UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-4992

MFS HIGH YIELD MUNICIPAL TRUST

(Exact name of registrant as specified in charter)

500 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Susan S. Newton

Massachusetts Financial Services Company

500 Boylston Street

Boston, Massachusetts 02116

(Name and address of agents for service)

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

Date of fiscal year end: November 30

Date of reporting period: August 31, 2012

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ITEM 1.

SCHEDULE OF INVESTMENTS.

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QUARTERLY REPORT

August 31, 2012

 

 

MFS® HIGH YIELD

MUNICIPAL TRUST

 

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PORTFOLIO OF INVESTMENTS

8/31/12 (unaudited)

The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.

 

Issuer		Shares/Par				Value ($)
Municipal Bonds - 150.8%
Airport Revenue - 3.1%
Dallas Fort Worth, TX, International Airport Rev. Improvement, “B”, AGM, 5%, 2025		$	3,000,000			$	3,112,620
Houston, TX, Airport System Rev., “B”, 5%, 2026			175,000				202,673
Houston, TX, Airport System Rev., Subordinate Lien, “A”, 5%, 2031			155,000				172,265
Port Authority NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 2036			255,000				292,783
Port Authority NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 2042			290,000				332,529
						$	4,112,870
General Obligations - General Purpose - 3.8%
Chicago, IL, Metropolitan Water Reclamation District-Greater Chicago, “C”, 5%, 2030		$	780,000			$	913,232
Commonwealth of Puerto Rico, Public Improvement, “A”, 5.5%, 2039			960,000				999,082
Las Vegas Valley, NV, Water District, “C”, 5%, 2029			925,000				1,073,916
Luzerne County, PA, AGM, 6.75%, 2023			455,000				538,347
State of California, 5.25%, 2028			335,000				396,208
State of California, 5.25%, 2030			790,000				914,939
State of Hawaii, “DZ”, 5%, 2031			200,000				238,816
						$	5,074,540
General Obligations - Improvement - 0.1%
Guam Government, “A”, 7%, 2039		$	90,000			$	101,273
General Obligations - Schools - 2.5%
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2029		$	2,195,000			$	1,136,944
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2031			275,000				128,876
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2032			280,000				124,597
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2033			560,000				235,850
Chicago, IL, Board of Education, “A”, 5%, 2041			100,000				108,699
Irving, TX, Independent School District, Capital Appreciation, “A”, PSF, 0%, 2016			1,000,000				974,900
Los Angeles, CA, Unified School District, “D”, 5%, 2034			165,000				186,511
San Jacinto, TX, Community College District, 5.125%, 2038			430,000				470,132
						$	3,366,509
Healthcare Revenue - Hospitals - 35.8%
Allegheny County, PA, Hospital Development Authority Rev. (University of Pittsburgh Medical Center), “A”, 5.375%, 2029		$	440,000			$	514,043
Allegheny County, PA, Hospital Development Authority Rev. (West Penn Allegheny Health), “A”, 5%, 2028			435,000				367,123
Allegheny County, PA, Hospital Development Authority Rev. (West Penn Allegheny Health), “A”, 5.375%, 2040			625,000				520,613
Atchison, KS, Hospital Rev. (Atchison Hospital Assn.), “A”, 6.75%, 2030			320,000				347,968
Brunswick, GA, Hospital Authority Rev. (Glynn-Brunswick Memorial Hospital), 5.625%, 2034			170,000				189,973
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.5%, 2040			590,000				639,908
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.75%, 2040			130,000				143,216
California Health Facilities Financing Authority Rev. (St. Joseph Health System), “A”, 5.75%, 2039			185,000				211,374
California Health Facilities Financing Authority Rev. (Sutter Health), “B”, 5.875%, 2031			660,000				791,644
California Statewide Communities Development Authority Rev. (Catholic Healthcare West), “K”, ASSD GTY, 5.5%, 2041			625,000				663,156
Cullman County, AL, Health Care Authority (Cullman Regional Medical Center), “A”, 6.75%, 2029			60,000				64,870
Delaware County, PA, Authority Rev. (Mercy Health Corp.), ETM, 6%, 2016 (c)			965,000				1,076,699
Delaware County, PA, Authority Rev. (Mercy Health Corp.), ETM, 6%, 2026 (c)			500,000				565,445
Gallia County, OH, Hospital Facilities Rev. (Holzer Health Systems), “A”, 8%, 2042			945,000				1,050,925
Harris County, TX, Health Facilities Development Corp., Hospital Rev. (Memorial Hermann Healthcare Systems), “B”, 7.25%, 2035			205,000				256,189
Idaho Health Facilities Authority Rev. (IHC Hospitals, Inc.), ETM, 6.65%, 2021 (c)			2,750,000				3,769,480
Illinois Finance Authority Rev. (Kewanee Hospital), 5.1%, 2031			385,000				384,523
Illinois Finance Authority Rev. (Provena Health), “A”, 7.75%, 2034			485,000				630,151
Illinois Finance Authority Rev. (Silver Cross Hospital & Medical Centers), 6.875%, 2038			485,000				580,792

 

1

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Municipal Bonds - continued
Healthcare Revenue - Hospitals - continued
Indiana Health & Educational Facilities Finance Authority Rev. (Sisters of St. Francis Health Services, Inc.), “E”, AGM, 5.25%, 2041		$	660,000			$	704,774
Indiana Health & Educational Facilities Finance Authority, Hospital Rev. (Clarian Health), “A”, 5%, 2039			1,745,000				1,814,783
Indiana Health & Educational Facilities Finance Authority, Hospital Rev. (Community Foundation of Northwest Indiana), 5.5%, 2037			945,000				1,005,877
Indiana Health & Educational Financing Authority Rev. (Community Foundation of Northwest Indiana ), “A”, 6%, 2034			425,000				444,163
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.25%, 2031			300,000				347,553
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.375%, 2041			185,000				214,535
Johnson City, TN, Health & Educational Facilities Board Hospital Rev. (Mountain States Health Alliance), “A”, 5.5%, 2031			1,120,000				1,200,203
Johnson City, TN, Health & Educational Facilities Board Hospital Rev. (Mountain States Health Alliance), “A”, 5.5%, 2036			410,000				434,838
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), “A”, 5.375%, 2024			300,000				344,310
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), “A”, 5.625%, 2027			100,000				115,600
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Owensboro Medical Health System), “A”, 6.375%, 2040			570,000				674,669
Lake County, OH, Hospital Facilities Rev. (Lake Hospital Systems, Inc.), 5.625%, 2029			435,000				474,685
Laramie County, WY, Hospital Rev. (Cheyenne Regional Medical Center Project), 5%, 2032			40,000				44,381
Laramie County, WY, Hospital Rev. (Cheyenne Regional Medical Center Project), 5%, 2037			100,000				109,159
Laramie County, WY, Hospital Rev. (Cheyenne Regional Medical Center Project), 5%, 2042			195,000				211,210
Lebanon County, PA, Health Facilities Authority Rev. (Good Samaritan Hospital), 5.9%, 2028			210,000				211,949
Louisiana Public Facilities Authority Hospital Rev. (Lake Charles Memorial Hospital), 6.375%, 2034			880,000				945,639
Louisville & Jefferson County, KY, Metro Government Health Facilities Rev. (Jewish Hospital & St. Mary’s Healthcare), 6.125%, 2018 (c)			1,315,000				1,680,517
Louisville & Jefferson County, KY, Metropolitan Government Healthcare Systems Rev. (Norton Healthcare, Inc.), 5.25%, 2036			1,265,000				1,324,291
Lufkin, TX, Health Facilities Development Corp. Rev. (Memorial Health System), 5.5%, 2037			60,000				61,733
Martin County, FL, Health Facilities Authority Rev. (Martin Memorial Medical Center), 5.5%, 2042			300,000				328,986
Maryland Health & Higher Educational Facilities Authority Rev. (Anne Arundel Health System, Inc.), “A”, 6.75%, 2039			735,000				893,179
Massachusetts Development Finance Agency Rev. (Tufts Medical Center), “I”, 7.25%, 2032			445,000				550,367
Massachusetts Health & Educational Facilities Authority Rev. (Jordan Hospital), “E”, 6.75%, 2033			250,000				255,065
Massachusetts Health & Educational Facilities Authority Rev. (Milford-Whitinsville Hospital), “C”, 5.25%, 2018			500,000				500,275
Massachusetts Health & Educational Facilities Authority Rev. (Saints Memorial Medical Center), “A”, 6%, 2023			260,000				260,913
Michigan Finance Authority Rev. (Trinity Health Corp.), 5%, 2035			1,000,000				1,122,490
Monroe County, PA, Hospital Authority Rev. (Pocono Medical Center), “A”, 5%, 2032			55,000				59,152
Monroe County, PA, Hospital Authority Rev. (Pocono Medical Center), “A”, 5%, 2041			35,000				36,863
Montgomery, AL, Medical Clinic Board Health Care Facility Rev. (Jackson Hospital & Clinic), 5.25%, 2031			125,000				128,561
Montgomery, AL, Medical Clinic Board Health Care Facility Rev. (Jackson Hospital & Clinic), 5.25%, 2036			825,000				843,150
New Hampshire Business Finance Authority Rev. (Elliot Hospital Obligated Group), “A”, 6%, 2027			585,000				682,648
New Hampshire Health & Education Facilities Authority Rev. (Memorial Hospital at Conway), 5.25%, 2021			530,000				548,651
New Hanover County, NC, Hospital Rev., AGM, 5.125%, 2031			895,000				994,238
New Jersey Health Care Facilities, Financing Authority Rev. (St. Peter’s University Hospital), 5.75%, 2037			545,000				580,360
New Mexico Hospital Equipment Loan Council, Hospital Rev. (Rehoboth McKinley Christian Hospital), “A”, 5%, 2017			200,000				199,648
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.5%, 2030			190,000				230,048
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.25%, 2035			115,000				134,612
Norman, OK, Regional Hospital Authority Rev., 5%, 2027			155,000				158,912
Norman, OK, Regional Hospital Authority Rev., 5.375%, 2029			90,000				92,415
Norman, OK, Regional Hospital Authority Rev., 5.375%, 2036			235,000				238,826
Norman, OK, Regional Hospital Authority Rev., 5.125%, 2037			415,000				418,536
Olympia, WA, Healthcare Facilities Authority Rev. (Catholic Health Initiatives), “D”, 6.375%, 2036			1,095,000				1,311,405
Palomar Pomerado Health Care District, CA, COP, 6.75%, 2039			890,000				997,379
Rhode Island Health & Educational Building Corp. Rev., Hospital Financing (Lifespan Obligated Group), “A”, ASSD GTY, 7%, 2039			660,000				779,863
Royal Oak, MI, Hospital Finance Authority Rev. (William Beaumont Hospital), 8.25%, 2039			485,000				624,796
Salida, CO, Hospital District Rev., 5.25%, 2036			694,000				705,652
Skagit County, WA, Public Hospital District No. 001 Rev. (Skagit Valley Hospital), 5.75%, 2032			90,000				95,318
South Dakota Health & Educational Facilities Authority Rev. (Avera Health), “A”, 5%, 2042			105,000				113,462
South Lake County, FL, Hospital District Rev. (South Lake Hospital), 6.375%, 2034			250,000				263,373

 

2

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Municipal Bonds - continued
Healthcare Revenue - Hospitals - continued
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6%, 2029		$	85,000			$	97,534
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6.25%, 2039			125,000				143,278
Southeastern Ohio Port Authority, Hospital Facilities Rev., 5.75%, 2032			300,000				312,216
Southeastern Ohio Port Authority, Hospital Facilities Rev., 6%, 2042			245,000				255,050
Sullivan County, TN, Health, Educational & Housing Facilities Board Hospital Rev. (Wellmont Health Systems Project), “C”, 5.25%, 2036			1,085,000				1,132,480
Sumner County, TN, Health, Educational & Housing Facilities Board Rev. (Sumner Regional Health Systems, Inc.), “A”, 5.5%, 2046 (d)			375,000				4,688
Tyler, TX, Health Facilities Development Corp. (East Texas Medical Center), “A”, 5.25%, 2032			230,000				245,129
Tyler, TX, Health Facilities Development Corp. (East Texas Medical Center), “A”, 5.375%, 2037			190,000				199,608
Virginia Small Business Financing Authority, Hospital Rev. (Wellmont Health Project), “A”, 5.25%, 2037			470,000				496,099
Washington Health Care Facilities Authority Rev. (Multicare Health Systems), “B”, ASSD GTY, 6%, 2039			440,000				512,565
Washington Health Care Facilities Authority Rev. (Providence Health & Services), “A”, 5%, 2033			1,105,000				1,239,633
West Contra Costa, CA, Healthcare District, AMBAC, 5.5%, 2029			105,000				108,346
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), 6.4%, 2033			350,000				358,222
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 2026			200,000				224,454
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 2028			60,000				66,320
Wisconsin Health & Educational Facilities Authority Rev. (Fort Healthcare, Inc.), 6.1%, 2034			750,000				795,555
Wisconsin Health & Educational Facilities Authority Rev. (Meritor Hospital), “A”, 5.5%, 2031			725,000				814,559
Wisconsin Health & Educational Facilities Authority Rev. (Meritor Hospital), “A”, 6%, 2041			490,000				564,539
Wisconsin Health & Educational Facilities Authority Rev. (Wheaton Franciscan Services), 5.25%, 2034			935,000				976,168
Wisconsin Health & Educational Facilities Authority Rev. (Wheaton Franciscan Services), “A”, 5.25%, 2025			390,000				395,753
						$	48,224,300
Healthcare Revenue - Long Term Care - 18.5%
Abilene, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement Systems, Inc.), “A”, 5.9%, 2025		$	723,000			$	544,571
Abilene, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement Systems, Inc.), “A”, 7%, 2033			200,000				150,526
Bucks County, PA, Industrial Development Authority Retirement Community Rev. (Ann’s Choice, Inc.), “A”, 6.125%, 2025			500,000				506,540
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 2027			90,000				91,956
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 2037			120,000				120,580
California Statewide Communities Development Authority Rev. (American Baptist Homes of the West), 6.25%, 2039			215,000				233,628
Chartiers Valley, PA, Industrial & Commercial Development Authority (Friendship Village), “A”, 5.75%, 2020			1,000,000				1,001,800
Chartiers Valley, PA, Industrial & Commercial Development Authority Rev. (Asbury Health Center), 6.375%, 2024			1,000,000				1,000,740
Colorado Health Facilities Authority Rev. (Christian Living Communities Project), “A”, 5.75%, 2037			475,000				489,207
Colorado Health Facilities Authority Rev. (Covenant Retirement Communities, Inc.), 5%, 2035			1,100,000				1,133,011
Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries), 6.125%, 2029			695,000				777,524
Fulton County, GA, Residential Care Facilities (Canterbury Court), “A”, 6.125%, 2026			500,000				513,775
Hawaii Department of Budget & Finance, Special Purpose Rev. (15 Craigside Project), “A”, 9%, 2044			140,000				167,110
Houston, TX, Health Facilities Development Corp. (Buckingham Senior Living Community), “A”, 7%, 2014 (c)			500,000				551,900
Howard County, MD, Retirement Facilities Rev. (Vantage House Corp.), “A”, 5.25%, 2033			200,000				194,118
Illinois Finance Authority Rev. (Evangelical Retirement Homes of Greater Chicago, Inc.), 7.25%, 2045			850,000				935,442
Illinois Finance Authority Rev. (Smith Village), “A”, 6.25%, 2035			1,000,000				1,016,320
Illinois Health Facilities Authority Rev. (Smith Crossing), “A”, 7%, 2032			525,000				530,408
Indiana Health Facilities Financing Authority Rev. (Hoosier Care, Inc.), “A”, 7.125%, 2034			955,000				955,229
Iowa Finance Authority, Health Care Facilities Rev. (Care Initiatives), “B”, 5.75%, 2018			365,000				365,767
Iowa Finance Authority, Health Care Facilities Rev. (Care Initiatives), “B”, 5.75%, 2028			1,475,000				1,477,257
Kentucky Economic Development Finance Authority Health Facilities Rev. (AHF/Kentucky-Iowa, Inc.), 8%, 2029			351,000				359,385
La Verne, CA, COP (Brethren Hillcrest Homes), “B”, 6.625%, 2025			525,000				535,427
Massachusetts Development Finance Agency Rev. (Adventcare), “A”, 6.75%, 2037			695,000				730,660
Massachusetts Development Finance Agency Rev. (Alliance Health of Brockton, Inc.), “A”, 7.1%, 2032			995,000				995,050
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 2031			130,267				106,002
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 2039			31,732				24,363

 

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Municipal Bonds - continued
Healthcare Revenue - Long Term Care - continued
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-2”, 5.5%, 2046		$	8,656			$	5,777
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), Capital Appreciation, “B”, 0%, 2056			43,059				573
Massachusetts Development Finance Agency Rev. (Loomis Communities, Inc.), “A”, 5.625%, 2015			120,000				120,145
Massachusetts Development Finance Agency Rev. (Loomis Communities, Inc.), “A”, 6.9%, 2032			125,000				127,649
Massachusetts Development Finance Agency Rev. (The Groves in Lincoln), “A”, 7.75%, 2039			80,000				43,306
Massachusetts Development Finance Agency Rev. (The Groves in Lincoln), “A”, 7.875%, 2044			115,000				62,237
Montgomery County, PA, Industrial Development Authority Retirement Community Rev. (ACTS Retirement—Life Communities, Inc.), 5%, 2028			350,000				379,334
Montgomery County, PA, Industrial Development Authority Retirement Community Rev. (ACTS Retirement—Life Communities, Inc.), 5%, 2029			130,000				140,135
Montgomery County, PA, Industrial Development Authority Rev. (Whitemarsh Continuing Care), 6.125%, 2028			150,000				152,715
Montgomery County, PA, Industrial Development Authority Rev. (Whitemarsh Continuing Care), 6.25%, 2035			600,000				609,828
New Jersey Economic Development Authority Rev. (Lions Gate), “A”, 5.75%, 2025			400,000				406,988
New Jersey Economic Development Authority Rev. (Lions Gate), “A”, 5.875%, 2037			300,000				301,548
New Jersey Economic Development Authority Rev. (Seabrook Village, Inc.), 5.25%, 2026			500,000				506,520
New Jersey Economic Development Authority Rev. (Seabrook Village, Inc.), 5.25%, 2036			500,000				503,885
Norfolk, VA, Redevelopment & Housing Authority Rev. (Fort Norfolk Retirement Community), “A”, 6.125%, 2035			195,000				196,266
Pell City, AL, Special Care Facilities, Financing Authority Rev. (Noland Health Services, Inc.), 5%, 2039			175,000				185,890
Shelby County, TN, Health, Educational & Housing Facilities Board Rev. (Germantown Village), “A”, 7.25%, 2034			225,000				226,888
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), “A”, 6%, 2032			199,626				154,666
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), “A”, 6%, 2047			185,367				134,200
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), Capital Appreciation, “B”, 0%, 2047			85,554				3,083
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), Capital Appreciation, “B”, 0%, 2047			79,443				2,862
St. John’s County, FL, Industrial Development Authority Rev. (Presbyterian Retirement), “A”, 6%, 2045			610,000				680,559
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Air Force Village), 6.125%, 2029			550,000				610,049
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Air Force Village), 6.375%, 2044			415,000				453,267
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Stayton at Museum Way), 8.25%, 2044			770,000				860,367
Tempe, AZ, Industrial Development Authority Rev. (Friendship Village), “A”, 6.25%, 2042			90,000				96,853
Tempe, AZ, Industrial Development Authority Rev. (Friendship Village), “A”, 6.25%, 2046			70,000				75,223
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7%, 2030			130,000				152,547
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7.125%, 2040			195,000				227,423
Westmoreland County, PA, Industrial Development Authority Rev. (Redstone Retirement Community), “A”, 5.875%, 2032			600,000				611,418
Westmoreland County, PA, Industrial Development Retirement Authority Rev. (Redstone Retirement Community), “A”, 5.75%, 2026			1,250,000				1,289,425
						$	24,829,922
Healthcare Revenue - Other - 0.4%
Massachusetts Health & Educational Facilities Authority Rev. (Civic Investments, Inc.), “A”, 9%, 2012 (c)		$	450,000			$	467,973
Industrial Revenue - Airlines - 3.4%
Clayton County, GA, Development Authority Special Facilities Rev. (Delta Airlines, Inc.), “A”, 8.75%, 2029		$	200,000			$	243,584
Clayton County, GA, Development Authority Special Facilities Rev. (Delta Airlines, Inc.), “B”, 9%, 2035			150,000				164,703
Denver, CO, City & County Airport Rev. (United Airlines), 5.75%, 2032			355,000				367,581
Houston, TX, Airport Systems Rev., Special Facilities (Continental Airlines, Inc. Terminal E project), 6.75%, 2029			155,000				155,536
Houston, TX, Airport Systems Rev., Special Facilities (Continental Airlines, Inc. Terminal E project), 7%, 2029			200,000				200,954
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 4.875%, 2019			505,000				513,252
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.125%, 2023			365,000				368,825
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.25%, 2029 (b)			365,000				370,858
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 9%, 2033			1,250,000				1,325,388
New York, NY, City Industrial Development Agencies Rev. (American Airlines, Inc.), 7.75%, 2031 (d)(q)			385,000				404,389
New York, NY, City Industrial Development Agency Special Facility Rev. (American Airlines, Inc.), “B”, 8.5%, 2028 (d)(q)			500,000				507,895
						$	4,622,965
Industrial Revenue - Chemicals - 0.8%
Brazos River, TX, Harbor Navigation District (Dow Chemical Co.), “B-2”, 4.95%, 2033		$	400,000			$	430,228
Port of Bay, TX, City Authority (Hoechst Celanese Corp.), 6.5%, 2026			660,000				660,601
						$	1,090,829

 

4

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Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Municipal Bonds - continued
Industrial Revenue - Environmental Services - 0.9%
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Republic Services, Inc.), “B”, 5.25%, 2023 (b)		$	135,000			$	155,399
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Waste Management, Inc.), “C”, 5.125%, 2023			655,000				710,557
Maine Finance Authority Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), 6.25%, 2025 (b)			360,000				365,911
						$	1,231,867
Industrial Revenue - Other - 1.5%
Annawan, IL, Tax Increment Rev. (Patriot Renewable Fuels LLC), 5.625%, 2018		$	280,000			$	257,398
California Statewide Communities Development Authority Facilities (Microgy Holdings Project), 9%, 2038 (a)(d)			50,491				505
Gulf Coast, TX, Industrial Development Authority Rev. (CITGO Petroleum Corp.), 8%, 2028			375,000				375,334
Houston, TX, Industrial Development Corp. (United Parcel Service, Inc.), 6%, 2023			435,000				416,417
New Jersey Economic Development Authority Rev. (GMT Realty LLC), “B”, 6.875%, 2037			1,000,000				1,005,590
						$	2,055,244
Industrial Revenue - Paper - 2.7%
Beauregard Parish, LA (Boise Cascade Corp.), 6.8%, 2027		$	1,000,000			$	1,001,880
Courtland, AL, Industrial Development Board Solid Waste Disposal Rev. (Champion International Corp.), 6%, 2029			1,000,000				1,004,070
Escambia County, FL, Environmental Improvement Rev. (International Paper Co.), “A”, 5%, 2026			980,000				980,510
Escambia County, FL, Environmental Improvement Rev. (International Paper Co.), “A”, 4.75%, 2030			290,000				290,139
Phenix City, AL, Industrial Development Board Environmental Improvement Rev., “A” (Mead Westvaco Coated Board Project), 6.35%, 2035			400,000				401,344
						$	3,677,943
Miscellaneous Revenue - Entertainment & Tourism - 1.0%
Agua Caliente Band of Cahuilla Indians, CA, Rev., 5.6%, 2013 (n)		$	175,000			$	176,435
Brooklyn, NY, Arena Local Development Corp. (Barclays Center Project), 6%, 2030			135,000				157,293
Brooklyn, NY, Arena Local Development Corp. (Barclays Center Project), 6.25%, 2040			85,000				96,908
Cow Creek Band of Umpqua Tribe of Indians, OR, “C”, 5.625%, 2026 (n)			650,000				598,605
Seminole Tribe, FL, Special Obligation Rev., “A”, 5.25%, 2027 (n)			280,000				291,992
						$	1,321,233
Miscellaneous Revenue - Other - 4.0%
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, SYNCORA, 5.25%, 2024		$	305,000			$	322,199
Citizens Property Insurance Corp., FL, “A-1”, 5%, 2019			65,000				74,797
Citizens Property Insurance Corp., FL, “A-1”, 5%, 2020			305,000				352,055
Dallas, TX, Civic Center Convention Complex Rev., ASSD GTY, 5.25%, 2034			845,000				948,132
District of Columbia Rev. (American Society Hematology), 5%, 2036			50,000				54,236
District of Columbia Rev. (American Society Hematology), 5%, 2042			40,000				43,152
Massachusetts Port Authority Facilities Rev. (Conrac Project), “A”, 5.125%, 2041			40,000				43,750
New York Liberty Development Corp., Liberty Rev. (One Bryant Park LLC), 6.375%, 2049			545,000				628,647
New York Liberty Development Corp., Liberty Rev. (World Trade Center Project), 5%, 2044			535,000				590,940
Summit County, OH, Port Authority Building Rev. (Twinsburg Township), “D”, 5.125%, 2025			595,000				596,583
V Lakes Utility District, MS, Water Systems Rev., 7%, 2037			300,000				297,174
Wisconsin Public Finance Authority, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), 5.25%, 2028			1,325,000				1,403,096
						$	5,354,761
Multi-Family Housing Revenue - 4.6%
Broward County, FL, Housing Finance Authority Rev. (Chaves Lakes Apartments Ltd.), “A”, 7.5%, 2040		$	490,000			$	490,211
Capital Trust Agency, FL, Housing Rev. (Atlantic Housing Foundation), “B”, 7%, 2032 (d)(q)			625,000				280,950
Charter Mac Equity Issuer Trust, FHLMC, 6%, 2052 (n)			1,000,000				1,110,000
District of Columbia Housing Finance Agency (Henson Ridge), “E”, FHA, 5.1%, 2037			655,000				672,954
Durham, NC, Durham Housing Authority Rev. (Magnolia Pointe Apartments), 5.65%, 2038			911,152				829,248
El Paso County, TX, Housing Finance Corp. (American Housing Foundation), “C”, 8%, 2032			270,000				271,177
El Paso County, TX, Housing Finance Corp. (American Housing Foundation), “D”, 10%, 2032			275,000				276,141
Mississippi Home Corp., Rev. (Kirkwood Apartments), 6.8%, 2037 (d)(q)			605,000				389,439
MuniMae TE Bond Subsidiary LLC, 5.8%, 2049 (z)			1,000,000				715,450

 

5

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Municipal Bonds - continued
Multi-Family Housing Revenue - continued
Resolution Trust Corp., Pass-Through Certificates, “1993”, 8.5%, 2016 (z)		$	455,481			$	445,228
Wilmington, DE, Multi-Family Housing Rev. (Electra Arms Senior Associates), 6.25%, 2028			755,000				732,146
						$	6,212,944
Parking - 0.3%
Boston, MA, Metropolitan Transit Parking Corp., Systemwide Parking Rev., 5.25%, 2036		$	300,000			$	336,864
Port Revenue - 1.4%
Maryland Economic Development Corp. Rev. (Port America Chesapeake Terminal Project), “B”, 5.75%, 2035		$	285,000			$	308,809
Port Authority NY & NJ, Cons Thirty Seventh, AGM, 5.125%, 2030			1,450,000				1,521,384
						$	1,830,193
Sales & Excise Tax Revenue - 4.7%
Bolingbrook, IL, Sales Tax Rev., 6.25%, 2024		$	500,000			$	317,885
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 2029			165,000				194,019
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 2030			330,000				386,301
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 2031			60,000				70,027
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 2034			630,000				734,536
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 2041			300,000				346,443
Massachusetts Bay Transportation Authority, Sales Tax Rev., “A”, 5%, 2024			1,095,000				1,405,958
Massachusetts School Building Authority, Dedicated Sales Tax Rev., AMBAC, 4.75%, 2032			840,000				917,120
Massachusetts School Building Authority, Dedicated Sales Tax Rev., “B”, 5%, 2032			390,000				463,031
Metropolitan Pier & Exposition Authority, State Tax Rev., Capital Appreciation, ETM, FGIC, 0%, 2014 (c)			1,010,000				998,789
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., “C”, 5.25%, 2041			35,000				36,990
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, 0% to 2016, 6.75% to 2032			460,000				475,645
						$	6,346,744
Single Family Housing - Local - 1.0%
Minneapolis & St. Paul Housing Authority Rev. (City Living), “A-2”, GNMA, 5%, 2038		$	319,457			$	325,440
Pittsburgh, PA, Urban Redevelopment Authority Rev., “C”, GNMA, 4.8%, 2028			1,000,000				1,021,420
						$	1,346,860
Single Family Housing - State - 1.1%
California Housing Finance Agency Rev. (Home Mortgage), “G”, 5.5%, 2042		$	250,000			$	260,713
Colorado Housing & Finance Authority, “A”, 5.5%, 2029			1,045,000				1,070,216
Iowa Finance Authority, Single Family Mortgage Rev., “E”, 5.4%, 2032			135,000				136,040
Kentucky Counties Single Family Mortgage Rev., “A”, NATL, 9%, 2016			5,000				5,001
North Dakota Housing Finance Agency Rev., “A”, 4.85%, 2021			5,000				5,146
						$	1,477,116
Solid Waste Revenue - 0.1%
Pennsylvania Economic Development Financing Authority, Sewer Sludge Disposal Rev. (Philadelphia Biosolids Facility), 6.25%, 2032		$	75,000			$	85,509
State & Agency - Other - 0.4%
Commonwealth of Puerto Rico (Mepsi Campus), “A”, 6.5%, 2037		$	500,000			$	515,820
State & Local Agencies - 3.7%
Dorchester County, SC, School District No. 2, Growth Remedy Opportunity Tax Hike, 5.25%, 2029		$	500,000			$	543,145
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Enhanced, “A”, FGIC, 5%, 2035			110,000				112,703
Guam Government Department of Education (John F. Kennedy High School), “A”, COP, 6.875%, 2040			295,000				322,975
Laurens County, SC, School District No. 55, Installment Purchase Rev., 5.25%, 2030			700,000				735,161
Newberry, SC, Investing in Children’s Education (Newberry County School District Program), 5%, 2030			400,000				418,060
Philadelphia, PA, Municipal Authority Rev., 6.5%, 2034			135,000				156,095
Puerto Rico Public Finance Corp., “E”, ETM, 6%, 2026 (c)			820,000				1,182,899
Puerto Rico Public Finance Corp., “E”, ETM, 6%, 2026 (c)			80,000				113,057

 

6

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Municipal Bonds - continued
State & Local Agencies - continued
Puerto Rico Public Finance Corp., Commonwealth Appropriations, “B”, 6%, 2026		$	225,000			$	260,060
Puerto Rico Public Finance Corp., Commonwealth Appropriations, “B”, 5.5%, 2031			325,000				342,030
Wisconsin General Fund Annual Appropriation Rev., “A”, 5.75%, 2033 (f)			660,000				788,905
						$	4,975,090
Student Loan Revenue - 1.0%
Iowa Student Loan Liquidity Corp., “A-2”, 5.5%, 2025		$	200,000			$	222,616
Iowa Student Loan Liquidity Corp., “A-2”, 5.6%, 2026			200,000				223,058
Iowa Student Loan Liquidity Corp., “A-2”, 5.7%, 2027			20,000				22,350
Iowa Student Loan Liquidity Corp., “A-2”, 5.75%, 2028			370,000				412,643
Massachusetts Educational Financing Authority, Education Loan Rev., “H”, ASSD GTY, 6.35%, 2030			385,000				427,161
Massachusetts Educational Financing Authority, Education Loan Rev., “I-A”, 5.5%, 2022			25,000				28,954
						$	1,336,782
Tax - Other - 1.9%
Dallas County, TX, Flood Control District, 7.25%, 2032		$	750,000			$	760,965
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5%, 2047			360,000				381,269
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5.75%, 2047			370,000				428,919
New Jersey Economic Development Authority Rev., 5%, 2025			135,000				151,754
New Jersey Economic Development Authority Rev., 5%, 2026			65,000				72,723
New Jersey Economic Development Authority Rev., 5%, 2028			25,000				27,666
New Jersey Economic Development Authority Rev., 5%, 2029			25,000				27,558
New York, NY, City Transitional Finance Authority Building Aid Rev., “S-3”, 5.25%, 2039			440,000				489,632
Virgin Islands Public Finance Authority Rev. (Diageo Project), “A”, 6.75%, 2037			205,000				238,860
						$	2,579,346
Tax Assessment - 5.2%
Anne Arundel County, MD, Special Obligation (National Business Park-North Project), 6.1%, 2040		$	140,000			$	151,407
Atlanta, GA, Tax Allocation (Eastside Project), “B”, 5.4%, 2020			500,000				542,205
Capital Region Community Development District, FL, Capital Improvement Rev., “A”, 7%, 2039			225,000				209,059
Celebration Community Development District, FL, “A”, 6.4%, 2034			665,000				676,518
Chicago, IL, Tax Increment Allocation (Pilsen Redevelopment), “B”, 6.75%, 2022			310,000				323,234
Du Page County, IL, Special Service Area No. 31 Special Tax (Monarch Landing Project), 5.625%, 2036			250,000				248,225
Heritage Harbour North Community Development District, FL, Capital Improvement Rev., 6.375%, 2038			315,000				302,132
Homestead, Community Development District, FL, Special Assessment, “A”, 6%, 2037			365,000				259,475
Homestead, Community Development District, FL, Special Assessment, “B”, 5.9%, 2013			140,000				98,707
Huntington Beach, CA, Community Facilities District, Special Tax (Grand Coast Resort), “2000-1”, 6.45%, 2031			500,000				505,495
Lincolnshire, IL, Special Service Area No. 1 (Sedgebrook Project), 6.25%, 2034			250,000				253,243
Main Street Community Development District, FL, “A”, 6.8%, 2038			280,000				268,170
Oakmont Grove Community Development District, FL, “A”, 5.4%, 2038 (a)(d)			300,000				111,000
Ohio County, WV, Commission Tax Increment Rev. (Fort Henry Centre), “A”, 5.85%, 2034			125,000				130,706
Plano, IL, Special Service Area No. 4 (Lakewood Springs Project Unit 5-B), 6%, 2035			1,435,000				1,424,481
Sweetwater Creek Community Development District, FL, Capital Improvement Rev., “A”, 5.5%, 2038 (a)(d)			190,000				78,138
Tuscany Reserve Community Development District, FL, Special Assessment, “B”, 5.25%, 2016			185,000				170,276
West Villages Improvement District, FL, Special Assessment Rev. (Unit of Development No. 3), 5.5%, 2037 (a)(d)			470,000				202,100
Westridge, FL, Community Development District, Capital Improvement Rev., 5.8%, 2037 (a)(d)			960,000				364,800
Yorba Linda, CA, Redevelopment Agency, Tax Allocation Rev., Capital Appreciation, “A”, NATL, 0%, 2024			1,325,000				706,159
						$	7,025,530
Tobacco - 8.4%
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 5.125%, 2024		$	3,270,000			$	2,754,190
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 5.875%, 2047			250,000				201,795
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., “A-1”, 6.25%, 2013 (c)			785,000				819,556
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., “A-1”, 5.75%, 2047			525,000				445,730
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Asset Backed, “A-1”, 5%, 2033			440,000				356,778
Illinois Railsplitter Tobacco Settlement Authority, 6%, 2028			1,365,000				1,599,671
New Jersey Tobacco Settlement Financing Corp., “1-A”, 5%, 2041			3,355,000				2,767,338

 

7

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Municipal Bonds - continued
Tobacco - continued
Rhode Island Tobacco Settlement Authority, 6%, 2023		$	920,000			$	921,426
Suffolk, NY, Tobacco Asset Securitization Corp., Tobacco Settlement, “B”, 5.25%, 2037			80,000				84,747
Tobacco Securitization Authority, Minnesota Tobacco Settlement Rev., “B”, 5.25%, 2031			790,000				888,553
Washington Tobacco Settlement Authority Rev., 6.625%, 2032			500,000				519,125
						$	11,358,909
Toll Roads - 6.3%
E-470 Public Highway Authority, CO, Capital Appreciation, “B”, NATL, 0%, 2018		$	1,500,000			$	1,220,820
Mid-Bay Bridge Authority, FL, Springing Lien Rev., “A”, 7.25%, 2040			445,000				559,886
North Texas Tollway Authority Rev., 6%, 2038			765,000				891,753
North Texas Tollway Authority Rev. (Special Projects System), “D”, 5%, 2031			1,200,000				1,388,832
San Joaquin Hills, CA, Transportation Corridor Agency, Toll Road Rev., Capital Appreciation, “A”, NATL, 0%, 2015			3,000,000				2,765,580
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 5.25%, 2032			285,000				310,775
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 6%, 2037			470,000				537,877
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 5.5%, 2042			755,000				830,077
						$	8,505,600
Universities - Colleges - 9.5%
Allegheny County, PA, Higher Education Building Authority Rev. (Chatham University), “A”, 5%, 2030		$	80,000			$	86,876
Brevard County, FL, Industrial Development Rev. (TUFF Florida Tech LLC Project), 6.75%, 2039			540,000				602,726
California Educational Facilities Authority Rev. (Chapman University), 5%, 2031			145,000				160,189
California Educational Facilities Authority Rev. (University of Southern California), “A”, 5.25%, 2038			1,270,000				1,456,284
California Municipal Finance Authority Rev. (Biola University), 5.8%, 2028			100,000				110,479
Florida Higher Educational Facilities, Financial Authority Rev. (University of Tampa Project), “A”, 5%, 2032			25,000				27,451
Florida Higher Educational Facilities, Financial Authority Rev. (University of Tampa Project), “A”, 5.25%, 2042			210,000				232,632
Florida State University Board of Governors, System Improvement Rev., 6.25%, 2030			1,000,000				1,215,390
Grand Valley, MI, State University Rev., 5.5%, 2027			135,000				152,221
Grand Valley, MI, State University Rev., 5.625%, 2029			65,000				73,003
Harris County, TX, Cultural Education Facilities Rev. (Baylor College of Medicine), “D”, 5.625%, 2032			540,000				603,671
Illinois Finance Authority Rev. (Illinois Institute of Technology), “A”, 5%, 2036			110,000				102,367
Illinois Finance Authority Rev. (Roosevelt University Project), 6.25%, 2029			670,000				755,854
Illinois Finance Authority Rev. (Roosevelt University Project), 6.5%, 2039			155,000				174,687
Illinois Finance Authority Rev. (University of Chicago), “A”, 5%, 2051			165,000				183,274
Lakeland, FL, Educational Facilites Rev. (Florida Southern College), “A”, 5%, 2032			75,000				80,295
Lakeland, FL, Educational Facilites Rev. (Florida Southern College), “A”, 5%, 2037			125,000				132,459
Lakeland, FL, Educational Facilites Rev. (Florida Southern College), “A”, 5%, 2042			65,000				68,608
Massachusetts Development Finance Agency Rev. (The Broad Institute, Inc.), “A”, 5.25%, 2037			580,000				643,690
Massachusetts Health & Educational Facilities Authority Rev. (Simmons College), “I”, 8%, 2029			255,000				302,170
Massachusetts Health & Educational Facilities Authority Rev. (Suffolk University), “A”, 6.25%, 2030			725,000				844,502
Massachusetts Health & Educational Facilities Authority Rev. (Suffolk University), “A”, 5.75%, 2039			455,000				509,286
Portage County, OH, Port Authority Rev. (Northeast Ohio Medical University Project), 5%, 2037			200,000				214,816
Savannah, GA, Economic Development Authority Rev. (AASU Student Union LLC), ASSD GTY, 5.125%, 2039			335,000				365,053
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2030			195,000				229,737
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2031			85,000				99,407
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2032			80,000				93,285
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2037			150,000				171,728
University of Illinois Rev. (Auxiliary Facilities Systems), “A”, 5.125%, 2029			1,880,000				2,099,922
University of Southern Indiana Rev. (Student Fee), “J”, ASSD GTY, 5.75%, 2028			300,000				373,593
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.25%, 2032			220,000				253,383
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.375%, 2036			80,000				91,786
Washington Higher Education Facilities Authority Rev. (Whitworth University), 5.875%, 2034			280,000				312,589
						$	12,823,413

 

8

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Municipal Bonds - continued
Universities - Dormitories - 2.2%
Bowling Green, OH, Student Housing Rev. (State University Project), 5.75%, 2031		$	175,000			$	190,575
Buffalo & Erie County, NY, Industrial Land Development Corp. Rev. (Buffalo State College), “A”, 5.375%, 2041			200,000				228,506
California Statewide Communities Development Authority Rev. (Lancer Educational Student Housing Project), 5.625%, 2033			735,000				759,240
Illinois Finance Authority Student Housing Rev. (Illinois State University), 6.75%, 2031			240,000				274,366
Illinois Finance Authority Student Housing Rev. (Northern Illinois University Project), 6.625%, 2031			615,000				714,901
Mississippi State University, Educational Building Corp., 5%, 2036			440,000				495,114
Oregon Facilities Authority, Student Housing Rev. (Southern Oregon University), ASSD GTY, 4.7%, 2033			50,000				53,277
Oregon Facilities Authority, Student Housing Rev. (Southern Oregon University), ASSD GTY, 5%, 2044			60,000				64,276
Pennsylvania Higher Educational Facilities Authority Rev. (Edinboro University Foundation), 5.8%, 2030			80,000				90,270
Pennsylvania Higher Educational Facilities Authority Rev. (Edinboro University Foundation), 6%, 2043			110,000				123,541
						$	2,994,066
Universities - Secondary Schools - 0.8%
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5.5%, 2031		$	95,000			$	104,051
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5.75%, 2041			75,000				83,294
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.125%, 2040			215,000				241,798
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.25%, 2045			135,000				152,287
La Vernia, TX, Higher Education Finance Corp. Rev. (KIPP, Inc.), “A”, 6.25%, 2039			195,000				224,162
North Texas Education Finance Corp., Education Rev. (Uplift Education), “A”, 4.875%, 2032			70,000				73,057
North Texas Education Finance Corp., Education Rev. (Uplift Education), “A”, 5.125%, 2042			170,000				178,701
Philadelphia, PA, Authority for Industrial Development Rev. (MaST Charter School), 6%, 2035			50,000				54,385
						$	1,111,735
Utilities - Cogeneration - 0.2%
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Central Facilities (Cogeneration Facilities—AES Puerto Rico Project), 6.625%, 2026		$	320,000			$	320,150
Utilities - Investor Owned - 5.2%
Apache County, AZ, Industrial Development Authority, Pollution Control Rev. (Tucson Electric Power Co.), ”A”, 4.5%, 2030		$	325,000			$	337,461
Brazos River Authority, TX, Pollution Control Rev. (TXU Electric Co. LLC), “C”, 6.75%, 2038			555,000				69,636
Bryant, IL, Pollution Control Rev. (Central Illinois Light Co.), 5.9%, 2023			975,000				978,276
Chula Vista, CA, Industrial Development Rev. (San Diego Gas), 5.875%, 2034			245,000				289,132
Farmington, NM, Pollution Control Rev. (Public Service New Mexico), “D”, 5.9%, 2040			500,000				558,410
Hawaii Department of Budget & Finance Special Purpose Rev. (Hawaiian Electric Co. & Subsidiary), 6.5%, 2039			390,000				452,459
Maricopa County, AZ, Pollution Control Rev. (El Paso Electric Co. Palo Verde Project), “A”, 4.5%, 2042			150,000				152,514
Massachusetts Development Finance Agency, Solid Waste Disposal Rev. (Dominion Energy Brayton), 5.75%, 2042 (b)			85,000				102,410
Matagorda County, TX, Pollution Control Rev. (Central Power & Light Co.), “A”, 6.3%, 2029			275,000				319,655
Mississippi Business Finance Corp., Pollution Control Rev. (Systems Energy Resources Project), 5.875%, 2022			1,500,000				1,503,030
New Hampshire Business Finance Authority, Pollution Control Rev. (Public Service of New Hampshire), “B”, NATL, 4.75%, 2021			250,000				262,413
Owen County, KY, Waterworks System Rev. (American Water Co. Project), “A”, 6.25%, 2039			205,000				227,642
Pennsylvania Economic Development Financing Authority (Allegheny Energy Supply Co. LLC), 7%, 2039			600,000				716,928
Pima County, AZ, Industrial Development Authority Rev. (Tucson Electric Power Co.), 5.75%, 2029			1,015,000				1,083,076
						$	7,053,042
Utilities - Municipal Owned - 1.3%
Harris County, TX, Cultural Education Facilities Financial Corp., Thermal Utilities Rev. (Teco Project), “A”, 5.25%, 2035		$	140,000			$	157,630
Long Island, NY, Power Authority, “A”, 5%, 2038			735,000				816,085
Puerto Rico Electric Power Authority, Power Rev., “A”, 5%, 2042			370,000				375,717
Sacramento, CA, Municipal Utility District, “X”, 5%, 2028			365,000				427,181
						$	1,776,613
Utilities - Other - 3.5%
California M-S-R Energy Authority Gas Rev., “A”, 7%, 2034		$	155,000			$	206,328
California M-S-R Energy Authority Gas Rev., “A”, 6.5%, 2039			335,000				425,105

 

9

---

Portfolio of Investments (unaudited) – continued

 

Issuer		Shares/Par				Value ($)
Municipal Bonds - continued
Utilities - Other - continued
Georgia Main Street Natural Gas, Inc., Gas Project Rev., “A”, 5.5%, 2028		$	335,000			$	379,954
Indiana Bond Bank Special Program, Gas Rev., “A”, 5.25%, 2018			230,000				270,459
Public Authority for Colorado Energy Natural Gas Purchase Rev., 6.5%, 2038			25,000				31,692
Salt Verde Financial Corp., AZ, Senior Gas Rev., 5%, 2037			705,000				751,170
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 2021			1,710,000				1,886,301
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 2022			270,000				297,092
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 2026			165,000				180,436
Tennessee Energy Acquisition Corp., Gas Rev., “C”, 5%, 2025			240,000				255,295
						$	4,683,832
Water & Sewer Utility Revenue - 9.5%
Atlanta, GA, Water & Wastewater Rev., “A”, 6%, 2022		$	370,000			$	467,325
Birmingham, AL, Waterworks Board Water Rev., “A”, ASSD GTY, 5.125%, 2034			595,000				660,396
California Department of Water Resources, Center Valley Project Rev., “AJ”, 5%, 2035			1,010,000				1,205,998
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, 5.75%, 2037			290,000				308,079
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, 6%, 2038			655,000				692,401
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, 6%, 2044			135,000				142,429
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 2028			125,000				150,599
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 2029			115,000				137,426
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 2030			75,000				89,031
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 2031			15,000				17,688
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 2041			420,000				475,986
Houston, TX, Utility System Rev., “D”, 5%, 2036			435,000				496,905
King County, WA, Sewer Rev., 5%, 2040			1,395,000				1,574,634
Massachusetts Water Resources Authority, “B”, 5%, 2041			275,000				315,370
New York Environmental Facilities Corp., Clean Drinking Water Revolving Funds, 5%, 2024			215,000				266,669
New York Environmental Facilities Corp., Clean Drinking Water Revolving Funds, 5%, 2041			685,000				787,695
New York Environmental Facilities, “C”, 5%, 2041			945,000				1,085,503
New York, NY, Municipal Water Finance Authority, Water & Sewer System Rev., “AA”, 5%, 2034			1,980,000				2,286,742
New York, NY, Municipal Water Finance Authority, Water & Sewer Systems Rev., “DD”, 4.75%, 2035			790,000				872,879
Surprise, AZ, Municipal Property Corp., 4.9%, 2032			700,000				709,695
						$	12,743,450
Total Municipal Bonds						$	202,971,837
Money Market Funds - 3.6%
MFS Institutional Money Market Portfolio, 0.16%, at Net Asset Value (v)			4,843,890			$	4,843,890
Total Investments						$	207,815,727
Other Assets, Less Liabilities - 1.3%							1,758,981
Preferred Shares (Issued by the Fund) - (55.7)%							(75,000,000	)
Net assets applicable to common shares - 100.0%						$	134,574,708

 

(a)	Non-income producing security.

(b)	Mandatory tender date is earlier than stated maturity date.

(c)	Refunded bond.

(d)	In default. Interest and/or scheduled principal payment(s) have been missed.

(f)	All or a portion of the security has been segregated as collateral for open futures contracts.

(n)

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $2,177,032, representing 1.6% 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.

 

10

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Portfolio of Investments (unaudited) – continued

 

(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
MuniMae TE Bond Subsidiary LLC, 5.8%, 2049		10/14/04			$1,000,000				$715,450
Resolution Trust Corp., Pass-Through Certificates, “1993”, 8.5%, 2016		10/17/01-1/14/02			455,481				445,228
Total Restricted Securities									$1,160,678
% of Net assets applicable to common shares									0.9%

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

 

COP		Certificate of Participation
ETM		Escrowed to Maturity
LOC		Letter of Credit

 

Insurers
AGM		Assured Guaranty Municipal
AMBAC		AMBAC Indemnity Corp.
ASSD GTY		Assured Guaranty Insurance Co.
FGIC		Financial Guaranty Insurance Co.
FHA		Federal Housing Administration
FHLMC		Federal Home Loan Mortgage Corp.
GNMA		Government National Mortgage Assn.
NATL		National Public Finance Guarantee Corp.
PSF		Permanent School Fund
SYNCORA		Syncora Guarantee Inc.

Derivative Contracts at 8/31/12

Futures Contracts Outstanding at 8/31/12

 

Description		Currency				Contracts				Value		Expiration Date		Unrealized Appreciation (Depreciation)
Liability Derivatives
Interest Rate Futures
U.S. Treasury Note 10 yr (Short)			USD				188			$25,139,125		December - 2012			$(188,658	)
U.S. Treasury Bond 30 yr (Short)			USD				22			3,330,938		December - 2012			(44,077	)
															$(232,735	)

At August 31, 2012, the fund had liquid securities with an aggregate value of $347,835 to cover any commitments for certain derivative contracts.

See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.

 

11

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Supplemental Information

8/31/12 (unaudited)

(1) Investment Valuations

Debt instruments and floating rate loans (other than short-term instruments), 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 generally are 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 valuation policies and procedures, market quotations are not considered to be readily available for most types of debt instruments and floating rate loans and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services. In addition, investments may be valued at fair value if the adviser determines that an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund’s net asset value, or after the halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.

Various inputs are used in determining the value of the fund’s assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments not reflected in total investments, such as futures contracts. The following is a summary of the levels used as of August 31, 2012 in valuing the fund’s assets or liabilities:

 

Investments at Value		Level 1				Level 2				Level 3				Total
Municipal Bonds			$—				$202,971,837				$—				$202,971,837
Mutual Funds			4,843,890				—				—				4,843,890
Total Investments			$4,843,890				$202,971,837				$—				$207,815,727
Other Financial Instruments
Futures Contracts			$(232,735	)			$—				$—				$(232,735	)

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

The following is a reconciliation of level 3 assets for which significant unobservable inputs were used to determine fair value. The fund’s policy is to recognize transfers between the levels as of the end of the period. The table presents the activity of level 3 securities held at the beginning and the end of the period.

 

		Municipal Bonds
Balance as of 11/30/11			$93,362
Accrued discounts/premiums			6
Realized gain (loss)			(118,392	)
Change in unrealized appreciation (depreciation)			111,925
Liquidation proceeds			(86,901	)
Balance as of 8/31/12			$—

The net change in unrealized appreciation (depreciation) from investments still held as level 3 at August 31, 2012 is $0.

 

12

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Supplemental Information (unaudited) – continued

 

(2) Portfolio Securities

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

 

Aggregate cost			$190,749,409
Gross unrealized appreciation			$20,538,740
Gross unrealized depreciation			(3,472,422	)
Net unrealized appreciation (depreciation)			$17,066,318

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

(3) Transactions in Underlying Affiliated Funds – Affiliated Issuers

An affiliated issuer may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the fund assumes the following to be an affiliated issuer:

 

Underlying Affiliated Fund		Beginning Shares/Par Amount				Acquisitions Shares/Par Amount				Dispositions Shares/Par Amount				Ending Shares/Par Amount
MFS Institutional Money Market Portfolio			1,406,065				29,303,453				(25,865,628	)			4,843,890
Underlying Affiliated Fund		Realized Gain (Loss)				Capital Gain Distributions				Dividend Income				Ending Value
MFS Institutional Money Market Portfolio			$—				$—				$2,525				$4,843,890

(4) Subsequent Event

On September 12, 2012, the fund issued 2,844 of Variable Rate Municipal Term Preferred Shares (VMTP) at a stated value of $25,000 per share. Proceeds from the issuance of VMTP shares were used to redeem 94.8% of the fund’s outstanding Auction Rate Preferred Shares (ARPS) at a price equal to 95% of the ARPS’ per share liquidation preference of $25,000, or $23,750 per share, plus any unpaid dividends.

 

13

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ITEM 2.

CONTROLS AND PROCEDURES.

 

(a)

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

 

(b)

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

 

ITEM 3.

EXHIBITS.

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

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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)*		JOHN M. CORCORAN
		John M. Corcoran, President

Date: October 17, 2012

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)*		JOHN M. CORCORAN
		John M. Corcoran, President (Principal Executive Officer)

Date: October 17, 2012

 

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

Date: October 17, 2012

 

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