Issuer | Shares/Par | Value ($) | ||
Bonds – 98.0% | ||||
Asset-Backed & Securitized – 1.7% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.129%, 11/15/2054 (i) | $ | 14,626,259 | $710,939 | |
AmeriCredit Automobile Receivables Trust, 2024-1, “A”, 5.61%, 1/12/2027 (n) | 1,881,000 | 1,881,075 | ||
AREIT 2022-CRE6 Trust, “AS”, FLR, 6.995% (SOFR - 30 day + 1.65%), 1/20/2037 (n) | 2,462,500 | 2,416,840 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.283%, 7/15/2054 (i) | 13,208,182 | 865,758 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.606%, 2/15/2054 (i) | 8,014,728 | 645,764 | ||
Benchmark 2021-B23 Mortgage Trust, “XA”, 1.266%, 2/15/2054 (i) | 25,356,128 | 1,515,135 | ||
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.146%, 3/15/2054 (i) | 15,445,772 | 811,596 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.259%, 7/15/2054 (i) | 20,903,234 | 1,275,212 | ||
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.272%, 8/15/2054 (i) | 25,263,818 | 1,642,434 | ||
BSPDF 2021-FL1 Issuer Ltd., “AS”, FLR, 6.927% ((SOFR - 1mo. + 0.11448%) + 1.48%), 10/15/2036 (n) | 3,056,500 | 2,944,498 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.298%, 2/15/2054 (i) | 19,238,125 | 1,306,509 | ||
Dell Equipment Finance Trust, 2023-3, “A2”, 6.1%, 4/23/2029 (n) | 1,416,000 | 1,425,953 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.289%, 5/15/2054 (i) | 10,233,042 | 618,061 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.206%, 6/15/2054 (i) | 12,760,218 | 697,808 | ||
Morgan Stanley Capital I Trust, 2021-L7, “XA”, 1.092%, 10/15/2054 (i) | 27,465,366 | 1,438,210 | ||
PFP III 2021-8 Ltd., “AS”, FLR, 6.702% ((SOFR - 1mo. + 0.11448%) + 1.25%), 8/09/2037 (n) | 3,622,500 | 3,514,651 | ||
SBNA Auto Lease Trust, 2024-A, “A2”, 5.45%, 1/20/2026 (n) | 1,979,000 | 1,981,483 | ||
Wells Fargo Commercial Mortgage Trust, 2021-C60, “XA”, 1.521%, 8/15/2054 (i) | 9,375,212 | 676,166 | ||
$26,368,092 | ||||
Consumer Services – 0.1% | ||||
Conservation Fund, 3.474%, 12/15/2029 | $ | 1,438,000 | $1,309,848 | |
Industrial Revenue - Other – 0.0% | ||||
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | $ | 402,000 | $387,677 | |
International Market Sovereign – 1.0% | ||||
Republic of Italy, Inflation Linked Bond, 2.35%, 9/15/2035 | EUR | 12,889,188 | $14,739,534 | |
Medical & Health Technology & Services – 0.2% | ||||
ProMedica Toledo Hospital, “B”, AGM, 5.325%, 11/15/2028 | $ | 2,421,000 | $2,469,404 | |
ProMedica Toledo Hospital, “B”, AGM, 5.75%, 11/15/2038 | 747,000 | 747,145 | ||
$3,216,549 | ||||
Mortgage-Backed – 0.7% | ||||
Freddie Mac, 1.915%, 4/25/2030 (i) | $ | 3,519,182 | $332,194 | |
Freddie Mac, 1.769%, 5/25/2030 (i) | 6,326,494 | 556,672 | ||
Freddie Mac, 1.482%, 6/25/2030 (i) | 9,785,333 | 677,537 | ||
Freddie Mac, 1.263%, 9/25/2030 (i) | 3,529,812 | 228,057 | ||
Freddie Mac, 0.419%, 1/25/2031 (i) | 29,763,049 | 518,934 | ||
Freddie Mac, 0.872%, 1/25/2031 (i) | 11,388,256 | 517,819 | ||
Freddie Mac, 1.027%, 1/25/2031 (i) | 8,529,316 | 459,927 | ||
Freddie Mac, 0.611%, 3/25/2031 (i) | 36,336,275 | 1,045,097 | ||
Freddie Mac, 1.325%, 5/25/2031 (i) | 4,421,663 | 319,996 | ||
Freddie Mac, 1.039%, 7/25/2031 (i) | 7,521,262 | 439,795 | ||
Freddie Mac, 0.632%, 9/25/2031 (i) | 32,486,236 | 1,080,297 | ||
Freddie Mac, 0.955%, 9/25/2031 (i) | 9,783,880 | 513,869 | ||
Freddie Mac, 0.441%, 11/25/2031 (i) | 49,721,062 | 1,149,422 | ||
Freddie Mac, 0.597%, 12/25/2031 (i) | 50,485,813 | 1,609,185 | ||
Freddie Mac, 0.665%, 12/25/2031 (i) | 8,215,224 | 293,325 | ||
$9,742,126 | ||||
Municipals – 1.1% | ||||
Chicago, IL, Transit Authority Sales Tax Receipts Refunding Rev., Taxable, “B”, 2.064%, 12/01/2024 | $ | 523,000 | $510,842 | |
Colorado Health Facilities Authority Rev., Taxable (Covenant Living Communities and Services), “B”, 2.8%, 12/01/2026 | 715,000 | 672,933 | ||
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 3%, 6/01/2046 | 2,400,000 | 2,217,404 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Municipals – continued | ||||
Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, Issue M, “A”, 2.641%, 7/01/2037 | $ | 7,455,000 | $6,470,330 | |
Michigan Finance Authority Student Loan Asset-Backed Rev., Taxable, “A-1A”, 1.3%, 7/25/2061 | 1,794,306 | 1,660,993 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 312,762 | 307,487 | ||
New Jersey Turnpike Authority, Turnpike Rev., Taxable, “B”, 1.047%, 1/01/2026 | 745,000 | 698,106 | ||
Philadelphia, PA, School District, Taxable, “A”, AGM, 5.995%, 9/01/2030 | 1,925,000 | 2,058,595 | ||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.497%, 6/01/2024 | 1,020,000 | 1,006,853 | ||
West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, “A-1”, 1.647%, 6/01/2025 | 835,000 | 795,416 | ||
$16,398,959 | ||||
U.S. Treasury Inflation Protected Securities – 93.2% | ||||
U.S. Treasury Bonds, 3.625%, 4/15/2028 | $ | 61,620,815 | $66,191,828 | |
U.S. Treasury Bonds, 1.125%, 1/15/2033 | 33,346,380 | 31,724,001 | ||
U.S. Treasury Bonds, 0.75%, 2/15/2042 | 124,737,472 | 101,534,354 | ||
U.S. Treasury Bonds, 0.625%, 2/15/2043 | 35,280,432 | 27,644,148 | ||
U.S. Treasury Bonds, 0.75%, 2/15/2045 | 55,366,172 | 43,357,191 | ||
U.S. Treasury Bonds, 1%, 2/15/2048 | 19,480,528 | 15,658,489 | ||
U.S. Treasury Bonds, 0.125%, 2/15/2051 | 14,158,219 | 8,677,440 | ||
U.S. Treasury Bonds, 0.125%, 2/15/2052 | 46,326,420 | 28,070,312 | ||
U.S. Treasury Notes, 0.625%, 1/15/2026 | 132,807,381 | 128,981,388 | ||
U.S. Treasury Notes, 0.375%, 1/15/2027 | 55,697,936 | 53,302,490 | ||
U.S. Treasury Notes, 0.375%, 7/15/2027 | 88,790,497 | 84,879,322 | ||
U.S. Treasury Notes, 0.5%, 1/15/2028 | 69,797,741 | 66,436,908 | ||
U.S. Treasury Notes, 0.875%, 1/15/2029 (f) | 257,789,848 | 247,981,748 | ||
U.S. Treasury Notes, 0.125%, 7/15/2030 | 172,533,198 | 157,216,384 | ||
U.S. Treasury Notes, 0.125%, 1/15/2031 | 134,341,390 | 121,041,941 | ||
U.S. Treasury Notes, 0.125%, 1/15/2032 | 207,710,492 | 183,807,559 | ||
U.S. Treasury Notes, 1.375%, 7/15/2033 | 51,324,934 | 50,001,713 | ||
$1,416,507,216 | ||||
Total Bonds | $1,488,670,001 | |||
Investment Companies (h) – 2.2% | ||||
Money Market Funds – 2.2% | ||||
MFS Institutional Money Market Portfolio, 5.4% (v) | 34,366,022 | $34,369,458 | ||
Other Assets, Less Liabilities – (0.2)% | (3,783,279) | |||
Net Assets – 100.0% | $1,519,256,180 |
(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 $34,369,458 and $1,488,670,001, 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 $14,164,500, representing 0.9% 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: | |
AGM | Assured Guaranty Municipal |
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. |
SOFR | Secured Overnight Financing 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: | |
EUR | Euro |
Derivative Contracts at 1/31/24 | ||||||
Forward Foreign Currency Exchange Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives | ||||||
USD | 14,874,615 | EUR | 13,683,985 | Brown Brothers Harriman | 4/19/2024 | $37,755 |
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 | 480 | $98,715,000 | March – 2024 | $890,301 |
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Ultra Bond 30 yr | Short | USD | 34 | $4,393,437 | March – 2024 | $(287,244) |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | $— | $1,416,507,216 | $— | $1,416,507,216 |
Non - U.S. Sovereign Debt | — | 14,739,534 | — | 14,739,534 |
Municipal Bonds | — | 16,398,959 | — | 16,398,959 |
U.S. Corporate Bonds | — | 4,914,074 | — | 4,914,074 |
Residential Mortgage-Backed Securities | — | 9,742,126 | — | 9,742,126 |
Commercial Mortgage-Backed Securities | — | 18,135,083 | — | 18,135,083 |
Asset-Backed Securities (including CDOs) | — | 8,233,009 | — | 8,233,009 |
Mutual Funds | 34,369,458 | — | — | 34,369,458 |
Total | $34,369,458 | $1,488,670,001 | $— | $1,523,039,459 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $890,301 | $— | $— | $890,301 |
Futures Contracts – Liabilities | (287,244) | — | — | (287,244) |
Forward Foreign Currency Exchange Contracts – Assets | — | 37,755 | — | 37,755 |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $23,839,200 | $73,681,172 | $63,149,241 | $(1,552) | $(121) | $34,369,458 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $391,785 | $— |