MFS HIGH INCOME MUNICIPAL TRUST N-CSRS
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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-5754

MFS HIGH INCOME MUNICIPAL TRUST

(Exact name of registrant as specified in charter)

111 Huntington Avenue, Massachusetts 02199

(Address of principal executive offices) (Zip code)

Susan S. Newton

Massachusetts Financial Services Company

111 Huntington Avenue

Boston, Massachusetts 02199

(Name and address of agents for service)

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

Date of fiscal year end: November 30

Date of reporting period: May 31, 2013


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ITEM 1. REPORTS TO STOCKHOLDERS.


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SEMIANNUAL REPORT

May 31, 2013

 

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MFS® HIGH INCOME

MUNICIPAL TRUST

 

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CXE-SEM

 


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MFS® HIGH INCOME MUNICIPAL TRUST

New York Stock Exchange Symbol: CXE

 

Letter from the Chairman and CEO     1   
Portfolio composition     2   
Portfolio managers’ profiles     4   
Other notes     4   
Portfolio of investments     5   
Statement of assets and liabilities     29   
Statement of operations     30   
Statements of changes in net assets     31   
Statement of cash flows     32   
Financial highlights     33   
Notes to financial statements     35   
Report of independent registered public accounting firm     47   
Board review of investment advisory agreement     48   
Proxy voting policies and information     48   
Quarterly portfolio disclosure     48   
Further information     48   
Contact information    back cover   

 

 

 

NOT FDIC INSURED Ÿ MAY LOSE VALUE Ÿ NO BANK GUARANTEE


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LETTER FROM THE CHAIRMAN AND CEO

 

Dear Shareholders:

With the year almost half over, the global economy continues to grind forward slowly, weighed down by various austerity measures. The U.S. economy remains a steadying

force with resilient consumers, who took the payroll tax increase in stride and did not seem fazed by the sequestration’s early impact. The U.S. housing market recovery remains robust. With U.S. consumer sentiment rising to multi-year highs, the country’s economic outlook remains positive, except for an anticipated mid-year sequestration-related slowdown. However, market volatility has been heightened, with renewed expectations of a shift in U.S. Federal Reserve policy and a tapering of its monthly bond-buying program.

Japan has been another bright spot, with signs of a turnaround prompted by “Abenomics,” the stimulus policies of Prime

Minister Shinzo Abe. Consumer and business sentiment have risen, along with prospects for exporters, who gain as a devalued yen means less expensive products overseas and boosted sales. The Japanese stock market advanced more than 30% from January through May. However, doubts remain over whether Abenomics will succeed in lifting Japan out of its long-term deflationary slump. The major deterrent to global growth remains the eurozone’s chronic contraction, which has weighed on that 17-member region. China has seen its factory activity decelerate, which is worrisome news for the country’s trading partners.

As always, managing risk in the face of uncertainty remains a top priority for investors. At MFS®, our uniquely collaborative investment process employs integrated, global research and active risk management. Our global team of investment professionals shares ideas and evaluates opportunities across continents, investment disciplines and asset classes — all with a goal of building better insights, and ultimately better results, for our clients.

We are mindful of the many economic challenges investors face, and believe it is more important than ever to maintain a long-term view and employ time-tested principles, such as asset allocation and diversification. We remain confident that our unique approach can serve investors well as they work with their financial advisors to identify and pursue the most suitable opportunities.

Respectfully,

 

LOGO

Robert J. Manning

Chairman and Chief Executive Officer

MFS Investment Management®

July 17, 2013

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

 

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PORTFOLIO COMPOSITION

 

Portfolio structure at market value

 

 

 

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Top five industries reflecting equivalent exposure of derivative positions (i)  
Healthcare Revenue – Hospitals     33.9%   
Healthcare Revenue – Long Term Care     16.2%   
Universities – Colleges     8.5%   
Tobacco     8.1%   
U.S. Treasury Securities (j)     (19.6)%   

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

 

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Composition including fixed income credit quality (a)(i)    
AAA     8.6%   
AA     30.3%   
A     27.6%   
BBB     37.0%   
BB     8.4%   
B     10.4%   
C (o)     0.0%   
Not Rated (j)     6.3%   
Cash & Other     (28.6)%   
Portfolio facts (i)  
Average Duration (d)     11.9   
Average Effective Maturity (m)     19.3 yrs.   
 

 

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Portfolio Composition – continued

 

(a) For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. Not Rated includes fixed income securities, including fixed income futures contracts, which have not been rated by any rating agency. Cash & Other includes cash, other assets less liabilities, offsets to derivative positions, and short-term securities. The fund may not hold all of these instruments. The fund is not rated by these agencies.
(d) Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move.
(i) For purposes of this presentation, the components include the market value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. The bond component will include any accrued interest amounts. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than market value. Where the fund holds convertible bonds, these are treated as part of the equity portion of the portfolio.
(j) For the purpose of managing the fund’s duration, the fund holds short treasury futures with a bond equivalent exposure of (19.6)%, which reduce the fund’s interest rate exposure but not its credit exposure.
(m) In determining an instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity.
(o) Less than 0.1%.

From time to time “Cash & Other Net Assets” may be negative due to the aggregate liquidation value of variable rate municipal term preferred shares, timing of cash receipts, and/or equivalent exposure from any derivative holdings.

Percentages are based on net assets, including the value of auction rate preferred shares, as of 5/31/13.

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

 

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PORTFOLIO MANAGERS’ PROFILES

 

Gary Lasman     Investment Officer of MFS; employed in the investment management area of MFS since 2002. Portfolio Manager of the Fund since June 2007.
Geoffrey Schechter     Investment Officer of MFS; employed in the investment management area of MFS since 1993. Portfolio Manager of the Fund since June 2007.

OTHER NOTES

The fund’s 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 of underlying fund shares, and shares purchased at a premium would receive less than the amount paid for them in the event of the fund’s 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.

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

 

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

 

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PORTFOLIO OF INVESTMENTS

5/31/13 (unaudited)

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

 

Municipal Bonds - 150.7%                 
Issuer    Shares/Par     Value ($)  
Airport Revenue - 5.5%                 
Burlington, VT, Airport Rev., “A”, 4%, 2028    $ 110,000      $ 106,721   
Denver, CO, City & County Airport Systems Rev., “A”, 5%, 2027      210,000        236,032   
Denver, CO, City & County Airport Systems Rev., “A”, 5%, 2028      205,000        229,194   
Denver, CO, City & County Airport Systems Rev., “B”, 5%, 2032      410,000        460,492   
Denver, CO, City & County Airport, “B”, ETM, 6.125%, 2025 (c)      2,840,000        2,848,208   
Denver, CO, City & County Airport, “C”, ETM, 6.125%, 2025 (c)      2,280,000        3,012,815   
Houston, TX, Airport System Rev., “B”, 5%, 2026      210,000        239,908   
Houston, TX, Airport System Rev., Subordinate Lien, “A”, 5%, 2031      195,000        210,479   
Miami-Dade County, FL, Aviation Rev., “A”, 5%, 2031      225,000        243,628   
Port Authority of NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 2036      315,000        371,483   
Port Authority of NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 2042      360,000        420,131   
San Jose, CA, Airport Rev., “A-2”, 5.25%, 2034      960,000        1,038,470   
    

 

 

 
             $ 9,417,561   
General Obligations - General Purpose - 3.7%                 
Allegheny County, PA, “C-70”, 5%, 2037    $ 340,000      $ 365,235   
Bellwood, IL, 5.875%, 2027      200,000        197,792   
Bellwood, IL, 6.15%, 2032      300,000        295,317   
Chicago, IL, Metropolitan Water Reclamation District-Greater Chicago, “C”, 5%, 2030      1,000,000        1,144,070   
Commonwealth of Puerto Rico, Public Improvement, “A”, 5%, 2029      285,000        274,920   
Guam Government, “A”, 7%, 2039      110,000        122,758   
Las Vegas Valley, NV, Water District, “C”, 5%, 2029      1,175,000        1,338,149   
Luzerne County, PA, AGM, 6.75%, 2023      570,000        659,872   
State of California, 5.25%, 2028      425,000        494,267   
State of California, 5.25%, 2030      1,005,000        1,158,624   
State of Hawaii, “DZ”, 5%, 2031      255,000        295,662   
    

 

 

 
             $ 6,346,666   
General Obligations - Schools - 1.0%                 
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2031    $ 350,000      $ 165,445   
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2032      355,000        159,221   
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2033      715,000        304,519   
Frisco, TX, Independent School District, School Building, “B”, PSF, 3%, 2042      280,000        235,211   

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
General Obligations - Schools - continued                 
Los Angeles, CA, Unified School District, “D”, 5%, 2034    $ 210,000      $ 237,130   
San Jacinto, TX, Community College District, 5.125%, 2038      550,000        613,300   
    

 

 

 
             $ 1,714,826   
Healthcare Revenue - Hospitals - 34.5%                 
Allegheny County, PA, Hospital Development Authority Rev. (University of Pittsburgh Medical Center), “A”, 5.375%, 2029    $ 560,000      $ 631,949   
Brunswick, GA, Hospital Authority Rev. (Glynn-Brunswick Memorial Hospital), 5.625%, 2034      220,000        242,411   
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.5%, 2040      750,000        824,993   
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.75%, 2040      165,000        184,351   
California Health Facilities Financing Authority Rev. (St. Joseph Health System), “A”, 5.75%, 2039      125,000        143,426   
California Health Facilities Financing Authority Rev. (Sutter Health), “A”, 5%, 2042      1,000,000        1,052,570   
California Health Facilities Financing Authority Rev. (Sutter Health), “B”, 5.875%, 2031      835,000        981,000   
California Statewide Communities Development Authority Rev. (Catholic Healthcare West), “K”, ASSD GTY, 5.5%, 2041      1,545,000        1,682,706   
Cullman County, AL, Health Care Authority (Cullman Regional Medical Center), “A”, 6.75%, 2029      75,000        81,083   
Delaware County, PA, Authority Rev. (Mercy Health Corp.), ETM, 6%, 2016 (c)      835,000        907,136   
Delaware County, PA, Authority Rev. (Mercy Health Corp.), ETM, 6%, 2026 (c)      1,000,000        1,097,350   
Duluth, MN, Economic Development Authority Health Care Facilities Rev. (St. Luke’s Hospital Authority Obligated Group), 5.75%, 2027      170,000        180,472   
Duluth, MN, Economic Development Authority Health Care Facilities Rev. (St. Luke’s Hospital Authority Obligated Group), 5.75%, 2032      375,000        399,150   
Duluth, MN, Economic Development Authority Health Care Facilities Rev. (St. Luke’s Hospital Authority Obligated Group), 6%, 2039      445,000        478,678   
Gallia County, OH, Hospital Facilities Rev. (Holzer Health Systems), “A”, 8%, 2042      1,195,000        1,374,716   
Harris County, TX, Cultural Education Facilities Finance Corp. Medical Facilities Rev. (Baylor College of Medicine), “D”, 5.625%, 2032      330,000        372,322   
Harris County, TX, Health Facilities Development Corp., Hospital Rev. (Memorial Hermann Healthcare Systems), “B”, 7.25%, 2018 (c)      235,000        311,923   
Idaho Health Facilities Authority Rev. (IHC Hospitals, Inc.), ETM, 6.65%, 2021 (c)      1,750,000        2,314,410   
Illinois Finance Authority Rev. (Advocate Healthcare), 4%, 2047      390,000        360,036   
Illinois Finance Authority Rev. (Kewanee Hospital), 5.1%, 2031      670,000        703,962   
Illinois Finance Authority Rev. (Provena Health), “A”, 7.75%, 2034      620,000        790,550   
Illinois Finance Authority Rev. (Silver Cross Hospital & Medical Centers), 6.875%, 2038      615,000        731,536   

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Healthcare Revenue - Hospitals - continued                 
Indiana Health & Educational Facilities Finance Authority Rev. (Sisters of St. Francis Health Services, Inc.), “E”, AGM, 5.25%, 2041    $ 145,000      $ 151,484   
Indiana Health & Educational Facilities Finance Authority, Hospital Rev. (Clarian Health), “A”, 5%, 2039      2,255,000        2,390,638   
Indiana Health & Educational Facilities Finance Authority, Hospital Rev. (Community Foundation of Northwest Indiana), 5.5%, 2037      1,220,000        1,312,281   
Indiana Health & Educational Financing Authority Rev. (Community Foundation of Northwest Indiana ), “A”, 6%, 2034      575,000        604,952   
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.25%, 2031      380,000        430,905   
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.375%, 2041      240,000        273,127   
Johnson City, TN, Health & Educational Facilities Board, Hospital Rev. (Mountain States Health Alliance), “A”, 5.5%, 2031      1,455,000        1,550,390   
Johnson City, TN, Health & Educational Facilities Board, Hospital Rev. (Mountain States Health Alliance), “A”, 5.5%, 2036      535,000        565,254   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), “A”, 5.375%, 2024      375,000        427,001   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), “A”, 5.625%, 2027      125,000        141,955   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Owensboro Medical Health System), “A”, 6.375%, 2040      735,000        861,030   
Knox County, IN, Economic Development Rev. (Good Samaritan Hospital), “A”, 5%, 2037      65,000        68,994   
Knox County, IN, Economic Development Rev. (Good Samaritan Hospital), “A”, 5%, 2042      130,000        137,397   
Lake County, OH, Hospital Facilities Rev. (Lake Hospital Systems, Inc.), 5.625%, 2029      565,000        620,133   
Laramie County, WY, Hospital Rev. (Cheyenne Regional Medical Center Project), 5%, 2032      50,000        54,419   
Laramie County, WY, Hospital Rev. (Cheyenne Regional Medical Center Project), 5%, 2037      125,000        133,309   
Laramie County, WY, Hospital Rev. (Cheyenne Regional Medical Center Project), 5%, 2042      250,000        263,328   
Louisiana Public Facilities Authority Hospital Rev. (Lake Charles Memorial Hospital), 6.375%, 2034      1,125,000        1,215,720   
Louisville & Jefferson County, KY, Metro Government Health Facilities Rev. (Jewish Hospital & St. Mary’s Healthcare), 6.125%, 2018 (c)      1,685,000        2,081,160   
Louisville & Jefferson County, KY, Metropolitan Government Healthcare Systems Rev. (Norton Healthcare, Inc.), 5.25%, 2036      420,000        440,420   
Lufkin, TX, Health Facilities Development Corp. Rev. (Memorial Health System), 5.5%, 2037      75,000        77,470   

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Healthcare Revenue - Hospitals - continued                 
Martin County, FL, Health Facilities Authority Rev. (Martin Memorial Medical Center), 5.5%, 2042    $ 380,000      $ 411,156   
Maryland Health & Higher Educational Facilities Authority Rev. (Anne Arundel Health System, Inc.), “A”, 6.75%, 2039      945,000        1,150,906   
Massachusetts Development Finance Agency Rev. (Tufts Medical Center), “I”, 7.25%, 2032      555,000        686,124   
Massachusetts Health & Educational Facilities Authority Rev. (Jordan Hospital), “E”, 6.75%, 2033      500,000        507,450   
Michigan Finance Authority Rev. (Trinity Health Corp.), 5%, 2035      1,250,000        1,384,738   
Monroe County, PA, Hospital Authority Rev. (Pocono Medical Center), “A”, 5%, 2032      65,000        69,384   
Monroe County, PA, Hospital Authority Rev. (Pocono Medical Center), “A”, 5%, 2041      45,000        46,844   
Montgomery, AL, Medical Clinic Board Health Care Facility Rev. (Jackson Hospital & Clinic), 5.25%, 2031      155,000        159,969   
Montgomery, AL, Medical Clinic Board Health Care Facility Rev. (Jackson Hospital & Clinic), 5.25%, 2036      800,000        818,760   
Muskingum County, OH, Hospital Facilities Rev. (Genesis Health System Obligated Group), 5%, 2033      225,000        227,050   
Muskingum County, OH, Hospital Facilities Rev. (Genesis Health System Obligated Group), 5%, 2044      585,000        576,822   
Muskingum County, OH, Hospital Facilities Rev. (Genesis Health System Obligated Group), 5%, 2048      225,000        218,491   
Nassau County, NY, Local Economic Assistance Corp. Rev. (Winthrop-University Hospital Association Project), 5%, 2032      105,000        115,605   
Nassau County, NY, Local Economic Assistance Corp. Rev. (Winthrop-University Hospital Association Project), 5%, 2037      205,000        220,139   
New Hampshire Business Finance Authority Rev. (Elliot Hospital Obligated Group), “A”, 6%, 2027      745,000        860,274   
New Hampshire Health & Education Facilities Authority Rev. (Memorial Hospital at Conway), 5.25%, 2036      800,000        806,808   
New Hanover County, NC, Hospital Rev., AGM, 5.125%, 2031      1,130,000        1,230,604   
New Jersey Health Care Facilities, Financing Authority Rev. (St. Peter’s University Hospital), 5.75%, 2037      700,000        757,379   
New Mexico Hospital Equipment Loan Council, Hospital Rev. (Rehoboth McKinley Christian Hospital), “A”, 5%, 2017      260,000        262,033   
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.5%, 2030      245,000        285,797   
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.25%, 2035      150,000        170,375   
Norman, OK, Regional Hospital Authority Rev., 5%, 2027      195,000        203,527   
Norman, OK, Regional Hospital Authority Rev., 5.375%, 2029      115,000        119,503   
Norman, OK, Regional Hospital Authority Rev., 5.375%, 2036      305,000        314,144   

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Healthcare Revenue - Hospitals - continued                 
North Carolina Medical Care Commission (Stanly Health Services, Inc.), 6.375%, 2029    $ 1,915,000      $ 1,922,564   
Olympia, WA, Healthcare Facilities Authority Rev. (Catholic Health Initiatives), “D”, 6.375%, 2036      1,405,000        1,690,988   
Palomar Pomerado Health Care District, CA, COP, 6.75%, 2039      1,125,000        1,258,481   
Rhode Island Health & Educational Building Corp. Rev., Hospital Financing (Lifespan Obligated Group), “A”, ASSD GTY, 7%, 2039      840,000        963,514   
Royal Oak, MI, Hospital Finance Authority Rev. (William Beaumont Hospital), 8.25%, 2039      660,000        832,630   
Salida, CO, Hospital District Rev., 5.25%, 2036      889,000        904,362   
Skagit County, WA, Public Hospital District No. 001 Rev. (Skagit Valley Hospital), 5.75%, 2032      120,000        127,235   
South Dakota Health & Educational Facilities Authority Rev. (Avera Health), “A”, 5%, 2042      135,000        141,383   
South Dakota Health & Educational Facilities Authority Rev. (Sanford), “E”, 5%, 2037      110,000        118,370   
South Dakota Health & Educational Facilities Authority Rev. (Sanford), “E”, 5%, 2042      375,000        399,900   
South Lake County, FL, Hospital District Rev. (South Lake Hospital), 6.375%, 2034      500,000        508,265   
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6%, 2029      175,000        199,238   
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6.25%, 2039      100,000        113,745   
Southeastern Ohio Port Authority, Hospital Facilities Rev. (Memorial Health System), 5.75%, 2032      380,000        416,662   
Southeastern Ohio Port Authority, Hospital Facilities Rev. (Memorial Health System), 6%, 2042      305,000        335,073   
Sullivan County, TN, Health, Educational & Housing Facilities Board Hospital Rev. (Wellmont Health Systems Project), “C”, 5.25%, 2036      225,000        238,077   
Sumner County, TN, Health, Educational & Housing Facilities Board Rev. (Sumner Regional Health Systems, Inc.), “A”, 5.5%, 2046 (a)(d)      475,000        1,183   
Tyler, TX, Health Facilities Development Corp. (East Texas Medical Center), “A”, 5.25%, 2032      290,000        309,079   
Tyler, TX, Health Facilities Development Corp. (East Texas Medical Center), “A”, 5.375%, 2037      235,000        247,342   
Washington Health Care Facilities Authority Rev. (Multicare Health Systems), “B”, ASSD GTY, 6%, 2039      560,000        636,322   
Washington Health Care Facilities Authority Rev. (Providence Health & Services), “A”, 5%, 2033      1,395,000        1,554,281   
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), 6.4%, 2033      525,000        526,475   
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 2026      250,000        278,325   

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Healthcare Revenue - Hospitals - continued                 
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 2028    $ 75,000      $ 81,447   
Wisconsin Health & Educational Facilities Authority Rev. (Fort Healthcare, Inc.), 5.75%, 2029      1,000,000        1,037,880   
Wisconsin Health & Educational Facilities Authority Rev. (Meritor Hospital), “A”, 5.5%, 2031      920,000        1,019,277   
Wisconsin Health & Educational Facilities Authority Rev. (Meritor Hospital), “A”, 6%, 2041      605,000        681,490   
Wisconsin Health & Educational Facilities Authority Rev. (Wheaton Franciscan Services), 5.25%, 2034      865,000        921,104   
Wisconsin Health & Educational Facilities Authority Rev. (Wheaton Franciscan Services), “A”, 5.25%, 2025      500,000        503,860   
Wood County, OH, Hospital Facilities Rev. (Wood County Hospital Project), 5%, 2037      180,000        188,446   
Wood County, OH, Hospital Facilities Rev. (Wood County Hospital Project), 5%, 2042      180,000        187,877   
    

 

 

 
             $ 59,596,854   
Healthcare Revenue - Long Term Care - 16.4%                 
Abilene, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Centers, Inc.), “A”, 7%, 2033    $ 64,000      $ 66,599   
Bucks County, PA, Industrial Development Authority Retirement Community Rev. (Ann’s Choice, Inc.), “A”, 6.125%, 2025      1,000,000        1,015,740   
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 2027      120,000        122,748   
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 2037      155,000        156,333   
California Statewide Communities Development Authority Rev. (Episcopal Communities & Services for Seniors Obligated Group), 5%, 2027      20,000        21,932   
California Statewide Communities Development Authority Rev. (Episcopal Communities & Services for Seniors Obligated Group), 5%, 2032      25,000        27,020   
California Statewide Communities Development Authority Rev. (Episcopal Communities & Services for Seniors Obligated Group), 5%, 2042      70,000        74,730   
Chester County, PA, Industrial Development Authority Rev. (RHA Nursing Home), 8.5%, 2032      1,425,000        1,378,773   
Colorado Health Facilities Authority Rev. (American Baptist Homes), “A”, 5.9%, 2037      530,000        534,606   
Colorado Health Facilities Authority Rev. (Christian Living Communities Project), 5.125%, 2030      40,000        42,580   
Colorado Health Facilities Authority Rev. (Christian Living Communities Project), 5.25%, 2037      55,000        58,226   

 

10


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Healthcare Revenue - Long Term Care - continued                 
Colorado Health Facilities Authority Rev. (Covenant Retirement Communities, Inc.), 5%, 2035    $ 1,400,000      $ 1,442,896   
Cumberland County, PA, Municipal Authority Rev. (Asbury Atlantic, Inc.), 5.25%, 2041      355,000        361,606   
Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries), 6.125%, 2029      890,000        991,113   
Fulton County, GA, Residential Care Facilities, Elderly Authority Rev. (Canterbury Court), “A”, 6.125%, 2034      750,000        762,510   
Hawaii Department of Budget & Finance, Special Purpose Rev. (15 Craigside Project), “A”, 8.75%, 2029      105,000        123,988   
Hawaii Department of Budget & Finance, Special Purpose Rev. (15 Craigside Project), “A”, 9%, 2044      180,000        213,359   
Houston, TX, Health Facilities Development Corp. (Buckingham Senior Living Community), “A”, 7.125%, 2014 (c)      500,000        528,860   
Illinois Finance Authority Rev. (Evangelical Retirement Homes of Greater Chicago, Inc.), 7.25%, 2045      1,050,000        1,159,662   
Illinois Finance Authority Rev. (Franciscan Communities, Inc.), “A”, 4.75%, 2033      245,000        242,501   
Illinois Finance Authority Rev. (Franciscan Communities, Inc.), “A”, 5.125%, 2043      265,000        269,640   
Illinois Finance Authority Rev. (Lutheran Home & Services), 5.625%, 2042      230,000        238,912   
Illinois Finance Authority Rev. (Smith Village), “A”, 6.25%, 2035      1,250,000        1,294,838   
Illinois Health Facilities Authority Rev. (Smith Crossing), “A”, 7%, 2032      725,000        741,871   
Iowa Finance Authority, Health Care Facilities Rev. (Care Initiatives), “B”, 5.75%, 2018      365,000        365,686   
Iowa Finance Authority, Health Care Facilities Rev. (Care Initiatives), “B”, 5.75%, 2028      1,475,000        1,476,903   
Kentucky Economic Development Finance Authority Health Care Rev. (Masonic Homes of Kentucky, Inc.), 5.375%, 2042      170,000        173,720   
Kentucky Economic Development Finance Authority Health Care Rev. (Masonic Homes of Kentucky, Inc.), 5.5%, 2045      95,000        96,960   
La Verne, CA, COP (Brethren Hillcrest Homes), “B”, 6.625%, 2025      655,000        662,644   
Marion, IA, Health Care Facilities Rev., First Mortgage (AHF/Kentucky-Iowa, Inc.), 8%, 2029      514,000        524,285   
Massachusetts Development Finance Agency Rev. (Adventcare), “A”, 6.75%, 2037      895,000        949,148   
Massachusetts Development Finance Agency Rev. (Alliance Health of Brockton, Inc.), “A”, 7.1%, 2032      1,115,000        1,115,178   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 2031      168,995        157,289   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 2039      42,309        38,556   

 

11


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Healthcare Revenue - Long Term Care - continued                 
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-2”, 5.5%, 2046    $ 11,291      $ 8,981   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), Capital Appreciation, “B”, 0%, 2056      56,165        399   
Massachusetts Development Finance Agency Rev. (Loomis Communities, Inc.), “A”, 5.625%, 2015      130,000        130,159   
Massachusetts Development Finance Agency Rev. (Loomis Communities, Inc.), “A”, 6.9%, 2032      100,000        101,138   
Massachusetts Development Finance Agency Rev. (The Groves in Lincoln), “A”, 7.75%, 2039      100,000        47,000   
Massachusetts Development Finance Agency Rev. (The Groves in Lincoln), “A”, 7.875%, 2044      150,000        70,500   
Metropolitan Government of Nashville & Davidson County, TN, Health & Educational Facilities Board, First Mortgage, 8.5%, 2029      1,028,000        1,037,910   
Montgomery County, PA, Industrial Development Authority Retirement Community Rev. (ACTS Retirement - Life Communities, Inc.), 5%, 2028      440,000        491,379   
Montgomery County, PA, Industrial Development Authority Retirement Community Rev. (ACTS Retirement - Life Communities, Inc.), 5%, 2029      165,000        181,865   
Montgomery County, PA, Industrial Development Authority Rev. (Whitemarsh Continuing Care), 6.125%, 2028      250,000        253,720   
Montgomery County, PA, Industrial Development Authority Rev. (Whitemarsh Continuing Care), 6.25%, 2035      750,000        760,260   
New Jersey Economic Development Authority Rev. (Lions Gate), “A”, 5.75%, 2025      205,000        207,907   
New Jersey Economic Development Authority Rev. (Lions Gate), “A”, 5.875%, 2037      830,000        834,706   
New Jersey Economic Development Authority Rev. (Seabrook Village, Inc.), 5.25%, 2026      50,000        51,764   
Norfolk, VA, Redevelopment & Housing Authority Rev. (Fort Norfolk Retirement Community), “A”, 6.125%, 2035      140,000        140,511   
Pell City, AL, Special Care Facilities, Financing Authority Rev. (Noland Health Services, Inc.), 5%, 2039      225,000        239,893   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement System, Inc.), “A”, 5.45%, 2038      964,000        872,005   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement System, Inc.), “A”, 6.05%, 2046      366,000        359,796   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement System, Inc.), “C”, 6.25%, 2053      32,000        31,444   

 

12


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Healthcare Revenue - Long Term Care - continued                 
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement System, Inc.), “D”, 6.05%, 2046    $ 64,000      $ 62,915   
Shelby County, TN, Health, Educational & Housing Facilities Board Rev. (Germantown Village), “A”, 7.25%, 2013 (c)      350,000        361,662   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), “A”, 6%, 2032      260,226        180,737   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), “A”, 6%, 2047      238,838        156,926   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), Capital Appreciation, “B”, 0%, 2047      111,525        2,238   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), Capital Appreciation, “B”, 0%, 2047      102,359        2,054   
South Carolina Jobs & Economic Development Authority, Health Facilities Rev. (Lutheran Homes of South Carolina, Inc.), 5.125%, 2048      50,000        49,080   
St. John’s County, FL, Industrial Development Authority Rev. (Presbyterian Retirement), “A”, 6%, 2045      780,000        879,817   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Air Force Village Foundation, Inc.), 6.125%, 2029      65,000        72,503   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Air Force Village Foundation, Inc.), 5.125%, 2037      65,000        66,099   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Air Force Village Foundation, Inc.), 6.375%, 2044      525,000        576,140   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Stayton at Museum Way), 8.25%, 2044      980,000        1,121,100   
Tempe, AZ, Industrial Development Authority Rev. (Friendship Village), “A”, 6.25%, 2042      110,000        119,495   
Tempe, AZ, Industrial Development Authority Rev. (Friendship Village), “A”, 6.25%, 2046      85,000        92,215   
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7%, 2030      110,000        130,733   
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7.125%, 2040      165,000        194,976   
Washington County, PA, Industrial Development Authority Rev., First Mortgage (AHF/Central Project), 8.5%, 2029      1,052,000        1,059,553   
    

 

 

 
             $ 28,380,992   
Industrial Revenue - Airlines - 3.2%                 
Clayton County, GA, Development Authority Special Facilities Rev. (Delta Airlines, Inc.), “A”, 8.75%, 2029    $ 255,000      $ 320,242   
Clayton County, GA, Development Authority Special Facilities Rev. (Delta Airlines, Inc.), “B”, 9%, 2035      190,000        211,461   

 

13


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Industrial Revenue - Airlines - continued                 
Denver, CO, City & County Airport Rev. (United Airlines), 5.75%, 2032    $ 470,000      $ 495,639   
Houston, TX, Airport Systems Rev., Special Facilities (Continental Airlines, Inc. Terminal E Project), 6.75%, 2029      500,000        501,855   
Houston, TX, Airport Systems Rev., Special Facilities (Continental Airlines, Inc. Terminal E Project), 7%, 2029      250,000        251,130   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 4.875%, 2019      850,000        874,701   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.125%, 2023      455,000        485,890   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.25%, 2029 (b)      455,000        481,718   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 9%, 2033      750,000        768,900   
New York, NY, City Industrial Development Agencies Rev. (American Airlines, Inc.), 7.75%, 2031 (d)      1,005,000        1,130,992   
    

 

 

 
             $ 5,522,528   
Industrial Revenue - Chemicals - 0.9%                 
Brazos River, TX, Harbor Navigation District (Dow Chemical Co.), “B-2”, 4.95%, 2033    $ 600,000      $ 646,872   
Port of Bay, TX, City Authority (Hoechst Celanese Corp.), 6.5%, 2026      840,000        840,958   
    

 

 

 
             $ 1,487,830   
Industrial Revenue - Environmental Services - 2.3%                 
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Republic Services, Inc.), “B”, 5.25%, 2023 (b)    $ 270,000      $ 305,386   
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Waste Management, Inc.), “C”, 5.125%, 2023      845,000        915,169   
Maine Finance Authority Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), 6.25%, 2025 (b)      450,000        465,961   
Massachusetts Development Finance Agency, Resource Recovery Rev. (Covanta Energy Project), “A”, 4.875%, 2027      260,000        267,298   
Massachusetts Development Finance Agency, Resource Recovery Rev. (Covanta Energy Project), “C”, 5.25%, 2042      870,000        895,778   
Niagara County, NY, Industrial Development Agency, Solid Waste Disposal Rev. (Covanta Energy Project), “A”, 5.25%, 2042      890,000        912,935   
Vermont Economic Development Authority, Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), 4.75%, 2036 (b)      220,000        219,798   
    

 

 

 
             $ 3,982,325   
Industrial Revenue - Other - 2.6%                 
Annawan, IL, Tax Increment Rev. (Patriot Renewable Fuels LLC), 5.625%, 2018    $ 310,000      $ 287,829   

 

14


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Industrial Revenue - Other - continued                 
California Statewide Communities Development Authority Facilities (Microgy Holdings Project), 9%, 2038 (a)(d)    $ 63,113      $ 631   
Gulf Coast, TX, Industrial Development Authority Rev. (CITGO Petroleum Corp.), 4.875%, 2025      345,000        353,949   
Gulf Coast, TX, Industrial Development Authority Rev. (CITGO Petroleum Corp.), 8%, 2028      500,000        500,535   
Houston, TX, Industrial Development Corp. (United Parcel Service, Inc.), 6%, 2023      585,000        584,468   
Iowa Finance Authority Midwestern Disaster Area Rev. (Iowa Fertilizer Co.), 5%, 2019      135,000        139,145   
Iowa Finance Authority Midwestern Disaster Area Rev. (Iowa Fertilizer Co.), 5.5%, 2022      275,000        287,155   
Iowa Finance Authority Midwestern Disaster Area Rev. (Iowa Fertilizer Co.), 5.25%, 2025      275,000        283,275   
New Jersey Economic Development Authority Rev. (GMT Realty LLC), “B”, 6.875%, 2037      1,500,000        1,515,840   
St. Charles Parish, LA, Gulf Zone Opportunity Zone Rev. (Valero Energy Corp.), 4%, 2040 (b)      465,000        504,144   
    

 

 

 
             $ 4,456,971   
Industrial Revenue - Paper - 1.7%                 
Courtland, AL, Industrial Development Board Rev. (International Paper Co.), “B”, 6.25%, 2025    $ 1,000,000      $ 1,004,730   
Escambia County, FL, Environmental Improvement Rev. (International Paper Co.), “A”, 5%, 2026      1,270,000        1,274,204   
Escambia County, FL, Environmental Improvement Rev. (International Paper Co.), “A”, 4.75%, 2030      370,000        370,237   
Phenix City, AL, Industrial Development Board Environmental Improvement Rev. (MeadWestvaco Coated Board Project), “A”, 4.125%, 2035      200,000        187,746   
    

 

 

 
             $ 2,836,917   
Miscellaneous Revenue - Entertainment & Tourism - 1.1%           
Agua Caliente Band of Cahuilla Indians, CA, Rev., 5.6%, 2013 (n)    $ 230,000      $ 230,170   
Brooklyn, NY, Arena Local Development Corp. (Barclays Center Project), 6%, 2030      155,000        183,610   
Brooklyn, NY, Arena Local Development Corp. (Barclays Center Project), 6.25%, 2040      100,000        117,454   
Cow Creek Band of Umpqua Tribe of Indians, OR, “C”, 5.625%, 2026 (n)      800,000        774,664   
Louisiana Stadium & Exposition District Rev., “A”, 5%, 2031      60,000        66,560   
Louisiana Stadium & Exposition District Rev., “A”, 5%, 2036      185,000        201,972   
Seminole Tribe, FL, Special Obligation Rev., “A”, 5.25%, 2027 (n)      365,000        392,824   
    

 

 

 
             $ 1,967,254   

 

15


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Miscellaneous Revenue - Other - 5.3%                 
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, SYNCORA, 5.25%, 2024    $ 395,000      $ 427,114   
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, SYNCORA, 5%, 2034      55,000        56,389   
Cleveland-Cuyahoga County, OH, Port Authority Rev. (Columbia National Group), 5%, 2020      490,000        491,235   
Dallas, TX, Civic Center Convention Complex Rev., ASSD GTY, 5.25%, 2034      1,065,000        1,168,550   
District of Columbia Rev. (American Society Hematology), 5%, 2036      65,000        69,852   
District of Columbia Rev. (American Society Hematology), 5%, 2042      50,000        53,223   
Florida Citizens Property Insurance Corp., “A-1”, 5%, 2019      135,000        158,084   
Florida Citizens Property Insurance Corp., “A-1”, 5%, 2020      875,000        1,024,870   
Harris County, TX, Cultural Education Facilities Finance Corp. Rev. (YMCA Greater Houston Area) , 5%, 2033      150,000        160,974   
Harris County, TX, Cultural Education Facilities Finance Corp. Rev. (YMCA Greater Houston Area), 5%, 2028      70,000        76,745   
Harris County, TX, Cultural Education Facilities Finance Corp. Rev. (YMCA Greater Houston Area), 5%, 2038      140,000        147,889   
Indiana Finance Authority Rev., Ohio River Bridges Crossing Project (WVB East End Partners LLC), “A”, 5%, 2035      235,000        248,917   
Indiana Finance Authority Rev., Ohio River Bridges Crossing Project (WVB East End Partners LLC), “A”, 5%, 2040      355,000        370,112   
Massachusetts Port Authority Facilities Rev. (Conrac Project), “A”, 5.125%, 2041      50,000        54,786   
Miami-Dade County, FL, Special Obligation, “B”, 5%, 2035      255,000        276,940   
Miami-Dade County, FL, Special Obligation, “B”, 5%, 2037      635,000        685,000   
New York Liberty Development Corp., Liberty Rev. (One Bryant Park LLC), 6.375%, 2049      685,000        801,183   
New York Liberty Development Corp., Liberty Rev. (World Trade Center Project), 5%, 2044      695,000        744,373   
V Lakes Utility District, MS, Water Systems Rev., 7%, 2037      300,000        300,165   
Wisconsin Public Finance Authority, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), “B”, 5.25%, 2028      1,675,000        1,807,811   
    

 

 

 
             $ 9,124,212   
Multi-Family Housing Revenue - 3.8%                 
Broward County, FL, Housing Finance Authority Rev. (Chaves Lakes Apartments Ltd.), “A”, 7.5%, 2040    $ 735,000      $ 735,639   
Capital Trust Agency, FL, Housing Rev. (Atlantic Housing Foundation), “B”, 7%, 2032 (d)(q)      705,000        319,971   
Centerline Capital Group, Inc., FHLMC, 6.3%, 2019 (n)      1,000,000        1,155,610   
District of Columbia Housing Finance Agency (Henson Ridge), “E”, FHA, 5.1%, 2037      1,000,000        1,023,150   

 

16


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Multi-Family Housing Revenue - continued                 
Durham, NC, Durham Housing Authority Rev. (Magnolia Pointe Apartments), 5.65%, 2038    $ 1,357,833      $ 1,307,593   
Resolution Trust Corp., Pass-Through Certificates, “1993”, 8.5%, 2016 (z)      546,075        542,678   
Texas Department of Housing & Community Affairs (Pebble Brook Apartments), FNMA, 5.5%, 2018      740,000        744,669   
Wilmington, DE, Multi-Family Housing Rev. (Electra Arms Senior Associates), 6.25%, 2028      730,000        719,539   
    

 

 

 
             $ 6,548,849   
Parking - 0.2%                 
Boston, MA, Metropolitan Transit Parking Corp., Systemwide Parking Rev., 5.25%, 2036    $ 370,000      $ 416,013   
Port Revenue - 0.4%                 
Maryland Economic Development Corp. Rev. (Port America Chesapeake Terminal Project), “B”, 5.375%, 2025    $ 125,000      $ 142,409   
Maryland Economic Development Corp. Rev. (Port America Chesapeake Terminal Project), “B”, 5.75%, 2035      365,000        412,169   
Port New Orleans, LA, Board of Commissioners Port Facility Rev., “B”, 5%, 2031      60,000        65,186   
Port New Orleans, LA, Board of Commissioners Port Facility Rev., “B”, 5%, 2032      20,000        21,712   
    

 

 

 
             $ 641,476   
Sales & Excise Tax Revenue - 4.1%                 
Bolingbrook, IL, Sales Tax Rev., 6.25%, 2024    $ 750,000      $ 540,795   
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 2029      215,000        246,848   
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 2030      430,000        491,636   
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 2031      80,000        91,086   
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 2034      795,000        921,842   
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 2041      385,000        442,762   
Massachusetts Bay Transportation Authority, Sales Tax Rev., “A”, 5%, 2024 (f)      1,385,000        1,709,007   
Massachusetts School Building Authority, Dedicated Sales Tax Rev., AMBAC, 4.75%, 2032      845,000        924,109   
Massachusetts School Building Authority, Dedicated Sales Tax Rev., “B”, 5%, 2032      490,000        559,644   
Miami-Dade County, FL, Transit Sales Surtax Rev., 5%, 2037      365,000        403,646   
Poplar Bluff, MO, Regional Transportation Development District, Sales Tax Rev., 4%, 2036      115,000        111,921   

 

17


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Sales & Excise Tax Revenue - continued                 
Poplar Bluff, MO, Regional Transportation Development District, Sales Tax Rev., 4.75%, 2042    $ 95,000      $ 96,085   
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Convertible Capital Appreciation, “A”, 0% to 2016, 6.75% to 2032      585,000        605,393   
    

 

 

 
             $ 7,144,774   
Single Family Housing - Local - 1.2%                 
Minneapolis & St. Paul, MN, Housing Authority Rev. (City Living), “A-2”, GNMA, 5%, 2038    $ 232,566      $ 235,957   
Pittsburgh, PA, Urban Redevelopment Authority Rev., “C”, GNMA, 4.8%, 2028      1,835,000        1,864,305   
    

 

 

 
             $ 2,100,262   
Single Family Housing - State - 1.4%                 
California Housing Finance Agency Rev. (Home Mortgage), “G”, 4.95%, 2023    $ 755,000      $ 768,839   
Colorado Housing & Finance Authority, “A”, 5.5%, 2029      1,130,000        1,148,860   
Oklahoma Housing Finance Agency Rev. (Homeownership Loan Program), “C”, GNMA, 5%, 2026      490,000        498,472   
    

 

 

 
             $ 2,416,171   
State & Local Agencies - 5.3%                 
Alabama Incentives Financing Authority Special Obligation, “A”, 5%, 2037    $ 180,000      $ 198,013   
California Public Works Board Lease Rev., Department of Mental Health (Coalinga), “A”, 5.5%, 2019      1,000,000        1,052,540   
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Enhanced, “A”, FGIC, 5%, 2035      140,000        146,167   
Guam Government Department of Education (John F. Kennedy High School), “A”, COP, 6.875%, 2040      375,000        403,208   
Louisiana Military Department Custody Receipts, 5%, 2024      1,500,000        1,602,225   
Mississippi Development Bank Special Obligation (Marshall County Industrial Development Authority Mississippi Highway Construction Project), 5%, 2028      155,000        177,142   
New York Urban Development Corp. (University Facilities Grants), 5.875%, 2021      1,000,000        1,201,890   
Newberry, SC, Investing in Children’s Education (Newberry County School District Program), 5%, 2030      500,000        529,855   
Philadelphia, PA, Municipal Authority Rev., 6.5%, 2034      170,000        195,301   
Puerto Rico Public Finance Corp., “E”, ETM, 6%, 2026 (c)      155,000        205,231   
Puerto Rico Public Finance Corp., “E”, ETM, 6%, 2026      1,645,000        2,199,365   
Puerto Rico Public Finance Corp., Commonwealth Appropriations, “B”, 6%, 2026      285,000        297,090   

 

18


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
State & Local Agencies - continued                 
Wisconsin General Fund Annual Appropriation Rev., “A”, 5.75%, 2033    $ 840,000      $ 991,024   
    

 

 

 
             $ 9,199,051   
Student Loan Revenue - 0.6%                 
Iowa Student Loan Liquidity Corp., “A-2”, 5.5%, 2025    $ 235,000      $ 262,185   
Iowa Student Loan Liquidity Corp., “A-2”, 5.6%, 2026      235,000        261,940   
Iowa Student Loan Liquidity Corp., “A-2”, 5.7%, 2027      20,000        21,922   
Iowa Student Loan Liquidity Corp., “A-2”, 5.75%, 2028      430,000        479,046   
    

 

 

 
             $ 1,025,093   
Tax - Other - 3.2%                 
Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev., “A”, 5%, 2035    $ 125,000      $ 134,380   
Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev., “A”, 5%, 2042      535,000        567,731   
Dallas County, TX, Flood Control District, 7.25%, 2032      1,000,000        1,001,920   
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5%, 2047      460,000        481,257   
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5.75%, 2047      480,000        548,794   
New Jersey Economic Development Authority Rev., 5%, 2025      170,000        189,730   
New Jersey Economic Development Authority Rev., 5%, 2026      85,000        94,102   
New Jersey Economic Development Authority Rev., 5%, 2028      35,000        38,296   
New Jersey Economic Development Authority Rev., 5%, 2029      35,000        38,100   
New York Dormitory Authority, State Personal Income Tax Rev.,“C”, 5%, 2034      1,330,000        1,478,135   
New York, NY, City Transitional Finance Authority Building Aid Rev., “S-3”, 5.25%, 2039      560,000        637,627   
Virgin Islands Public Finance Authority Rev. (Diageo Project), “A”, 6.75%, 2037      255,000        289,244   
    

 

 

 
             $ 5,499,316   
Tax Assessment - 5.4%                 
Anne Arundel County, MD, Special Obligation (National Business Park-North Project), 6.1%, 2040    $ 175,000      $ 190,026   
Atlanta, GA, Tax Allocation (Eastside Project), “A”, 5.625%, 2016      195,000        214,424   
Celebration Community Development District, FL, “A”, 6.4%, 2034      860,000        869,331   
Chicago, IL, Tax Increment Allocation (Pilsen Redevelopment), “B”, 6.75%, 2022      450,000        465,071   
Du Page County, IL, Special Service Area No. 31 Special Tax (Monarch Landing Project), 5.625%, 2036      250,000        253,613   
Heritage Harbour North Community Development District, FL, Capital Improvement Rev., 6.375%, 2038      395,000        393,262   
Homestead, Community Development District, FL, Special Assessment, “A”, 6%, 2037      470,000        358,751   

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Tax Assessment - continued                 
Huntington Beach, CA, Community Facilities District, Special Tax (Grand Coast Resort), “2000-1”, 6.45%, 2031    $ 750,000      $ 752,040   
Lincoln, CA, Special Tax (Community Facilities District ), “2003-1”, 5.9%, 2013 (c)      445,000        459,903   
Lincolnshire, IL, Special Service Area No. 1 (Sedgebrook Project), 6.25%, 2034      448,000        462,211   
Ohio County, WV, Commission Tax Increment Rev. (Fort Henry Centre), “A”, 5.85%, 2034      165,000        172,438   
Plano, IL, Special Service Area No. 4 (Lakewood Springs Project Unit 5-B), 6%, 2035      1,876,000        1,910,987   
San Diego, CA, Redevelopment Agency, Tax Allocation Rev., Capital Appreciation, AGM, 0%, 2022      1,910,000        1,335,548   
Seven Oaks, FL, Community Development District II Special Assessment Rev., “A”, 5.875%, 2035      245,000        189,294   
Tallyn’s Reach, CO, Metropolitan District No. 3, CO, 5.125%, 2038      100,000        98,944   
Tuscany Reserve Community Development District, FL, Special Assessment, “B”, 5.25%, 2016      235,000        230,349   
West Villages Improvement District, FL, Special Assessment Rev. (Unit of Development No. 3), 5.5%, 2037 (a)(d)      710,000        426,000   
Westridge, FL, Community Development District, Capital Improvement Rev., 5.8%, 2037 (a)(d)      1,210,000        459,800   
    

 

 

 
             $ 9,241,992   
Tobacco - 8.2%                 
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 5.125%, 2024    $ 2,635,000      $ 2,463,462   
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 5.875%, 2030      1,155,000        1,066,885   
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 5.75%, 2034      635,000        570,827   
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 5.875%, 2047      525,000        471,077   
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., “A-1”, 4.5%, 2027      195,000        190,447   
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., “A-1”, 5.75%, 2047      670,000        626,571   
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Asset Backed, “A-1”, 5%, 2033      560,000        521,164   
Illinois Railsplitter Tobacco Settlement Authority, 6%, 2028      1,710,000        2,061,234   
New Jersey Tobacco Settlement Financing Corp., “1-A”, 4.5%, 2023      915,000        909,181   
New Jersey Tobacco Settlement Financing Corp., “1-A”, 5%, 2041      4,670,000        4,114,877   
Rhode Island Tobacco Settlement Authority, 6%, 2023      725,000        726,283   
Suffolk, NY, Tobacco Asset Securitization Corp., Tobacco Settlement, “B”, 5.25%, 2037      105,000        112,291   

 

20


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Tobacco - continued                 
Washington Tobacco Settlement Authority Rev., 6.625%, 2032    $ 250,000      $ 254,458   
    

 

 

 
      $ 14,088,757   
Toll Roads - 5.4%                 
Bay Area Toll Authority, CA, Toll Bridge Rev. (San Francisco Bay Area), “F1”, 5%, 2034    $ 1,850,000      $ 2,056,145   
Chesapeake, VA, Toll Road Rev. (Transportation System), “A”, 5%, 2047      135,000        141,537   
Chesapeake, VA, Toll Road Rev. (Transportation System), Convertible Capital Appreciation, “B”, 0%, 2032      155,000        91,913   
Chesapeake, VA, Toll Road Rev. (Transportation System), Convertible Capital Appreciation, “B”, 0%, 2040      180,000        102,623   
E-470 Public Highway Authority, CO, Capital Appreciation, “B”, NATL, 0%, 2018      1,500,000        1,285,335   
Mid-Bay Bridge Authority, FL, Springing Lien Rev., “A”, 7.25%, 2040      1,015,000        1,287,680   
North Texas Tollway Authority Rev., 6%, 2038      970,000        1,123,764   
North Texas Tollway Authority Rev. (Special Projects System), “D”, 5%, 2031      710,000        809,606   
Triborough Bridge & Tunnel Authority Rev., NY, “A”, 5%, 2025      365,000        430,689   
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 5.25%, 2032      360,000        385,175   
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 6%, 2037      595,000        661,325   
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 5.5%, 2042      950,000        1,014,248   
    

 

 

 
      $ 9,390,040   
Universities - Colleges - 8.7%                 
Allegheny County, PA, Higher Education Building Authority Rev. (Chatham University), “A”, 5%, 2030    $ 100,000      $ 110,832   
Brevard County, FL, Industrial Development Rev. (TUFF Florida Tech LLC Project), 6.75%, 2039      685,000        762,658   
California Educational Facilities Authority Rev. (Chapman University), 5%, 2031      190,000        208,392   
California Educational Facilities Authority Rev. (University of Southern California), “A”, 5.25%, 2038      1,650,000        1,892,468   
California Municipal Finance Authority Rev. (Biola University), 5.8%, 2028      100,000        112,050   
California Statewide Communities Development Authority Rev. (Lancer Plaza Project), 5.625%, 2033      125,000        124,019   
Florida Higher Educational Facilities, Financial Authority Rev. (University of Tampa Project), “A”, 5%, 2032      30,000        32,582   
Florida Higher Educational Facilities, Financial Authority Rev. (University of Tampa Project), “A”, 5.25%, 2042      265,000        290,231   

 

21


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Universities - Colleges - continued                 
Florida State University Board of Governors, System Improvement Rev., 6.25%, 2030    $ 1,500,000      $ 1,817,955   
Grand Valley, MI, State University Rev., 5.5%, 2027      175,000        194,479   
Grand Valley, MI, State University Rev., 5.625%, 2029      85,000        94,393   
Illinois Finance Authority Rev. (Illinois Institute of Technology), “A”, 5%, 2036      135,000        132,824   
Illinois Finance Authority Rev. (Roosevelt University Project), 6.25%, 2029      590,000        666,983   
Illinois Finance Authority Rev. (Roosevelt University Project), 6.5%, 2039      195,000        220,239   
Illinois Finance Authority Rev. (University of Chicago), “A”, 5%, 2051      210,000        226,580   
Lakeland, FL, Educational Facilities Rev. (Florida Southern College), “A”, 5%, 2032      95,000        102,806   
Lakeland, FL, Educational Facilities Rev. (Florida Southern College), “A”, 5%, 2037      160,000        171,482   
Lakeland, FL, Educational Facilities Rev. (Florida Southern College), “A”, 5%, 2042      85,000        90,761   
Massachusetts Development Finance Agency Rev. (The Broad Institute, Inc.), “A”, 5.25%, 2037      710,000        782,093   
Massachusetts Health & Educational Facilities Authority Rev. (Simmons College), “I”, 8%, 2029      315,000        360,533   
Massachusetts Health & Educational Facilities Authority Rev. (Suffolk University), “A”, 6.25%, 2030      920,000        1,070,954   
Onondaga, NY, Civic Development Corp. (Le Moyne College), 5%, 2042      145,000        156,395   
Portage County, OH, Port Authority Rev. (Northeast Ohio Medical University Project), 5%, 2037      250,000        265,615   
Puerto Rico Industrial, Tourist, Medical, & Environmental Central Facilities (University of Sacred Heart), 4.375%, 2031      55,000        52,817   
Puerto Rico Industrial, Tourist, Medical, & Environmental Central Facilities (University of Sacred Heart), 5%, 2042      30,000        29,144   
Savannah, GA, Economic Development Authority Rev. (AASU Student Union LLC), ASSD GTY, 5.125%, 2039      415,000        445,639   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2030      245,000        280,162   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2031      110,000        125,273   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2032      105,000        118,847   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2037      190,000        213,017   
University of Illinois Rev. (Auxiliary Facilities Systems), “A”, 5.125%, 2029      2,370,000        2,633,094   

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Universities - Colleges - continued                 
University of Southern Indiana Rev. (Student Fee), “J”, ASSD GTY, 5.75%, 2028    $ 370,000      $ 442,531   
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.25%, 2032      275,000        310,789   
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.375%, 2036      100,000        112,569   
Washington Higher Education Facilities Authority Rev. (Whitworth University), 5.875%, 2034      355,000        395,190   
    

 

 

 
             $ 15,046,396   
Universities - Dormitories - 3.8%                 
Bowling Green, OH, Student Housing Rev. (State University Project), 5.75%, 2031    $ 225,000      $ 248,078   
Buffalo & Erie County, NY, Industrial Land Development Corp. Rev. (Buffalo State College), “A”, 5.375%, 2041      250,000        277,128   
California Statewide Communities Development Authority Rev. (Lancer Educational Student Housing Project), 5.625%, 2033      1,015,000        1,085,197   
Chester County, PA, Industrial Development Authority Student Housing Rev. (University Student Housing LLC Project), 5%, 2030      90,000        97,368   
Chester County, PA, Industrial Development Authority Student Housing Rev. (University Student Housing LLC Project), 5%, 2045      100,000        104,449   
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 2030      160,000        171,566   
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 2035      850,000        900,609   
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 2045      985,000        1,022,105   
Illinois Finance Authority Student Housing Rev. (Northern Illinois University Project), 6.625%, 2031      785,000        931,426   
Mississippi State University, Educational Building Corp., 5%, 2036      560,000        619,965   
Oregon Facilities Authority, Student Housing Rev. (Southern Oregon University), ASSD GTY, 4.7%, 2033      65,000        68,129   
Oregon Facilities Authority, Student Housing Rev. (Southern Oregon University), ASSD GTY, 5%, 2044      75,000        80,598   
Pennsylvania Higher Educational Facilities Authority Rev. (Edinboro University Foundation), 5.8%, 2030      100,000        113,492   
Pennsylvania Higher Educational Facilities Authority Rev. (Edinboro University Foundation), 6%, 2043      145,000        162,043   
Pennsylvania Higher Educational Facilities Authority Rev. (Shippensburg University Student Services), 5%, 2030      135,000        148,165   
Pennsylvania Higher Educational Facilities Authority Rev. (Shippensburg University Student Services), 5%, 2044      135,000        144,543   
Platteville, WI, Redevelopment Authority, Redevelopment Rev. (Platteville Real Estate), 5%, 2032      125,000        131,511   

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Universities - Dormitories - continued                 
Platteville, WI, Redevelopment Authority, Redevelopment Rev. (Platteville Real Estate), 5%, 2042    $ 275,000      $ 281,435   
    

 

 

 
             $ 6,587,807   
Universities - Secondary Schools - 1.6%                 
Build NYC Resources Corp. Rev. (South Bronx Charter School for International Cultures and the Arts), “A”, 5%, 2043    $ 120,000      $ 118,708   
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5.5%, 2031      125,000        139,370   
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5.75%, 2041      100,000        112,938   
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.125%, 2040      320,000        364,074   
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 4.35%, 2042      140,000        139,079   
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.25%, 2045      200,000        228,456   
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 4.4%, 2047      125,000        124,121   
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 6%, 2032      140,000        140,094   
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 6.125%, 2043      295,000        290,416   
La Vernia, TX, Higher Education Finance Corp. Rev. (KIPP, Inc.), “A”, 6.25%, 2039      250,000        286,043   
North Texas Education Finance Corp., Education Rev. (Uplift Education), “A”, 4.875%, 2032      85,000        91,366   
North Texas Education Finance Corp., Education Rev. (Uplift Education), “A”, 5.125%, 2042      215,000        233,112   
Phoenix, AZ, Industrial Development Authority Education Rev. (Choice Academies, Inc. Project), 5.625%, 2042      165,000        167,777   
Phoenix, AZ, Industrial Development Authority Education Rev. (Eagle College Prep Project), 5%, 2033      80,000        81,398   
Phoenix, AZ, Industrial Development Authority Education Rev. (Eagle College Prep Project), 5%, 2043      160,000        159,747   
    

 

 

 
             $ 2,676,699   
Utilities - Cogeneration - 1.1%                 
California Pollution Control Financing Authority, Water Furnishing Rev. (Poseidon Resources Desalination Project), 5%, 2045    $ 1,285,000      $ 1,286,812   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Central Facilities (Cogeneration Facilities - AES Puerto Rico Project), 6.625%, 2026      645,000        644,994   
    

 

 

 
             $ 1,931,806   

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Utilities - Investor Owned - 6.3%                 
Apache County, AZ, Industrial Development Authority, Pollution Control Rev. (Tucson Electric Power Co.), “A”, 4.5%, 2030    $ 450,000      $ 462,416   
Brazos River Authority, TX, Pollution Control Rev. (TXU Electric Co. LLC), “C”, 6.75%, 2038      645,000        43,538   
Bryant, IL, Pollution Control Rev. (Central Illinois Light Co.), 5.9%, 2023      2,575,000        2,584,347   
Chula Vista, CA, Industrial Development Rev. (San Diego Gas & Electric Co.), “E”, 5.875%, 2034      310,000        365,778   
Fort Bend County, TX, Industrial Development Corp. (NRG Energy, Inc.), “A”, 4.75%, 2038      425,000        429,807   
Hawaii Department of Budget & Finance Special Purpose Rev. (Hawaiian Electric Co. & Subsidiary), 6.5%, 2039      950,000        1,104,660   
Maricopa County, AZ, Pollution Control Rev. (El Paso Electric Co. Palo Verde Project), “A”, 4.5%, 2042      190,000        191,125   
Massachusetts Development Finance Agency, Solid Waste Disposal Rev. (Dominion Energy Brayton), 5.75%, 2042 (b)      105,000        127,349   
Mississippi Business Finance Corp., Pollution Control Rev. (Systems Energy Resources Project), 5.875%, 2022      2,000,000        2,004,480   
New Hampshire Business Finance Authority, Pollution Control Rev. (Public Service of New Hampshire), “B”, NATL, 4.75%, 2021      250,000        255,640   
Ohio Air Quality Development Authority Rev. (FirstEnergy Corp.), “A”, 5.7%, 2020      665,000        791,609   
Owen County, KY, Waterworks System Rev. (American Water Co. Project), “A”, 6.25%, 2039      260,000        289,565   
Pennsylvania Economic Development Financing Authority (Allegheny Energy Supply Co. LLC), 7%, 2039      765,000        908,812   
Pima County, AZ, Industrial Development Authority Rev. (Tucson Electric Power Co.), 5.75%, 2029      1,295,000        1,357,756   
    

 

 

 
             $ 10,916,882   
Utilities - Municipal Owned - 0.8%                 
Guam Power Authority Rev., “A”, AGM, 5%, 2025    $ 120,000      $ 138,437   
Guam Power Authority Rev., “A”, AGM, 5%, 2026      100,000        114,840   
Guam Power Authority Rev., “A”, AGM, 5%, 2027      40,000        45,417   
Guam Power Authority Rev., “A”, 5%, 2034      120,000        129,643   
Los Angeles, CA, Department of Water & Power Rev. (Power System), “B”, 5%, 2038      445,000        493,932   
Sacramento, CA, Municipal Utility District, “X”, 5%, 2028      465,000        531,011   
    

 

 

 
             $ 1,453,280   
Utilities - Other - 3.4%                 
California M-S-R Energy Authority Gas Rev., “A”, 7%, 2034    $ 155,000      $ 211,033   
California M-S-R Energy Authority Gas Rev., “A”, 6.5%, 2039      650,000        854,516   

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Utilities - Other - continued                 
Georgia Main Street Natural Gas, Inc., Gas Project Rev., “A”, 5.5%, 2028    $ 430,000      $ 528,199   
Public Authority for Colorado Energy Natural Gas Purchase Rev., 6.25%, 2028      150,000        188,603   
Public Authority for Colorado Energy Natural Gas Purchase Rev., 6.5%, 2038      695,000        927,484   
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 2021      2,185,000        2,539,669   
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 2024      75,000        87,638   
Texas Gas Acquisition & Supply Corp III., Gas Supply Rev., 5%, 2031      190,000        201,985   
Texas Gas Acquisition & Supply Corp III., Gas Supply Rev., 5%, 2032      305,000        323,010   
    

 

 

 
             $ 5,862,137   
Water & Sewer Utility Revenue - 7.6%                 
Atlanta, GA, Water & Wastewater Rev., “A”, 6%, 2022    $ 465,000      $ 573,461   
Birmingham, AL, Waterworks Board Water Rev., “A”, ASSD GTY, 5.125%, 2034      755,000        825,796   
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, 5.75%, 2037      535,000        545,577   
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, 6%, 2044      195,000        198,824   
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 2031      20,000        22,942   
Guam Government Waterworks Authority, Water & Wastewater Rev., 5.875%, 2035      1,125,000        1,157,254   
Houston, TX, Utility System Rev., “D”, 5%, 2036      550,000        611,980   
King County, WA, Sewer Rev., 5%, 2040      1,765,000        1,946,989   
New Hampshire Industrial Development Authority Rev. (Pennichuck Water Works, Inc.), ETM, 7.5%, 2018 (c)      190,000        212,880   
New York Environmental Facilities Corp., Clean Drinking Water Revolving Funds, 5%, 2041      865,000        963,437   
New York Environmental Facilities, “C”, 5%, 2041      1,195,000        1,329,748   
New York, NY, Municipal Water Finance Authority, Water & Sewer System Rev., “AA”, 5%, 2034      2,510,000        2,825,708   
New York, NY, Municipal Water Finance Authority, Water & Sewer Systems Rev., “DD”, 4.75%, 2035      1,010,000        1,092,123   
Surprise, AZ, Municipal Property Corp., 4.9%, 2032      800,000        815,296   
    

 

 

 
             $ 13,122,015   
Total Municipal Bonds (Identified Cost, $239,416,055)            $ 260,143,752   
Loans - 0.0%                 
Medical & Health Technology & Services - 0.0%                 
Advanced Living Technologies, Inc., DIP, 8%, 2013
(Identified Cost, $85,000)
   $ 85,000      $ 85,000   

 

26


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Portfolio of Investments (unaudited) – continued

 

Money Market Funds - 2.5%                 
Issuer    Shares/Par     Value ($)  
MFS Institutional Money Market Portfolio, 0.12%,
at Cost and Net Asset Value (v)
     4,295,563      $ 4,295,563   
Total Investments (Identified Cost, $243,796,618)            $ 264,524,315   
Other Assets, Less Liabilities - 3.3%              5,621,761   
ARPS, at liquidation value (issued by the fund) - (3.3)%        (5,625,000
VMTPS, at liquidation value (issued by the fund) - (53.2)%        (91,875,000
Net assets applicable to common shares - 100.0%            $ 172,646,076   

 

(a) Non-income producing security.
(b) Mandatory tender date is earlier than stated maturity date.
(c) Refunded bond.
(d) In default. Interest and/or scheduled principal payment(s) have been missed.
(f) All or a portion of the security has been segregated as collateral for open futures contracts.
(n) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $2,553,268 representing 1.5% of net assets applicable to common shares.
(q) Interest received was less than stated coupon rate.
(v) Underlying affiliated fund that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end.
(z) Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities:

 

Restricted Securities    Acquisition
Date
   Cost      Value  
Resolution Trust Corp., Pass-Through Certificates, “1993”, 8.5%, 2016    8/27/93      $549,351         $542,678   
% of Net assets applicable to common shares            0.3%   

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

 

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

 

27


Table of Contents

Portfolio of Investments (unaudited) – continued

 

 

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

Derivative Contracts at 5/31/13

Futures Contracts Outstanding at 5/31/13

 

Description   Currency     Contracts     Value   Expiration
Date
    Unrealized
Appreciation
(Depreciation)
 
Asset Derivatives           
Interest Rate Futures           
U.S. Treasury Note 10 yr (Short)     USD        221      $28,557,344     September - 2013        $42,391   
U.S. Treasury Note 30 yr (Short)     USD        46      6,441,438     September - 2013        30,520   
         

 

 

 
            $72,911   
         

 

 

 

At May 31, 2013, the fund had liquid securities with an aggregate value of $453,000 to cover any commitments for certain derivative contracts.

See Notes to Financial Statements

 

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Financial Statements

 

STATEMENT OF ASSETS AND LIABILITIES

At 5/31/13 (unaudited)

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

 

Assets         

Investments-

  

Non-affiliated issuers, at value (identified cost, $239,501,055)

     $260,228,752   

Underlying affiliated funds, at cost and value

     4,295,563   

Total investments, at value (identified cost, $243,796,618)

     $264,524,315   

Cash

     15,578   

Receivables for

  

Daily variation margin on open futures contracts

     80,266   

Investments sold

     1,629,529   

Interest

     4,109,724   

Deferred VMTPS offering costs

     184,281   

Other assets

     20,378   

Total assets

     $270,564,071   
Liabilities         

Payables for

  

Distributions on common shares

     $19,622   

Distributions on ARPS

     98   

Investments purchased

     169,876   

Interest expense

     111,059   

Payable to affiliates

  

Investment adviser

     11,356   

Transfer agent and dividend disbursing costs

     4,826   

Payable for independent Trustees’ compensation

     3,672   

Accrued expenses and other liabilities

     97,486   

VMTPS, at liquidation value

     91,875,000   

Total liabilities

     $92,292,995   

ARPS, at liquidation value

     $5,625,000   

Net assets applicable to common shares

     $172,646,076   
Net assets consist of         

Paid-in capital – common shares

     $218,071,716   

Unrealized appreciation (depreciation) on investments

     20,800,608   

Accumulated net realized gain (loss) on investments

     (67,151,874

Undistributed net investment income

     925,626   

Net assets applicable to common shares

     $172,646,076   

ARPS, at liquidation value (133 shares of Series T and 92 shares of Series W issued and outstanding at $25,000 per share)

     $5,625,000   

VMTPS, at liquidation value (3,675 shares of Series 2016/9 issued and outstanding at $25,000 per share)

     91,875,000   

Total preferred shares

     $97,500,000   

Net assets including preferred shares

     $270,146,076   

Common shares of beneficial interest issued and outstanding

     31,503,658   

Net asset value per common share (net assets of $172,646,076 / 31,503,658 shares of beneficial interest outstanding)

     $5.48   

See Notes to Financial Statements

 

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Financial Statements

 

STATEMENT OF OPERATIONS

Six months ended 5/31/13 (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         

Income

  

Interest

     $7,083,650   

Dividends from underlying affiliated funds

     3,141   

Total investment income

     $7,086,791   

Expenses

  

Management fee

     $1,016,874   

Transfer agent and dividend disbursing costs

     15,121   

Administrative services fee

     22,497   

Independent Trustees’ compensation

     15,219   

Stock exchange fee

     13,950   

ARPS service fee

     2,801   

Custodian fee

     11,999   

Shareholder communications

     17,880   

Audit and tax fees

     40,083   

Legal fees

     1,634   

Amortization of VMTPS offering costs

     26,956   

Interest expense

     633,538   

Miscellaneous

     55,737   

Total expenses

     $1,874,289   

Fees paid indirectly

     (34

Reduction of expenses by investment adviser

     (278

Net expenses

     $1,873,977   

Net investment income

     $5,212,814   
Realized and unrealized gain (loss) on investments         

Realized gain (loss) (identified cost basis)

  

Investments

     $512,311   

Futures contracts

     716,192   

Net realized gain (loss) on investments

     $1,228,503   

Change in unrealized appreciation (depreciation)

  

Investments

     $(5,396,851

Futures contracts

     133,828   

Net unrealized gain (loss) on investments

     $(5,263,023

Net realized and unrealized gain (loss) on investments

     $(4,034,520

Distributions declared to shareholders of ARPS

     $(6,178

Change in net assets from operations

     $1,172,116   

See Notes to Financial Statements

 

30


Table of Contents

Financial Statements

 

STATEMENTS OF CHANGES IN NET ASSETS

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

 

Change in net assets   Six months ended
5/31/13
(unaudited)
    

Year ended
11/30/12

 

 
From operations                 

Net investment income

    $5,212,814         $11,350,948   

Net realized gain (loss) on investments

    1,228,503         (3,189,208

Net unrealized gain (loss) on investments

    (5,263,023      26,004,021   

Distributions declared to shareholders of ARPS

    (6,178      (192,392

Change in net assets from operations

    $1,172,116         $33,973,369   
Distributions declared to common shareholders            

From net investment income

    $(5,102,135      $(11,607,887
Share transactions applicable to common and preferred shares                 

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

    $99,489         $285,075   

Net increase resulting from the tender and repurchase of ARPS

            4,593,750   

Change in net assets from fund share transactions

    $99,489         $4,878,825   

Total change in net assets

    $(3,830,530      $27,244,307   
Net assets applicable to common shares                 

At beginning of period

    176,476,606         149,232,299   

At end of period (including undistributed net investment income of $925,626 and $821,125, respectively)

    $172,646,076         $176,476,606   

See Notes to Financial Statements

 

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Table of Contents

Financial Statements

 

STATEMENT OF CASH FLOWS

Six months ended 5/31/13 (unaudited)

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

 

Cash flows from operating activities:         

Change in net assets from operations

     $1,172,116   
Adjustments to reconcile change in net assets from operations to net cash provided by operating activities:         

Purchase of investment securities

     (18,962,127

Proceeds from disposition of investment securities

     18,538,277   

Proceeds from futures contracts

     716,192   

Purchases of short-term investments, net

     (294,094

Realized gain/loss on investments

     (512,311

Realized gain/loss on futures contracts

     (716,192

Unrealized appreciation/depreciation on investments

     5,396,851   

Net amortization/accretion of income

     (118,234

Increase in interest receivable

     (59,339

Decrease in accrued expenses and other liabilities

     (6,021

Increase in receivable for daily variation margin on open futures contracts

     (80,266

Decrease in payable for daily variation margin on open futures contracts

     (31,359

Increase in other assets

     (15,286

Net cash provided by operating activities

     $5,028,207   
Cash flows from financing activities:         

Decrease in deferred VMTPS offering costs

     12,208   

Cash distributions paid on common shares

     (4,983,040

Decrease in payable for distributions on ARPS

     (11

Decrease in payable for VMTPS offering costs

     (20,121

Decrease in payable for ARPS tender and repurchase costs

     (23,870

Increase in payable for interest expense

     2,205   

Net cash used by financing activities

     $(5,012,629

Net increase in cash

     $15,578   
Cash:         

Beginning of period

     $—   

End of period

     $15,578   

Supplemental disclosure of cash flow information:

Non-cash financing activities not included herein consist of reinvestment of dividends and distributions of $99,489.

Cash paid during the six months ended May 31, 2013 for interest was $631,333.

See Notes to Financial Statements

 

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Financial Statements

 

FINANCIAL HIGHLIGHTS

The financial highlights table is intended to help you understand the fund’s financial performance for the semiannual period and the past 5 fiscal years. Certain information reflects financial results for a single fund share. The total returns in the table represent the rate 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
ended

5/31/13

(unaudited)

    Years ended 11/30  
Common Shares     2012     2011     2010     2009     2008  
                                 

Net asset value, beginning of period

    $5.60        $4.75        $4.74        $4.68        $3.94        $6.00   
Income (loss) from investment operations                                   

Net investment income (d)

    $0.17        $0.36        $0.39        $0.42        $0.42        $0.46   

Net realized and unrealized gain
(loss) on investments

    (0.13     0.72        0.02        0.04        0.70        (2.05

Distributions declared to
shareholders of ARPS

    (0.00 )(w)      (0.01     (0.01     (0.01     (0.02     (0.13

Total from investment operations

    $0.04        $1.07        $0.40        $0.45        $1.10        $(1.72
Less distributions declared to common
shareholders
                                   

From net investment income

    $(0.16     $(0.37     $(0.39     $(0.39     $(0.36     $(0.34

Net increase resulting from tender
and repurchase of ARPS

    $—        $0.15        $—        $—        $—        $—   

Net asset value, end of period (x)

    $5.48        $5.60        $4.75        $4.74        $4.68        $3.94   

Market value, end of period

    $5.35        $5.83        $5.03        $5.00        $4.75        $3.40   

Total return at market value (%) (p)

    (5.48 )(n)      24.17        9.34        13.94        52.74        (34.58

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

    0.80 (n)      26.30 (y)      8.92        9.63        29.87        (29.62
Ratios (%) (to average net assets
applicable to common shares)
and Supplemental data:
                                            

Expenses before expense
reductions (f)(p)

    2.16 (a)      1.75        1.58        1.55        1.78        1.79   

Expenses after expense
reductions (f)(p)

    2.15 (a)      1.73        1.56        1.55        1.67        1.70   

Net investment income (p)

    5.99 (a)      6.94        8.39        8.58        10.02        8.54   

Portfolio turnover

    6 (n)      16        22        10        21        39   

Net assets at end of period
(000 omitted)

    $172,646        $176,477        $149,232        $148,521        $146,522        $123,079   

 

33


Table of Contents

Financial Highlights – continued

 

   

Six months
ended

5/31/13

(unaudited)

    Years ended 11/30  
      2012     2011     2010     2009     2008  
                                 
Supplemental Ratios (%):                                                

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

    1.42 (a)      1.44        N/A        N/A        1.66        1.61   

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

    0.91 (a)      0.90        0.93        0.94        0.95        0.95   

Net investment income available to
common shares

    5.99 (a)      6.82        8.18        8.32        9.50        6.06   
Senior Securities:                                                

ARPS

    225        225        3,900        3,900        3,900        3,900   

VMTPS

    3,675        3,675                               

Total preferred shares outstanding

    3,900        3,900        3,900        3,900        3,900        3,900   

Asset coverage per preferred share (k)

    $69,268        $70,250        $63,265        $63,082        $62,570        $56,559   

Involuntary liquidation preference per
preferred share (m)

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

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

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

 

(a) Annualized.
(d) Per share data is based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly, if applicable.
(j) Total return at net asset value is calculated using the net asset value of the fund, not the publicly traded price and therefore may be different than the total return at market value.
(k) Calculated by subtracting the fund’s total liabilities (not including liquidation preference of ARPS and VMTPS) from the fund’s total assets and dividing this number by the total number of preferred shares outstanding.
(l) Interest expense and fees relate to payments made to the holders of the floating rate certificates from trust assets and interest expense paid to shareholders of VMTPS. For the year ended November 30, 2012, the expense ratio also excludes fees and expenses related to the tender and repurchase of a portion of the fund’s ARPS.
(m) Amount excludes accrued unpaid distributions on ARPS and accrued interest on VMTPS.
(n) Not annualized.
(p) Ratio excludes dividend payment on ARPS.
(r) Certain expenses have been reduced without which performance would have been lower.
(s) From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower.
(u) Average market value represents the approximate fair value of each of the fund’s ARPS and VMTPS.
(w) Per share amount was less than $0.01.
(x) The net asset values per share and total returns at net asset value per share have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes.
(y) Included in the total return at net asset value for the year ended November 30, 2012 is the impact of the tender and repurchase by the fund of a portion of its ARPS at 95% of the ARPS’ per share liquidation preference. Had this transaction not occurred, the total return at net asset value for the year ended November 30, 2012 would have been lower by 2.64%.

See Notes to Financial Statements

 

34


Table of Contents

NOTES TO FINANCIAL STATEMENTS

(unaudited)

(1) Business and Organization

MFS High Income 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. In the preparation of these financial statements, management has evaluated subsequent events occurring after the date of the fund’s Statement of Assets and Liabilities through the date that the financial statements were issued. The fund invests primarily in municipal instruments. 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 issuer’s 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, interest from the security could become taxable, the security could decline in value, and the fund may be required to issue Forms 1099-DIV. The fund invests 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.

In January 2013, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update 2013-01 (“ASU 2013-01”) entitled Balance Sheet (Topic 210) – Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities which is intended to clarify the scope of Accounting Standards Update 2011-11 (“ASU 2011-11”), Balance Sheet (Topic 210) – Disclosures about Offsetting Assets and Liabilities. Consistent with the effective date for ASU 2011-11, ASU 2013-01 is effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. ASU 2013-01 limits the scope of ASU 2011-11’s disclosure requirements on offsetting to financial assets and financial liabilities related to derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowing transactions. Although still evaluating the potential impact of these two ASUs to the fund, management expects that the impact of the fund’s adoption will be limited to additional financial statement disclosures.

 

35


Table of Contents

Notes to Financial Statements (unaudited) – continued

 

In June 2013, FASB issued Accounting Standards Update 2013-08 Financial Services – Investment Companies (Topic 946) – Amendments to the Scope, Measurement, and Disclosure Requirements (“ASU 2013-08”) which is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013. ASU 2013-08 sets forth a methodology for determining whether an entity should be characterized as an investment company and prescribes fair value accounting for an investment company’s non-controlling ownership interest in another investment company. FASB has determined that a fund registered under the Investment Company Act of 1940 automatically meets ASU 2013-08’s criteria for an investment company. Although still evaluating the potential impacts of ASU 2013-08 to the fund, management expects that the impact of the fund’s adoption will be limited to additional financial statement disclosures.

Investment Valuations Debt instruments and floating rate loans (other than short-term instruments), including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less generally are valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted settlement price as provided by a third-party pricing service on the market on which they are primarily traded. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation as provided by a third-party pricing service on the market on which such futures contracts are primarily traded. Open-end investment companies are generally valued at net asset value per share. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. Values obtained from third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data.

The Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments (including any fair valuation) to the adviser pursuant to valuation policies and procedures approved by the Board. If the adviser determines that reliable market quotations are not readily available, investments are valued at fair value as determined in good faith by the adviser in accordance with such procedures under the oversight of the Board of Trustees. Under the fund’s valuation policies and procedures, market quotations are not considered to be readily available for most types of debt instruments and floating rate loans and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services. In addition, investments may be valued at fair value if the adviser determines that an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund’s net asset value, or after the halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other

 

36


Table of Contents

Notes to Financial Statements (unaudited) – continued

 

market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.

Various inputs are used in determining the value of the fund’s assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments not reflected in total investments, such as futures contracts. The following is a summary of the levels used as of May 31, 2013 in valuing the fund’s assets or liabilities:

 

Investments at Value    Level 1      Level 2      Level 3      Total  
Municipal Bonds      $—         $260,143,752         $—         $260,143,752   
Loans              85,000                 85,000   
Mutual Funds      4,295,563                         4,295,563   
Total Investments      $4,295,563         $260,228,752         $—         $264,524,315   
Other Financial Instruments                            
Futures Contracts      $72,911         $—         $—         $72,911   

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

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

The derivative instruments used by the fund were futures contracts. The fund’s period end derivatives, as presented in the Portfolio of Investments and the associated Derivative Contract tables, generally are indicative of the volume of its derivative activity during the period.

 

37


Table of Contents

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, 2013 as reported in the Statement of Assets and Liabilities:

 

        Fair Value (a)  
Risk   Derivative Contracts   Asset Derivatives  
Interest Rate   Interest Rate Futures     $72,911   

 

(a) The value of futures contracts outstanding includes cumulative appreciation (depreciation) as reported in the fund’s Portfolio of Investments. Only the current day variation margin for futures contracts is separately reported within the fund’s Statement of Assets and Liabilities.

The following table presents, by major type of derivative contract, the realized gain (loss) on derivatives held by the fund for the six months ended May 31, 2013 as reported in the Statement of Operations:

 

Risk    Futures Contracts  
Interest Rate      $716,192   

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, 2013 as reported in the Statement of Operations:

 

Risk    Futures Contracts  
Interest Rate      $133,828   

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 whenever possible by entering into an International Swaps and Derivatives Association (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 fund’s 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 a termination of the agreement, the ISDA Master Agreement does not result in an offset of reported amounts of assets and liabilities in the Statement of 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 contracts and exchange-traded options) while collateral terms are contract specific for over-the-counter traded derivatives (i.e., forward foreign currency exchange contracts, swap agreements and over-the-counter options). For derivatives traded

 

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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 segregated to cover obligations of the fund under derivative contracts, if any, will be reported separately in the Statement of Assets and Liabilities as restricted cash. Securities collateral pledged for the same purpose, if any, is noted in the Portfolio of Investments.

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

Upon entering into a futures contract, the fund is required to deposit with the broker, either in cash or securities, an initial margin in an amount equal to a 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 contracts is realized.

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

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

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

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

 

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Notes to Financial Statements (unaudited) – continued

 

or a portion of interest has become doubtful. Interest income for those debt obligations may be further reduced by the write-off of the related interest receivables when deemed uncollectible.

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

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

Fees Paid Indirectly – The fund’s 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, 2013, is shown as a reduction of total expenses in the Statement of Operations.

Tax Matters and Distributions – The fund intends to qualify as a regulated investment company, as defined under Subchapter M of the Internal Revenue Code, and to distribute all of its taxable and tax-exempt income, including realized capital gains. As a result, no provision for federal income tax is required. The fund’s federal tax returns, when filed, will remain subject to examination by the Internal Revenue Service for a three year period.

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

Book/tax differences primarily relate to expiration of capital loss carryforwards, amortization and accretion of debt securities, defaulted bonds, non-deductible expenses and the treatment of VMTPS as equity for tax purposes.

 

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Notes to Financial Statements (unaudited) – continued

 

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:

 

     11/30/12  
Ordinary income (including any
short-term capital gains)
     $86,799   
Tax-exempt income      11,984,070   
Total distributions      $12,070,869   

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

 

As of 5/31/13       
Cost of investments      $242,746,555   
Gross appreciation      24,956,800   
Gross depreciation      (3,179,040
Net unrealized appreciation (depreciation)      $21,777,760   
As of 11/30/12       
Undistributed ordinary income      70,141   
Undistributed tax-exempt income      1,277,424   
Capital loss carryforwards      (69,266,129
Post-October capital loss deferral      (135,978
Other temporary differences      (526,440
Net unrealized appreciation      27,085,361   

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

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

As of November 30, 2012 the fund had capital loss carryforwards available to offset future realized gains as follows:

 

Pre-enactment losses which expire as
follows:
 
11/30/14      $(9,352,747
11/30/15      (6,016,727
11/30/16      (21,680,852
11/30/17      (17,871,725
11/30/18      (4,840,268
11/30/19      (5,512,578
Total      $(65,274,897

 

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Notes to Financial Statements (unaudited) – continued

 

Post-enactment losses which are
characterized as follows:
 
Short-Term      $(214,048
Long-Term      (3,777,184
Total      $(3,991,232

(3) Transactions with Affiliates

Investment Adviser – The fund has an investment advisory agreement with MFS to provide overall investment management and related administrative services and facilities to the fund. The management fee is computed daily and paid monthly at an annual rate of 0.75% of the fund’s average daily net assets (including the value of the auction rate preferred shares and variable rate municipal term preferred shares).

The investment adviser has agreed in writing to pay a portion of the fund’s total annual operating expenses, exclusive of interest, taxes, extraordinary expenses, brokerage and transaction costs and investment-related expenses other than auction rate preferred shares service fees, such that total fund operating expenses do not exceed 0.90% annually of the fund’s average daily net assets (including the value of auction rate preferred shares and variable rate municipal term preferred shares). This written agreement will continue until modified by the fund’s Board of Trustees, but such agreement will continue at least until November 30, 2014. For the six months ended May 31, 2013, the fund’s actual operating expenses did not exceed the limit and therefore, the investment adviser did not pay any portion of the fund’s expenses related to this agreement.

Transfer Agent – The fund engages Computershare Trust Company, N.A. (“Computershare”) as the sole transfer agent for the fund’s common shares. MFS Service Center, Inc. (MFSC) monitors and supervises the activities of Computershare for an agreed upon fee approved by the Board of Trustees. For the six months ended May 31, 2013, these fees paid to MFSC amounted to $5,779.

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 (including the value of the auction rate preferred shares and variable rate municipal term preferred shares). The administrative services fee incurred for the six months ended May 31, 2013 was equivalent to an annual effective rate of 0.0166% of the fund’s average daily net assets (including the value of the auction rate preferred shares and variable rate municipal term preferred shares).

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

Deferred Trustee Compensation – Prior to MFS’ appointment as investment adviser to the fund, the fund’s former independent Trustees participated in a Deferred

 

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Notes to Financial Statements (unaudited) – continued

 

Compensation Plan (the “Former Colonial Trustees Plan” or “Plan”). The fund’s current independent Trustees are not allowed to defer compensation under the Former Colonial Trustees Plan. Amounts deferred under the Plan are invested in shares of certain non-MFS funds selected by the former independent Trustees as notional investments. 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” in the Statement of Assets and Liabilities is $2,960 of deferred Trustees’ compensation. There is no current year expense associated with the Former Colonial Trustees Plan.

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, 2013, the aggregate fees paid by the fund to Tarantino LLC and Griffin Compliance LLC were $662 and are included in “Miscellaneous” expense in 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 $278, 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.

The fund invests in the MFS Institutional Money Market Portfolio which is managed by MFS and seeks current income consistent with preservation of capital and liquidity. Income earned on this investment is included in “Dividends from underlying affiliated funds” in the Statement of Operations. This money market fund does not pay a management fee to MFS.

(4) Portfolio Securities

Purchases and sales of investments, other than short-term obligations, aggregated $14,564,148 and $16,811,936, respectively.

(5) Shares of Beneficial Interest

The fund’s Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest. The fund reserves the right to repurchase shares of beneficial interest of the fund subject to Trustee approval. During the six months ended May 31, 2013 and the year ended November 30, 2012, the fund did not repurchase any shares. Other transactions in fund shares were as follows:

 

     Six months ended
5/31/13
     Year ended
11/30/12
 
     Shares      Amount      Shares      Amount  
Shares issued to shareholders in
reinvestment of distributions
     17,991         $99,489         53,395         $285,075   

 

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Notes to Financial Statements (unaudited) – continued

 

(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 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 an agreed upon spread. 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 upon spread. For the six months ended May 31, 2013, the fund’s commitment fee and interest expense were $493 and $0, respectively, and are included in “Miscellaneous” expense in the Statement of Operations.

(7) Transactions in Underlying Affiliated Funds-Affiliated Issuers

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

 

Underlying Affiliated Fund   

Beginning

Shares/Par

Amount

    

Acquisitions

Shares/Par

Amount

    

Dispositions

Shares/Par

Amount

   

Ending

Shares/Par

Amount

 
MFS Institutional Money
Market Portfolio
     4,001,469         22,006,161         (21,712,067     4,295,563   
Underlying Affiliated Fund    Realized
Gain (Loss)
    

Capital Gain

Distributions

    

Dividend

Income

   

Ending

Value

 
MFS Institutional Money
Market Portfolio
     $—         $—         $3,141        $4,295,563   

(8) Preferred Shares

The fund has 133 shares issued and outstanding of Auction Rate Preferred Shares (ARPS), series T, and 92 shares of ARPS, series W. Dividends are cumulative at a rate that is reset every seven days for both series through an auction process. If the ARPS 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 ARPS to holders of such shares for successive dividend periods until such time when the shares are successfully remarketed. The maximum rate on ARPS rated aa3/AA- or better 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 ARPS issued by closed end funds, including this fund, 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, ARPS holders cannot sell their shares tendered for sale. While repeated auction failures have affected the liquidity for ARPS, they do not constitute a default or automatically alter the credit quality of the ARPS, and ARPS holders have continued to receive dividends at the previously defined “maximum rate”. During the six months ended

 

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Notes to Financial Statements (unaudited) – continued

 

May 31, 2013, the ARPS dividend rates ranged from 0.13% to 0.38% for both series T and series W. For the six months ended May 31, 2013, the average dividend rate was 0.22% for both series T and series W. These developments with respect to ARPS do not affect the management or investment policies of the fund. However, one implication of these auction failures for common shareholders is that the fund’s cost of leverage will be higher than it otherwise would have been had the auctions continued to be successful. As a result, the fund’s future common share earnings may be lower than they otherwise would have been.

The fund pays an annual service fee to broker-dealers with customers who are beneficial owners of the ARPS. The service fee is equivalent to 0.25% of the applicable ARPS liquidation value while the ARPS auctions are successful or to 0.15% or less, varying by broker-dealer, while the auctions are failing. The outstanding ARPS are redeemable at the option of the fund in whole or in part at the liquidation preference of $25,000 per share, plus accumulated and unpaid dividends. The ARPS are also subject to mandatory redemption if certain requirements relating to its asset maintenance coverage are not satisfied.

On August 9, 2012, the fund announced a tender offer for all of its outstanding ARPS at a price equal to 95% of the ARPS’ per share liquidation preference of $25,000, or $23,750 per share, plus any unpaid dividends accrued through the expiration date of the tender offer. The tender offer expired on September 12, 2012, and the fund accepted for repurchase 1,817 ARPS, series T and 1,858 ARPS, series W (approximately 94.2% of the fund’s then outstanding ARPS) with an aggregate liquidation preference of $91,875,000 for an aggregate price of $87,281,520. To finance the ARPS tender offer, the fund issued in a private placement 3,675 shares of a new type of preferred shares, Variable Rate Municipal Term Preferred Shares (VMTPS), each with a liquidation preference of $25,000 per share, for an aggregate price of $91,875,000. The outstanding VMTPS are redeemable at the option of the fund in whole or in part at the liquidation preference of $25,000 per share, plus accumulated and unpaid dividends, but generally solely for the purpose of decreasing the leverage of the fund. The VMTPS are subject to a mandatory term redemption date of September 30, 2016 unless extended through negotiation with the private investors. Dividends on the VMTPS are cumulative and are set weekly to a fixed spread against the Securities Industry and Financial Markets Association Municipal Swap Index. The average annualized dividend rate on the fund’s VMTPS for the six months ended May 31, 2013 was 1.38%. The total liquidation preference of the fund’s outstanding preferred shares, comprised of untendered ARPS and VMTPS, remained unchanged as a result of the ARPS tender and VMTPS issuance. The difference between the liquidation preference of the ARPS and the actual purchase price of the tendered ARPS (i.e. the 5% discount on the per share liquidation preference of the tendered ARPS), was recognized by the fund in the Statements of Changes in Net Assets as an increase in net assets applicable to common shares resulting from the tender and the repurchase of the ARPS by the fund.

In the fund’s Statement of Assets and Liabilities, the VMTPS aggregate liquidation preference is shown as a liability since they have a stated mandatory redemption date. Dividends paid to VMTPS are treated as interest expense and recorded as incurred. For the six months ended May 31, 2013, interest expense related to VMTPS amounted to $633,538 and is included in “Interest expense” in the Statement of Operations. Costs

 

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Notes to Financial Statements (unaudited) – continued

 

directly related to the issuance of the VMTPS are considered debt issuance costs which have been deferred and are being amortized into expense over the life of the VMTPS. The period-end carrying value for the VMTPS in the fund’s Statement of Assets and Liabilities is its liquidation value which approximates its fair value. If the VMTPS were carried at fair value, its fair value would be considered level 2 under the fair value hierarchy disclosure.

Under the terms of a purchase agreement between the fund and the investor in VMTPS, there are investment-related requirements that are in various respects more restrictive than those to which the fund is otherwise subject in accordance with its investment objectives and policies, and may limit the investment flexibility that might otherwise be pursued by the fund if the VMTPS were not outstanding.

The fund is required to maintain certain asset coverage with respect to the ARPS and VMTPS as defined in the fund’s By-Laws and the Investment Company Act of 1940 and, as such, is not permitted to declare common share dividends unless the fund’s ARPS and VMTPS have a minimum asset coverage ratio of 200% after declaration of the common share dividends. With respect to the payment of dividends and as to the distribution of assets of the fund, ARPS and VMTPS rank on parity with each other, and are both senior in priority to the fund’s outstanding common shares. To the extent that investments are purchased by the fund with proceeds from the issuance of preferred shares, including ARPS and VMTPS, the fund’s net asset value will increase or decrease at a greater rate than a comparable unleveraged fund.

As of May 31, 2013, the fund had issued and outstanding 133 ARPS, series T, 92 ARPS, series W, and 3,675 VMTPS, series 2016/9.

 

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

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

We have reviewed the accompanying statement of assets and liabilities of the MFS High Income Municipal Trust (the Fund), including the portfolio of investments, as of May 31, 2013, and the related statements of operations, changes in net assets, cash flows, and financial highlights for the six-month period ended May 31, 2013. These interim financial statements and financial highlights are the responsibility of the Fund’s management.

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

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

We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the statement of changes in net assets for the year ended November 30, 2012, and the financial highlights for each of the five years in the period ended November 30, 2012, and in our report dated January 15, 2013, we expressed an unqualified opinion on such statement of changes in net assets and financial highlights.

 

LOGO

Boston, Massachusetts

July 17, 2013

 

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BOARD REVIEW OF INVESTMENT ADVISORY AGREEMENT

A discussion regarding the Board’s most recent review and renewal of the fund’s Investment Advisory Agreement with MFS is available by clicking on the fund’s name under “Closed-End Funds” in the “Products” 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 SEC’s Web site at http://www.sec.gov.

Information regarding how the fund voted proxies relating to portfolio securities during the twelve-month period ended June 30, 2012 is available without charge by visiting the Proxy Voting section of mfs.com or by visiting the SEC’s Web site at http://www.sec.gov.

QUARTERLY PORTFOLIO DISCLOSURE

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

Public Reference Room

Securities and Exchange Commission

100 F Street, NE, Room 1580

Washington, D.C. 20549

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

FURTHER INFORMATION

From time to time, MFS may post important information about the fund or the MFS funds on the MFS web site (mfs.com). This information is available by visiting the “News & Commentary” section of mfs.com or by clicking on the fund’s name under “Closed-End Funds” in the “Products” section of mfs.com.

 

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LOGO

 

CONTACT US

TRANSFER AGENT, REGISTRAR, AND

DIVIDEND DISBURSING AGENT

CALL

1-800-637-2304

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

WRITE

Computershare Trust Company, N.A.

P.O. Box 43078

Providence, RI 02940-3078

 

New York Stock Exchange Symbol: CXE


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ITEM 2. CODE OF ETHICS.

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

 

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable for semi-annual reports.

 

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable for semi-annual reports.

 

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable for semi-annual reports.

 

ITEM 6. SCHEDULE OF INVESTMENTS.

A schedule of investments for 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.


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

 

MFS High Income 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

12/01/12-12/31/12

   0    N/A    0    3,144,234

1/01/13-1/31/13

   0    N/A    0    3,144,234

2/01/13-2/28/13

   0    N/A    0    3,144,234

3/01/13-3/31/13

   0    N/A    0    3,149,287

4/01/13-4/30/13

   0    N/A    0    3,149,287

5/01/13-5/31/13

   0    N/A    0    3,149,287
  

 

     

 

  

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 Registrant’s 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, 2013 plan year is 3,149,287.

 

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

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

 

ITEM 11. CONTROLS AND PROCEDURES.

 

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


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

 

ITEM 12. 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(a) 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.


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Notice

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


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SIGNATURES

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

Registrant MFS HIGH INCOME MUNICIPAL TRUST

 

By (Signature and Title)*     JOHN M. CORCORAN
  John M. Corcoran, President

Date: July 17, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)*     JOHN M. CORCORAN
  John M. Corcoran, President (Principal Executive Officer)

Date: July 17, 2013

 

By (Signature and Title)*     DAVID L. DILORENZO
 

David L. DiLorenzo, Treasurer (Principal Financial Officer

and Accounting Officer)

Date: July 17, 2013

 

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