Quarterly Report
January 31, 2024
MFS® Emerging Markets Debt Local Currency Fund
EML-Q1
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 – 85.2% | ||||
Brazil – 11.7% | ||||
Federative Republic of Brazil, 0.01%, 1/01/2026 | BRL | 123,464,000 | $20,846,636 | |
Federative Republic of Brazil, 10%, 1/01/2027 | 200,031,000 | 40,488,289 | ||
$61,334,925 | ||||
Chile – 4.4% | ||||
AES Gener S.A., 6.35% to 4/07/2025, FLR (CMT - 5yr. + 4.917%) to 4/07/2030, FLR (CMT - 5yr. + 5.167%) to 4/07/2045, FLR (CMT - 5yr. + 5.917%) to 10/07/2079 (n) | $ | 936,000 | $884,913 | |
Codelco, Inc. (Republic of Chile), 6.44%, 1/26/2036 (n) | 622,000 | 635,037 | ||
Republic of Chile, 2.5%, 3/01/2025 | CLP | 5,750,000,000 | 5,985,340 | |
Republic of Chile, 5%, 10/01/2028 (n) | 8,795,000,000 | 9,502,015 | ||
Republic of Chile, 4.7%, 9/01/2030 | 3,670,000,000 | 3,820,039 | ||
Republic of Chile, Inflation Linked Bond, 3.4%, 10/01/2039 | 2,075,081,150 | 2,510,227 | ||
$23,337,571 | ||||
China – 4.5% | ||||
China Development Bank, 3.45%, 9/20/2029 | CNY | 39,970,000 | $5,838,550 | |
People's Republic of China, 2.75%, 2/17/2032 | 24,780,000 | 3,512,215 | ||
People's Republic of China, 2.88%, 2/25/2033 | 100,560,000 | 14,457,399 | ||
$23,808,164 | ||||
Colombia – 8.3% | ||||
Empresas Publicas de Medellin E.S.P., 8.375%, 11/08/2027 (n) | COP | 4,009,000,000 | $892,687 | |
Republic of Colombia, 7.5%, 8/26/2026 | 21,450,800,000 | 5,338,839 | ||
Republic of Colombia, 5.75%, 11/03/2027 | 91,004,300,000 | 21,106,839 | ||
Republic of Colombia, 7.25%, 10/18/2034 | 33,511,800,000 | 7,292,692 | ||
Republic of Colombia, “B”, 7.75%, 9/18/2030 | 37,543,600,000 | 9,028,767 | ||
$43,659,824 | ||||
Czech Republic – 5.1% | ||||
Czech Republic, 2.5%, 8/25/2028 | CZK | 311,370,000 | $12,907,546 | |
Czech Republic, 2.75%, 7/23/2029 | 48,800,000 | 2,028,904 | ||
Czech Republic, 2%, 10/13/2033 | 265,630,000 | 9,873,879 | ||
EPH Financing International A.S., 6.651%, 11/13/2028 | EUR | 1,161,000 | 1,282,065 | |
PPF Telecom Group B.V., 3.25%, 9/29/2027 | 900,000 | 943,078 | ||
$27,035,472 | ||||
Dominican Republic – 0.6% | ||||
Dominican Republic, 13.625%, 2/03/2033 (n) | DOP | 159,700,000 | $3,292,603 | |
Guatemala – 0.1% | ||||
Central America Bottling Co., 5.25%, 4/27/2029 (n) | $ | 546,000 | $510,035 | |
Hungary – 4.7% | ||||
Republic of Hungary, 4.5%, 3/23/2028 | HUF | 4,289,600,000 | $11,502,424 | |
Republic of Hungary, 2.25%, 4/20/2033 | 3,199,470,000 | 6,705,814 | ||
Republic of Hungary, 2.25%, 6/22/2034 | 3,212,630,000 | 6,535,737 | ||
$24,743,975 | ||||
India – 0.8% | ||||
Republic of India, 7.18%, 8/14/2033 | INR | 209,610,000 | $2,521,223 | |
Shriram Transport Finance Co. Ltd., 4.4%, 3/13/2024 (n) | $ | 1,720,000 | 1,712,948 | |
$4,234,171 |
1
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Indonesia – 8.1% | ||||
Republic of Indonesia, 6.375%, 8/15/2028 | IDR | 236,665,000,000 | $14,970,336 | |
Republic of Indonesia, 9%, 3/15/2029 | 36,969,000,000 | 2,592,515 | ||
Republic of Indonesia, 7%, 9/15/2030 | 123,476,000,000 | 7,999,101 | ||
Republic of Indonesia, 6.375%, 4/15/2032 | 58,369,000,000 | 3,643,180 | ||
Republic of Indonesia, 7.5%, 8/15/2032 | 103,331,000,000 | 6,905,235 | ||
Republic of Indonesia, 8.375%, 4/15/2039 | 80,644,000,000 | 5,839,689 | ||
Republic of Indonesia, 7.125%, 6/15/2043 | 6,000,000,000 | 390,061 | ||
$42,340,117 | ||||
Jamaica – 0.2% | ||||
Government of Jamaica, 9.625%, 11/03/2030 | JMD | 190,000,000 | $1,282,326 | |
Malaysia – 4.1% | ||||
Government of Malaysia, 3.733%, 6/15/2028 | MYR | 9,985,000 | $2,121,333 | |
Government of Malaysia, 4.232%, 6/30/2031 | 28,665,000 | 6,245,154 | ||
Government of Malaysia, 3.582%, 7/15/2032 | 25,387,000 | 5,260,171 | ||
Government of Malaysia, 3.757%, 5/22/2040 | 16,760,000 | 3,403,946 | ||
Government of Malaysia, 4.065%, 6/15/2050 | 20,945,000 | 4,335,676 | ||
$21,366,280 | ||||
Mexico – 10.8% | ||||
Buffalo Energy Mexico Holdings S.A. de C.V., 7.875%, 2/15/2039 (n) | $ | 1,031,000 | $1,065,951 | |
Electricidad Firme de Mexico, 4.9%, 11/20/2026 (n) | 1,096,000 | 1,010,958 | ||
Grupo Axo S.A.P.I. de C.V., 5.75%, 6/08/2026 (n) | 764,000 | 713,873 | ||
Petroleos Mexicanos, 7.47%, 11/12/2026 | MXN | 10,559,900 | 536,113 | |
Red de Carreteras de Occidente SAPIB de C.V., 9%, 6/10/2028 (z) | 9,279,900 | 503,980 | ||
United Mexican States, 10%, 12/05/2024 | 23,970,000 | 1,384,136 | ||
United Mexican States, 5.75%, 3/05/2026 | 79,400,000 | 4,253,366 | ||
United Mexican States, 8.5%, 5/31/2029 | 279,900,000 | 15,846,066 | ||
United Mexican States, 7.75%, 5/29/2031 | 246,200,000 | 13,222,262 | ||
United Mexican States, 7.5%, 5/26/2033 | 86,400,000 | 4,482,225 | ||
United Mexican States, 7.75%, 11/23/2034 | 265,300,000 | 13,836,478 | ||
$56,855,408 | ||||
Peru – 2.5% | ||||
Banco de Credito del Peru, 4.65%, 9/17/2024 (n) | PEN | 10,403,000 | $2,685,906 | |
Hunt Oil Co. of Peru LLC, 8.55%, 9/18/2033 (n) | $ | 766,000 | 815,803 | |
Peru LNG, 5.375%, 3/22/2030 | 1,360,000 | 1,119,575 | ||
Republic of Peru, 6.95%, 8/12/2031 | PEN | 27,605,000 | 7,572,889 | |
San Miguel Industrias PET S.A., 3.5%, 8/02/2028 (n) | $ | 945,000 | 817,425 | |
$13,011,598 | ||||
Philippines – 0.5% | ||||
Republic of Philippines, 6.875%, 1/10/2029 | PHP | 140,000,000 | $2,562,297 | |
Poland – 2.5% | ||||
Can-Pack S.A./Eastern PA Land Investment Holding LLC, 3.875%, 11/15/2029 (n) | $ | 1,113,000 | $980,898 | |
Republic of Poland, 2.75%, 4/25/2028 | PLN | 13,830,000 | 3,173,845 | |
Republic of Poland, 1.25%, 10/25/2030 | 21,424,000 | 4,226,234 | ||
Republic of Poland, 1.75%, 4/25/2032 | 21,249,000 | 4,126,100 | ||
Synthos S.A., 2.5%, 6/07/2028 (n) | EUR | 573,000 | 534,616 | |
$13,041,693 | ||||
Romania – 4.0% | ||||
Republic of Romania, 4.75%, 2/24/2025 | RON | 50,935,000 | $10,930,040 | |
Republic of Romania, 8.75%, 10/30/2028 | 14,700,000 | 3,515,713 | ||
Republic of Romania, 4.25%, 4/28/2036 | 35,715,000 | 6,379,741 | ||
$20,825,494 |
2
Portfolio of Investments (unaudited) – continued
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Slovenia – 0.1% | ||||
United Group B.V., 6.75%, 2/15/2031 (n) | EUR | 311,000 | $334,609 | |
South Africa – 6.0% | ||||
Eskom Holdings SOC Ltd. (Republic of South Africa), 7.85%, 4/02/2026 | ZAR | 36,000,000 | $1,859,525 | |
Republic of South Africa, 8%, 1/31/2030 | 65,563,000 | 3,225,710 | ||
Republic of South Africa, 7%, 2/28/2031 | 99,671,000 | 4,467,028 | ||
Republic of South Africa, 8.875%, 2/28/2035 | 156,479,000 | 7,039,779 | ||
Republic of South Africa, 9%, 1/31/2040 | 336,069,000 | 13,963,310 | ||
Transnet SOC Ltd. (Republic of South Africa), 13.5%, 4/18/2028 | 14,800,000 | 830,757 | ||
$31,386,109 | ||||
Sri Lanka – 0.3% | ||||
Republic of Sri Lanka, 6.75%, 4/18/2028 (a)(d) | $ | 2,408,000 | $1,229,073 | |
Republic of Sri Lanka, 7.85%, 3/14/2029 (a)(d)(n) | 972,000 | 490,969 | ||
$1,720,042 | ||||
Thailand – 4.1% | ||||
Kingdom of Thailand, 3.775%, 6/25/2032 | THB | 459,633,000 | $14,070,637 | |
Kingdom of Thailand, 1.6%, 6/17/2035 | 141,450,000 | 3,546,304 | ||
Kingdom of Thailand, 3.3%, 6/17/2038 | 84,884,000 | 2,499,860 | ||
Kingdom of Thailand, 2%, 6/17/2042 | 63,517,000 | 1,536,360 | ||
$21,653,161 | ||||
Uruguay – 1.8% | ||||
Oriental Republic of Uruguay, 8.5%, 3/15/2028 | UYU | 249,281,000 | $6,191,476 | |
Oriental Republic of Uruguay, 8.25%, 5/21/2031 | 67,477,000 | 1,623,273 | ||
Oriental Republic of Uruguay, 9.75%, 7/20/2033 | 64,341,000 | 1,693,918 | ||
$9,508,667 | ||||
Total Bonds | $447,844,541 |
Underlying/Expiration Date/Exercise Price | Put/Call | Counterparty | Notional Amount | Par Amount/ Number of Contracts | |
Purchased Options – 0.0% | |||||
Equity ETFs – 0.0% | |||||
iShares MSCI Emerging Markets ETF – June 2024 @ $37 | Put | Goldman Sachs International | $5,758,500 | 1,500 | $136,500 |
iShares MSCI Emerging Markets ETF – September 2024 @ $34 | Put | Goldman Sachs International | 3,570,270 | 930 | 69,750 |
$206,250 |
Issuer | Shares/Par | |||
Investment Companies (h) – 10.8% | ||||
Money Market Funds – 10.8% | ||||
MFS Institutional Money Market Portfolio, 5.4% (v) | 56,637,088 | $56,642,752 | ||
Other Assets, Less Liabilities – 4.0% | 21,262,479 | |||
Net Assets – 100.0% | $525,956,022 |
(a) | Non-income producing security. |
(d) | In default. |
(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 $56,642,752 and $448,050,791, 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 $26,881,246, representing 5.1% 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. |
3
Portfolio of Investments (unaudited) – continued
(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 |
Red de Carreteras de Occidente SAPIB de C.V., 9%, 6/10/2028 | 12/10/2014 | $628,591 | $503,980 |
% of Net assets | 0.1% |
The following abbreviations are used in this report and are defined: | |
BUBOR | Budapest Interbank Offered Rate |
BZDIOVRA | Brazil Interbank Deposit Rate |
CLOIS | Sinacofi Chile Interbank Rate Average |
CMT | Constant Maturity Treasury |
ETF | Exchange-Traded Fund |
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. |
KLIBOR | Kuala Lumpur Interbank Offered Rate |
PRIBOR | Prague Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
THBFIX | Thai Baht Floating Rate Fixed |
TIIE | Interbank Equilibrium Interest Rate |
USA-CPI-U | Consumer Price Index - Urban Consumers |
WIBOR | Warsaw Interbank Offered 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: | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CLP | Chilean Peso |
CNH | Chinese Yuan Renminbi (Offshore) |
CNY | China Yuan Renminbi |
COP | Colombian Peso |
CZK | Czech Koruna |
EUR | Euro |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
PEN | Peruvian Nuevo Sol |
PHP | Philippine Peso |
PLN | Polish Zloty |
RON | Romanian New Leu |
SGD | Singapore Dollar |
THB | Thai Baht |
TRY | Turkish Lira |
UYU | Uruguayan Peso |
ZAR | South African Rand |
Derivative Contracts at 1/31/24 | ||||||
Forward Foreign Currency Exchange Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives | ||||||
COP | 2,014,717,090 | USD | 500,940 | Barclays Bank PLC | 4/17/2024 | $9,242 |
COP | 2,769,338,760 | USD | 692,593 | JPMorgan Chase Bank N.A. | 4/17/2024 | 8,681 |
4
Portfolio of Investments (unaudited) – continued
Forward Foreign Currency Exchange Contracts − continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives − continued | ||||||
MXN | 9,639,377 | USD | 552,550 | Morgan Stanley Capital Services, Inc. | 4/19/2024 | $409 |
MXN | 13,412,626 | USD | 768,586 | State Street Bank Corp. | 4/19/2024 | 825 |
TRY | 255,984,321 | USD | 7,691,166 | BNP Paribas S.A. | 4/19/2024 | 114,918 |
ZAR | 9,763,233 | USD | 512,104 | Brown Brothers Harriman | 4/19/2024 | 5,979 |
ZAR | 46,940,947 | USD | 2,490,646 | State Street Bank Corp. | 4/19/2024 | 264 |
USD | 10,607,857 | AUD | 15,772,622 | HSBC Bank | 4/19/2024 | 234,661 |
USD | 646,618 | BRL | 3,178,000 | Banco Santander S.A. | 2/02/2024 | 5,168 |
USD | 5,927,648 | BRL | 29,317,701 | Barclays Bank PLC | 2/02/2024 | 10,138 |
USD | 3,547,047 | BRL | 17,629,357 | Barclays Bank PLC | 5/03/2024 | 22,161 |
USD | 4,146,687 | BRL | 20,450,630 | Citibank N.A. | 2/02/2024 | 18,916 |
USD | 1,880,542 | BRL | 9,278,969 | Goldman Sachs International | 2/22/2024 | 10,946 |
USD | 1,710,672 | BRL | 8,508,556 | Goldman Sachs International | 5/03/2024 | 9,436 |
USD | 252,790 | CAD | 337,423 | HSBC Bank | 4/19/2024 | 1,561 |
USD | 11,109,547 | CLP | 10,292,655,674 | Barclays Bank PLC | 4/12/2024 | 92,247 |
USD | 759,653 | CLP | 704,046,137 | Citibank N.A. | 4/12/2024 | 6,039 |
USD | 486,629 | CLP | 444,861,985 | Morgan Stanley Capital Services, Inc. | 4/12/2024 | 10,447 |
USD | 1,153,401 | CNH | 8,233,081 | HSBC Bank | 4/19/2024 | 2,449 |
USD | 257,760 | EUR | 235,793 | HSBC Bank | 4/19/2024 | 2,102 |
USD | 1,310,779 | EUR | 1,191,248 | State Street Bank Corp. | 4/19/2024 | 19,168 |
USD | 3,862,295 | HUF | 1,344,945,314 | BNP Paribas S.A. | 4/19/2024 | 101,035 |
USD | 1,314,347 | JPY | 190,504,772 | Morgan Stanley Capital Services, Inc. | 4/19/2024 | 4,261 |
USD | 8,041,850 | KRW | 10,381,189,431 | Barclays Bank PLC | 2/16/2024 | 257,607 |
USD | 564,224 | PEN | 2,130,176 | Goldman Sachs International | 2/29/2024 | 4,706 |
USD | 2,364,615 | PHP | 131,900,608 | Barclays Bank PLC | 2/07/2024 | 21,861 |
USD | 2,633,147 | PLN | 10,424,418 | Merrill Lynch International | 4/19/2024 | 32,354 |
USD | 1,230,961 | RON | 5,583,621 | UBS AG | 4/19/2024 | 19,299 |
USD | 1,114,435 | THB | 38,897,000 | JPMorgan Chase Bank N.A. | 4/03/2024 | 18,415 |
$1,045,295 | ||||||
Liability Derivatives | ||||||
BRL | 3,178,000 | USD | 641,566 | Banco Santander S.A. | 2/02/2024 | $(117) |
BRL | 29,317,701 | USD | 5,949,824 | Barclays Bank PLC | 2/02/2024 | (32,315) |
BRL | 20,450,630 | USD | 4,128,521 | Citibank N.A. | 2/02/2024 | (750) |
CNH | 78,286,387 | USD | 10,984,757 | State Street Bank Corp. | 4/19/2024 | (40,625) |
CZK | 123,724,084 | USD | 5,478,931 | HSBC Bank | 4/19/2024 | (102,102) |
EUR | 273,681 | USD | 298,345 | HSBC Bank | 4/19/2024 | (1,606) |
EUR | 2,382,035 | USD | 2,623,537 | Merrill Lynch International | 4/19/2024 | (40,816) |
EUR | 1,861,666 | USD | 2,033,835 | State Street Bank Corp. | 4/19/2024 | (15,324) |
HUF | 71,311,889 | USD | 200,431 | HSBC Bank | 4/19/2024 | (1,001) |
IDR | 113,919,444,569 | USD | 7,335,444 | Barclays Bank PLC | 2/12/2024 | (117,243) |
IDR | 19,808,726,299 | USD | 1,268,650 | Morgan Stanley Capital Services, Inc. | 2/12/2024 | (13,524) |
JPY | 1,110,459,131 | USD | 7,651,547 | HSBC Bank | 4/19/2024 | (15,010) |
MXN | 749,638 | USD | 43,093 | HSBC Bank | 4/19/2024 | (90) |
MYR | 144,194,085 | USD | 30,822,869 | Barclays Bank PLC | 3/14/2024 | (262,226) |
PEN | 21,230,000 | USD | 5,687,033 | Barclays Bank PLC | 2/29/2024 | (110,707) |
PEN | 2,840,113 | USD | 757,869 | Citibank N.A. | 4/29/2024 | (12,581) |
PEN | 11,154,000 | USD | 2,989,448 | Merrill Lynch International | 2/29/2024 | (59,710) |
PLN | 60,063,326 | USD | 15,106,237 | HSBC Bank | 4/19/2024 | (121,013) |
PLN | 67,130,545 | USD | 16,892,862 | Merrill Lynch International | 4/19/2024 | (144,435) |
RON | 2,513,919 | USD | 548,497 | HSBC Bank | 4/19/2024 | (2,969) |
SGD | 3,456,419 | USD | 2,586,395 | State Street Bank Corp. | 4/19/2024 | (1,103) |
THB | 117,728,601 | USD | 3,392,364 | Barclays Bank PLC | 4/03/2024 | (75,069) |
THB | 1,123,968,456 | USD | 32,381,689 | JPMorgan Chase Bank N.A. | 4/03/2024 | (711,090) |
USD | 12,691,367 | CAD | 17,102,522 | State Street Bank Corp. | 4/19/2024 | (42,363) |
USD | 4,020,690 | COP | 16,180,261,145 | Barclays Bank PLC | 4/17/2024 | (76,601) |
5
Portfolio of Investments (unaudited) – continued
Forward Foreign Currency Exchange Contracts − continued | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Liability Derivatives − continued | ||||||
USD | 13,620,978 | COP | 54,763,141,138 | Goldman Sachs International | 4/17/2024 | $(246,567) |
USD | 2,395,308 | JPY | 350,334,296 | Citibank N.A. | 4/19/2024 | (13,913) |
USD | 203,969 | PEN | 777,305 | Citibank N.A. | 4/29/2024 | (7) |
USD | 9,475,413 | PEN | 36,812,929 | Merrill Lynch International | 2/29/2024 | (193,963) |
USD | 5,000,069 | THB | 177,788,912 | JPMorgan Chase Bank N.A. | 4/03/2024 | (9,574) |
USD | 1,163,597 | TRY | 38,641,059 | State Street Bank Corp. | 4/19/2024 | (14,738) |
$(2,479,152) |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
Euro-Bobl 5 yr | Long | EUR | 210 | $26,900,028 | March – 2024 | $106,800 |
U.S. Treasury Note 10 yr | Long | USD | 90 | 10,109,531 | March – 2024 | 174,769 |
U.S. Treasury Note 2 yr | Long | USD | 160 | 32,905,000 | March – 2024 | 296,767 |
U.S. Treasury Note 5 yr | Long | USD | 400 | 43,356,250 | March – 2024 | 846,464 |
$1,424,800 |
Cleared Swap Agreements | ||||||||||
Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive/ Frequency | Cash Flows to Pay/ Frequency | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |||
Asset Derivatives | ||||||||||
Interest Rate Swaps | ||||||||||
1/02/29 | BRL | 22,600,000 | centrally cleared | 11.18% / At Maturity | Daily BZDIOVRA / At Maturity | $139,644 | $— | $139,644 | ||
1/02/29 | BRL | 10,545,000 | centrally cleared | 11.12% / At Maturity | Daily BZDIOVRA / At Maturity | 61,845 | — | 61,845 | ||
9/20/25 | CLP | 4,375,000,000 | centrally cleared | 5.61% / Semi-annually | Daily CLOIS / Semi-annually | 669 | — | 669 | ||
6/20/27 | CZK | 228,000,000 | centrally cleared | 3.94% / Annually | PRIBOR / Semi-annually | 110,542 | 55,213 | 165,755 | ||
12/22/27 | CZK | 727,831,000 | centrally cleared | 3.17% / Annually | PRIBOR / Semi-annually | 45,198 | 19,697 | 64,895 | ||
4/13/32 | USD | 2,916,000 | centrally cleared | 3.116% / At Maturity | USA-CPI-U / At Maturity | 71,760 | — | 71,760 | ||
$429,658 | $74,910 | $504,568 | ||||||||
Liability Derivatives | ||||||||||
Interest Rate Swaps | ||||||||||
1/02/26 | BRL | 25,000,000 | centrally cleared | 10.045% / At Maturity | Daily BZDIOVRA / At Maturity | $(11,661) | $— | $(11,661) | ||
1/02/26 | BRL | 48,270,000 | centrally cleared | 9.9975% / At Maturity | Daily BZDIOVRA / At Maturity | (3,761) | — | (3,761) | ||
1/02/26 | BRL | 39,635,000 | centrally cleared | 10.08% / At Maturity | Daily BZDIOVRA / At Maturity | (21,904) | — | (21,904) | ||
1/02/26 | BRL | 15,000,000 | centrally cleared | 9.9325% / At Maturity | Daily BZDIOVRA / At Maturity | (12,153) | — | (12,153) |
6
Portfolio of Investments (unaudited) – continued
Cleared Swap Agreements − continued | ||||||||||
Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive/ Frequency | Cash Flows to Pay/ Frequency | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |||
Liability Derivatives − continued | ||||||||||
Interest Rate Swaps − continued | ||||||||||
1/02/29 | BRL | 79,677,000 | centrally cleared | 10.255% / At Maturity | Daily BZDIOVRA / At Maturity | $(28,546) | $— | $(28,546) | ||
4/28/33 | CLP | 3,953,502,000 | centrally cleared | Daily CLOIS / Semi-annually | 5.17% / Semi-annually | (96,413) | — | (96,413) | ||
10/23/33 | CLP | 2,251,371,000 | centrally cleared | Daily CLOIS / Semi-annually | 6.1% / Semi-annually | (228,049) | — | (228,049) | ||
12/22/27 | CZK | 949,069,000 | centrally cleared | 3.05% / Annually | PRIBOR / Semi-annually | (44,911) | 38,069 | (6,842) | ||
12/20/33 | HUF | 2,205,927,000 | centrally cleared | 6.05% / Annually | BUBOR / Semi-annually | (29,953) | — | (29,953) | ||
12/18/30 | MXN | 270,727,000 | centrally cleared | 7.905% / 28 Days | 28 day TIIE / 28 days | (66,691) | (24) | (66,715) | ||
12/18/30 | MXN | 75,855,000 | centrally cleared | 7.85% / 28 Days | 28 day TIIE / 28 days | (27,587) | 482 | (27,105) | ||
12/17/31 | PLN | 21,083,000 | centrally cleared | 3.86% / Annually | WIBOR / Semi-annually | (99,496) | (9,238) | (108,734) | ||
7/27/32 | THB | 200,000,000 | centrally cleared | 2.47% / Quarterly | 6-Month THBFIX / Quarterly | (42,866) | — | (42,866) | ||
4/28/33 | USD | 4,867,000 | centrally cleared | 3.149% / Annually | Daily SOFR / Annually | (262,105) | — | (262,105) | ||
$(976,096) | $29,289 | $(946,807) |
Uncleared Swap Agreements | ||||||||||
Maturity Date | Notional Amount | Counterparty | Cash Flows to Receive/ Frequency | Cash Flows to Pay/ Frequency | Unrealized Appreciation (Depreciation) | Net Unamortized Upfront Payments (Receipts) | Value | |||
Asset Derivatives | ||||||||||
Interest Rate Swaps | ||||||||||
7/07/27 | MYR | 36,564,000 | JPMorgan Chase Bank N.A. | 3.65% / Quarterly | 3-Month KLIBOR / Quarterly | $43,762 | $— | $43,762 |
At January 31, 2024, the fund had cash collateral of $6,667,028 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.
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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. Exchange-traded options are generally valued at the last sale or official closing price on their primary exchange as provided by a third-party pricing service. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation on their primary exchange as provided by a third-party pricing service. For put options, the position may be valued at the last daily ask quotation if there are no trades reported during the day. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally valued at valuations provided by a third-party pricing service. 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. Swap agreements are generally valued using valuations provided by a third-party pricing service, which for cleared swaps includes an evaluation of any trading activity at the clearinghouses. 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).
8
Supplemental Information (unaudited) – continued
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, forward foreign currency exchange contracts, and swap agreements. 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 |
Equity Securities: | ||||
United States | $— | $206,250 | $— | $206,250 |
Non - U.S. Sovereign Debt | — | 431,927,910 | — | 431,927,910 |
Foreign Bonds | — | 15,916,631 | — | 15,916,631 |
Mutual Funds | 56,642,752 | — | — | 56,642,752 |
Total | $56,642,752 | $448,050,791 | $— | $504,693,543 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $1,424,800 | $— | $— | $1,424,800 |
Forward Foreign Currency Exchange Contracts – Assets | — | 1,045,295 | — | 1,045,295 |
Forward Foreign Currency Exchange Contracts – Liabilities | — | (2,479,152) | — | (2,479,152) |
Swap Agreements – Assets | — | 548,330 | — | 548,330 |
Swap Agreements – Liabilities | — | (946,807) | — | (946,807) |
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 | $24,854,062 | $62,169,197 | $30,381,672 | $807 | $358 | $56,642,752 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $605,189 | $— |
(3) Issuer Country Weightings
Issuer country weighting percentages of portfolio holdings based on net assets, as of January 31, 2024, are as follows:
Czech Republic | 21.1% |
Brazil | 18.7% |
Mexico | 14.8% |
Colombia | 8.5% |
Indonesia | 8.3% |
South Africa | 6.1% |
Hungary | 6.0% |
Malaysia | 5.6% |
United States | (23.1)% |
Other Countries | 34.0% |
The issuer country weighting percentages include both accrued interest amounts and the equivalent exposure from any derivative holdings, if applicable.
9