Regulatory Filings • Jun 25, 2019
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Schedule of Investments (unaudited) April 30, 2019 BlackRock California Municipal Income Trust (BFZ) (Percentages shown are based on Net Assets)
| Security | Par (000) | Value |
|---|---|---|
| Municipal Bonds 95.8% | ||
| California 92.6% | ||
| County/City/Special District/School District 25.5% | ||
| California Statewide Communities Development Authority, RB, Statewide Community Infrastructure Program, | ||
| Series A (a) : | ||
| 5.00%, 09/02/39 | $ 290 | $ 323,858 |
| 5.00%, 09/02/44 | 170 | 187,848 |
| 5.00%, 09/02/48 | 170 | 187,236 |
| City of San Jose California Hotel Tax, RB, Convention Center Expansion & Renovation | ||
| Project: | ||
| 6.13%, 05/01/31 | 500 | 542,095 |
| 6.50%, 05/01/36 | 1,210 | 1,320,739 |
| 6.50%, 05/01/42 | 2,225 | 2,429,077 |
| County of Los Angeles California Metropolitan Transportation Authority, Refunding RB, Series A: | ||
| Green Bond, 5.00%, 07/01/44 | 2,000 | 2,407,700 |
| 5.00%, 07/01/42 | 10,675 | 12,652,223 |
| County of Riverside California Public Financing Authority, RB, Capital Facilities Project, | ||
| 5.25%, 11/01/45 | 8,990 | 10,512,277 |
| County of San Joaquin California Transportation Authority, Refunding RB, Limited Tax, Measure K, | ||
| Series A, 6.00%, 03/01/21 (b) | 2,880 | 3,116,362 |
| Glendale Community California College District, GO, Election of 2016, Series A, 5.25%, 08/01/41 | 5,000 | 6,017,500 |
| Los Angeles California Unified School District, GO, Election of 2008, Series B-1, 5.25%, 07/01/42 | 12,500 | 15,012,000 |
| Modesto Irrigation District, COP, Capital Improvments, Series A, 5.75%, 10/01/29 | 3,035 | 3,044,864 |
| Mount San Antonio Community College District, GO, Refunding Election of 2018, Series A, 5.00%, | ||
| 08/01/44 | 6,000 | 7,307,280 |
| Sacramento Area Flood Control Agency, Refunding, Consolidated Capital Assessment District, 5.00%, | ||
| 10/01/41 | 8,000 | 9,306,640 |
| San Jose California Financing Authority, Refunding LRB, Civic Center Project, Series A, 5.00%, | ||
| 06/01/32 | 3,375 | 3,768,761 |
| San Leandro California Unified School District, GO, Election of 2010, Series A, 5.75%, 08/01/41 | 3,060 | 3,316,061 |
| Santa Monica Public Financing Authority, RB, Downtown Fire Station Project, 5.00%, 07/01/42 | 1,250 | 1,473,425 |
| Security | Par (000) | Value |
|---|---|---|
| County/City/Special District/School District (continued) | ||
| State of California, GO, Refunding Various Purposes-Bid Group, 5.00%, | ||
| 08/01/37 | $ 15,000 | $ 18,211,800 |
| Torrance Unified School District California, GO, Election of 2008, Measure Z, 6.00%, 08/01/19 (b) | 4,000 | 4,045,240 |
| Tracy Community Facilities District, Special Tax Bonds, Series 1: | ||
| 5.00%, 09/01/38 | 335 | 371,870 |
| 5.00%, 09/01/43 | 515 | 569,781 |
| 5.00%, 09/01/48 | 570 | 629,668 |
| Tustin California School District, GO, Election of 2008, Series B, 5.25%, 08/01/21 (b) | 3,445 | 3,742,131 |
| Washington Township Health Care District, GO, Election of 2004, Series B, 5.50%, 08/01/38 | 1,625 | 1,906,093 |
| West Contra Costa California Unified School District, GO, Election of 2012, Series A, | ||
| 5.50%, 08/01/39 | 2,500 | 2,862,275 |
| West Valley-Mission Community College District, GO, Series A, 4.00%, 08/01/44 | 4,670 | 5,084,462 |
| 120,349,266 | ||
| Education 6.8% | ||
| California Educational Facilities Authority, Refunding RB, San Francisco University (b) : | ||
| 6.13%, 10/01/21 | 3,075 | 3,415,526 |
| 6.13%, 10/01/21 | 3,205 | 3,563,960 |
| California Municipal Finance Authority, RB, Emerson College, 5.75%, 01/01/22 (b) | 2,500 | 2,780,550 |
| California Municipal Finance Authority, Refunding RB, William Jessup University (a) : | ||
| 5.00%, 08/01/39 | 425 | 459,629 |
| 5.00%, 08/01/48 | 510 | 544,930 |
| California State University, Refunding RB, System wide, Series A: | ||
| 5.00%, 11/01/33 | 5,640 | 6,683,400 |
| 4.00%, 11/01/37 | 2,375 | 2,567,114 |
| University of California, Refunding RB: | ||
| General, Series AZ, 5.00%, 05/15/43 | 5,985 | 7,131,127 |
1
Schedule of Investments (unaudited) (continued) April 30, 2019 BlackRock California Municipal Income Trust (BFZ) (Percentages shown are based on Net Assets)
| Security | Par (000) | Value |
|---|---|---|
| Education (continued) | ||
| Series AR, 5.00%, 05/15/38 | $ 4,250 | $ 4,942,835 |
| 32,089,071 | ||
| Health 11.9% | ||
| ABAG Finance Authority for Nonprofit Corps., Refunding RB, Sharp Healthcare, Series B, 6.25%, 08/01/19 (b) | 4,975 | 5,033,058 |
| California Health Facilities Financing Authority, RB: | ||
| Adventist Health System West, Series A, | ||
| 5.75%, 09/01/19 (b) | 6,710 | 6,802,598 |
| Childrens Hospital, Series A, 5.25%, 11/01/41 | 8,500 | 9,183,145 |
| Sutter Health, Series A, 5.00%, 11/15/41 | 3,000 | 3,413,400 |
| Sutter Health, Series B, | ||
| 6.00%, 08/15/20 (b) | 6,015 | 6,359,960 |
| California Health Facilities Financing Authority, Refunding RB: | ||
| Dignity Health, Series A, | ||
| 6.00%, 07/01/19 (b) | 4,520 | 4,552,363 |
| Sutter Health, Series B, 5.00%, 11/15/46 | 5,565 | 6,391,514 |
| California Statewide Communities Development Authority, RB, Loma Linda University Medical Center, | ||
| 5.50%, 12/01/58 (c) | 930 | 1,056,750 |
| California Statewide Communities Development Authority, Refunding RB, Trinity Health Credit Group Composite | ||
| Issue, 5.00%, 12/01/41 | 4,000 | 4,288,960 |
| State of California Public Works Board, Refunding RB, Various Capital Projects, Series C, | ||
| 5.00%, 11/01/34 | 7,750 | 9,194,523 |
| 56,276,271 | ||
| Housing 0.8% | ||
| California Community Housing Agency, RB, M/F Housing, Annadel Apartments, Series A, 5.00%, 04/01/49 (c) | 3,470 | 3,687,291 |
| State 4.5% | ||
| Hayward Area Recreation & Park District, GO, Series A, 5.00%, 08/01/42 | 4,950 | 5,830,456 |
| Security | Par (000) | Value |
|---|---|---|
| State (continued) | ||
| State of California Public Works Board, LRB, Various Capital Projects: | ||
| Series I, 5.50%, 11/01/33 | $ 4,940 | $ 5,625,524 |
| Sub-Series I-1, 6.38%, | ||
| 11/01/19 (b) | 5,025 | 5,148,716 |
| State of California Public Works Board, RB, Department of Corrections & Rehabilitation, Series F, | ||
| 5.25%, 09/01/33 | 4,335 | 4,874,057 |
| 21,478,753 | ||
| Tobacco 5.8% | ||
| County of California Tobacco Securitization Agency, Refunding RB, Asset-Backed, Merced County, Series A, | ||
| 5.25%, 06/01/45 | 1,135 | 1,134,932 |
| Golden State Tobacco Securitization Corp., Refunding RB: | ||
| Series A-1, 5.00%, 06/01/47 | 18,670 | 18,272,142 |
| Series A-2, 5.00%, 06/01/47 | 475 | 464,878 |
| Tobacco Securitization Authority of Northern California, Refunding RB, Asset-Backed Bonds, Series A-1, 5.38%, 06/01/38 | 2,000 | 2,009,900 |
| Tobacco Securitization Authority of Southern California, Refunding RB, Tobacco Settlement, Asset-Backed, | ||
| Senior Series A-1: | ||
| 5.00%, 06/01/37 | 4,425 | 4,450,798 |
| 5.13%, 06/01/46 | 885 | 886,026 |
| 27,218,676 | ||
| Transportation 16.9% | ||
| City & County of San Francisco California Airports Commission, Refunding ARB, Series A, AMT, 5.00%, | ||
| 05/01/42 | 16,535 | 19,076,760 |
| City & County of San Francisco California Airports Commission, ARB, Second Series E, | ||
| 6.00%, 05/01/39 | 5,000 | 5,000,000 |
| City of Los Angeles California Department of Airports, ARB, Los Angeles International Airport, AMT: | ||
| Series A, 5.00%, 05/15/37 | 3,515 | 4,157,612 |
| Series A, 5.00%, 05/15/44 | 2,885 | 3,367,026 |
| Series B, 5.00%, 05/15/36 | 2,100 | 2,418,297 |
| Sub-Series A, 5.00%, 05/15/42 | 4,220 | 4,800,967 |
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Schedule of Investments (unaudited) (continued) April 30, 2019 BlackRock California Municipal Income Trust (BFZ) (Percentages shown are based on Net Assets)
| Security | Par (000) | Value |
|---|---|---|
| Transportation (continued) | ||
| City of Los Angeles California Department of Airports, Refunding ARB: | ||
| Los Angeles International Airport, AMT, 5.00%, 05/15/36 | $ 600 | $ 722,568 |
| Los Angeles International Airport, Senior Series A, 5.00%, 05/15/34 | 4,000 | 4,005,120 |
| Subordinate, AMT, Series A, 5.00%, 05/15/38 | 5,000 | 5,974,850 |
| City of San Jose California, Refunding ARB, Norman Y Mineta San Jose International Airport SJC, Series A-1, AMT: | ||
| 5.75%, 03/01/34 | 3,875 | 4,113,894 |
| 6.25%, 03/01/34 | 2,650 | 2,844,431 |
| County of Riverside Transportation Commission, Refunding RB, Series A, 5.00%, 06/01/38 | 2,150 | 2,557,705 |
| County of Sacramento California Airport System Revenue, Refunding RB, Series B, 5.00%, 07/01/38 | 1,500 | 1,805,850 |
| County of Sacramento California Airport System Revenue, Refunding ARB, Senior Series A, | ||
| 5.00%, 07/01/41 | 12,500 | 14,456,500 |
| Port of Los Angeles California Harbor Department, Refunding RB, Series A, AMT, 5.00%, 08/01/44 | 4,135 | 4,629,918 |
| 79,931,498 | ||
| Utilities 20.4% | ||
| City & County of San Francisco Public Utilities Commission Wastewater Revenue, RB, Series B, | ||
| 5.00%, 10/01/43 | 2,485 | 2,956,603 |
| City of Los Angeles California Department of Water & Power, RB, Power System, Series A, | ||
| 5.00%, 07/01/42 | 10,670 | 12,471,416 |
| City of Los Angeles California Department of Water & Power, Refunding RB, Series B, | ||
| 5.00%, 07/01/43 | 8,000 | 9,615,280 |
| City of Petaluma California Wastewater Revenue, Refunding RB, 6.00%, 05/01/21 (b) | 5,625 | 6,139,856 |
| City of San Francisco California Public Utilities Commission Water Revenue, RB, Sub-Series A, 5.00%, 11/01/37 | 5,000 | 5,423,800 |
| Security | Par (000) | Value |
|---|---|---|
| Utilities (continued) | ||
| City of San Francisco California Public Utilities Commission Water Revenue, Refunding RB, Green Bond, Series | ||
| D, 5.00%, 11/01/32 | $ 10,325 | $ 12,693,555 |
| Dublin-San Ramon Services District Water Revenue, Refunding RB, | ||
| 6.00%, 02/01/21 (b) | 2,425 | 2,617,254 |
| East Bay California Municipal Utility District Water System Revenue, RB, Green Bond, Series A, | ||
| 5.00%, 06/01/45 | 3,230 | 3,823,997 |
| El Dorado Irrigation District/El Dorado County Water Agency, Refunding RB, Series A (AGM), | ||
| 5.25%, 03/01/39 | 10,000 | 11,439,900 |
| Los Angeles Department of Water, Refunding RB, Series A: | ||
| 5.00%, 07/01/41 | 5,000 | 5,870,000 |
| 5.25%, 07/01/44 | 3,000 | 3,561,210 |
| Water System, 5.00%, 07/01/44 | 1,500 | 1,756,935 |
| Los Angeles Department of Water & Power System Revenue, RB, Series B, 5.00%, 07/01/38 | 6,000 | 6,948,600 |
| South Coast Water District Financing Authority, Refunding RB, Series A, 5.00%, 02/01/44 | 9,130 | 10,985,125 |
| 96,303,531 | ||
| Total Municipal Bonds in California | 437,334,357 | |
| Multi-State 0.4% | ||
| Housing 0.4% | ||
| Centerline Equity Issuer Trust (c) : | ||
| Series A-4-2, 6.00%, 10/31/52 | 1,000 | 1,000,000 |
| Series B-3-2, 6.30%, 10/31/52 | 1,000 | 1,000,000 |
| Total Municipal Bonds in Multi-State | 2,000,000 | |
| Puerto Rico 2.8% | ||
| State 1.1% | ||
| Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, Restructured, Series A-1: | ||
| 4.50%, 07/01/34 | 43 | 43,622 |
| 4.75%, 07/01/53 | 1,719 | 1,641,817 |
3
Schedule of Investments (unaudited) (continued) April 30, 2019 BlackRock California Municipal Income Trust (BFZ) (Percentages shown are based on Net Assets)
| Security | Par (000) | Value |
|---|---|---|
| State (continued) | ||
| 5.00%, 07/01/58 | $ 3,763 | $ 3,708,662 |
| 5,394,101 | ||
| Tobacco 0.1% | ||
| Childrens Trust Fund, Refunding RB, Tobacco Settlement Asset-Backed Bonds, | ||
| 5.50%, 05/15/39 | 505 | 510,631 |
| Utilities 1.6% | ||
| Puerto Rico Commonwealth Aqueduct & Sewer Authority, RB, Senior Lien, Series A: | ||
| 5.00%, 07/01/33 | 3,865 | 3,802,194 |
| 5.13%, 07/01/37 | 1,105 | 1,087,044 |
| Puerto Rico Commonwealth Aqueduct & Sewer Authority, Refunding RB, Senior Lien, Series A, | ||
| 6.00%, 07/01/38 | 2,550 | 2,553,187 |
| 7,442,425 | ||
| Total Municipal Bonds in Puerto Rico | 13,347,157 | |
| Total Municipal Bonds 95.8% (Cost $433,237,590) | 452,681,514 | |
| Municipal Bonds Transferred to Tender Option Bond Trusts (d) 72.9% | ||
| California 72.9% | ||
| County/City/Special District/School District 26.7% | ||
| Los Angeles California Unified School District, GO, Series I, 5.00%, 01/01/34 | 5,000 | 5,023,375 |
| Los Angeles Community College District California, GO, Election of 2008, Series C, 5.25%, 08/01/20 (b)(e) | 12,902 | 13,502,707 |
| Los Angeles Community College District California, GO, Refunding, Election of 2008, Series A, | ||
| 6.00%, 08/01/19 (b) | 20,132 | 20,357,482 |
| Palomar Community College District, GO, Election of 2006, Series C, 5.00%, 08/01/44 | 15,140 | 17,395,179 |
| San Diego California Community College District, GO, Election of 2002, 5.25%, 08/01/19 (b) | 10,487 | 10,586,166 |
| Security | Par (000) | Value |
|---|---|---|
| County/City/Special District/School District (continued) | ||
| San Diego Unified School District California, GO, Election of 2012, Series I, 5.00%, 07/01/47 | $ 10,000 | $ 11,710,900 |
| San Francisco California Bay Area Rapid Transit District, GO, Election 2016, Green Bond, Series A, | ||
| 5.00%, 08/01/47 | 10,615 | 12,550,599 |
| San Joaquin California Delta Community College District, GO, Election of 2004, Series C, | ||
| 5.00%, 08/01/39 | 14,505 | 16,490,760 |
| San Jose Unified School District, GO, Series C, 4.00%, 08/01/39 | 6,100 | 6,430,803 |
| Santa Monica Community College District, GO, Election of 2016, Series A, 5.00%, 08/01/43 | 10,000 | 12,020,300 |
| 126,068,271 | ||
| Education 15.9% | ||
| University of California, RB: | ||
| Limited Project, Series M, 5.00%, 05/15/42 | 10,000 | 11,695,100 |
| Series AM, 5.25%, 05/15/44 | 5,000 | 5,722,475 |
| Series O, 5.75%, 05/15/19 (b) | 12,303 | 12,321,512 |
| University of California, Refunding RB: | ||
| Series A, 5.00%, 11/01/43 | 11,791 | 13,532,910 |
| Series AI, 5.00%, 05/15/38 | 14,225 | 15,818,545 |
| Series I, 5.00%, 05/15/40 | 14,065 | 16,043,803 |
| 75,134,345 | ||
| Health 9.4% | ||
| California Health Facilities Financing Authority, RB, Sutter Health, Series A: | ||
| 5.00%, 11/15/41 | 11,620 | 13,220,190 |
| 5.00%, 08/15/52 | 9,695 | 10,583,665 |
| California Statewide Communities Development Authority, RB, Kaiser Permanente, Series A, | ||
| 5.00%, 04/01/42 | 18,960 | 20,478,791 |
| 44,282,646 | ||
| State 2.5% | ||
| University of California, Refunding RB, Series AR, 5.00%, 05/15/41 | 10,165 | 11,734,261 |
| Transportation 12.0% | ||
| City & County of San Francisco California Airports Commission, Refunding RB, San Francisco | ||
| International Airport, Series B, AMT, 5.00%, 05/01/41 | 8,720 | 9,928,810 |
4
Schedule of Investments (unaudited) (continued) April 30, 2019 BlackRock California Municipal Income Trust (BFZ) (Percentages shown are based on Net Assets)
| Security | Par (000) | Value |
|---|---|---|
| Transportation (continued) | ||
| City of Los Angeles California Department of Airports, ARB, AMT: | ||
| Los Angeles International Airport, Sub-Series A, 5.00%, 05/15/42 | $ 22,710 | $ 25,829,185 |
| Series D, 5.00%, 05/15/41 | 18,632 | 20,960,054 |
| 56,718,049 | ||
| Utilities 6.4% | ||
| County of Orange California Water District, COP, Refunding, 5.00%, 08/15/19 (b) | 10,480 | 10,584,695 |
| Los Angeles Department of Water, Refunding RB, Series A, 5.00%, 07/01/46 | 6,412 | 7,362,699 |
| Security | Par (000) | Value | |
|---|---|---|---|
| Utilities (continued) | |||
| San Diego Public Facilities Financing Authority Sewer, Refunding RB, Senior Series A, 5.25%, 05/15/19 (b) | $ 12,460 | $ 12,474,205 | |
| 30,421,599 | |||
| Total Municipal Bonds Transferred to Tender Option Bond Trusts 72.9% (Cost $335,879,320) | 344,359,171 | ||
| Total Long-Term Investments 168.7% (Cost $769,116,910) | 797,040,685 | ||
| Total Investments 168.7% (Cost $769,116,910) | 797,040,685 | ||
| Other Assets Less Liabilities 2.1% | 9,693,387 | ||
| Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable | |||
| (34.5)% | (163,061,545 | ) | |
| VMTP Shares, at Liquidation Value, Net of Deferred Offering Costs | |||
| (36.3)% | (171,300,000 | ) | |
| Net Assets Applicable to Common Shares 100.0% | $ 472,372,527 |
(a) When-issued security.
(b) U.S. Government securities held in escrow, are used to pay interest on this security as well as to retire the bond in full at the date indicated, typically at a premium to par.
(c) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(d) Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing.
(e) All or a portion of the security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expires on May 18, 2020, is $6,798,086.
During the period ended April 30, 2019, investments in issuers considered to be an affiliate/affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliate — BlackRock Liquidity Funds California Money Fund, Institutional Class* | | | | Value at 04/30/19 — $ | Income — $ 16,135 | Net Realized Gain (Loss) (a) — $ | Change in Unrealized Appreciation (Depreciation) — $ | ||
|---|---|---|---|---|---|---|---|---|---|
| BlackRock Liquidity Funds, MuniCash, Institutional Class* | 6,190,589 | (6,190,589 | ) | | | 7,151 | | (610 | ) |
| $ | $ 23,286 | $ | $ (610 | ) |
(a) Includes net capital gain distributions, if applicable.
5
Schedule of Investments (unaudited) (continued) April 30, 2019 BlackRock California Municipal Income Trust (BFZ)
For Trust compliance purposes, the Trusts sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| Description | Notional Amount (000) | Value / Unrealized Appreciation (Depreciation) | |||
|---|---|---|---|---|---|
| Short Contracts: | |||||
| 10-Year U.S. Treasury Note | 139 | 06/19/19 | $ 17,190 | $ (30,429 | ) |
| Long U.S. Treasury Bond | 178 | 06/19/19 | 26,249 | (61,756 | ) |
| 5-Year U.S. Treasury Note | 1 | 06/28/19 | 116 | (736 | ) |
| $ (92,921 | ) |
| Portfolio Abbreviations | |
|---|---|
| AGM | Assured Guaranty Municipal Corp. |
| AMT | Alternative Minimum Tax (subject to) |
| ARB | Airport Revenue Bonds |
| COP | Certificates of Participation |
| GO | General Obligation Bonds |
| LRB | Lease Revenue Bonds |
| M/F | Multi-Family |
| RB | Revenue Bonds |
6
Schedule of Investments (unaudited) (continued) April 30, 2019 BlackRock California Municipal Income Trust (BFZ)
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
Level 1 Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that Trust has the ability to access
Level 2 Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
Level 3 Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including Trusts own assumptions used in determining the fair value of investments and derivative financial instruments)
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the BlackRock Global Valuation Methodologies Committee (the Global Valuation Committee) in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trusts policy regarding valuation of investments and derivative financial instruments, refer to the Trusts most recent financial statements as contained in its semi-annual report.
The following tables summarize the Trusts investments and derivative financial instruments categorized in the disclosure hierarchy:
| Level 1 | Level 2 | Level 3 | Total | |
|---|---|---|---|---|
| Assets: | ||||
| Investments: | ||||
| Long-Term Investments (a) | $ | $ 797,040,685 | $ | $ 797,040,685 |
| Derivative Financial | ||||
| Instruments (b) | ||||
| Liabilities: | ||||
| Interest rate contracts | $ (92,921) | $ | $ | $ (92,921) |
(a) See above Schedule of Investments for values in each sector.
(b) Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument.
The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:
| Level 1 | Level 2 | Level 3 | Total | |||
|---|---|---|---|---|---|---|
| Liabilities: | ||||||
| TOB Trust Certificates | $ | $ (162,130,035 | ) | $ | $ (162,130,035 | ) |
| VMTP Shares at Liquidation Value | | (171,300,000 | ) | | (171,300,000 | ) |
| $ | $ (333,430,035 | ) | $ | $ (333,430,035 | ) |
7
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