ITEM 1.
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REPORTS TO STOCKHOLDERS.
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ANNUAL REPORT
July 31, 2013
MFS® EMERGING MARKETS
DEBT FUND
EMD-ANN
MFS® EMERGING MARKETS DEBT FUND
CONTENTS
The report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors
only when preceded or accompanied by a current prospectus.
NOT FDIC INSURED
MAY LOSE VALUE
NO
BANK GUARANTEE
LETTER
FROM THE CHAIRMAN AND CEO
Dear Shareholders:
The U.S. economy continues to grow, albeit at a modest pace, possibly helping to gently lift other regions out of a prolonged slump. The resilience of the U.S.
housing
market and improved jobs picture continues to offset the drag created by the governments sequestration and rise in taxes. Going forward, much could hinge on how much cooperation and
bipartisanship the U.S. Congress can achieve, as yet another fiscal showdown looms later in 2013.
China is shifting gears from being the engine of
global growth because of its rapid consumption of commodities.
Commodity-exporting
countries are feeling the squeeze from Chinas economic focus being turned toward domestic consumers and its overall pace
of growth slowing. Japans recent economic reports indicate that its 15-year period of stagnant
growth and deflation could be ending, while the eurozone is showing signs of a pickup in economic growth after two years of recession. These recent positive signs in Japan and Europe point to a
possible broadening base of global growth that could help take the burden off China and the United States as the main engines of global activity.
As always, managing risk in the face of uncertainty remains a top priority for investors. At MFS®, our uniquely collaborative investment process employs integrated, global research and active risk management.
Our global team of investment professionals shares ideas and evaluates opportunities across continents, investment disciplines and asset classes all with a goal of building better insights, and ultimately better results, for our clients.
We are mindful of the many economic challenges investors face, and believe it is more important than ever to maintain a long-term view and employ
time-tested principles, such as asset allocation and diversification. We remain confident that our unique approach can serve investors well as they work with their financial advisors to identify and pursue the most suitable opportunities.
Respectfully,
Robert J. Manning
Chairman and Chief Executive Officer
MFS
Investment Management®
September 16, 2013
The
opinions expressed in this letter are subject to change, may not be relied upon for investment advice, and no forecasts can be guaranteed.
1
PORTFOLIO COMPOSITION
Portfolio structure (i)
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Fixed income sectors (i)
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Sovereign Emerging Markets
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50.9%
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Other Government Entity-Emerging Markets Quasi Government
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20.4%
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Emerging Markets Corporate Bonds
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19.2%
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U.S. Government Securities Hedge (t)
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2.2%
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Sovereign Developed Markets
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1.1%
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Developed Markets Corporate Bonds
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0.6%
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Supranational
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0.2%
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Composition including fixed income credit quality (a)(i)
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AA
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0.4%
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A
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3.9%
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BBB
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49.0%
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BB
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19.3%
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B
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18.8%
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CCC
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0.1%
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U.S. Government
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1.3%
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Not Rated
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1.8%
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Cash & Other
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5.4%
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Portfolio facts (i)
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Average Duration (d)
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6.6
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Average Effective Maturity (m)
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10.0 yrs.
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Issuer country weightings (i)(x)
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Russia
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11.1%
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Venezuela
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9.5%
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Mexico
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9.5%
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United States
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7.6%
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Turkey
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7.1%
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Brazil
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6.9%
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Indonesia
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6.3%
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Philippines
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3.7%
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Kazakhstan
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3.3%
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Other Countries
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35.0%
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2
Portfolio Composition continued
(a)
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For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moodys, Fitch, and
Standard & Poors 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. 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. Not Rated includes fixed income securities, including fixed income futures contracts, which have not been rated by any rating agency. Cash & Other includes cash, other assets less liabilities, offsets
to derivative positions, and short-term securities. The fund may not hold all of these instruments. The fund is not rated by these agencies.
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(d)
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Duration is a measure of how much a bonds 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.
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(i)
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For purposes of this presentation, the components include the market 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 portfolios 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 market value. The bond component will include any accrued interest amounts.
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(m)
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In determining an instruments effective maturity for purposes of calculating the funds
dollar-weighted
average effective
maturity, MFS uses the instruments 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 instruments stated maturity.
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(t)
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For the purpose of managing the funds duration (but not its credit exposure), the fund holds U.S. Treasury bonds and U.S. Treasury futures contracts with a bond equivalent
exposure of 2.2%.
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(x)
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Represents the portfolios exposure to issuer countries as a percentage of a portfolios net assets.
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Where the fund holds convertible bonds, these are treated as part of the equity portion of the portfolio.
Percentages are based on net assets as of 7/31/13.
The portfolio is actively managed and current holdings may be
different.
3
MANAGEMENT REVIEW
Summary of Results
For the twelve months ended
July 31, 2013, Class A shares of the MFS Emerging Markets Debt Fund (fund) provided a total return of 0.65%, at net asset value. This compares with a return of 1.73% for the funds benchmark, the JPMorgan
Emerging Markets Bond Index Global.
Market Environment
At the beginning of the period, markets were suffering a bout of risk aversion due to broadly weaker global macroeconomic indicators, as well as renewed concerns over the eurozones capacity and determination
to address its ongoing crisis. However, a few months into the period, this renewed weakness in the fundamentals precipitated yet a further round of monetary easing by both the Federal Reserve Bank (Fed) (through a third round of
quantitative easing) and the European Central Bank (ECB) (through a new bond purchase facility), which soon instilled additional confidence in risk markets.
Nonetheless, towards the end of the calendar year, weaker equity earnings reports and declining forward guidance caused market sentiment to soften again. In addition,
year-end
fiscal cliff negotiations between the Republicans in the U.S. Congress and President Obama were a particular source of market attention, where uncertainty surrounding the fiscal negotiations continued
right up to the end-of-year deadline. A last minute political agreement averted the worst-case scenario and markets gravitated towards risk assets again, though the implementation of the U.S. budget sequester, combined with the uncertainty
surrounding the Italian election results, inserted a continued degree of caution as we entered the second half of the period.
During the first few
months of 2013, market sentiment improved markedly, as global macroeconomic indicators improved and fears of fiscal austerity in the U.S. waned. Late in the period, however, global growth dynamics looked to be weakening again, though markets
were generally unfazed, continuing their risk-on path, especially in light of continued easing by global central banks and the Bank of Japan in particular. At the end of the period, the growing risk of tapering of quantitative easing by the Fed
caused sovereign bond yields to spike, credit spreads to widen, and equity valuation to fall.
Factors Affecting Performance
Relative to the JPMorgan Emerging Markets Bond Index Global, strong bond selection, most notably in Brazil and Mexico, boosted relative results. Favorable bond
selection in Peru and Columbia also benefited relative performance.
Not holding Lebanese bonds, and an underweight exposure to Hungarian issues, held
back relative results as both market segments outperformed the benchmark over the reporting period.
Respectfully,
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Ward Brown
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Matthew Ryan
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Portfolio Manager
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Portfolio Manager
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4
Management Review continued
The views expressed in this report are those of the portfolio managers only through the
end of the period of the report as stated on the cover and do not necessarily reflect the views of MFS or any other person in the MFS organization. These views are subject to change at any time based on market or other conditions, and MFS disclaims
any responsibility to update such views. These views may not be relied upon as investment advice or an indication of trading intent on behalf of any MFS portfolio. References to specific securities are not recommendations of such securities, and may
not be representative of any MFS portfolios current or future investments.
5
PERFORMANCE SUMMARY
THROUGH 7/31/13
The
following chart illustrates a representative class of the funds historical performance in comparison to its benchmark(s). Performance results include the deduction of the maximum applicable sales charge and reflect the percentage change in net
asset value, including reinvestment of dividends and capital gains distributions. The performance of other share classes will be greater than or less than that of the class depicted below. Benchmarks are unmanaged and may not be invested in
directly. Benchmark returns do not reflect sales charges, commissions or expenses. (See Notes to Performance Summary.)
Performance data shown
represents past performance and is no guarantee of future results. Investment return and principal value fluctuate so your shares, when sold, may be worth more or less than the original cost; current performance may be lower or higher than quoted.
The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on fund distributions or the redemption of fund shares.
Growth of a Hypothetical $10,000 Investment
6
Performance Summary continued
Total Returns through 7/31/13
Average annual without sales charge
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Share class
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Class inception date
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1-yr
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5-yr
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10-yr
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Life (t)
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A
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3/17/98
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(0.65)%
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8.59%
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9.87%
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N/A
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B
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5/31/02
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(1.44)%
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7.79%
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9.07%
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N/A
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C
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5/31/02
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(1.44)%
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7.76%
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9.05%
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N/A
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I
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3/17/98
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(0.48)%
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8.82%
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10.13%
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N/A
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R1
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12/01/08
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(1.44)%
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N/A
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N/A
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13.25%
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R2
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12/01/08
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(0.94)%
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N/A
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N/A
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13.80%
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R3
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12/01/08
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(0.71)%
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N/A
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N/A
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14.09%
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R4
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12/01/08
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(0.46)%
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N/A
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N/A
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14.37%
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R5
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5/01/06
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(0.37)%
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8.79%
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N/A
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8.18%
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Comparative Benchmark
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JPMorgan Emerging Markets Bond Index
Global (f)
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(1.73)%
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8.59%
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9.35%
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N/A
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Average annual with sales charge
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A
With
Initial Sales Charge (4.75%)
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(5.37)%
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7.54%
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9.34%
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N/A
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B
With CDSC (Declining over six
years
from 4% to 0%) (x)
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(5.20)%
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7.49%
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9.07%
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N/A
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C
With CDSC (1% for 12 months)
(x)
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(2.39)%
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7.76%
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9.05%
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N/A
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Class I, R1, R2, R3, R4 and R5 shares do not have a sales charge.
CDSC Contingent Deferred Sales Charge.
As further discussed in Note 5 in the Notes to Financial Statements, on
May 10, 2012, sales of Class W shares (including exchanges) were suspended. On May 11, 2012, certain Class W shares were automatically converted to Class I shares. Shareholders of certain Class W shares became shareholders of Class I and received
Class I shares with a total net asset value equal to their Class W shares at the time of the conversion. On May 30, 2012, remaining Class W shares, which represented MFS seed money, were redesignated Class R5. Class R5 shares are generally available
only to certain eligible retirement plans and to funds distributed by MFD. Class R5 shares do not pay a 12b-1 distribution fee or sub-accounting costs. On June 1, 2012, Class R5 shares were offered for sale to the public. For further information
about the funds fee arrangements and changes to those fee arrangements, please see Note 3 in the Notes to Financial Statements.
(f)
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Source: FactSet Research Systems Inc.
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(t)
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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).
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(x)
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Assuming redemption at the end of the applicable period.
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7
Performance Summary continued
Benchmark Definition
JPMorgan Emerging Markets Bond Index Global measures the performance of
U.S.-dollar-denominated
debt instruments issued by emerging market sovereign and
quasi-sovereign entities: Brady bonds, loans, Eurobonds.
It is not possible to invest directly in an index.
Notes to Performance Summary
Average annual total return
represents the average annual change in value for each share class for the periods presented. Life returns are presented where the share class has less than 10 years of performance history and represent the average annual total return from the class
inception date to the stated period end date. As the funds share classes may have different inception dates, the life returns may represent different time periods and may not be comparable.
Performance results reflect any applicable expense subsidies and waivers in effect during the periods shown. Without such subsidies and waivers the funds
performance results would be less favorable. Please see the prospectus and financial statements for complete details.
Performance results do not include
adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles and may differ from amounts reported in the financial highlights.
From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower.
8
EXPENSE TABLE
Fund expenses borne by the shareholders during the period, February 1, 2013 through July 31, 2013
As a shareholder of the fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on certain purchase or redemption payments,
and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these
costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period
and held for the entire period February 1, 2013 through July 31, 2013.
Actual Expenses
The first line for each share class in the following table provides information about actual account values and actual expenses. You may use the information in this
line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the
number in the first line under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line for each share class in the following table
provides information about hypothetical account values and hypothetical expenses based on the funds actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the funds actual return. The
hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so,
compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the
expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line for each share class in the table is useful in comparing ongoing costs
only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
9
Expense Table continued
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Share
Class
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Annualized
Expense
Ratio
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Beginning
Account Value
2/01/13
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Ending
Account Value
7/31/13
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Expenses
Paid During
Period (p)
2/01/13-7/31/13
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A
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Actual
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1.18%
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$1,000.00
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$938.37
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$5.67
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Hypothetical (h)
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1.18%
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$1,000.00
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$1,018.94
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$5.91
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B
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Actual
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1.93%
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$1,000.00
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$935.12
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$9.26
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Hypothetical (h)
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1.93%
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$1,000.00
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$1,015.22
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$9.64
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C
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Actual
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1.93%
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$1,000.00
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$935.01
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$9.26
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Hypothetical (h)
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1.93%
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$1,000.00
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$1,015.22
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$9.64
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I
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Actual
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0.93%
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$1,000.00
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$939.36
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$4.47
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Hypothetical (h)
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0.93%
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$1,000.00
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$1,020.18
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$4.66
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R1
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Actual
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1.93%
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$1,000.00
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$935.11
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$9.26
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Hypothetical (h)
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1.93%
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$1,000.00
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$1,015.22
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$9.64
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R2
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Actual
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1.43%
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$1,000.00
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$936.87
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$6.87
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Hypothetical (h)
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1.43%
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$1,000.00
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$1,017.70
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$7.15
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R3
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Actual
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1.19%
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$1,000.00
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$938.38
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$5.72
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Hypothetical (h)
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1.19%
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$1,000.00
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$1,018.89
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$5.96
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R4
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Actual
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0.93%
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$1,000.00
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$939.57
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$4.47
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Hypothetical (h)
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0.93%
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$1,000.00
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$1,020.18
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$4.66
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R5
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Actual
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0.81%
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$1,000.00
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$940.12
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$3.90
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Hypothetical (h)
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0.81%
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$1,000.00
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$1,020.78
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$4.06
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(h)
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5% class return per year before expenses.
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(p)
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Expenses paid are equal to each classs annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by the number of days
in the period, divided by the number of days in the year. Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher.
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10
PORTFOLIO OF INVESTMENTS
7/31/13
The Portfolio of Investments is a complete
list of all securities owned by your fund. It is categorized by broad-based asset classes.
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Bonds - 90.2%
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Issuer
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Shares/Par
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Value ($)
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Angola - 0.3%
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Northern Lights III B.V., 7%, 2019
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$
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19,815,000
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$
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21,152,513
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Argentina - 0.9%
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Republic of Argentina, 7%, 2015
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$
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56,714,000
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$
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52,079,207
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Republic of Argentina, FRN, 8.28%, 2033
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11,891,465
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6,986,236
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$
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59,065,443
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Azerbaijan - 0.3%
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State Oil Company of Azerbaijan Republic, 4.75%, 2023
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$
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22,756,000
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$
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21,106,190
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Bahrain - 0.2%
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|
|
|
|
|
|
|
|
Kingdom of Bahrain, 6.125%, 2023 (z)
|
|
$
|
16,409,000
|
|
|
$
|
16,508,301
|
|
|
|
|
Brazil - 6.0%
|
|
|
|
|
|
|
|
|
Banco do Brasil S.A., 5.875%, 2022
|
|
$
|
2,556,000
|
|
|
$
|
2,453,760
|
|
Banco do Brasil S.A., 5.875%, 2023 (n)
|
|
|
14,515,000
|
|
|
|
13,999,718
|
|
Banco do Brasil S.A., FRN, 6.25%, 2049 (n)
|
|
|
16,885,000
|
|
|
|
14,014,550
|
|
Banco do Estado Rio Grande do Sul S.A., 7.375%, 2022 (n)
|
|
|
27,846,000
|
|
|
|
28,159,268
|
|
Banco do Nordeste do Brasil (BNB), 3.625%, 2015 (n)
|
|
|
15,993,000
|
|
|
|
16,232,895
|
|
Banco do Nordeste do Brasil (BNB), 4.375%, 2019 (n)
|
|
|
15,067,000
|
|
|
|
14,407,819
|
|
Brazil Minas SPE, 5.333%, 2028 (z)
|
|
|
14,455,000
|
|
|
|
13,876,800
|
|
BRF S.A., 5.875%, 2022
|
|
|
6,572,000
|
|
|
|
6,670,580
|
|
BRF S.A., 3.95%, 2023 (n)
|
|
|
11,517,000
|
|
|
|
9,904,620
|
|
Caixa Economica Federal, 3.5%, 2022 (n)
|
|
|
16,224,000
|
|
|
|
13,547,040
|
|
Cosan Ltd., 7%, 2017
|
|
|
12,723,000
|
|
|
|
14,122,530
|
|
Cosan Luxembourg S.A., 5%, 2023 (n)
|
|
|
12,302,000
|
|
|
|
11,533,125
|
|
Federative Republic of Brazil, 8.25%, 2034
|
|
|
17,621,000
|
|
|
|
22,907,300
|
|
Federative Republic of Brazil, 5.625%, 2041
|
|
|
17,209,000
|
|
|
|
16,993,888
|
|
Fibria Overseas Finance Ltd., 7.5%, 2020
|
|
|
4,235,000
|
|
|
|
4,637,325
|
|
Fibria Overseas Finance Ltd., 6.75%, 2021
|
|
|
15,470,000
|
|
|
|
16,862,300
|
|
Globo Comunicacoes e Participacoes S.A., 6.25% to 2015, 9.375% to 2049 (n)
|
|
|
6,747,000
|
|
|
|
7,016,880
|
|
Globo Comunicacoes e Participacoes S.A., 6.25% to 2015, 9.375% to 2049
|
|
|
17,556,000
|
|
|
|
18,258,240
|
|
Globo Comunicacoes e Participacoes S.A., 4.875%, 2022 (n)
|
|
|
3,427,000
|
|
|
|
3,384,163
|
|
Marfrig Holding Europe B.V., 9.875%, 2017 (n)
|
|
|
15,705,000
|
|
|
|
15,862,050
|
|
Marfrig Overseas Ltd., 9.5%, 2020
|
|
|
6,733,000
|
|
|
|
6,665,670
|
|
Odebrecht Finance Ltd., 7.125%, 2042
|
|
|
600,000
|
|
|
|
585,000
|
|
11
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Brazil - continued
|
|
|
|
|
|
|
|
|
Odebrecht Finance Ltd., 7.125%, 2042 (n)
|
|
$
|
19,643,000
|
|
|
$
|
19,151,925
|
|
Odebrecht Offshore Drilling Finance Ltd., 6.75%, 2022 (z)
|
|
|
24,322,000
|
|
|
|
24,273,356
|
|
Petrobras International Finance Co., 7.875%, 2019
|
|
|
4,255,000
|
|
|
|
4,871,111
|
|
Petrobras International Finance Co., 5.375%, 2021
|
|
|
10,569,000
|
|
|
|
10,524,980
|
|
Qgog Constellation S.A., 6.25%, 2019 (n)
|
|
|
20,752,000
|
|
|
|
19,714,400
|
|
Rearden G Holdings Eins GmbH, 7.875%, 2020
|
|
|
16,148,000
|
|
|
|
16,551,700
|
|
Ultrapetrol (Bahamas) Ltd., 8.875%, 2021 (n)
|
|
|
8,857,000
|
|
|
|
9,034,140
|
|
Vale Overseas Ltd., 4.375%, 2022
|
|
|
26,375,000
|
|
|
|
24,984,378
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
401,201,511
|
|
Canada - 0.3%
|
|
|
|
|
|
|
|
|
First Quantum Minerals Ltd., 7.25%, 2019
|
|
$
|
2,045,000
|
|
|
$
|
1,993,875
|
|
First Quantum Minerals Ltd., 7.25%, 2019 (n)
|
|
|
14,376,000
|
|
|
|
14,016,600
|
|
IAMGOLD Corp., 6.75%, 2020 (n)
|
|
|
1,427,000
|
|
|
|
1,212,950
|
|
IAMGOLD Corp., 6.75%, 2020
|
|
|
4,308,000
|
|
|
|
3,661,800
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
20,885,225
|
|
Chile - 1.9%
|
|
|
|
|
|
|
|
|
Automotores Gildemeister S.A., 8.25%, 2021 (n)
|
|
$
|
2,813,000
|
|
|
$
|
2,250,400
|
|
Automotores Gildemeister S.A., 8.25%, 2021
|
|
|
8,036,000
|
|
|
|
6,428,800
|
|
Banco de Credito e Inversiones, 4%, 2023 (n)
|
|
|
7,868,000
|
|
|
|
7,208,787
|
|
Banco de Credito e Inversiones, 3%, 2017 (n)
|
|
|
4,594,000
|
|
|
|
4,525,559
|
|
Cencosud S.A., 4.875%, 2023
|
|
|
750,000
|
|
|
|
716,127
|
|
Cencosud S.A., 4.875%, 2023 (n)
|
|
|
17,919,000
|
|
|
|
17,109,706
|
|
CorpBanca, 3.125%, 2018
|
|
|
14,904,000
|
|
|
|
13,807,215
|
|
E.CL S.A., 5.625%, 2021
|
|
|
18,206,000
|
|
|
|
18,913,176
|
|
Empresa Nacional del Petroleo, 6.25%, 2019
|
|
|
6,492,000
|
|
|
|
7,062,361
|
|
Falabella S.A., 3.75%, 2023 (n)
|
|
|
10,223,000
|
|
|
|
9,310,863
|
|
Sociedad Quimica y Minera de Chile S.A., 5.5%, 2020 (n)
|
|
|
9,697,000
|
|
|
|
10,199,130
|
|
Sociedad Quimica y Minera de Chile S.A., 5.5%, 2020
|
|
|
12,297,000
|
|
|
|
12,933,763
|
|
Transelec S.A., 4.625%, 2023 (z)
|
|
|
17,201,000
|
|
|
|
17,016,369
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
127,482,256
|
|
China - 2.3%
|
|
|
|
|
|
|
|
|
Baidu, Inc., 3.5%, 2022
|
|
$
|
17,418,000
|
|
|
$
|
15,900,474
|
|
CNOOC Finance (2013) Ltd., 3%, 2023
|
|
|
15,234,000
|
|
|
|
13,869,689
|
|
CNPC General Capital Ltd., 3.4%, 2023 (n)
|
|
|
17,648,000
|
|
|
|
16,554,565
|
|
CNPC General Capital Ltd., 3.95%, 2022 (n)
|
|
|
17,047,000
|
|
|
|
16,770,685
|
|
Hyva Global B.V., 8.625%, 2016 (n)
|
|
|
7,035,000
|
|
|
|
6,384,263
|
|
Hyva Global B.V., 8.625%, 2016
|
|
|
10,596,000
|
|
|
|
9,615,870
|
|
Sinopec Capital (2013) Ltd., 3.125%, 2023 (n)
|
|
|
16,214,000
|
|
|
|
14,612,689
|
|
Sinopec Capital (2013) Ltd., 4.25%, 2043 (n)
|
|
|
13,569,000
|
|
|
|
11,439,183
|
|
Sinopec Group Overseas Development (2012) Ltd., 3.9%, 2022 (n)
|
|
|
9,703,000
|
|
|
|
9,502,206
|
|
12
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
|
|
|
|
|
|
|
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
China - continued
|
|
|
|
|
|
|
|
|
State Grid Overseas Investment (2013) Ltd., 3.125%, 2023 (n)
|
|
$
|
12,409,000
|
|
|
$
|
11,570,735
|
|
Tencent Holdings Ltd., 3.375%, 2018 (n)
|
|
|
17,571,000
|
|
|
|
17,744,742
|
|
Yingde Gases Group Co. Ltd., 8.125%, 2018 (n)
|
|
|
12,926,000
|
|
|
|
13,184,520
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
157,149,621
|
|
Colombia - 2.7%
|
|
|
|
|
|
|
|
|
Banco GNB Sudameris S.A., 3.875%, 2018 (n)
|
|
$
|
15,135,000
|
|
|
$
|
14,189,063
|
|
Bancolombia S.A., 5.125%, 2022
|
|
|
14,648,000
|
|
|
|
13,622,640
|
|
Bancolombia S.A., 5.95%, 2021
|
|
|
3,545,000
|
|
|
|
3,695,663
|
|
Ecopetrol S.A., 7.625%, 2019
|
|
|
23,599,000
|
|
|
|
28,082,810
|
|
Empresa de Energia de Bogota S.A., 6.125%, 2021 (n)
|
|
|
5,196,000
|
|
|
|
5,520,750
|
|
Empresa de Telecomunicaciones de Bogota S.A., 7%, 2023 (n)
|
|
COP
|
22,118,000,000
|
|
|
|
10,330,877
|
|
Grupo Aval Ltd., 4.75%, 2022 (n)
|
|
$
|
16,081,000
|
|
|
|
15,216,646
|
|
Millicom International Cellular S.A., 4.75%, 2020 (n)
|
|
|
9,508,000
|
|
|
|
9,222,760
|
|
Pacific Rubiales Energy Corp., 5.125%, 2023 (n)
|
|
|
23,735,000
|
|
|
|
22,382,105
|
|
Pacific Rubiales Energy Corp., 7.25%, 2021 (n)
|
|
|
22,145,000
|
|
|
|
23,805,875
|
|
Republic of Colombia, 8.125%, 2024
|
|
|
5,375,000
|
|
|
|
7,081,563
|
|
Republic of Colombia, 7.375%, 2037
|
|
|
5,485,000
|
|
|
|
6,938,525
|
|
Republic of Colombia, 6.125%, 2041
|
|
|
18,384,000
|
|
|
|
20,130,480
|
|
Republic of Colombia, 4.375%, 2021
|
|
|
1,936,000
|
|
|
|
2,003,760
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
182,223,517
|
|
Costa Rica - 0.3%
|
|
|
|
|
|
|
|
|
Instituto Costarricense, 6.375%, 2043 (n)
|
|
$
|
10,602,000
|
|
|
$
|
9,594,810
|
|
Republic of Costa Rica, 4.375%, 2025 (n)
|
|
|
11,135,000
|
|
|
|
10,327,713
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
19,922,523
|
|
Cote dIvoire - 0.6%
|
|
|
|
|
|
|
|
|
Ivory Coast, 7.099%, 2032
|
|
$
|
47,044,000
|
|
|
$
|
41,398,720
|
|
|
|
|
Croatia - 1.4%
|
|
|
|
|
|
|
|
|
Republic of Croatia, 5.5%, 2023 (n)
|
|
$
|
47,382,000
|
|
|
$
|
46,908,180
|
|
Republic of Croatia, 6.25%, 2017
|
|
|
800,000
|
|
|
|
853,160
|
|
Republic of Croatia, 6.625%, 2020
|
|
|
12,308,000
|
|
|
|
13,231,100
|
|
Republic of Croatia, 6.375%, 2021
|
|
|
19,258,000
|
|
|
|
20,369,187
|
|
Republic of Croatia, 6.25%, 2017 (n)
|
|
|
13,950,000
|
|
|
|
14,876,978
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
96,238,605
|
|
Dominican Republic - 1.9%
|
|
|
|
|
|
|
|
|
Banco de Reservas de La Republica Dominicana, 7%, 2023 (n)
|
|
$
|
18,835,000
|
|
|
$
|
18,646,650
|
|
Dominican Republic, 5.875%, 2024
|
|
|
17,306,000
|
|
|
|
16,700,290
|
|
13
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Dominican Republic - continued
|
|
|
|
|
|
|
|
|
Dominican Republic, 5.875%, 2024 (n)
|
|
$
|
34,262,000
|
|
|
$
|
33,062,830
|
|
Dominican Republic, 8.625%, 2027
|
|
|
17,528,000
|
|
|
|
19,587,540
|
|
Dominican Republic, 7.5%, 2021 (n)
|
|
|
11,397,000
|
|
|
|
12,308,760
|
|
Dominican Republic, 7.5%, 2021
|
|
|
23,058,000
|
|
|
|
24,902,640
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
125,208,710
|
|
El Salvador - 0.3%
|
|
|
|
|
|
|
|
|
Republic of El Salvador, 7.75%, 2023
|
|
$
|
6,963,000
|
|
|
$
|
7,763,745
|
|
Republic of El Salvador, 7.375%, 2019 (n)
|
|
|
3,416,000
|
|
|
|
3,834,460
|
|
Republic of El Salvador, 7.375%, 2019
|
|
|
500,000
|
|
|
|
561,250
|
|
Republic of El Salvador, 5.875%, 2025 (n)
|
|
|
7,867,000
|
|
|
|
7,788,330
|
|
Republic of El Salvador, 5.875%, 2025
|
|
|
800,000
|
|
|
|
792,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
20,739,785
|
|
Georgia - 0.1%
|
|
|
|
|
|
|
|
|
JSC Georgian Railway, 7.75%, 2022 (n)
|
|
$
|
3,903,000
|
|
|
$
|
4,264,028
|
|
Republic of Georgia, 6.875%, 2021 (n)
|
|
|
4,495,000
|
|
|
|
4,905,169
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
9,169,197
|
|
Guatemala - 1.1%
|
|
|
|
|
|
|
|
|
Central American Bottling Corp., 6.75%, 2022 (n)
|
|
$
|
15,136,000
|
|
|
$
|
15,703,600
|
|
Industrial Senior Trust, 5.5%, 2022 (n)
|
|
|
16,773,000
|
|
|
|
15,934,350
|
|
Republic of Guatemala, 4.875%, 2028 (n)
|
|
|
16,562,000
|
|
|
|
15,444,065
|
|
Republic of Guatemala, 5.75%, 2022 (n)
|
|
|
24,157,000
|
|
|
|
25,123,280
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
72,205,295
|
|
Hungary - 2.9%
|
|
|
|
|
|
|
|
|
Magyar Export-Import Bank, 5.5%, 2018
|
|
$
|
18,759,000
|
|
|
$
|
18,482,761
|
|
Magyar Export-Import Bank, 5.5%, 2018 (n)
|
|
|
27,491,000
|
|
|
|
27,086,176
|
|
Republic of Hungary, 5.375%, 2023
|
|
|
64,738,000
|
|
|
|
61,743,868
|
|
Republic of Hungary, 6.25%, 2020
|
|
|
14,131,000
|
|
|
|
14,908,205
|
|
Republic of Hungary, 6.375%, 2021
|
|
|
61,078,000
|
|
|
|
63,765,432
|
|
Republic of Hungary, 7.625%, 2041
|
|
|
9,714,000
|
|
|
|
10,199,700
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
196,186,142
|
|
Iceland - 0.5%
|
|
|
|
|
|
|
|
|
Republic of Iceland, 5.875%, 2022 (n)
|
|
$
|
17,084,000
|
|
|
$
|
17,724,650
|
|
Republic of Iceland, 5.875%, 2022
|
|
|
15,300,000
|
|
|
|
15,873,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
33,598,400
|
|
India - 0.3%
|
|
|
|
|
|
|
|
|
Bharti Airtel International Co., 5.125%, 2023 (n)
|
|
$
|
10,409,000
|
|
|
$
|
9,680,370
|
|
Rolta LLC, 10.75%, 2018 (n)
|
|
|
13,367,000
|
|
|
|
13,099,660
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
22,780,030
|
|
14
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Indonesia - 5.9%
|
|
|
|
|
|
|
|
|
Listrindo Capital B.V., 6.95%, 2019 (n)
|
|
$
|
5,386,000
|
|
|
$
|
5,682,230
|
|
Majapahit Holding B.V., 7.75%, 2020
|
|
|
16,495,000
|
|
|
|
18,391,925
|
|
Pertamina PT, 5.625%, 2043 (n)
|
|
|
16,671,000
|
|
|
|
13,670,220
|
|
Pertamina PT, 4.3%, 2023 (n)
|
|
|
15,092,000
|
|
|
|
13,545,070
|
|
Pertamina PT, 5.25%, 2021 (n)
|
|
|
5,636,000
|
|
|
|
5,523,280
|
|
Pertamina PT, 4.875%, 2022 (n)
|
|
|
10,224,000
|
|
|
|
9,712,800
|
|
Pertamina PT, 6%, 2042 (n)
|
|
|
6,262,000
|
|
|
|
5,400,975
|
|
Pertamina PT, 5.25%, 2021
|
|
|
7,867,000
|
|
|
|
7,709,660
|
|
Pertamina PT, 6%, 2042
|
|
|
5,132,000
|
|
|
|
4,426,350
|
|
PT Perusahaan Listrik Negara, 5.5%, 2021 (n)
|
|
|
7,348,000
|
|
|
|
7,274,520
|
|
Republic of Indonesia, 5.375%, 2023 (z)
|
|
|
45,022,000
|
|
|
|
45,753,608
|
|
Republic of Indonesia, 8.5%, 2035
|
|
|
12,667,000
|
|
|
|
16,277,095
|
|
Republic of Indonesia, 3.375%, 2023 (n)
|
|
|
9,992,000
|
|
|
|
8,767,980
|
|
Republic of Indonesia, 6.875%, 2018 (n)
|
|
|
2,708,000
|
|
|
|
3,066,810
|
|
Republic of Indonesia, 6.875%, 2018
|
|
|
19,122,000
|
|
|
|
21,655,665
|
|
Republic of Indonesia, 11.625%, 2019 (n)
|
|
|
5,499,000
|
|
|
|
7,533,630
|
|
Republic of Indonesia, 11.625%, 2019
|
|
|
8,716,000
|
|
|
|
11,940,920
|
|
Republic of Indonesia, 5.875%, 2020 (n)
|
|
|
8,481,000
|
|
|
|
9,223,088
|
|
Republic of Indonesia, 5.875%, 2020
|
|
|
40,749,000
|
|
|
|
44,314,538
|
|
Republic of Indonesia, 4.875%, 2021 (n)
|
|
|
40,249,000
|
|
|
|
40,852,735
|
|
Republic of Indonesia, 4.875%, 2021
|
|
|
68,462,000
|
|
|
|
69,488,930
|
|
Republic of Indonesia, 3.75%, 2022 (n)
|
|
|
11,397,000
|
|
|
|
10,485,240
|
|
Republic of Indonesia, 3.75%, 2022
|
|
|
17,534,000
|
|
|
|
16,131,280
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
396,828,549
|
|
Israel - 0.6%
|
|
|
|
|
|
|
|
|
Altice Financing S.A., 7.875%, 2019 (n)
|
|
$
|
459,000
|
|
|
$
|
488,835
|
|
Israel Electric Corp. Ltd., 6.875%, 2023 (n)
|
|
|
17,807,000
|
|
|
|
18,430,245
|
|
Israel Electric Corp. Ltd., 5.625%, 2018 (n)
|
|
|
19,233,000
|
|
|
|
19,713,825
|
|
Israel Electric Corp. Ltd., 6.7%, 2017 (n)
|
|
|
2,611,000
|
|
|
|
2,787,243
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
41,420,148
|
|
Jamaica - 0.4%
|
|
|
|
|
|
|
|
|
Digicel Group Ltd., 6%, 2021 (n)
|
|
$
|
8,311,000
|
|
|
$
|
8,144,780
|
|
Digicel Group Ltd., 8.25%, 2020 (n)
|
|
|
7,595,000
|
|
|
|
8,164,625
|
|
Digicel Group Ltd., 8.25%, 2017 (n)
|
|
|
4,779,000
|
|
|
|
4,982,108
|
|
Digicel Group Ltd., 8.25%, 2017
|
|
|
4,363,000
|
|
|
|
4,548,428
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
25,839,941
|
|
Kazakhstan - 3.3%
|
|
|
|
|
|
|
|
|
Development Bank of Kazakhstan, 4.125%, 2022
|
|
$
|
34,436,000
|
|
|
$
|
31,078,490
|
|
Development Bank of Kazakhstan, 4.125%, 2022 (n)
|
|
|
35,604,000
|
|
|
|
32,132,610
|
|
Halyk Savings Bank of Kazakhstan B.V., 7.25%, 2017
|
|
|
9,439,000
|
|
|
|
9,983,630
|
|
KazAgro National Management Holding, 4.625%, 2023 (n)
|
|
|
77,312,000
|
|
|
|
70,933,760
|
|
15
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Kazakhstan - continued
|
|
|
|
|
|
|
|
|
Kazakhstan Temir Zholy Co., 6.375%, 2020
|
|
$
|
3,005,000
|
|
|
$
|
3,297,988
|
|
Kazakhstan Temir Zholy Co., 6.95%, 2042
|
|
|
6,132,000
|
|
|
|
6,254,640
|
|
Kazakhstan Temir Zholy Co., 6.95%, 2042 (n)
|
|
|
12,646,000
|
|
|
|
12,898,920
|
|
Kazatomprom, 6.25%, 2015 (n)
|
|
|
7,325,000
|
|
|
|
7,691,250
|
|
Kazatomprom, 6.25%, 2015
|
|
|
650,000
|
|
|
|
682,500
|
|
KazMunayGas National Co., 4.4%, 2023 (n)
|
|
|
29,409,000
|
|
|
|
27,240,086
|
|
KazMunayGas National Co., 5.75%, 2043 (n)
|
|
|
22,584,000
|
|
|
|
19,871,662
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
222,065,536
|
|
Latvia - 0.6%
|
|
|
|
|
|
|
|
|
Republic of Latvia, 5.25%, 2017 (n)
|
|
$
|
16,108,000
|
|
|
$
|
17,500,569
|
|
Republic of Latvia, 5.25%, 2021
|
|
|
15,742,000
|
|
|
|
17,001,360
|
|
Republic of Latvia, 5.25%, 2017
|
|
|
4,315,000
|
|
|
|
4,688,040
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
39,189,969
|
|
Lithuania - 0.8%
|
|
|
|
|
|
|
|
|
Republic of Lithuania, 6.625%, 2022
|
|
$
|
2,000,000
|
|
|
$
|
2,345,000
|
|
Republic of Lithuania, 6.125%, 2021 (n)
|
|
|
18,374,000
|
|
|
|
20,854,490
|
|
Republic of Lithuania, 6.625%, 2022 (n)
|
|
|
20,970,000
|
|
|
|
24,587,325
|
|
Republic of Lithuania, 6.125%, 2021
|
|
|
2,476,000
|
|
|
|
2,810,260
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
50,597,075
|
|
Malaysia - 0.6%
|
|
|
|
|
|
|
|
|
Petronas Capital Ltd., 5.25%, 2019 (n)
|
|
$
|
6,525,000
|
|
|
$
|
7,274,285
|
|
Petronas Capital Ltd., 5.25%, 2019
|
|
|
29,410,000
|
|
|
|
32,787,239
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
40,061,524
|
|
Mexico - 9.4%
|
|
|
|
|
|
|
|
|
America Movil S.A.B. de C.V., 6.45%, 2022
|
|
MXN
|
126,330,000
|
|
|
$
|
9,462,345
|
|
Banco Santander S.A., 4.125%, 2022 (n)
|
|
$
|
12,405,000
|
|
|
|
11,521,144
|
|
BBVA Bancomer S.A. de C.V., 6.5%, 2021 (n)
|
|
|
7,432,000
|
|
|
|
7,822,180
|
|
BBVA Bancomer S.A. de C.V., 6.75%, 2022 (n)
|
|
|
15,151,000
|
|
|
|
16,097,938
|
|
BBVA Bancomer S.A. de C.V., 6.75%, 2022
|
|
|
10,797,000
|
|
|
|
11,471,813
|
|
CEMEX Finance LLC, 9.5%, 2016
|
|
|
9,934,000
|
|
|
|
10,579,710
|
|
CEMEX S.A.B. de C.V., 9%, 2018 (n)
|
|
|
3,502,000
|
|
|
|
3,808,425
|
|
CEMEX S.A.B. de C.V., 9.25%, 2020
|
|
|
7,207,000
|
|
|
|
7,873,648
|
|
Comision Federal de Electricidad, 4.875%, 2021 (n)
|
|
|
11,546,000
|
|
|
|
12,065,570
|
|
Comision Federal de Electricidad, 5.75%, 2042 (n)
|
|
|
13,836,000
|
|
|
|
13,144,200
|
|
Comision Federal de Electricidad, 4.875%, 2021
|
|
|
4,600,000
|
|
|
|
4,807,000
|
|
Empresas ICA S.A.B. de C.V., 8.9%, 2021
|
|
|
12,693,000
|
|
|
|
11,804,490
|
|
Empresas ICA S.A.B. de C.V., 8.375%, 2017
|
|
|
3,414,000
|
|
|
|
3,262,077
|
|
Empresas ICA S.A.B. de C.V., 8.375%, 2017 (n)
|
|
|
7,364,000
|
|
|
|
7,036,302
|
|
Grupo Cementos de Chihuahua S.A.B. de C.V., 8.125%, 2020 (n)
|
|
|
14,837,000
|
|
|
|
15,356,295
|
|
16
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Mexico - continued
|
|
|
|
|
|
|
|
|
Grupo KUO S.A.B de C.V., 6.25%, 2022
|
|
$
|
597,000
|
|
|
$
|
602,970
|
|
Grupo KUO S.A.B de C.V., 6.25%, 2022 (n)
|
|
|
13,232,000
|
|
|
|
13,364,320
|
|
Grupo Posadas S.A.B. de C.V., 7.875%, 2017
|
|
|
2,500,000
|
|
|
|
2,575,000
|
|
Grupo Posadas S.A.B. de C.V., 7.875%, 2017 (n)
|
|
|
15,881,000
|
|
|
|
16,357,430
|
|
Grupo Televisa S.A.B., 7.25%, 2043
|
|
MXN
|
79,340,000
|
|
|
|
5,268,620
|
|
Mexichem S.A.B. de C.V., 6.75%, 2042 (n)
|
|
$
|
2,017,000
|
|
|
|
1,931,278
|
|
Mexichem S.A.B. de C.V., 6.75%, 2042
|
|
|
4,898,000
|
|
|
|
4,689,835
|
|
Pemex Project Funding Master Trust, 6.625%, 2035
|
|
|
10,873,000
|
|
|
|
11,634,110
|
|
Pemex Project Funding Master Trust, 5.75%, 2018
|
|
|
12,431,000
|
|
|
|
13,798,410
|
|
Pemex Project Funding Master Trust, 6.625%, 2038
|
|
|
8,801,000
|
|
|
|
9,395,068
|
|
Petroleos Mexicanos, 4.875%, 2024 (z)
|
|
|
12,584,000
|
|
|
|
12,709,840
|
|
Petroleos Mexicanos, 6%, 2020
|
|
|
14,514,000
|
|
|
|
16,219,395
|
|
Petroleos Mexicanos, 5.5%, 2021
|
|
|
6,333,000
|
|
|
|
6,823,808
|
|
Petroleos Mexicanos, 6.5%, 2041
|
|
|
5,145,000
|
|
|
|
5,412,540
|
|
Petroleos Mexicanos, FRN, 2.286%, 2018 (z)
|
|
|
12,881,000
|
|
|
|
13,203,025
|
|
Red de Carreteras de Occidente SAPIB de C.V., 9%, 2028 (n)
|
|
MXN
|
333,510,000
|
|
|
|
23,823,049
|
|
United Mexican States, 6.05%, 2040
|
|
$
|
13,484,000
|
|
|
|
14,967,240
|
|
United Mexican States, 5.95%, 2019
|
|
|
12,936,000
|
|
|
|
14,973,420
|
|
United Mexican States, 5.125%, 2020
|
|
|
106,581,000
|
|
|
|
118,624,653
|
|
United Mexican States, 5.75%, 2049
|
|
|
12,733,000
|
|
|
|
11,905,355
|
|
United Mexican States, 3.625%, 2022
|
|
|
166,212,000
|
|
|
|
164,549,880
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
628,942,383
|
|
Nigeria - 0.5%
|
|
|
|
|
|
|
|
|
Afren PLC, 11.5%, 2016 (n)
|
|
$
|
5,923,000
|
|
|
$
|
6,855,873
|
|
Afren PLC, 10.25%, 2019 (n)
|
|
|
11,367,000
|
|
|
|
13,100,468
|
|
Republic of Nigeria, 6.375%, 2023 (z)
|
|
|
13,221,000
|
|
|
|
13,452,368
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
33,408,709
|
|
Pakistan - 0.2%
|
|
|
|
|
|
|
|
|
Islamic Republic of Pakistan, 7.875%, 2036
|
|
$
|
11,117,000
|
|
|
$
|
9,143,733
|
|
Islamic Republic of Pakistan, 6.875%, 2017
|
|
|
7,492,000
|
|
|
|
7,229,780
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
16,373,513
|
|
Panama - 1.0%
|
|
|
|
|
|
|
|
|
AES El Salvador S.A. de C.V., 6.75%, 2023 (n)
|
|
$
|
10,077,000
|
|
|
$
|
9,868,277
|
|
Panama Canal Railway Co., 7%, 2026 (n)
|
|
|
1,090,620
|
|
|
|
1,057,901
|
|
Panama Canal Railway Co., 7%, 2026
|
|
|
5,232,348
|
|
|
|
5,075,378
|
|
Republic of Panama, 7.125%, 2026
|
|
|
5,273,000
|
|
|
|
6,512,155
|
|
Republic of Panama, 8.875%, 2027
|
|
|
7,832,000
|
|
|
|
10,964,800
|
|
Republic of Panama, 6.7%, 2036
|
|
|
13,663,000
|
|
|
|
16,122,340
|
|
Republic of Panama, 9.375%, 2029
|
|
|
8,804,000
|
|
|
|
12,897,860
|
|
17
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Panama - continued
|
|
|
|
|
|
|
|
|
Republic of Panama, 5.2%, 2020
|
|
$
|
6,268,000
|
|
|
$
|
6,941,810
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
69,440,521
|
|
Paraguay - 0.7%
|
|
|
|
|
|
|
|
|
Republic of Paraguay, 4.625%, 2023
|
|
$
|
5,753,000
|
|
|
$
|
5,292,760
|
|
Republic of Paraguay, 4.625%, 2023 (n)
|
|
|
22,038,000
|
|
|
|
20,274,960
|
|
Telefonica Celular del Paraguay S.A., 6.75%, 2022 (n)
|
|
|
17,419,000
|
|
|
|
18,159,308
|
|
Telefonica Celular del Paraguay S.A., 6.75%, 2022
|
|
|
1,527,000
|
|
|
|
1,591,898
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
45,318,926
|
|
Peru - 2.4%
|
|
|
|
|
|
|
|
|
Ajecorp B.V., 6.5%, 2022
|
|
$
|
500,000
|
|
|
$
|
511,250
|
|
Ajecorp B.V., 6.5%, 2022 (n)
|
|
|
16,370,000
|
|
|
|
16,738,325
|
|
Banco de Credito del Peru, 5.375%, 2020
|
|
|
3,261,000
|
|
|
|
3,358,830
|
|
Banco de Credito del Peru, 6.125% to 2022, FRN to 2027 (n)
|
|
|
15,559,000
|
|
|
|
15,559,000
|
|
Banco de Credito del Peru, FRN, 6.125%, 2027
|
|
|
1,659,000
|
|
|
|
1,659,000
|
|
BBVA Banco Continental S.A., 5%, 2022 (n)
|
|
|
17,298,000
|
|
|
|
16,952,040
|
|
BBVA Banco Continental S.A., 5%, 2022
|
|
|
3,235,000
|
|
|
|
3,170,300
|
|
Cementos Pacasmayo S.A.A., 4.5%, 2023
|
|
|
13,448,000
|
|
|
|
12,506,640
|
|
Corporacion Financiera de Desarrollo S.A., 4.75%, 2022 (n)
|
|
|
19,772,000
|
|
|
|
19,722,570
|
|
Corporacion Lindley S.A., 4.625%, 2023 (n)
|
|
|
6,979,000
|
|
|
|
6,630,050
|
|
Corporacion Lindley S.A., 6.75%, 2021 (n)
|
|
|
6,798,000
|
|
|
|
7,477,800
|
|
El Fondo Mivivienda S.A., 3.5%, 2023
|
|
|
893,000
|
|
|
|
799,235
|
|
El Fondo Mivivienda S.A., 3.5%, 2023 (n)
|
|
|
7,328,000
|
|
|
|
6,558,560
|
|
Ferreycorp S.A.A., 4.875%, 2020 (n)
|
|
|
15,091,000
|
|
|
|
14,223,268
|
|
IIRSA Norte Finance Ltd., 8.75%, 2024 (n)
|
|
|
165,681
|
|
|
|
192,190
|
|
IIRSA Norte Finance Ltd., 8.75%, 2024
|
|
|
3,302,955
|
|
|
|
3,831,428
|
|
Republic of Peru, 7.35%, 2025
|
|
|
11,265,000
|
|
|
|
14,334,713
|
|
Transport de Gas Peru, 4.25%, 2028 (n)
|
|
|
17,910,000
|
|
|
|
16,298,100
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
160,523,299
|
|
Philippines - 3.7%
|
|
|
|
|
|
|
|
|
Power Sector Assets & Liabilities Management Corp., 7.39%, 2024 (n)
|
|
$
|
3,247,000
|
|
|
$
|
4,026,280
|
|
Power Sector Assets & Liabilities Management Corp., 7.39%, 2024
|
|
|
9,742,000
|
|
|
|
12,080,080
|
|
Republic of Philippines, 10.625%, 2025
|
|
|
2,434,000
|
|
|
|
3,821,380
|
|
Republic of Philippines, 9.875%, 2019
|
|
|
2,908,000
|
|
|
|
3,918,530
|
|
Republic of Philippines, 6.375%, 2032
|
|
|
32,450,000
|
|
|
|
38,007,063
|
|
Republic of Philippines, 9.375%, 2017
|
|
|
11,015,000
|
|
|
|
13,713,675
|
|
Republic of Philippines, 6.375%, 2034
|
|
|
74,149,000
|
|
|
|
88,793,428
|
|
Republic of Philippines, 5.5%, 2026
|
|
|
71,607,000
|
|
|
|
81,094,928
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
245,455,364
|
|
18
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Poland - 0.9%
|
|
|
|
|
|
|
|
|
Eileme 2 AB, 11.625%, 2020 (n)
|
|
$
|
14,357,000
|
|
|
$
|
16,797,690
|
|
PKO Finance AB, 4.63%, 2022 (n)
|
|
|
15,849,000
|
|
|
|
15,397,304
|
|
Republic of Poland, 5.125%, 2021
|
|
|
13,718,000
|
|
|
|
14,918,325
|
|
Republic of Poland, 5%, 2022
|
|
|
14,607,000
|
|
|
|
15,666,008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
62,779,327
|
|
Qatar - 0.4%
|
|
|
|
|
|
|
|
|
Qtel International Finance Ltd., 3.875%, 2028
|
|
$
|
893,000
|
|
|
$
|
799,235
|
|
Qtel International Finance Ltd., 3.875%, 2028 (n)
|
|
|
5,716,000
|
|
|
|
5,115,820
|
|
Ras Laffan Liquefied Natural Gas Co. Ltd., 6.332%, 2027
|
|
|
3,260,000
|
|
|
|
3,697,521
|
|
Ras Laffan Liquefied Natural Gas Co. Ltd., 5.838%, 2027
|
|
|
3,105,000
|
|
|
|
3,322,350
|
|
Ras Laffan Liquefied Natural Gas Co. Ltd., 5.298%, 2020
|
|
|
4,410,392
|
|
|
|
4,741,172
|
|
Ras Laffan Liquefied Natural Gas Co. Ltd., 6.75%, 2019 (n)
|
|
|
2,707,000
|
|
|
|
3,192,907
|
|
Ras Laffan Liquefied Natural Gas Co. Ltd., 6.75%, 2019
|
|
|
5,611,000
|
|
|
|
6,618,175
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
27,487,180
|
|
Romania - 1.4%
|
|
|
|
|
|
|
|
|
Republic of Romania, 4.375%, 2023 (n)
|
|
$
|
41,238,000
|
|
|
$
|
39,598,790
|
|
Republic of Romania, 4.375%, 2023
|
|
|
26,950,000
|
|
|
|
25,878,738
|
|
Republic of Romania, 6.75%, 2022
|
|
|
15,820,000
|
|
|
|
17,840,214
|
|
Republic of Romania, 6.75%, 2022 (n)
|
|
|
9,768,000
|
|
|
|
11,015,374
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
94,333,116
|
|
Russia - 10.2%
|
|
|
|
|
|
|
|
|
Alfa Bank, 7.5%, 2019 (n)
|
|
$
|
15,797,000
|
|
|
$
|
16,547,358
|
|
Brunswick Rail Finance Ltd., 6.5%, 2017 (n)
|
|
|
6,931,000
|
|
|
|
6,861,690
|
|
Far Eastern Shipping Co., 8%, 2018 (n)
|
|
|
16,368,000
|
|
|
|
15,385,920
|
|
Far Eastern Shipping Co., 8.75%, 2020 (n)
|
|
|
8,112,000
|
|
|
|
7,625,280
|
|
Gaz Capital S.A., 7.288%, 2037
|
|
|
9,531,000
|
|
|
|
10,317,308
|
|
Gaz Capital S.A., 5.999%, 2021 (n)
|
|
|
21,840,000
|
|
|
|
22,973,059
|
|
Gaz Capital S.A., 4.95%, 2022 (n)
|
|
|
1,688,000
|
|
|
|
1,645,800
|
|
Gaz Capital S.A., 3.85%, 2020 (n)
|
|
|
25,256,000
|
|
|
|
23,930,060
|
|
Gaz Capital S.A., 4.95%, 2028 (n)
|
|
|
34,504,000
|
|
|
|
30,191,000
|
|
Gazprom Neft, 4.375%, 2022
|
|
|
1,148,000
|
|
|
|
1,062,130
|
|
Gazprom Neft, 4.375%, 2022 (n)
|
|
|
14,367,000
|
|
|
|
13,292,348
|
|
LUKOIL International Finance B.V., 4.563%, 2023
|
|
|
19,650,000
|
|
|
|
18,397,313
|
|
LUKOIL International Finance B.V., 3.416%, 2018 (n)
|
|
|
14,963,000
|
|
|
|
14,741,548
|
|
LUKOIL International Finance B.V., 4.563%, 2023 (n)
|
|
|
18,292,000
|
|
|
|
17,125,885
|
|
LUKOIL International Finance B.V., 6.656%, 2022
|
|
|
8,727,000
|
|
|
|
9,601,445
|
|
Metalloinvest Finance Ltd., 5.625%, 2020 (n)
|
|
|
18,197,000
|
|
|
|
17,014,195
|
|
Mobile TeleSystems OJSC, 8.625%, 2020
|
|
|
11,786,000
|
|
|
|
13,907,480
|
|
MTS International Funding Ltd., 5%, 2023 (n)
|
|
|
18,927,000
|
|
|
|
17,700,530
|
|
Novatek Finance Ltd., 6.604%, 2021
|
|
|
9,245,000
|
|
|
|
10,017,882
|
|
OAO TMK Capital S.A., 6.75%, 2020
|
|
|
500,000
|
|
|
|
485,625
|
|
19
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Russia - continued
|
|
|
|
|
|
|
|
|
OJSC Russian Agricultural Bank, 5.1%, 2018 (z)
|
|
$
|
12,769,000
|
|
|
$
|
12,812,102
|
|
Rosneft, 4.199%, 2022 (n)
|
|
|
10,340,000
|
|
|
|
9,538,650
|
|
Rosneft, 3.149%, 2017 (n)
|
|
|
13,575,000
|
|
|
|
13,422,281
|
|
Russian Federation, 7.5%, 2030
|
|
|
132,135,273
|
|
|
|
154,928,608
|
|
Russian Federation, 5%, 2020 (n)
|
|
|
25,100,000
|
|
|
|
27,170,750
|
|
Russian Federation, 5%, 2020
|
|
|
39,100,000
|
|
|
|
42,325,750
|
|
Russian Federation, 4.5%, 2022 (n)
|
|
|
22,200,000
|
|
|
|
22,866,000
|
|
Russian Federation, 5.625%, 2042 (n)
|
|
|
12,200,000
|
|
|
|
12,596,500
|
|
Sberbank of Russia, 6.125%, 2022
|
|
|
9,627,000
|
|
|
|
10,228,688
|
|
Sberbank of Russia, 6.125%, 2022 (n)
|
|
|
15,887,000
|
|
|
|
16,879,938
|
|
SIBUR Securities Ltd., 3.914%, 2018
|
|
|
6,861,000
|
|
|
|
6,535,103
|
|
SIBUR Securities Ltd., 3.914%, 2018 (n)
|
|
|
14,921,000
|
|
|
|
14,212,253
|
|
TMK Capital S.A., 6.75%, 2020 (n)
|
|
|
17,651,000
|
|
|
|
17,143,534
|
|
VimpelCom Ltd., 5.95%, 2023 (n)
|
|
|
7,220,000
|
|
|
|
6,714,600
|
|
VimpelCom Ltd., 7.504%, 2022
|
|
|
12,922,000
|
|
|
|
13,406,575
|
|
Vnesheconombank, 6.025%, 2022 (n)
|
|
|
14,104,000
|
|
|
|
14,809,200
|
|
VTB Capital S.A., 6%, 2017 (n)
|
|
|
15,601,000
|
|
|
|
16,342,048
|
|
VTB Capital S.A., 6%, 2017
|
|
|
3,296,000
|
|
|
|
3,452,560
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
684,208,996
|
|
Serbia - 0.2%
|
|
|
|
|
|
|
|
|
Republic of Serbia, 6.75%, 2024
|
|
$
|
1,381,756
|
|
|
$
|
1,333,671
|
|
Republic of Serbia, 7.25%, 2021 (n)
|
|
|
3,372,000
|
|
|
|
3,448,544
|
|
Republic of Serbia, 5.25%, 2017 (n)
|
|
|
8,466,000
|
|
|
|
8,319,538
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
13,101,753
|
|
Singapore - 0.3%
|
|
|
|
|
|
|
|
|
DBS Bank Ltd., 3.625% to 2017, FRN to 2022 (n)
|
|
$
|
18,230,000
|
|
|
$
|
18,526,201
|
|
|
|
|
South Africa - 0.8%
|
|
|
|
|
|
|
|
|
Eskom Holdings SOC Ltd., 6.75%, 2023 (z)
|
|
$
|
15,118,000
|
|
|
$
|
15,044,141
|
|
Myriad International Holdings B.V., 6%, 2020 (z)
|
|
|
14,551,000
|
|
|
|
15,023,908
|
|
Myriad International Holdings B.V., 6.375%, 2017 (n)
|
|
|
2,897,000
|
|
|
|
3,124,994
|
|
Republic of South Africa, 6.875%, 2019
|
|
|
5,645,000
|
|
|
|
6,491,750
|
|
Republic of South Africa, 4.665%, 2024
|
|
|
6,775,000
|
|
|
|
6,537,875
|
|
Transnet SOC Ltd., 4%, 2022 (n)
|
|
|
9,648,000
|
|
|
|
8,367,710
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
54,590,378
|
|
Sri Lanka - 0.4%
|
|
|
|
|
|
|
|
|
Bank of Ceylon, 6.875%, 2017 (n)
|
|
$
|
1,803,000
|
|
|
$
|
1,857,090
|
|
Bank of Ceylon, 6.875%, 2017
|
|
|
6,849,000
|
|
|
|
7,054,470
|
|
Republic of Sri Lanka, 6.25%, 2020 (n)
|
|
|
7,550,000
|
|
|
|
7,568,875
|
|
Republic of Sri Lanka, 6.25%, 2021 (n)
|
|
|
3,950,000
|
|
|
|
3,950,000
|
|
Republic of Sri Lanka, 6.25%, 2020
|
|
|
2,455,000
|
|
|
|
2,461,138
|
|
20
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Sri Lanka - continued
|
|
|
|
|
|
|
|
|
Republic of Sri Lanka, 6.25%, 2021
|
|
$
|
3,052,000
|
|
|
$
|
3,052,000
|
|
Republic of Sri Lanka, 5.875%, 2022 (n)
|
|
|
3,569,000
|
|
|
|
3,426,240
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
29,369,813
|
|
Supranational - 0.1%
|
|
|
|
|
|
|
|
|
Eurasian Development Bank, 4.767%, 2022 (n)
|
|
$
|
10,531,000
|
|
|
$
|
9,925,468
|
|
|
|
|
Thailand - 0.2%
|
|
|
|
|
|
|
|
|
PTT PLC, 3.375%, 2022 (n)
|
|
$
|
11,988,000
|
|
|
$
|
11,217,339
|
|
|
|
|
Trinidad & Tobago - 0.3%
|
|
|
|
|
|
|
|
|
Petroleum Co. of Trinidad & Tobago Ltd., 6%, 2022
|
|
$
|
11,463,750
|
|
|
$
|
11,979,619
|
|
Petroleum Co. of Trinidad & Tobago Ltd., 9.75%, 2019 (n)
|
|
|
2,286,000
|
|
|
|
2,857,500
|
|
Petroleum Co. of Trinidad & Tobago Ltd., 9.75%, 2019
|
|
|
2,583,000
|
|
|
|
3,228,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
18,065,869
|
|
Turkey - 7.0%
|
|
|
|
|
|
|
|
|
Arcelik A.S., 5%, 2023 (n)
|
|
$
|
17,877,000
|
|
|
$
|
15,821,145
|
|
Finansbank A.S., 5.15%, 2017
|
|
|
7,154,000
|
|
|
|
6,993,035
|
|
Finansbank A.S., 5.5%, 2016
|
|
|
6,386,000
|
|
|
|
6,386,000
|
|
Republic of Turkey, 7%, 2020
|
|
|
49,040,000
|
|
|
|
56,150,800
|
|
Republic of Turkey, 7.375%, 2025
|
|
|
52,829,000
|
|
|
|
60,753,350
|
|
Republic of Turkey, 6.75%, 2018
|
|
|
14,367,000
|
|
|
|
16,126,958
|
|
Republic of Turkey, 7%, 2019
|
|
|
23,652,000
|
|
|
|
26,963,280
|
|
Republic of Turkey, 7.5%, 2019
|
|
|
40,749,000
|
|
|
|
47,676,330
|
|
Republic of Turkey, 5.625%, 2021
|
|
|
47,374,000
|
|
|
|
49,979,570
|
|
Republic of Turkey, 5.125%, 2022
|
|
|
37,872,000
|
|
|
|
38,345,400
|
|
Republic of Turkey, 6.25%, 2022
|
|
|
49,566,000
|
|
|
|
54,026,940
|
|
Republic of Turkey, 6%, 2041
|
|
|
64,095,000
|
|
|
|
61,851,675
|
|
Turkiye Halk Bankasi A.S., 4.875%, 2017
|
|
|
1,601,000
|
|
|
|
1,576,985
|
|
Turkiye Halk Bankasi A.S., 3.875%, 2020
|
|
|
13,705,000
|
|
|
|
11,991,875
|
|
Turkiye Ihracat Kredi Bankasi A.S., 5.875%, 2019 (n)
|
|
|
14,015,000
|
|
|
|
14,295,300
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
468,938,643
|
|
Ukraine - 1.6%
|
|
|
|
|
|
|
|
|
Biz Finance PLC, 8.375%, 2015
|
|
$
|
36,288,000
|
|
|
$
|
35,108,640
|
|
Government of Ukraine, 6.25%, 2016 (n)
|
|
|
10,046,000
|
|
|
|
9,418,125
|
|
Government of Ukraine, 6.25%, 2016
|
|
|
3,381,000
|
|
|
|
3,169,688
|
|
Government of Ukraine, 9.25%, 2017 (n)
|
|
|
12,593,000
|
|
|
|
12,576,881
|
|
Naftogaz Ukraine, 9.5%, 2014
|
|
|
28,626,000
|
|
|
|
28,590,218
|
|
State Export-Import Bank of Ukraine, 8.75%, 2018
|
|
|
16,473,000
|
|
|
|
14,660,970
|
|
Ukrainian State Railways, 9.5%, 2018 (n)
|
|
|
7,021,000
|
|
|
|
6,582,188
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
110,106,710
|
|
21
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
United Arab Emirates - 0.3%
|
|
|
|
|
|
|
|
|
Dolphin Energy Ltd., 5.5%, 2021 (n)
|
|
$
|
17,460,000
|
|
|
$
|
19,206,000
|
|
Dolphin Energy Ltd., 5.5%, 2021
|
|
|
2,137,000
|
|
|
|
2,350,700
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
21,556,700
|
|
United States - 1.3%
|
|
|
|
|
|
|
|
|
U.S. Treasury Notes, 1.75%, 2022 (f)
|
|
$
|
89,535,000
|
|
|
$
|
84,715,510
|
|
|
|
|
Uruguay - 0.9%
|
|
|
|
|
|
|
|
|
Navios South American Logistics, Inc., 9.25%, 2019 (n)
|
|
$
|
1,382,000
|
|
|
$
|
1,489,105
|
|
Navios South American Logistics, Inc., 9.25%, 2019
|
|
|
7,016,000
|
|
|
|
7,559,740
|
|
Republic of Uruguay, 4.125%, 2045
|
|
|
25,170,404
|
|
|
|
20,262,175
|
|
Republic of Uruguay, 8%, 2022
|
|
|
13,983,534
|
|
|
|
18,108,677
|
|
Republic of Uruguay, 7.625%, 2036
|
|
|
2,201,000
|
|
|
|
2,861,300
|
|
Republic of Uruguay, 6.875%, 2025
|
|
|
8,611,000
|
|
|
|
10,462,365
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
60,743,362
|
|
Venezuela - 9.2%
|
|
|
|
|
|
|
|
|
Petroleos de Venezuela S.A., 8.5%, 2017
|
|
$
|
28,926,000
|
|
|
$
|
26,611,920
|
|
Republic of Venezuela, 7%, 2018
|
|
|
29,373,000
|
|
|
|
24,746,753
|
|
Republic of Venezuela, 7.65%, 2025
|
|
|
43,200,000
|
|
|
|
32,184,000
|
|
Republic of Venezuela, 5.75%, 2016
|
|
|
54,945,000
|
|
|
|
49,725,225
|
|
Republic of Venezuela, 9%, 2023
|
|
|
17,633,000
|
|
|
|
14,591,308
|
|
Republic of Venezuela, 9.25%, 2027
|
|
|
47,467,000
|
|
|
|
39,397,610
|
|
Republic of Venezuela, 7.75%, 2019
|
|
|
118,111,000
|
|
|
|
99,213,240
|
|
Republic of Venezuela, 8.25%, 2024
|
|
|
54,865,000
|
|
|
|
42,246,050
|
|
Republic of Venezuela, 12.75%, 2022
|
|
|
79,721,000
|
|
|
|
81,315,420
|
|
Republic of Venezuela, 7%, 2038
|
|
|
26,642,000
|
|
|
|
17,783,535
|
|
Republic of Venezuela, 11.95%, 2031
|
|
|
97,240,000
|
|
|
|
91,891,800
|
|
Republic of Venezuela, 11.75%, 2026
|
|
|
102,263,000
|
|
|
|
96,638,535
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
616,345,396
|
|
Vietnam - 0.3%
|
|
|
|
|
|
|
|
|
Republic of Vietnam, 6.875%, 2016
|
|
$
|
2,309,000
|
|
|
$
|
2,482,175
|
|
Republic of Vietnam, 6.75%, 2020 (n)
|
|
|
189,000
|
|
|
|
206,955
|
|
Republic of Vietnam, 6.75%, 2020
|
|
|
15,184,000
|
|
|
|
16,626,450
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
19,315,580
|
|
Total Bonds (Identified Cost, $6,062,693,654)
|
|
|
|
|
|
$
|
6,065,014,782
|
|
|
|
|
Loans - 0.1%
|
|
|
|
|
|
|
|
|
Brazil - 0.1%
|
|
|
|
|
|
|
|
|
State of Santa Catarina, 4%, 2022
(Identified Cost, $12,263,800)
|
|
$
|
11,548,000
|
|
|
$
|
11,571,096
|
|
22
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Money Market Funds - 8.3%
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
MFS Institutional Money Market Portfolio, 0.08%,
at Cost and Net Asset Value (v)
|
|
|
557,510,082
|
|
|
$
|
557,510,082
|
|
Total Investments (Identified Cost, $6,632,467,536)
|
|
|
$
|
6,634,095,960
|
|
|
|
|
Other Assets, Less Liabilities - 1.4%
|
|
|
|
|
|
|
91,496,058
|
|
Net Assets - 100.0%
|
|
|
|
|
|
$
|
6,725,592,018
|
|
(f)
|
All or a portion of the security has been segregated as collateral for open futures contracts.
|
(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 $2,197,034,118, representing 32.7% of net assets.
|
(v)
|
Underlying affiliated fund 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
|
|
Brazil Minas SPE, 5.333%, 2028
|
|
3/22/13
|
|
|
$15,761,011
|
|
|
|
$13,876,800
|
|
Eskom Holdings SOC Ltd., 6.75%, 2023
|
|
7/30/13
|
|
|
14,982,996
|
|
|
|
15,044,141
|
|
Kingdom of Bahrain, 6.125%, 2023
|
|
7/24/13
|
|
|
16,318,258
|
|
|
|
16,508,301
|
|
Myriad International Holdings B.V., 6%, 2020
|
|
7/11/13
|
|
|
14,551,000
|
|
|
|
15,023,908
|
|
OJSC Russian Agricultural Bank, 5.1%, 2018
|
|
7/18/13
|
|
|
12,769,000
|
|
|
|
12,812,102
|
|
Odebrecht Offshore Drilling Finance Ltd., 6.75%, 2022
|
|
7/26/13
|
|
|
24,320,541
|
|
|
|
24,273,356
|
|
Petroleos Mexicanos, 4.875%, 2024
|
|
7/11/13
|
|
|
12,518,872
|
|
|
|
12,709,840
|
|
Petroleos Mexicanos, FRN, 2.286%, 2018
|
|
7/11/13
|
|
|
12,881,000
|
|
|
|
13,203,025
|
|
Republic of Indonesia, 5.375%, 2023
|
|
7/10/13-7/24/13
|
|
|
46,062,433
|
|
|
|
45,753,608
|
|
Republic of Nigeria, 6.375%, 2023
|
|
7/02/13-7/08/13
|
|
|
13,027,694
|
|
|
|
13,452,368
|
|
Transelec S.A., 4.625%, 2023
|
|
7/23/13
|
|
|
17,086,933
|
|
|
|
17,016,369
|
|
Total Restricted Securities
|
|
|
|
|
|
|
|
|
$199,673,818
|
|
% of Net assets
|
|
|
|
|
|
|
|
|
3%
|
|
The following abbreviations are used in this report and are defined:
FRN
|
|
Floating Rate Note. Interest rate resets periodically and may not be the rate reported at period end.
|
PLC
|
|
Public Limited Company
|
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:
23
Portfolio of Investments continued
Derivative Contracts at 7/31/13
Forward Foreign Currency Exchange Contracts at 7/31/13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Currency
|
|
Counter-
party
|
|
Contracts
to
Deliver/
Receive
|
|
|
Settlement
Date Range
|
|
In
Exchange
For
|
|
|
Contracts
at Value
|
|
|
Net
Unrealized
Appreciation
(Depreciation)
|
|
Asset Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SELL
|
|
BRL
|
|
JPMorgan Chase Bank N.A.
|
|
|
18,097,000
|
|
|
8/02/13
|
|
|
$7,993,375
|
|
|
|
$7,932,584
|
|
|
|
$60,791
|
|
SELL
|
|
COP
|
|
Deutsche Bank AG
|
|
|
23,183,380,305
|
|
|
8/23/13
|
|
|
12,237,203
|
|
|
|
12,208,104
|
|
|
|
29,099
|
|
BUY
|
|
EUR
|
|
Deutsche Bank AG
|
|
|
3,985,000
|
|
|
10/18/13
|
|
|
5,239,805
|
|
|
|
5,302,888
|
|
|
|
63,083
|
|
BUY
|
|
EUR
|
|
UBS AG
|
|
|
6,668,000
|
|
|
10/18/13
|
|
|
8,772,347
|
|
|
|
8,873,189
|
|
|
|
100,842
|
|
BUY
|
|
JPY
|
|
Barclays Bank PLC
|
|
|
338,287,000
|
|
|
10/18/13
|
|
|
3,405,674
|
|
|
|
3,456,479
|
|
|
|
50,805
|
|
BUY
|
|
JPY
|
|
Deutsche Bank AG
|
|
|
685,961,000
|
|
|
10/18/13
|
|
|
6,918,940
|
|
|
|
7,008,870
|
|
|
|
89,930
|
|
BUY
|
|
KRW
|
|
Barclays Bank PLC
|
|
|
26,860,522,000
|
|
|
8/01/13
|
|
|
23,424,193
|
|
|
|
23,909,493
|
|
|
|
485,300
|
|
BUY
|
|
KRW
|
|
JPMorgan Chase Bank N.A.
|
|
|
11,180,771,000
|
|
|
8/01/13
|
|
|
9,932,724
|
|
|
|
9,952,396
|
|
|
|
19,672
|
|
SELL
|
|
KRW
|
|
Barclays Bank PLC
|
|
|
26,860,522,000
|
|
|
8/01/13
|
|
|
24,120,440
|
|
|
|
23,909,493
|
|
|
|
210,947
|
|
SELL
|
|
KRW
|
|
JPMorgan Chase Bank N.A.
|
|
|
11,180,771,000
|
|
|
8/01/13
|
|
|
10,040,204
|
|
|
|
9,952,396
|
|
|
|
87,808
|
|
BUY
|
|
MXN
|
|
Deutsche Bank AG
|
|
|
571,235,999
|
|
|
8/15/13
|
|
|
44,339,605
|
|
|
|
44,666,339
|
|
|
|
326,734
|
|
BUY
|
|
MXN
|
|
JPMorgan Chase Bank N.A.
|
|
|
198,549,481
|
|
|
9/03/13
|
|
|
15,158,185
|
|
|
|
15,496,363
|
|
|
|
338,178
|
|
SELL
|
|
MXN
|
|
Credit Suisse Group
|
|
|
68,144,000
|
|
|
9/03/13
|
|
|
5,417,240
|
|
|
|
5,318,494
|
|
|
|
98,746
|
|
SELL
|
|
MXN
|
|
UBS AG
|
|
|
186,706,000
|
|
|
9/03/13
|
|
|
14,825,231
|
|
|
|
14,572,005
|
|
|
|
253,226
|
|
SELL
|
|
MYR
|
|
Deutsche Bank AG
|
|
|
58,846,000
|
|
|
8/23/13
|
|
|
18,392,249
|
|
|
|
18,118,692
|
|
|
|
273,557
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$2,488,718
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24
Portfolio of Investments continued
Forward Foreign Currency Exchange Contracts at 7/31/13 - continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Currency
|
|
Counter-
party
|
|
Contracts
to
Deliver/
Receive
|
|
|
Settlement
Date Range
|
|
In
Exchange
For
|
|
|
Contracts
at Value
|
|
|
Net
Unrealized
Appreciation
(Depreciation)
|
|
Liability Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
BUY
|
|
BRL
|
|
JPMorgan Chase Bank N.A.
|
|
|
36,194,000
|
|
|
8/02/13-9/04/13
|
|
|
$16,057,909
|
|
|
|
$15,809,282
|
|
|
|
$(248,627
|
)
|
SELL
|
|
BRL
|
|
JPMorgan Chase Bank N.A.
|
|
|
18,171,000
|
|
|
9/04/13
|
|
|
7,888,088
|
|
|
|
7,908,907
|
|
|
|
(20,819
|
)
|
SELL
|
|
EUR
|
|
Barclays Bank PLC
|
|
|
15,753,000
|
|
|
10/18/13
|
|
|
20,198,812
|
|
|
|
20,962,710
|
|
|
|
(763,898
|
)
|
SELL
|
|
JPY
|
|
Merrill Lynch International Bank
|
|
|
1,684,449,000
|
|
|
10/18/13
|
|
|
16,988,553
|
|
|
|
17,211,013
|
|
|
|
(222,460
|
)
|
BUY
|
|
KRW
|
|
Barclays Bank PLC
|
|
|
24,194,599,000
|
|
|
8/01/13
|
|
|
21,726,472
|
|
|
|
21,536,461
|
|
|
|
(190,011
|
)
|
BUY
|
|
KRW
|
|
JPMorgan Chase Bank N.A.
|
|
|
13,914,340,000
|
|
|
8/01/13
|
|
|
12,494,917
|
|
|
|
12,385,642
|
|
|
|
(109,275
|
)
|
SELL
|
|
KRW
|
|
Barclays Bank PLC
|
|
|
24,194,599,000
|
|
|
8/01/13
|
|
|
21,265,423
|
|
|
|
21,536,461
|
|
|
|
(271,038
|
)
|
SELL
|
|
KRW
|
|
JPMorgan Chase Bank N.A.
|
|
|
13,914,340,000
|
|
|
8/01/13
|
|
|
12,232,387
|
|
|
|
12,385,642
|
|
|
|
(153,255
|
)
|
BUY
|
|
MXN
|
|
Credit Suisse Group
|
|
|
94,755,000
|
|
|
9/19/13
|
|
|
7,507,701
|
|
|
|
7,384,805
|
|
|
|
(122,896
|
)
|
BUY
|
|
MXN
|
|
JPMorgan Chase Bank N.A.
|
|
|
23,337,000
|
|
|
9/19/13
|
|
|
1,848,827
|
|
|
|
1,818,787
|
|
|
|
(30,040
|
)
|
BUY
|
|
MXN
|
|
UBS AG
|
|
|
229,200,000
|
|
|
9/19/13-10/18/13
|
|
|
18,043,819
|
|
|
|
17,835,643
|
|
|
|
(208,176
|
)
|
BUY
|
|
MYR
|
|
Barclays Bank PLC
|
|
|
56,371,000
|
|
|
8/13/13
|
|
|
18,884,757
|
|
|
|
17,366,330
|
|
|
|
(1,518,427
|
)
|
BUY
|
|
RUB
|
|
JPMorgan Chase Bank N.A.
|
|
|
986,805,000
|
|
|
8/16/13-9/18/13
|
|
|
30,299,679
|
|
|
|
29,787,205
|
|
|
|
(512,474
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$(4,371,396
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25
Portfolio of Investments continued
Futures Contracts Outstanding at 7/31/13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Currency
|
|
|
Contracts
|
|
|
Value
|
|
Expiration
Date
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
Liability Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Futures
|
|
|
|
|
|
|
|
|
U.S. Treasury Note 10 yr (Long)
|
|
|
USD
|
|
|
|
348
|
|
|
$44,000,250
|
|
|
September - 2013
|
|
|
|
$(1,037,062
|
)
|
U.S. Treasury Bond 30 yr (Long)
|
|
|
USD
|
|
|
|
130
|
|
|
17,428,125
|
|
|
September - 2013
|
|
|
|
(862,716
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$(1,899,778
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap Agreements at 7/31/13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expiration
|
|
|
|
|
Notional
Amount
|
|
|
Counterparty
|
|
Cash Flows
to Receive
|
|
Cash Flows
to Pay
|
|
Fair Value
|
|
Liability Derivatives
|
|
|
|
|
|
|
|
|
Credit Default Swap Agreements
|
|
|
|
|
|
|
9/20/23
|
|
|
USD
|
|
|
|
3,500,000
|
|
|
Barclays Bank PLC (a)
|
|
1.00% (fixed rate)
|
|
(1)
|
|
|
$(359,180
|
)
|
9/20/23
|
|
|
USD
|
|
|
|
2,919,000
|
|
|
Deutsche Bank AG (b)
|
|
1.00% (fixed rate)
|
|
(1)
|
|
|
(299,556
|
)
|
9/20/23
|
|
|
USD
|
|
|
|
31,365,000
|
|
|
Goldman Sachs International (c)
|
|
1.00% (fixed rate)
|
|
(1)
|
|
|
(3,218,764
|
)
|
9/20/23
|
|
|
USD
|
|
|
|
11,684,000
|
|
|
Morgan Stanley Capital Services, Inc. (d)
|
|
1.00% (fixed rate)
|
|
(1)
|
|
|
(1,199,045
|
)
|
9/20/23
|
|
|
USD
|
|
|
|
4,389,000
|
|
|
Deutsche Bank AG (e)
|
|
1.00% (fixed rate)
|
|
(2)
|
|
|
(638,335
|
)
|
9/20/23
|
|
|
USD
|
|
|
|
22,641,000
|
|
|
Merrill Lynch International (f)
|
|
1.00% (fixed rate)
|
|
(2)
|
|
|
(3,292,902
|
)
|
9/20/23
|
|
|
USD
|
|
|
|
2,300,000
|
|
|
Morgan Stanley Capital Services, Inc. (g)
|
|
1.00% (fixed rate)
|
|
(2)
|
|
|
(334,511
|
)
|
9/20/23
|
|
|
USD
|
|
|
|
55,303,000
|
|
|
Merrill Lynch International (h)
|
|
1.00% (fixed rate)
|
|
(3)
|
|
|
(6,150,042
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$(15,492,335
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Fund, as protection seller, to pay notional amount upon a defined credit event by Federal Republic of Brazil, 12.25%, 3/06/30, a BBB rated bond. The fund entered into the
contract to gain issuer exposure.
|
(2)
|
Fund, as protection seller, to pay notional amount upon a defined credit event by Republic of Indonesia, 6.875%, 3/09/17, a BB+ rated bond. The fund entered into the
contract to gain issuer exposure.
|
(3)
|
Fund, as protection seller, to pay notional amount upon a defined credit event by Russian Federation, 7.5%, 3/31/30, a BBB rated bond. The fund entered into the contract to gain
issuer exposure.
|
(a)
|
Net unamortized premiums received by the fund amounted to $394,610.
|
(b)
|
Net unamortized premiums received by the fund amounted to $329,104.
|
(c)
|
Net unamortized premiums received by the fund amounted to $3,536,265.
|
(d)
|
Net unamortized premiums received by the fund amounted to $1,317,319.
|
(e)
|
Net unamortized premiums received by the fund amounted to $580,698.
|
(f)
|
Net unamortized premiums received by the fund amounted to $2,995,573.
|
(g)
|
Net unamortized premiums received by the fund amounted to $304,307.
|
(h)
|
Net unamortized premiums received by the fund amounted to $6,880,867.
|
26
Portfolio of Investments continued
The credit ratings presented here are an indicator of the current payment/performance
risk of the related swap agreement, the reference obligation for which may be either a single security or, in the case of a credit default index, a basket of securities issued by corporate or sovereign issuers. Ratings are assigned to each reference
security, including each individual security within a reference basket of securities, utilizing ratings from Moodys, Fitch, and Standard & Poors 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. Ratings are shown in the S&P and Fitch scale (e.g., AAA). The ratings
for a credit default index are calculated by MFS as a weighted average of the external credit ratings of the individual securities that compose the indexs reference basket of securities.
At July 31, 2013, the fund had cash collateral of $15,160,000 and other liquid securities with an aggregate value of $899,808 to cover any commitments for certain derivative contracts. Cash collateral is
comprised of Restricted cash in the Statement of Assets and Liabilities.
See Notes to Financial Statements
27
Financial Statements
STATEMENT OF ASSETS AND LIABILITIES
At 7/31/13
This statement represents your funds balance sheet, which details the assets and
liabilities comprising the total value of the fund.
|
|
|
|
|
Assets
|
|
|
|
|
Investments-
|
|
|
|
|
Non-affiliated issuers, at value (identified cost, $6,074,957,454)
|
|
|
$6,076,585,878
|
|
Underlying affiliated funds, at cost and value
|
|
|
557,510,082
|
|
Total investments, at value (identified cost, $6,632,467,536)
|
|
|
$6,634,095,960
|
|
Cash
|
|
|
18,467,184
|
|
Restricted cash
|
|
|
15,160,000
|
|
Receivables for
|
|
|
|
|
Forward foreign currency exchange contracts
|
|
|
2,488,718
|
|
Daily variation margin on open futures contracts
|
|
|
25,750
|
|
Investments sold
|
|
|
21,214,496
|
|
Fund shares sold
|
|
|
64,288,059
|
|
Interest
|
|
|
102,711,157
|
|
Other assets
|
|
|
15,362
|
|
Total assets
|
|
|
$6,858,466,686
|
|
Liabilities
|
|
|
|
|
Payables for
|
|
|
|
|
Distributions
|
|
|
$3,247,433
|
|
Forward foreign currency exchange contracts
|
|
|
4,371,396
|
|
Investments purchased
|
|
|
78,378,937
|
|
Fund shares reacquired
|
|
|
20,503,240
|
|
Swaps, at value (net unamortized premiums received, $16,338,743)
|
|
|
15,492,335
|
|
Payable to affiliates
|
|
|
|
|
Investment adviser
|
|
|
247,621
|
|
Shareholder servicing costs
|
|
|
5,213,281
|
|
Distribution and service fees
|
|
|
57,025
|
|
Payable for independent Trustees compensation
|
|
|
499
|
|
Deferred country tax expense payable
|
|
|
3,772,655
|
|
Accrued expenses and other liabilities
|
|
|
1,590,246
|
|
Total liabilities
|
|
|
$132,874,668
|
|
Net assets
|
|
|
$6,725,592,018
|
|
Net assets consist of
|
|
|
|
|
Paid-in capital
|
|
|
$6,780,964,433
|
|
Unrealized appreciation (depreciation) on investments and translation of assets and liabilities in foreign currencies (net of $983,529
deferred country tax)
|
|
|
(2,299,999
|
)
|
Accumulated distributions in excess of net realized gain on investments and foreign currency
|
|
|
(37,894,429
|
)
|
Accumulated distributions in excess of net investment income
|
|
|
(15,177,987
|
)
|
Net assets
|
|
|
$6,725,592,018
|
|
Shares of beneficial interest outstanding
|
|
|
454,303,990
|
|
28
Statement of Assets and Liabilities continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets
|
|
|
Shares
outstanding
|
|
|
Net asset value
per share (a)
|
|
Class A
|
|
|
$1,759,552,208
|
|
|
|
118,745,180
|
|
|
|
$14.82
|
|
Class B
|
|
|
58,752,157
|
|
|
|
3,949,173
|
|
|
|
14.88
|
|
Class C
|
|
|
508,560,533
|
|
|
|
34,220,108
|
|
|
|
14.86
|
|
Class I
|
|
|
3,793,124,789
|
|
|
|
256,532,514
|
|
|
|
14.79
|
|
Class R1
|
|
|
933,665
|
|
|
|
62,747
|
|
|
|
14.88
|
|
Class R2
|
|
|
28,337,839
|
|
|
|
1,905,197
|
|
|
|
14.87
|
|
Class R3
|
|
|
52,065,597
|
|
|
|
3,511,421
|
|
|
|
14.83
|
|
Class R4
|
|
|
103,936,518
|
|
|
|
7,010,460
|
|
|
|
14.83
|
|
Class R5
|
|
|
420,328,712
|
|
|
|
28,367,190
|
|
|
|
14.82
|
|
(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
$15.56 [100 / 95.25 x $14.82]. On sales of $50,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A, Class B, and Class C shares.
Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R5.
|
See Notes to Financial
Statements
29
Financial Statements
STATEMENT OF OPERATIONS
Year ended 7/31/13
This statement describes how much your fund earned in investment income and
accrued in expenses. It also describes any gains and/or losses generated by fund operations.
|
|
|
|
|
Net investment income
|
|
|
|
|
Income
|
|
|
|
|
Interest
|
|
|
$359,165,211
|
|
Dividends from underlying affiliated funds
|
|
|
728,239
|
|
Total investment income
|
|
|
$359,893,450
|
|
Expenses
|
|
|
|
|
Management fee
|
|
|
$47,436,397
|
|
Distribution and service fees
|
|
|
10,726,505
|
|
Shareholder servicing costs
|
|
|
7,722,833
|
|
Administrative services fee
|
|
|
525,353
|
|
Independent Trustees compensation
|
|
|
84,262
|
|
Custodian fee
|
|
|
579,936
|
|
Shareholder communications
|
|
|
2,979,410
|
|
Audit and tax fees
|
|
|
69,390
|
|
Legal fees
|
|
|
126,430
|
|
Miscellaneous
|
|
|
789,428
|
|
Total expenses
|
|
|
$71,039,944
|
|
Fees paid indirectly
|
|
|
(24,835
|
)
|
Reduction of expenses by investment adviser and/or distributor
|
|
|
(2,144,951
|
)
|
Net expenses
|
|
|
$68,870,158
|
|
Net investment income
|
|
|
$291,023,292
|
|
Realized and unrealized gain (loss) on investments and
foreign currency
|
|
|
|
|
Realized gain (loss) (identified cost basis)
|
|
|
|
|
Investments(net of $1,757,873 country tax)
|
|
|
$75,852,445
|
|
Futures contracts
|
|
|
(6,255,978
|
)
|
Swap agreements
|
|
|
(6,511,347
|
)
|
Foreign currency
|
|
|
(5,181,052
|
)
|
Net realized gain (loss) on investments and foreign currency
|
|
|
$57,904,068
|
|
Change in unrealized appreciation (depreciation)
|
|
|
|
|
Investments(net of $5,450,422 decrease in deferred country tax)
|
|
|
$(466,711,230
|
)
|
Futures contracts
|
|
|
(2,986,997
|
)
|
Swap agreements
|
|
|
846,408
|
|
Translation of assets and liabilities in foreign currencies
|
|
|
115,625
|
|
Net unrealized gain (loss) on investments and foreign currency translation
|
|
|
$(468,736,194
|
)
|
Net realized and unrealized gain (loss) on investments and foreign currency
|
|
|
$(410,832,126
|
)
|
Change in net assets from operations
|
|
|
$(119,808,834
|
)
|
See Notes to Financial Statements
30
Financial Statements
STATEMENTS OF CHANGES IN NET ASSETS
These statements describe the increases and/or decreases in net assets resulting from operations, any distributions, and any shareholder transactions.
|
|
|
|
|
|
|
|
|
|
|
Years ended 7/31
|
|
|
|
2013
|
|
|
2012
|
|
Change in net assets
|
|
|
|
|
|
|
From operations
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
$291,023,292
|
|
|
|
$192,024,844
|
|
Net realized gain (loss) on investments and foreign currency
|
|
|
57,904,068
|
|
|
|
11,017,443
|
|
Net unrealized gain (loss) on investments and foreign
currency translation
|
|
|
(468,736,194
|
)
|
|
|
261,489,932
|
|
Change in net assets from operations
|
|
|
$(119,808,834
|
)
|
|
|
$464,532,219
|
|
Distributions declared to shareholders
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(317,106,262
|
)
|
|
|
$(211,272,752
|
)
|
From net realized gain on investments
|
|
|
(42,452,967
|
)
|
|
|
(11,545,565
|
)
|
Total distributions declared to shareholders
|
|
|
$(359,559,229
|
)
|
|
|
$(222,818,317
|
)
|
Change in net assets from fund share transactions
|
|
|
$1,803,725,681
|
|
|
|
$1,780,313,269
|
|
Total change in net assets
|
|
|
$1,324,357,618
|
|
|
|
$2,022,027,171
|
|
Net assets
|
|
|
|
|
|
|
|
|
At beginning of period
|
|
|
5,401,234,400
|
|
|
|
3,379,207,229
|
|
At end of period (including accumulated distributions in excess of net investment income of
$15,177,987 and $3,793,446, respectively)
|
|
|
$6,725,592,018
|
|
|
|
$5,401,234,400
|
|
See Notes to Financial Statements
31
Financial Statements
FINANCIAL HIGHLIGHTS
The financial highlights table is intended to help you understand the funds financial performance for the past 5 years (or life of a particular share class, if shorter). Certain information reflects financial
results for a single fund share. The total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the fund share class (assuming reinvestment of all distributions) held for the entire period.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A
|
|
Years ended 7/31
|
|
|
|
2013
|
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
Net asset value, beginning of period
|
|
|
$15.72
|
|
|
|
$15.01
|
|
|
|
$14.80
|
|
|
|
$13.16
|
|
|
|
$13.43
|
|
Income (loss) from investment operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (d)
|
|
|
$0.67
|
|
|
|
$0.70
|
|
|
|
$0.71
|
|
|
|
$0.75
|
|
|
|
$0.79
|
|
Net realized and unrealized gain (loss)
on investments and foreign currency
|
|
|
(0.72
|
)
|
|
|
0.84
|
|
|
|
0.54
|
|
|
|
1.74
|
|
|
|
(0.18
|
)
|
Total from investment operations
|
|
|
$(0.05
|
)
|
|
|
$1.54
|
|
|
|
$1.25
|
|
|
|
$2.49
|
|
|
|
$0.61
|
|
Less distributions declared to shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(0.74
|
)
|
|
|
$(0.78
|
)
|
|
|
$(0.73
|
)
|
|
|
$(0.85
|
)
|
|
|
$(0.88
|
)
|
From net realized gain on investments
|
|
|
(0.11
|
)
|
|
|
(0.05
|
)
|
|
|
(0.31
|
)
|
|
|
|
|
|
|
|
|
Total distributions declared to shareholders
|
|
|
$(0.85
|
)
|
|
|
$(0.83
|
)
|
|
|
$(1.04
|
)
|
|
|
$(0.85
|
)
|
|
|
$(0.88
|
)
|
Net asset value, end of period (x)
|
|
|
$14.82
|
|
|
|
$15.72
|
|
|
|
$15.01
|
|
|
|
$14.80
|
|
|
|
$13.16
|
|
Total return (%) (r)(s)(t)(x)
|
|
|
(0.59
|
)
|
|
|
10.68
|
|
|
|
8.80
|
|
|
|
19.39
|
|
|
|
5.58
|
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses before expense reductions (f)
|
|
|
1.16
|
|
|
|
1.13
|
|
|
|
1.15
|
|
|
|
1.19
|
|
|
|
1.40
|
|
Expenses after expense reductions (f)
|
|
|
1.12
|
|
|
|
1.11
|
|
|
|
1.14
|
|
|
|
1.19
|
|
|
|
1.34
|
|
Net investment income
|
|
|
4.23
|
|
|
|
4.73
|
|
|
|
4.83
|
|
|
|
5.29
|
|
|
|
6.59
|
|
Portfolio turnover
|
|
|
66
|
|
|
|
52
|
|
|
|
80
|
|
|
|
100
|
|
|
|
109
|
|
Net assets at end of period (000 omitted)
|
|
|
$1,759,552
|
|
|
|
$1,269,864
|
|
|
|
$1,123,447
|
|
|
|
$1,014,705
|
|
|
|
$405,619
|
|
See Notes to Financial Statements
32
Financial Highlights continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class B
|
|
Years ended 7/31
|
|
|
|
2013
|
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
Net asset value, beginning of period
|
|
|
$15.78
|
|
|
|
$15.07
|
|
|
|
$14.85
|
|
|
|
$13.21
|
|
|
|
$13.48
|
|
Income (loss) from investment operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (d)
|
|
|
$0.56
|
|
|
|
$0.60
|
|
|
|
$0.61
|
|
|
|
$0.66
|
|
|
|
$0.71
|
|
Net realized and unrealized gain (loss)
on investments and foreign currency
|
|
|
(0.73
|
)
|
|
|
0.83
|
|
|
|
0.54
|
|
|
|
1.72
|
|
|
|
(0.19
|
)
|
Total from investment operations
|
|
|
$(0.17
|
)
|
|
|
$1.43
|
|
|
|
$1.15
|
|
|
|
$2.38
|
|
|
|
$0.52
|
|
Less distributions declared to shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(0.62
|
)
|
|
|
$(0.67
|
)
|
|
|
$(0.62
|
)
|
|
|
$(0.74
|
)
|
|
|
$(0.79
|
)
|
From net realized gain on investments
|
|
|
(0.11
|
)
|
|
|
(0.05
|
)
|
|
|
(0.31
|
)
|
|
|
|
|
|
|
|
|
Total distributions declared to shareholders
|
|
|
$(0.73
|
)
|
|
|
$(0.72
|
)
|
|
|
$(0.93
|
)
|
|
|
$(0.74
|
)
|
|
|
$(0.79
|
)
|
Net asset value, end of period (x)
|
|
|
$14.88
|
|
|
|
$15.78
|
|
|
|
$15.07
|
|
|
|
$14.85
|
|
|
|
$13.21
|
|
Total return (%) (r)(s)(t)(x)
|
|
|
(1.31
|
)
|
|
|
9.84
|
|
|
|
8.06
|
|
|
|
18.46
|
|
|
|
4.81
|
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses before expense reductions (f)
|
|
|
1.90
|
|
|
|
1.88
|
|
|
|
1.90
|
|
|
|
1.94
|
|
|
|
2.10
|
|
Expenses after expense reductions (f)
|
|
|
1.87
|
|
|
|
1.86
|
|
|
|
1.89
|
|
|
|
1.94
|
|
|
|
2.10
|
|
Net investment income
|
|
|
3.51
|
|
|
|
3.98
|
|
|
|
4.09
|
|
|
|
4.61
|
|
|
|
5.88
|
|
Portfolio turnover
|
|
|
66
|
|
|
|
52
|
|
|
|
80
|
|
|
|
100
|
|
|
|
109
|
|
Net assets at end of period (000 omitted)
|
|
|
$58,752
|
|
|
|
$57,860
|
|
|
|
$46,190
|
|
|
|
$33,123
|
|
|
|
$17,316
|
|
|
|
Class C
|
|
Years ended 7/31
|
|
|
|
2013
|
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
Net asset value, beginning of period
|
|
|
$15.76
|
|
|
|
$15.05
|
|
|
|
$14.84
|
|
|
|
$13.20
|
|
|
|
$13.48
|
|
Income (loss) from investment operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (d)
|
|
|
$0.56
|
|
|
|
$0.59
|
|
|
|
$0.61
|
|
|
|
$0.63
|
|
|
|
$0.70
|
|
Net realized and unrealized gain (loss)
on investments and foreign currency
|
|
|
(0.73
|
)
|
|
|
0.84
|
|
|
|
0.53
|
|
|
|
1.75
|
|
|
|
(0.19
|
)
|
Total from investment operations
|
|
|
$(0.17
|
)
|
|
|
$1.43
|
|
|
|
$1.14
|
|
|
|
$2.38
|
|
|
|
$0.51
|
|
Less distributions declared to shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(0.62
|
)
|
|
|
$(0.67
|
)
|
|
|
$(0.62
|
)
|
|
|
$(0.74
|
)
|
|
|
$(0.79
|
)
|
From net realized gain on investments
|
|
|
(0.11
|
)
|
|
|
(0.05
|
)
|
|
|
(0.31
|
)
|
|
|
|
|
|
|
|
|
Total distributions declared to shareholders
|
|
|
$(0.73
|
)
|
|
|
$(0.72
|
)
|
|
|
$(0.93
|
)
|
|
|
$(0.74
|
)
|
|
|
$(0.79
|
)
|
Net asset value, end of period (x)
|
|
|
$14.86
|
|
|
|
$15.76
|
|
|
|
$15.05
|
|
|
|
$14.84
|
|
|
|
$13.20
|
|
Total return (%) (r)(s)(t)(x)
|
|
|
(1.32
|
)
|
|
|
9.85
|
|
|
|
7.99
|
|
|
|
18.47
|
|
|
|
4.73
|
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses before expense reductions (f)
|
|
|
1.90
|
|
|
|
1.88
|
|
|
|
1.90
|
|
|
|
1.94
|
|
|
|
2.09
|
|
Expenses after expense reductions (f)
|
|
|
1.87
|
|
|
|
1.86
|
|
|
|
1.89
|
|
|
|
1.94
|
|
|
|
2.09
|
|
Net investment income
|
|
|
3.50
|
|
|
|
3.97
|
|
|
|
4.09
|
|
|
|
4.44
|
|
|
|
5.83
|
|
Portfolio turnover
|
|
|
66
|
|
|
|
52
|
|
|
|
80
|
|
|
|
100
|
|
|
|
109
|
|
Net assets at end of period (000 omitted)
|
|
|
$508,561
|
|
|
|
$491,457
|
|
|
|
$390,816
|
|
|
|
$263,226
|
|
|
|
$53,151
|
|
See Notes to Financial Statements
33
Financial Highlights continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class I
|
|
Years ended 7/31
|
|
|
|
2013
|
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
Net asset value, beginning of period
|
|
|
$15.69
|
|
|
|
$14.98
|
|
|
|
$14.77
|
|
|
|
$13.13
|
|
|
|
$13.42
|
|
Income (loss) from investment operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (d)
|
|
|
$0.72
|
|
|
|
$0.73
|
|
|
|
$0.75
|
|
|
|
$0.78
|
|
|
|
$0.83
|
|
Net realized and unrealized gain (loss)
on investments and foreign currency
|
|
|
(0.73
|
)
|
|
|
0.84
|
|
|
|
0.53
|
|
|
|
1.74
|
|
|
|
(0.21
|
)
|
Total from investment operations
|
|
|
$(0.01
|
)
|
|
|
$1.57
|
|
|
|
$1.28
|
|
|
|
$2.52
|
|
|
|
$0.62
|
|
Less distributions declared to shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(0.78
|
)
|
|
|
$(0.81
|
)
|
|
|
$(0.76
|
)
|
|
|
$(0.88
|
)
|
|
|
$(0.91
|
)
|
From net realized gain on investments
|
|
|
(0.11
|
)
|
|
|
(0.05
|
)
|
|
|
(0.31
|
)
|
|
|
|
|
|
|
|
|
Total distributions declared to shareholders
|
|
|
$(0.89
|
)
|
|
|
$(0.86
|
)
|
|
|
$(1.07
|
)
|
|
|
$(0.88
|
)
|
|
|
$(0.91
|
)
|
Net asset value, end of period (x)
|
|
|
$14.79
|
|
|
|
$15.69
|
|
|
|
$14.98
|
|
|
|
$14.77
|
|
|
|
$13.13
|
|
Total return (%) (r)(s)(x)
|
|
|
(0.35
|
)
|
|
|
10.97
|
|
|
|
9.08
|
|
|
|
19.71
|
|
|
|
5.68
|
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses before expense reductions (f)
|
|
|
0.90
|
|
|
|
0.88
|
|
|
|
0.90
|
|
|
|
0.95
|
|
|
|
1.06
|
|
Expenses after expense reductions (f)
|
|
|
0.87
|
|
|
|
0.86
|
|
|
|
0.89
|
|
|
|
0.94
|
|
|
|
1.06
|
|
Net investment income
|
|
|
4.50
|
|
|
|
4.92
|
|
|
|
5.10
|
|
|
|
5.50
|
|
|
|
6.70
|
|
Portfolio turnover
|
|
|
66
|
|
|
|
52
|
|
|
|
80
|
|
|
|
100
|
|
|
|
109
|
|
Net assets at end of period (000 omitted)
|
|
|
$3,793,125
|
|
|
|
$3,148,303
|
|
|
|
$1,633,849
|
|
|
|
$992,622
|
|
|
|
$279,983
|
|
|
|
Class R1
|
|
Years ended 7/31
|
|
|
|
2013
|
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009 (i)
|
|
Net asset value, beginning of period
|
|
|
$15.79
|
|
|
|
$15.07
|
|
|
|
$14.86
|
|
|
|
$13.21
|
|
|
|
$10.67
|
|
Income (loss) from investment operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (d)
|
|
|
$0.56
|
|
|
|
$0.59
|
|
|
|
$0.61
|
|
|
|
$0.66
|
|
|
|
$0.48
|
|
Net realized and unrealized gain (loss)
on investments and foreign currency
|
|
|
(0.74
|
)
|
|
|
0.85
|
|
|
|
0.53
|
|
|
|
1.73
|
|
|
|
2.53
|
(g)
|
Total from investment operations
|
|
|
$(0.18
|
)
|
|
|
$1.44
|
|
|
|
$1.14
|
|
|
|
$2.39
|
|
|
|
$3.01
|
|
Less distributions declared to shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(0.62
|
)
|
|
|
$(0.67
|
)
|
|
|
$(0.62
|
)
|
|
|
$(0.74
|
)
|
|
|
$(0.47
|
)
|
From net realized gain on investments
|
|
|
(0.11
|
)
|
|
|
(0.05
|
)
|
|
|
(0.31
|
)
|
|
|
|
|
|
|
|
|
Total distributions declared to shareholders
|
|
|
$(0.73
|
)
|
|
|
$(0.72
|
)
|
|
|
$(0.93
|
)
|
|
|
$(0.74
|
)
|
|
|
$(0.47
|
)
|
Net asset value, end of period (x)
|
|
|
$14.88
|
|
|
|
$15.79
|
|
|
|
$15.07
|
|
|
|
$14.86
|
|
|
|
$13.21
|
|
Total return (%) (r)(s)(x)
|
|
|
(1.38
|
)
|
|
|
9.91
|
|
|
|
7.98
|
|
|
|
18.54
|
|
|
|
28.71
|
(n)
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses before expense reductions (f)
|
|
|
1.90
|
|
|
|
1.88
|
|
|
|
1.90
|
|
|
|
1.94
|
|
|
|
2.12
|
(a)
|
Expenses after expense reductions (f)
|
|
|
1.87
|
|
|
|
1.87
|
|
|
|
1.90
|
|
|
|
1.94
|
|
|
|
2.12
|
(a)
|
Net investment income
|
|
|
3.51
|
|
|
|
3.96
|
|
|
|
4.12
|
|
|
|
4.65
|
|
|
|
6.03
|
(a)
|
Portfolio turnover
|
|
|
66
|
|
|
|
52
|
|
|
|
80
|
|
|
|
100
|
|
|
|
109
|
(n)
|
Net assets at end of period (000 omitted)
|
|
|
$934
|
|
|
|
$936
|
|
|
|
$492
|
|
|
|
$233
|
|
|
|
$130
|
|
See Notes to Financial Statements
34
Financial Highlights continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class R2
|
|
Years ended 7/31
|
|
|
|
2013
|
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009 (i)
|
|
Net asset value, beginning of period
|
|
|
$15.78
|
|
|
|
$15.06
|
|
|
|
$14.85
|
|
|
|
$13.21
|
|
|
|
$10.67
|
|
Income (loss) from investment operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (d)
|
|
|
$0.64
|
|
|
|
$0.67
|
|
|
|
$0.69
|
|
|
|
$0.72
|
|
|
|
$0.52
|
|
Net realized and unrealized gain (loss)
on investments and foreign currency
|
|
|
(0.74
|
)
|
|
|
0.84
|
|
|
|
0.52
|
|
|
|
1.74
|
|
|
|
2.53
|
(g)
|
Total from investment operations
|
|
|
$(0.10
|
)
|
|
|
$1.51
|
|
|
|
$1.21
|
|
|
|
$2.46
|
|
|
|
$3.05
|
|
Less distributions declared to shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(0.70
|
)
|
|
|
$(0.74
|
)
|
|
|
$(0.69
|
)
|
|
|
$(0.82
|
)
|
|
|
$(0.51
|
)
|
From net realized gain on investments
|
|
|
(0.11
|
)
|
|
|
(0.05
|
)
|
|
|
(0.31
|
)
|
|
|
|
|
|
|
|
|
Total distributions declared to shareholders
|
|
|
$(0.81
|
)
|
|
|
$(0.79
|
)
|
|
|
$(1.00
|
)
|
|
|
$(0.82
|
)
|
|
|
$(0.51
|
)
|
Net asset value, end of period (x)
|
|
|
$14.87
|
|
|
|
$15.78
|
|
|
|
$15.06
|
|
|
|
$14.85
|
|
|
|
$13.21
|
|
Total return (%) (r)(s)(x)
|
|
|
(0.88
|
)
|
|
|
10.46
|
|
|
|
8.52
|
|
|
|
19.04
|
|
|
|
29.13
|
(n)
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses before expense reductions (f)
|
|
|
1.41
|
|
|
|
1.38
|
|
|
|
1.41
|
|
|
|
1.46
|
|
|
|
1.59
|
(a)
|
Expenses after expense reductions (f)
|
|
|
1.37
|
|
|
|
1.36
|
|
|
|
1.40
|
|
|
|
1.46
|
|
|
|
1.59
|
(a)
|
Net investment income
|
|
|
4.00
|
|
|
|
4.44
|
|
|
|
4.64
|
|
|
|
5.07
|
|
|
|
6.30
|
(a)
|
Portfolio turnover
|
|
|
66
|
|
|
|
52
|
|
|
|
80
|
|
|
|
100
|
|
|
|
109
|
(n)
|
Net assets at end of period (000 omitted)
|
|
|
$28,338
|
|
|
|
$24,183
|
|
|
|
$11,329
|
|
|
|
$1,798
|
|
|
|
$689
|
|
|
|
Class R3
|
|
Years ended 7/31
|
|
|
|
2013
|
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009 (i)
|
|
Net asset value, beginning of period
|
|
|
$15.73
|
|
|
|
$15.01
|
|
|
|
$14.80
|
|
|
|
$13.16
|
|
|
|
$10.63
|
|
Income (loss) from investment operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (d)
|
|
|
$0.68
|
|
|
|
$0.70
|
|
|
|
$0.72
|
|
|
|
$0.74
|
|
|
|
$0.53
|
|
Net realized and unrealized gain (loss)
on investments and foreign currency
|
|
|
(0.73
|
)
|
|
|
0.85
|
|
|
|
0.53
|
|
|
|
1.75
|
|
|
|
2.53
|
(g)
|
Total from investment operations
|
|
|
$(0.05
|
)
|
|
|
$1.55
|
|
|
|
$1.25
|
|
|
|
$2.49
|
|
|
|
$3.06
|
|
Less distributions declared to shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(0.74
|
)
|
|
|
$(0.78
|
)
|
|
|
$(0.73
|
)
|
|
|
$(0.85
|
)
|
|
|
$(0.53
|
)
|
From net realized gain on investments
|
|
|
(0.11
|
)
|
|
|
(0.05
|
)
|
|
|
(0.31
|
)
|
|
|
|
|
|
|
|
|
Total distributions declared to shareholders
|
|
|
$(0.85
|
)
|
|
|
$(0.83
|
)
|
|
|
$(1.04
|
)
|
|
|
$(0.85
|
)
|
|
|
$(0.53
|
)
|
Net asset value, end of period (x)
|
|
|
$14.83
|
|
|
|
$15.73
|
|
|
|
$15.01
|
|
|
|
$14.80
|
|
|
|
$13.16
|
|
Total return (%) (r)(s)(x)
|
|
|
(0.59
|
)
|
|
|
10.75
|
|
|
|
8.80
|
|
|
|
19.39
|
|
|
|
29.33
|
(n)
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses before expense reductions (f)
|
|
|
1.16
|
|
|
|
1.14
|
|
|
|
1.15
|
|
|
|
1.20
|
|
|
|
1.35
|
(a)
|
Expenses after expense reductions (f)
|
|
|
1.13
|
|
|
|
1.12
|
|
|
|
1.15
|
|
|
|
1.20
|
|
|
|
1.35
|
(a)
|
Net investment income
|
|
|
4.25
|
|
|
|
4.64
|
|
|
|
4.87
|
|
|
|
5.15
|
|
|
|
6.68
|
(a)
|
Portfolio turnover
|
|
|
66
|
|
|
|
52
|
|
|
|
80
|
|
|
|
100
|
|
|
|
109
|
(n)
|
Net assets at end of period (000 omitted)
|
|
|
$52,066
|
|
|
|
$35,355
|
|
|
|
$8,831
|
|
|
|
$2,981
|
|
|
|
$336
|
|
See Notes to Financial Statements
35
Financial Highlights continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class R4
|
|
Years ended 7/31
|
|
|
|
2013
|
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009 (i)
|
|
Net asset value, beginning of period
|
|
|
$15.73
|
|
|
|
$15.01
|
|
|
|
$14.80
|
|
|
|
$13.16
|
|
|
|
$10.63
|
|
Income (loss) from investment operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (d)
|
|
|
$0.72
|
|
|
|
$0.74
|
|
|
|
$0.76
|
|
|
|
$0.72
|
|
|
|
$0.56
|
|
Net realized and unrealized gain (loss)
on investments and foreign currency
|
|
|
(0.73
|
)
|
|
|
0.84
|
|
|
|
0.53
|
|
|
|
1.80
|
|
|
|
2.52
|
(g)
|
Total from investment operations
|
|
|
$(0.01
|
)
|
|
|
$1.58
|
|
|
|
$1.29
|
|
|
|
$2.52
|
|
|
|
$3.08
|
|
Less distributions declared to shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(0.78
|
)
|
|
|
$(0.81
|
)
|
|
|
$(0.77
|
)
|
|
|
$(0.88
|
)
|
|
|
$(0.55
|
)
|
From net realized gain on investments
|
|
|
(0.11
|
)
|
|
|
(0.05
|
)
|
|
|
(0.31
|
)
|
|
|
|
|
|
|
|
|
Total distributions declared to shareholders
|
|
|
$(0.89
|
)
|
|
|
$(0.86
|
)
|
|
|
$(1.08
|
)
|
|
|
$(0.88
|
)
|
|
|
$(0.55
|
)
|
Net asset value, end of period (x)
|
|
|
$14.83
|
|
|
|
$15.73
|
|
|
|
$15.01
|
|
|
|
$14.80
|
|
|
|
$13.16
|
|
Total return (%) (r)(s)(x)
|
|
|
(0.34
|
)
|
|
|
11.03
|
|
|
|
9.07
|
|
|
|
19.68
|
|
|
|
29.54
|
(n)
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses before expense reductions (f)
|
|
|
0.90
|
|
|
|
0.89
|
|
|
|
0.90
|
|
|
|
1.02
|
|
|
|
1.12
|
(a)
|
Expenses after expense reductions (f)
|
|
|
0.87
|
|
|
|
0.87
|
|
|
|
0.90
|
|
|
|
1.02
|
|
|
|
1.12
|
(a)
|
Net investment income
|
|
|
4.52
|
|
|
|
4.91
|
|
|
|
5.11
|
|
|
|
5.00
|
|
|
|
7.02
|
(a)
|
Portfolio turnover
|
|
|
66
|
|
|
|
52
|
|
|
|
80
|
|
|
|
100
|
|
|
|
109
|
(n)
|
Net assets at end of period (000 omitted)
|
|
|
$103,937
|
|
|
|
$111,391
|
|
|
|
$48,313
|
|
|
|
$24,458
|
|
|
|
$130
|
|
|
|
Class R5 (y)
|
|
Years ended 7/31
|
|
|
|
2013
|
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
Net asset value, beginning of period
|
|
|
$15.73
|
|
|
|
$15.00
|
|
|
|
$14.79
|
|
|
|
$13.15
|
|
|
|
$13.43
|
|
Income (loss) from investment operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (d)
|
|
|
$0.73
|
|
|
|
$0.74
|
|
|
|
$0.73
|
|
|
|
$0.75
|
|
|
|
$0.81
|
|
Net realized and unrealized gain (loss)
on investments and foreign currency
|
|
|
(0.73
|
)
|
|
|
0.84
|
|
|
|
0.54
|
|
|
|
1.76
|
|
|
|
(0.19
|
)
|
Total from investment operations
|
|
|
$
|
|
|
|
$1.58
|
|
|
|
$1.27
|
|
|
|
$2.51
|
|
|
|
$0.62
|
|
Less distributions declared to shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(0.80
|
)
|
|
|
$(0.80
|
)
|
|
|
$(0.75
|
)
|
|
|
$(0.87
|
)
|
|
|
$(0.90
|
)
|
From net realized gain on investments
|
|
|
(0.11
|
)
|
|
|
(0.05
|
)
|
|
|
(0.31
|
)
|
|
|
|
|
|
|
|
|
Total distributions declared to shareholders
|
|
|
$(0.91
|
)
|
|
|
$(0.85
|
)
|
|
|
$(1.06
|
)
|
|
|
$(0.87
|
)
|
|
|
$(0.90
|
)
|
Net asset value, end of period (x)
|
|
|
$14.82
|
|
|
|
$15.73
|
|
|
|
$15.00
|
|
|
|
$14.79
|
|
|
|
$13.15
|
|
Total return (%) (r)(s)(x)
|
|
|
(0.30
|
)
|
|
|
11.01
|
|
|
|
8.97
|
|
|
|
19.57
|
|
|
|
5.66
|
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses before expense reductions (f)
|
|
|
0.81
|
|
|
|
0.96
|
|
|
|
0.99
|
|
|
|
1.03
|
|
|
|
1.18
|
|
Expenses after expense reductions (f)
|
|
|
0.78
|
|
|
|
0.94
|
|
|
|
0.99
|
|
|
|
1.03
|
|
|
|
1.17
|
|
Net investment income
|
|
|
4.59
|
|
|
|
4.91
|
|
|
|
4.95
|
|
|
|
5.26
|
|
|
|
6.64
|
|
Portfolio turnover
|
|
|
66
|
|
|
|
52
|
|
|
|
80
|
|
|
|
100
|
|
|
|
109
|
|
Net assets at end of period (000 omitted)
|
|
|
$420,329
|
|
|
|
$261,885
|
|
|
|
$115,940
|
|
|
|
$298,331
|
|
|
|
$19,614
|
|
See Notes to Financial Statements
36
Financial Highlights continued
(d)
|
Per share data is based on average shares outstanding.
|
(f)
|
Ratios do not reflect reductions from fees paid indirectly, if applicable.
|
(g)
|
The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and
unrealized gains and losses at such time.
|
(i)
|
For the period from the class inception, December 1, 2008 through the stated period end.
|
(r)
|
Certain expenses have been reduced without which performance would have been lower.
|
(s)
|
From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower.
|
(t)
|
Total returns do not include any applicable sales charges.
|
(x)
|
The net asset values per share 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.
|
(y)
|
As further discussed in Note 5 in the Notes to Financial Statements, on May 10, 2012, sales of Class W shares (including exchanges) were suspended. On May 11, 2012,
certain Class W shares were automatically converted to Class I shares. Shareholders of certain Class W shares became shareholders of Class I and received Class I shares with a total net asset value equal to their Class W shares at the time of the
conversion. On May 30, 2012, remaining Class W shares, which represented MFS seed money, were redesignated Class R5. Class R5 shares are generally available only to certain eligible retirement plans and to funds distributed by MFD. Class R5
shares do not pay a 12b-1 distribution fee or sub-accounting costs. On June 1, 2012, Class R5 shares were offered for sale to the public. For further information about the funds fee arrangements, please see Note 3 in the Notes to
Financial Statements.
|
See Notes to Financial Statements
37
NOTES TO FINANCIAL STATEMENTS
(1) Business and Organization
MFS Emerging Markets Debt
Fund (the fund) is a series of MFS Series Trust X (the trust). The trust is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.
(2) Significant Accounting Policies
General
The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent
assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. In the preparation of these financial statements,
management has evaluated subsequent events occurring after the date of the funds Statement of Assets and Liabilities through the date that the financial statements were issued. The fund invests in high-yield securities rated below investment
grade. Investments in high-yield securities involve greater degrees of credit and market risk than investments in higher-rated securities and tend to be more sensitive to economic conditions. The fund invests in foreign securities, including
securities of emerging market issuers. Investments in foreign securities are vulnerable to the effects of changes in the relative values of the local currency and the U.S. dollar and to the effects of changes in each countrys legal, political,
and economic environment. The markets of emerging markets countries are generally more volatile than the markets of developed countries with more mature economies. All of the risks of investing in foreign securities previously described are
heightened when investing in emerging markets countries.
In January 2013, the Financial Accounting Standards Board (FASB) issued Accounting Standards
Update 2013-01 (ASU 2013-01) entitled Balance Sheet (Topic 210)
Clarifying the Scope of Disclosures about Offsetting Assets
and Liabilities which is intended to clarify the scope of Accounting Standards Update 2011-11
(ASU 2011-11),
Balance Sheet (Topic 210) Disclosures about Offsetting Assets and
Liabilities. Consistent with the effective date for ASU 2011-11, ASU 2013-01 is effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. ASU 2013-01 limits the scope of
ASU 2011-11s disclosure requirements on offsetting to financial assets and financial liabilities related to derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowing transactions. Although
still evaluating the potential impact of these two ASUs to the fund, management expects that the impact of the funds adoption will be limited to additional financial statement disclosures.
In June 2013, FASB issued Accounting Standards Update 2013-08 Financial Services Investment Companies (Topic 946) Amendments to the Scope,
Measurement, and Disclosure Requirements (ASU 2013-08) which is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013. ASU 2013-08 sets forth a methodology for determining whether
an entity should be characterized as an investment company and prescribes fair value
38
Notes to Financial Statements continued
accounting for an investment companys non-controlling ownership interest in another investment company. FASB has determined that a fund registered under the Investment Company Act of
1940 automatically meets ASU 2013-08s criteria for an investment company. Although still evaluating the potential impacts of ASU 2013-08 to the fund, management expects that the impact of the funds adoption will be limited to
additional financial statement disclosures.
Investment Valuations
Debt instruments and floating rate loans (other than
short-term
instruments), including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance
of 60 days or less generally are valued at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price as provided by a third-party pricing service on the exchange on which
such options are primarily traded.
Exchange-traded
options for which there were no sales reported that day are generally valued at the last daily bid quotation as provided by a third-party pricing service on
the exchange on which such options are primarily traded. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally valued at valuations provided by a third-party pricing service.
Futures contracts are generally valued at last posted settlement price as provided by a
third-party
pricing service on the market on which they are primarily traded. Futures contracts for which there were no
trades that day for a particular position are generally valued at the closing bid quotation as provided by a third-party pricing service on the market on which such futures contracts are primarily traded. Forward foreign currency exchange contracts
are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for proximate time periods. Swap agreements are generally valued at valuations provided by a third-party
pricing service, which for cleared swaps includes an evaluation of any trading activity at the clearinghouses. Open-end investment companies are generally valued at net asset value per share. Securities and other assets generally valued on the basis
of information from a
third-party
pricing service may also be valued at a broker/dealer bid quotation. Values obtained from third-party pricing services can utilize both transaction data and market information
such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the
mean of bid and asked prices for rates provided by a third-party pricing service.
The Board of Trustees has delegated primary responsibility for
determining or causing to be determined the value of the funds investments (including any fair valuation) to the adviser pursuant to valuation policies and procedures approved by the Board. If the adviser determines that reliable market
quotations are not readily available, investments are valued at fair value as determined in good faith by the adviser in accordance with such procedures under the oversight of the Board of Trustees. Under the funds valuation policies and
procedures, market quotations are not considered to be readily available for most types of debt instruments and floating rate loans and many types of derivatives. These investments are generally valued at fair value based on information from
third-party pricing services. In addition, investments may be valued at fair value if
39
Notes to Financial Statements continued
the adviser determines that an investments value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded
(such as foreign exchange or market) and prior to the determination of the funds net asset value, or after the halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the
security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment
characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for
purposes of calculating the funds net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the funds net asset value may differ from
quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per
share.
Various inputs are used in determining the value of the funds assets or liabilities. These inputs are categorized into three broad levels.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investments level within the fair value hierarchy is based on the lowest level of input that is significant
to the fair value measurement. The funds assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted
prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes
unobservable inputs, which may include the advisers own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments not reflected in total investments, such as futures contracts, forward
foreign currency exchange contracts, and swap agreements. The following is a summary of the levels used as of July 31, 2013 in valuing the funds assets or liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments at Value
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
U.S. Treasury Bonds & U.S. Government Agency & Equivalents
|
|
|
$
|
|
|
|
$84,715,510
|
|
|
|
$
|
|
|
|
$84,715,510
|
|
Non-U.S. Sovereign Debt
|
|
|
|
|
|
|
4,664,550,058
|
|
|
|
|
|
|
|
4,664,550,058
|
|
Foreign Bonds
|
|
|
|
|
|
|
1,327,320,310
|
|
|
|
|
|
|
|
1,327,320,310
|
|
Mutual Funds
|
|
|
557,510,082
|
|
|
|
|
|
|
|
|
|
|
|
557,510,082
|
|
Total Investments
|
|
|
$557,510,082
|
|
|
|
$6,076,585,878
|
|
|
|
$
|
|
|
|
$6,634,095,960
|
|
|
|
|
|
|
Other Financial Instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
|
$(1,899,778
|
)
|
|
|
$
|
|
|
|
$
|
|
|
|
$(1,899,778
|
)
|
Swap Agreements
|
|
|
|
|
|
|
(15,492,335
|
)
|
|
|
|
|
|
|
(15,492,335
|
)
|
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
(1,882,678
|
)
|
|
|
|
|
|
|
(1,882,678
|
)
|
40
Notes to Financial Statements continued
For further information regarding security characteristics, see the Portfolio of Investments.
Foreign Currency Translation
Purchases and sales of foreign investments, income, and expenses are converted into U.S. dollars based upon currency
exchange rates prevailing on the respective dates of such transactions or on the reporting date for foreign denominated receivables and payables. Gains and losses attributable to foreign currency exchange rates on sales of securities are recorded
for financial statement purposes as net realized gains and losses on investments. Gains and losses attributable to foreign exchange rate movements on receivables, payables, income and expenses are recorded for financial statement purposes as foreign
currency transaction gains and losses. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
Derivatives
The fund uses derivatives for different purposes, primarily to increase or decrease exposure to a particular market or segment of the
market, or security, to increase or decrease interest rate or currency exposure, or as alternatives to direct investments. Derivatives are used for hedging or non-hedging purposes. While hedging can reduce or eliminate losses, it can also reduce or
eliminate gains. When the fund uses derivatives as an investment to increase market exposure, or for hedging purposes, gains and losses from derivative instruments may be substantially greater than the derivatives original cost.
The derivative instruments used by the fund were purchased options, futures contracts, forward foreign currency exchange contracts, and swap agreements. The
funds period end derivatives, as presented in the Portfolio of Investments and the associated Derivative Contract tables, generally are indicative of the volume of its derivative activity during the period.
The following table presents, by major type of derivative contract, the fair value, on a gross basis, of the asset and liability components of derivatives held by
the fund at July 31, 2013 as reported in the Statement of Assets and Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value (a)
|
|
Risk
|
|
Derivative Contracts
|
|
Asset Derivatives
|
|
|
Liability Derivatives
|
|
Interest Rate
|
|
Interest Rate Futures
|
|
|
$
|
|
|
|
$(1,899,778
|
)
|
Foreign Exchange
|
|
Forward Foreign Currency Exchange
|
|
|
2,488,718
|
|
|
|
(4,371,396
|
)
|
Credit
|
|
Credit Default Swaps
|
|
|
|
|
|
|
(15,492,335
|
)
|
Total
|
|
|
|
|
$2,488,718
|
|
|
$
|
(21,763,509
|
)
|
(a)
|
The value of futures contracts outstanding includes cumulative appreciation (depreciation) as reported in the funds Portfolio of Investments. Only the current day variation
margin for futures contracts is separately reported within the funds Statement of Assets and Liabilities.
|
41
Notes to Financial Statements continued
The following table presents, by major type of derivative contract, the realized gain (loss) on derivatives held by the fund for the year
ended July 31, 2013 as reported in the Statement of Operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Risk
|
|
Futures
Contracts
|
|
|
Swap
Agreements
|
|
|
Foreign
Currency
|
|
|
Investments
(Purchased
Options)
|
|
Interest Rate
|
|
|
$(6,255,978
|
)
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
Foreign Exchange
|
|
|
|
|
|
|
|
|
|
|
(5,327,112
|
)
|
|
|
(2,067,100
|
)
|
Credit
|
|
|
|
|
|
|
(6,511,347
|
)
|
|
|
|
|
|
|
|
|
Total
|
|
|
$(6,255,978
|
)
|
|
|
$(6,511,347
|
)
|
|
|
$(5,327,112
|
)
|
|
|
$(2,067,100
|
)
|
The following table presents, by major type of derivative contract, the change in unrealized appreciation (depreciation) on
derivatives held by the fund for the year ended July 31, 2013 as reported in the Statement of Operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
Risk
|
|
Futures
Contracts
|
|
|
Swap
Agreements
|
|
|
Translation
of Assets
and
Liabilities in
Foreign
Currencies
|
|
Interest Rate
|
|
|
$(2,986,997
|
)
|
|
|
$
|
|
|
|
$
|
|
Foreign Exchange
|
|
|
|
|
|
|
|
|
|
|
126,873
|
|
Credit
|
|
|
|
|
|
|
846,408
|
|
|
|
|
|
Total
|
|
|
$(2,986,997
|
)
|
|
|
$846,408
|
|
|
|
$126,873
|
|
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On
certain, but not all,
over-the-counter
derivatives, the fund attempts to reduce its exposure to counterparty credit risk whenever possible by entering
into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of the counterparties with whom it undertakes a significant volume of transactions. The ISDA Master Agreement gives each party
to the agreement the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. Upon an event of default or a termination of the ISDA Master Agreement, the
non-defaulting party has the right to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net amount payable by one party to the other. This right to close out and net payments
across all transactions traded under the ISDA Master Agreement could result in a reduction of the funds credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions, if
any.
Collateral and margin requirements differ by type of derivative. Margin requirements are set by the broker or clearing house for cleared derivatives
(i.e., futures contracts, cleared swaps, and exchange-traded options) while collateral terms are contract specific for over-the-counter traded derivatives (i.e., forward foreign currency exchange contracts, uncleared swap agreements, and
over-the-counter options). For derivatives traded under an ISDA Master Agreement, the collateral requirements are netted across all transactions traded under such agreement and one amount is posted from one party to the other to collateralize such
obligations. Cash that has been segregated to
42
Notes to Financial Statements continued
cover the funds collateral or margin obligations under derivative contracts, if any, will be reported separately in the Statement of Assets and Liabilities as Restricted cash.
Securities pledged as collateral or margin for the same purpose, if any, is noted in the Portfolio of Investments.
Purchased Options
The
fund purchased call and put options for a premium. Purchased call and put options entitle the holder to buy and sell a specified number of shares or units of a particular security, currency or index at a specified price at a specified date or within
a specified period of time. Purchasing call options may hedge against an anticipated increase in the dollar cost of securities or currency to be acquired or increase the funds exposure to an underlying instrument. Purchasing put options may
hedge against an anticipated decline in the value of portfolio securities or currency or decrease the funds exposure to an underlying instrument.
The premium paid is initially recorded as an investment in the Statement of Assets and Liabilities. That investment is subsequently marked-to-market daily with the
difference between the premium paid and the market value of the purchased option being recorded as unrealized appreciation or depreciation. Premiums paid for purchased call and put options which have expired are treated as realized losses on
investments in the Statement of Operations. Upon the exercise or closing of a purchased call option, the premium paid is added to the cost of the security or financial instrument purchased. Upon the exercise or closing of a purchased put option, the
premium paid is offset against the proceeds on the sale of the underlying security or financial instrument in order to determine the realized gain or loss on investments.
Whether or not the option is exercised, the funds maximum risk of loss from purchasing an option is the amount of premium paid. All option contracts involve credit risk if the counterparty to the option
contract fails to perform. For
over-the-counter
options, this risk is mitigated in cases where there is an ISDA Master Agreement between the fund and the counterparty
providing for netting as described above and for posting of collateral by the counterparty to the fund to cover the funds exposure to the counterparty under such ISDA Master Agreement.
Futures Contracts
The fund entered into futures contracts which may be used to hedge against or obtain broad market exposure, interest rate exposure, currency exposure, or to manage duration. A
futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a
futures contract, the fund is required to deposit with the broker, either in cash or securities, an initial margin in an amount equal to a certain percentage of the notional amount of the contract. Subsequent payments (variation margin) are made or
received by the fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gain or loss by the fund until the contract is closed or expires at which point the gain
or loss on futures contracts is realized.
The fund bears the risk of interest rates, exchange rates or securities prices moving unexpectedly, in which
case, the fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. While futures contracts may present less counterparty risk to the fund since the contracts are exchange traded and the exchanges
clearinghouse guarantees payments to the broker, there is still counterparty
43
Notes to Financial Statements continued
credit risk due to the insolvency of the broker. The funds maximum risk of loss due to counterparty credit risk is equal to the margin posted by the fund to the broker plus any gains or
minus any losses on the outstanding futures contracts.
Forward Foreign Currency Exchange Contracts
The fund entered into forward foreign
currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. These contracts may be used to hedge the funds currency risk or for non-hedging purposes. For hedging purposes, the fund may
enter into contracts to deliver or receive foreign currency that the fund will receive from or use in its normal investment activities. The fund may also use contracts to hedge against declines in the value of foreign currency denominated securities
due to unfavorable exchange rate movements. For non-hedging purposes, the fund may enter into contracts with the intent of changing the relative exposure of the funds portfolio of securities to different currencies to take advantage of
anticipated exchange rate changes.
Forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and
any unrealized gains or losses are recorded as a receivable or payable for forward foreign currency exchange contracts until the contract settlement date. On contract settlement date, any gain or loss on the contract is recorded as realized gains or
losses on foreign currency.
Risks may arise upon entering into these contracts from unanticipated movements in the value of the contract and from the
potential inability of counterparties to meet the terms of their contracts. Generally, the funds maximum risk due to counterparty credit risk is the unrealized gain on the contract due to the use of Continuous Linked Settlement, an industry
accepted settlement system. This risk is mitigated in cases where there is an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and for posting of collateral by the counterparty to the fund to cover
the funds exposure to the counterparty under such ISDA Master Agreement.
Swap Agreements
During the period the fund entered into
swap agreements. Effective June 10, 2013, certain types of swaps (cleared swaps) are required to be centrally cleared under provisions of the Dodd-Frank Regulatory Reform Bill. In a cleared swap transaction, the swap agreement is
novated to a central counterparty (the clearinghouse) immediately following execution of the swap contract with an executing broker. Thereafter, throughout the term of the cleared swap, the fund interfaces indirectly with the
clearinghouse through a clearing broker.
A swap agreement is generally an exchange of cash payments, at specified intervals or upon the occurrence of
specified events, between the fund and a counterparty. The net cash payments exchanged are recorded as a realized gain or loss on swap agreements in the Statement of Operations. The value of the swap agreement, which is adjusted daily and includes
any related interest accruals to be paid or received by the fund, is recorded in the Statement of Assets and Liabilities. The daily change in value, including any related interest accruals to be paid or received, is recorded as unrealized
appreciation or depreciation on swap agreements in the Statement of Operations. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities. Amounts
paid or
44
Notes to Financial Statements continued
received at the inception of the swap agreement are reflected as premiums paid or received in the Statement of Assets and Liabilities and are amortized using the effective interest method over
the term of the agreement. A liquidation payment received or made upon early termination is recorded as a realized gain or loss on swap agreements in the Statement of Operations.
Risks related to swap agreements include the possible lack of a liquid market, unfavorable market and interest rate movements of the underlying instrument and the failure of the counterparty to perform under the
terms of the agreements. To address counterparty risk, swap agreements are limited to only highly-rated counterparties. For uncleared swaps, that risk is further reduced by having an ISDA Master Agreement between the fund and the counterparty
providing for netting as described above and by the posting of collateral by the counterparty to the fund to cover the funds exposure to the counterparty under such ISDA Master Agreement. Although not covered by an ISDA Master Agreement, the
funds counterparty risk due to cleared swaps is mitigated by the clearinghouses margining requirements and financial safeguards in the event of a clearing broker default.
The fund entered into credit default swap agreements in order to manage its exposure to the market or certain sectors of the market, to reduce its credit risk exposure to defaults of corporate and sovereign issuers
or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. In a credit default swap agreement, the protection buyer can make an upfront payment and will make a stream of payments based on a fixed percentage applied
to the agreement notional amount to the protection seller in exchange for the right to receive a specified return upon the occurrence of a defined credit event on the reference obligation (which may be either a single security or a basket of
securities issued by corporate or sovereign issuers) and, with respect to the rare cases where physical settlement applies, the delivery by the buyer to the seller of a defined deliverable obligation. Although agreement-specific, credit events
generally consist of a combination of the following: bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium, each as defined in the 2003 ISDA Credit Derivatives Definitions as amended by the
relevant agreement. Restructuring is generally not applicable when the reference obligation is issued by a North American corporation and obligation acceleration, obligation default, or repudiation/moratorium are generally only applicable when the
reference obligation is issued by a sovereign entity or an entity in an emerging country. Upon determination of the final price for the deliverable obligation (or upon delivery of the deliverable obligation in the case of physical settlement), the
difference between the value of the deliverable obligation and the swap agreements notional amount is recorded as realized gain or loss on swap agreements in the Statement of Operations.
Credit default swap agreements are considered to have credit-risk-related contingent features since they trigger payment by the protection seller to the protection buyer upon the occurrence of a defined credit
event. The aggregate fair value of credit default swap agreements in a net liability position as of July 31, 2013 is disclosed in the footnotes to the Portfolio of Investments. The maximum amount of future, undiscounted payments that the fund,
as protection seller, could be required to make is equal to the swap agreements notional amount. The protection sellers payment
45
Notes to Financial Statements continued
obligation would be offset to the extent of the value of the agreements deliverable obligation. If a defined credit event had occurred as of July 31, 2013, the swap agreements
credit-risk-related contingent features would have been triggered and, for those swap agreements in a net liability position for which the fund is the protection seller, the fund in order to settle these swap agreements would have been required to
either (1) pay the swap agreements notional value of $134,101,000 less the value of the agreements related deliverable obligations as decided through an ISDA auction or (2) pay the notional value of the swap agreements in
return for physical receipt of the deliverable obligations.
The funds maximum risk of loss from counterparty risk, either as the protection seller
or as the protection buyer, is the fair value of the agreement. For uncleared swaps, counterparty risk is reduced by having an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and by the posting of
collateral by the counterparty to the fund to cover the funds exposure to the counterparty under such ISDA Master Agreement. For cleared swaps, the funds counterparty risk is mitigated by the clearinghouses margining requirements
and financial safeguards in the event of a clearing broker default.
Hybrid Instruments
The fund invests in indexed or hybrid securities on
which any combination of interest payments, the principal or stated amount payable at maturity is determined by reference to prices of other securities, currencies, indices, economic factors or other measures, including interest rates, currency
exchange rates, or securities indices. The risks of investing in hybrid instruments reflect a combination of the risks of investing in securities, swap agreements, options, futures contracts and currencies. Hybrid instruments are potentially more
volatile and carry greater market risks than traditional debt instruments. Depending on the structure of the particular hybrid instrument, changes in a benchmark, underlying assets or economic indicator may be magnified by the terms of the hybrid
instrument and have an even more dramatic and substantial effect upon the value of the hybrid instrument. Also, the prices of the hybrid instrument and the benchmark, underlying asset or economic indicator may not move in the same direction or at
the same time.
Indemnifications
Under the funds organizational documents, its officers and Trustees may be indemnified against
certain liabilities and expenses arising out of the performance of their duties to the fund. Additionally, in the normal course of business, the fund enters into agreements with service providers that may contain indemnification clauses. The
funds maximum exposure under these agreements is unknown as this would involve future claims that may be made against the fund that have not yet occurred.
Investment Transactions and Income
Investment transactions are recorded on the trade date. Interest income is recorded on the accrual basis. All premium and discount is amortized or accreted for
financial statement purposes in accordance with U.S. generally accepted accounting principles. Interest payments received in additional securities are recorded on the ex-dividend or ex-interest date in an amount equal to the value of the security on
such date.
The fund may receive proceeds from litigation settlements. Any proceeds received from litigation involving portfolio holdings are reflected
in the Statement of Operations in
46
Notes to Financial Statements continued
realized gain/loss if the security has been disposed of by the fund or in unrealized gain/loss if the security is still held by the fund. Any other proceeds from litigation not related to
portfolio holdings are reflected as other income in the Statement of Operations.
Fees Paid Indirectly
The funds custody fee may be
reduced according to an arrangement that measures the value of cash deposited with the custodian by the fund. This amount, for the year ended July 31, 2013, is shown as a reduction of total expenses in the Statement of Operations.
Tax Matters and Distributions
The fund intends to qualify as a regulated investment company, as defined under Subchapter M of the Internal Revenue
Code, and to distribute all of its taxable income, including realized capital gains. As a result, no provision for federal income tax is required. The funds federal tax returns, when filed, will remain subject to examination by the Internal
Revenue Service for a three year period. Foreign taxes have been accrued by the fund in the accompanying financial statements. Foreign income taxes may be withheld by certain countries in which the fund invests. Additionally, capital gains realized
by the fund on securities issued in or by certain foreign countries may be subject to capital gains tax imposed by those countries.
Distributions to
shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. Certain capital accounts in the
financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences which arise from recognizing certain
items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary overdistributions for
financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.
Book/tax differences primarily relate to amortization and accretion of debt securities, wash sale loss deferrals, derivative transactions, and treating a portion of the proceeds from redemptions as a distribution
for tax purposes.
The tax character of distributions declared to shareholders for the last two fiscal years is as follows:
|
|
|
|
|
|
|
|
|
|
|
7/31/13
|
|
|
7/31/12
|
|
Ordinary income (including any
short-term capital gains)
|
|
|
$338,203,715
|
|
|
|
$213,841,364
|
|
Long-term capital gains
|
|
|
21,355,514
|
|
|
|
8,976,953
|
|
Total distributions
|
|
|
$359,559,229
|
|
|
|
$222,818,317
|
|
47
Notes to Financial Statements continued
The federal tax cost and the tax basis components of distributable earnings were as follows:
|
|
|
|
|
As of 7/31/13
|
|
|
|
Cost of investments
|
|
|
$6,658,676,709
|
|
Gross appreciation
|
|
|
168,684,764
|
|
Gross depreciation
|
|
|
(193,265,513
|
)
|
Net unrealized appreciation (depreciation)
|
|
|
$(24,580,749
|
)
|
Undistributed ordinary income
|
|
|
11,669,620
|
|
Undistributed long-term capital gain
|
|
|
29,541,579
|
|
Post-October capital loss deferral
|
|
|
(23,875,155
|
)
|
Other temporary differences
|
|
|
(48,127,710
|
)
|
Multiple Classes of Shares of Beneficial Interest
The fund offers multiple classes of shares, which differ in their
respective distribution and service fees. The funds income and common expenses are allocated to shareholders based on the value of settled shares outstanding of each class. The funds realized and unrealized gain (loss) are allocated to
shareholders based on the daily net assets of each class. Dividends are declared separately for each class. Differences in per share dividend rates are generally due to differences in separate class expenses. Class B and will convert to Class A
approximately eight years after purchase.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
From net investment
income
|
|
|
From net realized gain
on
investments
|
|
|
|
Year
ended
7/31/13
|
|
|
Year
ended
7/31/12
|
|
|
Year
ended
7/31/13
|
|
|
Year
ended
7/31/12
|
|
Class A
|
|
|
$77,400,188
|
|
|
|
$60,251,291
|
|
|
|
$9,942,984
|
|
|
|
$3,648,950
|
|
Class B
|
|
|
2,525,807
|
|
|
|
2,217,973
|
|
|
|
431,461
|
|
|
|
157,001
|
|
Class C
|
|
|
21,810,099
|
|
|
|
18,704,973
|
|
|
|
3,660,189
|
|
|
|
1,294,311
|
|
Class I
|
|
|
189,349,232
|
|
|
|
117,922,814
|
|
|
|
25,165,009
|
|
|
|
5,809,185
|
|
Class R1
|
|
|
41,732
|
|
|
|
26,042
|
|
|
|
6,902
|
|
|
|
1,842
|
|
Class R2
|
|
|
1,273,752
|
|
|
|
828,392
|
|
|
|
188,399
|
|
|
|
45,634
|
|
Class R3
|
|
|
2,168,493
|
|
|
|
1,128,879
|
|
|
|
297,652
|
|
|
|
59,773
|
|
Class R4
|
|
|
5,281,374
|
|
|
|
3,767,235
|
|
|
|
660,036
|
|
|
|
184,558
|
|
Class R5
|
|
|
17,255,585
|
|
|
|
6,425,153
|
|
|
|
2,100,335
|
|
|
|
344,311
|
|
Total
|
|
|
$317,106,262
|
|
|
|
$211,272,752
|
|
|
|
$42,452,967
|
|
|
|
$11,545,565
|
|
On May 30, 2012, Class W shares were redesignated Class R5. See Note 5 for additional information.
(3) Transactions with Affiliates
Investment Adviser
The fund has an investment advisory agreement with MFS to provide overall investment management and related administrative services and facilities to the fund. The management fee is computed daily and paid monthly at the following annual
rates:
|
|
|
|
|
First $1 billion of average daily net assets
|
|
|
0.75
|
%
|
Average daily net assets in excess of $1 billion
|
|
|
0.70
|
%
|
48
Notes to Financial Statements continued
The investment adviser has agreed in writing to reduce its management fee to 0.65% of average daily net assets in excess of $2.5 billion.
This written agreement will continue until modified by the funds Board of Trustees, but such agreement will continue at least until November 30, 2014. For the year ended July 31, 2013, this management fee reduction amounted to
$2,102,600, which is shown as a reduction of total expenses in the Statement of Operations.
Effective April 1, 2013, MFS has agreed in writing to
reduce its management fee by a specified amount if certain MFS mutual fund assets exceed thresholds agreed to by MFS and the funds Board of Trustees. For the period April 1, 2013 through July 31, 2013, this management fee
reduction amounted to $13,021, which is shown as a reduction of total expenses in the Statement of Operations. The management fee incurred for the year ended July 31, 2013 was equivalent to an annual effective rate of 0.68% of the funds
average daily net assets.
The investment adviser had agreed in writing to pay a portion of the funds operating expenses, exclusive of management
fee, distribution and service fee, interest, taxes, extraordinary expenses, brokerage and transaction costs and investment-related expenses, such that fund operating expenses do not exceed 0.40% annually of the funds average daily net assets.
Effective November 30, 2012, this written agreement was eliminated. For the period ended November 30, 2012, the funds actual operating expenses did not exceed the limit and therefore, the investment adviser did not pay any portion of the
funds expenses related to this agreement.
Distributor
MFS Fund Distributors, Inc. (MFD), a wholly-owned subsidiary of MFS, as
distributor, received $574,744 for the year ended July 31, 2013, as its portion of the initial sales charge on sales of Class A shares of the fund.
The Board of Trustees has adopted a distribution plan for certain class shares pursuant to Rule 12b-1 of the Investment Company Act of 1940.
The funds distribution plan provides that the fund will pay MFD for services provided by MFD and financial intermediaries in connection with the distribution and servicing of certain share classes. One
component of the plan is a distribution fee paid to MFD and another component of the plan is a service fee paid to MFD. MFD may subsequently pay all, or a portion, of the distribution and/or service fees to financial intermediaries.
Distribution Plan Fee Table:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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%
|
|
|
|
$4,189,569
|
|
Class B
|
|
|
0.75%
|
|
|
|
0.25%
|
|
|
|
1.00%
|
|
|
|
1.00%
|
|
|
|
649,973
|
|
Class C
|
|
|
0.75%
|
|
|
|
0.25%
|
|
|
|
1.00%
|
|
|
|
1.00%
|
|
|
|
5,614,339
|
|
Class R1
|
|
|
0.75%
|
|
|
|
0.25%
|
|
|
|
1.00%
|
|
|
|
1.00%
|
|
|
|
10,732
|
|
Class R2
|
|
|
0.25%
|
|
|
|
0.25%
|
|
|
|
0.50%
|
|
|
|
0.50%
|
|
|
|
145,066
|
|
Class R3
|
|
|
|
|
|
|
0.25%
|
|
|
|
0.25%
|
|
|
|
0.25%
|
|
|
|
116,826
|
|
Total Distribution and Service Fees
|
|
|
|
|
|
|
|
$10,726,505
|
|
(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 classs 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.
|
49
Notes to Financial Statements continued
(e)
|
Effective January 1, 2013, MFD has voluntarily agreed to rebate a portion of each classs 0.25% service fee attributable to accounts for which MFD retains the 0.25% service
fee except for accounts attributable to MFS or its subsidiaries seed money. For the period January 1, 2013 through July 31, 2013, this rebate amounted to $10,302, $89, $51, and $20 for Class A, Class B, Class C, and Class R1,
respectively, and is reflected as a reduction of total expenses in the Statement of Operations.
|
Certain Class A shares are subject to
a contingent deferred sales charge (CDSC) in the event of a shareholder redemption within 18 months of purchase for shares purchased on or after August 1, 2012, and within 24 months of purchase for shares purchased prior to August 1, 2012.
Class C shares are subject to a CDSC in the event of a shareholder redemption within 12 months of purchase. Class B shares are subject to a CDSC in the event of a shareholder redemption within six years of purchase. All contingent deferred sales
charges are paid to MFD and during the year ended July 31, 2013, were as follows:
|
|
|
|
|
|
|
Amount
|
|
Class A
|
|
|
$35,062
|
|
Class B
|
|
|
99,301
|
|
Class C
|
|
|
108,557
|
|
Shareholder Servicing Agent
MFS Service Center, Inc. (MFSC), a wholly-owned subsidiary of MFS, receives a fee from the
fund for its services as shareholder servicing agent calculated as a percentage of the average daily net assets of the fund as determined periodically under the supervision of the funds Board of Trustees. For the year ended July 31, 2013,
the fee was $583,773, which equated to 0.0087% annually of the funds average daily net assets. MFSC also receives payment from the fund for out-of-pocket expenses, sub-accounting and other shareholder servicing costs which may be paid to
affiliated and unaffiliated service providers. Class R5 shares do not incur sub-accounting fees. For the year ended July 31, 2013, these out-of-pocket expenses, sub-accounting and other shareholder servicing costs amounted to $7,139,060.
Administrator
MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the
fund. Under an administrative services agreement, the fund partially reimburses MFS the costs incurred to provide these services. The fund is charged an annual fixed amount of $17,500 plus a fee based on average daily net assets. The administrative
services fee incurred for the year ended July 31, 2013 was equivalent to an annual effective rate of 0.0078% of the funds average daily net assets.
Trustees and Officers Compensation
The fund pays compensation to independent Trustees in the form of a retainer, attendance fees, and additional compensation to Board and Committee
chairpersons. The fund does not pay compensation directly to Trustees or officers of the fund who are also officers of the investment adviser, all of whom receive remuneration for their services to the fund from MFS. Certain officers and Trustees of
the fund are officers or directors of MFS, MFD, and MFSC.
Other
This fund and certain other funds managed by MFS (the funds) have entered
into services agreements (the Agreements) which provide for payment of fees by the funds to Tarantino LLC and Griffin Compliance LLC in return for the provision of
50
Notes to Financial Statements continued
services of an Independent Chief Compliance Officer (ICCO) and Assistant ICCO, respectively, for the funds. The ICCO and Assistant ICCO are officers of the funds and the sole members of Tarantino
LLC and Griffin Compliance LLC, respectively. The funds can terminate the Agreements with Tarantino LLC and Griffin Compliance LLC at any time under the terms of the Agreements. For the year ended July 31, 2013, the aggregate fees paid by the
fund to Tarantino LLC and Griffin Compliance LLC were $45,226 and are included in Miscellaneous expense in the Statement of Operations. MFS has agreed to reimburse the fund for a portion of the payments made by the fund in the amount of
$18,868, which is shown as a reduction of total expenses in the Statement of Operations. Additionally, MFS has agreed to bear all expenses associated with office space, other administrative support, and supplies provided to the ICCO and Assistant
ICCO.
The fund invests in the MFS Institutional Money Market Portfolio which is managed by MFS and seeks current income consistent with preservation of
capital and liquidity. Income earned on this investment is included in Dividends from underlying affiliated funds in the Statement of Operations. This money market fund does not pay a management fee to MFS.
(4) Portfolio Securities
Purchases and sales of investments,
other than purchased option transactions and short-term obligations, were as follows:
|
|
|
|
|
|
|
|
|
|
|
Purchases
|
|
|
Sales
|
|
U.S. Government securities
|
|
|
$96,701,420
|
|
|
|
$28,340,440
|
|
Investments (non-U.S.
Government securities)
|
|
|
$5,314,571,348
|
|
|
|
$3,994,990,769
|
|
(5) Shares of Beneficial Interest
The funds Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest. Transactions in fund shares were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year ended
7/31/13
|
|
|
Year ended
7/31/12
|
|
|
|
Shares
|
|
|
Amount
|
|
|
Shares
|
|
|
Amount
|
|
Shares sold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A
|
|
|
73,923,814
|
|
|
|
$1,187,185,609
|
|
|
|
42,286,651
|
|
|
|
$632,251,334
|
|
Class B
|
|
|
1,130,577
|
|
|
|
18,261,949
|
|
|
|
1,125,869
|
|
|
|
16,921,631
|
|
Class C
|
|
|
11,557,325
|
|
|
|
186,529,493
|
|
|
|
8,976,621
|
|
|
|
134,757,702
|
|
Class I
|
|
|
145,117,273
|
|
|
|
2,311,898,097
|
|
|
|
138,061,852
|
|
|
|
2,069,908,598
|
|
Class R1
|
|
|
24,162
|
|
|
|
387,788
|
|
|
|
36,235
|
|
|
|
550,274
|
|
Class R2
|
|
|
885,442
|
|
|
|
14,220,149
|
|
|
|
946,223
|
|
|
|
14,177,116
|
|
Class R3
|
|
|
2,066,557
|
|
|
|
33,024,111
|
|
|
|
1,998,805
|
|
|
|
29,531,873
|
|
Class R4
|
|
|
4,122,301
|
|
|
|
65,882,221
|
|
|
|
4,735,633
|
|
|
|
71,360,509
|
|
Class R5 (formerly Class W)
|
|
|
11,210,513
|
|
|
|
177,184,667
|
|
|
|
18,671,029
|
|
|
|
280,062,509
|
|
|
|
|
250,037,964
|
|
|
|
$3,994,574,084
|
|
|
|
216,838,918
|
|
|
|
$3,249,521,546
|
|
51
Notes to Financial Statements continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year ended
7/31/13
|
|
|
Year ended
7/31/12
|
|
|
|
Shares
|
|
|
Amount
|
|
|
Shares
|
|
|
Amount
|
|
Shares issued to shareholders in
reinvestment of distributions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A
|
|
|
4,919,557
|
|
|
|
$78,126,471
|
|
|
|
3,518,508
|
|
|
|
$52,411,717
|
|
Class B
|
|
|
142,674
|
|
|
|
2,284,759
|
|
|
|
118,211
|
|
|
|
1,767,236
|
|
Class C
|
|
|
1,143,988
|
|
|
|
18,287,671
|
|
|
|
854,671
|
|
|
|
12,772,695
|
|
Class I
|
|
|
11,250,584
|
|
|
|
178,671,101
|
|
|
|
6,088,266
|
|
|
|
90,937,591
|
|
Class R1
|
|
|
3,024
|
|
|
|
48,394
|
|
|
|
1,854
|
|
|
|
27,752
|
|
Class R2
|
|
|
91,197
|
|
|
|
1,458,198
|
|
|
|
58,157
|
|
|
|
872,953
|
|
Class R3
|
|
|
154,881
|
|
|
|
2,463,739
|
|
|
|
78,947
|
|
|
|
1,186,355
|
|
Class R4
|
|
|
320,267
|
|
|
|
5,100,479
|
|
|
|
228,405
|
|
|
|
3,421,763
|
|
Class R5 (formerly Class W)
|
|
|
1,219,687
|
|
|
|
19,355,920
|
|
|
|
412,758
|
|
|
|
6,182,998
|
|
|
|
|
19,245,859
|
|
|
|
$305,796,732
|
|
|
|
11,359,777
|
|
|
|
$169,581,060
|
|
|
|
|
|
Shares reacquired
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A
|
|
|
(40,897,826
|
)
|
|
|
$(642,596,019
|
)
|
|
|
(39,861,850
|
)
|
|
|
$(596,139,952
|
)
|
Class B
|
|
|
(990,756
|
)
|
|
|
(15,592,173
|
)
|
|
|
(643,094
|
)
|
|
|
(9,608,761
|
)
|
Class C
|
|
|
(9,657,789
|
)
|
|
|
(150,682,284
|
)
|
|
|
(4,620,183
|
)
|
|
|
(68,935,782
|
)
|
Class I
|
|
|
(100,507,958
|
)
|
|
|
(1,579,365,799
|
)
|
|
|
(52,568,777
|
)
|
|
|
(783,893,004
|
)
|
Class R1
|
|
|
(23,732
|
)
|
|
|
(363,173
|
)
|
|
|
(11,458
|
)
|
|
|
(171,059
|
)
|
Class R2
|
|
|
(603,928
|
)
|
|
|
(9,647,531
|
)
|
|
|
(223,974
|
)
|
|
|
(3,364,581
|
)
|
Class R3
|
|
|
(957,291
|
)
|
|
|
(15,251,907
|
)
|
|
|
(418,794
|
)
|
|
|
(6,292,748
|
)
|
Class R4
|
|
|
(4,512,938
|
)
|
|
|
(71,701,674
|
)
|
|
|
(1,101,110
|
)
|
|
|
(16,437,348
|
)
|
Class R5 (formerly Class W)
|
|
|
(716,392
|
)
|
|
|
(11,444,575
|
)
|
|
|
(10,158,946
|
)
|
|
|
(153,946,102
|
)
|
|
|
|
(158,868,610
|
)
|
|
|
$(2,496,645,135
|
)
|
|
|
(109,608,186
|
)
|
|
|
$(1,638,789,337
|
)
|
|
|
|
|
Net change
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A
|
|
|
37,945,545
|
|
|
|
$622,716,061
|
|
|
|
5,943,309
|
|
|
|
$88,523,099
|
|
Class B
|
|
|
282,495
|
|
|
|
4,954,535
|
|
|
|
600,986
|
|
|
|
9,080,106
|
|
Class C
|
|
|
3,043,524
|
|
|
|
54,134,880
|
|
|
|
5,211,109
|
|
|
|
78,594,615
|
|
Class I
|
|
|
55,859,899
|
|
|
|
911,203,399
|
|
|
|
91,581,341
|
|
|
|
1,376,953,185
|
|
Class R1
|
|
|
3,454
|
|
|
|
73,009
|
|
|
|
26,631
|
|
|
|
406,967
|
|
Class R2
|
|
|
372,711
|
|
|
|
6,030,816
|
|
|
|
780,406
|
|
|
|
11,685,488
|
|
Class R3
|
|
|
1,264,147
|
|
|
|
20,235,943
|
|
|
|
1,658,958
|
|
|
|
24,425,480
|
|
Class R4
|
|
|
(70,370
|
)
|
|
|
(718,974
|
)
|
|
|
3,862,928
|
|
|
|
58,344,924
|
|
Class R5 (formerly Class W)
|
|
|
11,713,808
|
|
|
|
185,096,012
|
|
|
|
8,924,841
|
|
|
|
132,299,405
|
|
|
|
|
110,415,213
|
|
|
|
$1,803,725,681
|
|
|
|
118,590,509
|
|
|
|
$1,780,313,269
|
|
The fund is one of several mutual funds in which the MFS funds-of-funds may invest. The MFS funds-of-funds do not invest in the
underlying MFS funds for the purpose of exercising management or control. At the end of the period, the MFS Moderate Allocation Fund, MFS Growth Allocation Fund, and MFS Conservative Allocation Fund were the owners of record of approximately 2%, 2%,
and 1%, respectively, of the value of outstanding voting shares of the fund. In addition, the MFS Lifetime 2010 Fund, MFS Lifetime 2015 Fund, MFS Lifetime 2020 Fund, MFS Lifetime 2025 Fund, MFS
52
Notes to Financial Statements continued
Lifetime 2030 Fund, MFS Lifetime 2035 Fund, and the MFS Lifetime Retirement Income Fund were each the owners of record of less than 1% of the value of outstanding voting shares of the fund.
Redesignation of Class W to Class R5
On May 10, 2012, sales of Class W shares (including exchanges) were suspended. On May 11,
2012, certain Class W shares were automatically converted to Class I shares. Shareholders of certain Class W shares became shareholders of Class I and received Class I shares with a total net asset value equal to their Class W shares at the time of
the conversion. On May 30, 2012, remaining Class W shares, which represented MFS seed money, were redesignated Class R5. Class R5 shares are generally available only to certain eligible retirement plans and to funds distributed by MFD. Class R5
shares do not pay a 12b-1 distribution fee or sub-accounting costs. On June 1, 2012, Class R5 shares were offered for sale to the public.
(6)
Line of Credit
The fund and certain other funds managed by MFS participate in a $1.1 billion unsecured committed line of credit, subject to a $1
billion sublimit, provided by a syndication of banks under a credit agreement. Borrowings may be made for temporary financing needs. Interest is charged to each fund, based on its borrowings, generally at a rate equal to the higher of the Federal
Reserve funds rate or one month LIBOR plus an agreed upon spread. A commitment fee, based on the average daily, unused portion of the committed line of credit, is allocated among the participating funds at the end of each calendar quarter. In
addition, the fund and other funds managed by MFS have established unsecured uncommitted borrowing arrangements with certain banks for temporary financing needs. Interest is charged to each fund, based on its borrowings, at a rate equal to the
Federal Reserve funds rate plus an agreed upon spread. For the year ended July 31, 2013, the funds commitment fee and interest expense were $36,271 and $0, respectively, and are included in Miscellaneous expense in the
Statement of Operations.
(7) Transactions in Underlying Affiliated Funds-Affiliated Issuers
An affiliated issuer 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. For
the purposes of this report, the fund assumes the following to be an affiliated issuer:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Underlying Affiliated Fund
|
|
Beginning
Shares/Par
Amount
|
|
|
Acquisitions
Shares/Par
Amount
|
|
|
Dispositions
Shares/Par
Amount
|
|
|
Ending
Shares/Par
Amount
|
|
MFS Institutional Money
Market Portfolio
|
|
|
281,155,526
|
|
|
|
2,523,488,864
|
|
|
|
(2,247,134,308
|
)
|
|
|
557,510,082
|
|
|
|
|
|
|
Underlying Affiliated Fund
|
|
Realized
Gain(Loss)
|
|
|
Capital Gain
Distributions
|
|
|
Dividend
Income
|
|
|
Ending
Value
|
|
MFS Institutional Money
Market Portfolio
|
|
|
$
|
|
|
|
$
|
|
|
|
$728,239
|
|
|
|
$557,510,082
|
|
53
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of MFS Series Trust X and the Shareholders of MFS Emerging Markets Debt Fund:
We have audited the accompanying statement of assets and liabilities of MFS Emerging Markets Debt Fund (the Fund) (one of the portfolios comprising MFS Series Trust
X), including the portfolio of investments, as of July 31, 2013, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial
highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements and financial
highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United
States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the
Funds internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Funds internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities
owned as of July 31, 2013, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of
MFS Emerging Markets Debt Fund at July 31, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for the periods indicated
therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
September 16, 2013
54
TRUSTEES AND OFFICERS IDENTIFICATION AND BACKGROUND
The Trustees and Officers of the Trust, as of September 1, 2013, are listed below, together with their principal occupations during the past five
years. (Their titles may have varied during that period.) The address of each Trustee and officer is 111 Huntington Avenue, Boston, Massachusetts 02199-7618.
|
|
|
|
|
|
|
|
|
Name, Age
|
|
Position(s) Held
with Fund
|
|
Trustee/Officer
Since
(h)
|
|
Principal
Occupations During
the Past Five Years
|
|
Other
Directorships
(j)
|
INTERESTED TRUSTEES
|
Robert J. Manning
(k)
(age 49)
|
|
Trustee
|
|
February 2004
|
|
Massachusetts Financial Services Company, Chairman, Chief Executive Officer and Director; President (until 2009); Chief Investment Officer (until 2010)
|
|
N/A
|
INDEPENDENT TRUSTEES
|
|
|
David H. Gunning
(age 71)
|
|
Trustee and Chair of Trustees
|
|
January 2004
|
|
Private investor
|
|
Lincoln Electric Holdings, Inc. (welding equipment manufacturer), Director; Development Alternatives, Inc. (consulting), Director/Non-Executive Chairman; Portman Limited (mining), Director
(until 2008)
|
Robert E. Butler
(age 71)
|
|
Trustee
|
|
January 2006
|
|
Consultant investment company industry regulatory and compliance matters
|
|
N/A
|
Maureen R. Goldfarb
(age 58)
|
|
Trustee
|
|
January 2009
|
|
Private investor
|
|
N/A
|
William R. Gutow
(age 71)
|
|
Trustee
|
|
December 1993
|
|
Private investor and real estate consultant; Capitol Entertainment Management Company (video franchise), Vice Chairman
|
|
Texas Donuts (donut franchise), Vice Chairman (until 2010)
|
55
Trustees and Officers continued
|
|
|
|
|
|
|
|
|
Name, Age
|
|
Position(s) Held
with Fund
|
|
Trustee/Officer
Since
(h)
|
|
Principal
Occupations During
the Past Five Years
|
|
Other
Directorships
(j)
|
Michael Hegarty
(age 68)
|
|
Trustee
|
|
December 2004
|
|
Private investor
|
|
Brookfield Office Properties, Inc. (real estate), Director; Rouse Properties Inc. (real estate), Director; Capmark Financial Group Inc. (real estate), Director
|
John P. Kavanaugh
(age 58)
|
|
Trustee
|
|
January 2009
|
|
Private investor
|
|
N/A
|
J. Dale Sherratt
(age 74)
|
|
Trustee
|
|
June 1989
|
|
Insight Resources, Inc. (acquisition planning specialists), President; Wellfleet Investments (investor in health care companies), Managing General Partner
|
|
N/A
|
Laurie J. Thomsen
(age 56)
|
|
Trustee
|
|
March 2005
|
|
Private investor; New Profit, Inc. (venture philanthropy), Executive Partner (until 2010)
|
|
The Travelers Companies (insurance), Director
|
Robert W. Uek
(age 72)
|
|
Trustee
|
|
January 2006
|
|
Consultant to investment company industry
|
|
N/A
|
OFFICERS
|
|
|
|
|
|
|
John M. Corcoran
(k)
(age 48)
|
|
President
|
|
October 2008
|
|
Massachusetts Financial Services Company, Senior Vice President (since October 2008); State Street Bank and Trust (financial services provider), Senior Vice President, (until
2008)
|
|
N/A
|
Christopher R. Bohane
(k)
(age 39)
|
|
Assistant Secretary and Assistant Clerk
|
|
July 2005
|
|
Massachusetts Financial Services Company, Vice President and Assistant General Counsel
|
|
N/A
|
Kino Clark
(k)
(age 45)
|
|
Assistant
Treasurer
|
|
January 2012
|
|
Massachusetts Financial
Services
Company,
Vice President
|
|
N/A
|
56
Trustees and Officers continued
|
|
|
|
|
|
|
|
|
Name, Age
|
|
Position(s) Held
with Fund
|
|
Trustee/Officer
Since
(h)
|
|
Principal
Occupations During
the Past Five Years
|
|
Other
Directorships
(j)
|
Thomas H. Connors
(k)
(age 53)
|
|
Assistant
Secretary and Assistant
Clerk
|
|
September 2012
|
|
Massachusetts Financial Services Company,
Vice
President and Senior Counsel; Deutsche Investment Management Americas Inc. (financial service provider), Director and Senior Counsel (until 2012)
|
|
N/A
|
Ethan D. Corey
(k)
(age 49)
|
|
Assistant Secretary and Assistant Clerk
|
|
July 2005
|
|
Massachusetts Financial Services Company,
Senior
Vice President and Associate General Counsel
|
|
N/A
|
David L. DiLorenzo
(k)
(age 45)
|
|
Treasurer
|
|
July 2005
|
|
Massachusetts Financial Services Company, Senior Vice President
|
|
N/A
|
Robyn L. Griffin
(age 38)
|
|
Assistant Independent Chief Compliance Officer
|
|
August 2008
|
|
Griffin Compliance LLC (provider of compliance services), Principal (since August 2008); State Street Corporation (financial services provider), Mutual Fund Administration Assistant Vice
President (until 2008)
|
|
N/A
|
Brian E. Langenfeld
(k)
(age 40)
|
|
Assistant Secretary and Assistant Clerk
|
|
June 2006
|
|
Massachusetts Financial Services Company, Vice President and Senior Counsel
|
|
N/A
|
Susan S. Newton
(k)
(age 63)
|
|
Assistant Secretary and Assistant Clerk
|
|
May 2005
|
|
Massachusetts Financial Services Company, Senior Vice President and Associate General Counsel
|
|
N/A
|
57
Trustees and Officers continued
|
|
|
|
|
|
|
|
|
Name, Age
|
|
Position(s) Held
with Fund
|
|
Trustee/Officer
Since
(h)
|
|
Principal
Occupations During
the Past Five Years
|
|
Other
Directorships
(j)
|
Susan A. Pereira
(k)
(age 42)
|
|
Assistant Secretary and Assistant Clerk
|
|
July 2005
|
|
Massachusetts Financial Services Company, Vice President and Senior Counsel
|
|
N/A
|
Kasey L. Phillips
(k)
(age 42)
|
|
Assistant Treasurer
|
|
September 2012
|
|
Massachusetts Financial Services Company, Vice President; Wells Fargo Funds Management, LLC, Senior Vice President, Fund Treasurer (until 2012)
|
|
N/A
|
Mark N. Polebaum
(k)
(age 61)
|
|
Secretary and Clerk
|
|
January 2006
|
|
Massachusetts Financial Services Company, Executive Vice President, General Counsel and Secretary
|
|
N/A
|
Frank L. Tarantino
(age 69)
|
|
Independent Chief Compliance Officer
|
|
June 2004
|
|
Tarantino LLC (provider of compliance services), Principal
|
|
N/A
|
Richard S. Weitzel
(k)
(age 43)
|
|
Assistant Secretary and Assistant Clerk
|
|
October 2007
|
|
Massachusetts Financial Services Company, Senior Vice President and Associate General Counsel
|
|
N/A
|
James O. Yost
(k)
(age 53)
|
|
Deputy
Treasurer
|
|
September 1990
|
|
Massachusetts Financial Services Company, Senior Vice President
|
|
N/A
|
(h)
|
Date first appointed to serve as Trustee/officer of an MFS Fund. Each Trustee has served continuously since appointment unless indicated otherwise. For the period from December
15, 2004 until February 22, 2005, Mr. Manning served as Advisory Trustee. For the period October 2008, until January 2012, Mr. Corcoran served as Treasurer of the Funds. Prior to January 2012, Messrs. DiLorenzo and Yost served as Assistant
Treasurers of the Funds.
|
(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 position with MFS. The address of MFS is 111 Huntington Avenue, Boston, Massachusetts 02199-7618.
|
Each Trustee has been elected by shareholders and each Trustee and officer holds office until his or her successor is chosen and qualified or until his or her earlier death, resignation, retirement or removal. The
Trust does not hold annual meetings for the
58
Trustees and Officers continued
purpose of electing Trustees, and Trustees are not elected for fixed terms. Messrs. Butler, Kavanaugh, Uek and Ms. Thomsen are members of the Trusts Audit Committee.
Each of the Funds Trustees and officers holds comparable positions with certain other funds of which MFS or a subsidiary is the investment adviser or
distributor, and, in the case of the officers, with certain affiliates of MFS. As of January 1, 2013, the Trustees served as board members of 143 funds within the MFS Family of Funds.
The Statement of Additional Information for the Fund includes further information about the Trustees and is available without charge upon request by calling
1-800-225-2606.
|
|
|
Investment Adviser
|
|
Custodian
|
Massachusetts Financial Services Company
111 Huntington Avenue
Boston, MA 02199-7618
|
|
State Street Bank and Trust Company
1 Lincoln
Street
Boston, MA 02111-2900
|
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 Managers
|
|
|
Ward Brown
|
|
|
Matthew Ryan
|
|
|
59
BOARD REVIEW OF INVESTMENT ADVISORY AGREEMENT
The Investment Company Act of 1940 requires that both the full Board of Trustees and a majority of the non-interested (independent) Trustees, voting
separately, annually approve the continuation of the Funds investment advisory agreement with MFS. The Trustees consider matters bearing on the Fund and its advisory arrangements at their meetings throughout the year, including a review of
performance data at each regular meeting. In addition, the independent Trustees met several times over the course of three months beginning in May and ending in July, 2013 (contract review meetings) for the specific purpose of
considering whether to approve the continuation of the investment advisory agreement for the Fund and the other investment companies that the Board oversees (the MFS Funds). The independent Trustees were assisted in their evaluation of
the Funds investment advisory agreement by independent legal counsel, from whom they received separate legal advice and with whom they met separately from MFS during various contract review meetings. The independent Trustees were also assisted
in this process by the MFS Funds Independent Chief Compliance Officer, a full-time senior officer appointed by and reporting to the independent Trustees.
In connection with their deliberations regarding the continuation of the investment advisory agreement, the Trustees, including the independent Trustees, considered such information and factors as they believed, in
light of the legal advice furnished to them and their own business judgment, to be relevant. The investment advisory agreement for the Fund was considered separately, although the Trustees also took into account the common interests of all MFS Funds
in their review. As described below, the Trustees considered the nature, quality, and extent of the various investment advisory, administrative, and shareholder services performed by MFS under the existing investment advisory agreement and other
arrangements with the Fund.
In connection with their contract review meetings, the Trustees received and relied upon materials that included, among
other items: (i) information provided by Lipper Inc., an independent third party, on the investment performance of the Fund for various time periods ended December 31, 2012 and the investment performance of a group of funds with
substantially similar investment classifications/objectives (the Lipper performance universe), (ii) information provided by Lipper Inc. on the Funds advisory fees and other expenses and the advisory fees and other expenses of
comparable funds identified by Lipper Inc. (the Lipper expense group), (iii) information provided by MFS on the advisory fees of comparable portfolios of other clients of MFS, including institutional separate accounts and other
clients, (iv) information as to whether and to what extent applicable expense waivers, reimbursements or fee breakpoints are observed for the Fund, (v) information regarding MFS financial results and financial condition,
including MFS and certain of its affiliates estimated profitability from services performed for the Fund and the MFS Funds as a whole, and compared to MFS institutional business, (vi) MFS views regarding the outlook for
the mutual fund industry and the strategic business plans of MFS, (vii) descriptions of various functions performed by MFS for the Funds, such as compliance monitoring and portfolio trading practices, and (viii) information regarding the
overall organization of MFS, including information about MFS senior management and other personnel providing investment advisory, administrative and other services to
60
Board Review of Investment Advisory Agreement continued
the Fund and the other MFS Funds. The comparative performance, fee and expense information prepared and provided by Lipper Inc. was not independently verified and the independent Trustees did not
independently verify any information provided to them by MFS.
The Trustees conclusion as to the continuation of the investment advisory agreement
was based on a comprehensive consideration of all information provided to the Trustees and not the result of any single factor. Some of the factors that figured particularly in the Trustees deliberations are described below, although
individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. It is also important to recognize that the fee arrangements for the Fund and other MFS Funds are the result
of years of review and discussion between the independent Trustees and MFS, that certain aspects of such arrangements may receive greater scrutiny in some years than in others, and that the Trustees conclusions may be based, in part, on their
consideration of these same arrangements during the course of the year and in prior years.
Based on information provided by Lipper Inc. and MFS, the
Trustees reviewed the Funds total return investment performance as well as the performance of peer groups of funds over various time periods. The Trustees placed particular emphasis on the total return performance of the Funds
Class A shares in comparison to the performance of funds in its Lipper performance universe over the three-year period ended December 31, 2012, which the Trustees believed was a long enough period to reflect differing market conditions.
The total return performance of the Funds Class A shares was in the 3rd quintile relative to the other funds in the universe for this three-year period (the 1st quintile being the best performers and the 5th quintile being the worst
performers). The total return performance of the Funds Class A shares was in the 3rd quintile for the one-year period and the 2nd quintile for the five-year period ended December 31, 2012 relative to the Lipper performance universe.
Because of the passage of time, these performance results may differ from the performance results for more recent periods, including those shown elsewhere in this report.
In the course of their deliberations, the Trustees took into account information provided by MFS in connection with the contract review meetings, as well as during investment review meetings conducted with
portfolio management personnel during the course of the year regarding the Funds performance. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the investment advisory
agreement, that they were satisfied with MFS responses and efforts relating to investment performance.
In assessing the reasonableness of the
Funds advisory fee, the Trustees considered, among other information, the Funds advisory fee and the total expense ratio of the Funds Class A shares as a percentage of average daily net assets and the advisory fee and total
expense ratios of peer groups of funds based on information provided by Lipper Inc. The Trustees considered that, according to the Lipper data (which takes into account any fee reductions or expense limitations that were in effect during the
Funds last fiscal year), the Funds effective advisory fee rate was approximately at the Lipper expense group median, and the Funds total expense ratio was lower than the Lipper expense group median.
61
Board Review of Investment Advisory Agreement continued
The Trustees also considered the advisory fees charged by MFS to any comparable
institutional accounts. In comparing these fees, the Trustees considered information provided by MFS as to the generally broader scope of services provided by MFS to the Fund in comparison to institutional accounts, the higher demands placed on
MFS investment personnel and trading infrastructure as a result of the daily cash in-flows and out-flows of the Fund, and the impact on MFS and expenses associated with the more extensive regulatory regime to which the Fund is subject in
comparison to institutional accounts.
The Trustees also considered whether the Fund may benefit from any economies of scale in the management of the
Fund in the event of growth in assets of the Fund and/or growth in assets of the MFS Funds as a whole. They noted that the Funds advisory fee rate schedule is subject to a contractual breakpoint that reduces the Funds advisory fee rate
on average daily net assets over $1 billion and that MFS has agreed in writing to reduce its advisory fee on the Funds average daily net assets over $2.5 billion, which may not be changed without the Trustees approval. The Trustees also
noted that MFS has agreed in writing to waive a portion of the management fees of certain MFS Funds, including the Fund, if the total combined assets of certain funds within the MFS Funds complex increase above agreed upon thresholds (the
group fee waiver), enabling the Funds shareholders to share in the benefits from any economies of scale at the complex level. The group fee waiver is reviewed and renewed annually between the Board and MFS. The Trustees concluded
that the existing breakpoints and the group fee waiver were sufficient to allow the Fund to benefit from economies of scale as its assets and overall complex assets grow.
The Trustees also considered information prepared by MFS relating to MFS costs and profits with respect to the Fund, the MFS Funds considered as a group, and other investment companies and accounts advised by
MFS, as well as MFS methodologies used to determine and allocate its costs to the MFS Funds, the Fund and other accounts and products for purposes of estimating profitability.
After reviewing these and other factors described herein, the Trustees concluded, within the context of their overall conclusions regarding the investment advisory agreement, that the advisory fees charged to the
Fund represent reasonable compensation in light of the services being provided by MFS to the Fund.
In addition, the Trustees considered MFS
resources and related efforts to continue to retain, attract and motivate capable personnel to serve the Fund. The Trustees also considered current and developing conditions in the financial services industry, including the presence of large and
well-capitalized companies which are spending, and appear to be prepared to continue to spend, substantial sums to engage personnel and to provide services to competing investment companies. In this regard, the Trustees also considered the financial
resources of MFS and its ultimate parent, Sun Life Financial Inc. The Trustees also considered the advantages and possible disadvantages to the Fund of having an adviser that also serves other investment companies as well as other accounts.
The Trustees also considered the nature, quality, cost, and extent of administrative, transfer agency, and distribution services provided to the Fund by
MFS and its affiliates under agreements and plans other than the investment advisory agreement, including
62
Board Review of Investment Advisory Agreement continued
any 12b-1 fees the Fund pays to MFS Fund Distributors, Inc., an affiliate of MFS. The Trustees also considered the nature, extent and quality of certain other services MFS performs or arranges
for on the Funds behalf, which may include securities lending programs, directed expense payment programs, class action recovery programs, and MFS interaction with third-party service providers, principally custodians and
sub-custodians.
The Trustees concluded that the various non-advisory services provided by MFS and its affiliates on behalf of the Fund were satisfactory.
The Trustees also considered benefits to MFS from the use of the Funds portfolio brokerage commissions, if applicable, to pay for investment research and various other factors. Additionally, the Trustees
considered so-called fall-out benefits to MFS such as reputational value derived from serving as investment manager to the Fund.
Based on
their evaluation of factors that they deemed to be material, including those factors described above, the Board of Trustees, including the independent Trustees, concluded that the Funds investment advisory agreement with MFS should be
continued for an additional one-year period, commencing August 1, 2013.
A discussion regarding the Boards most recent review and renewal of
the funds Investment Advisory Agreement with MFS is available by clicking on the funds name under Mutual Funds in the Products section of the MFS Web site
(mfs.com).
63
PROXY VOTING POLICIES AND INFORMATION
A general description of the MFS funds proxy voting policies and procedures is available without charge, upon request, by calling 1-800-225-2606, by visiting
the Proxy Voting section of
mfs.com
or by visiting the SECs Web site at
http://www.sec.gov
.
Information regarding how the fund
voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available without charge by visiting the Proxy Voting section of
mfs.com
or by visiting the SECs Web site
at
http://www.sec.gov
.
QUARTERLY PORTFOLIO DISCLOSURE
The fund will file a complete schedule of portfolio holdings with the Securities and Exchange Commission (the Commission) for the first and third quarters of each
fiscal year on Form N-Q. A shareholder can obtain the quarterly portfolio holdings report at
mfs.com
. The funds Form N-Q is also available on the EDGAR database on the Commissions Internet Web site at
http://www.sec.gov
,
and may be reviewed and copied at the:
Public Reference Room
Securities and Exchange Commission
100 F Street, NE, Room 1580
Washington, D.C. 20549
Information on the
operation of the Public Reference Room may be obtained by calling the Commission at 1-800-SEC-0330. Copies of the funds Form N-Q also may be obtained, upon payment of a duplicating fee, by electronic request at the following
e-mail
address: publicinfo@sec.gov or by writing the Public Reference Section at the above address.
FURTHER INFORMATION
From time to time, MFS may post important information about the fund or the MFS funds on the MFS web site (
mfs.com
). This
information is available by visiting the News & Commentary section of
mfs.com
or by clicking on the funds name under Mutual Funds in the Products section of
mfs.com
.
FEDERAL TAX INFORMATION (unaudited)
The fund will notify shareholders of amounts for use in preparing 2013 income tax forms in January 2014.
The
following information is provided pursuant to provisions of the Internal Revenue Code.
The fund designates $40,764,000 as capital gain dividends paid
during the fiscal year.
64
rev. 3/11
|
|
|
|
|
|
|
|
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 dont share
|
For joint marketing with other financial companies
|
|
No
|
|
We dont share
|
For our affiliates everyday business purposes
information about your transactions and experiences
|
|
No
|
|
We dont share
|
For our affiliates everyday business purposes
information about your creditworthiness
|
|
No
|
|
We dont share
|
For nonaffiliates to market to you
|
|
No
|
|
We dont share
|
|
|
|
Questions?
|
|
Call
800-225-2606
or go to
mfs.com
.
|
65
|
|
|
Who we are
|
Who is providing this notice?
|
|
MFS Funds, MFS Investment Management, MFS Institutional Advisors, Inc., MFS Fund Distributors,
Inc., MFS Heritage Trust Company, and MFS Service Center, Inc.
|
|
|
|
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 and
other companies.
|
Why cant 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.
|
66
Save paper with eDelivery.
|
MFS® will send you prospectuses,
|
reports, and proxies directly via
e-mail
so you will get information faster with less mailbox clutter.
To sign up
:
1. Go to mfs.com.
2. Log in via MFS®
Access.
3. Select eDelivery.
If
you own your MFS fund shares through a financial institution or a retirement plan, MFS® TALK, MFS® Access, or eDelivery may not be available to you.
CONTACT
WEB SITE
mfs.com
MFS TALK
1-800-637-8255
24 hours a day
ACCOUNT SERVICE AND LITERATURE
Shareholders
1-800-225-2606
Financial advisors
1-800-343-2829
Retirement plan services
1-800-637-1255
MAILING ADDRESS
MFS Service Center, Inc.
P.O. Box 55824
Boston, MA 02205-5824
OVERNIGHT MAIL
MFS Service Center, Inc.
c/o Boston Financial Data Services
30 Dan Road
Canton, MA 02021-2809
ANNUAL REPORT
July 31, 2013
MFS® EMERGING MARKETS DEBT
LOCAL CURRENCY FUND
EML-ANN
MFS® EMERGING MARKETS DEBT LOCAL CURRENCY FUND
CONTENTS
The report is prepared for the general information of shareholders.
It is authorized for distribution to prospective investors only when preceded or accompanied by a current prospectus.
NOT FDIC INSURED
MAY LOSE VALUE
NO
BANK GUARANTEE
LETTER
FROM THE CHAIRMAN AND CEO
Dear Shareholders:
The U.S. economy continues to grow, albeit at a modest pace, possibly helping to gently lift other regions out of a prolonged slump. The resilience of the U.S.
housing
market and improved jobs picture continues to offset the drag created by the governments sequestration and rise in taxes. Going forward, much could hinge on how much cooperation and
bipartisanship the U.S. Congress can achieve, as yet another fiscal showdown looms later in 2013.
China is shifting gears from being the engine of
global growth because of its rapid consumption of commodities.
Commodity-exporting
countries are feeling the squeeze from Chinas economic focus being turned toward domestic consumers and its overall pace
of growth slowing. Japans recent economic reports indicate that its 15-year period of stagnant
growth and deflation could be ending, while the eurozone is showing signs of a pickup in economic growth after two years of recession. These recent positive signs in Japan and Europe point to a
possible broadening base of global growth that could help take the burden off China and the United States as the main engines of global activity.
As always, managing risk in the face of uncertainty remains a top priority for investors. At MFS®, our uniquely collaborative investment process employs integrated, global research and active risk management.
Our global team of investment professionals shares ideas and evaluates opportunities across continents, investment disciplines and asset classes all with a goal of building better insights, and ultimately better results, for our clients.
We are mindful of the many economic challenges investors face, and believe it is more important than ever to maintain a long-term view and employ
time-tested principles, such as asset allocation and diversification. We remain confident that our unique approach can serve investors well as they work with their financial advisors to identify and pursue the most suitable opportunities.
Respectfully,
Robert J. Manning
Chairman and Chief Executive Officer
MFS
Investment Management®
September 16, 2013
The
opinions expressed in this letter are subject to change, may not be relied upon for investment advice, and no forecasts can be guaranteed.
1
PORTFOLIO COMPOSITION
Bond exposure (i)
|
|
|
|
|
Issuer country weightings of bonds (i)(x)
|
|
Russia
|
|
|
16.4%
|
|
Brazil
|
|
|
16.0%
|
|
South Africa
|
|
|
12.2%
|
|
Mexico
|
|
|
10.5%
|
|
Turkey
|
|
|
8.0%
|
|
Indonesia
|
|
|
7.2%
|
|
Poland
|
|
|
6.3%
|
|
Thailand
|
|
|
6.1%
|
|
United States
|
|
|
(5.1)%
|
|
Other Countries
|
|
|
22.4%
|
|
|
|
Fixed income sectors (i)
|
|
|
|
|
Sovereign Emerging Markets
|
|
|
78.4%
|
|
Emerging Markets Corporate Bonds
|
|
|
16.9%
|
|
Other Government Entity-Emerging Markets Quasi Government
|
|
|
8.8%
|
|
Developed Markets Corporate Bonds
|
|
|
0.5%
|
|
Sovereign Developed Markets
|
|
|
0.5%
|
|
U.S. Government Securities Hedge (t)
|
|
|
(7.9)%
|
|
|
Composition including fixed income credit quality (a)(i)
|
|
A
|
|
|
17.6%
|
|
BBB
|
|
|
52.3%
|
|
BB
|
|
|
11.3%
|
|
B
|
|
|
6.0%
|
|
Not Rated
|
|
|
10.0%
|
|
Cash & Other
|
|
|
2.8%
|
|
Currency exposure (i)(y)
|
|
|
|
|
Currency exposure weightings (i)(y)
|
|
Mexican Peso
|
|
|
11.0%
|
|
Russian Ruble
|
|
|
10.6%
|
|
Polish Zloty
|
|
|
9.7%
|
|
Brazilian Real
|
|
|
9.3%
|
|
Turkish Lira
|
|
|
8.9%
|
|
South African Rand
|
|
|
8.9%
|
|
Malaysian Ringgit
|
|
|
8.7%
|
|
United States Dollar
|
|
|
7.4%
|
|
Indonesian Rupiah
|
|
|
6.3%
|
|
Other Countries
|
|
|
19.2%
|
|
|
|
Portfolio facts (i)
|
|
|
|
|
Average Duration (d)
|
|
|
4.0
|
|
Average Effective Maturity (m)
|
|
|
6.9 yrs.
|
|
2
Portfolio Composition continued
(a)
|
For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moodys, Fitch, and
Standard & Poors 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. 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. Not Rated includes fixed income securities,
including fixed income futures contracts, which have not been rated by any rating agency. Cash & Other includes cash, other assets less liabilities, offsets to derivative positions, and short-term securities. The fund may not hold all of
these instruments. The fund is not rated by these agencies.
|
(d)
|
Duration is a measure of how much a bonds 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 market 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 portfolios 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 market value. The bond component will include any accrued interest amounts.
|
(m)
|
In determining an instruments effective maturity for purposes of calculating the funds
dollar-weighted
average effective
maturity, MFS uses the instruments 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 instruments stated maturity.
|
(t)
|
For the purpose of managing the funds duration (but not its credit exposure), the fund holds U.S. Treasury futures contracts with a bond equivalent exposure of (7.9)%.
|
(x)
|
Represents the portfolios exposure to issuer countries as a percentage of a portfolios net assets.
|
(y)
|
Represents the portfolios exposure to a particular currency as a percentage of a portfolios net assets.
|
Where the fund holds convertible bonds, these are treated as part of the equity portion of the portfolio.
Percentages are based on net assets as of 7/31/13.
The portfolio is actively managed and current holdings may be
different.
3
MANAGEMENT REVIEW
Summary of Results
For the twelve months ended
July 31, 2013, Class A shares of the MFS Emerging Markets Debt Local Currency Fund (fund) provided a total return of 3.21%, at net asset value. This compares with a return of 1.45% for the funds benchmark, the
JPMorgan Government Bond Index Emerging Markets Global Diversified.
Market Environment
At the beginning of the period, markets were suffering a bout of risk aversion due to broadly weaker global macroeconomic indicators, as well as renewed concerns over the eurozones capacity and determination
to address its ongoing crisis. However, a few months into the period, this renewed weakness in the fundamentals precipitated yet a further round of monetary easing by both the Federal Reserve Bank (Fed) (through a third round of
quantitative easing) and the European Central Bank (ECB) (through a new bond purchase facility), which soon instilled additional confidence in risk markets.
Nonetheless, towards the end of the calendar year, weaker equity earnings reports and declining forward guidance caused market sentiment to soften again. In addition,
year-end
fiscal cliff negotiations between the Republicans in the U.S. Congress and President Obama were a particular source of market attention, where uncertainty surrounding the fiscal negotiations continued
right up to the end-of-year deadline. A last minute political agreement averted the worst-case scenario and markets gravitated towards risk assets again, though the implementation of the U.S. budget sequester, combined with the uncertainty
surrounding the Italian election results, inserted a continued degree of caution as we entered the second half of the period.
During the first few
months of 2013, market sentiment improved markedly, as global macroeconomic indicators improved and fears of fiscal austerity in the U.S. waned. Late in the period, however, global growth dynamics looked to be weakening again, though markets
were generally unfazed, continuing their risk-on path, especially in light of continued easing by global central banks and the Bank of Japan in particular. At the end of the period, the growing risk of tapering of quantitative easing by the Fed
caused sovereign bond yields to spike, credit spreads to widen, and equity valuation to fall.
Factors Affecting Performance
Relative to the JPMorgan Government Bond Index Emerging Markets Global Diversified, the currency exposures of the funds holdings,
particularly in the Indonesian Rupiah, Brazilian Real, and Thailand Baht, were primary sources of underperformance. The funds yield curve
(y)
positioning in
Europe, most notably in Hungary and Russia, also weakened relative performance.
4
Management Review continued
The funds duration
(d)
positioning in Turkey, particularly a longer duration in the first three quarters of the period, was a positive impact to
relative performance as yields declined. Additionally, the funds duration stance in Indonesia benefited relative returns.
Respectfully,
|
|
|
Ward Brown
|
|
Matthew Ryan
|
Portfolio Manager
|
|
Portfolio Manager
|
(d)
|
Duration is a measure of how much a bonds 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.
|
(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.
|
The views expressed in this report are those of the portfolio managers only through the end of the period of the
report as stated on the cover and do not necessarily reflect the views of MFS or any other person in the MFS organization. These views are subject to change at any time based on market or other conditions, and MFS disclaims any responsibility to
update such views. These views may not be relied upon as investment advice or an indication of trading intent on behalf of any MFS portfolio. References to specific securities are not recommendations of such securities, and may not be representative
of any MFS portfolios current or future investments.
5
PERFORMANCE SUMMARY
THROUGH 7/31/13
The
following chart illustrates a representative class of the funds historical performance in comparison to its benchmark(s). Performance results include the deduction of the maximum applicable sales charge and reflect the percentage change in net
asset value, including reinvestment of dividends and capital gains distributions. The performance of other share classes will be greater than or less than that of the class depicted below. Benchmarks are unmanaged and may not be invested in
directly. Benchmark returns do not reflect sales charges, commissions or expenses. (See Notes to Performance Summary.)
Performance data shown
represents past performance and is no guarantee of future results. Investment return and principal value fluctuate so your shares, when sold, may be worth more or less than the original cost; current performance may be lower or higher than quoted.
The performance shown does not reflect the deduction of taxes, if any, that a shareholder would pay on fund distributions or the redemption of fund shares.
Growth of a Hypothetical $10,000 Investment (t)
6
Performance Summary continued
Total Returns through 7/31/13
Average annual without sales charge
|
|
|
|
|
|
|
|
|
|
|
|
|
Share class
|
|
Class inception date
|
|
1-yr
|
|
Life (t)
|
|
|
|
|
A
|
|
9/15/11
|
|
(3.21)%
|
|
(1.06)%
|
|
|
|
|
B
|
|
9/15/11
|
|
(3.84)%
|
|
(1.76)%
|
|
|
|
|
C
|
|
9/15/11
|
|
(3.84)%
|
|
(1.76)%
|
|
|
|
|
I
|
|
9/15/11
|
|
(2.86)%
|
|
(0.76)%
|
|
|
|
|
R1
|
|
9/15/11
|
|
(3.93)%
|
|
(1.76)%
|
|
|
|
|
R2
|
|
9/15/11
|
|
(3.35)%
|
|
(1.26)%
|
|
|
|
|
R3
|
|
9/15/11
|
|
(3.11)%
|
|
(1.01)%
|
|
|
|
|
R4
|
|
9/15/11
|
|
(2.86)%
|
|
(0.75)%
|
|
|
|
|
R5
|
|
12/03/12
|
|
N/A
|
|
(6.46)%
|
|
|
Comparative benchmark
|
|
|
|
|
|
|
|
|
JPMorgan Government Bond Index Emerging Markets Global
Diversified (f)
|
|
(1.45)%
|
|
1.69%
|
|
|
Average annual with sales charge
|
|
|
|
|
|
|
|
|
A
With
Initial Sales Charge (4.75%)
|
|
(7.81)%
|
|
(3.59)%
|
|
|
|
|
B
With CDSC (Declining over six
years
from 4% to 0%) (x)
|
|
(7.54)%
|
|
(3.75)%
|
|
|
|
|
C
With CDSC (1% for 12 months)
(x)
|
|
(4.76)%
|
|
(1.76)%
|
|
|
Class I, R1, R2, R3, R4 and R5 shares do not have a sales charge.
CDSC Contingent Deferred Sales Charge.
(f)
|
Source: FactSet Research Systems Inc.
|
(t)
|
For the period from the class inception date through the stated period end. The comparative benchmark performance information provided for the life period is from the
inception date of the Class A shares. (See Notes to Performance Summary.)
|
(x)
|
Assuming redemption at the end of the applicable period.
|
Benchmark Definition
JPMorgan Government Bond Index Emerging
Markets Global Diversified a market capitalization weighted index that is designed to measure the performance of local currency government bonds issued in emerging markets. The index includes only the countries which give access to their
capital market to foreign investors; it therefore excludes China, India, and Thailand. Individual country weights in the index are limited to 10% in order for the index to remain fully diversified.
It is not possible to invest directly in an index.
7
Performance Summary continued
Notes to Performance Summary
Average annual total return represents the average annual change in value for each share class for the periods presented. Life returns are presented where the share
class has less than 10 years of performance history and represent the average annual total return from the class inception date to the stated period end date. As the funds share classes may have different inception dates, the life returns may
represent different time periods and may not be comparable.
Performance results reflect any applicable expense subsidies and waivers in effect during
the periods shown. Without such subsidies and waivers the funds performance results would be less favorable. Please see the prospectus and financial statements for complete details.
Performance results do not include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles and may differ from amounts reported in the financial
highlights.
From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower.
8
EXPENSE TABLE
Fund expenses borne by the shareholders during the period,
February 1, 2013 through July 31, 2013
As a shareholder of the fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on certain purchase or
redemption payments, and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and
to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the
beginning of the period and held for the entire period February 1, 2013 through July 31, 2013.
Actual Expenses
The first line for each share class in the following table provides information about actual account values and actual expenses. You may use the information in this
line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the
number in the first line under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line for each share class in the following table
provides information about hypothetical account values and hypothetical expenses based on the funds actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the funds actual return. The
hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so,
compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the
expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line for each share class in the table is useful in comparing ongoing costs
only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
9
Expense Table continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Share
Class
|
|
|
|
Annualized
Expense
Ratio
|
|
|
Beginning
Account Value
2/01/13
|
|
|
Ending
Account Value
7/31/13
|
|
|
Expenses
Paid During
Period (p)
2/01/13-7/31/13
|
|
A
|
|
Actual
|
|
|
1.22%
|
|
|
|
$1,000.00
|
|
|
|
$903.46
|
|
|
|
$5.76
|
|
|
Hypothetical (h)
|
|
|
1.22%
|
|
|
|
$1,000.00
|
|
|
|
$1,018.74
|
|
|
|
$6.11
|
|
B
|
|
Actual
|
|
|
2.00%
|
|
|
|
$1,000.00
|
|
|
|
$900.07
|
|
|
|
$9.42
|
|
|
Hypothetical (h)
|
|
|
2.00%
|
|
|
|
$1,000.00
|
|
|
|
$1,014.88
|
|
|
|
$9.99
|
|
C
|
|
Actual
|
|
|
2.00%
|
|
|
|
$1,000.00
|
|
|
|
$900.08
|
|
|
|
$9.42
|
|
|
Hypothetical (h)
|
|
|
2.00%
|
|
|
|
$1,000.00
|
|
|
|
$1,014.88
|
|
|
|
$9.99
|
|
I
|
|
Actual
|
|
|
1.00%
|
|
|
|
$1,000.00
|
|
|
|
$904.73
|
|
|
|
$4.72
|
|
|
Hypothetical (h)
|
|
|
1.00%
|
|
|
|
$1,000.00
|
|
|
|
$1,019.84
|
|
|
|
$5.01
|
|
R1
|
|
Actual
|
|
|
2.00%
|
|
|
|
$1,000.00
|
|
|
|
$900.07
|
|
|
|
$9.42
|
|
|
Hypothetical (h)
|
|
|
2.00%
|
|
|
|
$1,000.00
|
|
|
|
$1,014.88
|
|
|
|
$9.99
|
|
R2
|
|
Actual
|
|
|
1.50%
|
|
|
|
$1,000.00
|
|
|
|
$902.40
|
|
|
|
$7.08
|
|
|
Hypothetical (h)
|
|
|
1.50%
|
|
|
|
$1,000.00
|
|
|
|
$1,017.36
|
|
|
|
$7.50
|
|
R3
|
|
Actual
|
|
|
1.25%
|
|
|
|
$1,000.00
|
|
|
|
$903.57
|
|
|
|
$5.90
|
|
|
Hypothetical (h)
|
|
|
1.25%
|
|
|
|
$1,000.00
|
|
|
|
$1,018.60
|
|
|
|
$6.26
|
|
R4
|
|
Actual
|
|
|
1.00%
|
|
|
|
$1,000.00
|
|
|
|
$904.73
|
|
|
|
$4.72
|
|
|
Hypothetical (h)
|
|
|
1.00%
|
|
|
|
$1,000.00
|
|
|
|
$1,019.84
|
|
|
|
$5.01
|
|
R5
|
|
Actual
|
|
|
0.95%
|
|
|
|
$1,000.00
|
|
|
|
$904.89
|
|
|
|
$4.49
|
|
|
Hypothetical (h)
|
|
|
0.95%
|
|
|
|
$1,000.00
|
|
|
|
$1,020.08
|
|
|
|
$4.76
|
|
(h)
|
5% class return per year before expenses.
|
(p)
|
Expenses paid are equal to each classs annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by the number of days
in the period, divided by the number of days in the year. Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher.
|
Expense Changes Impacting the Table
Expense ratio for Class A includes 12b-1 Service Fee rebate of 0.03% that is outside of the expense limitation arrangement (See Note 3 of the Notes to Financial Statements for additional information).
10
PORTFOLIO OF INVESTMENTS
7/31/13
The Portfolio of Investments is a complete
list of all securities owned by your fund. It is categorized by broad-based asset classes.
|
|
|
|
|
|
|
|
|
Bonds - 92.7%
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
Brazil - 13.5%
|
|
|
|
|
|
|
|
|
Banco do Brasil S.A., FRN, 6.25%, 2049 (n)
|
|
$
|
200,000
|
|
|
$
|
166,000
|
|
Banco Santander Brasil S.A., 8%, 2016 (n)
|
|
BRL
|
787,000
|
|
|
|
320,392
|
|
Brazil Letras do Tesouro Nacional, 0%, 2014
|
|
BRL
|
667,000
|
|
|
|
281,820
|
|
BRF S.A., 7.75%, 2018 (n)
|
|
BRL
|
1,047,000
|
|
|
|
389,639
|
|
Cosan Luxembourg S.A., 9.5%, 2018 (n)
|
|
BRL
|
874,000
|
|
|
|
362,642
|
|
Federative Republic of Brazil, 10%, 2017
|
|
BRL
|
3,671,000
|
|
|
|
1,562,637
|
|
Federative Republic of Brazil, 10%, 2021
|
|
BRL
|
2,072,000
|
|
|
|
856,017
|
|
Federative Republic of Brazil, Inflation Linked Bond, 6%, 2016
|
|
BRL
|
1,238,374
|
|
|
|
562,087
|
|
Fibria Overseas Finance Ltd., 6.75%, 2021
|
|
$
|
150,000
|
|
|
|
163,500
|
|
Marfrig Holding Europe B.V., 9.875%, 2017 (n)
|
|
|
200,000
|
|
|
|
202,000
|
|
Odebrecht Offshore Drilling Finance Ltd., 6.75%, 2022 (z)
|
|
|
200,000
|
|
|
|
199,600
|
|
Oi S.A., 9.75%, 2016
|
|
BRL
|
796,000
|
|
|
|
319,258
|
|
Qgog Constellation S.A., 6.25%, 2019 (n)
|
|
$
|
200,000
|
|
|
|
190,000
|
|
Ultrapetrol (Bahamas) Ltd., 8.875%, 2021 (n)
|
|
|
74,000
|
|
|
|
75,480
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,651,072
|
|
Canada - 0.5%
|
|
|
|
|
|
|
|
|
First Quantum Minerals Ltd., 7.25%, 2019 (n)
|
|
$
|
200,000
|
|
|
$
|
195,000
|
|
IAMGOLD Corp., 6.75%, 2020
|
|
|
33,000
|
|
|
|
28,050
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
223,050
|
|
Chile - 0.8%
|
|
|
|
|
|
|
|
|
Automotores Gildemeister S.A., 8.25%, 2021
|
|
$
|
100,000
|
|
|
$
|
80,000
|
|
S.A.C.I. Falabella, 6.5%, 2023 (n)
|
|
CLP
|
145,500,000
|
|
|
|
270,580
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
350,580
|
|
China - 0.4%
|
|
|
|
|
|
|
|
|
Hyva Global B.V., 8.625%, 2016
|
|
$
|
200,000
|
|
|
$
|
181,500
|
|
|
|
|
Colombia - 2.9%
|
|
|
|
|
|
|
|
|
Empresa de Telecomunicaciones de Bogota S.A., 7%, 2023 (n)
|
|
COP
|
200,000,000
|
|
|
$
|
93,416
|
|
Pacific Rubiales Energy Corp., 5.125%, 2023 (n)
|
|
$
|
100,000
|
|
|
|
94,300
|
|
Titulos de Tesoreria, 5%, 2018
|
|
COP
|
120,000,000
|
|
|
|
59,957
|
|
Titulos de Tesoreria, 11%, 2020
|
|
COP
|
997,900,000
|
|
|
|
636,686
|
|
Titulos de Tesoreria, 7.5%, 2026
|
|
COP
|
673,100,000
|
|
|
|
351,408
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,235,767
|
|
Cote dIvoire - 0.2%
|
|
|
|
|
|
|
|
|
Ivory Coast, 7.099%, 2032
|
|
$
|
100,000
|
|
|
$
|
88,000
|
|
11
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Croatia - 0.5%
|
|
|
|
|
|
|
|
|
Republic of Croatia, 5.5%, 2023 (n)
|
|
$
|
200,000
|
|
|
$
|
198,000
|
|
|
|
|
Dominican Republic - 0.5%
|
|
|
|
|
|
|
|
|
Banco de Reservas de La Republica Dominicana, 7%, 2023 (n)
|
|
$
|
200,000
|
|
|
$
|
198,000
|
|
|
|
|
Guatemala - 0.6%
|
|
|
|
|
|
|
|
|
Central American Bottling Corp., 6.75%, 2022 (n)
|
|
$
|
132,000
|
|
|
$
|
136,950
|
|
Industrial Senior Trust Co., 5.5%, 2022
|
|
|
100,000
|
|
|
|
95,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
231,950
|
|
Hungary - 4.4%
|
|
|
|
|
|
|
|
|
Republic of Hungary, 5.375%, 2023
|
|
$
|
208,000
|
|
|
$
|
198,380
|
|
Republic of Hungary, 6.75%, 2017
|
|
HUF
|
168,810,000
|
|
|
|
789,924
|
|
Republic of Hungary, 6.75%, 2017
|
|
HUF
|
168,170,000
|
|
|
|
784,538
|
|
Republic of Hungary, 6%, 2023
|
|
HUF
|
16,900,000
|
|
|
|
72,943
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,845,785
|
|
India - 0.5%
|
|
|
|
|
|
|
|
|
Rolta LLC, 10.75%, 2018 (n)
|
|
$
|
200,000
|
|
|
$
|
196,000
|
|
|
|
|
Indonesia - 7.1%
|
|
|
|
|
|
|
|
|
Republic of Indonesia, 5.25%, 2018
|
|
IDR
|
9,653,000,000
|
|
|
$
|
860,675
|
|
Republic of Indonesia, 7%, 2027
|
|
IDR
|
5,900,000,000
|
|
|
|
523,379
|
|
Republic of Indonesia, 5.625%, 2023
|
|
IDR
|
1,814,000,000
|
|
|
|
150,616
|
|
Republic of Indonesia, 11%, 2025
|
|
IDR
|
2,600,000,000
|
|
|
|
309,131
|
|
Republic of Indonesia, 8.25%, 2032
|
|
IDR
|
4,058,000,000
|
|
|
|
394,919
|
|
Republic of Indonesia, 12.8%, 2021
|
|
IDR
|
855,000,000
|
|
|
|
107,304
|
|
Republic of Indonesia, 8.375%, 2026
|
|
IDR
|
2,056,000,000
|
|
|
|
203,685
|
|
Republic of Indonesia, 8.25%, 2021
|
|
IDR
|
2,234,000,000
|
|
|
|
222,357
|
|
Republic of Indonesia, 7%, 2022
|
|
IDR
|
2,150,000,000
|
|
|
|
198,592
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,970,658
|
|
Israel - 0.5%
|
|
|
|
|
|
|
|
|
Israel Electric Corp. Ltd., 5.625%, 2018 (n)
|
|
$
|
200,000
|
|
|
$
|
205,000
|
|
|
|
|
Jamaica - 0.5%
|
|
|
|
|
|
|
|
|
Digicel Group Ltd., 8.25%, 2017
|
|
$
|
200,000
|
|
|
$
|
208,500
|
|
|
|
|
Malaysia - 2.9%
|
|
|
|
|
|
|
|
|
Government of Malaysia, 3.314%, 2017
|
|
MYR
|
1,317,000
|
|
|
$
|
398,846
|
|
Government of Malaysia, 4.24%, 2018
|
|
MYR
|
694,000
|
|
|
|
217,504
|
|
Government of Malaysia, 4.392%, 2026
|
|
MYR
|
468,000
|
|
|
|
147,796
|
|
Government of Malaysia, 4.16%, 2021
|
|
MYR
|
1,164,000
|
|
|
|
359,479
|
|
12
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Malaysia - continued
|
|
|
|
|
|
|
|
|
Government of Malaysia, 4.378%, 2019
|
|
MYR
|
118,000
|
|
|
$
|
37,119
|
|
Government of Malaysia, 3.418%, 2022
|
|
MYR
|
172,000
|
|
|
|
50,391
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,211,135
|
|
Mexico - 8.0%
|
|
|
|
|
|
|
|
|
America Movil S.A.B. de C.V., 6.45%, 2022
|
|
MXN
|
3,560,000
|
|
|
$
|
266,650
|
|
CEMEX S.A.B. de C.V., 9.25%, 2020
|
|
$
|
86,000
|
|
|
|
93,955
|
|
Empresas ICA S.A.B. de C.V., 8.9%, 2021
|
|
|
55,000
|
|
|
|
51,150
|
|
Empresas ICA S.A.B. de C.V., 8.375%, 2017
|
|
|
150,000
|
|
|
|
143,325
|
|
Grupo Cementos de Chihuahua S.A.B. de C.V., 8.125%, 2020 (n)
|
|
|
200,000
|
|
|
|
207,000
|
|
Grupo Televisa S.A.B., 7.25%, 2043
|
|
MXN
|
2,340,000
|
|
|
|
155,389
|
|
Petroleos Mexicanos, 7.65%, 2021
|
|
MXN
|
2,730,000
|
|
|
|
226,988
|
|
Red de Carreteras de Occidente SAPIB de C.V., 9%, 2028 (n)
|
|
MXN
|
3,960,000
|
|
|
|
282,868
|
|
United Mexican States, 8.5%, 2029
|
|
MXN
|
7,720,000
|
|
|
|
708,151
|
|
United Mexican States, 7.75%, 2031
|
|
MXN
|
2,900,000
|
|
|
|
246,629
|
|
United Mexican States, 8%, 2020
|
|
MXN
|
5,460,000
|
|
|
|
485,151
|
|
United Mexican States, 10%, 2036
|
|
MXN
|
3,260,000
|
|
|
|
338,179
|
|
United Mexican States, 8.5%, 2038
|
|
MXN
|
1,750,000
|
|
|
|
158,298
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,363,733
|
|
Nigeria - 2.2%
|
|
|
|
|
|
|
|
|
Afren PLC, 10.25%, 2019
|
|
$
|
200,000
|
|
|
$
|
230,500
|
|
Federal Republic of Nigeria, 0%, 2013
|
|
NGN
|
20,685,000
|
|
|
|
123,150
|
|
Federal Republic of Nigeria, 7%, 2019
|
|
NGN
|
31,177,000
|
|
|
|
140,549
|
|
Federal Republic of Nigeria, 1%, 2013
|
|
NGN
|
40,692,000
|
|
|
|
252,488
|
|
Federal Republic of Nigeria, 0%, 2013
|
|
NGN
|
32,031,000
|
|
|
|
189,960
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
936,647
|
|
Pakistan - 0.2%
|
|
|
|
|
|
|
|
|
Islamic Republic of Pakistan, 6.875%, 2017
|
|
$
|
100,000
|
|
|
$
|
96,500
|
|
|
|
|
Paraguay - 0.5%
|
|
|
|
|
|
|
|
|
Telefonica Celular del Paraguay S.A., 6.75%, 2022 (n)
|
|
$
|
200,000
|
|
|
$
|
208,500
|
|
|
|
|
Peru - 2.3%
|
|
|
|
|
|
|
|
|
Ajecorp B.V., 6.5%, 2022 (n)
|
|
$
|
150,000
|
|
|
$
|
153,375
|
|
Corporacion Lindley S.A., 4.625%, 2023 (n)
|
|
|
32,000
|
|
|
|
30,400
|
|
Ferreycorp S.A.A., 4.875%, 2020 (n)
|
|
|
200,000
|
|
|
|
188,500
|
|
Republic of Peru, 7.84%, 2020
|
|
PEN
|
1,137,000
|
|
|
|
471,798
|
|
Republic of Peru, 6.95%, 2031
|
|
PEN
|
263,000
|
|
|
|
101,231
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
945,304
|
|
13
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Poland - 6.2%
|
|
|
|
|
|
|
|
|
Government of Poland, 0%, 2014
|
|
PLN
|
2,257,000
|
|
|
$
|
697,607
|
|
Government of Poland, 3.75%, 2018
|
|
PLN
|
979,000
|
|
|
|
310,620
|
|
Government of Poland, 5.25%, 2017
|
|
PLN
|
1,723,000
|
|
|
|
579,455
|
|
Government of Poland, 5.5%, 2019
|
|
PLN
|
1,191,000
|
|
|
|
410,228
|
|
Government of Poland, 5.25%, 2020
|
|
PLN
|
1,220,000
|
|
|
|
415,217
|
|
Government of Poland, 5.75%, 2021
|
|
PLN
|
506,000
|
|
|
|
177,540
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,590,667
|
|
Romania - 0.9%
|
|
|
|
|
|
|
|
|
Government of Romania, 5.9%, 2017
|
|
RON
|
430,000
|
|
|
$
|
134,695
|
|
Government of Romania, 5.75%, 2016
|
|
RON
|
620,000
|
|
|
|
191,236
|
|
Government of Romania, 5.8%, 2015
|
|
RON
|
200,000
|
|
|
|
61,718
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
387,649
|
|
Russia - 16.1%
|
|
|
|
|
|
|
|
|
Far Eastern Shipping Co., 8%, 2018 (n)
|
|
$
|
200,000
|
|
|
$
|
188,000
|
|
Gazprombank OJSC, 8.617%, 2015
|
|
RUB
|
18,800,000
|
|
|
|
574,925
|
|
Novatek Finance Ltd., 7.75%, 2017 (n)
|
|
RUB
|
13,600,000
|
|
|
|
411,158
|
|
OJSC Russian Agricultural Bank, 5.1%, 2018 (z)
|
|
$
|
200,000
|
|
|
|
200,675
|
|
Russian Federation, 7.5%, 2019
|
|
RUB
|
13,106,000
|
|
|
|
412,924
|
|
Russian Federation, 6.8%, 2019
|
|
RUB
|
6,527,000
|
|
|
|
197,623
|
|
Russian Federation, 6.9%, 2016
|
|
RUB
|
14,261,000
|
|
|
|
439,579
|
|
Russian Federation, 7.4%, 2017
|
|
RUB
|
7,500,000
|
|
|
|
235,161
|
|
Russian Federation, 8.15%, 2027
|
|
RUB
|
12,751,000
|
|
|
|
402,317
|
|
Russian Federation, 7.05%, 2028
|
|
RUB
|
4,156,000
|
|
|
|
117,576
|
|
Russian Federation, 7.5%, 2018
|
|
RUB
|
36,283,000
|
|
|
|
1,148,009
|
|
Russian Federation, 7.4%, 2017
|
|
RUB
|
47,527,000
|
|
|
|
1,492,361
|
|
RZD Capital PLC, 8.3%, 2019
|
|
RUB
|
16,900,000
|
|
|
|
524,256
|
|
TMK Capital S.A., 6.75%, 2020 (n)
|
|
$
|
200,000
|
|
|
|
194,250
|
|
VimpelCom Ltd., 7.504%, 2022
|
|
|
200,000
|
|
|
|
207,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,746,314
|
|
South Africa - 8.4%
|
|
|
|
|
|
|
|
|
Myriad International Holdings B.V., 6%, 2020 (z)
|
|
$
|
200,000
|
|
|
$
|
206,500
|
|
Republic of South Africa, 6.5%, 2041
|
|
ZAR
|
1,302,000
|
|
|
|
97,262
|
|
Republic of South Africa, 7%, 2031
|
|
ZAR
|
5,123,000
|
|
|
|
438,930
|
|
Republic of South Africa, 10.5%, 2026
|
|
ZAR
|
3,204,000
|
|
|
|
385,435
|
|
Republic of South Africa, 13.5%, 2015
|
|
ZAR
|
3,806,000
|
|
|
|
440,864
|
|
Republic of South Africa, 8%, 2018
|
|
ZAR
|
2,861,000
|
|
|
|
302,044
|
|
Republic of South Africa, 6.75%, 2021
|
|
ZAR
|
3,767,000
|
|
|
|
364,141
|
|
Republic of South Africa, Inflation Linked Bond, 5.5%, 2023
|
|
ZAR
|
643,348
|
|
|
|
88,400
|
|
Transnet Ltd., 10.5%, 2020
|
|
ZAR
|
4,000,000
|
|
|
|
447,337
|
|
Transnet Ltd., 9.25%, 2017
|
|
ZAR
|
7,000,000
|
|
|
|
746,934
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,517,847
|
|
14
Portfolio of Investments continued
|
|
|
|
|
|
|
|
|
Issuer
|
|
Shares/Par
|
|
|
Value ($)
|
|
Bonds - continued
|
|
|
|
|
|
|
|
|
Thailand - 3.9%
|
|
|
|
|
|
|
|
|
Kingdom of Thailand, 3.58%, 2027
|
|
THB
|
4,000,000
|
|
|
$
|
119,090
|
|
Kingdom of Thailand, 3.65%, 2021
|
|
THB
|
10,163,000
|
|
|
|
319,556
|
|
Kingdom of Thailand, 3.875%, 2019
|
|
THB
|
33,136,000
|
|
|
|
1,073,221
|
|
Kingdom of Thailand, 3.45%, 2019
|
|
THB
|
4,600,000
|
|
|
|
146,042
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,657,909
|
|
Turkey - 7.7%
|
|
|
|
|
|
|
|
|
Akbank TAS, 7.5%, 2018 (n)
|
|
TRY
|
789,000
|
|
|
$
|
367,082
|
|
Republic of Turkey, 9%, 2017
|
|
TRY
|
1,379,000
|
|
|
|
712,312
|
|
Republic of Turkey, 6.3%, 2018
|
|
TRY
|
1,448,247
|
|
|
|
675,517
|
|
Republic of Turkey, 8.5%, 2022
|
|
TRY
|
283,985
|
|
|
|
138,622
|
|
Republic of Turkey, 10.5%, 2020
|
|
TRY
|
615,000
|
|
|
|
338,958
|
|
Republic of Turkey, 9%, 2016
|
|
TRY
|
642,000
|
|
|
|
333,610
|
|
Republic of Turkey, Inflation Linked Bond, 4.5%, 2015
|
|
TRY
|
757,552
|
|
|
|
400,895
|
|
Turkiye Garanti Bankasi A.S., 7.375%, 2018 (n)
|
|
TRY
|
592,000
|
|
|
|
274,388
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,241,384
|
|
Uruguay - 0.2%
|
|
|
|
|
|
|
|
|
Republic of Uruguay, Inflation Linked Bond, 5%, 2018
|
|
UYU
|
1,868,525
|
|
|
$
|
97,190
|
|
|
|
|
Venezuela - 0.3%
|
|
|
|
|
|
|
|
|
Republic of Venezuela, 12.75%, 2022
|
|
$
|
140,000
|
|
|
$
|
142,800
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
142,800
|
|
Total Bonds (Identified Cost, $42,026,392)
|
|
|
|
|
|
$
|
38,927,441
|
|
|
|
|
Money Market Funds - 7.3%
|
|
|
|
|
|
|
|
|
MFS Institutional Money Market Portfolio, 0.08%,
at Cost and Net Asset Value (v)
|
|
|
3,061,264
|
|
|
$
|
3,061,264
|
|
Total Investments (Identified Cost, $45,087,656)
|
|
|
|
|
|
$
|
41,988,705
|
|
|
|
|
Other Assets, Less Liabilities - 0.0%
|
|
|
|
|
|
|
2,711
|
|
Net Assets - 100.0%
|
|
|
|
|
|
$
|
41,991,416
|
|
(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 $5,798,920 representing 13.8% of net assets.
|
(v)
|
Underlying affiliated fund 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
|
15
Portfolio of Investments continued
|
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
|
|
Myriad International Holdings B.V., 6%, 2020
|
|
7/16/13
|
|
|
$201,991
|
|
|
|
$206,500
|
|
OJSC Russian Agricultural Bank, 5.1%, 2018
|
|
7/18/13
|
|
|
200,000
|
|
|
|
200,675
|
|
Odebrecht Offshore Drilling Finance Ltd., 6.75%, 2022
|
|
7/26/13
|
|
|
199,988
|
|
|
|
199,600
|
|
Total Restricted Securities
|
|
|
|
|
|
|
|
|
$606,775
|
|
% of Net assets
|
|
|
|
|
|
|
|
|
1.4%
|
|
The following abbreviations are used in this report and are defined:
CDI
|
|
Interbank Deposit Certificates
|
FRN
|
|
Floating Rate Note. Interest rate resets periodically and may not be the rate reported at period end.
|
PLC
|
|
Public Limited Company
|
TIIE
|
|
Interbank Equilibrium Interest Rate
|
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:
CNY
|
|
Chinese Yuan Renminbi
|
16
Portfolio of Investments continued
Derivative Contracts at 7/31/13
Forward Foreign Currency Exchange Contracts at 7/31/13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Currency
|
|
Counter-
party
|
|
Contracts
to
Deliver/
Receive
|
|
|
Settlement
Date Range
|
|
In
Exchange
For
|
|
|
Contracts
at Value
|
|
|
Net
Unrealized
Appreciation
(Depreciation)
|
|
Asset Derivatives
|
|
|
|
|
BUY
|
|
BRL
|
|
Deutsche Bank AG
|
|
|
159,000
|
|
|
8/02/13
|
|
|
$69,423
|
|
|
|
$69,696
|
|
|
|
$273
|
|
BUY
|
|
BRL
|
|
UBS AG
|
|
|
3,825,973
|
|
|
8/02/13
|
|
|
1,670,512
|
|
|
|
1,677,065
|
|
|
|
6,553
|
|
SELL
|
|
BRL
|
|
Deutsche Bank AG
|
|
|
577,000
|
|
|
8/02/13
|
|
|
256,323
|
|
|
|
252,920
|
|
|
|
3,403
|
|
SELL
|
|
BRL
|
|
JPMorgan Chase Bank N.A.
|
|
|
2,189,208
|
|
|
9/04/13
|
|
|
960,390
|
|
|
|
952,850
|
|
|
|
7,540
|
|
SELL
|
|
BRL
|
|
UBS AG
|
|
|
3,919,973
|
|
|
8/02/13
|
|
|
1,750,406
|
|
|
|
1,718,269
|
|
|
|
32,137
|
|
SELL
|
|
CLP
|
|
Deutsche Bank AG
|
|
|
121,147,608
|
|
|
8/26/13
|
|
|
239,896
|
|
|
|
234,924
|
|
|
|
4,972
|
|
BUY
|
|
CNY
|
|
JPMorgan Chase Bank N.A.
|
|
|
1,896,000
|
|
|
9/13/13
|
|
|
303,895
|
|
|
|
308,374
|
|
|
|
4,479
|
|
SELL
|
|
COP
|
|
Citibank N.A.
|
|
|
265,188,000
|
|
|
8/23/13
|
|
|
140,000
|
|
|
|
139,645
|
|
|
|
355
|
|
SELL
|
|
COP
|
|
Deutsche Bank AG
|
|
|
765,792,895
|
|
|
8/23/13
|
|
|
404,219
|
|
|
|
403,258
|
|
|
|
961
|
|
BUY
|
|
HUF
|
|
Barclays Bank PLC
|
|
|
45,598,373
|
|
|
8/21/13
|
|
|
201,542
|
|
|
|
202,314
|
|
|
|
772
|
|
BUY
|
|
HUF
|
|
Citibank N.A.
|
|
|
184,348,374
|
|
|
8/21/13-8/23/13
|
|
|
812,607
|
|
|
|
817,810
|
|
|
|
5,203
|
|
BUY
|
|
HUF
|
|
Goldman Sachs International
|
|
|
12,229,000
|
|
|
8/21/13
|
|
|
54,159
|
|
|
|
54,258
|
|
|
|
99
|
|
BUY
|
|
HUF
|
|
JPMorgan Chase Bank N.A.
|
|
|
106,084,000
|
|
|
8/23/13
|
|
|
463,523
|
|
|
|
470,597
|
|
|
|
7,074
|
|
SELL
|
|
HUF
|
|
Barclays Bank PLC
|
|
|
32,098,594
|
|
|
8/23/13
|
|
|
146,788
|
|
|
|
142,392
|
|
|
|
4,396
|
|
SELL
|
|
HUF
|
|
Citibank N.A.
|
|
|
110,954,185
|
|
|
8/21/13
|
|
|
501,662
|
|
|
|
492,289
|
|
|
|
9,373
|
|
SELL
|
|
HUF
|
|
Goldman Sachs International
|
|
|
47,737,386
|
|
|
8/23/13
|
|
|
216,259
|
|
|
|
211,767
|
|
|
|
4,492
|
|
BUY
|
|
IDR
|
|
Barclays Bank PLC
|
|
|
1,811,400,000
|
|
|
8/16/13
|
|
|
174,599
|
|
|
|
175,852
|
|
|
|
1,253
|
|
BUY
|
|
KRW
|
|
Barclays Bank PLC
|
|
|
114,008,000
|
|
|
8/01/13
|
|
|
100,465
|
|
|
|
101,483
|
|
|
|
1,018
|
|
SELL
|
|
KRW
|
|
Barclays Bank PLC
|
|
|
114,008,000
|
|
|
8/01/13
|
|
|
102,378
|
|
|
|
101,483
|
|
|
|
895
|
|
SELL
|
|
KRW
|
|
Deutsche Bank AG
|
|
|
114,008,000
|
|
|
8/01/13
|
|
|
101,989
|
|
|
|
101,483
|
|
|
|
506
|
|
17
Portfolio of Investments continued
Forward Foreign Currency Exchange Contracts at 7/31/13 - continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Currency
|
|
Counter-
party
|
|
Contracts
to
Deliver/
Receive
|
|
|
Settlement
Date Range
|
|
In
Exchange
For
|
|
|
Contracts
at Value
|
|
|
Net
Unrealized
Appreciation
(Depreciation)
|
|
Asset Derivatives - continued
|
|
|
|
|
|
|
|
|
|
BUY
|
|
MXN
|
|
Citibank N.A.
|
|
|
2,176,734
|
|
|
9/03/13
|
|
|
$167,618
|
|
|
|
$169,889
|
|
|
|
$2,271
|
|
BUY
|
|
MXN
|
|
Deutsche Bank AG
|
|
|
21,222,311
|
|
|
8/15/13
|
|
|
1,647,286
|
|
|
|
1,659,424
|
|
|
|
12,138
|
|
BUY
|
|
MXN
|
|
Goldman Sachs International
|
|
|
285,000
|
|
|
9/03/13
|
|
|
22,122
|
|
|
|
22,244
|
|
|
|
122
|
|
SELL
|
|
MYR
|
|
Barclays Bank PLC
|
|
|
943,000
|
|
|
8/23/13
|
|
|
293,765
|
|
|
|
290,350
|
|
|
|
3,415
|
|
BUY
|
|
NGN
|
|
JPMorgan Chase Bank N.A.
|
|
|
22,225,000
|
|
|
8/19/13
|
|
|
137,659
|
|
|
|
137,738
|
|
|
|
79
|
|
SELL
|
|
PEN
|
|
Deutsche Bank AG
|
|
|
81,516
|
|
|
8/19/13
|
|
|
29,605
|
|
|
|
29,094
|
|
|
|
511
|
|
SELL
|
|
PHP
|
|
Barclays Bank PLC
|
|
|
4,451,000
|
|
|
8/01/13
|
|
|
102,842
|
|
|
|
102,487
|
|
|
|
355
|
|
BUY
|
|
PLN
|
|
Citibank N.A.
|
|
|
466,155
|
|
|
8/26/13
|
|
|
143,377
|
|
|
|
145,631
|
|
|
|
2,254
|
|
BUY
|
|
PLN
|
|
Deutsche Bank AG
|
|
|
226,000
|
|
|
8/26/13
|
|
|
70,423
|
|
|
|
70,604
|
|
|
|
181
|
|
BUY
|
|
PLN
|
|
Goldman Sachs International
|
|
|
689,000
|
|
|
8/26/13
|
|
|
211,903
|
|
|
|
215,249
|
|
|
|
3,346
|
|
BUY
|
|
PLN
|
|
JPMorgan Chase Bank N.A.
|
|
|
4,182,773
|
|
|
8/26/13
|
|
|
1,266,287
|
|
|
|
1,306,733
|
|
|
|
40,446
|
|
BUY
|
|
RON
|
|
JPMorgan Chase Bank N.A.
|
|
|
816,000
|
|
|
8/26/13
|
|
|
239,115
|
|
|
|
245,266
|
|
|
|
6,151
|
|
SELL
|
|
RUB
|
|
Credit Suisse Group
|
|
|
12,018,911
|
|
|
8/14/13
|
|
|
369,500
|
|
|
|
363,879
|
|
|
|
5,621
|
|
SELL
|
|
RUB
|
|
Deutsche Bank AG
|
|
|
9,281,948
|
|
|
8/14/13
|
|
|
285,000
|
|
|
|
281,016
|
|
|
|
3,984
|
|
SELL
|
|
RUB
|
|
JPMorgan Chase Bank N.A.
|
|
|
26,922,493
|
|
|
8/14/13
|
|
|
819,745
|
|
|
|
815,094
|
|
|
|
4,651
|
|
SELL
|
|
THB
|
|
JPMorgan Chase Bank N.A.
|
|
|
13,300,640
|
|
|
9/17/13
|
|
|
428,500
|
|
|
|
423,823
|
|
|
|
4,677
|
|
BUY
|
|
TRY
|
|
Goldman Sachs International
|
|
|
869,564
|
|
|
10/11/13
|
|
|
436,758
|
|
|
|
443,215
|
|
|
|
6,457
|
|
18
Portfolio of Investments continued
Forward Foreign Currency Exchange Contracts at 7/31/13 - continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Currency
|
|
Counter-
party
|
|
Contracts
to
Deliver/
Receive
|
|
|
Settlement
Date Range
|
|
In
Exchange
For
|
|
|
Contracts
at Value
|
|
|
Net
Unrealized
Appreciation
(Depreciation)
|
|
Asset Derivatives - continued
|
|
|
|
|
|
|
|
|
|
BUY
|
|
TRY
|
|
JPMorgan Chase Bank N.A.
|
|
|
1,158,325
|
|
|
10/11/13
|
|
|
$581,928
|
|
|
|
$590,397
|
|
|
|
$8,469
|
|
SELL
|
|
TRY
|
|
Barclays Bank PLC
|
|
|
1,189,266
|
|
|
10/11/13-10/21/13
|
|
|
611,958
|
|
|
|
605,780
|
|
|
|
6,178
|
|
BUY
|
|
ZAR
|
|
Barclays Bank PLC
|
|
|
1,252,196
|
|
|
10/18/13
|
|
|
123,130
|
|
|
|
125,543
|
|
|
|
2,413
|
|
BUY
|
|
ZAR
|
|
Citibank N.A.
|
|
|
549,670
|
|
|
10/18/13
|
|
|
53,997
|
|
|
|
55,109
|
|
|
|
1,112
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$210,585
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liability Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BUY
|
|
BRL
|
|
Deutsche Bank AG
|
|
|
418,000
|
|
|
8/02/13
|
|
|
$184,295
|
|
|
|
$183,225
|
|
|
|
$(1,070
|
)
|
BUY
|
|
BRL
|
|
Goldman Sachs International
|
|
|
316,000
|
|
|
9/03/13-9/04/13
|
|
|
139,290
|
|
|
|
137,551
|
|
|
|
(1,739
|
)
|
BUY
|
|
BRL
|
|
JPMorgan Chase Bank N.A.
|
|
|
3,984,973
|
|
|
8/02/13
|
|
|
1,757,739
|
|
|
|
1,746,761
|
|
|
|
(10,978
|
)
|
BUY
|
|
BRL
|
|
UBS AG
|
|
|
201,000
|
|
|
8/02/13-9/04/13
|
|
|
88,761
|
|
|
|
87,775
|
|
|
|
(986
|
)
|
SELL
|
|
BRL
|
|
JPMorgan Chase Bank N.A.
|
|
|
3,984,973
|
|
|
8/02/13
|
|
|
1,739,935
|
|
|
|
1,746,761
|
|
|
|
(6,826
|
)
|
SELL
|
|
BRL
|
|
UBS AG
|
|
|
152,000
|
|
|
9/04/13
|
|
|
65,995
|
|
|
|
66,158
|
|
|
|
(163
|
)
|
SELL
|
|
CNY
|
|
JPMorgan Chase Bank N.A.
|
|
|
1,896,000
|
|
|
9/13/13
|
|
|
305,412
|
|
|
|
308,374
|
|
|
|
(2,962
|
)
|
BUY
|
|
COP
|
|
Deutsche Bank AG
|
|
|
380,278,000
|
|
|
8/23/13
|
|
|
200,780
|
|
|
|
200,250
|
|
|
|
(530
|
)
|
SELL
|
|
EUR
|
|
Barclays Bank PLC
|
|
|
152,000
|
|
|
10/18/13
|
|
|
194,897
|
|
|
|
202,268
|
|
|
|
(7,371
|
)
|
SELL
|
|
EUR
|
|
Goldman Sachs International
|
|
|
36,000
|
|
|
10/18/13
|
|
|
46,227
|
|
|
|
47,906
|
|
|
|
(1,679
|
)
|
BUY
|
|
HUF
|
|
Barclays Bank PLC
|
|
|
47,340,848
|
|
|
8/23/13
|
|
|
211,882
|
|
|
|
210,008
|
|
|
|
(1,874
|
)
|
BUY
|
|
HUF
|
|
Goldman Sachs International
|
|
|
124,160,995
|
|
|
8/21/13-8/23/13
|
|
|
553,996
|
|
|
|
550,865
|
|
|
|
(3,131
|
)
|
SELL
|
|
HUF
|
|
Barclays Bank PLC
|
|
|
3,253,000
|
|
|
8/21/13
|
|
|
14,090
|
|
|
|
14,433
|
|
|
|
(343
|
)
|
19
Portfolio of Investments continued
Forward Foreign Currency Exchange Contracts at 7/31/13 - continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Currency
|
|
Counter-
party
|
|
Contracts
to
Deliver/
Receive
|
|
|
Settlement
Date Range
|
|
In
Exchange
For
|
|
|
Contracts
at Value
|
|
|
Net
Unrealized
Appreciation
(Depreciation)
|
|
Liability Derivatives - continued
|
|
|
|
|
|
|
|
|
|
SELL
|
|
HUF
|
|
Goldman Sachs International
|
|
|
113,370,000
|
|
|
8/21/13-8/23/13
|
|
|
$496,379
|
|
|
|
$502,939
|
|
|
|
$(6,560
|
)
|
SELL
|
|
HUF
|
|
Merrill Lynch International Bank
|
|
|
113,266,000
|
|
|
8/23/13
|
|
|
500,486
|
|
|
|
502,457
|
|
|
|
(1,971
|
)
|
BUY
|
|
IDR
|
|
Barclays Bank PLC
|
|
|
4,524,701,096
|
|
|
8/16/13
|
|
|
443,159
|
|
|
|
439,262
|
|
|
|
(3,897
|
)
|
SELL
|
|
IDR
|
|
Barclays Bank PLC
|
|
|
394,821,000
|
|
|
8/16/13
|
|
|
38,202
|
|
|
|
38,330
|
|
|
|
(128
|
)
|
SELL
|
|
IDR
|
|
JPMorgan Chase Bank N.A.
|
|
|
9,511,243,000
|
|
|
8/16/13
|
|
|
917,000
|
|
|
|
923,360
|
|
|
|
(6,360
|
)
|
BUY
|
|
INR
|
|
Deutsche Bank AG
|
|
|
12,415,000
|
|
|
10/28/13
|
|
|
205,342
|
|
|
|
199,715
|
|
|
|
(5,627
|
)
|
SELL
|
|
JPY
|
|
Merrill Lynch International Bank
|
|
|
20,552,000
|
|
|
10/18/13
|
|
|
207,278
|
|
|
|
209,992
|
|
|
|
(2,714
|
)
|
BUY
|
|
KRW
|
|
Barclays Bank PLC
|
|
|
120,452,000
|
|
|
8/29/13
|
|
|
108,126
|
|
|
|
107,046
|
|
|
|
(1,080
|
)
|
BUY
|
|
KRW
|
|
Deutsche Bank AG
|
|
|
228,016,000
|
|
|
8/01/13-8/29/13
|
|
|
204,221
|
|
|
|
202,801
|
|
|
|
(1,420
|
)
|
BUY
|
|
MXN
|
|
Barclays Bank PLC
|
|
|
359,000
|
|
|
10/03/13
|
|
|
27,979
|
|
|
|
27,944
|
|
|
|
(35
|
)
|
BUY
|
|
MXN
|
|
Citibank N.A.
|
|
|
4,482,000
|
|
|
9/03/13-10/18/13
|
|
|
352,935
|
|
|
|
349,388
|
|
|
|
(3,547
|
)
|
BUY
|
|
MXN
|
|
UBS AG
|
|
|
857,000
|
|
|
10/18/13
|
|
|
67,013
|
|
|
|
66,619
|
|
|
|
(394
|
)
|
SELL
|
|
MXN
|
|
JPMorgan Chase Bank N.A.
|
|
|
7,046,038
|
|
|
9/03/13
|
|
|
537,927
|
|
|
|
549,928
|
|
|
|
(12,001
|
)
|
BUY
|
|
MYR
|
|
Barclays Bank PLC
|
|
|
320,000
|
|
|
8/23/13
|
|
|
100,156
|
|
|
|
98,528
|
|
|
|
(1,628
|
)
|
BUY
|
|
MYR
|
|
JPMorgan Chase Bank N.A.
|
|
|
108,000
|
|
|
8/23/13
|
|
|
33,317
|
|
|
|
33,253
|
|
|
|
(64
|
)
|
BUY
|
|
MYR
|
|
Deutsche Bank AG
|
|
|
8,157,235
|
|
|
8/23/13
|
|
|
2,549,534
|
|
|
|
2,511,614
|
|
|
|
(37,920
|
)
|
BUY
|
|
MYR
|
|
JPMorgan Chase Bank N.A.
|
|
|
224,980
|
|
|
8/23/13
|
|
|
70,833
|
|
|
|
69,271
|
|
|
|
(1,562
|
)
|
20
Portfolio of Investments continued
Forward Foreign Currency Exchange Contracts at 7/31/13 - continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Currency
|
|
Counter-
party
|
|
Contracts
to
Deliver/
Receive
|
|
|
Settlement
Date Range
|
|
In
Exchange
For
|
|
|
Contracts
at Value
|
|
|
Net
Unrealized
Appreciation
(Depreciation)
|
|
Liability Derivatives - continued
|
|
|
|
|
|
|
|
|
|
SELL
|
|
NGN
|
|
JPMorgan Chase Bank N.A.
|
|
|
9,597,000
|
|
|
8/19/13
|
|
|
$59,022
|
|
|
|
$59,477
|
|
|
|
$(455
|
)
|
BUY
|
|
PHP
|
|
Barclays Bank PLC
|
|
|
8,902,000
|
|
|
8/01/13-8/30/13
|
|
|
205,827
|
|
|
|
204,980
|
|
|
|
(847
|
)
|
BUY
|
|
PLN
|
|
Goldman Sachs International
|
|
|
218,000
|
|
|
8/26/13
|
|
|
68,358
|
|
|
|
68,105
|
|
|
|
(253
|
)
|
SELL
|
|
PLN
|
|
Deutsche Bank AG
|
|
|
128,000
|
|
|
9/13/13
|
|
|
37,704
|
|
|
|
39,945
|
|
|
|
(2,241
|
)
|
SELL
|
|
PLN
|
|
JPMorgan Chase Bank N.A.
|
|
|
1,135,000
|
|
|
8/26/13
|
|
|
353,437
|
|
|
|
354,583
|
|
|
|
(1,146
|
)
|
BUY
|
|
RON
|
|
JPMorgan Chase Bank N.A.
|
|
|
611,000
|
|
|
8/26/13
|
|
|
184,230
|
|
|
|
183,649
|
|
|
|
(581
|
)
|
SELL
|
|
RON
|
|
JPMorgan Chase Bank N.A.
|
|
|
641,384
|
|
|
8/26/13
|
|
|
184,651
|
|
|
|
192,781
|
|
|
|
(8,130
|
)
|
BUY
|
|
RUB
|
|
Barclays Bank PLC
|
|
|
2,020,000
|
|
|
8/14/13
|
|
|
62,208
|
|
|
|
61,157
|
|
|
|
(1,051
|
)
|
SELL
|
|
RUB
|
|
Credit Suisse Group
|
|
|
7,341,540
|
|
|
8/14/13
|
|
|
222,000
|
|
|
|
222,269
|
|
|
|
(269
|
)
|
BUY
|
|
THB
|
|
JPMorgan Chase Bank N.A.
|
|
|
52,966,929
|
|
|
9/17/13
|
|
|
1,700,830
|
|
|
|
1,687,785
|
|
|
|
(13,045
|
)
|
BUY
|
|
TRY
|
|
Goldman Sachs International
|
|
|
306,000
|
|
|
10/11/13
|
|
|
157,109
|
|
|
|
155,968
|
|
|
|
(1,141
|
)
|
SELL
|
|
TRY
|
|
Citibank N.A.
|
|
|
359,000
|
|
|
10/11/13
|
|
|
180,420
|
|
|
|
182,982
|
|
|
|
(2,562
|
)
|
BUY
|
|
ZAR
|
|
Goldman Sachs International
|
|
|
409,000
|
|
|
10/18/13
|
|
|
41,327
|
|
|
|
41,006
|
|
|
|
(321
|
)
|
BUY
|
|
ZAR
|
|
Merrill Lynch International Bank
|
|
|
1,054,000
|
|
|
10/18/13
|
|
|
105,745
|
|
|
|
105,672
|
|
|
|
(73
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$(158,675
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21
Portfolio of Investments continued
Futures Contracts Outstanding at 7/31/13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Currency
|
|
|
Contracts
|
|
|
Value
|
|
Expiration
Date
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
Asset Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Futures
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Note 10 yr (Short)
|
|
|
USD
|
|
|
|
4
|
|
|
$505,750
|
|
|
September - 2013
|
|
|
|
$12,689
|
|
U.S. Treasury Note 30 yr (Short)
|
|
|
USD
|
|
|
|
21
|
|
|
2,815,313
|
|
|
September - 2013
|
|
|
|
92,773
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$105,462
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap Agreements at 7/31/13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expiration
|
|
|
|
|
Notional
Amount
|
|
|
Counterparty
|
|
Cash Flows
to Receive
|
|
Cash Flows
to Pay
|
|
Fair
Value
|
|
Asset Derivatives
|
|
Interest Rate Swaps
|
|
1/02/17
|
|
|
BRL
|
|
|
|
1,000,000
|
|
|
JPMorgan Chase Bank
|
|
10.73% (fixed rate)
|
|
CDI (floating rate)
|
|
|
$1,386
|
|
6/12/17
|
|
|
ZAR
|
|
|
|
3,029,000
|
|
|
JPMorgan Chase Bank
|
|
7.85% (fixed rate)
|
|
CDI (floating rate)
|
|
|
747
|
|
6/13/17
|
|
|
ZAR
|
|
|
|
3,040,000
|
|
|
JPMorgan Chase Bank
|
|
7.8% (fixed rate)
|
|
CDI (floating rate)
|
|
|
433
|
|
6/25/18
|
|
|
MXN
|
|
|
|
3,500,000
|
|
|
Merrill Lynch Capital Services
|
|
5.76% (fixed rate)
|
|
TIIE (floating rate)
|
|
|
1,207
|
|
6/18/17
|
|
|
ZAR
|
|
|
|
2,995,000
|
|
|
Merrill Lynch Capital Services
|
|
7.92% (fixed rate)
|
|
CDI (floating rate)
|
|
|
906
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$4,679
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liability Derivatives
|
|
Interest Rate Swaps
|
|
1/02/17
|
|
|
BRL
|
|
|
|
700,000
|
|
|
JPMorgan Chase Bank
|
|
10.445% (fixed rate)
|
|
CDI (floating rate)
|
|
|
$(1,170
|
)
|
1/02/17
|
|
|
BRL
|
|
|
|
1,500,000
|
|
|
JPMorgan Chase Bank
|
|
10.38% (fixed rate)
|
|
CDI (floating rate)
|
|
|
(3,757
|
)
|
7/25/18
|
|
|
THB
|
|
|
|
15,000,000
|
|
|
JPMorgan Chase Bank
|
|
3.35% (fixed rate)
|
|
CDI (floating rate)
|
|
|
(3,336
|
)
|
7/19/18
|
|
|
THB
|
|
|
|
12,591,000
|
|
|
JPMorgan Chase Bank
|
|
3.32% (fixed rate)
|
|
CDI (floating rate)
|
|
|
(3,200
|
)
|
6/14/17
|
|
|
ZAR
|
|
|
|
6,007,000
|
|
|
JPMorgan Chase Bank
|
|
7.55% (fixed rate)
|
|
CDI (floating rate)
|
|
|
(1,876
|
)
|
3/27/18
|
|
|
MXN
|
|
|
|
7,300,000
|
|
|
Merrill Lynch Capital Services
|
|
4.90% (fixed rate)
|
|
TIIE (floating rate)
|
|
|
(16,988
|
)
|
4/26/18
|
|
|
MXN
|
|
|
|
2,500,000
|
|
|
JPMorgan Chase Bank
|
|
4.53% (fixed rate)
|
|
TIIE (floating rate)
|
|
|
(9,351
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$(39,678
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At July 31, 2013, the fund had cash collateral of $58,400 to cover any commitments for certain derivative contracts. Cash
collateral is comprised of Restricted cash on the Statement of Assets and Liabilities.
See Notes to Financial Statements
22
Financial Statements
STATEMENT OF ASSETS AND LIABILITIES
At 7/31/13
This statement represents your funds balance sheet, which details the assets and
liabilities comprising the total value of the fund.
|
|
|
|
|
Assets
|
|
|
|
|
Investments-
|
|
|
|
|
Non-affiliated issuers, at value (identified cost, $42,026,392)
|
|
|
$38,927,441
|
|
Underlying affiliated funds, at cost and value
|
|
|
3,061,264
|
|
Total investments, at value (identified cost, $45,087,656)
|
|
|
$41,988,705
|
|
Cash
|
|
|
5,344
|
|
Restricted cash
|
|
|
58,400
|
|
Foreign currency, at value (identified cost, $23,211)
|
|
|
23,270
|
|
Receivables for
|
|
|
|
|
Forward foreign currency exchange contracts
|
|
|
210,585
|
|
Fund shares sold
|
|
|
143,432
|
|
Interest
|
|
|
761,313
|
|
Swaps, at value
|
|
|
4,679
|
|
Receivable from investment adviser
|
|
|
49,908
|
|
Receivable from distributor
|
|
|
51
|
|
Other assets
|
|
|
198
|
|
Total assets
|
|
|
$43,245,885
|
|
Liabilities
|
|
|
|
|
Payables for
|
|
|
|
|
Distributions
|
|
|
$25,542
|
|
Forward foreign currency exchange contracts
|
|
|
158,675
|
|
Daily variation margin on open futures contracts
|
|
|
3,344
|
|
Investments purchased
|
|
|
842,549
|
|
Fund shares reacquired
|
|
|
66,922
|
|
Swaps, at value
|
|
|
39,678
|
|
Payable to affiliates
|
|
|
|
|
Shareholder servicing costs
|
|
|
10,786
|
|
Payable for independent Trustees compensation
|
|
|
7
|
|
Deferred country tax expense payable
|
|
|
15,500
|
|
Accrued expenses and other liabilities
|
|
|
91,466
|
|
Total liabilities
|
|
|
$1,254,469
|
|
Net assets
|
|
|
$41,991,416
|
|
Net assets consist of
|
|
|
|
|
Paid-in capital
|
|
|
$47,016,942
|
|
Unrealized appreciation (depreciation) on investments and translation of assets and liabilities in foreign currencies
|
|
|
(2,993,183
|
)
|
Accumulated net realized gain (loss) on investments and foreign currency
|
|
|
(1,377,389
|
)
|
Accumulated distributions in excess of net investment income
|
|
|
(654,954
|
)
|
Net assets
|
|
|
$41,991,416
|
|
Shares of beneficial interest outstanding
|
|
|
4,611,960
|
|
23
Statement of Assets and Liabilities continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets
|
|
|
Shares
outstanding
|
|
|
Net asset value
per share (a)
|
|
Class A
|
|
|
$11,246,921
|
|
|
|
1,235,753
|
|
|
|
$9.10
|
|
Class B
|
|
|
417,135
|
|
|
|
45,808
|
|
|
|
9.11
|
|
Class C
|
|
|
1,927,052
|
|
|
|
211,627
|
|
|
|
9.11
|
|
Class I
|
|
|
27,883,028
|
|
|
|
3,061,978
|
|
|
|
9.11
|
|
Class R1
|
|
|
96,716
|
|
|
|
10,616
|
|
|
|
9.11
|
|
Class R2
|
|
|
108,693
|
|
|
|
11,932
|
|
|
|
9.11
|
|
Class R3
|
|
|
119,823
|
|
|
|
13,157
|
|
|
|
9.11
|
|
Class R4
|
|
|
98,548
|
|
|
|
10,821
|
|
|
|
9.11
|
|
Class R5
|
|
|
93,500
|
|
|
|
10,268
|
|
|
|
9.11
|
|
(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
$9.55 [100 / 95.25 x $9.10]. On sales of $50,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A, Class B, and Class C shares.
Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R5.
|
See Notes to Financial
Statements
24
Financial Statements
STATEMENT OF OPERATIONS
Year ended 7/31/13
This statement describes how much your fund earned in investment income and
accrued in expenses. It also describes any gains and/or losses generated by fund operations.
|
|
|
|
|
Net investment income
|
|
|
|
|
Income
|
|
|
|
|
Interest
|
|
|
$2,654,939
|
|
Dividends from underlying affiliated funds
|
|
|
8,057
|
|
Foreign taxes withheld
|
|
|
(34,665
|
)
|
Total investment income
|
|
|
$2,628,331
|
|
Expenses
|
|
|
|
|
Management fee
|
|
|
$353,315
|
|
Distribution and service fees
|
|
|
38,615
|
|
Shareholder servicing costs
|
|
|
25,082
|
|
Administrative services fee
|
|
|
17,989
|
|
Independent Trustees compensation
|
|
|
1,304
|
|
Custodian fee
|
|
|
102,977
|
|
Shareholder communications
|
|
|
18,685
|
|
Audit and tax fees
|
|
|
52,085
|
|
Legal fees
|
|
|
943
|
|
Registration fees
|
|
|
104,867
|
|
Miscellaneous
|
|
|
20,409
|
|
Total expenses
|
|
|
$736,271
|
|
Fees paid indirectly
|
|
|
(213
|
)
|
Reduction of expenses by investment adviser and/or distributor
|
|
|
(228,364
|
)
|
Net expenses
|
|
|
$507,694
|
|
Net investment income
|
|
|
$2,120,637
|
|
Realized and unrealized gain (loss) on investments and foreign currency
|
|
Realized gain (loss) (identified cost basis)
|
|
|
|
|
Investments (net of $28,377 country tax)
|
|
|
$(2,215,558
|
)
|
Futures contracts
|
|
|
21,509
|
|
Swap agreements
|
|
|
203,373
|
|
Foreign currency
|
|
|
(195,485
|
)
|
Net realized gain (loss) on investments and foreign currency
|
|
|
$(2,186,161
|
)
|
Change in unrealized appreciation (depreciation)
|
|
|
|
|
Investments
|
|
|
$(3,397,891
|
)
|
Futures contracts
|
|
|
105,462
|
|
Swap agreements
|
|
|
(257,726
|
)
|
Translation of assets and liabilities in foreign currencies
|
|
|
76,435
|
|
Net unrealized gain (loss) on investments and foreign currency translation
|
|
|
$(3,473,720
|
)
|
Net realized and unrealized gain (loss) on investments and foreign currency
|
|
|
$(5,659,881
|
)
|
Change in net assets from operations
|
|
|
$(3,539,244
|
)
|
See Notes to Financial Statements
25
Financial Statements
STATEMENTS OF CHANGES IN NET ASSETS
These statements describe the increases and/or decreases in net assets resulting from operations, any distributions, and any shareholder transactions.
|
|
|
|
|
|
|
|
|
Change in net assets
|
|
Year ended
7/31/13
|
|
|
Period ended
7/31/12 (c)
|
|
From operations
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
$2,120,637
|
|
|
|
$464,065
|
|
Net realized gain (loss) on investments and foreign currency
|
|
|
(2,186,161
|
)
|
|
|
(668,133
|
)
|
Net unrealized gain (loss) on investments and foreign currency translation
|
|
|
(3,473,720
|
)
|
|
|
480,537
|
|
Change in net assets from operations
|
|
|
$(3,539,244
|
)
|
|
|
$276,469
|
|
Distributions declared to shareholders
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(1,225,577
|
)
|
|
|
$(398,743
|
)
|
From net realized gain on investments
|
|
|
(138,432
|
)
|
|
|
|
|
From tax return of capital
|
|
|
(919,306
|
)
|
|
|
(133,844
|
)
|
Total distributions declared to shareholders
|
|
|
$(2,283,315
|
)
|
|
|
$(532,587
|
)
|
Change in net assets from fund share transactions
|
|
|
$20,585,401
|
|
|
|
$27,484,692
|
|
Total change in net assets
|
|
|
$14,762,842
|
|
|
|
$27,228,574
|
|
Net assets
|
|
|
|
|
|
|
|
|
At beginning of period
|
|
|
27,228,574
|
|
|
|
|
|
At end of period (including accumulated distributions in excess of net investment income of
$654,954 and $93,806, respectively)
|
|
|
$41,991,416
|
|
|
|
$27,228,574
|
|
(c)
|
For the period from the commencement of the funds investment operations, September 15, 2011, through the stated period end.
|
See Notes to Financial Statements
26
Financial Statements
FINANCIAL HIGHLIGHTS
The financial highlights table is intended to help you understand the funds financial performance for the past 5 years (or life of a particular share class, if shorter). Certain information reflects financial
results for a single fund share. The total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the fund share class (assuming reinvestment of all distributions) held for the entire period.
|
|
|
|
|
|
|
|
|
Class A
|
|
Year ended
|
|
|
Period ended
|
|
|
|
7/31/13
|
|
|
7/31/12 (c)
|
|
Net asset value, beginning of period
|
|
|
$9.83
|
|
|
|
$10.00
|
|
Income (loss) from investment operations
|
|
|
|
|
|
|
|
|
Net investment income (d)
|
|
|
$0.44
|
|
|
|
$0.25
|
|
Net realized and unrealized gain (loss) on investments and
foreign currency
|
|
|
(0.73
|
)
|
|
|
(0.13
|
)
|
Total from investment operations
|
|
|
$(0.29
|
)
|
|
|
$0.12
|
|
Less distributions declared to shareholders
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(0.24
|
)
|
|
|
$(0.22
|
)
|
From net realized gain on investments
|
|
|
(0.03
|
)
|
|
|
|
|
From tax return of capital
|
|
|
(0.17
|
)
|
|
|
(0.07
|
)
|
Total distributions declared to shareholders
|
|
|
$(0.44
|
)
|
|
|
$(0.29
|
)
|
Net asset value, end of period (x)
|
|
|
$9.10
|
|
|
|
$9.83
|
|
Total return (%) (r)(s)(t)(x)
|
|
|
(3.21
|
)
|
|
|
1.26
|
(n)
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
|
|
|
|
Expenses before expense reductions (f)
|
|
|
1.76
|
|
|
|
2.24
|
(a)
|
Expenses after expense reductions (f)
|
|
|
1.23
|
|
|
|
1.25
|
(a)
|
Net investment income
|
|
|
4.41
|
|
|
|
2.92
|
(a)
|
Portfolio turnover
|
|
|
188
|
|
|
|
75
|
(n)
|
Net assets at end of period (000 omitted)
|
|
|
$11,247
|
|
|
|
$1,775
|
|
See Notes to Financial Statements
27
Financial Highlights continued
|
|
|
|
|
|
|
|
|
Class B
|
|
Year ended
|
|
|
Period ended
|
|
|
|
7/31/13
|
|
|
7/31/12 (c)
|
|
Net asset value, beginning of period
|
|
|
$9.83
|
|
|
|
$10.00
|
|
Income (loss) from investment operations
|
|
|
|
|
|
|
|
|
Net investment income (d)
|
|
|
$0.37
|
|
|
|
$0.19
|
|
Net realized and unrealized gain (loss) on investments and
foreign currency
|
|
|
(0.73
|
)
|
|
|
(0.14
|
)
|
Total from investment operations
|
|
|
$(0.36
|
)
|
|
|
$0.05
|
|
Less distributions declared to shareholders
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(0.19
|
)
|
|
|
$(0.16
|
)
|
From net realized gain on investments
|
|
|
(0.03
|
)
|
|
|
|
|
From tax return of capital
|
|
|
(0.14
|
)
|
|
|
(0.06
|
)
|
Total distributions declared to shareholders
|
|
|
$(0.36
|
)
|
|
|
$(0.22
|
)
|
Net asset value, end of period (x)
|
|
|
$9.11
|
|
|
|
$9.83
|
|
Total return (%) (r)(s)(t)(x)
|
|
|
(3.84
|
)
|
|
|
0.57
|
(n)
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
|
|
|
|
Expenses before expense reductions (f)
|
|
|
2.49
|
|
|
|
3.11
|
(a)
|
Expenses after expense reductions (f)
|
|
|
2.00
|
|
|
|
2.00
|
(a)
|
Net investment income
|
|
|
3.66
|
|
|
|
2.18
|
(a)
|
Portfolio turnover
|
|
|
188
|
|
|
|
75
|
(n)
|
Net assets at end of period (000 omitted)
|
|
|
$417
|
|
|
|
$172
|
|
|
|
|
Class C
|
|
Year ended
|
|
|
Period ended
|
|
|
|
7/31/13
|
|
|
7/31/12 (c)
|
|
Net asset value, beginning of period
|
|
|
$9.83
|
|
|
|
$10.00
|
|
Income (loss) from investment operations
|
|
|
|
|
|
|
|
|
Net investment income (d)
|
|
|
$0.38
|
|
|
|
$0.18
|
|
Net realized and unrealized gain (loss) on investments and
foreign currency
|
|
|
(0.74
|
)
|
|
|
(0.13
|
)
|
Total from investment operations
|
|
|
$(0.36
|
)
|
|
|
$0.05
|
|
Less distributions declared to shareholders
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(0.19
|
)
|
|
|
$(0.16
|
)
|
From net realized gain on investments
|
|
|
(0.03
|
)
|
|
|
|
|
From tax return of capital
|
|
|
(0.14
|
)
|
|
|
(0.06
|
)
|
Total distributions declared to shareholders
|
|
|
$(0.36
|
)
|
|
|
$(0.22
|
)
|
Net asset value, end of period (x)
|
|
|
$9.11
|
|
|
|
$9.83
|
|
Total return (%) (r)(s)(t)(x)
|
|
|
(3.84
|
)
|
|
|
0.57
|
(n)
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
|
|
|
|
Expenses before expense reductions (f)
|
|
|
2.55
|
|
|
|
3.08
|
(a)
|
Expenses after expense reductions (f)
|
|
|
2.00
|
|
|
|
2.00
|
(a)
|
Net investment income
|
|
|
3.88
|
|
|
|
2.14
|
(a)
|
Portfolio turnover
|
|
|
188
|
|
|
|
75
|
(n)
|
Net assets at end of period (000 omitted)
|
|
|
$1,927
|
|
|
|
$248
|
|
See Notes to Financial Statements
28
Financial Highlights continued
|
|
|
|
|
|
|
|
|
Class I
|
|
Year ended
|
|
|
Period ended
|
|
|
|
7/31/13
|
|
|
7/31/12 (c)
|
|
Net asset value, beginning of period
|
|
|
$9.83
|
|
|
|
$10.00
|
|
Income (loss) from investment operations
|
|
|
|
|
|
|
|
|
Net investment income (d)
|
|
|
$0.46
|
|
|
|
$0.27
|
|
Net realized and unrealized gain (loss) on investments and
foreign currency
|
|
|
(0.71
|
)
|
|
|
(0.13
|
)
|
Total from investment operations
|
|
|
$(0.25
|
)
|
|
|
$0.14
|
|
Less distributions declared to shareholders
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(0.25
|
)
|
|
|
$(0.23
|
)
|
From net realized gain on investments
|
|
|
(0.03
|
)
|
|
|
|
|
From tax return of capital
|
|
|
(0.19
|
)
|
|
|
(0.08
|
)
|
Total distributions declared to shareholders
|
|
|
$(0.47
|
)
|
|
|
$(0.31
|
)
|
Net asset value, end of period (x)
|
|
|
$9.11
|
|
|
|
$9.83
|
|
Total return (%) (r)(s)(x)
|
|
|
(2.86
|
)
|
|
|
1.49
|
(n)
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
|
|
|
|
Expenses before expense reductions (f)
|
|
|
1.47
|
|
|
|
2.05
|
(a)
|
Expenses after expense reductions (f)
|
|
|
1.00
|
|
|
|
1.00
|
(a)
|
Net investment income
|
|
|
4.56
|
|
|
|
3.14
|
(a)
|
Portfolio turnover
|
|
|
188
|
|
|
|
75
|
(n)
|
Net assets at end of period (000 omitted)
|
|
|
$27,883
|
|
|
|
$24,630
|
|
|
|
|
Class R1
|
|
Year ended
|
|
|
Period ended
|
|
|
|
7/31/13
|
|
|
7/31/12 (c)
|
|
Net asset value, beginning of period
|
|
|
$9.83
|
|
|
|
$10.00
|
|
Income (loss) from investment operations
|
|
|
|
|
|
|
|
|
Net investment income (d)
|
|
|
$0.34
|
|
|
|
$0.19
|
|
Net realized and unrealized gain (loss) on investments and
foreign currency
|
|
|
(0.70
|
)
|
|
|
(0.14
|
)
|
Total from investment operations
|
|
|
$(0.36
|
)
|
|
|
$0.05
|
|
Less distributions declared to shareholders
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(0.19
|
)
|
|
|
$(0.16
|
)
|
From net realized gain on investments
|
|
|
(0.03
|
)
|
|
|
|
|
From tax return of capital
|
|
|
(0.14
|
)
|
|
|
(0.06
|
)
|
Total distributions declared to shareholders
|
|
|
$(0.36
|
)
|
|
|
$(0.22
|
)
|
Net asset value, end of period (x)
|
|
|
$9.11
|
|
|
|
$9.83
|
|
Total return (%) (r)(s)(x)
|
|
|
(3.84
|
)
|
|
|
0.57
|
(n)
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
|
|
|
|
Expenses before expense reductions (f)
|
|
|
2.49
|
|
|
|
3.16
|
(a)
|
Expenses after expense reductions (f)
|
|
|
2.00
|
|
|
|
2.00
|
(a)
|
Net investment income
|
|
|
3.41
|
|
|
|
2.20
|
(a)
|
Portfolio turnover
|
|
|
188
|
|
|
|
75
|
(n)
|
Net assets at end of period (000 omitted)
|
|
|
$97
|
|
|
|
$101
|
|
See Notes to Financial Statements
29
Financial Highlights continued
|
|
|
|
|
|
|
|
|
Class R2
|
|
Year ended
|
|
|
Period ended
|
|
|
|
7/31/13
|
|
|
7/31/12 (c)
|
|
Net asset value, beginning of period
|
|
|
$9.83
|
|
|
|
$10.00
|
|
Income (loss) from investment operations
|
|
|
|
|
|
|
|
|
Net investment income (d)
|
|
|
$0.39
|
|
|
|
$0.23
|
|
Net realized and unrealized gain (loss) on investments and
foreign currency
|
|
|
(0.70
|
)
|
|
|
(0.13
|
)
|
Total from investment operations
|
|
|
$(0.31
|
)
|
|
|
$0.10
|
|
Less distributions declared to shareholders
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(0.22
|
)
|
|
|
$(0.20
|
)
|
From net realized gain on investments
|
|
|
(0.03
|
)
|
|
|
|
|
From tax return of capital
|
|
|
(0.16
|
)
|
|
|
(0.07
|
)
|
Total distributions declared to shareholders
|
|
|
$(0.41
|
)
|
|
|
$(0.27
|
)
|
Net asset value, end of period (x)
|
|
|
$9.11
|
|
|
|
$9.83
|
|
Total return (%) (r)(s)(x)
|
|
|
(3.35
|
)
|
|
|
1.03
|
(n)
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
|
|
|
|
Expenses before expense reductions (f)
|
|
|
2.00
|
|
|
|
2.65
|
(a)
|
Expenses after expense reductions (f)
|
|
|
1.50
|
|
|
|
1.50
|
(a)
|
Net investment income
|
|
|
3.93
|
|
|
|
2.70
|
(a)
|
Portfolio turnover
|
|
|
188
|
|
|
|
75
|
(n)
|
Net assets at end of period (000 omitted)
|
|
|
$109
|
|
|
|
$101
|
|
|
|
|
Class R3
|
|
Year ended
|
|
|
Period ended
|
|
|
|
7/31/13
|
|
|
7/31/12 (c)
|
|
Net asset value, beginning of period
|
|
|
$9.83
|
|
|
|
$10.00
|
|
Income (loss) from investment operations
|
|
|
|
|
|
|
|
|
Net investment income (d)
|
|
|
$0.42
|
|
|
|
$0.25
|
|
Net realized and unrealized gain (loss) on investments and
foreign currency
|
|
|
(0.70
|
)
|
|
|
(0.13
|
)
|
Total from investment operations
|
|
|
$(0.28
|
)
|
|
|
$0.12
|
|
Less distributions declared to shareholders
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(0.24
|
)
|
|
|
$(0.22
|
)
|
From net realized gain on investments
|
|
|
(0.03
|
)
|
|
|
|
|
From tax return of capital
|
|
|
(0.17
|
)
|
|
|
(0.07
|
)
|
Total distributions declared to shareholders
|
|
|
$(0.44
|
)
|
|
|
$(0.29
|
)
|
Net asset value, end of period (x)
|
|
|
$9.11
|
|
|
|
$9.83
|
|
Total return (%) (r)(s)(x)
|
|
|
(3.11
|
)
|
|
|
1.26
|
(n)
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
|
|
|
|
Expenses before expense reductions (f)
|
|
|
1.74
|
|
|
|
2.40
|
(a)
|
Expenses after expense reductions (f)
|
|
|
1.25
|
|
|
|
1.25
|
(a)
|
Net investment income
|
|
|
4.21
|
|
|
|
2.95
|
(a)
|
Portfolio turnover
|
|
|
188
|
|
|
|
75
|
(n)
|
Net assets at end of period (000 omitted)
|
|
|
$120
|
|
|
|
$101
|
|
See Notes to Financial Statements
30
Financial Highlights continued
|
|
|
|
|
|
|
|
|
Class R4
|
|
Year ended
|
|
|
Period ended
|
|
|
|
7/31/13
|
|
|
7/31/12 (c)
|
|
Net asset value, beginning of period
|
|
|
$9.83
|
|
|
|
$10.00
|
|
Income (loss) from investment operations
|
|
|
|
|
|
|
|
|
Net investment income (d)
|
|
|
$0.44
|
|
|
|
$0.27
|
|
Net realized and unrealized gain (loss) on investments and
foreign currency
|
|
|
(0.69
|
)
|
|
|
(0.13
|
)
|
Total from investment operations
|
|
|
$(0.25
|
)
|
|
|
$0.14
|
|
Less distributions declared to shareholders
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
$(0.25
|
)
|
|
|
$(0.23
|
)
|
From net realized gain on investments
|
|
|
(0.03
|
)
|
|
|
|
|
From tax return of capital
|
|
|
(0.19
|
)
|
|
|
(0.08
|
)
|
Total distributions declared to shareholders
|
|
|
$(0.47
|
)
|
|
|
$(0.31
|
)
|
Net asset value, end of period (x)
|
|
|
$9.11
|
|
|
|
$9.83
|
|
Total return (%) (r)(s)(x)
|
|
|
(2.86
|
)
|
|
|
1.49
|
(n)
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
|
|
|
|
Expenses before expense reductions (f)
|
|
|
1.49
|
|
|
|
2.15
|
(a)
|
Expenses after expense reductions (f)
|
|
|
1.00
|
|
|
|
1.00
|
(a)
|
Net investment income
|
|
|
4.41
|
|
|
|
3.20
|
(a)
|
Portfolio turnover
|
|
|
188
|
|
|
|
75
|
(n)
|
Net assets at end of period (000 omitted)
|
|
|
$99
|
|
|
|
$101
|
|
|
|
|
|
|
Class R5
|
|
Period ended
7/31/13 (i)
|
|
Net asset value, beginning of period
|
|
|
$10.10
|
|
Income (loss) from investment operations
|
|
|
|
|
Net investment income (d)
|
|
|
$0.33
|
|
Net realized and unrealized gain (loss) on investments and foreign currency
|
|
|
(0.96
|
)(g)
|
Total from investment operations
|
|
|
$(0.63
|
)
|
Less distributions declared to shareholders
|
|
|
|
|
From net investment income
|
|
|
$(0.19
|
)
|
From net realized gain on investments
|
|
|
(0.03
|
)
|
From tax return of capital
|
|
|
(0.14
|
)
|
Total distributions declared to shareholders
|
|
|
$(0.36
|
)
|
Net asset value, end of period (x)
|
|
|
$9.11
|
|
Total return (%) (r)(s)(x)
|
|
|
(6.46
|
)(n)
|
Ratios (%) (to average net assets)
and Supplemental data:
|
|
|
|
|
Expenses before expense reductions (f)
|
|
|
1.46
|
(a)
|
Expenses after expense reductions (f)
|
|
|
0.96
|
(a)
|
Net investment income
|
|
|
4.96
|
(a)
|
Portfolio turnover
|
|
|
188
|
(n)
|
Net assets at end of period (000 omitted)
|
|
|
$94
|
|
See Notes to Financial Statements
31
Financial Highlights continued
(c)
|
For the period from the commencement of the funds investment operations, September 15, 2011, through the stated period end.
|
(d)
|
Per share data is based on average shares outstanding.
|
(f)
|
Ratios do not reflect reductions from fees paid indirectly, if applicable.
|
(g)
|
The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and
unrealized gains and losses at such time.
|
(i)
|
For the period from the class inception, December 3, 2012, through the stated period end.
|
(r)
|
Certain expenses have been reduced without which performance would have been lower.
|
(s)
|
From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower.
|
(t)
|
Total returns do not include any applicable sales charges.
|
(x)
|
The net asset values per share 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.
|
See Notes to Financial Statements
32
NOTES TO FINANCIAL STATEMENTS
(1) Business and Organization
MFS Emerging Markets Debt
Local Currency Fund (the fund) is a series of MFS Series Trust X (the trust). The trust is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment
company.
(2) Significant Accounting Policies
General
The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates. In the preparation of these financial statements, management has evaluated subsequent events occurring after the date of the funds Statement of Assets and Liabilities through the date that the
financial statements were issued. The fund invests in high-yield securities rated below investment grade. Investments in high-yield securities involve greater degrees of credit and market risk than investments in higher-rated securities and tend to
be more sensitive to economic conditions. The fund invests in foreign securities, including securities of emerging market issuers. Investments in foreign securities are vulnerable to the effects of changes in the relative values of the local
currency and the U.S. dollar and to the effects of changes in each countrys legal, political, and economic environment. The markets of emerging markets countries are generally more volatile than the markets of developed countries with more
mature economies. All of the risks of investing in foreign securities previously described are heightened when investing in emerging markets countries.
In January 2013, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update 2013-01 (ASU 2013-01) entitled Balance Sheet (Topic
210) Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities which is intended to clarify the scope of Accounting Standards Update 2011-11 (ASU
2011-11),
Balance Sheet (Topic 210) Disclosures about Offsetting Assets and Liabilities. Consistent with the effective date for ASU 2011-11, ASU 2013-01 is effective for annual reporting periods beginning on or after January 1, 2013, and interim
periods within those annual periods. ASU 2013-01 limits the scope of ASU 2011-11s disclosure requirements on offsetting to financial assets and financial liabilities related to derivatives, repurchase and reverse repurchase agreements,
and securities lending and securities borrowing transactions. Although still evaluating the potential impact of these two ASUs to the fund, management expects that the impact of the funds adoption will be limited to additional financial
statement disclosures.
In June 2013, FASB issued Accounting Standards Update 2013-08 Financial Services Investment Companies (Topic
946) Amendments to the Scope, Measurement, and Disclosure Requirements (ASU 2013-08) which is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013. ASU 2013-08 sets forth a
methodology for determining whether an entity should be characterized as an investment company and prescribes fair value accounting
33
Notes to Financial Statements continued
for an investment companys non-controlling ownership interest in another investment company. FASB has determined that a fund registered under the Investment Company Act of 1940
automatically meets ASU 2013-08s criteria for an investment company. Although still evaluating the potential impacts of ASU 2013-08 to the fund, management expects that the impact of the funds adoption will be limited to additional
financial statement disclosures.
Investment Valuations
Debt instruments and floating rate loans (other than
short-term
instruments), including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at
issuance of 60 days or less generally are valued at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price as provided by a third-party pricing service on the exchange
on which such options are primarily traded.
Exchange-traded
options for which there were no sales reported that day are generally valued at the last daily bid quotation as provided by a third-party pricing
service on the exchange on which such options are primarily traded. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally valued at valuations provided by a third-party
pricing service. Futures contracts are generally valued at last posted settlement price as provided by a third-party pricing service on the market on which they are primarily traded. Futures contracts for which there were no trades that day for a
particular position are generally valued at the closing bid quotation as provided by a third-party pricing service on the market on which such futures contracts are primarily traded. Forward foreign currency exchange contracts are generally valued
at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for proximate time periods. Swap agreements are generally valued at valuations provided by a third-party pricing service, which
for cleared swaps includes an evaluation of any trading activity at the clearinghouses. Open-end investment companies are generally valued at net asset value per share. Securities and other assets generally valued on the basis of information from a
third-party pricing service may also be valued at a broker/dealer bid quotation. Values obtained from third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue,
trading characteristics, and other market data. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a
third-party
pricing service.
The Board of Trustees has delegated primary responsibility for determining or causing to
be determined the value of the funds investments (including any fair valuation) to the adviser pursuant to valuation policies and procedures approved by the Board. If the adviser determines that reliable market quotations are not readily
available, investments are valued at fair value as determined in good faith by the adviser in accordance with such procedures under the oversight of the Board of Trustees. Under the funds valuation policies and procedures, market quotations
are not considered to be readily available for most types of debt instruments and floating rate loans and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services. In
addition, investments may be valued at fair value if
34
Notes to Financial Statements continued
the adviser determines that an investments value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded
(such as foreign exchange or market) and prior to the determination of the funds net asset value, or after the halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the
security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment
characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for
purposes of calculating the funds net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the funds net asset value may differ from
quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per
share.
Various inputs are used in determining the value of the funds assets or liabilities. These inputs are categorized into three broad levels.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investments level within the fair value hierarchy is based on the lowest level of input that is significant
to the fair value measurement. The funds assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted
prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes
unobservable inputs, which may include the advisers own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments not reflected in total investments, such as futures contracts, forward
foreign currency exchange contracts, and swap agreements. The following is a summary of the levels used as of July 31, 2013 in valuing the funds assets or liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments at Value
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Non-U.S. Sovereign Debt
|
|
|
$
|
|
|
|
$31,769,718
|
|
|
|
$
|
|
|
|
$31,769,718
|
|
Foreign Bonds
|
|
|
|
|
|
|
7,157,723
|
|
|
|
|
|
|
|
7,157,723
|
|
Mutual Funds
|
|
|
3,061,264
|
|
|
|
|
|
|
|
|
|
|
|
3,061,264
|
|
Total Investments
|
|
|
$3,061,264
|
|
|
|
$38,927,441
|
|
|
|
$
|
|
|
|
$41,988,705
|
|
|
|
|
|
|
Other Financial Instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
|
$105,462
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$105,462
|
|
Swap Agreements
|
|
|
|
|
|
|
(34,999
|
)
|
|
|
|
|
|
|
(34,999
|
)
|
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
51,910
|
|
|
|
|
|
|
|
51,910
|
|
For further information regarding security characteristics, see the Portfolio of Investments.
35
Notes to Financial Statements continued
Inflation-Adjusted Debt Securities
The fund invests in inflation-adjusted debt securities issued by foreign corporations
and/or foreign governments. The principal value of these debt securities is adjusted through income according to changes in an inflation index or another general price or wage index. These debt securities typically pay a fixed rate of interest, but
this fixed rate is applied to the inflation-adjusted principal amount. The principal paid at maturity of the debt security is typically equal to the inflation-adjusted principal amount, or the securitys original par value, whichever is
greater. Other types of inflation-adjusted securities may use other methods to adjust for other measures of inflation.
Foreign Currency
Translation
Purchases and sales of foreign investments, income, and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions or on the reporting date for foreign
denominated receivables and payables. Gains and losses attributable to foreign currency exchange rates on sales of securities are recorded for financial statement purposes as net realized gains and losses on investments. Gains and losses
attributable to foreign exchange rate movements on receivables, payables, income and expenses are recorded for financial statement purposes as foreign currency transaction gains and losses. That portion of both realized and unrealized gains and
losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
Derivatives
The fund
uses derivatives for different purposes, primarily to increase or decrease exposure to a particular market or segment of the market, or security, to increase or decrease interest rate or currency exposure, or as alternatives to direct investments.
Derivatives are used for hedging or non-hedging purposes. While hedging can reduce or eliminate losses, it can also reduce or eliminate gains. When the fund uses derivatives as an investment to increase market exposure, or for hedging purposes,
gains and losses from derivative instruments may be substantially greater than the derivatives original cost.
The derivative instruments used by
the fund were purchased options, futures contracts, forward foreign currency exchange contracts, and swap agreements. The funds period end derivatives, as presented in the Portfolio of Investments and the associated Derivative Contract tables,
generally are indicative of the volume of its derivative activity during the period.
The following table presents, by major type of derivative contract,
the fair value, on a gross basis, of the asset and liability components of derivatives held by the fund at July 31, 2013 as reported in the Statement of Assets and Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value (a)
|
|
Risk
|
|
Derivative Contracts
|
|
Asset Derivatives
|
|
|
Liability Derivatives
|
|
Interest Rate
|
|
Interest Rate Futures
|
|
|
$105,462
|
|
|
|
$
|
|
Interest Rate
|
|
Interest Rate Swaps
|
|
|
4,679
|
|
|
|
(39,678
|
)
|
Foreign Exchange
|
|
Forward Foreign Currency Exchange
|
|
|
210,585
|
|
|
|
(158,675
|
)
|
Total
|
|
|
|
|
$320,726
|
|
|
|
$(198,353
|
)
|
(a)
|
The value of futures contracts outstanding includes cumulative appreciation (depreciation) as reported in the funds Portfolio of Investments. Only the current day variation
margin for futures contracts is separately reported within the funds Statement of Assets and Liabilities.
|
36
Notes to Financial Statements continued
The following table presents, by major type of derivative contract, the realized gain (loss) on derivatives held by the fund for the year
ended July 31, 2013 as reported in the Statement of Operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Risk
|
|
Futures
Contracts
|
|
|
Swap
Agreements
|
|
|
Foreign
Currency
|
|
|
Investments
(Purchased
Options)
|
|
Interest Rate
|
|
|
$21,509
|
|
|
|
$203,373
|
|
|
|
$
|
|
|
|
$
|
|
Foreign Exchange
|
|
|
|
|
|
|
|
|
|
|
77,312
|
|
|
|
(36,756
|
)
|
Total
|
|
|
$21,509
|
|
|
|
$203,373
|
|
|
|
$77,312
|
|
|
|
$(36,756
|
)
|
The following table presents, by major type of derivative contract, the change in unrealized appreciation (depreciation) on
derivatives held by the fund for the year ended July 31, 2013 as reported in the Statement of Operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
Risk
|
|
Futures
Contracts
|
|
|
Swap
Agreements
|
|
|
Translation
of Assets and
Liabilities in
Foreign
Currencies
|
|
Interest Rate
|
|
|
$105,462
|
|
|
|
$(257,726
|
)
|
|
|
$
|
|
Foreign Exchange
|
|
|
|
|
|
|
|
|
|
|
91,115
|
|
Total
|
|
|
$105,462
|
|
|
|
$(257,726
|
)
|
|
|
$91,115
|
|
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On
certain, but not all,
over-the-counter
derivatives, the fund attempts to reduce its exposure to counterparty credit risk whenever possible by entering
into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of the counterparties with whom it undertakes a significant volume of transactions. The ISDA Master Agreement gives each party
to the agreement the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. Upon an event of default or a termination of the ISDA Master Agreement, the
non-defaulting party has the right to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net amount payable by one party to the other. This right to close out and net payments
across all transactions traded under the ISDA Master Agreement could result in a reduction of the funds credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions, if
any.
Collateral and margin requirements differ by type of derivative. Margin requirements are set by the broker or clearing house for cleared derivatives
(i.e., futures contracts, cleared swaps, and exchange-traded options) while collateral terms are contract specific for over-the-counter traded derivatives (i.e., forward foreign currency exchange contracts, uncleared swap agreements, and
over-the-counter options). For derivatives traded under an ISDA Master Agreement, the collateral requirements are netted across all transactions traded under such agreement and one amount is posted from one party to the other to collateralize such
obligations. Cash that has been segregated to cover the funds collateral or margin obligations under derivative contracts, if any, will
37
Notes to Financial Statements continued
be reported separately in the Statement of Assets and Liabilities as Restricted cash. Securities pledged as collateral or margin for the same purpose, if any, is noted in the
Portfolio of Investments.
Purchased Options
The fund purchased call and put options for a premium. Purchased call and put options entitle
the holder to buy and sell a specified number of shares or units of a particular security, currency or index at a specified price at a specified date or within a specified period of time. Purchasing call options may hedge against an anticipated
increase in the dollar cost of securities or currency to be acquired or increase the funds exposure to an underlying instrument. Purchasing put options may hedge against an anticipated decline in the value of portfolio securities or currency
or decrease the funds exposure to an underlying instrument.
The premium paid is initially recorded as an investment in the Statement of Assets and
Liabilities. That investment is subsequently marked-to-market daily with the difference between the premium paid and the market value of the purchased option being recorded as unrealized appreciation or depreciation. Premiums paid for purchased call
and put options which have expired are treated as realized losses on investments in the Statement of Operations. Upon the exercise or closing of a purchased call option, the premium paid is added to the cost of the security or financial instrument
purchased. Upon the exercise or closing of a purchased put option, the premium paid is offset against the proceeds on the sale of the underlying security or financial instrument in order to determine the realized gain or loss on investments.
Whether or not the option is exercised, the funds maximum risk of loss from purchasing an option is the amount of premium paid. All option
contracts involve credit risk if the counterparty to the option contract fails to perform. For
over-the-counter
options, this risk is mitigated in cases where there is
an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and for posting of collateral by the counterparty to the fund to cover the funds exposure to the counterparty under such ISDA Master
Agreement.
Futures Contracts
The fund entered into futures contracts which may be used to hedge against or obtain broad market exposure,
interest rate exposure, currency exposure, or to manage duration. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the fund is required to deposit with the broker, either in cash or securities, an initial margin in an amount equal to a
certain percentage of the notional amount of the contract. Subsequent payments (variation margin) are made or received by the fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement
purposes as unrealized gain or loss by the fund until the contract is closed or expires at which point the gain or loss on futures contracts is realized.
The fund bears the risk of interest rates, exchange rates or securities prices moving unexpectedly, in which case, the fund may not achieve the anticipated benefits
of the futures contracts and may realize a loss. While futures contracts may present less counterparty risk to the fund since the contracts are exchange traded and the exchanges clearinghouse guarantees payments to the broker, there is still
counterparty
38
Notes to Financial Statements continued
credit risk due to the insolvency of the broker. The funds maximum risk of loss due to counterparty credit risk is equal to the margin posted by the fund to the broker plus any gains or
minus any losses on the outstanding futures contracts.
Forward Foreign Currency Exchange Contracts
The fund entered into forward foreign
currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. These contracts may be used to hedge the funds currency risk or for non-hedging purposes. For hedging purposes, the fund may
enter into contracts to deliver or receive foreign currency that the fund will receive from or use in its normal investment activities. The fund may also use contracts to hedge against declines in the value of foreign currency denominated securities
due to unfavorable exchange rate movements. For non-hedging purposes, the fund may enter into contracts with the intent of changing the relative exposure of the funds portfolio of securities to different currencies to take advantage of
anticipated exchange rate changes.
Forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and
any unrealized gains or losses are recorded as a receivable or payable for forward foreign currency exchange contracts until the contract settlement date. On contract settlement date, any gain or loss on the contract is recorded as realized gains or
losses on foreign currency.
Risks may arise upon entering into these contracts from unanticipated movements in the value of the contract and from the
potential inability of counterparties to meet the terms of their contracts. Generally, the funds maximum risk due to counterparty credit risk is the unrealized gain on the contract due to the use of Continuous Linked Settlement, an industry
accepted settlement system. This risk is mitigated in cases where there is an ISDA Master Agreement between the fund and the counterparty providing for netting as described above and for posting of collateral by the counterparty to the fund to cover
the funds exposure to the counterparty under such ISDA Master Agreement.
Swap Agreements
During the period the fund entered into
swap agreements. Effective June 10, 2013, certain types of swaps (cleared swaps) are required to be centrally cleared under provisions of the Dodd-Frank Regulatory Reform Bill. In a cleared swap transaction, the swap agreement is
novated to a central counterparty (the clearinghouse) immediately following execution of the swap contract with an executing broker. Thereafter, throughout the term of the cleared swap, the fund interfaces indirectly with the
clearinghouse through a clearing broker.
A swap agreement is generally an exchange of cash payments, at specified intervals or upon the occurrence of
specified events, between the fund and a counterparty. The net cash payments exchanged are recorded as a realized gain or loss on swap agreements in the Statement of Operations. The value of the swap agreement, which is adjusted daily and includes
any related interest accruals to be paid or received by the fund, is recorded in the Statement of Assets and Liabilities. The daily change in value, including any related interest accruals to be paid or received, is recorded as unrealized
appreciation or depreciation on swap agreements in the Statement of Operations. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities. Amounts
paid or
39
Notes to Financial Statements continued
received at the inception of the swap agreement are reflected as premiums paid or received in the Statement of Assets and Liabilities and are amortized using the effective interest method over
the term of the agreement. A liquidation payment received or made upon early termination is recorded as a realized gain or loss on swap agreements in the Statement of Operations.
Risks related to swap agreements include the possible lack of a liquid market, unfavorable market and interest rate movements of the underlying instrument and the failure of the counterparty to perform under the
terms of the agreements. To address counterparty risk, swap agreements are limited to only highly-rated counterparties. For uncleared swaps, that risk is further reduced by having an ISDA Master Agreement between the fund and the counterparty
providing for netting as described above and by the posting of collateral by the counterparty to the fund to cover the funds exposure to the counterparty under such ISDA Master Agreement. Although not covered by an ISDA Master Agreement, the
funds counterparty risk due to cleared swaps is mitigated by the clearinghouses margining requirements and financial safeguards in the event of a clearing broker default.
The fund entered into interest rate swap agreements in order to manage its exposure to interest or foreign exchange rate fluctuations. Interest rate swap agreements involve the periodic exchange of cash flows,
between the fund and a counterparty, based on the difference between two interest rates applied to a notional principal amount. The two interest rates exchanged may either be a fixed rate and a floating rate or two floating rates based on different
indices.
The funds maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to
the counterparty over the contracts remaining life, to the extent that that amount is positive. For uncleared swaps, counterparty risk is reduced by having an ISDA Master Agreement between the fund and the counterparty providing for netting as
described above and by the posting of collateral by the counterparty to the fund to cover the funds exposure to the counterparty under such ISDA Master Agreement. For cleared swaps, the funds counterparty risk is mitigated by the
clearinghouses margining requirements and financial safeguards in the event of a clearing broker default.
Hybrid Instruments
The
fund invests in indexed or hybrid securities on which any combination of interest payments, the principal or stated amount payable at maturity is determined by reference to prices of other securities, currencies, indices, economic factors or other
measures, including interest rates, currency exchange rates, or securities indices. The risks of investing in hybrid instruments reflect a combination of the risks of investing in securities, swap agreements, options, futures contracts and
currencies. Hybrid instruments are potentially more volatile and carry greater market risks than traditional debt instruments. Depending on the structure of the particular hybrid instrument, changes in a benchmark, underlying assets or economic
indicator may be magnified by the terms of the hybrid instrument and have an even more dramatic and substantial effect upon the value of the hybrid instrument. Also, the prices of the hybrid instrument and the benchmark, underlying asset or economic
indicator may not move in the same direction or at the same time.
Indemnifications
Under the funds organizational documents, its
officers and Trustees may be indemnified against certain liabilities and expenses arising out of the
40
Notes to Financial Statements continued
performance of their duties to the fund. Additionally, in the normal course of business, the fund enters into agreements with service providers that may contain indemnification clauses. The
funds maximum exposure under these agreements is unknown as this would involve future claims that may be made against the fund that have not yet occurred.
Investment Transactions and Income
Investment transactions are recorded on the trade date. Interest income is recorded on the accrual basis. All premium and discount is amortized or accreted for
financial statement purposes in accordance with U.S. generally accepted accounting principles. Dividend and interest payments received in additional securities are recorded on the ex-dividend or ex-interest date in an amount equal to the value of
the security on such date.
The fund may receive proceeds from litigation settlements. Any proceeds received from litigation involving portfolio holdings
are reflected in the Statement of Operations in realized gain/loss if the security has been disposed of by the fund or in unrealized gain/loss if the security is still held by the fund. Any other proceeds from litigation not related to portfolio
holdings are reflected as other income in the Statement of Operations.
Fees Paid Indirectly
The funds custody fee may be reduced
according to an arrangement that measures the value of cash deposited with the custodian by the fund. This amount, for the year ended July 31, 2013, is shown as a reduction of total expenses in the Statement of Operations.
Tax Matters and Distributions
The fund intends to qualify as a regulated investment company, as defined under Subchapter M of the Internal Revenue
Code, and to distribute all of its taxable income, including realized capital gains. As a result, no provision for federal income tax is required. The funds federal tax returns, when filed, will remain subject to examination by the Internal
Revenue Service for a three year period. Foreign taxes have been accrued by the fund in the accompanying financial statements in accordance with the applicable foreign tax law. Foreign income taxes may be withheld by certain countries in which the
fund invests. Additionally, capital gains realized by the fund on securities issued in or by certain foreign countries may be subject to capital gains tax imposed by those countries.
Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted
accounting principles. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share.
Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income
or net realized gains are temporary overdistributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.
Book/tax differences primarily relate to amortization and accretion of debt securities, wash sale loss deferrals, and derivative transactions.
41
Notes to Financial Statements continued
The tax character of distributions declared to shareholders for the last two fiscal years is as follows:
|
|
|
|
|
|
|
|
|
|
|
7/31/13
|
|
|
7/31/12
|
|
Ordinary income (including any
short-term capital gains)
|
|
|
$1,225,577
|
|
|
|
$398,743
|
|
Long-term capital gain
|
|
|
138,432
|
|
|
|
|
|
Tax return of capital (b)
|
|
|
919,306
|
|
|
|
133,844
|
|
Total distributions
|
|
|
$2,283,315
|
|
|
|
$532,587
|
|
|
(b)
|
Distributions in excess of tax basis earnings and profits are reported in the financial statements as a tax return of capital.
|
|
The federal tax cost and the tax basis components of distributable earnings were as follows:
|
|
|
|
|
As of 7/31/13
|
|
|
|
Cost of investments
|
|
|
$45,841,025
|
|
Gross appreciation
|
|
|
153,516
|
|
Gross depreciation
|
|
|
(4,005,836
|
)
|
Net unrealized appreciation (depreciation)
|
|
|
$(3,852,320
|
)
|
Post-October capital loss deferral
|
|
|
(822,470
|
)
|
Other temporary differences
|
|
|
(350,736
|
)
|
Multiple Classes of Shares of Beneficial Interest
The fund offers multiple classes of shares, which differ in their
respective distribution and service fees. The funds income and common expenses are allocated to shareholders based on the value of settled shares outstanding of each class. The funds realized and unrealized gain (loss) are allocated to
shareholders based on the daily net assets of each class. Dividends are declared separately for each class. Differences in per share dividend rates are generally due to differences in separate class expenses. Class B shares will convert to
Class A shares approximately eight years after purchase. The funds distributions declared to shareholders as reported in the Statements of Changes in Net Assets are presented by class as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
From net investment
income
|
|
|
From net realized gain
on investments
|
|
|
From tax return of
capital
|
|
|
|
Year
ended
7/31/13 (i)
|
|
|
Year
ended
7/31/12 (c)
|
|
|
Year
ended
7/31/13 (i)
|
|
|
Year
ended
7/31/12 (c)
|
|
|
Year
ended
7/31/13 (i)
|
|
|
Year
ended
7/31/12 (c)
|
|
Class A
|
|
|
$224,682
|
|
|
|
$25,277
|
|
|
|
$25,378
|
|
|
|
$
|
|
|
|
$168,534
|
|
|
|
$8,484
|
|
Class B
|
|
|
7,803
|
|
|
|
2,309
|
|
|
|
881
|
|
|
|
|
|
|
|
5,853
|
|
|
|
775
|
|
Class C
|
|
|
26,429
|
|
|
|
2,789
|
|
|
|
2,985
|
|
|
|
|
|
|
|
19,825
|
|
|
|
936
|
|
Class I
|
|
|
954,748
|
|
|
|
360,115
|
|
|
|
107,842
|
|
|
|
|
|
|
|
716,156
|
|
|
|
120,879
|
|
Class R1
|
|
|
2,036
|
|
|
|
1,681
|
|
|
|
230
|
|
|
|
|
|
|
|
1,528
|
|
|
|
564
|
|
Class R2
|
|
|
2,389
|
|
|
|
2,020
|
|
|
|
270
|
|
|
|
|
|
|
|
1,792
|
|
|
|
678
|
|
Class R3
|
|
|
2,922
|
|
|
|
2,191
|
|
|
|
330
|
|
|
|
|
|
|
|
2,191
|
|
|
|
735
|
|
Class R4
|
|
|
2,633
|
|
|
|
2,361
|
|
|
|
297
|
|
|
|
|
|
|
|
1,975
|
|
|
|
793
|
|
Class R5
|
|
|
1,935
|
|
|
|
|
|
|
|
219
|
|
|
|
|
|
|
|
1,452
|
|
|
|
|
|
Total
|
|
|
$1,225,577
|
|
|
|
$398,743
|
|
|
|
$138,432
|
|
|
|
$
|
|
|
|
$919,306
|
|
|
|
$133,844
|
|
(c)
|
For the period from the commencement of the funds investment operations, September 15, 2011, through the stated period end.
|
42
Notes to Financial Statements continued
(i)
|
For Class R5, the period is from inception, December 3, 2012, through the stated period end.
|
(3) Transactions with Affiliates
Investment Adviser
The fund has an investment advisory
agreement with MFS to provide overall investment management and related administrative services and facilities to the fund. The management fee is computed daily and paid monthly at the following annual rates.
|
|
|
|
|
First $1 billion of average daily net assets
|
|
|
0.75
|
%
|
Average daily net assets in excess of $1 billion
|
|
|
0.70
|
%
|
The investment adviser has agreed in writing to reduce its management fee to 0.65% of average daily net assets in excess of $2.5
billion. This written agreement will continue until modified by the funds Board of Trustees, but such agreement will continue at least until November 30, 2014. For the year ended July 31, 2013, the funds average daily net
assets did not exceed $2.5 billion and therefore, the management fee was not reduced. Effective April 1, 2013, MFS has agreed in writing to reduce its management fee by a specified amount if certain MFS mutual fund assets exceed thresholds
agreed to by MFS and the funds Board of Trustees. For the period April 1, 2013 through July 31, 2013, this management fee reduction amounted to $100, which is shown as a reduction of total expenses in the Statement of Operations.
The management fee incurred for the year ended July 31, 2013 was equivalent to an annual effective rate of 0.75% of the funds average daily
net assets.
The investment adviser has agreed in writing to pay a portion of the funds total annual operating expenses, exclusive of interest,
taxes, extraordinary expenses, brokerage and transaction costs, and investment-related expenses, such that total annual fund operating expenses do not exceed the following rates annually of each classs average daily net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Classes
|
A
|
|
B
|
|
C
|
|
I
|
|
R1
|
|
R2
|
|
R3
|
|
R4
|
|
R5
|
1.25%
|
|
2.00%
|
|
2.00%
|
|
1.00%
|
|
2.00%
|
|
1.50%
|
|
1.25%
|
|
1.00%
|
|
0.99%
|
This written agreement will continue until modified by the funds Board of Trustees, but such agreement will continue at least
until November 30, 2014. For the year ended July 31, 2013, this reduction amounted to $226,428 and is reflected as a reduction of total expenses in the Statement of Operations.
Distributor
MFS Fund Distributors, Inc. (MFD), a wholly-owned subsidiary of MFS, as distributor, received $11,792 for the year ended July 31, 2013, as its portion of the initial sales charge on
sales of Class A shares of the fund.
The Board of Trustees has adopted a distribution plan for certain class shares pursuant to Rule 12b-1 of the
Investment Company Act of 1940.
The funds distribution plan provides that the fund will pay MFD for services provided by MFD and financial
intermediaries in connection with the distribution and servicing of certain share classes. One component of the plan is a distribution fee paid to MFD and another component of the plan is a service fee paid to MFD. MFD may subsequently pay all, or a
portion, of the distribution and/or service fees to financial intermediaries.
43
Notes to Financial Statements continued
Distribution Plan Fee Table:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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%
|
|
|
|
0.23%
|
|
|
|
$21,869
|
|
Class B
|
|
|
0.75%
|
|
|
|
0.25%
|
|
|
|
1.00%
|
|
|
|
1.00%
|
|
|
|
3,684
|
|
Class C
|
|
|
0.75%
|
|
|
|
0.25%
|
|
|
|
1.00%
|
|
|
|
1.00%
|
|
|
|
11,188
|
|
Class R1
|
|
|
0.75%
|
|
|
|
0.25%
|
|
|
|
1.00%
|
|
|
|
1.00%
|
|
|
|
1,039
|
|
Class R2
|
|
|
0.25%
|
|
|
|
0.25%
|
|
|
|
0.50%
|
|
|
|
0.50%
|
|
|
|
530
|
|
Class R3
|
|
|
|
|
|
|
0.25%
|
|
|
|
0.25%
|
|
|
|
0.25%
|
|
|
|
305
|
|
Total Distribution and Service Fees
|
|
|
|
|
|
|
|
|
|
|
|
$38,615
|
|
(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 classs 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.
|
(e)
|
The annual effective rates represent actual fees incurred under the distribution plan for the year ended July 31, 2013 based on each classs average daily net assets.
Effective January 1, 2013, MFD has voluntarily agreed to rebate a portion of each classs 0.25% service fee attributable to accounts for which MFD retains the 0.25% service fee except for accounts attributable to MFS or its
subsidiaries seed money. For the year ended July 31, 2013, this rebate amounted to $1,699 for Class A, and is reflected as a reduction of total expenses in the Statement of Operations
|
Certain Class A shares are subject to a contingent deferred sales charge (CDSC) in the event of a shareholder redemption within 18 months of purchase for
shares purchased on or after August 1, 2012, and within 24 months of purchase for shares purchased prior to August 1, 2012. Class C shares are subject to a CDSC in the event of a shareholder redemption within 12 months of purchase. Class B
shares are subject to a CDSC in the event of a shareholder redemption within six years of purchase. All contingent deferred sales charges are paid to MFD and during the year ended July 31, 2013, were as follows:
|
|
|
|
|
|
|
Amount
|
|
Class A
|
|
|
$
|
|
Class B
|
|
|
25
|
|
Class C
|
|
|
289
|
|
Shareholder Servicing Agent
MFS Service Center, Inc. (MFSC), a wholly-owned subsidiary of MFS, receives a fee from the
fund for its services as shareholder servicing agent calculated as a percentage of the average daily net assets of the fund as determined periodically under the supervision of the funds Board of Trustees. For the year ended July 31, 2013,
the fee was $4,041, which equated to 0.0086% annually of the funds average daily net assets. MFSC also receives payment from the fund for
out-of-pocket
expenses, sub-accounting and other shareholder
servicing costs which may be paid to affiliated and unaffiliated service providers. Class R5 shares do not incur sub-accounting fees. For the year ended July 31, 2013, these out-of-pocket expenses, sub-accounting and other shareholder servicing
costs amounted to $21,041.
Administrator
MFS provides certain financial, legal, shareholder communications, compliance, and other
administrative services to the fund. Under an administrative
44
Notes to Financial Statements continued
services agreement, the fund partially reimburses MFS the costs incurred to provide these services. The fund is charged an annual fixed amount of $17,500 plus a fee based on average daily net
assets. The administrative services fee incurred for the year ended July 31, 2013 was equivalent to an annual effective rate of 0.0382% of the funds average daily net assets.
Trustees and Officers Compensation
The fund pays compensation to independent Trustees in the form of a retainer, attendance fees, and additional compensation to Board and Committee
chairpersons. The fund does not pay compensation directly to Trustees or officers of the fund who are also officers of the investment adviser, all of whom receive remuneration for their services to the fund from MFS. Certain officers and Trustees of
the fund are officers or directors of MFS, MFD, and MFSC.
Other
This fund and certain other funds managed by MFS (the funds) have entered
into services agreements (the Agreements) which provide for payment of fees by the funds to Tarantino LLC and Griffin Compliance LLC in return for the provision of services of an Independent Chief Compliance Officer (ICCO) and Assistant ICCO,
respectively, for the funds. The ICCO and Assistant ICCO are officers of the funds and the sole members of Tarantino LLC and Griffin Compliance LLC, respectively. The funds can terminate the Agreements with Tarantino LLC and Griffin Compliance LLC
at any time under the terms of the Agreements. For the year ended July 31, 2013, the aggregate fees paid by the fund to Tarantino LLC and Griffin Compliance LLC were $299 and are included in Miscellaneous expense in the Statement of
Operations. MFS has agreed to reimburse the fund for a portion of the payments made by the fund in the amount of $137, which is shown as a reduction of total expenses in the Statement of Operations. Additionally, MFS has agreed to bear all expenses
associated with office space, other administrative support, and supplies provided to the ICCO and Assistant ICCO.
The fund invests in the MFS
Institutional Money Market Portfolio which is managed by MFS and seeks current income consistent with preservation of capital and liquidity. Income earned on this investment is included in Dividends from underlying affiliated funds in
the Statement of Operations. This money market fund does not pay a management fee to MFS.
On September 14, 2011, MFS purchased 10,000 shares each of
Class A, Class B, Class C, Class R1, Class R2, Class R3, and Class R4 and 930,000 shares of Class I for an aggregate amount of $10,000,000. On March 22, 2012, MFS purchased 1,516,684 shares of Class I for an amount of $15,000,000. On
November 30, 2012, MFS purchased 9,901 shares of Class R5 for an aggregate amount of $100,000.
At July 31, 2013, MFS held 85%, 100%, 90%, 82%,
100%, and 100% of the outstanding shares of Class I, Class R1, Class R2, Class R3, Class R4, and Class R5, respectively.
(4) Portfolio Securities
Purchases and sales of investments, other than short-term obligations, aggregated $99,293,709 and $74,480,371, respectively.
45
Notes to Financial Statements continued
(5) Shares of Beneficial Interest
The funds Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest. Transactions in fund
shares were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year ended
7/31/13 (i)
|
|
|
Year ended
7/31/12 (c)
|
|
|
|
Shares
|
|
|
Amount
|
|
|
Shares
|
|
|
Amount
|
|
Shares sold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A
|
|
|
1,172,371
|
|
|
|
$11,800,338
|
|
|
|
200,922
|
|
|
|
$1,973,057
|
|
Class B
|
|
|
33,054
|
|
|
|
335,094
|
|
|
|
19,113
|
|
|
|
189,577
|
|
Class C
|
|
|
231,507
|
|
|
|
2,363,333
|
|
|
|
26,575
|
|
|
|
262,007
|
|
Class I
|
|
|
2,703,142
|
|
|
|
27,363,569
|
|
|
|
2,455,704
|
|
|
|
24,390,334
|
|
Class R1
|
|
|
|
|
|
|
|
|
|
|
10,000
|
|
|
|
100,000
|
|
Class R2
|
|
|
1,203
|
|
|
|
11,659
|
|
|
|
10,000
|
|
|
|
100,000
|
|
Class R3
|
|
|
2,304
|
|
|
|
23,107
|
|
|
|
10,000
|
|
|
|
100,000
|
|
Class R4
|
|
|
|
|
|
|
|
|
|
|
10,000
|
|
|
|
100,000
|
|
Class R5
|
|
|
9,901
|
|
|
|
100,000
|
|
|
|
|
|
|
|
|
|
|
|
|
4,153,482
|
|
|
|
$41,997,100
|
|
|
|
2,742,314
|
|
|
|
$27,214,975
|
|
|
|
|
|
|
Shares issued to shareholders in reinvestment of distributions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A
|
|
|
38,820
|
|
|
|
$379,899
|
|
|
|
3,356
|
|
|
|
$32,658
|
|
Class B
|
|
|
972
|
|
|
|
9,539
|
|
|
|
316
|
|
|
|
3,075
|
|
Class C
|
|
|
3,772
|
|
|
|
36,631
|
|
|
|
381
|
|
|
|
3,706
|
|
Class I
|
|
|
121,426
|
|
|
|
1,197,844
|
|
|
|
49,509
|
|
|
|
480,982
|
|
Class R1
|
|
|
385
|
|
|
|
3,794
|
|
|
|
231
|
|
|
|
2,245
|
|
Class R2
|
|
|
452
|
|
|
|
4,451
|
|
|
|
277
|
|
|
|
2,698
|
|
Class R3
|
|
|
552
|
|
|
|
5,443
|
|
|
|
301
|
|
|
|
2,926
|
|
Class R4
|
|
|
497
|
|
|
|
4,905
|
|
|
|
324
|
|
|
|
3,154
|
|
Class R5
|
|
|
367
|
|
|
|
3,606
|
|
|
|
|
|
|
|
|
|
|
|
|
167,243
|
|
|
|
$1,646,112
|
|
|
|
54,695
|
|
|
|
$531,444
|
|
|
|
|
|
|
Shares reacquired
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A
|
|
|
(155,987
|
)
|
|
|
$(1,460,367
|
)
|
|
|
(23,729
|
)
|
|
|
$(225,717
|
)
|
Class B
|
|
|
(5,663
|
)
|
|
|
(56,298
|
)
|
|
|
(1,984
|
)
|
|
|
(19,394
|
)
|
Class C
|
|
|
(48,880
|
)
|
|
|
(468,256
|
)
|
|
|
(1,728
|
)
|
|
|
(16,616
|
)
|
Class I
|
|
|
(2,267,803
|
)
|
|
|
(21,072,890
|
)
|
|
|
|
|
|
|
|
|
|
|
|
(2,478,333
|
)
|
|
|
$(23,057,811
|
)
|
|
|
(27,441
|
)
|
|
|
$(261,727
|
)
|
46
Notes to Financial Statements continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year ended
7/31/13 (i)
|
|
|
Year ended
7/31/12 (c)
|
|
|
|
Shares
|
|
|
Amount
|
|
|
Shares
|
|
|
Amount
|
|
Net change
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A
|
|
|
1,055,204
|
|
|
|
$10,719,870
|
|
|
|
180,549
|
|
|
|
$1,779,998
|
|
Class B
|
|
|
28,363
|
|
|
|
288,335
|
|
|
|
17,445
|
|
|
|
173,258
|
|
Class C
|
|
|
186,399
|
|
|
|
1,931,708
|
|
|
|
25,228
|
|
|
|
249,097
|
|
Class I
|
|
|
556,765
|
|
|
|
7,488,523
|
|
|
|
2,505,213
|
|
|
|
24,871,316
|
|
Class R1
|
|
|
385
|
|
|
|
3,794
|
|
|
|
10,231
|
|
|
|
102,245
|
|
Class R2
|
|
|
1,655
|
|
|
|
16,110
|
|
|
|
10,277
|
|
|
|
102,698
|
|
Class R3
|
|
|
2,856
|
|
|
|
28,550
|
|
|
|
10,301
|
|
|
|
102,926
|
|
Class R4
|
|
|
497
|
|
|
|
4,905
|
|
|
|
10,324
|
|
|
|
103,154
|
|
Class R5
|
|
|
10,268
|
|
|
|
103,606
|
|
|
|
|
|
|
|
|
|
|
|
|
1,842,392
|
|
|
|
$20,585,401
|
|
|
|
2,769,568
|
|
|
|
$27,484,692
|
|
(c)
|
For the period from the commencement of the funds investment operations, September 15, 2011, through the stated period end.
|
(i)
|
For Class R5, the period is from inception, December 3, 2012, through the stated period end.
|
(6) Line of Credit
The fund and certain other funds managed by MFS participate in a $1.1 billion unsecured
committed line of credit, subject to a $1 billion sublimit, provided by a syndication of banks under a credit agreement. Borrowings may be made for temporary financing needs. Interest is charged to each fund, based on its borrowings, generally at a
rate equal to the higher of the Federal Reserve funds rate or one month LIBOR plus an agreed upon spread. A commitment fee, based on the average daily, unused portion of the committed line of credit, is allocated among the participating funds at the
end of each calendar quarter. In addition, the fund and other funds managed by MFS have established unsecured uncommitted borrowing arrangements with certain banks for temporary financing needs. Interest is charged to each fund, based on its
borrowings, at a rate equal to the Federal Reserve funds rate plus an agreed upon spread. For the year ended July 31, 2013, the funds commitment fee and interest expense were $236 and $0, respectively, and are included in
Miscellaneous expense in the Statement of Operations.
(7) Transactions in Underlying Affiliated Funds-Affiliated Issuers
An affiliated issuer 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. For
the purposes of this report, the fund assumes the following to be an affiliated issuer:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Underlying Affiliated Fund
|
|
Beginning
Shares/Par
Amount
|
|
|
Acquisitions
Shares/Par
Amount
|
|
|
Dispositions
Shares/Par
Amount
|
|
|
Ending
Shares/Par
Amount
|
|
MFS Institutional Money
Market Portfolio
|
|
|
7,768,366
|
|
|
|
47,835,029
|
|
|
|
(52,542,131
|
)
|
|
|
3,061,264
|
|
|
|
|
|
|
Underlying Affiliated Fund
|
|
Realized
Gain (Loss)
|
|
|
Capital Gain
Distributions
|
|
|
Dividend
Income
|
|
|
Ending
Value
|
|
MFS Institutional Money
Market Portfolio
|
|
|
$
|
|
|
|
$
|
|
|
|
$8,057
|
|
|
|
$3,061,264
|
|
47
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of MFS Series Trust X and the Shareholders of MFS Emerging Markets Debt Local Currency Fund:
We have audited the accompanying statement of assets and liabilities of MFS Emerging Markets Debt Local Currency Fund (the Fund) (one of the portfolios comprising
MFS Series Trust X), including the portfolio of investments, as of July 31, 2013, and the related statement of operations for the year then ended, and the statements of changes in net assets and the financial highlights for each of the periods
indicated therein. These financial statements and financial highlights are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that
we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds internal control over
financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Funds internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and
financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of July 31,
2013, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of MFS Emerging
Markets Debt Local Currency Fund at July 31, 2013, the results of its operations for the year then ended, and the changes in its net assets and the financial highlights for each of the periods indicated therein, in conformity with U.S.
generally accepted accounting principles.
Boston, Massachusetts
September 16, 2013
48
TRUSTEES AND OFFICERS IDENTIFICATION AND BACKGROUND
The Trustees and Officers of the Trust, as of September 1, 2013, are listed below, together with their principal occupations during the past five
years. (Their titles may have varied during that period.) The address of each Trustee and officer is 111 Huntington Avenue, Boston, Massachusetts 02199-7618.
|
|
|
|
|
|
|
|
|
Name, Age
|
|
Position(s) Held
with Fund
|
|
Trustee/Officer
Since
(h)
|
|
Principal
Occupations During
the Past Five Years
|
|
Other
Directorships
(j)
|
INTERESTED TRUSTEES
|
Robert J. Manning
(k)
(age 49)
|
|
Trustee
|
|
February 2004
|
|
Massachusetts Financial Services Company, Chairman, Chief Executive Officer and Director; President (until 2009); Chief Investment Officer (until 2010)
|
|
N/A
|
INDEPENDENT TRUSTEES
|
|
|
David H. Gunning
(age 71)
|
|
Trustee and Chair of Trustees
|
|
January 2004
|
|
Private investor
|
|
Lincoln Electric Holdings, Inc. (welding equipment manufacturer), Director; Development Alternatives, Inc. (consulting), Director/Non-Executive Chairman; Portman Limited (mining), Director
(until 2008)
|
Robert E. Butler
(age 71)
|
|
Trustee
|
|
January 2006
|
|
Consultant investment company industry regulatory and compliance matters
|
|
N/A
|
Maureen R. Goldfarb
(age 58)
|
|
Trustee
|
|
January 2009
|
|
Private investor
|
|
N/A
|
William R. Gutow
(age 71)
|
|
Trustee
|
|
December 1993
|
|
Private investor and real estate consultant; Capitol Entertainment Management Company (video franchise), Vice Chairman
|
|
Texas Donuts (donut franchise), Vice Chairman (until 2010)
|
49
Trustees and Officers continued
|
|
|
|
|
|
|
|
|
Name, Age
|
|
Position(s) Held
with Fund
|
|
Trustee/Officer
Since
(h)
|
|
Principal
Occupations During
the Past Five Years
|
|
Other
Directorships
(j)
|
Michael Hegarty
(age 68)
|
|
Trustee
|
|
December 2004
|
|
Private investor
|
|
Brookfield Office Properties, Inc. (real estate), Director; Rouse Properties Inc. (real estate), Director; Capmark Financial Group Inc. (real estate), Director
|
John P. Kavanaugh
(age 58)
|
|
Trustee
|
|
January 2009
|
|
Private investor
|
|
N/A
|
J. Dale Sherratt
(age 74)
|
|
Trustee
|
|
June 1989
|
|
Insight Resources, Inc. (acquisition planning specialists), President; Wellfleet Investments (investor in health care companies), Managing General Partner
|
|
N/A
|
Laurie J. Thomsen
(age 56)
|
|
Trustee
|
|
March 2005
|
|
Private investor; New Profit, Inc. (venture philanthropy), Executive Partner (until 2010)
|
|
The Travelers Companies (insurance), Director
|
Robert W. Uek
(age 72)
|
|
Trustee
|
|
January 2006
|
|
Consultant to investment company industry
|
|
N/A
|
OFFICERS
|
|
|
|
|
|
|
John M. Corcoran
(k)
(age 48)
|
|
President
|
|
October 2008
|
|
Massachusetts Financial Services Company, Senior Vice President (since October 2008); State Street Bank and Trust (financial services provider), Senior Vice President, (until
2008)
|
|
N/A
|
Christopher R. Bohane
(k)
(age 39)
|
|
Assistant Secretary and Assistant Clerk
|
|
July 2005
|
|
Massachusetts Financial Services Company, Vice President and Assistant General Counsel
|
|
N/A
|
Kino Clark
(k)
(age 45)
|
|
Assistant
Treasurer
|
|
January 2012
|
|
Massachusetts Financial
Services
Company,
Vice President
|
|
N/A
|
50
Trustees and Officers continued
|
|
|
|
|
|
|
|
|
Name, Age
|
|
Position(s) Held
with Fund
|
|
Trustee/Officer
Since
(h)
|
|
Principal
Occupations During
the Past Five Years
|
|
Other
Directorships
(j)
|
Thomas H. Connors
(k)
(age 53)
|
|
Assistant
Secretary and Assistant
Clerk
|
|
September 2012
|
|
Massachusetts Financial Services Company,
Vice
President and Senior Counsel; Deutsche Investment Management Americas Inc. (financial service provider), Director and Senior Counsel (until 2012)
|
|
N/A
|
Ethan D. Corey
(k)
(age 49)
|
|
Assistant Secretary and Assistant Clerk
|
|
July 2005
|
|
Massachusetts Financial Services Company,
Senior
Vice President and Associate General Counsel
|
|
N/A
|
David L. DiLorenzo
(k)
(age 45)
|
|
Treasurer
|
|
July 2005
|
|
Massachusetts Financial Services Company, Senior Vice President
|
|
N/A
|
Robyn L. Griffin
(age 38)
|
|
Assistant Independent Chief Compliance Officer
|
|
August 2008
|
|
Griffin Compliance LLC (provider of compliance services), Principal (since August 2008); State Street Corporation (financial services provider), Mutual Fund Administration Assistant Vice
President (until 2008)
|
|
N/A
|
Brian E. Langenfeld
(k)
(age 40)
|
|
Assistant Secretary and Assistant Clerk
|
|
June 2006
|
|
Massachusetts Financial Services Company, Vice President and Senior Counsel
|
|
N/A
|
Susan S. Newton
(k)
(age 63)
|
|
Assistant Secretary and Assistant Clerk
|
|
May 2005
|
|
Massachusetts Financial Services Company, Senior Vice President and Associate General Counsel
|
|
N/A
|
51
Trustees and Officers continued
|
|
|
|
|
|
|
|
|
Name, Age
|
|
Position(s) Held
with Fund
|
|
Trustee/Officer
Since
(h)
|
|
Principal
Occupations During
the Past Five Years
|
|
Other
Directorships
(j)
|
Susan A. Pereira
(k)
(age 42)
|
|
Assistant Secretary and Assistant Clerk
|
|
July 2005
|
|
Massachusetts Financial Services Company, Vice President and Senior Counsel
|
|
N/A
|
Kasey L. Phillips
(k)
(age 42)
|
|
Assistant Treasurer
|
|
September 2012
|
|
Massachusetts Financial Services Company, Vice President; Wells Fargo Funds Management, LLC, Senior Vice President, Fund Treasurer (until 2012)
|
|
N/A
|
Mark N. Polebaum
(k)
(age 61)
|
|
Secretary and Clerk
|
|
January 2006
|
|
Massachusetts Financial Services Company, Executive Vice President, General Counsel and Secretary
|
|
N/A
|
Frank L. Tarantino
(age 69)
|
|
Independent Chief Compliance Officer
|
|
June 2004
|
|
Tarantino LLC (provider of compliance services), Principal
|
|
N/A
|
Richard S. Weitzel
(k)
(age 43)
|
|
Assistant Secretary and Assistant Clerk
|
|
October 2007
|
|
Massachusetts Financial Services Company, Senior Vice President and Associate General Counsel
|
|
N/A
|
James O. Yost
(k)
(age 53)
|
|
Deputy
Treasurer
|
|
September 1990
|
|
Massachusetts Financial Services Company, Senior Vice President
|
|
N/A
|
(h)
|
Date first appointed to serve as Trustee/officer of an MFS Fund. Each Trustee has served continuously since appointment unless indicated otherwise. For the period from December
15, 2004 until February 22, 2005, Mr. Manning served as Advisory Trustee. For the period October 2008, until January 2012, Mr. Corcoran served as Treasurer of the Funds. Prior to January 2012, Messrs. DiLorenzo and Yost served as Assistant
Treasurers of the Funds.
|
(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 position with MFS. The address of MFS is 111 Huntington Avenue, Boston, Massachusetts 02199-7618.
|
Each Trustee has been elected by shareholders and each Trustee and officer holds office until his or her successor is chosen and qualified or until his or her earlier death, resignation, retirement or removal. The
Trust does not hold annual meetings for the
52
Trustees and Officers continued
purpose of electing Trustees, and Trustees are not elected for fixed terms. Messrs. Butler, Kavanaugh, Uek and Ms. Thomsen are members of the Trusts Audit Committee.
Each of the Funds Trustees and officers holds comparable positions with certain other funds of which MFS or a subsidiary is the investment adviser or
distributor, and, in the case of the officers, with certain affiliates of MFS. As of January 1, 2013, the Trustees served as board members of 143 funds within the MFS Family of Funds.
The Statement of Additional Information for the Fund includes further information about the Trustees and is available without charge upon request by calling
1-800-225-2606.
|
|
|
Investment Adviser
|
|
Custodian
|
Massachusetts Financial Services Company
111 Huntington Avenue
Boston, MA 02199-7618
|
|
State Street Bank and Trust Company
1 Lincoln
Street
Boston, MA 02111-2900
|
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 Managers
|
|
|
Ward Brown
|
|
|
Matthew Ryan
|
|
|
53
BOARD REVIEW OF INVESTMENT ADVISORY AGREEMENT
The Investment Company Act of 1940 requires that both the full Board of Trustees and a majority of the non-interested (independent) Trustees, voting
separately, annually approve the continuation of the Funds investment advisory agreement with MFS. The Trustees consider matters bearing on the Fund and its advisory arrangements at their meetings throughout the year, including a review of
performance data at each regular meeting. In addition, the independent Trustees met several times over the course of three months beginning in May and ending in July, 2013 (contract review meetings) for the specific purpose of
considering whether to approve the continuation of the investment advisory agreement for the Fund and the other investment companies that the Board oversees (the MFS Funds). The independent Trustees were assisted in their evaluation of
the Funds investment advisory agreement by independent legal counsel, from whom they received separate legal advice and with whom they met separately from MFS during various contract review meetings. The independent Trustees were also assisted
in this process by the MFS Funds Independent Chief Compliance Officer, a full-time senior officer appointed by and reporting to the independent Trustees.
In connection with their deliberations regarding the continuation of the investment advisory agreement, the Trustees, including the independent Trustees, considered such information and factors as they believed, in
light of the legal advice furnished to them and their own business judgment, to be relevant. The investment advisory agreement for the Fund was considered separately, although the Trustees also took into account the common interests of all MFS Funds
in their review. As described below, the Trustees considered the nature, quality, and extent of the various investment advisory, administrative, and shareholder services performed by MFS under the existing investment advisory agreement and other
arrangements with the Fund.
In connection with their contract review meetings, the Trustees received and relied upon materials that included, among
other items: (i) information provided by Lipper Inc., an independent third party, on the investment performance of the Fund for the one-year period ended December 31, 2012 and the investment performance of a group of funds with
substantially similar investment classifications/objectives (the Lipper performance universe), (ii) information provided by Lipper Inc. on the Funds advisory fees and other expenses and the advisory fees and other expenses of
comparable funds identified by Lipper Inc. (the Lipper expense group), (iii) information provided by MFS on the advisory fees of comparable portfolios of other clients of MFS, including institutional separate accounts and other
clients, (iv) information as to whether and to what extent applicable expense waivers, reimbursements or fee breakpoints are observed for the Fund, (v) information regarding MFS financial results and financial condition,
including MFS and certain of its affiliates estimated profitability from services performed for the Fund and the MFS Funds as a whole, and compared to MFS institutional business, (vi) MFS views regarding the outlook for
the mutual fund industry and the strategic business plans of MFS, (vii) descriptions of various functions performed by MFS for the Funds, such as compliance monitoring and portfolio trading practices, and (viii) information regarding the
overall organization of MFS, including information about MFS senior management and other personnel providing investment advisory, administrative and other services to
54
Board Review of Investment Advisory Agreement continued
the Fund and the other MFS Funds. The comparative performance, fee and expense information prepared and provided by Lipper Inc. was not independently verified and the independent Trustees did not
independently verify any information provided to them by MFS.
The Trustees conclusion as to the continuation of the investment advisory agreement
was based on a comprehensive consideration of all information provided to the Trustees and not the result of any single factor. Some of the factors that figured particularly in the Trustees deliberations are described below, although
individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. It is also important to recognize that the fee arrangements for the Fund and other MFS Funds are the result
of years of review and discussion between the independent Trustees and MFS, that certain aspects of such arrangements may receive greater scrutiny in some years than in others, and that the Trustees conclusions may be based, in part, on their
consideration of these same arrangements during the course of the year and in prior years.
Based on information provided by Lipper Inc. and MFS, the
Trustees reviewed the Funds total return investment performance as well as the performance of peer groups of funds for the one-year period ended December 31, 2012. The total return performance of the Funds Class A shares was in
the 4th quintile relative to the other funds in the universe for this one-year period (the 1st quintile being the best performers and the 5th quintile being the worst performers). The Fund commenced operations on September 15, 2011 and has a
limited operating history and performance record; therefore no performance data for the three- or five-year periods was available. Because of the passage of time, these performance results may differ from the performance results for more recent
periods, including those shown elsewhere in this report.
In the course of their deliberations, the Trustees took into account information provided by
MFS in connection with the contract review meetings, as well as during investment review meetings conducted with portfolio management personnel during the course of the year regarding the Funds performance. After reviewing these and related
factors, the Trustees concluded, within the context of their overall conclusions regarding the investment advisory agreement, that they were satisfied with MFS responses and efforts relating to investment performance.
In assessing the reasonableness of the Funds advisory fee, the Trustees considered, among other information, the Funds advisory fee and the total
expense ratio of the Funds Class A shares as a percentage of average daily net assets and the advisory fee and total expense ratios of peer groups of funds based on information provided by Lipper Inc. The Trustees considered that MFS
currently observes an expense limitation for the Fund, which may not be changed without the Trustees approval. The Trustees also considered that, according to the Lipper data (which takes into account any fee reductions or expense limitations
that were in effect during the Funds last fiscal year), the Funds effective advisory fee rate was lower than the Lipper expense group median, and the Funds total expense ratio was approximately at the Lipper expense group median.
55
Board Review of Investment Advisory Agreement continued
The Trustees also considered the advisory fees charged by MFS to any comparable
institutional accounts. In comparing these fees, the Trustees considered information provided by MFS as to the generally broader scope of services provided by MFS to the Fund in comparison to institutional accounts, the higher demands placed on
MFS investment personnel and trading infrastructure as a result of the daily cash in-flows and out-flows of the Fund, and the impact on MFS and expenses associated with the more extensive regulatory regime to which the Fund is subject in
comparison to institutional accounts.
The Trustees also considered whether the Fund may benefit from any economies of scale in the management of the
Fund in the event of growth in assets of the Fund and/or growth in assets of the MFS Funds as a whole. They noted that the Funds advisory fee schedule is subject to a contractual breakpoint that reduces the Funds advisory fee rate on
average daily net assets over $1 billion, and that MFS has agreed in writing to further reduce the Funds advisory fee on average daily net assets over $2.5 billion, which may not be changed without the Trustees approval. The Trustees
also noted that MFS has agreed in writing to waive a portion of the management fees of certain MFS Funds, including the Fund, if the total combined assets of certain funds within the MFS Funds complex increase above agreed upon thresholds (the
group fee waiver), enabling the Funds shareholders to share in the benefits from any economies of scale at the complex level. The group fee waiver is reviewed and renewed annually between the Board and MFS. The Trustees concluded
that the existing breakpoints and the group fee waiver were sufficient to allow the Fund to benefit from economies of scale as its assets and overall complex assets grow.
The Trustees also considered information prepared by MFS relating to MFS costs and profits with respect to the Fund, the MFS Funds considered as a group, and other investment companies and accounts advised by
MFS, as well as MFS methodologies used to determine and allocate its costs to the MFS Funds, the Fund and other accounts and products for purposes of estimating profitability.
After reviewing these and other factors described herein, the Trustees concluded, within the context of their overall conclusions regarding the investment advisory agreement, that the advisory fees charged to the
Fund represent reasonable compensation in light of the services being provided by MFS to the Fund.
In addition, the Trustees considered MFS
resources and related efforts to continue to retain, attract and motivate capable personnel to serve the Fund. The Trustees also considered current and developing conditions in the financial services industry, including the presence of large and
well-capitalized companies which are spending, and appear to be prepared to continue to spend, substantial sums to engage personnel and to provide services to competing investment companies. In this regard, the Trustees also considered the financial
resources of MFS and its ultimate parent, Sun Life Financial, Inc. The Trustees also considered the advantages and possible disadvantages to the Fund of having an adviser that also serves other investment companies as well as other accounts.
The Trustees also considered the nature, quality, cost, and extent of administrative, transfer agency, and distribution services provided to the Fund by
MFS and its affiliates under agreements and plans other than the investment advisory agreement, including
56
Board Review of Investment Advisory Agreement continued
any 12b-1 fees the Fund pays to MFS Fund Distributors, Inc., an affiliate of MFS. The Trustees also considered the nature, extent and quality of certain other services MFS performs or arranges
for on the Funds behalf, which may include securities lending programs, directed expense payment programs, class action recovery programs, and MFS interaction with third-party service providers, principally custodians and
sub-custodians.
The Trustees concluded that the various non-advisory services provided by MFS and its affiliates on behalf of the Fund were satisfactory.
The Trustees also considered benefits to MFS from the use of the Funds portfolio brokerage commissions, if applicable, to pay for investment research and various other factors. Additionally, the Trustees
considered so-called fall-out benefits to MFS such as reputational value derived from serving as investment manager to the Fund.
Based on
their evaluation of factors that they deemed to be material, including those factors described above, the Board of Trustees, including the independent Trustees, concluded that the Funds investment advisory agreement with MFS should be
continued for an additional one-year period, commencing August 1, 2013.
A discussion regarding the Boards most recent review and renewal of
the funds Investment Advisory Agreement with MFS is available by clicking on the funds name under Mutual Funds in the Products section of the MFS Web site
(mfs.com).
57
PROXY VOTING POLICIES AND INFORMATION
A general description of the MFS funds proxy voting policies and procedures is available without charge, upon request, by calling 1-800-225-2606, by visiting
the Proxy Voting section of
mfs.com
or by visiting the SECs Web site at
http://www.sec.gov
.
Information regarding how the fund
voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available without charge by visiting the Proxy Voting section of
mfs.com
or by visiting the SECs Web site
at
http://www.sec.gov
.
QUARTERLY PORTFOLIO DISCLOSURE
The fund will file a complete schedule of portfolio holdings with the Securities and Exchange Commission (the Commission) for the first and third quarters of each
fiscal year on Form N-Q. A shareholder can obtain the quarterly portfolio holdings report at
mfs.com
. The funds Form N-Q is also available on the EDGAR database on the Commissions Internet Web site at
http://www.sec.gov
,
and may be reviewed and copied at the:
Public Reference Room
Securities and Exchange Commission
100 F Street, NE, Room 1580
Washington, D.C. 20549
Information on the
operation of the Public Reference Room may be obtained by calling the Commission at 1-800-SEC-0330. Copies of the funds Form N-Q also may be obtained, upon payment of a duplicating fee, by electronic request at the following
e-mail
address: publicinfo@sec.gov or by writing the Public Reference Section at the above address.
FURTHER INFORMATION
From time to time, MFS may post important information about the fund or the MFS funds on the MFS web site (
mfs.com
). This
information is available by visiting the News & Commentary section of
mfs.com
or by clicking on the funds name under Mutual Funds in the Products section of
mfs.com
.
FEDERAL TAX INFORMATION (unaudited)
The fund will notify shareholders of amounts for use in preparing 2013 income tax forms in January 2014. The following information is provided pursuant to provisions of the Internal Revenue Code.
The fund designates $236,000 as capital gain dividends paid during the fiscal year
58
rev. 3/11
|
|
|
|
|
|
|
|
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 dont share
|
For joint marketing with other financial companies
|
|
No
|
|
We dont share
|
For our affiliates everyday business purposes
information about your transactions and experiences
|
|
No
|
|
We dont share
|
For our affiliates everyday business purposes
information about your creditworthiness
|
|
No
|
|
We dont share
|
For nonaffiliates to market to you
|
|
No
|
|
We dont share
|
|
|
|
Questions?
|
|
Call
800-225-2606
or go to
mfs.com
.
|
59
|
|
|
Who we are
|
Who is providing this notice?
|
|
MFS Funds, MFS Investment Management, MFS Institutional Advisors, Inc., MFS Fund Distributors,
Inc., MFS Heritage Trust Company, and MFS Service Center, Inc.
|
|
|
|
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 and
other companies.
|
Why cant 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.
|
60
Save paper with eDelivery.
|
MFS® will send you prospectuses,
|
reports, and proxies directly via
e-mail
so you will get information faster with less mailbox clutter.
To sign up
:
1. Go to mfs.com.
2. Log in via MFS®
Access.
3. Select eDelivery.
If
you own your MFS fund shares through a financial institution or a retirement plan, MFS® TALK, MFS® Access, or eDelivery may not be available to you.
CONTACT
WEB SITE
mfs.com
MFS TALK
1-800-637-8255
24 hours a day
ACCOUNT SERVICE AND LITERATURE
Shareholders
1-800-225-2606
Financial advisors
1-800-343-2829
Retirement plan services
1-800-637-1255
MAILING ADDRESS
MFS Service Center, Inc.
P.O. Box 55824
Boston, MA 02205-5824
OVERNIGHT MAIL
MFS Service Center, Inc.
c/o Boston Financial Data Services
30 Dan Road
Canton, MA 02021-2809