UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04492
MFS SERIES TRUST X
(Exact name of registrant as specified in charter)
111 Huntington Avenue, Boston, Massachusetts 02199
(Address of principal executive offices) (Zip code)
Christopher R. Bohane
Massachusetts Financial Services Company
111 Huntington Avenue
Boston, Massachusetts 02199
(Name and address of agents for service)
Registrant’s telephone number, including area code: (617) 954-5000
Date of fiscal year end: November 30*
Date of reporting period: November 30, 2021
* | This Form N-CSR pertains only to the following series of the Registrant: MFS Global Opportunistic Bond Fund (formerly MFS Global Bond Fund). Effective April 30, 2021, MFS Global Bond Fund was renamed MFS Global Opportunistic Bond Fund. The remaining series of the Registrant have fiscal year ends other than November 30th. |
ITEM 1. | REPORTS TO STOCKHOLDERS. |
Item 1(a):
Bond Fund
Bond Fund
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76 | |
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87 |
back cover |
Non-U.S. Government Bonds | 25.6% |
Emerging Markets Bonds | 23.0% |
Investment Grade Corporates | 20.1% |
High Yield Corporates | 14.1% |
Commercial Mortgage-Backed Securities | 4.5% |
Mortgage-Backed Securities | 2.6% |
Collateralized Debt Obligations | 2.2% |
Municipal Bonds | 0.5% |
Asset-Backed Securities | 0.2% |
U.S. Government Agencies (o) | 0.0% |
U.S. Treasury Securities | (9.9)% |
AAA | 10.0% |
AA | 6.0% |
A | 17.9% |
BBB | 29.1% |
BB | 15.0% |
B | 7.7% |
CCC | 0.8% |
U.S. Government | 4.4% |
Federal Agencies | 2.6% |
Not Rated | (10.6)% |
Cash & Cash Equivalents | 2.1% |
Other | 15.0% |
Average Duration (d) | 6.5 |
Average Effective Maturity (m) | 10.0 yrs. |
United States | 37.4% |
United Kingdom | 7.2% |
China | 7.1% |
Italy | 6.8% |
Japan | 5.5% |
Spain | 4.5% |
Australia | 2.5% |
South Africa | 1.9% |
Belgium | 1.7% |
Other Countries | 25.4% |
(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. |
(i) | For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
(m) | In determining each instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. |
(o) | Less than 0.1%. |
(v) | For purposes of this presentation, market value of fixed income and/or equity derivatives, if any, is included in Cash & Cash Equivalents. |
(x) | Represents the portfolio’s exposure to issuer countries as a percentage of a portfolio’s net assets. For purposes of this presentation, United States includes Cash & Cash Equivalents and Other. |
(r) | Securities rated “BBB”, “Baa”, or higher are considered investment grade; securities rated “BB”, “Ba”, or below are considered non-investment grade. Ratings are assigned to underlying securities utilizing ratings from Moody's, Fitch, and Standard & Poor's and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). For securities that are not rated by any of the rating agencies, the security is considered Not Rated. |
(y) | A yield curve graphically depicts the yields of different maturity bonds of the same credit quality and type; a normal yield curve is upward sloping, with short-term rates lower than long-term rates. |
Share Class | Class Inception Date | 1-yr | 5-yr | 10-yr | Life (t) |
A | 6/02/10 | (1.64)% | 3.89% | 1.32% | N/A |
B | 6/02/10 | (2.40)% | 3.12% | 0.58% | N/A |
C | 6/02/10 | (2.40)% | 3.12% | 0.57% | N/A |
I | 6/02/10 | (1.51)% | 4.16% | 1.57% | N/A |
R1 | 6/02/10 | (2.40)% | 3.12% | 0.57% | N/A |
R2 | 6/02/10 | (1.91)% | 3.64% | 1.07% | N/A |
R3 | 6/02/10 | (1.66)% | 3.90% | 1.32% | N/A |
R4 | 6/02/10 | (1.41)% | 4.13% | 1.57% | N/A |
R6 | 10/01/12 | (1.32)% | 4.24% | N/A | 1.30% |
Bloomberg Global Aggregate Index (USD Hedged) (f)(y) | (0.69)% | 3.53% | 3.69% | N/A |
Bloomberg Global Aggregate Index (f) | (3.29)% | 3.29% | 1.85% | N/A |
A With Initial Sales Charge (4.25%) | (5.82)% | 2.99% | 0.88% | N/A |
B With CDSC (Declining over six years from 4% to 0%) (v) | (6.20)% | 2.77% | 0.58% | N/A |
C With CDSC (1% for 12 months) (v) | (3.35)% | 3.12% | 0.57% | N/A |
(f) | Source: FactSet Research Systems Inc. |
(t) | For the period from the class inception date through the stated period end (for those share classes with less than 10 years of performance history). No comparative benchmark performance information is provided for “life” periods. (See Notes to Performance Summary.) |
(v) | Assuming redemption at the end of the applicable period. |
(y) | Effective April 30, 2021, the Bloomberg Global Aggregate Index (USD Hedged) replaced the Bloomberg Global Aggregate Index as the primary fund benchmark. The fund's investment adviser believes the Bloomberg Global Aggregate Index (USD Hedged) better reflects the investment policies and strategies of the fund as of April 30, 2021. |
(a) | Source: Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg's licensors own all proprietary rights in the Bloomberg Indices. Bloomberg neither approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith. |
June 1, 2021 through November 30, 2021
Share Class | Annualized Expense Ratio | Beginning Account Value 6/01/21 | Ending Account Value 11/30/21 | Expenses Paid During Period (p) 6/01/21-11/30/21 | |
A | Actual | 0.97% | $1,000.00 | $997.40 | $4.86 |
Hypothetical (h) | 0.97% | $1,000.00 | $1,020.21 | $4.91 | |
B | Actual | 1.72% | $1,000.00 | $993.61 | $8.60 |
Hypothetical (h) | 1.72% | $1,000.00 | $1,016.44 | $8.69 | |
C | Actual | 1.72% | $1,000.00 | $993.61 | $8.60 |
Hypothetical (h) | 1.72% | $1,000.00 | $1,016.44 | $8.69 | |
I | Actual | 0.72% | $1,000.00 | $997.53 | $3.61 |
Hypothetical (h) | 0.72% | $1,000.00 | $1,021.46 | $3.65 | |
R1 | Actual | 1.72% | $1,000.00 | $993.61 | $8.60 |
Hypothetical (h) | 1.72% | $1,000.00 | $1,016.44 | $8.69 | |
R2 | Actual | 1.22% | $1,000.00 | $996.10 | $6.10 |
Hypothetical (h) | 1.22% | $1,000.00 | $1,018.95 | $6.17 | |
R3 | Actual | 0.97% | $1,000.00 | $997.35 | $4.86 |
Hypothetical (h) | 0.97% | $1,000.00 | $1,020.21 | $4.91 | |
R4 | Actual | 0.72% | $1,000.00 | $997.53 | $3.61 |
Hypothetical (h) | 0.72% | $1,000.00 | $1,021.46 | $3.65 | |
R6 | Actual | 0.62% | $1,000.00 | $998.01 | $3.11 |
Hypothetical (h) | 0.62% | $1,000.00 | $1,021.96 | $3.14 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Bonds – 95.4% | ||||
Aerospace & Defense – 0.2% | ||||
TransDigm, Inc., 4.625%, 1/15/2029 | $ | 3,025,000 | $ 2,898,041 | |
Apparel Manufacturers – 0.1% | ||||
Tapestry, Inc., 3.05%, 3/15/2032 | $ | 1,264,000 | $ 1,277,625 | |
Asset-Backed & Securitized – 6.9% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.038%, 11/15/2054 (i) | $ | 11,961,690 | $ 878,526 | |
ACREC Ltd., 2021-FL1, “C”, FLR, 2.238% (LIBOR - 1mo. + 2.15%), 10/16/2036 (n) | 2,557,500 | 2,560,553 | ||
Allegro CLO Ltd., 2016-1A, “BR2”, FLR, 1.673% (LIBOR - 3mo. + 1.55%), 1/15/2030 (n) | 855,495 | 855,537 | ||
Arbor Multi-Family Mortgage Securities Trust, Inc., 2021-MF3, “A5”, 2.575%, 10/15/2054 (i)(n) | 4,500,000 | 4,645,645 | ||
Arbor Realty Trust, Inc., CLO, 2019-FL2, “AS”, FLR, 1.612% (LIBOR - 1mo. + 1.45%), 9/15/2034 (n) | 450,000 | 449,718 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “C”, FLR, 2.089% (LIBOR - 1mo. + 2%), 12/15/2035 (n) | 204,000 | 203,235 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL2, “B”, FLR, 1.689% (LIBOR - 1mo. + 1.6%), 5/15/2036 (n) | 418,000 | 415,647 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL2, “C”, FLR, 2.039% (LIBOR - 1mo. + 1.95%), 5/15/2036 (n) | 1,359,500 | 1,350,998 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “B”, FLR, 1.689% (LIBOR - 1mo. + 1.6%), 8/15/2034 (n) | 1,205,000 | 1,198,299 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “C”, FLR, 1.939% (LIBOR - 1mo. + 1.85%), 8/15/2034 (n) | 1,049,500 | 1,043,015 | ||
Barclays Commercial Mortgage Securities LLC, 2020-C7, “XA”, 1.74%, 4/15/2053 (i) | 1,442,534 | 143,364 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.431%, 7/15/2054 (i) | 9,824,058 | 939,889 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.764%, 2/15/2054 (i) | 15,251,156 | 1,814,064 | ||
Benchmark Mortgage Trust, 2020-B18, “XA”, 1.918%, 7/15/2053 (i) | 12,948,864 | 1,385,017 | ||
Benchmark Mortgage Trust, 2021-B24, “XA”, 1.273%, 3/15/2054 (i) | 6,416,067 | 529,424 | ||
Benchmark Mortgage Trust, 2021-B25, “A5”, 2.577%, 4/15/2054 | 2,120,000 | 2,190,401 | ||
Benchmark Mortgage Trust, 2021-B26, “XA”, 0.999%, 6/15/2054 (i) | 19,833,567 | 1,304,281 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Benchmark Mortgage Trust, 2021-B27, “XA”, 1.388%, 7/15/2054 (i) | $ | 20,359,563 | $ 1,925,758 | |
Benchmark Mortgage Trust, 2021-B28, “XA”, 1.404%, 8/15/2054 (i) | 21,151,062 | 2,011,889 | ||
Business Jet Securities LLC, 2020-1A, “A”, 2.981%, 11/15/2035 (n) | 512,194 | 517,372 | ||
Business Jet Securities LLC, 2021-1A, “A”, 2.162%, 4/15/2036 (n) | 538,513 | 538,668 | ||
BXMT Ltd., 2021-FL4, “AS”, FLR, 1.389% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | 1,100,000 | 1,100,032 | ||
BXMT Ltd., 2021-FL4, “B”, FLR, 1.639% (LIBOR - 1mo. + 1.55%), 5/15/2038 (n) | 2,995,500 | 2,988,005 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 493,634 | 498,449 | ||
CF Hippolyta Issuer LLC, 2020-1, “A1”, 1.69%, 7/15/2060 (n) | 395,113 | 393,308 | ||
Commercial Mortgage Pass-Through Certificates, 2018-BNK10, “A5”, 3.688%, 2/15/2061 | 2,924,308 | 3,204,350 | ||
Commercial Mortgage Pass-Through Certificates, 2020-BN28, “A4”, 1.844%, 3/15/2063 | 486,818 | 474,588 | ||
Commercial Mortgage Pass-Through Certificates, 2020-BN29, “A4”, 1.997%, 11/15/2053 | 2,230,142 | 2,199,139 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.892%, 4/15/2054 (i) | 7,825,941 | 451,204 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN34, “A5”, 2.438%, 6/15/2063 | 2,917,000 | 2,977,233 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN34, “XA”, 1.088%, 6/15/2063 (i) | 11,382,461 | 849,909 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.158%, 6/15/2064 (i) | 9,540,477 | 758,834 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BNK37, “A5”, 2.618%, 11/15/2064 | 3,289,474 | 3,408,708 | ||
FS Rialto 2019-FL1 Issuer Ltd., 2021-FL2, “AS”, FLR, 1.639% (LIBOR - 1mo. + 1.6%), 4/16/2028 (n) | 2,483,500 | 2,481,970 | ||
HarbourView CLO VII Ltd., 7RA, “B”, FLR, 1.822% (LIBOR - 3mo. + 1.7%), 7/18/2031 (n) | 2,560,000 | 2,534,019 | ||
KREF Ltd., 2021-FL2, “B”, FLR, 1.739% (LIBOR - 1mo. + 1.65%), 2/15/2039 (n) | 2,155,000 | 2,152,360 | ||
LoanCore Ltd., 2021-CRE5, “AS”, FLR, 1.839% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 3,300,000 | 3,300,998 | ||
LoanCore Ltd., 2021-CRE5, “B”, FLR, 2.089% (LIBOR - 1mo. + 2%), 7/15/2036 (n) | 1,395,500 | 1,395,499 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
MF1 CLO Ltd., 2020-FL3, “AS”, FLR, 3.012% (LIBOR - 1mo. + 2.85%), 7/15/2035 (z) | $ | 714,500 | $ 723,868 | |
MF1 CLO Ltd., 2021-FL5, “B”, FLR, 1.612% (LIBOR - 1mo. + 1.45%), 7/15/2036 (n) | 2,542,500 | 2,540,971 | ||
MF1 CLO Ltd., 2021-FL5, “C”, FLR, 1.862% (LIBOR - 1mo. + 1.7%), 7/15/2036 (n) | 645,000 | 644,805 | ||
MF1 CLO Ltd., 2021-FL6, “AS”, FLR, 1.539% (LIBOR - 1mo. + 1.45%), 7/16/2036 (n) | 2,500,000 | 2,500,010 | ||
MF1 Multi-Family Housing Mortgage Loan Trust, 2020-FL4, FLR, 2.262% (LIBOR - 1mo. + 2.1%), 11/15/2035 (n) | 647,000 | 651,651 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.424%, 5/15/2054 (i) | 5,730,818 | 534,708 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.354%, 6/15/2054 (i) | 17,477,886 | 1,482,156 | ||
Multi-Family Housing Mortgage, MF1-2021, “B”, FLR, 1.739% (LIBOR - 1mo. + 1.65%), 7/16/2036 (n) | 3,800,000 | 3,799,715 | ||
PFP III Ltd., 2021-7, “AS”, FLR, 1.241% (LIBOR - 1mo. + 1.15%), 4/14/2038 (n) | 871,957 | 867,672 | ||
PFP III Ltd., 2021-7, “B”, FLR, 1.491% (LIBOR - 1mo. + 1.4%), 4/14/2038 (n) | 684,966 | 680,757 | ||
PFP III Ltd., 2021-7, “C”, FLR, 1.741% (LIBOR - 1mo. + 1.65%), 4/14/2038 (n) | 468,477 | 465,598 | ||
PFP III Ltd., 2021-8, “B”, FLR, 1.589% (LIBOR - 1mo. + 1.5%), 8/09/2037 (n) | 812,000 | 809,026 | ||
Shelter Growth CRE, 2021-FL3, “C”, FLR, 2.239% (LIBOR - 1mo. + 2.15%), 9/15/2036 (n) | 1,212,000 | 1,211,999 | ||
Starwood Commercial Mortgage, 2021-FL2, “B”, FLR, 1.889% (LIBOR - 1mo. + 1.8%), 4/18/2038 (n) | 1,223,000 | 1,221,578 | ||
Starwood Commercial Mortgage, 2021-FL2, “C”, FLR, 2.188% (LIBOR - 1mo. + 2.1%), 4/18/2038 (n) | 238,000 | 237,804 | ||
TPG Real Estate Finance, 2021-FL4, “A”, FLR, 1.289% (LIBOR - 1mo. + 1.2%), 3/15/2038 (n) | 762,000 | 761,296 | ||
TPG Real Estate Finance, 2021-FL4, “AS”, FLR, 1.488% (LIBOR - 1mo. + 1.4%), 3/15/2038 (n) | 800,000 | 798,046 | ||
Wells Fargo Commercial Mortgage Trust, 2020-C58, “A4”, 2.092%, 7/15/2053 | 968,000 | 959,765 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C59, “XA”, 1.684%, 4/15/2054 (i) | 9,433,641 | 1,067,984 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C60, “XA”, 1.682%, 8/15/2054 (i) | 15,881,487 | 1,863,226 | ||
$81,892,540 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Automotive – 1.2% | ||||
Daimler Finance North America LLC, 1.45%, 3/02/2026 (n) | $ | 1,951,000 | $ 1,940,788 | |
Hyundai Capital America, 2%, 6/15/2028 (n) | 1,492,000 | 1,445,112 | ||
Hyundai Capital America, 6.375%, 4/08/2030 (n) | 1,680,000 | 2,121,669 | ||
RAC Bond Co. PLC, 5.25%, 11/04/2027 (n) | GBP | 1,950,000 | 2,526,123 | |
TI Automotive Finance PLC, 3.75%, 4/15/2029 (n) | EUR | 2,590,000 | 2,953,345 | |
TI Automotive Finance PLC, 3.75%, 4/15/2029 | 1,050,000 | 1,197,302 | ||
Volkswagen International Finance N.V., 3.5% to 3/20/2030, FLR (EUR Swap Rate - 15yr. + 3.06%) to 3/20/2050, FLR (EUR Swap Rate - 15yr. + 3.81%) to 12/29/2166 | 1,310,000 | 1,590,025 | ||
$13,774,364 | ||||
Broadcasting – 1.1% | ||||
Advantage Sales & Marketing, Inc., 6.5%, 11/15/2028 (n) | $ | 2,560,000 | $ 2,619,494 | |
Discovery, Inc., 4.125%, 5/15/2029 | 1,860,000 | 2,049,983 | ||
Prosus N.V., 1.539%, 8/03/2028 | EUR | 1,200,000 | 1,364,717 | |
Prosus N.V., 3.061%, 7/13/2031 (n) | $ | 1,095,000 | 1,058,301 | |
Prosus N.V., 4.027%, 8/03/2050 | 1,600,000 | 1,494,609 | ||
Summer BC Holdco S.à r.l., “A”, 9.25%, 10/31/2027 | EUR | 2,140,000 | 2,606,570 | |
WMG Acquisition Corp., 2.25%, 8/31/2031 (n) | 1,764,000 | 1,977,346 | ||
$13,171,020 | ||||
Brokerage & Asset Managers – 1.0% | ||||
Intercontinental Exchange, Inc., 1.85%, 9/15/2032 | $ | 2,037,000 | $ 1,930,500 | |
Intercontinental Exchange, Inc., 3%, 9/15/2060 | 708,000 | 692,100 | ||
Low Income Investment Fund, 3.386%, 7/01/2026 | 310,000 | 323,698 | ||
Low Income Investment Fund, 3.711%, 7/01/2029 | 840,000 | 897,719 | ||
LPL Holdings, Inc., 4.625%, 11/15/2027 (n) | 2,775,000 | 2,844,375 | ||
LPL Holdings, Inc., 4%, 3/15/2029 (n) | 1,315,000 | 1,320,510 | ||
LSEG Netherlands B.V., 0.25%, 4/06/2028 | EUR | 720,000 | 810,732 | |
Vivion Investments S.à r.l., 3%, 8/08/2024 | 2,900,000 | 3,123,985 | ||
$11,943,619 | ||||
Building – 1.2% | ||||
ABC Supply Co., Inc., 4%, 1/15/2028 (n) | $ | 2,770,000 | $ 2,794,238 | |
Holcim Finance (Luxembourg) S.A., 0.625%, 4/06/2030 | EUR | 1,390,000 | 1,547,947 | |
Holcim Finance (Luxembourg) S.A., 0.5%, 4/23/2031 | 850,000 | 918,776 | ||
Holcim Sterling Finance (Netherlands) B.V., 2.25%, 4/04/2034 | GBP | 1,020,000 | 1,349,065 | |
Imerys S.A., 1%, 7/15/2031 | EUR | 900,000 | 1,003,275 | |
New Enterprise Stone & Lime Co., Inc., 5.25%, 7/15/2028 (n) | $ | 1,535,000 | 1,531,163 | |
Standard Industries, Inc., 2.25%, 11/21/2026 | EUR | 3,250,000 | 3,565,667 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Building – continued | ||||
Vulcan Materials Co., 3.5%, 6/01/2030 | $ | 1,618,000 | $ 1,753,883 | |
$14,464,014 | ||||
Business Services – 0.9% | ||||
Equinix, Inc., REIT, 1%, 3/15/2033 | EUR | 1,175,000 | $ 1,293,886 | |
Euronet Worldwide, Inc., 1.375%, 5/22/2026 | 1,290,000 | 1,494,660 | ||
Fiserv, Inc., 2.65%, 6/01/2030 | $ | 1,341,000 | 1,356,168 | |
Fiserv, Inc., 4.4%, 7/01/2049 | 669,000 | 796,453 | ||
NXP Semiconductors N.V., 3.4%, 5/01/2030 (n) | 2,849,000 | 3,037,995 | ||
Switch Ltd., 3.75%, 9/15/2028 (n) | 3,175,000 | 3,143,250 | ||
$11,122,412 | ||||
Cable TV – 1.9% | ||||
CCO Holdings LLC/CCO Holdings Capital Corp., 4.5%, 8/15/2030 (n) | $ | 4,360,000 | $ 4,394,640 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.8%, 3/01/2050 | 942,000 | 1,061,064 | ||
Cox Communications, Inc., 3.85%, 2/01/2025 (n) | 463,000 | 494,023 | ||
Eutelsat S.A., 2.25%, 7/13/2027 | EUR | 900,000 | 1,056,908 | |
Eutelsat S.A., 1.5%, 10/13/2028 | 800,000 | 916,311 | ||
Sirius XM Radio, Inc., 5.5%, 7/01/2029 (n) | $ | 3,965,000 | 4,205,834 | |
Telenet Finance Luxembourg Notes S.à r.l., 3.5%, 3/01/2028 | EUR | 3,100,000 | 3,583,795 | |
Virgin Media Finance PLC, 3.75%, 7/15/2030 | 2,950,000 | 3,314,147 | ||
VTR Comunicaciones S.p.A., 5.125%, 1/15/2028 | $ | 1,200,000 | 1,223,940 | |
Ziggo B.V., 4.25%, 1/15/2027 | EUR | 2,160,000 | 2,492,525 | |
$22,743,187 | ||||
Chemicals – 0.3% | ||||
LYB International Finance III, LLC, 4.2%, 5/01/2050 | $ | 585,000 | $ 676,724 | |
Sasol Financing (USA) LLC, 4.375%, 9/18/2026 | 1,450,000 | 1,428,250 | ||
Synthos S.A., 2.5%, 6/07/2028 (n) | EUR | 1,286,000 | 1,396,468 | |
$3,501,442 | ||||
Computer Software – 0.3% | ||||
Clarivate Science Holdings Corp., 4.875%, 7/01/2029 (n) | $ | 2,480,000 | $ 2,428,540 | |
Microsoft Corp., 2.675%, 6/01/2060 | 1,695,000 | 1,689,827 | ||
$4,118,367 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Computer Software - Systems – 0.7% | ||||
Apple, Inc., 3.2%, 5/11/2027 | $ | 2,523,000 | $ 2,713,822 | |
Apple, Inc., 4.5%, 2/23/2036 | 1,585,000 | 1,992,198 | ||
Fair Isaac Corp., 4%, 6/15/2028 (n) | 3,240,000 | 3,231,900 | ||
$7,937,920 | ||||
Conglomerates – 0.8% | ||||
Carrier Global Corp., 3.577%, 4/05/2050 | $ | 1,631,000 | $ 1,732,304 | |
Highland Holdings S.á r.l., 0.318%, 12/15/2026 | EUR | 300,000 | 339,975 | |
Highland Holdings S.á r.l., 0.934%, 12/15/2031 | 270,000 | 307,186 | ||
TriMas Corp., 4.125%, 4/15/2029 (n) | $ | 4,295,000 | 4,295,000 | |
Westinghouse Air Brake Technologies Corp., 4.95%, 9/15/2028 | 2,127,000 | 2,419,722 | ||
$9,094,187 | ||||
Consumer Products – 0.2% | ||||
JAB Holdings B.V., 1%, 7/14/2031 | EUR | 1,000,000 | $ 1,105,734 | |
JAB Holdings B.V., 2.25%, 12/19/2039 | 800,000 | 955,404 | ||
$2,061,138 | ||||
Consumer Services – 1.4% | ||||
AA Bond Co. Ltd., 3.25%, 7/31/2028 | GBP | 560,000 | $ 749,029 | |
ANGI Group LLC, 3.875%, 8/15/2028 (n) | $ | 2,980,000 | 2,830,523 | |
Booking Holdings, Inc., 3.65%, 3/15/2025 | 1,076,000 | 1,147,675 | ||
GoDaddy, Inc., 3.5%, 3/01/2029 (n) | 3,795,000 | 3,609,349 | ||
Match Group, Inc., 4.625%, 6/01/2028 (n) | 4,040,000 | 4,100,640 | ||
Toll Road Investors Partnership II LP, Capital Appreciation, NPFG, 0%, 2/15/2027 (n) | 1,754,000 | 1,413,334 | ||
TriNet Group, Inc., 3.5%, 3/01/2029 (n) | 3,420,000 | 3,378,960 | ||
$17,229,510 | ||||
Containers – 0.7% | ||||
ARD Finance S.A., 5%,(5% cash or 5.75% PIK) 6/30/2027 (p) | EUR | 2,495,000 | $ 2,868,486 | |
Ardagh Metal Packaging, 3%, 9/01/2029 (n) | 1,800,000 | 1,988,545 | ||
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 3%, 9/01/2029 | 550,000 | 607,611 | ||
Canpack S.A./Eastern PA Land Investment Holding LLC, 3.125%, 11/01/2025 | $ | 2,100,000 | 2,085,090 | |
DS Smith PLC, 2.875%, 7/26/2029 | GBP | 470,000 | 655,196 | |
$8,204,928 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Electrical Equipment – 0.2% | ||||
Arrow Electronics, Inc., 3.25%, 9/08/2024 | $ | 506,000 | $ 528,887 | |
Telefonaktiebolaget LM Ericsson, 1%, 5/26/2029 | EUR | 1,170,000 | 1,301,983 | |
$1,830,870 | ||||
Electronics – 0.7% | ||||
Broadcom, Inc., 4.15%, 11/15/2030 | $ | 931,000 | $ 1,017,311 | |
Broadcom, Inc., 3.419%, 4/15/2033 (n) | 1,876,000 | 1,933,178 | ||
Broadcom, Inc., 3.137%, 11/15/2035 (n) | 289,000 | 284,079 | ||
Broadcom, Inc., 3.187%, 11/15/2036 (n) | 50,000 | 49,228 | ||
Entegris, Inc., 3.625%, 5/01/2029 (n) | 3,607,000 | 3,579,948 | ||
Infineon Technologies AG, 1.625%, 6/24/2029 | EUR | 1,000,000 | 1,208,245 | |
$8,071,989 | ||||
Emerging Market Quasi-Sovereign – 3.2% | ||||
Banco de Reservas de la Republica Dominicana, 7%, 2/01/2023 | $ | 700,000 | $ 729,757 | |
Comision Federal de Electricidad (United Mexican States), 3.348%, 2/09/2031 | 1,200,000 | 1,146,012 | ||
Comision Federal de Electricidad (United Mexican States), 3.875%, 7/26/2033 (n) | 1,344,000 | 1,282,848 | ||
DAE Funding LLC (United Arab Emirates), 3.375%, 3/20/2028 | 1,450,000 | 1,467,081 | ||
Dua Capital Ltd. (Federation of Malaysia), 2.78%, 5/11/2031 | 2,400,000 | 2,391,494 | ||
Emirates Development Bank PJSC, 1.639%, 6/15/2026 | 1,430,000 | 1,422,707 | ||
Emirates NBD Bank PJSC, 6.125% to 7/09/2026, FLR (Swap Rate - 6yr. + 5.702%) to 1/09/2170 | 2,400,000 | 2,578,800 | ||
Eskom Holdings SOC Ltd. (Republic of South Africa), 7.125%, 2/11/2025 | 1,500,000 | 1,539,075 | ||
Export-Import Bank of India, 3.875%, 2/01/2028 | 1,200,000 | 1,288,320 | ||
Export-Import Bank of India, 2.25%, 1/13/2031 | 1,800,000 | 1,679,900 | ||
Gaz Capital S.A. (Russian Federation), 3.25%, 2/25/2030 | 1,300,000 | 1,251,224 | ||
Indian Railway Finance Corp., 2.8%, 2/10/2031 | 2,100,000 | 2,037,514 | ||
Industrial & Commercial Bank of China Ltd., 4.875%, 9/21/2025 | 1,700,000 | 1,867,532 | ||
Ipoteka Bank (Republic of Uzbekistan), 5.5%, 11/19/2025 | 2,202,000 | 2,233,665 | ||
KazMunayGas National Co., JSC (Republic of Kazakhstan), 6.375%, 10/24/2048 | 1,297,000 | 1,636,747 | ||
Krung Thai Bank PLC (Cayman Islands Branch), 4.4% to 3/25/2026, FLR (CMT - 5yr. + 3.53%) to 9/25/2169 | 1,500,000 | 1,496,265 | ||
MDGH - GMTN B.V. (United Arab Emirates), 2.5%, 11/07/2024 | 836,000 | 864,215 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Quasi-Sovereign – continued | ||||
Office Cherifien des Phosphates S.A. (Kingdom of Morocco), 3.75%, 6/23/2031 (n) | $ | 1,077,000 | $ 1,038,271 | |
Ooredoo International Finance Ltd. (State of Qatar), 2.625%, 4/08/2031 | 1,180,000 | 1,179,934 | ||
Petroleos Mexicanos, 7.69%, 1/23/2050 | 3,440,000 | 3,103,224 | ||
PT Pertamina (Persero) (Republic of Indonesia), 6%, 5/03/2042 (n) | 900,000 | 1,098,382 | ||
Southern Gas Corridor CJSC (Republic of Azerbaijan), 6.875%, 3/24/2026 | 1,420,000 | 1,634,565 | ||
State Grid Overseas Investment (2016) Ltd. (People's Republic of China), 3.5%, 5/04/2027 | 1,523,000 | 1,653,323 | ||
State Oil Company of the Azerbaijan Republic, 6.95%, 3/18/2030 | 1,000,000 | 1,192,590 | ||
$37,813,445 | ||||
Emerging Market Sovereign – 14.7% | ||||
Arab Republic of Egypt, 7.052%, 1/15/2032 | $ | 1,500,000 | $ 1,317,570 | |
Arab Republic of Egypt, 8.875%, 5/29/2050 | 1,900,000 | 1,634,000 | ||
Dominican Republic, 4.875%, 9/23/2032 | 1,300,000 | 1,293,513 | ||
Dominican Republic, 5.875%, 1/30/2060 | 2,900,000 | 2,697,000 | ||
Federative Republic of Brazil, 10%, 1/01/2023 | BRL | 95,240,000 | 16,633,872 | |
Federative Republic of Brazil, 5.625%, 2/21/2047 | $ | 1,000,000 | 969,820 | |
Government of Oman, 7%, 1/25/2051 | 2,050,000 | 2,029,967 | ||
Government of Ukraine, 7.75%, 9/01/2026 (n) | 900,000 | 901,134 | ||
Government of Ukraine, 7.75%, 9/01/2026 | 600,000 | 600,756 | ||
Government of Ukraine, 6.876%, 5/21/2029 | 1,029,000 | 956,614 | ||
Government of Ukraine, 7.253%, 3/15/2033 | 3,700,000 | 3,446,550 | ||
Kingdom of Morocco, 2.375%, 12/15/2027 | 1,050,000 | 1,014,048 | ||
Kingdom of Morocco, 2%, 9/30/2030 | EUR | 1,900,000 | 2,047,050 | |
Kingdom of Morocco, 3%, 12/15/2032 | $ | 1,300,000 | 1,209,325 | |
Oriental Republic of Uruguay, 4.375%, 1/23/2031 | 1,084,000 | 1,246,773 | ||
Oriental Republic of Uruguay, 8.25%, 5/21/2031 | UYU | 258,939,000 | 5,620,160 | |
People's Republic of China, 3.03%, 3/11/2026 | CNY | 312,110,000 | 49,678,243 | |
People's Republic of China, 2.68%, 5/21/2030 | 153,350,000 | 23,607,545 | ||
Republic of Benin, 6.875%, 1/19/2052 | EUR | 1,500,000 | 1,666,719 | |
Republic of Chile, 4.7%, 9/01/2030 | CLP | 2,765,000,000 | 3,113,424 | |
Republic of Cote d'Ivoire, 6.875%, 10/17/2040 | EUR | 2,800,000 | 3,226,605 | |
Republic of Guatemala, 6.125%, 6/01/2050 | $ | 1,500,000 | 1,671,750 | |
Republic of Hungary, 2.125%, 9/22/2031 (n) | 1,195,000 | 1,156,162 | ||
Republic of Korea, 1.875%, 6/10/2029 | KRW | 18,829,710,000 | 15,471,551 | |
Republic of Paraguay, 6.1%, 8/11/2044 (n) | $ | 1,760,000 | 2,068,018 | |
Republic of Paraguay, 5.6%, 3/13/2048 | 1,100,000 | 1,221,011 | ||
Republic of Romania, 1.75%, 7/13/2030 (n) | EUR | 986,000 | 1,042,953 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
Republic of Romania, 2%, 1/28/2032 | EUR | 2,220,000 | $ 2,338,190 | |
Republic of Senegal, 6.25%, 5/23/2033 | $ | 1,400,000 | 1,401,820 | |
Republic of Serbia, 1.65%, 3/03/2033 | EUR | 2,056,000 | 2,075,222 | |
Republic of Serbia, 2.05%, 9/23/2036 (n) | 1,096,000 | 1,085,787 | ||
Republic of South Africa, 8.25%, 3/31/2032 | ZAR | 348,648,000 | 19,191,437 | |
Russian Federation, 4.375%, 3/21/2029 | $ | 1,200,000 | 1,328,760 | |
United Mexican States, 3.771%, 5/24/2061 | 1,046,000 | 951,201 | ||
$175,914,550 | ||||
Energy - Independent – 0.6% | ||||
Diamondback Energy, Inc., 4.4%, 3/24/2051 | $ | 1,104,000 | $ 1,252,007 | |
Energean Israel Finance Ltd., 4.875%, 3/30/2026 | 1,500,000 | 1,475,250 | ||
Leviathan Bond Ltd., 6.75%, 6/30/2030 (n) | 1,600,000 | 1,676,000 | ||
Medco Bell Pte. Ltd., 6.375%, 1/30/2027 | 1,000,000 | 963,000 | ||
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n) | 1,700,000 | 1,802,000 | ||
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 | 500,000 | 530,000 | ||
$7,698,257 | ||||
Energy - Integrated – 0.7% | ||||
Cenovus Energy, Inc., 2.65%, 1/15/2032 | $ | 875,000 | $ 844,110 | |
Eni S.p.A., 4.25%, 5/09/2029 (n) | 1,139,000 | 1,287,982 | ||
Eni S.p.A., 2.625% to 1/13/2026, FLR (EUR Swap Rate - 5yr. + 3.167%) to 1/13/2031, FLR (EUR Swap Rate - 5yr. + 3.417%) to 1/13/2046, FLR (EUR Swap Rate - 5yr. + 4.167%) to 1/13/2170 | EUR | 1,206,000 | 1,407,047 | |
Eni S.p.A., 2.75% to 5/11/2030, FLR (EUR Swap Rate - 5yr. + 2.771%) to 5/11/2035, FLR (EUR Swap Rate - 5yr. + 3.021%) to 5/11/2050, FLR (EUR Swap Rate - 5yr. + 3.771%) to 5/11/2170 | 1,120,000 | 1,263,046 | ||
Galp Energia SGPS S.A., 2%, 1/15/2026 | 1,400,000 | 1,668,260 | ||
MOL PLC, 1.5%, 10/08/2027 | 870,000 | 1,005,702 | ||
OMV AG, 2.5% to 9/01/2026, FLR (EUR Swap Rate - 5yr. + 2.82%) to 9/01/2030, FLR (EUR Swap Rate - 5yr. + 3.82%) to 9/01/2070 | 500,000 | 584,681 | ||
$8,060,828 | ||||
Entertainment – 0.2% | ||||
Carnival Corp. PLC, 5.75%, 3/01/2027 (n) | $ | 2,595,000 | $ 2,536,223 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Financial Institutions – 2.4% | ||||
Adler Group S.A., 2.25%, 1/14/2029 | EUR | 400,000 | $ 361,161 | |
Adler Group, Inc., 3.25%, 8/05/2025 | 800,000 | 766,652 | ||
Adler Group, Inc., 2.75%, 11/13/2026 | 500,000 | 467,499 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, 7/21/2027 | $ | 1,489,000 | 1,576,129 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.3%, 1/30/2032 | 375,000 | 377,861 | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.85%, 10/29/2041 | 299,000 | 308,512 | ||
Avolon Holdings Funding Ltd., 3.95%, 7/01/2024 (n) | 1,093,000 | 1,145,571 | ||
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 1,336,000 | 1,431,601 | ||
Credit Logement S.A., 1.081% to 2/15/2029, FLR (EUR ICE Swap Rate - 5yr. + 1.1%) to 2/15/2034 | EUR | 1,100,000 | 1,241,410 | |
CTP N.V., 1.25%, 6/21/2029 | 550,000 | 605,107 | ||
CTP N.V., 1.5%, 9/27/2031 | 1,140,000 | 1,237,306 | ||
EXOR N.V., 2.25%, 4/29/2030 | 860,000 | 1,073,912 | ||
EXOR N.V., 0.875%, 1/19/2031 | 1,175,000 | 1,310,951 | ||
Garfunkelux Holdco 3 S.A., 7.75%, 11/01/2025 | GBP | 2,150,000 | 2,956,040 | |
Global Aircraft Leasing Co. Ltd., 6.5%,(6.5% cash or 7.25% PIK) 9/15/2024 (n)(p) | $ | 2,935,000 | 2,844,543 | |
Global Aircraft Leasing Co. Ltd., 6.5%,(6.5% cash or 7.25% PIK) 9/15/2024 (n)(p) | 1,210,000 | 1,105,311 | ||
Grand City Properties S.A., 1.5%, 12/09/2069 | EUR | 800,000 | 875,710 | |
Logicor Financing S.à r.l., 0.875%, 1/14/2031 | 830,000 | 898,930 | ||
Muthoot Finance Ltd., 4.4%, 9/02/2023 | $ | 1,000,000 | 1,015,000 | |
Nationstar Mortgage Holdings, Inc., 5.5%, 8/15/2028 (n) | 2,980,000 | 2,968,825 | ||
SBB Treasury Oyj, 0.75%, 12/14/2028 | EUR | 730,000 | 791,136 | |
SBB Treasury Oyj, 1.125%, 11/26/2029 | 580,000 | 639,543 | ||
VGP N.V., 1.5%, 4/08/2029 | 1,200,000 | 1,338,245 | ||
Vonovia SE, 1.5%, 6/14/2041 | 900,000 | 995,528 | ||
Vonovia SE, 1.625%, 9/01/2051 | 500,000 | 537,943 | ||
$28,870,426 | ||||
Food & Beverages – 1.1% | ||||
Anheuser-Busch InBev S.A./N.V., 1.65%, 3/28/2031 | EUR | 970,000 | $ 1,184,787 | |
Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | $ | 1,112,000 | 1,295,166 | |
Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/2049 | 669,000 | 922,762 | ||
Bacardi Ltd., 5.15%, 5/15/2038 (n) | 728,000 | 904,121 | ||
Constellation Brands, Inc., 4.75%, 12/01/2025 | 667,000 | 747,470 | ||
Constellation Brands, Inc., 3.15%, 8/01/2029 | 821,000 | 865,690 | ||
Constellation Brands, Inc., 2.25%, 8/01/2031 | 760,000 | 740,613 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Food & Beverages – continued | ||||
JBS Finance Luxembourg S.á r.l., 3.625%, 1/15/2032 | $ | 800,000 | $ 792,256 | |
JBS Finance Luxembourg S.à r.l., 3.625%, 1/15/2032 (n) | 795,000 | 787,304 | ||
JDE Peet's N.V., 0.625%, 2/09/2028 | EUR | 520,000 | 586,768 | |
JDE Peet's N.V., 0.5%, 1/16/2029 | 650,000 | 720,428 | ||
Lamb Weston Holdings, Inc., 4.125%, 1/31/2030 (n) | $ | 3,040,000 | 3,031,473 | |
PepsiCo, Inc., 0.75%, 10/14/2033 | EUR | 651,000 | 739,244 | |
$13,318,082 | ||||
Gaming & Lodging – 0.8% | ||||
GENM Capital Labuan Ltd., 3.882%, 4/19/2031 (n) | $ | 2,096,000 | $ 2,063,994 | |
InterContinental Hotels Group PLC, 3.375%, 10/08/2028 | GBP | 890,000 | 1,252,661 | |
Las Vegas Sands Corp., 3.9%, 8/08/2029 | $ | 925,000 | 934,547 | |
Marriott International, Inc., 2.85%, 4/15/2031 | 1,632,000 | 1,639,114 | ||
Whitbread Group PLC, 3%, 5/31/2031 | GBP | 525,000 | 711,322 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029 (n) | $ | 2,485,000 | 2,429,087 | |
$9,030,725 | ||||
Industrial – 0.8% | ||||
CPI Property Group S.A., 2.75%, 1/22/2028 | GBP | 920,000 | $ 1,236,162 | |
CPI Property Group S.A., 1.5%, 1/27/2031 | EUR | 550,000 | 600,374 | |
Dar Al-Arkan Sukuk Co. Ltd., 6.875%, 2/26/2027 | $ | 2,500,000 | 2,556,250 | |
Peach Property Finance GmbH, 4.375%, 11/15/2025 | EUR | 3,300,000 | 3,817,381 | |
Trustees of the University of Pennsylvania, 2.396%, 10/01/2050 | $ | 1,894,000 | 1,879,373 | |
$10,089,540 | ||||
Insurance – 0.8% | ||||
AIA Group Ltd., 0.88%, 9/09/2033 | EUR | 730,000 | $ 817,801 | |
Argentum Zurich Insurance, 3.5% to 10/01/2026, FLR (EURIBOR - 3mo. + 3.95%) to 10/01/2046 | 720,000 | 915,845 | ||
Aviva PLC, 3.875% to 7/03/2024, FLR (EUR Swap Rate - 5yr. + 3.48%) to 7/03/2044 | 750,000 | 922,205 | ||
Aviva PLC, 4% to 6/03/2035, FLR (GBP Government Yield - 5yr. + 4.7%) to 6/03/2055 | GBP | 1,139,000 | 1,642,690 | |
Credit Agricole Assurances S.A., 2%, 7/17/2030 | EUR | 700,000 | 819,258 | |
Credit Agricole Assurances S.A., 1.5%, 10/06/2031 | 1,600,000 | 1,783,350 | ||
La Mondiale, 4.375% to 10/24/2029, FLR (EUR Swap Rate - 5yr. + 4.411%) to 4/24/2069 | 700,000 | 841,502 | ||
Swiss Life Finance I Ltd., 0.5%, 9/15/2031 | 782,000 | 872,063 | ||
Zurich Finance (Ireland) DAC, 1.875% to 9/17/2030, FLR (EURIBOR - 3mo. + 2.95%) to 9/17/2050 | 972,000 | 1,138,908 | ||
$9,753,622 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Insurance - Health – 0.2% | ||||
UnitedHealth Group, Inc., 4.625%, 7/15/2035 | $ | 1,031,000 | $ 1,278,131 | |
UnitedHealth Group, Inc., 3.5%, 8/15/2039 | 670,000 | 737,343 | ||
$2,015,474 | ||||
Insurance - Property & Casualty – 0.7% | ||||
Alliant Holdings Intermediate LLC, 6.75%, 10/15/2027 (n) | $ | 2,505,000 | $ 2,531,027 | |
American International Group, Inc., 3.4%, 6/30/2030 | 1,897,000 | 2,046,819 | ||
Aon Corp./Aon Global Holdings PLC, 2.6%, 12/02/2031 | 204,000 | 205,339 | ||
Berkshire Hathaway, Inc., 0.5%, 1/15/2041 | EUR | 695,000 | 708,041 | |
Hartford Financial Services Group, Inc., 3.6%, 8/19/2049 | $ | 512,000 | 567,923 | |
QBE Insurance Group Ltd., 2.5%, 9/13/2038 | GBP | 685,000 | 878,166 | |
Willis North America, Inc., 3.875%, 9/15/2049 | $ | 1,295,000 | 1,416,859 | |
$8,354,174 | ||||
International Market Quasi-Sovereign – 0.7% | ||||
Deutsche Bahn Finance GmbH (Federal Republic of Germany), 0.625%, 12/08/2050 | EUR | 460,000 | $ 472,579 | |
Electricite de France S.A., 1%, 11/29/2033 | 300,000 | 339,351 | ||
Electricite de France S.A., 2.875% to 3/15/2027, FLR (EUR Swap Rate - 5yr. + 3.373%) to 3/15/2031, FLR (EUR Swap Rate - 5yr. + 3.623%) to 3/15/2047, FLR (EUR Swap Rate - 5yr. + 4.373%) to 3/15/2070 | 1,400,000 | 1,624,699 | ||
Electricite de France S.A., 5.875% to 1/22/2029, FLR (GBP Swap Rate - 15yr. + 3.046%) to 1/22/2049, FLR (GBP Swap Rate - 15yr. + 3.796%) to 12/31/2165 | GBP | 1,000,000 | 1,470,558 | |
Electricite de France S.A., 2.625% to 6/01/2028, FLR (EUR Swap Rate - 5yr. + 2.86%) to 6/01/2033, FLR (EUR Swap Rate - 5yr. + 3.11%) to 6/01/2048, FLR (EUR Swap Rate - 5yr. + 3.86%) to 6/01/2170 | EUR | 600,000 | 682,836 | |
La Banque Postale S.A., 0.875% to 1/26/2026, FLR (EUR Swap Rate - 5yr. + 1.38%) to 1/26/2031 | 800,000 | 892,729 | ||
Landsbankinn Bank (Republic of Iceland), 0.375%, 5/23/2025 | 1,440,000 | 1,617,436 | ||
Ontario Teachers' Cadillac Fairview Properties, 2.5%, 10/15/2031 (n) | $ | 878,000 | 882,425 | |
$7,982,613 | ||||
International Market Sovereign – 21.9% | ||||
Commonwealth of Australia, 3.25%, 6/21/2039 | AUD | 25,717,000 | $ 21,332,333 | |
Federal Republic of Germany, 0.5%, 4/15/2030 | EUR | 19,215,193 | 27,134,901 | |
Federal Republic of Germany, 1.25%, 8/15/2048 | 650,000 | 1,008,310 | ||
Government of Bermuda, 2.375%, 8/20/2030 (n) | $ | 508,000 | 499,745 | |
Government of Japan, 0.4%, 3/20/2036 | JPY | 940,650,000 | 8,500,011 | |
Government of Japan, 2.4%, 3/20/2037 | 41,800,000 | 487,078 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
International Market Sovereign – continued | ||||
Government of Japan, 2.3%, 3/20/2040 | JPY | 4,509,950,000 | $ 53,204,124 | |
Government of Japan, 0.6%, 9/20/2050 | 251,550,000 | 2,184,158 | ||
Government of Norway, 1.5%, 2/19/2026 | NOK | 74,700,000 | 8,309,521 | |
Kingdom of Belgium, 0.4%, 6/22/2040 (n) | EUR | 8,573,000 | 9,608,884 | |
Kingdom of Spain, 1.25%, 10/31/2030 (n) | 23,571,000 | 29,051,984 | ||
Kingdom of Spain, 1.85%, 7/30/2035 | 10,987,000 | 14,372,660 | ||
Republic of Cyprus, 0%, 2/09/2026 | 3,087,000 | 3,462,386 | ||
Republic of Cyprus, 0.625%, 1/21/2030 | 4,623,000 | 5,240,595 | ||
Republic of Italy, 0.5%, 7/15/2028 | 10,337,000 | 11,706,498 | ||
Republic of Italy, 0.6%, 8/01/2031 (n) | 20,202,000 | 22,235,736 | ||
Republic of Italy, 1.65%, 3/01/2032 | 25,617,000 | 30,979,972 | ||
Republic of Italy, 1.7%, 9/01/2051 | 5,409,000 | 6,030,775 | ||
United Kingdom Treasury, 1.75%, 9/07/2037 | GBP | 2,801,000 | 4,137,629 | |
United Kingdom Treasury, 1.75%, 1/22/2049 | 1,158,000 | 1,849,663 | ||
$261,336,963 | ||||
Leisure & Toys – 0.1% | ||||
Ubisoft Entertainment S.A., 0.878%, 11/24/2027 | EUR | 1,100,000 | $ 1,231,851 | |
Local Authorities – 1.3% | ||||
City of Oslo, 2.17%, 5/18/2029 | NOK | 26,000,000 | $ 2,887,107 | |
Government of Ontario, 1.9%, 12/02/2051 | CAD | 17,133,000 | 11,281,399 | |
Province of Alberta, 4.5%, 12/01/2040 | 760,000 | 749,594 | ||
Province of British Columbia, 2.95%, 6/18/2050 | 765,000 | 638,349 | ||
$15,556,449 | ||||
Machinery & Tools – 0.2% | ||||
CNH Industrial Capital LLC, 1.875%, 1/15/2026 | $ | 854,000 | $ 858,306 | |
Sarens Finance Co. N.V., 5.75%, 2/21/2027 | EUR | 1,611,000 | 1,783,910 | |
$2,642,216 | ||||
Major Banks – 2.9% | ||||
Australia and New Zealand Banking Group Ltd., 2.57%, 11/25/2035 (n) | $ | 1,133,000 | $ 1,092,261 | |
Bank of America Corp., 3.5%, 4/19/2026 | 4,425,000 | 4,765,171 | ||
Bank of America Corp., 0.694%, 3/22/2031 | EUR | 1,180,000 | 1,320,177 | |
Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR + 1.32%) to 4/22/2032 | $ | 1,746,000 | 1,768,056 | |
Barclays PLC, 1.125%, 3/22/2031 | EUR | 720,000 | 810,186 | |
Barclays PLC, 1.106% to 5/12/2031, FLR (EUR Swap Rate - 1yr. + 1%) to 5/12/2032 | 710,000 | 801,087 | ||
Commonwealth Bank of Australia, 2.688%, 3/11/2031 (n) | $ | 1,696,000 | 1,676,222 | |
Credit Suisse Group AG, 3.091% to 5/14/2031, FLR (SOFR + 1.73%) to 5/14/2032 (n) | 250,000 | 253,367 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – continued | ||||
Erste Group Bank AG, 1% to 6/10/2025, FLR (EUR ICE Swap Rate - 5yr. + 1.3%) to 6/10/2030 | EUR | 700,000 | $ 796,418 | |
Goldman Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR + 1.248%) to 7/21/2032 | $ | 1,958,000 | 1,921,172 | |
HSBC Holdings PLC, 2.099% to 6/04/2025, FLR (SOFR + 1.929%) to 6/04/2026 | 1,153,000 | 1,160,220 | ||
HSBC Holdings PLC, 4.375%, 11/23/2026 | 2,272,000 | 2,484,469 | ||
JPMorgan Chase & Co., 2.95%, 10/01/2026 | 4,252,000 | 4,482,720 | ||
Mitsubishi UFJ Financial Group, Inc., 2.494% to 10/13/2031, FLR (CMT - 1yr. + 0.97%) to 10/13/2032 | 458,000 | 459,626 | ||
Morgan Stanley, 3.125%, 7/27/2026 | 1,950,000 | 2,066,095 | ||
Morgan Stanley, 1.593% to 5/04/2026, FLR (SOFR + 0.879%) to 5/04/2027 | 1,525,000 | 1,507,790 | ||
Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR + 3.12%) to 4/01/2031 | 1,220,000 | 1,331,978 | ||
Morgan Stanley, 1.102%, 4/29/2033 | EUR | 810,000 | 928,404 | |
NatWest Group PLC, 1.043%, 9/14/2032 | 290,000 | 322,322 | ||
Nordea Bank Abp, 0.625% to 8/18/2026, FLR (EUR Swap Rate - 5yr. + 0.92%) to 8/18/2031 | 770,000 | 868,140 | ||
Standard Chartered PLC, 0.8% to 11/17/2028, FLR (EUR Swap Rate - 1yr. + 0.85%) to 11/17/2029 | 640,000 | 719,647 | ||
Unicaja Banco S.A., 1%, 12/01/2026 | 900,000 | 1,018,700 | ||
Wells Fargo & Co., 2.125%, 9/24/2031 | GBP | 1,110,000 | 1,476,673 | |
$34,030,901 | ||||
Medical & Health Technology & Services – 1.3% | ||||
Alcon, Inc., 2.6%, 5/27/2030 (n) | $ | 2,129,000 | $ 2,155,710 | |
Alcon, Inc., 3.8%, 9/23/2049 (n) | 971,000 | 1,083,263 | ||
Becton Dickinson Euro Finance S.à r.l., 1.213%, 2/12/2036 | EUR | 655,000 | 732,601 | |
Becton Dickinson Euro Finance S.à r.l., 1.336%, 8/13/2041 | 490,000 | 538,860 | ||
Charles River Laboratories International, Inc., 3.75%, 3/15/2029 (n) | $ | 3,620,000 | 3,579,275 | |
DaVita, Inc., 3.75%, 2/15/2031 (n) | 3,255,000 | 3,018,117 | ||
HCA, Inc., 5.125%, 6/15/2039 | 896,000 | 1,105,185 | ||
New York Society for the Relief of the Ruptured & Crippled, 2.667%, 10/01/2050 | 1,500,000 | 1,467,323 | ||
ProMedica Toledo Hospital, “B”, AGM, 6.015%, 11/15/2048 | 675,000 | 1,005,644 | ||
Thermo Fisher Scientific, Inc., 1.75%, 10/15/2028 | 1,011,000 | 993,987 | ||
$15,679,965 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Medical Equipment – 0.1% | ||||
Thermo Fisher Scientific Finance I B.V., 1.125%, 10/18/2033 | EUR | 650,000 | $ 747,599 | |
Thermo Fisher Scientific Finance I B.V., 2%, 10/18/2051 | 340,000 | 406,169 | ||
$1,153,768 | ||||
Metals & Mining – 0.7% | ||||
Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | $ | 451,000 | $ 534,896 | |
Coeur Mining, Inc., 5.125%, 2/15/2029 (n) | 2,485,000 | 2,373,672 | ||
First Quantum Minerals Ltd., 6.875%, 10/15/2027 (n) | 1,200,000 | 1,268,400 | ||
Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 788,000 | 783,602 | ||
Novelis Sheet Ingot GmbH, 3.375%, 4/15/2029 (n) | EUR | 1,845,000 | 2,123,926 | |
Novelis Sheet Ingot GmbH, 3.375%, 4/15/2029 | 950,000 | 1,093,621 | ||
$8,178,117 | ||||
Midstream – 1.5% | ||||
Cheniere Energy Partners LP, 4.5%, 10/01/2029 | $ | 1,745,000 | $ 1,834,209 | |
Cheniere Energy Partners, L.P, 4%, 3/01/2031 | 1,940,000 | 1,978,800 | ||
Enbridge, Inc., 5.375%, 9/27/2077 | CAD | 1,400,000 | 1,150,018 | |
Enterprise Products Partners LP, 3.125%, 7/31/2029 | $ | 1,109,000 | 1,175,387 | |
EQM Midstream Partners LP, 5.5%, 7/15/2028 | 3,745,000 | 3,969,700 | ||
Galaxy Pipeline Assets Bidco Ltd., 1.75%, 9/30/2027 | 1,076,515 | 1,080,768 | ||
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/2029 | 1,820,000 | 1,885,954 | ||
Sabine Pass Liquefaction LLC, 4.2%, 3/15/2028 | 792,000 | 868,972 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 1,093,000 | 1,236,443 | ||
Targa Resources Partners LP/Targa Resources Finance Corp., 6.875%, 1/15/2029 | 2,885,000 | 3,195,657 | ||
$18,375,908 | ||||
Mortgage-Backed – 2.6% | ||||
Fannie Mae, 2.77%, 3/01/2022 | $ | 319,884 | $ 319,815 | |
Fannie Mae, 5%, 8/01/2040 | 386,180 | 433,335 | ||
Fannie Mae, 4%, 9/01/2040 - 11/01/2044 | 257,558 | 282,824 | ||
Fannie Mae, 4.5%, 2/01/2041 - 4/01/2044 | 1,842,492 | 2,036,413 | ||
Fannie Mae, 3.5%, 9/01/2045 - 5/01/2049 | 1,030,963 | 1,108,462 | ||
Fannie Mae, UMBS, 2.5%, 3/01/2050 - 12/01/2051 | 715,518 | 740,215 | ||
Fannie Mae, UMBS, 3%, 12/01/2051 | 228,490 | 238,142 | ||
Freddie Mac, 0.324%, 9/25/2026 (i) | 62,189,000 | 665,055 | ||
Freddie Mac, 1.481%, 3/25/2027 (i) | 1,517,000 | 103,408 | ||
Freddie Mac, 0.427%, 2/25/2028 (i) | 46,151,000 | 905,921 | ||
Freddie Mac, 0.249%, 4/25/2028 (i) | 46,683,000 | 432,476 | ||
Freddie Mac, 0.252%, 5/25/2028 (i) | 47,225,000 | 468,127 | ||
Freddie Mac, 1.915%, 4/25/2030 (i) | 2,395,024 | 329,637 | ||
Freddie Mac, 1.985%, 4/25/2030 (i) | 2,589,254 | 370,083 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Freddie Mac, 1.766%, 5/25/2030 (i) | $ | 3,408,930 | $ 439,794 | |
Freddie Mac, 1.796%, 5/25/2030 (i) | 7,523,890 | 1,044,545 | ||
Freddie Mac, 1.436%, 6/25/2030 (i) | 3,170,959 | 333,302 | ||
Freddie Mac, 1.704%, 8/25/2030 (i) | 2,931,170 | 371,527 | ||
Freddie Mac, 1.263%, 9/25/2030 (i) | 1,901,519 | 180,114 | ||
Freddie Mac, 1.172%, 11/25/2030 (i) | 3,948,102 | 351,144 | ||
Freddie Mac, 0.423%, 1/25/2031 (i) | 15,751,286 | 413,118 | ||
Freddie Mac, 0.625%, 3/25/2031 (i) | 20,582,744 | 884,206 | ||
Freddie Mac, 1.039%, 7/25/2031 (i) | 5,068,698 | 423,783 | ||
Freddie Mac, 0.536%, 9/25/2031 (i) | 21,590,988 | 1,061,879 | ||
Freddie Mac, 4.5%, 12/01/2039 - 5/01/2042 | 810,012 | 897,166 | ||
Freddie Mac, 5%, 7/01/2041 | 417,928 | 471,498 | ||
Freddie Mac, 4%, 4/01/2044 | 42,810 | 47,084 | ||
Freddie Mac, UMBS, 3%, 6/01/2050 | 118,600 | 124,850 | ||
Freddie Mac, UMBS, 2.5%, 10/01/2051 - 12/01/2051 | 374,646 | 386,465 | ||
Ginnie Mae, 2.5%, 8/20/2051 | 246,710 | 253,776 | ||
Ginnie Mae, TBA, 3.5%, 12/15/2051 | 775,000 | 809,451 | ||
UMBS, TBA, 2%, 12/16/2036 - 12/25/2051 | 6,200,000 | 6,206,763 | ||
UMBS, TBA, 2.5%, 12/25/2036 - 12/25/2051 | 3,400,000 | 3,493,825 | ||
UMBS, TBA, 3.5%, 12/13/2051 | 175,000 | 183,982 | ||
UMBS, TBA, 3%, 12/25/2051 - 1/13/2052 | 2,475,000 | 2,568,146 | ||
UMBS, TBA, 4%, 12/25/2051 | 1,600,000 | 1,705,000 | ||
$31,085,331 | ||||
Municipals – 0.5% | ||||
Massachusetts Educational Financing Authority, Education Loan Subordinate Rev., “A”, 2.641%, 7/01/2037 | $ | 1,060,000 | $ 1,078,512 | |
Michigan Finance Authority Hospital Rev. (Trinity Health Credit Group), 3.384%, 12/01/2040 | 1,040,000 | 1,152,734 | ||
New Jersey Economic Development Authority State Pension Funding Rev., “A”, NPFG, 7.425%, 2/15/2029 | 890,000 | 1,131,145 | ||
Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “C”, 5.45%, 8/15/2028 | 742,000 | 837,741 | ||
State of Florida, “A”, 2.154%, 7/01/2030 | 1,556,000 | 1,563,780 | ||
$5,763,912 | ||||
Natural Gas - Distribution – 0.2% | ||||
National Grid PLC, 1.125%, 1/14/2033 | GBP | 1,218,000 | $ 1,461,945 | |
NiSource, Inc., 2.95%, 9/01/2029 | $ | 1,406,000 | 1,457,018 | |
$2,918,963 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Natural Gas - Pipeline – 0.3% | ||||
APT Pipelines Ltd., 0.75%, 3/15/2029 | EUR | 920,000 | $ 1,020,533 | |
APT Pipelines Ltd., 1.25%, 3/15/2033 | 1,125,000 | 1,237,617 | ||
APT Pipelines Ltd., 2.5%, 3/15/2036 | GBP | 910,000 | 1,205,816 | |
$3,463,966 | ||||
Network & Telecom – 0.5% | ||||
AT&T, Inc., 3.5%, 9/15/2053 | $ | 335,000 | $ 338,389 | |
Verizon Communications, Inc., 2.1%, 3/22/2028 | 2,036,000 | 2,030,698 | ||
Verizon Communications, Inc., 2.355%, 3/15/2032 (n) | 2,105,000 | 2,083,521 | ||
Verizon Communications, Inc., 4%, 3/22/2050 | 802,000 | 931,231 | ||
$5,383,839 | ||||
Oil Services – 0.2% | ||||
Halliburton Co., 5%, 11/15/2045 | $ | 767,000 | $ 938,846 | |
MV24 Capital B.V., 6.748%, 6/01/2034 | 1,587,409 | 1,620,348 | ||
$2,559,194 | ||||
Oils – 0.3% | ||||
Neste Oyj, 1.5%, 6/07/2024 | EUR | 600,000 | $ 699,854 | |
Neste Oyj, 0.75%, 3/25/2028 | 1,400,000 | 1,583,180 | ||
Valero Energy Corp., 2.8%, 12/01/2031 | $ | 1,374,000 | 1,352,128 | |
$3,635,162 | ||||
Other Banks & Diversified Financials – 1.5% | ||||
Banco Industrial S.A., 4.875%, 1/29/2031 | $ | 700,000 | $ 689,500 | |
Bank Hapoalim B.M., 3.255% to 1/21/2027, FLR (CMT - 5yr. + 2.155%) to 1/21/2032 (n) | 1,265,000 | 1,258,321 | ||
Banque Federative du Credit Mutuel S.A., 1.125%, 11/19/2031 | EUR | 800,000 | 891,502 | |
Belfius Bank S.A., 1.25%, 4/06/2034 | 900,000 | 1,000,491 | ||
BPCE S.A., 2.5% to 11/30/2027, FLR (GBP Swap Rate - 5yr. + 1.83%) to 11/30/2032 | GBP | 500,000 | 664,516 | |
Commercial Bank PSQC, 4.5% to 9/03/2026, FLR (CMT - 5yr. + 3.874%) to 9/03/2169 | $ | 2,500,000 | 2,526,530 | |
Deutsche Bank AG, 1.875% to 12/22/2027, FLR (SONIA + 1.634%) to 12/22/2028 | GBP | 400,000 | 520,486 | |
Deutsche Bank AG, 1.375% to 2/17/2031, FLR (EURIBOR - 3mo. + 1.5%) to 2/17/2032 | EUR | 700,000 | 795,293 | |
Groupe BPCE S.A., 4.5%, 3/15/2025 (n) | $ | 1,100,000 | 1,188,319 | |
Groupe des Assurances du Credit Mutuel, 1.875%, 4/21/2042 | EUR | 800,000 | 909,314 | |
Intesa Sanpaolo S.p.A., 2.625%, 3/11/2036 | GBP | 1,330,000 | 1,748,641 | |
UBS AG, 5.125%, 5/15/2024 | $ | 379,000 | 406,951 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Other Banks & Diversified Financials – continued | ||||
United Overseas Bank Ltd., 2% to 10/14/2026, FLR (CMT - 5yr. + 1.23%) to 10/14/2031 (n) | $ | 1,200,000 | $ 1,195,495 | |
Uzbek Industrial and Construction Bank, 5.75%, 12/02/2024 | 1,930,000 | 1,971,495 | ||
Virgin Money UK PLC, 5.125% to 12/11/2025, FLR (GBP Government Yield - 5yr. + 5.25%) to 12/11/2030 | GBP | 1,570,000 | 2,261,056 | |
$18,027,910 | ||||
Pollution Control – 0.2% | ||||
GFL Environmental, Inc., 4%, 8/01/2028 (n) | $ | 2,485,000 | $ 2,410,649 | |
Railroad & Shipping – 0.2% | ||||
Canadian Pacific Railway Co., 2.45%, 12/02/2031 | $ | 906,000 | $ 917,055 | |
Wabtec Transportation Netherlands B.V., 1.25%, 12/03/2027 | EUR | 1,349,000 | 1,547,856 | |
$2,464,911 | ||||
Real Estate - Office – 0.2% | ||||
Corporate Office Property LP, REIT, 2.25%, 3/15/2026 | $ | 841,000 | $ 851,059 | |
Corporate Office Property LP, REIT, 2%, 1/15/2029 | 382,000 | 369,731 | ||
Corporate Office Property LP, REIT, 2.75%, 4/15/2031 | 946,000 | 948,551 | ||
$2,169,341 | ||||
Real Estate - Other – 0.3% | ||||
EPR Properties, REIT, 3.6%, 11/15/2031 | $ | 694,000 | $ 695,872 | |
Lexington Realty Trust Co., 2.7%, 9/15/2030 | 880,000 | 885,258 | ||
Sun Communities, Inc., 2.7%, 7/15/2031 | 438,000 | 438,682 | ||
W.P. Carey, Inc., REIT, 2.4%, 2/01/2031 | 1,717,000 | 1,699,122 | ||
$3,718,934 | ||||
Real Estate - Retail – 0.5% | ||||
Brixmor Operating Partnership LP, REIT, 4.05%, 7/01/2030 | $ | 1,329,000 | $ 1,460,155 | |
Hammerson Ireland Finance Designated Activity Co., 1.75%, 6/03/2027 | EUR | 776,000 | 868,815 | |
Regency Centers Corp., 3.7%, 6/15/2030 | $ | 992,000 | 1,084,195 | |
STORE Capital Corp., REIT, 2.75%, 11/18/2030 | 1,928,000 | 1,938,311 | ||
$5,351,476 | ||||
Retailers – 0.2% | ||||
Home Depot, Inc., 3%, 4/01/2026 | $ | 999,000 | $ 1,063,731 | |
Kohl's Corp., 3.375%, 5/01/2031 | 959,000 | 986,436 | ||
Nordstrom, Inc., 4.25%, 8/01/2031 | 597,000 | 571,600 | ||
$2,621,767 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Supermarkets – 0.1% | ||||
Auchan Holding S.A., 3.25%, 7/23/2027 | EUR | 800,000 | $ 1,020,605 | |
Supranational – 1.4% | ||||
European Financial Stability Facility, 1.45%, 9/05/2040 | EUR | 2,550,000 | $ 3,476,384 | |
European Union, 0%, 7/04/2035 | 7,581,000 | 8,386,799 | ||
International Bank for Reconstruction and Development, 4.25%, 6/24/2025 | AUD | 590,000 | 461,019 | |
West African Development Bank, 4.7%, 10/22/2031 | $ | 2,389,000 | 2,591,109 | |
West African Development Bank, 2.75%, 1/22/2033 | EUR | 1,469,000 | 1,740,963 | |
$16,656,274 | ||||
Telecommunications - Wireless – 1.4% | ||||
American Tower Corp., REIT, 2.75%, 1/15/2027 | $ | 1,954,000 | $ 2,019,453 | |
American Tower Corp., REIT, 3.8%, 8/15/2029 | 2,777,000 | 3,013,577 | ||
Cellnex Finance Co. S.A., 2%, 2/15/2033 | EUR | 3,600,000 | 3,894,912 | |
Crown Castle International Corp., 1.35%, 7/15/2025 | $ | 558,000 | 552,348 | |
Crown Castle International Corp., 3.7%, 6/15/2026 | 491,000 | 527,410 | ||
Millicom International Cellular S.A., 5.125%, 1/15/2028 | 720,000 | 739,800 | ||
Rogers Communications, Inc., 3.7%, 11/15/2049 | 532,000 | 559,222 | ||
SBA Communications Corp., 3.875%, 2/15/2027 | 3,415,000 | 3,495,517 | ||
T-Mobile USA, Inc., 3.5%, 4/15/2025 | 991,000 | 1,048,317 | ||
Vodafone Group PLC, 3.375%, 8/08/2049 | GBP | 550,000 | 860,245 | |
$16,710,801 | ||||
Telephone Services – 0.1% | ||||
TELUS Corp., 2.85%, 11/13/2031 | CAD | 1,475,000 | $ 1,137,855 | |
Tobacco – 0.1% | ||||
B.A.T. International Finance PLC, 2.25%, 6/26/2028 | GBP | 1,011,000 | $ 1,323,229 | |
Transportation - Services – 0.9% | ||||
Abertis Infraestructuras S.A., 1.875%, 3/26/2032 | EUR | 900,000 | $ 1,064,886 | |
Arena Luxembourg Finance S.à r.l., 1.875%, 2/01/2028 | 3,460,000 | 3,663,739 | ||
Element Fleet Management Corp., 1.6%, 4/06/2024 (n) | $ | 1,751,000 | 1,759,255 | |
ERAC USA Finance LLC, 7%, 10/15/2037 (n) | 519,000 | 771,041 | ||
Q-Park Holding I B.V., 2%, 3/01/2027 | EUR | 3,400,000 | 3,647,334 | |
$10,906,255 | ||||
U.S. Government Agencies and Equivalents – 0.0% | ||||
Small Business Administration, 2.22%, 3/01/2033 | $ | 328,942 | $ 334,489 | |
U.S. Treasury Obligations – 4.4% | ||||
U.S. Treasury Bonds, 2.25%, 8/15/2049 | $ | 590,000 | $ 648,608 | |
U.S. Treasury Bonds, 2.375%, 11/15/2049 (f) | 10,429,000 | 11,776,622 | ||
U.S. Treasury Notes, 1.125%, 8/15/2040 (f) | 16,679,000 | 14,746,582 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Treasury Obligations – continued | ||||
U.S. Treasury Notes, TIPS, 0.125%, 1/15/2031 | $ | 22,614,743 | $ 25,289,938 | |
$52,461,750 | ||||
Utilities - Electric Power – 2.6% | ||||
Adani Transmission Ltd., 4.25%, 5/21/2036 | $ | 1,215,500 | $ 1,247,339 | |
American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | 196,000 | 197,992 | ||
Bruce Power LP, 2.68%, 12/21/2028 | CAD | 1,650,000 | 1,297,422 | |
Calpine Corp., 5.125%, 3/15/2028 (n) | $ | 2,985,000 | 2,955,031 | |
Clearway Energy Operating LLC, 3.75%, 2/15/2031 (n) | 3,355,000 | 3,316,149 | ||
ContourGlobal Power Holdings S.A., 2.75%, 1/01/2026 | EUR | 1,900,000 | 2,112,556 | |
ContourGlobal Power Holdings S.A., 3.125%, 1/01/2028 | 679,000 | 756,578 | ||
Duke Energy Corp., 2.55%, 6/15/2031 | $ | 1,238,000 | 1,232,010 | |
Enel Finance International N.V., 3.5%, 4/06/2028 (n) | 505,000 | 545,505 | ||
Enel Finance International N.V., 0.875%, 9/28/2034 | EUR | 1,140,000 | 1,267,051 | |
Enel S.p.A., 2.25% to 3/10/2027, FLR (EUR Swap Rate - 5yr. + 2.679%) to 3/10/2032, FLR (EUR Swap Rate - 5yr. + 2.929%) to 3/10/2047, FLR (EUR Swap Rate - 5yr. + 3.679%) to 3/10/2070 | 1,220,000 | 1,420,025 | ||
Enel S.p.A., 1.875%, 3/08/2170 | 1,195,000 | 1,310,404 | ||
Energuate Trust, 5.875%, 5/03/2027 | $ | 1,500,000 | 1,550,625 | |
ENGIE Energía Chile S.A., 4.5%, 1/29/2025 (n) | 1,020,000 | 1,088,085 | ||
ENGIE Energía Chile S.A., 4.5%, 1/29/2025 | 1,300,000 | 1,386,775 | ||
Evergy, Inc., 2.9%, 9/15/2029 | 1,575,000 | 1,639,298 | ||
Iberdrola Finanzas S.A.U., 1.575% to 11/16/2027, FLR (EUR Swap Rate - 5yr. + 1.676%) to 11/16/2032, FLR (EUR Swap Rate - 5yr. + 1.926%) to 11/16/2047, FLR (EUR Swap Rate - 5yr. + 2.676%) to 11/16/2170 | EUR | 500,000 | 563,465 | |
Investment Energy Resources Ltd., 6.25%, 4/26/2029 (n) | $ | 1,120,000 | 1,166,368 | |
Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 626,000 | 638,050 | ||
Mong Duong Finance Holdings B.V., 5.125%, 5/07/2029 | 1,700,000 | 1,640,500 | ||
Southern California Edison Co., 3.65%, 2/01/2050 | 598,000 | 641,742 | ||
Star Energy Geothermal (Wayang Windu) Ltd., 6.75%, 4/24/2033 | 838,700 | 926,931 | ||
Virginia Electric & Power Co., 3.5%, 3/15/2027 | 591,000 | 636,766 | ||
WEC Energy Group, Inc., 1.8%, 10/15/2030 | 1,145,000 | 1,088,650 | ||
$30,625,317 | ||||
Total Bonds (Identified Cost, $1,158,165,175) | $ 1,137,713,200 |
Issuer | Shares/Par | Value ($) | ||
Investment Companies (h) – 3.7% | ||||
Money Market Funds – 3.7% | ||||
MFS Institutional Money Market Portfolio, 0.05% (v) (Identified Cost, $44,596,165) | 44,596,212 | $ 44,596,212 |
Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional Amount | Par Amount/ Number of Contracts | |
Purchased Options – 0.2% | |||||
Other – 0.2% | |||||
U.S. Treasury 10 yr - Interest Rate Swap - Fund pays 1.75%, Fund receives FLR (3-month LIBOR) – September 2022 (Premiums Paid, $666,050) | Put | Merrill lynch International | $ 77,000,000 | $ 77,000,000 | $1,796,436 |
Other Assets, Less Liabilities – 0.7% | 8,783,696 | |||
Net Assets – 100.0% | $1,192,889,544 |
(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 $44,596,212 and $1,139,509,636, 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 $263,756,036, representing 22.1% of net assets. |
(p) | Payment-in-kind (PIK) security for which interest income may be received in additional securities and/or cash. |
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
(z) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities: |
Restricted Securities | Acquisition Date | Cost | Value |
MF1 CLO Ltd., 2020-FL3, “AS”, FLR, 3.012% (LIBOR - 1mo. + 2.85%), 7/15/2035 | 6/12/20 | $714,500 | $723,868 |
% of Net assets | 0.1% |
The following abbreviations are used in this report and are defined: | |
AGM | Assured Guaranty Municipal |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
EURIBOR | Euro Interbank Offered Rate |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
NPFG | National Public Finance Guarantee Corp. |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Index Average |
TBA | To Be Announced |
TIPS | Treasury Inflation Protected Security |
UMBS | Uniform Mortgage-Backed Security |
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below: | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CLP | Chilean Peso |
CNH | Chinese Yuan Renminbi (Offshore) |
CNY | China Yuan Renminbi |
CZK | Czech Koruna |
EUR | Euro |
GBP | British Pound |
HUF | Hungarian Forint |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PLN | Polish Zloty |
RUB | Russian Ruble |
SEK | Swedish Krona |
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 | ||||||
BRL | 20,401,000 | USD | 3,535,596 | Citibank N.A. | 12/02/2021 | $93,281 |
CNH | 4,500,000 | USD | 699,019 | BNP Paribas S.A. | 1/14/2022 | 5,216 |
CNH | 74,703,000 | USD | 11,639,929 | JPMorgan Chase Bank N.A. | 1/14/2022 | 50,845 |
CNH | 34,488,000 | USD | 5,378,636 | JPMorgan Chase Bank N.A. | 12/13/2021 | 34,184 |
EUR | 11,291,462 | USD | 12,796,410 | Goldman Sachs International | 1/14/2022 | 31,467 |
JPY | 966,950,035 | USD | 8,473,459 | Deutsche Bank AG | 1/14/2022 | 88,325 |
JPY | 1,340,184,000 | USD | 11,831,594 | Goldman Sachs International | 1/14/2022 | 34,960 |
JPY | 45,194,549 | USD | 397,175 | UBS AG | 1/14/2022 | 2,997 |
USD | 9,607,059 | AUD | 12,887,091 | Deutsche Bank AG | 1/14/2022 | 415,324 |
USD | 678,123 | AUD | 918,993 | Goldman Sachs International | 12/15/2021 | 22,920 |
USD | 3,435,672 | AUD | 4,720,585 | HSBC Bank | 1/14/2022 | 68,708 |
USD | 49,809,905 | AUD | 67,844,112 | JPMorgan Chase Bank N.A. | 12/15/2021 | 1,439,917 |
USD | 17,249,757 | BRL | 98,638,422 | BNP Paribas S.A. | 3/03/2022 | 61,103 |
USD | 4,060,873 | BRL | 22,548,000 | BNP Paribas S.A. | 12/02/2021 | 50,094 |
USD | 17,605,675 | BRL | 96,491,422 | Citibank N.A. | 12/02/2021 | 442,033 |
USD | 6,314,329 | CAD | 7,881,209 | Deutsche Bank AG | 1/14/2022 | 141,875 |
USD | 11,304,146 | CAD | 14,000,000 | Goldman Sachs International | 1/14/2022 | 339,540 |
USD | 627,983 | CAD | 790,768 | Goldman Sachs International | 12/15/2021 | 8,889 |
USD | 29,632,220 | CAD | 37,315,426 | JPMorgan Chase Bank N.A. | 12/15/2021 | 417,887 |
USD | 18,546,290 | CAD | 22,967,596 | UBS AG | 1/14/2022 | 558,387 |
USD | 41,609,920 | EUR | 35,832,439 | Deutsche Bank AG | 1/14/2022 | 901,807 |
USD | 4,336,230 | EUR | 3,738,451 | Goldman Sachs International | 1/14/2022 | 89,092 |
USD | 127,839,180 | EUR | 108,074,561 | Goldman Sachs International | 12/15/2021 | 5,213,939 |
USD | 3,707,236 | EUR | 3,192,648 | JPMorgan Chase Bank N.A. | 1/14/2022 | 80,168 |
USD | 266,696,804 | EUR | 225,721,271 | JPMorgan Chase Bank N.A. | 12/15/2021 | 10,585,420 |
USD | 4,041,641 | EUR | 3,492,041 | Merrill Lynch International | 1/14/2022 | 74,443 |
USD | 462,646 | EUR | 398,444 | Morgan Stanley Capital Services, Inc. | 1/14/2022 | 9,986 |
USD | 11,876,850 | EUR | 10,235,443 | UBS AG | 1/14/2022 | 248,686 |
USD | 11,588,440 | GBP | 8,570,000 | Credit Suisse Group | 1/14/2022 | 180,997 |
USD | 17,918,703 | GBP | 13,185,038 | Deutsche Bank AG | 1/14/2022 | 368,226 |
USD | 1,667,274 | GBP | 1,204,022 | Goldman Sachs International | 12/15/2021 | 65,620 |
USD | 5,878,371 | GBP | 4,361,000 | JPMorgan Chase Bank N.A. | 1/14/2022 | 73,486 |
USD | 36,062,284 | GBP | 26,050,207 | JPMorgan Chase Bank N.A. | 12/15/2021 | 1,408,905 |
USD | 1,219,305 | GBP | 887,325 | Merrill Lynch International | 1/14/2022 | 38,196 |
USD | 200,010 | GBP | 149,371 | Morgan Stanley Capital Services, Inc. | 1/14/2022 | 1,183 |
USD | 40,237,054 | JPY | 4,425,215,428 | JPMorgan Chase Bank N.A. | 12/15/2021 | 1,079,486 |
USD | 2,228,339 | KRW | 2,628,214,700 | Barclays Bank PLC | 2/11/2022 | 17,858 |
USD | 13,802,074 | KRW | 16,153,917,430 | Goldman Sachs International | 12/13/2021 | 206,242 |
USD | 920,737 | NOK | 7,793,000 | Goldman Sachs International | 1/14/2022 | 59,404 |
USD | 29,025,821 | NOK | 248,776,000 | JPMorgan Chase Bank N.A. | 1/14/2022 | 1,529,464 |
USD | 2,123,960 | NOK | 18,249,000 | JPMorgan Chase Bank N.A. | 12/15/2021 | 106,428 |
USD | 11,777,637 | NZD | 16,566,000 | Citibank N.A. | 1/14/2022 | 476,532 |
Forward Foreign Currency Exchange Contracts - continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives - continued | ||||||
USD | 17,572,559 | NZD | 25,589,000 | Goldman Sachs International | 1/14/2022 | $116,082 |
USD | 5,390,607 | NZD | 7,809,000 | JPMorgan Chase Bank N.A. | 12/15/2021 | 61,634 |
USD | 5,502,160 | PLN | 21,734,000 | JPMorgan Chase Bank N.A. | 1/14/2022 | 226,471 |
USD | 2,956,674 | SEK | 25,832,000 | Deutsche Bank AG | 1/14/2022 | 86,468 |
USD | 14,670,299 | SEK | 127,261,000 | JPMorgan Chase Bank N.A. | 1/14/2022 | 530,268 |
USD | 17,042,591 | SEK | 147,769,506 | JPMorgan Chase Bank N.A. | 12/15/2021 | 644,528 |
USD | 12,649,993 | TWD | 350,000,000 | JPMorgan Chase Bank N.A. | 2/18/2022 | 62,600 |
USD | 2,669,139 | ZAR | 40,919,719 | Brown Brothers Harriman | 1/14/2022 | 112,375 |
USD | 19,466,282 | ZAR | 282,847,411 | JPMorgan Chase Bank N.A. | 12/15/2021 | 1,715,845 |
$30,679,791 | ||||||
Liability Derivatives | ||||||
AUD | 58,719,728 | USD | 43,008,624 | Deutsche Bank AG | 1/14/2022 | $(1,126,695) |
AUD | 3,114,951 | USD | 2,271,518 | Deutsche Bank AG | 12/15/2021 | (50,689) |
AUD | 18,947,669 | USD | 13,904,033 | UBS AG | 1/14/2022 | (389,581) |
BRL | 98,638,422 | USD | 17,623,445 | BNP Paribas S.A. | 12/02/2021 | (77,900) |
CAD | 18,171,679 | USD | 14,705,408 | Brown Brothers Harriman | 1/14/2022 | (473,601) |
CAD | 8,086,387 | USD | 6,552,581 | Morgan Stanley Capital Services, Inc. | 1/14/2022 | (219,435) |
CAD | 7,207,000 | USD | 5,830,623 | UBS AG | 1/14/2022 | (186,200) |
CLP | 4,624,293,000 | USD | 5,644,889 | Goldman Sachs International | 2/18/2022 | (104,426) |
CZK | 242,493,000 | USD | 11,144,745 | JPMorgan Chase Bank N.A. | 12/15/2021 | (367,922) |
CZK | 35,099,000 | USD | 1,585,180 | Morgan Stanley Capital Services, Inc. | 1/14/2022 | (26,296) |
CZK | 43,901,000 | USD | 1,983,246 | UBS AG STAMFORD BRANCH | 1/14/2022 | (33,431) |
EUR | 16,579,228 | USD | 19,263,495 | Brown Brothers Harriman | 1/14/2022 | (428,353) |
EUR | 1,500,000 | USD | 1,738,731 | Citibank N.A. | 1/14/2022 | (34,628) |
EUR | 3,000,000 | USD | 3,416,715 | Credit Suisse Group | 1/14/2022 | (8,509) |
EUR | 14,175,477 | USD | 16,269,432 | Deutsche Bank AG | 1/14/2022 | (165,116) |
EUR | 1,200,000 | USD | 1,390,696 | Goldman Sachs International | 1/14/2022 | (27,414) |
EUR | 8,478,500 | USD | 9,867,616 | JPMorgan Chase Bank N.A. | 1/14/2022 | (235,458) |
EUR | 10,097,000 | USD | 11,821,481 | Merrill Lynch International | 1/14/2022 | (350,595) |
EUR | 1,127,028 | USD | 1,305,115 | Morgan Stanley Capital Services, Inc. | 1/14/2022 | (24,735) |
EUR | 15,383,067 | USD | 17,839,557 | UBS AG | 1/14/2022 | (363,337) |
GBP | 744,111 | USD | 1,024,576 | Brown Brothers Harriman | 1/14/2022 | (34,097) |
GBP | 15,436,210 | USD | 21,040,944 | Deutsche Bank AG | 1/14/2022 | (493,957) |
HUF | 517,063,000 | USD | 1,664,028 | Goldman Sachs International | 1/14/2022 | (57,220) |
HUF | 1,610,725,000 | USD | 5,219,121 | JPMorgan Chase Bank N.A. | 12/15/2021 | (207,707) |
HUF | 582,937,000 | USD | 1,876,332 | UBS AG | 1/14/2022 | (64,816) |
KRW | 3,636,854,000 | USD | 3,071,149 | Barclays Bank PLC | 12/13/2021 | (10,216) |
MXN | 224,757,462 | USD | 10,930,673 | Goldman Sachs International | 12/15/2021 | (479,479) |
NOK | 274,562,010 | USD | 31,677,537 | Goldman Sachs International | 12/15/2021 | (1,323,127) |
NZD | 16,631,000 | USD | 11,675,050 | Goldman Sachs International | 1/14/2022 | (329,602) |
NZD | 7,877,892 | USD | 5,604,679 | JPMorgan Chase Bank N.A. | 12/15/2021 | (228,692) |
PLN | 21,734,000 | USD | 5,479,337 | Goldman Sachs International | 12/15/2021 | (191,535) |
Forward Foreign Currency Exchange Contracts - continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Liability Derivatives - continued | ||||||
RUB | 90,734,000 | USD | 1,222,409 | JPMorgan Chase Bank N.A. | 12/15/2021 | $(814) |
SEK | 153,081,000 | USD | 17,485,092 | Goldman Sachs International | 1/14/2022 | (476,189) |
TOF | 387,697,000 | USD | 11,842,777 | JPMorgan Chase Bank N.A. | 2/18/2022 | (359,542) |
TOF | 386,111,000 | USD | 11,810,204 | JPMorgan Chase Bank N.A. | 3/17/2022 | (375,807) |
TWD | 8,524,000 | USD | 308,651 | JPMorgan Chase Bank N.A. | 2/18/2022 | (2,094) |
USD | 266,403 | CAD | 340,780 | Morgan Stanley Capital Services, Inc. | 1/14/2022 | (491) |
USD | 5,783,820 | CNH | 37,778,000 | HSBC Bank | 12/17/2021 | (143,275) |
USD | 5,766,779 | CNH | 37,466,000 | JPMorgan Chase Bank N.A. | 12/13/2021 | (113,432) |
USD | 74,318,960 | CNH | 483,079,000 | JPMorgan Chase Bank N.A. | 12/15/2021 | (1,485,961) |
USD | 1,561,116 | CNY | 10,000,000 | Citibank N.A. | 1/14/2022 | (1,854) |
USD | 2,028,285 | EUR | 1,801,848 | Barclays Bank PLC | 1/14/2022 | (18,738) |
USD | 10,101,793 | EUR | 8,906,744 | Deutsche Bank AG | 1/14/2022 | (16,879) |
USD | 330,620 | EUR | 293,397 | Goldman Sachs International | 1/14/2022 | (2,699) |
USD | 1,009,328 | EUR | 899,469 | UBS AG | 1/14/2022 | (12,531) |
USD | 10,533,180 | JPY | 1,200,000,000 | Barclays Bank PLC | 1/14/2022 | (92,126) |
USD | 4,990,396 | JPY | 569,158,476 | Deutsche Bank AG | 1/14/2022 | (49,173) |
USD | 171,429 | JPY | 19,462,861 | Goldman Sachs International | 1/14/2022 | (903) |
USD | 7,435,842 | JPY | 848,575,204 | HSBC Bank | 1/14/2022 | (77,801) |
USD | 7,973,597 | JPY | 907,579,395 | Morgan Stanley Capital Services, Inc. | 1/14/2022 | (62,494) |
USD | 2,872,494 | JPY | 327,949,509 | UBS AG | 1/14/2022 | (31,309) |
USD | 2,885,588 | KRW | 3,430,964,000 | JPMorgan Chase Bank N.A. | 12/13/2021 | (2,059) |
USD | 1,221,173 | RUB | 90,733,000 | Morgan Stanley Capital Services, Inc. | 12/15/2021 | (408) |
USD | 2,861,799 | TWD | 79,724,000 | Barclays Bank PLC | 1/21/2022 | (5,266) |
USD | 8,875,278 | TWD | 247,070,000 | JPMorgan Chase Bank N.A. | 1/21/2022 | (9,948) |
$(11,456,562) |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
Long Gilt 10 yr | Long | GBP | 315 | $52,903,018 | March – 2022 | $610,572 |
U.S. Treasury Bond | Long | USD | 44 | 7,133,500 | March – 2022 | 177,859 |
U.S. Treasury Ultra Bond | Long | USD | 59 | 11,833,187 | March – 2022 | 497,592 |
$1,286,023 | ||||||
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
Canadian Treasury Bond 10 yr | Short | CAD | 130 | $14,365,181 | March – 2022 | $(129,651) |
Euro-Bobl 5 yr | Long | EUR | 498 | 76,527,935 | December – 2021 | (49,215) |
Futures Contracts - continued | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Liability Derivatives - continued | ||||||
Interest Rate Futures - continued | ||||||
Euro-Bund 10 yr | Short | EUR | 482 | $94,223,683 | December – 2021 | $(53,101) |
Euro-Buxl 30 yr | Short | EUR | 44 | 10,884,275 | December – 2021 | (396,379) |
U.S. Treasury Note 10 yr | Short | USD | 62 | 8,110,375 | March – 2022 | (111,147) |
U.S. Treasury Note 2 yr | Short | USD | 96 | 20,998,500 | March – 2022 | (47,440) |
U.S. Treasury Note 5 yr | Short | USD | 317 | 38,483,305 | March – 2022 | (318,126) |
U.S. Treasury Ultra Note 10 yr | Short | USD | 603 | 88,575,047 | March – 2022 | (1,930,075) |
$(3,035,134) |
Uncleared Swap Agreements | ||||||||||
Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive/ Frequency | Cash Flows to Pay/ Frequency | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |||
Asset Derivatives | ||||||||||
Credit Default Swaps | ||||||||||
12/20/26 | EUR | 985,000 | Goldman Sachs International | 5.00%/Quarterly | (1) | $(1,305) | $216,970 | $215,665 | ||
12/20/31 | EUR | 1,160,000 | Barclays Bank PLC | 1.00%/Quarterly | (2) | (8,024) | 12,722 | 4,698 | ||
$(9,329) | $229,692 | $220,363 |
Assets | |
Investments in unaffiliated issuers, at value (identified cost, $1,158,831,225) | $1,139,509,636 |
Investments in affiliated issuers, at value (identified cost, $44,596,165) | 44,596,212 |
Restricted cash for | |
Forward foreign currency exchange contracts | 310,000 |
Receivables for | |
Forward foreign currency exchange contracts | 30,679,791 |
Investments sold | 333,583 |
TBA sale commitments | 860,707 |
Fund shares sold | 983,265 |
Interest | 9,322,162 |
Uncleared swaps, at value (net of unamortized premiums paid, $229,692) | 220,363 |
Total assets | $1,226,815,719 |
Liabilities | |
Payable to custodian | $47,323 |
Payables for | |
Distributions | 79,847 |
Forward foreign currency exchange contracts | 11,456,562 |
Net daily variation margin on open futures contracts | 866,028 |
Investments purchased | 5,135,645 |
TBA purchase commitments | 15,946,513 |
Fund shares reacquired | 129,109 |
Payable to affiliates | |
Investment adviser | 15,488 |
Administrative services fee | 929 |
Shareholder servicing costs | 49,608 |
Distribution and service fees | 414 |
Payable for independent Trustees' compensation | 10 |
Accrued expenses and other liabilities | 198,699 |
Total liabilities | $33,926,175 |
Net assets | $1,192,889,544 |
Net assets consist of | |
Paid-in capital | $1,179,099,462 |
Total distributable earnings (loss) | 13,790,082 |
Net assets | $1,192,889,544 |
Shares of beneficial interest outstanding | 128,582,205 |
Net assets | Shares outstanding | Net asset value per share (a) | |
Class A | $21,217,744 | 2,274,412 | $9.33 |
Class B | 268,449 | 28,926 | 9.28 |
Class C | 812,363 | 87,534 | 9.28 |
Class I | 12,394,738 | 1,334,719 | 9.29 |
Class R1 | 615,005 | 66,264 | 9.28 |
Class R2 | 822,427 | 88,643 | 9.28 |
Class R3 | 565,986 | 60,973 | 9.28 |
Class R4 | 212,796 | 22,911 | 9.29 |
Class R6 | 1,155,980,036 | 124,617,823 | 9.28 |
(a) | Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $9.74 [100 / 95.75 x $9.33]. 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 | $23,621,747 |
Dividends from affiliated issuers | 31,625 |
Foreign taxes withheld | (43,157) |
Total investment income | $23,610,215 |
Expenses | |
Management fee | $5,507,976 |
Distribution and service fees | 76,777 |
Shareholder servicing costs | 747,129 |
Administrative services fee | 137,558 |
Independent Trustees' compensation | 15,268 |
Custodian fee | 184,592 |
Shareholder communications | 15,900 |
Audit and tax fees | 72,683 |
Legal fees | 4,900 |
Miscellaneous | 247,935 |
Total expenses | $7,010,718 |
Fees paid indirectly | (2,081) |
Reduction of expenses by investment adviser and distributor | (520,009) |
Net expenses | $6,488,628 |
Net investment income (loss) | $17,121,587 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $6,608,011 |
Affiliated issuers | 222 |
Written options | 292,032 |
Futures contracts | 5,817,171 |
Swap agreements | (15,177) |
Forward foreign currency exchange contracts | 4,553,359 |
Foreign currency | (713,816) |
Net realized gain (loss) | $16,541,802 |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $(63,244,406) |
Affiliated issuers | (222) |
Futures contracts | (1,070,721) |
Swap agreements | (9,329) |
Forward foreign currency exchange contracts | 18,556,121 |
Translation of assets and liabilities in foreign currencies | (179,408) |
Net unrealized gain (loss) | $(45,947,965) |
Net realized and unrealized gain (loss) | $(29,406,163) |
Change in net assets from operations | $(12,284,576) |
Year ended | ||
11/30/21 | 11/30/20 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $17,121,587 | $9,793,561 |
Net realized gain (loss) | 16,541,802 | 22,325,688 |
Net unrealized gain (loss) | (45,947,965) | 30,021,147 |
Change in net assets from operations | $(12,284,576) | $62,140,396 |
Total distributions to shareholders | $(33,101,269) | $(13,008,507) |
Change in net assets from fund share transactions | $475,958,309 | $61,709,862 |
Total change in net assets | $430,572,464 | $110,841,751 |
Net assets | ||
At beginning of period | 762,317,080 | 651,475,329 |
At end of period | $1,192,889,544 | $762,317,080 |
Class A | Year ended | ||||
11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | 11/30/17 | |
Net asset value, beginning of period | $9.82 | $9.11 | $8.44 | $8.97 | $8.53 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.13 | $0.10 | $0.16 | $0.15 | $0.12 |
Net realized and unrealized gain (loss) | (0.28) | 0.75 | 0.67 | (0.52) | 0.44 |
Total from investment operations | $(0.15) | $0.85 | $0.83 | $(0.37) | $0.56 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.18) | $(0.13) | $(0.16) | $(0.16) | $(0.12) |
From net realized gain | (0.16) | (0.01) | — | — | — |
From tax return of capital | — | — | — | — | (0.00)(w) |
Total distributions declared to shareholders | $(0.34) | $(0.14) | $(0.16) | $(0.16) | $(0.12) |
Net asset value, end of period (x) | $9.33 | $9.82 | $9.11 | $8.44 | $8.97 |
Total return (%) (r)(s)(t)(x) | (1.64) | 9.55 | 9.91 | (4.16) | 6.60 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.05 | 1.10 | 1.13 | 1.13 | 1.16 |
Expenses after expense reductions (f) | 0.99 | 1.04 | 1.05 | 1.05 | 1.05 |
Net investment income (loss) | 1.40 | 1.13 | 1.78 | 1.72 | 1.40 |
Portfolio turnover | 216 | 210 | 126 | 108 | 50 |
Net assets at end of period (000 omitted) | $21,218 | $19,934 | $16,487 | $14,062 | $12,104 |
Class B | Year ended | ||||
11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | 11/30/17 | |
Net asset value, beginning of period | $9.77 | $9.06 | $8.40 | $8.92 | $8.48 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.06 | $0.04 | $0.09 | $0.08 | $0.06 |
Net realized and unrealized gain (loss) | (0.29) | 0.74 | 0.67 | (0.51) | 0.43 |
Total from investment operations | $(0.23) | $0.78 | $0.76 | $(0.43) | $0.49 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.10) | $(0.06) | $(0.10) | $(0.09) | $(0.05) |
From net realized gain | (0.16) | (0.01) | — | — | — |
From tax return of capital | — | — | — | — | (0.00)(w) |
Total distributions declared to shareholders | $(0.26) | $(0.07) | $(0.10) | $(0.09) | $(0.05) |
Net asset value, end of period (x) | $9.28 | $9.77 | $9.06 | $8.40 | $8.92 |
Total return (%) (r)(s)(t)(x) | (2.40) | 8.78 | 9.01 | (4.80) | 5.84 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.80 | 1.86 | 1.88 | 1.89 | 1.92 |
Expenses after expense reductions (f) | 1.75 | 1.79 | 1.80 | 1.80 | 1.80 |
Net investment income (loss) | 0.64 | 0.42 | 1.04 | 0.97 | 0.66 |
Portfolio turnover | 216 | 210 | 126 | 108 | 50 |
Net assets at end of period (000 omitted) | $268 | $373 | $605 | $712 | $956 |
Class C | Year ended | ||||
11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | 11/30/17 | |
Net asset value, beginning of period | $9.77 | $9.06 | $8.40 | $8.92 | $8.48 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.06 | $0.04 | $0.09 | $0.09 | $0.06 |
Net realized and unrealized gain (loss) | (0.29) | 0.74 | 0.67 | (0.52) | 0.43 |
Total from investment operations | $(0.23) | $0.78 | $0.76 | $(0.43) | $0.49 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.10) | $(0.06) | $(0.10) | $(0.09) | $(0.05) |
From net realized gain | (0.16) | (0.01) | — | — | — |
From tax return of capital | — | — | — | — | (0.00)(w) |
Total distributions declared to shareholders | $(0.26) | $(0.07) | $(0.10) | $(0.09) | $(0.05) |
Net asset value, end of period (x) | $9.28 | $9.77 | $9.06 | $8.40 | $8.92 |
Total return (%) (r)(s)(t)(x) | (2.40) | 8.78 | 9.01 | (4.80) | 5.84 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.80 | 1.86 | 1.88 | 1.88 | 1.92 |
Expenses after expense reductions (f) | 1.75 | 1.79 | 1.80 | 1.80 | 1.80 |
Net investment income (loss) | 0.63 | 0.44 | 1.04 | 0.97 | 0.66 |
Portfolio turnover | 216 | 210 | 126 | 108 | 50 |
Net assets at end of period (000 omitted) | $812 | $1,353 | $2,229 | $2,332 | $2,086 |
Class I | Year ended | ||||
11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | 11/30/17 | |
Net asset value, beginning of period | $9.78 | $9.07 | $8.41 | $8.93 | $8.48 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.16 | $0.12 | $0.18 | $0.17 | $0.14 |
Net realized and unrealized gain (loss) | (0.29) | 0.76 | 0.66 | (0.51) | 0.45 |
Total from investment operations | $(0.13) | $0.88 | $0.84 | $(0.34) | $0.59 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.20) | $(0.16) | $(0.18) | $(0.18) | $(0.14) |
From net realized gain | (0.16) | (0.01) | — | — | — |
From tax return of capital | — | — | — | — | (0.00)(w) |
Total distributions declared to shareholders | $(0.36) | $(0.17) | $(0.18) | $(0.18) | $(0.14) |
Net asset value, end of period (x) | $9.29 | $9.78 | $9.07 | $8.41 | $8.93 |
Total return (%) (r)(s)(t)(x) | (1.40) | 9.86 | 10.09 | (3.83) | 7.02 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 0.80 | 0.85 | 0.88 | 0.89 | 0.92 |
Expenses after expense reductions (f) | 0.74 | 0.79 | 0.80 | 0.80 | 0.80 |
Net investment income (loss) | 1.64 | 1.30 | 2.05 | 1.98 | 1.64 |
Portfolio turnover | 216 | 210 | 126 | 108 | 50 |
Net assets at end of period (000 omitted) | $12,395 | $9,731 | $862 | $1,160 | $1,521 |
Class R1 | Year ended | ||||
11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | 11/30/17 | |
Net asset value, beginning of period | $9.77 | $9.07 | $8.40 | $8.93 | $8.48 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.06 | $0.03 | $0.09 | $0.09 | $0.06 |
Net realized and unrealized gain (loss) | (0.29) | 0.75 | 0.68 | (0.53) | 0.44 |
Total from investment operations | $(0.23) | $0.78 | $0.77 | $(0.44) | $0.50 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.10) | $(0.07) | $(0.10) | $(0.09) | $(0.05) |
From net realized gain | (0.16) | (0.01) | — | — | — |
From tax return of capital | — | — | — | — | (0.00)(w) |
Total distributions declared to shareholders | $(0.26) | $(0.08) | $(0.10) | $(0.09) | $(0.05) |
Net asset value, end of period (x) | $9.28 | $9.77 | $9.07 | $8.40 | $8.93 |
Total return (%) (r)(s)(t)(x) | (2.40) | 8.66 | 9.13 | (4.90) | 5.96 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.80 | 1.85 | 1.88 | 1.88 | 1.92 |
Expenses after expense reductions (f) | 1.74 | 1.79 | 1.80 | 1.80 | 1.80 |
Net investment income (loss) | 0.65 | 0.33 | 1.03 | 0.99 | 0.66 |
Portfolio turnover | 216 | 210 | 126 | 108 | 50 |
Net assets at end of period (000 omitted) | $615 | $494 | $243 | $214 | $75 |
Class R2 | Year ended | ||||
11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | 11/30/17 | |
Net asset value, beginning of period | $9.77 | $9.06 | $8.39 | $8.92 | $8.48 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.11 | $0.07 | $0.14 | $0.13 | $0.10 |
Net realized and unrealized gain (loss) | (0.29) | 0.76 | 0.67 | (0.52) | 0.44 |
Total from investment operations | $(0.18) | $0.83 | $0.81 | $(0.39) | $0.54 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.15) | $(0.11) | $(0.14) | $(0.14) | $(0.10) |
From net realized gain | (0.16) | (0.01) | — | — | — |
From tax return of capital | — | — | — | — | (0.00)(w) |
Total distributions declared to shareholders | $(0.31) | $(0.12) | $(0.14) | $(0.14) | $(0.10) |
Net asset value, end of period (x) | $9.28 | $9.77 | $9.06 | $8.39 | $8.92 |
Total return (%) (r)(s)(t)(x) | (1.91) | 9.32 | 9.68 | (4.43) | 6.37 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.30 | 1.35 | 1.38 | 1.39 | 1.41 |
Expenses after expense reductions (f) | 1.24 | 1.29 | 1.30 | 1.30 | 1.30 |
Net investment income (loss) | 1.16 | 0.79 | 1.53 | 1.47 | 1.14 |
Portfolio turnover | 216 | 210 | 126 | 108 | 50 |
Net assets at end of period (000 omitted) | $822 | $621 | $240 | $208 | $268 |
Class R3 | Year ended | ||||
11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | 11/30/17 | |
Net asset value, beginning of period | $9.77 | $9.07 | $8.40 | $8.93 | $8.49 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.13 | $0.10 | $0.16 | $0.15 | $0.12 |
Net realized and unrealized gain (loss) | (0.28) | 0.75 | 0.67 | (0.52) | 0.44 |
Total from investment operations | $(0.15) | $0.85 | $0.83 | $(0.37) | $0.56 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.18) | $(0.14) | $(0.16) | $(0.16) | $(0.12) |
From net realized gain | (0.16) | (0.01) | — | — | — |
From tax return of capital | — | — | — | — | (0.00)(w) |
Total distributions declared to shareholders | $(0.34) | $(0.15) | $(0.16) | $(0.16) | $(0.12) |
Net asset value, end of period (x) | $9.28 | $9.77 | $9.07 | $8.40 | $8.93 |
Total return (%) (r)(s)(t)(x) | (1.66) | 9.47 | 9.94 | (4.18) | 6.63 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 1.05 | 1.10 | 1.13 | 1.14 | 1.16 |
Expenses after expense reductions (f) | 1.00 | 1.04 | 1.05 | 1.05 | 1.05 |
Net investment income (loss) | 1.39 | 1.02 | 1.80 | 1.73 | 1.41 |
Portfolio turnover | 216 | 210 | 126 | 108 | 50 |
Net assets at end of period (000 omitted) | $566 | $510 | $60 | $71 | $88 |
Class R4 | Year ended | ||||
11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | 11/30/17 | |
Net asset value, beginning of period | $9.77 | $9.07 | $8.40 | $8.93 | $8.49 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.15 | $0.12 | $0.18 | $0.17 | $0.14 |
Net realized and unrealized gain (loss) | (0.27) | 0.75 | 0.67 | (0.52) | 0.44 |
Total from investment operations | $(0.12) | $0.87 | $0.85 | $(0.35) | $0.58 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.20) | $(0.16) | $(0.18) | $(0.18) | $(0.14) |
From net realized gain | (0.16) | (0.01) | — | — | — |
From tax return of capital | — | — | — | — | (0.00)(w) |
Total distributions declared to shareholders | $(0.36) | $(0.17) | $(0.18) | $(0.18) | $(0.14) |
Net asset value, end of period (x) | $9.29 | $9.77 | $9.07 | $8.40 | $8.93 |
Total return (%) (r)(s)(t)(x) | (1.30) | 9.74 | 10.22 | (3.95) | 6.89 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 0.81 | 0.84 | 0.88 | 0.88 | 0.91 |
Expenses after expense reductions (f) | 0.76 | 0.79 | 0.80 | 0.80 | 0.80 |
Net investment income (loss) | 1.61 | 1.33 | 2.03 | 1.96 | 1.66 |
Portfolio turnover | 216 | 210 | 126 | 108 | 50 |
Net assets at end of period (000 omitted) | $213 | $557 | $77 | $53 | $55 |
Class R6 | Year ended | ||||
11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | 11/30/17 | |
Net asset value, beginning of period | $9.76 | $9.06 | $8.39 | $8.92 | $8.48 |
Income (loss) from investment operations | |||||
Net investment income (loss) (d) | $0.17 | $0.13 | $0.19 | $0.18 | $0.16 |
Net realized and unrealized gain (loss) | (0.28) | 0.75 | 0.67 | (0.52) | 0.43 |
Total from investment operations | $(0.11) | $0.88 | $0.86 | $(0.34) | $0.59 |
Less distributions declared to shareholders | |||||
From net investment income | $(0.21) | $(0.17) | $(0.19) | $(0.19) | $(0.15) |
From net realized gain | (0.16) | (0.01) | — | — | — |
From tax return of capital | — | — | — | — | (0.00)(w) |
Total distributions declared to shareholders | $(0.37) | $(0.18) | $(0.19) | $(0.19) | $(0.15) |
Net asset value, end of period (x) | $9.28 | $9.76 | $9.06 | $8.39 | $8.92 |
Total return (%) (r)(s)(t)(x) | (1.22) | 9.84 | 10.33 | (3.84) | 7.03 |
Ratios (%) (to average net assets) and Supplemental data: | |||||
Expenses before expense reductions (f) | 0.70 | 0.77 | 0.78 | 0.78 | 0.79 |
Expenses after expense reductions (f) | 0.65 | 0.71 | 0.70 | 0.69 | 0.67 |
Net investment income (loss) | 1.75 | 1.46 | 2.13 | 2.07 | 1.78 |
Portfolio turnover | 216 | 210 | 126 | 108 | 50 |
Net assets at end of period (000 omitted) | $1,155,980 | $728,743 | $630,673 | $601,381 | $634,630 |
(d) | Per share data is based on average shares outstanding. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(t) | Total returns do not include any applicable sales charges. |
(w) | Per share amount was less than $0.01. |
(x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | $— | $54,592,675 | $— | $54,592,675 |
Non - U.S. Sovereign Debt | — | 499,703,845 | — | 499,703,845 |
Municipal Bonds | — | 5,763,912 | — | 5,763,912 |
U.S. Corporate Bonds | — | 238,768,306 | — | 238,768,306 |
Residential Mortgage-Backed Securities | — | 31,085,331 | — | 31,085,331 |
Commercial Mortgage-Backed Securities | — | 54,104,069 | — | 54,104,069 |
Asset-Backed Securities (including CDOs) | — | 27,788,471 | — | 27,788,471 |
Foreign Bonds | — | 227,703,027 | — | 227,703,027 |
Mutual Funds | 44,596,212 | — | — | 44,596,212 |
Total | $44,596,212 | $1,139,509,636 | $— | $1,184,105,848 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $1,286,023 | $— | $— | $1,286,023 |
Futures Contracts – Liabilities | (3,035,134) | — | — | (3,035,134) |
Forward Foreign Currency Exchange Contracts – Assets | — | 30,679,791 | — | 30,679,791 |
Forward Foreign Currency Exchange Contracts – Liabilities | — | (11,456,562) | — | (11,456,562) |
Swap Agreements – Assets | — | 220,363 | — | 220,363 |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Interest Rate | Futures Contracts | $1,286,023 | $(3,035,134) |
Interest Rate | Purchased Option Contracts | 1,796,436 | — |
Foreign Exchange | Forward Foreign Currency Exchange Contracts | 30,679,791 | (11,456,562) |
Credit | Uncleared Swap Agreements | 220,363 | — |
Total | $33,982,613 | $(14,491,696) |
(a) | The value of purchased options outstanding is included in investments in unaffiliated issuers, at value, within the Statement of Assets and Liabilities. Values presented in this table for futures contracts correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts is separately reported within the Statement of Assets and Liabilities. |
Risk | Futures Contracts | Swap Agreements | Forward Foreign Currency Exchange Contracts | Unaffiliated Issuers (Purchased Options) | Written Options |
Interest Rate | $5,817,171 | $ — | $ — | $(710,575) | $ — |
Foreign Exchange | — | — | 4,553,359 | — | — |
Credit | — | (15,177) | — | — | 292,032 |
Total | $5,817,171 | $(15,177) | $4,553,359 | $(710,575) | $292,032 |
Risk | Futures Contracts | Swap Agreements | Forward Foreign Currency Exchange Contracts | Unaffiliated Issuers (Purchased Options) |
Interest Rate | $(1,070,722) | $ — | $ — | $1,013,062 |
Foreign Exchange | — | — | 18,556,121 | — |
Credit | — | (9,329) | — | — |
Total | $(1,070,722) | $(9,329) | $18,556,121 | $1,013,062 |
Gross Amounts of: | Derivative Assets | Derivative Liabilities |
Futures Contracts (a) | $— | $866,028 |
Swaps, at value | 220,363 | — |
Forward Foreign Currency Exchange Contracts | 30,679,791 | 11,456,562 |
Purchased Options | 1,796,436 | — |
Total Gross Amount of Derivative Assets and Liabilities Presented in the Statement of Assets & Liabilities | $32,696,590 | $12,322,590 |
Less: Derivatives Assets and Liabilities Not Subject to a Master Netting Agreement or Similar Arrangement | — | 866,028 |
Total Gross Amount of Derivative Assets and Liabilities Subject to a Master Netting Agreement or Similar Arrangement | $32,696,590 | $11,456,562 |
Amounts Not Offset in the Statement of Assets & Liabilities | |||||
Gross Amount of Derivative Assets Subject to a Master Netting Agreement (or Similar Arrangement) by Counterparty | Financial Instruments Available for Offset | Financial Instruments Collateral Received (b) | Cash Collateral Received (b) | Net Amount of Derivative Assets by Counterparty | |
Barclays Bank PLC | $22,556 | $(22,556) | $— | $— | $— |
BNP Paribas S.A. | 116,413 | (77,900) | — | — | 38,513 |
Brown Brothers Harriman | 112,375 | (112,375) | — | — | — |
Citibank N.A. | 1,011,846 | (36,482) | — | (960,000) | 15,364 |
Credit Suisse Group | 180,997 | (8,509) | — | — | 172,488 |
Deutsche Bank AG | 2,002,025 | (1,902,509) | — | (99,516) | — |
Goldman Sachs International | 6,403,820 | (2,992,594) | — | (3,411,226) | — |
HSBC Bank | 68,708 | (68,708) | — | — | — |
JPMorgan Chase Bank N.A. | 20,047,536 | (3,389,436) | (16,417,114) | (240,986) | — |
Merrill Lynch International | 1,909,075 | (350,595) | — | (1,558,480) | — |
Morgan Stanley Capital Services, Inc. | 11,169 | (11,169) | — | — | — |
UBS AG | 810,070 | (810,070) | — | — | — |
Total | $32,696,590 | $(9,782,903) | $(16,417,114) | $(6,270,208) | $226,365 |
Amounts Not Offset in the Statement of Assets & Liabilities | |||||
Gross Amount of Derivative Liabilities Subject to a Master Netting Agreement (or Similar Arrangement) by Counterparty | Financial Instruments Available for Offset | Financial Instruments Collateral Pledged (b) | Cash Collateral Pledged (b) | Net Amount of Derivative Liabilities by Counterparty | |
Barclays Bank PLC | $126,346 | $(22,556) | $— | $— | $103,790 |
BNP Paribas S.A. | 77,900 | (77,900) | — | — | — |
Brown Brothers Harriman | 936,051 | (112,375) | — | — | 823,676 |
Citibank N.A. | 36,482 | (36,482) | — | — | — |
Credit Suisse Group | 8,509 | (8,509) | — | — | — |
Deutsche Bank AG | 1,902,509 | (1,902,509) | — | — | — |
Goldman Sachs International | 2,992,594 | (2,992,594) | — | — | — |
HSBC Bank | 221,076 | (68,708) | — | — | 152,368 |
JPMorgan Chase Bank N.A. | 3,389,436 | (3,389,436) | — | — | — |
Merrill Lynch International | 350,595 | (350,595) | — | — | — |
Morgan Stanley Capital Services, Inc. | 333,859 | (11,169) | — | (310,000) | 12,690 |
UBS AG | 1,081,205 | (810,070) | — | — | 271,135 |
Total | $11,456,562 | $(9,782,903) | $ | $(310,000) | $1,363,659 |
(b) | The amount presented here may be less than the total amount of collateral (received)/pledged as the excess collateral (received)/pledged is not shown for purposes of this presentation. |
Year ended 11/30/21 | Year ended 11/30/20 | |
Ordinary income (including any short-term capital gains) | $28,501,026 | $13,008,507 |
Long-term capital gains | 4,600,243 | — |
Total distributions | $33,101,269 | $13,008,507 |
As of 11/30/21 | |
Cost of investments | $1,229,182,467 |
Gross appreciation | 10,307,105 |
Gross depreciation | (37,689,243) |
Net unrealized appreciation (depreciation) | $ (27,382,138) |
Undistributed ordinary income | 17,314,976 |
Undistributed long-term capital gain | 25,712,081 |
Other temporary differences | (1,854,837) |
Total distributable earnings (loss) | $ 13,790,082 |
Year ended 11/30/21 | Year ended 11/30/20 | ||
Class A | $718,005 | $278,662 | |
Class B | 9,688 | 4,614 | |
Class C | 33,968 | 19,884 | |
Class I | 407,919 | 96,024 | |
Class R1 | 15,115 | 2,310 | |
Class R2 | 21,030 | 4,484 | |
Class R3 | 17,585 | 3,712 | |
Class R4 | 17,735 | 1,739 | |
Class R6 | 31,860,224 | 12,597,078 | |
Total | $33,101,269 | $13,008,507 |
Up to $1 billion | 0.60% |
In excess of $1 billion | 0.55% |
Up to $1 billion | 0.55% |
In excess of $1 billion and up to $2.5 billion | 0.45% |
In excess of $2.5 billion | 0.425% |
Classes | ||||||||
A | B | C | I | R1 | R2 | R3 | R4 | R6 |
1.03% | 1.78% | 1.78% | 0.78% | 1.78% | 1.28% | 1.03% | 0.78% | 0.72% |
Classes | ||||||||
A | B | C | I | R1 | R2 | R3 | R4 | R6 |
0.97% | 1.72% | 1.72% | 0.72% | 1.72% | 1.22% | 0.97% | 0.72% | 0.64% |
Distribution Fee Rate (d) | Service Fee Rate (d) | Total Distribution Plan (d) | Annual Effective Rate (e) | Distribution and Service Fee | |
Class A | — | 0.25% | 0.25% | 0.25% | $ 53,063 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 3,172 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 9,763 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 5,852 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 3,642 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 1,285 |
Total Distribution and Service Fees | $76,777 |
(d) | In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’s average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below. |
(e) | The annual effective rates represent actual fees incurred under the distribution plan for the year ended November 30, 2021 based on each class's average daily net assets. MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. For the year ended November 30, 2021, this rebate amounted to $5 and $1 for Class A and Class C, respectively, and is included in the reduction of total expenses in the Statement of Operations. |
Amount | |
Class A | $2,492 |
Class B | 3 |
Class C | 619 |
Purchases | Sales | |
U.S. Government securities | $475,457,298 | $483,040,222 |
Non-U.S. Government securities | 2,004,739,330 | 1,536,126,902 |
Year ended 11/30/21 | Year ended 11/30/20 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 652,705 | $6,235,880 | 720,562 | $6,727,365 | |
Class B | 4,350 | 41,051 | 1,420 | 12,907 | |
Class C | 26,461 | 251,757 | 126,775 | 1,158,552 | |
Class I | 909,468 | 8,600,174 | 1,027,828 | 9,469,145 | |
Class R1 | 14,748 | 141,455 | 24,404 | 228,310 | |
Class R2 | 38,261 | 363,390 | 64,883 | 603,936 | |
Class R3 | 37,269 | 352,205 | 46,276 | 426,351 | |
Class R4 | 7,254 | 68,638 | 50,052 | 483,635 | |
Class R6 | 48,251,772 | 454,004,087 | 13,818,424 | 128,450,718 | |
49,942,288 | $470,058,637 | 15,880,624 | $147,560,919 | ||
Shares issued to shareholders in reinvestment of distributions | |||||
Class A | 73,303 | $707,884 | 29,827 | $275,932 | |
Class B | 999 | 9,663 | 505 | 4,602 | |
Class C | 3,339 | 32,340 | 1,925 | 17,517 | |
Class I | 42,082 | 403,688 | 10,295 | 95,615 | |
Class R1 | 1,564 | 15,115 | 252 | 2,310 | |
Class R2 | 2,188 | 21,027 | 482 | 4,484 | |
Class R3 | 1,829 | 17,581 | 398 | 3,712 | |
Class R4 | 1,800 | 17,377 | 187 | 1,739 | |
Class R6 | 3,261,947 | 31,222,711 | 1,365,196 | 12,580,497 | |
3,389,051 | $32,447,386 | 1,409,067 | $12,986,408 |
Year ended 11/30/21 | Year ended 11/30/20 | ||||
Shares | Amount | Shares | Amount | ||
Shares reacquired | |||||
Class A | (481,827) | $(4,592,886) | (530,272) | $(4,917,376) | |
Class B | (14,626) | (138,858) | (30,457) | (277,560) | |
Class C | (80,788) | (771,444) | (236,183) | (2,173,737) | |
Class I | (612,364) | (5,768,011) | (137,652) | (1,269,314) | |
Class R1 | (619) | (5,921) | (857) | (8,126) | |
Class R2 | (15,427) | (145,270) | (28,200) | (268,638) | |
Class R3 | (30,284) | (285,175) | (1,143) | (10,722) | |
Class R4 | (43,200) | (406,651) | (1,634) | (15,558) | |
Class R6 | (1,526,656) | (14,433,498) | (10,178,527) | (89,896,434) | |
(2,805,791) | $(26,547,714) | (11,144,925) | $(98,837,465) | ||
Net change | |||||
Class A | 244,181 | $2,350,878 | 220,117 | $2,085,921 | |
Class B | (9,277) | (88,144) | (28,532) | (260,051) | |
Class C | (50,988) | (487,347) | (107,483) | (997,668) | |
Class I | 339,186 | 3,235,851 | 900,471 | 8,295,446 | |
Class R1 | 15,693 | 150,649 | 23,799 | 222,494 | |
Class R2 | 25,022 | 239,147 | 37,165 | 339,782 | |
Class R3 | 8,814 | 84,611 | 45,531 | 419,341 | |
Class R4 | (34,146) | (320,636) | 48,605 | 469,816 | |
Class R6 | 49,987,063 | 470,793,300 | 5,005,093 | 51,134,781 | |
50,525,548 | $475,958,309 | 6,144,766 | $61,709,862 |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $49,377,293 | $1,083,717,350 | $1,088,498,431 | $222 | $(222) | $44,596,212 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $31,625 | $— |
January 14, 2022
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds overseen by the Trustee | Principal Occupations During the Past Five Years | Other Directorships During the Past Five Years (j) | |||||
INTERESTED TRUSTEES | ||||||||||
Michael W. Roberge (k) (age 55) | Trustee | January 2021 | 135 | Massachusetts Financial Services Company, Chairman (since January 2021); Chief Executive Officer (since January 2017); Director; Chairman of the Board (since January 2022); President (until December 2018); Chief Investment Officer (until December 2018) | N/A | |||||
INDEPENDENT TRUSTEES | ||||||||||
John P. Kavanaugh (age 67) | Trustee and Chair of Trustees | January 2009 | 135 | Private investor | N/A | |||||
Steven E. Buller (age 70) | Trustee | February 2014 | 135 | Private investor | N/A | |||||
John A. Caroselli (age 67) | Trustee | March 2017 | 135 | Private investor; JC Global Advisors, LLC (management consulting), President (since 2015) | N/A | |||||
Maureen R. Goldfarb (age 66) | Trustee | January 2009 | 135 | Private investor | N/A | |||||
Peter D. Jones (age 66) | Trustee | January 2019 | 135 | Private investor | N/A | |||||
James W. Kilman, Jr. (age 60) | Trustee | January 2019 | 135 | Burford Capital Limited (finance and investment management), Senior Advisor (since May 3, 2021), Chief Financial Officer (2019 - May 2, 2021); KielStrand Capital LLC (family office), Chief Executive Officer (since 2016) | Alpha-En Corporation, Director (2016-2019) |
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds overseen by the Trustee | Principal Occupations During the Past Five Years | Other Directorships During the Past Five Years (j) | |||||
Clarence Otis, Jr. (age 65) | Trustee | March 2017 | 135 | Private investor | VF Corporation, Director; Verizon Communications, Inc., Director; The Travelers Companies, Director | |||||
Maryanne L. Roepke (age 65) | Trustee | May 2014 | 135 | Private investor | N/A | |||||
Laurie J. Thomsen (age 64) | Trustee | March 2005 | 135 | Private investor | The Travelers Companies, Director; Dycom Industries, Inc., Director |
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds for which the Person is an Officer | Principal Occupations During the Past Five Years | ||||
OFFICERS | ||||||||
Christopher R. Bohane (k) (age 47) | Assistant Secretary and Assistant Clerk | July 2005 | 135 | Massachusetts Financial Services Company, Senior Vice President and Associate General Counsel | ||||
Kino Clark (k) (age 53) | Assistant Treasurer | January 2012 | 135 | Massachusetts Financial Services Company, Vice President | ||||
John W. Clark, Jr. (k) (age 54) | Assistant Treasurer | April 2017 | 135 | Massachusetts Financial Services Company, Vice President (since March 2017); Deutsche Bank (financial services), Department Head - Treasurer's Office (until February 2017) | ||||
Thomas H. Connors (k) (age 62) | Assistant Secretary and Assistant Clerk | September 2012 | 135 | Massachusetts Financial Services Company, Vice President and Senior Counsel | ||||
David L. DiLorenzo (k) (age 53) | President | July 2005 | 135 | Massachusetts Financial Services Company, Senior Vice President | ||||
Heidi W. Hardin (k) (age 54) | Secretary and Clerk | April 2017 | 135 | Massachusetts Financial Services Company, Executive Vice President and General Counsel (since March 2017); Harris Associates (investment management), General Counsel (until January 2017) |
Name, Age | Position(s) Held with Fund | Trustee/Officer Since(h) | Number of MFS Funds for which the Person is an Officer | Principal Occupations During the Past Five Years | ||||
Brian E. Langenfeld (k) (age 48) | Assistant Secretary and Assistant Clerk | June 2006 | 135 | Massachusetts Financial Services Company, Vice President and Senior Counsel | ||||
Amanda S. Mooradian (k) (age 42) | Assistant Secretary and Assistant Clerk | September 2018 | 135 | Massachusetts Financial Services Company, Assistant Vice President and Senior Counsel | ||||
Susan A. Pereira (k) (age 51) | Assistant Secretary and Assistant Clerk | July 2005 | 135 | Massachusetts Financial Services Company, Vice President and Assistant General Counsel | ||||
Kasey L. Phillips (k) (age 51) | Assistant Treasurer | September 2012 | 135 | Massachusetts Financial Services Company, Vice President | ||||
Matthew A. Stowe (k) (age 47) | Assistant Secretary and Assistant Clerk | October 2014 | 135 | Massachusetts Financial Services Company, Vice President and Assistant General Counsel | ||||
Martin J. Wolin (k) (age 54) | Chief Compliance Officer | July 2015 | 135 | Massachusetts Financial Services Company, Senior Vice President and Chief Compliance Officer | ||||
James O. Yost (k) (age 61) | Treasurer | September 1990 | 135 | Massachusetts Financial Services Company, Senior Vice President |
(h) | Date first appointed to serve as Trustee/Officer of an MFS Fund. Each Trustee has served continuously since appointment unless indicated otherwise. From January 2012 through December 2016, Messrs. DiLorenzo and Yost served as Treasurer and Deputy Treasurer of the Funds, respectively. |
(j) | Directorships or trusteeships of companies required to report to the Securities and Exchange Commission (i.e., “public companies”). |
(k) | “Interested person” of the Trust within the meaning of the Investment Company Act of 1940 (referred to as the 1940 Act), which is the principal federal law governing investment companies like the fund, as a result of a position with MFS. The address of MFS is 111 Huntington Avenue, Boston, Massachusetts 02199-7618. |
Investment Adviser | Custodian |
Massachusetts Financial Services Company 111 Huntington Avenue Boston, MA 02199-7618 | JPMorgan Chase Bank, NA 4 Metrotech Center New York, NY 11245 |
Distributor | Independent Registered Public Accounting Firm |
MFS Fund Distributors, Inc. 111 Huntington Avenue Boston, MA 02199-7618 | Ernst & Young LLP 200 Clarendon Street Boston, MA 02116 |
Portfolio Manager(s) | |
Ward Brown Philipp Burgener David Cole Pilar Gomez-Bravo Andy Li Henry Peabody Matt Ryan Michael Skatrud Robert Spector Erik Weisman |
FACTS | WHAT DOES MFS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: |
• Social Security number and account balances | |
• Account transactions and transaction history | |
• Checking account information and wire transfer instructions | |
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers' personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers' personal information; the reasons MFS chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does MFS share? | Can you limit this sharing? |
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes – to offer our products and services to you | No | We don't share |
For joint marketing with other financial companies | No | We don't share |
For our affiliates' everyday business purposes – information about your transactions and experiences | No | We don't share |
For our affiliates' everyday business purposes – information about your creditworthiness | No | We don't share |
For nonaffiliates to market to you | No | We don't share |
Questions? | Call 800-225-2606 or go to mfs.com. |
Who we are | |
Who is providing this notice? | MFS Funds, MFS Investment Management, MFS Institutional Advisors, Inc., and MFS Heritage Trust Company. |
What we do | |
How does MFS protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include procedural, electronic, and physical safeguards for the protection of the personal information we collect about you. |
How does MFS collect my personal information? | We collect your personal information, for example, when you |
• open an account or provide account information | |
• direct us to buy securities or direct us to sell your securities | |
• make a wire transfer | |
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. | |
Why can't I limit all sharing? | Federal law gives you the right to limit only |
• sharing for affiliates' everyday business purposes – information about your creditworthiness | |
• affiliates from using your information to market to you | |
• sharing for nonaffiliates to market to you | |
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. |
• MFS does not share personal information with affiliates, except for everyday business purposes as described on page one of this notice. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. |
• MFS does not share with nonaffiliates so they can market to you. | |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. |
• MFS doesn't jointly market. |
Other important information |
If you own an MFS product or receive an MFS service in the name of a third party such as a bank or broker-dealer, their privacy policy may apply to you instead of ours. |
Item 1(b):
Not applicable.
ITEM 2. | CODE OF ETHICS. |
The Registrant has adopted a Code of Ethics (the “Code”) pursuant to Section 406 of the Sarbanes-Oxley Act and as defined in Form N-CSR that applies to the Registrant’s principal executive officer and principal financial and accounting officer. During the period covered by this report, the Registrant has not amended any provision in the Code that relates to an element of the Code’s definition enumerated in paragraph (b) of Item 2 of this Form N-CSR. During the period covered by this report, the Registrant did not grant a waiver, including an implicit waiver, from any provision of the Code.
A copy of the Code is filed as an exhibit to this Form N-CSR.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Messrs. Steven E. Buller, James Kilman, and Clarence Otis, Jr. and Ms. Maryanne L. Roepke, members of the Audit Committee, have been determined by the Board of Trustees in their reasonable business judgment to meet the definition of “audit committee financial expert” as such term is defined in Form N-CSR. In addition, Messrs. Buller, Kilman, and Otis and Ms. Roepke are “independent” members of the Audit Committee (as such term has been defined by the Securities and Exchange Commission in regulations implementing Section 407 of the Sarbanes-Oxley Act of 2002). The Securities and Exchange Commission has stated that the designation of a person as an audit committee financial expert pursuant to this Item 3 on the Form N-CSR does not impose on such a person any duties, obligations or liability that are greater than the duties, obligations or liability imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Items 4(a) through 4(d) and 4(g):
The Board of Trustees has appointed Ernst & Young LLP (“E&Y”) to serve as independent accountants to the Registrant (hereinafter the “Registrant” or the “Fund”). The tables below set forth the audit fees billed to the Fund as well as fees for non-audit services provided to the Fund and/or to the Fund’s investment adviser, Massachusetts Financial Services Company (“MFS”), and to various entities either controlling, controlled by, or under common control with MFS that provide ongoing services to the Fund (“MFS Related Entities”).
For the fiscal years ended November 30, 2021 and 2020, audit fees billed to the Fund by E&Y were as follows:
Audit Fees | ||||||||
2021 | 2020 | |||||||
Fees billed by E&Y: | ||||||||
MFS Global Opportunistic Bond Fund | 58,224 | 57,432 |
For the fiscal years ended November 30, 2021 and 2020, fees billed by E&Y for audit-related, tax and other services provided to the Fund and for audit-related, tax and other services provided to MFS and MFS Related Entities were as follows:
Audit-Related Fees1 | Tax Fees2 | All Other Fees3 | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||
Fees billed by E&Y: | ||||||||||||||||||||||||
To MFS Global Opportunistic Bond Fund | 0 | 0 | 10,891 | 10,744 | 1,024 | 1,651 |
Audit-Related Fees1 | Tax Fees2 | All Other Fees3 | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||
Fees billed by E&Y: | ||||||||||||||||||||||||
To MFS and MFS Related Entities of MFS Global Opportunistic Bond Fund* | 1,275,054 | 2,321,898 | 0 | 0 | 110,620 | 104,750 |
Aggregate Fees for Non-audit Services | ||||||||
2021 | 2020 | |||||||
Fees Billed by E&Y: | ||||||||
To MFS Global Opportunistic Bond Fund, MFS and MFS Related Entities# | 1,564,289 | 2,699,773 |
* | This amount reflects the fees billed to MFS and MFS Related Entities for non-audit services relating directly to the operations and financial reporting of the Fund (portions of which services also related to the operations and financial reporting of other funds within the MFS Funds complex). |
# | This amount reflects the aggregate fees billed by E&Y for non-audit services rendered to the Fund and for non-audit services rendered to MFS and the MFS Related Entities. |
1 | The fees included under “Audit-Related Fees” are fees related to assurance and related services that are reasonably related to the performance of the audit or review of financial statements, but not reported under ‘‘Audit Fees,’’ including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters and internal control reviews. |
2 | The fees included under “Tax Fees” are fees associated with tax compliance, tax advice and tax planning, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews and tax distribution and analysis. |
3 | The fees included under “All Other Fees” are fees for products and services provided by E&Y other than those reported under “Audit Fees,” “Audit-Related Fees” and “Tax Fees,” including fees for services related to review of internal controls and review of Rule 38a-1 compliance program. |
Item 4(e)(1):
Set forth below are the policies and procedures established by the Audit Committee of the Board of Trustees relating to the pre-approval of audit and non-audit related services:
To the extent required by applicable law, pre-approval by the Audit Committee of the Board is needed for all audit and permissible non-audit services rendered to the Fund and all permissible non-audit services rendered to MFS or MFS Related Entities if the services relate directly to the operations and financial reporting of the Registrant. Pre-approval is currently on an engagement-by-engagement basis. In the event pre-approval of such services is necessary between regular meetings of the Audit Committee and it is not practical to wait to seek pre-approval at the next regular meeting of the Audit Committee,
pre-approval of such services may be referred to the Chair of the Audit Committee for approval; provided that the Chair may not pre-approve any individual engagement for such services exceeding $50,000 or multiple engagements for such services in the aggregate exceeding $100,000 between such regular meetings of the Audit Committee. Any engagement pre-approved by the Chair between regular meetings of the Audit Committee shall be presented for ratification by the entire Audit Committee at its next regularly scheduled meeting.
Item 4(e)(2):
None, or 0%, of the services relating to the Audit-Related Fees, Tax Fees and All Other Fees paid by the Fund and MFS and MFS Related Entities relating directly to the operations and financial reporting of the Registrant disclosed above were approved by the audit committee pursuant to paragraphs (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (which permits audit committee approval after the start of the engagement with respect to services other than audit, review or attest services, if certain conditions are satisfied).
Item 4(f):
Not applicable.
Item 4(h): |
The Registrant’s Audit Committee has considered whether the provision by a Registrant’s independent registered public accounting firm of non-audit services to MFS and MFS Related Entities that were not pre-approved by the Committee (because such services were provided prior to the effectiveness of SEC rules requiring pre-approval or because such services did not relate directly to the operations and financial reporting of the Registrant) was compatible with maintaining the independence of the independent registered public accounting firm as the Registrant’s principal auditors.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable to the Registrant.
ITEM 6. | INVESTMENTS |
A schedule of investments of the MFS Global Opportunistic Bond Fund is included as part of the report to shareholders of such series under Item 1(a) of this Form N-CSR.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable to the Registrant.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrant’s Board since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | Based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this report on Form N-CSR, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by the report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 13. | EXHIBITS. |
(a) (1) | Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Attached hereto as EX-99.COE. |
(2) | A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto as EX-99.302CERT. |
(3) | Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable. |
(4) | Change in the registrant’s independent public accountant. Not applicable. |
(b) | If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Attached hereto as EX-99.906CERT. |
Notice
A copy of the Amended and Restated Declaration of Trust, as amended, of the Registrant is on file with the Secretary of State of The Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) MFS SERIES TRUST X
By (Signature and Title)* | /S/ DAVID L. DILORENZO | |
David L. DiLorenzo, President |
Date: January 14, 2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /S/ DAVID L. DILORENZO | |
David L. DiLorenzo, President (Principal Executive Officer) |
Date: January 14, 2022
By (Signature and Title)* | /S/ JAMES O. YOST | |
James O.Yost, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: January 14, 2022
* | Print name and title of each signing officer under his or her signature. |