Quarterly Report
August 31, 2019
MFS® Government Markets Income Trust
Portfolio of Investments
8/31/19 (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 – 98.3% | ||||
| U.S. Bonds – 91.2% | ||||
| Asset-Backed & Securitized – 2.7% | ||||
| ALM Loan Funding, CLO, 2015-12A, “A1R2”, FLR, 3.212% (LIBOR - 3mo. + 0.89%), 4/16/2027 (n) | $ | 265,235 | $264,977 | |
| Chesapeake Funding II LLC, 2018-1A, “A1”, 3.04%, 4/15/2030 (n) | 238,183 | 241,681 | ||
| Chesapeake Funding II LLC, 2018-3A, “A1”, 3.39%, 1/15/2031 (n) | 379,404 | 386,523 | ||
| Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/2048 | 327,000 | 346,956 | ||
| Commercial Mortgage Trust, 2017-COR2, “A3”, 3.51%, 9/10/2050 | 292,470 | 318,200 | ||
| DLL Securitization Trust, 2019-DA1, “A2”, 2.79%, 11/22/2021 (n) | 450,000 | 451,678 | ||
| Loomis, Sayles & Co., CLO, “A2”, FLR, 3.703% (LIBOR - 3mo. + 1.4%), 4/15/2028 (n) | 429,010 | 425,876 | ||
| Madison Park Funding Ltd., 2014-13A, “BR2”, FLR, 3.803% (LIBOR - 3mo. + 1.5%), 4/19/2030 (n) | 452,738 | 448,509 | ||
| Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C34, “A4”, 3.536%, 11/15/2052 | 59,686 | 65,374 | ||
| Morgan Stanley Capital I Trust, 2018-H4, “XA”, 1.035%, 12/15/2051 (i) | 1,681,922 | 111,575 | ||
| Symphony CLO Ltd., 2016-17A, “BR”, FLR, 3.503% (LIBOR - 3mo. + 1.2%), 4/15/2028 (n) | 383,677 | 382,027 | ||
| TICP CLO Ltd., FLR, 3.117% (LIBOR - 3mo. + 0.8%), 4/20/2028 (n) | 538,454 | 535,083 | ||
| UBS Commercial Mortgage Trust, 2017-C1, “A4”, 3.544%, 11/15/2050 | 279,000 | 306,180 | ||
| Wells Fargo Commercial Mortgage Trust, 2018-C48, “XA”, 1.126%, 1/15/2052 (i)(n) | 996,059 | 72,844 | ||
| $4,357,483 | ||||
| Building – 0.1% | ||||
| Martin Marietta Materials, Inc., 4.25%, 7/02/2024 | $ | 82,000 | $87,992 | |
| Business Services – 0.2% | ||||
| Fidelity National Information Services, Inc., 3.875%, 6/05/2024 | $ | 271,000 | $290,454 | |
| Cable TV – 0.2% | ||||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.908%, 7/23/2025 | $ | 242,000 | $267,411 | |
| Time Warner Cable, Inc., 4.5%, 9/15/2042 | 100,000 | 99,239 | ||
| $366,650 | ||||
| Chemicals – 0.1% | ||||
| Sherwin Williams Co., 2.75%, 6/01/2022 | $ | 156,000 | $158,413 | |
| Computer Software - Systems – 0.4% | ||||
| Apple, Inc., 3.25%, 2/23/2026 | $ | 400,000 | $428,217 | |
| Apple, Inc., 4.375%, 5/13/2045 | 121,000 | 148,926 | ||
| $577,143 | ||||
| Conglomerates – 0.4% | ||||
| United Technologies Corp., 3.95%, 8/16/2025 | $ | 625,000 | $686,460 | |
| Electronics – 0.5% | ||||
| Broadcom, Inc., 4.75%, 4/15/2029 (n) | $ | 750,000 | $789,937 | |
| Food & Beverages – 1.2% | ||||
| Anheuser-Busch InBev Worldwide, Inc., 3.3%, 2/01/2023 | $ | 150,000 | $156,162 | |
| Constellation Brands, Inc., 4.65%, 11/15/2028 | 1,500,000 | 1,717,594 | ||
| Tyson Foods, Inc., 5.15%, 8/15/2044 | 38,000 | 46,342 | ||
| $1,920,098 | ||||
| Insurance – 0.1% | ||||
| American International Group, Inc., 4.7%, 7/10/2035 | $ | 108,000 | $124,110 | |
| Insurance - Health – 0.5% | ||||
| UnitedHealth Group, Inc., 4.625%, 7/15/2035 | $ | 672,000 | $825,131 | |
| Insurance - Property & Casualty – 0.1% | ||||
| Liberty Mutual Group, Inc., 4.85%, 8/01/2044 (n) | $ | 99,000 | $119,179 | |
1
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| U.S. Bonds – continued | ||||
| Machinery & Tools – 0.4% | ||||
| CNH Industrial Capital LLC, 4.2%, 1/15/2024 | $ | 625,000 | $659,409 | |
| Major Banks – 0.3% | ||||
| Bank of America Corp., 3.004%, 12/20/2023 | $ | 183,000 | $187,841 | |
| Goldman Sachs Group, Inc., 3.625%, 1/22/2023 | 241,000 | 252,071 | ||
| $439,912 | ||||
| Medical & Health Technology & Services – 1.2% | ||||
| Becton, Dickinson and Co., 4.685%, 12/15/2044 | $ | 140,000 | $166,461 | |
| CommonSpirit Health, 2.76%, 10/01/2024 | 27,000 | 27,448 | ||
| HCA, Inc., 4.125%, 6/15/2029 | 785,000 | 835,232 | ||
| Laboratory Corp. of America Holdings, 4.7%, 2/01/2045 | 106,000 | 120,440 | ||
| Montefiore Obligated Group, 5.246%, 11/01/2048 | 614,000 | 783,425 | ||
| $1,933,006 | ||||
| Midstream – 0.6% | ||||
| Kinder Morgan Energy Partners LP, 6.85%, 2/15/2020 | $ | 1,000,000 | $1,019,119 | |
| Mortgage-Backed – 43.4% | ||||
| Fannie Mae, 5.5%, 10/01/2019 - 3/01/2038 | $ | 2,394,763 | $2,704,025 | |
| Fannie Mae, 6%, 7/01/2021 - 7/01/2037 | 676,099 | 772,672 | ||
| Fannie Mae, 2.152%, 1/25/2023 | 374,618 | 377,826 | ||
| Fannie Mae, 2.41%, 5/01/2023 | 121,898 | 124,420 | ||
| Fannie Mae, 2.55%, 5/01/2023 | 104,775 | 107,441 | ||
| Fannie Mae, 2.59%, 5/01/2023 | 66,502 | 68,290 | ||
| Fannie Mae, 3.78%, 10/01/2023 | 61,384 | 66,075 | ||
| Fannie Mae, 3.5%, 5/25/2025 - 1/01/2047 | 6,579,028 | 6,869,563 | ||
| Fannie Mae, 2.7%, 7/01/2025 | 200,000 | 208,844 | ||
| Fannie Mae, 3.43%, 6/01/2026 | 190,276 | 207,682 | ||
| Fannie Mae, 3.59%, 9/01/2026 | 70,329 | 77,561 | ||
| Fannie Mae, 2.28%, 11/01/2026 | 73,218 | 74,895 | ||
| Fannie Mae, 2.672%, 12/25/2026 | 729,000 | 758,012 | ||
| Fannie Mae, 3.144%, 3/25/2028 | 363,000 | 390,265 | ||
| Fannie Mae, 4%, 3/25/2028 - 7/01/2047 | 8,742,540 | 9,314,413 | ||
| Fannie Mae, 3%, 11/01/2028 - 11/01/2046 | 4,595,378 | 4,741,981 | ||
| Fannie Mae, 4.96%, 6/01/2030 | 113,391 | 134,077 | ||
| Fannie Mae, 6.5%, 5/01/2031 - 2/01/2037 | 414,395 | 477,714 | ||
| Fannie Mae, 5%, 6/01/2035 - 3/01/2042 | 450,205 | 494,958 | ||
| Fannie Mae, 4.5%, 1/01/2040 - 4/01/2044 | 4,183,875 | 4,531,853 | ||
| Fannie Mae, 2%, 10/25/2040 - 4/25/2046 | 481,336 | 481,158 | ||
| Fannie Mae, TBA, 2.5%, 9/01/2034 - 10/01/2034 | 225,000 | 227,963 | ||
| Fannie Mae, TBA, 3%, 9/01/2034 - 10/01/2034 | 332,000 | 340,371 | ||
| Fannie Mae, TBA, 3.5%, 9/01/2034 - 11/01/2034 | 800,000 | 829,034 | ||
| Freddie Mac, 3.808%, 8/25/2020 | 213,950 | 216,058 | ||
| Freddie Mac, 3.034%, 10/25/2020 | 284,872 | 286,684 | ||
| Freddie Mac, 6%, 5/01/2021 - 10/01/2038 | 320,936 | 366,648 | ||
| Freddie Mac, 2.355%, 7/25/2022 | 500,000 | 506,860 | ||
| Freddie Mac, 2.51%, 11/25/2022 | 496,000 | 506,181 | ||
| Freddie Mac, 3.32%, 2/25/2023 | 433,000 | 453,474 | ||
| Freddie Mac, 3.3%, 4/25/2023 - 10/25/2026 | 1,034,471 | 1,111,281 | ||
| Freddie Mac, 3.06%, 7/25/2023 | 294,000 | 306,425 | ||
| Freddie Mac, 3.458%, 8/25/2023 | 367,000 | 388,033 | ||
| Freddie Mac, 1.016%, 4/25/2024 (i) | 4,319,000 | 142,583 | ||
| Freddie Mac, 0.736%, 7/25/2024 (i) | 4,762,454 | 119,238 | ||
| Freddie Mac, 3.064%, 8/25/2024 | 489,568 | 514,729 | ||
| Freddie Mac, 4.5%, 9/01/2024 - 5/01/2042 | 782,055 | 845,040 | ||
2
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| U.S. Bonds – continued | ||||
| Mortgage-Backed – continued | ||||
| Freddie Mac, 2.67%, 12/25/2024 | $ | 827,000 | $860,180 | |
| Freddie Mac, 2.811%, 1/25/2025 | 642,000 | 671,619 | ||
| Freddie Mac, 3.329%, 5/25/2025 | 928,000 | 1,001,137 | ||
| Freddie Mac, 3.01%, 7/25/2025 | 225,000 | 239,342 | ||
| Freddie Mac, 2.745%, 1/25/2026 | 629,000 | 661,645 | ||
| Freddie Mac, 2.673%, 3/25/2026 | 900,000 | 944,097 | ||
| Freddie Mac, 3.224%, 3/25/2027 | 575,000 | 624,995 | ||
| Freddie Mac, 0.713%, 7/25/2027 (i) | 8,580,572 | 354,083 | ||
| Freddie Mac, 0.567%, 8/25/2027 (i) | 6,766,459 | 211,118 | ||
| Freddie Mac, 0.427%, 1/25/2028 (i) | 12,235,322 | 299,819 | ||
| Freddie Mac, 0.434%, 1/25/2028 (i) | 5,038,104 | 126,269 | ||
| Freddie Mac, 0.27%, 2/25/2028 (i) | 14,207,492 | 183,530 | ||
| Freddie Mac, 2.5%, 3/15/2028 | 57,087 | 58,472 | ||
| Freddie Mac, 0.263%, 4/25/2028 (i) | 9,088,157 | 109,867 | ||
| Freddie Mac, 3%, 6/15/2028 - 11/01/2046 | 4,433,123 | 4,586,439 | ||
| Freddie Mac, 3.5%, 6/15/2028 - 10/25/2058 | 8,150,126 | 8,535,079 | ||
| Freddie Mac, 5.5%, 8/01/2035 - 6/01/2036 | 384,767 | 435,205 | ||
| Freddie Mac, 5%, 2/15/2036 - 7/01/2041 | 1,526,418 | 1,685,643 | ||
| Freddie Mac, 6.5%, 5/01/2037 | 71,952 | 82,373 | ||
| Freddie Mac, 4%, 8/01/2037 - 4/01/2044 | 482,852 | 512,304 | ||
| Ginnie Mae, 5.5%, 7/15/2033 - 1/20/2042 | 749,957 | 850,225 | ||
| Ginnie Mae, 4%, 5/16/2039 - 7/20/2049 | 1,048,227 | 1,108,558 | ||
| Ginnie Mae, 4.5%, 9/20/2041 | 254,990 | 275,988 | ||
| Ginnie Mae, 3.5%, 4/15/2042 - 7/20/2043 | 1,693,440 | 1,798,464 | ||
| Ginnie Mae, 2.5%, 6/20/2042 | 20,000 | 20,306 | ||
| Ginnie Mae, 3%, 4/20/2045 - 10/20/2048 | 2,446,099 | 2,526,794 | ||
| Ginnie Mae, 5.87%, 4/20/2058 | 5,470 | 6,234 | ||
| Ginnie Mae, 0.661%, 2/16/2059 (i) | 534,708 | 31,452 | ||
| $68,945,564 | ||||
| Municipals – 3.0% | ||||
| Bridgeview, IL, Stadium and Redevelopment Projects, AAC, 5.06%, 12/01/2025 | $ | 750,000 | $782,078 | |
| Chicago, IL, “C”, AGM, 6.207%, 1/01/2036 | 795,000 | 1,082,703 | ||
| New Jersey Economic Development Authority State Pension Funding Rev., Capital Appreciation, “B”, AGM, 0%, 2/15/2023 | 1,182,000 | 1,095,300 | ||
| New Jersey Turnpike Authority Rev. (Build America Bonds), “F”, 7.414%, 1/01/2040 | 32,000 | 52,813 | ||
| Syracuse, NY, Industrial Development Agency PILOT Rev. (Carousel Center Project), “B”, 5%, 1/01/2036 | 1,115,000 | 1,161,339 | ||
| University of California Rev. (Build America Bonds), 5.77%, 5/15/2043 | 450,000 | 641,088 | ||
| $4,815,321 | ||||
| Oils – 0.1% | ||||
| Valero Energy Corp., 4.9%, 3/15/2045 | $ | 130,000 | $149,500 | |
| Pharmaceuticals – 0.1% | ||||
| Gilead Sciences, Inc., 4.5%, 2/01/2045 | $ | 82,000 | $95,616 | |
| Restaurants – 0.6% | ||||
| Starbucks Corp., 3.8%, 8/15/2025 | $ | 800,000 | $867,452 | |
| Supranational – 0.1% | ||||
| Inter-American Development Bank, 4.375%, 1/24/2044 | $ | 158,000 | $224,446 | |
| Tobacco – 0.1% | ||||
| Reynolds American, Inc., 4%, 6/12/2022 | $ | 79,000 | $82,608 | |
| Transportation - Services – 0.0% | ||||
| ERAC USA Finance LLC, 3.85%, 11/15/2024 (n) | $ | 34,000 | $36,407 | |
3
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| U.S. Bonds – continued | ||||
| U.S. Government Agencies and Equivalents – 1.6% | ||||
| AID-Tunisia, 2.452%, 7/24/2021 | $ | 235,000 | $237,352 | |
| AID-Ukraine, 1.847%, 5/29/2020 | 330,000 | 330,963 | ||
| Hashemite Kingdom of Jordan, 2.503%, 10/30/2020 | 418,000 | 421,356 | ||
| Private Export Funding Corp., 2.25%, 3/15/2020 | 86,000 | 86,120 | ||
| Private Export Funding Corp., 2.3%, 9/15/2020 | 360,000 | 361,169 | ||
| Small Business Administration, 6.35%, 4/01/2021 | 12,997 | 13,239 | ||
| Small Business Administration, 6.34%, 5/01/2021 | 17,818 | 18,144 | ||
| Small Business Administration, 6.44%, 6/01/2021 | 17,438 | 17,860 | ||
| Small Business Administration, 6.625%, 7/01/2021 | 20,142 | 20,549 | ||
| Small Business Administration, 5.52%, 6/01/2024 | 55,646 | 58,897 | ||
| Small Business Administration, 2.21%, 2/01/2033 | 163,302 | 165,250 | ||
| Small Business Administration, 2.22%, 3/01/2033 | 277,513 | 281,253 | ||
| Small Business Administration, 3.15%, 7/01/2033 | 237,351 | 249,670 | ||
| Small Business Administration, 3.62%, 9/01/2033 | 224,987 | 241,982 | ||
| $2,503,804 | ||||
| U.S. Treasury Obligations – 32.7% | ||||
| U.S. Treasury Bonds, 5.25%, 2/15/2029 | $ | 48,000 | $63,864 | |
| U.S. Treasury Bonds, 4.75%, 2/15/2037 | 336,000 | 491,072 | ||
| U.S. Treasury Bonds, 4.375%, 2/15/2038 | 1,109,000 | 1,570,665 | ||
| U.S. Treasury Bonds, 4.5%, 8/15/2039 (f) | 4,503,100 | 6,548,317 | ||
| U.S. Treasury Bonds, 3.125%, 2/15/2043 | 453,700 | 556,137 | ||
| U.S. Treasury Bonds, 2.875%, 5/15/2043 | 1,697,100 | 2,000,921 | ||
| U.S. Treasury Bonds, 2.5%, 2/15/2045 | 4,017,000 | 4,455,889 | ||
| U.S. Treasury Bonds, 2.875%, 11/15/2046 | 4,322,000 | 5,155,504 | ||
| U.S. Treasury Notes, 1%, 11/15/2019 | 2,367,000 | 2,362,284 | ||
| U.S. Treasury Notes, 2.5%, 1/31/2021 | 1,500,000 | 1,517,168 | ||
| U.S. Treasury Notes, 2.625%, 6/15/2021 | 5,000,000 | 5,092,187 | ||
| U.S. Treasury Notes, 1.75%, 5/15/2022 | 1,751,000 | 1,764,680 | ||
| U.S. Treasury Notes, 1.75%, 9/30/2022 | 6,200,000 | 6,258,852 | ||
| U.S. Treasury Notes, 2.75%, 2/15/2024 | 577,000 | 610,020 | ||
| U.S. Treasury Notes, 2.5%, 5/15/2024 | 2,955,000 | 3,100,210 | ||
| U.S. Treasury Notes, 2.875%, 7/31/2025 | 3,100,000 | 3,349,695 | ||
| U.S. Treasury Notes, 2%, 8/15/2025 | 98,000 | 101,074 | ||
| U.S. Treasury Notes, 2.625%, 12/31/2025 | 600,000 | 642,281 | ||
| U.S. Treasury Notes, 2%, 11/15/2026 | 6,071,000 | 6,296,528 | ||
| $51,937,348 | ||||
| Utilities - Electric Power – 0.5% | ||||
| FirstEnergy Corp., 3.9%, 7/15/2027 | $ | 694,000 | $746,025 | |
| Total U.S. Bonds | $144,758,587 | |||
| Foreign Bonds – 7.1% | ||||
| Australia – 0.0% | ||||
| APT Pipelines Ltd., 4.25%, 7/15/2027 (n) | $ | 16,000 | $17,271 | |
| Brazil – 0.3% | ||||
| Vale Overseas Ltd., 6.875%, 11/10/2039 | $ | 327,000 | $412,432 | |
| Chile – 1.8% | ||||
| Empresa de Transporte de Pasajeros Metro S.A., 5%, 1/25/2047 | $ | 440,000 | $512,600 | |
| Empresa Nacional del Petroleo, 5.25%, 11/06/2029 (n) | 424,000 | 491,513 | ||
| Engie Energia Chile S.A., 5.625%, 1/15/2021 | 566,000 | 589,538 | ||
| GNL Quintero S.A., 4.634%, 7/31/2029 (n) | 200,000 | 214,502 | ||
| S.A.C.I. Falabella, 3.75%, 4/30/2023 | 396,000 | 406,905 | ||
4
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Bonds – continued | ||||
| Foreign Bonds – continued | ||||
| Chile – continued | ||||
| Transelec S.A., 4.625%, 7/26/2023 (n) | $ | 372,000 | $395,719 | |
| Transelec S.A., 4.25%, 1/14/2025 | 200,000 | 212,000 | ||
| $2,822,777 | ||||
| China – 0.2% | ||||
| State Grid Overseas Investment (2014) Ltd., 4.125%, 5/07/2024 (n) | $ | 240,000 | $259,180 | |
| India – 0.5% | ||||
| NTPC Ltd., 4.25%, 2/26/2026 | $ | 398,000 | $425,123 | |
| Power Finance Corp. Ltd., 5.25%, 8/10/2028 | 370,000 | 409,113 | ||
| $834,236 | ||||
| Indonesia – 0.2% | ||||
| Republic of Indonesia, 3.5%, 1/11/2028 | $ | 310,000 | $325,842 | |
| Italy – 0.2% | ||||
| Enel Finance International N.V., 2.875%, 5/25/2022 (n) | $ | 366,000 | $370,391 | |
| Kazakhstan – 0.3% | ||||
| KazMunayGas National Co., JSC, 5.375%, 4/24/2030 (n) | $ | 434,000 | $503,310 | |
| Kuwait – 0.3% | ||||
| EQUATE Petrochemical B.V., 4.25%, 11/03/2026 | $ | 453,000 | $491,329 | |
| Netherlands – 0.8% | ||||
| ING Bank N.V., 5.8%, 9/25/2023 (n) | $ | 769,000 | $853,398 | |
| ING Groep N.V., 3.15%, 3/29/2022 | 350,000 | 358,798 | ||
| $1,212,196 | ||||
| Panama – 0.2% | ||||
| Republic of Panama, 3.16%, 1/23/2030 | $ | 358,000 | $379,838 | |
| Peru – 0.6% | ||||
| Peru LNG, 5.375%, 3/22/2030 (n) | $ | 400,000 | $431,004 | |
| Petroleos del Peru S.A., 4.75%, 6/19/2032 | 455,000 | 513,012 | ||
| $944,016 | ||||
| Romania – 0.3% | ||||
| Republic of Romania, 2%, 12/08/2026 (n) | EUR | 352,000 | $415,664 | |
| Saudi Arabia – 0.3% | ||||
| Saudi Arabian Oil Co., 4.25%, 4/16/2039 (n) | $ | 426,000 | $482,678 | |
| Singapore – 0.2% | ||||
| United Overseas Bank Ltd. 3.75%, to 4/15/2024, FLR (CMT - 5yr. + 1.5%) to 4/15/2029 (n) | $ | 309,000 | $321,951 | |
| United Arab Emirates – 0.3% | ||||
| Abu Dhabi Crude Oil Pipeline, 4.6%, 11/02/2047 | $ | 445,000 | $550,687 | |
| United Kingdom – 0.6% | ||||
| B.A.T Capital Corp., 2.764%, 8/15/2022 | $ | 438,000 | $443,419 | |
| Imperial Tobacco Finance PLC, 3.75%, 7/21/2022 (n) | 266,000 | 275,142 | ||
| Reckitt Benckiser Treasury Services PLC, 2.75%, 6/26/2024 (n) | 267,000 | 271,614 | ||
| $990,175 | ||||
| Total Foreign Bonds | $11,333,973 | |||
| Total Bonds | $156,092,560 | |||
5
Portfolio of Investments (unaudited) –
continued
| Issuer | Shares/Par | Value ($) | ||
| Investment Companies (h) – 1.4% | ||||
| Money Market Funds – 1.4% | ||||
| MFS Institutional Money Market Portfolio, 2.17% (v) | 2,174,453 | $2,174,671 | ||
| Other Assets, Less Liabilities – 0.3% | 456,940 | |||
| Net Assets – 100.0% | $158,724,171 | |||
| (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 $2,174,671 and $156,092,560, 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 $9,458,058, representing 6.0% 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: | |
| AAC | Ambac Assurance Corp. |
| AGM | Assured Guaranty Municipal |
| 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 |
| TBA | To Be Announced |
| 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 8/31/19 | ||||||
| Forward Foreign Currency Exchange Contracts | ||||||
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
| Asset Derivatives | ||||||
| USD | 393,947 | EUR | 348,755 | Citibank N.A. | 10/11/2019 | $9,530 |
| 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 | 58 | $12,534,797 | December - 2019 | $7,046 |
| U.S. Treasury Bond | Short | USD | 37 | 6,114,250 | December - 2019 | 20,676 |
| $27,722 | ||||||
6
Portfolio of Investments (unaudited) –
continued
| Futures Contracts − continued | ||||||
| Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
| Liability Derivatives | ||||||
| Interest Rate Futures | ||||||
| U.S. Treasury Note 10 yr | Long | USD | 37 | $4,873,593 | December - 2019 | $(6,024) |
| U.S. Treasury Note 5 yr | Long | USD | 12 | 1,439,719 | December - 2019 | (605) |
| $(6,629) | ||||||
At August 31, 2019, the fund had
liquid securities with an aggregate value of $63,984 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.
7
Supplemental Information
8/31/19 (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).
8
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 August 31, 2019 in valuing the fund's assets or liabilities:
| Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
| U.S. Treasury Bonds & U.S. Government Agency & Equivalents | $— | $54,441,153 | $— | $54,441,153 |
| Non-U.S. Sovereign Debt | — | 5,984,336 | — | 5,984,336 |
| Municipal Bonds | — | 4,815,321 | — | 4,815,321 |
| U.S. Corporate Bonds | — | 11,611,740 | — | 11,611,740 |
| Residential Mortgage-Backed Securities | — | 68,945,564 | — | 68,945,564 |
| Commercial Mortgage-Backed Securities | — | 1,221,130 | — | 1,221,130 |
| Asset-Backed Securities (including CDOs) | — | 3,136,353 | — | 3,136,353 |
| Foreign Bonds | — | 5,936,963 | — | 5,936,963 |
| Mutual Funds | 2,174,671 | — | — | 2,174,671 |
| Total | $2,174,671 | $156,092,560 | $— | $158,267,231 |
| Other Financial Instruments | ||||
| Futures Contracts - Assets | $27,722 | $— | $— | $27,722 |
| Futures Contracts - Liabilities | (6,629) | — | — | (6,629) |
| Forward Foreign Currency Exchange Contracts - Assets | — | 9,530 | — | 9,530 |
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 | $1,662 | $47,396,062 | $45,223,673 | $403 | $217 | $2,174,671 |
| Affiliated Issuers | Dividend Income | Capital Gain Distributions |
| MFS Institutional Money Market Portfolio | $41,927 | $— |
9