UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811-22551

 

MainStay DefinedTerm Municipal Opportunities Fund

(Exact name of registrant as specified in charter)

 

51 Madison Avenue, New York, New York 10010
(Address of principal executive offices)	(Zip Code)

 

 

J. Kevin Gao, Esq., 30 Hudson Street, Jersey City, NJ 07302

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 800-624-6782

 

Date of fiscal year end: May 31

 

Date of reporting period: August 31, 2016

 

 

 

Item 1. Schedule of Investments.

 

The schedule of investments for the period ended August 31, 2016 is filed herewith.

 

MainStay DefinedTerm Municipal Opportunities Fund
Portfolio of Investments August 31, 2016 (Unaudited)

  

				Principal Amount				Value
		Municipal Bonds 144.4% †
		Alabama 1.0% (0.7% of Managed Assets)
		Alabama Special Care Facilities Financing Authority, Methodist Home For The Aging, Revenue Bonds 5.25%, due 6/1/25		$	1,000,000			$	1,087,610
		Jefferson County, Limited Obligation School, Revenue Bonds Series A, Insured: AMBAC 4.75%, due 1/1/25			250,000				251,453
		Jefferson County, Public Building Authority, Revenue Bonds Insured: AMBAC 5.00%, due 4/1/26			4,500,000				4,500,675
									5,839,738
		Arizona 0.6% (0.4% of Managed Assets)
		Phoenix Industrial Development Authority, Downtown Phoenix Student LLC, Revenue Bonds Series A, Insured: AMBAC 4.50%, due 7/1/42			150,000				150,552
		Phoenix Industrial Development Authority, Espiritu Community Development Corp., Revenue Bonds Series A 6.25%, due 7/1/36			2,000,000				2,016,900
		Pima County Industrial Development Authority, PLC Charter Schools Project, Revenue Bonds 6.75%, due 4/1/36			1,075,000				1,076,677
									3,244,129
		California 15.9% (10.7% of Managed Assets)
		California County Tobacco Securitization Agency, Asset-Backed, Revenue Bonds 5.60%, due 6/1/36 (a)			2,575,000				2,617,951
		California Municipal Finance Authority, Southwestern Law School, Revenue Bonds 6.50%, due 11/1/41			2,165,000				2,606,249
		Carson Redevelopment Agency, Redevelopment Project Area 1, Tax Allocation Series B, Insured: NATL-RE (zero coupon), due 10/1/25			75,000				55,986
		Ceres Unified School District, Unlimited General Obligation Series A (zero coupon), due 8/1/43			6,375,000				1,134,431
¤		City of Sacramento, California, Water, Revenue Bonds 5.00%, due 9/1/42 (b)(c)			19,500,000				23,672,610
		Golden State Tobacco Securitization Corp., Asset-Backed, Revenue Bonds Series A-2 5.30%, due 6/1/37 (a)			5,000,000				5,135,800
¤		Riverside County Transportation Commission, Limited Tax, Revenue Bonds Series A 5.25%, due 6/1/39 (b)(c)			19,100,000				23,584,480
		Stockton Public Financing Authority, Parking & Capital Projects, Revenue Bonds
		Insured: NATL-RE 4.50%, due 9/1/17			100,000				99,581
		Insured: NATL-RE 4.80%, due 9/1/20			105,000				104,998
		Stockton Public Financing Authority, Redevelopment Projects, Revenue Bonds
		Series A, Insured: AGC 5.25%, due 9/1/31			630,000				631,355
		Series A, Insured: AGC 5.25%, due 9/1/34			2,925,000				2,930,908
		Stockton Public Financing Authority, Water System, Capital Improvement Projects, Revenue Bonds Series A, Insured: NATL-RE 5.00%, due 10/1/31			175,000				175,574
¤		University of California, Regents Medical Center, Revenue Bonds Series J 5.00%, due 5/15/43 (b)(c)			23,260,000				27,942,004
		Westminster School District, Unlimited General Obligation Series B, Insured: BAM (zero coupon), due 8/1/48			10,000,000				1,557,400
									92,249,327
		Colorado 0.1% (0.0%‡ of Managed Assets)
		E-470 Public Highway Authority, Revenue Bonds Series B, Insured: NATL-RE (zero coupon), due 9/1/29			660,000				350,401
		District of Columbia 0.6% (0.4% of Managed Assets)
		Metropolitan Washington Airports Authority, Revenue Bonds Series C, Insured: AGC 0.00%, due 10/1/41 (a)			2,400,000				3,298,416
		Florida 5.4% (3.6% of Managed Assets)
		City of Orlando, Tourist Development Tax Revenue, 3rd Lien, 6th Cent Contract, Revenue Bonds Insured: AGC 5.50%, due 11/1/38			15,000,000				15,668,100
		JEA Electric System, Revenue Bonds Series C 5.00%, due 10/1/37 (b)(c)			12,980,000				15,393,857
									31,061,957
		Georgia 0.1% (0.0%‡ of Managed Assets)
		Marietta Development Authority, University Facilities-Life University, Inc. Project, Revenue Bonds 6.25%, due 6/15/20			280,000				292,972
		Guam 2.2% (1.5% of Managed Assets)
		Guam Government, Waterworks Authority, Revenue Bonds 5.50%, due 7/1/43			7,550,000				8,824,893
		Guam International Airport Authority, Revenue Bonds Series C, Insured: AGM 6.00%, due 10/1/34 (d)			3,425,000				4,161,478
									12,986,371
		Illinois 20.4% (13.8% of Managed Assets)
¤		Chicago Board of Education, Unlimited General Obligation
		Series A, Insured: AGM 5.50%, due 12/1/39 (b)(c)			20,000,000				22,198,600
		Series A 7.00%, due 12/1/44			2,780,000				2,958,559
		Chicago O’Hare International Airport, Revenue Bonds Insured: AGM 5.75%, due 1/1/38			5,000,000				6,020,900
		Chicago, Illinois Wastewater Transmission, Revenue Bonds
		Series B, Insured: AGM, FGIC 5.00%, due 1/1/25			130,000				131,495
		Series C 5.00%, due 1/1/32			7,120,000				8,294,017
		Chicago, Illinois, Sales Tax, Revenue Bonds Series A 5.25%, due 1/1/38			7,515,000				8,100,118
		Chicago, Unlimited General Obligation
		Series A, Insured: AGM 5.00%, due 1/1/26			15,000				15,089
		Series C 5.00%, due 1/1/40			15,000,000				15,163,500
		Series A 5.25%, due 1/1/27			3,000,000				3,267,810
		Cook County, Unlimited General Obligation Series A, Insured: AGM 5.00%, due 11/15/26			1,250,000				1,568,025
¤		Metropolitan Pier & Exposition Authority, McCormick Place Expansion, Revenue Bonds
		Insured: NATL-RE (zero coupon), due 6/15/29			27,450,000				17,332,479
		Series A 5.50%, due 6/15/50			10,000,000				10,799,200
		State of Illinois, Unlimited General Obligation 5.25%, due 7/1/31 (b)(c)			20,000,000				22,523,795
									118,373,587
		Indiana 0.2% (0.1% of Managed Assets)
		Anderson Economic Development Revenue, Anderson University Project, Revenue Bonds 5.00%, due 10/1/32			1,105,000				1,091,729
		Iowa 0.7% (0.5% of Managed Assets)
		Coralville Urban Renewal Revenue, Tax Increment, Tax Allocation Series C 5.00%, due 6/1/47			4,220,000				4,221,561
		Kansas 3.9% (2.7% of Managed Assets)
		Kansas Development Finance Authority, Adventist Health Sunbelt Obligated Group, Revenue Bonds Series A 5.00%, due 11/15/32 (b)(c)			19,290,000				22,863,825
		Louisiana 1.0% (0.7% of Managed Assets)
		Louisiana Public Facilities Authority, Black & Gold Facilities Project, Revenue Bonds
		Series A, Insured: AGC 4.50%, due 7/1/38			665,000				666,682
		Series A, Insured: AGC 5.00%, due 7/1/22			1,105,000				1,107,641
		Series A, Insured: AGC 5.00%, due 7/1/24			1,200,000				1,202,640
		Series A, Insured: AGC 5.00%, due 7/1/30			2,870,000				2,874,994
									5,851,957
		Maryland 4.2% (2.9% of Managed Assets)
¤		Maryland Health & Higher Educational Facilities Authority, Johns Hopkins Health System Obligated Group, Revenue Bonds Series C 5.00%, due 5/15/43 (b)(c)			20,870,000				24,479,645
		Michigan 13.4% (9.1% of Managed Assets)
		Detroit, Michigan Water & Sewerage Department, Senior Lien, Revenue Bonds
		Series A 5.00%, due 7/1/32			1,500,000				1,697,970
		Series A 5.25%, due 7/1/39			5,000,000				5,733,100
		Detroit, Michigan Water Supply System, Revenue Bonds
		Series C 5.00%, due 7/1/41			1,005,000				1,117,228
		Series A 5.25%, due 7/1/41			2,385,000				2,678,307
		Series A 5.75%, due 7/1/37			5,000,000				5,710,850
		Michigan Finance Authority, Detroit Water & Sewer, Revenue Bonds Insured: AGM 5.00%, due 7/1/31			9,445,000				11,270,624
		Michigan Finance Authority, Public School Academy, University Learning, Revenue Bonds
		7.375%, due 11/1/30			2,920,000				3,156,257
		7.50%, due 11/1/40			2,745,000				2,971,737
¤		Michigan Finance Authority, Trinity Health Corp., Revenue Bonds Series 2016 5.25%, due 12/1/41 (b)(c)			21,630,000				26,874,843
		Michigan Public Educational Facilities Authority, Dr. Joseph F. Pollack, Revenue Bonds
		8.00%, due 4/1/30			1,195,000				1,324,944
		8.00%, due 4/1/40			500,000				553,500
		Michigan Tobacco Settlement Finance Authority, Revenue Bonds
		Series A 6.00%, due 6/1/34			5,120,000				5,152,461
		Series A 6.00%, due 6/1/48			7,500,000				7,548,000
		Wayne County Michigan, Capital Improvement, Limited General Obligation Series A, Insured: AGM 5.00%, due 2/1/38			2,135,000				2,187,158
									77,976,979
		Minnesota 0.4% (0.2% of Managed Assets)
		Blaine Minnesota Senior Housing & Healthcare, Crest View Senior Community Project, Revenue Bonds Series A 5.75%, due 7/1/35			2,000,000				2,145,460
		Missouri 0.4% (0.3% of Managed Assets)
		St. Louis County Industrial Development Authority, Nazareth Living Center, Revenue Bonds 6.125%, due 8/15/42			2,120,000				2,337,130
		Nebraska 3.9% (2.7% of Managed Assets)
		Central Plains Energy, Project No. 3, Revenue Bonds 5.25%, due 9/1/37 (b)(c)			20,000,000				22,938,800
		Nevada 2.3% (1.5% of Managed Assets)
		City of Sparks, Tourism Improvement District No. 1, Senior Sales Tax Anticipation, Revenue Bonds Series A 6.75%, due 6/15/28 (b)			12,500,000				13,237,875
		New Hampshire 0.6% (0.4% of Managed Assets)
		Manchester Housing & Redevelopment Authority Inc., Revenue Bonds Series B, Insured: ACA (zero coupon), due 1/1/24			4,740,000				3,388,436
		New Jersey 5.2% (3.5% of Managed Assets)
		New Jersey Building Authority, Revenue Bonds Series A, Insured: BAM 5.00%, due 6/15/26			2,650,000				3,239,121
		New Jersey Economic Development Authority, Continental Airlines, Inc. Project, Revenue Bonds
		5.25%, due 9/15/29 (d)			6,120,000				6,865,110
		Series B 5.625%, due 11/15/30 (d)			2,500,000				2,914,500
		New Jersey Tobacco Settlement Financing Corp., Revenue Bonds
		Series 1A 4.75%, due 6/1/34			2,185,000				2,142,480
		Series 1A 5.00%, due 6/1/41			10,000,000				9,856,700
		New Jersey Transportation Trust Fund Authority, Revenue Bonds Series C, Insured: AGM (zero coupon), due 12/15/34			10,000,000				5,211,900
									30,229,811
		New York 4.4% (3.0% of Managed Assets)
		Nassau County Tobacco Settlement Corp., Asset-Backed, Revenue Bonds Series A-3 5.125%, due 6/1/46			5,000,000				4,951,350
		New York Liberty Development Corp., World Trade Center, Revenue Bonds Class 3 7.25%, due 11/15/44 (b)			2,500,000				3,319,050
		New York Transportation Development Corp., American Airlines, Inc. - John Kennedy Airport Project, Revenue Bonds 5.00%, due 8/1/26 (d)			4,000,000				4,465,760
		New York Transportation Development Corp., LaGuardia Airport Terminal B Redevelopment Project, Revenue Bonds
		Series A, Insured: AGM 4.00%, due 7/1/36 (d)			3,725,000				4,012,868
		Series A 5.00%, due 7/1/41 (d)			5,000,000				5,783,950
		Riverhead Industrial Development Agency, Revenue Bonds 7.00%, due 8/1/43			3,395,000				3,090,876
									25,623,854
		Ohio 6.3% (4.3% of Managed Assets)
		American Municipal Power, Inc., Prairie State Energy Campus, Revenue Bonds Series A, Insured: BAM 5.25%, due 2/15/31			15,000,000				18,005,550
		Buckeye Tobacco Settlement Financing Authority, Asset-Backed, Senior Turbo, Revenue Bonds
		Series A-2 5.125%, due 6/1/24			2,550,000				2,503,947
		Series A-2 5.75%, due 6/1/34			2,425,000				2,410,887
		Series A-2 5.875%, due 6/1/30			13,890,000				13,869,026
									36,789,410
		Pennsylvania 5.3% (3.6% of Managed Assets)
		Harrisburg, Capital Appreciation, Unlimited General Obligation Series F, Insured: AMBAC (zero coupon), due 9/15/21			95,000				76,337
		Pennsylvania Economic Development Financing Authority, Capitol Region Parking System, Revenue Bonds Series B 6.00%, due 7/1/53 (b)(c)			14,260,000				17,975,557
		Pennsylvania Turnpike Commission, Revenue Bonds Series B, Insured: BAM 5.25%, due 12/1/44			5,000,000				6,035,650
		Philadelphia Authority for Industrial Development, Nueva Esperanza Inc., Revenue Bonds 8.20%, due 12/1/43			2,000,000				2,342,500
		Philadelphia Gas Works Co., 1998 General Ordinance, Revenue Bonds
		Series 14 5.00%, due 10/1/33			1,030,000				1,264,418
		Series 14 5.00%, due 10/1/34			1,000,000				1,222,580
		Philadelphia, Unlimited General Obligation 6.00%, due 8/1/36			1,625,000				1,921,562
									30,838,604
		Puerto Rico 19.8% (13.4% of Managed Assets)
		Commonwealth of Puerto Rico, Aqueduct & Sewer Authority, Revenue Bonds
		Series A, Insured: AGC 5.00%, due 7/1/25			200,000				207,130
		Senior Lien—Series A, Insured: AGC 5.125%, due 7/1/47			2,840,000				2,934,686
¤		Commonwealth of Puerto Rico, Public Improvement, Unlimited General Obligation
		Series A, Insured: AGM 5.00%, due 7/1/35			15,500,000				16,700,320
		Insured: AGM 5.125%, due 7/1/30			715,000				716,194
		Series A, Insured: AGC 5.25%, due 7/1/23			100,000				100,229
		Series A-4, Insured: AGM 5.25%, due 7/1/30			4,175,000				4,477,521
		Series A, Insured: AGM 5.375%, due 7/1/25			655,000				717,533
		Series A, Insured: AMBAC 5.50%, due 7/1/19			55,000				57,224
		Series A, Insured: NATL-RE 5.50%, due 7/1/21			680,000				732,904
		Series A, Insured: AGM 5.50%, due 7/1/27			2,210,000				2,433,254
		Series A, Insured: AGC 5.50%, due 7/1/29			390,000				455,742
		Series A, Insured: AGC 5.50%, due 7/1/32			255,000				264,774
		Series C, Insured: AGM 5.50%, due 7/1/32			1,410,000				1,412,679
		Series C, Insured: AGM 5.75%, due 7/1/37			5,440,000				5,448,595
		Series C-7, Insured: NATL-RE 6.00%, due 7/1/27			2,970,000				3,103,442
		Series A, Insured: AGM 6.00%, due 7/1/33			875,000				876,995
		Series A, Insured: AGM 6.00%, due 7/1/34			755,000				821,584
		Puerto Rico Convention Center District Authority, Revenue Bonds
		Series A, Insured: AGC 4.50%, due 7/1/36			8,195,000				8,199,098
		Series A, Insured: AGC 5.00%, due 7/1/27			635,000				636,187
		Series A, Insured: AMBAC 5.00%, due 7/1/31			1,295,000				1,298,263
		Puerto Rico Electric Power Authority, Revenue Bonds
		Series DDD, Insured: AGM 3.625%, due 7/1/23			540,000				528,768
		Series DDD, Insured: AGM 3.65%, due 7/1/24			1,735,000				1,697,299
		Series SS, Insured: NATL-RE 5.00%, due 7/1/19			5,200,000				5,268,744
		Series PP, Insured: NATL-RE 5.00%, due 7/1/24			1,035,000				1,036,387
		Series PP, Insured: NATL-RE 5.00%, due 7/1/25			65,000				65,086
		Series TT, Insured: AGM 5.00%, due 7/1/27			210,000				213,501
		Series VV, Insured: AGM 5.25%, due 7/1/27			730,000				828,455
¤		Puerto Rico Highways & Transportation Authority, Revenue Bonds
		Series AA-1, Insured: AGM 4.95%, due 7/1/26			5,675,000				5,920,898
		Series K, Insured: AGC, AGM 5.00%, due 7/1/18			560,000				561,814
		Series N, Insured: AMBAC 5.25%, due 7/1/30			425,000				450,551
		Series N, Insured: AMBAC 5.25%, due 7/1/31			1,095,000				1,161,751
		Series CC, Insured: AGM 5.25%, due 7/1/32			410,000				475,170
		Series N, Insured: NATL-RE 5.25%, due 7/1/32			4,000,000				4,382,160
		Series CC, Insured: AGM 5.25%, due 7/1/34			1,510,000				1,762,668
		Series N, Insured: AGC 5.25%, due 7/1/34			1,040,000				1,214,023
		Series L, Insured: AMBAC 5.25%, due 7/1/38			2,600,000				2,747,966
		Series N, Insured: AGC, AGM 5.50%, due 7/1/25			250,000				285,148
		Series CC, Insured: AGM 5.50%, due 7/1/29			700,000				817,999
		Series N, Insured: AGC, AGM 5.50%, due 7/1/29			6,000,000				7,011,420
		Series CC, Insured: AGM 5.50%, due 7/1/30			3,070,000				3,610,995
		Puerto Rico Municipal Finance Agency, Revenue Bonds
		Series A, Insured: AGM 5.00%, due 8/1/20			580,000				589,297
		Series A, Insured: AGM 5.00%, due 8/1/21			810,000				822,984
		Series A, Insured: AGM 5.00%, due 8/1/22			810,000				822,984
		Series A, Insured: AGM 5.00%, due 8/1/30			1,030,000				1,046,511
		Series C, Insured: AGC 5.25%, due 8/1/21			3,775,000				4,013,920
		Puerto Rico Municipal Finance Agency, Unlimited General Obligation
		Series A, Insured: AGM 5.00%, due 8/1/27			2,580,000				2,634,825
		Series A, Insured: AGM 5.25%, due 8/1/21			230,000				233,452
		Puerto Rico Public Buildings Authority, Government Facilities, Revenue Bonds
		Series F, Insured: AGC 5.25%, due 7/1/21			2,000,000				2,161,220
		Series M-3, Insured: NATL-RE 6.00%, due 7/1/25			250,000				279,193
		Series M-3, Insured: NATL-RE 6.00%, due 7/1/27			10,000,000				10,449,300
									114,688,843
		Rhode Island 3.1% (2.1% of Managed Assets)
		Narragansett Bay Commission Wastewater System, Revenue Bonds Series A 5.00%, due 9/1/38 (b)(c)			15,000,000				17,887,650
		Tennessee 2.7% (1.8% of Managed Assets)
		Chattanooga, TN, Industrial Development Board, Lease Rental, Revenue Bonds Insured: AGM 5.00%, due 10/1/30 (b)(c)			15,000,000				15,626,400
		Texas 4.0% (2.7% of Managed Assets)
		Harris County-Houston Sports Authority, Revenue Bonds
		Series H, Insured: NATL-RE (zero coupon), due 11/15/28			50,000				33,533
		Series A, Insured: AGM, NATL-RE (zero coupon), due 11/15/38			175,000				71,557
		Series H, Insured: NATL-RE (zero coupon), due 11/15/38			260,000				96,645
		Texas Municipal Gas Acquisition & Supply Corp. III, Revenue Bonds 5.00%, due 12/15/32 (b)(c)			20,000,000				22,854,760
									23,056,495
		U.S. Virgin Islands 3.1% (2.1% of Managed Assets)
		Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan, Revenue Bonds Insured: AGM 5.00%, due 10/1/32			2,475,000				2,706,536
		Virgin Islands Public Finance Authority, Revenue Bonds
		Series C 5.00%, due 10/1/30			10,000,000				10,039,800
		Series A, Insured: AGM 5.00%, due 10/1/32			4,650,000				5,085,008
									17,831,344
		Utah 3.8% (2.5% of Managed Assets)
		County of Utah UT, IHC Health Services, Inc., Revenue Bonds Series B 4.00%, due 5/15/47 (b)(c)			20,000,000				21,886,343
		Virginia 5.5% (3.7% of Managed Assets)
		Tobacco Settlement Financing Corp., Revenue Bonds Series B1 5.00%, due 6/1/47			7,500,000				7,350,525
¤		Virginia Commonwealth Transportation Board, Capital Projects, Revenue Bonds 5.00%, due 5/15/31 (b)(c)			20,315,000				24,348,498
									31,699,023
		Washington 3.8% (2.6% of Managed Assets)
		Washington Health Care Facilities Authority, Multicare Health System, Revenue Bonds Series A 5.00%, due 8/15/44 (b)(c)			19,665,000				22,299,717
		Wisconsin 0.1% (0.1% of Managed Assets)
		Public Finance Authority, Bancroft NeuroHealth Project, Revenue Bonds Series A 5.00%, due 6/1/36 (b)			500,000				515,935
		Total Investments (Cost $755,058,632) (f)			144.4	%			837,203,724
		Floating Rate Note Obligations (e)			(35.7	)			(207,205,000	)
		Fixed Rate Municipal Term Preferred Shares, at Liquidation Value			(12.1	)			(70,000,000	)
		Other Assets, Less Liabilities			3.4				19,700,146
		Net Assets Applicable to Common Shares			100.0	%		$	579,698,870

 

¤	Among the Fund’s 10 largest holdings or issuers held, as of August 31, 2016.  May be subject to change daily.
†	Percentages indicated are based on Fund net assets.
‡	Less than one-tenth of a percent.
(a)	Step coupon - Rate shown was the rate in effect as of August 31, 2016.
(b)	May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended.
(c)	All or portion of principal amount transferred to a Tender Option Bond (“TOB”) Issuer in exchange for TOB Residuals and cash.
(d)	Interest on these securities was subject to alternative minimum tax.
(e)	Face value of Floating Rate Notes issued in TOB transactions.
(f)	As of August 31, 2016, cost is $547,644,837 for federal income tax purposes and net unrealized appreciation is as follows:

	Gross unrealized appreciation		$	86,398,558
	Gross unrealized depreciation			(4,044,671	)
	Net unrealized appreciation		$	82,353,887

  

“Managed Assets” is defined as the Fund’s total assets, minus the sum of its accrued liabilities (other than Fund liabilities incurred for the purpose of creating effective leverage (i.e. tender option bonds) or Fund liabilities related to liquidation preference of any preferred shares issued).

  

	The following abbreviations are used in the above portfolio:
ACA	—ACA Financial Guaranty Corp.
AGC	—Assured Guaranty Corp.
AGM	—Assured Guaranty Municipal Corp.
AMBAC	—Ambac Assurance Corp.
BAM	—Build America Mutual Assurance Co.
FGIC	—Financial Guaranty Insurance Co.
NATL-RE	—National Public Finance Guarantee Corp.

 

As of August 31, 2016, the Fund held the following futures contracts¹:

   

Type		Number of Contracts (Short)				Expiration Date		Notional Amount				Unrealized Appreciation (Depreciation)2
10-Year United States Treasury Note			(700)			December 2016		$	(91,645,313	)		$	37,619

 

1. As of August 31, 2016, cash in the amount of $945,000 was on deposit with a broker for futures transactions.

2. Represents the difference between the value of the contracts at the time they were opened and the value as of August 31, 2016.

 

 

The following is a summary of the fair valuations according to the inputs used as of August 31, 2016, for valuing the Fund’s assets and liabilities.

 

Asset Valuation Inputs

 

Description		Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)				Total
Investments in Securities (a)
Municipal Bonds		$	—			$	837,203,724			$	—			$	837,203,724
Total Investments in Securities			—				837,203,724				—				837,203,724
Other Financial Instruments
Futures Contracts Short (b)			37,619				—				—				37,619
Total Investments in Securities and Other Financial Instruments		$	37,619			$	837,203,724			$	—			$	837,241,343

 

(a)

For a complete listing of investments and their industries, see the Portfolio of Investments.

 

(b)

The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments.

 

The Fund recognizes transfers between the levels as of the beginning of the period.

 

For the period ended August 31, 2016, the Fund did not have any transfers between Level 1 and Level 2 fair value measurements.

 

As of August 31, 2016, the Fund did not hold any investments with significant unobservable inputs (Level 3).

 

 

MainStay DefinedTerm Municipal Opportunities Fund

 

NOTES TO PORTFOLIOS OF INVESTMENTS August 31, 2016 (Unaudited)

 

SECURITIES VALUATION.

 

Investments are usually valued as of the close of regular trading on the New York Stock Exchange (the "Exchange") (generally 4:00 p.m. Eastern time) on each day the Fund is open for business ("valuation date").

 

The Board of Trustees (the "Board") of the MainStay DefinedTerm Municipal Opportunities Fund (the "Fund") adopted procedures establishing methodologies for the valuation of the Fund's securities and other assets and delegated the responsibility for valuation determinations under those procedures to the Valuation Committee of the Fund (the "Valuation Committee"). The Board authorized the Valuation Committee to appoint a Valuation Sub-Committee (the "Sub-Committee") to deal in the first instance with establishing the prices of securities for which market quotations are not readily available or the prices of which are not otherwise readily determinable under these procedures. The Sub-Committee meets (in person, via electronic mail or via teleconference) on an as-needed basis. Subsequently, the Valuation Committee meets to ensure that actions taken by the Sub-Committee were appropriate. The procedures recognize that, subject to the oversight of the Board and unless otherwise noted, the responsibility for the day-to-day valuation of portfolio assets (including fair value measurements for the Fund's assets and liabilities) rests with New York Life Investment Management LLC ("New York Life Investments" or the "Manager"), aided to whatever extent necessary by the Subadvisor to the Fund.

 

To assess the appropriateness of security valuations, the Manager, Subadvisor or the Fund’s third party service provider, who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and the sale prices to the prior and current day prices and challenges prices with changes exceeding certain tolerance levels with third party pricing services or broker sources. For those securities valued through either a standardized fair valuation methodology or a fair valuation measurement, the Sub-Committee deals in the first instance with such valuation and the Valuation Committee reviews and affirms the reasonableness of the valuation based on such methodologies and measurements on a regular basis after considering all relevant information that is reasonably available. Any action taken by the Sub-Committee with respect to the valuation of a portfolio security or other asset is submitted by the Valuation Committee to the Board for its review and ratification, if appropriate, at its next regularly scheduled meeting.

 

"Fair value" is defined as the price the Fund would receive upon selling an asset or liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the asset or liability. Fair value measurements are determined within a framework that has established a three-tier hierarchy which maximizes the use of observable market data and minimizes the use of unobservable inputs to establish a classification of fair value measurements for disclosure purposes. "Inputs" refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, such as the risk inherent in a particular valuation technique used to measure fair value using a pricing model and/or the risk inherent in the inputs for the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the information available. The inputs or methodology used for valuing assets or liabilities may not be an indication of the risks associated with investing in those assets or liabilities. The three-tier hierarchy of inputs is summarized below.

 

·

Level 1 – quoted prices in active markets for an identical asset or liability

·

Level 2 – other significant observable inputs (including quoted prices for a similar asset or liability in active markets, interest rates and yield curves, prepayment speeds, credit risk, etc.)

·

Level 3 – significant unobservable inputs (including the Fund’s own assumptions about the assumptions that market participants would use in measuring the fair value of an asset or liability)

 

The level of an asset or liability within the fair value hierarchy is based on the lowest level of an input, both individually and in the aggregate, that is significant to the fair value measurement. As of August 31, 2016, the aggregate value by input level of the Fund’s assets and liabilities is included at the end of the Fund’s Portfolio of Investments.

 

The Fund may use third party vendor evaluations, whose prices may be derived from one or more of the following standard inputs among others:

 

• Benchmark yields	• Reported trades
• Broker dealer quotes	• Issuer spreads
• Two-sided markets	• Benchmark securities
• Bids/offers	• Reference data (corporate actions or material event notices)
• Industry and economic events	• Comparable bonds
• Monthly payment information

 

 

An asset or liability for which market values cannot be measured using the methodologies described above is valued by methods deemed reasonable in good faith by the Valuation Committee, following the procedures established by the Board, to represent fair value. Under these procedures, the Fund generally uses a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information. The Fund may also use an income-based valuation approach in which the anticipated future cash flows of the asset or liability are discounted to calculate fair value. Discounts may also be applied due to the nature and/or duration of any restrictions on the disposition of the asset or liability. Fair value represents a good faith approximation of the value of the security. Fair value determinations involve the consideration of a number of subjective factors, an analysis of applicable facts and circumstances and the exercise of judgment. As a result, it is possible that the fair value for a security determined in good faith in accordance with the Fund's valuation procedures may differ from valuations for the same security determined by other funds using their own valuation procedures. Although the Fund's valuation procedures are designed to value a security at the price the Fund may reasonably expect to receive upon its sale in an orderly transaction, there can be no assurance that any fair value determination there under would, in fact, approximate the amount that the Fund would actually realize upon the sale of the security or the price at which the security would trade if a reliable market price were readily available. During the period ended August 31, 2016, there were no material changes to the fair value methodologies.

 

Securities which may be valued in this manner include, but are not limited to: (i) a security for which trading has been halted or suspended; (ii) a debt security that has recently gone into default and for which there is not a current market quotation; (iii) a security of an issuer that has entered into a restructuring; (iv) a security that has been de-listed from a national exchange; (v) a security for which the market price is not readily available from a third party pricing source or, if so provided, does not, in the opinion of the Manager or Subadvisor reflect the security’s market value; (vi) a security subject to trading collars for which no or limited trading takes place; and (vii) a security whose principal market has been temporarily closed at a time when, under normal conditions, it would be open. Securities for which market quotations or observable inputs are not readily available are generally categorized as Level 3 in the hierarchy. As of August 31, 2016, no securities held by the Fund were fair valued in such a manner.

 

Municipal debt securities are valued at the evaluated mean prices supplied by a pricing agent or brokers selected by the Manager, in consultation with the Subadvisor. Those values reflect broker/dealer supplied prices and electronic data processing techniques, if the evaluated mean prices are deemed by the Manager, in consultation with the Subadvisor, to be representative of market values, at the regular close of trading of the Exchange on each valuation date. Debt securities purchased on a delayed delivery basis are marked to market daily until settlement at the forward settlement date. Municipal debt securities are generally categorized as Level 2 in the hierarchy.

 

Futures contracts are valued at the last posted settlement price on the market where such futures are primarily traded and are generally categorized as Level 1 in the hierarchy.

 

Temporary cash investments acquired in excess of 60 days to maturity at the time of purchase are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments which mature in 60 days or less at the time of purchase (“Short-Term Investments”) are valued using the amortized cost method of valuation, unless the use of such method would be inappropriate. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between such cost and the value on maturity date. Amortized cost approximates the current fair value of a security. Securities valued at amortized cost are not valued using quoted prices in an active market and are generally categorized as Level 2 in the hierarchy.

 

The information above is not intended to reflect an exhaustive list of the methodologies that may be used to value portfolio investments. The valuation procedures permit the use of a variety of valuation methodologies in connection with valuing portfolio investments. The methodology used for a specific type of investment may vary based on the market data available or other considerations. The methodologies summarized above may not represent the specific means by which portfolio investments are valued on any particular business day.

 

 

 

Item 2. Controls And Procedures.

 

(a)

Based on an evaluation of the Disclosure Controls and Procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, the “Disclosure Controls”) as of a date within 90 days prior to the filing date (the “Filing Date”) of this Form N-Q (the “Report”), the Registrant’s principal executive and principal financial officers have concluded that the Disclosure Controls are reasonably designed to ensure that information required to be disclosed by the Registrant in the Report is recorded, processed, summarized and reported by the Filing Date, including ensuring that information required to be disclosed in the Report is accumulated and communicated to the Registrant’s management, including the Registrant’s principal executive officer and principal financial officer, as appropriate, to allow timely decisions regarding required disclosure.

 

(b)

There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) 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.

 

Item 3. Exhibits.

 

(a)

Certifications of principal executive officer and principal financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)).

 

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

MAINSTAY DEFINEDTERM MUNICIPAL OPPORTUNITIES FUND

 

By:    /s/ Stephen P. Fisher

Stephen P. Fisher

President and Principal Executive Officer

 

Date: October 25, 2016

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

 

By:    /s/ Stephen P. Fisher

Stephen P. Fisher

President and Principal Executive Officer

 

Date: October 25, 2016

 

 

By:    /s/ Jack R. Benintende

Jack R. Benintende

Treasurer and Principal Financial and

Accounting Officer

 

Date: October 25, 2016