NPORT-EX 3 edgar.htm
Quarterly Report
May 31, 2020
MFS®  Government
Securities Fund
Portfolio of Investments
5/31/20 (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 – 98.2%
Asset-Backed & Securitized – 5.1%
Bancorp Commercial Mortgage Trust, 2019-CRE6, “A”, FLR, 1.235% (LIBOR - 1mo. + 1.05%), 9/15/2036 (n)   $ 6,130,874 $5,891,885
Cantor Commercial Real Estate, 2019-CF3, “A4”, 3.005%, 1/15/2053      5,105,000 5,431,904
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n)     1,259,562 1,221,300
Chesapeake Funding II LLC, 2018-3A, “A1”, 3.39%, 1/15/2031 (n)     1,058,044 1,083,627
Citigroup Commercial Mortgage Trust, 2015-GC27, “A5”, 3.137%, 2/10/2048      1,000,000 1,058,228
Citigroup Commercial Mortgage Trust, 2019-C7, “A4”, 3.102%, 12/15/2072      1,830,317 2,002,245
Citigroup Commercial Mortgage Trust, 2019-XA, “C7”, 0.88%, 12/15/2072 (i)(n)     23,634,615 1,454,285
Commercial Mortgage Pass-Through Certificates, 2019-BN24, “A3”, 2.96%, 11/15/2062      3,955,238 4,274,899
Commercial Mortgage Trust, 2014-CR19, “A5”, 3.796%, 8/10/2047      1,000,000 1,065,687
Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/2048      4,990,000 5,297,336
Commercial Mortgage Trust, 2015-LC21, “A4”, 3.708%, 7/10/2048      3,135,000 3,409,141
Commercial Mortgage Trust, 2015-PC1, “A5”, 3.902%, 7/10/2050      5,300,000 5,753,555
Commercial Mortgage Trust, 2017-COR2, “A3”, 3.51%, 9/10/2050      5,351,861 5,783,924
CSAIL Commercial Mortgage Trust, 2015-C2, “A4”, 3.504%, 6/15/2057      5,341,994 5,696,173
Dryden Senior Loan Fund, 2018-55A, “A1”, CLO, FLR, 2.239% (LIBOR - 3mo. + 1.02%), 4/15/2031 (n)     6,145,237 5,975,131
GS Mortgage Securities Trust, 2015-GC30, “A4”, 3.382%, 5/10/2050      5,951,000 6,390,197
GS Mortgage Securities Trust, 2015-GC32, “A2”, 3.062%, 7/10/2048      2,037,493 2,038,202
GS Mortgage Securities Trust, 2020-GC45, “A5”, 2.911%, 2/13/2053      3,429,659 3,688,526
Loomis, Sayles & Co., CLO, 2015-2A, “A2R”, FLR, 2.619% (LIBOR - 3mo. + 1.4%), 4/15/2028 (n)     5,409,775 5,211,534
Madison Park Funding Ltd., 2014-13A, “BR2”, FLR, 2.635% (LIBOR - 3mo. + 1.5%), 4/19/2030 (n)     5,711,934 5,534,436
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C34, “A4”, 3.536%, 11/15/2052      1,650,987 1,827,117
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 1.031%, 12/15/2051 (i)     25,047,131 1,411,356
Neuberger Berman CLO Ltd., 2015-20, “AR”, FLR, 2.018% (LIBOR - 3mo. + 0.8%), 1/15/2028 (n)     2,331,900 2,277,287
Palmer Square Loan Funding Ltd., 2020-1A, “A2”, FLR, 1.727% (LIBOR - 3mo. + 1.35%), 2/20/2028 (n)     3,163,115 3,048,272
Symphony CLO Ltd., 2016-17A, “BR”, FLR, 2.419% (LIBOR - 3mo. + 1.2%), 4/15/2028 (n)     4,840,622 4,774,092
UBS Commercial Mortgage Trust, 2017-C1, “A4”, 3.544%, 11/15/2050      4,509,000 4,940,981
Wells Fargo Commercial Mortgage Trust, 2015-C28, “A4”, 3.54%, 5/15/2048      5,531,348 5,961,079
Wells Fargo Commercial Mortgage Trust, 2015-NXS1, “A5”, 3.148%, 5/15/2048      2,177,277 2,302,744
Wells Fargo Commercial Mortgage Trust, 2016-LC25, “A4”, 3.64%, 12/15/2059      1,960,000 2,150,899
Wells Fargo Commercial Mortgage Trust, 2018-C48, “XA”, 1.121%, 1/15/2052 (i)(n)     14,593,290 892,091
Wells Fargo Commercial Mortgage Trust, 2019-C54, “A4”, 3.146%, 12/15/2052      7,948,914 8,662,027
        $116,510,160
Automotive – 0.4%
Hyundai Capital America, 2.85%, 11/01/2022 (n)   $ 2,831,000 $2,829,400
Hyundai Capital America, 2.375%, 2/10/2023 (n)     1,899,000 1,875,021
Volkswagen Group of America Co., 2.7%, 9/26/2022 (n)     3,532,000 3,570,495
        $8,274,916
Consumer Products – 0.2%
Reckitt Benckiser Treasury Services PLC, 2.75%, 6/26/2024 (n)   $ 4,386,000 $4,631,670
Consumer Services – 0.1%
Conservation Fund, 3.474%, 12/15/2029    $ 2,464,000 $2,612,599
Industrial – 0.1%
Howard University, Washington D.C., 2.638%, 10/01/2021    $ 436,000 $439,743
Howard University, Washington D.C., 2.738%, 10/01/2022      458,000 463,861
Howard University, Washington D.C., 2.801%, 10/01/2023      505,000 516,510
Howard University, Washington D.C., 2.416%, 10/01/2024      556,000 567,686
Howard University, Washington D.C., 2.516%, 10/01/2025      688,000 688,450
        $2,676,250
Major Banks – 0.1%
UBS Group AG, 3.491%, 5/23/2023 (n)   $ 2,120,000 $2,207,660
1
Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Medical & Health Technology & Services – 0.7%
Montefiore Obligated Group, 5.246%, 11/01/2048    $ 7,884,000 $9,491,677
ProMedica Toledo Hospital, “B”, 5.75%, 11/15/2038      1,992,000 2,305,063
Toledo Hospital, 5.325%, 11/15/2028      4,139,000 4,840,478
        $16,637,218
Mortgage-Backed – 58.0%  
Fannie Mae, 5%, 7/01/2020 - 3/01/2042   $ 16,563,596 $18,928,685
Fannie Mae, 4.14%, 8/01/2020     1,238,072 1,237,394
Fannie Mae, 5.19%, 9/01/2020     1,367,785 1,366,751
Fannie Mae, 4.5%, 11/01/2020 - 6/01/2044     46,473,556 51,680,945
Fannie Mae, 6%, 2/01/2021 - 12/01/2037     3,428,097 3,924,660
Fannie Mae, 2.152%, 1/25/2023     2,913,226 2,978,087
Fannie Mae, 2.41%, 5/01/2023     1,413,498 1,466,762
Fannie Mae, 2.55%, 5/01/2023     1,216,526 1,267,093
Fannie Mae, 2.59%, 5/01/2023     774,250 807,354
Fannie Mae, 5.5%, 6/01/2023 - 4/01/2050     20,733,015 24,095,730
Fannie Mae, 3.78%, 10/01/2023     866,244 936,958
Fannie Mae, 3.5%, 5/25/2025 - 5/01/2049     89,610,521 96,592,051
Fannie Mae, 3.59%, 9/01/2026     993,452 1,121,718
Fannie Mae, 2.28%, 11/01/2026     890,676 945,703
Fannie Mae, 2.584%, 12/25/2026     10,346,000 11,237,442
Fannie Mae, 3.045%, 3/25/2028     4,554,000 5,122,369
Fannie Mae, 4%, 3/25/2028 - 7/01/2047     94,570,389 103,696,470
Fannie Mae, 3%, 11/01/2028 - 5/25/2053     112,277,432 119,082,214
Fannie Mae, 2.5%, 11/01/2031 - 3/01/2050     20,026,993 20,952,732
Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i)     3,360,505 354,216
Fannie Mae, 6.5%, 1/01/2032 - 10/01/2037     1,543,201 1,775,088
Fannie Mae, 3%, 2/25/2033 (i)     2,701,566 294,791
Fannie Mae, 2%, 10/25/2040 - 4/25/2046     5,494,245 5,641,272
Fannie Mae, 1.75%, 9/25/2041 - 10/25/2041     14,238,879 14,480,631
Fannie Mae, 2.75%, 9/25/2042     3,698,663 3,876,025
Fannie Mae, TBA, 2.5%, 6/01/2035 - 7/01/2050     70,900,000 73,711,097
Fannie Mae, TBA, 3%, 6/01/2035 - 7/01/2050     49,760,603 52,279,592
Fannie Mae, TBA, 3.5%, 6/01/2035 - 6/01/2050     16,254,066 17,151,872
Fannie Mae, TBA, 2%, 7/01/2035 - 7/01/2050     10,975,000 11,194,673
Fannie Mae, TBA, 4%, 6/01/2050     10,375,000 11,044,917
Freddie Mac, 3.808%, 8/25/2020     1,258,428 1,262,338
Freddie Mac, 3.034%, 10/25/2020     3,366,938 3,369,897
Freddie Mac, 5.5%, 4/01/2021 - 9/01/2041     6,963,342 8,048,263
Freddie Mac, 6%, 5/01/2021 - 10/01/2038     2,427,431 2,763,878
Freddie Mac, 5%, 12/01/2021 - 12/01/2044     16,579,798 19,043,585
Freddie Mac, 4.5%, 11/01/2022 - 5/01/2042     7,407,577 8,201,357
Freddie Mac, 2.51%, 11/25/2022     6,640,000 6,901,297
Freddie Mac, 3.32%, 2/25/2023     4,605,000 4,897,085
Freddie Mac, 3.25%, 4/25/2023     9,000,000 9,595,198
Freddie Mac, 3.06%, 7/25/2023     871,000 929,250
Freddie Mac, 3.531%, 7/25/2023     240,000 259,592
Freddie Mac, 3.458%, 8/25/2023     4,600,000 4,969,224
Freddie Mac, 1.022%, 4/25/2024 (i)     54,365,058 1,477,474
Freddie Mac, 0.734%, 7/25/2024 (i)     59,298,193 1,249,929
Freddie Mac, 3.303%, 7/25/2024     4,700,000 5,152,011
Freddie Mac, 3.064%, 8/25/2024     6,098,509 6,601,916
Freddie Mac, 2.67%, 12/25/2024     10,788,000 11,637,927
Freddie Mac, 2.811%, 1/25/2025     9,000,000 9,774,980
Freddie Mac, 3.329%, 5/25/2025     9,024,000 10,051,498
Freddie Mac, 4%, 7/01/2025 - 4/01/2044     6,437,532 7,017,279
Freddie Mac, 3.01%, 7/25/2025     2,651,000 2,917,840
Freddie Mac, 3.3%, 10/25/2026     7,808,000 8,838,537
Freddie Mac, 3.413%, 12/25/2026     744,000 848,077
2
Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Mortgage-Backed – continued  
Freddie Mac, 3.5%, 1/15/2027 - 10/25/2058   $ 91,117,822 $98,240,431
Freddie Mac, 1.482%, 3/25/2027 (i)     5,583,000 460,007
Freddie Mac, 3.117%, 6/25/2027     5,237,000 5,902,145
Freddie Mac, 0.577%, 7/25/2027 (i)     106,328,878 3,810,784
Freddie Mac, 0.434%, 8/25/2027 (i)     84,380,745 2,291,418
Freddie Mac, 3.187%, 9/25/2027     12,800,000 14,492,485
Freddie Mac, 0.29%, 1/25/2028 (i)     151,776,428 3,242,263
Freddie Mac, 0.434%, 1/25/2028 (i)     62,463,899 1,364,792
Freddie Mac, 0.27%, 2/25/2028 (i)     177,565,719 1,993,388
Freddie Mac, 3.65%, 2/25/2028     880,000 1,027,910
Freddie Mac, 2.5%, 3/15/2028     780,220 812,311
Freddie Mac, 0.119%, 4/25/2028 (i)     113,977,448 1,195,635
Freddie Mac, 3%, 6/15/2028 - 2/25/2059     83,043,723 89,171,199
Freddie Mac, 3.854%, 6/25/2028     5,050,000 5,969,529
Freddie Mac, 3.926%, 7/25/2028     4,501,000 5,357,147
Freddie Mac, 3.78%, 10/25/2028     5,756,000 6,806,422
Freddie Mac, 4.06%, 10/25/2028     5,767,000 6,949,612
Freddie Mac, 1.089%, 7/25/2029 (i)     19,400,032 1,597,575
Freddie Mac, 0.757%, 11/25/2029 (i)     77,381,237 3,843,224
Freddie Mac, 1.639%, 2/25/2030     5,284,947 5,495,864
Freddie Mac, 1.916%, 4/25/2030 (i)     6,841,545 1,021,018
Freddie Mac, 3.424%, 4/25/2032     9,800,000 11,357,538
Freddie Mac, 5.5%, 2/15/2036 (i)     688,415 136,591
Freddie Mac, 2%, 8/15/2036     8,771,110 8,906,667
Freddie Mac, 6.5%, 5/01/2037     224,357 256,758
Freddie Mac, 4.5%, 12/15/2040 (i)     306,001 29,332
Freddie Mac, 1.75%, 8/15/2041     2,617,938 2,673,005
Freddie Mac, 1.27%, 10/25/2052 (i)     34,009,091 2,917,378
Ginnie Mae, 2.5%, 7/20/2032 - 6/20/2042     2,551,000 2,710,015
Ginnie Mae, 5.5%, 3/15/2033 - 1/20/2042     3,171,344 3,620,957
Ginnie Mae, 4.5%, 7/20/2033 - 7/20/2049     10,684,658 11,919,075
Ginnie Mae, 5.705%, 8/20/2034     2,323,551 2,691,810
Ginnie Mae, 5.875%, 1/20/2039     3,061,374 3,580,120
Ginnie Mae, 4%, 5/16/2039 - 4/20/2050     18,210,484 19,613,179
Ginnie Mae, 3.5%, 4/15/2040 - 5/20/2050     32,860,158 35,419,504
Ginnie Mae, 3.5%, 10/20/2041 (i)     1,201,793 101,742
Ginnie Mae, 4%, 8/16/2042 (i)     1,292,201 187,366
Ginnie Mae, 3%, 2/20/2043 - 4/20/2050     53,984,073 57,320,018
Ginnie Mae, 2.25%, 9/20/2043     4,325,737 4,403,261
Ginnie Mae, 5.87%, 4/20/2058     38,816 45,177
Ginnie Mae, 0.659%, 2/16/2059 (i)     7,632,975 402,790
Ginnie Mae, TBA, 3%, 6/01/2050     20,725,000 21,939,355
Ginnie Mae, TBA, 3.5%, 6/01/2050     45,650,000 48,399,699
Ginnie Mae, TBA, 4%, 6/01/2050     18,200,000 19,386,555
Ginnie Mae, TBA, 4.5%, 6/01/2050     1,325,000 1,424,789
        $1,315,541,564
Municipals – 1.6%
Illinois Sales Tax Securitization Corp., Second Lien, “B”, 3.411%, 1/01/2043    $ 3,990,000 $3,910,040
Michigan Finance Authority Hospital Rev. (Trinity Health Credit Group), 3.384%, 12/01/2040      3,760,000 3,884,193
New Jersey Economic Development Authority State Pension Funding Rev., Capital Appreciation, “B”, 0%, 2/15/2023      14,792,000 14,104,912
Philadelphia, PA, School District, “A”, 5.995%, 9/01/2030      3,280,000 4,208,765
State of California (Build America Bonds), 7.6%, 11/01/2040      4,220,000 7,504,299
Texas Transportation Commission, Central Texas Turnpike System First Tier Refunding Rev., Taxable, “B”, 1.98%, 8/15/2042      3,260,000 3,263,064
        $36,875,273
Other Banks & Diversified Financials – 0.2%
ING Groep N.V., 3.15%, 3/29/2022    $ 5,120,000 $5,294,685
3
Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Bonds – continued
Supranational – 0.2%
Inter-American Development Bank, 4.375%, 1/24/2044    $ 2,796,000 $4,285,295
Tobacco – 0.2%
B.A.T Capital Corp., 2.764%, 8/15/2022    $ 4,264,000 $4,393,444
U.S. Government Agencies and Equivalents – 1.3%
AID Tunisia, 2.452%, 7/24/2021    $ 4,063,000 $4,084,138
Hashemite Kingdom of Jordan, 2.503%, 10/30/2020      6,688,000 6,750,285
Private Export Funding Corp., 2.3%, 9/15/2020      4,100,000 4,122,425
Small Business Administration, 6.35%, 4/01/2021      13,897 14,109
Small Business Administration, 6.34%, 5/01/2021      27,634 28,180
Small Business Administration, 6.44%, 6/01/2021      36,903 37,520
Small Business Administration, 6.625%, 7/01/2021      33,967 34,510
Small Business Administration, 6.07%, 3/01/2022      43,063 44,061
Small Business Administration, 4.98%, 11/01/2023      76,947 81,291
Small Business Administration, 4.89%, 12/01/2023      256,879 269,170
Small Business Administration, 4.77%, 4/01/2024      220,585 231,630
Small Business Administration, 5.52%, 6/01/2024      129,294 136,897
Small Business Administration, 4.99%, 9/01/2024      223,074 234,866
Small Business Administration, 4.86%, 10/01/2024      114,185 120,404
Small Business Administration, 4.86%, 1/01/2025      292,847 309,102
Small Business Administration, 5.11%, 4/01/2025      176,048 186,951
Small Business Administration, 2.21%, 2/01/2033      1,531,020 1,574,366
Small Business Administration, 2.22%, 3/01/2033      2,588,995 2,668,218
Small Business Administration, 3.15%, 7/01/2033      2,354,907 2,488,499
Small Business Administration, 3.16%, 8/01/2033      851,501 900,962
Small Business Administration, 3.62%, 9/01/2033      902,258 968,785
Tennessee Valley Authority, 0.75%, 5/15/2025      3,827,000 3,865,768
        $29,152,137
U.S. Treasury Obligations – 29.7%
U.S. Treasury Bonds, 6.25%, 8/15/2023    $ 1,445,000 $1,725,138
U.S. Treasury Bonds, 6%, 2/15/2026      5,933,000 7,817,655
U.S. Treasury Bonds, 6.75%, 8/15/2026      981,000 1,362,249
U.S. Treasury Bonds, 6.375%, 8/15/2027      2,309,000 3,274,090
U.S. Treasury Bonds, 4.375%, 2/15/2038      2,078,000 3,233,157
U.S. Treasury Bonds, 4.5%, 8/15/2039      11,926,300 18,997,757
U.S. Treasury Bonds, 3.125%, 2/15/2043      9,748,800 13,209,243
U.S. Treasury Bonds, 2.875%, 5/15/2043      27,528,200 35,937,205
U.S. Treasury Bonds, 2.5%, 2/15/2045      97,983,000 120,840,597
U.S. Treasury Bonds, 2.875%, 11/15/2046      26,245,000 34,915,077
U.S. Treasury Notes, 3.125%, 5/15/2021      93,251,000 95,840,901
U.S. Treasury Notes, 2.5%, 8/15/2023 (f)     136,673,000 146,688,568
U.S. Treasury Notes, 2.875%, 7/31/2025      30,757,000 34,744,597
U.S. Treasury Notes, 2.625%, 12/31/2025      20,900,000 23,490,457
U.S. Treasury Notes, 2%, 11/15/2026      51,959,000 57,047,329
U.S. Treasury Notes, 2.75%, 2/15/2028      10,157,000 11,864,249
U.S. Treasury Notes, 2.375%, 5/15/2029      19,515,500 22,537,353
U.S. Treasury Notes, 1.625%, 8/15/2029      29,405,000 32,092,801
U.S. Treasury Notes, 1.75%, 11/15/2029      8,564,000 9,458,536
        $675,076,959
Utilities - Electric Power – 0.3%
Enel Finance International N.V., 2.875%, 5/25/2022 (n)   $ 5,254,000 $5,391,769
Total Bonds   $2,229,561,599
4
Portfolio of Investments (unaudited) – continued
Issuer     Shares/Par Value ($)
Investment Companies (h) – 13.9%
Money Market Funds – 13.9%  
MFS Institutional Money Market Portfolio, 0.19% (v)     314,702,909 $314,734,379
 
Other Assets, Less Liabilities – (12.1)%   (273,815,117)
Net Assets – 100.0% $2,270,480,861
(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 $314,734,379 and $2,229,561,599, 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 $57,869,955, representing 2.5% 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.      
The following abbreviations are used in this report and are defined:
AID U.S. Agency for International Development
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.
LIBOR London Interbank Offered Rate
REIT Real Estate Investment Trust
TBA To Be Announced
Derivative Contracts at 5/31/20
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 582 $128,531,062 September – 2020 $47,950
U.S. Treasury Note 5 yr Long USD 180 22,612,500 September – 2020 45,767
U.S. Treasury Ultra Bond Long USD 178 38,809,563 September – 2020 109,970
            $203,687
Liability Derivatives
Interest Rate Futures 
U.S. Treasury Bond Short USD 278 $49,588,250 September – 2020 $(218,216)
U.S. Treasury Note 10 yr Long USD 131 18,217,188 September – 2020 (478)
            $(218,694)
At May 31, 2020, the fund had liquid securities with an aggregate value of $1,566,989 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.
5
Supplemental Information
5/31/20 (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. 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). 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. The following is a summary of the levels used as of May 31, 2020 in valuing the fund's assets or liabilities:
Financial Instruments Level 1 Level 2 Level 3 Total
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents $— $704,229,096 $— $704,229,096
Non - U.S. Sovereign Debt — 4,285,295 — 4,285,295
Municipal Bonds — 36,875,273 — 36,875,273
U.S. Corporate Bonds — 26,630,488 — 26,630,488
Residential Mortgage-Backed Securities — 1,315,541,564 — 1,315,541,564
Commercial Mortgage-Backed Securities — 87,384,481 — 87,384,481
Asset-Backed Securities (including CDOs) — 29,125,679 — 29,125,679
Foreign Bonds — 25,489,723 — 25,489,723
Mutual Funds 314,734,379 — — 314,734,379
Total $314,734,379 $2,229,561,599 $— $2,544,295,978
Other Financial Instruments        
Futures Contracts – Assets $203,687 $— $— $203,687
Futures Contracts – Liabilities (218,694) — — (218,694)
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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 $288,309,000 $225,130,662 $198,703,757 $8,478 $(10,004) $314,734,379
Affiliated Issuers Dividend
Income 		Capital Gain
Distributions
MFS Institutional Money Market Portfolio $555,773 $—
(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. This pandemic, the full effects of which are still unknown, has resulted in substantial market volatility and may have adversely impacted the prices and liquidity of the fund's investments and the fund's performance.
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