![](https://capedge.com/proxy/NPORT-P/0001752724-24-067306/img80bba11e1.gif)
Quarterly Report
January 31, 2024
MFS® Core Bond Fund
![](https://capedge.com/proxy/NPORT-P/0001752724-24-067306/imge57af9582.gif)
MCB-Q3
Portfolio of Investments
1/31/24 (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 – 100.1% | ||||
Asset-Backed & Securitized – 15.2% | ||||
ACRES 2021-FL2 Issuer Ltd., “C”, FLR, 8.096% ((SOFR - 1mo. + 0.11448%) + 2.65%), 1/15/2037 (n) | $ | 200,000 | $193,353 | |
Allegro CLO V Ltd., 2017-1A, “BR”, FLR, 7.026% ((SOFR - 3mo. + 0.26161%) + 1.45%), 10/16/2030 (n) | 250,000 | 249,365 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “B”, FLR, 7.048% ((SOFR - 1mo. + 0.11448%) + 1.6%), 8/15/2034 (n) | 200,000 | 193,042 | ||
ARI Fleet Lease Trust, 2023-B, “A2”, 6.05%, 7/15/2032 (n) | 100,000 | 101,058 | ||
BDS 2021-FL10 Ltd., “A”, FLR, 6.519% ((SOFR - 1mo. + 0.11448%) + 1.07%), 6/16/2036 (n) | 117,324 | 116,043 | ||
Benchmark 2023-V3 Mortgage Trust, “A3”, 6.363%, 7/15/2056 | 10,878 | 11,500 | ||
BSPRT 2021-FL6 Issuer Ltd., “C”, FLR, 7.498% ((SOFR - 1mo. + 0.11448%) + 2.05%), 3/15/2036 (n) | 100,000 | 95,793 | ||
Chesapeake Funding II LLC, 2023-1A, “A1”, 5.65%, 5/15/2035 (n) | 81,337 | 81,565 | ||
Commercial Mortgage Pass-Through Certificates, 2023-BNK46, “A4”, 5.745%, 8/15/2056 | 145,414 | 154,841 | ||
Commercial Mortgage Trust, 2015-PC1, “A5”, 3.902%, 7/10/2050 | 250,000 | 244,698 | ||
Consumers 2023 Securitization Funding LLC, 5.55%, 3/01/2028 | 44,000 | 44,177 | ||
Dryden 68 CLO, Ltd., 2019-68A, “BR”, FLR, 7.276% ((SOFR - 3mo. + 0.26161%) + 1.7%), 7/15/2035 (n) | 250,000 | 249,881 | ||
Dryden Senior Loan Fund, 2022-113A, “A1R”, CLO, FLR, 7.045% (SOFR - 3mo. + 1.63%), 10/20/2035 (n) | 250,000 | 250,595 | ||
DT Auto Owner Trust, 2023-1A, “A”, 5.48%, 4/15/2027 (n) | 33,726 | 33,665 | ||
Empire District Bondco LLC, 4.943%, 1/01/2033 | 41,000 | 41,077 | ||
Enterprise Fleet Financing 2023-1 LLC, “A2”, 5.51%, 1/22/2029 (n) | 52,662 | 52,763 | ||
GLS Auto Select Receivables Trust, 2023-1A, “A2”, 6.27%, 8/16/2027 (n) | 53,945 | 54,251 | ||
JPMBB Commercial Mortgage Securities Trust, 2014-C26, “A4”, 3.494%, 1/15/2048 | 75,000 | 73,331 | ||
KREF 2018-FT1 Ltd., “A”, FLR, 6.516% ((SOFR - 1mo. + 0.11448%) + 1.07%), 2/15/2039 (n) | 200,000 | 197,311 | ||
Kubota Credit Owner Trust, 2023-2A, “A2”, 5.61%, 7/15/2026 (n) | 100,000 | 100,234 | ||
LoanCore 2021-CRE5 Ltd., “B”, FLR, 7.448% ((SOFR - 1mo. + 0.11448%) + 2.0%), 7/15/2036 (n) | 100,000 | 96,580 | ||
MF1 2021-FL7 Ltd., “AS”, FLR, 6.899% ((SOFR - 1mo. + 0.11448%) + 1.45%), 10/16/2036 (n) | 250,000 | 243,692 | ||
MF1 2022-FL10 Ltd., “AS”, FLR, 8.524% (SOFR - 1mo. + 3.187%), 9/17/2037 (n) | 250,000 | 250,013 | ||
MF1 2022-FL8 Ltd., “B”, FLR, 7.287% (SOFR - 30 day + 1.95%), 2/19/2037 (n) | 100,000 | 97,766 | ||
MF1 2023-FL12 LLC, FLR, “A”, 7.401% (SOFR - 1mo. + 2.066%), 10/19/2038 (n) | 128,500 | 128,719 | ||
MSWF Commercial Mortgage Trust 2023-2, “A5”, 6.014%, 12/15/2056 | 69,165 | 75,334 | ||
OneMain Financial Issuance Trust 2022-3A, “A”, 5.94%, 5/15/2034 (n) | 89,000 | 89,622 | ||
Palmer Square Loan Funding 2020-2A Ltd., “A1”, FLR, 6.429% ((SOFR - 3mo. + 0.26161%) + 0.8%), 5/20/2029 (n) | 66,240 | 66,250 | ||
Ready Capital Mortgage Financing LLC, 2022-FL9, FLR, 8.447% (SOFR - 1mo. + 3.111%), 6/25/2037 (n) | 250,000 | 249,999 | ||
Toyota Lease Owner Trust, 2023-A, “A2”, 5.3%, 8/20/2025 (n) | 10,825 | 10,814 | ||
Wells Fargo Commercial Mortgage Trust, 2015-C28, “A4”, 3.54%, 5/15/2048 | 250,000 | 242,793 | ||
Wells Fargo Commercial Mortgage Trust, 2015-NXS1, “A5”, 3.148%, 5/15/2048 | 250,000 | 242,246 | ||
Wells Fargo Commercial Mortgage Trust, 2017-RB1, “A5”, 3.635%, 3/15/2050 | 175,000 | 165,327 | ||
Westlake Automobile Receivables Trust, 2022-3A, “A2”, 5.24%, 7/15/2025 (n) | 9,587 | 9,583 | ||
$4,507,281 | ||||
Automotive – 0.8% | ||||
Lear Corp., 3.8%, 9/15/2027 | $ | 68,000 | $65,656 | |
Stellantis Finance US, Inc., 2.691%, 9/15/2031 (n) | 200,000 | 167,527 | ||
$233,183 | ||||
Broadcasting – 0.7% | ||||
Walt Disney Co., 3.5%, 5/13/2040 | $ | 68,000 | $56,436 | |
WarnerMedia Holdings, Inc., 5.141%, 3/15/2052 | 161,000 | 138,391 | ||
$194,827 | ||||
Brokerage & Asset Managers – 1.7% | ||||
Charles Schwab Corp., 5.853% to 5/19/2033, FLR (SOFR - 1 day + 2.5%) to 5/19/2034 | $ | 198,000 | $205,106 | |
Intercontinental Exchange, Inc., 2.1%, 6/15/2030 | 103,000 | 87,933 | ||
LPL Holdings, Inc., 4.625%, 11/15/2027 (n) | 43,000 | 41,405 | ||
LPL Holdings, Inc., 6.75%, 11/17/2028 | 11,000 | 11,565 | ||
LPL Holdings, Inc., 4.375%, 5/15/2031 (n) | 178,000 | 161,800 | ||
$507,809 | ||||
Building – 0.3% | ||||
Masco Corp., 2%, 2/15/2031 | $ | 117,000 | $96,496 |
1
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Business Services – 1.5% | ||||
Equinix, Inc., 1.8%, 7/15/2027 | $ | 83,000 | $75,288 | |
Equinix, Inc., 2.5%, 5/15/2031 | 69,000 | 58,608 | ||
Fiserv, Inc., 2.65%, 6/01/2030 | 88,000 | 77,389 | ||
Global Payments, Inc., 1.2%, 3/01/2026 | 87,000 | 80,373 | ||
Global Payments, Inc., 2.9%, 11/15/2031 | 77,000 | 65,629 | ||
Verisk Analytics, Inc., 5.75%, 4/01/2033 | 70,000 | 74,342 | ||
$431,629 | ||||
Cable TV – 1.0% | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035 | $ | 69,000 | $69,570 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.375%, 5/01/2047 | 98,000 | 82,038 | ||
Cox Communications, Inc., 1.8%, 10/01/2030 (n) | 88,000 | 71,639 | ||
Time Warner Entertainment Co. LP, 8.375%, 7/15/2033 | 58,000 | 66,516 | ||
$289,763 | ||||
Computer Software – 0.3% | ||||
Oracle Corp., 4.9%, 2/06/2033 | $ | 22,000 | $21,773 | |
Roper Technologies, Inc., 2%, 6/30/2030 | 89,000 | 75,582 | ||
$97,355 | ||||
Conglomerates – 0.4% | ||||
Westinghouse Air Brake Technologies Corp., 3.2%, 6/15/2025 | $ | 129,000 | $125,367 | |
Consumer Products – 0.2% | ||||
Kenvue, Inc., 4.9%, 3/22/2033 | $ | 60,000 | $61,204 | |
Consumer Services – 0.5% | ||||
Booking Holdings, Inc., 4.625%, 4/13/2030 | $ | 138,000 | $138,378 | |
Electrical Equipment – 0.4% | ||||
Arrow Electronics, Inc., 2.95%, 2/15/2032 | $ | 147,000 | $124,361 | |
Electronics – 0.6% | ||||
Broadcom, Inc., 4.3%, 11/15/2032 | $ | 63,000 | $59,799 | |
Broadcom, Inc., 4.926%, 5/15/2037 (n) | 108,000 | 104,160 | ||
$163,959 | ||||
Financial Institutions – 1.2% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/2026 | $ | 150,000 | $139,128 | |
Air Lease Corp., 2.875%, 1/15/2032 | 93,000 | 78,530 | ||
Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 79,000 | 76,625 | ||
Avolon Holdings Funding Ltd., 3.25%, 2/15/2027 (n) | 78,000 | 72,438 | ||
$366,721 | ||||
Food & Beverages – 1.1% | ||||
Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038 | $ | 163,000 | $155,024 | |
Diageo Capital PLC, 2.375%, 10/24/2029 | 200,000 | 178,329 | ||
$333,353 | ||||
Gaming & Lodging – 0.8% | ||||
GLP Capital LP/GLP Financing II, Inc., 5.3%, 1/15/2029 | $ | 64,000 | $63,053 | |
Las Vegas Sands Corp., 3.9%, 8/08/2029 | 65,000 | 59,995 | ||
Marriott International, Inc., 4.625%, 6/15/2030 | 108,000 | 106,502 | ||
$229,550 |
2
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Insurance – 0.9% | ||||
Corebridge Financial, Inc., 3.9%, 4/05/2032 | $ | 82,000 | $73,866 | |
Corebridge Financial, Inc., 5.75%, 1/15/2034 | 42,000 | 43,081 | ||
Metropolitan Life Global Funding I, 3.3%, 3/21/2029 (n) | 150,000 | 139,457 | ||
$256,404 | ||||
Insurance - Health – 0.1% | ||||
Humana, Inc., 5.875%, 3/01/2033 | $ | 38,000 | $39,812 | |
Insurance - Property & Casualty – 0.9% | ||||
Aon Corp., 4.5%, 12/15/2028 | $ | 61,000 | $60,420 | |
Aon Corp., 3.75%, 5/02/2029 | 57,000 | 54,670 | ||
Brown & Brown, Inc., 4.2%, 3/17/2032 | 84,000 | 77,649 | ||
Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032 | 85,000 | 85,106 | ||
$277,845 | ||||
Machinery & Tools – 0.9% | ||||
Ashtead Capital, Inc., 5.5%, 8/11/2032 (n) | $ | 200,000 | $198,936 | |
CNH Industrial Capital LLC, 1.875%, 1/15/2026 | 79,000 | 74,389 | ||
$273,325 | ||||
Major Banks – 6.5% | ||||
Bank of America Corp., 2.572% to 10/20/2031, FLR (SOFR - 1 day + 1.21%) to 10/20/2032 | $ | 302,000 | $251,768 | |
Capital One Financial Corp., 3.273% to 3/01/2029, FLR (SOFR - 1 day + 1.79%) to 3/01/2030 | 160,000 | 143,730 | ||
Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027 | 150,000 | 137,256 | ||
Deutsche Bank AG, 6.72% to 1/18/2028, FLR (SOFR - 1 day + 3.18%) to 1/18/2029 | 150,000 | 156,166 | ||
Goldman Sachs Group, Inc., 2.6%, 2/07/2030 | 172,000 | 151,286 | ||
Goldman Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR - 1 day + 1.248%) to 7/21/2032 | 98,000 | 80,806 | ||
JPMorgan Chase & Co., 4.323% to 4/26/2027, FLR (SOFR - 1 day + 1.56%) to 4/26/2028 | 74,000 | 72,806 | ||
JPMorgan Chase & Co., 2.956% to 5/13/2030, FLR (SOFR - 1 day + 2.515%) to 5/13/2031 | 72,000 | 63,547 | ||
JPMorgan Chase & Co., 2.963% to 1/25/2032, FLR (SOFR - 1 day + 1.26%) to 1/25/2033 | 69,000 | 59,376 | ||
JPMorgan Chase & Co., 3.109% to 4/22/2040, FLR (SOFR - 1 day + 2.46%) to 4/22/2041 | 102,000 | 79,623 | ||
JPMorgan Chase & Co., 3.157% to 4/22/2041, FLR (SOFR - 1 day + 1.46%) to 4/22/2042 | 152,000 | 117,932 | ||
Morgan Stanley, 1.512% to 7/20/2026, FLR (SOFR - 1 day + 0.858%) to 7/20/2027 | 131,000 | 120,231 | ||
Morgan Stanley, 2.699% to 1/22/2030, FLR (SOFR - 1 day + 1.143%) to 1/22/2031 | 97,000 | 85,229 | ||
Morgan Stanley, 2.943% to 1/21/2032, FLR (SOFR - 1 day + 1.29%) to 1/21/2033 | 127,000 | 108,381 | ||
UBS Group AG, 2.095% to 2/11/2031, FLR (CMT - 1yr. + 1.0%) to 2/11/2032 (n) | 200,000 | 160,783 | ||
Wells Fargo & Co., 3.35% to 3/02/2032, FLR (SOFR - 1 day + 1.5%) to 3/02/2033 | 162,000 | 142,194 | ||
$1,931,114 | ||||
Medical & Health Technology & Services – 1.1% | ||||
Adventist Health System/West, 5.43%, 3/01/2032 | $ | 75,000 | $76,424 | |
Alcon Finance Corp., 2.6%, 5/27/2030 (n) | 200,000 | 174,988 | ||
CVS Health Corp., 5.3%, 6/01/2033 | 85,000 | 86,128 | ||
$337,540 | ||||
Metals & Mining – 0.9% | ||||
Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | $ | 200,000 | $202,804 | |
Glencore Funding LLC, 2.5%, 9/01/2030 (n) | 87,000 | 75,195 | ||
$277,999 | ||||
Midstream – 1.8% | ||||
DCP Midstream Operating, LP, 3.25%, 2/15/2032 | $ | 167,000 | $144,967 | |
Plains All American Pipeline LP, 3.8%, 9/15/2030 | 174,000 | 160,738 | ||
Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030 | 75,000 | 73,213 | ||
Targa Resources Corp., 6.125%, 3/15/2033 | 138,000 | 144,410 | ||
$523,328 |
3
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – 31.1% | ||||
Fannie Mae, 3%, 8/01/2046 | $ | 31,516 | $28,192 | |
Fannie Mae, UMBS, 2%, 4/01/2037 - 7/01/2052 | 1,038,983 | 857,690 | ||
Fannie Mae, UMBS, 2.5%, 5/01/2037 - 5/01/2052 | 1,519,928 | 1,286,685 | ||
Fannie Mae, UMBS, 5%, 10/01/2037 - 5/01/2053 | 167,463 | 165,448 | ||
Fannie Mae, UMBS, 4.5%, 6/01/2038 - 9/01/2052 | 180,975 | 175,702 | ||
Fannie Mae, UMBS, 5.5%, 10/01/2038 - 11/01/2053 | 119,671 | 120,243 | ||
Fannie Mae, UMBS, 3%, 5/01/2043 - 8/01/2052 | 208,816 | 184,119 | ||
Fannie Mae, UMBS, 3.5%, 7/01/2043 - 3/01/2052 | 114,959 | 106,245 | ||
Fannie Mae, UMBS, 4%, 9/01/2046 - 11/01/2052 | 149,793 | 142,034 | ||
Fannie Mae, UMBS, 1.5%, 6/01/2051 - 10/01/2051 | 140,308 | 107,937 | ||
Fannie Mae, UMBS, 6%, 11/01/2052 - 2/01/2053 | 119,347 | 121,954 | ||
Freddie Mac, UMBS, 2%, 3/01/2037 - 3/01/2052 | 803,619 | 657,211 | ||
Freddie Mac, UMBS, 3%, 4/01/2037 - 6/01/2052 | 501,422 | 445,348 | ||
Freddie Mac, UMBS, 2.5%, 5/01/2037 - 6/01/2052 | 229,871 | 193,487 | ||
Freddie Mac, UMBS, 4.5%, 6/01/2038 - 10/01/2052 | 161,820 | 157,077 | ||
Freddie Mac, UMBS, 3.5%, 1/01/2041 - 10/01/2052 | 331,624 | 304,775 | ||
Freddie Mac, UMBS, 1.5%, 3/01/2051 | 40,277 | 31,100 | ||
Freddie Mac, UMBS, 4%, 7/01/2052 - 1/01/2053 | 327,825 | 308,609 | ||
Freddie Mac, UMBS, 5.5%, 4/01/2053 - 6/01/2053 | 246,368 | 247,761 | ||
Freddie Mac, UMBS, 5%, 6/01/2053 - 11/01/2053 | 149,392 | 147,450 | ||
Freddie Mac, UMBS, 6.5%, 8/01/2053 | 24,981 | 25,570 | ||
Ginnie Mae, 4.5%, 10/20/2033 - 5/20/2053 | 378,747 | 369,132 | ||
Ginnie Mae, 5.551%, 9/20/2041 | 32,728 | 32,126 | ||
Ginnie Mae, 3%, 1/20/2051 - 11/20/2052 | 348,480 | 311,540 | ||
Ginnie Mae, 2%, 3/20/2052 - 6/20/2052 | 338,886 | 282,083 | ||
Ginnie Mae, 2.5%, 4/20/2052 | 425,711 | 368,142 | ||
Ginnie Mae, 3.5%, 6/20/2052 - 9/20/2052 | 270,285 | 249,244 | ||
Ginnie Mae, 4%, 7/20/2052 - 10/20/2052 | 141,136 | 134,033 | ||
Ginnie Mae, 5%, 1/20/2053 - 5/20/2053 | 315,795 | 313,725 | ||
Ginnie Mae, 5.5%, 2/20/2053 - 6/20/2053 | 266,858 | 268,668 | ||
Ginnie Mae, TBA, 6%, 2/20/2054 | 50,000 | 50,763 | ||
Ginnie Mae, TBA, 6.5%, 2/20/2054 - 3/20/2054 | 50,000 | 51,080 | ||
UMBS, TBA, 2%, 2/25/2039 - 3/25/2039 | 275,000 | 247,036 | ||
UMBS, TBA, 2.5%, 2/25/2039 - 3/25/2054 | 225,000 | 199,292 | ||
UMBS, TBA, 5%, 3/18/2039 | 50,000 | 50,150 | ||
UMBS, TBA, 3%, 2/25/2054 | 275,000 | 240,668 | ||
UMBS, TBA, 3.5%, 2/25/2054 - 3/25/2054 | 175,000 | 159,299 | ||
UMBS, TBA, 5.5%, 2/25/2054 | 50,000 | 50,142 | ||
$9,191,760 | ||||
Municipals – 0.3% | ||||
Rhode Island Student Loan Authority Education Loan Rev., Taxable, 6.081%, 12/01/2042 | $ | 95,000 | $97,127 | |
Natural Gas - Distribution – 0.3% | ||||
NiSource, Inc., 5.65%, 2/01/2045 | $ | 73,000 | $73,249 | |
Network & Telecom – 0.2% | ||||
Verizon Communications, Inc., 2.55%, 3/21/2031 | $ | 57,000 | $48,998 | |
Oils – 0.3% | ||||
Marathon Petroleum Corp., 4.75%, 9/15/2044 | $ | 83,000 | $74,926 | |
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 | $137,992 | |
Pollution Control – 0.6% | ||||
Waste Management, Inc., 4.875%, 2/15/2034 | $ | 179,000 | $180,206 |
4
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Retailers – 0.5% | ||||
Alimentation Couche-Tard, Inc., 2.95%, 1/25/2030 (n) | $ | 62,000 | $55,680 | |
Alimentation Couche-Tard, Inc., 3.439%, 5/13/2041 (n) | 117,000 | 88,228 | ||
$143,908 | ||||
Specialty Stores – 0.3% | ||||
Genuine Parts Co., 2.75%, 2/01/2032 | $ | 115,000 | $96,547 | |
Telecommunications - Wireless – 1.2% | ||||
Crown Castle, Inc., REIT, 3.65%, 9/01/2027 | $ | 79,000 | $75,213 | |
Rogers Communications, Inc., 3.8%, 3/15/2032 | 146,000 | 132,800 | ||
T-Mobile USA, Inc., 2.05%, 2/15/2028 | 69,000 | 62,256 | ||
T-Mobile USA, Inc., 4.5%, 4/15/2050 | 83,000 | 72,669 | ||
Vodafone Group PLC, 5.625%, 2/10/2053 | 22,000 | 22,163 | ||
$365,101 | ||||
Tobacco – 1.0% | ||||
B.A.T. International Finance PLC, 4.448%, 3/16/2028 | $ | 158,000 | $154,546 | |
Philip Morris International, Inc., 5.125%, 11/17/2027 | 25,000 | 25,409 | ||
Philip Morris International, Inc., 5.625%, 11/17/2029 | 11,000 | 11,480 | ||
Philip Morris International, Inc., 5.125%, 2/15/2030 | 52,000 | 52,857 | ||
Philip Morris International, Inc., 5.75%, 11/17/2032 | 48,000 | 50,239 | ||
$294,531 | ||||
Transportation - Services – 0.1% | ||||
ERAC USA Finance LLC, 7%, 10/15/2037 (n) | $ | 36,000 | $42,059 | |
U.S. Treasury Obligations – 21.9% | ||||
U.S. Treasury Bonds, 2.375%, 2/15/2042 | $ | 1,288,000 | $974,654 | |
U.S. Treasury Bonds, 4%, 11/15/2042 | 437,000 | 419,503 | ||
U.S. Treasury Bonds, 4.375%, 8/15/2043 | 150,000 | 151,078 | ||
U.S. Treasury Bonds, 2.25%, 2/15/2052 (f) | 1,800,000 | 1,208,180 | ||
U.S. Treasury Bonds, 4%, 11/15/2052 | 383,000 | 367,979 | ||
U.S. Treasury Notes, 3.875%, 3/31/2025 | 420,000 | 416,505 | ||
U.S. Treasury Notes, 4.75%, 7/31/2025 | 2,250,000 | 2,260,547 | ||
U.S. Treasury Notes, 5%, 8/31/2025 | 400,000 | 403,703 | ||
U.S. Treasury Notes, 4.25%, 12/31/2025 | 200,000 | 200,016 | ||
U.S. Treasury Notes, 4.375%, 8/31/2028 | 67,000 | 68,353 | ||
$6,470,518 | ||||
Utilities - Electric Power – 1.5% | ||||
American Electric Power Co., Inc., 5.95%, 11/01/2032 | $ | 43,000 | $45,362 | |
Duke Energy Carolinas LLC, 4.95%, 1/15/2033 | 118,000 | 118,904 | ||
Duke Energy Progress LLC, 3.45%, 3/15/2029 | 118,000 | 112,248 | ||
Pacific Gas & Electric Co., 2.1%, 8/01/2027 | 82,000 | 74,193 | ||
Pacific Gas & Electric Co., 3%, 6/15/2028 | 108,000 | 99,091 | ||
$449,798 | ||||
Utilities - Gas – 0.5% | ||||
East Ohio Gas Co., 2%, 6/15/2030 (n) | $ | 176,000 | $147,166 | |
Total Bonds | $29,632,489 | |||
Investment Companies (h) – 3.5% | ||||
Money Market Funds – 3.5% | ||||
MFS Institutional Money Market Portfolio, 5.4% (v) | 1,025,266 | $1,025,369 | ||
Other Assets, Less Liabilities – (3.6)% | (1,061,444) | |||
Net Assets – 100.0% | $29,596,414 |
5
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 $1,025,369 and $29,632,489, 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 $5,330,839, representing 18.0% 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. |
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. |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
UMBS | Uniform Mortgage-Backed Security |
Derivative Contracts at 1/31/24 | ||||||
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Note 2 yr | Long | USD | 2 | $411,312 | March – 2024 | $3,710 |
U.S. Treasury Note 5 yr | Long | USD | 25 | 2,709,766 | March – 2024 | 52,903 |
U.S. Treasury Ultra Bond 30 yr | Long | USD | 1 | 129,219 | March – 2024 | 8,401 |
$65,014 | ||||||
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Ultra Note 10 yr | Short | USD | 4 | $467,500 | March – 2024 | $(16,580) |
At January 31, 2024, the fund had liquid securities with an aggregate value of $40,273 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.
6
Supplemental Information
1/31/24 (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
Subject to its oversight, the fund's Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments to MFS as the fund's adviser, pursuant to the fund’s valuation policy and procedures which have been adopted by the adviser and approved by the Board. In accordance with Rule 2a-5 under the Investment Company Act of 1940, the Board of Trustees designated the adviser as the “valuation designee” of the fund. If the adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued at fair value as determined in good faith by the adviser in accordance with the adviser’s fair valuation policy and procedures.
Under the fund's valuation policy and procedures, 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. 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.
Under the fund’s valuation policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser’s fair valuation policy and procedures. 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, spreads and other market data. An investment may also be valued at fair value if the adviser determines that the 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 significant 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 January 31, 2024 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 | $— | $6,470,518 | $— | $6,470,518 |
Municipal Bonds | — | 97,127 | — | 97,127 |
U.S. Corporate Bonds | — | 6,961,616 | — | 6,961,616 |
Residential Mortgage-Backed Securities | — | 9,191,760 | — | 9,191,760 |
Commercial Mortgage-Backed Securities | — | 1,556,649 | — | 1,556,649 |
Asset-Backed Securities (including CDOs) | — | 2,950,632 | — | 2,950,632 |
Foreign Bonds | — | 2,404,187 | — | 2,404,187 |
Mutual Funds | 1,025,369 | — | — | 1,025,369 |
Total | $1,025,369 | $29,632,489 | $— | $30,657,858 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $65,014 | $— | $— | $65,014 |
Futures Contracts – Liabilities | (16,580) | — | — | (16,580) |
7
Supplemental Information (unaudited) – continued
For further information regarding security characteristics, see the Portfolio of Investments.
(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 | $1,202,650 | $6,242,837 | $6,419,898 | $(44) | $(176) | $1,025,369 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $33,306 | $— |
8