In the staid world of municipal bonds, the debt issued by Puerto Rico is in hot demand. For starters, the U.S. territory pays the highest interest rates of any large borrower in the U.S. municipal market. And the interest payments on Puerto Rico bonds are exempt from federal, state, and local taxes for investors in all 50 states. Many muni bond fund managers, looking to juice their yields, have been loading up on Puerto Rico debt. In fact, if you hold a muni fund, there's a good chance that you own the island's bonds. That means you're probably exposed to more risk than you realized.