Edgar Filing: MFS GOVERNMENT MARKETS INCOME TRUST

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, 2016

ITEM 1.

SCHEDULE OF INVESTMENTS.

QUARTERLY REPORT

August 31, 2016

LOGO

MFS® GOVERNMENT MARKETS INCOME TRUST

LOGO

PORTFOLIO OF INVESTMENTS

8/31/16 (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 - 99.8%
U.S. Bonds - 94.2%
Agency - Other - 6.8%
Financing Corp., 10.7%, 10/06/2017	$	4,095,000	$	4,541,441
Financing Corp., 9.4%, 2/08/2018		3,085,000		3,461,441
Financing Corp., 10.35%, 8/03/2018		3,820,000		4,508,479

			$	12,511,361
Asset-Backed & Securitized - 3.8%
Citigroup Commercial Mortgage Trust, FRN, 5.9%, 12/10/2049	$	1,000,000	$	1,020,132
Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.322%, 12/11/2049		741,146		744,150
CNH Equipment Trust, 2015-C, “A2B”, FRN, 0.977%, 12/17/2018		136,936		137,088
Commercial Mortgage Pass-Through Certificates, “A4”, 5.306%, 12/10/2046		677,518		677,463
Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/2048		327,000		349,388
Credit Suisse Commercial Mortgage Trust, “A4”, FRN, 6.135%, 9/15/2039		326,681		334,758
Credit Suisse Commercial Mortgage Trust, “AM”, FRN, 5.889%, 6/15/2039		398,459		400,938
Credit Suisse Commercial Mortgage Trust, “C4”, FRN, 6.135%, 9/15/2039		378,313		388,232
Credit Suisse Mortgage Capital Certificate, 5.311%, 12/15/2039		105,739		105,575
CWCapital Cobalt Ltd., “A4”, FRN, 5.957%, 5/15/2046		523,898		535,746
CWCapital LLC, 5.223%, 8/15/2048		287,249		287,052
Dryden XXIII Senior Loan Fund, 2012- 23A, “A1R”, FRN, 1.538%, 7/17/2023 (n)		326,000		325,162
Fortress Credit BSL Ltd., 2013-1A, “A”, FRN, 1.867%, 1/19/2025 (n)		342,461		340,637
JPMorgan Chase Commercial Mortgage Securities Corp., “A3”, FRN, 6.136%, 2/15/2051		10,466		10,442
JPMorgan Chase Commercial Mortgage Securities Corp., “A4”, FRN, 5.926%, 6/15/2049		940,488		955,531
Morgan Stanley Capital I Trust, “AM”, FRN, 5.864%, 4/15/2049		431,000		412,015

			$	7,024,309
Automotive - 0.1%
Ford Motor Credit Co. LLC, 2.551%, 10/05/2018	$	241,000	$	244,942

Building - 0.0%
Martin Marietta Materials, Inc., 4.25%, 7/02/2024	$	82,000	$	86,741

Business Services - 0.8%
Cisco Systems, Inc., 2.6%, 2/28/2023	$	299,000	$	312,278
Fidelity National Information Services, Inc., 3.875%, 6/05/2024		1,000,000		1,071,033

			$	1,383,311
Cable TV - 0.9%
Charter Operating/CCO Capital Corp., 4.908%, 7/23/2025 (n)	$	242,000	$	267,028
Comcast Corp., 4.2%, 8/15/2034		96,000		107,380
Time Warner Cable, Inc., 8.25%, 4/01/2019		1,000,000		1,156,179
Time Warner Cable, Inc., 4.5%, 9/15/2042		100,000		96,758

			$	1,627,345
Computer Software - 0.1%
Microsoft Corp., 3.125%, 11/03/2025	$	124,000	$	132,411

Computer Software - Systems - 0.3%
Apple, Inc., 3.25%, 2/23/2026	$	400,000	$	427,590
Apple, Inc., 4.375%, 5/13/2045		121,000		135,733

			$	563,323

Portfolio of Investments (unaudited) – continued


Issuer	Shares/Par		Value ($)
Bonds - continued
U.S. Bonds - continued
Consumer Products - 0.2%
Newell Rubbermaid, Inc., 3.15%, 4/01/2021	$	369,000	$	385,240

Food & Beverages - 0.4%
Anheuser-Busch InBev Worldwide, Inc., 3.3%, 2/01/2023	$	167,000	$	175,370
Anheuser-Busch InBev Worldwide, Inc., 4.7%, 2/01/2036		219,000		254,140
J.M. Smucker Co., 4.25%, 3/15/2035		164,000		182,895
Kraft Heinz Foods Co., 5.2%, 7/15/2045		120,000		144,067
Tyson Foods, Inc., 5.15%, 8/15/2044		38,000		46,131

			$	802,603
Food & Drug Stores - 0.3%
CVS Health Corp., 3.5%, 7/20/2022	$	277,000	$	297,738
CVS Health Corp., 5.125%, 7/20/2045		270,000		336,662

			$	634,400
Insurance - 0.1%
American International Group, Inc., 4.7%, 7/10/2035	$	108,000	$	116,571

Insurance - Health - 0.4%
UnitedHealth Group, Inc., 4.625%, 7/15/2035	$	672,000	$	797,379

Insurance - Property & Casualty - 0.1%
Liberty Mutual Group, Inc., 4.85%, 8/01/2044 (n)	$	99,000	$	105,575

Local Authorities - 1.2%
New Jersey Turnpike Authority Rev. (Build America Bonds), “F”, 7.414%, 1/01/2040	$	32,000	$	50,992
State of California (Build America Bonds), 7.6%, 11/01/2040		925,000		1,529,349
University of California Rev. (Build America Bonds), 5.77%, 5/15/2043		450,000		617,292

			$	2,197,633
Major Banks - 0.4%
Bank of America Corp., 7.625%, 6/01/2019	$	170,000	$	195,388
Goldman Sachs Group, Inc., 3.625%, 1/22/2023		446,000		473,008
Goldman Sachs Group, Inc., 4.8%, 7/08/2044		94,000		107,169

			$	775,565
Medical & Health Technology & Services - 0.2%
Becton, Dickinson and Co., 4.685%, 12/15/2044	$	179,000	$	207,819
Laboratory Corp. of America Holdings, 4.7%, 2/01/2045		106,000		116,547

			$	324,366
Medical Equipment - 0.5%
Medtronic, Inc., 4.625%, 3/15/2045	$	237,000	$	283,858
Zimmer Holdings, Inc., 4.45%, 8/15/2045		607,000		639,551

			$	923,409
Metals & Mining - 0.2%
Freeport-McMoRan Copper & Gold, Inc., 3.875%, 3/15/2023	$	500,000	$	428,750

Midstream - 0.9%
Energy Transfer Partners LP, 5.15%, 3/15/2045	$	220,000	$	211,156
Enterprise Products Operating LLC, 3.9%, 2/15/2024		29,000		30,719
Kinder Morgan Energy Partners LP, 6.85%, 2/15/2020		1,000,000		1,124,966
Kinder Morgan Energy Partners LP, 5.4%, 9/01/2044		358,000		361,840

			$	1,728,681

Portfolio of Investments (unaudited) – continued


Issuer	Shares/Par		Value ($)
Bonds - continued
U.S. Bonds - continued
Mortgage-Backed - 49.3%
Fannie Mae, 3%, 10/01/2030	$	1,353,524	$	1,417,909
Fannie Mae, 4%, 9/01/2040 - 7/01/2043		1,539,225		1,652,535
Fannie Mae, 4.5%, 7/01/2042		127,540		139,745
Fannie Mae, 3.5%, 6/01/2045 - 9/01/2045		422,899		445,657
Fannie Mae, 6.5%, 11/01/2016 - 2/01/2037		760,601		891,527
Fannie Mae, 5.05%, 1/01/2017		473,370		473,001
Fannie Mae, 1.9%, 6/01/2017		155,620		155,953
Fannie Mae, 6%, 8/01/2017 - 7/01/2037		1,271,113		1,461,970
Fannie Mae, 5.5%, 9/01/2017 - 3/01/2038		4,287,865		4,841,520
Fannie Mae, 4.88%, 3/01/2020		122,879		130,279
Fannie Mae, 2.152%, 1/25/2023		401,000		408,812
Fannie Mae, 2.41%, 5/01/2023		130,161		134,591
Fannie Mae, 2.55%, 5/01/2023		112,058		116,789
Fannie Mae, 2.59%, 5/01/2023		70,876		74,041
Fannie Mae, 3.78%, 10/01/2023		64,506		71,478
Fannie Mae, 2.7%, 7/01/2025		200,000		209,405
Fannie Mae, 3%, 4/01/2027 - 12/01/2030		4,144,947		4,344,516
Fannie Mae, 5%, 6/01/2035 - 3/01/2042		870,685		967,175
Fannie Mae, 4.5%, 1/01/2040 - 4/01/2044		6,280,352		6,886,841
Fannie Mae, 4%, 9/01/2040 - 2/01/2045		10,081,248		10,830,313
Fannie Mae, 3.5%, 4/01/2043 - 9/01/2043		773,090		817,457
Fannie Mae, 3.5%, 7/01/2043 - 10/01/2045		1,297,557		1,368,994
Fannie Mae, TBA, 3%, 10/01/2046		2,200,000		2,278,375
Freddie Mac, 4%, 4/01/2044 - 9/01/2044		1,317,781		1,409,296
Freddie Mac, 2.699%, 5/25/2018		795,185		812,093
Freddie Mac, 2.412%, 8/25/2018		1,142,958		1,164,191
Freddie Mac, 2.303%, 9/25/2018		275,000		280,001
Freddie Mac, 2.323%, 10/25/2018		499,000		508,485
Freddie Mac, 2.13%, 1/25/2019		1,574,951		1,601,053
Freddie Mac, 5.085%, 3/25/2019		752,000		815,196
Freddie Mac, 2.456%, 8/25/2019		383,000		393,889
Freddie Mac, 4.186%, 8/25/2019		600,000		643,879
Freddie Mac, 3.808%, 8/25/2020		219,000		236,557
Freddie Mac, 3.034%, 10/25/2020		291,000		307,568
Freddie Mac, 2.856%, 1/25/2021		400,000		421,246
Freddie Mac, 6%, 5/01/2021 - 10/01/2038		665,519		771,813
Freddie Mac, 2.791%, 1/25/2022		517,000		545,710
Freddie Mac, 2.716%, 6/25/2022		399,000		420,012
Freddie Mac, 2.355%, 7/25/2022		500,000		517,466
Freddie Mac, 2.682%, 10/25/2022		189,000		199,138
Freddie Mac, 2.51%, 11/25/2022		496,000		517,591
Freddie Mac, 3.32%, 2/25/2023		433,000		472,973
Freddie Mac, 3.3%, 4/25/2023		429,471		468,962
Freddie Mac, 3.06%, 7/25/2023		181,000		195,105
Freddie Mac, 3.458%, 8/25/2023		367,000		404,843
Freddie Mac, 4.5%, 9/01/2024 - 5/01/2042		1,455,562		1,593,511
Freddie Mac, 5.5%, 10/01/2024 - 6/01/2036		939,052		1,060,359
Freddie Mac, 2.67%, 12/25/2024		827,000		870,021
Freddie Mac, 2.811%, 1/25/2025		642,000		682,030
Freddie Mac, 3.329%, 5/25/2025		678,000		746,959
Freddie Mac, 3.01%, 7/25/2025		225,000		242,251
Freddie Mac, 2.745%, 1/25/2026		629,000		664,135
Freddie Mac, 2.673%, 3/25/2026		900,000		944,361

Portfolio of Investments (unaudited) – continued


Issuer	Shares/Par		Value ($)
Bonds - continued
U.S. Bonds - continued
Mortgage-Backed - continued
Freddie Mac, 3%, 11/01/2030 - 8/01/2045	$	4,764,294	$	4,989,694
Freddie Mac, 6.5%, 5/01/2037		182,591		210,799
Freddie Mac, 5%, 4/01/2040 - 7/01/2041		2,670,200		2,950,439
Freddie Mac, 4%, 1/01/2041 - 9/01/2045		1,241,496		1,329,453
Freddie Mac, 3.5%, 5/01/2042 - 4/01/2046		8,749,544		9,239,282
Ginnie Mae, 5.5%, 7/15/2033 - 1/20/2042		1,307,058		1,497,831
Ginnie Mae, 4%, 8/15/2040 - 4/20/2041		229,865		247,220
Ginnie Mae, 4.5%, 9/20/2041		257,481		281,897
Ginnie Mae, 3.5%, 4/15/2042 - 12/20/2045		8,047,638		8,559,814
Ginnie Mae, 3%, 7/20/2043		906,840		952,633
Ginnie Mae, 5.612%, 4/20/2058		5,546		5,569
Ginnie Mae, 6.286%, 4/20/2058		24,788		26,573

			$	90,320,781
Network & Telecom - 1.1%
Verizon Communications, Inc., 5.05%, 3/15/2034	$	750,000	$	855,197
Verizon Communications, Inc., 6.55%, 9/15/2043		793,000		1,076,920

			$	1,932,117
Oils - 0.1%
Valero Energy Corp., 4.9%, 3/15/2045	$	130,000	$	127,453

Other Banks & Diversified Financials - 1.0%
Banque Federative du Credit Mutuel S.A., 2.5%, 4/13/2021 (n)	$	395,000	$	405,212
Capital One Bank (USA) N.A., 3.375%, 2/15/2023		336,000		345,435
Discover Bank, 4.25%, 3/13/2026		1,000,000		1,066,519

			$	1,817,166
Pharmaceuticals - 0.4%
Actavis Funding SCS, 4.55%, 3/15/2035	$	261,000	$	281,093
Actavis Funding SCS, 4.85%, 6/15/2044		209,000		232,967
Gilead Sciences, Inc., 4.5%, 2/01/2045		82,000		91,734
Gilead Sciences, Inc., 4.75%, 3/01/2046		80,000		93,094

			$	698,888
Real Estate - Healthcare - 0.1%
HCP, Inc., REIT, 3.875%, 8/15/2024	$	267,000	$	273,394

Real Estate - Retail - 0.1%
DDR Corp., REIT, 3.625%, 2/01/2025	$	122,000	$	123,834

Restaurants - 0.1%
McDonald’s Corp., 2.75%, 12/09/2020	$	134,000	$	139,535

Supranational - 0.1%
Inter-American Development Bank, 4.375%, 1/24/2044	$	158,000	$	211,808

Tobacco - 0.8%
Altria Group, Inc., 9.25%, 8/06/2019	$	55,000	$	67,179
Altria Group, Inc., 4%, 1/31/2024		14,000		15,711
Reynolds American, Inc., 8.125%, 6/23/2019		583,000		684,754
Reynolds American, Inc., 4%, 6/12/2022		295,000		323,292
Reynolds American, Inc., 4.45%, 6/12/2025		276,000		309,789

			$	1,400,725

Portfolio of Investments (unaudited) – continued


Issuer	Shares/Par		Value ($)
Bonds - continued
U.S. Bonds - continued
Transportation - Services - 0.0%
ERAC USA Finance LLC, 3.85%, 11/15/2024 (n)	$	34,000	$	36,706

U.S. Government Agencies and Equivalents - 1.7%
Private Export Funding Corp., 2.25%, 3/15/2020	$	86,000	$	88,788
Private Export Funding Corp., 2.3%, 9/15/2020		360,000		371,002
Private Export Funding Corp., 1.875%, 7/15/2018		460,000		467,528
Small Business Administration, 6.35%, 4/01/2021		77,244		82,908
Small Business Administration, 6.34%, 5/01/2021		61,341		65,852
Small Business Administration, 6.44%, 6/01/2021		63,237		67,631
Small Business Administration, 6.625%, 7/01/2021		70,702		76,086
Small Business Administration, 5.52%, 6/01/2024		141,673		154,873
Small Business Administration, 2.21%, 2/01/2033		242,552		244,701
Small Business Administration, 2.22%, 3/01/2033		428,810		435,071
Small Business Administration, 3.15%, 7/01/2033		354,040		373,612
Small Business Administration, 3.62%, 9/01/2033		340,904		370,480
Tennessee Valley Authority, 1.75%, 10/15/2018		292,000		296,837

			$	3,095,369
U.S. Treasury Obligations - 21.7%
U.S. Treasury Bonds, 5.25%, 2/15/2029	$	1,448,000	$	2,027,031
U.S. Treasury Bonds, 4.75%, 2/15/2037		336,000		495,994
U.S. Treasury Bonds, 4.375%, 2/15/2038		4,842,000		6,872,614
U.S. Treasury Bonds, 4.5%, 8/15/2039		5,097,100		7,355,951
U.S. Treasury Bonds, 3.125%, 2/15/2043		453,700		539,354
U.S. Treasury Bonds, 2.875%, 5/15/2043		1,697,100		1,928,330
U.S. Treasury Bonds, 2.5%, 2/15/2045		2,183,000		2,305,453
U.S. Treasury Bonds, TIPS, 0.125%, 7/15/2024		2,065,790		2,074,937
U.S. Treasury Notes, 4.75%, 8/15/2017 (f)		838,000		870,343
U.S. Treasury Notes, 2.75%, 2/15/2019		1,654,000		1,730,497
U.S. Treasury Notes, 3.125%, 5/15/2019		300,000		317,918
U.S. Treasury Notes, 1%, 6/30/2019		3,593,000		3,603,247
U.S. Treasury Notes, 2.625%, 8/15/2020		162,000		171,498
U.S. Treasury Notes, 3.125%, 5/15/2021		5,026,000		5,468,720
U.S. Treasury Notes, 1.75%, 5/15/2022		508,000		520,383
U.S. Treasury Notes, 2.5%, 8/15/2023		514,000		550,502
U.S. Treasury Notes, 2.75%, 2/15/2024		577,000		629,764
U.S. Treasury Notes, 2.5%, 5/15/2024		2,047,000		2,199,405
U.S. Treasury Notes, 2%, 8/15/2025		98,000		101,591

			$	39,763,532
Total U.S. Bonds			$	172,735,223

Foreign Bonds - 5.6%
Brazil - 0.2%
Federative Republic of Brazil, 5.625%, 1/07/2041	$	162,000	$	163,620
Vale Overseas Ltd., 6.875%, 11/10/2039		165,000		162,112

			$	325,732
Canada - 0.1%
Teck Resources Ltd., 6%, 8/15/2040	$	200,000	$	162,000

Chile - 0.6%
Engie Energia Chile S.A., 5.625%, 1/15/2021	$	566,000	$	629,521
GNL Quintero S.A., 4.634%, 7/31/2029 (n)		200,000		208,000

Portfolio of Investments (unaudited) – continued


Issuer	Shares/Par		Value ($)
Bonds - continued
Foreign Bonds - continued
Chile - continued
Transelec S.A., 4.25%, 1/14/2025	$	200,000	$	212,175

			$	1,049,696
China - 0.7%
Baidu, Inc., 3.25%, 8/06/2018	$	240,000	$	245,944
CNPC (HK) Overseas Capital Ltd., 4.5%, 4/28/2021 (n)		226,000		248,006
State Grid Overseas Investment (2014) Ltd., 4.125%, 5/07/2024 (n)		690,000		771,520

			$	1,265,470
Jordan - 0.5%
Hashemite Kingdom of Jordan, 1.945%, 6/23/2019	$	443,000	$	455,048
Hashemite Kingdom of Jordan, 2.503%, 10/30/2020		418,000		438,063

			$	893,111
Kazakhstan - 0.1%
Republic of Kazakhstan, 5.125%, 7/21/2025 (n)	$	201,000	$	225,924

Mexico - 1.6%
Banco Inbursa S.A. Institucion de Banca Multiple Grupo Financiero Inbursa, 4.125%, 6/06/2024 (n)	$	299,000	$	308,179
Comision Federal de Electricidad, 4.875%, 5/26/2021		277,000		299,575
Pemex Project Funding Master Trust, 5.75%, 3/01/2018		160,000		168,160
Petroleos Mexicanos, 5.5%, 6/27/2044		35,000		33,250
Petroleos Mexicanos, 4.875%, 1/18/2024		95,000		98,563
Petroleos Mexicanos, 5.625%, 1/23/2046		23,000		22,220
Petroleos Mexicanos, 8%, 5/03/2019		228,000		257,982
Petroleos Mexicanos, 6%, 3/05/2020		202,000		221,038
Petroleos Mexicanos, 5.5%, 1/21/2021		130,000		140,270
Petroleos Mexicanos, 4.25%, 1/15/2025		15,000		15,002
Southern Copper Corp., 5.875%, 4/23/2045		80,000		81,254
United Mexican States, 3.625%, 3/15/2022		1,164,000		1,241,115

			$	2,886,608
Netherlands - 0.5%
ING Bank N.V., 5.8%, 9/25/2023 (n)	$	769,000	$	861,232

Panama - 0.1%
Republic of Panama, 3.875%, 3/17/2028	$	213,000	$	233,768

Peru - 0.3%
El Fondo Mivivienda S.A., 3.5%, 1/31/2023	$	226,000	$	233,628
Republic of Peru, 8.75%, 11/21/2033		180,000		292,500

			$	526,128
Romania - 0.1%
Republic of Romania, 4.375%, 8/22/2023 (n)	$	36,000	$	39,736
Republic of Romania, 4.875%, 1/22/2024 (n)		58,000		66,230

			$	105,966
Russia - 0.1%
LUKOIL International Finance B.V., 4.563%, 4/24/2023	$	213,000	$	219,425

Tunisia - 0.1%
AID-Tunisia, 2.452%, 7/24/2021	$	235,000	$	244,710

Portfolio of Investments (unaudited) – continued


Issuer	Shares/Par		Value ($)
Bonds - continued
Foreign Bonds - continued
Ukraine - 0.4%
AID-Ukraine, 1.847%, 5/29/2020	$	330,000	$	335,853
AID-Ukraine, 1.844%, 5/16/2019		444,000		449,929

			$	785,782
United Kingdom - 0.2%
Imperial Tobacco Finance PLC, 3.75%, 7/21/2022 (n)	$	266,000	$	282,423
Royal Bank of Scotland Group PLC, 6%, 12/19/2023		124,000		131,242

			$	413,665
Uruguay - 0.0%
Oriental Republic of Uruguay, 4.5%, 8/14/2024	$	26,762	$	29,933
Oriental Republic of Uruguay, 4.375%, 10/27/2027		47,300		51,321

			$	81,254
Total Foreign Bonds			$	10,280,471
Total Bonds			$	183,015,694

Money Market Funds - 1.0%
MFS Institutional Money Market Portfolio, 0.38% (v)		1,833,803	$	1,833,803
Total Investments			$	184,849,497

Other Assets, Less Liabilities - (0.8)%				(1,471,202	)
Net Assets - 100.0%			$	183,378,295

(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 $4,491,570 representing 2.4% 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

Derivative Contracts at 8/31/16

Futures Contracts at 8/31/16

Description

Currency

Contracts

Value

Expiration Date

Unrealized

Appreciation

(Depreciation)

Asset Derivatives

Interest Rate Futures

U.S. Treasury Bond 30 yr (Short)

USD

$7,666,875

December - 2016

$18,633

U.S. Ultra Bond (Long)

USD

2,062,156

December - 2016

1,229

$19,862

Portfolio of Investments (unaudited) – continued

Futures Contracts at 8/31/16 - continued


Description	Currency		Contracts		Value	Expiration Date		Unrealized Appreciation (Depreciation)
Liability Derivatives
*Interest Rate Futures*
U.S. Treasury Note 10 yr (Long)		USD		45	$5,891,484		December - 2016		$(14,765	)
U.S. Treasury Note 5 yr (Long)		USD		50	6,062,500		December - 2016		(7,421	)

									$(22,186	)

At August 31, 2016, the fund had liquid securities with an aggregate value of $70,625 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.

Supplemental Information

8/31/16 (unaudited)

The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

(1) Investment Valuations

Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service. Open-end investment companies are generally valued at net asset value per share. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. 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, 2016 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		$—			$57,293,865		$—		$57,293,865
Non-U.S. Sovereign Debt		—			5,065,168		—		5,065,168
U.S. Corporate Bonds		—			19,402,852		—		19,402,852
Residential Mortgage-Backed Securities		—			90,320,782		—		90,320,782
Commercial Mortgage-Backed Securities		—			6,221,421		—		6,221,421
Asset-Backed Securities (including CDOs)		—			802,887		—		802,887
Foreign Bonds		—			3,908,719		—		3,908,719
Mutual Funds		1,833,803			—		—		1,833,803
Total Investments		$1,833,803			$183,015,694		$—		$184,849,497

Other Financial Instruments
Futures Contracts		$(2,324	)		$—		$—		$(2,324	)

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

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	$177,346,443
Gross unrealized appreciation	11,512,881
Gross unrealized depreciation	(4,009,827	)
Net unrealized appreciation (depreciation)	$7,503,054

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		6,796,142		27,240,525		(32,202,864	)		1,833,803

Underlying Affiliated Fund	Realized Gain (Loss)		Capital Gain Distributions		Dividend Income			Ending Value
MFS Institutional Money Market Portfolio		$—		$—		$3,796			1,833,803

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 17, 2016

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 17, 2016


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

Date: October 17, 2016

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