N-Q 1 d10857dnq.htm MFS GOVERNMENT MARKETS INCOME TRUST N-Q MFS GOVERNMENT MARKETS INCOME TRUST N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-5078

MFS GOVERNMENT MARKETS INCOME TRUST

(Exact name of registrant as specified in charter)

111 Huntington Avenue, Boston, Massachusetts 02199

(Address of principal executive offices) (Zip code)

Kristin V. Collins

Massachusetts Financial Services Company

111 Huntington Avenue

Boston, Massachusetts 02199

(Name and address of agents for service)

Registrant’s telephone number, including area code: (617) 954-5000

Date of fiscal year end: November 30

Date of reporting period: August 31, 2015

ITEM 1. SCHEDULE OF INVESTMENTS.

QUARTERLY REPORT

August 31, 2015

 

LOGO

 

MFS® GOVERNMENT MARKETS INCOME TRUST

 

LOGO

PORTFOLIO OF INVESTMENTS

8/31/15 (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 - 102.1%                 
U.S. Bonds - 97.3%                 
Agency - Other - 7.2%                 
Financing Corp., 10.7%, 10/06/17    $ 4,095,000      $ 4,917,764   
Financing Corp., 9.4%, 2/08/18      3,085,000        3,699,350   
Financing Corp., 10.35%, 8/03/18      3,820,000        4,806,282   
    

 

 

  
      $ 13,423,396   
Asset-Backed & Securitized - 4.7%                 
Citigroup Commercial Mortgage Trust, FRN, 5.899%, 12/10/49    $ 1,000,000      $ 1,059,952   
Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.322%, 12/11/49      1,200,000        1,240,858   
CNH Equipment Trust, 2015-C, “A2B”, FRN, 0.667%, 12/17/18      238,951        239,145   
Commercial Mortgage Pass-Through Certificates, “A4”, 5.306%, 12/10/46      1,307,925        1,351,297   
Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/48      327,000        326,719   
Credit Suisse Commercial Mortgage Trust, “A4”, FRN, 6.147%, 9/15/39      348,773        368,593   
Credit Suisse Commercial Mortgage Trust, “AM”, FRN, 5.889%, 6/15/39      398,459        409,181   
Credit Suisse Commercial Mortgage Trust, “C4”, FRN, 6.147%, 9/15/39      378,313        401,228   
Credit Suisse Mortgage Capital Certificate, 5.311%, 12/15/39      486,835        499,808   
CWCapital Cobalt Ltd., “A4”, FRN, 5.959%, 5/15/46      554,421        589,538   
CWCapital LLC, 5.223%, 8/15/48      814,995        840,881   
JPMorgan Chase Commercial Mortgage Securities Corp., “A3”, FRN, 6.136%, 2/15/51      39,571        39,590   
JPMorgan Chase Commercial Mortgage Securities Corp., “A4”, FRN, 5.961%, 6/15/49      1,000,000        1,052,882   
Morgan Stanley Capital I Trust, “AM”, FRN, 5.865%, 4/15/49      431,000        447,578   
    

 

 

  
      $ 8,867,250   
Building - 0.0%                 
Martin Marietta Materials, Inc., 4.25%, 7/02/24    $ 82,000      $ 81,120   
Business Services - 0.5%                 
Fidelity National Information Services, Inc., 3.875%, 6/05/24    $ 1,000,000      $ 933,358   
Cable TV - 0.8%                 
CCO Safari II LLC, 4.908%, 7/23/25 (n)    $ 242,000      $ 239,700   
Comcast Corp., 4.2%, 8/15/34      96,000        93,843   
Time Warner Cable, Inc., 8.25%, 4/01/19      1,000,000        1,169,533   
Time Warner Cable, Inc., 4.5%, 9/15/42      100,000        80,164   
    

 

 

  
      $ 1,583,240   
Chemicals - 0.3%                 
Dow Chemical Co., 8.55%, 5/15/19    $ 500,000      $ 603,944   
Computer Software - Systems - 0.1%                 
Apple, Inc., 4.375%, 5/13/45    $ 121,000      $ 119,961   
Energy - Independent - 0.0%                 
Hess Corp., 8.125%, 2/15/19    $ 30,000      $ 34,956   
Food & Beverages - 0.7%                 
J.M. Smucker Co., 4.25%, 3/15/35 (n)    $ 189,000      $ 176,333   
Kraft Foods Group, Inc., 6.125%, 8/23/18      960,000        1,065,619   
Kraft Heinz Co., 5.2%, 7/15/45 (n)      120,000        126,124   
Tyson Foods, Inc., 5.15%, 8/15/44      38,000        38,969   
    

 

 

  
      $ 1,407,045   

 

1

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
U.S. Bonds - continued                 
Food & Drug Stores - 0.3%                 
CVS Health Corp., 3.5%, 7/20/22    $ 277,000      $ 282,452   
CVS Health Corp., 5.125%, 7/20/45      270,000        288,559   
    

 

 

  
      $ 571,011   
Forest & Paper Products - 0.1%                 
Packaging Corp. of America, 3.65%, 9/15/24    $ 153,000      $ 149,756   
Insurance - 0.1%                 
American International Group, Inc., 4.7%, 7/10/35    $ 108,000      $ 108,842   
Insurance - Health - 0.4%                 
UnitedHealth Group, Inc., 4.625%, 7/15/35    $ 672,000      $ 703,002   
Insurance - Property & Casualty - 0.1%                 
Liberty Mutual Group, Inc., 4.85%, 8/01/44 (n)    $ 99,000      $ 94,356   
Local Authorities - 1.0%                 
Nashville & Davidson County, TN, Metropolitan Government Convention Center Authority (Build America Bonds), 6.731%, 7/01/43    $ 580,000      $ 722,338   
New Jersey Turnpike Authority Rev. (Build America Bonds), “F”, 7.414%, 1/01/40      32,000        44,106   
State of California (Build America Bonds), 7.6%, 11/01/40      420,000        619,055   
University of California Rev. (Build America Bonds), 5.77%, 5/15/43      450,000        544,086   
    

 

 

  
      $ 1,929,585   
Major Banks - 1.1%                 
Bank of America Corp., 7.625%, 6/01/19    $ 170,000      $ 200,962   
Goldman Sachs Group, Inc., 3.625%, 1/22/23      446,000        448,344   
Goldman Sachs Group, Inc., 4.8%, 7/08/44      94,000        95,259   
Merrill Lynch & Co., Inc., 6.05%, 5/16/16      750,000        773,859   
Morgan Stanley, 3.875%, 4/29/24      221,000        224,514   
Morgan Stanley, 4%, 7/23/25      133,000        135,743   
Morgan Stanley, 4.3%, 1/27/45      81,000        76,435   
Wells Fargo & Co., 5.9% to 6/15/24, FRN to 12/29/49      100,000        100,375   
    

 

 

  
      $ 2,055,491   
Medical & Health Technology & Services - 0.1%                 
Becton, Dickinson and Co., 4.685%, 12/15/44    $ 179,000      $ 176,259   
Laboratory Corp. of America Holdings, 4.7%, 2/01/45      106,000        96,757   
    

 

 

  
      $ 273,016   
Medical Equipment - 0.4%                 
Medtronic, Inc., 4.625%, 3/15/45    $ 237,000      $ 242,340   
Zimmer Holdings, Inc., 4.45%, 8/15/45      607,000        549,289   
    

 

 

  
      $ 791,629   
Metals & Mining - 0.2%                 
Freeport-McMoRan Copper & Gold, Inc., 3.875%, 3/15/23    $ 500,000      $ 382,500   
Midstream - 1.0%                 
Energy Transfer Partners LP, 5.15%, 3/15/45    $ 220,000      $ 185,403   
Enterprise Products Operating LLC, 3.9%, 2/15/24      29,000        28,299   
Kinder Morgan Energy Partners LP, 6.85%, 2/15/20      1,000,000        1,119,694   
Kinder Morgan Energy Partners LP, 5.4%, 9/01/44      358,000        298,692   
Sunoco Logistics Partners LP, 5.35%, 5/15/45      220,000        187,865   
    

 

 

  
      $ 1,819,953   

 

2

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
U.S. Bonds - continued                 
Mortgage-Backed - 47.4%                 
Fannie Mae, 4%, 9/01/40 - 7/01/43    $ 826,108      $ 880,301   
Fannie Mae, 5.439%, 11/01/15      216,018        215,870   
Fannie Mae, 5.436%, 2/01/16      261,257        263,805   
Fannie Mae, 5.845%, 6/01/16      62,914        63,830   
Fannie Mae, 6.5%, 11/01/16 - 2/01/37      965,285        1,124,809   
Fannie Mae, 5.09%, 12/01/16      482,021        502,273   
Fannie Mae, 5.05%, 1/01/17      482,460        499,803   
Fannie Mae, 5.3%, 4/01/17      523,655        546,480   
Fannie Mae, 1.9%, 6/01/17      159,248        160,835   
Fannie Mae, 6%, 8/01/17 - 7/01/37      1,737,127        1,962,767   
Fannie Mae, 5.5%, 9/01/17 - 3/01/38      5,703,929        6,392,747   
Fannie Mae, 4.88%, 3/01/20      153,223        165,237   
Fannie Mae, 2.41%, 5/01/23      132,680        132,598   
Fannie Mae, 2.55%, 5/01/23      114,285        115,251   
Fannie Mae, 2.59%, 5/01/23      72,203        72,986   
Fannie Mae, 3%, 4/01/27 - 4/01/30      784,230        815,744   
Fannie Mae, 2.5%, 5/01/28 - 5/01/30      476,685        486,351   
Fannie Mae, 5%, 6/01/35 - 3/01/42      935,105        1,034,483   
Fannie Mae, 4.5%, 1/01/40 - 4/01/44      5,746,527        6,248,035   
Fannie Mae, 4%, 2/01/41 - 2/01/45      8,890,784        9,480,812   
Fannie Mae, 3.5%, 4/01/43      703,076        730,930   
Fannie Mae, TBA, 3%, 9/01/30 - 9/01/45      2,146,531        2,208,440   
Fannie Mae, TBA, 3.5%, 9/01/45      1,319,000        1,368,164   
Freddie Mac, 4%, 4/01/44 - 9/01/44      1,680,590        1,786,080   
Freddie Mac, 1.426%, 8/25/17      1,112,000        1,119,272   
Freddie Mac, 2.699%, 5/25/18      800,000        825,513   
Freddie Mac, 2.412%, 8/25/18      1,152,000        1,183,959   
Freddie Mac, 2.303%, 9/25/18      275,000        281,386   
Freddie Mac, 2.323%, 10/25/18      499,000        510,907   
Freddie Mac, 2.13%, 1/25/19      1,575,000        1,603,059   
Freddie Mac, 5.085%, 3/25/19      752,000        837,135   
Freddie Mac, 2.456%, 8/25/19      383,000        394,369   
Freddie Mac, 4.186%, 8/25/19      600,000        652,162   
Freddie Mac, 3.808%, 8/25/20      219,000        236,707   
Freddie Mac, 3.034%, 10/25/20      291,000        304,231   
Freddie Mac, 2.856%, 1/25/21      400,000        415,218   
Freddie Mac, 6%, 5/01/21 - 10/01/38      885,402        1,008,491   
Freddie Mac, 2.791%, 1/25/22      517,000        531,137   
Freddie Mac, 2.682%, 10/25/22      189,000        191,118   
Freddie Mac, 2.51%, 11/25/22      496,000        495,542   
Freddie Mac, 3.32%, 2/25/23      433,000        454,185   
Freddie Mac, 3.3%, 4/25/23      429,471        449,116   
Freddie Mac, 3.06%, 7/25/23      181,000        185,913   
Freddie Mac, 3.458%, 8/25/23      367,000        386,534   
Freddie Mac, 4.5%, 9/01/24 - 8/01/40      1,036,935        1,124,300   
Freddie Mac, 5.5%, 10/01/24 - 6/01/36      1,211,778        1,351,124   
Freddie Mac, 2.67%, 12/25/24      827,000        815,095   
Freddie Mac, 2.811%, 1/25/25      642,000        637,893   
Freddie Mac, 3.329%, 5/25/25      678,000        703,216   
Freddie Mac, 2.5%, 5/01/28 - 7/01/28      4,585,301        4,700,108   
Freddie Mac, 6.5%, 5/01/37      248,564        290,340   
Freddie Mac, 5%, 4/01/40      3,098,834        3,417,950   
Freddie Mac, 3.5%, 5/01/42 - 7/01/43      5,598,382        5,817,315   
Freddie Mac, 3%, 4/01/43 - 5/01/43      2,231,942        2,250,762   

 

3

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
U.S. Bonds - continued                 
Mortgage-Backed - continued                 
Freddie Mac, 4%, 11/01/43    $ 445,174      $ 472,741   
Freddie Mac, TBA, 3%, 10/01/30      2,704,000        2,797,435   
Freddie Mac, TBA, 4.5%, 9/01/45      524,831        567,925   
Freddie Mac, TBA, 3.5%, 10/01/45      1,140,000        1,177,240   
Ginnie Mae, 5.5%, 7/15/33 - 1/20/42      1,592,076        1,820,273   
Ginnie Mae, 4%, 8/15/40 - 1/20/45      3,484,901        3,701,839   
Ginnie Mae, 4.5%, 9/20/41      334,493        363,475   
Ginnie Mae, 3.5%, 4/15/42 - 7/20/43      4,116,660        4,310,705   
Ginnie Mae, 3%, 7/20/43      1,063,794        1,084,738   
Ginnie Mae, 5.612%, 4/20/58      124,165        126,168   
Ginnie Mae, 6.357%, 4/20/58      88,836        92,552   
Ginnie Mae, TBA, 3.5%, 9/01/45 - 10/01/45      2,021,000        2,102,514   
    

 

 

  
      $ 89,050,293   
Municipals - 0.4%                 
New York Dormitory Authority Rev., State Personal Income Tax (General Purpose), “E”, 5%, 2/15/24    $ 585,000      $ 705,996   
Network & Telecom - 1.6%                 
AT&T, Inc., 4.75%, 5/15/46    $ 110,000      $ 100,267   
Verizon Communications, Inc., 5.05%, 3/15/34      1,500,000        1,492,925   
Verizon Communications, Inc., 6.55%, 9/15/43      1,200,000        1,421,388   
    

 

 

  
      $ 3,014,580   
Oils - 0.1%                 
Valero Energy Corp., 4.9%, 3/15/45    $ 130,000      $ 117,599   
Other Banks & Diversified Financials - 0.9%                 
Capital One Bank (USA) N.A., 3.375%, 2/15/23    $ 336,000      $ 319,558   
Citigroup, Inc., 8.5%, 5/22/19      80,000        96,603   
Citigroup, Inc., 3.75%, 6/16/24      223,000        224,981   
Discover Bank, 4.25%, 3/13/26      1,000,000        991,235   
    

 

 

  
      $ 1,632,377   
Pharmaceuticals - 0.8%                 
AbbVie, Inc., 4.7%, 5/14/45    $ 1,000,000      $ 966,342   
Actavis Funding SCS, 4.55%, 3/15/35      261,000        239,945   
Actavis Funding SCS, 4.85%, 6/15/44      272,000        248,793   
Gilead Sciences, Inc., 4.5%, 2/01/45      82,000        81,307   
    

 

 

  
      $ 1,536,387   
Real Estate - Healthcare - 0.1%                 
HCP, Inc., REIT, 3.875%, 8/15/24    $ 267,000      $ 257,587   
Real Estate - Retail - 0.1%                 
DDR Corp., REIT, 3.625%, 2/01/25    $ 122,000      $ 114,795   
Retailers - 0.3%                 
Bed Bath & Beyond, Inc., 5.165%, 8/01/44    $ 495,000      $ 475,861   
Supranational - 0.1%                 
Inter-American Development Bank, 4.375%, 1/24/44    $ 158,000      $ 189,346   
Tobacco - 0.9%                 
Altria Group, Inc., 9.25%, 8/06/19    $ 55,000      $ 68,137   
Altria Group, Inc., 4%, 1/31/24      14,000        14,234   

 

4

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
U.S. Bonds - continued                 
Tobacco - continued                 
Imperial Tobacco Finance PLC, 3.75%, 7/21/22 (n)    $ 266,000      $ 263,556   
Reynolds American, Inc., 8.125%, 6/23/19 (n)      583,000        687,542   
Reynolds American, Inc., 4%, 6/12/22      295,000        303,123   
Reynolds American, Inc., 4.45%, 6/12/25      276,000        283,617   
Reynolds American, Inc., 5.85%, 8/15/45      94,000        101,220   
    

 

 

  
      $ 1,721,429   
Transportation - Services - 0.0%                 
ERAC USA Finance LLC, 3.85%, 11/15/24 (n)    $ 34,000      $ 34,188   
U.S. Government Agencies and Equivalents - 3.9%                 
Aid-Egypt, 4.45%, 9/15/15    $ 1,755,000      $ 1,757,485   
Aid-Tunisia, 2.452%, 7/24/21      235,000        240,575   
Aid-Ukraine, 1.844%, 5/16/19      444,000        447,046   
Aid-Ukraine, 1.847%, 5/29/20      330,000        332,618   
Hashemite Kingdom of Jordan, 1.945%, 6/23/19      443,000        449,275   
Hashemite Kingdom of Jordan, 2.503%, 10/30/20      418,000        431,456   
Private Export Funding Corp., 2.25%, 3/15/20      86,000        87,070   
Private Export Funding Corp., 2.3%, 9/15/20      360,000        363,339   
Private Export Funding Corp., 1.875%, 7/15/18      460,000        466,270   
Small Business Administration, 6.35%, 4/01/21      117,915        127,804   
Small Business Administration, 6.34%, 5/01/21      95,229        103,527   
Small Business Administration, 6.44%, 6/01/21      102,201        111,541   
Small Business Administration, 6.625%, 7/01/21      96,960        106,264   
Small Business Administration, 5.52%, 6/01/24      202,901        222,260   
Small Business Administration, 2.21%, 2/01/33      274,983        270,351   
Small Business Administration, 2.22%, 3/01/33      481,864        477,297   
Small Business Administration, 3.15%, 7/01/33      395,930        410,273   
Small Business Administration, 3.62%, 9/01/33      373,524        396,614   
Tennessee Valley Authority, 1.75%, 10/15/18      292,000        296,591   
U.S. Department of Housing & Urban Development, 6.36%, 8/01/16      39,000        39,321   
U.S. Department of Housing & Urban Development, 6.59%, 8/01/16      113,000        115,935   
    

 

 

  
      $ 7,252,912   
U.S. Treasury Obligations - 21.6%                 
U.S. Treasury Bonds, 5.25%, 2/15/29    $ 1,448,000      $ 1,913,736   
U.S. Treasury Bonds, 4.75%, 2/15/37      336,000        448,582   
U.S. Treasury Bonds, 4.375%, 2/15/38      4,842,000        6,143,413   
U.S. Treasury Bonds, 4.5%, 8/15/39      5,097,100        6,567,629   
U.S. Treasury Bonds, 3.125%, 2/15/43      453,700        469,225   
U.S. Treasury Bonds, 2.875%, 5/15/43      1,697,100        1,672,129   
U.S. Treasury Bonds, TIPS, 0.125%, 7/15/24      3,825,106        3,674,493   
U.S. Treasury Notes, 0.875%, 12/31/16      550,000        552,309   
U.S. Treasury Notes, 4.75%, 8/15/17 (f)      1,603,000        1,726,543   
U.S. Treasury Notes, 2.625%, 4/30/18      2,272,000        2,369,478   
U.S. Treasury Notes, 2.75%, 2/15/19      1,654,000        1,738,466   
U.S. Treasury Notes, 3.125%, 5/15/19      300,000        319,649   
U.S. Treasury Notes, 1%, 6/30/19      3,593,000        3,549,022   
U.S. Treasury Notes, 2.625%, 8/15/20      162,000        169,976   
U.S. Treasury Notes, 3.125%, 5/15/21      5,026,000        5,399,025   
U.S. Treasury Notes, 1.75%, 5/15/22      508,000        502,861   
U.S. Treasury Notes, 2.5%, 8/15/23      2,031,000        2,096,717   
U.S. Treasury Notes, 2.75%, 2/15/24      827,000        868,372   

 

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, 2.5%, 5/15/24    $ 438,000      $ 450,467   
    

 

 

  
      $ 40,632,092   
Total U.S. Bonds      $ 182,668,853   
Foreign Bonds - 4.8%                 
Brazil - 0.1%                 
Federative Republic of Brazil, 5.625%, 1/07/41    $ 162,000      $ 144,180   
Vale Overseas Ltd., 6.875%, 11/10/39      165,000        140,333   
    

 

 

  
      $ 284,513   
Canada - 0.2%                 
Teck Resources Ltd., 6%, 8/15/40    $ 200,000      $ 134,000   
Teck Resources Ltd., 5.4%, 2/01/43      300,000        195,349   
    

 

 

  
      $ 329,349   
Chile - 0.7%                 
E.CL S.A., 5.625%, 1/15/21    $ 566,000      $ 616,548   
Empresa Nacional de Electricidad S.A., 4.25%, 4/15/24      20,000        20,199   
Empresa Nacional del Petroleo, 6.25%, 7/08/19      214,000        235,223   
GNL Quintero S.A., 4.634%, 7/31/29 (n)      200,000        195,267   
Transelec S.A., 4.25%, 1/14/25      200,000        198,903   
    

 

 

  
      $ 1,266,140   
China - 0.6%                 
Baidu, Inc., 3.25%, 8/06/18    $ 240,000      $ 244,097   
CNPC (HK) Overseas Capital Ltd., 4.5%, 4/28/21 (n)      226,000        238,676   
State Grid Overseas Investment (2014) Ltd., 4.125%, 5/07/24 (n)      690,000        727,270   
    

 

 

  
      $ 1,210,043   
Iceland - 0.1%                 
Republic of Iceland, 4.875%, 6/16/16 (n)    $ 215,000      $ 220,206   
Kazakhstan - 0.1%                 
Republic of Kazakhstan, 5.125%, 7/21/25 (n)    $ 201,000      $ 196,226   
Malaysia - 0.1%                 
Petronas Capital Ltd., 7.875%, 5/22/22    $ 185,000      $ 231,183   
Mexico - 1.5%                 
Banco Inbursa S.A. Institucion de Banca Multiple Grupo Financiero Inbursa, 4.125%, 6/06/24 (n)    $ 299,000      $ 291,525   
Comision Federal de Electricidad, 4.875%, 5/26/21      277,000        291,889   
Pemex Project Funding Master Trust, 5.75%, 3/01/18      160,000        171,800   
Petroleos Mexicanos, 8%, 5/03/19      228,000        262,234   
Petroleos Mexicanos, 6%, 3/05/20      202,000        220,079   
Petroleos Mexicanos, 5.5%, 1/21/21      130,000        139,425   
Petroleos Mexicanos, 4.875%, 1/18/24      95,000        94,715   
Petroleos Mexicanos, 4.25%, 1/15/25 (n)      15,000        14,189   
Petroleos Mexicanos, 5.5%, 6/27/44 (n)      35,000        30,284   
Petroleos Mexicanos, 5.625%, 1/23/46 (n)      23,000        20,470   
Southern Copper Corp., 5.875%, 4/23/45      80,000        68,711   
United Mexican States, 3.625%, 3/15/22      1,164,000        1,166,910   
    

 

 

  
      $ 2,772,231   

 

6

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Bonds - continued                 
Foreign Bonds - continued                 
Netherlands - 0.4%                 
ING Bank N.V., 5.8%, 9/25/23 (n)    $ 769,000      $ 832,250   
Peru - 0.3%                 
El Fondo Mivivienda S.A., 3.5%, 1/31/23    $ 226,000      $ 213,853   
Republic of Peru, 8.75%, 11/21/33      180,000        262,350   
    

 

 

  
      $ 476,203   
Romania - 0.1%                 
Republic of Romania, 4.375%, 8/22/23 (n)    $ 36,000      $ 37,523   
Republic of Romania, 4.875%, 1/22/24 (n)      58,000        62,568   
    

 

 

  
      $ 100,091   
Russia - 0.1%                 
LUKOIL International Finance B.V., 4.563%, 4/24/23    $ 213,000      $ 185,715   
Slovakia - 0.4%                 
Republic of Slovakia, 4.375%, 5/21/22 (n)    $ 639,000      $ 709,098   
United Kingdom - 0.1%                 
Royal Bank of Scotland Group PLC, 6%, 12/19/23    $ 124,000      $ 132,407   
Uruguay - 0.0%                 
Oriental Republic of Uruguay, 4.5%, 8/14/24    $ 71,000      $ 73,219   
Total Foreign Bonds      $ 9,018,874   
Total Bonds      $ 191,687,727   
Money Market Funds - 2.9%                 
MFS Institutional Money Market Portfolio, 0.11%, at Net Asset Value (v)      5,411,164      $ 5,411,164   
Total Investments      $ 197,098,891   
Other Assets, Less Liabilities - (5.0)%        (9,433,788 ) 
Net Assets - 100.0%      $ 187,665,103   

 

(f) All or a portion of the security has been segregated as collateral for open futures contracts.
(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 $5,197,351, representing 2.8% of net assets.
(v) Underlying affiliated fund 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:

 

FRN   Floating Rate Note. Interest rate resets periodically and the current rate may not be the rate reported at period end.
PLC   Public Limited Company
REIT   Real Estate Investment Trust
TBA   To Be Announced
TIPS   Treasury Inflation Protected Security

 

7

Portfolio of Investments (unaudited) – continued

 

Derivative Contracts at 8/31/15

Futures Contracts at 8/31/15

 

Description    Currency      Contracts      Value    Expiration Date    Unrealized
Appreciation
(Depreciation)		  
Asset Derivatives               
Interest Rate Futures               
U.S. Treasury Bond 30 yr (Short)      USD         42       $6,494,250    December - 2015      $16,916   
U.S. Treasury Note 10 yr (Short)      USD         25       3,176,563    December - 2015      691   
U.S. Treasury Ultra Bond (Short)      USD         14       2,217,688    December - 2015      4,982   
              

 

 

  
                 $22,589   
              

 

 

  

At August 31, 2015, the fund had liquid securities with an aggregate value of $249,880 to cover any commitments 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

8/31/15 (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 as provided by a third-party pricing service on the market on which they are primarily traded. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation as provided by a third-party pricing service on the market on which such futures contracts are primarily traded. 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. Values obtained from 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 halting 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 not reflected in total investments, such as futures contracts. The following is a summary of the levels used as of August 31, 2015 in valuing the fund’s assets or liabilities:

 

Investments at Value    Level 1      Level 2      Level 3      Total  
U.S. Treasury Bonds & U.S. Government Agency & Equivalents      $—         $61,308,400         $—         $61,308,400   
Non-U.S. Sovereign Debt      —         5,952,916         —         5,952,916   
Municipal Bonds      —         705,996         —         705,996   
U.S. Corporate Bonds      —         22,284,012         —         22,284,012   
Residential Mortgage-Backed Securities      —         89,050,293         —         89,050,293   
Commercial Mortgage-Backed Securities      —         8,628,105         —         8,628,105   
Asset-Backed Securities (including CDOs)      —         239,145         —         239,145   
Foreign Bonds      —         3,518,860         —         3,518,860   
Mutual Funds      5,411,164         —         —         5,411,164   
Total Investments      $5,411,164         $191,687,727         $—         $197,098,891   
Other Financial Instruments                            
Futures Contracts      $22,589         $—         $—         $22,589   

For further information regarding security characteristics, see the Portfolio of Investments.

 

9

Supplemental Information (unaudited) – continued

 

(2) Portfolio Securities

The cost and unrealized appreciation and depreciation in the value of the investments owned by the fund, as computed on a federal income tax basis, are as follows:

 

Aggregate cost      $193,012,212   
Gross unrealized appreciation      8,528,652   
Gross unrealized depreciation      (4,441,973 ) 
Net unrealized appreciation (depreciation)      $4,086,679   

The aggregate cost above includes prior fiscal year end tax adjustments, if applicable.

(3) Transactions in Underlying Affiliated Funds – 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 fund assumes the following to be an affiliated issuer:

 

Underlying Affiliated Fund    Beginning
Shares/Par
Amount		      Acquisitions
Shares/Par
Amount		      Dispositions
Shares/Par
Amount		      Ending
Shares/Par
Amount		  
MFS Institutional Money Market Portfolio      15,361,860         30,724,838         (40,675,534 )       5,411,164   
Underlying Affiliated Fund    Realized
Gain (Loss)		      Capital Gain
Distributions		      Dividend
Income		      Ending
Value		  
MFS Institutional Money Market Portfolio      $—         $—         $4,298         $5,411,164   

 

10

ITEM 2. CONTROLS AND PROCEDURES.

 

(a) Based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this Form N-Q, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

 

(b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

ITEM 3. EXHIBITS.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto.

Notice

A copy of the Amended and Restated Declaration of Trust, as amended, of the Registrant is on file with the Secretary of State of The Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant: MFS GOVERNMENT MARKETS INCOME TRUST

 

By (Signature and Title)*   ROBIN A. STELMACH
  Robin A. Stelmach, President

Date: October 15, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)*   ROBIN A. STELMACH
  Robin A. Stelmach, President (Principal Executive Officer)

Date: October 15, 2015

 

By (Signature and Title)*   DAVID L. DILORENZO
  David L. DiLorenzo, Treasurer (Principal Financial Officer and Accounting Officer)

Date: October 15, 2015

 

* Print name and title of each signing officer under his or her signature.