UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811-22551

 

MainStay MacKay DefinedTerm Municipal Opportunities Fund

(Exact name of registrant as specified in charter)

 

51 Madison Avenue, New York, New York 10010

(Address of principal executive offices) (Zip Code)

 

 

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

(Name and address of agent for service)

 

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

 

Date of fiscal year end: May 31

 

Date of reporting period: February 28, 2018

 

 

 

 

 

Item 1. Schedule of Investments.

 

The schedule of investments for the period ended February 28, 2018 is filed herewith.

 

 

MainStay MacKay DefinedTerm Municipal Opportunities Fund

 

Portfolio of Investments February 28, 2018 (Unaudited)

 

       Principal
Amount
   Value 
   Municipal Bonds 153.3% †        
            
   Alabama 0.8% (0.5% of Managed Assets)        
    Jefferson County, Public Building Authority, Revenue Bonds
Insured: AMBAC
5.00%, due 4/1/26
  $4,500,000   $4,511,385 
              
   Arizona 0.4% (0.2% of Managed Assets)          
   Phoenix Industrial Development Authority, Downtown Phoenix Student LLC, Revenue Bonds
Series A, Insured: AMBAC
4.50%, due 7/1/42
   150,000    149,450 
   Phoenix Industrial Development Authority, Espiritu Community Development Corp., Revenue Bonds
Series A
6.25%, due 7/1/36
   2,000,000    1,971,920 
            2,121,370 
   California 14.8% (9.4% of Managed Assets)          
   California Municipal Finance Authority, Southwestern Law School, Revenue Bonds
6.50%, due 11/1/41
   2,165,000    2,416,378 
   Ceres Unified School District, Unlimited General Obligation
Series A
(zero coupon), due 8/1/43
   6,375,000    1,164,330 
   City of Sacramento, California, Water, Revenue Bonds
5.00%, due 9/1/42  (a)
   19,500,000    21,865,740 
   Golden State Tobacco Securitization Corp., Asset-Backed, Revenue Bonds
Series A-2
5.30%, due 6/1/37
   5,225,000    5,328,925 
   Riverside County Transportation Commission, Limited Tax, Revenue Bonds
Series A
5.25%, due 6/1/39 (a)
   19,100,000    22,226,651 
   Stockton Public Financing Authority, Parking & Capital Projects, Revenue Bonds
Insured: NATL-RE
4.80%, due 9/1/20
   105,000    105,176 
   Stockton Public Financing Authority, Water System, Capital Improvement Projects, Revenue Bonds
Series A, Insured: NATL-RE
5.00%, due 10/1/31
   140,000    140,392 
¤  University of California, Regents Medical Center, Revenue Bonds
Series J
5.00%, due 5/15/43  (a)
   23,260,000    25,920,120 
   Westminster School District, Unlimited General Obligation
Series B, Insured: BAM
(zero coupon), due 8/1/48
   10,000,000    1,554,300 
            80,722,012 
   Colorado 0.5% (0.3% of Managed Assets)          
   Dominion Water & Sanitation District, Revenue Bonds
6.00%, due 12/1/46
   2,500,000    2,610,625 
   E-470 Public Highway Authority, Revenue Bonds
Series B, Insured: NATL-RE
(zero coupon), due 9/1/29
   610,000    343,839 
            2,954,464 
   District of Columbia 0.6% (0.4% of Managed Assets)          
   Metropolitan Washington Airports Authority, Revenue Bonds
Series C, Insured: AGC
6.50%, due 10/1/41
   2,400,000    3,035,400 
              
   Florida 9.9% (6.3% of Managed Assets)          
   Celebration Pointe Community Development District, Special Assessment Revenue Bonds
5.00%, due 5/1/32 (b)
   1,400,000    1,454,138 
   County of Miami-Dade Florida Water & Sewer System, Revenue Bonds
Series B
5.00%, due 10/1/33
   10,000,000    11,361,400 
¤  County of Orange FL Tourist Development Tax Revenue, Revenue Bonds
4.00%, due 10/10/33 (a)
   25,000,000    26,381,443 
   JEA Electric System, Revenue Bonds          
   Series B
4.00%, due 10/1/38
   645,000    675,328 
   Series C
5.00%, due 10/1/37 (a)
   12,980,000    14,256,332 
            54,128,641 
   Georgia 0.0%‡ (0.0%‡ of Managed Assets)          
   Marietta Development Authority, University Facilities-Life University, Inc. Project, Revenue Bonds
6.25%, due 6/15/20
   220,000    223,106 
              
   Guam 3.2% (2.0% of Managed Assets)          
   Guam Government, Business Privilege Tax, Revenue Bonds          
   Series D
5.00%, due 11/15/34
   1,000,000    1,087,420 
   Series B-1
5.00%, due 1/1/42
   3,800,000    3,956,940 
   Guam Government, Waterworks Authority, Revenue Bonds
5.50%, due 7/1/43
   7,550,000    8,260,153 
   Guam International Airport Authority, Revenue Bonds
Series C, Insured: AGM
6.00%, due 10/1/34 (c)
   3,425,000    3,936,832 
            17,241,345 
   Illinois 23.9% (15.3% of Managed Assets)          
   Chicago Board of Education Dedicated Capital Improvement, Special Tax
5.75%, due 4/1/34
   8,000,000    9,142,080 
   Chicago Board of Education Dedicated Capital Improvement, Unlimited General Obligation (b)          
   Series B
7.00%, due 12/1/42
   3,500,000    4,199,300 
   Series A
7.00%, due 12/1/46
   4,000,000    4,785,200 
¤  Chicago Board of Education, Unlimited General Obligation          
   Series A, Insured: AGM
5.50%, due 12/1/39 (a)
   20,000,000    21,753,900 
   Series A
7.00%, due 12/1/44
   2,880,000    3,336,077 
   Chicago O'Hare International Airport, Revenue Bonds
Insured: AGM
5.75%, due 1/1/38
   5,000,000    5,698,250 
   Chicago, Illinois Wastewater Transmission, Revenue Bonds
Series C
5.00%, due 1/1/32
   7,120,000    7,749,978 
   Chicago, Unlimited General Obligation          
   Series C
5.00%, due 1/1/23
   300,000    305,295 
   Series C
5.00%, due 1/1/25
   885,000    929,896 
   Series D
5.00%, due 1/1/29
   500,000    505,365 
   Series C
5.00%, due 1/1/40
   10,000,000    10,104,000 
   Series A
5.25%, due 1/1/27
   3,000,000    3,253,740 
   Series A
6.00%, due 1/1/38
   3,715,000    4,218,568 
   Chicago, Waterworks, Revenue Bonds          
   Series 2017-2, Insured: AGM
5.00%, due 11/1/37
   2,500,000    2,809,475 
   Series 2017-2, Insured: AGM
5.00%, due 11/1/38
   2,500,000    2,807,300 
   Illinois Sports Facilities Authority, Revenue Bonds          
   Insured: AMBAC
(zero coupon), due 6/15/21
   410,000    363,818 
   Insured: AGM
5.00%, due 6/15/29
   350,000    379,788 
   Insured: AGM
5.25%, due 6/15/32
   150,000    163,716 
   Illinois State Sales Tax Revenue, Revenue Bonds
lst Series, Insured: NATL-RE
6.00%, due 6/15/26
   4,290,000    5,259,583 
   Metropolitan Pier & Exposition Authority, McCormick Place Expansion, Revenue Bonds          
   Series B
5.00%, due 12/15/28
   10,000,000    10,640,900 
   Series A
5.50%, due 6/15/50
   8,835,000    9,251,784 
   Public Building Commission of Chicago, Chicago Transit Authority, Revenue Bonds
Insured: AMBAC
5.25%, due 3/1/31
   600,000    678,120 
   Rock Island County IL, Unlimited General Obligation
Insured: BAM
4.00%, due 12/1/27
   1,730,000    1,819,199 
   State of Illinois, Unlimited General Obligation
5.25%, due 7/1/31  (a)
   20,000,000    20,602,234 
            130,757,566 
   Kansas 3.9% (2.5% of Managed Assets)          
   Kansas Development Finance Authority, Adventist Health Sunbelt Obligated Group, Revenue Bonds
Series A
5.00%, due 11/15/32 (a)
   19,290,000    21,227,053 
              
   Maryland 4.2% (2.7% of Managed Assets)          
¤  Maryland Health & Higher Educational Facilities Authority, Johns Hopkins Health System Obligated Group, Revenue Bonds
Series C
5.00%, due 5/15/43 (a)
   20,870,000    22,902,251 
              
   Michigan 16.8% (10.8% of Managed Assets)          
¤  Great Lakes Water Authority, Sewage Disposal System, Revenue Bonds          
   Senior Lien-Series C, Insured: AGM
5.00%, due 7/1/31
   7,500,000    8,395,425 
   Senior Lien-Series A
5.00%, due 7/1/32
   1,500,000    1,619,025 
   Series B, Insured: AGM
5.00%, due 7/1/34 (a)
   24,940,000    28,160,003 
   Senior Lien-Series A
5.25%, due 7/1/39
   5,000,000    5,411,200 
   Great Lakes Water Authority, Water Supply System, Revenue Bonds          
   Senior Lien-Series C
5.00%, due 7/1/41
   1,005,000    1,068,215 
   Senior Lien-Series A
5.25%, due 7/1/41
   2,385,000    2,593,258 
   Senior Lien-Series A
5.75%, due 7/1/37
   5,000,000    5,556,650 
   Michigan Finance Authority, Public School Academy, University Learning, Revenue Bonds          
   7.375%, due 11/1/30   2,920,000    3,030,756 
   7.50%, due 11/1/40   2,745,000    2,845,796 
¤  Michigan Finance Authority, Trinity Health Corp., Revenue Bonds
Series 2016
5.25%, due 12/1/41 (a)
   21,630,000    24,602,322 
   Michigan Public Educational Facilities Authority, Dr. Joseph F. Pollack, Revenue Bonds          
   8.00%, due 4/1/30   1,195,000    1,256,973 
   8.00%, due 4/1/40   500,000    524,035 
   Michigan Tobacco Settlement Finance Authority, Revenue Bonds
Series A
6.00%, due 6/1/48
   5,000,000    4,987,500 
   Wayne County Michigan, Capital Improvement, Limited General Obligation
Series A, Insured: AGM
5.00%, due 2/1/38
   2,135,000    2,140,402 
            92,191,560 
   Minnesota 0.4% (0.2% of Managed Assets)          
   Blaine Minnesota Senior Housing & Healthcare, Crest View Senior Community Project, Revenue Bonds
Series A
5.75%, due 7/1/35
   2,000,000    2,041,740 
   Missouri 0.4% (0.3% of Managed Assets)          
   St. Louis County Industrial Development Authority, Nazareth Living Center, Revenue Bonds
6.125%, due 8/15/42
   2,120,000    2,269,905 
              
   Nebraska 5.1% (3.3% of Managed Assets)          
¤  Central Plains Energy, Project No. 3, Revenue Bonds          
   Series A
5.00%, due 9/1/32
   5,305,000    6,223,561 
   5.25%, due 9/1/37 (a)   20,000,000    21,865,300 
            28,088,861 
   Nevada 2.3% (1.5% of Managed Assets)          
   City of Sparks, Tourism Improvement District No. 1, Senior Sales Tax Anticipation, Revenue Bonds
Series A
6.75%, due 6/15/28 (b)
   12,500,000    12,592,250 
              
   New Hampshire 0.7% (0.4% of Managed Assets)          
   Manchester Housing & Redevelopment Authority, Inc., Revenue Bonds
Series B. Insured: ACA
(zero coupon), due 1/1/24
   4,740,000    3,592,730 
              
   New Jersey 2.7% (1.7% of Managed Assets)          
   New Jersey Economic Development Authority, Continental Airlines, Inc. Project, Revenue Bonds (c)       
   5.25%, due 9/15/29   6,120,000    6,680,653 
   Series B
5.625%, due 11/15/30
   2,500,000    2,832,050 
   New Jersey Tobacco Settlement Financing Corp., Revenue Bonds
Series 1A
5.00%, due 6/1/41
   5,000,000    4,995,500 
            14,508,203 
   New York 7.3% (4.7% of Managed Assets)          
   Long Island Power Authority, Electric System, Revenue Bonds
5.00%, due 9/1/47
   1,215,000    1,370,605 
   New York Liberty Development Corp., World Trade Center, Revenue Bonds
Class 3
7.25%, due 11/15/44 (b)
   12,200,000    14,573,388 
   New York Transportation Development Corp., LaGuardia Airport Terminal B Redevelopment Project, Revenue Bonds
Series A, Insured: AGM
4.00%, due 7/1/36 (a)
   20,000,000    20,551,200 
   Riverhead Industrial Development Agency, Revenue Bonds
7.00%, due 8/1/43
   3,395,000    3,635,366 
            40,130,559 
   Ohio 3.0% (1.9% of Managed Assets)          
   Buckeye Tobacco Settlement Financing Authority, Asset-Backed, Senior Turbo, Revenue Bonds          
   Series A-2
5.125%, due 6/1/24
   2,550,000    2,416,380 
   Series A-2
5.75%, due 6/1/34
   2,425,000    2,312,335 
   Series A-2
5.875%, due 6/1/30
   12,200,000    11,825,338 
            16,554,053 
   Pennsylvania 4.0% (2.6% of Managed Assets)          
   Commonwealth Financing Authority PA, Tobacco Master Settlement Payment, Revenue Bonds
Insured: AGM
4.00%, due 6/1/39
   3,000,000    3,018,780 
   Harrisburg, Unlimited General Obligation
Series F, Insured: AMBAC
(zero coupon), due 9/15/21
   305,000    262,401 
   Pennsylvania Economic Development Financing Authority, Capitol Region Parking System, Revenue Bonds
Series B
6.00%, due 7/1/53 (a)
   14,260,000    16,428,232 
   Philadelphia Authority for Industrial Development, Nueva Esperanza, Inc., Revenue Bonds
8.20%, due 12/1/43
   2,000,000    2,227,020 
            21,936,433 
   Puerto Rico 24.2% (15.5% of Managed Assets)          
   Children’s Trust Fund Puerto Rico Tobacco Settlement, Revenue Bonds
5.50%, due 5/15/39
   5,465,000    5,157,812 
   Commonwealth of Puerto Rico, Aqueduct & Sewer Authority, Revenue Bonds          
   Series A, Insured: AGC
5.00%, due 7/1/25
   310,000    311,119 
   Series A, Insured: AGC
5.125%, due 7/1/47
   3,340,000    3,346,279 
¤  Commonwealth of Puerto Rico, Public Improvement, Unlimited General Obligation (d)          
   Insured: AGM
4.50%, due 7/1/23
   280,000    280,770 
   Series A, Insured: AGM
5.00%, due 7/1/35
   19,665,000    20,142,073 
   Insured: AGM
5.125%, due 7/1/30
   1,365,000    1,373,340 
   Series A, Insured: AGC
5.25%, due 7/1/23
   145,000    146,256 
   Series A-4, Insured: AGM
5.25%, due 7/1/30
   4,425,000    4,629,833 
   Series A, Insured: AGM
5.375%, due 7/1/25
   840,000    892,870 
   Series A, Insured: AMBAC
5.50%, due 7/1/19
   55,000    56,091 
   Series A, Insured: AGM
5.50%, due 7/1/27
   2,230,000    2,371,828 
   Series A, Insured: AGC
5.50%, due 7/1/32
   255,000    257,864 
   Series C, Insured: AGM
5.50%, due 7/1/32
   1,520,000    1,534,759 
   Series C, Insured: AGM
5.75%, due 7/1/37
   5,440,000    5,486,784 
   Series C-7, Insured: NATL-RE
6.00%, due 7/1/27
   2,615,000    2,621,041 
   Series A, Insured: AGM
6.00%, due 7/1/33
   875,000    889,201 
   Series A, Insured: AGM
6.00%, due 7/1/34
   755,000    807,435 
   Puerto Rico Convention Center District Authority, Revenue Bonds (d)          
   Series A, Insured: AGC
4.50%, due 7/1/36
   8,210,000    8,210,082 
   Series A, Insured: AGC
5.00%, due 7/1/27
   635,000    636,321 
   Series A, Insured: AMBAC
5.00%, due 7/1/31
   190,000    180,048 
   Puerto Rico Electric Power Authority, Revenue Bonds (d)          
   Series DDD, Insured: AGM
3.625%, due 7/1/23
   670,000    666,335 
   Series DDD, Insured: AGM
3.65%, due 7/1/24
   2,055,000    2,031,409 
   Series SS, Insured: NATL-RE
5.00%, due 7/1/19
   5,200,000    5,202,704 
   Series PP, Insured: NATL-RE
5.00%, due 7/1/24
   1,100,000    1,087,196 
   Series PP, Insured: NATL-RE
5.00%, due 7/1/25
   165,000    162,632 
   Series TT, Insured: AGM
5.00%, due 7/1/27
   310,000    310,645 
   Series VV, Insured: AGM
5.25%, due 7/1/27
   1,040,000    1,126,112 
¤  Puerto Rico Highway & Transportation Authority, Revenue Bonds (d)          
   Series AA-1, Insured: AGM
4.95%, due 7/1/26
   6,195,000    6,350,742 
   Series K, Insured: AGC, AGM
5.00%, due 7/1/18
   560,000    561,971 
   Series N, Insured: AMBAC
5.25%, due 7/1/30
   3,445,000    3,368,314 
   Series N, Insured: AMBAC
5.25%, due 7/1/31
   3,485,000    3,383,586 
   Series CC, Insured: AGM
5.25%, due 7/1/32
   1,715,000    1,855,784 
   Series N, Insured: NATL-RE
5.25%, due 7/1/32
   4,050,000    3,811,779 
   Series CC, Insured: AGM
5.25%, due 7/1/34
   2,185,000    2,370,463 
   Series N, Insured: AGC
5.25%, due 7/1/34
   1,850,000    2,007,028 
   Series N, Insured: AGC, AGM
5.50%, due 7/1/25
   360,000    394,873 
   Series CC, Insured: AGM
5.50%, due 7/1/29
   115,000    127,225 
   Series N, Insured: AGC, AGM
5.50%, due 7/1/29
   5,000,000    5,531,500 
   Series N, Insured: AMBAC
5.50%, due 7/1/29
   965,000    969,777 
   Series CC, Insured: AGM
5.50%, due 7/1/30
   3,185,000    3,527,165 
   Puerto Rico Infrastructure Financing Authority, Revenue Bonds (d)          
   Series C, Insured: AMBAC
5.50%, due 7/1/23
   1,500,000    1,545,390 
   Series C, Insured: AMBAC
5.50%, due 7/1/24
   335,000    342,983 
   Series C, Insured: AMBAC
5.50%, due 7/1/25
   1,830,000    1,867,606 
   Series C, Insured: AMBAC
5.50%, due 7/1/26
   1,505,000    1,531,714 
   Puerto Rico Municipal Finance Agency, Revenue Bonds          
   Series A, Insured: AGM
5.00%, due 8/1/20
   670,000    672,358 
   Series A, Insured: AGM
5.00%, due 8/1/21
   810,000    812,689 
   Series A, Insured: AGM
5.00%, due 8/1/22
   810,000    812,519 
   Series A, Insured: AGM
5.00%, due 8/1/27
   2,770,000    2,775,762 
   Series A, Insured: AGM
5.00%, due 8/1/30
   1,365,000    1,367,007 
   Series A, Insured: AGM
5.25%, due 8/1/21
   230,000    232,555 
   Series C, Insured: AGC
5.25%, due 8/1/21
   3,775,000    3,990,703 
   Puerto Rico Public Buildings Authority, Government Facilities, Revenue Bonds (d)          
   Series F, Insured: AGC
5.25%, due 7/1/21
   2,000,000    2,111,620 
   Series M-3, Insured: NATL-RE
6.00%, due 7/1/25
   250,000    259,918 
   Series M-3, Insured: NATL-RE
6.00%, due 7/1/27
   10,000,000    10,023,100 
   Puerto Rico Sales Tax Financing Corp., Revenue Bonds (d)
Series A, Insured: NATL-RE
(zero coupon), due 8/1/42
   870,000    192,905 
            132,717,875 
   Rhode Island 3.0% (1.9% of Managed Assets)          
   Narragansett Bay Commission Wastewater System, Revenue Bonds
Series A
5.00%, due 9/1/38 (a)
   15,000,000    16,558,050 
              
   South Carolina 0.2% (0.1% of Managed Assets)          
   South Carolina Public Service Authority, Revenue Bonds
Series A
5.00%, due 12/1/31
   825,000    918,646 
              
   Texas 4.0% (2.6% of Managed Assets)          
   Harris County-Houston Sports Authority, Revenue Bonds          
   Series H, Insured: NATL-RE
(zero coupon), due 11/15/28
   50,000    33,140 
   Series A, Insured: AGM, NATL-RE
(zero coupon), due 11/15/38
   175,000    65,943 
   Series H, Insured: NATL-RE
(zero coupon), due 11/15/38
   260,000    94,466 
   Texas Municipal Gas Acquisition & Supply Corp. III, Revenue Bonds
5.00%, due 12/15/32  (a)
   20,000,000    21,634,350 
            21,827,899 
   U.S. Virgin Islands 3.4% (2.2% of Managed Assets)          
   Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan, Revenue Bonds          
   Series A
5.00%, due 10/1/32
   3,020,000    1,774,250 
   Series A. Insured: AGM
5.00%, due 10/1/32
   2,690,000    2,792,032 
   Virgin Islands Public Finance Authority, Matching Fund Loan, Revenue Bonds          
   Senior Lien-Series A-1
5.00%, due 10/1/24
   1,030,000    741,600 
   Senior Lien-Series B
5.00%, due 10/1/24
   700,000    504,000 
   Series A
5.00%, due 10/1/25
   820,000    578,100 
   Series B
5.25%, due 10/1/29
   1,765,000    1,164,900 
   Series A
6.625%, due 10/1/29
   2,000,000    1,235,000 
   Virgin Islands Public Finance Authority, Revenue Bonds          
   Series A
5.00%, due 10/1/29
   2,980,000    1,750,750 
   Series A, Insured: AGM
5.00%, due 10/1/32
   5,350,000    5,552,925 
   Virgin Islands Public Finance Authority, Senior Lien-Matching Fund Loan Note, Revenue Bonds
Senior Lien-Series B
5.00%, due 10/1/25
   3,890,000    2,742,450 
            18,836,007 
   Utah 3.7% (2.4% of Managed Assets)          
   County of Utah UT, IHC Health Services, Inc., Revenue Bonds
Series B
4.00%, due 5/15/47 (a)
   20,000,000    20,318,893 
              
   Virginia 5.9% (3.8% of Managed Assets)          
   Tobacco Settlement Financing Corp., Revenue Bonds
Series B1
5.00%, due 6/1/47
   5,000,000    4,875,000 
¤  Virginia Commonwealth Transportation Board, Capital Projects, Revenue Bonds
5.00%, due 5/15/31  (a)
   20,315,000    22,843,866 
   Virginia Commonwealth Transportation Board, Revenue Bonds
Series A
4.00%, due 5/15/34
   4,250,000    4,506,020 
            32,224,886 
   Washington 3.9% (2.5% of Managed Assets)          
   Washington Health Care Facilities Authority, Multicare Health System, Revenue Bonds
Series A
5.00%, due 8/15/44 (a)
   19,665,000    21,514,165 
              
   Wisconsin 0.1% (0.1% of Managed Assets)          
   Public Finance Authority, Bancroft NeuroHealth Project, Revenue Bonds
Series A
5.00%, due 6/1/36 (b)
   500,000    503,995 
              
   Total Investments
(Cost $798,605,364)
   153.3%   839,151,303 
   Floating Rate Note Obligations (e)   (43.2)   (236,340,000)
   Fixed Rate Municipal Term Preferred Shares, at Liquidation Value   (12.8)   (70,000,000)
   Other Assets, Less Liabilities   2.7    14,690,325 
   Net Assets Applicable to Common Shares   100.0%  $547,501,628 

 

Percentages indicated are based on Fund net assets.
¤ Among the Fund's 10 largest holdings or issuers held, as of February 28, 2018. May be subject to change daily.
Less than one-tenth of a percent.
(a) All or portion of principal amount transferred to a Tender Option Bond ("TOB") Issuer in exchange for TOB Residuals and cash.
(b) May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended.
(c) Interest on these securities was subject to alternative minimum tax.
(d) Bond insurance is paying principal and interest, since the issuer is in default.
(e) Face value of Floating Rate Notes issued in TOB transactions.

 

"Managed Assets" is defined as the Fund's total assets, minus the sum of its accrued liabilities (other than Fund liabilities incurred for the purpose of creating effective leverage (i.e. tender option bonds) or Fund liabilities related to liquidation preference of any preferred shares issued), which was $855,464,744 as of February 28, 2018.

 

The following abbreviations are used in the preceding pages:

 

ACA —ACA Financial Guaranty Corp.
AGC —Assured Guaranty Corp.
AGM —Assured Guaranty Municipal Corp.
AMBAC —Ambac Assurance Corp.
BAM —Build America Mutual Assurance Co.
NATL-RE —National Public Finance Guarantee Corp.

 

As of February 28, 2018, the Fund held the following futures contracts1:

Type  Number of
Contracts
(Short)
   Expiration
Date
  Value at
Trade Date
   Current Notional
Amount
   Unrealized
Appreciation
(Depreciation)2
 
10-Year United States Treasury Note   (1,009)  June 2018  $(120,841,117)  $(121,127,297)  $(286,180)

 

1. As of February 28, 2018, cash in the amount of $958,550 was on deposit with a broker or futures commission merchant for futures transactions.

2. Represents the difference between the value of the contracts at the time they were opened and the value as of February 28, 2018.

 

The following is a summary of the fair valuations according to the inputs used as of February 28, 2018, for valuing the Fund's assets and liabilities.

 

Asset Valuation Inputs

 

Description  Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
   Significant
Other
Observable
Inputs
(Level 2)
   Significant
Unobservable
Inputs
(Level 3)
   Total 
Investments in Securities (a)                    
Municipal Bonds  $   $839,151,303   $   $839,151,303 
                     
Liability Valuation Inputs      
                     
Description  Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
   Significant
Other
Observable
Inputs
(Level 2)
   Significant
Unobservable
Inputs
(Level 3)
   Total 
Other Financial Instruments                    
Futures Contracts (b)  $(286,180)  $   $   $(286,180)

 

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

 

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

 

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

 

For the period ended February 28, 2018, the Fund did not have any transfers among levels.

 

As of February 28, 2018, the Fund did not hold any investments with significant unobservable inputs (Level 3).

 

 

 

 

MainStay MacKay DefinedTerm Municipal Opportunities Fund

 

NOTES TO PORTFOLIO OF INVESTMENTS February 28, 2018 (Unaudited)

 

SECURITIES VALUATION.

 

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

 

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

 

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

 

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

 

·Level 1 – quoted prices in active markets for an identical asset or liability
·Level 2 – other significant observable inputs (including quoted prices for a similar asset or liability in active markets, interest rates and yield curves, prepayment speeds, credit risk, etc.)
·Level 3 – significant unobservable inputs (including the Fund’s own assumptions about the assumptions that market participants would use in measuring fair value of an asset or liability)

 

The level of an asset or liability within the fair value hierarchy is based on the lowest level of an input, both individually and in the aggregate, that is significant to the fair value measurement. As of February 28, 2018, the aggregate value by input level of the Fund’s assets and liabilities is included at the end of the Fund’s Portfolio of Investments.

 

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

 

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

 

 

 

 

An asset or liability for which market values cannot be measured using the methodologies described above is valued by methods deemed reasonable in good faith by the Valuation Committee, following the procedures established by the Board, to represent fair value. Under these procedures, the Fund generally uses a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information. The Fund may also use an income-based valuation approach in which the anticipated future cash flows of the asset or liability are discounted to calculate fair value. Discounts may also be applied due to the nature and/or duration of any restrictions on the disposition of the asset or liability. Fair value represents a good faith approximation of the value of a security. Fair value determinations involve the consideration of a number of subjective factors, an analysis of applicable facts and circumstances and the exercise of judgment. As a result, it is possible that the fair value for a security determined in good faith in accordance with the Fund's valuation procedures may differ from valuations for the same security determined by other funds using their own valuation procedures. Although the Fund's valuation procedures are designed to value a security at the price the Fund may reasonably expect to receive upon the security's sale in an orderly transaction, there can be no assurance that any fair value determination thereunder would, in fact, approximate the amount that the Fund would actually realize upon the sale of the security or the price at which the security would trade if a reliable market price were readily available. During the period ended February 28, 2018, there were no material changes to the fair value methodologies.

 

Securities which may be valued in this manner include, but are not limited to: (i) a security for which trading has been halted or suspended; (ii) a debt security that has recently gone into default and for which there is not a current market quotation; (iii) a security of an issuer that has entered into a restructuring; (iv) a security that has been de-listed from a national exchange; (v) a security for which the market price is not readily available from a third party pricing source or, if so provided, does not, in the opinion of the Manager or the Subadvisor, reflect the security’s market value; (vi) a security subject to trading collars for which no or limited trading takes place; and (vii) a security whose principal market has been temporarily closed at a time when, under normal conditions, it would be open. Securities for which market quotations or observable inputs are not readily available are generally categorized as Level 3 in the hierarchy. As of February 28, 2018, there were no securities held by the Fund that were fair valued in such a manner.

 

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

 

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

 

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

 

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

 

 

 

 

Item 2. Controls And Procedures.

 

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

 

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the Registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

 

Item 3. Exhibits.

 

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

 

 

 

 

SIGNATURES

 

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

 

MAINSTAY MACKAY DEFINEDTERM MUNICIPAL OPPORTUNITIES FUND

 

By:    /s/ Kirk C. Lehneis

Kirk C. Lehneis

President and Principal Executive Officer

 

Date: April 24, 2018

 

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

 

 

By:    /s/ Kirk C. Lehneis

Kirk C. Lehneis

President and Principal Executive Officer

 

Date: April 24, 2018

 

 

By:    /s/ Jack R. Benintende

Jack R. Benintende

Treasurer and Principal Financial and

Accounting Officer

 

Date: April 24, 2018