nq2.htm



 
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 811-21449
 
Nuveen Municipal High Income Opportunity Fund
(Exact name of registrant as specified in charter)
 
Nuveen Investments
        333 West Wacker Drive, Chicago, Illinois 60606         
(Address of principal executive offices) (Zip code)
 

Kevin J. McCarthy
Vice President and Secretary
        333 West Wacker Drive, Chicago, Illinois 60606         
(Name and address of agent for service)
 
Registrant's telephone number, including area code:         312-917-7700        
 
Date of fiscal year end:            10/31          
 
Date of reporting period:         7/31/14         
 
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
 
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 
 
 

 
 
Item 1. Schedule of Investments
 
 
           
   
Portfolio of Investments (Unaudited)
     
           
   
   Nuveen Municipal High Income Opportunity Fund (NMZ)
     
   
July 31, 2014
     
 
 
Principal
   
Optional Call
   
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
Value
   
LONG-TERM INVESTMENTS – 113.7% (100.0% of Total Investments)
     
           
   
MUNICIPAL BONDS – 112.4% (98.8% of Total Investments)
     
           
   
National – 0.2% (0.1% of Total Investments)
     
$     1,000
 
MuniMae Tax-Exempt Bond Subsidiary Redeemable Preferred Shares, Multifamily Housing Pool,
No Opt. Call
Ba1
$ 999,980
   
Series 2005A-4, 5.125%, 6/30/50 (Mandatory put 9/30/15) (Alternative Minimum Tax)
     
   
Alabama – 1.3% (1.1% of Total Investments)
     
1,000
 
Adamsville Solid Waste Disposal Authority, Alabama, Solid Waste Disposal Revenue Bonds, Green
8/20 at 100.00
N/R
921,310
   
Mountain Management LLC Project, Series 2010, 8.750%, 8/01/30 (4)
     
1,000
 
Alabama Industrial Development Authority, Solid Waste Disposal Revenue Bonds, Pine City Fiber
1/15 at 100.00
B3
1,003,030
   
Co. Project, Series 1993, 6.450%, 12/01/23 (Alternative Minimum Tax)
     
1,845
 
Bessemer, Alabama, General Obligation Warrants, Series 2007, 6.500%, 2/01/37
2/17 at 101.00
N/R (5)
2,061,142
   
(Pre-refunded 2/01/17)
     
2,000
 
Jefferson County, Alabama, General Obligation Refunding Warrants, Series 2003A, 5.000%,
10/14 at 100.00
AA–
2,000,280
   
4/01/22 – NPFG Insured
     
1,000
 
Jefferson County, Alabama, General Obligation Warrants, Series 2004A, 5.000%, 4/01/24 –
4/15 at 100.00
AA–
994,260
   
NPFG Insured
     
1,000
 
Jefferson County, Alabama, Limited Obligation School Warrants, Education Tax Revenue Bonds,
1/15 at 100.00
BBB
1,004,700
   
Series 2004A, 5.000%, 1/01/24
     
1,000
 
Jefferson County, Alabama, Sewer Revenue Warrants, Senior Lien Series 2013C, 0.000%,
10/23 at 105.00
AA
636,630
   
10/01/38 – AGM Insured
     
8,845
 
Total Alabama
   
8,621,352
   
Arizona – 5.0% (4.4% of Total Investments)
     
1,420
 
Arizona Health Facilities Authority, Hospital Revenue Bonds, Banner Health Systems, Tender
1/18 at 100.00
AA–
1,707,096
   
Option Bond Trust 3256, 18.014%, 1/01/29 (IF) (6)
     
1,760
 
Arizona Health Facilities Authority, Hospital Revenue Bonds, Banner Health Systems, Tender
1/18 at 100.00
AA–
2,269,555
   
Option Bond Trust 4695, 19.344%, 1/01/32 (IF) (6)
     
1,000
 
Estrella Mountain Ranch Community Facilities District, Goodyear, Arizona, General Obligation
7/17 at 100.00
N/R
1,049,180
   
Bonds, Series 2007, 6.200%, 7/15/32
     
284
 
Estrella Mountain Ranch Community Facilities District, Goodyear, Arizona, Special Assessment
1/15 at 100.00
N/R
284,744
   
Lien Bonds, Series 2001A, 7.875%, 7/01/25
     
   
Phoenix Industrial Development Authority, Arizona, Educational Revenue Bonds, Keystone
     
   
Montessori School, Series 2004A:
     
790
 
7.250%, 11/01/23
11/16 at 100.00
N/R
806,487
1,715
 
7.500%, 11/01/33
11/16 at 100.00
N/R
1,752,919
3,000
 
Phoenix Industrial Development Authority, Arizona, Lease Revenue Bonds, Rowan University
6/22 at 100.00
A+
3,565,200
   
Project, Tender Option Bond Trust 1086, 17.362%, 6/01/42 (IF) (6)
     
30
 
Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Choice
No Opt. Call
N/R
30,562
   
Education and Development, Series 2006, 6.000%, 6/01/16
     
1,000
 
Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Desert
5/24 at 100.00
N/R
1,014,530
   
Heights Charter School, Series 2014, 7.250%, 5/01/44
     
550
 
Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Noah
12/14 at 100.00
BBB–
550,886
   
Webster Basic Schools Inc., Series 2004, 6.125%, 12/15/34
     
2,000
 
Pima County Industrial Development Authority, Arizona, Education Facility Revenue Bonds, San
2/24 at 100.00
N/R
2,048,820
   
Tan Montessori School Project, Series 2014A , 9.000%, 2/01/44
     
485
 
Pima County Industrial Development Authority, Arizona, Education Revenue Bonds Legacy
7/19 at 100.00
N/R
550,475
   
Traditional School Project, Series 2009, 8.500%, 7/01/39
     
2,250
 
Pima County Industrial Development Authority, Arizona, Education Revenue Bonds, American
7/17 at 100.00
BB
1,949,108
   
Charter School Foundation, Series 2007A, 5.625%, 7/01/38
     
2,500
 
Pima County Industrial Development Authority, Arizona, Education Revenue Bonds, Carden
1/22 at 100.00
B
2,431,900
   
Traditional Schools Project, Series 2012, 7.500%, 1/01/42
     
   
Pima County Industrial Development Authority, Arizona, Education Revenue Bonds, Paradise
     
   
Education Center Project, Series 2010:
     
1,320
 
6.000%, 6/01/40
6/19 at 100.00
BB+
1,346,440
500
 
6.100%, 6/01/45
6/19 at 100.00
BB+
511,050
1,150
 
Pinal County Industrial Development Authority, Arizona, Correctional Facilities Contract
10/14 at 100.00
BBB–
1,150,621
   
Revenue Bonds, Florence West Prison LLC, Series 2002A, 5.250%, 10/01/22 – ACA Insured
     
3,575
 
Quechan Indian Tribe of the Fort Yuma Reservation, Arizona, Government Project Bonds, Series
12/17 at 102.00
B–
3,362,499
   
2008, 7.000%, 12/01/27
     
2,000
 
Quechan Indian Tribe of the Fort Yuma Reservation, Arizona, Tribal Economic Development Bonds,
5/22 at 100.00
B
2,258,560
   
Series 2012A, 9.750%, 5/01/25
     
2,500
 
Salt Verde Financial Corporation, Arizona, Senior Gas Revenue Bonds, Citigroup Energy Inc.
No Opt. Call
A–
2,753,925
   
Prepay Contract Obligations, Series 2007, 5.500%, 12/01/37
     
1,000
 
Tucson Industrial Development Authority, Arizona, Charter School Revenue Bonds, Arizona
9/14 at 100.00
BB+
1,001,110
   
Agribusiness and Equine Center Charter School, Series 2004A, 5.850%, 9/01/24
     
1,000
 
Yuma County Industrial Development Authority, Arizona, Exempt Revenue Bonds, Far West Water &
12/17 at 100.00
N/R
894,900
   
Sewer Inc. Refunding, Series 2007A, 6.375%, 12/01/37 (Alternative Minimum Tax)
     
31,829
 
Total Arizona
   
33,290,567
   
California – 16.8% (14.8% of Total Investments)
     
1,470
 
Bay Area Toll Authority, California, Revenue Bonds, San Francisco Bay Area Toll Bridge, Tender
No Opt. Call
AA
2,374,859
   
Option Bond Trust 2985, 17.836%, 4/01/16 (IF)
     
1,000
 
California Enterprise Development Authority, Recovery Zone Facility Revenue Bonds, SunPower
4/21 at 100.00
N/R
1,111,230
   
Corporation – Headquarters Project, Series 2010, 8.500%, 4/01/31
     
2,205
 
California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Sonoma
6/15 at 100.00
B–
1,724,508
   
County Tobacco Securitization Corporation, Series 2005, 5.125%, 6/01/38
     
   
California Health Facilities Financing Authority, Refunding Revenue Bonds, Stanford Hospital
     
   
and Clinics, Tender Option Bond Trust 3267:
     
1,250
 
19.080%, 5/15/31 (IF) (6)
11/21 at 100.00
AA
1,847,600
1,875
 
20.070%, 11/15/40 (IF) (6)
11/21 at 100.00
AA
2,938,425
   
California Health Facilities Financing Authority, Revenue Bonds, Stanford Hospitals and
     
   
Clinics, Tender Option Bond Trust 3294:
     
250
 
18.363%, 8/15/41 (IF) (6)
8/22 at 100.00
AA
332,800
1,000
 
18.358%, 8/15/41 (IF) (6)
8/22 at 100.00
AA
1,331,100
1,020
 
California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Affordable
8/24 at 100.00
N/R
1,045,765
   
Housing Inc. Projects, Series 2014B, 5.875%, 8/15/49
     
1,000
 
California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects
8/20 at 100.00
N/R
1,080,340
   
Series 2010B, 7.250%, 8/15/45
     
1,000
 
California Municipal Finance Authority, Revenue Bonds, Harbor Regional Center Project, Series
11/19 at 100.00
AA
1,197,480
   
2009, 8.500%, 11/01/39
     
1,985
 
California School Finance Authority, Educational Facilities Revenue Bonds, Tri-Valley Learning
6/20 at 102.00
N/R
2,095,088
   
Corporation, Series 2012A, 7.000%, 6/01/47
     
3,425
 
California State University, Systemwide Revenue Bonds, Tender Option Bond Trust 4696, 17.531%,
5/15 at 100.00
Aa2
3,821,992
   
11/01/35 – AMBAC Insured (IF) (6)
     
1,300
 
California State, General Obligation Bonds, Tender Option Bond Trust 3162, 19.650%, 3/01/18 –
No Opt. Call
AA
2,086,188
   
AGM Insured (IF)
     
1,000
 
California Statewide Communities Development Authority, Community Facilities District 2012-01,
9/23 at 100.00
N/R
1,028,620
   
Fancher Creek, Special Tax Bonds, Series 2013A, 5.700%, 9/01/43
     
520
 
California Statewide Communities Development Authority, Revenue Bonds, American Baptist Homes
10/19 at 100.00
BBB+
558,277
   
of the West, Series 2010, 6.250%, 10/01/39
     
4,000
 
California Statewide Communities Development Authority, Revenue Bonds, EnerTech Regional
No Opt. Call
D
14,200
   
Biosolids Project, Series 2007A, 5.500%, 12/01/33 (Alternative Minimum Tax) (4)
     
1,690
 
California Statewide Communities Development Authority, Statewide Community Infrastructure
9/21 at 100.00
N/R
1,798,498
   
Program Revenue Bonds, Series 2011A, 8.000%, 9/02/41
     
500
 
California Statewide Community Development Authority, Revenue Bonds, California Baptist
11/21 at 100.00
N/R
580,790
   
University, Series 2011A, 7.500%, 11/01/41
     
2,810
 
California Statewide Community Development Authority, Revenue Bonds, Epidaurus Project, Series
3/16 at 100.00
N/R
2,869,628
   
2004A, 7.750%, 3/01/34
     
2,000
 
California Statewide Community Development Authority, Revenue Bonds, St. Joseph Health System,
7/18 at 100.00
AA–
2,264,220
   
Series 2007C, 5.750%, 7/01/47 – FGIC Insured
     
515
 
California Statewide Community Development Authority, Revenue Bonds, Sutter Health, Tender
5/18 at 100.00
AA–
644,991
   
Option Bond Trust 3048, 17.545%, 11/15/38 (IF)
     
   
California Statewide Community Development Authority, Revenue Bonds, Sutter Health, Tender
     
   
Option Bond Trust 3102:
     
745
 
17.696%, 11/15/38 (IF) (6)
5/18 at 100.00
AA–
934,401
1,000
 
18.772%, 11/15/48 (IF) (6)
5/18 at 100.00
AA–
1,274,520
1,915
 
Daly City Housing Development Finance Agency, California, Mobile Home Park Revenue Bonds,
12/17 at 100.00
N/R
1,940,182
   
Franciscan Mobile Home Park Project, Refunding Third Tier Series 2007C, 6.500%, 12/15/47
     
2,000
 
Daly City Housing Development Finance Agency, California, Mobile Home Park Revenue Bonds,
12/17 at 100.00
A
2,037,440
   
Franciscan Mobile Home Park, Refunding Series 2007A, 5.000%, 12/15/37
     
1,340
 
Elk Grove Community Facilities District 2005-1, California, Special Tax Bonds, Series 2007,
9/15 at 102.00
N/R
1,355,571
   
5.250%, 9/01/37
     
500
 
Fontana Public Financing Authority, California, Tax Allocation Revenue Bonds, North Fontana
9/14 at 100.00
A+
527,400
   
Redevelopment Project, Tender Option Bonds Trust 1013, 18.608%, 9/01/32 – AMBAC Insured (IF) (6)
     
1,000
 
Fontana, California, Special Tax Bonds, Community Facilities District 31 Citrus Heights North,
9/14 at 102.00
N/R
1,020,980
   
Series 2006, 5.000%, 9/01/26
     
3,000
 
Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Bonds, Series
1/15 at 100.00
AA–
3,007,650
   
1995A, 5.000%, 1/01/35 – NPFG Insured
     
   
Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement
     
   
Asset-Backed Revenue Bonds, Tender Option Bond Trust 1011:
     
250
 
17.481%, 6/01/38 – FGIC Insured (IF) (6)
6/15 at 100.00
A1
274,010
750
 
17.481%, 6/01/45 (IF) (6)
6/15 at 100.00
A1
810,240
1,000
 
17.460%, 6/01/45 (IF) (6)
6/15 at 100.00
A1
1,080,210
1,000
 
Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement
6/15 at 100.00
AA+
1,092,990
   
Asset-Backed Revenue Bonds, Tender Option Bonds Trust 3107, 17.843%, 6/01/45 – AMBAC
     
   
Insured (IF)
     
   
Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed
     
   
Bonds, Series 2007A-1:
     
6,250
 
5.000%, 6/01/33
6/17 at 100.00
B
5,035,063
9,035
 
5.750%, 6/01/47
6/17 at 100.00
B
7,269,651
2,140
 
5.125%, 6/01/47
6/17 at 100.00
B
1,581,824
2,500
 
Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed
6/22 at 100.00
B
1,987,675
   
Bonds, Series 2007A-2, 5.300%, 6/01/37
     
1,500
 
Grossmont Healthcare District, California, General Obligation Bonds, Tender Option Bond Trust
No Opt. Call
Aa2
2,556,900
   
3253, 22.544%, 1/15/19 (IF) (6)
     
1,000
 
Hemet Unified School District Community Facilities District 2005-3, Riverside County,
9/14 at 100.00
N/R
1,000,620
   
California, Special Tax Bonds, Series 2007, 5.750%, 9/01/39
     
   
Hercules Redevelopment Agency, California, Tax Allocation Bonds, Merged Project Area, Series 2005:
     
1,000
 
5.000%, 8/01/25 – AMBAC Insured
8/15 at 100.00
N/R
1,000,480
1,000
 
5.000%, 8/01/35 – AMBAC Insured
8/15 at 100.00
N/R
966,320
1,170
 
Lake Elsinore, California, Special Tax Bonds, Community Facilities District 2003-2 Improvement
9/15 at 100.00
N/R
1,186,661
   
Area A, Canyon Hills, Series 2004A, 5.950%, 9/01/34
     
145
 
Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Redevelopment
No Opt. Call
BBB
167,449
   
Project Areas Housing Programs, Series 2009, 6.875%, 8/01/39
     
190
 
Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Redevelopment
8/19 at 100.00
N/R (5)
241,676
   
Project Areas Housing Programs, Series 2009, 6.875%, 8/01/39 (Pre-refunded 8/01/19)
     
550
 
Lathrop Financing Authority, California, Revenue Bonds, Water Supply Project Series 2003,
12/14 at 100.00
N/R
552,387
   
6.000%, 6/01/35
     
500
 
Lee Lake Public Financing Authority, California, Junior Lien Revenue Bonds, Series 2013B,
9/23 at 100.00
N/R
534,350
   
5.250%, 9/01/32
     
1,000
 
Long Beach Bond Finance Authority, California, Natural Gas Purchase Revenue Bonds, Series
No Opt. Call
A
1,156,000
   
2007A, 5.500%, 11/15/37
     
850
 
Los Angeles County, California, Community Development Commission Headquarters Office Building,
9/21 at 100.00
Aa3
1,086,725
   
Lease Revenue Bonds, Community Development Properties Los Angeles County Inc., Tender Option
     
   
Bond Trust Series 2011-23B, 18.269%, 9/01/42 (IF) (6)
     
1,825
 
Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International
5/20 at 100.00
AA
2,529,742
   
Airport, Tender Option Bond Trust 10-27B, 18.046%, 5/15/40 (IF) (6)
     
1,000
 
Lynwood Redevelopment Agency, California, Project A Revenue Bonds, Subordinate Lien Series
9/21 at 100.00
A–
1,214,710
   
2011A, 7.000%, 9/01/31
     
   
March Joint Powers Redevelopment Agency, California, March Air Force Base Redevelopment
     
   
Project Tax Allocation Revenue Bonds, Series 2011A:
     
1,000
 
7.000%, 8/01/26
8/21 at 100.00
A–
1,200,510
1,500
 
7.500%, 8/01/41
8/21 at 100.00
A–
1,764,705
470
 
Moreno Valley Unified School District, Riverside County, California, Special Tax Bonds,
9/14 at 100.00
N/R
476,679
   
Community Facilities District 2005-3, Series 2007, 5.000%, 9/01/37
     
3,000
 
M-S-R Energy Authority, California, Gas Revenue Bonds, Citigroup Prepay Contracts, Series
No Opt. Call
A
3,915,960
   
2009B, 6.500%, 11/01/39
     
500
 
National City Community Development Commission, California, Tax Allocation Bonds, National
8/21 at 100.00
A–
622,040
   
City Redevelopment Project, Series 2011, 7.000%, 8/01/32
     
330
 
Novato Redevelopment Agency, California, Tax Allocation Bonds, Hamilton Field Redevelopment
9/21 at 100.00
BBB+
377,820
   
Project, Series 2011, 6.750%, 9/01/40
     
   
Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2010:
     
625
 
5.250%, 11/01/21
11/20 at 100.00
Ba1
666,719
1,000
 
6.000%, 11/01/41
11/20 at 100.00
Ba1
1,030,300
250
 
Palomar Pomerado Health, California, General Obligation Bonds, Tender Option Bond Trust 4683,
8/17 at 100.00
AA–
288,820
   
17.878%, 8/01/37 – NPFG Insured (IF) (6)
     
1,000
 
Pittsburg Redevelopment Agency, California, Tax Allocation Bonds, Los Medanos Community
9/18 at 100.00
BBB–
1,086,020
   
Development Project, Refunding Series 2008A, 6.500%, 9/01/28
     
733
 
River Rock Entertainment Authority, California, Revenue Bonds, Senior Notes Series 2011B,
11/15 at 104.00
N/R
182,957
   
8.000%, 11/01/18 (4)
     
1,000
 
Riverside County Public Financing Authority, California, Tax Allocation Bonds, Multiple
10/14 at 100.00
BBB
1,000,870
   
Projects, Series 2004, 5.000%, 10/01/35 – SYNCORA GTY Insured
     
1,200
 
Riverside County Redevelopment Agency, California, Tax Allocation Bonds, Jurupa Valley Project
10/21 at 100.00
A–
1,441,452
   
Area, Series 2011B, 6.750%, 10/01/30
     
   
Sacramento City Financing Authority California, Lease Revenue Bonds, Master Lease Program
     
   
Facilities Projects, Tender Option Bond Trust 4698:
     
750
 
18.675%, 12/01/30 – AMBAC Insured (IF) (6)
No Opt. Call
A+
1,318,080
2,015
 
18.466%, 12/01/33 – AMBAC Insured (IF) (6)
No Opt. Call
A+
3,452,098
2,500
 
San Bernardino Community College District, California, General Obligation Bonds, Tender Option
8/16 at 100.00
AA
3,173,800
   
Bond Trust 11780, 17.636%, 2/01/27 – AGM Insured (IF)
     
   
San Buenaventura, California, Revenue Bonds, Community Memorial Health System, Series 2011:
     
960
 
8.000%, 12/01/26
12/21 at 100.00
BB
1,174,531
1,000
 
8.000%, 12/01/31
12/21 at 100.00
BB
1,202,950
1,000
 
San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment
8/17 at 100.00
BBB
985,370
   
Project, Series 2007B, 4.250%, 8/01/36 – SYNCORA GTY Insured
     
1,000
 
San Jose, California, Airport Revenue Bonds, Tender Option Bond Trust 3923, 17.576%, 9/01/31 –
3/17 at 100.00
AA
1,132,360
   
AMBAC Insured (IF) (6)
     
1,000
 
Santa Margarita Water District, California, Special tax Bonds, Community Facilities District
9/23 at 100.00
N/R
1,076,130
   
2013-1 Village of Sendero, Series 2013, 5.625%, 9/01/43
     
1,000
 
Santee Community Development Commission, California, Santee Redevelopment Project Tax
2/21 at 100.00
A
1,190,700
   
Allocation Bonds, Series 2011A, 7.000%, 8/01/41
     
1,000
 
Temecula Public Financing Authority, California, Special Tax Bonds, Community Facilities
9/14 at 102.00
N/R
993,830
   
District 03-02 Roripaugh, Series 2006, 5.450%, 9/01/26
     
1,000
 
Temecula Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment
8/14 at 100.00
AA–
1,000,760
   
Project 1, Series 2002, 5.250%, 8/01/36 – NPFG Insured
     
1,890
 
Tobacco Securitization Authority of Northern California, Tobacco Settlement Asset-Backed
6/15 at 100.00
B–
1,482,440
   
Bonds, Series 2005A-1, 5.500%, 6/01/45
     
650
 
Twentynine Palms Redevelopment Agency, California, Tax Allocation Bonds, Four Corners Project
9/21 at 100.00
BBB+
771,245
   
Area, Series 2011A, 7.650%, 9/01/42
     
1,250
 
University of California, General Revenue Bonds, Tender Option Bond Trust 2013-24U, 18.170%,
5/23 at 100.00
AA
1,827,000
   
5/15/39 (IF) (6)
     
107,593
 
Total California
   
113,006,572
   
Colorado – 7.7% (6.7% of Total Investments)
     
1,000
 
Arista Metropolitan District, Colorado, Special Revenue Bonds, Series 2005, 6.750%, 12/01/35
12/15 at 100.00
N/R
997,860
1,500
 
Arista Metropolitan District, Colorado, Special Revenue Bonds, Series 2008, 9.250%, 12/01/37
12/15 at 100.00
N/R
818,160
2,000
 
Brighton Crossing Metropolitan District 4, Colorado, General Obligation Bonds, Limited Tax
7/18 at 100.00
N/R
2,043,220
   
Convertible to Unlimited Tax, Refunding Series 2013, 7.000%, 12/01/23
     
2,000
 
Cimarron Metropolitan District, Arvada, Colorado, Limited Tax Revenue Bonds, Convertible to
10/17 at 100.00
N/R
1,986,240
   
Unlimited Tax, Series 2012, 6.000%, 12/01/22
     
750
 
Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds,
7/18 at 100.00
BB
771,128
   
Community Leadership Academy Project, Series 2008, 6.250%, 7/01/28
     
1,000
 
Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds,
2/16 at 101.00
N/R
910,050
   
Jefferson County School District R-1 – Compass Montessori Secondary School, Series 2006,
     
   
5.625%, 2/15/36
     
1,500
 
Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Mountain
10/22 at 100.00
N/R
1,474,455
   
Phoenix Community School, Series 2012, 7.000%, 10/01/42
     
200
 
Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Skyview
7/24 at 100.00
BB+
203,062
   
Academy Project, Series 2014, 5.375%, 7/01/44
     
1,895
 
Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Windsor
5/17 at 100.00
BBB–
1,920,260
   
Academy, Series 2007A, 5.700%, 5/01/37
     
1,860
 
Colorado Educational and Cultural Facilities Authority, Revenue Bonds, Pikes Peak School of
6/18 at 102.00
N/R
1,923,928
   
Expeditionary Learning Charter School, Series 2008, 6.625%, 6/01/38
     
2,500
 
Colorado Health Facilities Authority, Colorado, Revenue Bonds, American Baptist Homes of the
2/24 at 100.00
N/R
2,901,375
   
Midwest Obligated Group, Series 2013, 8.000%, 8/01/43
     
1,350
 
Colorado Health Facilities Authority, Colorado, Revenue Bonds, Colorado Senior Residences
6/22 at 100.00
N/R
1,416,272
   
Project, Series 2012, 6.750%, 6/01/32
     
1,285
 
Colorado Health Facilities Authority, Colorado, Revenue Bonds, Craig Hospital Project, Series
12/22 at 100.00
A–
1,410,557
   
2012, 5.000%, 12/01/32 (UB) (6)
     
750
 
Colorado Health Facilities Authority, Health Facilities Revenue Bonds, Sisters of Charity of
No Opt. Call
AA–
1,087,440
   
Leavenworth Health Services Corporation, Tender Option Bond Trust 3702, 18.896%,
     
   
1/01/18 (IF) (6)
     
1,000
 
Colorado Health Facilities Authority, Revenue Bonds, Evangelical Lutheran Good Samaritan
6/16 at 100.00
A–
1,019,520
   
Society, Series 2006, 5.250%, 6/01/36
     
   
Colorado Housing and Finance Authority, Revenue Bonds, Confluence Energy LLC Project,
     
   
Series 2007:
     
921
 
5.000%, 9/01/16 (Alternative Minimum Tax) (7)
No Opt. Call
N/R
793,465
5,045
 
6.750%, 4/01/27 (Alternative Minimum Tax)
4/17 at 100.00
N/R
4,956,965
2,395
 
Colorado Housing and Finance Authority, Revenue Bonds, Confluence Energy LLC Project, Series
No Opt. Call
N/R
2,375,465
   
2013, 6.875%, 10/01/27 (Alternative Minimum Tax)
     
2,000
 
Compark Business Campus Metropolitan District, Douglas County, Colorado, General Obligation
12/22 at 100.00
N/R
2,088,900
   
Bonds, Series 2012A, 6.750%, 12/01/39 – RAAI Insured
     
   
Confluence Metropolitan District, Colorado, General Obligation Limited Tax Bonds, Series 2007:
     
1,000
 
5.400%, 12/01/27
12/17 at 100.00
N/R
830,710
1,500
 
5.450%, 12/01/34
12/17 at 100.00
N/R
1,166,040
1,000
 
Denver City and County, Colorado, Special Facilities Airport Revenue Bonds, United Air Lines
10/17 at 100.00
B
1,021,400
   
Corporation, Series 2007A, 5.250%, 10/01/32 (Alternative Minimum Tax)
     
2,000
 
E-470 Public Highway Authority, Colorado, Toll Revenue Bonds, Series 2004A, 0.000%, 9/01/27 –
No Opt. Call
AA–
1,189,700
   
NPFG Insured
     
1,049
 
Fitzsimons Village Metropolitan District 1, Aurora, Arapahoe County, Colorado, Tax Increment
3/20 at 100.00
N/R
1,139,707
   
Public Improvement Fee Supported Revenue Bonds, Series 2010A, 7.500%, 3/01/40
     
1,996
 
Great Western Metropolitan District 5, Colorado, General Obligation Limited Tax Revenue Bonds,
12/19 at 100.00
N/R
2,074,521
   
Series 2009A-1, 9.000%, 8/01/39
     
1,000
 
Heritage Todd Creek Metropolitan District, Colorado, General Obligation Bonds Limited Tax,
12/17 at 100.00
N/R
995,230
   
Series 2007A, 5.500%, 12/01/37
     
3,145
 
Kit Carson County Health Service District, Colorado, Health Care Facility Revenue Bonds,
1/18 at 100.00
N/R
3,273,190
   
Series 2007, 6.750%, 1/01/34
     
5
 
Maher Ranch Metropolitan District 4, Colorado, General Obligation Limited Tax Bonds, Series
12/17 at 100.00
N/R
4,890
   
2007, 5.250%, 12/01/36 – RAAI Insured
     
   
Mountain Shadows Metropolitan District, Colorado, General Obligation Limited Tax Bonds,
     
   
Series 2007:
     
1,000
 
5.500%, 12/01/27
12/16 at 100.00
N/R
950,060
1,000
 
5.625%, 12/01/37
12/16 at 100.00
N/R
920,130
500
 
Pinery West Metropolitan District 2, Colorado, General Obligation Limited Tax Bonds, Series
12/17 at 100.00
N/R
502,895
   
2007, 5.000%, 12/01/27 – RAAI Insured
     
   
Regional Transportation District, Colorado, Denver Transit Partners Eagle P3 Project Private
     
   
Activity Bonds, Series 2010:
     
1,000
 
6.500%, 1/15/30
7/20 at 100.00
Baa3
1,152,160
1,000
 
6.000%, 1/15/41
7/20 at 100.00
Baa3
1,108,670
1,440
 
Rendezvous Residential Metropolitan District, Colorado, Limited Tax General Obligation Bonds,
12/17 at 100.00
N/R
1,331,352
   
Refunding Series 2007, 5.375%, 12/01/21
     
3,000
 
Stone Ridge Metropolitan District 2, Colorado, General Obligation Bonds, Limited Tax
12/17 at 100.00
N/R
771,600
   
Convertible to Unlimited, Series 2007, 7.250%, 12/01/31 (8)
     
1,815
 
Three Springs Metropolitan District 3, Durango, La Plata County, Colorado, Property Tax
12/20 at 100.00
N/R
1,939,836
   
Supported Revenue Bonds, Series 2010, 7.750%, 12/01/39
     
54,401
 
Total Colorado
   
51,470,413
   
Connecticut – 1.1% (1.0% of Total Investments)
     
2,500
 
Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue
4/20 at 100.00
N/R
2,908,575
   
Bonds, Harbor Point Project, Series 2010A, 7.875%, 4/01/39
     
4,716
 
Mashantucket Western Pequot Tribe, Connecticut, Special Revenue Bonds, Subordinate Series
No Opt. Call
N/R
2,355,245
   
2013A, 6.050%, 7/01/31
     
1,000
 
Mohegan Tribe of Indians of Connecticut, Gaming Authority Priority Distribution Payment Public
1/15 at 100.00
B
992,960
   
Improvement Bonds, Series 2003, 5.250%, 1/01/33
     
1,000
 
Stamford, Connecticut, Special Obligation Revenue Bonds, Mill River Corridor Project, Series
4/21 at 100.00
N/R
1,082,670
   
2011aA, 7.000%, 4/01/41
     
9,216
 
Total Connecticut
   
7,339,450
   
District of Columbia – 1.2% (1.1% of Total Investments)
     
225
 
District of Columbia Tobacco Settlement Corporation, Tobacco Settlement Asset-Backed Bonds,
No Opt. Call
Baa1
250,308
   
Series 2001, 6.500%, 5/15/33
     
1,000
 
District of Columbia, Revenue Bonds, Cesar Chavez Public Charter Schools for Public Policy,
11/20 at 100.00
BBB–
1,150,830
   
Series 2011, 7.500%, 11/15/31
     
2,500
 
District of Columbia, Revenue Bonds, Howard University, Tender Option Bond Trust 1006,
4/21 at 100.00
BBB+
3,722,700
   
23.453%, 10/01/37 (IF) (6)
     
250
 
District of Columbia, Revenue Bonds, KIPP DC Issue, Series 2013A, 6.000%, 7/01/33
7/23 at 100.00
BBB+
286,438
9,400
 
Metropolitan Washington Airports Authority, District of Columbia, Dulles Toll Road Second
No Opt. Call
BBB+
2,697,518
   
Senior Lien Revenue Bonds, Series 2009B, 0.000%, 10/01/38 – AGC Insured
     
13,375
 
Total District of Columbia
   
8,107,794
   
Florida – 13.8% (12.2% of Total Investments)
     
1,500
 
Alachua County Health Facilities Authority, Florida, Health Facilities Revenue Bonds, Terraces
No Opt. Call
N/R
1,722,270
   
at Bonita Springs Project, Series 2011A, 8.125%, 11/15/46
     
905
 
Ave Maria Stewardship Community Development District, Florida, Capital Improvement Revenue
5/16 at 100.00
N/R
834,338
   
Bonds, Series 2006A, 5.125%, 5/01/38
     
1,955
 
Ave Maria Stewardship Community District, Florida, Capital Improvement Revenue Bonds, Series
5/22 at 100.00
N/R
2,041,878
   
2012, 6.700%, 5/01/42
     
1,505
 
Bartram Park Community Development District, Florida, Special Assessment Bonds, Series 2005,
5/15 at 101.00
N/R
1,511,607
   
5.300%, 5/01/35
     
950
 
Beeline Community Development District, Palm Beach County, Florida, Special Assessment Bonds,
5/18 at 100.00
N/R
1,007,181
   
Series 2008A, 7.000%, 5/01/37
     
905
 
Belmont Community Development District, Florida, Capital Improvement Revenue Bonds, Phase 1
11/24 at 100.00
N/R
980,124
   
Project, Series 2013A, 6.125%, 11/01/33
     
980
 
Boggy Creek Improvement District, Orlando, Florida, Special Assessment Revenue Bonds,
5/23 at 100.00
N/R
993,220
   
Refunding Series 2013, 5.125%, 5/01/43
     
2,700
 
Brevard County, Florida, Industrial Development Revenue Bonds, TUFF Florida Tech Project,
11/19 at 100.00
BB+
2,990,221
   
Series 2009, 6.500%, 11/01/29
     
700
 
Broward County, Florida, Airport Facility Revenue Bonds, Learjet Inc., Series 2000, 7.500%,
11/14 at 101.00
Ba3
711,746
   
11/01/20 (Alternative Minimum Tax)
     
1,435
 
Capital Projects Finance Authority, Florida, Student Housing Revenue Bonds, Capital Projects
8/14 at 100.00
AA–
1,421,855
   
Loan Program, Series 2001F-1, 5.000%, 10/01/31 – NPFG Insured
     
2,000
 
Collier County Industrial Development Authority, Florida, Continuing Care Community Revenue
5/24 at 100.00
N/R
2,136,840
   
Bonds, Arlington of Naples Project, Series 2014A, 7.750%, 5/15/35
     
980
 
Copperstone Community Development District, Manatee County, Florida, Capital Improvement
5/17 at 100.00
N/R
983,528
   
Revenue Bonds, Series 2007, 5.200%, 5/01/38
     
1,910
 
Cordoba Ranch Community Development District, Hillsborough County, Florida, Special Assessment
5/16 at 100.00
N/R
1,929,310
   
Revenue Bonds, Series 2006, 5.550%, 5/01/37
     
900
 
Fishhawk Community Development District IV, Hillsborough County, Florida, Special Assessment
5/23 at 100.00
N/R
963,927
   
Revenue Bonds, Series 2013A, 7.000%, 5/01/33
     
1,850
 
Florida Development Finance Corporation, Educational Facilities Revenue Bonds, Downtown Doral
7/24 at 100.00
N/R
1,851,203
   
Charter Elementary School Project, Series 2014A, 6.500%, 7/01/44 (WI/DD, Settling 8/05/14)
     
1,000
 
Florida Development Finance Corporation, Educational Facilities Revenue Bonds, Renaissance
9/20 at 100.00
BB+
1,016,790
   
Charter School, Inc. Projects, Series 2010A, 6.000%, 9/15/40
     
2,000
 
Florida Development Finance Corporation, Educational Facilities Revenue Bonds, Renaissance
6/21 at 100.00
BB–
2,118,080
   
Charter School, Inc. Projects, Series 2011A, 7.625%, 6/15/41
     
4,000
 
Florida Development Finance Corporation, Educational Facilities Revenue Bonds, Renaissance
6/23 at 100.00
N/R
4,188,880
   
Charter School, Inc. Projects, Series 2013A, 8.500%, 6/15/44
     
2,500
 
Grand Bay at Doral Community Development District, Miami-Dade County, Florida, Special
11/22 at 100.00
N/R
2,565,650
   
Assessment Bonds, Doral Breeze Project Series 2012, 5.500%, 11/01/32
     
870
 
Grand Hampton Community Development District, Florida, Capital Improvement Revenue Bonds,
11/14 at 100.00
N/R
866,746
   
Series 2005, 5.500%, 5/01/36
     
2,000
 
Harmony Community Development District, Florida, Capital Improvement Revenue Bonds, Special
5/24 at 100.00
N/R
1,987,280
   
Assessment, Refunding Series 2014, 5.250%, 5/01/32
     
2,755
 
Hawks Point Community Development District, Florida, Special Assessment Revenue Bonds, Series
5/17 at 100.00
N/R
2,789,961
   
2007A, 5.300%, 5/01/39
     
3,000
 
Jacksonville, Florida, Economic Development Commission Health Care Facilities Revenue Bonds,
9/17 at 100.00
N/R
3,259,170
   
Florida Proton Therapy Institute Project, Series 2007A, 6.250%, 9/01/27
     
1,000
 
Lake County, Florida, Industrial Development Revenue Bonds, Crane’s View Lodge Project, Series
No Opt. Call
N/R
983,730
   
2012A, 7.125%, 11/01/42
     
1,000
 
Lakes by the Bay South Community Development District, Florida, Special Assessment Bonds,
11/22 at 100.00
N/R
1,014,000
   
Series 2012, 5.750%, 11/01/42
     
2,000
 
Lee County Industrial Development Authority, Florida, Charter School Revenue Bonds, Lee County
6/17 at 100.00
BB
2,010,420
   
Community Charter Schools, Series 2007A, 5.375%, 6/15/37
     
1,000
 
Lee County Industrial Development Authority, Florida, Healthcare Facilities Revenue Bonds,
5/17 at 100.00
BB+
1,031,680
   
Shell Point/Alliance Obligated Group, Shell Point Village/Alliance Community Project, Series
     
   
2007, 5.000%, 11/15/22
     
1,000
 
Miami-Dade County, Florida, Aviation Revenue Bonds, Series 2008, Trust 1145, 18.070%,
10/18 at 100.00
AA
1,244,320
   
10/01/38 – AGC Insured (Alternative Minimum Tax) (IF) (6)
     
1,250
 
Miami-Dade County, Florida, Water and Sewer System Revenue Bonds, Tender Option Bond Trust
10/20 at 100.00
AA
1,702,800
   
11834, 17.855%, 10/01/33 – AGM Insured (IF)
     
1,920
 
Myrtle Creek Improvement District, Florida, Special Assessment Revenue Bonds, Series 2006A,
5/16 at 100.00
N/R
1,948,992
   
5.200%, 5/01/37
     
2,175
 
Old Palm Community Development District, Florida, Special Assessment Bonds, Palm Beach
5/15 at 101.00
N/R
2,212,736
   
Gardens, Series 2004A, 5.900%, 5/01/35
     
1,000
 
Orchid Grove Community Development District, Florida, Special Assessment Bonds, Series 2005,
5/15 at 101.00
N/R
927,170
   
5.450%, 5/01/36
     
   
Palm Beach County Health Facilities Authority, Florida, Revenue Bonds, Sinai Residences of
     
   
Boca Raton Project, Series 2014A:
     
495
 
7.000%, 6/01/29
6/22 at 102.00
N/R
550,173
3,110
 
7.500%, 6/01/49
6/22 at 102.00
N/R
3,455,552
3,315
 
Palm Beach County Housing Finance Authority, Florida, Multifamily Housing Revenue Bonds, Lake
1/15 at 100.00
N/R
3,315,066
   
Delray Apartments, Series 1999A, 6.400%, 1/01/31 (Alternative Minimum Tax)
     
1,550
 
Palm Glades Community Development District, Florida, Special Assessment Bonds, Series 2006A,
5/16 at 100.00
N/R
1,564,012
   
5.300%, 5/01/36
     
4,450
 
Pine Island Community Development District, Florida, Special Assessment Bonds, Bella Collina,
11/14 at 100.00
N/R
4,322,063
   
Series 2004, 5.750%, 5/01/35
     
995
 
Poinciana West Community Development District, Florida, Special Assessment Bonds, Series 2007,
5/17 at 100.00
N/R
994,891
   
6.000%, 5/01/37
     
1,000
 
Port Saint Lucie. Florida, Special Assessment Revenue Bonds, Southwest Annexation District 1B,
7/17 at 100.00
AA–
1,069,210
   
Series 2007, 5.000%, 7/01/33 – NPFG Insured
     
1,925
 
Reunion West Community Development District, Florida, Special Assessment Bonds, Series
5/22 at 100.00
N/R
1,956,378
   
2004A-1, 6.250%, 5/01/36
     
1,000
 
South Fork Community Development District, Florida, Capital Improvement Revenue Bonds, Series
11/14 at 100.00
N/R
999,950
   
2005, 5.350%, 5/01/36
     
1,250
 
Stoneybrook Venice Community Development District, Florida, Capital Improvement Revenue Bonds,
5/18 at 100.00
N/R
1,289,063
   
Series 2007, 6.750%, 5/01/38
     
1,125
 
Sweetwater Creek Community Development District, Saint John’s County, Florida, Capital
5/17 at 100.00
N/R
1,125,608
   
Improvement Revenue Bonds, Series 2007A, 5.500%, 5/01/38
     
1,250
 
Tolomato Community Development District, Florida, Special Assessment Bonds, Convertible,
5/17 at 100.00
N/R
917,300
   
Capital Appreciation, Series 2012A-2, 0.000%, 5/01/39
     
2,515
 
Tolomato Community Development District, Florida, Special Assessment Bonds, Convertible,
5/19 at 100.00
N/R
1,504,473
   
Capital Appreciation, Series 2012A-3, 0.000%, 5/01/40
     
1,540
 
Tolomato Community Development District, Florida, Special Assessment Bonds, Convertible,
5/22 at 100.00
N/R
682,513
   
Capital Appreciation, Series 2012A-4, 0.000%, 5/01/40
     
   
Tolomato Community Development District, Florida, Special Assessment Bonds, Hope Note,
     
   
Series 2007-3:
     
120
 
6.375%, 5/01/17 (4)
No Opt. Call
N/R
1
1,360
 
6.650%, 5/01/40 (4)
5/18 at 100.00
N/R
14
2,845
 
Tolomato Community Development District, Florida, Special Assessment Bonds, Hope Note, Series
5/17 at 100.00
N/R
28
   
2007A-2, 5.250%, 5/01/39 (4)
     
   
Tolomato Community Development District, Florida, Special Assessment Bonds, Non Performing
     
   
ParcelSeries 2007-1. RMKT:
     
5
 
6.375%, 5/01/17 (4)
No Opt. Call
N/R
5,034
120
 
6.650%, 5/01/40 (4)
5/18 at 100.00
N/R
122,550
735
 
Tolomato Community Development District, Florida, Special Assessment Bonds, Non Performing
5/17 at 100.00
N/R
668,630
   
ParcelSeries 2007A-1. RMKT, 5.250%, 5/01/39 (4)
     
   
Tolomato Community Development District, Florida, Special Assessment Bonds, Refunding
     
   
Series 2012A-1:
     
130
 
6.375%, 5/01/17
No Opt. Call
N/R
128,339
545
 
5.250%, 5/01/39
5/17 at 100.00
N/R
538,406
2,365
 
6.650%, 5/01/40
5/17 at 100.00
N/R
2,405,369
4,700
 
Tolomato Community Development District, Florida, Special Assessment Bonds, Series 2006,
5/15 at 100.00
BB
4,724,204
   
5.400%, 5/01/37
     
   
Tolomato Community Development District, Florida, Special Assessment Bonds,
     
   
Southern/Forbearance Parcel Series 2007-2:
     
530
 
6.375%, 5/01/17 (4)
No Opt. Call
N/R
331,160
5,510
 
6.650%, 5/01/40 (4)
5/18 at 100.00
N/R
3,234,535
1,000
 
Two Creeks Community Development District, Florida, Capital Improvement Revenue Bonds, Series
5/16 at 100.00
N/R
1,000,130
   
2006, 5.250%, 5/01/37
     
1,000
 
Venetian Parc Community Development District, Miami-Dade County, Florida, Special Assessment
11/28 at 100.00
N/R
1,089,500
   
Bonds, Area One Project, Series 2013, 6.500%, 11/01/43
     
1,000
 
West Villages Improvement District, Florida, Special Assessment Revenue Bonds, Series 2006,
5/15 at 100.00
N/R
997,720
   
5.500%, 5/01/37
     
99,130
 
Total Florida
   
92,939,525
   
Georgia – 1.8% (1.5% of Total Investments)
     
1,000
 
Atlanta Urban Residential Finance Authority, Georgia, Multifamily Housing Revenue Bonds,
11/23 at 100.00
A–
1,014,690
   
Trestletree Village Apartments, Series 2013A, 5.000%, 11/01/48
     
950
 
Atlanta, Georgia, Tax Allocation Bonds, Beltline Project Series 2008A. Remarketed, 7.500%, 1/01/31
1/19 at 100.00
A2
1,118,046
1,250
 
Clayton County Development Authority, Georgia, Special Facilities Revenue Bonds, Delta Air
6/20 at 100.00
B+
1,556,450
   
Lines, Inc. Project, Series 2009A, 8.750%, 6/01/29
     
1,150
 
Clayton County Development Authority, Georgia, Special Facilities Revenue Bonds, Delta Air
6/15 at 100.00
B+
1,206,235
   
Lines, Inc. Project, Series 2009B, 9.000%, 6/01/35 (Alternative Minimum Tax)
     
1,880
 
Douglas County Development Authority, Georgia, Charter School Revenue Bonds, Brighten Academy
10/23 at 100.00
N/R
1,995,263
   
Project, Series 2013A, 7.125%, 10/01/43
     
1,000
 
Fulton County Development Authority, Georgia, Revenue Bonds, Amana Academy Project, Series
4/23 at 100.00
N/R
957,400
   
2013A, 6.500%, 4/01/43
     
1,000
 
Fulton County Residential Care Facilities Elderly Authority, Georgia, First Mortgage Revenue
7/17 at 100.00
N/R
957,400
   
Bonds, Lenbrook Project, Series 2006A, 5.125%, 7/01/37
     
1,140
 
Fulton County Residential Care Facilities Elderly Authority, Georgia, First Mortgage Revenue
No Opt. Call
N/R
1,134,471
   
Bonds, Lenbrook Project, Series 2006B, 7.300%, 7/01/42
     
   
Liberty County Industrial Authority, Georgia, Revenue Bonds, Series 2014:
     
392
 
5.500%, 7/15/23 (7)
7/21 at 100.00
N/R
357,211
767
 
5.500%, 7/15/30 (7)
7/21 at 100.00
N/R
699,154
842
 
5.500%, 1/15/36 (7)
7/21 at 100.00
N/R
767,550
11,371
 
Total Georgia
   
11,763,870
   
Guam – 0.5% (0.5% of Total Investments)
     
2,445
 
Guam Government, General Obligation Bonds, 2009 Series A, 7.000%, 11/15/39
11/19 at 100.00
BB–
2,704,194
   
Guam International Airport Authority, Revenue Bonds, Series 2013C:
     
330
 
6.375%, 10/01/43 (Alternative Minimum Tax)
10/23 at 100.00
BBB
368,155
500
 
6.125%, 10/01/43 – AGM Insured (Alternative Minimum Tax)
10/23 at 100.00
AA
568,290
3,275
 
Total Guam
   
3,640,639
   
Hawaii – 0.4% (0.4% of Total Investments)
     
897
 
Hawaii Department of Budget and Finance, Private School Revenue Bonds, Montessori of Maui,
2/17 at 100.00
N/R
877,741
   
Series 2007, 5.500%, 1/01/37
     
1,655
 
Hawaii Department of Budget and Finance, Special Purpose Revenue Bonds, Hawaiian Electric
7/19 at 100.00
Baa1
1,901,992
   
Company, Inc. and Subsidiary Projects, Series 2009, 6.500%, 7/01/39
     
2,552
 
Total Hawaii
   
2,779,733
   
Idaho – 0.1% (0.1% of Total Investments)
     
500
 
Idaho Health Facilities Authority, Revenue Bonds, Saint Luke’s Health System Project, Tender
3/22 at 100.00
A–
619,860
   
Option Bond Trust 1102, 17.265%, 3/01/47 – AGM Insured (IF) (6)
     
   
Illinois – 9.6% (8.4% of Total Investments)
     
1,000
 
Chicago Board of Education, Illinois, General Obligation Bonds, Dedicated Revenues Series
12/22 at 100.00
AA
1,020,770
   
2012A, 5.000%, 12/01/42 – AGM Insured
     
1,887
 
Chicago, Illinois, Certificates of Participation Tax Increment Bonds, 35th and State
No Opt. Call
N/R
1,861,715
   
Redevelopment Project, Series 2012, 6.100%, 1/15/29
     
2,775
 
Chicago, Illinois, Certificates of Participation, Tax Increment Allocation Revenue Bonds,
1/15 at 100.00
N/R
2,093,099
   
Diversey-Narragansett Project, Series 2006, 7.460%, 2/15/26
     
3,500
 
Cook County, Illinois, Recovery Zone Facility Revenue Bonds, Navistar International
10/20 at 100.00
B3
3,580,605
   
Corporation Project, Series 2010, 6.500%, 10/15/40
     
2,180
 
Evanston, Illinois, Educational Facility Revenue Bonds, Roycemore School Project, Series 2011,
7/21 at 100.00
N/R
2,403,733
   
8.250%, 7/01/41
     
1,000
 
Gilberts, Kane County, Illinois, Special Tax Bonds, Service Area 15, Refunding Series 2014,
3/24 at 100.00
AA
1,035,780
   
5.000%, 3/01/35 – AGM Insured
     
1,000
 
Illinois Finance Authority Revenue Bonds, Christian Homes, Inc., Refunding Series 2010,
5/15 at 100.00
BBB–
1,008,280
   
5.500%, 5/15/23
     
3,370
 
Illinois Finance Authority, Charter School Revenue Bonds, Chicago Charter School Foundation,
12/16 at 100.00
BBB+
3,372,325
   
Series 2007, 5.000%, 12/01/36
     
1,000
 
Illinois Finance Authority, Recovery Zone Facility Revenue Bonds, Navistar International
10/20 at 100.00
B3
1,023,030
   
Corporation Project, Series 2010, 6.500%, 10/15/40
     
   
Illinois Finance Authority, Revenue Bonds, Admiral at Lake Project, Series 2010A:
     
500
 
7.750%, 5/15/30
5/20 at 100.00
N/R
510,030
1,625
 
8.000%, 5/15/46
5/20 at 100.00
N/R
1,644,110
500
 
Illinois Finance Authority, Revenue Bonds, Admiral at Lake Project, Temps 75 Series 2010D-1,
11/14 at 100.00
N/R
500,170
   
7.000%, 5/15/18
     
3,055
 
Illinois Finance Authority, Revenue Bonds, Centegra Health System, Series 2014A, 5.000%, 9/01/42
9/24 at 100.00
BBB
3,091,080
1,100
 
Illinois Finance Authority, Revenue Bonds, Elmhurst Memorial Healthcare, Series 2008A,
1/18 at 100.00
Baa2
1,181,037
   
5.625%, 1/01/37
     
500
 
Illinois Finance Authority, Revenue Bonds, Illinois Institute of Technology, Refunding Series
4/16 at 100.00
Baa3
495,005
   
2006A, 5.000%, 4/01/31
     
1,500
 
Illinois Finance Authority, Revenue Bonds, Lake Forest College, Series 2012A, 6.000%, 10/01/48
10/22 at 100.00
BBB–
1,600,020
1,000
 
Illinois Finance Authority, Revenue Bonds, Montgomery Place Project, Series 2006A,
5/17 at 100.00
N/R
1,014,670
   
5.750%, 5/15/38
     
2,500
 
Illinois Finance Authority, Revenue Bonds, OSF Healthcare System, Tender Option Bond Trust
11/17 at 100.00
A
3,087,400
   
4702, 20.296%, 11/15/37 (IF) (6)
     
2,900
 
Illinois Finance Authority, Revenue Bonds, Provena Health, Series 2009A, 7.750%, 8/15/34
8/19 at 100.00
BBB+
3,586,343
1,770
 
Illinois Finance Authority, Revenue Bonds, Sherman Health Systems, Series 2007A, 5.500%, 8/01/37
8/17 at 100.00
Baa1
1,923,902
   
Illinois Finance Authority, Revenue Bonds, Silver Cross Hospital and Medical Centers, Series 2009:
     
2,000
 
6.875%, 8/15/38
8/19 at 100.00
BBB+
2,290,420
3,850
 
7.000%, 8/15/44
8/19 at 100.00
BBB+
4,411,985
500
 
Illinois Finance Authority, Revenue Bonds, Southern Illinois Healthcare Enterprises, Inc.,
3/20 at 100.00
AA
541,640
   
Series 2005 Remarketed, 5.250%, 3/01/30 – AGM Insured
     
   
Illinois Finance Authority, Revenue Bonds, The Carle Foundation, Tender Option Bond Trust 3908:
     
250
 
21.900%, 2/15/19 – AGM Insured (IF) (6)
No Opt. Call
AA
390,040
1,685
 
21.885%, 2/15/19 – AGM Insured (IF) (6)
No Opt. Call
AA
2,628,162
6,020
 
Illinois Finance Authority, Student Housing Revenue Bonds, MJH Education Assistance Illinois
12/14 at 100.00
Ca
4,876,140
   
IV LLC, Fullerton Village Project, Series 2004A, 5.125%, 6/01/35 (4)
     
200
 
Illinois State, General Obligation Bonds, Series 2012A, 5.000%, 3/01/36
3/22 at 100.00
A–
202,954
1,105
 
Lombard Public Facilities Corporation, Illinois, First Tier Conference Center and Hotel
1/16 at 100.00
N/R
615,706
   
Revenue Bonds, Series 2005A-1, 7.125%, 1/01/36
     
2,000
 
Lombard Public Facilities Corporation, Illinois, First Tier Conference Center and Hotel
1/16 at 100.00
CCC–
1,322,700
   
Revenue Bonds, Series 2005A-2, 5.500%, 1/01/36 – ACA Insured
     
   
Lombard Public Facilities Corporation, Illinois, Second Tier Conference Center and Hotel
     
   
Revenue Bonds, Series 2005B:
     
285
 
5.250%, 1/01/25
1/16 at 100.00
D
99,750
1,175
 
5.250%, 1/01/36
1/16 at 100.00
D
411,250
1,431
 
Lombard Public Facilities Corporation, Illinois, Third Tier Conference Center and Hotel
7/18 at 100.00
N/R
297,628
   
Revenue Bonds, Series 2005C-3, 12.000%, 1/01/36 (4)
     
981
 
Pingree Grove Village, Illinois, Tax Assessment Bonds, Special Service Area 2 – Cambridge
3/15 at 102.00
N/R
995,627
   
Lakes Project, Series 2005-2, 6.000%, 3/01/35
     
1,888
 
Plano Special Service Area 1, Illinois, Special Tax Bonds, Lakewood Springs Project, Series
3/16 at 100.00
N/R
1,909,957
   
2004A, 6.200%, 3/01/34
     
800
 
Railsplitter Tobacco Settlement Authority, Illinois, Tobacco Settlement Revenue Bonds, Series
6/21 at 100.00
A–
932,464
   
2010, 6.000%, 6/01/28
     
1,000
 
Rantoul, Champaign County, Illinois, Tax Increment Revenue Bonds, Evans Road Series 2013B,
12/23 at 100.00
N/R
1,043,840
   
7.000%, 12/01/33
     
1,000
 
Southwestern Illinois Development Authority, Health Facility Revenue Bonds, Memorial Group,
11/23 at 100.00
BB+
1,080,320
   
Inc., Series 2013, 7.125%, 11/01/43
     
920
 
Southwestern Illinois Development Authority, Local Government Program Revenue Bonds, Granite
9/14 at 100.00
N/R
922,042
   
City Project, Series 2009B, 7.750%, 3/01/22
     
750
 
Springfield, Sangamon County, Illinois, Special Service Area, Legacy Pointe, Special
3/17 at 102.00
N/R
791,100
   
Assessment Bonds, Series 2009, 7.875%, 3/01/32
     
963
 
Volo Village, Illinois, Special Service Area 3 Special Tax Bonds, Symphony Meadows Project 1,
3/16 at 102.00
N/R
962,942
   
Series 2006, 6.000%, 3/01/36
     
895
 
Yorkville United City Business District, Illinois, Storm Water and Water Improvement Project
1/17 at 102.00
N/R
648,293
   
Revenue Bonds, Series 2007, 6.000%, 1/01/26
     
817
 
Yorkville, Illinois, Special Tax Bonds, Special Service Area 2005-108 Autumn Creek Project,
3/16 at 102.00
N/R
765,415
   
Series 2006, 6.000%, 3/01/36
     
65,177
 
Total Illinois
   
64,173,479
   
Indiana – 3.5% (3.1% of Total Investments)
     
6,360
 
Carmel Redevelopment District, Indiana, Tax Increment Revenue Bonds, Series 2004A,
1/15 at 100.00
N/R
6,384,232
   
6.650%, 1/15/24
     
1,000
 
Indiana Bond Bank, Special Program Bonds, Hendricks Regional Health Project, Tender Option
No Opt. Call
AA
1,738,770
   
Bond Trust 10-77W, 18.860%, 4/01/30 – AMBAC Insured (IF) (6)
     
1,250
 
Indiana Bond Bank, Special Program Gas Revenue Bonds, JP Morgan Ventures Energy Corporation
No Opt. Call
A
2,017,000
   
Guaranteed, Tender Option Bond Trust 2882, 17.980%, 4/15/17 (IF) (6)
     
2,000
 
Indiana Finance Authority, Environmental Improvement Revenue Bonds, United States Steel
No Opt. Call
BB–
2,009,540
   
Corporation Project, Series 2012, 5.750%, 8/01/42 (Alternative Minimum Tax)
     
500
 
Indiana Finance Authority, Hospital Revenue Bonds, King’s Daughters’ Hospital and Health
8/20 at 100.00
BBB+
516,825
   
Services, Series 2010, 5.500%, 8/15/45
     
   
Indiana Finance Authority, Revenue Bonds, Trinity Health Care Group, Tender Option Bond Trust 3611:
     
1,290
 
17.915%, 6/01/17 (IF) (6)
No Opt. Call
Aa2
1,675,968
1,250
 
18.910%, 6/01/17 (IF) (6)
No Opt. Call
Aa2
1,760,000
1,000
 
Indiana Health and Educational Facilities Financing Authority, Revenue Bonds, Ascension
11/16 at 100.00
AA+
1,192,280
   
Health, Tender Option Bond Trust 3301, 18.262%, 11/15/30 (IF) (6)
     
1,000
 
Shoals, Indiana, Exempt Facilities Revenue Bonds, National Gypsum Company Project, Series
11/23 at 100.00
N/R
1,096,180
   
2013, 7.250%, 11/01/43 (Alternative Minimum Tax)
     
1,000
 
St. Joseph County, Indiana, Economic Development Revenue Bonds, Chicago Trail Village
7/15 at 103.00
N/R
1,043,960
   
Apartments, Series 2005A, 7.500%, 7/01/35
     
   
Vigo County Hospital Authority, Indiana, Revenue Bonds, Union Hospital, Series 2007:
     
250
 
5.700%, 9/01/37
9/17 at 100.00
N/R
248,148
4,050
 
5.800%, 9/01/47
9/17 at 100.00
N/R
4,022,541
20,950
 
Total Indiana
   
23,705,444
   
Iowa – 1.1% (1.0% of Total Investments)
     
1,000
 
Iowa Finance Authority, Health Facility Revenue Bonds, Care Initiatives Project, Series 2006A,
7/16 at 100.00
BB+
1,035,040
   
5.500%, 7/01/25
     
2,520
 
Iowa Finance Authority, Iowa, Midwestern Disaster Area Revenue Bonds, Alcoa Inc. Project,
8/22 at 100.00
BBB–
2,525,494
   
Series 2012, 4.750%, 8/01/42
     
2,130
 
Iowa Finance Authority, Iowa, Midwestern Disaster Area Revenue Bonds, Iowa Fertilizer Company
12/23 at 100.00
BB–
2,253,178
   
Project, Series 2013, 5.250%, 12/01/25
     
   
Iowa Tobacco Settlement Authority, Asset Backed Settlement Revenue Bonds, Series 2005C:
     
1,000
 
5.375%, 6/01/38
6/15 at 100.00
B+
820,760
1,220
 
5.625%, 6/01/46
6/15 at 100.00
B+
1,014,918
7,870
 
Total Iowa
   
7,649,390
   
Kentucky – 0.1% (0.1% of Total Investments)
     
500
 
Kentucky Economic Development Finance Authority, Hospital Facilities Revenue Bonds, Owensboro
6/20 at 100.00
BBB+
565,130
   
Medical Health System, Series 2010A, 6.000%, 6/01/30
     
   
Louisiana – 3.9% (3.4% of Total Investments)
     
2,350
 
Ascension Parish Industrial development Board, Louisiana, Revenue Bonds, Impala Warehousing
7/23 at 100.00
N/R
2,499,907
   
(US) LLC Project, Series 2013, 6.000%, 7/01/36
     
8,500
 
Louisiana Local Government Environmental Facilities & Community Development Authority, Revenue
11/17 at 100.00
BBB
9,468,320
   
Bonds, Westlake Chemical Corporation Project, Series 2007, 6.750%, 11/01/32
     
940
 
Louisiana Local Government Environmental Facilities and Community Development Authority,
6/16 at 101.00
N/R
952,229
   
Revenue Bonds, CDF Healthcare of Louisiana LLC, Series 2006A, 7.000%, 6/01/36
     
   
Louisiana Local Government Environmental Facilities and Community Development Authority,
     
   
Revenue Bonds, Southgate Suites Retail Project, Series 2007A:
     
7,000
 
6.750%, 12/15/37 (4)
12/17 at 100.00
N/R
4,548,950
1,115
 
6.000%, 12/15/37
12/14 at 100.00
N/R
619,996
100
 
Louisiana Local Government Environmental Facilities and Community Development Authority,
No Opt. Call
N/R
55,605
   
Revenue Bonds, Southgate Suites Retail Project, Series 2007B, 9.000%, 12/15/14
     
500
 
Louisiana Local Government Environmental Facilities and Community Development Authority,
11/20 at 100.00
BBB
575,490
   
Revenue Bonds, Westlake Chemical Corporation Projects, Series 2010A-1, 6.500%, 11/01/35
     
   
Louisiana Local Government Environmental Facilities and Community Development Authority,
     
   
Revenue Bonds, Woman’s Hospital Foundation Project, Tender Option Bonds Trust 1012:
     
750
 
20.765%, 10/01/40 (IF) (6)
10/20 at 100.00
A–
1,077,000
750
 
20.753%, 10/01/40 (IF) (6)
10/20 at 100.00
A–
1,076,798
1,000
 
Louisiana Public Facilities Authority, Dock and Wharf Revenue Bonds, Impala Warehousing (US)
7/23 at 100.00
N/R
1,062,440
   
LLC Project, Series 2013, 6.500%, 7/01/36 (Alternative Minimum Tax)
     
2,000
 
Louisiana Public Facilities Authority, Revenue Bonds, Lake Charles Charter Academy Foundation
12/21 at 100.00
N/R
2,182,860
   
Project, Series 2011A, 7.750%, 12/15/31
     
2,110
 
Louisiana Public Facilities Authority, Revenue Bonds, Southwest Louisiana Charter Academy
12/23 at 100.00
N/R
2,232,528
   
Foundation Project, Series 2013A, 8.125%, 12/15/33
     
27,115
 
Total Louisiana
   
26,352,123
   
Maine – 0.5% (0.4% of Total Investments)
     
3,155
 
Portland Housing Development Corporation, Maine, Section 8 Assisted Senior Living Revenue
8/14 at 100.00
Baa2
3,203,019
   
Bonds, Avesta Housing Development Corporation, Series 2004A, 6.000%, 2/01/34
     
   
Maryland – 1.0% (0.8% of Total Investments)
     
1,155
 
Baltimore, Maryland, Senior Lien Convention Center Hotel Revenue Bonds, Series 2006A, 5.250%,
9/16 at 100.00
BB+
1,165,002
   
9/01/39 – SYNCORA GTY Insured
     
1,000
 
Maryland Economic Development Corporation, Revenue Bonds, Chesapeake Bay Hyatt Conference
12/16 at 100.00
N/R
468,590
   
Center, Series 2006A, 5.000%, 12/01/31 (4)
     
2,500
 
Maryland Economic Development Corporation, Revenue Bonds, Chesapeake Bay Hyatt Conference
12/16 at 100.00
N/R
1,171,475
   
Center, Series 2006B, 5.250%, 12/01/31
     
4,000
 
Maryland Economic Development Corporation, Senior Lien Student Housing Revenue Bonds,
10/14 at 100.00
B3
3,620,760
   
University of Maryland – Baltimore, Series 2003A, 5.750%, 10/01/33
     
8,655
 
Total Maryland
   
6,425,827
   
Massachusetts – 0.1% (0.1% of Total Investments)
     
90
 
Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds,
9/14 at 100.00
Caa3
67,330
   
Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) (9)
     
414
 
Massachusetts Development Finance Agency, Revenue Bonds, Northern Berkshire Community
1/15 at 100.00
D
212,545
   
Services Inc., Series 2012A, 6.000%, 2/15/43 (4), (7)
     
333
 
Massachusetts Development Finance Agency, Revenue Bonds, Northern Berkshire Community
1/15 at 16.59
D
3
   
Services Inc., Series 2012B, 0.000%, 2/15/43 (4), (7)
     
475
 
Massachusetts Development Finance Agency, Revenue Bonds, Northern Berkshire Community
1/15 at 103.00
D
5
   
Services Inc., Series 2012C, 0.000%, 2/15/43 (4)
     
480
 
Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series
1/15 at 100.00
N/R
480,514
   
2001A, 5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax)
     
1,792
 
Total Massachusetts
   
760,397
   
Michigan – 3.3% (2.9% of Total Investments)
     
   
Detroit Local Development Finance Authority, Michigan, Tax Increment Bonds, Series 1998A:
     
1,015
 
5.500%, 5/01/21
11/14 at 100.00
B–
948,822
10
 
5.500%, 5/01/21 – ACA Insured
11/14 at 100.00
B–
9,348
4,000
 
Detroit, Michigan, Distributable State Aid General Obligation Bonds, Limited Tax Series 2010,
11/20 at 100.00
AA
4,162,680
   
5.250%, 11/01/35
     
565
 
Detroit, Michigan, General Obligation Bonds, Series 2003A, 5.250%, 4/01/22 – SYNCORA GTY
10/14 at 100.00
Caa3
414,049
   
Insured (4)
     
750
 
Detroit, Michigan, General Obligation Bonds, Series 2004A-1, 5.250%, 4/01/19 – AMBAC Insured (4)
No Opt. Call
Caa3
722,700
   
Garden City Hospital Finance Authority, Michigan, Revenue Bonds, Garden City Hospital
     
   
Obligated Group, Series 2007A:
     
1,000
 
4.875%, 8/15/27 (Pre-refunded 8/15/17)
8/17 at 100.00
N/R (5)
1,120,110
1,000
 
5.000%, 8/15/38 (Pre-refunded 8/15/17)
8/17 at 100.00
N/R (5)
1,123,850
980
 
Michigan Finance Authority, Public School Academy Limited Obligation Revenue Bonds, Hope
4/21 at 100.00
BB
1,099,491
   
Academy Project, Series 2011, 8.125%, 4/01/41
     
1,000
 
Michigan Finance Authority, Public School Academy Limited Obligation Revenue Bonds, Voyageur
7/21 at 100.00
B
967,830
   
Academy Project, Series 2011, 8.000%, 7/15/41
     
1,710
 
Michigan Public Educational Facilities Authority, Charter School Revenue Bonds, American
12/17 at 100.00
N/R
1,663,830
   
Montessori Academy, Series 2007, 6.500%, 12/01/37
     
1,000
 
Michigan Public Educational Facilities Authority, Limited Obligation Revenue Bonds, Chandler
11/15 at 100.00
BBB
1,016,520
   
Park Academy Project, Series 2008, 6.500%, 11/01/35
     
1,000
 
Michigan Public Educational Facilities Authority, Limited Obligation Revenue Bonds, Richfield
9/17 at 100.00
BBB–
949,950
   
Public School Academy, Series 2007, 5.000%, 9/01/36
     
925
 
Michigan Public Educational Facilities Authority, Limited Obligation Revenue Bonds, David
6/17 at 100.00
N/R
926,582
   
Ellis Academy-West Charter School Project, Series 2007, 5.875%, 6/01/37
     
1,500
 
Michigan State Hospital Finance Authority, Revenue Bonds, Hills and Dales General Hospital,
11/15 at 102.00
N/R
1,539,915
   
Series 2005A, 6.750%, 11/15/38
     
1,000
 
Michigan Strategic Fund, Limited Obligation Revenue Bonds, Detroit Thermal LLC Project, Series
12/23 at 100.00
N/R
999,800
   
2013, 8.500%, 12/01/30 (Alternative Minimum Tax)
     
985
 
Michigan Strategic Fund, Solid Waste Facility Limited Obligation Revenue Bonds, Canton
No Opt. Call
N/R
995,431
   
Renewables, LLC ? Sauk Trail Hills Project, Series 2014, 6.750%, 7/01/22 (Alternative
     
   
Minimum Tax)
     
1,000
 
Royal Oak Hospital Finance Authority, Michigan, Hospital Revenue Bonds, William Beaumont
9/18 at 100.00
Aaa
1,290,950
   
Hospital, Refunding Series 2009V, 8.250%, 9/01/39 (Pre-refunded 9/01/18)
     
   
Summit Academy North, Michigan, Revenue Bonds, Public School Academy Series 2005:
     
1,000
 
5.500%, 11/01/30
11/15 at 100.00
BB
946,470
500
 
5.500%, 11/01/35
11/15 at 100.00
BB
458,920
500
 
Summit Academy, Michigan, Revenue Bonds, Public School Academy Series 2005, 6.375%, 11/01/35
11/15 at 100.00
BB
500,175
21,440
 
Total Michigan
   
21,857,423
   
Minnesota – 0.9% (0.8% of Total Investments)
     
1,000
 
Saint Paul Port Authority, Minnesota, Lease Revenue Bonds, HealthEast Midway Campus, Series
5/15 at 100.00
N/R
1,017,830
   
2005B, 6.000%, 5/01/30
     
1,000
 
Saint Paul Port Authority, Minnesota, Solid Waste Disposal Revenue Bonds, Gerdau Saint Paul
10/22 at 100.00
BBB–
927,260
   
Steel Mill Project, Series 2012-7, 4.500%, 10/01/37 (Alternative Minimum Tax)
     
1,100
 
St. Paul Housing and Redevelopment Authority, Minnesota, Charter School Revenue Bonds, HOPE
6/16 at 100.00
N/R
1,111,341
   
Community Academy Charter School, Series 2004A, 6.750%, 12/01/33
     
3,000
 
St. Paul Housing and Redevelopment Authority, Minnesota, Revenue Bonds, Healtheast Inc.,
11/15 at 100.00
BBB–
3,121,920
   
Series 2005, 6.000%, 11/15/35
     
6,100
 
Total Minnesota
   
6,178,351
   
Mississippi – 0.3% (0.2% of Total Investments)
     
783
 
Mississippi Home Corporation, Multifamily Housing Revenue Bonds, Tupelo Personal Care
10/19 at 101.00
N/R
741,911
   
Apartments, Series 2004-2, 6.125%, 9/01/34 (Alternative Minimum Tax)
     
1,000
 
Warren County, Mississippi, Gulf Opportunity Zone Revenue Bonds, International Paper Company
9/18 at 100.00
BBB
1,123,510
   
Project, Series 2008A, 6.500%, 9/01/32
     
1,783
 
Total Mississippi
   
1,865,421
   
Missouri – 2.0% (1.8% of Total Investments)
     
1,000
 
Hanley Road Corridor Transportation Development District, Brentwood and Maplewood, Missouri,
10/19 at 100.00
A–
1,079,900
   
Transportation Sales Revenue Bonds, Refunding Series 2009A, 5.875%, 10/01/36
     
2,000
 
Joplin Industrial Development Authority, Missouri, Tax Increment Revenue Bonds, Joplin
4/23 at 100.00
N/R
2,097,180
   
Recovery TIF Redevelopment Project, Series 2013B, 5.875%, 4/01/36
     
5,935
 
Missouri Environmental Improvement and Energy Resources Authority, Water Facility Revenue
12/16 at 100.00
AA+
6,077,796
   
Bonds, Missouri-American Water Company, Series 2006, 4.600%, 12/01/36 – AMBAC Insured
     
   
(Alternative Minimum Tax) (UB) (6)
     
1,100
 
Saint Louis Industrial Development Authority, Missouri, Confluence Academy Project, Series
6/15 at 103.00
N/R
1,026,058
   
2007A, 5.350%, 6/15/32
     
985
 
Saint Louis Land Clearance for Redevelopment Authority, Missouri, Tax-Exempt Recovery Zone
9/20 at 100.00
N/R
991,974
   
Facilities Improvement, Special Revenue Bonds, Kiel Opera House Project, Series 2010B,
     
   
7.000%, 9/01/35
     
1,784
 
Saint Louis, Missouri, Tax Increment Financing Revenue Bonds, Fashion Square Redevelopment
9/14 at 100.00
N/R
1,679,172
   
Project, Series 2008A, 6.300%, 8/22/26
     
732
 
Saint Louis, Missouri, Tax Increment Financing Revenue Bonds, Grace Lofts Redevelopment
12/14 at 100.00
N/R
667,174
   
Projects, Series 2007A, 6.000%, 3/27/26
     
13,536
 
Total Missouri
   
13,619,254
   
Nebraska – 1.8% (1.6% of Total Investments)
     
1,000
 
Central Plains Energy Project, Nebraska, Gas Project 3 Revenue Bonds, Series 2012, 5.000%, 9/01/42
9/22 at 100.00
A
1,048,030
6,485
 
Omaha Public Power District, Nebraska, Separate Electric System Revenue Bonds, Nebraska City 2,
2/17 at 100.00
AA+
11,333,770
   
Tender Option Bond Trust 11673, 20.414%, 8/01/40 – AMBAC Insured (IF)
     
7,485
 
Total Nebraska
   
12,381,800
   
Nevada – 0.9% (0.8% of Total Investments)
     
2,500
 
Clark County, Nevada, General Obligation Bank Bonds, Southern Nevada Water Authority Loan,
No Opt. Call
Aa1
3,433,400
   
Tender Option Bond Trust Series 2010-11836, 18.035%, 6/01/16 (IF)
     
   
Sparks Tourism Improvement District 1, Legends at Sparks Marina, Nevada, Senior Sales Tax
     
   
Revenue Bonds Series 2008A:
     
750
 
6.500%, 6/15/20
6/18 at 100.00
B1
805,943
1,500
 
6.750%, 6/15/28
6/18 at 100.00
B1
1,568,040
4,750
 
Total Nevada
   
5,807,383
   
New Jersey – 2.3% (2.0% of Total Investments)
     
2,100
 
New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental
9/22 at 101.00
B
2,172,072
   
Airlines Inc., Series 1999, 5.250%, 9/15/29 (Alternative Minimum Tax)
     
1,580
 
New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental
3/24 at 101.00
B
1,685,165
   
Airlines Inc., Series 2000A & 2000B, 5.625%, 11/15/30 (Alternative Minimum Tax)
     
1,000
 
New Jersey Economic Development Authority, Student Housing Revenue Bonds, Provident
6/20 at 100.00
Baa3
1,092,550
   
Group-Montclair Properties LLC, Montclair State University Student Housing Project, Series
     
   
2010A, 5.875%, 6/01/42
     
600
 
New Jersey Educational Facilities Authority, Revenue Bonds, University of Medicine and
6/19 at 100.00
N/R (5)
776,316
   
Dentistry of New Jersey, Refunding Series 2009B, 7.500%, 12/01/32 (Pre-refunded 6/01/19)
     
5,200
 
New Jersey Health Care Facilities Financing Authority, New Jersey, Revenue Bonds, Saint Peters
7/18 at 100.00
BB+
5,321,160
   
University Hospital, Series 2007, 5.750%, 7/01/37
     
   
New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Saint Joseph’s
     
   
Healthcare System Obligated Group Issue, Series 2008:
     
1,000
 
6.000%, 7/01/18
No Opt. Call
BBB–
1,095,940
2,000
 
6.625%, 7/01/38
7/18 at 100.00
BBB–
2,164,380
945
 
New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2008A,
6/18 at 100.00
AA
1,026,676
   
6.125%, 6/01/30 – AGC Insured (Alternative Minimum Tax)
     
14,425
 
Total New Jersey
   
15,334,259
   
New Mexico – 0.8% (0.7% of Total Investments)
     
1,000
 
Jicarilla Apache Nation, New Mexico, Revenue Bonds, Series 2002A, 5.500%, 9/01/23
No Opt. Call
N/R
986,340
1,000
 
Mariposa East Public Improvement District, New Mexico, General Obligation Bonds, Series 2006,
9/16 at 100.00
N/R
829,600
   
6.000%, 9/01/32 (4)
     
1,210
 
Mesa Del Sol Public Improvement District 1, Albuquerque, New Mexico, Special Levy Revenue
10/23 at 100.00
N/R
1,277,978
   
Bonds, Series 2013, 7.250%, 10/01/43
     
470
 
Montecito Estates Public Improvement District, New Mexico, Special Levee Revenue Bonds, Series
10/17 at 100.00
N/R
484,124
   
2007, 7.000%, 10/01/37
     
965
 
New Mexico Hospital Equipment Loan Council, First Mortgage Revenue Bonds, La Vida LLena
7/20 at 100.00
BBB–
1,014,292
   
Project, Series 2010A, 5.875%, 7/01/30
     
1,020
 
Volterra Public Improvement District, Albuquerque, New Mexico, Special Levy Revenue Bonds,
10/24 at 100.00
N/R
1,069,572
   
Series 2014, 6.750%, 10/01/33
     
5,665
 
Total New Mexico
   
5,661,906
   
New York – 1.9% (1.7% of Total Investments)
     
1,000
 
Brooklyn Arena Local Development Corporation, New York, Payment in Lieu of Taxes Revenue
1/20 at 100.00
BBB–
1,116,910
   
Bonds, Barclays Center Project, Series 2009, 6.375%, 7/15/43
     
   
New York City Industrial Development Agency, New York, American Airlines-JFK International
     
   
Airport Special Facility Revenue Bonds, Series 2005:
     
935
 
7.500%, 8/01/16 (Alternative Minimum Tax)
No Opt. Call
N/R
984,349
1,000
 
7.625%, 8/01/25 (Alternative Minimum Tax)
8/16 at 101.00
N/R
1,098,660
1,000
 
8.000%, 8/01/28
8/16 at 101.00
N/R
1,105,880
1,000
 
7.750%, 8/01/31 (Alternative Minimum Tax)
8/16 at 101.00
N/R
1,104,720
   
New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Bronx
     
   
Parking Development Company, LLC Project, Series 2007:
     
1,500
 
5.750%, 10/01/37 (10)
10/17 at 100.00
N/R
567,855
5,000
 
5.875%, 10/01/46 (11)
10/17 at 102.00
N/R
1,892,850
1,030
 
New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Special
7/16 at 101.00
N/R
989,181
   
Needs Facilities Pooled Program, Series 2008A-1, 5.800%, 7/01/23
     
500
 
New York Liberty Development Corporation, Liberty Revenue Bonds, Secured by Port Authority
12/21 at 100.00
AA–
673,740
   
Consolidated Bonds, Tender Option Bonds Trust 1190, 18.190%, 12/15/41 (IF) (6)
     
1,375
 
New York Liberty Development Corporation, Second Priority Liberty Revenue Refunding Bonds,
1/20 at 100.00
A–
1,517,313
   
Bank of America Tower at One Bryant Park Project, Series 2010, 6.375%, 7/15/49
     
   
New York Liberty Development Corporation, Second Priority Liberty Revenue Refunding Bonds,
     
   
Bank of America Tower at One Bryant Park Project, Tender Option Bond Trust PT4704:
     
250
 
18.375%, 1/15/44 (IF) (6)
1/20 at 100.00
AA+
317,000
625
 
18.375%, 1/15/44 (IF) (6)
1/20 at 100.00
AA+
792,500
530
 
Port Authority of New York and New Jersey, Special Project Bonds, JFK International Air
12/20 at 100.00
BBB
609,686
   
Terminal LLC Project, Eighth Series 2010, 6.000%, 12/01/42
     
15,745
 
Total New York
   
12,770,644
   
North Carolina – 2.1% (1.8% of Total Investments)
     
1,970
 
Albemarle Hospital Authority, North Carolina, Health Care Facilities Revenue Bonds, Series
10/17 at 100.00
N/R (5)
2,257,226
   
2007, 5.250%, 10/01/38 (Pre-refunded 10/01/17)
     
940
 
Charlotte-Mecklenburg Hospital Authority, North Carolina, Health Care Revenue Bonds, DBA
No Opt. Call
AA–
1,243,235
   
Carolinas HealthCare System, Tender Option Bond Trust 11963, 19.013%, 1/15/19 (IF)
     
1,000
 
Gaston County Industrial Facilities and Pollution Control Financing Authority, North Carolina,
8/15 at 100.00
N/R
1,000,440
   
National Gypsum Company Project Exempt Facilities Revenue Bonds, Series 2005, 5.750%,
     
   
8/01/35 (Alternative Minimum Tax)
     
5,250
 
North Carolina Capital Facilities Finance Agency, Solid Waste Facilities Revenue Bonds,
7/16 at 100.00
N/R
5,283,233
   
Liberty Tire Services of North Carolina LLC, Series 2004A, 6.750%, 7/01/29
     
   
North Carolina Capital Facilities Financing Agency, Educational Facilities Revenue Bond,
     
   
Meredith College, Series 2008A:
     
1,000
 
6.000%, 6/01/31
6/18 at 100.00
BBB
1,073,860
1,000
 
6.125%, 6/01/35
6/18 at 100.00
BBB
1,072,740
960
 
North Carolina Capital Facilities Financing Agency, Revenue Bonds, Duke University, Series
10/16 at 100.00
AA+
1,859,482
   
2008, Tender Option Bonds Trust 3248, 27.488%, 10/01/21 (IF)
     
12,120
 
Total North Carolina
   
13,790,216
   
Ohio – 3.4% (3.0% of Total Investments)
     
   
Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue
     
   
Bonds, Senior Lien, Series 2007A-2:
     
4,500
 
5.875%, 6/01/30
6/17 at 100.00
B
3,663,225
5,875
 
5.750%, 6/01/34
6/17 at 100.00
B
4,688,250
1,000
 
5.875%, 6/01/47
6/17 at 100.00
B
782,310
3,455
 
Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue
6/22 at 100.00
B
2,874,871
   
Bonds, Senior Lien, Series 2007A-3, 6.250%, 6/01/37
     
2,050
 
Cleveland-Cuyahoga County Port Authority, Ohio, Development Revenue Bonds, Bond Fund Program –
5/15 at 101.00
BBB+
2,034,461
   
Garfield Heights Project, Series 2004D, 5.250%, 5/15/23
     
2,000
 
Lorain County Port Authority, Ohio, Recovery Zone Facility Economic Development Revenue Bonds,
12/20 at 100.00
BB–
2,168,080
   
United State Steel Corporation Project, Series 2010, 6.750%, 12/01/40
     
1,270
 
Medina County Port Authority, Ohio, Development Revenue Bond, Fiber Network Project, Series
12/20 at 100.00
A+
1,407,414
   
2010B, 6.000%, 12/01/30
     
1,250
 
Ohio State, Hospital Facility Revenue Refunding Bonds, Cleveland Clinic Health System
No Opt. Call
Aa2
1,801,600
   
Obligated Group, Tender Option Bond Trust 3551, 20.305%, 1/01/17 (IF)
     
500
 
Ohio, Environmental Facilities Revenue Bonds, Ford Motor Company, Series 2005, 5.750%, 4/01/35
4/15 at 100.00
BBB–
510,975
   
(Alternative Minimum Tax)
     
3,000
 
State of Ohio, Solid Waste Disposal Revenue Bonds (USG Corporation Project) Series 1997
8/14 at 100.00
B–
3,004,410
   
Remarketed, 5.600%, 8/01/32 (Alternative Minimum Tax)
     
6,000
 
Western Reserve Port Authority, Ohio, Solid Waste Facility Revenue Bonds, Central Waste Inc.,
7/17 at 102.00
N/R
197,400
   
Series 2007A, 6.350%, 7/01/27 (Alternative Minimum Tax) (4)
     
30,900
 
Total Ohio
   
23,132,996
   
Oklahoma – 0.7% (0.6% of Total Investments)
     
2,000
 
Fort Sill Apache Tribe of Oklahoma Economic Development Authority, Gaming Enterprise Revenue
8/21 at 100.00
N/R
2,317,600
   
Bonds, Fort Sill Apache Casino, Series 2011A, 8.500%, 8/25/26
     
940
 
Okeene Municipal Hospital and Schallmo Authority, Oklahoma, Revenue Bonds, Series 2006,
1/16 at 101.00
N/R
957,710
   
7.000%, 1/01/35
     
1,500
 
Tulsa Municipal Airport Trust, Oklahoma, Revenue Refunding Bonds, American Airlines Inc.,
No Opt. Call
N/R
1,526,100
   
Series 2004A, 7.750%, 6/01/35 (Mandatory put 12/01/14)
     
4,440
 
Total Oklahoma
   
4,801,410
   
Pennsylvania – 2.4% (2.1% of Total Investments)
     
500
 
Allegheny Country Industrial Development Authority, Pennsylvania, Environmental Improvement
11/19 at 100.00
BB–
555,295
   
Revenue Bonds, United States Steel Corporation Project, Refunding Series 2009, 6.750%, 11/01/24
     
905
 
Berks County Industrial Development Authority, Pennsylvania, First Mortgage Revenue Bonds, One
11/17 at 101.00
N/R
893,018
   
Douglassville Properties Project, Series 2007A, 6.125%, 11/01/34 (Alternative Minimum Tax)
     
2,000
 
Chester County Health and Education Facilities Authority, Pennsylvania, Revenue Bonds,
10/15 at 102.00
N/R
2,030,738
   
Immaculata University, Series 2005, 5.750%, 10/15/37
     
1,410
 
Chester County Industrial Development Authority, Pennsylvania, Avon Grove Charter School
12/17 at 100.00
BBB–
1,467,387
   
Revenue Bonds, Series 2007A, 6.375%, 12/15/37
     
185
 
Montgomery County Industrial Development Authority, Pennsylvania, FHA Insured Mortgage
8/20 at 100.00
AA
263,085
   
Revenue Bonds, New Regional Medical Center Project, Tender Option Bond Trust 62B, 19.329%,
     
   
8/01/38 (IF) (6)
     
4,114
 
Pennsylvania Economic Development Finance Authority, Solid Waste Disposal Revenue Bonds (USG
12/14 at 100.00
B–
4,121,049
   
Corporation Project) Series 1999, 6.000%, 6/01/31 (Alternative Minimum Tax)
     
1,000
 
Pennsylvania Housing Finance Agency, Single Family Mortgage Revenue Bonds, Tender Option Bond
4/19 at 100.00
AA+
1,188,520
   
Trust 4657, 16.362%, 10/01/29 (IF) (6)
     
2,500
 
Philadelphia Authority for Industrial Development, Pennsylvania, Revenue Bonds, Nueva
1/23 at 100.00
N/R
2,636,425
   
Esperanza, Inc. – Esperanza Academy Charter School, Series 2013, 8.000%, 1/01/33
     
395
 
Philadelphia Hospitals and Higher Education Facilities Authority, Pennsylvania, Health System
5/20 at 100.00
AA (5)
469,770
   
Revenue Bonds, Jefferson Health System, Series 2010B, 5.000%, 5/15/40 (Pre-refunded 5/15/20)
     
500
 
Philadelphia Hospitals and Higher Education Facilities Authority, Pennsylvania, Hospital
No Opt. Call
BB+
509,400
   
Revenue Bonds, Temple University Health System Obligated Group, Series 2012A, 5.625%, 7/01/36
     
1,000
 
Philadelphia Hospitals and Higher Education Facilities Authority, Pennsylvania, Hospital
No Opt. Call
BB+
1,067,000
   
Revenue Bonds, Temple University Health System Obligated Group, Series 2012B, 6.250%, 7/01/23
     
845
 
Scranton, Pennsylvania, General Obligation Bonds, Series 2012A, 8.500%, 9/01/22
No Opt. Call
N/R
822,726
15,354
 
Total Pennsylvania
   
16,024,413
   
Rhode Island – 0.6% (0.6% of Total Investments)
     
1,000
 
Rhode Island Health & Educational Building Corporation, Health Facilities Revenue Bonds,
1/21 at 100.00
N/R
1,141,430
   
Tockwotton Home, Series 2011, 8.375%, 1/01/46
     
1,000
 
Rhode Island Student Loan Authority, Student Loan Program Revenue Bonds, Series 2008A, 6.750%,
12/17 at 100.00
A
1,086,420
   
12/01/28 (Alternative Minimum Tax)
     
2,035
 
Rhode Island Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed Bonds,
12/14 at 100.00
BBB–
2,034,898
   
Series 2002A, 6.250%, 6/01/42
     
4,035
 
Total Rhode Island
   
4,262,748
   
South Carolina – 0.9% (0.8% of Total Investments)
     
4,000
 
Lancaster County, South Carolina, Special Assessment Bonds, Edgewater II Improvement District,
11/17 at 100.00
N/R
1,989,000
   
Series 2007A, 7.750%, 11/01/39 (4)
     
3,477
 
Lancaster County, South Carolina, Special Assessment Bonds, Edgewater II Improvement District,
No Opt. Call
N/R
1,727,895
   
Series 2007B, 7.700%, 11/01/17 (4)
     
1,000
 
South Carolina JOBS Economic Development Authority, Economic Development Revenue Bonds,
11/24 at 100.00
N/R
1,018,970
   
Midland Valley Preparatory School Project, Series 2014, 7.750%, 11/15/45
     
1,250
 
South Carolina Jobs-Economic Development Authority, Hospital Revenue Bonds, Palmetto Health,
8/21 at 100.00
AA
1,438,338
   
Refunding Series 2011A, 6.500%, 8/01/39 – AGM Insured
     
9,727
 
Total South Carolina
   
6,174,203
   
Tennessee – 1.6% (1.4% of Total Investments)
     
3,000
 
Johnson City Health and Educational Facilities Board, Tennessee, Hospital Revenue Bonds,
7/20 at 100.00
BBB+
3,428,880
   
Mountain States Health Alliance, Refunding Series 2010A, 6.500%, 7/01/38
     
6,024
 
The Tennessee Energy Acquisition Corporation, Gas Revenue Bonds, Series 2006B, 5.625%, 9/01/26
No Opt. Call
BBB
6,842,963
965
 
Wilson County Health and Educational Facilities Board, Tennessee, Senior Living Revenue Bonds,
7/17 at 100.00
N/R
733,439
   
Rutland Place, Series 2007A, 6.300%, 7/01/37
     
9,989
 
Total Tennessee
   
11,005,282
   
Texas – 7.8% (6.9% of Total Investments)
     
2,000
 
Austin Convention Enterprises Inc., Texas, Convention Center Hotel Revenue Bonds, Second Tier
1/17 at 100.00
BB
2,022,320
   
Series 2006B, 5.750%, 1/01/34
     
670
 
Austin Convention Enterprises Inc., Texas, Convention Center Hotel Revenue Bonds, Third Tier
1/15 at 100.00
N/R
676,613
   
Series 2001C, 9.750%, 1/01/26
     
4,005
 
Brazos River Authority, Texas, Pollution Control Revenue Refunding Bonds, TXU Electric
7/18 at 100.00
CCC
370,463
   
Company, Series 2001D, 8.250%, 5/01/33 (Alternative Minimum Tax) (4)
     
1,000
 
Celina, Texas, Special Assessment Revenue Bonds, Creeks of Legacy Public Improvement District
9/22 at 103.00
N/R
1,004,500
   
Phase 1 Project, Series 2014, 7.000%, 9/01/40
     
   
Central Texas Regional Mobility Authority, Revenue Bonds, Senior Lien Series 2011:
     
1,000
 
6.750%, 1/01/41
1/21 at 100.00
Baa3
1,153,320
250
 
6.000%, 1/01/41
1/21 at 100.00
Baa2
279,315
   
Clifton Higher Education Finance Corporation, Texas, Education Revenue Bonds, Tejano Center
     
   
for Community Concerns, Inc.-Raul Yzaguirre School for Success, Refunding Series 2009A:
     
2,100
 
8.750%, 2/15/28
2/18 at 100.00
B+
2,188,891
2,000
 
9.000%, 2/15/38
2/18 at 100.00
B+
2,093,680
2,910
 
Danbury Higher Education Authority Inc., Texas, Golden Rule Charter School Revenue Bonds,
2/18 at 100.00
BB+
3,030,765
   
Series 2008A, 6.500%, 8/15/38
     
   
Decatur Hospital Authority, Texas, Revenue Bonds, Wise Regional Health System, Series 2004A:
     
1,840
 
7.000%, 9/01/25 (Pre-refunded 9/01/14)
9/14 at 100.00
N/R (5)
1,850,304
6,600
 
7.125%, 9/01/34 (Pre-refunded 9/01/14)
9/14 at 100.00
N/R (5)
6,637,620
   
Decatur Hospital Authority, Texas, Revenue Bonds, Wise Regional Health System, Series 2013A:
     
450
 
6.625%, 9/01/31
9/23 at 100.00
N/R
526,491
1,000
 
6.375%, 9/01/42
9/23 at 100.00
N/R
1,122,230
585
 
Gulf Coast Industrial Development Authority, Texas, Solid Waste Disposal Revenue Bonds, Citgo
10/14 at 100.00
BB+
585,866
   
Petroleum Corporation Project, Series 1998, 8.000%, 4/01/28 (Alternative Minimum Tax)
     
2,000
 
Harris County-Houston Sports Authority, Texas, Revenue Bonds, Senior Lien Series 2001G,
11/14 at 100.00
AA–
2,000,718
   
5.250%, 11/15/30 – NPFG Insured
     
960
 
Heart of Texas Education Finance Corporation, Texas, Gateway Charter Academy, Series 2006A,
8/16 at 100.00
N/R
912,192
   
6.000%, 2/15/36
     
945
 
Hidalgo Willacy Housing Finance Corporation, Texas, Multifamily Housing Revenue Bonds,
1/16 at 100.00
N/R
961,235
   
Heritage Square Apartments Project, Series 2003A, 7.000%, 1/01/39
     
1,980
 
Jefferson County Industrial Development Corporation, Texas, Hurricane Ike Disaster Area
7/22 at 100.00
N/R
2,032,292
   
Revenue Bonds, Port of Beaumont Petroleum Transload Terminal, LLC Project, Series 2012,
     
   
8.250%, 7/01/32 (7)
     
1,330
 
La Vernia Higher Education Financing Corporation, Texas, Education Revenue Bonds, Amigos Por
2/16 at 100.00
N/R
1,335,254
   
Vida Friends For Life Public Charter School, Series 2008, 6.375%, 2/15/37
     
1,000
 
New Hope Cultural Education Facilities Finance Corporation, Texas, Student Housing Revenue
No Opt. Call
BBB–
1,008,400
   
Bonds, CHF-Collegiate Housing Corpus Christi I, L.L.C.-Texas A&M University-Corpus Christi
     
   
Project, Series 2014A, 5.000%, 4/01/44
     
335
 
North Texas Tollway Authority, Second Tier System Revenue Refunding Bonds, Series 2008F,
1/18 at 100.00
A3
372,587
   
5.750%, 1/01/38
     
2,250
 
North Texas Tollway Authority, Special Projects System Revenue Bonds, Tender Option Bond Trust
No Opt. Call
AA+
3,506,490
   
11946, 19.980%, 3/01/19 (IF)
     
2,000
 
Sabine River Authority, Texas, Pollution Control Revenue Refunding Bonds, TXU Energy Company
8/14 at 100.00
C
185,000
   
LLC Project, Series 2003B, 6.150%, 8/01/22 (4)
     
5,000
 
Texas Municipal Gas Acquisition and Supply Corporation III, Gas Supply Revenue Bonds, Series
No Opt. Call
A3
5,308,650
   
2012, 5.000%, 12/15/31
     
2,810
 
Texas Private Activity Bond Surface Transportation Corporation, Revenue Bonds, NTE Mobility
12/19 at 100.00
Baa2
3,306,274
   
Partners LLC North Tarrant Express Managed Lanes Project, Senior Lien Series 2009,
     
   
6.875%, 12/31/39
     
   
Texas Private Activity Bond Surface Transportation Corporation, Senior Lien Revenue Bonds, LBJ
     
   
Infrastructure Group LLC IH-635 Managed Lanes Project, Series 2010:
     
1,000
 
7.000%, 6/30/34
6/20 at 100.00
Baa3
1,199,440
4,500
 
7.000%, 6/30/40
6/20 at 100.00
Baa3
5,357,475
920
 
Texas Public Finance Authority Charter School Finance Corporation, Charter School Revenue
12/14 at 100.00
BB+
920,635
   
Bonds, School of Excellence Education Project, Series 2004A, 7.000%, 12/01/34
     
550
 
Travis County Health Facilities Development Corporation, Texas, Revenue Bonds, Westminster
11/20 at 100.00
BB+
623,018
   
Manor, Series 2010, 7.000%, 11/01/30
     
340
 
Trinity River Authority of Texas, Pollution Control Revenue Refunding Bonds, TXU Electric
11/14 at 100.00
C
31,450
   
Company, Series 2003, 6.250%, 5/01/28 (Alternative Minimum Tax) (4)
     
54,330
 
Total Texas
   
52,603,488
   
Utah – 1.9% (1.6% of Total Investments)
     
   
Utah State Charter School Finance Authority, Charter School Revenue Bonds, Noah Webster
     
   
Academy, Series 2008A:
     
1,330
 
6.250%, 6/15/28
6/17 at 100.00
N/R
1,338,539
1,430
 
6.500%, 6/15/38
6/17 at 100.00
N/R
1,440,253
1,690
 
Utah State Charter School Finance Authority, Charter School Revenue Bonds, North Davis
7/20 at 100.00
BBB–
1,807,928
   
Preparatory Academy, Series 2010, 6.375%, 7/15/40
     
1,980
 
Utah State Charter School Finance Authority, Charter School Revenue Bonds, Summit Academy High
5/21 at 100.00
N/R
2,161,427
   
School, Series 2011A, 8.125%, 5/15/31
     
5,550
 
Utah State Charter School Finance Authority, Revenue Bonds, Summit Academy Project, Series
12/17 at 100.00
BBB–
5,686,197
   
2007A, 5.800%, 6/15/38
     
11,980
 
Total Utah
   
12,434,344
   
Vermont – 0.2% (0.2% of Total Investments)
     
1,155
 
Vermont Educational and Health Buildings Financing Agency, Revenue Bonds, Vermont Law School
1/21 at 100.00
Ba1
1,207,633
   
Project, Series 2011A, 6.250%, 1/01/41
     
   
Virgin Islands – 0.1% (0.1% of Total Investments)
     
420
 
Virgin Islands Public Finance Authority, Matching Fund Revenue Loan Note – Diageo Project,
10/19 at 100.00
BBB
462,815
   
Series 2009A, 6.750%, 10/01/37
     
   
Virginia – 0.3% (0.2% of Total Investments)
     
826
 
Celebrate Virginia North Community Development Authority, Special Assessment Revenue Bonds,
3/15 at 101.00
N/R
533,067
   
Series 2003B, 6.250%, 3/01/18 (12)
     
1,000
 
Giles County Industrial Development Authority, Virginia, Exempt Facility Revenue Bonds,
11/14 at 100.00
BB–
1,004,680
   
Hoechst Celanese Project, Series 1996, 6.450%, 5/01/26
     
   
Virginia Small Business Financing Authority, Senior Lien Revenue Bonds, Elizabeth River
     
   
Crossing, Opco LLC Project, Series 2012:
     
100
 
6.000%, 1/01/37 (Alternative Minimum Tax)
7/22 at 100.00
BBB–
111,870
130
 
5.500%, 1/01/42 (Alternative Minimum Tax)
7/22 at 100.00
BBB–
140,188
2,056
 
Total Virginia
   
1,789,805
   
Washington – 2.9% (2.6% of Total Investments)
     
500
 
FYI Properties, Washington, Lease Revenue Bonds, Washington State Department of Information
6/19 at 100.00
AA
765,180
   
Services Project, Tender Option Bond Trust 11-14W-B, 19.573%, 6/01/39 (IF) (6)
     
2,415
 
FYI Properties, Washington, Lease Revenue Bonds, Washington State Department of Information
6/19 at 100.00
AA
3,724,027
   
Services Project, Tender Option Bond Trust 2009-14A&B, 19.663%, 6/01/34 (IF) (6)
     
3,600
 
Kalispel Indian Tribe, Washington, Priority Distribution Bonds, Series 2008, 6.750%, 1/01/38
1/18 at 100.00
N/R
3,375,252
1,000
 
Kitsap County Consolidated Housing Authority, Washington, Pooled Tax Credit Housing Revenue
6/17 at 100.00
N/R
1,000,690
   
Bonds, Series 2007, 5.600%, 6/01/37 (Alternative Minimum Tax)
     
410
 
Tacoma Consolidated Local Improvement District 65, Washington, Special Assessment Bonds,
4/15 at 100.00
N/R
411,300
   
Series 2013, 5.750%, 4/01/43
     
9,000
 
Washington State Health Care Facilities Authority, Revenue Bonds, Northwest Hospital and
12/17 at 100.00
N/R
9,269,820
   
Medical Center of Seattle, Series 2007, 5.700%, 12/01/32
     
15
 
Washington State Health Care Facilities Authority, Revenue Bonds, Virginia Mason Medical
8/17 at 100.00
BBB
15,596
   
Center, Series 2007B, 5.750%, 8/15/37 – ACA Insured
     
1,000
 
Washington State Housing Finance Commission, Non-Profit Housing Revenue Bonds, Mirabella
No Opt. Call
N/R
1,047,140
   
Project, Series 2012A, 6.750%, 10/01/47
     
17,940
 
Total Washington
   
19,609,005
   
West Virginia – 0.4% (0.4% of Total Investments)
     
1,491
 
Berkeley, Hardy and Jefferson Counties, West Virginia, as Joint Issuers, Commercial
No Opt. Call
N/R
1,500,945
   
Development Revenue Bonds, Scattered Site Housing Projects, Series 2010, 5.750%, 12/01/44
     
900
 
Ohio County Commission, West Virginia, Special District Excise Tax Revenue Bonds, Fort Henry
3/16 at 100.00
BBB
921,150
   
Economic Development, Series 2006B, 5.625%, 3/01/36
     
500
 
Ohio County Commission, West Virginia, Tax Increment Revenue Bonds, Fort Henry Centre
6/17 at 100.00
N/R
516,545
   
Financing District, Series 2007A, 5.850%, 6/01/34
     
2,891
 
Total West Virginia
   
2,938,640
   
Wisconsin – 3.2% (2.8% of Total Investments)
     
30
 
Green Bay Redevelopment Authority, Wisconsin, Industrial Development Revenue Bonds, Fort James
No Opt. Call
N/R
33,477
   
Project, Series 1999, 5.600%, 5/01/19 (Alternative Minimum Tax)
     
550
 
Lac Courte Oreilles Band of Lake Superior Chippewa Indians, Wisconsin, Revenue Bonds, Series
12/14 at 101.00
N/R (5)
569,437
   
2003A, 7.750%, 6/01/16 (Pre-refunded 12/01/14)
     
2,000
 
Lac Courte Oreilles Band of Lake Superior Chippewa Indians, Wisconsin, Revenue Bonds, Series
12/18 at 102.00
N/R
1,967,380
   
2006, 7.000%, 12/01/26
     
1,650
 
Public Finance Authority of Wisconsin, Charter School Revenue Bonds, Thomas Jefferson
7/19 at 100.00
BBB–
1,824,884
   
Classical Academy of Mooresboro, North Carolina, Series 2011, 7.125%, 7/01/42
     
830
 
Public Finance Authority of Wisconsin, Educational Facility Revenue Bonds, Cottonwood
No Opt. Call
N/R
813,724
   
Classical Preparatory School in Albuquerque, New Mexico, Series 2012A, 6.250%, 12/01/42
     
1,000
 
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Froedtert Community
No Opt. Call
AA–
1,269,480
   
Health, Inc. Obligated Group, Tender Option Bond Trust 3592, 19.000%, 4/01/17 (IF) (6)
     
   
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan
     
   
Healthcare System, Series 2006A:
     
5,995
 
5.250%, 8/15/26 (UB)
8/16 at 100.00
A–
6,419,206
4,500
 
5.250%, 8/15/34 (UB)
8/16 at 100.00
A–
4,597,515
1,500
 
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan
8/16 at 100.00
A–
1,630,020
   
Healthcare System, Series 2006A, Trust 2187, 17.030%, 8/15/34 (IF)
     
2,000
 
Wisconsin Public Finance Authority, Revenue Bonds, SearStone Retirement Community of Cary
6/22 at 100.00
N/R
2,377,760
   
North Carolina, Series 2012A, 8.625%, 6/01/47
     
20,055
 
Total Wisconsin
   
21,502,883
$ 766,622
 
Total Municipal Bonds (cost $700,833,990)
   
754,630,886
             
Shares
 
Description (1)
     
Value
   
COMMON STOCKS – 1.3% (1.2% of Total Investments)
       
             
   
Airlines – 1.3% (1.2% of Total Investments)
       
$ 227,514
 
American Airlines Group Inc. (13)
     
$ 8,838,919
   
Total Common Stocks (cost $6,316,916)
     
8,838,919
 
Principal
           
Amount (000)
 
Description (1)
Coupon
Maturity
Ratings (3)
Value
   
CORPORATE BONDS – 0.0% (0.0% of Total Investments)
       
             
   
Transportation – 0.0% (0.0% of Total Investments)
       
$         26
 
Las Vegas Monorail Company, Senior Interest Bonds (7), (14)
5.500%
7/15/19
N/R
$ 4,747
7
 
Las Vegas Monorail Company, Senior Interest Bonds (7), (14)
3.000%
7/15/55
N/R
964
$         33
 
Total Corporate Bonds (cost $2,343)
     
5,711
   
Total Long-Term Investments (cost $707,153,249)
     
763,475,516
   
Floating Rate Obligations – (2.0)%
     
(13,280,000)
   
Variable Rate MuniFund Term Preferred Shares, at Liquidation Value – (13.0)% (15)
     
(87,000,000)
   
Other Assets Less Liabilities – 1.3%
     
8,197,699
   
Net Assets Applicable to Common Shares – 100%
     
$ 671,393,215
 
 
 
 

 
 
 
Fair Value Measurements
 
Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.
 
Level 1 – Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
 
Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
 
Level 3 – Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
 
The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:
 
 
Level 1
Level 2
Level 3
Total
Long-Term Investments:
       
Municipal Bonds
$ —
$749,768,666
$4,862,220
$754,630,886
Common Stocks
8,838,919
8,838,919
Corporate Bonds
5,711
5,711
Total
$8,838,919
$749,768,666
$4,867,931
$763,475,516
 
 
Income Tax Information
 
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing taxable market discount, timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate securities reflected as financing transactions, if any. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.
 
As of July 31, 2014, the cost of investments was $697,069,867.
 
Gross unrealized appreciation and gross unrealized depreciation of investments as of July 31, 2014, were as follows:
   
Gross unrealized:
 
   Appreciation
$ 86,384,233
   Depreciation
(33,258,514)
Net unrealized appreciation (depreciation) of investments
$ 53,125,719
     
(1)
 
All percentages shown in the Portfolio of Investments are based on net assets applicable to common
   
shares unless otherwise noted.
(2)
 
Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption.
   
There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may
   
be subject to periodic principal paydowns.
(3)
 
Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service,
   
Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or
   
BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any
   
of these national rating agencies.
(4)
 
At or subsequent to the end of the reporting period, this security is non-income producing. Non-income
   
producing, in the case of a fixed-income security, generally denotes that the issuer has (1) defaulted on the
   
payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s
   
Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has
   
directed the Fund’s custodian to cease accruing additional income on the Fund’s records.
(5)
 
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities,
   
which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or
   
agency securities are regarded as having an implied rating equal to the rating of such securities.
(6)
 
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for
   
investments in inverse floating rate transactions.
(7)
 
Investment valued at fair value using methods determined in good faith by, or at the discretion of, the
   
Board of Directors/Trustees. For fair value measurement disclosure purposes, investment classified as
   
Level 3.
(8)
 
On June 1, 2013, the Fund's Adviser determined it was unlikely that this borrower would fulfill its entire
   
obligation on the security, and therefore reduced the security's interest rate of accrual from 7.250%
   
to 1.813%.
(9)
 
On September 1, 2013, the Fund's Adviser determined it was unlikely that this borrower would fulfill its
   
entire obligation on this security, and therefore reduced the security's interest rate of accrual from 6.500%
   
to 5.200%.
(10)
 
On April 1, 2013, the Fund's Adviser determined it was unlikely that this borrower would fulfill its entire
   
obligation on this security, and therefore reduced the security's interest rate of accrual from 5.750%
   
to 2.300%.
(11)
 
On April 1, 2013, the Fund's Adviser determined it was unlikely that this borrower would fulfill its entire
   
obligation on this security, and therefore reduced the security's interest rate of accrual from 5.875%
   
to 2.350%.
(12)
 
On September 1, 2013, the Fund's Adviser determined it was unlikely that this borrower would fulfill its
   
entire obligation on this security, and therefore reduced the security's interest rate of accrual from 6.250%
   
to 4.688%.
(13)
 
On November 28, 2011, AMR Corp. (“AMR”), the parent company of American Airlines Group, Inc. (“AAL”)
   
filed for federal bankruptcy protection. On December 9, 2013, AMR emerged from federal bankruptcy with
   
the acceptance of its reorganization plan by the bankruptcy court. Under the settlement agreement
   
established to meet AMR’s unsecured bond obligations, the bondholders, including the Fund, received a
   
distribution of AAL preferred stock which was converted to AAL common stock over a 120-day period.
   
Every 30 days, a quarter of the preferred stock was converted to AAL common stock based on the 5-day
   
volume-weighted average price and the amount of preferred shares tendered during the optional preferred
   
conversion period.
(14)
 
During January 2010, Las Vegas Monorail Company (“Las Vegas Monorail”) filed for federal bankruptcy
   
protection. During March 2012, Las Vegas Monorail emerged from federal bankruptcy with the acceptance
   
of a reorganization plan assigned by the Federal Bankruptcy Court. Under the reorganization plan, the Fund
   
surrendered its Las Vegas Monorail Project Revenue Bonds, First Tier, Series 2000 and in turn received two
   
senior interest corporate bonds: the first with an annual coupon rate of 5.500% maturing on July 15, 2019
   
and the second with an annual coupon rate of 3.000% (5.500% after December 31, 2015) maturing on
   
July 15, 2055. The Fund’s custodian is not accruing income on the Fund’s records for either senior interest
   
corporate bond.
(15)
 
Variable Rate MuniFund Preferred Shares, at Liquidation Value as a percentage of Total Investments
   
is 11.4%.
WI/DD
 
Investment, or portion of investment, purchased on a when-issued or delayed delivery basis.
(IF)
 
Inverse floating rate investment.
(UB)
 
Underlying bond of an inverse floating rate trust reflected as a financing transaction.
 
 
 
 

 
 
Item 2. Controls and Procedures.

a.  
The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).
 
b.  
There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
 
Item 3. Exhibits.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: See EX-99 CERT attached hereto.

 
 
 

 
 
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.
 
(Registrant)  Nuveen Municipal High Income Opportunity Fund 
 
By (Signature and Title)     /s/ Kevin J. McCarthy                    
                                                   Kevin J. McCarthy
                                                   Vice President and Secretary
 
Date:         September 29, 2014        
 
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 (Signature and Title)     /s/ Gifford R. Zimmerman                    
                                                    Gifford R. Zimmerman
                                                  Chief Administrative Officer (principal executive officer) 
 
Date:         September 29, 2014        
 
By (Signature and Title)     /s/ Stephen D. Foy                              
                                                   Stephen D. Foy
                                                  Vice President and Controller (principal financial officer) 
 
Date:         September 29, 2014