UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-3327
MFS SERIES TRUST XIII
(Exact name of registrant as specified in charter)
111 Huntington Avenue, Boston, Massachusetts 02199
(Address of principal executive offices) (Zip code)
Christopher R. Bohane
Massachusetts Financial Services Company
111 Huntington Avenue
Boston, Massachusetts 02199
(Name and address of agents for service)
Registrant's telephone number, including area code: (617) 954-5000
Date of fiscal year end: February 28*
Date of reporting period: August 31, 2022
*This Form N-CSR pertains only to the following series of the Registrant: MFS Diversified Income Fund, MFS Government Securities Fund and MFS New Discovery Value Fund. The remaining series of the Registrant has a fiscal year end other than February 28.
ITEM 1. REPORTS TO STOCKHOLDERS.
Item 1(a):
Income Fund
Income Fund
1 | |
2 | |
5 | |
7 | |
41 | |
43 | |
45 | |
46 | |
54 | |
75 | |
79 | |
80 | |
80 | |
80 | |
80 | |
80 |
back cover |
Prologis, Inc., REIT | 1.3% |
U.S. Treasury Ultra Bond Future - DEC 2022 | 1.2% |
U.S. Treasury Note 10 yr Future - DEC 2022 | 1.2% |
Equinix, Inc., REIT | 1.1% |
Extra Space Storage, Inc., REIT | 1.0% |
Merck & Co., Inc. | 0.9% |
UMBS, TBA, 2.5%, 30 year | 0.9% |
U.S. Treasury Note 5 yr Future - DEC 2022 | 0.8% |
UMBS, TBA, 2%, 30 year | 0.7% |
U.S. Treasury Ultra Note 10 yr Future - DEC 2022 | (1.8)% |
Real Estate | 13.1% |
Health Care | 4.0% |
Consumer Staples | 3.8% |
Financials | 3.1% |
Information Technology | 1.9% |
Industrials | 1.5% |
Materials | 1.0% |
Communication Services | 1.0% |
Utilities | 0.9% |
Consumer Discretionary | 0.7% |
Energy | 0.5% |
Convertible Debt | 0.1% |
Index Options | (0.5)% |
High Yield Corporates | 20.9% |
Emerging Markets Bonds | 14.5% |
Investment Grade Corporates | 14.3% |
Mortgage-Backed Securities | 6.6% |
U.S. Treasury Securities | 6.4% |
Collateralized Debt Obligations | 0.4% |
Commercial Mortgage-Backed Securities | 0.4% |
Non-U.S. Government Bonds | 0.2% |
Municipal Bonds | 0.2% |
Asset-Backed Securities | 0.1% |
U.S. Government Agencies (o) | 0.0% |
AAA | 0.7% |
AA | 2.1% |
A | 5.8% |
BBB | 12.2% |
BB | 16.5% |
B | 10.3% |
CCC | 2.9% |
CC | 0.1% |
C (o) | 0.0% |
D | 0.1% |
U.S. Governments | 4.4% |
Federal Agency | 6.6% |
Not Rated | 2.3% |
Non-Fixed Income | 31.1% |
Cash & Cash Equivalents | 6.4% |
Other | (1.5)% |
United States | 69.9% |
Canada | 2.5% |
United Kingdom | 2.4% |
Japan | 1.5% |
China | 1.4% |
Switzerland | 1.4% |
Mexico | 1.2% |
India | 0.9% |
France | 0.9% |
Other Countries | 17.9% |
(a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities. |
(g) | The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and S&P Global Market Intelligence Inc. (“S&P Global Market Intelligence”). GICS is a service mark of MSCI and S&P Global Market Intelligence and has been licensed for use by MFS. MFS has applied its own internal sector/industry classification methodology for equity securities and non-equity securities that are unclassified by GICS. |
(i) | For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
(o) | Less than 0.1%. |
(x) | Represents the portfolio’s exposure to issuer countries as a percentage of a portfolio’s net assets. For purposes of this presentation, United States includes Cash & Cash Equivalents and Other. |
March 1, 2022 through August 31, 2022
Share Class | Annualized Expense Ratio | Beginning Account Value 3/01/22 | Ending Account Value 8/31/22 | Expenses Paid During Period (p) 3/01/22-8/31/22 | |
A | Actual | 0.98% | $1,000.00 | $917.39 | $4.74 |
Hypothetical (h) | 0.98% | $1,000.00 | $1,020.27 | $4.99 | |
C | Actual | 1.73% | $1,000.00 | $913.91 | $8.35 |
Hypothetical (h) | 1.73% | $1,000.00 | $1,016.48 | $8.79 | |
I | Actual | 0.73% | $1,000.00 | $918.54 | $3.53 |
Hypothetical (h) | 0.73% | $1,000.00 | $1,021.53 | $3.72 | |
R1 | Actual | 1.73% | $1,000.00 | $913.84 | $8.35 |
Hypothetical (h) | 1.73% | $1,000.00 | $1,016.48 | $8.79 | |
R2 | Actual | 1.23% | $1,000.00 | $916.22 | $5.94 |
Hypothetical (h) | 1.23% | $1,000.00 | $1,019.00 | $6.26 | |
R3 | Actual | 0.98% | $1,000.00 | $916.68 | $4.73 |
Hypothetical (h) | 0.98% | $1,000.00 | $1,020.27 | $4.99 | |
R4 | Actual | 0.73% | $1,000.00 | $918.62 | $3.53 |
Hypothetical (h) | 0.73% | $1,000.00 | $1,021.53 | $3.72 | |
R6 | Actual | 0.63% | $1,000.00 | $918.99 | $3.05 |
Hypothetical (h) | 0.63% | $1,000.00 | $1,022.03 | $3.21 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. In addition to the fees and expenses which the fund bears directly, the fund indirectly bears a pro rata share of the fees and expenses of the underlying funds in which the fund invests. If these indirect costs were included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Bonds – 39.5% | ||||
Aerospace & Defense – 0.3% | ||||
Boeing Co., 5.15%, 5/01/2030 | $ | 2,366,000 | $2,328,642 | |
Boeing Co., 3.75%, 2/01/2050 | 1,459,000 | 1,047,059 | ||
Boeing Co., 5.805%, 5/01/2050 | 787,000 | 754,834 | ||
DAE Sukuk DIFC Ltd., 3.75%, 2/15/2026 (n) | 1,258,000 | 1,195,100 | ||
Raytheon Technologies Corp., 1.9%, 9/01/2031 | 1,540,000 | 1,242,768 | ||
Raytheon Technologies Corp., 2.375%, 3/15/2032 | 1,796,000 | 1,508,170 | ||
Raytheon Technologies Corp., 3.03%, 3/15/2052 | 1,272,000 | 925,928 | ||
$9,002,501 | ||||
Apparel Manufacturers – 0.1% | ||||
Tapestry, Inc., 4.125%, 7/15/2027 | $ | 667,000 | $637,396 | |
Tapestry, Inc., 3.05%, 3/15/2032 | 1,561,000 | 1,243,208 | ||
$1,880,604 | ||||
Asset-Backed & Securitized – 0.8% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.144%, 11/15/2054 (i) | $ | 6,529,203 | $412,652 | |
ACREC 2021-FL1 Ltd., “A”, FLR, 3.527% (LIBOR - 1mo. + 1.15%), 10/16/2036 (n) | 1,091,500 | 1,047,856 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 3.891% (LIBOR - 1mo. + 1.5%), 12/15/2035 (n) | 998,500 | 942,958 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “AS”, FLR, 4.091% (LIBOR - 1mo. + 1.7%), 11/15/2036 (n) | 484,000 | 463,901 | ||
AREIT 2022-CRE6 Trust, “AS”, FLR, 3.657% (SOFR - 30 day + 1.65%), 11/17/2024 (n) | 946,500 | 908,640 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.754%, 2/15/2054 (i) | 3,544,443 | 343,484 | ||
BDS 2021-FL7 Ltd., “B”, FLR, 3.877% (LIBOR - 1mo. + 1.5%), 6/16/2036 (n) | 431,500 | 405,745 | ||
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.27%, 3/15/2054 (i) | 6,692,187 | 436,414 | ||
Benchmark 2021-B26 Mortgage Trust, “XA”, 0.998%, 6/15/2054 (i) | 6,507,480 | 342,668 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.384%, 7/15/2054 (i) | 7,603,807 | 582,006 | ||
Benchmark 2022-B36 Mortgage Trust, “XA”, 0.809%, 7/15/2055 (i) | 6,962,076 | 361,073 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 513,698 | 485,860 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Citigroup Commercial Mortgage Trust, 2019-XA, “C7”, 0.997%, 12/15/2072 (i)(n) | $ | 9,431,317 | $447,512 | |
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.889%, 4/15/2054 (i) | 4,825,690 | 224,704 | ||
Commercial Mortgage Pass-Through Certificates, 2022-BN43, “XA”, 1.07%, 8/15/2055 (i) | 8,000,000 | 534,746 | ||
KREF 2018-FT1 Ltd., “A”, FLR, 3.45% (LIBOR - 1mo. + 1.1%), 2/15/2039 (n) | 478,500 | 460,654 | ||
KREF 2018-FT1 Ltd., “AS”, FLR, 3.68% (LIBOR - 1mo. + 1.3%), 2/15/2039 (n) | 526,000 | 497,788 | ||
LAD Auto Receivables Trust, 2022-1A, “A”, 5.21%, 6/15/2027 (n) | 509,000 | 507,764 | ||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 4.141% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 750,000 | 721,208 | ||
Madison Park Funding Ltd., 2014-13A, “BR2”, FLR, 4.238% (LIBOR - 3mo. + 1.5%), 4/19/2030 (n) | 2,390,920 | 2,333,368 | ||
MF1 2020-FL4 Ltd., “A”, FLR, 4.111% (LIBOR - 1mo. + 1.7%), 11/15/2035 (n) | 1,235,767 | 1,229,250 | ||
MF1 2021-FL5 Ltd., “AS”, FLR, 3.611% (LIBOR - 1mo. + 1.2%), 7/15/2036 (n) | 985,000 | 959,943 | ||
MF1 2021-FL5 Ltd., “B”, FLR, 3.861% (LIBOR - 1mo. + 1.45%), 7/15/2036 (n) | 1,241,000 | 1,216,435 | ||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 1.001%, 12/15/2051 (i) | 9,752,484 | 381,576 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.421%, 5/15/2054 (i) | 2,696,359 | 202,939 | ||
Palmer Square Loan Funding 2020-1A Ltd., “A2”, FLR, 4.334% (LIBOR - 3mo. + 1.35%), 2/20/2028 (n) | 1,308,942 | 1,284,410 | ||
PFP III 2021-7 Ltd., “AS”, FLR, 3.541% (LIBOR - 1mo. + 1.15%), 4/14/2038 (n) | 1,383,931 | 1,318,564 | ||
PFP III 2021-8 Ltd., “A”, FLR, 3.387% (LIBOR - 1mo. + 1%), 8/09/2037 (n) | 913,652 | 877,996 | ||
PFP III 2021-8 Ltd., “AS”, FLR, 3.637% (LIBOR - 1mo. + 1.25%), 8/09/2037 (n) | 1,010,000 | 980,115 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL5, “A”, FLR, 3.444% (LIBOR - 1mo. + 1%), 4/25/2038 (z) | 626,088 | 612,669 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “A”, FLR, 3.643% (LIBOR - 1mo. + 1.2%), 11/25/2036 (z) | 359,179 | 349,964 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “AS”, FLR, 3.944% (LIBOR - 1mo. + 1.5%), 11/25/2036 (z) | 109,000 | 105,723 | ||
Santander Drive Auto Receivables Trust, 2022-5, “A2”, 3.98%, 1/15/2025 | 540,000 | 539,156 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Wells Fargo Commercial Mortgage Trust, 2018-C48, “XA”, 1.119%, 1/15/2052 (i)(n) | $ | 5,408,174 | $245,711 | |
$22,765,452 | ||||
Automotive – 0.1% | ||||
Hyundai Capital America, 1.8%, 1/10/2028 (n) | $ | 852,000 | $708,090 | |
Hyundai Capital America, 6.375%, 4/08/2030 (n) | 2,301,000 | 2,421,040 | ||
$3,129,130 | ||||
Broadcasting – 0.6% | ||||
Discovery Communications LLC, 3.625%, 5/15/2030 | $ | 2,384,000 | $2,088,651 | |
Discovery Communications LLC, 4%, 9/15/2055 | 1,082,000 | 716,829 | ||
Magallanes, Inc., 4.279%, 3/15/2032 (n) | 2,105,000 | 1,834,158 | ||
Magallanes, Inc., 5.391%, 3/15/2062 (n) | 882,000 | 707,984 | ||
Prosus N.V., 3.68%, 1/21/2030 (n) | 1,602,000 | 1,288,741 | ||
Prosus N.V., 3.061%, 7/13/2031 (n) | 1,227,000 | 910,962 | ||
Prosus N.V., 4.193%, 1/19/2032 (n) | 881,000 | 705,328 | ||
Prosus N.V., 4.027%, 8/03/2050 (n) | 1,149,000 | 723,486 | ||
Prosus N.V., 3.832%, 2/08/2051 (n) | 3,774,000 | 2,352,708 | ||
Walt Disney Co., 3.35%, 3/24/2025 | 2,391,000 | 2,356,341 | ||
Walt Disney Co., 3.5%, 5/13/2040 | 2,155,000 | 1,836,177 | ||
Walt Disney Co., 3.8%, 5/13/2060 | 1,364,000 | 1,147,109 | ||
$16,668,474 | ||||
Brokerage & Asset Managers – 0.3% | ||||
Ameriprise Financial, Inc., 4.5%, 5/13/2032 | $ | 635,000 | $633,155 | |
Brookfield Finance, Inc., 2.34%, 1/30/2032 | 2,751,000 | 2,209,398 | ||
Charles Schwab Corp., 1.95%, 12/01/2031 | 1,974,000 | 1,608,813 | ||
Intercontinental Exchange, Inc., 1.85%, 9/15/2032 | 2,023,000 | 1,597,320 | ||
Intercontinental Exchange, Inc., 3%, 9/15/2060 | 1,822,000 | 1,242,371 | ||
$7,291,057 | ||||
Building – 0.2% | ||||
Fortune Brands Home & Security, Inc., 4%, 3/25/2032 | $ | 3,331,000 | $2,953,048 | |
GCC S.A.B de C.V., 3.614%, 4/20/2032 (n) | 1,646,000 | 1,408,976 | ||
Vulcan Materials Co., 3.5%, 6/01/2030 | 360,000 | 324,198 | ||
Vulcan Materials Co., 4.5%, 6/15/2047 | 325,000 | 286,643 | ||
$4,972,865 | ||||
Business Services – 0.5% | ||||
Equifax, Inc., 3.1%, 5/15/2030 | $ | 2,237,000 | $1,960,245 | |
Equifax, Inc., 2.35%, 9/15/2031 | 1,531,000 | 1,233,950 | ||
Equinix, Inc., 2.5%, 5/15/2031 | 2,649,000 | 2,173,089 | ||
Fiserv, Inc., 4.4%, 7/01/2049 | 1,953,000 | 1,695,228 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Business Services – continued | ||||
Mastercard, Inc., 3.85%, 3/26/2050 | $ | 1,013,000 | $917,533 | |
S&P Global, Inc., 3.7%, 3/01/2052 (n) | 1,308,000 | 1,122,472 | ||
Visa, Inc., 2.05%, 4/15/2030 | 3,932,000 | 3,445,674 | ||
Visa, Inc., 2.7%, 4/15/2040 | 1,818,000 | 1,452,860 | ||
Visa, Inc., 2%, 8/15/2050 | 1,791,000 | 1,160,728 | ||
$15,161,779 | ||||
Cable TV – 0.2% | ||||
Cable Onda S.A., 4.5%, 1/30/2030 (n) | $ | 1,842,000 | $1,625,565 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | 2,175,000 | 2,152,881 | ||
Comcast Corp., 1.5%, 2/15/2031 | 927,000 | 744,493 | ||
Comcast Corp., 3.75%, 4/01/2040 | 909,000 | 788,879 | ||
United Group B.V., 4.625%, 8/15/2028 (n) | EUR | 367,000 | 300,586 | |
VTR Comunicaciones S.p.A., 5.125%, 1/15/2028 (n) | $ | 1,273,000 | 852,973 | |
$6,465,377 | ||||
Chemicals – 0.1% | ||||
GC Treasury Center Co. Ltd. (Kingdom of Thailand), 5.2%, 3/30/2052 (n) | $ | 1,793,000 | $1,581,357 | |
RPM International, Inc., 4.55%, 3/01/2029 | 1,380,000 | 1,319,431 | ||
RPM International, Inc., 4.25%, 1/15/2048 | 110,000 | 88,494 | ||
Sasol Financing (USA) LLC, 5.5%, 3/18/2031 | 1,455,000 | 1,222,200 | ||
$4,211,482 | ||||
Computer Software – 0.2% | ||||
Microsoft Corp., 2.525%, 6/01/2050 | $ | 5,606,000 | $4,080,215 | |
VeriSign, Inc., 4.75%, 7/15/2027 | 2,617,000 | 2,574,879 | ||
$6,655,094 | ||||
Computer Software - Systems – 0.3% | ||||
Apple, Inc., 2.05%, 9/11/2026 | $ | 3,416,000 | $3,193,320 | |
Apple, Inc., 1.7%, 8/05/2031 | 3,997,000 | 3,374,248 | ||
Apple, Inc., 2.65%, 5/11/2050 | 2,850,000 | 2,086,448 | ||
$8,654,016 | ||||
Conglomerates – 0.3% | ||||
Carrier Global Corp., 3.377%, 4/05/2040 | $ | 1,739,000 | $1,368,188 | |
Grupo KUO S.A.B. de C.V., 5.75%, 7/07/2027 (n) | 1,187,000 | 1,115,186 | ||
Otis Worldwide Corp., 2.565%, 2/15/2030 | 3,825,000 | 3,291,181 | ||
Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | 1,927,000 | 1,868,419 | ||
$7,642,974 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Construction – 0.0% | ||||
Seazen Group Ltd., 4.45%, 7/13/2025 | $ | 1,614,000 | $698,055 | |
Consumer Products – 0.1% | ||||
Hasbro, Inc., 3.9%, 11/19/2029 | $ | 1,321,000 | $1,209,913 | |
Mattel, Inc., 3.75%, 4/01/2029 (n) | 1,163,000 | 1,036,233 | ||
$2,246,146 | ||||
Consumer Services – 0.2% | ||||
Booking Holdings, Inc., 3.55%, 3/15/2028 | $ | 1,755,000 | $1,687,093 | |
Booking Holdings, Inc., 4.625%, 4/13/2030 | 876,000 | 881,110 | ||
Conservation Fund, 3.474%, 12/15/2029 | 1,031,000 | 931,977 | ||
Meituan, 3.05%, 10/28/2030 (n) | 1,511,000 | 1,094,020 | ||
$4,594,200 | ||||
Containers – 0.1% | ||||
Can-Pack S.A./Eastern PA Land Investment Holding LLC, 3.875%, 11/15/2029 (n) | $ | 806,000 | $652,875 | |
San Miguel Industrias PET S.A., 3.5%, 8/02/2028 (n) | 2,000,000 | 1,680,398 | ||
$2,333,273 | ||||
Electrical Equipment – 0.1% | ||||
Arrow Electronics, Inc., 3.875%, 1/12/2028 | $ | 3,044,000 | $2,870,985 | |
Electronics – 0.2% | ||||
Broadcom, Inc., 3.187%, 11/15/2036 (n) | $ | 1,648,000 | $1,224,771 | |
NXP B.V./NXP Funding LLC/NXP USA, Inc., 3.4%, 5/01/2030 | 2,663,000 | 2,357,634 | ||
NXP B.V./NXP Funding LLC/NXP USA, Inc., 3.125%, 2/15/2042 | 1,216,000 | 869,663 | ||
$4,452,068 | ||||
Emerging Market Quasi-Sovereign – 3.2% | ||||
Abu Dhabi Crude Oil Pipeline, 4.6%, 11/02/2047 | $ | 1,915,000 | $1,877,657 | |
Abu Dhabi Ports Co. PJSC, 2.5%, 5/06/2031 | 828,000 | 721,768 | ||
Aeropuerto Internacional de Tocumen S.A. (Republic of Panama), 5.125%, 8/11/2061 (n) | 530,000 | 427,491 | ||
Autoridad del Canal de Panama, 4.95%, 7/29/2035 (n) | 281,000 | 282,270 | ||
Autoridad del Canal de Panama, 4.95%, 7/29/2035 | 1,220,000 | 1,225,515 | ||
Banco de Reservas de la Republica Dominicana, 7%, 2/01/2023 | 1,500,000 | 1,503,000 | ||
Bulgarian Energy Holding EAD, 2.45%, 7/22/2028 | EUR | 1,694,000 | 1,344,203 | |
China Construction Bank Corp., 4.25% to 2/27/2024, FLR (CMT - 5yr. + 1.88%) to 2/27/2029 | $ | 1,764,000 | 1,761,485 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Quasi-Sovereign – continued | ||||
China Development Bank Financial Leasing Co. Ltd., 2.875% to 9/28/2025, FLR (CMT - 1yr. + 2.75%) to 9/28/2030 | $ | 753,000 | $712,353 | |
Comision Federal de Electricidad (United Mexican States), 4.688%, 5/15/2029 (n) | 932,000 | 845,790 | ||
Comision Federal de Electricidad (United Mexican States), 3.875%, 7/26/2033 (n) | 1,391,000 | 1,067,593 | ||
Consorcio Transmantaro S.A. (Republic of Peru), 5.2%, 4/11/2038 (n) | 837,000 | 772,133 | ||
Development Bank of Kazakhstan JSC, 2.95%, 5/06/2031 | 1,264,000 | 982,874 | ||
DP World Salaam (United Arab Emirates), 6% to 1/01/2026, FLR (CMT - 5yr. + 5.75%) to 1/01/2031, FLR (CMT - 5yr. + 6.75%) to 1/01/2070 | 1,464,000 | 1,456,680 | ||
Dua Capital Ltd. (Federation of Malaysia), 2.78%, 5/11/2031 | 2,643,000 | 2,156,085 | ||
Emirates NBD Bank PJSC, 6.125% to 7/09/2026, FLR (Swap Rate - 6yr. + 5.702%) to 1/09/2170 | 1,170,000 | 1,162,161 | ||
Empresa de Transmision Electrica S.A. (Republic of Panama), 5.125%, 5/02/2049 (n) | 1,694,000 | 1,394,247 | ||
Empresa Nacional del Petroleo (Republic of Chile), 3.45%, 9/16/2031 (n) | 1,391,000 | 1,168,440 | ||
EQUATE Petrochemical B.V. (State of Kuwait), 4.25%, 11/03/2026 | 655,000 | 642,909 | ||
Eskom Holdings SOC Ltd. (Republic of South Africa), 6.35%, 8/10/2028 (n) | 2,885,000 | 2,728,460 | ||
Greenko Dutch B.V. (Republic of India), 3.85%, 3/29/2026 (n) | 1,157,210 | 977,842 | ||
Greenko Power II Ltd. (Republic of India), 4.3%, 12/13/2028 (n) | 1,176,910 | 948,884 | ||
Greenko Wind Projects (Mauritius) Ltd., 5.5%, 4/06/2025 (n) | 1,322,000 | 1,189,800 | ||
Huarong Finance 2017 Co. Ltd. (People's Republic of China), 4.25%, 11/07/2027 | 1,496,000 | 1,193,060 | ||
Huarong Finance 2017 Co. Ltd. (People's Republic of China), 4.95%, 11/07/2047 | 1,673,000 | 1,105,135 | ||
Huarong Finance 2019 Co. Ltd. (People's Republic of China), 3.25%, 11/13/2024 | 2,684,000 | 2,387,955 | ||
Indian Railway Finance Corp., 2.8%, 2/10/2031 (n) | 2,640,000 | 2,178,284 | ||
Indian Railway Finance Corp., 3.57%, 1/21/2032 (n) | 738,000 | 639,241 | ||
Ipoteka Bank (Republic of Uzbekistan), 5.5%, 11/19/2025 | 1,553,000 | 1,346,451 | ||
KazMunayGas National Co., 5.75%, 4/19/2047 | 1,109,000 | 911,241 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Quasi-Sovereign – continued | ||||
Korea Hydro & Nuclear Power Co. Ltd., 4.25%, 7/27/2027 (n) | $ | 2,119,000 | $2,101,139 | |
Krung Thai Bank PLC (Cayman Islands Branch), 4.4% to 3/25/2026, FLR (CMT - 5yr. + 3.53%) to 9/25/2169 | 1,612,000 | 1,378,260 | ||
MEGlobal Canada ULC (State of Kuwait), 5.875%, 5/18/2030 (n) | 910,000 | 952,088 | ||
NAK Naftogaz Ukraine via Kondor Finance PLC, 7.625%, 11/08/2028 (a)(n) | 3,111,000 | 614,034 | ||
NBK SPC Ltd. (State of Kuwait), 1.625% to 9/15/2026, FLR (SOFR - 1 day + 1.05%) to 9/15/2027 (n) | 1,664,000 | 1,486,960 | ||
NPC Ukrenergo (Ukraine), 6.875%, 11/09/2028 (a)(n) | 905,000 | 167,425 | ||
OCP S.A. (Republic of Madagascar), 6.875%, 4/25/2044 | 2,448,000 | 2,160,105 | ||
Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 5.125%, 6/23/2051 (n) | 2,245,000 | 1,604,995 | ||
Oleoducto Central S.A. (Republic of Columbia), 4%, 7/14/2027 | 1,081,000 | 937,370 | ||
Ooredoo International Finance Ltd. (State of Qatar), 2.625%, 4/08/2031 (n) | 1,614,000 | 1,444,259 | ||
Oryx Funding Ltd. (Sultanate of Oman), 5.8%, 2/03/2031 (n) | 1,210,000 | 1,153,684 | ||
Pertamina PT, 5.625%, 5/20/2043 | 957,000 | 923,048 | ||
Petroleos Mexicanos, 6.84%, 1/23/2030 | 2,358,000 | 1,915,734 | ||
Petroleos Mexicanos, 6.75%, 9/21/2047 | 3,572,000 | 2,252,539 | ||
Petroleos Mexicanos, 7.69%, 1/23/2050 | 6,564,000 | 4,522,596 | ||
Petroleos Mexicanos, 6.95%, 1/28/2060 | 3,229,000 | 2,026,601 | ||
PETRONAS Capital Ltd. (Federation of Malaysia), 3.5%, 4/21/2030 (n) | 683,000 | 654,968 | ||
PETRONAS Capital Ltd. (Federation of Malaysia), 3.404%, 4/28/2061 | 1,343,000 | 1,040,150 | ||
PJSC State Savings Bank of Ukraine, 9.375%, 3/10/2023 | 589,400 | 324,170 | ||
PJSC State Savings Bank of Ukraine, 9.625%, 3/20/2025 | 639,600 | 319,120 | ||
Power Finance Corp. Ltd. (Republic of India), 3.95%, 4/23/2030 (n) | 1,228,000 | 1,108,117 | ||
PT Bank Negara Indonesia (Persero) Tbk, 3.75%, 3/30/2026 | 1,293,000 | 1,213,240 | ||
PT Freeport Indonesia, 5.315%, 4/14/2032 (n) | 1,564,000 | 1,446,323 | ||
PT Freeport Indonesia, 6.2%, 4/14/2052 (n) | 1,473,000 | 1,307,287 | ||
PT Indonesia Asahan Aluminium (Persero), 5.8%, 5/15/2050 (n) | 1,883,000 | 1,607,668 | ||
Qatar Petroleum, 2.25%, 7/12/2031 (n) | 1,397,000 | 1,218,002 | ||
Qatar Petroleum, 3.125%, 7/12/2041 (n) | 1,997,000 | 1,622,562 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Quasi-Sovereign – continued | ||||
Qatar Petroleum, 3.3%, 7/12/2051 (n) | $ | 1,053,000 | $838,451 | |
QNB Finance Ltd. (State of Qatar), 2.75%, 2/12/2027 | 1,129,000 | 1,064,550 | ||
SA Global Sukuk Ltd. (Kingdom of Saudi Arabia), 2.694%, 6/17/2031 (n) | 593,000 | 539,016 | ||
Saudi Arabian Oil Co., 3.5%, 11/24/2070 (n) | 3,601,000 | 2,604,855 | ||
Southern Gas Corridor CJSC (Republic of Azerbaijan), 6.875%, 3/24/2026 (n) | 5,170,000 | 5,440,598 | ||
State Oil Company of the Azerbaijan Republic, 6.95%, 3/18/2030 | 3,263,000 | 3,370,562 | ||
Sweihan PV Power Co. PJSC, 3.625%, 1/31/2049 (n) | 1,018,040 | 862,066 | ||
Uzbekneftegaz JSC (Republic of Uzbekistan), 4.75%, 11/16/2028 (n) | 1,236,000 | 908,448 | ||
$90,241,997 | ||||
Emerging Market Sovereign – 5.8% | ||||
Arab Republic of Egypt, 7.6%, 3/01/2029 (n) | $ | 1,396,000 | $1,098,163 | |
Arab Republic of Egypt, 7.625%, 5/29/2032 (n) | 1,695,000 | 1,188,344 | ||
Arab Republic of Egypt, 7.903%, 2/21/2048 (n) | 1,492,000 | 896,668 | ||
Arab Republic of Egypt, 7.903%, 2/21/2048 | 2,991,000 | 1,797,543 | ||
Arab Republic of Egypt, 8.875%, 5/29/2050 (n) | 2,842,000 | 1,828,344 | ||
Arab Republic of Egypt, 7.5%, 2/16/2061 (n) | 1,617,000 | 938,669 | ||
Czech Republic, 2.75%, 7/23/2029 | CZK | 59,400,000 | 2,124,043 | |
Dominican Republic, 6%, 7/19/2028 (n) | $ | 3,561,000 | 3,401,295 | |
Dominican Republic, 5.5%, 2/22/2029 (n) | 1,714,000 | 1,563,388 | ||
Dominican Republic, 4.875%, 9/23/2032 (n) | 2,931,000 | 2,365,014 | ||
Dominican Republic, 6%, 2/22/2033 (n) | 2,048,000 | 1,783,949 | ||
Dominican Republic, 5.3%, 1/21/2041 (n) | 1,002,000 | 741,903 | ||
Dominican Republic, 5.875%, 1/30/2060 (n) | 2,282,000 | 1,612,663 | ||
Dominican Republic, 5.875%, 1/30/2060 | 2,407,000 | 1,700,999 | ||
Federal Republic of Nigeria, 6.125%, 9/28/2028 (n) | 1,457,000 | 1,052,683 | ||
Federal Republic of Nigeria, 7.375%, 9/28/2033 (n) | 1,839,000 | 1,227,385 | ||
Federal Republic of Nigeria, 7.696%, 2/23/2038 | 969,000 | 618,803 | ||
Federative Republic of Brazil, 10%, 1/01/2023 | BRL | 14,946,000 | 2,839,216 | |
Federative Republic of Brazil, 10%, 1/01/2025 | 3,577,000 | 659,452 | ||
Federative Republic of Brazil, 4.75%, 1/14/2050 | $ | 1,053,000 | 762,204 | |
Government of Ukraine, 7.75%, 9/01/2028 (a) | 1,262,000 | 255,555 | ||
Government of Ukraine, 6.876%, 5/21/2031 (a) | 598,000 | 113,620 | ||
Government of Ukraine, 4.375%, 1/27/2032 (a)(n) | EUR | 1,074,000 | 186,182 | |
Government of Ukraine, 7.253%, 3/15/2035 (a) | $ | 3,089,000 | 540,575 | |
Government of Ukraine, 0%, 5/31/2041 (a) | 3,091,000 | 927,300 | ||
Hashemite Kingdom of Jordan, 7.75%, 1/15/2028 (n) | 1,242,000 | 1,229,207 | ||
Hashemite Kingdom of Jordan, 5.85%, 7/07/2030 (n) | 2,432,000 | 2,128,000 | ||
Hashemite Kingdom of Jordan, 7.375%, 10/10/2047 | 3,663,000 | 3,003,220 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
Islamic Republic of Pakistan, 6%, 4/08/2026 (n) | $ | 1,550,000 | $964,100 | |
Islamic Republic of Pakistan, 8.875%, 4/08/2051 (n) | 1,504,000 | 794,533 | ||
Kingdom of Morocco, 4%, 12/15/2050 (n) | 1,126,000 | 730,774 | ||
Kingdom of Morocco, 4%, 12/15/2050 | 1,762,000 | 1,143,538 | ||
Kingdom of Saudi Arabia, 2.25%, 2/02/2033 (n) | 1,288,000 | 1,104,906 | ||
Kingdom of Saudi Arabia, 4.5%, 10/26/2046 | 2,723,000 | 2,540,831 | ||
Kingdom of Saudi Arabia, 4.625%, 10/04/2047 | 3,863,000 | 3,643,195 | ||
Kingdom of Saudi Arabia, 3.25%, 11/17/2051 (n) | 1,445,000 | 1,110,376 | ||
Oriental Republic of Uruguay, 8.25%, 5/21/2031 | UYU | 89,988,000 | 1,841,641 | |
Oriental Republic of Uruguay, Inflation Linked Bond, 3.88%, 7/02/2040 | 90,843,573 | 2,270,817 | ||
Republic of Angola, 8.75%, 4/14/2032 (n) | $ | 1,899,000 | 1,553,230 | |
Republic of Angola, 9.375%, 5/08/2048 | 2,905,000 | 2,213,320 | ||
Republic of Angola, 9.125%, 11/26/2049 | 3,425,000 | 2,568,750 | ||
Republic of Argentina, 3.875%, 1/09/2038 | 7,243,000 | 2,029,396 | ||
Republic of Argentina, 3.5%, 7/09/2041 | 1,160,000 | 304,349 | ||
Republic of Cameroon, 5.95%, 7/07/2032 | EUR | 1,136,000 | 812,539 | |
Republic of Colombia, 5.75%, 11/03/2027 | COP | 11,984,300,000 | 2,088,515 | |
Republic of Colombia, 5.2%, 5/15/2049 | $ | 1,236,000 | 841,248 | |
Republic of Costa Rica, 7%, 4/04/2044 | 1,207,000 | 1,052,265 | ||
Republic of Costa Rica, 7.158%, 3/12/2045 | 1,683,000 | 1,490,742 | ||
Republic of Cote d'Ivoire, 4.875%, 1/30/2032 (n) | EUR | 1,724,000 | 1,308,063 | |
Republic of Cote d'Ivoire, 6.875%, 10/17/2040 (n) | 2,193,000 | 1,589,200 | ||
Republic of Cote d'Ivoire, 6.625%, 3/22/2048 (n) | 602,000 | 411,423 | ||
Republic of Ecuador, 2.5%, 7/31/2035 (n) | $ | 1,794,406 | 690,286 | |
Republic of Ecuador, 2.5%, 7/31/2035 | 1,821,000 | 700,516 | ||
Republic of Ecuador, 1.5%, 7/31/2040 (n) | 3,326,765 | 1,164,368 | ||
Republic of Ecuador, 1.5%, 7/31/2040 | 4,941,000 | 1,729,350 | ||
Republic of Gabon, 7%, 11/24/2031 (n) | 1,215,000 | 903,255 | ||
Republic of Ghana, 7.75%, 4/07/2029 (n) | 982,000 | 368,250 | ||
Republic of Ghana, 8.625%, 4/07/2034 | 1,170,000 | 414,339 | ||
Republic of Ghana, 7.875%, 2/11/2035 | 2,325,000 | 821,097 | ||
Republic of Guatemala, 5.25%, 8/10/2029 (n) | 907,000 | 884,904 | ||
Republic of Guatemala, 4.9%, 6/01/2030 | 3,018,000 | 2,867,197 | ||
Republic of Guatemala, 3.7%, 10/07/2033 (n) | 1,018,000 | 822,976 | ||
Republic of Guatemala, 4.65%, 10/07/2041 (n) | 808,000 | 639,391 | ||
Republic of Guatemala, 6.125%, 6/01/2050 | 2,624,000 | 2,393,697 | ||
Republic of Hungary, 5.25%, 6/16/2029 (n) | 2,337,000 | 2,248,895 | ||
Republic of Hungary, 5.5%, 6/16/2034 (n) | 2,223,000 | 2,072,685 | ||
Republic of Indonesia, 4.4%, 6/06/2027 (n) | 1,232,000 | 1,244,330 | ||
Republic of Indonesia, 4.7%, 6/06/2032 (n) | 1,227,000 | 1,262,114 | ||
Republic of Indonesia, 1.1%, 3/12/2033 | EUR | 1,082,000 | 804,643 | |
Republic of Indonesia, 5.125%, 1/15/2045 | $ | 1,390,000 | 1,369,364 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
Republic of Indonesia, 4.35%, 1/11/2048 | $ | 2,767,000 | $2,494,201 | |
Republic of Kazakhstan, 6.5%, 7/21/2045 | 859,000 | 863,896 | ||
Republic of Kenya, 8%, 5/22/2032 | 1,961,000 | 1,450,905 | ||
Republic of Kenya, 8.25%, 2/28/2048 | 1,785,000 | 1,212,408 | ||
Republic of Panama, 3.362%, 6/30/2031 (n) | 1,539,000 | 1,338,930 | ||
Republic of Paraguay, 3.849%, 6/28/2033 (n) | 612,000 | 523,053 | ||
Republic of Paraguay, 6.1%, 8/11/2044 | 4,048,000 | 3,762,101 | ||
Republic of Paraguay, 5.6%, 3/13/2048 | 2,372,000 | 2,015,831 | ||
Republic of Paraguay, 5.4%, 3/30/2050 (n) | 1,944,000 | 1,626,288 | ||
Republic of Philippines, 4.2%, 3/29/2047 | 1,183,000 | 1,071,883 | ||
Republic of Romania, 5.25%, 11/25/2027 (n) | 1,484,000 | 1,440,584 | ||
Republic of Romania, 1.75%, 7/13/2030 (n) | EUR | 1,556,000 | 1,123,676 | |
Republic of Romania, 2%, 1/28/2032 (n) | 1,241,000 | 858,359 | ||
Republic of Romania, 2%, 1/28/2032 | 1,150,000 | 795,417 | ||
Republic of Romania, 2%, 4/14/2033 (n) | 3,229,000 | 2,133,577 | ||
Republic of Romania, 3.75%, 2/07/2034 (n) | 813,000 | 633,480 | ||
Republic of Romania, 2.625%, 12/02/2040 (n) | 602,000 | 349,497 | ||
Republic of Romania, 2.75%, 4/14/2041 (n) | 1,029,000 | 597,878 | ||
Republic of Senegal, 4.75%, 3/13/2028 (n) | 960,000 | 810,247 | ||
Republic of Senegal, 6.75%, 3/13/2048 | $ | 1,061,000 | 741,639 | |
Republic of Serbia, 2.05%, 9/23/2036 (n) | EUR | 954,000 | 549,524 | |
Republic of South Africa, 5.875%, 4/20/2032 | $ | 1,159,000 | 1,031,626 | |
Republic of South Africa, 5.65%, 9/27/2047 | 1,596,000 | 1,139,072 | ||
Republic of South Africa, 5.75%, 9/30/2049 | 1,359,000 | 967,263 | ||
Republic of South Africa, 7.3%, 4/20/2052 | 2,881,000 | 2,390,101 | ||
Republic of Sri Lanka, 6.125%, 6/03/2025 (a) | 4,379,000 | 1,533,578 | ||
Republic of Sri Lanka, 7.55%, 3/28/2030 (a) | 2,892,000 | 962,143 | ||
Republic of Turkey, 5.75%, 5/11/2047 | 2,106,000 | 1,274,079 | ||
Republic of Uzbekistan, 3.7%, 11/25/2030 (n) | 1,498,000 | 1,162,718 | ||
Republic of Uzbekistan, 3.9%, 10/19/2031 (n) | 835,000 | 641,455 | ||
Republic of Zambia, 8.97%, 7/30/2027 (a)(d) | 1,909,000 | 1,145,400 | ||
Russian Federation, 4.25%, 6/23/2027 (a) | 3,000,000 | 1,380,000 | ||
Socialist Republic of Vietnam, 4.8%, 11/19/2024 | 1,088,000 | 1,092,323 | ||
State of Qatar, 4.625%, 6/02/2046 | 853,000 | 863,785 | ||
State of Qatar, 5.103%, 4/23/2048 (n) | 2,326,000 | 2,494,914 | ||
State of Qatar, 4.817%, 3/14/2049 (n) | 1,236,000 | 1,275,404 | ||
State of Qatar, 4.817%, 3/14/2049 | 619,000 | 638,734 | ||
State of Qatar, 4.4%, 4/16/2050 (n) | 652,000 | 638,882 | ||
Sultanate of Oman, 6.5%, 3/08/2047 | 2,434,000 | 2,127,404 | ||
Sultanate of Oman, 6.75%, 1/17/2048 | 4,130,000 | 3,693,046 | ||
Sultanate of Oman, 7%, 1/25/2051 (n) | 3,249,000 | 2,993,824 | ||
Sultanate of Oman, 7%, 1/25/2051 | 3,459,000 | 3,187,330 | ||
United Arab Emirates, 4.951%, 7/07/2052 (n) | 2,155,000 | 2,271,262 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
United Mexican States, 7.75%, 5/29/2031 | MXN | 19,300,000 | $880,788 | |
United Mexican States, 4.875%, 5/19/2033 | $ | 2,261,000 | 2,165,946 | |
United Mexican States, 3.5%, 2/12/2034 | 1,435,000 | 1,200,447 | ||
United Mexican States, 4.28%, 8/14/2041 | 972,000 | 776,855 | ||
United Mexican States, 4.5%, 1/31/2050 | 2,159,000 | 1,707,900 | ||
United Mexican States, 4.4%, 2/12/2052 | 1,036,000 | 792,107 | ||
$165,215,555 | ||||
Energy - Independent – 0.7% | ||||
Energean Israel Finance Ltd., 5.375%, 3/30/2028 | $ | 722,000 | $647,995 | |
Energean PLC, 6.5%, 4/30/2027 (n) | 1,565,000 | 1,413,683 | ||
EQT Corp., 3.625%, 5/15/2031 (n) | 1,943,000 | 1,715,193 | ||
Hess Corp., 5.8%, 4/01/2047 | 1,678,000 | 1,665,246 | ||
Leviathan Bond Ltd., 6.75%, 6/30/2030 (n) | 2,841,000 | 2,698,950 | ||
Medco Bell Pte. Ltd., 6.375%, 1/30/2027 (n) | 1,146,000 | 1,012,625 | ||
Medco Laurel Tree Pte. Ltd., 6.95%, 11/12/2028 (n) | 1,636,000 | 1,384,555 | ||
Pioneer Natural Resources Co., 1.9%, 8/15/2030 | 2,149,000 | 1,750,892 | ||
Sierracol Energy Andina LLC, 6%, 6/15/2028 (n) | 2,195,000 | 1,614,291 | ||
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n) | 2,119,000 | 1,822,340 | ||
Tengizchevroil Finance Co. International Ltd., 3.25%, 8/15/2030 (n) | 4,736,000 | 3,575,680 | ||
$19,301,450 | ||||
Energy - Integrated – 0.3% | ||||
BP Capital Markets America, Inc., 1.749%, 8/10/2030 | $ | 1,672,000 | $1,381,279 | |
BP Capital Markets America, Inc., 3.001%, 3/17/2052 | 1,301,000 | 944,929 | ||
Cenovus Energy, Inc., 4.4%, 4/15/2029 | 880,000 | 854,914 | ||
Cenovus Energy, Inc., 2.65%, 1/15/2032 | 1,012,000 | 830,609 | ||
Cenovus Energy, Inc., 6.75%, 11/15/2039 | 801,000 | 875,614 | ||
Cenovus Energy, Inc., 3.75%, 2/15/2052 | 238,000 | 183,818 | ||
Eni S.p.A., 4.75%, 9/12/2028 (n) | 1,818,000 | 1,793,700 | ||
Eni S.p.A., 4.25%, 5/09/2029 (n) | 976,000 | 926,504 | ||
$7,791,367 | ||||
Financial Institutions – 0.4% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, 7/21/2027 | $ | 1,425,000 | $1,306,190 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.3%, 1/30/2032 | 434,000 | 350,252 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.85%, 10/29/2041 | 346,000 | 254,739 | ||
Air Lease Corp., 2.875%, 1/15/2032 | 4,076,000 | 3,267,045 | ||
Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | 909,000 | 837,782 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Financial Institutions – continued | ||||
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | $ | 855,000 | $790,380 | |
Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | 1,636,000 | 1,332,753 | ||
Muthoot Finance Ltd., 4.4%, 9/02/2023 (n) | 2,255,000 | 2,198,625 | ||
Shriram Transport Finance Co. Ltd., 4.4%, 3/13/2024 (n) | 2,049,000 | 1,969,601 | ||
Sunac China Holdings Ltd., 7.5%, 2/01/2024 (a) | 1,792,000 | 252,097 | ||
Times China Holdings Ltd., 6.75%, 7/08/2025 | 1,256,000 | 188,245 | ||
$12,747,709 | ||||
Food & Beverages – 0.7% | ||||
Agrosuper S.A., 4.6%, 1/20/2032 (n) | $ | 610,000 | $516,382 | |
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | 1,364,000 | 1,418,168 | ||
Aragvi Finance International DAC, 8.45%, 4/29/2026 (n) | 1,588,000 | 1,123,415 | ||
Bacardi Ltd., 5.15%, 5/15/2038 (n) | 1,036,000 | 978,381 | ||
Central America Bottling Co., 5.25%, 4/27/2029 (n) | 2,121,000 | 1,967,227 | ||
Compania Cervecerias Unidas S.A., 3.35%, 1/19/2032 (n) | 1,439,000 | 1,251,930 | ||
Constellation Brands, Inc., 2.25%, 8/01/2031 | 1,839,000 | 1,497,675 | ||
Constellation Brands, Inc., 4.1%, 2/15/2048 | 3,081,000 | 2,588,908 | ||
Grupo Bimbo S.A.B. de C.V., 5.95%, 4/17/2059 | 1,248,000 | 1,235,340 | ||
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 (n) | 1,065,000 | 925,597 | ||
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.625%, 1/15/2032 (n) | 1,557,000 | 1,346,821 | ||
Kraft Heinz Foods Co., 4.875%, 10/01/2049 | 816,000 | 740,302 | ||
Kraft Heinz Foods Co., 5.5%, 6/01/2050 | 1,419,000 | 1,412,739 | ||
PT Indofood CBP Sukses Makmur Tbk, 3.398%, 6/09/2031 | 1,243,000 | 1,038,715 | ||
PT Indofood CBP Sukses Makmur Tbk, 4.805%, 4/27/2052 | 1,637,000 | 1,209,270 | ||
SYSCO Corp., 2.45%, 12/14/2031 | 1,256,000 | 1,051,255 | ||
SYSCO Corp., 4.45%, 3/15/2048 | 1,219,000 | 1,078,244 | ||
$21,380,369 | ||||
Gaming & Lodging – 0.3% | ||||
GENM Capital Labuan Ltd., 3.882%, 4/19/2031 (n) | $ | 1,716,000 | $1,341,544 | |
GLP Capital LP/GLP Financing II, Inc., 3.25%, 1/15/2032 | 654,000 | 529,456 | ||
Marriott International, Inc., 2.85%, 4/15/2031 | 2,566,000 | 2,136,351 | ||
Marriott International, Inc., 3.5%, 10/15/2032 | 2,052,000 | 1,755,551 | ||
VICI Properties LP / VICI Note Co., Inc., 4.25%, 12/01/2026 (n) | 264,000 | 247,281 | ||
VICI Properties LP / VICI Note Co., Inc., 4.125%, 8/15/2030 (n) | 527,000 | 463,367 | ||
VICI Properties LP, REIT, 4.75%, 2/15/2028 | 1,316,000 | 1,262,844 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Gaming & Lodging – continued | ||||
VICI Properties LP, REIT, 5.625%, 5/15/2052 | $ | 501,000 | $463,246 | |
$8,199,640 | ||||
Industrial – 0.2% | ||||
Arabian Centres Sukuk II Ltd., 5.625%, 10/07/2026 (n) | $ | 1,178,000 | $1,065,383 | |
Dar Al-Arkan Sukuk Co. Ltd., 6.875%, 2/26/2027 | 1,811,000 | 1,702,340 | ||
GEMS Menasa Cayman Ltd./GEMS Education Delaware LLC, 7.125%, 7/31/2026 (n) | 1,470,000 | 1,397,557 | ||
Howard University, Washington D.C., 2.738%, 10/01/2022 | 190,000 | 189,680 | ||
Howard University, Washington D.C., 2.801%, 10/01/2023 | 209,000 | 205,380 | ||
Howard University, Washington D.C., 2.416%, 10/01/2024 | 230,000 | 219,603 | ||
Howard University, Washington D.C., 2.516%, 10/01/2025 | 285,000 | 268,045 | ||
Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | 2,127,000 | 1,479,557 | ||
$6,527,545 | ||||
Insurance – 0.1% | ||||
Corebridge Financial, Inc., 3.9%, 4/05/2032 (n) | $ | 1,039,000 | $933,315 | |
Corebridge Financial, Inc., 4.35%, 4/05/2042 (n) | 2,580,000 | 2,187,294 | ||
$3,120,609 | ||||
Insurance - Health – 0.2% | ||||
Humana, Inc., 2.15%, 2/03/2032 | $ | 1,951,000 | $1,579,540 | |
Humana, Inc., 4.95%, 10/01/2044 | 2,242,000 | 2,151,051 | ||
UnitedHealth Group, Inc., 2.3%, 5/15/2031 | 1,986,000 | 1,696,170 | ||
UnitedHealth Group, Inc., 4.625%, 7/15/2035 | 1,234,000 | 1,229,600 | ||
$6,656,361 | ||||
Insurance - Property & Casualty – 0.2% | ||||
Aon Corp./Aon Global Holdings PLC, 2.05%, 8/23/2031 | $ | 3,843,000 | $3,102,537 | |
Aon Corp./Aon Global Holdings PLC, 2.6%, 12/02/2031 | 187,000 | 157,252 | ||
Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032 (n) | 3,206,000 | 3,140,971 | ||
$6,400,760 | ||||
International Market Quasi-Sovereign – 0.1% | ||||
Israel Electric Corp. Ltd., 3.75%, 2/22/2032 (n) | $ | 1,246,000 | $1,152,640 | |
Ontario Teachers' Cadillac Fairview Properties, 2.5%, 10/15/2031 (n) | 1,158,000 | 973,033 | ||
$2,125,673 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
International Market Sovereign – 0.2% | ||||
Government of Bermuda, 5%, 7/15/2032 (n) | $ | 3,115,000 | $3,135,742 | |
Government of Bermuda, 3.375%, 8/20/2050 (n) | 2,322,000 | 1,706,515 | ||
$4,842,257 | ||||
Machinery & Tools – 0.1% | ||||
CNH Industrial Capital LLC, 3.85%, 11/15/2027 | $ | 3,018,000 | $2,859,544 | |
Major Banks – 3.5% | ||||
ABQ Finance Ltd., 2%, 7/06/2026 | $ | 961,000 | $881,910 | |
Australia and New Zealand Banking Group Ltd., 2.57% to 11/25/2030, FLR (CMT - 5yr. + 1.7%) to 11/25/2035 (n) | 982,000 | 773,474 | ||
Bank of America Corp., 3.366% to 1/23/2025, FLR (LIBOR - 3mo. + 0.81%) to 1/23/2026 | 3,238,000 | 3,130,780 | ||
Bank of America Corp., 3.419% to 12/20/2027, FLR (LIBOR - 3mo. + 1.04%) to 12/20/2028 | 3,227,000 | 2,989,044 | ||
Bank of America Corp., 2.496% to 2/13/2030, FLR (LIBOR - 3mo. + 0.99%) to 2/13/2031 | 950,000 | 797,042 | ||
Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032 | 2,269,000 | 1,880,994 | ||
Bank of America Corp., 3.311% to 4/22/2041, FLR (SOFR - 1 day + 1.58%) to 4/22/2042 | 3,222,000 | 2,513,711 | ||
Barclays PLC, 2.894% to 11/24/2031, FLR (CMT - 1yr. + 1.3%) to 11/24/2032 | 3,578,000 | 2,806,282 | ||
Barclays PLC, 5.746% to 8/09/2032, FLR (CMT - 1yr. + 3%) to 8/09/2033 | 2,217,000 | 2,172,290 | ||
Commonwealth Bank of Australia, 3.61% to 9/12/2029, FLR (CMT - 1yr. + 2.05%) to 9/12/2034 (n) | 1,818,000 | 1,586,778 | ||
Commonwealth Bank of Australia, 3.305%, 3/11/2041 (n) | 2,801,000 | 2,089,999 | ||
Credit Agricole S.A., 1.247% to 1/26/2026, FLR (SOFR - 1 day + 0.89162%) to 1/26/2027 (n) | 3,272,000 | 2,875,059 | ||
Goldman Sachs Group, Inc., 2.64% to 2/24/2027, FLR (SOFR - 1 day + 1.114%) to 2/24/2028 | 3,267,000 | 2,962,643 | ||
Goldman Sachs Group, Inc., 2.65% to 10/21/2031, FLR (SOFR - 1 day + 1.264%) to 10/21/2032 | 2,804,000 | 2,302,341 | ||
Goldman Sachs Group, Inc., 3.102% to 2/24/2032, FLR (SOFR - 1 day + 1.41%) to 2/24/2033 | 3,323,000 | 2,827,009 | ||
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR - 1 day + 1.929%) to 6/04/2026 | 3,837,000 | 3,535,911 | ||
HSBC Holdings PLC, 2.357% to 8/18/2030, FLR (SOFR - 1 day + 1.947%) to 8/18/2031 | 3,604,000 | 2,847,675 | ||
JPMorgan Chase & Co., 3.782% to 2/01/2027, FLR (LIBOR - 3mo. + 1.337%) to 2/01/2028 | 2,435,000 | 2,334,580 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
JPMorgan Chase & Co., 2.545% to 11/08/2031, FLR (SOFR - 1 day + 1.18%) to 11/08/2032 | $ | 4,153,000 | $3,414,716 | |
JPMorgan Chase & Co., 3.109% to 4/22/2040, FLR (SOFR - 1 day + 2.46%) to 4/22/2041 | 2,419,000 | 1,866,839 | ||
Mitsubishi UFJ Financial Group, Inc., 1.64% to 10/13/2026, FLR (CMT - 1yr. + 0.67%) to 10/13/2027 | 2,438,000 | 2,139,344 | ||
Mitsubishi UFJ Financial Group, Inc., 2.494% to 10/13/2031, FLR (CMT - 1yr. + 0.97%) to 10/13/2032 | 6,270,000 | 5,100,735 | ||
Morgan Stanley, 3.125%, 7/27/2026 | 4,414,000 | 4,205,291 | ||
Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031 | 4,129,000 | 3,783,377 | ||
Morgan Stanley, 3.217% to 4/22/2041, FLR (SOFR - 1 day + 1.485%) to 4/22/2042 | 2,137,000 | 1,667,167 | ||
National Australia Bank Ltd., 3.347% to 1/12/2032, FLR (CMT - 5yr. + 1.7%) to 1/12/2037 (n) | 5,136,000 | 4,251,804 | ||
Nordea Bank Abp, 1.5%, 9/30/2026 (n) | 3,606,000 | 3,191,824 | ||
Oversea-Chinese Banking Corp. Ltd., 1.832% to 9/10/2025, FLR (CMT - 1yr. + 1.58%) to 9/10/2030 (n) | 723,000 | 662,044 | ||
Oversea-Chinese Banking Corp. Ltd., 4.602%, 6/15/2032 | 671,000 | 663,129 | ||
Royal Bank of Canada, 2.3%, 11/03/2031 | 4,139,000 | 3,437,942 | ||
Sumitomo Mitsui Financial Group, Inc., 1.71%, 1/12/2031 | 2,461,000 | 1,904,830 | ||
Toronto Dominion Bank, 1.25%, 9/10/2026 | 3,599,000 | 3,195,736 | ||
Toronto Dominion Bank, 4.108%, 6/08/2027 | 1,725,000 | 1,706,510 | ||
Toronto Dominion Bank, 2%, 9/10/2031 | 2,381,000 | 1,926,534 | ||
Toronto Dominion Bank, 4.456%, 6/08/2032 | 379,000 | 371,502 | ||
UBS Group AG, 3.179% to 2/11/2042, FLR (CMT - 1yr. + 1.1%) to 2/11/2043 (n) | 3,775,000 | 2,770,538 | ||
UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | 1,750,000 | 1,529,848 | ||
UniCredit S.p.A., 1.982% to 6/03/2026, FLR (CMT - 1yr. + 1.2%) to 6/03/2027 (n) | 282,000 | 238,609 | ||
Wells Fargo & Co., 3.908% to 4/25/2025, FLR (SOFR - 1 day + 1.32%) to 4/25/2026 | 3,251,000 | 3,185,374 | ||
Wells Fargo & Co., 4.54% to 8/15/2025, FLR (SOFR - 1 day + 1.56%) to 8/15/2026 | 2,350,000 | 2,334,060 | ||
Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | 5,327,000 | 4,650,174 | ||
$99,505,449 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Medical & Health Technology & Services – 0.4% | ||||
Alcon, Inc., 2.75%, 9/23/2026 (n) | $ | 1,818,000 | $1,678,980 | |
Alcon, Inc., 2.6%, 5/27/2030 (n) | 1,818,000 | 1,546,943 | ||
Becton, Dickinson and Co., 2.823%, 5/20/2030 | 1,871,000 | 1,650,060 | ||
Becton, Dickinson and Co., 4.298%, 8/22/2032 | 656,000 | 637,065 | ||
HCA, Inc., 5.125%, 6/15/2039 | 1,600,000 | 1,441,578 | ||
ProMedica Toledo Hospital, “B”, 5.325%, 11/15/2028 | 1,721,000 | 1,660,050 | ||
Thermo Fisher Scientific, Inc., 2%, 10/15/2031 | 1,033,000 | 869,715 | ||
Thermo Fisher Scientific, Inc., 2.8%, 10/15/2041 | 1,623,000 | 1,258,272 | ||
$10,742,663 | ||||
Medical Equipment – 0.1% | ||||
Danaher Corp., 2.6%, 10/01/2050 | $ | 3,124,000 | $2,155,659 | |
Metals & Mining – 0.5% | ||||
Anglo American Capital PLC, 4.5%, 3/15/2028 (n) | $ | 1,778,000 | $1,696,713 | |
Anglo American Capital PLC, 2.875%, 3/17/2031 (n) | 3,799,000 | 3,131,149 | ||
Antofagasta PLC, 5.625%, 5/13/2032 (n) | 1,059,000 | 1,048,410 | ||
Ero Copper Corp., 6.5%, 2/15/2030 (n) | 613,000 | 459,399 | ||
First Quantum Minerals Ltd., 6.875%, 10/15/2027 (n) | 2,976,000 | 2,838,360 | ||
Glencore Funding LLC, 2.5%, 9/01/2030 (n) | 909,000 | 739,101 | ||
Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 2,177,000 | 1,795,900 | ||
Petra Diamonds US$ Treasury PLC, 10.5% PIK to 12/31/2022, 10.5% PIK/9.75% Cash to 6/30/2023, 9.75% Cash to 3/08/2026 (n)(p) | 1,610,217 | 1,516,220 | ||
$13,225,252 | ||||
Midstream – 0.8% | ||||
Cheniere Corpus Christi Holdings LLC, 3.7%, 11/15/2029 | $ | 822,000 | $755,403 | |
Energy Transfer LP, 4%, 10/01/2027 | 893,000 | 847,896 | ||
Energy Transfer LP, 3.75%, 5/15/2030 | 1,147,000 | 1,030,817 | ||
Energy Transfer Partners LP, 5.15%, 3/15/2045 | 1,963,000 | 1,692,586 | ||
Galaxy Pipeline Assets Bidco Ltd., 1.75%, 9/30/2027 (n) | 2,560,098 | 2,399,881 | ||
Galaxy Pipeline Assets Bidco Ltd., 2.625%, 3/31/2036 (n) | 2,156,000 | 1,813,735 | ||
Galaxy Pipeline Assets Bidco Ltd., 2.94%, 9/30/2040 (n) | 1,748,063 | 1,459,738 | ||
Galaxy Pipeline Assets Bidco Ltd., 3.25%, 9/30/2040 (n) | 1,589,000 | 1,301,501 | ||
Peru LNG, 5.375%, 3/22/2030 | 1,254,000 | 1,059,630 | ||
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/2029 | 1,827,000 | 1,599,064 | ||
Plains All American Pipeline LP/PAA Finance Corp., 4.3%, 1/31/2043 | 1,810,000 | 1,364,529 | ||
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 3,055,000 | 2,880,219 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 1,798,000 | 1,721,282 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Midstream – continued | ||||
Targa Resources Corp., 4.2%, 2/01/2033 | $ | 222,000 | $199,327 | |
Targa Resources Corp., 4.95%, 4/15/2052 | 2,512,000 | 2,166,028 | ||
$22,291,636 | ||||
Mortgage-Backed – 6.6% | ||||
Fannie Mae, 4.5%, 1/01/2023 - 11/01/2042 | $ | 1,453,752 | $1,483,557 | |
Fannie Mae, 5%, 7/01/2023 - 3/01/2042 | 2,883,982 | 3,006,420 | ||
Fannie Mae, 3%, 11/01/2028 - 9/01/2046 | 5,548,229 | 5,376,246 | ||
Fannie Mae, 2.5%, 11/01/2031 - 10/01/2046 | 614,790 | 562,929 | ||
Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | 529,494 | 52,617 | ||
Fannie Mae, 3.42%, 7/01/2032 | 1,491,216 | 1,436,455 | ||
Fannie Mae, 6.5%, 1/01/2033 - 10/01/2037 | 40,855 | 42,712 | ||
Fannie Mae, 3%, 2/25/2033 (i) | 695,179 | 66,296 | ||
Fannie Mae, 5.5%, 5/01/2033 - 5/01/2044 | 2,778,466 | 2,941,833 | ||
Fannie Mae, 6%, 8/01/2034 - 6/01/2038 | 142,569 | 151,431 | ||
Fannie Mae, 3.5%, 4/25/2040 - 12/01/2047 | 2,467,891 | 2,412,492 | ||
Fannie Mae, 4%, 9/01/2040 - 7/01/2043 | 3,631,878 | 3,632,908 | ||
Fannie Mae, 2%, 10/25/2040 - 5/25/2044 | 185,296 | 181,152 | ||
Fannie Mae, UMBS, 2%, 5/01/2037 - 4/01/2052 | 15,727,811 | 13,835,606 | ||
Fannie Mae, UMBS, 1.5%, 2/01/2042 | 41,761 | 35,358 | ||
Fannie Mae, UMBS, 2.5%, 3/01/2042 - 8/01/2052 | 12,659,259 | 11,367,258 | ||
Fannie Mae, UMBS, 5.5%, 5/01/2044 | 448,956 | 475,957 | ||
Fannie Mae, UMBS, 3.5%, 5/01/2049 - 7/01/2052 | 830,323 | 798,238 | ||
Fannie Mae, UMBS, 3%, 7/01/2050 - 1/01/2052 | 1,562,251 | 1,456,375 | ||
Fannie Mae, UMBS, 4%, 5/01/2052 | 484,638 | 477,884 | ||
Freddie Mac, 5%, 4/01/2023 - 12/01/2044 | 1,534,545 | 1,599,422 | ||
Freddie Mac, 1.048%, 4/25/2024 (i) | 14,617,905 | 176,228 | ||
Freddie Mac, 0.714%, 7/25/2024 (i) | 21,831,597 | 158,930 | ||
Freddie Mac, 4.5%, 9/01/2024 - 5/01/2042 | 929,393 | 948,269 | ||
Freddie Mac, 4%, 7/01/2025 - 4/01/2044 | 1,027,543 | 1,027,716 | ||
Freddie Mac, 3.5%, 1/15/2027 - 10/25/2058 | 4,288,811 | 4,171,230 | ||
Freddie Mac, 1.481%, 3/25/2027 (i) | 2,188,000 | 117,983 | ||
Freddie Mac, 0.711%, 7/25/2027 (i) | 44,928,461 | 1,061,219 | ||
Freddie Mac, 0.558%, 8/25/2027 (i) | 33,982,968 | 618,833 | ||
Freddie Mac, 0.428%, 1/25/2028 (i) | 63,475,117 | 931,332 | ||
Freddie Mac, 0.436%, 1/25/2028 (i) | 26,177,198 | 396,642 | ||
Freddie Mac, 0.271%, 2/25/2028 (i) | 78,186,342 | 602,074 | ||
Freddie Mac, 2.5%, 3/15/2028 | 176,114 | 174,832 | ||
Freddie Mac, 0.264%, 4/25/2028 (i) | 50,358,540 | 360,351 | ||
Freddie Mac, 3%, 6/15/2028 - 10/01/2046 | 3,958,515 | 3,771,033 | ||
Freddie Mac, 1.218%, 7/25/2029 (i) | 8,097,864 | 496,727 | ||
Freddie Mac, 1.269%, 8/25/2029 (i) | 14,200,766 | 909,093 | ||
Freddie Mac, 1.916%, 4/25/2030 (i) | 3,344,437 | 376,444 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Freddie Mac, 1.985%, 4/25/2030 (i) | $ | 8,166,315 | $960,705 | |
Freddie Mac, 1.766%, 5/25/2030 (i) | 4,373,949 | 462,934 | ||
Freddie Mac, 1.906%, 5/25/2030 (i) | 9,928,903 | 1,131,931 | ||
Freddie Mac, 5.5%, 6/01/2030 - 9/01/2041 | 913,095 | 967,731 | ||
Freddie Mac, 1.436%, 6/25/2030 (i) | 3,957,955 | 337,361 | ||
Freddie Mac, 1.704%, 8/25/2030 (i) | 3,506,241 | 364,930 | ||
Freddie Mac, 1.263%, 9/25/2030 (i) | 2,193,674 | 169,841 | ||
Freddie Mac, 0.422%, 1/25/2031 (i) | 12,728,597 | 273,522 | ||
Freddie Mac, 0.873%, 1/25/2031 (i) | 4,987,462 | 273,024 | ||
Freddie Mac, 3.71%, 11/25/2032 | 1,880,868 | 1,856,228 | ||
Freddie Mac, 6%, 8/01/2034 - 10/01/2038 | 176,448 | 189,205 | ||
Freddie Mac, 5.5%, 2/15/2036 (i) | 166,084 | 28,105 | ||
Freddie Mac, 6.5%, 5/01/2037 | 6,200 | 6,549 | ||
Freddie Mac, 4.5%, 12/15/2040 (i) | 53,654 | 4,962 | ||
Freddie Mac, 3.25%, 11/25/2061 | 1,281,950 | 1,219,852 | ||
Freddie Mac, UMBS, 2%, 4/01/2037 - 3/01/2052 | 11,348,407 | 10,059,763 | ||
Freddie Mac, UMBS, 2.5%, 8/01/2040 - 6/01/2052 | 9,834,215 | 8,797,406 | ||
Freddie Mac, UMBS, 3%, 3/01/2047 - 7/01/2052 | 6,768,811 | 6,296,649 | ||
Freddie Mac, UMBS, 3.5%, 5/01/2052 | 194,226 | 185,927 | ||
Freddie Mac, UMBS, 4%, 5/01/2052 | 740,348 | 730,031 | ||
Ginnie Mae, 5.5%, 5/15/2033 - 1/20/2042 | 143,539 | 153,743 | ||
Ginnie Mae, 4.5%, 7/20/2033 - 9/20/2041 | 2,167,125 | 2,224,558 | ||
Ginnie Mae, 5.687%, 8/20/2034 | 462,895 | 483,240 | ||
Ginnie Mae, 4%, 5/16/2039 - 7/20/2049 | 841,954 | 843,625 | ||
Ginnie Mae, 3.5%, 10/20/2041 (i) | 239,781 | 14,133 | ||
Ginnie Mae, 3.5%, 12/15/2041 - 4/20/2047 | 3,116,682 | 3,056,558 | ||
Ginnie Mae, 2.5%, 6/20/2042 - 7/20/2052 | 5,678,812 | 5,188,540 | ||
Ginnie Mae, 4%, 8/16/2042 (i) | 299,032 | 44,943 | ||
Ginnie Mae, 3%, 4/20/2045 - 7/20/2052 | 2,301,142 | 2,195,759 | ||
Ginnie Mae, 2%, 1/20/2052 - 3/20/2052 | 2,267,707 | 2,008,779 | ||
Ginnie Mae, 0.586%, 2/16/2059 (i) | 1,038,370 | 38,740 | ||
Ginnie Mae, TBA, 2.5%, 9/21/2052 | 2,085,140 | 1,899,839 | ||
Ginnie Mae, TBA, 3%, 9/21/2052 | 5,875,000 | 5,514,009 | ||
Ginnie Mae, TBA, 3.5%, 9/21/2052 | 3,250,000 | 3,133,584 | ||
Ginnie Mae, TBA, 4%, 9/21/2052 - 10/20/2052 | 5,765,238 | 5,676,213 | ||
Ginnie Mae, TBA, 4.5%, 9/21/2052 - 10/20/2052 | 4,750,000 | 4,747,996 | ||
Ginnie Mae, TBA, 5%, 9/21/2052 - 10/20/2052 | 2,550,000 | 2,580,030 | ||
UMBS, TBA, 2.5%, 9/19/2037 - 9/25/2052 | 17,850,000 | 16,093,422 | ||
UMBS, TBA, 5.5%, 9/14/2052 - 10/25/2052 | 1,225,000 | 1,251,132 | ||
UMBS, TBA, 2%, 9/25/2052 | 11,825,000 | 10,172,040 | ||
UMBS, TBA, 3.5%, 9/25/2052 | 11,050,000 | 10,527,715 | ||
UMBS, TBA, 4%, 9/25/2052 | 4,175,000 | 4,074,865 | ||
UMBS, TBA, 4.5%, 9/25/2052 | 2,925,000 | 2,907,176 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
UMBS, TBA, 5%, 9/25/2052 | $ | 150,000 | $151,371 | |
$186,990,748 | ||||
Municipals – 0.2% | ||||
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 2.746%, 6/01/2034 | $ | 855,000 | $730,357 | |
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 3%, 6/01/2046 | 730,000 | 641,327 | ||
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B-1”, 1.85%, 6/01/2031 | 155,000 | 152,082 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.562%, 7/01/2026 | 55,000 | 51,335 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.682%, 7/01/2027 | 255,000 | 234,482 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 390,762 | 358,799 | ||
Philadelphia, PA, School District, Taxable, “A”, AGM, 5.995%, 9/01/2030 | 1,210,000 | 1,354,412 | ||
State of Florida, Taxable, “A”, 2.154%, 7/01/2030 | 936,000 | 800,355 | ||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.497%, 6/01/2024 | 210,000 | 200,821 | ||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.647%, 6/01/2025 | 175,000 | 162,162 | ||
$4,686,132 | ||||
Natural Gas - Distribution – 0.1% | ||||
Infraestructura Energética Nova S.A.B. de C.V., 4.875%, 1/14/2048 | $ | 2,466,000 | $1,837,170 | |
NiSource, Inc., 5.65%, 2/01/2045 | 295,000 | 298,884 | ||
$2,136,054 | ||||
Natural Gas - Pipeline – 0.1% | ||||
APT Pipelines Ltd., 5%, 3/23/2035 (n) | $ | 1,605,000 | $1,552,129 | |
Network & Telecom – 0.3% | ||||
AT&T, Inc., 2.75%, 6/01/2031 | $ | 1,364,000 | $1,168,635 | |
AT&T, Inc., 3.55%, 9/15/2055 | 519,000 | 380,007 | ||
Total Play Telecomunicaciones S.A. de C.V., 6.375%, 9/20/2028 (n) | 1,574,000 | 1,239,525 | ||
Verizon Communications, Inc., 2.1%, 3/22/2028 | 2,148,000 | 1,898,340 | ||
Verizon Communications, Inc., 1.75%, 1/20/2031 | 1,969,000 | 1,561,339 |
Issuer | Shares/Par | Value ($) | ||
Bonds �� continued | ||||
Network & Telecom – continued | ||||
Verizon Communications, Inc., 2.55%, 3/21/2031 | $ | 3,414,000 | $2,885,525 | |
$9,133,371 | ||||
Oil Services – 0.1% | ||||
Acu Petroleo Luxembourg S.à r.l., 7.5%, 1/13/2032 (n) | $ | 629,000 | $530,717 | |
MV24 Capital B.V., 6.748%, 6/01/2034 | 1,107,569 | 1,019,460 | ||
$1,550,177 | ||||
Oils – 0.0% | ||||
Puma International Financing S.A., 5%, 1/24/2026 | $ | 1,210,000 | $1,067,571 | |
Other Banks & Diversified Financials – 0.9% | ||||
American Express Co., 4.989% to 5/26/2032, FLR (SOFR - 1 day + 2.255%) to 5/26/2033 | $ | 2,417,000 | $2,402,638 | |
Banco Continental S.A.E.C.A., 2.75%, 12/10/2025 (n) | 1,239,000 | 1,105,807 | ||
Banco GNB Sudameris S.A., 7.5% to 4/16/2026, FLR (CMT - 5yr. + 6.66%) to 4/16/2031 (n) | 1,456,000 | 1,159,417 | ||
Banco Industrial S.A., 4.875% to 1/29/2026, FLR (CMT - 5yr. + 4.442%) to 1/29/2031 (n) | 1,050,000 | 980,311 | ||
Bangkok Bank Public Co. Ltd., 3.466% to 9/23/2031, FLR (CMT - 5yr. + 2.15%) to 9/23/2036 (n) | 2,084,000 | 1,745,694 | ||
Bangkok Bank Public Co. Ltd. (Hong Kong), 3.733% to 9/25/2029, FLR (CMT - 5yr. + 1.9%) to 9/25/2034 | 1,004,000 | 870,468 | ||
Bank Hapoalim B.M., 3.255% to 1/21/2027, FLR (CMT - 5yr. + 2.155%) to 1/21/2032 (n) | 1,974,000 | 1,716,973 | ||
Bank Leumi le-Israel B.M., 3.275% to 1/29/2026, FLR (CMT - 5yr. + 1.631%) to 1/29/2031 (n) | 3,963,000 | 3,512,209 | ||
BPCE S.A., 1.652% to 10/06/2025, FLR (SOFR + 1.52%) to 10/06/2026 (n) | 2,670,000 | 2,374,535 | ||
Commercial Bank PSQC, 4.5% to 9/03/2026, FLR (CMT - 5yr. + 3.874%) to 9/03/2169 | 2,148,000 | 1,982,604 | ||
Mizrahi Tefahot Bank Ltd., 3.077% to 4/07/2026, FLR (CMT - 5yr. + 2.25%) to 4/07/2031 (n) | 1,818,000 | 1,593,022 | ||
United Overseas Bank Ltd., 2% to 10/14/2026, FLR (CMT - 5yr. + 1.23%) to 10/14/2031 (n) | 1,677,000 | 1,497,856 | ||
United Overseas Bank Ltd., 3.863%, 10/07/2032 (n) | 934,000 | 889,755 | ||
Uzbek Industrial and Construction Bank, 5.75%, 12/02/2024 | 3,783,000 | 3,400,917 | ||
$25,232,206 | ||||
Pharmaceuticals – 0.0% | ||||
Merck & Co., Inc., 2.75%, 12/10/2051 | $ | 826,000 | $597,406 | |
Pfizer, Inc., 2.55%, 5/28/2040 | 826,000 | 634,462 | ||
$1,231,868 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Pollution Control – 0.0% | ||||
Waste Connections, Inc., 4.2%, 1/15/2033 | $ | 1,344,000 | $1,292,688 | |
Railroad & Shipping – 0.0% | ||||
Canadian Pacific Railway Co., 3%, 12/02/2041 | $ | 323,000 | $254,407 | |
Canadian Pacific Railway Co., 3.1%, 12/02/2051 | 480,000 | 354,427 | ||
Wabtec Transportation Netherlands B.V., 1.25%, 12/03/2027 | EUR | 1,019,000 | 847,104 | |
$1,455,938 | ||||
Real Estate - Apartment – 0.0% | ||||
American Homes 4 Rent LP, REIT, 2.375%, 7/15/2031 | $ | 1,118,000 | $897,211 | |
American Homes 4 Rent LP, REIT, 3.375%, 7/15/2051 | 577,000 | 393,701 | ||
$1,290,912 | ||||
Real Estate - Office – 0.1% | ||||
Corporate Office Property LP, REIT, 2%, 1/15/2029 | $ | 2,124,000 | $1,677,725 | |
Corporate Office Property LP, REIT, 2.75%, 4/15/2031 | 1,544,000 | 1,212,551 | ||
$2,890,276 | ||||
Real Estate - Other – 0.1% | ||||
EPR Properties, REIT, 3.6%, 11/15/2031 | $ | 741,000 | $581,493 | |
Lexington Realty Trust Co., 2.7%, 9/15/2030 | 1,082,000 | 872,936 | ||
Lexington Realty Trust Co., 2.375%, 10/01/2031 | 641,000 | 488,968 | ||
W.P. Carey, Inc., REIT, 2.45%, 2/01/2032 | 555,000 | 441,904 | ||
$2,385,301 | ||||
Real Estate - Retail – 0.1% | ||||
Brixmor Operating Partnership LP, REIT, 2.5%, 8/16/2031 | $ | 597,000 | $462,005 | |
STORE Capital Corp., REIT, 2.75%, 11/18/2030 | 2,605,000 | 2,114,471 | ||
$2,576,476 | ||||
Restaurants – 0.1% | ||||
Starbucks Corp., 3%, 2/14/2032 | $ | 2,866,000 | $2,504,415 | |
Retailers – 0.4% | ||||
Alibaba Group Holding Ltd., 2.125%, 2/09/2031 | $ | 1,975,000 | $1,637,723 | |
Alimentation Couche-Tard, Inc., 3.8%, 1/25/2050 (n) | 2,206,000 | 1,650,237 | ||
Amazon.com, Inc., 3.6%, 4/13/2032 | 3,252,000 | 3,117,218 | ||
AutoZone, Inc., 4.75%, 8/01/2032 | 1,787,000 | 1,770,476 | ||
Grupo Axo S.A.P.I. de C.V., 5.75%, 6/08/2026 (n) | 1,154,000 | 926,085 | ||
Home Depot, Inc., 3.9%, 6/15/2047 | 1,785,000 | 1,569,375 | ||
Nordstrom, Inc., 4.25%, 8/01/2031 | 882,000 | 646,065 | ||
Nordstrom, Inc., 5%, 1/15/2044 | 478,000 | 322,315 | ||
$11,639,494 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Specialty Chemicals – 0.1% | ||||
International Flavors & Fragrances, Inc., 2.3%, 11/01/2030 (n) | $ | 1,208,000 | $989,684 | |
International Flavors & Fragrances, Inc., 3.268%, 11/15/2040 (n) | 1,208,000 | 919,648 | ||
$1,909,332 | ||||
Specialty Stores – 0.1% | ||||
DICK'S Sporting Goods, 3.15%, 1/15/2032 | $ | 910,000 | $720,983 | |
DICK'S Sporting Goods, 4.1%, 1/15/2052 | 2,521,000 | 1,684,162 | ||
$2,405,145 | ||||
Supranational – 0.0% | ||||
West African Development Bank, 4.7%, 10/22/2031 (n) | $ | 1,355,000 | $1,158,660 | |
Telecommunications - Wireless – 0.6% | ||||
Cellnex Finance Co. S.A., 3.875%, 7/07/2041 (n) | $ | 1,304,000 | $904,402 | |
Crown Castle International Corp., REIT, 4.45%, 2/15/2026 | 1,267,000 | 1,260,639 | ||
Crown Castle International Corp., REIT, 3.7%, 6/15/2026 | 3,355,000 | 3,250,171 | ||
CT Trust, 5.125%, 2/03/2032 (n) | 925,000 | 798,292 | ||
Millicom International Cellular S.A., 4.5%, 4/27/2031 (n) | 1,406,000 | 1,152,920 | ||
Rogers Communications, Inc., 3.8%, 3/15/2032 (n) | 764,000 | 697,307 | ||
Rogers Communications, Inc., 4.5%, 3/15/2042 (n) | 2,401,000 | 2,121,140 | ||
Rogers Communications, Inc., 3.7%, 11/15/2049 | 1,709,000 | 1,294,897 | ||
Telefonica Celular del Paraguay S.A., 5.875%, 4/15/2027 (n) | 1,846,000 | 1,759,552 | ||
Telefonica Celular del Paraguay S.A., 5.875%, 4/15/2027 | 1,203,000 | 1,146,663 | ||
T-Mobile USA, Inc., 3.5%, 4/15/2025 | 2,182,000 | 2,130,700 | ||
VEON Holdings B.V., 4%, 4/09/2025 (n) | 1,444,000 | 895,280 | ||
$17,411,963 | ||||
Transportation – 0.0% | ||||
Hidrovias International Finance S.à r.l., 4.95%, 2/08/2031 | $ | 1,410,000 | $1,113,900 | |
Transportation - Services – 0.3% | ||||
Adani Ports & Special Economic Zone Ltd., 5%, 8/02/2041 (n) | $ | 1,694,000 | $1,374,674 | |
Cliffton Ltd., 6.25%, 10/25/2025 (n) | 2,561,000 | 2,304,900 | ||
ERAC USA Finance LLC, 3.3%, 12/01/2026 | 2,463,000 | 2,329,705 | ||
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/2027 | 420,000 | 364,350 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Transportation - Services – continued | ||||
ICTSI Treasury B.V., 3.5%, 11/16/2031 | $ | 1,309,000 | $1,090,922 | |
JSW Infrastructure Ltd., 4.95%, 1/21/2029 (n) | 1,065,000 | 882,114 | ||
Royal Capital B.V., 5% to 5/05/2026, FLR (CMT - 5yr. + 7.396%) to 7/31/2070 | 914,000 | 875,612 | ||
$9,222,277 | ||||
U.S. Government Agencies and Equivalents – 0.0% | ||||
Small Business Administration, 5.16%, 2/01/2028 | $ | 17,500 | $17,281 | |
Small Business Administration, 2.21%, 2/01/2033 | 101,933 | 94,677 | ||
Small Business Administration, 2.22%, 3/01/2033 | 163,695 | 152,427 | ||
Small Business Administration, 3.15%, 7/01/2033 | 195,299 | 189,481 | ||
Small Business Administration, 3.16%, 8/01/2033 | 245,765 | 239,462 | ||
Small Business Administration, 3.62%, 9/01/2033 | 183,227 | 181,102 | ||
$874,430 | ||||
U.S. Treasury Obligations – 4.3% | ||||
U.S. Treasury Bonds, 6.375%, 8/15/2027 | $ | 106,000 | $120,277 | |
U.S. Treasury Bonds, 5.25%, 2/15/2029 | 2,965,000 | 3,292,656 | ||
U.S. Treasury Bonds, 1.625%, 5/15/2031 | 4,940,000 | 4,363,988 | ||
U.S. Treasury Bonds, 1.125%, 8/15/2040 | 4,402,000 | 2,968,943 | ||
U.S. Treasury Bonds, 1.375%, 11/15/2040 | 5,929,000 | 4,171,144 | ||
U.S. Treasury Bonds, 2.375%, 2/15/2042 | 6,879,000 | 5,702,046 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2043 | 6,853,400 | 6,108,093 | ||
U.S. Treasury Bonds, 2.875%, 11/15/2046 (f) | 7,328,000 | 6,495,012 | ||
U.S. Treasury Bonds, 2%, 8/15/2051 | 1,150,000 | 863,938 | ||
U.S. Treasury Bonds, 1.875%, 11/15/2051 | 4,870,500 | 3,546,713 | ||
U.S. Treasury Bonds, 2.25%, 2/15/2052 | 1,499,200 | 1,197,486 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2052 | 2,359,000 | 2,173,966 | ||
U.S. Treasury Notes, 0.125%, 9/30/2022 | 6,171,000 | 6,160,510 | ||
U.S. Treasury Notes, 0.125%, 7/15/2023 | 2,180,000 | 2,117,240 | ||
U.S. Treasury Notes, 2.5%, 8/15/2023 | 7,225,000 | 7,157,266 | ||
U.S. Treasury Notes, 0.375%, 10/31/2023 | 11,653,300 | 11,246,345 | ||
U.S. Treasury Notes, 0.875%, 1/31/2024 | 7,753,600 | 7,473,441 | ||
U.S. Treasury Notes, 2.75%, 2/15/2024 | 7,855,000 | 7,773,688 | ||
U.S. Treasury Notes, 2.5%, 5/15/2024 | 4,680,000 | 4,605,230 | ||
U.S. Treasury Notes, 2.625%, 4/15/2025 | 6,492,000 | 6,351,002 | ||
U.S. Treasury Notes, 0.875%, 9/30/2026 | 5,600,000 | 5,059,031 | ||
U.S. Treasury Notes, 2.25%, 8/15/2027 | 8,936,000 | 8,485,709 | ||
U.S. Treasury Notes, 2.375%, 5/15/2029 | 8,149,500 | 7,685,042 | ||
U.S. Treasury Notes, 1.875%, 2/15/2032 | 7,500,000 | 6,705,469 | ||
U.S. Treasury Notes, 3.25%, 5/15/2042 | 1,714,000 | 1,639,548 | ||
$123,463,783 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Utilities - Electric Power – 2.4% | ||||
Adani Green Energy (UP) Ltd./Prayatna Developers Private Ltd., 6.25%, 12/10/2024 (n) | $ | 3,526,000 | $3,393,775 | |
Adani Transmission Ltd., 4.25%, 5/21/2036 (n) | 2,734,375 | 2,277,732 | ||
AES Gener S.A., 7.125% to 7/06/2024, FLR (Swap Rate - 5yr. + 4.644%) to 7/06/2029, FLR (Swap Rate - 5yr. + 4.894%) to 7/06/2044, FLR (Swap Rate - 5yr. + 5.644%) to 3/26/2079 | 1,802,000 | 1,704,836 | ||
AES Gener S.A., 6.35% to 4/07/2025, FLR (CMT - 5yr. + 4.917%) to 4/07/2030, FLR (CMT - 5yr. + 5.167%) to 4/07/2045, FLR (CMT - 5yr. + 5.917%) to 10/07/2079 (n) | 1,885,000 | 1,746,855 | ||
AES Panama Generation Holdings SRL, 4.375%, 5/31/2030 (n) | 1,897,000 | 1,648,322 | ||
Alabama Power Co., 3.45%, 10/01/2049 | 2,366,000 | 1,868,655 | ||
Alfa Desarrollo S.p.A., 4.55%, 9/27/2051 (n) | 1,028,221 | 740,319 | ||
American Electric Power Co., Inc., 2.3%, 3/01/2030 | 1,879,000 | 1,578,699 | ||
American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | 305,000 | 256,647 | ||
Azure Power Energy Ltd., 3.575%, 8/19/2026 (n) | 1,093,337 | 704,109 | ||
CenterPoint Energy, Inc., 2.65%, 6/01/2031 | 936,000 | 798,616 | ||
Clean Renewable Power, 4.25%, 3/25/2027 (n) | 1,514,100 | 1,230,206 | ||
Duke Energy Carolinas LLC, 2.85%, 3/15/2032 | 3,193,000 | 2,830,472 | ||
Duke Energy Corp., 3.3%, 6/15/2041 | 3,820,000 | 2,950,209 | ||
Duke Energy Indiana LLC, 2.75%, 4/01/2050 | 691,000 | 482,189 | ||
Electricidad Firme de Mexico, 4.9%, 11/20/2026 (n) | 1,619,000 | 1,370,911 | ||
Empresa Generadora de Electricidad Haina S.A., 5.625%, 11/08/2028 (n) | 1,480,000 | 1,244,932 | ||
Enel Finance International N.V., 4.625%, 6/15/2027 (n) | 1,080,000 | 1,052,385 | ||
Enel Finance International N.V., 5%, 6/15/2032 (n) | 383,000 | 354,483 | ||
Enel Finance International N.V., 5.5%, 6/15/2052 (n) | 2,804,000 | 2,493,943 | ||
Energuate Trust, 5.875%, 5/03/2027 | 1,613,000 | 1,513,333 | ||
EnfraGen Energia Sur S.A., 5.375%, 12/30/2030 (n) | 1,426,000 | 996,040 | ||
Evergy, Inc., 2.9%, 9/15/2029 | 2,162,000 | 1,896,922 | ||
FirstEnergy Corp., 2.65%, 3/01/2030 | 2,000,000 | 1,706,180 | ||
Florida Power & Light Co., 2.85%, 4/01/2025 | 2,593,000 | 2,537,614 | ||
Florida Power & Light Co., 2.45%, 2/03/2032 | 734,000 | 637,166 | ||
Florida Power & Light Co., 3.95%, 3/01/2048 | 1,629,000 | 1,481,610 | ||
Georgia Power Co., 4.7%, 5/15/2032 | 2,379,000 | 2,366,729 | ||
Investment Energy Resources Ltd., 6.25%, 4/26/2029 (n) | 1,219,000 | 1,099,599 | ||
Jersey Central Power & Light Co., 4.3%, 1/15/2026 (n) | 959,000 | 940,842 | ||
Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 3,045,000 | 2,572,730 | ||
Mercury Chile Holdco LLC, 6.5%, 1/24/2027 (n) | 1,039,000 | 924,710 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Utilities - Electric Power – continued | ||||
NextEra Energy Capital Holdings, Inc., 2.44%, 1/15/2032 | $ | 1,630,000 | $1,358,030 | |
NextEra Energy Capital Holdings, Inc., 3.8% to 3/15/2027, FLR (CMT - 5yr. + 2.547%) to 3/15/2082 | 1,583,000 | 1,333,098 | ||
Pacific Gas & Electric Co., 3.25%, 2/16/2024 | 654,000 | 639,703 | ||
Pacific Gas & Electric Co., 2.5%, 2/01/2031 | 1,645,000 | 1,257,816 | ||
Pacific Gas & Electric Co., 4.95%, 7/01/2050 | 2,133,000 | 1,702,311 | ||
ReNew Wind Energy AP2/ReNew Power Private Ltd., 4.5%, 7/14/2028 (n) | 1,249,000 | 997,134 | ||
Southern California Edison Co., 4.5%, 9/01/2040 | 454,000 | 400,860 | ||
Southern California Edison Co., 3.65%, 2/01/2050 | 1,836,000 | 1,405,106 | ||
Star Energy Geothermal (Salak-Darajat) B.V., 4.85%, 10/14/2038 (n) | 1,119,000 | 945,555 | ||
TermoCandelaria Power Ltd., 7.875%, 1/30/2029 (n) | 2,120,750 | 1,979,084 | ||
TerraForm Global Operating LLC, 6.125%, 3/01/2026 (n) | 1,536,000 | 1,446,912 | ||
Transelec S.A., 3.875%, 1/12/2029 (n) | 1,886,000 | 1,737,478 | ||
Virginia Electric & Power Co., 2.875%, 7/15/2029 | 2,899,000 | 2,648,117 | ||
Xcel Energy, Inc., 4.6%, 6/01/2032 | 1,907,000 | 1,892,777 | ||
$69,145,751 | ||||
Utilities - Water – 0.1% | ||||
Aegea Finance S.à r.l., 6.75%, 5/20/2029 (n) | $ | 1,634,000 | $1,601,411 | |
Total Bonds (Identified Cost, $1,279,124,590) | $1,124,949,435 | |||
Common Stocks – 31.3% | ||||
Aerospace & Defense – 0.7% | ||||
General Dynamics Corp. | 69,936 | $16,010,448 | ||
Huntington Ingalls Industries, Inc. | 15,627 | 3,598,273 | ||
Thales S.A. | 12,702 | 1,531,875 | ||
$21,140,596 | ||||
Alcoholic Beverages – 0.2% | ||||
Ambev S.A. | 600,600 | $1,762,872 | ||
Kirin Holdings Co. Ltd. | 165,100 | 2,717,625 | ||
$4,480,497 | ||||
Apparel Manufacturers – 0.0% | ||||
Compagnie Financiere Richemont S.A. | 13,009 | $1,452,684 | ||
Automotive – 0.5% | ||||
Ford Otomotiv Sanayi S.A. | 87,607 | $1,598,349 | ||
Magna International, Inc. | 91,517 | 5,286,782 | ||
Mercedes-Benz Group AG | 33,533 | 1,891,187 | ||
Stellantis N.V. | 112,389 | 1,498,273 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Automotive – continued | ||||
Toyota Motor Corp. | 229,800 | $3,429,970 | ||
$13,704,561 | ||||
Biotechnology – 0.2% | ||||
Biogen, Inc. (a) | 8,620 | $1,684,176 | ||
Gilead Sciences, Inc. | 82,282 | 5,222,438 | ||
$6,906,614 | ||||
Business Services – 0.2% | ||||
Amdocs Ltd. | 48,431 | $4,139,397 | ||
Cognizant Technology Solutions Corp., “A” | 22,027 | 1,391,446 | ||
$5,530,843 | ||||
Chemicals – 0.1% | ||||
Nutrien Ltd. | 18,611 | $1,708,553 | ||
Computer Software – 0.3% | ||||
Microsoft Corp. | 36,819 | $9,627,064 | ||
Computer Software - Systems – 0.6% | ||||
Hitachi Ltd. | 80,100 | $4,010,430 | ||
Hon Hai Precision Industry Co. Ltd. | 1,435,000 | 5,123,495 | ||
Lenovo Group Ltd. | 3,386,000 | 2,789,617 | ||
Samsung Electronics Co. Ltd. | 91,748 | 4,064,312 | ||
$15,987,854 | ||||
Construction – 1.9% | ||||
American Homes 4 Rent, “A”, REIT | 328,652 | $11,686,865 | ||
Anhui Conch Cement Co. Ltd. | 538,500 | 2,051,823 | ||
AvalonBay Communities, Inc., REIT | 98,573 | 19,804,302 | ||
ICA Tenedora S.A. de C.V. (u) | 560,019 | 472,555 | ||
Mid-America Apartment Communities, Inc., REIT | 102,726 | 17,018,616 | ||
Otis Worldwide Corp. | 35,745 | 2,581,504 | ||
$53,615,665 | ||||
Consumer Products – 0.9% | ||||
Colgate-Palmolive Co. | 138,807 | $10,856,095 | ||
Kimberly-Clark Corp. | 107,840 | 13,751,757 | ||
$24,607,852 | ||||
Electrical Equipment – 0.0% | ||||
Schneider Electric SE | 12,451 | $1,477,957 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Electronics – 0.8% | ||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 65,225 | $5,436,504 | ||
Texas Instruments, Inc. | 112,512 | 18,588,107 | ||
$24,024,611 | ||||
Energy - Integrated – 0.5% | ||||
China Petroleum & Chemical Corp. | 21,258,000 | $10,011,059 | ||
Eni S.p.A. | 137,957 | 1,631,277 | ||
LUKOIL PJSC (u) | 17,902 | 0 | ||
Suncor Energy, Inc. (l) | 56,038 | 1,812,963 | ||
$13,455,299 | ||||
Food & Beverages – 1.5% | ||||
Archer Daniels Midland Co. | 66,246 | $5,822,361 | ||
Coca-Cola FEMSA S.A.B. de C.V. | 31,806 | 1,947,482 | ||
General Mills, Inc. | 239,900 | 18,424,320 | ||
J.M. Smucker Co. | 86,311 | 12,082,677 | ||
Nestle S.A. | 36,723 | 4,304,574 | ||
$42,581,414 | ||||
Food & Drug Stores – 0.4% | ||||
Albertsons Cos., Inc., “A” | 148,126 | $4,074,946 | ||
Tesco PLC | 2,161,380 | 6,239,319 | ||
$10,314,265 | ||||
Forest & Paper Products – 1.0% | ||||
Rayonier, Inc., REIT | 330,541 | $11,740,816 | ||
Weyerhaeuser Co., REIT | 453,530 | 15,492,585 | ||
$27,233,401 | ||||
General Merchandise – 0.3% | ||||
BIM Birlesik Magazalar A.S. | 845,965 | $5,087,392 | ||
Dollar Tree, Inc. (a) | 11,310 | 1,534,541 | ||
Wal-Mart de Mexico S.A.B. de C.V. | 386,343 | 1,262,593 | ||
$7,884,526 | ||||
Insurance – 1.6% | ||||
Equitable Holdings, Inc. | 283,122 | $8,422,880 | ||
Everest Re Group Ltd. | 10,332 | 2,779,825 | ||
Hartford Financial Services Group, Inc. | 63,810 | 4,103,621 | ||
Manulife Financial Corp. | 773,849 | 13,387,025 | ||
MetLife, Inc. | 112,724 | 7,251,535 | ||
Samsung Fire & Marine Insurance Co. Ltd. | 31,294 | 4,551,196 | ||
Zurich Insurance Group AG | 11,360 | 5,031,789 | ||
$45,527,871 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Leisure & Toys – 0.1% | ||||
Brunswick Corp. | 28,485 | $2,128,114 | ||
Nintendo Co. Ltd. | 4,000 | 1,632,627 | ||
$3,760,741 | ||||
Machinery & Tools – 0.2% | ||||
Eaton Corp. PLC | 24,476 | $3,344,401 | ||
GEA Group AG | 46,785 | 1,631,005 | ||
$4,975,406 | ||||
Major Banks – 1.2% | ||||
BNP Paribas | 195,559 | $9,114,008 | ||
China Construction Bank Corp. | 6,718,000 | 4,160,677 | ||
DBS Group Holdings Ltd. | 675,800 | 15,726,308 | ||
Erste Group Bank AG | 78,289 | 1,758,454 | ||
National Australia Bank Ltd. | 95,721 | 1,991,260 | ||
UBS AG | 110,950 | 1,752,415 | ||
$34,503,122 | ||||
Medical & Health Technology & Services – 1.5% | ||||
Encompass Health Corp. | 222,389 | $10,801,434 | ||
McKesson Corp. | 34,358 | 12,609,386 | ||
Welltower, Inc., REIT | 260,764 | 19,987,560 | ||
$43,398,380 | ||||
Metals & Mining – 0.8% | ||||
Fortescue Metals Group Ltd. | 177,876 | $2,228,210 | ||
Glencore PLC | 434,279 | 2,376,029 | ||
Rio Tinto PLC | 276,494 | 15,265,124 | ||
Vale S.A. | 242,300 | 3,004,065 | ||
$22,873,428 | ||||
Network & Telecom – 1.1% | ||||
Equinix, Inc., REIT | 48,321 | $31,764,776 | ||
Other Banks & Diversified Financials – 0.3% | ||||
Sberbank of Russia PJSC (u) | 1,738,404 | $0 | ||
SLM Corp. | 238,844 | 3,649,536 | ||
Tisco Financial Group PCL | 727,900 | 1,871,529 | ||
Zions Bancorp NA | 31,526 | 1,734,876 | ||
$7,255,941 | ||||
Pharmaceuticals – 2.9% | ||||
Bayer AG | 158,432 | $8,374,774 | ||
Johnson & Johnson | 109,168 | 17,613,165 | ||
Merck & Co., Inc. | 297,356 | 25,382,308 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Pharmaceuticals – continued | ||||
Organon & Co. | 364,670 | $10,404,035 | ||
Roche Holding AG | 64,265 | 20,698,183 | ||
Santen Pharmaceutical Co. Ltd. | 137,100 | 985,821 | ||
$83,458,286 | ||||
Precious Metals & Minerals – 0.0% | ||||
Petra Diamonds Ltd. | 735,846 | $842,010 | ||
Railroad & Shipping – 0.2% | ||||
A.P. Moller-Maersk A/S | 646 | $1,544,827 | ||
Nippon Yusen KK (l) | 37,700 | 2,881,001 | ||
Orient Overseas International Ltd. | 41,000 | 1,143,810 | ||
$5,569,638 | ||||
Real Estate – 7.7% | ||||
Alexandria Real Estate Equities, Inc., REIT | 85,929 | $13,181,509 | ||
Boston Properties, Inc., REIT | 107,767 | 8,559,933 | ||
Brixmor Property Group, Inc., REIT | 762,919 | 16,387,500 | ||
Douglas Emmett, Inc., REIT | 224,227 | 4,376,911 | ||
Equity Lifestyle Properties, Inc., REIT | 273,348 | 19,161,695 | ||
Extra Space Storage, Inc., REIT | 149,769 | 29,763,593 | ||
Farmland Partners, Inc., REIT | 151,624 | 2,200,064 | ||
National Retail Properties, Inc., REIT | 384,936 | 17,283,626 | ||
Phillips Edison & Co., REIT | 436,456 | 14,259,018 | ||
Prologis, Inc., REIT | 304,898 | 37,962,850 | ||
Simon Property Group, Inc., REIT | 201,380 | 20,536,732 | ||
Sun Communities, Inc., REIT | 117,819 | 18,109,959 | ||
Urban Edge Properties, REIT | 819,634 | 12,892,843 | ||
VICI Properties, Inc., REIT | 177,188 | 5,845,432 | ||
$220,521,665 | ||||
Restaurants – 0.1% | ||||
Texas Roadhouse, Inc. | 22,734 | $2,017,870 | ||
Specialty Chemicals – 0.1% | ||||
Univar Solutions, Inc. (a) | 62,245 | $1,569,819 | ||
Telecommunications - Wireless – 1.6% | ||||
American Tower Corp., REIT | 52,341 | $13,297,231 | ||
KDDI Corp. | 417,100 | 12,815,118 | ||
PT Telekom Indonesia | 8,106,900 | 2,490,649 | ||
SBA Communications Corp., REIT | 38,541 | 12,535,460 | ||
Vodafone Group PLC | 2,503,753 | 3,359,029 | ||
$44,497,487 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Telephone Services – 0.2% | ||||
France Telecom | 184,960 | $1,876,971 | ||
Hellenic Telecommunications Organization S.A. | 251,279 | 4,005,012 | ||
$5,881,983 | ||||
Tobacco – 0.7% | ||||
British American Tobacco PLC | 287,538 | $11,517,674 | ||
Japan Tobacco, Inc. | 243,400 | 4,124,999 | ||
Philip Morris International, Inc. | 39,179 | 3,741,203 | ||
$19,383,876 | ||||
Utilities - Electric Power – 0.9% | ||||
E.ON SE | 532,490 | $4,553,921 | ||
Edison International | 101,375 | 6,870,184 | ||
Exelon Corp. | 165,596 | 7,271,320 | ||
Iberdrola S.A. | 288,503 | 3,002,272 | ||
Transmissora Alianca de Energia Eletrica S.A., IEU | 628,919 | 5,038,702 | ||
$26,736,399 | ||||
Total Common Stocks (Identified Cost, $719,832,763) | $890,272,954 | |||
Preferred Stocks – 0.2% | ||||
Computer Software - Systems – 0.1% | ||||
Samsung Electronics Co. Ltd. | 59,469 | $2,410,850 | ||
Metals & Mining – 0.1% | ||||
Gerdau S.A. | 373,200 | $1,672,886 | ||
Total Preferred Stocks (Identified Cost, $4,116,275) | $4,083,736 | |||
Convertible Preferred Stocks – 0.1% | ||||
Medical Equipment – 0.1% | ||||
Boston Scientific Corp., 5.5% (Identified Cost, $3,372,789) | 30,481 | $3,226,414 | ||
Investment Companies (h) – 30.9% | ||||
Bond Funds – 22.3% | ||||
MFS High Yield Pooled Portfolio (v) | 80,283,708 | $633,438,454 | ||
Money Market Funds – 8.6% | ||||
MFS Institutional Money Market Portfolio, 2.21% (v) | 245,939,021 | $245,939,021 | ||
Total Investment Companies (Identified Cost, $922,150,766) | $879,377,475 |
Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional Amount | Par Amount/ Number of Contracts | Value ($) |
Purchased Options – 0.1% | |||||
Market Index Securities – 0.1% | |||||
S&P 500 Index – June 2023 @ $3,000 (Premiums Paid, $3,914,991) | Put | Goldman Sachs International | $ 118,650,000 | 300 | $2,361,600 |
Issuer | Shares/Par | |||
Collateral for Securities Loaned – 0.0% | ||||
JPMorgan U.S. Government Money Market Fund - Class IM Shares, 2% (j) (Identified Cost, $969,457) | 969,457 | $969,457 | ||
Other Assets, Less Liabilities – (2.1)% | (58,907,195) | |||
Net Assets – 100.0% | $2,846,333,876 |
(a) | Non-income producing security. |
(d) | In default. |
(f) | All or a portion of the security has been segregated as collateral for open futures contracts. |
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $879,377,475 and $2,025,863,596, respectively. |
(i) | Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security. |
(j) | The rate quoted is the annualized seven-day yield of the fund at period end. |
(l) | A portion of this security is on loan. See Note 2 for additional information. |
(n) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $323,281,598, representing 11.4% of net assets. |
(p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. |
(u) | The security was valued using significant unobservable inputs and is considered level 3 under the fair value hierarchy. For further information about the fund’s level 3 holdings, please see Note 2 in the Notes to Financial Statements. |
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
(z) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities: |
Restricted Securities | Acquisition Date | Cost | Value |
ReadyCap Commercial Mortgage Trust, 2021-FL5, “A”, FLR, 3.444% (LIBOR - 1mo. + 1%), 4/25/2038 | 2/14/2022 | $620,778 | $612,669 |
ReadyCap Commercial Mortgage Trust, 2021-FL7, “A”, FLR, 3.643% (LIBOR - 1mo. + 1.2%), 11/25/2036 | 11/12/2021-5/25/2022 | 359,168 | 349,964 |
ReadyCap Commercial Mortgage Trust, 2021-FL7, “AS”, FLR, 3.944% (LIBOR - 1mo. + 1.5%), 11/25/2036 | 11/12/2021 | 109,000 | 105,723 |
Total Restricted Securities | $1,068,356 | ||
% of Net assets | 0.0% |
The following abbreviations are used in this report and are defined: | |
ADR | American Depositary Receipt |
AGM | Assured Guaranty Municipal |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
IEU | International Equity Unit |
LIBOR | London Interbank Offered Rate |
PCL | Public Company Limited |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
UMBS | Uniform Mortgage-Backed Security |
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below: | |
BRL | Brazilian Real |
CLP | Chilean Peso |
COP | Colombian Peso |
CZK | Czech Koruna |
EUR | Euro |
GBP | British Pound |
IDR | Indonesian Rupiah |
JPY | Japanese Yen |
MXN | Mexican Peso |
SGD | Singapore Dollar |
UYU | Uruguayan Peso |
Forward Foreign Currency Exchange Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives | ||||||
USD | 666,752 | BRL | 3,477,213 | Banco Santander S.A. | 11/03/2022 | $8,705 |
USD | 669,605 | CLP | 594,355,217 | JPMorgan Chase Bank N.A. | 9/12/2022 | 7,747 |
Forward Foreign Currency Exchange Contracts - continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives - continued | ||||||
USD | 2,405,004 | COP | 10,052,434,249 | JPMorgan Chase Bank N.A. | 9/29/2022 | $144,744 |
USD | 1,214,111 | CZK | 29,414,372 | UBS AG | 10/21/2022 | 15,125 |
USD | 750,862 | EUR | 744,561 | Brown Brothers Harriman | 10/21/2022 | 103 |
USD | 28,222,973 | EUR | 27,861,553 | HSBC Bank | 10/21/2022 | 129,508 |
USD | 100,261 | EUR | 96,914 | Morgan Stanley Capital Services, Inc. | 10/21/2022 | 2,540 |
USD | 813,136 | GBP | 680,534 | BNP Paribas S.A. | 10/21/2022 | 21,783 |
USD | 2,134,261 | JPY | 293,767,625 | JPMorgan Chase Bank N.A. | 9/21/2022 | 16,493 |
USD | 2,166,516 | JPY | 295,565,897 | JPMorgan Chase Bank N.A. | 10/21/2022 | 30,086 |
USD | 664,406 | MXN | 13,470,239 | Morgan Stanley Capital Services, Inc. | 10/21/2022 | 2,237 |
$379,071 | ||||||
Liability Derivatives | ||||||
BRL | 3,915,461 | USD | 758,843 | Goldman Sachs International | 11/03/2022 | $(17,859) |
CLP | 594,355,217 | USD | 669,968 | Citibank N.A. | 9/12/2022 | (8,109) |
EUR | 352,455 | USD | 358,231 | Morgan Stanley Capital Services, Inc. | 9/21/2022 | (3,577) |
EUR | 5,634,805 | USD | 5,741,810 | State Street Bank Corp. | 9/21/2022 | (71,864) |
EUR | 2,085,905 | USD | 2,172,936 | UBS AG | 10/21/2022 | (69,668) |
IDR | 12,702,733,411 | USD | 859,861 | Goldman Sachs International | 9/12/2022 | (4,345) |
IDR | 1,502,653,589 | USD | 101,558 | JPMorgan Chase Bank N.A. | 9/13/2022 | (359) |
JPY | 589,333,522 | USD | 4,324,843 | Morgan Stanley Capital Services, Inc. | 10/21/2022 | (64,982) |
MXN | 12,971,924 | USD | 641,675 | UBS AG | 10/21/2022 | (4,003) |
SGD | 1,225,891 | USD | 886,651 | JPMorgan Chase Bank N.A. | 10/21/2022 | (9,185) |
USD | 2,800,058 | BRL | 15,400,992 | Citibank N.A. | 11/03/2022 | (114,512) |
USD | 656,692 | BRL | 3,479,055 | Goldman Sachs International | 11/03/2022 | (1,704) |
USD | 1,026,631 | CZK | 25,360,876 | Morgan Stanley Capital Services, Inc. | 10/21/2022 | (7,127) |
USD | 943,015 | IDR | 14,205,387,000 | Morgan Stanley Capital Services, Inc. | 9/13/2022 | (13,675) |
USD | 857,218 | MXN | 18,089,461 | Goldman Sachs International | 10/21/2022 | (32,023) |
$(422,992) |
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 | 223 | $33,338,500 | December – 2022 | $380,819 |
U.S. Treasury Ultra Note 10 yr | Short | USD | 416 | 52,078,000 | December – 2022 | 90,419 |
$471,238 |
Futures Contracts - continued | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Bond | Long | USD | 96 | $13,041,000 | December – 2022 | $(10,242) |
U.S. Treasury Note 10 yr | Long | USD | 423 | 49,451,344 | December – 2022 | (156,676) |
U.S. Treasury Note 2 yr | Long | USD | 25 | 5,208,203 | December – 2022 | (7,617) |
U.S. Treasury Note 5 yr | Long | USD | 193 | 21,388,320 | December – 2022 | (82,130) |
$(256,665) |
Assets | |
Investments in unaffiliated issuers, at value, including $2,088,930 of securities on loan (identified cost, $2,011,330,865) | $2,025,863,596 |
Investments in affiliated issuers, at value (identified cost, $922,150,766) | 879,377,475 |
Cash | 1,979,656 |
Foreign currency, at value (identified cost, $3,364) | 3,433 |
Restricted cash for MBS/TBA | 308,000 |
Receivables for | |
Forward foreign currency exchange contracts | 379,071 |
Investments sold | 4,987,109 |
TBA sale commitments | 12,567,494 |
Fund shares sold | 1,798,987 |
Interest and dividends | 15,867,476 |
Receivable from investment adviser | 47,262 |
Other assets | 71,036 |
Total assets | $2,943,250,595 |
Liabilities | |
Payables for | |
Distributions | $707,565 |
Forward foreign currency exchange contracts | 422,992 |
Net daily variation margin on open futures contracts | 218,452 |
Investments purchased | 5,353,386 |
TBA purchase commitments | 83,280,799 |
Fund shares reacquired | 4,879,975 |
Collateral for securities loaned, at value (c) | 969,457 |
Payable to affiliates | |
Administrative services fee | 2,840 |
Shareholder servicing costs | 770,288 |
Distribution and service fees | 34,254 |
Deferred country tax expense payable | 10,005 |
Accrued expenses and other liabilities | 266,706 |
Total liabilities | $96,916,719 |
Net assets | $2,846,333,876 |
Net assets consist of | |
Paid-in capital | $2,940,321,095 |
Total distributable earnings (loss) | (93,987,219) |
Net assets | $2,846,333,876 |
Shares of beneficial interest outstanding | 247,057,438 |
(c) | Non-cash collateral is not included. |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $1,375,815,294 | 119,397,722 | $11.52 |
Class C | 271,094,759 | 23,539,236 | 11.52 |
Class I | 941,538,498 | 81,740,446 | 11.52 |
Class R1 | 217,395 | 18,887 | 11.51 |
Class R2 | 1,227,979 | 106,604 | 11.52 |
Class R3 | 20,588,959 | 1,786,449 | 11.53 |
Class R4 | 4,681,457 | 406,149 | 11.53 |
Class R6 | 231,169,535 | 20,061,945 | 11.52 |
(a) | Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $12.03 [100 / 95.75 x $11.52]. On sales of $100,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A and Class C shares. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R6. |
Net investment income (loss) | |
Income | |
Dividends | $25,898,516 |
Interest | 22,282,531 |
Dividends from affiliated issuers | 20,504,440 |
Other | 189,137 |
Income on securities loaned | 12,641 |
Foreign taxes withheld | (1,069,686) |
Total investment income | $67,817,579 |
Expenses | |
Management fee | $9,304,313 |
Distribution and service fees | 3,450,049 |
Shareholder servicing costs | 1,510,705 |
Administrative services fee | 261,888 |
Independent Trustees' compensation | 24,954 |
Custodian fee | 172,641 |
Shareholder communications | 81,460 |
Audit and tax fees | 41,798 |
Legal fees | 7,862 |
Miscellaneous | 136,685 |
Total expenses | $14,992,355 |
Fees paid indirectly | (2,700) |
Reduction of expenses by investment adviser and distributor | (352,427) |
Net expenses | $14,637,228 |
Net investment income (loss) | $53,180,351 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers (net of $1,231 country tax) | $(15,855,055) |
Affiliated issuers | (11,088,903) |
Futures contracts | (2,771,113) |
Forward foreign currency exchange contracts | 4,144,853 |
Foreign currency | (299,716) |
Net realized gain (loss) | $(25,869,934) |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers (net of $27,242 decrease in deferred country tax) | $(231,432,662) |
Affiliated issuers | (65,505,934) |
Futures contracts | 451,008 |
Forward foreign currency exchange contracts | (352,781) |
Translation of assets and liabilities in foreign currencies | (282,272) |
Net unrealized gain (loss) | $(297,122,641) |
Net realized and unrealized gain (loss) | $(322,992,575) |
Change in net assets from operations | $(269,812,224) |
Six months ended | Year ended | |
8/31/22 (unaudited) | 2/28/22 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $53,180,351 | $99,044,479 |
Net realized gain (loss) | (25,869,934) | 120,461,861 |
Net unrealized gain (loss) | (297,122,641) | (103,477,005) |
Change in net assets from operations | $(269,812,224) | $116,029,335 |
Total distributions to shareholders | $(84,017,395) | $(174,809,430) |
Change in net assets from fund share transactions | $(154,624,117) | $(76,548,918) |
Total change in net assets | $(508,453,736) | $(135,329,013) |
Net assets | ||
At beginning of period | 3,354,787,612 | 3,490,116,625 |
At end of period | $2,846,333,876 | $3,354,787,612 |
Class A | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $12.91 | $13.14 | $12.86 | $12.35 | $12.10 | $12.28 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.21 | $0.38 | $0.37 | $0.37 | $0.39 | $0.37 |
Net realized and unrealized gain (loss) | (1.27) | 0.07 | 0.28 | 0.51 | 0.33 | (0.10) |
Total from investment operations | $(1.06) | $0.45 | $0.65 | $0.88 | $0.72 | $0.27 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.18) | $(0.41) | $(0.34) | $(0.37) | $(0.39) | $(0.39) |
From net realized gain | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) | (0.06) |
Total distributions declared to shareholders | $(0.33) | $(0.68) | $(0.37) | $(0.37) | $(0.47) | $(0.45) |
Net asset value, end of period (x) | $11.52 | $12.91 | $13.14 | $12.86 | $12.35 | $12.10 |
Total return (%) (r)(s)(t)(x) | (8.26)(n) | 3.22 | 5.28 | 7.20 | 6.10 | 2.19 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 1.00(a) | 0.99 | 0.99 | 0.98 | 0.99 | 0.99 |
Expenses after expense reductions (f)(h) | 0.98(a) | 0.98 | 0.98 | 0.97 | 0.98 | 0.98 |
Net investment income (loss) | 3.38(a) | 2.78 | 2.97 | 2.86 | 3.21 | 2.97 |
Portfolio turnover | 39(n) | 72 | 111 | 57 | 36 | 44 |
Net assets at end of period (000 omitted) | $1,375,815 | $1,563,027 | $1,577,032 | $1,540,570 | $1,315,625 | $1,343,257 |
Class C | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $12.91 | $13.14 | $12.85 | $12.35 | $12.09 | $12.28 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.16 | $0.28 | $0.28 | $0.28 | $0.30 | $0.28 |
Net realized and unrealized gain (loss) | (1.27) | 0.06 | 0.29 | 0.49 | 0.34 | (0.11) |
Total from investment operations | $(1.11) | $0.34 | $0.57 | $0.77 | $0.64 | $0.17 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.13) | $(0.30) | $(0.25) | $(0.27) | $(0.30) | $(0.30) |
From net realized gain | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) | (0.06) |
Total distributions declared to shareholders | $(0.28) | $(0.57) | $(0.28) | $(0.27) | $(0.38) | $(0.36) |
Net asset value, end of period (x) | $11.52 | $12.91 | $13.14 | $12.85 | $12.35 | $12.09 |
Total return (%) (r)(s)(t)(x) | (8.61)(n) | 2.44 | 4.57 | 6.32 | 5.40 | 1.34 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 1.75(a) | 1.74 | 1.74 | 1.73 | 1.75 | 1.74 |
Expenses after expense reductions (f)(h) | 1.73(a) | 1.73 | 1.73 | 1.72 | 1.74 | 1.73 |
Net investment income (loss) | 2.64(a) | 2.05 | 2.27 | 2.14 | 2.48 | 2.23 |
Portfolio turnover | 39(n) | 72 | 111 | 57 | 36 | 44 |
Net assets at end of period (000 omitted) | $271,095 | $355,639 | $456,806 | $724,758 | $756,643 | $931,292 |
Class I | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $12.91 | $13.14 | $12.86 | $12.35 | $12.09 | $12.28 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.22 | $0.41 | $0.40 | $0.40 | $0.42 | $0.40 |
Net realized and unrealized gain (loss) | (1.26) | 0.07 | 0.29 | 0.51 | 0.34 | (0.11) |
Total from investment operations | $(1.04) | $0.48 | $0.69 | $0.91 | $0.76 | $0.29 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.20) | $(0.44) | $(0.38) | $(0.40) | $(0.42) | $(0.42) |
From net realized gain | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) | (0.06) |
Total distributions declared to shareholders | $(0.35) | $(0.71) | $(0.41) | $(0.40) | $(0.50) | $(0.48) |
Net asset value, end of period (x) | $11.52 | $12.91 | $13.14 | $12.86 | $12.35 | $12.09 |
Total return (%) (r)(s)(t)(x) | (8.15)(n) | 3.47 | 5.54 | 7.46 | 6.45 | 2.36 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 0.75(a) | 0.74 | 0.74 | 0.73 | 0.74 | 0.74 |
Expenses after expense reductions (f)(h) | 0.73(a) | 0.73 | 0.73 | 0.72 | 0.74 | 0.73 |
Net investment income (loss) | 3.63(a) | 3.03 | 3.24 | 3.11 | 3.47 | 3.23 |
Portfolio turnover | 39(n) | 72 | 111 | 57 | 36 | 44 |
Net assets at end of period (000 omitted) | $941,538 | $1,145,617 | $1,156,030 | $1,425,004 | $1,181,300 | $1,371,333 |
Class R1 | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $12.90 | $13.13 | $12.85 | $12.34 | $12.08 | $12.26 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.16 | $0.28 | $0.28 | $0.27 | $0.31 | $0.28 |
Net realized and unrealized gain (loss) | (1.27) | 0.06 | 0.28 | 0.51 | 0.33 | (0.10) |
Total from investment operations | $(1.11) | $0.34 | $0.56 | $0.78 | $0.64 | $0.18 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.13) | $(0.30) | $(0.25) | $(0.27) | $(0.30) | $(0.30) |
From net realized gain | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) | (0.06) |
Total distributions declared to shareholders | $(0.28) | $(0.57) | $(0.28) | $(0.27) | $(0.38) | $(0.36) |
Net asset value, end of period (x) | $11.51 | $12.90 | $13.13 | $12.85 | $12.34 | $12.08 |
Total return (%) (r)(s)(t)(x) | (8.62)(n) | 2.44 | 4.49 | 6.40 | 5.40 | 1.42 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 1.75(a) | 1.74 | 1.74 | 1.73 | 1.75 | 1.75 |
Expenses after expense reductions (f)(h) | 1.73(a) | 1.73 | 1.73 | 1.72 | 1.74 | 1.74 |
Net investment income (loss) | 2.61(a) | 2.03 | 2.22 | 2.12 | 2.57 | 2.29 |
Portfolio turnover | 39(n) | 72 | 111 | 57 | 36 | 44 |
Net assets at end of period (000 omitted) | $217 | $225 | $241 | $214 | $193 | $573 |
Class R2 | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $12.91 | $13.14 | $12.86 | $12.35 | $12.09 | $12.28 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.19 | $0.34 | $0.35 | $0.34 | $0.36 | $0.34 |
Net realized and unrealized gain (loss) | (1.27) | 0.07 | 0.27 | 0.51 | 0.34 | (0.11) |
Total from investment operations | $(1.08) | $0.41 | $0.62 | $0.85 | $0.70 | $0.23 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.16) | $(0.37) | $(0.31) | $(0.34) | $(0.36) | $(0.36) |
From net realized gain | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) | (0.06) |
Total distributions declared to shareholders | $(0.31) | $(0.64) | $(0.34) | $(0.34) | $(0.44) | $(0.42) |
Net asset value, end of period (x) | $11.52 | $12.91 | $13.14 | $12.86 | $12.35 | $12.09 |
Total return (%) (r)(s)(t)(x) | (8.38)(n) | 2.96 | 5.01 | 6.93 | 5.92 | 1.85 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 1.25(a) | 1.24 | 1.24 | 1.23 | 1.25 | 1.24 |
Expenses after expense reductions (f)(h) | 1.23(a) | 1.23 | 1.23 | 1.22 | 1.24 | 1.23 |
Net investment income (loss) | 3.14(a) | 2.53 | 2.78 | 2.65 | 2.99 | 2.73 |
Portfolio turnover | 39(n) | 72 | 111 | 57 | 36 | 44 |
Net assets at end of period (000 omitted) | $1,228 | $1,647 | $1,830 | $3,085 | $3,486 | $4,396 |
Class R3 | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $12.92 | $13.15 | $12.86 | $12.36 | $12.10 | $12.28 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.21 | $0.38 | $0.37 | $0.37 | $0.39 | $0.37 |
Net realized and unrealized gain (loss) | (1.27) | 0.07 | 0.29 | 0.50 | 0.34 | (0.10) |
Total from investment operations | $(1.06) | $0.45 | $0.66 | $0.87 | $0.73 | $0.27 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.18) | $(0.41) | $(0.34) | $(0.37) | $(0.39) | $(0.39) |
From net realized gain | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) | (0.06) |
Total distributions declared to shareholders | $(0.33) | $(0.68) | $(0.37) | $(0.37) | $(0.47) | $(0.45) |
Net asset value, end of period (x) | $11.53 | $12.92 | $13.15 | $12.86 | $12.36 | $12.10 |
Total return (%) (r)(s)(t)(x) | (8.25)(n) | 3.21 | 5.36 | 7.11 | 6.18 | 2.19 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 1.00(a) | 0.99 | 0.99 | 0.98 | 1.00 | 0.99 |
Expenses after expense reductions (f)(h) | 0.98(a) | 0.98 | 0.98 | 0.97 | 0.99 | 0.98 |
Net investment income (loss) | 3.37(a) | 2.78 | 2.98 | 2.86 | 3.21 | 2.97 |
Portfolio turnover | 39(n) | 72 | 111 | 57 | 36 | 44 |
Net assets at end of period (000 omitted) | $20,589 | $22,253 | $22,760 | $24,385 | $19,159 | $20,013 |
Class R4 | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $12.92 | $13.15 | $12.86 | $12.36 | $12.10 | $12.29 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.22 | $0.42 | $0.41 | $0.41 | $0.41 | $0.40 |
Net realized and unrealized gain (loss) | (1.26) | 0.06 | 0.29 | 0.49 | 0.35 | (0.10) |
Total from investment operations | $(1.04) | $0.48 | $0.70 | $0.90 | $0.76 | $0.30 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.20) | $(0.44) | $(0.38) | $(0.40) | $(0.42) | $(0.43) |
From net realized gain | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) | (0.06) |
Total distributions declared to shareholders | $(0.35) | $(0.71) | $(0.41) | $(0.40) | $(0.50) | $(0.49) |
Net asset value, end of period (x) | $11.53 | $12.92 | $13.15 | $12.86 | $12.36 | $12.10 |
Total return (%) (r)(s)(t)(x) | (8.14)(n) | 3.47 | 5.62 | 7.38 | 6.45 | 2.36 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 0.75(a) | 0.74 | 0.74 | 0.73 | 0.74 | 0.74 |
Expenses after expense reductions (f)(h) | 0.73(a) | 0.73 | 0.73 | 0.72 | 0.73 | 0.73 |
Net investment income (loss) | 3.64(a) | 3.05 | 3.24 | 3.15 | 3.43 | 3.20 |
Portfolio turnover | 39(n) | 72 | 111 | 57 | 36 | 44 |
Net assets at end of period (000 omitted) | $4,681 | $5,995 | $8,626 | $9,783 | $10,063 | $7,915 |
Class R6 | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $12.91 | $13.14 | $12.86 | $12.35 | $12.10 | $12.28 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.23 | $0.42 | $0.42 | $0.41 | $0.43 | $0.38 |
Net realized and unrealized gain (loss) | (1.27) | 0.07 | 0.28 | 0.51 | 0.33 | (0.06)(g) |
Total from investment operations | $(1.04) | $0.49 | $0.70 | $0.92 | $0.76 | $0.32 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.20) | $(0.45) | $(0.39) | $(0.41) | $(0.43) | $(0.44) |
From net realized gain | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) | (0.06) |
Total distributions declared to shareholders | $(0.35) | $(0.72) | $(0.42) | $(0.41) | $(0.51) | $(0.50) |
Net asset value, end of period (x) | $11.52 | $12.91 | $13.14 | $12.86 | $12.35 | $12.10 |
Total return (%) (r)(s)(t)(x) | (8.10)(n) | 3.57 | 5.64 | 7.55 | 6.46 | 2.54 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 0.65(a) | 0.65 | 0.65 | 0.64 | 0.65 | 0.65 |
Expenses after expense reductions (f)(h) | 0.63(a) | 0.64 | 0.64 | 0.63 | 0.64 | 0.64 |
Net investment income (loss) | 3.72(a) | 3.12 | 3.32 | 3.19 | 3.55 | 3.08 |
Portfolio turnover | 39(n) | 72 | 111 | 57 | 36 | 44 |
Net assets at end of period (000 omitted) | $231,170 | $260,384 | $266,792 | $271,679 | $218,650 | $214,111 |
(a) | Annualized. |
(d) | Per share data is based on average shares outstanding. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. See Note 2 in the Notes to Financial Statements for additional information. |
(g) | The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time. |
(h) | In addition to the fees and expenses which the fund bears directly, the fund indirectly bears a pro rata share of the fees and expenses of the underlying affiliated funds in which the fund invests. Accordingly, the expense ratio for the fund reflects only those fees and expenses borne directly by the fund. Because the underlying affiliated funds have varied expense and fee levels and the fund may own different proportions of the underlying affiliated funds at different times, the amount of fees and expenses incurred indirectly by the fund will vary. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(t) | Total returns do not include any applicable sales charges. |
(w) | Per share amount was less than $0.01. |
(x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Equity Securities: | ||||
United States | $640,522,952 | $— | $— | $640,522,952 |
United Kingdom | 842,010 | 38,757,175 | — | 39,599,185 |
Switzerland | 4,304,574 | 28,935,071 | — | 33,239,645 |
Japan | — | 32,597,591 | — | 32,597,591 |
Canada | 22,195,323 | — | — | 22,195,323 |
China | — | 20,156,986 | — | 20,156,986 |
Germany | 16,450,887 | — | — | 16,450,887 |
Singapore | — | 15,726,308 | — | 15,726,308 |
France | 1,876,971 | 12,123,840 | — | 14,000,811 |
Other Countries | 33,306,506 | 31,675,955 | 472,555 | 65,455,016 |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 124,338,213 | — | 124,338,213 |
Non - U.S. Sovereign Debt | — | 263,584,142 | — | 263,584,142 |
Municipal Bonds | — | 4,686,132 | — | 4,686,132 |
U.S. Corporate Bonds | — | 282,351,453 | — | 282,351,453 |
Residential Mortgage-Backed Securities | — | 186,990,748 | — | 186,990,748 |
Commercial Mortgage-Backed Securities | — | 10,369,864 | — | 10,369,864 |
Asset-Backed Securities (including CDOs) | — | 12,395,588 | — | 12,395,588 |
Foreign Bonds | — | 240,233,295 | — | 240,233,295 |
Mutual Funds | 880,346,932 | — | — | 880,346,932 |
Total | $1,599,846,155 | $1,304,922,361 | $472,555 | $2,905,241,071 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $471,238 | $— | $— | $471,238 |
Futures Contracts – Liabilities | (256,665) | — | — | (256,665) |
Forward Foreign Currency Exchange Contracts – Assets | — | 379,071 | — | 379,071 |
Forward Foreign Currency Exchange Contracts – Liabilities | — | (422,992) | — | (422,992) |
Equity Securities | Fixed Income Securities | Total | |
Balance as of 2/28/22 | $464,837 | $7,687,618 | $8,152,455 |
Accrued discounts/premiums | — | (30,769) | (30,769) |
Realized gain (loss) | — | (5,398,980) | (5,398,980) |
Change in unrealized appreciation or depreciation | 7,718 | 5,089,216 | 5,096,934 |
Sales | — | (3,003,825) | (3,003,825) |
Transfers into level 3 | 0 | — | 0 |
Transfers out of level 3 | — | (4,343,260) | (4,343,260) |
Balance as of 8/31/22 | $472,555 | $— | $472,555 |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Interest Rate | Futures Contracts | $471,238 | $(256,665) |
Foreign Exchange | Forward Foreign Currency Exchange Contracts | 379,071 | (422,992) |
Equity | Purchased Option Contracts | 2,361,600 | — |
Total | $3,211,909 | $(679,657) |
(a) | The value of purchased options outstanding is included in investments in unaffiliated issuers, at value, within the Statement of Assets and Liabilities. Values presented in this table for futures contracts correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts is reported separately within the Statement of Assets and Liabilities. |
Risk | Futures Contracts | Forward Foreign Currency Exchange Contracts |
Interest Rate | $(2,771,113) | $— |
Foreign Exchange | — | 4,144,853 |
Total | $(2,771,113) | $4,144,853 |
Risk | Futures Contracts | Forward Foreign Currency Exchange Contracts | Unaffiliated Issuers (Purchased Options) |
Interest Rate | $451,008 | $— | $— |
Foreign Exchange | — | (352,781) | — |
Equity | — | — | (1,553,391) |
Total | $451,008 | $(352,781) | $(1,553,391) |
Year ended 2/28/22 | |
Ordinary income (including any short-term capital gains) | $112,252,493 |
Long-term capital gains | 62,556,937 |
Total distributions | $174,809,430 |
As of 8/31/22 | |
Cost of investments | $2,989,605,695 |
Gross appreciation | 166,823,661 |
Gross depreciation | (251,188,285) |
Net unrealized appreciation (depreciation) | $(84,364,624) |
As of 2/28/22 | |
Undistributed ordinary income | 9,375,042 |
Undistributed long-term capital gain | 36,226,460 |
Other temporary differences | (7,528,464) |
Net unrealized appreciation (depreciation) | 221,769,362 |
Six months ended 8/31/22 | Year ended 2/28/22 | ||
Class A | $39,862,071 | $80,153,863 | |
Class C | 7,093,127 | 16,876,828 | |
Class I | 29,184,065 | 61,796,880 | |
Class R1 | 5,269 | 11,007 | |
Class R2 | 34,435 | 89,714 | |
Class R3 | 595,506 | 1,143,825 | |
Class R4 | 147,237 | 406,553 | |
Class R6 | 7,095,685 | 14,330,760 | |
Total | $84,017,395 | $174,809,430 |
Up to $1 billion | 0.65% |
In excess of $1 billion and up to $2.5 billion | 0.60% |
In excess of $2.5 billion and up to $5 billion | 0.55% |
In excess of $5 billion | 0.50% |
Up to $5 billion | 0.55% |
In excess of $5 billion | 0.50% |
Classes | |||||||
A | C | I | R1 | R2 | R3 | R4 | R6 |
1.10% | 1.85% | 0.85% | 1.85% | 1.35% | 1.10% | 0.85% | 0.79% |
Classes | |||||||
A | C | I | R1 | R2 | R3 | R4 | R6 |
0.89% | 1.64% | 0.64% | 1.64% | 1.14% | 0.89% | 0.64% | 0.55% |
Distribution Fee Rate (d) | Service Fee Rate (d) | Total Distribution Plan (d) | Annual Effective Rate (e) | Distribution and Service Fee | |
Class A | — | 0.25% | 0.25% | 0.25% | $ 1,846,586 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 1,571,661 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 1,115 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 3,472 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 27,215 |
Total Distribution and Service Fees | $3,450,049 |
(d) | In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’s average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below. |
(e) | The annual effective rates represent actual fees incurred under the distribution plan for the six months ended August 31, 2022 based on each class's average daily net assets. MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. For the six months ended August 31, 2022, this rebate amounted to $136 for Class A shares, and is included in the reduction of total expenses in the Statement of Operations. |
Amount | |
Class A | $23,502 |
Class C | 5,007 |
Purchases | Sales | |
U.S. Government securities | $635,776,257 | $530,163,658 |
Non-U.S. Government securities | 525,518,818 | 939,876,041 |
Six months ended 8/31/22 | Year ended 2/28/22 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 7,626,680 | $93,185,537 | 14,607,047 | $198,557,562 | |
Class C | 521,113 | 6,392,302 | 1,711,416 | 23,298,433 | |
Class I | 6,098,304 | 74,901,228 | 16,504,267 | 224,664,063 | |
Class R1 | 1,021 | 12,551 | 6,820 | 93,515 | |
Class R2 | 5,594 | 68,695 | 20,842 | 284,007 | |
Class R3 | 121,082 | 1,477,484 | 226,162 | 3,076,702 | |
Class R4 | 17,943 | 218,647 | 120,292 | 1,623,061 | |
Class R6 | 1,547,350 | 18,962,905 | 3,701,055 | 50,342,326 | |
15,939,087 | $195,219,349 | 36,897,901 | $501,939,669 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 3,140,958 | $37,688,782 | 5,582,553 | $75,785,017 | |
Class C | 556,669 | 6,671,965 | 1,161,810 | 15,773,452 | |
Class I | 2,033,133 | 24,422,618 | 3,782,563 | 51,329,884 | |
Class R1 | 441 | 5,269 | 809 | 10,977 | |
Class R2 | 2,859 | 34,342 | 6,579 | 89,333 | |
Class R3 | 49,587 | 594,732 | 84,146 | 1,142,993 | |
Class R4 | 12,233 | 147,124 | 29,898 | 406,227 | |
Class R6 | 571,323 | 6,859,887 | 1,018,378 | 13,826,069 | |
6,367,203 | $76,424,719 | 11,666,736 | $158,363,952 |
Six months ended 8/31/22 | Year ended 2/28/22 | ||||
Shares | Amount | Shares | Amount | ||
Shares reacquired | |||||
Class A | (12,410,817) | $(150,497,670) | (19,136,980) | $(259,994,737) | |
Class C | (5,094,667) | (61,851,170) | (10,093,308) | (136,833,130) | |
Class I | (15,140,304) | (184,204,622) | (19,524,445) | (264,711,290) | |
Class R1 | (39) | (462) | (8,494) | (115,225) | |
Class R2 | (29,413) | (364,057) | (39,154) | (529,170) | |
Class R3 | (107,134) | (1,291,303) | (318,717) | (4,323,050) | |
Class R4 | (88,138) | (1,061,330) | (342,221) | (4,608,637) | |
Class R6 | (2,221,008) | (26,997,571) | (4,853,890) | (65,737,300) | |
(35,091,520) | $(426,268,185) | (54,317,209) | $(736,852,539) | ||
Net change | |||||
Class A | (1,643,179) | $(19,623,351) | 1,052,620 | $14,347,842 | |
Class C | (4,016,885) | (48,786,903) | (7,220,082) | (97,761,245) | |
Class I | (7,008,867) | (84,880,776) | 762,385 | 11,282,657 | |
Class R1 | 1,423 | 17,358 | (865) | (10,733) | |
Class R2 | (20,960) | (261,020) | (11,733) | (155,830) | |
Class R3 | 63,535 | 780,913 | (8,409) | (103,355) | |
Class R4 | (57,962) | (695,559) | (192,031) | (2,579,349) | |
Class R6 | (102,335) | (1,174,779) | (134,457) | (1,568,905) | |
(12,785,230) | $(154,624,117) | (5,752,572) | $(76,548,918) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS High Yield Pooled Portfolio | $809,235,637 | $25,659,299 | $124,859,646 | $(11,071,748) | $(65,525,088) | $633,438,454 |
MFS Institutional Money Market Portfolio | 106,862,112 | 918,600,181 | 779,525,271 | (17,155) | 19,154 | 245,939,021 |
$916,097,749 | $944,259,480 | $904,384,917 | $(11,088,903) | $(65,505,934) | $879,377,475 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS High Yield Pooled Portfolio | $19,470,345 | $— |
MFS Institutional Money Market Portfolio | 1,034,095 | — |
$20,504,440 | $— |
Securities Fund
Securities Fund
1 | |
2 | |
4 | |
6 | |
15 | |
17 | |
18 | |
19 | |
25 | |
39 | |
43 | |
44 | |
44 | |
44 | |
44 | |
44 |
back cover |
Mortgage-Backed Securities | 49.2% |
U.S. Treasury Securities | 44.0% |
Commercial Mortgage-Backed Securities | 4.1% |
Collateralized Debt Obligations | 1.7% |
Municipal Bonds | 1.5% |
Investment Grade Corporates | 0.6% |
Asset-Backed Securities | 0.2% |
U.S. Government Agencies | 0.2% |
AAA | 4.7% |
AA | 1.6% |
A | 1.5% |
BBB | 0.3% |
U.S. Government | 42.1% |
Federal Agencies | 49.4% |
Not Rated | 1.9% |
Cash & Cash Equivalents | 0.4% |
Other | (1.9)% |
Average Duration (d) | 6.1 |
Average Effective Maturity (m) | 7.0 yrs. |
(a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities. |
(d) | Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move. The Average Duration calculation reflects the impact of the equivalent exposure of derivative positions, if any. |
(i) | For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
(m) | In determining each instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. |
March 1, 2022 through August 31, 2022
Share Class | Annualized Expense Ratio | Beginning Account Value 3/01/22 | Ending Account Value 8/31/22 | Expenses Paid During Period (p) 3/01/22-8/31/22 | |
A | Actual | 0.77% | $1,000.00 | $927.51 | $3.74 |
Hypothetical (h) | 0.77% | $1,000.00 | $1,021.32 | $3.92 | |
B | Actual | 1.52% | $1,000.00 | $923.94 | $7.37 |
Hypothetical (h) | 1.52% | $1,000.00 | $1,017.54 | $7.73 | |
C | Actual | 1.52% | $1,000.00 | $923.16 | $7.37 |
Hypothetical (h) | 1.52% | $1,000.00 | $1,017.54 | $7.73 | |
I | Actual | 0.52% | $1,000.00 | $927.57 | $2.53 |
Hypothetical (h) | 0.52% | $1,000.00 | $1,022.58 | $2.65 | |
R1 | Actual | 1.52% | $1,000.00 | $923.94 | $7.37 |
Hypothetical (h) | 1.52% | $1,000.00 | $1,017.54 | $7.73 | |
R2 | Actual | 1.02% | $1,000.00 | $926.27 | $4.95 |
Hypothetical (h) | 1.02% | $1,000.00 | $1,020.06 | $5.19 | |
R3 | Actual | 0.77% | $1,000.00 | $926.49 | $3.74 |
Hypothetical (h) | 0.77% | $1,000.00 | $1,021.32 | $3.92 | |
R4 | Actual | 0.52% | $1,000.00 | $928.68 | $2.53 |
Hypothetical (h) | 0.52% | $1,000.00 | $1,022.58 | $2.65 | |
R6 | Actual | 0.41% | $1,000.00 | $929.09 | $1.99 |
Hypothetical (h) | 0.41% | $1,000.00 | $1,023.14 | $2.09 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Bonds – 99.3% | ||||
Asset-Backed & Securitized – 5.9% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.144%, 11/15/2054 (i) | $ | 22,021,261 | $1,391,766 | |
ACREC 2021-FL1 Ltd., “AS”, FLR, 3.877% (LIBOR - 1mo. + 1.5%), 10/16/2036 (n) | 7,778,000 | 7,495,819 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 3.891% (LIBOR - 1mo. + 1.5%), 12/15/2035 (n) | 3,901,000 | 3,684,007 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “AS”, FLR, 3.791% (LIBOR - 1mo. + 1.4%), 8/15/2034 (n) | 6,638,000 | 6,312,326 | ||
AREIT 2022-CRE6 Trust, “AS”, FLR, 3.657% (SOFR - 30 day + 1.65%), 11/17/2024 (n) | 7,155,500 | 6,869,280 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.424%, 7/15/2054 (i) | 21,264,580 | 1,649,213 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.754%, 2/15/2054 (i) | 13,887,884 | 1,345,846 | ||
Benchmark 2021-B23 Mortgage Trust, “XA”, 1.38%, 2/15/2054 (i) | 43,891,350 | 3,176,268 | ||
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.27%, 3/15/2054 (i) | 26,342,535 | 1,717,860 | ||
Benchmark 2021-B26 Mortgage Trust, “XA”, 0.998%, 6/15/2054 (i) | 38,171,071 | 2,009,993 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.384%, 7/15/2054 (i) | 33,730,471 | 2,581,777 | ||
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.398%, 8/15/2054 (i) | 40,324,766 | 3,128,117 | ||
Benchmark 2021-B29 Mortgage Trust, “XA”, 1.155%, 9/15/2054 (i) | 45,502,898 | 2,704,374 | ||
BSPDF 2021-FL1 Issuer Ltd., “A”, FLR, 3.591% (LIBOR - 1mo. + 1.2%), 10/15/2036 (n) | 3,712,000 | 3,614,066 | ||
BSPDF 2021-FL1 Issuer Ltd., “AS”, FLR, 3.871% (LIBOR - 1mo. + 1.48%), 10/15/2036 (n) | 4,700,500 | 4,541,440 | ||
BXMT 2021-FL4 Ltd., “AS”, FLR, 3.299% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | 7,779,500 | 7,616,397 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 1,251,952 | 1,184,107 | ||
Citigroup Commercial Mortgage Trust, 2019-XA, “C7”, 0.997%, 12/15/2072 (i)(n) | 23,414,707 | 1,111,018 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.435%, 2/15/2054 (i) | 33,686,676 | 2,707,691 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.889%, 4/15/2054 (i) | 19,042,199 | 886,683 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.154%, 6/15/2064 (i) | 13,359,810 | 849,516 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Commercial Mortgage Trust, 2014-CR19, “A5”, 3.796%, 8/10/2047 | $ | 1,000,000 | $983,589 | |
Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/2048 | 4,990,000 | 4,846,287 | ||
CSAIL Commercial Mortgage Trust, 2015-C2, “A4”, 3.504%, 6/15/2057 | 5,341,994 | 5,185,273 | ||
KREF 2018-FT1 Ltd., “AS”, FLR, 3.68% (LIBOR - 1mo. + 1.3%), 2/15/2039 (n) | 759,000 | 718,292 | ||
LAD Auto Receivables Trust, 2022-1A, “A”, 5.21%, 6/15/2027 (n) | 1,596,000 | 1,592,124 | ||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 4.141% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 6,508,500 | 6,258,641 | ||
LoanCore 2021-CRE6 Ltd., “AS”, FLR, 4.041% (LIBOR - 1mo. + 1.65%), 11/15/2038 (n) | 10,000,000 | 9,596,680 | ||
Madison Park Funding Ltd., 2014-13A, “BR2”, FLR, 4.238% (LIBOR - 3mo. + 1.5%), 4/19/2030 (n) | 5,711,934 | 5,574,442 | ||
MF1 2021-FL5 Ltd., “AS”, FLR, 3.611% (LIBOR - 1mo. + 1.2%), 7/15/2036 (n) | 3,875,500 | 3,776,911 | ||
MF1 2021-FL5 Ltd., “B”, FLR, 3.861% (LIBOR - 1mo. + 1.45%), 7/15/2036 (n) | 4,881,500 | 4,784,873 | ||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 1.001%, 12/15/2051 (i) | 24,290,909 | 950,406 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.421%, 5/15/2054 (i) | 16,799,378 | 1,264,392 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.347%, 6/15/2054 (i) | 20,649,707 | 1,406,456 | ||
Morgan Stanley Capital I Trust, 2021-L7, “XA”, 1.217%, 10/15/2054 (i) | 80,899,555 | 5,225,602 | ||
PFP III 2021-7 Ltd., “AS”, FLR, 3.541% (LIBOR - 1mo. + 1.15%), 4/14/2038 (n) | 5,441,728 | 5,184,699 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “A”, FLR, 3.643% (LIBOR - 1mo. + 1.2%), 11/25/2036 (z) | 4,095,625 | 3,990,550 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “AS”, FLR, 3.944% (LIBOR - 1mo. + 1.5%), 11/25/2036 (z) | 1,261,500 | 1,223,575 | ||
Santander Drive Auto Receivables Trust, 2022-5, “A2”, 3.98%, 1/15/2025 | 1,208,000 | 1,206,112 | ||
Wells Fargo Commercial Mortgage Trust, 2018-C48, “XA”, 1.119%, 1/15/2052 (i)(n) | 13,319,958 | 605,170 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C60, “XA”, 1.675%, 8/15/2054 (i) | 20,875,531 | 1,973,155 | ||
$132,924,793 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Automotive – 0.2% | ||||
Hyundai Capital America, 2.85%, 11/01/2022 (n) | $ | 2,831,000 | $2,826,454 | |
Hyundai Capital America, 2.375%, 2/10/2023 (n) | 1,899,000 | 1,884,153 | ||
$4,710,607 | ||||
Consumer Services – 0.1% | ||||
Conservation Fund, 3.474%, 12/15/2029 | $ | 2,018,000 | $1,824,179 | |
Industrial – 0.1% | ||||
Howard University, Washington D.C., 2.738%, 10/01/2022 | $ | 458,000 | $457,229 | |
Howard University, Washington D.C., 2.801%, 10/01/2023 | 505,000 | 496,254 | ||
Howard University, Washington D.C., 2.416%, 10/01/2024 | 556,000 | 530,865 | ||
Howard University, Washington D.C., 2.516%, 10/01/2025 | 688,000 | 647,071 | ||
$2,131,419 | ||||
Medical & Health Technology & Services – 0.3% | ||||
ProMedica Toledo Hospital, “B”, 5.325%, 11/15/2028 | $ | 4,139,000 | $3,992,415 | |
ProMedica Toledo Hospital, “B”, 5.75%, 11/15/2038 | 1,992,000 | 1,951,603 | ||
$5,944,018 | ||||
Mortgage-Backed – 49.0% | ||||
Fannie Mae, 2.152%, 1/25/2023 | $ | 751,136 | $747,761 | |
Fannie Mae, 2.41%, 5/01/2023 | 1,329,453 | 1,323,568 | ||
Fannie Mae, 5.5%, 6/01/2023 - 5/01/2044 | 9,068,105 | 9,572,576 | ||
Fannie Mae, 5%, 3/01/2024 - 3/01/2042 | 7,935,432 | 8,264,225 | ||
Fannie Mae, 4.5%, 5/01/2025 - 6/01/2044 | 19,280,125 | 19,648,213 | ||
Fannie Mae, 2.642%, 12/25/2026 | 3,638,724 | 3,465,332 | ||
Fannie Mae, 4%, 3/25/2028 - 7/01/2047 | 38,493,582 | 38,489,228 | ||
Fannie Mae, 3%, 11/01/2028 - 5/25/2053 | 23,342,842 | 22,679,681 | ||
Fannie Mae, 2.5%, 11/01/2031 - 10/01/2046 | 3,786,277 | 3,532,280 | ||
Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | 1,540,675 | 154,374 | ||
Fannie Mae, 6.5%, 1/01/2032 - 10/01/2037 | 703,327 | 742,687 | ||
Fannie Mae, 3.42%, 7/01/2032 | 5,506,905 | 5,304,678 | ||
Fannie Mae, 6%, 1/01/2033 - 12/01/2037 | 1,945,160 | 2,058,086 | ||
Fannie Mae, 3%, 2/25/2033 (i) | 1,653,405 | 157,678 | ||
Fannie Mae, 3.5%, 4/01/2038 - 12/01/2047 | 26,664,923 | 25,942,210 | ||
Fannie Mae, 2%, 10/25/2040 - 4/25/2046 | 1,740,196 | 1,648,667 | ||
Fannie Mae, 1.75%, 9/25/2041 - 10/25/2041 | 5,190,567 | 4,907,382 | ||
Fannie Mae, 2.75%, 9/25/2042 | 1,707,177 | 1,649,561 | ||
Fannie Mae, UMBS, 2%, 10/01/2036 - 3/01/2052 | 142,057,428 | 123,961,160 | ||
Fannie Mae, UMBS, 1.5%, 2/01/2042 | 541,018 | 458,063 | ||
Fannie Mae, UMBS, 2.5%, 3/01/2042 - 7/01/2052 | 111,534,546 | 100,123,118 | ||
Fannie Mae, UMBS, 5.5%, 5/01/2044 | 1,343,311 | 1,424,103 | ||
Fannie Mae, UMBS, 3.5%, 5/01/2049 - 6/01/2052 | 5,856,460 | 5,595,575 | ||
Fannie Mae, UMBS, 3%, 6/01/2051 - 1/01/2052 | 15,311,885 | 14,285,403 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Fannie Mae, UMBS, 4%, 5/01/2052 | $ | 3,209,407 | $3,164,679 | |
Freddie Mac, 4.5%, 11/01/2022 - 5/01/2042 | 3,377,726 | 3,446,998 | ||
Freddie Mac, 5%, 4/01/2023 - 12/01/2044 | 8,816,789 | 9,169,299 | ||
Freddie Mac, 3.25%, 4/25/2023 - 11/25/2061 | 22,752,439 | 21,982,051 | ||
Freddie Mac, 6%, 6/01/2023 - 10/01/2038 | 1,165,408 | 1,244,919 | ||
Freddie Mac, 3.06%, 7/25/2023 | 871,000 | 864,705 | ||
Freddie Mac, 3.531%, 7/25/2023 | 240,000 | 239,144 | ||
Freddie Mac, 3.458%, 8/25/2023 | 4,572,200 | 4,550,137 | ||
Freddie Mac, 1.048%, 4/25/2024 (i) | 37,740,698 | 454,987 | ||
Freddie Mac, 0.714%, 7/25/2024 (i) | 52,887,359 | 385,009 | ||
Freddie Mac, 3.303%, 7/25/2024 | 4,700,000 | 4,653,553 | ||
Freddie Mac, 3.064%, 8/25/2024 | 5,977,369 | 5,886,965 | ||
Freddie Mac, 2.67%, 12/25/2024 | 10,948,000 | 10,675,066 | ||
Freddie Mac, 3.062%, 12/25/2024 | 325,000 | 319,329 | ||
Freddie Mac, 2.811%, 1/25/2025 | 7,513,933 | 7,339,760 | ||
Freddie Mac, 3.329%, 5/25/2025 | 16,621,000 | 16,382,627 | ||
Freddie Mac, 3.284%, 6/25/2025 | 1,125,000 | 1,107,173 | ||
Freddie Mac, 4%, 7/01/2025 - 4/01/2044 | 2,869,983 | 2,870,553 | ||
Freddie Mac, 3.01%, 7/25/2025 | 2,651,000 | 2,588,520 | ||
Freddie Mac, 3.5%, 11/15/2025 - 10/25/2058 | 35,830,543 | 34,955,040 | ||
Freddie Mac, 1.481%, 3/25/2027 (i) | 5,583,000 | 301,050 | ||
Freddie Mac, 3.117%, 6/25/2027 | 5,237,000 | 5,082,043 | ||
Freddie Mac, 0.711%, 7/25/2027 (i) | 104,729,947 | 2,473,742 | ||
Freddie Mac, 0.558%, 8/25/2027 (i) | 82,248,436 | 1,497,752 | ||
Freddie Mac, 0.428%, 1/25/2028 (i) | 150,376,867 | 2,206,390 | ||
Freddie Mac, 0.436%, 1/25/2028 (i) | 61,918,961 | 938,208 | ||
Freddie Mac, 0.271%, 2/25/2028 (i) | 175,639,518 | 1,352,512 | ||
Freddie Mac, 2.5%, 3/15/2028 | 421,676 | 418,605 | ||
Freddie Mac, 0.264%, 4/25/2028 (i) | 113,239,002 | 810,304 | ||
Freddie Mac, 3%, 6/15/2028 - 2/25/2059 | 32,198,011 | 30,566,525 | ||
Freddie Mac, 1.218%, 7/25/2029 (i) | 19,347,653 | 1,186,795 | ||
Freddie Mac, 1.269%, 8/25/2029 (i) | 33,790,083 | 2,163,147 | ||
Freddie Mac, 1.916%, 4/25/2030 (i) | 14,430,646 | 1,624,289 | ||
Freddie Mac, 1.985%, 4/25/2030 (i) | 20,077,463 | 2,361,961 | ||
Freddie Mac, 1.766%, 5/25/2030 (i) | 12,033,779 | 1,273,642 | ||
Freddie Mac, 1.906%, 5/25/2030 (i) | 26,880,424 | 3,064,465 | ||
Freddie Mac, 5.5%, 6/01/2030 - 9/01/2041 | 4,001,860 | 4,223,900 | ||
Freddie Mac, 1.436%, 6/25/2030 (i) | 11,124,134 | 948,180 | ||
Freddie Mac, 1.704%, 8/25/2030 (i) | 10,235,210 | 1,065,281 | ||
Freddie Mac, 1.263%, 9/25/2030 (i) | 6,568,138 | 508,525 | ||
Freddie Mac, 1.172%, 11/25/2030 (i) | 13,158,725 | 963,861 | ||
Freddie Mac, 0.422%, 1/25/2031 (i) | 50,186,431 | 1,078,446 | ||
Freddie Mac, 0.873%, 1/25/2031 (i) | 19,512,958 | 1,068,178 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Freddie Mac, 1.027%, 1/25/2031 (i) | $ | 14,681,587 | $946,429 | |
Freddie Mac, 0.613%, 3/25/2031 (i) | 40,313,977 | 1,401,455 | ||
Freddie Mac, 0.829%, 3/25/2031 (i) | 17,260,719 | 900,837 | ||
Freddie Mac, 1.333%, 5/25/2031 (i) | 7,120,528 | 612,988 | ||
Freddie Mac, 1.039%, 7/25/2031 (i) | 11,674,001 | 798,878 | ||
Freddie Mac, 0.608%, 8/25/2031 (i) | 14,901,892 | 545,403 | ||
Freddie Mac, 0.955%, 9/25/2031 (i) | 14,983,637 | 942,564 | ||
Freddie Mac, 0.441%, 11/25/2031 (i) | 73,361,326 | 1,995,039 | ||
Freddie Mac, 0.597%, 12/25/2031 (i) | 73,957,916 | 2,777,919 | ||
Freddie Mac, 0.664%, 12/25/2031 (i) | 12,187,459 | 513,450 | ||
Freddie Mac, 3.71%, 11/25/2032 | 10,076,231 | 9,944,230 | ||
Freddie Mac, 5.5%, 2/15/2036 (i) | 395,010 | 66,844 | ||
Freddie Mac, 2%, 8/15/2036 | 1,600,071 | 1,581,951 | ||
Freddie Mac, 6.5%, 5/01/2037 | 135,118 | 142,719 | ||
Freddie Mac, 4.5%, 12/15/2040 (i) | 127,681 | 11,808 | ||
Freddie Mac, 1.75%, 8/15/2041 | 1,366,323 | 1,288,934 | ||
Freddie Mac, 0.632%, 9/25/2049 (i) | 50,149,699 | 1,848,257 | ||
Freddie Mac, UMBS, 2%, 4/01/2037 - 5/01/2052 | 57,152,688 | 50,940,200 | ||
Freddie Mac, UMBS, 2.5%, 8/01/2040 - 6/01/2052 | 31,259,321 | 27,997,322 | ||
Freddie Mac, UMBS, 3.5%, 12/01/2046 - 7/01/2052 | 3,330,290 | 3,204,876 | ||
Freddie Mac, UMBS, 3%, 2/01/2050 - 8/01/2052 | 39,729,928 | 36,839,950 | ||
Freddie Mac, UMBS, 4%, 5/01/2052 | 4,910,978 | 4,842,539 | ||
Ginnie Mae, 5.5%, 3/15/2033 - 1/20/2042 | 1,914,261 | 2,029,621 | ||
Ginnie Mae, 4.5%, 7/20/2033 - 7/20/2049 | 5,039,460 | 5,156,298 | ||
Ginnie Mae, 5.687%, 8/20/2034 | 1,384,335 | 1,445,178 | ||
Ginnie Mae, 4%, 5/16/2039 - 7/20/2041 | 2,609,811 | 2,617,148 | ||
Ginnie Mae, 3.5%, 10/20/2041 (i) | 570,407 | 33,620 | ||
Ginnie Mae, 3.5%, 12/15/2041 - 7/20/2043 | 8,226,232 | 8,088,280 | ||
Ginnie Mae, 2.5%, 6/20/2042 - 11/20/2051 | 27,620,865 | 25,251,562 | ||
Ginnie Mae, 4%, 8/16/2042 (i) | 711,359 | 106,913 | ||
Ginnie Mae, 3%, 2/20/2043 - 7/20/2052 | 20,314,010 | 19,255,500 | ||
Ginnie Mae, 2.25%, 9/20/2043 | 976,589 | 956,669 | ||
Ginnie Mae, 2%, 1/20/2052 | 9,331,779 | 8,267,234 | ||
Ginnie Mae, 0.586%, 2/16/2059 (i) | 2,618,085 | 97,676 | ||
Ginnie Mae, TBA, 2.5%, 9/21/2052 | 11,683,151 | 10,644,902 | ||
Ginnie Mae, TBA, 3%, 9/21/2052 | 27,650,000 | 25,951,037 | ||
Ginnie Mae, TBA, 3.5%, 9/21/2052 | 37,867,230 | 36,510,814 | ||
Ginnie Mae, TBA, 4%, 9/21/2052 - 10/20/2052 | 35,026,247 | 34,485,250 | ||
Ginnie Mae, TBA, 4.5%, 9/21/2052 - 10/20/2052 | 30,100,000 | 30,087,323 | ||
Ginnie Mae, TBA, 5%, 9/21/2052 - 10/20/2052 | 8,650,000 | 8,751,815 | ||
UMBS, TBA, 2.5%, 9/19/2037 - 9/25/2052 | 68,575,000 | 61,763,836 | ||
UMBS, TBA, 5.5%, 9/14/2052 - 10/25/2052 | 7,050,000 | 7,200,226 | ||
UMBS, TBA, 2%, 9/25/2052 | 36,750,000 | 31,612,895 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
UMBS, TBA, 3.5%, 9/25/2052 | $ | 12,075,000 | $11,504,268 | |
UMBS, TBA, 4%, 9/25/2052 | 7,175,000 | 7,002,912 | ||
UMBS, TBA, 4.5%, 9/25/2052 | 14,425,000 | 14,337,098 | ||
$1,098,896,591 | ||||
Municipals – 1.6% | ||||
California Earthquake Authority Rev., Taxable, “B”, 1.477%, 7/01/2023 | $ | 1,355,000 | $1,325,077 | |
Chicago, IL, Transit Authority Sales Tax Receipts Refunding Rev., Taxable, “B”, 1.838%, 12/01/2023 | 492,000 | 479,310 | ||
Chicago, IL, Transit Authority Sales Tax Receipts Refunding Rev., Taxable, “B”, 2.064%, 12/01/2024 | 985,000 | 944,086 | ||
Chicago, IL, Transit Authority Sales Tax Receipts Refunding Rev., Taxable, “B”, 2.214%, 12/01/2025 | 738,000 | 695,677 | ||
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 3%, 6/01/2046 | 4,150,000 | 3,645,900 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.562%, 7/01/2026 | 445,000 | 415,349 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.682%, 7/01/2027 | 2,165,000 | 1,990,797 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 1,159,841 | 1,064,972 | ||
New Jersey Economic Development Authority State Pension Funding Rev., Capital Appreciation, Taxable, “B”, AGM, 0%, 2/15/2023 | 14,792,000 | 14,553,057 | ||
New York Transportation Development Corp., Special Facilities Taxable Rev., Taxable (Terminal 4 John F. Kennedy International Airport Project), “B”, 1.61%, 12/01/2022 | 770,000 | 766,478 | ||
Philadelphia, PA, School District, Taxable, “A”, AGM, 5.995%, 9/01/2030 | 3,280,000 | 3,671,465 | ||
Port of Oakland, CA, Senior Lien Refunding Rev., Taxable, “R”, 1.517%, 5/01/2026 | 1,680,000 | 1,533,783 | ||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.497%, 6/01/2024 | 1,900,000 | 1,816,951 | ||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.647%, 6/01/2025 | 1,550,000 | 1,436,290 | ||
$34,339,192 | ||||
U.S. Government Agencies and Equivalents – 0.2% | ||||
Small Business Administration, 4.98%, 11/01/2023 | $ | 22,062 | $21,984 | |
Small Business Administration, 4.89%, 12/01/2023 | 69,034 | 68,456 | ||
Small Business Administration, 4.77%, 4/01/2024 | 89,954 | 89,231 | ||
Small Business Administration, 5.52%, 6/01/2024 | 36,112 | 35,880 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Government Agencies and Equivalents – continued | ||||
Small Business Administration, 4.99%, 9/01/2024 | $ | 63,401 | $62,555 | |
Small Business Administration, 4.86%, 10/01/2024 | 51,701 | 51,124 | ||
Small Business Administration, 4.86%, 1/01/2025 | 88,152 | 89,160 | ||
Small Business Administration, 5.11%, 4/01/2025 | 76,494 | 75,714 | ||
Small Business Administration, 2.21%, 2/01/2033 | 811,174 | 753,436 | ||
Small Business Administration, 2.22%, 3/01/2033 | 1,248,302 | 1,162,378 | ||
Small Business Administration, 3.15%, 7/01/2033 | 1,222,969 | 1,186,537 | ||
Small Business Administration, 3.16%, 8/01/2033 | 491,531 | 478,923 | ||
Small Business Administration, 3.62%, 9/01/2033 | 458,068 | 452,756 | ||
$4,528,134 | ||||
U.S. Treasury Obligations – 41.9% | ||||
U.S. Treasury Bonds, 6.25%, 8/15/2023 | $ | 1,445,000 | $1,483,834 | |
U.S. Treasury Bonds, 6%, 2/15/2026 | 5,933,000 | 6,411,580 | ||
U.S. Treasury Bonds, 6.75%, 8/15/2026 | 981,000 | 1,101,747 | ||
U.S. Treasury Bonds, 6.375%, 8/15/2027 | 2,309,000 | 2,619,993 | ||
U.S. Treasury Bonds, 1.625%, 5/15/2031 | 41,833,000 | 36,955,207 | ||
U.S. Treasury Bonds, 4.375%, 2/15/2038 | 2,078,000 | 2,371,680 | ||
U.S. Treasury Bonds, 4.5%, 8/15/2039 | 11,926,300 | 13,773,945 | ||
U.S. Treasury Bonds, 3.125%, 2/15/2043 | 9,748,800 | 9,061,052 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2043 | 27,528,200 | 24,534,508 | ||
U.S. Treasury Bonds, 2.5%, 2/15/2045 | 97,983,000 | 80,996,728 | ||
U.S. Treasury Bonds, 2.875%, 11/15/2046 | 26,245,000 | 23,261,681 | ||
U.S. Treasury Bonds, 1.875%, 11/15/2051 | 12,000,200 | 8,738,583 | ||
U.S. Treasury Notes, 1.5%, 9/15/2022 | 35,000,000 | 34,991,074 | ||
U.S. Treasury Notes, 0.125%, 9/30/2022 | 49,534,000 | 49,449,800 | ||
U.S. Treasury Notes, 0.125%, 2/28/2023 | 51,824,200 | 51,028,618 | ||
U.S. Treasury Notes, 2.5%, 3/31/2023 | 131,000,000 | 130,437,109 | ||
U.S. Treasury Notes, 0.125%, 5/31/2023 | 33,455,000 | 32,659,137 | ||
U.S. Treasury Notes, 0.125%, 6/30/2023 | 18,346,500 | 17,851,288 | ||
U.S. Treasury Notes, 0.125%, 7/15/2023 | 11,546,000 | 11,213,601 | ||
U.S. Treasury Notes, 2.5%, 8/15/2023 (f) | 136,673,000 | 135,391,691 | ||
U.S. Treasury Notes, 0.375%, 10/31/2023 | 8,133,200 | 7,849,173 | ||
U.S. Treasury Notes, 2.625%, 12/31/2025 | 20,900,000 | 20,344,844 | ||
U.S. Treasury Notes, 0.75%, 5/31/2026 | 38,599,000 | 34,939,634 | ||
U.S. Treasury Notes, 2%, 11/15/2026 | 51,959,000 | 49,056,602 | ||
U.S. Treasury Notes, 2.75%, 2/15/2028 | 54,157,000 | 52,464,594 | ||
U.S. Treasury Notes, 1%, 7/31/2028 | 32,248,000 | 28,190,547 | ||
U.S. Treasury Notes, 2.375%, 5/15/2029 | 19,515,500 | 18,403,269 | ||
U.S. Treasury Notes, 1.625%, 8/15/2029 | 29,405,000 | 26,457,608 | ||
U.S. Treasury Notes, 1.75%, 11/15/2029 | 8,564,000 | 7,774,172 | ||
U.S. Treasury Notes, 1.375%, 11/15/2031 | 11,425,300 | 9,786,930 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Treasury Obligations – continued | ||||
U.S. Treasury Notes, 3.25%, 5/15/2042 | $ | 10,839,000 | $10,368,181 | |
$939,968,410 | ||||
Total Bonds (Identified Cost, $2,351,381,673) | $2,225,267,343 | |||
Investment Companies (h) – 13.0% | ||||
Money Market Funds – 13.0% | ||||
MFS Institutional Money Market Portfolio, 2.21% (v) (Identified Cost, $292,288,926) | 292,292,744 | $292,292,744 | ||
Other Assets, Less Liabilities – (12.3)% | (275,199,661) | |||
Net Assets – 100.0% | $2,242,360,426 |
(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 $292,292,744 and $2,225,267,343, 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 $85,230,899, representing 3.8% 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 |
ReadyCap Commercial Mortgage Trust, 2021-FL7, “A”, FLR, 3.643% (LIBOR - 1mo. + 1.2%), 11/25/2036 | 11/12/2021 | $4,095,625 | $3,990,550 |
ReadyCap Commercial Mortgage Trust, 2021-FL7, “AS”, FLR, 3.944% (LIBOR - 1mo. + 1.5%), 11/25/2036 | 11/12/2021 | 1,261,500 | 1,223,575 |
Total Restricted Securities | $5,214,125 | ||
% of Net assets | 0.2% |
The following abbreviations are used in this report and are defined: | |
AGM | Assured Guaranty Municipal |
CLO | Collateralized Loan Obligation |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
LIBOR | London Interbank Offered Rate |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
UMBS | Uniform Mortgage-Backed Security |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Note 2 yr | Short | USD | 1,338 | $278,743,032 | December – 2022 | $358,967 |
U.S. Treasury Ultra Bond | Long | USD | 655 | 97,922,500 | December – 2022 | 1,118,549 |
$1,477,516 | ||||||
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Bond | Long | USD | 333 | $45,235,969 | December – 2022 | $(35,527) |
U.S. Treasury Note 10 yr | Long | USD | 1,228 | 143,560,875 | December – 2022 | (454,841) |
U.S. Treasury Note 5 yr | Long | USD | 85 | 9,419,726 | December – 2022 | (36,825) |
U.S. Treasury Ultra Note 10 yr | Long | USD | 202 | 25,287,875 | December – 2022 | (24,550) |
$(551,743) |
Assets | |
Investments in unaffiliated issuers, at value (identified cost, $2,351,381,673) | $2,225,267,343 |
Investments in affiliated issuers, at value (identified cost, $292,288,926) | 292,292,744 |
Restricted cash for MBS/TBA | 1,540,852 |
Receivables for | |
Investments sold | 5,358,299 |
TBA sale commitments | 65,467,253 |
Fund shares sold | 778,942 |
Interest | 8,078,658 |
Other assets | 23,532 |
Total assets | $2,598,807,623 |
Liabilities | |
Payable to custodian | $125,805 |
Payables for | |
Distributions | 149,491 |
Net daily variation margin on open futures contracts | 1,041,437 |
TBA purchase commitments | 353,234,227 |
Fund shares reacquired | 1,417,292 |
Payable to affiliates | |
Investment adviser | 44,066 |
Administrative services fee | 2,238 |
Shareholder servicing costs | 292,307 |
Distribution and service fees | 9,068 |
Payable for independent Trustees' compensation | 4,460 |
Accrued expenses and other liabilities | 126,806 |
Total liabilities | $356,447,197 |
Net assets | $2,242,360,426 |
Net assets consist of | |
Paid-in capital | $2,536,201,454 |
Total distributable earnings (loss) | (293,841,028) |
Net assets | $2,242,360,426 |
Shares of beneficial interest outstanding | 248,376,673 |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $506,944,883 | 56,097,509 | $9.04 |
Class B | 1,921,386 | 212,877 | 9.03 |
Class C | 7,200,302 | 795,631 | 9.05 |
Class I | 248,796,504 | 27,579,052 | 9.02 |
Class R1 | 1,772,982 | 196,418 | 9.03 |
Class R2 | 42,135,826 | 4,667,827 | 9.03 |
Class R3 | 32,740,839 | 3,624,749 | 9.03 |
Class R4 | 42,434,923 | 4,696,715 | 9.04 |
Class R6 | 1,358,412,781 | 150,505,895 | 9.03 |
(a) | Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $9.44 [100 / 95.75 x $9.04]. On sales of $100,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A, Class B, and Class C shares. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R6. |
Net investment income (loss) | |
Income | |
Interest | $22,390,513 |
Dividends from affiliated issuers | 1,563,099 |
Other | 439 |
Total investment income | $23,954,051 |
Expenses | |
Management fee | $4,434,277 |
Distribution and service fees | 898,377 |
Shareholder servicing costs | 654,972 |
Administrative services fee | 202,072 |
Independent Trustees' compensation | 20,120 |
Custodian fee | 76,714 |
Shareholder communications | 31,745 |
Audit and tax fees | 35,092 |
Legal fees | 5,880 |
Miscellaneous | 116,203 |
Total expenses | $6,475,452 |
Fees paid indirectly | (5,413) |
Reduction of expenses by investment adviser and distributor | (170,022) |
Net expenses | $6,300,017 |
Net investment income (loss) | $17,654,034 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $(29,781,918) |
Affiliated issuers | (12,040) |
Futures contracts | (27,024,254) |
Foreign currency | (11) |
Net realized gain (loss) | $(56,818,223) |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $(143,315,768) |
Affiliated issuers | 2,303 |
Futures contracts | (1,009,122) |
Net unrealized gain (loss) | $(144,322,587) |
Net realized and unrealized gain (loss) | $(201,140,810) |
Change in net assets from operations | $(183,486,776) |
Six months ended | Year ended | |
8/31/22 (unaudited) | 2/28/22 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $17,654,034 | $24,907,648 |
Net realized gain (loss) | (56,818,223) | (19,495,848) |
Net unrealized gain (loss) | (144,322,587) | (64,585,881) |
Change in net assets from operations | $(183,486,776) | $(59,174,081) |
Total distributions to shareholders | $(18,101,633) | $(30,875,262) |
Change in net assets from fund share transactions | $(137,484,076) | $74,959,507 |
Total change in net assets | $(339,072,485) | $(15,089,836) |
Net assets | ||
At beginning of period | 2,581,432,911 | 2,596,522,747 |
At end of period | $2,242,360,426 | $2,581,432,911 |
Class A | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $9.81 | $10.15 | $10.28 | $9.59 | $9.55 | $9.84 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.06 | $0.07 | $0.14 | $0.20 | $0.20 | $0.20 |
Net realized and unrealized gain (loss) | (0.77) | (0.31) | (0.10) | 0.70 | 0.06 | (0.26) |
Total from investment operations | $(0.71) | $(0.24) | $0.04 | $0.90 | $0.26 | $(0.06) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.06) | $(0.10) | $(0.17) | $(0.21) | $(0.22) | $(0.23) |
Net asset value, end of period (x) | $9.04 | $9.81 | $10.15 | $10.28 | $9.59 | $9.55 |
Total return (%) (r)(s)(t)(x) | (7.25)(n) | (2.43) | 0.40 | 9.48 | 2.75 | (0.61) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.78(a) | 0.79 | 0.81 | 0.85 | 0.86 | 0.87 |
Expenses after expense reductions (f) | 0.77(a) | 0.78 | 0.80 | 0.84 | 0.84 | 0.85 |
Net investment income (loss) | 1.24(a) | 0.73 | 1.35 | 1.98 | 2.12 | 2.06 |
Portfolio turnover | 147(n) | 398 | 307 | 113 | 56 | 20 |
Net assets at end of period (000 omitted) | $506,945 | $589,493 | $805,484 | $702,063 | $596,678 | $625,457 |
Class B | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $9.80 | $10.14 | $10.27 | $9.58 | $9.54 | $9.82 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.02 | $(0.00)(w) | $0.07 | $0.12 | $0.13 | $0.13 |
Net realized and unrealized gain (loss) | (0.76) | (0.32) | (0.10) | 0.71 | 0.06 | (0.25) |
Total from investment operations | $(0.74) | $(0.32) | $(0.03) | $0.83 | $0.19 | $(0.12) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.03) | $(0.02) | $(0.10) | $(0.14) | $(0.15) | $(0.16) |
Net asset value, end of period (x) | $9.03 | $9.80 | $10.14 | $10.27 | $9.58 | $9.54 |
Total return (%) (r)(s)(t)(x) | (7.61)(n) | (3.16) | (0.35) | 8.68 | 1.99 | (1.26) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.53(a) | 1.54 | 1.56 | 1.60 | 1.61 | 1.62 |
Expenses after expense reductions (f) | 1.52(a) | 1.53 | 1.55 | 1.59 | 1.60 | 1.61 |
Net investment income (loss) | 0.47(a) | (0.02) | 0.66 | 1.23 | 1.37 | 1.31 |
Portfolio turnover | 147(n) | 398 | 307 | 113 | 56 | 20 |
Net assets at end of period (000 omitted) | $1,921 | $2,757 | $4,468 | $7,711 | $8,811 | $12,968 |
Class C | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $9.83 | $10.17 | $10.29 | $9.60 | $9.57 | $9.85 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.02 | $(0.00)(w) | $0.07 | $0.12 | $0.13 | $0.13 |
Net realized and unrealized gain (loss) | (0.77) | (0.32) | (0.09) | 0.71 | 0.05 | (0.25) |
Total from investment operations | $(0.75) | $(0.32) | $(0.02) | $0.83 | $0.18 | $(0.12) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.03) | $(0.02) | $(0.10) | $(0.14) | $(0.15) | $(0.16) |
Net asset value, end of period (x) | $9.05 | $9.83 | $10.17 | $10.29 | $9.60 | $9.57 |
Total return (%) (r)(s)(t)(x) | (7.68)(n) | (3.15) | (0.25) | 8.66 | 1.88 | (1.25) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.53(a) | 1.54 | 1.56 | 1.60 | 1.61 | 1.62 |
Expenses after expense reductions (f) | 1.52(a) | 1.53 | 1.55 | 1.59 | 1.60 | 1.61 |
Net investment income (loss) | 0.48(a) | (0.01) | 0.63 | 1.23 | 1.37 | 1.30 |
Portfolio turnover | 147(n) | 398 | 307 | 113 | 56 | 20 |
Net assets at end of period (000 omitted) | $7,200 | $10,187 | $19,052 | $20,084 | $19,919 | $29,766 |
Class I | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $9.80 | $10.14 | $10.27 | $9.58 | $9.55 | $9.83 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.07 | $0.10 | $0.17 | $0.22 | $0.22 | $0.22 |
Net realized and unrealized gain (loss) | (0.78) | (0.32) | (0.10) | 0.70 | 0.05 | (0.24) |
Total from investment operations | $(0.71) | $(0.22) | $0.07 | $0.92 | $0.27 | $(0.02) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.07) | $(0.12) | $(0.20) | $(0.23) | $(0.24) | $(0.26) |
Net asset value, end of period (x) | $9.02 | $9.80 | $10.14 | $10.27 | $9.58 | $9.55 |
Total return (%) (r)(s)(t)(x) | (7.24)(n) | (2.18) | 0.65 | 9.76 | 2.90 | (0.26) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.53(a) | 0.53 | 0.56 | 0.60 | 0.61 | 0.62 |
Expenses after expense reductions (f) | 0.52(a) | 0.52 | 0.55 | 0.59 | 0.60 | 0.61 |
Net investment income (loss) | 1.49(a) | 0.97 | 1.60 | 2.20 | 2.36 | 2.29 |
Portfolio turnover | 147(n) | 398 | 307 | 113 | 56 | 20 |
Net assets at end of period (000 omitted) | $248,797 | $274,851 | $162,286 | $96,407 | $43,627 | $39,572 |
Class R1 | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $9.80 | $10.14 | $10.27 | $9.58 | $9.54 | $9.83 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.02 | $(0.00)(w) | $0.06 | $0.12 | $0.13 | $0.13 |
Net realized and unrealized gain (loss) | (0.76) | (0.32) | (0.09) | 0.71 | 0.06 | (0.26) |
Total from investment operations | $(0.74) | $(0.32) | $(0.03) | $0.83 | $0.19 | $(0.13) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.03) | $(0.02) | $(0.10) | $(0.14) | $(0.15) | $(0.16) |
Net asset value, end of period (x) | $9.03 | $9.80 | $10.14 | $10.27 | $9.58 | $9.54 |
Total return (%) (r)(s)(t)(x) | (7.61)(n) | (3.16) | (0.35) | 8.68 | 1.99 | (1.36) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.53(a) | 1.54 | 1.56 | 1.60 | 1.61 | 1.62 |
Expenses after expense reductions (f) | 1.52(a) | 1.53 | 1.55 | 1.59 | 1.60 | 1.61 |
Net investment income (loss) | 0.49(a) | (0.02) | 0.61 | 1.23 | 1.37 | 1.31 |
Portfolio turnover | 147(n) | 398 | 307 | 113 | 56 | 20 |
Net assets at end of period (000 omitted) | $1,773 | $1,960 | $2,274 | $2,158 | $2,125 | $2,237 |
Class R2 | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $9.80 | $10.14 | $10.27 | $9.58 | $9.54 | $9.83 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.05 | $0.05 | $0.12 | $0.17 | $0.18 | $0.18 |
Net realized and unrealized gain (loss) | (0.77) | (0.32) | (0.10) | 0.71 | 0.06 | (0.26) |
Total from investment operations | $(0.72) | $(0.27) | $0.02 | $0.88 | $0.24 | $(0.08) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.05) | $(0.07) | $(0.15) | $(0.19) | $(0.20) | $(0.21) |
Net asset value, end of period (x) | $9.03 | $9.80 | $10.14 | $10.27 | $9.58 | $9.54 |
Total return (%) (r)(s)(t)(x) | (7.37)(n) | (2.67) | 0.15 | 9.22 | 2.50 | (0.86) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.03(a) | 1.04 | 1.06 | 1.10 | 1.11 | 1.12 |
Expenses after expense reductions (f) | 1.02(a) | 1.03 | 1.05 | 1.09 | 1.10 | 1.11 |
Net investment income (loss) | 0.99(a) | 0.48 | 1.12 | 1.73 | 1.87 | 1.80 |
Portfolio turnover | 147(n) | 398 | 307 | 113 | 56 | 20 |
Net assets at end of period (000 omitted) | $42,136 | $49,375 | $63,945 | $78,519 | $86,431 | $98,060 |
Class R3 | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $9.81 | $10.15 | $10.27 | $9.58 | $9.55 | $9.83 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.06 | $0.07 | $0.14 | $0.20 | $0.20 | $0.20 |
Net realized and unrealized gain (loss) | (0.78) | (0.31) | (0.09) | 0.70 | 0.05 | (0.25) |
Total from investment operations | $(0.72) | $(0.24) | $0.05 | $0.90 | $0.25 | $(0.05) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.06) | $(0.10) | $(0.17) | $(0.21) | $(0.22) | $(0.23) |
Net asset value, end of period (x) | $9.03 | $9.81 | $10.15 | $10.27 | $9.58 | $9.55 |
Total return (%) (r)(s)(t)(x) | (7.35)(n) | (2.43) | 0.50 | 9.49 | 2.65 | (0.51) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.78(a) | 0.79 | 0.81 | 0.85 | 0.86 | 0.87 |
Expenses after expense reductions (f) | 0.77(a) | 0.78 | 0.80 | 0.84 | 0.85 | 0.86 |
Net investment income (loss) | 1.24(a) | 0.73 | 1.36 | 1.99 | 2.12 | 2.05 |
Portfolio turnover | 147(n) | 398 | 307 | 113 | 56 | 20 |
Net assets at end of period (000 omitted) | $32,741 | $38,286 | $49,242 | $52,773 | $66,977 | $79,274 |
Class R4 | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $9.81 | $10.15 | $10.28 | $9.59 | $9.55 | $9.84 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.07 | $0.10 | $0.17 | $0.22 | $0.22 | $0.23 |
Net realized and unrealized gain (loss) | (0.77) | (0.32) | (0.10) | 0.71 | 0.06 | (0.26) |
Total from investment operations | $(0.70) | $(0.22) | $0.07 | $0.93 | $0.28 | $(0.03) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.07) | $(0.12) | $(0.20) | $(0.24) | $(0.24) | $(0.26) |
Net asset value, end of period (x) | $9.04 | $9.81 | $10.15 | $10.28 | $9.59 | $9.55 |
Total return (%) (r)(s)(t)(x) | (7.13)(n) | (2.18) | 0.65 | 9.75 | 3.01 | (0.36) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.53(a) | 0.54 | 0.56 | 0.60 | 0.61 | 0.62 |
Expenses after expense reductions (f) | 0.52(a) | 0.53 | 0.55 | 0.59 | 0.60 | 0.61 |
Net investment income (loss) | 1.48(a) | 0.98 | 1.61 | 2.22 | 2.36 | 2.30 |
Portfolio turnover | 147(n) | 398 | 307 | 113 | 56 | 20 |
Net assets at end of period (000 omitted) | $42,435 | $53,252 | $67,258 | $73,230 | $58,677 | $64,691 |
Class R6 | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $9.80 | $10.14 | $10.27 | $9.58 | $9.54 | $9.83 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.07 | $0.11 | $0.18 | $0.23 | $0.24 | $0.24 |
Net realized and unrealized gain (loss) | (0.76) | (0.32) | (0.10) | 0.71 | 0.05 | (0.26) |
Total from investment operations | $(0.69) | $(0.21) | $0.08 | $0.94 | $0.29 | $(0.02) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.08) | $(0.13) | $(0.21) | $(0.25) | $(0.25) | $(0.27) |
Net asset value, end of period (x) | $9.03 | $9.80 | $10.14 | $10.27 | $9.58 | $9.54 |
Total return (%) (r)(s)(t)(x) | (7.09)(n) | (2.08) | 0.75 | 9.87 | 3.13 | (0.25) |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.43(a) | 0.44 | 0.46 | 0.50 | 0.50 | 0.50 |
Expenses after expense reductions (f) | 0.41(a) | 0.42 | 0.45 | 0.49 | 0.49 | 0.50 |
Net investment income (loss) | 1.59(a) | 1.08 | 1.69 | 2.33 | 2.48 | 2.42 |
Portfolio turnover | 147(n) | 398 | 307 | 113 | 56 | 20 |
Net assets at end of period (000 omitted) | $1,358,413 | $1,561,273 | $1,422,514 | $1,220,812 | $1,025,911 | $1,066,416 |
(a) | Annualized. |
(d) | Per share data is based on average shares outstanding. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. See Note 2 in the Notes to Financial Statements for additional information. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(t) | Total returns do not include any applicable sales charges. |
(w) | Per share amount was less than $0.01. |
(x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | $— | $944,496,544 | $— | $944,496,544 |
Municipal Bonds | — | 34,339,192 | — | 34,339,192 |
U.S. Corporate Bonds | — | 14,610,223 | — | 14,610,223 |
Residential Mortgage-Backed Securities | — | 1,098,896,591 | — | 1,098,896,591 |
Commercial Mortgage-Backed Securities | — | 90,721,968 | — | 90,721,968 |
Asset-Backed Securities (including CDOs) | — | 42,202,825 | — | 42,202,825 |
Mutual Funds | 292,292,744 | — | — | 292,292,744 |
Total | $292,292,744 | $2,225,267,343 | $— | $2,517,560,087 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $1,477,516 | $— | $— | $1,477,516 |
Futures Contracts – Liabilities | (551,743) | — | — | (551,743) |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Interest Rate | Futures Contracts | $1,477,516 | $(551,743) |
(a) | Values presented in this table for futures contracts correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts is reported separately within the Statement of Assets and Liabilities. |
Risk | Futures Contracts |
Interest Rate | $(27,024,254) |
Risk | Futures Contracts |
Interest Rate | $(1,009,122) |
Year ended 2/28/22 | |
Ordinary income (including any short-term capital gains) | $30,875,262 |
As of 8/31/22 | |
Cost of investments | $2,665,670,022 |
Gross appreciation | — |
Gross depreciation | (148,109,935) |
Net unrealized appreciation (depreciation) | $(148,109,935) |
As of 2/28/22 | |
Undistributed ordinary income | 7,204,391 |
Capital loss carryforwards | (94,841,984) |
Other temporary differences | (2,260,295) |
Net unrealized appreciation (depreciation) | (2,354,731) |
Short-Term | $(19,240,400) |
Long-Term | (75,601,584) |
Total | $(94,841,984) |
Six months ended 8/31/22 | Year ended 2/28/22 | |
Class A | $3,474,483 | $6,866,841 |
Class B | 5,867 | 7,613 |
Class C | 21,973 | 30,740 |
Class I | 1,999,631 | 2,502,609 |
Class R1 | 4,903 | 4,340 |
Class R2 | 230,688 | 407,067 |
Class R3 | 222,663 | 416,860 |
Class R4 | 355,546 | 772,308 |
Class R6 | 11,785,879 | 19,866,884 |
Total | $18,101,633 | $30,875,262 |
Up to $1 billion | 0.40% |
In excess of $1 billion and up to $2.5 billion | 0.35% |
In excess of $2.5 billion and up to $5 billion | 0.30% |
In excess of $5 billion | 0.29% |
Classes | ||||||||
A | B | C | I | R1 | R2 | R3 | R4 | R6 |
0.80% | 1.55% | 1.55% | 0.55% | 1.55% | 1.05% | 0.80% | 0.55% | 0.44% |
Distribution Fee Rate (d) | Service Fee Rate (d) | Total Distribution Plan (d) | Annual Effective Rate (e) | Distribution and Service Fee | |
Class A | — | 0.25% | 0.25% | 0.25% | $ 679,469 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 11,400 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 42,594 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 9,179 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 112,161 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 43,574 |
Total Distribution and Service Fees | $898,377 |
(d) | In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’s average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below. |
(e) | The annual effective rates represent actual fees incurred under the distribution plan for the six months ended August 31, 2022 based on each class's average daily net assets. MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. For the six months ended August 31, 2022, this rebate amounted to $537 for Class A shares and is included in the reduction of total expenses in the Statement of Operations. |
Amount | |
Class A | $17,251 |
Class B | 1,722 |
Class C | 247 |
Purchases | Sales | |
U.S. Government securities | $3,425,397,681 | $3,469,651,834 |
Non-U.S. Government securities | 2,803,744 | 32,803,902 |
Six months ended 8/31/22 | Year ended 2/28/22 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 4,097,739 | $38,053,160 | 12,865,232 | $129,822,253 | |
Class B | 5,694 | 55,260 | 21,933 | 216,332 | |
Class C | 71,001 | 661,572 | 205,708 | 2,075,649 | |
Class I | 3,253,758 | 30,259,898 | 18,031,612 | 182,635,307 | |
Class R1 | 8,236 | 76,319 | 21,801 | 219,632 | |
Class R2 | 610,211 | 5,689,023 | 797,169 | 8,008,502 | |
Class R3 | 491,394 | 4,585,305 | 887,626 | 8,929,415 | |
Class R4 | 393,987 | 3,671,403 | 1,720,152 | 17,301,502 | |
Class R6 | 5,654,616 | 52,812,150 | 27,045,019 | 273,000,607 | |
14,586,636 | $135,864,090 | 61,596,252 | $622,209,199 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 353,831 | $3,267,157 | 573,886 | $5,784,485 | |
Class B | 632 | 5,809 | 730 | 7,374 | |
Class C | 2,317 | 21,352 | 2,956 | 29,928 | |
Class I | 208,064 | 1,917,514 | 232,686 | 2,336,109 | |
Class R1 | 534 | 4,902 | 430 | 4,337 | |
Class R2 | 24,884 | 229,360 | 39,925 | 402,161 | |
Class R3 | 24,136 | 222,661 | 41,361 | 416,755 | |
Class R4 | 12,597 | 116,286 | 28,135 | 283,710 | |
Class R6 | 1,254,720 | 11,574,515 | 1,940,314 | 19,521,118 | |
1,881,715 | $17,359,556 | 2,860,423 | $28,785,977 | ||
Shares reacquired | |||||
Class A | (8,428,523) | $(78,178,277) | (32,694,309) | $(330,894,993) | |
Class B | (74,706) | (693,709) | (181,994) | (1,831,424) | |
Class C | (314,252) | (2,923,964) | (1,045,840) | (10,566,047) | |
Class I | (3,940,700) | (36,478,065) | (6,214,095) | (62,539,024) | |
Class R1 | (12,274) | (115,433) | (46,555) | (467,553) | |
Class R2 | (1,004,555) | (9,376,619) | (2,104,748) | (21,209,554) | |
Class R3 | (794,198) | (7,410,664) | (1,877,643) | (18,929,424) | |
Class R4 | (1,137,695) | (10,530,702) | (2,945,540) | (29,635,565) | |
Class R6 | (15,704,692) | (145,000,289) | (9,948,777) | (99,962,085) | |
(31,411,595) | $(290,707,722) | (57,059,501) | $(576,035,669) |
Six months ended 8/31/22 | Year ended 2/28/22 | ||||
Shares | Amount | Shares | Amount | ||
Net change | |||||
Class A | (3,976,953) | $(36,857,960) | (19,255,191) | $(195,288,255) | |
Class B | (68,380) | (632,640) | (159,331) | (1,607,718) | |
Class C | (240,934) | (2,241,040) | (837,176) | (8,460,470) | |
Class I | (478,878) | (4,300,653) | 12,050,203 | 122,432,392 | |
Class R1 | (3,504) | (34,212) | (24,324) | (243,584) | |
Class R2 | (369,460) | (3,458,236) | (1,267,654) | (12,798,891) | |
Class R3 | (278,668) | (2,602,698) | (948,656) | (9,583,254) | |
Class R4 | (731,111) | (6,743,013) | (1,197,253) | (12,050,353) | |
Class R6 | (8,795,356) | (80,613,624) | 19,036,556 | 192,559,640 | |
(14,943,244) | $(137,484,076) | 7,397,174 | $74,959,507 |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $677,447,936 | $785,409,388 | $1,170,554,843 | $(12,040) | $2,303 | $292,292,744 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $1,563,099 | $— |
Value Fund
Value Fund
1 | |
2 | |
3 | |
5 | |
11 | |
13 | |
14 | |
15 | |
24 | |
37 | |
41 | |
42 | |
42 | |
42 | |
42 | |
42 |
back cover |
Black Hills Corp. | 1.7% |
Umpqua Holdings Corp. | 1.7% |
Prosperity Bancshares, Inc. | 1.6% |
Cathay General Bancorp, Inc. | 1.6% |
LKQ Corp. | 1.5% |
International Game Technology PLC | 1.4% |
Portland General Electric Co. | 1.3% |
Berry Global, Inc. | 1.3% |
Bank of Hawaii Corp. | 1.3% |
Silgan Holdings, Inc. | 1.3% |
Financials | 23.2% |
Consumer Discretionary | 13.9% |
Industrials | 12.9% |
Materials | 12.0% |
Information Technology | 8.5% |
Health Care | 7.1% |
Energy | 6.7% |
Real Estate | 5.7% |
Utilities | 5.4% |
Consumer Staples | 2.5% |
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. |
March 1, 2022 through August 31, 2022
Share Class | Annualized Expense Ratio | Beginning Account Value 3/01/22 | Ending Account Value 8/31/22 | Expenses Paid During Period (p) 3/01/22-8/31/22 | |
A | Actual | 1.19% | $1,000.00 | $890.04 | $5.67 |
Hypothetical (h) | 1.19% | $1,000.00 | $1,019.21 | $6.06 | |
B | Actual | 1.94% | $1,000.00 | $886.61 | $9.23 |
Hypothetical (h) | 1.94% | $1,000.00 | $1,015.43 | $9.86 | |
C | Actual | 1.94% | $1,000.00 | $886.59 | $9.23 |
Hypothetical (h) | 1.94% | $1,000.00 | $1,015.43 | $9.86 | |
I | Actual | 0.93% | $1,000.00 | $891.02 | $4.43 |
Hypothetical (h) | 0.93% | $1,000.00 | $1,020.52 | $4.74 | |
R1 | Actual | 1.93% | $1,000.00 | $886.66 | $9.18 |
Hypothetical (h) | 1.93% | $1,000.00 | $1,015.48 | $9.80 | |
R2 | Actual | 1.44% | $1,000.00 | $888.70 | $6.86 |
Hypothetical (h) | 1.44% | $1,000.00 | $1,017.95 | $7.32 | |
R3 | Actual | 1.19% | $1,000.00 | $889.82 | $5.67 |
Hypothetical (h) | 1.19% | $1,000.00 | $1019.21 | $6.06 | |
R4 | Actual | 0.93% | $1,000.00 | $891.14 | $4.43 |
Hypothetical (h) | 0.93% | $1,000.00 | $1020.52 | $4.74 | |
R6 | Actual | 0.83% | $1,000.00 | $891.56 | $3.96 |
Hypothetical (h) | 0.83% | $1,000.00 | $1021.02 | $4.23 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – 98.5% | ||||
Aerospace & Defense – 2.3% | ||||
CACI International, Inc., “A” (a) | 145,425 | $40,845,520 | ||
KBR, Inc. | 915,414 | 44,214,496 | ||
$85,060,016 | ||||
Apparel Manufacturers – 2.1% | ||||
PVH Corp. | 553,989 | $31,161,881 | ||
Skechers USA, Inc., “A” (a) | 1,231,640 | 46,555,992 | ||
$77,717,873 | ||||
Automotive – 3.9% | ||||
LKQ Corp. | 1,013,857 | $53,957,470 | ||
Methode Electronics, Inc. | 1,109,642 | 44,896,115 | ||
Stoneridge, Inc. (a) | 633,471 | 12,035,949 | ||
Visteon Corp. (a) | 274,860 | 32,936,474 | ||
$143,826,008 | ||||
Brokerage & Asset Managers – 1.0% | ||||
Focus Financial Partners, “A” (a) | 900,723 | $35,263,305 | ||
Business Services – 2.7% | ||||
HireRight Holdings Corp. (a) | 1,909,653 | $31,050,958 | ||
Paya, Inc. (a) | 6,161,768 | 38,634,285 | ||
TaskUs, Inc., “A” (a) | 677,668 | 10,083,700 | ||
WNS (Holdings) Ltd., ADR (a) | 236,618 | 19,935,066 | ||
$99,704,009 | ||||
Chemicals – 1.1% | ||||
Element Solutions, Inc. | 2,128,539 | $39,739,823 | ||
Computer Software – 1.6% | ||||
ACI Worldwide, Inc. (a) | 1,199,024 | $28,416,869 | ||
Everbridge, Inc. (a) | 445,179 | 17,709,220 | ||
Sabre Corp. (a) | 1,994,626 | 14,341,361 | ||
$60,467,450 | ||||
Computer Software - Systems – 1.5% | ||||
Softchoice Corp. (l) | 1,818,140 | $25,430,565 | ||
Verint Systems, Inc. (a) | 625,584 | 30,334,568 | ||
$55,765,133 | ||||
Construction – 0.8% | ||||
Toll Brothers, Inc. | 675,397 | $29,575,635 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Consumer Products – 2.5% | ||||
Energizer Holdings, Inc. | 606,883 | $17,053,412 | ||
Newell Brands, Inc. | 1,614,223 | 28,813,881 | ||
Prestige Consumer Healthcare, Inc. (a) | 894,125 | 45,224,842 | ||
$91,092,135 | ||||
Consumer Services – 1.0% | ||||
Bright Horizons Family Solutions, Inc. (a) | 262,560 | $17,906,592 | ||
Grand Canyon Education, Inc. (a) | 255,177 | 20,766,304 | ||
$38,672,896 | ||||
Containers – 5.2% | ||||
Ardagh Metal Packaging S.A. | 4,607,342 | $28,335,153 | ||
Berry Global, Inc. (a) | 890,366 | 48,373,585 | ||
Graphic Packaging Holding Co. | 2,064,744 | 45,981,849 | ||
Pactiv Evergreen, Inc. | 1,828,585 | 20,297,293 | ||
Silgan Holdings, Inc. | 1,028,212 | 46,835,057 | ||
$189,822,937 | ||||
Electrical Equipment – 2.7% | ||||
nVent Electric PLC | 894,946 | $29,497,420 | ||
TriMas Corp. | 1,337,927 | 36,819,751 | ||
Vertiv Holdings Co. | 2,755,412 | 31,769,901 | ||
$98,087,072 | ||||
Electronics – 2.2% | ||||
Cohu, Inc. (a) | 1,347,733 | $36,159,676 | ||
Plexus Corp. (a) | 484,881 | 45,447,896 | ||
$81,607,572 | ||||
Energy - Independent – 3.0% | ||||
CNX Resources Corp. (a) | 2,346,219 | $41,457,690 | ||
Magnolia Oil & Gas Corp., “A” | 1,251,775 | 29,879,869 | ||
Viper Energy Partners LP | 1,260,771 | 38,478,731 | ||
$109,816,290 | ||||
Food & Beverages – 2.1% | ||||
Hostess Brands, Inc. (a) | 1,497,893 | $34,721,160 | ||
Nomad Foods Ltd. (a) | 2,384,577 | 42,183,167 | ||
$76,904,327 | ||||
Furniture & Appliances – 0.5% | ||||
IMAX Corp. (a) | 1,291,475 | $20,250,328 | ||
Gaming & Lodging – 1.4% | ||||
International Game Technology PLC | 2,858,821 | $51,287,249 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
General Merchandise – 0.7% | ||||
Five Below, Inc. (a) | 207,333 | $26,513,744 | ||
Insurance – 3.6% | ||||
CNO Financial Group, Inc. | 1,573,837 | $28,974,339 | ||
Everest Re Group Ltd. | 128,279 | 34,513,465 | ||
Hanover Insurance Group, Inc. | 231,478 | 29,950,938 | ||
Selective Insurance Group, Inc. | 482,432 | 38,314,750 | ||
$131,753,492 | ||||
Leisure & Toys – 1.0% | ||||
Brunswick Corp. | 297,565 | $22,231,081 | ||
Funko, Inc., “A” (a) | 620,756 | 13,824,236 | ||
$36,055,317 | ||||
Machinery & Tools – 4.5% | ||||
ESAB Corp. | 637,400 | $26,190,766 | ||
Flowserve Corp. | 1,338,412 | 40,781,414 | ||
ITT, Inc. | 220,316 | 15,979,519 | ||
Regal Rexnord Corp. | 314,825 | 43,316,772 | ||
Timken Co. | 604,231 | 38,060,511 | ||
$164,328,982 | ||||
Medical & Health Technology & Services – 2.8% | ||||
ICON PLC (a) | 136,248 | $28,588,918 | ||
Premier, Inc., “A” | 1,018,212 | 35,881,791 | ||
Syneos Health, Inc. (a) | 655,362 | 39,393,810 | ||
$103,864,519 | ||||
Medical Equipment – 2.5% | ||||
Agiliti Health, Inc. (a) | 1,190,723 | $19,123,011 | ||
Envista Holdings Corp. (a) | 913,468 | 33,880,528 | ||
Maravai Lifesciences Holdings, Inc., “A” (a) | 649,807 | 13,561,472 | ||
Quidel Corp. (a) | 319,965 | 25,360,426 | ||
$91,925,437 | ||||
Metals & Mining – 1.2% | ||||
Arconic Corp. (a) | 1,246,322 | $31,419,778 | ||
Kaiser Aluminum Corp. | 199,085 | 14,286,339 | ||
$45,706,117 | ||||
Natural Gas - Distribution – 2.3% | ||||
New Jersey Resources Corp. | 1,041,898 | $45,989,378 | ||
ONE Gas, Inc. | 504,294 | 39,471,091 | ||
$85,460,469 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Natural Gas - Pipeline – 1.0% | ||||
Plains GP Holdings LP | 3,039,517 | $36,413,414 | ||
Oil Services – 2.7% | ||||
ChampionX Corp. | 2,100,485 | $45,811,578 | ||
Expro Group Holdings N.V. (a) | 2,092,388 | 28,289,086 | ||
Helmerich & Payne | 586,412 | 25,069,113 | ||
$99,169,777 | ||||
Other Banks & Diversified Financials – 19.3% | ||||
Air Lease Corp. | 1,024,994 | $37,268,782 | ||
Bank of Hawaii Corp. | 610,936 | 47,665,227 | ||
Brookline Bancorp, Inc. | 2,517,136 | 31,388,686 | ||
Cathay General Bancorp, Inc. | 1,372,980 | 57,582,781 | ||
East West Bancorp, Inc. | 515,039 | 37,170,365 | ||
Element Fleet Management Corp. | 3,123,417 | 39,335,529 | ||
First Hawaiian, Inc. | 1,471,039 | 37,820,413 | ||
First Interstate BancSystem, Inc. | 1,085,274 | 43,693,131 | ||
Hanmi Financial Corp. | 1,249,410 | 30,885,415 | ||
Prosperity Bancshares, Inc. | 844,811 | 59,880,204 | ||
Sandy Spring Bancorp, Inc. | 640,321 | 24,665,165 | ||
SLM Corp. | 2,844,868 | 43,469,583 | ||
Texas Capital Bancshares, Inc. (a) | 463,220 | 27,343,877 | ||
Textainer Group Holdings Ltd. | 795,146 | 24,156,535 | ||
UMB Financial Corp. | 516,882 | 46,245,432 | ||
Umpqua Holdings Corp. | 3,552,982 | 63,029,901 | ||
Wintrust Financial Corp. | 252,735 | 21,315,670 | ||
Zions Bancorp NA | 657,748 | 36,195,872 | ||
$709,112,568 | ||||
Pharmaceuticals – 0.5% | ||||
Organon & Co. | 688,841 | $19,652,634 | ||
Real Estate – 6.9% | ||||
Brixmor Property Group, Inc., REIT | 887,340 | $19,060,063 | ||
Broadstone Net Lease, Inc., REIT | 2,131,686 | 40,800,470 | ||
Douglas Emmett, Inc., REIT | 560,768 | 10,946,191 | ||
Empire State Realty Trust, REIT, “A” | 3,643,586 | 25,395,794 | ||
Industrial Logistics Properties Trust, REIT | 938,549 | 7,029,732 | ||
Life Storage, Inc., REIT | 138,067 | 17,569,026 | ||
LXP Industrial Trust, REIT | 1,638,592 | 16,484,236 | ||
National Storage Affiliates Trust, REIT | 547,184 | 27,643,736 | ||
Phillips Edison & Co., REIT | 1,418,841 | 46,353,536 | ||
Two Harbors Investment Corp., REIT | 8,508,384 | 41,265,662 | ||
$252,548,446 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Restaurants – 0.9% | ||||
Jack in the Box, Inc. | 420,724 | $33,599,019 | ||
Specialty Chemicals – 3.8% | ||||
Avient Corp. | 830,541 | $36,402,612 | ||
Axalta Coating Systems Ltd. (a) | 1,235,620 | 31,817,215 | ||
Diversey Holdings Ltd. (a) | 6,392,572 | 39,186,466 | ||
Quaker Chemical Corp. | 123,134 | 21,464,719 | ||
Univar Solutions, Inc. (a) | 417,850 | 10,538,177 | ||
$139,409,189 | ||||
Specialty Stores – 2.5% | ||||
Monro Muffler Brake, Inc. | 501,419 | $23,220,714 | ||
Urban Outfitters, Inc. (a) | 2,096,104 | 42,194,574 | ||
Zumiez, Inc. (a)(h) | 1,034,364 | 26,852,089 | ||
$92,267,377 | ||||
Trucking – 1.6% | ||||
Schneider National, Inc. | 1,131,810 | $25,873,176 | ||
XPO Logistics, Inc. (a) | 642,921 | 33,701,919 | ||
$59,575,095 | ||||
Utilities - Electric Power – 3.1% | ||||
Black Hills Corp. | 847,525 | $63,971,187 | ||
Portland General Electric Co. | 944,763 | 48,815,904 | ||
$112,787,091 | ||||
Total Common Stocks (Identified Cost, $3,199,377,444) | $3,624,802,745 | |||
Investment Companies (h) – 1.2% | ||||
Money Market Funds – 1.2% | ||||
MFS Institutional Money Market Portfolio, 2.21% (v) (Identified Cost, $45,299,232) | 45,298,996 | $45,298,996 | ||
Collateral for Securities Loaned – 0.0% | ||||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.34% (j) (Identified Cost, $427,033) | 427,033 | $427,033 | ||
Other Assets, Less Liabilities – 0.3% | 10,610,046 | |||
Net Assets – 100.0% | $3,681,138,820 |
(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 $72,151,085 and $3,598,377,689, respectively. |
(j) | The rate quoted is the annualized seven-day yield of the fund at period end. | |||
(l) | A portion of this security is on loan. See Note 2 for additional information. | |||
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
The following abbreviations are used in this report and are defined: | |
ADR | American Depositary Receipt |
REIT | Real Estate Investment Trust |
Assets | |
Investments in unaffiliated issuers, at value, including $408,146 of securities on loan (identified cost, $3,180,237,249) | $3,598,377,689 |
Investments in affiliated issuers, at value (identified cost, $64,866,460) | 72,151,085 |
Receivables for | |
Investments sold | 7,078,133 |
Fund shares sold | 10,023,538 |
Interest and dividends | 5,280,476 |
Other assets | 74,759 |
Total assets | $3,692,985,680 |
Liabilities | |
Payables for | |
Investments purchased | $7,403,576 |
Fund shares reacquired | 2,862,842 |
Collateral for securities loaned, at value | 427,033 |
Payable to affiliates | |
Investment adviser | 162,881 |
Administrative services fee | 3,689 |
Shareholder servicing costs | 729,080 |
Distribution and service fees | 7,588 |
Accrued expenses and other liabilities | 250,171 |
Total liabilities | $11,846,860 |
Net assets | $3,681,138,820 |
Net assets consist of | |
Paid-in capital | $3,142,655,246 |
Total distributable earnings (loss) | 538,483,574 |
Net assets | $3,681,138,820 |
Shares of beneficial interest outstanding | 211,969,843 |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $300,984,290 | 17,508,029 | $17.19 |
Class B | 4,547,940 | 283,705 | 16.03 |
Class C | 30,292,853 | 1,901,442 | 15.93 |
Class I | 1,535,895,791 | 88,417,431 | 17.37 |
Class R1 | 2,091,353 | 130,443 | 16.03 |
Class R2 | 5,705,393 | 335,536 | 17.00 |
Class R3 | 87,052,192 | 5,051,604 | 17.23 |
Class R4 | 73,641,760 | 4,232,392 | 17.40 |
Class R6 | 1,640,927,248 | 94,109,261 | 17.44 |
(a) | Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $18.24 [100 / 94.25 x $17.19]. On sales of $50,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A, Class B, and Class C shares. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R6. |
Net investment income (loss) | |
Income | |
Dividends | $41,299,852 |
Dividends from affiliated issuers | 209,070 |
Other | 155,889 |
Income on securities loaned | 25,117 |
Foreign taxes withheld | (253,710) |
Total investment income | $41,436,218 |
Expenses | |
Management fee | $16,135,470 |
Distribution and service fees | 745,287 |
Shareholder servicing costs | 1,222,672 |
Administrative services fee | 335,066 |
Independent Trustees' compensation | 30,973 |
Custodian fee | 62,989 |
Shareholder communications | 135,423 |
Audit and tax fees | 31,177 |
Legal fees | 9,288 |
Miscellaneous | 126,161 |
Total expenses | $18,834,506 |
Reduction of expenses by investment adviser and distributor | (283,803) |
Net expenses | $18,550,703 |
Net investment income (loss) | $22,885,515 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $138,242,964 |
Affiliated issuers | (437,849) |
Foreign currency | 1,539 |
Net realized gain (loss) | $137,806,654 |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $(606,724,439) |
Affiliated issuers | (18,414,053) |
Translation of assets and liabilities in foreign currencies | 337 |
Net unrealized gain (loss) | $(625,138,155) |
Net realized and unrealized gain (loss) | $(487,331,501) |
Change in net assets from operations | $(464,445,986) |
Six months ended | Year ended | |
8/31/22 (unaudited) | 2/28/22 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $22,885,515 | $20,645,545 |
Net realized gain (loss) | 137,806,654 | 515,912,927 |
Net unrealized gain (loss) | (625,138,155) | 147,863,386 |
Change in net assets from operations | $(464,445,986) | $684,421,858 |
Total distributions to shareholders | $(141,792,600) | $(372,836,514) |
Change in net assets from fund share transactions | $(4,847,261) | $249,455,580 |
Total change in net assets | $(611,085,847) | $561,040,924 |
Net assets | ||
At beginning of period | 4,292,224,667 | 3,731,183,743 |
At end of period | $3,681,138,820 | $4,292,224,667 |
Class A | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $20.03 | $18.53 | $14.12 | $15.16 | $14.92 | $14.99 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.08 | $0.05 | $0.07 | $0.10 | $0.05 | $0.02 |
Net realized and unrealized gain (loss) | (2.26) | 3.32 | 4.66 | (0.38) | 1.21 | 0.72 |
Total from investment operations | $(2.18) | $3.37 | $4.73 | $(0.28) | $1.26 | $0.74 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.07) | $(0.15) | $— | $(0.10) | $(0.04) | $(0.00)(w) |
From net realized gain | (0.59) | (1.72) | (0.32) | (0.66) | (0.98) | (0.81) |
Total distributions declared to shareholders | $(0.66) | $(1.87) | $(0.32) | $(0.76) | $(1.02) | $(0.81) |
Net asset value, end of period (x) | $17.19 | $20.03 | $18.53 | $14.12 | $15.16 | $14.92 |
Total return (%) (r)(s)(t)(x) | (11.00)(n) | 18.34 | 34.47 | (2.41) | 8.90 | 4.98 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 1.20(a) | 1.19 | 1.23 | 1.23 | 1.29 | 1.33 |
Expenses after expense reductions | 1.19(a) | 1.18 | 1.22 | 1.22 | 1.28 | 1.32 |
Net investment income (loss) | 0.89(a) | 0.25 | 0.53 | 0.64 | 0.31 | 0.12 |
Portfolio turnover | 15(n) | 44 | 48 | 44 | 57 | 60 |
Net assets at end of period (000 omitted) | $300,984 | $361,165 | $333,743 | $331,255 | $318,067 | $250,525 |
Class B | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $18.77 | $17.54 | $13.48 | $14.52 | $14.40 | $14.60 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.01 | $(0.09) | $(0.03) | $(0.02) | $(0.07) | $(0.09) |
Net realized and unrealized gain (loss) | (2.11) | 3.13 | 4.41 | (0.36) | 1.17 | 0.70 |
Total from investment operations | $(2.10) | $3.04 | $4.38 | $(0.38) | $1.10 | $0.61 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.05) | $(0.09) | $— | $— | $— | $— |
From net realized gain | (0.59) | (1.72) | (0.32) | (0.66) | (0.98) | (0.81) |
Total distributions declared to shareholders | $(0.64) | $(1.81) | $(0.32) | $(0.66) | $(0.98) | $(0.81) |
Net asset value, end of period (x) | $16.03 | $18.77 | $17.54 | $13.48 | $14.52 | $14.40 |
Total return (%) (r)(s)(t)(x) | (11.34)(n) | 17.45 | 33.50 | (3.11) | 8.05 | 4.21 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 1.95(a) | 1.94 | 1.98 | 1.98 | 2.04 | 2.08 |
Expenses after expense reductions | 1.94(a) | 1.93 | 1.97 | 1.97 | 2.03 | 2.07 |
Net investment income (loss) | 0.14(a) | (0.49) | (0.21) | (0.12) | (0.48) | (0.63) |
Portfolio turnover | 15(n) | 44 | 48 | 44 | 57 | 60 |
Net assets at end of period (000 omitted) | $4,548 | $6,016 | $6,032 | $6,207 | $7,198 | $6,329 |
Class C | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $18.66 | $17.45 | $13.41 | $14.45 | $14.33 | $14.54 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.01 | $(0.09) | $(0.03) | $(0.02) | $(0.08) | $(0.09) |
Net realized and unrealized gain (loss) | (2.10) | 3.11 | 4.39 | (0.36) | 1.18 | 0.69 |
Total from investment operations | $(2.09) | $3.02 | $4.36 | $(0.38) | $1.10 | $0.60 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.05) | $(0.09) | $— | $— | $— | $— |
From net realized gain | (0.59) | (1.72) | (0.32) | (0.66) | (0.98) | (0.81) |
Total distributions declared to shareholders | $(0.64) | $(1.81) | $(0.32) | $(0.66) | $(0.98) | $(0.81) |
Net asset value, end of period (x) | $15.93 | $18.66 | $17.45 | $13.41 | $14.45 | $14.33 |
Total return (%) (r)(s)(t)(x) | (11.34)(n) | 17.42 | 33.52 | (3.12) | 8.09 | 4.15 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 1.95(a) | 1.94 | 1.98 | 1.98 | 2.04 | 2.08 |
Expenses after expense reductions | 1.94(a) | 1.93 | 1.97 | 1.97 | 2.03 | 2.07 |
Net investment income (loss) | 0.14(a) | (0.48) | (0.21) | (0.11) | (0.56) | (0.64) |
Portfolio turnover | 15(n) | 44 | 48 | 44 | 57 | 60 |
Net assets at end of period (000 omitted) | $30,293 | $37,588 | $39,061 | $38,477 | $41,046 | $52,616 |
Class I | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $20.22 | $18.69 | $14.21 | $15.25 | $15.00 | $15.06 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.11 | $0.10 | $0.11 | $0.14 | $0.12 | $0.06 |
Net realized and unrealized gain (loss) | (2.29) | 3.35 | 4.70 | (0.39) | 1.19 | 0.73 |
Total from investment operations | $(2.18) | $3.45 | $4.81 | $(0.25) | $1.31 | $0.79 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.08) | $(0.20) | $(0.01) | $(0.13) | $(0.08) | $(0.04) |
From net realized gain | (0.59) | (1.72) | (0.32) | (0.66) | (0.98) | (0.81) |
Total distributions declared to shareholders | $(0.67) | $(1.92) | $(0.33) | $(0.79) | $(1.06) | $(0.85) |
Net asset value, end of period (x) | $17.37 | $20.22 | $18.69 | $14.21 | $15.25 | $15.00 |
Total return (%) (r)(s)(t)(x) | (10.90)(n) | 18.64 | 34.82 | (2.17) | 9.19 | 5.26 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 0.95(a) | 0.94 | 0.98 | 0.98 | 1.04 | 1.08 |
Expenses after expense reductions | 0.93(a) | 0.93 | 0.97 | 0.97 | 1.03 | 1.07 |
Net investment income (loss) | 1.14(a) | 0.46 | 0.78 | 0.89 | 0.77 | 0.37 |
Portfolio turnover | 15(n) | 44 | 48 | 44 | 57 | 60 |
Net assets at end of period (000 omitted) | $1,535,896 | $1,795,671 | $1,430,510 | $1,119,891 | $917,167 | $351,939 |
Class R1 | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $18.78 | $17.55 | $13.49 | $14.53 | $14.41 | $14.61 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.01 | $(0.10) | $(0.03) | $(0.02) | $(0.06) | $(0.09) |
Net realized and unrealized gain (loss) | (2.12) | 3.14 | 4.41 | (0.36) | 1.16 | 0.70 |
Total from investment operations | $(2.11) | $3.04 | $4.38 | $(0.38) | $1.10 | $0.61 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.05) | $(0.09) | $— | $(0.00)(w) | $— | $— |
From net realized gain | (0.59) | (1.72) | (0.32) | (0.66) | (0.98) | (0.81) |
Total distributions declared to shareholders | $(0.64) | $(1.81) | $(0.32) | $(0.66) | $(0.98) | $(0.81) |
Net asset value, end of period (x) | $16.03 | $18.78 | $17.55 | $13.49 | $14.53 | $14.41 |
Total return (%) (r)(s)(t)(x) | (11.38)(n) | 17.45 | 33.47 | (3.08) | 8.04 | 4.20 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 1.95(a) | 1.94 | 1.98 | 1.98 | 2.04 | 2.08 |
Expenses after expense reductions | 1.93(a) | 1.93 | 1.96 | 1.97 | 2.03 | 2.07 |
Net investment income (loss) | 0.14(a) | (0.51) | (0.22) | (0.11) | (0.42) | (0.64) |
Portfolio turnover | 15(n) | 44 | 48 | 44 | 57 | 60 |
Net assets at end of period (000 omitted) | $2,091 | $2,224 | $2,320 | $1,453 | $1,581 | $1,228 |
Class R2 | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $19.84 | $18.38 | $14.04 | $15.09 | $14.87 | $14.97 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.06 | $0.01 | $0.04 | $0.06 | $0.02 | $(0.02) |
Net realized and unrealized gain (loss) | (2.24) | 3.28 | 4.62 | (0.38) | 1.19 | 0.73 |
Total from investment operations | $(2.18) | $3.29 | $4.66 | $(0.32) | $1.21 | $0.71 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.07) | $(0.11) | $— | $(0.07) | $(0.01) | $— |
From net realized gain | (0.59) | (1.72) | (0.32) | (0.66) | (0.98) | (0.81) |
Total distributions declared to shareholders | $(0.66) | $(1.83) | $(0.32) | $(0.73) | $(0.99) | $(0.81) |
Net asset value, end of period (x) | $17.00 | $19.84 | $18.38 | $14.04 | $15.09 | $14.87 |
Total return (%) (r)(s)(t)(x) | (11.13)(n) | 18.02 | 34.16 | (2.64) | 8.59 | 4.78 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 1.45(a) | 1.44 | 1.48 | 1.47 | 1.54 | 1.58 |
Expenses after expense reductions | 1.44(a) | 1.43 | 1.47 | 1.47 | 1.53 | 1.57 |
Net investment income (loss) | 0.64(a) | 0.05 | 0.29 | 0.40 | 0.16 | (0.13) |
Portfolio turnover | 15(n) | 44 | 48 | 44 | 57 | 60 |
Net assets at end of period (000 omitted) | $5,705 | $6,251 | $4,779 | $5,054 | $3,719 | $2,349 |
Class R3 | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $20.08 | $18.57 | $14.15 | $15.20 | $14.96 | $15.03 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.08 | $0.05 | $0.07 | $0.10 | $0.06 | $0.02 |
Net realized and unrealized gain (loss) | (2.27) | 3.33 | 4.67 | (0.38) | 1.20 | 0.73 |
Total from investment operations | $(2.19) | $3.38 | $4.74 | $(0.28) | $1.26 | $0.75 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.07) | $(0.15) | $(0.00)(w) | $(0.11) | $(0.04) | $(0.01) |
From net realized gain | (0.59) | (1.72) | (0.32) | (0.66) | (0.98) | (0.81) |
Total distributions declared to shareholders | $(0.66) | $(1.87) | $(0.32) | $(0.77) | $(1.02) | $(0.82) |
Net asset value, end of period (x) | $17.23 | $20.08 | $18.57 | $14.15 | $15.20 | $14.96 |
Total return (%) (r)(s)(t)(x) | (11.02)(n) | 18.36 | 34.47 | (2.41) | 8.88 | 5.04 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 1.20(a) | 1.19 | 1.23 | 1.22 | 1.29 | 1.33 |
Expenses after expense reductions | 1.19(a) | 1.18 | 1.22 | 1.21 | 1.28 | 1.32 |
Net investment income (loss) | 0.89(a) | 0.24 | 0.53 | 0.64 | 0.40 | 0.11 |
Portfolio turnover | 15(n) | 44 | 48 | 44 | 57 | 60 |
Net assets at end of period (000 omitted) | $87,052 | $104,164 | $88,963 | $76,069 | $45,355 | $26,095 |
Class R4 | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $20.25 | $18.72 | $14.23 | $15.27 | $15.02 | $15.08 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.11 | $0.09 | $0.11 | $0.14 | $0.10 | $0.06 |
Net realized and unrealized gain (loss) | (2.29) | 3.36 | 4.71 | (0.38) | 1.21 | 0.73 |
Total from investment operations | $(2.18) | $3.45 | $4.82 | $(0.24) | $1.31 | $0.79 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.08) | $(0.20) | $(0.01) | $(0.14) | $(0.08) | $(0.04) |
From net realized gain | (0.59) | (1.72) | (0.32) | (0.66) | (0.98) | (0.81) |
Total distributions declared to shareholders | $(0.67) | $(1.92) | $(0.33) | $(0.80) | $(1.06) | $(0.85) |
Net asset value, end of period (x) | $17.40 | $20.25 | $18.72 | $14.23 | $15.27 | $15.02 |
Total return (%) (r)(s)(t)(x) | (10.89)(n) | 18.60 | 34.84 | (2.16) | 9.19 | 5.28 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 0.95(a) | 0.94 | 0.98 | 0.98 | 1.03 | 1.08 |
Expenses after expense reductions | 0.93(a) | 0.93 | 0.97 | 0.97 | 1.03 | 1.07 |
Net investment income (loss) | 1.13(a) | 0.45 | 0.78 | 0.89 | 0.66 | 0.36 |
Portfolio turnover | 15(n) | 44 | 48 | 44 | 57 | 60 |
Net assets at end of period (000 omitted) | $73,642 | $103,464 | $104,206 | $82,613 | $71,765 | $5,469 |
Class R6 | Six months ended | Year ended | ||||
8/31/22 (unaudited) | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | 2/28/18 | |
Net asset value, beginning of period | $20.29 | $18.75 | $14.24 | $15.27 | $15.02 | $15.08 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.12 | $0.13 | $0.13 | $0.16 | $0.12 | $0.07 |
Net realized and unrealized gain (loss) | (2.29) | 3.35 | 4.71 | (0.38) | 1.20 | 0.73 |
Total from investment operations | $(2.17) | $3.48 | $4.84 | $(0.22) | $1.32 | $0.80 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.09) | $(0.22) | $(0.01) | $(0.15) | $(0.09) | $(0.05) |
From net realized gain | (0.59) | (1.72) | (0.32) | (0.66) | (0.98) | (0.81) |
Total distributions declared to shareholders | $(0.68) | $(1.94) | $(0.33) | $(0.81) | $(1.07) | $(0.86) |
Net asset value, end of period (x) | $17.44 | $20.29 | $18.75 | $14.24 | $15.27 | $15.02 |
Total return (%) (r)(s)(t)(x) | (10.84)(n) | 18.75 | 34.98 | (2.02) | 9.28 | 5.36 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 0.85(a) | 0.84 | 0.87 | 0.87 | 0.92 | 0.97 |
Expenses after expense reductions | 0.83(a) | 0.83 | 0.86 | 0.86 | 0.92 | 0.96 |
Net investment income (loss) | 1.24(a) | 0.62 | 0.89 | 0.99 | 0.78 | 0.47 |
Portfolio turnover | 15(n) | 44 | 48 | 44 | 57 | 60 |
Net assets at end of period (000 omitted) | $1,640,927 | $1,875,681 | $1,721,570 | $1,303,575 | $938,134 | $599,845 |
(a) | Annualized. |
(d) | Per share data is based on average shares outstanding. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(t) | Total returns do not include any applicable sales charges. |
(w) | Per share amount was less than $0.01. |
(x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Equity Securities | $3,624,802,745 | $— | $— | $3,624,802,745 |
Mutual Funds | 45,726,029 | — | — | 45,726,029 |
Total | $3,670,528,774 | $— | $— | $3,670,528,774 |
Year ended 2/28/22 | |
Ordinary income (including any short-term capital gains) | $165,834,643 |
Long-term capital gains | 207,001,871 |
Total distributions | $372,836,514 |
As of 8/31/22 | |
Cost of investments | $3,292,706,236 |
Gross appreciation | 644,526,232 |
Gross depreciation | (266,703,694) |
Net unrealized appreciation (depreciation) | $377,822,538 |
As of 2/28/22 | |
Undistributed ordinary income | 55,369,411 |
Undistributed long-term capital gain | 86,391,719 |
Net unrealized appreciation (depreciation) | 1,002,961,030 |
Six months ended 8/31/22 | Year ended 2/28/22 | ||
Class A | $11,382,690 | $31,886,235 | |
Class B | 179,406 | 572,192 | |
Class C | 1,190,209 | 3,520,445 | |
Class I | 60,491,710 | 151,035,934 | |
Class R1 | 77,454 | 226,208 | |
Class R2 | 215,468 | 501,000 | |
Class R3 | 3,264,962 | 8,905,282 | |
Class R4 | 2,793,842 | 8,957,807 | |
Class R6 | 62,196,859 | 167,231,411 | |
Total | $141,792,600 | $372,836,514 |
Up to $1 billion | 0.90% |
In excess of $1 billion and up to $2.5 billion | 0.80% |
In excess of $2.5 billion and up to $5 billion | 0.75% |
In excess of $5 billion | 0.70% |
Classes | ||||||||
A | B | C | I | R1 | R2 | R3 | R4 | R6 |
1.39% | 2.14% | 2.14% | 1.14% | 2.14% | 1.64% | 1.39% | 1.14% | 1.10% |
Classes | ||||||||
A | B | C | I | R1 | R2 | R3 | R4 | R6 |
1.39% | 2.14% | 2.14% | 1.14% | 2.14% | 1.64% | 1.39% | 1.14% | 1.07% |
Distribution Fee Rate (d) | Service Fee Rate (d) | Total Distribution Plan (d) | Annual Effective Rate (e) | Distribution and Service Fee | |
Class A | — | 0.25% | 0.25% | 0.25% | $ 407,477 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 25,943 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 167,778 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 10,364 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 15,056 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 118,669 |
Total Distribution and Service Fees | $745,287 |
(d) | In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’s average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below. |
(e) | The annual effective rates represent actual fees incurred under the distribution plan for the six months ended August 31, 2022 based on each class's average daily net assets. MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. For the six months ended August 31, 2022, this rebate amounted to $76 and $20 for Class A and Class R1 shares, respectively, and is included in the reduction of total expenses in the Statement of Operations. |
Amount | |
Class A | $49 |
Class B | 4,894 |
Class C | 114 |
Six months ended 8/31/22 | Year ended 2/28/22 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 429,364 | $7,962,377 | 1,098,623 | $22,440,858 | |
Class B | 657 | 11,364 | 4,693 | 88,671 | |
Class C | 24,658 | 424,468 | 73,653 | 1,430,370 | |
Class I | 14,152,242 | 264,294,240 | 23,172,755 | 478,577,848 | |
Class R1 | 21,274 | 374,251 | 44,355 | 850,624 | |
Class R2 | 30,091 | 553,400 | 150,541 | 3,094,638 | |
Class R3 | 507,318 | 9,515,285 | 1,796,008 | 37,157,318 | |
Class R4 | 401,503 | 7,550,647 | 1,451,743 | 30,146,067 | |
Class R6 | 6,961,701 | 131,801,114 | 19,041,746 | 396,650,999 | |
22,528,808 | $422,487,146 | 46,834,117 | $970,437,393 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 630,742 | $11,372,283 | 1,604,212 | $31,851,630 | |
Class B | 10,590 | 178,123 | 30,529 | 568,762 | |
Class C | 71,185 | 1,190,209 | 190,074 | 3,520,261 | |
Class I | 3,273,823 | 59,616,308 | 7,437,596 | 148,948,456 | |
Class R1 | 4,605 | 77,454 | 12,144 | 226,208 | |
Class R2 | 12,084 | 215,468 | 25,476 | 501,000 | |
Class R3 | 180,684 | 3,264,962 | 447,641 | 8,905,282 | |
Class R4 | 153,171 | 2,793,842 | 446,689 | 8,957,807 | |
Class R6 | 3,035,426 | 55,487,582 | 7,443,689 | 149,542,988 | |
7,372,310 | $134,196,231 | 17,638,050 | $353,022,394 | ||
Shares reacquired | |||||
Class A | (1,578,771) | $(29,632,822) | (2,683,483) | $(54,860,923) | |
Class B | (48,026) | (836,518) | (58,640) | (1,130,466) | |
Class C | (208,474) | (3,569,940) | (488,417) | (9,439,974) | |
Class I | (17,809,999) | (328,426,920) | (18,342,265) | (381,438,542) | |
Class R1 | (13,875) | (250,561) | (70,268) | (1,327,926) | |
Class R2 | (21,674) | (382,948) | (121,020) | (2,477,181) | |
Class R3 | (823,460) | (15,213,994) | (1,846,089) | (37,845,051) | |
Class R4 | (1,430,969) | (26,399,045) | (2,357,189) | (49,091,085) | |
Class R6 | (8,339,672) | (156,817,890) | (25,868,519) | (536,393,059) | |
(30,274,920) | $(561,530,638) | (51,835,890) | $(1,074,004,207) |
Six months ended 8/31/22 | Year ended 2/28/22 | ||||
Shares | Amount | Shares | Amount | ||
Net change | |||||
Class A | (518,665) | $(10,298,162) | 19,352 | $(568,435) | |
Class B | (36,779) | (647,031) | (23,418) | (473,033) | |
Class C | (112,631) | (1,955,263) | (224,690) | (4,489,343) | |
Class I | (383,934) | (4,516,372) | 12,268,086 | 246,087,762 | |
Class R1 | 12,004 | 201,144 | (13,769) | (251,094) | |
Class R2 | 20,501 | 385,920 | 54,997 | 1,118,457 | |
Class R3 | (135,458) | (2,433,747) | 397,560 | 8,217,549 | |
Class R4 | (876,295) | (16,054,556) | (458,757) | (9,987,211) | |
Class R6 | 1,657,455 | 30,470,806 | 616,916 | 9,800,928 | |
(373,802) | $(4,847,261) | 12,636,277 | $249,455,580 |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $17,782,312 | $364,148,803 | $336,633,965 | $2,082 | $(236) | $45,298,996 |
Zumiez, Inc. | 44,592,594 | 1,824,624 | 711,381 | (439,931) | (18,413,817) | 26,852,089 |
$62,374,906 | $365,973,427 | $337,345,346 | $(437,849) | $(18,414,053) | $72,151,085 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $209,070 | $— |
Zumiez, Inc. | — | — |
$209,070 | $— |
Item 1(b):
Not applicable
ITEM 2. CODE OF ETHICS.
During the period covered by this report, the Registrant has not amended any provision in its Code of Ethics (the "Code") that relates to an element of the Code's definition enumerated in paragraph (b) of Item 2 of this Form N-CSR. During the period covered by this report, the Registrant did not grant a waiver, including an implicit waiver, from any provision of the Code.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to the Registrant.
ITEM 6. INVESTMENTS
A schedule of investments for each series of the Registrant is included as part of the report to shareholders of such series under Item 1(a) of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the Registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrant's Board since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a)Based upon their evaluation of the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) as conducted within 90 days of the filing date of this report on Form N-CSR, the registrant's principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms.
(b)There were no changes in the registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by the report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 13. EXHIBITS.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. Not applicable.
(2)A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto as EX-99.302CERT.
(3)Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable.
(4)Change in the registrant's independent public accountant. Not applicable.
(b)If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed "filed" for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Attached hereto as EX-99.906CERT.
Notice
A copy of the Amended and Restated Declaration of Trust, as amended, of the Registrant is on file with the Secretary of State of The Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) MFS SERIES TRUST XIII
By (Signature and Title)* | /S/ DAVID L. DILORENZO |
| David L. DiLorenzo, President |
Date: October 17, 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: October 17, 2022 |
|
|
|
By (Signature and Title)* |
| /S/ JAMES O. YOST |
|
|
| James O. Yost, Treasurer (Principal Financial Officer and | |
|
| Accounting Officer) | |
Date: October 17, 2022 |
|
|
|
* Print name and title of each signing officer under his or her signature.