Quarterly Report
February 28, 2022
MFS® Government Markets Income Trust
MGF-Q1
Portfolio of Investments
2/28/22 (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 – 105.1% | ||||
| U.S. Bonds – 98.9% | ||||
| Aerospace & Defense – 0.5% | ||||
| Boeing Co., 1.433%, 2/04/2024 | $ | 750,000 | $737,765 | |
| Asset-Backed & Securitized – 5.8% | ||||
| 3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.037%, 11/15/2054 (i) | $ | 1,182,163 | $83,399 | |
| ACREC 2021-FL1 Ltd., “AS”, FLR, 1.636% (LIBOR - 1mo. + 1.5%), 10/16/2036 (n) | 323,500 | 320,085 | ||
| Allegro CLO Ltd., 2016-1A, “BR2”, FLR, 1.791% (LIBOR - 3mo. + 1.55%), 1/15/2030 (n) | 250,000 | 248,599 | ||
| Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 1.691% (LIBOR - 1mo. + 1.5%), 12/15/2035 (n) | 175,500 | 173,742 | ||
| Arbor Realty Trust, Inc., CLO, 2021-FL3, “AS”, FLR, 1.591% (LIBOR - 1mo. + 1.4%), 8/15/2034 (n) | 374,500 | 372,014 | ||
| AREIT 2022-CRE6 Trust, “AS”, FLR, 1.698% (SOFR - 30 day + 1.65%), 11/17/2024 (n) | 512,000 | 510,116 | ||
| BBCMS Mortgage Trust, 2021-C10, “XA”, 1.306%, 7/15/2054 (i) | 1,184,919 | 107,783 | ||
| BBCMS Mortgage Trust, 2021-C9, “XA”, 1.637%, 2/15/2054 (i) | 993,781 | 112,279 | ||
| Benchmark 2021-B23 Mortgage Trust, “XA”, 1.276%, 2/15/2054 (i) | 1,983,873 | 171,304 | ||
| Benchmark 2021-B24 Mortgage Trust, “XA”, 1.154%, 3/15/2054 (i) | 1,172,123 | 91,778 | ||
| Benchmark 2021-B26 Mortgage Trust, “XA”, 0.999%, 6/15/2054 (i) | 1,597,819 | 98,888 | ||
| Benchmark 2021-B27 Mortgage Trust, “XA”, 1.271%, 7/15/2054 (i) | 1,461,260 | 131,334 | ||
| Benchmark 2021-B28 Mortgage Trust, “XA”, 1.29%, 8/15/2054 (i) | 2,217,312 | 202,071 | ||
| Benchmark 2021-B29 Mortgage Trust, “XA”, 1.048%, 9/15/2054 (i)(n) | 1,897,602 | 135,516 | ||
| BSPDF 2021-FL1 Issuer Ltd., “A”, 1.391%, 10/15/2036 (n) | 200,500 | 199,012 | ||
| BSPDF 2021-FL1 Issuer Ltd., “AS”, FLR, 1.671% (LIBOR - 1mo. + 1.48%), 10/15/2036 (n) | 253,500 | 251,972 | ||
| BSPRT 2021-FL7 Issuer Ltd., “A”, FLR, 0.969% (LIBOR - 1mo. + 0.85%), 2/15/2037 (n) | 43,607 | 43,488 | ||
| BSPRT 2021-FL7 Issuer Ltd., “B”, FLR, 1.67% (LIBOR - 1mo. + 1.55%), 2/15/2037 (n) | 100,000 | 99,652 | ||
| BXMT 2021-FL4 Ltd., “AS”, FLR, 1.491% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | 345,000 | 340,693 | ||
| Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 99,646 | 99,276 | ||
| Citigroup Commercial Mortgage Trust, 2019-XA, “C7”, 0.873%, 12/15/2072 (i)(n) | 1,433,288 | 80,138 | ||
| COMM 2013-WWP Mortgage Trust, “D”, 3.897%, 3/10/2031 (n) | 564,000 | 574,319 | ||
| Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.332%, 2/15/2054 (i) | 1,529,475 | 144,000 | ||
| Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.783%, 4/15/2054 (i) | 998,368 | 54,527 | ||
| Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.053%, 6/15/2064 (i) | 997,778 | 74,443 | ||
| Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/2048 | 177,000 | 180,971 | ||
| GS Mortgage Securities Trust, 2015-GC32, “A2”, 3.062%, 7/10/2048 | 32,351 | 32,536 | ||
| LoanCore 2021-CRE5 Ltd., “AS”, FLR, 1.941% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | 283,500 | 282,344 | ||
| LoanCore 2021-CRE6 Ltd., “AS”, FLR, 1.841% (LIBOR - 1mo. + 1.65%), 11/15/2038 (n) | 500,000 | 497,548 | ||
| Madison Park Funding Ltd., 2014-13A, “BR2”, FLR, 1.748% (LIBOR - 3mo. + 1.5%), 4/19/2030 (n) | 452,738 | 450,447 | ||
| MF1 2021-FL5 Ltd., “AS”, FLR, 1.385% (LIBOR - 1mo. + 1.2%), 7/15/2036 (n) | 173,500 | 171,906 | ||
| MF1 2021-FL5 Ltd., “B”, FLR, 1.635% (LIBOR - 1mo. + 1.45%), 7/15/2036 (n) | 279,500 | 276,141 | ||
| Morgan Stanley Capital I Trust, 2018-H4, “XA”, 0.836%, 12/15/2051 (i) | 1,633,180 | 77,126 | ||
| Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.299%, 5/15/2054 (i) | 738,536 | 65,397 | ||
| Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.237%, 6/15/2054 (i) | 1,150,542 | 92,518 | ||
| Morgan Stanley Capital I Trust, 2021-L7, “XA”, 1.106%, 10/15/2054 (i) | 3,379,391 | 256,643 | ||
| PFP III 2021-7 Ltd., “AS”, FLR, 1.341% (LIBOR - 1mo. + 1.15%), 4/14/2038 (n) | 311,484 | 308,437 | ||
| ReadyCap Commercial Mortgage Trust, 2021-FL7, “A”, FLR, 1.386% (LIBOR - 1mo. + 1.2%), 11/25/2036 (z) | 219,983 | 217,851 | ||
| ReadyCap Commercial Mortgage Trust, 2021-FL7, “AS”, FLR, 1.687% (LIBOR - 1mo. + 1.5%), 11/25/2036 (z) | 100,000 | 98,652 | ||
| Wells Fargo Commercial Mortgage Trust, 2018-C48, “XA”, 0.949%, 1/15/2052 (i)(n) | 935,540 | 51,686 | ||
| $7,780,631 | ||||
| Automotive – 0.3% | ||||
| Hyundai Capital America, 2.85%, 11/01/2022 (n) | $ | 233,000 | $234,649 | |
| Hyundai Capital America, 2.375%, 2/10/2023 (n) | 115,000 | 115,325 | ||
| $349,974 | ||||
1
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| U.S. Bonds – continued | ||||
| Broadcasting – 0.6% | ||||
| Discovery, Inc., 4.65%, 5/15/2050 | $ | 229,000 | $234,099 | |
| Walt Disney Co., 3.5%, 5/13/2040 | 612,000 | 609,660 | ||
| $843,759 | ||||
| Building – 0.1% | ||||
| Martin Marietta Materials, Inc., 4.25%, 7/02/2024 | $ | 82,000 | $85,778 | |
| Cable TV – 0.3% | ||||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.908%, 7/23/2025 | $ | 242,000 | $256,528 | |
| Time Warner Cable, Inc., 4.5%, 9/15/2042 | 100,000 | 94,216 | ||
| $350,744 | ||||
| Consumer Services – 0.1% | ||||
| Conservation Fund, 3.474%, 12/15/2029 | $ | 159,000 | $164,127 | |
| Electronics – 0.5% | ||||
| Broadcom, Inc., 3.187%, 11/15/2036 (n) | $ | 750,000 | $696,512 | |
| Energy - Integrated – 0.5% | ||||
| Exxon Mobil Corp., 3.452%, 4/15/2051 | $ | 714,000 | $705,685 | |
| Food & Beverages – 2.1% | ||||
| Constellation Brands, Inc., 4.65%, 11/15/2028 | $ | 1,500,000 | $1,644,602 | |
| JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 (n) | 488,000 | 460,696 | ||
| Keurig Dr Pepper, Inc., 3.8%, 5/01/2050 | 650,000 | 639,464 | ||
| Tyson Foods, Inc., 5.15%, 8/15/2044 | 38,000 | 45,004 | ||
| $2,789,766 | ||||
| Industrial – 0.1% | ||||
| Howard University, Washington D.C., 2.738%, 10/01/2022 | $ | 28,000 | $28,061 | |
| Howard University, Washington D.C., 2.801%, 10/01/2023 | 31,000 | 31,079 | ||
| Howard University, Washington D.C., AGM, 2.416%, 10/01/2024 | 33,000 | 32,937 | ||
| Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | 42,000 | 41,410 | ||
| $133,487 | ||||
| Insurance - Health – 0.6% | ||||
| UnitedHealth Group, Inc., 4.625%, 7/15/2035 | $ | 672,000 | $774,330 | |
| Insurance - Property & Casualty – 0.2% | ||||
| American International Group, Inc., 4.7%, 7/10/2035 | $ | 108,000 | $121,755 | |
| Liberty Mutual Group, Inc., 3.951%, 10/15/2050 (n) | 99,000 | 98,295 | ||
| $220,050 | ||||
| Machinery & Tools – 0.5% | ||||
| CNH Industrial Capital LLC, 4.2%, 1/15/2024 | $ | 625,000 | $645,787 | |
| Major Banks – 2.3% | ||||
| Bank of America Corp., 3.004%, 12/20/2023 | $ | 183,000 | $184,626 | |
| Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032 | 750,000 | 721,317 | ||
| Goldman Sachs Group, Inc., 3.625%, 1/22/2023 | 241,000 | 245,010 | ||
| JPMorgan Chase & Co., 2.58% to 4/22/2031, FLR (SOFR - 1 day + 1.25%) to 4/22/2032 | 750,000 | 718,431 | ||
| JPMorgan Chase & Co., 3.109% to 4/22/2050, FLR (SOFR + 2.44%) to 4/22/2051 | 485,000 | 447,863 | ||
| Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031 | 588,000 | 607,875 | ||
| State Street Corp., 3.152% to 3/30/2030, FLR (SOFR + 2.65%) to 3/30/2031 | 138,000 | 141,664 | ||
| $3,066,786 | ||||
2
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| U.S. Bonds – continued | ||||
| Medical & Health Technology & Services – 1.1% | ||||
| Becton, Dickinson and Co., 4.685%, 12/15/2044 | $ | 140,000 | $156,256 | |
| Laboratory Corp. of America Holdings, 4.7%, 2/01/2045 | 106,000 | 116,803 | ||
| Montefiore Obligated Group, AGM, 5.246%, 11/01/2048 | 614,000 | 736,769 | ||
| ProMedica Toledo Hospital, “B”, AGM, 5.325%, 11/15/2028 | 250,000 | 285,016 | ||
| ProMedica Toledo Hospital, “B”, AGM, 5.75%, 11/15/2038 | 175,000 | 198,377 | ||
| $1,493,221 | ||||
| Mortgage-Backed – 36.9% | ||||
| Fannie Mae, 2.152%, 1/25/2023 | $ | 112,843 | $113,109 | |
| Fannie Mae, 2.41%, 5/01/2023 | 114,216 | 115,040 | ||
| Fannie Mae, 2.55%, 5/01/2023 | 98,031 | 98,842 | ||
| Fannie Mae, 2.7%, 7/01/2025 | 200,000 | 204,974 | ||
| Fannie Mae, 4%, 3/25/2028 - 7/01/2047 | 2,568,880 | 2,739,451 | ||
| Fannie Mae, 3%, 11/01/2028 - 5/25/2053 | 1,996,609 | 2,048,379 | ||
| Fannie Mae, 6.5%, 5/01/2031 - 1/01/2037 | 217,837 | 241,251 | ||
| Fannie Mae, 2.5%, 11/01/2031 - 10/01/2046 | 288,012 | 287,272 | ||
| Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | 92,896 | 9,216 | ||
| Fannie Mae, 3%, 2/25/2033 (i) | 134,873 | 13,275 | ||
| Fannie Mae, 5.5%, 10/01/2033 - 3/01/2038 | 1,232,607 | 1,376,935 | ||
| Fannie Mae, 6%, 8/01/2034 - 7/01/2037 | 358,733 | 400,453 | ||
| Fannie Mae, 5%, 6/01/2035 - 3/01/2042 | 284,224 | 314,767 | ||
| Fannie Mae, 3.5%, 4/01/2038 - 7/01/2046 | 1,157,920 | 1,211,823 | ||
| Fannie Mae, 2%, 10/25/2040 - 4/25/2046 | 153,733 | 152,497 | ||
| Fannie Mae, 4.5%, 2/01/2041 - 11/01/2042 | 447,151 | 484,132 | ||
| Fannie Mae, 1.75%, 9/25/2041 - 10/25/2041 | 420,672 | 413,723 | ||
| Fannie Mae, 2.75%, 9/25/2042 | 124,103 | 125,939 | ||
| Fannie Mae, UMBS, 2%, 2/01/2042 - 3/01/2052 | 2,117,002 | 2,043,806 | ||
| Fannie Mae, UMBS, 2.5%, 3/01/2042 - 3/01/2052 | 1,862,436 | 1,843,583 | ||
| Fannie Mae, UMBS, 3%, 12/01/2051 | 198,910 | 201,984 | ||
| Freddie Mac, 3.32%, 2/25/2023 | 418,708 | 425,454 | ||
| Freddie Mac, 3.06%, 7/25/2023 | 294,000 | 299,268 | ||
| Freddie Mac, 3.458%, 8/25/2023 | 367,000 | 375,925 | ||
| Freddie Mac, 0.895%, 4/25/2024 (i) | 3,409,806 | 54,108 | ||
| Freddie Mac, 0.604%, 7/25/2024 (i) | 4,620,914 | 44,938 | ||
| Freddie Mac, 3.064%, 8/25/2024 | 483,403 | 494,565 | ||
| Freddie Mac, 4.5%, 9/01/2024 - 5/01/2042 | 325,869 | 352,680 | ||
| Freddie Mac, 2.67%, 12/25/2024 | 827,000 | 842,547 | ||
| Freddie Mac, 2.811%, 1/25/2025 | 642,000 | 656,640 | ||
| Freddie Mac, 3.5%, 1/15/2027 - 10/25/2058 | 2,820,978 | 2,951,893 | ||
| Freddie Mac, 1.367%, 3/25/2027 (i) | 391,000 | 24,591 | ||
| Freddie Mac, 0.576%, 7/25/2027 (i) | 8,495,043 | 236,299 | ||
| Freddie Mac, 0.429%, 8/25/2027 (i) | 6,616,112 | 142,041 | ||
| Freddie Mac, 0.291%, 1/25/2028 (i) | 12,143,913 | 208,167 | ||
| Freddie Mac, 0.302%, 1/25/2028 (i) | 5,001,198 | 88,204 | ||
| Freddie Mac, 0.133%, 2/25/2028 (i) | 14,087,048 | 127,703 | ||
| Freddie Mac, 2.5%, 3/15/2028 | 41,577 | 41,774 | ||
| Freddie Mac, 0.119%, 4/25/2028 (i) | 9,036,448 | 76,520 | ||
| Freddie Mac, 3%, 6/15/2028 - 2/25/2059 | 2,109,084 | 2,163,022 | ||
| Freddie Mac, 1.089%, 7/25/2029 (i) | 1,260,027 | 89,001 | ||
| Freddie Mac, 1.143%, 8/25/2029 (i) | 2,554,242 | 189,295 | ||
| Freddie Mac, 1.798%, 4/25/2030 (i) | 600,527 | 78,468 | ||
| Freddie Mac, 1.868%, 4/25/2030 (i) | 1,277,474 | 172,496 | ||
| Freddie Mac, 1.662%, 5/25/2030 (i) | 612,877 | 74,704 | ||
| Freddie Mac, 1.796%, 5/25/2030 (i) | 1,389,954 | 182,711 | ||
| Freddie Mac, 1.341%, 6/25/2030 (i) | 559,633 | 55,869 | ||
3
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| U.S. Bonds – continued | ||||
| Mortgage-Backed – continued | ||||
| Freddie Mac, 1.599%, 8/25/2030 (i) | $ | 633,757 | $76,290 | |
| Freddie Mac, 1.17%, 9/25/2030 (i) | 314,905 | 28,151 | ||
| Freddie Mac, 1.081%, 11/25/2030 (i) | 789,331 | 66,716 | ||
| Freddie Mac, 0.33%, 1/25/2031 (i) | 2,863,483 | 71,648 | ||
| Freddie Mac, 0.781%, 1/25/2031 (i) | 873,865 | 55,133 | ||
| Freddie Mac, 0.936%, 1/25/2031 (i) | 663,744 | 49,382 | ||
| Freddie Mac, 0.528%, 3/25/2031 (i) | 2,285,394 | 93,208 | ||
| Freddie Mac, 0.74%, 3/25/2031 (i) | 973,113 | 59,108 | ||
| Freddie Mac, 1.224%, 5/25/2031 (i) | 399,402 | 39,751 | ||
| Freddie Mac, 0.938%, 7/25/2031 (i) | 489,989 | 38,929 | ||
| Freddie Mac, 0.536%, 9/25/2031 (i) | 2,619,786 | 123,680 | ||
| Freddie Mac, 0.855%, 9/25/2031 (i) | 808,717 | 58,833 | ||
| Freddie Mac, 0.349%, 11/25/2031 (i) | 3,899,181 | 125,556 | ||
| Freddie Mac, 0.497%, 12/25/2031 (i) | 3,898,081 | 166,265 | ||
| Freddie Mac, 0.567%, 12/25/2031 (i) | 644,718 | 31,379 | ||
| Freddie Mac, 6%, 5/01/2035 - 10/01/2038 | 197,010 | 224,160 | ||
| Freddie Mac, 5.5%, 8/01/2035 - 6/01/2036 | 205,495 | 230,073 | ||
| Freddie Mac, 5%, 2/15/2036 - 12/01/2044 | 829,623 | 923,321 | ||
| Freddie Mac, 5.5%, 2/15/2036 (i) | 32,864 | 5,789 | ||
| Freddie Mac, 2%, 8/15/2036 | 207,821 | 208,620 | ||
| Freddie Mac, 6.5%, 5/01/2037 | 42,080 | 47,151 | ||
| Freddie Mac, 4%, 8/01/2037 - 4/01/2044 | 214,124 | 229,341 | ||
| Freddie Mac, 4.5%, 12/15/2040 (i) | 9,882 | 938 | ||
| Freddie Mac, UMBS, 2%, 2/01/2042 - 2/01/2052 | 596,746 | 576,948 | ||
| Freddie Mac, UMBS, 2.5%, 10/01/2051 - 3/01/2052 | 1,443,619 | 1,426,771 | ||
| Freddie Mac, UMBS, 3%, 1/01/2052 | 149,698 | 152,266 | ||
| Ginnie Mae, 5.5%, 7/15/2033 - 1/20/2042 | 412,410 | 466,776 | ||
| Ginnie Mae, 5.69%, 8/20/2034 | 96,706 | 106,543 | ||
| Ginnie Mae, 4%, 5/16/2039 - 7/20/2049 | 262,593 | 275,299 | ||
| Ginnie Mae, 4.5%, 9/20/2041 | 122,039 | 131,633 | ||
| Ginnie Mae, 3.5%, 10/20/2041 (i) | 52,081 | 3,392 | ||
| Ginnie Mae, 3.5%, 4/15/2042 - 7/20/2043 | 798,896 | 848,788 | ||
| Ginnie Mae, 2.5%, 6/20/2042 - 11/20/2051 | 1,391,303 | 1,392,363 | ||
| Ginnie Mae, 4%, 8/16/2042 (i) | 49,300 | 6,827 | ||
| Ginnie Mae, 2.25%, 9/20/2043 | 40,361 | 40,341 | ||
| Ginnie Mae, 3%, 4/20/2045 - 2/20/2052 | 1,107,730 | 1,132,081 | ||
| Ginnie Mae, 2%, 1/20/2052 | 448,761 | 439,390 | ||
| Ginnie Mae, 0.584%, 2/16/2059 (i) | 196,276 | 8,065 | ||
| Ginnie Mae, TBA, 3.5%, 3/15/2052 - 4/21/2052 | 475,000 | 489,563 | ||
| Ginnie Mae, TBA, 4%, 3/15/2052 | 69,799 | 72,520 | ||
| Ginnie Mae, TBA, 3%, 3/21/2052 | 1,025,000 | 1,042,017 | ||
| UMBS, TBA, 2%, 3/25/2037 - 4/25/2052 | 9,225,000 | 8,896,990 | ||
| UMBS, TBA, 2.5%, 11/25/2051 | 3,000,000 | 2,959,805 | ||
| UMBS, TBA, 3.5%, 3/14/2052 | 725,000 | 746,637 | ||
| UMBS, TBA, 3%, 3/25/2052 | 700,000 | 707,000 | ||
| $49,764,771 | ||||
| Municipals – 3.3% | ||||
| Bridgeview, IL, Stadium and Redevelopment Projects, AAC, 5.06%, 12/01/2025 | $ | 630,000 | $637,945 | |
| California Earthquake Authority Rev., “B”, 1.477%, 7/01/2023 | 110,000 | 110,130 | ||
| Chicago, IL, General Obligation, “C”, AGM, 6.207%, 1/01/2036 | 1,010,000 | 1,300,562 | ||
| Florida State Board of Administration Finance Corp. Rev., “A”, 1.705%, 7/01/2027 | 291,000 | 283,079 | ||
| Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., “B”, 3%, 6/01/2046 | 195,000 | 197,488 | ||
| Guam International Airport Authority Rev. (A.B. Won Pat Airport), “A”, 4.46%, 10/01/2043 | 5,000 | 4,969 | ||
| Illinois Sales Tax Securitization Corp., Second Lien, “B”, BAM, 3.411%, 1/01/2043 | 240,000 | 235,157 | ||
4
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| U.S. Bonds – continued | ||||
| Municipals – continued | ||||
| Massachusetts Educational Financing Authority, Education Loan Subordinate Rev., “A”, 2.641%, 7/01/2037 | $ | 535,000 | $528,195 | |
| Michigan Finance Authority Tobacco Settlement Asset-Backed Rev. (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 19,102 | 19,168 | ||
| New Jersey Turnpike Authority Rev. (Build America Bonds), “F”, 7.414%, 1/01/2040 | 32,000 | 49,517 | ||
| Syracuse, NY, Industrial Development Agency PILOT Rev. (Carousel Center Project), “B”, 5%, 1/01/2036 (n) | 1,215,000 | 956,162 | ||
| Texas Transportation Commission, Central Texas Turnpike System First Tier Refunding Rev., Taxable, “B”, 1.98%, 8/15/2042 | 195,000 | 195,660 | ||
| $4,518,032 | ||||
| Oils – 0.1% | ||||
| Valero Energy Corp., 3.65%, 12/01/2051 | $ | 157,000 | $140,963 | |
| Pharmaceuticals – 0.1% | ||||
| Gilead Sciences, Inc., 4.5%, 2/01/2045 | $ | 82,000 | $88,726 | |
| Retailers – 0.5% | ||||
| Home Depot, Inc., 2.7%, 4/15/2030 | $ | 700,000 | $697,687 | |
| Supranational – 0.1% | ||||
| Inter-American Development Bank, 4.375%, 1/24/2044 | $ | 158,000 | $208,333 | |
| Telecommunications - Wireless – 0.8% | ||||
| Crown Castle International Corp., 3.25%, 1/15/2051 | $ | 464,000 | $398,104 | |
| T-Mobile USA, Inc., 4.375%, 4/15/2040 | 650,000 | 672,215 | ||
| $1,070,319 | ||||
| Transportation - Services – 0.0% | ||||
| ERAC USA Finance LLC, 3.85%, 11/15/2024 (n) | $ | 34,000 | $35,287 | |
| U.S. Government Agencies and Equivalents – 0.4% | ||||
| Small Business Administration, 5.52%, 6/01/2024 | $ | 18,371 | $18,821 | |
| Small Business Administration, 2.21%, 2/01/2033 | 94,707 | 93,745 | ||
| Small Business Administration, 2.22%, 3/01/2033 | 153,114 | 151,746 | ||
| Small Business Administration, 3.15%, 7/01/2033 | 116,287 | 119,002 | ||
| Small Business Administration, 3.62%, 9/01/2033 | 137,279 | 142,091 | ||
| $525,405 | ||||
| U.S. Treasury Obligations – 40.6% | ||||
| U.S. Treasury Bonds, 2.25%, 2/15/2027 | $ | 1,921,000 | $1,966,324 | |
| U.S. Treasury Bonds, 5.25%, 2/15/2029 | 48,000 | 58,781 | ||
| U.S. Treasury Bonds, 0.625%, 5/15/2030 | 800,000 | 727,000 | ||
| U.S. Treasury Bonds, 4.75%, 2/15/2037 | 336,000 | 458,732 | ||
| U.S. Treasury Bonds, 4.375%, 2/15/2038 | 1,109,000 | 1,470,508 | ||
| U.S. Treasury Bonds, 4.5%, 8/15/2039 (f) | 4,503,100 | 6,101,173 | ||
| U.S. Treasury Bonds, 3.125%, 2/15/2043 | 453,700 | 516,562 | ||
| U.S. Treasury Bonds, 2.875%, 5/15/2043 | 1,697,100 | 1,860,578 | ||
| U.S. Treasury Bonds, 2.5%, 2/15/2045 | 4,017,000 | 4,147,082 | ||
| U.S. Treasury Bonds, 2.875%, 11/15/2046 | 3,470,000 | 3,850,887 | ||
| U.S. Treasury Bonds, 3%, 2/15/2048 | 804,400 | 925,406 | ||
| U.S. Treasury Bonds, 2.375%, 5/15/2051 | 638,000 | 665,240 | ||
| U.S. Treasury Bonds, 1.875%, 11/15/2051 | 1,327,500 | 1,238,516 | ||
| U.S. Treasury Notes, 1.75%, 6/15/2022 | 1,500,000 | 1,505,523 | ||
| U.S. Treasury Notes, 1.5%, 9/15/2022 | 4,459,000 | 4,477,986 | ||
| U.S. Treasury Notes, 0.125%, 12/31/2022 | 1,530,000 | 1,518,884 | ||
| U.S. Treasury Notes, 0.125%, 2/28/2023 | 1,171,500 | 1,160,334 | ||
| U.S. Treasury Notes, 0.125%, 4/30/2023 | 3,940,200 | 3,891,255 | ||
| U.S. Treasury Notes, 0.125%, 5/31/2023 | 2,400,000 | 2,367,094 | ||
| U.S. Treasury Notes, 2.75%, 2/15/2024 | 577,000 | 591,380 | ||
| U.S. Treasury Notes, 2.5%, 5/15/2024 | 2,955,000 | 3,016,986 | ||
5
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| U.S. Bonds – continued | ||||
| U.S. Treasury Obligations – continued | ||||
| U.S. Treasury Notes, 2.875%, 7/31/2025 | $ | 4,700,000 | $4,884,695 | |
| U.S. Treasury Notes, 2%, 8/15/2025 | 98,000 | 98,961 | ||
| U.S. Treasury Notes, 0.75%, 5/31/2026 | 567,700 | 544,548 | ||
| U.S. Treasury Notes, 0.875%, 6/30/2026 | 678,600 | 653,974 | ||
| U.S. Treasury Notes, 2%, 11/15/2026 | 6,071,000 | 6,138,587 | ||
| $54,836,996 | ||||
| Utilities - Electric Power – 0.5% | ||||
| FirstEnergy Corp., 4.4%, 7/15/2027 | $ | 694,000 | $718,776 | |
| Total U.S. Bonds | $133,443,697 | |||
| Foreign Bonds – 6.2% | ||||
| Australia – 0.0% | ||||
| APT Pipelines Ltd., 4.25%, 7/15/2027 (n) | $ | 16,000 | $17,047 | |
| Chile – 0.2% | ||||
| Banco del Estado de Chile, 2.704%, 1/09/2025 (n) | $ | 241,000 | $240,980 | |
| China – 0.6% | ||||
| Industrial and Commercial Bank of China, 4.875%, 9/21/2025 | $ | 294,000 | $315,639 | |
| Tencent Holdings Ltd., 2.88%, 4/22/2031 (n) | 501,000 | 481,131 | ||
| $796,770 | ||||
| India – 0.8% | ||||
| Export-Import Bank of India, 2.25%, 1/13/2031 (n) | $ | 317,000 | $279,112 | |
| Indian Railway Finance Corp., 2.8%, 2/10/2031 (n) | 376,000 | 340,972 | ||
| Power Finance Corp. Ltd. (Republic of India), 5.25%, 8/10/2028 | 370,000 | 395,774 | ||
| $1,015,858 | ||||
| Ireland – 0.2% | ||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.3%, 1/30/2032 | $ | 355,000 | $337,028 | |
| Israel – 0.4% | ||||
| Bank Hapoalim B.M., 3.255% to 1/21/2027, FLR (CMT - 5yr. + 2.155%) to 1/21/2032 (n) | $ | 200,000 | $191,500 | |
| Bank Leumi le-Israel B.M., 3.275%, 1/29/2031 (n) | 354,000 | 339,132 | ||
| $530,632 | ||||
| Kazakhstan – 0.3% | ||||
| KazTransGas JSC (Republic of Kazakhstan), 4.375%, 9/26/2027 | $ | 350,000 | $350,575 | |
| Kuwait – 0.2% | ||||
| EQUATE Petrochemical B.V. (State of Kuwait), 4.25%, 11/03/2026 | $ | 253,000 | $261,223 | |
| Mexico – 0.4% | ||||
| Comision Federal de Electricidad (United Mexican States), 3.348%, 2/09/2031 (n) | $ | 232,000 | $205,902 | |
| United Mexican States, 4.75%, 4/27/2032 | 324,000 | 345,870 | ||
| $551,772 | ||||
| Morocco – 0.2% | ||||
| Kingdom of Morocco, 3%, 12/15/2032 (n) | $ | 377,000 | $327,519 | |
| Panama – 0.4% | ||||
| Republic of Panama, 3.16%, 1/23/2030 | $ | 358,000 | $351,051 | |
| Republic of Panama, 3.362%, 6/30/2031 (n) | 162,000 | 155,196 | ||
| $506,247 | ||||
6
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Foreign Bonds – continued | ||||
| Qatar – 0.3% | ||||
| State of Qatar, 3.75%, 4/16/2030 (n) | $ | 398,000 | $429,641 | |
| Romania – 0.2% | ||||
| Republic of Romania, 2%, 4/14/2033 | EUR | 367,000 | $316,735 | |
| Saudi Arabia – 0.4% | ||||
| Kingdom of Saudi Arabia, 2.25%, 2/02/2033 (n) | $ | 309,000 | $290,615 | |
| Saudi Arabian Oil Co., 1.625%, 11/24/2025 (n) | 305,000 | 294,721 | ||
| $585,336 | ||||
| Thailand – 0.3% | ||||
| Thaioil Treasury Center Co. Ltd., 3.75%, 6/18/2050 (n) | $ | 470,000 | $389,113 | |
| United Arab Emirates – 0.3% | ||||
| MDGH - GMTN B.V. (United Arab Emirates), 2.5%, 11/07/2024 (n) | $ | 429,000 | $431,145 | |
| United Kingdom – 0.7% | ||||
| B.A.T. Capital Corp., 4.7%, 4/02/2027 | $ | 600,000 | $637,285 | |
| Imperial Tobacco Finance PLC, 3.75%, 7/21/2022 (n) | 266,000 | 267,099 | ||
| $904,384 | ||||
| Uruguay – 0.3% | ||||
| Oriental Republic of Uruguay, 4.375%, 1/23/2031 | $ | 350,000 | $384,741 | |
| Total Foreign Bonds | $8,376,746 | |||
| Total Bonds | $141,820,443 | |||
| Investment Companies (h) – 6.7% | ||||
| Money Market Funds – 6.7% | ||||
| MFS Institutional Money Market Portfolio, 0.06% (v) | 8,977,881 | $8,977,881 | ||
| Other Assets, Less Liabilities – (11.8)% | (15,921,336) | |||
| Net Assets – 100.0% | $134,876,988 | |||
| (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 $8,977,881 and $141,820,443, 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 $12,764,882, representing 9.5% 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, 1.386% (LIBOR - 1mo. + 1.2%), 11/25/2036 | 11/12/2021 | $219,983 | $217,851 |
| ReadyCap Commercial Mortgage Trust, 2021-FL7, “AS”, FLR, 1.687% (LIBOR - 1mo. + 1.5%), 11/25/2036 | 11/12/2021 | 100,000 | 98,652 |
| Total Restricted Securities | $316,503 | ||
| % of Net assets | 0.2% |
| The following abbreviations are used in this report and are defined: | |
| AAC | Ambac Assurance Corp. |
| AGM | Assured Guaranty Municipal |
7
Portfolio of Investments (unaudited) –
continued
| BAM | Build America Mutual |
| 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 |
| 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 2/28/22 | ||||||
| Forward Foreign Currency Exchange Contracts | ||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
| Asset Derivatives | ||||||
| USD | 419,008 | EUR | 367,738 | JPMorgan Chase Bank N.A. | 4/08/2022 | $6,061 |
| Futures Contracts | ||||||
| Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
| Asset Derivatives | ||||||
| Interest Rate Futures | ||||||
| U.S. Treasury Note 10 yr | Long | USD | 69 | $8,793,188 | June - 2022 | $48,172 |
| U.S. Treasury Ultra Bond | Long | USD | 4 | 743,750 | June - 2022 | 8,395 |
| U.S. Treasury Ultra Note 10 yr | Long | USD | 18 | 2,543,906 | June - 2022 | 27,693 |
| $84,260 | ||||||
| Liability Derivatives | ||||||
| Interest Rate Futures | ||||||
| U.S. Treasury Bond | Short | USD | 56 | $8,774,500 | June - 2022 | $(145,894) |
| U.S. Treasury Note 2 yr | Short | USD | 46 | 9,900,422 | June - 2022 | (34,084) |
| U.S. Treasury Note 5 yr | Short | USD | 50 | 5,914,063 | June - 2022 | (43,145) |
| $(223,123) | ||||||
At February 28, 2022, the fund had
liquid securities with an aggregate value of $214,071 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.
8
Supplemental Information
2/28/22 (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. 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. 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).
9
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 and forward foreign currency exchange contracts.
The following is a summary of the levels used as of February 28, 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 | $— | $55,362,401 | $— | $55,362,401 |
| Non - U.S. Sovereign Debt | — | 5,925,744 | — | 5,925,744 |
| Municipal Bonds | — | 4,518,032 | — | 4,518,032 |
| U.S. Corporate Bonds | — | 15,809,530 | — | 15,809,530 |
| Residential Mortgage-Backed Securities | — | 49,764,771 | — | 49,764,771 |
| Commercial Mortgage-Backed Securities | — | 5,221,019 | — | 5,221,019 |
| Asset-Backed Securities (including CDOs) | — | 2,559,612 | — | 2,559,612 |
| Foreign Bonds | — | 2,659,334 | — | 2,659,334 |
| Mutual Funds | 8,977,881 | — | — | 8,977,881 |
| Total | $8,977,881 | $141,820,443 | $— | $150,798,324 |
| Other Financial Instruments | ||||
| Futures Contracts – Assets | $84,260 | $— | $— | $84,260 |
| Futures Contracts – Liabilities | (223,123) | — | — | (223,123) |
| Forward Foreign Currency Exchange Contracts – Assets | — | 6,061 | — | 6,061 |
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 | $12,202,488 | $8,427,597 | $11,652,204 | $— | $— | $8,977,881 |
| Affiliated Issuers | Dividend Income | Capital Gain Distributions |
| MFS Institutional Money Market Portfolio | $1,667 | $— |
(3) Impacts of COVID-19
The pandemic related to the global
spread of novel coronavirus disease (COVID-19), which was first detected in December 2019, has resulted in significant disruptions to global business activity and the global economy, as well as the economies of
individual countries, the financial performance of individual companies and sectors, and the securities and commodities markets in general. Multiple surges in cases globally, the availability and widespread adoption
of vaccines, and the emergence of variant strains of the virus continue to create uncertainty as to the future and long-term impacts resulting from the pandemic including impacts to the prices and liquidity of the
fund's investments and the fund's performance.
(4) 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.
10