UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-03327
MFS SERIES TRUST XIII
(Exact name of registrant as specified in charter)
111 Huntington Avenue, Boston, Massachusetts 02199 (Address of principal executive offices) (Zip code)
Christopher R. Bohane
Massachusetts Financial Services Company
111Huntington Avenue Boston, Massachusetts 02199
(Name and address of agents for service)
Registrant's telephone number, including area code: (617) 954-5000
Date of fiscal year end: February 29*
Date of reporting period: August 31, 2023
*This Form N-CSR pertains to the following series of the Registrant: MFS Diversified Income Fund, MFS Government Securities Fund and MFS New Discovery Value Fund. The remaining series of the Registrant has a fiscal year end other than February 29.
ITEM 1. REPORTS TO STOCKHOLDERS.
Item 1(a):
Income Fund
Income Fund
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back cover |
U.S. Treasury Note 10 yr Future - DEC 2023 | 3.0% |
Prologis, Inc., REIT | 1.3% |
Equinix, Inc., REIT | 1.2% |
UMBS, TBA, 2.0%, 30 year (h) | 1.0% |
UMBS, TBA, 2.5%, 30 year (h) | 0.8% |
U.S. Treasury Notes, 2.25%, 3/31/2024 | 0.7% |
AvalonBay Communities, Inc., REIT | 0.7% |
Essex Property Trust, Inc., REIT | 0.6% |
NNN REIT, Inc. | 0.6% |
U.S. Treasury Ultra Note Future - DEC 2023 | (0.9)% |
Real Estate | 11.2% |
Health Care | 4.0% |
Consumer Staples | 3.0% |
Financials | 3.0% |
Energy | 1.7% |
Information Technology | 1.5% |
Materials | 1.4% |
Communication Services | 1.4% |
Industrials | 1.2% |
Consumer Discretionary | 1.0% |
Utilities | 0.7% |
Equity Warrants (o) | 0.0% |
Index Options | (0.1)% |
High Yield Corporates | 21.5% |
Investment Grade Corporates | 15.1% |
Emerging Markets Bonds | 14.1% |
U.S. Treasury Securities | 9.6% |
Mortgage-Backed Securities | 7.9% |
Asset-Backed Securities | 0.5% |
Commercial Mortgage-Backed Securities | 0.5% |
Collateralized Debt Obligations | 0.4% |
Non-U.S. Government Bonds | 0.3% |
Municipal Bonds | 0.2% |
U.S. Government Agencies (o) | 0.0% |
AAA | 1.2% |
AA | 1.6% |
A | 6.9% |
BBB | 12.5% |
BB | 14.1% |
B | 12.1% |
CCC | 3.5% |
CC | 0.1% |
C (o) | 0.0% |
D | 0.2% |
U.S. Governments | 6.0% |
Federal Agency | 8.0% |
Not Rated | 3.9% |
Non-Fixed Income | 30.0% |
Cash & Cash Equivalents | 3.3% |
Other | (3.4)% |
United States | 69.3% |
Canada | 2.8% |
United Kingdom | 2.5% |
Japan | 1.5% |
France | 1.3% |
Mexico | 1.3% |
Switzerland | 1.1% |
China | 1.1% |
Brazil | 0.9% |
Other Countries | 18.2% |
(a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities. |
(g) | The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and S&P Global Market Intelligence Inc. (“S&P Global Market Intelligence”). GICS is a service mark of MSCI and S&P Global Market Intelligence and has been licensed for use by MFS. MFS has applied its own internal sector/industry classification methodology for equity securities and non-equity securities that are unclassified by GICS. |
(h) | UMBS may include both Fannie Mae and Freddie Mac securities. |
(i) | For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
(o) | Less than 0.1%. |
(x) | Represents the portfolio’s exposure to issuer countries as a percentage of a portfolio’s net assets. For purposes of this presentation, United States includes Cash & Cash Equivalents and Other. |
March 1, 2023 through August 31, 2023
Share Class | Annualized Expense Ratio | Beginning Account Value 3/01/23 | Ending Account Value 8/31/23 | Expenses Paid During Period (p) 3/01/23-8/31/23 | |
A | Actual | 0.89% | $1,000.00 | $1,020.41 | $4.52 |
Hypothetical (h) | 0.89% | $1,000.00 | $1,020.66 | $4.52 | |
C | Actual | 1.64% | $1,000.00 | $1,016.61 | $8.31 |
Hypothetical (h) | 1.64% | $1,000.00 | $1,016.89 | $8.31 | |
I | Actual | 0.64% | $1,000.00 | $1,020.80 | $3.25 |
Hypothetical (h) | 0.64% | $1,000.00 | $1,021.92 | $3.25 | |
R1 | Actual | 1.64% | $1,000.00 | $1,016.61 | $8.31 |
Hypothetical (h) | 1.64% | $1,000.00 | $1,016.89 | $8.31 | |
R2 | Actual | 1.14% | $1,000.00 | $1,018.26 | $5.78 |
Hypothetical (h) | 1.14% | $1,000.00 | $1,019.41 | $5.79 | |
R3 | Actual | 0.89% | $1,000.00 | $1,020.41 | $4.52 |
Hypothetical (h) | 0.89% | $1,000.00 | $1,020.66 | $4.52 | |
R4 | Actual | 0.64% | $1,000.00 | $1,021.68 | $3.25 |
Hypothetical (h) | 0.64% | $1,000.00 | $1,021.92 | $3.25 | |
R6 | Actual | 0.55% | $1,000.00 | $1,022.16 | $2.80 |
Hypothetical (h) | 0.55% | $1,000.00 | $1,022.37 | $2.80 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. In addition to the fees and expenses which the fund bears directly, the fund indirectly bears a pro rata share of the fees and expenses of the underlying funds in which the fund invests. If these indirect costs were included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Bonds – 43.5% | ||||
Aerospace & Defense – 0.4% | ||||
Boeing Co., 2.196%, 2/04/2026 | $ | 920,000 | $848,705 | |
Boeing Co., 5.15%, 5/01/2030 | 731,000 | 719,183 | ||
Boeing Co., 5.805%, 5/01/2050 | 2,462,000 | 2,395,245 | ||
General Dynamics Corp., 3.625%, 4/01/2030 | 1,362,000 | 1,267,453 | ||
L3 Harris Technologies, Inc., 5.4%, 1/15/2027 | 1,115,000 | 1,117,708 | ||
L3 Harris Technologies, Inc., 5.4%, 7/31/2033 | 892,000 | 893,499 | ||
RTX Corp., 1.9%, 9/01/2031 | 1,540,000 | 1,205,905 | ||
$8,447,698 | ||||
Apparel Manufacturers – 0.0% | ||||
Tapestry, Inc., 4.125%, 7/15/2027 | $ | 667,000 | $622,418 | |
Tapestry, Inc., 3.05%, 3/15/2032 | 553,000 | 425,402 | ||
$1,047,820 | ||||
Asset-Backed & Securitized – 1.3% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.134%, 11/15/2054 (i) | $ | 6,481,634 | $329,805 | |
ACREC 2021-FL1 Ltd., “A”, FLR, 6.576% ((SOFR - 1mo. + 0.11448%) + 1.15%), 10/16/2036 (n) | 1,062,392 | 1,046,103 | ||
ACREC 2023-FL2 LLC, “A”, FLR, 7.54% (SOFR - 1mo. + 2.23%), 2/19/2038 (n) | 888,988 | 887,052 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “A”, FLR, 6.395% ((SOFR - 1mo. + 0.11448%) + 0.97%), 12/15/2035 (n) | 765,500 | 759,154 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 6.924% ((SOFR - 1mo. + 0.11448%) + 1.5%), 12/15/2035 (n) | 998,500 | 967,673 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL4, “AS”, FLR, 7.125% ((SOFR - 1mo. + 0.11448%) + 1.7%), 11/15/2036 (n) | 484,000 | 474,491 | ||
AREIT 2022-CRE6 Trust, “AS”, FLR, 6.88% (SOFR - 30 day + 1.65%), 1/20/2037 (n) | 946,500 | 923,208 | ||
AREIT 2023-CRE8 Trust LLC, “A”, 7.212% (SOFR - 1mo. + 2.1118%), 2/17/2028 (n) | 481,000 | 478,937 | ||
ARI Fleet Lease Trust, 2023-A, “A2”, 5.41%, 2/17/2032 (n) | 519,273 | 515,160 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.739%, 2/15/2054 (i) | 3,514,679 | 295,739 | ||
BBCMS Mortgage Trust, 2022-C18, “XA”, 0.638%, 12/15/2055 (i) | 4,285,025 | 158,706 | ||
BDS 2021-FL7 Ltd., “B”, FLR, 6.926% ((SOFR - 1mo. + 0.11448%) + 1.5%), 6/16/2036 (n) | 431,500 | 419,551 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.266%, 3/15/2054 (i) | $ | 6,680,861 | $380,557 | |
Benchmark 2021-B26 Mortgage Trust, “XA”, 0.997%, 6/15/2054 (i) | 6,501,744 | 297,107 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.379%, 7/15/2054 (i) | 7,574,406 | 509,238 | ||
Benchmark 2022-B36 Mortgage Trust, “XA”, 0.809%, 7/15/2055 (i) | 6,962,076 | 323,106 | ||
Benchmark 2023-V3 Mortgage Trust, “A3”, 6.363%, 7/15/2056 | 176,194 | 180,631 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 511,114 | 479,259 | ||
CarMax Auto Owner Trust, 2023-2, “A1”, 5.508%, 5/15/2024 | 454,262 | 454,214 | ||
Citigroup Commercial Mortgage Trust, 2019-XA, “C7”, 0.988%, 12/15/2072 (i)(n) | 9,362,046 | 376,701 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.884%, 4/15/2054 (i) | 4,814,068 | 192,311 | ||
Commercial Mortgage Pass-Through Certificates, 2022-BN43, “XA”, 1.069%, 8/15/2055 (i) | 7,965,576 | 473,442 | ||
CPS Auto Trust, 2019-D, “E”, 3.86%, 10/15/2025 (n) | 1,008,000 | 993,121 | ||
Dell Equipment Finance Trust 2023-1, “A2”, 5.65%, 9/22/2028 (n) | 900,000 | 898,156 | ||
DT Auto Owner Trust, 2023-1A, “A”, 5.48%, 4/15/2027 (n) | 424,338 | 422,912 | ||
DT Auto Owner Trust, 2023-2A, “A”, 5.88%, 4/15/2027 (n) | 1,115,920 | 1,114,322 | ||
Exeter Automobile Receivables Trust 23-3A, “A2”, 6.11%, 9/15/2025 | 525,000 | 524,762 | ||
Flagship Credit Auto Trust, 2019-3, “D”, 2.86%, 12/15/2025 (n) | 500,000 | 490,697 | ||
GLS Auto Select Receivables Trust, 2023-1A, “A2”, 6.27%, 8/16/2027 (n) | 726,506 | 725,015 | ||
KREF 2018-FT1 Ltd., “A”, FLR, 6.498% ((SOFR - 1mo. + 0.11448%) + 1.07%), 2/15/2039 (n) | 478,500 | 471,504 | ||
KREF 2018-FT1 Ltd., “AS”, FLR, 6.728% ((SOFR - 1mo. + 0.11448%) + 1.3%), 2/15/2039 (n) | 526,000 | 500,534 | ||
LAD Auto Receivables Trust, 2022-1A, “A”, 5.21%, 6/15/2027 (n) | 273,508 | 270,352 | ||
LAD Auto Receivables Trust, 2023-1A, “A2”, 5.68%, 10/15/2026 (n) | 287,560 | 286,514 | ||
LAD Auto Receivables Trust, 2023-2A, “A2”, 5.93%, 6/15/2027 (n) | 1,401,000 | 1,397,495 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 7.174% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | $ | 750,000 | $730,776 | |
MF1 2020-FL4 Ltd., “A”, FLR, 7.128% ((SOFR - 1mo. + 0.11448%) + 1.7%), 11/15/2035 (n) | 826,639 | 821,778 | ||
MF1 2021-FL5 Ltd., “AS”, FLR, 6.628% ((SOFR - 1mo. + 0.11448%) + 1.2%), 7/15/2036 (n) | 985,000 | 960,723 | ||
MF1 2021-FL5 Ltd., “B”, FLR, 6.878% ((SOFR - 1mo. + 0.11448%) + 1.45%), 7/15/2036 (n) | 1,241,000 | 1,213,884 | ||
MF1 2022-FL8 Ltd., “A”, FLR, 6.664% (SOFR - 1mo. + 1.35%), 2/19/2037 (n) | 1,430,921 | 1,409,077 | ||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 0.997%, 12/15/2051 (i) | 9,574,234 | 312,276 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.416%, 5/15/2054 (i) | 2,688,959 | 170,835 | ||
Nissan Auto Receivables Owner Trust, 2023-A, 5.424%, 5/15/2024 | 268,623 | 268,579 | ||
PFP III 2021-7 Ltd., “AS”, FLR, 6.577% ((SOFR - 1mo. + 0.114%) + 1.15%), 4/14/2038 (n) | 1,249,828 | 1,236,321 | ||
PFP III 2021-8 Ltd., “A”, FLR, 6.427% ((SOFR - 1mo. + 0.11448%) + 1%), 8/09/2037 (n) | 548,896 | 540,910 | ||
PFP III 2021-8 Ltd., “AS”, FLR, 6.677% ((SOFR - 1mo. + 0.11448%) + 1.25%), 8/09/2037 (n) | 1,010,000 | 971,329 | ||
PFS Financing Corp., 2023-C, “B”, 5.91%, 10/16/2028 (n) | 208,000 | 207,841 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL5, “A”, FLR, 6.429% ((SOFR - 1mo. + 0.11448%) + 1%), 4/25/2038 (n) | 337,397 | 333,540 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “A”, FLR, 6.629% ((SOFR - 1mo. + 0.11448%) + 1.2%), 11/25/2036 (n) | 314,794 | 311,372 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “AS”, FLR, 6.929% ((SOFR - 1mo. + 0.11448%) + 1.5%), 11/25/2036 (n) | 109,000 | 106,055 | ||
Santander Drive Auto Receivables Trust, 2022-5, “A2”, 3.98%, 1/15/2025 | 4,875 | 4,872 | ||
Santander Drive Auto Receivables Trust, 2022-6, “A2”, 4.37%, 5/15/2025 | 33,249 | 33,217 | ||
Toyota Lease Owner Trust, 2023-A, “A1”, 5.388%, 4/22/2024 (n) | 18,004 | 18,001 | ||
Toyota Lease Owner Trust, 2023-A, “A2”, 5.3%, 8/20/2025 (n) | 1,199,000 | 1,193,558 | ||
Wells Fargo Commercial Mortgage Trust, 2018-C48, “XA”, 1.107%, 1/15/2052 (i)(n) | 5,132,237 | 195,042 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Westlake Automobile Receivables Trust, 2022-3A, “A2”, 5.24%, 7/15/2025 (n) | $ | 590,449 | $589,284 | |
Westlake Automobile Receivables Trust, 2023-1A, “A2B”, FLR, 6.039% (SOFR - 1mo. + 0.85%), 6/15/2026 (n) | 182,004 | 181,906 | ||
World Omni Select Auto Trust 2023-A, “A2B”, FLR, 6.063% (SOFR - 1mo. + 0.85%), 3/15/2027 | 1,350,000 | 1,351,834 | ||
$32,180,539 | ||||
Automotive – 0.0% | ||||
Hyundai Capital America, 6.375%, 4/08/2030 (n) | $ | 851,000 | $872,010 | |
Broadcasting – 0.5% | ||||
Activision Blizzard, Inc., 2.5%, 9/15/2050 | $ | 1,594,000 | $1,013,625 | |
Discovery Communications LLC, 3.625%, 5/15/2030 | 2,384,000 | 2,093,820 | ||
Discovery Communications LLC, 4%, 9/15/2055 | 1,082,000 | 705,663 | ||
Prosus N.V., 4.193%, 1/19/2032 (n) | 881,000 | 718,610 | ||
Prosus N.V., 4.027%, 8/03/2050 (n) | 1,149,000 | 681,792 | ||
Walt Disney Co., 3.35%, 3/24/2025 | 2,391,000 | 2,320,064 | ||
Walt Disney Co., 3.5%, 5/13/2040 | 2,155,000 | 1,728,006 | ||
Walt Disney Co., 3.8%, 5/13/2060 | 1,364,000 | 1,031,895 | ||
WarnerMedia Holdings, Inc., 4.279%, 3/15/2032 | 2,105,000 | 1,857,535 | ||
WarnerMedia Holdings, Inc., 5.391%, 3/15/2062 | 882,000 | 700,017 | ||
$12,851,027 | ||||
Brokerage & Asset Managers – 0.3% | ||||
Brookfield Finance, Inc., 2.34%, 1/30/2032 | $ | 1,462,000 | $1,131,384 | |
Charles Schwab Corp., 5.643% to 5/19/2028, FLR (SOFR - 1 day + 2.21%) to 5/19/2029 | 756,000 | 754,472 | ||
Charles Schwab Corp., 1.95%, 12/01/2031 | 766,000 | 587,422 | ||
Charles Schwab Corp., 6.136% to 8/24/2033, FLR (SOFR - 1 day + 2.01%) to 8/24/2034 | 885,000 | 900,133 | ||
LPL Holdings, Inc., 4.625%, 11/15/2027 (n) | 1,219,000 | 1,139,373 | ||
LPL Holdings, Inc., 4.375%, 5/15/2031 (n) | 1,216,000 | 1,068,258 | ||
National Securities Clearing Corp., 5.15%, 5/30/2025 (n) | 520,000 | 518,701 | ||
$6,099,743 | ||||
Building – 0.2% | ||||
CEMEX S.A.B. de C.V., 9.125%, 3/14/2171 (n) | $ | 956,000 | $998,713 | |
GCC S.A.B de C.V., 3.614%, 4/20/2032 (n) | 916,000 | 762,570 | ||
Vulcan Materials Co., 3.5%, 6/01/2030 | 2,242,000 | 2,007,626 | ||
Vulcan Materials Co., 4.5%, 6/15/2047 | 325,000 | 275,291 | ||
$4,044,200 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Business Services – 0.4% | ||||
Equifax, Inc., 3.1%, 5/15/2030 | $ | 1,406,000 | $1,202,189 | |
Equifax, Inc., 2.35%, 9/15/2031 | 1,098,000 | 860,528 | ||
Equinix, Inc., 2.5%, 5/15/2031 | 2,649,000 | 2,145,895 | ||
Fiserv, Inc., 4.4%, 7/01/2049 | 1,953,000 | 1,596,314 | ||
Mastercard, Inc., 3.85%, 3/26/2050 | 1,013,000 | 841,398 | ||
Visa, Inc., 2.05%, 4/15/2030 | 1,889,000 | 1,602,929 | ||
Visa, Inc., 2.7%, 4/15/2040 | 1,339,000 | 997,218 | ||
Visa, Inc., 2%, 8/15/2050 | 1,791,000 | 1,059,083 | ||
$10,305,554 | ||||
Cable TV – 0.2% | ||||
Cable Onda S.A., 4.5%, 1/30/2030 (n) | $ | 1,326,000 | $1,128,267 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | 1,092,000 | 1,059,325 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.375%, 5/01/2047 | 758,000 | 605,698 | ||
Comcast Corp., 3.75%, 4/01/2040 | 978,000 | 804,377 | ||
Cox Communications, Inc., 5.7%, 6/15/2033 (n) | 1,611,000 | 1,606,400 | ||
$5,204,067 | ||||
Chemicals – 0.1% | ||||
RPM International, Inc., 4.55%, 3/01/2029 | $ | 1,380,000 | $1,294,106 | |
Sasol Financing (USA) LLC, 8.75%, 5/03/2029 (n) | 960,000 | 937,200 | ||
$2,231,306 | ||||
Computer Software – 0.3% | ||||
Cisco Systems, Inc., 5.5%, 1/15/2040 | $ | 745,000 | $773,144 | |
Microsoft Corp., 2.525%, 6/01/2050 | 2,939,000 | 1,942,822 | ||
Oracle Corp., 5.55%, 2/06/2053 | 1,130,000 | 1,050,432 | ||
VeriSign, Inc., 4.75%, 7/15/2027 | 2,180,000 | 2,125,876 | ||
$5,892,274 | ||||
Computer Software - Systems – 0.3% | ||||
Apple, Inc., 2.05%, 9/11/2026 | $ | 2,272,000 | $2,099,232 | |
Apple, Inc., 1.7%, 8/05/2031 | 3,997,000 | 3,252,596 | ||
Apple, Inc., 2.65%, 5/11/2050 | 2,850,000 | 1,898,225 | ||
$7,250,053 | ||||
Conglomerates – 0.3% | ||||
Grupo KUO S.A.B. de C.V., 5.75%, 7/07/2027 (n) | $ | 414,000 | $367,424 | |
nVent Finance S.à r.l., 5.65%, 5/15/2033 | 1,255,000 | 1,214,635 | ||
Regal Rexnord Corp., 6.05%, 4/15/2028 (n) | 1,114,000 | 1,102,202 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Conglomerates – continued | ||||
Regal Rexnord Corp., 6.3%, 2/15/2030 (n) | $ | 955,000 | $950,792 | |
Regal Rexnord Corp., 6.4%, 4/15/2033 (n) | 778,000 | 770,698 | ||
Westinghouse Air Brake Technologies Corp., 4.7%, 9/15/2028 | 2,058,000 | 1,985,032 | ||
$6,390,783 | ||||
Consumer Products – 0.2% | ||||
Kenvue, Inc., 5.1%, 3/22/2043 (n) | $ | 1,017,000 | $997,528 | |
Kenvue, Inc., 5.05%, 3/22/2053 (n) | 960,000 | 940,065 | ||
Mattel, Inc., 3.75%, 4/01/2029 (n) | 2,210,000 | 1,964,497 | ||
$3,902,090 | ||||
Consumer Services – 0.3% | ||||
Booking Holdings, Inc., 3.55%, 3/15/2028 | $ | 1,755,000 | $1,656,804 | |
Booking Holdings, Inc., 4.625%, 4/13/2030 | 405,000 | 396,005 | ||
CBRE Group, Inc., 5.95%, 8/15/2034 | 2,586,000 | 2,557,889 | ||
Conservation Fund, 3.474%, 12/15/2029 | 1,031,000 | 885,882 | ||
Meituan, 3.05%, 10/28/2030 (n) | 1,511,000 | 1,191,366 | ||
$6,687,946 | ||||
Containers – 0.1% | ||||
Berry Global, Inc., 5.5%, 4/15/2028 (n) | $ | 908,000 | $892,668 | |
San Miguel Industrias PET S.A., 3.5%, 8/02/2028 (n) | 2,000,000 | 1,684,983 | ||
$2,577,651 | ||||
Electrical Equipment – 0.1% | ||||
Arrow Electronics, Inc., 3.875%, 1/12/2028 | $ | 1,769,000 | $1,637,433 | |
Electronics – 0.2% | ||||
Broadcom, Inc., 3.187%, 11/15/2036 (n) | $ | 1,074,000 | $807,150 | |
Intel Corp., 5.7%, 2/10/2053 | 1,114,000 | 1,103,187 | ||
Lam Research Corp., 1.9%, 6/15/2030 | 988,000 | 816,594 | ||
Lam Research Corp., 4.875%, 3/15/2049 | 795,000 | 746,004 | ||
SK Hynix, Inc., 6.375%, 1/17/2028 (n) | 745,000 | 754,999 | ||
$4,227,934 | ||||
Emerging Market Quasi-Sovereign – 2.7% | ||||
Abu Dhabi Crude Oil Pipeline, 4.6%, 11/02/2047 | $ | 870,000 | $773,212 | |
Abu Dhabi National Energy Co. PJSC, 4.696%, 4/24/2033 (n) | 1,147,000 | 1,121,500 | ||
Autoridad del Canal de Panama, 4.95%, 7/29/2035 (n) | 281,000 | 265,764 | ||
Autoridad del Canal de Panama, 4.95%, 7/29/2035 | 1,220,000 | 1,153,852 | ||
Bank Gospodarstwa Krajowego (Republic of Poland), 5.375%, 5/22/2033 (n) | 1,041,000 | 1,014,975 | ||
Bulgarian Energy Holding EAD, 2.45%, 7/22/2028 | EUR | 1,054,000 | 961,469 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Quasi-Sovereign – continued | ||||
Chile Electricity Lux MPC S.à r.l., 6.01%, 1/20/2033 (n) | $ | 479,000 | $486,089 | |
China Development Bank, 3.45%, 9/20/2029 | CNY | 7,450,000 | 1,068,300 | |
Comision Federal de Electricidad (United Mexican States), 4.688%, 5/15/2029 (n) | $ | 932,000 | 844,642 | |
Comision Federal de Electricidad (United Mexican States), 3.875%, 7/26/2033 (n) | 479,000 | 371,815 | ||
Dua Capital Ltd. (Federation of Malaysia), 2.78%, 5/11/2031 | 878,000 | 738,156 | ||
Empresa de Transmision Electrica S.A. (Republic of Panama), 5.125%, 5/02/2049 (n) | 1,694,000 | 1,329,790 | ||
Empresa Nacional del Petroleo (Republic of Chile), 5.25%, 11/06/2029 | 624,000 | 593,088 | ||
Empresa Nacional del Petroleo (Republic of Chile), 3.45%, 9/16/2031 (n) | 1,391,000 | 1,145,601 | ||
Empresa Nacional del Petroleo (Republic of Chile), 6.15%, 5/10/2033 (n) | 800,000 | 788,901 | ||
Empresa Nacional del Petroleo (Republic of Chile), 4.5%, 9/14/2047 | 895,000 | 665,629 | ||
Eskom Holdings SOC Ltd. (Republic of South Africa), 7.125%, 2/11/2025 | 3,186,000 | 3,138,459 | ||
Eskom Holdings SOC Ltd. (Republic of South Africa), 6.35%, 8/10/2028 (n) | 1,294,000 | 1,209,890 | ||
Eskom Holdings SOC Ltd. (Republic of South Africa), 8.45%, 8/10/2028 | 845,000 | 817,984 | ||
Export-Import Bank of India, 5.5%, 1/18/2033 (n) | 2,154,000 | 2,118,758 | ||
GACI First Investment Co. (Kingdom of Saudi Arabia), 4.875%, 2/14/2035 | 594,000 | 559,180 | ||
Huarong Finance 2017 Co. Ltd. (People's Republic of China), 4.25%, 11/07/2027 | 439,000 | 330,347 | ||
Indian Railway Finance Corp., 2.8%, 2/10/2031 (n) | 1,354,000 | 1,110,302 | ||
Ipoteka Bank (Republic of Uzbekistan), 5.5%, 11/19/2025 | 1,553,000 | 1,432,487 | ||
KazMunayGas National Co., JSC (Republic of Kazakhstan), 3.5%, 4/14/2033 | 1,039,000 | 779,510 | ||
KazMunayGas National Co., JSC (Republic of Kazakhstan), 5.75%, 4/19/2047 | 1,109,000 | 890,620 | ||
KazMunayGas National Co., JSC (Republic of Kazakhstan), 6.375%, 10/24/2048 | 3,964,000 | 3,306,135 | ||
Magyar Export-Import Bank PLC (Republic of Hungary), 6.125%, 12/04/2027 (n) | 798,000 | 792,230 | ||
MDGH - GMTN RSC Ltd. (United Arab Emirates), 5.084%, 5/22/2053 (n) | 299,000 | 282,310 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Quasi-Sovereign – continued | ||||
NAK Naftogaz Ukraine via Kondor Finance PLC, 7.625%, 11/08/2026 (a)(d)(n) | $ | 3,111,000 | $1,213,290 | |
National Central Cooling Co. PJSC, 2.5%, 10/21/2027 | 957,000 | 852,926 | ||
NBK SPC Ltd. (State of Kuwait), 1.625% to 9/15/2026, FLR (SOFR - 1 day + 1.05%) to 9/15/2027 (n) | 1,101,000 | 977,137 | ||
NPC Ukrenergo (Government of Ukraine), 6.875%, 11/09/2028 (a)(n) | 905,000 | 246,613 | ||
OCP S.A. (Republic of Madagascar), 6.875%, 4/25/2044 | 1,263,000 | 1,133,174 | ||
Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 5.125%, 6/23/2051 (n) | 2,245,000 | 1,581,153 | ||
Oryx Funding Ltd. (Sultanate of Oman), 5.8%, 2/03/2031 (n) | 1,210,000 | 1,161,968 | ||
Pertamina PT, 5.625%, 5/20/2043 | 957,000 | 883,285 | ||
Petroleos Mexicanos, 6.84%, 1/23/2030 | 1,186,000 | 941,215 | ||
Petroleos Mexicanos, 10%, 2/07/2033 (n) | 1,580,000 | 1,439,267 | ||
Petroleos Mexicanos, 7.69%, 1/23/2050 | 3,942,000 | 2,637,530 | ||
Petroleos Mexicanos, 6.95%, 1/28/2060 | 3,229,000 | 1,998,022 | ||
Power Finance Corp. Ltd. (Republic of India), 3.95%, 4/23/2030 (n) | 1,228,000 | 1,087,232 | ||
PT Bank Negara Indonesia (Persero) Tbk, 3.75%, 3/30/2026 | 1,838,000 | 1,691,879 | ||
PT Freeport Indonesia, 6.2%, 4/14/2052 (n) | 1,473,000 | 1,325,700 | ||
PT Indonesia Asahan Aluminium (Persero), 5.8%, 5/15/2050 (n) | 1,050,000 | 897,985 | ||
Qatar Petroleum, 2.25%, 7/12/2031 (n) | 1,397,000 | 1,148,261 | ||
Qatar Petroleum, 3.125%, 7/12/2041 (n) | 1,397,000 | 1,026,359 | ||
Qatar Petroleum, 3.3%, 7/12/2051 (n) | 1,053,000 | 737,349 | ||
QNB Finance Ltd. (State of Qatar), 2.75%, 2/12/2027 | 1,129,000 | 1,035,857 | ||
REC Ltd. (Republic of India), 5.625%, 4/11/2028 (n) | 1,175,000 | 1,159,248 | ||
Saudi Arabian Oil Co., 3.5%, 11/24/2070 (n) | 3,601,000 | 2,267,535 | ||
Southern Gas Corridor CJSC (Republic of Azerbaijan), 6.875%, 3/24/2026 (n) | 1,530,000 | 1,543,311 | ||
State Oil Company of the Azerbaijan Republic, 6.95%, 3/18/2030 | 3,263,000 | 3,352,863 | ||
State Savings Bank of Ukraine PJSC, 9.625%, 3/20/2025 | 426,400 | 370,968 | ||
Sweihan PV Power Co. PJSC, 3.625%, 1/31/2049 (n) | 993,748 | 779,313 | ||
Uzbekneftegaz JSC (Republic of Uzbekistan), 4.75%, 11/16/2028 (n) | 1,236,000 | 1,013,520 | ||
$64,593,955 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – 7.6% | ||||
Arab Republic of Egypt, 7.6%, 3/01/2029 (n) | $ | 523,000 | $335,332 | |
Arab Republic of Egypt, 7.903%, 2/21/2048 (n) | 1,492,000 | 755,325 | ||
Arab Republic of Egypt, 7.903%, 2/21/2048 | 1,356,000 | 686,475 | ||
Arab Republic of Egypt, 8.875%, 5/29/2050 (n) | 638,000 | 340,143 | ||
Arab Republic of Egypt, 7.5%, 2/16/2061 (n) | 1,617,000 | 812,154 | ||
Czech Republic, 5%, 9/30/2030 | CZK | 37,180,000 | 1,727,020 | |
Czech Republic, 2%, 10/13/2033 | 35,600,000 | 1,299,165 | ||
Dominican Republic, 6%, 7/19/2028 (n) | $ | 1,663,000 | 1,605,082 | |
Dominican Republic, 5.5%, 2/22/2029 (n) | 1,714,000 | 1,600,300 | ||
Dominican Republic, 7.05%, 2/03/2031 (n) | 764,000 | 759,149 | ||
Dominican Republic, 4.875%, 9/23/2032 (n) | 1,192,000 | 1,009,910 | ||
Dominican Republic, 6%, 2/22/2033 (n) | 2,048,000 | 1,885,764 | ||
Dominican Republic, 5.3%, 1/21/2041 (n) | 1,002,000 | 780,775 | ||
Dominican Republic, 5.875%, 1/30/2060 (n) | 2,282,000 | 1,748,316 | ||
Dominican Republic, 5.875%, 1/30/2060 | 2,407,000 | 1,844,083 | ||
Emirate of Sharjah, 6.5%, 11/23/2032 (n) | 518,000 | 527,478 | ||
Federal Republic of Nigeria, 6.125%, 9/28/2028 (n) | 1,457,000 | 1,199,402 | ||
Federal Republic of Nigeria, 7.875%, 2/16/2032 | 2,737,000 | 2,224,305 | ||
Federal Republic of Nigeria, 7.375%, 9/28/2033 (n) | 1,709,000 | 1,304,223 | ||
Federal Republic of Nigeria, 7.375%, 9/28/2033 | 1,753,000 | 1,337,802 | ||
Federal Republic of Nigeria, 7.696%, 2/23/2038 (n) | 990,000 | 717,889 | ||
Federal Republic of Nigeria, 7.696%, 2/23/2038 | 969,000 | 702,661 | ||
Federal Republic of Nigeria, 7.625%, 11/28/2047 | 843,000 | 579,630 | ||
Federative Republic of Brazil, 10%, 1/01/2027 | BRL | 16,250,000 | 3,239,715 | |
Federative Republic of Brazil, 10%, 1/01/2029 | 12,971,000 | 2,532,606 | ||
Federative Republic of Brazil, 10%, 1/01/2031 | 7,514,000 | 1,442,449 | ||
Federative Republic of Brazil, 4.75%, 1/14/2050 | $ | 763,000 | 559,791 | |
Government of Ukraine, 7.75%, (7.75% cash or 7.75% PIK) 9/01/2028 (a)(p) | 1,262,000 | 359,670 | ||
Government of Ukraine, 6.876%, (6.876% cash or 6.876% PIK) 5/21/2031 (a)(p) | 598,000 | 156,975 | ||
Government of Ukraine, 4.375%, (4.375% cash or 4.375% PIK) 1/27/2032 (a)(n)(p) | EUR | 1,074,000 | 271,932 | |
Government of Ukraine, 7.253%, (7.253% cash or 7.253% PIK) 3/15/2035 (a)(p) | $ | 3,089,000 | 818,400 | |
Government of Ukraine, GDP Linked Bond, 7.75%, 8/01/2041 (a) | 2,068,000 | 940,940 | ||
Hashemite Kingdom of Jordan, 5.85%, 7/07/2030 (n) | 789,000 | 728,918 | ||
Hashemite Kingdom of Jordan, 7.375%, 10/10/2047 | 3,663,000 | 3,195,946 | ||
Islamic Republic of Pakistan, 6%, 4/08/2026 | 557,000 | 286,043 | ||
Islamic Republic of Pakistan, 6.875%, 12/05/2027 | 1,660,000 | 840,690 | ||
Islamic Republic of Pakistan, 7.375%, 4/08/2031 | 1,496,000 | 685,916 | ||
Islamic Republic of Pakistan, 8.875%, 4/08/2051 (n) | 1,504,000 | 658,159 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
Kingdom of Morocco, 5.95%, 3/08/2028 (n) | $ | 881,000 | $881,000 | |
Kingdom of Morocco, 6.5%, 9/08/2033 (n) | 2,760,000 | 2,770,350 | ||
Kingdom of Saudi Arabia, 4.875%, 7/18/2033 (n) | 603,000 | 593,434 | ||
Kingdom of Saudi Arabia, 4.5%, 10/26/2046 | 2,723,000 | 2,294,128 | ||
Kingdom of Saudi Arabia, 4.625%, 10/04/2047 | 3,863,000 | 3,271,111 | ||
Kingdom of Saudi Arabia, 5.25%, 1/16/2050 | 1,032,000 | 951,545 | ||
Kingdom of Saudi Arabia, 3.25%, 11/17/2051 (n) | 2,103,000 | 1,384,106 | ||
Kingdom of Saudi Arabia, 5%, 1/18/2053 (n) | 872,000 | 773,075 | ||
Oriental Republic of Uruguay, 8.25%, 5/21/2031 | UYU | 89,988,000 | 2,252,723 | |
Oriental Republic of Uruguay, 9.75%, 7/20/2033 | 56,723,000 | 1,551,551 | ||
Oriental Republic of Uruguay, 5.75%, 10/28/2034 | $ | 1,729,000 | 1,850,235 | |
Oriental Republic of Uruguay, 4.975%, 4/20/2055 | 1,300,000 | 1,221,890 | ||
People's Republic of China, 2.4%, 7/15/2028 | CNY | 7,890,000 | 1,082,858 | |
Republic of Angola, 8.75%, 4/14/2032 (n) | $ | 1,396,000 | 1,144,720 | |
Republic of Angola, 9.375%, 5/08/2048 | 2,391,000 | 1,822,803 | ||
Republic of Angola, 9.125%, 11/26/2049 | 3,425,000 | 2,534,020 | ||
Republic of Argentina, 3.625%, 7/09/2035 | 3,756,000 | 1,106,862 | ||
Republic of Argentina, 3.5%, 7/09/2041 | 10,481,000 | 3,235,466 | ||
Republic of Cameroon, 5.95%, 7/07/2032 | EUR | 1,136,000 | 846,877 | |
Republic of Chile, 4%, 1/31/2052 | $ | 2,111,000 | 1,667,474 | |
Republic of Chile, 5.33%, 1/05/2054 | 1,321,569 | 1,273,692 | ||
Republic of Colombia, 8%, 4/20/2033 | 559,000 | 577,917 | ||
Republic of Costa Rica, 6.55%, 4/03/2034 (n) | 1,734,000 | 1,745,535 | ||
Republic of Costa Rica, 7.158%, 3/12/2045 | 958,000 | 962,409 | ||
Republic of Cote d'Ivoire, 4.875%, 1/30/2032 (n) | EUR | 1,386,000 | 1,154,775 | |
Republic of Cote d'Ivoire, 6.875%, 10/17/2040 (n) | 1,164,000 | 945,754 | ||
Republic of Cote d'Ivoire, 6.625%, 3/22/2048 (n) | 602,000 | 454,921 | ||
Republic of Ecuador, 3.5%, 7/31/2035 | $ | 2,472,000 | 903,289 | |
Republic of Gabon, 7%, 11/24/2031 (n) | 971,000 | 702,470 | ||
Republic of Ghana, 7.75%, 4/07/2029 (a)(d)(n) | 982,000 | 419,805 | ||
Republic of Ghana, 7.875%, 2/11/2035 (a)(d) | 2,325,000 | 1,023,000 | ||
Republic of Guatemala, 3.7%, 10/07/2033 | 936,000 | 753,123 | ||
Republic of Guatemala, 6.6%, 6/13/2036 (n) | 703,000 | 702,925 | ||
Republic of Guatemala, 4.65%, 10/07/2041 (n) | 808,000 | 633,576 | ||
Republic of Guatemala, 6.125%, 6/01/2050 | 824,000 | 750,057 | ||
Republic of Hungary, 6.25%, 9/22/2032 (n) | 1,389,000 | 1,399,418 | ||
Republic of Hungary, 2.25%, 4/20/2033 | HUF | 627,180,000 | 1,225,861 | |
Republic of Hungary, 5.5%, 6/16/2034 (n) | $ | 2,223,000 | 2,106,293 | |
Republic of Hungary, 6.75%, 9/25/2052 (n) | 1,056,000 | 1,070,138 | ||
Republic of Indonesia, 4.35%, 1/11/2048 | 1,063,000 | 910,708 | ||
Republic of Indonesia, 5.45%, 9/20/2052 | 644,000 | 632,904 | ||
Republic of Kenya, 8%, 5/22/2032 | 2,864,000 | 2,364,232 | ||
Republic of Korea, 3.25%, 3/10/2028 | KRW | 1,213,610,000 | 898,487 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
Republic of Panama, 6.375%, 7/25/2033 (n) | $ | 482,000 | $468,745 | |
Republic of Panama, 6.4%, 2/14/2035 | 1,962,000 | 2,011,369 | ||
Republic of Panama, 6.853%, 3/28/2054 | 835,000 | 853,655 | ||
Republic of Paraguay, 5.85%, 8/21/2033 (n) | 942,000 | 926,835 | ||
Republic of Paraguay, 5.6%, 3/13/2048 | 1,093,000 | 935,368 | ||
Republic of Paraguay, 5.4%, 3/30/2050 (n) | 3,361,000 | 2,803,581 | ||
Republic of Paraguay, 5.4%, 3/30/2050 | 1,091,000 | 910,059 | ||
Republic of Peru, 6.95%, 8/12/2031 | PEN | 8,457,000 | 2,347,169 | |
Republic of Peru, 1.862%, 12/01/2032 | $ | 545,000 | 411,430 | |
Republic of Peru, 7.3%, 8/12/2033 | PEN | 7,726,000 | 2,176,711 | |
Republic of Philippines, 7%, 10/13/2029 | PHP | 60,240,000 | 1,101,766 | |
Republic of Philippines, 5.5%, 1/17/2048 | $ | 840,000 | 844,201 | |
Republic of Poland, 1.75%, 4/25/2032 | PLN | 10,061,000 | 1,812,136 | |
Republic of Poland, 5.75%, 11/16/2032 | $ | 1,038,000 | 1,077,448 | |
Republic of Poland, 4.875%, 10/04/2033 | 828,000 | 802,875 | ||
Republic of Poland, 5.5%, 4/04/2053 | 677,000 | 657,226 | ||
Republic of Romania, 6.625%, 2/17/2028 (n) | 1,032,000 | 1,064,508 | ||
Republic of Romania, 1.75%, 7/13/2030 (n) | EUR | 1,556,000 | 1,302,650 | |
Republic of Romania, 2.124%, 7/16/2031 | 1,547,000 | 1,272,916 | ||
Republic of Romania, 2%, 1/28/2032 (n) | 1,241,000 | 995,089 | ||
Republic of Romania, 2%, 1/28/2032 | 1,150,000 | 922,121 | ||
Republic of Romania, 7.125%, 1/17/2033 (n) | $ | 1,186,000 | 1,245,300 | |
Republic of Romania, 2.625%, 12/02/2040 (n) | EUR | 602,000 | 401,459 | |
Republic of Romania, 2.75%, 4/14/2041 (n) | 611,000 | 408,123 | ||
Republic of Senegal, 6.75%, 3/13/2048 | $ | 540,000 | 374,728 | |
Republic of Serbia, 6.25%, 5/26/2028 (n) | 1,236,000 | 1,228,399 | ||
Republic of Serbia, 6.5%, 9/26/2033 (n) | 1,519,000 | 1,497,369 | ||
Republic of South Africa, 9%, 1/31/2040 | ZAR | 23,730,000 | 959,252 | |
Republic of South Africa, 5.75%, 9/30/2049 | $ | 1,921,000 | 1,356,015 | |
Republic of South Africa, 7.3%, 4/20/2052 | 936,000 | 789,243 | ||
Republic of Sri Lanka, 6.125%, 6/03/2025 (a)(d) | 4,379,000 | 2,058,844 | ||
Republic of Sri Lanka, 7.55%, 3/28/2030 (a)(d) | 2,892,000 | 1,314,906 | ||
Republic of Turkey, 6.125%, 10/24/2028 | 1,507,000 | 1,386,515 | ||
Republic of Turkey, 5.25%, 3/13/2030 | 1,110,000 | 940,103 | ||
Republic of Turkey, 5.95%, 1/15/2031 | 2,172,000 | 1,880,865 | ||
Republic of Turkey, 5.875%, 6/26/2031 | 2,188,000 | 1,875,291 | ||
Republic of Turkey, 9.375%, 1/19/2033 | 348,000 | 362,874 | ||
Republic of Turkey, 6.5%, 9/20/2033 | 2,849,000 | 2,512,294 | ||
Republic of Turkey, 6.875%, 3/17/2036 | 2,300,000 | 2,011,681 | ||
Republic of Turkey, 6%, 1/14/2041 | 2,611,000 | 2,009,165 | ||
Republic of Turkey, 5.75%, 5/11/2047 | 1,575,000 | 1,117,337 | ||
Republic of Uzbekistan, 5.375%, 2/20/2029 | 1,081,000 | 987,764 | ||
Republic of Zambia, 8.97%, 7/30/2027 (a)(d) | 1,909,000 | 995,066 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
Socialist Republic of Vietnam, 4.8%, 11/19/2024 | $ | 1,088,000 | $1,064,064 | |
State of Qatar, 5.103%, 4/23/2048 (n) | 1,215,000 | 1,163,576 | ||
State of Qatar, 4.817%, 3/14/2049 (n) | 819,000 | 762,368 | ||
State of Qatar, 4.817%, 3/14/2049 | 619,000 | 576,197 | ||
State of Qatar, 4.4%, 4/16/2050 (n) | 652,000 | 572,580 | ||
Sultanate of Oman, 6.5%, 3/08/2047 | 1,218,000 | 1,144,920 | ||
Sultanate of Oman, 6.75%, 1/17/2048 | 4,130,000 | 3,998,798 | ||
Sultanate of Oman, 7%, 1/25/2051 (n) | 1,897,000 | 1,877,909 | ||
Sultanate of Oman, 7%, 1/25/2051 | 3,459,000 | 3,424,189 | ||
United Mexican States, 5.75%, 3/05/2026 | MXN | 17,400,000 | 923,347 | |
United Mexican States, 7.5%, 6/03/2027 | 33,500,000 | 1,835,000 | ||
United Mexican States, 8.5%, 5/31/2029 | 32,000,000 | 1,806,905 | ||
United Mexican States, 7.75%, 5/29/2031 | 37,800,000 | 2,025,577 | ||
United Mexican States, 4.875%, 5/19/2033 | $ | 787,000 | 745,491 | |
United Mexican States, 3.5%, 2/12/2034 | 1,435,000 | 1,189,240 | ||
United Mexican States, 6.338%, 5/04/2053 | 6,055,000 | 6,044,150 | ||
$181,912,812 | ||||
Energy - Independent – 0.5% | ||||
Energean PLC, 6.5%, 4/30/2027 (n) | $ | 621,000 | $566,879 | |
Energian Israel Finance Ltd., 8.5%, 9/30/2033 (n) | 515,000 | 521,437 | ||
EQT Corp., 3.625%, 5/15/2031 (n) | 982,000 | 848,605 | ||
Hess Corp., 5.8%, 4/01/2047 | 1,250,000 | 1,192,946 | ||
Leviathan Bond Ltd., 6.75%, 6/30/2030 (n) | 1,396,000 | 1,306,656 | ||
Medco Bell Pte. Ltd., 6.375%, 1/30/2027 (n) | 570,000 | 529,506 | ||
Medco Laurel Tree Pte. Ltd., 6.95%, 11/12/2028 (n) | 845,000 | 765,498 | ||
Occidental Petroleum Corp., 6.125%, 1/01/2031 | 752,000 | 757,715 | ||
Occidental Petroleum Corp., 4.4%, 4/15/2046 | 715,000 | 548,634 | ||
Pioneer Natural Resources Co., 1.9%, 8/15/2030 | 1,491,000 | 1,202,944 | ||
Sierracol Energy Andina LLC, 6%, 6/15/2028 (n) | 743,000 | 563,486 | ||
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n) | 2,119,000 | 1,915,957 | ||
Tengizchevroil Finance Co. International Ltd., 3.25%, 8/15/2030 (n) | 2,417,000 | 1,849,005 | ||
$12,569,268 | ||||
Energy - Integrated – 0.2% | ||||
BP Capital Markets America, Inc., 1.749%, 8/10/2030 | $ | 1,672,000 | $1,354,995 | |
BP Capital Markets America, Inc., 4.812%, 2/13/2033 | 1,140,000 | 1,103,447 | ||
BP Capital Markets America, Inc., 3.001%, 3/17/2052 | 1,301,000 | 853,725 | ||
Eni S.p.A., 4.75%, 9/12/2028 (n) | 1,818,000 | 1,769,794 | ||
$5,081,961 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Financial Institutions – 0.3% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, 7/21/2027 | $ | 1,425,000 | $1,310,710 | |
Avolon Holdings Funding Ltd., 4.25%, 4/15/2026 (n) | 909,000 | 857,241 | ||
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 855,000 | 806,005 | ||
Avolon Holdings Funding Ltd., 2.75%, 2/21/2028 (n) | 1,636,000 | 1,407,716 | ||
Muthoot Finance Ltd., 4.4%, 9/02/2023 (n) | 686,000 | 682,570 | ||
Seazen Group Ltd., 4.45%, 7/13/2025 | 1,614,000 | 444,253 | ||
Shriram Transport Finance Co. Ltd., 4.4%, 3/13/2024 (n) | 2,049,000 | 2,004,793 | ||
Sunac China Holdings Ltd., 7.5%, 2/01/2024 (a)(d) | 1,792,000 | 192,640 | ||
Times China Holdings Ltd., 6.75%, 7/08/2025 (a)(d) | 1,256,000 | 34,540 | ||
$7,740,468 | ||||
Food & Beverages – 1.0% | ||||
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | $ | 2,533,000 | $2,594,570 | |
Aragvi Finance International DAC, 8.45%, 4/29/2026 (n) | 826,000 | 555,898 | ||
Bacardi Ltd., 5.15%, 5/15/2038 (n) | 2,936,000 | 2,694,435 | ||
Central America Bottling Co., 5.25%, 4/27/2029 (n) | 2,121,000 | 1,947,502 | ||
Compania Cervecerias Unidas S.A., 3.35%, 1/19/2032 (n) | 1,439,000 | 1,202,903 | ||
Constellation Brands, Inc., 2.25%, 8/01/2031 | 746,000 | 599,557 | ||
Constellation Brands, Inc., 4.1%, 2/15/2048 | 2,470,000 | 1,960,964 | ||
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 | 1,065,000 | 913,778 | ||
JDE Peet's N.V., 0.8%, 9/24/2024 (n) | 981,000 | 924,537 | ||
Kraft Heinz Foods Co., 4.875%, 10/01/2049 | 816,000 | 723,350 | ||
Kraft Heinz Foods Co., 5.5%, 6/01/2050 | 1,531,000 | 1,477,934 | ||
Mars, Inc., 4.55%, 4/20/2028 (n) | 2,150,000 | 2,114,154 | ||
PT Indofood CBP Sukses Makmur Tbk, 3.398%, 6/09/2031 | 1,243,000 | 1,025,771 | ||
PT Indofood CBP Sukses Makmur Tbk, 4.805%, 4/27/2052 | 1,637,000 | 1,192,256 | ||
SYSCO Corp., 2.45%, 12/14/2031 | 2,369,000 | 1,918,057 | ||
SYSCO Corp., 4.45%, 3/15/2048 | 1,219,000 | 1,007,595 | ||
$22,853,261 | ||||
Gaming & Lodging – 0.3% | ||||
Marriott International, Inc., 2.85%, 4/15/2031 | $ | 2,128,000 | $1,766,831 | |
Marriott International, Inc., 3.5%, 10/15/2032 | 2,052,000 | 1,743,428 | ||
Sands China Ltd., 3.5%, 8/08/2031 | 1,670,000 | 1,342,607 | ||
VICI Properties LP, REIT, 4.75%, 2/15/2028 | 1,316,000 | 1,251,433 | ||
VICI Properties LP/VICI Note Co., Inc., 4.25%, 12/01/2026 (n) | 688,000 | 648,147 | ||
$6,752,446 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Industrial – 0.1% | ||||
GEMS Menasa Cayman Ltd./GEMS Education Delaware LLC, 7.125%, 7/31/2026 (n) | $ | 627,000 | $609,005 | |
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | 285,000 | 267,284 | ||
Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | 2,127,000 | 1,317,815 | ||
$2,194,104 | ||||
Insurance – 0.2% | ||||
Corebridge Financial, Inc., 3.9%, 4/05/2032 | $ | 1,617,000 | $1,413,888 | |
Corebridge Financial, Inc., 4.35%, 4/05/2042 | 1,747,000 | 1,382,108 | ||
Equitable Holdings, Inc., 5.594%, 1/11/2033 | 1,572,000 | 1,545,356 | ||
$4,341,352 | ||||
Insurance - Health – 0.3% | ||||
Centene Corp., 2.625%, 8/01/2031 | $ | 1,568,000 | $1,247,365 | |
Humana, Inc., 4.95%, 10/01/2044 | 1,465,000 | 1,298,446 | ||
Humana, Inc., 5.5%, 3/15/2053 | 269,000 | 260,698 | ||
UnitedHealth Group, Inc., 5.3%, 2/15/2030 | 1,215,000 | 1,239,685 | ||
UnitedHealth Group, Inc., 2.3%, 5/15/2031 | 1,986,000 | 1,660,092 | ||
UnitedHealth Group, Inc., 4.625%, 7/15/2035 | 444,000 | 429,725 | ||
UnitedHealth Group, Inc., 5.875%, 2/15/2053 | 971,000 | 1,038,487 | ||
$7,174,498 | ||||
Insurance - Property & Casualty – 0.3% | ||||
American International Group, Inc., 5.125%, 3/27/2033 | $ | 1,615,000 | $1,562,116 | |
Aon Corp./Aon Global Holdings PLC, 2.05%, 8/23/2031 | 1,513,000 | 1,196,300 | ||
Fairfax Financial Holdings Ltd., 3.375%, 3/03/2031 | 1,087,000 | 911,105 | ||
Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032 | 772,000 | 745,091 | ||
RenaissanceRe Holdings Ltd., 5.75%, 6/05/2033 | 1,678,000 | 1,630,063 | ||
$6,044,675 | ||||
International Market Quasi-Sovereign – 0.0% | ||||
Ontario Teachers' Cadillac Fairview Properties, 2.5%, 10/15/2031 (n) | $ | 1,158,000 | $911,075 | |
International Market Sovereign – 0.2% | ||||
Government of Bermuda, 5%, 7/15/2032 (n) | $ | 3,915,000 | $3,752,527 | |
Government of Bermuda, 3.375%, 8/20/2050 (n) | 2,322,000 | 1,539,254 | ||
$5,291,781 | ||||
Machinery & Tools – 0.2% | ||||
Ashtead Capital, Inc., 4.375%, 8/15/2027 (n) | $ | 408,000 | $383,906 | |
Ashtead Capital, Inc., 5.55%, 5/30/2033 (n) | 1,339,000 | 1,284,014 | ||
Ashtead Capital, Inc., 5.95%, 10/15/2033 (n) | 536,000 | 525,942 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Machinery & Tools – continued | ||||
CNH Industrial N.V., 3.85%, 11/15/2027 | $ | 3,018,000 | $2,847,769 | |
$5,041,631 | ||||
Major Banks – 3.2% | ||||
Australia and New Zealand Banking Group Ltd., 2.57% to 11/25/2030, FLR (CMT - 5yr. + 1.7%) to 11/25/2035 (n) | $ | 2,249,000 | $1,712,403 | |
Banco Mercantil del Norte S.A., 6.625% to 1/24/2032, FLR (CMT - 10yr. + 5.034%) to 1/24/2171 | 1,055,000 | 848,236 | ||
Bank of America Corp., 3.366% to 1/23/2025, FLR ((SOFR - 3mo. + 0.26161%) + 0.81%) to 1/23/2026 | 3,238,000 | 3,122,693 | ||
Bank of America Corp., 3.419% to 12/20/2027, FLR ((SOFR - 3mo. + 0.26161%) + 1.04%) to 12/20/2028 | 2,164,000 | 1,984,401 | ||
Bank of America Corp., 2.496% to 2/13/2030, FLR ((SOFR - 3mo. + 0.26161%) + 0.99%) to 2/13/2031 | 505,000 | 419,940 | ||
Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032 | 2,851,000 | 2,332,721 | ||
Bank of New York Mellon Corp., 5.802% to 10/25/2027, FLR (SOFR - 1 day + 1.802%) to 10/25/2028 | 598,000 | 604,861 | ||
Bank of New York Mellon Corp., 5.834% to 10/25/2032, FLR (SOFR - 1 day + 2.074%) to 10/25/2033 | 582,000 | 596,507 | ||
Barclays PLC, 2.894% to 11/24/2031, FLR (CMT - 1yr. + 1.3%) to 11/24/2032 | 2,281,000 | 1,781,465 | ||
Capital One Financial Corp., 6.312% to 6/08/2028, FLR (SOFR - 1 day + 2.640%) to 6/08/2029 | 1,135,000 | 1,134,379 | ||
Capital One Financial Corp., 6.377% to 6/08/2033, FLR (SOFR - 1 day + 2.86%) to 6/08/2034 | 946,000 | 934,436 | ||
Commonwealth Bank of Australia, 3.61% to 9/12/2029, FLR (CMT - 1yr. + 2.05%) to 9/12/2034 (n) | 1,818,000 | 1,541,704 | ||
Commonwealth Bank of Australia, 3.305%, 3/11/2041 (n) | 2,351,000 | 1,598,435 | ||
Credit Agricole S.A., 1.247% to 1/26/2026, FLR (SOFR - 1 day + 0.89162%) to 1/26/2027 (n) | 3,272,000 | 2,932,802 | ||
Goldman Sachs Group, Inc., 2.64% to 2/24/2027, FLR (SOFR - 1 day + 1.114%) to 2/24/2028 | 1,789,000 | 1,619,066 | ||
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR - 1 day + 1.929%) to 6/04/2026 | 3,837,000 | 3,576,422 | ||
HSBC Holdings PLC, 2.357% to 8/18/2030, FLR (SOFR - 1 day + 1.947%) to 8/18/2031 | 1,554,000 | 1,230,680 | ||
Huntington Bancshares, Inc., 6.208% to 8/21/2028, FLR (SOFR - 1 day+ 2.02%) to 8/21/2029 | 1,501,000 | 1,510,854 | ||
JPMorgan Chase & Co., 3.782% to 2/01/2027, FLR ((SOFR - 3mo. + 0.26161%) + 1.337%) to 2/01/2028 | 2,435,000 | 2,299,503 | ||
JPMorgan Chase & Co., 2.545% to 11/08/2031, FLR (SOFR - 1 day + 1.18%) to 11/08/2032 | 3,984,000 | 3,218,442 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
JPMorgan Chase & Co., 3.109% to 4/22/2040, FLR (SOFR - 1 day + 2.46%) to 4/22/2041 | $ | 1,597,000 | $1,179,319 | |
Mitsubishi UFJ Financial Group, Inc., 1.64% to 10/13/2026, FLR (CMT - 1yr. + 0.67%) to 10/13/2027 | 2,438,000 | 2,161,707 | ||
Mitsubishi UFJ Financial Group, Inc., 2.494% to 10/13/2031, FLR (CMT - 1yr. + 0.97%) to 10/13/2032 | 3,570,000 | 2,860,908 | ||
Morgan Stanley, 3.125%, 7/27/2026 | 4,414,000 | 4,130,568 | ||
Morgan Stanley, 5.449% to 7/20/2028, FLR (SOFR - 1 day + 1.63%) to 7/20/2029 | 705,000 | 700,862 | ||
Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031 | 1,330,000 | 1,181,875 | ||
Morgan Stanley, 5.424% to 7/21/2033, FLR (SOFR - 1 day + 1.88%) to 7/21/2034 | 806,000 | 792,476 | ||
Morgan Stanley, 2.484% to 9/16/2031, FLR (SOFR - 1 day + 1.36%) to 9/16/2036 | 1,478,000 | 1,114,656 | ||
National Australia Bank Ltd., 3.347% to 1/12/2032, FLR (CMT - 5yr. + 1.7%) to 1/12/2037 (n) | 1,681,000 | 1,314,744 | ||
NatWest Group PLC, 5.847% to 3/02/2026, FLR (CMT - 1yr. + 1.35%) to 3/02/2027 | 956,000 | 950,324 | ||
NatWest Group PLC, 6.016% to 3/02/2033, FLR (CMT - 1yr. + 2.1%) to 3/02/2034 | 788,000 | 784,374 | ||
Nordea Bank Abp, 1.5%, 9/30/2026 (n) | 3,606,000 | 3,182,853 | ||
Oversea-Chinese Banking Corp. Ltd., 1.832% to 9/10/2025, FLR (CMT - 1yr. + 1.58%) to 9/10/2030 (n) | 723,000 | 665,681 | ||
Oversea-Chinese Banking Corp. Ltd., 4.602%, 6/15/2032 | 671,000 | 646,218 | ||
Royal Bank of Canada, 2.3%, 11/03/2031 | 3,243,000 | 2,607,750 | ||
Standard Chartered PLC, 6.187%, 7/06/2027 (n) | 1,503,000 | 1,506,140 | ||
Sumitomo Mitsui Financial Group, Inc., 1.71%, 1/12/2031 | 2,461,000 | 1,895,038 | ||
Sumitomo Mitsui Trust Bank Ltd., 5.65%, 3/09/2026 (n) | 1,964,000 | 1,966,293 | ||
Toronto-Dominion Bank, 4.108%, 6/08/2027 | 830,000 | 792,667 | ||
Toronto-Dominion Bank, 4.693%, 9/15/2027 | 1,665,000 | 1,623,945 | ||
Toronto-Dominion Bank, 2%, 9/10/2031 | 1,539,000 | 1,219,650 | ||
UBS Group AG, 3.126% to 8/13/2029, FLR (LIBOR - 3mo. + 1.468%) to 8/13/2030 (n) | 1,757,000 | 1,506,130 | ||
UBS Group AG, 3.179% to 2/11/2042, FLR (CMT - 1yr. + 1.1%) to 2/11/2043 (n) | 2,359,000 | 1,639,649 | ||
UniCredit S.p.A., 2.569% to 9/22/2025, FLR (CMT - 1yr. + 2.3%) to 9/22/2026 (n) | 1,750,000 | 1,604,954 | ||
UniCredit S.p.A., 1.982% to 6/03/2026, FLR (CMT - 1yr. + 1.2%) to 6/03/2027 (n) | 282,000 | 250,498 | ||
Wells Fargo & Co., 4.54% to 8/15/2025, FLR (SOFR - 1 day + 1.56%) to 8/15/2026 | 1,269,000 | 1,239,146 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
Wells Fargo & Co., 5.574% to 7/25/2028, FLR (SOFR - 1 day + 1.74%) to 7/25/2029 | $ | 1,228,000 | $1,222,914 | |
Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | 1,154,000 | 971,800 | ||
$76,713,089 | ||||
Medical & Health Technology & Services – 0.7% | ||||
Alcon Finance Corp., 2.6%, 5/27/2030 (n) | $ | 1,260,000 | $1,062,637 | |
Alcon, Inc., 2.75%, 9/23/2026 (n) | 2,618,000 | 2,417,370 | ||
Becton, Dickinson and Co., 2.823%, 5/20/2030 | 1,871,000 | 1,618,018 | ||
Becton, Dickinson and Co., 4.298%, 8/22/2032 | 3,123,000 | 2,919,738 | ||
CVS Health Corp., 5%, 2/20/2026 | 1,211,000 | 1,201,684 | ||
CVS Health Corp., 5.25%, 1/30/2031 | 543,000 | 536,569 | ||
CVS Health Corp., 5.625%, 2/21/2053 | 1,456,000 | 1,377,927 | ||
HCA, Inc., 5.2%, 6/01/2028 | 1,003,000 | 988,347 | ||
HCA, Inc., 5.875%, 2/01/2029 | 810,000 | 814,995 | ||
Marin General Hospital, 7.242%, 8/01/2045 | 839,000 | 804,286 | ||
ProMedica Toledo Hospital, “B”, AGM, 5.325%, 11/15/2028 | 1,721,000 | 1,695,480 | ||
Thermo Fisher Scientific, Inc., 4.977%, 8/10/2030 | 1,158,000 | 1,155,206 | ||
Thermo Fisher Scientific, Inc., 2%, 10/15/2031 | 497,000 | 400,758 | ||
Thermo Fisher Scientific, Inc., 2.8%, 10/15/2041 | 832,000 | 599,281 | ||
$17,592,296 | ||||
Medical Equipment – 0.0% | ||||
Danaher Corp., 2.6%, 10/01/2050 | $ | 1,499,000 | $956,563 | |
Metals & Mining – 0.3% | ||||
Anglo American Capital PLC, 4.5%, 3/15/2028 (n) | $ | 1,578,000 | $1,502,948 | |
Anglo American Capital PLC, 2.875%, 3/17/2031 (n) | 979,000 | 799,807 | ||
First Quantum Minerals Ltd., 8.625%, 6/01/2031 (n) | 723,000 | 735,741 | ||
Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 1,809,000 | 1,474,418 | ||
Petra Diamonds US$ Treasury PLC, 10.5%, 3/08/2026 (n) | 1,728,366 | 1,555,529 | ||
Prumo Participacoes e Investimentos S.A., 7.5%, 12/31/2031 | 764,608 | 716,595 | ||
$6,785,038 | ||||
Midstream – 0.9% | ||||
Cheniere Corpus Christi Holdings LLC, 3.7%, 11/15/2029 | $ | 822,000 | $747,272 | |
Columbia Pipelines Holdings Co. LLC, 6.055%, 8/15/2026 (n) | 313,000 | 316,152 | ||
Columbia Pipelines Operating Co. LLC, 6.544%, 11/15/2053 (n) | 1,812,000 | 1,852,236 | ||
Enbridge, Inc., 5.969%, 3/08/2026 | 861,000 | 861,649 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Midstream – continued | ||||
Enbridge, Inc., 5.7%, 3/08/2033 | $ | 779,000 | $779,359 | |
Enbridge, Inc., 3.4%, 8/01/2051 | 1,735,000 | 1,163,047 | ||
Energy Transfer LP, 4%, 10/01/2027 | 893,000 | 839,082 | ||
Energy Transfer LP, 3.75%, 5/15/2030 | 580,000 | 518,013 | ||
Energy Transfer LP, 5.15%, 3/15/2045 | 1,428,000 | 1,203,929 | ||
Galaxy Pipeline Assets Bidco Ltd., 1.75%, 9/30/2027 (n) | 2,093,292 | 1,931,087 | ||
Galaxy Pipeline Assets Bidco Ltd., 2.625%, 3/31/2036 (n) | 1,010,000 | 798,230 | ||
Galaxy Pipeline Assets Bidco Ltd., 2.94%, 9/30/2040 (n) | 1,689,783 | 1,329,547 | ||
Galaxy Pipeline Assets Bidco Ltd., 3.25%, 9/30/2040 (n) | 1,589,000 | 1,188,688 | ||
Peru LNG, 5.375%, 3/22/2030 | 1,254,000 | 969,903 | ||
Plains All American Pipeline LP, 4.65%, 10/15/2025 | 564,000 | 550,037 | ||
Plains All American Pipeline LP, 3.55%, 12/15/2029 | 1,827,000 | 1,606,191 | ||
Plains All American Pipeline LP, 4.3%, 1/31/2043 | 1,810,000 | 1,346,314 | ||
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 1,349,000 | 1,277,523 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 765,000 | 719,906 | ||
Targa Resources Corp., 4.2%, 2/01/2033 | 1,346,000 | 1,186,843 | ||
Targa Resources Corp., 4.95%, 4/15/2052 | 1,458,000 | 1,183,307 | ||
$22,368,315 | ||||
Mortgage-Backed – 7.9% | ||||
Fannie Mae, 5%, 3/01/2024 - 3/01/2042 | $ | 2,562,923 | $2,556,118 | |
Fannie Mae, 4.5%, 5/01/2025 - 11/01/2042 | 1,292,053 | 1,258,671 | ||
Fannie Mae, 3%, 11/01/2028 - 9/01/2046 | 5,601,948 | 5,190,061 | ||
Fannie Mae, 2.5%, 11/01/2031 - 10/01/2046 | 541,973 | 467,077 | ||
Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | 429,628 | 38,648 | ||
Fannie Mae, 2.003%, 1/25/2032 | 2,100,000 | 1,686,225 | ||
Fannie Mae, 6.5%, 1/01/2033 - 10/01/2037 | 37,762 | 38,523 | ||
Fannie Mae, 4.35%, 2/01/2033 | 1,174,314 | 1,128,624 | ||
Fannie Mae, 3%, 2/25/2033 (i) | 573,844 | 49,476 | ||
Fannie Mae, 5.5%, 5/01/2033 - 5/01/2044 | 2,360,147 | 2,399,351 | ||
Fannie Mae, 6%, 8/01/2034 - 6/01/2038 | 122,403 | 124,796 | ||
Fannie Mae, 3.5%, 4/25/2040 - 12/01/2047 | 2,162,893 | 1,989,941 | ||
Fannie Mae, 4%, 9/01/2040 - 7/01/2043 | 3,464,071 | 3,289,480 | ||
Fannie Mae, 2%, 10/25/2040 - 5/25/2044 | 70,842 | 68,407 | ||
Fannie Mae, UMBS, 2.5%, 8/01/2036 - 5/01/2052 | 26,230,911 | 22,100,217 | ||
Fannie Mae, UMBS, 2%, 10/01/2036 - 9/01/2052 | 23,560,366 | 19,242,801 | ||
Fannie Mae, UMBS, 5.5%, 8/01/2038 - 11/01/2052 | 1,687,884 | 1,683,487 | ||
Fannie Mae, UMBS, 1.5%, 2/01/2042 - 9/01/2051 | 2,070,243 | 1,564,942 | ||
Fannie Mae, UMBS, 3.5%, 5/01/2049 - 7/01/2052 | 745,936 | 676,757 | ||
Fannie Mae, UMBS, 3%, 7/01/2050 - 6/01/2052 | 5,331,730 | 4,604,992 | ||
Fannie Mae, UMBS, 4%, 5/01/2052 - 9/01/2052 | 449,558 | 418,005 | ||
Fannie Mae, UMBS, 4.5%, 7/01/2052 - 9/01/2052 | 410,581 | 391,294 | ||
Fannie Mae, UMBS, 5%, 8/01/2052 - 3/01/2053 | 2,421,104 | 2,348,583 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Fannie Mae, UMBS, 6%, 2/01/2053 | $ | 283,306 | $292,443 | |
Freddie Mac, 1.042%, 4/25/2024 (i) | 13,871,867 | 45,989 | ||
Freddie Mac, 0.727%, 7/25/2024 (i) | 19,969,559 | 64,074 | ||
Freddie Mac, 4.5%, 9/01/2024 - 5/01/2042 | 1,808,852 | 1,735,877 | ||
Freddie Mac, 4%, 7/01/2025 - 4/01/2044 | 1,171,624 | 1,112,208 | ||
Freddie Mac, 3.5%, 1/15/2027 - 10/25/2058 | 4,516,361 | 4,110,208 | ||
Freddie Mac, 1.48%, 3/25/2027 (i) | 2,188,000 | 93,944 | ||
Freddie Mac, 0.706%, 7/25/2027 (i) | 44,228,046 | 812,757 | ||
Freddie Mac, 0.552%, 8/25/2027 (i) | 33,326,297 | 474,227 | ||
Freddie Mac, 0.43%, 1/25/2028 (i) | 60,089,362 | 715,286 | ||
Freddie Mac, 0.436%, 1/25/2028 (i) | 25,843,064 | 317,311 | ||
Freddie Mac, 0.27%, 2/25/2028 (i) | 77,347,103 | 477,208 | ||
Freddie Mac, 0.263%, 4/25/2028 (i) | 49,973,644 | 296,194 | ||
Freddie Mac, 3%, 6/15/2028 - 10/01/2046 | 3,488,149 | 3,112,045 | ||
Freddie Mac, 1.22%, 7/25/2029 (i) | 8,074,705 | 417,254 | ||
Freddie Mac, 1.267%, 8/25/2029 (i) | 14,140,941 | 770,246 | ||
Freddie Mac, 1.916%, 4/25/2030 (i) | 3,344,437 | 329,592 | ||
Freddie Mac, 1.985%, 4/25/2030 (i) | 8,166,315 | 813,819 | ||
Freddie Mac, 1.769%, 5/25/2030 (i) | 4,373,949 | 400,883 | ||
Freddie Mac, 1.907%, 5/25/2030 (i) | 9,928,903 | 978,963 | ||
Freddie Mac, 5.5%, 6/01/2030 - 9/01/2041 | 798,847 | 814,335 | ||
Freddie Mac, 1.436%, 6/25/2030 (i) | 3,957,955 | 297,861 | ||
Freddie Mac, 1.704%, 8/25/2030 (i) | 3,506,241 | 317,074 | ||
Freddie Mac, 1.263%, 9/25/2030 (i) | 2,193,674 | 147,876 | ||
Freddie Mac, 0.42%, 1/25/2031 (i) | 12,710,556 | 232,988 | ||
Freddie Mac, 0.873%, 1/25/2031 (i) | 4,987,462 | 235,922 | ||
Freddie Mac, 0.955%, 9/25/2031 (i) | 5,826,990 | 317,157 | ||
Freddie Mac, 5%, 5/01/2034 - 12/01/2044 | 1,324,718 | 1,323,202 | ||
Freddie Mac, 6%, 8/01/2034 - 10/01/2038 | 154,858 | 159,222 | ||
Freddie Mac, 5.5%, 2/15/2036 (i) | 143,502 | 22,482 | ||
Freddie Mac, 6.5%, 5/01/2037 | 5,768 | 5,967 | ||
Freddie Mac, 4.5%, 12/15/2040 (i) | 36,448 | 3,004 | ||
Freddie Mac, 3.25%, 11/25/2061 | 1,423,745 | 1,251,840 | ||
Freddie Mac, UMBS, 2%, 3/01/2037 - 6/01/2052 | 14,949,995 | 12,173,496 | ||
Freddie Mac, UMBS, 2.5%, 3/01/2037 - 4/01/2052 | 4,509,817 | 3,802,599 | ||
Freddie Mac, UMBS, 5.5%, 4/01/2038 - 4/01/2053 | 1,302,599 | 1,294,471 | ||
Freddie Mac, UMBS, 4.5%, 6/01/2038 - 1/01/2053 | 1,062,767 | 1,027,088 | ||
Freddie Mac, UMBS, 5%, 7/01/2038 | 334,232 | 330,337 | ||
Freddie Mac, UMBS, 3%, 3/01/2047 - 4/01/2052 | 3,321,607 | 2,890,479 | ||
Freddie Mac, UMBS, 1.5%, 6/01/2051 - 11/01/2051 | 63,311 | 47,792 | ||
Freddie Mac, UMBS, 3.5%, 5/01/2052 - 9/01/2052 | 4,586,486 | 4,101,129 | ||
Freddie Mac, UMBS, 4%, 5/01/2052 - 6/01/2052 | 1,426,340 | 1,321,430 | ||
Freddie Mac, UMBS, 6%, 10/01/2052 | 92,907 | 93,226 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Ginnie Mae, 5.5%, 5/15/2033 - 7/20/2053 | $ | 7,211,007 | $7,141,879 | |
Ginnie Mae, 4.5%, 7/20/2033 - 10/20/2052 | 8,159,857 | 7,839,793 | ||
Ginnie Mae, 5.678%, 8/20/2034 | 374,156 | 376,312 | ||
Ginnie Mae, 4%, 5/16/2039 - 10/20/2052 | 3,882,043 | 3,638,051 | ||
Ginnie Mae, 3.5%, 10/20/2041 (i) | 159,480 | 6,273 | ||
Ginnie Mae, 3.5%, 12/15/2041 - 11/20/2052 | 2,780,996 | 2,577,147 | ||
Ginnie Mae, 2.5%, 6/20/2042 - 6/20/2052 | 9,472,933 | 8,060,380 | ||
Ginnie Mae, 4%, 8/16/2042 (i) | 268,274 | 38,759 | ||
Ginnie Mae, 3%, 4/20/2045 - 10/20/2052 | 7,562,291 | 6,682,803 | ||
Ginnie Mae, 5%, 5/20/2049 - 8/20/2053 | 5,970,796 | 5,810,563 | ||
Ginnie Mae, 2%, 1/20/2052 - 3/20/2052 | 2,116,588 | 1,747,319 | ||
Ginnie Mae, 6%, 8/20/2053 | 1,575,000 | 1,580,957 | ||
Ginnie Mae, 0.584%, 2/16/2059 (i) | 994,480 | 34,147 | ||
Ginnie Mae, TBA, 3.5%, 9/15/2053 - 10/15/2053 | 3,175,000 | 2,883,257 | ||
Ginnie Mae, TBA, 4%, 9/15/2053 | 1,475,000 | 1,374,285 | ||
Ginnie Mae, TBA, 6%, 9/21/2053 - 10/15/2053 | 5,150,000 | 5,163,815 | ||
Ginnie Mae, TBA, 6.5%, 9/21/2053 - 10/15/2053 | 1,075,000 | 1,088,075 | ||
UMBS, TBA, 5%, 9/25/2038 | 375,000 | 370,600 | ||
UMBS, TBA, 2.5%, 9/14/2053 | 2,140,648 | 1,773,226 | ||
UMBS, TBA, 5.5%, 9/14/2053 | 1,825,000 | 1,801,902 | ||
UMBS, TBA, 6.5%, 9/14/2053 | 1,775,000 | 1,802,734 | ||
UMBS, TBA, 2%, 9/25/2053 | 2,829,516 | 2,252,892 | ||
UMBS, TBA, 6%, 9/25/2053 | 1,650,000 | 1,654,318 | ||
$188,597,468 | ||||
Municipals – 0.2% | ||||
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 2.746%, 6/01/2034 | $ | 855,000 | $689,317 | |
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 3%, 6/01/2046 | 650,000 | 596,682 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.682%, 7/01/2027 | 255,000 | 231,973 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 197,203 | 185,960 | ||
Philadelphia, PA, School District, Taxable, “A”, AGM, 5.995%, 9/01/2030 | 1,210,000 | 1,262,573 | ||
State of Florida, Taxable, “A”, 2.154%, 7/01/2030 | 936,000 | 770,797 | ||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.497%, 6/01/2024 | 210,000 | 203,425 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Municipals – continued | ||||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.647%, 6/01/2025 | $ | 175,000 | $163,601 | |
$4,104,328 | ||||
Natural Gas - Pipeline – 0.1% | ||||
APA Infrastructure Ltd., 5%, 3/23/2035 (n) | $ | 1,605,000 | $1,475,124 | |
Network & Telecom – 0.0% | ||||
Total Play Telecomunicaciones S.A. de C.V., 6.375%, 9/20/2028 (n) | $ | 703,000 | $322,549 | |
Oils – 0.0% | ||||
Puma International Financing S.A., 5%, 1/24/2026 | $ | 650,000 | $604,825 | |
Other Banks & Diversified Financials – 0.5% | ||||
American Express Co., 4.989% to 5/26/2032, FLR (SOFR - 1 day + 2.255%) to 5/26/2033 | $ | 570,000 | $540,534 | |
Banco Continental S.A.E.C.A., 2.75%, 12/10/2025 (n) | 1,239,000 | 1,126,208 | ||
Banco GNB Sudameris S.A., 7.5% to 4/16/2026, FLR (CMT - 5yr. + 6.66%) to 4/16/2031 (n) | 1,456,000 | 1,200,304 | ||
Banco Industrial S.A., 4.875% to 1/29/2026, FLR (CMT - 5yr. + 4.442%) to 1/29/2031 (n) | 1,050,000 | 974,085 | ||
BBVA Bancomer S.A., 8.45%, 6/29/2038 (n) | 362,000 | 362,164 | ||
BSF Finance, 5.5%, 11/23/2027 | 800,000 | 804,000 | ||
Macquarie Group Ltd., 5.887%, 6/15/2034 (n) | 1,539,000 | 1,494,985 | ||
Manufacturers and Traders Trust Co., 4.7%, 1/27/2028 | 1,499,000 | 1,401,316 | ||
Mizrahi Tefahot Bank Ltd., 3.077% to 4/07/2026, FLR (CMT - 5yr. + 2.25%) to 4/07/2031 (n) | 1,218,000 | 1,065,446 | ||
United Overseas Bank Ltd., 2% to 10/14/2026, FLR (CMT - 5yr. + 1.23%) to 10/14/2031 (n) | 1,677,000 | 1,483,324 | ||
United Overseas Bank Ltd., 3.863% to 10/07/2027, FLR (CMT - 5yr. + 1.45%) to 10/07/2032 (n) | 934,000 | 870,574 | ||
$11,322,940 | ||||
Pharmaceuticals – 0.2% | ||||
Amgen, Inc., 5.15%, 3/02/2028 | $ | 638,000 | $637,334 | |
Merck & Co., Inc., 2.75%, 12/10/2051 | 826,000 | 542,050 | ||
Pfizer Investment Enterprises Pte. Ltd., 4.75%, 5/19/2033 | 1,770,000 | 1,741,774 | ||
Pfizer, Inc., 2.55%, 5/28/2040 | 826,000 | 591,952 | ||
Teva Pharmaceutical Finance Netherlands III B.V., 7.875%, 9/15/2029 | 636,000 | 662,895 | ||
Teva Pharmaceutical Finance Netherlands III B.V., 8.125%, 9/15/2031 | 424,000 | 449,217 | ||
$4,625,222 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Pollution Control – 0.1% | ||||
Waste Management, Inc., 4.625%, 2/15/2033 | $ | 1,859,000 | $1,787,783 | |
Precious Metals & Minerals – 0.1% | ||||
Northern Star Resources Ltd. Co., 6.125%, 4/11/2033 (n) | $ | 2,052,000 | $1,984,346 | |
Railroad & Shipping – 0.1% | ||||
Burlington Northern Santa Fe, LLC, 5.2%, 4/15/2054 | $ | 1,438,000 | $1,414,869 | |
Canadian Pacific Railway Co., 3.1%, 12/02/2051 | 1,167,000 | 792,195 | ||
$2,207,064 | ||||
Real Estate - Office – 0.1% | ||||
Corporate Office Property LP, REIT, 2%, 1/15/2029 | $ | 2,124,000 | $1,672,539 | |
Corporate Office Property LP, REIT, 2.75%, 4/15/2031 | 1,544,000 | 1,190,013 | ||
$2,862,552 | ||||
Real Estate - Other – 0.2% | ||||
EPR Properties, REIT, 3.6%, 11/15/2031 | $ | 741,000 | $567,272 | |
Extra Space Storage LP, 5.5%, 7/01/2030 | 1,622,000 | 1,608,393 | ||
Lexington Realty Trust Co., 2.7%, 9/15/2030 | 1,082,000 | 857,393 | ||
Lexington Realty Trust Co., 2.375%, 10/01/2031 | 474,000 | 358,471 | ||
Prologis LP, REIT, 5.125%, 1/15/2034 | 1,960,000 | 1,929,440 | ||
W.P. Carey, Inc., REIT, 2.45%, 2/01/2032 | 386,000 | 300,581 | ||
$5,621,550 | ||||
Real Estate - Retail – 0.1% | ||||
NNN REIT, Inc., 5.6%, 10/15/2033 | $ | 1,227,000 | $1,202,368 | |
STORE Capital Corp., REIT, 2.75%, 11/18/2030 | 2,605,000 | 1,911,059 | ||
$3,113,427 | ||||
Retailers – 0.3% | ||||
Alibaba Group Holding Ltd., 3.15%, 2/09/2051 | $ | 1,582,000 | $957,481 | |
Alimentation Couche-Tard, Inc., 3.439%, 5/13/2041 (n) | 335,000 | 233,825 | ||
Alimentation Couche-Tard, Inc., 3.8%, 1/25/2050 (n) | 936,000 | 647,673 | ||
Amazon.com, Inc., 3.6%, 4/13/2032 | 1,488,000 | 1,369,214 | ||
AutoZone, Inc., 4.75%, 8/01/2032 | 1,156,000 | 1,105,734 | ||
Grupo Axo S.A.P.I. de C.V., 5.75%, 6/08/2026 (n) | 1,154,000 | 1,022,907 | ||
Home Depot, Inc., 3.9%, 6/15/2047 | 1,446,000 | 1,176,857 | ||
$6,513,691 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Specialty Chemicals – 0.1% | ||||
International Flavors & Fragrances, Inc., 1.23%, 10/01/2025 (n) | $ | 801,000 | $717,193 | |
International Flavors & Fragrances, Inc., 1.832%, 10/15/2027 (n) | 417,000 | 350,737 | ||
International Flavors & Fragrances, Inc., 2.3%, 11/01/2030 (n) | 514,000 | 398,813 | ||
International Flavors & Fragrances, Inc., 3.268%, 11/15/2040 (n) | 633,000 | 421,063 | ||
$1,887,806 | ||||
Specialty Stores – 0.1% | ||||
DICK'S Sporting Goods, 3.15%, 1/15/2032 | $ | 910,000 | $725,394 | |
DICK'S Sporting Goods, 4.1%, 1/15/2052 | 1,181,000 | 767,047 | ||
$1,492,441 | ||||
Telecommunications - Wireless – 0.8% | ||||
Crown Castle, Inc., REIT, 4.45%, 2/15/2026 | $ | 1,267,000 | $1,233,960 | |
Crown Castle, Inc., REIT, 3.7%, 6/15/2026 | 3,623,000 | 3,449,328 | ||
Liberty Costa Rica Senior Secured Finance, 10.875%, 1/15/2031 (n) | 570,000 | 575,700 | ||
Rogers Communications, Inc., 3.8%, 3/15/2032 | 929,000 | 794,550 | ||
Rogers Communications, Inc., 4.5%, 3/15/2042 | 2,401,000 | 1,941,294 | ||
Rogers Communications, Inc., 3.7%, 11/15/2049 | 1,709,000 | 1,161,229 | ||
Sitios Latinoamerica, S.A.B. de C.V., 5.375%, 4/04/2032 | 610,000 | 545,572 | ||
Telefonica Celular del Paraguay S.A., 5.875%, 4/15/2027 | 1,203,000 | 1,139,842 | ||
T-Mobile USA, Inc., 3.5%, 4/15/2025 | 2,182,000 | 2,109,346 | ||
T-Mobile USA, Inc., 2.05%, 2/15/2028 | 1,390,000 | 1,213,551 | ||
T-Mobile USA, Inc., 5.05%, 7/15/2033 | 1,507,000 | 1,454,160 | ||
VEON Holdings B.V., 4%, 4/09/2025 (n) | 1,444,000 | 1,227,400 | ||
Vodafone Group PLC, 5.625%, 2/10/2053 | 2,477,000 | 2,337,327 | ||
$19,183,259 | ||||
Tobacco – 0.1% | ||||
B.A.T. Capital Corp., 6.343%, 8/02/2030 | $ | 1,384,000 | $1,392,804 | |
Philip Morris International, Inc., 5.625%, 11/17/2029 | 605,000 | 611,712 | ||
Philip Morris International, Inc., 5.125%, 2/15/2030 | 1,467,000 | 1,449,965 | ||
$3,454,481 | ||||
Transportation - Services – 0.2% | ||||
Acu Petroleo Luxembourg S.à r.l., 7.5%, 1/13/2032 (n) | $ | 372,034 | $338,581 | |
Adani Ports & Special Economic Zone Ltd., 5%, 8/02/2041 (n) | 1,694,000 | 1,112,002 | ||
Cliffton Ltd., 6.25%, 10/25/2025 (n) | 1,454,000 | 1,421,138 | ||
ERAC USA Finance LLC, 3.3%, 12/01/2026 | 2,463,000 | 2,297,931 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Transportation - Services – continued | ||||
Royal Capital B.V., 5% to 5/05/2026, FLR (CMT - 5yr. + 7.396%) to 7/31/2070 | $ | 390,000 | $377,812 | |
$5,547,464 | ||||
U.S. Government Agencies and Equivalents – 0.0% | ||||
Small Business Administration, 5.16%, 2/01/2028 | $ | 12,591 | $12,125 | |
Small Business Administration, 2.21%, 2/01/2033 | 79,170 | 71,450 | ||
Small Business Administration, 2.22%, 3/01/2033 | 129,274 | 116,285 | ||
Small Business Administration, 3.15%, 7/01/2033 | 152,378 | 141,851 | ||
Small Business Administration, 3.16%, 8/01/2033 | 199,428 | 185,440 | ||
Small Business Administration, 3.62%, 9/01/2033 | 148,551 | 140,754 | ||
$667,905 | ||||
U.S. Treasury Obligations – 5.8% | ||||
U.S. Treasury Bonds, 6.375%, 8/15/2027 | $ | 106,000 | $113,544 | |
U.S. Treasury Bonds, 5.25%, 2/15/2029 | 2,965,000 | 3,103,637 | ||
U.S. Treasury Bonds, 2.375%, 2/15/2042 | 13,508,000 | 10,049,213 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2043 | 6,853,400 | 5,458,894 | ||
U.S. Treasury Bonds, 3.875%, 5/15/2043 | 5,935,000 | 5,520,477 | ||
U.S. Treasury Bonds, 2.5%, 2/15/2046 | 3,581,000 | 2,603,499 | ||
U.S. Treasury Bonds, 2.875%, 11/15/2046 (f) | 7,328,000 | 5,700,096 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2052 | 3,338,000 | 2,591,253 | ||
U.S. Treasury Notes, 0.375%, 10/31/2023 | 11,653,300 | 11,556,796 | ||
U.S. Treasury Notes, 2.75%, 2/15/2024 | 7,855,000 | 7,760,494 | ||
U.S. Treasury Notes, 2.25%, 3/31/2024 | 17,244,000 | 16,932,800 | ||
U.S. Treasury Notes, 3.875%, 3/31/2025 | 2,344,000 | 2,301,607 | ||
U.S. Treasury Notes, 2.625%, 4/15/2025 | 4,094,000 | 3,940,795 | ||
U.S. Treasury Notes, 0.875%, 9/30/2026 | 5,600,000 | 5,025,344 | ||
U.S. Treasury Notes, 2.25%, 8/15/2027 | 8,936,000 | 8,250,790 | ||
U.S. Treasury Notes, 3.625%, 3/31/2028 | 11,275,000 | 10,960,533 | ||
U.S. Treasury Notes, 2.375%, 5/15/2029 | 8,149,500 | 7,381,664 | ||
U.S. Treasury Notes, 3.875%, 9/30/2029 | 4,658,000 | 4,564,658 | ||
U.S. Treasury Notes, 1.625%, 5/15/2031 | 4,940,000 | 4,137,829 | ||
U.S. Treasury Notes, 1.875%, 2/15/2032 | 7,500,000 | 6,303,809 | ||
U.S. Treasury Notes, 2.75%, 8/15/2032 | 14,707,000 | 13,201,256 | ||
U.S. Treasury Notes, 3.25%, 5/15/2042 | 1,714,000 | 1,463,662 | ||
$138,922,650 | ||||
Utilities - Electric Power – 2.3% | ||||
Adani Green Energy (UP) Ltd./Prayatna Developers Private Ltd., 6.25%, 12/10/2024 (n) | $ | 1,238,000 | $1,169,889 | |
Adani Transmission Ltd., 4.25%, 5/21/2036 (n) | 2,546,875 | 1,883,429 | ||
AEP Transmission Co. LLC, 5.4%, 3/15/2053 | 1,016,000 | 1,008,410 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Utilities - Electric Power – continued | ||||
AES Gener S.A., 7.125% to 7/06/2024, FLR (Swap Rate - 5yr. + 4.644%) to 7/06/2029, FLR (Swap Rate - 5yr. + 4.894%) to 7/06/2044, FLR (Swap Rate - 5yr. + 5.644%) to 3/26/2079 | $ | 1,018,000 | $973,575 | |
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 | 1,796,619 | ||
Alabama Power Co., 3.45%, 10/01/2049 | 2,366,000 | 1,678,801 | ||
Alfa Desarrollo S.p.A., 4.55%, 9/27/2051 (n) | 1,025,917 | 741,296 | ||
American Electric Power Co., Inc., 5.699%, 8/15/2025 | 611,000 | 611,305 | ||
American Electric Power Co., Inc., 5.625%, 3/01/2033 | 961,000 | 962,472 | ||
American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | 305,000 | 249,775 | ||
Azure Power Energy Ltd., 3.575%, 8/19/2026 (n) | 1,014,143 | 796,406 | ||
Berkshire Hathaway Energy Co., 5.15%, 11/15/2043 | 360,000 | 330,954 | ||
Berkshire Hathaway Energy Co., 4.6%, 5/01/2053 | 300,000 | 247,178 | ||
CenterPoint Energy, Inc., 2.65%, 6/01/2031 | 936,000 | 767,529 | ||
Clean Renewable Power (Mauritius) Pte. Ltd., 4.25%, 3/25/2027 (n) | 859,320 | 747,608 | ||
Continuum Energy Aura Pte. Ltd., 9.5%, 2/24/2027 (n) | 828,000 | 822,397 | ||
Duke Energy Carolinas LLC, 2.85%, 3/15/2032 | 3,193,000 | 2,694,374 | ||
Duke Energy Corp., 3.3%, 6/15/2041 | 2,162,000 | 1,549,724 | ||
Electricidad Firme de Mexico, 4.9%, 11/20/2026 (n) | 967,000 | 850,655 | ||
Empresa Generadora de Electricidad Haina S.A., 5.625%, 11/08/2028 (n) | 1,095,000 | 959,658 | ||
Enel Finance International N.V., 4.625%, 6/15/2027 (n) | 1,080,000 | 1,042,044 | ||
Enel Finance International N.V., 2.25%, 7/12/2031 (n) | 1,318,000 | 1,024,704 | ||
Enel Finance International N.V., 7.75%, 10/14/2052 (n) | 1,023,000 | 1,169,814 | ||
Energuate Trust, 5.875%, 5/03/2027 | 1,002,000 | 923,093 | ||
EnfraGen Energia Sur S.A., 5.375%, 12/30/2030 (n) | 1,426,000 | 1,051,358 | ||
Evergy, Inc., 2.9%, 9/15/2029 | 1,141,000 | 992,706 | ||
FirstEnergy Corp., 2.65%, 3/01/2030 | 1,863,000 | 1,561,187 | ||
Florida Power & Light Co., 2.85%, 4/01/2025 | 850,000 | 817,611 | ||
Florida Power & Light Co., 4.45%, 5/15/2026 | 695,000 | 684,031 | ||
Florida Power & Light Co., 3.95%, 3/01/2048 | 1,629,000 | 1,322,709 | ||
Georgia Power Co., 4.7%, 5/15/2032 | 2,379,000 | 2,271,344 | ||
Georgia Power Co., 5.125%, 5/15/2052 | 1,101,000 | 1,021,296 | ||
Greenko Dutch B.V. (Republic of India), 3.85%, 3/29/2026 (n) | 1,121,420 | 1,010,915 | ||
Greenko Power II Ltd. (Republic of India), 4.3%, 12/13/2028 (n) | 927,500 | 802,116 | ||
Investment Energy Resources Ltd., 6.25%, 4/26/2029 (n) | 605,000 | 564,792 | ||
Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 2,404,000 | 1,957,344 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Utilities - Electric Power – continued | ||||
Mercury Chile Holdco LLC, 6.5%, 1/24/2027 (n) | $ | 1,039,000 | $960,876 | |
NextEra Energy Capital Holdings, Inc., 6.051%, 3/01/2025 | 848,000 | 851,343 | ||
NextEra Energy Capital Holdings, Inc., 5.749%, 9/01/2025 | 780,000 | 781,848 | ||
NextEra Energy Capital Holdings, Inc., 2.44%, 1/15/2032 | 1,197,000 | 957,895 | ||
NextEra Energy Capital Holdings, Inc., 3.8% to 3/15/2027, FLR (CMT - 5yr. + 2.547%) to 3/15/2082 | 1,173,000 | 984,607 | ||
Pacific Gas & Electric Co., 3.25%, 2/16/2024 | 654,000 | 645,718 | ||
Pacific Gas & Electric Co., 6.1%, 1/15/2029 | 725,000 | 716,486 | ||
Pacific Gas & Electric Co., 2.5%, 2/01/2031 | 1,645,000 | 1,283,682 | ||
ReNew Wind Energy AP2/ReNew Power Private Ltd., 4.5%, 7/14/2028 (n) | 1,249,000 | 1,050,018 | ||
Southern California Edison Co., 4.5%, 9/01/2040 | 454,000 | 388,089 | ||
Southern California Edison Co., 3.65%, 2/01/2050 | 796,000 | 577,211 | ||
TermoCandelaria Power Ltd., 7.875%, 1/30/2029 (n) | 413,850 | 385,915 | ||
Transelec S.A., 3.875%, 1/12/2029 (n) | 811,000 | 746,583 | ||
Virginia Electric & Power Co., 2.875%, 7/15/2029 | 1,367,000 | 1,212,366 | ||
WEC Energy Group, Inc., 4.75%, 1/09/2026 | 2,359,000 | 2,326,426 | ||
Xcel Energy, Inc., 4.6%, 6/01/2032 | 1,907,000 | 1,780,797 | ||
$54,708,978 | ||||
Utilities - Water – 0.0% | ||||
Aegea Finance S.à r.l., 6.75%, 5/20/2029 (n) | $ | 400,000 | $374,550 | |
Total Bonds (Identified Cost, $1,136,483,237) | $1,040,151,119 | |||
Common Stocks – 29.7% | ||||
Aerospace & Defense – 0.5% | ||||
General Dynamics Corp. | 52,763 | $11,958,206 | ||
Alcoholic Beverages – 0.2% | ||||
Kirin Holdings Co. Ltd. | 324,200 | $4,559,010 | ||
Apparel Manufacturers – 0.1% | ||||
Compagnie Financiere Richemont S.A. | 16,385 | $2,329,718 | ||
Automotive – 0.3% | ||||
Bridgestone Corp. | 84,700 | $3,295,554 | ||
Stellantis N.V. | 158,322 | 2,948,715 | ||
Tofas Turk Otomobil Fabriikasi A.S. | 127,595 | 1,288,831 | ||
$7,533,100 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Biotechnology – 0.1% | ||||
Biogen, Inc. (a) | 4,295 | $1,148,311 | ||
Gilead Sciences, Inc. | 25,035 | 1,914,677 | ||
$3,062,988 | ||||
Broadcasting – 0.4% | ||||
Omnicom Group, Inc. | 110,594 | $8,959,220 | ||
Brokerage & Asset Managers – 0.2% | ||||
Bank of New York Mellon Corp. | 129,101 | $5,792,762 | ||
Cable TV – 0.4% | ||||
Comcast Corp., “A” | 202,765 | $9,481,291 | ||
Chemicals – 0.0% | ||||
Nutrien Ltd. | 14,557 | $922,094 | ||
Computer Software – 0.1% | ||||
Microsoft Corp. | 7,904 | $2,590,615 | ||
Computer Software - Systems – 0.7% | ||||
Hitachi Ltd. | 44,600 | $2,971,596 | ||
Hon Hai Precision Industry Co. Ltd. | 1,368,000 | 4,574,820 | ||
Lenovo Group Ltd. | 2,670,000 | 3,019,873 | ||
Samsung Electronics Co. Ltd. | 72,420 | 3,665,518 | ||
Seagate Technology Holdings PLC | 29,286 | 2,073,156 | ||
$16,304,963 | ||||
Construction – 2.0% | ||||
American Homes 4 Rent, “A”, REIT | 320,007 | $11,533,052 | ||
Anhui Conch Cement Co. Ltd. | 1,195,000 | 3,321,836 | ||
AvalonBay Communities, Inc., REIT | 86,973 | 15,987,377 | ||
Essex Property Trust, Inc., REIT | 64,791 | 15,445,527 | ||
Zhejiang Supor Co. Ltd. | 163,800 | 1,069,726 | ||
$47,357,518 | ||||
Consumer Products – 0.9% | ||||
Colgate-Palmolive Co. | 103,469 | $7,601,868 | ||
Kenvue, Inc. | 60,843 | 1,402,431 | ||
Kimberly-Clark Corp. | 96,459 | 12,426,813 | ||
$21,431,112 | ||||
Electronics – 0.8% | ||||
Broadcom, Inc. | 1,593 | $1,470,164 | ||
Lam Research Corp. | 4,879 | 3,427,010 | ||
Novatek Microelectronics Corp. | 166,000 | 2,082,395 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Electronics – continued | ||||
Texas Instruments, Inc. | 74,490 | $12,518,789 | ||
$19,498,358 | ||||
Energy - Independent – 0.5% | ||||
Phillips 66 | 59,919 | $6,840,353 | ||
Valero Energy Corp. | 39,872 | 5,179,373 | ||
$12,019,726 | ||||
Energy - Integrated – 1.2% | ||||
China Petroleum & Chemical Corp. | 14,572,000 | $8,528,755 | ||
Eni S.p.A. | 389,077 | 6,026,357 | ||
Exxon Mobil Corp. | 28,756 | 3,197,379 | ||
LUKOIL PJSC (a)(u) | 17,902 | 0 | ||
Suncor Energy, Inc. (l) | 92,759 | 3,142,081 | ||
TotalEnergies SE | 106,969 | 6,735,646 | ||
$27,630,218 | ||||
Engineering - Construction – 0.1% | ||||
ACS Actividades de Construcción y Servicios S.A. | 35,640 | $1,251,752 | ||
Doosan Bobcat, Inc. | 27,476 | 1,118,372 | ||
$2,370,124 | ||||
Food & Beverages – 1.0% | ||||
Archer Daniels Midland Co. | 51,816 | $4,109,009 | ||
Coca-Cola FEMSA S.A.B. de C.V. | 24,878 | 2,108,162 | ||
General Mills, Inc. | 166,006 | 11,231,966 | ||
J.M. Smucker Co. | 42,267 | 6,126,601 | ||
$23,575,738 | ||||
Food & Drug Stores – 0.4% | ||||
BIM Birlesik Magazalar A.S. | 338,497 | $3,194,916 | ||
Tesco PLC | 1,706,071 | 5,742,443 | ||
Wesfarmers Ltd. | 43,036 | 1,502,174 | ||
$10,439,533 | ||||
Forest & Paper Products – 0.7% | ||||
Rayonier, Inc., REIT | 267,388 | $7,994,901 | ||
Weyerhaeuser Co., REIT | 306,385 | 10,034,109 | ||
$18,029,010 | ||||
Health Maintenance Organizations – 0.2% | ||||
Cigna Group | 19,133 | $5,285,683 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Insurance – 1.4% | ||||
China Pacific Insurance Co. Ltd. | 422,400 | $967,351 | ||
Equitable Holdings, Inc. | 221,456 | 6,377,933 | ||
Hartford Financial Services Group, Inc. | 38,143 | 2,739,430 | ||
Manulife Financial Corp. | 651,941 | 12,052,609 | ||
MetLife, Inc. | 78,232 | 4,955,215 | ||
Samsung Fire & Marine Insurance Co. Ltd. | 28,472 | 5,309,891 | ||
$32,402,429 | ||||
Machinery & Tools – 0.4% | ||||
Timken Co. | 14,003 | $1,070,109 | ||
Volvo Group | 411,225 | 8,308,259 | ||
$9,378,368 | ||||
Major Banks – 1.1% | ||||
ABN AMRO Group N.V., GDR | 141,629 | $2,087,858 | ||
BNP Paribas | 128,537 | 8,322,326 | ||
DBS Group Holdings Ltd. | 521,600 | 12,852,329 | ||
Erste Group Bank AG | 45,360 | 1,621,666 | ||
Regions Financial Corp. | 93,500 | 1,714,790 | ||
$26,598,969 | ||||
Medical & Health Technology & Services – 1.1% | ||||
Encompass Health Corp. | 171,511 | $12,184,142 | ||
McKesson Corp. | 15,444 | 6,367,870 | ||
Universal Health Services, Inc. | 55,569 | 7,485,144 | ||
$26,037,156 | ||||
Metals & Mining – 1.0% | ||||
Glencore PLC | 342,796 | $1,830,163 | ||
PT United Tractors Tbk | 330,800 | 564,728 | ||
Rio Tinto PLC | 211,685 | 13,066,221 | ||
United States Steel Corp. | 151,992 | 4,725,431 | ||
Vale S.A. | 210,100 | 2,761,141 | ||
$22,947,684 | ||||
Natural Gas - Distribution – 0.0% | ||||
UGI Corp. | 50,228 | $1,264,741 | ||
Network & Telecom – 1.2% | ||||
Equinix, Inc., REIT | 36,019 | $28,144,526 | ||
Other Banks & Diversified Financials – 0.2% | ||||
China Construction Bank Corp. | 3,678,000 | $1,969,767 | ||
KB Financial Group, Inc. | 29,418 | 1,204,096 | ||
Sberbank of Russia PJSC (a)(u) | 1,738,404 | 0 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Other Banks & Diversified Financials – continued | ||||
SLM Corp. | 186,823 | $2,660,359 | ||
$5,834,222 | ||||
Pharmaceuticals – 2.6% | ||||
AbbVie, Inc. | 69,400 | $10,199,024 | ||
Bayer AG | 98,637 | 5,405,608 | ||
Johnson & Johnson | 57,641 | 9,319,397 | ||
Merck & Co., Inc. | 53,429 | 5,822,692 | ||
Novartis AG | 54,900 | 5,550,596 | ||
Organon & Co. | 291,862 | 6,409,290 | ||
Pfizer, Inc. | 76,425 | 2,703,917 | ||
Roche Holding AG | 43,236 | 12,740,511 | ||
Sanofi | 32,086 | 3,431,928 | ||
$61,582,963 | ||||
Printing & Publishing – 0.1% | ||||
Lamar Advertising Co., REIT | 32,126 | $2,930,534 | ||
Railroad & Shipping – 0.1% | ||||
A.P. Moller-Maersk A/S | 410 | $745,959 | ||
Orient Overseas International Ltd. | 41,500 | 556,695 | ||
$1,302,654 | ||||
Real Estate – 6.9% | ||||
Alexandria Real Estate Equities, Inc., REIT | 96,823 | $11,264,388 | ||
Brixmor Property Group, Inc., REIT | 538,956 | 11,846,253 | ||
Broadstone Net Lease, Inc., REIT | 41,976 | 678,752 | ||
CubeSmart, REIT | 152,226 | 6,349,347 | ||
Douglas Emmett, Inc., REIT | 152,403 | 2,083,349 | ||
Equity Lifestyle Properties, Inc., REIT | 208,796 | 13,980,980 | ||
Extra Space Storage, Inc., REIT | 101,513 | 13,062,693 | ||
Farmland Partners, Inc., REIT | 252,628 | 2,804,171 | ||
Federal Realty Investment Trust, REIT | 72,619 | 7,112,305 | ||
NNN REIT, Inc. | 363,372 | 14,313,223 | ||
Phillips Edison & Co., REIT | 306,426 | 10,375,584 | ||
Prologis, Inc., REIT | 247,061 | 30,684,976 | ||
Rexford Industrial Realty, Inc., REIT | 138,420 | 7,401,317 | ||
Simon Property Group, Inc., REIT | 111,878 | 12,697,034 | ||
Sun Communities, Inc., REIT | 114,720 | 14,044,022 | ||
Urban Edge Properties, REIT | 341,301 | 5,583,684 | ||
W.P. Carey, Inc., REIT | 28,451 | 1,850,738 | ||
$166,132,816 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Restaurants – 0.3% | ||||
Sodexo | 48,581 | $5,216,256 | ||
Texas Roadhouse, Inc. | 17,781 | 1,851,002 | ||
$7,067,258 | ||||
Specialty Chemicals – 0.1% | ||||
Chemours Co. | 40,091 | $1,363,896 | ||
Specialty Stores – 0.2% | ||||
Home Depot, Inc. | 11,880 | $3,923,964 | ||
Telecommunications - Wireless – 0.9% | ||||
KDDI Corp. | 341,200 | $10,142,548 | ||
SBA Communications Corp., REIT | 47,184 | 10,594,223 | ||
$20,736,771 | ||||
Telephone Services – 0.1% | ||||
Hellenic Telecommunications Organization S.A. | 213,284 | $3,191,588 | ||
Tobacco – 0.5% | ||||
British American Tobacco PLC | 203,406 | $6,757,520 | ||
Japan Tobacco, Inc. | 264,300 | 5,796,634 | ||
$12,554,154 | ||||
Utilities - Electric Power – 0.7% | ||||
E.ON SE | 215,055 | $2,653,758 | ||
Edison International | 106,724 | 7,347,947 | ||
Iberdrola S.A. | 227,727 | 2,706,416 | ||
PG&E Corp. (a) | 111,256 | 1,813,473 | ||
Vistra Corp. | 46,779 | 1,469,796 | ||
$15,991,390 | ||||
Total Common Stocks (Identified Cost, $599,346,044) | $710,517,070 | |||
Preferred Stocks – 0.3% | ||||
Computer Software - Systems – 0.1% | ||||
Samsung Electronics Co. Ltd. | 34,777 | $1,420,812 | ||
Metals & Mining – 0.2% | ||||
Gerdau S.A. | 1,118,015 | $5,836,106 | ||
Total Preferred Stocks (Identified Cost, $6,830,055) | $7,256,918 | |||
Investment Companies (h) – 26.6% | ||||
Bond Funds – 22.9% | ||||
MFS High Yield Pooled Portfolio (v) | 68,433,704 | $546,785,297 |
Issuer | Shares/Par | Value ($) | ||
Investment Companies (h) – continued | ||||
Money Market Funds – 3.7% | ||||
MFS Institutional Money Market Portfolio, 5.3% (v) | 87,461,143 | $87,469,889 | ||
Total Investment Companies (Identified Cost, $652,491,760) | $634,255,186 | |||
Collateral for Securities Loaned – 0.1% | ||||
JPMorgan U.S. Government Money Market Fund - Class IM Shares, 5.27% (j) (Identified Cost, $1,682,568) | 1,682,568 | $1,682,568 | ||
Other Assets, Less Liabilities – (0.2)% | (3,737,867) | |||
Net Assets – 100.0% | $2,390,124,994 |
(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 $634,255,186 and $1,759,607,675, 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 $250,764,444, representing 10.5% 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. |
The following abbreviations are used in this report and are defined: | |
AGM | Assured Guaranty Municipal |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
GDR | Global Depositary Receipt |
LIBOR | London Interbank Offered Rate |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
UMBS | Uniform Mortgage-Backed Security |
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below: | |
BRL | Brazilian Real |
CNH | Chinese Yuan Renminbi (Offshore) |
CNY | China Yuan Renminbi |
CZK | Czech Koruna |
EUR | Euro |
HUF | Hungarian Forint |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
PEN | Peruvian Nuevo Sol |
PHP | Philippine Peso |
PLN | Polish Zloty |
TWD | Taiwan Dollar |
UYU | Uruguayan Peso |
ZAR | South African Rand |
Forward Foreign Currency Exchange Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives | ||||||
USD | 1,469,678 | BRL | 7,120,000 | Banco Santander S.A. | 9/05/2023 | $31,890 |
USD | 3,718,309 | BRL | 18,301,145 | Barclays Bank PLC | 9/05/2023 | 22,639 |
USD | 3,712,652 | BRL | 18,301,145 | Barclays Bank PLC | 12/04/2023 | 64,025 |
USD | 801,705 | BRL | 3,900,537 | Citibank N.A. | 9/01/2023 | 14,044 |
USD | 354,381 | BRL | 1,724,169 | Goldman Sachs International | 9/01/2023 | 6,208 |
USD | 911,971 | BRL | 4,372,855 | Goldman Sachs International | 9/05/2023 | 28,931 |
USD | 347,555 | BRL | 1,724,169 | Goldman Sachs International | 12/04/2023 | 3,814 |
USD | 1,079,919 | CZK | 23,884,565 | Deutsche Bank AG | 10/20/2023 | 5,762 |
USD | 1,126,080 | CZK | 24,841,623 | HSBC Bank | 10/20/2023 | 8,882 |
USD | 1,007,221 | CZK | 22,169,989 | Morgan Stanley Capital Services, Inc. | 10/20/2023 | 10,174 |
USD | 11,506,578 | EUR | 10,204,769 | Goldman Sachs International | 10/20/2023 | 416,570 |
USD | 1,230,079 | HUF | 419,401,851 | HSBC Bank | 10/20/2023 | 48,205 |
USD | 196,616 | KRW | 249,584,000 | Barclays Bank PLC | 10/27/2023 | 7,216 |
USD | 755,733 | KRW | 960,792,000 | Goldman Sachs International | 10/27/2023 | 26,626 |
USD | 4,925,638 | MXN | 84,087,003 | JPMorgan Chase Bank N.A. | 10/20/2023 | 34,244 |
USD | 1,552,333 | PEN | 5,679,366 | Goldman Sachs International | 11/03/2023 | 21,520 |
USD | 1,128,641 | PHP | 63,398,000 | Barclays Bank PLC | 9/12/2023 | 9,197 |
USD | 1,131,060 | PLN | 4,577,573 | Deutsche Bank AG | 10/20/2023 | 24,136 |
USD | 731,692 | PLN | 2,994,044 | Goldman Sachs International | 10/20/2023 | 7,688 |
USD | 1,868,971 | TWD | 58,048,385 | Morgan Stanley Capital Services, Inc. | 10/11/2023 | 37,967 |
USD | 1,032,741 | ZAR | 18,786,208 | Barclays Bank PLC | 10/20/2023 | 41,981 |
$871,719 |
Forward Foreign Currency Exchange Contracts - continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Liability Derivatives | ||||||
BRL | 4,749,000 | USD | 976,096 | Banco Santander S.A. | 9/01/2023 | $(17,099) |
BRL | 10,833,000 | USD | 2,200,979 | Banco Santander S.A. | 9/05/2023 | (13,400) |
BRL | 18,301,145 | USD | 3,759,479 | Barclays Bank PLC | 9/05/2023 | (63,809) |
BRL | 3,900,536 | USD | 791,234 | Citibank N.A. | 9/01/2023 | (3,573) |
BRL | 2,599,875 | USD | 531,971 | Goldman Sachs International | 9/01/2023 | (6,961) |
BRL | 9,025,855 | USD | 1,834,324 | Goldman Sachs International | 9/05/2023 | (11,674) |
EUR | 805,016 | USD | 907,770 | Citibank N.A. | 10/20/2023 | (32,921) |
INR | 156,291,700 | USD | 1,894,215 | Goldman Sachs International | 10/10/2023 | (8,693) |
JPY | 215,547,497 | USD | 1,581,263 | Morgan Stanley Capital Services, Inc. | 10/20/2023 | (88,869) |
TWD | 58,048,385 | USD | 1,879,379 | Barclays Bank PLC | 10/11/2023 | (48,374) |
USD | 941,813 | BRL | 4,749,000 | Banco Santander S.A. | 9/01/2023 | (17,183) |
USD | 749,450 | BRL | 3,713,000 | Banco Santander S.A. | 9/05/2023 | (340) |
USD | 169,888 | BRL | 875,706 | Goldman Sachs International | 9/01/2023 | (6,949) |
USD | 931,690 | BRL | 4,653,000 | Goldman Sachs International | 9/05/2023 | (7,921) |
USD | 2,194,809 | CNH | 15,964,000 | Barclays Bank PLC | 10/20/2023 | (4,149) |
USD | 1,876,387 | INR | 156,291,700 | Morgan Stanley Capital Services, Inc. | 10/10/2023 | (9,136) |
USD | 935,705 | MXN | 16,295,194 | State Street Bank Corp. | 10/20/2023 | (12,196) |
$(353,247) |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Bond 30 yr | Long | USD | 47 | $5,719,313 | December – 2023 | $76,987 |
U.S. Treasury Note 10 yr | Long | USD | 642 | 71,282,062 | December – 2023 | 737,302 |
U.S. Treasury Note 2 yr | Long | USD | 22 | 4,483,703 | December – 2023 | 2,203 |
U.S. Treasury Note 5 yr | Long | USD | 94 | 10,050,656 | December – 2023 | 50,532 |
U.S. Treasury Ultra Bond | Long | USD | 100 | 12,946,875 | December – 2023 | 192,541 |
$1,059,565 | ||||||
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Ultra Note 10 yr | Short | USD | 184 | $21,364,125 | December – 2023 | $(285,454) |
Assets | |
Investments in unaffiliated issuers, at value, including $1,583,326 of securities on loan (identified cost, $1,744,341,904) | $1,759,607,675 |
Investments in affiliated issuers, at value (identified cost, $652,491,760) | 634,255,186 |
Foreign currency, at value (identified cost, $32) | 32 |
Receivables for | |
Forward foreign currency exchange contracts | 871,719 |
Net daily variation margin on open futures contracts | 174,727 |
Investments sold | 6,272,001 |
TBA sale commitments | 18,784,099 |
Fund shares sold | 3,015,633 |
Interest and dividends | 14,649,847 |
Receivable from investment adviser | 22,422 |
Other assets | 67,433 |
Total assets | $2,437,720,774 |
Liabilities | |
Payable to custodian | $45,138 |
Payables for | |
Distributions | 673,406 |
Forward foreign currency exchange contracts | 353,247 |
Investments purchased | 2,071,934 |
TBA purchase commitments | 36,228,788 |
Fund shares reacquired | 5,329,452 |
Collateral for securities loaned, at value | 1,682,568 |
Payable to affiliates | |
Administrative services fee | 1,929 |
Shareholder servicing costs | 874,284 |
Distribution and service fees | 26,986 |
Accrued expenses and other liabilities | 308,048 |
Total liabilities | $47,595,780 |
Net assets | $2,390,124,994 |
Net assets consist of | |
Paid-in capital | $2,494,028,293 |
Total distributable earnings (loss) | (103,903,299) |
Net assets | $2,390,124,994 |
Shares of beneficial interest outstanding | 207,920,750 |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $1,254,823,427 | 109,142,311 | $11.50 |
Class C | 175,490,709 | 15,271,069 | 11.49 |
Class I | 721,786,013 | 62,803,857 | 11.49 |
Class R1 | 191,882 | 16,707 | 11.49 |
Class R2 | 1,189,917 | 103,529 | 11.49 |
Class R3 | 10,455,248 | 908,989 | 11.50 |
Class R4 | 15,565,018 | 1,353,728 | 11.50 |
Class R6 | 210,622,780 | 18,320,560 | 11.50 |
(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 $12.01 [100 / 95.75 x $11.50]. On sales of $100,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A and Class C shares. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R6. |
Net investment income (loss) | |
Income | |
Interest | $26,712,398 |
Dividends from affiliated issuers | 20,734,614 |
Dividends | 19,443,244 |
Other | 29,223 |
Income on securities loaned | 27,084 |
Foreign taxes withheld | (955,072) |
Total investment income | $65,991,491 |
Expenses | |
Management fee | $6,900,677 |
Distribution and service fees | 2,639,685 |
Shareholder servicing costs | 1,199,072 |
Administrative services fee | 186,610 |
Independent Trustees' compensation | 22,315 |
Custodian fee | 133,408 |
Shareholder communications | 78,803 |
Audit and tax fees | 44,572 |
Legal fees | 7,175 |
Miscellaneous | 126,450 |
Total expenses | $11,338,767 |
Reduction of expenses by investment adviser and distributor | (764,391) |
Net expenses | $10,574,376 |
Net investment income (loss) | $55,417,115 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers (net of $184 foreign capital gains tax) | $(17,156,870) |
Affiliated issuers | (8,562,323) |
Written options | 95,900 |
Futures contracts | (4,091,709) |
Forward foreign currency exchange contracts | (1,025,831) |
Foreign currency | 26,117 |
Net realized gain (loss) | $(30,714,716) |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers (net of $14,900 decrease in deferred foreign capital gains tax) | $10,634,909 |
Affiliated issuers | 14,842,599 |
Written options | (59,302) |
Futures contracts | 1,215,145 |
Forward foreign currency exchange contracts | 569,656 |
Translation of assets and liabilities in foreign currencies | 55,425 |
Net unrealized gain (loss) | $27,258,432 |
Net realized and unrealized gain (loss) | $(3,456,284) |
Change in net assets from operations | $51,960,831 |
Six months ended | Year ended | |
8/31/23 (unaudited) | 2/28/23 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $55,417,115 | $100,751,457 |
Net realized gain (loss) | (30,714,716) | (40,353,749) |
Net unrealized gain (loss) | 27,258,432 | (297,808,054) |
Change in net assets from operations | $51,960,831 | $(237,410,346) |
Total distributions to shareholders | $(46,932,346) | $(131,363,838) |
Change in net assets from fund share transactions | $(204,243,815) | $(396,673,104) |
Total change in net assets | $(199,215,330) | $(765,447,288) |
Net assets | ||
At beginning of period | 2,589,340,324 | 3,354,787,612 |
At end of period | $2,390,124,994 | $2,589,340,324 |
Class A | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $11.48 | $12.91 | $13.14 | $12.86 | $12.35 | $12.10 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.25 | $0.41 | $0.38 | $0.37 | $0.37 | $0.39 |
Net realized and unrealized gain (loss) | (0.02) | (1.31) | 0.07 | 0.28 | 0.51 | 0.33 |
Total from investment operations | $0.23 | $(0.90) | $0.45 | $0.65 | $0.88 | $0.72 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.21) | $(0.38) | $(0.41) | $(0.34) | $(0.37) | $(0.39) |
From net realized gain | — | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) |
Total distributions declared to shareholders | $(0.21) | $(0.53) | $(0.68) | $(0.37) | $(0.37) | $(0.47) |
Net asset value, end of period (x) | $11.50 | $11.48 | $12.91 | $13.14 | $12.86 | $12.35 |
Total return (%) (r)(s)(t)(x) | 2.04(n) | (6.96) | 3.22 | 5.28 | 7.20 | 6.10 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 0.95(a) | 0.97 | 0.99 | 0.99 | 0.98 | 0.99 |
Expenses after expense reductions (f)(h) | 0.89(a) | 0.93 | 0.98 | 0.98 | 0.97 | 0.98 |
Net investment income (loss) | 4.36(a) | 3.46 | 2.78 | 2.97 | 2.86 | 3.21 |
Portfolio turnover | 30(n) | 62 | 72 | 111 | 57 | 36 |
Net assets at end of period (000 omitted) | $1,254,823 | $1,300,451 | $1,563,027 | $1,577,032 | $1,540,570 | $1,315,625 |
Class C | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $11.47 | $12.91 | $13.14 | $12.85 | $12.35 | $12.09 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.21 | $0.32 | $0.28 | $0.28 | $0.28 | $0.30 |
Net realized and unrealized gain (loss) | (0.02) | (1.32) | 0.06 | 0.29 | 0.49 | 0.34 |
Total from investment operations | $0.19 | $(1.00) | $0.34 | $0.57 | $0.77 | $0.64 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.17) | $(0.29) | $(0.30) | $(0.25) | $(0.27) | $(0.30) |
From net realized gain | — | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) |
Total distributions declared to shareholders | $(0.17) | $(0.44) | $(0.57) | $(0.28) | $(0.27) | $(0.38) |
Net asset value, end of period (x) | $11.49 | $11.47 | $12.91 | $13.14 | $12.85 | $12.35 |
Total return (%) (r)(s)(t)(x) | 1.66(n) | (7.74) | 2.44 | 4.57 | 6.32 | 5.40 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 1.71(a) | 1.72 | 1.74 | 1.74 | 1.73 | 1.75 |
Expenses after expense reductions (f)(h) | 1.64(a) | 1.69 | 1.73 | 1.73 | 1.72 | 1.74 |
Net investment income (loss) | 3.64(a) | 2.71 | 2.05 | 2.27 | 2.14 | 2.48 |
Portfolio turnover | 30(n) | 62 | 72 | 111 | 57 | 36 |
Net assets at end of period (000 omitted) | $175,491 | $220,775 | $355,639 | $456,806 | $724,758 | $756,643 |
Class I | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $11.47 | $12.91 | $13.14 | $12.86 | $12.35 | $12.09 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.27 | $0.44 | $0.41 | $0.40 | $0.40 | $0.42 |
Net realized and unrealized gain (loss) | (0.02) | (1.32) | 0.07 | 0.29 | 0.51 | 0.34 |
Total from investment operations | $0.25 | $(0.88) | $0.48 | $0.69 | $0.91 | $0.76 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.23) | $(0.41) | $(0.44) | $(0.38) | $(0.40) | $(0.42) |
From net realized gain | — | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) |
Total distributions declared to shareholders | $(0.23) | $(0.56) | $(0.71) | $(0.41) | $(0.40) | $(0.50) |
Net asset value, end of period (x) | $11.49 | $11.47 | $12.91 | $13.14 | $12.86 | $12.35 |
Total return (%) (r)(s)(t)(x) | 2.17(n) | (6.81) | 3.47 | 5.54 | 7.46 | 6.45 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 0.70(a) | 0.72 | 0.74 | 0.74 | 0.73 | 0.74 |
Expenses after expense reductions (f)(h) | 0.64(a) | 0.69 | 0.73 | 0.73 | 0.72 | 0.74 |
Net investment income (loss) | 4.62(a) | 3.70 | 3.03 | 3.24 | 3.11 | 3.47 |
Portfolio turnover | 30(n) | 62 | 72 | 111 | 57 | 36 |
Net assets at end of period (000 omitted) | $721,786 | $816,791 | $1,145,617 | $1,156,030 | $1,425,004 | $1,181,300 |
Class R1 | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $11.46 | $12.90 | $13.13 | $12.85 | $12.34 | $12.08 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.21 | $0.32 | $0.28 | $0.28 | $0.27 | $0.31 |
Net realized and unrealized gain (loss) | (0.01) | (1.32) | 0.06 | 0.28 | 0.51 | 0.33 |
Total from investment operations | $0.20 | $(1.00) | $0.34 | $0.56 | $0.78 | $0.64 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.17) | $(0.29) | $(0.30) | $(0.25) | $(0.27) | $(0.30) |
From net realized gain | — | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) |
Total distributions declared to shareholders | $(0.17) | $(0.44) | $(0.57) | $(0.28) | $(0.27) | $(0.38) |
Net asset value, end of period (x) | $11.49 | $11.46 | $12.90 | $13.13 | $12.85 | $12.34 |
Total return (%) (r)(s)(t)(x) | 1.75(n) | (7.75) | 2.44 | 4.49 | 6.40 | 5.40 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 1.70(a) | 1.72 | 1.74 | 1.74 | 1.73 | 1.75 |
Expenses after expense reductions (f)(h) | 1.64(a) | 1.69 | 1.73 | 1.73 | 1.72 | 1.74 |
Net investment income (loss) | 3.61(a) | 2.70 | 2.03 | 2.22 | 2.12 | 2.57 |
Portfolio turnover | 30(n) | 62 | 72 | 111 | 57 | 36 |
Net assets at end of period (000 omitted) | $192 | $180 | $225 | $241 | $214 | $193 |
Class R2 | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $11.47 | $12.91 | $13.14 | $12.86 | $12.35 | $12.09 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.24 | $0.38 | $0.34 | $0.35 | $0.34 | $0.36 |
Net realized and unrealized gain (loss) | (0.02) | (1.32) | 0.07 | 0.27 | 0.51 | 0.34 |
Total from investment operations | $0.22 | $(0.94) | $0.41 | $0.62 | $0.85 | $0.70 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.20) | $(0.35) | $(0.37) | $(0.31) | $(0.34) | $(0.36) |
From net realized gain | — | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) |
Total distributions declared to shareholders | $(0.20) | $(0.50) | $(0.64) | $(0.34) | $(0.34) | $(0.44) |
Net asset value, end of period (x) | $11.49 | $11.47 | $12.91 | $13.14 | $12.86 | $12.35 |
Total return (%) (r)(s)(t)(x) | 1.91(n) | (7.28) | 2.96 | 5.01 | 6.93 | 5.92 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 1.20(a) | 1.22 | 1.24 | 1.24 | 1.23 | 1.25 |
Expenses after expense reductions (f)(h) | 1.14(a) | 1.18 | 1.23 | 1.23 | 1.22 | 1.24 |
Net investment income (loss) | 4.12(a) | 3.21 | 2.53 | 2.78 | 2.65 | 2.99 |
Portfolio turnover | 30(n) | 62 | 72 | 111 | 57 | 36 |
Net assets at end of period (000 omitted) | $1,190 | $1,289 | $1,647 | $1,830 | $3,085 | $3,486 |
Class R3 | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $11.48 | $12.92 | $13.15 | $12.86 | $12.36 | $12.10 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.26 | $0.41 | $0.38 | $0.37 | $0.37 | $0.39 |
Net realized and unrealized gain (loss) | (0.03) | (1.32) | 0.07 | 0.29 | 0.50 | 0.34 |
Total from investment operations | $0.23 | $(0.91) | $0.45 | $0.66 | $0.87 | $0.73 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.21) | $(0.38) | $(0.41) | $(0.34) | $(0.37) | $(0.39) |
From net realized gain | — | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) |
Total distributions declared to shareholders | $(0.21) | $(0.53) | $(0.68) | $(0.37) | $(0.37) | $(0.47) |
Net asset value, end of period (x) | $11.50 | $11.48 | $12.92 | $13.15 | $12.86 | $12.36 |
Total return (%) (r)(s)(t)(x) | 2.04(n) | (7.04) | 3.21 | 5.36 | 7.11 | 6.18 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 0.96(a) | 0.97 | 0.99 | 0.99 | 0.98 | 1.00 |
Expenses after expense reductions (f)(h) | 0.89(a) | 0.93 | 0.98 | 0.98 | 0.97 | 0.99 |
Net investment income (loss) | 4.44(a) | 3.45 | 2.78 | 2.98 | 2.86 | 3.21 |
Portfolio turnover | 30(n) | 62 | 72 | 111 | 57 | 36 |
Net assets at end of period (000 omitted) | $10,455 | $21,712 | $22,253 | $22,760 | $24,385 | $19,159 |
Class R4 | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $11.48 | $12.92 | $13.15 | $12.86 | $12.36 | $12.10 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.26 | $0.44 | $0.42 | $0.41 | $0.41 | $0.41 |
Net realized and unrealized gain (loss) | (0.01) | (1.32) | 0.06 | 0.29 | 0.49 | 0.35 |
Total from investment operations | $0.25 | $(0.88) | $0.48 | $0.70 | $0.90 | $0.76 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.23) | $(0.41) | $(0.44) | $(0.38) | $(0.40) | $(0.42) |
From net realized gain | — | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) |
Total distributions declared to shareholders | $(0.23) | $(0.56) | $(0.71) | $(0.41) | $(0.40) | $(0.50) |
Net asset value, end of period (x) | $11.50 | $11.48 | $12.92 | $13.15 | $12.86 | $12.36 |
Total return (%) (r)(s)(t)(x) | 2.17(n) | (6.80) | 3.47 | 5.62 | 7.38 | 6.45 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 0.69(a) | 0.72 | 0.74 | 0.74 | 0.73 | 0.74 |
Expenses after expense reductions (f)(h) | 0.64(a) | 0.69 | 0.73 | 0.73 | 0.72 | 0.73 |
Net investment income (loss) | 4.49(a) | 3.71 | 3.05 | 3.24 | 3.15 | 3.43 |
Portfolio turnover | 30(n) | 62 | 72 | 111 | 57 | 36 |
Net assets at end of period (000 omitted) | $15,565 | $4,146 | $5,995 | $8,626 | $9,783 | $10,063 |
Class R6 | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $11.48 | $12.91 | $13.14 | $12.86 | $12.35 | $12.10 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.27 | $0.45 | $0.42 | $0.42 | $0.41 | $0.43 |
Net realized and unrealized gain (loss) | (0.02) | (1.31) | 0.07 | 0.28 | 0.51 | 0.33 |
Total from investment operations | $0.25 | $(0.86) | $0.49 | $0.70 | $0.92 | $0.76 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.23) | $(0.42) | $(0.45) | $(0.39) | $(0.41) | $(0.43) |
From net realized gain | — | (0.15) | (0.27) | (0.03) | (0.00)(w) | (0.08) |
Total distributions declared to shareholders | $(0.23) | $(0.57) | $(0.72) | $(0.42) | $(0.41) | $(0.51) |
Net asset value, end of period (x) | $11.50 | $11.48 | $12.91 | $13.14 | $12.86 | $12.35 |
Total return (%) (r)(s)(t)(x) | 2.22(n) | (6.64) | 3.57 | 5.64 | 7.55 | 6.46 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 0.61(a) | 0.63 | 0.65 | 0.65 | 0.64 | 0.65 |
Expenses after expense reductions (f)(h) | 0.55(a) | 0.59 | 0.64 | 0.64 | 0.63 | 0.64 |
Net investment income (loss) | 4.71(a) | 3.79 | 3.12 | 3.32 | 3.19 | 3.55 |
Portfolio turnover | 30(n) | 62 | 72 | 111 | 57 | 36 |
Net assets at end of period (000 omitted) | $210,623 | $223,996 | $260,384 | $266,792 | $271,679 | $218,650 |
(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. |
(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 | $497,302,304 | $— | $— | $497,302,304 |
United Kingdom | 27,396,347 | — | — | 27,396,347 |
Japan | 26,765,342 | — | — | 26,765,342 |
France | 23,706,156 | — | — | 23,706,156 |
Switzerland | 20,620,825 | — | — | 20,620,825 |
China | 19,434,003 | — | — | 19,434,003 |
Canada | 16,116,784 | — | — | 16,116,784 |
Singapore | 12,852,329 | — | — | 12,852,329 |
South Korea | 12,718,689 | — | — | 12,718,689 |
Other Countries | 60,861,209 | — | 0 | 60,861,209 |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 139,590,555 | — | 139,590,555 |
Non - U.S. Sovereign Debt | — | 252,709,623 | — | 252,709,623 |
Municipal Bonds | — | 4,104,328 | — | 4,104,328 |
U.S. Corporate Bonds | — | 253,014,690 | — | 253,014,690 |
Residential Mortgage-Backed Securities | — | 188,597,468 | — | 188,597,468 |
Commercial Mortgage-Backed Securities | — | 11,010,132 | — | 11,010,132 |
Asset-Backed Securities (including CDOs) | — | 21,170,407 | — | 21,170,407 |
Foreign Bonds | — | 169,953,916 | — | 169,953,916 |
Mutual Funds | 635,937,754 | — | — | 635,937,754 |
Total | $1,353,711,742 | $1,040,151,119 | $0 | $2,393,862,861 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $1,059,565 | $— | $— | $1,059,565 |
Futures Contracts – Liabilities | (285,454) | — | — | (285,454) |
Forward Foreign Currency Exchange Contracts – Assets | — | 871,719 | — | 871,719 |
Forward Foreign Currency Exchange Contracts – Liabilities | — | (353,247) | — | (353,247) |
Equity Securities | |
Balance as of 2/28/23 | $520,336 |
Realized gain (loss) | 623,766 |
Change in unrealized appreciation or depreciation | (520,336) |
Sales | (623,766) |
Balance as of 8/31/23 | $0 |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Interest Rate | Futures Contracts | $1,059,565 | $(285,454) |
Foreign Exchange | Forward Foreign Currency Exchange Contracts | 871,719 | (353,247) |
Total | $1,931,284 | $(638,701) |
Risk | Futures Contracts | Forward Foreign Currency Exchange Contracts | Unaffiliated Issuers (Purchased Options) | Written Options |
Interest Rate | $(4,091,709) | $— | $— | $— |
Foreign Exchange | — | (1,025,831) | — | — |
Equity | — | — | (3,914,991) | — |
Credit | — | — | (233,996) | 95,900 |
Total | $(4,091,709) | $(1,025,831) | $(4,148,987) | $95,900 |
Risk | Futures Contracts | Forward Foreign Currency Exchange Contracts | Unaffiliated Issuers (Purchased Options) | Written Options |
Interest Rate | $1,215,145 | $— | $— | $— |
Foreign Exchange | — | 569,656 | — | — |
Equity | — | — | 3,590,991 | — |
Credit | — | — | 107,861 | (59,302) |
Total | $1,215,145 | $569,656 | $3,698,852 | $(59,302) |
Year ended 2/28/23 | |
Ordinary income (including any short-term capital gains) | $95,051,016 |
Long-term capital gains | 36,312,822 |
Total distributions | $131,363,838 |
As of 8/31/23 | |
Cost of investments | $2,364,215,540 |
Gross appreciation | 181,868,032 |
Gross depreciation | (152,220,711) |
Net unrealized appreciation (depreciation) | $29,647,321 |
As of 2/28/23 | |
Undistributed ordinary income | 16,377,528 |
Capital loss carryforwards | (47,228,379) |
Other temporary differences | (8,485,112) |
Net unrealized appreciation (depreciation) | (69,595,821) |
Short-Term | $(47,228,379) |
Six months ended 8/31/23 | Year ended 2/28/23 | ||
Class A | $23,838,271 | $62,915,628 | |
Class C | 2,935,998 | 10,456,513 | |
Class I | 15,228,466 | 45,334,899 | |
Class R1 | 2,769 | 7,733 | |
Class R2 | 21,605 | 54,720 | |
Class R3 | 284,303 | 959,124 | |
Class R4 | 210,011 | 226,361 | |
Class R6 | 4,410,923 | 11,408,860 | |
Total | $46,932,346 | $131,363,838 |
Up to $5 billion | 0.55% |
In excess of $5 billion | 0.50% |
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% | $ 1,618,152 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 998,072 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 940 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 3,146 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 19,375 |
Total Distribution and Service Fees | $2,639,685 |
(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, 2023 based on each class's average daily net assets. MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for |
Amount | |
Class A | $14,653 |
Class C | 2,061 |
Purchases | Sales | |
U.S. Government securities | $342,990,876 | $329,315,103 |
Non-U.S. Government securities | 369,516,335 | 526,269,866 |
Six months ended 8/31/23 | Year ended 2/28/23 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 5,377,445 | $61,938,013 | 14,774,136 | $174,356,080 | |
Class C | 218,561 | 2,508,434 | 944,302 | 11,158,682 | |
Class I | 3,665,040 | 42,279,435 | 10,662,576 | 126,908,598 | |
Class R1 | 762 | 8,804 | 1,874 | 22,246 | |
Class R2 | 5,395 | 62,196 | 10,736 | 127,045 | |
Class R3 | 98,279 | 1,135,235 | 286,020 | 3,366,042 | |
Class R4 | 1,064,352 | 12,191,885 | 33,848 | 398,607 | |
Class R6 | 1,587,710 | 18,304,507 | 3,524,722 | 41,388,166 | |
12,017,544 | $138,428,509 | 30,238,214 | $357,725,466 |
Six months ended 8/31/23 | Year ended 2/28/23 | ||||
Shares | Amount | Shares | Amount | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 1,956,063 | $22,635,705 | 5,070,118 | $59,553,596 | |
Class C | 240,081 | 2,777,255 | 837,455 | 9,851,187 | |
Class I | 1,089,463 | 12,602,398 | 3,225,812 | 37,924,405 | |
Class R1 | 240 | 2,769 | 653 | 7,678 | |
Class R2 | 1,855 | 21,464 | 4,647 | 54,626 | |
Class R3 | 22,681 | 262,991 | 81,598 | 957,903 | |
Class R4 | 18,148 | 210,011 | 19,182 | 225,843 | |
Class R6 | 369,591 | 4,276,992 | 939,612 | 11,034,589 | |
3,698,122 | $42,789,585 | 10,179,077 | $119,609,827 | ||
Shares reacquired | |||||
Class A | (11,499,520) | $(132,619,492) | (27,576,832) | $(322,612,726) | |
Class C | (4,434,230) | (51,023,734) | (10,091,221) | (118,516,947) | |
Class I | (13,146,735) | (151,604,047) | (31,441,612) | (368,467,110) | |
Class R1 | (19) | (224) | (4,267) | (48,165) | |
Class R2 | (16,096) | (185,248) | (30,572) | (377,408) | |
Class R3 | (1,103,383) | (12,639,401) | (199,120) | (2,335,392) | |
Class R4 | (89,890) | (1,036,349) | (156,023) | (1,831,518) | |
Class R6 | (3,154,455) | (36,353,414) | (5,110,900) | (59,819,131) | |
(33,444,328) | $(385,461,909) | (74,610,547) | $(874,008,397) | ||
Net change | |||||
Class A | (4,166,012) | $(48,045,774) | (7,732,578) | $(88,703,050) | |
Class C | (3,975,588) | (45,738,045) | (8,309,464) | (97,507,078) | |
Class I | (8,392,232) | (96,722,214) | (17,553,224) | (203,634,107) | |
Class R1 | 983 | 11,349 | (1,740) | (18,241) | |
Class R2 | (8,846) | (101,588) | (15,189) | (195,737) | |
Class R3 | (982,423) | (11,241,175) | 168,498 | 1,988,553 | |
Class R4 | 992,610 | 11,365,547 | (102,993) | (1,207,068) | |
Class R6 | (1,197,154) | (13,771,915) | (646,566) | (7,396,376) | |
(17,728,662) | $(204,243,815) | (34,193,256) | $(396,673,104) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS High Yield Pooled Portfolio | $591,376,239 | $20,531,307 | $71,398,121 | $(8,566,382) | $14,842,254 | $546,785,297 |
MFS Institutional Money Market Portfolio | 151,917,677 | 369,640,847 | 434,093,039 | 4,059 | 345 | 87,469,889 |
$743,293,916 | $390,172,154 | $505,491,160 | $(8,562,323) | $14,842,599 | $634,255,186 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS High Yield Pooled Portfolio | $18,741,007 | $— |
MFS Institutional Money Market Portfolio | 1,993,607 | — |
$20,734,614 | $— |
Securities Fund
Securities Fund
1 | |
3 | |
5 | |
14 | |
16 | |
17 | |
18 | |
24 | |
39 | |
43 | |
44 | |
44 | |
44 | |
44 | |
44 |
back cover |
Mortgage-Backed Securities | 53.4% |
U.S. Treasury Securities | 40.4% |
Commercial Mortgage-Backed Securities | 3.7% |
Asset-Backed Securities | 1.9% |
Collateralized Debt Obligations | 1.7% |
Municipal Bonds | 0.7% |
Investment Grade Corporates | 0.4% |
U.S. Government Agencies | 0.1% |
AAA | 6.1% |
AA | 1.1% |
A | 0.9% |
BBB | 0.3% |
U.S. Government | 30.7% |
Federal Agencies | 53.5% |
Not Rated | 9.7% |
Cash & Cash Equivalents | 7.4% |
Other (q) | (9.7)% |
Average Duration (d) | 6.3 |
Average Effective Maturity (m) | 7.2 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 feature (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. |
(q) | For purposes of this presentation, Other includes equivalent exposure from currency derivatives and/or any offsets to derivative positions and may be negative. |
(v) | For purposes of this presentation, market value of fixed income and/or equity derivatives, if any, is included in Cash & Cash Equivalents. |
March 1, 2023 through August 31, 2023
Share Class | Annualized Expense Ratio | Beginning Account Value 3/01/23 | Ending Account Value 8/31/23 | Expenses Paid During Period (p) 3/01/23-8/31/23 | |
A | Actual | 0.76% | $1,000.00 | $999.91 | $3.82 |
Hypothetical (h) | 0.76% | $1,000.00 | $1,021.32 | $3.86 | |
B | Actual | 1.51% | $1,000.00 | $996.15 | $7.58 |
Hypothetical (h) | 1.51% | $1,000.00 | $1,017.55 | $7.66 | |
C | Actual | 1.51% | $1,000.00 | $996.19 | $7.58 |
Hypothetical (h) | 1.51% | $1,000.00 | $1,017.55 | $7.66 | |
I | Actual | 0.51% | $1,000.00 | $1,001.12 | $2.57 |
Hypothetical (h) | 0.51% | $1,000.00 | $1,022.57 | $2.59 | |
R1 | Actual | 1.51% | $1,000.00 | $996.16 | $7.58 |
Hypothetical (h) | 1.51% | $1,000.00 | $1,017.55 | $7.66 | |
R2 | Actual | 1.01% | $1,000.00 | $998.65 | $5.07 |
Hypothetical (h) | 1.01% | $1,000.00 | $1,020.06 | $5.13 | |
R3 | Actual | 0.76% | $1,000.00 | $999.89 | $3.82 |
Hypothetical (h) | 0.76% | $1,000.00 | $1,021.32 | $3.86 | |
R4 | Actual | 0.51% | $1,000.00 | $999.99 | $2.56 |
Hypothetical (h) | 0.51% | $1,000.00 | $1,022.57 | $2.59 | |
R6 | Actual | 0.41% | $1,000.00 | $1,001.60 | $2.06 |
Hypothetical (h) | 0.41% | $1,000.00 | $1,023.08 | $2.08 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Bonds – 92.2% | ||||
Asset-Backed & Securitized – 7.3% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.134%, 11/15/2054 (i) | $ | 21,860,824 | $1,112,344 | |
ACREC 2021-FL1 Ltd., “AS”, FLR, 6.926% ((SOFR - 1mo. + 0.11448%) + 1.5%), 10/16/2036 (n) | 7,778,000 | 7,528,555 | ||
ACREC 2023-FL2 LLC, “A”, FLR, 7.54% (SOFR - 1mo. + 2.23%), 2/19/2038 (n) | 4,824,645 | 4,814,137 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “A”, FLR, 6.395% ((SOFR - 1mo. + 0.11448%) + 0.97%), 12/15/2035 (n) | 4,674,500 | 4,635,748 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 6.924% ((SOFR - 1mo. + 0.11448%) + 1.5%), 12/15/2035 (n) | 3,901,000 | 3,780,564 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “AS”, FLR, 6.824% ((SOFR - 1mo. + 0.11448%) + 1.4%), 8/15/2034 (n) | 6,638,000 | 6,426,493 | ||
AREIT 2022-CRE6 Trust, “AS”, FLR, 6.88% (SOFR - 30 day + 1.65%), 1/20/2037 (n) | 7,155,500 | 6,979,410 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.413%, 7/15/2054 (i) | 21,122,410 | 1,353,891 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.739%, 2/15/2054 (i) | 13,771,264 | 1,158,771 | ||
BBCMS Mortgage Trust, 2022-C18, “AS”, 6.348%, 12/15/2055 | 2,688,397 | 2,751,812 | ||
BBCMS Mortgage Trust, 2022-C18, “XA”, 0.638%, 12/15/2055 (i) | 23,060,244 | 854,089 | ||
Benchmark 2021-B23 Mortgage Trust, “XA”, 1.375%, 2/15/2054 (i) | 43,723,901 | 2,750,430 | ||
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.266%, 3/15/2054 (i) | 26,297,952 | 1,497,992 | ||
Benchmark 2021-B26 Mortgage Trust, “XA”, 0.997%, 6/15/2054 (i) | 38,137,426 | 1,742,747 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.379%, 7/15/2054 (i) | 33,600,045 | 2,258,978 | ||
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.389%, 8/15/2054 (i) | 40,098,340 | 2,726,475 | ||
Benchmark 2021-B29 Mortgage Trust, “XA”, 1.147%, 9/15/2054 (i) | 45,290,304 | 2,362,741 | ||
Benchmark 2023-V3 Mortgage Trust, “A3”, 6.363%, 7/15/2056 | 1,091,016 | 1,118,490 | ||
BSPDF 2021-FL1 Issuer Ltd., “A”, FLR, 6.624% ((SOFR - 1mo. + 0.11448%) + 1.2%), 10/15/2036 (n) | 3,712,000 | 3,607,960 | ||
BSPDF 2021-FL1 Issuer Ltd., “AS”, FLR, 6.905% ((SOFR - 1mo. + 0.11448%) + 1.48%), 10/15/2036 (n) | 4,700,500 | 4,458,100 | ||
BXMT 2021-FL4 Ltd., “AS”, FLR, 6.728% ((SOFR - 1mo. + 0.11448%) + 1.3%), 5/15/2038 (n) | 7,779,500 | 7,257,599 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 1,245,654 | 1,168,021 | ||
CarMax Auto Owner Trust, 2023-2, “A1”, 5.508%, 5/15/2024 | 2,774,692 | 2,774,398 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Citigroup Commercial Mortgage Trust, 2019-XA, “C7”, 0.988%, 12/15/2072 (i)(n) | $ | 23,242,732 | $935,218 | |
Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.425%, 2/15/2054 (i) | 33,440,047 | 2,335,744 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.884%, 4/15/2054 (i) | 18,996,337 | 758,862 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.148%, 6/15/2064 (i) | 13,297,080 | 743,055 | ||
CPS Auto Trust, 2019-D, “E”, 3.86%, 10/15/2025 (n) | 5,505,000 | 5,423,742 | ||
Dell Equipment Finance Trust 2023-1, “A2”, 5.65%, 9/22/2028 (n) | 5,094,000 | 5,083,563 | ||
DT Auto Owner Trust, 2023-1A, “A”, 5.48%, 4/15/2027 (n) | 2,290,303 | 2,282,606 | ||
DT Auto Owner Trust, 2023-2A, “A”, 5.88%, 4/15/2027 (n) | 6,823,437 | 6,813,661 | ||
Exeter Automobile Receivables Trust 23-3A, “A2”, 6.11%, 9/15/2025 | 1,167,000 | 1,166,471 | ||
Flagship Credit Auto Trust, 2019-3, “D”, 2.86%, 12/15/2025 (n) | 2,270,000 | 2,227,767 | ||
KREF 2018-FT1 Ltd., “AS”, FLR, 6.728% ((SOFR - 1mo. + 0.11448%) + 1.3%), 2/15/2039 (n) | 759,000 | 722,254 | ||
LAD Auto Receivables Trust, 2022-1A, “A”, 5.21%, 6/15/2027 (n) | 857,600 | 847,705 | ||
LAD Auto Receivables Trust, 2023-1A, “A2”, 5.68%, 10/15/2026 (n) | 1,171,892 | 1,167,633 | ||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 7.174% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 6,508,500 | 6,341,678 | ||
LoanCore 2021-CRE6 Ltd., “AS”, FLR, 7.074% ((SOFR - 1mo. + 0.11448%) + 1.65%), 11/15/2038 (n) | 10,000,000 | 9,638,890 | ||
MF1 2021-FL5 Ltd., “AS”, FLR, 6.628% ((SOFR - 1mo. + 0.11448%) + 1.2%), 7/15/2036 (n) | 3,875,500 | 3,779,981 | ||
MF1 2021-FL5 Ltd., “B”, FLR, 6.878% ((SOFR - 1mo. + 0.11448%) + 1.45%), 7/15/2036 (n) | 4,881,500 | 4,774,838 | ||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 0.997%, 12/15/2051 (i) | 23,846,936 | 777,799 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.416%, 5/15/2054 (i) | 16,753,272 | 1,064,370 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.327%, 6/15/2054 (i) | 20,403,343 | 1,176,161 | ||
Morgan Stanley Capital I Trust, 2021-L7, “XA”, 1.21%, 10/15/2054 (i) | 80,536,231 | 4,422,937 | ||
Nissan Auto Receivables Owner Trust, 2023-A, 5.424%, 5/15/2024 | 1,643,420 | 1,643,153 | ||
PFP III 2021-7 Ltd., “AS”, FLR, 6.577% ((SOFR - 1mo. + 0.114%) + 1.15%), 4/14/2038 (n) | 4,914,424 | 4,861,313 | ||
PFS Financing Corp., 2023-C, “B”, 5.91%, 10/16/2028 (n) | 1,302,000 | 1,301,002 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “A”, FLR, 6.629% ((SOFR - 1mo. + 0.11448%) + 1.2%), 11/25/2036 (n) | $ | 3,589,517 | $3,550,494 | |
ReadyCap Commercial Mortgage Trust, 2021-FL7, “AS”, FLR, 6.929% ((SOFR - 1mo. + 0.11448%) + 1.5%), 11/25/2036 (n) | 1,261,500 | 1,227,418 | ||
Santander Drive Auto Receivables Trust, 2022-5, “A2”, 3.98%, 1/15/2025 | 10,905 | 10,899 | ||
Santander Drive Auto Receivables Trust, 2022-6, “A2”, 4.37%, 5/15/2025 | 177,514 | 177,340 | ||
Toyota Lease Owner Trust, 2023-A, “A1”, 5.388%, 4/22/2024 (n) | 104,454 | 104,435 | ||
Toyota Lease Owner Trust, 2023-A, “A2”, 5.3%, 8/20/2025 (n) | 2,861,000 | 2,848,015 | ||
Wells Fargo Commercial Mortgage Trust, 2018-C48, “XA”, 1.107%, 1/15/2052 (i)(n) | 12,640,345 | 480,376 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C60, “XA”, 1.654%, 8/15/2054 (i) | 20,603,590 | 1,607,070 | ||
Westlake Automobile Receivables Trust, 2023-1A, “A2B”, FLR, 6.039% (SOFR - 1mo. + 0.85%), 6/15/2026 (n) | 983,991 | 983,457 | ||
World Omni Select Auto Trust 2023-A, “A2B”, FLR, 6.063% (SOFR - 1mo. + 0.85%), 3/15/2027 | 6,755,000 | 6,764,177 | ||
$163,163,829 | ||||
Consumer Services – 0.1% | ||||
Conservation Fund, 3.474%, 12/15/2029 | $ | 2,018,000 | $1,733,958 | |
Industrial – 0.0% | ||||
Howard University, Washington D.C., 2.801%, 10/01/2023 | $ | 505,000 | $503,750 | |
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | 688,000 | 645,234 | ||
$1,148,984 | ||||
Medical & Health Technology & Services – 0.3% | ||||
ProMedica Toledo Hospital, “B”, AGM, 5.325%, 11/15/2028 | $ | 4,139,000 | $4,077,625 | |
ProMedica Toledo Hospital, “B”, AGM, 5.75%, 11/15/2038 | 1,992,000 | 1,951,812 | ||
$6,029,437 | ||||
Mortgage-Backed – 53.2% | ||||
Fannie Mae, 5%, 3/01/2024 - 3/01/2042 | $ | 7,026,171 | $7,005,996 | |
Fannie Mae, 4.5%, 5/01/2025 - 6/01/2044 | 17,198,694 | 16,730,233 | ||
Fannie Mae, 3%, 11/01/2028 - 5/25/2053 | 24,078,371 | 22,369,406 | ||
Fannie Mae, 2.5%, 11/01/2031 - 10/01/2046 | 3,222,580 | 2,868,778 | ||
Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | 1,253,304 | 113,831 | ||
Fannie Mae, 6.5%, 1/01/2032 - 10/01/2037 | 615,668 | 631,944 | ||
Fannie Mae, 2.003%, 1/25/2032 | 15,400,000 | 12,365,653 | ||
Fannie Mae, 6%, 1/01/2033 - 12/01/2037 | 1,594,179 | 1,622,184 | ||
Fannie Mae, 4.35%, 2/01/2033 | 7,265,315 | 6,982,637 | ||
Fannie Mae, 3%, 2/25/2033 (i) | 1,364,823 | 117,674 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Fannie Mae, 5.5%, 5/01/2033 - 5/01/2044 | $ | 7,584,383 | $7,691,385 | |
Fannie Mae, 3.5%, 4/01/2038 - 12/01/2047 | 23,858,946 | 21,849,532 | ||
Fannie Mae, 4%, 9/01/2040 - 7/01/2047 | 36,004,979 | 34,173,508 | ||
Fannie Mae, 2%, 10/25/2040 - 4/25/2046 | 1,274,607 | 1,149,586 | ||
Fannie Mae, 1.75%, 9/25/2041 - 10/25/2041 | 4,196,360 | 3,831,662 | ||
Fannie Mae, 2.75%, 9/25/2042 | 1,380,652 | 1,272,244 | ||
Fannie Mae, UMBS, 2.5%, 5/01/2036 - 8/01/2052 | 166,881,708 | 140,120,353 | ||
Fannie Mae, UMBS, 2%, 9/01/2036 - 5/01/2052 | 183,134,816 | 148,058,040 | ||
Fannie Mae, UMBS, 5.5%, 10/01/2038 - 2/01/2053 | 8,747,848 | 8,677,441 | ||
Fannie Mae, UMBS, 1.5%, 2/01/2042 - 3/01/2051 | 1,549,784 | 1,194,758 | ||
Fannie Mae, UMBS, 3.5%, 5/01/2049 - 4/01/2053 | 17,886,012 | 16,017,265 | ||
Fannie Mae, UMBS, 3%, 6/01/2051 - 11/01/2052 | 27,976,477 | 24,222,588 | ||
Fannie Mae, UMBS, 4%, 4/01/2052 - 9/01/2052 | 3,998,060 | 3,711,775 | ||
Fannie Mae, UMBS, 4.5%, 9/01/2052 | 2,258,970 | 2,153,209 | ||
Fannie Mae, UMBS, 5%, 9/01/2052 - 4/01/2053 | 3,263,218 | 3,164,157 | ||
Fannie Mae, UMBS, 6%, 2/01/2053 | 1,652,619 | 1,705,915 | ||
Feddie Mac, UMBS, 6%, 6/01/2053 | 499,999 | 501,283 | ||
Freddie Mac, 1.042%, 4/25/2024 (i) | 35,814,566 | 118,736 | ||
Freddie Mac, 0.727%, 7/25/2024 (i) | 48,376,546 | 155,221 | ||
Freddie Mac, 3.303%, 7/25/2024 | 4,700,000 | 4,610,147 | ||
Freddie Mac, 3.064%, 8/25/2024 | 5,874,217 | 5,744,487 | ||
Freddie Mac, 4.5%, 9/01/2024 - 5/01/2042 | 6,453,315 | 6,195,809 | ||
Freddie Mac, 2.67%, 12/25/2024 | 10,948,000 | 10,571,398 | ||
Freddie Mac, 3.062%, 12/25/2024 | 325,000 | 314,902 | ||
Freddie Mac, 2.811%, 1/25/2025 | 7,351,922 | 7,091,726 | ||
Freddie Mac, 4%, 7/01/2025 - 4/01/2044 | 4,081,803 | 3,874,063 | ||
Freddie Mac, 3.5%, 11/15/2025 - 10/25/2058 | 36,688,131 | 33,765,998 | ||
Freddie Mac, 1.48%, 3/25/2027 (i) | 5,583,000 | 239,712 | ||
Freddie Mac, 0.706%, 7/25/2027 (i) | 103,097,254 | 1,894,567 | ||
Freddie Mac, 0.552%, 8/25/2027 (i) | 80,659,106 | 1,147,763 | ||
Freddie Mac, 0.43%, 1/25/2028 (i) | 142,355,784 | 1,694,561 | ||
Freddie Mac, 0.436%, 1/25/2028 (i) | 61,128,607 | 750,561 | ||
Freddie Mac, 0.27%, 2/25/2028 (i) | 173,754,233 | 1,072,011 | ||
Freddie Mac, 0.263%, 4/25/2028 (i) | 112,373,502 | 666,038 | ||
Freddie Mac, 3%, 6/15/2028 - 2/25/2059 | 23,363,021 | 20,831,563 | ||
Freddie Mac, 1.22%, 7/25/2029 (i) | 19,292,321 | 996,915 | ||
Freddie Mac, 1.267%, 8/25/2029 (i) | 33,647,732 | 1,832,765 | ||
Freddie Mac, 1.916%, 4/25/2030 (i) | 14,430,646 | 1,422,129 | ||
Freddie Mac, 1.985%, 4/25/2030 (i) | 20,077,463 | 2,000,832 | ||
Freddie Mac, 1.769%, 5/25/2030 (i) | 12,033,779 | 1,102,925 | ||
Freddie Mac, 1.907%, 5/25/2030 (i) | 26,880,424 | 2,650,337 | ||
Freddie Mac, 5.5%, 6/01/2030 - 9/01/2041 | 3,420,785 | 3,477,103 | ||
Freddie Mac, 1.436%, 6/25/2030 (i) | 11,124,134 | 837,161 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Freddie Mac, 1.704%, 8/25/2030 (i) | $ | 10,235,210 | $925,584 | |
Freddie Mac, 1.263%, 9/25/2030 (i) | 6,568,138 | 442,759 | ||
Freddie Mac, 1.171%, 11/25/2030 (i) | 13,158,725 | 833,567 | ||
Freddie Mac, 0.42%, 1/25/2031 (i) | 50,115,298 | 918,628 | ||
Freddie Mac, 0.873%, 1/25/2031 (i) | 19,512,958 | 923,021 | ||
Freddie Mac, 1.026%, 1/25/2031 (i) | 14,681,587 | 816,349 | ||
Freddie Mac, 0.612%, 3/25/2031 (i) | 40,248,253 | 1,214,012 | ||
Freddie Mac, 0.829%, 3/25/2031 (i) | 17,260,719 | 789,176 | ||
Freddie Mac, 1.325%, 5/25/2031 (i) | 7,120,528 | 535,315 | ||
Freddie Mac, 1.039%, 7/25/2031 (i) | 11,674,001 | 698,786 | ||
Freddie Mac, 0.608%, 8/25/2031 (i) | 14,899,141 | 481,758 | ||
Freddie Mac, 0.632%, 9/25/2031 (i) | 50,149,699 | 1,801,377 | ||
Freddie Mac, 0.955%, 9/25/2031 (i) | 48,419,608 | 2,635,426 | ||
Freddie Mac, 0.441%, 11/25/2031 (i) | 73,361,326 | 1,748,134 | ||
Freddie Mac, 0.597%, 12/25/2031 (i) | 73,957,916 | 2,431,514 | ||
Freddie Mac, 0.665%, 12/25/2031 (i) | 12,187,459 | 452,726 | ||
Freddie Mac, 5%, 5/01/2034 - 12/01/2044 | 7,620,459 | 7,597,679 | ||
Freddie Mac, 6%, 8/01/2034 - 10/01/2038 | 988,027 | 1,014,403 | ||
Freddie Mac, 5.5%, 2/15/2036 (i) | 341,303 | 53,472 | ||
Freddie Mac, 6.5%, 5/01/2037 | 125,690 | 130,026 | ||
Freddie Mac, 4.5%, 12/15/2040 (i) | 86,736 | 7,148 | ||
Freddie Mac, 1.75%, 8/15/2041 | 1,095,766 | 997,971 | ||
Freddie Mac, 3.25%, 11/25/2061 | 13,121,186 | 11,371,354 | ||
Freddie Mac, UMBS, 2.5%, 3/01/2037 - 6/01/2052 | 29,524,665 | 24,927,912 | ||
Freddie Mac, UMBS, 2%, 4/01/2037 - 4/01/2052 | 59,264,569 | 50,023,103 | ||
Freddie Mac, UMBS, 4.5%, 6/01/2038 - 4/01/2053 | 12,306,113 | 11,806,904 | ||
Freddie Mac, UMBS, 5.5%, 8/01/2038 - 4/01/2053 | 8,343,782 | 8,319,080 | ||
Freddie Mac, UMBS, 3.5%, 12/01/2046 - 11/01/2052 | 7,600,536 | 6,834,917 | ||
Freddie Mac, UMBS, 3%, 2/01/2050 - 10/01/2052 | 42,056,252 | 36,292,070 | ||
Freddie Mac, UMBS, 1.5%, 4/01/2051 - 11/01/2051 | 10,291,707 | 7,772,815 | ||
Freddie Mac, UMBS, 4%, 4/01/2052 - 5/01/2052 | 4,946,952 | 4,597,394 | ||
Freddie Mac, UMBS, 5%, 11/01/2052 - 4/01/2053 | 5,794,779 | 5,618,857 | ||
Freddie Mac, UMBS, 6%, 5/01/2053 | 75,001 | 75,227 | ||
Ginnie Mae, 5.5%, 3/15/2033 - 8/20/2053 | 52,370,783 | 51,869,612 | ||
Ginnie Mae, 4.5%, 7/20/2033 - 10/20/2052 | 40,876,383 | 39,115,288 | ||
Ginnie Mae, 5.678%, 8/20/2034 | 1,118,953 | 1,125,399 | ||
Ginnie Mae, 4%, 5/16/2039 - 10/20/2052 | 17,384,013 | 16,256,842 | ||
Ginnie Mae, 3.5%, 10/20/2041 (i) | 379,382 | 14,923 | ||
Ginnie Mae, 3.5%, 12/15/2041 - 7/20/2043 | 7,370,722 | 6,834,914 | ||
Ginnie Mae, 2.5%, 6/20/2042 - 4/20/2052 | 43,901,909 | 37,362,084 | ||
Ginnie Mae, 4%, 8/16/2042 (i) | 638,188 | 92,202 | ||
Ginnie Mae, 3%, 2/20/2043 - 10/20/2052 | 44,346,598 | 39,158,084 | ||
Ginnie Mae, 2.25%, 9/20/2043 | 656,202 | 621,667 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Ginnie Mae, 2%, 1/20/2052 - 3/20/2052 | $ | 31,207,501 | $25,750,570 | |
Ginnie Mae, 5%, 3/20/2052 - 8/20/2053 | 42,843,928 | 41,694,725 | ||
Ginnie Mae, 6%, 8/20/2053 | 11,725,000 | 11,769,349 | ||
Ginnie Mae, 0.584%, 2/16/2059 (i) | 2,507,425 | 86,097 | ||
Ginnie Mae, TBA, 3.5%, 9/15/2053 - 10/15/2053 | 27,250,000 | 24,746,064 | ||
Ginnie Mae, TBA, 4%, 9/15/2053 | 6,575,000 | 6,126,051 | ||
Ginnie Mae, TBA, 6%, 9/21/2053 - 10/15/2053 | 34,500,000 | 34,592,449 | ||
Ginnie Mae, TBA, 6.5%, 9/21/2053 - 10/15/2053 | 7,400,000 | 7,489,883 | ||
UMBS, TBA, 5%, 9/25/2038 | 9,550,000 | 9,437,935 | ||
UMBS, TBA, 2.5%, 9/14/2053 | 964,356 | 798,833 | ||
UMBS, TBA, 5.5%, 9/14/2053 | 11,375,000 | 11,231,035 | ||
UMBS, TBA, 6.5%, 9/14/2053 | 11,150,000 | 11,324,219 | ||
UMBS, TBA, 2%, 9/25/2053 | 13,571,646 | 10,805,893 | ||
UMBS, TBA, 6%, 9/25/2053 | 6,875,000 | 6,892,993 | ||
$1,195,648,042 | ||||
Municipals – 0.7% | ||||
Chicago, IL, Transit Authority Sales Tax Receipts Refunding Rev., Taxable, “B”, 2.064%, 12/01/2024 | $ | 985,000 | $944,491 | |
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 3%, 6/01/2046 | 3,705,000 | 3,401,090 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.682%, 7/01/2027 | 2,165,000 | 1,969,497 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 585,329 | 551,956 | ||
Philadelphia, PA, School District, Taxable, “A”, AGM, 5.995%, 9/01/2030 | 3,280,000 | 3,422,511 | ||
Port of Oakland, CA, Senior Lien Refunding Rev., Taxable, “R”, 1.517%, 5/01/2026 | 1,680,000 | 1,533,769 | ||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.497%, 6/01/2024 | 1,900,000 | 1,840,513 | ||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.647%, 6/01/2025 | 1,550,000 | 1,449,040 | ||
$15,112,867 | ||||
U.S. Government Agencies and Equivalents – 0.1% | ||||
Small Business Administration, 4.98%, 11/01/2023 | $ | 5,944 | $5,921 | |
Small Business Administration, 4.89%, 12/01/2023 | 20,664 | 20,582 | ||
Small Business Administration, 4.77%, 4/01/2024 | 38,425 | 38,061 | ||
Small Business Administration, 5.52%, 6/01/2024 | 14,662 | 14,601 | ||
Small Business Administration, 4.99%, 9/01/2024 | 25,394 | 25,049 | ||
Small Business Administration, 4.86%, 10/01/2024 | 27,102 | 26,806 | ||
Small Business Administration, 4.86%, 1/01/2025 | 49,904 | 49,109 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Government Agencies and Equivalents – continued | ||||
Small Business Administration, 5.11%, 4/01/2025 | $ | 43,624 | $42,743 | |
Small Business Administration, 2.21%, 2/01/2033 | 630,031 | 568,598 | ||
Small Business Administration, 2.22%, 3/01/2033 | 985,817 | 886,767 | ||
Small Business Administration, 3.15%, 7/01/2033 | 954,198 | 888,279 | ||
Small Business Administration, 3.16%, 8/01/2033 | 398,855 | 370,880 | ||
Small Business Administration, 3.62%, 9/01/2033 | 371,379 | 351,885 | ||
$3,289,281 | ||||
U.S. Treasury Obligations – 30.5% | ||||
U.S. Treasury Bonds, 6%, 2/15/2026 | $ | 5,933,000 | $6,108,209 | |
U.S. Treasury Bonds, 6.75%, 8/15/2026 | 981,000 | 1,040,128 | ||
U.S. Treasury Bonds, 6.375%, 8/15/2027 | 2,309,000 | 2,473,336 | ||
U.S. Treasury Bonds, 4.375%, 2/15/2038 | 2,078,000 | 2,127,353 | ||
U.S. Treasury Bonds, 4.5%, 8/15/2039 | 11,926,300 | 12,292,475 | ||
U.S. Treasury Bonds, 3.125%, 2/15/2043 | 9,748,800 | 8,097,597 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2043 | 27,528,200 | 21,926,857 | ||
U.S. Treasury Bonds, 2.5%, 2/15/2045 | 97,983,000 | 71,952,438 | ||
U.S. Treasury Notes, 0.375%, 10/31/2023 | 8,133,200 | 8,065,847 | ||
U.S. Treasury Notes, 2.25%, 3/31/2024 | 2,613,000 | 2,565,844 | ||
U.S. Treasury Notes, 3.875%, 3/31/2025 | 22,442,000 | 22,036,115 | ||
U.S. Treasury Notes, 3.875%, 4/30/2025 | 68,430,000 | 67,187,033 | ||
U.S. Treasury Notes, 4.25%, 5/31/2025 | 20,568,000 | 20,316,524 | ||
U.S. Treasury Notes, 3.5%, 9/15/2025 | 23,762,000 | 23,143,817 | ||
U.S. Treasury Notes, 2.625%, 12/31/2025 | 20,900,000 | 19,939,090 | ||
U.S. Treasury Notes, 0.75%, 5/31/2026 | 38,599,000 | 34,811,473 | ||
U.S. Treasury Notes, 2%, 11/15/2026 (f) | 51,959,000 | 48,102,668 | ||
U.S. Treasury Notes, 2.75%, 2/15/2028 | 54,157,000 | 50,738,339 | ||
U.S. Treasury Notes, 3.625%, 3/31/2028 | 86,350,000 | 83,941,645 | ||
U.S. Treasury Notes, 1%, 7/31/2028 | 32,248,000 | 27,597,234 | ||
U.S. Treasury Notes, 2.375%, 5/15/2029 | 19,515,500 | 17,676,774 | ||
U.S. Treasury Notes, 1.625%, 8/15/2029 | 29,405,000 | 25,465,189 | ||
U.S. Treasury Notes, 1.75%, 11/15/2029 | 8,564,000 | 7,447,335 | ||
U.S. Treasury Notes, 3.5%, 4/30/2030 | 18,675,000 | 17,904,656 | ||
U.S. Treasury Notes, 4.125%, 8/31/2030 | 37,647,000 | 37,488,177 | ||
U.S. Treasury Notes, 1.625%, 5/15/2031 | 41,833,000 | 35,040,040 | ||
U.S. Treasury Notes, 1.375%, 11/15/2031 | 11,425,300 | 9,259,402 | ||
$684,745,595 | ||||
Total Bonds (Identified Cost, $2,242,640,794) | $2,070,871,993 |
Issuer | Shares/Par | Value ($) | ||
Investment Companies (h) – 15.3% | ||||
Money Market Funds – 15.3% | ||||
MFS Institutional Money Market Portfolio, 5.3% (v) (Identified Cost, $344,556,828) | 344,555,365 | $344,589,820 | ||
Other Assets, Less Liabilities – (7.5)% | (168,976,510) | |||
Net Assets – 100.0% | $2,246,485,303 |
(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 $344,589,820 and $2,070,871,993, 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 $116,052,633, representing 5.2% of net assets. | |||
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
The following abbreviations are used in this report and are defined: | |
AGM | Assured Guaranty Municipal |
CLO | Collateralized Loan Obligation |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
LIBOR | London Interbank Offered Rate |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
UMBS | Uniform Mortgage-Backed Security |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Bond 30 yr | Long | USD | 52 | $6,327,750 | December – 2023 | $85,373 |
U.S. Treasury Note 10 yr | Long | USD | 1,976 | 219,397,750 | December – 2023 | 1,862,276 |
U.S. Treasury Note 5 yr | Long | USD | 2,277 | 243,461,109 | December – 2023 | 1,615,556 |
U.S. Treasury Ultra Bond | Long | USD | 341 | 44,148,844 | December – 2023 | 656,587 |
U.S. Treasury Ultra Note 10 yr | Long | USD | 811 | 94,164,703 | December – 2023 | 1,219,234 |
$5,439,026 |
Futures Contracts - continued | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Note 2 yr | Short | USD | 1,912 | $389,674,563 | December – 2023 | $(1,111,939) |
Assets | |
Investments in unaffiliated issuers, at value (identified cost, $2,242,640,794) | $2,070,871,993 |
Investments in affiliated issuers, at value (identified cost, $344,556,828) | 344,589,820 |
Receivables for | |
Net daily variation margin on open futures contracts | 961,848 |
Investments sold | 24,342,696 |
TBA sale commitments | 83,644,061 |
Fund shares sold | 663,833 |
Interest | 10,355,336 |
Other assets | 27,446 |
Total assets | $2,535,457,033 |
Liabilities | |
Payable to custodian | $40,000 |
Payables for | |
Distributions | 238,496 |
Investments purchased | 77,823,186 |
TBA purchase commitments | 207,059,363 |
Fund shares reacquired | 3,226,642 |
Payable to affiliates | |
Investment adviser | 44,167 |
Administrative services fee | 1,813 |
Shareholder servicing costs | 366,179 |
Distribution and service fees | 8,151 |
Payable for independent Trustees' compensation | 3,511 |
Accrued expenses and other liabilities | 160,222 |
Total liabilities | $288,971,730 |
Net assets | $2,246,485,303 |
Net assets consist of | |
Paid-in capital | $2,664,142,441 |
Total distributable earnings (loss) | (417,657,138) |
Net assets | $2,246,485,303 |
Shares of beneficial interest outstanding | 262,833,030 |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $467,997,875 | 54,698,775 | $8.56 |
Class B | 1,262,145 | 147,691 | 8.55 |
Class C | 4,503,087 | 525,354 | 8.57 |
Class I | 323,156,291 | 37,838,169 | 8.54 |
Class R1 | 1,512,573 | 176,976 | 8.55 |
Class R2 | 36,970,204 | 4,325,642 | 8.55 |
Class R3 | 26,097,403 | 3,051,618 | 8.55 |
Class R4 | 42,115,935 | 4,923,425 | 8.55 |
Class R6 | 1,342,869,790 | 157,145,380 | 8.55 |
(a) | Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $8.94 [100 / 95.75 x $8.56]. 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 | $34,658,593 |
Dividends from affiliated issuers | 4,238,558 |
Total investment income | $38,897,151 |
Expenses | |
Management fee | $4,197,031 |
Distribution and service fees | 783,002 |
Shareholder servicing costs | 603,278 |
Administrative services fee | 168,132 |
Independent Trustees' compensation | 20,007 |
Custodian fee | 65,646 |
Shareholder communications | 28,169 |
Audit and tax fees | 38,618 |
Legal fees | 5,436 |
Miscellaneous | 111,377 |
Total expenses | $6,020,696 |
Reduction of expenses by investment adviser and distributor | (143,123) |
Net expenses | $5,877,573 |
Net investment income (loss) | $33,019,578 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $(16,507,360) |
Affiliated issuers | (42,731) |
Futures contracts | (18,368,005) |
Net realized gain (loss) | $(34,918,096) |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $(4,752,647) |
Affiliated issuers | 29,624 |
Futures contracts | 5,198,950 |
Net unrealized gain (loss) | $475,927 |
Net realized and unrealized gain (loss) | $(34,442,169) |
Change in net assets from operations | $(1,422,591) |
Six months ended | Year ended | |
8/31/23 (unaudited) | 2/28/23 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $33,019,578 | $42,167,439 |
Net realized gain (loss) | (34,918,096) | (98,022,713) |
Net unrealized gain (loss) | 475,927 | (187,022,497) |
Change in net assets from operations | $(1,422,591) | $(242,877,771) |
Total distributions to shareholders | $(36,344,409) | $(44,759,748) |
Change in net assets from fund share transactions | $154,200,500 | $(163,743,589) |
Total change in net assets | $116,433,500 | $(451,381,108) |
Net assets | ||
At beginning of period | 2,130,051,803 | 2,581,432,911 |
At end of period | $2,246,485,303 | $2,130,051,803 |
Class A | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $8.69 | $9.81 | $10.15 | $10.28 | $9.59 | $9.55 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.12 | $0.15 | $0.07 | $0.14 | $0.20 | $0.20 |
Net realized and unrealized gain (loss) | (0.12) | (1.11) | (0.31) | (0.10) | 0.70 | 0.06 |
Total from investment operations | $0.00(w) | $(0.96) | $(0.24) | $0.04 | $0.90 | $0.26 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.13) | $(0.16) | $(0.10) | $(0.17) | $(0.21) | $(0.22) |
Net asset value, end of period (x) | $8.56 | $8.69 | $9.81 | $10.15 | $10.28 | $9.59 |
Total return (%) (r)(s)(t)(x) | (0.01)(n) | (9.83) | (2.43) | 0.40 | 9.48 | 2.75 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.77(a) | 0.78 | 0.79 | 0.81 | 0.85 | 0.86 |
Expenses after expense reductions (f) | 0.76(a) | 0.76 | 0.78 | 0.80 | 0.84 | 0.84 |
Net investment income (loss) | 2.69(a) | 1.63 | 0.73 | 1.35 | 1.98 | 2.12 |
Portfolio turnover | 90(n) | 198 | 398 | 307 | 113 | 56 |
Net assets at end of period (000 omitted) | $467,998 | $468,595 | $589,493 | $805,484 | $702,063 | $596,678 |
Class B | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $8.68 | $9.80 | $10.14 | $10.27 | $9.58 | $9.54 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.08 | $0.08 | $(0.00)(w) | $0.07 | $0.12 | $0.13 |
Net realized and unrealized gain (loss) | (0.11) | (1.11) | (0.32) | (0.10) | 0.71 | 0.06 |
Total from investment operations | $(0.03) | $(1.03) | $(0.32) | $(0.03) | $0.83 | $0.19 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.10) | $(0.09) | $(0.02) | $(0.10) | $(0.14) | $(0.15) |
Net asset value, end of period (x) | $8.55 | $8.68 | $9.80 | $10.14 | $10.27 | $9.58 |
Total return (%) (r)(s)(t)(x) | (0.38)(n) | (10.52) | (3.16) | (0.35) | 8.68 | 1.99 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.53(a) | 1.53 | 1.54 | 1.56 | 1.60 | 1.61 |
Expenses after expense reductions (f) | 1.51(a) | 1.51 | 1.53 | 1.55 | 1.59 | 1.60 |
Net investment income (loss) | 1.93(a) | 0.83 | (0.02) | 0.66 | 1.23 | 1.37 |
Portfolio turnover | 90(n) | 198 | 398 | 307 | 113 | 56 |
Net assets at end of period (000 omitted) | $1,262 | $1,529 | $2,757 | $4,468 | $7,711 | $8,811 |
Class C | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $8.70 | $9.83 | $10.17 | $10.29 | $9.60 | $9.57 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.09 | $0.07 | $(0.00)(w) | $0.07 | $0.12 | $0.13 |
Net realized and unrealized gain (loss) | (0.12) | (1.11) | (0.32) | (0.09) | 0.71 | 0.05 |
Total from investment operations | $(0.03) | $(1.04) | $(0.32) | $(0.02) | $0.83 | $0.18 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.10) | $(0.09) | $(0.02) | $(0.10) | $(0.14) | $(0.15) |
Net asset value, end of period (x) | $8.57 | $8.70 | $9.83 | $10.17 | $10.29 | $9.60 |
Total return (%) (r)(s)(t)(x) | (0.38)(n) | (10.58) | (3.15) | (0.25) | 8.66 | 1.88 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.53(a) | 1.53 | 1.54 | 1.56 | 1.60 | 1.61 |
Expenses after expense reductions (f) | 1.51(a) | 1.51 | 1.53 | 1.55 | 1.59 | 1.60 |
Net investment income (loss) | 1.94(a) | 0.83 | (0.01) | 0.63 | 1.23 | 1.37 |
Portfolio turnover | 90(n) | 198 | 398 | 307 | 113 | 56 |
Net assets at end of period (000 omitted) | $4,503 | $5,146 | $10,187 | $19,052 | $20,084 | $19,919 |
Class I | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $8.67 | $9.80 | $10.14 | $10.27 | $9.58 | $9.55 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.13 | $0.17 | $0.10 | $0.17 | $0.22 | $0.22 |
Net realized and unrealized gain (loss) | (0.12) | (1.12) | (0.32) | (0.10) | 0.70 | 0.05 |
Total from investment operations | $0.01 | $(0.95) | $(0.22) | $0.07 | $0.92 | $0.27 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.14) | $(0.18) | $(0.12) | $(0.20) | $(0.23) | $(0.24) |
Net asset value, end of period (x) | $8.54 | $8.67 | $9.80 | $10.14 | $10.27 | $9.58 |
Total return (%) (r)(s)(t)(x) | 0.11(n) | (9.71) | (2.18) | 0.65 | 9.76 | 2.90 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.52(a) | 0.53 | 0.53 | 0.56 | 0.60 | 0.61 |
Expenses after expense reductions (f) | 0.51(a) | 0.51 | 0.52 | 0.55 | 0.59 | 0.60 |
Net investment income (loss) | 2.95(a) | 1.88 | 0.97 | 1.60 | 2.20 | 2.36 |
Portfolio turnover | 90(n) | 198 | 398 | 307 | 113 | 56 |
Net assets at end of period (000 omitted) | $323,156 | $233,540 | $274,851 | $162,286 | $96,407 | $43,627 |
Class R1 | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $8.68 | $9.80 | $10.14 | $10.27 | $9.58 | $9.54 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.09 | $0.08 | $(0.00)(w) | $0.06 | $0.12 | $0.13 |
Net realized and unrealized gain (loss) | (0.12) | (1.11) | (0.32) | (0.09) | 0.71 | 0.06 |
Total from investment operations | $(0.03) | $(1.03) | $(0.32) | $(0.03) | $0.83 | $0.19 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.10) | $(0.09) | $(0.02) | $(0.10) | $(0.14) | $(0.15) |
Net asset value, end of period (x) | $8.55 | $8.68 | $9.80 | $10.14 | $10.27 | $9.58 |
Total return (%) (r)(s)(t)(x) | (0.38)(n) | (10.52) | (3.16) | (0.35) | 8.68 | 1.99 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.52(a) | 1.53 | 1.54 | 1.56 | 1.60 | 1.61 |
Expenses after expense reductions (f) | 1.51(a) | 1.51 | 1.53 | 1.55 | 1.59 | 1.60 |
Net investment income (loss) | 1.94(a) | 0.89 | (0.02) | 0.61 | 1.23 | 1.37 |
Portfolio turnover | 90(n) | 198 | 398 | 307 | 113 | 56 |
Net assets at end of period (000 omitted) | $1,513 | $1,587 | $1,960 | $2,274 | $2,158 | $2,125 |
Class R2 | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $8.68 | $9.80 | $10.14 | $10.27 | $9.58 | $9.54 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.11 | $0.13 | $0.05 | $0.12 | $0.17 | $0.18 |
Net realized and unrealized gain (loss) | (0.12) | (1.11) | (0.32) | (0.10) | 0.71 | 0.06 |
Total from investment operations | $(0.01) | $(0.98) | $(0.27) | $0.02 | $0.88 | $0.24 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.12) | $(0.14) | $(0.07) | $(0.15) | $(0.19) | $(0.20) |
Net asset value, end of period (x) | $8.55 | $8.68 | $9.80 | $10.14 | $10.27 | $9.58 |
Total return (%) (r)(s)(t)(x) | (0.14)(n) | (10.07) | (2.67) | 0.15 | 9.22 | 2.50 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.02(a) | 1.03 | 1.04 | 1.06 | 1.10 | 1.11 |
Expenses after expense reductions (f) | 1.01(a) | 1.01 | 1.03 | 1.05 | 1.09 | 1.10 |
Net investment income (loss) | 2.44(a) | 1.39 | 0.48 | 1.12 | 1.73 | 1.87 |
Portfolio turnover | 90(n) | 198 | 398 | 307 | 113 | 56 |
Net assets at end of period (000 omitted) | $36,970 | $40,295 | $49,375 | $63,945 | $78,519 | $86,431 |
Class R3 | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $8.68 | $9.81 | $10.15 | $10.27 | $9.58 | $9.55 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.12 | $0.15 | $0.07 | $0.14 | $0.20 | $0.20 |
Net realized and unrealized gain (loss) | (0.12) | (1.12) | (0.31) | (0.09) | 0.70 | 0.05 |
Total from investment operations | $0.00(w) | $(0.97) | $(0.24) | $0.05 | $0.90 | $0.25 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.13) | $(0.16) | $(0.10) | $(0.17) | $(0.21) | $(0.22) |
Net asset value, end of period (x) | $8.55 | $8.68 | $9.81 | $10.15 | $10.27 | $9.58 |
Total return (%) (r)(s)(t)(x) | (0.01)(n) | (9.93) | (2.43) | 0.50 | 9.49 | 2.65 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.77(a) | 0.78 | 0.79 | 0.81 | 0.85 | 0.86 |
Expenses after expense reductions (f) | 0.76(a) | 0.76 | 0.78 | 0.80 | 0.84 | 0.85 |
Net investment income (loss) | 2.69(a) | 1.62 | 0.73 | 1.36 | 1.99 | 2.12 |
Portfolio turnover | 90(n) | 198 | 398 | 307 | 113 | 56 |
Net assets at end of period (000 omitted) | $26,097 | $27,808 | $38,286 | $49,242 | $52,773 | $66,977 |
Class R4 | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $8.69 | $9.81 | $10.15 | $10.28 | $9.59 | $9.55 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.13 | $0.17 | $0.10 | $0.17 | $0.22 | $0.22 |
Net realized and unrealized gain (loss) | (0.13) | (1.11) | (0.32) | (0.10) | 0.71 | 0.06 |
Total from investment operations | $0.00(w) | $(0.94) | $(0.22) | $0.07 | $0.93 | $0.28 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.14) | $(0.18) | $(0.12) | $(0.20) | $(0.24) | $(0.24) |
Net asset value, end of period (x) | $8.55 | $8.69 | $9.81 | $10.15 | $10.28 | $9.59 |
Total return (%) (r)(s)(t)(x) | (0.00)(n)(w) | (9.60) | (2.18) | 0.65 | 9.75 | 3.01 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.52(a) | 0.53 | 0.54 | 0.56 | 0.60 | 0.61 |
Expenses after expense reductions (f) | 0.51(a) | 0.51 | 0.53 | 0.55 | 0.59 | 0.60 |
Net investment income (loss) | 2.94(a) | 1.87 | 0.98 | 1.61 | 2.22 | 2.36 |
Portfolio turnover | 90(n) | 198 | 398 | 307 | 113 | 56 |
Net assets at end of period (000 omitted) | $42,116 | $42,785 | $53,252 | $67,258 | $73,230 | $58,677 |
Class R6 | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $8.68 | $9.80 | $10.14 | $10.27 | $9.58 | $9.54 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.13 | $0.18 | $0.11 | $0.18 | $0.23 | $0.24 |
Net realized and unrealized gain (loss) | (0.11) | (1.11) | (0.32) | (0.10) | 0.71 | 0.05 |
Total from investment operations | $0.02 | $(0.93) | $(0.21) | $0.08 | $0.94 | $0.29 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.15) | $(0.19) | $(0.13) | $(0.21) | $(0.25) | $(0.25) |
Net asset value, end of period (x) | $8.55 | $8.68 | $9.80 | $10.14 | $10.27 | $9.58 |
Total return (%) (r)(s)(t)(x) | 0.16(n) | (9.52) | (2.08) | 0.75 | 9.87 | 3.13 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.43(a) | 0.43 | 0.44 | 0.46 | 0.50 | 0.50 |
Expenses after expense reductions (f) | 0.41(a) | 0.41 | 0.42 | 0.45 | 0.49 | 0.49 |
Net investment income (loss) | 3.04(a) | 1.98 | 1.08 | 1.69 | 2.33 | 2.48 |
Portfolio turnover | 90(n) | 198 | 398 | 307 | 113 | 56 |
Net assets at end of period (000 omitted) | $1,342,870 | $1,308,767 | $1,561,273 | $1,422,514 | $1,220,812 | $1,025,911 |
(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 and total return or ratio was less than 0.01%, as applicable. |
(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 | $— | $688,034,876 | $— | $688,034,876 |
Municipal Bonds | — | 15,112,867 | — | 15,112,867 |
U.S. Corporate Bonds | — | 8,912,379 | — | 8,912,379 |
Residential Mortgage-Backed Securities | — | 1,195,648,042 | — | 1,195,648,042 |
Commercial Mortgage-Backed Securities | — | 83,411,934 | — | 83,411,934 |
Asset-Backed Securities (including CDOs) | — | 79,751,895 | — | 79,751,895 |
Mutual Funds | 344,589,820 | — | — | 344,589,820 |
Total | $344,589,820 | $2,070,871,993 | $— | $2,415,461,813 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $5,439,026 | $— | $— | $5,439,026 |
Futures Contracts – Liabilities | (1,111,939) | — | — | (1,111,939) |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Interest Rate | Futures Contracts | $5,439,026 | $(1,111,939) |
(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 | $(18,368,005) |
Risk | Futures Contracts |
Interest Rate | $5,198,950 |
Year ended 2/28/23 | |
Ordinary income (including any short-term capital gains) | $44,759,748 |
As of 8/31/23 | |
Cost of investments | $2,594,421,229 |
Gross appreciation | 1,078,196 |
Gross depreciation | (180,037,612) |
Net unrealized appreciation (depreciation) | $(178,959,416) |
As of 2/28/23 | |
Undistributed ordinary income | 14,088,188 |
Capital loss carryforwards | (204,998,297) |
Other temporary differences | (4,922,657) |
Net unrealized appreciation (depreciation) | (184,057,372) |
Short-Term | $(83,581,935) |
Long-Term | (121,416,362) |
Total | $(204,998,297) |
Six months ended 8/31/23 | Year ended 2/28/23 | |
Class A | $7,257,166 | $8,867,727 |
Class B | 15,685 | 18,682 |
Class C | 58,461 | 67,107 |
Class I | 5,091,605 | 4,959,100 |
Class R1 | 17,452 | 17,491 |
Class R2 | 531,102 | 647,768 |
Class R3 | 413,572 | 562,865 |
Class R4 | 694,403 | 868,517 |
Class R6 | 22,264,963 | 28,750,491 |
Total | $36,344,409 | $44,759,748 |
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% | $ 609,525 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 7,064 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 26,204 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 7,813 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 97,558 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 34,838 |
Total Distribution and Service Fees | $783,002 |
(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, 2023 based on each class's average daily net assets. MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. For the six months ended August 31, 2023, this rebate amounted to $352 for Class A shares and is included in the reduction of total expenses in the Statement of Operations. |
Amount | |
Class A | $3,727 |
Class B | 167 |
Class C | 1,791 |
Purchases | Sales | |
U.S. Government securities | $1,980,008,279 | $1,859,774,690 |
Non-U.S. Government securities | 45,852,157 | 19,471,894 |
Six months ended 8/31/23 | Year ended 2/28/23 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 5,485,378 | $48,420,887 | 8,608,163 | $77,542,261 | |
Class B | 3,374 | 29,549 | 6,271 | 60,226 | |
Class C | 167,406 | 1,476,790 | 107,209 | 979,565 | |
Class I | 15,672,908 | 138,683,662 | 6,457,198 | 58,069,206 | |
Class R1 | 11,715 | 102,397 | 17,127 | 154,253 | |
Class R2 | 554,944 | 4,838,504 | 1,359,314 | 12,281,140 | |
Class R3 | 582,681 | 5,108,018 | 1,036,197 | 9,344,478 | |
Class R4 | 612,586 | 5,347,891 | 1,141,117 | 10,200,677 | |
Class R6 | 9,049,631 | 78,480,085 | 12,743,386 | 114,469,579 | |
32,140,623 | $282,487,783 | 31,475,982 | $283,101,385 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 793,621 | $6,931,987 | 942,599 | $8,394,304 | |
Class B | 1,788 | 15,612 | 2,103 | 18,602 | |
Class C | 6,574 | 57,534 | 7,370 | 65,405 | |
Class I | 569,842 | 4,963,031 | 535,799 | 4,765,741 | |
Class R1 | 2,001 | 17,452 | 1,979 | 17,475 | |
Class R2 | 60,598 | 528,827 | 72,622 | 644,607 | |
Class R3 | 47,318 | 413,221 | 63,239 | 562,856 | |
Class R4 | 24,984 | 218,082 | 31,462 | 280,532 | |
Class R6 | 2,504,852 | 21,853,194 | 3,169,327 | 28,224,056 | |
4,011,578 | $34,998,940 | 4,826,500 | $42,973,578 | ||
Shares reacquired | |||||
Class A | (5,512,039) | $(48,062,404) | (15,693,409) | $(141,722,518) | |
Class B | (33,616) | (294,558) | (113,486) | (1,032,921) | |
Class C | (240,002) | (2,097,332) | (559,768) | (5,073,505) | |
Class I | (5,330,957) | (46,378,585) | (8,124,551) | (72,935,528) | |
Class R1 | (19,616) | (170,648) | (36,152) | (324,927) | |
Class R2 | (932,505) | (8,161,136) | (1,826,618) | (16,564,007) | |
Class R3 | (780,405) | (6,827,497) | (1,800,829) | (16,274,771) | |
Class R4 | (639,544) | (5,580,818) | (1,675,006) | (15,234,061) | |
Class R6 | (5,226,188) | (45,713,245) | (24,396,879) | (220,656,314) | |
(18,714,872) | $(163,286,223) | (54,226,698) | $(489,818,552) |
Six months ended 8/31/23 | Year ended 2/28/23 | ||||
Shares | Amount | Shares | Amount | ||
Net change | |||||
Class A | 766,960 | $7,290,470 | (6,142,647) | $(55,785,953) | |
Class B | (28,454) | (249,397) | (105,112) | (954,093) | |
Class C | (66,022) | (563,008) | (445,189) | (4,028,535) | |
Class I | 10,911,793 | 97,268,108 | (1,131,554) | (10,100,581) | |
Class R1 | (5,900) | (50,799) | (17,046) | (153,199) | |
Class R2 | (316,963) | (2,793,805) | (394,682) | (3,638,260) | |
Class R3 | (150,406) | (1,306,258) | (701,393) | (6,367,437) | |
Class R4 | (1,974) | (14,845) | (502,427) | (4,752,852) | |
Class R6 | 6,328,295 | 54,620,034 | (8,484,166) | (77,962,679) | |
17,437,329 | $154,200,500 | (17,924,216) | $(163,743,589) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $179,832,235 | $985,021,591 | $820,250,899 | $(42,731) | $29,624 | $344,589,820 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $4,238,558 | $— |
Value Fund
Value Fund
1 | |
2 | |
4 | |
10 | |
12 | |
13 | |
14 | |
23 | |
34 | |
38 | |
39 | |
39 | |
39 | |
39 | |
39 |
back cover |
Nomad Foods Ltd. | 1.6% |
Phillips Edison & Co., REIT | 1.5% |
CNX Resources Corp. | 1.4% |
KBR, Inc. | 1.4% |
Portland General Electric Co. | 1.3% |
Air Lease Corp. | 1.3% |
Prestige Consumer Healthcare, Inc. | 1.3% |
ChampionX Corp. | 1.3% |
LKQ Corp. | 1.3% |
Element Solutions, Inc. | 1.2% |
Financials | 18.7% |
Industrials | 17.5% |
Consumer Discretionary | 15.2% |
Energy | 10.3% |
Materials | 9.8% |
Real Estate | 7.1% |
Health Care | 6.6% |
Information Technology | 5.8% |
Utilities | 4.6% |
Consumer Staples | 2.6% |
(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, 2023 through August 31, 2023
Share Class | Annualized Expense Ratio | Beginning Account Value 3/01/23 | Ending Account Value 8/31/23 | Expenses Paid During Period (p) 3/01/23-8/31/23 | |
A | Actual | 1.19% | $1,000.00 | $970.62 | $5.89 |
Hypothetical (h) | 1.19% | $1,000.00 | $1,019.15 | $6.04 | |
B | Actual | 1.94% | $1,000.00 | $967.16 | $9.59 |
Hypothetical (h) | 1.94% | $1,000.00 | $1,015.38 | $9.83 | |
C | Actual | 1.94% | $1,000.00 | $967.61 | $9.60 |
Hypothetical (h) | 1.94% | $1,000.00 | $1,015.38 | $9.83 | |
I | Actual | 0.94% | $1,000.00 | $972.41 | $4.66 |
Hypothetical (h) | 0.94% | $1,000.00 | $1,020.41 | $4.77 | |
R1 | Actual | 1.92% | $1,000.00 | $967.30 | $9.49 |
Hypothetical (h) | 1.92% | $1,000.00 | $1,015.48 | $9.73 | |
R2 | Actual | 1.44% | $1,000.00 | $969.36 | $7.13 |
Hypothetical (h) | 1.44% | $1,000.00 | $1,017.90 | $7.30 | |
R3 | Actual | 1.19% | $1,000.00 | $970.69 | $5.89 |
Hypothetical (h) | 1.19% | $1,000.00 | $1,019.15 | $6.04 | |
R4 | Actual | 0.94% | $1,000.00 | $971.93 | $4.66 |
Hypothetical (h) | 0.94% | $1,000.00 | $1,020.41 | $4.77 | |
R6 | Actual | 0.84% | $1,000.00 | $972.63 | $4.17 |
Hypothetical (h) | 0.84% | $1,000.00 | $1,020.91 | $4.27 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – 98.2% | ||||
Aerospace & Defense – 2.4% | ||||
CACI International, Inc., “A” (a) | 114,658 | $37,608,971 | ||
KBR, Inc. | 808,822 | 49,758,729 | ||
$87,367,700 | ||||
Apparel Manufacturers – 3.9% | ||||
Canada Goose Holdings, Inc. (a)(l) | 2,248,134 | $35,363,148 | ||
PVH Corp. | 487,695 | 40,771,302 | ||
Skechers USA, Inc., “A” (a) | 859,374 | 43,235,106 | ||
Under Amour, Inc., “C” (a) | 3,301,473 | 22,747,149 | ||
$142,116,705 | ||||
Automotive – 2.7% | ||||
LKQ Corp. | 874,626 | $45,944,104 | ||
Methode Electronics, Inc. | 756,357 | 24,392,513 | ||
Visteon Corp. (a) | 185,845 | 25,882,633 | ||
$96,219,250 | ||||
Business Services – 2.3% | ||||
Endava PLC, ADR (a) | 390,871 | $19,113,592 | ||
HireRight Holdings Corp. (a) | 1,600,155 | 16,753,623 | ||
TaskUs, Inc., “A” (a) | 1,097,309 | 10,863,359 | ||
Thoughtworks Holding, Inc. (a) | 3,624,030 | 18,011,429 | ||
WNS (Holdings) Ltd., ADR (a) | 269,897 | 17,637,769 | ||
$82,379,772 | ||||
Chemicals – 2.3% | ||||
Avient Corp. | 938,223 | $37,632,124 | ||
Element Solutions, Inc. | 2,169,340 | 44,731,791 | ||
$82,363,915 | ||||
Computer Software – 2.1% | ||||
ACI Worldwide, Inc. (a) | 1,563,269 | $37,956,171 | ||
Dun & Bradstreet Holdings, Inc. | 3,344,060 | 36,450,254 | ||
$74,406,425 | ||||
Computer Software - Systems – 1.3% | ||||
Softchoice Corp. (l) | 1,786,481 | $22,053,362 | ||
Verint Systems, Inc. (a) | 713,561 | 23,112,241 | ||
$45,165,603 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Construction – 0.9% | ||||
Toll Brothers, Inc. | 402,055 | $32,940,366 | ||
Consumer Products – 3.1% | ||||
Helen of Troy Ltd. (a) | 266,549 | $32,764,203 | ||
Newell Brands, Inc. | 3,166,585 | 33,502,469 | ||
Prestige Consumer Healthcare, Inc. (a) | 795,051 | 46,375,325 | ||
$112,641,997 | ||||
Consumer Services – 1.7% | ||||
Bright Horizons Family Solutions, Inc. (a) | 311,916 | $29,451,109 | ||
Grand Canyon Education, Inc. (a) | 258,448 | 30,303,028 | ||
$59,754,137 | ||||
Containers – 2.2% | ||||
Ardagh Metal Packaging S.A. | 5,008,537 | $17,980,648 | ||
Graphic Packaging Holding Co. | 933,599 | 20,763,242 | ||
Silgan Holdings, Inc. | 925,470 | 41,766,461 | ||
$80,510,351 | ||||
Electrical Equipment – 3.7% | ||||
Berry Global, Inc. | 623,792 | $40,758,569 | ||
nVent Electric PLC | 616,901 | 34,879,583 | ||
TriMas Corp. | 1,314,630 | 34,443,306 | ||
Vertiv Holdings Co. | 567,847 | 22,367,493 | ||
$132,448,951 | ||||
Electronics – 1.8% | ||||
Cohu, Inc. (a) | 782,059 | $29,241,186 | ||
Plexus Corp. (a) | 344,003 | 34,933,505 | ||
$64,174,691 | ||||
Energy - Independent – 4.4% | ||||
CNX Resources Corp. (a) | 2,294,929 | $51,291,663 | ||
Matador Resources Co. | 439,956 | 27,937,206 | ||
Permian Resources Corp. | 2,807,488 | 39,810,180 | ||
Viper Energy Partners LP | 1,438,074 | 40,007,219 | ||
$159,046,268 | ||||
Food & Beverages – 2.6% | ||||
Hostess Brands, Inc. (a) | 1,271,549 | $36,213,715 | ||
Nomad Foods Ltd. (a) | 3,126,061 | 57,331,959 | ||
$93,545,674 | ||||
Gaming & Lodging – 1.2% | ||||
International Game Technology PLC | 1,336,651 | $42,799,565 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Insurance – 3.4% | ||||
Assurant, Inc. | 227,257 | $31,663,718 | ||
CNO Financial Group, Inc. | 1,449,788 | 33,925,039 | ||
Hanover Insurance Group, Inc. | 264,032 | 28,177,495 | ||
Selective Insurance Group, Inc. | 279,808 | 27,759,752 | ||
$121,526,004 | ||||
Leisure & Toys – 2.8% | ||||
Brunswick Corp. | 366,593 | $29,004,838 | ||
Funko, Inc., “A” (a) | 1,145,907 | 7,986,972 | ||
Hasbro, Inc. | 446,936 | 32,179,392 | ||
Hayward Holdings, Inc. (a) | 2,246,639 | 33,250,257 | ||
$102,421,459 | ||||
Machinery & Tools – 4.7% | ||||
ESAB Corp. | 567,697 | $40,970,692 | ||
Flowserve Corp. | 1,026,660 | 40,624,936 | ||
ITT, Inc. | 251,299 | 25,702,862 | ||
Regal Rexnord Corp. | 213,210 | 34,580,530 | ||
Timken Co. | 367,045 | 28,049,579 | ||
$169,928,599 | ||||
Medical & Health Technology & Services – 2.1% | ||||
Fortrea Holdings, Inc. (a) | 467,856 | $12,889,433 | ||
ICON PLC (a) | 171,553 | 44,593,487 | ||
Premier, Inc., “A” | 874,930 | 18,837,243 | ||
$76,320,163 | ||||
Medical Equipment – 2.6% | ||||
Agiliti Health, Inc. (a) | 1,052,948 | $10,160,948 | ||
Envista Holdings Corp. (a) | 890,532 | 28,514,835 | ||
Maravai Lifesciences Holdings, Inc., “A” (a) | 1,179,292 | 12,193,879 | ||
Quidel Corp. (a) | 364,962 | 30,058,271 | ||
Sotera Health Co. (a) | 815,922 | 13,168,981 | ||
$94,096,914 | ||||
Metals & Mining – 0.4% | ||||
Kaiser Aluminum Corp. | 192,262 | $14,596,531 | ||
Natural Gas - Distribution – 2.0% | ||||
New Jersey Resources Corp. | 784,975 | $33,102,396 | ||
ONE Gas, Inc. | 536,956 | 38,913,201 | ||
$72,015,597 | ||||
Natural Gas - Pipeline – 1.2% | ||||
Plains GP Holdings LP | 2,723,635 | $43,687,105 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Oil Services – 4.6% | ||||
ChampionX Corp. | 1,282,643 | $46,290,586 | ||
Expro Group Holdings N.V. (a) | 1,845,426 | 43,385,965 | ||
Helmerich & Payne | 996,016 | 39,830,680 | ||
TechnipFMC PLC | 1,970,424 | 37,516,873 | ||
$167,024,104 | ||||
Other Banks & Diversified Financials – 17.4% | ||||
Air Lease Corp. | 1,166,803 | $47,558,890 | ||
Bank of Hawaii Corp. (l) | 398,326 | 21,406,039 | ||
Brookline Bancorp, Inc. | 2,744,491 | 26,264,779 | ||
Cathay General Bancorp, Inc. | 1,176,935 | 41,934,194 | ||
Columbia Banking System, Inc. | 1,846,318 | 37,812,593 | ||
East West Bancorp, Inc. | 684,631 | 37,887,479 | ||
Element Fleet Management Corp. | 1,956,833 | 30,079,501 | ||
First Hawaiian, Inc. | 1,343,743 | 25,410,180 | ||
First Interstate BancSystem, Inc. | 1,284,271 | 33,275,461 | ||
Glacier Bancorp, Inc. | 806,137 | 24,353,399 | ||
Hanmi Financial Corp. | 1,012,646 | 17,539,029 | ||
Herc Holdings, Inc. | 176,144 | 22,923,380 | ||
Pacific Premier Bancorp, Inc. | 1,684,696 | 38,781,702 | ||
Prosperity Bancshares, Inc. | 643,261 | 36,543,657 | ||
Sandy Spring Bancorp, Inc. | 668,967 | 14,877,826 | ||
SLM Corp. | 2,088,933 | 29,746,406 | ||
Texas Capital Bancshares, Inc. (a) | 454,572 | 28,383,476 | ||
Textainer Group Holdings Ltd. | 686,874 | 27,220,817 | ||
UMB Financial Corp. | 242,237 | 15,311,801 | ||
United Community Bank, Inc. | 1,190,364 | 32,139,828 | ||
Wintrust Financial Corp. | 236,929 | 18,388,060 | ||
Zions Bancorporation NA | 509,988 | 18,104,574 | ||
$625,943,071 | ||||
Pharmaceuticals – 0.6% | ||||
Organon & Co. | 923,625 | $20,282,805 | ||
Real Estate – 7.8% | ||||
Brixmor Property Group, Inc., REIT | 1,227,116 | $26,972,010 | ||
Broadstone Net Lease, Inc., REIT | 2,692,218 | 43,533,165 | ||
Cushman & Wakefield PLC (a) | 2,178,138 | 20,017,088 | ||
Douglas Emmett, Inc., REIT | 639,629 | 8,743,728 | ||
Empire State Realty Trust, REIT, “A” | 4,155,987 | 36,281,767 | ||
LXP Industrial Trust, REIT | 3,240,664 | 31,823,320 | ||
National Storage Affiliates Trust, REIT | 991,633 | 33,318,869 | ||
Phillips Edison & Co., REIT | 1,618,372 | 54,798,076 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Real Estate – continued | ||||
Two Harbors Investment Corp., REIT | 1,751,842 | $24,122,864 | ||
$279,610,887 | ||||
Restaurants – 0.6% | ||||
Jack in the Box, Inc. | 280,822 | $22,569,664 | ||
Specialty Chemicals – 2.8% | ||||
Ashland, Inc. | 261,386 | $22,643,869 | ||
Axalta Coating Systems Ltd. (a) | 1,177,281 | 33,317,052 | ||
Chemours Co. | 634,467 | 21,584,568 | ||
Quaker Chemical Corp. | 141,265 | 25,071,712 | ||
$102,617,201 | ||||
Specialty Stores – 1.1% | ||||
Monro Muffler Brake, Inc. | 571,934 | $18,725,119 | ||
Zumiez, Inc. (a)(h) | 1,194,875 | 22,690,676 | ||
$41,415,795 | ||||
Trucking – 2.9% | ||||
RXO, Inc. (a) | 1,550,269 | $28,028,863 | ||
Schneider National, Inc. | 1,290,980 | 37,322,232 | ||
XPO Logistics, Inc. (a) | 507,701 | 37,889,726 | ||
$103,240,821 | ||||
Utilities - Electric Power – 2.6% | ||||
Black Hills Corp. | 802,248 | $44,123,640 | ||
Portland General Electric Co. | 1,100,486 | 48,267,316 | ||
$92,390,956 | ||||
Total Common Stocks (Identified Cost, $3,013,870,804) | $3,537,569,046 | |||
Investment Companies (h) – 1.7% | ||||
Money Market Funds – 1.7% | ||||
MFS Institutional Money Market Portfolio, 5.3% (v) (Identified Cost, $59,885,678) | 59,885,648 | $59,891,637 | ||
Collateral for Securities Loaned – 0.3% | ||||
State Street Navigator Securities Lending Government Money Market Portfolio, 5.34% (j) (Identified Cost, $10,419,992) | 10,419,992 | $10,419,992 | ||
Other Assets, Less Liabilities – (0.2)% | (6,442,236) | |||
Net Assets – 100.0% | $3,601,438,439 |
(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 $82,582,313 and $3,525,298,362, 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 $10,174,799 of securities on loan (identified cost, $3,001,638,986) | $3,525,298,362 |
Investments in affiliated issuers, at value (identified cost, $82,537,488) | 82,582,313 |
Receivables for | |
Fund shares sold | 1,810,030 |
Interest and dividends | 5,436,358 |
Other assets | 78,008 |
Total assets | $3,615,205,071 |
Liabilities | |
Payables for | |
Fund shares reacquired | $2,225,157 |
Collateral for securities loaned, at value | 10,419,992 |
Payable to affiliates | |
Investment adviser | 157,475 |
Administrative services fee | 2,874 |
Shareholder servicing costs | 800,415 |
Distribution and service fees | 6,830 |
Accrued expenses and other liabilities | 153,889 |
Total liabilities | $13,766,632 |
Net assets | $3,601,438,439 |
Net assets consist of | |
Paid-in capital | $3,063,103,310 |
Total distributable earnings (loss) | 538,335,129 |
Net assets | $3,601,438,439 |
Shares of beneficial interest outstanding | 206,796,550 |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $278,836,754 | 16,182,999 | $17.23 |
Class B | 3,326,256 | 207,549 | 16.03 |
Class C | 25,769,878 | 1,620,216 | 15.91 |
Class I | 1,527,202,526 | 87,681,238 | 17.42 |
Class R1 | 1,969,380 | 123,106 | 16.00 |
Class R2 | 5,425,230 | 318,556 | 17.03 |
Class R3 | 91,081,329 | 5,273,186 | 17.27 |
Class R4 | 74,779,219 | 4,285,232 | 17.45 |
Class R6 | 1,593,047,867 | 91,104,468 | 17.49 |
(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 $18.28 [100 / 94.25 x $17.23]. 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 | $39,561,355 |
Dividends from affiliated issuers | 1,758,847 |
Other | 130,631 |
Income on securities loaned | 39,793 |
Foreign taxes withheld | (239,943) |
Total investment income | $41,250,683 |
Expenses | |
Management fee | $14,689,784 |
Distribution and service fees | 639,853 |
Shareholder servicing costs | 1,098,523 |
Administrative services fee | 266,059 |
Independent Trustees' compensation | 30,259 |
Custodian fee | 64,269 |
Shareholder communications | 149,317 |
Audit and tax fees | 34,285 |
Legal fees | 9,148 |
Miscellaneous | 119,846 |
Total expenses | $17,101,343 |
Reduction of expenses by investment adviser and distributor | (228,838) |
Net expenses | $16,872,505 |
Net investment income (loss) | $24,378,178 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $49,797,466 |
Affiliated issuers | (569,995) |
Foreign currency | 3,236 |
Net realized gain (loss) | $49,230,707 |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $(174,379,668) |
Affiliated issuers | (4,369,653) |
Net unrealized gain (loss) | $(178,749,321) |
Net realized and unrealized gain (loss) | $(129,518,614) |
Change in net assets from operations | $(105,140,436) |
Six months ended | Year ended | |
8/31/23 (unaudited) | 2/28/23 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $24,378,178 | $34,846,999 |
Net realized gain (loss) | 49,230,707 | 179,149,179 |
Net unrealized gain (loss) | (178,749,321) | (348,110,035) |
Change in net assets from operations | $(105,140,436) | $(134,113,857) |
Total distributions to shareholders | $(59,204,268) | $(293,062,186) |
Change in net assets from fund share transactions | $(87,717,583) | $(11,547,898) |
Total change in net assets | $(252,062,287) | $(438,723,941) |
Net assets | ||
At beginning of period | 3,853,500,726 | 4,292,224,667 |
At end of period | $3,601,438,439 | $3,853,500,726 |
Class A | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $18.03 | $20.03 | $18.53 | $14.12 | $15.16 | $14.92 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.09 | $0.12 | $0.05 | $0.07 | $0.10 | $0.05 |
Net realized and unrealized gain (loss) | (0.61) | (0.77) | 3.32 | 4.66 | (0.38) | 1.21 |
Total from investment operations | $(0.52) | $(0.65) | $3.37 | $4.73 | $(0.28) | $1.26 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.03) | $(0.23) | $(0.15) | $— | $(0.10) | $(0.04) |
From net realized gain | (0.25) | (1.12) | (1.72) | (0.32) | (0.66) | (0.98) |
Total distributions declared to shareholders | $(0.28) | $(1.35) | $(1.87) | $(0.32) | $(0.76) | $(1.02) |
Net asset value, end of period (x) | $17.23 | $18.03 | $20.03 | $18.53 | $14.12 | $15.16 |
Total return (%) (r)(s)(t)(x) | (2.94)(n) | (2.88) | 18.34 | 34.47 | (2.41) | 8.90 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 1.21(a) | 1.20 | 1.19 | 1.23 | 1.23 | 1.29 |
Expenses after expense reductions | 1.19(a) | 1.18 | 1.18 | 1.22 | 1.22 | 1.28 |
Net investment income (loss) | 1.09(a) | 0.65 | 0.25 | 0.53 | 0.64 | 0.31 |
Portfolio turnover | 20(n) | 30 | 44 | 48 | 44 | 57 |
Net assets at end of period (000 omitted) | $278,837 | $306,254 | $361,165 | $333,743 | $331,255 | $318,067 |
Class B | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $16.83 | $18.77 | $17.54 | $13.48 | $14.52 | $14.40 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.03 | $(0.01) | $(0.09) | $(0.03) | $(0.02) | $(0.07) |
Net realized and unrealized gain (loss) | (0.58) | (0.73) | 3.13 | 4.41 | (0.36) | 1.17 |
Total from investment operations | $(0.55) | $(0.74) | $3.04 | $4.38 | $(0.38) | $1.10 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.00)(w) | $(0.08) | $(0.09) | $— | $— | $— |
From net realized gain | (0.25) | (1.12) | (1.72) | (0.32) | (0.66) | (0.98) |
Total distributions declared to shareholders | $(0.25) | $(1.20) | $(1.81) | $(0.32) | $(0.66) | $(0.98) |
Net asset value, end of period (x) | $16.03 | $16.83 | $18.77 | $17.54 | $13.48 | $14.52 |
Total return (%) (r)(s)(t)(x) | (3.28)(n) | (3.61) | 17.45 | 33.50 | (3.11) | 8.05 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 1.95(a) | 1.95 | 1.94 | 1.98 | 1.98 | 2.04 |
Expenses after expense reductions | 1.94(a) | 1.93 | 1.93 | 1.97 | 1.97 | 2.03 |
Net investment income (loss) | 0.34(a) | (0.09) | (0.49) | (0.21) | (0.12) | (0.48) |
Portfolio turnover | 20(n) | 30 | 44 | 48 | 44 | 57 |
Net assets at end of period (000 omitted) | $3,326 | $4,023 | $6,016 | $6,032 | $6,207 | $7,198 |
Class C | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $16.70 | $18.66 | $17.45 | $13.41 | $14.45 | $14.33 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.03 | $(0.02) | $(0.09) | $(0.03) | $(0.02) | $(0.08) |
Net realized and unrealized gain (loss) | (0.57) | (0.72) | 3.11 | 4.39 | (0.36) | 1.18 |
Total from investment operations | $(0.54) | $(0.74) | $3.02 | $4.36 | $(0.38) | $1.10 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.00)(w) | $(0.10) | $(0.09) | $— | $— | $— |
From net realized gain | (0.25) | (1.12) | (1.72) | (0.32) | (0.66) | (0.98) |
Total distributions declared to shareholders | $(0.25) | $(1.22) | $(1.81) | $(0.32) | $(0.66) | $(0.98) |
Net asset value, end of period (x) | $15.91 | $16.70 | $18.66 | $17.45 | $13.41 | $14.45 |
Total return (%) (r)(s)(t)(x) | (3.24)(n) | (3.65) | 17.42 | 33.52 | (3.12) | 8.09 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 1.95(a) | 1.95 | 1.94 | 1.98 | 1.98 | 2.04 |
Expenses after expense reductions | 1.94(a) | 1.93 | 1.93 | 1.97 | 1.97 | 2.03 |
Net investment income (loss) | 0.34(a) | (0.09) | (0.48) | (0.21) | (0.11) | (0.56) |
Portfolio turnover | 20(n) | 30 | 44 | 48 | 44 | 57 |
Net assets at end of period (000 omitted) | $25,770 | $29,474 | $37,588 | $39,061 | $38,477 | $41,046 |
Class I | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $18.20 | $20.22 | $18.69 | $14.21 | $15.25 | $15.00 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.12 | $0.16 | $0.10 | $0.11 | $0.14 | $0.12 |
Net realized and unrealized gain (loss) | (0.62) | (0.78) | 3.35 | 4.70 | (0.39) | 1.19 |
Total from investment operations | $(0.50) | $(0.62) | $3.45 | $4.81 | $(0.25) | $1.31 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.03) | $(0.28) | $(0.20) | $(0.01) | $(0.13) | $(0.08) |
From net realized gain | (0.25) | (1.12) | (1.72) | (0.32) | (0.66) | (0.98) |
Total distributions declared to shareholders | $(0.28) | $(1.40) | $(1.92) | $(0.33) | $(0.79) | $(1.06) |
Net asset value, end of period (x) | $17.42 | $18.20 | $20.22 | $18.69 | $14.21 | $15.25 |
Total return (%) (r)(s)(t)(x) | (2.76)(n) | (2.70) | 18.64 | 34.82 | (2.17) | 9.19 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 0.96(a) | 0.95 | 0.94 | 0.98 | 0.98 | 1.04 |
Expenses after expense reductions | 0.94(a) | 0.93 | 0.93 | 0.97 | 0.97 | 1.03 |
Net investment income (loss) | 1.34(a) | 0.91 | 0.46 | 0.78 | 0.89 | 0.77 |
Portfolio turnover | 20(n) | 30 | 44 | 48 | 44 | 57 |
Net assets at end of period (000 omitted) | $1,527,203 | $1,604,806 | $1,795,671 | $1,430,510 | $1,119,891 | $917,167 |
Class R1 | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $16.80 | $18.78 | $17.55 | $13.49 | $14.53 | $14.41 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.03 | $(0.01) | $(0.10) | $(0.03) | $(0.02) | $(0.06) |
Net realized and unrealized gain (loss) | (0.57) | (0.74) | 3.14 | 4.41 | (0.36) | 1.16 |
Total from investment operations | $(0.54) | $(0.75) | $3.04 | $4.38 | $(0.38) | $1.10 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.01) | $(0.11) | $(0.09) | $— | $(0.00)(w) | $— |
From net realized gain | (0.25) | (1.12) | (1.72) | (0.32) | (0.66) | (0.98) |
Total distributions declared to shareholders | $(0.26) | $(1.23) | $(1.81) | $(0.32) | $(0.66) | $(0.98) |
Net asset value, end of period (x) | $16.00 | $16.80 | $18.78 | $17.55 | $13.49 | $14.53 |
Total return (%) (r)(s)(t)(x) | (3.27)(n) | (3.65) | 17.45 | 33.47 | (3.08) | 8.04 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 1.95(a) | 1.95 | 1.94 | 1.98 | 1.98 | 2.04 |
Expenses after expense reductions | 1.92(a) | 1.92 | 1.93 | 1.96 | 1.97 | 2.03 |
Net investment income (loss) | 0.37(a) | (0.09) | (0.51) | (0.22) | (0.11) | (0.42) |
Portfolio turnover | 20(n) | 30 | 44 | 48 | 44 | 57 |
Net assets at end of period (000 omitted) | $1,969 | $2,196 | $2,224 | $2,320 | $1,453 | $1,581 |
Class R2 | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $17.84 | $19.84 | $18.38 | $14.04 | $15.09 | $14.87 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.07 | $0.07 | $0.01 | $0.04 | $0.06 | $0.02 |
Net realized and unrealized gain (loss) | (0.61) | (0.76) | 3.28 | 4.62 | (0.38) | 1.19 |
Total from investment operations | $(0.54) | $(0.69) | $3.29 | $4.66 | $(0.32) | $1.21 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.02) | $(0.19) | $(0.11) | $— | $(0.07) | $(0.01) |
From net realized gain | (0.25) | (1.12) | (1.72) | (0.32) | (0.66) | (0.98) |
Total distributions declared to shareholders | $(0.27) | $(1.31) | $(1.83) | $(0.32) | $(0.73) | $(0.99) |
Net asset value, end of period (x) | $17.03 | $17.84 | $19.84 | $18.38 | $14.04 | $15.09 |
Total return (%) (r)(s)(t)(x) | (3.06)(n) | (3.13) | 18.02 | 34.16 | (2.64) | 8.59 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 1.46(a) | 1.45 | 1.44 | 1.48 | 1.47 | 1.54 |
Expenses after expense reductions | 1.44(a) | 1.43 | 1.43 | 1.47 | 1.47 | 1.53 |
Net investment income (loss) | 0.84(a) | 0.40 | 0.05 | 0.29 | 0.40 | 0.16 |
Portfolio turnover | 20(n) | 30 | 44 | 48 | 44 | 57 |
Net assets at end of period (000 omitted) | $5,425 | $5,677 | $6,251 | $4,779 | $5,054 | $3,719 |
Class R3 | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $18.07 | $20.08 | $18.57 | $14.15 | $15.20 | $14.96 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.09 | $0.12 | $0.05 | $0.07 | $0.10 | $0.06 |
Net realized and unrealized gain (loss) | (0.61) | (0.78) | 3.33 | 4.67 | (0.38) | 1.20 |
Total from investment operations | $(0.52) | $(0.66) | $3.38 | $4.74 | $(0.28) | $1.26 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.03) | $(0.23) | $(0.15) | $(0.00)(w) | $(0.11) | $(0.04) |
From net realized gain | (0.25) | (1.12) | (1.72) | (0.32) | (0.66) | (0.98) |
Total distributions declared to shareholders | $(0.28) | $(1.35) | $(1.87) | $(0.32) | $(0.77) | $(1.02) |
Net asset value, end of period (x) | $17.27 | $18.07 | $20.08 | $18.57 | $14.15 | $15.20 |
Total return (%) (r)(s)(t)(x) | (2.93)(n) | (2.92) | 18.36 | 34.47 | (2.41) | 8.88 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 1.21(a) | 1.20 | 1.19 | 1.23 | 1.22 | 1.29 |
Expenses after expense reductions | 1.19(a) | 1.18 | 1.18 | 1.22 | 1.21 | 1.28 |
Net investment income (loss) | 1.09(a) | 0.65 | 0.24 | 0.53 | 0.64 | 0.40 |
Portfolio turnover | 20(n) | 30 | 44 | 48 | 44 | 57 |
Net assets at end of period (000 omitted) | $91,081 | $99,012 | $104,164 | $88,963 | $76,069 | $45,355 |
Class R4 | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $18.24 | $20.25 | $18.72 | $14.23 | $15.27 | $15.02 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.12 | $0.17 | $0.09 | $0.11 | $0.14 | $0.10 |
Net realized and unrealized gain (loss) | (0.63) | (0.78) | 3.36 | 4.71 | (0.38) | 1.21 |
Total from investment operations | $(0.51) | $(0.61) | $3.45 | $4.82 | $(0.24) | $1.31 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.03) | $(0.28) | $(0.20) | $(0.01) | $(0.14) | $(0.08) |
From net realized gain | (0.25) | (1.12) | (1.72) | (0.32) | (0.66) | (0.98) |
Total distributions declared to shareholders | $(0.28) | $(1.40) | $(1.92) | $(0.33) | $(0.80) | $(1.06) |
Net asset value, end of period (x) | $17.45 | $18.24 | $20.25 | $18.72 | $14.23 | $15.27 |
Total return (%) (r)(s)(t)(x) | (2.81)(n) | (2.66) | 18.60 | 34.84 | (2.16) | 9.19 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 0.96(a) | 0.95 | 0.94 | 0.98 | 0.98 | 1.03 |
Expenses after expense reductions | 0.94(a) | 0.93 | 0.93 | 0.97 | 0.97 | 1.03 |
Net investment income (loss) | 1.35(a) | 0.91 | 0.45 | 0.78 | 0.89 | 0.66 |
Portfolio turnover | 20(n) | 30 | 44 | 48 | 44 | 57 |
Net assets at end of period (000 omitted) | $74,779 | $73,846 | $103,464 | $104,206 | $82,613 | $71,765 |
Class R6 | Six months ended | Year ended | ||||
8/31/23 (unaudited) | 2/28/23 | 2/28/22 | 2/28/21 | 2/29/20 | 2/28/19 | |
Net asset value, beginning of period | $18.27 | $20.29 | $18.75 | $14.24 | $15.27 | $15.02 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.12 | $0.18 | $0.13 | $0.13 | $0.16 | $0.12 |
Net realized and unrealized gain (loss) | (0.61) | (0.78) | 3.35 | 4.71 | (0.38) | 1.20 |
Total from investment operations | $(0.49) | $(0.60) | $3.48 | $4.84 | $(0.22) | $1.32 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.04) | $(0.30) | $(0.22) | $(0.01) | $(0.15) | $(0.09) |
From net realized gain | (0.25) | (1.12) | (1.72) | (0.32) | (0.66) | (0.98) |
Total distributions declared to shareholders | $(0.29) | $(1.42) | $(1.94) | $(0.33) | $(0.81) | $(1.07) |
Net asset value, end of period (x) | $17.49 | $18.27 | $20.29 | $18.75 | $14.24 | $15.27 |
Total return (%) (r)(s)(t)(x) | (2.74)(n) | (2.59) | 18.75 | 34.98 | (2.02) | 9.28 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions | 0.85(a) | 0.85 | 0.84 | 0.87 | 0.87 | 0.92 |
Expenses after expense reductions | 0.84(a) | 0.84 | 0.83 | 0.86 | 0.86 | 0.92 |
Net investment income (loss) | 1.43(a) | 1.00 | 0.62 | 0.89 | 0.99 | 0.78 |
Portfolio turnover | 20(n) | 30 | 44 | 48 | 44 | 57 |
Net assets at end of period (000 omitted) | $1,593,048 | $1,728,213 | $1,875,681 | $1,721,570 | $1,303,575 | $938,134 |
(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 | $3,537,569,046 | $— | $— | $3,537,569,046 |
Mutual Funds | 70,311,629 | — | — | 70,311,629 |
Total | $3,607,880,675 | $— | $— | $3,607,880,675 |
Year ended 2/28/23 | |
Ordinary income (including any short-term capital gains) | $98,166,756 |
Long-term capital gains | 194,895,430 |
Total distributions | $293,062,186 |
As of 8/31/23 | |
Cost of investments | $3,141,543,461 |
Gross appreciation | 738,186,222 |
Gross depreciation | (271,849,008) |
Net unrealized appreciation (depreciation) | $466,337,214 |
As of 2/28/23 | |
Undistributed ordinary income | 50,558,747 |
Undistributed long-term capital gain | 7,034,551 |
Net unrealized appreciation (depreciation) | 645,086,535 |
Six months ended 8/31/23 | Year ended 2/28/23 | ||
Class A | $4,524,373 | $22,849,984 | |
Class B | 54,120 | 319,016 | |
Class C | 420,949 | 2,234,690 | |
Class I | 25,163,107 | 123,507,919 | |
Class R1 | 31,797 | 154,412 | |
Class R2 | 87,899 | 430,752 | |
Class R3 | 1,468,770 | 6,677,151 | |
Class R4 | 1,194,533 | 5,586,823 | |
Class R6 | 26,258,720 | 131,301,439 | |
Total | $59,204,268 | $293,062,186 |
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% | 1.07% |
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% | $ 351,482 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 17,604 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 132,820 |
Class R1 | 0.75% | 0.25% | 1.00% | 0.98% | 9,855 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 13,728 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 114,364 |
Total Distribution and Service Fees | $639,853 |
(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, 2023 based on each class's average daily net assets. MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. For the six months ended August 31, 2023, this rebate amounted to $68 and $180 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 | $1 |
Class B | 114 |
Class C | 459 |
Six months ended 8/31/23 | Year ended 2/28/23 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 231,328 | $3,914,829 | 767,039 | $13,764,757 | |
Class B | 33 | 500 | 1,248 | 20,802 | |
Class C | 22,849 | 360,789 | 45,215 | 751,541 | |
Class I | 6,343,507 | 108,075,999 | 24,332,154 | 441,640,960 | |
Class R1 | 4,722 | 74,582 | 36,941 | 631,900 | |
Class R2 | 31,338 | 531,428 | 49,007 | 873,667 | |
Class R3 | 381,560 | 6,469,670 | 1,480,378 | 26,135,987 | |
Class R4 | 541,813 | 9,321,873 | 800,576 | 14,616,720 | |
Class R6 | 7,422,264 | 126,644,357 | 14,443,299 | 261,969,209 | |
14,979,414 | $255,394,027 | 41,955,857 | $760,405,543 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 252,667 | $4,520,221 | 1,304,261 | $22,828,836 | |
Class B | 3,195 | 53,192 | 19,303 | 316,664 | |
Class C | 25,479 | 420,916 | 137,333 | 2,234,690 | |
Class I | 1,377,533 | 24,905,797 | 6,899,575 | 121,870,477 | |
Class R1 | 1,913 | 31,797 | 9,451 | 154,412 | |
Class R2 | 4,969 | 87,899 | 24,869 | 430,752 | |
Class R3 | 81,916 | 1,468,770 | 380,813 | 6,677,151 | |
Class R4 | 65,960 | 1,194,533 | 315,554 | 5,586,823 | |
Class R6 | 1,295,587 | 23,514,904 | 6,603,399 | 116,928,077 | |
3,109,219 | $56,198,029 | 15,694,558 | $277,027,882 |
Six months ended 8/31/23 | Year ended 2/28/23 | ||||
Shares | Amount | Shares | Amount | ||
Shares reacquired | |||||
Class A | (1,290,847) | $(21,860,966) | (3,108,143) | $(55,867,073) | |
Class B | (34,780) | (548,503) | (101,934) | (1,698,892) | |
Class C | (192,853) | (3,027,989) | (431,880) | (7,154,573) | |
Class I | (8,198,341) | (140,692,154) | (31,874,555) | (574,677,907) | |
Class R1 | (14,268) | (226,469) | (34,092) | (576,567) | |
Class R2 | (36,050) | (619,155) | (70,612) | (1,235,919) | |
Class R3 | (669,822) | (11,320,073) | (1,568,721) | (28,035,177) | |
Class R4 | (371,706) | (6,389,568) | (2,175,652) | (38,958,705) | |
Class R6 | (12,223,636) | (214,624,762) | (18,888,251) | (340,776,510) | |
(23,032,303) | $(399,309,639) | (58,253,840) | $(1,048,981,323) | ||
Net change | |||||
Class A | (806,852) | $(13,425,916) | (1,036,843) | $(19,273,480) | |
Class B | (31,552) | (494,811) | (81,383) | (1,361,426) | |
Class C | (144,525) | (2,246,284) | (249,332) | (4,168,342) | |
Class I | (477,301) | (7,710,358) | (642,826) | (11,166,470) | |
Class R1 | (7,633) | (120,090) | 12,300 | 209,745 | |
Class R2 | 257 | 172 | 3,264 | 68,500 | |
Class R3 | (206,346) | (3,381,633) | 292,470 | 4,777,961 | |
Class R4 | 236,067 | 4,126,838 | (1,059,522) | (18,755,162) | |
Class R6 | (3,505,785) | (64,465,501) | 2,158,447 | 38,120,776 | |
(4,943,670) | $(87,717,583) | (603,425) | $(11,547,898) |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $38,401,851 | $415,510,600 | $394,023,833 | $(2,940) | $5,959 | $59,891,637 |
Zumiez, Inc. | 26,905,447 | 1,125,969 | 398,073 | (567,055) | (4,375,612) | 22,690,676 |
$65,307,298 | $416,636,569 | $394,421,906 | $(569,995) | $(4,369,653) | $82,582,313 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $1,758,847 | $— |
Zumiez, Inc. | — | — |
$1,758,847 | $— |
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 covered by this Form N-CSR is included as part of the report to shareholders of such series under Item 1(a) of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the Registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrant's Board since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a)Based upon their evaluation of the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) as conducted within 90 days of the filing date of this report on Form N-CSR, the Registrant's principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms.
(b)There were no changes in the Registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by the report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 13. EXHIBITS.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: 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 16, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)*
/S/ DAVID L. DILORENZO
David L. DiLorenzo, President (Principal Executive Officer)
Date: October 16, 2023
By (Signature and Title)*
/S/ JAMES O. YOST
James O. Yost, Treasurer (Principal Financial Officer and Accounting Officer) Date: October 16, 2023
* Print name and title of each signing officer under his or her signature.