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http://www.python.org/dev/peps/pep-0342/
" 6. Allow "yield" to be used in try/finally blocks, since garbage
 collection or an explicit close() call would now allow the
 finally clause to execute."
"New syntax: yield allowed inside try-finally
 The syntax for generator functions is extended to allow a
 yield-statement inside a try-finally statement."
>>> def f():
... try:
... yield 1
... yield 2
... yield 3
... finally:
... yield 4
... 
>>> g = f()
>>> next(g)
1
>>> next(g)
2
>>> g = f()
Exception RuntimeError: 'generator ignored GeneratorExit' in <generator object f at 0xb74d2504> ignored
>>>

It means in the body of the try statement.