MFS INVESTMENT GRADE MUNICIPAL TRUST N-CSRS
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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-5785

MFS INVESTMENT GRADE MUNICIPAL TRUST

(Exact name of registrant as specified in charter)

111 Huntington Avenue, Boston, Massachusetts 02199

(Address of principal executive offices) (Zip code)

Christopher R. Bohane

Massachusetts Financial Services Company

111 Huntington Avenue

Boston, Massachusetts 02199

(Name and address of agents for service)

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

Date of fiscal year end: November 30

Date of reporting period: May 31, 2017


Table of Contents
ITEM 1. REPORTS TO STOCKHOLDERS.


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SEMIANNUAL REPORT

May 31, 2017

 

LOGO

 

MFS® INVESTMENT GRADE MUNICIPAL TRUST

 

LOGO

 

CXH-SEM

 


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MFS® INVESTMENT GRADE MUNICIPAL TRUST

New York Stock Exchange Symbol: CXH

 

Letter from the Executive Chairman     1  
Portfolio composition     2  
Portfolio managers’ profiles     4  
Other notes     4  
Portfolio of investments     5  
Statement of assets and liabilities     39  
Statement of operations     40  
Statements of changes in net assets     41  
Statement of cash flows     42  
Financial highlights     43  
Notes to financial statements     46  
Report of independent registered public accounting firm     56  
Proxy voting policies and information     57  
Quarterly portfolio disclosure     57  
Further information     57  
Information about fund contracts and legal claims     58  
Contact information  back cover  

 

NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE



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LOGO

 

LETTER FROM THE EXECUTIVE CHAIRMAN

 

Dear Shareholders:

Despite policy uncertainty accompanying a new presidential administration in the United States and unease over looming Brexit negotiations, most markets have proved

resilient. U.S. share prices have reached new highs, and U.S. bond yields rose on hopes surrounding President Trump’s proposed fiscal policies and indications that the U.S. Federal Reserve will continue to gradually hike interest rates. However, interest rates in most developed markets remain very low, with central banks maintaining accommodative monetary policies in hopes of reinvigorating slow-growing economies and lifting inflation.

Globally, economic growth has shown signs of recovery, led by China, the U.S. and the eurozone. Despite better growth, there are few immediate signs of worrisome inflation, as wage growth remains muted. Emerging market economies are recovering at a

somewhat slower pace amid fears that restrictive U.S. trade policies could further hamper the restrained pace of global trade growth. Looking ahead, markets will have to contend with elections in the United Kingdom and Germany in the months ahead, as well as geopolitical hot spots on the Korean peninsula and in the Middle East.

At MFS®, we believe time is an asset. A patient, long-term approach to investing can have a powerful impact on decision making and outcomes. Time arbitrage, as we call it, simply comes down to having the conviction and discipline to allow enough time for good investment ideas to play out. In our view, such an approach, along with the professional guidance of a financial advisor, will help you reach your investment objectives.

Respectfully,

 

LOGO

Robert J. Manning

Executive Chairman

MFS Investment Management

July 14, 2017

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

 

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PORTFOLIO COMPOSITION

 

Portfolio structure (i)

 

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Top ten industries (i)  
Healthcare Revenue – Hospitals     22.0%  
Water & Sewer Utility Revenue     13.7%  
Student Loan Revenue     13.2%  
Universities – Colleges     12.3%  
Transportation – Special Tax     7.7%  
General Obligations – General Purpose     6.8%  
Utilities – Municipal Owned     5.9%  
Tobacco     5.4%  
Miscellaneous Revenue – Other     5.4%  
Airport Revenue     5.3%  
Composition including fixed income credit
quality (a)(i)
 
AAA     5.7%  
AA     43.9%  
A     47.3%  
BBB     26.5%  
BB     6.0%  
B     4.1%  
CCC     0.4%  
CC     0.1%  
C     1.6%  
D     0.8%  
Not Rated     8.9%  
Cash & Cash Equivalents (less liabilities)     (39.2)%  
Other     (6.1)%  
Portfolio facts (i)  
Average Duration (d)     10.0  
Average Effective Maturity (m)     16.0 yrs.  
 

 

(a) For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change. Not Rated includes fixed income securities, including fixed income futures contracts, which have not been rated by any rating agency. The fund may or may not have held all of these instruments on this date. The fund is not rated by these agencies.

 

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Portfolio Composition – continued

 

(d) Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move. This calculation is based on net assets applicable to common shares as of May 31, 2017.
(i) For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts.
(m) In determining an instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. This calculation is based on gross assets, which consists of net assets applicable to common shares plus the value of preferred shares, as of May 31, 2017.

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

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

From time to time Cash & Cash Equivalents may be negative due to the aggregate liquidation value of variable rate municipal term preferred shares and/or timing of cash receipts.

Other includes equivalent exposure from currency derivatives and/or any offsets to derivative positions and/or the leverage created through the issuance of self-deposited inverse floaters and may be negative.

Percentages are based on net assets applicable to common shares as of May 31, 2017.

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

 

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PORTFOLIO MANAGERS’ PROFILES

 

Portfolio Manager   Primary Role   Since   Title and Five Year History
Michael Dawson   Portfolio
Manager
  2007   Investment Officer of MFS; employed in the investment management area of MFS since 1998.
Geoffrey Schechter   Portfolio
Manager
  2007   Investment Officer of MFS; employed in the investment management area of MFS since 1993.

OTHER NOTES

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

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

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

 

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PORTFOLIO OF INVESTMENTS

5/31/17 (unaudited)

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

 

Municipal Bonds - 143.1%                 
Issuer    Shares/Par     Value ($)  
Alabama - 1.2%                 
Alabama Incentives Financing Authority Special Obligation, “A”, 5%, 9/01/2037    $ 55,000     $ 61,180  
Birmingham, AL, Special Care Facilities Financing Authority Rev. (Methodist Home for the Aging), 5.25%, 6/01/2025      70,000       76,257  
Cullman County, AL, Health Care Authority (Cullman Regional Medical Center), “A”, 6.75%, 2/01/2029      355,000       368,778  
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/2026      95,000       68,231  
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/2029      135,000       79,465  
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/2034      190,000       77,930  
Jefferson County, AL, Sewer Rev. Warrants, Capital Appreciation, Senior Lien, “B”, AGM, 0%, 10/01/2035      365,000       140,857  
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/2017      25,000       25,261  
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/2018      30,000       31,001  
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/2021      35,000       37,566  
Jefferson County, AL, Sewer Rev. Warrants, Subordinate Lien, “D”, 5%, 10/01/2023      45,000       48,696  
Pell City, AL, Special Care Facilities, Financing Authority Rev. (Noland Health Services, Inc.), 5%, 12/01/2039      140,000       152,197  
Selma, AL, Industrial Development Board Rev., Gulf Opportunity Zone (International Paper Co.), “A”, 5.8%, 5/01/2034      275,000       305,380  
    

 

 

 
             $ 1,472,799  
Arizona - 1.2%                 
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Basis Schools Projects), “A”, 5%, 7/01/2035    $ 35,000     $ 35,935  
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Basis Schools Projects), “A”, 5%, 7/01/2045      50,000       50,930  
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Basis Schools Projects), “A”, 5%, 7/01/2046      35,000       35,627  
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Great Hearts Academies Project), “A”, 5%, 7/01/2036      60,000       64,795  
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Great Hearts Academies Project), “A”, 5%, 7/01/2041      45,000       48,273  

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Arizona - continued                 
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Great Hearts Academies Project), “A”, 5%, 7/01/2046    $ 80,000     $ 85,534  
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Legacy Traditional Schools Project), 5%, 7/01/2035      70,000       71,965  
Phoenix, AZ, Industrial Development Authority Education Facility Rev. (Legacy Traditional Schools Project), 5%, 7/01/2045      80,000       81,273  
Salt Verde Financial Corp., AZ, Senior Gas Rev., 5%, 12/01/2032      795,000       954,731  
    

 

 

 
             $ 1,429,063  
Arkansas - 0.8%                 
Arkansas Development Finance Authority Hospital Rev. (Washington Regional Medical Center), “A”, 5%, 2/01/2035    $ 30,000     $ 33,450  
Arkansas Development Finance Authority Hospital Rev. (Washington Regional Medical Center), “C”, 5%, 2/01/2033      50,000       56,038  
Pulaski County, AR, Public Facilities Board Healthcare Rev. (Baptist Health), 5%, 12/01/2039      730,000       817,520  
Pulaski County, AR, Public Facilities Board Healthcare Rev. (Baptist Health), 5%, 12/01/2042      120,000       134,047  
    

 

 

 
             $ 1,041,055  
California - 14.5%                 
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 8/01/2031    $ 130,000     $ 84,313  
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 8/01/2032      235,000       145,848  
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 8/01/2033      470,000       279,537  
California Department of Water Resources, Center Valley Project Rev., “AJ”, 5%, 12/01/2035 (Prerefunded 12/01/2021)      1,000,000       1,169,400  
California Educational Facilities Authority Rev. (California Lutheran University), 5.75%, 10/01/2038      350,000       368,564  
California Educational Facilities Authority Rev. (Chapman University), 5%, 4/01/2031      135,000       150,228  
California Educational Facilities Authority Rev. (University of San Francisco), 6.125%, 10/01/2036      75,000       88,642  
California Health Facilities Financing Authority Rev. (St. Joseph Health System), “A”, 5.75%, 7/01/2039      195,000       211,513  
California Health Facilities Financing Authority Rev. (Sutter Health), “B”, 5.875%, 8/15/2031      535,000       611,409  
California Housing Finance Agency Rev. (Home Mortgage), “G”, 4.95%, 8/01/2023      1,050,000       1,052,615  
California Municipal Finance Authority Rev. (Biola University), 5.8%, 10/01/2028 (Prerefunded 10/01/2018)      100,000       106,533  

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
California - continued                 
California Municipal Finance Authority Rev. (University of La Verne), “A”, 6.25%, 6/01/2040 (Prerefunded 6/01/2020)    $ 70,000     $ 80,816  
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Republic Services, Inc.), “B”, 5.25%, 6/01/2023 (Put Date 12/01/2017)      135,000       137,349  
California Public Works Board Lease Rev. (Various Capital Projects), “I”, 5%, 11/01/2038      1,220,000       1,390,446  
California Public Works Board Lease Rev., Department of Corrections and Rehabilitation (Various Correctional Facilities), “A”, 5%, 9/01/2033      1,135,000       1,319,596  
California School Finance Authority, School Facility Rev. (Alliance for College-Ready Public Schools Projects), “A”, 5%, 7/01/2030      40,000       44,221  
California School Finance Authority, School Facility Rev. (Alliance for College-Ready Public Schools Projects), “A”, 5%, 7/01/2045      100,000       107,131  
California State University Rev., “A”, 5%, 11/01/2037      805,000       913,329  
California Statewide Communities Development Authority Environmental Facilities Rev. (Microgy Holdings Project), 9%, 12/01/2038 (a)(d)      25,246       126  
California Statewide Communities Development Authority Rev. (Loma Linda University Medical Center), “A”, 5.25%, 12/01/2034      85,000       93,794  
California Statewide Communities Development Authority Rev. (Loma Linda University Medical Center), “A”, 5.25%, 12/01/2044      245,000       265,335  
California Statewide Communities Development Authority Rev. (Loma Linda University Medical Center), “A”, 5%, 12/01/2046      120,000       129,258  
California Statewide Communities Development Authority Rev. (Student Housing, SUCI East Campus), 6%, 5/15/2040 (Prerefunded 5/15/2018)      220,000       230,996  
Chula Vista, CA, Industrial Development Rev. (San Diego Gas & Electric Co.), “E”, 5.875%, 1/01/2034      195,000       211,860  
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Enhanced, “A”, 5%, 6/01/2030      85,000       98,008  
Jurupa, CA, Unified School District (Riverside County, California) General Obligation, 2014 Election, “B”, 5%, 8/01/2034      40,000       48,012  
Jurupa, CA, Unified School District (Riverside County, California) General Obligation, 2014 Election, “B”, 5%, 8/01/2036      35,000       41,736  
La Verne, CA, COP (Brethren Hillcrest Homes), 5%, 5/15/2036      50,000       52,985  
Los Angeles County, CA, Redevelopment Refunding Authority Tax Allocation Rev. “D”, AGM, 5%, 9/01/2022      210,000       245,465  
Los Angeles County, CA, Redevelopment Refunding Authority Tax Allocation Rev. “D”, AGM, 5%, 9/01/2023      210,000       249,411  
Los Angeles County, CA, Regional Financing Authority Rev. (Montecedro Inc. Project), “A”, CALHF, 5%, 11/15/2034      35,000       39,780  

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
California - continued                 
Los Angeles County, CA, Regional Financing Authority Rev. (Montecedro Inc. Project), “A”, CALHF, 5%, 11/15/2044    $ 65,000     $ 73,380  
Los Angeles, CA, Unified School District, “D”, 5%, 1/01/2034      95,000       102,703  
Mount San Antonio, CA, Community College District Rev. (Election of 2008), Convertible Capital Appreciation, “A”, 0% to 8/01/2023, 5.875% to 8/01/2028      140,000       132,741  
Mount San Antonio, CA, Community College District Rev. (Election of 2008), Convertible Capital Appreciation, “A”, 0% to 8/01/2028, 6.25% to 8/01/2043      355,000       275,519  
Palomar Pomerado Health Care District, CA, COP, 6.75%, 11/01/2039 (Prerefunded 11/01/2019)      245,000       279,013  
Port of Oakland, CA, Rev., “P”, 5%, 5/01/2033      970,000       1,072,529  
Riverside County, CA, Public Financing Authority Tax Allocation Rev. (Project Area No. 1 Desert Communities & Interstate 215 Corridor Projects), BAM, 4%, 10/01/2037      60,000       62,858  
Riverside County, CA, Successor Agency to the Redevelopment Agency Tax Allocation Rev. (Jurupa Valley Redevelopment Project Area), “B”, BAM, 4%, 10/01/2036      60,000       63,305  
Riverside County, CA, Transportation Commission, Sales Tax Rev. (Limited Tax), “A”, 5.25%, 6/01/2039      345,000       405,113  
San Diego County, CA, Regional Airport Authority Rev., “A”, 5%, 7/01/2040      835,000       915,836  
San Francisco, CA, City & County Airports Commission, International Airport Rev., “D”, 5%, 5/01/2025 (Prerefunded 5/03/2021)      285,000       328,058  
San Francisco, CA, City & County Airports Commission, International Airport Rev., Unrefunded Balance, “D”, 5%, 5/01/2025      715,000       821,707  
San Francisco, CA, City & County Redevelopment Successor Agency, Tax Allocation (Mission Bay South Redevelopment Project), “A”, 5%, 8/01/2043      25,000       28,048  
San Jose, CA, Airport Rev., “A-2”, 5.25%, 3/01/2034      710,000       791,458  
State of California, 4%, 9/01/2026      725,000       802,626  
State of California, 5.25%, 10/01/2028      270,000       315,163  
State of California, 5.25%, 9/01/2030      645,000       747,968  
State of California, 5%, 5/01/2044      230,000       263,792  
Upland, CA, COP (San Antonio Community Hospital), 6.5%, 1/01/2041      85,000       95,711  
West Contra Costa, CA, Unified School District, “B”, NATL, 6%, 8/01/2024      250,000       289,478  
Whittier, CA, Health Facility Rev. (PIH Health), 5%, 6/01/2044      125,000       138,104  
    

 

 

 
             $ 17,973,366  

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Colorado - 2.8%                 
Colorado Educational & Cultural Facilities Authority Rev. (Academy of Charter Schools Project), 5.625%, 5/01/2040    $ 230,000     $ 238,303  
Colorado Educational & Cultural Facilities Authority Rev. (Montessori Charter School Project), 5%, 7/15/2037      40,000       42,964  
Colorado Educational & Cultural Facilities Authority Rev. (The Classical Academy Project), “A”, 5%, 12/01/2038      75,000       82,677  
Colorado Educational & Cultural Facilities Authority Rev. (Twin Peaks Charter Academy Project), 5%, 11/15/2031      145,000       163,109  
Colorado Health Facilities Authority Rev. (Covenant Retirement Communities, Inc. Project), “A”, 5%, 12/01/2035      150,000       163,832  
Colorado Health Facilities Authority Rev. (Evangelical Lutheran Good Samaritan Society), 5.625%, 6/01/2043      90,000       96,494  
Colorado Health Facilities Authority Rev. (SCL Health System), “A”, 5%, 1/01/2044      380,000       422,210  
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6.5%, 1/15/2030      560,000       629,821  
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 1/15/2034      480,000       532,325  
Denver, CO, City & County Airport Rev. (United Airlines), 5.25%, 10/01/2032      245,000       247,489  
Denver, CO, Convention Center Hotel Authority Rev., 5%, 12/01/2035      70,000       79,210  
Denver, CO, Convention Center Hotel Authority Rev., 5%, 12/01/2036      45,000       50,765  
Denver, CO, Convention Center Hotel Authority Rev., 5%, 12/01/2040      120,000       134,647  
Denver, CO, Health & Hospital Authority Rev., “A”, 5.25%, 12/01/2045      95,000       102,471  
Park Creek Metropolitan District, CO, Senior Limited Property Tax Supported Rev., “A”, NATL, 5%, 12/01/2045      405,000       454,714  
    

 

 

 
             $ 3,441,031  
Connecticut - 1.3%                 
Mohegan Tribal Finance Authority, CT, Economic Development Bonds, 7%, 2/01/2045 (n)    $ 180,000     $ 188,519  
State of Connecticut, Special Tax Obligation Rev., “A”, 5%, 12/01/2028      405,000       461,907  
State of Connecticut, Special Tax Obligation Rev., “A”, 5%, 12/01/2029      405,000       461,340  
State of Connecticut, Special Tax Obligation Rev., “A”, 5%, 12/01/2030      385,000       438,338  
    

 

 

 
             $ 1,550,104  

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
District of Columbia - 1.8%                 
District of Columbia Housing Finance Agency (Henson Ridge), “E”, FHA, 5.1%, 6/01/2037    $ 480,000     $ 483,038  
District of Columbia Rev. (Georgetown University), Convertible Capital Appreciation, BHAC, 0% to 4/01/2018, 5% to 4/01/2040      1,430,000       1,486,614  
District of Columbia Rev. (Kipp, D.C. Charter School), “A”, 6%, 7/01/2033      40,000       46,893  
District of Columbia Rev. (Kipp, D.C. Charter School), “A”, 6%, 7/01/2043      105,000       121,761  
District of Columbia Rev. (Methodist Home of the District of Columbia Issue), 4.5%, 1/01/2025      20,000       20,018  
District of Columbia Rev. (Methodist Home of the District of Columbia Issue), “A”, 5.125%, 1/01/2035      20,000       19,846  
District of Columbia Rev. (Methodist Home of the District of Columbia Issue), “A”, 5.25%, 1/01/2039      10,000       9,947  
    

 

 

 
             $ 2,188,117  
Florida - 4.5%                 
Bellalago, FL, Educational Facilities Benefit District (Osceola County) Capital Improvement Refunding Rev., 4.375%, 5/01/2030    $ 80,000     $ 86,296  
Bellalago, FL, Educational Facilities Benefit District (Osceola County) Capital Improvement Refunding Rev., 4.5%, 5/01/2033      35,000       37,757  
Bellalago, FL, Educational Facilities Benefit District (Osceola County) Capital Improvement Refunding Rev., 4.6%, 5/01/2034      60,000       64,941  
Capital Trust Agency, FL, Housing Rev. (Atlantic Housing Foundation), “B”, 7%, 7/15/2032 (d)(q)      340,000       255,003  
Collier County, FL, Educational Facilities Authority Rev. (Ave Maria University, Inc. Project), “A”, 6.125%, 6/01/2043      440,000       495,682  
Daytona Beach, FL, Halifax Hospital Medical Center Rev., 5%, 6/01/2026      115,000       135,533  
Daytona Beach, FL, Halifax Hospital Medical Center Rev., 5%, 6/01/2029      105,000       120,167  
Daytona Beach, FL, Halifax Hospital Medical Center Rev., 5%, 6/01/2030      105,000       118,973  
Lakeland, FL, Hospital Rev. (Lakeland Regional Health Systems), 5%, 11/15/2033      175,000       196,114  
Lakeland, FL, Hospital Rev. (Lakeland Regional Health Systems), 5%, 11/15/2034      150,000       167,676  
Lakeland, FL, Hospital Rev. (Lakeland Regional Health Systems), 5%, 11/15/2035      215,000       239,731  
Miami-Dade County, FL, Health Facilities Authority Hospital Rev., Prerefunded, 6.125%, 8/01/2042 (Prerefunded 8/01/2020)      145,000       167,703  
Miami-Dade County, FL, Health Facilities Authority Hospital Rev., Unrefunded Balance, 6.125%, 8/01/2042      50,000       55,791  

 

10


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Florida - continued                 
Miami-Dade County, FL, Special Obligation, “B”, 5%, 10/01/2035    $ 180,000     $ 201,949  
Mid-Bay Bridge Authority, FL, Springing Lien Rev., “A”, 7.25%, 10/01/2040 (Prerefunded 10/01/2021)      175,000       218,729  
Orange County, FL, Health Facilities Authority Hospital Rev. (Orlando Health Obligated Group), “A”, 5%, 10/01/2037      160,000       182,242  
Seminole Tribe, FL, Special Obligation Rev., “A”, 5.75%, 10/01/2022 (n)      250,000       252,750  
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6%, 4/01/2029      105,000       113,139  
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6.25%, 4/01/2039      155,000       166,825  
St. John’s County, FL, Industrial Development Authority Rev. (Presbyterian Retirement), “A”, 6%, 8/01/2045 (Prerefunded 8/01/2020)      400,000       460,128  
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5%, 7/01/2026      20,000       22,978  
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5%, 7/01/2029      20,000       22,418  
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5.125%, 7/01/2034      40,000       44,088  
Sumter County, FL, Industrial Development Authority Hospital Rev. (Central Florida Health Alliance Projects), “A”, 5.25%, 7/01/2044      120,000       130,630  
Tampa Bay, FL, Sports Authority Rev. (Tampa Bay Arena), NATL, 5.75%, 10/01/2025      1,000,000       1,186,810  
Tampa, FL (University of Tampa Project), 5%, 4/01/2040      85,000       96,914  
Westridge, FL, Community Development District, Capital Improvement Rev., 5.8%, 5/01/2037 (a)(d)      480,000       288,005  
    

 

 

 
             $ 5,528,972  
Georgia - 3.4%                 
Americus and Sumter County, GA, Hospital Authority Rev. (Magnolia Manor Obligated Group), “A”, 6.25%, 5/15/2033    $ 75,000     $ 82,569  
Americus and Sumter County, GA, Hospital Authority Rev. (Magnolia Manor Obligated Group), “A”, 6.375%, 5/15/2043      75,000       82,458  
Atlanta, GA, Water & Wastewater Rev., “A”, 6%, 11/01/2022 (Prerefunded 11/01/2019)      290,000       324,803  
Clayton County, GA, Development Authority Special Facilities Rev. (Delta Airlines, Inc.), “A”, 8.75%, 6/01/2029      125,000       147,235  
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 10/01/2028      125,000       145,105  
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 10/01/2029      120,000       139,192  
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 10/01/2030      75,000       86,017  
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 10/01/2041      340,000       386,131  
Fulton County, GA, Water & Sewer Rev., 5%, 1/01/2026      320,000       362,282  

 

11


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Georgia - continued                 
Fulton County, GA, Water & Sewer Rev., 5%, 1/01/2027    $ 215,000     $ 243,165  
Georgia Main Street Natural Gas, Inc., Gas Project Rev., “A”, 5%, 3/15/2022      525,000       597,340  
Georgia Main Street Natural Gas, Inc., Gas Project Rev., “A”, 5.5%, 9/15/2026      120,000       145,678  
Georgia Main Street Natural Gas, Inc., Gas Project Rev., “A”, 5.5%, 9/15/2028      250,000       306,773  
Georgia Municipal Electric Authority Power Rev., “GG”, 5%, 1/01/2026      225,000       253,638  
Glynn-Brunswick, GA, Memorial Hospital Authority Rev., Unrefunded Balance, 5.625%, 8/01/2034      15,000       15,631  
Hall County and Gainesville, GA, Hospital Authority Rev. (Northeast Georgia Health System, Inc.), “A”, 5.5%, 8/15/2054      320,000       378,502  
Marietta, GA, Development Facilities Authority Rev. (Life University), 7%, 6/15/2030      100,000       102,558  
Marietta, GA, Development Facilities Authority Rev. (Life University), 7%, 6/15/2039      100,000       102,293  
Rockdale County, GA, Development Authority Project Rev. (Visy Paper Project), “A”, 6.125%, 1/01/2034      320,000       320,682  
    

 

 

 
             $ 4,222,052  
Guam - 0.0%                 
Guam Government Business Privilege Tax Rev., “A”, 5.25%, 1/01/2036    $ 40,000     $ 42,590  
Hawaii - 1.1%                 
Hawaii Department of Budget & Finance, Special Purpose Rev. (15 Craigside Project), “A”, 9%, 11/15/2044 (Prerefunded 11/15/2019)    $ 115,000     $ 136,988  
Hawaii Department of Budget & Finance, Special Purpose Rev. (Hawaiian Electric Co. & Subsidiary), 6.5%, 7/01/2039      410,000       443,559  
State of Hawaii, “DZ”, 5%, 12/01/2031 (Prerefunded 12/01/2021)      110,000       128,274  
State of Hawaii, Highway Rev., “A”, 5%, 1/01/2030 (Prerefunded 1/01/2022)      305,000       356,237  
State of Hawaii, Highway Rev., “A”, 5%, 1/01/2031      120,000       137,274  
State of Hawaii, Highway Rev., “A”, 5%, 1/01/2032      80,000       91,326  
State of Hawaii, Unrefunded Balance, “DZ”, 5%, 12/01/2031      70,000       81,596  
    

 

 

 
             $ 1,375,254  
Illinois - 13.5%                 
Bolingbrook, IL, Sales Tax Rev., 6.25%, 1/01/2024    $ 205,000     $ 202,534  
Chicago, IL (Modern Schools Program), “G”, AMBAC, 5%, 12/01/2023      45,000       45,134  
Chicago, IL (Modern Schools Program), “H”, AMBAC, 5%, 12/01/2021      85,000       85,252  

 

12


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Illinois - continued                 
Chicago, IL, “A”, AGM, 5%, 1/01/2022    $ 40,000     $ 40,290  
Chicago, IL, “A”, AGM, 5%, 1/01/2023      25,000       25,182  
Chicago, IL, “A”, AGM, 5%, 1/01/2025      5,000       5,036  
Chicago, IL, “A”, AGM, 5%, 1/01/2028      360,000       378,954  
Chicago, IL, “A”, 5.25%, 1/01/2028      25,000       25,276  
Chicago, IL, “A”, AGM, 4.75%, 1/01/2030      45,000       45,108  
Chicago, IL, “A”, AGM, 5%, 1/01/2034      155,000       155,405  
Chicago, IL, “A”, 5%, 1/01/2036      85,000       81,908  
Chicago, IL, “A”, AGM, 5%, 1/01/2037      260,000       260,681  
Chicago, IL, “C”, NATL, 5%, 1/01/2023      35,000       35,636  
Chicago, IL, “C”, NATL, 5%, 1/01/2029      285,000       290,064  
Chicago, IL, “D”, AMBAC, 5%, 12/01/2022      230,000       230,685  
Chicago, IL, “D”, 5.5%, 1/01/2033      70,000       70,818  
Chicago, IL, Board of Education, “B”, AMBAC, 5%, 12/01/2021      110,000       110,088  
Chicago, IL, Board of Education, “B”, AGM, 5%, 12/01/2035      305,000       311,759  
Chicago, IL, Board of Education, “C”, AGM, 5%, 12/01/2032      685,000       706,989  
Chicago, IL, Board of Education, (School Reform), Capital Appreciation, “A”, NATL, 0%, 12/01/2019      50,000       46,685  
Chicago, IL, Board of Education, Dedicated Capital Improvement Tax Bond, 6%, 4/01/2046      420,000       442,928  
Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “B”, AMBAC, 5%, 12/01/2021      345,000       346,777  
Chicago, IL, Board of Education, Unlimited Tax General Obligation Refunding Dedicated Rev., “B”, AMBAC, 5%, 12/01/2023      80,000       80,345  
Chicago, IL, General Obligation, “A”, 6%, 1/01/2038      200,000       208,572  
Chicago, IL, Greater Chicago Metropolitan Water Reclamation District, “C”, 5%, 12/01/2029      855,000       960,541  
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.25%, 1/01/2032      70,000       79,855  
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.25%, 1/01/2033      35,000       39,869  
Chicago, IL, O’Hare International Airport Rev., Customer Facility Charge, AGM, 5.5%, 1/01/2043      145,000       163,902  
Chicago, IL, O’Hare International Airport Rev., Senior Lien, “B”, 5%, 1/01/2030      230,000       266,393  
Chicago, IL, O’Hare International Airport Rev., Third Lien, “A”, 5.625%, 1/01/2035      650,000       731,315  
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 12/01/2029      155,000       170,303  
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 12/01/2030      310,000       339,875  
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 12/01/2031      60,000       65,590  

 

13


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Illinois - continued                 
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 12/01/2040    $ 410,000     $ 442,292  
Chicago, IL, Wastewater Transmission Rev., “C”, 5%, 1/01/2035      30,000       32,911  
Chicago, IL, Wastewater Transmission Rev., “C”, 5%, 1/01/2039      50,000       54,435  
Illinois Finance Authority Rev. (Edward-Elmhurst Healthcare), “A”, 5%, 1/01/2034      145,000       162,325  
Illinois Finance Authority Rev. (Edward-Elmhurst Healthcare), “A”, 5%, 1/01/2035      145,000       161,824  
Illinois Finance Authority Rev. (Franciscan Communities, Inc.), “A”, 4.75%, 5/15/2033      160,000       161,691  
Illinois Finance Authority Rev. (Franciscan Communities, Inc.), “A”, 5.125%, 5/15/2043      125,000       126,338  
Illinois Finance Authority Rev. (KishHealth Systems Obligated Group), 5.75%, 10/01/2028 (Prerefunded 10/01/2018)      380,000       404,339  
Illinois Finance Authority Rev. (Presbyterian Homes Obligated Group), “B”, FRN, 2.046%, 5/01/2036 (Put Date 5/01/2021)      70,000       70,232  
Illinois Finance Authority Rev. (Presence Health Network), 6.125%, 5/15/2025 (Prerefunded 5/15/2019)      15,000       16,502  
Illinois Finance Authority Rev. (Presence Health Network), 7.75%, 8/15/2034 (Prerefunded 8/15/2019)      5,000       5,733  
Illinois Finance Authority Rev. (Presence Health Network), “A”, 7.75%, 8/15/2034 (Prerefunded 8/15/2019)      395,000       452,895  
Illinois Finance Authority Rev. (Presence Health Network), “C”, 5%, 2/15/2036      85,000       92,418  
Illinois Finance Authority Rev. (Presence Health Network), “C”, 4%, 2/15/2041      245,000       227,245  
Illinois Finance Authority Rev. (Presence Health Network), “C”, 5%, 2/15/2041      120,000       129,366  
Illinois Finance Authority Rev. (Presence Health Obligated Group), 6.125%, 5/15/2025 (Prerefunded 5/15/2019)      15,000       16,478  
Illinois Finance Authority Rev. (Rehabilitation Institute of Chicago), “A”, 6%, 7/01/2043      565,000       654,513  
Illinois Finance Authority Rev. (Resurrection Health Care Corp.), 6.125%, 5/15/2025 (Prerefunded 5/15/2019)      430,000       473,060  
Illinois Finance Authority Rev. (Roosevelt University Project), 6.25%, 4/01/2029      545,000       579,907  
Illinois Finance Authority Rev. (Silver Cross Hospital & Medical Centers), 6.875%, 8/15/2038 (Prerefunded 8/15/2019)      395,000       445,145  
Illinois Finance Authority Rev. (Silver Cross Hospital & Medical Centers), “C”, 5%, 8/15/2035      315,000       347,017  
Illinois Finance Authority Rev. (University of Chicago), “A”, 5%, 10/01/2035      1,000,000       1,143,470  

 

14


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Illinois - continued                 
Illinois Finance Authority Student Housing Rev. (Northern Illinois University Project), 6.625%, 10/01/2031    $ 390,000     $ 431,968  
Illinois Railsplitter Tobacco Settlement Authority, 5.5%, 6/01/2023      150,000       171,491  
Illinois Railsplitter Tobacco Settlement Authority, 6%, 6/01/2028      1,145,000       1,310,968  
Illinois Toll Highway Authority Rev., “B”, 5%, 1/01/2032      1,000,000       1,149,560  
Lincolnshire, IL, Special Service Area No. 1 (Sedgebrook Project), 6.25%, 3/01/2034      164,000       164,453  
Romeoville, IL, Rev. (Lewis University Project), “A”, 5%, 10/01/2042      130,000       142,600  
State of Illinois, AGM, 5%, 2/01/2027      95,000       104,370  
    

 

 

 
             $ 16,725,295  
Indiana - 2.6%                 
Indiana Finance Authority Health Facilities Rev. (Baptist Healthcare System Obligated Group), 5%, 8/15/2051    $ 190,000     $ 205,120  
Indiana Finance Authority Rev. (Marquette Project), “A”, 5%, 3/01/2030      40,000       43,775  
Indiana Finance Authority Rev. (Marquette Project), “A”, 5%, 3/01/2039      100,000       105,714  
Indiana Finance Authority Rev. (Ohio River Bridges East End Crossing Project), “A”, 5%, 7/01/2040      350,000       374,672  
Indiana Finance Authority Rev. (Ohio River Bridges East End Crossing Project), “A”, 5%, 7/01/2044      365,000       390,729  
Indiana Finance Authority Rev. (State Revolving Fund Program), “A”, 5%, 2/01/2029      1,000,000       1,144,510  
Richmond, IN, Hospital Authority Rev. (Reid Hospital & Health Center Services), “A”, 6.625%, 1/01/2039 (Prerefunded 1/01/2019)      525,000       571,400  
University of Southern Indiana Rev. (Student Fee), “J”, ASSD GTY, 5.75%, 10/01/2028 (Prerefunded 1/01/2019)      210,000       232,919  
Valparaiso, IN, Exempt Facilities Rev. (Pratt Paper LLC Project), 7%, 1/01/2044      110,000       132,351  
    

 

 

 
             $ 3,201,190  
Iowa - 0.6%                 
Iowa Higher Education Loan Authority Rev., Private College Facilities Rev., (Grinnell College Project), 5%, 12/01/2041    $ 130,000     $ 154,189  
Iowa Student Loan Liquidity Corp. Rev., “A-1”, 4.625%, 12/01/2019      110,000       114,098  
Iowa Student Loan Liquidity Corp. Rev., “A-1”, 4.875%, 12/01/2020      25,000       26,062  
Iowa Student Loan Liquidity Corp. Rev., “A-2”, 5.5%, 12/01/2025      90,000       96,829  
Iowa Student Loan Liquidity Corp. Rev., “A-2”, 5.6%, 12/01/2026      95,000       102,235  
Iowa Student Loan Liquidity Corp. Rev., “A-2”, 5.7%, 12/01/2027      15,000       16,045  
Iowa Student Loan Liquidity Corp. Rev., “A-2”, 5.75%, 12/01/2028      170,000       181,756  

 

15


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Iowa - continued                 
Iowa Tobacco Settlement Authority, Tobacco Settlement Rev., Asset Backed, “C”, 5.625%, 6/01/2046    $ 70,000     $ 70,005  
    

 

 

 
             $ 761,219  
Kansas - 0.6%                 
Coffeyville, KS, Electric Utility System Rev., “B”, NATL, 5%, 6/01/2038    $ 300,000     $ 329,844  
Coffeyville, KS, Electric Utility System Rev., “B”, NATL, 5%, 6/01/2042      100,000       109,511  
Hutchinson, KS, Hospital Facilities Rev. (Hutchinson Regional Medical Center, Inc.), 5%, 12/01/2036      45,000       49,160  
Hutchinson, KS, Hospital Facilities Rev. (Hutchinson Regional Medical Center, Inc.), 5%, 12/01/2041      45,000       48,787  
Wyandotte County/Kansas City, KS, Unified Government Utility System Improvement Rev., “A”, 5%, 9/01/2044      195,000       219,691  
    

 

 

 
             $ 756,993  
Kentucky - 2.1%                 
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), “A”, 5.375%, 8/15/2024    $ 255,000     $ 266,733  
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), “A”, 5.625%, 8/15/2027      85,000       88,941  
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Owensboro Medical Health System), “A”, 6.375%, 6/01/2040 (Prerefunded 6/01/2020)      440,000       508,380  
Kentucky Economic Development Finance Authority, Hospital Rev. (Baptist Healthcare System Obligated Group), “B”, 5%, 8/15/2037      35,000       38,742  
Kentucky Economic Development Finance Authority, Hospital Rev. (Baptist Healthcare System Obligated Group), “B”, 5%, 8/15/2041      230,000       252,542  
Kentucky Economic Development Finance Authority, Hospital Rev. (Baptist Healthcare System Obligated Group), “B”, 5%, 8/15/2046      135,000       147,635  
Kentucky Turnpike Authority, Economic Development Rev., “A”, 5%, 7/01/2030      1,000,000       1,126,900  
University of Kentucky, General Receipts, “A”, 5%, 4/01/2036      110,000       125,540  
    

 

 

 
             $ 2,555,413  
Louisiana - 2.6%                 
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.25%, 7/01/2031    $ 470,000     $ 515,017  
Louisiana Local Government, Environmental Facilities & Community Development Authority Rev. (St. James Place of Baton Rouge Project), “A”, 6.25%, 11/15/2045      240,000       251,208  
Louisiana Public Facilities Authority Hospital Rev. (Lake Charles Memorial Hospital), 6.375%, 12/01/2034      290,000       307,359  

 

16


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Louisiana - continued                 
Louisiana Public Facilities Authority Rev., (Loyola University Project), Convertible Capital Appreciation, 0% to 10/01/2023, 5.25% to 10/01/2046    $ 345,000     $ 272,336  
New Orleans, LA, Aviation Board General Airport Rev. (North Terminal Project), “B”, 5%, 1/01/2040      240,000       268,536  
New Orleans, LA, Aviation Board General Airport Rev. (North Terminal Project), “B”, 5%, 1/01/2045      100,000       111,462  
New Orleans, LA, Aviation Board Gulf Opportunity Zone CFC Rev. (Consolidated Rental Car), “A”, 6.25%, 1/01/2030      185,000       196,831  
New Orleans, LA, Sewerage Service Rev., 5%, 6/01/2040      50,000       56,497  
New Orleans, LA, Sewerage Service Rev., 5%, 12/01/2040      65,000       73,751  
New Orleans, LA, Sewerage Service Rev., 5%, 6/01/2045      185,000       207,646  
New Orleans, LA, Sewerage Service Rev., 5%, 12/01/2045      85,000       95,970  
Shreveport, LA, Water and Sewer Rev., AGM, 5%, 12/01/2030      230,000       267,692  
Shreveport, LA, Water and Sewer Rev., AGM, 5%, 12/01/2034      70,000       80,322  
St. Charles Parish, LA, Gulf Zone Opportunity Zone Rev. (Valero Energy Corp.), 4%, 12/01/2040 (Put Date 6/01/2022)      480,000       510,667  
    

 

 

 
             $ 3,215,294  
Maryland - 1.0%                 
Baltimore, MD, Convention Center Hotel Rev., 5%, 9/01/2039    $ 100,000     $ 112,032  
Baltimore, MD, Convention Center Hotel Rev., 5%, 9/01/2042      90,000       100,665  
Baltimore, MD, Convention Center Hotel Rev., 5%, 9/01/2046      145,000       161,529  
Maryland Health & Higher Educational Facilities Authority Rev. (Anne Arundel Health System, Inc.), “A”, 6.75%, 7/01/2039 (Prerefunded 7/01/2019)      175,000       195,694  
Maryland Health & Higher Educational Facilities Authority Rev. (Charlestown Community Project), 6.25%, 1/01/2041 (Prerefunded 1/01/2021)      190,000       223,993  
Maryland Health & Higher Educational Facilities Authority Rev. (Doctors Community Hospital), “A”, 5%, 7/01/2033      100,000       111,837  
Maryland Health & Higher Educational Facilities Authority Rev. (Doctors Community Hospital), “A”, 5%, 7/01/2034      65,000       72,461  
Maryland Health & Higher Educational Facilities Authority Rev. (Doctors Community Hospital), “A”, 5%, 7/01/2038      280,000       309,154  
    

 

 

 
             $ 1,287,365  
Massachusetts - 17.9%                 
Boston, MA, Metropolitan Transit Parking Corp., Systemwide Parking Rev., 5.25%, 7/01/2036    $ 285,000     $ 322,879  
Commonwealth of Massachusetts Transportation Fund Rev. (Accelerated Bridge Program), “A”, 5%, 6/01/2038      1,000,000       1,123,490  
Massachusetts Bay Transportation Authority, Sales Tax Rev., “A-1”, 5.25%, 7/01/2029      350,000       450,478  

 

17


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Massachusetts - continued                 
Massachusetts College Building Authority Rev., “A”, 5%, 5/01/2031    $ 190,000     $ 222,232  
Massachusetts Development Finance Agency Rev. (Evergreen Center, Inc.), 5%, 1/01/2024      250,000       250,355  
Massachusetts Development Finance Agency Rev. (Milford Regional Medical Center), “F”, 5.75%, 7/15/2043      40,000       44,709  
Massachusetts Development Finance Agency Rev. (North Hill Communities), “A”, 6.5%, 11/15/2043      100,000       108,645  
Massachusetts Development Finance Agency Rev. (Suffolk University), 5%, 7/01/2033      35,000       40,100  
Massachusetts Development Finance Agency Rev. (Suffolk University), 5%, 7/01/2034      30,000       34,205  
Massachusetts Development Finance Agency Rev. (Suffolk University), 5%, 7/01/2035      25,000       28,413  
Massachusetts Development Finance Agency Rev. (UMass Memorial Health Care Obligated Group), “I”, 5%, 7/01/2036      120,000       133,505  
Massachusetts Development Finance Agency Rev. (UMass Memorial Health Care Obligated Group), “K”, 5%, 7/01/2038      80,000       90,113  
Massachusetts Development Finance Agency Rev. (Williams College), “P”, 5%, 7/01/2043      1,000,000       1,150,310  
Massachusetts Development Finance Agency, Resource Recovery Rev. (Covanta Energy Project), “A”, 4.875%, 11/01/2027      205,000       205,435  
Massachusetts Development Finance Agency, Solid Waste Disposal Rev. (Dominion Energy Brayton), 5.75%, 12/01/2042 (Prerefunded 5/01/2019)      70,000       76,311  
Massachusetts Educational Financing Authority, Education Loan Rev, “A”, 4.25%, 1/01/2030      165,000       174,983  
Massachusetts Educational Financing Authority, Education Loan Rev, “A”, 4.25%, 1/01/2031      110,000       115,826  
Massachusetts Educational Financing Authority, Education Loan Rev., “H”, ASSD GTY, 6.35%, 1/01/2030      150,000       157,049  
Massachusetts Educational Financing Authority, Education Loan Rev., “J”, 3.5%, 7/01/2033 (u)      15,000,000       14,710,050  
Massachusetts Educational Financing Authority, Education Loan Rev., “J”, 3.5%, 7/01/2033      120,000       113,888  
Massachusetts Educational Financing Authority, Education Loan Rev., “K”, 5.25%, 7/01/2029      235,000       258,145  
Massachusetts Health & Higher Educational Facilities Authority Refunding Bonds Rev. (Suffolk University), 6.25%, 7/01/2030 (Prerefunded 7/01/2019)      265,000       293,670  
Massachusetts Health & Higher Educational Facilities Authority Refunding Bonds Rev. (Suffolk University), Unrefunded Balance, 6.25%, 7/01/2030      150,000       164,397  
Massachusetts Port Authority Rev., “A”, 5%, 7/01/2037      35,000       38,781  

 

18


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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Massachusetts - continued                 
Massachusetts Port Authority Special Facilities Rev. (ConRAC Project), “A”, 5.125%, 7/01/2041    $ 40,000     $ 43,612  
Massachusetts Port Authority Special Facilities Rev. (Delta Air Lines Project, Inc.), “A”, AMBAC, 5%, 1/01/2027      145,000       146,424  
Massachusetts School Building Authority, Dedicated Sales Tax Rev., “B”, 5%, 10/15/2032      720,000       822,276  
Massachusetts Water Resources Authority, “B”, AGM, 5.25%, 8/01/2029      600,000       780,900  
    

 

 

 
             $ 22,101,181  
Michigan - 3.9%                 
Detroit, MI, Water & Sewerage Department, Senior Lien Sewage Disposal System Rev., “A”, 5.25%, 7/01/2039    $ 460,000     $ 512,348  
Detroit, MI, Water Supply System Rev., Senior Lien, “A”, 5%, 7/01/2036      25,000       26,898  
Detroit, MI, Water Supply System Rev., Senior Lien, “C”, 5%, 7/01/2041      30,000       32,087  
Great Lakes Water Authority, Michigan Sewage Disposal System Rev., “B”, AGM, 5%, 7/01/2034      235,000       271,312  
Michigan Finance Authority (City of Detroit Financial Recovery Income Tax Rev.), “F”, 3.875%, 10/01/2023      50,000       52,358  
Michigan Finance Authority (City of Detroit Financial Recovery Income Tax Rev.), “F”, 4%, 10/01/2024      65,000       68,329  
Michigan Finance Authority Hospital Rev. (Henry Ford Health System), 3.25%, 11/15/2042      570,000       514,813  
Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department Sewage Disposal System Rev. Refunding Second Lien Local Project), “C”, 5%, 7/01/2033      65,000       72,343  
Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department Sewage Disposal System Rev. Refunding Second Lien Local Project), “C”, 5%, 7/01/2034      150,000       166,275  
Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department Sewage Disposal System Rev. Refunding Second Lien Local Project), “C”, 5%, 7/01/2035      100,000       110,553  
Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department Sewage Disposal System Rev. Senior Lien Local Project), “C-1”, 5%, 7/01/2044      175,000       190,694  
Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department Water Supply System Rev. Refunding Second Lien Local Project), “D-2”, 5%, 7/01/2034      65,000       72,053  
Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department), “C-2”, 5%, 7/01/2044      135,000       144,546  
Michigan Finance Authority Local Government Loan Program Rev. (Detroit Water and Sewerage Department), “C-6”, 5%, 7/01/2033      220,000       247,586  

 

19


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Michigan - continued                 
Michigan Finance Authority Rev. (Trinity Health Corp.), 5%, 12/01/2035    $ 750,000     $ 852,945  
Royal Oak, MI, Hospital Finance Authority Rev. (William Beaumont Hospital), 5%, 9/01/2039      545,000       606,204  
Royal Oak, MI, Hospital Finance Authority Rev. (William Beaumont Hospital), 8.25%, 9/01/2039 (Prerefunded 9/01/2018)      230,000       250,838  
Wayne County, MI, Airport Authority Rev. (Detroit Metropolitan Wayne County Airport), “D”, AGM, 5%, 12/01/2040      570,000       640,412  
    

 

 

 
             $ 4,832,594  
Minnesota - 0.0%                 
Minneapolis & St. Paul, MN, Housing Authority Rev. (City Living), “A-2”, GNMA, 5%, 12/01/2038    $ 8,626     $ 8,637  
Mississippi - 1.2%                 
Mississippi Business Finance Corp., Pollution Control Rev. (Systems Energy Resources Project), 5.875%, 4/01/2022    $ 625,000     $ 631,138  
Mississippi Development Bank Special Obligation (City of Jackson Water and Sewer System Rev. Bond Project), AGM, 6.875%, 12/01/2040      90,000       115,600  
Mississippi Hospital Equipment & Facilities Authority Rev. (Baptist Memorial Healthcare), “A”, 5%, 9/01/2022      110,000       125,775  
Mississippi Hospital Equipment & Facilities Authority Rev. (Baptist Memorial Healthcare), “A”, 5%, 9/01/2023      295,000       342,477  
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.25%, 9/01/2032 (Prerefunded 9/01/2019)      190,000       207,799  
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.375%, 9/01/2036 (Prerefunded 9/01/2019)      65,000       71,269  
    

 

 

 
             $ 1,494,058  
Missouri - 0.3%                 
Missouri Health & Educational Facilities Authority Rev. (A.T. Still University Health Services), 5%, 10/01/2039    $ 55,000     $ 61,333  
Missouri Health & Educational Facilities Authority Rev. (SSM Health Care), “A”, 5%, 6/01/2031      205,000       233,768  
Missouri Health & Educational Facilities Authority, Senior Living Facilities Rev. (Lutheran Senior Services Project), “A”, 5%, 2/01/2036      35,000       37,967  
St. Louis County, MO, Industrial Development Authority Health Facilities Rev. (Nazareth Living Center), “A”, 5.125%, 8/15/2045      35,000       34,894  
    

 

 

 
             $ 367,962  

 

20


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
National - 0.6%                 
Centerline Capital Group, Inc., FHLMC, 6.3%, 10/31/2052 (n)    $ 500,000     $ 541,475  
Resolution Trust Corp., Pass-Through Certificates, “1993”, 9.75%, 12/01/2017 (z)      227,741       227,973  
    

 

 

 
             $ 769,448  
Nebraska - 0.6%                 
Douglas County, NE, Educational Facilities Rev. (Creighton University), “A”, 5.875%, 7/01/2040    $ 645,000     $ 721,626  
Nevada - 0.7%                 
Las Vegas Valley, NV, Water District, “C”, 5%, 6/01/2029    $ 755,000     $ 853,188  
New Hampshire - 0.6%                 
New Hampshire Business Finance Authority Rev. (Elliot Hospital Obligated Group), “A”, 6%, 10/01/2027 (Prerefunded 10/01/2019)    $ 445,000     $ 495,797  
New Hampshire Health & Education Facilities Authority Rev. (Memorial Hospital), 5.5%, 6/01/2031      100,000       110,607  
New Hampshire Health & Education Facilities Authority Rev. (Memorial Hospital), 5.5%, 6/01/2036      105,000       114,322  
    

 

 

 
             $ 720,726  
New Jersey - 5.9%                 
Atlantic City, NJ, Tax Appeal Refunding Bonds (Qualified Pursuant to the Provisions of the Municipal Qualified Bond Act), “A”, BAM, 5%, 3/01/2032    $ 20,000     $ 22,596  
Atlantic City, NJ, Tax Appeal Refunding Bonds (Qualified Pursuant to the Provisions of the Municipal Qualified Bond Act), “A”, BAM, 5%, 3/01/2037      25,000       27,742  
Atlantic City, NJ, Tax Appeal Refunding Bonds (Qualified Pursuant to the Provisions of the Municipal Qualified Bond Act), “A”, BAM, 5%, 3/01/2042      35,000       38,568  
New Jersey Building Authority Rev., “A”, BAM, 5%, 6/15/2027 (Prerefunded 6/15/2026)      5,000       6,260  
New Jersey Building Authority Rev., “A”, BAM, 5%, 6/15/2028 (Prerefunded 6/15/2026)      15,000       18,780  
New Jersey Building Authority Rev., “A”, BAM, 5%, 6/15/2029 (Prerefunded 6/15/2026)      20,000       25,040  
New Jersey Building Authority Rev., “A”, BAM, Unrefunded Balance, 5%, 6/15/2027      10,000       11,628  
New Jersey Building Authority Rev., “A”, BAM, Unrefunded Balance, 5%, 6/15/2028      25,000       28,766  
New Jersey Building Authority Rev., “A”, BAM, Unrefunded Balance, 5%, 6/15/2029      30,000       34,255  
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), 5.5%, 1/01/2027      40,000       45,561  

 

21


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
New Jersey - continued                 
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), 5%, 1/01/2028    $ 40,000     $ 44,305  
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), AGM, 5%, 1/01/2031      115,000       126,445  
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), AGM, 5.125%, 1/01/2039      70,000       77,664  
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), AGM, 5.125%, 7/01/2042      35,000       38,544  
New Jersey Economic Development Authority Rev. (The Goethals Bridge Replacement Project), 5.375%, 1/01/2043      225,000       251,584  
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 4.875%, 9/15/2019      65,000       68,619  
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 5.25%, 9/15/2029      260,000       283,208  
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), “A”, 5.625%, 11/15/2030      40,000       44,981  
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), “B”, 5.625%, 11/15/2030      35,000       39,358  
New Jersey Educational Facilities Authority Rev. (Stockton University), “A”, AGM, 4%, 7/01/2036      60,000       62,269  
New Jersey Educational Facilities Authority Rev. (University of Medicine & Dentistry), “B”, 7.5%, 12/01/2032 (Prerefunded 6/01/2019)      460,000       519,634  
New Jersey Health Care Facilities, Financing Authority Rev. (University Hospital), “A”, AGM, 5%, 7/01/2046      360,000       396,392  
New Jersey Tobacco Settlement Financing Corp., “1-A”, 4.5%, 6/01/2023      1,295,000       1,302,861  
New Jersey Tobacco Settlement Financing Corp., “1-A”, 4.75%, 6/01/2034      1,850,000       1,836,366  
New Jersey Tobacco Settlement Financing Corp., “1-A”, 5%, 6/01/2041      1,835,000       1,821,568  
New Jersey Tobacco Settlement Financing Corp., Capital Appreciation, “1-C”, 0%, 6/01/2041      25,000       6,798  
Newark, NJ, Housing Authority, Secured Police Facility Rev. (South Ward Police Facility), AGM, 5%, 12/01/2038      105,000       119,272  
    

 

 

 
             $ 7,299,064  
New Mexico - 0.4%                 
Farmington, NM, Pollution Control Rev. (Public Service New Mexico), “D”, 5.9%, 6/01/2040    $ 400,000     $ 440,668  
New York - 10.8%                 
Brooklyn, NY, Arena Local Development Corp. (Barclays Center Project), 6%, 7/15/2030 (Prerefunded 1/15/2020)    $ 200,000     $ 225,636  
Build NYC Resource Corp. Rev. (Albert Einstein School of Medicine, Inc.), 5.5%, 9/01/2045      310,000       338,532  

 

22


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
New York - continued                 
Build NYC Resource Corp. Solid Waste Disposal Rev. (Pratt Paper, Inc. Project), 5%, 1/01/2035    $ 140,000     $ 150,688  
Glen Cove, NY, Local Economic Assistance Corp. (Garvies Point Public Improvement Project), Capital Appreciation, “B”, 0%, 1/01/2045      120,000       29,675  
Hempstead, NY, Local Development Corp. Rev. (Hofstra University Project), 5%, 7/01/2025      130,000       146,962  
Hempstead, NY, Local Development Corp. Rev. (Hofstra University Project), 5%, 7/01/2026      95,000       107,235  
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5.75%, 2/15/2047      350,000       398,776  
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.5%, 8/15/2030      165,000       177,984  
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.25%, 2/15/2035      100,000       107,263  
New York Environmental Facilities Corp., Municipal Water Finance Authority Project, 5%, 6/15/2025      200,000       229,928  
New York Environmental Facilities, “C”, 5%, 5/15/2041      255,000       286,921  
New York Liberty Development Corp. Rev. (Goldman Sachs Headquarters), 5.25%, 10/01/2035      1,725,000       2,171,189  
New York Liberty Development Corp., Liberty Rev. (3 World Trade Center Project), “2”, 5.375%, 11/15/2040      215,000       234,470  
New York Liberty Development Corp., Liberty Rev. (4 World Trade Center Project), 5%, 11/15/2031      200,000       226,732  
New York Liberty Development Corp., Liberty Rev. (4 World Trade Center Project), 5%, 11/15/2044      500,000       555,960  
New York Liberty Development Corp., Liberty Rev. (One Bryant Park LLC), 6.375%, 7/15/2049      435,000       473,519  
New York Power Authority Rev., “ A”, 5%, 11/15/2038      1,000,000       1,133,660  
New York Transportation Development Corp., Special Facility Rev. (American Airlines, Inc. John F. Kennedy International Airport Project), 5%, 8/01/2026      115,000       123,796  
New York Transportation Development Corp., Special Facility Rev. (American Airlines, Inc. John F. Kennedy International Airport Project), 5%, 8/01/2031      60,000       63,907  
New York, NY, Municipal Water Finance Authority, Water & Sewer System Rev., “AA”, 5%, 6/15/2034      1,610,000       1,815,130  
New York, NY, Municipal Water Finance Authority, Water & Sewer System Rev., “CC”, 5%, 6/15/2047      1,000,000       1,132,120  
New York, NY, Municipal Water Finance Authority, Water & Sewer System Rev., “CC”, 5%, 6/15/2047      85,000       97,045  
Niagara County, NY, Industrial Development Agency, Solid Waste Disposal Rev. (Covanta Energy Project), “A”, 5.25%, 11/01/2042      175,000       175,891  

 

23


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
New York - continued                 
Port Authority of NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 12/01/2036    $ 195,000     $ 220,061  
Port Authority of NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 12/01/2042      225,000       253,328  
Triborough Bridge & Tunnel Authority Rev., NY, Capital Appreciation, “A”, 0%, 11/15/2029      1,125,000       774,371  
Utility Debt Securitization Authority Restructuring Rev., NY, “E”, 5%, 12/15/2041      1,500,000       1,736,670  
    

 

 

 
             $ 13,387,449  
North Carolina - 2.2%                 
Durham, NC, Durham Housing Authority Rev. (Magnolia Pointe Apartments), 5.65%, 2/01/2038    $ 347,541     $ 355,148  
North Carolina Medical Care Commission Retirement Facilities First Mortgage Rev. (United Church Homes and Services), “A”, 5%, 9/01/2037      5,000       5,198  
North Carolina Medical Care Commission, Health Care Facilities Rev. (Pennybyrn at Maryfield), 5%, 10/01/2025      15,000       16,432  
North Carolina Medical Care Commission, Health Care Facilities Rev. (Pennybyrn at Maryfield), 5%, 10/01/2030      20,000       20,935  
North Carolina Medical Care Commission, Health Care Facilities Rev. (Pennybyrn at Maryfield), 5%, 10/01/2035      25,000       25,851  
North Carolina Turnpike Authority, Monroe Connector System State Appropriation Rev., 5%, 7/01/2036      2,000,000       2,231,220  
University of North Carolina, Greensboro, Rev., 5%, 4/01/2039      105,000       118,437  
    

 

 

 
             $ 2,773,221  
Ohio - 3.2%                 
Bowling Green, OH, Student Housing Rev. (State University Project), 6%, 6/01/2045    $ 285,000     $ 302,870  
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.75%, 11/01/2040 (Prerefunded 11/01/2020)      105,000       120,983  
Cleveland-Cuyahoga County, OH, Port Authority Development Rev. (Flats East Development Project), “B”, 7%, 5/15/2040      95,000       104,265  
Cuyahoga County OH, Hospital Rev. (The Metrohealth System), 4.75%, 2/15/2047      230,000       235,559  
Cuyahoga County OH, Hospital Rev. (The Metrohealth System), 5.5%, 2/15/2052      50,000       55,598  
Cuyahoga County OH, Hospital Rev. (The Metrohealth System), 5.5%, 2/15/2057      530,000       583,959  
Lake County, OH, Hospital Facilities Rev., 6%, 8/15/2043      40,000       41,959  
Ohio Tax Exempt Private Activity (Portsmouth Bypass Project), AGM, 5%, 12/31/2035      395,000       442,293  

 

24


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Ohio - continued                 
Scioto County, OH, Hospital Facilities Rev. (Southern Ohio Medical Center), 5.75%, 2/15/2038 (Prerefunded 2/15/2018)    $ 555,000     $ 574,092  
Southeastern Ohio Port Authority, Hospital Facilities Improvement Rev. (Memorial Health System Obligated Group Project), 5.5%, 12/01/2029      10,000       10,870  
Southeastern Ohio Port Authority, Hospital Facilities Improvement Rev. (Memorial Health System Obligated Group Project), 5%, 12/01/2035      60,000       61,969  
Southeastern Ohio Port Authority, Hospital Facilities Improvement Rev. (Memorial Health System Obligated Group Project), 5%, 12/01/2043      75,000       76,790  
Southeastern Ohio Port Authority, Hospital Facilities Improvement Rev. (Memorial Health System Obligated Group Project), 5.5%, 12/01/2043      90,000       97,221  
Summit County, OH, Port Authority Building Rev. (Flats East Development Recovery Zone Facility Bonds), 6.875%, 5/15/2040      35,000       37,987  
Toledo Lucas County, OH, Authority Port Rev., Facilities (CSX, Inc. Project), 6.45%, 12/15/2021      1,000,000       1,203,010  
    

 

 

 
             $ 3,949,425  
Oklahoma - 1.3%                 
Oklahoma Industries Authority Rev. (Oklahoma Medical Research Foundation Project), 5.5%, 7/01/2029 (Prerefunded 7/01/2018)    $ 600,000     $ 629,748  
Tulsa, OK, Airport Improvement Trust Rev., “A”, 5%, 6/01/2045      55,000       60,298  
Tulsa, OK, Industrial Authority Rev. (University of Tulsa), 6%, 10/01/2027      535,000       591,940  
Tulsa, OK, Municipal Airport Trust Rev. (American Airlines, Inc.), “B”, 5.5%, 6/01/2035      140,000       148,582  
Tulsa, OK, Municipal Airport Trust Rev. (American Airlines, Inc.), “B”, 5.5%, 12/01/2035      170,000       182,313  
    

 

 

 
             $ 1,612,881  
Oregon - 0.4%                 
Cow Creek Band of Umpqua Tribe of Indians, OR, “C”, 5.625%, 10/01/2026 (n)    $ 350,000     $ 350,511  
Forest Grove, OR, Campus Improvement Rev. (Pacific University Project), “A”, 5%, 5/01/2030      20,000       22,699  
Forest Grove, OR, Campus Improvement Rev. (Pacific University Project), “A”, 5%, 5/01/2036      95,000       105,401  
    

 

 

 
             $ 478,611  
Pennsylvania - 6.5%                 
Clarion County, PA, Industrial Development Authority, Student Housing Rev. (Clarion University Foundation, Inc.), 5%, 7/01/2034    $ 35,000     $ 37,139  

 

25


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Pennsylvania - continued                 
Commonwealth of Pennsylvania, State Public School Building Authority Lease Rev. (School District of Philadelphia Project), 5%, 4/01/2028    $ 140,000     $ 150,935  
Cumberland County, PA, Municipal Authority Rev. (Asbury Atlantic, Inc.), 6%, 1/01/2040      105,000       109,473  
Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries Project), 6.125%, 1/01/2029 (Prerefunded 1/01/2019)      515,000       556,777  
Cumberland County, PA, Municipal Authority Rev., Unrefunded Balance, (Diakon Lutheran Social Ministries Project), 6.125%, 1/01/2029      55,000       59,090  
Dallas, PA, Area Municipal Authority Rev. (Misericordia University Project), 5%, 5/01/2029      80,000       85,939  
East Hempfield Township, PA, Industrial Development Authority Rev. (Student Services, Inc., Student Housing Project at Millersville University of Pennsylvania), 5%, 7/01/2030      25,000       27,089  
East Hempfield Township, PA, Industrial Development Authority Rev. (Student Services, Inc., Student Housing Project at Millersville University of Pennsylvania), 5%, 7/01/2035      35,000       37,296  
East Hempfield Township, PA, Industrial Development Authority Rev. (Student Services, Inc., Student Housing Project at Millersville University of Pennsylvania), 5%, 7/01/2039      35,000       36,874  
East Hempfield Township, PA, Industrial Development Authority Rev. (Student Services, Inc., Student Housing Project at Millersville University of Pennsylvania), 5%, 7/01/2046      20,000       20,983  
Lehigh County, PA, Water and Sewer Authority Rev. (Allentown Concession), “A”, 5%, 12/01/2043      900,000       1,001,088  
Lehigh County, PA, Water and Sewer Authority Rev. (Allentown Concession), Capital Appreciation, “B”, 0%, 12/01/2036      940,000       446,011  
Luzerne County, PA, “A”, AGM, 5%, 11/15/2029      145,000       164,072  
Montgomery County, PA, Industrial Development Authority Rev. (Albert Einstein Healthcare Network Issue), “A”, 5.25%, 1/15/2036      655,000       711,893  
Montgomery County, PA, Industrial Development Authority Rev. (Whitemarsh Continuing Care Retirement Community Project), 5.375%, 1/01/2050      90,000       91,169  
Pennsylvania Economic Development Financing Authority Rev. (The Pennsylvania Rapid Bridge Replacement Project), 5%, 6/30/2026      35,000       41,138  
Pennsylvania Economic Development Financing Authority Rev. (The Pennsylvania Rapid Bridge Replacement Project), 5%, 12/31/2030      85,000       97,192  
Pennsylvania Economic Development Financing Authority Rev. (The Pennsylvania Rapid Bridge Replacement Project), 5%, 12/31/2034      775,000       874,409  
Pennsylvania Economic Development Financing Authority, Sewer Sludge Disposal Rev. (Philadelphia Biosolids Facility), 6.25%, 1/01/2032      260,000       277,108  

 

26


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Pennsylvania - continued                 
Pennsylvania Higher Educational Facilities Authority Rev. (East Stroudsburg University), 5%, 7/01/2042    $ 200,000     $ 207,328  
Pennsylvania Higher Educational Facilities Authority Rev. (Edinboro University Foundation), 5.8%, 7/01/2030 (Prerefunded 7/01/2020)      65,000       74,129  
Philadelphia, PA, Authority for Industrial Development Rev. (Philadelphia Performing Arts Charter School Project), 6.5%, 6/15/2033      180,000       189,331  
Philadelphia, PA, Authority for Industrial Development Rev. (Philadelphia Performing Arts Charter School Project), 6.75%, 6/15/2043      140,000       147,854  
Philadelphia, PA, Authority for Industrial Development Rev. (Tacony Academy Charter School Project), “A-1”, 7%, 6/15/2043      100,000       112,583  
Philadelphia, PA, Authority for Industrial Development Rev. (Thomas Jefferson University), “A”, 5%, 9/01/2035      65,000       74,378  
Philadelphia, PA, Authority for Industrial Development Rev. (Thomas Jefferson University), “A”, 5%, 9/01/2042      645,000       727,147  
Philadelphia, PA, Municipal Authority Rev., 6.5%, 4/01/2034      105,000       115,484  
Philadelphia, PA, Water & Wastewater Rev., “A”, 5%, 1/01/2036      1,000,000       1,101,770  
Pittsburgh, PA, Urban Redevelopment Authority Rev., “C”, GNMA, 4.8%, 4/01/2028      405,000       406,912  
West Shore, PA, Area Authority Rev. (Messiah Village Project) “A”, 5%, 7/01/2030      30,000       33,055  
West Shore, PA, Area Authority Rev. (Messiah Village Project) “A”, 5%, 7/01/2035      35,000       37,848  
    

 

 

 
             $ 8,053,494  
Puerto Rico - 7.1%                 
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, ASSD GTY, 5%, 7/01/2028    $ 150,000     $ 153,639  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “BB”, AMBAC, 5.25%, 7/01/2018      65,000       66,204  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “CC”, AGM, 5.5%, 7/01/2029      50,000       56,616  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “CC”, AGM, 5.25%, 7/01/2032      45,000       49,972  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “CC”, AGM, 5.25%, 7/01/2033      135,000       149,442  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “CC”, AGM, 5.25%, 7/01/2036      135,000       148,235  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “D”, AGM, 5%, 7/01/2032      300,000       302,988  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “J”, NATL, 5%, 7/01/2029      20,000       20,013  

 

27


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Puerto Rico - continued                 
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “L”, NATL, 5.25%, 7/01/2035    $ 165,000     $ 178,192  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “L”, AMBAC, 5.25%, 7/01/2038      975,000       1,032,740  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “N”, AMBAC, 5.25%, 7/01/2030      60,000       64,472  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “N”, AMBAC, 5.25%, 7/01/2031      115,000       123,298  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “N”, NATL, 5.25%, 7/01/2033      145,000       157,329  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “N”, ASSD GTY, 5.25%, 7/01/2034      165,000       182,134  
Commonwealth of Puerto Rico Highway & Transportation Authority Rev., “N”, ASSD GTY, 5.25%, 7/01/2036      380,000       417,255  
Commonwealth of Puerto Rico, “A”, NATL, 5.5%, 7/01/2020      440,000       477,699  
Commonwealth of Puerto Rico, “A”, NATL, 5.5%, 7/01/2021      45,000       49,711  
Commonwealth of Puerto Rico, Public Improvement, “A”, AGM, 5%, 7/01/2035      440,000       458,810  
Commonwealth of Puerto Rico, Public Improvement, “A-4”, AGM, 5.25%, 7/01/2030      65,000       68,643  
Commonwealth of Puerto Rico, Public Improvement, “C”, AGM, 5.25%, 7/01/2027      25,000       25,053  
Puerto Rico Convention Center District Authority, Hotel Occupancy Tax Rev., “A”, AMBAC, 5%, 7/01/2031      375,000       375,731  
Puerto Rico Electric Power Authority Rev., “LL”, NATL, 5.5%, 7/01/2017      10,000       10,030  
Puerto Rico Electric Power Authority Rev., “NN”, NATL, 5.25%, 7/01/2022      115,000       125,075  
Puerto Rico Electric Power Authority Rev., “NN”, NATL, 4.75%, 7/01/2033      20,000       20,007  
Puerto Rico Electric Power Authority Rev., “SS”, NATL, 5%, 7/01/2019      530,000       536,222  
Puerto Rico Electric Power Authority Rev., “UU”, NATL, 4.5%, 7/01/2018      10,000       10,249  
Puerto Rico Electric Power Authority Rev., “UU”, NATL, 5%, 7/01/2019      50,000       52,615  
Puerto Rico Electric Power Authority Rev., “UU”, AGM, 5%, 7/01/2022      30,000       30,060  
Puerto Rico Electric Power Authority Rev., “VV”, NATL, 5.25%, 7/01/2025      25,000       26,960  
Puerto Rico Electric Power Authority Rev., “VV”, NATL, 5.25%, 7/01/2029      125,000       136,095  
Puerto Rico Electric Power Authority Rev., “VV”, NATL, 5.25%, 7/01/2030      180,000       196,025  

 

28


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Puerto Rico - continued                 
Puerto Rico Electric Power Authority Rev., “VV”, NATL, 5.25%, 7/01/2032    $ 20,000     $ 21,744  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority (Cogeneration Facilities - AES Puerto Rico Project), 6.625%, 6/01/2026      320,000       310,307  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Educational Facilities Rev. (University Plaza Project), NATL, 5%, 7/01/2033      230,000       230,633  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 4/01/2018      25,000       25,138  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 4%, 4/01/2020      10,000       9,865  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 4/01/2021      40,000       40,512  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5.375%, 12/01/2021      30,000       30,016  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 4/01/2022      50,000       50,531  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 3/01/2026      10,000       9,846  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 4/01/2027      155,000       152,556  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5.5%, 12/01/2031      55,000       54,567  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5.125%, 4/01/2032      55,000       52,227  

 

29


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Puerto Rico - continued                 
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5%, 3/01/2036    $ 55,000     $ 49,831  
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority, Higher Education Rev. (Ana G. Mendez University System Project), 5.375%, 4/01/2042      45,000       41,937  
Puerto Rico Infrastructure Financing Authority Special Tax Rev., “C”, AMBAC, 5.5%, 7/01/2018      25,000       25,505  
Puerto Rico Infrastructure Financing Authority Special Tax Rev., “C”, AMBAC, 5.5%, 7/01/2023      220,000       234,234  
Puerto Rico Infrastructure Financing Authority Special Tax Rev., “C”, AMBAC, 5.5%, 7/01/2024      140,000       149,895  
Puerto Rico Infrastructure Financing Authority Special Tax Rev., “C”, AMBAC, 5.5%, 7/01/2027      400,000       433,132  
Puerto Rico Infrastructure Financing Authority Special Tax Rev., “C”, AMBAC, 5.5%, 7/01/2028      60,000       65,189  
Puerto Rico Municipal Finance Agency, “A”, AGM, 5%, 8/01/2027      15,000       15,268  
Puerto Rico Public Buildings Authority Government Facilities Rev., “M-3”, NATL, 6%, 7/01/2027      125,000       128,680  
Puerto Rico Public Buildings Authority Government Facilities Rev., “M-3”, NATL, 6%, 7/01/2028      25,000       25,717  
Puerto Rico Public Buildings Authority Rev., “M-2”, AMBAC, 5.5%, 7/01/2035 (Put Date 7/01/2017)      315,000       315,715  
Puerto Rico Public Buildings Authority Rev., Guaranteed (Government Facilities), “I”, ASSD GTY, 5%, 7/01/2036      35,000       35,060  
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, NATL, 0%, 8/01/2042      350,000       83,402  
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, NATL, 0%, 8/01/2045      95,000       19,086  
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, NATL, 0%, 8/01/2046      1,940,000       368,057  
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, AMBAC, 0%, 8/01/2054      555,000       68,376  
University of Puerto Rico Rev., “P”, NATL, 5%, 6/01/2025      30,000       30,028  
    

 

 

 
             $ 8,778,568  
Rhode Island - 0.8%                 
Rhode Island Health & Educational Building Corp. Rev., Hospital Financing (Lifespan Obligated Group), “A”, ASSD GTY, 7%, 5/15/2039 (Prerefunded 5/15/2019)    $ 855,000     $ 954,505  

 

30


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
South Carolina - 1.8%                 
Columbia, SC, Waterworks and Sewer System Rev., 5%, 2/01/2038    $ 1,000,000     $ 1,132,420  
South Carolina Public Service Authority Rev., “A”, 5.125%, 12/01/2043      215,000       234,438  
South Carolina Public Service Authority Rev., “B”, 5.125%, 12/01/2043      515,000       561,561  
South Carolina Public Service Authority Rev., “C”, 5%, 12/01/2036      260,000       276,666  
    

 

 

 
             $ 2,205,085  
South Dakota - 0.2%                 
South Dakota Health & Educational Facilities Authority Rev. (Sanford Obligated Group), “B”, 5%, 11/01/2034    $ 230,000     $ 258,750  
Tennessee - 5.3%                 
Chattanooga, TN, Health Educational & Housing Facility Board Rev. (Catholic Health Initiatives), “A”, 5.25%, 1/01/2045    $ 820,000     $ 870,389  
Clarksville, TN, Water, Sewer & Gas Rev., 5%, 2/01/2038      1,000,000       1,117,840  
Knox County, TN, Health, Educational & Housing Facility Board Hospital Rev. (Covenant Health), “A”, 5%, 1/01/2042      685,000       772,783  
Knox County, TN, Health, Educational & Housing Facility Board Hospital Rev. (Covenant Health), “A”, 5%, 1/01/2047      300,000       335,844  
Knox County, TN, Health, Educational & Housing Facility Board Knox Rev. (University Health System, Inc.), 5%, 4/01/2030      50,000       57,381  
Knox County, TN, Health, Educational & Housing Facility Board Knox Rev. (University Health System, Inc.), 5%, 4/01/2031      60,000       68,449  
Knox County, TN, Health, Educational & Housing Facility Board Knox Rev. (University Health System, Inc.), 5%, 4/01/2036      35,000       39,211  
Metropolitan Government of Nashville & Davidson County, TN, Electric Rev., “A”, 5%, 5/15/2036      1,000,000       1,116,240  
Metropolitan Government of Nashville & Davidson County, TN, Health & Educational Facilities Board Rev. (Vanderbilt University Medical Center), “A”, 5%, 7/01/2035      225,000       257,081  
Metropolitan Government of Nashville & Davidson County, TN, Health & Educational Facilities Board Rev. (Vanderbilt University Medical Center), “A”, 5%, 7/01/2040      120,000       135,594  
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 9/01/2017      180,000       181,755  
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 9/01/2022      205,000       237,818  
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 9/01/2023      300,000       350,856  
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 9/01/2026      610,000       735,989  
Tennessee Energy Acquisition Corp., Gas Rev., “C”, 5%, 2/01/2025      185,000       215,675  
    

 

 

 
             $ 6,492,905  

 

31


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Texas - 12.2%                 
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, SYNCORA, 5.25%, 1/01/2019    $ 190,000     $ 190,165  
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, SYNCORA, 5.25%, 1/01/2020      155,000       155,135  
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, SYNCORA, 5.25%, 1/01/2024      90,000       90,078  
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, 5%, 1/01/2027      20,000       23,824  
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, 5%, 1/01/2029      40,000       46,910  
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, 5%, 1/01/2031      55,000       63,556  
Austin, TX, Convention Center (Convention Enterprises, Inc.), “B”, 5%, 1/01/2026      25,000       29,025  
Austin, TX, Convention Center (Convention Enterprises, Inc.), “B”, 5%, 1/01/2028      20,000       23,201  
Austin, TX, Convention Center (Convention Enterprises, Inc.), “B”, 5%, 1/01/2030      20,000       22,844  
Austin, TX, Convention Center (Convention Enterprises, Inc.), “B”, 5%, 1/01/2034      10,000       11,169  
Brazos River, TX, Brazoria County Environmental Rev. (Dow Chemical, Co.), “A-3”, 5.125%, 5/15/2033      165,000       168,726  
Brazos River, TX, Harbor Navigation District (Dow Chemical Co.), “B-2”, 4.95%, 5/15/2033      590,000       603,240  
Central Texas Regional Mobility Authority Senior Lien Rev., “A”, 5%, 1/01/2045      100,000       112,881  
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5%, 8/15/2042      330,000       346,140  
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.125%, 12/01/2040 (Prerefunded 12/01/2020)      100,000       116,837  
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.25%, 12/01/2045 (Prerefunded 12/01/2020)      70,000       82,085  
Conroe, TX, Independent School District, Unlimited Tax School Building and Refunding, PSF, 5%, 2/15/2039      155,000       176,931  
Dallas and Fort Worth, TX, International Airport Rev., “A”, 5%, 11/01/2038      335,000       361,231  
Dallas, TX, Civic Center Convention Complex Rev., ASSD GTY, 5.25%, 8/15/2034      465,000       499,912  
Fort Worth, TX, Independent School District, Unlimited Tax School Building, PSF, 5%, 2/15/2039      315,000       362,278  
Frenship, TX, Independent School District, PSF, 5%, 2/15/2044      1,000,000       1,145,450  
Gulf Coast, TX, Industrial Development Authority Rev. (CITGO Petroleum Corp.), 8%, 4/01/2028      250,000       250,445  

 

32


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Texas - continued                 
Harris County, TX, Cultural Education Facilities Finance Corp. Medical Facilities Rev. (Baylor College of Medicine), “D”, 5.625%, 11/15/2032 (Prerefunded 11/15/2018)    $ 490,000     $ 523,144  
Harris County-Houston, TX, Sports Authority Rev., “C”, 5%, 11/15/2031      90,000       102,784  
Harris County-Houston, TX, Sports Authority Rev., “C”, 5%, 11/15/2032      20,000       22,754  
Harris County-Houston, TX, Sports Authority Rev., “C”, 5%, 11/15/2033      40,000       45,366  
Harris County-Houston, TX, Sports Authority Rev., Capital Appreciation, “A”, AGM, 0%, 11/15/2041      70,000       24,422  
Harris County-Houston, TX, Sports Authority Rev., Capital Appreciation, “A”, AGM, 0%, 11/15/2046      175,000       47,304  
Houston, TX, Airport System Rev., “B”, 5%, 7/01/2026      160,000       181,418  
Houston, TX, Airport System Rev., Special Facilities Rev. (United Airlines, Inc. Terminal Improvement Projects), “B-1”, 5%, 7/15/2030      100,000       108,314  
Houston, TX, Airport System Rev., Special Facilities Rev. (United Airlines, Inc. Terminal Improvement Projects), “B-2”, 5%, 7/15/2020      110,000       118,689  
Houston, TX, Airport System Rev., Subordinate Lien, “A”, 5%, 7/01/2031      140,000       153,661  
Houston, TX, Industrial Development Corp. (United Parcel Service, Inc.), 6%, 3/01/2023      225,000       225,189  
La Vernia, TX, Higher Education Finance Corp. Rev. (KIPP, Inc.), “A”, 6.25%, 8/15/2039 (Prerefunded 8/15/2019)      150,000       166,811  
La Vernia, TX, Higher Education Finance Corp. Rev. (Lifeschool of Dallas), “A”, 7.5%, 8/15/2041 (Prerefunded 8/15/2019)      385,000       438,423  
Matagorda County, TX, Navigation District 1 (Houston Lighting), AMBAC, 5.125%, 11/01/2028      2,000,000       2,431,260  
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “A-1”, 5%, 7/01/2031      15,000       17,305  
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “A-1”, 4%, 7/01/2036      80,000       82,584  
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “A-1”, 5%, 7/01/2046      160,000       178,400  
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “A-1”, 5%, 7/01/2051      160,000       177,989  
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “B”, 4%, 7/01/2031      25,000       25,710  

 

33


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Texas - continued                 
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “B”, 4.25%, 7/01/2036    $ 35,000     $ 35,794  
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “B”, 5%, 7/01/2046      100,000       107,629  
New Hope, TX, Cultural Education Facilities Finance Corp., Senior Living Rev. (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Project), “B”, 4.75%, 7/01/2051      90,000       93,980  
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (CHF - Collegiate Housing Stephenville III, L.L.C. - Tarleton State University Project), 5%, 4/01/2030      25,000       27,192  
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (CHF - Collegiate Housing Stephenville III, L.L.C. - Tarleton State University Project), 5%, 4/01/2035      30,000       32,124  
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (CHF - Collegiate Housing Stephenville III, L.L.C. - Tarleton State University Project), 5%, 4/01/2047      65,000       68,793  
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (Collegiate Housing Corpus Christi II LLC - Texas A&M University - Corpus Christi Project), 5%, 4/01/2031      20,000       21,959  
New Hope, TX, Cultural Education Facilities Finance Corp., Student Housing Rev. (Collegiate Housing Corpus Christi II LLC - Texas A&M University - Corpus Christi Project), 5%, 4/01/2036      20,000       21,568  
North Texas Education Finance Corp., Education Rev. (Uplift Education), “A”, 5.125%, 12/01/2042      150,000       158,066  
North Texas Tollway Authority Rev., 6%, 1/01/2038      620,000       711,357  
North Texas Tollway Authority Rev. (Special Projects System), “D”, 5%, 9/01/2031      1,000,000       1,136,480  
Red River, TX, Education Finance Corp., Higher Education Rev. (Houston Baptist University Project), 5.5%, 10/01/2046      160,000       177,650  
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Air Force Village Obligated Group Project), 6.125%, 11/15/2029 (Prerefunded 11/15/2019)      40,000       44,838  
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Air Force Village Obligated Group Project), 6.375%, 11/15/2044 (Prerefunded 11/15/2019)      315,000       355,002  
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Barton Creek Senior Living Center, Inc., Querencia Project), 5%, 11/15/2035      60,000       63,824  
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Barton Creek Senior Living Center, Inc., Querencia Project), 5%, 11/15/2040      70,000       73,543  

 

34


Table of Contents

Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Texas - continued                 
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Buckingham Senior Living Community, Inc. Project), 3.875%, 11/15/2020    $ 55,000     $ 55,017  
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Buckner Senior Living - Ventana Project), “B-3”, 3.875%, 11/15/2022      20,000       20,092  
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Stayton at Museum Way), 8.25%, 11/15/2044      500,000       530,690  
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility Rev. (Trinity Terrace Project), “A-1”, 5%, 10/01/2044      60,000       63,895  
Texas Gas Acquisition & Supply Corp III., Gas Supply Rev., 5%, 12/15/2031      135,000       149,409  
Texas Private Activity Surface Transportation Corp. Senior Lien Rev. (NTE Mobility Partners Segments 3 LLC Segments 3A & 3B Facility), 7%, 12/31/2038      115,000       131,979  
Texas Private Activity Surface Transportation Corp. Senior Lien Rev. (NTE Mobility Partners Segments 3 LLC Segments 3A & 3B Facility), 6.75%, 6/30/2043      95,000       110,310  
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 8/15/2030      175,000       197,762  
Waco Education Finance Corp. Rev. (Baylor University), 5%, 3/01/2043      675,000       740,273  
    

 

 

 
             $ 15,082,816  
Utah - 0.2%                 
Salt Lake City, UT, Airport Rev. (Salt Lake City International Airport), “A”, 5%, 7/01/2035    $ 85,000     $ 99,373  
Salt Lake City, UT, Airport Rev. (Salt Lake City International Airport), “A”, 5%, 7/01/2036      85,000       99,051  
Salt Lake City, UT, Airport Rev. (Salt Lake City International Airport), “A”, 5%, 7/01/2037      95,000       110,347  
    

 

 

 
             $ 308,771  
Vermont - 0.2%                 
Vermont Economic Development Authority, Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), 4.75%, 4/01/2036 (Put Date 4/02/2018)    $ 195,000     $ 196,190  
Virginia - 0.4%                 
Embrey Mill Community Development Authority, VA, Special Assessment Rev., 7.25%, 3/01/2043    $ 165,000     $ 179,507  

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Virginia - continued                 
Virginia Small Business Financing Authority Rev. (Elizabeth River Crossings Opco LLC Project), 5.5%, 1/01/2042    $ 275,000     $ 302,024  
    

 

 

 
             $ 481,531  
Washington - 1.8%                 
Skagit County, WA, Public Hospital District No. 001 Rev. (Skagit Valley Hospital), 5.75%, 12/01/2032 (Prerefunded 12/01/2017)    $ 535,000     $ 548,177  
Washington Health Care Facilities Authority Rev. (Highline Medical Center), FHA, 6.25%, 8/01/2036 (Prerefunded 8/01/2018)      695,000       736,770  
Washington Health Care Facilities Authority Rev. (Virginia Mason Medical Center), “A”, 6.25%, 8/15/2042      570,000       575,301  
Washington Higher Education Facilities Authority Rev. (Whitworth University), 5.875%, 10/01/2034 (Prerefunded 10/01/2019)      225,000       250,259  
Washington Housing Finance Community Nonprofit Housing Rev. (Heron’s Key Senior Living), “B-3”, 4.375%, 1/01/2021      100,000       99,066  
    

 

 

 
             $ 2,209,573  
West Virginia - 0.3%                 
Monongalia County, WV, Building Commission Improvement Rev. (Monongalia Health System Obligated Group), 5%, 7/01/2029    $ 30,000     $ 34,452  
Monongalia County, WV, Building Commission Improvement Rev. (Monongalia Health System Obligated Group), 5%, 7/01/2030      85,000       96,663  
West Virginia Hospital Finance Authority Hospital Rev. (Thomas Health System), 6.5%, 10/01/2038      285,000       291,903  
    

 

 

 
             $ 423,018  
Wisconsin - 0.7%                 
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 7/15/2026    $ 185,000     $ 206,747  
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 7/15/2028      55,000       60,962  
Wisconsin Health & Educational Facilities Authority Rev. (St. John’s Community, Inc.), “B”, 5%, 9/15/2037      20,000       21,149  
Wisconsin Health & Educational Facilities Authority Rev. (St. John’s Community, Inc.), “B”, 5%, 9/15/2045      35,000       36,754  
Wisconsin Public Finance Authority Education Rev. (Pine Lake Preparatory), 5.5%, 3/01/2045      45,000       46,602  
Wisconsin Public Finance Authority Healthcare Facility (Church Home of Hartford, Inc. Project), “A”, 5%, 9/01/2030      25,000       26,190  
Wisconsin Public Finance Authority Healthcare Facility (Church Home of Hartford, Inc. Project), “A”, 5%, 9/01/2038      30,000       30,824  
Wisconsin Public Finance Authority Senior Living Refunding Bonds Rev. (Mary’s Woods at Marylhurst Project), “A”, 5.25%, 5/15/2042      10,000       10,704  
Wisconsin Public Finance Authority Senior Living Refunding Bonds Rev. (Mary’s Woods at Marylhurst Project), “A”, 5.25%, 5/15/2047      100,000       106,376  

 

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Portfolio of Investments (unaudited) – continued

 

Issuer    Shares/Par     Value ($)  
Municipal Bonds - continued                 
Wisconsin - continued                 
Wisconsin Public Finance Authority Senior Living Refunding Bonds Rev. (Mary’s Woods at Marylhurst Project), “A”, 5.25%, 5/15/2052    $ 15,000     $ 15,870  
Wisconsin Public Finance Authority Senior Living Refunding Bonds Rev. (Mary’s Woods at Marylhurst Project), “A”, 5.25%, 5/15/2037      25,000       26,886  
Wisconsin Public Finance Authority, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), “B”, 5%, 7/01/2022      90,000       97,016  
Wisconsin Public Finance Authority, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), “B”, 5.25%, 7/01/2028      95,000       102,678  
Wisconsin Public Finance Authority, Airport Facilities Rev. (Transportation Infrastructure Properties LLC), “B”, 5%, 7/01/2042      60,000       62,327  
    

 

 

 
             $ 851,085  
Total Municipal Bonds (Identified Cost, $164,802,657)     $ 176,874,202  
Other Assets, Less Liabilities - (3.7)%       (4,539,785
VMTPS, at liquidation value of $48,750,000 net of unamortized debt issuance costs of $40,939 (issued by the fund) - (39.4)%       (48,709,061
Net assets applicable to common shares - 100.0%     $ 123,625,356  

 

(a) Non-income producing security.
(d) In default.
(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 $1,333,255 representing 1.1% of net assets applicable to common shares.
(q) Interest received was less than stated coupon rate.
(u) Underlying security deposited into special purpose trust (“the trust”) upon creation of self-deposited inverse floaters.
(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”, 9.75%, 12/01/2017    8/27/93      $227,963        $227,973  
% of Net assets applicable to common shares            0.2%  

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

 

ARPS   Auction Rate Preferred Shares
COP   Certificate of Participation
FRN   Floating Rate Note. Interest rate resets periodically and the current rate may not be the rate reported at period end.
LOC   Letter of Credit
VMTPS   Variable Rate Municipal Term Preferred Shares

 

 

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Portfolio of Investments (unaudited) – continued

 

Insurers      
AGM    Assured Guaranty Municipal
AMBAC    AMBAC Indemnity Corp.
ASSD GTY    Assured Guaranty Insurance Co.
BAM    Build America Mutual
BHAC    Berkshire Hathaway Assurance Corp.
CALHF    California Health Facility Construction Loan Insurance Program
FHA    Federal Housing Administration
FHLMC    Federal Home Loan Mortgage Corp.
GNMA    Government National Mortgage Assn.
NATL    National Public Finance Guarantee Corp.
PSF    Permanent School Fund
SYNCORA    Syncora Guarantee Inc.

See Notes to Financial Statements

 

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Financial Statements

 

STATEMENT OF ASSETS AND LIABILITIES

At 5/31/17 (unaudited)

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

 

Assets         

Investments, at value (identified cost, $164,802,657)

     $176,874,202  

Cash

     837,612  

Receivables for

  

Investments sold

     124,730  

Interest

     2,720,947  

Other assets

     14,509  

Total assets

     $180,572,000  
Liabilities         

Payables for

  

Distributions on common shares

     $17,904  

Investments purchased

     510,263  

Interest expense and fees

     133,625  

Payable to the holders of the floating rate certificates from trust assets

     7,500,000  

Payable to affiliates

  

Investment adviser

     6,143  

Transfer agent and dividend disbursing costs

     367  

Payable for independent Trustees’ compensation

     503  

Accrued expenses and other liabilities

     68,778  

VMTPS, at liquidation value of $48,750,000 net of unamortized debt issuance costs of $40,939

     48,709,061  

Total liabilities

     $56,946,644  

Net assets applicable to common shares

     $123,625,356  
Net assets consist of         

Paid-in capital - common shares

     $117,648,434  

Unrealized appreciation (depreciation) on investments

     12,071,545  

Accumulated net realized gain (loss) on investments

     (6,745,405

Undistributed net investment income

     650,782  

Net assets applicable to common shares

     $123,625,356  

VMTPS, at liquidation value of $48,750,000 net of unamortized debt issuance costs of $40,939 (1,950 shares of Series 2019/3 issued and outstanding at $25,000 per share)

     48,709,061  

Net assets including preferred shares

     $172,334,417  

Common shares of beneficial interest issued and outstanding

     11,586,957  

Net asset value per common share (net assets of $123,625,356 / 11,586,957 shares of beneficial interest outstanding)

     $10.67  

See Notes to Financial Statements

 

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Financial Statements

 

STATEMENT OF OPERATIONS

Six months ended 5/31/17 (unaudited)

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

 

Net investment income  

Interest income

     $4,176,179  

Expenses

  

Management fee

     $546,763  

Transfer agent and dividend disbursing costs

     7,317  

Administrative services fee

     18,153  

Independent Trustees’ compensation

     8,780  

Stock exchange fee

     11,810  

Custodian fee

     4,384  

Shareholder communications

     13,497  

Audit and tax fees

     40,212  

Legal fees

     2,261  

Interest expense and fees and amortization of VMTPS debt issuance costs

     537,025  

Miscellaneous

     37,474  

Total expenses

     $1,227,676  

Reduction of expenses by investment adviser

     (16,823

Net expenses

     $1,210,853  

Net investment income

     $2,965,326  
Realized and unrealized gain (loss) on investments         

Realized gain (loss) (identified cost basis)

  

Investments:

  

Non-affiliated issuers

     $99,834  

Change in unrealized appreciation (depreciation) on investments

     $5,699,128  

Net realized and unrealized gain (loss) on investments

     $5,798,962  

Change in net assets from operations

     $8,764,288  

See Notes to Financial Statements

 

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Financial Statements

 

STATEMENTS OF CHANGES IN NET ASSETS

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

 

Change in net assets    Six months ended
5/31/17
(unaudited)
    

Year ended
11/30/16

 
From operations                  

Net investment income

     $2,965,326        $6,189,896  

Net realized gain (loss) on investments

     99,834        1,402,698  

Net unrealized gain (loss) on investments

     5,699,128        (7,107,337

Distributions declared to shareholders of ARPS

            (1,405

Change in net assets from operations

     $8,764,288        $483,852  
Distributions declared to common shareholders           

From net investment income

     $(2,780,869      $(5,671,815

Total change in net assets

     $5,983,419        $(5,187,963
Net assets applicable to common shares                  

At beginning of period

     117,641,937        122,829,900  

At end of period (including undistributed net investment income of $650,782 and $466,325, respectively)

     $123,625,356        $117,641,937  

See Notes to Financial Statements

 

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Financial Statements

 

STATEMENT OF CASH FLOWS

Six months ended 5/31/17 (unaudited)

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

 

Cash flows from operating activities:         

Change in net assets from operations

     $8,764,288  
Adjustments to reconcile change in net assets from operations to net cash provided by operating activities:         

Purchase of investment securities

     (8,962,589

Proceeds from disposition of investment securities

     9,332,345  

Realized gain/loss on investments

     (99,834

Unrealized appreciation/depreciation on investments

     (5,699,128

Net amortization/accretion of income

     (79,212

Amortization of VMTPS debt issuance costs

     11,139  

Decrease in interest receivable

     10,335  

Decrease in accrued expenses and other liabilities

     (21,557

Increase in other assets

     (6,592

Increase in payable for interest expense and fees

     14,122  

Net cash provided by operating activities

     $3,263,317  
Cash flows from financing activities:         

Cash distributions paid on common shares

     $(2,780,321

Net increase in cash

     $482,996  
Cash:         

Beginning of period

     $354,616  

End of period

     $837,612  

Supplemental disclosure of cash flow information:

Cash paid during the six months ended May 31, 2017 for interest was $511,764.

See Notes to Financial Statements

 

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Financial Statements

 

FINANCIAL HIGHLIGHTS

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

 

   

Six months
ended

5/31/17

    Years ended 11/30  
Common Shares     2016     2015     2014     2013     2012  
    (unaudited)                                

Net asset value, beginning of
period

    $10.15       $10.60       $10.58       $9.61       $10.96       $9.48  
Income (loss) from investment operations                                  

Net investment income (d)

    $0.26       $0.53 (c)      $0.55       $0.55       $0.57       $0.61  

Net realized and unrealized
gain (loss) on investments

    0.50       (0.49     (0.02     0.95       (1.37     1.30  

Distributions declared to
shareholders of ARPS

          (0.00 )(w)      (0.00 )(w)      (0.00 )(w)      (0.00 )(w)      (0.01

Total from investment operations

    $0.76       $0.04       $0.53       $1.50       $(0.80     $1.90  
Less distributions declared to common shareholders                  

From net investment income

    $(0.24     $(0.49     $(0.51     $(0.53     $(0.55     $(0.63

Net increase resulting from tender
and repurchase of ARPS

    $—       $—       $—       $—       $—       $0.21  

Net asset value, end of period (x)

    $10.67       $10.15       $10.60       $10.58       $9.61       $10.96  

Market value, end of period

    $10.22       $9.37       $9.70       $9.27       $8.30       $11.03  

Total return at market value (%) (p)

    11.79 (n)      1.34       10.39       18.34       (20.20     24.28  

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

    7.74 (n)      0.46 (c)      5.69       16.65       (7.02     22.84 (y) 
Ratios (%) (to average net assets
applicable to common shares)
and Supplemental data:
                                         

Expenses before expense
reductions (f)(p)

    2.05 (a)      1.82 (c)      1.72       1.77       1.79       1.46  

Expenses after expense
reductions (f)(p)

    2.02 (a)      1.79 (c)      1.69       1.74       1.76       1.43  

Net investment income (p)

    4.96 (a)      4.89 (c)      5.16       5.42       5.53       5.94  

Portfolio turnover

    5 (n)      18       11       15       19       14  

Net assets at end of period
(000 omitted)

    $123,625       $117,642       $122,830       $122,533       $111,399       $126,973  

 

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Financial Highlights – continued

 

   

Six months
ended

5/31/17

    Years ended 11/30  
      2016     2015     2014     2013     2012  
    (unaudited)                                
Supplemental Ratios (%):                                                

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

    1.13 (a)      1.10 (c)      1.15       1.18       1.17       1.16  

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

    0.80 (a)      0.80 (c)      0.82       0.83       0.83       0.82  

Net investment income available to
common shares

    4.96 (a)      4.89 (c)      5.16       5.42       5.53       5.86  
Senior Securities:                                                

ARPS

                33       33       33       33  

VMTPS

    1,950       1,950       1,917       1,917       1,917       1,917  

Total preferred shares outstanding

    1,950       1,950       1,950       1,950       1,950       1,950  

Asset coverage per preferred
share (k)

    $88,377       $85,302       $87,990       $87,837       $82,128       $90,114  

Involuntary liquidation preference
per preferred share (m)

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

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

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

 

(a) Annualized.
(c) Amount reflects a one-time reimbursement of expenses by the custodian (or former custodian) without which net investment income and performance would be lower and expenses would be higher.
(d) Per share data is based on average shares outstanding.
(f) Ratios do not reflect reductions from fees paid indirectly, if applicable.
(j) Total return at net asset value is calculated using the net asset value of the fund, not the publicly traded price and therefore may be different than the total return at market value.
(k) Calculated by subtracting the fund’s total liabilities (not including liquidation preference of ARPS and VMTPS) from the fund’s total assets and dividing this number by the total number of preferred shares outstanding.
(l) Interest expense and fees relate to payments made to the holders of the floating rate certificates from trust assets, interest expense paid to shareholders of VMTPS and amortization of VMTPS debt issuance costs, as applicable. For the year ended November 30, 2012, the expense ratio also excludes fees and expenses related to the tender and repurchase of a portion of the fund’s ARPS. For the year ended November 30, 2016, the expense ratio also excludes fees and expenses related to the redemption of the fund’s ARPS. For periods prior to November 30, 2016, the expense ratio includes amortization of VMTPS debt issuance costs.
(m) Amount excludes accrued unpaid distributions on ARPS and accrued interest on VMTPS.
(n) Not annualized.

 

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Financial Highlights – continued

 

(p) Ratio excludes dividend payments on ARPS, if applicable.
(r) Certain expenses have been reduced without which performance would have been lower.
(s) From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower.
(u) Average market value represents the approximate fair value of each of the fund’s preferred shares.
(w) Per share amount was less than $0.01.
(x) The net asset values and total returns at net asset value have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes.
(y) Included in the total return at net asset value for the year ended November 30, 2012 is the impact of the tender and repurchase by the fund of a portion of its ARPS at 95% of the ARPS’ per share liquidation preference. Had this transaction not occurred, the total return at net asset value for the year ended November 30, 2012 would have been lower by 1.87%.

See Notes to Financial Statements

 

45


Table of Contents

NOTES TO FINANCIAL STATEMENTS

(unaudited)

(1) Business and Organization

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

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

(2) Significant Accounting Policies

General – The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. In the preparation of these financial statements, management has evaluated subsequent events occurring after the date of the fund’s Statement of Assets and Liabilities through the date that the financial statements were issued. The fund invests primarily in municipal instruments. The value of municipal instruments can be affected by changes in their actual or perceived credit quality. The credit quality of municipal instruments can be affected by, among other things, the financial condition of the issuer or guarantor, the issuer’s future borrowing plans and sources of revenue, the economic feasibility of the revenue bond project or general borrowing purpose, and political or economic developments in the region where the instrument is issued. Municipal instruments generally trade in the over-the-counter market. Municipal instruments backed by current and anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the taxation supporting the projects or assets or the inability to collect revenues for the project or from the assets. If the Internal Revenue Service determines an issuer of a municipal instrument has not complied with the applicable tax requirements, interest from the security could become taxable, the security could decline in value, and distributions made by the fund could be taxable to shareholders. The fund invests in high-yield securities rated below investment grade. Investments in high-yield securities involve greater degrees of credit and market risk than investments in higher-rated securities and tend to be more sensitive to economic conditions.

In October 2016, the Securities and Exchange Commission (SEC) released its Final Rule on Investment Company Reporting Modernization (the “Rule”). The Rule, which introduces two new regulatory reporting forms for investment companies – Form N-PORT and Form N-CEN – also contains amendments to Regulation S-X which impact financial statement presentation, particularly the presentation of derivative investments. Although still evaluating the impacts of the Rule, management believes that many of the Regulation S-X amendments are consistent with the fund’s current financial statement presentation and expects that the fund will be able to comply with the Rule’s Regulation S-X amendments by the August 1, 2017 compliance date.

 

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Notes to Financial Statements (unaudited) – continued

 

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

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

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

Investment Valuations – Debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. 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

 

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Notes to Financial Statements (unaudited) – continued

 

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. The following is a summary of the levels used as of May 31, 2017 in valuing the fund’s assets or liabilities:

 

Investments at Value    Level 1      Level 2      Level 3      Total  
Municipal Bonds      $—        $176,874,202        $—        $176,874,202  

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

Inverse Floaters – The fund invests in municipal inverse floating rate securities which are structured by the issuer (known as primary market inverse floating rate securities) or by the fund utilizing the fund’s municipal bonds which have already been issued (known as self-deposited secondary market inverse floating rate securities) to have variable rates of interest which typically move in the opposite direction of short-term interest rates. A self-deposited secondary market inverse floating rate security is created when the fund transfers a fixed rate municipal bond to a special purpose trust, and causes the trust to (a) issue floating rate certificates to third parties, in an amount equal

 

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to a fraction of the par amount of the deposited bonds (these certificates usually pay tax-exempt interest at short-term interest rates that typically reset weekly; and the certificate holders typically, on seven days notice, have the option to tender their certificates to the trust or another party for redemption at par plus accrued interest), and (b) issue inverse floating rate certificates (sometimes referred to as “inverse floaters”) which are held by the fund. Such self-deposited inverse floaters held by the fund are accounted for as secured borrowings, with the municipal bonds reflected in the investments of the fund and amounts owed to the holders of the floating rate certificates under the provisions of the trust, which amounts are paid solely from the assets of the trust, reflected as liabilities of the fund in the Statement of Assets and Liabilities under the caption, “Payable to the holders of the floating rate certificates from trust assets”. The carrying value of the fund’s payable to the holders of the floating rate certificates from trust assets as reported in the fund’s Statement of Assets and Liabilities approximates its fair value. The value of the payable to the holders of the floating rate certificates from trust assets as of the reporting date is considered level 2 under the fair value hierarchy disclosure. At May 31, 2017, the fund’s payable to the holders of the floating rate certificates from trust assets was $7,500,000 and the weighted average interest rate on the floating rate certificates issued by the trust was 1.03%. For the six months ended May 31, 2017, the average payable to the holders of the floating rate certificates from trust assets was $7,500,000 at a weighted average interest rate of 0.99%. Interest expense and fees relate to interest payments made to the holders of certain floating rate certificates and associated fees, both of which are made from trust assets. Interest expense and fees are recorded as incurred. For the six months ended May 31, 2017, interest expense and fees related to self-deposited inverse floaters amounted to $62,623 and are included in “Interest expense and fees and amortization of VMTPS debt issuance costs” in the Statement of Operations.

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

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

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

 

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

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

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

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

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

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

 

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Notes to Financial Statements (unaudited) – continued

 

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

 

     Year ended
11/30/16
 
Ordinary income (including any
short-term capital gains)
     $36,408  
Tax-exempt income      6,386,660  
Total distributions      $6,423,068  

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

 

As of 5/31/17       
Cost of investments      $155,766,632  
Gross appreciation      14,149,628  
Gross depreciation      (542,058
Net unrealized appreciation (depreciation)      $13,607,570  
As of 11/30/16       
Undistributed ordinary income      37,690  
Undistributed tax-exempt income      772,413  
Capital loss carryforwards      (8,247,511
Post-October capital loss deferral      (35,105
Other temporary differences      (343,778
Net unrealized appreciation (depreciation)      7,809,794  

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

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

As of November 30, 2016, the fund had capital loss carryforwards available to offset future realized gains. Such pre-enactment losses expire as follows:

 

11/30/17      $(5,772,221
11/30/18      (2,208,465
11/30/19      (266,825
Total      $(8,247,511

 

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(3) Transactions with Affiliates

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

The investment adviser has agreed in writing to reduce its management fee to 0.63% of the fund’s average daily net assets (including the value of preferred shares). This written agreement will continue until modified by the fund’s Board of Trustees, but such agreement will continue at least until November 30, 2018. For the six months ended May 31, 2017, this management fee reduction amounted to $16,823, which is included in the reduction of total expenses in the Statement of Operations. The management fee incurred for the six months ended May 31, 2017 was equivalent to an annual effective rate of 0.63% of the fund’s average daily net assets (including the value of preferred shares).

The investment adviser has agreed in writing to pay a portion of the fund’s total annual operating expenses, excluding interest, taxes, extraordinary expenses, brokerage and transaction costs, and investment-related expenses (including interest expenses and fees associated with investments in inverse floating rate instruments), such that total fund operating expenses do not exceed 0.89% annually of the fund’s average daily net assets (including the value of preferred shares). This written agreement will continue until modified by the fund’s Board of Trustees, but such agreement will continue at least until November 30, 2018. For the six months ended May 31, 2017, the fund’s actual operating expenses did not exceed the limit and therefore, the investment adviser did not pay any portion of the fund’s expenses related to this agreement.

Transfer Agent – The fund engages Computershare Trust Company, N.A. (“Computershare”) as the sole transfer agent for the fund’s common shares. MFS Service Center, Inc. (MFSC) monitors and supervises the activities of Computershare for an agreed upon fee approved by the Board of Trustees. For the six months ended May 31, 2017, these fees paid to MFSC amounted to $1,917.

Administrator – MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the fund. Under an administrative services agreement, the fund reimburses MFS the costs incurred to provide these services. The fund is charged an annual fixed amount of $17,500 plus a fee based on average daily net assets (including the value of preferred shares). The administrative services fee incurred for the six months ended May 31, 2017 was equivalent to an annual effective rate of 0.0216% of the fund’s average daily net assets (including the value of preferred shares).

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

 

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Notes to Financial Statements (unaudited) – continued

 

Other – This fund and certain other funds managed by MFS (the funds) have entered into a service agreement (the ISO Agreement) which provides for payment of fees solely by the funds to Tarantino LLC in return for the provision of services of an Independent Senior Officer (ISO) for the funds. Frank L. Tarantino serves as the ISO and is an officer of the funds and the sole member of Tarantino LLC. The funds can terminate the ISO Agreement with Tarantino LLC at any time under the terms of the ISO Agreement. For the six months ended May 31, 2017, the fee paid by the fund under this agreement was $115 and is included in “Miscellaneous” expense in the Statement of Operations. MFS has agreed to bear all expenses associated with office space, other administrative support, and supplies provided to the ISO.

(4) Portfolio Securities

For the six months ended May 31, 2017, purchases and sales of investments, other than short-term obligations, aggregated $8,743,722 and $8,611,347, respectively.

(5) Shares of Beneficial Interest

The fund’s Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest. The fund reserves the right to repurchase shares of beneficial interest of the fund subject to Trustee approval. During the six months ended May 31, 2017 and the year ended November 30, 2016, there were no transactions in fund shares.

(6) Line of Credit

The fund and certain other funds managed by MFS participate in a $1.25 billion unsecured committed line of credit, subject to a $1 billion sublimit, provided by a syndication of banks under a credit agreement. Borrowings may be made for temporary financing needs. Interest is charged to each fund, based on its borrowings, generally at a rate equal to the higher of the Overnight Federal Reserve funds rate or daily one month LIBOR plus an agreed upon spread. A commitment fee, based on the average daily, unused portion of the committed line of credit, is allocated among the participating funds at the end of each calendar quarter. In addition, the fund and other funds managed by MFS have established unsecured uncommitted borrowing arrangements with certain banks for temporary financing needs. Interest is charged to each fund, based on its borrowings, at a rate equal to the Overnight Federal Reserve funds rate plus an agreed upon spread. For the six months ended May 31, 2017, the fund’s commitment fee and interest expense were $446 and $0, respectively, and are included in “Miscellaneous” expense in the Statement of Operations.

(7) Preferred Shares

The fund has 1,950 shares issued and outstanding of Variable Rate Municipal Term Preferred Shares (VMTPS), series 2019/3. The outstanding VMTPS are redeemable at the option of the fund in whole or in part at the liquidation preference of $25,000 per share, plus accumulated and unpaid dividends, but generally solely for the purpose of decreasing the leverage of the fund. The VMTPS are subject to a mandatory term redemption date of March 31, 2019 unless extended through negotiation with the private holders of the VMTPS. There is no assurance that the term of the VMTPS will be extended or that the VMTPS will be replaced with any other preferred shares or other form of leverage upon the redemption of the VMTPS. Six months prior to the term redemption date of the VMTPS, the fund is required to begin to segregate liquid assets

 

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Notes to Financial Statements (unaudited) – continued

 

with the fund’s custodian to fund the redemption. Dividends on the VMTPS are cumulative and are set weekly to a fixed spread against the Securities Industry and Financial Markets Association (SIFMA) Municipal Swap Index. During the six months ended May 31, 2017, the VMTPS dividend rates ranged from 1.71% to 2.07%. For the six months ended May 31, 2017, the average dividend rate was 1.88%.

In the fund’s Statement of Assets and Liabilities, the VMTPS aggregate liquidation preference is shown as a liability since they have a stated mandatory redemption date. Dividends paid to the VMTPS are treated as interest expense and recorded as incurred. For the six months ended May 31, 2017, interest expense related to dividends paid to the VMTPS amounted to $463,263 and is included in “Interest expense and fees and amortization of VMTPS debt issuance costs” in the Statement of Operations. Costs directly related to the issuance of the VMTPS are considered debt issuance costs. Debt issuance costs are presented as a direct deduction from the carrying amount of the related debt liability and are being amortized into interest expense over the life of the VMTPS. The period-end carrying value for the VMTPS in the fund’s Statement of Assets and Liabilities is its liquidation value less any unamortized debt issuance costs, which approximates its fair value. Its fair value would be considered level 2 under the fair value hierarchy.

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

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

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

Leverage involves risks and special considerations for the fund’s common shareholders. To the extent that investments are purchased by the fund with proceeds from the issuance of preferred shares, the fund’s net asset value will increase or decrease at a greater rate than a comparable unleveraged fund. Changes in the value of the fund’s portfolio will be borne entirely by the common shareholders. It is possible that the fund

 

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Notes to Financial Statements (unaudited) – continued

 

will be required to sell assets at a time when it may be disadvantageous to do so in order to redeem preferred shares to comply with asset coverage or other restrictions including those imposed by the 1940 Act and the rating agencies that rate the preferred shares. There is no assurance that the fund’s leveraging strategy will be successful.

(8) Subsequent Event

On July 11, 2017, MFS announced that the Board of Trustees (the “Board”) of the fund authorized the fund to conduct a cash tender offer (the “Initial Tender Offer”) for up to 15 percent of the fund’s outstanding common shares (the “Shares”) at a price per Share equal to 98 percent of the fund’s net asset value (NAV) per Share as of the close of regular trading on the New York Stock Exchange on the date the Initial Tender Offer expires. The fund expects to commence the Initial Tender Offer on or about August 8, 2017, and the expiration date currently is expected to be September 6, 2017, unless otherwise extended. The Board also authorized the fund to conduct an additional cash tender offer (the “Conditional Tender Offer”) approximately six months after the close of the Initial Tender Offer for up to 7.5 percent of the fund’s then outstanding Shares at a price per share equal to 98 percent of the fund’s NAV per Share as of the close of regular trading on the New York Stock Exchange on the date the Conditional Tender Offer expires, provided that the Conditional Tender Offer will take place only if the average trading discount of the Shares to NAV is greater than 6 percent during the period that begins 90 calendar days and ends 180 calendar days after the completion of the Initial Tender Offer. The terms and conditions of the Initial Tender Offer will be set forth in the Issuer Tender Offer Statement and related Letters of Transmittal that will be filed with the Securities and Exchange Commission.

 

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees and Shareholders of MFS Investment Grade Municipal Trust:

We have reviewed the accompanying statement of assets and liabilities of MFS Investment Grade Municipal Trust (the Fund), including the portfolio of investments, as of May 31, 2017, and the related statements of operations, changes in net assets, cash flows and financial highlights for the six-month period ended May 31, 2017. These interim financial statements and financial highlights are the responsibility of the Fund’s management.

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

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

We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the statement of changes in net assets for the year ended November 30, 2016 and the financial highlights for each of the five years in the period ended November 30, 2016, and in our report dated January 13, 2017, we expressed an unqualified opinion on such statement of changes in net assets and financial highlights.

 

LOGO

Boston, Massachusetts

July 14, 2017

 

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PROXY VOTING POLICIES AND INFORMATION

MFS votes proxies on behalf of the fund pursuant to proxy voting policies and procedures that are available without charge, upon request, by calling 1-800-225-2606, by visiting mfs.com (once you have selected “Individual Investor” as your role, click on “Individual Investor Home” in the top navigation and then select “Learn More About Proxy Voting” under the “I want to…” header on the left hand column of the page), or by visiting the SEC’s Web site at http://www.sec.gov.

Information regarding how the fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available by August 31 of each year without charge by visiting mfs.com (once you have selected “Individual Investor” as your role, click on “Individual Investor Home” in the top navigation and then select “Learn More About Proxy Voting” under the “I want to…” header on the left hand column of the page), or by visiting the SEC’s Web site at http://www.sec.gov.

QUARTERLY PORTFOLIO DISCLOSURE

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

Public Reference Room

Securities and Exchange Commission

100 F Street, NE, Room 1580

Washington, D.C. 20549

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

FURTHER INFORMATION

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

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

 

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INFORMATION ABOUT FUND CONTRACTS AND LEGAL CLAIMS

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

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

 

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LOGO

 

CONTACT US

TRANSFER AGENT, REGISTRAR, AND

DIVIDEND DISBURSING AGENT

CALL

1-800-637-2304

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

WRITE

Computershare Trust Company, N.A.

P.O. Box 43078

Providence, RI 02940-3078

 

New York Stock Exchange Symbol: CXH


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ITEM 2. CODE OF ETHICS.

Effective January 1, 2017, the Code of Ethics (the “Code”) was amended to (i) clarify that the term “for profit” company as used in Section II.B of the Code excludes the investment adviser and its subsidiaries and pooled investment vehicles sponsored by the investment adviser or its subsidiaries, (ii) align the Code’s provisions regarding receipt of gifts and entertainment in Section II.B of the Code with the gifts and entertainment policy of the Funds’ investment adviser, and (iii) make other administrative changes. During the period covered by this report, the Registrant did not grant a waiver, including an implicit waiver, from any provision of the Code.

A copy of the amended Code effective as of January 1, 2017 is filed as an exhibit to this Form N-CSR.

 

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable for semi-annual reports.

 

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable for semi-annual reports.

 

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable for semi-annual reports.

 

ITEM 6. SCHEDULE OF INVESTMENTS

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

 

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

Not applicable for semi-annual reports.

 

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

There were no changes during this period.


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

MFS Investment Grade Municipal Trust

 

Period

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

12/01/16-12/31/16

     0        N/A        0        1,158,695  

1/01/17-1/31/17

     0        N/A        0        1,158,695  

2/01/17-2/28/17

     0        N/A        0        1,158,695  

3/01/17-3/31/17

     0        N/A        0        1,158,695  

4/01/17-4/30/17

     0        N/A        0        1,158,695  

5/01/17-5/31/17

     0        N/A        0        1,158,695  
  

 

 

       

 

 

    

Total

     0           0     
  

 

 

       

 

 

    

Note: The Board approved procedures to repurchase shares and reviews the results periodically. The notification to shareholders of the program is part of the semi-annual and annual reports sent to shareholders. These annual programs begin on October 1st of each year. The programs conform to the conditions of Rule 10b-18 of the Securities Exchange Act of 1934 and limit the aggregate number of shares that may be purchased in each annual period (October 1 through the following September 30) to 10% of the Registrant’s outstanding shares as of the first day of the plan year (October 1). The aggregate number of shares available for purchase for the October 1, 2016 plan year is 1,158,695.

 

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

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

 

ITEM 11. CONTROLS AND PROCEDURES.

 

(a)

Based upon their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this Form N-CSR, the registrant’s principal financial officer and principal executive officer have concluded that those


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  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 second fiscal quarter covered by the report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

ITEM 12. EXHIBITS.

 

(a) File the exhibits listed below as part of this form. Letter or number the exhibits in the sequence indicated.

 

  (1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. Attached hereto.

 

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

 

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


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Notice

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


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SIGNATURES

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

Registrant: MFS INVESTMENT GRADE MUNICIPAL TRUST

 

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

Date: July 14, 2017

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

 

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

Date: July 14, 2017

 

By (Signature and Title)*   JAMES O. YOST
  James O. Yost, Treasurer (Principal Financial Officer and Accounting Officer)

Date: July 14, 2017

 

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