Fitch Rates VMTP Shares Issued by 5 MFS Municipal Closed-End Funds 'AAA'
MFS California Municipal Fund (CCA)
--\\$24,425,000 of VMTP shares, Series 2019/3, due April 1, 2019.
MFS High Income Municipal Trust (CXE)
--\\$97,500,000 of VMTP shares, Series 2019/3, due April 1, 2019.
MFS Municipal Income Trust (MFM)
--\\$113,750,000 of VMTP shares, Series 2019/3, due April 1, 2019.
MFS High Yield Municipal Trust (CMU)
--\\$75,000,000 of VMTP shares, Series 2019/3, due April 1, 2019.
MFS Investment Grade Municipal Trust (CXH)
--\\$48,750,000 of VMTP shares, Series 2019/3, due April 1, 2019.
The proceeds from the issuance will be used to refinance outstanding rated VMTP shares and rated auction preferred shares (ARPS) of the funds listed. Fitch expects to mark these as paid in full at their respective redemption dates.
KEY RATING DRIVERS
The 'AAA' long-term ratings of the VMTP shares primarily reflect:
--Sufficient asset coverage provided to the preferred shares as calculated per the funds' over-collateralization (OC) tests;
--The structural protections afforded by mandatory de-leveraging provisions in the event of asset coverage declines;
--The legal and regulatory parameters that govern the funds' operations;
--The capabilities of MFS Investment Management as investment advisor.
ASSET COVERAGE
As of Jan. 29, 2016, each fund's asset coverage ratio for the preferred shares, as calculated in accordance with the Investment Company Act of 1940, was in excess of the minimum threshold - 225% for CXE, MFM, CMU, and CXH, and 210% for CCA - required by the VMTP governing documents (Preferred Shares Asset Coverage Test).
As of the same date, each fund's effective leverage ratio was below the maximum - 45% for CXE, MFM, CMU, and CXH, and 47% for CCA - allowed by the VMTP governing documents (Effective Leverage Test).
Should the funds' asset coverage tests decline below their minimum threshold amounts, the governing documents' mandatory redemption provisions will require the fund to cure the tests or redeem the affected liabilities in a sufficient amount to restore compliance with the applicable test(s).
STRESS TESTS
Fitch performed various stress tests on the funds to assess the strength of the structural protections available to the VMTP shares compared to the rating stresses outlined in Fitch's closed-end fund rating criteria. These tests included determining various 'worst case' scenarios where the funds' leverage and portfolio composition migrated to the outer limits of the funds' operating and investment guidelines.
Only under remote circumstances did the asset coverage available to the VMTP Shares fall below the 'AAA' threshold, and instead passed at an 'AA' rating level. An example of such a stress test includes increasing a fund's leverage to 45% and significantly increasing state, sector, and issuer concentration.
Given the highly unlikely nature of the stress scenarios, and the minimal rating impact, Fitch views the funds' permitted investments, municipal issuer diversification framework, and mandatory deleveraging mechanisms as consistent with an 'AAA' rating.
THE FUNDS
The funds are closed-end management investment companies regulated by the Investment Company Act of 1940.
MFS Investment Management, an indirect subsidiary of Sun Life Financial Inc., is the funds' investment advisor, responsible for the funds' overall investment strategies and their implementation. MFS Investment Management had approximately \\$395.6 billion of assets under management as of Feb. 29, 2016.
RATING SENSITIVITIES
The ratings assigned to the VMTP shares may be sensitive to material changes in the leverage composition, portfolio credit quality, portfolio diversification, or market risk of the funds. A material adverse deviation from Fitch guidelines for any key rating driver could cause ratings to be lowered by Fitch.
The funds have the ability to assume economic leverage through derivative transactions which may not be captured by the funds' Preferred Shares Asset Coverage tests or Effective Leverage Ratios. Material derivative exposure on a speculative basis in the future could have potential negative rating implications if it adversely affects asset coverage available to rated preferred shares.
For additional information about Fitch rating guidelines applicable to debt and preferred stock issued by closed-end fund, please review the criteria referenced below, which can be found on Fitch's web site at 'www.fitchratings.com'.
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