UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-05078
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)
Christopher R. Bohane
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: May 31, 2022
ITEM 1. | REPORTS TO STOCKHOLDERS. |
Item 1(a):
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back cover |
Mortgage-Backed Securities | 38.7% |
U.S. Treasury Securities | 32.9% |
Investment Grade Corporates | 13.6% |
Emerging Markets Bonds | 4.9% |
Commercial Mortgage-Backed Securities | 3.9% |
Municipal Bonds | 3.3% |
Collateralized Debt Obligations | 1.7% |
High Yield Corporates | 0.6% |
U.S. Government Agencies | 0.4% |
Asset-Backed Securities | 0.1% |
AAA | 4.0% |
AA | 3.3% |
A | 7.1% |
BBB | 11.4% |
BB | 1.3% |
C | 0.7% |
U.S. Government | 39.3% |
Federal Agencies | 39.1% |
Not Rated | (6.1)% |
Cash & Cash Equivalents | (6.5)% |
Other | 6.4% |
Average Duration (d) | 6.0 |
Average Effective Maturity (m) | 8.3 yrs. |
(a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. If none of the 4 rating agencies listed above rate the security, but the security is rated by the Kroll Bond Rating Agency (KBRA), then the KBRA rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities. |
(d) | Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move. |
(i) | For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
(m) | In determining each instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. |
Portfolio Manager | Primary Role | Since | Title and Five Year History |
Geoffrey Schechter | Lead and U.S. Government Securities Portfolio Manager | 2006 | Investment Officer of MFS; employed in the investment management area of MFS since 1993. |
Neeraj Arora | Emerging Markets Debt Instruments Portfolio Manager | 2021 | Investment Officer of MFS; employed in the investment management area of MFS since 2011. |
Alexander Mackey | Investment Grade Debt Instruments Portfolio Manager | 2021 | Investment Officer of MFS; employed in the investment management area of MFS since 2001. |
Issuer | Shares/Par | Value ($) | ||
Bonds – 106.0% | ||||
U.S. Bonds – 100.0% | ||||
Aerospace & Defense – 0.6% | ||||
Boeing Co., 1.433%, 2/04/2024 | $ | 750,000 | $ 722,310 | |
Asset-Backed & Securitized – 5.7% | ||||
3650R Commercial Mortgage Trust, 2021-PF1, “XA”, 1.034%, 11/15/2054 (i) | $ | 1,180,187 | $ 77,859 | |
ACREC 2021-FL1 Ltd., “AS”, FLR, 2.435% (LIBOR - 1mo. + 1.5%), 10/16/2036 (n) | 323,500 | 312,238 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL1, “B”, FLR, 2.375% (LIBOR - 1mo. + 1.5%), 12/15/2035 (n) | 175,500 | 170,493 | ||
Arbor Realty Trust, Inc., CLO, 2021-FL3, “AS”, FLR, 2.274% (LIBOR - 1mo. + 1.4%), 8/15/2034 (n) | 374,500 | 370,466 | ||
AREIT 2022-CRE6 Trust, “AS”, FLR, 2.115% (SOFR - 30 day + 1.65%), 1/16/2037 (n) | 512,000 | 504,640 | ||
BBCMS Mortgage Trust, 2021-C10, “XA”, 1.304%, 7/15/2054 (i) | 1,183,158 | 97,430 | ||
BBCMS Mortgage Trust, 2021-C9, “XA”, 1.633%, 2/15/2054 (i) | 991,911 | 102,748 | ||
Benchmark 2021-B23 Mortgage Trust, “XA”, 1.275%, 2/15/2054 (i) | 1,981,969 | 152,757 | ||
Benchmark 2021-B24 Mortgage Trust, “XA”, 1.153%, 3/15/2054 (i) | 1,171,668 | 81,614 | ||
Benchmark 2021-B26 Mortgage Trust, “XA”, 0.999%, 6/15/2054 (i) | 1,597,765 | 89,504 | ||
Benchmark 2021-B27 Mortgage Trust, “XA”, 1.27%, 7/15/2054 (i) | 1,459,903 | 118,719 | ||
Benchmark 2021-B28 Mortgage Trust, “XA”, 1.288%, 8/15/2054 (i) | 2,214,283 | 182,482 | ||
Benchmark 2021-B29 Mortgage Trust, “XA”, 1.047%, 9/15/2054 (i) | 1,895,883 | 122,406 | ||
BSPDF 2021-FL1 Issuer Ltd., “A”, FLR, 2.074% (LIBOR - 1mo. + 1.2%), 10/15/2036 (n) | 200,500 | 194,319 | ||
BSPDF 2021-FL1 Issuer Ltd., “AS”, FLR, 2.355% (LIBOR - 1mo. + 1.48%), 10/15/2036 (n) | 253,500 | 245,809 | ||
BXMT 2021-FL4 Ltd., “AS”, FLR, 2.175% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | 345,000 | 335,628 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 99,521 | 95,329 | ||
Citigroup Commercial Mortgage Trust, 2019-XA, “C7”, 0.871%, 12/15/2072 (i)(n) | 1,431,293 | 72,600 | ||
COMM 2013-WWP Mortgage Trust, “D”, 3.897%, 3/10/2031 (n) | 564,000 | 566,983 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN31, “XA”, 1.331%, 2/15/2054 (i) | 1,526,835 | 130,326 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN32, “XA”, 0.782%, 4/15/2054 (i) | 997,876 | 49,601 | ||
Commercial Mortgage Pass-Through Certificates, 2021-BN35, “XA”, 1.051%, 6/15/2064 (i) | 996,599 | 67,176 | ||
Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/2048 | 177,000 | 175,307 | ||
GS Mortgage Securities Trust, 2015-GC32, “A2”, 3.062%, 7/10/2048 | 32,351 | 32,365 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
LoanCore 2021-CRE5 Ltd., “AS”, FLR, 2.625% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | $ | 283,500 | $ 270,379 | |
LoanCore 2021-CRE6 Ltd., “AS”, FLR, 2.525% (LIBOR - 1mo. + 1.65%), 11/15/2038 (n) | 500,000 | 479,003 | ||
Madison Park Funding Ltd., 2014-13A, “BR2”, FLR, 2.544% (LIBOR - 3mo. + 1.5%), 4/19/2030 (n) | 452,738 | 441,953 | ||
MF1 2021-FL5 Ltd., “AS”, FLR, 2.11% (LIBOR - 1mo. + 1.2%), 7/15/2036 (n) | 173,500 | 168,619 | ||
MF1 2021-FL5 Ltd., “B”, FLR, 2.36% (LIBOR - 1mo. + 1.45%), 7/15/2036 (n) | 279,500 | 275,305 | ||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 0.833%, 12/15/2051 (i) | 1,629,113 | 67,261 | ||
Morgan Stanley Capital I Trust, 2021-L5, “XA”, 1.298%, 5/15/2054 (i) | 738,124 | 59,113 | ||
Morgan Stanley Capital I Trust, 2021-L6, “XA”, 1.234%, 6/15/2054 (i) | 1,148,715 | 83,497 | ||
Morgan Stanley Capital I Trust, 2021-L7, “XA”, 1.104%, 10/15/2054 (i) | 3,375,565 | 231,873 | ||
PFP III 2021-7 Ltd., “AS”, FLR, 2.025% (LIBOR - 1mo. + 1.15%), 4/14/2038 (n) | 311,484 | 303,820 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “A”, FLR, 2.206% (LIBOR - 1mo. + 1.2%), 11/25/2036 (n) | 219,704 | 210,189 | ||
ReadyCap Commercial Mortgage Trust, 2021-FL7, “AS”, FLR, 2.506% (LIBOR - 1mo. + 1.5%), 11/25/2036 (n) | 100,000 | 96,721 | ||
Wells Fargo Commercial Mortgage Trust, 2018-C48, “XA”, 0.948%, 1/15/2052 (i) | 933,233 | 46,931 | ||
$ 7,083,463 | ||||
Automotive – 0.3% | ||||
Hyundai Capital America, 2.85%, 11/01/2022 (n) | $ | 233,000 | $ 232,788 | |
Hyundai Capital America, 2.375%, 2/10/2023 (n) | 115,000 | 114,221 | ||
$ 347,009 | ||||
Broadcasting – 0.9% | ||||
Discovery, Inc., 4.65%, 5/15/2050 | $ | 229,000 | $ 192,759 | |
Magallanes, Inc., 4.279%, 3/15/2032 (n) | 379,000 | 354,231 | ||
Walt Disney Co., 3.5%, 5/13/2040 | 612,000 | 545,757 | ||
$ 1,092,747 | ||||
Building – 0.1% | ||||
Martin Marietta Materials, Inc., 4.25%, 7/02/2024 | $ | 82,000 | $ 83,042 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Bonds – continued | ||||
Cable TV – 0.3% | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.908%, 7/23/2025 | $ | 242,000 | $ 247,101 | |
Time Warner Cable, Inc., 4.5%, 9/15/2042 | 100,000 | 83,398 | ||
$ 330,499 | ||||
Consumer Products – 0.2% | ||||
GSK Consumer Healthcare Capital US LLC, 3.625%, 3/24/2032 (n) | $ | 250,000 | $ 239,217 | |
Consumer Services – 0.1% | ||||
Conservation Fund, 3.474%, 12/15/2029 | $ | 159,000 | $ 148,088 | |
Electronics – 0.5% | ||||
Broadcom, Inc., 3.187%, 11/15/2036 (n) | $ | 750,000 | $ 601,274 | |
Energy - Integrated – 0.5% | ||||
Exxon Mobil Corp., 3.452%, 4/15/2051 | $ | 714,000 | $ 617,953 | |
Food & Beverages – 2.0% | ||||
Constellation Brands, Inc., 4.65%, 11/15/2028 | $ | 1,500,000 | $ 1,520,339 | |
JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029 (n) | 488,000 | 431,270 | ||
Keurig Dr Pepper, Inc., 3.8%, 5/01/2050 | 650,000 | 546,055 | ||
Tyson Foods, Inc., 5.15%, 8/15/2044 | 38,000 | 38,995 | ||
$ 2,536,659 | ||||
Industrial – 0.1% | ||||
Howard University, Washington D.C., 2.738%, 10/01/2022 | $ | 28,000 | $ 27,938 | |
Howard University, Washington D.C., 2.801%, 10/01/2023 | 31,000 | 30,558 | ||
Howard University, Washington D.C., AGM, 2.416%, 10/01/2024 | 33,000 | 32,076 | ||
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | 42,000 | 39,681 | ||
$ 130,253 | ||||
Insurance – 0.4% | ||||
Corebridge Financial, Inc., 3.85%, 4/05/2029 (n) | $ | 500,000 | $ 479,821 | |
Insurance - Health – 0.7% | ||||
Humana, Inc., 3.7%, 3/23/2029 | $ | 167,000 | $ 163,167 | |
UnitedHealth Group, Inc., 4.625%, 7/15/2035 | 672,000 | 703,172 | ||
$ 866,339 | ||||
Insurance - Property & Casualty – 0.1% | ||||
Liberty Mutual Group, Inc., 3.951%, 10/15/2050 (n) | $ | 99,000 | $ 80,552 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Bonds – continued | ||||
Machinery & Tools – 0.5% | ||||
CNH Industrial Capital LLC, 4.2%, 1/15/2024 | $ | 625,000 | $ 635,541 | |
Major Banks – 2.2% | ||||
Bank of America Corp., 3.004%, 12/20/2023 | $ | 183,000 | $ 182,953 | |
Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032 | 750,000 | 653,626 | ||
Goldman Sachs Group, Inc., 3.625%, 1/22/2023 | 241,000 | 243,102 | ||
JPMorgan Chase & Co., 2.58% to 4/22/2031, FLR (SOFR - 1 day + 1.25%) to 4/22/2032 | 750,000 | 654,121 | ||
JPMorgan Chase & Co., 3.109% to 4/22/2050, FLR (SOFR + 2.44%) to 4/22/2051 | 485,000 | 376,310 | ||
Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031 | 588,000 | 560,076 | ||
State Street Corp., 3.152% to 3/30/2030, FLR (SOFR + 2.65%) to 3/30/2031 | 138,000 | 128,138 | ||
$ 2,798,326 | ||||
Medical & Health Technology & Services – 1.0% | ||||
Becton, Dickinson and Co., 4.685%, 12/15/2044 | $ | 140,000 | $ 134,792 | |
Laboratory Corp. of America Holdings, 4.7%, 2/01/2045 | 106,000 | 99,879 | ||
Montefiore Obligated Group, AGM, 5.246%, 11/01/2048 | 614,000 | 635,923 | ||
ProMedica Toledo Hospital, “B”, AGM, 5.325%, 11/15/2028 | 250,000 | 268,458 | ||
ProMedica Toledo Hospital, “B”, AGM, 5.75%, 11/15/2038 | 175,000 | 183,809 | ||
$ 1,322,861 | ||||
Midstream – 0.1% | ||||
Targa Resources Corp., 4.95%, 4/15/2052 | $ | 109,000 | $ 99,804 | |
Mortgage-Backed – 38.6% | ||||
Fannie Mae, 2.152%, 1/25/2023 | $ | 108,856 | $ 108,759 | |
Fannie Mae, 2.41%, 5/01/2023 | 113,370 | 113,233 | ||
Fannie Mae, 2.55%, 5/01/2023 | 97,292 | 97,243 | ||
Fannie Mae, 4%, 3/25/2028 - 7/01/2047 | 2,400,328 | 2,453,593 | ||
Fannie Mae, 3%, 11/01/2028 - 5/25/2053 | 1,851,698 | 1,831,114 | ||
Fannie Mae, 6.5%, 5/01/2031 - 1/01/2037 | 206,495 | 221,935 | ||
Fannie Mae, 2.5%, 11/01/2031 - 10/01/2046 | 267,233 | 257,655 | ||
Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | 86,566 | 8,736 | ||
Fannie Mae, 2.99%, 5/01/2032 | 174,928 | 169,066 | ||
Fannie Mae, 3.17%, 5/01/2032 | 139,309 | 135,303 | ||
Fannie Mae, 3%, 2/25/2033 (i) | 128,024 | 12,542 | ||
Fannie Mae, 5.5%, 10/01/2033 - 3/01/2038 | 1,130,267 | 1,214,480 | ||
Fannie Mae, 6%, 8/01/2034 - 7/01/2037 | 334,504 | 360,249 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Fannie Mae, 5%, 6/01/2035 - 3/01/2042 | $ | 267,424 | $ 283,711 | |
Fannie Mae, 3.5%, 4/01/2038 - 7/01/2046 | 1,095,935 | 1,095,471 | ||
Fannie Mae, 2%, 10/25/2040 - 4/25/2046 | 134,254 | 129,440 | ||
Fannie Mae, 4.5%, 2/01/2041 - 11/01/2042 | 404,534 | 421,517 | ||
Fannie Mae, 1.75%, 9/25/2041 - 10/25/2041 | 373,181 | 358,739 | ||
Fannie Mae, 2.75%, 9/25/2042 | 111,813 | 109,987 | ||
Fannie Mae, UMBS, 2%, 2/01/2042 - 3/01/2052 | 5,750,287 | 5,145,943 | ||
Fannie Mae, UMBS, 2.5%, 3/01/2042 - 4/01/2052 | 2,882,549 | 2,667,643 | ||
Fannie Mae, UMBS, 3%, 6/01/2051 - 1/01/2052 | 654,681 | 627,077 | ||
Fannie Mae, UMBS, 3.5%, 5/01/2052 | 74,901 | 73,557 | ||
Freddie Mac, 3.06%, 7/25/2023 | 294,000 | 295,862 | ||
Freddie Mac, 3.458%, 8/25/2023 | 367,000 | 369,875 | ||
Freddie Mac, 0.895%, 4/25/2024 (i) | 3,396,046 | 47,100 | ||
Freddie Mac, 0.602%, 7/25/2024 (i) | 4,602,363 | 37,641 | ||
Freddie Mac, 3.064%, 8/25/2024 | 481,571 | 482,163 | ||
Freddie Mac, 4.5%, 9/01/2024 - 5/01/2042 | 302,643 | 315,373 | ||
Freddie Mac, 2.67%, 12/25/2024 | 827,000 | 819,445 | ||
Freddie Mac, 2.811%, 1/25/2025 | 538,768 | 535,644 | ||
Freddie Mac, 3.5%, 1/15/2027 - 10/25/2058 | 2,654,012 | 2,650,619 | ||
Freddie Mac, 1.367%, 3/25/2027 (i) | 391,000 | 22,738 | ||
Freddie Mac, 0.576%, 7/25/2027 (i) | 8,481,163 | 216,129 | ||
Freddie Mac, 0.429%, 8/25/2027 (i) | 6,584,111 | 129,274 | ||
Freddie Mac, 0.291%, 1/25/2028 (i) | 12,125,991 | 190,931 | ||
Freddie Mac, 0.304%, 1/25/2028 (i) | 4,994,703 | 81,103 | ||
Freddie Mac, 0.135%, 2/25/2028 (i) | 14,063,041 | 116,742 | ||
Freddie Mac, 2.5%, 3/15/2028 | 39,607 | 39,538 | ||
Freddie Mac, 0.12%, 4/25/2028 (i) | 9,028,766 | 69,821 | ||
Freddie Mac, 3%, 6/15/2028 - 2/25/2059 | 2,003,632 | 1,949,925 | ||
Freddie Mac, 1.09%, 7/25/2029 (i) | 1,259,452 | 81,967 | ||
Freddie Mac, 1.143%, 8/25/2029 (i) | 2,552,309 | 172,835 | ||
Freddie Mac, 1.798%, 4/25/2030 (i) | 600,527 | 71,697 | ||
Freddie Mac, 1.868%, 4/25/2030 (i) | 1,277,474 | 156,943 | ||
Freddie Mac, 1.663%, 5/25/2030 (i) | 612,877 | 68,565 | ||
Freddie Mac, 1.797%, 5/25/2030 (i) | 1,389,954 | 167,502 | ||
Freddie Mac, 1.342%, 6/25/2030 (i) | 559,633 | 50,632 | ||
Freddie Mac, 1.6%, 8/25/2030 (i) | 633,757 | 69,714 | ||
Freddie Mac, 1.17%, 9/25/2030 (i) | 314,905 | 25,814 | ||
Freddie Mac, 1.081%, 11/25/2030 (i) | 789,331 | 60,834 | ||
Freddie Mac, 0.33%, 1/25/2031 (i) | 2,862,712 | 64,915 | ||
Freddie Mac, 0.781%, 1/25/2031 (i) | 873,865 | 50,194 | ||
Freddie Mac, 0.936%, 1/25/2031 (i) | 663,744 | 44,782 | ||
Freddie Mac, 0.517%, 3/25/2031 (i) | 2,273,585 | 82,505 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Freddie Mac, 0.732%, 3/25/2031 (i) | $ | 973,113 | $ 52,879 | |
Freddie Mac, 1.225%, 5/25/2031 (i) | 399,402 | 36,140 | ||
Freddie Mac, 0.938%, 7/25/2031 (i) | 489,989 | 34,952 | ||
Freddie Mac, 0.536%, 9/25/2031 (i) | 2,619,786 | 105,344 | ||
Freddie Mac, 0.855%, 9/25/2031 (i) | 808,717 | 53,522 | ||
Freddie Mac, 0.349%, 11/25/2031 (i) | 3,899,181 | 116,671 | ||
Freddie Mac, 0.497%, 12/25/2031 (i) | 3,898,081 | 155,476 | ||
Freddie Mac, 0.567%, 12/25/2031 (i) | 644,718 | 28,632 | ||
Freddie Mac, 6%, 5/01/2035 - 10/01/2038 | 168,693 | 184,850 | ||
Freddie Mac, 5.5%, 8/01/2035 - 6/01/2036 | 194,608 | 210,065 | ||
Freddie Mac, 5%, 2/15/2036 - 12/01/2044 | 774,015 | 824,025 | ||
Freddie Mac, 5.5%, 2/15/2036 (i) | 31,348 | 5,395 | ||
Freddie Mac, 2%, 8/15/2036 | 156,635 | 155,989 | ||
Freddie Mac, 6.5%, 5/01/2037 | 40,977 | 44,367 | ||
Freddie Mac, 4%, 8/01/2037 - 4/01/2044 | 195,346 | 199,977 | ||
Freddie Mac, 4.5%, 12/15/2040 (i) | 9,145 | 846 | ||
Freddie Mac, 3.25%, 11/25/2061 | 412,362 | 403,557 | ||
Freddie Mac, UMBS, 2%, 2/01/2042 - 5/01/2052 | 1,139,026 | 1,020,042 | ||
Freddie Mac, UMBS, 2.5%, 10/01/2051 - 3/01/2052 | 1,360,324 | 1,254,288 | ||
Freddie Mac, UMBS, 3%, 1/01/2052 | 148,436 | 141,753 | ||
Freddie Mac, UMBS, 3.5%, 5/01/2052 | 60,428 | 59,750 | ||
Freddie Mac, UMBS, 4%, 5/01/2052 | 200,000 | 202,059 | ||
Ginnie Mae, 5.5%, 7/15/2033 - 1/20/2042 | 392,180 | 427,654 | ||
Ginnie Mae, 5.69%, 8/20/2034 | 91,635 | 97,704 | ||
Ginnie Mae, 4%, 5/16/2039 - 7/20/2041 | 183,644 | 187,736 | ||
Ginnie Mae, 4.5%, 9/20/2041 | 115,047 | 119,499 | ||
Ginnie Mae, 3.5%, 10/20/2041 (i) | 46,225 | 2,992 | ||
Ginnie Mae, 3.5%, 4/15/2042 - 7/20/2043 | 753,062 | 761,674 | ||
Ginnie Mae, 2.5%, 6/20/2042 - 11/20/2051 | 1,357,051 | 1,276,956 | ||
Ginnie Mae, 4%, 8/16/2042 (i) | 46,971 | 7,040 | ||
Ginnie Mae, 2.25%, 9/20/2043 | 33,404 | 33,175 | ||
Ginnie Mae, 3%, 4/20/2045 - 2/20/2052 | 1,043,318 | 1,013,425 | ||
Ginnie Mae, 2%, 1/20/2052 | 443,171 | 403,609 | ||
Ginnie Mae, 0.586%, 2/16/2059 (i) | 181,392 | 7,054 | ||
Ginnie Mae, TBA, 3%, 6/15/2052 | 1,025,000 | 988,725 | ||
Ginnie Mae, TBA, 3.5%, 6/15/2052 | 1,125,000 | 1,114,453 | ||
Ginnie Mae, TBA, 4%, 6/15/2052 - 8/15/2052 | 1,094,799 | 1,100,244 | ||
Ginnie Mae, TBA, 4.5%, 8/15/2052 | 425,000 | 431,275 | ||
UMBS, TBA, 2%, 6/16/2037 - 7/14/2052 | 3,575,000 | 3,265,300 | ||
UMBS, TBA, 2.5%, 6/16/2037 - 7/14/2052 | 3,425,000 | 3,167,446 | ||
UMBS, TBA, 3%, 6/13/2052 | 700,000 | 666,559 | ||
UMBS, TBA, 3.5%, 6/13/2052 | 100,000 | 97,969 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Bonds – continued | ||||
Mortgage-Backed – continued | ||||
UMBS, TBA, 4%, 6/13/2052 | $ | 25,000 | $ 24,984 | |
UMBS, TBA, 5%, 7/25/2052 | 200,000 | 205,719 | ||
$ 48,127,586 | ||||
Municipals – 3.3% | ||||
Bridgeview, IL, Stadium and Redevelopment Projects, Taxable, AAC, 5.06%, 12/01/2025 | $ | 630,000 | $ 621,646 | |
California Earthquake Authority Rev., Taxable, “B”, 1.477%, 7/01/2023 | 110,000 | 108,495 | ||
Chicago, IL, General Obligation, Taxable, “C”, AGM, 6.207%, 1/01/2036 | 1,010,000 | 1,141,598 | ||
Florida State Board of Administration Finance Corp. Rev., Taxable, “A”, 1.705%, 7/01/2027 | 291,000 | 263,301 | ||
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, “B”, 3%, 6/01/2046 | 175,000 | 154,570 | ||
Guam International Airport Authority Rev., Taxable (A.B. Won Pat Airport), “A”, 4.46%, 10/01/2043 | 5,000 | 4,396 | ||
Illinois Sales Tax Securitization Corp., Second Lien, Taxable, “B”, BAM, 3.411%, 1/01/2043 | 240,000 | 201,435 | ||
Massachusetts Educational Financing Authority, Education Loan Subordinate Rev., Taxable, “A”, 2.641%, 7/01/2037 | 535,000 | 466,860 | ||
Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), “A-1”, 2.326%, 6/01/2030 | 19,102 | 17,929 | ||
New Jersey Turnpike Authority Rev., Taxable (Build America Bonds), “F”, 7.414%, 1/01/2040 | 32,000 | 42,902 | ||
Syracuse, NY, Industrial Development Agency PILOT Rev., Taxable (Carousel Center Project), “B”, 5%, 1/01/2036 (n) | 1,215,000 | 886,369 | ||
Texas Transportation Commission, Central Texas Turnpike System First Tier Refunding Rev., Taxable, “B”, 1.98%, 8/15/2042 | 195,000 | 195,000 | ||
$ 4,104,501 | ||||
Oils – 0.1% | ||||
Valero Energy Corp., 3.65%, 12/01/2051 | $ | 157,000 | $ 123,666 | |
Pharmaceuticals – 0.0% | ||||
Gilead Sciences, Inc., 4.5%, 2/01/2045 | $ | 82,000 | $ 78,526 | |
Retailers – 0.5% | ||||
Home Depot, Inc., 2.7%, 4/15/2030 | $ | 700,000 | $ 648,663 | |
Telecommunications - Wireless – 0.8% | ||||
Crown Castle International Corp., 3.25%, 1/15/2051 | $ | 464,000 | $347,087 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Bonds – continued | ||||
Telecommunications - Wireless – continued | ||||
T-Mobile USA, Inc., 4.375%, 4/15/2040 | $ | 650,000 | $ 610,585 | |
$ 957,672 | ||||
Transportation - Services – 0.0% | ||||
ERAC USA Finance LLC, 3.85%, 11/15/2024 (n) | $ | 34,000 | $ 34,175 | |
U.S. Government Agencies and Equivalents – 0.4% | ||||
Small Business Administration, 5.52%, 6/01/2024 | $ | 18,371 | $ 18,512 | |
Small Business Administration, 2.21%, 2/01/2033 | 94,706 | 89,757 | ||
Small Business Administration, 2.22%, 3/01/2033 | 129,061 | 122,258 | ||
Small Business Administration, 3.15%, 7/01/2033 | 116,287 | 113,861 | ||
Small Business Administration, 3.62%, 9/01/2033 | 114,198 | 115,022 | ||
$ 459,410 | ||||
U.S. Treasury Obligations – 39.1% | ||||
U.S. Treasury Bonds, 2.25%, 2/15/2027 | $ | 1,921,000 | $ 1,870,349 | |
U.S. Treasury Bonds, 5.25%, 2/15/2029 | 48,000 | 54,909 | ||
U.S. Treasury Bonds, 0.625%, 5/15/2030 | 800,000 | 674,344 | ||
U.S. Treasury Bonds, 4.75%, 2/15/2037 | 336,000 | 410,327 | ||
U.S. Treasury Bonds, 4.375%, 2/15/2038 | 1,109,000 | 1,304,851 | ||
U.S. Treasury Bonds, 4.5%, 8/15/2039 (f) | 4,503,100 | 5,362,031 | ||
U.S. Treasury Bonds, 3.125%, 2/15/2043 | 453,700 | 439,610 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2043 | 1,697,100 | 1,578,767 | ||
U.S. Treasury Bonds, 2.5%, 2/15/2045 | 4,017,000 | 3,469,527 | ||
U.S. Treasury Bonds, 2.875%, 11/15/2046 | 3,470,000 | 3,217,612 | ||
U.S. Treasury Bonds, 3%, 2/15/2048 | 804,400 | 770,119 | ||
U.S. Treasury Bonds, 2.375%, 5/15/2051 | 638,000 | 547,708 | ||
U.S. Treasury Bonds, 1.875%, 11/15/2051 | 1,090,500 | 830,825 | ||
U.S. Treasury Notes, 1.75%, 6/15/2022 | 1,500,000 | 1,500,576 | ||
U.S. Treasury Notes, 1.5%, 9/15/2022 | 2,459,000 | 2,460,345 | ||
U.S. Treasury Notes, 0.125%, 12/31/2022 | 1,530,000 | 1,516,194 | ||
U.S. Treasury Notes, 0.125%, 2/28/2023 | 1,171,500 | 1,155,895 | ||
U.S. Treasury Notes, 0.125%, 4/30/2023 | 3,940,200 | 3,870,015 | ||
U.S. Treasury Notes, 0.125%, 5/31/2023 | 2,400,000 | 2,352,094 | ||
U.S. Treasury Notes, 2.75%, 2/15/2024 | 577,000 | 580,020 | ||
U.S. Treasury Notes, 2.5%, 5/15/2024 | 2,955,000 | 2,954,538 | ||
U.S. Treasury Notes, 2.875%, 7/31/2025 | 4,700,000 | 4,718,726 | ||
U.S. Treasury Notes, 2%, 8/15/2025 | 98,000 | 95,707 | ||
U.S. Treasury Notes, 0.75%, 5/31/2026 | 567,700 | 523,415 | ||
U.S. Treasury Notes, 0.875%, 6/30/2026 | 678,600 | 627,917 | ||
U.S. Treasury Notes, 2%, 11/15/2026 | 6,071,000 | 5,855,432 | ||
$ 48,741,853 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Bonds – continued | ||||
Utilities - Electric Power – 0.9% | ||||
FirstEnergy Corp., 4.4%, 7/15/2027 | $ | 694,000 | $ 688,795 | |
Vistra Operations Co. LLC, 4.875%, 5/13/2024 (n) | 500,000 | 501,960 | ||
$ 1,190,755 | ||||
Total U.S. Bonds | $ 124,682,565 | |||
Foreign Bonds – 6.0% | ||||
Australia – 0.0% | ||||
APT Pipelines Ltd., 4.25%, 7/15/2027 (n) | $ | 16,000 | $ 15,869 | |
Chile – 0.2% | ||||
Banco del Estado de Chile, 2.704%, 1/09/2025 (n) | $ | 241,000 | $ 230,459 | |
China – 0.6% | ||||
Industrial and Commercial Bank of China, 4.875%, 9/21/2025 | $ | 294,000 | $ 305,058 | |
Tencent Holdings Ltd., 2.88%, 4/22/2031 (n) | 501,000 | 439,016 | ||
$ 744,074 | ||||
India – 0.8% | ||||
Export-Import Bank of India, 2.25%, 1/13/2031 (n) | $ | 317,000 | $ 258,681 | |
Indian Railway Finance Corp., 2.8%, 2/10/2031 (n) | 376,000 | 314,652 | ||
Power Finance Corp. Ltd. (Republic of India), 5.25%, 8/10/2028 | 370,000 | 373,830 | ||
$ 947,163 | ||||
Indonesia – 0.4% | ||||
PT Freeport Indonesia, 5.315%, 4/14/2032 (n) | $ | 451,000 | $ 438,282 | |
Ireland – 0.2% | ||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.3%, 1/30/2032 | $ | 355,000 | $ 299,549 | |
Israel – 0.4% | ||||
Bank Hapoalim B.M., 3.255% to 1/21/2027, FLR (CMT - 5yr. + 2.155%) to 1/21/2032 (n) | $ | 200,000 | $ 175,750 | |
Bank Leumi le-Israel B.M., 3.275%, 1/29/2031 (n) | 354,000 | 323,025 | ||
$ 498,775 | ||||
Kazakhstan – 0.3% | ||||
KazTransGas JSC (Republic of Kazakhstan), 4.375%, 9/26/2027 | $ | 350,000 | $ 316,260 | |
Kuwait – 0.2% | ||||
EQUATE Petrochemical B.V. (State of Kuwait), 4.25%, 11/03/2026 | $ | 253,000 | $ 251,260 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Foreign Bonds – continued | ||||
Malaysia – 0.3% | ||||
Dua Capital Ltd. (Federation of Malaysia), 2.78%, 5/11/2031 | $ | 400,000 | $ 338,960 | |
Mexico – 0.4% | ||||
Comision Federal de Electricidad (United Mexican States), 3.348%, 2/09/2031 (n) | $ | 232,000 | $ 186,066 | |
United Mexican States, 4.75%, 4/27/2032 | 324,000 | 325,680 | ||
$ 511,746 | ||||
Morocco – 0.2% | ||||
Kingdom of Morocco, 3%, 12/15/2032 (n) | $ | 377,000 | $ 294,531 | |
Panama – 0.1% | ||||
Republic of Panama, 3.362%, 6/30/2031 (n) | $ | 162,000 | $ 144,504 | |
Romania – 0.2% | ||||
Republic of Romania, 2%, 4/14/2033 | EUR | 367,000 | $ 285,442 | |
Saudi Arabia – 0.4% | ||||
Kingdom of Saudi Arabia, 2.25%, 2/02/2033 (n) | $ | 309,000 | $ 270,398 | |
Saudi Arabian Oil Co., 1.625%, 11/24/2025 (n) | 305,000 | 285,937 | ||
$ 556,335 | ||||
South Korea – 0.2% | ||||
Shinhan Bank Co., Ltd., 4.375%, 4/13/2032 (n) | $ | 300,000 | $ 292,956 | |
Thailand – 0.3% | ||||
Thaioil Treasury Center Co. Ltd., 3.75%, 6/18/2050 (n) | $ | 470,000 | $ 324,911 | |
United Arab Emirates – 0.3% | ||||
MDGH - GMTN RSC Ltd. (United Arab Emirates), 2.5%, 11/07/2024 (n) | $ | 429,000 | $ 420,591 | |
United Kingdom – 0.5% | ||||
B.A.T. Capital Corp., 4.7%, 4/02/2027 | $ | 600,000 | $ 595,874 | |
Total Foreign Bonds | $ 7,507,541 | |||
Total Bonds (Identified Cost, $137,110,605) | $ 132,190,106 |
Issuer | Shares/Par | Value ($) | ||
Investment Companies (h) – 2.6% | ||||
Money Market Funds – 2.6% | ||||
MFS Institutional Money Market Portfolio, 0.64% (v) (Identified Cost, $3,257,550) | 3,257,550 | $ 3,257,550 | ||
Other Assets, Less Liabilities – (8.6)% | (10,716,865) | |||
Net Assets – 100.0% | $ 124,730,791 |
(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 $3,257,550 and $132,190,106, 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 $13,486,000, representing 10.8% 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 |
BAM | Build America Mutual |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
LIBOR | London Interbank Offered Rate |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
UMBS | Uniform Mortgage-Backed Security |
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below: | |
EUR | Euro |
Forward Foreign Currency Exchange Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
Asset Derivatives | ||||||
USD | 405,203 | EUR | 367,738 | BNP Paribas S.A. | 7/15/2022 | $9,535 |
Futures Contracts | ||||||
Description | Long/ Short | Currency | Contracts | Notional Amount | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Bond | Short | USD | 48 | $6,693,000 | September - 2022 | $65,824 |
U.S. Treasury Note 2 yr | Short | USD | 19 | 4,010,930 | September - 2022 | 7,120 |
U.S. Treasury Note 5 yr | Short | USD | 53 | 5,986,515 | September - 2022 | 21,344 |
U.S. Treasury Ultra Bond | Short | USD | 3 | 467,250 | September - 2022 | 9,831 |
$104,119 | ||||||
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Note 10 yr | Long | USD | 75 | $8,958,984 | September - 2022 | $(60,624) |
U.S. Treasury Ultra Note 10 yr | Long | USD | 2 | 256,969 | September - 2022 | (1,476) |
$(62,100) |
Assets | |
Investments in unaffiliated issuers, at value (identified cost, $137,110,605) | $132,190,106 |
Investments in affiliated issuers, at value (identified cost, $3,257,550) | 3,257,550 |
Cash | 10,222 |
Receivables for | |
Forward foreign currency exchange contracts | 9,535 |
Net daily variation margin on open futures contracts | 47,759 |
Investments sold | 20,000 |
TBA sale commitments | 5,037,338 |
Interest | 679,679 |
Other assets | 18,989 |
Total assets | $141,271,178 |
Liabilities | |
Payables for | |
Investments purchased | $395,437 |
TBA purchase commitments | 16,027,030 |
Payable to affiliates | |
Investment adviser | 8,282 |
Administrative services fee | 413 |
Transfer agent and dividend disbursing costs | 4,968 |
Payable for independent Trustees' compensation | 14,070 |
Accrued expenses and other liabilities | 90,187 |
Total liabilities | $16,540,387 |
Net assets | $124,730,791 |
Net assets consist of | |
Paid-in capital | $141,296,179 |
Total distributable earnings (loss) | (16,565,388) |
Net assets | $124,730,791 |
Shares of beneficial interest outstanding | 32,597,393 |
Net asset value per share (net assets of $124,730,791 / 32,597,393 shares of beneficial interest outstanding) | $3.83 |
Net investment income (loss) | |
Income | |
Interest | $1,284,644 |
Dividends from affiliated issuers | 3,723 |
Foreign taxes withheld | (93) |
Total investment income | $1,288,274 |
Expenses | |
Management fee | $286,508 |
Transfer agent and dividend disbursing costs | 30,564 |
Administrative services fee | 14,690 |
Independent Trustees' compensation | 3,062 |
Stock exchange fee | 15,832 |
Custodian fee | 6,392 |
Shareholder communications | 37,607 |
Audit and tax fees | 43,628 |
Legal fees | 1,870 |
Miscellaneous | 24,937 |
Total expenses | $465,090 |
Net investment income (loss) | $823,184 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $(1,328,057) |
Futures contracts | 880,485 |
Forward foreign currency exchange contracts | 22,773 |
Foreign currency | (522) |
Net realized gain (loss) | $(425,321) |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $(12,906,969) |
Futures contracts | 270,288 |
Forward foreign currency exchange contracts | 1,777 |
Translation of assets and liabilities in foreign currencies | 173 |
Net unrealized gain (loss) | $(12,634,731) |
Net realized and unrealized gain (loss) | $(13,060,052) |
Change in net assets from operations | $(12,236,868) |
Six months ended | Year ended | |
5/31/22 (unaudited) | 11/30/21 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $823,184 | $2,620,224 |
Net realized gain (loss) | (425,321) | 1,914,649 |
Net unrealized gain (loss) | (12,634,731) | (6,608,864) |
Change in net assets from operations | $(12,236,868) | $(2,073,991) |
Distributions to shareholders | $(912,305) | $(2,900,169) |
Tax return of capital distributions to shareholders | $— | $(7,851,681) |
Distributions from other sources | $(4,014,743) | $— |
Change in net assets from fund share transactions | $42,524 | $— |
Total change in net assets | $(17,121,392) | $(12,825,841) |
Net assets | ||
At beginning of period | 141,852,183 | 154,678,024 |
At end of period | $124,730,791 | $141,852,183 |
Six months ended | Year ended | |||||
5/31/22 (unaudited) | 11/30/21 | 11/30/20 | 11/30/19 | 11/30/18 | 11/30/17 | |
Net asset value, beginning of period | $4.35 | $4.75 | $4.75 | $4.65 | $5.08 | $5.35 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.03 | $0.08 | $0.10 | $0.12 | $0.12 | $0.14 |
Net realized and unrealized gain (loss) | (0.40) | (0.15) | 0.25 | 0.32 | (0.20) | (0.03) |
Total from investment operations | $(0.37) | $(0.07) | $0.35 | $0.44 | $(0.08) | $0.11 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.03) | $(0.09) | $(0.11) | $(0.13) | $(0.14) | $(0.18) |
From tax return of capital | — | (0.24) | (0.24) | (0.21) | (0.21) | (0.20) |
From other sources | (0.12) | — | — | — | — | — |
Total distributions declared to shareholders | $(0.15) | $(0.33) | $(0.35) | $(0.34) | $(0.35) | $(0.38) |
Net increase from repurchase of capital shares | $— | $— | $0.00(w) | $— | $— | $— |
Net asset value, end of period (x) | $3.83 | $4.35 | $4.75 | $4.75 | $4.65 | $5.08 |
Market value, end of period | $3.80 | $4.27 | $4.64 | $4.56 | $4.36 | $4.81 |
Total return at market value (%) | (7.51)(n) | (0.84) | 9.64 | 12.76 | (2.05) | 2.62 |
Total return at net asset value (%) (j)(r)(s)(x) | (8.50)(n) | (1.32) | 7.75 | 10.13 | (1.09) | 2.50 |
Ratios (%) (to average net assets) and Supplemental data: | ||||||
Expenses | 0.70(a) | 0.70 | 0.72 | 0.74 | 0.75 | 0.75 |
Net investment income (loss) | 1.24(a) | 1.78 | 2.19 | 2.45 | 2.57 | 2.64 |
Portfolio turnover | 87(n) | 201 | 142 | 48 | 21 | 32 |
Net assets at end of period (000 omitted) | $124,731 | $141,852 | $154,678 | $154,836 | $151,533 | $165,599 |
(a) | Annualized. |
(d) | Per share data is based on average shares outstanding. |
(j) | Total return at net asset value is calculated using the net asset value of the fund, not the publicly traded price and therefore may be different than the total return at market value. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(w) | Per share amount was less than $0.01. |
(x) | The net asset values and total returns at net asset value have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | $— | $49,201,263 | $— | $49,201,263 |
Non - U.S. Sovereign Debt | — | 5,040,591 | — | 5,040,591 |
Municipal Bonds | — | 4,104,501 | — | 4,104,501 |
U.S. Corporate Bonds | — | 16,165,752 | — | 16,165,752 |
Residential Mortgage-Backed Securities | — | 48,127,586 | — | 48,127,586 |
Commercial Mortgage-Backed Securities | — | 4,814,260 | — | 4,814,260 |
Asset-Backed Securities (including CDOs) | — | 2,269,203 | — | 2,269,203 |
Foreign Bonds | — | 2,466,950 | — | 2,466,950 |
Mutual Funds | 3,257,550 | — | — | 3,257,550 |
Total | $3,257,550 | $132,190,106 | $— | $135,447,656 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $104,119 | $— | $— | $104,119 |
Futures Contracts – Liabilities | (62,100) | — | — | (62,100) |
Forward Foreign Currency Exchange Contracts – Assets | — | 9,535 | — | 9,535 |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Interest Rate | Futures Contracts | $104,119 | $(62,100) |
Foreign Exchange | Forward Foreign Currency Exchange Contracts | 9,535 | — |
Total | $113,654 | $(62,100) |
(a) | Values presented in this table for futures contracts correspond to the values reported in the Portfolio of Investments. Only the current day net variation margin for futures contracts is separately reported within the Statement of Assets and Liabilities. |
Risk | Futures Contracts | Forward Foreign Currency Exchange Contracts |
Interest Rate | $880,485 | $— |
Foreign Exchange | — | 22,773 |
Total | $880,485 | $22,773 |
Risk | Futures Contracts | Forward Foreign Currency Exchange Contracts |
Interest Rate | $270,288 | $— |
Foreign Exchange | — | 1,777 |
Total | $270,288 | $1,777 |
Year ended 11/30/21 | |
Ordinary income (including any short-term capital gains) | $2,900,169 |
Tax return of capital (b) | 7,851,681 |
Total distributions | $10,751,850 |
(b) | Distributions in excess of tax basis earnings and profits are reported in the financial statements as a tax return of capital. |
As of 5/31/22 | |
Cost of investments | $144,597,365 |
Gross appreciation | 1,333,713 |
Gross depreciation | (10,483,422) |
Net unrealized appreciation (depreciation) | $ (9,149,709) |
As of 11/30/21 | |
Capital loss carryforwards | (3,107,951) |
Other temporary differences | (62,279) |
Net unrealized appreciation (depreciation) | 3,768,758 |
Long-Term | $(3,107,951) |
Purchases | Sales | |
U.S. Government securities | $118,956,059 | $122,125,231 |
Non-U.S. Government securities | 3,988,795 | 5,532,575 |
Six months ended 5/31/22 | Year ended 11/30/21 | ||||
Shares | Amount | Shares | Amount | ||
Shares issued to shareholders in reinvestment of distributions | 11,103 | $42,524 | — | $— |
Affiliated Issuers | Beginning Value | Purchases | Sales Proceeds | Realized Gain (Loss) | Change in Unrealized Appreciation or Depreciation | Ending Value |
MFS Institutional Money Market Portfolio | $12,202,488 | $24,464,970 | $33,409,908 | $— | $— | $3,257,550 |
Affiliated Issuers | Dividend Income | Capital Gain Distributions |
MFS Institutional Money Market Portfolio | $3,723 | $— |
July 15, 2022
DIVIDEND DISBURSING AGENT
Item 1(b):
A copy of the notice transmitted to the Registrant’s shareholders in reliance on Rule 30e-3 of the Investment Company Act of 1940, as amended that contains disclosure specified by paragraph (c)(3) of Rule 30e-3 is attached hereto as EX-99.30e-3Notice.
ITEM 2. | CODE OF ETHICS. |
During the period covered by this report, the Registrant has not amended any provision in its Code of Ethics (the “Code”) that relates to an element of the Code’s definitions enumerated in paragraph (b) of Item 2 of this Form N-CSR. During the period covered by this report, the Registrant did not grant a waiver, including an implicit waiver, from any provision of the Code.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable for semi-annual reports.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable for semi-annual reports.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable for semi-annual reports.
ITEM 6. | SCHEDULE OF INVESTMENTS |
A schedule of investments for MFS Government Markets Income Trust is included as part of the report to shareholders under Item 1(a) of this Form N-CSR.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable for semi-annual reports.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
There were no changes during this period.
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
MFS Government Markets Income Trust | ||||||||||||||||
Period | (a) Total number of Shares Purchased | (b) Average Price Paid per Share | (c) Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs | (d) Maximum Number (or Approximate Dollar Value) of Shares that May Yet Be Purchased under the Plans or Programs | ||||||||||||
12/01/21-12/31/21 | 0 | N/A | 0 | 3,285,629 | ||||||||||||
1/01/22-1/31/22 | 0 | N/A | 0 | 3,285,629 | ||||||||||||
2/01/22-2/28/22 | 0 | N/A | 0 | 3,285,629 | ||||||||||||
3/01/22-3/31/22 | 0 | N/A | 0 | 3,285,629 | ||||||||||||
4/01/22-4/30/22 | 0 | N/A | 0 | 3,285,629 | ||||||||||||
5/01/22-5/31/22 | 0 | N/A | 0 | 3,285,629 | ||||||||||||
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|
|
| |||||||||||||
Total | 0 | 0 | ||||||||||||||
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Note: The Board approved procedures to repurchase shares and reviews the results periodically. The notification to shareholders of the program is part of the semi-annual and annual reports sent to shareholders. These annual programs begin on October 1st of each year. The programs conform to the conditions of Rule 10b-18 of the Securities Exchange Act of 1934 and limit the aggregate number of shares that may be purchased in each annual period (October 1 through the following September 30) to 10% of the Registrant’s outstanding shares as of the first day of the plan year (October 1). The aggregate number of shares available for purchase for the October 1, 2021 plan year is 3,258,629.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrant’s Board since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | Based upon their evaluation 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-CSR, 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 period covered by the report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable for semi-annual reports.
ITEM 13. | EXHIBITS. |
(a) | (1) | Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. Not applicable. |
(2) | 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 as EX-99.302CERT. |
(3) | Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable. |
(4) | Change in the registrant’s independent public accountant. Not applicable. |
(b) | If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference: Attached hereto as EX-99.906CERT. |
(c) | Registrant’s Rule 30e-3 Notice pursuant to Item 1(b) of Form N-CSR. Attached hereto as EX-99.30e-3Notice. |
(d) | Notices to Trust’s common shareholders in accordance with Investment Company Act Section 19(a) and Rule 19a-1. Attached hereto as EX-99.19a-1. |
Notice
A copy of the Amended and Restated Declaration of Trust 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)* | /S/ DAVID L. DILORENZO | |
David L. DiLorenzo, President |
Date: July 15, 2022
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)* | /S/ DAVID L. DILORENZO | |
David L. DiLorenzo, President (Principal Executive Officer) |
Date: July 15, 2022
By (Signature and Title)* | /S/ JAMES O. YOST | |
James O. Yost, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: July 15, 2022
* | Print name and title of each signing officer under his or her signature. |