Unassociated Document


	Portfolio of Investments (Unaudited)
	Nuveen California Municipal Market Opportunity Fund, Inc. (NCO)
	May 31, 2011
Principal		Optional Call
Amount (000)	Description (1)	Provisions (2)	Ratings (3)	Value
	Consumer Staples – 5.9% (4.0% of Total Investments)
$ 315	California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Sonoma	6/15 at 100.00	BBB	$ 290,874
	County Tobacco Securitization Corporation, Series 2005, 4.250%, 6/01/21
2,000	Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed	6/17 at 100.00	Baa3	1,378,800
	Bonds, Series 2007A-1, 5.750%, 6/01/47
8,090	Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed	6/22 at 100.00	Baa3	4,755,868
	Bonds, Series 2007A-2, 0.000%, 6/01/37
10,405	Total Consumer Staples			6,425,542
	Education and Civic Organizations – 5.8% (3.9% of Total Investments)
100	California Educational Facilities Authority, Revenue Bonds, University of Redlands,	10/15 at 100.00	A3	88,738
	Series 2005A, 5.000%, 10/01/35
	California Educational Facilities Authority, Revenue Bonds, University of the Pacific,
	Series 2006:
70	5.000%, 11/01/21	11/15 at 100.00	A2	73,242
95	5.000%, 11/01/25	11/15 at 100.00	A2	96,785
1,000	California Infrastructure Economic Development Bond Bank, Revenue Bonds, Scripps Research	7/15 at 100.00	Aa3	1,025,920
	Institute, Series 2005A, 5.000%, 7/01/24
1,680	California State Public Works Board, Lease Revenue Bonds, University of California Regents,	3/18 at 100.00	Aa2	1,642,402
	Tender Option Bond Trust 1065, 9.091%, 3/01/33 (IF)
2,000	Long Beach Bond Financing Authority, California, Lease Revenue Refunding Bonds, Long Beach	11/11 at 101.00	BBB	1,843,200
	Aquarium of the South Pacific, Series 2001, 5.250%, 11/01/30 – AMBAC Insured
2,000	San Diego County, California, Certificates of Participation, Burnham Institute, Series 2006,	9/15 at 102.00	Baa3	1,578,300
	5.000%, 9/01/34
6,945	Total Education and Civic Organizations			6,348,587
	Health Care – 26.5% (18.1% of Total Investments)
5,260	California Health Facilities Financing Authority, Revenue Bonds, Childrens Hospital Los	7/20 at 100.00	AA+	4,897,428
	Angeles, Series 2010A, 5.250%, 7/01/38 – AGC Insured
240	California Health Facilities Financing Authority, Revenue Bonds, Kaiser Permanante System,	4/16 at 100.00	A+	217,409
	Series 2006, 5.000%, 4/01/37
5,305	California Health Facilities Financing Authority, Revenue Bonds, Sutter Health, Series 2008,	11/16 at 100.00	AA–	5,002,986
	5.250%, 11/15/46 (UB)
3,200	California Infrastructure Economic Development Bank, Revenue Bonds, Kaiser Hospital Assistance	8/11 at 102.00	A+	3,204,256
	LLC, Series 2001A, 5.550%, 8/01/31
1,060	California Municipal Financing Authority, Certificates of Participation, Community Hospitals	2/17 at 100.00	Baa2	850,173
	of Central California, Series 2007, 5.250%, 2/01/46
1,000	California Statewide Community Development Authority, Insured Health Facility Revenue Bonds,	10/17 at 100.00	A–	890,130
	Henry Mayo Newhall Memorial Hospital, Series 2007A, 5.000%, 10/01/37
	California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity
	Health System, Series 2005A:
1,500	5.250%, 7/01/24	7/15 at 100.00	BBB	1,352,295
1,000	5.250%, 7/01/30	7/15 at 100.00	BBB	840,320
755	California Statewide Community Development Authority, Revenue Bonds, Kaiser Permanante System,	3/16 at 100.00	A+	673,709
	Series 2006, 5.000%, 3/01/41
135	California Statewide Community Development Authority, Revenue Bonds, Kaiser Permanente System,	8/16 at 100.00	A+	131,228
	Series 2001C, 5.250%, 8/01/31
675	California Statewide Community Development Authority, Revenue Bonds, Sherman Oaks Health	No Opt. Call	A1	695,594
	System, Series 1998A, 5.000%, 8/01/22 – AMBAC Insured
2,585	California Statewide Community Development Authority, Revenue Bonds, Sutter Health, Series	11/15 at 100.00	AA–	2,354,082
	2005A, 5.000%, 11/15/43
569	California Statewide Communities Development Authority, Revenue Bonds, Saint Joseph Health	7/18 at 100.00	AA+	431,985
	System, Trust 2554, 18.728%, 7/01/47 – AGM Insured (IF)
1,000	Loma Linda, California, Hospital Revenue Bonds, Loma Linda University Medical Center, Series	12/15 at 100.00	BBB	885,510
	2005A, 5.000%, 12/01/23
1,150	Loma Linda, California, Hospital Revenue Bonds, Loma Linda University Medical Center, Series	12/38 at 100.00	BBB	1,248,992
	2008A, 8.250%, 12/01/38
2,205	Madera County, California, Certificates of Participation, Children’s Hospital Central	3/20 at 100.00	A	1,996,605
	California, Series 2010, 5.375%, 3/15/36
1,800	Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2010,	11/20 at 100.00	Baa3	1,609,506
	6.000%, 11/01/41
1,000	Rancho Mirage Joint Powers Financing Authority, California, Revenue Bonds, Eisenhower Medical	7/17 at 100.00	Baa1	827,570
	Center, Series 2007A, 5.000%, 7/01/38
1,000	The Regents of the University of California, Medical Center Pooled Revenue Bonds, Series	5/17 at 101.00	Aa2	948,270
	2009E, 5.000%, 5/15/38
31,439	Total Health Care			29,058,048
	Housing/Multifamily – 0.6% (0.4% of Total Investments)
700	California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects	8/20 at 100.00	BBB–	655,725
	Series 2010A, 6.400%, 8/15/45
	Housing/Single Family – 3.1% (2.1% of Total Investments)
150	California Housing Finance Agency, Home Mortgage Revenue Bonds, Series 2006H, 5.750%,	2/16 at 100.00	A3	152,115
	8/01/30 – FGIC Insured (Alternative Minimum Tax)
	California State Department of Veteran Affairs, Home Purchase Revenue Bonds, Series 2007B:
1,420	5.150%, 12/01/27 (Alternative Minimum Tax)	12/16 at 100.00	AA	1,399,069
2,000	5.200%, 12/01/32 (Alternative Minimum Tax)	12/16 at 100.00	AA	1,878,840
3,570	Total Housing/Single Family			3,430,024
	Long-Term Care – 6.0% (4.1% of Total Investments)
4,000	ABAG Finance Authority for Non-Profit Corporations, California, Cal-Mortgage Insured Revenue	5/20 at 100.00	A–	3,907,160
	Bonds, Channing House, Series 2010, 6.125%, 5/15/40
2,900	California Statewide Communities Development Authority, Revenue Bonds, Inland Regional Center	12/17 at 100.00	Baa1	2,702,916
	Project, Series 2007, 5.250%, 12/01/27
6,900	Total Long-Term Care			6,610,076
	Tax Obligation/General – 18.5% (12.6% of Total Investments)
4,125	Alameda Unified School District, Alameda County, California, General Obligation Bonds, Series	No Opt. Call	AA+	1,760,385
	2004A, 0.000%, 8/01/25 – AGM Insured
2,000	California State, General Obligation Bonds, Various Purpose Series 2009, 6.000%, 11/01/39	11/19 at 100.00	A1	2,142,320
1,350	Coachella Valley Unified School District, Riverside County, California, General Obligation	8/15 at 100.00	A1	1,359,234
	Bonds, Series 2005A, 5.000%, 8/01/30 – FGIC Insured
2,150	Los Rios Community College District, Sacramento, El Dorado and Yolo Counties, California,	8/14 at 102.00	AA+	2,347,306
	General Obligation Bonds, Series 2006C, 5.000%, 8/01/24 – AGM Insured (UB)
4,100	Monrovia Unified School District, Los Angeles County, California, General Obligation Bonds,	No Opt. Call	Aa3	1,466,857
	Series 2001B, 0.000%, 8/01/27 – FGIC Insured
2,500	Oakland Unified School District, Alameda County, California, General Obligation Bonds, Series	8/12 at 100.00	A2	2,536,475
	2002, 5.250%, 8/01/21 – FGIC Insured
920	Pomona Unified School District, Los Angeles County, California, General Obligation Refunding	8/11 at 103.00	A	955,043
	Bonds, Series 1997A, 6.150%, 8/01/15 – NPFG Insured
25	Riverside Community College District, California, General Obligation Bonds, Series 2004A,	8/14 at 100.00	AA	27,339
	5.250%, 8/01/24 – NPFG Insured
210	Roseville Joint Union High School District, Placer County, California, General Obligation	8/15 at 100.00	AA–	214,696
	Bonds, Series 2006B, 5.000%, 8/01/27 – FGIC Insured
4,970	San Rafael City High School District, Marin County, California, General Obligation Bonds,	No Opt. Call	AA	1,875,479
	Series 2004B, 0.000%, 8/01/27 – FGIC Insured
4,175	Southwestern Community College District, San Diego County, California, General Obligation	No Opt. Call	Aa2	1,808,902
	Bonds, Series 2004, 0.000%, 8/01/25 – FGIC Insured
9,850	Sylvan Union School District, Stanislaus County, California, General Obligation Bonds,	No Opt. Call	AA+	2,316,129
	Election of 2006, Series 2010, 0.000%, 8/01/49 – AGM Insured
5,750	Yosemite Community College District, California, General Obligation Bonds, Capital	No Opt. Call	Aa2	1,423,355
	Appreciation, Election 2004, Series 2010D, 0.000%, 8/01/42
42,125	Total Tax Obligation/General			20,233,520
	Tax Obligation/Limited – 26.3% (17.9% of Total Investments)
2,000	California State Public Works Board, Lease Revenue Bonds, Department of Mental Health,	6/14 at 100.00	A2	2,074,460
	Coalinga State Hospital, Series 2004A, 5.500%, 6/01/19
260	Capistrano Unified School District, Orange County, California, Special Tax Bonds, Community	9/15 at 100.00	BBB	248,802
	Facilities District, Series 2005, 5.000%, 9/01/24 – FGIC Insured
770	Chino Redevelopment Agency, California, Merged Chino Redevelopment Project Area Tax Allocation	9/16 at 101.00	A–	626,256
	Bonds, Series 2006, 5.000%, 9/01/38 – AMBAC Insured
1,035	Hawthorne Community Redevelopment Agency, California, Project Area 2 Tax Allocation Bonds,	9/16 at 100.00	A–	883,952
	Series 2006, 5.250%, 9/01/36 – SYNCORA GTY Insured
	Irvine, California, Unified School District, Community Facilities District Special Tax Bonds,
	Series 2006A:
120	5.000%, 9/01/26	9/16 at 100.00	N/R	112,670
275	5.125%, 9/01/36	9/16 at 100.00	N/R	237,809
470	Los Angeles Community Redevelopment Agency, California, Lease Revenue Bonds, Manchester Social	9/15 at 100.00	A1	399,180
	Services Project, Series 2005, 5.000%, 9/01/37 – AMBAC Insured
	Modesto Schools Infrastructure Financing Agency, Stanislaus County, California, Special Tax
	Revenue Bonds, Series 2004:
1,375	5.250%, 9/01/25 – AMBAC Insured	9/14 at 100.00	N/R	1,228,466
1,500	5.250%, 9/01/26 – AMBAC Insured	9/14 at 100.00	N/R	1,318,815
245	National City Community Development Commission, San Diego County, California, Redevelopment	8/21 at 100.00	A–	257,240
	Project Tax Allocation Bonds, Series 2011, 6.500%, 8/01/24
90	Novato Redevelopment Agency, California, Tax Allocation Bonds, Hamilton Field Redevelopment	9/21 at 100.00	A–	91,518
	Project, Series 2011, 6.750%, 9/01/40
10,900	Ontario Redevelopment Financing Authority, San Bernardino County, California, Revenue	No Opt. Call	Baa1	12,608,139
	Refunding Bonds, Redevelopment Project 1, Series 1995, 7.400%, 8/01/25 – NPFG Insured
1,000	Ontario, California, Special Tax Bonds, Community Facilities District 5, Freeway Interchange	9/11 at 100.00	N/R	1,005,270
	Project, Series 1997, 6.375%, 9/01/17
1,065	Panama-Buena Vista Union School District, California, Certificates of Participation, School	9/16 at 100.00	A1	1,102,925
	Construction Project, Series 2006, 5.000%, 9/01/22 – NPFG Insured
225	Rialto Redevelopment Agency, California, Tax Allocation Bonds, Merged Project Area, Series	9/15 at 100.00	A–	186,082
	2005A, 5.000%, 9/01/35 – SYNCORA GTY Insured
55	Riverside County Redevelopment Agency, California, Jurupa Valley Project Area 2011 Tax Allocation	10/21 at 100.00	A–	55,612
	Bonds Series B, 6.500%, 10/01/25
1,440	Riverside County Redevelopment Agency, California, Tax Allocation Housing Bonds, Series 2010A,	10/20 at 100.00	A–	1,358,683
	6.000%, 10/01/39
280	Roseville, California, Certificates of Participation, Public Facilities, Series 2003A, 5.000%,	8/13 at 100.00	AA–	280,350
	8/01/25 – AMBAC Insured
2,500	Sacramento City Financing Authority, California, Lease Revenue Refunding Bonds, Series 1993A,	No Opt. Call	A1	2,650,775
	5.400%, 11/01/20 – AMBAC Insured
45	San Francisco Redevelopment Finance Authority, California, Tax Allocation Revenue Bonds,	2/21 at 100.00	A–	46,705
	Mission Bay North Redevelopment Project, Series 2011C, 6.750%, 8/01/41
	San Francisco Redevelopment Financing Authority, California, Tax Allocation Revenue Bonds,
	Mission Bay South Redevelopment Project, Series 2011D:
45	7.000%, 8/01/33	2/21 at 100.00	BBB	46,233
55	7.000%, 8/01/41	2/21 at 100.00	BBB	56,310
1,200	San Jose Financing Authority, California, Lease Revenue Refunding Bonds, Convention Center	9/11 at 100.00	AA+	1,211,064
	Project, Series 2001F, 5.000%, 9/01/20 – NPFG Insured
485	San Mateo Union High School District, San Mateo County, California, Certificates of	12/17 at 100.00	AA–	457,554
	Participation, Phase 1, Series 2007A, 5.000%, 12/15/30 – AMBAC Insured
70	Signal Hill Redevelopment Agency, California, Project 1 Tax Allocation Bonds, Series 2011,	4/21 at 100.00	N/R	69,278
	7.000%, 10/01/26
125	Yorba Linda Redevelopment Agency, Orange County, California, Tax Allocation Revenue Bonds,	9/21 at 100.00	A–	126,561
	Yorba Linda Redevelopment Project, Subordinate Lien Series 2011A, 6.000%, 9/01/26
27,630	Total Tax Obligation/Limited			28,740,709
	Transportation – 11.7% (8.0% of Total Investments)
1,355	Bay Area Toll Authority, California, Revenue Bonds, San Francisco Bay Area Toll Bridge, Series	4/18 at 100.00	AA	1,497,234
	2008, Trust 3211, 13.453%, 10/01/32 (IF)
4,000	Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Refunding	1/14 at 101.00	BBB–	3,661,320
	Bonds, Series 1999, 5.875%, 1/15/29
5,210	Port of Oakland, California, Revenue Bonds, Series 2000K, 5.750%, 11/01/29 – FGIC Insured	8/11 at 100.00	A+	5,209,844
2,465	San Francisco Airports Commission, California, Special Facilities Lease Revenue Bonds, San	7/11 at 100.00	AA+	2,467,268
	Francisco International Airport, SFO Fuel Company LLC, Series 2000A, 6.125%, 1/01/27 – AGM
	Insured (Alternative Minimum Tax)
13,030	Total Transportation			12,835,666
	U.S. Guaranteed – 13.9% (9.4% of Total Investments) (4)
3,000	California Department of Water Resources, Power Supply Revenue Bonds, Series 2002A, 5.125%,	5/12 at 101.00	Aaa	3,164,100
	5/01/18 (Pre-refunded 5/01/12)
25	California Department of Water Resources, Water System Revenue Bonds, Central Valley Project,	12/11 at 100.00	AAA	25,666
	Series 2001W, 5.500%, 12/01/15 (Pre-refunded 12/01/11)
10	California Department of Water Resources, Water System Revenue Bonds, Central Valley Project,	No Opt. Call	AAA	12,608
	Series 2002X, 5.500%, 12/01/17 – FGIC Insured (ETM)
2,100	California State, General Obligation Bonds, Series 2004, 5.250%, 4/01/34 (Pre-refunded 4/01/14)	4/14 at 100.00	AAA	2,376,444
1,250	Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed	6/13 at 100.00	AAA	1,354,900
	Bonds, Series 2003A-1, 6.250%, 6/01/33 (Pre-refunded 6/01/13)
875	Orange County Water District, California, Revenue Certificates of Participation, Series 2003B,	8/13 at 100.00	AAA	943,478
	5.000%, 8/15/34 – NPFG Insured (ETM)
3,910	Pomona, California, GNMA/FHLMC Collateralized Single Family Mortgage Revenue Refunding Bonds,	No Opt. Call	AAA	5,157,720
	Series 1990B, 7.500%, 8/01/23 (ETM)
1,875	Riverside Community College District, California, General Obligation Bonds, Series 2004A,	8/14 at 100.00	AA (4)	2,144,306
	5.250%, 8/01/24 (Pre-refunded 8/01/14) – NPFG Insured
13,045	Total U.S. Guaranteed			15,179,222
	Utilities – 5.3% (3.6% of Total Investments)
2,815	California Statewide Community Development Authority, Certificates of Participation Refunding,	12/11 at 100.00	N/R	2,523,507
	Rio Bravo Fresno Project, Series 1999A, 6.500%, 12/01/18 (5)
1,365	Long Beach Bond Finance Authority, California, Natural Gas Purchase Revenue Bonds, Series	No Opt. Call	A	1,280,165
	2007A, 5.500%, 11/15/37
455	Merced Irrigation District, California, Electric System Revenue Bonds, Series 2005, 5.125%,	9/15 at 100.00	N/R	393,793
	9/01/31 – SYNCORA GTY Insured
1,500	Southern California Public Power Authority, California, Milford Wind Corridor Phase I Revenue	No Opt. Call	AA–	1,580,700
	Bonds, Series 2010-1, 5.000%, 7/01/28
6,135	Total Utilities			5,778,165
	Water and Sewer – 23.3% (15.9% of Total Investments)
1,020	California Department of Water Resources, Water System Revenue Bonds, Central Valley Project,	No Opt. Call	AAA	1,252,070
	Series 2002X, 5.500%, 12/01/17 – FGIC Insured
2,500	El Centro Financing Authority, California, Water Revenue Bonds, Series 2006A, 4.750%, 10/01/31-	10/16 at 100.00	AA+	2,370,175
	AGM Insured
750	Fortuna Public Finance Authority, California, Water Revenue Bonds, Series 2006, 5.000%,	10/16 at 100.00	AA+	729,473
	10/01/36 – AGM Insured
3,380	Orange County Sanitation District, California, Certificates of Participation, Tender Option	2/19 at 100.00	AAA	3,764,779
	Bond Trust 11738, 17.857%, 8/01/29 (IF)
3,500	Placerville Public Financing Authority, California, Wastewater System Refinancing and	9/16 at 100.00	N/R	2,711,520
	Improvement Project Revenue Bonds, Series 2006, 5.000%, 9/01/34 – SYNCORA GTY Insured
350	Sacramento County Sanitation District Financing Authority, California, Revenue Bonds, Series	6/16 at 100.00	AA	357,523
	2006, 5.000%, 12/01/31 – FGIC Insured
2,630	San Diego Public Facilities Financing Authority, California, Sewerage Revenue Bonds, Refunding	5/20 at 100.00	Aa3	2,847,580
	Series 2010A, 5.250%, 5/15/27
2,000	San Francisco City and County Public Utilities Commission, California, Clean Water Revenue	4/13 at 100.00	AA–	2,117,500
	Refunding Bonds, Series 2003A, 5.250%, 10/01/20 – NPFG Insured
10,000	Santa Maria, California, Subordinate Water and Wastewater Revenue Certificates of	8/12 at 101.00	N/R	9,370,400
	Participation, Series 1997A, 5.550%, 8/01/27 – AMBAC Insured
26,130	Total Water and Sewer			25,521,020
$ 188,054	Total Investments (cost $166,193,294) – 146.9%			160,816,304
	Floating Rate Obligations – (3.9)%			(4,285,000)
	Variable Rate Demand Preferred Shares, at Liquidation Value – (45.5)% (6)			(49,800,000)
	Other Assets Less Liabilities – 2.5% (7)			2,745,748
	Net Assets Applicable to Common Shares – 100%			$ 109,477,052

Investments in Derivatives

Forward Swaps outstanding at May 31, 2011:


		Fund			Fixed Rate			Unrealized
	Notional	Pay/Receive	Floating Rate	Fixed Rate	Payment	Effective	Termination	Appreciation
Counterparty	Amount	Floating Rate	Index	(Annualized)	Frequency	Date (8)	Date	(Depreciation)
Morgan Stanley	$3,000,000	Receive	3-Month USD-LIBOR	4.431%	Semi-Annually	2/17/12	2/17/30	$(179,782)

Fair Value Measurements

Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of 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 three-tier hierarchy of inputs is summarized in the three broad levels listed below:

Level 1 – Quoted prices in active markets for identical securities.

Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3 – 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 risk associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of May 31, 2011:


	Level 1	Level 2	Level 3	Total
Investments:
Municipal Bonds	$ —	$160,816,304	$ —	$160,816,304
Derivatives:
Forward Swaps*	—	(179,782)	—	(179,782)
Total	$ —	$160,636,522	$ —	$160,636,522

* Represents net unrealized appreciation (depreciation).

During the period ended May 31, 2011, the Fund recognized no significant transfers to/from Level 1, Level 2 or Level 3.

Derivative Instruments and Hedging Activities

The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund's investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.

The following table presents the fair value of all derivative instruments held by the Fund as of May 31, 2011, the location of these instruments on the Statement of Assets and Liablilities, and the primary underlying risk exposure.


		Location on the Statement of Assets and Liabilities
Underlying	Derivative	Asset Derivatives		Liability Derivatives
Risk Exposure	Instrument	Location	Value	Location	Value
Interest Rate	Forward Swaps	Unrealized appreciation	$ —	Unrealized depreciation	$179,782
		on forward swaps*		on forward swaps*

* Represents cumulative unrealized appreciation (depreciation) of forward swap contracts as reported in the Portfolio of Investments.

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.

At May 31, 2011, the cost of investments (excluding investments in derivatives) was $161,844,030.


Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) at May 31, 2011,
were as follows:
Gross unrealized:
Appreciation	$ 5,080,220
Depreciation	(10,392,813)
Net unrealized appreciation (depreciation) of investments	$ (5,312,593)


(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 Investor 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)		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. Such investments are normally considered to
		be equivalent to AAA rated securities.
(5)		This debt has been restructured to accommodate capital maintenance at the facility. Major highlights of
		the debt restructuring include the following: (1) the principal balance outstanding on and after December 1,
		2007, shall accrue interest at a rate of 6.500% per annum commencing December 1, 2007; (2) the interest
		shall accrue but not be payable on June 1, 2008 or December 1, 2008, but shall instead be deferred and
		paid by the end of calendar year 2011; (3) no principal component shall be pre-payable from the Minimum
		Sinking Fund Account during calendar years 2008 and 2009 but such pre-payments shall recommence
		beginning in calendar year 2010 according to a revised schedule. Management believes that the
		restructuring is in the best interest of Fund shareholders and that it is more-likely-than-not that the
		borrower will fulfill its obligation. Consequently, the Fund continues to accrue interest on this obligation.
(6)		Variable Rate Demand Preferred Shares, at Liquidation Value as a percentage of Total Investments is 31.0%.
(7)		Other Assets Less Liabilities includes the Value and/or the Unrealized Appreciation (Depreciation) of
		derivative instruments as listed within Investments in Derivatives.
(8)		Effective date represents the date on which both the Fund and Counterparty commence interest payment
		accruals on each forward swap contract.
N/R		Not rated.
(ETM)		Escrowed to maturity.
(IF)		Inverse floating rate investment.
(UB)		Underlying bond of an inverse floating rate trust reflected as a financing transaction.
USD-LIBOR		United States Dollar-London Inter-Bank Offered Rate.