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Quarterly Report
November 30, 2023
MFS® Government
Securities Fund
Securities Fund
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MFG-Q3
Portfolio of Investments
11/30/23 (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 – 94.3% | ||||
Asset-Backed & Securitized – 7.8% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.131%, 11/15/2054 (i) | $ | 21,817,750 | $1,071,426 | |
ACREC 2021-FL1 Ltd., “AS”, FLR, 6.944% ((SOFR - 1mo. + 0.11448%) + 1.5%), 10/16/2036 (n) | 7,778,000 | 7,547,233 | ||
ACREC 2023-FL2 LLC, “A”, FLR, 7.553% (SOFR - 1mo. + 2.23%), 2/19/2038 (n) | 4,824,645 | 4,814,808 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “A”, FLR, 6.407% ((SOFR - 1mo. + 0.11448%) + 0.97%), 12/15/2035 (n) | 4,434,272 | 4,386,488 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 6.937% ((SOFR - 1mo. + 0.11448%) + 1.5%), 12/15/2035 (n) | 3,901,000 | 3,788,121 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “AS”, FLR, 6.837% ((SOFR - 1mo. + 0.11448%) + 1.4%), 8/15/2034 (n) | 6,638,000 | 6,441,343 | ||
AREIT 2022-CRE6 Trust, “AS”, FLR, 6.975% (SOFR - 30 day + 1.65%), 1/20/2037 (n) | 7,155,500 | 6,973,385 | ||
ARI Fleet Lease Trust, 2023-B, “A2”, 6.05%, 7/15/2032 (n) | 1,897,116 | 1,904,700 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.41%, 7/15/2054 (i) | 21,080,402 | 1,307,086 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.734%, 2/15/2054 (i) | 13,739,575 | 1,117,246 | ||
BBCMS Mortgage Trust, 2022-C18, “AS”, 6.347%, 12/15/2055 | 2,688,397 | 2,698,745 | ||
BBCMS Mortgage Trust, 2022-C18, “XA”, 0.638%, 12/15/2055 (i) | 23,044,251 | 832,669 | ||
Benchmark 2021-B23 Mortgage Trust, “XA”, 1.374%, 2/15/2054 (i) | 43,681,707 | 2,644,840 | ||
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.264%, 3/15/2054 (i) | 26,285,061 | 1,400,381 | ||
Benchmark 2021-B26 Mortgage Trust, “XA”, 0.996%, 6/15/2054 (i) | 38,128,953 | 1,677,548 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.377%, 7/15/2054 (i) | 33,557,637 | 2,066,832 | ||
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.386%, 8/15/2054 (i) | 40,032,754 | 2,627,169 | ||
Benchmark 2021-B29 Mortgage Trust, “XA”, 1.144%, 9/15/2054 (i) | 45,231,326 | 2,271,612 | ||
Benchmark 2023-V3 Mortgage Trust, “A3”, 6.363%, 7/15/2056 | 1,091,016 | 1,116,419 | ||
Bridgecrest Lending Auto Securitization Trust, 2023-1, “A2”, 6.34%, 7/15/2026 | 1,499,000 | 1,499,178 | ||
BSPDF 2021-FL1 Issuer Ltd., “A”, FLR, 6.637% ((SOFR - 1mo. + 0.11448%) + 1.2%), 10/15/2036 (n) | 3,711,898 | 3,659,872 | ||
BSPDF 2021-FL1 Issuer Ltd., “AS”, FLR, 6.917% ((SOFR - 1mo. + 0.11448%) + 1.48%), 10/15/2036 (n) | 4,700,500 | 4,498,618 | ||
BXMT 2021-FL4 Ltd., “AS”, FLR, 6.744% ((SOFR - 1mo. + 0.11448%) + 1.3%), 5/15/2038 (n) | 7,779,500 | 7,172,138 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 1,244,080 | 1,183,515 | ||
Chesapeake Funding II LLC, 2023-2A, “A2”, FLR, 6.424% (SOFR - 1mo. + 1.1%), 10/15/2035 (n) | 3,757,927 | 3,755,151 | ||
Citigroup Commercial Mortgage Trust, 2019-XA, “C7”, 0.987%, 12/15/2072 (i)(n) | 23,194,327 | 896,602 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.423%, 2/15/2054 (i) | 33,375,848 | 2,253,327 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.883%, 4/15/2054 (i) | 18,982,505 | 730,377 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.146%, 6/15/2064 (i) | 13,281,121 | 716,311 | ||
CPS Auto Trust, 2019-D, “E”, 3.86%, 10/15/2025 (n) | 4,585,283 | 4,549,094 | ||
Dell Equipment Finance Trust, 2023-1, “A2”, 5.65%, 9/22/2028 (n) | 5,094,000 | 5,082,856 | ||
Dell Equipment Finance Trust, 2023-3, “A2”, 6.1%, 4/23/2029 (n) | 3,383,000 | 3,391,507 | ||
DT Auto Owner Trust, 2023-1A, “A”, 5.48%, 4/15/2027 (n) | 1,775,996 | 1,770,628 | ||
DT Auto Owner Trust, 2023-2A, “A”, 5.88%, 4/15/2027 (n) | 5,434,694 | 5,430,125 | ||
Exeter Automobile Receivables Trust 23-3A, “A2”, 6.11%, 9/15/2025 | 1,127,435 | 1,127,593 | ||
Flagship Credit Auto Trust, 2019-3, “D”, 2.86%, 12/15/2025 (n) | 1,715,244 | 1,693,326 | ||
GLS Auto Select Receivables Trust, 2023-2A, 6.37%, 6/15/2028 (n) | 3,121,000 | 3,131,827 | ||
KREF 2018-FT1 Ltd., “AS”, FLR, 6.744% ((SOFR - 1mo. + 0.11448%) + 1.3%), 2/15/2039 (n) | 759,000 | 711,234 | ||
LAD Auto Receivables Trust, 2022-1A, “A”, 5.21%, 6/15/2027 (n) | 728,676 | 724,433 | ||
LAD Auto Receivables Trust, 2023-1A, “A2”, 5.68%, 10/15/2026 (n) | 920,843 | 918,754 | ||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 7.187% ((SOFR - 1mo. + 0.11448%) + 1.75%), 7/15/2036 (n) | 6,508,500 | 6,369,096 | ||
LoanCore 2021-CRE6 Ltd., “AS”, FLR, 7.087% ((SOFR - 1mo. + 0.11448%) + 1.65%), 11/15/2038 (n) | 10,000,000 | 9,735,680 | ||
MF1 2021-FL5 Ltd., “AS”, FLR, 6.644% ((SOFR - 1mo. + 0.11448%) + 1.2%), 7/15/2036 (n) | 3,875,500 | 3,789,476 | ||
MF1 2021-FL5 Ltd., “B”, FLR, 6.894% ((SOFR - 1mo. + 0.11448%) + 1.45%), 7/15/2036 (n) | 4,881,500 | 4,752,981 | ||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 0.981%, 12/15/2051 (i) | 22,676,710 | 743,290 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.414%, 5/15/2054 (i) | 16,740,086 | 1,023,946 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.325%, 6/15/2054 (i) | 20,359,979 | 1,128,818 | ||
Morgan Stanley Capital I Trust, 2021-L7, “XA”, 1.208%, 10/15/2054 (i) | 80,435,308 | 4,259,717 | ||
Navistar Financial Dealer Note Master Owner Trust, 2023-1, “A”, 6.18%, 8/25/2028 (n) | 1,299,000 | 1,302,185 | ||
Navistar Financial Dealer Note Master Owner Trust, 2023-1, “B”, 6.48%, 8/25/2028 (n) | 1,379,000 | 1,382,667 | ||
Nissan Auto Receivables Owner Trust, 2023-A, 5.424%, 5/15/2024 | 251,174 | 251,151 | ||
PFP III 2021-7 Ltd., “AS”, FLR, 6.594% ((SOFR - 1mo. + 0.114%) + 1.15%), 4/14/2038 (n) | 4,423,186 | 4,368,175 | ||
PFS Financing Corp., 2023-C, “B”, 5.91%, 10/15/2028 (n) | 1,302,000 | 1,291,811 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “A”, FLR, 6.657% ((SOFR - 1mo. + 0.11448%) + 1.2%), 11/25/2036 (z) | 2,952,884 | 2,915,534 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “AS”, FLR, 6.957% ((SOFR - 1mo. + 0.11448%) + 1.5%), 11/25/2036 (z) | 1,261,500 | 1,229,733 | ||
Toyota Lease Owner Trust, 2023-A, “A2”, 5.3%, 8/20/2025 (n) | 2,392,064 | 2,385,362 |
1
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Wells Fargo Commercial Mortgage Trust, 2018-C48, “XA”, 1.105%, 1/15/2052 (i)(n) | $ | 12,612,112 | $456,189 | |
Wells Fargo Commercial Mortgage Trust, 2021-C60, “XA”, 1.651%, 8/15/2054 (i) | 20,568,619 | 1,552,472 | ||
Westlake Automobile Receivables Trust, 2023-1A, “A2B”, FLR, 6.174% (SOFR - 1mo. + 0.85%), 6/15/2026 (n) | 747,094 | 747,287 | ||
World Omni Select Auto Trust 2023-A, “A2B”, FLR, 6.174% (SOFR - 1mo. + 0.85%), 3/15/2027 | 5,532,890 | 5,535,428 | ||
$166,805,515 | ||||
Consumer Services – 0.1% | ||||
Conservation Fund, 3.474%, 12/15/2029 | $ | 2,018,000 | $1,736,359 | |
Industrial – 0.0% | ||||
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | $ | 688,000 | $648,658 | |
Medical & Health Technology & Services – 0.2% | ||||
ProMedica Toledo Hospital, “B”, AGM, 5.325%, 11/15/2028 | $ | 2,799,000 | $2,734,721 | |
ProMedica Toledo Hospital, “B”, AGM, 5.75%, 11/15/2038 | 1,992,000 | 1,945,668 | ||
$4,680,389 | ||||
Mortgage-Backed – 54.3% | ||||
Fannie Mae, 5%, 3/01/2024 - 3/01/2042 | $ | 6,753,510 | $6,718,182 | |
Fannie Mae, 4.5%, 5/01/2025 - 6/01/2044 | 16,744,804 | 16,162,257 | ||
Fannie Mae, 3%, 11/01/2028 - 5/25/2053 | 38,176,629 | 34,552,576 | ||
Fannie Mae, 2.5%, 11/01/2031 - 10/01/2046 | 5,486,555 | 4,915,552 | ||
Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | 1,192,131 | 105,810 | ||
Fannie Mae, 6.5%, 1/01/2032 - 10/01/2037 | 593,033 | 613,960 | ||
Fannie Mae, 6%, 1/01/2033 - 12/01/2037 | 1,514,655 | 1,554,604 | ||
Fannie Mae, 2%, 1/25/2033 - 4/25/2046 | 2,654,928 | 2,411,572 | ||
Fannie Mae, 3%, 2/25/2033 (i) | 1,307,849 | 110,379 | ||
Fannie Mae, 5.5%, 5/01/2033 - 5/01/2044 | 7,269,010 | 7,377,083 | ||
Fannie Mae, 3.554%, 6/25/2033 | 3,744,028 | 3,540,129 | ||
Fannie Mae, 3.5%, 8/15/2033 - 6/25/2048 | 41,153,880 | 37,389,726 | ||
Fannie Mae, 5.893%, 4/25/2034 | 462,343 | 461,288 | ||
Fannie Mae, 5.733%, 1/25/2036 | 419,895 | 418,882 | ||
Fannie Mae, 5.889%, 5/15/2036 | 1,241,789 | 1,205,555 | ||
Fannie Mae, 5.843%, 4/25/2037 | 185,683 | 179,790 | ||
Fannie Mae, 4%, 9/01/2040 - 7/01/2047 | 36,105,063 | 33,835,496 | ||
Fannie Mae, 2.25%, 4/25/2041 - 7/25/2043 | 3,568,690 | 3,133,391 | ||
Fannie Mae, 1.75%, 9/25/2041 - 10/25/2041 | 4,022,620 | 3,672,083 | ||
Fannie Mae, 2.75%, 9/25/2042 | 1,297,351 | 1,193,795 | ||
Fannie Mae, 5.793%, 12/25/2042 - 3/25/2046 | 503,397 | 489,076 | ||
Fannie Mae, 5.693%, 9/25/2045 | 213,666 | 207,773 | ||
Fannie Mae, 5.743%, 12/25/2045 | 412,246 | 396,215 | ||
Fannie Mae, UMBS, 2.5%, 5/01/2036 - 8/01/2052 | 178,001,872 | 145,733,014 | ||
Fannie Mae, UMBS, 2%, 10/01/2036 - 5/01/2052 | 170,625,876 | 135,213,923 | ||
Fannie Mae, UMBS, 5.5%, 10/01/2038 - 11/01/2053 | 25,244,434 | 24,919,312 | ||
Fannie Mae, UMBS, 1.5%, 2/01/2042 - 3/01/2051 | 1,523,663 | 1,151,215 | ||
Fannie Mae, UMBS, 3.5%, 5/01/2049 - 4/01/2053 | 17,615,006 | 15,489,649 | ||
Fannie Mae, UMBS, 3%, 6/01/2051 - 11/01/2052 | 40,484,100 | 34,356,685 | ||
Fannie Mae, UMBS, 4%, 8/01/2051 - 8/01/2053 | 7,771,416 | 7,132,571 | ||
Fannie Mae, UMBS, 4.5%, 9/01/2052 | 2,156,043 | 2,033,559 | ||
Fannie Mae, UMBS, 5%, 9/01/2052 - 11/01/2053 | 14,430,367 | 13,891,055 | ||
Fannie Mae, UMBS, 6%, 2/01/2053 - 11/01/2053 | 22,050,641 | 22,164,509 | ||
Freddie Mac, 1.048%, 4/25/2024 (i) | 32,419,331 | 51,819 | ||
Freddie Mac, 0.729%, 7/25/2024 (i) | 41,309,634 | 99,618 | ||
Freddie Mac, 3.303%, 7/25/2024 | 4,500,335 | 4,439,533 | ||
Freddie Mac, 3.064%, 8/25/2024 | 5,182,908 | 5,088,606 | ||
Freddie Mac, 4.5%, 9/01/2024 - 5/01/2042 | 6,352,672 | 6,011,728 | ||
Freddie Mac, 2.67%, 12/25/2024 | 10,948,000 | 10,651,683 | ||
Freddie Mac, 3.062%, 12/25/2024 | 320,882 | 313,012 | ||
Freddie Mac, 2.811%, 1/25/2025 | 7,310,969 | 7,102,355 |
2
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Freddie Mac, 4%, 7/01/2025 - 4/01/2044 | $ | 3,945,796 | $3,704,268 | |
Freddie Mac, 3.5%, 11/15/2025 - 10/25/2058 | 29,870,242 | 27,239,189 | ||
Freddie Mac, 1.48%, 3/25/2027 (i) | 5,583,000 | 222,337 | ||
Freddie Mac, 0.705%, 7/25/2027 (i) | 102,674,011 | 1,777,472 | ||
Freddie Mac, 0.55%, 8/25/2027 (i) | 80,238,942 | 1,084,108 | ||
Freddie Mac, 0.431%, 1/25/2028 (i) | 141,761,838 | 1,601,370 | ||
Freddie Mac, 0.436%, 1/25/2028 (i) | 60,868,809 | 709,529 | ||
Freddie Mac, 0.27%, 2/25/2028 (i) | 173,129,291 | 1,012,200 | ||
Freddie Mac, 0.263%, 4/25/2028 (i) | 111,993,572 | 632,282 | ||
Freddie Mac, 3%, 6/15/2028 - 2/25/2059 | 22,706,559 | 20,015,722 | ||
Freddie Mac, 1.22%, 7/25/2029 (i) | 19,275,968 | 955,504 | ||
Freddie Mac, 1.266%, 8/25/2029 (i) | 33,606,424 | 1,757,139 | ||
Freddie Mac, 1.915%, 4/25/2030 (i) | 14,430,646 | 1,371,294 | ||
Freddie Mac, 1.985%, 4/25/2030 (i) | 20,077,463 | 1,931,187 | ||
Freddie Mac, 1.769%, 5/25/2030 (i) | 12,033,779 | 1,064,287 | ||
Freddie Mac, 1.906%, 5/25/2030 (i) | 26,880,424 | 2,535,200 | ||
Freddie Mac, 5.5%, 6/01/2030 - 9/01/2041 | 3,249,401 | 3,295,585 | ||
Freddie Mac, 1.435%, 6/25/2030 (i) | 11,124,134 | 807,755 | ||
Freddie Mac, 1.704%, 8/25/2030 (i) | 10,235,210 | 897,045 | ||
Freddie Mac, 1.263%, 9/25/2030 (i) | 6,568,138 | 428,124 | ||
Freddie Mac, 1.172%, 11/25/2030 (i) | 13,158,725 | 805,968 | ||
Freddie Mac, 0.419%, 1/25/2031 (i) | 50,097,271 | 884,828 | ||
Freddie Mac, 0.872%, 1/25/2031 (i) | 19,512,958 | 893,110 | ||
Freddie Mac, 1.026%, 1/25/2031 (i) | 14,681,587 | 797,426 | ||
Freddie Mac, 0.611%, 3/25/2031 (i) | 40,223,992 | 1,167,867 | ||
Freddie Mac, 0.828%, 3/25/2031 (i) | 17,260,719 | 766,181 | ||
Freddie Mac, 1.325%, 5/25/2031 (i) | 7,120,528 | 518,116 | ||
Freddie Mac, 1.039%, 7/25/2031 (i) | 11,674,001 | 676,985 | ||
Freddie Mac, 0.608%, 8/25/2031 (i) | 14,898,221 | 465,794 | ||
Freddie Mac, 0.632%, 9/25/2031 (i) | 50,149,699 | 1,742,652 | ||
Freddie Mac, 0.955%, 9/25/2031 (i) | 48,419,608 | 2,552,716 | ||
Freddie Mac, 0.441%, 11/25/2031 (i) | 73,361,326 | 1,702,328 | ||
Freddie Mac, 0.596%, 12/25/2031 (i) | 73,957,916 | 2,366,616 | ||
Freddie Mac, 0.665%, 12/25/2031 (i) | 12,187,459 | 436,329 | ||
Freddie Mac, 0.299%, 8/25/2033 (i) | 78,666,400 | 1,134,039 | ||
Freddie Mac, 5%, 5/01/2034 - 12/01/2044 | 7,292,616 | 7,251,447 | ||
Freddie Mac, 6%, 8/01/2034 - 10/01/2038 | 946,415 | 976,520 | ||
Freddie Mac, 5.5%, 2/15/2036 (i) | 330,915 | 51,226 | ||
Freddie Mac, 6.5%, 5/01/2037 | 121,549 | 127,420 | ||
Freddie Mac, 4.5%, 12/15/2040 (i) | 82,009 | 6,606 | ||
Freddie Mac, 1.75%, 8/15/2041 | 1,047,276 | 953,256 | ||
Freddie Mac, 3.25%, 11/25/2061 | 12,888,969 | 11,035,993 | ||
Freddie Mac Multi-Family Structured Pass-Through Certificates, 0.612%, 10/25/2028 (i) | 39,466,585 | 788,811 | ||
Freddie Mac Multi-Family Structured Pass-Through Certificates K-511, “A2”, 4.86%, 10/25/2028 | 3,367,040 | 3,357,740 | ||
Freddie Mac, UMBS, 2.5%, 3/01/2037 - 9/01/2052 | 44,304,964 | 36,260,243 | ||
Freddie Mac, UMBS, 2%, 4/01/2037 - 3/01/2052 | 70,778,689 | 57,816,267 | ||
Freddie Mac, UMBS, 4.5%, 6/01/2038 - 7/01/2038 | 5,164,356 | 5,035,301 | ||
Freddie Mac, UMBS, 3.5%, 12/01/2046 - 11/01/2052 | 7,475,815 | 6,610,097 | ||
Freddie Mac, UMBS, 3%, 2/01/2050 - 10/01/2052 | 41,543,838 | 35,137,046 | ||
Freddie Mac, UMBS, 1.5%, 4/01/2051 - 11/01/2051 | 10,171,255 | 7,513,802 | ||
Freddie Mac, UMBS, 4%, 5/01/2052 | 4,505,670 | 4,126,029 | ||
Freddie Mac, UMBS, 5%, 11/01/2052 - 4/01/2053 | 5,728,586 | 5,514,152 | ||
Freddie Mac, UMBS, 5.5%, 12/01/2052 - 9/01/2053 | 20,177,194 | 19,907,352 | ||
Freddie Mac, UMBS, 6%, 2/01/2053 - 10/01/2053 | 10,537,998 | 10,571,013 | ||
Ginnie Mae, 5.5%, 3/15/2033 - 6/20/2053 | 23,841,413 | 23,709,844 | ||
Ginnie Mae, 4.5%, 7/20/2033 - 10/20/2052 | 32,620,375 | 31,011,520 | ||
Ginnie Mae, 5.676%, 8/20/2034 | 1,067,858 | 1,079,755 | ||
Ginnie Mae, 5.694%, 4/16/2037 | 179,892 | 175,555 | ||
Ginnie Mae, 6.346%, 8/20/2038 | 187,904 | 188,407 |
3
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Ginnie Mae, 4%, 5/16/2039 - 7/20/2053 | $ | 13,387,734 | $12,397,835 | |
Ginnie Mae, 6.244%, 9/16/2039 | 286,844 | 286,416 | ||
Ginnie Mae, 5.896%, 10/20/2039 | 827,510 | 815,261 | ||
Ginnie Mae, 6.196%, 10/20/2039 | 274,961 | 274,860 | ||
Ginnie Mae, 3.5%, 10/20/2041 (i) | 352,946 | 12,426 | ||
Ginnie Mae, 3.5%, 12/15/2041 - 10/20/2052 | 34,213,973 | 30,717,304 | ||
Ginnie Mae, 2.5%, 6/20/2042 - 4/20/2052 | 42,973,841 | 35,885,676 | ||
Ginnie Mae, 4%, 8/16/2042 (i) | 625,404 | 90,438 | ||
Ginnie Mae, 3%, 2/20/2043 - 10/20/2052 | 43,358,979 | 37,671,112 | ||
Ginnie Mae, 2.25%, 9/20/2043 | 595,302 | 564,509 | ||
Ginnie Mae, 2%, 1/20/2052 - 3/20/2052 | 30,628,095 | 24,708,384 | ||
Ginnie Mae, 5%, 3/20/2052 - 9/20/2053 | 25,918,973 | 25,184,602 | ||
Ginnie Mae, 0.584%, 2/16/2059 (i) | 2,493,648 | 84,524 | ||
Ginnie Mae, TBA, 2%, 12/15/2053 | 13,025,000 | 10,508,529 | ||
Ginnie Mae, TBA, 6.5%, 12/15/2053 - 1/15/2054 | 15,200,000 | 15,452,250 | ||
UMBS, TBA, 5%, 12/25/2038 | 3,550,000 | 3,511,499 | ||
UMBS, TBA, 6%, 12/25/2053 | 16,025,000 | 16,069,493 | ||
$1,169,882,092 | ||||
Municipals – 0.5% | ||||
Chicago, IL, Transit Authority Sales Tax Receipts Refunding Rev., Taxable, “B”, 2.064%, 12/01/2024 | $ | 985,000 | $952,201 | |
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 3%, 6/01/2046 | 3,700,000 | 3,321,708 | ||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, “A”, 2.682%, 7/01/2027 | 2,165,000 | 1,984,678 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 585,329 | 553,761 | ||
Port of Oakland, CA, Senior Lien Refunding Rev., Taxable, “R”, 1.517%, 5/01/2026 | 1,680,000 | 1,543,182 | ||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.497%, 6/01/2024 | 1,900,000 | 1,859,831 | ||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.647%, 6/01/2025 | 1,550,000 | 1,458,766 | ||
$11,674,127 | ||||
U.S. Government Agencies and Equivalents – 0.2% | ||||
Small Business Administration, 4.89%, 12/01/2023 | $ | 20,664 | $20,663 | |
Small Business Administration, 4.77%, 4/01/2024 | 16,942 | 16,832 | ||
Small Business Administration, 5.52%, 6/01/2024 | 6,799 | 6,787 | ||
Small Business Administration, 4.99%, 9/01/2024 | 25,395 | 25,161 | ||
Small Business Administration, 4.86%, 10/01/2024 | 16,659 | 16,487 | ||
Small Business Administration, 4.86%, 1/01/2025 | 49,904 | 49,366 | ||
Small Business Administration, 5.11%, 4/01/2025 | 31,317 | 30,868 | ||
Small Business Administration, 2.21%, 2/01/2033 | 630,031 | 571,174 | ||
Small Business Administration, 2.22%, 3/01/2033 | 985,817 | 891,600 | ||
Small Business Administration, 3.15%, 7/01/2033 | 954,198 | 890,180 | ||
Small Business Administration, 3.16%, 8/01/2033 | 398,855 | 371,566 | ||
Small Business Administration, 3.62%, 9/01/2033 | 371,379 | 351,352 | ||
$3,242,036 | ||||
U.S. Treasury Obligations – 31.2% | ||||
U.S. Treasury Bonds, 6%, 2/15/2026 | $ | 5,933,000 | $6,096,853 | |
U.S. Treasury Bonds, 6.75%, 8/15/2026 | 981,000 | 1,035,951 | ||
U.S. Treasury Bonds, 6.375%, 8/15/2027 | 2,309,000 | 2,460,077 | ||
U.S. Treasury Bonds, 4.375%, 2/15/2038 | 2,078,000 | 2,058,762 | ||
U.S. Treasury Bonds, 4.5%, 8/15/2039 | 11,926,300 | 11,817,752 | ||
U.S. Treasury Bonds, 3.125%, 2/15/2043 | 9,748,800 | 7,771,241 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2043 | 27,528,200 | 21,031,115 | ||
U.S. Treasury Bonds, 2.5%, 2/15/2045 | 97,983,000 | 68,722,061 | ||
U.S. Treasury Notes, 2.25%, 3/31/2024 | 2,613,000 | 2,586,360 | ||
U.S. Treasury Notes, 3.875%, 3/31/2025 | 22,442,000 | 22,114,136 | ||
U.S. Treasury Notes, 3.875%, 4/30/2025 | 68,430,000 | 67,408,896 | ||
U.S. Treasury Notes, 4.25%, 5/31/2025 | 20,568,000 | 20,369,551 | ||
U.S. Treasury Notes, 3.5%, 9/15/2025 | 23,762,000 | 23,237,565 |
4
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Treasury Obligations – continued | ||||
U.S. Treasury Notes, 2.625%, 12/31/2025 | $ | 20,900,000 | $20,059,918 | |
U.S. Treasury Notes, 0.75%, 5/31/2026 | 38,599,000 | 35,173,339 | ||
U.S. Treasury Notes, 2%, 11/15/2026 (f) | 51,959,000 | 48,449,738 | ||
U.S. Treasury Notes, 2.75%, 2/15/2028 | 54,157,000 | 50,810,266 | ||
U.S. Treasury Notes, 3.625%, 3/31/2028 | 86,350,000 | 83,901,167 | ||
U.S. Treasury Notes, 1%, 7/31/2028 | 32,248,000 | 27,726,982 | ||
U.S. Treasury Notes, 2.375%, 5/15/2029 | 19,515,500 | 17,650,855 | ||
U.S. Treasury Notes, 1.625%, 8/15/2029 | 29,405,000 | 25,461,744 | ||
U.S. Treasury Notes, 1.75%, 11/15/2029 | 8,564,000 | 7,433,284 | ||
U.S. Treasury Notes, 3.5%, 4/30/2030 | 18,675,000 | 17,768,971 | ||
U.S. Treasury Notes, 4.125%, 8/31/2030 | 37,647,000 | 37,098,472 | ||
U.S. Treasury Notes, 1.625%, 5/15/2031 | 41,833,000 | 34,672,367 | ||
U.S. Treasury Notes, 1.375%, 11/15/2031 | 11,425,300 | 9,154,968 | ||
$672,072,391 | ||||
Total Bonds | $2,030,741,567 | |||
Investment Companies (h) – 6.5% | ||||
Money Market Funds – 6.5% | ||||
MFS Institutional Money Market Portfolio, 5.46% (v) | 140,506,951 | $140,521,001 | ||
Other Assets, Less Liabilities – (0.8)% | (18,158,195) | |||
Net Assets – 100.0% | $2,153,104,373 |
(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 $140,521,001 and $2,030,741,567, respectively. |
(i) | Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security. |
(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 $121,006,667, representing 5.6% 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 |
ReadyCap Commercial Mortgage Trust, 2021-FL7, “A”, FLR, 6.657% ((SOFR - 1mo. + 0.11448%) + 1.2%), 11/25/2036 | 11/12/2021 | $2,952,884 | $2,915,534 |
ReadyCap Commercial Mortgage Trust, 2021-FL7, “AS”, FLR, 6.957% ((SOFR - 1mo. + 0.11448%) + 1.5%), 11/25/2036 | 11/12/2021 | 1,261,500 | 1,229,733 |
Total Restricted Securities | $4,145,267 | ||
% of Net assets | 0.2% |
The following abbreviations are used in this report and are defined: | |
AGM | Assured Guaranty Municipal |
CLO | Collateralized Loan Obligation |
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 |
5
Portfolio of Investments (unaudited) – continued
Derivative Contracts at 11/30/23 | ||||||
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 | 754 | $154,163,547 | March – 2024 | $389,255 |
U.S. Treasury Bond 30 yr | Long | USD | 151 | 17,582,063 | March – 2024 | 4,535 |
U.S. Treasury Note 10 yr | Long | USD | 1,534 | 168,428,406 | March – 2024 | 910,188 |
U.S. Treasury Note 5 yr | Long | USD | 332 | 35,474,719 | March – 2024 | 191,590 |
U.S. Treasury Ultra Bond 30 yr | Long | USD | 617 | 75,891,000 | March – 2024 | 1,176,320 |
U.S. Treasury Ultra Note 10 yr | Long | USD | 295 | 33,487,109 | March – 2024 | 223,781 |
$2,895,669 |
At November 30, 2023, the fund had liquid securities with an aggregate value of $9,951,213 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
11/30/23 (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. 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 November 30, 2023 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 | $— | $675,314,427 | $— | $675,314,427 |
Municipal Bonds | — | 11,674,127 | — | 11,674,127 |
U.S. Corporate Bonds | — | 7,065,406 | — | 7,065,406 |
Residential Mortgage-Backed Securities | — | 1,169,882,092 | — | 1,169,882,092 |
Commercial Mortgage-Backed Securities | — | 81,573,537 | — | 81,573,537 |
Asset-Backed Securities (including CDOs) | — | 85,231,978 | — | 85,231,978 |
Mutual Funds | 140,521,001 | — | — | 140,521,001 |
Total | $140,521,001 | $2,030,741,567 | $— | $2,171,262,568 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $2,895,669 | $— | $— | $2,895,669 |
7
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 | $179,832,235 | $1,264,295,356 | $1,303,610,261 | $(5,172) | $8,843 | $140,521,001 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $7,277,084 | $— |
8