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Portfolio of Investments
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Nuveen Build America Bond Fund (NBB)
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June 30, 2017 (Unaudited)
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Principal
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Optional Call
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Amount (000)
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Description (1)
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Provisions (2)
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Ratings (3)
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Value
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LONG-TERM INVESTMENTS – 120.2% (99.9% of Total Investments)
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MUNICIPAL BONDS – 119.7% (99.5% of Total Investments)
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Arizona – 1.0% (0.8% of Total Investments)
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$ 5,000
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Mesa, Arizona, Utility System Revenue Bonds, Series 2010, 6.100%, 7/01/34
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7/20 at 100.00
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Aa2
|
$ 5,581,850
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California – 27.0% (22.4% of Total Investments)
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2,520
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Alameda Corridor Transportation Authority, California, Revenue Bonds, Refunding Taxable
|
No Opt. Call
|
BBB+
|
1,252,642
|
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|
Subordinate Lien Series 2004B, 0.000%, 10/01/31 – AMBAC Insured
|
|
|
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1,995
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Bay Area Toll Authority, California, Revenue Bonds, San Francisco Bay Area Toll Bridge, Build
|
No Opt. Call
|
AA
|
2,859,074
|
|
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America Federally Taxable Bond Series 2009F-2, 6.263%, 4/01/49
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Bay Area Toll Authority, California, Revenue Bonds, San Francisco Bay Area Toll Bridge,
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Subordinate Lien, Build America Federally Taxable Bond Series 2010S-1:
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75
|
6.793%, 4/01/30
|
No Opt. Call
|
AA–
|
92,903
|
|
100
|
6.918%, 4/01/40
|
No Opt. Call
|
AA–
|
140,762
|
|
600
|
California Infrastructure and Economic Development Bank, Revenue Bonds, University of
|
No Opt. Call
|
AA–
|
790,110
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California San Francisco Neurosciences Building, Build America Taxable Bond Series 2010B,
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|
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6.486%, 5/15/49
|
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40
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California Municipal Finance Authority Charter School Revenue Bonds, Albert Einstein Academies
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No Opt. Call
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BB–
|
39,824
|
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Project, Taxable Series 2013B, 7.000%, 8/01/18
|
|
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395
|
California School Finance Authority, Charter School Revenue Bonds, City Charter School
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No Opt. Call
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N/R
|
391,990
|
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Obligated Group, Taxable Series 2016B, 3.750%, 6/01/20
|
|
|
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3,030
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California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Build
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No Opt. Call
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A+
|
4,552,030
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|
|
America Taxable Bond Series 2009G-2, 8.361%, 10/01/34
|
|
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2,050
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California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Build
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3/20 at 100.00
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A+
|
2,346,737
|
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America Taxable Bond Series 2010A-2, 8.000%, 3/01/35
|
|
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7,000
|
California State University, Systemwide Revenue Bonds, Build America Taxable Bond Series
|
No Opt. Call
|
Aa2
|
9,462,600
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|
|
2010B, 6.484%, 11/01/41
|
|
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3,000
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California State, General Obligation Bonds, Build America Federally Taxable Series 2009,
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No Opt. Call
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AA–
|
4,589,670
|
|
|
7.550%, 4/01/39
|
|
|
|
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7,115
|
California State, General Obligation Bonds, Various Purpose Build America Taxable Bond Series
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3/20 at 100.00
|
AA–
|
8,174,139
|
|
|
2010, 7.950%, 3/01/36
|
|
|
|
|
6,610
|
California State, General Obligation Bonds, Various Purpose, Build America Taxable Bond Series
|
No Opt. Call
|
AA–
|
10,320,524
|
|
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2010, 7.600%, 11/01/40
|
|
|
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|
9,185
|
California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda
|
No Opt. Call
|
BB+
|
9,736,467
|
|
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University Medical Center, Series 2014B, 6.000%, 12/01/24
|
|
|
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7,500
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Los Angeles Community College District, California, General Obligation Bonds, Build America
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No Opt. Call
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AA+
|
10,834,425
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|
|
Taxable Bonds, Series 2010, 6.600%, 8/01/42
|
|
|
|
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10,000
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Los Angeles Community College District, Los Angeles County, California, General Obligation
|
No Opt. Call
|
Aa1
|
14,445,900
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|
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Bonds, Series 2010, 6.600%, 8/01/42 (UB) (4)
|
|
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3,000
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Los Angeles County Metropolitan Transportation Authority, California, Measure R Sales Tax
|
No Opt. Call
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AAA
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3,805,830
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Revenue Bonds, Build America Taxable Bond Series 2010A, 5.735%, 6/01/39
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Los Angeles County Public Works Financing Authority, California, Lease Revenue Bonds, Multiple
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Capital Projects I, Build America Taxable Bond Series 2010B:
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|
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2,050
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7.488%, 8/01/33
|
No Opt. Call
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AA
|
2,806,470
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|
11,270
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7.618%, 8/01/40
|
No Opt. Call
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AA
|
16,810,895
|
|
9,895
|
Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International
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No Opt. Call
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AA–
|
12,851,428
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|
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Airport, Build America Taxable Bonds, Series 2009C, 6.582%, 5/15/39
|
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Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Federally
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|
|
|
|
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Taxable – Direct Payment – Build America Bonds, Series 2010A:
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|
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80
|
5.716%, 7/01/39
|
No Opt. Call
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Aa2
|
102,461
|
|
2,840
|
6.166%, 7/01/40
|
7/20 at 100.00
|
Aa2
|
3,153,167
|
|
1,685
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Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Federally
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No Opt. Call
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Aa2
|
2,461,987
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|
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Taxable – Direct Payment – Build America Bonds, Series 2010D, 6.574%, 7/01/45
|
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2,000
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Los Angeles Department of Water and Power, California, Water System Revenue Bonds, Tender
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No Opt. Call
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AA+
|
6,771,100
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|
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Option Bond Trust 2016-XFT906, 25.690%, 7/01/50 (IF) (4)
|
|
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|
1,500
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Metropolitan Water District of Southern California, Water Revenue Bonds, Build America Taxable
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7/19 at 100.00
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AAA
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1,633,305
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Bond Series 2009D, 6.538%, 7/01/39
|
|
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|
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1,000
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Metropolitan Water District of Southern California, Water Revenue Bonds, Build America Taxable
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7/20 at 100.00
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AAA
|
1,125,710
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|
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Series 2010A, 6.947%, 7/01/40
|
|
|
|
|
2,330
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Oakland Redevelopment Agency, California, Subordinated Housing Set Aside Revenue Bonds,
|
No Opt. Call
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AA–
|
2,476,068
|
|
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Federally Taxable Series 2011A-T, 7.500%, 9/01/19
|
|
|
|
|
4,250
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Sacramento Public Financing Authority, California, Lease Revenue Bonds, Golden 1 Center,
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No Opt. Call
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A+
|
4,814,018
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|
|
Series 2015, 5.637%, 4/01/50
|
|
|
|
|
2,390
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San Francisco City and County Public Utilities Commission, California, Water Revenue Bonds,
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No Opt. Call
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AA–
|
3,019,383
|
|
|
Build America Taxable Bonds, Series 2010B, 6.000%, 11/01/40
|
|
|
|
|
4,000
|
San Francisco City and County, California, Certificates of Participation, 525 Golden Gate
|
No Opt. Call
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AA
|
9,618,000
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|
|
Avenue, San Francisco Public Utilities Commission Office Project, Tender Option Bond
|
|
|
|
|
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2016-XFT901, 24.796%, 11/01/41 (IF) (4)
|
|
|
|
|
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Stanton Redevelopment Agency, California, Tax Allocation Bonds, Stanton Consolidated
|
|
|
|
|
|
Redevelopment Project Series 2011A:
|
|
|
|
|
275
|
6.500%, 12/01/17 (ETM)
|
No Opt. Call
|
A (5)
|
281,100
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|
295
|
6.750%, 12/01/18 (ETM)
|
No Opt. Call
|
A (5)
|
316,868
|
|
1,500
|
University of California, General Revenue Bonds, Build America Taxable Bonds, Series 2009R,
|
5/19 at 100.00
|
AA
|
1,612,605
|
|
|
6.270%, 5/15/31
|
|
|
|
|
2,505
|
University of California, General Revenue Bonds, Limited Project, Build America Taxable Bond
|
No Opt. Call
|
AA–
|
3,208,955
|
|
|
Series 2010F, 5.946%, 5/15/45
|
|
|
|
|
114,080
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Total California
|
|
|
156,899,147
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|
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Colorado – 0.7% (0.6% of Total Investments)
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|
|
|
|
3,100
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Denver School District 1, Colorado, General Obligation Bonds, Build America Taxable Bonds,
|
No Opt. Call
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AA+
|
3,838,203
|
|
|
Series 2009C, 5.664%, 12/01/33
|
|
|
|
|
|
Connecticut – 1.2% (1.0% of Total Investments)
|
|
|
|
|
6,300
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Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue
|
4/20 at 100.00
|
N/R
|
7,225,218
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|
|
Bonds, Harbor Point Project, Federally Taxable – Issuer Subsidy – Recovery Zone Economic
|
|
|
|
|
|
Development Bond Series 2010B, 12.500%, 4/01/39
|
|
|
|
|
|
District of Columbia – 0.2% (0.2% of Total Investments)
|
|
|
|
|
1,155
|
District of Columbia Water and Sewer Authority, Public Utility Revenue Bonds, Subordinate
|
No Opt. Call
|
AA+
|
1,435,838
|
|
|
Lien, Build America Taxable Bond Series 2010A, 5.522%, 10/01/44
|
|
|
|
|
|
Florida – 0.9% (0.8% of Total Investments)
|
|
|
|
|
5,000
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Florida State Board of Education, Public Education Capital Outlay Bonds, Build America Taxable
|
6/19 at 100.00
|
AAA
|
5,342,450
|
|
|
Bonds, Series 2010G, 5.750%, 6/01/35
|
|
|
|
|
|
Georgia – 5.6% (4.6% of Total Investments)
|
|
|
|
|
2,500
|
Cobb-Marietta Coliseum and Exhibit Hall Authority, Georgia, Revenue Bonds, Cobb County
|
1/26 at 100.00
|
AAA
|
2,656,950
|
|
|
Coliseum Project, Taxable Series 2015, 4.500%, 1/01/47
|
|
|
|
|
9,000
|
Georgia Municipal Electric Authority, Plant Vogtle Units 3 & 4 Project J Bonds, Taxable Build
|
No Opt. Call
|
A+
|
11,079,810
|
|
|
America Bonds Series 2010A, 6.637%, 4/01/57
|
|
|
|
|
1,120
|
Georgia Municipal Electric Authority, Plant Vogtle Units 3 & 4 Project M Bonds, Taxable Build
|
No Opt. Call
|
A+
|
1,372,112
|
|
|
America Bonds Series 2010A, 6.655%, 4/01/57
|
|
|
|
|
15,000
|
Georgia Municipal Electric Authority, Plant Vogtle Units 3 & 4 Project P Bonds, Refunding
|
No Opt. Call
|
A–
|
17,306,850
|
|
|
Taxable Build America Bonds Series 2010A, 7.055%, 4/01/57
|
|
|
|
|
27,620
|
Total Georgia
|
|
|
32,415,722
|
|
|
Illinois – 9.2% (7.6% of Total Investments)
|
|
|
|
|
865
|
Chicago Transit Authority, Illinois, Sales and Transfer Tax Receipts Revenue Bonds, Pension
|
No Opt. Call
|
AA
|
1,103,039
|
|
|
Funding Taxable Series 2008A, 6.899%, 12/01/40
|
|
|
|
|
7,735
|
Chicago Transit Authority, Illinois, Sales Tax Receipts Revenue Bonds, Federally Taxable Build
|
No Opt. Call
|
AA
|
9,316,343
|
|
|
America Bonds, Series 2010B, 6.200%, 12/01/40
|
|
|
|
|
|
Chicago, Illinois, General Airport Revenue Bonds, O'Hare International Airport, Third Lien,
|
|
|
|
|
|
Build America Taxable Bond Series 2010B:
|
|
|
|
|
10,925
|
6.845%, 1/01/38
|
1/20 at 100.00
|
A
|
12,037,821
|
|
355
|
6.395%, 1/01/40
|
No Opt. Call
|
A
|
480,865
|
|
345
|
Chicago, Illinois, Wastewater Transmission Revenue Bonds, Build America Taxable Bond Series
|
No Opt. Call
|
AA–
|
440,292
|
|
|
2010B, 6.900%, 1/01/40
|
|
|
|
|
14,000
|
Illinois State, General Obligation Bonds, Taxable Build America Bonds, Series 2010-3,
|
No Opt. Call
|
BBB
|
14,404,180
|
|
|
6.725%, 4/01/35
|
|
|
|
|
8,090
|
Illinois Toll Highway Authority, Toll Highway Revenue Bonds, Build America Taxable Bonds,
|
No Opt. Call
|
AA–
|
10,399,614
|
|
|
Senior Lien Series 2009A, 6.184%, 1/01/34
|
|
|
|
|
1,595
|
Illinois Toll Highway Authority, Toll Highway Revenue Bonds, Build America Taxable Bonds,
|
No Opt. Call
|
AA–
|
2,006,622
|
|
|
Senior Lien Series 2009B, 5.851%, 12/01/34
|
|
|
|
|
2,000
|
Lake County, Illinois, General Obligation Bonds, Series 2010A, 5.125%, 11/30/27
|
11/19 at 100.00
|
AAA
|
2,147,200
|
|
685
|
Northern Illinois Municipal Power Agency, Power Project Revenue Bonds, Prairie State Project,
|
No Opt. Call
|
A2
|
891,500
|
|
|
Build America Taxable Bond Series 2010A, 7.820%, 1/01/40
|
|
|
|
|
46,595
|
Total Illinois
|
|
|
53,227,476
|
|
|
Indiana – 2.6% (2.1% of Total Investments)
|
|
|
|
|
5,000
|
Indiana University, Consolidated Revenue Bonds, Build America Taxable Bonds, Series 2010B,
|
6/20 at 100.00
|
AAA
|
5,403,100
|
|
|
5.636%, 6/01/35
|
|
|
|
|
5,000
|
Indianapolis Local Public Improvement Bond Bank, Indiana, Build America Bonds, Series 2010A-2,
|
No Opt. Call
|
Aa1
|
6,387,100
|
|
|
6.004%, 1/15/40
|
|
|
|
|
2,390
|
Indianapolis Local Public Improvement Bond Bank, Indiana, Build America Taxable Bonds, Series
|
No Opt. Call
|
AA
|
3,085,203
|
|
|
2010B-2, 6.116%, 1/15/40
|
|
|
|
|
12,390
|
Total Indiana
|
|
|
14,875,403
|
|
|
Kentucky – 1.7% (1.4% of Total Investments)
|
|
|
|
|
5,000
|
Kentucky Municipal Power Agency, Power System Revenue Bonds, Prairie State Project, Tender
|
9/20 at 100.00
|
AA
|
7,183,750
|
|
|
Option Bond Trust 2016-XFT902, 24.649%, 9/01/37 – AGC Insured (IF) (4)
|
|
|
|
|
1,950
|
Louisville and Jefferson County Metropolitan Sewer District, Kentucky, Sewer and Drainage
|
No Opt. Call
|
AA
|
2,614,151
|
|
|
System Revenue Bonds, Build America Taxable Bonds Series 2010A, 6.250%, 5/15/43
|
|
|
|
|
6,950
|
Total Kentucky
|
|
|
9,797,901
|
|
|
Louisiana – 3.8% (3.2% of Total Investments)
|
|
|
|
|
20,350
|
East Baton Rouge Sewerage Commission, Louisiana, Revenue Bonds, Series 2010,
|
2/20 at 100.00
|
AA
|
22,109,868
|
|
|
6.087%, 2/01/45 (UB) (4)
|
|
|
|
|
|
Massachusetts – 0.9% (0.7% of Total Investments)
|
|
|
|
|
2,000
|
Massachusetts, Transportation Fund Revenue Bonds, Accelerated Bridge Program, Tender Option
|
No Opt. Call
|
AAA
|
4,967,300
|
|
|
Bond Trust 2016-XFT907, 21.010%, 6/01/40 (IF) (4)
|
|
|
|
|
|
Michigan – 1.0% (0.9% of Total Investments)
|
|
|
|
|
6,070
|
Michigan Tobacco Settlement Finance Authority, Tobacco Settlement Asset-Backed Revenue Bonds,
|
6/22 at 100.00
|
B–
|
5,972,455
|
|
|
Taxable Turbo Series 2006A, 7.309%, 6/01/34
|
|
|
|
|
|
Missouri – 0.3% (0.2% of Total Investments)
|
|
|
|
|
1,290
|
Curators of the University of Missouri, System Facilities Revenue Bonds, Build America Taxable
|
No Opt. Call
|
AA+
|
1,649,394
|
|
|
Bonds, Series 2009A, 5.960%, 11/01/39
|
|
|
|
|
|
Nevada – 5.4% (4.5% of Total Investments)
|
|
|
|
|
13,890
|
Clark County, Nevada, Airport Revenue Bonds, Senior Lien Series 2009B, 6.881%, 7/01/42
|
7/19 at 100.00
|
Aa2
|
15,216,356
|
|
10,150
|
Clark County, Nevada, Airport Revenue Bonds, Taxable Direct Payment Build America Bond Series
|
No Opt. Call
|
Aa2
|
14,807,125
|
|
|
2010C, 6.820%, 7/01/45
|
|
|
|
|
1,315
|
Las Vegas, Nevada, Certificates of Participation, City Hall Project, Build America Federally
|
9/19 at 100.00
|
AA– (5)
|
1,473,615
|
|
|
Taxable Bonds, Series 2009B, 7.800%, 9/01/39 (Pre-refunded 9/01/19)
|
|
|
|
|
25,355
|
Total Nevada
|
|
|
31,497,096
|
|
|
New Jersey – 4.3% (3.6% of Total Investments)
|
|
|
|
|
2,500
|
New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Build America
|
6/19 at 100.00
|
A–
|
2,633,300
|
|
|
Bonds Issuer Subsidy Program, Series 2009B, 6.875%, 12/15/39
|
|
|
|
|
130
|
New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Build America
|
12/20 at 100.00
|
A–
|
136,267
|
|
|
Bonds Issuer Subsidy Program, Series 2010C, 6.104%, 12/15/28
|
|
|
|
|
4,190
|
New Jersey Turnpike Authority, Revenue Bonds, Build America Taxable Bonds, Series 2009F,
|
No Opt. Call
|
A+
|
6,308,087
|
|
|
7.414%, 1/01/40
|
|
|
|
|
10,910
|
New Jersey Turnpike Authority, Revenue Bonds, Build America Taxable Bonds, Series 2010A,
|
No Opt. Call
|
A+
|
15,941,692
|
|
|
7.102%, 1/01/41
|
|
|
|
|
17,730
|
Total New Jersey
|
|
|
25,019,346
|
|
|
New York – 17.5% (14.6% of Total Investments)
|
|
|
|
|
25,000
|
Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, Series
|
No Opt. Call
|
AAA
|
31,587,750
|
|
|
2010, 5.600%, 3/15/40 (UB) (4)
|
|
|
|
|
5,100
|
Long Island Power Authority, New York, Electric System Revenue Bonds, Build America Taxable
|
No Opt. Call
|
A–
|
6,239,850
|
|
|
Bond Series 2010B, 5.850%, 5/01/41
|
|
|
|
|
7,965
|
Metropolitan Transportation Authority, New York, Dedicated Tax Fund Bonds, Build America
|
No Opt. Call
|
AA
|
12,089,118
|
|
|
Taxable Bonds, Series 2010C, 7.336%, 11/15/39
|
|
|
|
|
14,000
|
New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue
|
12/20 at 100.00
|
AA+
|
15,733,620
|
|
|
Bonds, Second Generation Resolution, Build America Taxable Bonds, Fiscal 2011 Series 2010CC,
|
|
|
|
|
|
6.282%, 6/15/42
|
|
|
|
|
1,000
|
New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue
|
6/20 at 100.00
|
AA+
|
1,094,890
|
|
|
Bonds, Second Generation Resolution, Build America Taxable Bonds, Fiscal 2011 Series AA,
|
|
|
|
|
|
5.790%, 6/15/41
|
|
|
|
|
2,595
|
New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue
|
No Opt. Call
|
AA+
|
3,517,367
|
|
|
Bonds, Second Generation Resolution, Build America Taxable Bonds, Series 2010DD,
|
|
|
|
|
|
5.952%, 6/15/42
|
|
|
|
|
|
New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue
|
|
|
|
|
|
Bonds, Second Generation Resolution,
|
|
|
|
|
2,025
|
New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue
|
No Opt. Call
|
AA+
|
2,744,766
|
|
|
Bonds, Second Generation Resolution, Series 2010DD, 5.952%, 6/15/42 (UB)
|
|
|
|
|
1,595
|
New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue
|
No Opt. Call
|
AA+
|
4,435,296
|
|
|
Bonds, Second Generation Resolution, Taxable Tender Option Bonds Trust 2016-XFT908,
|
|
|
|
|
|
22.408%, 6/15/44 (IF)
|
|
|
|
|
6,690
|
New York City Transitional Finance Authority, New York, Building Aid Revenue Bonds, Build
|
No Opt. Call
|
AA
|
8,953,227
|
|
|
America Taxable Bond Fiscal 2011 Series 2010S-1B, 6.828%, 7/15/40
|
|
|
|
|
10,000
|
New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Build
|
No Opt. Call
|
AAA
|
12,529,200
|
|
|
America Taxable Bonds, Series 2010G-1, 5.467%, 5/01/40 (4)
|
|
|
|
|
3,000
|
New York Transportation Development Corporation, Special Facilities Bonds, LaGuardia Airport
|
No Opt. Call
|
BBB
|
2,906,340
|
|
|
Terminal B Redevelopment Project, Taxable Series 2016B, 3.673%, 7/01/30
|
|
|
|
|
78,970
|
Total New York
|
|
|
101,831,424
|
|
|
North Carolina – 1.9% (1.5% of Total Investments)
|
|
|
|
|
10,100
|
North Carolina Turnpike Authority, Triangle Expressway System State Annual Appropriation
|
1/19 at 100.00
|
AA
|
10,756,702
|
|
|
Revenue Bonds, Federally Taxable Issuer Subsidy Build America Bonds, Series 2009B,
|
|
|
|
|
|
6.700%, 1/01/39
|
|
|
|
|
|
Ohio – 7.8% (6.5% of Total Investments)
|
|
|
|
|
10,700
|
American Municipal Power Inc., Ohio, Combined Hydroelectric Projects Revenue Bonds, Build
|
No Opt. Call
|
A
|
15,873,450
|
|
|
America Bond Series 2010B, 7.834%, 2/15/41
|
|
|
|
|
4,000
|
American Municipal Power Ohio Inc., Prairie State Energy Campus Project Revenue Bonds, Build
|
No Opt. Call
|
A1
|
4,991,720
|
|
|
America Bond Series 2009C, 6.053%, 2/15/43
|
|
|
|
|
25
|
Jobs Ohio Beverage System, Ohio, Statewide Liquor Profits Revenue Bonds, Senior Lien Taxable
|
No Opt. Call
|
AA
|
27,644
|
|
|
Series 2013B, 4.532%, 1/01/35
|
|
|
|
|
15,500
|
Northeast Ohio Regional Sewer District, Wastewater Improvement Revenue Bonds, Build America
|
11/20 at 100.00
|
AA+
|
17,279,710
|
|
|
Taxable Bonds, Series 2010, 6.038%, 11/15/40
|
|
|
|
|
7,500
|
Port of Greater Cincinnati Development Authority, Ohio, Special Obligation TIF Revenue Bonds,
|
1/26 at 100.00
|
N/R
|
7,298,775
|
|
|
Cooperative Township Public Parking, Kenwood Collection Redevelopment, Senior Lien
|
|
|
|
|
|
Series 2016A, 6.600%, 1/01/39
|
|
|
|
|
37,725
|
Total Ohio
|
|
|
45,471,299
|
|
|
Oregon – 2.5% (2.1% of Total Investments)
|
|
|
|
|
4,000
|
Oregon Department of Administrative Services, Certificates of Participation, Federally Taxable
|
5/20 at 100.00
|
AA
|
6,021,999
|
|
|
Build America Bonds, Tender Option Bond Trust 2016-TXG001, 22.325%, 5/01/35 (IF) (4)
|
|
|
|
|
8,030
|
Warm Springs Reservation Confederated Tribes, Oregon, Tribal Economic Development Bonds,
|
No Opt. Call
|
A3
|
8,592,374
|
|
|
Hydroelectric Revenue Bonds, Pelton Round Butte Project, Refunding Series 2009A,
|
|
|
|
|
|
8.250%, 11/01/19
|
|
|
|
|
12,030
|
Total Oregon
|
|
|
14,614,373
|
|
|
Pennsylvania – 1.4% (1.1% of Total Investments)
|
|
|
|
|
|
Commonwealth Financing Authority, Pennsylvania, State Appropriation Lease Bonds, Build America
|
|
|
|
|
|
Taxable Bonds, Series 2009D:
|
|
|
|
|
1,225
|
5.653%, 6/01/24
|
No Opt. Call
|
A+
|
1,374,119
|
|
1,915
|
6.218%, 6/01/39
|
No Opt. Call
|
A+
|
2,437,987
|
|
2,000
|
Pennsylvania State, General Obligation Bonds, Build America Taxable Bonds, Third Series 2010B,
|
7/20 at 100.00
|
Aa3
|
2,182,760
|
|
|
5.850%, 7/15/30
|
|
|
|
|
1,535
|
Pennsylvania Turnpike Commission, Turnpike Revenue Bonds, Build America Taxable Bonds, Series
|
No Opt. Call
|
A1
|
2,002,346
|
|
|
2009A, 6.105%, 12/01/39
|
|
|
|
|
6,675
|
Total Pennsylvania
|
|
|
7,997,212
|
|
|
South Carolina – 0.5% (0.4% of Total Investments)
|
|
|
|
|
55
|
South Carolina Public Service Authority, Electric System Revenue Bonds, Santee Cooper,
|
No Opt. Call
|
A+
|
106,178
|
|
|
Federally Taxable Build America Tender Option Bond Trust 2016-XFT909, 23.190%, 1/01/50 (IF)
|
|
|
|
|
2,245
|
South Carolina Public Service Authority, Electric System Revenue Bonds, Santee Cooper,
|
No Opt. Call
|
A+
|
2,662,795
|
|
|
Federally Taxable Build America Series 2010C, 6.454%, 1/01/50 (UB)
|
|
|
|
|
2,300
|
Total South Carolina
|
|
|
2,768,973
|
|
|
Tennessee – 1.9% (1.6% of Total Investments)
|
|
|
|
|
5,000
|
Metropolitan Government Nashville & Davidson County Convention Center Authority, Tennessee,
|
No Opt. Call
|
A1
|
6,758,600
|
|
|
Tourism Tax Revenue Bonds, Build America Taxable Bonds, Series 2010A-2, 7.431%, 7/01/43
|
|
|
|
|
3,290
|
Metropolitan Government Nashville & Davidson County Convention Center Authority, Tennessee,
|
No Opt. Call
|
Aa3
|
4,416,595
|
|
|
Tourism Tax Revenue Bonds, Build America Taxable Bonds, Subordinate Lien Series 2010B,
|
|
|
|
|
|
6.731%, 7/01/43
|
|
|
|
|
8,290
|
Total Tennessee
|
|
|
11,175,195
|
|
|
Texas – 10.8% (9.0% of Total Investments)
|
|
|
|
|
1,000
|
Bexar County Hospital District, Texas, Certificates of Obligation, Taxable Build America Bond
|
2/19 at 100.00
|
AA+
|
1,071,990
|
|
|
Series 2009B, 6.904%, 2/15/39
|
|
|
|
|
9,280
|
Dallas Convention Center Hotel Development Corporation, Texas, Hotel Revenue Bonds, Build
|
No Opt. Call
|
A–
|
12,382,861
|
|
|
America Taxable Bonds, Series 09B, 7.088%, 1/01/42
|
|
|
|
|
2,200
|
Dallas Independent School District, Dallas County, Texas, General Obligation Bonds, School
|
2/21 at 100.00
|
AAA
|
2,509,474
|
|
|
Building, Build America Taxable Bond Series 2010C, 6.450%, 2/15/35
|
|
|
|
|
3,250
|
Houston, Texas, General Obligation Bonds, Public Improvement, Build America Bond Series 2010B,
|
3/20 at 100.00
|
AA
|
3,564,925
|
|
|
6.319%, 3/01/30
|
|
|
|
|
10,785
|
North Texas Tollway Authority, System Revenue Bonds, Taxable Build America Bond Series 2009B,
|
No Opt. Call
|
A1
|
15,763,572
|
|
|
6.718%, 1/01/49
|
|
|
|
|
10,220
|
North Texas Tollway Authority, System Revenue Bonds, Taxable Build America Bonds, Series
|
2/20 at 100.00
|
Baa2
|
11,732,049
|
|
|
2010-B2, 8.910%, 2/01/30
|
|
|
|
|
1,000
|
San Antonio, Texas, Electric and Gas System Revenue Bonds, Junior Lien, Build America Taxable
|
No Opt. Call
|
AA+
|
1,281,360
|
|
|
Bond Series 2010A, 5.808%, 2/01/41
|
|
|
|
|
10
|
San Antonio, Texas, Electric and Gas System Revenue Bonds, Series 2012, 4.427%, 2/01/42
|
No Opt. Call
|
Aa1
|
10,954
|
|
5,000
|
San Antonio, Texas, General Obligation Bonds, Build America Taxable Bonds, Series 2010B,
|
8/20 at 100.00
|
AAA
|
5,526,850
|
|
|
6.038%, 8/01/40
|
|
|
|
|
7,015
|
Texas State, General Obligation Bonds, Transportation Commission, Build America Taxable Bonds,
|
No Opt. Call
|
AAA
|
9,157,872
|
|
|
Series 2009A, 5.517%, 4/01/39
|
|
|
|
|
49,760
|
Total Texas
|
|
|
63,001,907
|
|
|
Utah – 0.9% (0.8% of Total Investments)
|
|
|
|
|
4,000
|
Central Utah Water Conservancy District, Utah, Revenue Bonds, Federally Taxable Build America
|
4/20 at 100.00
|
AA+
|
4,300,440
|
|
|
Bonds, Series 2010A, 5.700%, 10/01/40
|
|
|
|
|
1,000
|
Tooele County Municipal Building Authority, Utah, Lease Revenue Bonds, Build America Bond
|
12/20 at 100.00
|
A+
|
1,105,180
|
|
|
Series 2010A-2, 8.000%, 12/15/32
|
|
|
|
|
5,000
|
Total Utah
|
|
|
5,405,620
|
|
|
Virginia – 4.3% (3.6% of Total Investments)
|
|
|
|
|
|
Metropolitan Washington Airports Authority, Virginia, Dulles Toll Road Second Senior Lien
|
|
|
|
|
|
Revenue Bonds, Build America Bonds, Series 2009D:
|
|
|
|
|
1,000
|
7.462%, 10/01/46 – AGM Insured
|
No Opt. Call
|
AA
|
1,511,200
|
|
11,930
|
7.462%, 10/01/46 – AGC Insured
|
No Opt. Call
|
BBB+
|
17,435,456
|
|
7,125
|
Tobacco Settlement Financing Corporation of Virginia, Tobacco Settlement Asset Backed Bonds,
|
9/17 at 100.00
|
B–
|
6,240,930
|
|
|
Refunding Senior Lien Series 2007A, 6.706%, 6/01/46
|
|
|
|
|
20,055
|
Total Virginia
|
|
|
25,187,586
|
|
|
Washington – 3.8% (3.2% of Total Investments)
|
|
|
|
|
4,000
|
Seattle, Washington, Municipal Light and Power Revenue Bonds, Federally Taxable Build America
|
No Opt. Call
|
AA
|
7,651,200
|
|
|
Bonds, Tender Option Bond Trust 2016-XFT905, 20.284%, 2/01/40 (IF) (4)
|
|
|
|
|
11,090
|
Washington State Convention Center Public Facilities District, Lodging Tax Revenue Bonds,
|
No Opt. Call
|
Aa3
|
14,400,254
|
|
|
Build America Taxable Bond Series 2010B, 6.790%, 7/01/40
|
|
|
|
|
15,090
|
Total Washington
|
|
|
22,051,454
|
|
|
West Virginia – 0.6% (0.5% of Total Investments)
|
|
|
|
|
3,730
|
Tobacco Settlement Finance Authority, West Virginia, Tobacco Settlement Asset-Backed Bonds,
|
6/25 at 100.00
|
B2
|
3,609,111
|
|
|
Taxable Turbo Series 2007A, 7.467%, 6/01/47
|
|
|
|
|
$ 550,710
|
Total Municipal Bonds (cost $601,812,945)
|
|
|
695,725,523
|
Principal
|
|
|
|
|
|
|
Amount (000)
|
Description (1)
|
Coupon
|
Maturity
|
Ratings (3)
|
Value
|
|
|
CORPORATE BONDS – 0.5% (0.4% of Total Investments)
|
|
|
|
|
|
|
Diversified Consumer Services – 0.5% (0.4% of Total Investments)
|
|
|
|
|
|
$ 3,015
|
BCOM Investment Partners LLC, Taxable Notes, Burrell College of Osteopathic Medicine,
|
7.500%
|
9/01/45
|
N/R
|
$ 3,068,459
|
|
|
Series 2015, 144A
|
|
|
|
|
|
$ 3,015
|
Total Corporate Bonds (cost $3,015,000)
|
|
|
|
3,068,459
|
|
|
Total Long-Term Investments (cost $604,827,945)
|
|
|
|
698,793,982
|
|
|
||||||
Principal
|
|
|
|
|
|
|
Amount (000)
|
Description (1)
|
Coupon
|
Maturity
|
|
Value
|
|
|
SHORT-TERM INVESTMENTS - 0.1% (0.1% of Total Investments)
|
|
|
|
|
|
|
REPURCHASE AGREEMENTS - 0.1% (0.1% of Total Investments)
|
|
|
|
|
|
$ 742
|
Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/17,
|
0.120%
|
7/03/17
|
|
$ 742,060
|
|
|
repurchase price $742,067, collateralized by $775,000 U.S. Treasury Notes,
|
|
|
|
|
|
|
2.000%, 11/15/26, value $759,863
|
|
|
|
|
|
|
Total Short-Term Investments (cost $742,060)
|
|
|
|
742,060
|
|
|
Total Investments (cost $605,570,005) – 120.3%
|
|
|
|
699,536,042
|
|
|
Borrowings – (15.5)% (6), (7)
|
|
|
|
(90,175,000)
|
|
|
Floating Rate Obligations – (8.2)%
|
|
|
|
(47,700,000)
|
|
|
Other Assets Less Liabilities – 3.4% (8)
|
|
|
|
19,826,223
|
|
|
Net Assets Applicable to Common Shares – 100%
|
|
|
|
$ 581,487,265
|
Investments In Derivatives as of June 30, 2017
|
|
|
|
|
|
|
|
|||
Interest Rate Swaps (OTC Uncleared)
|
|
|
|
|
|
|
|
|
||
|
|
Fund
|
|
|
Fixed Rate
|
|
Optional
|
|
|
Unrealized
|
|
Notional
|
Pay/Receive
|
Floating Rate
|
Fixed Rate
|
Payment
|
Effective
|
Termination
|
Termination
|
|
Appreciation
|
Counterparty
|
Amount
|
Floating Rate
|
Index
|
(Annualized)
|
Frequency
|
Date (9)
|
Date
|
Date
|
Value
|
(Depreciation)
|
Morgan Stanley
|
|
|
|
|
|
|
|
|
|
|
Capital Services
|
1-Month USD- | |||||||||
LLC
|
$121,000,000
|
Receive
|
LIBOR-ICE
|
1.500%
|
Monthly
|
7/03/17
|
12/01/17
|
12/01/19
|
$(128,052)
|
$(1,959,052)
|
Interest Rate Swaps (OTC Cleared)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Variation
|
|
|
|
Fund
|
|
|
Fixed Rate
|
|
Optional
|
|
Margin
|
Unrealized
|
|
Notional
|
Pay/Receive
|
Floating Rate
|
Fixed Rate
|
Payment
|
Effective
|
Termination
|
Termination
|
Receivable/
|
Appreciation
|
Clearing Broker
|
Amount
|
Floating Rate
|
Index
|
(Annualized)
|
Frequency
|
Date (9)
|
Date
|
Date
|
(Payable) (Depreciation)
|
|
Citigroup Global
|
|
|
3-Month USD-
|
|
|
|
|
|
|
|
Markets Inc.*
|
$47,500,000
|
Receive
|
LIBOR-ICE
|
2.769%
|
Semi-Annually
|
1/10/18
|
N/A
|
1/10/40
|
$267,874
|
$(1,828,599)
|
Citigroup Global
|
|
|
3-Month USD- |
|
|
|
|
|
|
|
Markets Inc.*
|
19,100,000
|
Receive
|
LIBOR-ICE
|
1.731
|
Semi-Annually
|
8/11/17
|
N/A
|
8/11/46
|
100,962
|
3,285,826
|
Citigroup Global
|
|
|
3-Month USD- |
|
|
|
|
|
|
|
Markets Inc.*
|
15,500,000
|
Receive
|
LIBOR-ICE
|
1.775
|
Semi-Annually
|
8/25/17
|
7/06/26 (10)
|
8/25/46
|
82,489
|
2,525,676
|
|
$82,100,000
|
|
|
|
|
|
|
|
$451,325
|
$3,982,903
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Long-Term Investments:
|
|
|
|
|
Municipal Bonds
|
$ —
|
$695,725,523
|
$ —
|
$695,725,523
|
Corporate Bonds
|
—
|
3,068,459
|
—
|
3,068,459
|
Short-Term Investments:
|
|
|
|
|
Repurchase Agreements
|
—
|
742,060
|
—
|
742,060
|
Investments in Derivatives:
|
|
|
|
|
Interest Rate Swaps*
|
—
|
2,023,851
|
—
|
2,023,851
|
Total
|
$ —
|
$701,559,893
|
$ —
|
$701,559,893
|
Gross unrealized:
|
|
Appreciation
|
$92,432,722
|
Depreciation
|
(2,731,179)
|
Net unrealized appreciation (depreciation) of investments
|
$89,701,543
|
(1)
|
All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares
|
|
|
unless otherwise noted.
|
|
(2)
|
Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There
|
|
|
may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be
|
|
|
subject to periodic principal paydowns.
|
|
(3)
|
For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor's Group
|
|
|
("Standard & Poor's"), Moody's Investors Service, Inc. ("Moody's") or Fitch, Inc. ("Fitch") rating. This
|
|
|
treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment
|
|
|
policies. Ratings below BBB by Standard & Poor's, Baa by Moody's or BBB by Fitch are considered to be
|
|
|
below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
|
|
(4)
|
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for
|
|
|
investments in derivatives and/or inverse floating rate transactions.
|
|
(5)
|
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities,
|
|
|
which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or
|
|
|
agency securities are regarded as having an implied rating equal to the rating of such securities.
|
|
(6)
|
Borrowings as a percentage of Total Investments is 12.9%.
|
|
(7)
|
The Fund may pledge up to 100% of its eligible investments (excluding any investments separately pledged
|
|
|
as collateral for specific investments in derivatives, when applicable) as collateral for borrowings.
|
|
(8)
|
Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter
|
|
|
("OTC") derivatives as well as the unrealized appreciation (depreciation) of OTC-cleared and exchange-traded
|
|
|
derivatives, when applicable.
|
|
(9)
|
Effective date represents the date on which both the Fund and counterparty commence interest payment
|
|
|
accruals on each contract.
|
|
(10)
|
This interest rate swap has an optional early termination date beginning on July 6, 2026 and every five
|
|
|
years thereafter through the termination date as specified in the swap contract.
|
|
(ETM)
|
Escrowed to maturity.
|
|
(IF)
|
Inverse floating rate investment.
|
|
(UB)
|
Underlying bond of an inverse floating rate trust reflected as a financing transaction.
|
|
144A
|
Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These
|
|
|
investments may only be resold in transactions exempt from registration, which are normally those
|
|
|
transactions with qualified institutional buyers.
|
|
N/A
|
Not applicable.
|
|
USD-LIBOR-ICE
|
United States Dollar-London Inter-Bank Offered Rate-Intercontinental Exchange
|
a.
|
The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).
|
b.
|
There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) 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.
|
By (Signature and Title) | /s/ Gifford R. Zimmerman |
Gifford R. Zimmerman
Vice President and Secretary
|
By (Signature and Title) | /s/ Cedric H. Antosiewicz |
Cedric H. Antosiewicz
Chief Administrative Officer (principal executive officer)
|
By (Signature and Title) | /s/ Stephen D. Foy |
Stephen D. Foy
Vice President and Controller (principal financial officer)
|