MFS HIGH INCOME MUNICIPAL TRUST N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-5754

MFS HIGH INCOME MUNICIPAL TRUST

(Exact name of registrant as specified in charter)

500 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Susan S. Newton

Massachusetts Financial Services Company

500 Boylston Street

Boston, Massachusetts 02116

(Name and address of agents for service)

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

Date of fiscal year end: November 30

Date of reporting period: August 31, 2012

ITEM 1. SCHEDULE OF INVESTMENTS.

QUARTERLY REPORT

August 31, 2012

 

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MFS® HIGH INCOME MUNICIPAL TRUST

 

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PORTFOLIO OF INVESTMENTS

8/31/12 (unaudited)

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

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - 153.0%                 
Airport Revenue - 5.0%                 
Denver, CO, City & County Airport, “B”, ETM, 6.125%, 2025 (c)    $ 2,840,000      $ 2,847,865   
Denver, CO, City & County Airport, “C”, ETM, 6.125%, 2025 (c)      2,280,000        3,129,960   
Houston, TX, Airport System Rev., “B”, 5%, 2026      210,000        243,206   
Houston, TX, Airport System Rev., Subordinate Lien, “A”, 5%, 2031      195,000        216,720   
Port Authority NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 2036      315,000        361,673   
Port Authority NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 2042      360,000        412,793   
San Jose, CA, Airport Rev., “A-2”, 5.25%, 2034      960,000        1,071,225   
    

 

 

  
      $ 8,283,442   
General Obligations - General Purpose - 3.9%                 
Chicago, IL, Metropolitan Water Reclamation District-Greater Chicago, “C”, 5%, 2030    $ 1,000,000      $ 1,170,809   
Commonwealth of Puerto Rico, Public Improvement, “A”, 5.5%, 2039      1,240,000        1,290,479   
Las Vegas Valley, NV, Water District, “C”, 5%, 2029      1,175,000        1,364,162   
Luzerne County, PA, AGM, 6.75%, 2023      570,000        674,412   
State of California, 5.25%, 2028      425,000        502,651   
State of California, 5.25%, 2030      1,005,000        1,163,940   
State of Hawaii, “DZ”, 5%, 2031      255,000        304,489   
    

 

 

  
      $ 6,470,942   
General Obligations - Improvement - 0.1%                 
Guam Government, “A”, 7%, 2039    $ 110,000      $ 123,778   
General Obligations - Schools - 1.0%                 
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2031    $ 350,000      $ 164,023   
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2032      355,000        157,970   
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2033      715,000        301,128   
Chicago, IL, Board of Education, “A”, 5%, 2041      130,000        141,308   
Los Angeles, CA, Unified School District, “D”, 5%, 2034      210,000        237,377   
San Jacinto, TX, Community College District, 5.125%, 2038      550,000        601,332   
    

 

 

  
      $ 1,603,138   
Healthcare Revenue - Hospitals - 36.3%                 
Allegheny County, PA, Hospital Development Authority Rev. (University of Pittsburgh Medical Center), “A”, 5.375%, 2029    $ 560,000      $ 654,237   
Allegheny County, PA, Hospital Development Authority Rev. (West Penn Allegheny Health), “A”, 5%, 2028      565,000        476,837   
Allegheny County, PA, Hospital Development Authority Rev. (West Penn Allegheny Health), “A”, 5.375%, 2040      835,000        695,538   
Brunswick, GA, Hospital Authority Rev. (Glynn-Brunswick Memorial Hospital), 5.625%, 2034      220,000        245,848   
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.5%, 2040      750,000        813,443   
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.75%, 2040      165,000        181,774   
California Health Facilities Financing Authority Rev. (St. Joseph Health System), “A”, 5.75%, 2039      125,000        142,820   
California Health Facilities Financing Authority Rev. (Sutter Health), “A”, 5%, 2042      1,000,000        1,050,390   
California Health Facilities Financing Authority Rev. (Sutter Health), “B”, 5.875%, 2031      835,000        1,001,549   
California Statewide Communities Development Authority Rev. (Catholic Healthcare West), “K”, ASSD GTY, 5.5%, 2041      1,545,000        1,639,322   
Cullman County, AL, Health Care Authority (Cullman Regional Medical Center), “A”, 6.75%, 2029      75,000        81,088   
Delaware County, PA, Authority Rev. (Mercy Health Corp.), ETM, 6%, 2016 (c)      835,000        931,651   
Delaware County, PA, Authority Rev. (Mercy Health Corp.), ETM, 6%, 2026 (c)      1,000,000        1,130,890   
Gallia County, OH, Hospital Facilities Rev. (Holzer Health Systems), “A”, 8%, 2042      1,195,000        1,328,948   
Harris County, TX, Health Facilities Development Corp., Hospital Rev. (Memorial Hermann Healthcare Systems), “B”,
7.25%, 2035		      235,000        293,680   
Idaho Health Facilities Authority Rev. (IHC Hospitals, Inc.), ETM, 6.65%, 2021 (c)      1,750,000        2,398,760   
Illinois Finance Authority Rev. (Kewanee Hospital), 5.1%, 2031      505,000        504,374   
Illinois Finance Authority Rev. (Provena Health), “A”, 7.75%, 2034      620,000        805,554   
Illinois Finance Authority Rev. (Silver Cross Hospital & Medical Centers), 6.875%, 2038      615,000        736,469   
Indiana Health & Educational Facilities Finance Authority Rev. (Sisters of St. Francis Health Services, Inc.), “E”, AGM,
5.25%, 2041		      145,000        154,837   

 

1

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Healthcare Revenue - Hospitals - continued                 
Indiana Health & Educational Facilities Finance Authority, Hospital Rev. (Clarian Health), “A”, 5%, 2039    $ 2,255,000      $ 2,345,177   
Indiana Health & Educational Facilities Finance Authority, Hospital Rev. (Community Foundation of Northwest Indiana),
5.5%, 2037		      1,220,000        1,298,592   
Indiana Health & Educational Financing Authority Rev. (Community Foundation of Northwest Indiana ), “A”, 6%, 2034      575,000        600,927   
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.25%, 2031      380,000        440,234   
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.375%, 2041      240,000        278,316   
Johnson City, TN, Health & Educational Facilities Board Hospital Rev. (Mountain States Health Alliance), “A”, 5.5%, 2031      1,455,000        1,559,193   
Johnson City, TN, Health & Educational Facilities Board Hospital Rev. (Mountain States Health Alliance), “A”, 5.5%, 2036      535,000        567,410   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), “A”, 5.375%, 2024      375,000        430,388   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), “A”, 5.625%, 2027      125,000        144,500   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Owensboro Medical Health System), “A”, 6.375%, 2040      735,000        869,968   
Knox County, IN, Economic Development Rev. (Good Samaritan Hospital), “A”, 5%, 2037      65,000        69,537   
Knox County, IN, Economic Development Rev. (Good Samaritan Hospital), “A”, 5%, 2042      130,000        138,545   
Lake County, OH, Hospital Facilities Rev. (Lake Hospital Systems, Inc.), 5.625%, 2029      565,000        616,545   
Laramie County, WY, Hospital Rev. (Cheyenne Regional Medical Center Project), 5%, 2032      50,000        55,477   
Laramie County, WY, Hospital Rev. (Cheyenne Regional Medical Center Project), 5%, 2037      125,000        136,449   
Laramie County, WY, Hospital Rev. (Cheyenne Regional Medical Center Project), 5%, 2042      250,000        270,783   
Louisiana Public Facilities Authority Hospital Rev. (Lake Charles Memorial Hospital), 6.375%, 2034      1,125,000        1,208,914   
Louisville & Jefferson County, KY, Metro Government Health Facilities Rev. (Jewish Hospital & St. Mary’s Healthcare),
6.125%, 2018 (c)		      1,685,000        2,153,363   
Louisville & Jefferson County, KY, Metropolitan Government Healthcare Systems Rev. (Norton Healthcare, Inc.), 5.25%, 2036      420,000        439,685   
Lufkin, TX, Health Facilities Development Corp. Rev. (Memorial Health System), 5.5%, 2037      75,000        77,166   
Martin County, FL, Health Facilities Authority Rev. (Martin Memorial Medical Center), 5.5%, 2042      380,000        416,716   
Maryland Health & Higher Educational Facilities Authority Rev. (Anne Arundel Health System, Inc.), “A”, 6.75%, 2039      945,000        1,148,373   
Massachusetts Development Finance Agency Rev. (Tufts Medical Center), “I”, 7.25%, 2032      555,000        686,413   
Massachusetts Health & Educational Facilities Authority Rev. (Jordan Hospital), “E”, 6.75%, 2033      500,000        510,130   
Massachusetts Health & Educational Facilities Authority Rev. (Saints Memorial Medical Center), “A”, 6%, 2023      325,000        326,141   
Michigan Finance Authority Rev. (Trinity Health Corp.), 5%, 2035      1,250,000        1,403,113   
Monroe County, PA, Hospital Authority Rev. (Pocono Medical Center), “A”, 5%, 2032      65,000        69,907   
Monroe County, PA, Hospital Authority Rev. (Pocono Medical Center), “A”, 5%, 2041      45,000        47,395   
Montgomery, AL, Medical Clinic Board Health Care Facility Rev. (Jackson Hospital & Clinic), 5.25%, 2031      155,000        159,416   
Montgomery, AL, Medical Clinic Board Health Care Facility Rev. (Jackson Hospital & Clinic), 5.25%, 2036      800,000        817,600   
New Hampshire Business Finance Authority Rev. (Elliot Hospital Obligated Group), “A”, 6%, 2027      745,000        869,355   
New Hampshire Health & Education Facilities Authority Rev. (Memorial Hospital at Conway), 5.25%, 2036      800,000        805,320   
New Hanover County, NC, Hospital Rev., AGM, 5.125%, 2031      1,130,000        1,255,294   
New Jersey Health Care Facilities, Financing Authority Rev. (St. Peter’s University Hospital), 5.75%, 2037      700,000        745,416   
New Mexico Hospital Equipment Loan Council, Hospital Rev. (Rehoboth McKinley Christian Hospital), “A”, 5%, 2017      260,000        259,542   
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.5%, 2030      245,000        296,641   
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.25%, 2035      150,000        175,581   
Norman, OK, Regional Hospital Authority Rev., 5%, 2027      195,000        199,922   
Norman, OK, Regional Hospital Authority Rev., 5.375%, 2029      115,000        118,085   
Norman, OK, Regional Hospital Authority Rev., 5.375%, 2036      305,000        309,965   
North Carolina Medical Care Commission (Stanly Health Services, Inc.), 6.375%, 2029      1,915,000        1,922,124   
Olympia, WA, Healthcare Facilities Authority Rev. (Catholic Health Initiatives), “D”, 6.375%, 2036      1,405,000        1,682,670   
Palomar Pomerado Health Care District, CA, COP, 6.75%, 2039      1,125,000        1,260,731   
Rhode Island Health & Educational Building Corp. Rev., Hospital Financing (Lifespan Obligated Group), “A”, ASSD GTY,
7%, 2039		      840,000        992,552   
Royal Oak, MI, Hospital Finance Authority Rev. (William Beaumont Hospital), 8.25%, 2039      660,000        850,238   
Salida, CO, Hospital District Rev., 5.25%, 2036      892,000        906,977   
Skagit County, WA, Public Hospital District No. 001 Rev. (Skagit Valley Hospital), 5.75%, 2032      120,000        127,091   
South Carolina Jobs & Economic Development Authority (Bon Secours - Venice Healthcare Corp.), 5.5%, 2023      1,370,000        1,383,289   
South Dakota Health & Educational Facilities Authority Rev. (Avera Health), “A”, 5%, 2042      135,000        145,880   
South Lake County, FL, Hospital District Rev. (South Lake Hospital), 6.375%, 2034      500,000        526,745   
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6%, 2029      175,000        200,806   
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6.25%, 2039      100,000        114,622   
Southeastern Ohio Port Authority, Hospital Facilities Rev., 5.75%, 2032      380,000        395,474   
Southeastern Ohio Port Authority, Hospital Facilities Rev., 6%, 2042      305,000        317,511   

 

2

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Healthcare Revenue - Hospitals - continued                 
Sullivan County, TN, Health, Educational & Housing Facilities Board Hospital Rev. (Wellmont Health Systems Project), “C”, 5.25%, 2036    $ 225,000      $ 234,846   
Sumner County, TN, Health, Educational & Housing Facilities Board Rev. (Sumner Regional Health Systems, Inc.), “A”,
5.5%, 2046 (a)(d)		      475,000        5,938   
Tampa, FL, Hospital Rev. (H. Lee Moffitt Cancer Center), “A”, 5.75%, 2029      2,000,000        2,003,260   
Tyler, TX, Health Facilities Development Corp. (East Texas Medical Center), “A”, 5.25%, 2032      290,000        309,076   
Tyler, TX, Health Facilities Development Corp. (East Texas Medical Center), “A”, 5.375%, 2037      235,000        246,884   
Washington Health Care Facilities Authority Rev. (Multicare Health Systems), “B”, ASSD GTY, 6%, 2039      560,000        652,355   
Washington Health Care Facilities Authority Rev. (Providence Health & Services), “A”, 5%, 2033      1,395,000        1,564,967   
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), 6.4%, 2033      525,000        537,332   
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 2026      250,000        280,568   
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 2028      75,000        82,901   
Wisconsin Health & Educational Facilities Authority Rev. (Fort Healthcare, Inc.), 5.75%, 2029      1,000,000        1,057,110   
Wisconsin Health & Educational Facilities Authority Rev. (Meritor Hospital), “A”, 5.5%, 2031      920,000        1,033,648   
Wisconsin Health & Educational Facilities Authority Rev. (Meritor Hospital), “A”, 6%, 2041      605,000        697,033   
Wisconsin Health & Educational Facilities Authority Rev. (Wheaton Franciscan Services), 5.25%, 2034      865,000        903,086   
Wisconsin Health & Educational Facilities Authority Rev. (Wheaton Franciscan Services), “A”, 5.25%, 2025      500,000        507,375   
    

 

 

  
      $ 60,532,592   
Healthcare Revenue - Long Term Care - 16.8%                 
Abilene, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement Systems, Inc.), “A”, 5.9%, 2025    $ 964,000      $ 726,094   
Abilene, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement Systems, Inc.), “A”, 7%, 2033      500,000        376,315   
Bucks County, PA, Industrial Development Authority Retirement Community Rev. (Ann’s Choice, Inc.), “A”, 6.125%, 2025      1,000,000        1,013,080   
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 2027      120,000        122,608   
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 2037      155,000        155,749   
Chester County, PA, Industrial Development Authority Rev. (RHA Nursing Home), 8.5%, 2032      1,445,000        1,455,563   
Colorado Health Facilities Authority Rev. (American Baptist Homes), “A”, 5.9%, 2037      530,000        530,636   
Colorado Health Facilities Authority Rev. (Covenant Retirement Communities, Inc.), 5%, 2035      1,400,000        1,442,014   
Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries), 6.125%, 2029      890,000        995,679   
Fulton County, GA, Residential Care Facilities, Elderly Authority Rev. (Canterbury Court), “A”, 6.125%, 2034      750,000        766,350   
Hawaii Department of Budget & Finance, Special Purpose Rev. (15 Craigside Project), “A”, 8.75%, 2029      105,000        124,825   
Hawaii Department of Budget & Finance, Special Purpose Rev. (15 Craigside Project), “A”, 9%, 2044      180,000        214,855   
Houston, TX, Health Facilities Development Corp. (Buckingham Senior Living Community), “A”, 7.125%, 2014 (c)      500,000        552,795   
Howard County, MD, Retirement Facilities Rev. (Vantage House Corp.), “A”, 5.25%, 2033      250,000        242,648   
Illinois Finance Authority Rev. (Evangelical Retirement Homes of Greater Chicago, Inc.), 7.25%, 2045      1,050,000        1,155,546   
Illinois Finance Authority Rev. (Hoosier Care, Inc.), “A”, 7.125%, 2034      1,095,000        1,095,263   
Illinois Finance Authority Rev. (Smith Village), “A”, 6.25%, 2035      1,250,000        1,270,400   
Illinois Health Facilities Authority Rev. (Smith Crossing), “A”, 7%, 2032      725,000        732,468   
Indiana Health Facilities Financing Authority Rev. (Hoosier Care, Inc.), “A”, 7.125%, 2034      150,000        150,036   
Iowa Finance Authority, Health Care Facilities Rev. (Care Initiatives), “B”, 5.75%, 2018      365,000        365,767   
Iowa Finance Authority, Health Care Facilities Rev. (Care Initiatives), “B”, 5.75%, 2028      1,475,000        1,477,257   
La Verne, CA, COP (Brethren Hillcrest Homes), “B”, 6.625%, 2025      690,000        703,703   
Marion, IA, Health Care Facilities Rev., First Mortgage (AHF/Kentucky-Iowa, Inc.), 8%, 2029      514,000        526,279   
Massachusetts Development Finance Agency Rev. (Adventcare), “A”, 6.75%, 2037      895,000        940,922   
Massachusetts Development Finance Agency Rev. (Alliance Health of Brockton, Inc.), “A”, 7.1%, 2032      1,115,000        1,115,056   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 2031      168,995        137,516   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 2039      42,309        32,484   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-2”, 5.5%, 2046      11,291        7,536   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), Capital Appreciation, “B”, 0%, 2056      56,165        747   
Massachusetts Development Finance Agency Rev. (Loomis Communities, Inc.), “A”, 5.625%, 2015      190,000        190,230   
Massachusetts Development Finance Agency Rev. (Loomis Communities, Inc.), “A”, 6.9%, 2032      100,000        102,119   
Massachusetts Development Finance Agency Rev. (The Groves in Lincoln), “A”, 7.75%, 2039      100,000        54,132   
Massachusetts Development Finance Agency Rev. (The Groves in Lincoln), “A”, 7.875%, 2044      150,000        81,179   
Metropolitan Government of Nashville & Davidson County, TN, Health & Educational Facilities Board, First Mortgage,
8.5%, 2029		      1,063,000        1,075,341   

 

3

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Healthcare Revenue - Long Term Care - continued                 
Montgomery County, PA, Industrial Development Authority Retirement Community Rev. (ACTS Retirement—Life Communities, Inc.), 5%, 2028    $ 440,000      $ 476,876   
Montgomery County, PA, Industrial Development Authority Retirement Community Rev. (ACTS Retirement—Life Communities, Inc.), 5%, 2029      165,000        177,863   
Montgomery County, PA, Industrial Development Authority Rev. (Whitemarsh Continuing Care), 6.125%, 2028      250,000        254,525   
Montgomery County, PA, Industrial Development Authority Rev. (Whitemarsh Continuing Care), 6.25%, 2035      750,000        762,285   
New Jersey Economic Development Authority Rev. (Lions Gate), “A”, 5.75%, 2025      205,000        208,581   
New Jersey Economic Development Authority Rev. (Lions Gate), “A”, 5.875%, 2037      830,000        834,283   
New Jersey Economic Development Authority Rev. (Seabrook Village, Inc.), 5.25%, 2026      50,000        50,652   
Norfolk, VA, Redevelopment & Housing Authority Rev. (Fort Norfolk Retirement Community), “A”, 6.125%, 2035      140,000        140,909   
Pell City, AL, Special Care Facilities, Financing Authority Rev. (Noland Health Services, Inc.), 5%, 2039      225,000        239,002   
Shelby County, TN, Health, Educational & Housing Facilities Board Rev. (Germantown Village), “A”, 7.25%, 2034      350,000        352,937   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), “A”, 6%, 2032      260,226        201,618   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), “A”, 6%, 2047      238,838        172,912   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), Capital Appreciation, “B”, 0%, 2047      111,525        4,018   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), Capital Appreciation, “B”, 0%, 2047      102,359        3,688   
St. John’s County, FL, Industrial Development Authority Rev. (Presbyterian Retirement), “A”, 6%, 2045      780,000        870,223   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Air Force Village), 6.125%, 2029      65,000        72,097   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Air Force Village), 5.125%, 2037      65,000        65,304   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Air Force Village), 6.375%, 2044      525,000        573,410   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Stayton at Museum Way), 8.25%, 2044      980,000        1,095,013   
Tempe, AZ, Industrial Development Authority Rev. (Friendship Village), “A”, 6.25%, 2042      110,000        118,375   
Tempe, AZ, Industrial Development Authority Rev. (Friendship Village), “A”, 6.25%, 2046      85,000        91,343   
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7%, 2030      110,000        129,078   
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7.125%, 2040      165,000        192,435   
Washington County, PA, Industrial Development Authority Rev., First Mortgage (AHF/Central Project), 8.5%, 2029      1,059,000        1,068,775   
    

 

 

  
      $ 28,089,394   
Healthcare Revenue - Other - 0.4%                 
Massachusetts Health & Educational Facilities Authority Rev. (Civic Investments, Inc.), “A”, 9%, 2012 (c)    $ 600,000      $ 623,964   
Industrial Revenue - Airlines - 3.1%                 
Clayton County, GA, Development Authority Special Facilities Rev. (Delta Airlines, Inc.), “A”, 8.75%, 2029    $ 255,000      $ 310,570   
Clayton County, GA, Development Authority Special Facilities Rev. (Delta Airlines, Inc.), “B”, 9%, 2035      190,000        208,624   
Denver, CO, City & County Airport Rev. (United Airlines), 5.75%, 2032      470,000        486,657   
Houston, TX, Airport Systems Rev., Special Facilities (Continental Airlines, Inc. Terminal E project), 6.75%, 2029      500,000        501,730   
Houston, TX, Airport Systems Rev., Special Facilities (Continental Airlines, Inc. Terminal E project), 7%, 2029      250,000        251,193   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 4.875%, 2019      630,000        640,294   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.125%, 2023      455,000        459,768   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.25%, 2029 (b)      455,000        462,303   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 9%, 2033      750,000        795,233   
New York, NY, City Industrial Development Agencies Rev. (American Airlines, Inc.), 7.75%, 2031 (d)(q)      1,005,000        1,055,612   
    

 

 

  
      $ 5,171,984   
Industrial Revenue - Chemicals - 0.9%                 
Brazos River, TX, Harbor Navigation District (Dow Chemical Co.), “B-2”, 4.95%, 2033    $ 600,000      $ 645,342   
Port of Bay, TX, City Authority (Hoechst Celanese Corp.), 6.5%, 2026      840,000        840,764   
    

 

 

  
      $ 1,486,106   
Industrial Revenue - Environmental Services - 1.0%                 
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Republic Services, Inc.), “B”, 5.25%, 2023 (b)    $ 270,000      $ 310,797   
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Waste Management, Inc.), “C”, 5.125%, 2023      845,000        916,673   
Maine Finance Authority Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), 6.25%, 2025 (b)      450,000        457,389   
    

 

 

  
      $ 1,684,859   

 

4

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Industrial Revenue - Other - 2.0%                 
Annawan, IL, Tax Increment Rev. (Patriot Renewable Fuels LLC), 5.625%, 2018    $ 360,000      $ 330,941   
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.), 8%, 2028      500,000        500,445   
Houston, TX, Industrial Development Corp. (United Parcel Service, Inc.), 6%, 2023      590,000        564,795   
New Jersey Economic Development Authority Rev. (GMT Realty LLC), “B”, 6.875%, 2037      1,500,000        1,508,385   
St. Charles Parish, LA, Gulf Zone Opportunity Zone Rev. (Valero Energy Corp.), 4%, 2040 (b)      465,000        499,517   
    

 

 

  
      $ 3,404,714   
Industrial Revenue - Paper - 1.9%                 
Courtland, AL, Industrial Development Board Rev. (International Paper Co.), “B”, 6.25%, 2025    $ 1,000,000      $ 1,025,810   
Escambia County, FL, Environmental Improvement Rev. (International Paper Co.), “A”, 5%, 2026      1,270,000        1,270,660   
Escambia County, FL, Environmental Improvement Rev. (International Paper Co.), “A”, 4.75%, 2030      370,000        370,178   
Phenix City, AL, Industrial Development Board Environmental Improvement Rev., “A” (Mead Westvaco Coated Board Project), 6.35%, 2035      550,000        551,848   
    

 

 

  
      $ 3,218,496   
Miscellaneous Revenue - Entertainment & Tourism - 1.0%                 
Agua Caliente Band of Cahuilla Indians, CA, Rev., 5.6%, 2013 (n)    $ 230,000      $ 231,886   
Brooklyn, NY, Arena Local Development Corp. (Barclays Center Project), 6%, 2030      155,000        180,595   
Brooklyn, NY, Arena Local Development Corp. (Barclays Center Project), 6.25%, 2040      100,000        114,009   
Cow Creek Band of Umpqua Tribe of Indians, OR, “C”, 5.625%, 2026 (n)      800,000        736,744   
Seminole Tribe, FL, Special Obligation Rev., “A”, 5.25%, 2027 (n)      365,000        380,633   
    

 

 

  
      $ 1,643,867   
Miscellaneous Revenue - Other - 4.3%                 
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, SYNCORA, 5.25%, 2024    $ 395,000      $ 417,274   
Citizens Property Insurance Corp., FL, “A-1”, 5%, 2019      135,000        155,347   
Citizens Property Insurance Corp., FL, “A-1”, 5%, 2020      875,000        1,009,995   
Cleveland-Cuyahoga County, OH, Port Authority Rev. (Columbia National Group), 5%, 2020      540,000        536,252   
Dallas, TX, Civic Center Convention Complex Rev., ASSD GTY, 5.25%, 2034      1,065,000        1,194,983   
District of Columbia Rev. (American Society Hematology), 5%, 2036      65,000        70,507   
District of Columbia Rev. (American Society Hematology), 5%, 2042      50,000        53,941   
Massachusetts Port Authority Facilities Rev. (Conrac Project), “A”, 5.125%, 2041      50,000        54,688   
New York Liberty Development Corp., Liberty Rev. (One Bryant Park LLC), 6.375%, 2049      685,000        790,134   
New York Liberty Development Corp., Liberty Rev. (World Trade Center Project), 5%, 2044      695,000        767,669   
V Lakes Utility District, MS, Water Systems Rev., 7%, 2037      300,000        297,174   
Wisconsin Public Finance Authority, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), 5.25%, 2028      1,675,000        1,773,725   
    

 

 

  
      $ 7,121,689   
Multi-Family Housing Revenue - 5.5%                 
Broward County, FL, Housing Finance Authority Rev. (Chaves Lakes Apartments Ltd.), “A”, 7.5%, 2040    $ 740,000      $ 740,318   
Capital Trust Agency, FL, Housing Rev. (Atlantic Housing Foundation), “B”, 7%, 2032 (d)(q)      735,000        330,397   
Charter Mac Equity Issuer Trust, FHLMC, 6.3%, 2052 (n)      1,000,000        1,114,390   
District of Columbia Housing Finance Agency (Henson Ridge), “E”, FHA, 5.1%, 2037      1,000,000        1,027,410   
Durham, NC, Durham Housing Authority Rev. (Magnolia Pointe Apartments), 5.65%, 2038      1,366,727        1,243,872   
El Paso County, TX, Housing Finance Corp. (American Housing Foundation), “C”, 8%, 2032      345,000        346,504   
El Paso County, TX, Housing Finance Corp. (American Housing Foundation), “D”, 10%, 2032      375,000        376,556   
MuniMae TE Bond Subsidiary LLC, 9.64%, 2050 (z)      2,000,000        1,800,120   
Resolution Trust Corp., Pass-Through Certificates, “1993”, 8.5%, 2016 (z)      546,075        533,783   
Texas Department of Housing & Community Affairs (Pebble Brook Apartments), FNMA, 5.5%, 2018      845,000        847,391   
Wilmington, DE, Multi-Family Housing Rev. (Electra Arms Senior Associates), 6.25%, 2028      760,000        736,995   
    

 

 

  
      $ 9,097,736   

 

5

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Parking - 0.2%                 
Boston, MA, Metropolitan Transit Parking Corp., Systemwide Parking Rev., 5.25%, 2036    $ 370,000      $ 415,466   
Port Revenue - 0.3%                 
Maryland Economic Development Corp. Rev. (Port America Chesapeake Terminal Project), “B”, 5.375%, 2025    $ 125,000      $ 136,766   
Maryland Economic Development Corp. Rev. (Port America Chesapeake Terminal Project), “B”, 5.75%, 2035      365,000        395,492   
    

 

 

  
      $ 532,258   
Sales & Excise Tax Revenue - 4.2%                 
Bolingbrook, IL, Sales Tax Rev., 6.25%, 2024    $ 750,000      $ 476,828   
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 2029      215,000        252,812   
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 2030      430,000        503,362   
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 2031      80,000        93,369   
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 2034      795,000        926,914   
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 2041      385,000        444,602   
Massachusetts Bay Transportation Authority, Sales Tax Rev., “A”, 5%, 2024      1,385,000        1,778,312   
Massachusetts School Building Authority, Dedicated Sales Tax Rev., AMBAC, 4.75%, 2032      845,000        922,579   
Massachusetts School Building Authority, Dedicated Sales Tax Rev., “B”, 5%, 2032      490,000        581,757   
Miami-Dade County, FL, Transit Sales Surtax Rev., 5%, 2037      365,000        411,443   
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., “C”, 5.25%, 2041      45,000        47,559   
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, 0% to 2016, 6.75% to 2032      585,000        604,896   
    

 

 

  
      $ 7,044,433   
Single Family Housing - Local - 1.5%                 
Minneapolis & St. Paul Housing Authority Rev. (City Living), “A-2”, GNMA, 5%, 2038    $ 425,945      $ 433,923   
Pittsburgh, PA, Urban Redevelopment Authority Rev., “C”, GNMA, 4.8%, 2028      2,000,000        2,042,840   
    

 

 

  
      $ 2,476,763   
Single Family Housing - State - 1.3%                 
Colorado Housing & Finance Authority, “A”, 5.5%, 2029    $ 1,315,000      $ 1,346,731   
Iowa Finance Authority, Single Family Mortgage Rev., “E”, 5.4%, 2032      175,000        176,348   
North Dakota Housing Finance Agency Rev., “A”, 4.85%, 2021      10,000        10,293   
Oklahoma Housing Finance Agency Rev. (Homeownership Loan Program), “C”, GNMA, 5%, 2026      550,000        562,689   
    

 

 

  
      $ 2,096,061   
Solid Waste Revenue - 0.3%                 
Massachusetts Development Finance Agency, Resource Recovery Rev. (Ogden Haverhill Associates), “A”, 6.7%, 2014    $ 30,000      $ 30,108   
Massachusetts Development Finance Agency, Resource Recovery Rev. (Ogden Haverhill Associates), “A”, 5.6%, 2019      500,000        501,425   
    

 

 

  
      $ 531,533   
State & Local Agencies - 5.7%                 
California Public Works Board Lease Rev., Department of Mental Health (Coalinga), “A”, 5.5%, 2019    $ 1,000,000      $ 1,059,750   
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Enhanced, “A”, FGIC, 5%, 2035      140,000        143,440   
Guam Government Department of Education (John F. Kennedy High School), “A”, COP, 6.875%, 2040      375,000        410,561   
Louisiana Military Department Custody Receipts, 5%, 2024      1,500,000        1,608,525   
New York Urban Development Corp. (University Facilities Grants), 5.875%, 2021      1,000,000        1,216,060   
Newberry, SC, Investing in Children’s Education (Newberry County School District Program), 5%, 2030      500,000        522,575   
Philadelphia, PA, Municipal Authority Rev., 6.5%, 2034      170,000        196,564   
Puerto Rico Public Finance Corp., “E”, ETM, 6%, 2026 (c)      155,000        219,048   
Puerto Rico Public Finance Corp., “E”, ETM, 6%, 2026      1,645,000        2,373,011   
Puerto Rico Public Finance Corp., Commonwealth Appropriations, “B”, 6%, 2026      285,000        329,409   
Puerto Rico Public Finance Corp., Commonwealth Appropriations, “B”, 5.5%, 2031      415,000        436,746   
Wisconsin General Fund Annual Appropriation Rev., “A”, 5.75%, 2033      840,000        1,004,060   
    

 

 

  
      $ 9,519,749   
Student Loan Revenue - 0.7%                 
Iowa Student Loan Liquidity Corp., “A-2”, 5.5%, 2025    $ 260,000      $ 289,401   
Iowa Student Loan Liquidity Corp., “A-2”, 5.6%, 2026      260,000        289,975   

 

6

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Student Loan Revenue - continued                 
Iowa Student Loan Liquidity Corp., “A-2”, 5.7%, 2027    $ 25,000      $ 27,937   
Iowa Student Loan Liquidity Corp., “A-2”, 5.75%, 2028      475,000        529,744   
    

 

 

  
      $ 1,137,057   
Tax - Other - 2.9%                 
Dallas County, TX, Flood Control District, 7.25%, 2032    $ 1,000,000      $ 1,014,620   
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5%, 2047      460,000        487,177   
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5.75%, 2047      480,000        556,435   
New Jersey Economic Development Authority Rev., 5%, 2025      170,000        191,097   
New Jersey Economic Development Authority Rev., 5%, 2026      85,000        95,100   
New Jersey Economic Development Authority Rev., 5%, 2028      35,000        38,732   
New Jersey Economic Development Authority Rev., 5%, 2029      35,000        38,581   
New York Dormitory Authority, State Personal Income Tax Rev., ”C”, 5%, 2034      1,330,000        1,530,936   
New York, NY, City Transitional Finance Authority Building Aid Rev., “S-3”, 5.25%, 2039      560,000        623,168   
Virgin Islands Public Finance Authority Rev. (Diageo Project), “A”, 6.75%, 2037      255,000        297,118   
    

 

 

  
      $ 4,872,964   
Tax Assessment - 5.7%                 
Anne Arundel County, MD, Special Obligation (National Business Park-North Project), 6.1%, 2040    $ 175,000      $ 189,259   
Atlanta, GA, Tax Allocation (Eastside Project), “A”, 5.625%, 2016      285,000        316,493   
Celebration Community Development District, FL, “A”, 6.4%, 2034      885,000        900,328   
Chicago, IL, Tax Increment Allocation (Pilsen Redevelopment), “B”, 6.75%, 2022      450,000        469,211   
Du Page County, IL, Special Service Area No. 31 Special Tax (Monarch Landing Project), 5.625%, 2036      250,000        248,225   
Heritage Harbour North Community Development District, FL, Capital Improvement Rev., 6.375%, 2038      395,000        378,864   
Homestead, Community Development District, FL, Special Assessment, “A”, 6%, 2037      470,000        334,118   
Homestead, Community Development District, FL, Special Assessment, “B”, 5.9%, 2013      180,000        126,909   
Huntington Beach, CA, Community Facilities District, Special Tax (Grand Coast Resort), “2000-1”, 6.45%, 2031      750,000        758,243   
Lincoln, CA, Special Tax (Community Facilities District ), “2003-1”, 5.9%, 2013 (c)      445,000        477,650   
Lincolnshire, IL, Special Service Area No. 1 (Sedgebrook Project), 6.25%, 2034      500,000        506,485   
Oakmont Grove Community Development District, FL, “A”, 5.4%, 2038 (a)(d)      500,000        185,000   
Ohio County, WV, Commission Tax Increment Rev. (Fort Henry Centre), “A”, 5.85%, 2034      165,000        172,532   
Plano, IL, Special Service Area No. 4 (Lakewood Springs Project Unit 5-B), 6%, 2035      1,915,000        1,900,963   
San Diego, CA, Redevelopment Agency, Tax Allocation Rev., Capital Appreciation, AGM, 0%, 2022      1,910,000        1,262,395   
Seven Oaks, FL, Community Development District II Special Assessment Rev., “A”, 5.875%, 2035      250,000        190,773   
Sweetwater Creek Community Development District, FL, Capital Improvement Rev., “A”, 5.5%, 2038 (a)(d)      285,000        117,206   
Tuscany Reserve Community Development District, FL, Special Assessment, “B”, 5.25%, 2016      235,000        216,296   
West Villages Improvement District, FL, Special Assessment Rev. (Unit of Development No. 3), 5.5%, 2037 (a)(d)      710,000        305,300   
Westridge, FL, Community Development District, Capital Improvement Rev., 5.8%, 2037 (a)(d)      1,210,000        459,800   
    

 

 

  
      $ 9,516,050   
Tobacco - 8.7%                 
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 5.125%, 2024    $ 2,635,000      $ 2,219,355   
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 5.875%, 2030      1,155,000        957,622   
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 5.75%, 2034      635,000        509,181   
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 5.875%, 2047      525,000        423,770   
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., “A-1”, 6.25%, 2013 (c)(f)      915,000        955,278   
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., “A-1”, 5.75%, 2047      670,000        568,837   
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Asset Backed, “A-1”, 5%, 2033      560,000        454,082   
Illinois Railsplitter Tobacco Settlement Authority, 6%, 2028      1,710,000        2,003,983   
New Jersey Tobacco Settlement Financing Corp., “1-A”, 5%, 2041      4,670,000        3,852,003   
Rhode Island Tobacco Settlement Authority, 6%, 2023      1,090,000        1,091,690   
Suffolk, NY, Tobacco Asset Securitization Corp., Tobacco Settlement, “B”, 5.25%, 2037      105,000        111,231   
Tobacco Securitization Authority, Minnesota Tobacco Settlement Rev., “B”, 5.25%, 2031      1,005,000        1,130,374   
Washington Tobacco Settlement Authority Rev., 6.625%, 2032      250,000        259,563   
    

 

 

  
      $ 14,536,969   

 

7

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Toll Roads - 5.4%                 
Bay Area Toll Authority, CA, Toll Bridge Rev. (San Francisco Bay Area), “F1”, 5%, 2034    $ 1,850,000      $ 2,067,597   
E-470 Public Highway Authority, CO, Capital Appreciation, “B”, NATL, 0%, 2018      1,500,000        1,220,820   
Mid-Bay Bridge Authority, FL, Springing Lien Rev., “A”, 7.25%, 2040      1,015,000        1,277,043   
North Texas Tollway Authority Rev., 6%, 2038      970,000        1,130,719   
North Texas Tollway Authority Rev. (Special Projects System), “D”, 5%, 2031      710,000        821,726   
Triborough Bridge & Tunnel Authority Rev., NY, “A”, 5%, 2025      365,000        442,457   
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 5.25%, 2032      360,000        392,558   
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 6%, 2037      595,000        680,930   
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 5.5%, 2042      950,000        1,044,468   
    

 

 

  
      $ 9,078,318   
Universities - Colleges - 9.1%                 
Allegheny County, PA, Higher Education Building Authority Rev. (Chatham University), “A”, 5%, 2030    $ 100,000      $ 108,595   
Brevard County, FL, Industrial Development Rev. (TUFF Florida Tech LLC Project), 6.75%, 2039      685,000        764,570   
California Educational Facilities Authority Rev. (Chapman University), 5%, 2031      190,000        209,903   
California Educational Facilities Authority Rev. (University of Southern California), “A”, 5.25%, 2038      1,650,000        1,892,022   
California Municipal Finance Authority Rev. (Biola University), 5.8%, 2028      100,000        110,479   
Florida Higher Educational Facilities, Financial Authority Rev. (University of Tampa Project), “A”, 5%, 2032      30,000        32,941   
Florida Higher Educational Facilities, Financial Authority Rev. (University of Tampa Project), “A”, 5.25%, 2042      265,000        293,559   
Florida State University Board of Governors, System Improvement Rev., 6.25%, 2030      1,500,000        1,823,085   
Grand Valley, MI, State University Rev., 5.5%, 2027      175,000        197,323   
Grand Valley, MI, State University Rev., 5.625%, 2029      85,000        95,465   
Harris County, TX, Cultural Education Facilities Rev. (Baylor College of Medicine), “D”, 5.625%, 2032      330,000        368,910   
Illinois Finance Authority Rev. (Illinois Institute of Technology), “A”, 5%, 2036      135,000        125,632   
Illinois Finance Authority Rev. (Roosevelt University Project), 6.25%, 2029      590,000        665,603   
Illinois Finance Authority Rev. (Roosevelt University Project), 6.5%, 2039      195,000        219,767   
Illinois Finance Authority Rev. (University of Chicago), “A”, 5%, 2051      210,000        233,258   
Lakeland, FL, Educational Facilites Rev. (Florida Southern College), “A”, 5%, 2032      95,000        101,707   
Lakeland, FL, Educational Facilites Rev. (Florida Southern College), “A”, 5%, 2037      160,000        169,547   
Lakeland, FL, Educational Facilites Rev. (Florida Southern College), “A”, 5%, 2042      85,000        89,718   
Massachusetts Development Finance Agency Rev. (The Broad Institute, Inc.), “A”, 5.25%, 2037      710,000        787,965   
Massachusetts Health & Educational Facilities Authority Rev. (Simmons College), “I”, 8%, 2029      315,000        373,269   
Massachusetts Health & Educational Facilities Authority Rev. (Suffolk University), “A”, 6.25%, 2030      920,000        1,071,644   
Portage County, OH, Port Authority Rev. (Northeast Ohio Medical University Project), 5%, 2037      250,000        268,520   
Savannah, GA, Economic Development Authority Rev. (AASU Student Union LLC), ASSD GTY, 5.125%, 2039      415,000        452,230   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2030      245,000        288,644   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2031      110,000        128,644   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2032      105,000        122,436   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2037      190,000        217,522   
University of Illinois Rev. (Auxiliary Facilities Systems), “A”, 5.125%, 2029      2,370,000        2,647,243   
University of Southern Indiana Rev. (Student Fee), “J”, ASSD GTY, 5.75%, 2028      370,000        460,765   
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.25%, 2032      275,000        316,729   
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.375%, 2036      100,000        114,732   
Washington Higher Education Facilities Authority Rev. (Whitworth University), 5.875%, 2034      355,000        396,318   
    

 

 

  
      $ 15,148,745   
Universities - Dormitories - 2.1%                 
Bowling Green, OH, Student Housing Rev. (State University Project), 5.75%, 2031    $ 225,000      $ 245,025   
Buffalo & Erie County, NY, Industrial Land Development Corp. Rev. (Buffalo State College), “A”, 5.375%, 2041      250,000        285,633   
California Statewide Communities Development Authority Rev. (Lancer Educational Student Housing Project),
5.625%, 2033		      1,015,000        1,048,475   
Illinois Finance Authority Student Housing Rev. (Northern Illinois University Project), 6.625%, 2031      785,000        912,515   
Mississippi State University, Educational Building Corp., 5%, 2036      560,000        630,146   
Oregon Facilities Authority, Student Housing Rev. (Southern Oregon University), ASSD GTY, 4.7%, 2033      65,000        69,260   
Oregon Facilities Authority, Student Housing Rev. (Southern Oregon University), ASSD GTY, 5%, 2044      75,000        80,345   
Pennsylvania Higher Educational Facilities Authority Rev. (Edinboro University Foundation), 5.8%, 2030      100,000        112,837   

 

8

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Universities - Dormitories - continued                 
Pennsylvania Higher Educational Facilities Authority Rev. (Edinboro University Foundation), 6%, 2043    $ 145,000      $ 162,850   
    

 

 

  
      $ 3,547,086   
Universities - Secondary Schools - 0.9%                 
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5.5%, 2031    $ 125,000      $ 136,909   
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5.75%, 2041      100,000        111,059   
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.125%, 2040      320,000        359,885   
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.25%, 2045      200,000        225,610   
La Vernia, TX, Higher Education Finance Corp. Rev. (KIPP, Inc.), “A”, 6.25%, 2039      250,000        287,388   
North Texas Education Finance Corp., Education Rev. (Uplift Education), “A”, 4.875%, 2032      85,000        88,712   
North Texas Education Finance Corp., Education Rev. (Uplift Education), “A”, 5.125%, 2042      215,000        226,004   
    

 

 

  
      $ 1,435,567   
Utilities - Cogeneration - 0.4%                 
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Central Facilities (Cogeneration Facilities—AES Puerto Rico Project), 6.625%, 2026    $ 645,000      $ 645,303   
Utilities - Investor Owned - 6.3%                 
Apache County, AZ, Industrial Development Authority, Pollution Control Rev. (Tucson Electric Power Co.), ”A”, 4.5%, 2030    $ 450,000      $ 467,253   
Brazos River Authority, TX, Pollution Control Rev. (TXU Electric Co. LLC), “C”, 6.75%, 2038      645,000        80,928   
Bryant, IL, Pollution Control Rev. (Central Illinois Light Co.), 5.9%, 2023      2,575,000        2,583,652   
Chula Vista, CA, Industrial Development Rev. (San Diego Gas), 5.875%, 2034      310,000        365,840   
Hawaii Department of Budget & Finance Special Purpose Rev. (Hawaiian Electric Co. & Subsidiary), 6.5%, 2039      950,000        1,102,143   
Maricopa County, AZ, Pollution Control Rev. (El Paso Electric Co. Palo Verde Project), “A”, 4.5%, 2042      190,000        193,184   
Massachusetts Development Finance Agency, Solid Waste Disposal Rev. (Dominion Energy Brayton), 5.75%, 2042 (b)      105,000        126,506   
Mississippi Business Finance Corp., Pollution Control Rev. (Systems Energy Resources Project), 5.875%, 2022      2,000,000        2,004,040   
New Hampshire Business Finance Authority, Pollution Control Rev. (Public Service of New Hampshire), “B”, NATL,
4.75%, 2021		      250,000        262,413   
Ohio Air Quality Development Authority Rev. (FirstEnergy Corp.), “A”, 5.7%, 2020      665,000        772,191   
Owen County, KY, Waterworks System Rev. (American Water Co. Project), “A”, 6.25%, 2039      260,000        288,717   
Pennsylvania Economic Development Financing Authority (Allegheny Energy Supply Co. LLC), 7%, 2039      765,000        914,083   
Pima County, AZ, Industrial Development Authority Rev. (Tucson Electric Power Co.), 5.75%, 2029      1,295,000        1,381,856   
    

 

 

  
      $ 10,542,806   
Utilities - Municipal Owned - 1.2%                 
Long Island, NY, Power Authority, “A”, 5%, 2038    $ 940,000      $ 1,043,701   
Puerto Rico Electric Power Authority, Power Rev., “A”, 5%, 2042      465,000        472,184   
Sacramento, CA, Municipal Utility District, “X”, 5%, 2028      465,000        544,217   
    

 

 

  
      $ 2,060,102   
Utilities - Other - 2.4%                 
California M-S-R Energy Authority Gas Rev., “A”, 7%, 2034    $ 155,000      $ 206,328   
California M-S-R Energy Authority Gas Rev., “A”, 6.5%, 2039      650,000        824,831   
Georgia Main Street Natural Gas, Inc., Gas Project Rev., “A”, 5.5%, 2028      430,000        487,702   
Public Authority for Colorado Energy Natural Gas Purchase Rev., 6.5%, 2038      35,000        44,369   
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 2021      2,185,000        2,410,274   
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 2024      75,000        82,654   
    

 

 

  
      $ 4,056,158   
Water & Sewer Utility Revenue - 10.5%                 
Atlanta, GA, Water & Wastewater Rev., “A”, 6%, 2022    $ 465,000      $ 587,314   
Birmingham, AL, Waterworks Board Water Rev., “A”, ASSD GTY, 5.125%, 2034      755,000        837,982   
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, 5.75%, 2037      370,000        393,066   
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, 6%, 2044      160,000        168,805   
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 2028      160,000        192,766   
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 2029      145,000        173,276   
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 2030      95,000        112,773   
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 2031      20,000        23,584   

 

9

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Water & Sewer Utility Revenue - continued                 
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 2041    $ 535,000      $ 606,316   
East Bay, CA, Municipal Utility District, Water System Rev., “A”, 5%, 2028      2,000,000        2,415,260   
Guam Government Waterworks Authority, Water & Wastewater Rev., 5.875%, 2035      1,125,000        1,154,655   
Houston, TX, Utility System Rev., “D”, 5%, 2036      550,000        628,271   
King County, WA, Sewer Rev., 5%, 2040      1,765,000        1,992,279   
Massachusetts Water Resources Authority, “B”, 5%, 2041      350,000        401,380   
New Hampshire Industrial Development Authority Rev. (Pennichuck Water Works, Inc.), ETM, 7.5%, 2018 (c)      190,000        220,662   
New York Environmental Facilities Corp., Clean Drinking Water Revolving Funds, 5%, 2024      265,000        328,685   
New York Environmental Facilities Corp., Clean Drinking Water Revolving Funds, 5%, 2041      865,000        994,681   
New York Environmental Facilities, “C”, 5%, 2041      1,195,000        1,372,673   
New York, NY, Municipal Water Finance Authority, Water & Sewer System Rev., “AA”, 5%, 2034      2,510,000        2,898,849   
New York, NY, Municipal Water Finance Authority, Water & Sewer Systems Rev., “DD”, 4.75%, 2035      1,010,000        1,115,959   
Surprise, AZ, Municipal Property Corp., 4.9%, 2032      800,000        811,080   
    

 

 

  
             $ 17,430,316   
Total Municipal Bonds            $ 255,180,405   
Money Market Funds - 4.0%                 
MFS Institutional Money Market Portfolio, 0.16%, at Net Asset Value (v)      6,596,972      $ 6,596,972   
Total Investments            $ 261,777,377   
Other Assets, Less Liabilities - 1.5%              2,490,511   
Preferred shares (Issued by the Fund) - (58.5)%              (97,500,000 ) 
Net assets applicable to common shares - 100.0%            $ 166,767,888   

 

(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 $2,463,653 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  
MuniMae TE Bond Subsidiary LLC, 9.64%, 2050    5/30/00      $2,000,000         $1,800,120   
Resolution Trust Corp., Pass-Through Certificates, “1993”, 8.5%, 2016    8/27/93      549,989         533,783   
Total Restricted Securities            $2,333,903   
% of Net assets applicable to common shares            1.4%   

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

 

COP   Certificate of Participation
ETM   Escrowed to Maturity
LOC   Letter of Credit

 

10

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.
SYNCORA    Syncora Guarantee Inc.

Derivative Contracts at 8/31/12

Futures Contracts Outstanding at 8/31/12

 

Description    Currency      Contracts      Value    Expiration Date    Unrealized
Appreciation
(Depreciation)		  
Liability Derivatives               
Interest Rate Futures               
U.S. Treasury Note 10 yr (Short)      USD         221       $29,551,844    December - 2012      $(221,774 ) 
U.S. Treasury Note 30 yr (Short)      USD         46       6,964,688    December - 2012      (92,161 ) 
              

 

 

  
                 $(313,935 ) 
              

 

 

  

At August 31, 2012, the fund had liquid securities with an aggregate value of $482,337 to cover any commitments for certain derivative contracts.

See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.

 

11

Supplemental Information

8/31/12 (unaudited)

(1) Investment Valuations

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

The Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund’s investments (including any fair valuation) to the adviser pursuant to valuation policies and procedures approved by the Board. If the adviser determines that reliable market quotations are not readily available, investments are valued at fair value as determined in good faith by the adviser in accordance with such procedures under the oversight of the Board of Trustees. Under the fund’s valuation policies and procedures, market quotations are not considered to be readily available for most types of debt instruments and floating rate loans and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services. In addition, investments may be valued at fair value if the adviser determines that an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund’s net asset value, or after the halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. Events that occur on a frequent basis after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination of the fund’s net asset value may be deemed to have a material effect on the value of securities traded in foreign markets. Accordingly, the fund’s foreign equity securities may often be valued at fair value. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.

Various inputs are used in determining the value of the fund’s assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments not reflected in total investments, such as futures contracts. The following is a summary of the levels used as of August 31, 2012 in valuing the fund’s assets or liabilities:

 

Investments at Value    Level 1      Level 2      Level 3      Total  
Municipal Bonds      $—         $255,180,405         $—         $255,180,405   
Mutual Funds      6,596,972         —         —         6,596,972   
Total Investments      $6,596,972         $255,180,405         $—         $261,777,377   
Other Financial Instruments                            
Futures Contracts      $(313,935 )       $—         $—         $(313,935 ) 

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

 

12

Supplemental Information (unaudited) – continued

 

The following is a reconciliation of level 3 assets for which significant unobservable inputs were used to determine fair value. The fund’s policy is to recognize transfers between the levels as of the end of the period. The table presents the activity of level 3 securities held at the beginning and the end of the period.

 

     Municipal Bonds  
Balance as of 11/30/11      $116,462   

Accrued discounts/premiums

      7   

Realized gain (loss)

      (147,685)   

Change in unrealized appreciation (depreciation)

      139,618   

Liquidation proceeds

      (108,402 ) 
Balance as of 8/31/12      $—   

The net change in unrealized appreciation (depreciation) from investments still held as level 3 at August 31, 2012 is $0.

(2) Portfolio Securities

The cost and unrealized appreciation and depreciation in the value of the investments owned by the fund, as computed on a federal income tax basis, are as follows:

 

Aggregate cost      $240,453,131   
Gross unrealized appreciation      25,831,655   
Gross unrealized depreciation      (4,507,409 ) 
Net unrealized appreciation (depreciation)      $21,324,246   

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

(3) Transactions in Underlying Affiliated Funds – Affiliated Issuers

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

 

Underlying Affiliated Fund    Beginning
Shares/Par
Amount		      Acquisitions
Shares/Par
Amount		      Dispositions
Shares/Par
Amount		      Ending
Shares/Par
Amount		  
MFS Institutional Money Market Portfolio      2,249,831         37,910,854         (33,563,713 )       6,596,972   
Underlying Affiliated Fund    Realized
Gain (Loss)		      Capital Gain
Distributions		      Dividend
Income		      Ending
Value		  
MFS Institutional Money Market Portfolio      $—         $—         $3,831         $6,596,972   

(4) Subsequent Event

On September 17, 2012, the fund issued 3,675 of Variable Rate Municipal Term Preferred Shares (VMTP) at a stated value of $25,000 per share. Proceeds from the issuance of VMTP shares were used to redeem 94.2% of the fund’s outstanding Auction Rate Preferred Shares (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.

 

13

ITEM 2. CONTROLS AND PROCEDURES.

 

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

 

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

 

ITEM 3. EXHIBITS.

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

Notice

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

SIGNATURES

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

Registrant: MFS HIGH INCOME MUNICIPAL TRUST

 

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

Date: October 17, 2012

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

 

By (Signature and Title)*    JOHN M. CORCORAN
 

John M. Corcoran, President

(Principal Executive Officer)

Date: October 17, 2012

 

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

Date: October 17, 2012

 

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