MFS HIGH YIELD MUNICIPAL TRUST N-CSRS
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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 811-4992

MFS HIGH YIELD MUNICIPAL TRUST

(Exact name of registrant as specified in charter)

111 Huntington Avenue, Boston, Massachusetts 02199

(Address of principal executive offices) (Zip code)

Susan S. Newton

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, 2015


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ITEM 1. REPORTS TO STOCKHOLDERS.


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SEMIANNUAL REPORT

May 31, 2015

 

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MFS® HIGH YIELD

MUNICIPAL TRUST

 

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CMU-SEM

 


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MFS® HIGH YIELD MUNICIPAL TRUST

New York Stock Exchange Symbol: CMU

 

Letter from the Chairman     1   
Portfolio composition     2   
Portfolio managers’ profiles     4   
Other notes     4   
Portfolio of investments     5   
Statement of assets and liabilities     38   
Statement of operations     39   
Statements of changes in net assets     40   
Statement of cash flows     41   
Financial highlights     42   
Notes to financial statements     45   
Report of independent registered public accounting firm     57   
Proxy voting policies and information     58   
Quarterly portfolio disclosure     58   
Further information     58   
Contact information    back cover   

 

NOT FDIC INSURED Ÿ MAY LOSE VALUE Ÿ NO BANK GUARANTEE


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LOGO

 

LETTER FROM THE CHAIRMAN

 

Dear Shareholders:

Global economic conditions were sluggish in early 2015. U.S. growth decelerated sharply, and a strong dollar made exports more expensive. Also contributing to

weakness were a slow, tentative eurozone economic recovery, a steady deceleration in China’s pace of growth and a struggling Japanese economy.

Other major economies and regions have struggled, leading central banks to step up their efforts to stimulate economic growth. The European Central Bank’s quantitative easing program has begun to make an impact. However, risks associated with a potential Greek debt default and potential eurozone exit have weighed on business and investor confidence.

Despite the People’s Bank of China’s targeted stimulative actions,

China’s economic growth rate has continued to decelerate to multi-decade lows, and Chinese equity markets are showing signs of strain.

In Puerto Rico, concerns about the island nation’s ability to pay its outstanding debt obligations resurfaced, which weighed on municipal bond markets.

The U.S. Federal Reserve has remained accommodative in the face of global headwinds and low inflation.

The world’s financial markets have become increasingly complex in recent years. Now, more than ever, it is important to understand companies on a global basis. At MFS®, we believe our integrated research platform, collaborative culture, active risk management process and long-term focus give us a research advantage.

As investors, we aim to add long-term value. We believe this approach will serve you well as you work with your financial advisor to reach your investment objectives.

Respectfully,

 

LOGO

Robert J. Manning

Chairman

MFS Investment Management

July 16, 2015

The opinions expressed in this letter are subject to change and may not be relied upon for investment advice. No forecasts can be guaranteed.

 

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PORTFOLIO COMPOSITION

 

Portfolio structure at value

 

 

 

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Top ten industries reflecting equivalent exposure of derivative positions (i)     
Healthcare Revenue – Hospitals     35.2%   
Healthcare Revenue – Long Term Care     17.9%   
Universities – Colleges     9.2%   
Tobacco     9.0%   
Water & Sewer Utility Revenue     8.7%   
Miscellaneous Revenue – Other     8.0%   
Universities – Secondary Schools     5.4%   
Industrial Revenue – Airlines     4.6%   
Toll Roads     4.4%   
U.S. Treasury Securities (j)     (19.3)%   

Portfolio structure reflecting equivalent exposure of derivative positions (i)(j)

 

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Composition including fixed income credit quality (a)(i)    
AAA     4.6%   
AA     22.8%   
A     35.4%   
BBB     35.4%   
BB     10.3%   
B     14.2%   
CCC     1.0%   
CC     0.4%   
C     0.4%   
Not Rated (j)     8.2%   
Cash & Other     (32.7)%   
Portfolio facts (i)  
Average Duration (d)     10.0   
Average Effective Maturity (m)     18.6 yrs.   
 

 

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Portfolio Composition – continued

 

 

(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. 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. Not Rated includes fixed income securities, including fixed income futures contracts, which have not been rated by any rating agency. The fund may not hold all of these instruments. The fund is not rated by these agencies.
(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. This calculation is based on net assets applicable to common shares as of 5/31/15.
(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.
(j) For the purpose of managing the fund’s duration, the fund holds short treasury futures with a bond equivalent exposure of (19.3)%, which reduce the fund’s interest rate exposure but not its credit exposure.
(m) In determining an 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. This calculation is based on gross assets, which consists of net assets applicable to common shares plus the value of preferred shares, as of 5/31/15.

From time to time Cash & Other may be negative due to the aggregate liquidation value of auction rate preferred shares and variable rate municipal term preferred shares, timing of cash receipts, and/or equivalent exposure from any derivative holdings.

Where the fund holds convertible bonds, these are treated as part of the equity portion of the portfolio.

Cash & Other can include cash, other assets less liabilities, offsets to derivative positions, and short-term securities. Please see the Statement of Assets and Liabilities for additional information related to the fund’s cash position and the Notes to Financial Statements for additional information related to certain risks associated with assets included in “Other”.

Percentages are based on net assets applicable to common shares as of 5/31/15.

The portfolio is actively managed and current holdings may be different.

 

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PORTFOLIO MANAGERS’ PROFILES

 

Portfolio Manager   Primary Role   Since   Title and Five Year History
Gary Lasman   Portfolio
Manager
  2007   Investment Officer of MFS; employed in the investment management area of MFS since 2002.
Geoffrey Schechter   Portfolio
Manager
  2007   Investment Officer of MFS; employed in the investment management area of MFS since 1993.

OTHER NOTES

The fund’s shares may trade at a discount or premium to net asset value. When fund shares trade at a premium, buyers pay more than the net asset value underlying fund shares, and shares purchased at a premium would receive less than the amount paid for them in the event of the fund’s liquidation.

The fund’s monthly distributions may include a return of capital to shareholders to the extent that distributions are in excess of the fund’s net investment income and net capital gains, determined in accordance with federal income tax regulations. Distributions that are treated for federal income tax purposes as a return of capital will reduce each shareholder’s basis in his or her shares and, to the extent the return of capital exceeds such basis, will be treated as gain to the shareholder from a sale of shares. Returns of shareholder capital have the effect of reducing the fund’s assets and increasing the fund’s expense ratio.

 

In accordance with Section 23(c) of the Investment Company Act of 1940, the fund hereby gives notice that it may from time to time repurchase common and/or preferred shares of the fund in the open market at the option of the Board of Trustees and on such terms as the Trustees shall determine.

 

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PORTFOLIO OF INVESTMENTS

5/31/15 (unaudited)

The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by jurisdiction.

 

Municipal Bonds - 149.8%                 
Issuer    Shares/Par     Value ($)  
Alabama - 1.9%                 
Alabama Incentives Financing Authority Special Obligation, “A”, 5%, 9/01/37    $ 65,000      $ 71,634   
Birmingham, AL, Waterworks Board Water Rev., “A”, 5.125%, 1/01/34 (Prerefunded 1/01/19)      220,000        249,909   
Birmingham, AL, Waterworks Board Water Rev., “A”, ASSD GTY, 5.125%, 1/01/34      375,000        414,698   
Cullman County, AL, Health Care Authority (Cullman Regional Medical Center), “A”, 6.75%, 2/01/29      60,000        65,188   
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, 0%, 10/01/25      10,000        6,211   
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/26      105,000        61,935   
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/29      150,000        72,651   
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/34      210,000        70,682   
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/35      400,000        126,136   
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/15      20,000        20,266   
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/16      50,000        52,447   
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/17      65,000        69,912   
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/18      70,000        76,772   
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/21      75,000        83,597   
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/23      115,000        128,400   
Montgomery, AL, Medical Clinic Board Health Care Facility Rev. (Jackson Hospital & Clinic), 5.25%, 3/01/36      825,000        833,836   
Pell City, AL, Special Care Facilities, Financing Authority Rev. (Noland Health Services, Inc.), 5%, 12/01/39      175,000        190,155   
    

 

 

 
      $ 2,594,429   
Arizona - 2.4%                 
Phoenix, AZ, Industrial Development Authority Education Rev. (Basis Schools, Inc. Projects), “A”, 5%, 7/01/35    $ 100,000      $ 101,420   

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Arizona - continued                 
Phoenix, AZ, Industrial Development Authority Education Rev. (Basis Schools, Inc. Projects), “A”, 5%, 7/01/45    $ 165,000      $ 164,738   
Phoenix, AZ, Industrial Development Authority Education Rev. (Choice Academies, Inc. Project), 5.625%, 9/01/42      135,000        142,083   
Phoenix, AZ, Industrial Development Authority Education Rev. (Eagle College Prep Project), 5%, 7/01/33      65,000        64,386   
Phoenix, AZ, Industrial Development Authority Education Rev. (Eagle College Prep Project), 5%, 7/01/43      125,000        120,608   
Phoenix, AZ, Industrial Development Authority Education Rev. (Great Hearts Academies Project), “A”, 5%, 7/01/34      350,000        366,916   
Phoenix, AZ, Industrial Development Authority Education Rev. (Great Hearts Academies Project), “A”, 5%, 7/01/44      220,000        226,138   
Phoenix, AZ, Industrial Development Authority Education Rev. (Legacy Traditional School Projects), 5%, 7/01/35      155,000        154,603   
Phoenix, AZ, Industrial Development Authority Education Rev. (Legacy Traditional School Projects), 5%, 7/01/45      170,000        167,134   
Phoenix, AZ, Industrial Development Authority Education Rev. (Legacy Traditional Schools Project), 6.5%, 7/01/34      115,000        129,528   
Phoenix, AZ, Industrial Development Authority Education Rev. (Legacy Traditional Schools Project), 6.75%, 7/01/44      180,000        205,101   
Phoenix, AZ, Industrial Development Authority Rev. (Guam Facilities Foundation, Inc.), 5.125%, 2/01/34      345,000        340,487   
Phoenix, AZ, Industrial Development Authority Rev. (Guam Facilities Foundation, Inc.), 5.375%, 2/01/41      260,000        260,159   
Surprise, AZ, Municipal Property Corp., 4.9%, 4/01/32      700,000        712,019   
Tempe, AZ, Industrial Development Authority Rev. (Friendship Village), “A”, 6.25%, 12/01/42      90,000        97,637   
Tempe, AZ, Industrial Development Authority Rev. (Friendship Village), “A”, 6.25%, 12/01/46      70,000        75,808   
    

 

 

 
      $ 3,328,765   
Arkansas - 0.7%                 
Arkansas Development Finance Authority Hospital Rev. (Washington Regional Medical Center), “A”, 5%, 2/01/35    $ 30,000      $ 32,535   
Arkansas Development Finance Authority Hospital Rev. (Washington Regional Medical Center), “C”, 5%, 2/01/33      50,000        54,436   
Arkansas Development Finance Authority Hospital Rev. (Washington Regional Medical Center), “C”, 5%, 2/01/35      40,000        43,380   
Arkansas Development Finance Authority, Tobacco Settlement Rev. (Cancer Research Center Project), Capital Appreciation, AMBAC, 0%, 7/01/46      485,000        108,863   
Pulaski County, AR, Public Facilities Board Healthcare Rev. (Baptist Health), 5%, 12/01/39      505,000        545,435   

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Arkansas - continued                 
Pulaski County, AR, Public Facilities Board Healthcare Rev. (Baptist Health), 5%, 12/01/42    $ 125,000      $ 134,496   
    

 

 

 
      $ 919,145   
California - 14.0%                 
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 8/01/29    $ 2,195,000      $ 1,388,030   
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 8/01/31      275,000        158,158   
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 8/01/32      280,000        153,790   
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 8/01/33      560,000        294,918   
California Department of Water Resources, Center Valley Project Rev., “AJ”, 5%, 12/01/35      1,010,000        1,145,815   
California Educational Facilities Authority Rev., 5%, 2/01/26      235,000        243,888   
California Educational Facilities Authority Rev. (Chapman University), 5%, 4/01/31      145,000        160,831   
California Educational Facilities Authority Rev. (University of Southern California), “A”, 5.25%, 10/01/38      1,270,000        1,420,216   
California Health Facilities Financing Authority Rev. (St. Joseph Health System), “A”, 5.75%, 7/01/39      185,000        212,339   
California Health Facilities Financing Authority Rev. (Sutter Health), “B”, 5.875%, 8/15/31      660,000        781,057   
California Housing Finance Agency Rev. (Home Mortgage), “G”, 4.95%, 8/01/23      1,340,000        1,382,384   
California Housing Finance Agency Rev. (Home Mortgage), “G”, 5.5%, 8/01/42      90,000        92,800   
California M-S-R Energy Authority Gas Rev., “A”, 7%, 11/01/34      155,000        209,225   
California M-S-R Energy Authority Gas Rev., “A”, 6.5%, 11/01/39      335,000        439,641   
California Municipal Finance Authority Rev. (Biola University), 5.8%, 10/01/28      100,000        109,485   
California Municipal Finance Authority Rev. (Northbay Healthcare Group), 5%, 11/01/35      35,000        37,300   
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Republic Services, Inc.), “B”, 5.25%, 6/01/23 (Put Date 12/01/17)      135,000        145,430   
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Waste Management, Inc.), “C”, 5.125%, 11/01/23      655,000        673,969   
California Pollution Control Financing Authority, Water Furnishing Rev. (Poseidon Resources Desalination Project), 5%, 11/21/45      470,000        491,658   
California Pollution Control Financing Authority, Water Furnishing Rev. (San Diego County Water Desalination Project Pipeline), 5%, 11/21/45      275,000        284,438   

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
California - continued                 
California Public Works Board Lease Rev., Department of Corrections and Rehabilitation (Various Correctional Facilities), “A”, 5%, 9/01/33    $ 1,025,000      $ 1,167,342   
California School Finance Authority, School Facility Rev. (Alliance for College-Ready Public Schools Projects), “A”, 5%, 7/01/30      35,000        37,730   
California School Finance Authority, School Facility Rev. (Alliance for College-Ready Public Schools Projects), “A”, 5%, 7/01/45      100,000        105,593   
California School Finance Authority, School Facility Rev. (ICEF View Park Elementary and Middle Schools), “A”, 5.875%, 10/01/44      115,000        118,234   
California Statewide Communities Development Authority Environmental Facilities Rev. (Microgy Holdings Project), 9%, 12/01/38 (a)(d)      50,491        1   
California Statewide Communities Development Authority Rev. (899 Charleston Project), “A”, 5.25%, 11/01/44      40,000        40,607   
California Statewide Communities Development Authority Rev. (899 Charleston Project), “A”, 5.375%, 11/01/49      55,000        55,678   
California Statewide Communities Development Authority Rev. (American Baptist Homes of the West), 6.25%, 10/01/39      215,000        238,596   
California Statewide Communities Development Authority Rev. (California Baptist University), “A”, 6.125%, 11/01/33      100,000        112,777   
California Statewide Communities Development Authority Rev. (Catholic Healthcare West), “K”, ASSD GTY, 5.5%, 7/01/41      625,000        667,663   
California Statewide Communities Development Authority Rev. (Lancer Educational Student Housing Project), 5.625%, 6/01/33      735,000        755,242   
California Statewide Communities Development Authority Rev. (Lancer Plaza Project), 5.625%, 11/01/33      110,000        117,321   
California Statewide Communities Development Authority Rev. (Los Angeles Jewish Home for The Aging - Fountainview at Gonda), “D”, 4.75%, 8/01/20      125,000        125,473   
Chula Vista, CA, Industrial Development Rev. (San Diego Gas & Electric Co.), “E”, 5.875%, 1/01/34      245,000        286,113   
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., “A-1”, 5.75%, 6/01/47      300,000        255,702   
Jurupa, CA, Public Financing Authority, Special Tax Rev., “A”, 5%, 9/01/42      170,000        183,442   
La Verne, CA, COP (Brethren Hillcrest Homes), 5%, 5/15/36      50,000        52,612   
Long Beach, CA, Marina Rev. (Alamitos Bay Marina Project), 5%, 5/15/35      30,000        32,291   
Los Angeles County, CA, Regional Financing Authority Rev. (Montecedro Inc. Project), “A”, CALHF, 5%, 11/15/44      65,000        70,376   
Los Angeles County, CA, Regional Financing Authority Rev. (Montecedro Inc. Project), “A”, CALHF, 5%, 11/15/34      35,000        38,348   
Los Angeles County, CA, Regional Financing Authority Rev. (Montecedro Inc. Project), “B-2”, CALHF, 3%, 11/15/20      35,000        35,353   

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
California - continued                 
Los Angeles County, CA, Regional Financing Authority Rev. (Montecedro Inc. Project), “B-3”, CALHF, 2.5%, 11/15/20    $ 85,000      $ 85,615   
Los Angeles, CA, Department of Water & Power Rev. (Power System), “B”, 5%, 7/01/38      355,000        395,708   
Los Angeles, CA, Unified School District, “D”, 5%, 1/01/34      165,000        185,826   
Palomar Pomerado Health Care District, CA, COP, 6.75%, 11/01/39      890,000        978,804   
Sacramento, CA, Municipal Utility District, “X”, 5%, 8/15/28      365,000        429,244   
San Francisco, CA, City & County Redevelopment Successor Agency, Tax Allocation (Mission Bay South Public Improvements), “A”, 5%, 8/01/43      25,000        27,122   
State of California, 5.25%, 10/01/28      335,000        389,324   
State of California, 5.25%, 9/01/30      790,000        910,609   
West Contra Costa, CA, Healthcare District, AMBAC, 5.5%, 7/01/29      105,000        105,247   
Whittier, CA, Health Facility Rev. (PIH Health), 5%, 6/01/44      335,000        365,951   
Yorba Linda, CA, Redevelopment Agency, Tax Allocation Rev., Capital Appreciation, “A”, NATL, 0%, 9/01/24      1,325,000        859,872   
    

 

 

 
             $ 19,055,188   
Colorado - 4.8%                 
Colorado Educational & Cultural Facilities Authority Rev. (Peak to Peak Charter School Project), 5%, 8/15/30    $ 40,000      $ 43,796   
Colorado Educational & Cultural Facilities Authority Rev. (Peak to Peak Charter School Project), 5%, 8/15/34      35,000        38,322   
Colorado Educational & Cultural Facilities Authority Rev. (The Classical Academy Project), 5%, 12/01/31      65,000        72,270   
Colorado Educational & Cultural Facilities Authority Rev. (The Classical Academy Project), 4%, 12/01/39      160,000        153,664   
Colorado Educational & Cultural Facilities Authority Rev. (The Classical Academy Project), “A”, 5%, 12/01/38      75,000        81,252   
Colorado Health Care Facilities Rev. (American Baptist Homes), 8%, 8/01/43      375,000        443,479   
Colorado Health Facilities Authority Rev. (Christian Living Communities Project), “A”, 5.75%, 1/01/37      475,000        483,218   
Colorado Health Facilities Authority Rev. (Covenant Retirement Communities, Inc. Project), “A”, 5%, 12/01/35      150,000        158,340   
Colorado Health Facilities Authority Rev. (Covenant Retirement Communities, Inc.), 5%, 12/01/35      1,100,000        1,126,037   
Colorado Health Facilities Authority Rev. (Evangelical Lutheran Good Samaritan Society), 5.625%, 6/01/43      100,000        110,390   
Colorado Housing & Finance Authority, “A”, 5.5%, 11/01/29      110,000        113,685   
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 1/15/34      630,000        716,776   
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 1/15/41      300,000        340,713   

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Colorado - continued                 
Denver, CO, City & County Airport Rev. (United Airlines), 5.75%, 10/01/32    $ 475,000      $ 503,776   
Denver, CO, Health & Hospital Authority Rev., “A”, 5.25%, 12/01/45      100,000        107,297   
E-470 Public Highway Authority, CO, Capital Appreciation, “B”, NATL, 0%, 9/01/18      1,500,000        1,398,210   
Public Authority for Colorado Energy Natural Gas Purchase Rev., 6.5%, 11/15/38      25,000        33,165   
Salida, CO, Hospital District Rev., 5.25%, 10/01/36      689,000        693,196   
    

 

 

 
             $ 6,617,586   
Connecticut - 0.3%                 
Mohegan Tribal Finance Authority Economic Development Bonds, 7%, 2/01/45    $ 395,000      $ 382,502   
Delaware - 0.7%                 
Delaware Economic Development Authority Rev. (Delaware Military Academy, Inc. Project), 4.625%, 9/01/34    $ 85,000      $ 87,413   
Delaware Economic Development Authority Rev. (Delaware Military Academy, Inc. Project), 5%, 9/01/44      95,000        99,362   
Delaware Economic Development Authority Rev. (Delaware Military Academy, Inc. Project), 5%, 9/01/49      110,000        114,203   
Wilmington, DE, Multi-Family Housing Rev. (Electra Arms Senior Associates), 6.25%, 6/01/28      665,000        665,253   
    

 

 

 
             $ 966,231   
District of Columbia - 1.9%                 
District of Columbia Housing Finance Agency (Henson Ridge), “E”, FHA, 5.1%, 6/01/37    $ 655,000      $ 665,591   
District of Columbia Rev. (Kipp, D.C. Charter School), “A”, 6%, 7/01/43      110,000        127,377   
District of Columbia Rev. (Kipp, D.C. Charter School), “A”, 6%, 7/01/33      45,000        52,554   
District of Columbia Rev. (Methodist Home of the District of Columbia Issue), 4.5%, 1/01/25      70,000        70,106   
District of Columbia Rev. (Methodist Home of the District of Columbia Issue), “A”, 5.125%, 1/01/35      65,000        64,505   
District of Columbia Rev. (Methodist Home of the District of Columbia Issue), “A”, 5.25%, 1/01/39      40,000        39,805   
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 10/01/30      130,000        135,585   
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 10/01/35      670,000        688,593   
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 10/01/45      775,000        789,725   
    

 

 

 
             $ 2,633,841   

 

10


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Florida - 8.9%                 
Alachua County, FL, Health Facilities Authority Rev. (East Ridge Retirement Village, Inc.), 6%, 11/15/34    $ 65,000      $ 71,133   
Alachua County, FL, Health Facilities Authority Rev. (East Ridge Retirement Village, Inc.), 6.25%, 11/15/44      170,000        187,342   
Alachua County, FL, Health Facilities Authority Rev. (East Ridge Retirement Village, Inc.), 6.375%, 11/15/49      115,000        127,674   
Bellalago, FL, Educational Facilities Benefit District (Osceola County) Capital Improvement Refunding Rev., 4.375%, 5/01/30      85,000        87,338   
Bellalago, FL, Educational Facilities Benefit District (Osceola County) Capital Improvement Refunding Rev., 4.5%, 5/01/33      40,000        41,214   
Bellalago, FL, Educational Facilities Benefit District (Osceola County) Capital Improvement Refunding Rev., 4.6%, 5/01/34      60,000        62,357   
Brevard County, FL, Industrial Development Rev. (TUFF Florida Tech LLC Project), 6.75%, 11/01/39      540,000        597,780   
Capital Region Community Development District, FL, Capital Improvement Rev., “A”, 7%, 5/01/39      210,000        212,766   
Capital Trust Agency, FL, Charter School Rev. (River City Educational Services, Inc. Project) “A”, 5.375%, 2/01/35      90,000        90,060   
Capital Trust Agency, FL, Charter School Rev. (River City Educational Services, Inc. Project) “A”, 5.625%, 2/01/45      180,000        180,317   
Capital Trust Agency, FL, Housing Rev. (Atlantic Housing Foundation), “B”, 7%, 7/15/32 (d)(q)      600,000        239,982   
Collier County, FL, Educational Facilities Authority Rev. (Ave Maria University, Inc. Project), “A”, 6.125%, 6/01/43      335,000        370,306   
Collier County, FL, Industrial Development Authority Continuing Care Community Rev. (The Arlington of Naples Project), “A”, 8.125%, 5/15/44      485,000        574,866   
Daytona Beach, FL, Halifax Hospital Medical Center Rev., 5%, 6/01/35      135,000        145,695   
Daytona Beach, FL, Halifax Hospital Medical Center Rev., 5%, 6/01/46      185,000        198,222   
Florida Citizens Property Insurance Corp., “A-1”, 5%, 6/01/19      65,000        73,003   
Florida Citizens Property Insurance Corp., “A-1”, 5%, 6/01/20      305,000        347,612   
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 6%, 6/15/32      115,000        117,175   
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 6.125%, 6/15/43      240,000        244,174   
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 8.5%, 6/15/44      445,000        517,931   
Florida State University Board of Governors, System Improvement Rev., 6.25%, 7/01/30      1,000,000        1,149,930   
Heritage Harbour North Community Development District, FL, Capital Improvement Rev., 6.375%, 5/01/38      305,000        321,287   

 

11


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Florida - continued                 
Homestead, Community Development District, FL, Special Assessment, “A”, 6%, 5/01/37    $ 365,000      $ 359,602   
Lakeland, FL, Hospital Rev. (Lakeland Regional Health Systems), 5%, 11/15/33      170,000        185,235   
Lakeland, FL, Hospital Rev. (Lakeland Regional Health Systems), 5%, 11/15/34      150,000        161,963   
Lakeland, FL, Hospital Rev. (Lakeland Regional Health Systems), 5%, 11/15/35      205,000        220,510   
Lakewood Ranch Stewardship District, FL, Special Assessment Rev. (Lakewood Centre North Project), 4.875%, 5/01/35      100,000        98,011   
Lakewood Ranch Stewardship District, FL, Special Assessment Rev. (Lakewood Centre North Project), 4.875%, 5/01/45      155,000        148,958   
Main Street Community Development District, FL, “A”, 6.8%, 5/01/38      280,000        282,495   
Marshall Creek, FL, Community Development District Rev. (St. John’s County), “A”, 5%, 5/01/32      80,000        80,996   
Miami-Dade County, FL, Industrial Development Authority Rev. (Pinecrest Academy Project), 5.25%, 9/15/44      195,000        203,286   
Mid-Bay Bridge Authority, FL, Springing Lien Rev., “A”, 7.25%, 10/01/40 (Prerefunded 10/01/21)      445,000        581,259   
Midtown Miami, FL, Community Development District Special Assessment (Infrastructure Project), “B”, 5%, 5/01/29      175,000        185,386   
Palm Beach County, FL, Health Facilities Rev. (Sinai Residences of Boca Raton Project), 7.5%, 6/01/49      115,000        132,631   
Pasco County, FL, Estancia At Wiregrass Community Development District, Capital Improvement, 5.375%, 11/01/46      100,000        99,995   
Pasco County, FL, Estancia At Wiregrass Community Development District, Capital Improvement, 7%, 11/01/45      105,000        121,754   
Pompano Beach, FL (John Knox Village Project), 5%, 9/01/39      45,000        48,091   
Pompano Beach, FL (John Knox Village Project), 5%, 9/01/44      190,000        202,145   
Seminole Tribe, FL, Special Obligation Rev., “A”, 5.25%, 10/01/27 (n)      280,000        295,870   
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6%, 4/01/29      85,000        93,658   
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6.25%, 4/01/39      125,000        137,950   
St. John’s County, FL, Industrial Development Authority Rev. (Presbyterian Retirement), “A”, 6%, 8/01/45      610,000        678,796   
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5%, 7/01/26      20,000        22,201   
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5%, 7/01/29      20,000        21,744   
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5.125%, 7/01/34      40,000        43,273   
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5.25%, 7/01/44      125,000        134,564   

 

12


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Florida - continued                 
Tallahassee, FL, Health Facilities Rev. (Tallahassee Memorial Healthcare, Inc.), “A”, 5%, 12/01/40    $ 335,000      $ 356,993   
Tallahassee, FL, Health Facilities Rev. (Tallahassee Memorial Healthcare, Inc.), “A”, 5%, 12/01/44      130,000        137,879   
Tampa, FL (University of Tampa Project), 5%, 4/01/40      160,000        172,901   
Trout Creek Community Development District, FL, Capital Improvement Rev., 5.625%, 5/01/45      310,000        301,890   
Trout Creek Community Development District, FL, Capital Improvement Rev. , 5.5%, 5/01/35      170,000        166,767   
Tuscany Reserve Community Development District, FL, Special Assessment, “B”, 5.25%, 5/01/16      125,000        126,544   
Westridge, FL, Community Development District, Capital Improvement Rev., 5.8%, 5/01/37 (a)(d)      960,000        361,709   
    

 

 

 
             $ 12,123,220   
Georgia - 2.7%                 
Americus and Sumter County, GA, Hospital Authority Rev. (Magnolia Manor Obligated Group), “A”, 6.25%, 5/15/33    $ 95,000      $ 104,353   
Americus and Sumter County, GA, Hospital Authority Rev. (Magnolia Manor Obligated Group), “A”, 6.375%, 5/15/43      95,000        103,914   
Atlanta, GA, Tax Allocation (Eastside Project), “B”, 5.4%, 1/01/20      500,000        501,960   
Atlanta, GA, Water & Wastewater Rev., “A”, 6%, 11/01/22      370,000        442,957   
Clayton County, GA, Development Authority Special Facilities Rev. (Delta Airlines, Inc.), “A”, 8.75%, 6/01/29      200,000        248,400   
Cobb County, GA, Development Authority Student Housing Rev. (Kennesaw State University Real Estate Foundations), “C”, 5%, 7/15/30      45,000        48,366   
Cobb County, GA, Development Authority Student Housing Rev. (Kennesaw State University Real Estate Foundations), “C”, 5%, 7/15/33      80,000        85,710   
Cobb County, GA, Development Authority Student Housing Rev. (Kennesaw State University Real Estate Foundations), “C”, 5%, 7/15/38      90,000        95,352   
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 10/01/31      15,000        17,330   
Georgia Main Street Natural Gas, Inc., Gas Project Rev., “A”, 5%, 3/15/22      660,000        756,274   
Georgia Main Street Natural Gas, Inc., Gas Project Rev., “A”, 5.5%, 9/15/28      335,000        388,660   
Glynn-Brunswick, GA, Memorial Hospital Authority Rev., 5.625%, 8/01/34 (Prerefunded 8/01/18)      150,000        170,336   
Glynn-Brunswick, GA, Memorial Hospital Authority Rev., Unrefunded Balance, 5.625%, 8/01/34      20,000        21,965   
Marietta, GA, Development Facilities Authority Rev. (Life University), 7%, 6/15/39      265,000        279,223   

 

13


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Georgia - continued                 
Savannah, GA, Economic Development Authority Rev. (AASU Student Union LLC), ASSD GTY, 5.125%, 6/15/39    $ 335,000      $ 366,091   
    

 

 

 
             $ 3,630,891   
Guam - 0.4%                 
Guam Government Department of Education (John F. Kennedy High School), “A”, COP, 6.875%, 12/01/40    $ 295,000      $ 328,831   
Guam Government, “A”, 7%, 11/15/39      90,000        107,537   
Guam International Airport Authority Rev., “C”, 5%, 10/01/16      25,000        26,203   
Guam International Airport Authority Rev., “C”, 5%, 10/01/17      45,000        48,552   
    

 

 

 
             $ 511,123   
Hawaii - 0.6%                 
Hawaii Department of Budget & Finance, Special Purpose Rev. (15 Craigside Project), “A”, 9%, 11/15/44    $ 140,000      $ 177,698   
Hawaii Department of Budget & Finance, Special Purpose Rev. (Hawaiian Electric Co. & Subsidiary), 6.5%, 7/01/39      390,000        447,974   
State of Hawaii, “DZ”, 5%, 12/01/31      200,000        228,696   
    

 

 

 
             $ 854,368   
Idaho - 2.8%                 
Idaho Health Facilities Authority Rev. (IHC Hospitals, Inc.), ETM, 6.65%, 2/15/21    $ 2,750,000      $ 3,501,603   
Idaho Health Facilities Authority Rev. (The Terraces of Boise Project), “B2”, 6%, 10/01/21      210,000        211,021   
Idaho Health Facilities Authority Rev. (The Terraces of Boise Project), “B3”, 5.25%, 10/01/20      110,000        110,484   
    

 

 

 
             $ 3,823,108   
Illinois - 9.4%                 
Annawan, IL, Tax Increment Rev. (Patriot Renewable Fuels LLC), 5.625%, 1/01/18    $ 155,000      $ 154,495   
Bolingbrook, IL, Sales Tax Rev., 6.25%, 1/01/24      500,000        497,870   
Chicago, IL, “A”, AGM, 5%, 1/01/22      45,000        45,170   
Chicago, IL, “A”, AGM, 5%, 1/01/25      40,000        40,342   
Chicago, IL, “A”, AGM, 4.75%, 1/01/30      55,000        55,083   
Chicago, IL, “A”, AGM, 5%, 1/01/27      20,000        20,224   
Chicago, IL, “A”, AGM, 5%, 1/01/34      190,000        189,991   
Chicago, IL, Board of Education, AGM, 5%, 12/01/35      375,000        376,995   
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.25%, 1/01/32      80,000        89,994   
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.25%, 1/01/33      40,000        44,997   
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.5%, 1/01/43      155,000        173,309   

 

14


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Illinois - continued                 
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 12/01/29    $ 165,000      $ 177,396   
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 12/01/30      330,000        352,839   
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 12/01/31      60,000        63,870   
Du Page County, IL, Special Service Area No. 31 Special Tax (Monarch Landing Project), 5.625%, 3/01/36      250,000        251,273   
Illinois Finance Authority Rev. (Evangelical Retirement Homes of Greater Chicago, Inc.), 7.25%, 2/15/45      850,000        911,625   
Illinois Finance Authority Rev. (Franciscan Communities, Inc.), “A”, 4.75%, 5/15/33      200,000        202,642   
Illinois Finance Authority Rev. (Franciscan Communities, Inc.), “A”, 5.125%, 5/15/43      215,000        218,294   
Illinois Finance Authority Rev. (Lutheran Home & Services), 5.5%, 5/15/27      30,000        32,183   
Illinois Finance Authority Rev. (Lutheran Home & Services), 5.625%, 5/15/42      185,000        194,468   
Illinois Finance Authority Rev. (Provena Health), “A”, 7.75%, 8/15/34      485,000        591,142   
Illinois Finance Authority Rev. (Rehabilitation Institute of Chicago), “A”, 6%, 7/01/43      200,000        234,798   
Illinois Finance Authority Rev. (Roosevelt University Project), 6.25%, 4/01/29      670,000        722,541   
Illinois Finance Authority Rev. (Silver Cross Hospital & Medical Centers), 6.875%, 8/15/38 (Prerefunded 8/15/19)      485,000        592,437   
Illinois Finance Authority Rev. (Silver Cross Hospital & Medical Centers), “C”, 5%, 8/15/35      420,000        449,803   
Illinois Finance Authority Rev. (Smith Village), “A”, 6.25%, 11/15/35      1,000,000        1,005,770   
Illinois Finance Authority Student Housing Rev. (Illinois State University), 6.75%, 4/01/31      240,000        275,530   
Illinois Finance Authority Student Housing Rev. (Northern Illinois University Project), 6.625%, 10/01/31      615,000        708,652   
Illinois Railsplitter Tobacco Settlement Authority, 6%, 6/01/28      1,365,000        1,611,451   
Lincolnshire, IL, Special Service Area No. 1 (Sedgebrook Project), 6.25%, 3/01/34      197,000        200,302   
Romeoville, IL, Rev. (Lewis University Project), “A”, 5%, 10/01/42      130,000        137,766   
University of Illinois Rev. (Auxiliary Facilities Systems), “A”, 5.125%, 4/01/29      1,880,000        2,146,133   
    

 

 

 
             $ 12,769,385   
Indiana - 5.3%                 
Indiana Bond Bank Special Program, Gas Rev., “A”, 5.25%, 10/15/18    $ 230,000      $ 255,088   
Indiana Finance Authority Rev. (BHI Senior Living), “A”, 6%, 11/15/41      275,000        305,594   

 

15


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Indiana - continued                 
Indiana Finance Authority Rev. (I-69 Section 5 Project), 5.25%, 9/01/34    $ 205,000      $ 225,145   
Indiana Finance Authority Rev. (I-69 Section 5 Project), 5.25%, 9/01/40      305,000        328,360   
Indiana Finance Authority Rev. (Marquette Project), “A”, 5%, 3/01/30      40,000        42,537   
Indiana Finance Authority Rev. (Marquette Project), “A”, 5%, 3/01/39      100,000        103,746   
Indiana Finance Authority Rev. (Ohio River Bridges East End Crossing Project), “A”, 5%, 7/01/35      180,000        192,393   
Indiana Finance Authority Rev. (Ohio River Bridges East End Crossing Project), “A”, 5%, 7/01/40      460,000        483,713   
Indiana Finance Authority Rev. (Ohio River Bridges East End Crossing Project), “A”, 5%, 7/01/44      125,000        130,920   
Indiana Finance Authority Rev. (Ohio River Bridges East End Crossing Project), “A”, 5%, 7/01/48      85,000        88,966   
Indiana Finance Authority Rev. (Ohio River Bridges East End Crossing Project), “B”, 5%, 1/01/19      155,000        164,178   
Indiana Health & Educational Facilities Finance Authority Rev. (Sisters of St. Francis Health Services, Inc.), “E”, AGM, 5.25%, 5/15/41      660,000        702,761   
Indiana Health & Educational Facilities Finance Authority, Hospital Rev. (Clarian Health), “A”, 5%, 2/15/39      1,745,000        1,802,288   
Indiana Health & Educational Facility Authority, Hospital Rev. (Community Foundation), 5.5%, 3/01/37 (Prerefunded 3/01/17)      490,000        530,729   
Indiana Health & Educational Facility Authority, Hospital Rev. (Community Foundation), 5.5%, 3/01/37      455,000        478,687   
University of Southern Indiana Rev. (Student Fee), “J”, ASSD GTY, 5.75%, 10/01/28      300,000        348,261   
Valparaiso, IN, Exempt Facilities Rev. (Pratt Paper LLC Project), 6.75%, 1/01/34      260,000        314,410   
Valparaiso, IN, Exempt Facilities Rev. (Pratt Paper LLC Project), 7%, 1/01/44      605,000        736,055   
    

 

 

 
             $ 7,233,831   
Iowa - 0.8%                 
Iowa Finance Authority Midwestern Disaster Area Rev. (Iowa Fertilizer Co.), 5%, 12/01/19    $ 205,000      $ 220,590   
Iowa Finance Authority Midwestern Disaster Area Rev. (Iowa Fertilizer Co.), 5.5%, 12/01/22      215,000        228,969   
Iowa Student Loan Liquidity Corp., “A-2”, 5.5%, 12/01/25      135,000        145,692   
Iowa Student Loan Liquidity Corp., “A-2”, 5.6%, 12/01/26      135,000        145,731   
Iowa Student Loan Liquidity Corp., “A-2”, 5.7%, 12/01/27      20,000        21,466   
Iowa Student Loan Liquidity Corp., “A-2”, 5.75%, 12/01/28      260,000        278,951   
    

 

 

 
             $ 1,041,399   

 

16


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Kansas - 0.6%                 
Atchison, KS, Hospital Rev. (Atchison Hospital Assn.), “A”, 6.75%, 9/01/30    $ 320,000      $ 341,411   
Wichita, KS, Health Care Facilities Rev. (Presbyterian Manors, Inc.), “A”, 6.375%, 5/15/43      170,000        184,902   
Wichita, KS, Health Care Facilities Rev. (Presbyterian Manors, Inc.), “IV-B2”, 3.375%, 11/15/20      35,000        35,006   
Wyandotte County/Kansas City, KS, Unified Government Utility System Improvement Rev., “A”, 5%, 9/01/44      200,000        220,208   
    

 

 

 
             $ 781,527   
Kentucky - 3.2%                 
Kentucky Counties Single Family Mortgage Rev., “A”, NATL, 9%, 9/01/16    $ 5,000      $ 5,024   
Kentucky Economic Development Finance Authority Health Care Rev. (Masonic Homes of Kentucky, Inc.), 5.375%, 11/15/42      130,000        133,267   
Kentucky Economic Development Finance Authority Health Care Rev. (Masonic Homes of Kentucky, Inc.), 5.5%, 11/15/45      80,000        82,514   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), “A”, 5.375%, 8/15/24      300,000        329,343   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), “A”, 5.625%, 8/15/27      100,000        110,690   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Owensboro Medical Health System), “A”, 6.375%, 6/01/40      570,000        646,443   
Louisville & Jefferson County, KY, Metro Government Health Facilities Rev. (Jewish Hospital & St. Mary’s Healthcare), 6.125%, 2/01/37 (Prerefunded 2/01/18)      1,315,000        1,491,171   
Louisville & Jefferson County, KY, Metropolitan Government Healthcare Systems Rev. (Norton Healthcare, Inc.), 5.25%, 10/01/36      1,265,000        1,305,227   
Owen County, KY, Waterworks System Rev. (American Water Co. Project), “A”, 6.25%, 6/01/39      205,000        232,628   
    

 

 

 
             $ 4,336,307   
Louisiana - 3.0%                 
Beauregard Parish, LA (Boise Cascade Corp.), 6.8%, 2/01/27    $ 1,000,000      $ 1,004,060   
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.25%, 7/01/31      300,000        350,592   
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.375%, 7/01/41      185,000        219,891   
Louisiana Environmental Facilities & Community Development Authority Rev. (St. James Place of Baton Rouge Project), “A”, 6%, 11/15/35      100,000        99,531   
Louisiana Environmental Facilities & Community Development Authority Rev. (St. James Place of Baton Rouge Project), “A”, 6.25%, 11/15/45      315,000        312,867   

 

17


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Louisiana - continued                 
Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (CDF Healthcare), “A”, 5.625%, 6/01/45    $ 420,000      $ 419,546   
Louisiana Public Facilities Authority Hospital Rev. (Lake Charles Memorial Hospital), 6.375%, 12/01/34      605,000        654,634   
New Orleans LA, Aviation Board General Airport Rev. (North Terminal Project), “B”, 5%, 1/01/40      240,000        259,546   
New Orleans LA, Aviation Board General Airport Rev. (North Terminal Project), “B”, 5%, 1/01/45      105,000        112,944   
St. Charles Parish, LA, Gulf Zone Opportunity Zone Rev. (Valero Energy Corp.), 4%, 12/01/40 (Put Date 6/01/22)      605,000        659,656   
    

 

 

 
             $ 4,093,267   
Maine - 0.3%                 
Maine Finance Authority Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), 6.25%, 1/01/25 (Put Date 2/01/17)    $ 360,000      $ 374,072   
Maryland - 0.8%                 
Anne Arundel County, MD, Special Obligation (National Business Park-North Project), 6.1%, 7/01/40    $ 140,000      $ 148,743   
Maryland Health & Higher Educational Facilities Authority Rev. (Anne Arundel Health System, Inc.), “A”, 6.75%, 7/01/39 (Prerefunded 7/01/19)      735,000        894,326   
    

 

 

 
             $ 1,043,069   
Massachusetts - 5.6%                 
Boston, MA, Metropolitan Transit Parking Corp., Systemwide Parking Rev., 5.25%, 7/01/36    $ 300,000      $ 340,593   
Massachusetts Development Finance Agency Rev. (Adventcare), “A”, 6.75%, 10/15/37      695,000        722,133   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 11/15/31      130,267        125,726   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 11/15/39      31,732        30,355   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-2”, 5.5%, 11/15/46      8,656        7,390   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), Capital Appreciation, “B”, 0%, 11/15/56      43,059        261   
Massachusetts Development Finance Agency Rev. (North Hill Communities), “A”, 6.25%, 11/15/33      100,000        107,821   
Massachusetts Development Finance Agency Rev. (North Hill Communities), “A”, 6.5%, 11/15/43      100,000        108,307   
Massachusetts Development Finance Agency Rev. (The Broad Institute, Inc.), “A”, 5.25%, 4/01/37      580,000        653,080   
Massachusetts Development Finance Agency Rev. (Tufts Medical Center), “I”, 7.25%, 1/01/32      445,000        531,268   

 

18


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Massachusetts - continued                 
Massachusetts Development Finance Agency, Resource Recovery Rev. (Covanta Energy Project), “A”, 4.875%, 11/01/27    $ 410,000      $ 420,430   
Massachusetts Development Finance Agency, Resource Recovery Rev. (Covanta Energy Project), “C”, 5.25%, 11/01/42      705,000        726,524   
Massachusetts Development Finance Agency, Solid Waste Disposal Rev. (Dominion Energy Brayton), 5.75%, 12/01/42 (Prerefunded 5/01/19)      85,000        99,561   
Massachusetts Educational Financing Authority, Education Loan Rev, “A”, 4.25%, 1/01/30      150,000        149,996   
Massachusetts Educational Financing Authority, Education Loan Rev, “A”, 4.25%, 1/01/31      105,000        104,263   
Massachusetts Educational Financing Authority, Education Loan Rev., “H”, ASSD GTY, 6.35%, 1/01/30      270,000        284,664   
Massachusetts Educational Financing Authority, Education Loan Rev., “I-A”, 5.5%, 1/01/22      25,000        28,174   
Massachusetts Health & Educational Facilities Authority Rev. (Jordan Hospital), “E”, 6.75%, 10/01/33      250,000        250,950   
Massachusetts Health & Educational Facilities Authority Rev. (Simmons College), 8%, 10/01/29 (Prerefunded 10/01/15)      150,000        153,897   
Massachusetts Health & Educational Facilities Authority Rev. (Suffolk University), “A”, 6.25%, 7/01/30      725,000        841,370   
Massachusetts Health & Educational Facilities Authority Rev. (Suffolk University), “A”, 5.75%, 7/01/39      455,000        510,342   
Massachusetts Port Authority Facilities Rev. (Conrac Project), “A”, 5.125%, 7/01/41      40,000        43,604   
Massachusetts School Building Authority, Dedicated Sales Tax Rev., AMBAC, 4.75%, 8/15/32      840,000        896,776   
Massachusetts School Building Authority, Dedicated Sales Tax Rev., “B”, 5%, 10/15/32      390,000        444,826   
    

 

 

 
             $ 7,582,311   
Michigan - 3.0%                 
Detroit, MI, Sewage Disposal System Rev., “B”, NATL, 5.5%, 7/01/22    $ 955,000      $ 1,110,407   
Detroit, MI, Sewage Disposal System Rev., Senior Lien, “A”, 5.25%, 7/01/39      580,000        619,916   
Detroit, MI, Water Supply System Rev., Senior Lien, “A”, AGM, 5%, 7/01/23      15,000        15,449   
Detroit, MI, Water Supply System Rev., Senior Lien, “A”, AGM, 5%, 7/01/25      15,000        15,385   
Detroit, MI, Water Supply System Rev., Senior Lien, “A”, 5%, 7/01/36      30,000        31,507   
Detroit, MI, Water Supply System Rev., Senior Lien, “C”, 5%, 7/01/41      40,000        41,811   
Grand Valley, MI, State University Rev., 5.5%, 12/01/27      135,000        145,086   
Grand Valley, MI, State University Rev., 5.625%, 12/01/29      65,000        69,978   

 

19


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Michigan - continued                 
Michigan Finance Authority Hospital Rev. (Beaumont Health Credit Group), “A”, 5%, 8/01/33    $ 100,000      $ 108,730   
Michigan Finance Authority Rev. (Trinity Health Corp.), 5%, 12/01/35      1,000,000        1,106,820   
Royal Oak, MI, Hospital Finance Authority Rev. (William Beaumont Hospital), 8.25%, 9/01/39 (Prerefunded 9/01/18)      485,000        594,930   
Wayne County, MI, Airport Authority Rev. (Detroit Metropolitan Wayne County Airport), “B”, 5%, 12/01/44      35,000        37,918   
Wayne County, MI, Airport Authority Rev. (Detroit Metropolitan Wayne County Airport), “B”, BAM, 5%, 12/01/39      40,000        44,679   
Wayne County, MI, Airport Authority Rev. (Detroit Metropolitan Wayne County Airport), “C”, 5%, 12/01/39      30,000        32,353   
Wayne County, MI, Airport Authority Rev. (Detroit Metropolitan Wayne County Airport), “C”, 5%, 12/01/44      90,000        96,543   
    

 

 

 
             $ 4,071,512   
Minnesota - 0.0%                 
Minneapolis & St. Paul, MN, Housing Authority Rev. (City Living), “A-2”, GNMA, 5%, 12/01/38    $ 60,318      $ 60,386   
Mississippi - 2.1%                 
Mississippi Business Finance Corp., Pollution Control Rev. (Systems Energy Resources Project), 5.875%, 4/01/22    $ 1,255,000      $ 1,262,505   
Mississippi Development Bank Special Obligation (Marshall County Industrial Development Authority Mississippi Highway Construction Project), 5%, 1/01/28      120,000        134,706   
Mississippi Home Corp., Rev. (Kirkwood Apartments), 6.8%, 11/01/37      600,000        417,498   
Mississippi State University, Educational Building Corp. Rev., 5%, 8/01/36      440,000        489,755   
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.25%, 9/01/32      220,000        246,094   
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.375%, 9/01/36      80,000        90,169   
V Lakes Utility District, MS, Water Systems Rev., 7%, 7/15/37      280,000        280,193   
    

 

 

 
             $ 2,920,920   
National - 1.2%                 
Charter Mac Equity Issuer Trust, FHLMC, 6%, 10/31/52 (n)    $ 1,000,000      $ 1,130,580   
Resolution Trust Corp., Pass-Through Certificates, “1993”, 9.75%, 12/01/16 (z)      455,481        455,130   
    

 

 

 
             $ 1,585,710   
Nevada - 0.1%                 
Director of the State of Nevada, Department of Business and Industry, Charter School Lease Rev. (Somerset Academy), “A”, 5.125%, 12/15/45    $ 150,000      $ 149,079   

 

20


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
New Hampshire - 0.9%                 
New Hampshire Business Finance Authority Rev. (Elliot Hospital Obligated Group), “A”, 6%, 10/01/27    $ 585,000      $ 655,241   
New Hampshire Business Finance Authority, Solid Waste Disposal Rev. (Casella Waste Systems, Inc. Project), 4%, 4/01/29 (Put Date 10/01/19)      100,000        100,511   
New Hampshire Health & Education Facilities Authority Rev. (Memorial Hospital at Conway), 5.25%, 6/01/21      530,000        538,231   
    

 

 

 
             $ 1,293,983   
New Jersey - 10.5%                 
New Jersey Casino Reinvestment Development Authority, Luxury Tax Rev., AGM, 5%, 11/01/31    $ 160,000      $ 174,421   
New Jersey Casino Reinvestment Development Authority, Luxury Tax Rev., AGM, 5%, 11/01/32      65,000        70,644   
New Jersey Economic Development Authority Rev. (GMT Realty LLC), “B”, 6.875%, 1/01/37      995,000        1,000,403   
New Jersey Economic Development Authority Rev. (Kapkowski Road Landfill Project), 6.5%, 4/01/31      950,000        1,146,346   
New Jersey Economic Development Authority Rev. (Lions Gate Project), 5%, 1/01/34      30,000        30,971   
New Jersey Economic Development Authority Rev. (Lions Gate Project), 5.25%, 1/01/44      65,000        67,616   
New Jersey Economic Development Authority Rev. (Provident Group - Rowan Properties LLC - Rowan University Student Housing Project), “A”, 5%, 1/01/30      80,000        86,782   
New Jersey Economic Development Authority Rev. (Provident Group - Rowan Properties LLC - Rowan University Student Housing Project), “A”, 5%, 1/01/35      95,000        101,254   
New Jersey Economic Development Authority Rev. (Provident Group - Rowan Properties LLC - Rowan University Student Housing Project), “A”, 5%, 1/01/48      35,000        36,851   
New Jersey Economic Development Authority Rev. (Seabrook Village, Inc.), 5.25%, 11/15/26      500,000        512,925   
New Jersey Economic Development Authority Rev. (Seabrook Village, Inc.), 5.25%, 11/15/36      500,000        508,635   
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project) , 5.375%, 1/01/43      255,000        277,557   
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), 5.5%, 1/01/27      40,000        46,162   
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), 5%, 1/01/28      40,000        44,370   
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), AGM, 5%, 1/01/31      125,000        138,460   

 

21


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
New Jersey - continued                 
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 4.875%, 9/15/19    $ 515,000      $ 541,198   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.125%, 9/15/23      365,000        399,033   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.25%, 9/15/29      515,000        560,238   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), “A”, 5.625%, 11/15/30      105,000        117,461   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), “B”, 5.625%, 11/15/30      535,000        606,321   
New Jersey Tobacco Settlement Financing Corp., “1-A”, 4.5%, 6/01/23      1,925,000        1,927,560   
New Jersey Tobacco Settlement Financing Corp., “1-A”, 4.75%, 6/01/34      3,405,000        2,600,943   
New Jersey Tobacco Settlement Financing Corp., “1-A”, 5%, 6/01/41      3,355,000        2,563,757   
New Jersey Tobacco Settlement Financing Corp., Capital Appreciation, “1-B”, 0%, 6/01/41      2,830,000        703,397   
New Jersey Tobacco Settlement Financing Corp., Capital Appreciation, “1-C”, 0%, 6/01/41      35,000        8,402   
    

 

 

 
             $ 14,271,707   
New Mexico - 0.5%                 
Farmington, NM, Pollution Control Rev. (Public Service New Mexico), “D”, 5.9%, 6/01/40    $ 500,000      $ 553,935   
New Mexico Hospital Equipment Loan Council, Hospital Rev. (Rehoboth McKinley Christian Hospital), “A”, 5%, 8/15/17      110,000        110,265   
    

 

 

 
             $ 664,200   
New York - 8.3%                 
Brooklyn, NY, Arena Local Development Corp. (Barclays Center Project), 6%, 7/15/30    $ 135,000      $ 156,387   
Buffalo & Erie County, NY, Industrial Land Development Corp. Rev. (Buffalo State College), “A”, 5.375%, 10/01/41      200,000        221,028   
Buffalo & Erie County, NY, Industrial Land Development Corp. Rev. (Catholic Health System, Inc.), 5%, 7/01/40      25,000        27,166   
Build NYC Resource Corp. Rev. (South Bronx Charter School for International Cultures and the Arts), “A”, 5%, 4/15/43      100,000        101,032   
Build NYC Resource Corp. Solid Waste Disposal Rev. (Pratt Paper, Inc. Project), 5%, 1/01/35      280,000        298,318   
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5%, 2/15/47      360,000        379,224   
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5.75%, 2/15/47      370,000        422,370   
New Rochelle, NY, Corp. for Local Development Rev. (Iona College Project), “A”, 5%, 7/01/34      65,000        70,858   

 

22


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
New York - continued                 
New Rochelle, NY, Corp. for Local Development Rev. (Iona College Project), “A”, 5%, 7/01/40    $ 165,000      $ 177,730   
New Rochelle, NY, Corp. for Local Development Rev. (Iona College Project), “A”, 5%, 7/01/45      80,000        85,761   
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.5%, 8/15/30      190,000        218,149   
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.25%, 2/15/35      115,000        130,538   
New York Dormitory Authority Rev., Non-State Supported Debt (Orange Regional Medical Center), 5%, 12/01/40      100,000        104,156   
New York Dormitory Authority, State Sales Tax Rev., “A”, 5%, 3/15/44      690,000        775,512   
New York Environmental Facilities Corp., Clean Drinking Water Revolving Funds, 5%, 6/15/41      685,000        755,110   
New York Environmental Facilities, “C”, 5%, 5/15/41      945,000        1,043,110   
New York Liberty Development Corp., Liberty Rev. (3 World Trade Center Project), “1”, 5%, 11/15/44      540,000        551,005   
New York Liberty Development Corp., Liberty Rev. (3 World Trade Center Project), “2”, 5.375%, 11/15/40      395,000        426,758   
New York Liberty Development Corp., Liberty Rev. (3 World Trade Center Project), “3”, 7.25%, 11/15/44      220,000        264,123   
New York Liberty Development Corp., Liberty Rev. (One Bryant Park LLC), 6.375%, 7/15/49      545,000        618,733   
New York, NY, City Industrial Development Agencies Rev. (American Airlines, Inc.), 7.75%, 8/01/31      385,000        415,350   
New York, NY, City Industrial Development Agency Special Facility Rev. (American Airlines, Inc.), “B”, 8.5%, 8/01/28      500,000        508,070   
New York, NY, City Transitional Finance Authority Building Aid Rev., “S-3”, 5.25%, 1/15/39      440,000        490,072   
New York, NY, Municipal Water Finance Authority, Water & Sewer Systems Rev., “DD”, 4.75%, 6/15/35      790,000        841,919   
Niagara County, NY, Industrial Development Agency, Solid Waste Disposal Rev. (Covanta Energy Project), “A”, 5.25%, 11/01/42      725,000        749,628   
Onondaga, NY, Civic Development Corp. Rev. (St. Joseph’s Hospital Health Center), 5%, 7/01/25      30,000        32,184   
Onondaga, NY, Civic Development Corp. Rev. (St. Joseph’s Hospital Health Center), 5.125%, 7/01/31      25,000        26,731   
Onondaga, NY, Civic Development Corp. Rev. (St. Joseph’s Hospital Health Center), 5%, 7/01/42      255,000        261,722   
Port Authority of NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 12/01/36      255,000        298,636   
Port Authority of NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 12/01/42      290,000        339,625   

 

23


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
New York - continued                 
Ulster County, NY, Capital Resource Corp Rev. (Health Alliance Senior Living- Woodland Pond at New Paltz), “B”, 7%, 9/15/44    $ 330,000      $ 337,409   
Ulster County, NY, Industrial Development Agency (Woodland Pond), “A”, 6%, 9/15/37      250,000        247,278   
    

 

 

 
             $ 11,375,692   
North Carolina - 1.7%                 
Durham, NC, Durham Housing Authority Rev. (Magnolia Pointe Apartments), 5.65%, 2/01/38    $ 888,090      $ 902,202   
New Hanover County, NC, Hospital Rev., AGM, 5.125%, 10/01/31      895,000        985,968   
North Carolina Medical Care Commission, Health Care Facilities Rev. (Pennybyrn at Maryfield), 5%, 10/01/25      55,000        59,568   
North Carolina Medical Care Commission, Health Care Facilities Rev. (Pennybyrn at Maryfield), 5%, 10/01/30      70,000        73,184   
North Carolina Medical Care Commission, Health Care Facilities Rev. (Pennybyrn at Maryfield), 5%, 10/01/35      45,000        46,593   
North Carolina Medical Care Commission, Retirement Facilities First Mortgage Rev. (United Church Homes and Services), “A”, 5%, 9/01/37      75,000        75,386   
University of North Carolina, Greensboro, Rev., 5%, 4/01/39      110,000        123,334   
    

 

 

 
             $ 2,266,235   
North Dakota - 0.1%                 
North Dakota Housing Finance Agency Rev., (Home Mortgage Finance Program), B”, 4%, 1/01/36    $ 120,000      $ 130,592   
Ohio - 4.4%                 
Bowling Green, OH, Student Housing Rev. (State University Project), 5.75%, 6/01/31    $ 175,000      $ 186,723   
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 6%, 6/01/42      230,000        188,846   
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 5.875%, 6/01/47      480,000        387,845   
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 6.5%, 6/01/47      1,800,000        1,569,150   
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.5%, 11/01/40      590,000        664,865   
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.75%, 11/01/40      130,000        148,392   
Franklin County, OH, Health Care Facilities Improvement Rev. (Friendship Village of Dublin, OH, Inc.), 5%, 11/15/34      120,000        128,592   
Franklin County, OH, Health Care Facilities Improvement Rev. (Friendship Village of Dublin, OH, Inc.), 5%, 11/15/44      195,000        207,230   

 

24


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Ohio - continued                 
Gallia County, OH, Hospital Facilities Rev. (Holzer Health Systems), “A”, 8%, 7/01/42    $ 770,000      $ 871,078   
Lake County, OH, Hospital Facilities Rev. (Lake Hospital Systems, Inc.), 5.625%, 8/15/29      435,000        481,732   
Muskingum County, OH, Hospital Facilities Rev. (Genesis Health System Obligated Group), 5%, 2/15/33      195,000        202,827   
Muskingum County, OH, Hospital Facilities Rev. (Genesis Health System Obligated Group), 5%, 2/15/44      100,000        103,155   
Muskingum County, OH, Hospital Facilities Rev. (Genesis Health System Obligated Group), 5%, 2/15/48      195,000        200,189   
Southeastern Ohio Port Authority, Hospital Facilities Improvement Rev. (Memorial Health System Obligated Group Project), 5.5%, 12/01/29      35,000        37,627   
Southeastern Ohio Port Authority, Hospital Facilities Improvement Rev. (Memorial Health System Obligated Group Project), 5%, 12/01/35      95,000        96,436   
Southeastern Ohio Port Authority, Hospital Facilities Improvement Rev. (Memorial Health System Obligated Group Project), 5%, 12/01/43      120,000        120,902   
Southeastern Ohio Port Authority, Hospital Facilities Improvement Rev. (Memorial Health System Obligated Group Project), 5.5%, 12/01/43      140,000        146,647   
Southeastern Ohio Port Authority, Hospital Facilities Rev. (Memorial Health System), 5.75%, 12/01/32      300,000        320,805   
    

 

 

 
             $ 6,063,041   
Oklahoma - 1.2%                 
Norman, OK, Regional Hospital Authority Rev., 5%, 9/01/27    $ 155,000      $ 161,327   
Norman, OK, Regional Hospital Authority Rev., 5.375%, 9/01/29      90,000        93,335   
Norman, OK, Regional Hospital Authority Rev., 5.375%, 9/01/36      235,000        242,964   
Oklahoma Development Finance Authority Continuing Care Retirement Community Rev. (Inverness Village), 5.75%, 1/01/37      305,000        314,525   
Tulsa, OK, Airport Improvement Trust Rev., “A”, 5%, 6/01/45      55,000        58,144   
Tulsa, OK, Municipal Airport Trust Rev. , 5%, 6/01/35 (Put Date 6/01/25)      105,000        113,741   
Tulsa, OK, Municipal Airport Trust Rev. (American Airlines, Inc.), “B”, 5.5%, 6/01/35      175,000        188,078   
Tulsa, OK, Municipal Airport Trust Rev. (American Airlines, Inc.), “B”, 5.5%, 12/01/35      385,000        416,689   
    

 

 

 
             $ 1,588,803   
Oregon - 0.8%                 
Cow Creek Band of Umpqua Tribe of Indians, OR, “C”, 5.625%, 10/01/26 (n)    $ 650,000      $ 661,830   

 

25


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Oregon - continued                 
Forest Grove, OR, Campus Improvement Rev. (Pacific University Project), “A”, 4.5%, 5/01/29    $ 90,000      $ 95,945   
Forest Grove, OR, Campus Improvement Rev. (Pacific University Project), “A”, 5%, 5/01/30      20,000        22,020   
Forest Grove, OR, Campus Improvement Rev. (Pacific University Project), “A”, 5%, 5/01/36      90,000        97,616   
Forest Grove, OR, Campus Improvement Rev. (Pacific University Project), “A”, 5%, 5/01/40      110,000        118,521   
Multnomah County, OR, Hospital Facilities Authority Rev. (Mirabella at South Waterfront Project), “A”, 5.4%, 10/01/44      65,000        71,339   
Multnomah County, OR, Hospital Facilities Authority Rev. (Mirabella at South Waterfront Project), “A”, 5.5%, 10/01/49      85,000        93,790   
    

 

 

 
             $ 1,161,061   
Pennsylvania - 10.1%                 
Allegheny County, PA, Hospital Development Authority Rev. (University of Pittsburgh Medical Center), “A”, 5.375%, 8/15/29    $ 440,000      $ 492,796   
Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev., “A”, 5%, 5/01/35      100,000        104,454   
Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev., “A”, 5%, 5/01/42      420,000        437,682   
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 1/01/27      90,000        91,592   
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 1/01/37      120,000        121,361   
Clarion County, PA, Industrial Development Authority, Student Housing Rev. (Clarion University Foundation, Inc.), 5%, 7/01/34      35,000        37,205   
Cumberland County, PA, Municipal Authority Rev. (Asbury Atlantic, Inc.), 6%, 1/01/40      135,000        144,171   
Cumberland County, PA, Municipal Authority Rev. (Asbury Atlantic, Inc.), 5.25%, 1/01/41      290,000        299,848   
Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries), 6.125%, 1/01/29      695,000        795,872   
Delaware County, PA, Authority Rev. (Mercy Health Corp.), ETM, 6%, 12/15/16      510,000        511,224   
Delaware County, PA, Authority Rev. (Mercy Health Corp.), ETM, 6%, 12/15/26      500,000        501,200   
East Hempfield, PA, Industrial Development Authority Rev. (Millersville University Student Services), 5%, 7/01/39      40,000        41,994   
East Hempfield, PA, Industrial Development Authority Rev. (Millersville University Student Services), 5%, 7/01/46      20,000        20,905   
East Hempfield, PA, Industrial Development Authority Rev. (Student Services, Inc., Student Housing Project at Millersville University of Pennsylvania), 5%, 7/01/30      25,000        27,036   

 

26


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Pennsylvania - continued                 
East Hempfield, PA, Industrial Development Authority Rev. (Student Services, Inc., Student Housing Project at Millersville University of Pennsylvania), 5%, 7/01/35    $ 35,000      $ 37,134   
Lancaster County, PA, Hospital Authority Health System Rev. (Masonic Villages Project), 5%, 11/01/27      50,000        57,644   
Lancaster County, PA, Hospital Authority Health System Rev. (Masonic Villages Project), 5%, 11/01/35      15,000        16,489   
Lebanon County, PA, Health Facilities Authority Rev. (Good Samaritan Hospital), 5.9%, 11/15/28      210,000        210,153   
Lehigh County, PA, Water and Sewer Authority Rev. (Allentown Concession), “A”, 5%, 12/01/43      1,135,000        1,260,191   
Lehigh County, PA, Water and Sewer Authority Rev. (Allentown Concession), Capital Appreciation, “B”, 0%, 12/01/37      955,000        337,908   
Luzerne County, PA, AGM, 6.75%, 11/01/23      435,000        519,394   
Montgomery County, PA Industrial Development Authority Rev. (Albert Einstein Healthcare Network Issue), “A”, 5.25%, 1/15/36      645,000        684,500   
Montgomery County, PA, Higher Education & Health Authority Rev. (AHF/Montgomery), 6.875%, 4/01/36      75,000        77,699   
Montgomery County, PA, Industrial Development Authority Retirement Community Rev. (ACTS Retirement - Life Communities, Inc.), 5%, 11/15/28      350,000        371,760   
Montgomery County, PA, Industrial Development Authority Rev. (Whitemarsh Continuing Care Retirement Community Project), 5.375%, 1/01/50      935,000        946,659   
Pennsylvania Economic Development Financing Authority Rev. (The Pennsylvania Rapid Bridge Replacement Project), 5%, 6/30/26      40,000        45,751   
Pennsylvania Economic Development Financing Authority Rev. (The Pennsylvania Rapid Bridge Replacement Project), 5%, 12/31/30      100,000        109,349   
Pennsylvania Economic Development Financing Authority Rev. (The Pennsylvania Rapid Bridge Replacement Project), 5%, 12/31/34      815,000        882,816   
Pennsylvania Economic Development Financing Authority, Sewer Sludge Disposal Rev. (Philadelphia Biosolids Facility), 6.25%, 1/01/32      335,000        373,579   
Pennsylvania Higher Educational Facilities Authority Rev. (Edinboro University Foundation), 5.8%, 7/01/30      80,000        86,338   
Philadelphia, PA, Authority for Industrial Development Rev. (MaST Charter School), 6%, 8/01/35      50,000        54,215   
Philadelphia, PA, Authority for Industrial Development Rev. (Philadelphia Performing Arts Charter School Project), 6.5%, 6/15/33      230,000        242,277   
Philadelphia, PA, Authority for Industrial Development Rev. (Philadelphia Performing Arts Charter School Project), 6.75%, 6/15/43      320,000        339,133   
Philadelphia, PA, Authority for Industrial Development Rev. (Tacony Academy Charter School Project), 6.875%, 6/15/33      100,000        112,555   
Philadelphia, PA, Authority for Industrial Development Rev. (Tacony Academy Charter School Project), 7.375%, 6/15/43      110,000        127,008   

 

27


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Pennsylvania - continued                 
Philadelphia, PA, Authority for Industrial Development Rev. (Tacony Academy Charter School Project), “A-1”, 7%, 6/15/43    $ 140,000      $ 158,157   
Philadelphia, PA, Municipal Authority Rev., 6.5%, 4/01/34      135,000        154,445   
Pittsburgh, PA, Urban Redevelopment Authority Rev., “C”, GNMA, 4.8%, 4/01/28      915,000        927,353   
West Shore, PA, Area Authority Rev. (Messiah Village Project) “A”, 5%, 7/01/30      30,000        31,703   
West Shore, PA, Area Authority Rev. (Messiah Village Project) “A”, 5%, 7/01/35      55,000        57,118   
Westmoreland County, PA, Industrial Development Authority Rev. (Redstone Retirement Community), “A”, 5.875%, 1/01/32 (Prerefunded 1/01/16)      600,000        619,338   
Westmoreland County, PA, Industrial Development Retirement Authority Rev. (Redstone Retirement Community), “A”, 5.75%, 1/01/26 (Prerefunded 1/01/16)      1,250,000        1,289,363   
    

 

 

 
             $ 13,757,369   
Puerto Rico - 1.8%                 
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, ASSD GTY, 5.125%, 7/01/47    $ 60,000      $ 60,023   
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., AGM, 5.5%, 7/01/29      5,000        5,250   
Commonwealth of Puerto Rico, Public Improvement, “A”, NATL, 5.5%, 7/01/16      30,000        30,596   
Puerto Rico Electric Power Authority Rev., “KK”, NATL, 5.5%, 7/01/16      15,000        15,416   
Puerto Rico Electric Power Authority Rev., “LL”, NATL, 5.5%, 7/01/17      10,000        10,354   
Puerto Rico Electric Power Authority Rev., “PP”, NATL, 5%, 7/01/24      5,000        4,964   
Puerto Rico Electric Power Authority Rev., “UU”, NATL, 4.5%, 7/01/18      15,000        15,312   
Puerto Rico Electric Power Authority Rev., “UU”, NATL, 5%, 7/01/19      65,000        66,467   
Puerto Rico Electric Power Authority Rev., “UU”, AGM, 5%, 7/01/22      20,000        20,173   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority (Cogeneration Facilities - AES Puerto Rico Project), 6.625%, 6/01/26      420,000        397,257   
Puerto Rico Industrial, Tourist, Educational, Medical, & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 4/01/17      45,000        45,232   
Puerto Rico Industrial, Tourist, Educational, Medical, & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 4/01/18      30,000        30,006   
Puerto Rico Industrial, Tourist, Educational, Medical, & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 4%, 4/01/20      15,000        14,146   

 

28


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Puerto Rico - continued                 
Puerto Rico Industrial, Tourist, Educational, Medical, & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 4/01/21    $ 50,000      $ 48,641   
Puerto Rico Industrial, Tourist, Educational, Medical, & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 4/01/22      60,000        57,480   
Puerto Rico Industrial, Tourist, Educational, Medical, & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 4/01/27      100,000        90,031   
Puerto Rico Industrial, Tourist, Educational, Medical, & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5.125%, 4/01/32      40,000        34,601   
Puerto Rico Industrial, Tourist, Educational, Medical, & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5.375%, 4/01/42      55,000        46,152   
Puerto Rico Industrial, Tourist, Medical, & Environmental Central Facilities (University of Sacred Heart), 4.375%, 10/01/31      45,000        36,237   
Puerto Rico Industrial, Tourist, Medical, & Environmental Central Facilities (University of Sacred Heart), 5%, 10/01/42      25,000        20,044   
Puerto Rico Public Finance Corp., “E”, ETM, 6%, 8/01/26      80,000        102,694   
Puerto Rico Public Finance Corp., “E”, ETM, 6%, 8/01/26      820,000        1,052,618   
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., “C”, 5%, 8/01/40      450,000        313,862   
    

 

 

 
             $ 2,517,556   
Rhode Island - 0.6%                 
Rhode Island Health & Educational Building Corp. Rev., Hospital Financing (Lifespan Obligated Group), “A”, ASSD GTY, 7%, 5/15/39    $ 660,000      $ 775,969   
South Carolina - 2.3%                 
Laurens County, SC, School District No. 55, Installment Purchase Rev., 5.25%, 12/01/30    $ 700,000      $ 712,544   
Newberry, SC, Investing in Children’s Education (Newberry County School District Program), 5%, 12/01/30      400,000        409,428   
Richland County, SC, Environmental Improvement Rev. (International Paper), “A”, 3.875%, 4/01/23      525,000        561,409   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), “A”, 6%, 11/15/32      199,626        202,431   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), “A”, 6%, 11/15/47      117,148        114,558   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), Capital Appreciation, “B”, 0%, 11/15/47      85,554        8,371   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), Capital Appreciation, “B”, 0%, 11/15/47      79,443        7,774   

 

29


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
South Carolina - continued                 
South Carolina Jobs & Economic Development Authority, Health Facilities Rev. (Lutheran Homes of South Carolina, Inc.), 5.125%, 5/01/48    $ 40,000      $ 40,968   
South Carolina Public Service Authority Rev., “A”, 5.125%, 12/01/43      280,000        309,602   
South Carolina Public Service Authority Rev., “B”, 5.125%, 12/01/43      675,000        746,361   
    

 

 

 
             $ 3,113,446   
South Dakota - 0.3%                 
South Dakota Health & Educational Facilities Authority Rev. (Sanford Obligated Group), “B”, 5%, 11/01/34    $ 235,000      $ 258,716   
South Dakota Health & Educational Facilities Authority Rev. (Sanford Obligated Group), “B”, 5%, 11/01/44      140,000        152,733   
    

 

 

 
             $ 411,449   
Tennessee - 4.5%                 
Chattanooga, TN, Health Educational & Housing Facility Board Rev. (Catholic Health Initiatives), “A”, 5.25%, 1/01/45    $ 1,035,000      $ 1,130,251   
Johnson City, TN, Health & Educational Facilities Board, Hospital Rev. (Mountain States Health Alliance), “A”, 5.5%, 7/01/31      1,120,000        1,170,557   
Sullivan County, TN, Health, Educational & Housing Facilities Board Hospital Rev. (Wellmont Health Systems Project), “C”, 5.25%, 9/01/36      1,085,000        1,129,301   
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 9/01/21      1,710,000        1,949,862   
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 9/01/22      270,000        309,712   
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 9/01/26      165,000        192,667   
Tennessee Energy Acquisition Corp., Gas Rev., “C”, 5%, 2/01/25      240,000        271,838   
    

 

 

 
             $ 6,154,188   
Texas - 13.3%                 
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, SYNCORA, 5.25%, 1/01/24    $ 305,000      $ 313,741   
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, SYNCORA, 5%, 1/01/34      45,000        45,598   
Brazos River, TX, Harbor Navigation District (Dow Chemical Co.), “B-2”, 4.95%, 5/15/33      400,000        427,376   
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 6%, 8/15/33      105,000        125,323   
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5.75%, 8/15/41      75,000        84,165   
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5%, 8/15/42      410,000        433,887   
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 6%, 8/15/43      165,000        196,675   
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.125%, 12/01/40      215,000        247,568   

 

30


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Texas - continued                 
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.25%, 12/01/45    $ 135,000      $ 155,928   
Dallas and Fort Worth, TX, International Airport Rev., “B”, 5%, 11/01/44      370,000        404,728   
Dallas and Fort Worth, TX, International Airport Rev., “C”, 5%, 11/01/45      780,000        851,440   
Dallas County, TX, Flood Control District, 7.25%, 4/01/32      750,000        752,333   
Dallas, TX, Civic Center Convention Complex Rev., ASSD GTY, 5.25%, 8/15/34      845,000        944,347   
Decatur Hospital Authority Rev. (Wise Regional Health System), “A”, 5.25%, 9/01/44      100,000        105,969   
Gregg County, TX, Health Facilities Development Corp. Hospital Rev., (Good Shepherd Obligated Group), “A”, FRN, 4.029%, 10/01/29 (Put Date 3/01/17)      300,000        304,794   
Gulf Coast, TX, Industrial Development Authority Rev. (CITGO Petroleum Corp.), 4.875%, 5/01/25      115,000        120,015   
Gulf Coast, TX, Industrial Development Authority Rev. (CITGO Petroleum Corp.), 8%, 4/01/28      375,000        375,671   
Harris County, TX, Cultural Education Facilities Finance Corp. Medical Facilities Rev. (Baylor College of Medicine), “D”, 5.625%, 11/15/32      540,000        594,788   
Harris County, TX, Cultural Education Facilities Financial Corp., Thermal Utilities Rev. (Teco Project), “A”, 5.25%, 11/15/35      140,000        157,724   
Harris County, TX, Health Facilities Development Corp., Hospital Rev. (Memorial Hermann Healthcare Systems), “B”, 7.25%, 12/01/35 (Prerefunded 12/01/18)      205,000        247,043   
Harris County-Houston, TX, Sports Authority Rev., “C”, 5%, 11/15/31      110,000        121,882   
Harris County-Houston, TX, Sports Authority Rev., “C”, 5%, 11/15/32      20,000        22,026   
Harris County-Houston, TX, Sports Authority Rev., “C”, 5%, 11/15/33      40,000        44,018   
Harris County-Houston, TX, Sports Authority Rev., Capital Appreciation, “A”, AGM, 0%, 11/15/41      70,000        20,324   
Harris County-Houston, TX, Sports Authority Rev., Capital Appreciation, “A”, AGM, 0%, 11/15/46      175,000        38,966   
Houston, TX, Airport System Rev., “B”, 5%, 7/01/26      175,000        199,941   
Houston, TX, Airport System Rev., Special Facilities (Continental Airlines, Inc.), 6.5%, 7/15/30      445,000        520,303   
Houston, TX, Airport System Rev., Special Facilities Rev. (United Airlines, Inc. Terminal E Project), 5%, 7/01/29      595,000        628,421   
Houston, TX, Airport System Rev., Special Facilities Rev. (United Airlines, Inc. Terminal E Project), 4.5%, 7/01/20      115,000        121,634   
Houston, TX, Airport System Rev., Special Facilities Rev. (United Airlines, Inc. Terminal E Project), 4.75%, 7/01/24      310,000        335,442   
Houston, TX, Airport System Rev., Subordinate Lien, “A”, 5%, 7/01/31      150,000        164,606   

 

31


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Texas - continued                 
Houston, TX, Industrial Development Corp. (United Parcel Service, Inc.), 6%, 3/01/23    $ 380,000      $ 382,918   
La Vernia, TX, Higher Education Finance Corp. Rev. (KIPP, Inc.), “A”, 6.25%, 8/15/39 (Prerefunded 8/15/19)      195,000        232,089   
Lufkin, TX, Health Facilities Development Corp. Rev. (Memorial Health System), 5.5%, 2/15/37 (Prerefunded 2/15/17)      60,000        64,903   
Matagorda County, TX, Pollution Control Rev. (Central Power & Light Co.), “A”, 6.3%, 11/01/29      275,000        313,049   
New Hope Cultural Education Facilities Finance Corp. Retirement Facility Rev (Wesleyan Homes, Inc. Project), 5.5%, 1/01/35      75,000        77,422   
New Hope Cultural Education Facilities Finance Corp. Retirement Facility Rev (Wesleyan Homes, Inc. Project), 5.5%, 1/01/43      80,000        81,669   
New Hope Cultural Education Facilities Finance Corp. Retirement Facility Rev (Wesleyan Homes, Inc. Project), 5.5%, 1/01/49      80,000        80,902   
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (CHF - Collegiate Housing Stephenville III, L.L.C. - Tarleton State University Project), 5%, 4/01/30      25,000        27,016   
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (CHF - Collegiate Housing Stephenville III, L.L.C. - Tarleton State University Project), 5%, 4/01/35      30,000        31,842   
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (CHF - Collegiate Housing Stephenville III, L.L.C. - Tarleton State University Project), 5%, 4/01/47      65,000        68,243   
North Texas Education Finance Corp., Education Rev. (Uplift Education), “A”, 5.125%, 12/01/42      170,000        182,874   
North Texas Tollway Authority Rev., 6%, 1/01/38      765,000        892,533   
North Texas Tollway Authority Rev. (Special Projects System), “D”, 5%, 9/01/31      1,200,000        1,365,528   
Port of Bay, TX, City Authority (Hoechst Celanese Corp.), 6.5%, 5/01/26      660,000        662,112   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (MRC The Crossings Project), “A”, 7.5%, 11/15/34      100,000        116,525   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (MRC The Crossings Project), “A”, 7.75%, 11/15/44      185,000        216,722   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (MRC The Crossings Project), “A”, 8%, 11/15/49      135,000        160,291   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (MRC The Crossings Project), “B-2”, 5%, 11/15/19      20,000        20,032   
San Jacinto, TX, Community College District, 5.125%, 2/15/38      430,000        471,177   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Air Force Village Foundation, Inc.), 6.125%, 11/15/29      550,000        597,542   

 

32


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Texas - continued                 
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Air Force Village Foundation, Inc.), 6.375%, 11/15/44    $ 415,000      $ 451,541   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Stayton at Museum Way), 8.25%, 11/15/44      770,000        761,561   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Rev. (Trinity Terrace Project), “A-1”, 5%, 10/01/44      60,000        62,636   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Rev. (Trinity Terrace Project), “A-1”, 5%, 10/01/49      35,000        36,512   
Tarrant Cultural Education Facilities Finance Corp. Retirement Facility (Northwest Senior Housing Corporation Edgemere Project), “B”, 5%, 11/15/30      155,000        163,660   
Tarrant Cultural Education Facilities Finance Corp. Retirement Facility (Northwest Senior Housing Corporation Edgemere Project), “B”, 5%, 11/15/36      290,000        298,813   
Texas Gas Acquisition & Supply Corp III., Gas Supply Rev., 5%, 12/15/31      150,000        163,557   
Texas Private Activity Surface Transportation Corp. Senior Lien Rev. (NTE Mobility Partners Segments 3 LLC Segments 3A & 3B Facility), 7%, 12/31/38      170,000        209,719   
Texas Private Activity Surface Transportation Corp. Senior Lien Rev. (NTE Mobility Partners Segments 3 LLC Segments 3A & 3B Facility), 6.75%, 6/30/43      135,000        163,037   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 8/15/30      195,000        225,510   
Texas Transportation Commission, Central Texas Turnpike System Rev., Capital Appreciation, “B”, 0%, 8/15/36      345,000        136,034   
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7%, 11/01/30      130,000        151,592   
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7.125%, 11/01/40      195,000        225,521   
    

 

 

 
             $ 18,201,758   
U.S. Virgin Islands - 0.2%                 
Virgin Islands Public Finance Authority Rev. (Diageo Project), “A”, 6.75%, 10/01/37    $ 205,000      $ 232,343   
Vermont - 0.2%                 
Burlington, VT, Airport Rev., “A”, AGM, 5%, 7/01/24    $ 10,000      $ 11,474   
Burlington, VT, Airport Rev., “A”, 4%, 7/01/28      90,000        90,423   
Burlington, VT, Airport Rev., “A”, AGM, 5%, 7/01/30      15,000        16,578   
Vermont Economic Development Authority, Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), 4.75%, 4/01/36 (Put Date 4/02/18)      170,000        172,695   
    

 

 

 
             $ 291,170   

 

33


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Virginia - 1.8%                 
Embrey Mill Community Development Authority, VA, Special Assessment Rev., 7.25%, 3/01/43    $ 410,000      $ 426,166   
Norfolk, VA, Redevelopment & Housing Authority Rev. (Fort Norfolk Retirement Community), 5%, 1/01/46      55,000        54,402   
Norfolk, VA, Redevelopment & Housing Authority Rev. (Fort Norfolk Retirement Community), 5.375%, 1/01/46      130,000        133,198   
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 6%, 1/01/37      470,000        540,481   
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 5.5%, 1/01/42      755,000        819,907   
Virginia Small Business Financing Authority, Hospital Rev. (Wellmont Health Project), “A”, 5.25%, 9/01/37      470,000        487,973   
    

 

 

 
             $ 2,462,127   
Washington - 3.9%                 
King County, WA, Sewer Rev., 5%, 1/01/40    $ 1,395,000      $ 1,551,324   
Olympia, WA, Healthcare Facilities Authority Rev. (Catholic Health Initiatives), “D”, 6.375%, 10/01/36      1,095,000        1,250,448   
Skagit County, WA, Public Hospital District No. 001 Rev. (Skagit Valley Hospital), 5.75%, 12/01/32      90,000        96,246   
Tacoma, WA, Housing Authority Multi-Family Rev. (Redwood/Juniper, Pine Tree Harbor, & Conifer South Projects), GNMA, 5%, 5/20/25      25,000        25,009   
Tacoma, WA, Housing Authority Multi-Family Rev. (Redwood/Juniper, Pine Tree Harbor, & Conifer South Projects), GNMA, 5.05%, 11/20/37      25,000        25,001   
Washington Health Care Facilities Authority Rev. (Multicare Health Systems), “B”, ASSD GTY, 6%, 8/15/39      440,000        523,578   
Washington Health Care Facilities Authority Rev. (Providence Health & Services), “A”, 5%, 10/01/33      1,105,000        1,222,705   
Washington Higher Education Facilities Authority Rev. (Whitworth University), 5.875%, 10/01/34      280,000        305,010   
Washington Housing Finance Community Nonprofit Housing Rev. (Rockwood Retirement Communities), 5.125%, 1/01/20      400,000        400,188   
    

 

 

 
             $ 5,399,509   
West Virginia - 0.2%                 
Monongalia County, WV, Building Commission Improvement Rev. (Monongalia Health System Obligated Group), 5%, 7/01/29    $ 40,000      $ 43,884   
Monongalia County, WV, Building Commission Improvement Rev. (Monongalia Health System Obligated Group), 5%, 7/01/30      80,000        87,489   
Ohio County, WV, Commission Tax Increment Rev. (Fort Henry Centre), “A”, 5.85%, 6/01/34      125,000        128,443   
    

 

 

 
             $ 259,816   

 

34


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Wisconsin - 4.7%                 
Wisconsin General Fund Annual Appropriation Rev., “A”, 5.75%, 5/01/33    $ 660,000      $ 763,633   
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 7/15/26      200,000        226,416   
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 7/15/28      60,000        67,276   
Wisconsin Health & Educational Facilities Authority Rev. (Meritor Hospital), “A”, 5.5%, 5/01/31 (Prerefunded 5/01/21)      725,000        880,817   
Wisconsin Health & Educational Facilities Authority Rev. (Meritor Hospital), “A”, 6%, 5/01/41 (Prerefunded 5/01/21)      490,000        609,070   
Wisconsin Health & Educational Facilities Authority Rev. (Wheaton Franciscan Services), 5.25%, 8/15/34      935,000        960,245   
Wisconsin Public Finance Authority Healthcare Facility (Church Home of Hartford, Inc. Project), “A”, 4%, 9/01/20      40,000        41,444   
Wisconsin Public Finance Authority Healthcare Facility (Church Home of Hartford, Inc. Project), “A”, 5%, 9/01/25      30,000        31,802   
Wisconsin Public Finance Authority Healthcare Facility (Church Home of Hartford, Inc. Project), “A”, 5%, 9/01/30      50,000        50,737   
Wisconsin Public Finance Authority Healthcare Facility (Church Home of Hartford, Inc. Project), “A”, 5%, 9/01/38      60,000        59,588   
Wisconsin Public Finance Authority Rev. (Roseman University of Health Sciences Project), 5.75%, 4/01/35      150,000        146,862   
Wisconsin Public Finance Authority Senior Living Rev. (Rose Villa Project), “A”, 5.125%, 11/15/29      110,000        112,753   
Wisconsin Public Finance Authority Senior Living Rev. (Rose Villa Project), “A”, 5.5%, 11/15/34      100,000        104,651   
Wisconsin Public Finance Authority Senior Living Rev. (Rose Villa Project), “A”, 5.75%, 11/15/44      95,000        100,207   
Wisconsin Public Finance Authority Senior Living Rev. (Rose Villa Project), “A”, 6%, 11/15/49      115,000        122,959   
Wisconsin Public Finance Authority Senior Living Rev. (Rose Villa Project), “B-3”, 3.75%, 11/15/19      75,000        75,529   
Wisconsin Public Finance Authority Student Housing Rev., (Western Carolina University Project), 5.25%, 7/01/47      190,000        194,950   
Wisconsin Public Finance Authority, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), “B”, 5%, 7/01/22      140,000        154,883   
Wisconsin Public Finance Authority, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), “B”, 5.25%, 7/01/28      1,445,000        1,603,936   
Wisconsin Public Finance Authority, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), “B”, 5%, 7/01/42      75,000        79,184   
    

 

 

 
             $ 6,386,942   
Total Municipal Bonds (Identified Cost, $189,050,705)            $ 204,262,128   

 

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Portfolio of Investments (unaudited) – continued

 

Money Market Funds - 3.5%                 
Issuer    Shares/Par     Value ($)  
MFS Institutional Money Market Portfolio, 0.09%,
at Cost and Net Asset Value (v)
     4,752,434      $ 4,752,434   
Total Investments (Identified Cost, $193,803,139)            $ 209,014,562   
Other Assets, Less Liabilities - 1.7%              2,356,920   
ARPS, at liquidation value (Issued by the fund) - (2.9)%        (3,900,000
VMTPS, at liquidation value (Issued by the fund) - (52.1)%        (71,100,000
Net assets applicable to common shares - 100.0%            $ 136,371,482   

 

(a) Non-income producing security.
(d) In default.
(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 $2,088,280, representing 1.5% of net assets applicable to common shares.
(q) Interest received was less than stated coupon rate.
(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.
(z) Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities:

 

Restricted Securities    Acquisition
Date
   Cost      Value  
Resolution Trust Corp., Pass-Through Certificates, “1993”, 9.75%, 12/01/16    10/17/01-1/14/02      $455,481         $455,130   
% of Net assets applicable to common shares            0.3%   

The following abbreviations are used in this report and are defined:

 

ARPS   Auction Rate Preferred Shares
COP   Certificate of Participation
ETM   Escrowed to Maturity
FRN   Floating Rate Note. Interest rate resets periodically and the current rate may not be the rate reported at period end.
LOC   Letter of Credit
VMTPS   Variable Rate Municipal Term Preferred Shares

 

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Portfolio of Investments (unaudited) – continued

 

 

Insurers      
AGM    Assured Guaranty Municipal
AMBAC    AMBAC Indemnity Corp.
ASSD GTY    Assured Guaranty Insurance Co.
BAM    Build America Mutual
CALHF    California Health Facility Construction Loan Insurance Program
FHA    Federal Housing Administration
FHLMC    Federal Home Loan Mortgage Corp.
GNMA    Government National Mortgage Assn.
NATL    National Public Finance Guarantee Corp.
SYNCORA    Syncora Guarantee Inc.

Derivative Contracts at 5/31/15

Futures Contracts at 5/31/15

 

Description    Currency    Contracts    Value    Expiration
Date
     Unrealized
Appreciation
(Depreciation)
 
Liability Derivatives            
Interest Rate Futures            
U.S. Treasury Note 10 yr (Short)    USD    188    $24,005,250      September - 2015         $(110,327
U.S. Treasury Bond 30 yr (Short)    USD    15    2,334,375      September - 2015         (23,486
              

 

 

 
                 $(133,813
              

 

 

 

At May 31,2015, the fund had cash collateral of $304,800 to cover any commitments for certain derivative contracts. Cash collateral is comprised of “Deposits with brokers” in the Statement of Assets and Liabilities.

See Notes to Financial Statements

 

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Financial Statements

 

STATEMENT OF ASSETS AND LIABILITIES

At 5/31/15 (unaudited)

This statement represents your fund’s balance sheet, which details the assets and liabilities comprising the total value of the fund.

 

Assets         

Investments

  

Non-affiliated issuers, at value (identified cost, $189,050,705)

     $204,262,128   

Underlying affiliated funds, at cost and value

     4,752,434   

Total investments, at value (identified cost, $193,803,139)

     $209,014,562   

Deposits with brokers

     304,800   

Receivables for

  

Investments sold

     1,568,518   

Interest

     3,037,747   

Deferred VMTPS offering costs

     56,349   

Other assets

     16,804   

Total assets

     $213,998,780   
Liabilities         

Payables for

  

Distributions on common shares

     $26,856   

Distributions on ARPS

     137   

Daily variation margin on open futures contracts

     68,000   

Investments purchased

     2,358,573   

Interest expense

     81,907   

Payable to affiliates

  

Investment adviser

     15,488   

Transfer agent and dividend disbursing costs

     1,208   

Payable for independent Trustees’ compensation

     221   

Accrued expenses and other liabilities

     74,908   

VMTPS, at liquidation value

     71,100,000   

Total liabilities

     $73,727,298   

ARPS, at liquidation value

     $3,900,000   

Net assets applicable to common shares

     $136,371,482   
Net assets consist of         

Paid-in capital - common shares

     $165,481,774   

Unrealized appreciation (depreciation) on investments

     15,077,610   

Accumulated net realized gain (loss) on investments

     (45,404,485

Undistributed net investment income

     1,216,583   

Net assets applicable to common shares

     $136,371,482   

ARPS, at liquidation value (156 shares of Series F issued and outstanding at $25,000 per share)

     $3,900,000   

VMTPS, at liquidation value (2,844 shares of Series 2016/9 issued and outstanding at $25,000 per share)

     71,100,000   

Total preferred shares

     $75,000,000   

Net assets including preferred shares

     $211,371,482   

Common shares of beneficial interest issued and outstanding

     28,299,692   

Net asset value per common share (net assets of $136,371,482 / 28,299,692 shares of beneficial interest outstanding)

     $4.82   

See Notes to Financial Statements

 

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Financial Statements

 

STATEMENT OF OPERATIONS

Six months ended 5/31/15 (unaudited)

This statement describes how much your fund earned in investment income and accrued in expenses. It also describes any gains and/or losses generated by fund operations.

 

Net investment income         

Income

  

Interest

     $5,844,820   

Dividends from underlying affiliated funds

     1,725   

Total investment income

     $5,846,545   

Expenses

  

Management fee

     $690,883   

Transfer agent and dividend disbursing costs

     15,096   

Administrative services fee

     21,757   

Independent Trustees’ compensation

     11,040   

Stock exchange fee

     12,907   

ARPS service fee

     2,908   

Custodian fee

     10,369   

Shareholder communications

     14,426   

Audit and tax fees

     41,907   

Legal fees

     2,177   

Amortization of VMTPS offering costs

     21,867   

Interest expense

     458,993   

Miscellaneous

     37,818   

Total expenses

     $1,342,148   

Fees paid indirectly

     (9

Net expenses

     $1,342,139   

Net investment income

     $4,504,406   
Realized and unrealized gain (loss) on investments         

Realized gain (loss) (identified cost basis)

  

Investments

     $429,612   

Futures contracts

     (460,529

Net realized gain (loss) on investments

     $(30,917

Change in unrealized appreciation (depreciation)

  

Investments

     $(1,507,013

Futures contracts

     81,485   

Net unrealized gain (loss) on investments

     $(1,425,528

Net realized and unrealized gain (loss) on investments

     $(1,456,445

Distributions declared to shareholders of ARPS

     $(2,443

Change in net assets from operations

     $3,045,518   

See Notes to Financial Statements

 

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Table of Contents

Financial Statements

 

STATEMENTS OF CHANGES IN NET ASSETS

These statements describe the increases and/or decreases in net assets resulting from operations, any distributions, and any shareholder transactions.

 

Change in net assets   

Six months ended

5/31/15

(unaudited)

    

Year ended

11/30/14

 
From operations                  

Net investment income

     $4,504,406         $8,350,034   

Net realized gain (loss) on investments

     (30,917      (1,358,170

Net unrealized gain (loss) on investments

     (1,425,528      12,467,104   

Distributions declared to shareholders of ARPS

     (2,443      (4,154

Change in net assets from operations

     $3,045,518         $19,454,814   
Distributions declared to common shareholders                  

From net investment income

     $(3,933,658      $(8,263,175
Share transactions applicable to common and
preferred shares
                 

Net asset value of shares issued to common shareholders
in reinvestment of distributions

     $—         $30,405   

Total change in net assets

     $(888,140      $11,222,044   
Net assets applicable to common shares                  

At beginning of period

     137,259,622         126,037,578   

At end of period (including undistributed net investment
income of $1,216,583 and $648,278, respectively)

     $136,371,482         $137,259,622   

See Notes to Financial Statements

 

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Table of Contents

Financial Statements

 

STATEMENT OF CASH FLOWS

Six months ended 5/31/15 (unaudited)

This statement provides a summary of cash flows from investment activity for the fund.

 

Cash flows from operating activities:         

Change in net assets from operations

     $3,045,518   

Distributions to shareholders of ARPS

     2,443   

Change in net assets from operations excluding distributions declared to shareholders of ARPS

     $3,047,961   
Adjustments to reconcile change in net assets from operations to net cash provided by operating activities:         

Purchase of investment securities

     (24,367,859

Proceeds from disposition of investment securities

     27,667,352   

Payments for futures contracts

     (460,529

Purchases of short-term investments, net

     (2,914,059

Realized gain/loss on investments

     (429,612

Realized gain/loss on futures contracts

     460,529   

Unrealized appreciation/depreciation on investments

     1,507,013   

Net amortization/accretion of income

     (589,860

Amortization of VMTPS offering costs

     21,867   

Decrease in interest receivable

     78,836   

Decrease in accrued expenses and other liabilities

     (34,198

Decrease in payable for daily variation margin on open futures contracts

     (4,500

Increase in deposits with brokers

     (36,300

Increase in other assets

     (15,453

Increase in payable for interest expense

     6,171   

Net cash provided by operating activities

     $3,937,359   
Cash flows from financing activities:         

Cash distributions paid on common shares

     (3,935,767

Cash distributions paid on ARPS

     (2,379

Net cash used by financing activities

     $(3,938,146

Net decrease in cash

     $(787
Cash:         

Beginning of period

     $787   

End of period

     $—   

Supplemental disclosure of cash flow information:

Cash paid during the six months ended May 31, 2015 for interest was $452,822.

See Notes to Financial Statements

 

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Financial Statements

 

FINANCIAL HIGHLIGHTS

The financial highlights table is intended to help you understand the fund’s financial performance for the semiannual period and the past 5 fiscal years. Certain information reflects financial results for a single fund share. The total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the fund share class (assuming reinvestment of all distributions) held for the entire period.

 

   

Six months

ended

5/31/15

(unaudited)

    Years ended 11/30  
Common Shares     2014     2013     2012     2011     2010  
                                 

Net asset value, beginning of
period

    $4.85        $4.45        $5.04        $4.25        $4.25        $4.18   
Income (loss) from investment operations   

Net investment income (d)

    $0.16        $0.30        $0.30        $0.32        $0.35        $0.37   

Net realized and unrealized gain
(loss) on investments

    (0.05     0.39        (0.60     0.68        0.02        0.06   

Distributions declared to
shareholders of ARPS

    (0.00 )(w)      (0.00 )(w)      (0.00 )(w)      (0.01     (0.01     (0.01

Total from investment operations

    $0.11        $0.69        $(0.30     $0.99        $0.36        $0.42   
Less distributions declared to common shareholders   

From net investment income

    $(0.14     $(0.29     $(0.29     $(0.33     $(0.36     $(0.35

Net increase resulting from tender
and repurchase of ARPS

    $—        $—        $—        $0.13        $—        $—   

Net asset value, end of period (x)

    $4.82        $4.85        $4.45        $5.04        $4.25        $4.25   

Market value, end of period

    $4.31        $4.41        $4.06        $5.25        $4.57        $4.45   

Total return at market value (%) (p)

    0.81 (n)      16.03        (17.59     23.01        11.82        13.69   

Total return at net asset
value (%) (j)(r)(s)(x)

    2.51 (n)      16.42        (5.91     26.98 (y)      8.88        10.14   
Ratios (%) (to average net assets
applicable to common shares)
and Supplemental data:
    

Expenses before expense
reductions (f)(p)

    1.95 (a)      2.01        2.02        1.61        1.43        1.41   

Expenses after expense
reductions (f)(p)

    N/A        2.01        2.02        1.61        1.43        1.40   

Net investment income (p)

    6.54 (a)      6.29        6.35        6.89        8.49        8.57   

Portfolio turnover

    11 (n)      12        18        15        21        11   

Net assets at end of period
(000 omitted)

    $136,371        $137,260        $126,038        $142,315        $119,846        $119,373   

 

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Financial Highlights – continued

 

   

Six months

ended

5/31/15

(unaudited)

    Years ended 11/30  
      2014     2013     2012     2011     2010  
                                 
Supplemental Ratios (%):                                                

Ratio of expenses to average net
assets applicable to common
shares after expense reductions
and excluding interest expense
and fees (f)(l)(p)

    1.28 (a)      1.31        1.30        1.32        N/A        N/A   

Ratio of expenses to average net
assets applicable to common
shares, ARPS, and VMTPS after
expense reductions and
excluding interest expense and
fees (f)(l)(p)

    0.83 (a)      0.84        0.84        0.84        0.87        0.87   

Net investment income available to
common shares

    6.53 (a)      6.28        6.34        6.78        8.29        8.32   
Senior Securities:                                                

ARPS

    156        156        156        156        3,000        3,000   

VMTPS

    2,844        2,844        2,844        2,844                 

Total preferred shares outstanding

    3,000        3,000        3,000        3,000        3,000        3,000   

Asset coverage per preferred
share (k)

    $70,457        $70,753        $67,013        $72,438        $64,949        $64,791   

Involuntary liquidation preference
per preferred share (m)

    $25,000        $25,000        $25,000        $25,000        $25,000        $25,000   

Average market value per preferred
share (m)(u)

    $25,000        $25,000        $25,000        $25,000        $25,000        $25,000   

 

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Financial Highlights – continued

 

 

(a) Annualized.
(d) Per share data is based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly, if applicable.
(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.
(k) Calculated by subtracting the fund’s total liabilities (not including liquidation preference of ARPS and VMTPS) from the fund’s total assets and dividing this number by the total number of preferred shares outstanding.
(l) Interest expense and fees relate to payments made to the holders of the floating rate certificates from trust assets and interest expense paid to shareholders of VMTPS. For the year ended November 30, 2012, the expense ratio also excludes fees and expenses related to the tender and repurchase of a portion of the fund’s ARPS.
(m) Amount excludes accrued unpaid distributions on ARPS and accrued interest on VMTPS.
(n) Not annualized.
(p) Ratio excludes dividend payments on ARPS.
(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.
(u) Average market value represents the approximate fair value of each of the fund’s ARPS and VMTPS.
(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.
(y) Included in the total return at net asset value for the year ended November 30, 2012 is the impact of the tender and repurchase by the fund of a portion of its ARPS at 95% of the ARPS’ per share liquidation preference. Had this transaction not occurred, the total return at net asset value for the year ended November 30, 2012 would have been lower by 2.52%.

See Notes to Financial Statements

 

44


Table of Contents

NOTES TO FINANCIAL STATEMENTS

(unaudited)

(1) Business and Organization

MFS High Yield Municipal Trust (the fund) is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as a diversified closed-end management investment company.

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.

(2) Significant Accounting Policies

General – The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. In the preparation of these financial statements, management has evaluated subsequent events occurring after the date of the fund’s Statement of Assets and Liabilities through the date that the financial statements were issued. The fund invests primarily in municipal instruments. The value of municipal instruments can be affected by changes in their actual or perceived credit quality. The credit quality of municipal instruments can be affected by, among other things, the financial condition of the issuer or guarantor, the issuer’s future borrowing plans and sources of revenue, the economic feasibility of the revenue bond project or general borrowing purpose, political or economic developments in the region where the instrument is issued and the liquidity of the security. Municipal instruments generally trade in the over-the-counter market. Municipal instruments backed by current and anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the taxation supporting the projects or assets or the inability to collect revenues for the project or from the assets. If the Internal Revenue Service determines an issuer of a municipal instrument has not complied with the applicable tax requirements, interest from the security could become taxable, the security could decline in value, and distributions made by the fund could be taxable to shareholders. The fund invests in high-yield securities rated below investment grade. Investments in high-yield securities involve greater degrees of credit and market risk than investments in higher-rated securities and tend to be more sensitive to economic conditions.

In June 2014, FASB issued Accounting Standards Update 2014-11, Transfers and Servicing (Topic 860) – Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (“ASU 2014-11”). ASU 2014-11 changes the accounting for repurchase-to-maturity transactions (i.e., repurchase agreements that settle at the same time as the maturity of the transferred financial asset) and enhances the required disclosures for repurchase agreements and other similar transactions. Although still evaluating the potential impacts of ASU 2014-11 to the fund, management expects

 

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Notes to Financial Statements (unaudited) – continued

 

that the impact of the fund’s adoption will be limited to additional financial statement disclosures which would first be effective for interim reporting periods beginning after March 15, 2015.

In April 2015, FASB issued Accounting Standards Update 2015-03, Interest – Imputation of Interest (Topic 835-30) – Simplifying the Presentation of Debt Issuance Costs (“ASU 2015-03”). For entities that issue debt which is carried at an amount other than fair value, ASU 2015-03 changes the accounting for debt issuance costs. Although still evaluating the potential impacts of ASU 2015-03, management expects that the effects of the fund’s adoption will be limited to the reclassification of any unamortized debt issuance costs on the fund’s Statement of Assets and Liabilities and the modification of related accounting policy financial statement disclosures. ASU 2015-03 will first be effective for annual reporting periods beginning after December 15, 2015, and interim periods within those annual periods.

Balance Sheet Offsetting – The fund’s accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the International Swaps and Derivatives Association (ISDA) Master Agreement does not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the fund and the applicable counterparty. The fund’s right to setoff may be restricted or prohibited by the bankruptcy or insolvency laws of the particular jurisdiction to which a specific master netting agreement counterparty is subject. Balance sheet offsetting disclosures, to the extent applicable to the fund, have been included in the fund’s Significant Accounting Policies note under the captions for each of the fund’s in-scope financial instruments and transactions.

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 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

 

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Notes to Financial Statements (unaudited) – continued

 

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 May 31, 2015 in valuing the fund’s assets or liabilities:

 

Investments at Value    Level 1      Level 2      Level 3      Total  
Municipal Bonds      $—         $204,262,128         $—         $204,262,128   
Mutual Funds      4,752,434                         4,752,434   
Total Investments      $4,752,434         $204,262,128         $—         $209,014,562   
Other Financial Instruments                            
Futures Contracts      $(133,813      $—         $—         $(133,813

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

Derivatives – The fund uses derivatives for different purposes, primarily to increase or decrease exposure to a particular market or segment of the market, or security, to

 

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increase or decrease interest rate exposure, or as alternatives to direct investments. Derivatives are used for hedging or non-hedging purposes. While hedging can reduce or eliminate losses, it can also reduce or eliminate gains. When the fund uses derivatives as an investment to increase market exposure, or for hedging purposes, gains and losses from derivative instruments may be substantially greater than the derivative’s original cost.

The derivative instruments used by the fund were futures contracts. The fund’s period end derivatives, as presented in the Portfolio of Investments and the associated Derivative Contract tables, generally are indicative of the volume of its derivative activity during the period.

The following table presents, by major type of derivative contract, the fair value, on a gross basis, of the asset and liability components of derivatives held by the fund at May 31, 2015 as reported in the Statement of Assets and Liabilities:

 

           Fair Value (a)  
Risk   Derivative Contracts      Liability Derivatives  
Interest Rate   Interest Rate Futures        $(133,813)   

 

(a) The value of futures contracts includes cumulative appreciation (depreciation) as reported in the fund’s Portfolio of Investments. Only the current day variation margin for futures contracts is separately reported within the fund’s Statement of Assets and Liabilities.

The following table presents, by major type of derivative contract, the realized gain (loss) on derivatives held by the fund for the six months ended May 31, 2015 as reported in the Statement of Operations:

 

Risk    Futures Contracts  
Interest Rate      $(460,529

The following table presents, by major type of derivative contract, the change in unrealized appreciation (depreciation) on derivatives held by the fund for the six months ended May 31, 2015 as reported in the Statement of Operations:

 

Risk    Futures Contracts  
Interest Rate      $81,485   

Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain, but not all, uncleared derivatives, the fund attempts to reduce its exposure to counterparty credit risk whenever possible by entering into an ISDA Master Agreement on a bilateral basis. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. Upon an event of default or a termination of the ISDA Master Agreement, the non-defaulting party has the right to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the fund’s credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions, if any.

 

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Collateral and margin requirements differ by type of derivative. Margin requirements are set by the clearing broker and the clearing house for cleared derivatives (i.e., futures contracts, cleared swaps, and exchange-traded options) while collateral terms are contract specific for uncleared derivatives (i.e., forward foreign currency exchange contracts, uncleared swap agreements, and uncleared options). For derivatives traded under an ISDA Master Agreement, which contains a collateral support annex, the collateral requirements are netted across all transactions traded under such agreement and one amount is posted from one party to the other to collateralize such obligations. Cash that has been segregated to cover the fund’s collateral or margin obligations under derivative contracts, if any, will be reported separately in the Statement of Assets and Liabilities as “Restricted cash” or “Deposits with brokers.” Securities pledged as collateral or margin for the same purpose, if any, are noted in the Portfolio of Investments.

Futures Contracts – The fund entered into futures contracts which may be used to hedge against or obtain broad market exposure, interest rate exposure, or to manage duration. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.

Upon entering into a futures contract, the fund is required to deposit with the broker, either in cash or securities, an initial margin in an amount equal to a certain percentage of the notional amount of the contract. Subsequent payments (variation margin) are made or received by the fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gain or loss by the fund until the contract is closed or expires at which point the gain or loss on futures contracts is realized.

The fund bears the risk of interest rates or securities prices moving unexpectedly, in which case, the fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. While futures contracts may present less counterparty risk to the fund since the contracts are exchange traded and the exchange’s clearinghouse guarantees payments to the broker, there is still counterparty credit risk due to the insolvency of the broker. The fund’s maximum risk of loss due to counterparty credit risk is equal to the margin posted by the fund to the broker plus any gains or minus any losses on the outstanding futures contracts.

Statement of Cash Flows – Information on financial transactions which have been settled through the receipt or disbursement of cash is presented in the Statement of Cash Flows. The cash amount shown in the Statement of Cash Flows is the amount included within the fund’s Statement of Assets and Liabilities and includes cash on hand at its custodian bank and does not include any short term investments.

Indemnifications – Under the fund’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the fund. Additionally, in the normal course of business, the fund enters into agreements with service providers that may contain indemnification clauses. The fund’s maximum exposure under these agreements is unknown as this would involve future claims that may be made against the fund that have not yet occurred.

 

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Investment Transactions and Income – Investment transactions are recorded on the trade date. Interest income is recorded on the accrual basis. All premium and discount is amortized or accreted for financial statement purposes in accordance with U.S. generally accepted accounting principles. Interest payments received in additional securities are recorded on the ex-interest date in an amount equal to the value of the security on such date. Debt obligations may be placed on non-accrual status or set to accrue at a rate of interest less than the contractual coupon when the collection of all or a portion of interest has become doubtful. Interest income for those debt obligations may be further reduced by the write-off of the related interest receivables when deemed uncollectible.

The fund may receive proceeds from litigation settlements. Any proceeds received from litigation involving portfolio holdings are reflected in the Statement of Operations in realized gain/loss if the security has been disposed of by the fund or in unrealized gain/loss if the security is still held by the fund. Any other proceeds from litigation not related to portfolio holdings are reflected as other income in the Statement of Operations.

Legal fees and other related expenses incurred to preserve and protect the value of a security owned are added to the cost of the security; other legal fees are expensed. Capital infusions made directly to the security issuer, which are generally non-recurring, incurred to protect or enhance the value of high-yield debt securities, are reported as additions to the cost basis of the security. Costs that are incurred to negotiate the terms or conditions of capital infusions or that are expected to result in a plan of reorganization are reported as realized losses. Ongoing costs incurred to protect or enhance an investment, or costs incurred to pursue other claims or legal actions, are expensed.

Fees Paid Indirectly – The fund’s custody fee may be reduced by a credit earned under an arrangement that measures the value of U.S. dollars deposited with the custodian by the fund. The amount of the credit, for the six months ended May 31, 2015, is shown as a reduction of total expenses in the Statement of Operations.

Tax Matters and Distributions – The fund intends to qualify as a regulated investment company, as defined under Subchapter M of the Internal Revenue Code, and to distribute all of its taxable and tax- exempt income, including realized capital gains. As a result, no provision for federal income tax is required. The fund’s federal tax returns, when filed, will remain subject to examination by the Internal Revenue Service for a three year period. Management has analyzed the fund’s tax positions taken on federal and state tax returns for all open tax years and does not believe that there are any uncertain tax positions that require recognition of a tax liability.

Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net

 

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Notes to Financial Statements (unaudited) – continued

 

investment income or net realized gains are temporary overdistributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

Book/tax differences primarily relate to expiration of capital loss carryforwards, amortization and accretion of debt securities, defaulted bonds, derivative transactions, and non-deductible expenses that result from the treatment of VMTPS as equity for tax purposes.

The tax character of distributions made during the current period will be determined at fiscal year end. The tax character of distributions declared to shareholders for the last fiscal year is as follows:

 

     11/30/14  
Ordinary income (including any
short-term capital gains)
     $102,738   
Tax-exempt income      9,096,143   
Total distributions      $9,198,881   

The federal tax cost and the tax basis components of distributable earnings were as follows:

 

As of 5/31/15       
Cost of investments      $192,278,298   
Gross appreciation      18,441,420   
Gross depreciation      (1,705,156
Net unrealized appreciation (depreciation)      $16,736,264   
As of 11/30/14       
Undistributed ordinary income      16,424   
Undistributed tax-exempt income      1,192,198   
Capital loss carryforwards      (46,363,342
Post-October capital loss deferral      (324,847
Other temporary differences      (560,344
Net unrealized appreciation (depreciation)      17,817,759   

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

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized for fund fiscal years beginning after November 30, 2011 may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses (“post-enactment losses”). Previously, net capital losses were carried forward for eight years and treated as short-term losses (“pre-enactment losses”). As a transition rule, the Act requires that all post-enactment net capital losses be used before pre-enactment net capital losses.

 

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As of November 30, 2014, the fund had capital loss carryforwards available to offset future realized gains as follows:

 

Pre-enactment losses which
expire as follows:
 
11/30/15      $(11,048,097
11/30/16      (11,728,477
11/30/17      (10,848,523
11/30/18      (3,454,980
11/30/19      (4,608,836
Total      $(41,688,913
Post-enactment losses which
are characterized as follows:
 
Short-Term      $(1,186,962
Long-Term      (3,487,467
Total      $(4,674,429

(3) Transactions with Affiliates

Investment Adviser – The fund has an investment advisory agreement with MFS to provide overall investment management and related administrative services and facilities to the fund. The management fee is computed daily and paid monthly at an annual rate of 0.65% of the fund’s average daily net assets (including the value of the auction rate preferred shares and variable rate municipal term preferred shares).

The investment adviser has agreed in writing to pay a portion of the fund’s total annual operating expenses, excluding interest, taxes, extraordinary expenses, brokerage and transaction costs, and investment-related expenses other than auction rate preferred shares service fees, such that total fund operating expenses do not exceed 0.87% annually of the fund’s average daily net assets (including the value of the auction rate preferred shares and variable rate municipal term preferred shares). This written agreement will continue until modified by the fund’s Board of Trustees, but such agreement will continue at least until November 30, 2016. For the six months ended May 31, 2015, the fund’s actual operating expenses did not exceed the limit and therefore, the investment adviser did not pay any portion of the fund’s expenses related to this agreement.

Transfer Agent – The fund engages Computershare Trust Company, N.A. (“Computershare”) as the sole transfer agent for the fund’s common shares. MFS Service Center, Inc. (MFSC) monitors and supervises the activities of Computershare for an agreed upon fee approved by the Board of Trustees. For the six months ended May 31, 2015, these fees paid to MFSC amounted to $4,315.

Administrator – MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund. Under an administrative services agreement, the fund reimburses MFS the costs incurred to provide these services. The fund is charged an annual fixed amount of $17,500 plus a fee based on average daily net assets (including the value of the auction rate preferred shares and variable rate municipal term preferred shares). The administrative services fee incurred for the six months ended May 31, 2015 was equivalent to an annual effective rate of

 

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Notes to Financial Statements (unaudited) – continued

 

0.0205% of the fund’s average daily net assets (including the value of the auction rate preferred shares and variable rate municipal term preferred shares).

Trustees’ and Officers’ Compensation – The fund pays compensation to independent Trustees in the form of a retainer, attendance fees, and additional compensation to Board and Committee chairpersons. The fund does not pay compensation directly to Trustees or officers of the fund who are also officers of the investment adviser, all of whom receive remuneration for their services to the fund from MFS. Certain officers and Trustees of the fund are officers or directors of MFS and MFSC.

Other – This fund and certain other funds managed by MFS (the funds) have entered into a service agreement (the ISO Agreement) which provides for payment of fees solely by the funds to Tarantino LLC in return for the provision of services of an Independent Senior Officer (ISO) for the funds. Frank L. Tarantino serves as the ISO and is an officer of the funds and the sole member of Tarantino LLC. The funds can terminate the ISO Agreement with Tarantino LLC at any time under the terms of the ISO Agreement. For the six months ended May 31, 2015, the fee paid by the fund under this agreement was $247 and is included in “Miscellaneous” expense in the Statement of Operations. MFS has agreed to bear all expenses associated with office space, other administrative support, and supplies provided to the ISO.

The fund invests in the MFS Institutional Money Market Portfolio which is managed by MFS and seeks current income consistent with preservation of capital and liquidity. Income earned on this investment is included in “Dividends from underlying affiliated funds” in the Statement of Operations. This money market fund does not pay a management fee to MFS.

(4) Portfolio Securities

For the six months ended May 31, 2015, purchases and sales of investments, other than short-term obligations, aggregated $23,419,072 and $26,777,983, respectively.

(5) Shares of Beneficial Interest

The fund’s Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest. The fund reserves the right to repurchase shares of beneficial interest of the fund subject to Trustee approval. During the six months ended May 31, 2015 and the year ended November 30, 2014, the fund did not repurchase any shares. Other transactions in fund shares were as follows:

 

     Six months ended
5/31/15
     Year ended
11/30/14
 
     Shares      Amount      Shares      Amount  
Shares issued to shareholders in
reinvestment of distributions
             $—         6,697         $30,405   

(6) Line of Credit

The fund and certain other funds managed by MFS participate in a $1.25 billion unsecured committed line of credit, subject to a $1 billion sublimit, provided by a syndication of banks under a credit agreement. Borrowings may be made for temporary financing needs. Interest is charged to each fund, based on its borrowings, generally at a rate equal to the higher of the Federal Reserve funds rate or one month

 

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LIBOR plus an agreed upon spread. A commitment fee, based on the average daily, unused portion of the committed line of credit, is allocated among the participating funds at the end of each calendar quarter. In addition, the fund and other funds managed by MFS have established unsecured uncommitted borrowing arrangements with certain banks for temporary financing needs. Interest is charged to each fund, based on its borrowings, at a rate equal to the Federal Reserve funds rate plus an agreed upon spread. For the six months ended May 31, 2015, the fund’s commitment fee and interest expense were $237 and $0, respectively, and are included in “Miscellaneous” expense in the Statement of Operations.

(7) 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
     1,838,375         26,309,320         (23,395,261      4,752,434   
Underlying Affiliated Fund    Realized
Gain (Loss)
     Capital Gain
Distributions
     Dividend
Income
     Ending
Value
 
MFS Institutional Money
Market Portfolio
     $—         $—         $1,725         $4,752,434   

(8) Preferred Shares

The fund has 156 shares issued and outstanding of Auction Rate Preferred Shares (ARPS), series F. Dividends are cumulative at a rate that is reset every seven days for the series through an auction process. If the ARPS are unable to be remarketed on a remarketing date as part of the auction process, the fund would be required to pay the maximum applicable rate on ARPS to holders of such shares for successive dividend periods until such time when the shares are successfully remarketed. The maximum rate on ARPS rated aa3/AA- or better is equal to 110% of the higher of (i) the Taxable Equivalent of the Short-Term Municipal Bond Rate or (ii) the “AA” Composite Commercial Paper Rate.

Since February 2008, regularly scheduled auctions for ARPS issued by closed end funds, including this fund, have consistently failed because of insufficient demand (bids to buy shares) to meet the supply (shares offered for sale) at each auction. In a failed auction, ARPS holders cannot sell their shares tendered for sale. While repeated auction failures have affected the liquidity for ARPS, they do not constitute a default or automatically alter the credit quality of the ARPS, and ARPS holders have continued to receive dividends at the previously defined “maximum rate”. During the six months ended May 31, 2015, the ARPS dividend rates ranged from 0.09% to 0.21% for series F. For the six months ended May 31, 2015, the average dividend rate was 0.13% for series F. These developments with respect to ARPS do not affect the management or investment policies of the fund. However, one implication of these auction failures for common shareholders is that the fund’s cost of leverage will be higher than it

 

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otherwise would have been had the auctions continued to be successful. As a result, the fund’s future common share earnings may be lower than they otherwise would have been.

The fund pays an annual service fee to broker-dealers with customers who are beneficial owners of the ARPS. The service fee is equivalent to 0.25% of the applicable ARPS liquidation value while the ARPS auctions are successful or to 0.15% or less, varying by broker-dealer, while the auctions are failing. The outstanding ARPS are redeemable at the option of the fund in whole or in part at the liquidation preference of $25,000 per share, plus accumulated and unpaid dividends. The ARPS are also subject to mandatory redemption if certain requirements relating to its asset maintenance coverage are not satisfied.

In addition to ARPS, the fund has 2,844 shares issued and outstanding of Variable Rate Municipal Term Preferred Shares (VMTPS), series 2016/9. The outstanding VMTPS are redeemable at the option of the fund in whole or in part at the liquidation preference of $25,000 per share, plus accumulated and unpaid dividends, but generally solely for the purpose of decreasing the leverage of the fund. The VMTPS are subject to a mandatory term redemption date of September 30, 2016 unless extended through negotiation with the private investors. There is no assurance that the term of the VMTPS will be extended or that the VMTPS will be replaced with any other preferred shares or other form of leverage upon the redemption of the VMTPS. Six months prior to the term redemption date of the VMTPS, the fund is required to begin to segregate liquid assets with the fund’s custodian to fund the redemption. Dividends on the VMTPS are cumulative and are set weekly to a fixed spread against the Securities Industry and Financial Markets Association Municipal Swap Index. During the six months ended May 31, 2015, the VMTPS dividend rates ranged from 1.27% to 1.36%. For the six months ended May 31, 2015, the average dividend rate was 1.29%.

In the fund’s Statement of Assets and Liabilities, the VMTPS aggregate liquidation preference is shown as a liability since they have a stated mandatory redemption date. Dividends paid to VMTPS are treated as interest expense and recorded as incurred. For the six months ended May 31, 2015, interest expense related to VMTPS amounted to $458,993 and is included in “Interest expense” in the Statement of Operations. Costs directly related to the issuance of the VMTPS are considered debt issuance costs which have been deferred and are being amortized into expense over the life of the VMTPS. The period-end carrying value for the VMTPS in the fund’s Statement of Assets and Liabilities is its liquidation value which approximates its fair value and its fair value would be considered level 2 under the fair value hierarchy.

Under the terms of a purchase agreement between the fund and the investor in VMTPS, there are investment-related requirements that are in various respects more restrictive than those to which the fund is otherwise subject in accordance with its investment objectives and policies. In addition, the fund is subject to certain restrictions on its investments imposed by guidelines of the rating agencies that rate the ARPS and the VMTPS, which guidelines may be changed by the applicable rating agency, in its sole discretion, from time to time. These guidelines may impose asset coverage or portfolio composition requirements that are more stringent than those imposed on the

 

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fund by the Investment Company Act of 1940 (the “1940 Act”). Such restrictions may limit the investment flexibility that might otherwise be pursued by the fund if the VMTPS were not outstanding.

The fund is required to maintain certain asset coverage with respect to the ARPS and VMTPS as defined in the fund’s governing documents and the 1940 Act and, as such, is not permitted to declare common share dividends unless the fund’s ARPS and VMTPS have a minimum asset coverage ratio of 200% after declaration of the common share dividends. With respect to the payment of dividends and as to the distribution of assets of the fund, ARPS and VMTPS rank on parity with each other, and are both senior in priority to the fund’s outstanding common shares. To the extent that investments are purchased by the fund with proceeds from the issuance of preferred shares, including ARPS and VMTPS, the fund’s net asset value will increase or decrease at a greater rate than a comparable unleveraged fund. Changes in the value of the fund’s portfolio will be borne entirely by the common shareholders. It is possible that the fund will be required to sell assets at a time when it may be disadvantageous to do so in order to redeem preferred shares to comply with asset coverage or other restrictions including those imposed by the rating agencies that rate the preferred shares. There is no assurance that the fund’s leveraging strategy will be successful.

 

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees and Shareholders of MFS High Yield Municipal Trust:

We have reviewed the accompanying statement of assets and liabilities of MFS High Yield Municipal Trust (the Fund), including the portfolio of investments, as of May 31, 2015, and the related statements of operations, changes in net assets and cash flows and the financial highlights for the six-month period ended May 31, 2015. These interim financial statements and financial highlights are the responsibility of the Fund’s management.

We conducted our review in accordance with the standards of the Public Company Accounting Oversight Board (United States). A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with the standards of the Public Company Accounting Oversight Board (United States), the objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express such an opinion.

Based on our review, we are not aware of any material modifications that should be made to the accompanying interim financial statements and financial highlights for them to be in conformity with U.S. generally accepted accounting principles.

We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the statement of changes in net assets for the year ended November 30, 2014 and the financial highlights for each of the five years in the period ended November 30, 2014, and in our report dated January 15, 2015, we expressed an unqualified opinion on such statement of changes in net assets and financial highlights.

 

LOGO

Boston, Massachusetts

July 16, 2015

 

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PROXY VOTING POLICIES AND INFORMATION

MFS votes proxies on behalf of the fund pursuant to proxy voting policies and procedures that are available without charge, upon request, by calling 1-800-225-2606, by visiting the Proxy Voting section of mfs.com or by visiting the SEC’s Web site at http://www.sec.gov.

Information regarding how the fund voted proxies relating to portfolio securities during the twelve-month period ended June 30, 2014 is available without charge by visiting the Proxy Voting section of mfs.com or by visiting the SEC’s Web site at http://www.sec.gov.

QUARTERLY PORTFOLIO DISCLOSURE

The fund will file a complete schedule of portfolio holdings with the Securities and Exchange Commission (the Commission) for the first and third quarters of each fiscal year on Form N-Q. A shareholder can obtain the quarterly portfolio holdings report at mfs.com. The fund’s Form N-Q is also available on the EDGAR database on the Commission’s Internet Web site at http://www.sec.gov, and may be reviewed and copied at the:

Public Reference Room

Securities and Exchange Commission

100 F Street, NE, Room 1580

Washington, D.C. 20549

Information on the operation of the Public Reference Room may be obtained by calling the Commission at 1-800-SEC-0330. Copies of the Fund’s Form N-Q also may be obtained, upon payment of a duplicating fee, by electronic request at the following e-mail address: publicinfo@sec.gov or by writing the Public Reference Section at the above address.

FURTHER INFORMATION

From time to time, MFS may post important information about the fund or the MFS funds on the MFS web site (mfs.com). This information is available by visiting the “Market Commentary” and “Announcements” sub sections in the “Market Outlooks” section of mfs.com or by clicking on the fund’s name under “Closed-End Funds” in the “Products” section of mfs.com.

Additional information about the fund (e.g. performance, dividends and the fund’s price history) is also available by clicking on the fund’s name under “Closed-End Funds” in the “Products” section of mfs.com.

 

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LOGO

 

CONTACT US

TRANSFER AGENT, REGISTRAR, AND

DIVIDEND DISBURSING AGENT

CALL

1-800-637-2304

9 a.m. to 5 p.m. Eastern time

WRITE

Computershare Trust Company, N.A.

P.O. Box 43078

Providence, RI 02940-3078

 

New York Stock Exchange Symbol: CMU


Table of Contents
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 each series of the Registrant is included as part of the report to shareholders of such series under Item 1 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.


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ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

MFS High Yield Municipal 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
 

12/01/14-12/31/14

     0         N/A         0         2,829,969   

1/01/15-1/31/15

     0         N/A         0         2,829,969   

2/01/15-2/28/15

     0         N/A         0         2,829,969   

3/01/15-3/31/15

     0         N/A         0         2,829,969   

4/01/15-4/30/15

     0         N/A         0         2,829,969   

5/01/15-5/31/15

     0         N/A         0         2,829,969   
  

 

 

       

 

 

    

Total

     0            0      
  

 

 

       

 

 

    

Note: The Board of Trustees approves procedures to repurchase shares annually. The notification to shareholders of the program is part of the semi-annual and annual reports sent to shareholders. These annual programs begin on March 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 (March 1 through the following February 28) to 10% of the Registrant’s outstanding shares as of the first day of the plan year (March 1). The aggregate number of shares available for purchase for the March 1, 2015 plan year is 2,829,969.

 

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.


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(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 second fiscal quarter 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. EXHIBITS.

 

(a) File the exhibits listed below as part of this form. Letter or number the exhibits in the sequence indicated.

 

  (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.

 

  (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.

 

(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.


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Notice

A copy of the Agreement and 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.


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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 HIGH YIELD MUNICIPAL TRUST

 

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

Date: July 16, 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: July 16, 2015

 

By (Signature and Title)*    DAVID L. DILORENZO
 

David L. DiLorenzo, Treasurer

(Principal Financial Officer and Accounting Officer)

Date: July 16, 2015

 

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