MFS HIGH YIELD MUNICIPAL TRUST N-CSRS
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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-04992

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)

Christopher R. Bohane

Massachusetts Financial Services Company

111 Huntington Avenue

Boston, Massachusetts 02199

(Name and address of agents for service)

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

Date of fiscal year end: November 30

Date of reporting period: May 31, 2018


Table of Contents
ITEM 1. REPORTS TO STOCKHOLDERS.


Table of Contents

Semiannual Report

May 31, 2018

 

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MFS® High Yield Municipal Trust

 

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CMU-SEM

 


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MFS® High Yield Municipal Trust

New York Stock Exchange Symbol: CMU

 

Letter from the Executive Chairman     1  
Portfolio composition     2  
Portfolio managers’ profiles     4  
Other notes     4  
Portfolio of investments     5  
Statement of assets and liabilities     54  
Statement of operations     55  
Statements of changes in net assets     56  
Statement of cash flows     57  
Financial highlights     58  
Notes to financial statements     61  
Report of independent registered public accounting firm     72  
Proxy voting policies and information     73  
Quarterly portfolio disclosure     73  
Further information     73  
Information about fund contracts and legal claims     74  
Contact information    back cover  

 

NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE



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LETTER FROM THE EXECUTIVE CHAIRMAN

 

Dear Shareholders:

Rising bond yields, international trade friction and geopolitical uncertainty have contributed to a measurable uptick in market volatility — a departure from the

low-volatility environment that prevailed for much of 2017. In recent months, against this backdrop, global markets have given back some of the strong gains recorded during 2017 and early 2018. Global economic growth remains healthy, notwithstanding signs of a modest slowdown over the past few months, particularly in Europe.

Although the U.S. Federal Reserve continues to gradually raise interest rates and shrink its balance sheet, monetary policy remains accommodative around the world, with many central banks taking only tentative steps toward tighter policies. Newly

enacted U.S. tax reforms have been welcomed by equity markets, while emerging market economies have benefited from the solid macroeconomic backdrop.

Around the world, inflation remains largely subdued, but tight labor markets and solid global demand have investors on the lookout for its potential resurgence. Increased U.S. protectionism is also a growing concern, as investors fear that trade disputes could disrupt the synchronized rise in global growth.

As a global investment manager, MFS® strives to create long-term value and protect capital for clients through an active approach and an investment platform built on nearly a century of expertise. To make that long-term value meaningful for clients, we work to align with you on our beliefs, your needs and the time it takes to deliver on your desired outcomes.

Respectfully,

 

LOGO

Robert J. Manning

Executive Chairman

MFS Investment Management

July 16, 2018

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

 

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PORTFOLIO COMPOSITION

 

Portfolio structure at value

 

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Top ten industries reflecting equivalent exposure of derivative positions (i)  
Healthcare Revenue – Hospitals     28.9%  
Healthcare Revenue – Long Term Care     18.0%  
Universities – Colleges     9.3%  
Water & Sewer Utility Revenue     8.8%  
Miscellaneous Revenue – Other     8.8%  
Universities – Secondary Schools     8.2%  
Tobacco     6.1%  
General Obligations – General Purpose     6.1%  
Tax – Other     4.9%  
U.S. Treasury Securities (j)     (17.5)%  

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

 

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Composition including fixed income credit quality (a)(i)  
AAA     2.8%  
AA     16.2%  
A     28.7%  
BBB     37.9%  
BB     20.2%  
B     5.1%  
CCC     2.2%  
CC     0.5%  
C     3.7%  
D     1.9%  
Not Rated (j)     17.5%  
Cash & Cash Equivalents (Less Liabilities)     (54.2)%  
Other     17.5%  
Portfolio facts (i)  
Average Duration (d)     7.9  
Average Effective Maturity (m)     16.0 yrs.  
 

 

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Portfolio Composition – continued

 

(a) For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. Not Rated includes fixed income securities and fixed income derivatives, which have not been rated by any rating agency. The fund may or may not have held all of these instruments on this date. The fund is not rated by these agencies.
(d) Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move. This calculation is based on net assets applicable to common shares as of May 31, 2018.
(i) For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts.
(j) For the purpose of managing the fund’s duration, the fund holds short treasury futures with a bond equivalent exposure of (17.5)%, which reduce the fund’s interest rate exposure but not its credit exposure.
(m) In determining each instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. This calculation is based on gross assets, which consists of net assets applicable to common shares plus the value of preferred shares, as of May 31, 2018.

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

Cash & Cash Equivalents includes any cash, investments in money market funds, short-term securities, and other assets less liabilities. Please see the Statement of Assets and Liabilities for additional information related to the fund’s cash position and other assets and liabilities.

Cash & Cash Equivalents is negative due to the aggregate liquidation value of variable rate municipal term preferred shares.

Other includes equivalent exposure from currency derivatives and/or any offsets to derivative positions.

Percentages are based on net assets applicable to common shares as of May 31, 2018.

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

 

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PORTFOLIO MANAGERS’ PROFILES

 

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

OTHER NOTES

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

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

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

 

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PORTFOLIO OF INVESTMENTS

5/31/18 (unaudited)

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

 

Municipal Bonds - 151.9%                 
Issuer    Shares/Par     Value ($)  
Alabama - 1.4%                 
Birmingham, AL, Special Care Facilities Financing Authority Rev. (Methodist Home for the Aging), 5.5%, 6/01/2030    $ 85,000     $ 93,343  
Birmingham, AL, Special Care Facilities Financing Authority Rev. (Methodist Home for the Aging), 5.75%, 6/01/2035      95,000       105,249  
Birmingham, AL, Special Care Facilities Financing Authority Rev. (Methodist Home for the Aging), 5.75%, 6/01/2045      130,000       143,004  
Birmingham, AL, Special Care Facilities Financing Authority Rev. (Methodist Home for the Aging), 6%, 6/01/2050      135,000       150,286  
Birmingham, AL, Waterworks Board Water Rev., “A”,
5.125%, 1/01/2034 (Prerefunded 1/01/2019)
     220,000       224,431  
Birmingham, AL, Waterworks Board Water Rev., “A”, ASSD GTY, 5.125%, 1/01/2034 (Prerefunded 1/01/2019)      375,000       382,552  
Cullman County, AL, Health Care Authority (Cullman Regional Medical Center), “A”, 6.75%, 2/01/2029      60,000       61,156  
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/2026      105,000       77,521  
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/2029      150,000       90,363  
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/2034      210,000       88,196  
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/2035      400,000       157,144  
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/2021      75,000       80,522  
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/2023      115,000       126,593  
Pell City, AL, Special Care Facilities, Financing Authority Rev. (Noland Health Services, Inc.), 5%, 12/01/2039      175,000       188,993  
    

 

 

 
             $ 1,969,353  
Arizona - 3.1%                 
Arizona Industrial Development Authority Education Rev. (Academies of Math & Science), “A”, 5%, 7/01/2038    $ 15,000     $ 16,960  
Arizona Industrial Development Authority Education Rev. (Academies of Math & Science), “A”, 5%, 7/01/2048      45,000       50,411  
Arizona Industrial Development Authority Education Rev. (Academies of Math & Science), “A”, 5%, 7/01/2052      55,000       61,000  
Arizona Industrial Development Authority Education Rev. (Basis Schools Projects), “D”, 5%, 7/01/2037      25,000       25,979  

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Arizona - continued                 
Arizona Industrial Development Authority Education Rev. (Basis Schools Projects), “D”, 5%, 7/01/2047    $ 30,000     $ 30,949  
Arizona Industrial Development Authority Education Rev. (Basis Schools Projects), “D”, 5%, 7/01/2051      85,000       87,053  
Glendale, AZ, Industrial Development Authority Refunding Rev. (The Terraces of Phoenix Project), “A”, 5%, 7/01/2048      55,000       57,655  
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Basis Schools Projects), “A”, 5%, 7/01/2035      100,000       103,488  
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Basis Schools Projects), “A”, 5%, 7/01/2035      35,000       36,221  
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Basis Schools Projects), “A”, 5%, 7/01/2045      165,000       169,443  
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Basis Schools Projects), “A”, 5%, 7/01/2046      90,000       92,369  
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Choice Academies, Inc. Project), 5.625%, 9/01/2042      135,000       140,848  
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Eagle College Prep Project), 5%, 7/01/2033      65,000       66,560  
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Eagle College Prep Project), 5%, 7/01/2043      125,000       125,360  
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Great Hearts Academies Project), “A”, 5%, 7/01/2034      350,000       373,170  
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Great Hearts Academies Project), “A”, 5%, 7/01/2044      220,000       232,120  
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Legacy Traditional Schools Project), 6.5%, 7/01/2034      115,000       127,941  
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Legacy Traditional Schools Project), 5%, 7/01/2035      155,000       160,406  
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Legacy Traditional Schools Project), 6.75%, 7/01/2044      180,000       200,603  
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Legacy Traditional Schools Project), 5%, 7/01/2045      170,000       174,473  
Phoenix, AZ, Industrial Development Authority Rev. (Guam Facilities Foundation, Inc.), 5.125%, 2/01/2034      345,000       323,865  
Phoenix, AZ, Industrial Development Authority Rev. (Guam Facilities Foundation, Inc.), 5.375%, 2/01/2041      260,000       247,866  
Phoenix, AZ, Industrial Development Authority Student Housing Refunding Rev. (Downtown Phoenix Student Housing, LLC-Arizona State University Project), “A”, 5%, 7/01/2042      80,000       88,607  
Pima County, AZ, Industrial Development Authority Education Facility Rev. (American Leadership Academy Project), 4.75%, 6/15/2037      150,000       149,997  
Surprise, AZ, Municipal Property Corp., 4.9%, 4/01/2032      700,000       704,522  

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Arizona - continued                 
Tempe, AZ, Industrial Development Authority Rev. (Friendship Village), “A”, 6%, 12/01/2032    $ 60,000     $ 63,914  
Tempe, AZ, Industrial Development Authority Rev. (Friendship Village), “A”, 6.25%, 12/01/2042      180,000       192,109  
Tempe, AZ, Industrial Development Authority Rev. (Friendship Village), “A”, 6.25%, 12/01/2046      70,000       74,615  
    

 

 

 
             $ 4,178,504  
Arkansas - 0.7%                 
Arkansas Development Finance Authority Hospital Rev. (Washington Regional Medical Center), “A”, 5%, 2/01/2035    $ 30,000     $ 32,875  
Arkansas Development Finance Authority Hospital Rev. (Washington Regional Medical Center), “C”, 5%, 2/01/2033      50,000       55,136  
Arkansas Development Finance Authority, Tobacco Settlement Rev. (Cancer Research Center Project), Capital Appreciation, AAC, 0%, 7/01/2046      485,000       144,933  
Pulaski County, AR, Public Facilities Board Healthcare Rev. (Baptist Health), 5%, 12/01/2039      505,000       555,106  
Pulaski County, AR, Public Facilities Board Healthcare Rev. (Baptist Health), 5%, 12/01/2042      125,000       137,172  
    

 

 

 
             $ 925,222  
California - 10.6%                 
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 8/01/2029    $ 2,195,000     $ 1,579,676  
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 8/01/2031      275,000       183,458  
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 8/01/2032      280,000       179,127  
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 8/01/2033      560,000       342,496  
California Department of Water Resources, Center Valley Project Rev., “AJ”, 5%, 12/01/2035 (Prerefunded 12/01/2021)      1,010,000       1,122,524  
California Educational Facilities Authority Rev. (Chapman University), 5%, 4/01/2031      145,000       156,471  
California Health Facilities Financing Authority Rev. (St. Joseph Health System), “A”, 5.75%, 7/01/2039      185,000       193,066  
California Health Facilities Financing Authority Rev. (Sutter Health), “B”, 5.875%, 8/15/2031 (Prerefunded 8/15/2020)      660,000       719,908  
California M-S-R Energy Authority Gas Rev., “A”, 7%, 11/01/2034      155,000       220,584  
California M-S-R Energy Authority Gas Rev., “A”, 6.5%, 11/01/2039      275,000       389,697  
California Municipal Finance Authority Rev. (Biola University),
5.8%, 10/01/2028 (Prerefunded 10/01/2018)
     100,000       101,426  

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
California - continued                 
California Municipal Finance Authority Rev. (Community Medical Centers), “A”, 5%, 2/01/2042    $ 85,000     $ 93,848  
California Municipal Finance Authority Rev. (NorthBay Healthcare Group), 5%, 11/01/2035      35,000       37,927  
California Municipal Finance Authority Rev. (NorthBay Healthcare Group), “A”, 5.25%, 11/01/2036      85,000       94,120  
California Municipal Finance Authority Rev. (NorthBay Healthcare Group), “A”, 5.25%, 11/01/2041      80,000       88,401  
California Municipal Finance Authority Rev. (NorthBay Healthcare Group), “A”, 5.25%, 11/01/2047      15,000       16,484  
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Calplant I Project), 8%, 7/01/2039      385,000       417,502  
California Pollution Control Financing Authority, Water Furnishing Rev. (Poseidon Resources Desalination Project), 5%, 11/21/2045      420,000       447,502  
California Pollution Control Financing Authority, Water Furnishing Rev. (San Diego County Water Desalination Project Pipeline), 5%, 11/21/2045      270,000       274,657  
California Public Works Board Lease Rev., Department of Corrections and Rehabilitation (Various Correctional Facilities), “A”, 5%, 9/01/2033      1,025,000       1,169,658  
California School Finance Authority, School Facility Rev. (Alliance for College-Ready Public Schools Projects), “A”, 5%, 7/01/2030      35,000       38,866  
California School Finance Authority, School Facility Rev. (Alliance for College-Ready Public Schools Projects), “A”, 5%, 7/01/2045      100,000       108,089  
California School Finance Authority, School Facility Rev. (ICEF View Park Elementary and Middle Schools), “A”, 5.875%, 10/01/2044      115,000       122,699  
California Statewide Communities Development Authority Environmental Facilities Rev. (Microgy Holdings Project), 9%, 12/01/2038 (a)(d)      50,491       1  
California Statewide Communities Development Authority Refunding Rev. (California Baptist University), “A”, 5%, 11/01/2041      100,000       108,098  
California Statewide Communities Development Authority Rev. (899 Charleston Project), “A”, 5.25%, 11/01/2044      40,000       42,545  
California Statewide Communities Development Authority Rev. (899 Charleston Project), “A”, 5.375%, 11/01/2049      55,000       58,883  
California Statewide Communities Development Authority Rev. (American Baptist Homes of the West), 6.25%, 10/01/2039      215,000       226,070  
California Statewide Communities Development Authority Rev. (California Baptist University), “A”, 6.125%, 11/01/2033      100,000       115,220  
California Statewide Communities Development Authority Rev. (Lancer Plaza Project), 5.625%, 11/01/2033      110,000       122,916  
California Statewide Communities Development Authority Rev. (Loma Linda University Medical Center), “A”, 5.25%, 12/01/2034      195,000       213,123  

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
California - continued                 
California Statewide Communities Development Authority Rev. (Loma Linda University Medical Center), “A”, 5.25%, 12/01/2044    $ 390,000     $ 422,729  
California Statewide Communities Development Authority Rev. (Loma Linda University Medical Center), “A”, 5%, 12/01/2046      295,000       314,800  
California Statewide Communities Development Authority Rev. (Loma Linda University Medical Center), “A”, 5.25%, 12/01/2056      230,000       249,009  
Chula Vista, CA, Industrial Development Rev. (San Diego Gas & Electric Co.), “E”, 5.875%, 1/01/2034      245,000       254,447  
Jurupa, CA, Public Financing Authority, Special Tax Rev., “A”, 5%, 9/01/2042      170,000       189,727  
La Verne, CA, COP (Brethren Hillcrest Homes), 5%, 5/15/2036      50,000       52,591  
Long Beach, CA, Marina Rev. (Alamitos Bay Marina Project), 5%, 5/15/2035      30,000       33,320  
Los Angeles County, CA, Regional Financing Authority Rev. (Montecedro Inc. Project), “A”, CALHF, 5%, 11/15/2034      35,000       38,770  
Los Angeles County, CA, Regional Financing Authority Rev. (Montecedro Inc. Project), “A”, CALHF, 5%, 11/15/2044      65,000       71,511  
Los Angeles, CA, Unified School District, “D”, 5%, 1/01/2034      165,000       170,684  
Palomar Pomerado Health Care District, CA, COP, 6.75%, 11/01/2039 (Prerefunded 11/01/2019)      890,000       953,430  
San Francisco, CA, City & County Redevelopment Successor Agency, Tax Allocation (Mission Bay South Redevelopment Project), “A”, 5%, 8/01/2043      25,000       28,015  
State of California, 5.25%, 10/01/2028      335,000       370,302  
State of California, 5.25%, 9/01/2030      790,000       870,698  
Whittier, CA, Health Facility Rev. (PIH Health), 5%, 6/01/2044      335,000       365,730  
Yorba Linda, CA, Redevelopment Agency, Tax Allocation Rev., Capital Appreciation, “A”, NATL, 0%, 9/01/2024      1,325,000       1,103,659  
    

 

 

 
             $ 14,474,464  
Colorado - 3.4%                 
Colorado Educational & Cultural Facilities Authority Rev. (Peak to Peak Charter School Project), 5%, 8/15/2030    $ 40,000     $ 43,875  
Colorado Educational & Cultural Facilities Authority Rev. (Peak to Peak Charter School Project), 5%, 8/15/2034      35,000       37,759  
Colorado Educational & Cultural Facilities Authority Rev. (The Classical Academy Project), 5%, 12/01/2031      65,000       72,495  
Colorado Educational & Cultural Facilities Authority Rev. (The Classical Academy Project), “A”, 5%, 12/01/2038      75,000       82,029  
Colorado Health Facilities Authority Rev. (American Baptist Homes), 8%, 8/01/2043      375,000       430,807  
Colorado Health Facilities Authority Rev. (Covenant Retirement Communities, Inc. Project), “A”, 5%, 12/01/2035      150,000       163,071  

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Colorado - continued                 
Colorado Health Facilities Authority Rev. (Evangelical Lutheran Good Samaritan Society), 5.625%, 6/01/2043    $ 100,000     $ 110,814  
Colorado High Performance Transportation Enterprise Rev. (C-470 Express Lanes), 5%, 12/31/2056      90,000       97,316  
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 1/15/2034      630,000       673,892  
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 1/15/2041      300,000       318,924  
Denver, CO, City & County Special Facilities Airport Refunding Rev. (United Airlines), 5%, 10/01/2032      235,000       253,638  
Denver, CO, Convention Center Hotel Authority Rev., 5%, 12/01/2035      60,000       67,264  
Denver, CO, Convention Center Hotel Authority Rev., 5%, 12/01/2036      40,000       44,717  
Denver, CO, Convention Center Hotel Authority Rev., 5%, 12/01/2040      105,000       116,406  
Denver, CO, Health & Hospital Authority Rev., “A”, 5.25%, 12/01/2045      100,000       107,742  
E-470 Public Highway Authority, CO, Capital Appreciation, “B”, NATL, 0%, 9/01/2018      1,500,000       1,493,535  
Park Creek Metropolitan District, CO, Senior Limited Property Tax Supported Rev., “A”, 5%, 12/01/2041      65,000       72,601  
Park Creek Metropolitan District, CO, Senior Limited Property Tax Supported Rev., “A”, NATL, 5%, 12/01/2045      370,000       413,531  
    

 

 

 
             $ 4,600,416  
Connecticut - 1.0%                 
Hartford County Metropolitan District, CT, “C”, AGM, 5%, 11/01/2029    $ 190,000     $ 220,501  
Hartford County Metropolitan District, CT, “C”, AGM, 5%, 11/01/2030      185,000       213,799  
Hartford County Metropolitan District, CT, “C”, AGM, 5%, 11/01/2031      160,000       184,392  
Mohegan Tribal Finance Authority, CT, Economic Development Bonds, 7%, 2/01/2045 (n)      540,000       568,539  
Mohegan Tribe Indians, CT, Gaming Authority Rev., “C”, 4.75%, 2/01/2020 (n)      190,000       191,820  
    

 

 

 
             $ 1,379,051  
Delaware - 0.8%                 
Delaware Economic Development Authority Rev. (Delaware Military Academy, Inc. Project), 4.625%, 9/01/2034    $ 85,000     $ 88,764  
Delaware Economic Development Authority Rev. (Delaware Military Academy, Inc. Project), 5%, 9/01/2044      95,000       101,026  
Delaware Economic Development Authority Rev. (Delaware Military Academy, Inc. Project), 5%, 9/01/2049      110,000       115,303  

 

10


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Delaware - continued                 
Kent County, DE, Student Housing and Dining Facility Rev. (Chf-Dover, L.L.C.-Delaware State University Project), “A”, 5%, 7/01/2058    $ 175,000     $ 188,225  
Wilmington, DE, Multi-Family Housing Rev. (Electra Arms Senior Associates), 6.25%, 6/01/2028      555,000       555,305  
    

 

 

 
             $ 1,048,623  
District of Columbia - 1.4%                 
District of Columbia Rev. (Kipp, D.C. Charter School),“A”, 6%, 7/01/2033 (Prerefunded 7/01/2023)    $ 45,000     $ 53,287  
District of Columbia Rev. (Kipp, D.C. Charter School),“A”, 6%, 7/01/2043 (Prerefunded 7/01/2023)      110,000       130,257  
District of Columbia Rev. (Methodist Home of the District of Columbia Issue), 4.5%, 1/01/2025      55,000       54,138  
District of Columbia Rev. (Methodist Home of the District of Columbia Issue), “A”, 5.125%, 1/01/2035      65,000       62,917  
District of Columbia Rev. (Methodist Home of the District of Columbia Issue), “A”, 5.25%, 1/01/2039      40,000       38,871  
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 10/01/2030      130,000       133,034  
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 10/01/2035      670,000       681,149  
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 10/01/2045      775,000       776,442  
    

 

 

 
             $ 1,930,095  
Florida - 9.1%                 
Alachua County, FL, Health Facilities Authority Rev. (East Ridge Retirement Village, Inc.), 6%, 11/15/2034    $ 65,000     $ 68,580  
Alachua County, FL, Health Facilities Authority Rev. (East Ridge Retirement Village, Inc.), 6.25%, 11/15/2044      170,000       180,239  
Alachua County, FL, Health Facilities Authority Rev. (East Ridge Retirement Village, Inc.), 6.375%, 11/15/2049      115,000       122,382  
Arborwood Community Development District, FL, Capital Improvement Refunding Rev. (Subordinate Lien), “A-2”, 5%, 5/01/2036      105,000       105,321  
Bellalago, FL, Educational Facilities Benefit District (Osceola County) Capital Improvement Refunding Rev., 4.375%, 5/01/2030      85,000       89,493  
Bellalago, FL, Educational Facilities Benefit District (Osceola County) Capital Improvement Refunding Rev., 4.5%, 5/01/2033      40,000       42,270  
Bellalago, FL, Educational Facilities Benefit District (Osceola County) Capital Improvement Refunding Rev., 4.6%, 5/01/2034      60,000       63,658  
Brevard County, FL, Industrial Development Rev. (TUFF Florida Tech LLC Project), 6.75%, 11/01/2039      540,000       557,194  

 

11


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Florida - continued                 
Capital Region Community Development District, FL, Capital Improvement Rev., “A-1”, 5.125%, 5/01/2039    $ 150,000     $ 151,036  
Collier County, FL, Educational Facilities Authority Rev. (Ave Maria University, Inc. Project), “A”, 6.125%, 6/01/2043      480,000       520,320  
Collier County, FL, Industrial Development Authority Continuing Care Community Rev. (The Arlington of Naples Project), “A”, 8.125%, 5/15/2044      485,000       537,676  
Collier County, FL, Industrial Development Authority Continuing Care Community Rev. (The Arlington of Naples Project), “A”, 6.5%, 5/15/2049      100,000       100,939  
Collier County, FL, Industrial Development Authority Continuing Care Community Rev. (The Arlington of Naples Project), “B”, 5.25%, 5/15/2022      100,000       100,047  
Daytona Beach, FL, Halifax Hospital Medical Center Rev., 5%, 6/01/2035      135,000       148,428  
Daytona Beach, FL, Halifax Hospital Medical Center Rev., 5%, 6/01/2046      185,000       199,696  
Florida Development Finance Corp. Educational Facilities Rev. (Florida Charter Educational Foundation Project), “A”, 6.375%, 6/15/2046      150,000       154,791  
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 6%, 6/15/2032      115,000       120,817  
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 7.625%, 6/15/2041      745,000       819,560  
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 6.125%, 6/15/2043      240,000       250,541  
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School),“A”, 8.5%, 6/15/2044      445,000       511,594  
Florida Development Finance Corp. Educational Facilities Rev. (Southwest Charter Foundation, Inc. Project), “A”, 6%, 6/15/2037      100,000       99,885  
Florida Development Finance Corp. Educational Facilities Rev. (Southwest Charter Foundation, Inc. Project), “A”, 6.125%, 6/15/2047      155,000       154,891  
Florida State University Board of Governors, System Improvement Rev., 6.25%, 7/01/2030 (Prerefunded 7/01/2018)      1,000,000       1,013,540  
Homestead, Community Development District, FL, Special Assessment, “A”, 6%, 5/01/2037      365,000       357,948  
Lakeland, FL, Hospital Rev. (Lakeland Regional Health Systems), 5%, 11/15/2034      150,000       166,444  
Lakewood Ranch Stewardship District, FL, Special Assessment Rev. (Lakewood Centre North Project), 4.875%, 5/01/2035      100,000       102,023  
Lakewood Ranch Stewardship District, FL, Special Assessment Rev. (Lakewood Centre North Project), 4.875%, 5/01/2045      155,000       156,214  

 

12


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Florida - continued                 
Lakewood Ranch Stewardship District, FL, Special Assessment Rev. (Lakewood National and Polo Run Projects), 5.375%, 5/01/2047    $ 135,000     $ 143,382  
Main Street, FL, Community Development District Rev., “A”, 6.8%, 5/01/2038      145,000       145,071  
Marshall Creek, FL, Community Development District Rev. (St. John’s County), “A”, 5%, 5/01/2032      80,000       81,446  
Miami-Dade County, FL, Industrial Development Authority Rev. (Pinecrest Academy Project), 5.25%, 9/15/2044      195,000       205,089  
Mid-Bay Bridge Authority, FL, Springing Lien Rev., “A”, 7.25%, 10/01/2040 (Prerefunded 10/01/2021)      445,000       516,965  
Midtown Miami, FL, Community Development District Special Assessment (Infrastructure Project), “B”, 5%, 5/01/2029      175,000       184,718  
North Broward, FL, Hospital District Rev. (Broward Health), “B”, 5%, 1/01/2042      380,000       412,490  
Orlando, FL, Senior Tourist Development Tax Refunding Rev. (6th Cent Contract Payments), “A”, AGM, 5%, 11/01/2035      55,000       62,699  
Orlando, FL, Senior Tourist Development Tax Refunding Rev. (6th Cent Contract Payments), “A”, AGM, 5%, 11/01/2036      50,000       56,826  
Orlando, FL, Senior Tourist Development Tax Refunding Rev. (6th Cent Contract Payments), “A”, AGM, 5%, 11/01/2037      40,000       45,426  
Orlando, FL, Senior Tourist Development Tax Refunding Rev. (6th Cent Contract Payments), “A”, AGM, 5%, 11/01/2038      45,000       51,065  
Palm Beach County, FL, Health Facilities Rev. (Sinai Residences of Boca Raton Project), 7.5%, 6/01/2049      115,000       132,972  
Pasco County, FL, Bexley Community Development District, Special Assessment Rev., 4.7%, 5/01/2036      100,000       102,068  
Pasco County, FL, Bexley Community Development District, Special Assessment Rev., 4.875%, 5/01/2047      145,000       148,193  
Pasco County, FL, Estancia At Wiregrass Community Development District, Capital Improvement, 7%, 11/01/2045      105,000       126,224  
Pasco County, FL, Estancia At Wiregrass Community Development District, Capital Improvement, 5.375%, 11/01/2046      100,000       104,652  
Sarasota County, FL, Health Facility Authority Retirement Facility Improvement Rev. (Village on the Isle Project), “A”, 5%, 1/01/2047      55,000       58,875  
Sarasota County, FL, Health Facility Authority Retirement Facility Improvement Rev. (Village on the Isle Project), “A”, 5%, 1/01/2052      100,000       106,672  
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6%, 4/01/2029      85,000       87,446  
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6.25%, 4/01/2039      125,000       128,840  
St. John’s County, FL, Industrial Development Authority Rev. (Presbyterian Retirement), “A”, 6%, 8/01/2045 (Prerefunded 8/01/2020)      610,000       662,082  

 

13


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Florida - continued                 
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5%, 7/01/2026    $ 20,000     $ 22,300  
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5%, 7/01/2029      20,000       22,007  
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5.125%, 7/01/2034      40,000       43,582  
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5.25%, 7/01/2044      125,000       135,989  
Tallahassee, FL, Health Facilities Rev. (Tallahassee Memorial Healthcare, Inc.), “A”, 5%, 12/01/2040      335,000       362,899  
Tallahassee, FL, Health Facilities Rev. (Tallahassee Memorial Healthcare, Inc.), “A”, 5%, 12/01/2044      130,000       140,494  
Tampa, FL (University of Tampa Project), 5%, 4/01/2040      80,000       88,144  
Trout Creek Community Development District, FL, Capital Improvement Rev., 5.5%, 5/01/2035      170,000       171,584  
Trout Creek Community Development District, FL, Capital Improvement Rev., 5.625%, 5/01/2045      305,000       307,498  
Tuscany Reserve Community Development District, FL, Special Assessment, “B”, 5.25%, 5/01/2021      75,000       75,235  
Westridge, FL, Community Development District, Capital Improvement Rev., 5.8%, 5/01/2037 (a)(d)      960,000       614,400  
    

 

 

 
             $ 12,442,860  
Georgia - 2.1%                 
Americus and Sumter County, GA, Hospital Authority Rev. (Magnolia Manor Obligated Group), “A”, 6.25%, 5/15/2033    $ 95,000     $ 104,282  
Americus and Sumter County, GA, Hospital Authority Rev. (Magnolia Manor Obligated Group), “A”, 6.375%, 5/15/2043      95,000       104,186  
Atlanta, GA, Water & Wastewater Rev., “A”, 6%, 11/01/2022 (Prerefunded 11/01/2019)      370,000       391,775  
Clayton County, GA, Development Authority Special Facilities Rev. (Delta Airlines, Inc.), “A”, 8.75%, 6/01/2029      200,000       223,724  
Cobb County, GA, Development Authority Student Housing Rev. (Kennesaw State University Real Estate Foundations), “C”, 5%, 7/15/2030      45,000       48,774  
Cobb County, GA, Development Authority Student Housing Rev. (Kennesaw State University Real Estate Foundations), “C”, 5%, 7/15/2033      80,000       85,983  
Cobb County, GA, Development Authority Student Housing Rev. (Kennesaw State University Real Estate Foundations), “C”, 5%, 7/15/2038      90,000       95,808  
Georgia Main Street Natural Gas, Inc., Gas Project Rev., “A”, 5%, 3/15/2022      660,000       723,142  

 

14


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Georgia - continued                 
Georgia Main Street Natural Gas, Inc., Gas Project Rev., “A”, 5.5%, 9/15/2028    $ 335,000     $ 403,333  
Glynn-Brunswick, GA, Memorial Hospital Authority Rev., 5.625%, 8/01/2034 (Prerefunded 8/01/2018)      150,000       150,954  
Glynn-Brunswick, GA, Memorial Hospital Authority Rev., Unrefunded Balance, 5.625%, 8/01/2034      20,000       20,129  
Marietta, GA, Development Facilities Authority Rev. (Life University), 7%, 6/15/2039 (Prerefunded 6/15/2018)      265,000       265,448  
Marietta, GA, Development Facilities Authority Rev. (Life University, Inc. Project), “A”, 5%, 11/01/2037      120,000       128,162  
Marietta, GA, Development Facilities Authority Rev. (Life University, Inc. Project), “A”, 5%, 11/01/2047      100,000       105,129  
    

 

 

 
             $ 2,850,829  
Guam - 0.6%                 
Guam Government Department of Education (John F. Kennedy High School), “A”, COP, 6.625%, 12/01/2030    $ 195,000     $ 201,320  
Guam Government Department of Education (John F. Kennedy High School), “A”, COP, 6.875%, 12/01/2040      500,000       517,440  
Guam Government, “A”, 7%, 11/15/2039 (Prerefunded 11/15/2019)      90,000       96,493  
    

 

 

 
             $ 815,253  
Hawaii - 0.7%                 
Hawaii Department of Budget & Finance, Special Purpose Rev. (15 Craigside Project), “A”, 9%, 11/15/2044 (Prerefunded 11/15/2019)    $ 140,000     $ 154,120  
Hawaii Department of Budget & Finance, Special Purpose Rev. (Chaminade University), 5%, 1/01/2030      115,000       117,908  
Hawaii Department of Budget & Finance, Special Purpose Rev. (Chaminade University), 5%, 1/01/2045      110,000       109,515  
Hawaii Department of Budget & Finance, Special Purpose Rev. (Hawaiian Electric Co. & Subsidiary), 6.5%, 7/01/2039      390,000       408,221  
State of Hawaii, “DZ”, 5%, 12/01/2031 (Prerefunded 12/01/2021)      125,000       137,809  
State of Hawaii, “DZ”, 5%, 12/01/2031 (Prerefunded 12/01/2021)      75,000       82,685  
    

 

 

 
             $ 1,010,258  
Idaho - 2.3%                 
Idaho Health Facilities Authority Rev. (IHC Hospitals, Inc.), ETM, 6.65%, 2/15/2021    $ 2,750,000     $ 3,083,273  
Idaho Health Facilities Authority Rev. (Madison Memorial Hospital Project), 5%, 9/01/2037      40,000       42,840  
    

 

 

 
             $ 3,126,113  

 

15


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Illinois - 15.8%                 
Bolingbrook, IL, Sales Tax Rev., 6.25%, 1/01/2024    $ 365,000     $ 362,361  
Chicago, IL, “A”, 5.25%, 1/01/2028      30,000       31,872  
Chicago, IL, “A”, 5%, 1/01/2036      105,000       108,291  
Chicago, IL, “A”, AGM, 5%, 1/01/2027      20,000       20,140  
Chicago, IL, “A”, AGM, 5%, 1/01/2028      445,000       462,208  
Chicago, IL, “A”, AGM, 4.75%, 1/01/2030      25,000       25,085  
Chicago, IL, “A”, AGM, 4.625%, 1/01/2031      35,000       35,114  
Chicago, IL, “A”, AGM, 5%, 1/01/2037      315,000       317,214  
Chicago, IL, “C”, NATL, 5%, 1/01/2029      10,000       10,014  
Chicago, IL, “D”, 5.5%, 1/01/2033      85,000       91,187  
Chicago, IL, (Modern Schools Across Chicago Program), “A”, AAC, 5%, 12/01/2024      225,000       225,781  
Chicago, IL, (Modern Schools Across Chicago Program), “D”, AAC, 5%, 12/01/2022      285,000       285,998  
Chicago, IL, (Modern Schools Across Chicago Program), “G”, AAC, 5%, 12/01/2023      55,000       55,195  
Chicago, IL, Board of Education (School Reform), “A”, NATL, 5.25%, 12/01/2023      495,000       538,723  
Chicago, IL, Board of Education (School Reform), Capital Appreciation, “B-1”, NATL, 0%, 12/01/2019      65,000       62,121  
Chicago, IL, Board of Education (School Reform), Capital Appreciation, “B-1”, NATL, 0%, 12/01/2028      250,000       154,978  
Chicago, IL, Board of Education, “B”, AGM, 5%, 12/01/2035      375,000       375,514  
Chicago, IL, Board of Education, Dedicated Capital Improvement Tax Bond, 5%, 4/01/2046      100,000       107,446  
Chicago, IL, Board of Education, Dedicated Capital Improvement Tax Bond, 6%, 4/01/2046      975,000       1,142,066  
Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “A”, 7%, 12/01/2046      310,000       368,804  
Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “A”, AGM, 5%, 12/01/2029      110,000       124,798  
Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “A”, AGM, 5%, 12/01/2035      110,000       122,543  
Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “G”, 5%, 12/01/2034      260,000       266,518  
Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “H”, 5%, 12/01/2036      255,000       261,982  
Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “H”, 5%, 12/01/2046      250,000       253,395  
Chicago, IL, General Obligation, “A”, 6%, 1/01/2038      260,000       292,799  
Chicago, IL, O’Hare International Airport Rev., Special Facilities, 5%, 7/01/2033      350,000       392,662  

 

16


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Illinois - continued                 
Chicago, IL, O’Hare International Airport Rev., Special Facilities, 5%, 7/01/2038    $ 295,000     $ 328,314  
Chicago, IL, O’Hare International Airport Rev., Special Facilities, 5%, 7/01/2048      250,000       276,233  
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.25%, 1/01/2032      80,000       88,722  
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.25%, 1/01/2033      40,000       44,343  
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.5%, 1/01/2043      155,000       173,344  
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 12/01/2029      165,000       177,959  
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 12/01/2030      330,000       355,575  
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 12/01/2031      60,000       64,588  
Cook County, IL, 5%, 11/15/2034      40,000       44,945  
Cook County, IL, 5%, 11/15/2035      140,000       157,090  
Cook County, IL, Community College District 508 (City Colleges), BAM, 5%, 12/01/2047      450,000       488,952  
Du Page County, IL, Special Service Area No. 31 Special Tax (Monarch Landing Project), 5.625%, 3/01/2036      227,000       227,266  
Illinois Finance Authority Refunding Rev. (Southern Illinois Healthcare Enterprises, Inc.), “C”, 5%, 3/01/2032      10,000       11,289  
Illinois Finance Authority Refunding Rev. (Southern Illinois Healthcare Enterprises, Inc.), “C”, 5%, 3/01/2034      5,000       5,604  
Illinois Finance Authority Rev. (Edward-Elmhurst Healthcare), “A”, 5%, 1/01/2034      130,000       142,418  
Illinois Finance Authority Rev. (Edward-Elmhurst Healthcare), “A”, 5%, 1/01/2035      125,000       136,555  
Illinois Finance Authority Rev. (Evangelical Retirement Homes of Greater Chicago, Inc.), 7.25%, 2/15/2045 (Prerefunded 2/15/2020)      850,000       924,817  
Illinois Finance Authority Rev. (Franciscan Communities, Inc.), “A”, 4.75%, 5/15/2033      200,000       207,760  
Illinois Finance Authority Rev. (Franciscan Communities, Inc.), “A”, 5.125%, 5/15/2043      215,000       226,148  
Illinois Finance Authority Rev. (Lutheran Home & Services), 5.5%, 5/15/2027      30,000       31,977  
Illinois Finance Authority Rev. (Lutheran Home & Services), 5.625%, 5/15/2042      210,000       220,542  
Illinois Finance Authority Rev. (Presence Health Network), “A”, 7.75%, 8/15/2034 (Prerefunded 8/15/2019)      480,000       513,302  

 

17


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Illinois - continued                 
Illinois Finance Authority Rev. (Presence Health Network), “C”, 5%, 2/15/2036    $ 155,000     $ 176,029  
Illinois Finance Authority Rev. (Presence Health Network), “C”, 4%, 2/15/2041      525,000       535,815  
Illinois Finance Authority Rev. (Presence Health Network), “C”, 5%, 2/15/2041      315,000       356,712  
Illinois Finance Authority Rev. (Rehabilitation Institute of Chicago), “A”, 6%, 7/01/2043      200,000       223,058  
Illinois Finance Authority Rev. (Roosevelt University Project), 6.25%, 4/01/2029      670,000       699,379  
Illinois Finance Authority Rev. (Rosalind Franklin University), “A”, 5%, 8/01/2042      35,000       38,335  
Illinois Finance Authority Rev. (Rosalind Franklin University), “A”, 5%, 8/01/2047      50,000       54,521  
Illinois Finance Authority Rev. (Rosalind Franklin University, Research Building Project), “C”, 5%, 8/01/2046      40,000       43,681  
Illinois Finance Authority Rev. (Rosalind Franklin University, Research Building Project), “C”, 5%, 8/01/2049      55,000       59,840  
Illinois Finance Authority Rev. (Silver Cross Hospital & Medical Centers), 6.875%, 8/15/2038 (Prerefunded 8/15/2019)      485,000       513,649  
Illinois Finance Authority Rev. (Silver Cross Hospital & Medical Centers), “C”, 5%, 8/15/2035      420,000       452,823  
Illinois Finance Authority Rev., Friendship Village of Schaumburg, 5%, 2/15/2037      640,000       636,109  
Illinois Finance Authority Student Housing and Academic Facility Rev. (CHF-Chicago, LLC-University of Illinois at Chicago Project), “A”, 5%, 2/15/2037      20,000       21,961  
Illinois Finance Authority Student Housing and Academic Facility Rev. (CHF-Chicago, LLC-University of Illinois at Chicago Project), “A”, 5%, 2/15/2047      45,000       48,974  
Illinois Finance Authority Student Housing and Academic Facility Rev. (CHF-Chicago, LLC-University of Illinois at Chicago Project), “A”, 5%, 2/15/2050      25,000       27,107  
Illinois Finance Authority Student Housing Rev. (Illinois State University), 6.75%, 4/01/2031 (Prerefunded 4/01/2021)      240,000       270,374  
Illinois Finance Authority Student Housing Rev. (Northern Illinois University Project), 6.625%, 10/01/2031      615,000       668,548  
Illinois Railsplitter Tobacco Settlement Authority, 6%, 6/01/2028 (Prerefunded 6/01/2021)      1,365,000       1,522,371  
Lincolnshire, IL, Special Service Area No. 1 (Sedgebrook Project), 6.25%, 3/01/2034      183,000       183,348  
Metropolitan Pier & Exposition Authority Rev. (McCormick Place), “A”, Capital Appreciation, AGM, 0%, 6/15/2026      155,000       114,474  

 

18


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Illinois - continued                 
Romeoville, IL, Rev. (Lewis University Project), “A”, 5%, 10/01/2042    $ 130,000     $ 140,920  
State of Illinois, 5%, 6/01/2020      265,000       273,666  
State of Illinois, 5%, 11/01/2027      465,000       498,131  
State of Illinois, 4.125%, 11/01/2031      85,000       82,732  
State of Illinois, 4.5%, 11/01/2039      130,000       128,761  
State of Illinois, AGM, 5%, 2/01/2027      115,000       126,318  
State of Illinois, NATL, 6%, 11/01/2026      325,000       367,497  
State of Illinois, “D”, 5%, 11/01/2028      455,000       485,585  
University of Illinois Rev. (Auxiliary Facilities Systems), “A”, 5.125%, 4/01/2029 (Prerefunded 4/01/2019)      1,380,000       1,417,481  
    

 

 

 
             $ 21,510,751  
Indiana - 2.1%                 
Indiana Finance Authority Health Facilities Rev. (Baptist Healthcare System Obligated Group), 5%, 8/15/2051    $ 185,000     $ 202,087  
Indiana Finance Authority Rev. (BHI Senior Living), “A”, 6%, 11/15/2041      275,000       313,649  
Indiana Finance Authority Rev. (Marquette Project), “A”, 5%, 3/01/2030      40,000       43,299  
Indiana Finance Authority Rev. (Marquette Project), “A”, 5%, 3/01/2039      100,000       106,399  
Indiana Finance Authority Rev. (Ohio River Bridges East End Crossing Project), “A”, 5%, 7/01/2035      180,000       194,013  
Indiana Finance Authority Rev. (Ohio River Bridges East End Crossing Project), “A”, 5%, 7/01/2040      460,000       492,922  
Indiana Finance Authority Rev. (Ohio River Bridges East End Crossing Project), “A”, 5%, 7/01/2044      125,000       133,526  
University of Southern Indiana Rev. (Student Fee), “J”, ASSD GTY, 5.75%, 10/01/2028 (Prerefunded 10/01/2019)      300,000       315,480  
Valparaiso, IN, Exempt Facilities Rev. (Pratt Paper LLC Project), 6.75%, 1/01/2034      260,000       305,040  
Valparaiso, IN, Exempt Facilities Rev. (Pratt Paper LLC Project), 7%, 1/01/2044      605,000       714,069  
    

 

 

 
             $ 2,820,484  
Iowa - 0.6%                 
Iowa Student Loan Liquidity Corp. Rev., “A”, 3.75%, 12/01/2033    $ 255,000     $ 251,751  
Iowa Student Loan Liquidity Corp. Rev., “A-1”, 4.625%, 12/01/2019      95,000       97,487  
Iowa Student Loan Liquidity Corp. Rev., “A-1”, 4.875%, 12/01/2020      20,000       20,679  
Iowa Student Loan Liquidity Corp. Rev., “A-2”, 5.5%, 12/01/2025      70,000       72,733  
Iowa Student Loan Liquidity Corp. Rev., “A-2”, 5.6%, 12/01/2026      75,000       77,880  
Iowa Student Loan Liquidity Corp. Rev., “A-2”, 5.7%, 12/01/2027      15,000       15,575  
Iowa Student Loan Liquidity Corp. Rev., “A-2”, 5.75%, 12/01/2028      135,000       140,210  

 

19


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Iowa - continued                 
Iowa Tobacco Settlement Authority, Tobacco Settlement Rev., Asset Backed, “C”, 5.625%, 6/01/2046    $ 90,000     $ 90,442  
    

 

 

 
             $ 766,757  
Kansas - 1.0%                 
Coffeyville, KS, Electric Utility System Rev., “B”, NATL, 5%, 6/01/2038    $ 200,000     $ 216,656  
Coffeyville, KS, Electric Utility System Rev., “B”, NATL, 5%, 6/01/2042      100,000       108,072  
Hutchinson, KS, Hospital Facilities Rev. (Hutchinson Regional Medical Center, Inc.), 5%, 12/01/2036      40,000       42,886  
Hutchinson, KS, Hospital Facilities Rev. (Hutchinson Regional Medical Center, Inc.), 5%, 12/01/2041      35,000       37,291  
Lenexa, KS, Health Care Facility Rev. (Lakeview Village, Inc.), “A”, 5%, 5/15/2030      45,000       49,513  
Lenexa, KS, Health Care Facility Rev. (Lakeview Village, Inc.), “A”, 5%, 5/15/2032      40,000       43,830  
Lenexa, KS, Health Care Facility Rev. (Lakeview Village, Inc.), “A”, 5%, 5/15/2039      55,000       59,570  
Wichita, KS, Health Care Facilities Rev. (Kansas Masonic Home), “II-A”, 5%, 12/01/2031      30,000       31,481  
Wichita, KS, Health Care Facilities Rev. (Presbyterian Manors, Inc.), “A”, 6.375%, 5/15/2043      170,000       178,534  
Wichita, KS, Health Care Facilities Rev. (Presbyterian Manors, Inc.), “I”, 5%, 5/15/2047      135,000       138,834  
Wichita, KS, Sales Tax Special Obligations Rev. (K-96 Greenwich Star Bond Project), 3%, 9/01/2023      95,000       94,501  
Wichita, KS, Sales Tax Special Obligations Rev. (K-96 Greenwich Star Bond Project), 4.2%, 9/01/2027      150,000       150,229  
Wyandotte County/Kansas City, KS, Unified Government Utility System Improvement Rev., “A”, 5%, 9/01/2044      200,000       221,644  
    

 

 

 
             $ 1,373,041  
Kentucky - 2.6%                 
Kentucky Economic Development Finance Authority Health Care Rev. (Masonic Homes of Kentucky, Inc.), 5.375%, 11/15/2042    $ 180,000     $ 188,494  
Kentucky Economic Development Finance Authority Health Care Rev. (Masonic Homes of Kentucky, Inc.), 5.5%, 11/15/2045      80,000       84,045  
Kentucky Economic Development Finance Authority Health Facilities Rev. (Baptist Life Communities Project), “A”, 6.25%, 11/15/2046      285,000       287,217  
Kentucky Economic Development Finance Authority Health Facilities Rev. (Baptist Life Communities Project), “A”, 6.375%, 11/15/2051      270,000       273,413  
Kentucky Economic Development Finance Authority Hospital Facilities Rev. (Baptist Healthcare System), “B”, 5%, 8/15/2037      30,000       32,991  

 

20


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Kentucky - continued                 
Kentucky Economic Development Finance Authority Hospital Facilities Rev. (Baptist Healthcare System), “B”, 5%, 8/15/2041    $ 250,000     $ 274,717  
Kentucky Economic Development Finance Authority Hospital Facilities Rev. (Baptist Healthcare System), “B”, 5%, 8/15/2046      160,000       175,037  
Kentucky Economic Development Finance Authority Hospital Rev. (Baptist Healthcare System Obligated Group), “A”, 5.375%, 8/15/2024 (Prerefunded 8/15/2018)      150,000       151,145  
Kentucky Economic Development Finance Authority Hospital Rev. (Baptist Healthcare System Obligated Group), “A”, 5.625%, 8/15/2027 (Prerefunded 8/15/2018)      50,000       50,406  
Kentucky Economic Development Finance Authority Hospital Rev. (Owensboro Health, Inc.), “A”, 5%, 6/01/2037      120,000       130,500  
Kentucky Economic Development Finance Authority Hospital Rev. (Owensboro Health, Inc.), “A”, 5%, 6/01/2041      80,000       85,992  
Kentucky Economic Development Finance Authority Hospital Rev. (Owensboro Health, Inc.), “A”, 5.25%, 6/01/2041      65,000       71,549  
Kentucky Economic Development Finance Authority Hospital Rev. (Owensboro Health, Inc.), “A”, 5%, 6/01/2045      100,000       107,022  
Kentucky Economic Development Finance Authority Hospital Unrefunded Rev. (Baptist Healthcare System Obligated Group), “A”, 5.375%, 8/15/2024      150,000       150,942  
Kentucky Economic Development Finance Authority Hospital Unrefunded Rev. (Baptist Healthcare System Obligated Group), “A”, 5.625%, 8/15/2027      50,000       50,353  
Kentucky Economic Development Finance Authority Rev. (Masonic Home Independent Living II, Inc. - The Meadow Project and Grove Pointe Project), “A”, 5%, 5/15/2036      120,000       127,176  
Kentucky Economic Development Finance Authority Rev. (Masonic Home Independent Living II, Inc. - The Meadow Project and Grove Pointe Project), “A”, 5%, 5/15/2046      325,000       340,392  
Kentucky Economic Development Finance Authority Rev. (Masonic Home Independent Living II, Inc. - The Meadow Project and Grove Pointe Project), “A”, 5%, 5/15/2051      80,000       83,515  
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Owensboro Medical Health System), “A”, 6.375%, 6/01/2040 (Prerefunded 6/01/2020)      570,000       618,917  
Owen County, KY, Waterworks System Rev. (American Water Co. Project), “A”, 6.25%, 6/01/2039      205,000       213,575  
    

 

 

 
             $ 3,497,398  
Louisiana - 2.8%                 
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.25%, 7/01/2031    $ 300,000     $ 310,725  

 

21


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Louisiana - continued                 
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.375%, 7/01/2041    $ 185,000     $ 191,891  
Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (Cameron Parish, Louisiana Gomesa Project), 5.65%, 11/01/2037      100,000       101,564  
Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (CDF Healthcare), “A”, 5.625%, 6/01/2045      485,000       497,523  
Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (St. James Place of Baton Rouge Project), “A”, 6%, 11/15/2035      100,000       110,264  
Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (St. James Place of Baton Rouge Project), “A”, 6.25%, 11/15/2045      315,000       350,176  
Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (Westside Rehab Center Project), “A”, 6.125%, 2/01/2037      190,000       200,486  
Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (Westside Rehab Center Project), “A”, 6.25%, 2/01/2047      160,000       168,827  
Louisiana Public Facilities Authority Hospital Rev. (Lake Charles Memorial Hospital), 6.375%, 12/01/2034      605,000       633,677  
Louisiana Public Facilities Authority Rev., (Loyola University Project), Convertible Capital Appreciation, 0% to 10/01/2023, 5.25% to 10/01/2046      300,000       262,929  
New Orleans, LA, Sewerage Service Rev., 5%, 12/01/2040      60,000       66,177  
New Orleans, LA, Sewerage Service Rev., 5%, 6/01/2045      165,000       180,982  
New Orleans, LA, Sewerage Service Rev., 5%, 12/01/2045      80,000       87,959  
St. Charles Parish, LA, Gulf Zone Opportunity Zone Rev. (Valero Energy Corp.), 4%, 12/01/2040 (Put Date 6/01/2022)      605,000       640,925  
    

 

 

 
             $ 3,804,105  
Maine - 0.3%                 
Maine Finance Authority Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), “R-2”, 4.375%, 8/01/2035 (Put Date 8/01/2025)    $ 130,000     $ 130,988  
Maine Finance Authority Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), “R-3”, 5.25%, 1/01/2025      300,000       323,460  
    

 

 

 
             $ 454,448  
Maryland - 1.6%                 
Anne Arundel County, MD, Special Obligation (National Business Park-North Project), 6.1%, 7/01/2040    $ 140,000     $ 142,946  
Baltimore, MD, Convention Center Hotel Rev., 5%, 9/01/2039      90,000       99,826  

 

22


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Maryland - continued                 
Baltimore, MD, Convention Center Hotel Rev., 5%, 9/01/2042    $ 80,000     $ 87,876  
Baltimore, MD, Convention Center Hotel Rev., 5%, 9/01/2046      125,000       136,897  
Howard County, MD, Special Obligation (Downtown Columbia Project), “A”, 4.5%, 2/15/2047      120,000       121,866  
Maryland Health & Higher Educational Facilities Authority Rev. (Adventist Healthcare Issue), “A”, 5.5%, 1/01/2036      145,000       166,203  
Maryland Health & Higher Educational Facilities Authority Rev. (Anne Arundel Health System, Inc.), “A”, 6.75%, 7/01/2039 (Prerefunded 7/01/2019)      735,000       773,146  
Maryland Health & Higher Educational Facilities Authority Rev. (Doctors Community Hospital), “A”, 5%, 7/01/2033      85,000       93,933  
Maryland Health & Higher Educational Facilities Authority Rev. (Doctors Community Hospital), “A”, 5%, 7/01/2034      55,000       60,557  
Maryland Health & Higher Educational Facilities Authority Rev. (Doctors Community Hospital), “A”, 5%, 7/01/2038      245,000       268,366  
Rockville, MD, Mayor & Council Economic Development Refunding Rev. (Ingleside at King Farm Project), “A-1”, 5%, 11/01/2037      40,000       43,577  
Rockville, MD, Mayor & Council Economic Development Rev. (Ingleside at King Farm Project), “B”, 5%, 11/01/2042      70,000       76,050  
Rockville, MD, Mayor & Council Economic Development Rev. (Ingleside at King Farm Project), “B”, 5%, 11/01/2047      70,000       75,841  
    

 

 

 
             $ 2,147,084  
Massachusetts - 5.6%                 
Boston, MA, Metropolitan Transit Parking Corp., Systemwide Parking Rev., 5.25%, 7/01/2036    $ 300,000     $ 325,473  
Massachusetts Development Finance Agency Rev. (Adventcare), “A”, 6.75%, 10/15/2037      695,000       695,987  
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A”, 4.68%, 11/15/2021      100,000       100,646  
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 11/15/2031      130,267       135,150  
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 11/15/2039      31,732       32,921  
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-2”, 5.5%, 11/15/2046      8,656       8,658  
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), Capital Appreciation, “B”, 0%, 11/15/2056      43,059       8,943  
Massachusetts Development Finance Agency Rev. (Newbridge On The Charles, Inc.), 5%, 10/01/2057      190,000       200,566  
Massachusetts Development Finance Agency Rev. (North Hill Communities), “A”, 6.25%, 11/15/2033 (Prerefunded 11/15/2023)      100,000       120,853  

 

23


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Massachusetts - continued                 
Massachusetts Development Finance Agency Rev. (North Hill Communities), “A”, 6.5%, 11/15/2043 (Prerefunded 11/15/2023)    $ 100,000     $ 121,844  
Massachusetts Development Finance Agency Rev. (Suffolk University), 5%, 7/01/2033      30,000       33,720  
Massachusetts Development Finance Agency Rev. (Suffolk University), 5%, 7/01/2034      35,000       39,224  
Massachusetts Development Finance Agency Rev. (Suffolk University), 5%, 7/01/2035      20,000       22,331  
Massachusetts Development Finance Agency Rev. (The Broad Institute, Inc.), “A”, 5.25%, 4/01/2037      580,000       632,177  
Massachusetts Development Finance Agency Rev. (Tufts Medical Center), “I”, 7.25%, 1/01/2032 (Prerefunded 1/01/2021)      265,000       298,602  
Massachusetts Development Finance Agency Rev. (Tufts Medical Center), “I”, 7.25%, 1/01/2032      180,000       203,065  
Massachusetts Development Finance Agency Rev. (UMass Memorial Health Care Obligated Group), “I”, 5%, 7/01/2036      110,000       121,761  
Massachusetts Development Finance Agency Rev., Newbridge On The Charles, Inc., 5%, 10/01/2047      100,000       106,751  
Massachusetts Development Finance Agency, Resource Recovery Rev. (Covanta Energy Project), “A”, 4.875%, 11/01/2027      410,000       410,308  
Massachusetts Development Finance Agency, Resource Recovery Rev. (Covanta Energy Project), “C”, 5.25%, 11/01/2042      705,000       705,465  
Massachusetts Development Finance Agency, Solid Waste Disposal Rev. (Dominion Energy Brayton), 5.75%, 12/01/2042 (Prerefunded 5/01/2019)      85,000       88,112  
Massachusetts Educational Financing Authority, Education Loan Rev, “A”, 4.25%, 1/01/2030      70,000       72,559  
Massachusetts Educational Financing Authority, Education Loan Rev, “A”, 4.25%, 1/01/2031      50,000       51,768  
Massachusetts Educational Financing Authority, Education Loan Rev., “H”, ASSD GTY, 6.35%, 1/01/2030      145,000       146,177  
Massachusetts Educational Financing Authority, Education Loan Rev., “I-A”, 5.5%, 1/01/2022      25,000       26,139  
Massachusetts Educational Financing Authority, Education Loan Rev., “Issue E”, “C”, 4.125%, 7/01/2046      315,000       317,448  
Massachusetts Educational Financing Authority, Education Loan Rev., “J”, 3.5%, 7/01/2033      725,000       724,978  
Massachusetts Health & Higher Educational Facilities Authority Refunding Bonds Rev. (Suffolk University) , 6.25%, 7/01/2030 (Prerefunded 7/01/2019)      465,000       487,436  
Massachusetts Health & Higher Educational Facilities Authority Refunding Bonds Rev. (Suffolk University) , 5.75%, 7/01/2039 (Prerefunded 7/01/2019)      300,000       312,885  

 

24


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Massachusetts - continued                 
Massachusetts Health & Higher Educational Facilities Authority Refunding Bonds Rev. (Suffolk University) , 5.75%, 7/01/2039    $ 155,000     $ 160,123  
Massachusetts Health & Higher Educational Facilities Authority Refunding Bonds Rev., Unrefunded Balance, (Suffolk University), 6.25%, 7/01/2030      260,000       270,837  
Massachusetts Port Authority Special Facilities Rev. (ConRAC Project), “A”, 5.125%, 7/01/2041      40,000       43,088  
Massachusetts Port Authority Special Facilities Rev. (Delta Air Lines Project, Inc.), “A”, AAC, 5%, 1/01/2027      185,000       187,168  
Massachusetts School Building Authority, Dedicated Sales Tax Rev., “B”, 5%, 10/15/2032      390,000       423,887  
    

 

 

 
             $ 7,637,050  
Michigan - 3.8%                 
Detroit, MI, Sewage Disposal System Rev., “B”, NATL, 5.5%, 7/01/2022    $ 955,000     $ 1,071,625  
Detroit, MI, Water & Sewerage Department, Senior Lien Sewage Disposal System Rev., “A”, 5.25%, 7/01/2039      580,000       623,239  
Detroit, MI, Water Supply System Rev., Senior Lien, “A”, 5%, 7/01/2036      30,000       31,686  
Detroit, MI, Water Supply System Rev., Senior Lien, “C”, 5%, 7/01/2041      40,000       42,128  
Eastern Michigan University Board of Regents, General Rev., “A”, 4%, 3/01/2047      440,000       446,015  
Great Lakes Water Authority, Michigan Water Supply System Rev., “D”, AGM, 5%, 7/01/2034      295,000       336,117  
Michigan Finance Authority Hospital Rev. (Beaumont Health Credit Group), “A”, 5%, 8/01/2033      100,000       111,404  
Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department Sewage Disposal System Rev. Refunding Second Lien Local Project), “C”, 5%, 7/01/2033      60,000       66,428  
Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department Sewage Disposal System Rev. Refunding Second Lien Local Project), “C”, 5%, 7/01/2034      140,000       153,978  
Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department Sewage Disposal System Rev. Refunding Second Lien Local Project), “C”, 5%, 7/01/2035      95,000       104,547  
Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department Water Supply System Rev. Refunding Second Lien Local Project), “D-2”, 5%, 7/01/2034      60,000       65,990  
Michigan Finance Authority Rev. (Trinity Health Corp.), 5%, 12/01/2035      1,000,000       1,090,440  

 

25


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Michigan - continued                 
Michigan Strategic Fund Ltd. (Canterbury Health Care, Inc.), 5%, 7/01/2046    $ 105,000     $ 108,159  
Royal Oak, MI, Hospital Finance Authority Rev. (William Beaumont Hospital), 8.25%, 9/01/2039 (Prerefunded 9/01/2018)      485,000       492,736  
Waterford Township, MI, Economic Development Corp. (Canterbury Health Care, Inc.), “A”, 5%, 7/01/2046      105,000       108,159  
Waterford Township, MI, Economic Development Corp. (Canterbury Health Care, Inc.), “A”, 5%, 7/01/2051      105,000       107,802  
Wayne County, MI, Airport Authority Rev. (Detroit Metropolitan Wayne County Airport), “B”, 5%, 12/01/2044      35,000       38,645  
Wayne County, MI, Airport Authority Rev. (Detroit Metropolitan Wayne County Airport), “B”, BAM, 5%, 12/01/2039      40,000       44,289  
Wayne County, MI, Airport Authority Rev. (Detroit Metropolitan Wayne County Airport), “C”, 5%, 12/01/2039      30,000       32,702  
Wayne County, MI, Airport Authority Rev. (Detroit Metropolitan Wayne County Airport), “C”, 5%, 12/01/2044      90,000       97,833  
    

 

 

 
             $ 5,173,922  
Minnesota - 0.1%                 
Minneapolis & St. Paul, MN, Housing Authority Rev. (City Living), “A-2”, GNMA, 5%, 12/01/2038    $ 9,702     $ 9,716  
Minneapolis, MN, Student Housing Rev. (Riverton Community Housing Project), 4.75%, 8/01/2043      35,000       35,470  
St. Paul, MN, Housing & Redevelopment Authority Charter School Lease Rev. (Great River School Project), “A”, 5.5%, 7/01/2052      100,000       103,093  
    

 

 

 
             $ 148,279  
Mississippi - 1.4%                 
Mississippi Business Finance Corp., Pollution Control Rev. (Systems Energy Resources Project), 5.875%, 4/01/2022    $ 925,000     $ 926,868  
Mississippi Development Bank Special Obligation Bonds (Magnolia Regional Health Center Project), “A”, 6.25%, 10/01/2026      65,000       68,287  
Mississippi Development Bank Special Obligation Bonds (Magnolia Regional Health Center Project), “A”, 6.5%, 10/01/2031      95,000       100,199  
Mississippi State University, Educational Building Corp. Rev. (Residence Hall Construction and Refunding Project), 5%, 8/01/2036 (Prerefunded 8/01/2021)      440,000       481,184  
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.25%, 9/01/2032 (Prerefunded 9/01/2019)      220,000       229,467  
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.375%, 9/01/2036 (Prerefunded 9/01/2019)      80,000       83,565  
    

 

 

 
             $ 1,889,570  

 

26


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Missouri - 0.7%                 
Grundy County, MO, Industrial Development Authority Health Facilities Rev. (Wright Memorial Hospital), 6.125%, 9/01/2025    $ 65,000     $ 66,589  
Kansas City, MO, Land Clearance for Redevelopment Authority Rev. (Convention Center Hotel Project - TIF Financing), “B”, 5%, 2/01/2050      310,000       317,610  
St. Louis County, MO, Industrial Development Authority Health Facilities Rev. (Nazareth Living Center), “A”, 5%, 8/15/2030      40,000       41,968  
St. Louis County, MO, Industrial Development Authority Health Facilities Rev. (Nazareth Living Center), “A”, 5%, 8/15/2035      25,000       25,853  
St. Louis County, MO, Industrial Development Authority Health Facilities Rev. (Nazareth Living Center), “A”, 5.125%, 8/15/2045      65,000       66,906  
St. Louis County, MO, Industrial Development Authority Health Facilities Rev. (Ranken-Jordan Project), 4%, 11/15/2036      55,000       51,840  
St. Louis County, MO, Industrial Development Authority Health Facilities Rev. (Ranken-Jordan Project), 5%, 11/15/2041      55,000       57,075  
St. Louis, MO, Industrial Development Authority Financing Rev. (Ballpark Village Development Project), “A”, 3.875%, 11/15/2029      60,000       61,279  
St. Louis, MO, Industrial Development Authority Financing Rev. (Ballpark Village Development Project), “A”, 4.375%, 11/15/2035      95,000       97,805  
St. Louis, MO, Industrial Development Authority Financing Rev. (Ballpark Village Development Project), “A”, 4.75%, 11/15/2047      205,000       211,472  
    

 

 

 
             $ 998,397  
Montana - 0.0%                 
Montana Board of Housing Single Family Program (Federally Insured or Guaranteed Mortgage Loans), “A”, 4%, 6/01/2049    $ 50,000     $ 53,079  
National - 0.8%                 
Centerline Equity Issuer Trust, FHLMC, 6%, 10/31/2052
(Put Date 5/15/2019) (n)
   $ 1,000,000     $ 1,038,180  
Nebraska - 0.3%                 
Central Plains Energy Project, NE, Gas Project Rev. (Project No.3), “A”, 5%, 9/01/2036    $ 105,000     $ 124,529  
Central Plains Energy Project, NE, Gas Project Rev. (Project No.3), “A”, 5%, 9/01/2042      205,000       247,400  
    

 

 

 
             $ 371,929  
Nevada - 0.3%                 
Director of the State of Nevada, Department of Business and Industry, Charter School Lease Rev. (Somerset Academy), “A”, 5.125%, 12/15/2045    $ 150,000     $ 155,930  
Director of the State of Nevada, Department of Business and Industry, Charter School Lease Rev. (Somerset Academy), “A”, 5%, 12/15/2048      100,000       102,969  

 

27


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Nevada - continued                 
Nevada Department of Business & Industry Charter School Rev. (Doral Academy of Nevada), “A”, 5%, 7/15/2047    $ 100,000     $ 102,093  
    

 

 

 
             $ 360,992  
New Hampshire - 0.7%                 
New Hampshire Business Finance Authority Rev. (Elliot Hospital Obligated Group), “A”, 6%, 10/01/2027 (Prerefunded 10/01/2019)    $ 585,000     $ 617,485  
New Hampshire Business Finance Authority, Solid Waste Disposal Rev. (Casella Waste Systems, Inc. Project), 4%, 4/01/2029
(Put Date 10/01/2019)
     100,000       100,548  
New Hampshire Health & Education Facilities Authority Rev. (Memorial Hospital), 5.5%, 6/01/2031      105,000       119,608  
New Hampshire Health & Education Facilities Authority Rev. (Memorial Hospital), 5.5%, 6/01/2036      100,000       112,281  
    

 

 

 
             $ 949,922  
New Jersey - 5.6%                 
Atlantic City, NJ, Tax Appeal Refunding Bonds (Qualified Pursuant to the Provisions of the Municipal Qualified Bond Act), “A”, BAM, 5%, 3/01/2032    $ 15,000     $ 16,959  
Atlantic City, NJ, Tax Appeal Refunding Bonds (Qualified Pursuant to the Provisions of the Municipal Qualified Bond Act), “A”, BAM, 5%, 3/01/2037      25,000       27,882  
Atlantic City, NJ, Tax Appeal Refunding Bonds (Qualified Pursuant to the Provisions of the Municipal Qualified Bond Act), “A”, BAM, 5%, 3/01/2042      30,000       33,314  
New Jersey Building Authority Rev., Unrefunded Balance, “A”, BAM, 5%, 6/15/2029      25,000       28,316  
New Jersey Casino Reinvestment Development Authority, Luxury Tax Rev., AGM, 5%, 11/01/2031      160,000       172,902  
New Jersey Casino Reinvestment Development Authority, Luxury Tax Rev., AGM, 5%, 11/01/2032      65,000       70,126  
New Jersey Economic Development Authority Rev. (Kapkowski Road Landfill Project), 6.5%, 4/01/2031      950,000       1,089,964  
New Jersey Economic Development Authority Rev. (Lions Gate Project), 5%, 1/01/2034      30,000       31,015  
New Jersey Economic Development Authority Rev. (Lions Gate Project), 5.125%, 1/01/2039      90,000       93,372  
New Jersey Economic Development Authority Rev. (Lions Gate Project), 5.25%, 1/01/2044      225,000       234,243  
New Jersey Economic Development Authority Rev. (Provident Group - Rowan Properties LLC - Rowan University Student Housing Project), “A”, 5%, 1/01/2030      80,000       86,393  

 

28


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
New Jersey - continued                 
New Jersey Economic Development Authority Rev. (Provident Group - Rowan Properties LLC - Rowan University Student Housing Project), “A”, 5%, 1/01/2035    $ 95,000     $ 101,404  
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), 5.5%, 1/01/2027      40,000       45,339  
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), 5%, 1/01/2028      40,000       44,035  
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), 5.375%, 1/01/2043      255,000       278,748  
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), AGM, 5%, 1/01/2031      125,000       138,353  
New Jersey Economic Development Authority Rev., School Facilities Construction, “DDD”, 5%, 6/15/2034      10,000       10,791  
New Jersey Economic Development Authority Rev., School Facilities Construction, “DDD”, 5%, 6/15/2035      10,000       10,767  
New Jersey Economic Development Authority Rev., School Facilities Construction, “DDD”, 5%, 6/15/2042      55,000       58,832  
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 4.875%, 9/15/2019      225,000       229,813  
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.125%, 9/15/2023      365,000       396,237  
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.25%, 9/15/2029      515,000       561,190  
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), “A”, 5.625%, 11/15/2030      105,000       119,032  
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), “B”, 5.625%, 11/15/2030      535,000       606,497  
New Jersey Economic Development Authority, State Lease Rev. (Juvenile Justice Commission Facilities Project), “C”, 5%, 6/15/2042      180,000       193,113  
New Jersey Economic Development Motor Vehicle Surcharges Subordinate Refunding Rev., “A”, 3.125%, 7/01/2029      90,000       87,163  
New Jersey Economic Development Motor Vehicle Surcharges Subordinate Refunding Rev., “A”, 5%, 7/01/2033      260,000       281,263  
New Jersey Health Care Facilities, Financing Authority Rev. (University Hospital), “A”, AGM, 5%, 7/01/2046      395,000       436,791  
New Jersey Tobacco Settlement Financing Corp., “B”, 5%, 6/01/2046      1,020,000       1,094,633  
New Jersey Transportation Trust Fund Authority, Transportation Program, “AA”, 5%, 6/15/2038      1,000,000       1,055,290  
    

 

 

 
             $ 7,633,777  
New Mexico - 0.4%                 
Farmington, NM, Pollution Control Rev. (Public Service New Mexico), “D”, 5.9%, 6/01/2040    $ 500,000     $ 534,240  

 

29


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
New York - 7.4%                 
Brooklyn, NY, Arena Local Development Corp. (Barclays Center Project), 6%, 7/15/2030 (Prerefunded 1/15/2020)    $ 135,000     $ 144,133  
Buffalo & Erie County, NY, Industrial Land Development Corp. Rev. (Buffalo State College), “A”, 5.375%, 10/01/2041      200,000       216,664  
Build NYC Resource Corp. Rev. (Albert Einstein School of Medicine, Inc.), 5.5%, 9/01/2045      405,000       438,858  
Glen Cove, NY, Local Economic Assistance Corp. (Garvies Point Public Improvement Project), Capital Appreciation, “B”, 0%, 1/01/2045      360,000       98,903  
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5.75%, 2/15/2047      140,000       152,020  
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5.75%, 2/15/2047 (Prerefunded 2/15/2021)      230,000       253,294  
New Rochelle, NY, Corp. for Local Development Rev. (Iona College Project), “A”, 5%, 7/01/2034      65,000       70,764  
New Rochelle, NY, Corp. for Local Development Rev. (Iona College Project), “A”, 5%, 7/01/2040      165,000       177,921  
New Rochelle, NY, Corp. for Local Development Rev. (Iona College Project), “A”, 5%, 7/01/2045      80,000       85,853  
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.5%, 8/15/2030 (Prerefunded 2/15/2019)      190,000       196,356  
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.25%, 2/15/2035 (Prerefunded 2/15/2019)      115,000       118,689  
New York Dormitory Authority Rev., Non-State Supported Debt (Orange Regional Medical Center), 5%, 12/01/2040      100,000       107,944  
New York Dormitory Authority Rev., Non-State Supported Debt (Orange Regional Medical Center), “A”, 5%, 12/01/2035      100,000       108,988  
New York Environmental Facilities Corp., Clean Drinking Water Revolving Funds, 5%, 6/15/2041      685,000       741,136  
New York Environmental Facilities Corp., State Revolving Funds Rev., “C”, 5%, 5/15/2041      945,000       1,020,383  
New York Liberty Development Corp., Liberty Rev. (3 World Trade Center Project), “1”, 5%, 11/15/2044      785,000       833,332  
New York Liberty Development Corp., Liberty Rev. (3 World Trade Center Project), “2”, 5.375%, 11/15/2040      395,000       434,299  
New York Liberty Development Corp., Liberty Rev. (One Bryant Park LLC), 6.375%, 7/15/2049      545,000       575,869  
New York Transportation Development Corp., Special Facilities Rev. (American Airlines, Inc. John F. Kennedy International Airport Project), 5%, 8/01/2026      350,000       370,062  
New York Transportation Development Corp., Special Facilities Rev. (American Airlines, Inc. John F. Kennedy International Airport Project), 5%, 8/01/2031      210,000       221,455  

 

30


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
New York - continued                 
New York Transportation Development Corp., Special Facilities Rev. (Delta Airlines, Inc. LaGuardia Airport Terminals C&D Redevelopment Project), 5%, 1/01/2032    $ 215,000     $ 243,659  
New York Transportation Development Corp., Special Facilities Rev. (Delta Airlines, Inc. LaGuardia Airport Terminals C&D Redevelopment Project), 5%, 1/01/2033      125,000       141,008  
New York Transportation Development Corp., Special Facilities Rev. (Delta Airlines, Inc. LaGuardia Airport Terminals C&D Redevelopment Project), 5%, 1/01/2034      100,000       112,545  
New York Transportation Development Corp., Special Facilities Rev. (Delta Airlines, Inc. LaGuardia Airport Terminals C&D Redevelopment Project), 4%, 1/01/2036      100,000       101,029  
New York, NY, City Transitional Finance Authority Building Aid Rev., “S-3”, 5.25%, 1/15/2039      440,000       448,888  
Niagara County, NY, Industrial Development Agency, Solid Waste Disposal Rev. (Covanta Energy Project), “A”, 5.25%, 11/01/2042      725,000       725,478  
Onondaga, NY, Civic Development Corp. Rev. (St. Joseph’s Hospital Health Center), 5%, 7/01/2025 (Prerefunded 7/01/2019)      30,000       31,053  
Onondaga, NY, Civic Development Corp. Rev. (St. Joseph’s Hospital Health Center), 5.125%, 7/01/2031 (Prerefunded 7/01/2019)      25,000       25,911  
Onondaga, NY, Civic Development Corp. Rev. (St. Joseph’s Hospital Health Center), 5%, 7/01/2042 (Prerefunded 7/01/2022)      255,000       285,003  
Orange County, NY, Funding Corp. Assisted Living Residence Rev. (The Hamlet at Wallkill Assisted Living Project), 6.5%, 1/01/2046      185,000       189,457  
Port Authority of NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 12/01/2036      255,000       279,605  
Port Authority of NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 12/01/2042      290,000       317,834  
Tobacco Settlement Asset Securitization Corp., NY, “A”, 5%, 6/01/2034      50,000       55,377  
Tobacco Settlement Asset Securitization Corp., NY, “A”, 5%, 6/01/2035      25,000       27,608  
Tobacco Settlement Asset Securitization Corp., NY, “A”, 5%, 6/01/2041      185,000       200,747  
Ulster County, NY, Capital Resource Corp. (Woodland Pond at New Paltz Project), 4%, 9/15/2025      195,000       189,111  
Ulster County, NY, Capital Resource Corp. Rev. (Woodland Pond at New Paltz Project), 5%, 9/15/2037      400,000       394,612  
    

 

 

 
             $ 10,135,848  
North Carolina - 1.8%                 
Durham, NC, Durham Housing Authority Rev. (Magnolia Pointe Apartments), 5.65%, 2/01/2038    $ 858,364     $ 888,355  

 

31


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
North Carolina - continued                 
New Hanover County, NC, Hospital Rev., AGM, 5.125%, 10/01/2031 (Prerefunded 10/01/2019)    $ 895,000     $ 933,888  
North Carolina Medical Care Commission Retirement Facilities First Mortgage Rev. (United Church Homes and Services), “A”, 5%, 9/01/2037      75,000       80,213  
North Carolina Medical Care Commission, Health Care Facilities Rev. (Pennybyrn at Maryfield), 5%, 10/01/2025      55,000       60,661  
North Carolina Medical Care Commission, Health Care Facilities Rev. (Pennybyrn at Maryfield), 5%, 10/01/2030      70,000       74,639  
North Carolina Medical Care Commission, Health Care Facilities Rev. (Pennybyrn at Maryfield), 5%, 10/01/2035      45,000       47,568  
North Carolina Turnpike Authority, Monroe Expressway Toll Rev., “A”, 5%, 7/01/2042      30,000       32,964  
North Carolina Turnpike Authority, Monroe Expressway Toll Rev., “A”, 5%, 7/01/2047      60,000       65,487  
North Carolina Turnpike Authority, Monroe Expressway Toll Rev., “A”, 5%, 7/01/2051      130,000       141,795  
North Carolina Turnpike Authority, Monroe Expressway Toll Rev., “A”, 5%, 7/01/2054      50,000       54,536  
University of North Carolina, Greensboro, Rev., 5%, 4/01/2039      110,000       123,927  
    

 

 

 
             $ 2,504,033  
North Dakota - 0.1%                 
Country of Ward, ND, Health Care Facilities Rev. (Trinity Obligated Group), “C”, 5%, 6/01/2043    $ 120,000     $ 131,983  
Ohio - 7.5%                 
Bowling Green, OH, Student Housing Rev. (State University Project), 5.75%, 6/01/2031    $ 175,000     $ 188,249  
Buckeye, OH, Tobacco Settlement Financing Authority Rev., “A-2”, 5.125%, 6/01/2024      1,430,000       1,412,239  
Buckeye, OH, Tobacco Settlement Financing Authority Rev., “A-2”, 5.375%, 6/01/2024      660,000       658,159  
Buckeye, OH, Tobacco Settlement Financing Authority Rev., “A-2”, 5.875%, 6/01/2030      885,000       884,965  
Buckeye, OH, Tobacco Settlement Financing Authority Rev., “A-2”, 6%, 6/01/2042      230,000       229,998  
Buckeye, OH, Tobacco Settlement Financing Authority Rev., “A-2”, 6.5%, 6/01/2047      1,800,000       1,821,654  
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.5%, 11/01/2040 (Prerefunded 11/01/2020)      200,000       216,768  
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.75%, 11/01/2040 (Prerefunded 11/01/2020)      130,000       141,500  

 

32


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Ohio - continued                 
Butler County, OH, Hospital Facilities Rev., Unrefunded Balance, (UC Health), 5.5%, 11/01/2040 (Prerefunded 11/01/2020)    $ 390,000     $ 422,218  
Cuyahoga County, OH, Hospital Rev. (The Metrohealth System), 5%, 2/15/2042      210,000       223,539  
Cuyahoga County, OH, Hospital Rev. (The Metrohealth System), 4.75%, 2/15/2047      285,000       293,165  
Cuyahoga County, OH, Hospital Rev. (The Metrohealth System), 5.5%, 2/15/2052      40,000       44,152  
Cuyahoga County, OH, Hospital Rev. (The Metrohealth System), 5%, 2/15/2057      150,000       157,099  
Cuyahoga County, OH, Hospital Rev. (The Metrohealth System), 5.5%, 2/15/2057      730,000       804,088  
Franklin County, OH, Health Care Facilities Improvement Rev. (Friendship Village of Dublin, OH, Inc.), 5%, 11/15/2034      120,000       128,731  
Franklin County, OH, Health Care Facilities Improvement Rev. (Friendship Village of Dublin, OH, Inc.), 5%, 11/15/2044      195,000       206,778  
Gallia County, OH, Hospital Facilities Rev. (Holzer Health Systems), “A”, 8%, 7/01/2042      740,000       849,046  
Lake County, OH, Hospital Facilities Rev. (Lake Hospital), “C”, 5.625%, 8/15/2029 (Prerefunded 8/15/2018)      365,000       367,891  
Lake County, OH, Hospital Facilities Rev., Unrefunded Balance, “C” , 5.625%, 8/15/2029      70,000       70,540  
Ohio Air Quality Development Authority, Facilities Rev. (Pratt Paper LLC Project), 3.75%, 1/15/2028      100,000       101,696  
Ohio Air Quality Development Authority, Facilities Rev. (Pratt Paper LLC Project), 4.25%, 1/15/2038      100,000       102,538  
Ohio Air Quality Development Authority, Facilities Rev. (Pratt Paper LLC Project), 4.5%, 1/15/2048      125,000       129,740  
Southeastern Ohio Port Authority, Hospital Facilities Improvement Rev. (Memorial Health System Obligated Group Project), 5.5%, 12/01/2029      35,000       38,458  
Southeastern Ohio Port Authority, Hospital Facilities Improvement Rev. (Memorial Health System Obligated Group Project), 5.75%, 12/01/2032      300,000       325,107  
Southeastern Ohio Port Authority, Hospital Facilities Improvement Rev. (Memorial Health System Obligated Group Project), 5%, 12/01/2035      95,000       99,720  
Southeastern Ohio Port Authority, Hospital Facilities Improvement Rev. (Memorial Health System Obligated Group Project), 5%, 12/01/2043      120,000       124,645  

 

33


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Ohio - continued                 
Southeastern Ohio Port Authority, Hospital Facilities Improvement Rev. (Memorial Health System Obligated Group Project), 5.5%, 12/01/2043    $ 140,000     $ 150,741  
    

 

 

 
             $ 10,193,424  
Oklahoma - 2.0%                 
Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “B”, 5%, 8/15/2029    $ 30,000     $ 34,217  
Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “B”, 5%, 8/15/2033      155,000       174,646  
Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “B”, 5%, 8/15/2038      215,000       239,129  
Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “B”, 5.25%, 8/15/2043      230,000       259,624  
Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “B”, 5.25%, 8/15/2048      215,000       241,527  
Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “B”, 5.5%, 8/15/2052      305,000       347,923  
Oklahoma Development Finance Authority, Health System Rev. (OU Medicine Project), “B”, 5.5%, 8/15/2057      440,000       499,928  
Tulsa, OK, Airport Improvement Trust Rev., “A”, 5%, 6/01/2045      55,000       58,872  
Tulsa, OK, Municipal Airport Trust Rev. (American Airlines, Inc.), 5%, 6/01/2035 (Put Date 6/01/2025)      105,000       113,476  
Tulsa, OK, Municipal Airport Trust Rev. (American Airlines, Inc.), “B”, 5.5%, 6/01/2035      290,000       312,359  
Tulsa, OK, Municipal Airport Trust Rev. (American Airlines, Inc.), “B”, 5.5%, 12/01/2035      385,000       414,683  
    

 

 

 
             $ 2,696,384  
Oregon - 0.2%                 
Forest Grove, OR, Campus Improvement Rev. (Pacific University Project), “A”, 4.5%, 5/01/2029    $ 90,000     $ 96,072  
Forest Grove, OR, Campus Improvement Rev. (Pacific University Project), “A”, 5%, 5/01/2036      90,000       97,816  
Forest Grove, OR, Campus Improvement Rev. (Pacific University Project), “A”, 5%, 5/01/2040      110,000       115,482  
    

 

 

 
             $ 309,370  
Pennsylvania - 9.7%                 
Allegheny County, PA, Higher Education Building Authority Rev. (Robert Morris University), 5%, 10/15/2037    $ 10,000     $ 10,938  
Allegheny County, PA, Higher Education Building Authority Rev. (Robert Morris University), 5%, 10/15/2047      35,000       37,966  

 

34


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Pennsylvania - continued                 
Allegheny County, PA, Hospital Development Authority Rev. (University of Pittsburgh Medical Center), “A”, 5.375%, 8/15/2029    $ 440,000     $ 458,374  
Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev. (City Center Project), 5%, 5/01/2042      170,000       183,789  
Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev. (City Center Refunding Project), 5%, 5/01/2042      150,000       161,026  
Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev., “A”, 5%, 5/01/2035      100,000       104,613  
Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev., “A”, 5%, 5/01/2042      420,000       437,048  
Berks County, PA, Reading School District, AGM, 5%, 3/01/2035      25,000       28,285  
Berks County, PA, Reading School District, AGM, 5%, 3/01/2036      25,000       28,244  
Berks County, PA, Reading School District, AGM, 5%, 3/01/2037      25,000       28,183  
Berks County, PA, Reading School District, AGM, 5%, 3/01/2038      10,000       11,257  
Blythe Township, PA, Solid Waste Authority Rev. , 7.75%, 12/01/2037      220,000       232,080  
Chester County, PA, Health & Education Facilities Authority Rev. (Simpson Senior Services Project), “A”, 5.25%, 12/01/2045      100,000       103,951  
Chester County, PA, Health & Educational Facilities Authority Rev. (Simpson Senior Services Project), “A”, 5%, 12/01/2030      45,000       46,765  
Chester County, PA, Health & Educational Facilities Authority Rev. (Simpson Senior Services Project), “A”, 5%, 12/01/2035      40,000       41,106  
Clarion County, PA, Industrial Development Authority, Student Housing Rev. (Clarion University Foundation, Inc.), 5%, 7/01/2034      35,000       36,851  
Commonwealth Financing Authority, PA, Tobacco Master Settlement Payment Rev., 5%, 6/01/2032      65,000       74,162  
Commonwealth Financing Authority, PA, Tobacco Master Settlement Payment Rev., 5%, 6/01/2033      60,000       67,966  
Commonwealth Financing Authority, PA, Tobacco Master Settlement Payment Rev., 5%, 6/01/2034      30,000       33,983  
Cumberland County, PA, Municipal Authority Rev. (Asbury Atlantic, Inc.), 6%, 1/01/2040      135,000       140,272  
Cumberland County, PA, Municipal Authority Rev. (Asbury Atlantic, Inc.), 5.25%, 1/01/2041      290,000       298,836  
Cumberland County, PA, Municipal Authority Rev., Unrefunded Balance, (Diakon Lutheran Social Ministries Project), 6.125%, 1/01/2029      70,000       71,434  
East Hempfield Township, PA, Industrial Development Authority Rev. (Student Services, Inc., Student Housing Project at Millersville University of Pennsylvania), 5%, 7/01/2030      25,000       27,103  
East Hempfield Township, PA, Industrial Development Authority Rev. (Student Services, Inc., Student Housing Project at Millersville University of Pennsylvania), 5%, 7/01/2035      35,000       37,449  

 

35


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Pennsylvania - continued                 
East Hempfield Township, PA, Industrial Development Authority Rev. (Student Services, Inc., Student Housing Project at Millersville University of Pennsylvania), 5%, 7/01/2039    $ 40,000     $ 42,380  
East Hempfield Township, PA, Industrial Development Authority Rev. (Student Services, Inc., Student Housing Project at Millersville University of Pennsylvania), 5%, 7/01/2046      20,000       21,124  
Lancaster County, PA, Hospital Authority Health System Rev. (Masonic Villages Project), 5%, 11/01/2027      50,000       56,462  
Lancaster County, PA, Hospital Authority Health System Rev. (Masonic Villages Project), 5%, 11/01/2035      15,000       16,554  
Lehigh County, PA, Water and Sewer Authority Rev. (Allentown Concession), “A”, 5%, 12/01/2043      1,135,000       1,243,722  
Lehigh County, PA, Water and Sewer Authority Rev. (Allentown Concession), Capital Appreciation, “B”, 0%, 12/01/2037      955,000       425,577  
Luzerne County, PA, “A”, AGM, 5%, 11/15/2029      180,000       202,840  
Montgomery County, PA, Industrial Development Authority Retirement Community Rev. (ACTS Retirement - Life Communities, Inc.), 5%, 11/15/2028      350,000       377,223  
Montgomery County, PA, Industrial Development Authority Rev. (Albert Einstein Healthcare Network Issue), “A”, 5.25%, 1/15/2036      645,000       696,864  
Montgomery County, PA, Industrial Development Authority Rev. (Whitemarsh Continuing Care Retirement Community Project), 5.375%, 1/01/2050      935,000       945,014  
Moon Industrial Development Authority Rev. (Baptist Homes Society), 6.125%, 7/01/2050      260,000       276,760  
Northeastern PA, Hospital & Education Authority Rev. (Wilkes University Project), “A”, 5%, 3/01/2037      40,000       43,274  
Pennsylvania Economic Development Financing Authority Rev. (The Pennsylvania Rapid Bridge Replacement Project), 5%, 12/31/2030      100,000       111,658  
Pennsylvania Economic Development Financing Authority, Sewer Sludge Disposal Rev. (Philadelphia Biosolids Facility), 6.25%, 1/01/2032      335,000       352,041  
Pennsylvania Higher Educational Facilities Authority Rev. (Edinboro University Foundation), 5.8%, 7/01/2030 (Prerefunded 7/01/2020)      80,000       86,198  
Pennsylvania Higher Educational Facilities Authority Rev. (Shippensburg University Student Services), 6.25%, 10/01/2043      155,000       169,861  
Pennsylvania Higher Educational Facilities Authority Rev. (Shippensburg University Student Services), 5%, 10/01/2044      260,000       270,637  
Philadelphia, PA, Authority for Industrial Development Rev. (MaST Charter School Project), “A”, 5.625%, 8/01/2036      100,000       102,789  
Philadelphia, PA, Authority for Industrial Development Rev. (MaST Charter School Project), “A”, 5.25%, 8/01/2046      160,000       164,368  

 

36


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Pennsylvania - continued                 
Philadelphia, PA, Authority for Industrial Development Rev. (MaST Charter School Project), “A”, 5.75%, 8/01/2046    $ 245,000     $ 251,554  
Philadelphia, PA, Authority for Industrial Development Rev. (MaST Charter School Project), “A”, 5.375%, 8/01/2051      120,000       123,462  
Philadelphia, PA, Authority for Industrial Development Rev. (MaST Charter School Project), “B”, 6%, 8/01/2051      165,000       171,009  
Philadelphia, PA, Authority for Industrial Development Rev. (MaST Charter School), 6%, 8/01/2035 (Prerefunded 8/01/2020)      50,000       54,269  
Philadelphia, PA, Authority for Industrial Development Rev. (Philadelphia Performing Arts Charter School Project), 6.5%, 6/15/2033      230,000       241,792  
Philadelphia, PA, Authority for Industrial Development Rev. (Philadelphia Performing Arts Charter School Project), 6.75%, 6/15/2043      320,000       336,355  
Philadelphia, PA, Authority for Industrial Development Rev. (Tacony Academy Charter School Project), 6.875%, 6/15/2033      100,000       109,970  
Philadelphia, PA, Authority for Industrial Development Rev. (Tacony Academy Charter School Project), 7.375%, 6/15/2043      110,000       122,731  
Philadelphia, PA, Authority for Industrial Development Rev. (Tacony Academy Charter School Project), “A-1”, 7%, 6/15/2043      140,000       153,880  
Philadelphia, PA, Authority for Industrial Development, Multifamily Housing Rev. (University Square Apartment Project-Section 8), “III”, 5.25%, 12/01/2047      145,000       143,285  
Philadelphia, PA, Authority for Industrial Development, Multifamily Housing Rev. (University Square Apartment Project-Section 8), “III”, 5.5%, 12/01/2058      215,000       212,143  
Philadelphia, PA, Authority for Industrial Development, Senior Living Facilities Rev. (Wesley Enhanced Living Obligated Group), “A”, 5%, 7/01/2037      100,000       106,995  
Philadelphia, PA, Authority for Industrial Development, Senior Living Facilities Rev. (Wesley Enhanced Living Obligated Group), “A”, 5%, 7/01/2042      125,000       133,255  
Philadelphia, PA, Authority for Industrial Development, Senior Living Facilities Rev. (Wesley Enhanced Living Obligated Group), “A”, 5%, 7/01/2049      175,000       185,603  
Philadelphia, PA, Gas Works Rev. (1998 General Ordinance), “15”, 5%, 8/01/2042      275,000       308,674  
Philadelphia, PA, Gas Works Rev. (1998 General Ordinance), “15”, 5%, 8/01/2047      265,000       296,347  
Philadelphia, PA, Municipal Authority Rev., 6.5%, 4/01/2034      135,000       140,237  
Philadelphia, PA, School District, “A”, 5%, 9/01/2033      20,000       22,877  
Philadelphia, PA, School District, “A”, 5%, 9/01/2035      50,000       56,867  
Philadelphia, PA, School District, “A”, 5%, 9/01/2036      25,000       28,341  

 

37


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Pennsylvania - continued                 
Philadelphia, PA, School District, “A”, 5%, 9/01/2037    $ 25,000     $ 28,272  
Philadelphia, PA, School District, “A”, 5%, 9/01/2038      25,000       28,272  
Philadelphia, PA, School District, “B”, 5%, 9/01/2043      70,000       78,392  
Pittsburgh, PA, Urban Redevelopment Authority Rev., “C”, GNMA, 4.8%, 4/01/2028      730,000       732,190  
Scranton-Lackawanna, PA, Health and Welfare Authority, University Rev. (Marywood University Project), 5%, 6/01/2046      155,000       156,014  
State Public School Building Authority, PA, School Lease Rev. (The School District of Philadelphia Project), “A”, AGM, 5%, 6/01/2032      510,000       576,575  
Washington County, PA, Redevelopment Authority Refunding Rev. (Victory Centre Tax Increment Financing Project), 4%, 7/01/2023      30,000       30,100  
Washington County, PA, Redevelopment Authority Refunding Rev. (Victory Centre Tax Increment Financing Project), 5%, 7/01/2035      15,000       15,425  
West Shore, PA, Area Authority Rev. (Messiah Village Project) “A”, 5%, 7/01/2030      30,000       32,272  
West Shore, PA, Area Authority Rev. (Messiah Village Project) “A”, 5%, 7/01/2035      35,000       37,027  
    

 

 

 
             $ 13,221,212  
Puerto Rico - 9.6%                 
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, ASSD GTY, 5.125%, 7/01/2047    $ 215,000     $ 215,525  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “A”, NATL, 4.75%, 7/01/2038      260,000       243,755  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “BB”, AAC, 5.25%, 7/01/2018      80,000       80,137  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “CC”, AGM, 5.5%, 7/01/2029      60,000       67,699  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “CC”, AGM, 5.25%, 7/01/2032      60,000       66,641  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “CC”, AGM, 5.25%, 7/01/2033      170,000       188,773  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “CC”, AGM, 5.25%, 7/01/2036      65,000       71,714  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “D”, AGM, 5%, 7/01/2032      350,000       356,387  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “J”, NATL, 5%, 7/01/2029      25,000       24,905  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “L”, AAC, 5.25%, 7/01/2038      955,000       975,848  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “L”, ASSD GTY, 5.25%, 7/01/2041      300,000       331,449  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “L”, NATL, 5.25%, 7/01/2035      535,000       531,742  

 

38


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Puerto Rico - continued                 
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “N”, AAC, 5.25%, 7/01/2030    $ 270,000     $ 280,538  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “N”, AAC, 5.25%, 7/01/2031      165,000       171,014  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “N”, ASSD GTY, 5.25%, 7/01/2034      305,000       338,379  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “N”, ASSD GTY, 5.25%, 7/01/2036      515,000       568,148  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “N”, NATL, 5.25%, 7/01/2033      95,000       95,237  
Commonwealth of Puerto Rico Highway & Transportation Authority Unrefunded Rev., “A”, NATL, 5%, 7/01/2038      35,000       33,569  
Commonwealth of Puerto Rico, “A”, AGM, 5.375%, 7/01/2025      50,000       53,387  
Commonwealth of Puerto Rico, “A”, NATL, 5.5%, 7/01/2020      140,000       145,169  
Commonwealth of Puerto Rico, “A”, NATL, 5.5%, 7/01/2021      30,000       31,192  
Commonwealth of Puerto Rico, Public Improvement, “A”, AGM, 5%, 7/01/2035      505,000       524,155  
Commonwealth of Puerto Rico, Public Improvement, “C”, AGM, 5.25%, 7/01/2027      30,000       30,662  
Commonwealth of Puerto Rico, Public Improvement, “C-7”, NATL, 6%, 7/01/2027      235,000       235,216  
Puerto Rico Convention Center District Authority, Hotel Occupancy Tax Rev., “A”, AAC, 5%, 7/01/2031      470,000       470,000  
Puerto Rico Electric Power Authority Rev., “NN”, NATL, 5.25%, 7/01/2022      140,000       145,390  
Puerto Rico Electric Power Authority Rev., “NN”, NATL, 4.75%, 7/01/2033      25,000       23,898  
Puerto Rico Electric Power Authority Rev., “PP”, NATL, 5%, 7/01/2024      15,000       15,045  
Puerto Rico Electric Power Authority Rev., “PP”, NATL, 5%, 7/01/2025      15,000       15,036  
Puerto Rico Electric Power Authority Rev., “RR”, NATL, 5%, 7/01/2022      35,000       35,198  
Puerto Rico Electric Power Authority Rev., “SS”, NATL, 5%, 7/01/2019      550,000       552,266  
Puerto Rico Electric Power Authority Rev., “SS”, NATL, 5%, 7/01/2020      35,000       35,273  
Puerto Rico Electric Power Authority Rev., “TT”, NATL, 5%, 7/01/2024      65,000       65,197  
Puerto Rico Electric Power Authority Rev., “UU”, AGM, 5%, 7/01/2022      35,000       35,638  
Puerto Rico Electric Power Authority Rev., “UU”, NATL, 4.5%, 7/01/2018      15,000       15,016  

 

39


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Puerto Rico - continued                 
Puerto Rico Electric Power Authority Rev., “UU”, NATL, 5%, 7/01/2019    $ 65,000     $ 66,201  
Puerto Rico Electric Power Authority Rev., “VV”, NATL, 5.25%, 7/01/2026      50,000       51,440  
Puerto Rico Electric Power Authority Rev., “VV”, NATL, 5.25%, 7/01/2030      245,000       248,633  
Puerto Rico Electric Power Authority Rev., “VV”, NATL, 5.25%, 7/01/2032      40,000       40,259  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority (Cogeneration Facilities - AES Puerto Rico Project), 6.625%, 6/01/2026      420,000       375,900  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Educational Facilities Rev. (University Plaza Project), NATL, 5%, 7/01/2033      280,000       273,504  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 4%, 4/01/2020      15,000       14,707  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 3/01/2021      5,000       4,974  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 4/01/2021      50,000       49,673  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5.375%, 12/01/2021      45,000       44,888  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 4/01/2022      60,000       58,800  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 3/01/2026      10,000       9,500  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 4/01/2027      190,000       179,075  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5.5%, 12/01/2031      65,000       60,937  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5.125%, 4/01/2032      75,000       67,500  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 3/01/2036      65,000       56,550  

 

40


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Puerto Rico - continued                 
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5.375%, 4/01/2042    $ 55,000     $ 48,125  
Puerto Rico Industrial, Tourist, Medical, & Environmental Central Facilities (University of Sacred Heart), 4.375%, 10/01/2031      45,000       36,563  
Puerto Rico Industrial, Tourist, Medical, & Environmental Central Facilities (University of Sacred Heart), 5%, 10/01/2042      25,000       20,000  
Puerto Rico Infrastructure Financing Authority Special Tax Rev., “C”, AAC, 5.5%, 7/01/2018      35,000       35,067  
Puerto Rico Infrastructure Financing Authority Special Tax Rev., “C”, AAC, 5.5%, 7/01/2023      310,000       327,506  
Puerto Rico Infrastructure Financing Authority Special Tax Rev., “C”, AAC, 5.5%, 7/01/2024      400,000       424,316  
Puerto Rico Infrastructure Financing Authority Special Tax Rev., “C”, AAC, 5.5%, 7/01/2025      60,000       63,787  
Puerto Rico Infrastructure Financing Authority Special Tax Rev., “C”, AAC, 5.5%, 7/01/2027      485,000       515,982  
Puerto Rico Infrastructure Financing Authority Special Tax Rev., “C”, AAC, 5.5%, 7/01/2028      70,000       74,455  
Puerto Rico Municipal Finance Agency, “A”, AGM, 5%, 8/01/2027      20,000       20,365  
Puerto Rico Public Buildings Authority Government Facilities Rev., “M-3”, NATL, 6%, 7/01/2027      100,000       100,092  
Puerto Rico Public Buildings Authority Government Facilities Rev., “M-3”, NATL, 6%, 7/01/2028      35,000       35,031  
Puerto Rico Public Buildings Authority Rev., “M-2”, AAC, 10%, 7/01/2035      390,000       410,257  
Puerto Rico Public Buildings Authority Rev., Guaranteed (Government Facilities), “I”, ASSD GTY, 5%, 7/01/2036      45,000       45,468  
Puerto Rico Public Finance Corp., “E”, ETM, 6%, 8/01/2026      80,000       97,638  
Puerto Rico Public Finance Corp., “E”, ETM, 6%, 8/01/2026      820,000       994,168  
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, AAC, 0%, 8/01/2054      680,000       89,080  
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, NATL, 0%, 8/01/2040      325,000       91,146  
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, NATL, 0%, 8/01/2041      265,000       70,169  
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, NATL, 0%, 8/01/2042      1,020,000       255,133  
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, NATL, 0%, 8/01/2043      370,000       87,405  
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, NATL, 0%, 8/01/2044      165,000       36,813  

 

41


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Puerto Rico - continued                 
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, NATL, 0%, 8/01/2045    $ 115,000     $ 24,287  
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, NATL, 0%, 8/01/2046      2,370,000       473,763  
University of Puerto Rico Rev., “P”, NATL, 5%, 6/01/2025      40,000       40,097  
    

 

 

 
             $ 13,088,452  
Rhode Island - 0.6%                 
Rhode Island Health & Educational Building Corp. Rev., Hospital Financing (Lifespan Obligated Group), “A”, ASSD GTY, 7%, 5/15/2039 (Prerefunded 5/15/2019)    $ 660,000     $ 692,274  
Rhode Island Student Loan Authority, Student Loan Rev., “A”, 3.5%, 12/01/2034      135,000       136,598  
    

 

 

 
             $ 828,872  
South Carolina - 1.3%                 
Richland County, SC, Environmental Improvement Rev. (International Paper), “A”, 3.875%, 4/01/2023    $ 525,000     $ 558,343  
South Carolina Economic Development Authority, Residential Care Facilities Rev. (South Carolina Episcopal Home at Still Hopes), 5%, 4/01/2047      75,000       78,034  
South Carolina Economic Development Authority, Residential Care Facilities Rev. (South Carolina Episcopal Home at Still Hopes), 5%, 4/01/2052      55,000       56,941  
South Carolina Jobs & Economic Development Authority, Health Facilities Rev. (Lutheran Homes of South Carolina, Inc.), 5.125%, 5/01/2048      40,000       41,248  
South Carolina Public Service Authority Rev., “A”, 5.125%, 12/01/2043      280,000       298,948  
South Carolina Public Service Authority Rev., “B”, 5.125%, 12/01/2043      675,000       720,677  
    

 

 

 
             $ 1,754,191  
Tennessee - 3.2%                 
Chattanooga, TN, Health Educational & Housing Facility Board Rev. (Catholic Health Initiatives), “A”, 5.25%, 1/01/2045    $ 1,035,000     $ 1,108,216  
Knox County, TN, Health, Educational & Housing Facility Board Hospital Rev. (Covenant Health), “A”, 5%, 1/01/2047      265,000       292,155  
Knox County, TN, Health, Educational & Housing Facility Board Knox Rev. (University Health System, Inc.), 5%, 4/01/2031      50,000       55,449  
Knox County, TN, Health, Educational & Housing Facility Board Rev. (University Health System, Inc.), 5%, 4/01/2030      45,000       50,157  
Knox County, TN, Health, Educational & Housing Facility Board Rev. (University Health System, Inc.), 5%, 4/01/2036      30,000       32,747  

 

42


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Tennessee - continued                 
Metropolitan Government of Nashville & Davidson County, TN, Health & Educational Facilities Board Rev. (Vanderbilt University Medical Center), “A”, 5%, 7/01/2035    $ 205,000     $ 230,295  
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 9/01/2021      1,710,000       1,863,849  
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 9/01/2022      270,000       299,581  
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 9/01/2026      165,000       191,661  
Tennessee Energy Acquisition Corp., Gas Rev., “C”, 5%, 2/01/2025      240,000       271,394  
    

 

 

 
             $ 4,395,504  
Texas - 12.1%                 
Arlington, TX, Higher Education Finance Corp. Education Rev. (Newman International Academy), “A”, 5.375%, 8/15/2036    $ 40,000     $ 41,267  
Arlington, TX, Higher Education Finance Corp. Education Rev. (Newman International Academy), “A”, 5.5%, 8/15/2046      185,000       190,391  
Arlington, TX, Higher Education Finance Corp. Education Rev. (Wayside Schools), “A”, 4.375%, 8/15/2036      25,000       25,032  
Arlington, TX, Higher Education Finance Corp. Education Rev. (Wayside Schools), “A”, 4.625%, 8/15/2046      50,000       50,211  
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, 5%, 1/01/2029      35,000       39,993  
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, 5%, 1/01/2031      50,000       57,054  
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, 5%, 1/01/2034      10,000       10,986  
Austin, TX, Convention Center (Convention Enterprises, Inc.), “B”, 5%, 1/01/2026      25,000       27,880  
Austin, TX, Convention Center (Convention Enterprises, Inc.), “B”, 5%, 1/01/2028      15,000       16,819  
Austin, TX, Convention Center (Convention Enterprises, Inc.), “B”, 5%, 1/01/2030      25,000       27,835  
Brazos River, TX, Harbor Navigation District (Dow Chemical Co.), “B-2”, 4.95%, 5/15/2033      400,000       405,068  
Central Texas Regional Mobility Authority Senior Lien Rev., “A”, 5%, 1/01/2045      90,000       98,041  
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 6%, 8/15/2033      105,000       119,292  
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5.75%, 8/15/2041      75,000       83,346  
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5%, 8/15/2042      410,000       428,577  

 

43


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Texas - continued                 
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 6%, 8/15/2043    $ 165,000     $ 186,024  
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.125%, 12/01/2040 (Prerefunded 12/01/2020)      215,000       236,285  
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.25%, 12/01/2045 (Prerefunded 12/01/2020)      135,000       148,774  
Dallas and Fort Worth, TX, International Airport Rev., “B”, 5%, 11/01/2044      370,000       404,491  
Dallas, TX, Civic Center Convention Complex Rev., ASSD GTY, 5.25%, 8/15/2034      845,000       876,485  
Decatur Hospital Authority Rev. (Wise Regional Health System), “A”, 5.25%, 9/01/2044      100,000       107,295  
Gulf Coast, TX, Industrial Development Authority Rev. (CITGO Petroleum Corp.), 4.875%, 5/01/2025      115,000       118,908  
Gulf Coast, TX, Industrial Development Authority Rev. (CITGO Petroleum Corp.), 8%, 4/01/2028      375,000       378,484  
Harris County, TX, Cultural Education Facilities Financial Corp., Thermal Utilities Rev. (Teco Project), “A”, 5.25%, 11/15/2035 (Prerefunded 11/15/2019)      140,000       146,971  
Harris County, TX, Health Facilities Development Corp., Hospital Rev. (Memorial Hermann Healthcare Systems), “B”, 7.25%, 12/01/2035 (Prerefunded 12/01/2018)      205,000       210,609  
Harris County-Houston, TX, Sports Authority Rev., “C”, 5%, 11/15/2031      110,000       121,383  
Harris County-Houston, TX, Sports Authority Rev., “C”, 5%, 11/15/2032      20,000       22,033  
Harris County-Houston, TX, Sports Authority Rev., “C”, 5%, 11/15/2033      40,000       43,920  
Harris County-Houston, TX, Sports Authority Rev., Capital Appreciation, “A”, AGM, 0%, 11/15/2041      70,000       25,682  
Harris County-Houston, TX, Sports Authority Rev., Capital Appreciation, “A”, AGM, 0%, 11/15/2046      175,000       49,565  
Houston, TX, Airport System Rev., “B”, 5%, 7/01/2026      175,000       189,653  
Houston, TX, Airport System Rev., Special Facilities (Continental Airlines, Inc.), 6.5%, 7/15/2030      445,000       488,454  
Houston, TX, Airport System Rev., Special Facilities Rev. (United Airlines, Inc. Terminal E Project), 4.5%, 7/01/2020      115,000       119,786  
Houston, TX, Airport System Rev., Special Facilities Rev. (United Airlines, Inc. Terminal E Project), 4.75%, 7/01/2024      310,000       335,187  
Houston, TX, Airport System Rev., Special Facilities Rev. (United Airlines, Inc. Terminal E Project), 5%, 7/01/2029      595,000       646,497  
Houston, TX, Airport System Rev., Special Facilities Rev. (United Airlines, Inc. Terminal Improvement Projects), “B-1”, 5%, 7/15/2030      175,000       190,937  

 

44


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Texas - continued                 
Houston, TX, Airport System Rev., Subordinate Lien, “A”, 5%, 7/01/2031    $ 150,000     $ 162,261  
Houston, TX, Industrial Development Corp. (United Parcel Service, Inc.), 6%, 3/01/2023      285,000       285,564  
La Vernia, TX, Higher Education Finance Corp. Rev. (KIPP, Inc.), “A”, 6.25%, 8/15/2039 (Prerefunded 8/15/2019)      195,000       205,083  
Matagorda County, TX, Pollution Control Rev. (Central Power & Light Co.), “A”, 6.3%, 11/01/2029      275,000       293,015  
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Wesleyan Homes, Inc. Project), 5.5%, 1/01/2035      75,000       80,682  
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Wesleyan Homes, Inc. Project), 5.5%, 1/01/2043      80,000       85,586  
New Hope, TX, Cultural Education Facilities Finance Corp., Capital Improvement Rev. (CHF - Collegiate Housing Denton, L.L.C. - Texas Woman’s University Housing Project), “A-1”, AGM, 5%, 7/01/2038      20,000       22,233  
New Hope, TX, Cultural Education Facilities Finance Corp., Capital Improvement Rev. (CHF - Collegiate Housing Denton, L.L.C. - Texas Woman’s University Housing Project), “A-1”, AGM, 5%, 7/01/2048      90,000       99,239  
New Hope, TX, Cultural Education Facilities Finance Corp., Capital Improvement Rev. (CHF - Collegiate Housing Denton, L.L.C. - Texas Woman’s University Housing Project), “A-1”, AGM, 5%, 7/01/2058      80,000       86,988  
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (MRC Senior Living - The Langford Project), “A”, 5%, 11/15/2026      15,000       15,223  
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (MRC Senior Living - The Langford Project), “A”, 5.375%, 11/15/2036      20,000       20,168  
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (MRC Senior Living - The Langford Project), “A”, 5.5%, 11/15/2046      35,000       35,352  
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (MRC Senior Living - The Langford Project), “A”, 5.5%, 11/15/2052      45,000       45,270  
New Hope, TX, Cultural Education Facilities Finance Corp., Retirement Facility Rev. (Wesleyan Homes, Inc. Project), 5.5%, 1/01/2049      80,000       85,303  
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “A-1”, 5%, 7/01/2031      15,000       16,660  
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “A-1”, 4%, 7/01/2036      70,000       70,383  
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “A-1”, 5%, 7/01/2046      140,000       153,111  

 

45


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Texas - continued                 
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “A-1”, 5%, 7/01/2051    $ 145,000     $ 158,050  
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “B”, 4%, 7/01/2031      35,000       35,677  
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “B”, 4.25%, 7/01/2036      45,000       46,143  
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “B”, 5%, 7/01/2046      130,000       138,800  
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “B”, 4.75%, 7/01/2051      115,000       120,413  
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (MRC Crestview Project), 5%, 11/15/2031      30,000       31,933  
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (MRC Crestview Project), 5%, 11/15/2036      20,000       21,011  
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (CHF - Collegiate Housing Stephenville III, L.L.C. - Tarleton State University Project), 5%, 4/01/2030      25,000       27,687  
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (CHF - Collegiate Housing Stephenville III, L.L.C. - Tarleton State University Project), 5%, 4/01/2035      30,000       32,475  
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (CHF - Collegiate Housing Stephenville III, L.L.C. - Tarleton State University Project), 5%, 4/01/2047      65,000       70,166  
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (Collegiate Housing Island Campus LLC - Texas A&M University - Corpus Christi Island Campus Project), 5%, 4/01/2037      40,000       43,819  
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (Collegiate Housing Island Campus LLC - Texas A&M University - Corpus Christi Island Campus Project), 5%, 4/01/2042      45,000       49,155  
Newark, TX, Higher Education Finance Corp. Authority Rev. (A+ Charter Schools, Inc.), “A”, 5.5%, 8/15/2035      90,000       95,702  
Newark, TX, Higher Education Finance Corp. Authority Rev. (A+ Charter Schools, Inc.), “A”, 5.75%, 8/15/2045      110,000       117,530  
Newark, TX, Higher Education Finance Corp. Authority Rev. (Austin Achieve Public Schools, Inc.), “A”, 5%, 6/15/2032      25,000       25,227  
Newark, TX, Higher Education Finance Corp. Authority Rev. (Austin Achieve Public Schools, Inc.), “A”, 5%, 6/15/2037      25,000       25,081  
Newark, TX, Higher Education Finance Corp. Authority Rev. (Austin Achieve Public Schools, Inc.), “A”, 5%, 6/15/2042      30,000       30,010  

 

46


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Texas - continued                 
Newark, TX, Higher Education Finance Corp. Authority Rev. (Austin Achieve Public Schools, Inc.), “A”, 5.25%, 6/15/2048    $ 65,000     $ 65,374  
North Texas Education Finance Corp., Education Rev. (Uplift Education), “A”, 5.125%, 12/01/2042      170,000       178,206  
North Texas Tollway Authority Rev., 6%, 1/01/2038 (Prerefunded 1/01/2021)      765,000       842,227  
North Texas Tollway Authority Rev. (Special Projects System), “D”, 5%, 9/01/2031 (Prerefunded 9/01/2021)      1,200,000       1,313,208  
Red River, TX, Education Finance Corp., Higher Education Rev. (Houston Baptist University Project), 5.5%, 10/01/2046      225,000       250,706  
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (MRC The Crossings Project), “A”, 7.5%, 11/15/2034      100,000       114,757  
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (MRC The Crossings Project), “A”, 7.75%, 11/15/2044      185,000       213,177  
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (MRC The Crossings Project), “A”, 8%, 11/15/2049      135,000       157,001  
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Northwest Senior Housing Corporation Edgemere Project), “B”, 5%, 11/15/2036      345,000       362,712  
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Air Force Village Obligated Group Project), 6.125%, 11/15/2029 (Prerefunded 11/15/2019)      550,000       583,011  
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Air Force Village Obligated Group Project), 6.375%, 11/15/2044 (Prerefunded 11/15/2019)      415,000       441,382  
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Barton Creek Senior Living Center, Inc., Querencia Project), 5%, 11/15/2030      80,000       84,895  
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Barton Creek Senior Living Center, Inc., Querencia Project), 5%, 11/15/2035      100,000       105,199  
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Barton Creek Senior Living Center, Inc., Querencia Project), 5%, 11/15/2040      110,000       115,217  
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Buckner Senior Living - Ventana Project), “B-3”, 3.875%, 11/15/2022      75,000       75,002  
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Northwest Senior Housing Corporation Edgemere Project), “A”, 5%, 11/15/2045      115,000       120,230  
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Northwest Senior Housing Corporation Edgemere Project), “B”, 5%, 11/15/2030      155,000       165,924  

 

47


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Texas - continued                 
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Stayton at Museum Way), 8.25%, 11/15/2044    $ 770,000     $ 763,709  
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Trinity Terrace Project), “A-1”, 5%, 10/01/2044      60,000       63,596  
Texas Gas Acquisition & Supply Corp III., Gas Supply Rev., 5%, 12/15/2031      150,000       163,149  
Texas Private Activity Surface Transportation Corp. Senior Lien Rev. (NTE Mobility Partners Segments 3 LLC Segments 3A & 3B Facility), 7%, 12/31/2038      170,000       199,233  
Texas Private Activity Surface Transportation Corp. Senior Lien Rev. (NTE Mobility Partners Segments 3 LLC Segments 3A & 3B Facility), 6.75%, 6/30/2043      135,000       155,976  
Texas Transportation Commission, Central Texas Turnpike System Rev., Capital Appreciation, “B”, 0%, 8/15/2036      345,000       159,787  
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7%, 11/01/2030 (Prerefunded 11/01/2020)      105,000       117,097  
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7.125%, 11/01/2040 (Prerefunded 11/01/2020)      195,000       218,035  
Travis County, TX, Health Facilities Development Corp. Rev., Unrefunded Balance, (Westminster Manor Health), 7%, 11/01/2030      20,000       21,413  
    

 

 

 
             $ 16,550,438  
Utah - 0.2%                 
Utah Charter School Finance Authority, Charter School Rev. (Reagan Academy Project), 5%, 2/15/2046    $ 120,000     $ 122,140  
Utah Charter School Finance Authority, Charter School Rev. (Spectrum Academy), 6%, 4/15/2045      130,000       134,949  
    

 

 

 
             $ 257,089  
Vermont - 0.2%                 
Burlington, VT, Airport Rev., “A”, 4%, 7/01/2028    $ 90,000     $ 93,286  
State of Vermont, Student Assistance Corp. Education Loan Rev., “B”, 4.375%, 6/15/2046      145,000       144,649  
    

 

 

 
             $ 237,935  
Virginia - 1.9%                 
Embrey Mill Community Development Authority, VA, Special Assessment Rev., 7.25%, 3/01/2043    $ 410,000     $ 445,592  
Fairfax County, VA, Industrial Development Authority Health Care Rev. (Inova Health System Project), “A”, 5%, 5/15/2030      180,000       210,694  

 

48


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Virginia - continued                 
Fairfax County, VA, Industrial Development Authority Health Care Rev. (Inova Health System Project), “A”, 5%, 5/15/2031    $ 55,000     $ 63,950  
Norfolk, VA, Redevelopment & Housing Authority Rev. (Fort Norfolk Retirement Community), 5%, 1/01/2046      55,000       56,454  
Norfolk, VA, Redevelopment & Housing Authority Rev. (Fort Norfolk Retirement Community), 5.375%, 1/01/2046      130,000       137,316  
Prince William County, VA, Cherry Hill Community Development Authority Rev. (Potomac Shores Project), 5.4%, 3/01/2045      100,000       102,891  
Virginia College Building Authority, Educational Facilities Rev. (Marymount University), “B”, 5.25%, 7/01/2030      175,000       191,289  
Virginia College Building Authority, Educational Facilities Rev. (Marymount University), “B”, 5.25%, 7/01/2035      175,000       189,142  
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 6%, 1/01/2037      385,000       429,294  
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 5.5%, 1/01/2042      755,000       822,338  
    

 

 

 
             $ 2,648,960  
Washington - 4.3%                 
Kalispel Tribe Indians, WA, Priority District Rev., “A”, 5%, 1/01/2032 (n)    $ 125,000     $ 127,474  
Kalispel Tribe Indians, WA, Priority District Wash Rev., “A”, 5.25%, 1/01/2038 (n)      130,000       133,340  
King County, WA, Sewer Rev., 5%, 1/01/2040 (Prerefunded 7/01/2020)      945,000       1,002,919  
King County, WA, Sewer Rev., 5%, 1/01/2040 (Prerefunded 7/01/2020)      450,000       479,002  
Olympia, WA, Healthcare Facilities Authority Rev. (Catholic Health Initiatives), “D”, 6.375%, 10/01/2036      1,095,000       1,110,023  
Washington Health Care Facilities Authority Rev. (Multicare Health Systems), “B”, ASSD GTY, 6%, 8/15/2039 (Prerefunded 8/15/2019)      440,000       461,723  
Washington Health Care Facilities Authority Rev. (Providence Health & Services), “A”, 5%, 10/01/2033      1,105,000       1,219,456  
Washington Health Care Facilities Authority Rev. (Virginia Mason Medical Center), 5%, 8/15/2035      70,000       78,251  
Washington Health Care Facilities Authority Rev. (Virginia Mason Medical Center), 5%, 8/15/2036      50,000       55,727  
Washington Health Care Facilities Authority Rev. (Virginia Mason Medical Center), 5%, 8/15/2037      50,000       55,685  
Washington Higher Education Facilities Authority Rev. (Whitworth University), 5.875%, 10/01/2034 (Prerefunded 10/01/2019)      280,000       294,524  
Washington Housing Finance Commission Nonprofit Housing Refunding Rev. (Judson Park Project), 5%, 7/01/2048      100,000       104,142  
Washington Housing Finance Commission Nonprofit Housing Rev. (Heron’s Key Senior Living), “B-2”, 4.875%, 1/01/2022      100,000       100,037  

 

49


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Washington - continued                 
Washington Housing Finance Commission Nonprofit Housing Rev. (Presbyterian Retirement Communities Northwest Projects), “A”, 5%, 1/01/2036    $ 100,000     $ 106,449  
Washington Housing Finance Commission Nonprofit Housing Rev. (Presbyterian Retirement Communities Northwest Projects), “A”, 5%, 1/01/2046      105,000       110,453  
Washington Housing Finance Commission Nonprofit Housing Rev. (Presbyterian Retirement Communities Northwest Projects), “A”, 5%, 1/01/2051      105,000       110,067  
Washington Housing Finance Commission Nonprofit Housing Rev. (Wesley Homes at Lea Hill Project), 5%, 7/01/2041      100,000       102,737  
Washington Housing Finance Commission Nonprofit Housing Rev. (Wesley Homes at Lea Hill Project), 5%, 7/01/2046      115,000       117,602  
Washington Housing Finance Commission Nonprofit Housing Rev. (Wesley Homes at Lea Hill Project), 5%, 7/01/2051      165,000       168,178  
    

 

 

 
             $ 5,937,789  
West Virginia - 0.2%                 
Monongalia County, WV, Building Commission Improvement Rev. (Monongalia Health System Obligated Group), 5%, 7/01/2029    $ 40,000     $ 44,875  
Monongalia County, WV, Building Commission Improvement Rev. (Monongalia Health System Obligated Group), 5%, 7/01/2030      80,000       89,534  
Monongalia County, WV, Special District Excise Tax Rev., Refunding & Improvement Bonds (University Town Centre Economic Opportunity Development District), “A”, 5.5%, 6/01/2037      110,000       113,944  
    

 

 

 
             $ 248,353  
Wisconsin - 5.9%                 
State of Wisconsin, Annual Appropriations Rev., “A”,
5.75%, 5/01/2033 (Prerefunded 5/01/2019)
   $ 65,000     $ 67,380  
State of Wisconsin, Annual Appropriations Rev., Unrefunded Balance “A”, 5.75%, 5/01/2033 (Prerefunded 5/01/2019)      595,000       616,783  
Wisconsin Health & Educational Facilities Authority Refunding Rev. (American Baptist Homes), 5%, 8/01/2027      115,000       121,392  
Wisconsin Health & Educational Facilities Authority Refunding Rev. (American Baptist Homes), 5%, 8/01/2032      105,000       108,262  
Wisconsin Health & Educational Facilities Authority Refunding Rev. (American Baptist Homes), 5%, 8/01/2037      55,000       56,090  
Wisconsin Health & Educational Facilities Authority Refunding Rev. (American Baptist Homes), 5%, 8/01/2039      55,000       55,967  
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 7/15/2026      200,000       215,508  
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 7/15/2028      60,000       64,409  

 

50


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Wisconsin - continued                 
Wisconsin Health & Educational Facilities Authority Rev. (Marshfield Clinic Health System, Inc.), “C”, 5%, 2/15/2047    $ 115,000     $ 126,025  
Wisconsin Health & Educational Facilities Authority Rev. (Meriter Hospital), “A”, 5.5%, 5/01/2031 (Prerefunded 5/01/2021)      725,000       796,115  
Wisconsin Health & Educational Facilities Authority Rev. (Meriter Hospital), “A”, 6%, 5/01/2041 (Prerefunded 5/01/2021)      490,000       544,953  
Wisconsin Health & Educational Facilities Authority Rev. (St. John’s Community, Inc.), “A”, 5%, 9/15/2040      20,000       20,826  
Wisconsin Health & Educational Facilities Authority Rev. (St. John’s Community, Inc.), “A”, 5%, 9/15/2045      30,000       31,182  
Wisconsin Health & Educational Facilities Authority Rev. (St. John’s Community, Inc.), “A”, 5%, 9/15/2050      115,000       119,254  
Wisconsin Public Finance Authority Education Rev. (Mountain Island Charter School), 5%, 7/01/2037      40,000       41,766  
Wisconsin Public Finance Authority Education Rev. (Mountain Island Charter School), 5%, 7/01/2047      45,000       46,716  
Wisconsin Public Finance Authority Education Rev. (Pine Lake Preparatory), 4.95%, 3/01/2030      55,000       56,810  
Wisconsin Public Finance Authority Education Rev. (Pine Lake Preparatory), 5.25%, 3/01/2035      55,000       56,791  
Wisconsin Public Finance Authority Education Rev. (Pine Lake Preparatory), 5.5%, 3/01/2045      150,000       154,668  
Wisconsin Public Finance Authority Healthcare Facility (Church Home of Hartford, Inc. Project), “A”, 4%, 9/01/2020      25,000       25,647  
Wisconsin Public Finance Authority Healthcare Facility (Church Home of Hartford, Inc. Project), “A”, 5%, 9/01/2025      30,000       32,535  
Wisconsin Public Finance Authority Healthcare Facility (Church Home of Hartford, Inc. Project), “A”, 5%, 9/01/2030      75,000       78,596  
Wisconsin Public Finance Authority Healthcare Facility (Church Home of Hartford, Inc. Project), “A”, 5%, 9/01/2038      60,000       61,942  
Wisconsin Public Finance Authority Limited Obligation Grant Rev. (American Dream at Meadowlands Project), “A”, 6.25%, 8/01/2027      665,000       707,334  
Wisconsin Public Finance Authority Limited Obligation PILOT Rev. (American Dream at Meadowlands Project), 6.5%, 12/01/2037      440,000       505,538  
Wisconsin Public Finance Authority Limited Obligation PILOT Rev. (American Dream at Meadowlands Project), 7%, 12/01/2050      260,000       300,620  
Wisconsin Public Finance Authority Rev. (Denver International Airport Great Hall Project), 5%, 9/30/2037      165,000       183,562  
Wisconsin Public Finance Authority Rev. (Roseman University of Health Sciences Project), 5.75%, 4/01/2035      150,000       163,174  
Wisconsin Public Finance Authority Senior Living Refunding Bonds Rev. (Mary’s Woods at Marylhurst Project), “A”, 5.25%, 5/15/2037      45,000       49,556  

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Wisconsin - continued                 
Wisconsin Public Finance Authority Senior Living Refunding Bonds Rev. (Mary’s Woods at Marylhurst Project), “A”, 5.25%, 5/15/2042    $ 30,000     $ 32,902  
Wisconsin Public Finance Authority Senior Living Refunding Bonds Rev. (Mary’s Woods at Marylhurst Project), “A”, 5.25%, 5/15/2047      145,000       158,562  
Wisconsin Public Finance Authority Senior Living Refunding Bonds Rev. (Mary’s Woods at Marylhurst Project), “A”, 5.25%, 5/15/2052      45,000       49,037  
Wisconsin Public Finance Authority Senior Living Rev. (Rose Villa Project), “A”, 5.125%, 11/15/2029      110,000       116,265  
Wisconsin Public Finance Authority Senior Living Rev. (Rose Villa Project), “A”, 5.5%, 11/15/2034      100,000       106,634  
Wisconsin Public Finance Authority Senior Living Rev. (Rose Villa Project), “A”, 5.75%, 11/15/2044      95,000       102,350  
Wisconsin Public Finance Authority Senior Living Rev. (Rose Villa Project), “A”, 6%, 11/15/2049      115,000       125,161  
Wisconsin Public Finance Authority Student Housing Rev., (Western Carolina University Project), 5.25%, 7/01/2047      190,000       202,335  
Wisconsin Public Finance Authority, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), “B”, 5%, 7/01/2022      110,000       115,900  
Wisconsin Public Finance Authority, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), “B”,
5.25%, 7/01/2028
     1,445,000       1,563,606  
Wisconsin Public Finance Authority, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), “B”, 5%, 7/01/2042      75,000       79,705  
    

 

 

 
             $ 8,061,858  
Total Municipal Bonds (Identified Cost, $197,142,000)            $ 207,116,141  
Investment Companies (h) - 1.4%                 
Money Market Funds - 1.4%                 
MFS Institutional Money Market Portfolio, 1.82% (v)
(Identified Cost, $1,941,608)
     1,941,995     $ 1,941,801  
Other Assets, Less Liabilities - 1.7%              2,253,111  
Variable Rate Municipal Term Preferred Shares (VMTPS), at liquidation value of $75,000,000 net of unamortized debt issuance costs of $20,329 (issued by the fund) - (55.0)%       (74,979,671
Net assets applicable to common shares - 100.0%     $ 136,331,382  

 

(a) Non-income producing security.
(d) In default.
(h) 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. At period end, the aggregate values of the fund’s investments in affiliated issuers and in unaffiliated issuers were $1,941,801 and $207,116,141, respectively.

 

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Portfolio of Investments (unaudited) – continued

 

(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 $2,059,353, representing 1.5% of net assets applicable to common shares.
(v) Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end.

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

 

AAC   Ambac Assurance Corp.
AGM   Assured Guaranty Municipal
ASSD GTY   Assured Guaranty Insurance Co.
BAM   Build America Mutual
CALHF   California Health Facility Construction Loan Insurance Program
COP   Certificate of Participation
ETM   Escrowed to Maturity
FHLMC   Federal Home Loan Mortgage Corp.
GNMA   Government National Mortgage Assn.
LOC   Letter of Credit
NATL   National Public Finance Guarantee Corp.

Derivative Contracts at 5/31/18

Futures Contracts

 

Description   Long/
Short
    Currency     Contracts   Notional
Amount
    Expiration
Date
    Value/
Unrealized
Appreciation
(Depreciation)
 
Liability Derivatives            
Interest Rate Futures            
U.S. Treasury Note 10 yr     Short       USD     180     $21,678,750       September - 2018       $(3,462
U.S. Treasury Bond 30 yr     Short       USD       15     2,176,875       September - 2018       (10,484
           

 

 

 
              $(13,946
           

 

 

 

At May 31, 2018, the fund had cash collateral of $194,250 to cover any collateral or margin obligations for certain derivative contracts. Restricted cash and/or deposits with brokers in the Statement of Assets and Liabilities are comprised of cash collateral.

See Notes to Financial Statements

 

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Financial Statements

 

STATEMENT OF ASSETS AND LIABILITIES

At 5/31/18 (unaudited)

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

 

Assets         

Investments in unaffiliated issuers, at value (identified cost, $197,142,000)

     $207,116,141  

Investments in affiliated issuers, at value (identified cost, $1,941,608)

     1,941,801  

Deposits with brokers for

  

Futures contracts

     194,250  

Receivables for

  

Investments sold

     590,976  

Interest

     3,176,165  

Other assets

     16,696  

Total assets

     $213,036,029  
Liabilities         

Payables for

  

Distributions on common shares

     $24,117  

Daily variation margin on open futures contracts

     33,265  

Investments purchased

     1,438,167  

Interest expense

     164,610  

Payable to affiliates

  

Investment adviser

     7,752  

Transfer agent and dividend disbursing costs

     643  

Payable for independent Trustees’ compensation

     10  

Accrued expenses and other liabilities

     56,412  

VMTPS, at liquidation value of $75,000,000 net of unamortized debt issuance costs of $20,329

     74,979,671  

Total liabilities

     $76,704,647  

Net assets applicable to common shares

     $136,331,382  
Net assets consist of         

Paid-in capital - common shares

     $131,830,369  

Unrealized appreciation (depreciation)

     9,960,388  

Accumulated net realized gain (loss)

     (6,329,982

Undistributed net investment income

     870,607  

Net assets applicable to common shares

     $136,331,382  

VMTPS, at liquidation value of $75,000,000 net of unamortized debt issuance costs of $20,329 (3,000 shares of Series 2019/3 issued and outstanding at $25,000 per share)

     74,979,671  

Net assets including preferred shares

     $211,311,053  

Common shares of beneficial interest issued and outstanding

     28,320,586  

Net asset value per common share (net assets of $136,331,382 / 28,320,586 shares of beneficial interest outstanding)

     $4.81  

See Notes to Financial Statements

 

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Financial Statements

 

STATEMENT OF OPERATIONS

Six months ended 5/31/18 (unaudited)

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

 

Net investment income (loss)         

Income

  

Interest

     $5,621,874  

Dividends from affiliated issuers

     27,946  

Other

     480  

Total investment income

     $5,650,300  

Expenses

  

Management fee

     $683,940  

Transfer agent and dividend disbursing costs

     13,356  

Administrative services fee

     20,700  

Independent Trustees’ compensation

     11,654  

Stock exchange fee

     13,783  

Custodian fee

     5,600  

Reimbursement of custodian expenses

     (2,670

Shareholder communications

     16,768  

Audit and tax fees

     41,099  

Legal fees

     2,618  

Interest expense and fees and amortization of VMTPS debt issuance costs

     966,545  

Miscellaneous

     41,669  

Total expenses

     $1,815,062  

Net investment income (loss)

     $3,835,238  
Realized and unrealized gain (loss)         

Realized gain (loss) (identified cost basis)

  

Unaffiliated issuers

     $1,834,942  

Affiliated issuers

     197  

Futures contracts

     769,415  

Net realized gain (loss)

     $2,604,554  

Change in unrealized appreciation or depreciation

  

Unaffiliated issuers

     $(2,306,397

Affiliated issuers

     324  

Futures contracts

     (211,506

Net unrealized gain (loss)

     $(2,517,579

Net realized and unrealized gain (loss)

     $86,975  

Change in net assets from operations

     $3,922,213  

See Notes to Financial Statements

 

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Financial Statements

 

STATEMENTS OF CHANGES IN NET ASSETS

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

 

Change in net assets    Six months ended
5/31/18
(unaudited)
     Year ended
11/30/17
 
From operations                  

Net investment income (loss)

     $3,835,238        $7,767,560  

Net realized gain (loss)

     2,604,554        313,672  

Net unrealized gain (loss)

     (2,517,579      3,010,461  

Change in net assets from operations

     $3,922,213        $11,091,693  
Distributions declared to common shareholders           

From net investment income

     $(3,667,516      $(7,673,555
Share transactions applicable to common and preferred shares                  

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

     $—        $25,759  

Total change in net assets

     $254,697        $3,443,897  
Net assets applicable to common shares                  

At beginning of period

     136,076,685        132,632,788  

At end of period (including undistributed net investment income of $870,607 and $702,885, respectively)

     $136,331,382        $136,076,685  

See Notes to Financial Statements

 

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Financial Statements

 

STATEMENT OF CASH FLOWS

Six months ended 5/31/18 (unaudited)

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

 

Cash flows from operating activities:         

Change in net assets from operations

     $3,922,213  
Adjustments to reconcile change in net assets from operations to net cash provided by operating activities:         

Purchase of investment securities

     (21,345,948

Proceeds from disposition of investment securities

     21,223,390  

Purchases of short-term investments, net

     (628,312

Realized gain/loss on investments

     (1,834,942

Unrealized appreciation/depreciation on investments

     2,306,073  

Net amortization/accretion of income

     (196,475

Amortization of VMTPS debt issuance costs

     12,168  

Decrease in interest receivable

     91,233  

Decrease in accrued expenses and other liabilities

     (53,891

Decrease in receivable for daily variation margin on open futures contracts

     82,974  

Increase in payable for daily variation margin on open futures contracts

     33,265  

Decrease in deposits with brokers

     35,250  

Increase in other assets

     (14,462

Increase in payable for interest expense

     36,042  

Net cash provided by operating activities

     $3,668,578  
Cash flows from financing activities:         

Cash distributions paid on common shares

     (3,668,578

Net cash used by financing activities

     $(3,668,578
Cash:         

Beginning of period

     $—  

End of period

     $—  

Supplemental disclosure of cash flow information:

Cash paid during the six months ended May 31, 2018 for interest was $918,335.

See Notes to Financial Statements

 

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Financial Statements

 

FINANCIAL HIGHLIGHTS

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

 

   

Six months
ended

5/31/18

    Year ended  
Common Shares     11/30/17     11/30/16     11/30/15     11/30/14     11/30/13  
    (unaudited)                                

Net asset value, beginning of
period

    $4.80       $4.68       $4.84       $4.85       $4.45       $5.04  
Income (loss) from investment operations                          

Net investment income (loss) (d)

    $0.14 (c)      $0.27       $0.29 (c)      $0.31       $0.30       $0.30  

Net realized and unrealized
gain (loss)

    0.00 (w)      0.12       (0.18     (0.04     0.39       (0.60

Distributions declared to
shareholders of auction
rate preferred shares

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

Total from investment operations

    $0.14       $0.39       $0.11       $0.27       $0.69       $(0.30
Less distributions declared to common shareholders                  

From net investment income

    $(0.13     $(0.27     $(0.27     $(0.28     $(0.29     $(0.29

Net asset value, end of period (x)

    $4.81       $4.80       $4.68       $4.84       $4.85       $4.45  

Market value, end of period

    $4.53       $4.73       $4.37       $4.51       $4.41       $4.06  

Total return at market
value (%) (p)

    (1.44 )(n)      14.66       2.55       9.00       16.03       (17.59

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

    3.13 (c)(n)      8.65       2.34 (c)      6.36       16.42       (5.91
Ratios (%) (to average net assets
applicable to common shares)
and Supplemental data:
 

Expenses before expense
reductions (f)(p)

    2.68 (a)(c)      2.37       2.10 (c)      1.96       2.01       2.02  

Expenses after expense
reductions (f)(p)

    N/A       N/A       N/A       N/A       2.01       2.02  

Net investment income (loss) (p)

    5.65 (a)(c)      5.71       5.81 (c)      6.33       6.29       6.35  

Portfolio turnover

    10 (n)      15       14       17       12       18  

Net assets at end of period
(000 omitted)

    $136,331       $136,077       $132,633       $136,977       $137,260       $126,038  

 

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Financial Highlights – continued

 

   

Six months
ended

5/31/18

    Year ended  
      11/30/17     11/30/16     11/30/15     11/30/14     11/30/13  
    (unaudited)                                
Supplemental Ratios (%):                                                

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

    1.25 (a)(c)      1.26       1.24 (c)      1.29       1.31       1.30  

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

    0.81 (a)(c)      0.81       0.80 (c)      0.83       0.84       0.84  

Net investment income available
to common shares

    5.65 (a)(c)      5.71       5.80 (c)      6.32       6.28       6.34  
Senior Securities:                                                

ARPS

                      156       156       156  

VMTPS

    3,000       3,000       3,000       2,844       2,844       2,844  

Total preferred shares outstanding

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

Asset coverage per preferred
share (k)

    $70,437       $70,348       $69,192       $70,659       $70,753       $67,013  

Involuntary liquidation preference
per preferred share (m)

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

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

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

 

(a) Annualized.
(c) Amount reflects a one-time reimbursement of expenses by the custodian (or former custodian) without which net investment income and performance would be lower and expenses would be higher. See Note 2 in the Notes to Financial Statements for additional information.
(d) Per share data is based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly, if applicable.
(j) Total return at net asset value is calculated using the net asset value of the fund, not the publicly traded price and therefore may be different than the total return at market value.
(k) Calculated by subtracting the fund’s total liabilities (not including liquidation preference of preferred shares) from the fund’s total assets and dividing this number by the total number of preferred shares outstanding.
(l) Interest expense and fees relate to payments made to the holders of the floating rate certificates from trust assets, interest expense paid to shareholders of VMTPS, and amortization of VMTPS debt issuance costs, as applicable. For the year ended November 30, 2016, the expense ratio also excludes fees and expenses related to redemption of the fund’s auction rate preferred shares (“ARPS”). For periods prior to November 30, 2016, the expense ratio includes amortization of VMTPS debt issuance costs.
(m) Amount excludes accrued unpaid distributions on preferred shares.
(n) Not annualized.

 

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Financial Highlights – continued

 

(p) Ratio excludes dividend payments on ARPS, if applicable.
(r) Certain expenses have been reduced without which performance would have been lower.
(s) From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower.
(u) Average market value represents the approximate fair value of each of the fund’s preferred shares.
(w) Per share amount was less than $0.01.
(x) The net asset values and total returns at net asset value have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes.

See Notes to Financial Statements

 

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NOTES TO FINANCIAL STATEMENTS

(unaudited)

(1) Business and Organization

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

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

(2) Significant Accounting Policies

General – The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. In the preparation of these financial statements, management has evaluated subsequent events occurring after the date of the fund’s Statement of Assets and Liabilities through the date that the financial statements were issued. The fund invests primarily in municipal instruments which generally trade in the over-the-counter market. The value of municipal instruments can be affected by changes in their actual or perceived credit quality. The credit quality of, and the ability to pay principal and interest when due by, an issuer of a municipal instrument depends on the credit quality of the entity supporting the municipal instrument, how essential any services supported by the municipal instrument are, the sufficiency of any revenues or taxes that support the municipal instrument, and/or the willingness or ability of the appropriate government entity to approve any appropriations necessary to support the municipal instrument. Many municipal instruments are supported by insurance which typically guarantees the timely payment of all principal and interest due on the underlying municipal instrument. The value of a municipal instrument can be volatile and significantly affected by adverse tax changes or court rulings, legislative or political changes, changes in specific or general market and economic conditions in the region where the instrument is issued, and the financial condition of municipal issuers and of municipal instrument insurers of which there are a limited number. Also, because many municipal instruments are issued to finance similar projects, conditions in certain industries can significantly affect the fund and the overall municipal market. If the Internal Revenue Service determines an issuer of a municipal instrument has not complied with the applicable tax requirements, interest from the security could become taxable, the security could decline in value, and distributions made by the fund could be taxable to shareholders. The fund invests in high-yield securities rated below investment grade. Investments in below investment grade quality securities can involve a substantially greater risk of default or can already be in default, and their values can decline significantly. Below investment grade quality securities tend to be more sensitive to adverse news about the issuer, or the market or economy in general, than higher quality debt instruments.

 

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Notes to Financial Statements (unaudited) – continued

 

In November 2016, the FASB issued Accounting Standards Update 2016-18, Statement of Cash Flows (Topic 230) – Restricted Cash (“ASU 2016-18”). For entities that have restricted cash and are required to present a statement of cash flows, ASU 2016-18 changes the cash flow presentation for restricted cash. Management has evaluated the potential impacts of ASU 2016-18 and expects that the effects of the fund’s adoption will be limited to the reclassification of restricted cash on the fund’s Statement of Cash Flows and the addition of disclosures regarding the nature of the restrictions on restricted cash. ASU 2016-18 will be effective for annual reporting periods beginning after December 15, 2017, and interim periods within those annual periods.

In March 2017, the FASB issued Accounting Standards Update 2017-08, Receivables –Nonrefundable Fees and Other Costs (Subtopic 310-20) – Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). For entities that hold callable debt securities at a premium, ASU 2017-08 requires that the premium be amortized to the earliest call date. ASU 2017-08 will be effective for fiscal years beginning after December 15, 2018, and interim periods within those fiscal years. Management has evaluated the potential impacts of ASU 2017-08 and believes that adoption of ASU 2017-08 will not have a material effect on the fund’s overall financial position or its overall results of operations.

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

Investment Valuations – Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service. Open-end investment companies are generally valued at net asset value per share. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. In determining values, 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

 

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Notes to Financial Statements (unaudited) – continued

 

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, such as futures contracts. The following is a summary of the levels used as of May 31, 2018 in valuing the fund’s assets or liabilities:

 

Financial Instruments    Level 1      Level 2      Level 3      Total  
Municipal Bonds      $—        $207,116,141        $—        $207,116,141  
Mutual Funds      1,941,801                      1,941,801  
Total      $1,941,801        $207,116,141        $—        $209,057,942  
Other Financial Instruments                            
Futures Contracts – Liabilities      $(13,946      $—        $—        $(13,946

 

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Notes to Financial Statements (unaudited) – continued

 

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

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

The derivative instruments used by the fund during the period were futures contracts. Depending on the type of derivative, the fund may exit a derivative position by entering into an offsetting transaction with a counterparty or exchange, negotiating an agreement with the derivative counterparty, or novating the position to a third party. The fund may be unable to promptly close out a futures position in instances where the daily fluctuation in the price for that type of future exceeds the daily limit set by the exchange. The fund’s period end derivatives, as presented in the Portfolio of Investments and the associated Derivative Contract tables, generally are indicative of the volume of its derivative activity during the period.

The following table presents, by major type of derivative contract, the fair value, on a gross basis, of the asset and liability components of derivatives held by the fund at May 31, 2018 as reported in the Statement of Assets and Liabilities:

 

        Fair Value (a)  
Risk   Derivative Contracts   Liability Derivatives  
Interest Rate   Interest Rate Futures     $(13,946)  

 

(a) Values presented in this table for futures contracts correspond to the values reported in the fund’s Portfolio of Investments. Only the current day net variation margin for futures contracts is separately reported within the fund’s Statement of Assets and Liabilities.

The following table presents, by major type of derivative contract, the realized gain (loss) on derivatives held by the fund for the six months ended May 31, 2018 as reported in the Statement of Operations:

 

Risk    Futures Contracts  
Interest Rate      $769,415  

The following table presents, by major type of derivative contract, the change in unrealized appreciation or depreciation on derivatives held by the fund for the six months ended May 31, 2018 as reported in the Statement of Operations:

 

Risk    Futures Contracts  
Interest Rate      $(211,506

Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain, but not all, uncleared derivatives, the fund attempts to reduce its exposure to counterparty credit risk whenever possible by entering into an ISDA Master Agreement on a bilateral basis. The ISDA Master Agreement gives each party to the agreement the right to terminate all

 

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transactions traded under such agreement if there is a specified deterioration in the credit quality of the other party. Upon an event of default or a termination of the ISDA Master Agreement, the non-defaulting party has the right to close out all transactions traded under such agreement and to net amounts owed under each agreement to one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the fund’s credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions, if any.

Collateral and margin requirements differ by type of derivative. For cleared derivatives

(e.g., futures contracts, cleared swaps, and exchange-traded options), margin requirements are set by the clearing broker and the clearing house and collateral, in the form of cash or securities, is posted by the fund directly with the clearing broker. Collateral terms are counterparty agreement specific for uncleared derivatives (e.g., forward foreign currency exchange contracts, uncleared swap agreements, and uncleared options) and collateral, in the form of cash and securities, is held in segregated accounts with the fund’s custodian in connection with these agreements. For derivatives traded under an ISDA Master Agreement, which contains a collateral support annex, the collateral requirements are netted across all transactions traded under such counterparty-specific agreement and one amount is posted from one party to the other to collateralize such obligations. Cash that has been segregated or delivered to cover the fund’s collateral or margin obligations under derivative contracts, if any, will be reported separately in the Statement of Assets and Liabilities as restricted cash for uncleared derivatives and/or deposits with brokers for cleared derivatives. Securities pledged as collateral or margin for the same purpose, if any, are noted in the Portfolio of Investments. The fund may be required to make payments of interest on uncovered collateral or margin obligations with the broker. Any such payments are included in “Interest expense and fees and amortization of VMTPS debt issuance costs” in the Statement of Operations.

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

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

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

 

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

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

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

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

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

Reimbursement of Expenses by Custodian – The fund’s custodian (or former custodian), State Street Bank and Trust Company, reimbursed its asset servicing clients for expense amounts that it billed in error during the period 1998 through 2015. The amount of this one-time reimbursement attributable to the fund is reflected as “Reimbursement of custodian expenses” in the Statement of Operations.

Tax Matters and Distributions – The fund intends to qualify as a regulated investment company, as defined under Subchapter M of the Internal Revenue Code,

 

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

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

Book/tax differences primarily relate to defaulted bonds, expiration of capital loss carryforwards, amortization and accretion of debt securities, derivative transactions, and non-deductible expenses that result from the treatment of Variable Rate Municipal Term Preferred Shares (“VMTPS”) as equity for tax purposes.

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

 

     Year ended
11/30/17
 
Ordinary income (including any
short-term capital gains)
     $132,842  
Tax-exempt income      9,023,815  
Total distributions      $9,156,657  

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

 

As of 5/31/18       
Cost of investments      $197,161,192  
Gross appreciation      13,069,784  
Gross depreciation      (1,173,034
Net unrealized appreciation (depreciation)      $11,896,750  
As of 11/30/17       
Undistributed ordinary income      104,975  
Undistributed tax-exempt income      1,244,577  
Capital loss carryforwards      (10,116,649
Other temporary differences      (153,747
Net unrealized appreciation (depreciation)      13,167,160  

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

 

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

As of November 30, 2017, the fund had capital loss carryforwards available to offset future realized gains as follows:

 

Pre-enactment losses which
expire as follows:
 
11/30/18      $(3,454,980
11/30/19      (4,608,836
Total      $(8,063,816
Post-enactment losses which
are characterized as follows:
 
Short-Term      $(1,322,611
Long-Term      (730,222
Total      $(2,052,833

(3) Transactions with Affiliates

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

The investment adviser has agreed in writing to pay a portion of the fund’s total annual operating expenses, excluding interest expense on VMTPS, amortization of debt issuance costs on VMTPS, taxes, extraordinary expenses, brokerage and transaction costs, other interest expense, and investment-related expenses, such that total fund operating expenses do not exceed 0.87% annually of the fund’s average daily net assets (including the value of preferred shares). This written agreement will continue until modified by the fund’s Board of Trustees, but such agreement will continue at least until November 30, 2018. For the six months ended May 31, 2018, the fund’s actual operating expenses did not exceed the limit and therefore, the investment adviser did not pay any portion of the fund’s expenses related to this agreement.

Transfer Agent – The fund engages Computershare Trust Company, N.A. (“Computershare”) as the sole transfer agent for the fund’s common shares. MFS Service Center, Inc. (MFSC) monitors and supervises the activities of Computershare for an agreed upon fee approved by the Board of Trustees. For the six months ended May 31, 2018, these fees paid to MFSC amounted to $3,751.

Administrator – MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund. Under an administrative services agreement, the fund reimburses MFS the costs incurred to provide these services. The fund is charged an annual fixed amount of $17,500 plus a fee based on

 

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average daily net assets (including the value of preferred shares). The administrative services fee incurred for the six months ended May 31, 2018 was equivalent to an annual effective rate of 0.0197% of the fund’s average daily net assets (including the value of preferred shares).

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

Other – This fund and certain other funds managed by MFS (the funds) have entered into a service agreement (the ISO Agreement) which provides for payment of fees solely by the funds to Tarantino LLC in return for the provision of services of an Independent Senior Officer (ISO) for the funds. Frank L. Tarantino serves as the ISO and is an officer of the funds and the sole member of Tarantino LLC. The funds can terminate the ISO Agreement with Tarantino LLC at any time under the terms of the ISO Agreement. For the six months ended May 31, 2018, the fee paid by the fund under this agreement was $108 and is included in “Miscellaneous” expense in the Statement of Operations. MFS has agreed to bear all expenses associated with office space, other administrative support, and supplies provided to the ISO.

The fund invests in the MFS Institutional Money Market Portfolio which is managed by MFS and seeks current income consistent with preservation of capital and liquidity. This money market fund does not pay a management fee to MFS.

(4) Portfolio Securities

For the six months ended May 31, 2018, purchases and sales of investments, other than short-term obligations, aggregated $20,716,104 and $20,836,100, respectively.

(5) Shares of Beneficial Interest

The fund’s Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest. The fund reserves the right to repurchase shares of beneficial interest of the fund subject to Trustee approval. During the six months ended May 31, 2018 and the year ended November 30, 2017, the fund did not repurchase any shares. Other transactions in fund shares were as follows:

 

     Six months ended
5/31/18
     Year ended
11/30/17
 
     Shares      Amount      Shares      Amount  
Shares issued to shareholders in
reinvestment of distributions
            $—        5,333        $25,759  

(6) Line of Credit

The fund and certain other funds managed by MFS participate in a $1.25 billion unsecured committed line of credit, subject to a $1 billion sublimit, provided by a syndication of banks under a credit agreement. Borrowings may be made for temporary financing needs. Interest is charged to each fund, based on its borrowings, generally at a rate equal to the higher of the Overnight Bank Funding rate or daily one month LIBOR plus an agreed upon spread. A commitment fee, based on the average

 

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daily, unused portion of the committed line of credit, is allocated among the participating funds. In addition, the fund and other funds managed by MFS have established unsecured uncommitted borrowing arrangements with certain banks for temporary financing needs. Interest is charged to each fund, based on its borrowings, at a rate equal to the Overnight Bank Funding rate plus an agreed upon spread. For the six months ended May 31, 2018, the fund’s commitment fee and interest expense were $435 and $0, respectively, and are included in “Miscellaneous” expense in the Statement of Operations.

(7) Investments in 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 affiliated issuers:

 

Affiliated Issuers   Beginning
Shares/Par
Amount
    Acquisitions
Shares/Par
Amount
    Dispositions
Shares/Par
Amount
    Ending
Shares/Par
Amount
 
MFS Institutional Money
Market Portfolio
      1,313,296       19,722,086       (19,093,387     1,941,995  
Affiliated Issuers   Realized
Gain (Loss)
  Change in
Unrealized
Appreciation/
Depreciation
    Capital Gain
Distributions
    Dividend
Income
    Ending
Value
 
MFS Institutional Money
Market Portfolio
  $197     $324       $—       $27,946       $1,941,801  

(8) Preferred Shares

The fund has 3,000 shares issued and outstanding of VMTPS, series 2019/3. The outstanding VMTPS are redeemable at the option of the fund in whole or in part at the liquidation preference of $25,000 per share, plus accumulated and unpaid dividends, but generally solely for the purpose of decreasing the leverage of the fund. The VMTPS are subject to a mandatory term redemption date of March 31, 2019 unless extended through negotiation with the private holders of the VMTPS. There is no assurance that the term of the VMTPS will be extended or that the VMTPS will be replaced with any other preferred shares or other form of leverage upon the redemption of the VMTPS. Six months prior to the term redemption date of the VMTPS, the fund is required to begin to segregate liquid assets with the fund’s custodian to fund the redemption. Dividends on the VMTPS are cumulative and are reset weekly to a fixed spread against the Securities Industry and Financial Markets Association (SIFMA) Municipal Swap Index. During the six months ended May 31, 2018, the VMTPS dividend rates ranged from 2.12% to 2.96%. For the six months ended May 31, 2018, the average dividend rate was 2.50%.

In the fund’s Statement of Assets and Liabilities, the VMTPS aggregate liquidation preference is shown as a liability since they have a stated mandatory redemption date. Dividends paid to the VMTPS are treated as interest expense and recorded as incurred. For the six months ended May 31, 2018, interest expense related to the dividends paid to VMTPS amounted to $954,105 and is included in “Interest expense and fees and amortization of VMTPS debt issuance costs” in the Statement of Operations. Costs

 

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directly related to the issuance of the VMTPS are considered debt issuance costs. Debt issuance costs are presented as a direct deduction from the carrying amount of the related debt liability and are being amortized into interest expense over the life of the VMTPS. The period-end carrying value for the VMTPS in the fund’s Statement of Assets and Liabilities is its liquidation value less any unamortized debt issuance costs, which approximates its fair value. Its fair value would be considered level 2 under the fair value hierarchy.

Under the terms of a purchase agreement between the fund and the investor in the VMTPS, the fund is subject to various investment restrictions. These investment-related requirements are in various respects more restrictive than those to which the fund is otherwise subject in accordance with its investment objectives and policies. In addition, the fund is subject to certain restrictions on its investments imposed by guidelines of the rating agencies that rate the VMTPS, which guidelines may be changed by the applicable rating agency, in its sole discretion, from time to time. These guidelines may impose asset coverage or portfolio composition requirements that are more stringent than those imposed on the fund by the Investment Company Act of 1940 (the “1940 Act”).

The fund is required to maintain certain asset coverage with respect to the VMTPS as defined in the fund’s governing documents and the 1940 Act. One of a number of asset coverage-related requirements is that the fund is not permitted to declare or pay common share dividends unless immediately thereafter the fund has a minimum asset coverage ratio of 200% with respect to the VMTPS after deducting the amount of such common share dividends.

The 1940 Act requires that the preferred shareholders of the fund, voting as a separate class, have the right to elect at least two trustees at all times, and elect a majority of the trustees at any time when dividends on the preferred shares are unpaid for two full years. Unless otherwise required by law or under the terms of the preferred shares, each preferred share is entitled to one vote and preferred shareholders will vote together with common shareholders as a single class.

Leverage involves risks and special considerations for the fund’s common shareholders. To the extent that investments are purchased by the fund with proceeds from the issuance of preferred shares, the fund’s net asset value will increase or decrease at a greater rate than a comparable unleveraged fund. Changes in the value of the fund’s portfolio will be borne entirely by the common shareholders. It is possible that the fund will be required to sell assets at a time when it may be disadvantageous to do so in order to redeem preferred shares to comply with asset coverage or other restrictions including those imposed by the 1940 Act and the rating agencies that rate the preferred shares. There is no assurance that the fund’s leveraging strategy will be successful.

 

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

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

We have reviewed the accompanying statement of assets and liabilities of MFS High Yield Municipal Trust (the Fund), including the portfolio of investments, as of May 31, 2018, and the related statements of operations, changes in net assets, cash flows and financial highlights for the six-month period ended May 31, 2018. These interim financial statements and financial highlights are the responsibility of the Fund’s management.

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

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

We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the statement of changes in net assets for the year ended November 30, 2017 and the financial highlights for each of the five years in the period ended November 30, 2017, and in our report dated January 16, 2018, we expressed an unqualified opinion on such statement of changes in net assets and financial highlights.

 

LOGO

Boston, Massachusetts

July 16, 2018

 

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PROXY VOTING POLICIES AND INFORMATION

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

Information regarding how the fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available by August 31 of each year without charge by visiting mfs.com/proxyvoting, or by visiting the SEC’s Web site at http://www.sec.gov.

QUARTERLY PORTFOLIO DISCLOSURE

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

Public Reference Room

Securities and Exchange Commission

100 F Street, NE, Room 1580

Washington, D.C. 20549

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

FURTHER INFORMATION

From time to time, MFS may post important information about the fund or the MFS funds on the MFS web site (mfs.com). This information is available at https://www.mfs.com/en-us/what-we-do/announcements.html or at mfs.com/closedendfunds by choosing the fund’s name.

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

 

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INFORMATION ABOUT FUND CONTRACTS AND LEGAL CLAIMS

The fund has entered into contractual arrangements with an investment adviser, administrator, transfer agent, and custodian who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.

Under the Trust’s By-Laws, any claims asserted against or on behalf of the MFS Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.

 

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LOGO

 

CONTACT US

TRANSFER AGENT, REGISTRAR, AND

DIVIDEND DISBURSING AGENT

CALL

1-800-637-2304

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

WRITE

Computershare Trust Company, N.A.

P.O. Box 43078

Providence, RI 02940-3078

 

New York Stock Exchange Symbol: CMU


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ITEM 2. CODE OF ETHICS.

During the period covered by this report, the Registrant has not amended any provision in its Code of Ethics (the “Code”) that relates to an element of the Code’s definition enumerated in paragraph (b) of Item 2 of this Form N-CSR. During the period covered by this report, the Registrant did not grant a waiver, including an implicit waiver, from any provision of the Code.

 

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable for semi-annual reports.

 

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable for semi-annual reports.

 

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable for semi-annual reports.

 

ITEM 6. SCHEDULE OF INVESTMENTS.

A schedule of investments for MFS High Yield Municipal Trust is included as part of the report to shareholders under Item 1 of this Form N-CSR.

 

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable for semi-annual reports.

 

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

There were no changes during this period.


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

MFS High Yield Municipal Trust

 

Period

   (a) Total number
of Shares
Purchased
     (b)
Average
Price
Paid per
Share
     (c) Total
Number of
Shares
Purchased as
Part of Publicly
Announced
Plans or
Programs
     (d) Maximum
Number (or
Approximate
Dollar Value) of
Shares that May
Yet Be Purchased
under the Plans
or Programs
 

12/01/17-12/31/17

     0        N/A        0        2,831,525  

1/01/18-1/31/18

     0        N/A        0        2,831,525  

2/01/18-2/28/18

     0        N/A        0        2,831,525  

3/01/18-3/31/18

     0        N/A        0        2,831,525  

4/01/18-4/30/18

     0        N/A        0        2,831,525  

5/01/18-5/31/18

     0        N/A        0        2,831,525  
  

 

 

       

 

 

    

Total

     0           0     
  

 

 

       

 

 

    

Note: The Board approved procedures to repurchase shares and reviews the results periodically. The notification to shareholders of the program is part of the semi-annual and annual reports sent to shareholders. These annual programs begin on October 1st of each year. The programs conform to the conditions of Rule 10b-18 of the Securities Exchange Act of 1934 and limit the aggregate number of shares that may be purchased in each annual period (October 1 through the following September 30) to 10% of the Registrant’s outstanding shares as of the first day of the plan year (October 1). The aggregate number of shares available for purchase for the October 1, 2017 plan year is 2,831,525.

 

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrant’s Board since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.

 

ITEM 11. CONTROLS AND PROCEDURES.

 

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


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

 

ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable for semi-annual reports.

 

ITEM 13. EXHIBITS.

 

(a)    (1)    Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. Not applicable.

 

  (2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto as EX-99.302CERT.

 

  (3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable.

 

  (4) Change in the registrant’s independent public accountant. Not applicable.

 

(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference: Attached hereto as EX-99.906CERT.


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Notice

A copy of the Agreement and Declaration of Trust, as amended, of the Registrant is on file with the Secretary of State of the Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.


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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant MFS HIGH YIELD MUNICIPAL TRUST

 

By (Signature and Title)*    DAVID L. DILORENZO
  David L. DiLorenzo, President

Date: July 16, 2018

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)*    DAVID L. DILORENZO
 

David L. DiLorenzo, President

(Principal Executive Officer)

Date: July 16, 2018

 

By (Signature and Title)*   JAMES O. YOST
 

James O. Yost, Treasurer

(Principal Financial Officer and Accounting Officer)

Date: July 16, 2018

 

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