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 811-4992

MFS HIGH YIELD MUNICIPAL TRUST

(Exact name of registrant as specified in charter)

111 Huntington Avenue, Boston, Massachusetts 02199

(Address of principal executive offices) (Zip code)

Susan S. Newton

Massachusetts Financial Services Company

111 Huntington Avenue

Boston, Massachusetts 02199

(Name and address of agents for service)

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

Date of fiscal year end: November 30

Date of reporting period: August 31, 2013

ITEM 1. SCHEDULE OF INVESTMENTS.

QUARTERLY REPORT

August 31, 2013

 

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MFS® HIGH YIELD

MUNICIPAL TRUST

 

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PORTFOLIO OF INVESTMENTS

8/31/13 (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 - 149.6%                 
Airport Revenue - 3.4%                 
Burlington, VT, Airport Rev., “A”, 4%, 2028    $ 90,000      $ 69,077   
Dallas Fort Worth, TX, International Airport Rev. Improvement, “B”, AGM, 5%, 2025      3,000,000        3,084,120   
Guam International Airport Authority Rev., “C”, 5%, 2016      25,000        26,555   
Guam International Airport Authority Rev., “C”, 5%, 2017      45,000        47,768   
Houston, TX, Airport System Rev., “B”, 5%, 2026      175,000        186,162   
Houston, TX, Airport System Rev., Subordinate Lien, “A”, 5%, 2031      155,000        145,705   
Port Authority of NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 2036      255,000        280,038   
Port Authority of NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 2042      290,000        315,291   
    

 

 

  
             $ 4,154,716   
General Obligations - General Purpose - 2.2%                 
Bellwood, IL, 5.875%, 2027    $ 200,000      $ 178,574   
Bellwood, IL, 6.15%, 2032      200,000        174,906   
Commonwealth of Puerto Rico, Public Improvement, “A”, 5%, 2029      225,000        163,861   
Guam Government, “A”, 7%, 2039      90,000        94,069   
Luzerne County, PA, AGM, 6.75%, 2023      455,000        501,001   
State of California, 5.25%, 2028      335,000        356,973   
State of California, 5.25%, 2030      790,000        825,613   
State of Hawaii, “DZ”, 5%, 2031      200,000        209,896   
State of Illinois, 5.5%, 2038      170,000        163,968   
    

 

 

  
             $ 2,668,861   
General Obligations - Schools - 2.4%                 
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2029    $ 2,195,000      $ 979,190   
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2031      275,000        105,369   
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2032      280,000        100,201   
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2033      560,000        187,606   
Frisco, TX, Independent School District, School Building, “B”, PSF, 3%, 2042      65,000        44,001   
Irving, TX, Independent School District, Capital Appreciation, “A”, PSF, 0%, 2016      1,000,000        978,530   
Los Angeles, CA, Unified School District, “D”, 5%, 2034      165,000        166,482   
San Jacinto, TX, Community College District, 5.125%, 2038      430,000        442,625   
    

 

 

  
             $ 3,004,004   
Healthcare Revenue - Hospitals - 36.1%                 
Allegheny County, PA, Hospital Development Authority Rev. (University of Pittsburgh Medical Center), “A”, 5.375%, 2029    $ 440,000      $ 462,216   
Atchison, KS, Hospital Rev. (Atchison Hospital Assn.), “A”, 6.75%, 2030      320,000        339,549   
Brunswick, GA, Hospital Authority Rev. (Glynn-Brunswick Memorial Hospital), 5.625%, 2034      170,000        176,584   
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.5%, 2040      590,000        582,578   
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.75%, 2040      130,000        131,203   
California Health Facilities Financing Authority Rev. (St. Joseph Health System), “A”, 5.75%, 2039      185,000        196,230   
California Health Facilities Financing Authority Rev. (Sutter Health), “B”, 5.875%, 2031      660,000        718,925   
California Statewide Communities Development Authority Rev. (Catholic Healthcare West), “K”, ASSD GTY, 5.5%, 2041      625,000        644,906   
Cullman County, AL, Health Care Authority (Cullman Regional Medical Center), “A”, 6.75%, 2029      60,000        61,326   
Delaware County, PA, Authority Rev. (Mercy Health Corp.), ETM, 6%, 2016 (c)      965,000        1,036,101   
Delaware County, PA, Authority Rev. (Mercy Health Corp.), ETM, 6%, 2026 (c)      500,000        541,615   
Duluth, MN, Economic Development Authority Health Care Facilities Rev. (St. Luke’s Hospital Authority Obligated Group), 5.75%, 2027      140,000        135,969   
Duluth, MN, Economic Development Authority Health Care Facilities Rev. (St. Luke’s Hospital Authority Obligated Group), 5.75%, 2032      305,000        288,893   
Duluth, MN, Economic Development Authority Health Care Facilities Rev. (St. Luke’s Hospital Authority Obligated Group), 6%, 2039      365,000        350,641   
Gallia County, OH, Hospital Facilities Rev. (Holzer Health Systems), “A”, 8%, 2042      945,000        993,592   

 

1

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Healthcare Revenue - Hospitals - continued                 
Harris County, TX, Cultural Education Facilities Finance Corp. Medical Facilities Rev. (Baylor College of Medicine), “D”, 5.625%, 2032    $ 540,000      $ 572,179   
Harris County, TX, Health Facilities Development Corp., Hospital Rev. (Memorial Hermann Healthcare Systems), “B”, 7.25%, 2018 (c)      205,000        262,265   
Idaho Health Facilities Authority Rev. (IHC Hospitals, Inc.), ETM, 6.65%, 2021 (c)      2,750,000        3,448,555   
Illinois Finance Authority Rev. (Advocate Healthcare), 4%, 2047      305,000        233,468   
Illinois Finance Authority Rev. (Kewanee Hospital), 5.1%, 2031      515,000        504,319   
Illinois Finance Authority Rev. (Provena Health), “A”, 7.75%, 2034      485,000        578,945   
Illinois Finance Authority Rev. (Rehabilitation Institute of Chicago), “A”, 6%, 2043      200,000        202,198   
Illinois Finance Authority Rev. (Silver Cross Hospital & Medical Centers), 6.875%, 2038      485,000        518,911   
Indiana Health & Educational Facilities Finance Authority Rev. (Sisters of St. Francis Health Services, Inc.), “E”, AGM, 5.25%, 2041      660,000        645,803   
Indiana Health & Educational Facilities Finance Authority, Hospital Rev. (Clarian Health), “A”, 5%, 2039 (f)      1,745,000        1,667,574   
Indiana Health & Educational Facilities Finance Authority, Hospital Rev. (Community Foundation of Northwest Indiana), 5.5%, 2037      945,000        960,252   
Indiana Health & Educational Financing Authority Rev. (Community Foundation of Northwest Indiana ), “A”, 6%, 2014 (c)      425,000        441,244   
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.25%, 2031      300,000        314,313   
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.375%, 2041      185,000        191,595   
Johnson City, TN, Health & Educational Facilities Board, Hospital Rev. (Mountain States Health Alliance), “A”, 5.5%, 2031      1,120,000        1,122,800   
Johnson City, TN, Health & Educational Facilities Board, Hospital Rev. (Mountain States Health Alliance), “A”, 5.5%, 2036      410,000        407,331   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), “A”, 5.375%, 2024      300,000        327,036   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), “A”, 5.625%, 2027      100,000        107,687   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Owensboro Medical Health System), “A”, 6.375%, 2040      570,000        588,645   
Lake County, OH, Hospital Facilities Rev. (Lake Hospital Systems, Inc.), 5.625%, 2029      435,000        452,165   
Lebanon County, PA, Health Facilities Authority Rev. (Good Samaritan Hospital), 5.9%, 2028      210,000        193,362   
Louisiana Public Facilities Authority Hospital Rev. (Lake Charles Memorial Hospital), 6.375%, 2034      605,000        579,711   
Louisville & Jefferson County, KY, Metro Government Health Facilities Rev. (Jewish Hospital & St. Mary’s Healthcare), 6.125%, 2018 (c)      1,315,000        1,577,671   
Louisville & Jefferson County, KY, Metropolitan Government Healthcare Systems Rev. (Norton Healthcare, Inc.), 5.25%, 2036      1,265,000        1,206,418   
Lufkin, TX, Health Facilities Development Corp. Rev. (Memorial Health System), 5.5%, 2037      60,000        58,456   
Martin County, FL, Health Facilities Authority Rev. (Martin Memorial Medical Center), 5.5%, 2042      300,000        288,600   
Maryland Health & Higher Educational Facilities Authority Rev. (Anne Arundel Health System, Inc.), “A”, 6.75%, 2039      735,000        836,959   
Massachusetts Development Finance Agency Rev. (Tufts Medical Center), “I”, 7.25%, 2032      445,000        510,713   
Massachusetts Health & Educational Facilities Authority Rev. (Jordan Hospital), “E”, 6.75%, 2033      250,000        250,613   
Massachusetts Health & Educational Facilities Authority Rev. (Milford-Whitinsville Hospital), “C”, 5.25%, 2018      500,000        499,975   
Michigan Finance Authority Rev. (Trinity Health Corp.), 5%, 2035      1,000,000        972,450   
Monroe County, PA, Hospital Authority Rev. (Pocono Medical Center), “A”, 5%, 2032      55,000        53,014   
Montgomery, AL, Medical Clinic Board Health Care Facility Rev. (Jackson Hospital & Clinic), 5.25%, 2031      125,000        123,033   
Montgomery, AL, Medical Clinic Board Health Care Facility Rev. (Jackson Hospital & Clinic), 5.25%, 2036      825,000        775,286   
Muskingum County, OH, Hospital Facilities Rev. (Genesis Health System Obligated Group), 5%, 2033      195,000        163,913   
Muskingum County, OH, Hospital Facilities Rev. (Genesis Health System Obligated Group), 5%, 2044      500,000        387,525   
Muskingum County, OH, Hospital Facilities Rev. (Genesis Health System Obligated Group), 5%, 2048      195,000        147,094   
New Hampshire Business Finance Authority Rev. (Elliot Hospital Obligated Group), “A”, 6%, 2027      585,000        614,660   
New Hampshire Health & Education Facilities Authority Rev. (Memorial Hospital at Conway), 5.25%, 2021      530,000        530,625   
New Hanover County, NC, Hospital Rev., AGM, 5.125%, 2031      895,000        900,298   
New Jersey Health Care Facilities, Financing Authority Rev. (St. Peter’s University Hospital), 5.75%, 2037      545,000        511,406   
New Mexico Hospital Equipment Loan Council, Hospital Rev. (Rehoboth McKinley Christian Hospital), “A”, 5%, 2017      150,000        147,317   
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.5%, 2030      190,000        208,354   
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.25%, 2035      115,000        122,506   
Norman, OK, Regional Hospital Authority Rev., 5%, 2027      155,000        144,919   
Norman, OK, Regional Hospital Authority Rev., 5.375%, 2029      90,000        85,330   
Norman, OK, Regional Hospital Authority Rev., 5.375%, 2036      235,000        211,942   
Olympia, WA, Healthcare Facilities Authority Rev. (Catholic Health Initiatives), “D”, 6.375%, 2036      1,095,000        1,236,857   
Palomar Pomerado Health Care District, CA, COP, 6.75%, 2039      890,000        907,809   

 

2

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Healthcare Revenue - Hospitals - continued                 
Rhode Island Health & Educational Building Corp. Rev., Hospital Financing (Lifespan Obligated Group), “A”, ASSD GTY, 7%, 2039    $ 660,000      $ 709,104   
Royal Oak, MI, Hospital Finance Authority Rev. (William Beaumont Hospital), 8.25%, 2039      485,000        575,700   
Salida, CO, Hospital District Rev., 5.25%, 2036      692,000        638,937   
Skagit County, WA, Public Hospital District No. 001 Rev. (Skagit Valley Hospital), 5.75%, 2032      90,000        88,857   
South Dakota Health & Educational Facilities Authority Rev. (Avera Health), “A”, 5%, 2042      105,000        99,475   
South Dakota Health & Educational Facilities Authority Rev. (Sanford), “E”, 5%, 2037      90,000        84,590   
South Lake County, FL, Hospital District Rev. (South Lake Hospital), 6.375%, 2034      250,000        250,708   
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6%, 2029      85,000        91,046   
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6.25%, 2039      125,000        133,891   
Southeastern Ohio Port Authority, Hospital Facilities Rev. (Memorial Health System), 5.75%, 2032      300,000        301,677   
Southeastern Ohio Port Authority, Hospital Facilities Rev. (Memorial Health System), 6%, 2042      245,000        247,220   
Sullivan County, TN, Health, Educational & Housing Facilities Board Hospital Rev. (Wellmont Health Systems Project), “C”, 5.25%, 2036      1,085,000        1,029,513   
Sumner County, TN, Health, Educational & Housing Facilities Board Rev. (Sumner Regional Health Systems, Inc.), “A”, 5.5%, 2046 (a)(d)      375,000        934   
Sweetwater County, WY, Hospital Rev. (Memorial Hospital Project), “A”, 5%, 2037      240,000        224,419   
Tyler, TX, Health Facilities Development Corp. (East Texas Medical Center), “A”, 5.25%, 2032      230,000        214,710   
Tyler, TX, Health Facilities Development Corp. (East Texas Medical Center), “A”, 5.375%, 2037      160,000        147,891   
Virginia Small Business Financing Authority, Hospital Rev. (Wellmont Health Project), ‘‘A’’, 5.25%, 2037      470,000        440,780   
Washington Health Care Facilities Authority Rev. (Multicare Health Systems), “B”, ASSD GTY, 6%, 2039      440,000        460,988   
Washington Health Care Facilities Authority Rev. (Providence Health & Services), “A”, 5%, 2033      1,105,000        1,078,966   
West Contra Costa, CA, Healthcare District, AMBAC, 5.5%, 2029      105,000        105,225   
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 2026      200,000        201,150   
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 2028      60,000        58,947   
Wisconsin Health & Educational Facilities Authority Rev. (Fort Healthcare, Inc.), 6.1%, 2034      750,000        766,328   
Wisconsin Health & Educational Facilities Authority Rev. (Meritor Hospital), “A”, 5.5%, 2031      725,000        741,755   
Wisconsin Health & Educational Facilities Authority Rev. (Meritor Hospital), “A”, 6%, 2041      490,000        510,066   
Wisconsin Health & Educational Facilities Authority Rev. (Wheaton Franciscan Services), 5.25%, 2034      935,000        892,691   
    

 

 

  
             $ 44,549,997   
Healthcare Revenue - Long Term Care - 16.6%                 
Abilene, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Centers, Inc.), “A”, 7%, 2013 (c)    $ 25,000      $ 25,593   
Americus and Sumter County, GA, Hospital Authority Rev. (Magnolia Manor Obligated Group), “A”, 6.25%, 2033      95,000        92,474   
Americus and Sumter County, GA, Hospital Authority Rev. (Magnolia Manor Obligated Group), “A”, 6.375%, 2043      95,000        91,149   
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 2027      90,000        86,355   
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 2037      120,000        107,408   
California Statewide Communities Development Authority Rev. (American Baptist Homes of the West), 6.25%, 2039      215,000        217,907   
Chartiers Valley, PA, Industrial & Commercial Development Authority (Friendship Village), “A”, 5.75%, 2020      1,000,000        1,001,120   
Colorado Health Facilities Authority Rev. (Christian Living Communities Project), “A”, 5.75%, 2037      475,000        463,638   
Colorado Health Facilities Authority Rev. (Covenant Retirement Communities, Inc.), 5%, 2035      1,100,000        938,223   
Cumberland County, PA, Municipal Authority Rev. (Asbury Atlantic, Inc.), 5.25%, 2041      290,000        255,992   
Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries), 6.125%, 2029      695,000        731,084   
Fulton County, GA, Residential Care Facilities (Canterbury Court), “A”, 6.125%, 2026      500,000        503,405   
Hawaii Department of Budget & Finance, Special Purpose Rev. (15 Craigside Project), “A”, 9%, 2044      140,000        156,083   
Houston, TX, Health Facilities Development Corp. (Buckingham Senior Living Community), “A”, 7%, 2014 (c)      500,000        520,045   
Illinois Finance Authority Rev. (Evangelical Retirement Homes of Greater Chicago, Inc.), 7.25%, 2045      850,000        875,883   
Illinois Finance Authority Rev. (Franciscan Communities, Inc.), “A”, 4.75%, 2033      200,000        167,662   
Illinois Finance Authority Rev. (Franciscan Communities, Inc.), “A”, 5.125%, 2043      215,000        178,007   
Illinois Finance Authority Rev. (Lutheran Home & Services), 5.625%, 2042      185,000        166,030   
Illinois Finance Authority Rev. (Smith Village), “A”, 6.25%, 2035      1,000,000        937,330   
Illinois Health Facilities Authority Rev. (Smith Crossing), “A”, 7%, 2032      525,000        529,121   
Indiana Finance Authority Rev. (BHI Senior Living), “A”, 6%, 2041      275,000        264,503   
Kentucky Economic Development Finance Authority Health Care Rev. (Masonic Homes of Kentucky, Inc.), 5.375%, 2042      130,000        112,783   
Kentucky Economic Development Finance Authority Health Care Rev. (Masonic Homes of Kentucky, Inc.), 5.5%, 2045      80,000        69,930   

 

3

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Healthcare Revenue - Long Term Care - continued                 
Kentucky Economic Development Finance Authority Health Facilities Rev. (AHF/Kentucky-Iowa, Inc.), 8%, 2029    $ 346,000      $ 341,146   
La Verne, CA, COP (Brethren Hillcrest Homes), “B”, 6.625%, 2025      500,000        505,400   
Massachusetts Development Finance Agency Rev. (Adventcare), “A”, 6.75%, 2037      695,000        705,105   
Massachusetts Development Finance Agency Rev. (Alliance Health of Brockton, Inc.), “A”, 7.1%, 2032      975,000        904,459   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 2031      130,267        111,923   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 2039      31,732        26,272   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-2”, 5.5%, 2046      8,656        6,211   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), Capital Appreciation, “B”, 0%, 2056      43,059        226   
Massachusetts Development Finance Agency Rev. (Loomis Communities, Inc.), “A”, 5.625%, 2015      80,000        80,059   
Massachusetts Development Finance Agency Rev. (Loomis Communities, Inc.), “A”, 6.9%, 2032      125,000        125,561   
Massachusetts Development Finance Agency Rev. (North Hill Communities), “A”, 6.25%, 2033      100,000        93,476   
Massachusetts Development Finance Agency Rev. (North Hill Communities), “A”, 6.5%, 2043      100,000        91,985   
Montgomery County, PA, Industrial Development Authority Retirement Community Rev. (ACTS Retirement - Life Communities, Inc.), 5%, 2028      350,000        329,700   
Montgomery County, PA, Industrial Development Authority Retirement Community Rev. (ACTS Retirement - Life Communities, Inc.), 5%, 2029      130,000        118,525   
New Jersey Economic Development Authority Rev. (Lions Gate), “A”, 5.75%, 2025      400,000        394,732   
New Jersey Economic Development Authority Rev. (Lions Gate), “A”, 5.875%, 2037      300,000        272,607   
New Jersey Economic Development Authority Rev. (Seabrook Village, Inc.), 5.25%, 2026      500,000        489,255   
New Jersey Economic Development Authority Rev. (Seabrook Village, Inc.), 5.25%, 2036      500,000        449,855   
Norfolk, VA, Redevelopment & Housing Authority Rev. (Fort Norfolk Retirement Community), “A”, 6.125%, 2035      195,000        184,033   
Oklahoma Development Finance Authority Continuing Care Retirement Community Rev. (Inverness Village), 5.75%, 2037      305,000        276,678   
Pell City, AL, Special Care Facilities, Financing Authority Rev. (Noland Health Services, Inc.), 5%, 2039      175,000        158,408   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement System, Inc.), “A”, 5.45%, 2038      723,000        565,661   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement System, Inc.), “A”, 6.05%, 2046      147,000        122,101   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement System, Inc.), “C”, 6.25%, 2053      13,000        11,193   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement System, Inc.), “D”, 6.05%, 2046      26,000        21,596   
Shelby County, TN, Health, Educational & Housing Facilities Board Rev. (Germantown Village), “A”, 7.25%, 2013 (c)      225,000        228,670   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), “A”, 6%, 2032      199,626        128,683   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), “A”, 6%, 2047      185,367        111,997   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), Capital Appreciation, “B”, 0%, 2047      85,554        1,360   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), Capital Appreciation, “B”, 0%, 2047      79,443        1,263   
South Carolina Jobs & Economic Development Authority, Health Facilities Rev. (Lutheran Homes of South Carolina, Inc.), 5.125%, 2048      40,000        32,926   
St. John’s County, FL, Industrial Development Authority Rev. (Presbyterian Retirement), “A”, 6%, 2045      610,000        619,595   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Air Force Village Foundation, Inc.), 6.125%, 2029      550,000        575,713   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Air Force Village Foundation, Inc.), 6.375%, 2044      415,000        427,877   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Stayton at Museum Way), 8.25%, 2044      770,000        809,316   
Tempe, AZ, Industrial Development Authority Rev. (Friendship Village), “A”, 6.25%, 2042      90,000        87,634   
Tempe, AZ, Industrial Development Authority Rev. (Friendship Village), “A”, 6.25%, 2046      70,000        67,898   
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7%, 2030      130,000        141,235   
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7.125%, 2040      195,000        209,699   
Westmoreland County, PA, Industrial Development Authority Rev. (Redstone Retirement Community), “A”, 5.875%, 2032      600,000        595,620   
Westmoreland County, PA, Industrial Development Retirement Authority Rev. (Redstone Retirement Community), “A”, 5.75%, 2026      1,250,000        1,260,400   
Wichita, KS, Health Care Facilities Rev. (Presbyterian Manors, Inc.), “A”, 6.375%, 2043      300,000        287,838   
    

 

 

  
             $ 20,465,616   

 

4

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Industrial Revenue - Airlines - 3.8%                 
Clayton County, GA, Development Authority Special Facilities Rev. (Delta Airlines, Inc.), “A”, 8.75%, 2029    $ 200,000      $ 225,836   
Clayton County, GA, Development Authority Special Facilities Rev. (Delta Airlines, Inc.), “B”, 9%, 2035      150,000        161,883   
Denver, CO, City & County Airport Rev. (United Airlines), 5.75%, 2032      355,000        313,749   
Houston, TX, Airport Systems Rev., Special Facilities (Continental Airlines, Inc. Terminal E Project), 6.75%, 2029      155,000        153,791   
Houston, TX, Airport Systems Rev., Special Facilities (Continental Airlines, Inc. Terminal E Project), 7%, 2029      200,000        200,036   
Houston, TX, Airport Systems Rev., Special Facilities (Continental Airlines, Inc.), “E”, 6.75%, 2021      895,000        895,081   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 4.875%, 2019      600,000        561,078   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.125%, 2023      365,000        325,215   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.25%, 2029 (b)      515,000        436,457   
New York, NY, City Industrial Development Agencies Rev. (American Airlines, Inc.), 7.75%, 2031 (d)      385,000        424,208   
New York, NY, City Industrial Development Agency Special Facility Rev. (American Airlines, Inc.), “B”, 8.5%, 2028 (d)(q)      500,000        530,785   
Tulsa, OK, Municipal Airport Trust Rev. (American Airlines, Inc.), “B”, 5.5%, 2035      175,000        147,425   
Tulsa, OK, Municipal Airport Trust Rev. (American Airlines, Inc.), “B”, 5.5%, 2035      385,000        323,735   
    

 

 

  
             $ 4,699,279   
Industrial Revenue - Chemicals - 0.9%                 
Brazos River, TX, Harbor Navigation District (Dow Chemical Co.), “B-2”, 4.95%, 2033    $ 400,000      $ 406,316   
Port of Bay, TX, City Authority (Hoechst Celanese Corp.), 6.5%, 2026      660,000        660,086   
    

 

 

  
             $ 1,066,402   
Industrial Revenue - Environmental Services - 2.3%                 
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Republic Services, Inc.), “B”, 5.25%, 2023 (b)    $ 135,000      $ 147,618   
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Waste Management, Inc.), “C”, 5.125%, 2023      655,000        657,993   
Maine Finance Authority Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), 6.25%, 2025 (b)      360,000        363,920   
Massachusetts Development Finance Agency, Resource Recovery Rev. (Covanta Energy Project), “A”, 4.875%, 2027      410,000        365,306   
Massachusetts Development Finance Agency, Resource Recovery Rev. (Covanta Energy Project), “C”, 5.25%, 2042      705,000        576,232   
Niagara County, NY, Industrial Development Agency, Solid Waste Disposal Rev. (Covanta Energy Project), “A”, 5.25%, 2042      725,000        592,579   
Vermont Economic Development Authority, Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), 4.75%, 2036 (b)      170,000        161,600   
    

 

 

  
             $ 2,865,248   
Industrial Revenue - Other - 2.2%                 
Annawan, IL, Tax Increment Rev. (Patriot Renewable Fuels LLC), 5.625%, 2018    $ 240,000      $ 216,401   
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.), 4.875%, 2025      280,000        256,698   
Gulf Coast, TX, Industrial Development Authority Rev. (CITGO Petroleum Corp.), 8%, 2028      375,000        375,083   
Houston, TX, Industrial Development Corp. (United Parcel Service, Inc.), 6%, 2023      430,000        398,270   
Iowa Finance Authority Midwestern Disaster Area Rev. (Iowa Fertilizer Co.), 5%, 2019      110,000        103,245   
Iowa Finance Authority Midwestern Disaster Area Rev. (Iowa Fertilizer Co.), 5.5%, 2022      215,000        196,308   
Iowa Finance Authority Midwestern Disaster Area Rev. (Iowa Fertilizer Co.), 5.25%, 2025      215,000        186,298   
New Jersey Economic Development Authority Rev. (GMT Realty LLC), “B”, 6.875%, 2037      1,000,000        946,170   
    

 

 

  
             $ 2,678,978   
Industrial Revenue - Paper - 2.5%                 
Beauregard Parish, LA (Boise Cascade Corp.), 6.8%, 2027    $ 1,000,000      $ 1,003,560   
Courtland, AL, Industrial Development Board Solid Waste Disposal Rev. (Champion International Corp.), 6%, 2029      1,000,000        1,000,550   
Escambia County, FL, Environmental Improvement Rev. (International Paper Co.), “A”, 5%, 2026      980,000        934,214   
Phenix City, AL, Industrial Development Board Environmental Improvement Rev. (MeadWestvaco Coated Board Project), “A”, 4.125%, 2035      160,000        113,931   
    

 

 

  
             $ 3,052,255   
Miscellaneous Revenue - Entertainment & Tourism - 0.8%                 
Brooklyn, NY, Arena Local Development Corp. (Barclays Center Project), 6%, 2030    $ 135,000      $ 143,401   
Cow Creek Band of Umpqua Tribe of Indians, OR, “C”, 5.625%, 2026 (n)      650,000        571,591   
Seminole Tribe, FL, Special Obligation Rev., “A”, 5.25%, 2027 (n)      280,000        288,039   
    

 

 

  
             $ 1,003,031   

 

5

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Miscellaneous Revenue - Other - 4.3%                 
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, SYNCORA, 5.25%, 2024    $ 305,000      $ 306,083   
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, SYNCORA, 5%, 2034      45,000        39,132   
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.25%, 2032      80,000        78,700   
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.25%, 2033      40,000        39,048   
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.5%, 2043      155,000        151,675   
Dallas, TX, Civic Center Convention Complex Rev., ASSD GTY, 5.25%, 2034      845,000        864,874   
District of Columbia Rev. (American Society Hematology), 5%, 2036      50,000        48,088   
District of Columbia Rev. (American Society Hematology), 5%, 2042      40,000        37,952   
Florida Citizens Property Insurance Corp., “A-1”, 5%, 2019      65,000        71,732   
Florida Citizens Property Insurance Corp., “A-1”, 5%, 2020      305,000        332,621   
Harris County, TX, Cultural Education Facilities Finance Corp. Rev. (YMCA Greater Houston Area) , 5%, 2033      85,000        78,185   
Harris County, TX, Cultural Education Facilities Finance Corp. Rev. (YMCA Greater Houston Area), 5%, 2028      55,000        52,617   
Harris County, TX, Cultural Education Facilities Finance Corp. Rev. (YMCA Greater Houston Area), 5%, 2038      115,000        102,431   
Indiana Finance Authority Rev., (Ohio River Bridges East End Crossing Project), “A”, 5%, 2035      180,000        157,055   
Indiana Finance Authority Rev., (Ohio River Bridges East End Crossing Project), “A”, 5%, 2040      460,000        387,187   
Indiana Finance Authority Rev., (Ohio River Bridges East End Crossing Project), “A”, 5%, 2044      125,000        103,300   
Massachusetts Port Authority Facilities Rev. (Conrac Project), “A”, 5.125%, 2041      40,000        39,558   
Miami-Dade County, FL, Special Obligation, “B”, 5%, 2035      200,000        192,996   
New York Liberty Development Corp., Liberty Rev. (One Bryant Park LLC), 6.375%, 2049      545,000        575,945   
V Lakes Utility District, MS, Water Systems Rev., 7%, 2037      300,000        294,846   
Wisconsin Public Finance Authority, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), “B”, 5.25%, 2028      1,325,000        1,286,390   
    

 

 

  
             $ 5,240,415   
Multi-Family Housing Revenue - 4.6%                 
Broward County, FL, Housing Finance Authority Rev. (Chaves Lakes Apartments Ltd.), “A”, 7.5%, 2040    $ 480,000      $ 480,120   
Capital Trust Agency, FL, Housing Rev. (Atlantic Housing Foundation), “B”, 7%, 2032 (d)(q)      600,000        251,694   
Charter Mac Equity Issuer Trust, FHLMC, 6%, 2052 (n)      1,000,000        1,110,010   
District of Columbia Housing Finance Agency (Henson Ridge), “E”, FHA, 5.1%, 2037      655,000        633,077   
Durham, NC, Durham Housing Authority Rev. (Magnolia Pointe Apartments), 5.65%, 2038      903,188        818,225   
Mississippi Home Corp., Rev. (Kirkwood Apartments), 6.8%, 2037 (d)(q)      605,000        365,468   
MuniMae TE Bond Subsidiary LLC, 5.8%, 2049 (z)      1,000,000        949,920   
Resolution Trust Corp., Pass-Through Certificates, “1993”, 9.544%, 2016 (z)      455,481        444,272   
Wilmington, DE, Multi-Family Housing Rev. (Electra Arms Senior Associates), 6.25%, 2028      725,000        661,128   
    

 

 

  
             $ 5,713,914   
Parking - 0.2%                 
Boston, MA, Metropolitan Transit Parking Corp., Systemwide Parking Rev., 5.25%, 2036    $ 300,000      $ 307,125   
Port Revenue - 1.2%                 
Port Authority NY & NJ, Cons Thirty Seventh, AGM, 5.125%, 2030    $ 1,450,000      $ 1,496,502   
Sales & Excise Tax Revenue - 4.5%                 
Bolingbrook, IL, Sales Tax Rev., 6.25%, 2024    $ 500,000      $ 408,400   
Chicago, IL, Metropolitan Pier & Exposition Authority, State Tax Rev., Capital Appreciation, ETM, FGIC, 0%, 2014 (c)      1,010,000        1,007,021   
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 2029      165,000        169,765   
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 2030      330,000        337,052   
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 2031      60,000        60,917   
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 2034      630,000        641,989   
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 2041      300,000        302,655   
Massachusetts School Building Authority, Dedicated Sales Tax Rev., AMBAC, 4.75%, 2032      840,000        849,912   
Massachusetts School Building Authority, Dedicated Sales Tax Rev., “B”, 5%, 2032      390,000        402,574   
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., “C”, 5%, 2040      450,000        384,939   
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., “C”, 5.25%, 2040      625,000        555,163   
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Convertible Capital Appreciation, “A”, 0% to 2016, 6.75% to 2032      460,000        389,312   
    

 

 

  
             $ 5,509,699   

 

6

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Single Family Housing - Local - 0.8%                 
Minneapolis & St. Paul, MN, Housing Authority Rev. (City Living), “A-2”, GNMA, 5%, 2038    $ 137,208      $ 131,689   
Pittsburgh, PA, Urban Redevelopment Authority Rev., “C”, GNMA, 4.8%, 2028      915,000        903,645   
    

 

 

  
             $ 1,035,334   
Single Family Housing - State - 1.4%                 
California Housing Finance Agency Rev. (Home Mortgage), “G”, 4.95%, 2023    $ 600,000      $ 591,210   
California Housing Finance Agency Rev. (Home Mortgage), “G”, 5.5%, 2042      180,000        184,797   
Colorado Housing & Finance Authority, “A”, 5.5%, 2029      895,000        904,997   
Kentucky Counties Single Family Mortgage Rev., “A”, NATL, 9%, 2016      5,000        5,001   
    

 

 

  
             $ 1,686,005   
Solid Waste Revenue - 0.1%                 
Pennsylvania Economic Development Financing Authority, Sewer Sludge Disposal Rev. (Philadelphia Biosolids Facility), 6.25%, 2032    $ 75,000      $ 74,186   
State & Agency - Other - 0.3%                 
Commonwealth of Puerto Rico (Mepsi Campus), “A”, 6.5%, 2037    $ 500,000      $ 417,170   
State & Local Agencies - 3.7%                 
Alabama Incentives Financing Authority Special Obligation, “A”, 5%, 2037    $ 145,000      $ 143,005   
Dorchester County, SC, School District No. 2, Growth Remedy Opportunity Tax Hike, 5.25%, 2014 (c)      500,000        530,260   
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Enhanced, “A”, FGIC, 5%, 2035      110,000        102,820   
Guam Government Department of Education (John F. Kennedy High School), “A”, COP, 6.875%, 2040      295,000        295,207   
Laurens County, SC, School District No. 55, Installment Purchase Rev., 5.25%, 2030      700,000        720,335   
Massachusetts College Building Authority Rev., “C”, 3%, 2042      80,000        53,362   
Mississippi Development Bank Special Obligation (Marshall County Industrial Development Authority Mississippi Highway Construction Project), 5%, 2028      120,000        123,698   
Newberry, SC, Investing in Children’s Education (Newberry County School District Program), 5%, 2030      400,000        412,444   
Philadelphia, PA, Municipal Authority Rev., 6.5%, 2034      135,000        147,623   
Puerto Rico Public Finance Corp., “E”, ETM, 6%, 2026 (c)      80,000        96,544   
Puerto Rico Public Finance Corp., “E”, ETM, 6%, 2026 (c)      820,000        989,576   
Puerto Rico Public Finance Corp., Commonwealth Appropriations, “B”, 6%, 2026      225,000        193,547   
Wisconsin General Fund Annual Appropriation Rev., “A”, 5.75%, 2033      660,000        708,919   
    

 

 

  
             $ 4,517,340   
Student Loan Revenue - 0.9%                 
Iowa Student Loan Liquidity Corp., “A-2”, 5.5%, 2025    $ 180,000      $ 182,243   
Iowa Student Loan Liquidity Corp., “A-2”, 5.6%, 2026      180,000        181,400   
Iowa Student Loan Liquidity Corp., “A-2”, 5.7%, 2027      20,000        20,115   
Iowa Student Loan Liquidity Corp., “A-2”, 5.75%, 2028      335,000        335,838   
Massachusetts Educational Financing Authority, Education Loan Rev., “H”, ASSD GTY, 6.35%, 2030      340,000        352,801   
Massachusetts Educational Financing Authority, Education Loan Rev., “I-A”, 5.5%, 2022      25,000        27,075   
    

 

 

  
             $ 1,099,472   
Tax - Other - 2.1%                 
Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev., “A”, 5%, 2035    $ 100,000      $ 92,518   
Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev., “A”, 5%, 2042      420,000        375,980   
Dallas County, TX, Flood Control District, 7.25%, 2032      750,000        750,855   
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5%, 2047      360,000        343,156   
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5.75%, 2047      370,000        380,120   
New York, NY, City Transitional Finance Authority Building Aid Rev., “S-3”, 5.25%, 2039      440,000        447,986   
Virgin Islands Public Finance Authority Rev. (Diageo Project), “A”, 6.75%, 2037      205,000        217,308   
    

 

 

  
             $ 2,607,923   

 

7

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Tax Assessment - 5.0%                 
Anne Arundel County, MD, Special Obligation (National Business Park-North Project), 6.1%, 2040    $ 140,000      $ 144,551   
Atlanta, GA, Tax Allocation (Eastside Project), “B”, 5.4%, 2020      500,000        526,935   
Capital Region Community Development District, FL, Capital Improvement Rev., “A”, 7%, 2039      220,000        208,309   
Celebration Community Development District, FL, “A”, 6.4%, 2034      650,000        651,976   
Chicago, IL, Tax Increment Allocation (Pilsen Redevelopment), “B”, 6.75%, 2022      310,000        315,552   
Du Page County, IL, Special Service Area No. 31 Special Tax (Monarch Landing Project), 5.625%, 2036      250,000        237,563   
Embrey Mill Community Development Authority, VA, Special Assessment Rev., 7.25%, 2043      410,000        383,223   
Heritage Harbour North Community Development District, FL, Capital Improvement Rev., 6.375%, 2038      315,000        282,851   
Homestead, Community Development District, FL, Special Assessment, “A”, 6%, 2037      365,000        257,362   
Lincolnshire, IL, Special Service Area No. 1 (Sedgebrook Project), 6.25%, 2034      224,000        226,117   
Main Street Community Development District, FL, “A”, 6.8%, 2038      280,000        267,375   
Ohio County, WV, Commission Tax Increment Rev. (Fort Henry Centre), “A”, 5.85%, 2034      125,000        126,113   
Plano, IL, Special Service Area No. 4 (Lakewood Springs Project Unit 5-B), 6%, 2035      1,406,000        1,337,823   
Tuscany Reserve Community Development District, FL, Special Assessment, “B”, 5.25%, 2016      185,000        183,498   
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        694,181   
    

 

 

  
             $ 6,208,229   
Tobacco - 6.8%                 
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 5.875%, 2047    $ 250,000      $ 167,420   
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., “A-1”, 5.75%, 2047      525,000        383,066   
Illinois Railsplitter Tobacco Settlement Authority, 6%, 2028      1,365,000        1,441,727   
New Jersey Tobacco Settlement Financing Corp., “1-A”, 4.5%, 2023      725,000        653,051   
New Jersey Tobacco Settlement Financing Corp., “1-A”, 4.75%, 2034      3,405,000        2,344,989   
New Jersey Tobacco Settlement Financing Corp., “1-A”, 5%, 2041      3,355,000        2,252,849   
Rhode Island Tobacco Settlement Authority, 6%, 2023      610,000        611,568   
Suffolk, NY, Tobacco Asset Securitization Corp., Tobacco Settlement, “B”, 5.25%, 2037      80,000        73,085   
Washington Tobacco Settlement Authority Rev., 6.625%, 2032      500,000        499,670   
    

 

 

  
             $ 8,427,425   
Toll Roads - 6.5%                 
E-470 Public Highway Authority, CO, Capital Appreciation, “B”, NATL, 0%, 2018    $ 1,500,000      $ 1,260,960   
Mid-Bay Bridge Authority, FL, Springing Lien Rev., “A”, 7.25%, 2040      445,000        477,214   
North Texas Tollway Authority Rev., 6%, 2038      765,000        819,101   
North Texas Tollway Authority Rev. (Special Projects System), “D”, 5%, 2031      1,200,000        1,227,756   
San Joaquin Hills, CA, Transportation Corridor Agency, Toll Road Rev., Capital Appreciation, “A”, NATL, 0%, 2015      3,000,000        2,870,040   
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 5.25%, 2032      285,000        252,436   
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 6%, 2037      470,000        444,620   
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 5.5%, 2042      755,000        653,400   
    

 

 

  
             $ 8,005,527   
Universities - Colleges - 9.0%                 
Allegheny County, PA, Higher Education Building Authority Rev. (Chatham University), “A”, 5%, 2030    $ 80,000      $ 77,159   
Brevard County, FL, Industrial Development Rev. (TUFF Florida Tech LLC Project), 6.75%, 2039      540,000        521,953   
California Educational Facilities Authority Rev. (Chapman University), 5%, 2031      145,000        146,085   
California Educational Facilities Authority Rev. (University of Southern California), “A”, 5.25%, 2038      1,270,000        1,312,139   
California Municipal Finance Authority Rev. (Biola University), 5.8%, 2028      100,000        105,272   
California Statewide Communities Development Authority Rev. (Lancer Plaza Project), 5.625%, 2033      110,000        97,793   
Collier County, FL, Educational Facilities Authority Rev. (Ave Maria University, Inc. Project), “A”, 6.125%, 2043      335,000        325,375   
Florida State University Board of Governors, System Improvement Rev., 6.25%, 2030      1,000,000        1,131,830   
Grand Valley, MI, State University Rev., 5.5%, 2027      135,000        144,260   
Grand Valley, MI, State University Rev., 5.625%, 2029      65,000        69,211   
Illinois Finance Authority Rev. (Illinois Institute of Technology), “A”, 5%, 2036      110,000        91,280   
Illinois Finance Authority Rev. (Roosevelt University Project), 6.25%, 2029      670,000        705,490   
Illinois Finance Authority Rev. (Roosevelt University Project), 6.5%, 2039      155,000        163,147   

 

8

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Universities - Colleges - continued                 
Lakeland, FL, Educational Facilities Rev. (Florida Southern College), “A”, 5%, 2032    $ 75,000      $ 69,945   
Massachusetts Development Finance Agency Rev. (The Broad Institute, Inc.), “A”, 5.25%, 2037      580,000        589,390   
Massachusetts Health & Educational Facilities Authority Rev. (Simmons College), “I”, 8%, 2029      255,000        280,694   
Massachusetts Health & Educational Facilities Authority Rev. (Suffolk University), “A”, 6.25%, 2030      725,000        777,410   
Massachusetts Health & Educational Facilities Authority Rev. (Suffolk University), “A”, 5.75%, 2039      455,000        466,179   
Portage County, OH, Port Authority Rev. (Northeast Ohio Medical University Project), 5%, 2037      200,000        183,428   
Puerto Rico Industrial, Tourist, Medical, & Environmental Central Facilities (University of Sacred Heart), 4.375%, 2031      45,000        33,705   
Puerto Rico Industrial, Tourist, Medical, & Environmental Central Facilities (University of Sacred Heart), 5%, 2042      25,000        18,822   
Savannah, GA, Economic Development Authority Rev. (AASU Student Union LLC), ASSD GTY, 5.125%, 2039      335,000        338,434   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2030      195,000        204,770   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2031      85,000        88,792   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2032      80,000        82,970   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2037      150,000        152,751   
University of Illinois Rev. (Auxiliary Facilities Systems), “A”, 5.125%, 2029      1,880,000        1,954,185   
University of Southern Indiana Rev. (Student Fee), “J”, ASSD GTY, 5.75%, 2028      300,000        336,279   
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.25%, 2032      220,000        230,575   
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.375%, 2036      80,000        83,510   
Washington Higher Education Facilities Authority Rev. (Whitworth University), 5.875%, 2034      280,000        286,650   
    

 

 

  
             $ 11,069,483   
Universities - Dormitories - 3.4%                 
Bowling Green, OH, Student Housing Rev. (State University Project), 5.75%, 2031    $ 175,000      $ 178,208   
Buffalo & Erie County, NY, Industrial Land Development Corp. Rev. (Buffalo State College), “A”, 5.375%, 2041      200,000        204,924   
California Statewide Communities Development Authority Rev. (Lancer Educational Student Housing Project), 5.625%, 2033      735,000        675,436   
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 2030      130,000        118,951   
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 2035      670,000        584,890   
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 2045      775,000        647,063   
Illinois Finance Authority Student Housing Rev. (Illinois State University), 6.75%, 2031      240,000        257,748   
Illinois Finance Authority Student Housing Rev. (Northern Illinois University Project), 6.625%, 2031      615,000        666,242   
Mississippi State University, Educational Building Corp., 5%, 2036      440,000        449,781   
Pennsylvania Higher Educational Facilities Authority Rev. (Edinboro University Foundation), 5.8%, 2030      80,000        78,312   
Pennsylvania Higher Educational Facilities Authority Rev. (Edinboro University Foundation), 6%, 2043      110,000        104,584   
Platteville, WI, Redevelopment Authority, Redevelopment Rev. (Platteville Real Estate), 5%, 2032      100,000        92,301   
Platteville, WI, Redevelopment Authority, Redevelopment Rev. (Platteville Real Estate), 5%, 2042      215,000        182,357   
    

 

 

  
             $ 4,240,797   
Universities - Secondary Schools - 2.0%                 
Build NYC Resources Corp. Rev. (South Bronx Charter School for International Cultures and the Arts), “A”, 5%, 2043    $ 100,000      $ 80,944   
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5.5%, 2031      70,000        66,626   
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5.75%, 2041      75,000        71,208   
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.125%, 2040      215,000        213,426   
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 4.35%, 2042      110,000        77,455   
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.25%, 2045      135,000        131,695   
District of Columbia Rev. (Kipp, D.C. Charter School),“A”, 6%, 2043      110,000        110,637   
District of Columbia Rev. (Kipp, D.C. Charter School),“A”, 6%, 2033      45,000        46,068   
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 6%, 2032      115,000        100,789   
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 6.125%, 2043      240,000        202,865   
La Vernia, TX, Higher Education Finance Corp. Rev. (KIPP, Inc.), “A”, 6.25%, 2039      195,000        200,335   
North Texas Education Finance Corp., Education Rev. (Uplift Education), “A”, 4.875%, 2032      70,000        60,360   
North Texas Education Finance Corp., Education Rev. (Uplift Education), “A”, 5.125%, 2042      170,000        141,874   
Philadelphia Authority for Industrial Development Rev. (Philadelphia Performing Arts Charter School Project), 6.5%, 2033      230,000        221,320   
Philadelphia Authority for Industrial Development Rev. (Philadelphia Performing Arts Charter School Project), 6.75%, 2043      320,000        306,154   
Philadelphia Authority for Industrial Development Rev. (Tacony Academy Charter School Project), “A-1”, 7%, 2043      140,000        135,895   
Philadelphia, PA, Authority for Industrial Development Rev. (MaST Charter School), 6%, 2035      50,000        50,644   
Phoenix, AZ, Industrial Development Authority Education Rev. (Choice Academies, Inc. Project), 5.625%, 2042      135,000        116,392   

 

9

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Universities - Secondary Schools - continued                 
Phoenix, AZ, Industrial Development Authority Education Rev. (Eagle College Prep Project), 5%, 2033    $ 65,000      $ 56,164   
Phoenix, AZ, Industrial Development Authority Education Rev. (Eagle College Prep Project), 5%, 2043      125,000        101,120   
    

 

 

  
             $ 2,491,971   
Utilities - Cogeneration - 0.9%                 
California Pollution Control Financing Authority, Water Furnishing Rev. (Poseidon Resources Desalination Project), 5%, 2045    $ 1,020,000      $ 798,691   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Central Facilities (Cogeneration Facilities - AES Puerto Rico Project), 6.625%, 2026      320,000        297,478   
    

 

 

  
             $ 1,096,169   
Utilities - Investor Owned - 5.1%                 
Brazos River Authority, TX, Pollution Control Rev. (TXU Electric Co. LLC), “C”, 6.75%, 2038    $ 555,000      $ 37,463   
Bryant, IL, Pollution Control Rev. (Central Illinois Light Co.), 5.9%, 2023      975,000        977,681   
Chula Vista, CA, Industrial Development Rev. (San Diego Gas & Electric Co.), “E”, 5.875%, 2034      245,000        260,072   
Farmington, NM, Pollution Control Rev. (Public Service New Mexico), “D”, 5.9%, 2040      500,000        519,925   
Hawaii Department of Budget & Finance Special Purpose Rev. (Hawaiian Electric Co. & Subsidiary), 6.5%, 2039      390,000        423,505   
Massachusetts Development Finance Agency, Solid Waste Disposal Rev. (Dominion Energy Brayton), 5.75%, 2042 (b)      85,000        102,924   
Matagorda County, TX, Pollution Control Rev. (Central Power & Light Co.), “A”, 6.3%, 2029      275,000        300,770   
Mississippi Business Finance Corp., Pollution Control Rev. (Systems Energy Resources Project), 5.875%, 2022      1,500,000        1,498,875   
New Hampshire Business Finance Authority, Pollution Control Rev. (Public Service of New Hampshire), “B”, NATL, 4.75%, 2021      250,000        255,543   
Owen County, KY, Waterworks System Rev. (American Water Co. Project), “A”, 6.25%, 2039      205,000        212,661   
Pennsylvania Economic Development Financing Authority (Allegheny Energy Supply Co. LLC), 7%, 2039      600,000        613,482   
Pima County, AZ, Industrial Development Authority Rev. (Tucson Electric Power Co.), 5.75%, 2029      1,015,000        1,022,785   
    

 

 

  
             $ 6,225,686   
Utilities - Municipal Owned - 1.5%                 
Harris County, TX, Cultural Education Facilities Financial Corp., Thermal Utilities Rev. (Teco Project), “A”, 5.25%, 2035    $ 140,000      $ 142,506   
Los Angeles, CA, Department of Water & Power Rev. (Power System), “B”, 5%, 2038      355,000        356,484   
Sacramento, CA, Municipal Utility District, “X”, 5%, 2028      365,000        383,535   
South Carolina Public Service Authority Rev., “A”, 5.125%, 2043      280,000        276,374   
South Carolina Public Service Authority Rev., “B”, 5.125%, 2043      675,000        666,259   
    

 

 

  
             $ 1,825,158   
Utilities - Other - 3.3%                 
California M-S-R Energy Authority Gas Rev., “A”, 7%, 2034    $ 155,000      $ 179,149   
California M-S-R Energy Authority Gas Rev., “A”, 6.5%, 2039      335,000        365,378   
Georgia Main Street Natural Gas, Inc., Gas Project Rev., “A”, 5.5%, 2028      335,000        345,740   
Indiana Bond Bank Special Program, Gas Rev., “A”, 5.25%, 2018      230,000        254,921   
Public Authority for Colorado Energy Natural Gas Purchase Rev., 6.5%, 2038      25,000        26,781   
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 2021      1,710,000        1,837,994   
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 2022      270,000        290,833   
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 2026      165,000        171,143   
Tennessee Energy Acquisition Corp., Gas Rev., “C”, 5%, 2025      240,000        244,591   
Texas Gas Acquisition & Supply Corp III., Gas Supply Rev., 5%, 2031      150,000        135,321   
Texas Gas Acquisition & Supply Corp III., Gas Supply Rev., 5%, 2032      240,000        214,286   
    

 

 

  
             $ 4,066,137   
Water & Sewer Utility Revenue - 8.8%                 
Atlanta, GA, Water & Wastewater Rev., “A”, 6%, 2022    $ 370,000      $ 429,918   
Birmingham, AL, Waterworks Board Water Rev., “A”, ASSD GTY, 5.125%, 2034      595,000        607,590   
California Department of Water Resources, Center Valley Project Rev., “AJ”, 5%, 2035      1,010,000        1,051,430   
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, 5.75%, 2037      420,000        305,432   
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, 6%, 2044      160,000        116,402   
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 2031      15,000        15,661   
Detroit, MI, Sewage Disposal System Rev., Senior Lien, “A”, 5.25%, 2039      580,000        503,423   

 

10

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Water & Sewer Utility Revenue - continued                 
King County, WA, Sewer Rev., 5%, 2040    $ 1,395,000      $ 1,416,650   
Lehigh County Authority, PA, Water and Sewer Rev. (Allentown Concession), “A” , 5%, 2043      1,135,000        1,074,073   
Lehigh County Authority, PA, Water and Sewer Rev. (Allentown Concession), Capital Appreciation, “B” , 0%, 2037      955,000        199,299   
New York Environmental Facilities Corp., Clean Drinking Water Revolving Funds, 5%, 2041      685,000        700,899   
New York Environmental Facilities, “C”, 5%, 2041      945,000        966,735   
New York, NY, Municipal Water Finance Authority, Water & Sewer System Rev., “AA”, 5%, 2034      1,980,000        2,024,633   
New York, NY, Municipal Water Finance Authority, Water & Sewer Systems Rev., “DD”, 4.75%, 2035      790,000        784,644   
Surprise, AZ, Municipal Property Corp., 4.9%, 2032      700,000        656,131   
    

 

 

  
             $ 10,852,920   
Total Municipal Bonds            $ 184,422,974   
Money Market Funds - 8.5%                 
MFS Institutional Money Market Portfolio, 0.09%, at Net Asset Value (v)      10,540,047      $ 10,540,047   
Total Investments            $ 194,963,021   
Other Assets, Less Liabilities - 2.7%              3,334,360   
ARPS, at liquidation value (issued by the fund) - (3.1)%              (3,900,000 ) 
VMTPS , at liquidation value (issued by the fund) - (57.7)%              (71,100,000 ) 
Net assets applicable to common shares - 100.0%            $ 123,297,381   

 

(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 $1,969,640, 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.
(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         $949,920   
Resolution Trust Corp., Pass-Through Certificates, “1993”, 9.544%, 2016    10/17/01-1/14/02      455,481         444,272   
Total Restricted Securities            $1,394,192   
% of Net assets applicable to common shares            1.1%   

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

 

ARPS   Auction Rate Preferred Shares
COP   Certificate of Participation
ETM   Escrowed to Maturity
LOC   Letter of Credit
VMTPS   Variable Rate Municipal Term Preferred Shares

 

11

Portfolio of Investments (unaudited) – continued

 

 

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 8/31/13

Futures Contracts Outstanding at 8/31/13

 

Description    Currency      Contracts      Value    Expiration Date    Unrealized
Appreciation
(Depreciation)		  
Asset Derivatives               
Interest Rate Futures               
U.S. Treasury Note 10 yr (Short)      USD         188       $23,364,875    December - 2013      $65,613   
              

 

 

  
Liability Derivatives               
Interest Rate Futures               
U.S. Treasury Bond 30 yr (Short)      USD         22       $2,901,938    December - 2013      $(20,574 ) 
              

 

 

  

At August 31, 2013, the fund had liquid securities with an aggregate value of $430,034 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

8/31/13 (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, 2013 in valuing the fund’s assets or liabilities:

 

Investments at Value    Level 1      Level 2      Level 3      Total  
Municipal Bonds      $—         $184,422,974         $—         $184,422,974   
Mutual Funds      10,540,047         —         —         10,540,047   
Total Investments      $10,540,047         $184,422,974         $—         $194,963,021   
Other Financial Instruments                            
Futures Contracts      $45,039         $—         $—         $45,039   

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      $194,145,172   
Gross unrealized appreciation      8,533,681   
Gross unrealized depreciation      (7,715,832 ) 
Net unrealized appreciation (depreciation)      $817,849   

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      1,770,392         34,662,189         (25,892,534 )       10,540,047   
Underlying Affiliated Fund    Realized
Gain (Loss)		      Capital Gain
Distributions		      Dividend
Income		      Ending
Value		  
MFS Institutional Money Market Portfolio      $—         $—         $3,361         $10,540,047   

 

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: October 17, 2013

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, 2013

 

By (Signature and Title)*    DAVID L. DILORENZO
 

David L. DiLorenzo, Treasurer

(Principal Financial Officer

and Accounting Officer)

Date: October 17, 2013

 

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