,352 | 438,924,482 |
At end of period | $352,457,925 | $425,270,352 |
Financial Statements | Financial Highlights |
Initial Class | Six months ended | Year ended | ||||
6/30/22 (unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |
Net asset value, beginning of period | $10.21 | $10.45 | $10.34 | $10.10 | $10.18 | $10.17 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.03 | $0.15 | $0.23 | $0.29 | $0.23 | $0.18 |
Net realized and unrealized gain (loss) | (0.46) | (0.13) | 0.21 | 0.23 | (0.10) | (0.00)(w) |
Total from investment operations | $(0.43) | $0.02 | $0.44 | $0.52 | $0.13 | $0.18 |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.24) | $(0.33) | $(0.28) | $(0.21) | $(0.17) |
From net realized gain | — | (0.02) | — | — | — | — |
Total distributions declared to shareholders | $— | $(0.26) | $(0.33) | $(0.28) | $(0.21) | $(0.17) |
Net asset value, end of period (x) | $9.78 | $10.21 | $10.45 | $10.34 | $10.10 | $10.18 |
Total return (%) (k)(r)(s)(x) | (4.21)(n) | 0.16 | 4.34 | 5.19 | 1.28 | 1.73 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 0.46(a) | 0.46 | 0.46 | 0.45 | 0.45 | 0.45 |
Expenses after expense reductions | 0.44(a) | 0.44 | 0.45 | 0.44 | 0.44 | 0.45 |
Net investment income (loss) | 0.66(a) | 1.45 | 2.18 | 2.81 | 2.31 | 1.77 |
Portfolio turnover | 11(n) | 50 | 51 | 39 | 62 | 54 |
Net assets at end of period (000 omitted) | $262,302 | $318,803 | $326,075 | $343,507 | $359,909 | $434,320 |
Service Class | Six months ended | Year ended | ||||
6/30/22 (unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |
Net asset value, beginning of period | $10.20 | $10.45 | $10.33 | $10.09 | $10.17 | $10.16 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.02 | $0.13 | $0.20 | $0.26 | $0.21 | $0.16 |
Net realized and unrealized gain (loss) | (0.46) | (0.15) | 0.23 | 0.23 | (0.11) | (0.01) |
Total from investment operations | $(0.44) | $(0.02) | $0.43 | $0.49 | $0.10 | $0.15 |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.21) | $(0.31) | $(0.25) | $(0.18) | $(0.14) |
From net realized gain | — | (0.02) | — | — | — | — |
Total distributions declared to shareholders | $— | $(0.23) | $(0.31) | $(0.25) | $(0.18) | $(0.14) |
Net asset value, end of period (x) | $9.76 | $10.20 | $10.45 | $10.33 | $10.09 | $10.17 |
Total return (%) (k)(r)(s)(x) | (4.31)(n) | (0.19) | 4.15 | 4.90 | 0.99 | 1.45 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 0.71(a) | 0.71 | 0.71 | 0.70 | 0.70 | 0.70 |
Expenses after expense reductions | 0.70(a) | 0.69 | 0.70 | 0.69 | 0.69 | 0.70 |
Net investment income (loss) | 0.41(a) | 1.20 | 1.93 | 2.56 | 2.06 | 1.52 |
Portfolio turnover | 11(n) | 50 | 51 | 39 | 62 | 54 |
Net assets at end of period (000 omitted) | $90,156 | $106,468 | $112,850 | $117,362 | $117,798 | $142,696 |
(a) | Annualized. |
(d) | Per share data is based on average shares outstanding. |
(k) | The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(w) | Per share amount was less than $0.01. |
(x) | The net asset values and total returns 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 | $— | $58,050,517 | $— | $58,050,517 |
Non - U.S. Sovereign Debt | — | 6,442,797 | — | 6,442,797 |
Municipal Bonds | — | 13,604,328 | — | 13,604,328 |
U.S. Corporate Bonds | — | 111,345,358 | — | 111,345,358 |
Residential Mortgage-Backed Securities | — | 5,251,450 | — | 5,251,450 |
Commercial Mortgage-Backed Securities | — | 25,612,811 | — | 25,612,811 |
Asset-Backed Securities (including CDOs) | — | 52,232,405 | — | 52,232,405 |
Foreign Bonds | — | 78,267,968 | — | 78,267,968 |
Mutual Funds | 2 | — | — | 2 |
Total | $2 | $350,807,634 | $— | $350,807,636 |
Other Financial Instruments | ||||
Futures Contracts – Liabilities | $(114,774) | $— | $— | $(114,774) |
Swap Agreements – Liabilities | — | (15,384) | — | (15,384) |
Fair Value (a) | ||
Risk | Derivative Contracts | Liability Derivatives |
Interest Rate | Futures Contracts | $(114,774) |
Interest Rate | Cleared Swap Agreements | (15,384) |
Total | $(130,158) |
Risk | Futures Contracts | |||
Interest Rate | $(515,211) |
Risk | Futures Contracts | Swap Agreements | ||
Interest Rate | $(107,276) | $(15,384) |
Year ended 12/31/21 | |
Ordinary income (including any short-term capital gains) | $9,619,310 |
Long-term capital gains | 828,180 |
Total distributions | $10,447,490 |
As of 6/30/22 | |
Cost of investments | $366,428,888 |
Gross appreciation | 154,186 |
Gross depreciation | (15,775,438) |
Net unrealized appreciation (depreciation) | $(15,621,252) |
As of 12/31/21 | |
Undistributed ordinary income | 6,814,926 |
Undistributed long-term capital gain | 1,385,186 |
Net unrealized appreciation (depreciation) | 1,226,988 |
Six months ended 6/30/22 | Year ended 12/31/21 | ||
Initial Class | $— | $8,028,886 | |
Service Class | — | 2,418,604 | |
Total | $— | $10,447,490 |
Purchases | Sales | |
U.S. Government securities | $— | $25,007,181 |
Non-U.S. Government securities | 42,564,826 | 64,270,134 |
Six months ended 6/30/22 | Year ended 12/31/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Initial Class | 125,012 | $1,241,619 | 2,725,133 | $28,404,219 | |
Service Class | 173,286 | 1,725,657 | 1,005,181 | 10,464,064 | |
298,298 | $2,967,276 | 3,730,314 | $38,868,283 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Initial Class | — | $— | 783,306 | $8,028,886 | |
Service Class | — | — | 235,731 | 2,418,604 | |
— | $— | 1,019,037 | $10,447,490 | ||
Shares reacquired | |||||
Initial Class | (4,536,088) | $(44,989,185) | (3,467,630) | $(36,020,828) | |
Service Class | (1,373,590) | (13,521,805) | (1,605,376) | (16,687,805) | |
(5,909,678) | $(58,510,990) | (5,073,006) | $(52,708,633) | ||
Net change | |||||
Initial Class | (4,411,076) | $(43,747,566) | 40,809 | $412,277 | |
Service Class | (1,200,304) | (11,796,148) | (364,464) | (3,805,137) | |
(5,611,380) | $(55,543,714) | (323,655) | $(3,392,860) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $4,686,372 | $51,823,762 | $56,509,441 | $(691) | $— | $2 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $10,266 | $— |
1 | |
2 | |
3 | |
4 | |
5 | |
6 | |
7 | |
8 | |
10 | |
17 | |
18 | |
18 | |
18 | |
18 |
MFS Value Series | 11.2% |
MFS Growth Series | 10.6% |
MFS Research Series | 10.0% |
MFS Research International Portfolio | 9.1% |
MFS Mid Cap Value Portfolio | 9.0% |
MFS Mid Cap Growth Series | 8.7% |
MFS Total Return Bond Series | 5.2% |
MFS High Yield Portfolio | 5.1% |
MFS Inflation-Adjusted Bond Portfolio | 5.1% |
MFS International Growth Portfolio | 5.0% |
MFS Global Real Estate Portfolio | 4.9% |
MFS International Intrinsic Value Portfolio | 4.9% |
MFS Global Governments Portfolio | 4.1% |
MFS Limited Maturity Portfolio | 2.1% |
MFS New Discovery Value Portfolio | 2.0% |
MFS New Discovery Series | 1.9% |
MFS Emerging Markets Equity Portfolio | 1.0% |
Cash & Cash Equivalents | 0.1% |
January 1, 2022 through June 30, 2022
Share Class | Annualized Expense Ratio | Beginning Account Value 1/01/22 | Ending Account Value 6/30/22 | Expenses Paid During Period (p) 1/01/22-6/30/22 | |
Initial Class | Actual | 0.04% | $1,000.00 | $801.06 | $0.18 |
Hypothetical (h) | 0.04% | $1,000.00 | $1,024.60 | $0.20 | |
Service Class | Actual | 0.29% | $1,000.00 | $800.00 | $1.29 |
Hypothetical (h) | 0.29% | $1,000.00 | $1,023.36 | $1.45 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). In addition to the fees and expenses which the fund bears directly, the fund indirectly bears a pro rata share of the fees and expenses of the underlying funds in which the fund invests. If these indirect costs were included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Investment Companies (h) – 100.0% | ||||
Bond Funds – 21.6% | ||||
MFS Global Governments Portfolio - Initial Class | 1,239,895 | $ 11,283,048 | ||
MFS High Yield Portfolio - Initial Class | 2,872,695 | 13,817,665 | ||
MFS Inflation-Adjusted Bond Portfolio - Initial Class | 1,386,653 | 13,741,729 | ||
MFS Limited Maturity Portfolio - Initial Class | 587,389 | 5,744,661 | ||
MFS Total Return Bond Series - Initial Class | 1,179,737 | 14,227,621 | ||
$58,814,724 | ||||
International Stock Funds – 20.0% | ||||
MFS Emerging Markets Equity Portfolio - Initial Class | 210,388 | $ 2,747,671 | ||
MFS International Growth Portfolio - Initial Class | 1,017,937 | 13,772,686 | ||
MFS International Intrinsic Value Portfolio - Initial Class | 487,726 | 13,427,114 | ||
MFS Research International Portfolio - Initial Class | 1,628,754 | 24,691,908 | ||
$54,639,379 | ||||
Specialty Funds – 4.9% | ||||
MFS Global Real Estate Portfolio - Initial Class | 900,661 | $ 13,455,875 | ||
U.S. Stock Funds – 53.4% | ||||
MFS Growth Series - Initial Class | 518,673 | $ 29,045,675 | ||
MFS Mid Cap Growth Series - Initial Class | 2,929,498 | 23,904,705 | ||
MFS Mid Cap Value Portfolio - Initial Class | 2,582,126 | 24,478,556 | ||
MFS New Discovery Series - Initial Class | 320,016 | 5,088,255 | ||
MFS New Discovery Value Portfolio - Initial Class | 562,308 | 5,465,633 | ||
MFS Research Series - Initial Class | 879,514 | 27,335,297 | ||
MFS Value Series - Initial Class | 1,420,320 | 30,508,478 | ||
$145,826,599 | ||||
Money Market Funds – 0.1% | ||||
MFS Institutional Money Market Portfolio, 1.21% (v) | 179,918 | $ 179,900 | ||
Total Investment Companies (Identified Cost, $221,697,464) | $272,916,477 | |||
Other Assets, Less Liabilities – (0.0)% | (41,453) | |||
Net Assets – 100.0% | $272,875,024 |
(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 value of the fund’s investments in affiliated issuers was $272,916,477. | |||
(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. |
Financial Statements | Statement of Assets and Liabilities (unaudited) |
At 6/30/22Assets | |
Investments in affiliated issuers, at value (identified cost, $221,697,464) | $272,916,477 |
Receivables for | |
Investments sold | 86,600 |
Fund shares sold | 8,212 |
Dividends | 141 |
Other assets | 909 |
Total assets | $273,012,339 |
Liabilities | |
Payables for | |
Fund shares reacquired | $91,004 |
Payable to affiliates | |
Administrative services fee | 96 |
Shareholder servicing costs | 35 |
Distribution and/or service fees | 3,714 |
Payable for independent Trustees' compensation | 157 |
Accrued expenses and other liabilities | 42,309 |
Total liabilities | $137,315 |
Net assets | $272,875,024 |
Net assets consist of | |
Paid-in capital | $182,648,835 |
Total distributable earnings (loss) | 90,226,189 |
Net assets | $272,875,024 |
Shares of beneficial interest outstanding | 25,647,730 |
Net assets | Shares outstanding | Net asset value per share | |
Initial Class | $3,492,952 | 328,575 | $10.63 |
Service Class | 269,382,072 | 25,319,155 | 10.64 |
Financial Statements | Statement of Operations (unaudited) |
Six months ended 6/30/22 | |
Net investment income (loss) | |
Income | |
Dividends from affiliated issuers | $299 |
Expenses | |
Distribution and/or service fees | $381,366 |
Shareholder servicing costs | 3,783 |
Administrative services fee | 8,679 |
Independent Trustees' compensation | 3,239 |
Custodian fee | 2,324 |
Shareholder communications | 2,427 |
Audit and tax fees | 21,311 |
Legal fees | 944 |
Miscellaneous | 13,412 |
Total expenses | $437,485 |
Net investment income (loss) | $(437,186) |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Investments in affiliated issuers | $3,387,015 |
Change in unrealized appreciation or depreciation | |
Affiliated issuers | $(72,664,275) |
Net realized and unrealized gain (loss) | $(69,277,260) |
Change in net assets from operations | $(69,714,446) |
Financial Statements | Statements of Changes in Net Assets |
Six months ended | Year ended | |
6/30/22 (unaudited) | 12/31/21 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $(437,186) | $3,962,970 |
Net realized gain (loss) | 3,387,015 | 34,050,761 |
Net unrealized gain (loss) | (72,664,275) | 14,160,136 |
Change in net assets from operations | $(69,714,446) | $52,173,867 |
Total distributions to shareholders | $— | $(26,312,418) |
Change in net assets from fund share transactions | $(13,995,461) | $(28,148,870) |
Total change in net assets | $(83,709,907) | $(2,287,421) |
Net assets | ||
At beginning of period | 356,584,931 | 358,872,352 |
At end of period | $272,875,024 | $356,584,931 |
Financial Statements | Financial Highlights |
Initial Class | Six months ended | Year ended | ||||
6/30/22 (unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |
Net asset value, beginning of period | $13.27 | $12.38 | $11.93 | $10.64 | $12.21 | $10.97 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d)(l) | $(0.00)(w) | $0.17 | $0.23 | $0.22 | $0.26 | $0.21 |
Net realized and unrealized gain (loss) | (2.64) | 1.75 | 1.53 | 2.53 | (0.78) | 1.91 |
Total from investment operations | $(2.64) | $1.92 | $1.76 | $2.75 | $(0.52) | $2.12 |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.23) | $(0.25) | $(0.29) | $(0.23) | $(0.23) |
From net realized gain | — | (0.80) | (1.06) | (1.17) | (0.82) | (0.65) |
Total distributions declared to shareholders | $— | $(1.03) | $(1.31) | $(1.46) | $(1.05) | $(0.88) |
Net asset value, end of period (x) | $10.63 | $13.27 | $12.38 | $11.93 | $10.64 | $12.21 |
Total return (%) (k)(s)(x) | (19.89)(n) | 15.76 | 15.80 | 26.96 | (5.20) | 19.86 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (h) | 0.04(a) | 0.03 | 0.04 | 0.03 | 0.03 | 0.03 |
Expenses after expense reductions (h) | N/A | N/A | N/A | N/A | N/A | N/A |
Net investment income (loss) (l) | (0.04)(a) | 1.31 | 2.02 | 1.88 | 2.13 | 1.75 |
Portfolio turnover | 1(n) | 2 | 6 | 0(b) | 2 | 2 |
Net assets at end of period (000 omitted) | $3,493 | $4,564 | $4,602 | $3,905 | $3,770 | $4,116 |
Service Class | Six months ended | Year ended | ||||
6/30/22 (unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |
Net asset value, beginning of period | $13.30 | $12.40 | $11.95 | $10.65 | $12.22 | $10.98 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d)(l) | $(0.02) | $0.14 | $0.18 | $0.20 | $0.22 | $0.17 |
Net realized and unrealized gain (loss) | (2.64) | 1.76 | 1.55 | 2.52 | (0.77) | 1.92 |
Total from investment operations | $(2.66) | $1.90 | $1.73 | $2.72 | $(0.55) | $2.09 |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.20) | $(0.22) | $(0.25) | $(0.20) | $(0.20) |
From net realized gain | — | (0.80) | (1.06) | (1.17) | (0.82) | (0.65) |
Total distributions declared to shareholders | $— | $(1.00) | $(1.28) | $(1.42) | $(1.02) | $(0.85) |
Net asset value, end of period (x) | $10.64 | $13.30 | $12.40 | $11.95 | $10.65 | $12.22 |
Total return (%) (k)(s)(x) | (20.00)(n) | 15.54 | 15.46 | 26.66 | (5.46) | 19.51 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (h) | 0.29(a) | 0.28 | 0.29 | 0.28 | 0.28 | 0.28 |
Expenses after expense reductions (h) | N/A | N/A | N/A | N/A | N/A | N/A |
Net investment income (loss) (l) | (0.29)(a) | 1.09 | 1.57 | 1.70 | 1.80 | 1.40 |
Portfolio turnover | 1(n) | 2 | 6 | 0(b) | 2 | 2 |
Net assets at end of period (000 omitted) | $269,382 | $352,021 | $354,270 | $351,229 | $330,320 | $415,923 |
(a) | Annualized. |
(b) | Less than 0.5%. |
(d) | Per share data is based on average shares outstanding. |
(h) | In addition to the fees and expenses which the fund bears directly, the fund indirectly bears a pro rata share of the fees and expenses of the underlying affiliated funds in which the fund invests. Accordingly, the expense ratio for the fund reflects only those fees and expenses borne directly by the fund. Because the underlying affiliated funds have varied expense and fee levels and the fund may own different proportions of the underlying affiliated funds at different times, the amount of fees and expenses incurred indirectly by the fund will vary. |
(k) | The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown. |
(l) | Recognition of net investment income by the fund may be affected by the timing of the declaration of dividends by the underlying affiliated funds in which the fund invests and for interim net investment income ratios, the actual annual net investment income ratio may differ. The ratios and per share amounts do not include net investment income of the underlying affiliated funds in which the fund invests. |
(n) | Not annualized. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(w) | Per share amount was less than $0.01. |
(x) | The net asset values and total returns 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 |
Mutual Funds | $272,916,477 | $— | $— | $272,916,477 |
Year ended 12/31/21 | |
Ordinary income (including any short-term capital gains) | $6,858,157 |
Long-term capital gains | 19,454,261 |
Total distributions | $26,312,418 |
As of 6/30/22 | |
Cost of investments | $223,555,207 |
Gross appreciation | 56,130,536 |
Gross depreciation | (6,769,266) |
Net unrealized appreciation (depreciation) | $49,361,270 |
As of 12/31/21 | |
Undistributed ordinary income | 5,027,363 |
Undistributed long-term capital gain | 32,887,727 |
Net unrealized appreciation (depreciation) | 122,025,545 |
Six months ended 6/30/22 | Year ended 12/31/21 | ||
Initial Class | $— | $338,086 | |
Service Class | — | 25,974,332 | |
Total | $— | $26,312,418 |
Six months ended 6/30/22 | Year ended 12/31/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Initial Class | 674 | $7,935 | 60,088 | $761,953 | |
Service Class | 434,875 | 4,933,802 | 682,056 | 8,959,061 | |
435,549 | $4,941,737 | 742,144 | $9,721,014 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Initial Class | — | $— | 26,147 | $338,086 | |
Service Class | — | — | 2,002,647 | 25,974,332 | |
— | $— | 2,028,794 | $26,312,418 | ||
Shares reacquired | |||||
Initial Class | (15,992) | $(192,008) | (114,198) | $(1,495,258) | |
Service Class | (1,586,368) | (18,745,190) | (4,784,086) | (62,687,044) | |
(1,602,360) | $(18,937,198) | (4,898,284) | $(64,182,302) | ||
Net change | |||||
Initial Class | (15,318) | $(184,073) | (27,963) | $(395,219) | |
Service Class | (1,151,493) | (13,811,388) | (2,099,383) | (27,753,651) | |
(1,166,811) | $(13,995,461) | (2,127,346) | $(28,148,870) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Emerging Markets Equity Portfolio | $3,394,382 | $51,975 | $77,337 | $(11,341) | $(610,008) | $2,747,671 |
MFS Global Governments Portfolio | 13,922,931 | 30,916 | 777,144 | (132,623) | (1,761,032) | 11,283,048 |
MFS Global Real Estate Portfolio | 18,242,774 | 180,606 | 1,089,250 | 409,442 | (4,287,697) | 13,455,875 |
MFS Growth Series | 39,071,878 | 1,595,285 | — | — | (11,621,488) | 29,045,675 |
MFS High Yield Portfolio | 17,725,856 | 232 | 1,549,450 | (270,464) | (2,088,509) | 13,817,665 |
MFS Inflation-Adjusted Bond Portfolio | 17,562,431 | 7,576 | 962,569 | (31,018) | (2,834,691) | 13,741,729 |
Affiliated Issuers − continued | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $184,532 | $1,168,259 | $1,172,881 | $— | $(10) | $179,900 |
MFS International Growth Portfolio | 17,900,752 | 1,170 | 731,539 | 85,825 | (3,483,522) | 13,772,686 |
MFS International Intrinsic Value Portfolio | 17,867,359 | 396,596 | 13,080 | 7,183 | (4,830,944) | 13,427,114 |
MFS Limited Maturity Portfolio | 7,021,967 | — | 994,449 | (53,602) | (229,255) | 5,744,661 |
MFS Mid Cap Growth Series | 32,274,365 | 1,564,434 | — | — | (9,934,094) | 23,904,705 |
MFS Mid Cap Value Portfolio | 32,533,688 | 93,925 | 3,868,041 | 997,511 | (5,278,527) | 24,478,556 |
MFS New Discovery Series | 6,589,512 | 663,900 | — | — | (2,165,157) | 5,088,255 |
MFS New Discovery Value Portfolio | 7,189,307 | 11,918 | 765,525 | 207,234 | (1,177,301) | 5,465,633 |
MFS Research International Portfolio | 32,201,596 | 16,165 | 937,720 | (15,409) | (6,572,724) | 24,691,908 |
MFS Research Series | 35,813,863 | 60,750 | 1,778,034 | 674,501 | (7,435,783) | 27,335,297 |
MFS Total Return Bond Series | 17,553,990 | 10,476 | 1,361,392 | (152,651) | (1,822,802) | 14,227,621 |
MFS Value Series | 39,579,129 | — | 4,212,347 | 1,672,427 | (6,530,731) | 30,508,478 |
$356,630,312 | $5,854,183 | $20,290,758 | $3,387,015 | $(72,664,275) | $272,916,477 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Emerging Markets Equity Portfolio | $— | $— |
MFS Global Governments Portfolio | — | — |
MFS Global Real Estate Portfolio | — | — |
MFS Growth Series | — | — |
MFS High Yield Portfolio | — | — |
MFS Inflation-Adjusted Bond Portfolio | — | — |
MFS Institutional Money Market Portfolio | 299 | — |
MFS International Growth Portfolio | — | — |
MFS International Intrinsic Value Portfolio | — | — |
MFS Limited Maturity Portfolio | — | — |
MFS Mid Cap Growth Series | — | — |
MFS Mid Cap Value Portfolio | — | — |
MFS New Discovery Series | — | — |
MFS New Discovery Value Portfolio | — | — |
MFS Research International Portfolio | — | — |
MFS Research Series | — | — |
MFS Total Return Bond Series | — | — |
MFS Value Series | — | — |
$299 | $— |
Estate Portfolio
1 | |
2 | |
3 | |
4 | |
6 | |
7 | |
8 | |
9 | |
11 | |
17 | |
18 | |
18 | |
18 | |
18 |
Prologis, Inc., REIT | 7.7% |
Equinix, Inc., REIT | 4.6% |
Extra Space Storage, Inc., REIT | 3.3% |
American Homes 4 Rent, “A”, REIT | 2.9% |
Simon Property Group, Inc., REIT | 2.9% |
Equity Lifestyle Properties, Inc., REIT | 2.8% |
Sun Communities, Inc., REIT | 2.7% |
Vonovia SE, REIT | 2.7% |
Goodman Group, REIT | 2.6% |
Welltower, Inc., REIT | 2.5% |
Real Estate | 91.6% |
Communication Services | 3.2% |
Health Care | 1.6% |
Financials | 1.6% |
United States | 60.7% |
United Kingdom | 8.1% |
Hong Kong | 5.2% |
Australia | 4.5% |
Japan | 4.4% |
Canada | 4.3% |
Germany | 3.8% |
Singapore | 3.6% |
Spain | 1.8% |
Other Countries | 3.6% |
United States Dollar | 60.7% |
British Pound Sterling | 8.1% |
Euro | 7.3% |
Hong Kong Dollar | 5.2% |
Australian Dollar | 4.5% |
Japanese Yen | 4.4% |
Canadian Dollar | 4.3% |
Singapore Dollar | 3.6% |
Indian Rupee | 1.1% |
Other Currencies | 0.8% |
(g) | The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and S&P Global Market Intelligence Inc. (“S&P Global Market Intelligence”). GICS is a service mark of MSCI and S&P Global Market Intelligence and has been licensed for use by MFS. MFS has applied its own internal sector/industry classification methodology for equity securities and non-equity securities that are unclassified by GICS. |
(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. |
(y) | Represents the portfolio’s exposure to a particular currency as a percentage of a portfolio's net assets. For purposes of this presentation, United States Dollar includes Cash & Cash Equivalents. |
January 1, 2022 through June 30, 2022
Share Class | Annualized Expense Ratio | Beginning Account Value 1/01/22 | Ending Account Value 6/30/22 | Expenses Paid During Period (p) 1/01/22-6/30/22 | |
Initial Class | Actual | 0.92% | $1,000.00 | $777.72 | $4.06 |
Hypothetical (h) | 0.92% | $1,000.00 | $1,020.23 | $4.61 | |
Service Class | Actual | 1.17% | $1,000.00 | $776.65 | $5.15 |
Hypothetical (h) | 1.17% | $1,000.00 | $1,018.99 | $5.86 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class's annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – 98.0% | ||||
Brokerage & Asset Managers – 1.6% | ||||
Brookfield Asset Management, Inc., “A” | 59,083 | $ 2,628,257 | ||
Construction – 7.6% | ||||
American Homes 4 Rent, “A”, REIT | 140,248 | $ 4,970,389 | ||
AvalonBay Communities, Inc., REIT | 21,465 | 4,169,576 | ||
Mid-America Apartment Communities, Inc., REIT | 20,971 | 3,663,005 | ||
$12,802,970 | ||||
Engineering - Construction – 0.8% | ||||
Corporacion Inmobiliaria Vesta S.A.B. de C.V. | 773,011 | $ 1,437,659 | ||
Forest & Paper Products – 4.5% | ||||
Rayonier, Inc., REIT | 109,069 | $ 4,076,999 | ||
Weyerhaeuser Co., REIT | 104,638 | 3,465,611 | ||
$7,542,610 | ||||
Medical & Health Technology & Services – 4.2% | ||||
Encompass Health Corp. | 49,795 | $ 2,791,010 | ||
Welltower, Inc., REIT | 51,918 | 4,275,447 | ||
$7,066,457 | ||||
Network & Telecom – 4.6% | ||||
Equinix, Inc., REIT | 11,747 | $ 7,718,014 | ||
Real Estate – 68.3% | ||||
Alexandria Real Estate Equities, Inc., REIT | 21,510 | $ 3,119,595 | ||
Allied Properties, REIT | 44,967 | 1,159,458 | ||
Ascendas India Trust, REIT | 1,684,700 | 1,418,771 | ||
Big Yellow Group PLC, REIT | 194,838 | 3,111,754 | ||
Boston Properties, Inc., REIT | 22,167 | 1,972,420 | ||
Brixmor Property Group, Inc., REIT | 159,129 | 3,215,997 | ||
CapitaLand Investment Ltd. | 1,307,000 | 3,593,709 | ||
Douglas Emmett, Inc., REIT | 66,184 | 1,481,198 | ||
Embassy Office Parks, REIT | 408,041 | 1,933,496 | ||
Equity Lifestyle Properties, Inc., REIT | 66,836 | 4,709,933 | ||
ESR Cayman Ltd. (a) | 1,154,600 | 3,119,427 | ||
Extra Space Storage, Inc., REIT | 32,410 | 5,513,589 | ||
Goodman Group, REIT | 358,040 | 4,408,927 | ||
Grainger PLC | 992,972 | 3,398,991 | ||
Granite REIT | 55,660 | 3,413,888 | ||
Heiwa Real Estate Co. Ltd. | 23,500 | 673,754 | ||
Host Hotels & Resorts, Inc., REIT | 100,299 | 1,572,688 | ||
Japan Logistics Fund, Inc., REIT | 904 | 2,088,768 | ||
Katitas Co. Ltd. | 159,500 | 3,434,987 | ||
LEG Immobilien SE | 23,882 | 1,980,148 | ||
National Retail Properties, Inc., REIT | 78,680 | 3,383,240 | ||
National Storage, REIT | 1,927,520 | 2,847,208 | ||
Parkway Real Estate LLC, REIT | 310,900 | 1,089,817 | ||
Phillips Edison & Co., REIT | 109,617 | 3,662,304 | ||
Prologis, Inc., REIT | 110,029 | 12,944,912 | ||
Rural Funds Group, REIT | 190,682 | 330,362 | ||
SEGRO PLC, REIT | 34,018 | 404,494 | ||
Shaftesbury PLC, REIT | 476,822 | 3,029,874 | ||
Shurgard Self Storage S.A. | 53,275 | 2,481,623 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Real Estate – continued | ||||
Simon Property Group, Inc., REIT | 51,223 | $ 4,862,087 | ||
Sino Land Co. Ltd. | 1,910,613 | 2,819,608 | ||
STAG Industrial, Inc., REIT | 73,743 | 2,277,184 | ||
Star Asia Investment Corp., REIT | 2,593 | 1,173,424 | ||
Sun Communities, Inc., REIT | 28,808 | 4,590,843 | ||
Swire Properties Ltd. | 1,146,800 | 2,846,978 | ||
Unite Group PLC, REIT | 108,743 | 1,408,448 | ||
Urban Edge Properties, REIT | 167,957 | 2,554,626 | ||
VICI Properties, Inc., REIT | 82,983 | 2,472,064 | ||
Vonovia SE, REIT | 146,742 | 4,521,081 | ||
Warehouses De Pauw, REIT | 4,695 | 147,604 | ||
$115,169,279 | ||||
Telecommunications - Wireless – 5.1% | ||||
American Tower Corp., REIT | 11,572 | $ 2,957,687 | ||
Cellnex Telecom S.A. | 80,160 | 3,110,656 | ||
SBA Communications Corp., REIT | 7,698 | 2,463,745 | ||
$8,532,088 | ||||
Telephone Services – 1.3% | ||||
Helios Tower PLC (a) | 1,531,330 | $ 2,253,683 | ||
Total Common Stocks (Identified Cost, $138,300,794) | $165,151,017 | |||
Investment Companies (h) – 1.9% | ||||
Money Market Funds – 1.9% | ||||
MFS Institutional Money Market Portfolio, 1.21% (v) (Identified Cost, $3,254,166) | 3,254,460 | $ 3,254,135 | ||
Other Assets, Less Liabilities – 0.1% | 171,578 | |||
Net Assets – 100.0% | $168,576,730 |
(a) | Non-income producing security. | |||
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $3,254,135 and $165,151,017, respectively. | |||
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
The following abbreviations are used in this report and are defined: | |
REIT | Real Estate Investment Trust |
Financial Statements | Statement of Assets and Liabilities (unaudited) |
At 6/30/22Assets | |
Investments in unaffiliated issuers, at value (identified cost, $138,300,794) | $165,151,017 |
Investments in affiliated issuers, at value (identified cost, $3,254,166) | 3,254,135 |
Cash | 6,618 |
Receivables for | |
Investments sold | 174,600 |
Fund shares sold | 71,192 |
Dividends | 420,571 |
Receivable from investment adviser | 4,515 |
Other assets | 621 |
Total assets | $169,083,269 |
Liabilities | |
Payable to custodian | $36 |
Payables for | |
Investments purchased | 378,006 |
Fund shares reacquired | 32,754 |
Payable to affiliates | |
Administrative services fee | 207 |
Shareholder servicing costs | 64 |
Distribution and/or service fees | 784 |
Accrued expenses and other liabilities | 94,688 |
Total liabilities | $506,539 |
Net assets | $168,576,730 |
Net assets consist of | |
Paid-in capital | $120,961,815 |
Total distributable earnings (loss) | 47,614,915 |
Net assets | $168,576,730 |
Shares of beneficial interest outstanding | 10,706,429 |
Net assets | Shares outstanding | Net asset value per share | |
Initial Class | $112,005,749 | 7,497,577 | $14.94 |
Service Class | 56,570,981 | 3,208,852 | 17.63 |
Financial Statements | Statement of Operations (unaudited) |
Six months ended 6/30/22 | |
Net investment income (loss) | |
Income | |
Dividends | $2,886,503 |
Dividends from affiliated issuers | 8,804 |
Other | 3,260 |
Foreign taxes withheld | (91,795) |
Total investment income | $2,806,772 |
Expenses | |
Management fee | $859,485 |
Distribution and/or service fees | 77,567 |
Shareholder servicing costs | 7,398 |
Administrative services fee | 19,255 |
Independent Trustees' compensation | 2,482 |
Custodian fee | 14,341 |
Shareholder communications | 3,804 |
Audit and tax fees | 36,708 |
Legal fees | 543 |
Miscellaneous | 13,510 |
Total expenses | $1,035,093 |
Reduction of expenses by investment adviser | (79,385) |
Net expenses | $955,708 |
Net investment income (loss) | $1,851,064 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $8,523,523 |
Affiliated issuers | (416) |
Foreign currency | (24,395) |
Net realized gain (loss) | $8,498,712 |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $(57,998,287) |
Affiliated issuers | (31) |
Translation of assets and liabilities in foreign currencies | (6,546) |
Net unrealized gain (loss) | $(58,004,864) |
Net realized and unrealized gain (loss) | $(49,506,152) |
Change in net assets from operations | $(47,655,088) |
Financial Statements | Statements of Changes in Net Assets |
Six months ended | Year ended | |
6/30/22 (unaudited) | 12/31/21 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $1,851,064 | $2,407,206 |
Net realized gain (loss) | 8,498,712 | 15,733,020 |
Net unrealized gain (loss) | (58,004,864) | 35,301,403 |
Change in net assets from operations | $(47,655,088) | $53,441,629 |
Total distributions to shareholders | $— | $(2,751,003) |
Change in net assets from fund share transactions | $(2,870,739) | $(17,145,580) |
Total change in net assets | $(50,525,827) | $33,545,046 |
Net assets | ||
At beginning of period | 219,102,557 | 185,557,511 |
At end of period | $168,576,730 | $219,102,557 |
Financial Statements | Financial Highlights |
Initial Class | Six months ended | Year ended | ||||
6/30/22 (unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |
Net asset value, beginning of period | $19.21 | $14.98 | $15.91 | $13.10 | $14.27 | $14.01 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.17 | $0.22 | $0.28 | $0.35 | $0.42 | $0.37 |
Net realized and unrealized gain (loss) | (4.44) | 4.27 | (0.14) | 3.14 | (0.79) | 1.42 |
Total from investment operations | $(4.27) | $4.49 | $0.14 | $3.49 | $(0.37) | $1.79 |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.26) | $(0.70) | $(0.58) | $(0.58) | $(0.63) |
From net realized gain | — | — | (0.37) | (0.10) | (0.22) | (0.90) |
Total distributions declared to shareholders | $— | $(0.26) | $(1.07) | $(0.68) | $(0.80) | $(1.53) |
Net asset value, end of period (x) | $14.94 | $19.21 | $14.98 | $15.91 | $13.10 | $14.27 |
Total return (%) (k)(r)(s)(x) | (22.23)(n) | 30.12 | 1.49 | 26.87 | (3.03) | 13.33 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 1.00(a) | 1.01 | 1.02 | 1.01 | 1.01 | 1.00 |
Expenses after expense reductions | 0.92(a) | 0.92 | 0.92 | 0.92 | 0.92 | 0.92 |
Net investment income (loss) | 2.01(a) | 1.27 | 2.00 | 2.31 | 3.00 | 2.56 |
Portfolio turnover | 18(n) | 26 | 43 | 36 | 24 | 24 |
Net assets at end of period (000 omitted) | $112,006 | $149,746 | $127,523 | $132,530 | $99,826 | $114,198 |
Service Class | Six months ended | Year ended | ||||
6/30/22 (unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |
Net asset value, beginning of period | $22.70 | $17.66 | $18.56 | $15.17 | $16.41 | $15.89 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.18 | $0.20 | $0.29 | $0.36 | $0.44 | $0.38 |
Net realized and unrealized gain (loss) | (5.25) | 5.06 | (0.17)(g) | 3.66 | (0.93) | 1.62 |
Total from investment operations | $(5.07) | $5.26 | $0.12 | $4.02 | $(0.49) | $2.00 |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.22) | $(0.65) | $(0.53) | $(0.53) | $(0.58) |
From net realized gain | — | — | (0.37) | (0.10) | (0.22) | (0.90) |
Total distributions declared to shareholders | $— | $(0.22) | $(1.02) | $(0.63) | $(0.75) | $(1.48) |
Net asset value, end of period (x) | $17.63 | $22.70 | $17.66 | $18.56 | $15.17 | $16.41 |
Total return (%) (k)(r)(s)(x) | (22.33)(n) | 29.87 | 1.15 | 26.68 | (3.33) | 13.07 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 1.25(a) | 1.26 | 1.27 | 1.26 | 1.26 | 1.25 |
Expenses after expense reductions | 1.17(a) | 1.17 | 1.17 | 1.17 | 1.17 | 1.17 |
Net investment income (loss) | 1.79(a) | 1.02 | 1.75 | 2.07 | 2.74 | 2.31 |
Portfolio turnover | 18(n) | 26 | 43 | 36 | 24 | 24 |
Net assets at end of period (000 omitted) | $56,571 | $69,356 | $58,035 | $58,508 | $53,577 | $70,167 |
(a) | Annualized. |
(d) | Per share data is based on average shares outstanding. |
(g) | The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time. |
(k) | The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Equity Securities | $165,151,017 | $— | $— | $165,151,017 |
Mutual Funds | 3,254,135 | — | — | 3,254,135 |
Total | $168,405,152 | $— | $— | $168,405,152 |
Year ended 12/31/21 | |
Ordinary income (including any short-term capital gains) | $2,751,003 |
As of 6/30/22 | |
Cost of investments | $145,759,216 |
Gross appreciation | 31,952,062 |
Gross depreciation | (9,306,126) |
Net unrealized appreciation (depreciation) | $22,645,936 |
As of 12/31/21 | |
Undistributed ordinary income | 4,477,190 |
Undistributed long-term capital gain | 10,147,830 |
Other temporary differences | 729 |
Net unrealized appreciation (depreciation) | 80,644,254 |
Six months ended 6/30/22 | Year ended 12/31/21 | ||
Initial Class | $— | $2,105,622 | |
Service Class | — | 645,381 | |
Total | $— | $2,751,003 |
Up to $1 billion | 0.90% |
In excess of $1 billion and up to $2.5 billion | 0.75% |
In excess of $2.5 billion | 0.65% |
Six months ended 6/30/22 | Year ended 12/31/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Initial Class | 581,232 | $9,803,161 | 1,366,223 | $22,749,533 | |
Service Class | 516,875 | 10,227,435 | 530,725 | 11,017,801 | |
1,098,107 | $20,030,596 | 1,896,948 | $33,767,334 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Initial Class | — | $— | 118,161 | $2,105,622 | |
Service Class | — | — | 30,630 | 645,381 | |
— | $— | 148,791 | $2,751,003 | ||
Shares reacquired | |||||
Initial Class | (878,576) | $(15,514,061) | (2,204,570) | $(37,592,076) | |
Service Class | (363,507) | (7,387,274) | (791,441) | (16,071,841) | |
(1,242,083) | $(22,901,335) | (2,996,011) | $(53,663,917) | ||
Net change | |||||
Initial Class | (297,344) | $(5,710,900) | (720,186) | $(12,736,921) | |
Service Class | 153,368 | 2,840,161 | (230,086) | (4,408,659) | |
(143,976) | $(2,870,739) | (950,272) | $(17,145,580) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $4,160,356 | $28,428,584 | $29,334,358 | $(416) | $(31) | $3,254,135 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $8,804 | $— |
Allocation Portfolio
1 | |
2 | |
3 | |
4 | |
5 | |
6 | |
7 | |
8 | |
10 | |
17 | |
18 | |
18 | |
18 | |
18 |
MFS Total Return Bond Series | 17.1% |
MFS Limited Maturity Portfolio | 12.0% |
MFS Government Securities Portfolio | 10.1% |
MFS Inflation-Adjusted Bond Portfolio | 10.0% |
MFS Global Governments Portfolio | 8.1% |
MFS Value Series | 5.9% |
MFS Research Series | 5.9% |
MFS Growth Series | 5.8% |
MFS High Yield Portfolio | 5.0% |
MFS Research International Portfolio | 3.9% |
MFS Mid Cap Value Portfolio | 3.9% |
MFS Mid Cap Growth Series | 3.9% |
MFS International Intrinsic Value Portfolio | 2.0% |
MFS International Growth Portfolio | 2.0% |
MFS Global Real Estate Portfolio | 1.9% |
MFS New Discovery Value Portfolio | 1.0% |
MFS New Discovery Series | 1.0% |
Cash & Cash Equivalents | 0.5% |
January 1, 2022 through June 30, 2022
Share Class | Annualized Expense Ratio | Beginning Account Value 1/01/22 | Ending Account Value 6/30/22 | Expenses Paid During Period (p) 1/01/22-6/30/22 | |
Initial Class | Actual | 0.03% | $1,000.00 | $849.42 | $0.14 |
Hypothetical (h) | 0.03% | $1,000.00 | $1,024.65 | $0.15 | |
Service Class | Actual | 0.28% | $1,000.00 | $848.26 | $1.28 |
Hypothetical (h) | 0.28% | $1,000.00 | $1,023.41 | $1.40 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). In addition to the fees and expenses which the fund bears directly, the fund indirectly bears a pro rata share of the fees and expenses of the underlying funds in which the fund invests. If these indirect costs were included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Investment Companies (h) – 100.0% | ||||
Bond Funds – 62.3% | ||||
MFS Global Governments Portfolio - Initial Class | 2,843,073 | $ 25,871,969 | ||
MFS Government Securities Portfolio - Initial Class | 2,880,151 | 32,459,304 | ||
MFS High Yield Portfolio - Initial Class | 3,292,835 | 15,838,536 | ||
MFS Inflation-Adjusted Bond Portfolio - Initial Class | 3,238,853 | 32,097,031 | ||
MFS Limited Maturity Portfolio - Initial Class | 3,949,334 | 38,624,482 | ||
MFS Total Return Bond Series - Initial Class | 4,558,119 | 54,970,920 | ||
$199,862,242 | ||||
International Stock Funds – 7.9% | ||||
MFS International Growth Portfolio - Initial Class | 466,734 | $ 6,314,903 | ||
MFS International Intrinsic Value Portfolio - Initial Class | 229,498 | 6,318,091 | ||
MFS Research International Portfolio - Initial Class | 833,424 | 12,634,704 | ||
$25,267,698 | ||||
Specialty Funds – 1.9% | ||||
MFS Global Real Estate Portfolio - Initial Class | 421,514 | $ 6,297,415 | ||
U.S. Stock Funds – 27.4% | ||||
MFS Growth Series - Initial Class | 334,100 | $ 18,709,600 | ||
MFS Mid Cap Growth Series - Initial Class | 1,534,532 | 12,521,782 | ||
MFS Mid Cap Value Portfolio - Initial Class | 1,326,494 | 12,575,163 | ||
MFS New Discovery Series - Initial Class | 194,356 | 3,090,254 | ||
MFS New Discovery Value Portfolio - Initial Class | 323,019 | 3,139,745 | ||
MFS Research Series - Initial Class | 606,039 | 18,835,706 | ||
MFS Value Series - Initial Class | 888,636 | 19,087,892 | ||
$87,960,142 | ||||
Money Market Funds – 0.5% | ||||
MFS Institutional Money Market Portfolio, 1.21% (v) | 1,639,117 | $ 1,638,954 | ||
Total Investment Companies (Identified Cost, $308,791,419) | $321,026,451 | |||
Other Assets, Less Liabilities – (0.0)% | (49,820) | |||
Net Assets – 100.0% | $320,976,631 |
(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 value of the fund’s investments in affiliated issuers was $321,026,451. | |||
(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. |
Financial Statements | Statement of Assets and Liabilities (unaudited) |
At 6/30/22Assets | |
Investments in affiliated issuers, at value (identified cost, $308,791,419) | $321,026,451 |
Receivables for | |
Investments sold | 174,574 |
Dividends | 1,295 |
Other assets | 981 |
Total assets | $321,203,301 |
Liabilities | |
Payables for | |
Fund shares reacquired | $174,574 |
Payable to affiliates | |
Administrative services fee | 96 |
Shareholder servicing costs | 39 |
Distribution and/or service fees | 4,374 |
Payable for independent Trustees' compensation | 165 |
Accrued expenses and other liabilities | 47,422 |
Total liabilities | $226,670 |
Net assets | $320,976,631 |
Net assets consist of | |
Paid-in capital | $279,965,678 |
Total distributable earnings (loss) | 41,010,953 |
Net assets | $320,976,631 |
Shares of beneficial interest outstanding | 31,370,646 |
Net assets | Shares outstanding | Net asset value per share | |
Initial Class | $1,920,373 | 188,176 | $10.21 |
Service Class | 319,056,258 | 31,182,470 | 10.23 |
Financial Statements | Statement of Operations (unaudited) |
Six months ended 6/30/22 | |
Net investment income (loss) | |
Income | |
Dividends from affiliated issuers | $2,726 |
Expenses | |
Distribution and/or service fees | $441,586 |
Shareholder servicing costs | 3,940 |
Administrative services fee | 8,679 |
Independent Trustees' compensation | 3,501 |
Custodian fee | 2,740 |
Shareholder communications | 2,863 |
Audit and tax fees | 21,322 |
Legal fees | 1,092 |
Miscellaneous | 13,590 |
Total expenses | $499,313 |
Net investment income (loss) | $(496,587) |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Investments in affiliated issuers | $249,466 |
Change in unrealized appreciation or depreciation | |
Affiliated issuers | $(59,110,884) |
Net realized and unrealized gain (loss) | $(58,861,418) |
Change in net assets from operations | $(59,358,005) |
Financial Statements | Statements of Changes in Net Assets |
Six months ended | Year ended | |
6/30/22 (unaudited) | 12/31/21 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $(496,587) | $6,700,560 |
Net realized gain (loss) | 249,466 | 25,776,581 |
Net unrealized gain (loss) | (59,110,884) | (5,112,515) |
Change in net assets from operations | $(59,358,005) | $27,364,626 |
Total distributions to shareholders | $— | $(23,872,548) |
Change in net assets from fund share transactions | $(21,680,220) | $(32,767,356) |
Total change in net assets | $(81,038,225) | $(29,275,278) |
Net assets | ||
At beginning of period | 402,014,856 | 431,290,134 |
At end of period | $320,976,631 | $402,014,856 |
Financial Statements | Financial Highlights |
Initial Class | Six months ended | Year ended | ||||
6/30/22 (unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |
Net asset value, beginning of period | $12.02 | $11.95 | $11.44 | $10.58 | $11.61 | $10.95 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d)(l) | $(0.00)(w) | $0.23 | $0.27 | $0.28 | $0.27 | $0.22 |
Net realized and unrealized gain (loss) | (1.81) | 0.60 | 1.09 | 1.47 | (0.55) | 1.02 |
Total from investment operations | $(1.81) | $0.83 | $1.36 | $1.75 | $(0.28) | $1.24 |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.29) | $(0.31) | $(0.31) | $(0.26) | $(0.26) |
From net realized gain | — | (0.47) | (0.54) | (0.58) | (0.49) | (0.32) |
Total distributions declared to shareholders | $— | $(0.76) | $(0.85) | $(0.89) | $(0.75) | $(0.58) |
Net asset value, end of period (x) | $10.21 | $12.02 | $11.95 | $11.44 | $10.58 | $11.61 |
Total return (%) (k)(s)(x) | (15.06)(n) | 7.00 | 12.31 | 16.87 | (2.73) | 11.48 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (h) | 0.03(a) | 0.03 | 0.03 | 0.03 | 0.03 | 0.02 |
Expenses after expense reductions (h) | N/A | N/A | N/A | N/A | N/A | N/A |
Net investment income (loss) (l) | (0.03)(a) | 1.90 | 2.40 | 2.47 | 2.34 | 1.94 |
Portfolio turnover | 2(n) | 1 | 7 | 2 | 1 | 0(b) |
Net assets at end of period (000 omitted) | $1,920 | $3,278 | $3,061 | $2,029 | $2,062 | $2,338 |
Service Class | Six months ended | Year ended | ||||
6/30/22 (unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |
Net asset value, beginning of period | $12.06 | $11.99 | $11.47 | $10.61 | $11.63 | $10.96 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d)(l) | $(0.02) | $0.19 | $0.23 | $0.25 | $0.23 | $0.19 |
Net realized and unrealized gain (loss) | (1.81) | 0.60 | 1.11 | 1.47 | (0.53) | 1.02 |
Total from investment operations | $(1.83) | $0.79 | $1.34 | $1.72 | $(0.30) | $1.21 |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.25) | $(0.28) | $(0.28) | $(0.23) | $(0.22) |
From net realized gain | — | (0.47) | (0.54) | (0.58) | (0.49) | (0.32) |
Total distributions declared to shareholders | $— | $(0.72) | $(0.82) | $(0.86) | $(0.72) | $(0.54) |
Net asset value, end of period (x) | $10.23 | $12.06 | $11.99 | $11.47 | $10.61 | $11.63 |
Total return (%) (k)(s)(x) | (15.17)(n) | 6.70 | 12.06 | 16.48 | (2.92) | 11.24 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (h) | 0.28(a) | 0.28 | 0.28 | 0.28 | 0.28 | 0.27 |
Expenses after expense reductions (h) | N/A | N/A | N/A | N/A | N/A | N/A |
Net investment income (loss) (l) | (0.28)(a) | 1.60 | 1.98 | 2.18 | 2.05 | 1.63 |
Portfolio turnover | 2(n) | 1 | 7 | 2 | 1 | 0(b) |
Net assets at end of period (000 omitted) | $319,056 | $398,737 | $428,229 | $433,203 | $442,988 | $552,579 |
(a) | Annualized. |
(b) | Less than 0.5%. |
(d) | Per share data is based on average shares outstanding. |
(h) | In addition to the fees and expenses which the fund bears directly, the fund indirectly bears a pro rata share of the fees and expenses of the underlying affiliated funds in which the fund invests. Accordingly, the expense ratio for the fund reflects only those fees and expenses borne directly by the fund. Because the underlying affiliated funds have varied expense and fee levels and the fund may own different proportions of the underlying affiliated funds at different times, the amount of fees and expenses incurred indirectly by the fund will vary. |
(k) | The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown. |
(l) | Recognition of net investment income by the fund may be affected by the timing of the declaration of dividends by the underlying affiliated funds in which the fund invests and for interim net investment income ratios, the actual annual net investment income ratio may differ. The ratios and per share amounts do not include net investment income of the underlying affiliated funds in which the fund invests. |
(n) | Not annualized. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(w) | Per share amount was less than $0.01. |
(x) | The net asset values and total returns 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 |
Mutual Funds | $321,026,451 | $— | $— | $321,026,451 |
Year ended 12/31/21 | |
Ordinary income (including any short-term capital gains) | $10,079,337 |
Long-term capital gains | 13,793,211 |
Total distributions | $23,872,548 |
As of 6/30/22 | |
Cost of investments | $312,241,978 |
Gross appreciation | 30,095,775 |
Gross depreciation | (21,311,302) |
Net unrealized appreciation (depreciation) | $8,784,473 |
As of 12/31/21 | |
Undistributed ordinary income | 7,270,925 |
Undistributed long-term capital gain | 25,202,675 |
Net unrealized appreciation (depreciation) | 67,895,358 |
Six months ended 6/30/22 | Year ended 12/31/21 | ||
Initial Class | $— | $189,389 | |
Service Class | — | 23,683,159 | |
Total | $— | $23,872,548 |
Six months ended 6/30/22 | Year ended 12/31/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Initial Class | 221 | $2,341 | 32,316 | $389,338 | |
Service Class | 368,184 | 3,989,077 | 589,590 | 7,135,130 | |
368,405 | $3,991,418 | 621,906 | $7,524,468 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Initial Class | — | $— | 15,902 | $189,389 | |
Service Class | — | — | 1,978,543 | 23,683,159 | |
— | $— | 1,994,445 | $23,872,548 | ||
Shares reacquired | |||||
Initial Class | (84,808) | $(893,788) | (31,668) | $(382,074) | |
Service Class | (2,237,054) | (24,777,850) | (5,238,847) | (63,782,298) | |
(2,321,862) | $(25,671,638) | (5,270,515) | $(64,164,372) | ||
Net change | |||||
Initial Class | (84,587) | $(891,447) | 16,550 | $196,653 | |
Service Class | (1,868,870) | (20,788,773) | (2,670,714) | (32,964,009) | |
(1,953,457) | $(21,680,220) | (2,654,164) | $(32,767,356) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Global Governments Portfolio | $31,862,246 | $77,920 | $1,751,947 | $(263,064) | $(4,053,186) | $25,871,969 |
MFS Global Real Estate Portfolio | 8,135,042 | 416,905 | 512,332 | 154,076 | (1,896,276) | 6,297,415 |
MFS Government Securities Portfolio | 39,928,327 | 56 | 4,110,670 | (692,629) | (2,665,780) | 32,459,304 |
MFS Growth Series | 23,921,598 | 1,983,134 | 4,457 | (1,640) | (7,189,035) | 18,709,600 |
MFS High Yield Portfolio | 20,026,199 | — | 1,519,790 | (235,661) | (2,432,212) | 15,838,536 |
MFS Inflation-Adjusted Bond Portfolio | 39,991,232 | 550,930 | 1,911,662 | 149,874 | (6,683,343) | 32,097,031 |
Affiliated Issuers − continued | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $1,644,909 | $841,842 | $847,641 | $— | $(156) | $1,638,954 |
MFS International Growth Portfolio | 8,054,407 | 30,433 | 237,551 | 39,223 | (1,571,609) | 6,314,903 |
MFS International Intrinsic Value Portfolio | 8,024,105 | 493,078 | 20,043 | 9,906 | (2,188,955) | 6,318,091 |
MFS Limited Maturity Portfolio | 47,985,772 | — | 7,444,384 | (235,316) | (1,681,590) | 38,624,482 |
MFS Mid Cap Growth Series | 16,090,595 | 1,426,314 | 2,971 | (1,084) | (4,991,072) | 12,521,782 |
MFS Mid Cap Value Portfolio | 16,165,941 | 226,701 | 1,677,108 | 485,901 | (2,626,272) | 12,575,163 |
MFS New Discovery Series | 3,890,147 | 479,157 | 743 | (380) | (1,277,927) | 3,090,254 |
MFS New Discovery Value Portfolio | 4,031,596 | 22,960 | 369,072 | 110,647 | (656,386) | 3,139,745 |
MFS Research International Portfolio | 16,085,915 | 154,665 | 300,222 | (21,965) | (3,283,689) | 12,634,704 |
MFS Research Series | 24,053,763 | 212,225 | 859,514 | 306,731 | (4,877,499) | 18,835,706 |
MFS Total Return Bond Series | 67,998,054 | 8,073 | 5,406,848 | (424,989) | (7,203,370) | 54,970,920 |
MFS Value Series | 24,175,763 | 59,353 | 2,184,533 | 869,836 | (3,832,527) | 19,087,892 |
$402,065,611 | $6,983,746 | $29,161,488 | $249,466 | $(59,110,884) | $321,026,451 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Global Governments Portfolio | $— | $— |
MFS Global Real Estate Portfolio | — | — |
MFS Government Securities Portfolio | — | — |
MFS Growth Series | — | — |
MFS High Yield Portfolio | — | — |
MFS Inflation-Adjusted Bond Portfolio | — | — |
MFS Institutional Money Market Portfolio | 2,726 | — |
MFS International Growth Portfolio | — | — |
MFS International Intrinsic Value Portfolio | — | — |
MFS Limited Maturity Portfolio | — | — |
MFS Mid Cap Growth Series | — | — |
MFS Mid Cap Value Portfolio | — | — |
MFS New Discovery Series | — | — |
MFS New Discovery Value Portfolio | — | — |
MFS Research International Portfolio | — | — |
MFS Research Series | — | — |
MFS Total Return Bond Series | — | — |
MFS Value Series | — | — |
$2,726 | $— |
Small Cap Equity Portfolio
1 | |
2 | |
3 | |
4 | |
10 | |
11 | |
12 | |
13 | |
15 | |
21 | |
22 | |
22 | |
22 | |
22 |
Prestige Consumer Healthcare, Inc. | 1.8% |
Portland General Electric Co. | 1.8% |
Hostess Brands, Inc. | 1.7% |
Reinsurance Group of America, Inc. | 1.7% |
UMB Financial Corp. | 1.6% |
National Storage Affiliates Trust, REIT | 1.6% |
Box, Inc., “A” | 1.6% |
Silicon Laboratories, Inc. | 1.5% |
Comfort Systems USA, Inc. | 1.5% |
Cathay General Bancorp, Inc. | 1.5% |
Health Care | 17.4% |
Financials | 15.7% |
Information Technology | 14.7% |
Industrials | 14.6% |
Consumer Discretionary | 11.3% |
Real Estate | 8.1% |
Energy | 5.6% |
Materials | 4.3% |
Communication Services | 3.3% |
Consumer Staples | 2.5% |
Utilities | 2.3% |
(g) | The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and S&P Global Market Intelligence Inc. (“S&P Global Market Intelligence”). GICS is a service mark of MSCI and S&P Global Market Intelligence and has been licensed for use by MFS. MFS has applied its own internal sector/industry classification methodology for equity securities and non-equity securities that are unclassified by GICS. |
January 1, 2022 through June 30, 2022
Share Class | Annualized Expense Ratio | Beginning Account Value 1/01/22 | Ending Account Value 6/30/22 | Expenses Paid During Period (p) 1/01/22-6/30/22 | |
Initial Class | Actual | 0.53% | $1,000.00 | $797.43 | $2.36 |
Hypothetical (h) | 0.53% | $1,000.00 | $1,022.17 | $2.66 | |
Service Class | Actual | 0.78% | $1,000.00 | $796.59 | $3.47 |
Hypothetical (h) | 0.78% | $1,000.00 | $1,020.93 | $3.91 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class's annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – 99.8% | ||||
Aerospace & Defense – 1.0% | ||||
CACI International, Inc., “A” (a) | 2,565 | $ 722,766 | ||
Smith & Wesson Brands, Inc. | 8,241 | 108,204 | ||
$830,970 | ||||
Apparel Manufacturers – 1.5% | ||||
FIGS, Inc. (a) | 35,417 | $ 322,649 | ||
Skechers USA, Inc., “A” (a) | 25,753 | 916,292 | ||
$1,238,941 | ||||
Automotive – 1.4% | ||||
REV Group, Inc. | 42,709 | $ 464,247 | ||
Visteon Corp. (a) | 6,096 | 631,424 | ||
$1,095,671 | ||||
Biotechnology – 3.2% | ||||
Adaptive Biotechnologies Corp. (a) | 8,364 | $ 67,665 | ||
Alector, Inc. (a) | 7,112 | 72,258 | ||
Coherus BioSciences, Inc. (a) | 23,443 | 169,727 | ||
Exelixis, Inc. (a) | 11,947 | 248,737 | ||
iTeos Therapeutics, Inc. (a) | 26,256 | 540,874 | ||
Novavax, Inc. (a) | 3,950 | 203,148 | ||
Organogenesis Holdings, Inc. (a) | 62,407 | 304,546 | ||
Varex Imaging Corp. (a) | 20,280 | 433,789 | ||
Vir Biotechnology, Inc. (a) | 22,901 | 583,288 | ||
$2,624,032 | ||||
Broadcasting – 0.6% | ||||
Entravision Communications Corp., “A” | 83,311 | $ 379,898 | ||
Thryv, Inc. (a) | 3,032 | 67,887 | ||
$447,785 | ||||
Business Services – 4.7% | ||||
BlueLinx Holdings, Inc. (a) | 1,968 | $ 131,482 | ||
Boise Cascade Corp. | 8,377 | 498,348 | ||
Forrester Research, Inc. (a) | 19,228 | 919,867 | ||
HireRight Holdings Corp. (a) | 19,575 | 278,161 | ||
Paya, Inc. (a) | 19,305 | 126,834 | ||
Sterling Check Corp. (a) | 20,101 | 327,847 | ||
TaskUs, Inc., “A” (a) | 44,531 | 750,793 | ||
Thoughtworks Holding, Inc. (a) | 15,799 | 222,924 | ||
World Fuel Services Corp. | 4,951 | 101,297 | ||
Yext, Inc. (a) | 95,356 | 455,802 | ||
$3,813,355 | ||||
Chemicals – 1.3% | ||||
Element Solutions, Inc. | 57,180 | $ 1,017,804 | ||
Computer Software – 4.2% | ||||
ACI Worldwide, Inc. (a) | 10,517 | $ 272,285 | ||
Clear Secure, Inc., “A” (a) | 13,210 | 264,200 | ||
Domo, Inc., “B” (a) | 1,751 | 48,678 | ||
Elastic N.V. (a) | 5,757 | 389,576 | ||
Eventbrite, Inc. (a) | 94,939 | 975,023 | ||
Everbridge, Inc. (a) | 11,100 | 309,579 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Computer Software – continued | ||||
Paylocity Holding Corp. (a) | 4,519 | $ 788,204 | ||
Sprout Social, Inc. (a) | 6,940 | 403,006 | ||
$3,450,551 | ||||
Computer Software - Systems – 4.1% | ||||
A10 Networks, Inc. | 7,139 | $ 102,659 | ||
Box, Inc., “A” (a) | 50,486 | 1,269,218 | ||
Extreme Networks, Inc. (a) | 36,051 | 321,575 | ||
Rapid7, Inc. (a) | 4,234 | 282,831 | ||
Rimini Street, Inc. (a) | 68,365 | 410,874 | ||
Verint Systems, Inc. (a) | 22,435 | 950,122 | ||
$3,337,279 | ||||
Construction – 1.1% | ||||
GMS, Inc. (a) | 19,522 | $ 868,729 | ||
Consumer Products – 2.3% | ||||
Herbalife Ltd. (a) | 10,962 | $ 224,173 | ||
Nu Skin Enterprises, Inc., “A” | 4,319 | 187,013 | ||
Prestige Consumer Healthcare, Inc. (a) | 24,898 | 1,464,002 | ||
$1,875,188 | ||||
Consumer Services – 1.8% | ||||
F45 Training Holdings, Inc. (a) | 12,643 | $ 49,687 | ||
Grand Canyon Education, Inc. (a) | 12,018 | 1,131,975 | ||
Medifast, Inc. | 43 | 7,762 | ||
TravelCenters of America LLC (a) | 7,823 | 269,659 | ||
$1,459,083 | ||||
Electrical Equipment – 0.4% | ||||
Advanced Drainage Systems, Inc. | 1,883 | $ 169,602 | ||
Vertiv Holdings Co. | 21,748 | 178,768 | ||
$348,370 | ||||
Electronics – 5.5% | ||||
Advanced Energy Industries, Inc. | 11,366 | $ 829,491 | ||
Alpha and Omega Semiconductor Ltd. (a) | 13,177 | 439,321 | ||
Amkor Technology, Inc. | 30,150 | 511,043 | ||
Jabil Circuit, Inc. | 9,943 | 509,181 | ||
Plexus Corp. (a) | 10,843 | 851,175 | ||
Sanmina Corp. (a) | 3,074 | 125,204 | ||
Silicon Laboratories, Inc. (a) | 8,740 | 1,225,523 | ||
$4,490,938 | ||||
Energy - Independent – 2.7% | ||||
CONSOL Energy, Inc. (a) | 1,993 | $ 98,414 | ||
CVR Energy, Inc. | 14,259 | 477,677 | ||
Magnolia Oil & Gas Corp., “A” | 51,802 | 1,087,324 | ||
Peabody Energy Corp. (a) | 23,830 | 508,294 | ||
$2,171,709 | ||||
Energy - Integrated – 0.5% | ||||
National Gas Fuel Co. | 5,934 | $ 391,941 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Engineering - Construction – 3.4% | ||||
APi Group, Inc. (a) | 32,084 | $ 480,297 | ||
Comfort Systems USA, Inc. | 14,657 | 1,218,730 | ||
Dycom Industries, Inc. (a) | 11,845 | 1,102,059 | ||
$2,801,086 | ||||
Food & Beverages – 1.7% | ||||
Hostess Brands, Inc. (a) | 66,567 | $ 1,411,886 | ||
Food & Drug Stores – 0.3% | ||||
United Natural Foods, Inc. (a) | 5,114 | $ 201,492 | ||
Gaming & Lodging – 1.4% | ||||
International Game Technology PLC | 59,100 | $ 1,096,896 | ||
General Merchandise – 0.4% | ||||
Dillards, Inc., “A” | 1,525 | $ 336,369 | ||
Insurance – 3.2% | ||||
Brighthouse Financial, Inc. (a) | 10,163 | $ 416,886 | ||
Reinsurance Group of America, Inc. | 11,743 | 1,377,337 | ||
Universal Insurance Holdings, Inc. | 3,962 | 51,625 | ||
Voya Financial, Inc. | 13,276 | 790,320 | ||
$2,636,168 | ||||
Internet – 0.8% | ||||
Cars.com, Inc. (a) | 21,311 | $ 200,963 | ||
ZipRecruiter, Inc., “A” (a) | 31,010 | 459,568 | ||
$660,531 | ||||
Leisure & Toys – 3.6% | ||||
Brunswick Corp. | 13,103 | $ 856,674 | ||
Funko, Inc., “A” (a) | 47,071 | 1,050,625 | ||
Malibu Boats, Inc., “A” (a) | 9,361 | 493,418 | ||
Polaris, Inc. | 5,427 | 538,793 | ||
$2,939,510 | ||||
Machinery & Tools – 2.3% | ||||
ITT, Inc. | 2,056 | $ 138,245 | ||
Manitowoc Co., Inc. (a) | 19,335 | 203,598 | ||
Regal Rexnord Corp. | 7,699 | 873,990 | ||
Shyft Group, Inc. | 10,503 | 195,251 | ||
Titan International, Inc. (a) | 17,680 | 266,968 | ||
Titan Machinery, Inc. (a) | 10,012 | 224,369 | ||
$1,902,421 | ||||
Major Banks – 0.5% | ||||
First Financial Corp. | 9,939 | $ 442,285 | ||
Medical & Health Technology & Services – 2.5% | ||||
Community Health Systems, Inc. (a) | 8,599 | $ 32,246 | ||
Cross Country Healthcare, Inc. (a) | 12,226 | 254,667 | ||
HealthEquity, Inc. (a) | 10,520 | 645,823 | ||
Medpace Holdings, Inc. (a) | 1,980 | 296,347 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Medical & Health Technology & Services – continued | ||||
Syneos Health, Inc. (a) | 11,281 | $ 808,622 | ||
$2,037,705 | ||||
Medical Equipment – 6.3% | ||||
AngioDynamics, Inc. (a) | 15,481 | $ 299,557 | ||
Avanos Medical, Inc. (a) | 13,167 | 359,986 | ||
Bioventus, Inc., “A” (a) | 31,790 | 216,808 | ||
CareDx, Inc. (a) | 4,260 | 91,505 | ||
Envista Holdings Corp. (a) | 27,013 | 1,041,081 | ||
Inogen, Inc. (a) | 1,863 | 45,047 | ||
Integer Holdings Corp. (a) | 5,825 | 411,594 | ||
Maravai Lifesciences Holdings, Inc., “A” (a) | 36,599 | 1,039,778 | ||
Orthofix Medical, Inc. (a) | 16,622 | 391,282 | ||
Quidel Corp. (a) | 10,248 | 995,901 | ||
Zynex, Inc. (l) | 23,774 | 189,716 | ||
$5,082,255 | ||||
Metals & Mining – 0.7% | ||||
Ryerson Holding Corp. | 23,290 | $ 495,844 | ||
United States Steel Corp. | 2,213 | 39,635 | ||
$535,479 | ||||
Natural Gas - Pipeline – 1.1% | ||||
Equitrans Midstream Corp. | 142,808 | $ 908,259 | ||
Oil Services – 1.5% | ||||
Cactus, Inc., “A” | 13,172 | $ 530,436 | ||
ChampionX Corp. | 36,276 | 720,079 | ||
$1,250,515 | ||||
Other Banks & Diversified Financials – 11.9% | ||||
Atlanticus Holdings Corp. (a) | 1,715 | $ 60,316 | ||
Bank OZK | 27,696 | 1,039,431 | ||
Cathay General Bancorp, Inc. | 31,117 | 1,218,230 | ||
First BanCorp. | 47,229 | 609,726 | ||
First Interstate BancSystem, Inc. | 25,251 | 962,316 | ||
Preferred Bank | 5,512 | 374,926 | ||
Silvergate Capital Corp., “A” (a) | 3,230 | 172,902 | ||
SLM Corp. | 73,388 | 1,169,805 | ||
UMB Financial Corp. | 15,427 | 1,328,265 | ||
Umpqua Holdings Corp. | 64,741 | 1,085,707 | ||
United Community Bank, Inc. | 20,932 | 631,937 | ||
Wintrust Financial Corp. | 12,868 | 1,031,370 | ||
$9,684,931 | ||||
Pharmaceuticals – 3.2% | ||||
Atea Pharmaceuticals, Inc. (a) | 11,069 | $ 78,590 | ||
Collegium Pharmaceutical, Inc. (a) | 23,272 | 412,380 | ||
Eagle Pharmaceuticals, Inc. (a) | 2,972 | 132,046 | ||
Emergent BioSolutions, Inc. (a) | 5,992 | 185,992 | ||
Intercept Pharmaceuticals, Inc. (a)(l) | 33,790 | 466,640 | ||
Macrogenics, Inc. (a) | 20,892 | 61,631 | ||
Phibro Animal Health Corp., “A” | 11,262 | 215,442 | ||
United Therapeutics Corp. (a) | 3,069 | 723,179 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Pharmaceuticals – continued | ||||
Vanda Pharmaceuticals, Inc. (a) | 32,648 | $ 355,863 | ||
$2,631,763 | ||||
Printing & Publishing – 0.2% | ||||
Gannett Co., Inc. (a) | 54,711 | $ 158,662 | ||
Railroad & Shipping – 0.1% | ||||
Teekay Tankers LTD., “A” (a) | 5,555 | $ 97,935 | ||
Real Estate – 8.1% | ||||
DiamondRock Hospitality Co., REIT (a) | 32,530 | $ 267,071 | ||
Empire State Realty Trust, REIT, “A” | 58,818 | 413,491 | ||
EPR Properties, REIT | 20,927 | 982,104 | ||
Innovative Industrial Properties, Inc., REIT | 4,966 | 545,615 | ||
National Storage Affiliates Trust, REIT | 25,360 | 1,269,775 | ||
Phillips Edison & Co., REIT | 22,959 | 767,060 | ||
Spirit Realty Capital, Inc., REIT | 26,260 | 992,103 | ||
STAG Industrial, Inc., REIT | 15,014 | 463,632 | ||
Summit Hotel Properties, Inc., REIT (a) | 25,000 | 181,750 | ||
Uniti Group, Inc., REIT | 46,465 | 437,700 | ||
Xenia Hotels & Resorts Inc., REIT (a) | 18,210 | 264,591 | ||
$6,584,892 | ||||
Restaurants – 0.7% | ||||
Texas Roadhouse, Inc. | 7,336 | $ 536,995 | ||
Specialty Chemicals – 3.8% | ||||
Ashland Global Holdings, Inc. | 8,471 | $ 872,937 | ||
Avient Corp. | 1,103 | 44,208 | ||
Chemours Co. | 32,300 | 1,034,246 | ||
Univar Solutions, Inc. (a) | 44,140 | 1,097,762 | ||
$3,049,153 | ||||
Specialty Stores – 2.3% | ||||
Builders FirstSource, Inc. (a) | 13,828 | $ 742,564 | ||
Signet Jewelers Ltd. | 6,217 | 332,361 | ||
Urban Outfitters, Inc. (a) | 32,858 | 613,130 | ||
Zumiez, Inc. (a) | 7,648 | 198,848 | ||
$1,886,903 | ||||
Telephone Services – 0.6% | ||||
Cambium Networks Corp. (a) | 7,323 | $ 107,282 | ||
EchoStar Corp., “A” (a) | 20,878 | 402,945 | ||
$510,227 | ||||
Tobacco – 0.1% | ||||
Vector Group Ltd. | 3,705 | $ 38,902 | ||
Trucking – 1.0% | ||||
Landstar System, Inc. | 2,436 | $ 354,243 | ||
Saia, Inc. (a) | 2,360 | 443,680 | ||
$797,923 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Utilities - Electric Power – 1.8% | ||||
Portland General Electric Co. | 29,993 | $ 1,449,562 | ||
Total Common Stocks (Identified Cost, $80,205,167) | $81,133,051 | |||
Investment Companies (h) – 0.2% | ||||
Money Market Funds – 0.2% | ||||
MFS Institutional Money Market Portfolio, 1.21% (v) (Identified Cost, $150,605) | 150,620 | $ 150,605 | ||
Collateral for Securities Loaned – 0.3% | ||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.55% (j) (Identified Cost, $235,781) | 235,781 | $ 235,781 | ||
Other Assets, Less Liabilities – (0.3)% | (203,766) | |||
Net Assets – 100.0% | $81,315,671 |
(a) | Non-income producing security. | |||
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $150,605 and $81,368,832, respectively. | |||
(j) | The rate quoted is the annualized seven-day yield of the fund at period end. | |||
(l) | A portion of this security is on loan. See Note 2 for additional information. | |||
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
The following abbreviations are used in this report and are defined: | |
REIT | Real Estate Investment Trust |
Financial Statements | Statement of Assets and Liabilities (unaudited) |
At 6/30/22Assets | |
Investments in unaffiliated issuers, at value, including $232,486 of securities on loan (identified cost, $80,440,948) | $81,368,832 |
Investments in affiliated issuers, at value (identified cost, $150,605) | 150,605 |
Receivables for | |
Investments sold | 5,038,955 |
Fund shares sold | 10,676 |
Interest and dividends | 93,635 |
Other assets | 406 |
Total assets | $86,663,109 |
Liabilities | |
Payables for | |
Investments purchased | $4,927,548 |
Fund shares reacquired | 124,000 |
Collateral for securities loaned, at value | 235,781 |
Payable to affiliates | |
Investment adviser | 1,744 |
Administrative services fee | 126 |
Shareholder servicing costs | 59 |
Distribution and/or service fees | 712 |
Payable for independent Trustees' compensation | 59 |
Accrued expenses and other liabilities | 57,409 |
Total liabilities | $5,347,438 |
Net assets | $81,315,671 |
Net assets consist of | |
Paid-in capital | $56,902,155 |
Total distributable earnings (loss) | 24,413,516 |
Net assets | $81,315,671 |
Shares of beneficial interest outstanding | 7,462,839 |
Net assets | Shares outstanding | Net asset value per share | |
Initial Class | $30,117,444 | 2,693,389 | $11.18 |
Service Class | 51,198,227 | 4,769,450 | 10.73 |
Financial Statements | Statement of Operations (unaudited) |
Six months ended 6/30/22 | |
Net investment income (loss) | |
Income | |
Dividends | $497,502 |
Other | 8,293 |
Dividends from affiliated issuers | 1,232 |
Income on securities loaned | 739 |
Foreign taxes withheld | (1,029) |
Total investment income | $506,737 |
Expenses | |
Management fee | $184,169 |
Distribution and/or service fees | 72,175 |
Shareholder servicing costs | 5,956 |
Administrative services fee | 11,837 |
Independent Trustees' compensation | 1,797 |
Custodian fee | 2,686 |
Shareholder communications | 3,680 |
Audit and tax fees | 29,470 |
Legal fees | 289 |
Miscellaneous | 12,023 |
Total expenses | $324,082 |
Reduction of expenses by investment adviser | (6,479) |
Net expenses | $317,603 |
Net investment income (loss) | $189,134 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $2,965,285 |
Affiliated issuers | (39) |
Net realized gain (loss) | $2,965,246 |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $(23,764,592) |
Net realized and unrealized gain (loss) | $(20,799,346) |
Change in net assets from operations | $(20,610,212) |
Financial Statements | Statements of Changes in Net Assets |
Six months ended | Year ended | |
6/30/22 (unaudited) | 12/31/21 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $189,134 | $521,826 |
Net realized gain (loss) | 2,965,246 | 23,809,565 |
Net unrealized gain (loss) | (23,764,592) | 1,832,471 |
Change in net assets from operations | $(20,610,212) | $26,163,862 |
Total distributions to shareholders | $— | $(770,014) |
Change in net assets from fund share transactions | $(2,440,995) | $(14,248,191) |
Total change in net assets | $(23,051,207) | $11,145,657 |
Net assets | ||
At beginning of period | 104,366,878 | 93,221,221 |
At end of period | $81,315,671 | $104,366,878 |
Financial Statements | Financial Highlights |
Initial Class | Six months ended | Year ended | ||||
6/30/22 (unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |
Net asset value, beginning of period | $14.02 | $10.91 | $11.66 | $11.25 | $13.47 | $13.23 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.04 | $0.09 | $0.10 | $0.10 | $0.09 | $0.11 |
Net realized and unrealized gain (loss) | (2.88) | 3.14 | 0.01(g) | 2.56 | (0.40) | 1.70 |
Total from investment operations | $(2.84) | $3.23 | $0.11 | $2.66 | $(0.31) | $1.81 |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.12) | $(0.09) | $(0.10) | $(0.13) | $(0.12) |
From net realized gain | — | — | (0.77) | (2.15) | (1.78) | (1.45) |
Total distributions declared to shareholders | $— | $(0.12) | $(0.86) | $(2.25) | $(1.91) | $(1.57) |
Net asset value, end of period (x) | $11.18 | $14.02 | $10.91 | $11.66 | $11.25 | $13.47 |
Total return (%) (k)(r)(s)(x) | (20.26)(n) | 29.64 | 2.23 | 26.78 | (5.11) | 14.97 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 0.55(a) | 0.54 | 0.55 | 0.54 | 0.54 | 0.53 |
Expenses after expense reductions | 0.53(a) | 0.52 | 0.54 | 0.53 | 0.53 | 0.52 |
Net investment income (loss) | 0.57(a) | 0.67 | 1.05 | 0.81 | 0.69 | 0.82 |
Portfolio turnover | 33(n) | 78 | 84 | 59 | 72 | 81 |
Net assets at end of period (000 omitted) | $30,117 | $39,073 | $33,850 | $35,441 | $29,936 | $36,195 |
Service Class | Six months ended | Year ended | ||||
6/30/22 (unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |
Net asset value, beginning of period | $13.47 | $10.50 | $11.24 | $10.92 | $13.12 | $12.92 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.02 | $0.05 | $0.07 | $0.07 | $0.06 | $0.07 |
Net realized and unrealized gain (loss) | (2.76) | 3.01 | 0.02(g) | 2.46 | (0.39) | 1.67 |
Total from investment operations | $(2.74) | $3.06 | $0.09 | $2.53 | $(0.33) | $1.74 |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.09) | $(0.06) | $(0.06) | $(0.09) | $(0.09) |
From net realized gain | — | — | (0.77) | (2.15) | (1.78) | (1.45) |
Total distributions declared to shareholders | $— | $(0.09) | $(0.83) | $(2.21) | $(1.87) | $(1.54) |
Net asset value, end of period (x) | $10.73 | $13.47 | $10.50 | $11.24 | $10.92 | $13.12 |
Total return (%) (k)(r)(s)(x) | (20.34)(n) | 29.17 | 2.14 | 26.36 | (5.35) | 14.70 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 0.80(a) | 0.79 | 0.80 | 0.79 | 0.79 | 0.78 |
Expenses after expense reductions | 0.78(a) | 0.77 | 0.79 | 0.78 | 0.78 | 0.77 |
Net investment income (loss) | 0.32(a) | 0.42 | 0.80 | 0.56 | 0.43 | 0.55 |
Portfolio turnover | 33(n) | 78 | 84 | 59 | 72 | 81 |
Net assets at end of period (000 omitted) | $51,198 | $65,294 | $59,371 | $61,099 | $55,648 | $71,366 |
(a) | Annualized. |
(d) | Per share data is based on average shares outstanding. |
(g) | The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time. |
(k) | The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Equity Securities | $81,133,051 | $— | $— | $81,133,051 |
Mutual Funds | 386,386 | — | — | 386,386 |
Total | $81,519,437 | $— | $— | $81,519,437 |
Year ended 12/31/21 | |
Ordinary income (including any short-term capital gains) | $770,014 |
As of 6/30/22 | |
Cost of investments | $81,222,665 |
Gross appreciation | 11,743,905 |
Gross depreciation | (11,447,133) |
Net unrealized appreciation (depreciation) | $296,772 |
As of 12/31/21 | |
Undistributed ordinary income | 7,205,891 |
Undistributed long-term capital gain | 13,709,492 |
Net unrealized appreciation (depreciation) | 24,108,345 |
Six months ended 6/30/22 | Year ended 12/31/21 | ||
Initial Class | $— | $338,509 | |
Service Class | — | 431,505 | |
Total | $— | $770,014 |
Six months ended 6/30/22 | Year ended 12/31/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Initial Class | 125,741 | $1,512,994 | 263,239 | $3,473,991 | |
Service Class | 333,322 | 3,909,825 | 607,326 | 7,714,638 | |
459,063 | $5,422,819 | 870,565 | $11,188,629 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Initial Class | — | $— | 25,357 | $338,509 | |
Service Class | — | — | 33,580 | 431,505 | |
— | $— | 58,937 | $770,014 | ||
Shares reacquired | |||||
Initial Class | (220,133) | $(2,824,119) | (602,378) | $(7,913,165) | |
Service Class | (410,495) | (5,039,695) | (1,450,359) | (18,293,669) | |
(630,628) | $(7,863,814) | (2,052,737) | $(26,206,834) | ||
Net change | |||||
Initial Class | (94,392) | $(1,311,125) | (313,782) | $(4,100,665) | |
Service Class | (77,173) | (1,129,870) | (809,453) | (10,147,526) | |
(171,565) | $(2,440,995) | (1,123,235) | $(14,248,191) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $1,035,352 | $5,963,580 | $6,848,288 | $(39) | $— | $150,605 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $1,232 | $— |
Item 1(b):
Not applicable.
ITEM 2. CODE OF ETHICS.
During the period covered by this report, the Registrant has not amended any provision in its Code of Ethics (the "Code") that relates to an element of the Code's definitions enumerated in paragraph (b) of Item 2 of this Form N-CSR. During the period covered by this report, the Registrant did not grant a waiver, including an implicit waiver, from any provision of the Code.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to the Registrant.
ITEM 6. INVESTMENTS
A schedule of investments for each series of the Registrant is included as part of the report to shareholders of such series under Item 1(a) of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the Registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrant's Board since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a)Based upon their evaluation of the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) as conducted within 90 days of the filing date of this report on Form N-CSR, the registrant's principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms.
(b)There were no changes in the registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by the report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 13. EXHIBITS.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. Not applicable.
(2)A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto as EX-99.302CERT.
(3)Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable.
(4)Change in the registrant's independent public accountant. Not applicable.
(b)If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States
Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed "filed" for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Attached hereto as EX-99.906CERT.
Notice
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 VARIABLE INSURANCE TRUST III_ _
By (Signature and Title)* | /S/ DAVID L. DILORENZO |
| David L. DiLorenzo, President |
Date: August 15, 2022 |
|
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: August 15, 2022 |
|
|
By (Signature and Title)* | /S/ JAMES O. YOST | ___________ |
James O. Yost, Treasurer (Principal Financial Officer and
Accounting Officer)
Date: August 15, 2022
* Print name and title of each signing officer under his or her signature.