MFS HIGH YIELD MUNICIPAL TRUST N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-04992

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: February 28, 2014

ITEM 1. SCHEDULE OF INVESTMENTS.

QUARTERLY REPORT

February 28, 2014

 

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MFS® HIGH YIELD MUNICIPAL TRUST

 

LOGO

PORTFOLIO OF INVESTMENTS

2/28/14 (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 - 153.8%                 
Airport Revenue - 3.2%                 
Burlington, VT, Airport Rev., “A”, 4%, 7/01/28    $ 90,000      $ 76,894   
Dallas Fort Worth, TX, International Airport Rev. Improvement, “B”, AGM, 5%, 11/01/25      3,000,000        3,076,560   
Guam International Airport Authority Rev., “C”, 5%, 10/01/16      25,000        26,419   
Guam International Airport Authority Rev., “C”, 5%, 10/01/17      45,000        47,790   
Houston, TX, Airport System Rev., “B”, 5%, 7/01/26      175,000        193,844   
Houston, TX, Airport System Rev., Subordinate Lien, “A”, 5%, 7/01/31      150,000        155,465   
Port Authority of NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 12/01/36      255,000        279,485   
Port Authority of NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 12/01/42      290,000        315,726   
    

 

 

  
      $ 4,172,183   
General Obligations - General Purpose - 6.9%                 
Bellwood, IL, 5.875%, 12/01/27    $ 200,000      $ 187,352   
Bellwood, IL, 6.15%, 12/01/32      200,000        184,924   
Charleston County, SC, Transportation Sales Tax, 5%, 11/01/22      455,000        553,298   
Commonwealth of Massachusetts, General Obligation, “B”, 5%, 8/01/21      910,000        1,097,032   
Guam Government, “A”, 7%, 11/15/39      90,000        95,119   
Luzerne County, PA, AGM, 6.75%, 11/01/23      455,000        511,620   
Richmond, VA, Public Improvement, “A”, 5%, 3/01/23      1,365,000        1,639,420   
State of California, 5.25%, 10/01/28      335,000        381,575   
State of California, 5.25%, 9/01/30      790,000        888,687   
State of Hawaii, “DZ”, 5%, 12/01/31      200,000        221,316   
State of Illinois, 5%, 2/01/39      220,000        223,599   
State of Illinois, 5.5%, 7/01/38      170,000        181,747   
State of Washington, “R”, 5%, 7/01/22      2,350,000        2,826,040   
    

 

 

  
      $ 8,991,729   
General Obligations - Schools - 2.5%                 
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 8/01/29    $ 2,195,000      $ 1,183,522   
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 8/01/31      275,000        131,365   
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 8/01/32      280,000        126,358   
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 8/01/33      560,000        238,829   
Irving, TX, Independent School District, Capital Appreciation, “A”, PSF, 0%, 2/15/16      1,000,000        990,910   
Los Angeles, CA, Unified School District, “D”, 5%, 1/01/34      165,000        179,928   
San Jacinto, TX, Community College District, 5.125%, 2/15/38      430,000        453,740   
    

 

 

  
      $ 3,304,652   
Healthcare Revenue - Hospitals - 33.0%                 
Allegheny County, PA, Hospital Development Authority Rev. (University of Pittsburgh Medical Center), “A”, 5.375%, 8/15/29    $ 440,000      $ 483,080   
Atchison, KS, Hospital Rev. (Atchison Hospital Assn.), “A”, 6.75%, 9/01/30      320,000        342,579   
Brunswick, GA, Hospital Authority Rev. (Glynn-Brunswick Memorial Hospital), 5.625%, 8/01/34      170,000        179,364   
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.5%, 11/01/40      590,000        605,139   
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.75%, 11/01/40      130,000        135,155   
California Health Facilities Financing Authority Rev. (St. Joseph Health System), “A”, 5.75%, 7/01/39      185,000        202,410   
California Health Facilities Financing Authority Rev. (Sutter Health), “B”, 5.875%, 8/15/31      660,000        753,397   
California Statewide Communities Development Authority Rev. (Catholic Healthcare West), “K”, ASSD GTY, 5.5%, 7/01/41      625,000        657,231   
Chattanooga, TN, Health Educational & Housing Facility Board Rev. (Catholic Health Initiatives), “A”, 5.25%, 1/01/45      1,035,000        1,085,560   
Cullman County, AL, Health Care Authority (Cullman Regional Medical Center), “A”, 6.75%, 2/01/29      60,000        63,393   
Delaware County, PA, Authority Rev. (Mercy Health Corp.), ETM, 6%, 12/15/16 (c)      745,000        786,079   
Delaware County, PA, Authority Rev. (Mercy Health Corp.), ETM, 6%, 12/15/26 (c)      500,000        530,990   
Gallia County, OH, Hospital Facilities Rev. (Holzer Health Systems), “A”, 8%, 7/01/42      710,000        754,105   
Harris County, TX, Cultural Education Facilities Finance Corp. Medical Facilities Rev. (Baylor College of Medicine), “D”, 5.625%, 11/15/32      540,000        588,028   

 

1

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Healthcare Revenue - Hospitals - continued                 
Harris County, TX, Health Facilities Development Corp., Hospital Rev. (Memorial Hermann Healthcare Systems), “B”, 7.25%, 12/01/18 (c)    $ 205,000      $ 264,483   
Idaho Health Facilities Authority Rev. (IHC Hospitals, Inc.), ETM, 6.65%, 2/15/21 (c)      2,750,000        3,548,408   
Illinois Finance Authority Rev. (Advocate Healthcare), 4%, 6/01/47      305,000        259,765   
Illinois Finance Authority Rev. (Kewanee Hospital), 5.1%, 8/15/31      515,000        525,887   
Illinois Finance Authority Rev. (Provena Health), “A”, 7.75%, 8/15/34      485,000        585,293   
Illinois Finance Authority Rev. (Rehabilitation Institute of Chicago), “A”, 6%, 7/01/43      200,000        215,824   
Illinois Finance Authority Rev. (Silver Cross Hospital & Medical Centers), 6.875%, 8/15/38      485,000        528,582   
Indiana Health & Educational Facilities Finance Authority Rev. (Sisters of St. Francis Health Services, Inc.), “E”, AGM, 5.25%, 5/15/41      660,000        674,513   
Indiana Health & Educational Facilities Finance Authority, Hospital Rev. (Clarian Health), “A”, 5%, 2/15/39      1,745,000        1,765,696   
Indiana Health & Educational Facilities Finance Authority, Hospital Rev. (Community Foundation of Northwest Indiana), 5.5%, 3/01/37      945,000        979,974   
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.25%, 7/01/31      300,000        318,579   
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.375%, 7/01/41      185,000        196,692   
Johnson City, TN, Health & Educational Facilities Board, Hospital Rev. (Mountain States Health Alliance), “A”, 5.5%, 7/01/31      1,120,000        1,149,579   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), “A”, 5.375%, 8/15/24      300,000        330,879   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), “A”, 5.625%, 8/15/27      100,000        108,631   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Owensboro Medical Health System), “A”, 6.375%, 6/01/40      570,000        598,124   
Lake County, OH, Hospital Facilities Rev. (Lake Hospital Systems, Inc.), 5.625%, 8/15/29      435,000        465,702   
Lebanon County, PA, Health Facilities Authority Rev. (Good Samaritan Hospital), 5.9%, 11/15/28      210,000        207,213   
Louisiana Public Facilities Authority Hospital Rev. (Lake Charles Memorial Hospital), 6.375%, 12/01/34      605,000        613,579   
Louisville & Jefferson County, KY, Metro Government Health Facilities Rev. (Jewish Hospital & St. Mary’s Healthcare), 6.125%, 2/01/18 (c)      1,315,000        1,588,231   
Louisville & Jefferson County, KY, Metropolitan Government Healthcare Systems Rev. (Norton Healthcare, Inc.), 5.25%, 10/01/36      1,265,000        1,276,739   
Lufkin, TX, Health Facilities Development Corp. Rev. (Memorial Health System), 5.5%, 2/15/37      60,000        60,761   
Martin County, FL, Health Facilities Authority Rev. (Martin Memorial Medical Center), 5.5%, 11/15/42      300,000        304,482   
Maryland Health & Higher Educational Facilities Authority Rev. (Anne Arundel Health System, Inc.), “A”, 6.75%, 7/01/39      735,000        858,583   
Massachusetts Development Finance Agency Rev. (Tufts Medical Center), “I”, 7.25%, 1/01/32      445,000        520,721   
Massachusetts Health & Educational Facilities Authority Rev. (Jordan Hospital), “E”, 6.75%, 10/01/33      250,000        250,103   
Michigan Finance Authority Rev. (Trinity Health Corp.), 5%, 12/01/35      1,000,000        1,044,930   
Montgomery, AL, Medical Clinic Board Health Care Facility Rev. (Jackson Hospital & Clinic), 5.25%, 3/01/36      825,000        822,863   
Muskingum County, OH, Hospital Facilities Rev. (Genesis Health System Obligated Group), 5%, 2/15/33      195,000        167,565   
Muskingum County, OH, Hospital Facilities Rev. (Genesis Health System Obligated Group), 5%, 2/15/44      500,000        387,530   
Muskingum County, OH, Hospital Facilities Rev. (Genesis Health System Obligated Group), 5%, 2/15/48      195,000        148,563   
New Hampshire Business Finance Authority Rev. (Elliot Hospital Obligated Group), “A”, 6%, 10/01/27      585,000        627,208   
New Hampshire Health & Education Facilities Authority Rev. (Memorial Hospital at Conway), 5.25%, 6/01/21      530,000        535,411   
New Hanover County, NC, Hospital Rev., AGM, 5.125%, 10/01/31      895,000        937,987   
New Mexico Hospital Equipment Loan Council, Hospital Rev. (Rehoboth McKinley Christian Hospital), “A”, 5%, 8/15/17      150,000        148,874   
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.5%, 8/15/30      190,000        214,474   
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.25%, 2/15/35      115,000        126,285   
Norman, OK, Regional Hospital Authority Rev., 5%, 9/01/27      155,000        158,732   
Norman, OK, Regional Hospital Authority Rev., 5.375%, 9/01/29      90,000        91,940   
Norman, OK, Regional Hospital Authority Rev., 5.375%, 9/01/36      235,000        237,310   
Olympia, WA, Healthcare Facilities Authority Rev. (Catholic Health Initiatives), “D”, 6.375%, 10/01/36      1,095,000        1,232,335   
Palomar Pomerado Health Care District, CA, COP, 6.75%, 11/01/39      890,000        916,371   
Rhode Island Health & Educational Building Corp. Rev., Hospital Financing (Lifespan Obligated Group), “A”, ASSD GTY, 7%, 5/15/39      660,000        729,821   
Royal Oak, MI, Hospital Finance Authority Rev. (William Beaumont Hospital), 8.25%, 9/01/39      485,000        584,401   
Salida, CO, Hospital District Rev., 5.25%, 10/01/36      689,000        672,946   
Skagit County, WA, Public Hospital District No. 001 Rev. (Skagit Valley Hospital), 5.75%, 12/01/32      90,000        91,197   
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6%, 4/01/29      85,000        92,569   
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6.25%, 4/01/39      125,000        135,998   
Southeastern Ohio Port Authority, Hospital Facilities Rev. (Memorial Health System), 5.75%, 12/01/32      300,000        287,049   

 

2

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Healthcare Revenue - Hospitals - continued                 
Sullivan County, TN, Health, Educational & Housing Facilities Board Hospital Rev. (Wellmont Health Systems Project), “C”, 5.25%, 9/01/36    $ 1,085,000      $ 1,087,496   
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5%, 7/01/26      20,000        20,753   
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5%, 7/01/29      20,000        20,419   
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5.125%, 7/01/34      40,000        40,289   
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5.25%, 7/01/44      125,000        126,425   
Tyler, TX, Health Facilities Development Corp. (East Texas Medical Center), “A”, 5.25%, 11/01/32      230,000        221,253   
Tyler, TX, Health Facilities Development Corp. (East Texas Medical Center), “A”, 5.375%, 11/01/37      160,000        154,690   
Virginia Small Business Financing Authority, Hospital Rev. (Wellmont Health Project), “A”, 5.25%, 9/01/37      470,000        471,034   
Washington Health Care Facilities Authority Rev. (Multicare Health Systems), “B”, ASSD GTY, 6%, 8/15/39      440,000        476,177   
Washington Health Care Facilities Authority Rev. (Providence Health & Services), “A”, 5%, 10/01/33      1,105,000        1,172,958   
West Contra Costa, CA, Healthcare District, AMBAC, 5.5%, 7/01/29      105,000        105,423   
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 7/15/26      200,000        211,458   
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 7/15/28      60,000        62,470   
Wisconsin Health & Educational Facilities Authority Rev. (Fort Healthcare, Inc.), 6.1%, 5/01/34      750,000        751,260   
Wisconsin Health & Educational Facilities Authority Rev. (Meritor Hospital), “A”, 5.5%, 5/01/31      725,000        778,520   
Wisconsin Health & Educational Facilities Authority Rev. (Meritor Hospital), “A”, 6%, 5/01/41      490,000        531,699   
Wisconsin Health & Educational Facilities Authority Rev. (Wheaton Franciscan Services), 5.25%, 8/15/34      935,000        939,647   
    

 

 

  
             $ 42,927,863   
Healthcare Revenue - Long Term Care - 16.3%                 
Alachua County, FL, Health Facilities Authority Rev. (East Ridge Retirement Village, Inc.), 6%, 11/15/34    $ 65,000      $ 64,197   
Alachua County, FL, Health Facilities Authority Rev. (East Ridge Retirement Village, Inc.), 6.25%, 11/15/44      170,000        168,149   
Alachua County, FL, Health Facilities Authority Rev. (East Ridge Retirement Village, Inc.), 6.375%, 11/15/49      115,000        113,314   
Americus and Sumter County, GA, Hospital Authority Rev. (Magnolia Manor Obligated Group), “A”, 6.25%, 5/15/33      95,000        96,784   
Americus and Sumter County, GA, Hospital Authority Rev. (Magnolia Manor Obligated Group), “A”, 6.375%, 5/15/43      95,000        96,074   
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 1/01/27      90,000        90,107   
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 1/01/37      120,000        114,283   
California Statewide Communities Development Authority Rev. (American Baptist Homes of the West), 6.25%, 10/01/39      215,000        223,787   
Chartiers Valley, PA, Industrial & Commercial Development Authority (Friendship Village), “A”, 5.75%, 8/15/20      1,000,000        1,001,430   
Collier County, FL, Industrial Development Authority Continuing Care Community Rev. (The Arlington of Naples Project), “A”, 8.125%, 5/15/44      485,000        492,454   
Colorado Health Care Facilities Authority Rev. (American Baptist Homes of the Midwest Obligated Group), 8%, 8/01/43      375,000        377,756   
Colorado Health Facilities Authority Rev. (Christian Living Communities Project), “A”, 5.75%, 1/01/37      475,000        478,145   
Colorado Health Facilities Authority Rev. (Covenant Retirement Communities, Inc.), 5%, 12/01/35      1,100,000        1,000,802   
Colorado Health Facilities Authority Rev. (Evangelical Lutheran Good Samaritan Society), 5.625%, 6/01/43      100,000        104,495   
Cumberland County, PA, Municipal Authority Rev. (Asbury Atlantic, Inc.), 5.25%, 1/01/41      290,000        260,084   
Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries), 6.125%, 1/01/29      695,000        741,558   
Fulton County, GA, Residential Care Facilities (Canterbury Court), “A”, 6.125%, 2/15/26      500,000        505,215   
Hawaii Department of Budget & Finance, Special Purpose Rev. (15 Craigside Project), “A”, 9%, 11/15/44      140,000        156,766   
Idaho Health Facilities Authority Rev. (The Terraces of Boise Project), “B2”, 6%, 10/01/21      210,000        210,361   
Idaho Health Facilities Authority Rev. (The Terraces of Boise Project), “B3”, 5.25%, 10/01/20      110,000        110,127   
Illinois Finance Authority Rev. (Evangelical Retirement Homes of Greater Chicago, Inc.), 7.25%, 2/15/45      850,000        869,644   
Illinois Finance Authority Rev. (Franciscan Communities, Inc.), “A”, 4.75%, 5/15/33      200,000        171,918   
Illinois Finance Authority Rev. (Franciscan Communities, Inc.), “A”, 5.125%, 5/15/43      215,000        179,695   
Illinois Finance Authority Rev. (Lutheran Home & Services), 5.625%, 5/15/42      185,000        167,708   
Illinois Finance Authority Rev. (Smith Village), “A”, 6.25%, 11/15/35      1,000,000        994,010   
Indiana Finance Authority Rev. (BHI Senior Living), “A”, 6%, 11/15/41      275,000        280,882   
Kentucky Economic Development Finance Authority Health Care Rev. (Masonic Homes of Kentucky, Inc.), 5.375%, 11/15/42      130,000        120,601   
Kentucky Economic Development Finance Authority Health Care Rev. (Masonic Homes of Kentucky, Inc.), 5.5%, 11/15/45      80,000        74,886   
Kentucky Economic Development Finance Authority Health Facilities Rev. (AHF/Kentucky-Iowa, Inc.), 8%, 1/01/29      298,000        299,284   
La Verne, CA, COP (Brethren Hillcrest Homes), “B”, 6.625%, 2/15/25      470,000        472,919   
Massachusetts Development Finance Agency Rev. (Adventcare), “A”, 6.75%, 10/15/37      695,000        715,266   
Massachusetts Development Finance Agency Rev. (Alliance Health of Brockton, Inc.), “A”, 7.1%, 7/01/32      975,000        952,448   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 11/15/31      130,267        115,836   

 

3

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-1”, 6.25%, 11/15/39    $ 31,732      $ 27,300   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-2”, 5.5%, 11/15/46      8,656        6,381   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), Capital Appreciation, “B”, 0%, 11/15/56      43,059        273   
Massachusetts Development Finance Agency Rev. (North Hill Communities), “A”, 6.25%, 11/15/33      100,000        98,984   
Massachusetts Development Finance Agency Rev. (North Hill Communities), “A”, 6.5%, 11/15/43      100,000        97,802   
Montgomery County, PA, Industrial Development Authority Retirement Community Rev. (ACTS Retirement - Life Communities, Inc.), 5%, 11/15/28      350,000        354,200   
New Jersey Economic Development Authority Rev. (Lions Gate), “A”, 5.75%, 1/01/25      400,000        400,980   
New Jersey Economic Development Authority Rev. (Lions Gate), “A”, 5.875%, 1/01/37      300,000        289,920   
New Jersey Economic Development Authority Rev. (Seabrook Village, Inc.), 5.25%, 11/15/26      500,000        500,705   
New Jersey Economic Development Authority Rev. (Seabrook Village, Inc.), 5.25%, 11/15/36      500,000        467,285   
Norfolk, VA, Redevelopment & Housing Authority Rev. (Fort Norfolk Retirement Community), “A”, 6.125%, 1/01/35      195,000        194,979   
Oklahoma Development Finance Authority Continuing Care Retirement Community Rev. (Inverness Village), 5.75%, 1/01/37      305,000        294,459   
Pell City, AL, Special Care Facilities, Financing Authority Rev. (Noland Health Services, Inc.), 5%, 12/01/39      175,000        175,677   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement System, Inc.), “A”, 5.45%, 11/15/38      723,000        582,051   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement System, Inc.), “A”, 6.05%, 11/15/46      147,000        125,664   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement System, Inc.), “C”, 6.25%, 5/09/53      13,000        11,256   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement System, Inc.), “D”, 6.05%, 11/15/46      26,000        22,226   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), “A”, 6%, 11/15/32      199,626        133,442   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), “A”, 6%, 11/15/47      181,217        113,480   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), Capital Appreciation, “B”, 0%, 11/15/47      85,554        992   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), Capital Appreciation, “B”, 0%, 11/15/47      79,443        921   
South Carolina Jobs & Economic Development Authority, Health Facilities Rev. (Lutheran Homes of South Carolina, Inc.), 5.125%, 5/01/48      40,000        35,358   
St. John’s County, FL, Industrial Development Authority Rev. (Presbyterian Retirement), “A”, 6%, 8/01/45      610,000        630,228   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Air Force Village Foundation, Inc.), 6.125%, 11/15/29      550,000        571,181   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Air Force Village Foundation, Inc.), 6.375%, 11/15/44      415,000        425,379   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Stayton at Museum Way), 8.25%, 11/15/44      770,000        677,777   
Tempe, AZ, Industrial Development Authority Rev. (Friendship Village), “A”, 6.25%, 12/01/42      90,000        91,757   
Tempe, AZ, Industrial Development Authority Rev. (Friendship Village), “A”, 6.25%, 12/01/46      70,000        71,019   
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7%, 11/01/30      130,000        144,400   
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7.125%, 11/01/40      195,000        214,264   
Washington Housing Finance Community Nonprofit Housing Rev. (Rockwood Retirement Communities), 5.125%, 1/01/20      400,000        400,304   
Westmoreland County, PA, Industrial Development Authority Rev. (Redstone Retirement Community), “A”, 5.875%, 1/01/16 (c)      600,000        658,422   
Westmoreland County, PA, Industrial Development Retirement Authority Rev. (Redstone Retirement Community), “A”, 5.75%, 1/01/16 (c)      1,250,000        1,368,888   
Wichita, KS, Health Care Facilities Rev. (Presbyterian Manors, Inc.), “A”, 6.375%, 5/15/43      170,000        173,834   
    

 

 

  
             $ 21,182,773   
Industrial Revenue - Airlines - 5.5%                 
Clayton County, GA, Development Authority Special Facilities Rev. (Delta Airlines, Inc.), “A”, 8.75%, 6/01/29    $ 200,000      $ 239,748   
Clayton County, GA, Development Authority Special Facilities Rev. (Delta Airlines, Inc.), “B”, 9%, 6/01/35      150,000        159,507   
Denver, CO, City & County Airport Rev. (United Airlines), 5.75%, 10/01/32      475,000        472,297   
Houston, TX, Airport Systems Rev., Special Facilities (Continental Airlines, Inc. Terminal E Project), 6.75%, 7/01/29      1,370,000        1,372,644   
Houston, TX, Airport Systems Rev., Special Facilities (Continental Airlines, Inc. Terminal E Project), 7%, 7/01/29      200,000        200,422   
Houston, TX, Airport Systems Rev., Special Facilities (Continental Airlines, Inc.), 6.5%, 7/15/30      445,000        468,167   
Houston, TX, Airport Systems Rev., Special Facilities (Continental Airlines, Inc.), “B”, 6.125%, 7/15/17      175,000        175,016   
Houston, TX, Airport Systems Rev., Special Facilities (Continental Airlines, Inc.), “E”, 6.75%, 7/01/21      895,000        896,727   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 4.875%, 9/15/19      600,000        596,976   

 

4

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Industrial Revenue - Airlines - continued                 
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.125%, 9/15/23    $ 365,000      $ 358,394   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.25%, 9/15/29 (b)      515,000        506,940   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), “A”, 5.625%, 11/15/30      105,000        104,991   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), “B”, 5.625%, 11/15/30      95,000        94,991   
New York, NY, City Industrial Development Agencies Rev. (American Airlines, Inc.), 7.75%, 8/01/31      385,000        422,484   
New York, NY, City Industrial Development Agency Special Facility Rev. (American Airlines, Inc.), “B”, 8.5%, 8/01/28      500,000        531,435   
Tulsa, OK, Municipal Airport Trust Rev. (American Airlines, Inc.), “B”, 5.5%, 6/01/35      175,000        171,971   
Tulsa, OK, Municipal Airport Trust Rev. (American Airlines, Inc.), “B”, 5.5%, 12/01/35      385,000        376,842   
    

 

 

  
      $ 7,149,552   
Industrial Revenue - Chemicals - 0.8%                 
Brazos River, TX, Harbor Navigation District (Dow Chemical Co.), “B-2”, 4.95%, 5/15/33    $ 400,000      $ 415,928   
Port of Bay, TX, City Authority (Hoechst Celanese Corp.), 6.5%, 5/01/26      660,000        660,851   
    

 

 

  
             $ 1,076,779   
Industrial Revenue - Environmental Services - 3.2%                 
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Republic Services, Inc.), “B”, 5.25%, 6/01/23 (b)    $ 135,000      $ 147,713   
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Waste Management, Inc.), “C”, 5.125%, 11/01/23      655,000        685,156   
Indiana Economic Development Finance Authority Rev.(Republic Services, Inc. Project), “A”, 0.47%, 5/01/34      230,000        230,000   
Indiana Economic Development Finance Authority Rev.(Republic Services, Inc. Project), “B”, 0.32%, 5/01/28      145,000        145,000   
Kentucky Economic Development Finance Authority Solid Waste Refunding Rev. (Republic Services, Inc. Project), “B”, 0.32%, 4/01/31      60,000        60,000   
Maine Finance Authority Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), 6.25%, 1/01/25 (b)      360,000        366,268   
Massachusetts Development Finance Agency, Resource Recovery Rev. (Covanta Energy Project), “A”, 4.875%, 11/01/27      410,000        406,548   
Massachusetts Development Finance Agency, Resource Recovery Rev. (Covanta Energy Project), “C”, 5.25%, 11/01/42      705,000        676,730   
Niagara County, NY, Industrial Development Agency, Solid Waste Disposal Rev. (Covanta Energy Project), “A”, 5.25%, 11/01/42      725,000        695,928   
Ohio Solid Waste Rev. (Republic Services, Inc. Project), FRN, 0%, 11/01/35      115,000        115,000   
Pennsylvania Economic Development Financing Authority Rev., Solid Waste Refunding (Republic Services, Inc. Project), “A”, FRN, 0.55%, 4/01/19 (b)      410,000        410,172   
Vermont Economic Development Authority, Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), 4.75%, 4/01/36 (b)      170,000        164,492   
    

 

 

  
             $ 4,103,007   
Industrial Revenue - Other - 2.7%                 
Annawan, IL, Tax Increment Rev. (Patriot Renewable Fuels LLC), 5.625%, 1/01/18    $ 200,000      $ 184,470   
California Statewide Communities Development Authority Facilities (Microgy Holdings Project), 9%, 12/01/38 (a)(d)      50,491        505   
Gulf Coast, TX, Industrial Development Authority Rev. (CITGO Petroleum Corp.), 4.875%, 5/01/25      280,000        273,277   
Gulf Coast, TX, Industrial Development Authority Rev. (CITGO Petroleum Corp.), 8%, 4/01/28      375,000        375,225   
Houston, TX, Industrial Development Corp. (United Parcel Service, Inc.), 6%, 3/01/23      420,000        428,904   
Iowa Finance Authority Midwestern Disaster Area Rev. (Iowa Fertilizer Co.), 5%, 12/01/19      205,000        204,783   
Iowa Finance Authority Midwestern Disaster Area Rev. (Iowa Fertilizer Co.), 5.5%, 12/01/22      215,000        213,656   
Iowa Finance Authority Midwestern Disaster Area Rev. (Iowa Fertilizer Co.), 5.25%, 12/01/25      215,000        207,851   
New Jersey Economic Development Authority Rev. (GMT Realty LLC), “B”, 6.875%, 1/01/37      1,000,000        998,150   
St. Charles Parish, LA, Gulf Zone Opportunity Zone Rev. (Valero Energy Corp.), 4%, 12/01/40 (b)      605,000        614,837   
    

 

 

  
      $ 3,501,658   
Industrial Revenue - Paper - 3.1%                 
Beauregard Parish, LA (Boise Cascade Corp.), 6.8%, 2/01/27    $ 1,000,000      $ 1,002,330   
Courtland, AL, Industrial Development Board Solid Waste Disposal Rev. (Champion International Corp.), 6%, 8/01/29      1,000,000        1,001,000   
Escambia County, FL, Environmental Improvement Rev. (International Paper Co.), “A”, 5%, 8/01/26      980,000        980,118   
Phenix City, AL, Industrial Development Board Environmental Improvement Rev. (MeadWestvaco Coated Board Project), “A”, 4.125%, 5/15/35      160,000        126,216   
Valparaiso, IN, Exempt Facilities Rev. (Pratt Paper LLC Project), 6.75%, 1/01/34      260,000        274,482   
Valparaiso, IN, Exempt Facilities Rev. (Pratt Paper LLC Project), 7%, 1/01/44      605,000        641,052   
    

 

 

  
             $ 4,025,198   

 

5

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Miscellaneous Revenue - Entertainment & Tourism - 0.8%                 
Brooklyn, NY, Arena Local Development Corp. (Barclays Center Project), 6%, 7/15/30    $ 135,000      $ 144,248   
Cow Creek Band of Umpqua Tribe of Indians, OR, “C”, 5.625%, 10/01/26 (n)      650,000        598,364   
Seminole Tribe, FL, Special Obligation Rev., “A”, 5.25%, 10/01/27 (n)      280,000        287,594   
    

 

 

  
             $ 1,030,206   
Miscellaneous Revenue - Other - 5.3%                 
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, SYNCORA, 5.25%, 1/01/24    $ 305,000      $ 309,929   
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, SYNCORA, 5%, 1/01/34      45,000        41,636   
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.25%, 1/01/32      80,000        85,103   
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.25%, 1/01/33      40,000        42,311   
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.5%, 1/01/43      155,000        158,574   
Dallas, TX, Civic Center Convention Complex Rev., ASSD GTY, 5.25%, 8/15/34      845,000        898,320   
Florida Citizens Property Insurance Corp., “A-1”, 5%, 6/01/19      65,000        74,791   
Florida Citizens Property Insurance Corp., “A-1”, 5%, 6/01/20      305,000        352,980   
Indiana Finance Authority Rev., (Ohio River Bridges East End Crossing Project), “A”, 5%, 7/01/35      180,000        183,209   
Indiana Finance Authority Rev., (Ohio River Bridges East End Crossing Project), “A”, 5%, 7/01/40      460,000        460,308   
Indiana Finance Authority Rev., (Ohio River Bridges East End Crossing Project), “A”, 5%, 7/01/44      125,000        123,835   
Massachusetts Development Finance Agency Rev. (The Broad Institute, Inc.), “A”, 5.25%, 4/01/37      580,000        615,815   
Massachusetts Port Authority Facilities Rev. (Conrac Project), “A”, 5.125%, 7/01/41      40,000        41,669   
New Jersey Economic Development Authority Rev. (Kapkowski Road Landfill Project), 6.5%, 4/01/31      950,000        1,072,389   
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project) , 5.375%, 1/01/43      255,000        260,544   
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), 5.5%, 1/01/27      40,000        43,776   
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), 5%, 1/01/28      40,000        41,668   
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), AGM, 5%, 1/01/31      125,000        128,211   
New York Liberty Development Corp., Liberty Rev. (One Bryant Park LLC), 6.375%, 7/15/49      545,000        586,060   
Wisconsin Public Finance Authority, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), “B”, 5.25%, 7/01/28      1,325,000        1,362,670   
    

 

 

  
             $ 6,883,798   
Multi-Family Housing Revenue - 3.8%                 
Broward County, FL, Housing Finance Authority Rev. (Chaves Lakes Apartments Ltd.), “A”, 7.5%, 7/01/40    $ 480,000      $ 480,278   
Capital Trust Agency, FL, Housing Rev. (Atlantic Housing Foundation), “B”, 7%, 7/15/32 (d)(q)      600,000        300,522   
Charter Mac Equity Issuer Trust, FHLMC, 6%, 10/31/52 (n)      1,000,000        1,126,340   
District of Columbia Housing Finance Agency (Henson Ridge), “E”, FHA, 5.1%, 6/01/37      655,000        659,998   
Durham, NC, Durham Housing Authority Rev. (Magnolia Pointe Apartments), 5.65%, 2/01/38      899,029        837,913   
Mississippi Home Corp., Rev. (Kirkwood Apartments), 6.8%, 11/01/37      605,000        377,417   
Resolution Trust Corp., Pass-Through Certificates, “1993”, 9.544%, 12/01/16 (z)      455,481        448,772   
Wilmington, DE, Multi-Family Housing Rev. (Electra Arms Senior Associates), 6.25%, 6/01/28      725,000        687,634   
    

 

 

  
             $ 4,918,874   
Parking - 0.2%                 
Boston, MA, Metropolitan Transit Parking Corp., Systemwide Parking Rev., 5.25%, 7/01/36    $ 300,000      $ 324,969   
Port Revenue - 1.1%                 
Port Authority NY & NJ, Cons Thirty Seventh, AGM, 5.125%, 7/15/30    $ 1,450,000      $ 1,484,264   
Sales & Excise Tax Revenue - 3.6%                 
Bolingbrook, IL, Sales Tax Rev., 6.25%, 1/01/24    $ 500,000      $ 447,985   
Chicago, IL, Metropolitan Pier & Exposition Authority, State Tax Rev., Capital Appreciation, ETM, FGIC, 0%, 6/15/14 (c)      1,010,000        1,009,101   
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 12/01/29      165,000        179,174   
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 12/01/30      330,000        356,974   
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 12/01/31      60,000        64,491   
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 1/15/34      630,000        663,919   
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 1/15/41      300,000        314,490   
Massachusetts School Building Authority, Dedicated Sales Tax Rev., AMBAC, 4.75%, 8/15/32      840,000        872,122   
Massachusetts School Building Authority, Dedicated Sales Tax Rev., “B”, 5%, 10/15/32      390,000        429,874   

 

6

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Sales & Excise Tax Revenue - continued                 
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., “C”, 5%, 8/01/40    $ 450,000      $ 367,736   
    

 

 

  
             $ 4,705,866   
Single Family Housing - Local - 0.8%                 
Minneapolis & St. Paul, MN, Housing Authority Rev. (City Living), “A-2”, GNMA, 5%, 12/01/38    $ 95,398      $ 95,806   
Pittsburgh, PA, Urban Redevelopment Authority Rev., “C”, GNMA, 4.8%, 4/01/28      915,000        920,883   
    

 

 

  
             $ 1,016,689   
Single Family Housing - State - 1.8%                 
California Housing Finance Agency Rev. (Home Mortgage), “G”, 4.95%, 8/01/23    $ 1,340,000      $ 1,358,747   
California Housing Finance Agency Rev. (Home Mortgage), “G”, 5.5%, 8/01/42      150,000        152,613   
Colorado Housing & Finance Authority, “A”, 5.5%, 11/01/29      835,000        873,594   
Kentucky Counties Single Family Mortgage Rev., “A”, NATL, 9%, 9/01/16      5,000        5,002   
    

 

 

  
             $ 2,389,956   
Solid Waste Revenue - 0.3%                 
Pennsylvania Economic Development Financing Authority, Sewer Sludge Disposal Rev. (Philadelphia Biosolids Facility), 6.25%, 1/01/32    $ 335,000      $ 338,213   
State & Local Agencies - 3.6%                 
Alabama Incentives Financing Authority Special Obligation, “A”, 5%, 9/01/37    $ 65,000      $ 68,066   
Dorchester County, SC, School District No. 2, Growth Remedy Opportunity Tax Hike, 5.25%, 12/01/14 (c)      500,000        518,670   
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Enhanced, “A”, FGIC, 5%, 6/01/35      110,000        110,175   
Guam Government Department of Education (John F. Kennedy High School), “A”, COP, 6.875%, 12/01/40      295,000        298,832   
Laurens County, SC, School District No. 55, Installment Purchase Rev., 5.25%, 12/01/30      700,000        719,019   
Massachusetts College Building Authority Rev., “C”, 3%, 5/01/42      80,000        57,894   
Mississippi Development Bank Special Obligation (Marshall County Industrial Development Authority Mississippi Highway Construction Project), 5%, 1/01/28      120,000        133,520   
New York Tobacco Settlement Financing Corp., Asset-Backed Rev., “B”, 5%, 6/01/21      305,000        330,946   
Newberry, SC, Investing in Children’s Education (Newberry County School District Program), 5%, 12/01/30      400,000        415,580   
Philadelphia, PA, Municipal Authority Rev., 6.5%, 4/01/34      135,000        150,030   
Puerto Rico Public Finance Corp., “E”, ETM, 6%, 8/01/26 (c)      80,000        100,722   
Puerto Rico Public Finance Corp., “E”, ETM, 6%, 8/01/26 (c)      820,000        1,032,396   
Wisconsin General Fund Annual Appropriation Rev., “A”, 5.75%, 5/01/33      660,000        740,375   
    

 

 

  
             $ 4,676,225   
Student Loan Revenue - 0.8%                 
Iowa Student Loan Liquidity Corp., “A-2”, 5.5%, 12/01/25    $ 165,000      $ 168,845   
Iowa Student Loan Liquidity Corp., “A-2”, 5.6%, 12/01/26      165,000        168,620   
Iowa Student Loan Liquidity Corp., “A-2”, 5.7%, 12/01/27      20,000        20,450   
Iowa Student Loan Liquidity Corp., “A-2”, 5.75%, 12/01/28      305,000        311,073   
Massachusetts Educational Financing Authority, Education Loan Rev., “H”, ASSD GTY, 6.35%, 1/01/30      315,000        332,290   
Massachusetts Educational Financing Authority, Education Loan Rev., “I-A”, 5.5%, 1/01/22      25,000        27,626   
    

 

 

  
             $ 1,028,904   
Tax - Other - 2.1%                 
Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev., “A”, 5%, 5/01/35    $ 100,000      $ 93,549   
Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev., “A”, 5%, 5/01/42      420,000        383,368   
Dallas County, TX, Flood Control District, 7.25%, 4/01/32      750,000        751,103   
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5%, 2/15/47      360,000        364,406   
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5.75%, 2/15/47      370,000        403,063   
New York, NY, City Transitional Finance Authority Building Aid Rev., “S-3”, 5.25%, 1/15/39      440,000        475,350   
Virgin Islands Public Finance Authority Rev. (Diageo Project), “A”, 6.75%, 10/01/37      205,000        220,697   
    

 

 

  
             $ 2,691,536   

 

7

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Tax Assessment - 4.5%                 
Anne Arundel County, MD, Special Obligation (National Business Park-North Project), 6.1%, 7/01/40    $ 140,000      $ 147,164   
Atlanta, GA, Tax Allocation (Eastside Project), “B”, 5.4%, 1/01/20      500,000        526,195   
Capital Region Community Development District, FL, Capital Improvement Rev., “A”, 7%, 5/01/39      220,000        218,761   
Chicago, IL, Tax Increment Allocation (Pilsen Redevelopment), “B”, 6.75%, 6/01/22      310,000        312,644   
Du Page County, IL, Special Service Area No. 31 Special Tax (Monarch Landing Project), 5.625%, 3/01/36      250,000        247,913   
Embrey Mill Community Development Authority, VA, Special Assessment Rev., 7.25%, 3/01/43      410,000        400,783   
Heritage Harbour North Community Development District, FL, Capital Improvement Rev., 6.375%, 5/01/38      315,000        299,190   
Homestead, Community Development District, FL, Special Assessment, “A”, 6%, 5/01/37      365,000        267,439   
Lincolnshire, IL, Special Service Area No. 1 (Sedgebrook Project), 6.25%, 3/01/34      198,000        201,132   
Main Street Community Development District, FL, “A”, 6.8%, 5/01/38      280,000        280,246   
Ohio County, WV, Commission Tax Increment Rev. (Fort Henry Centre), “A”, 5.85%, 6/01/34      125,000        127,381   
Pasco County, FL, Estancia At Wiregrass Community Development District, Capital Improvement, 7%, 11/01/45      105,000        106,885   
Plano, IL, Special Service Area No. 4 (Lakewood Springs Project Unit 5-B), 6%, 3/01/35      1,406,000        1,399,504   
San Francisco, CA, City & County Redevelopment Successor Agency Tax Allocation (Mission Bay South Public Improvements), “A”, 5%, 8/01/43      25,000        25,323   
Tuscany Reserve Community Development District, FL, Special Assessment, “B”, 5.25%, 5/01/16      185,000        186,848   
Westridge, FL, Community Development District, Capital Improvement Rev., 5.8%, 5/01/37 (a)(d)      960,000        364,800   
Yorba Linda, CA, Redevelopment Agency, Tax Allocation Rev., Capital Appreciation, “A”, NATL, 0%, 9/01/24      1,325,000        760,020   
    

 

 

  
             $ 5,872,228   
Tobacco - 7.5%                 
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 5.875%, 6/01/47    $ 480,000      $ 394,373   
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., “A-1”, 5.75%, 6/01/47      300,000        244,344   
Illinois Railsplitter Tobacco Settlement Authority, 6%, 6/01/28      1,365,000        1,547,855   
New Jersey Tobacco Settlement Financing Corp., “1-A”, 4.5%, 6/01/23      1,925,000        1,861,263   
New Jersey Tobacco Settlement Financing Corp., “1-A”, 4.75%, 6/01/34      3,405,000        2,582,114   
New Jersey Tobacco Settlement Financing Corp., “1-A”, 5%, 6/01/41      3,355,000        2,556,409   
Rhode Island Tobacco Settlement Authority, 6%, 6/01/23      610,000        610,305   
    

 

 

  
             $ 9,796,663   
Toll Roads - 6.6%                 
E-470 Public Highway Authority, CO, Capital Appreciation, “B”, NATL, 0%, 9/01/18    $ 1,500,000      $ 1,332,810   
Mid-Bay Bridge Authority, FL, Springing Lien Rev., “A”, 7.25%, 10/01/40      445,000        499,704   
North Texas Tollway Authority Rev., 6%, 1/01/38      765,000        853,097   
North Texas Tollway Authority Rev. (Special Projects System), “D”, 5%, 9/01/31      1,200,000        1,317,672   
San Joaquin Hills, CA, Transportation Corridor Agency, Toll Road Rev., Capital Appreciation, “A”, NATL, 0%, 1/15/15      3,000,000        2,934,240   
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        189,854   
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        147,137   
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 6%, 1/01/37      470,000        499,008   
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 5.5%, 1/01/42      755,000        773,158   
    

 

 

  
             $ 8,546,680   
Universities - Colleges - 8.4%                 
Brevard County, FL, Industrial Development Rev. (TUFF Florida Tech LLC Project), 6.75%, 11/01/39    $ 540,000      $ 552,895   
California Educational Facilities Authority Rev., 5%, 2/01/26      235,000        235,682   
California Educational Facilities Authority Rev. (Chapman University), 5%, 4/01/31      145,000        153,393   
California Educational Facilities Authority Rev. (University of Southern California), “A”, 5.25%, 10/01/38      1,270,000        1,392,352   
California Municipal Finance Authority Rev. (Biola University), 5.8%, 10/01/28      100,000        108,616   
California Statewide Communities Development Authority Rev. (California Baptist University), “A”, 6.125%, 11/01/33      100,000        100,605   
California Statewide Communities Development Authority Rev. (Lancer Plaza Project), 5.625%, 11/01/33      110,000        105,879   
Collier County, FL, Educational Facilities Authority Rev. (Ave Maria University, Inc. Project), “A”, 6.125%, 6/01/43      335,000        339,797   
Florida State University Board of Governors, System Improvement Rev., 6.25%, 7/01/30      1,000,000        1,154,540   
Forest Grove, OR, Campus Improvement Rev. (Pacific University Project), “A”, 4.5%, 5/01/29      90,000        89,506   

 

8

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Universities - Colleges - continued                 
Forest Grove, OR, Campus Improvement Rev. (Pacific University Project), “A”, 5%, 5/01/40    $ 110,000      $ 110,872   
Grand Valley, MI, State University Rev., 5.5%, 12/01/27      135,000        149,395   
Grand Valley, MI, State University Rev., 5.625%, 12/01/29      65,000        70,630   
Illinois Finance Authority Rev. (Roosevelt University Project), 6.25%, 4/01/29      670,000        692,184   
Marietta, GA, Development Facilities Authority Rev. (Life University), 7%, 6/15/39      265,000        267,290   
Massachusetts Health & Educational Facilities Authority Rev. (Simmons College), 8%, 10/01/15 (c)      105,000        117,814   
Massachusetts Health & Educational Facilities Authority Rev. (Simmons College), 8%, 10/01/29      150,000        162,588   
Massachusetts Health & Educational Facilities Authority Rev. (Suffolk University), “A”, 6.25%, 7/01/30      725,000        788,329   
Massachusetts Health & Educational Facilities Authority Rev. (Suffolk University), “A”, 5.75%, 7/01/39      455,000        474,342   
Puerto Rico Industrial, Tourist, Medical, & Environmental Central Facilities (University of Sacred Heart), 4.375%, 10/01/31      45,000        32,047   
Puerto Rico Industrial, Tourist, Medical, & Environmental Central Facilities (University of Sacred Heart), 5%, 10/01/42      25,000        17,202   
Savannah, GA, Economic Development Authority Rev. (AASU Student Union LLC), ASSD GTY, 5.125%, 6/15/39      335,000        348,062   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 8/15/30      195,000        215,500   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 8/15/31      85,000        93,407   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 8/15/32      80,000        87,310   
University of Illinois Rev. (Auxiliary Facilities Systems), “A”, 5.125%, 4/01/29      1,880,000        2,036,247   
University of Southern Indiana Rev. (Student Fee), “J”, ASSD GTY, 5.75%, 10/01/28      300,000        345,861   
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.25%, 9/01/32      220,000        239,074   
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.375%, 9/01/36      80,000        86,478   
Washington Higher Education Facilities Authority Rev. (Whitworth University), 5.875%, 10/01/34      280,000        293,994   
    

 

 

  
             $ 10,861,891   
Universities - Dormitories - 3.1%                 
Bowling Green, OH, Student Housing Rev. (State University Project), 5.75%, 6/01/31    $ 175,000      $ 178,285   
Buffalo & Erie County, NY, Industrial Land Development Corp. Rev. (Buffalo State College), “A”, 5.375%, 10/01/41      200,000        213,992   
California Statewide Communities Development Authority Rev. (Lancer Educational Student Housing Project), 5.625%, 6/01/33      735,000        684,689   
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 10/01/30      130,000        125,035   
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 10/01/35      670,000        610,618   
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 10/01/45      775,000        668,701   
Illinois Finance Authority Student Housing Rev. (Illinois State University), 6.75%, 4/01/31      240,000        263,254   
Illinois Finance Authority Student Housing Rev. (Northern Illinois University Project), 6.625%, 10/01/31      615,000        681,414   
Mississippi State University, Educational Building Corp. Rev., 5%, 8/01/36      440,000        467,078   
Pennsylvania Higher Educational Facilities Authority Rev. (Edinboro University Foundation), 5.8%, 7/01/30      80,000        81,005   
Pennsylvania Higher Educational Facilities Authority Rev. (Edinboro University Foundation), 6%, 7/01/43      110,000        110,218   
    

 

 

  
             $ 4,084,289   
Universities - Secondary Schools - 2.7%                 
Build NYC Resource Corp. Rev. (South Bronx Charter School for International Cultures and the Arts), “A”, 5%, 4/15/43    $ 100,000      $ 78,135   
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 6%, 8/15/33      105,000        111,929   
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5.75%, 8/15/41      75,000        76,774   
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 6%, 8/15/43      165,000        172,244   
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.125%, 12/01/40      215,000        228,928   
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 4.35%, 12/01/42      110,000        93,797   
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.25%, 12/01/45      135,000        144,303   
District of Columbia Rev. (Kipp, D.C. Charter School), “A”, 6%, 7/01/43      110,000        115,845   
District of Columbia Rev. (Kipp, D.C. Charter School), “A”, 6%, 7/01/33      45,000        48,665   
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 6%, 6/15/32      115,000        105,330   
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 6.125%, 6/15/43      240,000        216,713   
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 8.5%, 6/15/44      445,000        451,733   
La Vernia, TX, Higher Education Finance Corp. Rev. (KIPP, Inc.), “A”, 6.25%, 8/15/39      195,000        209,654   
North Texas Education Finance Corp., Education Rev. (Uplift Education), “A”, 5.125%, 12/01/42      170,000        164,890   
Philadelphia Authority for Industrial Development Rev. (Philadelphia Performing Arts Charter School Project), 6.5%, 6/15/33      230,000        232,801   
Philadelphia Authority for Industrial Development Rev. (Tacony Academy Charter School ), 6.875%, 6/15/33      100,000        100,496   
Philadelphia Authority for Industrial Development Rev. (Tacony Academy Charter School), 7.375%, 6/15/43      110,000        112,312   
Philadelphia, PA, Authority for Industrial Development Rev. (MaST Charter School), 6%, 8/01/35      50,000        52,181   

 

9

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Universities - Secondary Schools - continued                 
Philadelphia, PA, Authority for Industrial Development Rev. (Philadelphia Performing Arts Charter School Project), 6.75%, 6/15/43    $ 320,000      $ 323,373   
Philadelphia, PA, Authority for Industrial Development Rev. (Tacony Academy Charter School Project), “A-1”, 7%, 6/15/43      140,000        138,946   
Phoenix, AZ, Industrial Development Authority Education Rev. (Choice Academies, Inc. Project), 5.625%, 9/01/42      135,000        117,144   
Phoenix, AZ, Industrial Development Authority Education Rev. (Eagle College Prep Project), 5%, 7/01/33      65,000        60,354   
Phoenix, AZ, Industrial Development Authority Education Rev. (Eagle College Prep Project), 5%, 7/01/43      125,000        109,545   
    

 

 

  
             $ 3,466,092   
Utilities - Cogeneration - 0.8%                 
California Pollution Control Financing Authority, Water Furnishing Rev. (Poseidon Resources Desalination Project), 5%, 11/21/45    $ 745,000      $ 706,424   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Central Facilities (Cogeneration Facilities - AES Puerto Rico Project), 6.625%, 6/01/26      420,000        376,589   
    

 

 

  
             $ 1,083,013   
Utilities - Investor Owned - 3.4%                 
Brazos River Authority, TX, Pollution Control Rev. (TXU Electric Co. LLC), “C”, 6.75%, 10/01/38    $ 555,000      $ 17,344   
Chula Vista, CA, Industrial Development Rev. (San Diego Gas & Electric Co.), “E”, 5.875%, 1/01/34      245,000        268,562   
Farmington, NM, Pollution Control Rev. (Public Service New Mexico), “D”, 5.9%, 6/01/40      500,000        530,135   
Hawaii Department of Budget & Finance Special Purpose Rev. (Hawaiian Electric Co. & Subsidiary), 6.5%, 7/01/39      390,000        430,400   
Massachusetts Development Finance Agency, Solid Waste Disposal Rev. (Dominion Energy Brayton), 5.75%, 5/01/19 (c)      85,000        104,853   
Matagorda County, TX, Pollution Control Rev. (Central Power & Light Co.), “A”, 6.3%, 11/01/29      275,000        306,257   
Mississippi Business Finance Corp., Pollution Control Rev. (Systems Energy Resources Project), 5.875%, 4/01/22      1,500,000        1,501,380   
Owen County, KY, Waterworks System Rev. (American Water Co. Project), “A”, 6.25%, 6/01/39      205,000        216,566   
Pima County, AZ, Industrial Development Authority Rev. (Tucson Electric Power Co.), 5.75%, 9/01/29      1,015,000        1,036,731   
    

 

 

  
             $ 4,412,228   
Utilities - Municipal Owned - 1.5%                 
Harris County, TX, Cultural Education Facilities Financial Corp., Thermal Utilities Rev. (Teco Project), “A”, 5.25%, 11/15/35    $ 140,000      $ 148,313   
Los Angeles, CA, Department of Water & Power Rev. (Power System), “B”, 5%, 7/01/38      355,000        382,505   
Sacramento, CA, Municipal Utility District, “X”, 5%, 8/15/28      365,000        405,146   
South Carolina Public Service Authority Rev., “A”, 5.125%, 12/01/43      280,000        293,658   
South Carolina Public Service Authority Rev., “B”, 5.125%, 12/01/43      675,000        707,927   
    

 

 

  
             $ 1,937,549   
Utilities - Other - 3.7%                 
California M-S-R Energy Authority Gas Rev., “A”, 7%, 11/01/34    $ 155,000      $ 202,272   
California M-S-R Energy Authority Gas Rev., “A”, 6.5%, 11/01/39      335,000        420,221   
Georgia Main Street Natural Gas, Inc., Gas Project Rev., “A”, 5%, 3/15/22      660,000        744,011   
Georgia Main Street Natural Gas, Inc., Gas Project Rev., “A”, 5.5%, 9/15/28      335,000        367,807   
Indiana Bond Bank Special Program, Gas Rev., “A”, 5.25%, 10/15/18      230,000        261,351   
Public Authority for Colorado Energy Natural Gas Purchase Rev., 6.5%, 11/15/38      25,000        31,276   
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 9/01/21      1,710,000        1,905,630   
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 9/01/22      270,000        300,875   
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 9/01/26      165,000        181,198   
Tennessee Energy Acquisition Corp., Gas Rev., “C”, 5%, 2/01/25      240,000        257,522   
Texas Gas Acquisition & Supply Corp III., Gas Supply Rev., 5%, 12/15/31      150,000        153,087   
    

 

 

  
      $ 4,825,250   
Water & Sewer Utility Revenue - 10.2%                 
Atlanta, GA, Water & Wastewater Rev., “A”, 6%, 11/01/22    $ 370,000      $ 451,637   
Birmingham, AL, Waterworks Board Water Rev., “A”, ASSD GTY, 5.125%, 1/01/34      595,000        631,021   
California Department of Water Resources, Center Valley Project Rev., “AJ”, 5%, 12/01/35      1,010,000        1,105,425   
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, 5.75%, 7/01/37      145,000        107,709   
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, 6%, 7/01/44      160,000        119,406   
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 10/01/31      15,000        16,743   
Detroit, MI, Sewage Disposal System Rev., “B”, NATL, 5.5%, 7/01/22      955,000        980,565   

 

10

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Water & Sewer Utility Revenue - continued                 
Detroit, MI, Sewage Disposal System Rev., Senior Lien, “A”, 5.25%, 7/01/39    $ 580,000      $ 554,161   
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, 0%, 10/01/25      10,000        5,367   
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/26      105,000        52,693   
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/29      150,000        60,837   
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/34      210,000        58,970   
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/35      400,000        104,720   
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/15      20,000        20,837   
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/16      50,000        53,391   
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/17      65,000        70,612   
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/18      70,000        76,691   
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/21      75,000        80,719   
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/23      115,000        122,373   
King County, WA, Sewer Rev., 5%, 1/01/40      1,395,000        1,474,571   
Lehigh County, PA, Water and Sewer Authority Rev. (Allentown Concession), “A”, 5%, 12/01/43      1,135,000        1,168,437   
Lehigh County, PA, Water and Sewer Authority Rev. (Allentown Concession), Capital Appreciation, “B”, 0%, 12/01/37      955,000        257,392   
New York Environmental Facilities Corp., Clean Drinking Water Revolving Funds, 5%, 6/15/41      685,000        732,751   
New York Environmental Facilities, “C”, 5%, 5/15/41      945,000        1,013,286   
New York, NY, Municipal Water Finance Authority, Water & Sewer System Rev., “AA”, 5%, 6/15/34      1,980,000        2,133,628   
New York, NY, Municipal Water Finance Authority, Water & Sewer Systems Rev., “DD”, 4.75%, 6/15/35      790,000        809,940   
Surprise, AZ, Municipal Property Corp., 4.9%, 4/01/32      700,000        707,924   
V Lakes Utility District, MS, Water Systems Rev., 7%, 7/15/37      300,000        300,036   
    

 

 

  
             $ 13,271,842   
Total Municipal Bonds            $ 200,082,619   
Money Market Funds - 2.4%                 
MFS Institutional Money Market Portfolio, 0.08%, at Net Asset Value (v)      3,155,819      $ 3,155,819   
Total Investments            $ 203,238,438   
Other Assets, Less Liabilities - 1.4%              1,845,580   
ARPS, at liquidation value (issued by the fund) - (3.0)%              (3,900,000 ) 
VMTPS, at liquidation value (issued by the fund) - (54.6)%              (71,100,000 ) 
Net assets applicable to common shares - 100.0%            $ 130,084,018   

 

(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.
(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 $2,012,298, 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”, 9.544%, 12/01/2016      10/17/01-1/14/02         $455,481         $448,772   
% of Net assets applicable to common shares         0.3%   

 

11

Portfolio of Investments (unaudited) – continued

 

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 may not be the rate reported at period end.
LOC   Letter of Credit
VMTPS   Variable Rate Municipal Term Preferred Shares

 

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 2/28/14

Futures Contracts at 2/28/14

 

Description    Currency      Contracts      Value    Expiration Date    Unrealized
Appreciation
(Depreciation)		  
Liability Derivatives               
Interest Rate Futures               
U.S. Treasury Note 10 yr (Short)      USD         188       $23,411,875    June - 2014      $(24,423 ) 
U.S. Treasury Bond 30 yr (Short)      USD         22       2,927,375    June - 2014      (16,065 ) 
              

 

 

  
                 $(40,488 ) 
              

 

 

  

At February 28, 2014, the fund had cash collateral of $332,300 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.

 

12

Supplemental Information

2/28/14 (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 February 28, 2014 in valuing the fund’s assets or liabilities:

 

Investments at Value    Level 1      Level 2      Level 3      Total  
Municipal Bonds      $—         $200,082,619         $—         $200,082,619   
Mutual Funds      3,155,819         —         —         3,155,819   
Total Investments      $3,155,819         $200,082,619         $—         $203,238,438   
Other Financial Instruments                            
Futures Contracts      $(40,488 )       $—         $—         $(40,488 ) 

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

(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      $194,159,584   
Gross unrealized appreciation      12,863,152   
Gross unrealized depreciation      (3,784,298 ) 
Net unrealized appreciation (depreciation)      $9,078,854   

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

 

13

Supplemental Information (unaudited) – continued

 

(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      4,865,834         7,149,521         (8,859,536 )       3,155,819   
Underlying Affiliated Fund    Realized
Gain (Loss)		      Capital Gain
Distributions		      Dividend
Income		      Ending
Value		  
MFS Institutional Money Market Portfolio      $—         $—         $1,124         $3,155,819   

 

14

ITEM 2. CONTROLS AND PROCEDURES.

 

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

 

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

 

ITEM 3. EXHIBITS.

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

Notice

A copy of the 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.

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: April 14, 2014

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: April 14, 2014

 

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

Date: April 14, 2014

 

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