Yes! Set up a filter to route spam messages to your email client’s spam or junk folder as follows:

1. Make sure you have a special folder for junk mail in your email client—for example, one called Bulk, Spam, or Junk Email. If you don’t have one, click File > New > Folder to make one.
2. Using your email client’s instructions (which are probably easiest to get to via Help), set up a filter or rule to look for the following message header:
   
   X-YahooFilteredBulk
   
   Set your filter to route these messages to the special bulk/spam folder your created.