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)

111 Huntington Avenue, Boston, Massachusetts 02199

(Address of principal executive offices) (Zip code)

Susan S. Newton

Massachusetts Financial Services Company

111 Huntington Avenue

Boston, Massachusetts 02199

(Name and address of agents for service)

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

Date of fiscal year end: November 30

Date of reporting period: August 31, 2013

ITEM 1. SCHEDULE OF INVESTMENTS.

QUARTERLY REPORT

August 31, 2013

 

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MFS® HIGH INCOME MUNICIPAL TRUST

 

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PORTFOLIO OF INVESTMENTS

8/31/13 (unaudited)

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

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - 150.9%                 
Airport Revenue - 5.4%                 
Burlington, VT, Airport Rev., “A”, 4%, 2028    $ 110,000      $ 84,417   
Denver, CO, City & County Airport Systems Rev., “A”, 5%, 2028      205,000        203,682   
Denver, CO, City & County Airport, “B”, ETM, 6.125%, 2025 (c)      2,840,000        2,847,893   
Denver, CO, City & County Airport, “C”, ETM, 6.125%, 2025 (c)      2,280,000        2,799,202   
Guam International Airport Authority Rev., “C”, 5%, 2016      35,000        37,177   
Guam International Airport Authority Rev., “C”, 5%, 2017      60,000        63,691   
Houston, TX, Airport System Rev., “B”, 5%, 2026      210,000        223,394   
Houston, TX, Airport System Rev., Subordinate Lien, “A”, 5%, 2031      195,000        183,306   
Port Authority of NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 2036      315,000        345,930   
Port Authority of NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 2042      360,000        391,396   
San Jose, CA, Airport Rev., “A-2”, 5.25%, 2034      960,000        965,894   
    

 

 

  
             $ 8,145,982   
General Obligations - General Purpose - 3.7%                 
Bellwood, IL, 5.875%, 2027    $ 200,000      $ 178,574   
Bellwood, IL, 6.15%, 2032      300,000        262,359   
Chicago, IL, Metropolitan Water Reclamation District-Greater Chicago, “C”, 5%, 2030      1,000,000        1,035,430   
Commonwealth of Puerto Rico, Public Improvement, “A”, 5%, 2029      285,000        207,557   
Guam Government, “A”, 7%, 2039      110,000        114,973   
Las Vegas Valley, NV, Water District, “C”, 5%, 2029      1,175,000        1,227,006   
Luzerne County, PA, AGM, 6.75%, 2023      570,000        627,627   
State of California, 5.25%, 2028      425,000        452,876   
State of California, 5.25%, 2030      1,005,000        1,050,305   
State of Hawaii, “DZ”, 5%, 2031      255,000        267,617   
State of Illinois, 5.5%, 2038      215,000        207,372   
    

 

 

  
             $ 5,631,696   
General Obligations - Schools - 0.9%                 
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2031    $ 350,000      $ 134,106   
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2032      355,000        127,040   
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2033      715,000        239,532   
Frisco, TX, Independent School District, School Building, “B”, PSF, 3%, 2042      65,000        44,001   
Los Angeles, CA, Unified School District, “D”, 5%, 2034      210,000        211,886   
San Jacinto, TX, Community College District, 5.125%, 2038      550,000        566,148   
    

 

 

  
             $ 1,322,713   
Healthcare Revenue - Hospitals - 34.8%                 
Allegheny County, PA, Hospital Development Authority Rev. (University of Pittsburgh Medical Center), “A”, 5.375%, 2029    $ 560,000      $ 588,274   
Brunswick, GA, Hospital Authority Rev. (Glynn-Brunswick Memorial Hospital), 5.625%, 2034      220,000        228,521   
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.5%, 2040      750,000        740,565   
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.75%, 2040      165,000        166,526   
California Health Facilities Financing Authority Rev. (St. Joseph Health System), “A”, 5.75%, 2039      125,000        132,588   
California Health Facilities Financing Authority Rev. (Sutter Health), “A”, 5%, 2042      1,000,000        954,180   
California Health Facilities Financing Authority Rev. (Sutter Health), “B”, 5.875%, 2031      835,000        909,549   
California Statewide Communities Development Authority Rev. (Catholic Healthcare West), “K”, ASSD GTY, 5.5%, 2041      1,545,000        1,594,208   
Cullman County, AL, Health Care Authority (Cullman Regional Medical Center), “A”, 6.75%, 2029      75,000        76,658   
Delaware County, PA, Authority Rev. (Mercy Health Corp.), ETM, 6%, 2016 (c)      835,000        896,523   
Delaware County, PA, Authority Rev. (Mercy Health Corp.), ETM, 6%, 2026 (c)      1,000,000        1,083,230   
Duluth, MN, Economic Development Authority Health Care Facilities Rev. (St. Luke’s Hospital Authority Obligated Group),
5.75%, 2027		      170,000        165,106   
Duluth, MN, Economic Development Authority Health Care Facilities Rev. (St. Luke’s Hospital Authority Obligated Group),
5.75%, 2032		      375,000        355,196   

 

1

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Healthcare Revenue - Hospitals - continued                 
Duluth, MN, Economic Development Authority Health Care Facilities Rev. (St. Luke’s Hospital Authority Obligated Group), 6%, 2039    $ 445,000      $ 427,494   
Gallia County, OH, Hospital Facilities Rev. (Holzer Health Systems), “A”, 8%, 2042      1,195,000        1,256,447   
Harris County, TX, Cultural Education Facilities Finance Corp. Medical Facilities Rev. (Baylor College of Medicine), “D”,
5.625%, 2032		      330,000        349,665   
Harris County, TX, Health Facilities Development Corp., Hospital Rev. (Memorial Hermann Healthcare Systems), “B”,
7.25%, 2018 (c)		      235,000        300,645   
Idaho Health Facilities Authority Rev. (IHC Hospitals, Inc.), ETM, 6.65%, 2021 (c)      1,750,000        2,194,535   
Illinois Finance Authority Rev. (Advocate Healthcare), 4%, 2047      390,000        298,533   
Illinois Finance Authority Rev. (Kewanee Hospital), 5.1%, 2031      670,000        656,104   
Illinois Finance Authority Rev. (Provena Health), “A”, 7.75%, 2034      620,000        740,094   
Illinois Finance Authority Rev. (Rehabilitation Institute of Chicago), “A”, 6%, 2043      255,000        257,802   
Illinois Finance Authority Rev. (Silver Cross Hospital & Medical Centers), 6.875%, 2038      615,000        658,001   
Indiana Health & Educational Facilities Finance Authority Rev. (Sisters of St. Francis Health Services, Inc.), “E”, AGM, 5.25%, 2041      145,000        141,881   
Indiana Health & Educational Facilities Finance Authority, Hospital Rev. (Clarian Health), “A”, 5%, 2039 (f)      2,255,000        2,154,946   
Indiana Health & Educational Facilities Finance Authority, Hospital Rev. (Community Foundation of Northwest Indiana), 5.5%, 2037      1,220,000        1,239,691   
Indiana Health & Educational Financing Authority Rev. (Community Foundation of Northwest Indiana ), “A”, 6%, 2014 (c)      575,000        596,977   
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.25%, 2031      380,000        398,130   
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.375%, 2041      240,000        248,556   
Johnson City, TN, Health & Educational Facilities Board, Hospital Rev. (Mountain States Health Alliance), “A”, 5.5%, 2031      1,455,000        1,458,638   
Johnson City, TN, Health & Educational Facilities Board, Hospital Rev. (Mountain States Health Alliance), “A”, 5.5%, 2036      535,000        531,517   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), “A”, 5.375%, 2024      375,000        408,795   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), “A”, 5.625%, 2027      125,000        134,609   
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Owensboro Medical Health System), “A”,
6.375%, 2040		      735,000        759,042   
Knox County, IN, Economic Development Rev. (Good Samaritan Hospital), “A”, 5%, 2037      65,000        60,639   
Knox County, IN, Economic Development Rev. (Good Samaritan Hospital), “A”, 5%, 2042      130,000        119,201   
Lake County, OH, Hospital Facilities Rev. (Lake Hospital Systems, Inc.), 5.625%, 2029      565,000        587,295   
Louisiana Public Facilities Authority Hospital Rev. (Lake Charles Memorial Hospital), 6.375%, 2034      775,000        742,605   
Louisville & Jefferson County, KY, Metro Government Health Facilities Rev. (Jewish Hospital & St. Mary’s Healthcare),
6.125%, 2018 (c)		      1,685,000        2,021,579   
Louisville & Jefferson County, KY, Metropolitan Government Healthcare Systems Rev. (Norton Healthcare, Inc.), 5.25%, 2036      420,000        400,550   
Lufkin, TX, Health Facilities Development Corp. Rev. (Memorial Health System), 5.5%, 2037      75,000        73,070   
Martin County, FL, Health Facilities Authority Rev. (Martin Memorial Medical Center), 5.5%, 2042      380,000        365,560   
Maryland Health & Higher Educational Facilities Authority Rev. (Anne Arundel Health System, Inc.), “A”, 6.75%, 2039      945,000        1,076,090   
Massachusetts Development Finance Agency Rev. (Tufts Medical Center), “I”, 7.25%, 2032      555,000        636,957   
Massachusetts Health & Educational Facilities Authority Rev. (Jordan Hospital), “E”, 6.75%, 2033      500,000        501,225   
Michigan Finance Authority Rev. (Trinity Health Corp.), 5%, 2035      1,250,000        1,215,563   
Monroe County, PA, Hospital Authority Rev. (Pocono Medical Center), “A”, 5%, 2032      65,000        62,653   
Montgomery, AL, Medical Clinic Board Health Care Facility Rev. (Jackson Hospital & Clinic), 5.25%, 2031      155,000        152,560   
Montgomery, AL, Medical Clinic Board Health Care Facility Rev. (Jackson Hospital & Clinic), 5.25%, 2036      800,000        751,792   
Muskingum County, OH, Hospital Facilities Rev. (Genesis Health System Obligated Group), 5%, 2033      225,000        189,131   
Muskingum County, OH, Hospital Facilities Rev. (Genesis Health System Obligated Group), 5%, 2044      585,000        453,404   
Muskingum County, OH, Hospital Facilities Rev. (Genesis Health System Obligated Group), 5%, 2048      225,000        169,724   
New Hampshire Business Finance Authority Rev. (Elliot Hospital Obligated Group), “A”, 6%, 2027      745,000        782,772   
New Hampshire Health & Education Facilities Authority Rev. (Memorial Hospital at Conway), 5.25%, 2036      800,000        715,072   
New Hanover County, NC, Hospital Rev., AGM, 5.125%, 2031      1,130,000        1,136,690   
New Jersey Health Care Facilities, Financing Authority Rev. (St. Peter’s University Hospital), 5.75%, 2037      700,000        656,852   
New Mexico Hospital Equipment Loan Council, Hospital Rev. (Rehoboth McKinley Christian Hospital), “A”, 5%, 2017      200,000        196,422   
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.5%, 2030      245,000        268,667   
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.25%, 2035      150,000        159,791   
Norman, OK, Regional Hospital Authority Rev., 5%, 2027      195,000        182,317   
Norman, OK, Regional Hospital Authority Rev., 5.375%, 2029      115,000        109,033   
Norman, OK, Regional Hospital Authority Rev., 5.375%, 2036      305,000        275,073   
North Carolina Medical Care Commission (Stanly Health Services, Inc.), 6.375%, 2029      1,915,000        1,920,668   

 

2

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Healthcare Revenue - Hospitals - continued                 
Olympia, WA, Healthcare Facilities Authority Rev. (Catholic Health Initiatives), “D”, 6.375%, 2036    $ 1,405,000      $ 1,587,018   
Palomar Pomerado Health Care District, CA, COP, 6.75%, 2039      1,125,000        1,147,511   
Rhode Island Health & Educational Building Corp. Rev., Hospital Financing (Lifespan Obligated Group), “A”, ASSD GTY, 7%, 2039      840,000        902,496   
Royal Oak, MI, Hospital Finance Authority Rev. (William Beaumont Hospital), 8.25%, 2039      660,000        783,427   
Salida, CO, Hospital District Rev., 5.25%, 2036      889,000        820,831   
Skagit County, WA, Public Hospital District No. 001 Rev. (Skagit Valley Hospital), 5.75%, 2032      120,000        118,476   
South Dakota Health & Educational Facilities Authority Rev. (Avera Health), “A”, 5%, 2042      135,000        127,896   
South Dakota Health & Educational Facilities Authority Rev. (Sanford), “E”, 5%, 2037      110,000        103,388   
South Lake County, FL, Hospital District Rev. (South Lake Hospital), 6.375%, 2034      500,000        501,415   
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6%, 2029      175,000        187,448   
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6.25%, 2039      100,000        107,113   
Southeastern Ohio Port Authority, Hospital Facilities Rev. (Memorial Health System), 5.75%, 2032      380,000        382,124   
Southeastern Ohio Port Authority, Hospital Facilities Rev. (Memorial Health System), 6%, 2042      305,000        307,763   
Sullivan County, TN, Health, Educational & Housing Facilities Board Hospital Rev. (Wellmont Health Systems Project), “C”,
5.25%, 2036		      225,000        213,494   
Sumner County, TN, Health, Educational & Housing Facilities Board Rev. (Sumner Regional Health Systems, Inc.), “A”,
5.5%, 2046 (a)(d)		      475,000        1,183   
Sweetwater County, WY, Hospital Rev. (Memorial Hospital Project), “A”, 5%, 2037      295,000        275,849   
Tyler, TX, Health Facilities Development Corp. (East Texas Medical Center), “A”, 5.25%, 2032      290,000        270,721   
Tyler, TX, Health Facilities Development Corp. (East Texas Medical Center), “A”, 5.375%, 2037      195,000        180,242   
Washington Health Care Facilities Authority Rev. (Multicare Health Systems), “B”, ASSD GTY, 6%, 2039      560,000        586,712   
Washington Health Care Facilities Authority Rev. (Providence Health & Services), “A”, 5%, 2033      1,395,000        1,362,134   
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 2026      250,000        251,438   
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 2028      75,000        73,684   
Wisconsin Health & Educational Facilities Authority Rev. (Fort Healthcare, Inc.), 5.75%, 2029      1,000,000        1,019,650   
Wisconsin Health & Educational Facilities Authority Rev. (Meritor Hospital), “A”, 5.5%, 2031      920,000        941,261   
Wisconsin Health & Educational Facilities Authority Rev. (Meritor Hospital), “A”, 6%, 2041      605,000        629,775   
Wisconsin Health & Educational Facilities Authority Rev. (Wheaton Franciscan Services), 5.25%, 2034      865,000        825,859   
    

 

 

  
             $ 52,795,089   
Healthcare Revenue - Long Term Care - 15.6%                 
Abilene, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Centers, Inc.), “A”, 7%, 2013 (c)    $ 64,000      $ 65,517   
Americus and Sumter County, GA, Hospital Authority Rev. (Magnolia Manor Obligated Group), “A”, 6.25%, 2033      120,000        116,809   
Americus and Sumter County, GA, Hospital Authority Rev. (Magnolia Manor Obligated Group), “A”, 6.375%, 2043      120,000        115,135   
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 2027      120,000        115,140   
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 2037      155,000        138,736   
Chester County, PA, Industrial Development Authority Rev. (RHA Nursing Home), 8.5%, 2032      1,425,000        1,332,931   
Colorado Health Facilities Authority Rev. (American Baptist Homes), “A”, 5.9%, 2037      530,000        472,855   
Colorado Health Facilities Authority Rev. (Covenant Retirement Communities, Inc.), 5%, 2035      1,400,000        1,194,102   
Cumberland County, PA, Municipal Authority Rev. (Asbury Atlantic, Inc.), 5.25%, 2041      355,000        313,369   
Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries), 6.125%, 2029      890,000        936,209   
Fulton County, GA, Residential Care Facilities, Elderly Authority Rev. (Canterbury Court), “A”, 6.125%, 2034      750,000        720,848   
Hawaii Department of Budget & Finance, Special Purpose Rev. (15 Craigside Project), “A”, 8.75%, 2029      105,000        116,591   
Hawaii Department of Budget & Finance, Special Purpose Rev. (15 Craigside Project), “A”, 9%, 2044      180,000        200,678   
Houston, TX, Health Facilities Development Corp. (Buckingham Senior Living Community), “A”, 7.125%, 2014 (c)      500,000        520,325   
Illinois Finance Authority Rev. (Evangelical Retirement Homes of Greater Chicago, Inc.), 7.25%, 2045      1,050,000        1,081,973   
Illinois Finance Authority Rev. (Franciscan Communities, Inc.), “A”, 4.75%, 2033      245,000        205,386   
Illinois Finance Authority Rev. (Franciscan Communities, Inc.), “A”, 5.125%, 2043      265,000        219,404   
Illinois Finance Authority Rev. (Lutheran Home & Services), 5.625%, 2042      230,000        206,416   
Illinois Finance Authority Rev. (Smith Village), “A”, 6.25%, 2035      1,250,000        1,171,663   
Illinois Health Facilities Authority Rev. (Smith Crossing), “A”, 7%, 2032      725,000        730,691   
Indiana Finance Authority Rev. (BHI Senior Living), “A”, 6%, 2041      350,000        336,641   
Kentucky Economic Development Finance Authority Health Care Rev. (Masonic Homes of Kentucky, Inc.), 5.375%, 2042      160,000        138,810   
Kentucky Economic Development Finance Authority Health Care Rev. (Masonic Homes of Kentucky, Inc.), 5.5%, 2045      95,000        83,041   
La Verne, CA, COP (Brethren Hillcrest Homes), “B”, 6.625%, 2025      655,000        662,074   

 

3

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Healthcare Revenue - Long Term Care - continued                 
Marion, IA, Health Care Facilities Rev., First Mortgage (AHF/Kentucky-Iowa, Inc.), 8%, 2029    $ 514,000      $ 506,789   
Massachusetts Development Finance Agency Rev. (Adventcare), “A”, 6.75%, 2037      895,000        908,013   
Massachusetts Development Finance Agency Rev. (Alliance Health of Brockton, Inc.), “A”, 7.1%, 2032      1,090,000        1,011,139   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 2031      168,995        145,197   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 2039      42,309        35,028   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-2”, 5.5%, 2046      11,291        8,101   
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), Capital Appreciation, “B”, 0%, 2056      56,165        295   
Massachusetts Development Finance Agency Rev. (Loomis Communities, Inc.), “A”, 5.625%, 2015      130,000        130,096   
Massachusetts Development Finance Agency Rev. (Loomis Communities, Inc.), “A”, 6.9%, 2032      100,000        100,449   
Massachusetts Development Finance Agency Rev. (North Hill Communities), “A”, 6.25%, 2033      100,000        93,476   
Massachusetts Development Finance Agency Rev. (North Hill Communities), “A”, 6.5%, 2043      135,000        124,180   
Metropolitan Government of Nashville & Davidson County, TN, Health & Educational Facilities Board, First Mortgage, 8.5%, 2029      1,028,000        1,007,173   
Montgomery County, PA, Industrial Development Authority Retirement Community Rev. (ACTS Retirement - Life Communities, Inc.), 5%, 2028      440,000        414,480   
Montgomery County, PA, Industrial Development Authority Retirement Community Rev. (ACTS Retirement - Life Communities, Inc.), 5%, 2029      165,000        150,435   
New Jersey Economic Development Authority Rev. (Lions Gate), “A”, 5.75%, 2025      205,000        202,300   
New Jersey Economic Development Authority Rev. (Lions Gate), “A”, 5.875%, 2037      830,000        754,213   
New Jersey Economic Development Authority Rev. (Seabrook Village, Inc.), 5.25%, 2026      50,000        48,926   
Norfolk, VA, Redevelopment & Housing Authority Rev. (Fort Norfolk Retirement Community), “A”, 6.125%, 2035      140,000        132,126   
Oklahoma Development Finance Authority Continuing Care Retirement Community Rev. (Inverness Village), 5.75%, 2037      380,000        344,713   
Pell City, AL, Special Care Facilities, Financing Authority Rev. (Noland Health Services, Inc.), 5%, 2039      225,000        203,668   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement System, Inc.), “A”, 5.45%, 2038      964,000        754,214   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement System, Inc.), “A”, 6.05%, 2046      366,000        304,007   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement System, Inc.), “C”, 6.25%, 2053      32,000        27,552   
Red River, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement System, Inc.), “D”, 6.05%, 2046      64,000        53,160   
Shelby County, TN, Health, Educational & Housing Facilities Board Rev. (Germantown Village), “A”, 7.25%, 2013 (c)      350,000        355,709   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), “A”, 6%, 2032      260,226        167,747   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), “A”, 6%, 2047      238,838        144,304   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), Capital Appreciation, “B”, 0%, 2047      111,525        1,773   
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), Capital Appreciation, “B”, 0%, 2047      102,359        1,628   
South Carolina Jobs & Economic Development Authority, Health Facilities Rev. (Lutheran Homes of South Carolina, Inc.),
5.125%, 2048		      50,000        41,157   
St. John’s County, FL, Industrial Development Authority Rev. (Presbyterian Retirement), “A”, 6%, 2045      780,000        792,269   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Air Force Village Foundation, Inc.),
6.125%, 2029		      65,000        68,039   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Air Force Village Foundation, Inc.),
5.125%, 2037		      65,000        59,303   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Air Force Village Foundation, Inc.),
6.375%, 2044		      525,000        541,291   
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Stayton at Museum Way), 8.25%, 2044      980,000        1,030,039   
Tempe, AZ, Industrial Development Authority Rev. (Friendship Village), “A”, 6.25%, 2042      110,000        107,108   
Tempe, AZ, Industrial Development Authority Rev. (Friendship Village), “A”, 6.25%, 2046      85,000        82,447   
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7%, 2030      110,000        119,506   
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7.125%, 2040      165,000        177,438   
Washington County, PA, Industrial Development Authority Rev., First Mortgage (AHF/Central Project), 8.5%, 2029      1,052,000        1,030,686   
Wichita, KS, Health Care Facilities Rev. (Presbyterian Manors, Inc.), “A”, 6.375%, 2043      365,000        350,203   
    

 

 

  
             $ 23,725,721   

 

4

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Industrial Revenue - Airlines - 4.0%                 
Clayton County, GA, Development Authority Special Facilities Rev. (Delta Airlines, Inc.), “A”, 8.75%, 2029    $ 255,000      $ 287,941   
Clayton County, GA, Development Authority Special Facilities Rev. (Delta Airlines, Inc.), “B”, 9%, 2035      190,000        205,052   
Denver, CO, City & County Airport Rev. (United Airlines), 5.75%, 2032      470,000        415,386   
Houston, TX, Airport Systems Rev., Special Facilities (Continental Airlines, Inc. Terminal E Project), 6.75%, 2029      500,000        496,100   
Houston, TX, Airport Systems Rev., Special Facilities (Continental Airlines, Inc. Terminal E Project), 7%, 2029      250,000        250,045   
Houston, TX, Airport Systems Rev., Special Facilities (Continental Airlines, Inc.), “E”, 6.75%, 2021      1,125,000        1,125,101   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 4.875%, 2019      750,000        701,348   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.125%, 2023      455,000        405,405   
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.25%, 2029 (b)      640,000        542,394   
New York, NY, City Industrial Development Agencies Rev. (American Airlines, Inc.), 7.75%, 2031 (d)      1,005,000        1,107,349   
Tulsa, OK, Municipal Airport Trust Rev. (American Airlines, Inc.), “B”, 5.5%, 2035      225,000        189,547   
Tulsa, OK, Municipal Airport Trust Rev. (American Airlines, Inc.), “B”, 5.5%, 2035      470,000        395,209   
    

 

 

  
             $ 6,120,877   
Industrial Revenue - Chemicals - 1.0%                 
Brazos River, TX, Harbor Navigation District (Dow Chemical Co.), “B-2”, 4.95%, 2033    $ 600,000      $ 609,474   
Port of Bay, TX, City Authority (Hoechst Celanese Corp.), 6.5%, 2026      840,000        840,109   
    

 

 

  
             $ 1,449,583   
Industrial Revenue - Environmental Services - 2.4%                 
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Republic Services, Inc.), “B”, 5.25%, 2023 (b)    $ 270,000      $ 295,237   
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Waste Management, Inc.), “C”, 5.125%, 2023      845,000        848,862   
Maine Finance Authority Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), 6.25%, 2025 (b)      450,000        454,901   
Massachusetts Development Finance Agency, Resource Recovery Rev. (Covanta Energy Project), “A”, 4.875%, 2027      505,000        449,950   
Massachusetts Development Finance Agency, Resource Recovery Rev. (Covanta Energy Project), “C”, 5.25%, 2042      870,000        711,095   
Niagara County, NY, Industrial Development Agency, Solid Waste Disposal Rev. (Covanta Energy Project), “A”, 5.25%, 2042      890,000        727,442   
Vermont Economic Development Authority, Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), 4.75%, 2036 (b)      220,000        209,130   
    

 

 

  
             $ 3,696,617   
Industrial Revenue - Other - 2.7%                 
Annawan, IL, Tax Increment Rev. (Patriot Renewable Fuels LLC), 5.625%, 2018    $ 310,000      $ 279,518   
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        316,289   
Gulf Coast, TX, Industrial Development Authority Rev. (CITGO Petroleum Corp.), 8%, 2028      500,000        500,110   
Houston, TX, Industrial Development Corp. (United Parcel Service, Inc.), 6%, 2023      585,000        541,833   
Iowa Finance Authority Midwestern Disaster Area Rev. (Iowa Fertilizer Co.), 5%, 2019      135,000        126,710   
Iowa Finance Authority Midwestern Disaster Area Rev. (Iowa Fertilizer Co.), 5.5%, 2022      275,000        251,092   
Iowa Finance Authority Midwestern Disaster Area Rev. (Iowa Fertilizer Co.), 5.25%, 2025      275,000        238,288   
New Jersey Economic Development Authority Rev. (GMT Realty LLC), “B”, 6.875%, 2037      1,500,000        1,419,255   
St. Charles Parish, LA, Gulf Zone Opportunity Zone Rev. (Valero Energy Corp.), 4%, 2040 (b)      465,000        456,495   
    

 

 

  
             $ 4,130,221   
Industrial Revenue - Paper - 1.6%                 
Courtland, AL, Industrial Development Board Rev. (International Paper Co.), “B”, 6.25%, 2025    $ 1,000,000      $ 1,001,330   
Escambia County, FL, Environmental Improvement Rev. (International Paper Co.), “A”, 5%, 2026      1,270,000        1,210,666   
Phenix City, AL, Industrial Development Board Environmental Improvement Rev. (MeadWestvaco Coated Board Project), “A”, 4.125%, 2035      200,000        142,414   
    

 

 

  
             $ 2,354,410   
Miscellaneous Revenue - Entertainment & Tourism - 0.8%                 
Brooklyn, NY, Arena Local Development Corp. (Barclays Center Project), 6%, 2030    $ 155,000      $ 164,646   
Cow Creek Band of Umpqua Tribe of Indians, OR, “C”, 5.625%, 2026 (n)      800,000        703,496   
Seminole Tribe, FL, Special Obligation Rev., “A”, 5.25%, 2027 (n)      365,000        375,479   
    

 

 

  
             $ 1,243,621   

 

5

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Miscellaneous Revenue - Other - 5.0%                 
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, SYNCORA, 5.25%, 2024    $ 395,000      $ 396,402   
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, SYNCORA, 5%, 2034      55,000        47,829   
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.25%, 2032      95,000        93,456   
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.25%, 2033      50,000        48,811   
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.5%, 2043      190,000        185,925   
Cleveland-Cuyahoga County, OH, Port Authority Rev. (Columbia National Group), 5%, 2020      490,000        468,254   
Dallas, TX, Civic Center Convention Complex Rev., ASSD GTY, 5.25%, 2034      1,065,000        1,090,049   
District of Columbia Rev. (American Society Hematology), 5%, 2036      65,000        62,514   
District of Columbia Rev. (American Society Hematology), 5%, 2042      50,000        47,440   
Florida Citizens Property Insurance Corp., “A-1”, 5%, 2019      135,000        148,982   
Florida Citizens Property Insurance Corp., “A-1”, 5%, 2020      875,000        954,240   
Harris County, TX, Cultural Education Facilities Finance Corp. Rev. (YMCA Greater Houston Area) , 5%, 2033      100,000        91,982   
Harris County, TX, Cultural Education Facilities Finance Corp. Rev. (YMCA Greater Houston Area), 5%, 2028      70,000        66,968   
Harris County, TX, Cultural Education Facilities Finance Corp. Rev. (YMCA Greater Houston Area), 5%, 2038      140,000        124,698   
Indiana Finance Authority Rev., (Ohio River Bridges East End Crossing Project), “A”, 5%, 2035      235,000        205,045   
Indiana Finance Authority Rev., (Ohio River Bridges East End Crossing Project), “A”, 5%, 2040      590,000        496,609   
Indiana Finance Authority Rev., (Ohio River Bridges East End Crossing Project), “A”, 5%, 2044      155,000        128,092   
Massachusetts Port Authority Facilities Rev. (Conrac Project), “A”, 5.125%, 2041      50,000        49,448   
Miami-Dade County, FL, Special Obligation, “B”, 5%, 2035      255,000        246,070   
New York Liberty Development Corp., Liberty Rev. (One Bryant Park LLC), 6.375%, 2049      685,000        723,894   
V Lakes Utility District, MS, Water Systems Rev., 7%, 2037      300,000        294,846   
Wisconsin Public Finance Authority, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), “B”, 5.25%, 2028      1,675,000        1,626,191   
    

 

 

  
             $ 7,597,745   
Multi-Family Housing Revenue - 4.1%                 
Broward County, FL, Housing Finance Authority Rev. (Chaves Lakes Apartments Ltd.), “A”, 7.5%, 2040    $ 735,000      $ 735,184   
Capital Trust Agency, FL, Housing Rev. (Atlantic Housing Foundation), “B”, 7%, 2032 (d)(q)      705,000        295,740   
Centerline Capital Group, Inc., FHLMC, 6.3%, 2019 (n)      1,000,000        1,116,340   
District of Columbia Housing Finance Agency (Henson Ridge), “E”, FHA, 5.1%, 2037      1,000,000        966,530   
Durham, NC, Durham Housing Authority Rev. (Magnolia Pointe Apartments), 5.65%, 2038      1,354,782        1,227,337   
Resolution Trust Corp., Pass-Through Certificates, “1993”, 9.544%, 2016 (z)      546,075        532,636   
Texas Department of Housing & Community Affairs (Pebble Brook Apartments), FNMA, 5.5%, 2018      740,000        741,473   
Wilmington, DE, Multi-Family Housing Rev. (Electra Arms Senior Associates), 6.25%, 2028      730,000        665,687   
    

 

 

  
             $ 6,280,927   
Parking - 0.3%                 
Boston, MA, Metropolitan Transit Parking Corp., Systemwide Parking Rev., 5.25%, 2036    $ 370,000      $ 378,788   
Port Revenue - 0.1%                 
Maryland Economic Development Corp. Rev. (Port America Chesapeake Terminal Project), “B”, 5.375%, 2025    $ 125,000      $ 129,596   
Sales & Excise Tax Revenue - 3.7%                 
Bolingbrook, IL, Sales Tax Rev., 6.25%, 2024    $ 750,000      $ 612,600   
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 2029      215,000        221,209   
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 2030      430,000        439,189   
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 2031      80,000        81,222   
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 2034      795,000        810,129   
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 2041      385,000        388,407   
Massachusetts School Building Authority, Dedicated Sales Tax Rev., AMBAC, 4.75%, 2032      845,000        854,971   
Massachusetts School Building Authority, Dedicated Sales Tax Rev., “B”, 5%, 2032      490,000        505,798   
Poplar Bluff, MO, Regional Transportation Development District, Sales Tax Rev., 4%, 2036      115,000        95,958   
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., “C”, 5%, 2040      570,000        487,589   
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., “C”, 5.25%, 2040      780,000        692,843   
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Convertible Capital Appreciation, “A”, 0% to 2016, 6.75% to 2032      585,000        495,103   
    

 

 

  
             $ 5,685,018   

 

6

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Single Family Housing - Local - 1.3%                 
Minneapolis & St. Paul, MN, Housing Authority Rev. (City Living), “A-2”, GNMA, 5%, 2038    $ 182,947      $ 175,589   
Pittsburgh, PA, Urban Redevelopment Authority Rev., “C”, GNMA, 4.8%, 2028      1,835,000        1,812,228   
    

 

 

  
             $ 1,987,817   
Single Family Housing - State - 1.5%                 
California Housing Finance Agency Rev. (Home Mortgage), “G”, 4.95%, 2023    $ 755,000      $ 743,939   
Colorado Housing & Finance Authority, “A”, 5.5%, 2029      1,130,000        1,142,622   
Oklahoma Housing Finance Agency Rev. (Homeownership Loan Program), “C”, GNMA, 5%, 2026      400,000        399,996   
    

 

 

  
             $ 2,286,557   
State & Local Agencies - 5.7%                 
Alabama Incentives Financing Authority Special Obligation, “A”, 5%, 2037    $ 180,000      $ 177,523   
California Public Works Board Lease Rev., Department of Mental Health (Coalinga), “A”, 5.5%, 2014 (c)      1,000,000        1,039,110   
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Enhanced, “A”, FGIC, 5%, 2035      140,000        130,862   
Guam Government Department of Education (John F. Kennedy High School), “A”, COP, 6.875%, 2040      375,000        375,263   
Louisiana Military Department Custody Receipts, 5%, 2024      1,500,000        1,576,860   
Massachusetts College Building Authority Rev., “C”, 3%, 2042      100,000        66,702   
Mississippi Development Bank Special Obligation (Marshall County Industrial Development Authority Mississippi Highway Construction Project), 5%, 2028      155,000        159,777   
New York Urban Development Corp. (University Facilities Grants), 5.875%, 2021      1,000,000        1,143,520   
Newberry, SC, Investing in Children’s Education (Newberry County School District Program), 5%, 2030      500,000        515,555   
Philadelphia, PA, Municipal Authority Rev., 6.5%, 2034      170,000        185,895   
Puerto Rico Public Finance Corp., “E”, ETM, 6%, 2026 (c)      1,645,000        1,985,186   
Puerto Rico Public Finance Corp., “E”, ETM, 6%, 2026 (c)      155,000        187,054   
Puerto Rico Public Finance Corp., Commonwealth Appropriations, “B”, 6%, 2026      285,000        245,160   
Wisconsin General Fund Annual Appropriation Rev., “A”, 5.75%, 2033      840,000        902,261   
    

 

 

  
             $ 8,690,728   
Student Loan Revenue - 0.6%                 
Iowa Student Loan Liquidity Corp., “A-2”, 5.5%, 2025    $ 235,000      $ 237,928   
Iowa Student Loan Liquidity Corp., “A-2”, 5.6%, 2026      235,000        236,828   
Iowa Student Loan Liquidity Corp., “A-2”, 5.7%, 2027      20,000        20,115   
Iowa Student Loan Liquidity Corp., “A-2”, 5.75%, 2028      430,000        431,075   
    

 

 

  
             $ 925,946   
Tax - Other - 3.1%                 
Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev., “A”, 5%, 2035    $ 125,000      $ 115,648   
Allentown, PA, Neighborhood Improvement Zone Development Authority Tax Rev., “A”, 5%, 2042      535,000        478,927   
Dallas County, TX, Flood Control District, 7.25%, 2032      1,000,000        1,001,140   
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5%, 2047      460,000        438,477   
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5.75%, 2047      480,000        493,128   
New York Dormitory Authority, State Personal Income Tax Rev.,“C”, 5%, 2034      1,330,000        1,359,260   
New York, NY, City Transitional Finance Authority Building Aid Rev., “S-3”, 5.25%, 2039      560,000        570,164   
Virgin Islands Public Finance Authority Rev. (Diageo Project), “A”, 6.75%, 2037      255,000        270,310   
    

 

 

  
             $ 4,727,054   
Tax Assessment - 5.1%                 
Anne Arundel County, MD, Special Obligation (National Business Park-North Project), 6.1%, 2040    $ 175,000      $ 180,689   
Atlanta, GA, Tax Allocation (Eastside Project), “A”, 5.625%, 2016      195,000        209,658   
Celebration Community Development District, FL, “A”, 6.4%, 2034      860,000        862,614   
Chicago, IL, Tax Increment Allocation (Pilsen Redevelopment), “B”, 6.75%, 2022      450,000        458,060   
Du Page County, IL, Special Service Area No. 31 Special Tax (Monarch Landing Project), 5.625%, 2036      250,000        237,563   
Embrey Mill Community Development Authority, VA, Special Assessment Rev., 7.25%, 2043      515,000        481,365   
Heritage Harbour North Community Development District, FL, Capital Improvement Rev., 6.375%, 2038      395,000        354,686   
Homestead, Community Development District, FL, Special Assessment, “A”, 6%, 2037      470,000        331,397   

 

7

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Tax Assessment - continued                 
Lincolnshire, IL, Special Service Area No. 1 (Sedgebrook Project), 6.25%, 2034    $ 448,000      $ 452,234   
Ohio County, WV, Commission Tax Increment Rev. (Fort Henry Centre), “A”, 5.85%, 2034      165,000        166,469   
Plano, IL, Special Service Area No. 4 (Lakewood Springs Project Unit 5-B), 6%, 2035      1,876,000        1,785,033   
San Diego, CA, Redevelopment Agency, Tax Allocation Rev., Capital Appreciation, AGM, 0%, 2022      1,910,000        1,274,677   
Seven Oaks, FL, Community Development District II Special Assessment Rev., “A”, 5.875%, 2035      245,000        189,748   
Tallyn’s Reach, CO, Metropolitan District No. 3, CO, 5.125%, 2038      100,000        85,370   
Tuscany Reserve Community Development District, FL, Special Assessment, “B”, 5.25%, 2016      235,000        233,092   
Westridge, FL, Community Development District, Capital Improvement Rev., 5.8%, 2037 (a)(d)      1,210,000        459,800   
    

 

 

  
             $ 7,762,455   
Tobacco - 7.1%                 
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 5.875%, 2030    $ 1,155,000      $ 838,553   
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 5.75%, 2034      635,000        438,499   
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 5.875%, 2047      525,000        351,582   
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., “A-1”, 5.75%, 2047      670,000        488,866   
Illinois Railsplitter Tobacco Settlement Authority, 6%, 2028      1,710,000        1,806,119   
New Jersey Tobacco Settlement Financing Corp., “1-A”, 4.5%, 2023      915,000        824,195   
New Jersey Tobacco Settlement Financing Corp., “1-A”, 4.75%, 2034      2,750,000        1,893,898   
New Jersey Tobacco Settlement Financing Corp., “1-A”, 5%, 2041      4,670,000        3,135,858   
Rhode Island Tobacco Settlement Authority, 6%, 2023      725,000        726,863   
Suffolk, NY, Tobacco Asset Securitization Corp., Tobacco Settlement, “B”, 5.25%, 2037      105,000        95,924   
Washington Tobacco Settlement Authority Rev., 6.625%, 2032      250,000        249,835   
    

 

 

  
             $ 10,850,192   
Toll Roads - 5.1%                 
Bay Area Toll Authority, CA, Toll Bridge Rev. (San Francisco Bay Area), “F1”, 5%, 2034    $ 1,850,000      $ 1,900,857   
E-470 Public Highway Authority, CO, Capital Appreciation, “B”, NATL, 0%, 2018      1,500,000        1,260,960   
Mid-Bay Bridge Authority, FL, Springing Lien Rev., “A”, 7.25%, 2040      1,015,000        1,088,476   
North Texas Tollway Authority Rev., 6%, 2038      970,000        1,038,598   
North Texas Tollway Authority Rev. (Special Projects System), “D”, 5%, 2031      710,000        726,422   
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 5.25%, 2032      360,000        318,866   
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 6%, 2037      595,000        562,870   
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 5.5%, 2042      950,000        822,159   
    

 

 

  
             $ 7,719,208   
Universities - Colleges - 8.8%                 
Allegheny County, PA, Higher Education Building Authority Rev. (Chatham University), “A”, 5%, 2030    $ 100,000      $ 96,449   
Brevard County, FL, Industrial Development Rev. (TUFF Florida Tech LLC Project), 6.75%, 2039      685,000        662,107   
California Educational Facilities Authority Rev. (Chapman University), 5%, 2031      190,000        191,421   
California Educational Facilities Authority Rev. (University of Southern California), “A”, 5.25%, 2038      1,650,000        1,704,747   
California Municipal Finance Authority Rev. (Biola University), 5.8%, 2028      100,000        105,272   
California Statewide Communities Development Authority Rev. (Lancer Plaza Project), 5.625%, 2033      125,000        111,129   
Collier County, FL, Educational Facilities Authority Rev. (Ave Maria University, Inc. Project), “A”, 6.125%, 2043      420,000        407,933   
Florida State University Board of Governors, System Improvement Rev., 6.25%, 2030      1,500,000        1,697,745   
Grand Valley, MI, State University Rev., 5.5%, 2027      175,000        187,003   
Grand Valley, MI, State University Rev., 5.625%, 2029      85,000        90,507   
Illinois Finance Authority Rev. (Illinois Institute of Technology), “A”, 5%, 2036      135,000        112,026   
Illinois Finance Authority Rev. (Roosevelt University Project), 6.25%, 2029      590,000        621,252   
Illinois Finance Authority Rev. (Roosevelt University Project), 6.5%, 2039      195,000        205,249   
Lakeland, FL, Educational Facilities Rev. (Florida Southern College), “A”, 5%, 2032      95,000        88,597   
Massachusetts Development Finance Agency Rev. (The Broad Institute, Inc.), “A”, 5.25%, 2037      710,000        721,495   
Massachusetts Health & Educational Facilities Authority Rev. (Simmons College), “I”, 8%, 2029      315,000        346,739   
Massachusetts Health & Educational Facilities Authority Rev. (Suffolk University), “A”, 6.25%, 2030      920,000        986,507   
Portage County, OH, Port Authority Rev. (Northeast Ohio Medical University Project), 5%, 2037      250,000        229,285   
Puerto Rico Industrial, Tourist, Medical, & Environmental Central Facilities (University of Sacred Heart), 4.375%, 2031      55,000        41,194   

 

8

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Universities - Colleges - continued                 
Puerto Rico Industrial, Tourist, Medical, & Environmental Central Facilities (University of Sacred Heart), 5%, 2042    $ 30,000      $ 22,587   
Savannah, GA, Economic Development Authority Rev. (AASU Student Union LLC), ASSD GTY, 5.125%, 2039      415,000        419,254   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2030      245,000        257,275   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2031      110,000        114,907   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2032      105,000        108,898   
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2037      190,000        193,485   
University of Illinois Rev. (Auxiliary Facilities Systems), “A”, 5.125%, 2029      2,370,000        2,463,520   
University of Southern Indiana Rev. (Student Fee), “J”, ASSD GTY, 5.75%, 2028      370,000        414,744   
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.25%, 2032      275,000        288,219   
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.375%, 2036      100,000        104,388   
Washington Higher Education Facilities Authority Rev. (Whitworth University), 5.875%, 2034      355,000        363,431   
    

 

 

  
             $ 13,357,365   
Universities - Dormitories - 3.4%                 
Bowling Green, OH, Student Housing Rev. (State University Project), 5.75%, 2031    $ 225,000      $ 229,124   
Buffalo & Erie County, NY, Industrial Land Development Corp. Rev. (Buffalo State College), “A”, 5.375%, 2041      250,000        256,155   
California Statewide Communities Development Authority Rev. (Lancer Educational Student Housing Project), 5.625%, 2033      1,015,000        932,744   
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 2030      160,000        146,402   
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 2035      850,000        742,025   
District of Columbia Student Dormitory Rev. (Provident Group - Howard Properties LLC), 5%, 2045      985,000        822,396   
Illinois Finance Authority Student Housing Rev. (Northern Illinois University Project), 6.625%, 2031      785,000        850,406   
Mississippi State University, Educational Building Corp., 5%, 2036      560,000        572,449   
Pennsylvania Higher Educational Facilities Authority Rev. (Edinboro University Foundation), 5.8%, 2030      100,000        97,890   
Pennsylvania Higher Educational Facilities Authority Rev. (Edinboro University Foundation), 6%, 2043      145,000        137,860   
Platteville, WI, Redevelopment Authority, Redevelopment Rev. (Platteville Real Estate), 5%, 2032      125,000        115,376   
Platteville, WI, Redevelopment Authority, Redevelopment Rev. (Platteville Real Estate), 5%, 2042      275,000        233,247   
    

 

 

  
             $ 5,136,074   
Universities - Secondary Schools - 2.0%                 
Build NYC Resources Corp. Rev. (South Bronx Charter School for International Cultures and the Arts), “A”, 5%, 2043    $ 120,000      $ 97,133   
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5.5%, 2031      90,000        85,662   
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5.75%, 2041      100,000        94,944   
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.125%, 2040      320,000        317,658   
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 4.35%, 2042      140,000        98,580   
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.25%, 2045      200,000        195,104   
District of Columbia Rev. (Kipp, D.C. Charter School), “A”, 6%, 2043      140,000        140,811   
District of Columbia Rev. (Kipp, D.C. Charter School), “A”, 6%, 2033      55,000        56,306   
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 6%, 2032      140,000        122,700   
Florida Development Finance Corp. Educational Facilities Rev. (Renaissance Charter School), “A”, 6.125%, 2043      295,000        249,355   
La Vernia, TX, Higher Education Finance Corp. Rev. (KIPP, Inc.), “A”, 6.25%, 2039      250,000        256,840   
North Texas Education Finance Corp., Education Rev. (Uplift Education), “A”, 4.875%, 2032      85,000        73,295   
North Texas Education Finance Corp., Education Rev. (Uplift Education), “A”, 5.125%, 2042      215,000        179,428   
Philadelphia Authority for Industrial Development Rev. (Philadelphia Performing Arts Charter School Project), 6.5%, 2033      290,000        279,055   
Philadelphia Authority for Industrial Development Rev. (Philadelphia Performing Arts Charter School Project), 6.75%, 2043      390,000        373,125   
Philadelphia Authority for Industrial Development Rev. (Tacony Academy Charter School Project), “A-1”, 7%, 2043      120,000        116,482   
Phoenix, AZ, Industrial Development Authority Education Rev. (Choice Academies, Inc. Project), 5.625%, 2042      165,000        142,256   
Phoenix, AZ, Industrial Development Authority Education Rev. (Eagle College Prep Project), 5%, 2033      80,000        69,125   
Phoenix, AZ, Industrial Development Authority Education Rev. (Eagle College Prep Project), 5%, 2043      160,000        129,434   
    

 

 

  
             $ 3,077,293   
Utilities - Cogeneration - 1.1%                 
California Pollution Control Financing Authority, Water Furnishing Rev. (Poseidon Resources Desalination Project), 5%, 2045    $ 1,285,000      $ 1,006,194   
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Central Facilities (Cogeneration Facilities - AES Puerto Rico Project), 6.625%, 2026      645,000        599,605   
    

 

 

  
             $ 1,605,799   

 

9

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Municipal Bonds - continued                 
Utilities - Investor Owned - 6.2%                 
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        2,582,081   
Chula Vista, CA, Industrial Development Rev. (San Diego Gas & Electric Co.), “E”, 5.875%, 2034      310,000        329,071   
Hawaii Department of Budget & Finance Special Purpose Rev. (Hawaiian Electric Co. & Subsidiary), 6.5%, 2039      950,000        1,031,615   
Massachusetts Development Finance Agency, Solid Waste Disposal Rev. (Dominion Energy Brayton), 5.75%, 2042 (b)      105,000        127,141   
Mississippi Business Finance Corp., Pollution Control Rev. (Systems Energy Resources Project), 5.875%, 2022      2,000,000        1,998,500   
New Hampshire Business Finance Authority, Pollution Control Rev. (Public Service of New Hampshire), “B”, NATL, 4.75%, 2021      250,000        255,543   
Ohio Air Quality Development Authority Rev. (FirstEnergy Corp.), “A”, 5.7%, 2020      665,000        737,678   
Owen County, KY, Waterworks System Rev. (American Water Co. Project), “A”, 6.25%, 2039      260,000        269,716   
Pennsylvania Economic Development Financing Authority (Allegheny Energy Supply Co. LLC), 7%, 2039      765,000        782,190   
Pima County, AZ, Industrial Development Authority Rev. (Tucson Electric Power Co.), 5.75%, 2029      1,295,000        1,304,933   
    

 

 

  
             $ 9,462,006   
Utilities - Municipal Owned - 1.4%                 
Los Angeles, CA, Department of Water & Power Rev. (Power System), “B”, 5%, 2038    $ 445,000      $ 446,860   
Sacramento, CA, Municipal Utility District, “X”, 5%, 2028      465,000        488,613   
South Carolina Public Service Authority Rev., “A”, 5.125%, 2043      355,000        350,403   
South Carolina Public Service Authority Rev., “B”, 5.125%, 2043      845,000        834,057   
    

 

 

  
             $ 2,119,933   
Utilities - Other - 3.4%                 
California M-S-R Energy Authority Gas Rev., “A”, 7%, 2034    $ 155,000      $ 179,149   
California M-S-R Energy Authority Gas Rev., “A”, 6.5%, 2039      650,000        708,942   
Georgia Main Street Natural Gas, Inc., Gas Project Rev., “A”, 5.5%, 2028      430,000        443,786   
Public Authority for Colorado Energy Natural Gas Purchase Rev., 6.25%, 2028      150,000        161,471   
Public Authority for Colorado Energy Natural Gas Purchase Rev., 6.5%, 2038      695,000        744,498   
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 2021      2,185,000        2,348,547   
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 2024      75,000        78,574   
Texas Gas Acquisition & Supply Corp III., Gas Supply Rev., 5%, 2031      190,000        171,407   
Texas Gas Acquisition & Supply Corp III., Gas Supply Rev., 5%, 2032      305,000        272,322   
    

 

 

  
             $ 5,108,696   
Water & Sewer Utility Revenue - 9.0%                 
Atlanta, GA, Water & Wastewater Rev., “A”, 6%, 2022    $ 465,000      $ 540,302   
Birmingham, AL, Waterworks Board Water Rev., “A”, ASSD GTY, 5.125%, 2034      755,000        770,976   
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, 5.75%, 2037      535,000        389,063   
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, 6%, 2044      195,000        141,864   
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 2031      20,000        20,881   
Detroit, MI, Sewage Disposal System Rev., Senior Lien, “A”, 5.25%, 2039      730,000        633,618   
Guam Government Waterworks Authority, Water & Wastewater Rev., 5.875%, 2035      1,125,000        1,128,060   
King County, WA, Sewer Rev., 5%, 2040      1,765,000        1,792,393   
Lehigh County Authority, PA, Water and Sewer Rev. (Allentown Concession), “A” , 5%, 2043      1,425,000        1,348,506   
Lehigh County Authority, PA, Water and Sewer Rev. (Allentown Concession), Capital Appreciation, “B” , 0%, 2037      1,200,000        250,428   
New Hampshire Industrial Development Authority Rev. (Pennichuck Water Works, Inc.), ETM, 7.5%, 2018 (c)      155,000        171,117   
New York Environmental Facilities Corp., Clean Drinking Water Revolving Funds, 5%, 2041      865,000        885,077   
New York Environmental Facilities, “C”, 5%, 2041      1,195,000        1,222,485   
New York, NY, Municipal Water Finance Authority, Water & Sewer System Rev., “AA”, 5%, 2034      2,510,000        2,566,601   
New York, NY, Municipal Water Finance Authority, Water & Sewer Systems Rev., “DD”, 4.75%, 2035      1,010,000        1,003,152   
Surprise, AZ, Municipal Property Corp., 4.9%, 2032      800,000        749,864   
    

 

 

  
             $ 13,614,387   
Total Municipal Bonds            $ 229,120,114   

 

10

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
    
Money Market Funds - 10.0%                 
MFS Institutional Money Market Portfolio, 0.09%, at Net Asset Value (v)      15,196,894      $ 15,196,894   
Total Investments            $ 244,317,008   
Other Assets, Less Liabilities - 3.3%              5,020,175   
ARPS, at liquidation value (issued by the fund) - (3.7)%              (5,625,000 ) 
VMTPS, at liquidation value (issued by the fund) - (60.5)%              (91,875,000 ) 
Net assets applicable to common shares - 100.0%            $ 151,837,183   

 

(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 $2,195,315 representing 1.4% 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”, 9.544%, 2016    8/27/93      $549,134         $532,636   
% of Net assets applicable to common shares            0.4%   

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

 

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

 

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.      

 

11

Portfolio of Investments (unaudited) – continued

 

Derivative Contracts at 8/31/13

Futures Contracts Outstanding at 8/31/13

 

Description    Currency      Contracts      Value    Expiration Date    Unrealized
Appreciation
(Depreciation)		  
Asset Derivatives               
Interest Rate Futures               
U.S. Treasury Note 10 yr (Short)      USD         221       $27,466,156    December - 2013      $77,130   
              

 

 

  
Liability Derivatives               
Interest Rate Futures               
U.S. Treasury Note 30 yr (Short)      USD         46       $6,067,688    December - 2013      $(43,019 ) 
              

 

 

  

At August 31, 2013, the fund had liquid securities with an aggregate value of $568,600 to cover any commitments for certain derivative contracts.

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

 

12

Supplemental Information

8/31/13 (unaudited)

(1) Investment Valuations

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

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

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

 

Investments at Value    Level 1      Level 2      Level 3      Total  
Municipal Bonds      $—         $229,120,114         $—         $229,120,114   
Mutual Funds      15,196,894         —         —         15,196,894   
Total Investments      $15,196,894         $229,120,114         $—         $244,317,008   
Other Financial Instruments                            
Futures Contracts      $34,111         $—         $—         $34,111   

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

(2) Portfolio Securities

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

 

Aggregate cost      $243,601,023   
Gross unrealized appreciation      10,661,291   
Gross unrealized depreciation      (9,945,306 ) 
Net unrealized appreciation (depreciation)      $715,985   

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

 

13

Supplemental Information (unaudited) – continued

 

(3) Transactions in Underlying Affiliated Funds – Affiliated Issuers

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

 

Underlying Affiliated Fund    Beginning
Shares/Par
Amount		      Acquisitions
Shares/Par
Amount		      Dispositions
Shares/Par
Amount		      Ending
Shares/Par
Amount		  
MFS institutional Money Market Portfolio      4,001,469         46,217,080         (35,021,655 )       15,196,894   
Underlying Affiliated Fund    Realized
Gain (Loss)		      Capital Gain
Distributions		      Dividend
Income		      Ending
Value		  
MFS institutional Money Market Portfolio      $—         $—         $5,734         $15,196,894   

 

14

ITEM 2. CONTROLS AND PROCEDURES.

 

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

 

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

 

ITEM 3. EXHIBITS.

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

Notice

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

SIGNATURES

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

Registrant: MFS HIGH INCOME MUNICIPAL TRUST

 

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

Date: October 17, 2013

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

 

By (Signature and Title)*    JOHN M. CORCORAN
 

John M. Corcoran, President

(Principal Executive Officer)

Date: October 17, 2013

 

By (Signature and Title)*    DAVID L. DILORENZO
 

David L. DiLorenzo, Treasurer

(Principal Financial Officer

and Accounting Officer)

Date: October 17, 2013

 

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