N-Q 1 dnq.htm MFS SERIES TRUST XIII N-Q MFS SERIES TRUST XIII N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-3327

 

 

MFS SERIES TRUST XIII

 

 

(Exact name of registrant as specified in charter)

500 Boylston Street, Boston, Massachusetts 02116

 

 

(Address of principal executive offices) (Zip code)

Susan S. Newton

Massachusetts Financial Services Company

500 Boylston Street

Boston, Massachusetts 02116

 

 

(Name and address of agents for service)

Registrant’s telephone number, including area code: (617) 954-5000

 

 

Date of fiscal year end: February 29

 

 

Date of reporting period: May 31, 2008

 

 


ITEM 1. SCHEDULE OF INVESTMENTS.


LOGO

 


MFS Diversified Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 5/31/08

 

Issuer

   Shares/Par    Value ($)

Bonds – 58.5%

     

Aerospace – 0.3%

     

Hawker Beechcraft Acquisition Co. LLC, 9.75%, 2017

   $ 360,000    $ 369,000

Vought Aircraft Industries, Inc., 8%, 2011

     305,000      295,087
         
      $ 664,087
         

Agency - Other – 3.6%

     

Financing Corp., 9.4%, 2018

   $ 3,475,000    $ 4,756,267

Financing Corp., 10.35%, 2018

     1,415,000      2,055,000

Financing Corp., STRIPS, 0%, 2017

     3,375,000      2,184,719
         
      $ 8,995,986
         

Asset Backed & Securitized – 0.8%

     

Banc of America Commercial Mortgage, Inc., 5.39%, 2045

   $ 70,467    $ 64,771

Banc of America Commercial Mortgage, Inc., FRN, 6.003%, 2017

     145,867      135,405

Banc of America Commercial Mortgage, Inc., FRN, 5.772%, 2017

     500,000      459,029

Citigroup Commercial Mortgage Trust, FRN, 5.7%, 2017

     198,555      137,752

Credit Suisse Mortgage Capital Certificate, 5.343%, 2039

     48,162      43,892

JPMorgan Chase Commercial Mortgage Securities Corp., 5.44%, 2045

     237,347      218,466

JPMorgan Chase Commercial Mortgage Securities Corp., 5.372%, 2047

     121,251      110,970

JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.466%, 2047

     189,579      171,698

Merrill Lynch/Countrywide Commercial Mortgage Trust, FRN, 5.204%, 2049

     256,753      232,604

Merrill Lynch/Countrywide Commercial Mortgage Trust, FRN, 5.749%, 2050

     66,000      61,033

Wachovia Bank Commercial Mortgage Trust, FRN, 5.752%, 2047

     116,771      83,975

Wachovia Bank Commercial Mortgage Trust, FRN, 6.1%, 2051

     256,150      238,895
         
      $ 1,958,490
         

Automotive – 0.8%

     

Allison Transmission, Inc., 11%, 2015 (l)(n)

   $ 485,000    $ 457,112

Ford Motor Credit Co. LLC, 9.75%, 2010

     381,000      370,671

Ford Motor Credit Co. LLC, 12%, 2015

     655,000      654,424

Ford Motor Credit Co. LLC, 8%, 2016

     200,000      167,905

Ford Motor Credit Co. LLC, FRN, 4.283%, 2010

     185,000      170,014

General Motors Acceptance Corp., 8.375%, 2033 (l)

     400,000      274,000
         
      $ 2,094,126
         

Broadcasting – 2.1%

     

Allbritton Communications Co., 7.75%, 2012

   $ 350,000    $ 350,875

Bonten Media Acquisition Co., 9%, 2015 (n)(p)

     285,000      220,875

CanWest MediaWorks LP, 9.25%, 2015 (n)

     120,000      105,000

DIRECTV Holdings LLC, 7.625%, 2016 (z)

     300,000      298,875

Grupo Televisa S.A., 8.5%, 2032

     422,000      486,224

ION Media Networks, Inc., FRN, 8.963%, 2013 (n)

     285,000      179,550

Lamar Media Corp., 6.625%, 2015

     390,000      367,575

Lamar Media Corp., “C”, 6.625%, 2015

     140,000      131,950

LBI Media, Inc., 8.5%, 2017 (n)

     185,000      149,850

LIN TV Corp., 6.5%, 2013

     1,150,000      1,091,062

Local TV Finance LLC, 9.25%, 2015 (n)(p)

     445,000      358,225

Newport Television LLC, 13%, 2017 (z)(p)

     415,000      375,575

Nexstar Broadcasting Group, Inc., 7%, 2014

     310,000      274,350

Univision Communications, Inc., 9.75%, 2015 (n)(l)(p)

     1,215,000      917,325
         
      $ 5,307,311
         

Brokerage & Asset Managers – 0.2%

     

Nuveen Investments, Inc., 10.5%, 2015 (n)

   $ 450,000    $ 423,000
         

Building – 0.4%

     

Associated Materials, Inc., 9.75%, 2012

   $ 90,000    $ 89,550

Associated Materials, Inc., 0% to 2009, 11.25% to 2014 (l)

     295,000      201,337

Building Materials Corp. of America, 7.75%, 2014

     175,000      150,500

Nortek Holdings, Inc., 10%, 2013 (z)

     145,000      144,094

 

1


MFS Diversified Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 5/31/08 - continued

 

Issuer

   Shares/Par    Value ($)

Bonds – continued

     

Building – continued

     

Nortek Holdings, Inc., 8.5%, 2014

   $ 240,000    $ 168,000

Ply Gem Industries, Inc., 9%, 2012 (l)

     500,000      343,750
         
      $ 1,097,231
         

Business Services – 0.2%

     

SunGard Data Systems, Inc., 10.25%, 2015

   $ 507,000    $ 527,280
         

Cable TV – 1.2%

     

CCH I Holdings LLC, 11%, 2015 (l)

   $ 205,000    $ 174,250

CCH II Holdings LLC, 10.25%, 2010

     405,000      402,975

CCO Holdings LLC, 8.75%, 2013

     1,185,000      1,125,750

CSC Holdings, Inc., 6.75%, 2012

     315,000      305,550

CSC Holdings, Inc., 8.5%, 2015 (z)

     295,000      295,000

Mediacom LLC, 9.5%, 2013

     380,000      362,900

NTL Cable PLC, 9.125%, 2016

     300,000      294,000
         
      $ 2,960,425
         

Chemicals – 1.0%

     

Braskem S.A., 7.25%, 2018 (z)

   $ 495,000    $ 495,000

Innophos, Inc., 8.875%, 2014

     615,000      627,300

Koppers Holdings, Inc., 9.875%, 2013

     190,000      201,400

Momentive Performance Materials, Inc., 11.5%, 2016 (l)

     540,000      457,650

Nalco Co., 8.875%, 2013

     610,000      642,025
         
      $ 2,423,375
         

Computer Software – 0.2%

     

First Data Corp., 9.875%, 2015 (n)

   $ 585,000    $ 529,425
         

Consumer Goods & Services – 0.5%

     

Corrections Corp. of America, 6.25%, 2013

   $ 145,000    $ 142,825

Jarden Corp., 7.5%, 2017

     100,000      89,250

KAR Holdings, Inc., 10%, 2015

     300,000      273,000

Service Corp. International, 7.375%, 2014

     120,000      120,600

Service Corp. International, 7%, 2017

     540,000      523,800
         
      $ 1,149,475
         

Containers – 0.5%

     

Crown Americas LLC, 7.625%, 2013

   $ 190,000    $ 195,700

Greif, Inc., 6.75%, 2017

     570,000      567,150

Owens-Brockway Glass Container, Inc., 8.25%, 2013

     450,000      465,750
         
      $ 1,228,600
         

Defense Electronics – 0.2%

     

L-3 Communications Corp., 5.875%, 2015

   $ 450,000    $ 426,375
         

Electronics – 0.2%

     

Flextronics International Ltd., 6.25%, 2014

   $ 250,000    $ 238,750

Spansion LLC, 11.25%, 2016 (n)(l)

     525,000      325,500
         
      $ 564,250
         

Emerging Market Quasi-Sovereign – 3.5%

     

Codelco, Inc., 4.75%, 2014

   $ 979,000    $ 959,115

Codelco, Inc., 5.625%, 2035

     1,645,000      1,466,416

Gazprom International S.A., 7.201%, 2020

     1,326,964      1,353,503

NAK Naftogaz Ukrainy, 8.125%, 2009

     500,000      493,425

National Development Co., 6.369%, 2018 (z)

     565,000      580,537

National Power Corp., 6.888%, 2011

     381,000      403,358

National Power Corp., 6.875%, 2016 (n)

     100,000      100,250

National Power Corp., 6.875%, 2016

     300,000      300,750

Pemex Project Funding Master Trust, 5.75%, 2018 (n)

     711,000      707,445

Pemex Project Funding Master Trust, 5.75%, 2018

     485,000      482,575

 

2


MFS Diversified Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 5/31/08 - continued

 

Issuer

   Shares/Par    Value ($)

Bonds – continued

     

Emerging Market Quasi-Sovereign – continued

     

Pemex Project Funding Master Trust, 6.625%, 2035

   $ 1,882,000    $ 1,900,434
         
      $ 8,747,808
         

Emerging Market Sovereign – 8.8%

     

Banque Centrale de Tunisie, 7.375%, 2012

   $ 200,000    $ 215,000

Federative Republic of Brazil, 6%, 2017

     2,698,000      2,849,088

Federative Republic of Brazil, 8%, 2018

     1,033,000      1,180,202

Gabonese Republic, 8.2%, 2017

     700,000      738,500

Republic of Argentina, 7%, 2011

     652,000      576,151

Republic of Argentina, 7%, 2013

     174,638      138,498

Republic of Argentina, FRN, 3.092%, 2012

     1,364,750      1,173,928

Republic of Colombia, 7.375%, 2017

     729,000      824,499

Republic of Colombia, 7.375%, 2037

     675,000      766,125

Republic of Croatia, FRN, 4%, 2010

     568,182      567,176

Republic of El Salvador, 7.65%, 2035 (n)

     225,000      239,625

Republic of El Salvador, 7.65%, 2035

     200,000      213,000

Republic of Indonesia, 8.5%, 2035

     1,265,000      1,365,249

Republic of Panama, 9.375%, 2029

     1,387,000      1,870,369

Republic of Panama, 6.7%, 2036

     816,000      852,720

Republic of Peru, 8.375%, 2016

     202,000      242,400

Republic of Peru, 6.55%, 2037

     802,000      842,100

Republic of Philippines, 9.375%, 2017

     460,000      570,400

Republic of Philippines, 7.75%, 2031

     575,000      636,812

Republic of Turkey, 7.375%, 2025

     297,000      297,742

Republic of Turkey, 8%, 2034

     85,000      88,876

Republic of Turkey, 6.875%, 2036

     575,000      521,812

Republic of Ukraine, 6.75%, 2017

     371,000      358,015

Republic of Uruguay, 9.25%, 2017

     650,000      796,250

Republic of Uruguay, 8%, 2022

     1,351,000      1,479,345

Republic of Uruguay, 7.625%, 2036

     700,000      738,500

Russian Federation, 7.5%, 2030

     683,658      778,413

United Mexican States, 6.75%, 2034

     512,000      559,718

United Mexican States, 6.05%, 2040

     466,000      459,010
         
      $ 21,939,523
         

Energy - Independent – 1.4%

     

Chaparral Energy, Inc., 8.875%, 2017

   $ 175,000    $ 155,312

Chesapeake Energy Corp., 6.875%, 2016

     515,000      505,987

Forest Oil Corp., 7.25%, 2019

     210,000      206,325

Forest Oil Corp., 7.25%, 2019 (z)

     45,000      44,212

Hilcorp Energy I LP, 9%, 2016 (n)

     340,000      352,750

Mariner Energy, Inc., 8%, 2017

     345,000      333,787

OPTI Canada, Inc., 8.25%, 2014

     395,000      406,850

Plains Exploration & Production Co., 7%, 2017

     520,000      500,500

Plains Exploration & Production Co., 7.625%, 2018

     155,000      155,775

Quicksilver Resources, Inc., 7.125%, 2016

     295,000      287,625

SandRidge Energy, Inc., 8.625%, 2015 (z)(p)

     115,000      118,162

SandRidge Energy, Inc., 8%, 2018 (z)

     320,000      324,000
         
      $ 3,391,285
         

Energy - Integrated – 0.3%

     

Petroleum Co. of Trinidad & Tobago Ltd., 6%, 2022 (n)

   $ 746,000    $ 724,515
         

Entertainment – 0.0%

     

Marquee Holdings, Inc., 12%, 2014

   $ 120,000    $ 96,600
         

Financial Institutions – 0.3%

     

General Motors Acceptance Corp., 6.875%, 2011

   $ 992,000    $ 836,346

 

3


MFS Diversified Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 5/31/08 - continued

 

Issuer

   Shares/Par    Value ($)

Bonds – continued

     

Financial Institutions – continued

     

Residential Capital LLC, 8.5%, 2012

   $ 36,000    $ 18,000
         
      $ 854,346
         

Food & Beverages – 0.4%

     

ARAMARK Corp., 8.5%, 2015

   $ 485,000    $ 496,519

Dean Foods Co., 7%, 2016

     325,000      303,062

Del Monte Corp., 6.75%, 2015

     300,000      290,250
         
      $ 1,089,831
         

Forest & Paper Products – 0.7%

     

Buckeye Technologies, Inc., 8%, 2010

   $ 384,000    $ 384,000

Catalyst Paper Corp., 8.625%, 2011

     95,000      82,175

Georgia-Pacific Corp., 7.125%, 2017 (z)

     165,000      162,937

Georgia-Pacific Corp., 8%, 2024

     90,000      86,850

Graphic Packaging International Corp., 9.5%, 2013

     125,000      125,937

Millar Western Forest Products Ltd., 7.75%, 2013

     585,000      391,950

NewPage Holding Corp., 10%, 2012 (n)

     515,000      548,475

Smurfit-Stone Container Corp., 8%, 2017

     100,000      86,250
         
      $ 1,868,574
         

Gaming & Lodging – 1.6%

     

Firekeepers Development Authority, 13.875%, 2015 (z)

   $ 270,000    $ 270,675

Fontainebleau Las Vegas Holdings LLC, 10.25%, 2015 (n)

     720,000      523,800

Harrah’s Operating Co., Inc., 10.75%, 2016 (n)

     500,000      433,750

Harrah’s Operating Co., Inc., 5.75%, 2017

     220,000      121,550

Harrah’s Operating Co., Inc., 10.75%, 2018 (n)(p)

     455,000      359,450

MGM Mirage, 8.375%, 2011

     200,000      198,250

MGM Mirage, 6.75%, 2013

     750,000      678,750

Pinnacle Entertainment, Inc., 7.5%, 2015 (n)

     235,000      193,875

Station Casinos, Inc., 6%, 2012

     45,000      37,800

Station Casinos, Inc., 6.5%, 2014 (l)

     645,000      406,350

Station Casinos, Inc., 6.875%, 2016

     475,000      289,156

Trump Entertainment Resorts Holdings, Inc., 8.5%, 2015 (l)

     765,000      518,287
         
      $ 4,031,693
         

Industrial – 0.2%

     

Blount, Inc., 8.875%, 2012

   $ 280,000    $ 284,200

JohnsonDiversey Holdings, Inc., 9.625%, 2012

   EUR  75,000      114,337

JohnsonDiversey Holdings, Inc., 10.67%, 2013

   $ 240,000      240,000
         
      $ 638,537
         

Insurance - Property & Casualty – 0.1%

     

USI Holdings Corp., 9.75%, 2015 (n)

   $ 280,000    $ 226,800
         

Major Banks – 0.2%

     

JPMorgan Chase & Co., 7.9% to 2018, FRN to 2049

   $ 435,000    $ 433,073
         

Medical & Health Technology & Services – 2.1%

     

Community Health Systems, Inc., 8.875%, 2015

   $ 560,000    $ 577,500

Cooper Cos., Inc., 7.125%, 2015

     230,000      220,225

DaVita, Inc., 7.25%, 2015

     720,000      703,800

HCA, Inc., 6.375%, 2015

     395,000      343,650

HCA, Inc., 9.25%, 2016

     1,275,000      1,346,719

LVB Acquisition Merger Sub, Inc., 10%, 2017 (n)

     385,000      412,913

LVB Acquisition Merger Sub, Inc., 11.625%, 2017 (n)

     355,000      376,300

Psychiatric Solutions, Inc., 7.75%, 2015

     190,000      194,750

U.S. Oncology, Inc., 10.75%, 2014

     450,000      453,375

Universal Hospital Services, Inc., 8.5%, 2015 (p)

     205,000      207,050

Universal Hospital Services, Inc., FRN, 8.287%, 2015

     65,000      61,588

 

4


MFS Diversified Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 5/31/08 - continued

 

Issuer

   Shares/Par    Value ($)

Bonds – continued

     

Medical & Health Technology & Services – continued

     

VWR Funding, Inc., 10.25%, 2015 (p)

   $ 355,000    $ 331,925
         
      $ 5,229,795
         

Metals & Mining – 1.3%

     

FMG Finance Ltd., 10.625%, 2016 (n)

   $ 790,000    $ 916,400

Foundation PA Coal Co., 7.25%, 2014

     100,000      102,500

Freeport-McMoRan Copper & Gold, Inc., 8.375%, 2017

     670,000      720,250

Freeport-McMoRan Copper & Gold, Inc., FRN, 5.883%, 2015

     280,000      279,972

Peabody Energy Corp., 7.375%, 2016

     105,000      107,363

Peabody Energy Corp., “B”, 6.875%, 2013

     540,000      545,400

PNA Group, Inc., 10.75%, 2016

     500,000      475,000
         
      $ 3,146,885
         

Mortgage Backed – 14.5%

     

Fannie Mae, 4.35%, 2013

   $ 185,468    $ 180,087

Fannie Mae, 4.374%, 2013

     132,587      129,272

Fannie Mae, 4.518%, 2013

     123,344      121,221

Fannie Mae, 5.549%, 2013

     97,317      98,742

Fannie Mae, 4.559%, 2014

     134,536      131,149

Fannie Mae, 4.775%, 2014

     84,589      83,618

Fannie Mae, 4.871%, 2014

     317,532      314,899

Fannie Mae, 4.88%, 2014

     104,125      102,798

Fannie Mae, 4.935%, 2014

     168,755      167,670

Fannie Mae, 4.56%, 2015

     76,409      73,973

Fannie Mae, 4.6%, 2015

     28,800      27,850

Fannie Mae, 4.69%, 2015

     201,200      196,264

Fannie Mae, 4.7%, 2015

     150,489      146,528

Fannie Mae, 4.78%, 2015

     85,441      83,471

Fannie Mae, 4.79%, 2015

     128,504      125,659

Fannie Mae, 4.81%, 2015

     192,231      188,085

Fannie Mae, 4.85%, 2015

     185,199      182,180

Fannie Mae, 4.856%, 2015

     67,254      65,403

Fannie Mae, 4.86%, 2015

     168,874      166,479

Fannie Mae, 4.925%, 2015

     152,874      151,075

Fannie Mae, 5.034%, 2015

     66,761      66,100

Fannie Mae, 5.09%, 2016

     142,971      141,376

Fannie Mae, 5.395%, 2016

     111,952      112,502

Fannie Mae, 5.423%, 2016

     34,057      34,469

Fannie Mae, 5.845%, 2016

     69,585      71,835

Fannie Mae, 5.93%, 2016

     121,561      126,247

Fannie Mae, 4.996%, 2017

     281,144      278,918

Fannie Mae, 5.05%, 2017

     70,000      68,875

Fannie Mae, 5.06%, 2017

     110,000      108,295

Fannie Mae, 5.28%, 2017

     115,000      114,655

Fannie Mae, 5.3%, 2017

     167,902      167,546

Fannie Mae, 5.32%, 2017

     115,905      115,763

Fannie Mae, 5.38%, 2017

     108,671      108,961

Fannie Mae, 5.45%, 2017

     112,535      113,304

Fannie Mae, 5.5%, 2017 - 2038

     10,741,368      10,713,181

Fannie Mae, 5.54%, 2017

     190,000      192,317

Fannie Mae, 6%, 2017 - 2037

     4,091,773      4,166,835

Fannie Mae, 6.5%, 2017 - 2037

     349,496      361,213

Fannie Mae, 4.5%, 2018 - 2020

     2,317,769      2,273,645

Fannie Mae, 5.19%, 2020

     99,455      97,125

Fannie Mae, 5.35%, 2023

     98,240      97,971

Fannie Mae, 5%, 2025 - 2028

     1,910,087      1,933,246

Freddie Mac, 4.5%, 2015 - 2021

     113,719      114,507

 

5


MFS Diversified Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 5/31/08 - continued

 

Issuer

   Shares/Par    Value ($)

Bonds – continued

     

Mortgage Backed – continued

     

Freddie Mac, 6%, 2017 - 2037

     627,538    $ 638,670

Freddie Mac, 5%, 2018 - 2027

     3,767,678      3,797,702

Freddie Mac, 5.5%, 2022 - 2035

     3,224,463      3,245,827

Freddie Mac, 4%, 2024

     200,576      201,165

Freddie Mac, 6.5%, 2037

     1,333,986      1,378,300

Ginnie Mae, 5.5%, 2033 - 2038

     1,390,861      1,393,889

Ginnie Mae, 5.612%, 2058

     340,000      337,875

Ginnie Mae, TBA, 5.5%, 2038

     909,000      909,000
         
      $ 36,217,737
         

Municipals – 1.0%

     

California Educational Facilities Authority Rev. (Stanford University), “T-1”, 5%, 2039

   $ 585,000    $ 629,349

Clark County, NV School District, 5%, 2017

     500,000      548,300

Commonwealth of Puerto Rico, ‘‘A’’, 5%, 2014 (c)

     1,000,000      1,099,220

Minnesota Public Facilities Authority, Water Pollution Control Rev., “B”, 5%, 2018

     310,000      340,563
         
      $ 2,617,432
         

Natural Gas - Distribution – 0.4%

     

AmeriGas Partners LP, 7.125%, 2016

   $ 285,000    $ 276,450

Inergy LP, 6.875%, 2014

     820,000      791,300
         
      $ 1,067,750
         

Natural Gas - Pipeline – 0.6%

     

Deutsche Bank (El Paso Performance-Linked Trust, CLN), 7.75%, 2011 (n)

   $ 375,000    $ 385,755

El Paso Corp., 7.25%, 2018

     190,000      190,713

Intergas Finance B.V., 6.875%, 2011

     500,000      495,000

Transcapitalinvest, 5.67%, 2014

     248,000      240,275

Williams Partners LP, 7.25%, 2017

     175,000      178,938
         
      $ 1,490,681
         

Network & Telecom – 0.9%

     

Cincinnati Bell, Inc., 8.375%, 2014

   $ 395,000    $ 393,025

Citizens Communications Co., 9.25%, 2011

     250,000      262,188

Nordic Telephone Co. Holdings, 8.875%, 2016 (n)

     195,000      192,075

Qwest Capital Funding, Inc., 7.25%, 2011

     985,000      962,838

Windstream Corp., 8.625%, 2016

     385,000      397,994
         
      $ 2,208,120
         

Other Banks & Diversified Financials – 0.0%

     

RSHB Capital S.A., 7.125%, 2014 (z)

   $ 100,000    $ 100,620
         

Precious Metals & Minerals – 0.2%

     

Alrosa Finance S.A., 8.875%, 2014

   $ 482,000    $ 523,500
         

Printing & Publishing – 1.0%

     

American Media Operations, Inc., 10.25%, 2009

   $ 14,726    $ 12,370

American Media Operations, Inc., “B”, 10.25%, 2009 (l)

     405,000      340,200

Dex Media West LLC, 9.875%, 2013

     443,000      426,941

Dex Media, Inc., 0% to 2008, 9% to 2013

     250,000      193,750

Idearc, Inc., 8%, 2016

     591,000      422,565

Nielsen Co. B.V., 0% to 2011, 11.125% to 2016

   EUR  115,000      116,281

Nielsen Finance LLC, 10%, 2014

   $ 575,000      592,969

Nielsen Finance LLC, 0% to 2011, 12.5% to 2016

     25,000      18,125

Quebecor World, Inc., 6.125%, 2013 (l)(d)

     120,000      59,400

R.H. Donnelley Corp., 8.875%, 2016

     390,000      267,150
         
      $ 2,449,751
         

Retailers – 0.1%

     

Couche-Tard, Inc., 7.5%, 2013

   $ 130,000    $ 131,625

Sally Holdings LLC, 10.5%, 2016 (l)

     55,000      53,625
         
      $ 185,250
         

 

6


MFS Diversified Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 5/31/08 - continued

 

Issuer

   Shares/Par    Value ($)

Bonds – continued

     

Specialty Stores – 0.1%

     

Payless ShoeSource, Inc., 8.25%, 2013

   $ 170,000    $ 152,150
         

Steel – 0.2%

     

Evraz Group S.A., 8.875%, 2013 (z)

   $ 620,000    $ 632,400
         

Supermarkets – 0.1%

     

Stater Brothers Holdings, Inc., 7.75%, 2015

   $ 230,000    $ 231,150
         

Telecommunications - Wireless – 0.8%

     

Alltel Corp., 7%, 2012

   $ 263,000    $ 230,125

MetroPCS Wireless, Inc., 9.25%, 2014

     315,000      302,794

Vimpel-Communications, 8.375%, 2013 (z)

     562,000      572,546

Wind Acquisition Finance S.A., 10.75%, 2015 (n)

     750,000      802,500
         
      $ 1,907,965
         

Transportation - Services – 0.1%

     

Hertz Corp., 8.875%, 2014

   $ 180,000    $ 179,100
         

U.S. Government Agencies – 1.5%

     

Freddie Mac, 5.4%, 2009

   $ 2,522,000    $ 2,530,020

Small Business Administration, 5.16%, 2018

     500,000      483,800

Small Business Administration, 6.34%, 2021

     413,637      428,519

Small Business Administration, 6.07%, 2022

     359,616      375,535
         
      $ 3,817,874
         

U.S. Treasury Obligations – 1.8%

     

U.S. Treasury Bonds, 9.25%, 2016

   $ 47,000    $ 63,792

U.S. Treasury Bonds, 6.75%, 2026 (l)

     2,686,000      3,347,008

U.S. Treasury Bonds, 4.375%, 2038

     130,000      123,195

U.S. Treasury Notes, 6.5%, 2010

     53,000      56,428

U.S. Treasury Notes, 5.125%, 2011 (f)(l)

     531,000      563,773

U.S. Treasury Notes, 4.125%, 2012 (l)

     294,000      303,785

U.S. Treasury Notes, 4%, 2014 (l)

     18,000      18,440
         
      $ 4,476,421
         

Utilities - Electric Power – 2.1%

     

AES Corp., 9.375%, 2010

   $ 30,000    $ 31,800

Centrais Eletricas Brasileiras S.A., 7.75%, 2015

     418,000      452,485

Dynegy Holdings, Inc., 7.5%, 2015

     180,000      170,100

Edison Mission Energy, 7%, 2017

     430,000      420,325

Enersis S.A., 7.375%, 2014

     450,000      476,297

Mirant Americas Generation LLC, 8.3%, 2011

     600,000      622,500

Mirant North America LLC, 7.375%, 2013

     135,000      136,013

NRG Energy, Inc., 7.375%, 2016

     1,155,000      1,126,125

Reliant Energy, Inc., 6.75%, 2014

     440,000      449,900

Reliant Energy, Inc., 7.875%, 2017

     415,000      417,075

Sierra Pacific Resources, 8.625%, 2014

     135,000      141,223

Texas Competitive Electric Holdings LLC, 10.25%, 2015 (n)

     690,000      704,663
         
      $ 5,148,506
         

Total Bonds

      $ 146,175,108
         

Floating Rate Loans – 1.9% (g)(r)

     

Aerospace – 0.1%

     

Hawker Beechcraft Acquisition Co., Letter of Credit, 4.7%, 2014

   $ 11,609    $ 10,867

Hawker Beechcraft Acquisition Co., Term Loan B, 4.7%, 2014

     299,087      279,973
         
      $ 290,840
         

Automotive – 0.5%

     

Federal Mogul Corp., Term Loan B, 4.49%, 2015

   $ 229,020    $ 195,812

Ford Motor Co., Term Loan B, 5.8%, 2013

     879,640      757,773

 

7


MFS Diversified Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 5/31/08 - continued

 

Issuer

   Shares/Par    Value ($)

Floating Rate Loans (g)(r) – continued

     

Automotive – continued

     

Mark IV Industries, Inc., Second Lien Term Loan, 11.3%, 2011

   $ 300,597    $ 121,742
         
      $ 1,075,327
         

Broadcasting – 0.1%

     

Young Broadcasting, Inc., Term Loan, 5.23%, 2012

   $ 158,436    $ 141,800

Young Broadcasting, Inc., Term Loan B-1, 5.25%, 2012

     146,627      131,231
         
      $ 273,031
         

Computer Software – 0.2%

     

First Data Corp., Term Loan B-2, 5.17%, 2014

   $ 593,644    $ 550,268
         

Forest & Paper Products – 0.1%

     

Abitibi-Consolidated, Inc., Term Loan, 11.5%, 2009

   $ 148,613    $ 147,498
         

Gaming & Lodging – 0.3%

     

Green Valley Ranch Gaming LLC, Second Lien Term Loan, 5.89%, 2014 (o)

   $ 302,859    $ 198,751

Harrahs Entertainment, Inc., Term Loan B-2, 5.92%, 2015

     620,883      579,653
         
      $ 778,404
         

Medical & Health Technology & Services – 0.2%

     

Community Health Systems, Inc., Delayed Draw Term Loan B, 2014 (q)

   $ 5,230    $ 4,930

Community Health Systems, Inc., Term Loan, 4.83%, 2014

     102,256      96,396

HCA, Inc., Term Loan B, 4.95%, 2013

     432,370      406,594
         
      $ 507,920
         

Printing & Publishing – 0.1%

     

Idearc, Inc., Term Loan B, 2014 (o)

   $ 24,624    $ 20,456

Tribune Co., Term Loan B, 2014 (o)

     347,940      257,186
         
      $ 277,642
         

Specialty Stores – 0.0%

     

Michaels Stores, Inc., Term Loan B, 5.04%, 2013

   $ 83,135    $ 72,244
         

Telecommunications - Wireless – 0.1%

     

Alltel Corp., Term Loan B-2, 2015 (o)

   $ 333,333    $ 308,981
         

Utilities - Electric Power – 0.2%

     

Calpine Corp., Term Loan, 5.58%, 2009

   $ 215,817    $ 208,735

TXU Corp. Term Loan B-3, 6.26%, 2014

     279,535      262,693
      $ 471,428
         

Total Floating Rate Loans

      $ 4,753,583
         

Common Stocks – 35.2%

     

Aerospace – 0.2%

     

Northrop Grumman Corp.

     7,076    $ 533,955
         

Apparel Manufacturers – 0.1%

     

Coach, Inc. (a)

     7,420    $ 269,346
         

Automotive – 0.1%

     

Goodyear Tire & Rubber Co. (a)

     5,380    $ 136,706
         

Biotechnology – 0.0%

     

Amgen, Inc. (a)

     2,567    $ 113,025
         

Broadcasting – 0.2%

     

Walt Disney Co.

     13,949    $ 468,686
         

Brokerage & Asset Managers – 0.6%

     

Goldman Sachs Group, Inc.

     740    $ 130,543

Lehman Brothers Holdings, Inc.

     5,152      189,645

Merrill Lynch & Co., Inc.

     4,450      195,444

Morgan Stanley

     20,860      922,638
         
      $ 1,438,270
         

 

8


MFS Diversified Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 5/31/08 - continued

 

Issuer

   Shares/Par    Value ($)

Common Stocks – continued

     

Cable TV – 0.2%

     

Comcast Corp., “A”

   21,620    $ 486,450
         

Chemicals – 0.4%

     

Dow Chemical Co.

   14,024    $ 566,570

PPG Industries, Inc.

   7,470      470,834
         
      $ 1,037,404
         

Computer Software - Systems – 0.6%

     

International Business Machines Corp.

   11,440    $ 1,480,679
         

Construction – 0.3%

     

Lennar Corp.

   7,740    $ 130,651

NVR, Inc. (a)

   980      554,063
         
      $ 684,714
         

Consumer Goods & Services – 0.4%

     

Kimberly-Clark Corp.

   1,983    $ 126,515

Procter & Gamble Co.

   11,660      770,143
         
      $ 896,658
         

Electrical Equipment – 0.6%

     

General Electric Co.

   34,762    $ 1,067,889

Rockwell Automation, Inc.

   2,047      119,852

WESCO International, Inc. (a)

   5,500      243,705
         
      $ 1,431,446
         

Electronics – 0.3%

     

Intel Corp.

   36,497    $ 846,000
         

Energy - Independent – 0.2%

     

Apache Corp.

   2,610    $ 349,897

Stone Energy Corp. (a)

   1,820      122,996
         
      $ 472,893
         

Energy - Integrated – 3.1%

     

Chevron Corp.

   25,185    $ 2,497,093

ConocoPhillips

   5,280      491,568

Exxon Mobil Corp.

   32,150      2,853,634

Hess Corp.

   9,590      1,177,748

Marathon Oil Corp.

   11,870      609,999
         
      $ 7,630,042
         

Food & Beverages – 0.3%

     

General Mills, Inc.

   10,767    $ 680,474

SYSCO Corp.

   3,550      109,553
         
      $ 790,027
         

Food & Drug Stores – 0.2%

     

CVS Caremark Corp.

   14,380    $ 615,320
         

Forest & Paper Products – 0.6%

     

Weyerhaeuser Co.

   24,004    $ 1,496,169
         

Gaming & Lodging – 0.2%

     

Royal Caribbean Cruises Ltd.

   18,451    $ 548,364
         

General Merchandise – 0.3%

     

Macy’s, Inc.

   7,395    $ 175,040

Wal-Mart Stores, Inc.

   8,970      517,928
         
      $ 692,968
         

Health Maintenance Organizations – 0.1%

     

WellPoint, Inc. (a)

   4,190    $ 233,886
         

 

9


MFS Diversified Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 5/31/08 - continued

 

Issuer

   Shares/Par    Value ($)

Common Stocks – continued

     

Insurance – 1.9%

     

Ace Ltd.

   2,897    $ 174,023

Allstate Corp.

   7,570      385,616

Endurance Specialty Holdings Ltd.

   8,690      292,505

Hartford Financial Services Group, Inc.

   9,650      685,826

IPC Holdings Ltd.

   13,980      397,032

MetLife, Inc.

   11,442      686,863

Protective Life Corp.

   3,090      129,718

Prudential Financial, Inc.

   6,930      517,671

Travelers Cos., Inc.

   27,310      1,360,311

XL Capital Ltd., “A”

   6,060      211,555
         
      $ 4,841,120
         

Machinery & Tools – 0.9%

     

Eaton Corp.

   10,880    $ 1,051,878

Ingersoll-Rand Co. Ltd., “A”

   6,310      277,892

Timken Co.

   28,726      1,052,233
         
      $ 2,382,003
         

Major Banks – 2.0%

     

Bank of America Corp.

   58,151    $ 1,977,716

JPMorgan Chase & Co.

   49,310      2,120,330

PNC Financial Services Group, Inc.

   7,620      489,585

Regions Financial Corp.

   16,589      295,616
         
      $ 4,883,247
         

Medical & Health Technology & Services – 0.6%

     

Omnicare, Inc.

   15,760    $ 385,805

Tenet Healthcare Corp. (a)

   204,939      1,209,140
         
      $ 1,594,945
         

Metals & Mining – 0.6%

     

Allegheny Technologies, Inc.

   2,132    $ 159,900

Freeport-McMoRan Copper & Gold, Inc.

   3,980      460,526

Nucor Corp.

   5,071      379,311

Southern Copper Corp. (l)

   1,493      164,573

United States Steel Corp.

   1,700      293,607
         
      $ 1,457,917
         

Natural Gas - Distribution – 0.1%

     

Energen Corp.

   4,200    $ 314,790
         

Natural Gas - Pipeline – 0.4%

     

El Paso Corp.

   26,940    $ 526,677

Williams Cos., Inc.

   14,079      535,565
         
      $ 1,062,242
         

Other Banks & Diversified Financials – 0.9%

     

Allied Capital Corp. (l)

   16,520    $ 328,087

American Capital Strategies Ltd. (l)

   9,320      298,240

Citigroup, Inc.

   40,793      892,959

New York Community Bancorp, Inc.

   22,370      459,032

TCF Financial Corp.

   11,120      183,702
         
      $ 2,162,020
         

Pharmaceuticals – 1.5%

     

Bristol-Myers Squibb Co.

   20,886    $ 475,992

Eli Lilly & Co.

   2,422      116,595

Johnson & Johnson

   16,960      1,131,910

Merck & Co., Inc.

   19,983      778,538

Pfizer, Inc.

   49,410      956,578

 

10


MFS Diversified Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 5/31/08 - continued

 

Issuer

   Shares/Par    Value ($)

Common Stocks – continued

     

Pharmaceuticals – continued

     

Wyeth

   6,090    $ 270,822
         
      $ 3,730,435
         

Printing & Publishing – 0.1%

     

Deluxe Corp.

   5,690    $ 128,196
         

Railroad & Shipping – 0.2%

     

Frontline Ltd. (l)

   7,330    $ 467,214
         

Real Estate – 13.4%

     

Alexandria Real Estate Equities, Inc., REIT

   16,866    $ 1,759,124

AvalonBay Communities, Inc., REIT

   10,595      1,072,214

BRE Properties, Inc., REIT

   25,190      1,220,707

Douglas Emmett, Inc., REIT

   11,992      293,804

EastGroup Properties, Inc., REIT

   25,885      1,230,314

Equity Residential, REIT

   23,967      1,013,564

General Growth Properties, Inc., REIT

   39,998      1,662,317

HCP, Inc., REIT

   9,178      314,438

Highwoods Properties, Inc., REIT

   41,822      1,505,592

Host Hotels & Resorts, Inc., REIT

   69,071      1,187,330

Kimco Realty Corp., REIT

   40,843      1,607,172

Lexington Corporate Properties Trust, REIT

   87,177      1,359,089

Macerich Co., REIT

   23,233      1,661,856

Medical Properties Trust, Inc., REIT

   174,503      2,130,682

Nationwide Health Properties, Inc., REIT

   20,704      706,628

Pennsylvania Real Estate Investment Trust, REIT

   37,337      1,002,498

Plum Creek Timber Co., Inc., REIT

   34,478      1,608,399

ProLogis, REIT

   31,651      1,960,146

Public Storage, Inc., REIT

   13,763      1,212,933

Regency Centers Corp., REIT

   16,548      1,100,277

Simon Property Group, Inc., REIT

   28,412      2,823,016

SL Green Realty Corp., REIT

   20,660      2,059,802

Ventas, Inc., REIT

   24,528      1,169,004

Vornado Realty Trust, REIT

   17,486      1,708,907
         
      $ 33,369,813
         

Restaurants – 0.4%

     

Darden Restaurants, Inc.

   29,712    $ 1,017,636
         

Specialty Stores – 0.1%

     

Advance Auto Parts, Inc.

   4,770    $ 192,231
         

Telephone Services – 1.4%

     

AT&T, Inc.

   29,140    $ 1,162,686

Citizens Communications Co.

   12,210      142,369

Embarq Corp.

   19,269      911,809

Qwest Communications International, Inc. (l)

   93,090      451,487

Verizon Communications, Inc.

   23,580      907,123
         
      $ 3,575,474
         

Tobacco – 0.4%

     

Altria Group, Inc.

   18,210    $ 405,355

Philip Morris International, Inc.

   13,700      721,442
         
      $ 1,126,797
         

Utilities - Electric Power – 1.3%

     

American Electric Power Co., Inc.

   11,751    $ 497,420

Duke Energy Corp.

   18,070      333,934

Edison International

   14,620      778,223

FirstEnergy Corp.

   8,990      707,603

FPL Group, Inc.

   3,110      209,987

 

11


MFS Diversified Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 5/31/08 - continued

 

Issuer

   Shares/Par    Value ($)  

Common Stocks – continued

     

Utilities - Electric Power – continued

     

NRG Energy, Inc. (a)

     10,020    $ 416,732  

Public Service Enterprise Group, Inc.

     7,420      328,409  
           
      $ 3,272,308  
           

Total Common Stocks

      $ 87,881,396  
           

Preferred Stocks – 0.2%

     

Brokerage & Asset Managers – 0.2%

     

Merrill Lynch Co., Inc., 8.625% (a)

     20,475    $ 509,213  
           

Money Market Funds (v) – 4.5%

     

U.S. Treasury Obligations – 4.5%

     

MFS Institutional Money Market Portfolio, 2.45%, at Net Asset Value

   $ 11,279,180    $ 11,279,180  
           

Issuer/Expiration Date/Strike Price

   Number
of Contracts
   Value ($)  

Call Options Purchased – 0.0%

     

U.S. Treasury Future – June 08 @ $115 (a)

     5    $ 781  
           

Issuer

   Shares/Par    Value ($)  

Collateral for Securities Loaned – 2.7%

     

Citigroup Global Markets, Inc., Repurchase Agreement, 2.3%, dated 5/30/08, due 6/02/08, total to be received $5,665,885 (secured by U.S. Treasury and Federal Agency obligations and Mortgage Backed securities in a jointly traded account), at Net Asset Value

     5,664,799    $ 5,664,799  

Merrill Lynch Repurchase Agreement, 2.2%, dated 5/30/08, due 6/02/08, total to be received $1,000,183 (secured by U.S. Treasury and Federal Agency obligations and Mortgage Backed securities in a jointly traded account), at Net Asset Value

     1,000,000      1,000,000  
           

Total Collateral for Securities Loaned

      $ 6,664,799  
           

Total Investments

      $ 257,264,060  
           

Other Assets, Less Liabilities (3.0)%

        (7,537,444 )
           

Net Assets – 100.0%

      $ 249,726,616  
           

 

(a) Non-income producing security.

 

(c) Refunded bond.

 

(d) Non-income producing security - in default.

 

(f) All or a portion of the security has been segregated as collateral for open futures contracts.

 

(g) The rate shown represents a weighted average coupon rate on settled positions at period end unless otherwise indicated.

 

(l) All or a portion of this security is on loan.

 

(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 $11,867,203, representing 4.8% of net assets.

 

(o) All or a portion of this position has not settled. Upon settlement date, interest rates will be determined.

 

(p) Payment-in-kind security.

 

(q) All or a portion of this position represents an unfunded loan commitment. The rate shown represents a weighted average coupon rate on the full position, including the unfunded loan commitment which has no current coupon rate.

 

(r) Remaining maturities of floating rate loans may be less than stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. These loans may be subject to restrictions on resale. Floating rate loans generally have rates of interest which are determined periodically by reference to a base lending rate plus a premium.

 

(v) Underlying fund that is available only to investment companies managed by MFS. The rate quoted 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    Current
Market Value

Braskem S.A., 7.25%, 2018

   5/29/08    $ 490,679    $ 495,000

CSC Holdings, Inc., 8.5%, 2015

   5/28/08      295,000      295,000

DIRECTV Holdings LLC, 7.625%, 2016

   5/07/08      300,000      298,875

 

12


MFS Diversified Income Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 5/31/08 - continued

 

Restricted Securities

   Acquisition Date    Cost    Current
Market
Value
 

Evraz Group S.A., 8.875%, 2013

   4/25/08    $ 629,168    $ 632,400  

Firekeepers Development Authority, 13.875%, 2015

   4/22/08      261,252      270,675  

Forest Oil Corp., 7.25%, 2019

   5/19/08      45,112      44,212  

Georgia-Pacific Corp., 7.125%, 2017

   4/22/08 - 4/23/08      165,223      162,937  

National Development Co., 6.369%, 2018

   5/28/08      566,617      580,537  

Newport Television LLC, 13%, 2017

   5/05/08 - 5/16/08      370,381      375,575  

Nortek Holdings, Inc., 10%, 2013

   5/13/08      143,494      144,094  

RSHB Capital S.A., 7.125%, 2014

   5/21/08      100,000      100,620  

SandRidge Energy, Inc., 8%, 2018

   5/15/08      320,000      324,000  

SandRidge Energy, Inc., 8.625%, 2015

   5/07/08      119,572      118,162  

Vimpel-Communications, 8.375%, 2013

   4/24/08      562,000      572,546  
              

Total Restricted Securities

         $ 4,414,633  
              

% of Net Assets

           1.8 %

The following abbreviations are used in this report and are defined:

 

CLN

   Credit-Linked Note

FRN

   Floating Rate Note. Interest rate resets periodically and may not be the rate reported at period end.

REIT

   Real Estate Investment Trust

STRIPS

   Separate Trading of Registered Interest and Principal of Securities

TBA

   To Be Announced

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:

EUR Euro

See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.

 

13


MFS Diversified Income Fund

Supplemental Information (Unaudited) 5/31/08

(1) Fair Value Disclosure

The fund adopted FASB Statement No. 157, Fair Value Measurements (the “Statement”) in this reporting period. This Statement provides a single definition of fair value, a hierarchy for measuring fair value and expanded disclosures about fair value measurements.

Various inputs are used in determining the value of the fund’s assets or liabilities carried at market value. These inputs are categorized into three broad levels. Level 1 includes 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 adviser’s own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments not reflected in total investments, such as futures, forwards, swap contracts and written options, which are valued at the unrealized appreciation/depreciation on the instrument. The following is a summary of the levels used as of May 31, 2008 in valuing the fund’s assets or liabilities carried at market value:

 

     Level 1     Level 2     Level 3    Total  

Investments in Securities

   $ 99,670,571     $ 157,593,489     $ —      $ 257,264,060  

Other Financial Instruments

   $ (15,498 )   $ (1,437 )   $ —      $ (16,935 )

(2) Portfolio Securities

The cost and unrealized appreciation and depreciation in the value of the investments owned by the fund, as computed on a federal income tax basis, are as follows:

 

Aggregate Cost

   $ 262,751,230  
        

Gross unrealized appreciation

   $ 5,767,468  

Gross unrealized depreciation

     (11,254,638 )
        

Net unrealized appreciation (depreciation)

   $ (5,487,170 )
        

The aggregate cost above includes prior fiscal year end tax adjustments.

(3) Securities Lending Collateral

At May 31, 2008, the value of securities loaned was $9,194,874. These loans were collateralized by cash of $6,664,799 and U.S. Treasury obligations of $2,742,273.

(4) Derivative Contracts at 5/31/08

Forward Foreign Currency Exchange Contracts at 5/31/08

 

Type

   Currency    Contracts to
Deliver/Receive
   Settlement
Date Range
   In Exchange For    Contracts
at Value
   Net Unrealized
Appreciation
(Depreciation)
 

Depreciation

                 

SELL

   EUR    100,793    6/30/2008    $ 155,661    $ 156,603    $ (942 )

SELL

   EUR    28,830    6/30/2008      44,299      44,794      (495 )
                       
                  $ (1,437 )
                       

 

14


MFS Diversified Income Fund

Supplemental Information (Unaudited) 5/31/08

Futures contracts outstanding at 5/31/08

 

Description

   Contracts    Value    Expiration
Date
   Unrealized
Appreciation
(Depreciation)
 

U.S. Treasury Bond (Short)

   24    $ 2,724,000    Sep-08    $ (12,834 )

U.S. Treasury Note 2 yr (Long)

   35      7,371,875    Sep-08      2,612  

U.S. Treasury Note 5 yr (Long)

   46      5,057,125    Sep-08      (8,786 )

U.S. Treasury Note 10 yr (Short)

   25      2,810,156    Sep-08      3,510  
                 
            $ (15,498 )
                 

At May 31, 2008, the fund had sufficient cash and/or other liquid securities to cover any commitments under these derivative contracts.

(5) Transactions in Underlying 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 transactions in securities which the fund assumes to be affiliated issuers during the three months ended May 31, 2008, is set forth below:

 

Underlying Funds

   Beginning
Shares/Par
Amount
   Acquisitions
Shares/Par
Amount
   Dispositions
Shares/Par
Amount
    Ending
Shares/Par
Amount

MFS Institutional Money Market Portfolio

   6,652,415      30,326,428      (25,699,663 )     11,279,180

Underlying Funds

   Realized
Gain (Loss)
   Capital Gain
Distributions
   Dividend
Income
    Ending Value

MFS Institutional Money Market Portfolio

   —      $ —      $ 69,657     $ 11,279,180

 

15


LOGO

 


MFS Government Securities Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 5/31/08

 

Issuer

   Shares/Par    Value ($)

Bonds – 98.6%

     

Agency - Other – 6.8%

     

Financing Corp., 10.7%, 2017

   $ 14,360,000    $ 20,970,480

Financing Corp., 9.4%, 2018

     11,750,000      16,082,343

Financing Corp., 9.8%, 2018

     14,975,000      21,008,997

Financing Corp., 10.35%, 2018

     15,165,000      22,024,084

Financing Corp., STRIPS, 0%, 2017

     18,780,000      12,156,745
         
      $ 92,242,649
         

Mortgage Backed – 54.4%

     

Fannie Mae, 4.35%, 2013

   $ 904,156    $ 877,922

Fannie Mae, 4.374%, 2013

     2,519,162      2,456,177

Fannie Mae, 4.5%, 2019

     43,955,247      43,094,141

Fannie Mae, 4.518%, 2014

     3,067,382      2,993,387

Fannie Mae, 4.543%, 2013

     1,440,241      1,415,719

Fannie Mae, 4.56%, 2015

     2,330,810      2,256,493

Fannie Mae, 4.6%, 2014

     1,804,079      1,763,195

Fannie Mae, 4.62%, 2015

     3,331,044      3,239,329

Fannie Mae, 4.665%, 2015

     1,573,667      1,532,085

Fannie Mae, 4.666%, 2014

     5,883,008      5,760,657

Fannie Mae, 4.69%, 2015

     1,282,530      1,251,069

Fannie Mae, 4.7%, 2015

     1,805,600      1,761,191

Fannie Mae, 4.73%, 2012

     2,756,464      2,740,746

Fannie Mae, 4.74%, 2015

     1,781,476      1,740,553

Fannie Mae, 4.77%, 2014

     1,554,276      1,528,400

Fannie Mae, 4.78%, 2015

     1,942,113      1,897,328

Fannie Mae, 4.786%, 2012

     778,948      777,140

Fannie Mae, 4.79%, 2012 - 2015

     13,260,028      13,304,107

Fannie Mae, 4.81%, 2015

     1,672,410      1,636,340

Fannie Mae, 4.815%, 2015

     1,968,000      1,928,259

Fannie Mae, 4.82%, 2014 - 2015

     6,548,902      6,430,633

Fannie Mae, 4.839%, 2014

     8,841,493      8,742,253

Fannie Mae, 4.845%, 2013

     3,736,886      3,712,594

Fannie Mae, 4.85%, 2015

     1,434,336      1,410,956

Fannie Mae, 4.87%, 2015

     1,368,682      1,345,884

Fannie Mae, 4.871%, 2014

     5,640,388      5,593,610

Fannie Mae, 4.88%, 2020

     1,273,957      1,275,526

Fannie Mae, 4.89%, 2015

     1,267,023      1,248,460

Fannie Mae, 4.92%, 2014

     1,217,088      1,215,567

Fannie Mae, 4.925%, 2015

     5,327,346      5,264,662

Fannie Mae, 4.935%, 2014

     783,773      778,732

Fannie Mae, 4.996%, 2017

     4,466,879      4,431,512

Fannie Mae, 5%, 2013 - 2027

     46,153,074      46,420,015

Fannie Mae, 5.05%, 2017

     1,897,000      1,866,506

Fannie Mae, 5.06%, 2013 - 2017

     2,882,129      2,861,064

Fannie Mae, 5.09%, 2016

     600,000      592,097

Fannie Mae, 5.1%, 2014

     1,964,247      1,960,714

Fannie Mae, 5.19%, 2020

     1,537,284      1,501,280

Fannie Mae, 5.3%, 2017

     790,126      788,450

Fannie Mae, 5.369%, 2013

     1,946,336      1,974,830

Fannie Mae, 5.38%, 2017

     2,084,501      2,090,062

Fannie Mae, 5.423%, 2016

     2,951,313      2,986,997

Fannie Mae, 5.471%, 2015

     2,391,825      2,428,493

Fannie Mae, 5.5%, 2017 - 2038

     203,576,024      203,323,085

Fannie Mae, 6%, 2017 - 2037

     71,722,713      73,050,351

Fannie Mae, 6.5%, 2016 - 2036

     23,660,488      24,545,904

Fannie Mae, 7.5%, 2024 - 2031

     577,880      623,330

 

1


MFS Government Securities Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 5/31/08 - continued

 

Issuer

   Shares/Par    Value ($)

Bonds – continued

     

Mortgage Backed – continued

     

Freddie Mac, 3.75%, 2024

   $ 2,103,053    $ 2,104,491

Freddie Mac, 4%, 2024

     1,967,698      1,973,473

Freddie Mac, 4.375%, 2015

     5,825,017      5,822,840

Freddie Mac, 4.5%, 2013 - 2021

     4,627,457      4,647,491

Freddie Mac, 5%, 2016 - 2027

     53,859,580      54,377,321

Freddie Mac, 5.5%, 2022 - 2035

     67,648,138      67,832,399

Freddie Mac, 6%, 2017 - 2037

     27,868,130      28,413,611

Freddie Mac, 6.5%, 2016 - 2037

     11,620,514      12,011,222

Ginnie Mae, 5.5%, 2033 - 2038

     31,835,787      31,901,470

Ginnie Mae, 5.612%, 2058

     7,610,000      7,562,438

Ginnie Mae, TBA, 5.5%, 2038

     18,617,000      18,617,000
         
      $ 737,681,561
         

Municipals – 3.0%

     

California Educational Facilities Authority Rev. (Stanford University), “T-1”, 5%, 2039

   $ 12,420,000    $ 13,361,560

Clark County, NV School District, 5%, 2017

     9,115,000      9,995,509

Commonwealth of Puerto Rico, ‘‘A’’, 5%, 2014 (c)

     5,960,000      6,551,351

Minnesota Public Facilities Authority, Water Pollution Control Rev., “B”, 5%, 2018

     2,325,000      2,554,222

New Jersey State Turnpike Authority, 5.75%, 2010 (c)

     6,915,000      7,281,841
         
      $ 39,744,483
         

U.S. Government Agencies – 7.4%

     

Aid-Egypt, 4.45%, 2015

   $ 7,118,000    $ 7,117,573

Empresa Energetica Cornito Ltd., 6.07%, 2010

     3,889,000      4,049,888

Farmer Mac, 5.5%, 2011 (n)

     11,110,000      11,661,012

Federal Home Loan Bank, 5%, 2008

     15,000,000      15,039,405

Small Business Administration, 4.77%, 2024

     4,596,922      4,496,662

Small Business Administration, 4.86%, 2024 - 2025

     7,970,335      7,816,088

Small Business Administration, 4.88%, 2024

     2,720,462      2,655,420

Small Business Administration, 4.89%, 2023

     5,816,186      5,685,636

Small Business Administration, 4.98%, 2023

     2,236,773      2,217,385

Small Business Administration, 4.99%, 2024

     4,135,937      4,056,524

Small Business Administration, 5.11%, 2025

     4,140,968      4,093,037

Small Business Administration, 5.52%, 2024

     3,610,214      3,671,472

Small Business Administration, 6.07%, 2022

     2,609,782      2,725,311

Small Business Administration, 6.34%, 2021

     2,688,638      2,785,371

Small Business Administration, 6.35%, 2021

     2,353,610      2,438,185

Small Business Administration, 6.44%, 2021

     2,578,348      2,677,621

Small Business Administration, 6.625%, 2021

     2,825,892      2,974,989

Small Business Administration, 8.625%, 2011

     93,823      95,762

Small Business Administration, 8.8%, 2011

     68,610      70,380

Small Business Administration, 9.05%, 2009

     10,349      10,554

Small Business Administration, 9.1%, 2009

     7,999      8,218

Small Business Administration, 9.25%, 2010

     29,797      30,337

Small Business Administration, 9.3%, 2010

     64,334      66,208

Small Business Administration, 9.5%, 2010

     49,980      51,289

Small Business Administration, 9.65%, 2010

     39,301      40,461

Small Business Administration, 9.7%, 2010

     29,743      30,508

Small Business Administration, 9.9%, 2008

     3,360      3,413

Small Business Administration, 10.05%, 2008 - 2009

     2,374      2,422

U.S. Department of Housing & Urban Development, 6.36%, 2016

     7,000,000      7,400,092

U.S. Department of Housing & Urban Development, 6.59%, 2016

     6,599,000      6,638,264
         
      $ 100,609,487
         

U.S. Treasury Obligations – 27.0%

     

U.S. Treasury Bonds, 7.5%, 2016

   $ 3,421,000    $ 4,259,946

U.S. Treasury Bonds, 4.75%, 2017

     2,555,000      2,688,739

U.S. Treasury Bonds, 6.25%, 2023

     8,165,000      9,597,068

 

2


MFS Government Securities Fund

PORTFOLIO OF INVESTMENTS (Unaudited) 5/31/08 - continued

 

Issuer

   Shares/Par    Value ($)  

Bonds – continued

     

U.S. Treasury Obligations – continued

     

U.S. Treasury Bonds, 6.875%, 2025

   $ 1,307,000    $ 1,641,306  

U.S. Treasury Bonds, 6%, 2026

     5,933,000      6,831,755  

U.S. Treasury Bonds, 6.75%, 2026

     49,895,000      62,173,860  

U.S. Treasury Bonds, 6.25%, 2030

     3,166,000      3,828,140  

U.S. Treasury Bonds, 4.375%, 2038

     14,722,000      13,951,392  

U.S. Treasury Notes, 4.875%, 2009

     65,154,000      67,088,292  

U.S. Treasury Notes, 6%, 2009

     4,566,000      4,760,055  

U.S. Treasury Notes, 6.5%, 2010

     10,339,000      11,007,809  

U.S. Treasury Notes, 2.125%, 2010

     20,559,000      20,374,298  

U.S. Treasury Notes, 5.125%, 2011 (f)

     78,741,000      83,600,816  

U.S. Treasury Notes, 4.125%, 2012

     15,630,000      16,150,182  

U.S. Treasury Notes, 3.375%, 2012

     41,349,000      41,400,686  

U.S. Treasury Notes, 4.25%, 2013

     2,114,000      2,193,440  

U.S. Treasury Notes, 4%, 2014

     14,781,000      15,142,440  
           
      $ 366,690,224  
           

Total Bonds

      $ 1,336,968,404  
           

Money Market Funds (v) – 1.9%

     

MFS Institutional Money Market Portfolio, 2.45%, at Net Asset Value

     26,399,266    $ 26,399,266  
           

Issuer/Expiration Date/Strike Price

   Number
of Contracts
   Value ($)  

Call Options Purchased – 0.0%

     

U.S. Treasury Future

     

June 2008 @ 115

     118    $ 18,438  
           

Total Investments

      $ 1,363,386,108  
           

Other Assets, Less Liabilities (0.5)%

        (6,733,482 )
           

Net Assets – 100.0%

      $ 1,356,652,626  
           

 

(c) Refunded bond.

 

(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 $11,661,012 representing 0.9% of net assets.

 

(v) Underlying fund that is available only to investment companies managed by MFS. The rate quoted is the annualized seven-day yield of the fund at period end.

The following abbreviations are used in this report and are defined:

 

STRIPS    Separate Trading of Registered Interest and Principal of Securities
TBA    To Be Announced

See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.

 

3


MFS Government Securities Fund

Supplemental Information (Unaudited) 5/31/08

(1) Fair Value Disclosure

The fund adopted FASB Statement No. 157, Fair Value Measurements (the “Statement”) in this reporting period. This Statement provides a single definition of fair value, a hierarchy for measuring fair value and expanded disclosures about fair value measurements.

Various inputs are used in determining the value of the fund’s investments. These inputs are categorized into three broad levels. Level 1 includes 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, credit risk, etc.). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments not reflected in Total Investments, such as futures, forwards, swap contracts and written options, which are valued at the unrealized appreciation/depreciation on the instrument. The following is a summary of the levels used as of May 31, 2008 in valuing the fund’s assets carried at market value:

 

     Level 1     Level 2    Level 3    Total  

Investments in Securities

   $ 26,417,704     $ 1,336,968,404    $ —      $ 1,363,386,108  

Other Financial Instruments

   $ (265,974 )   $ —      $     —      $ (265,974 )

(2) Portfolio Securities

The cost and unrealized appreciation and depreciation in the value of the investments owned by the fund, as computed on a federal income tax basis, are as follows:

 

Aggregate Cost

   $ 1,356,593,274  
        

Gross unrealized appreciation

   $ 17,146,270  

Gross unrealized depreciation

     (10,353,436 )
        

Net unrealized appreciation (depreciation)

   $ 6,792,834  
        

The aggregate cost above includes prior fiscal year end tax adjustments.

(3) Derivative Contracts at 5/31/08

Futures contracts outstanding at 5/31/08

 

Description

   Contracts    Value    Expiration
Date
   Unrealized
Appreciation
(Depreciation)
 

U.S. Treasury Bond 30 yr (Short)

   252    $ 28,467,243    Sep-08    $ (134,757 )

U.S. Treasury Note 5 yr (Long)

   687      75,658,280    Sep-08      (131,217 )
                 
            $ (265,974 )
                 

At May 31, 2008, the fund had sufficient cash and/or other liquid securities to cover any commitments under these derivative contracts.

 

4


MFS Government Securities Fund

Supplemental Information (Unaudited) 5/31/08

(4) Transactions in Underlying 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 transactions in securities which the fund assumes to be affiliated issuers during the three months ended May 31, 2008, is set forth below:

 

Underlying Funds

   Beginning
Shares/Par
Amount
   Acquisitions
Shares/Par
Amount
   Dispositions
Shares/Par
Amount
    Ending
Shares/Par
Amount

MFS Institutional Money Market Portfolio

     36,523,941      115,595,247      (125,719,922 )     26,399,266

Underlying Funds

   Realized
Gain (Loss)
   Capital Gain
Distributions
   Dividend
Income
    Ending Value

MFS Institutional Money Market Portfolio

   $ —      $ —      $ 234,584     $ 26,399,266

 

5


ITEM 2. CONTROLS AND PROCEDURES.

 

(a) Based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this Form N-Q, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

 

(b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

ITEM 3. EXHIBITS.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto.


Notice

A copy of the Amended and Restated Declaration of Trust, as amended, of the Registrant is on file with the Secretary of State of The Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant: MFS SERIES TRUST XIII

 

By (Signature and Title)*    ROBERT J. MANNING
    
   Robert J. Manning, President

Date:  July 17, 2008

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)*    ROBERT J. MANNING
    
   Robert J. Manning, President (Principal Executive Officer)

Date:  July 17, 2008

 

By (Signature and Title)*    MARIA F. DWYER
    
   Maria F. Dwyer, Treasurer (Principal Financial Officer and Accounting Officer)

Date:  July 17, 2008

 

* Print name and title of each signing officer under his or her signature.