Quarterly Report
July 31, 2022
MFS® Core Bond Fund
MCB-Q1
Portfolio of Investments
7/31/22 (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 – 99.3% | ||||
Asset-Backed & Securitized – 13.9% | ||||
ACRES 2021-FL2 Issuer Ltd., “C”, FLR, 4.649% (LIBOR - 1mo. + 2.65%), 1/15/2037 (n) | $ | 200,000 | $189,554 | |
Allegro CLO V Ltd., 2017-1A, “BR”, FLR, 4.19% (LIBOR - 3mo. + 1.45%), 10/16/2030 (n) | 250,000 | 242,161 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “B”, FLR, 3.599% (LIBOR - 1mo. + 1.6%), 8/15/2034 (n) | 200,000 | 187,959 | ||
BDS 2021-FL10 Ltd., 2021-FL7, “A”, FLR, 3.226% (LIBOR - 1mo. + 1.07%), 6/16/2036 (n) | 200,000 | 191,055 | ||
BSPRT 2021-FL6 Issuer Ltd., “C”, FLR, 4.049% (LIBOR - 1mo. + 2.05%), 3/15/2036 (n) | 100,000 | 93,894 | ||
Commercial Mortgage Trust, 2015-PC1, “A5”, 3.902%, 7/10/2050 | 250,000 | 249,039 | ||
Dryden 68 CLO, Ltd., 2019-68A, “BR”, FLR, 4.212% (LIBOR - 3mo. + 1.7%), 7/15/2035 (n) | 250,000 | 237,132 | ||
JPMBB Commercial Mortgage Securities Trust, 2014-C26, “A4”, 3.494%, 1/15/2048 | 75,000 | 74,061 | ||
KREF 2018-FT1 Ltd., “A”, FLR, 3.069% (LIBOR - 1mo. + 1.1%), 2/15/2039 (n) | 200,000 | 194,949 | ||
LoanCore 2021-CRE5 Ltd., “B”, FLR, 3.999% (LIBOR - 1mo. + 2%), 7/15/2036 (n) | 100,000 | 93,243 | ||
MF1 2021-FL7 Ltd., “AS”, FLR, 3.606% (LIBOR - 1mo. + 1.45%), 10/16/2036 (n) | 250,000 | 236,868 | ||
MF1 2022-FL10 Ltd., “AS”, FLR, 0% (SOFR - 1mo. + 3.187%), 9/19/2037 (n) | 250,000 | 248,747 | ||
MF1 2022-FL8 Ltd., “B”, FLR, 3.421% (SOFR - 30 day + 1.95%), 2/19/2037 (n) | 100,000 | 92,900 | ||
Palmer Square Loan Funding 2020-2A Ltd., “A1”, FLR, 2.278% (LIBOR - 3mo. + 0.8%), 5/20/2029 (n) | 110,082 | 108,614 | ||
Palmer Square Loan Funding 2022-5A Ltd., “A1”, FLR, 2.1% (SOFR - 3mo. + 1.56%), 7/15/2035 (n) | 250,000 | 247,500 | ||
Ready Capital Mortgage Financing LLC, 2022-FL9, FLR, 5.368% (SOFR - 1mo. + 3.111%), 6/25/2037 (z) | 250,000 | 246,095 | ||
Wells Fargo Commercial Mortgage Trust, 2015-C28, “A4”, 3.54%, 5/15/2048 | 250,000 | 247,196 | ||
Wells Fargo Commercial Mortgage Trust, 2015-NXS1, “A5”, 3.148%, 5/15/2048 | 250,000 | 244,939 | ||
Wells Fargo Commercial Mortgage Trust, 2017-RB1, “A5”, 3.635%, 3/15/2050 | 175,000 | 172,802 | ||
$3,598,708 | ||||
Automotive – 2.1% | ||||
Hyundai Capital America, 2.65%, 2/10/2025 (n) | $ | 65,000 | $62,353 | |
Lear Corp., 3.8%, 9/15/2027 | 68,000 | 65,851 | ||
Magna International, Inc., 2.45%, 6/15/2030 | 68,000 | 60,031 | ||
Stellantis N.V., 2.691%, 9/15/2031 (n) | 200,000 | 163,813 | ||
Volkswagen Group of America Finance LLC, 3.35%, 5/13/2025 (n) | 200,000 | 195,873 | ||
$547,921 | ||||
Broadcasting – 0.9% | ||||
Magallanes, Inc., 5.141%, 3/15/2052 (n) | $ | 161,000 | $141,748 | |
Walt Disney Co., 3.5%, 5/13/2040 | 94,000 | 83,838 | ||
$225,586 | ||||
Brokerage & Asset Managers – 0.6% | ||||
Intercontinental Exchange, Inc., 2.1%, 6/15/2030 | $ | 103,000 | $89,929 | |
Raymond James Financial, Inc., 4.95%, 7/15/2046 | 73,000 | 72,248 | ||
$162,177 | ||||
Building – 0.4% | ||||
Masco Corp., 2%, 2/15/2031 | $ | 117,000 | $95,155 | |
Business Services – 1.2% | ||||
Equinix, Inc., 1.8%, 7/15/2027 | $ | 83,000 | $74,163 | |
Fiserv, Inc., 2.65%, 6/01/2030 | 88,000 | 77,446 | ||
Global Payments, Inc., 1.2%, 3/01/2026 | 87,000 | 78,202 | ||
S&P Global, Inc., 4.25%, 5/01/2029 (n) | 73,000 | 74,588 | ||
$304,399 | ||||
Cable TV – 1.1% | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | $ | 69,000 | $72,514 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.375%, 5/01/2047 | 98,000 | 86,218 | ||
Cox Communications, Inc., 1.8%, 10/01/2030 (n) | 88,000 | 72,255 | ||
Time Warner Entertainment Co. LP, 8.375%, 7/15/2033 | 58,000 | 69,165 | ||
$300,152 |
1
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Chemicals – 0.3% | ||||
Sherwin-Williams Co., 2.3%, 5/15/2030 | $ | 89,000 | $77,447 | |
Computer Software – 0.3% | ||||
Dell International LLC/EMC Corp., 4.9%, 10/01/2026 | $ | 74,000 | $75,783 | |
Conglomerates – 1.3% | ||||
Carrier Global Corp., 3.377%, 4/05/2040 | $ | 159,000 | $130,945 | |
Roper Technologies, Inc., 2%, 6/30/2030 | 89,000 | 74,499 | ||
Westinghouse Air Brake Technologies Corp., 3.2%, 6/15/2025 | 129,000 | 124,407 | ||
$329,851 | ||||
Consumer Services – 0.2% | ||||
Booking Holdings, Inc., 4.625%, 4/13/2030 | $ | 60,000 | $61,734 | |
Electrical Equipment – 0.3% | ||||
Arrow Electronics, Inc., 2.95%, 2/15/2032 | $ | 90,000 | $76,287 | |
Electronics – 0.9% | ||||
Broadcom, Inc., 4.15%, 11/15/2030 | $ | 78,000 | $74,005 | |
Broadcom, Inc., 4.3%, 11/15/2032 | 63,000 | 59,681 | ||
Broadcom, Inc., 4.926%, 5/15/2037 (n) | 108,000 | 102,388 | ||
$236,074 | ||||
Energy - Independent – 0.5% | ||||
EQT Corp., 7%, 2/01/2030 | $ | 113,000 | $123,720 | |
Financial Institutions – 1.4% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/2026 | $ | 150,000 | $133,440 | |
Air Lease Corp., 2.875%, 1/15/2032 | 93,000 | 76,587 | ||
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 79,000 | 73,738 | ||
Avolon Holdings Funding Ltd., 3.25%, 2/15/2027 (n) | 78,000 | 68,191 | ||
$351,956 | ||||
Food & Beverages – 0.6% | ||||
Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | $ | 163,000 | $157,486 | |
Gaming & Lodging – 0.5% | ||||
GLP Capital LP/GLP Financing II, Inc., 5.3%, 1/15/2029 | $ | 64,000 | $63,193 | |
Las Vegas Sands Corp., 3.9%, 8/08/2029 | 65,000 | 58,077 | ||
$121,270 | ||||
Insurance – 0.8% | ||||
Corebridge Financial, Inc., 3.9%, 4/05/2032 (n) | $ | 82,000 | $76,324 | |
Metropolitan Life Global Funding I, 3.3%, 3/21/2029 (n) | 150,000 | 143,150 | ||
$219,474 | ||||
Insurance - Health – 0.3% | ||||
Humana, Inc., 3.7%, 3/23/2029 | $ | 79,000 | $77,502 | |
Insurance - Property & Casualty – 0.3% | ||||
Brown & Brown, Inc., 4.2%, 3/17/2032 | $ | 84,000 | $79,143 | |
Machinery & Tools – 0.3% | ||||
CNH Industrial Capital LLC, 1.875%, 1/15/2026 | $ | 79,000 | $72,746 |
2
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Major Banks – 6.2% | ||||
Bank of America Corp., 2.572% to 10/20/2031, FLR (SOFR + 1.21%) to 10/20/2032 | $ | 302,000 | $258,875 | |
Capital One Financial Corp., 3.273% to 3/01/2029, FLR (SOFR - 1 day + 1.79%) to 3/01/2030 | 87,000 | 78,799 | ||
Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027 | 150,000 | 130,356 | ||
Goldman Sachs Group, Inc., 2.6%, 2/07/2030 | 172,000 | 151,910 | ||
Goldman Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR - 1 day + 1.248%) to 7/21/2032 | 98,000 | 82,677 | ||
JPMorgan Chase & Co., 4.323% to 4/26/2027, FLR (SOFR - 1 day + 1.56%) to 4/26/2028 | 74,000 | 74,306 | ||
JPMorgan Chase & Co., 2.956% to 5/13/2030, FLR (SOFR - 1 day + 2.515%) to 5/13/2031 | 72,000 | 64,362 | ||
JPMorgan Chase & Co., 2.963% to 1/25/2032, FLR (SOFR - 1 day + 1.26%) to 1/25/2033 | 69,000 | 61,380 | ||
JPMorgan Chase & Co., 3.109% to 4/22/2040, FLR (SOFR - 1 day + 2.46%) to 4/22/2041 | 102,000 | 82,759 | ||
JPMorgan Chase & Co., 3.157% to 4/22/2041, FLR (SOFR - 1 day + 1.46%) to 4/22/2042 | 152,000 | 124,022 | ||
Morgan Stanley, 2.699% to 1/22/2030, FLR (SOFR - 1 day + 1.143%) to 1/22/2031 | 97,000 | 86,723 | ||
Morgan Stanley, 2.943% to 1/21/2032, FLR (SOFR - 1 day + 1.29%) to 1/21/2033 | 127,000 | 113,439 | ||
UBS Group AG, 2.095% to 2/11/2031, FLR (CMT - 1yr. + 1.0%) to 2/11/2032 (n) | 200,000 | 161,796 | ||
Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | 162,000 | 148,763 | ||
$1,620,167 | ||||
Medical & Health Technology & Services – 1.3% | ||||
Alcon, Inc., 2.6%, 5/27/2030 (n) | $ | 200,000 | $175,311 | |
Becton, Dickinson and Co., 4.669%, 6/06/2047 | 78,000 | 77,430 | ||
HCA, Inc., 4.125%, 6/15/2029 | 79,000 | 76,027 | ||
$328,768 | ||||
Metals & Mining – 1.1% | ||||
Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | $ | 200,000 | $205,793 | |
Glencore Funding LLC, 2.5%, 9/01/2030 (n) | 87,000 | 72,263 | ||
$278,056 | ||||
Midstream – 1.0% | ||||
Cheniere Corpus Christi Holdings LLC, 3.7%, 11/15/2029 | $ | 84,000 | $78,663 | |
Plains All American Pipeline LP, 3.8%, 9/15/2030 | 113,000 | 102,528 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 75,000 | 74,174 | ||
$255,365 | ||||
Mortgage-Backed – 25.1% | ||||
Fannie Mae, 3%, 8/01/2046 | $ | 35,170 | $34,394 | |
Fannie Mae, UMBS, 2%, 7/01/2042 | 313,091 | 289,644 | ||
Fannie Mae, UMBS, 2.5%, 7/01/2042 - 3/01/2052 | 295,420 | 277,860 | ||
Fannie Mae, UMBS, 3%, 5/01/2043 - 9/01/2049 | 44,751 | 43,630 | ||
Fannie Mae, UMBS, 3.5%, 7/01/2043 | 50,632 | 51,353 | ||
Fannie Mae, UMBS, 4%, 9/01/2046 | 51,696 | 52,938 | ||
Freddie Mac, UMBS, 2%, 7/01/2037 | 300,000 | 285,515 | ||
Freddie Mac, UMBS, 3.5%, 1/01/2041 - 8/01/2052 | 469,996 | 468,365 | ||
Freddie Mac, UMBS, 3%, 6/01/2052 | 275,000 | 265,237 | ||
Ginnie Mae, 2%, 7/20/2052 | 75,000 | 68,911 | ||
Ginnie Mae, 2.5%, 7/20/2052 | 225,000 | 213,253 | ||
Ginnie Mae, 3%, 7/20/2052 | 325,000 | 316,759 | ||
Ginnie Mae, TBA, 3%, 8/15/2052 | 25,000 | 24,345 | ||
Ginnie Mae, TBA, 3.5%, 8/15/2052 | 275,000 | 273,754 | ||
Ginnie Mae, TBA, 4%, 8/15/2052 | 225,000 | 227,312 | ||
Ginnie Mae, TBA, 5%, 8/15/2052 - 9/15/2052 | 125,000 | 127,837 | ||
Ginnie Mae, TBA, 4.5%, 8/18/2052 | 250,000 | 254,795 | ||
UMBS, TBA, 2.5%, 8/16/2037 - 9/14/2052 | 1,250,000 | 1,167,288 | ||
UMBS, TBA, 2%, 8/25/2037 - 9/25/2052 | 1,200,000 | 1,081,251 | ||
UMBS, TBA, 3%, 8/25/2037 | 100,000 | 99,283 | ||
UMBS, TBA, 4.5%, 8/11/2052 | 175,000 | 178,042 | ||
UMBS, TBA, 4%, 8/25/2052 | 400,000 | 401,984 | ||
UMBS, TBA, 5%, 8/25/2052 | 175,000 | 179,737 | ||
UMBS, TBA, 5.5%, 9/14/2052 | 125,000 | 128,994 | ||
$6,512,481 |
3
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Natural Gas - Distribution – 0.3% | ||||
NiSource, Inc., 5.65%, 2/01/2045 | $ | 73,000 | $76,470 | |
Network & Telecom – 0.6% | ||||
Verizon Communications, Inc., 2.55%, 3/21/2031 | $ | 84,000 | $74,640 | |
Verizon Communications, Inc., 4.272%, 1/15/2036 | 78,000 | 76,917 | ||
$151,557 | ||||
Oils – 0.3% | ||||
Marathon Petroleum Corp., 4.75%, 9/15/2044 | $ | 83,000 | $75,938 | |
Other Banks & Diversified Financials – 0.5% | ||||
Macquarie Group Ltd., 4.442% to 6/21/2032, FLR (SOFR - 1 day + 2.405%) to 6/21/2033 (n) | $ | 148,000 | $140,826 | |
Retailers – 0.6% | ||||
Alimentation Couche-Tard, Inc., 3.439%, 5/13/2041 (n) | $ | 117,000 | $90,689 | |
Best Buy Co., Inc., 4.45%, 10/01/2028 | 63,000 | 63,781 | ||
$154,470 | ||||
Specialty Stores – 0.2% | ||||
Genuine Parts Co., 2.75%, 2/01/2032 | $ | 63,000 | $54,051 | |
Telecommunications - Wireless – 1.4% | ||||
Crown Castle International Corp., REIT, 3.65%, 9/01/2027 | $ | 79,000 | $76,831 | |
Rogers Communications, Inc., 3.8%, 3/15/2032 (n) | 146,000 | 141,341 | ||
T-Mobile USA, Inc., 2.05%, 2/15/2028 | 69,000 | 61,876 | ||
T-Mobile USA, Inc., 4.5%, 4/15/2050 | 83,000 | 76,812 | ||
$356,860 | ||||
Tobacco – 0.6% | ||||
B.A.T. International Finance PLC, 4.448%, 3/16/2028 | $ | 158,000 | $151,294 | |
Transportation - Services – 0.5% | ||||
ERAC USA Finance LLC, 7%, 10/15/2037 (n) | $ | 107,000 | $128,098 | |
U.S. Treasury Obligations – 29.7% | ||||
U.S. Treasury Bonds, 2.375%, 2/15/2042 | $ | 1,600,000 | $1,393,500 | |
U.S. Treasury Bonds, 2.25%, 2/15/2052 | 1,500,000 | 1,264,922 | ||
U.S. Treasury Notes, 2.25%, 3/31/2024 (f) | 5,000,000 | 4,942,383 | ||
U.S. Treasury Notes, 2.5%, 3/31/2027 | 100,000 | 99,058 | ||
$7,699,863 | ||||
Utilities - Electric Power – 1.1% | ||||
Duke Energy Progress LLC, 3.45%, 3/15/2029 | $ | 118,000 | $115,615 | |
Pacific Gas & Electric Co., 2.1%, 8/01/2027 | 82,000 | 70,115 | ||
Pacific Gas & Electric Co., 3%, 6/15/2028 | 108,000 | 95,109 | ||
$280,839 | ||||
Utilities - Gas – 0.6% | ||||
East Ohio Gas Co., 2%, 6/15/2030 (n) | $ | 176,000 | $150,842 | |
Total Bonds | $25,710,516 | |||
Investment Companies (h) – 17.6% | ||||
Money Market Funds – 17.6% | ||||
MFS Institutional Money Market Portfolio, 1.72% | 4,546,729 | $4,546,728 | ||
Other Assets, Less Liabilities – (16.9)% | (4,371,900) | |||
Net Assets – 100.0% | $25,885,344 |
4
Portfolio of Investments (unaudited) – continued
(f) | All or a portion of the security has been segregated as collateral for open futures contracts. |
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $4,546,728 and $25,710,516, 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 $4,805,956, representing 18.6% of net assets. |
(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 |
Ready Capital Mortgage Financing LLC, 2022-FL9, FLR, 5.368% (SOFR - 1mo. + 3.111%), 6/25/2037 | 6/23/2022 | $248,008 | $246,095 |
% of Net assets | 1.0% |
The following abbreviations are used in this report and are defined: | |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
LIBOR | London Interbank Offered Rate |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
UMBS | Uniform Mortgage-Backed Security |
Derivative Contracts at 7/31/22 | ||||||
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Note 5 yr | Long | USD | 29 | $3,298,070 | September – 2022 | $57,009 |
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Ultra Note 10 yr | Short | USD | 2 | $262,500 | September – 2022 | $(11,726) |
At July 31, 2022, the fund had liquid securities with an aggregate value of $38,551 to cover any collateral or margin obligations for certain derivative contracts.
See attached supplemental information.
5
Supplemental Information
7/31/22 (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. 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. 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). 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. The following is a summary of the levels used as of July 31, 2022 in valuing the fund's assets and liabilities:
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | $— | $7,699,863 | $— | $7,699,863 |
U.S. Corporate Bonds | — | 5,941,036 | — | 5,941,036 |
Residential Mortgage-Backed Securities | — | 6,512,481 | — | 6,512,481 |
Commercial Mortgage-Backed Securities | — | 1,327,375 | — | 1,327,375 |
Asset-Backed Securities (including CDOs) | — | 2,271,333 | — | 2,271,333 |
Foreign Bonds | — | 1,958,428 | — | 1,958,428 |
Mutual Funds | 4,546,728 | — | — | 4,546,728 |
Total | $4,546,728 | $25,710,516 | $— | $30,257,244 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $57,009 | $— | $— | $57,009 |
Futures Contracts – Liabilities | (11,726) | — | — | (11,726) |
For further information regarding security characteristics, see the Portfolio of Investments.
6
Supplemental Information (unaudited) – continued
(2) Investments in 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 following were 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 | $— | $19,993,146 | $15,446,943 | $73 | $452 | $4,546,728 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $8,865 | $— |
(3) Russia and Ukraine Conflict
The market disruptions, which began in late February 2022, associated with geopolitical events related to the conflict between Russia and Ukraine may adversely affect the value of the fund’s assets and thus the fund’s performance. Management continues to monitor these events and to evaluate the related impacts, if any, to the fund.
7