UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-04992

MFS HIGH YIELD MUNICIPAL TRUST

(Exact name of registrant as specified in charter)

500 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Susan S. Newton

Massachusetts Financial Services Company

500 Boylston Street

Boston, Massachusetts 02116

(Name and address of agents for service)

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

Date of fiscal year end: November 30

Date of reporting period: February 29, 2012

ITEM 1. SCHEDULE OF INVESTMENTS.

MFS^® High Yield Municipal Trust

QUARTERLY REPORT

February 29, 2012

PORTFOLIO OF INVESTMENTS

2/29/12 (unaudited)

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

Issuer	Shares/Par		Value ($)
Municipal Bonds - 152.7%
Airport Revenue - 3.0%
Dallas Fort Worth, TX, International Airport Rev. Improvement, “B”, AGM, 5%, 2025	$	3,000,000	$	3,095,340
Houston, TX, Airport System Rev., “B”, 5%, 2026		175,000		198,098
Port Authority NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 2036		255,000		285,692
Port Authority NY & NJ, Special Obligation Rev. (JFK International Air Terminal LLC), 6%, 2042		290,000		324,455
			$	3,903,585
General Obligations - General Purpose - 3.1%
Chicago, IL, Metropolitan Water Reclamation District-Greater Chicago, “C”, 5%, 2030	$	780,000	$	920,252
Las Vegas Valley, NV, Water District, “C”, 5%, 2029		925,000		1,053,251
Luzerne County, PA, AGM, 6.75%, 2023		455,000		538,429
State of California, 5.25%, 2028		335,000		385,267
State of California, 5.25%, 2030		790,000		901,493
State of Hawaii, “DZ”, 5%, 2031		200,000		235,590
			$	4,034,282
General Obligations - Improvement - 0.1%
Guam Government, “A”, 7%, 2039	$	90,000	$	96,042
General Obligations - Schools - 2.5%
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2029	$	2,195,000	$	1,046,730
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2031		275,000		115,954
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2032		280,000		110,692
Beverly Hills, CA, Unified School District (Election of 2008), Capital Appreciation, 0%, 2033		560,000		209,782
Chicago, IL, Board of Education, “A”, 5%, 2041		100,000		107,660
Irving, TX, Independent School District, Capital Appreciation, “A”, PSF, 0%, 2016		1,000,000		967,860
Los Angeles, CA, Unified School District, “D”, 5%, 2034		165,000		182,203
San Jacinto, TX, Community College District, 5.125%, 2038		430,000		464,804
			$	3,205,685
Healthcare Revenue - Hospitals - 35.7%
Allegheny County, PA, Hospital Development Authority Rev. (University of Pittsburgh Medical Center), “A”, 5.375%, 2029	$	440,000	$	487,265
Allegheny County, PA, Hospital Development Authority Rev. (West Penn Allegheny Health), “A”, 5%, 2028		435,000		367,510
Allegheny County, PA, Hospital Development Authority Rev. (West Penn Allegheny Health), “A”, 5.375%, 2040		625,000		516,569
Atchison, KS, Hospital Rev. (Atchison Hospital Assn.), “A”, 6.75%, 2030		320,000		322,323
Brunswick, GA, Hospital Authority Rev. (Glynn-Brunswick Memorial Hospital), 5.625%, 2034		170,000		182,685
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.5%, 2040		590,000		620,208
Butler County, OH, Hospital Facilities Rev. (UC Health), 5.75%, 2040		130,000		138,939
California Health Facilities Financing Authority Rev. (St. Joseph Health System), “A”, 5.75%, 2039		185,000		201,200
California Health Facilities Financing Authority Rev. (Sutter Health), “A”, 5%, 2042		500,000		517,285
California Health Facilities Financing Authority Rev. (Sutter Health), “B”, 5.875%, 2031		660,000		787,571
California Statewide Communities Development Authority Rev. (Catholic Healthcare West), “K”, ASSD GTY, 5.5%, 2041		625,000		655,450
California Statewide Communities Development Authority Rev. (Children’s Hospital), 5%, 2047		290,000		269,607
Cullman County, AL, Health Care Authority (Cullman Regional Medical Center), “A”, 6.75%, 2029		60,000		60,752
Delaware County, PA, Authority Rev. (Mercy Health Corp.), ETM, 6%, 2016 (c)		965,000		1,093,413
Delaware County, PA, Authority Rev. (Mercy Health Corp.), ETM, 6%, 2026 (c)		500,000		575,160
Erie County, PA, Hospital Authority Rev. (St. Vincent’s Health), “A”, 7%, 2027		410,000		437,609
Harris County, TX, Health Facilities Development Corp., Hospital Rev. (Memorial Hermann Healthcare Systems), “B”, 7.25%, 2035		205,000		247,767
Idaho Health Facilities Authority Rev. (IHC Hospitals, Inc.), ETM, 6.65%, 2021 (c)		2,750,000		3,732,548
Illinois Finance Authority Rev. (Kewanee Hospital), 5.1%, 2031		390,000		358,827
Illinois Finance Authority Rev. (Provena Health), “A”, 7.75%, 2034		485,000		599,678
Illinois Finance Authority Rev. (Silver Cross Hospital & Medical Centers), 6.875%, 2038		485,000		541,891
Indiana Health & Educational Facilities Finance Authority Rev. (Sisters of St. Francis Health Services, Inc.), “E”, AGM, 5.25%, 2041		660,000		695,013
Indiana Health & Educational Facilities Finance Authority, Hospital Rev. (Clarian Health), “A”, 5%, 2039		1,745,000		1,775,538

1

Portfolio of Investments (unaudited) – continued

Issuer	Shares/Par		Value ($)
Municipal Bonds - continued
Healthcare Revenue - Hospitals - continued
Indiana Health & Educational Facilities Finance Authority, Hospital Rev. (Community Foundation of Northwest Indiana), 5.5%, 2037	$	945,000	$	982,526
Indiana Health & Educational Financing Authority Rev. (Community Foundation of Northwest Indiana ), “A”, 6%, 2034		425,000		442,616
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.25%, 2031		300,000		332,838
Jefferson Parish, LA, Hospital Service District No. 2 (East Jefferson General Hospital), 6.375%, 2041		185,000		204,044
Johnson City, TN, Health & Educational Facilities Board Hospital Rev. (Mountain States Health Alliance), “A”, 5.5%, 2031		1,120,000		1,167,936
Johnson City, TN, Health & Educational Facilities Board Hospital Rev. (Mountain States Health Alliance), “A”, 5.5%, 2036		410,000		425,424
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), “A”, 5.375%, 2024		300,000		343,353
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Baptist Healthcare System), “A”, 5.625%, 2027		100,000		113,148
Kentucky Economic Development Finance Authority, Hospital Facilities Rev. (Owensboro Medical Health System), “A”, 6.375%, 2040		570,000		640,344
Lake County, OH, Hospital Facilities Rev. (Lake Hospital Systems, Inc.), 5.625%, 2029		435,000		455,658
Laramie County, WY, Hospital Rev. (Cheyenne Regional Medical Center Project), 5%, 2032		40,000		42,818
Laramie County, WY, Hospital Rev. (Cheyenne Regional Medical Center Project), 5%, 2037		100,000		105,634
Laramie County, WY, Hospital Rev. (Cheyenne Regional Medical Center Project), 5%, 2042		195,000		205,382
Lebanon County, PA, Health Facilities Authority Rev. (Good Samaritan Hospital), 5.9%, 2028		210,000		210,447
Louisiana Public Facilities Authority Hospital Rev. (Lake Charles Memorial Hospital), 6.375%, 2034		880,000		892,311
Louisville & Jefferson County, KY, Metro Government Health Facilities Rev. (Jewish Hospital & St. Mary’s Healthcare), 6.125%, 2037		1,315,000		1,395,281
Louisville & Jefferson County, KY, Metropolitan Government Healthcare Systems Rev. (Norton Healthcare, Inc.), 5.25%, 2036		1,265,000		1,303,772
Lufkin, TX, Health Facilities Development Corp. Rev. (Memorial Health System), 5.5%, 2032		60,000		59,425
Lufkin, TX, Health Facilities Development Corp. Rev. (Memorial Health System), 5.5%, 2037		60,000		57,487
Martin County, FL, Health Facilities Authority Rev. (Martin Memorial Medical Center), 5.5%, 2042		300,000		309,063
Maryland Health & Higher Educational Facilities Authority Rev. (Anne Arundel Health System, Inc.), “A”, 6.75%, 2039		735,000		881,765
Massachusetts Development Finance Agency Rev. (Tufts Medical Center), “I”, 7.25%, 2032		445,000		523,676
Massachusetts Health & Educational Facilities Authority Rev. (Jordan Hospital), “E”, 6.75%, 2033		250,000		254,783
Massachusetts Health & Educational Facilities Authority Rev. (Milford-Whitinsville Hospital), “C”, 5.25%, 2018		500,000		500,040
Massachusetts Health & Educational Facilities Authority Rev. (Saints Memorial Medical Center), “A”, 6%, 2023		260,000		216,401
Michigan Finance Authority Rev. (Trinity Health Corp.), 5%, 2035		1,000,000		1,076,600
Montgomery, AL, Medical Clinic Board Health Care Facility Rev. (Jackson Hospital & Clinic), 5.25%, 2031		125,000		125,983
Montgomery, AL, Medical Clinic Board Health Care Facility Rev. (Jackson Hospital & Clinic), 5.25%, 2036		825,000		825,578
New Hampshire Business Finance Authority Rev. (Elliot Hospital Obligated Group), “A”, 6%, 2027		585,000		642,728
New Hampshire Health & Education Facilities Authority Rev. (Catholic Medical Center), “A”, 6.125%, 2032		25,000		25,339
New Hampshire Health & Education Facilities Authority Rev. (Memorial Hospital at Conway), 5.25%, 2021		530,000		537,182
New Hanover County, NC, Hospital Rev., AGM, 5.125%, 2031		895,000		977,295
New Jersey Health Care Facilities, Financing Authority Rev. (St. Peter’s University Hospital), 5.75%, 2037		545,000		561,225
New Mexico Hospital Equipment Loan Council, Hospital Rev. (Rehoboth McKinley Christian Hospital), “A”, 5%, 2017		245,000		243,841
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.5%, 2030		190,000		220,923
New York Dormitory Authority Rev., Non-State Supported Debt (Bronx-Lebanon Hospital Center), LOC, 6.25%, 2035		115,000		132,356
Norman, OK, Regional Hospital Authority Rev., 5%, 2027		155,000		151,730
Norman, OK, Regional Hospital Authority Rev., 5.375%, 2029		90,000		89,747
Norman, OK, Regional Hospital Authority Rev., 5.375%, 2036		235,000		225,280
Norman, OK, Regional Hospital Authority Rev., 5.125%, 2037		415,000		383,124
Olympia, WA, Healthcare Facilities Authority Rev. (Catholic Health Initiatives), “D”, 6.375%, 2036		1,095,000		1,293,874
Palomar Pomerado Health Care District, CA, COP, 6.75%, 2039		890,000		959,242
Philadelphia, PA, Hospitals & Higher Education Facilities Authority Rev. (Temple University Health System), “A”, 6.625%, 2023		355,000		355,564
Rhode Island Health & Educational Building Corp. Rev., Hospital Financing (Lifespan Obligated Group), “A”, ASSD GTY, 7%, 2039		660,000		774,114
Royal Oak, MI, Hospital Finance Authority Rev. (William Beaumont Hospital), 8.25%, 2039		485,000		610,630
Salida, CO, Hospital District Rev., 5.25%, 2036		694,000		673,471
Skagit County, WA, Public Hospital District No. 001 Rev. (Skagit Valley Hospital), 5.75%, 2032		90,000		93,097
South Lake County, FL, Hospital District Rev. (South Lake Hospital), 6.375%, 2034		250,000		257,680
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6%, 2029		85,000		92,165
South Lake County, FL, Hospital District Rev. (South Lake Hospital), “A”, 6.25%, 2039		125,000		133,823
Southwestern, IL, Development Authority Rev. (Anderson Hospital), 5.125%, 2026		500,000		495,205
Sullivan County, TN, Health, Educational & Housing Facilities Board Hospital Rev. (Wellmont Health Systems Project), “C”, 5.25%, 2036		1,085,000		1,107,568
Sumner County, TN, Health, Educational & Housing Facilities Board Rev. (Sumner Regional Health Systems, Inc.), “A”, 5.5%, 2046 (a)(d)		375,000		31,875
Tyler, TX, Health Facilities Development Corp. (East Texas Medical Center), “A”, 5.25%, 2032		230,000		230,541
Tyler, TX, Health Facilities Development Corp. (East Texas Medical Center), “A”, 5.375%, 2037		190,000		191,321

2

Portfolio of Investments (unaudited) – continued

Issuer	Shares/Par		Value ($)
Municipal Bonds - continued
Healthcare Revenue - Hospitals - continued
Virginia Small Business Financing Authority, Hospital Rev. (Wellmont Health Project), “A”, 5.25%, 2037	$	470,000	$	482,605
Washington Health Care Facilities Authority Rev. (Multicare Health Systems), “B”, ASSD GTY, 6%, 2039		440,000		488,391
West Contra Costa, CA, Healthcare District, AMBAC, 5.5%, 2029		105,000		108,571
West Shore, PA, Hospital Authority Rev. (Holy Spirit Hospital), “B”, 5.625%, 2032		120,000		124,999
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), 6.4%, 2033		350,000		361,533
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 2026		200,000		221,406
Wisconsin Health & Educational Facilities Authority Rev. (Aurora Health Care, Inc.), “A”, 5%, 2028		60,000		65,132
Wisconsin Health & Educational Facilities Authority Rev. (Fort Healthcare, Inc.), 6.1%, 2034		750,000		761,550
Wisconsin Health & Educational Facilities Authority Rev. (Meritor Hospital), “A”, 5.5%, 2031		725,000		791,947
Wisconsin Health & Educational Facilities Authority Rev. (Meritor Hospital), “A”, 6%, 2041		490,000		547,742
Wisconsin Health & Educational Facilities Authority Rev. (Wheaton Franciscan Services), 5.25%, 2034		935,000		938,637
Wisconsin Health & Educational Facilities Authority Rev. (Wheaton Franciscan Services), “A”, 5.25%, 2025		390,000		394,360
			$	46,056,954
Healthcare Revenue - Long Term Care - 19.9%
Abilene, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement Systems, Inc.), “A”, 5.9%, 2025	$	723,000	$	615,034
Abilene, TX, Health Facilities Development Corp., Retirement Facilities Rev. (Sears Methodist Retirement Systems, Inc.), “A”, 7%, 2033		200,000		179,526
Bucks County, PA, Industrial Development Authority Retirement Community Rev. (Ann’s Choice, Inc.), “A”, 6.125%, 2025		500,000		501,525
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 2027		90,000		86,862
Bucks County, PA, Industrial Development Authority Rev. (Lutheran Community Telford Center), 5.75%, 2037		120,000		105,893
California Statewide Communities Development Authority Rev. (American Baptist Homes of the West), 6.25%, 2039		215,000		223,250
Chartiers Valley, PA, Industrial & Commercial Development Authority (Friendship Village), “A”, 5.75%, 2020		1,000,000		1,001,780
Chartiers Valley, PA, Industrial & Commercial Development Authority Rev. (Asbury Health Center), 6.375%, 2024		1,000,000		1,000,270
Colorado Health Facilities Authority Rev. (Christian Living Communities Project), “A”, 5.75%, 2037		475,000		471,851
Colorado Health Facilities Authority Rev. (Covenant Retirement Communities, Inc.), 5%, 2035		1,100,000		1,034,429
Columbus, GA, Housing Authority Rev. (Calvary Community, Inc.), 7%, 2019		335,000		334,950
Cumberland County, PA, Municipal Authority Rev. (Diakon Lutheran Social Ministries), 6.125%, 2029		695,000		754,714
Fulton County, GA, Residential Care Facilities (Canterbury Court), “A”, 6.125%, 2026		500,000		497,430
Hawaii Department of Budget & Finance, Special Purpose Rev. (15 Craigside Project), “A”, 9%, 2044		140,000		163,680
Houston, TX, Health Facilities Development Corp. (Buckingham Senior Living Community), “A”, 7%, 2014 (c)		500,000		567,130
Howard County, MD, Retirement Facilities Rev. (Vantage House Corp.), “A”, 5.25%, 2033		200,000		161,156
Illinois Finance Authority Rev. (Evangelical Retirement Homes of Greater Chicago, Inc.), 7.25%, 2045		850,000		885,284
Illinois Finance Authority Rev. (Smith Village), “A”, 6.25%, 2035		1,000,000		891,580
Illinois Health Facilities Authority Rev. (Smith Crossing), “A”, 7%, 2032		525,000		526,995
Indiana Health Facilities Financing Authority Rev. (Hoosier Care, Inc.), “A”, 7.125%, 2034		965,000		953,719
Iowa Finance Authority, Health Care Facilities Rev. (Care Initiatives), “B”, 5.75%, 2018		415,000		415,033
Iowa Finance Authority, Health Care Facilities Rev. (Care Initiatives), “B”, 5.75%, 2028		1,475,000		1,339,743
Kentucky Economic Development Finance Authority Health Facilities Rev. (AHF/Kentucky-Iowa, Inc.), 8%, 2029		351,000		355,395
La Verne, CA, COP (Brethren Hillcrest Homes), “B”, 6.625%, 2025		525,000		537,962
Massachusetts Development Finance Agency Rev. (Adventcare), “A”, 6.75%, 2037		695,000		699,114
Massachusetts Development Finance Agency Rev. (Alliance Health of Brockton, Inc.), “A”, 7.1%, 2032		1,020,000		979,679
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 2031		130,267		105,309
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-1”, 6.25%, 2039		31,732		24,219
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), “A-2”, 5.5%, 2046		8,656		5,750
Massachusetts Development Finance Agency Rev. (Linden Ponds, Inc.), Capital Appreciation, “B”, 0%, 2056		43,059		472
Massachusetts Development Finance Agency Rev. (Loomis Communities, Inc.), “A”, 5.625%, 2015		155,000		155,122
Massachusetts Development Finance Agency Rev. (Loomis Communities, Inc.), “A”, 6.9%, 2032		125,000		127,593
Massachusetts Development Finance Agency Rev. (The Groves in Lincoln), “A”, 7.75%, 2039		80,000		79,986
Massachusetts Development Finance Agency Rev. (The Groves in Lincoln), “A”, 7.875%, 2044		115,000		115,449
Montgomery County, PA, Industrial Development Authority Rev. (Whitemarsh Continuing Care), 6.125%, 2028		150,000		141,629
Montgomery County, PA, Industrial Development Authority Rev. (Whitemarsh Continuing Care), 6.25%, 2035		600,000		551,514
New Jersey Economic Development Authority Rev. (Lions Gate), “A”, 5.75%, 2025		400,000		401,408
New Jersey Economic Development Authority Rev. (Lions Gate), “A”, 5.875%, 2037		300,000		284,070
New Jersey Economic Development Authority Rev. (Seabrook Village, Inc.), 5.25%, 2026		500,000		484,045
New Jersey Economic Development Authority Rev. (Seabrook Village, Inc.), 5.25%, 2036		500,000		469,705

3

Portfolio of Investments (unaudited) – continued

Issuer	Shares/Par		Value ($)
Municipal Bonds - continued
Healthcare Revenue - Long Term Care - continued
Norfolk, VA, Redevelopment & Housing Authority Rev. (Fort Norfolk Retirement Community), “A”, 6.125%, 2035	$	195,000	$	191,572
Roseville, MN, Elder Care Facilities (Care Institute, Inc.), 7.75%, 2023		1,630,000		1,546,609
Shelby County, TN, Health, Educational & Housing Facilities Board Rev. (Germantown Village), “A”, 7.25%, 2034		225,000		224,219
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), “A”, 6%, 2032		199,626		149,051
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), “A”, 6%, 2047		185,367		129,088
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), Capital Appreciation, “B”, 0%, 2047		85,554		2,630
South Carolina Jobs & Economic Development Authority Rev. (Woodlands at Furman), Capital Appreciation, “B”, 0%, 2047		79,443		2,443
South Carolina Jobs & Economic Development Authority, Health Facilities Rev. (Wesley Commons), 5.3%, 2036		200,000		159,586
St. John’s County, FL, Industrial Development Authority Rev. (Glenmoor Project), “A”, 5.25%, 2026		500,000		428,395
St. John’s County, FL, Industrial Development Authority Rev. (Presbyterian Retirement), “A”, 6%, 2045		610,000		649,260
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Air Force Village), 6.125%, 2029		550,000		585,101
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Air Force Village), 6.375%, 2044		415,000		439,091
Tarrant County, TX, Cultural Education Facilities Finance Corp. Retirement Facility (Stayton at Museum Way), 8.25%, 2044		770,000		819,334
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7%, 2030		130,000		144,123
Travis County, TX, Health Facilities Development Corp. Rev. (Westminster Manor Health), 7.125%, 2040		195,000		212,922
Westmoreland County, PA, Industrial Development Authority Rev. (Redstone Retirement Community), “A”, 5.875%, 2032		600,000		566,766
Westmoreland County, PA, Industrial Development Retirement Authority Rev. (Redstone Retirement Community), “A”, 5.75%, 2026		1,250,000		1,246,350
			$	25,726,795
Healthcare Revenue - Other - 0.4%
Massachusetts Health & Educational Facilities Authority Rev. (Civic Investments, Inc.), “A”, 9%, 2012 (c)	$	450,000	$	486,986
Industrial Revenue - Airlines - 3.3%
Clayton County, GA, Development Authority Special Facilities Rev. (Delta Airlines, Inc.), “A”, 8.75%, 2029	$	200,000	$	237,604
Clayton County, GA, Development Authority Special Facilities Rev. (Delta Airlines, Inc.), “B”, 9%, 2035		150,000		162,632
Denver, CO, City & County Airport Rev. (United Airlines), 5.75%, 2032		355,000		345,390
Houston, TX, Airport Systems Rev., Special Facilities (Continental Airlines, Inc.), “E”, 6.75%, 2029		155,000		157,224
Houston, TX, Airport Systems Rev., Special Facilities (Continental Airlines, Inc.), “E”, 7%, 2029		200,000		202,872
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 6.25%, 2029		935,000		938,918
New Jersey Economic Development Authority, Special Facilities Rev. (Continental Airlines, Inc.), 9%, 2033		1,250,000		1,360,225
New York, NY, City Industrial Development Agencies Rev. (American Airlines, Inc.), 7.75%, 2031 (a)(d)		385,000		363,825
New York, NY, City Industrial Development Agency Special Facility Rev. (American Airlines, Inc.), “B”, 8.5%, 2028 (a)(d)		500,000		472,515
			$	4,241,205
Industrial Revenue - Chemicals - 0.8%
Brazos River, TX, Harbor Navigation District (Dow Chemical Co.), “B-2”, 4.95%, 2033	$	400,000	$	410,436
Port of Bay, TX, City Authority (Hoechst Celanese Corp.), 6.5%, 2026		660,000		659,960
			$	1,070,396
Industrial Revenue - Environmental Services - 0.9%
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Republic Services, Inc.), “B”, 5.25%, 2023 (b)	$	135,000	$	151,276
California Pollution Control Financing Authority, Solid Waste Disposal Rev. (Waste Management, Inc.), “C”, 5.125%, 2023		655,000		682,058
Maine Finance Authority Solid Waste Disposal Rev. (Casella Waste Systems, Inc.), 6.25%, 2025 (b)		360,000		359,975
			$	1,193,309
Industrial Revenue - Other - 2.3%
Annawan, IL, Tax Increment Rev. (Patriot Renewable Fuels LLC), 5.625%, 2018	$	280,000	$	246,364
California Statewide Communities Development Authority Facilities (Microgy Holdings Project), 9%, 2038 (a)(d)		50,491		505
Gulf Coast, TX, Industrial Development Authority Rev. (CITGO Petroleum Corp.), 8%, 2028		375,000		375,218
Houston, TX, Industrial Development Corp. (United Parcel Service, Inc.), 6%, 2023		435,000		398,908
New Jersey Economic Development Authority Rev. (GMT Realty LLC), “B”, 6.875%, 2037		1,000,000		936,300
Pennsylvania Economic Development Financing Authority, Exempt Facilities Rev. (Amtrak Project.), “A”, 6.375%, 2041		1,050,000		1,054,977
			$	3,012,272
Industrial Revenue - Paper - 2.8%
Beauregard Parish, LA (Boise Cascade Corp.), 6.8%, 2027	$	1,000,000	$	949,730
Courtland, AL, Industrial Development Board Solid Waste Disposal Rev. (Champion International Corp.), 6%, 2029		1,000,000		1,004,030

4

Portfolio of Investments (unaudited) – continued

Issuer	Shares/Par		Value ($)
Municipal Bonds - continued
Industrial Revenue - Paper - continued
Escambia County, FL, Environmental Improvement Rev. (International Paper Co.), “A”, 5%, 2026	$	980,000	$	980,196
Escambia County, FL, Environmental Improvement Rev. (International Paper Co.), “A”, 4.75%, 2030		290,000		283,640
Phenix City, AL, Industrial Development Board Environmental Improvement Rev., “A” (Mead Westvaco Coated Board Project), 6.35%, 2035		400,000		400,236
			$	3,617,832
Miscellaneous Revenue - Entertainment & Tourism - 1.1%
Agua Caliente Band of Cahuilla Indians, CA, Rev., 5.6%, 2013 (n)	$	335,000	$	337,301
Brooklyn, NY, Arena Local Development Corp. (Barclays Center Project), 6%, 2030		135,000		144,310
Brooklyn, NY, Arena Local Development Corp. (Barclays Center Project), 6.25%, 2040		85,000		91,544
Cow Creek Band of Umpqua Tribe of Indians, OR, “C”, 5.625%, 2026 (n)		650,000		553,280
Seminole Tribe, FL, Special Obligation Rev., “A”, 5.25%, 2027 (n)		280,000		272,157
			$	1,398,592
Miscellaneous Revenue - Other - 3.1%
Austin, TX, Convention Center (Convention Enterprises, Inc.), “A”, SYNCORA, 5.25%, 2024	$	305,000	$	305,491
Capital Trust Agency, FL (Aero Syracuse LLC), 6.75%, 2032		350,000		324,779
Citizens Property Insurance Corp., FL, “A-1”, 5%, 2019		65,000		73,219
Citizens Property Insurance Corp., FL, “A-1”, 5%, 2020		305,000		342,356
Dallas, TX, Civic Center Convention Complex Rev., ASSD GTY, 5.25%, 2034		845,000		932,998
Massachusetts Port Authority Facilities Rev. (Conrac Project), “A”, 5.125%, 2041		40,000		42,955
New York Liberty Development Corp., Liberty Rev. (One Bryant Park LLC), 6.375%, 2049		545,000		590,600
New York Liberty Development Corp., Liberty Rev. (World Trade Center Project), 5%, 2044		535,000		570,080
Summit County, OH, Port Authority Building Rev. (Twinsburg Township), “D”, 5.125%, 2025		600,000		579,528
V Lakes Utility District, MS, Water Systems Rev., 7%, 2037		300,000		281,763
			$	4,043,769
Multi-Family Housing Revenue - 4.7%
Broward County, FL, Housing Finance Authority Rev. (Chaves Lakes Apartments Ltd.), “A”, 7.5%, 2040	$	490,000	$	490,250
Capital Trust Agency, FL, Housing Rev. (Atlantic Housing Foundation), “B”, 7%, 2032 (d)(q)		625,000		275,638
Charter Mac Equity Issuer Trust, FHLMC, 6%, 2019 (n)		1,000,000		1,029,750
District of Columbia Housing Finance Agency (Henson Ridge), “E”, FHA, 5.1%, 2037		655,000		664,864
Durham, NC, Durham Housing Authority Rev. (Magnolia Pointe Apartments), 5.65%, 2038 (b)		914,964		814,611
El Paso County, TX, Housing Finance Corp. (American Housing Foundation), “C”, 8%, 2032		270,000		272,290
El Paso County, TX, Housing Finance Corp. (American Housing Foundation), “D”, 10%, 2032		275,000		277,277
Mississippi Home Corp., Rev. (Kirkwood Apartments), 6.8%, 2037 (d)(q)		605,000		380,618
MuniMae TE Bond Subsidiary LLC, 5.8%, 2049 (z)		1,000,000		680,090
Resolution Trust Corp., Pass-Through Certificates, “1993”, 8.5%, 2016 (z)		455,481		440,382
Wilmington, DE, Multi-Family Housing Rev. (Electra Arms Senior Associates), 6.25%, 2028		780,000		713,786
			$	6,039,556
Parking - 0.3%
Boston, MA, Metropolitan Transit Parking Corp., Systemwide Parking Rev., 5.25%, 2036	$	300,000	$	330,642
Port Revenue - 1.4%
Maryland Economic Development Corp. Rev. (Port America Chesapeake Terminal Project), “B”, 5.75%, 2035	$	285,000	$	300,840
Port Authority NY & NJ, Cons Thirty Seventh, AGM, 5.125%, 2030		1,450,000		1,522,660
			$	1,823,500
Sales & Excise Tax Revenue - 5.2%
Bolingbrook, IL, Sales Tax Rev., 6.25%, 2024	$	500,000	$	326,870
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 2029		165,000		189,529
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 2030		330,000		376,418
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 2031		60,000		68,122
Chicago, IL, Transit Authority Sales Tax Receipts Rev., 5.25%, 2040		505,000		558,045
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 2034		630,000		686,952
Colorado Regional Transportation District, Private Activity Rev. (Denver Transportation Partners), 6%, 2041		300,000		325,824

5

Portfolio of Investments (unaudited) – continued

Issuer	Shares/Par		Value ($)
Municipal Bonds - continued
Sales & Excise Tax Revenue - continued
Massachusetts Bay Transportation Authority, Sales Tax Rev., “A”, 5%, 2024	$	1,095,000	$	1,399,793
Massachusetts School Building Authority, Dedicated Sales Tax Rev., AMBAC, 4.75%, 2032		840,000		907,183
Massachusetts School Building Authority, Sales Tax Rev., “B”, 5%, 2032		390,000		452,930
Metropolitan Pier & Exposition Authority, State Tax Rev., Capital Appreciation, ETM, FGIC, 0%, 2014 (c)		1,010,000		995,406
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., “C”, 5.25%, 2041		35,000		37,656
Puerto Rico Sales Tax Financing Corp., Sales Tax Rev., Capital Appreciation, “A”, 0%, 2032		460,000		451,844
			$	6,776,572
Single Family Housing - Local - 1.1%
Minneapolis & St. Paul Housing Authority Rev. (City Living), “A-2”, GNMA, 5%, 2038	$	406,949	$	411,096
Pittsburgh, PA, Urban Redevelopment Authority Rev., “C”, GNMA, 4.8%, 2028		1,000,000		1,014,710
			$	1,425,806
Single Family Housing - State - 1.4%
California Housing Finance Agency Rev. (Home Mortgage), “G”, 5.5%, 2042	$	290,000	$	294,489
Colorado Housing & Finance Authority, “A”, 5.5%, 2029		1,045,000		1,075,274
Iowa Finance Authority, Single Family Mortgage Rev., “E”, 5.4%, 2032		270,000		271,944
Kentucky Counties Single Family Mortgage Rev., “A”, NATL, 9%, 2016		5,000		5,001
North Dakota Housing Finance Agency Rev., “A”, 4.85%, 2021		100,000		102,232
			$	1,748,940
Solid Waste Revenue - 0.1%
Pennsylvania Economic Development Financing Authority, Sewer Sludge Disposal Rev. (Philadelphia Biosolids Facility), 6.25%, 2032	$	75,000	$	82,530
State & Agency - Other - 0.4%
Commonwealth of Puerto Rico (Mepsi Campus), “A”, 6.5%, 2037	$	500,000	$	502,745
State & Local Agencies - 4.5%
Dorchester County, SC, School District No. 2, Growth Remedy Opportunity Tax Hike, 5.25%, 2029	$	500,000	$	536,435
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Enhanced, “A”, FGIC, 5%, 2035		110,000		110,678
Guam Government Department of Education (John F. Kennedy High School), “A”, COP, 6.875%, 2040		295,000		316,258
Laurens County, SC, School District No. 55, Installment Purchase Rev., 5.25%, 2030		700,000		731,549
New York Metropolitan Transportation Authority, “A”, 5.125%, 2029		800,000		811,496
Newberry, SC, Investing in Children’s Education (Newberry County School District Program), 5%, 2030		400,000		416,136
Philadelphia, PA, Municipal Authority Rev., 6.5%, 2034		135,000		145,434
Puerto Rico Public Finance Corp., “E”, ETM, 6%, 2026 (c)		80,000		112,979
Puerto Rico Public Finance Corp., “E”, ETM, 6%, 2026		820,000		1,170,288
Puerto Rico Public Finance Corp., Commonwealth Appropriations, “B”, 6%, 2026		225,000		261,317
Puerto Rico Public Finance Corp., Commonwealth Appropriations, “B”, 5.5%, 2031		325,000		348,140
Wisconsin General Fund Annual Appropriation Rev., “A”, 5.75%, 2033 (f)		660,000		786,370
			$	5,747,080
Student Loan Revenue - 1.0%
Iowa Student Loan Liquidity Corp., “A-2”, 5.5%, 2025	$	200,000	$	216,326
Iowa Student Loan Liquidity Corp., “A-2”, 5.6%, 2026		200,000		216,264
Iowa Student Loan Liquidity Corp., “A-2”, 5.7%, 2027		20,000		21,552
Iowa Student Loan Liquidity Corp., “A-2”, 5.75%, 2028		370,000		397,413
Massachusetts Educational Financing Authority, Education Loan Rev., “H”, ASSD GTY, 6.35%, 2030		410,000		445,379
Massachusetts Educational Financing Authority, Education Loan Rev., “I-A”, 5.5%, 2022		25,000		28,913
			$	1,325,847
Tax - Other - 1.8%
Dallas County, TX, Flood Control District, 7.25%, 2032	$	750,000	$	766,815
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5%, 2047		360,000		369,817
Hudson Yards, NY, Infrastructure Corp. Rev., “A”, 5.75%, 2047		370,000		417,386
New York, NY, City Transitional Finance Authority Building Aid Rev., “S-3”, 5.25%, 2039		440,000		479,582

6

Portfolio of Investments (unaudited) – continued

Issuer	Shares/Par		Value ($)
Municipal Bonds - continued
Tax - Other - continued
Virgin Islands Public Finance Authority Rev. (Diageo Project), “A”, 6.75%, 2037	$	205,000	$	231,785
			$	2,265,385
Tax Assessment - 5.8%
Anne Arundel County, MD, Special Obligation (National Business Park-North Project), 6.1%, 2040	$	140,000	$	144,143
Atlanta, GA, Tax Allocation (Eastside Project), “B”, 5.4%, 2020		500,000		518,235
Capital Region Community Development District, FL, Capital Improvement Rev., “A”, 7%, 2039		230,000		202,711
Celebration Community Development District, FL, “A”, 6.4%, 2034		675,000		685,213
Channing Park Community Development District, FL, 5.3%, 2038		265,000		231,830
Chicago, IL, Tax Increment Allocation (Pilsen Redevelopment), “B”, 6.75%, 2022		310,000		314,687
Du Page County, IL, Special Service Area No. 31 Special Tax (Monarch Landing Project), 5.625%, 2036		250,000		204,600
Heritage Harbour North Community Development District, FL, Capital Improvement Rev., 6.375%, 2038		315,000		285,570
Homestead, Community Development District, FL, Special Assessment, “A”, 6%, 2037		365,000		230,954
Homestead, Community Development District, FL, Special Assessment, “B”, 5.9%, 2013		140,000		84,382
Huntington Beach, CA, Community Facilities District, Special Tax (Grand Coast Resort), “2000-1”, 6.45%, 2031		500,000		505,700
Lincolnshire, IL, Special Service Area No. 1 (Sedgebrook Project), 6.25%, 2034		250,000		229,635
Main Street Community Development District, FL, “A”, 6.8%, 2038		280,000		254,064
Oakmont Grove Community Development District, FL, “A”, 5.4%, 2038 (a)(d)		300,000		111,000
Ohio County, WV, Commission Tax Increment Rev. (Fort Henry Centre), “A”, 5.85%, 2034		125,000		128,558
Orlando, FL, Special Assessment Rev. (Conroy Road Interchange Project), “A”, 5.8%, 2026		290,000		290,029
Plano, IL, Special Service Area No. 4 (Lakewood Springs Project Unit 5-B), 6%, 2035		1,435,000		1,346,719
Sweetwater Creek Community Development District, FL, Capital Improvement Rev., “A”, 5.5%, 2038 (a)(d)		190,000		72,200
Tolomato Community Development District, FL, Special Assessment, 6.65%, 2040		585,000		251,995
Tuscany Reserve Community Development District, FL, Special Assessment, “B”, 5.25%, 2016		185,000		165,951
West Villages Improvement District, FL, Special Assessment Rev. (Unit of Development No. 3), 5.5%, 2037		470,000		211,932
Westridge, FL, Community Development District, Capital Improvement Rev., 5.8%, 2037 (a)(d)		960,000		364,800
Yorba Linda, CA, Redevelopment Agency, Tax Allocation Rev., Capital Appreciation, “A”, NATL, 0%, 2024		1,325,000		660,725
			$	7,495,633
Tobacco - 8.7%
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 5.125%, 2024	$	3,270,000	$	2,570,285
Buckeye, OH, Tobacco Settlement Financing Authority, “A-2”, 5.875%, 2047		250,000		185,475
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., “A-1”, 6.25%, 2013 (c)		970,000		1,027,608
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., “A-1”, 5.75%, 2047		525,000		401,756
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Asset Backed, “A-1”, 5%, 2033		440,000		335,434
Illinois Railsplitter Tobacco Settlement Authority, 6%, 2028		1,365,000		1,540,280
New Jersey Tobacco Settlement Financing Corp., “1-A”, 5%, 2041		3,355,000		2,544,365
Rhode Island Tobacco Settlement Authority, 6%, 2023		1,260,000		1,265,302
Tobacco Securitization Authority, Minnesota Tobacco Settlement Rev., “B”, 5.25%, 2031		790,000		863,170
Washington Tobacco Settlement Authority Rev., 6.625%, 2032		500,000		519,985
			$	11,253,660
Toll Roads - 5.0%
E-470 Public Highway Authority, CO, Capital Appreciation, “B”, NATL, 0%, 2018	$	1,500,000	$	1,155,645
Mid-Bay Bridge Authority, FL, Springing Lien Rev., “A”, 7.25%, 2040		445,000		484,022
North Texas Tollway Authority Rev., 6%, 2038		765,000		877,134
North Texas Tollway Authority Rev. (Special Projects System), “D”, 5%, 2031		1,200,000		1,360,848
San Joaquin Hills, CA, Transportation Corridor Agency, Toll Road Rev., Capital Appreciation, “A”, NATL, 0%, 2015		3,000,000		2,617,830
			$	6,495,479
Transportation - Special Tax - 0.6%
Arizona Transportation Board Highway Rev., “A”, 5%, 2036	$	655,000	$	733,652
Universities - Colleges - 9.8%
Brevard County, FL, Industrial Development Rev. (TUFF Florida Tech LLC Project), 6.75%, 2039	$	540,000	$	583,060
California Educational Facilities Authority Rev. (Chapman University), 5%, 2031		145,000		157,084
California Educational Facilities Authority Rev. (University of Southern California), “A”, 5.25%, 2038		1,270,000		1,436,040

7

Portfolio of Investments (unaudited) – continued

Issuer	Shares/Par		Value ($)
Municipal Bonds - continued
Universities - Colleges - continued
California Municipal Finance Authority Rev. (Biola University), 5.8%, 2028	$	100,000	$	108,550
California State University Rev., “A”, 5%, 2037		990,000		1,077,704
Florida State University Board of Governors, System Improvement Rev., 6.25%, 2030		1,000,000		1,197,970
Grand Valley, MI, State University Rev., 5.5%, 2027		135,000		149,108
Grand Valley, MI, State University Rev., 5.625%, 2029		65,000		71,786
Harris County, TX, Cultural Education Facilities Rev. (Baylor College of Medicine), “D”, 5.625%, 2032		540,000		555,244
Illinois Finance Authority Rev. (Illinois Institute of Technology), “A”, 5%, 2036		110,000		88,801
Illinois Finance Authority Rev. (Roosevelt University Project), 6.25%, 2029		670,000		727,057
Illinois Finance Authority Rev. (Roosevelt University Project), 6.5%, 2039		155,000		168,178
Illinois Finance Authority Rev. (University of Chicago), “A”, 5%, 2051		165,000		179,929
Massachusetts Development Finance Agency Rev. (The Broad Institute, Inc.), “A”, 5.25%, 2037		580,000		629,631
Massachusetts Health & Educational Facilities Authority Rev. (Simmons College), “I”, 8%, 2029		255,000		295,813
Massachusetts Health & Educational Facilities Authority Rev. (Suffolk University), “A”, 6.25%, 2030		725,000		817,800
Massachusetts Health & Educational Facilities Authority Rev. (Suffolk University), “A”, 5.75%, 2039		455,000		488,647
Savannah, GA, Economic Development Authority Rev. (AASU Student Union LLC), ASSD GTY, 5.125%, 2039		335,000		358,986
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2030		195,000		225,303
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2031		85,000		97,684
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2032		80,000		91,516
Texas Tech University Rev., Refunding & Improvement, “A”, 5%, 2037		150,000		167,193
University of Illinois Rev. (Auxiliary Facilities Systems), “A”, 5.125%, 2029		1,880,000		2,053,881
University of Southern Indiana Rev. (Student Fee), “J”, ASSD GTY, 5.75%, 2028		300,000		350,634
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.25%, 2032		220,000		249,352
University of Southern Mississippi Educational Building Corp. Rev. (Campus Facilities Project), 5.375%, 2036		80,000		89,974
Washington Higher Education Facilities Authority Rev. (Whitworth University), 5.875%, 2034		280,000		302,226
			$	12,719,151
Universities - Dormitories - 2.1%
Bowling Green, OH, Student Housing Rev. (State University Project), 5.75%, 2031	$	175,000	$	181,130
Buffalo & Erie County, NY, Industrial Land Development Corp. Rev. (Buffalo State College), “A”, 5.375%, 2041		200,000		215,380
California Statewide Communities Development Authority Rev. (Lancer Educational Student Housing Project), 5.625%, 2033		735,000		710,627
Illinois Finance Authority Student Housing Rev. (Illinois State University), 6.75%, 2031		240,000		264,797
Illinois Finance Authority Student Housing Rev. (Northern Illinois University Project), 6.625%, 2031		615,000		675,528
Mississippi State University, Educational Building Corp., 5%, 2036		440,000		481,048
Pennsylvania Higher Education Facilities Authority Rev. (Edinboro University Foundation), 5.8%, 2030		80,000		85,147
Pennsylvania Higher Education Facilities Authority Rev. (Edinboro University Foundation), 6%, 2043		110,000		116,560
			$	2,730,217
Universities - Secondary Schools - 0.6%
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5.5%, 2031	$	95,000	$	97,102
Clifton, TX, Higher Education Finance Corp. Rev. (Idea Public Schools), 5.75%, 2041		75,000		77,480
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.125%, 2040		215,000		233,522
Clifton, TX, Higher Education Finance Corp. Rev. (Uplift Education), “A”, 6.25%, 2045		135,000		143,767
La Vernia, TX, Higher Education Finance Corp. Rev. (KIPP, Inc.), “A”, 6.25%, 2039		195,000		214,438
Philadelphia, PA, Authority for Industrial Development Rev. (MaST Charter School), 6%, 2035		50,000		52,972
			$	819,281
Utilities - Cogeneration - 0.3%
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Central Facilities (Cogeneration Facilities - AES Puerto Rico Project), 6.625%, 2026	$	320,000	$	320,048
Utilities - Investor Owned - 4.6%
Brazos River Authority, TX, Pollution Control Rev. (TXU Electric Co. LLC), “C”, 6.75%, 2038	$	555,000	$	78,039
Bryant, IL, Pollution Control Rev. (Central Illinois Light Co.), 5.9%, 2023		975,000		978,081
Chula Vista, CA, Industrial Development Rev. (San Diego Gas), 5.875%, 2034		245,000		281,740
Farmington, NM, Pollution Control Rev. (Public Service New Mexico), “D”, 5.9%, 2040		500,000		524,875
Massachusetts Development Finance Agency, Solid Waste Disposal Rev. (Dominion Energy Brayton), 5.75%, 2042 (b)		85,000		99,889
Matagorda County, TX, Pollution Control Rev. (Central Power & Light Co.), “A”, 6.3%, 2029		275,000		313,429

8

Portfolio of Investments (unaudited) – continued

Issuer	Shares/Par		Value ($)
Municipal Bonds - continued
Utilities - Investor Owned - continued
Mississippi Business Finance Corp., Pollution Control Rev. (Systems Energy Resources Project), 5.875%, 2022	$	1,500,000	$	1,502,670
New Hampshire Business Finance Authority, Pollution Control Rev. (Public Service of New Hampshire), “B”, NATL, 4.75%, 2021		250,000		259,175
Owen County, KY, Waterworks System Rev. (American Water Co. Project), “A”, 6.25%, 2039		205,000		222,847
Pennsylvania Economic Development Financing Authority (Allegheny Energy Supply Co. LLC), 7%, 2039		600,000		681,396
Pima County, AZ, Industrial Development Authority Rev. (Tucson Electric Power Co.), 5.75%, 2029		1,015,000		1,060,990
			$	6,003,131
Utilities - Municipal Owned - 0.7%
Harris County, TX, Cultural Education Facilities Financial Corp., Thermal Utilities Rev. (Teco Project), “A”, 5.25%, 2035	$	140,000	$	154,902
Long Island, NY, Power Authority, “A”, 5%, 2038		735,000		790,845
			$	945,747
Utilities - Other - 3.5%
California M-S-R Energy Authority Gas Rev., “A”, 7%, 2034	$	155,000	$	201,260
California M-S-R Energy Authority Gas Rev., “A”, 6.5%, 2039		335,000		411,571
Georgia Main Street Natural Gas, Inc., Gas Project Rev., “A”, 5.5%, 2028		335,000		368,808
Indiana Bond Bank Special Program, Gas Rev., “A”, 5.25%, 2018		230,000		260,818
Public Authority for Colorado Energy Natural Gas Purchase Rev., 6.5%, 2038		25,000		31,268
Salt Verde Financial Corp., AZ, Senior Gas Rev., 5%, 2037		705,000		704,944
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 2021		1,710,000		1,877,392
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 2022		270,000		294,570
Tennessee Energy Acquisition Corp., Gas Rev., “A”, 5.25%, 2026		165,000		178,251
Tennessee Energy Acquisition Corp., Gas Rev., “C”, 5%, 2025		240,000		249,492
			$	4,578,374
Water & Sewer Utility Revenue - 10.1%
Atlanta, GA, Water & Wastewater Rev., “A”, 6%, 2022	$	370,000	$	455,648
Birmingham, AL, Waterworks Board Water Rev., “A”, ASSD GTY, 5.125%, 2034		595,000		648,675
California Department of Water Resources, Center Valley Project Rev., “AJ”, 5%, 2035		1,010,000		1,178,529
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, 5.125%, 2037		170,000		170,054
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, 5.75%, 2037		195,000		207,474
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, 6%, 2038		655,000		708,867
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, 5.25%, 2042		95,000		95,143
Commonwealth of Puerto Rico Aqueduct & Sewer Authority Rev., “A”, 6%, 2044		135,000		145,410
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 2028		125,000		146,770
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 2029		115,000		134,406
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 2030		75,000		87,186
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 2031		15,000		17,357
DeKalb County, GA, Water & Sewer Rev., “A”, 5.25%, 2041		420,000		467,762
Houston, TX, Utility System Rev., “D”, 5%, 2036		435,000		488,231
King County, WA, Sewer Rev., 5%, 2040		1,395,000		1,542,758
Massachusetts Water Resources Authority, “B”, 5%, 2041		275,000		309,449
New York Environmental Facilities Corp., Clean Drinking Water Revolving Funds, 5%, 2024		215,000		259,847
New York Environmental Facilities Corp., Clean Drinking Water Revolving Funds, 5%, 2041		685,000		758,322
New York Environmental Facilities, “C”, 5%, 2041		945,000		1,053,212
New York, NY, Municipal Water Finance Authority, Water & Sewer System Rev., “AA”, 5%, 2034		1,980,000		2,250,428
New York, NY, Municipal Water Finance Authority, Water & Sewer Systems Rev., “DD”, 4.75%, 2035		790,000		837,953
Sacramento, CA, Municipal Utility District, “X”, 5%, 2028		365,000		421,075
Surprise, AZ, Municipal Property Corp., 4.9%, 2032		700,000		689,423
			$	13,073,979
Total Municipal Bonds			$	197,324,659

9

Portfolio of Investments (unaudited) – continued

Issuer	Shares/Par		Value ($)
Money Market Funds - 2.6%
MFS Institutional Money Market Portfolio, 0.1%, at Net Asset Value (v)		3,275,560	$	3,275,560
Total Investments			$	200,600,219
Other Assets, Less Liabilities - 2.8%				3,593,935
Preferred Shares (Issued by the Fund) - (58.1)%				(75,000,000	)
Net assets applicable to common shares - 100.0%			$	129,194,154

(a) Non-income producing security.

(b) Mandatory tender date is earlier than stated maturity date.

(c) Refunded bond.

(d) In default. Interest and/or scheduled principal payment(s) have been missed.

(f) All or a portion of the security has been segregated as collateral for open futures contracts.

(n) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $2,192,488 representing 1.7% of net assets applicable to common shares.

(q) Interest received was less than stated coupon rate.

(v) Underlying affiliated fund that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end.

(z) Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The fund holds the following restricted securities:

Restricted Securities	Acquisition Date	Cost		Value
MuniMae TE Bond Subsidiary LLC, 5.8%, 2049	10/14/04		$1,000,000		$680,090
Resolution Trust Corp., Pass-Through Certificates, “1993”, 8.5%, 2016	10/17/01-1/14/02		455,481		440,382
Total Restricted Securities					$1,120,472
% of Net assets applicable to common shares					0.9%

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

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

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

10

Portfolio of Investments (unaudited) – continued

Derivative Contracts at 2/29/12

Futures Contracts Outstanding at 2/29/12

Description	Currency		Contracts		Value	Expiration Date		Unrealized Appreciation (Depreciation)
Liabilities Derivatives
Interest Rate Futures
U.S. Treasury Note 10 yr (Short)		USD		188	$24,619,188		June - 12		$(7,990	)
U.S. Treasury Bond 30 yr (Short)		USD		22	3,116,438		June - 12		(2,140	)
									$(10,130	)

At February 29, 2012, the fund had sufficient cash and/or other liquid securities to cover any commitments under these derivative contracts.

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

11

Supplemental Information

2/29/12 (unaudited)

(1) Investment Valuations

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

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

Various inputs are used in determining the value of the fund’s assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments not reflected in total investments, such as futures. The following is a summary of the levels used as of February 29, 2012 in valuing the fund’s assets or liabilities:

Investments at Value	Level 1			Level 2		Level 3		Total
Municipal Bonds		$—			$197,324,659		$—		$197,324,659
Mutual Funds		3,275,560			—		—		3,275,560
Total Investments		$3,275,560			$197,324,659		$—		$200,600,219
Other Financial Instruments
Futures		$(10,130	)		$—		$—		$(10,130	)

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

12

Supplemental Information (unaudited) – continued

(2) Portfolio Securities

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

Aggregate cost	$189,729,570
Gross unrealized appreciation	$15,912,159
Gross unrealized depreciation	(5,041,510	)
Net unrealized appreciation (depreciation)	$10,870,649

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

(3) Transactions in Underlying Affiliated Funds – Affiliated Issuers

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

Underlying Affiliated Funds	Beginning Shares/Par Amount		Acquisitions Shares/Par Amount		Dispositions Shares/Par Amount			Ending Shares/Par Amount
MFS Institutional Money Market Portfolio		1,406,065		10,618,142		(8,748,647	)		3,275,560
Underlying Affiliated Funds	Realized Gain (Loss)		Capital Gain Distributions		Dividend Income			Ending Value
MFS Institutional Money Market Portfolio		$—		$—		$590			$3,275,560

13

ITEM 2. CONTROLS AND PROCEDURES.

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

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

ITEM 3. EXHIBITS.

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

Notice

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

SIGNATURES

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

Registrant: MFS HIGH YIELD MUNICIPAL TRUST

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

Date: April 13, 2012

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

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

Date: April 13, 2012

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

Date: April 13, 2012

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