Quarterly Report
January 31, 2020
MFS® Emerging Markets Debt Local Currency Fund
Portfolio of Investments
1/31/20 (unaudited)
The Portfolio of Investments is a
complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
| Issuer | Shares/Par | Value ($) | ||
| Bonds – 94.4% | ||||
| Brazil – 11.0% | ||||
| Banco BTG Pactual S.A. (Cayman Islands), 4.5%, 1/10/2025 (n) | $ | 1,309,000 | $1,348,270 | |
| BRF S.A., 4.875%, 1/24/2030 (n) | 1,160,000 | 1,187,260 | ||
| Centrais Eletricas Brasileiras S.A., 3.625%, 2/04/2025 (n) | 497,000 | 500,365 | ||
| Centrais Eletricas Brasileiras S.A., 4.625%, 2/04/2030 (n) | 707,000 | 711,949 | ||
| Federative Republic of Brazil, 0%, 4/01/2020 | BRL | 59,084,000 | 13,705,800 | |
| Federative Republic of Brazil, 0%, 10/01/2020 | 15,225,000 | 3,458,280 | ||
| Federative Republic of Brazil, 6%, 5/15/2025 | 12,903,622 | 3,502,380 | ||
| Federative Republic of Brazil, Inflation Linked Bond, 6%, 8/15/2024 | 24,737,719 | 6,647,988 | ||
| Federative Republic of Brazil, Inflation Linked Bond, 6%, 8/15/2028 | 23,097,121 | 6,617,979 | ||
| Globo Comunicacoes e Participacoes S.A., 4.875%, 1/22/2030 (n) | $ | 1,232,000 | 1,257,281 | |
| Rede D'Or Finance S.à r.l., 4.5%, 1/22/2030 (n) | 1,087,000 | 1,093,522 | ||
| $40,031,074 | ||||
| Chile – 5.6% | ||||
| AES Gener S.A., 6.35%, 10/07/2079 (n) | $ | 1,302,000 | $1,359,939 | |
| Banco del Estado de Chile, 2.704%, 1/09/2025 (n) | 1,256,000 | 1,265,420 | ||
| Empresa Electrica Cochrane S.p.A., 5.5%, 5/14/2027 (n) | 334,000 | 348,613 | ||
| ENGIE Energía Chile S.A., 3.4%, 1/28/2030 (n) | 956,000 | 966,516 | ||
| Inversiones CMPC S.A., 3.85%, 1/13/2030 (n) | 1,182,000 | 1,208,595 | ||
| Republic of Chile, 4%, 3/01/2023 | CLP | 5,135,000,000 | 6,846,239 | |
| Republic of Chile, 4.7%, 9/01/2030 | 3,900,000,000 | 5,407,692 | ||
| Republic of Chile, 5%, 3/01/2035 | 2,020,000,000 | 2,932,443 | ||
| $20,335,457 | ||||
| China – 0.1% | ||||
| Prosus N.V., 3.68%, 1/21/2030 (n) | $ | 437,000 | $451,657 | |
| Colombia – 5.6% | ||||
| Empresas Publicas de Medellin, 8.375%, 11/08/2027 (n) | COP | 4,009,000,000 | $1,246,322 | |
| GeoPark Ltd., 5.5%, 1/17/2027 (n) | $ | 910,000 | 907,725 | |
| Grupo Aval Ltd., 4.375%, 2/04/2030 (n) | 757,000 | 765,895 | ||
| Republic of Colombia, “B”, 6%, 4/28/2028 | COP | 6,966,800,000 | 2,082,723 | |
| Republic of Colombia, Inflation Linked Bond, 3.5%, 5/07/2025 | 47,834,659,426 | 15,238,945 | ||
| $20,241,610 | ||||
| Cote d'Ivoire – 0.9% | ||||
| Republic of Cote d'Ivoire, 5.25%, 3/22/2030 (n) | EUR | 767,000 | $882,540 | |
| Republic of Cote d'Ivoire, 6.125%, 6/15/2033 | $ | 1,300,000 | 1,332,188 | |
| Republic of Cote d'Ivoire, 6.875%, 10/17/2040 (n) | EUR | 1,009,000 | 1,198,146 | |
| $3,412,874 | ||||
| Czech Republic – 0.2% | ||||
| Czech Republic, 2%, 10/13/2033 | CZK | 11,360,000 | $535,548 | |
| Dominican Republic – 0.4% | ||||
| Dominican Republic, 4.5%, 1/30/2030 (n) | $ | 1,382,000 | $1,380,618 | |
| Egypt – 0.5% | ||||
| Arab Republic of Egypt, 7.6%, 3/01/2029 (n) | $ | 1,550,000 | $1,734,915 | |
| Gabon – 0.3% | ||||
| Gabonese Republic, 6.625%, 2/06/2031 (n) | $ | 991,000 | $997,151 | |
| Hungary – 1.8% | ||||
| Republic of Hungary, 5.5%, 6/24/2025 | HUF | 1,661,720,000 | $6,692,726 | |
1
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| India – 2.1% | ||||
| Delhi International Airport Ltd., 6.45%, 6/04/2029 (n) | $ | 1,263,000 | $1,355,199 | |
| Government of India, 7.16%, 5/20/2023 | INR | 250,000,000 | 3,591,937 | |
| Power Finance Corp. Ltd. (Republic of India), 3.95%, 4/23/2030 (n) | $ | 849,000 | 850,194 | |
| ReNew Power Private Ltd., 5.875%, 3/05/2027 (n) | 773,000 | 775,898 | ||
| Shriram Transport Finance, 5.1%, 7/16/2023 (n) | 1,169,000 | 1,172,577 | ||
| $7,745,805 | ||||
| Indonesia – 10.2% | ||||
| Medco Bell Pte. Ltd., 6.375%, 1/30/2027 (n) | $ | 794,000 | $765,510 | |
| Republic of Indonesia, 7%, 5/15/2027 | IDR | 97,684,000,000 | 7,305,876 | |
| Republic of Indonesia, 9%, 3/15/2029 | 35,368,000,000 | 2,952,729 | ||
| Republic of Indonesia, 7%, 9/15/2030 | 53,810,000,000 | 4,049,050 | ||
| Republic of Indonesia, 8.75%, 5/15/2031 | 24,267,000,000 | 2,017,777 | ||
| Republic of Indonesia, 7.5%, 8/15/2032 | 54,135,000,000 | 4,043,772 | ||
| Republic of Indonesia, 7.5%, 5/15/2038 | 186,333,000,000 | 13,622,437 | ||
| Republic of Indonesia, 8.375%, 4/15/2039 | 27,099,000,000 | 2,165,300 | ||
| $36,922,451 | ||||
| Israel – 0.2% | ||||
| Bank Leumi le-Israel B.M., 3.275%, 1/29/2031 (n) | $ | 679,000 | $679,000 | |
| Kenya – 0.4% | ||||
| Republic of Kenya, 7%, 5/22/2027 (n) | $ | 1,354,000 | $1,438,121 | |
| Malaysia – 5.8% | ||||
| Government of Malaysia, 3.882%, 3/10/2022 | MYR | 29,660,000 | $7,388,866 | |
| Government of Malaysia, 3.955%, 9/15/2025 | 14,033,000 | 3,586,919 | ||
| Government of Malaysia, 4.232%, 6/30/2031 | 38,031,000 | 10,108,126 | ||
| $21,083,911 | ||||
| Mexico – 7.7% | ||||
| Petroleos Mexicanos, 7.47%, 11/12/2026 | MXN | 10,559,900 | $496,195 | |
| Petroleos Mexicanos, 5.5%, 6/27/2044 | $ | 2,831,000 | 2,639,908 | |
| Red de Carreteras de Occidente SAPIB de C.V., 9%, 6/10/2028 (n) | MXN | 14,288,100 | 767,262 | |
| United Mexican States, 8.5%, 5/31/2029 | 163,220,000 | 9,742,927 | ||
| United Mexican States, 8%, 11/07/2047 | 242,140,000 | 14,442,029 | ||
| $28,088,321 | ||||
| Montenegro – 0.3% | ||||
| Republic of Montenegro, 2.55%, 10/03/2029 (n) | EUR | 857,000 | $957,679 | |
| Nigeria – 0.0% | ||||
| Afren PLC, 10.25%, 4/08/2020 (a)(d) | $ | 693,819 | $569 | |
| Peru – 3.5% | ||||
| Banco de Credito del Peru, 4.85%, 10/30/2020 (n) | PEN | 913,000 | $271,797 | |
| Banco de Credito del Peru, 4.65%, 9/17/2024 (z) | 10,403,000 | 3,126,123 | ||
| Camposol S.A., 6%, 2/03/2027 (n) | $ | 693,000 | 702,702 | |
| Peru LNG, 5.375%, 3/22/2030 | 1,360,000 | 1,327,775 | ||
| Republic of Peru, 6.9%, 8/12/2037 | PEN | 15,345,000 | 5,614,007 | |
| Republic of Peru, 5.35%, 8/12/2040 | 5,820,000 | 1,797,328 | ||
| $12,839,732 | ||||
| Poland – 3.9% | ||||
| Government of Poland, 2.5%, 7/25/2026 | PLN | 18,977,000 | $5,033,189 | |
| Government of Poland, 2.75%, 4/25/2028 | 7,959,000 | 2,145,996 | ||
| Government of Poland, 5.75%, 4/25/2029 | 20,284,000 | 6,875,373 | ||
| $14,054,558 | ||||
2
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Romania – 2.5% | ||||
| Republic of Romania, 4.75%, 2/24/2025 | RON | 20,395,000 | $4,910,405 | |
| Republic of Romania, 5.8%, 7/26/2027 | 12,800,000 | 3,288,194 | ||
| Republic of Romania, 2%, 1/28/2032 (n) | EUR | 809,000 | 923,291 | |
| $9,121,890 | ||||
| Russia – 6.5% | ||||
| Russian Federation, 2.5%, 2/02/2028 | RUB | 184,403,096 | $2,831,912 | |
| Russian Federation, 7.7%, 3/23/2033 | 484,174,000 | 8,523,734 | ||
| Russian Federation, 7.25%, 5/10/2034 | 719,463,000 | 12,242,827 | ||
| $23,598,473 | ||||
| Saudi Arabia – 0.2% | ||||
| Dar Al-Arkan Sukuk Co. Ltd., 6.875%, 3/21/2023 | $ | 858,000 | $877,166 | |
| South Africa – 12.1% | ||||
| Eskom Holdings SOC Ltd. (Republic of South Africa), 7.125%, 2/11/2025 | $ | 1,230,000 | $1,246,937 | |
| Eskom Holdings SOC Ltd. (Republic of South Africa), 7.85%, 4/02/2026 | ZAR | 36,000,000 | 2,252,090 | |
| Republic of South Africa, 10.5%, 12/21/2026 | 237,760,000 | 17,867,842 | ||
| Republic of South Africa, 8%, 1/31/2030 | 149,354,000 | 9,312,105 | ||
| Republic of South Africa, 7%, 2/28/2031 | 194,391,000 | 11,001,480 | ||
| Transnet SOC Ltd. (Republic of South Africa), 9.5%, 5/13/2021 | 22,700,000 | 1,566,644 | ||
| Transnet SOC Ltd. (Republic of South Africa), 9.5%, 5/13/2021 (n) | 9,960,000 | 687,391 | ||
| $43,934,489 | ||||
| Sri Lanka – 0.8% | ||||
| Republic of Sri Lanka, 6.75%, 4/18/2028 | $ | 1,400,000 | $1,350,929 | |
| Republic of Sri Lanka, 7.85%, 3/14/2029 (n) | 1,372,000 | 1,392,525 | ||
| $2,743,454 | ||||
| Supranational – 0.4% | ||||
| West African Development Bank, 4.7%, 10/22/2031 (n) | $ | 1,364,000 | $1,428,954 | |
| Thailand – 4.5% | ||||
| Kingdom of Thailand, 3.775%, 6/25/2032 | THB | 402,431,000 | $16,176,169 | |
| Turkey – 4.2% | ||||
| Republic of Turkey, 10.7%, 2/17/2021 | TRY | 20,482,000 | $3,453,166 | |
| Republic of Turkey, 8.8%, 9/27/2023 | 57,238,000 | 9,277,056 | ||
| Republic of Turkey, 5.125%, 2/17/2028 | $ | 2,386,000 | 2,389,102 | |
| $15,119,324 | ||||
| Ukraine – 0.9% | ||||
| Government of Ukraine, 4.375%, 1/27/2030 (n) | EUR | 497,000 | $547,053 | |
| Government of Ukraine, GDP Linked Bond, 0%, 5/31/2040 | $ | 1,153,000 | 1,142,911 | |
| NAK Naftogaz Ukraine via Standard Bank London Holdings PLC, 7.625%, 11/08/2026 (n) | 1,308,000 | 1,392,458 | ||
| $3,082,422 | ||||
| United Arab Emirates – 0.3% | ||||
| GEMS Menasa Cayman Ltd./GEMS Education Delaware LLC, 7.125%, 7/31/2026 (n) | $ | 1,080,000 | $1,127,444 | |
| Uruguay – 1.2% | ||||
| Oriental Republic of Uruguay, 8.5%, 3/15/2028 | UYU | 182,785,000 | $4,297,529 | |
| Vietnam – 0.3% | ||||
| Mong Duong Finance Holdings B.V., 5.125%, 5/07/2029 (n) | $ | 1,079,000 | $1,112,882 | |
| Total Bonds | $342,243,973 | |||
3
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Common Stocks – 0.0% | ||||
| Canada – 0.0% | ||||
| Frontera Energy Corp. | 16,374 | $115,437 | ||
| Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional Amount | Par Amount/ Number of Contracts | |
| Purchased Options – 0.1% | |||||
| Special Products & Services – 0.1% | |||||
| iShares MSCI Emerging Markets ETF | Put | Goldman Sachs International | $16,844,000 | 4,000 | $368,000 |
| Issuer | Shares/Par | |||
| Investment Companies (h) – 4.1% | ||||
| Money Market Funds – 4.1% | ||||
| MFS Institutional Money Market Portfolio, 1.62% (v) | 14,940,701 | $14,942,195 | ||
| Other Assets, Less Liabilities – 1.4% | 4,918,302 | |||
| Net Assets – 100.0% | $362,587,907 | |||
| (a) | Non-income producing security. |
| (d) | In default. |
| (h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $14,942,195 and $342,727,410, respectively. |
| (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 $39,160,636, representing 10.8% of net assets. |
| (v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
| (z) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities: |
| Restricted Securities | Acquisition Date | Cost | Value |
| Banco de Credito del Peru, 4.65%, 9/17/2024 | 9/12/2019 | $3,112,248 | $3,126,123 |
| % of Net assets | 0.9% |
| The following abbreviations are used in this report and are defined: | |
| BZDIOVRA | Brazil Interbank Deposit Rate |
| COLIBOR | Columbia Interbank Offered Rate |
| ETF | Exchange-Traded Fund |
| FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
| JIBAR | Johannesburg Interbank Agreed Rate |
| PRIBOR | Prague Interbank Offered Rate |
| THBFIX | Thai Baht Floating Rate Fixed |
| WIBOR | Warsaw Interbank Offered 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: | |
| AUD | Australian Dollar |
| BRL | Brazilian Real |
| CAD | Canadian Dollar |
| CLP | Chilean Peso |
| CNH | Chinese Yuan Renminbi (Offshore) |
| COP | Colombian Peso |
| CZK | Czech Koruna |
| EGP | Egypt Pound |
| EUR | Euro |
| HUF | Hungarian Forint |
4
Portfolio of Investments (unaudited) –
continued
| IDR | Indonesian Rupiah |
| INR | Indian Rupee |
| KRW | South Korean Won |
| KZT | Kazakhstani Tenge |
| MXN | Mexican Peso |
| MYR | Malaysian Ringgit |
| PEN | Peruvian Nuevo Sol |
| PHP | Philippine Peso |
| PLN | Polish Zloty |
| RON | Romanian New Leu |
| RUB | Russian Ruble |
| SGD | Singapore Dollar |
| THB | Thai Baht |
| TRY | Turkish Lira |
| TWD | Taiwan Dollar |
| UYU | Uruguayan Peso |
| ZAR | South African Rand |
| Derivative Contracts at 1/31/20 | ||||||
| Forward Foreign Currency Exchange Contracts | ||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
| Asset Derivatives | ||||||
| CZK | 3,204,000 | USD | 139,327 | Morgan Stanley Capital Services, Inc. | 2/28/2020 | $1,552 |
| EGP | 54,998,000 | USD | 3,354,743 | Barclays Bank PLC | 2/05/2020 | 125,063 |
| EGP | 57,983,000 | USD | 3,573,683 | Citibank N.A. | 5/04/2020 | 88 |
| EGP | 2,985,000 | USD | 184,944 | JPMorgan Chase Bank N.A. | 2/05/2020 | 3,921 |
| EUR | 659,487 | USD | 728,837 | State Street Bank Corp. | 2/28/2020 | 3,641 |
| HUF | 1,654,408,000 | USD | 5,394,939 | State Street Bank Corp. | 2/28/2020 | 48,543 |
| IDR | 49,708,168,000 | USD | 3,638,425 | Barclays Bank PLC | 2/04/2020 | 1,865 |
| IDR | 219,906,086,000 | USD | 16,061,281 | JPMorgan Chase Bank N.A. | 2/04/2020 | 43,156 |
| IDR | 8,990,486,763 | USD | 655,331 | JPMorgan Chase Bank N.A. | 2/18/2020 | 2,269 |
| IDR | 4,959,679,000 | USD | 360,520 | JPMorgan Chase Bank N.A. | 4/13/2020 | 479 |
| KZT | 1,358,522,000 | USD | 3,399,279 | Deutsche Bank AG | 6/19/2020 | 83,008 |
| MXN | 19,915,000 | USD | 1,036,786 | Brown Brothers Harriman | 2/28/2020 | 13,584 |
| MXN | 6,720,000 | USD | 351,829 | Deutsche Bank AG | 2/28/2020 | 2,602 |
| MXN | 234,651,005 | USD | 12,079,934 | HSBC Bank | 2/28/2020 | 296,192 |
| PHP | 166,809,160 | USD | 3,258,628 | Deutsche Bank AG | 4/08/2020 | 15,729 |
| PHP | 50,213,004 | USD | 982,277 | JPMorgan Chase Bank N.A. | 4/08/2020 | 3,372 |
| TRY | 1,086,000 | USD | 179,820 | Goldman Sachs International | 2/28/2020 | 600 |
| USD | 225,622 | AUD | 328,000 | Deutsche Bank AG | 2/28/2020 | 5,965 |
| USD | 6,947,912 | AUD | 10,162,000 | Merrill Lynch International | 2/28/2020 | 142,559 |
| USD | 146,577 | AUD | 217,000 | UBS AG | 2/28/2020 | 1,255 |
| USD | 7,068,900 | BRL | 29,651,621 | Banco Santander S.A. | 2/04/2020 | 145,157 |
| USD | 13,674,240 | BRL | 58,382,170 | Barclays Bank PLC | 2/04/2020 | 41,828 |
| USD | 10,338,270 | BRL | 42,410,416 | JPMorgan Chase Bank N.A. | 2/04/2020 | 435,312 |
| USD | 1,607,467 | BRL | 6,839,934 | JPMorgan Chase Bank N.A. | 4/02/2020 | 15,166 |
| USD | 3,465,635 | CAD | 4,585,000 | JPMorgan Chase Bank N.A. | 2/28/2020 | 1,216 |
| USD | 96,991 | CAD | 127,000 | State Street Bank Corp. | 2/28/2020 | 1,030 |
| USD | 1,549,424 | CLP | 1,191,506,880 | Barclays Bank PLC | 2/10/2020 | 60,686 |
| USD | 3,801,982 | EUR | 3,416,000 | Deutsche Bank AG | 2/28/2020 | 7,905 |
| USD | 839,123 | EUR | 753,000 | Goldman Sachs International | 2/28/2020 | 2,782 |
| USD | 235,976 | EUR | 212,000 | HSBC Bank | 2/28/2020 | 512 |
| USD | 125,766 | EUR | 113,000 | Merrill Lynch International | 2/28/2020 | 259 |
| USD | 167,782 | EUR | 150,000 | Morgan Stanley Capital Services, Inc. | 2/28/2020 | 1,180 |
| USD | 17,039,773 | EUR | 15,312,178 | State Street Bank Corp. | 2/28/2020 | 32,869 |
| USD | 617,017 | HUF | 181,488,000 | Morgan Stanley Capital Services, Inc. | 2/28/2020 | 19,869 |
| USD | 3,633,300 | INR | 258,890,791 | JPMorgan Chase Bank N.A. | 3/16/2020 | 20,912 |
5
Portfolio of Investments (unaudited) –
continued
| Forward Foreign Currency Exchange Contracts − continued | ||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
| Asset Derivatives − continued | ||||||
| USD | 2,057,000 | PEN | 6,955,746 | Citibank N.A. | 2/10/2020 | $3,176 |
| USD | 6,967,166 | SGD | 9,387,000 | Goldman Sachs International | 2/28/2020 | 88,051 |
| USD | 3,608,844 | SGD | 4,875,000 | Merrill Lynch International | 2/28/2020 | 36,277 |
| USD | 3,432,540 | THB | 103,800,000 | JPMorgan Chase Bank N.A. | 3/16/2020 | 116,511 |
| USD | 7,355,086 | TWD | 218,424,000 | Barclays Bank PLC | 4/21/2020 | 104,519 |
| USD | 7,181,611 | TWD | 213,933,000 | JPMorgan Chase Bank N.A. | 3/18/2020 | 89,303 |
| USD | 16,523,271 | ZAR | 248,171,908 | Merrill Lynch International | 2/28/2020 | 40,315 |
| $2,060,278 | ||||||
| Liability Derivatives | ||||||
| BRL | 29,651,621 | USD | 6,944,987 | Banco Santander S.A. | 2/04/2020 | $(21,244) |
| BRL | 58,382,170 | USD | 13,662,081 | Barclays Bank PLC | 2/04/2020 | (29,668) |
| BRL | 5,428,000 | USD | 1,263,678 | Goldman Sachs International | 4/02/2020 | (67) |
| BRL | 42,410,417 | USD | 9,943,312 | JPMorgan Chase Bank N.A. | 2/04/2020 | (40,352) |
| CLP | 4,164,316,755 | USD | 5,399,228 | Barclays Bank PLC | 3/17/2020 | (198,717) |
| CLP | 403,933,000 | USD | 528,376 | Goldman Sachs International | 2/10/2020 | (23,679) |
| CNH | 24,910,000 | USD | 3,609,099 | JPMorgan Chase Bank N.A. | 4/16/2020 | (58,567) |
| CNH | 50,179,000 | USD | 7,301,713 | State Street Bank Corp. | 2/28/2020 | (139,449) |
| COP | 2,385,185,400 | USD | 724,100 | Barclays Bank PLC | 4/13/2020 | (29,672) |
| COP | 19,946,377,420 | USD | 6,076,329 | Goldman Sachs International | 4/13/2020 | (269,100) |
| COP | 1,503,570,000 | USD | 440,800 | JPMorgan Chase Bank N.A. | 4/13/2020 | (3,048) |
| CZK | 553,022,284 | USD | 24,362,913 | Citibank N.A. | 2/28/2020 | (46,659) |
| EUR | 440,988 | USD | 491,128 | Morgan Stanley Capital Services, Inc. | 2/28/2020 | (1,332) |
| HUF | 504,339,000 | USD | 1,690,962 | Citibank N.A. | 2/28/2020 | (31,540) |
| HUF | 57,451,412 | USD | 193,202 | HSBC Bank | 2/28/2020 | (4,170) |
| KRW | 4,159,905,000 | USD | 3,606,896 | JPMorgan Chase Bank N.A. | 4/16/2020 | (111,461) |
| MXN | 6,841,000 | USD | 361,279 | State Street Bank Corp. | 2/28/2020 | (467) |
| MYR | 6,389,531 | USD | 1,570,025 | Barclays Bank PLC | 3/24/2020 | (13,111) |
| PEN | 9,726,423 | USD | 2,904,190 | Barclays Bank PLC | 2/10/2020 | (32,267) |
| PEN | 5,838,889 | USD | 1,738,317 | Citibank N.A. | 2/10/2020 | (14,267) |
| PHP | 183,321,426 | USD | 3,609,400 | Deutsche Bank AG | 4/08/2020 | (10,919) |
| PLN | 810,000 | USD | 210,818 | Brown Brothers Harriman | 2/28/2020 | (1,737) |
| PLN | 1,383,000 | USD | 362,279 | Deutsche Bank AG | 2/28/2020 | (5,292) |
| PLN | 84,867,450 | USD | 21,969,864 | State Street Bank Corp. | 2/28/2020 | (63,443) |
| PLN | 1,506,000 | USD | 396,015 | UBS AG | 2/28/2020 | (7,279) |
| RUB | 89,050,966 | USD | 1,424,107 | Barclays Bank PLC | 3/27/2020 | (39,588) |
| RUB | 78,367,000 | USD | 1,253,786 | Goldman Sachs International | 3/27/2020 | (35,376) |
| RUB | 12,327,000 | USD | 197,104 | JPMorgan Chase Bank N.A. | 3/10/2020 | (5,103) |
| RUB | 539,606,743 | USD | 8,626,117 | JPMorgan Chase Bank N.A. | 3/27/2020 | (236,590) |
| SGD | 14,117,000 | USD | 10,393,728 | HSBC Bank | 2/28/2020 | (48,306) |
| SGD | 146,000 | USD | 107,839 | State Street Bank Corp. | 2/28/2020 | (845) |
| THB | 644,024,815 | USD | 21,334,793 | JPMorgan Chase Bank N.A. | 3/16/2020 | (760,564) |
| TRY | 48,840,553 | USD | 8,248,542 | Merrill Lynch International | 2/28/2020 | (134,539) |
| TWD | 105,652,000 | USD | 3,547,750 | JPMorgan Chase Bank N.A. | 3/18/2020 | (45,175) |
| ZAR | 12,823,000 | USD | 889,361 | Brown Brothers Harriman | 2/28/2020 | (37,690) |
| ZAR | 5,246,000 | USD | 361,469 | Deutsche Bank AG | 2/28/2020 | (13,043) |
| ZAR | 21,715,000 | USD | 1,482,128 | Goldman Sachs International | 2/28/2020 | (39,872) |
| ZAR | 12,866,000 | USD | 897,059 | State Street Bank Corp. | 2/28/2020 | (42,531) |
| USD | 3,327,600 | CLP | 2,703,675,000 | Banco Santander S.A. | 4/02/2020 | (48,271) |
| USD | 6,149,438 | CZK | 140,730,000 | Citibank N.A. | 2/28/2020 | (38,426) |
| USD | 1,189,898 | CZK | 27,345,583 | Merrill Lynch International | 2/28/2020 | (12,480) |
| USD | 4,377,004 | CZK | 100,358,000 | UBS AG | 2/28/2020 | (35,713) |
| USD | 3,668,649 | EGP | 57,983,000 | Citibank N.A. | 2/05/2020 | (23) |
| USD | 1,903,198 | EUR | 1,714,000 | Deutsche Bank AG | 2/28/2020 | (505) |
| USD | 3,611,200 | IDR | 49,708,168,000 | Barclays Bank PLC | 2/04/2020 | (29,091) |
6
Portfolio of Investments (unaudited) –
continued
| Forward Foreign Currency Exchange Contracts − continued | ||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
| Liability Derivatives − continued | ||||||
| USD | 16,089,336 | IDR | 219,906,086,000 | JPMorgan Chase Bank N.A. | 2/04/2020 | $(15,100) |
| USD | 1,695,516 | IDR | 23,423,556,000 | JPMorgan Chase Bank N.A. | 2/18/2020 | (17,775) |
| USD | 769,298 | PEN | 2,626,000 | Barclays Bank PLC | 2/10/2020 | (6,081) |
| USD | 3,629,050 | PHP | 185,263,000 | JPMorgan Chase Bank N.A. | 4/08/2020 | (7,543) |
| USD | 2,344,833 | RON | 10,124,988 | JPMorgan Chase Bank N.A. | 2/28/2020 | (3,575) |
| USD | 3,497,737 | TRY | 21,131,291 | State Street Bank Corp. | 2/28/2020 | (12,857) |
| $(2,824,169) | ||||||
| Futures Contracts | ||||||
| Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
| Liability Derivatives | ||||||
| Interest Rate Futures | ||||||
| Euro-Bund 10 yr | Short | EUR | 31 | $6,017,969 | March – 2020 | $(86,021) |
| U.S. Treasury Ultra Note 10 yr | Short | USD | 129 | 18,789,656 | March – 2020 | (382,155) |
| $(468,176) | ||||||
| Cleared Swap Agreements | ||||||||
| Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive/ Frequency | Cash Flows to Pay/ Frequency | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |
| Asset Derivatives | ||||||||
| Interest Rate Swaps | ||||||||
| 1/03/22 | BRL | 117,269,000 | centrally cleared | 4.4% FLR (Daily BZDIOVRA)/Daily | 5.025%/At Maturity | $26,013 | $— | $26,013 |
| 1/02/25 | BRL | 51,666,000 | centrally cleared | 6.25%/At Maturity | 4.4% FLR (Daily BZDIOVRA)/Daily | 87,417 | — | 87,417 |
| 1/02/25 | BRL | 61,592,000 | centrally cleared | 4.1697%/At Maturity | 4.4% FLR (Daily BZDIOVRA)/Daily | 34,991 | — | 34,991 |
| 5/14/21 | CZK | 291,911,000 | centrally cleared | 2.22%/Annually | 2.23% FLR (6 month PRIBOR)/Semi-annually | 146,558 | — | 146,558 |
| 2/12/22 | CZK | 431,056,000 | centrally cleared | 1.915%/Annually | 2.18% FLR (6 month PRIBOR)/Semi-annually | 93,386 | — | 93,386 |
| 9/11/29 | CZK | 47,466,000 | centrally cleared | 2.16% FLR (6 month PRIBOR)/Semi-annually | 1.345%/Annually | 45,042 | — | 45,042 |
| 9/17/29 | CZK | 47,616,000 | centrally cleared | 2.16% FLR (6 month PRIBOR)/Semi-annually | 1.435%/Annually | 18,240 | — | 18,240 |
| 7/18/21 | PLN | 64,600,000 | centrally cleared | 1.75%/Annually | 1.79% FLR (6 month WIBOR)/Semi-annually | 139,361 | — | 139,361 |
| 7/23/22 | PLN | 64,600,000 | centrally cleared | 1.73%/Annually | 1.69% FLR (6 month WIBOR)/Semi-annually | 123,484 | — | 123,484 |
| 9/12/29 | PLN | 7,936,000 | centrally cleared | 1.79% FLR (6 month WIBOR)/Semi-annually | 1.805%/Annually | 9,535 | — | 9,535 |
7
Portfolio of Investments (unaudited) –
continued
| Cleared Swap Agreements − continued | ||||||||||
| Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive/ Frequency | Cash Flows to Pay/ Frequency | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |||
| Asset Derivatives − continued | ||||||||||
| Interest Rate Swaps − continued | ||||||||||
| 9/19/29 | PLN | 10,639,000 | centrally cleared | 1.79% FLR (6 month WIBOR)/Semi-annually | 1.85%/Annually | $1,553 | $— | $1,553 | ||
| 10/24/22 | ZAR | 101,147,000 | centrally cleared | 6.59%/Quarterly | 6.558% FLR (3 month JIBAR)/Quarterly | 40,624 | — | 40,624 | ||
| $766,204 | $— | $766,204 | ||||||||
| Liability Derivatives | ||||||||||
| Interest Rate Swaps | ||||||||||
| 1/03/22 | BRL | 116,843,000 | centrally cleared | 4.4% FLR (Daily BZDIOVRA)/Daily | 4.965%/At Maturity | $(4,938) | $— | $(4,938) | ||
| 12/05/21 | CLP | 5,513,593,000 | centrally cleared | 1.7182% FLR (6 month COLIBOR)/Semi-annually | 2.02%/Annually | (30,904) | — | (30,904) | ||
| 12/20/21 | CLP | 5,348,877,000 | centrally cleared | 1.74% FLR (6 month COLIBOR)/Semi-annually | 1.795%/Annually | (2,068) | — | (2,068) | ||
| 10/09/21 | CZK | 300,000,000 | centrally cleared | 1.97%/Annually | 2.2% FLR (6 month PRIBOR)/Semi-annually | (43,983) | — | (43,983) | ||
| $(81,893) | $— | $(81,893) | ||||||||
| Uncleared Swap Agreements | ||||||||||
| Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive/ Frequency | Cash Flows to Pay/ Frequency | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |||
| Asset Derivatives | ||||||||||
| Interest Rate Swaps | ||||||||||
| 5/02/29 | THB | 100,491,000 | JPMorgan Chase Bank N.A. | 2.175%/Annually | 1.4123% FLR (6 month THBFIX)/Semi-annually | $271,286 | $— | $271,286 | ||
| 5/07/29 | THB | 102,901,000 | JPMorgan Chase Bank N.A. | 2.16%/Annually | 1.3571% FLR (6 month THBFIX)/Semi-annually | 274,701 | — | 274,701 | ||
| 7/17/29 | THB | 100,000,000 | JPMorgan Chase Bank N.A. | 1.725%/Annually | 1.1209% FLR (6 month THBFIX)/Semi-annually | 137,974 | — | 137,974 | ||
| 8/08/29 | THB | 104,143,000 | JPMorgan Chase Bank N.A. | 1.37%/Annually | 1.3343% FLR (6 month THBFIX)/Semi-annually | 35,411 | — | 35,411 | ||
| 9/05/29 | THB | 25,000,000 | JPMorgan Chase Bank N.A. | 1.325%/Annually | 1.325% FLR (6 month THBFIX)/Semi-annually | 5,207 | — | 5,207 | ||
| 10/25/29 | THB | 52,000,000 | JPMorgan Chase Bank N.A. | 1.54%/Annually | 1.4384% FLR (6 month THBFIX)/Semi-annually | 43,358 | — | 43,358 | ||
| $767,937 | $— | $767,937 | ||||||||
8
Portfolio of Investments (unaudited) –
continued
| Uncleared Swap Agreements − continued | ||||||||||
| Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive/ Frequency | Cash Flows to Pay/ Frequency | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |||
| Liability Derivatives | ||||||||||
| Interest Rate Swaps | ||||||||||
| 6/28/24 | COP | 10,700,000,000 | Goldman Sachs & Company | 4.109% FLR (6 month COLIBOR)/Semi-annually | 4.555%/Annually | $(2,243) | $— | $(2,243) | ||
| 7/03/24 | COP | 5,350,000,000 | JPMorgan Chase Bank N.A. | 4.114% FLR (6 month COLIBOR)/Semi-annually | 4.57%/Annually | (1,948) | — | (1,948) | ||
| $(4,191) | $— | $(4,191) | ||||||||
At January 31, 2020, the fund had
cash collateral of $1,892,200 to cover any collateral or margin obligations for certain derivative contracts.
See attached supplemental
information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.
9
Supplemental Information
1/31/20 (unaudited)
The fund is an investment company
and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment
Companies.
(1) Investment Valuations
Debt instruments and floating rate
loans, 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 may be valued at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price on their primary exchange as provided by a
third-party pricing service. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation on their primary exchange as provided by a third-party pricing
service. For put options, the position may be valued at the last daily ask quotation if there are no trades reported during the day. 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 on their primary exchange
as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided
by a third-party pricing service. 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 using 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. In determining values, 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 fund’s 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 fund’s 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 the adviser determines
that an investment’s 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 fund’s net asset value, or after the halt 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 fund’s 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 fund’s 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 fund's 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 investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund's 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).
10
Supplemental Information (unaudited) –
continued
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, such as futures contracts, forward foreign currency exchange contracts, and
swap agreements. The following is a summary of the levels used as of January 31, 2020 in valuing the fund's assets or liabilities:
| Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
| Equity Securities | $483,437 | $— | $— | $483,437 |
| Non - U.S. Sovereign Debt | — | 317,286,796 | — | 317,286,796 |
| Foreign Bonds | — | 24,957,177 | — | 24,957,177 |
| Mutual Funds | 14,942,195 | — | — | 14,942,195 |
| Total | $15,425,632 | $342,243,973 | $— | $357,669,605 |
| Other Financial Instruments | ||||
| Futures Contracts – Liabilities | $(468,176) | $— | $— | $(468,176) |
| Forward Foreign Currency Exchange Contracts – Assets | — | 2,060,278 | — | 2,060,278 |
| Forward Foreign Currency Exchange Contracts – Liabilities | — | (2,824,169) | — | (2,824,169) |
| Swap Agreements – Assets | — | 1,534,141 | — | 1,534,141 |
| Swap Agreements – Liabilities | — | (86,084) | — | (86,084) |
For further information regarding
security characteristics, see the Portfolio of Investments.
(2) Investments in Affiliated
Issuers
| Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
| MFS Institutional Money Market Portfolio | $35,706,059 | $37,339,142 | $58,100,086 | $(975) | $(1,945) | $14,942,195 |
| Affiliated Issuers | Dividend Income | Capital Gain Distributions |
| MFS Institutional Money Market Portfolio | $137,852 | $— |
(3) Issuer Country
Weightings
Issuer country weighting percentages
of portfolio holdings based on net assets, as of January 31, 2020, are as follows:
| South Africa | 14.3% |
| Poland | 12.0% |
| Czech Republic | 11.6% |
| Indonesia | 10.4% |
| Thailand | 9.0% |
| Mexico | 7.9% |
| Russia | 6.6% |
| Malaysia | 5.9% |
| United States | (7.2)% |
| Other Countries | 29.5% |
The issuer country weighting
percentages include both accrued interest amounts and the equivalent exposure from any derivative holdings, if applicable.
11