UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4992
MFS HIGH YIELD MUNICIPAL TRUST
(Exact name of registrant as specified in charter)
500 Boylston Street, Boston, Massachusetts 02116
(Address of principal executive offices) (Zip code)
Susan S. Newton
Massachusetts Financial Services Company
500 Boylston Street
Boston, Massachusetts 02116
(Name and address of agents for service)
Registrants telephone number, including area code: (617) 954-5000
Date of fiscal year end: November 30
Date of reporting period: May 31, 2009
ITEM 1. | REPORTS TO STOCKHOLDERS. |
Semiannual report
MFS® High Yield Municipal Trust
5/31/09
CMU-SEM
MFS® High Yield Municipal Trust
New York Stock Exchange Symbol: CMU
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
Dear Shareholders:
The market downturns and economic setbacks of late probably rank among the worst financial declines most of us have experienced. Inevitably, people may be questioning their commitment to investing. Still, it is important to remember that downturns are an inescapable part of the business cycle. Such troughs have been seen before, and if we can use history as a guide, market recoveries typically have followed.
Recent market events have shown the value of certain types of investments. In down markets especially, the benefits that funds offer diversification, professional management, and transparency of operations become even more important for investors.
This year, MFS celebrates the 85th anniversary of its flagship fund, Massachusetts Investors Trust. Founded in 1924, Massachusetts Investors Trust was Americas first mutual fund. Over the years, MFS has managed money through wars, recessions, and countless boom and bust market cycles. As dire as todays economic climate may seem, experience has taught us the benefits of maintaining a long-term view. No one can predict when the market will fully recover. Still, we remain fully confident that the hallmarks of funds diversification, professional management, and transparency can serve long-term investors well through any type of market climate.
Respectfully,
Robert J. Manning
Chief Executive Officer and Chief Investment Officer
MFS Investment Management®
July 15, 2009
The opinions expressed in this letter are subject to change, may not be relied upon for investment advice, and no forecasts can be guaranteed.
Before investing, consider the funds investment objectives, risks, charges, and expenses. For a prospectus containing this and other information, contact MFS or view online. Read it carefully.
MFS Fund Distributors, Inc., 500 Boylston Street, Boston, MA 02116
1
2
Portfolio Composition continued
(a) | The average credit quality of rated securities is based upon a market weighted average of portfolio holdings that are rated by public rating agencies. |
(d) | Duration is a measure of how much a bonds 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. |
(i) | For purposes of this presentation, the bond component includes accrued interest amounts and may be positively or negatively impacted by the equivalent exposure from any derivative holdings, if applicable. |
(j) | For the purpose of managing the funds duration, the fund holds short treasury futures with a bond equivalent exposure of (18.0)%, which reduce the funds interest exposure, but not its credit exposure. |
(m) | In determining an instruments effective maturity for purposes of calculating the funds dollar-weighted average effective maturity, MFS uses the instruments 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 instruments stated maturity. |
(r) | Each security is assigned a rating from Moodys Investors Service. If not rated by Moodys, the rating will be that assigned by Standard & Poors. Likewise, if not assigned a rating by Standard & Poors, it will be based on the rating assigned by Fitch, Inc. For those portfolios that hold a security which is not rated by any of the three agencies, the security is considered Not Rated. Holdings in U.S. Treasuries and government agency mortgage-backed securities, if any, are included in the AAA-rating category. Percentages are based on the total market value of investments as of 5/31/09. |
Percentages are based on net assets, including the value of auction preferred shares, as of 5/31/09, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
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INVESTMENT OBJECTIVE, PRINCIPAL
INVESTMENT STRATEGIES AND RISKS
OF THE FUND
Investment Objective
The funds investment objective is to seek high current income exempt from federal income tax, but may also consider capital appreciation. The funds objective may be changed without shareholder approval.
Principal Investment Strategies
The fund invests, under normal market conditions, at least 80% of its net assets, including assets attributable to preferred shares and borrowings for investment purposes, in tax-exempt bonds and tax-exempt notes. This policy may not be changed without shareholder approval. Tax-exempt bonds and tax-exempt notes are municipal instruments, the interest of which is exempt from federal income tax. Interest from the funds investments may be subject to the federal alternative minimum tax. MFS may also invest in taxable instruments.
MFS may invest 25% or more of the funds total assets in municipal instruments that finance similar projects, such as those relating to education, healthcare, housing, utilities, water, or sewers.
MFS may invest up to 100% of the funds assets in lower quality debt instruments.
MFS may invest a relatively high percentage of the funds assets in the debt instruments of a single issuer or a small number of issuers.
MFS may use derivatives for different purposes, including to earn income and enhance returns, to increase or decrease exposure to a particular market, to manage or adjust the risk profile of the fund, or as alternatives to direct investments.
MFS uses a bottom-up investment approach in buying and selling investments for the fund. Investments are selected primarily based on fundamental analysis of instruments and their issuers in light of current market, economic, political, and regulatory conditions. Factors considered may include the instruments credit quality, collateral characteristics, and indenture provisions, and the issuers management ability, capital structure, leverage, and ability to meet its current obligations. Quantitative analysis of the structure of the instrument and its features may also be considered.
The fund uses leverage through the issuance of preferred shares and/or the creation of tender option bonds, and then investing the proceeds pursuant to its investment strategies. If approved by the funds Board of Trustees, the fund may use leverage by other methods.
MFS may engage in active and frequent trading in pursuing the funds principal investment strategies.
4
Investment Objective, Principal Investment Strategies and Risks of the Fund continued
In response to market, economic, political, or other conditions, MFS may depart from the funds principal investment strategies by temporarily investing for defensive purposes.
Principal Risks
The portfolios yield and share prices change daily based on the credit quality of its investments and changes in interest rates. In general, the value of debt securities will decline when interest rates rise and will increase when interest rates fall. Debt securities with longer maturity dates will generally be subject to greater price fluctuations than those with shorter maturities. Municipal instruments can be volatile and significantly affected by adverse tax or court rulings, legislative or political changes and the financial condition of the issuers and/or insurers of municipal instruments. If the Internal Revenue Service determines an issuer of a municipal security has not complied with applicable tax requirements, interest from the security could become taxable and the security could decline significantly in value. Derivatives can be highly volatile and involve risks in addition to those of the underlying indicators upon whose value the derivative is based. Gains or losses from derivatives can be substantially greater than the derivatives original cost. Lower quality debt securities involve substantially greater risk of default and their value can decline significantly over time. To the extent that investments are purchased with the proceeds from the issuance of preferred shares, the funds net asset value will increase or decrease at a greater rate than a comparable unleveraged fund. To the extent that the fund participates in the creation of tender option bonds, it will hold more concentrated positions in individual securities and so its performance may be more volatile than the performance of more diversified funds. A tender option bond issue may terminate upon the occurrence of certain enumerated events, which would result in a reduction in the funds leverage. In connection with the creation of tender option bonds and for other investment purposes, the fund may invest in inverse floating rate investments, whose potential income return is inversely related to changes in a floating interest rate. Inverse floating rate investments may provide investment leverage and be more volatile than other debt instruments. When you sell your shares, they may be worth more or less than the amount you paid for them. Please see the funds registration statement for further information regarding these and other risk considerations. A copy of the funds registration statement on Form N-2 is available on the EDGAR database on the Securities and Exchange Commissions Internet Web site at http://sec.gov and on the MFS Web site at mfs.com.
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.
5
Gary Lasman | | Investment Officer of MFS; employed in the investment area of MFS since 2002. Portfolio manager of the fund since June 2007. | ||
Geoffrey Schechter | | Investment Officer of MFS; employed in the investment area of MFS since 1993. Portfolio manager of the fund since June 2007. |
The funds shares may trade at a discount or premium to net asset value. Shareholders do not have the right to cause the fund to repurchase their shares at 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 funds liquidation. As a result, the total return that is calculated based on the net asset value and New York Stock Exchange price can be different.
6
DIVIDEND REINVESTMENT AND CASH PURCHASE PLAN
The fund offers a Dividend Reinvestment and Cash Purchase Plan (the Plan) that allows common shareholders to reinvest either all of the distributions paid by the fund or only the long-term capital gains. Generally, purchases are made at the market price unless that price exceeds the net asset value (the shares are trading at a premium). If the shares are trading at a premium, purchases will be made at a price of either the net asset value or 95% of the market price, whichever is greater. You can also buy shares on a quarterly basis in any amount $100 and over. The Plan Agent will purchase shares under the Cash Purchase Plan on the 15th of January, April, July, and October or shortly thereafter.
If shares are registered in your own name, new shareholders will automatically participate in the Plan, unless you have indicated that you do not wish to participate. If your shares are in the name of a brokerage firm, bank, or other nominee, you can ask the firm or nominee to participate in the Plan on your behalf. If the nominee does not offer the Plan, you may wish to request that your shares be re-registered in your own name so that you can participate. There is no service charge to reinvest distributions, nor are there brokerage charges for shares issued directly by the fund. However, when shares are bought on the New York Stock Exchange or otherwise on the open market, each participant pays a pro rata share of the transaction expenses, including commissions. Dividends and capital gains distributions are taxable whether received in cash or reinvested in additional shares the automatic reinvestment of distributions does not relieve you of any income tax that may be payable (or required to be withheld) on the distributions.
You may withdraw from the Plan at any time by going to the Plan Agents website at www.computershare.com, by
calling
1-800-637-2304 any business day from 9 a.m. to 5 p.m. Eastern time or by writing to the Plan Agent at P.O. Box 43078, Providence, RI 02940-3078. Please have available the name of the fund and your account number. For certain types of
registrations, such as corporate accounts, instructions must be submitted in writing. Please call for additional details. When you withdraw from the Plan, you can receive the value of the reinvested shares in one of three ways: your full shares will
be held in your account, the Plan Agent will sell your shares and send the proceeds to you, or you may transfer your full shares to your investment professional who can hold or sell them. Additionally, the Plan Agent will sell your fractional shares
and send the proceeds to you.
If you have any questions or for further information or a copy of the Plan, contact the Plan Agent Computershare Trust Company, N.A. (the Transfer Agent for the fund) at 1-800-637-2304, at the Plan Agents website at
7
Dividend Reinvestment and Cash Purchase Plan continued
www.computershare.com, or by writing to the Plan Agent at P.O. Box 43078, Providence, RI 02940-3078.
The following changes in the Plan will take effect on September 1, 2009:
| When dividend reinvestment is being made through purchases in the open market, such purchases will be made on or shortly after the payment date for such distribution (except where temporary limits on purchases are legally required) and in no event more than 15 days thereafter (instead of 45 days as previously specified). |
| In an instance where the Plan Agent either cannot invest the full amount of the distribution through open market purchases or the funds shares are no longer selling at a discount to the current net asset value per share, the fund will supplementally issue additional shares at the greater of net asset value per share or 95% of the current market value price per share calculated on the date that such request is made (instead of the distribution date net asset value as previously specified). This price may be greater or lesser than the funds net asset value per share on the distribution payment date. |
8
5/31/09 (unaudited)
The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.
Municipal Bonds - 163.9% | ||||||
Issuer | Shares/Par | Value ($) | ||||
Airport & Port Revenue - 4.7% | ||||||
Branson, MO, Regional Airport Transportation Development District Airport Rev., B, 6%, 2037 | $ | 460,000 | $ | 294,021 | ||
Dallas Fort Worth, TX, International Airport Rev. Improvement, B, FSA, 5%, 2025 | 3,000,000 | 2,823,630 | ||||
New York, NY, City Industrial Development Authority Rev. (Terminal One Group Assn.), 5.5%, 2021 | 500,000 | 453,080 | ||||
Port Authority NY & NJ, Cons Thirty Seventh, FSA, 5.125%, 2030 | 1,450,000 | 1,403,586 | ||||
$ | 4,974,317 | |||||
General Obligations - General Purpose - 0.8% | ||||||
Commonwealth of Puerto Rico Government Development Bank, B, 5%, 2015 | $ | 400,000 | $ | 395,852 | ||
Luzerne County, PA, FSA, 6.75%, 2023 | 455,000 | 455,637 | ||||
$ | 851,489 | |||||
General Obligations - Schools - 2.3% | ||||||
Beverly Hills, CA, Unified School District (Election of 2008), 0%, 2029 | $ | 2,195,000 | $ | 743,842 | ||
Beverly Hills, CA, Unified School District (Election of 2008), 0%, 2031 | 275,000 | 81,392 | ||||
Beverly Hills, CA, Unified School District (Election of 2008), 0%, 2032 | 280,000 | 76,868 | ||||
Beverly Hills, CA, Unified School District (Election of 2008), 0%, 2033 | 560,000 | 143,354 | ||||
Irving, TX, Independent School District, A, 0%, 2016 | 1,000,000 | 809,460 | ||||
Los Angeles, CA, Unified School District, D, 5%, 2034 | 165,000 | 159,776 | ||||
San Jacinto, TX, Community College District, 5.125%, 2038 | 430,000 | 433,724 | ||||
$ | 2,448,416 | |||||
Healthcare Revenue - Hospitals - 38.3% | ||||||
Allegheny County, PA, Hospital Development Authority Rev. (University of Pittsburgh Medical Center), A, 5.375%, 2029 |
$ | 440,000 | $ | 430,681 | ||
Allegheny County, PA, Hospital Development Authority Rev. (West Penn Allegheny Health), A, 5%, 2028 | 435,000 | 275,172 | ||||
Allegheny County, PA, Hospital Development Authority Rev. (West Penn Allegheny Health), A, 5.375%, 2040 | 625,000 | 373,450 | ||||
Atchison, KS, Hospital Rev. (Atchison Hospital Assn.), A, 6.75%, 2030 | 320,000 | 271,926 | ||||
Brunswick, GA, Hospital Authority Rev. (Glynn-Brunswick Memorial Hospital), 5.625%, 2034 | 170,000 | 161,760 | ||||
California Health Facilities Financing Authority Rev. (Sutter Health), A, 5%, 2042 | 500,000 | 442,840 |
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Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||
Municipal Bonds - continued | ||||||
Healthcare Revenue - Hospitals - continued | ||||||
California Statewide Communities Development Authority Rev. (Catholic Healthcare West) K, ASSD GTY, 5.5%, 2041 | $ | 625,000 | $ | 622,169 | ||
California Statewide Communities Development Authority Rev. (Catholic Healthcare West) L, ASSD GTY, 5.25%, 2041 | 870,000 | 833,564 | ||||
California Statewide Communities Development Authority Rev. (Childrens Hospital), 5%, 2047 | 290,000 | 186,650 | ||||
California Statewide Communities Development Authority Rev. (St. Joseph Health System), FGIC, 5.75%, 2047 | 635,000 | 610,038 | ||||
Conway, AR, Hospital Rev. (Conway Regional Medical Center), A, 6.4%, 2029 | 350,000 | 322,501 | ||||
Conway, AR, Hospital Rev. (Conway Regional Medical Center), B, 6.4%, 2029 | 850,000 | 783,216 | ||||
Delaware County, PA, Authority Rev. (Mercy Health Corp.), ETM, 6%, 2016 (c) | 965,000 | 1,012,642 | ||||
Delaware County, PA, Authority Rev. (Mercy Health Corp.), ETM, 6%, 2026 (c) | 500,000 | 567,475 | ||||
Dickinson County, MI, Healthcare System Hospital Rev., 5.7%, 2018 | 770,000 | 706,752 | ||||
Garden City, MI, Hospital Finance Authority Rev. (Garden City Hospital), 5%, 2038 | 500,000 | 304,280 | ||||
Genesee County, NY, Industrial Development Agency Civic Facility Rev. (United Memorial Medical Center), 5%, 2027 | 90,000 | 57,436 | ||||
Harris County, TX, Health Facilities Development Corp., Hospital Rev. (Memorial Hermann Healthcare Systems), B, 7.25%, 2035 | 205,000 | 219,211 | ||||
Idaho Health Facilities Authority Rev. (IHC Hospitals, Inc.), ETM, 6.65%, 2021 (c)(f) | 2,750,000 | 3,496,075 | ||||
Illinois Finance Authority Rev. (Childrens Memorial Hospital), A, ASSD GTY, 5.25%, 2047 | 870,000 | 824,760 | ||||
Illinois Finance Authority Rev. (Edward Hospital), A, AMBAC, 5.5%, 2040 | 1,090,000 | 932,277 | ||||
Illinois Finance Authority Rev. (Kewanee Hospital), 5.1%, 2031 | 425,000 | 282,349 | ||||
Illinois Health Facilities Authority Rev. (Swedish American Hospital), 6.875%, 2010 (c) | 500,000 | 526,520 | ||||
Indiana Health & Educational Facilities Authority, Hospital Rev. (Community Foundation of Northwest Indiana), 5.5%, 2037 | 1,125,000 | 936,169 | ||||
Indiana Health & Educational Facilities Finance Authority, Hospital Rev. (Clarian Health), A, 5%, 2039 | 1,745,000 | 1,396,262 | ||||
Indiana Health & Educational Facilities Financing Authority Rev. (Sisters of St. Francis Health Services, Inc.), E, FSA, 5.25%, 2041 | 660,000 | 628,617 | ||||
Indiana Health Facilities Financing Authority Rev. (Community Foundation of Northwest Indiana ), A, 6%, 2034 | 425,000 | 383,104 | ||||
Johnson City, TN, Health & Educational Facilities Board Hospital Rev. (Mountain States Health), A, 5.5%, 2031 | 1,120,000 | 1,008,952 |
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Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||
Municipal Bonds - continued | ||||||
Healthcare Revenue - Hospitals - continued | ||||||
Johnson City, TN, Health & Educational Facilities Board Hospital Rev. (Mountain States Health), A, 5.5%, 2036 | $ | 410,000 | $ | 363,272 | ||
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), A, 5.375%, 2024 | 300,000 | 315,246 | ||||
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), A, 5.625%, 2027 | 100,000 | 103,563 | ||||
Knox County, TN, Health, Educational, Hospital & Housing Facilities Board Rev. (University Health Systems, Inc.), 5.25%, 2036 | 415,000 | 348,123 | ||||
Lake County, OH, Hospital Facilities Rev. (Lake Hospital Systems, Inc.), 5.625%, 2029 | 435,000 | 392,031 | ||||
Louisiana Public Facilities Authority Hospital Rev. (Lake Charles Memorial Hospital), 6.375%, 2034 | 830,000 | 670,565 | ||||
Louisville & Jefferson County, KY, Metro Government Health Facilities Rev. (Jewish Hospital & St. Marys Healthcare), 6.125%, 2037 | 1,315,000 | 1,310,805 | ||||
Louisville & Jefferson County, KY, Metropolitan Government Healthcare Systems Rev. (Norton Healthcare, Inc.), 5.25%, 2036 | 1,265,000 | 1,102,890 | ||||
Lufkin, TX, Health Facilities Development Corp. Rev. (Memorial Health System), 5.5%, 2032 | 60,000 | 45,415 | ||||
Lufkin, TX, Health Facilities Development Corp. Rev. (Memorial Health System), 5.5%, 2037 | 60,000 | 44,159 | ||||
Maryland Health & Higher Educational Facilities Authority Rev. (Anne Arundel Health System), A, 6.75%, 2039 | 735,000 | 805,913 | ||||
Maryland Health & Higher Educational Facilities Authority Rev. (Medstar Health), BHAC, 5.25%, 2046 | 440,000 | 435,732 | ||||
Maryland Health & Higher Educational Facilities Authority Rev. (Washington County Hospital), 6%, 2043 | 120,000 | 104,002 | ||||
Massachusetts Health & Educational Facilities Authority Rev. (Boston Medical Center), 5.25%, 2038 | 1,000,000 | 827,880 | ||||
Massachusetts Health & Educational Facilities Authority Rev. (Jordan Hospital), E, 6.75%, 2033 | 250,000 | 185,525 | ||||
Massachusetts Health & Educational Facilities Authority Rev. (Milford-Whitinsville Hospital), C, 5.25%, 2018 | 500,000 | 430,780 | ||||
Massachusetts Health & Educational Facilities Authority Rev. (Quincy Medical Center), A, 6.5%, 2038 | 340,000 | 247,778 | ||||
Montgomery, AL, Medical Clinic Board Health Care Facility Rev. (Jackson Hospital & Clinic), 5.25%, 2031 | 125,000 | 98,403 | ||||
Montgomery, AL, Medical Clinic Board Health Care Facility Rev. (Jackson Hospital & Clinic), 5.25%, 2036 | 620,000 | 474,356 | ||||
New Hampshire Health & Educational Facilities Authority Rev. (Catholic Medical Center), A, 6.125%, 2012 (c) | 175,000 | 201,038 | ||||
New Hampshire Health & Educational Facilities Authority Rev. (Catholic Medical Center), A, 6.125%, 2032 | 25,000 | 21,644 |
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Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||
Municipal Bonds - continued | ||||||
Healthcare Revenue - Hospitals - continued | ||||||
New Hampshire Health & Educational Facilities Authority Rev. (Memorial Hospital at Conway), 5.25%, 2021 | $ | 530,000 | $ | 466,533 | ||
New Hanover County, N.C., Hospital Rev., FSA, 5.125%, 2031 | 895,000 | 879,167 | ||||
New Jersey Health Care Facilities, Financing Authority Rev. (St. Peters University Hospital), 5.75%, 2037 | 545,000 | 445,805 | ||||
New Mexico State Hospital Equipment Loan Council, Hospital Rev. (Rehoboth McKinley Christian Hospital), A, 5%, 2017 | 285,000 | 234,415 | ||||
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.5%, 2030 | 190,000 | 200,028 | ||||
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.25%, 2035 | 115,000 | 118,786 | ||||
Norman, OK, Regional Hospital Authority Rev., 5.375%, 2036 | 235,000 | 162,503 | ||||
Olympia, WA, Healthcare Facilities Authority Rev. (Catholic Health Initiatives), D, 6.375%, 2036 | 1,095,000 | 1,169,022 | ||||
Orange County, FL, Health Facilities Authority Hospital Rev. (Orlando Regional Healthcare), 5.75%, 2012 (c) | 150,000 | 171,239 | ||||
Philadelphia, PA, Hospitals & Higher Education Facilities Authority Rev. (Temple University Health System), A, 5.5%, 2030 | 480,000 | 370,310 | ||||
Philadelphia, PA, Hospitals & Higher Educational Facilities Rev. (Temple University Health System), A, 6.625%, 2023 | 375,000 | 355,166 | ||||
Rhode Island Health & Educational Building Corp. Rev. (Rhode Island Hospital Foundation), A, ASSD GTY, 7%, 2039 | 660,000 | 707,348 | ||||
Royal Oak, MI, Hospital Finance Authority Rev. (William Beaumont Hospital), 8.25%, 2039 | 485,000 | 542,497 | ||||
Salida, CO, Hospital District Rev., 5.25%, 2036 | 735,000 | 487,246 | ||||
Saline County, MO, Industrial Development Authority Rev. (John Fitzgibbon Memorial Hospital, Inc.), 5.625%, 2035 | 985,000 | 733,441 | ||||
Skagit County, WA, Public Hospital District No. 001 Rev. (Skagit Valley Hospital), 5.75%, 2032 | 90,000 | 73,571 | ||||
South Lake County, FL, Hospital District Rev. (South Lake Hospital, Inc.), 6.375%, 2034 | 250,000 | 223,443 | ||||
Southwestern, IL, Development Authority Rev. (Anderson Hospital), 5.375%, 2015 | 500,000 | 476,020 | ||||
Southwestern, IL, Development Authority Rev. (Anderson Hospital), 5.5%, 2020 | 550,000 | 495,314 | ||||
Southwestern, IL, Development Authority Rev. (Anderson Hospital), 5.125%, 2026 | 500,000 | 409,195 | ||||
Sullivan County, TN, Health, Educational & Housing Facilities Board Hospital Rev. (Wellmont Health Systems Project), C, 5.25%, 2036 | 1,085,000 | 718,715 | ||||
Tyler, TX, Health Facilities Development Corp. (East Texas Medical Center), A, 5.25%, 2032 | 230,000 | 175,978 |
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Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||
Municipal Bonds - continued | ||||||
Healthcare Revenue - Hospitals - continued | ||||||
Tyler, TX, Health Facilities Development Corp. (East Texas Medical Center), A, 5.375%, 2037 | $ | 190,000 | $ | 144,501 | ||
Virginia Small Business Financing Authority Hospital Rev., (Wellmont Health Project), A, 5.25%, 2037 | 470,000 | 309,133 | ||||
Washington Health Care Facilities Authority Rev. (Multicare Health Systems), B, ASSD GTY, 6%, 2039 | 440,000 | 446,323 | ||||
West Contra Costa, CA, Healthcare District, AMBAC, 5.5%, 2029 | 105,000 | 102,014 | ||||
West Virginia Hospital Finance Authority Rev. (Charleston Medical Center), 6.75%, 2010 (c) | 605,000 | 654,435 | ||||
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), 6.4%, 2033 | 350,000 | 338,755 | ||||
Wisconsin Health & Educational Facilities Authority Rev. (Fort Healthcare, Inc.), 6.1%, 2034 | 750,000 | 673,313 | ||||
Wisconsin Health & Educational Facilities Authority Rev. (Wheaton Franciscan Healthcare), 5.75%, 2012 (c) | 450,000 | 506,268 | ||||
Wisconsin Health & Educational Facilities Authority Rev. (Wheaton Franciscan Healthcare), 5.25%, 2034 | 935,000 | 671,274 | ||||
Wisconsin Health & Educational Facilities Authority Rev. (Wheaton Franciscan Services), A, 5.25%, 2025 | 390,000 | 310,311 | ||||
$ | 40,898,037 | |||||
Healthcare Revenue - Long Term Care - 26.1% | ||||||
Abilene, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement), A, 5.9%, 2025 | $ | 750,000 | $ | 535,260 | ||
Abilene, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement), A, 7%, 2033 | 200,000 | 149,514 | ||||
Boston, MA, Industrial Development Financing Authority Rev. (Springhouse, Inc.), 5.875%, 2020 | 235,000 | 199,508 | ||||
Bucks County, PA, Industrial Development Authority Retirement Community Rev. (Anns Choice, Inc.), A, 6.125%, 2025 | 500,000 | 386,300 | ||||
Bucks County, PA, Industrial Development Authority Retirement Community Rev. (Anns Choice, Inc.), A, 6.25%, 2035 | 250,000 | 181,260 | ||||
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 2027 | 90,000 | 66,371 | ||||
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 2037 | 120,000 | 81,815 | ||||
California Statewide Communities Development Authority Rev. (Eskaton Properties, Inc.), 8.25%, 2010 (c) | 695,000 | 770,275 | ||||
Capital Projects Finance Authority, FL (Glenridge on Palmer Ranch), A, 8%, 2012 (c) | 500,000 | 601,490 | ||||
Chartiers Valley, PA, Industrial & Commercial Development Authority (Friendship Village), A, 5.75%, 2020 | 1,000,000 | 845,950 |
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Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||
Municipal Bonds - continued | ||||||
Healthcare Revenue - Long Term Care - continued | ||||||
Chartiers Valley, PA, Industrial & Commercial Development Authority Rev. (Asbury Health Center), 6.375%, 2024 | $ | 1,000,000 | $ | 849,260 | ||
Colorado Health Facilities Authority Rev. (American Housing Foundation, Inc.), 8.5%, 2011 (c) | 530,000 | 615,812 | ||||
Colorado Health Facilities Authority Rev. (Christian Living Communities Project), A, 5.75%, 2037 | 500,000 | 339,395 | ||||
Colorado Health Facilities Authority Rev. (Covenant Retirement Communities, Inc.), 5%, 2035 | 1,100,000 | 782,551 | ||||
Colorado Health Facilities Authority Rev. (Evangelical Lutheran), A, 6.125%, 2038 | 120,000 | 118,955 | ||||
Columbus, GA, Housing Authority Rev. (Calvary Community, Inc.), 7%, 2019 | 425,000 | 353,562 | ||||
Fulton County, GA, Residential Care Facilities (Canterbury Court), A, 6.125%, 2026 | 500,000 | 395,385 | ||||
Fulton County, GA, Residential Care Facilities, First Mortgage (Lenbrook Square Foundation, Inc.), A, 5%, 2029 | 1,500,000 | 979,440 | ||||
HFDC of Central Texas, Inc., Retirement Facilities Rev. (Legacy at Willow Bend), A, 5.75%, 2036 | 600,000 | 391,116 | ||||
Houston, TX, Health Facilities Development Corp., (Buckingham Senior Living Community), A, 7%, 2014 (c) | 500,000 | 602,870 | ||||
Howard County, MD, Retirement Facilities Rev. (Vantage House Corp.), A, 5.25%, 2033 | 200,000 | 124,174 | ||||
Huntington, NY, Housing Authority Rev. (Gurwin Senior Jewish Residences), A, 5.875%, 2019 | 420,000 | 342,220 | ||||
Huntington, NY, Housing Authority Rev. (Gurwin Senior Jewish Residences), A, 6%, 2029 | 650,000 | 468,475 | ||||
Illinois Finance Authority Rev. (Smith Village), A, 6.25%, 2035 | 1,000,000 | 770,460 | ||||
Illinois Health Facilities Authority Rev. (Smith Crossing), A, 7%, 2032 | 525,000 | 428,306 | ||||
Indiana Health Facilities Financing Authority Rev. (Hoosier Care, Inc.), 7.125%, 2034 | 1,005,000 | 774,584 | ||||
Iowa Finance Authority, Health Care Facilities Rev. (Care Initiatives), 9.25%, 2011 (c) | 915,000 | 1,079,572 | ||||
Iowa Finance Authority, Health Care Facilities Rev. (Care Initiatives), B, 5.75%, 2018 | 550,000 | 462,985 | ||||
Iowa Finance Authority, Health Care Facilities Rev. (Care Initiatives), B, 5.75%, 2028 | 1,475,000 | 1,040,524 | ||||
James City County, VA, Economic Development (WindsorMeade Project), A, 5.5%, 2037 | 520,000 | 307,975 | ||||
Johnson City, TN, Health & Educational Facilities Board (Appalachian Christian Village), A, 6.25%, 2032 | 250,000 | 181,583 | ||||
Juneau, AK, City & Borough Non-Recourse Rev. (St. Anns Care Project), 6.875%, 2025 | 900,000 | 695,259 |
14
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||
Municipal Bonds - continued | ||||||
Healthcare Revenue - Long Term Care - continued | ||||||
Kent County, DE, Assisted Living (Heritage at Dover LLC), 7.625%, 2030 | $ | 1,120,000 | $ | 823,368 | ||
Kentucky Economic Development Finance Authority Health Facilities Rev. (AHF/Kentucky-IOWA, Inc.), 8%, 2029 | 395,000 | 315,301 | ||||
La Verne, CA, COP (Brethren Hillcrest Homes), B, 6.625%, 2025 | 525,000 | 444,056 | ||||
Lancaster, PA, Industrial Development Authority Rev. (Garden Spot Village), A, 7.625%, 2010 (c) | 325,000 | 349,164 | ||||
Massachusetts Development Finance Agency Rev. (Adventcare), A, 6.75%, 2037 | 695,000 | 517,177 | ||||
Massachusetts Development Finance Agency Rev. (Alliance Health of Brockton, Inc.), A, 7.1%, 2032 | 1,065,000 | 840,541 | ||||
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), A, 5.5%, 2027 | 185,000 | 117,821 | ||||
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), A, 5.75%, 2035 | 45,000 | 27,183 | ||||
Massachusetts Development Finance Agency Rev. (Loomis Communities, Inc.), A, 5.625%, 2015 | 250,000 | 230,758 | ||||
Massachusetts Development Finance Agency Rev. (Loomis Communities, Inc.), A, 6.9%, 2032 | 125,000 | 110,560 | ||||
Massachusetts Industrial Finance Agency Rev. (GF/Massachusetts, Inc.), 8.3%, 2023 | 755,000 | 434,578 | ||||
Metropolitan Government of Nashville & Davidson County, TN, Health & Educational Facilities Board Rev. (Blakeford at Green Hills), 5.65%, 2024 | 575,000 | 440,743 | ||||
Montgomery County, PA, Industrial Development Authority Rev. (Whitemarsh Continuing Care), 6.125%, 2028 | 150,000 | 93,746 | ||||
Montgomery County, PA, Industrial Development Authority Rev. (Whitemarsh Continuing Care), 6.25%, 2035 | 600,000 | 356,082 | ||||
New Jersey Economic Development Authority Rev. (Lions Gate), A, 5.75%, 2025 | 400,000 | 325,832 | ||||
New Jersey Economic Development Authority Rev. (Lions Gate), A, 5.875%, 2037 | 300,000 | 223,083 | ||||
New Jersey Economic Development Authority Rev. (Seabrook Village, Inc.), 5.25%, 2026 | 500,000 | 342,475 | ||||
New Jersey Economic Development Authority Rev. (Seabrook Village, Inc.), 5.25%, 2036 | 500,000 | 304,805 | ||||
New Jersey Economic Development Authority Rev. (Seabrook Village, Inc.), A, 8.25%, 2010 (c) | 700,000 | 773,822 | ||||
Roseville, MN, Elder Care Facilities (Care Institute, Inc.), 7.75%, 2023 | 1,630,000 | 1,234,888 | ||||
Sartell, MN, Health Care & Housing Authority Rev. (The Foundation for Health Care), A, 6.625%, 2029 | 1,025,000 | 869,313 | ||||
Savannah, GA, Economic Development Authority, First Mortgage (Marshes of Skidway), A, 7.4%, 2034 | 350,000 | 288,701 |
15
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||
Municipal Bonds - continued | ||||||
Healthcare Revenue - Long Term Care - continued | ||||||
Shelby County, TN, Health, Educational & Housing Facilities Board Rev. (Germantown Village), A, 7.25%, 2034 | $ | 300,000 | $ | 241,113 | ||
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), A, 6%, 2027 | 280,000 | 190,350 | ||||
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), A, 6%, 2042 | 260,000 | 158,187 | ||||
South Carolina Jobs & Economic Development Authority, Health Facilities Rev. (Wesley Commons), 5.3%, 2036 | 200,000 | 120,472 | ||||
St. Johns County, FL, Industrial Development Authority (Glenmoor Project), A, 5.25%, 2026 | 500,000 | 343,320 | ||||
Westmoreland County, PA, Industrial Development Authority Rev. (Redstone Retirement Community), A, 5.875%, 2032 | 600,000 | 428,148 | ||||
Westmoreland County, PA, Industrial Development Retirement Authority Rev. (Redstone Retirement Community), A, 5.75%, 2026 | 1,250,000 | 931,463 | ||||
Wisconsin Health & Educational Facilities Board Rev. (All Saints Assisted Living Project), 6%, 2037 | 180,000 | 120,965 | ||||
$ | 27,920,221 | |||||
Healthcare Revenue - Other - 0.7% | ||||||
Massachusetts Health & Educational Facilities Authority Rev. (Civic Investments, Inc.), A, 9%, 2012 (c) | $ | 650,000 | $ | 773,110 | ||
Industrial Revenue - Airlines - 4.5% | ||||||
Alliance Airport Authority, TX (American Airlines, Inc.), 5.25%, 2029 | $ | 1,560,000 | $ | 734,604 | ||
Chicago, IL, OHare International Airport Special Facilities Rev. (American Airlines, Inc.), 5.5%, 2030 | 1,745,000 | 932,807 | ||||
Cleveland, OH, Airport Special Rev. (Continental Airlines, Inc.), 5.7%, 2019 | 875,000 | 587,554 | ||||
Dallas Fort Worth, TX, International Airport Facility Improvement Corp. (American Airlines, Inc.), 5.5%, 2030 | 750,000 | 381,473 | ||||
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 9%, 2033 (b) | 1,250,000 | 1,271,288 | ||||
New York, NY, City Industrial Development Agencies Rev. (American Airlines, Inc.), 7.625%, 2025 | 40,000 | 36,459 | ||||
New York, NY, City Industrial Development Agencies Rev. (American Airlines, Inc.), 7.75%, 2031 | 385,000 | 359,586 | ||||
New York, NY, City Industrial Development Agency Special Facility Rev. (American Airlines, Inc.), B, 8.5%, 2028 | 500,000 | 492,940 | ||||
$ | 4,796,711 |
16
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||
Municipal Bonds - continued | ||||||
Industrial Revenue - Chemicals - 0.9% | ||||||
Brazos River, TX, Harbor Navigation District (Dow Chemical Co.), B-2, 4.95%, 2033 | $ | 400,000 | $ | 295,776 | ||
State of Michigan Strategic Fund Limited Obligation Rev. (Dow Chemical Co.), 6.25%, 2014 | 655,000 | 661,131 | ||||
$ | 956,907 | |||||
Industrial Revenue - Environmental Services - 2.2% | ||||||
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Republic Services, Inc.), B, 5.25%, 2023 (b) | $ | 135,000 | $ | 128,338 | ||
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Waste Management, Inc.), C, 5.125%, 2023 | 655,000 | 592,559 | ||||
Carbon County, UT, Solid Waste Disposal Rev. (Allied Waste Industries), A, 7.5%, 2010 | 250,000 | 250,748 | ||||
Carbon County, UT, Solid Waste Disposal Rev. (Laidlaw Environmental), A, 7.45%, 2017 | 500,000 | 509,530 | ||||
Gulf Coast Waste Disposal Authority, TX (Waste Management, Inc.), A, 5.2%, 2028 | 360,000 | 305,636 | ||||
New Hampshire Business Finance Authority, Solid Waste Disposal Rev. (Waste Management, Inc.), 5.2%, 2027 | 660,000 | 570,563 | ||||
$ | 2,357,374 | |||||
Industrial Revenue - Metals - 0.5% | ||||||
Director of Nevada Department of Business & Industry (Wheeling/Pittsburgh Steel), A, 8%, 2014 |
$ | 150,000 | $ | 144,528 | ||
Greensville County, VA, Industrial Development Authority Rev. (Wheeling/Pittsburgh Steel), A, 7%, 2014 | 375,000 | 351,915 | ||||
$ | 496,443 | |||||
Industrial Revenue - Other - 4.3% | ||||||
Annawan, IL, Tax Increment Rev. (Patriot Renewable Fuels LLC), 5.625%, 2018 | $ | 350,000 | $ | 266,490 | ||
California Statewide Communities Development Authority Facilities (Microgy Holdings Project), 9%, 2038 | 400,000 | 332,128 | ||||
Gulf Coast, TX, Industrial Development Authority Rev. (CITGO Petroleum Corp.), 8%, 2028 | 375,000 | 367,099 | ||||
Houston, TX, Industrial Development Corp. (United Parcel Service, Inc.), 6%, 2023 | 455,000 | 355,387 | ||||
Indianapolis, IN, Airport Authority Rev., Special Facilities (FedEx Corp.), 5.1%, 2017 | 500,000 | 447,330 | ||||
Michigan Strategic Fund Rev. (Michigan Sugar Co.), A, 6.25%, 2015 | 1,000,000 | 939,620 | ||||
New Jersey Economic Development Authority Rev. (GMT Realty LLC), B, 6.875%, 2037 | 1,000,000 | 767,530 | ||||
Virgin Islands Government Refinery Facilities Rev. (Hovensa Coker Project), 6.5%, 2021 | 250,000 | 240,710 |
17
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||
Municipal Bonds - continued | ||||||
Industrial Revenue - Other - continued | ||||||
Virgin Islands Public Finance Authority, Refinery Facilities Rev. (Hovensa Coker Project), 5.875%, 2022 | $ | 400,000 | $ | 362,084 | ||
Will-Kankakee, IL, Regional Development Authority Rev. (Flanders Corp.), 6.5%, 2017 | 605,000 | 533,586 | ||||
$ | 4,611,964 | |||||
Industrial Revenue - Paper - 3.0% | ||||||
Beauregard Parish, LA (Boise Cascade Corp.), 6.8%, 2027 | $ | 1,000,000 | $ | 527,910 | ||
Bedford County, VA, Industrial Development Authority Rev. (Nekooska Packaging Corp.), 5.6%, 2025 | 400,000 | 275,364 | ||||
Camden, AL, Industrial Development Board Exempt Facilities Rev., B (Weyerhaeuser Co.), 6.375%, 2013 (c) | 400,000 | 457,816 | ||||
Courtland AL, Industrial Development Board Solid Waste Disposal Rev. (Champion International Corp.), 6%, 2029 | 1,000,000 | 752,160 | ||||
Escambia County, FL, Environmental Improvement Rev. (International Paper Co.), A, 4.75%, 2030 | 290,000 | 176,042 | ||||
Escambia County, FL, Environmental Improvement Rev. (International Paper Co.), A, 5%, 2026 | 980,000 | 669,154 | ||||
Phenix City, AL, Industrial Development Board Environmental Improvement Rev., A (MeadWestvaco Coated Board Project), 6.35%, 2035 | 400,000 | 318,804 | ||||
$ | 3,177,250 | |||||
Miscellaneous Revenue - Entertainment & Tourism - 2.4% | ||||||
Agua Caliente Band of Cahuilla Indians, CA, 5.6%, 2013 (z) | $ | 775,000 | $ | 736,769 | ||
Cabazon Band Mission Indians, CA, 8.375%, 2015 (z) | 150,000 | 99,054 | ||||
Cabazon Band Mission Indians, CA, 8.75%, 2019 (z) | 720,000 | 474,322 | ||||
Cow Creek Band of Umpqua Tribe of Indians, OR, C, 5.625%, 2026 (n) | 650,000 | 444,945 | ||||
Mashantucket Western Pequot Tribe, CT, B, 0%, 2018 (n) | 1,100,000 | 356,730 | ||||
New York Liberty Development Corp. Rev. (National Sports Museum), A, 6.125%, 2019 (d) | 351,999 | 1,408 | ||||
New York, NY, City Industrial Development Agency Rev. (Queens Baseball Stadium), ASSD GTY, 6.125%, 2029 | 30,000 | 32,662 | ||||
New York, NY, City Industrial Development Agency Rev. (Queens Baseball Stadium), ASSD GTY, 6.375%, 2039 | 25,000 | 26,880 | ||||
New York, NY, City Industrial Development Agency Rev. (Queens Baseball Stadium), ASSD GTY, 6.5%, 2046 | 100,000 | 107,672 | ||||
Seminole Tribe, FL, Special Obligation, A, 5.25%, 2027 (n) | 280,000 | 232,582 | ||||
$ | 2,513,024 |
18
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||
Municipal Bonds - continued | ||||||
Miscellaneous Revenue - Other - 3.2% | ||||||
Austin, TX, Convention Center (Convention Enterprises, Inc.), A, SYNCORA, 5.25%, 2024 | $ | 115,000 | $ | 91,853 | ||
Capital Trust Agency, FL (Aero Syracuse LLC), 6.75%, 2032 | 350,000 | 266,588 | ||||
Citizens Property Insurance Corp., A-1, ASSD GTY, 5.5%, 2016 | 960,000 | 994,906 | ||||
Dallas, TX, Civic Center Convention Complex Rev., ASSD GTY, 5.25%, 2034 | 845,000 | 841,417 | ||||
Massachusetts Development Finance Agency (Boston Biomedical Research), 5.65%, 2019 | 620,000 | 541,700 | ||||
Summit County, OH, Port Authority Building Rev. (Twinsburg Township), D, 5.125%, 2025 | 630,000 | 458,199 | ||||
V Lakes Utility District Ranking Water Systems Rev., 7%, 2037 | 300,000 | 240,681 | ||||
$ | 3,435,344 | |||||
Multi-Family Housing Revenue - 8.5% | ||||||
Broward County, FL, Housing Finance Authority Rev. (Chaves Lakes Apartments Ltd.), A, 7.5%, 2040 | $ | 500,000 | $ | 445,070 | ||
Capital Trust Agency, FL, Housing Rev. (Atlantic Housing Foundation), B, 7%, 2032 | 645,000 | 537,698 | ||||
Charter Mac Equity Issuer Trust, FHLMC, 6%, 2019 (n) | 1,000,000 | 1,016,360 | ||||
Charter Mac Equity Issuer Trust, B, FHLMC, 7.6%, 2010 (b)(n) | 500,000 | 511,035 | ||||
Clay County, FL, Housing Finance Authority Rev. (Madison Commons Apartments), A, 7.45%, 2040 | 495,000 | 424,235 | ||||
District of Columbia Housing Finance Agency (Henson Ridge), E, FHA, 5.1%, 2037 | 655,000 | 604,631 | ||||
Durham, NC, Durham Housing Authority Rev. (Magnolia Pointe Apartments), 5.65%, 2038 (b) | 934,066 | 707,415 | ||||
El Paso County, TX, Housing Finance Corp. (American Housing Foundation), D, 10%, 2032 | 290,000 | 254,005 | ||||
El Paso County, TX, Housing Finance Corp. (American Housing Foundation, Inc.), C, 8%, 2032 | 285,000 | 243,461 | ||||
Massachusetts Housing Finance Agency Rev., B, 5%, 2030 | 500,000 | 485,450 | ||||
Massachusetts Housing Finance Agency Rev., E, 5%, 2028 | 500,000 | 472,030 | ||||
Minneapolis, MN, Student Housing Rev. (Riverton Community Housing Project), A, 5.7%, 2040 | 500,000 | 352,830 | ||||
Mississippi Home Corp., Rev. (Kirkwood Apartments), 6.8%, 2037 | 605,000 | 407,643 | ||||
MuniMae TE Bond Subsidiary LLC, 5.8%, 2049 (z) | 1,000,000 | 598,330 | ||||
New Mexico Mortgage Finance Authority, Multi-Family Housing Rev. (Sun Pointe Apartments), E, FHA, 4.8%, 2040 | 500,000 | 433,985 | ||||
Resolution Trust Corp., Pass-Through Certificates, 1993, 8.5%, 2016 (z) | 455,481 | 420,350 | ||||
Seattle, WA, Housing Authority Rev., Capped Fund Program (High Rise Rehab), I, FSA, 5%, 2025 | 500,000 | 483,665 |
19
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||
Municipal Bonds - continued | ||||||
Multi-Family Housing Revenue - continued | ||||||
Wilmington, DE, Multi-Family Housing Rev. (Electra Arms Senior Associates), 6.25%, 2028 | $ | 830,000 | $ | 631,364 | ||
$ | 9,029,557 | |||||
Sales & Excise Tax Revenue - 4.1% | ||||||
Bolingbrook, IL, Sales Tax Rev., 6.25%, 2024 | $ | 500,000 | $ | 302,920 | ||
Massachusetts School Building Authority, Dedicated Sales Tax Rev., AMBAC, 4.75%, 2032 | 840,000 | 832,944 | ||||
Metropolitan Pier & Exposition Authority, State Tax Rev., NATL, 0%, 2015 | 3,000,000 | 2,379,180 | ||||
Metropolitan Pier & Exposition Authority, State Tax Rev., ETM, FGIC, 0%, 2014 (c) | 1,010,000 | 889,941 | ||||
$ | 4,404,985 | |||||
Single Family Housing - Local - 1.5% | ||||||
Minneapolis & St. Paul Housing Authority Rev. (City Living), A-2, GNMA, 5%, 2038 | $ | 673,018 | $ | 619,587 | ||
Pittsburgh, PA, Urban Redevelopment Authority Rev., C, GNMA, 4.8%, 2028 | 1,000,000 | 982,180 | ||||
$ | 1,601,767 | |||||
Single Family Housing - State - 5.0% | ||||||
California Housing Finance Agency Rev., G, 5.5%, 2042 | $ | 520,000 | $ | 501,769 | ||
California Housing Finance Agency Rev., J, 5.75%, 2047 | 1,500,000 | 1,493,910 | ||||
Colorado Housing & Finance Authority, A, 5.5%, 2029 | 1,315,000 | 1,345,903 | ||||
Iowa Finance Authority, Single Family Mortgage Rev., E, 5.4%, 2032 | 920,000 | 930,028 | ||||
Kentucky Counties Single Family Mortgage Rev., A, NATL, 9%, 2016 | 5,000 | 5,001 | ||||
North Dakota Housing Finance Agency Rev., A, 4.85%, 2021 | 475,000 | 469,424 | ||||
Virginia Housing Development Authority, Commonwealth Mortgage, A-5, 4.4%, 2015 | 210,000 | 210,405 | ||||
Virginia Housing Development Authority, Commonwealth Mortgage, A-5, 4.4%, 2015 | 340,000 | 340,707 | ||||
$ | 5,297,147 | |||||
State & Agency - Other - 0.5% | ||||||
Commonwealth of Puerto Rico (Mepsi Campus), A, 6.25%, 2024 | $ | 100,000 | $ | 86,185 | ||
Commonwealth of Puerto Rico (Mepsi Campus), A, 6.5%, 2037 | 500,000 | 405,985 | ||||
$ | 492,170 | |||||
State & Local Agencies - 5.5% | ||||||
Chesterfield County, VA, Economic Development Authority Pollution Control Rev., A, 5%, 2023 | $ | 880,000 | $ | 915,552 | ||
Dorchester County, SC, School District No. 2, Growth Remedy Opportunity Tax Hike, 5.25%, 2029 | 500,000 | 505,940 |
20
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||
Municipal Bonds - continued | ||||||
State & Local Agencies - continued | ||||||
Laurens County, SC, School District No. 55, Installment Purchase Rev., 5.25%, 2030 | $ | 700,000 | $ | 612,710 | ||
Michigan Building Authority Rev., Facilities Program, I, 5%, 2024 | 1,000,000 | 987,280 | ||||
New York Metropolitan Transportation Authority, A, 5.125%, 2029 | 800,000 | 798,496 | ||||
Newberry, SC, Investing in Childrens Education (Newberry County School District Program), 5%, 2030 | 400,000 | 337,116 | ||||
Puerto Rico Public Finance Corp., E, ETM, 6%, 2026 (c) | 80,000 | 96,056 | ||||
Puerto Rico Public Finance Corp., Unrefunded, E, 6%, 2026 | 820,000 | 984,574 | ||||
State of Wisconsin General Fund Annual Appropriation Rev., A, 5.75%, 2033 | 660,000 | 686,248 | ||||
$ | 5,923,972 | |||||
Student Loan Revenue - 0.6% | ||||||
Massachusetts Educational Financing Authority, Education Loan Rev., H, ASSD GTY, 6.35%, 2030 | $ | 625,000 | $ | 621,200 | ||
Tax - Other - 1.1% | ||||||
Dallas County, TX, Flood Control District, 7.25%, 2032 | $ | 750,000 | $ | 741,653 | ||
New York, NY, City Transitional Finance Authority Building Aid Rev., S-3, 5.25%, 2039 | 440,000 | 433,470 | ||||
$ | 1,175,123 | |||||
Tax Assessment - 9.9% | ||||||
Atlanta, GA, Tax Allocation (Eastside Project), B, 5.4%, 2020 | $ | 500,000 | $ | 416,820 | ||
Ave Maria Stewardship Community District, FL, A, 5.125%, 2038 | 150,000 | 75,819 | ||||
Capital Region Community Development District, FL, Capital Improvement Rev., A, 7%, 2039 | 235,000 | 166,300 | ||||
Celebration Community Development District, FL, A, 6.4%, 2034 | 700,000 | 622,272 | ||||
Channing Park Community Development District, FL, 5.3%, 2038 | 400,000 | 203,032 | ||||
Chicago, IL, Tax Increment Allocation (Pilsen Redevelopment), B, 6.75%, 2022 | 310,000 | 268,029 | ||||
Du Page County, IL, Special Service Area No. 31 Special Tax (Monarch Landing Project), 5.625%, 2036 | 250,000 | 156,178 | ||||
Durbin Crossing Community Development District, FL, Special Assessment, B-1, 4.875%, 2010 | 150,000 | 99,803 | ||||
Grand Bay at Doral Community Development District, FL, A, 6%, 2039 | 90,000 | 50,459 | ||||
Grand Bay at Doral Community Development District, FL, B, 6%, 2017 | 545,000 | 400,831 | ||||
Heritage Harbour North Community Development District, FL, Capital Improvement Rev., 6.375%, 2038 | 315,000 | 197,445 | ||||
Homestead 50 Community Development District, FL, A, 6%, 2037 | 370,000 | 214,041 | ||||
Homestead 50 Community Development District, FL, B, 5.9%, 2013 | 170,000 | 139,596 | ||||
Huntington Beach, CA, Community Facilities District, Special Tax (Grand Coast Resort), 2000-1, 6.45%, 2031 | 500,000 | 428,855 |
21
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||
Municipal Bonds - continued | ||||||
Tax Assessment - continued | ||||||
Lincoln, CA, Special Tax (Community Facilities District ), 2003-1, 5.55%, 2013 (c) | $ | 440,000 | $ | 514,483 | ||
Lincolnshire, IL, Special Service Area No. 1 (Sedgebrook Project), 6.25%, 2034 | 250,000 | 162,978 | ||||
Magnolia Park Community Development District, FL, Special Assessment, A, 6.15%, 2039 | 615,000 | 371,718 | ||||
Main Street Community Development District, FL, A, 6.8%, 2038 | 290,000 | 187,862 | ||||
Main Street Community Development District, FL, B, 6.9%, 2017 | 225,000 | 186,059 | ||||
Northwest Metropolitan District No. 3, CO, 6.25%, 2035 | 500,000 | 287,045 | ||||
Oakmont Grove Community Development District, CA, A, 5.4%, 2038 (a) | 300,000 | 133,350 | ||||
Ohio County, WV, Commission Tax Increment Rev. (Fort Henry Centre), A, 5.85%, 2034 | 125,000 | 91,196 | ||||
Orlando, FL, Special Assessment Rev. (Conroy Road Interchange Project), A, 5.5%, 2010 | 25,000 | 24,611 | ||||
Orlando, FL, Special Assessment Rev. (Conroy Road Interchange Project), A, 5.8%, 2026 | 300,000 | 255,378 | ||||
Plano, IL, Special Service Area No. 4 (Lakewood Springs Project Unit 5-B), 6%, 2035 | 1,490,000 | 983,996 | ||||
Portage, IN, Economic Development Rev. (Ameriplex Project), 5%, 2027 | 260,000 | 203,603 | ||||
San Diego, CA, Redevelopment Agency, Tax Allocation, FSA, 0%, 2018 | 1,015,000 | 666,622 | ||||
Sarasota National Community Development District, FL, Special Assessment Rev., 5.3%, 2039 | 800,000 | 411,232 | ||||
Sweetwater Creek Community Development District, FL, Capital Improvement Rev., 5.5%, 2038 | 195,000 | 109,089 | ||||
Tolomato Community Development District, FL, Special Assessment, 6.65%, 2040 | 585,000 | 390,727 | ||||
Tuscany Reserve Community Development District, FL, Special Assessment, B, 5.25%, 2016 | 185,000 | 120,368 | ||||
Volo Village, IL, Special Service Area No. 3, Special Tax (Symphony Meadows Project), 1, 6%, 2036 | 484,000 | 273,131 | ||||
West Villages Improvement District, FL, Special Assessment Rev. (Unit of Development No. 3), 5.5%, 2037 | 490,000 | 230,535 | ||||
Westchester, FL, Community Development District No. 1 (Community Infrastructure), 6.125%, 2035 | 275,000 | 178,151 | ||||
Westridge, FL, Community Development District, Capital Improvement Rev., 5.8%, 2037 (d) | 960,000 | 383,453 | ||||
Wyandotte County-Kansas City, KS, Unified Government Transportation Development District (Legends Village West Project), 4.875%, 2028 | 580,000 | 367,511 | ||||
Yorba Linda, CA, Redevelopment Agency, Tax Allocation Rev., A, NATL, 0%, 2024 | 1,325,000 | 585,478 | ||||
$ | 10,558,056 |
22
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||
Municipal Bonds - continued | ||||||
Tobacco - 8.4% | ||||||
Buckeye, OH, Tobacco Settlement Financing Authority, A-2, 5.875%, 2030 | $ | 1,610,000 | $ | 1,264,542 | ||
Buckeye, OH, Tobacco Settlement Financing Authority, A-2, 5.875%, 2047 | 2,810,000 | 1,844,119 | ||||
Buckeye, OH, Tobacco Settlement Financing Authority, A-2, 6.5%, 2047 | 785,000 | 561,652 | ||||
California County, CA, Tobacco Securitization Agency, Tobacco Settlement Rev. (Los Angeles County), 0%, 2046 | 3,500,000 | 74,025 | ||||
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., A-1, 6.25%, 2013 (c) | 1,350,000 | 1,493,694 | ||||
Inland Empire, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Asset Backed, C-1, 0%, 2036 | 1,815,000 | 140,245 | ||||
Michigan Tobacco Settlement Finance Authority Rev., Asset Backed, A, 6%, 2048 | 1,710,000 | 1,176,976 | ||||
Rhode Island Tobacco Settlement Authority, 6%, 2023 | 1,695,000 | 1,533,738 | ||||
Tobacco Settlement Authority of Washington Rev., Asset Backed, 6.625%, 2032 | 500,000 | 401,010 | ||||
Virginia Tobacco Settlement Financing Corp., B-1, 5%, 2047 | 830,000 | 488,214 | ||||
$ | 8,978,215 | |||||
Toll Roads - 5.2% | ||||||
Bay Area Toll Authority, CA, Toll Bridge Rev. (San Francisco Bay Area), F1, 5%, 2034 | $ | 1,445,000 | $ | 1,418,687 | ||
E-470 Public Highway Authority, CO, B, 0%, 2010 (c) | 8,750,000 | 1,311,888 | ||||
E-470 Public Highway Authority, CO, B, NATL, 0%, 2018 | 1,500,000 | 805,965 | ||||
San Joaquin Hills, CA, Transportation Corridor Agency Toll Road Rev., A, NATL, 0%, 2015 | 3,000,000 | 2,056,500 | ||||
$ | 5,593,040 | |||||
Universities - Colleges - 6.7% | ||||||
California Educational Facilities Authority Rev. (University of Southern California), A, 5.25%, 2038 | $ | 1,270,000 | $ | 1,317,320 | ||
California Municipal Finance Authority Rev. (Biola University), 5.8%, 2028 | 100,000 | 90,616 | ||||
Florida State University Board of Governors, System Improvement Rev., 6.25%, 2030 | 1,000,000 | 1,088,260 | ||||
Grand Valley, MI, State University Rev., 5.5%, 2027 | 135,000 | 137,907 | ||||
Grand Valley, MI, State University Rev., 5.625%, 2029 | 65,000 | 66,413 | ||||
Harris County, TX, Cultural Education Facilities Rev. (Baylor College of Medicine), D, 5.625%, 2032 | 280,000 | 281,109 | ||||
Massachusetts Health & Educational Facilities Authority Rev. (Simmons College), I, 8%, 2029 | 255,000 | 278,552 | ||||
Savannah, GA, Economic Development Authority Rev. (AASU Student Union LLC), ASSD GTY, 5.125%, 2039 | 1,320,000 | 1,338,559 |
23
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||
Municipal Bonds - continued | ||||||
Universities - Colleges - continued | ||||||
University of Illinois Rev. (Auxiliary Facilities Systems), A, 5.125%, 2029 | $ | 1,880,000 | $ | 1,934,727 | ||
University of Southern Indiana Rev., Student Fee, J, ASSD GTY, 5.75%, 2028 | 300,000 | 323,481 | ||||
University of Southern Mississippi Educational Building Corp. (Campus Facilities Project), 5.25%, 2032 | 265,000 | 273,027 | ||||
University of Southern Mississippi, Educational Building Corp. Rev. (Campus Facilities Project), 5.375%, 2036 | 80,000 | 82,311 | ||||
$ | 7,212,282 | |||||
Universities - Dormitories - 0.4% | ||||||
California Statewide Communities Development Authority Rev. (Lancer Educational Student Housing Project), 5.625%, 2033 | $ | 735,000 | $ | 462,741 | ||
Universities - Secondary Schools - 1.2% | ||||||
California Statewide Communities Development Authority Rev., COP, (Crossroads Schools for the Arts & Sciences), 6%, 2028 | $ | 1,010,000 | $ | 896,749 | ||
Colorado Housing Finance Development Rev. (Evergreen Country Day School), 5.875%, 2037 | 175,000 | 111,433 | ||||
Lee County, FL, Industrial Development Authority Rev. (Lee Charter Foundation), A, 5.375%, 2037 | 535,000 | 313,200 | ||||
$ | 1,321,382 | |||||
Utilities - Cogeneration - 0.7% | ||||||
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Central Facilities (Cogeneration Facilities - AES Puerto Rico Project), 6.625%, 2026 | $ | 320,000 | $ | 320,653 | ||
Suffolk County, NY, Industrial Development Agency Rev. (Nissequoque Cogeneration Partners Facilities), 5.5%, 2023 | 550,000 | 443,190 | ||||
$ | 763,843 | |||||
Utilities - Investor Owned - 4.9% | ||||||
Brazos River Authority, TX, Pollution Control Rev. (TXU Electric Co. LLC), C, 5.75%, 2036 (b) | $ | 220,000 | $ | 168,755 | ||
Brazos River Authority, TX, Pollution Control Rev. (TXU Electric Co. LLC), C, 6.75%, 2038 | 555,000 | 289,083 | ||||
Brazos River Authority, TX, Pollution Control Rev. (TXU Electric Co. LLC), D, 5.4%, 2029 (b) | 45,000 | 26,996 | ||||
Bryant, IL, Pollution Control Rev. (Central Illinois Light Co.), 5.9%, 2023 | 975,000 | 918,704 | ||||
Clark County, NV, Industrial Development Rev. (Nevada Power Co. Project), A, 5.9%, 2032 | 1,500,000 | 1,298,925 |
24
Portfolio of Investments (unaudited) continued
Issuer | Shares/Par | Value ($) | ||||
Municipal Bonds - continued | ||||||
Utilities - Investor Owned - continued | ||||||
Massachusetts St. Development Finance Agency, Solid Waste Disposal Rev., 5.75%, 2042 (b) | $ | 85,000 | $ | 88,247 | ||
Mississippi Business Finance Corp., Pollution Control Rev. (Systems Energy Resources Project), 5.875%, 2022 | 1,500,000 | 1,383,525 | ||||
New Hampshire Business Finance Authority, Pollution Control Rev. (Public Service of New Hampshire), B, NATL, 4.75%, 2021 | 250,000 | 226,633 | ||||
Red River Authority, TX, Pollution Control Rev. (AEP Texas Central Co.), NATL, 4.45%, 2020 | 410,000 | 358,176 | ||||
Sabine River Authority, TX, Pollution Control Rev. (TXU Electric Co. LLC), 5.2%, 2028 | 185,000 | 98,165 | ||||
Sabine River Authority, TX, Pollution Control Rev. (TXU Electric Co. LLC), 5.75%, 2030 (b) | 155,000 | 118,896 | ||||
West Feliciana Parish, LA, Pollution Control Rev. (Entergy Gulf States), 6.6%, 2028 | 270,000 | 269,981 | ||||
$ | 5,246,086 | |||||
Utilities - Other - 3.4% | ||||||
Indiana Bond Bank Special Program, Gas Revenue, A, 5.25%, 2018 | $ | 230,000 | $ | 227,974 | ||
Main Street Natural Gas, Inc., GA, Gas Project Rev., A, 5.5%, 2028 | 335,000 | 297,282 | ||||
Main Street Natural Gas, Inc., GA, Gas Project Rev., B, 5%, 2019 | 325,000 | 291,866 | ||||
Public Authority for Colorado Energy Natural Gas Purchase Rev., 6.5%, 2038 | 25,000 | 24,581 | ||||
Salt Verde Financial Corp., AZ, Senior Gas Rev., 5%, 2037 | 705,000 | 562,689 | ||||
Tennessee Energy Acquisition Corp., Gas Rev., A, 5.25%, 2021 | 1,710,000 | 1,584,144 | ||||
Tennessee Energy Acquisition Corp., Gas Rev., A, 5.25%, 2022 | 270,000 | 246,569 | ||||
Tennessee Energy Acquisition Corp., Gas Rev., A, 5.25%, 2026 | 165,000 | 144,121 | ||||
Tennessee Energy Acquisition Corp., Gas Rev., C, 5%, 2025 | 240,000 | 206,719 | ||||
$ | 3,585,945 | |||||
Water & Sewer Utility Revenue - 2.4% | ||||||
Birmingham, AL, Waterworks Board Water Rev., A, ASSD GTY, 5.125%, 2034 | $ | 595,000 | $ | 588,009 | ||
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., A, 6%, 2038 | 655,000 | 650,507 | ||||
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., A, 6%, 2044 | 135,000 | 131,903 | ||||
New York, NY, City Municipal Water Finance Authority, Water & Sewer Systems Rev. DD, 4.75%, 2035 | 790,000 | 756,970 | ||||
Surprise, AZ, Municipal Property Corp., 4.9%, 2032 | 700,000 | 486,304 | ||||
$ | 2,613,693 | |||||
Total Municipal Bonds (Identified Cost, $197,791,882) | $ | 175,091,811 |
25
Portfolio of Investments (unaudited) continued
Floating Rate Demand Notes - 4.2% | |||||||
Issuer | Shares/Par | Value ($) | |||||
Lincoln County, WY, Pollution Control Rev. (Exxon Mobil Corp.), 0.08%, due 6/01/09 | $ | 100,000 | $ | 100,000 | |||
Lincoln County, WY, Pollution Control Rev. (Exxon Mobil Corp.), A, 0.13%, due 6/01/09 | 1,200,000 | 1,200,000 | |||||
Lincoln County, WY, Pollution Control Rev. (Exxon Mobil Corp.), C, 0.13%, due 6/01/09 | 3,200,000 | 3,200,000 | |||||
Total Floating Rate Demand Notes, at Identified Cost and Value | $ | 4,500,000 | |||||
Total Investments (Identified Cost, $202,291,882) | $ | 179,591,811 | |||||
Other Assets, Less Liabilities - 2.1% | 2,262,235 | ||||||
Preferred Shares (Issued by the Fund) - (70.2)% | (75,000,000 | ) | |||||
Net Assets applicable to common shares - 100.0% | $ | 106,854,046 |
(a) | Non-income producing security. |
(b) | Mandatory tender date is earlier than stated maturity date. |
(c) | Refunded bond. |
(d) | Non-income producing security in default. |
(f) | All or a portion of the security has been segregated as collateral for open futures contracts. |
(n) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $2,561,652, representing 2.4% of net assets applicable to common shares. |
(z) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities: |
Restricted Securities | Acquisition Date |
Cost | Current Market Value | |||
Agua Caliente Band of Cahuilla Indians, CA, 5.6%, 2013 | 7/22/03 | $775,926 | $736,769 | |||
Cabazon Band Mission Indians, CA, 8.375%, 2015 | 10/04/04 | 150,000 | 99,054 | |||
Cabazon Band Mission Indians, CA, 8.75%, 2019 | 10/04/04 | 720,000 | 474,322 | |||
MuniMae TE Bond Subsidiary LLC, 5.8%, 2049 | 10/14/04 | 1,000,000 | 598,330 | |||
Resolution Trust Corp., Pass-Through Certificates, 1993, 8.5%, 2016 | 10/17/01-1/14/02 | 455,481 | 420,350 | |||
Total Restricted Securities | $2,328,825 | |||||
% of Net Assets Applicable to Common Shares | 2.2% |
26
Portfolio of Investments (unaudited) continued
The following abbreviations are used in this report and are defined:
COP | Certificate of Participation |
ETM | Escrowed to Maturity |
LOC | Letter of Credit |
Insurers | ||
AMBAC | AMBAC Indemnity Corp. | |
ASSD GTY | Assured Guaranty Insurance Co. | |
BHAC | Berkshire Hathaway Assurance Corp. | |
FGIC | Financial Guaranty Insurance Co. | |
FHA | Federal Housing Administration | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FSA | Financial Security Assurance Inc. | |
GNMA | Government National Mortgage Assn. | |
NATL | National Public Finance Guarantee Corp. | |
SYNCORA | Syncora Guarantee Inc. |
Derivative Contracts at 5/31/09
Futures contracts outstanding at 5/31/09
Description | Currency | Contracts | Value | Expiration Date |
Unrealized Appreciation (Depreciation) |
||||||
Asset Derivatives | |||||||||||
Interest Rate Futures | |||||||||||
U.S. Treasury Note 10 yr (Short) | USD | 238 | $27,846,000 | Sep-09 | $45,651 | ||||||
Liability Derivatives | |||||||||||
Interest Rate Futures | |||||||||||
U.S. Treasury Bond 30 yr (Short) | USD | 41 | $4,823,906 | Sep-09 | $(16,159 | ) | |||||
$29,492 | |||||||||||
At May 31, 2009, the fund had sufficient cash and/or other liquid securities to cover any commitments under these derivative contracts.
See Notes to Financial Statements
27
Financial Statements
STATEMENT OF ASSETS AND LIABILITIES
At 5/31/09 (unaudited)
This statement represents your funds balance sheet, which details the assets and liabilities comprising the total value of the fund.
Assets | |||||
Investments, at value (identified cost, $202,291,882) |
$179,591,811 | ||||
Cash |
550,147 | ||||
Receivables for |
|||||
Investments sold |
685,916 | ||||
Interest |
3,382,734 | ||||
Receivable from investment adviser |
10,576 | ||||
Other assets |
25,255 | ||||
Total assets |
$184,246,439 | ||||
Liabilities | |||||
Payables for |
|||||
Distributions on common shares |
$21 | ||||
Distributions on preferred shares |
7,140 | ||||
Daily variation margin on open futures contracts |
332,953 | ||||
Investments purchased |
1,978,828 | ||||
Payable to affiliates |
|||||
Management fee |
12,974 | ||||
Transfer agent and dividend disbursing costs |
7,929 | ||||
Administrative services fee |
475 | ||||
Payable for independent trustees compensation |
9,779 | ||||
Accrued expenses and other liabilities |
42,294 | ||||
Total liabilities |
$2,392,393 | ||||
Preferred shares | |||||
Auction preferred shares (3,000 shares issued and outstanding at $25,000 per share) at liquidation value |
$75,000,000 | ||||
Net assets applicable to common shares |
$106,854,046 | ||||
Net assets consist of | |||||
Paid-in capital common shares |
$186,834,064 | ||||
Unrealized appreciation (depreciation) on investments |
(22,670,579 | ) | |||
Accumulated net realized gain (loss) on investments |
(57,773,595 | ) | |||
Undistributed net investment income |
464,156 | ||||
Net assets applicable to common shares |
$106,854,046 | ||||
Preferred shares, at liquidation value (3,000 shares issued and outstanding at $25,000 per share) |
$75,000,000 | ||||
Net assets including preferred shares |
$181,854,046 | ||||
Common shares of beneficial interest outstanding |
27,908,723 | ||||
Net asset value per common share (net assets of |
$3.83 |
See Notes to Financial Statements
28
Financial Statements
Six months ended 5/31/09 (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 | ||||||
Interest income |
$5,916,635 | |||||
Expenses |
||||||
Management fee |
$549,082 | |||||
Transfer agent and dividend disbursing costs |
27,479 | |||||
Administrative services fee |
21,123 | |||||
Independent trustees compensation |
11,343 | |||||
Stock exchange fee |
13,159 | |||||
Preferred shares remarketing agent fee |
86,400 | |||||
Custodian fee |
13,220 | |||||
Shareholder communications |
22,241 | |||||
Auditing fees |
38,211 | |||||
Legal fees |
15,985 | |||||
Miscellaneous |
21,457 | |||||
Total expenses |
$819,700 | |||||
Fees paid indirectly |
(4,898 | ) | ||||
Reduction of expenses by investment adviser |
(85,210 | ) | ||||
Net expenses |
$729,592 | |||||
Net investment income |
$5,187,043 | |||||
Realized and unrealized gain (loss) on investments | ||||||
Realized gain (loss) (identified cost basis) |
||||||
Investment transactions |
$(2,123,805 | ) | ||||
Futures contracts |
(2,234,895 | ) | ||||
Net realized gain (loss) on investments |
$(4,358,700 | ) | ||||
Change in unrealized appreciation (depreciation) |
||||||
Investments |
$11,938,917 | |||||
Futures contracts |
1,837,312 | |||||
Net unrealized gain (loss) on investments |
$13,776,229 | |||||
Net realized and unrealized gain (loss) on investments |
$9,417,529 | |||||
Distributions declared to preferred shareholders |
$(336,630 | ) | ||||
Change in net assets from operations |
$14,267,942 |
See Notes to Financial Statements
29
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.
Six months ended 5/31/09 |
Year ended 11/30/08 |
|||||
Change in net assets | (unaudited) | |||||
From operations | ||||||
Net investment income |
$5,187,043 | $11,898,131 | ||||
Net realized gain (loss) on investments |
(4,358,700 | ) | (12,459,753 | ) | ||
Net unrealized gain (loss) on investments |
13,776,229 | (39,031,181 | ) | |||
Distributions declared to preferred shareholders |
(336,630 | ) | (3,117,160 | ) | ||
Change in net assets from operations |
$14,267,942 | $(42,709,963 | ) | |||
Distributions declared to common shareholders | ||||||
From net investment income |
$(4,516,528 | ) | $(9,047,476 | ) | ||
Net asset value of shares issued to common shareholders in reinvestment of distributions |
$147,606 | $273,134 | ||||
Total change in net assets |
$9,899,020 | $(51,484,305 | ) | |||
Net assets applicable to common shares | ||||||
At beginning of period |
96,955,026 | 148,439,331 | ||||
At end of period (including undistributed net investment income of $464,156 and $130,271, respectively) |
$106,854,046 | $96,955,026 |
See Notes to Financial Statements
30
Financial Statements
The financial highlights table is intended to help you understand the funds financial performance for the semiannual period and the past 5 fiscal years. Certain information reflects financial results for a single fund share. The total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the fund share class (assuming reinvestment of all distributions) held for the entire period.
Six months (unaudited) |
Years ended 11/30 | |||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||
Net asset value, beginning of period |
$3.48 | $5.34 | $5.98 | $5.76 | $5.69 | $5.85 | ||||||||||||
Income (loss) from investment operations | ||||||||||||||||||
Net investment income (d) |
$0.19 | $0.43 | $0.45 | (z) | $0.45 | $0.45 | $0.45 | |||||||||||
Net realized and unrealized gain |
0.33 | (1.85 | ) | (0.66 | )(z) | 0.23 | 0.08 | (0.15 | ) | |||||||||
Distributions declared to |
(0.01 | ) | (0.11 | ) | (0.12 | ) | (0.11 | ) | (0.08 | ) | (0.04 | ) | ||||||
Total from investment operations |
$0.51 | $(1.53 | ) | $(0.33 | ) | $0.57 | $0.45 | $0.26 | ||||||||||
Less distributions declared to common shareholders | ||||||||||||||||||
From net investment income, |
$(0.16 | ) | $(0.33 | ) | $(0.31 | ) | $(0.35 | ) | $(0.38 | ) | $(0.42 | ) | ||||||
Net asset value, end of period |
$3.83 | $3.48 | $5.34 | $5.98 | $5.76 | $5.69 | ||||||||||||
Common share market value, |
$3.87 | $3.04 | $4.90 | $5.96 | $5.36 | $5.66 | ||||||||||||
Total return at common share |
33.66 | (n) | (33.26 | ) | (13.21 | ) | 17.99 | 1.36 | 7.86 | |||||||||
Total return at net asset |
15.52 | (n) | (29.90 | ) | (5.73 | ) | 10.17 | 8.35 | 4.72 | |||||||||
Ratios (%) (to average net assets applicable to common shares) and Supplemental data: |
||||||||||||||||||
Expenses before expense |
1.74 | (a) | 1.57 | 1.39 | 1.39 | 1.40 | 1.42 | |||||||||||
Expenses after expense |
1.56 | (a) | 1.48 | 1.39 | N/A | N/A | N/A | |||||||||||
Expenses after expense reductions |
N/A | 1.44 | N/A | N/A | N/A | N/A | ||||||||||||
Net investment income (p) |
11.00 | (a) | 9.02 | 7.87 | (z) | 7.62 | 7.73 | 7.79 | ||||||||||
Portfolio turnover |
11 | 34 | 29 | 33 | 18 | 16 | ||||||||||||
Net assets at end of period |
$106,854 | $96,955 | $148,439 | $165,936 | $159,792 | $157,757 |
31
Financial Highlights continued
Six months (unaudited) |
Years ended 11/30 | |||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||
Supplemental Ratios (%): | ||||||||||||
Net investment income available to |
10.29 | 6.66 | 5.78 | 5.74 | 6.46 | 7.15 | ||||||
Senior Securities: | ||||||||||||
Total preferred shares outstanding |
3,000 | 3,000 | 3,600 | 3,600 | 3,600 | 3,600 | ||||||
Asset coverage per preferred share (k) |
$60,618 | $57,318 | $66,233 | $71,093 | $69,387 | $68,821 | ||||||
Involuntary liquidation preference per |
$25,000 | $25,000 | $25,000 | $25,015 | $25,010 | $25,004 | ||||||
Average market value per preferred |
$25,000 | $25,000 | $25,000 | $25,000 | $25,000 | $25,000 |
(a) | Annualized. |
(d) | Per share data is based on average shares outstanding. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. |
(k) | Calculated by subtracting the funds total liabilities (not including auction preferred shares) from the funds total assets and dividing this number by the number of preferred shares outstanding. |
(l) | Interest expense and fees relate to payments made to the holder of the floating rate certificate from trust assets. |
(m) | Amount excludes accrued unpaid distributions to Auction Preferred Shareholders. |
(n) | Not annualized. |
(o) | Effective November 30, 2007, amount excludes accrued unpaid distributions to Auction Preferred Shareholders. |
(p) | Excludes dividend payment on auction preferred shares. |
(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 have been lower. |
(t) | Prior to November 30, 2007, total return at net asset value is unaudited. |
(x) | Average market value represents the approximate fair value of the funds liability. |
(z) | The fund applied a change in estimate for amortization of premium on certain debt securities in the year ended November 30, 2007 that resulted in an increase of $0.01 per share to net investment income, a decrease of $0.01 per share to net realized and unrealized gain (loss) on investments, and an increase of 0.15% to the net investment income ratio. The change in estimate had no impact on net assets, net asset value per share or total return. |
See Notes to Financial Statements
32
(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 closed-end management investment company.
(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 revenues and expenses during the reporting period. Actual results could differ from those estimates. The value of municipal instruments can be affected by changes in their actual or perceived credit quality. The credit quality of municipal instruments can be affected by, among other things, the financial condition of the issuer or guarantor, the issuers future borrowing plans and sources of revenue, the economic feasibility of the revenue bond project or general borrowing purpose, political or economic developments in the region where the instrument is issued and the liquidity of the security. Municipal instruments generally trade in the over-the-counter market. Municipal instruments backed by current and anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the taxation supporting the projects or assets or the inability to collect revenues for the project or from the assets. If the Internal Revenue Service determines an issuer of a municipal instrument has not complied with the applicable tax requirements, the security could decline in value, interest from the security could become taxable and the funds may be required to issue Forms 1099-DIV. The fund can invest in high-yield securities rated below investment grade. Investments in high-yield securities involve greater degrees of credit and market risk than investments in higher-rated securities and tend to be more sensitive to economic conditions.
Investment Valuations Debt instruments and floating rate loans (other than short-term instruments), including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less generally are valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted settlement price as provided by a third-party pricing service on the market on which they are primarily traded. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation as provided by a third-party pricing service on the market on which such futures
33
Notes to Financial Statements (unaudited) continued
contracts are primarily traded. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. Values obtained from pricing services can utilize both dealer-supplied valuations and electronic data processing techniques, which take into account factors such as institutional-size trading in similar groups of securities, 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 funds investments (including any fair valuation) to the adviser pursuant to valuation policies and procedures approved by the Board. If the adviser determines that reliable market quotations are not readily available, investments are valued at fair value as determined in good faith by the adviser in accordance with such procedures under the oversight of the Board of Trustees. Under the funds 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 investments 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 funds 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 funds 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 funds 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 funds assets or liabilities carried at market value. 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 investments level within the fair value hierarchy is based on the lowest level of input that is
34
Notes to Financial Statements (unaudited) continued
significant to the fair value measurement. The funds 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 advisers own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments not reflected in total investments, such as futures, forwards, swap contracts, and written options. The following is a summary of the levels used as of May 31, 2009 in valuing the funds assets or liabilities carried at market value:
Level 1 | Level 2 | Level 3 | Total | |||||
Investments in Securities | $ | $179,591,811 | $ | $179,591,811 | ||||
Other Financial Instruments | $29,492 | $ | $ | $29,492 |
In April 2009, FASB Staff Position (FSP) 157-4 was issued and is effective for financial statements issued for fiscal years and interim periods ending after June 15, 2009. FSP 157-4 clarifies FASB Statement No. 157, Fair Value Measurements and requires an entity to evaluate certain factors to determine whether there has been a significant decrease in volume and level of activity for the asset or liability such that recent transactions and quoted prices may not be determinative of fair value and further analysis and adjustment may be necessary to estimate fair value. The FSP also requires enhanced disclosure regarding the inputs and valuation techniques used to measure fair value in those instances as well as expanded disclosure of valuation levels for major security types. Management is evaluating the application of the FSP to the fund, and believes the impact resulting from the adoption of this FSP will be limited to expanded disclosure in the funds financial statements.
Derivatives The fund may use derivatives for different purposes, including to earn income and enhance returns, to increase or decrease exposure to a particular market, to manage or adjust the risk profile of the fund, or as alternatives to direct investments. Derivatives may be 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 derivatives original cost.
In this reporting period the fund adopted FASB Statement No. 161, Disclosure about Derivative Instruments and Hedging Activities (FAS 161), and FASB Staff Position FAS No. 133-1 and FIN 45-4, Disclosures about Credit Derivatives and Certain Guarantees: An Amendment of FASB Statement No. 133 and FASB Interpretation No. 45; and Clarification of the Effective Date of FAS 161 (FSP FAS 133-1).
35
Notes to Financial Statements (unaudited) continued
FAS 161 amends FASB Statement No. 133, Accounting for Derivatives and Hedging Activities (FAS 133). FAS 161 provides enhanced disclosures about the funds use of and accounting for derivative instruments and the effect of derivative instruments on the funds results of operations and financial position. Under FAS 161, tabular disclosure regarding derivative fair value and gain/loss by contract type (e.g., interest rate contracts, foreign exchange contracts, credit contracts, etc.) is required and derivatives accounted for as hedging instruments under FAS 133 must be disclosed separately from derivatives that do not qualify for hedge accounting under FAS 133. Because investment companies account for their derivatives at fair value and record any changes in fair value in current period earnings, the funds derivatives are not accounted for as hedging instruments under FAS 133. As such, even though the fund may use derivatives in an attempt to achieve an economic hedge, the funds derivatives are not considered to be hedging instruments under FAS 133.
FSP FAS 133-1 amends FAS 133 to require sellers of credit derivatives to make disclosures that will enable financial statement users to assess the potential effects of those credit derivatives on an entitys financial position, financial performance and cash flows. As defined by FSP FAS 133-1, a credit derivative is a derivative instrument (a) in which one or more of the derivatives underlyings are related to the credit risk of a specified entity (or group of entities) or an index based on the credit risk of a group of entities and (b) that exposes the seller to potential loss from credit-risk-related events specified in the derivative contract. The seller (or writer) is the party that provides the credit protection and assumes the credit risk on a credit derivatives contract, such as a credit default swap. There was no impact from implementing FSP 133-1 as the fund did not hold any of these credit derivatives at period end.
As defined under FAS 133, derivative instruments include written options, purchased options, futures contracts, forward foreign currency exchange contracts, and swap agreements.
36
Notes to Financial Statements (unaudited) continued
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, 2009:
Asset Derivatives | Liability Derivatives | |||||||||||
Location on Statement of Assets and Liabilities | Fair Value |
|
Location on Statement of Assets and Liabilities | Fair Value |
| |||||||
Interest Rate Contracts | Interest Rate Futures |
Unrealized appreciation on investments | $45,651(a | ) | Unrealized depreciation on investments | $(16,159 | )(a) |
(a) | Includes cumulative appreciation/depreciation of futures contracts as reported in the funds Portfolio of Investments. Only the current days variation margin for futures contracts is reported within the funds 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, 2009 as reported in the Statement of Operations:
Futures Contracts |
|||
Interest Rate Contracts | $(2,234,895 | ) |
The following table presents by major type of derivative contract, the change in unrealized appreciation (depreciation) on derivatives held by the fund for the six months ended May 31, 2009 as reported in the Statement of Operations:
Futures Contracts | ||
Interest Rate Contracts | $1,837,312 |
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter derivatives, the fund attempts to reduce its exposure to counterparty credit risk by entering into an ISDA Master Agreement on a bilateral basis with each of the counterparties with whom it undertakes a significant volume of transactions. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the funds credit risk to such counterparty equal to any amounts payable by the fund under the applicable transactions, if any. However, absent an event of default by the counterparty or
37
Notes to Financial Statements (unaudited) continued
a termination of the agreement, the ISDA Master Agreement does not result in an offset of reported balance sheet assets and liabilities across transactions between the fund and the applicable counterparty.
Collateral requirements differ by type of derivative. Collateral or margin requirements are set by the broker or exchange clearing house for exchange traded derivatives (i.e., futures and exchange-traded options) while collateral terms are contract specific for over-the-counter traded derivatives (i.e., forwards, swaps and over-the-counter options). For derivatives traded under an ISDA Master Agreement, the collateral requirements are netted across all transactions traded under such agreement and one amount is posted from one party to the other to collateralize such obligations. Cash collateral that has been pledged to cover obligations of the fund under derivative contracts will be reported separately on the Statement of Assets and Liabilities as restricted cash. Securities collateral pledged for the same purpose is noted in the Portfolio of Investments.
Futures Contracts The fund may use futures contracts to gain or to hedge against broad market, interest rate or currency exposure. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the fund is required to deposit with the broker, either in cash or securities, an initial margin in an amount equal to a certain percentage of the notional amount of the contract. Subsequent payments (variation margin) are made or received by the fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gain or loss by the fund until the contract is closed or expires at which point the gain or loss on futures is realized.
The fund bears the risk of interest rates, exchange 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 may present less counterparty risk to the fund since the contracts are exchange traded and the exchanges clearinghouse guarantees payments to the broker, there is still counterparty credit risk due to the insolvency of the broker. The funds 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.
Indemnifications Under the funds 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 funds maximum exposure under
38
Notes to Financial Statements (unaudited) continued
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. The fund may receive proceeds from litigation settlements. Any proceeds received from litigation involving portfolio holdings are reflected in the Statement of Operations in realized gain/loss if the security has been disposed of by the fund or in unrealized gain/loss if the security is still held by the fund. Any other proceeds from litigation not related to portfolio holdings are reflected as other income in the Statement of Operations.
Legal fees and other related expenses incurred to preserve and protect the value of a security owned are added to the cost of the security; other legal fees are expensed. Capital infusions made directly to the security issuer, which are generally non-recurring, incurred to protect or enhance the value of high-yield debt securities, are reported as additions to the cost basis of the security. Costs that are incurred to negotiate the terms or conditions of capital infusions or that are expected to result in a plan of reorganization are reported as realized losses. Ongoing costs incurred to protect or enhance an investment, or costs incurred to pursue other claims or legal actions, are expensed.
Fees Paid Indirectly The funds custody fee may be reduced according to an arrangement that measures the value of cash deposited with the custodian by the fund. This amount, for the six months ended May 31, 2009, is shown as a reduction of total expenses on the Statement of Operations.
Tax Matters and Distributions The fund intends to qualify as a regulated investment company, as defined under Subchapter M of the Internal Revenue Code, and to distribute all of its taxable and tax-exempt income, including realized capital gains. As a result, no provision for federal income taxes is required. The funds federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
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
39
Notes to Financial Statements (unaudited) continued
financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.
Book/tax differences primarily relate to expiration of capital loss carryforwards, amortization and accretion of debt securities, distressed securities, and derivative transactions.
The tax character of distributions made during the current period will be determined at fiscal year end. The tax character of distributions declared to shareholders for the last fiscal year is as follows:
11/30/08 | ||
Ordinary income (including any short-term capital gains) | $3,208 | |
Tax-exempt income | 12,161,428 | |
Total distributions | $12,164,636 |
The federal tax cost and the tax basis components of distributable earnings were as follows:
As of 5/31/09 | |||
Cost of investments | $202,019,849 | ||
Gross appreciation | 6,125,832 | ||
Gross depreciation | (28,553,870 | ) | |
Net unrealized appreciation (depreciation) | $(22,428,038 | ) | |
As of 11/30/08 | |||
Undistributed ordinary income | 105,243 | ||
Undistributed tax-exempt income | 212,546 | ||
Capital loss carryforwards | (49,149,878 | ) | |
Post-October capital loss deferral | (6,271,624 | ) | |
Other temporary differences | (187,518 | ) | |
Net unrealized appreciation (depreciation) | (34,440,201 | ) |
The aggregate cost above includes prior fiscal year end tax adjustments.
As of November 30, 2008, the fund had capital loss carryforwards available to offset future realized gains. Such losses expire as follows:
11/30/09 | $(3,114,307 | ) | |
11/30/10 | (7,684,792 | ) | |
11/30/11 | (4,393,912 | ) | |
11/30/12 | (4,060,511 | ) | |
11/30/14 | (7,119,782 | ) | |
11/30/15 | (11,048,097 | ) | |
11/30/16 | (11,728,477 | ) | |
$(49,149,878 | ) |
40
Notes to Financial Statements (unaudited) continued
(3) | Transactions with Affiliates |
Investment Adviser The fund has an investment advisory agreement with Massachusetts Financial Services Company (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 funds average daily net assets (including the value of the auction preferred shares).
The investment adviser has agreed in writing to pay a portion of the funds total annual operating expenses, exclusive of interest, taxes, extraordinary expenses, brokerage and transaction costs, and investment-related expenses other than remarketing fees, such that total annual fund operating expenses do not exceed 0.87% annually of the funds average daily net assets (including the value of the auction preferred shares). This written agreement will continue until modified by the funds Board of Trustees, but such agreement will continue at least until November 30, 2009. For the six months ended May 31, 2009, this reduction amounted to $84,865 and is reflected as a reduction of total expenses in the Statement of Operations.
Transfer Agent The fund engages Computershare Trust Company, N.A. (Computershare) as the sole transfer agent for the funds 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, 2009, these fees paid to MFSC amounted to $9,739. MFSC also receives payment from the fund for out-of-pocket expenses paid by MFSC on behalf of the fund. For the six months ended May 31, 2009, the fund did not pay any out-of-pocket expenses to MFSC.
Administrator MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund. Under an administrative services agreement, the fund partially reimburses MFS the costs incurred to provide these services. The fund is charged an annual fixed amount of $17,500 plus a fee based on average daily net assets. The administrative services fee incurred for the six months ended May 31, 2009 was equivalent to an annual effective rate of 0.0250% of the funds average daily net assets (including the value of the auction 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 to 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.
41
Notes to Financial Statements (unaudited) continued
Deferred Trustee Compensation The funds former independent trustees participated in a Deferred Compensation Plan (the Plan). The funds current independent trustees are not allowed to defer compensation under the Plan. Deferred amounts represent an unsecured obligation of the fund until distributed in accordance with the Plan. Included in other assets and payable for independent trustees compensation is $9,729 of deferred trustees compensation.
Other This fund and certain other funds managed by MFS (the funds) have entered into services agreements (the Agreements) which provide for payment of fees by the funds to Tarantino LLC and Griffin Compliance LLC in return for the provision of services of an Independent Chief Compliance Officer (ICCO) and Assistant ICCO, respectively, for the funds. The ICCO and Assistant ICCO are officers of the funds and the sole members of Tarantino LLC and Griffin Compliance LLC, respectively. The funds can terminate the Agreements with Tarantino LLC and Griffin Compliance LLC at any time under the terms of the Agreements. For the six months ended May 31, 2009, the aggregate fees paid by the fund to Tarantino LLC and Griffin Compliance LLC were $719 and are included in miscellaneous expense on the Statement of Operations. MFS has agreed to reimburse the fund for a portion of the payments made by the fund in the amount of $345, which is shown as a reduction of total expenses in the Statement of Operations. Additionally, MFS has agreed to bear all expenses associated with office space, other administrative support, and supplies provided to the ICCO and Assistant ICCO.
(4) | Portfolio Securities |
Purchases and sales of investments, other than U.S. Government securities, purchased option transactions, and short-term obligations, aggregated $25,161,452 and $16,962,040, respectively.
(5) | Shares of Beneficial Interest |
The funds 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, 2009 and the year ended November 30, 2008, the fund did not repurchase any shares. Transactions in fund shares were as follows:
Six months ended 5/31/09 |
Year ended 11/30/08 | |||||||
Shares | Amount | Shares | Amount | |||||
Shares issued to shareholders in reinvestment of distributions | 41,801 | $147,606 | 56,638 | $273,134 |
(6) | Line of Credit |
The fund and certain other funds managed by MFS participate in a $1.1 billion unsecured committed line of credit, subject to a $1 billion sublimit, provided
42
Notes to Financial Statements (unaudited) continued
by a syndication of banks under a credit agreement. Borrowings may be made for temporary financing needs. Interest is charged to each fund, based on its borrowings, generally at a rate equal to the higher of the Federal Reserve funds rate or one month LIBOR plus 1.25%. A commitment fee, based on the average daily, unused portion of the committed line of credit, is allocated among the participating funds at the end of each calendar quarter. In addition, the fund and other funds managed by MFS have established unsecured uncommitted borrowing arrangements with certain banks for temporary financing needs. Interest is charged to each fund, based on its borrowings, at a rate equal to the Federal Reserve funds rate plus an agreed spread. For the six months ended May 31, 2009, the funds commitment fee and interest expense were $363 and $0, respectively, and are included in miscellaneous expense on the Statement of Operations.
(7) | Auction Preferred Shares |
The fund has 3,000 shares issued and outstanding of Auction Preferred Shares (APS), series F. Dividends are cumulative at a rate that is reset every seven days through an auction process. If the APS are unable to be remarketed on a remarketing date as part of the auction process, the fund would be required to pay the maximum applicable rate on APS to holders of such shares for successive dividend periods until such time when the shares are successfully remarketed. The maximum rate on APS is equal to 110% of the higher of (i) the Taxable Equivalent of the Short-Term Municipal Bond Rate or (ii) the AA Composite Commercial Paper Rate.
Since February 2008, regularly scheduled auctions for APS issued by closed end funds, including MFS High Yield Municipal Trust, have consistently failed because of insufficient demand (bids to buy shares) to meet the supply (shares offered for sale) at each auction. In a failed auction, APS holders cannot sell their shares tendered for sale. While repeated auction failures have affected the liquidity for APS, they do not constitute a default or automatically alter the credit quality of the APS, and APS holders have continued to receive dividends at the previously defined maximum rate. During the six months ended May 31, 2009, the APS dividend rates ranged from 0.47% to 2.11%. For the six months ended May 31, 2009, the average dividend rate was 0.86%. These developments with respect to APS do not affect the management or investment policies of the fund. However, one implication of these auction failures for Common shareholders is that the funds cost of leverage will be higher than it otherwise would have been had the auctions continued to be successful. As a result, the funds future Common share earnings may be lower than they otherwise would have been. To the extent that investments are purchased with the issuance of preferred shares, the funds net asset value will increase or decrease at a greater rate than a comparable unleveraged fund.
43
Notes to Financial Statements (unaudited) continued
The fund pays an annual fee equivalent to 0.25% of the preferred share liquidation value for remarketing efforts associated with the preferred auction. Effective May 1, 2009, this fee will be reduced to 0.15% when auctions fail. The APS are redeemable at the option of the fund in whole or in part at the redemption price equal to $25,000 per share, plus accumulated and unpaid dividends. The APS are also subject to mandatory redemption if certain requirements relating to its asset maintenance coverage are not satisfied. The fund is required to maintain certain asset coverage with respect to the APS as defined in the funds By-Laws and the Investment Company Act of 1940 and, as such is not permitted to declare common share dividends unless the funds APS have a minimum asset coverage ratio of 200% after declaration of the common share dividends.
44
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Trustees and Shareholders of the MFS High Yield Municipal Trust
We have reviewed the accompanying statement of assets and liabilities of the MFS High Yield Municipal Trust (the Fund), including the portfolio of investments, as of May 31, 2009, and the related statements of operations, changes in net assets, and financial highlights for the six-month period ended May 31, 2009. These interim financial statements and financial highlights are the responsibility of the Funds 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, 2008, and the financial highlights for each of the two years in the period ended November 30, 2008, and in our report dated January 20, 2009, we expressed an unqualified opinion on such statement of changes in net assets and financial highlights. The financial highlights for each of the three years in the period ended November 30, 2006 were audited by another independent registered accounting firm whose report, dated January 25, 2007, expressed an unqualified opinion on those financial highlights.
Boston, Massachusetts
July 17, 2009
45
BOARD REVIEW OF INVESTMENT ADVISORY AGREEMENT
A discussion regarding the Boards two most recent reviews and renewals of the funds Investment Advisory Agreement with MFS is available by clicking on the funds name under Closed End Funds in the Products and Performance section of the MFS Web site (mfs.com).
PROXY VOTING POLICIES AND INFORMATION
A
general description of the MFS funds proxy voting policies and procedures is available without charge, upon request, by calling
1-800-225-2606, by visiting the Proxy Voting section of mfs.com or by visiting the SECs 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, 2008 is available without charge by visiting the Proxy Voting section of mfs.com or by visiting the SECs 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. The funds Form N-Q 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. The funds Form N-Q is available on the EDGAR database on the Commissions Internet Web site at http://www.sec.gov, and copies of this information 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.
A shareholder can also obtain the quarterly portfolio holdings report at mfs.com.
46
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
500 Boylston Street, Boston, MA 02116 | New York Stock Exchange Symbol: CMU |
ITEM 2. | CODE OF ETHICS. |
The Registrant has not amended any provision in its Code of Ethics (the Code) that relates to any element of the Codes definition enumerated in paragraph (b) of Item 2 of this Form N-CSR.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable for semi-annual reports.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable for semi-annual reports.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable for semi-annual reports.
ITEM 6. | SCHEDULE OF INVESTMENTS |
A schedule of investments for each series of the Registrant is included as part of the report to shareholders of such series under Item 1 of this Form N-CSR.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable for semi-annual reports.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
There were no changes during this period.
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 | ||||
12/01/08-12/31/08 | 0 | N/A | 0 | 2,781,028 | ||||
1/01/09-1/31/09 | 0 | N/A | 0 | 2,781,028 | ||||
2/01/09-2/28/09 | 0 | N/A | 0 | 2,781,028 | ||||
3/01/09-3/31/09 | 0 | N/A | 0 | 2,787,762 | ||||
4/01/09-4/30/09 | 0 | N/A | 0 | 2,787,762 | ||||
5/01/09-5/31/09 |
0 | N/A | 0 | 2,787,762 | ||||
Total |
0 | 0 | ||||||
Note: The Board of Trustees approves procedures to repurchase shares annually. The notification to shareholders of the program is part of the semi-annual and annual reports sent to shareholders. These annual programs begin on March 1st of each year. The programs conform to the conditions of Rule 10b-18 of the securities Exchange Act of 1934 and limit the aggregate number of shares that may be purchased in each annual period (March 1 through the following February 28) to 10% of the Registrants outstanding shares as of the first day of the plan year (March 1). The aggregate number of shares available for purchase for the March 1, 2009 plan year is 2,787,762.
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 Registrants 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 registrants 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 registrants 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 Commissions rules and forms. |
(b) | There were no changes in the registrants 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 registrants internal control over financial reporting. |
ITEM 12. | EXHIBITS. |
(a) | File the exhibits listed below as part of this form. Letter or number the exhibits in the sequence indicated. |
(1) | Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. |
(2) | A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2): Attached hereto. |
(b) | If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed filed for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference: Attached hereto. |
Notice
A copy of the Agreement and Declaration of Trust, as amended, of the Registrant is on file with the Secretary of State of the Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant MFS HIGH YIELD MUNICIPAL TRUST
By (Signature and Title)* | MARIA F. DWYER | |
Maria F. Dwyer, President |
Date: July 17, 2009
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)* | MARIA F. DWYER | |
Maria F. Dwyer, President (Principal Executive Officer) |
Date: July 17, 2009
By (Signature and Title)* | JOHN M. CORCORAN | |
John M. Corcoran, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: July 17, 2009
* | Print name and title of each signing officer under his or her signature. |