NPORT-EX 2 NPORT_D2H1_63726209_1022.htm BlackRock California Municipal Income Trust

Schedule of Investments  (unaudited)

October 31, 2022

   

BlackRock California Municipal Income Trust (BFZ)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  

Municipal Bonds

 

California — 132.6%

 

Corporate — 0.6%  

California Community Choice Financing Authority, RB, Series B-1, 4.00%, 02/01/52(a)

   $ 2,500     $ 2,328,130  
   

 

 

  
County/City/Special District/School District — 35.8%  

Butte-Glenn Community College District, GO, Series A, Election 2016, 5.25%, 08/01/46

         1,420           1,476,523  

California Statewide Communities Development

    

Authority, SAB

    

Series A, 5.00%, 09/02/39

     275       280,447  

Series A, 5.00%, 09/02/44

     160       159,950  

Series A, 5.00%, 09/02/48

     160       155,704  

Series B, 5.00%, 09/02/52

     565       494,683  

California Statewide Communities Development Authority, SAB, S/F Housing

    

5.00%, 09/02/40

     300       292,424  

4.00%, 09/02/50

     240       182,420  

5.00%, 09/02/50

     240       223,459  

Series C, 5.00%, 09/02/44

     595       594,814  

Carlsbad Unified School District, COP, 4.00%, 10/01/46

     2,500       2,195,040  

City & County of San Francisco California, GO, Series D-1, 4.00%, 06/15/42

     2,470       2,344,294  

City & County of San Francisco California, Refunding COP

    

Class A, 4.00%, 04/01/40

     9,635       8,835,729  

Series A, 4.00%, 04/01/44

     1,300       1,137,730  

City & County of San Francisco, GO, Series 2020, Class D1, 4.00%, 06/15/46

     2,500       2,194,415  

City of Roseville California, ST, 4.00%, 09/01/45

     350       277,665  

Corona-Norco Unified School District, GO

    

Series C, 4.00%, 08/01/49

     6,300       5,586,229  

Series B, Election 2014, 5.00%, 08/01/47

     5,000       5,137,665  

County of Merced California, COP

    

(BAM), 4.00%, 06/01/43

     1,620       1,433,810  

(BAM), 4.00%, 06/01/44

     1,260       1,103,916  

(BAM), 4.00%, 06/01/45

     1,750       1,520,080  

Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue, RB, Series A, 4.00%, 06/01/37

     3,750       3,636,390  

Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue, Refunding RB, Series A, 5.00%, 07/01/39

     4,160       4,319,627  

Marin Healthcare District, GO, Series A, Election 2013, 4.00%, 08/01/40

     2,030       1,955,097  

Monterey Park Financing Authority, RB, 4.00%, 06/01/41

     2,155       1,980,745  

Municipal Improvement Corp of Los Angeles, Refunding RB, Series B, 4.00%, 11/01/34

     3,530       3,461,038  

Orange County Community Facilities District, ST

    

4.00%, 08/15/40

     260       216,147  

4.00%, 08/15/50

     245       181,111  

San Bernardino City Unified School District, GO, Series D, Election 2012, (AGM), 4.00%, 08/01/42

     1,210       1,077,088  

San Diego Unified School District, GO

    

Series N-2, 4.00%, 07/01/46

     22,000       19,556,944  

Series I, Election 2012, 5.00%, 07/01/47

     10,000       10,227,430  

San Diego Unified School District, GO, CAB, Series C, Election 2008, 0.00%, 07/01/40(b)

     7,215       3,095,762  
Security  

Par

(000)

     Value  

County/City/Special District/School District (continued)

    

San Mateo Foster City Public Financing Authority, RB, 4.00%, 05/01/48

   $ 3,250     $ 2,879,604  

Santa Clara County Financing Authority, RB, Series A, 4.00%, 05/01/45

     22,230       19,709,251  

Santa Clara Unified School District, GO, Election 2014, 4.00%, 07/01/41

     5,000       4,644,105  

Santa Monica Community College District, GO, Series A, Election 2016, 5.00%, 08/01/43

         10,000       10,409,420  

Simi Valley Unified School District, GO

    

Series C, 4.00%, 08/01/42

     1,715       1,563,282  

Series A, Election 2016, 4.00%, 08/01/46

     1,065       937,532  

South Orange County Public Financing Authority, RB, 5.00%, 06/01/47

     2,000       2,082,240  

West Valley-Mission Community College District, GO, Series A, 4.00%, 08/01/44

     2,000       1,798,764  
   

 

 

  
          129,358,574  
Education — 13.5%            

California Enterprise Development Authority, RB(c)

    

Series A, 5.00%, 07/01/50

     1,200       1,001,098  

Series A, 5.00%, 07/01/55

     600       489,466  

California Enterprise Development Authority, Refunding RB(c)

    

Class A, 4.00%, 06/01/36

     250       207,005  

Class A, 4.00%, 06/01/61

     500       330,573  

California Municipal Finance Authority, RB(c)

    

Series A, 5.00%, 10/01/39

     220       192,884  

Series A, 5.00%, 10/01/49

     370       301,803  

Series A, 5.00%, 10/01/57

     725       570,024  

California Municipal Finance Authority, Refunding RB

    

5.00%, 08/01/34

     750       740,203  

5.00%, 08/01/39(c)

     425       389,402  

5.00%, 08/01/48(c)

     615       534,819  

California School Finance Authority, RB(c)

    

5.00%, 06/01/40

     270       240,671  

5.00%, 06/01/50

     430       358,905  

5.00%, 06/01/59

     685       551,361  

Class A, 4.00%, 06/01/41

     600       480,937  

Series A, 5.00%, 06/01/49

     1,000       839,560  

Series A, 5.00%, 06/01/58

     2,120       1,794,052  

California State University, Refunding RB, Series A, 5.00%, 11/01/43

     11,795       12,010,023  

Hastings Campus Housing Finance Authority, RB(c)

    

Series A, 5.00%, 07/01/45

     600       491,850  

Series A, 5.00%, 07/01/61

     3,000       2,318,997  

Mount San Jacinto Community College District, GO, Series B, Election 2014, 4.00%, 08/01/43

     2,000       1,840,924  

University of California, Refunding RB

    

Series BE, 4.00%, 05/15/47

     7,000       6,262,263  

Series BH, 4.00%, 05/15/46

     2,630       2,396,785  

Series I, 5.00%, 05/15/40

     14,065       14,398,186  
   

 

 

  
      48,741,791  
Health — 11.3%            

California Health Facilities Financing Authority, RB

    

5.00%, 11/15/42

     1,000       1,006,818  

Series A, 5.00%, 11/15/48

     6,190       6,110,137  

California Health Facilities Financing Authority, Refunding RB

    

4.00%, 08/15/40

     1,350       1,223,459  

4.00%, 05/15/46

     2,500       2,132,062  

Series A, 4.00%, 03/01/39

     4,695       4,103,299  
 

 

1

Schedule of Investments  (unaudited) (continued)

October 31, 2022

   

BlackRock California Municipal Income Trust (BFZ)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  

Health (continued)

    

California Health Facilities Financing Authority,

    

Refunding RB (continued)

    

Series A, 4.00%, 04/01/40

   $ 2,500     $ 2,100,150  

Series A, 4.00%, 11/15/40

     1,025       949,794  

Series A, 4.00%, 04/01/45

     8,000       6,526,592  

Series A-2, 4.00%, 11/01/44

     7,135       6,336,622  

California Municipal Finance Authority, Refunding RB(c)

    

Series A, 5.00%, 11/01/39

     195       183,945  

Series A, 5.00%, 11/01/49

     220       197,763  

California Public Finance Authority, RB

    

Series A, 4.00%, 07/15/42

     1,575       1,401,451  

Series A, 4.00%, 07/15/51

     7,500       6,389,047  

Regents of the University of California Medical Center Pooled Revenue, RB, Series P, 5.00%, 05/15/47

     2,000       2,008,180  
   

 

 

  
          40,669,319  
Housing — 5.6%            

California Community Housing Agency, RB, M/F Housing(c)

    

4.00%, 08/01/46

     805       550,441  

Series A, 5.00%, 04/01/49

         2,770       2,260,874  

Series A, 4.00%, 02/01/56

     885       627,697  

Series A-1, 4.00%, 08/01/50

     375       254,569  

Series A-2, 4.00%, 08/01/47

     2,060       1,409,852  

Series A-2, 4.00%, 08/01/51

     1,825       1,138,105  

California Housing Finance Agency, RB, M/F Housing, Series A, 4.25%, 01/15/35

     1       649  

CMFA Special Finance Agency VII, RB, M/F Housing, Series A1, 3.00%, 08/01/56(c)

     340       199,486  

CMFA Special Finance Agency VIII, RB, M/F Housing, Series A-1, 3.00%, 08/01/56(c)

     1,400       821,930  

CMFA Special Finance Agency XII, RB, M/F Housing, Series A, 3.25%, 02/01/57(c)

     975       601,985  

CMFA Special Finance Agency, RB, M/F Housing(c)

    

Series A, 4.00%, 12/01/45

     910       639,228  

Series A-1, 3.00%, 12/01/56

     750       432,578  

CSCDA Community Improvement Authority, RB, M/F Housing(c)

    

4.00%, 10/01/46

     1,715       1,219,624  

2.80%, 03/01/47

     825       546,562  

4.00%, 07/01/56

     2,410       1,671,390  

4.00%, 08/01/56

     2,895       2,105,525  

4.00%, 10/01/56

     345       252,523  

4.00%, 12/01/56

     265       169,516  

3.25%, 04/01/57

     1,185       753,611  

4.00%, 05/01/57

     1,840       1,187,080  

Series A, 5.00%, 07/01/51

     340       287,648  

Series A, 3.00%, 09/01/56

     480       286,180  

Series A, 4.00%, 06/01/58

     2,085       1,523,801  

Series A-2, 3.00%, 02/01/57

     525       306,286  

Series B, 4.00%, 02/01/57

     465       288,488  

Series B, Sub Lien, 4.00%, 12/01/59

     1,095       682,608  
   

 

 

  
      20,218,236  
State — 15.4%            

California State Public Works Board, RB

    

4.00%, 11/01/46

     2,000       1,734,352  

Series B, 4.00%, 05/01/39

     1,560       1,465,865  

Series D, 4.00%, 05/01/42

     5,000       4,547,660  

State of California, Refunding GO
3.00%, 10/01/37

     12,000       9,945,948  
Security  

Par

(000)

     Value  

State (continued)

    

State of California, Refunding GO (continued)

    

4.00%, 10/01/39

   $ 16,620     $ 15,694,332  

5.00%, 04/01/42

     3,185       3,399,567  

4.00%, 10/01/44

     5,050       4,703,757  

Class B, 5.00%, 11/01/36

     13,000       13,979,745  
   

 

 

  
          55,471,226  
Tobacco — 1.6%            

California County Tobacco Securitization Agency, Refunding RB

    

5.00%, 06/01/50

     265       245,377  

0.00%, 06/01/55(b)

         2,425       380,228  

Series A, 4.00%, 06/01/49

     600       465,719  

Series B-2, Subordinate, 0.00%, 06/01/55(b)

     1,755       268,145  

Golden State Tobacco Securitization Corp., Refunding RB, Series B-2, Subordinate, 0.00%, 06/01/66(b)

     4,785       394,145  

Tobacco Securitization Authority of Southern California, Refunding RB, 5.00%, 06/01/48

     4,000       3,863,612  
   

 

 

  
      5,617,226  
Transportation — 29.4%            

City of Long Beach California Harbor Revenue, ARB, Series A, 5.00%, 05/15/44

     2,500       2,600,215  

City of Los Angeles Department of Airports Refunding, ARB, Series D, AMT, 4.00%, 05/15/41

     4,360       3,738,294  

City of Los Angeles Department of Airports, ARB

    

AMT, 5.25%, 05/15/47

     3,000       3,027,864  

Series B, AMT, 5.00%, 05/15/41

     6,000       5,942,094  

Series B, AMT, 5.00%, 05/15/46

     7,860       7,641,123  

Series D, AMT, 5.00%, 05/15/41

     4,780       4,788,991  

City of Los Angeles Department of Airports, RB

    

Series A, AMT, 5.25%, 05/15/48

     1,990       1,993,478  

Series A, AMT, Subordinate, 5.00%, 05/15/37

     4,800       4,820,117  

City of Los Angeles Department of Airports, Refunding ARB

    

AMT, 4.00%, 05/15/42

     2,950       2,515,784  

AMT, 5.25%, 05/15/47

     2,250       2,289,487  

Series A, AMT, 5.00%, 05/15/40

     4,450       4,419,113  

County of Sacramento California Airport System Revenue, Refunding RB

    

4.00%, 07/01/39

     1,900       1,670,233  

Series A, 5.00%, 07/01/41

     13,500       13,591,908  

Port of Los Angeles, Refunding RB

    

Series B, 4.00%, 08/01/35

     2,685       2,609,949  

Series A, AMT, 5.00%, 08/01/44

     7,135       6,952,751  

San Diego County Regional Airport Authority, Refunding ARB

    

Series A, Subordinate, 4.00%, 07/01/37

     1,200       1,071,128  

Series A, Subordinate, 4.00%, 07/01/38

     1,350       1,179,058  

San Francisco Bay Area Rapid Transit District, GO, Series A, Election 2016, 0.00%, 11/29/22

     10,615       10,979,424  

San Francisco City & County Airport Comm-San Francisco International Airport, Refunding ARB

    

Class A, AMT, 5.00%, 01/01/47

     2,650       2,536,153  

Series A, AMT, 5.00%, 05/01/40

     3,920       3,758,766  

Series A, AMT, 5.00%, 05/01/47

     16,735       15,943,033  

Series A, AMT, 4.00%, 05/01/49

     2,500       2,012,640  
   

 

 

  
      106,081,603  
Utilities — 19.4%            

Beverly Hills Public Financing Authority, RB Series A, 4.00%, 06/01/38

     2,250       2,193,372  
 

 

S C H E D U L E    O F    I N V E S T  M E N T S

    
 2
  

Schedule of Investments  (unaudited) (continued)

October 31, 2022

   

BlackRock California Municipal Income Trust (BFZ)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  

Utilities (continued)

    

Beverly Hills Public Financing Authority, RB (continued)

    

Series A, 4.00%, 06/01/39

   $ 1,715     $ 1,662,518  

Series A, 4.00%, 06/01/40

         1,080       1,040,862  

City of Los Angeles California Wastewater System Revenue, Refunding RB, Series A, Subordinate, 4.00%, 06/01/52

     5,400       4,669,461  

City of San Francisco California Public Utilities Commission Water Revenue, RB, Series C, 4.00%, 11/01/50

     2,000       1,728,876  

Contra Costa Water District, RB, Series V, 5.00%, 10/01/44

     2,310           2,418,242  

Los Angeles Department of Water & Power Water System Revenue, Refunding RB

    

Series A, 5.00%, 07/01/43

     8,380       8,629,422  

Series A, 5.00%, 07/01/46

     6,415       6,528,520  

Series C, 5.00%, 07/01/41

     985       1,042,861  

Series C, 5.00%, 07/01/42

     845       890,156  

Los Angeles Department of Water & Power, Refunding RB

    

Series B, 5.00%, 07/01/46

     215       223,210  

Series C, 5.00%, 07/01/43

     4,750       4,961,736  

Orange County Water District, Refunding RB, Series A, 4.00%, 08/15/41

     1,100       1,035,743  

Sacramento Municipal Utility District, Refunding RB, Series H, 4.00%, 08/15/45

     31,560       28,933,640  

San Mateo Foster City Public Financing Authority, RB, 4.00%, 08/01/44

     4,800       4,251,264  
   

 

 

  
      70,209,883  
   

 

 

  

Total Municipal Bonds in California

 

     478,695,988  

Puerto Rico — 4.5%

 

State — 4.3%  

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB

    

Series A-1, Restructured, 4.75%, 07/01/53

     2,845       2,379,956  

Series A-1, Restructured, 5.00%, 07/01/58

     8,279       7,082,858  

Series A-2, Restructured, 4.78%, 07/01/58

     2,530       2,098,007  

Series A-2, Restructured, 4.33%, 07/01/40

     2,588       2,195,996  

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, CAB, Series A-1, Restructured, 0.00%, 07/01/46(b)

     8,577       1,861,398  
   

 

 

  
      15,618,215  
Tobacco — 0.2%            

Children’s Trust Fund, Refunding RB, 5.50%, 05/15/39

     505       502,273  
   

 

 

  
Total Municipal Bonds in Puerto Rico         16,120,488  
   

 

 

  

Total Municipal Bonds — 137.1%
(Cost: $549,516,503)

 

     494,816,476  
   

 

 

  

Municipal Bonds Transferred to Tender Option Bond Trusts(d)

 

California — 23.2%

 

County/City/Special District/School District — 3.2%  

Los Angeles County Metropolitan Transportation Authority, Refunding RB, Series A, 5.00%, 07/01/44

     11,200       11,600,137  
   

 

 

  
Education — 9.3%            

California State University, Refunding RB, Series A, 5.00%, 11/01/43

     11,792       5,896,645  
Security  

Par

(000)

     Value  

Education (continued)

    

University of California, Refunding RB

    

Series AR, 5.00%, 05/15/41

   $ 10,165     $ 10,468,849  

Series I, 5.00%, 05/15/40

     14,065       7,029,998  

Series M, 5.00%, 05/15/42

     10,000       10,278,630  
   

 

 

  
          33,674,122  
Health — 4.4%            

Regents of the University of California Medical Center Pooled Revenue, RB, Series P, 5.00%, 05/15/47

     15,620       15,683,878  
   

 

 

  
Transportation — 2.4%            

San Francisco City & County Airport Comm-San Francisco International Airport, Refunding ARB, AMT, Series B, 5.00%, 05/01/41

         8,720       8,531,840  
   

 

 

  
Utilities — 3.9%            

Los Angeles Department of Water & Power Water System Revenue, Refunding RB, Series A, 5.00%, 07/01/46

     6,412       3,207,160  

Los Angeles Department of Water & Power, RB, Series A, 5.00%, 07/01/42

     10,670       10,954,665  
   

 

 

  
      14,161,825  
   

 

 

  
Total Municipal Bonds in California         83,651,802  
   

 

 

  

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 23.2%
(Cost: $88,156,221)

 

     83,651,802  
   

 

 

  

Total Long-Term Investments — 160.3%
(Cost: $637,672,724)

 

     578,468,278  
   

 

 

  
     Shares         
Short-Term Securities  

Money Market Funds — 1.7%

 

BlackRock Liquidity Funds California Money Fund, Institutional Class, 1.20%(e)(f)

     6,279,803       6,275,407  
   

 

 

  

Total Short-Term Securities — 1.7%
(Cost: $6,275,406)

 

     6,275,407  
   

 

 

  

Total Investments — 162.0%
(Cost: $643,948,130)

 

     584,743,685  

Liabilities in Excess of Other Assets — (0.8)%

 

     (3,054,135 ) 

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (13.7)%

 

     (49,526,591 ) 

VMTP Shares at Liquidation Value, Net of Deferred Offering Costs — (47.5)%

 

     (171,300,000 ) 
   

 

 

  

Net Assets Applicable to Common Shares — 100.0%

 

   $ 360,862,959  
   

 

 

  

 

(a) 

Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

(b) 

Zero-coupon bond.

(c) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(d) 

Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing.

(e) 

Affiliate of the Trust.

(f) 

Annualized 7-day yield as of period end.

 

 

3

Schedule of Investments  (unaudited) (continued)

October 31, 2022

   

BlackRock California Municipal Income Trust (BFZ)

 

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the period ended October 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer   Value at
07/31/22		     Purchases
at Cost		     Proceeds
from Sales		     Net
Realized
Gain (Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Value at
10/31/22		    

Shares
Held at

10/31/22

     Income     Capital Gain
Distributions
from
Underlying
Funds		  

BlackRock Liquidity Funds California Money Fund, Institutional Class

   $ 2,559,236     $ 3,717,891 (a)    $ —     $ (1,719 )    $ (1 )    $ 6,275,407       6,279,803     $ 31,602     $ —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

  (a) 

Represents net amount purchased (sold).

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts		        Expiration
Date		        Notional
Amount (000)		        Value/
Unrealized
Appreciation
(Depreciation)		  

Short Contracts

                  

10-Year U.S. Treasury Note

      251          12/20/22        $ 27,783        $ 813,611  

U.S. Long Bond

      508          12/20/22          61,405          3,370,582  

5-Year U.S. Treasury Note

      206          12/30/22          21,968          313,546  
                 

 

 

  
                  $ 4,497,739  
                 

 

 

  

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

  •  

Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access;

 

  •  

Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and

 

  •  

Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of financial instruments, refer to its most recent financial statements.

 

S C H E D U L E    O F    I N V E S T  M E N T S

    
 4
  

Schedule of Investments  (unaudited) (continued)

October 31, 2022

   

BlackRock California Municipal Income Trust (BFZ)

 

Fair Value Hierarchy as of Period End (continued)

The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1        Level 2        Level 3        Total  

Assets

                  

Investments

                  

Long-Term Investments

                  

Municipal Bonds

    $ —        $ 494,816,476        $ —        $ 494,816,476  

Municipal Bonds Transferred to Tender Option Bond Trusts

      —          83,651,802          —          83,651,802  

Short-Term Securities

                  

Money Market Funds

      6,275,407          —          —          6,275,407  
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 6,275,407        $ 578,468,278        $ —        $ 584,743,685  
  

 

 

       

 

 

       

 

 

       

 

 

  

Derivative Financial Instruments(a)

                  

Assets

                  

Interest Rate Contracts

    $   4,497,739        $ —        $             —        $ 4,497,739  
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

 Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of period end, such assets and/or liabilities are categorized within the fair value hierarchy as follows:

 

      Level 1        Level 2        Level 3        Total  

Liabilities

                  

TOB Trust Certificates

    $ —        $ (49,323,802 )       $ —        $ (49,323,802 ) 

VMTP Shares at Liquidation Value

      —          (171,300,000 )         —          (171,300,000 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $             —        $ (220,623,802 )       $             —        $ (220,623,802 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

 

Portfolio Abbreviation
AGM    Assured Guaranty Municipal Corp.
AMT    Alternative Minimum Tax
ARB    Airport Revenue Bonds
BAM    Build America Mutual Assurance Co.
CAB    Capital Appreciation Bonds
COP    Certificates of Participation
GO    General Obligation Bonds
M/F    Multi-Family
RB    Revenue Bond
S/F    Single-Family
SAB    Special Assessment Bonds
ST    Special Tax

 

5