OMB APPROVAL |
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OMB Number: 3235-0578 |
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Expires: April 30, 2013 |
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Estimated average burden hours per response: 5.6 |
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Item 1. Schedule of Investments | ||||||||
Item 2. Controls and Procedures | ||||||||
Item 3. Exhibits | ||||||||
SIGNATURES | ||||||||
EXHIBIT INDEX |
Principal | ||||||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||||||
Rate | Date | (000) | Value | |||||||||||||||||
Municipal Obligations (147.8%) |
||||||||||||||||||||
Arizona (2.2%) |
||||||||||||||||||||
Arizona State University, Research
Infrastructure Projects (COP) (AMBAC Insd) (a) |
5.00 | % | 09/01/30 | $ | 2,000 | $ | 2,008,340 | |||||||||||||
Glendale Industrial Development Authority,
Midwestern University, Ser 2010 |
5.00 | 05/15/35 | 350 | 348,989 | ||||||||||||||||
Glendale Industrial Development Authority,
Midwestern University, Ser 2010 |
5.125 | 05/15/40 | 350 | 351,712 | ||||||||||||||||
Maricopa County Pollution Control, Arizona Public
Service Co., Ser 2009 A |
6.00 | 05/01/29 | 550 | 592,388 | ||||||||||||||||
Phoenix Civic Improvement Corp., Jr Lien Wastewater
Ser 2004 (NATL-RE Insd) (a) |
5.00 | 07/01/27 | 1,000 | 1,042,550 | ||||||||||||||||
State of Arizona, Ser 2008 A (COP) (AGM Insd) (a) |
5.00 | 09/01/27 | 1,305 | 1,341,005 | ||||||||||||||||
5,684,984 | ||||||||||||||||||||
California (25.5%) |
||||||||||||||||||||
Alameda County Joint Powers Authority, Ser 2008
(AGM Insd) (a) |
5.00 | 12/01/24 | 1,205 | 1,268,757 | ||||||||||||||||
Alhambra Unified School District, Ser 2009 B (AGC
Insd) (a)(b) |
0.00 | 08/01/35 | 1,355 | 285,268 | ||||||||||||||||
Alhambra Unified School District, Ser 2009 B (AGC
Insd) (a)(b) |
0.00 | 08/01/36 | 2,190 | 431,014 | ||||||||||||||||
Alvord Unified School District, Election of 2007 Ser
2007 A (AGM Insd) (a) |
5.00 | 08/01/27 | 945 | 997,249 | ||||||||||||||||
Anaheim Public Financing Authority, Electric Ser
2007-A (NATL-RE Insd) (a)(c) |
4.50 | 10/01/37 | 16,000 | 15,347,680 | ||||||||||||||||
Beverly Hills Unified School District, Election of
2008 Ser 2009 (b) |
0.00 | 08/01/26 | 960 | 440,342 | ||||||||||||||||
Beverly Hills Unified School District, Election of
2008 Ser 2009 (b) |
0.00 | 08/01/31 | 1,850 | 619,176 | ||||||||||||||||
California Health Facilities Financing Authority,
Scripps Memorial Hospital Ser 2010 A |
5.00 | 11/15/36 | 1,700 | 1,709,928 | ||||||||||||||||
California State Department of Water Resources,
Power Supply Ser 2008 H (AGM Insd) (a) |
5.00 | 05/01/22 | 2,500 | 2,765,625 | ||||||||||||||||
City & County of San Francisco, City Buildings Ser
2007 A (COP) (NATL-RE & FGIC Insd) (a) |
4.50 | 09/01/37 | 2,000 | 1,870,700 | ||||||||||||||||
City & County of San Francisco, Laguna Ref Ser R-3
(AGC Insd) (a)(c) |
5.00 | 06/15/28 | 1,000 | 1,042,050 | ||||||||||||||||
City of Los Angeles, Ser 2004 A (NATL-RE Insd) (a) |
5.00 | 09/01/24 | 3,000 | 3,236,820 | ||||||||||||||||
Clovis Unified School District, Election of 2004 Ser
A (NATL-RE & FGIC Insd) (a)(b) |
0.00 | 08/01/29 | 480 | 159,874 | ||||||||||||||||
Dry Creek Joint Elementary School District, Election
2008 Ser 2009 E (b) |
0.00 | 08/01/44 | 1,090 | 118,254 | ||||||||||||||||
Dry Creek Joint Elementary School District, Election
2008 Ser 2009 E (b) |
0.00 | 08/01/45 | 6,270 | 637,220 | ||||||||||||||||
Dry Creek Joint Elementary School District, Election
2008 Ser 2009 E (b) |
0.00 | 08/01/48 | 4,610 | 381,477 | ||||||||||||||||
Eastern Municipal Water District, Water & Sewer Ref,
Ser 2006 A (COP) (NATL-RE Insd) (a) |
5.00 | 07/01/32 | 4,000 | 4,125,840 | ||||||||||||||||
El Segundo Unified School District, Election of 2008
Ser 2009 A (b) |
0.00 | 08/01/32 | 2,705 | 714,959 | ||||||||||||||||
Fontana Unified School District, Ser B (AGM Insd)
(a)(b) |
0.00 | 08/01/30 | 4,530 | 1,359,136 | ||||||||||||||||
Golden State Tobacco Securitization Corp., Enhanced
Asset Backed Ser 2005 A (FGIC Insd) (a) |
5.00 | 06/01/38 | 6,000 | 5,598,780 | ||||||||||||||||
Kern County Board of Education, Ref Ser 2006 A (COP)
(NATL-RE Insd) (a) |
5.00 | 06/01/31 | 2,000 | 2,002,880 | ||||||||||||||||
Menifee Union School District, Election of 2008 Ser
C (AGC Insd) (a)(b) |
0.00 | 08/01/37 | 1,450 | 269,497 | ||||||||||||||||
Moreland School District, Ser 2014 C (AMBAC Insd)
(a)(b) |
0.00 | 08/01/29 | 1,505 | 461,177 | ||||||||||||||||
Oak Grove School District, Election 2008 Ser A (b) |
0.00 | 08/01/28 | 1,080 | 376,499 | ||||||||||||||||
Oakland Joint Powers Financing Authority, Oakland
Administration Buildings Ser 2008 B (AGC Insd) (a) |
5.00 | 08/01/25 | 500 | 524,695 |
Principal | ||||||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||||||
Rate | Date | (000) | Value | |||||||||||||||||
Oakland Joint Powers Financing Authority, Oakland
Administration Buildings, Ser 2008 B (AGC Insd) (a) |
5.00 | % | 08/01/23 | $ | 725 | $ | 767,768 | |||||||||||||
Patterson Joint Unified School District, 2008
Election Ser 2009 B (AGM Insd) (a)(b) |
0.00 | 08/01/47 | 5,700 | 505,419 | ||||||||||||||||
Patterson Joint Unified School District, 2008
Election Ser 2009 B (AGM Insd) (a)(b) |
0.00 | 08/01/48 | 7,670 | 634,692 | ||||||||||||||||
Patterson Joint Unified School District, Election of
2008 Ser 2009 B (AGM Insd) (a)(b) |
0.00 | 03/01/49 | 4,240 | 336,910 | ||||||||||||||||
Port of Oakland, Ser 2002 L (AMT) (NATL-RE & FGIC
Insd) (a)(d) |
5.00 | 11/01/12 | 110 | 121,286 | ||||||||||||||||
Port of Oakland, Ser 2002 L (AMT) (NATL-RE & FGIC
Insd) (a) |
5.00 | 11/01/21 | 890 | 900,173 | ||||||||||||||||
Poway Unified School District, School Facilities
Improvement District No. 07-1, 2008 Election Ser A
(b) |
0.00 | 08/01/28 | 3,210 | 1,140,770 | ||||||||||||||||
Poway Unified School District, School Facilities
Improvement District No. 07-1, 2008 Election Ser A
(b) |
0.00 | 08/01/31 | 3,470 | 1,010,742 | ||||||||||||||||
San Diego County Water Authority, Ser 2004 A (COP)
(AGM Insd) (a)(c) |
5.00 | 05/01/29 | 5,000 | 5,174,750 | ||||||||||||||||
University of California, Limited Projects Ser 2005
B (AGM Insd) (a) |
5.00 | 05/15/30 | 1,000 | 1,029,300 | ||||||||||||||||
University of California, Ser 2007-J (AGM Insd)
(a)(c) |
4.50 | 05/15/31 | 3,310 | 3,332,475 | ||||||||||||||||
University of California, Ser 2007-J (AGM Insd)
(a)(c) |
4.50 | 05/15/35 | 2,690 | 2,640,558 | ||||||||||||||||
64,339,740 | ||||||||||||||||||||
Colorado (3.3%) |
||||||||||||||||||||
Arkansas River Power Authority, Power Ser 2006
(XLCA Insd) (a) |
5.25 | 10/01/40 | 2,000 | 1,843,980 | ||||||||||||||||
City & County of Denver, Airport Ref Ser 2000 A
(AMT) (AMBAC Insd) (a) |
6.00 | 11/15/18 | 5,000 | 5,064,600 | ||||||||||||||||
Denver Convention Center Hotel Authority, Ref Ser
2006 (XLCA Insd) (a) |
5.00 | 12/01/35 | 1,500 | 1,309,305 | ||||||||||||||||
8,217,885 | ||||||||||||||||||||
Connecticut (0.5%) |
||||||||||||||||||||
Connecticut State Health & Educational Facility
Authority, Quinnipiac University Ser K-1 (NATL-RE
Insd) (a) |
5.00 | 07/01/27 | 1,225 | 1,284,094 | ||||||||||||||||
District of Columbia (6.4%) |
||||||||||||||||||||
District of Columbia, Income Tax, Ser 2009 A (c) |
5.25 | 12/01/27 | 2,100 | 2,364,600 | ||||||||||||||||
District of Columbia, Ser 2008 E (BHAC Insd) (a)(c) |
5.00 | 06/01/27 | 8,000 | 8,525,060 | ||||||||||||||||
District of Columbia Ballpark, Ser 2006 B-1 (NATL-RE
& FGIC Insd) (a) |
5.00 | 02/01/31 | 4,000 | 4,001,880 | ||||||||||||||||
District of Columbia Water & Sewer Authority, Ref
Sub-Lien Ser 2008 A (AGC Insd) (a) |
5.00 | 10/01/28 | 500 | 535,245 | ||||||||||||||||
District of Columbia Water & Sewer Authority, Ref
Sub-Lien Ser 2008 A (AGC Insd) (a) |
5.00 | 10/01/29 | 625 | 665,469 | ||||||||||||||||
16,092,254 | ||||||||||||||||||||
Florida (9.7%) |
||||||||||||||||||||
Citizens Property Insurance Corp., High Risk Ser
A-1 |
5.00 | 06/01/14 | 2,200 | 2,338,688 | ||||||||||||||||
City of Port St Lucie, Utility System Refg Ser 2009
(AGC Insd) (a) |
5.00 | 09/01/29 | 1,000 | 1,027,400 | ||||||||||||||||
County of Miami-Dade, Building Better Communities
Program Ser 2009 B-1 |
6.00 | 07/01/38 | 1,000 | 1,119,810 | ||||||||||||||||
County of Miami-Dade, Miami Intl Airport Ref Ser
2003 B (AMT) (NATL-RE Insd) (a) |
5.25 | 10/01/18 | 2,155 | 2,237,235 | ||||||||||||||||
County of Miami-Dade, Miami Intl Airport Ref Ser
2003 B (AMT) (NATL-RE Insd) (a) |
5.25 | 10/01/19 | 2,270 | 2,344,184 | ||||||||||||||||
County of Miami-Dade, Water & Sewer (AGM Insd) (a) |
5.00 | 10/01/39 | 1,600 | 1,650,768 | ||||||||||||||||
Miami-Dade County Educational Facilities Authority,
University of Miami Ser 2008 A (CR) (BHAC Insd) (a) |
5.50 | 04/01/38 | 1,500 | 1,578,825 | ||||||||||||||||
Mid-Bay Bridge Authority, Ref Ser 2008 A (AGC Insd)
(a) |
5.00 | 10/01/27 | 1,265 | 1,293,007 | ||||||||||||||||
Orange County School Board, Series 2008 B (COP) (AGC
Insd) (a)(e)(f) |
0.28 | 08/01/32 | 1,000 | 1,000,000 | ||||||||||||||||
Palm Beach County Solid Waste Authority, Ser 2009
(BHAC Insd) (a) |
5.50 | 10/01/23 | 1,200 | 1,387,308 | ||||||||||||||||
Tampa Bay Water Utility System Revenue, Ser 2001 B
(NATL-RE & FGIC Insd) (a) |
5.00 | 10/01/31 | 6,000 | 6,197,700 |
Principal | ||||||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||||||
Rate | Date | (000) | Value | |||||||||||||||||
Tampa Sports Authority, Sales Tax Ref Ser 2005 (AGM
Insd) (a) |
5.00 | % | 01/01/26 | $ | 2,185 | $ | 2,274,432 | |||||||||||||
24,449,357 | ||||||||||||||||||||
Georgia (3.2%) |
||||||||||||||||||||
City of Atlanta, Airport Passenger Facilities
Sub-Lien Ser 2004 C (AGM Insd) (a)(c) |
5.00 | 01/01/33 | 5,000 | 5,062,750 | ||||||||||||||||
City of Atlanta, Water & Wastewater Ser 1999 A
(NATL-RE & FGIC Insd) (a) |
5.00 | 11/01/29 | 2,000 | 2,001,460 | ||||||||||||||||
Fulton County Development Authority, Morehouse
College Ser 2000 (AMBAC Insd) (a)(d) |
6.25 | 12/01/10 | 900 | 926,757 | ||||||||||||||||
7,990,967 | ||||||||||||||||||||
Hawaii (6.2%) |
||||||||||||||||||||
City & County of Honolulu, Ser 2003 A (NATL-RE
Insd) (a)(c) |
5.25 | 03/01/26 | 5,000 | 5,299,850 | ||||||||||||||||
City & County of Honolulu, Ser 2003 A (NATL-RE Insd)
(a)(c) |
5.25 | 03/01/25 | 5,000 | 5,414,100 | ||||||||||||||||
State of Hawaii, Airports Ref Ser 2001 (AMT)
(NATL-RE & FGIC Insd) (a) |
5.25 | 07/01/21 | 5,000 | 5,044,650 | ||||||||||||||||
15,758,600 | ||||||||||||||||||||
Idaho (0.9%) |
||||||||||||||||||||
Idaho Housing & Finance Association, Federal
Highway Trust Ser 2008 A (RANs) (AGC Insd) (a) |
5.25 | 07/15/25 | 2,065 | 2,277,881 | ||||||||||||||||
Illinois (16.0%) |
||||||||||||||||||||
Chicago Transit Authority, Federal Transit
Administration Section 5309 Ser 2008 (AGC Insd) (a) |
5.25 | 06/01/26 | 1,370 | 1,440,363 | ||||||||||||||||
City of Chicago, O Hare Intl Airport Third Lien
Ser 2003 B-2 (AMT) (AGM Insd) (a) |
5.75 | 01/01/23 | 2,000 | 2,097,060 | ||||||||||||||||
City of Chicago, Project & Ref Ser 2007 A (CR) (FGIC
& AGM Insd) (a)(c)(h) |
5.00 | 01/01/37 | 6,070 | 6,196,620 | ||||||||||||||||
City of Chicago, Second Lien Water Ser 2008 (AGM
Insd) (a) |
5.00 | 11/01/27 | 940 | 1,000,019 | ||||||||||||||||
City of Chicago, Ser A 2001 (NATL-RE Insd) (a)(g) |
0.00 | 01/01/21 | 2,000 | 2,137,480 | ||||||||||||||||
City of Chicago, Ser A 2001 (NATL-RE Insd) (a)(g) |
0.00 | 01/01/22 | 2,000 | 2,136,780 | ||||||||||||||||
City of Chicago, Ser A 2005 (NATL-RE Insd) (a) |
5.25 | 01/01/25 | 3,000 | 3,134,160 | ||||||||||||||||
De Kalb County Community Unit School District No.
428, (AGM Insd) (a) |
5.00 | 01/01/27 | 670 | 716,176 | ||||||||||||||||
De Kalb County Community Unit School District No.
428, (AGM Insd) (a) |
5.00 | 01/01/28 | 305 | 323,800 | ||||||||||||||||
Illinois Finance Authority, Northwestern Memorial
Hospital, Ser 2009 B |
5.75 | 08/15/30 | 1,635 | 1,782,870 | ||||||||||||||||
Illinois Finance Authority, Swedish Covenant
Hospital Ser 2010 A |
5.75 | 08/15/29 | 1,300 | 1,315,184 | ||||||||||||||||
Kendall Kane & Will Counties Community Unit School
District No. 308, (AGM Insd) (a)(b) |
0.00 | 02/01/27 | 5,375 | 2,343,500 | ||||||||||||||||
Regional Transportation Authority, Ref Ser 1999 (AGM
Insd) (a) |
5.75 | 06/01/21 | 4,000 | 4,737,360 | ||||||||||||||||
State of Illinois, Ser 2001 (NATL-RE Insd) (a)(c) |
5.38 | 04/01/15 | 10,000 | 11,182,600 | ||||||||||||||||
40,543,972 | ||||||||||||||||||||
Iowa (4.3%) |
||||||||||||||||||||
State of Iowa, IJOBS Program Ser 2009 A (c)(h) |
5.00 | 06/01/25 | 1,810 | 2,001,697 | ||||||||||||||||
State of Iowa, IJOBS Program Ser 2009 A (c)(h) |
5.00 | 06/01/26 | 1,355 | 1,485,608 | ||||||||||||||||
State of Iowa, Ser 2001 (NATL-RE Insd) (a) |
5.50 | 02/15/19 | 3,600 | 4,330,512 | ||||||||||||||||
State of Iowa, Ser 2001 (NATL-RE Insd) (a) |
5.50 | 02/15/20 | 2,500 | 2,991,825 | ||||||||||||||||
10,809,642 | ||||||||||||||||||||
Kansas (0.7%) |
||||||||||||||||||||
Kansas Development Finance Authority Hospital
Revenue, Adventist Health System Sunbelt Obligated
Group Ser 2009 C |
5.50 | 11/15/29 | 615 | 666,094 | ||||||||||||||||
Wyandotte County-Kansas City Unified Government,
Utility System Improvement, Ser 2009 A (BHAC Insd)
(a) |
5.25 | 09/01/34 | 1,060 | 1,132,409 | ||||||||||||||||
1,798,503 | ||||||||||||||||||||
Kentucky (2.6%) |
||||||||||||||||||||
Kentucky State Property & Buildings Commission,
Ref Project No. 93 Ser 2009 (AGC Insd) (a) |
5.25 | 02/01/28 | 1,640 | 1,793,947 | ||||||||||||||||
Louisville & Jefferson County Visitors & Convention
Commission, Ser 2004 B (AGM Insd) (a)(e)(f) |
0.27 | 12/01/22 | 1,000 | 1,000,000 |
Principal | ||||||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||||||
Rate | Date | (000) | Value | |||||||||||||||||
Louisville Waterworks Board, Ser 2000 (AGM Insd)
(a)(d) |
5.50 | % | 11/15/10 | $ | 3,800 | $ | 3,857,722 | |||||||||||||
6,651,669 | ||||||||||||||||||||
Louisiana (0.6%) |
||||||||||||||||||||
Louisiana Public Facilities Authority, Baton
Rouge General Medical Center-FHA Insured Mortgage
Ser 2004 (NATL-RE Insd) (a) |
5.25 | 07/01/33 | 1,500 | 1,516,590 | ||||||||||||||||
Maryland (1.0%) |
||||||||||||||||||||
Maryland Economic Development Corp., Aviation
Administration Ser 2003 (AMT) (AGM Insd) (a) |
5.375 | 06/01/22 | 2,500 | 2,583,225 | ||||||||||||||||
Massachusetts (5.7%) |
||||||||||||||||||||
Massachusetts Health & Educational Facilities
Authority, Boston College Ser M-2 |
5.50 | 06/01/30 | 2,000 | 2,398,800 | ||||||||||||||||
Massachusetts Health & Educational Facilities
Authority, Harvard University Ser A (c) |
5.00 | 11/15/36 | 6,460 | 7,323,831 | ||||||||||||||||
Massachusetts Health & Educational Facilities
Authority, Massachusetts Institute of Technology Ser
O (c) |
5.50 | 07/01/36 | 2,090 | 2,367,322 | ||||||||||||||||
Massachusetts Water Resources Authority, Ser 2007 B
(AGM Insd) (a) |
5.25 | 08/01/31 | 2,000 | 2,324,880 | ||||||||||||||||
14,414,833 | ||||||||||||||||||||
Michigan (1.5%) |
||||||||||||||||||||
City of Detroit Water Supply System, Ref Ser
2006 C (AGM Insd) (a) |
5.00 | 07/01/26 | 1,200 | 1,228,332 | ||||||||||||||||
Wayne State University, Ref Ser 2008 (AGM Insd) (a) |
5.00 | 11/15/29 | 1,190 | 1,256,854 | ||||||||||||||||
Western Michigan University, Ser 2008 (AGM Insd) (a) |
5.00 | 11/15/23 | 1,125 | 1,216,271 | ||||||||||||||||
3,701,457 | ||||||||||||||||||||
Minnesota (1.6%) |
||||||||||||||||||||
City of Minneapolis, Fairview Health Ser 2005 D
(AMBAC Insd) (a) |
5.00 | 11/15/34 | 4,000 | 4,018,160 | ||||||||||||||||
Missouri (0.8%) |
||||||||||||||||||||
Missouri Joint Municipal Electric Utility
Commission, Plum Point Ser 2006 (NATL-RE Insd) (a) |
5.00 | 01/01/25 | 2,000 | 2,015,960 | ||||||||||||||||
Nevada (5.3%) |
||||||||||||||||||||
County of Clark, Transportation Improvement Ltd.
Tax Ser 1992 B (AMBAC Insd) (a) |
6.50 | 06/01/17 | 4,000 | 4,949,880 | ||||||||||||||||
State of Nevada, Capital Improvement & Cultural
Affairs Ser 2008 C (AGM Insd) (a)(c) |
5.00 | 06/01/26 | 8,000 | 8,530,480 | ||||||||||||||||
13,480,360 | ||||||||||||||||||||
New Jersey (4.0%) |
||||||||||||||||||||
New Jersey Economic Development Authority,
School Facilities Construction Ser N-1 (AMBAC Insd)
(a) |
5.50 | 09/01/24 | 1,195 | 1,374,704 | ||||||||||||||||
New Jersey Economic Development Authority, Student
Housing Project Ser 2010 A |
5.875 | 06/01/42 | 710 | 720,792 | ||||||||||||||||
New Jersey Educational Facilities Authority, Rowan
University Ser 2008 B (AGC Insd) (a) |
5.00 | 07/01/26 | 510 | 551,499 | ||||||||||||||||
New Jersey St. Housing & Mortgage Finance Agency,
Home Buyer Ser 2000 CC (AMT) (NATL-RE Insd) (a) |
5.875 | 10/01/31 | 2,295 | 2,298,397 | ||||||||||||||||
New Jersey State Turnpike Authority, Ser 2003 A
(AMBAC Insd) (a) |
5.00 | 01/01/30 | 2,500 | 2,561,225 | ||||||||||||||||
New Jersey Transportation Trust Fund Authority, Ser
2006 C (AGC Insd) (a)(b) |
0.00 | 12/15/26 | 5,860 | 2,523,843 | ||||||||||||||||
10,030,460 | ||||||||||||||||||||
New Mexico (0.6%) |
||||||||||||||||||||
City of Albuquerque, Gross Receipts Lodgers Tax
Ref Ser 2004 A (AGM Insd) (a) |
5.00 | 07/01/37 | 1,500 | 1,537,455 | ||||||||||||||||
New York (13.9%) |
||||||||||||||||||||
City of New York, Ser 2001 A-6 (AGM Insd)
(a)(e)(f) |
0.30 | 11/01/26 | 2,640 | 2,640,000 | ||||||||||||||||
Metropolitan Transportation Authority, State Service
Contract Refg Ser 2002 B (NATL-RE Insd) (a) |
5.50 | 07/01/20 | 6,805 | 7,260,527 | ||||||||||||||||
Metropolitan Transportation Authority,
Transportation Ref Ser 2002 A (AMBAC Insd) (a) |
5.50 | 11/15/17 | 10,000 | 10,812,600 |
Principal | ||||||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||||||
Rate | Date | (000) | Value | |||||||||||||||||
Metropolitan Transportation Authority,
Transportation Ref Ser 2002 A (NATL-RE & FGIC Insd)
(a) |
5.00 | % | 11/15/25 | $ | 2,000 | $ | 2,050,720 | |||||||||||||
New York City Industrial Development Agency, Queens
Baseball Stadium Ser 2006 (AMBAC Insd) (a) |
5.00 | 01/01/31 | 1,000 | 936,740 | ||||||||||||||||
New York City Industrial Development Agency, Yankee
Stadium Ser 2006 (FGIC Insd) (a) |
5.00 | 03/01/46 | 1,515 | 1,458,672 | ||||||||||||||||
New York State Dormitory Authority, Montefiore
Hospital FHA Insured Mortgage Ser 2004 (NATL-RE &
FGIC Insd) (a) |
5.00 | 08/01/29 | 2,000 | 2,043,200 | ||||||||||||||||
New York State Dormitory Authority, New York
University (AMBAC Insd) (a) |
5.50 | 05/15/29 | 940 | 1,050,018 | ||||||||||||||||
New York State Energy Research & Development
Authority, Brooklyn Union Gas Co. Ser 1996 (NATL-RE
Insd) (a) |
5.50 | 01/01/21 | 5,000 | 5,018,350 | ||||||||||||||||
New York State Thruway Authority, Personal Income
Tax Transportation Ser 2009 A |
5.00 | 03/15/25 | 1,725 | 1,924,289 | ||||||||||||||||
35,195,116 | ||||||||||||||||||||
Ohio (1.0%) |
||||||||||||||||||||
City of Cleveland, Public Power System Ser 2008
B-1 (NATL-RE Insd) (a)(b) |
0.00 | 11/15/28 | 2,125 | 815,639 | ||||||||||||||||
City of Cleveland, Public Power System Ser 2008 B-1
(NATL-RE Insd) (a)(b) |
0.00 | 11/15/38 | 2,800 | 578,228 | ||||||||||||||||
Ohio State Water Development Authority, Pollution
Control Facilities Ser 2009 A |
5.875 | 06/01/33 | 350 | 386,960 | ||||||||||||||||
State of Ohio Higher Educational Facility
Commission, Summa Health Systems Ser 2010 |
5.75 | 11/15/35 | 700 | 702,009 | ||||||||||||||||
2,482,836 | ||||||||||||||||||||
Oregon (0.7%) |
||||||||||||||||||||
Oregon State Department of Administrative
Services, Ser 2005 B (COP) (NATL-RE & FGIC Insd)
(a) |
5.00 | 11/01/24 | 1,685 | 1,794,660 | ||||||||||||||||
Pennsylvania (4.7%) |
||||||||||||||||||||
City of Philadelphia, Ser 2009 B (AGC Insd) (a) |
7.125 | 07/15/38 | 720 | 817,603 | ||||||||||||||||
Delaware County Industrial Development Authority,
Ser 2005 A (AMT) (NATL-RE & FGIC Insd) (a) |
5.00 | 11/01/37 | 1,500 | 1,506,420 | ||||||||||||||||
Pennsylvania Economic Development Financing
Authority, Ser A |
3.70 | 11/01/21 | 1,400 | 1,413,328 | ||||||||||||||||
Pennsylvania Turnpike Commission, Ser 2001 R (AMBAC
Insd) (a) |
5.00 | 12/01/26 | 3,000 | 3,061,560 | ||||||||||||||||
Pennsylvania Turnpike Commission, Ser 2004 A (AMBAC
Insd) (a) |
5.00 | 12/01/34 | 4,000 | 4,039,280 | ||||||||||||||||
Philadelphia School District, Ser 2008 E (BHAC Insd)
(a) |
5.125 | 09/01/23 | 1,000 | 1,106,650 | ||||||||||||||||
11,944,841 | ||||||||||||||||||||
Puerto Rico (1.1%) |
||||||||||||||||||||
Puerto Rico Sales Tax Financing Corp., Ser 2009
A (d) |
5.00 | 08/01/11 | 1,160 | 1,215,448 | ||||||||||||||||
Puerto Rico Sales Tax Financing Corp., Ser 2010 C |
5.25 | 08/01/41 | 1,650 | 1,658,283 | ||||||||||||||||
2,873,731 | ||||||||||||||||||||
South Carolina (1.3%) |
||||||||||||||||||||
Medical University Hospital Authority, Mortgage
Ser 2004 A (NATL-RE & FHA Insd) (a) |
5.25 | 02/15/25 | 1,000 | 1,047,340 | ||||||||||||||||
South Carolina State Public Service Authority,
Santee Cooper Ser 2003 A (AMBAC Insd) (a)(c) |
5.00 | 01/01/22 | 2,000 | 2,177,620 | ||||||||||||||||
3,224,960 | ||||||||||||||||||||
Tennessee (1.3%) |
||||||||||||||||||||
City of Clarksville Water Sewer & Gas, Ser 2004
(AGM Insd) (a)(e)(f) |
0.40 | 02/01/25 | 3,325 | 3,325,000 | ||||||||||||||||
Texas (10.0%) |
||||||||||||||||||||
Capital Area Cultural Education Facilities
Finance Corp., Roman Catholic Diocese Ser 2005 B |
6.125 | 04/01/45 | 700 | 707,301 | ||||||||||||||||
City of Austin, Water & Wastewater Ref Ser 2001 (AGM
Insd) (a) |
5.125 | 05/15/27 | 1,840 | 1,883,258 | ||||||||||||||||
City of Austin, Water & Wastewater Ref Ser 2001 A &
B (AGM Insd) (a)(d) |
5.125 | 05/15/11 | 3,160 | 3,283,177 | ||||||||||||||||
City of Houston, Combined Utility First Lien Ref
2004 Ser A (NATL-RE & FGIC Insd) (a) |
5.25 | 05/15/23 | 4,465 | 4,892,970 |
Principal | ||||||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||||||
Rate | Date | (000) | Value | |||||||||||||||||
City of Houston, Ser 2001 B (CR) (AGM & AMBAC Insd)
(a)(b) |
0.00 | % | 09/01/27 | $ | 3,615 | $ | 1,469,100 | |||||||||||||
City of San Antonio, Water & Ref Ser 2002 A (AGM
Insd) (a) |
5.00 | 05/15/32 | 2,000 | 2,046,420 | ||||||||||||||||
Friendswood Independent School District, Schoolhouse
Ser 2008 (PSF-GTD) |
5.00 | 02/15/27 | 800 | 874,768 | ||||||||||||||||
Harris County Health Facilities Development Corp.,
Thermal Utility, Ser 2008 (AGC Insd) (a) |
5.00 | 11/15/27 | 1,840 | 1,930,878 | ||||||||||||||||
Houston Community College System, Senior Lien
Student Fee Ser 2008 (AGM Insd) (a) |
4.50 | 04/15/27 | 225 | 230,585 | ||||||||||||||||
Houston Community College System, Senior Lien
Student Fee Ser 2008 (AGM Insd) (a) |
5.00 | 04/15/26 | 1,000 | 1,078,790 | ||||||||||||||||
North Texas Tollway Authority, Ref Ser 2008 D (AGC
Insd) (a)(b) |
0.00 | 01/01/28 | 6,700 | 2,639,398 | ||||||||||||||||
North Texas Tollway Authority, Ref Ser 2008 D (AGC
Insd) (a)(b) |
0.00 | 01/01/31 | 1,455 | 477,662 | ||||||||||||||||
Texas State Turnpike Authority, First Tier Ser 2002
(CR) (BHAC & AMBAC Insd) (a)(b) |
0.00 | 08/15/27 | 5,735 | 2,290,100 | ||||||||||||||||
Victoria Independent School District, Ser 2008
(PSF-GTD) |
5.00 | 02/15/24 | 410 | 458,601 | ||||||||||||||||
Victoria Independent School District, Ser 2008
(PSF-GTD) |
5.00 | 02/15/25 | 815 | 905,383 | ||||||||||||||||
25,168,391 | ||||||||||||||||||||
Washington (9.8%) |
||||||||||||||||||||
City of Seattle, Ser 2001 (AGM Insd) (a)(d) |
5.125 | 03/01/11 | 3,730 | 3,836,976 | ||||||||||||||||
City of Seattle, Ser 2001 (AGM Insd) (a) |
5.125 | 03/01/26 | 1,270 | 1,291,412 | ||||||||||||||||
County of King, Sewer Ref 2001 (NATL-RE & FGIC Insd)
(a) |
5.00 | 01/01/31 | 3,000 | 3,039,870 | ||||||||||||||||
Cowlitz County Public Utility District No. 1,
Production Ser 2006 (NATL-RE Insd) (a) |
5.00 | 09/01/31 | 3,000 | 3,052,590 | ||||||||||||||||
Port of Seattle, Passenger Facility Ser 1998 A
(NATL-RE Insd) (a) |
5.00 | 12/01/23 | 4,010 | 4,018,582 | ||||||||||||||||
Port of Seattle, Ser 2000 B (AMT) (NATL-RE Insd) (a) |
5.625 | 02/01/24 | 2,500 | 2,503,200 | ||||||||||||||||
State of Washington, Various Purpose Ser 2010 A (c) |
5.00 | 08/01/30 | 6,505 | 7,087,094 | ||||||||||||||||
24,829,724 | ||||||||||||||||||||
West Virginia (0.6%) |
||||||||||||||||||||
West Virginia Economic Development Authority,
Solid Waste Disposable Facility Ser 2010 A |
5.375 | 12/01/38 | 1,400 | 1,405,950 | ||||||||||||||||
Wisconsin (0.8%) |
||||||||||||||||||||
State of Wisconsin, Ser 2009 A |
5.625 | 05/01/28 | 1,900 | 2,106,739 | ||||||||||||||||
Total Investments (Cost $361,597,806) | 147.8 | % | 373,549,996 | |||||||||||||||||
Other Assets Less Liabilities | 1.2 | 3,284,264 | ||||||||||||||||||
Floating Rate Note and Dealer Trusts Obligations Related to Securities Held | ||||||||||||||||||||
Notes with interest rates ranging from 0.27% to 0.38% at 07/31/10 and contractual maturities of collateral ranging from 04/01/15 to 10/01/37 (See Note 1E) (i) | (23.3 | ) | (58,975,000 | ) | ||||||||||||||||
Preferred Shares of Beneficial Interest | (25.7 | ) | (65,052,277 | ) | ||||||||||||||||
Net Assets Applicable to Common Shareholders | 100.0 | % | $ | 252,806,983 | ||||||||||||||||
AGC | Assured Guaranty Corporation | |
AGM | Assured Guaranty Municipal Corporation | |
AMBAC | AMBAC Assurance Corporation | |
AMT | Alternative Minimum Tax | |
BHAC | Berkshire Hathaway Assurance Corporation | |
COP | Certificates of Participation | |
CR | Custodial Receipts | |
FGIC | Financial Guaranty Insurance Company | |
FHA | Federal Housing Administration | |
Insd | Insured | |
Jr | Junior | |
NATL-RE | National Public Finance Guarantee Corporation | |
PSF | Texas Permanent School Fund Guarantee Program | |
RANs | Revenue Anticipation Notes | |
Ref | Refunding | |
Ser | Series | |
XLCA | XL Capital Assurance Inc | |
Notes to Schedule of Investments: | ||
(a) | Principal and/or interest payments are secured by the bond insurance company listed. | |
(b) | Capital appreciation bond. | |
(c) | Underlying security related to inverse floater entered into by the Trust. See Note 1E. |
(d) | Advance refunded; secured by an escrow fund of U.S. Government obligations or other highly rated collateral. | |
(e) | Demand security payable upon demand by the Trust at specified time intervals no greater than thirteen months. Interest rate is redetermined periodically. Rate shown is the rate in effect on July 31, 2010. | |
(f) | Security is considered a cash equivalent. | |
(g) | Security is a step-up bond where the coupon increases on a predetermined future date. | |
(h) | Security is subject to a shortfall agreement which may require the Trust to pay amounts to a counterparty in the event of a significant decline in the market value of the security underlying the inverse floater. In case of a shortfall, the maximum potential amount of payments the Trust could ultimately be required to make under the agreement is $6,175,000. However, such shortfall payment would be reduced by the proceeds from the sale of the security underlying the inverse floater. | |
(i) | Floating rate note obligations related to securities held. The interest rates shown reflect the rates in effect at July 31, 2010. At July 31, 2010, the Funds investments with a value of $102,556,746 are held by the Dealer Trusts and serve as collateral for the $58,975,000 in floating rate note and dealer trust obligations outstanding at that date. |
A. | Security Valuations Securities, including restricted securities, are valued according to the following policy. |
Securities are fair valued using an evaluated quote provided by an independent pricing service approved by the Board of Trustees. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices and may reflect appropriate factors such as institution-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Securities with a demand feature exercisable within one to seven days are valued at par. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and principal payments. |
Securities for which market quotations either are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trusts officers following procedures approved by the Board of Trustees. Some of the factors which may be considered in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on transferability or disposition; trading in similar securities by the same issuer or comparable companies; relevant political, economic or issuer specific news; and other relevant factors under the circumstances. |
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuers assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. |
B. | Securities Transactions and Investment Income Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes. |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain/loss for investments no longer held and as unrealized gain/loss for investments still held. |
C. | Country Determination For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuers securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. |
D. | Other Risks The Fund may invest up to 20% of its net assets in lower-quality debt securities, i.e., junk bonds. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors claims. |
The value of, payment of interest on, repayment of principal for and the ability of the Fund to sell a municipal security may be affected by constitutional amendments, legislative enactments, executive orders, administrative regulations, voter initiatives and the economics of the regions in which the issuers in which the Fund invests are located. |
Many municipal securities are issued to finance similar projects, especially those relating to education, health care, transportation and utilities, conditions in those sectors can affect the overall municipal securities market and the Fund. |
There is some risk that a portion or all of the interest received from certain tax-free municipal securities could become taxable as a result of determinations by the Internal Revenue Service. |
E. | Floating Rate Obligations Related to Securities Held The Fund enters into transactions in which it transfers to Special Purpose Trusts established by a Broker Dealer (Dealer Trusts) fixed rate bonds in exchange for cash and residual interests in the Dealer Trusts assets and cash flows, which are in the form of inverse floating rate investments. |
E. | Floating Rate Obligations Related to Securities Held (continued) |
The Dealer Trusts fund the purchases of the fixed rate bonds by issuing floating rate notes to third parties and allowing the Fund to retain residual interest in the bonds. The Fund may enter into shortfall agreements with the Dealer Trusts which commit the Fund to pay the Dealer Trusts, in certain circumstances, the difference between the liquidation value of the fixed rate bonds held by the Dealer Trusts and the liquidation value of the floating rate notes held by third parties, as well as any shortfalls in interest cash flows. The residual interests held by the Fund (inverse floating rate investments) include the right of the Fund (1) to cause the holders of the floating rate notes to tender their notes at par at the next interest rate reset date, and (2) to transfer the municipal bond from the Dealer Trusts to the Fund, thereby collapsing the Dealer Trusts. The Fund accounts for the transfer of bonds to the Dealer Trusts as secured borrowings, with the securities transferred remaining in the Funds investment assets, and the related floating rate notes reflected as Fund liabilities under the caption Floating rate note and dealer trust obligations on the Statement of Assets and Liabilities. The Fund records the interest income from the fixed rate bonds under the caption Interest and records the expenses related to floating rate obligations and any administrative expenses of the Dealer Trusts under the caption Interest and residual trust expenses on the Statement of Operations. The floating rate notes issued by the Dealer Trusts have interest rates that reset weekly and the floating rate note holders have the option to tender their notes to the Dealer Trusts for redemption at par at each reset date. |
Level 1 | Prices are determined using quoted prices in an active market for identical assets. | ||
Level 2 | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | ||
Level 3 | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Funds own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Municipal Obligations |
$ | | $ | 373,549,996 | $ | | $ | 373,549,996 | ||||||||
Aggregate unrealized appreciation of investment securities |
$ | 14,391,079 | ||
Aggregate unrealized (depreciation) of investment securities |
(2,438,889 | ) | ||
Net unrealized appreciation of investment securities |
$ | 11,952,190 | ||
Cost of investments for tax purposes is $361,597,806. |
(a) | As of September 16, 2010, an evaluation was performed under the supervision and with the participation of the officers of the Registrant, including the Principal Executive Officer (PEO) and Principal Financial Officer (PFO), to assess the effectiveness of the Registrants disclosure controls and procedures, as that term is defined in Rule 30a-3(c) under the Investment Company Act of 1940 (Act), as amended. Based on that evaluation, the Registrants officers, including the PEO and PFO, concluded that, as of , September 16, 2010, the Registrants disclosure controls and procedures were reasonably designed so as to ensure: (1) that information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the time periods specified by the rules and forms of the Securities and Exchange Commission; and (2) that material information relating to the Registrant is made known to the PEO and PFO as appropriate to allow timely decisions regarding required disclosure. | ||
(b) | There have been no changes in the Registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the Registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting. |
Certifications of PEO and PFO as required by Rule 30a-2(a) under the Investment Company Act of 1940. |
By: | /s/ Philip A. Taylor | ||
Philip A. Taylor | |||
Principal Executive Officer |
By: | /s/ Philip A. Taylor | ||
Philip A. Taylor | |||
Principal Executive Officer |
By: | /s/ Sheri Morris | ||
Sheri Morris | |||
Principal Financial Officer |