522 Fifth Avenue, New York, New York | 10036 | |
(Address of principal executive offices) | (Zip code) |
PRINCIPAL | ||||||||||||||||
AMOUNT IN | COUPON | MATURITY | ||||||||||||||
THOUSANDS | RATE | DATE | VALUE | |||||||||||||
Tax-Exempt Municipal Bonds (100.8%) |
||||||||||||||||
California (98.5%) |
||||||||||||||||
$ | 235 | Alameda County Joint Powers Authority, Ser 2008 (FSA Insd) |
5.00 | % | 12/01/24 | $ | 239,150 | |||||||||
280 | Alhambra Unified School District, California, Ser 2007 A (FSA Insd) |
0.00 | 08/01/35 | 50,341 | ||||||||||||
450 | Alhambra Unified School District, California, Ser 2007 B (FSA Insd) |
0.00 | 08/01/36 | 76,136 | ||||||||||||
185 | Alvord Unified School District, California, Ser 2007 A (FSA Insd) |
5.00 | 08/01/28 | 181,442 | ||||||||||||
2,000 | Anaheim Public Financing Authority, Distribution Electric Ser 2007-A
(NATL-RE Insd) |
4.50 | 10/01/37 | 1,683,460 | ||||||||||||
205 | Beverly Hills Unified School District, Election of 2008 Ser 2009 (a) |
0.00 | 08/01/26 | 86,223 | ||||||||||||
430 | Beverly Hills Unified School District, Election of 2008 Ser 2009 (a) |
0.00 | 08/01/32 | 121,806 | ||||||||||||
1,500 | California Department of Veterans Affairs, Home Purchase 2002
Ser A (AMBAC Insd) |
5.35 | 12/01/27 | 1,517,475 | ||||||||||||
2,000 | California Infrastructure & Economic Development Bank, Bay Area Toll
Bridges Seismic Retrofit First Lien Ser 2003 A (AMBAC Insd) (ETM) |
5.00 | 01/01/28 | (b) | 2,277,140 | |||||||||||
1,000 | California State University, Ser 2005 A (AMBAC Insd) |
5.00 | 11/01/35 | 921,770 | ||||||||||||
590 | Campbell Union High School District, Election of 2006 Ser 2008 B (AGC Insd) |
5.00 | 08/01/35 | 568,400 | ||||||||||||
1,000 | Capistrano Unified School District, Community Facilities District #98-2
Ladera Ser 2005 (FGIC Insd) |
5.00 | 09/01/29 | 849,940 | ||||||||||||
3,025 | City of Fairfield Water Financing, Ser 2007 A (COPs) (XLCA Insd) (a) |
0.00 | 04/01/30 | 725,123 | ||||||||||||
105 | Clovis Unified School District, Election of 2004 Ser 2004 A (FGIC Insd) (a) |
0.00 | 08/01/29 | 28,832 | ||||||||||||
890 | Corona-Norco Unified School District, Election of 2006 Ser 2009 B (AGC Insd) (a) |
0.00 | 08/01/28 | 276,924 | ||||||||||||
2,860 | Dry Creek California Joint Elementary School Capital Appreciation Election 2008 E |
0.00 | 08/01/48 | 198,198 | ||||||||||||
615 | El Segundo Unified School District, Election of 2008 Ser 2009 A (a) |
0.00 | 08/01/33 | 126,758 | ||||||||||||
1,055 | Fontana Unified School District, Ser 2008 B (FSA Insd) (a) |
0.00 | 02/01/33 | 224,472 | ||||||||||||
750 | Gilroy Unified School District, Election of 2008 Ser 2009 A (AGC Insd) (a) |
0.00 | 08/01/29 | 206,655 | ||||||||||||
1,000 | Golden State Tobacco Securitization Corporation, Enhanced Asset Backed
Ser 2005 A (FGIC Insd) |
5.00 | 06/01/38 | 825,780 | ||||||||||||
775 | Grossmont Union High School District, Election of 2004 Ser 2006 (NATL-RE Insd) (a) |
0.00 | 08/01/24 | 306,451 | ||||||||||||
775 | Grossmont-Cuyamaca Community College District, Election of 2002 Ser 2008C
(AGC Insd) (a) |
0.00 | 08/01/30 | 230,904 | ||||||||||||
1,280 | Huntington Beach Union High School District Ser 2004 (FSA Insd) |
5.00 | 08/01/26 | 1,292,390 | ||||||||||||
1,110 | Kern County Board of Education Refg 2006 Ser A (COPs) (NATL-RE Insd) |
5.00 | 06/01/31 | 1,037,195 | ||||||||||||
245 | Kern County Water Agency, Improvement District No 4 Ser 2008A (COPs) (AGC Insd) |
5.00 | 05/01/28 | 242,628 | ||||||||||||
1,100 | La Quinta Financing Authority, Local Agency 2004 Ser A (AMBAC Insd) |
5.25 | 09/01/24 | 1,048,168 | ||||||||||||
1,030 | Los Angeles, Ser 2004 A (NATL-RE Insd) |
5.00 | 09/01/24 | 1,065,896 | ||||||||||||
1,000 | Los Angeles County Metropolitan Transportation Authority Sales Tax
Ser 2000 A (FGIC Insd) |
4.50 | 07/01/29 | (b) | 929,720 | |||||||||||
1,000 | Los Angeles Department of Water & Power,2001 Ser A (FSA Insd) |
5.25 | 07/01/21 | 1,038,740 | ||||||||||||
800 | Los Angeles Municipal Improvement Corporation, Police
Headquarters Ser 2006 - A (FGIC Insd) |
4.75 | 01/01/31 | 747,912 | ||||||||||||
1,240 | Metropolitan Water District Southern California Ser B (f) |
5.00 | 07/01/27 | 1,312,816 | ||||||||||||
2,000 | Moorpark Unified School District, Election of 2008 Ser 2009 A (AGC Insd) (a) |
0.00 | 08/01/31 | 486,500 | ||||||||||||
315 | Moreland California School District 2014 Ser C |
0.00 | 08/01/29 | 82,602 | ||||||||||||
1,020 | Murrieta Valley Unified School District, Election of 2006 Ser 2008 (FSA Insd) (a) |
0.00 | 09/01/31 | 244,902 | ||||||||||||
820 | Murrieta Valley Unified School District, Election of 2006 Ser 2008 (FSA Insd) (a) |
0.00 | 09/01/33 | 171,970 | ||||||||||||
235 | Oakland Joint Powers Financing Authority, Oakland Administration Buildings
Ser 2008 A (AGC Insd) |
5.00 | 08/01/26 | 233,670 | ||||||||||||
1,000 | Oxnard Financing Authority, Wastewater 2004 Ser A (FGIC Insd) |
5.00 | 06/01/29 | 966,950 | ||||||||||||
3,920 | Patterson Joint Unified School District, Election of 2008 Ser 2009 B (FSA Insd) (a) |
0.00 | 03/01/49 | 283,612 | ||||||||||||
250 | Placer County Water Agency Water Refg, Ser 2008 (COPs) (FSA Insd) |
4.75 | 07/01/29 | 242,470 | ||||||||||||
2,095 | Planada California Elementary School District 2008 Ser B |
0.00 | 07/01/49 | 110,574 | ||||||||||||
790 | Poway Unified School District, Election of 2008 Ser 2009 A (a) |
0.00 | 08/01/30 | 202,848 | ||||||||||||
730 | Poway Unified School District, Election of 2008 Ser 2009 A (a) |
0.00 | 08/01/31 | 173,463 | ||||||||||||
1,000 | Rancho Mirage Redevelopment Agency, Ser 2003 A (NATL-RE Insd) |
5.00 | 04/01/33 | 803,530 | ||||||||||||
360 | Redding Electric System, Ser 2008 A (COPs) (FSA Insd) |
5.00 | 06/01/27 | 350,446 | ||||||||||||
500 | Riverside Electric, Issue of 2008D (FSA Insd) |
5.00 | 10/01/28 | 503,990 | ||||||||||||
1,235 | Rocklin Unified School District, Community Facilities District No 2 Ser 2007
(NATL-RE Insd) (a) |
0.00 | 09/01/34 | 194,661 | ||||||||||||
1,255 | Rocklin Unified School District, Community Facilities District No 2 Ser 2007
(NATL-RE Insd) (a) |
0.00 | 09/01/35 | 184,322 | ||||||||||||
1,230 | Rocklin Unified School District, Community Facilities District No 2 Ser 2007
(NATL-RE Insd) (a) |
0.00 | 09/01/36 | 168,412 | ||||||||||||
1,025 | Rocklin Unified School District, Community Facilities District No 2 Ser 2007
(NATL-RE Insd) (a) |
0.00 | 09/01/37 | 130,483 | ||||||||||||
675 | Roseville Joint Union High School District, Election Ser 2004 C (FSA Insd) (a) |
0.00 | 08/01/25 | 258,410 | ||||||||||||
180 | Sacramento City Financing Authority, 1999 Solid Waste & Redevelopment
(AMBAC Insd) |
5.75 | 12/01/22 | 178,909 |
PRINCIPAL | ||||||||||||||||
AMOUNT IN | COUPON | MATURITY | ||||||||||||||
THOUSANDS | RATE | DATE | VALUE | |||||||||||||
1,000 | Sacramento County Sanitation Districts Financing Authority, Refg Ser
2006 (FGIC Insd) |
5.00 | 12/01/28 | 1,001,650 | ||||||||||||
1,000 | Sacramento California Municipal Utility District Election Ser U |
5.00 | 08/15/24 | 1,026,160 | ||||||||||||
5,495 | San Bernadino Community College District Election 2008 Ser B |
0.00 | 08/01/48 | 384,980 | ||||||||||||
1,000 | San Diego County Water Authority, California, Ser 2004 A (COPs) (FSA Insd) |
5.00 | 05/01/29 | 1,001,900 | ||||||||||||
1,000 | San Francisco City & County, City Buildings Ser 2007 A (COPs) (FGIC Insd) |
4.50 | 09/01/37 | 857,760 | ||||||||||||
1,360 | San Francisco City & County, Laguna Honda Hospital Ser 2005 I (FSA Insd) |
5.00 | 06/15/30 | 1,366,338 | ||||||||||||
2,000 | San Francisco Public Utilities Commission, Water Refg Ser A 2001 (FSA Insd) |
5.00 | 11/01/31 | 1,986,580 | ||||||||||||
1,000 | San Jose, Airport Ser 2001 A (FGIC Insd) |
5.00 | 03/01/25 | 970,470 | ||||||||||||
1,000 | San Jose-Evergreen Community College District, Election Ser 2004 B (FSA Insd) (a) |
0.00 | 09/01/32 | 236,480 | ||||||||||||
130 | San Rafael City High School District , Election Ser 2002 B |
0.00 | 08/01/25 | 51,754 | ||||||||||||
500 | San Ysidro School District, 1997 Election Ser 2007 E (FSA Insd) (a) |
0.00 | 08/01/27 | 165,060 | ||||||||||||
760 | San Ysidro School District, 1997 Election Ser 2007 E (FSA Insd) (a) |
0.00 | 08/01/29 | 210,550 | ||||||||||||
1,870 | School Facilities Financing Authority, Grant Joint Union High School District
Ser 2008A (FSA Insd) (a) |
0.00 | 08/01/33 | 386,230 | ||||||||||||
1,000 | Simi Valley Public Financing Authority, Ser 2004 (COPs) (AMBAC Insd) |
5.00 | 09/01/30 | 948,760 | ||||||||||||
480 | Simi Valley Unified School District, Election of 2004 Ser 2007 C (FSA Insd) (a) |
0.00 | 08/01/28 | 142,056 | ||||||||||||
380 | Simi Valley Unified School District, Election of 2004 Ser 2007 C (FSA Insd) (a) |
0.00 | 08/01/30 | 91,508 | ||||||||||||
1,000 | Southern California Public Power Authority, Transmission Refg Ser 2002 A
(FSA Insd) |
5.25 | 07/01/18 | 1,062,790 | ||||||||||||
250 | Tustin Unified School Facilities District No 2002-1-2002 Election Ser 2008 C (FSA
Insd) |
5.00 | 06/01/28 | 250,693 | ||||||||||||
250 | Twin Rivers Unified School District, Ser 2009 (BANs) (a) |
0.00 | 04/01/14 | 198,360 | ||||||||||||
1,000 | University of California, Ser 2007- J (FSA Insd) |
4.50 | 05/15/31 | 903,260 | ||||||||||||
1,000 | University of California, Ser 2007- J (FSA Insd) |
4.50 | 05/15/35 | 881,760 | ||||||||||||
1,000 | University of California Regents Ser 2007 A (NATL-RE Insd) |
4.50 | 05/15/37 | 869,880 | ||||||||||||
500 | University of California, Ser 2009 O |
5.25 | 05/15/39 | 511,490 | ||||||||||||
1,000 | Upland School District, Election 2000 Ser 2001 B (FSA Insd) |
5.125 | 08/01/25 | 1,020,450 | ||||||||||||
675 | Val Verde Unified School District of Construction, Ser 2005 B (COPs)
(FGIC Insd) |
5.00 | 01/01/30 | 550,233 | ||||||||||||
8,115 | Victor Valley Community College District, Election 2008 Ser C |
0.00 | 06/01/49 | 501,507 | ||||||||||||
1,375 | Washington Unified School District, 2004 Ser A (FGIC Insd) |
5.00 | 08/01/22 | 1,409,018 | ||||||||||||
245 | West Basin Municipal Water District, Refg Ser 2008B (COPs) (AGC Insd) |
5.00 | 08/01/27 | 238,481 | ||||||||||||
570 | Yosemite Community College District, Election of 2004, Ser 2008 C (FSA Insd) (a) |
0.00 | 08/01/25 | 226,923 | ||||||||||||
1,000 | Yucaipa Valley Water District, Ser 2004 A (COPs) (NATL-RE Insd) |
5.25 | 09/01/24 | 1,000,840 | ||||||||||||
46,865,486 | ||||||||||||||||
Guam (0.2%) |
||||||||||||||||
95 | Guam Government Ltd Obligation Ser A |
5.625 | 12/01/29 | 93,021 | ||||||||||||
Puerto Rico (1.6%) |
||||||||||||||||
500 | Puerto Rico Infrastructure Financing Authority, 2000 Ser A (ETM) (c) |
5.50 | 10/01/32 | 533,675 | ||||||||||||
240 | Puerto Rico Sales Tax Financing Corporation Ser 2009 A |
5.00 | 08/01/39 | 244,106 | ||||||||||||
777,781 | ||||||||||||||||
Virgin Islands (0.5%) |
||||||||||||||||
240 | Virgin Islands Public Finance Authority Matching Fund Loan Diago A |
6.625 | 10/01/29 | 242,018 | ||||||||||||
Total Tax-Exempt Municipal Bonds (Cost $50,521,923) |
47,978,307 | |||||||||||||||
California Short-Term Tax-Exempt Municipal Obligations (0.7%) |
||||||||||||||||
30 | California Housing Finance Agency, Multifamily Housing III Ser 2008 A
(Demand 08/03/09) |
0.32 | (d) | 08/01/40 | 30,000 | |||||||||||
300 | Sacramento County Sanitation Districts Financing Authority Ser 2008 D
(Demand 08/03/09) |
0.32 | (d) | 12/01/39 | 300,000 | |||||||||||
Total California Short-Term Tax-Exempt Municipal Obligations (Cost $330,000) |
330,000 | |||||||||||||||
Total Investments (Cost $50,760,123) |
48,308,307 | |||||||||||||||
Floating Rate Note and Dealer Trusts Obligation Related to Securities Held (-1.7%) |
||||||||||||||||
Note with interest rate of 0.23% at July 31, 2009 and contractual maturity of collateral at 07/01/27 (e) (Cost ($825,000)) |
(825,000) | |||||||||||||||
Total Net Investments (Cost $49,935,123) (f) (g) |
99.8 | % | 47,483,307 | |||||||||||||
Other Assets in Excess of Liabilities |
0.2 | 102,911 | ||||||||||||||
Net Assets Applicable to Common Shareholders |
100.0 | % | $ | 47,586,218 | ||||||||||||
Note: The categories of investments are shown as a percentage of net assets applicable to common shareholders. | ||
AMT | Alternative Minimum Tax. | |
BANs | Bond Anticipation Notes. | |
COPs | Certificates of Participation. | |
ETM | Escrowed to Maturity. | |
(a) | Capital appreciation bond. | |
(b) | Prefunded to call date shown. | |
(c) | A portion of this security has been physically segregated in connection with open futures contracts. | |
(d) | Current coupon rate of variable rate demand obligation. | |
(e) | Floating rate note and dealer trusts obligations related to securities held The Trust enters into transactions in which it transfers to Dealer Trusts (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. The Dealer Trusts fund the purchases of the fixed rate bonds by issuing floating rate notes to third parties and allowing the Trust to retain residual interest in the bonds. The Trust enters into shortfall agreements with the Dealer Trusts which commit the Trust 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 Trust (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 Trust, thereby collapsing the Dealer Trusts. The Trust accounts for the transfer of bonds to the Dealer Trusts as secured borrowings, with the securities transferred remaining in the Trusts investment assets, and the related floating rate notes reflected as Trust liabilities. The 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. At July 31, 2009, Trust investments with a value of $1,312,816 are held by the Dealer Trusts and serve as collateral for the $825,000 in floating rate note obligations outstanding at that date. | |
(f) | Securities have been designated as collateral in connection with open futures contracts. | |
(g) | The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. | |
Bond Insurance: | ||
AGC | Assured Guaranty Corporation. | |
AMBAC | AMBAC Assurance Corporation. | |
FGIC | Financial Guaranty Insurance Company. | |
FSA | Financial Security Assurance Inc. | |
NATL-RE | National Public Finance Guarantee Corporation. | |
XLCA | XL Capital Assurance Inc. |
UNREALIZED | ||||||||||||||
NUMBER OF | DESCRIPTION, DELIVERY | UNDERLYING FACE | APPRECIATION | |||||||||||
CONTRACTS | LONG/SHORT | MONTH AND YEAR | AMOUNT AT VALUE | (DEPRECIATION) | ||||||||||
137 | Long | U.S. Treasury Notes 20 Year September 2009 |
$ | 16,067,532 | $ | 392,640 | ||||||||
2 | Long | U.S. Treasury Notes 5 Year September 2009 |
230,766 | (75 | ) | |||||||||
20 | Short | U.S. Treasury Bonds 2 Year September 2009 |
(4,331,562 | ) | (4,473 | ) | ||||||||
50 | Short | U.S. Treasury Notes September 2009 |
(5,950,000 | ) | (164,182 | ) | ||||||||
Net Unrealized Appreciation |
$ | 223,910 | ||||||||||||
Fair Value Measurements at July 31, 2009 Using | ||||||||||||||||
Unadjusted | ||||||||||||||||
Quoted Prices In | Significant | Significant | ||||||||||||||
Active Market for | Other Observable | Unobservable | ||||||||||||||
Identical Investments | Inputs | Inputs | ||||||||||||||
Investment Type | Total | (Level 1) | (Level 2) | (Level 3) | ||||||||||||
Assets |
||||||||||||||||
Tax-Exempt Municipal Bonds |
$ | 47,978,307 | | $ | 47,978,307 | | ||||||||||
Short-Term
Tax-Exempt Municipal Obligations |
330,000 | | 330,000 | | ||||||||||||
Futures |
392,640 | $ | 392,640 | | | |||||||||||
Total Assets |
$ | 48,700,947 | $ | 392,640 | $ | 48,308,307 | | |||||||||
Liabilities |
||||||||||||||||
Futures |
$ | (168,730 | ) | $ | (168,730 | ) | | | ||||||||
2
3