UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22245
First Trust Exchange-Traded Fund III
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
registrant’s telephone number, including area code: (630) 765-8000
Date of fiscal year end:October 31
Date of reporting period:October 31, 2019
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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 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. Report to Stockholders.
The registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
For the Year Ended
October 31, 2019
1 | |
2 | |
5 | |
7 | |
8 | |
16 | |
17 | |
18 | |
19 | |
20 | |
27 | |
28 | |
33 | |
35 |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 10/31/19 | 5 Years Ended 10/31/19 | Inception (2/11/13) to 10/31/19 | 5 Years Ended 10/31/19 | Inception (2/11/13) to 10/31/19 | ||
Fund Performance | ||||||
NAV | 12.25% | 6.84% | 5.68% | 39.22% | 44.90% | |
Market Price | 12.36% | 6.82% | 5.67% | 39.10% | 44.87% | |
Index Performance | ||||||
ICE BofAML Fixed Rate Preferred Securities Index | 12.77% | 6.47% | 6.04% | 36.83% | 48.32% | |
ICE BofAML U.S. Capital Securities Index | 14.84% | 5.48% | 6.05% | 30.58% | 48.37% | |
Blended Index(1) | 13.82% | 5.99% | 6.06% | 33.74% | 48.48% |
(1) | The Blended Index consists of a 50/50 blend of the ICE BofAML Fixed Rate Preferred Securities Index and the ICE BofAML U.S. Capital Securities Index. The Blended Index reflects the diverse allocation of institutional preferred and hybrid securities in the Fund’s portfolio. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indexes are unmanaged and an investor cannot invest directly in an index. |
Sector Allocation | % of Total Investments |
Financials | 68.8% |
Utilities | 11.7 |
Energy | 6.3 |
Consumer Staples | 3.5 |
Communication Services | 3.2 |
Real Estate | 3.0 |
Industrials | 1.9 |
Materials | 1.6 |
Total | 100.0% |
Credit Rating(2) | % of Total Investments |
A | 0.1% |
A- | 1.2 |
BBB+ | 7.7 |
BBB | 14.0 |
BBB- | 28.6 |
BB+ | 27.9 |
BB | 10.3 |
BB- | 3.9 |
B+ | 1.9 |
B | 0.1 |
Not Rated | 4.3 |
Total | 100.0% |
Country Allocation | % of Total Investments |
United States | 47.5% |
United Kingdom | 10.0 |
Canada | 8.5 |
France | 7.0 |
Italy | 4.5 |
Netherlands | 4.4 |
Switzerland | 4.3 |
Australia | 3.5 |
Bermuda | 2.8 |
Japan | 1.7 |
Spain | 1.6 |
Mexico | 1.5 |
Denmark | 0.7 |
Finland | 0.6 |
Cayman Islands | 0.6 |
Sweden | 0.4 |
Chile | 0.3 |
Norway | 0.1 |
Jersey | 0.0* |
Total | 100.0% |
* | Amount is less than 0.1%. |
Top Ten Holdings | % of Total Investments |
Emera, Inc., Series 16-A | 3.0% |
Barclays PLC | 2.1 |
Enel S.p.A. | 1.9 |
NiSource, Inc. | 1.7 |
UniCredit S.p.A. | 1.5 |
GMAC Capital Trust I, Series 2 | 1.5 |
Barclays PLC | 1.4 |
Goldman Sachs Group (The), Inc., Series Q | 1.3 |
BHP Billiton Finance USA Ltd. | 1.3 |
Credit Agricole S.A. | 1.3 |
Total | 17.0% |
(2) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/1/14 – 10/31/15 | 214 | 16 | 0 | 0 |
11/1/15 – 10/31/16 | 212 | 13 | 0 | 0 |
11/1/16 – 10/31/17 | 232 | 1 | 0 | 0 |
11/1/17 – 10/31/18 | 174 | 0 | 0 | 0 |
11/1/18 – 10/31/19 | 183 | 0 | 0 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/1/14 – 10/31/15 | 21 | 0 | 0 | 0 |
11/1/15 – 10/31/16 | 26 | 1 | 0 | 0 |
11/1/16 – 10/31/17 | 19 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 78 | 0 | 0 | 0 |
11/1/18 – 10/31/19 | 66 | 1 | 1 | 0 |
(3) | The Blended Index consists of a 50/50 blend of the ICE BofAML Fixed Rate Preferred Securities Index and the ICE BofAML U.S. Capital Securities Index. The Blended Index reflects the diverse allocation of institutional preferred and hybrid securities in the Fund’s portfolio. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indexes are unmanaged and an investor cannot invest directly in an index. |
Beginning Account Value May 1, 2019 | Ending Account Value October 31, 2019 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Preferred Securities and Income ETF (FPE) | ||||
Actual | $1,000.00 | $1,062.50 | 0.85% | $4.42 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2019 through October 31, 2019), multiplied by 184/365 (to reflect the six-month period). |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES – 27.3% | ||||||||
Banks – 5.8% | ||||||||
163,904 | Banco Santander S.A., Series 6, 3 Mo. LIBOR + 0.52% (a) | 4.00% | (b) | $3,845,188 | ||||
337,161 | Bank of America Corp., Series CC | 6.20% | (b) | 8,789,787 | ||||
100,060 | Bank of America Corp., Series GG | 6.00% | (b) | 2,726,635 | ||||
188,455 | Bank of America Corp., Series HH | 5.88% | (b) | 5,114,669 | ||||
886,029 | Citigroup Capital XIII, 3 Mo. LIBOR + 6.37% (a) | 8.31% | 10/30/40 | 24,179,731 | ||||
218,958 | Citigroup, Inc., Series K (c) | 6.88% | (b) | 6,196,511 | ||||
741,900 | Fifth Third Bancorp, Series A | 6.00% | (b) | 20,372,574 | ||||
103,299 | Fifth Third Bancorp, Series I (c) | 6.63% | (b) | 2,946,087 | ||||
18,073 | FNB Corp. (c) | 7.25% | (b) | 538,575 | ||||
2,535,803 | GMAC Capital Trust I, Series 2, 3 Mo. LIBOR + 5.79% (a) | 7.94% | 02/15/40 | 66,970,557 | ||||
994,609 | Huntington Bancshares, Inc., Series D | 6.25% | (b) | 26,068,702 | ||||
250,721 | ING Groep N.V. | 6.13% | (b) | 6,541,311 | ||||
1,035 | JPMorgan Chase & Co., Series DD | 5.75% | (b) | 28,152 | ||||
530,300 | JPMorgan Chase & Co., Series GG | 4.75% | (b) | 13,257,500 | ||||
94,005 | KeyCorp, Series E (c) | 6.13% | (b) | 2,818,270 | ||||
52,937 | KeyCorp, Series G | 5.63% | (b) | 1,418,712 | ||||
952,957 | People’s United Financial, Inc., Series A (c) | 5.63% | (b) | 25,663,132 | ||||
527,728 | Regions Financial Corp., Series A | 6.38% | (b) | 13,610,105 | ||||
55,203 | Synovus Financial Corp., Series D (c) | 6.30% | (b) | 1,463,984 | ||||
597,602 | Synovus Financial Corp., Series E (c) | 5.88% | (b) | 15,800,597 | ||||
79,253 | Valley National Bancorp, Series A (c) | 6.25% | (b) | 2,331,623 | ||||
129,041 | Valley National Bancorp, Series B (c) | 5.50% | (b) | 3,352,485 | ||||
36,691 | Wells Fargo & Co., Series O | 5.13% | (b) | 927,548 | ||||
2,341 | Wells Fargo & Co., Series P | 5.25% | (b) | 59,298 | ||||
236,495 | Wells Fargo & Co., Series V | 6.00% | (b) | 6,163,060 | ||||
52,329 | Wells Fargo & Co., Series X | 5.50% | (b) | 1,360,031 | ||||
64,130 | Western Allliance Bancorp | 6.25% | 07/01/56 | 1,709,065 | ||||
217,187 | Wintrust Financial Corp., Series D (c) (d) | 6.50% | (b) | 6,348,376 | ||||
270,602,265 | ||||||||
Capital Markets – 2.8% | ||||||||
364,917 | Affiliated Managers Group, Inc. | 5.88% | 03/30/59 | 9,728,687 | ||||
419,954 | Apollo Global Management, Inc., Series B | 6.38% | (b) | 11,309,361 | ||||
679,710 | Goldman Sachs Group (The), Inc., Series K (c) | 6.38% | (b) | 19,120,242 | ||||
333,051 | Morgan Stanley, Series E (c) | 7.13% | (b) | 9,681,793 | ||||
1,559,134 | Morgan Stanley, Series F (c) | 6.88% | (b) | 44,372,954 | ||||
317,092 | Oaktree Capital Group LLC, Series A | 6.63% | (b) | 8,551,971 | ||||
397,998 | Oaktree Capital Group LLC, Series B | 6.55% | (b) | 10,702,166 | ||||
446,502 | State Street Corp., Series G (c) | 5.35% | (b) | 12,381,500 | ||||
106,698 | Stifel Financial Corp., Series A | 6.25% | (b) | 2,850,971 | ||||
128,699,645 | ||||||||
Consumer Finance – 0.2% | ||||||||
462,211 | Capital One Financial Corp., Series I | 5.00% | (b) | 11,615,362 | ||||
Diversified Financial Services – 0.5% | ||||||||
862,994 | National Rural Utilities Cooperative Finance Corp. | 5.50% | 05/15/64 | 23,818,634 | ||||
Diversified Telecommunication Services – 1.2% | ||||||||
962,640 | Qwest Corp. | 6.88% | 10/01/54 | 25,067,145 | ||||
61,661 | Qwest Corp. | 6.63% | 09/15/55 | 1,597,020 | ||||
338,096 | Qwest Corp. | 6.50% | 09/01/56 | 8,618,067 | ||||
791,527 | Qwest Corp. | 6.75% | 06/15/57 | 20,840,906 | ||||
56,123,138 |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES (Continued) | ||||||||
Electric Utilities – 0.4% | ||||||||
203,869 | NextEra Energy Capital Holdings, Inc., Series N | 5.65% | 03/01/79 | $5,661,442 | ||||
231,636 | PPL Capital Funding, Inc., Series B | 5.90% | 04/30/73 | 5,890,504 | ||||
277,316 | SCE Trust V, Series K (c) | 5.45% | (b) | 6,633,399 | ||||
75,140 | Southern (The) Co. | 5.25% | 12/01/77 | 1,997,221 | ||||
20,182,566 | ||||||||
Equity Real Estate Investment Trusts – 2.7% | ||||||||
443,413 | American Homes 4 Rent, Series D | 6.50% | (b) | 11,879,034 | ||||
1,005,955 | American Homes 4 Rent, Series E | 6.35% | (b) | 26,738,284 | ||||
325,732 | Colony Capital, Inc., Series E | 8.75% | (b) | 8,309,423 | ||||
337 | Colony Capital, Inc., Series I | 7.15% | (b) | 8,021 | ||||
558,186 | Colony Capital, Inc., Series J | 7.13% | (b) | 13,273,663 | ||||
439,626 | Digital Realty Trust, Inc., Series K | 5.85% | (b) | 12,014,979 | ||||
407,466 | Digital Realty Trust, Inc., Series L | 5.20% | (b) | 10,594,116 | ||||
238,994 | Farmland Partners, Inc., Series B, steps up 10/01/24 to 10.00% (e) | 6.00% | (b) | 5,781,265 | ||||
306,066 | Global Net Lease, Inc., Series A | 7.25% | (b) | 8,021,990 | ||||
8,334 | Taubman Centers, Inc., Series J | 6.50% | (b) | 215,517 | ||||
79,885 | Urstadt Biddle Properties, Inc., Series H | 6.25% | (b) | 2,128,136 | ||||
1,020,460 | VEREIT, Inc., Series F | 6.70% | (b) | 25,919,684 | ||||
124,884,112 | ||||||||
Food Products – 1.1% | ||||||||
733,131 | CHS, Inc., Series 2 (c) | 7.10% | (b) | 20,065,796 | ||||
784,268 | CHS, Inc., Series 3 (c) | 6.75% | (b) | 20,822,315 | ||||
334,824 | CHS, Inc., Series 4 | 7.50% | (b) | 9,267,928 | ||||
50,156,039 | ||||||||
Gas Utilities – 0.2% | ||||||||
326,006 | South Jersey Industries, Inc. | 5.63% | 09/16/79 | 8,544,617 | ||||
104,625 | Spire, Inc., Series A | 5.90% | (b) | 2,831,153 | ||||
11,375,770 | ||||||||
Insurance – 5.7% | ||||||||
1,061,762 | Aegon Funding Corp. II | 5.10% | 12/15/49 | 27,350,989 | ||||
530,104 | Aegon N.V. | 6.38% | (b) | 13,422,233 | ||||
642,195 | Allstate (The) Corp., Series H | 5.10% | (b) | 16,844,775 | ||||
211,856 | AmTrust Financial Services, Inc. | 7.25% | 06/15/55 | 4,279,491 | ||||
250,540 | AmTrust Financial Services, Inc. | 7.50% | 09/15/55 | 5,166,135 | ||||
39,309 | Arch Capital Group Ltd., Series E | 5.25% | (b) | 1,002,379 | ||||
18,164 | Arch Capital Group Ltd., Series F | 5.45% | (b) | 471,356 | ||||
64,355 | Aspen Insurance Holdings Ltd. | 5.63% | (b) | 1,675,804 | ||||
391,728 | Aspen Insurance Holdings Ltd. | 5.63% | (b) | 10,271,108 | ||||
1,087,352 | Aspen Insurance Holdings Ltd. (c) | 5.95% | (b) | 29,315,010 | ||||
105,879 | Assured Guaranty Municipal Holdings, Inc. | 6.25% | 11/01/02 | 2,774,030 | ||||
1,337,575 | Athene Holding Ltd., Series A (c) | 6.35% | (b) | 37,599,233 | ||||
3,861 | Axis Capital Holdings Ltd., Series E | 5.50% | (b) | 99,730 | ||||
538,767 | Delphi Financial Group, Inc., 3 Mo. LIBOR + 3.19% (a) | 5.35% | 05/15/37 | 11,852,874 | ||||
1,048,282 | Enstar Group Ltd., Series D (c) | 7.00% | (b) | 28,680,996 | ||||
568,108 | Global Indemnity Ltd. | 7.75% | 08/15/45 | 14,492,435 | ||||
460,241 | Global Indemnity Ltd. | 7.88% | 04/15/47 | 12,320,652 | ||||
286,779 | National General Holdings Corp. | 7.63% | 09/15/55 | 7,542,288 | ||||
122,773 | National General Holdings Corp., Series C | 7.50% | (b) | 3,037,404 | ||||
320,197 | PartnerRe Ltd., Series H | 7.25% | (b) | 8,629,309 | ||||
262,320 | Phoenix Cos. (The), Inc. | 7.45% | 01/15/32 | 4,285,784 |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES (Continued) | ||||||||
Insurance (Continued) | ||||||||
881,232 | Reinsurance Group of America, Inc. (c) | 5.75% | 06/15/56 | $24,868,367 | ||||
265,982,382 | ||||||||
Mortgage Real Estate Investment Trusts – 1.5% | ||||||||
350,909 | AGNC Investment Corp., Series C (c) | 7.00% | (b) | 9,099,070 | ||||
271,222 | AGNC Investment Corp., Series D (c) | 6.88% | (b) | 6,883,614 | ||||
522,097 | Annaly Capital Management, Inc., Series F (c) | 6.95% | (b) | 13,595,406 | ||||
115,741 | Annaly Capital Management, Inc., Series I (c) | 6.75% | (b) | 3,005,794 | ||||
209,496 | Invesco Mortgage Capital, Inc., Series B (c) | 7.75% | (b) | 5,832,369 | ||||
179,150 | Invesco Mortgage Capital, Inc., Series C (c) | 7.50% | (b) | 4,779,722 | ||||
132,678 | MFA Financial, Inc. | 8.00% | 04/15/42 | 3,465,549 | ||||
347,189 | Two Harbors Investment Corp., Series B (c) | 7.63% | (b) | 9,099,824 | ||||
593,754 | Two Harbors Investment Corp., Series C (c) | 7.25% | (b) | 15,217,915 | ||||
70,979,263 | ||||||||
Multi-Utilities – 1.9% | ||||||||
553,318 | Algonquin Power & Utilities Corp. (c) | 6.88% | 10/17/78 | 15,465,238 | ||||
933,136 | Algonquin Power & Utilities Corp., Series 19-A (c) | 6.20% | 07/01/79 | 25,913,187 | ||||
31,112 | CMS Energy Corp. | 5.88% | 10/15/78 | 854,335 | ||||
221,229 | CMS Energy Corp. | 5.88% | 03/01/79 | 6,185,563 | ||||
764,853 | Integrys Holding, Inc. (c) | 6.00% | 08/01/73 | 21,224,671 | ||||
553,292 | Just Energy Group, Inc., Series A (c) | 8.50% | (b) | 10,186,106 | ||||
336,000 | NiSource, Inc., Series B (c) | 6.50% | (b) | 9,310,560 | ||||
89,139,660 | ||||||||
Oil, Gas & Consumable Fuels – 1.2% | ||||||||
546,885 | Enbridge, Inc., Series B (c) | 6.38% | 04/15/78 | 15,017,462 | ||||
14,073 | Energy Transfer Operating L.P., Series C (c) | 7.38% | (b) | 340,848 | ||||
58,905 | Energy Transfer Operating L.P., Series D (c) | 7.63% | (b) | 1,453,775 | ||||
900,149 | Energy Transfer Operating L.P., Series E (c) | 7.60% | (b) | 22,755,767 | ||||
636,351 | NuStar Logistics, L.P., 3 Mo. LIBOR + 6.73% (a) | 8.73% | 01/15/43 | 16,576,944 | ||||
56,144,796 | ||||||||
Real Estate Management & Development – 0.3% | ||||||||
444,355 | Brookfield Property Partners L.P., Series A2 | 6.38% | (b) | 12,188,658 | ||||
Thrifts & Mortgage Finance – 0.5% | ||||||||
915,543 | New York Community Bancorp, Inc., Series A (c) | 6.38% | (b) | 25,561,961 | ||||
Trading Companies & Distributors – 0.5% | ||||||||
841,249 | Air Lease Corp., Series A (c) | 6.15% | (b) | 22,823,085 | ||||
Wireless Telecommunication Services – 0.8% | ||||||||
278,558 | United States Cellular Corp. | 7.25% | 12/01/63 | 7,284,292 | ||||
1,049,067 | United States Cellular Corp. | 7.25% | 12/01/64 | 28,608,057 | ||||
35,892,349 | ||||||||
Total $25 Par Preferred Securities | 1,276,169,685 | |||||||
(Cost $1,234,800,439) | ||||||||
$100 PAR PREFERRED SECURITIES – 1.3% | ||||||||
Banks – 0.9% | ||||||||
67,820 | AgriBank FCB (c) | 6.88% | (b) | 7,333,038 | ||||
62,100 | CoBank ACB, Series F (c) | 6.25% | (b) | 6,598,125 | ||||
119,974 | CoBank ACB, Series G | 6.13% | (b) | 12,357,322 | ||||
40,008 | CoBank ACB, Series H (c) | 6.20% | (b) | 4,324,865 |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$100 PAR PREFERRED SECURITIES (Continued) | ||||||||
Banks (Continued) | ||||||||
93,015 | Farm Credit Bank of Texas (c) (f) | 6.75% | (b) | $10,092,127 | ||||
40,705,477 | ||||||||
Consumer Finance – 0.4% | ||||||||
344,406 | SLM Corp., Series B, 3 Mo. LIBOR + 1.70% (a) | 3.82% | (b) | 18,887,225 | ||||
Total $100 Par Preferred Securities | 59,592,702 | |||||||
(Cost $59,768,634) | ||||||||
$1,000 PAR PREFERRED SECURITIES – 1.3% | ||||||||
Banks – 1.0% | ||||||||
39,800 | Farm Credit Bank of Texas, Series 1 | 10.00% | (b) | 44,227,750 | ||||
Diversified Financial Services – 0.1% | ||||||||
5,500 | Compeer Financial ACA (c) (f) | 6.75% | (b) | 5,720,000 | ||||
Oil, Gas & Consumable Fuels – 0.2% | ||||||||
10,000 | Kinder Morgan GP, Inc., 3 Mo. LIBOR + 3.90% (a) (g) | 6.02% | 08/18/57 | 9,006,560 | ||||
Total $1,000 Par Preferred Securities | 58,954,310 | |||||||
(Cost $62,410,400) | ||||||||
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES – 66.6% | ||||||||
Banks – 34.6% | ||||||||
$34,949,000 | Australia & New Zealand Banking Group Ltd. (c) (f) (h) | 6.75% | (b) | 39,391,193 | ||||
9,000,000 | Banco Bilbao Vizcaya Argentaria S.A. (c) (h) | 6.13% | (b) | 8,861,850 | ||||
20,400,000 | Banco Bilbao Vizcaya Argentaria S.A., Series 9 (c) (h) | 6.50% | (b) | 21,089,153 | ||||
18,500,000 | Banco Mercantil del Norte S.A. (c) (f) (h) | 6.75% | (b) | 18,934,935 | ||||
9,000,000 | Banco Mercantil del Norte S.A. (c) (f) (h) | 7.50% | (b) | 9,396,000 | ||||
8,500,000 | Banco Mercantil del Norte S.A. (c) (f) (h) | 7.63% | (b) | 8,914,460 | ||||
10,600,000 | Banco Mercantil del Norte S.A. (c) (f) (h) | 5.75% | 10/04/31 | 10,745,856 | ||||
35,400,000 | Banco Santander S.A. (c) (h) | 7.50% | (b) | 38,409,000 | ||||
24,100,000 | Bank of America Corp., Series JJ (c) | 5.13% | (b) | 25,395,375 | ||||
9,528,000 | Bank of America Corp., Series X (c) | 6.25% | (b) | 10,544,781 | ||||
5,212,000 | Bank of America Corp., Series Z (c) | 6.50% | (b) | 5,913,457 | ||||
89,190,000 | Barclays PLC (c) (h) | 7.88% | (b) | 95,372,116 | ||||
57,000,000 | Barclays PLC (c) (h) | 8.00% | (b) | 62,242,005 | ||||
20,259,000 | BB&T Corp. (c) | 4.80% | (b) | 20,638,856 | ||||
19,000,000 | BBVA Bancomer S.A. (c) (f) (h) | 5.88% | 09/13/34 | 19,351,500 | ||||
12,340,000 | BNP Paribas S.A. (c) (f) (h) | 6.63% | (b) | 13,150,923 | ||||
20,961,000 | BNP Paribas S.A. (c) (f) (h) | 6.75% | (b) | 22,069,732 | ||||
10,950,000 | BNP Paribas S.A. (c) (f) (h) | 7.38% | (b) | 12,382,862 | ||||
37,000,000 | BNP Paribas S.A. (c) (f) (h) | 7.63% | (b) | 38,862,950 | ||||
12,000,000 | Citigroup, Inc. (c) | 5.90% | (b) | 12,713,580 | ||||
4,750,000 | Citigroup, Inc. (c) | 5.95% | (b) | 5,017,188 | ||||
10,600,000 | Citigroup, Inc., Series O (c) | 5.88% | (b) | 10,749,407 | ||||
12,000,000 | Citigroup, Inc., Series P (c) | 5.95% | (b) | 12,850,260 | ||||
4,000,000 | Citigroup, Inc., Series Q (c) | 5.95% | (b) | 4,088,860 | ||||
8,000,000 | Citigroup, Inc., Series R (c) | 6.13% | (b) | 8,247,200 | ||||
34,250,000 | Citigroup, Inc., Series T (c) | 6.25% | (b) | 38,646,159 | ||||
37,600,000 | Citigroup, Inc., Series U (c) | 5.00% | (b) | 38,892,500 | ||||
10,116,000 | Citizens Financial Group, Inc., Series A (c) | 5.50% | (b) | 10,227,731 | ||||
20,474,000 | CoBank ACB, Series I (c) | 6.25% | (b) | 22,075,886 | ||||
30,960,000 | Credit Agricole S.A. (c) (f) (h) | 6.88% | (b) | 33,691,136 | ||||
50,100,000 | Credit Agricole S.A. (c) (f) (h) | 7.88% | (b) | 56,610,896 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Banks (Continued) | ||||||||
$2,000,000 | Credit Agricole S.A. (c) (h) | 7.88% | (b) | $2,259,916 | ||||
36,400,000 | Credit Agricole S.A. (c) (f) (h) | 8.13% | (b) | 43,682,402 | ||||
27,713,000 | Danske Bank A.S. (c) (h) | 6.13% | (b) | 28,382,241 | ||||
5,000,000 | Danske Bank A.S. (c) (h) | 7.00% | (b) | 5,331,850 | ||||
3,600,000 | DNB Bank ASA (c) (h) | 5.75% | (b) | 3,625,819 | ||||
7,650,000 | Farm Credit Bank of Texas, Series 3 (c) (f) | 6.20% | (b) | 7,979,553 | ||||
2,000,000 | HBOS Capital Funding L.P. | 6.85% | (b) | 2,040,010 | ||||
37,119,000 | HSBC Holdings PLC (c) (h) | 6.38% | (b) | 39,581,289 | ||||
18,780,000 | ING Groep N.V. (c) (h) | 5.75% | (b) | 19,261,237 | ||||
22,179,000 | ING Groep N.V. (c) (h) | 6.50% | (b) | 23,646,141 | ||||
47,583,000 | ING Groep N.V. (c) (h) | 6.88% | (b) | 50,319,022 | ||||
46,425,000 | Intesa Sanpaolo S.p.A. (c) (f) (h) | 7.70% | (b) | 48,960,037 | ||||
21,300,000 | JPMorgan Chase & Co., Series FF (c) | 5.00% | (b) | 22,178,625 | ||||
14,740,000 | JPMorgan Chase & Co., Series I, 3 Mo. LIBOR + 3.47% (a) | 5.41% | (b) | 14,850,845 | ||||
47,519,000 | JPMorgan Chase & Co., Series V, 3 Mo. LIBOR + 3.32% (a) | 5.42% | (b) | 47,911,032 | ||||
18,651,000 | JPMorgan Chase & Co., Series Z (c) | 5.30% | (b) | 18,934,775 | ||||
12,100,000 | Lloyds Bank PLC (c) (f) | 12.00% | (b) | 14,769,563 | ||||
14,088,000 | Lloyds Bank PLC (c) | 12.00% | (b) | 17,196,165 | ||||
18,000,000 | Lloyds Banking Group PLC (c) (h) | 6.75% | (b) | 19,192,500 | ||||
29,481,000 | Lloyds Banking Group PLC (c) (h) | 7.50% | (b) | 32,355,397 | ||||
17,600,000 | Lloyds Banking Group PLC (c) (h) | 7.50% | (b) | 19,378,392 | ||||
25,700,000 | M&T Bank Corp., Series G (c) | 5.00% | (b) | 26,856,500 | ||||
26,000,000 | Nordea Bank Abp (c) (f) (h) | 6.63% | (b) | 28,362,230 | ||||
46,025,000 | Royal Bank of Scotland Group PLC (c) (h) | 8.00% | (b) | 52,756,156 | ||||
47,400,000 | Royal Bank of Scotland Group PLC (c) (h) | 8.63% | (b) | 51,192,000 | ||||
2,400,000 | Skandinaviska Enskilda Banken AB (c) (h) | 5.63% | (b) | 2,458,500 | ||||
44,100,000 | Societe Generale S.A. (c) (f) (h) | 7.38% | (b) | 46,525,500 | ||||
16,800,000 | Societe Generale S.A. (c) (f) (h) | 7.88% | (b) | 18,429,012 | ||||
20,000,000 | Societe Generale S.A. (c) (h) | 7.88% | (b) | 21,939,300 | ||||
20,000,000 | Standard Chartered PLC (c) (f) (h) | 7.50% | (b) | 21,250,000 | ||||
25,000,000 | Standard Chartered PLC (c) (f) (h) | 7.75% | (b) | 27,236,625 | ||||
13,600,000 | Swedbank AB (c) (h) | 6.00% | (b) | 14,145,306 | ||||
64,150,000 | UniCredit S.p.A. (c) (h) | 8.00% | (b) | 67,877,821 | ||||
23,051,000 | Wells Fargo & Co., Series K, 3 Mo. LIBOR + 3.77% (a) | 5.89% | (b) | 23,367,951 | ||||
1,619,711,519 | ||||||||
Capital Markets – 6.4% | ||||||||
33,400,000 | Credit Suisse Group AG (c) (f) (h) | 6.38% | (b) | 35,278,750 | ||||
5,175,000 | Credit Suisse Group AG (c) (h) | 7.13% | (b) | 5,532,825 | ||||
9,000,000 | Credit Suisse Group AG (c) (f) (h) | 7.25% | (b) | 9,795,195 | ||||
48,638,000 | Credit Suisse Group AG (c) (f) (h) | 7.50% | (b) | 54,047,518 | ||||
34,200,000 | Credit Suisse Group AG (c) (f) (h) | 7.50% | (b) | 36,905,733 | ||||
23,098,000 | E*TRADE Financial Corp., Series A (c) | 5.88% | (b) | 24,252,900 | ||||
22,558,000 | Goldman Sachs Group (The), Inc., Series M (c) | 5.38% | (b) | 22,891,520 | ||||
54,467,000 | Goldman Sachs Group (The), Inc., Series Q (c) | 5.50% | (b) | 58,331,434 | ||||
3,000,000 | UBS Group AG (c) (h) | 6.88% | (b) | 3,123,261 | ||||
26,389,000 | UBS Group AG (c) (h) | 6.88% | (b) | 28,678,246 | ||||
18,750,000 | UBS Group AG (c) (h) | 7.00% | (b) | 20,956,950 | ||||
299,794,332 | ||||||||
Consumer Finance – 0.1% | ||||||||
6,500,000 | American Express Co., Series C (c) | 4.90% | (b) | 6,542,380 | ||||
Diversified Financial Services – 0.6% | ||||||||
25,571,000 | Voya Financial, Inc. (c) | 5.65% | 05/15/53 | 27,080,200 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Diversified Telecommunication Services – 1.1% | ||||||||
$13,882,000 | Koninklijke KPN N.V. (c) (f) | 7.00% | 03/28/73 | $15,239,243 | ||||
32,910,000 | Koninklijke KPN N.V. (c) | 7.00% | 03/28/73 | 36,127,611 | ||||
51,366,854 | ||||||||
Electric Utilities – 5.8% | ||||||||
21,410,000 | Duke Energy Corp. (c) | 4.88% | (b) | 22,622,341 | ||||
121,043,000 | Emera, Inc., Series 16-A (c) | 6.75% | 06/15/76 | 136,291,997 | ||||
74,468,000 | Enel S.p.A. (c) (f) | 8.75% | 09/24/73 | 87,872,240 | ||||
9,683,000 | PPL Capital Funding, Inc., Series A, 3 Mo. LIBOR + 2.67% (a) | 4.77% | 03/30/67 | 8,653,001 | ||||
14,345,000 | Southern (The) Co., Series B (c) | 5.50% | 03/15/57 | 15,013,028 | ||||
270,452,607 | ||||||||
Energy Equipment & Services – 1.6% | ||||||||
38,000,000 | Transcanada Trust (c) | 5.50% | 09/15/79 | 40,660,000 | ||||
30,442,000 | Transcanada Trust, Series 16-A (c) | 5.88% | 08/15/76 | 33,075,842 | ||||
73,735,842 | ||||||||
Food Products – 2.3% | ||||||||
6,700,000 | Dairy Farmers of America, Inc. (g) | 7.13% | (b) | 6,608,880 | ||||
23,748,000 | Land O’Lakes Capital Trust I (g) | 7.45% | 03/15/28 | 26,835,240 | ||||
34,431,000 | Land O’Lakes, Inc. (f) | 7.00% | (b) | 32,429,698 | ||||
12,720,000 | Land O’Lakes, Inc. (f) | 7.25% | (b) | 12,274,800 | ||||
31,000,000 | Land O’Lakes, Inc. (f) | 8.00% | (b) | 31,310,000 | ||||
109,458,618 | ||||||||
Independent Power & Renewable Electricity Producers – 0.3% | ||||||||
13,400,000 | AES Gener S.A. (c) (f) | 6.35% | 10/07/79 | 13,477,720 | ||||
Insurance – 5.1% | ||||||||
25,677,000 | Asahi Mutual Life Insurance Co. (c) | 6.50% | (b) | 27,066,318 | ||||
12,900,000 | Asahi Mutual Life Insurance Co. (c) | 7.25% | (b) | 13,706,162 | ||||
36,200,000 | Assurant, Inc. (c) | 7.00% | 03/27/48 | 40,056,024 | ||||
8,983,000 | Everest Reinsurance Holdings, Inc., 3 Mo. LIBOR + 2.39% (a) | 4.54% | 05/15/37 | 8,233,773 | ||||
13,700,000 | Fortegra Financial Corp. (c) (g) | 8.50% | 10/15/57 | 14,611,324 | ||||
4,020,000 | Fukoku Mutual Life Insurance Co. (c) | 6.50% | (b) | 4,502,750 | ||||
40,506,000 | Hartford Financial Services Group (The), Inc., 3 Mo. LIBOR + 2.13% (a) (f) | 4.28% | 02/12/47 | 35,786,241 | ||||
6,230,000 | La Mondiale SAM (c) | 5.88% | 01/26/47 | 6,743,352 | ||||
25,440,000 | Mitsui Sumitomo Insurance Co., Ltd. (c) (f) | 7.00% | 03/15/72 | 27,895,469 | ||||
4,435,000 | Prudential Financial, Inc. (c) | 5.63% | 06/15/43 | 4,809,159 | ||||
21,900,000 | QBE Insurance Group Ltd. (c) (f) | 7.50% | 11/24/43 | 24,506,538 | ||||
605,000 | QBE Insurance Group Ltd. (c) | 7.50% | 11/24/43 | 677,007 | ||||
19,299,000 | QBE Insurance Group Ltd. (c) | 6.75% | 12/02/44 | 21,451,224 | ||||
3,655,000 | Sumitomo Life Insurance Co. (c) (f) | 6.50% | 09/20/73 | 4,121,999 | ||||
6,000,000 | VIVAT N.V. (c) | 6.25% | (b) | 6,018,510 | ||||
240,185,850 | ||||||||
Metals & Mining – 1.5% | ||||||||
11,673,000 | BHP Billiton Finance USA Ltd. (c) (f) | 6.25% | 10/19/75 | 12,071,283 | ||||
49,373,000 | BHP Billiton Finance USA Ltd. (c) (f) | 6.75% | 10/19/75 | 57,962,421 | ||||
70,033,704 | ||||||||
Multi-Utilities – 2.7% | ||||||||
46,813,000 | CenterPoint Energy, Inc., Series A (c) | 6.13% | (b) | 49,772,284 | ||||
74,970,000 | NiSource, Inc. (c) | 5.65% | (b) | 76,148,153 | ||||
125,920,437 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Oil, Gas & Consumable Fuels – 3.1% | ||||||||
$17,675,000 | DCP Midstream Operating L.P. (c) (f) | 5.85% | 05/21/43 | $15,907,500 | ||||
15,367,000 | Enbridge, Inc. (c) | 5.50% | 07/15/77 | 15,697,698 | ||||
37,000,000 | Enbridge, Inc. (c) | 6.25% | 03/01/78 | 39,849,000 | ||||
48,888,000 | Enbridge, Inc., Series 16-A (c) | 6.00% | 01/15/77 | 51,651,150 | ||||
29,460,000 | Energy Transfer Operating L.P., 3 Mo. LIBOR + 3.02% (a) | 5.27% | 11/01/66 | 22,242,300 | ||||
145,347,648 | ||||||||
Trading Companies & Distributors – 0.6% | ||||||||
26,700,000 | AerCap Holdings N.V. (c) | 5.88% | 10/10/79 | 27,968,250 | ||||
Transportation Infrastructure – 0.8% | ||||||||
33,700,000 | AerCap Global Aviation Trust (c) (f) | 6.50% | 06/15/45 | 37,112,125 | ||||
Total Capital Preferred Securities | 3,118,188,086 | |||||||
(Cost $3,045,137,073) | ||||||||
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES – 0.3% | ||||||||
Insurance – 0.3% | ||||||||
14,000,000 | AmTrust Financial Services, Inc. | 6.13% | 08/15/23 | 14,102,778 | ||||
(Cost $13,973,021) |
Total Investments – 96.8% | 4,527,007,561 | ||
(Cost $4,416,089,567) (i) | |||
Net Other Assets and Liabilities – 3.2% | 151,511,517 | ||
Net Assets – 100.0% | $4,678,519,078 |
(a) | Floating or variable rate security. |
(b) | Perpetual maturity. |
(c) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at October 31, 2019. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(d) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor (the “Advisor”). |
(e) | Step-up security. A security where the coupon increases or steps up at a predetermined date. |
(f) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by the Advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At October 31, 2019, securities noted as such amounted to $1,100,503,965 or 23.5% of net assets. |
(g) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2C - Restricted Securities in the Notes to Financial Statements). |
(h) | This security is a contingent convertible capital security which may be subject to conversion into common stock of the issuer under certain circumstances. At October 31, 2019, securities noted as such amounted to $1,391,943,738 or 29.8% of net assets. Of these securities, 4.8% originated in emerging markets, and 95.2% originated in foreign markets. |
(i) | Aggregate cost for federal income tax purposes was $4,415,561,352. As of October 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $141,852,601 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $30,406,392. The net unrealized appreciation was $111,446,209. |
LIBOR | London Interbank Offered Rate |
Total Value at 10/31/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
$25 Par Preferred Securities: | ||||
Banks | $ 270,602,265 | $ 257,344,765 | $ 13,257,500 | $ — |
Insurance | 265,982,382 | 240,398,098 | 25,584,284 | — |
Multi-Utilities | 89,139,660 | 67,914,989 | 21,224,671 | — |
Other industry categories* | 650,445,378 | 650,445,378 | — | — |
$100 Par Preferred Securities: | ||||
Banks | 40,705,477 | — | 40,705,477 | — |
Consumer Finance | 18,887,225 | 18,887,225 | — | — |
$1,000 Par Preferred Securities* | 58,954,310 | — | 58,954,310 | — |
Capital Preferred Securities* | 3,118,188,086 | — | 3,118,188,086 | — |
Corporate Bonds and Notes* | 14,102,778 | — | 14,102,778 | — |
Total Investments | $ 4,527,007,561 | $ 1,234,990,455 | $ 3,292,017,106 | $— |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value (Cost $4,416,089,567) | $ 4,527,007,561 |
Cash | 123,123,894 |
Due from authorized participant | 11,370 |
Receivables: | |
Interest | 38,874,650 |
Fund shares sold | 16,889,474 |
Investment securities sold | 16,789,901 |
Dividends | 1,959,269 |
Interest reclaims | 616,485 |
Dividend reclaims | 198,027 |
Total Assets | 4,725,470,631 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 43,679,873 |
Investment advisory fees | 3,271,680 |
Total Liabilities | 46,951,553 |
NET ASSETS | $4,678,519,078 |
NET ASSETS consist of: | |
Paid-in capital | $ 4,607,101,435 |
Par value | 2,352,050 |
Accumulated distributable earnings (loss) | 69,065,593 |
NET ASSETS | $4,678,519,078 |
NET ASSET VALUE,per share | $19.89 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 235,205,000 |
INVESTMENT INCOME: | ||
Interest | $ 165,300,259 | |
Dividends | 72,671,835 | |
Foreign withholding tax | (187,991) | |
Total investment income | 237,784,103 | |
EXPENSES: | ||
Investment advisory fees | 30,920,954 | |
Total expenses | 30,920,954 | |
NET INVESTMENT INCOME (LOSS) | 206,863,149 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (14,171,614) | |
In-kind redemptions | (1,824,691) | |
Net realized gain (loss) | (15,996,305) | |
Net change in unrealized appreciation (depreciation) on investments | 228,190,107 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 212,193,802 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 419,056,951 |
Year Ended 10/31/2019 | Year Ended 10/31/2018 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 206,863,149 | $ 189,704,806 | |
Net realized gain (loss) | (15,996,305) | (16,623,796) | |
Net change in unrealized appreciation (depreciation) | 228,190,107 | (225,468,777) | |
Net increase (decrease) in net assets resulting from operations | 419,056,951 | (52,387,767) | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (203,753,030) | (190,356,696) | |
Return of capital | (3,977,192) | (54,410) | |
Total distributions to shareholders | (207,730,222) | (190,411,106) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 1,376,507,572 | 798,475,609 | |
Cost of shares redeemed | (283,687,184) | (207,387,810) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 1,092,820,388 | 591,087,799 | |
Total increase (decrease) in net assets | 1,304,147,117 | 348,288,926 | |
NET ASSETS: | |||
Beginning of period | 3,374,371,961 | 3,026,083,035 | |
End of period | $ 4,678,519,078 | $ 3,374,371,961 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 179,855,000 | 150,305,000 | |
Shares sold | 70,900,000 | 40,400,000 | |
Shares redeemed | (15,550,000) | (10,850,000) | |
Shares outstanding, end of period | 235,205,000 | 179,855,000 |
Year Ended October 31, | |||||||||
2019 | 2018 | 2017 | 2016 | 2015 | |||||
Net asset value, beginning of period | $ 18.76 | $ 20.13 | $ 19.47 | $ 18.97 | $ 19.04 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 1.08 | 1.08 | 1.08 | 1.12 | 1.16 (a) | ||||
Net realized and unrealized gain (loss) | 1.14 | (1.37) | 0.66 | 0.52 | (0.10) | ||||
Total from investment operations | 2.22 | (0.29) | 1.74 | 1.64 | 1.06 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.07) | (1.08) | (1.08) | (1.13) | (1.13) | ||||
Return of capital | (0.02) | (0.00) (b) | (0.00) (b) | (0.01) | — | ||||
Total distributions | (1.09) | (1.08) | (1.08) | (1.14) | (1.13) | ||||
Net asset value, end of period | $19.89 | $18.76 | $20.13 | $19.47 | $18.97 | ||||
Total return (c) | 12.25% | (1.47)% | 9.24% | 8.97% | 5.75% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 4,678,519 | $ 3,374,372 | $ 3,026,083 | $ 1,375,398 | $ 413,705 | ||||
Ratio of total expenses to average net assets | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% | ||||
Ratio of net investment income (loss) to average net assets | 5.69% | 5.56% | 5.54% | 5.97% | 6.15% | ||||
Portfolio turnover rate (d) | 28% | 24% | 13% | 32% | 50% |
(a) | Based on average shares outstanding. |
(b) | Amount is less than $0.01. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
1) | the value of similar foreign securities traded on other foreign markets; |
2) | ADR trading of similar securities; |
3) | closed-end fund or exchange-traded fund trading of similar securities; |
4) | foreign currency exchange activity; |
5) | the trading prices of financial products that are tied to baskets of foreign securities; |
6) | factors relating to the event that precipitated the pricing problem; |
7) | whether the event is likely to recur; and |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security | Acquisition Date | Principal Value/Shares | Current Price | Carrying Cost | Value | % of Net Assets | ||
Dairy Farmers of America, Inc., 7.13% | 09/15/16-08/10/17 | $6,700,000 | $98.64 | $6,788,500 | $6,608,880 | 0.14% | ||
Fortegra Financial Corp., 8.50%, 10/15/57 | 10/12/17-03/12/18 | $13,700,000 | 106.65 | 13,719,014 | 14,611,324 | 0.31 | ||
Kinder Morgan GP, Inc., 6.02%, 08/18/57 | 03/21/17-10/16/17 | 10,000 | 900.66 | 9,215,000 | 9,006,560 | 0.19 | ||
Land O’Lakes Capital Trust I, 7.45%, 03/15/28 | 03/20/15-05/09/18 | $23,748,000 | 113.00 | 26,205,671 | 26,835,240 | 0.58 | ||
$55,928,185 | $57,062,004 | 1.22% |
Distributions paid from: | 2019 | 2018 |
Ordinary income | $203,753,030 | $190,356,696 |
Capital gains | — | — |
Return of capital | 3,977,192 | 54,410 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (42,380,616) |
Net unrealized appreciation (depreciation) | 111,446,209 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$(888,004) | $2,675,773 | $(1,787,769) |
Dividends Received Deduction | Qualified Dividend Income | |
26.45% | 66.32% |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016); Member, Sportsmed LLC (April 2007 to November 2015) | 162 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 162 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 162 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services) | 162 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 162 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Year Ended
October 31, 2019
1 | |
2 | |
5 | |
8 | |
9 | |
35 | |
36 | |
37 | |
38 | |
39 | |
46 | |
47 | |
51 | |
53 |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 10/31/19 | 5 Years Ended 10/31/19 | Inception (5/13/14) to 10/31/19 | 5 Years Ended 10/31/19 | Inception (5/13/14) to 10/31/19 | ||
Fund Performance | ||||||
NAV | 9.79% | 4.42% | 4.70% | 24.16% | 28.55% | |
Market Price | 9.82% | 4.30% | 4.72% | 23.40% | 28.69% | |
Index Performance | ||||||
Bloomberg Barclays Revenue 10 Year (8-12) Index | 9.79% | 3.74% | 3.97% | 20.18% | 23.76% |
Sector Allocation | % of Total Investments (including cash) |
Hospital | 13.4% |
Continuing Care Retirement Communities | 9.4 |
Government Obligation Bond - Unlimited Tax | 8.8 |
Insured | 8.7 |
Water & Sewer | 7.3 |
Gas | 5.5 |
Certificates of Participation | 5.4 |
Dedicated Tax | 5.4 |
Higher Education | 5.1 |
Government Obligation Bond - Limited Tax | 4.8 |
Airport | 3.5 |
Education | 3.1 |
Special Assessment | 2.9 |
Utility | 2.8 |
Toll Road | 2.6 |
Industrial Development Bond | 2.6 |
Mass Transit | 2.4 |
Student Housing | 1.1 |
Tax Increment | 0.7 |
Tobacco | 0.6 |
Pre-refunded/Escrowed-to-maturity | 0.5 |
Housing | 0.4 |
Local Housing | 0.4 |
Skilled Nursing | 0.3 |
Other Health | 0.2 |
Port | 0.2 |
Pool | 0.1 |
Stadium | 0.0* |
Hotel | 0.0* |
Cash | 1.8 |
Total | 100.0% |
* | Amount is less than 0.1%. |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 10.1% |
AA | 29.1 |
A | 33.4 |
BBB | 10.8 |
BB | 3.7 |
B | 0.5 |
Not Rated | 10.6 |
Cash | 1.8 |
Total | 100.0% |
(1) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/1/14 – 10/31/15 | 178 | 16 | 0 | 0 |
11/1/15 – 10/31/16 | 200 | 0 | 0 | 0 |
11/1/16 – 10/31/17 | 207 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 201 | 0 | 0 | 0 |
11/1/18 – 10/31/19 | 228 | 0 | 0 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/1/14 – 10/31/15 | 57 | 0 | 0 | 0 |
11/1/15 – 10/31/16 | 51 | 1 | 0 | 0 |
11/1/16 – 10/31/17 | 45 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 51 | 0 | 0 | 0 |
11/1/18 – 10/31/19 | 23 | 0 | 0 | 0 |
• | Municipal bonds experienced distinctly positive fund flows as expressed by retail demand. Over the 12-month period ended October 31, 2019, the municipal market experienced 10 months of positive fund flows, and 2 months of negative fund flows. Over the same period, municipal fund flows totaled approximately $68.0 billion (Source: Barclays, Investment Company Institute). |
• | Primary market municipal bond supply increased year-over-year. For the 10-months ended October 31, 2019, total municipal bond supply increased 12.3% to approximately $323.9 billion compared with $288.4 billion for the same period a year ago (Source: Barclays, SIFMA.org & Bloomberg). Part of this increase year-to-date in municipal bond supply is attributable to an increase in taxable municipal bond new issue supply. |
• | During the 12-month period ended October 31, 2019, municipal credit fundamentals continued to be healthy. For instance, looking at all Moody’s rated debt, the number of credit rating upgrades topped downgrades for the ninth quarter in a row ending September 30, 2019. However, looking at the total municipal bond defaults, using data provided by Municipal Market Analytics, Inc., (“MMA”), the total number of municipal bond defaults increased slightly compared to the same period of 2018. Year-to-date through September 30, 2019, there were approximately 35 defaults compared to 28 defaults during the first nine months of 2018. (Source: Moody’s and MMA). |
• | Municipal bond prices followed U.S. Treasury prices higher as yields fell during the 12-month period ended October 31, 2019. During the same period, U.S. Treasury yields ranged from 3.24% to 1.45%, with an October 31, 2019 yield at 1.69%. Thus, the 10-Year generic U.S. Treasury declined in yield approximately 155 basis points (“bps”) from its high of 3.24%. Over this same period, the 10-year AAA municipal bond yield dropped 124 bps from 2.73% to 1.49% (Source: Bloomberg, TM3 MMD Yield Curve). |
Beginning Account Value May 1, 2019 | Ending Account Value October 31, 2019 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (b) | |
First Trust Managed Municipal ETF (FMB) | ||||
Actual | $1,000.00 | $1,040.90 | 0.50% | $2.57 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.68 | 0.50% | $2.55 |
(a) | These expense ratios reflect expense waivers. See Note 3 in the Notes to Financial Statements. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2019 through October 31, 2019), multiplied by 184/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 97.3% | ||||||||
Alabama – 2.3% | ||||||||
$225,000 | AL Cmnty Clg Sys Brd of Trustees Rev Bishop St Cmnty Clg, BAM | 4.00% | 01/01/35 | $254,556 | ||||
500,000 | AL St Port Auth Docks Facs Rev Ref Docks Facs Rev, Ser A, AGM, AMT | 5.00% | 10/01/25 | 587,075 | ||||
1,100,000 | Birmingham AL Wtrwks Brd Wtr Rev Ref Sr, Ser A | 5.00% | 01/01/32 | 1,338,128 | ||||
940,000 | Birmingham AL Wtrwks Brd Wtr Rev Ref Sr, Ser A | 4.00% | 01/01/34 | 1,054,830 | ||||
2,325,000 | Birmingham AL Wtrwks Brd Wtr Rev Ref Sub, Ser B | 5.00% | 01/01/43 | 2,731,573 | ||||
5,570,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev Proj No. 4, Ser A-1 (Mandatory put 12/01/25) | 4.00% | 12/01/49 | 6,242,967 | ||||
1,530,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev, Ser A (Mandatory put 12/01/23) | 4.00% | 12/01/48 | 1,645,393 | ||||
415,000 | Gulf Shores AL Ref Warrants, Ser A | 5.00% | 12/15/35 | 508,130 | ||||
310,000 | Gulf Shores AL Ref Warrants, Ser A | 5.00% | 12/15/38 | 376,411 | ||||
450,000 | Infirmary Hlth Sys AL Spl Care Facs Fing Auth Rev Infirmary Hlth Sys Inc, Ser A | 5.00% | 02/01/36 | 514,751 | ||||
930,000 | Leeds AL Pub Eductnl Bldg Auth Eductnl Facs Rev Ref Edu, AGM | 4.00% | 04/01/29 | 1,040,624 | ||||
695,000 | Leeds AL Pub Eductnl Bldg Auth Eductnl Facs Rev Ref Edu, AGM | 4.00% | 04/01/30 | 776,301 | ||||
100,000 | Lower AL Gas Dist Gas Proj Rev, Ser A | 5.00% | 09/01/31 | 127,065 | ||||
600,000 | Mobile AL Impt Dist Sales Tax Rev Mcgowin Park Proj, Ser A | 5.00% | 08/01/25 | 624,582 | ||||
500,000 | Mobile Cnty AL Impt Warrants | 5.00% | 08/01/30 | 590,855 | ||||
110,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #1, Ser A (Mandatory put 04/01/24) | 4.00% | 04/01/49 | 118,714 | ||||
1,040,000 | Troy AL Ref Warrants, BAM | 4.00% | 07/01/35 | 1,125,613 | ||||
5,000,000 | UAB Medicine Fin Auth AL Rev Ref UAB Medicine, Ser B2 | 5.00% | 09/01/41 | 5,894,050 | ||||
25,551,618 | ||||||||
Arizona – 1.5% | ||||||||
1,205,000 | AZ Brd of Rgts Univ AZ Sys Rev Green Bond, Ser B | 5.00% | 06/01/28 | 1,467,859 | ||||
4,475,000 | AZ St Hlth Facs Auth Variable Banner Hlth, Ser B (a) | 1.21% | 01/01/46 | 4,475,000 | ||||
175,000 | AZ St Indl Dev Auth Edu Rev Doral Academy NV Fire Mesa & Red Rock Campus Proj, Ser A (b) | 5.00% | 07/15/39 | 192,446 | ||||
375,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser D (b) | 5.00% | 07/01/37 | 413,280 | ||||
530,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (b) | 4.00% | 07/01/21 | 540,478 | ||||
555,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (b) | 5.00% | 07/01/26 | 621,888 | ||||
415,000 | AZ St Indl Dev Auth National Chrt Sch Revolving Loan Fd Equitable Sch Revolving Fund, Ser A | 5.00% | 11/01/31 | 512,023 | ||||
1,005,000 | AZ St Indl Dev Auth National Chrt Sch Revolving Loan Fd Equitable Sch Revolving Fund, Ser A | 5.00% | 11/01/33 | 1,233,085 | ||||
1,650,000 | AZ St Indl Dev Auth Sr Living Rev 2nd Tier Great Lakes Sr Living Cmntys Proj, Ser B | 5.00% | 01/01/43 | 1,816,749 | ||||
200,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Greathearts AZ Projs, Ser C | 5.00% | 07/01/25 | 234,098 | ||||
500,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Horizon Cmnty Learning Ctr Proj | 5.00% | 07/01/35 | 541,080 | ||||
500,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Paradise Schs Projs Paragon Mgmt Inc (b) | 4.00% | 07/01/26 | 534,320 | ||||
1,475,000 | Maricopa Cnty AZ Spl Hlth Care Dist Aka Maricopa Integrated Hlth Sys, Ser C | 5.00% | 07/01/27 | 1,849,045 | ||||
475,000 | Phoenix AZ Indl Dev Auth Edu Rev Fac Legacy Traditional Schs Projs, Ser A (b) | 4.00% | 07/01/26 | 489,008 | ||||
200,000 | Phoenix AZ Indl Dev Auth Student Hsg Rev Ref Downtown Phoenix Student Hsg LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/26 | 236,100 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Arizona (Continued) | ||||||||
$385,000 | Pima Cnty AZ Indl Dev Auth Edu Rev Fac American Leadership Academy Proj (b) | 4.00% | 06/15/22 | $394,659 | ||||
655,000 | Pima Cnty AZ Indl Dev Auth Edu Rev Ref American Leadership Academies Proj (b) | 5.00% | 06/15/39 | 695,394 | ||||
350,000 | Pima Cnty AZ Indl Dev Auth Edu Rev Ref Fac American Leadership Academy Proj (b) | 4.60% | 06/15/25 | 366,968 | ||||
500,000 | Tempe AZ Indl Dev Auth Rev Mirabella at ASU Proj, Ser A (b) | 6.00% | 10/01/37 | 575,985 | ||||
275,000 | Yavapai Cnty AZ Indl Dev Auth Hosp Fac Ref Yavapai Regl Med Ctr | 5.00% | 08/01/23 | 311,451 | ||||
17,500,916 | ||||||||
Arkansas – 0.0% | ||||||||
350,000 | Univ of Central Arkansas AR Rev, Ser A, AGM | 5.00% | 11/01/34 | 412,286 | ||||
California – 7.1% | ||||||||
1,000,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Proj, Ser C | 4.50% | 07/01/26 | 1,124,770 | ||||
460,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (b) | 5.00% | 07/01/32 | 544,060 | ||||
480,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (b) | 5.00% | 07/01/33 | 564,950 | ||||
1,000,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (b) | 5.00% | 07/01/43 | 1,142,870 | ||||
1,325,000 | CA Sch Fin Auth Sch Fac Rev Kipp Socal Pub Schs, Ser A (b) | 5.00% | 07/01/39 | 1,606,350 | ||||
455,000 | CA Sch Fin Auth Sch Fac Rev Ref Hlth Learning Proj, Ser A (b) | 4.00% | 07/01/26 | 514,114 | ||||
800,000 | CA Sch Fin Auth Sch Fac Rev Ref Hlth Learning Proj, Ser A (b) | 5.00% | 07/01/32 | 945,344 | ||||
750,000 | CA St | 5.00% | 08/01/32 | 931,065 | ||||
850,000 | CA St Cmnty Clg Fing Auth Clg Hsg Rev Orange Coast Pptys LLC Orange Coast Clg Proj | 5.25% | 05/01/43 | 1,003,527 | ||||
225,000 | CA St Enterprise Dev Auth Lease Rev Riverside Cnty Library Fac Proj | 4.00% | 11/01/37 | 251,971 | ||||
415,000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys West, Ser A | 4.00% | 03/01/33 | 439,439 | ||||
400,000 | CA St Hlth Facs Fing Auth Rev Ref Sutter Hlth, Ser B | 5.00% | 11/15/33 | 491,728 | ||||
600,000 | CA St Hlth Facs Fing Auth Rev Sutter Hlth, Ser A | 5.00% | 11/15/33 | 754,434 | ||||
445,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Vista Chrt Middle Sch Proj (c) | 5.38% | 07/01/34 | 488,174 | ||||
700,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Academy Proj (b) | 4.00% | 07/01/26 | 732,277 | ||||
200,000 | CA St Muni Fin Auth Rev Channing House Proj, Ser B | 5.00% | 05/15/37 | 238,674 | ||||
500,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/34 | 591,735 | ||||
1,250,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/33 | 1,395,887 | ||||
600,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/34 | 667,044 | ||||
1,000,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/35 | 1,109,130 | ||||
1,000,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/37 | 1,103,170 | ||||
2,130,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/39 | 2,337,441 | ||||
3,420,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 5.00% | 10/01/44 | 3,995,244 | ||||
680,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/27 | 835,992 | ||||
650,000 | CA St Muni Fin Auth Rev Sr Lien Linxs Apm Proj, Ser A, AMT | 5.00% | 06/30/28 | 803,257 | ||||
200,000 | CA St Muni Fin Auth Sr Living Rev Ref Mt San Antonio Gardens Proj | 4.00% | 11/15/27 | 229,928 | ||||
1,000,000 | CA St Muni Fin Auth Sr Living Rev Ref Mt San Antonio Gardens Proj | 5.00% | 11/15/49 | 1,167,480 | ||||
1,000,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt Inc, Ser A1, AMT | 3.38% | 07/01/25 | 1,089,120 | ||||
1,500,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Rialto Bioenergy Fac LLC Proj Green Bond, AMT (b) | 6.75% | 12/01/28 | 1,540,515 | ||||
4,250,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Rialto Bioenergy Fac LLC Proj Green Bond, AMT (b) | 7.50% | 12/01/40 | 4,428,245 | ||||
2,000,000 | CA St Ref Various Purpose | 5.00% | 04/01/36 | 2,304,880 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$500,000 | CA St Ref, Ser C | 5.00% | 09/01/32 | $602,205 | ||||
500,000 | CA St Sch Fin Auth Chrt Sch Rev Summit Pub Schs (b) | 5.00% | 06/01/37 | 583,370 | ||||
300,000 | CA St Stwd Cmntys Dev Auth Clg Hsg Rev NCCD Hooper Street LLC CA Clg of the Arts Projs (b) | 5.00% | 07/01/29 | 348,465 | ||||
700,000 | CA St Stwd Cmntys Dev Auth Clg Hsg Rev NCCD Hooper Street LLC CA Clg of the Arts Projs (b) | 5.25% | 07/01/39 | 818,384 | ||||
300,000 | CA Stwd Cmntys Dev Auth Rev Beverly Cmnty Hosp Assoc | 5.00% | 02/01/30 | 337,224 | ||||
1,000,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (b) | 5.00% | 12/01/30 | 1,149,790 | ||||
450,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (b) | 5.00% | 12/01/33 | 527,746 | ||||
600,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (b) | 3.00% | 11/01/22 | 607,908 | ||||
500,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (b) | 5.00% | 11/01/32 | 590,440 | ||||
100,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/30 | 121,424 | ||||
195,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/31 | 235,737 | ||||
300,000 | CA Stwd Cmntys Dev Auth Rev Ref Lancer Eductnl Student Hsg Proj, Ser A (b) | 4.00% | 06/01/21 | 305,079 | ||||
370,000 | Chino CA Cmnty Facs Dist Spl Tax #2003-3 Impt Area #7 | 5.00% | 09/01/30 | 456,029 | ||||
2,160,000 | Etiwanda CA Sch Dist Cmnty Facs Dist #9 Spl Tax Ref | 5.00% | 09/01/35 | 2,499,919 | ||||
130,000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No 19 Mangini | 4.00% | 09/01/24 | 142,968 | ||||
155,000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No 19 Mangini | 4.00% | 09/01/25 | 172,503 | ||||
175,000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No. 19 Mangini | 5.00% | 09/01/39 | 206,250 | ||||
500,000 | Foothill-De Anza CA Cmnty Clg Dist Ref, COPS | 5.00% | 04/01/32 | 588,095 | ||||
1,360,000 | Hawthorne CA Cmnty Redev Agy Successor Agy Tax Allocation Ref Sub, AGM | 5.00% | 09/01/32 | 1,613,096 | ||||
175,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist No 09-1, Ser A | 5.00% | 09/01/31 | 220,318 | ||||
365,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist No 09-1, Ser A | 5.00% | 09/01/32 | 457,155 | ||||
125,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist No 09-1, Ser A | 5.00% | 09/01/34 | 155,748 | ||||
1,000,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist No 09-1, Ser A, BAM | 4.00% | 09/01/49 | 1,124,350 | ||||
2,885,000 | Kaweah CA Delta Hlth Care Dist Rev, Ser B | 5.00% | 06/01/40 | 3,245,394 | ||||
210,000 | La Verne CA Ref Brethren Hillcrest Homes, COPS | 5.00% | 05/15/22 | 226,766 | ||||
825,000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Impt Area #1 Mountain House Sch Facs | 5.00% | 09/01/42 | 965,217 | ||||
835,000 | Live Oak CA Sch Dist Santa Cruz Cnty Ref | 5.00% | 08/01/30 | 1,015,009 | ||||
45,000 | Long Beach CA Bond Fin Auth Nat Gas Purchase Rev, Ser A | 5.25% | 11/15/23 | 51,255 | ||||
400,000 | Los Angeles CA Dept of Arpts Arpt Rev Sub Los Angeles Intl Arpt, Ser B, AMT | 5.00% | 05/15/31 | 476,048 | ||||
100,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/33 | 114,589 | ||||
325,000 | Menifee CA Union Sch Dist Pub Fing Auth Spl Tax Rev Ref, Ser A | 5.00% | 09/01/28 | 384,319 | ||||
175,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/30 | 211,409 | ||||
150,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/31 | 180,567 | ||||
145,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/32 | 174,032 | ||||
165,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/33 | 197,454 | ||||
1,710,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/44 | 2,006,907 | ||||
1,110,000 | Montebello CA Pub Fing Auth Rev Montebello Home2 Suites Hilton Hotel Proj, Ser A | 5.00% | 06/01/32 | 1,320,545 | ||||
2,515,000 | Napa Vly CA Unif Sch Dist, Ser C, AGM | 4.00% | 08/01/38 | 2,804,376 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$500,000 | River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2003-1, Ser A | 5.00% | 09/01/43 | $564,530 | ||||
500,000 | River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2019-1 Phase 2 Pub Impts | 4.00% | 09/01/33 | 536,415 | ||||
560,000 | River Islands CA Pub Fing Auth Spl Tax Ref Cmnty Facs Dist #2003-1 | 5.38% | 09/01/31 | 610,154 | ||||
865,000 | Rocklin CA Unif Sch Dist Cmnty Facs Dist Subordinate, Ser 2019, BAM | 5.00% | 09/15/34 | 1,103,965 | ||||
625,000 | Rocklin CA Unif Sch Dist Cmnty Facs Dist Subordinate, Ser 2019, BAM | 4.00% | 09/15/35 | 721,762 | ||||
1,080,000 | Rocklin CA Unif Sch Dist Cmnty Facs Dist Subordinate, Ser 2019, BAM | 4.00% | 09/15/36 | 1,242,421 | ||||
110,000 | Roseville CA Spl Tax | 5.00% | 09/01/30 | 131,403 | ||||
100,000 | Roseville CA Spl Tax | 5.00% | 09/01/31 | 119,175 | ||||
500,000 | Sacramento CA Transient Occupancy Tax Rev Sub Convention Ctr Complex, Ser C | 5.00% | 06/01/35 | 618,090 | ||||
350,000 | San Diego Cnty CA Ltd Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A | 5.00% | 11/01/25 | 421,841 | ||||
500,000 | San Diego Cnty CA Ltd Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A | 5.00% | 11/01/26 | 600,085 | ||||
945,000 | San Diego Cnty CA Regl Arpt Auth Sr, Ser B, AMT | 5.00% | 07/01/30 | 1,061,103 | ||||
1,250,000 | San Diego Cnty CA Regl Transprtn Commn, Ser A | 5.00% | 04/01/35 | 1,514,337 | ||||
1,365,000 | San Francisco CA Bay Area Rapid Transit Dist Sales Tax Rev, Ser A | 4.00% | 07/01/36 | 1,558,926 | ||||
1,330,000 | San Francisco CA Bay Area Rapid Transit Dist Sales Tax Rev, Ser A | 4.00% | 07/01/37 | 1,514,099 | ||||
1,000,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref, Ser D, AMT | 5.00% | 05/01/22 | 1,089,920 | ||||
280,000 | San Francisco City & Cnty CA Redev Agy Successor Agy Tax Ref Mission Bay N Redev Proj, Ser A | 5.00% | 08/01/35 | 332,982 | ||||
150,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/32 | 175,241 | ||||
375,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/39 | 425,572 | ||||
160,000 | Tahoe Truckee CA Unif Sch Dist COPS, BAM | 4.00% | 06/01/35 | 178,158 | ||||
255,000 | Tahoe Truckee CA Unif Sch Dist COPS, BAM | 4.00% | 06/01/36 | 282,994 | ||||
1,000,000 | Tahoe Truckee CA Unif Sch Dist COPS, BAM | 4.00% | 06/01/43 | 1,090,210 | ||||
100,000 | Temecula Vly Unif Sch Dist Fing Auth CA Spl Tax Rev, BAM | 5.00% | 09/01/34 | 117,893 | ||||
385,000 | Temescal Vly CA Wtr Dist Spl Tax Terramor Cmnty Facs Dist #4 Impt Area #1 | 4.00% | 09/01/23 | 411,596 | ||||
1,050,000 | Victor CA Elem Sch Dist Cmnty Facs Dist Spl Tax Ref 2005-1, BAM | 5.00% | 09/01/46 | 1,221,580 | ||||
80,255,357 | ||||||||
Colorado – 5.0% | ||||||||
500,000 | Aviation Station North Met Dist #2 CO Ltd, Ser A | 4.00% | 12/01/29 | 516,175 | ||||
500,000 | Base Vlg Met Dist #2 CO Ref, Ser A | 5.50% | 12/01/36 | 527,150 | ||||
2,000,000 | Boulder Vly CO Sch Dist #Re-2 Boulder Ref, Ser B | 4.00% | 12/01/32 | 2,293,940 | ||||
455,000 | Buffalo Ridge CO Met Dist Ref & Impt Sr, Ser A, BAM | 5.00% | 12/01/25 | 541,869 | ||||
250,000 | Buffalo Ridge CO Met Dist Ref & Impt Sr, Ser A, BAM | 5.00% | 12/01/26 | 302,902 | ||||
500,000 | Castle Oaks CO Met Dist #3 Ref | 5.00% | 12/01/37 | 514,255 | ||||
500,000 | Centerra CO Met Dist #1 Spl Rev Dist #1 (b) | 5.00% | 12/01/22 | 536,000 | ||||
1,000,000 | Centerra CO Met Dist #1 Spl Rev Dist #1 (b) | 5.00% | 12/01/29 | 1,080,430 | ||||
400,000 | CO Eductnl & Cultural Auth Rev Ref West Ridge Academy Chrt Sch Proj, Ser A | 5.00% | 06/01/49 | 437,600 | ||||
1,020,000 | CO St Eductnl & Cultural Facs Auth Rev Univ Denver Proj, Ser A | 4.00% | 03/01/35 | 1,143,532 | ||||
250,000 | CO St Hlth Facs Auth Hosp Rev Ref Commonspirit Hlth, Ser A-1 | 5.00% | 08/01/35 | 302,610 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado (Continued) | ||||||||
$500,000 | CO St Hlth Facs Auth Hosp Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/38 | $545,895 | ||||
300,000 | CO St Hlth Facs Auth Hosp Rev Ref Frasier Meadows Retmnt Cmnty Proj, Ser A | 5.00% | 05/15/25 | 342,339 | ||||
350,000 | CO St Hlth Facs Auth Hosp Rev Ref Frasier Meadows Retmnt Cmnty Proj, Ser A | 5.00% | 05/15/26 | 404,929 | ||||
605,000 | CO St Hlth Facs Auth Rev Ref Covenant Retmnt Cmntys, Ser A | 5.00% | 12/01/27 | 660,606 | ||||
525,000 | CO St Hlth Facs Auth Rev Ref Covenant Retmnt Cmntys, Ser A | 5.00% | 12/01/33 | 568,522 | ||||
495,000 | Colorado Springs CO Pikes Peak Americas Mountain Enterprise Pikes Peak | 5.00% | 12/01/25 | 587,931 | ||||
500,000 | Copperleaf CO Met Dist #2 Ref | 5.25% | 12/01/30 | 523,810 | ||||
2,000,000 | Crowfoot Vly Ranch Met Dist #2 CO, Ser A | 5.63% | 12/01/38 | 2,099,100 | ||||
5,000,000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/35 | 6,072,800 | ||||
4,000,000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/37 | 4,825,760 | ||||
975,000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/38 | 1,173,412 | ||||
1,000,000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/43 | 1,190,690 | ||||
1,000,000 | Denver CO City & Cnty Dedicated Tax Rev, Ser A-1 | 5.00% | 08/01/41 | 1,188,490 | ||||
90,000 | Denver CO Convention Ctr Hotel Auth Rev Ref Sr | 5.00% | 12/01/24 | 103,487 | ||||
600,000 | Denver CO Hlth & Hosp Auth 550 Acoma Inc, COPS | 5.00% | 12/01/26 | 721,662 | ||||
1,790,000 | Denver CO Intl Business Ctr CO Met Dist #1 Subordinate, Ser B | 6.00% | 12/01/48 | 1,881,111 | ||||
55,000 | E-470 CO Pub Highway Auth Capital Appreciation Sr, Ser B, NATL-RE | (d) | 09/01/22 | 52,729 | ||||
1,500,000 | Fourth Street Crossing Business Impt Dist CO Sr, Ser A (b) | 5.13% | 12/01/38 | 1,530,120 | ||||
1,000,000 | Hunters Overlook Metro Dist #5 Co Sr Bonds, Ser A | 5.00% | 12/01/49 | 1,061,040 | ||||
1,000,000 | Independence Met Dist #3 CO, Ser A | 6.25% | 12/01/49 | 1,049,060 | ||||
860,000 | Lakes at Centerra Met Dist No 2 CO Impt, Ser A | 4.63% | 12/01/27 | 907,842 | ||||
1,000,000 | Lanterns Met Dist #1 CO, Ser A | 5.00% | 12/01/49 | 1,044,680 | ||||
100,000 | Lorson Ranch Met Dist #2 CO | 4.00% | 12/01/24 | 111,296 | ||||
170,000 | Lorson Ranch Met Dist #2 CO | 5.00% | 12/01/27 | 198,120 | ||||
1,000,000 | North Park Met Dist #1 Spl Rev, Ser A-2 | 5.13% | 12/01/28 | 1,069,380 | ||||
2,460,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/24 | 2,857,118 | ||||
150,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/31 | 175,031 | ||||
150,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/34 | 174,032 | ||||
155,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/35 | 179,461 | ||||
2,000,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/45 | 2,255,080 | ||||
420,000 | Park Creek CO Met Dist Rev Sr, Ser A | 5.00% | 12/01/30 | 519,225 | ||||
30,000 | Park Creek CO Met Dist Rev Sr, Ser A, NATL-RE | 5.00% | 12/01/24 | 34,922 | ||||
500,000 | Parker Homestead Met Dist CO Ref (c) | 5.63% | 12/01/44 | 529,930 | ||||
1,000,000 | Prairie Ctr CO Met Dist #3 Ltd Property Tax Supported Pri Ref, Ser A (b) | 4.13% | 12/15/27 | 1,032,850 | ||||
160,000 | Pub Auth for CO St Energy Nat Gas Purchase Rev | 6.13% | 11/15/23 | 175,776 | ||||
550,000 | Serenity Ridge CO Met Dist #2 Ref, Ser A (c) | 5.13% | 12/01/37 | 584,996 | ||||
750,000 | Sierra Ridge Met Dist No 2 CO Sr, Ser A | 4.50% | 12/01/31 | 770,520 | ||||
175,000 | Sterling Hills CO W Met Dist Ref | 5.00% | 12/01/32 | 205,732 | ||||
1,800,000 | Takoda CO Met Dist Ref | 6.00% | 12/01/36 | 2,204,226 | ||||
1,400,000 | Thompson Crossing Met Dist #4 CO Ref | 5.00% | 12/01/39 | 1,507,086 | ||||
2,125,000 | Thompson Crossing Met Dist #4 CO Ref | 5.00% | 12/01/49 | 2,266,461 | ||||
500,000 | Trails at Crowfoot Met Dist #3 CO Sr Series, Ser A | 5.00% | 12/01/39 | 522,330 | ||||
1,000,000 | Velocity Met Dist #3 CO | 5.13% | 12/01/34 | 1,065,850 | ||||
600,000 | Willow Bend Met Dist CO Sr, Ser A | 5.00% | 12/01/39 | 643,956 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado (Continued) | ||||||||
$1,000,000 | Willow Bend Met Dist CO Sr, Ser A | 5.00% | 12/01/49 | $1,056,930 | ||||
56,872,786 | ||||||||
Connecticut – 3.6% | ||||||||
10,680,000 | Capital City CT Econ Dev Auth Pkg & Energy Fee Rev Adj, Ser B (a) | 1.18% | 06/15/34 | 10,680,000 | ||||
1,250,000 | CT St Hlth & Eductnl Facs Auth Rev Fairfield Univ, Ser Q-1 | 5.00% | 07/01/46 | 1,449,637 | ||||
1,000,000 | CT St Hlth & Eductnl Facs Auth Rev Quinnipiac Univ Ref, Ser M | 5.00% | 07/01/36 | 1,171,130 | ||||
1,000,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Fairfield Univ, Ser S | 5.00% | 07/01/26 | 1,209,530 | ||||
2,250,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Quinnipiac Univ, Ser L | 5.00% | 07/01/31 | 2,619,000 | ||||
200,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Quinnipiac Univ, Ser L | 4.00% | 07/01/33 | 217,560 | ||||
1,210,000 | CT St Hlth & Eductnl Facs Auth Rev Yale Univ Issue, Ser U-2 (Mandatory put 02/08/22) | 2.00% | 07/01/33 | 1,230,873 | ||||
2,345,000 | CT St Spl Tax Oblig Rev Transprtn Infrastructure, Ser A | 5.00% | 08/01/34 | 2,731,808 | ||||
1,445,000 | CT St, Ser A | 5.00% | 04/15/29 | 1,760,588 | ||||
905,000 | CT St, Ser E | 5.00% | 10/15/33 | 1,076,235 | ||||
500,000 | CT St, Ser E | 4.00% | 10/15/35 | 555,140 | ||||
700,000 | CT St, Ser F | 5.00% | 11/15/34 | 815,325 | ||||
500,000 | Hamden CT, BAM | 6.00% | 08/15/33 | 645,040 | ||||
500,000 | Harbor Point CT Infrastructure Impt Dist Spl Oblig Rev Ref Harbor Point Proj Ltd (b) | 5.00% | 04/01/39 | 564,805 | ||||
1,970,000 | Univ of Connecticut CT, Ser A | 5.00% | 01/15/29 | 2,399,795 | ||||
4,635,000 | Univ of Connecticut CT, Ser A | 5.00% | 01/15/30 | 5,620,818 | ||||
1,250,000 | Univ of Connecticut CT, Ser A | 5.00% | 11/01/32 | 1,547,400 | ||||
3,820,000 | Univ of Connecticut CT, Ser A | 5.00% | 11/01/34 | 4,703,222 | ||||
40,997,906 | ||||||||
Delaware – 0.3% | ||||||||
325,000 | DE St Hlth Facs Auth Rev Beebe Med Ctr | 5.00% | 06/01/26 | 384,205 | ||||
2,633,000 | Millsboro DE Spl Oblig Ref Plantation Lakes Spl Dev Dist (b) | 5.00% | 07/01/28 | 2,835,952 | ||||
3,220,157 | ||||||||
District of Columbia – 0.2% | ||||||||
1,000,000 | Washington DC Met Area Transit Auth Gross Rev | 5.00% | 07/01/33 | 1,227,620 | ||||
885,000 | Washington DC Met Area Transit Auth Gross Rev Ref, Ser A-1 | 5.00% | 07/01/29 | 1,103,763 | ||||
2,331,383 | ||||||||
Florida – 6.8% | ||||||||
125,000 | Belle Isle FL Chrt Sch Lease Rev Cornerstone Chrt Academy & Cornerstone Chrt High Sch | 5.50% | 10/01/22 | 131,535 | ||||
300,000 | Bexley CDD FL Spl Assmnt Rev | 4.10% | 05/01/26 | 311,607 | ||||
210,000 | Bonterra Cmnty Dev Dist FL Spl Assmnt Sr, Ser A-1 | 3.13% | 05/01/26 | 220,905 | ||||
500,000 | Brookstone CDD FL Spl Assmnt Rev CDD (e) | 3.88% | 11/01/23 | 505,610 | ||||
605,000 | Broward Cnty FL Fuel Sys Rev Ft Lauderdale Fuel Facs, Ser A, AGM, AMT | 5.00% | 04/01/22 | 652,995 | ||||
1,350,000 | Broward Cnty FL Port Facs Rev Ref Subordinate Bond, Ser D, AMT | 5.00% | 09/01/27 | 1,650,294 | ||||
250,000 | Citizens Property Insurance Corp FL, Ser A-1 | 5.00% | 06/01/22 | 269,310 | ||||
280,000 | Escambia Cnty FL Hlth Facs Auth Baptist Hosp Inc Proj, Ser A | 5.50% | 08/15/24 | 288,652 | ||||
3,250,000 | FL Dev Fin Corp Surface Transprtn Fac Rev Ref Virgin Trains USA Passenger Rail Proj, Ser A, AMT (Mandatory put 01/01/29) (b) | 6.50% | 01/01/49 | 3,062,182 | ||||
725,000 | FL St Govtl Utility Auth Rev Ref, AGM | 4.00% | 10/01/37 | 837,680 | ||||
825,000 | FL St Govtl Utility Auth Rev Ref, AGM | 4.00% | 10/01/38 | 950,507 | ||||
750,000 | FL St Govtl Utility Auth Rev Ref, AGM | 4.00% | 10/01/39 | 861,795 | ||||
5,000,000 | Gtr Orlando FL Aviation Auth Arpt Facs Rev Priority Sub, Ser A, AMT | 5.00% | 10/01/42 | 5,897,000 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$250,000 | Gulfstream Polo Cmnty Dev Dist FL Spl Assmnt Phase 2 Proj | 3.00% | 11/01/24 | $250,433 | ||||
1,000,000 | Gulfstream Polo Cmnty Dev Dist FL Spl Assmnt Phase 2 Proj | 4.38% | 11/01/49 | 1,036,480 | ||||
485,000 | Harmony FL CDD Capital Impt Rev Ref, Ser 2015 | 4.75% | 05/01/25 | 495,563 | ||||
365,000 | Heritage Harbour FL N CDD Capital Impt Rev Ref Sr Lien, Ser A-1, AGM | 5.00% | 05/01/25 | 420,436 | ||||
125,000 | Hollywood FL Cmnty Redev Agy Redev Rev Ref | 5.00% | 03/01/23 | 139,103 | ||||
1,000,000 | Jacksonville FL Hlth Care Facs Rev Ref Baptist Hlth | 5.00% | 08/15/35 | 1,216,080 | ||||
3,700,000 | Jacksonville FL Spl Rev Ref Spl Rev, Ser A | 5.00% | 10/01/31 | 4,453,579 | ||||
1,000,000 | Jacksonville FL Spl Rev Ref Spl Rev, Ser B | 5.00% | 10/01/28 | 1,216,420 | ||||
2,980,000 | Jea FL Wtr & Swr Rev Ref, Ser A | 4.00% | 10/01/39 | 3,328,779 | ||||
1,230,000 | Lakeland FL Hosp Sys Rev Lakeland Regl Hlth | 5.00% | 11/15/33 | 1,400,367 | ||||
1,210,000 | Lee Cnty FL Indl Dev Auth Cypress Cove Healthpark FL Inc Memory Care Proj | 4.00% | 10/01/24 | 1,269,338 | ||||
1,000,000 | Lee Cnty FL Indl Dev Auth Shell Point/Waterside Hlth Proj | 5.00% | 11/15/39 | 1,163,330 | ||||
1,500,000 | Lee Cnty FL Indl Dev Auth Shell Point/Waterside Hlth Proj | 5.00% | 11/15/44 | 1,729,530 | ||||
1,385,000 | Mediterra FL S CDD Capital Impt Rev Ref | 5.10% | 05/01/31 | 1,488,501 | ||||
2,500,000 | Miami Dade Cnty FL Wtr & Swr Rev Ref Sys, Ser B | 4.00% | 10/01/34 | 2,841,575 | ||||
2,130,000 | Miami Dade Cnty FL Wtr & Swr Rev Sys, Ser A | 4.00% | 10/01/40 | 2,375,695 | ||||
500,000 | Miami FL Hlth Facs Auth Ref Miami Jewish Hlth Sys Oblig Grp | 5.00% | 07/01/23 | 549,435 | ||||
330,000 | Miami FL Hlth Facs Auth Ref Miami Jewish Hlth Sys Oblig Grp | 5.00% | 07/01/25 | 377,474 | ||||
500,000 | Miami FL Spl Oblig Ref (b) | 5.00% | 03/01/30 | 556,350 | ||||
375,000 | Miami World Ctr CDD FL Spl Assmnt | 4.00% | 11/01/23 | 386,415 | ||||
275,000 | Miami World Ctr CDD FL Spl Assmnt | 4.75% | 11/01/27 | 298,480 | ||||
515,000 | Miami-Dade Cnty FL Aviation Rev Ref, Ser A, AMT | 5.00% | 10/01/27 | 568,272 | ||||
2,000,000 | Miami-Dade Cnty FL Eductnl Facs Auth Rev Ref Univ Miami, Ser A | 5.00% | 04/01/31 | 2,320,920 | ||||
445,000 | Miami-Dade Cnty FL Indl Dev Auth Doral Academy Proj | 5.00% | 01/15/25 | 491,293 | ||||
550,000 | Miami-Dade Cnty FL Indl Dev Auth Doral Academy Proj | 5.00% | 01/15/32 | 615,868 | ||||
1,210,000 | Miami-Dade Cnty FL Indl Dev Auth Doral Academy Proj | 5.00% | 01/15/37 | 1,339,797 | ||||
1,080,000 | Miami-Dade Cnty FL Spl Oblig Sub Ref | 5.00% | 10/01/35 | 1,290,125 | ||||
440,000 | North Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 3.63% | 05/01/24 | 442,895 | ||||
800,000 | North Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 4.00% | 05/01/30 | 812,736 | ||||
725,000 | North Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 4.50% | 05/01/40 | 736,767 | ||||
435,000 | Nthrn Palm Beach Cnty FL Impt Dist | 3.25% | 08/01/22 | 440,285 | ||||
355,000 | Nthrn Palm Beach Cnty FL Impt Dist | 5.00% | 08/01/37 | 385,303 | ||||
680,000 | Orange Cnty FL Hlth Facs Auth Rev Presbyterian Retmnt Cmntys Proj | 5.00% | 08/01/29 | 763,361 | ||||
345,000 | Orange Cnty FL Hlth Facs Auth Rev Presbyterian Retmnt Cmntys Proj | 5.00% | 08/01/34 | 383,181 | ||||
6,000,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Orlando Hlth Inc, Ser A | 5.00% | 10/01/36 | 7,122,120 | ||||
2,000,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Orlando Hlth Inc, Ser A | 5.00% | 10/01/39 | 2,354,500 | ||||
825,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Presbyterian Retmnt Cmntys | 5.00% | 08/01/31 | 924,899 | ||||
1,000,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Presbyterian Retmnt Cmntys | 5.00% | 08/01/41 | 1,105,110 | ||||
545,000 | Palm Beach Cnty FL Hlth Facs Auth Acts Retmnt Life Cmntys Inc, Ser A | 5.00% | 11/15/45 | 625,992 | ||||
900,000 | Palm Beach Cnty FL Hlth Facs Auth Acts Retmnt Life Cmntys Ref | 5.00% | 11/15/22 | 978,552 | ||||
2,000,000 | Palm Beach Cnty FL Hlth Facs Auth Ref Acts Retmnt Life Cmntys Inc Oblig Grp | 5.00% | 11/15/32 | 2,347,880 | ||||
305,000 | Palm Beach Cnty FL Hlth Facs Auth Rev Lifespace Cmntys Inc, Ser B | 5.00% | 05/15/31 | 352,702 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$55,000 | Port Saint Lucie FL Cmnty Redev Agy Rev Ref | 5.00% | 01/01/23 | $60,978 | ||||
200,000 | Rhodine Road North CDD FL Spl Assmnt | 3.50% | 05/01/24 | 201,320 | ||||
1,000,000 | Rhodine Road North CDD FL Spl Assmnt | 4.50% | 05/01/40 | 1,024,070 | ||||
725,000 | Sarasota Cnty FL Hlth Facs Auth Retmnt Fac Rev Ref Vlg of Isle Proj | 5.00% | 01/01/25 | 818,177 | ||||
120,000 | Sarasota Cnty FL Hlth Facs Auth Retmnt Fac Rev Ref Vlg of Isle Proj | 5.00% | 01/01/26 | 137,234 | ||||
2,250,000 | SE Overtown Park W Cmnty Redev Agy FL Tax, Ser A-1 (b) | 5.00% | 03/01/30 | 2,521,215 | ||||
500,000 | Shell Point Cmnty Dev Dist FL Spl Assmnt (b) | 4.00% | 11/01/24 | 508,655 | ||||
500,000 | Tallahassee FL Energy Sys Rev Energy Sys | 5.00% | 10/01/29 | 582,750 | ||||
1,500,000 | Tallahassee FL Energy Sys Rev Energy Sys | 5.00% | 10/01/30 | 1,740,990 | ||||
250,000 | Timber Creek CDD FL Spl Assmnt Rev (e) | 4.13% | 11/01/24 | 253,793 | ||||
100,000 | UCF Stadium Corp FL Rev Ref, Ser A | 5.00% | 03/01/24 | 114,884 | ||||
170,000 | Villamar CDD FL Spl Assmnt (c) | 3.75% | 05/01/24 | 170,971 | ||||
70,000 | Vlg FL CDD #6 Spl Assmnt Rev Ref | 4.00% | 05/01/25 | 76,786 | ||||
500,000 | WildBlue CDD FL Spl Assmnt (b) | 3.50% | 06/15/24 | 503,560 | ||||
77,751,376 | ||||||||
Georgia – 3.5% | ||||||||
650,000 | Atlanta GA Tax Allocation Ref Eastside Proj | 5.00% | 01/01/30 | 792,740 | ||||
3,000,000 | Atlanta GA Wtr & Wstwtr Rev Ref, Ser A | 5.00% | 11/01/41 | 3,640,590 | ||||
4,400,000 | Atlanta GA Wtr & Wstwtr Rev Ref, Ser C | 4.00% | 11/01/37 | 4,985,728 | ||||
625,000 | De Kalb GA Priv Hosp Auth Children’s Hlth Care of Atlanta, Ser B | 4.00% | 07/01/37 | 713,144 | ||||
315,000 | East Point GA Tax Allocation Ref | 5.00% | 08/01/21 | 333,708 | ||||
1,490,000 | Floyd Cnty GA Dev Auth Spires Berry Clg Proj, Ser A | 5.50% | 12/01/28 | 1,545,935 | ||||
2,450,000 | Floyd Cnty GA Dev Auth Spires Berry Clg Proj, Ser A | 5.75% | 12/01/33 | 2,534,696 | ||||
1,000,000 | Fulton Cnty GA Dev Auth Rev Ref Children’s Hlth Care of Atlanta, Ser C | 5.00% | 07/01/35 | 1,260,930 | ||||
3,455,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/31 | 3,814,078 | ||||
750,000 | GA St Hgr Edu Facs Auth Rev Ref USG Real Estate Fdtn II LLC Projs | 5.00% | 06/15/34 | 942,540 | ||||
890,000 | GA St Hgr Edu Facs Auth Rev Ref USG Real Estate Fdtn II LLC Projs | 5.00% | 06/15/35 | 1,115,214 | ||||
2,530,000 | GA St Ref, Ser F | 5.00% | 07/01/25 | 3,058,163 | ||||
5,000,000 | GA St, Ser A-2 | 4.00% | 02/01/36 | 5,650,950 | ||||
40,000 | Gainesville & Hall Cnty GA Hosp Auth Ref NE GA Hlth Sys Inc Proj, Ser A | 5.00% | 02/15/26 | 47,527 | ||||
175,000 | Main Street Nat Gas Inc GA Gas Rev, Ser A | 5.50% | 09/15/23 | 199,719 | ||||
1,000,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/27 | 1,197,390 | ||||
2,330,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/30 | 2,861,916 | ||||
560,000 | Priv Clgs & Univs Auth GA Mercer Univ Proj, Ser C | 5.25% | 10/01/27 | 613,015 | ||||
925,000 | Priv Clgs & Univs Auth GA Savannah Clg of Art & Design Proj | 5.00% | 04/01/33 | 1,052,132 | ||||
2,625,000 | Priv Clgs & Univs Auth GA Savannah Clg of Art & Design Proj | 5.00% | 04/01/44 | 2,947,402 | ||||
39,307,517 | ||||||||
Guam – 0.1% | ||||||||
400,000 | Guam Govt Business Privilege Tax Rev, Ser B-1 | 5.00% | 01/01/37 | 418,280 | ||||
300,000 | Guam Port Auth Port Rev, Ser B, AMT | 5.00% | 07/01/32 | 360,399 | ||||
75,000 | Guam Pwr Auth Rev Ref, Ser A, AGM | 5.00% | 10/01/20 | 77,407 | ||||
856,086 | ||||||||
Hawaii – 0.8% | ||||||||
195,000 | HI St Dept of Budget & Fin Spl Purpose Rev Ref HI Pacific Hlth Oblig Grp, Ser B | 5.00% | 07/01/30 | 216,971 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Hawaii (Continued) | ||||||||
$110,000 | HI St Pacific Hlth Spl Purpose Rev, Ser B | 5.63% | 07/01/30 | $113,188 | ||||
4,980,000 | HI St, Ser FG | 4.00% | 10/01/33 | 5,643,186 | ||||
500,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Ref Junior, Ser A | 5.00% | 07/01/20 | 512,445 | ||||
2,450,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Ref Sr First Bd Resolution, Ser B | 4.00% | 07/01/32 | 2,733,171 | ||||
100,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Sr First Bd Resolution, Ser B | 5.00% | 07/01/20 | 102,510 | ||||
9,321,471 | ||||||||
Idaho – 0.2% | ||||||||
1,000,000 | ID St Hlth Facs Auth Rev Ref Madison Memorial Hosp | 5.00% | 09/01/37 | 1,118,160 | ||||
255,000 | ID St Hlth Facs Auth Rev Ref Vly Vista Care Corp, Ser A | 5.00% | 11/15/32 | 269,492 | ||||
500,000 | ID St Hlth Facs Auth Rev Trinity Hlth Ref, Ser D | 5.00% | 12/01/33 | 542,165 | ||||
1,929,817 | ||||||||
Illinois – 3.3% | ||||||||
1,000,000 | Bolingbrook IL Ref, Ser A, AGM | 5.00% | 01/01/30 | 1,216,460 | ||||
1,000,000 | Bolingbrook IL Ref, Ser A, AGM | 5.00% | 01/01/31 | 1,210,770 | ||||
130,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (d) | 12/01/22 | 120,608 | ||||
240,000 | Chicago IL Brd of Edu Proj, Ser C | 5.25% | 12/01/39 | 263,890 | ||||
500,000 | Chicago IL Brd of Edu Ref Dedicated, Ser C | 5.00% | 12/01/30 | 577,305 | ||||
1,975,000 | Chicago IL Brd of Edu Ref, Ser F | 5.00% | 12/01/31 | 2,020,148 | ||||
625,000 | Chicago IL Brd of Edu, Ser A | 5.50% | 12/01/39 | 655,369 | ||||
305,000 | Chicago IL O’Hare Intl Arpt Rev Ref Gen Sr Lien, Ser A, AMT | 5.00% | 01/01/30 | 357,588 | ||||
250,000 | Chicago IL O’Hare Intl Arpt Rev Ref Gen Sr Lien, Ser C | 4.00% | 01/01/34 | 278,257 | ||||
600,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien, Ser A, AMT | 5.00% | 01/01/37 | 726,930 | ||||
400,000 | Chicago IL O’Hare Intl Arpt Rev, Ser C, AMT | 5.00% | 01/01/34 | 455,380 | ||||
450,000 | Chicago IL Ref 2003B | 5.25% | 01/01/29 | 508,104 | ||||
160,000 | Chicago IL Ref Proj, Ser A | 5.00% | 01/01/27 | 175,997 | ||||
1,130,000 | Chicago IL Ref Proj, Ser A | 5.00% | 01/01/35 | 1,223,620 | ||||
500,000 | Chicago IL Ref, Ser A | 5.63% | 01/01/29 | 594,195 | ||||
150,000 | Chicago IL Ref, Ser C | 4.00% | 01/01/22 | 158,723 | ||||
500,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/25 | 559,490 | ||||
485,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/26 | 552,206 | ||||
110,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/38 | 121,185 | ||||
285,000 | Chicago IL Ref, Ser C, CABS | (d) | 01/01/22 | 270,057 | ||||
145,000 | Chicago IL Ref, Ser C, CABS | (d) | 01/01/24 | 129,204 | ||||
125,000 | Chicago IL Ref, Ser C, CABS | (d) | 01/01/25 | 107,631 | ||||
2,060,000 | Chicago IL, Ser A | 5.00% | 01/01/27 | 2,375,674 | ||||
2,425,000 | DuPage & Cook Cntys IL Twp High Sch Dist #86 Hinsdale | 4.00% | 01/15/36 | 2,736,370 | ||||
505,000 | Hampshire IL Spl Svc Area #14 Spl Tax Ref Lakewood Crossing, BAM | 4.00% | 03/01/25 | 550,006 | ||||
500,000 | Hillside IL Tax Incr Rev Ref | 5.00% | 01/01/24 | 519,290 | ||||
230,000 | IL St | 5.00% | 05/01/23 | 250,799 | ||||
125,000 | IL St | 5.00% | 06/01/27 | 141,411 | ||||
325,000 | IL St Fin Auth Academic Facs Lease Rev Univ of Illinois at Urbana-Champaign Proj, Ser A | 5.00% | 10/01/33 | 404,258 | ||||
600,000 | IL St Fin Auth Academic Facs Lease Rev Univ of Illinois at Urbana-Champaign Proj, Ser A | 5.00% | 10/01/34 | 744,324 | ||||
970,000 | IL St Fin Auth Academic Facs Lease Rev Univ of Illinois at Urbana-Champaign Proj, Ser A | 5.00% | 10/01/35 | 1,199,580 | ||||
300,000 | IL St Fin Auth Academic Facs Lease Rev Univ of Illinois at Urbana-Champaign Proj, Ser A | 5.00% | 10/01/36 | 369,921 | ||||
1,000,000 | IL St Fin Auth Rev Centegra Hlth Sys, Ser A | 5.00% | 09/01/39 | 1,134,570 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$500,000 | IL St Fin Auth Rev Loc Govt Program E Prairie Sch Dist #73 Proj, BAM | 5.00% | 12/01/30 | $612,840 | ||||
70,000 | IL St Fin Auth Rev Ref Lifespace Cmntys, Ser A | 5.00% | 05/15/24 | 78,749 | ||||
845,000 | IL St Fin Auth Rev Ref Mercy Hlth System Obligated Grp | 5.00% | 12/01/33 | 983,098 | ||||
35,000 | IL St Fin Auth Rev Ref Presbyterian Homes Obligated Grp, Ser A | 5.00% | 11/01/24 | 40,150 | ||||
1,010,000 | IL St Fin Auth Rev Sthrn IL Hlth Care, Ser A | 5.00% | 03/01/47 | 1,161,328 | ||||
600,000 | IL St Fin Auth Student Hsg & Academic Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/26 | 697,422 | ||||
500,000 | IL St Fin Auth Student Hsg & Academic Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/27 | 589,530 | ||||
315,000 | IL St Fin Auth Student Hsg & Academic Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/32 | 365,224 | ||||
300,000 | IL St Ref | 4.00% | 08/01/25 | 310,731 | ||||
85,000 | IL St Ref, Ser B | 5.00% | 10/01/24 | 94,780 | ||||
485,000 | IL St, Ser A | 4.00% | 01/01/25 | 498,929 | ||||
1,500,000 | IL St, Ser A | 5.00% | 12/01/26 | 1,723,845 | ||||
795,000 | IL St, Ser D | 5.00% | 11/01/24 | 887,856 | ||||
20,000 | IL St, Ser D | 5.00% | 11/01/26 | 22,741 | ||||
1,500,000 | Morton Grove IL Tax Incr Rev Sawmill Station Redev Proj | 5.00% | 01/01/39 | 1,522,125 | ||||
1,000,000 | Piatt Champaign & De Witt Cntys IL Cmnty Unit Sch Dist #25 Ref, Ser B, BAM | 5.00% | 11/01/33 | 1,177,430 | ||||
645,000 | Rockford IL Ref Wtrwks Sys, Ser B, BAM | 5.00% | 12/15/26 | 769,253 | ||||
110,000 | Romeoville IL Rev Ref Lewis Univ Proj | 5.00% | 10/01/24 | 123,576 | ||||
125,000 | Romeoville IL Rev Ref Lewis Univ Proj | 5.00% | 10/01/25 | 141,985 | ||||
3,000,000 | Univ of Illinois IL Ref Fauxiliary Facs Sys, Ser A, AGM | 4.00% | 04/01/36 | 3,329,340 | ||||
37,840,252 | ||||||||
Indiana – 1.3% | ||||||||
1,920,000 | Carmel IN Loc Pub Impt Bond Bank Multipurpose | 5.00% | 07/15/34 | 2,284,934 | ||||
1,425,000 | Carmel IN Loc Pub Impt Bond Bank Spl Program Wtrwks | 5.00% | 06/01/26 | 1,728,553 | ||||
1,000,000 | Evansville IN Mf Hsg Rev Silver Birch Evansville Proj | 5.45% | 01/01/38 | 1,054,430 | ||||
250,000 | Fort Wayne IN Mf Hsg Rev Silver Birch at Cook Road (b) | 5.30% | 01/01/32 | 264,108 | ||||
465,000 | IN St Fin Auth Hosp Rev Goshen Hlth, Ser A | 4.00% | 11/01/36 | 520,172 | ||||
110,000 | IN St Fin Auth Rev BHI Sr Living | 5.50% | 11/15/31 | 117,121 | ||||
800,000 | IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Academy Proj, Ser A (e) | 5.25% | 07/01/28 | 862,448 | ||||
1,000,000 | IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Academy Proj, Ser A (e) | 5.88% | 07/01/38 | 1,064,420 | ||||
20,000 | IN St Fin Auth Rev Greencroft Oblig Grp, Ser A | 5.00% | 11/15/23 | 21,922 | ||||
460,000 | IN St Fin Auth Rev Greencroft Oblig Grp, Ser A | 5.75% | 11/15/28 | 511,750 | ||||
55,000 | IN St Fin Auth Rev Greencroft Oblig Grp, Ser A | 6.00% | 11/15/28 | 61,932 | ||||
500,000 | IN St Fin Auth Rev Marian Univ Proj, Ser A | 5.00% | 09/15/34 | 603,650 | ||||
275,000 | IN St Fin Auth Rev Ref Rev Cmnty Fdtn of NW IN | 5.00% | 09/01/31 | 327,327 | ||||
3,455,000 | IN St Hsg & Cmnty Dev Auth Sf Mtge Rev Non Ace Variable, Ser C-3, AMT (a) | 1.35% | 07/01/47 | 3,455,000 | ||||
500,000 | Mishawaka IN Mf Hsg Rev Silver Birch Mishawaka Proj (b) | 5.10% | 01/01/32 | 518,225 | ||||
1,700,000 | Plainfield IN Mf Hsg Rev Glasswater Creek Proj | 5.38% | 09/01/38 | 1,756,015 | ||||
15,152,007 | ||||||||
Iowa – 1.1% | ||||||||
2,385,000 | Coralville IA Ref, Ser A | 5.00% | 05/01/38 | 2,517,033 | ||||
985,000 | IA St Fin Auth Sr Hsg Rev Northcrest Inc Proj, Ser A | 5.00% | 03/01/28 | 1,097,566 | ||||
1,000,000 | IA St Fin Auth Sr Hsg Rev Northcrest Inc Proj, Ser A | 5.00% | 03/01/33 | 1,103,870 | ||||
6,300,000 | Pefa Inc IA Gas Proj Rev (Mandatory put 09/01/26) | 5.00% | 09/01/49 | 7,412,076 | ||||
12,130,545 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Kansas – 1.7% | ||||||||
$2,000,000 | Goddard KS Sales Tax Spl Oblg Rev Ref Olympic Park Star Bond Proj | 3.60% | 06/01/30 | $1,980,960 | ||||
4,210,000 | Johnson & Miami Cntys KS Unif Sch Dist #230 Spring Hill, Ser A | 5.00% | 09/01/35 | 5,144,410 | ||||
1,240,000 | KS Muni Energy Agy Pwr Proj Rev Dogwood Proj, Ser A, BAM | 5.00% | 04/01/29 | 1,485,408 | ||||
1,470,000 | KS Muni Energy Agy Pwr Proj Rev Dogwood Proj, Ser A, BAM | 5.00% | 04/01/30 | 1,751,770 | ||||
500,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/31 | 570,035 | ||||
625,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/32 | 710,406 | ||||
575,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/33 | 652,159 | ||||
500,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/34 | 565,830 | ||||
525,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/35 | 592,583 | ||||
600,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/36 | 675,558 | ||||
1,045,000 | Lenexa KS Hlth Care Fac Rev Ref Lakeview Vlg Inc, Ser A | 5.00% | 05/15/26 | 1,204,227 | ||||
2,800,000 | Sedgwick Cnty KS Unif Sch Dist #260 Ref & Sch Bldg, Ser B | 4.00% | 10/01/38 | 3,125,892 | ||||
150,000 | Wyandotte Cnty KS Unif Sch Dist #202, Ser A, AGM | 5.00% | 09/01/32 | 182,478 | ||||
475,000 | Wyandotte Cnty/Kansas City KS Unif Govt Utility Sys Rev Ref & Impt, Ser A | 5.00% | 09/01/29 | 546,725 | ||||
19,188,441 | ||||||||
Kentucky – 2.0% | ||||||||
2,350,000 | Bowling Green KY Wtr & Swr Rev, AGM | 4.00% | 06/01/32 | 2,625,044 | ||||
1,000,000 | Estrn KY Univ Gen Recpts, Ser A | 5.00% | 04/01/25 | 1,177,830 | ||||
145,000 | KY St Econ Dev Fin Auth Baptist Hlth Care Sys, Ser B | 5.00% | 08/15/28 | 173,843 | ||||
275,000 | KY St Econ Dev Fin Auth Baptist Hlth Care Sys, Ser B | 5.00% | 08/15/36 | 321,106 | ||||
3,000,000 | KY St Econ Dev Fin Auth Baptist Hlth Care Sys, Ser B | 5.00% | 08/15/41 | 3,472,380 | ||||
160,000 | KY St Econ Dev Fin Auth Hlth Sys Rev Norton Hlth Care Inc, Ser B, NATL-RE | (d) | 10/01/25 | 139,677 | ||||
750,000 | KY St Econ Dev Fin Auth Owensboro Med Hlth Sys, Ser A | 6.00% | 06/01/30 | 770,385 | ||||
625,000 | KY St Econ Dev Fin Auth Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/38 | 682,369 | ||||
730,000 | KY St Econ Dev Fin Auth Ref Commonspirit Hlth, Ser A-2 | 5.00% | 08/01/35 | 883,621 | ||||
895,000 | KY St Econ Dev Fin Auth Ref Commonspirit Hlth, Ser A-2 | 5.00% | 08/01/36 | 1,080,193 | ||||
300,000 | KY St Muni Pwr Agy Pwr Sys Rev Ref, Ser A, NATL-RE | 5.00% | 09/01/22 | 328,509 | ||||
3,870,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser B (Mandatory put 01/01/25) | 4.00% | 01/01/49 | 4,282,542 | ||||
1,545,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A-1 (Mandatory put 06/01/25) | 4.00% | 12/01/49 | 1,716,387 | ||||
3,315,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlth Care Inc, Ser A | 5.00% | 10/01/30 | 3,971,503 | ||||
550,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlth Care Inc, Ser A | 5.00% | 10/01/31 | 656,117 | ||||
130,000 | Warren Cnty KY Hosp Rev Ref Bowling Green Warren Cnty Cmnty Hosp Corp | 5.00% | 04/01/23 | 141,447 | ||||
22,422,953 | ||||||||
Louisiana – 1.3% | ||||||||
1,000,000 | LA Pub Facs Auth Rev Ref Ochsner Clinic Fdtn Proj | 5.00% | 05/15/36 | 1,172,440 | ||||
250,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Ascension Psh Courthouse Proj | 5.00% | 11/01/31 | 303,815 | ||||
1,700,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Ref Hosp Womans Fdtn Proj, Ser A | 5.00% | 10/01/37 | 2,028,525 | ||||
470,000 | LA Stadium & Exposition Dist LA Ref Sr, Ser A | 5.00% | 07/01/30 | 524,849 | ||||
380,000 | LA Stadium & Exposition Dist LA Ref Sr, Ser A | 5.00% | 07/01/31 | 424,053 | ||||
200,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/31 | 237,086 | ||||
1,160,000 | New Orleans LA Aviation Brd, Ser B, AMT | 5.00% | 01/01/31 | 1,321,971 | ||||
1,305,000 | New Orleans LA Wtr Rev | 5.00% | 12/01/34 | 1,510,042 | ||||
1,050,000 | New Orleans LA Wtr Rev Ref | 5.00% | 12/01/28 | 1,207,836 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Louisiana (Continued) | ||||||||
$1,000,000 | Saint John The Baptist Parish LA Rev Ref Marathon Oil Corp Proj, Ser A-2 (Mandatory put 07/01/24) | 2.10% | 06/01/37 | $1,003,360 | ||||
625,000 | Shreveport LA Wtr & Swr Rev Junior Lien, Ser B, AGM | 5.00% | 12/01/32 | 774,219 | ||||
1,650,000 | Shreveport LA Wtr & Swr Rev, Ser B, BAM | 5.00% | 12/01/30 | 1,895,998 | ||||
2,000,000 | Shreveport LA Wtr & Swr Rev, Ser B, BAM | 5.00% | 12/01/33 | 2,393,020 | ||||
14,797,214 | ||||||||
Maryland – 1.5% | ||||||||
1,120,000 | Baltimore MD Rev Ref Sr, Ser B | 5.00% | 07/01/33 | 1,306,346 | ||||
1,000,000 | Baltimore MD Spl Oblig Ref E Baltimore Research Park Proj, Ser A | 5.00% | 09/01/38 | 1,108,350 | ||||
100,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (b) | 2.75% | 06/01/24 | 100,298 | ||||
125,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (b) | 2.80% | 06/01/25 | 125,449 | ||||
135,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (b) | 2.85% | 06/01/26 | 135,563 | ||||
1,000,000 | Gaithersburg MD Econ Dev Rev Ref Proj Asbury MD Oblig Grp, Ser A | 4.50% | 01/01/25 | 1,118,790 | ||||
1,000,000 | Howard Cnty MD Retmnt Cmnty Rev Ref Columbia Vantage House Corp | 5.00% | 04/01/36 | 1,094,380 | ||||
85,000 | Howard Cnty MD Retmnt Cmnty Rev Ref Vantage House Fac | 5.00% | 04/01/21 | 87,048 | ||||
500,000 | Howard Cnty MD Retmnt Cmnty Rev Ref Vantage House Fac | 5.00% | 04/01/26 | 542,555 | ||||
220,000 | MD St Econ Dev Corp Econ Dev Rev Transprtn Facs Proj, Ser A | 5.38% | 06/01/25 | 225,271 | ||||
600,000 | MD St Econ Dev Corp Student Hsg Rev Ref Sr Univ MD Proj | 4.00% | 07/01/24 | 639,948 | ||||
2,490,000 | MD St Econ Dev Corp Student Hsg Rev Ref Univ MD Clg Park Projs, AGM | 5.00% | 06/01/35 | 2,942,981 | ||||
500,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Adventist Hlth Care Obligated Grp, Ser A | 5.50% | 01/01/26 | 604,240 | ||||
800,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Anne Arundel Hlth System, Ser A | 5.00% | 07/01/30 | 969,864 | ||||
1,000,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Anne Arundel Hlth System, Ser A | 5.00% | 07/01/32 | 1,203,400 | ||||
790,000 | MD St Ref, Ser B | 5.00% | 08/01/24 | 928,368 | ||||
2,650,000 | MD St St & Loc Facs Loan of 2013-1st, Ser A | 5.00% | 03/01/23 | 2,785,176 | ||||
1,500,000 | Prince Georges Cnty MD Rev Ref Collington Episcopal Life Care Cmnty Inc | 5.00% | 04/01/25 | 1,640,085 | ||||
17,558,112 | ||||||||
Massachusetts – 2.1% | ||||||||
925,000 | Ludlow MA | 4.00% | 02/01/32 | 1,051,087 | ||||
960,000 | Ludlow MA | 4.00% | 02/01/33 | 1,086,614 | ||||
10,130,000 | MA St Bay Transprtn Auth Variable Gen Transprtn Sys, Ser A2 (a) | 1.08% | 03/01/30 | 10,130,000 | ||||
250,000 | MA St Dev Fin Agy Rev Linden Ponds Inc Fac (b) | 5.00% | 11/15/28 | 289,705 | ||||
325,000 | MA St Dev Fin Agy Rev Merrimack Clg | 5.00% | 07/01/37 | 370,936 | ||||
500,000 | MA St Dev Fin Agy Rev Ref Newbridge Charles Inc (b) | 5.00% | 10/01/37 | 554,165 | ||||
700,000 | MA St Dev Fin Agy Rev Umass Boston Student Hsg Proj | 5.00% | 10/01/24 | 803,908 | ||||
3,000,000 | MA St Dev Fin Agy Rev Umass Boston Student Hsg Proj | 5.00% | 10/01/41 | 3,413,340 | ||||
2,000,000 | MA St Port Auth Spl Facs Rev Ref Bosfuel Proj, Ser A, AMT | 5.00% | 07/01/33 | 2,474,220 | ||||
3,425,000 | MA St, Ser A | 5.00% | 03/01/41 | 3,873,846 | ||||
24,047,821 | ||||||||
Michigan – 2.9% | ||||||||
240,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/32 | 270,166 | ||||
500,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/33 | 562,025 | ||||
735,000 | Grand Traverse Cnty MI Hosp Fin Auth Munson Hlth Care Obligated Grp, Ser A | 5.00% | 07/01/44 | 857,061 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Michigan (Continued) | ||||||||
$4,500,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Ref Second Lien, Ser D | 5.00% | 07/01/36 | $5,288,355 | ||||
1,125,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Ref Sr Lien, Ser C | 5.00% | 07/01/28 | 1,359,551 | ||||
1,995,000 | Kalamazoo MI Econ Dev Corp Ref Heritage Cmnty of Kalamazoo Proj | 5.00% | 05/15/32 | 2,274,160 | ||||
1,100,000 | Kalamazoo MI Econ Dev Corp Ref Heritage Cmnty of Kalamazoo Proj | 5.00% | 05/15/37 | 1,232,913 | ||||
1,000,000 | Marquette MI Brd of Light & Pwr Elec Utility Sys Rev Ref, Ser A | 5.00% | 07/01/29 | 1,197,680 | ||||
890,000 | MI St Fin Auth Ltd Oblig Rev Ref Clg for Creative Studies Proj | 5.00% | 12/01/25 | 990,623 | ||||
325,000 | MI St Fin Auth Rev Loc Govt Loan Program Great Lakes Wtr Auth Ref, Ser C | 5.00% | 07/01/27 | 383,880 | ||||
2,050,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 4.00% | 11/15/35 | 2,259,920 | ||||
2,105,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 4.00% | 11/15/36 | 2,315,290 | ||||
2,905,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 5.00% | 11/15/41 | 3,403,992 | ||||
1,000,000 | MI St Fin Auth Rev Ref Loc Govt Loan Program Great Lakes Wtr Auth, Ser D-1 | 5.00% | 07/01/34 | 1,165,180 | ||||
500,000 | MI St Fin Auth Rev Ref Loc Govt Loan Program, Ser F1 | 3.80% | 10/01/22 | 521,685 | ||||
125,000 | MI St Fin Auth Rev Ref Loc Govt Loan Program, Ser F1 | 3.88% | 10/01/23 | 132,428 | ||||
565,000 | MI St Hosp Fin Auth Ref Ascenion Sr Credit, Ser F7 | 5.00% | 11/15/47 | 660,598 | ||||
1,000,000 | MI St Univ Rev Brd of Trustees, Ser B | 5.00% | 02/15/34 | 1,260,300 | ||||
650,000 | Midland MI Pub Schs Sch Bldg & Site, Ser II | 5.00% | 05/01/35 | 811,642 | ||||
1,990,000 | Utica MI Cmnty Schs Ref Sch Bldg & Site | 5.00% | 05/01/31 | 2,361,075 | ||||
2,800,000 | Wayne Cnty MI Arpt Auth Rev Ref, Ser F, AMT | 5.00% | 12/01/25 | 3,341,716 | ||||
32,650,240 | ||||||||
Minnesota – 0.9% | ||||||||
370,000 | Duluth MN Indep Sch Dist #709 Ref, Ser B, COPS | 5.00% | 02/01/27 | 450,590 | ||||
480,000 | Hugo MN Chtr Sch Lease Rev Noble Academy Proj, Ser A | 4.00% | 07/01/22 | 495,504 | ||||
400,000 | Minneapolis MN Mf Rev Riverside Home Proj, Ser B (Mandatory put 05/01/20) | 3.75% | 11/01/21 | 400,108 | ||||
750,000 | MN St Hgr Edu Facs Auth Rev Ref Clg of St Scholastica Inc | 4.00% | 12/01/40 | 826,748 | ||||
1,000,000 | North Oaks MN Sr Hsg Rev Ref Waverly Gardens Proj | 5.00% | 10/01/28 | 1,136,980 | ||||
1,000,000 | Rochester MN Hlth Care & Hsg Rev Ref Samaritan Bethany Inc Proj, Ser A | 5.00% | 08/01/37 | 1,067,700 | ||||
580,000 | Saint Paul MN Hsg & Redev Auth Hlth Care Fac Rev Ref HealthPartners Oblig Grp, Ser A | 5.00% | 07/01/30 | 674,122 | ||||
500,000 | Saint Paul MN Hsg & Redev Auth Hlth Care Fac Rev Ref HealthPartners Oblig Grp, Ser A | 5.00% | 07/01/32 | 574,675 | ||||
3,420,000 | Saint Paul MN Hsg & Redev Auth Hlth Care Fac Rev Ref HealthPartners Oblig Grp, Ser A | 5.00% | 07/01/33 | 3,914,224 | ||||
500,000 | Saint Paul Park MN Sr Hsg & Hlth Care Rev Ref Presbyterian Homes Bloomington Proj | 3.00% | 09/01/24 | 517,045 | ||||
400,000 | Saint Paul Park MN Sr Hsg & Hlth Care Rev Ref Presbyterian Homes Bloomington Proj | 3.13% | 09/01/25 | 415,352 | ||||
10,473,048 | ||||||||
Mississippi – 0.6% | ||||||||
600,000 | MS St Gaming Tax Rev, Ser A | 5.00% | 10/15/31 | 754,752 | ||||
2,000,000 | MS St, Ser A | 5.00% | 11/01/33 | 2,421,060 | ||||
985,000 | MS St, Ser B | 5.00% | 12/01/32 | 1,196,637 | ||||
500,000 | West Rankin MS Utility Auth Rev, AGM | 5.00% | 01/01/32 | 578,020 | ||||
1,215,000 | West Rankin MS Utility Auth Rev, AGM | 5.00% | 01/01/33 | 1,401,831 | ||||
6,352,300 | ||||||||
Missouri – 1.7% | ||||||||
220,000 | Jackson Cnty MO Spl Oblig Ref Truman Sports Complex Proj | 5.00% | 12/01/22 | 244,147 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Missouri (Continued) | ||||||||
$700,000 | Jackson Cnty MO Spl Oblig Ref Truman Sports Complex Proj | 5.00% | 12/01/31 | $810,635 | ||||
1,670,000 | Joplin MO Indl Dev Auth Hlth Facs Rev Ref Freeman Hlth System | 5.00% | 02/15/26 | 1,905,771 | ||||
5,525,000 | Kansas City MO Indl Dev Auth Arpt Spl Oblig KS City Intrnl Arpt Terminal Mod Proj, Ser B, AGM, AMT | 5.00% | 03/01/49 | 6,584,971 | ||||
1,000,000 | Kansas City MO Land Clearance Redev Auth Proj Rev Convention Ctr Hotel Proj Tif Fing, Ser B (b) | 5.00% | 02/01/40 | 1,104,280 | ||||
220,000 | Lincoln Cnty MO Pub Wtr Sply Dist #1 Ref, COPS | 4.00% | 07/01/30 | 246,046 | ||||
415,000 | Lincoln Cnty MO Pub Wtr Sply Dist #1 Ref, COPS | 4.00% | 07/01/31 | 461,663 | ||||
1,000,000 | Lincoln Cnty MO Pub Wtr Sply Dist #1 Ref, COPS | 4.00% | 07/01/38 | 1,092,230 | ||||
3,000,000 | MO Jt Muni Elec Utility Commn Pwr Proj Rev Ref, Ser A | 5.00% | 12/01/40 | 3,520,440 | ||||
200,000 | MO St Dev Fin Brd Infrastructure Facs Rev Ref Independence MO Centerpoint Proj, Ser B | 5.00% | 04/01/28 | 232,450 | ||||
750,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Mosaic Hlth Sys, Ser A | 5.00% | 02/15/32 | 943,852 | ||||
160,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs | 5.00% | 02/01/23 | 176,067 | ||||
500,000 | MO St Hlth & Eductnl Facs Auth Sr Living Facs Lutheran Sr | 5.38% | 02/01/35 | 504,850 | ||||
250,000 | Saint Charles Cnty MO Pub Wtr Sply Dist #2 Ref, COPS | 5.00% | 12/01/28 | 298,695 | ||||
1,040,000 | Saint Louis MO Muni Fin Corp Sales Tax Leasehold Rev Ref | 5.00% | 02/15/28 | 1,230,778 | ||||
19,356,875 | ||||||||
Montana – 0.3% | ||||||||
740,000 | MT St Fac Fin Auth Rev Ref | 5.00% | 02/15/25 | 868,331 | ||||
130,000 | MT St Fac Fin Auth Rev Ref | 5.00% | 02/15/29 | 156,244 | ||||
2,000,000 | MT St Fac Fin Auth Rev Ref Scl Hlth Sys, Ser A | 4.00% | 01/01/36 | 2,305,920 | ||||
3,330,495 | ||||||||
Nebraska – 0.9% | ||||||||
1,745,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/27 | 1,896,082 | ||||
5,370,000 | Centrl Plains Energy Proj NE Gas Proj Rev Ref Proj #3, Ser A | 5.00% | 09/01/29 | 6,657,350 | ||||
545,000 | Madison Cnty NE Hosp Auth #1 Ref Faith Regl Hlth Svcs Proj | 5.00% | 07/01/28 | 646,207 | ||||
500,000 | NE St Pub Pwr Dist Rev Gen, Ser C | 5.00% | 01/01/35 | 590,820 | ||||
9,790,459 | ||||||||
Nevada – 0.7% | ||||||||
750,000 | Carson City NV Hosp Rev Ref Carson Tahoe Regl Med Ctr, Ser A | 5.00% | 09/01/30 | 899,085 | ||||
1,685,000 | Clark Cnty NV Detention Ctr | 4.00% | 06/01/35 | 1,937,683 | ||||
1,045,000 | Clark Cnty NV Impt Dist Ref Spl Loc Impt #151 | 4.50% | 08/01/23 | 1,111,859 | ||||
430,000 | Las Vegas NV Spl Impt Dist #808 & #810 Ref | 5.00% | 06/01/22 | 456,634 | ||||
120,000 | North Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 3.50% | 06/01/24 | 123,322 | ||||
150,000 | North Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 3.75% | 06/01/25 | 156,202 | ||||
185,000 | North Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 3.75% | 06/01/26 | 192,996 | ||||
260,000 | North Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 3.75% | 06/01/27 | 270,969 | ||||
335,000 | NV Dept of Business & Industry NV Doral Academy, Ser A (b) | 5.00% | 07/15/27 | 372,058 | ||||
300,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/29 | 364,935 | ||||
950,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/30 | 1,150,146 | ||||
275,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/31 | 331,793 | ||||
7,367,682 | ||||||||
New Hampshire – 0.4% | ||||||||
1,000,000 | National Fin Auth NH Sol Wst Disp Rev Variable Ref Wst Mgmt Inc Proj, Ser A-1, AMT (Mandatory put 07/01/24) | 2.15% | 09/01/25 | 1,007,980 | ||||
2,740,000 | NH St Hlth & Edu Facs Auth Rev Concord Hosp Trust | 5.00% | 10/01/42 | 3,257,531 | ||||
4,265,511 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New Jersey – 2.2% | ||||||||
$450,000 | NJ St Econ Dev Auth Mtr Vehcl Surcharge Rev Ref Sub, Ser A, BAM | 5.00% | 07/01/28 | $545,148 | ||||
500,000 | NJ St Econ Dev Auth Ref, Ser A, BAM | 5.00% | 06/15/23 | 558,290 | ||||
2,965,000 | NJ St Econ Dev Auth Rev, Ser WW | 5.00% | 06/15/34 | 3,325,366 | ||||
490,000 | NJ St Econ Dev Auth Spl Fac Rev Ref Port Newark Container Terminal LLC Proj, AMT | 5.00% | 10/01/25 | 573,241 | ||||
1,000,000 | NJ St Hlth Care Facs Fing Auth Rev Ref Hackensack Meridian Hlth, Ser A | 5.00% | 07/01/24 | 1,164,380 | ||||
100,000 | NJ St Transit Corp, Ser A, GANS | 5.00% | 09/15/21 | 106,580 | ||||
1,240,000 | NJ St Transprtn Trust Fund Auth Cap Apprec Transprtn Sys, Ser C, AMBAC | (d) | 12/15/25 | 1,083,847 | ||||
165,000 | NJ St Transprtn Trust Fund Auth Fed Hwy Reimbursement Nts, Ser A-1, GARVEE | 5.00% | 06/15/28 | 194,456 | ||||
500,000 | NJ St Transprtn Trust Fund Auth Ref Transprtn Sys, Ser A | 5.00% | 12/15/30 | 592,550 | ||||
3,040,000 | NJ St Transprtn Trust Fund Auth Ref Transptrn Sys, Ser A | 5.00% | 12/15/26 | 3,601,336 | ||||
400,000 | NJ St Transprtn Trust Fund Auth Transprtn Program, Ser AA | 4.00% | 06/15/27 | 417,128 | ||||
1,400,000 | NJ St Transprtn Trust Fund Auth Transprtn Sys, Ser D | 5.25% | 12/15/23 | 1,597,134 | ||||
105,000 | NJ St Transprtn Trust Fund Auth Transprtn Sys, Ser D | 5.00% | 12/15/24 | 121,121 | ||||
1,500,000 | NJ St Transprtn Trust Fund Auth, Ser BB | 5.00% | 06/15/30 | 1,781,985 | ||||
220,000 | NJ St Transprtn Trust Fund Auth, Ser BB | 5.00% | 06/15/31 | 259,954 | ||||
500,000 | NJ St Transprtn Trust Fund Auth, Ser BB | 5.00% | 06/15/32 | 588,035 | ||||
1,000,000 | NJ St Transprtn Trust Fund Auth, Ser BB | 5.00% | 06/15/33 | 1,171,220 | ||||
500,000 | Tobacco Settlement Fing Corp NJ Ref, Ser A | 5.00% | 06/01/27 | 608,685 | ||||
5,505,000 | Tobacco Settlement Fing Corp NJ Ref, Ser A | 5.00% | 06/01/46 | 6,273,828 | ||||
24,564,284 | ||||||||
New Mexico – 0.3% | ||||||||
600,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.00% | 10/01/23 | 611,358 | ||||
230,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.20% | 10/01/24 | 238,459 | ||||
240,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.30% | 10/01/25 | 250,553 | ||||
250,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.45% | 10/01/26 | 263,045 | ||||
260,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.55% | 10/01/27 | 275,208 | ||||
365,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 5.00% | 10/01/33 | 397,525 | ||||
520,000 | Santa Fe NM Retmnt Fac Rev El Castillo Retmnt Proj, Ser A | 5.00% | 05/15/34 | 589,368 | ||||
500,000 | Santa Fe NM Retmnt Fac Rev El Castillo Retmnt Proj, Ser A | 5.00% | 05/15/44 | 553,490 | ||||
3,179,006 | ||||||||
New York – 4.2% | ||||||||
100,000 | Buffalo & Erie Cnty NY Indl Land Dev Corp Rev Ref Orchard Park | 5.00% | 11/15/22 | 108,440 | ||||
115,000 | Buffalo & Erie Cnty NY Indl Land Dev Corp Rev Ref Orchard Park | 5.00% | 11/15/24 | 130,254 | ||||
3,400,000 | Build NYC Resource Corp NY Sol Wst Disp Rev Ref Pratt Paper Inc Proj, AMT (b) | 5.00% | 01/01/35 | 3,744,148 | ||||
1,975,000 | Met Transprtn Auth NY Rev Ref Transptrn, Subser C-1 | 5.00% | 11/15/34 | 2,312,587 | ||||
4,000,000 | Met Transprtn Auth NY Rev Transprtn, Subser A-1 | 5.00% | 11/15/40 | 4,579,240 | ||||
840,000 | Monroe Cnty NY Indl Dev Corp Rev Ref Nazareth Clg of Rochester Proj, Ser A | 5.00% | 10/01/23 | 944,815 | ||||
4,220,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref 2nd Gen Resolution, Subser CC-1 | 4.00% | 06/15/33 | 4,785,142 | ||||
3,550,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev, Ser DD-1 | 4.00% | 06/15/37 | 4,035,107 | ||||
1,000,000 | New York City NY Transitional Fin Auth Rev Future Tax Secured Sub Fiscal 2016, Ser A-1 | 5.00% | 08/01/37 | 1,173,620 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$1,500,000 | New York City NY Transitional Fin Auth Rev Future Tax Sub, Subser E-1 | 5.00% | 02/01/37 | $1,767,990 | ||||
1,350,000 | New York City NY Transitional Fin Auth Rev Sub Future Tax Secured Fiscal 1999, Ser A Subser E-1 | 5.00% | 02/01/36 | 1,627,250 | ||||
5,415,000 | New York City NY Transitional Fin Auth Rev Sub Future Tax Secured Fiscal 1999, Ser A Subser E-1 | 5.00% | 02/01/40 | 6,461,124 | ||||
5,000,000 | New York City NY Transitional Fin Auth Rev Var Future Tax Secured, Subser G-5 (a) | 1.30% | 05/01/34 | 5,000,000 | ||||
500,000 | New York NY Fiscal 2020-Ser B-1 | 4.00% | 10/01/35 | 579,570 | ||||
415,000 | New York NY Fiscal 2020-Ser B-1 | 4.00% | 10/01/37 | 477,113 | ||||
5,000,000 | New York NY Var, Ser I, Subser I-3 (a) | 1.10% | 03/01/44 | 5,000,000 | ||||
300,000 | NY St Dorm Auth Revs Non St Supported Debt Ref Orange Regl Med Ctr (b) | 5.00% | 12/01/25 | 354,234 | ||||
195,000 | NY St Dorm Auth Revs Non St Supported Debt Unrefunded Pace Univ, Ser A | 4.00% | 05/01/22 | 206,784 | ||||
85,000 | NY St Dorm Auth Revs Non St Supported Debt Unrefunded Pace Univ, Ser A | 5.00% | 05/01/23 | 94,836 | ||||
2,850,000 | NY St Dorm Auth St Personal Income Tax Rev Ref, Ser E | 5.00% | 03/15/34 | 3,362,914 | ||||
500,000 | Port Auth of New York & New Jersey NY Consol One Hundred Eighty Fifth Ref, AMT | 5.00% | 09/01/23 | 566,090 | ||||
465,000 | Port Auth of New York & New Jersey NY Ref Consol, Ser 186, AMT | 5.00% | 10/15/35 | 534,536 | ||||
15,000 | Suffolk Cnty NY Econ Dev Corp Rev Prerefunded Catholic Hlth Svcs Long Island Oblig Grp Proj | 5.00% | 07/01/28 | 15,969 | ||||
85,000 | Suffolk Cnty NY Econ Dev Corp Rev Unrefunded Catholic Hlth Svcs Long Island Oblig Grp Proj | 5.00% | 07/01/28 | 90,059 | ||||
47,951,822 | ||||||||
North Carolina – 2.0% | ||||||||
1,775,000 | Charlotte NC Wtr & Swr Sys Rev Ref | 5.00% | 07/01/22 | 1,955,659 | ||||
5,000,000 | Charlotte NC Wtr & Swr Sys Rev Ref | 4.00% | 07/01/36 | 5,560,550 | ||||
575,000 | Charlotte-Mecklenburg NC Hosp Auth Hlth Care Sys Rev Ref Carolinas Hlth Care Sys, Ser A | 5.00% | 01/15/34 | 674,297 | ||||
750,000 | Greenville NC Comb Enterprise Sys Rev Ref | 5.00% | 04/01/28 | 913,665 | ||||
1,330,000 | Monroe NC Comb Enterprise Sys Rev Ref | 5.00% | 03/01/28 | 1,597,383 | ||||
900,000 | NC St Capital Facs Fin Agy Student Rev Ref Hsg NC A&T Univ Fdtn Proj, Ser A, AGC | 5.00% | 06/01/26 | 1,051,425 | ||||
4,000,000 | NC St Med Care Commn Hlth Care Facs Rev Var Novant Hlth Grp, Ser A (a) | 1.13% | 11/01/34 | 4,000,000 | ||||
655,000 | NC St Med Care Commn Retmnt Facs Rev Ref Retmnt Facs First Mtg Rev Bonds Galloway Ridge, Ser A | 5.00% | 01/01/30 | 774,334 | ||||
1,225,000 | NC St Med Care Commn Retmnt Facs Rev Ref Retmnt Facs First Mtg Rev Bonds Galloway Ridge, Ser A | 5.00% | 01/01/39 | 1,412,278 | ||||
630,000 | NC St Med Care Commn Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A | 5.00% | 10/01/29 | 713,809 | ||||
320,000 | NC St Med Care Commn Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A | 5.00% | 10/01/32 | 360,365 | ||||
750,000 | NC St Med Care Commn Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A | 5.00% | 10/01/37 | 837,353 | ||||
500,000 | NC St Med Care Commn Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A | 5.00% | 10/01/47 | 552,880 | ||||
1,500,000 | NC St Med Care Commn Retmnt Facs Rev Twin Lakes Cmnty, Ser A | 5.00% | 01/01/44 | 1,718,730 | ||||
430,000 | Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/36 | 515,549 | ||||
22,638,277 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
North Dakota – 0.1% | ||||||||
$225,000 | Burleigh Cnty ND Hlth Care Rev St Alexius Med Ctr Proj, Ser A | 5.00% | 07/01/22 | $238,763 | ||||
1,300,000 | Grand Forks ND Sr Hsg & Nur Fac Rev Ref Vly Homes Oblig Grp, Ser A | 5.00% | 12/01/23 | 1,396,941 | ||||
1,635,704 | ||||||||
Ohio – 3.5% | ||||||||
135,000 | Butler Cnty OH Hosp Facs Ref Uc Hlth | 5.00% | 11/15/30 | 163,990 | ||||
1,500,000 | Butler Cnty OH Hosp Facs Ref Uc Hlth | 5.00% | 11/15/31 | 1,814,835 | ||||
1,000,000 | Butler Cnty OH Hosp Facs Ref Uc Hlth | 5.00% | 11/15/32 | 1,204,610 | ||||
1,000,000 | Chillicothe OH City Sch Dist Ref, AGM | 4.00% | 12/01/31 | 1,097,920 | ||||
500,000 | Cleveland OH Pub Pwr Sys Rev Ref, Ser A, AGM | 5.00% | 11/15/24 | 585,340 | ||||
600,000 | Cleveland-Cuyahoga Cnty OH Port Auth Cultural Fac Rev Ref Playhouse Sq Fdtn Proj | 5.00% | 12/01/28 | 667,716 | ||||
700,000 | Cleveland-Cuyahoga Cnty OH Port Auth Cultural Fac Rev Ref Playhouse Sq Fdtn Proj | 5.50% | 12/01/43 | 812,756 | ||||
1,255,000 | Columbus OH Swr Rev Ref Sys | 5.00% | 06/01/26 | 1,481,214 | ||||
700,000 | Hamilton Cnty OH Hlth Care Facs Rev Christ Hosp Proj | 5.25% | 06/01/27 | 764,533 | ||||
1,000,000 | Lancaster OH Port Auth Gas Rev Ref, Ser A (Mandatory put 02/01/25) | 5.00% | 08/01/49 | 1,163,040 | ||||
960,000 | Miami Cnty OH Hosp Facs Rev Ref & Impt Kettering Hlth Network Oblig Grp | 5.00% | 08/01/32 | 1,174,963 | ||||
1,000,000 | Miami Cnty OH Hosp Facs Rev Ref & Impt Kettering Hlth Network Oblig Grp | 5.00% | 08/01/33 | 1,219,180 | ||||
3,000,000 | Miami Cnty OH Hosp Facs Rev Ref & Impt Kettering Hlth Network Oblig Grp | 5.00% | 08/01/36 | 3,623,910 | ||||
575,000 | Miamisburg OH City Sch Dist Ref | 5.00% | 12/01/35 | 678,276 | ||||
5,250,000 | OH St Air Quality Dev Auth Exempt Facs Rev, AMT (b) | 5.00% | 07/01/49 | 5,804,295 | ||||
2,225,000 | OH St Air Quality Dev Auth Ref OH Vly Elec Corp Proj, Ser A | 3.25% | 09/01/29 | 2,294,086 | ||||
1,000,000 | OH St Hgr Edu, Ser A | 5.00% | 05/01/33 | 1,174,090 | ||||
1,000,000 | OH St Hgr Eductnl Fac Commn Denison Univ Proj | 5.00% | 11/01/38 | 1,262,240 | ||||
2,000,000 | OH St Spl Oblig, Ser A-2 | 5.00% | 04/01/30 | 2,351,220 | ||||
1,000,000 | OH St Wtr Dev Auth Rev Wtr Dev Fresh Wtr, Ser A | 5.00% | 12/01/21 | 1,079,140 | ||||
2,500,000 | OH St, Ser T | 5.00% | 05/01/32 | 3,091,500 | ||||
5,325,000 | Ross Cnty OH Hosp Rev Ref Adena Hlth Sys Oblig Grp Proj | 5.00% | 12/01/39 | 6,528,823 | ||||
40,037,677 | ||||||||
Oklahoma – 0.9% | ||||||||
900,000 | Catoosa OK Indl Auth Sales Tax Rev | 4.50% | 10/01/32 | 934,605 | ||||
750,000 | OK St Dev Fin Auth Hlth Sys Rev OU Medicine Proj, Ser B | 5.25% | 08/15/48 | 890,565 | ||||
2,815,000 | Oklahoma City OK Arpt Trust Junior Lien, AMT | 5.00% | 07/01/34 | 3,439,142 | ||||
1,000,000 | Oklahoma Cnty OK Fin Auth Eductnl Facs Lease Rev Midwest City De City Pub Schs Proj | 5.00% | 10/01/25 | 1,199,530 | ||||
1,000,000 | Oklahoma Cnty OK Fin Auth Eductnl Facs Lease Rev Midwest City De City Pub Schs Proj | 5.00% | 10/01/26 | 1,222,970 | ||||
1,000,000 | Tulsa Cnty OK Indl Auth Sr Living Cmnty Rev Ref Montereau Inc Proj | 5.00% | 11/15/25 | 1,159,160 | ||||
250,000 | Tulsa Cnty OK Indl Auth Sr Living Cmnty Rev Ref Montereau Inc Proj | 5.00% | 11/15/26 | 292,625 | ||||
100,000 | Tulsa OK Arpts Impt Trust Ref, Ser D, BAM | 5.00% | 06/01/28 | 102,053 | ||||
1,000,000 | Weatherford OK Indl Trust Eductnl Facs Lease Rev Weatherford Pub Schs Proj | 5.00% | 03/01/31 | 1,237,390 | ||||
10,478,040 | ||||||||
Oregon – 2.3% | ||||||||
170,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Sr Living Willamette View Proj, Ser A | 4.00% | 05/15/26 | 187,612 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Oregon (Continued) | ||||||||
$250,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Sr Living Willamette View Proj, Ser A | 5.00% | 11/15/32 | $290,840 | ||||
145,000 | Multnomah Cnty OR Hosp Facs Auth Rev Ref Terwilliger Plaza | 5.00% | 12/01/20 | 147,800 | ||||
4,000,000 | OR St Dept of Admin Svcs Lottery Rev, Ser A | 5.00% | 04/01/34 | 4,900,200 | ||||
2,035,000 | OR St Dept of Admin Svcs Lottery Rev, Ser A | 5.00% | 04/01/35 | 2,487,299 | ||||
2,000,000 | OR St Dept of Transprtn Highway User Tax Rev Ref Sr Lien, Ser C | 5.00% | 11/15/21 | 2,156,200 | ||||
2,500,000 | OR St Dept of Transprtn Highway User Tax Rev Ref, Ser A | 5.00% | 11/15/22 | 2,787,975 | ||||
1,100,000 | OR St Facs Auth Rev Ref Univ Portland, Ser A | 5.00% | 04/01/32 | 1,284,415 | ||||
500,000 | Oregon City OR | 4.00% | 06/01/37 | 573,180 | ||||
1,060,000 | Oregon City OR | 4.00% | 06/01/38 | 1,211,442 | ||||
2,500,000 | Portland OR Swr Sys Rev 2nd Lien, Ser A | 4.50% | 05/01/31 | 2,923,500 | ||||
4,925,000 | Tri-Cnty OR Met Transprtn Dist, Ser A, GARVEE | 5.00% | 10/01/31 | 6,103,602 | ||||
700,000 | Yamhill Cnty OR Hosp Auth Ref Friendsview Retmnt Cmnty, Ser A | 5.00% | 11/15/31 | 790,671 | ||||
25,844,736 | ||||||||
Pennsylvania – 6.5% | ||||||||
500,000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network Obligated Grp Issue, Ser A | 5.00% | 04/01/26 | 601,640 | ||||
1,500,000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network Obligated Grp Issue, Ser A | 5.00% | 04/01/32 | 1,823,580 | ||||
1,200,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Ctr, Ser A | 5.00% | 07/15/32 | 1,510,896 | ||||
505,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Ctr, Ser A | 5.00% | 07/15/34 | 632,492 | ||||
1,000,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Ctr, Ser A | 4.00% | 07/15/36 | 1,128,260 | ||||
1,820,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Ctr, Ser A | 4.00% | 07/15/38 | 2,032,267 | ||||
900,000 | Armstrong PA Sch Dist Ref, Ser A, BAM | 5.00% | 03/15/31 | 1,126,440 | ||||
1,055,000 | Armstrong PA Sch Dist Ref, Ser A, BAM | 4.00% | 03/15/36 | 1,198,638 | ||||
500,000 | Armstrong PA Sch Dist Ref, Ser A, BAM | 4.00% | 03/15/37 | 566,160 | ||||
460,000 | Berks Cnty PA Indl Dev Auth Hlth Care Facs Rev Ref Highlands at Wyomissing, Ser-A | 5.00% | 05/15/32 | 535,274 | ||||
1,050,000 | Bucks Cnty PA Indl Dev Auth Hosp Rev St Luke’s Univ Hlth Network Proj | 4.00% | 08/15/44 | 1,131,669 | ||||
395,000 | Bucks Cnty PA Indl Dev Auth Ref Pennswood Vlg Proj, Ser A | 5.00% | 10/01/32 | 447,847 | ||||
415,000 | Bucks Cnty PA Indl Dev Auth Ref Pennswood Vlg Proj, Ser A | 5.00% | 10/01/33 | 469,892 | ||||
1,000,000 | Bucks Cnty PA Indl Dev Auth Ref Pennswood Vlg Proj, Ser A | 5.00% | 10/01/37 | 1,125,310 | ||||
765,000 | Chester Cnty PA Indl Dev Auth Renaissance Academy Chrt Sch | 5.00% | 10/01/34 | 843,711 | ||||
1,000,000 | Cmwlth Fing Auth PA Tobacco Master Settlement Payment Rev Tobacco Master Settlement Payment Bonds | 5.00% | 06/01/25 | 1,178,710 | ||||
410,000 | Cmwlth Fing Auth PA Tobacco Master Settlement Payment Rev Tobacco Master Settlement Payment Bonds | 5.00% | 06/01/26 | 493,078 | ||||
500,000 | Colonial PA Sch Dist | 5.00% | 02/15/36 | 586,100 | ||||
300,000 | Colonial PA Sch Dist, Ser A | 5.00% | 02/15/34 | 356,211 | ||||
270,000 | Conestoga Vly PA Sch Dist | 4.00% | 02/01/31 | 308,332 | ||||
300,000 | Conestoga Vly PA Sch Dist | 4.00% | 02/01/32 | 340,968 | ||||
300,000 | Cumberland Cnty PA Muni Auth Ref Diakon Lutheran Ministries Proj | 5.00% | 01/01/30 | 335,169 | ||||
700,000 | Cumberland Cnty PA Muni Auth Ref Diakon Lutheran Ministries Proj | 5.00% | 01/01/38 | 768,467 | ||||
1,150,000 | Cumberland Cnty PA Muni Auth Ref Diakon Lutheran Social Ministries | 5.00% | 01/01/25 | 1,301,294 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$1,000,000 | Cumberland Cnty PA Muni Auth Ref Diakon Lutheran Social Ministries | 5.00% | 01/01/33 | $1,127,270 | ||||
1,660,000 | Cumberland Cnty PA Muni Auth Ref Messiah Vlg Proj | 5.00% | 07/01/28 | 1,847,613 | ||||
1,340,000 | Delaware Cnty PA Auth Ref Elwyn Proj | 5.00% | 06/01/27 | 1,503,761 | ||||
1,165,000 | Dover PA Area Sch Dist, BAM | 4.00% | 04/01/32 | 1,314,563 | ||||
770,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/29 | 901,385 | ||||
1,730,000 | Kiski Vly PA Wtr Poll Control Auth Ref, AGM | 4.00% | 09/01/42 | 1,858,228 | ||||
480,000 | Lancaster Cnty PA Hosp Auth Hlth Care Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/30 | 555,638 | ||||
1,110,000 | Lancaster Cnty PA Hosp Auth Hlth Care Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/38 | 1,257,352 | ||||
500,000 | Middletown PA Sch Dist, Ser A | 5.00% | 03/01/28 | 543,910 | ||||
1,000,000 | Montgomery Cnty PA Hgr Edu & Hlth Auth Ref Thomas Jefferson Univ Proj | 4.00% | 09/01/34 | 1,124,200 | ||||
1,000,000 | Montgomery Cnty PA Hgr Edu & Hlth Auth Ref Thomas Jefferson Univ Proj | 4.00% | 09/01/35 | 1,120,680 | ||||
1,005,000 | Montgomery Cnty PA Indl Dev Auth Acts Retmnt Life Cmntys Ref | 5.00% | 11/15/25 | 1,088,164 | ||||
50,000 | Montgomery Cnty PA Indl Dev Auth Acts Retmnt Life Cmntys Ref | 5.00% | 11/15/29 | 53,864 | ||||
2,850,000 | Montgomery Cnty PA Indl Dev Auth Ref Acts Retmnt Life Cmntys Inc Oblig Grp | 5.00% | 11/15/36 | 3,319,794 | ||||
480,000 | Montgomery Cnty PA Indl Dev Auth Ref Meadowood Sr Living Proj, Ser A | 5.00% | 12/01/26 | 561,408 | ||||
100,000 | Montgomery Cnty PA Indl Dev Auth Ref Waverly Heights Ltd Proj | 4.00% | 12/01/33 | 111,065 | ||||
200,000 | Montgomery Cnty PA Indl Dev Auth Ref Waverly Heights Ltd Proj | 4.00% | 12/01/34 | 221,720 | ||||
580,000 | Montgomery Cnty PA Indl Dev Auth Ref Waverly Heights Ltd Proj | 5.00% | 12/01/44 | 671,518 | ||||
140,000 | Northampton Cnty PA Gen Purpose Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/25 | 164,039 | ||||
225,000 | Northampton Cnty PA Gen Purpose Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/26 | 267,705 | ||||
340,000 | Northampton Cnty PA Gen Purpose Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/31 | 395,349 | ||||
1,800,000 | Northampton Cnty PA Gen Purpose Auth Hosp Rev Ref St Luke’s Univ Hlth Network Proj, Ser A | 5.00% | 08/15/28 | 2,152,926 | ||||
1,000,000 | PA St Hgr Eductnl Facs Auth Rev Ref Drexel Univ | 5.00% | 05/01/25 | 1,179,180 | ||||
1,105,000 | PA St Hgr Eductnl Facs Auth Rev Ref Drexel Univ | 5.00% | 05/01/34 | 1,291,170 | ||||
1,000,000 | PA St Turnpike Commn Turnpike Rev Ref | 5.00% | 12/01/33 | 1,155,230 | ||||
4,000,000 | PA St Turnpike Commn Turnpike Rev Ref Sub Mtr License Fund, 2nd Ser | 5.00% | 12/01/41 | 4,763,320 | ||||
2,500,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/36 | 2,921,725 | ||||
550,000 | PA St Turnpike Commn Turnpike Rev Subordinate, Ser A-1 | 5.00% | 12/01/30 | 647,939 | ||||
290,000 | Philadelphia PA Gas Wks Rev Ref | 5.00% | 08/01/25 | 344,445 | ||||
1,625,000 | Philadelphia PA Gas Wks Rev Ref | 5.00% | 08/01/29 | 1,908,530 | ||||
1,000,000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, 14th Ser | 5.00% | 10/01/29 | 1,204,790 | ||||
2,000,000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, 14th Ser | 5.00% | 10/01/34 | 2,374,740 | ||||
5,215,000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, 15th Ser | 5.00% | 08/01/42 | 6,146,190 | ||||
500,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/26 | 611,145 | ||||
500,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/27 | 621,695 | ||||
750,000 | Philadelphia PA Ref, Ser A | 5.25% | 07/15/28 | 860,048 | ||||
2,000,000 | Philadelphia PA, Ser B | 5.00% | 02/01/36 | 2,489,460 | ||||
405,000 | Southcentrl PA General Auth Rev Ref Hanover Hosp Inc | 5.00% | 12/01/23 | 460,299 | ||||
1,970,000 | Westmoreland Cnty PA Muni Auth Ref, BAM | 5.00% | 08/15/42 | 2,281,280 | ||||
74,265,743 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Puerto Rico – 0.5% | ||||||||
$2,618,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.50% | 07/01/34 | $2,797,804 | ||||
387,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (d) | 07/01/27 | 310,049 | ||||
92,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (d) | 07/01/29 | 68,778 | ||||
3,220,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (d) | 07/01/31 | 2,240,573 | ||||
5,417,204 | ||||||||
Rhode Island – 0.5% | ||||||||
150,000 | Providence RI Pub Bldgs Auth Rev, Ser B, AGM | 5.00% | 06/15/31 | 185,996 | ||||
320,000 | Providence RI Pub Bldgs Auth Rev, Ser B, AGM | 5.00% | 06/15/33 | 392,806 | ||||
230,000 | Providence RI Pub Bldgs Auth Rev, Ser B, AGM | 5.00% | 06/15/35 | 279,043 | ||||
1,125,000 | RI St Hlth & Eductnl Bldg Corp Rev Ref Hosp Fing Lifespan Oblig Grp | 5.00% | 05/15/29 | 1,331,156 | ||||
1,460,000 | RI St Hlth & Eductnl Bldg Corp Rev Ref Hosp Fing Lifespan Oblig Grp | 5.00% | 05/15/32 | 1,705,105 | ||||
1,700,000 | RI St Hlth & Eductnl Bldg Corp Rev Ref Hosp Fing Lifespan Oblig Grp | 5.00% | 05/15/39 | 1,949,509 | ||||
5,843,615 | ||||||||
South Carolina – 0.4% | ||||||||
1,000,000 | Greenville SC Hosp Sys Brd Hosp Facs Rev, Ser B | 5.00% | 05/01/30 | 1,134,080 | ||||
150,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 3.13% | 12/01/22 | 152,312 | ||||
1,000,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 5.00% | 12/01/31 | 1,050,660 | ||||
745,000 | Piedmont SC Muni Pwr Agy Elec Rev Ref, Ser A-3 | 5.00% | 01/01/23 | 775,917 | ||||
1,000,000 | SC Jobs Econ Dev Auth Ref Acts Retmnt Life Cmntys Inc Oblig Grp, Ser C | 5.00% | 11/15/47 | 1,147,710 | ||||
500,000 | SC St Jobs Econ Dev Auth Hlth Facs Rev Ref Lutheran Homes of SC Inc | 5.00% | 05/01/42 | 536,810 | ||||
30,000 | SC St Jobs Econ Dev Auth Hosp Rev Ref Palmetto Hlth, Ser A | 5.00% | 08/01/23 | 34,135 | ||||
150,000 | SC St Jobs Econ Dev Auth Hosp Rev Ref Palmetto Hlth, Ser A, AGM | 5.50% | 08/01/24 | 161,190 | ||||
4,992,814 | ||||||||
South Dakota – 0.1% | ||||||||
85,000 | SD St Hlth & Eductnl Facs Auth Ref Sanford Oblig Grp | 5.00% | 11/01/35 | 98,362 | ||||
1,030,000 | SD St Hlth & Eductnl Facs Auth Sanford Oblig Grp, Ser B | 5.00% | 11/01/34 | 1,173,088 | ||||
1,271,450 | ||||||||
Tennessee – 1.5% | ||||||||
250,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Commonspirit Hlth, Ser A-1 | 5.00% | 08/01/34 | 304,000 | ||||
200,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/37 | 219,388 | ||||
825,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Commonspirit Hlth, Ser A-2 | 5.00% | 08/01/34 | 1,003,200 | ||||
325,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Student Hsg CDFI Phase I | 5.00% | 10/01/23 | 364,377 | ||||
120,000 | Jackson TN Hosp Rev Ref West TN Hlth Care, Ser A | 5.00% | 04/01/25 | 142,230 | ||||
300,000 | Jackson TN Hosp Rev Ref West TN Hlth Care, Ser A | 5.00% | 04/01/26 | 363,831 | ||||
600,000 | Memphis Shelby Cnty TN Arpt Auth Arpt Rev Ref, Ser B, AMT | 5.75% | 07/01/23 | 617,634 | ||||
865,000 | Met Govt Nashville & Davidson Cnty TN Elec Rev Sys, Ser A | 5.00% | 05/15/35 | 1,057,177 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Tennessee (Continued) | ||||||||
$1,215,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Lipscomb Univ Proj, Ser A | 5.00% | 10/01/28 | $1,450,819 | ||||
1,385,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Lipscomb Univ Proj, Ser A | 5.00% | 10/01/29 | 1,646,862 | ||||
375,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Lipscomb Univ Proj, Ser A | 5.00% | 10/01/37 | 458,599 | ||||
600,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Trevecca Nazarene Univ Proj | 5.00% | 10/01/29 | 714,426 | ||||
400,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Trevecca Nazarene Univ Proj | 5.00% | 10/01/34 | 477,028 | ||||
700,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Trevecca Nazarene Univ Proj | 5.00% | 10/01/39 | 821,954 | ||||
3,355,000 | TN St Energy Acquisition Corp Gas Rev Proj, Ser A (Mandatory put 05/01/23) | 4.00% | 05/01/48 | 3,577,873 | ||||
50,000 | TN St Energy Acquisition Corp Gas Rev, Ser A | 5.25% | 09/01/22 | 54,848 | ||||
2,660,000 | TN St Energy Acquisition Corp Gas Rev, Ser A | 5.25% | 09/01/26 | 3,185,589 | ||||
16,459,835 | ||||||||
Texas – 10.2% | ||||||||
2,000,000 | Arlington TX Ref | 4.00% | 08/15/31 | 2,316,320 | ||||
450,000 | Austin TX Arpt Sys Rev, AMT | 5.00% | 11/15/33 | 517,374 | ||||
3,870,000 | Austin TX Arpt Sys Rev, Ser B, AMT | 5.00% | 11/15/39 | 4,769,117 | ||||
3,550,000 | Austin TX Wtr & Wstwtr Sys Rev Ref | 5.00% | 11/15/30 | 4,101,989 | ||||
455,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fdtn Proj | 5.00% | 07/15/25 | 520,497 | ||||
435,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fdtn Proj | 5.00% | 07/15/27 | 501,024 | ||||
2,255,000 | Brazoria Cnty TX Toll Road Auth Toll Road Rev Sub Lien, Ser A | 5.00% | 03/01/36 | 2,705,526 | ||||
600,000 | Brd of Managers TX Jt Guadalupe Cnty City of Seguin Hosp Mtg Ref | 5.00% | 12/01/24 | 661,464 | ||||
600,000 | Centrl TX Regl Mobility Auth Rev Ref Sub Lien | 5.00% | 01/01/33 | 655,206 | ||||
850,000 | Centrl TX Regl Mobility Auth Rev Sr Lien, Ser A | 5.00% | 01/01/29 | 992,384 | ||||
500,000 | Clifton TX Hgr Edu Fin Corp Edu Rev Idea Pub Schs | 5.00% | 08/15/32 | 538,035 | ||||
1,390,000 | Clifton TX Hgr Edu Fin Corp Edu Rev, Ser A | 4.00% | 12/01/25 | 1,461,432 | ||||
4,425,000 | Corpus Christi TX Utility Sys Rev Ref Jr Lien | 5.00% | 07/15/33 | 5,465,760 | ||||
2,365,000 | Corpus Christi TX Utility Sys Rev Ref Jr Lien | 5.00% | 07/15/35 | 2,904,362 | ||||
725,000 | Deer Park TX Indep Sch Dist Sch Bldg | 5.00% | 08/15/33 | 875,140 | ||||
600,000 | Deer Park TX Indep Sch Dist Sch Bldg | 5.00% | 08/15/34 | 722,010 | ||||
1,000,000 | Deer Park TX Indep Sch Dist Sch Bldg | 5.00% | 08/15/35 | 1,199,960 | ||||
700,000 | Deer Park TX Indep Sch Dist Sch Bldg | 5.00% | 08/15/36 | 838,166 | ||||
1,700,000 | Everman TX Indep Sch Dist Ref | 4.00% | 02/15/38 | 1,915,628 | ||||
455,000 | Flower Mound TX Spl Assmnt Rev River Walk Pub Impt Dist #1 | 6.13% | 09/01/28 | 470,388 | ||||
2,375,000 | Goose Creek TX Consol Indep Sch Dist, Ser A | 4.00% | 02/15/37 | 2,664,774 | ||||
1,970,000 | Grand Prairie TX, Ser A | 4.00% | 02/15/36 | 2,245,524 | ||||
2,050,000 | Grand Prairie TX, Ser A | 4.00% | 02/15/37 | 2,329,825 | ||||
1,000,000 | Grand Prairie TX, Ser A | 4.00% | 02/15/38 | 1,132,660 | ||||
1,000,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Med Facs Rev Ref Baylor Clg of Med | 4.00% | 11/15/30 | 1,119,120 | ||||
1,100,000 | Harris Cnty TX Ref Sr Lien Toll Road, Ser B | 5.00% | 08/15/36 | 1,286,802 | ||||
2,600,000 | Harris Cnty TX Ref Sr Lien, Ser A | 5.00% | 08/15/36 | 3,089,528 | ||||
1,325,000 | Hays Cnty TX | 4.00% | 02/15/37 | 1,505,863 | ||||
500,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal E Proj, AMT | 4.50% | 07/01/20 | 509,085 | ||||
100,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal E Proj, AMT | 4.75% | 07/01/24 | 108,777 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$1,000,000 | Houston TX Arpt Sys Rev Ref, Ser B-2, AMT | 5.00% | 07/15/20 | $1,022,330 | ||||
1,730,000 | Houston TX Cmnty Clg Ref | 4.00% | 02/15/37 | 1,903,329 | ||||
1,000,000 | Houston TX Hotel Occupancy Tax & Spl Rev Ref Convention & Entertainment Facs Dept | 5.00% | 09/01/32 | 1,243,670 | ||||
1,000,000 | Houston TX Utility Sys Rev Ref 1st Lien, Ser D | 5.00% | 11/15/29 | 1,197,280 | ||||
850,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch (b) | 4.35% | 08/15/25 | 891,191 | ||||
815,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch, Ser A (b) | 4.20% | 08/15/25 | 851,920 | ||||
1,250,000 | Laredo TX Cmnty Clg Dist Combined Fee Rev Ref, BAM | 4.00% | 08/01/33 | 1,393,638 | ||||
1,290,000 | Leander TX Spl Assmnt Rev Crystal Springs Pub Impt Dist Proj Accd Inv (e) | 5.13% | 09/01/38 | 1,351,456 | ||||
500,000 | Liberty Hill TX Indep Sch Dist Ref | 5.00% | 08/01/30 | 607,430 | ||||
700,000 | Lower Colorado River TX Auth Transmission Contract Rev Ref LCRA Transmission Svcs Corp Proj | 5.00% | 05/15/33 | 836,458 | ||||
400,000 | Lower Colorado River TX Auth Transmission Contract Rev Ref LCRA Transmission Svcs Corp Proj | 5.00% | 05/15/37 | 481,904 | ||||
610,000 | Lower Colorado River TX Auth Transmission Contract Rev Ref LCRA Transmission Svcs Corp Proj | 5.00% | 05/15/38 | 732,909 | ||||
1,000,000 | Lower Colorado River TX Auth Transmission Contract Rev Ref LCRA Transmission Svcs Corp Proj | 5.00% | 05/15/40 | 1,196,540 | ||||
1,690,000 | Mesquite TX Indep Sch Dist | 4.00% | 08/15/33 | 1,936,622 | ||||
370,000 | Mission TX Ctfs Oblig, AGM | 5.00% | 02/15/30 | 452,147 | ||||
1,105,000 | Montgomery TX Indep Sch Dist Ref Sch Bldg | 5.00% | 02/15/28 | 1,302,563 | ||||
1,350,000 | N Fort Bend TX Wtr Auth Wtr Sys Rev Ref, Ser A | 4.00% | 12/15/36 | 1,565,379 | ||||
4,000,000 | N Fort Bend TX Wtr Auth Wtr Sys Rev Ref, Ser A | 4.00% | 12/15/37 | 4,606,440 | ||||
2,250,000 | N TX Tollway Auth Rev Ref 2nd Tier, Ser B | 5.00% | 01/01/31 | 2,665,418 | ||||
1,500,000 | N TX Tollway Auth Rev Ref Sys Second Tier, Ser B | 5.00% | 01/01/31 | 1,698,720 | ||||
250,000 | N TX Tollway Auth Rev Ref, Ser A | 5.00% | 01/01/33 | 296,120 | ||||
1,415,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/31 | 1,554,080 | ||||
1,200,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/32 | 1,315,968 | ||||
500,000 | New Hope Cultural Edu Facs Fin Corp TX Student Hsg Rev Chf TX A&M Univ Corpus Christi Island Campus Proj, Ser A | 5.00% | 04/01/29 | 547,530 | ||||
505,000 | Newark Hgr Edu Fin Corp TX Edu Rev Austin Achieve Pub Schs Inc, Ser A | 5.00% | 06/15/32 | 524,129 | ||||
495,000 | Red River TX Hlth Facs Dev Corp Retmnt Fac Rev MRC Crestview, Ser A | 7.75% | 11/15/31 | 559,098 | ||||
2,690,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Ref Baylor Scott & White Hlth Proj, Ser A | 5.00% | 11/15/45 | 3,102,000 | ||||
770,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Retmnt Fac Rev Ref Buckner Retmnt Svcs Inc Proj | 5.00% | 11/15/29 | 915,453 | ||||
525,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Retmnt Fac Rev Temps 50 Buckner Sr Living Ventana Proj, Ser B-3 | 3.88% | 11/15/22 | 525,310 | ||||
1,485,000 | TX St Muni Gas Acquisition & Sply Corp I Gas Sply Rev Sr Lien, Ser A | 5.25% | 12/15/26 | 1,814,180 | ||||
600,000 | TX St Muni Gas Acquisition & Sply Corp III Gas Sply Rev | 5.00% | 12/15/24 | 659,214 | ||||
2,850,000 | TX St Muni Gas Acquisition & Sply Corp III Gas Sply Rev | 5.00% | 12/15/30 | 3,098,235 | ||||
1,180,000 | TX St Muni Gas Acquisition & Sply Corp III Gas Sply Rev | 5.00% | 12/15/31 | 1,281,303 | ||||
5,000,000 | TX St Priv Activity Bond Surface Transprtn Corp Rev Segment 3C Proj, AMT | 5.00% | 06/30/58 | 5,832,700 | ||||
525,000 | TX St Transprtn Commn Central TX Turnpike Sys Rev Ref, Ser B | 5.00% | 08/15/37 | 598,894 | ||||
785,000 | TX St Wtr Dev Brd St Wtr Implementation Fund, Ser A | 5.00% | 04/15/30 | 986,062 | ||||
4,500,000 | TX St Wtr Dev Brd St Wtr Implementation Rev Fund for TX | 4.00% | 10/15/32 | 5,095,800 | ||||
150,000 | Univ of Houston TX Univ Rev Ref, Ser A | 5.00% | 02/15/26 | 183,306 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$3,250,000 | Univ of Houston TX Univ Rev Ref, Ser A | 5.00% | 02/15/31 | $3,887,942 | ||||
1,900,000 | Univ of Houston TX Univ Rev Ref, Ser A | 5.00% | 02/15/35 | 2,254,654 | ||||
1,560,000 | Uptown Dev Auth TX Incr Contract Rev, Ser A | 5.00% | 09/01/36 | 1,779,461 | ||||
500,000 | Viridian TX Muni Mgmt Dist Ref Utility Impt, BAM | 6.00% | 12/01/26 | 610,120 | ||||
155,000 | Viridian TX Muni Mgmt Dist Road Impt, BAM | 5.00% | 12/01/26 | 174,852 | ||||
125,000 | Viridian TX Muni Mgmt Dist Utility Impt, BAM | 5.00% | 12/01/26 | 141,010 | ||||
115,798,505 | ||||||||
Utah – 1.5% | ||||||||
1,180,000 | Grand Cnty Sch Dist Loc Bldg Auth UT, AGM | 5.00% | 12/15/27 | 1,410,513 | ||||
1,370,000 | Grand Cnty Sch Dist Loc Bldg Auth UT, AGM | 5.00% | 12/15/30 | 1,607,517 | ||||
1,400,000 | Grand Cnty Sch Dist Loc Bldg Auth UT, AGM | 5.00% | 12/15/31 | 1,638,364 | ||||
1,515,000 | Grand Cnty Sch Dist Loc Bldg Auth UT, AGM | 5.00% | 12/15/32 | 1,767,884 | ||||
400,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Quest Academy | 5.00% | 04/15/32 | 466,188 | ||||
325,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Quest Academy | 5.00% | 04/15/37 | 374,832 | ||||
500,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Spectrum Academy Proj (b) | 6.00% | 04/15/45 | 504,455 | ||||
1,590,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner Academy Proj, Ser A (b) | 5.00% | 06/15/49 | 1,677,386 | ||||
4,875,000 | UT St Transit Auth Sales Tax Rev Ref Sub, BAM | 5.00% | 12/15/40 | 5,916,398 | ||||
1,145,000 | UT St Transit Auth Sales Tax Rev Ref Sub, Ser A | 5.00% | 06/15/35 | 1,340,337 | ||||
16,703,874 | ||||||||
Vermont – 0.4% | ||||||||
550,000 | Burlington VT Ref Lakeview Garage Proj, Ser A, COPS | 5.00% | 12/01/24 | 637,335 | ||||
745,000 | VT St Econ Dev Auth Mtge Rev Ref Wake Robin Corp Proj, Ser A | 5.00% | 05/01/25 | 820,319 | ||||
585,000 | VT St Econ Dev Auth Mtge Rev Ref Wake Robin Corp Proj, Ser A | 5.00% | 05/01/26 | 649,906 | ||||
2,500,000 | VT St Eductnl & Hlth Bldgs Fing Agy Rev Ref Univ of VT Med Ctr, Ser A | 5.00% | 12/01/33 | 2,963,850 | ||||
5,071,410 | ||||||||
Virginia – 1.3% | ||||||||
1,000,000 | Chesapeake VA Hosp Auth Hosp Fac Rev Ref Chesapeake Regl Med Ctr | 4.00% | 07/01/35 | 1,148,010 | ||||
1,350,000 | Norfolk VA Redev & Hsg Auth Rev Ft Norfolk Retmnt Cmnty Harbors Edge Proj, Ser A | 4.00% | 01/01/29 | 1,435,374 | ||||
1,000,000 | Norfolk VA Redev & Hsg Auth Rev Ft Norfolk Retmnt Cmnty Harbors Edge Proj, Ser A | 5.25% | 01/01/54 | 1,093,120 | ||||
2,000,000 | VA St Pub Bldg Auth Pub Facs Rev, Ser C, AMT | 5.00% | 08/01/33 | 2,402,240 | ||||
1,000,000 | VA St Resources Auth Infrastructure Rev Ref Infrastructure VA Pooled Fing Program, Ser C | 4.00% | 11/01/33 | 1,140,130 | ||||
1,570,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/32 | 1,848,911 | ||||
1,000,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/33 | 1,174,510 | ||||
1,210,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/35 | 1,415,252 | ||||
275,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/36 | 321,046 | ||||
2,365,000 | Wstrn VA Regl Jail Auth Regl Jail Facs Rev Ref | 5.00% | 12/01/34 | 2,879,529 | ||||
14,858,122 | ||||||||
Washington – 2.3% | ||||||||
1,235,000 | Benton Cnty WA Pub Utility Dist #1 Ref | 4.00% | 11/01/36 | 1,376,432 | ||||
1,090,000 | Centrl Puget Sound WA Regl Transit Auth Green Bond, Ser S-1 | 5.00% | 11/01/36 | 1,317,189 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Washington (Continued) | ||||||||
$1,250,000 | Centrl Puget Sound WA Regl Transit Auth Sales & Use Tax Green Bond Ref & Impt, Ser S-1 | 5.00% | 11/01/35 | $1,486,675 | ||||
1,250,000 | Energy NW WA Elec Rev Ref Columbia Generating Sys, Ser A | 5.00% | 07/01/38 | 1,462,925 | ||||
1,500,000 | Energy NW WA Elec Rev Ref, Ser A | 5.00% | 07/01/24 | 1,756,935 | ||||
575,000 | Kalispel Tribe of Indians Priority Dist WA Rev, Ser A (b) | 5.00% | 01/01/32 | 643,517 | ||||
155,000 | Mason Cnty WA Pub Utility Dist #1 Sys | 3.50% | 12/01/21 | 161,184 | ||||
3,000,000 | Seattle WA Drain & Wstwtr Rev Ref | 4.00% | 07/01/36 | 3,405,690 | ||||
270,000 | Skagit Cnty WA Pub Hosp Dist #1 Ref & Impt Skagit Regl Hlth | 4.00% | 12/01/24 | 298,007 | ||||
110,000 | Skagit Cnty WA Pub Hosp Dist #1 Ref & Impt, Ser A | 5.00% | 12/01/22 | 120,816 | ||||
165,000 | Skagit Cnty WA Pub Hosp Dist #1 Skagit Vly Hosp | 5.00% | 12/01/20 | 169,773 | ||||
500,000 | Snohomish Cnty WA Hsg Auth | 5.00% | 04/01/34 | 613,720 | ||||
250,000 | Tacoma WA Elec Sys Rev | 5.00% | 01/01/37 | 300,680 | ||||
35,000 | WA St Hsg Fin Commn Ref Emerald Heights Proj | 5.00% | 07/01/22 | 38,100 | ||||
50,000 | WA St Hsg Fin Commn Ref Emerald Heights Proj | 5.00% | 07/01/28 | 55,252 | ||||
1,000,000 | WA St Hsg Fin Commn Transforming Age Proj, Ser A (b) | 5.00% | 01/01/44 | 1,095,180 | ||||
2,500,000 | WA St Ref R-2015D | 5.00% | 07/01/32 | 2,909,825 | ||||
3,000,000 | WA St, Ser 2020A | 5.00% | 08/01/35 | 3,815,280 | ||||
4,000,000 | WA St, Ser B | 5.00% | 02/01/36 | 4,638,400 | ||||
25,665,580 | ||||||||
West Virginia – 0.2% | ||||||||
2,250,000 | Roane Cnty Bldg Commn WV Ref Roane General Hosp, BANS | 2.55% | 11/01/21 | 2,252,497 | ||||
Wisconsin – 2.3% | ||||||||
1,315,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Academy Las Vegas Proj, Ser A (b) | 4.20% | 07/15/27 | 1,402,461 | ||||
1,250,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Academy Las Vegas Proj, Ser A (b) | 5.13% | 07/15/37 | 1,373,562 | ||||
1,945,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 4.00% | 07/01/27 | 2,077,785 | ||||
620,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/37 | 676,377 | ||||
425,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/34 | 505,104 | ||||
1,000,000 | Pub Fin Auth WI Exempt Facs Rev Ref Celanese Proj, Ser B, AMT | 5.00% | 12/01/25 | 1,149,190 | ||||
385,000 | Pub Fin Auth WI Retmnt Fac Rev Ref Whitestone Retmnt Facs 1st Mortgage Rev Bonds (b) | 4.00% | 03/01/27 | 411,704 | ||||
1,000,000 | Pub Fin Auth WI Retmnt Fac Rev Southminster (b) | 5.00% | 10/01/43 | 1,108,970 | ||||
1,455,000 | Pub Fin Auth WI Rev Ref Retmnt Hsg Fdtn Obligated Grp, Ser B | 5.00% | 11/15/26 | 1,684,279 | ||||
1,300,000 | WI St Gen Fund Annual Approp Rev Ref, Ser B | 5.00% | 05/01/34 | 1,557,270 | ||||
3,650,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Ascension Hlth Credit Grp, Ser A | 5.00% | 11/15/36 | 4,320,979 | ||||
1,000,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Ascension Hlth Credit Grp, Ser A | 5.00% | 11/15/39 | 1,169,970 | ||||
500,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Marquette Univ | 5.00% | 10/01/28 | 549,305 | ||||
1,175,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Prohealth Care Oblig Grp | 5.00% | 08/15/31 | 1,334,847 | ||||
175,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Prohealth Care Oblig Grp | 5.00% | 08/15/33 | 197,218 | ||||
700,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Rogers Memorial Hosp Inc, Ser A | 5.00% | 07/01/44 | 803,285 | ||||
800,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Rogers Memorial Hosp Inc, Ser A | 5.00% | 07/01/49 | 915,216 | ||||
435,000 | WI St Hlth & Eductnl Facs Auth Rev St Johns Cmntys Inc Proj, Ser A | 5.00% | 09/15/30 | 467,655 | ||||
1,015,000 | WI St Hlth & Eductnl Facs Auth Rev St Johns Cmntys Inc Proj, Ser A | 5.00% | 09/15/31 | 1,087,359 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Wisconsin (Continued) | ||||||||
$595,000 | WI St Hlth & Eductnl Facs Auth Rev St Johns Cmntys Inc Proj, Ser A | 5.00% | 09/15/32 | $635,847 | ||||
455,000 | WI St Hlth & Eductnl Facs Auth Rev St Johns Cmntys Inc Proj, Ser A | 5.00% | 09/15/33 | 484,871 | ||||
2,000,000 | WI St Ref, Ser 3 | 4.00% | 11/01/34 | 2,272,940 | ||||
26,186,194 | ||||||||
Wyoming – 0.0% | ||||||||
250,000 | Natrona Cnty WY Hosp Rev Ref WY Med Ctr Proj | 5.00% | 09/15/30 | 298,668 |
Total Investments – 97.3% | 1,104,447,688 | ||
(Cost $1,065,285,714) (f) | |||
Net Other Assets and Liabilities – 2.7% | 30,810,149 | ||
Net Assets – 100.0% | $1,135,257,837 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury Long Bonds | Short | 16 | Dec 2019 | $ (2,582,000) | $(23,500) | |||||
U.S. Treasury Ultra 10-Year Notes | Short | 137 | Dec 2019 | (19,468,984) | (165,453) | |||||
Total Futures Contracts | $(22,050,984) | $(188,953) |
(a) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(b) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At October 31, 2019, securities noted as such amounted to $59,833,326 or 5.3% of net assets. |
(c) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(d) | Zero coupon bond. |
(e) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2C - Restricted Securities in the Notes to Financial Statements). |
(f) | Aggregate cost for federal income tax purposes was $1,065,049,481. As of October 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $39,887,045 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $677,791. The net unrealized appreciation was $39,209,254. The amounts presented are inclusive of derivative contracts. |
AGC | Assured Guaranty Corp. |
AGM | Assured Guaranty Municipal Corp. |
AMBAC | American Municipal Bond Assurance Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
BANS | Bond Anticipation Notes |
CABS | Capital Appreciation Bonds |
COPS | Certificates of Participation |
GANS | Grant Anticipation Notes |
GARVEE | Grant Anticipation Revenue Vehicle |
NATL-RE | National Public Finance Guarantee Corp. |
ASSETS TABLE | ||||
Total Value at 10/31/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 1,104,447,688 | $ — | $ 1,104,447,688 | $ — |
LIABILITIES TABLE | ||||
Total Value at 10/31/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts | $ (188,953) | $ (188,953) | $ — | $ — |
* | See Portfolio of Investments for state and territory breakout. |
ASSETS: | |
Investments, at value (Cost $1,065,285,714) | $ 1,104,447,688 |
Cash | 20,082,043 |
Cash segregated as collateral for open futures contracts | 307,868 |
Receivables: | |
Fund shares sold | 16,621,473 |
Interest | 12,759,587 |
Investment securities sold | 900,187 |
Total Assets | 1,155,118,846 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 19,208,161 |
Investment advisory fees | 463,895 |
Variation margin | 188,953 |
Total Liabilities | 19,861,009 |
NET ASSETS | $1,135,257,837 |
NET ASSETS consist of: | |
Paid-in capital | $ 1,098,696,786 |
Par value | 205,000 |
Accumulated distributable earnings (loss) | 36,356,051 |
NET ASSETS | $1,135,257,837 |
NET ASSET VALUE,per share | $55.38 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 20,500,002 |
INVESTMENT INCOME: | ||
Interest | $ 22,055,101 | |
Dividends | 9,911 | |
Total investment income | 22,065,012 | |
EXPENSES: | ||
Investment advisory fees | 4,736,291 | |
Total expenses | 4,736,291 | |
Fees waived by the investment advisor | (1,092,990) | |
Net expenses | 3,643,301 | |
NET INVESTMENT INCOME (LOSS) | 18,421,711 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | 161,089 | |
Futures | (545,012) | |
Net realized gain (loss) | (383,923) | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 43,888,840 | |
Futures | (182,203) | |
Net change in unrealized appreciation (depreciation) | 43,706,637 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 43,322,714 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 61,744,425 |
Year Ended 10/31/2019 | Year Ended 10/31/2018 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 18,421,711 | $ 9,231,008 | |
Net realized gain (loss) | (383,923) | (1,674,658) | |
Net change in unrealized appreciation (depreciation) | 43,706,637 | (9,084,698) | |
Net increase (decrease) in net assets resulting from operations | 61,744,425 | (1,528,348) | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (18,404,821) | (9,168,753) | |
Return of capital | (424,682) | — | |
Total distributions to shareholders | (18,829,503) | (9,168,753) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 647,355,139 | 248,070,577 | |
Cost of shares redeemed | (10,383,218) | (2,607,604) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 636,971,921 | 245,462,973 | |
Total increase (decrease) in net assets | 679,886,843 | 234,765,872 | |
NET ASSETS: | |||
Beginning of period | 455,370,994 | 220,605,122 | |
End of period | $ 1,135,257,837 | $ 455,370,994 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 8,800,002 | 4,150,002 | |
Shares sold | 11,900,000 | 4,700,000 | |
Shares redeemed | (200,000) | (50,000) | |
Shares outstanding, end of period | 20,500,002 | 8,800,002 |
Year Ended October 31, | |||||||||
2019 | 2018 | 2017 | 2016 | 2015 | |||||
Net asset value, beginning of period | $ 51.75 | $ 53.16 | $ 53.32 | $ 51.58 | $ 51.11 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 1.35 | 1.35 | 1.34 | 1.32 | 1.35 | ||||
Net realized and unrealized gain (loss) | 3.67 | (1.41) | (0.01) | 1.99 | 0.50 | ||||
Total from investment operations | 5.02 | (0.06) | 1.33 | 3.31 | 1.85 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.36) | (1.35) | (1.33) | (1.35) | (1.38) | ||||
Net realized gain | — | — | (0.16) | (0.22) | — | ||||
Return of capital | (0.03) | — | — | — | — | ||||
Total distributions | (1.39) | (1.35) | (1.49) | (1.57) | (1.38) | ||||
Net asset value, end of period | $55.38 | $51.75 | $53.16 | $53.32 | $51.58 | ||||
Total return (a) | 9.79% | (0.12)% | 2.59% | 6.47% | 3.66% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 1,135,258 | $ 455,371 | $ 220,605 | $ 82,650 | $ 33,529 | ||||
Ratio of total expenses to average net assets | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% | ||||
Ratio of net expenses to average net assets | 0.50% | 0.50% | 0.50% | 0.52% | 0.65% | ||||
Ratio of net investment income (loss) to average net assets | 2.53% | 2.60% | 2.63% | 2.52% | 2.63% | ||||
Portfolio turnover rate (b) | 26% | 42% | 85% | 85% | 109% |
(a) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived by the advisor. |
(b) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer; |
5) | the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; and |
10) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security | Acquisition Date | Principal Value | Current Price | Carrying Cost | Value | % of Net Assets | ||
Brookstone CDD FL Spl Assmnt Rev CDD, 3.88%, 11/01/23 | 01/24/18 | $500,000 | $101.12 | $500,000 | $505,610 | 0.05% | ||
IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Academy Proj, Ser A, 5.25%, 07/01/28 | 09/04/18 | 800,000 | 107.81 | 808,206 | 862,448 | 0.08 | ||
IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Academy Proj, Ser A, 5.88%, 07/01/38 | 09/04/18 | 1,000,000 | 106.44 | 1,004,863 | 1,064,420 | 0.09 | ||
Leander TX Spl Assmnt Rev Crystal Springs Pub Impt Dist Proj Accd Inv, 5.13%, 09/01/38 | 05/04/18 | 1,290,000 | 104.76 | 1,290,000 | 1,351,456 | 0.12 | ||
Timber Creek CDD FL Spl Assmnt Rev, 4.13%, 11/01/24 | 06/21/18 | 250,000 | 101.52 | 250,000 | 253,793 | 0.02 | ||
$3,853,069 | $4,037,727 | 0.36% |
Distributions paid from: | 2019 | 2018 |
Ordinary income | $2,058 | $— |
Capital gains | — | — |
Tax-exempt income | 18,402,763 | 9,168,753 |
Return of capital | 424,682 | — |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (2,853,203) |
Net unrealized appreciation (depreciation) | 39,209,254 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$(2,166) | $2,167 | $(1) |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statement of Assets and Liabilities Location | Value | Statement of Assets and Liabilities Location | Value | |||||
Futures | Interest Rate Risk | Variation Margin Receivable | $ — | Variation Margin Payable | $ 188,953 |
Statement of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures | $(545,012) |
Net change in unrealized appreciation (depreciation) on futures | (182,203) |
Federal and State Income Tax | Percentages | |
Tax-Exempt Interest Dividends | 99.99% | |
Alternative Minimum Tax (AMT) | 6.67% |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016); Member, Sportsmed LLC (April 2007 to November 2015) | 162 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 162 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 162 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services) | 162 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 162 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms; |
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• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Year Ended
October 31, 2019
1 | |
2 | |
5 | |
7 | |
8 | |
14 | |
15 | |
16 | |
17 | |
18 | |
24 | |
25 | |
29 | |
31 |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 10/31/19 | 5 Years Ended 10/31/19 | Inception (9/8/14) to 10/31/19 | 5 Years Ended 10/31/19 | Inception (9/8/14) to 10/31/19 | ||
Fund Performance | ||||||
NAV | 9.49% | 7.29% | 7.46% | 42.14% | 44.78% | |
Market Price | 9.60% | 7.26% | 7.46% | 41.99% | 44.81% | |
Index Performance | ||||||
S&P 500® Index | 14.33% | 10.78% | 10.68% | 66.81% | 68.57% |
Portfolio Sector Allocation | % of Total Long-Term Investments |
Financials | 16.9% |
Health Care | 16.6 |
Information Technology | 16.6 |
Consumer Discretionary | 14.1 |
Industrials | 13.8 |
Energy | 6.1 |
Consumer Staples | 5.3 |
Materials | 3.9 |
Real Estate | 3.5 |
Communication Services | 3.2 |
Total | 100.0% |
Portfolio Sector Allocation | % of Investments Sold Short |
Financials | 23.4% |
Industrials | 17.6 |
Information Technology | 11.7 |
Consumer Discretionary | 9.5 |
Real Estate | 8.9 |
Consumer Staples | 7.6 |
Materials | 6.9 |
Health Care | 5.7 |
Communication Services | 5.2 |
Energy | 2.8 |
Utilities | 0.7 |
Total | 100.0% |
Top Ten Long-Term Investments | % of Net Assets |
JPMorgan Chase & Co. | 3.1% |
Microsoft Corp. | 2.3 |
Apple, Inc. | 2.2 |
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 2.0 |
PulteGroup, Inc. | 1.9 |
Biogen, Inc. | 1.9 |
Southwest Airlines Co. | 1.8 |
United Airlines Holdings, Inc. | 1.8 |
Sony Corp., ADR | 1.8 |
Booking Holdings, Inc. | 1.8 |
Total | 20.6% |
Top Ten Investments Sold Short | % of Net Assets |
SPDR S&P 500 ETF Trust | -6.2% |
AMERCO | -0.6% |
United Technologies Corp. | -0.6% |
Liberty Property Trust | -0.6% |
Piedmont Office Realty Trust, Inc. | -0.6% |
Archer-Daniels-Midland Co. | -0.6% |
Bank of New York Mellon (The) Corp. | -0.6% |
US Bancorp. | -0.5% |
Healthpeak Properties, Inc. | -0.5% |
Global Payments, Inc. | -0.5% |
Total | -11.3% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/1/14 – 10/31/15 | 190 | 7 | 0 | 1 |
11/1/15 – 10/31/16 | 170 | 0 | 0 | 0 |
11/1/16 – 10/31/17 | 173 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 180 | 0 | 0 | 0 |
11/1/18 – 10/31/19 | 191 | 0 | 0 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/1/14 – 10/31/15 | 41 | 12 | 0 | 0 |
11/1/15 – 10/31/16 | 81 | 1 | 0 | 0 |
11/1/16 – 10/31/17 | 79 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 72 | 0 | 0 | 0 |
11/1/18 – 10/31/19 | 59 | 1 | 0 | 0 |
Beginning Account Value May 1, 2019 | Ending Account Value October 31, 2019 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (a)(b) | |
First Trust Long/Short Equity ETF (FTLS) | ||||
Actual | $1,000.00 | $1,050.40 | 1.59% | $8.22 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.19 | 1.59% | $8.08 |
(a) | Annualized expense ratio and expenses paid during the six-month period do not include fees and expenses of the underlying funds in which the Fund invests. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2019 through October 31, 2019), multiplied by 184/365 (to reflect the six-month period). |
Shares/ Units | Description | Value | ||
COMMON STOCKS – 91.3% | ||||
Airlines – 5.5% | ||||
16,113 | Alaska Air Group, Inc. | $1,118,726 | ||
63,088 | Delta Air Lines, Inc. | 3,474,887 | ||
80,848 | Southwest Airlines Co. (a) | 4,537,998 | ||
48,883 | United Airlines Holdings, Inc. (a) (b) | 4,440,532 | ||
13,572,143 | ||||
Auto Components – 0.8% | ||||
72,830 | Gentex Corp. | 2,042,881 | ||
Banks – 7.1% | ||||
60,586 | Bank of America Corp. (a) | 1,894,524 | ||
19,815 | Bank of Hawaii Corp. | 1,730,048 | ||
26,783 | Hilltop Holdings, Inc. | 625,651 | ||
112,686 | HSBC Holdings PLC, ADR (a) | 4,258,404 | ||
61,269 | JPMorgan Chase & Co. (a) | 7,653,723 | ||
26,328 | Preferred Bank/Los Angeles CA | 1,403,546 | ||
17,565,896 | ||||
Beverages – 1.4% | ||||
42,731 | Anheuser-Busch InBev S.A., ADR | 3,451,383 | ||
Biotechnology – 3.5% | ||||
12,428 | AbbVie, Inc. | 988,647 | ||
3,337 | Alexion Pharmaceuticals, Inc. (b) | 351,720 | ||
3,868 | Amgen, Inc. (a) | 824,851 | ||
15,432 | Biogen, Inc. (a) (b) | 4,609,693 | ||
11,959 | Gilead Sciences, Inc. | 761,908 | ||
3,621 | Incyte Corp. (b) | 303,874 | ||
1,213 | Regeneron Pharmaceuticals, Inc. (b) | 371,518 | ||
2,432 | Vertex Pharmaceuticals, Inc. (b) | 475,407 | ||
8,687,618 | ||||
Building Products – 0.7% | ||||
29,925 | Gibraltar Industries, Inc. (b) | 1,592,908 | ||
Chemicals – 1.5% | ||||
7,403 | NewMarket Corp. | 3,594,082 | ||
Consumer Finance – 1.5% | ||||
40,465 | Capital One Financial Corp. | 3,773,361 | ||
Diversified Consumer Services – 1.5% | ||||
146,981 | H&R Block, Inc. | 3,673,055 | ||
Diversified Financial Services – 0.9% | ||||
10,363 | Berkshire Hathaway, Inc., Class B (a) (b) | 2,202,967 | ||
Diversified Telecommunication Services – 0.4% | ||||
14,957 | Verizon Communications, Inc. | 904,450 | ||
Electrical Equipment – 1.6% | ||||
42,040 | AMETEK, Inc. (a) | 3,852,966 |
Shares/ Units | Description | Value | ||
Health Care Equipment & Supplies – 3.5% | ||||
10,385 | Abbott Laboratories | $868,290 | ||
1,469 | ABIOMED, Inc. (b) | 304,935 | ||
1,953 | Align Technology, Inc. (b) | 492,722 | ||
4,669 | Baxter International, Inc. | 358,112 | ||
2,168 | Becton Dickinson and Co. | 555,008 | ||
11,331 | Boston Scientific Corp. (b) | 472,503 | ||
896 | Cooper (The) Cos., Inc. | 260,736 | ||
4,483 | Danaher Corp. | 617,847 | ||
5,520 | DENTSPLY SIRONA, Inc. | 302,386 | ||
1,895 | Edwards Lifesciences Corp. (b) | 451,730 | ||
5,674 | Hologic, Inc. (b) | 274,111 | ||
1,199 | IDEXX Laboratories, Inc. (b) | 341,727 | ||
1,041 | Intuitive Surgical, Inc. (b) | 575,621 | ||
7,821 | Medtronic PLC | 851,707 | ||
2,285 | ResMed, Inc. | 337,997 | ||
2,393 | Stryker Corp. | 517,534 | ||
945 | Teleflex, Inc. | 328,302 | ||
2,629 | Varian Medical Systems, Inc. (b) | 317,610 | ||
2,604 | Zimmer Biomet Holdings, Inc. | 359,951 | ||
8,588,829 | ||||
Health Care Providers & Services – 3.6% | ||||
3,303 | AmerisourceBergen Corp. | 282,010 | ||
2,073 | Anthem, Inc. | 557,803 | ||
7,033 | Cardinal Health, Inc. | 347,782 | ||
6,890 | Centene Corp. (b) | 365,721 | ||
5,686 | Chemed Corp. | 2,239,772 | ||
3,220 | Cigna Corp. | 574,641 | ||
10,010 | CVS Health Corp. | 664,564 | ||
4,485 | DaVita, Inc. (b) | 262,821 | ||
3,107 | HCA Healthcare, Inc. | 414,909 | ||
4,473 | Henry Schein, Inc. (b) | 279,943 | ||
1,313 | Humana, Inc. | 386,285 | ||
1,865 | Laboratory Corp of America Holdings (b) | 307,296 | ||
2,474 | McKesson Corp. | 329,042 | ||
2,920 | Quest Diagnostics, Inc. | 295,650 | ||
5,477 | UnitedHealth Group, Inc. | 1,384,038 | ||
1,875 | Universal Health Services, Inc., Class B | 257,737 | ||
8,950,014 | ||||
Health Care Technology – 0.1% | ||||
4,748 | Cerner Corp. | 318,686 | ||
Household Durables – 7.6% | ||||
72,172 | DR Horton, Inc. | 3,779,648 | ||
905 | NVR, Inc. (a) (b) | 3,291,114 | ||
118,695 | PulteGroup, Inc. | 4,657,592 | ||
72,828 | Sony Corp., ADR (a) | 4,430,127 | ||
65,961 | Toll Brothers, Inc. (a) | 2,623,269 | ||
18,781,750 |
Shares/ Units | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Household Products – 0.6% | ||||
11,984 | Procter & Gamble (The) Co. | $1,492,128 | ||
Insurance – 5.4% | ||||
7,410 | AMERISAFE, Inc. | 470,757 | ||
89,607 | Arch Capital Group Ltd. (b) | 3,741,989 | ||
69,474 | Hartford Financial Services Group (The), Inc. | 3,965,576 | ||
7,739 | MetLife, Inc. | 362,108 | ||
183,271 | Old Republic International Corp. (a) | 4,094,274 | ||
7,001 | Safety Insurance Group, Inc. | 680,497 | ||
13,315,201 | ||||
Interactive Media & Services – 2.7% | ||||
1,618 | Alphabet, Inc., Class A (a) (b) | 2,036,738 | ||
1,634 | Alphabet, Inc., Class C (b) | 2,059,020 | ||
13,129 | Facebook, Inc., Class A (a) (b) | 2,516,173 | ||
6,611,931 | ||||
Internet & Direct Marketing Retail – 4.0% | ||||
10,422 | Alibaba Group Holding Ltd., ADR (b) | 1,841,255 | ||
2,122 | Amazon.com, Inc. (a) (b) | 3,770,072 | ||
2,110 | Booking Holdings, Inc. (b) | 4,322,905 | ||
9,934,232 | ||||
IT Services – 4.4% | ||||
21,086 | Accenture PLC, Class A (a) | 3,909,766 | ||
31,727 | Broadridge Financial Solutions, Inc. (a) | 3,972,855 | ||
5,511 | CACI International, Inc., Class A (b) | 1,233,086 | ||
9,405 | Visa, Inc., Class A | 1,682,179 | ||
10,797,886 | ||||
Life Sciences Tools & Services – 1.2% | ||||
4,972 | Agilent Technologies, Inc. | 376,629 | ||
1,617 | Illumina, Inc. (b) | 477,856 | ||
2,122 | IQVIA Holdings, Inc. (b) | 306,459 | ||
469 | Mettler-Toledo International, Inc. (b) | 330,617 | ||
3,370 | PerkinElmer, Inc. | 289,685 | ||
2,792 | Thermo Fisher Scientific, Inc. | 843,128 | ||
1,485 | Waters Corp. (b) | 314,256 | ||
2,938,630 | ||||
Machinery – 4.7% | ||||
81,932 | Allison Transmission Holdings, Inc. (a) | 3,573,055 | ||
3,679 | Cummins, Inc. | 634,554 | ||
46,712 | Federal Signal Corp. | 1,515,337 | ||
97,742 | Mueller Industries, Inc. | 3,007,521 |
Shares/ Units | Description | Value | ||
Machinery (Continued) | ||||
37,861 | Toro (The) Co. (a) | $2,920,219 | ||
11,650,686 | ||||
Media – 0.2% | ||||
13,126 | Altice USA, Inc., Class A (b) | 406,250 | ||
Metals & Mining – 2.5% | ||||
31,700 | Barrick Gold Corp. | 550,312 | ||
6,291 | Franco-Nevada Corp. | 610,038 | ||
15,102 | Newmont Goldcorp Corp. | 600,002 | ||
47,544 | Osisko Gold Royalties Ltd. | 467,833 | ||
16,872 | Reliance Steel & Aluminum Co. | 1,957,827 | ||
4,649 | Royal Gold, Inc. | 536,681 | ||
95,159 | Sandstorm Gold Ltd. (b) | 675,629 | ||
21,859 | Wheaton Precious Metals Corp. | 613,582 | ||
6,011,904 | ||||
Oil, Gas & Consumable Fuels – 2.8% | ||||
88,117 | BP PLC, ADR | 3,340,516 | ||
3,015 | Chevron Corp. (a) | 350,162 | ||
25,148 | Exxon Mobil Corp. (a) | 1,699,250 | ||
92,893 | Petroleo Brasileiro S.A., ADR | 1,508,582 | ||
6,898,510 | ||||
Personal Products – 3.3% | ||||
68,400 | Unilever NV, ADR (a) | 4,052,016 | ||
66,630 | Unilever PLC (a) | 4,005,129 | ||
8,057,145 | ||||
Pharmaceuticals – 4.5% | ||||
13,308 | Bristol-Myers Squibb Co. | 763,480 | ||
6,344 | Eli Lilly & Co. | 722,899 | ||
24,626 | Johnson & Johnson | 3,251,617 | ||
14,288 | Merck & Co, Inc. (a) | 1,238,198 | ||
15,330 | Mylan N.V. (b) | 293,570 | ||
14,087 | Nektar Therapeutics (b) | 241,240 | ||
26,673 | Novartis AG, ADR | 2,332,287 | ||
5,624 | Perrigo Co. PLC | 298,184 | ||
38,306 | Pfizer, Inc. | 1,469,801 | ||
3,787 | Zoetis, Inc. | 484,433 | ||
11,095,709 | ||||
Semiconductors & Semiconductor Equipment – 5.2% | ||||
15,340 | Analog Devices, Inc. | 1,635,704 | ||
19,000 | Mellanox Technologies Ltd. (b) | 2,141,300 | ||
97,691 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 5,043,786 | ||
33,153 | Texas Instruments, Inc. (a) | 3,911,723 | ||
12,732,513 | ||||
Software – 4.7% | ||||
28,725 | Check Point Software Technologies Ltd. (b) | 3,228,977 | ||
29,863 | j2 Global, Inc. | 2,835,790 |
Shares/ Units | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Software (Continued) | ||||
38,729 | Microsoft Corp. (a) | $5,552,577 | ||
11,617,344 | ||||
Technology Hardware, Storage & Peripherals – 2.2% | ||||
21,449 | Apple, Inc. (a) | 5,335,653 | ||
Thrifts & Mortgage Finance – 0.5% | ||||
21,211 | Essent Group Ltd. | 1,104,881 | ||
Trading Companies & Distributors – 1.2% | ||||
17,195 | Watsco, Inc. | 3,031,478 | ||
Total Common Stocks | 224,585,070 | |||
(Cost $207,260,201) | ||||
REAL ESTATE INVESTMENT TRUSTS – 4.9% | ||||
Equity Real Estate Investment Trusts – 3.5% | ||||
16,970 | American Tower Corp. (a) | 3,700,818 | ||
90,573 | Invitation Homes, Inc. (a) | 2,788,743 | ||
7,397 | Mid-America Apartment Communities, Inc. (a) | 1,028,109 | ||
83,609 | Paramount Group, Inc. | 1,126,213 | ||
8,643,883 | ||||
Mortgage Real Estate Investment Trusts – 1.4% | ||||
51,601 | Annaly Capital Management, Inc. | 463,377 | ||
374,012 | MFA Financial, Inc. (a) | 2,838,751 | ||
3,302,128 | ||||
Total Real Estate Investment Trusts | 11,946,011 | |||
(Cost $10,073,268) | ||||
MASTER LIMITED PARTNERSHIPS – 3.2% | ||||
Oil, Gas & Consumable Fuels – 3.2% | ||||
51,677 | Cheniere Energy Partners, L.P. (a) | 2,321,847 | ||
34,887 | Magellan Midstream Partners, L.P. (a) | 2,174,158 | ||
49,280 | Plains GP Holdings, L.P., Class A (c) | 914,637 | ||
62,303 | TC PipeLines, L.P. | 2,468,445 | ||
Total Master Limited Partnerships | 7,879,087 | |||
(Cost $7,020,912) | ||||
Total Investments – 99.4% | 244,410,168 | |||
(Cost $224,354,381) (d) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT – (26.7)% | ||||
Aerospace & Defense – (1.7)% | ||||
(7,191) | Astronics Corp. (b) | $(208,108) | ||
(6,659) | General Dynamics Corp. | (1,177,311) | ||
(28,139) | Textron, Inc. | (1,296,926) | ||
(9,870) | United Technologies Corp. | (1,417,135) | ||
(4,099,480) | ||||
Air Freight & Logistics – (0.1)% | ||||
(10,628) | Atlas Air Worldwide Holdings, Inc, (b) | (233,072) | ||
Auto Components – (0.6)% | ||||
(16,061) | Cooper Tire & Rubber Co. | (453,562) | ||
(63,417) | Goodyear Tire & Rubber (The) Co. | (1,006,428) | ||
(1,459,990) | ||||
Automobiles – (0.5)% | ||||
(33,555) | General Motors Co. | (1,246,904) | ||
Banks – (1.7)% | ||||
(8,989) | BB&T Corp. | (476,866) | ||
(8,375) | M&T Bank Corp. | (1,310,939) | ||
(23,599) | US Bancorp. | (1,345,615) | ||
(18,717) | Wells Fargo & Co. | (966,359) | ||
(4,099,779) | ||||
Beverages – (1.0)% | ||||
(22,732) | Coca-Cola (The) Co. | (1,237,303) | ||
(9,392) | PepsiCo, Inc. | (1,288,300) | ||
(2,525,603) | ||||
Biotechnology – (0.6)% | ||||
(3,383) | BioMarin Pharmaceutical, Inc. (b) | (247,669) | ||
(14,708) | Insmed, Inc. (b) | (273,422) | ||
(2,311) | Mirati Therapeutics, Inc. (b) | (217,650) | ||
(25,417) | Moderna, Inc. (b) | (425,735) | ||
(4,490) | United Therapeutics Corp. (b) | (403,381) | ||
(1,567,857) | ||||
Capital Markets – (0.5)% | ||||
(29,150) | Bank of New York Mellon (The) Corp. | (1,362,762) | ||
Chemicals – (1.1)% | ||||
(5,406) | Air Products & Chemicals, Inc. | (1,152,884) | ||
(6,566) | Linde PLC | (1,302,366) | ||
(2,729) | WR Grace & Co. | (181,342) | ||
(2,636,592) | ||||
Commercial Services & Supplies – (0.2)% | ||||
(30,610) | Covanta Holding Corp. | (442,009) | ||
(2,860) | Viad Corp. | (174,517) | ||
(616,526) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Communications Equipment – (0.1)% | ||||
(4,130) | InterDigital, Inc. | $(221,492) | ||
Construction & Engineering – (1.4)% | ||||
(15,474) | Argan, Inc. | (585,691) | ||
(34,343) | Granite Construction, Inc. | (808,434) | ||
(4,632) | Jacobs Engineering Group, Inc. | (433,463) | ||
(20,047) | Quanta Services, Inc. | (842,976) | ||
(54,824) | Tutor Perini Corp. (b) | (848,127) | ||
(3,518,691) | ||||
Containers & Packaging – (1.3)% | ||||
(10,301) | AptarGroup, Inc. | (1,217,063) | ||
(93,922) | Owens-Illinois, Inc. | (798,337) | ||
(11,067) | Silgan Holdings, Inc. | (340,532) | ||
(15,429) | Sonoco Products Co. | (890,253) | ||
(3,246,185) | ||||
Diversified Consumer Services – (0.9)% | ||||
(701) | Graham Holdings Co., Class B | (441,392) | ||
(6,547) | Grand Canyon Education, Inc. (b) | (602,062) | ||
(81,795) | Houghton Mifflin Harcourt Co. (b) | (528,396) | ||
(28,429) | Regis Corp. (b) | (585,637) | ||
(2,157,487) | ||||
Diversified Telecommunication Services – (0.2)% | ||||
(3,326) | ATN International, Inc. | (196,999) | ||
(13,897) | Iridium Communications, Inc. (b) | (340,060) | ||
(537,059) | ||||
Electrical Equipment – (0.7)% | ||||
(4,141) | Eaton Corp PLC | (360,722) | ||
(17,476) | Regal Beloit Corp. | (1,294,098) | ||
(1,654,820) | ||||
Electronic Equipment, Instruments & Components – (1.0)% | ||||
(44,673) | Corning, Inc. | (1,323,661) | ||
(2,941) | II-VI, Inc. (b) | (97,494) | ||
(1,946) | IPG Photonics Corp. (b) | (261,309) | ||
(17,340) | National Instruments Corp. | (717,703) | ||
(2,400,167) | ||||
Energy Equipment & Services – (0.4)% | ||||
(9,452) | Halliburton Co. | (181,951) | ||
(12,944) | National Oilwell Varco, Inc. | (292,793) | ||
(16,268) | Schlumberger Ltd. | (531,801) | ||
(1,006,545) |
Shares | Description | Value | ||
Entertainment – (0.5)% | ||||
(9,135) | Walt Disney (The) Co. | $(1,186,819) | ||
Food & Staples Retailing – (0.3)% | ||||
(7,074) | Walmart, Inc. | (829,497) | ||
Food Products – (0.8)% | ||||
(32,643) | Archer-Daniels-Midland Co. | (1,372,312) | ||
(9,976) | Mondelez International, Inc., Class A | (523,241) | ||
(1,895,553) | ||||
Gas Utilities – (0.3)% | ||||
(14,922) | New Jersey Resources Corp. | (650,599) | ||
Health Care Equipment & Supplies – (0.2)% | ||||
(1,279) | Haemonetics Corp. (b) | (154,413) | ||
(6,091) | Orthofix Medical, Inc. (b) | (256,005) | ||
(410,418) | ||||
Hotels, Restaurants & Leisure – (0.4)% | ||||
(4,535) | McDonald’s Corp. | (892,035) | ||
Household Products – (0.5)% | ||||
(1,098) | Clorox (The) Co. | (162,164) | ||
(8,772) | Kimberly-Clark Corp. | (1,165,623) | ||
(1,327,787) | ||||
IT Services – (1.5)% | ||||
(7,658) | Gartner, Inc. (b) | (1,179,945) | ||
(7,844) | Global Payments, Inc. | (1,327,048) | ||
(4,918) | International Business Machines Corp. | (657,684) | ||
(4,261) | Jack Henry & Associates, Inc. | (603,187) | ||
(3,767,864) | ||||
Life Sciences Tools & Services – (1.3)% | ||||
(3,777) | Bio-Rad Laboratories, Inc., Class A (b) | (1,252,529) | ||
(9,829) | Bruker Corp. | (437,390) | ||
(17,862) | Luminex Corp. | (366,082) | ||
(35,601) | QIAGEN N.V. (b) | (1,061,266) | ||
(3,117,267) | ||||
Machinery – (0.5)% | ||||
(1,188) | Deere & Co. | (206,878) | ||
(4,402) | Flowserve Corp. | (214,994) | ||
(7,867) | PACCAR, Inc. | (598,364) | ||
(2,574) | Xylem, Inc. | (197,400) | ||
(1,217,636) | ||||
Media – (0.5)% | ||||
(14,548) | Omnicom Group, Inc. | (1,122,960) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Metals & Mining – (0.1)% | ||||
(24,950) | Freeport-McMoRan, Inc. | $(245,009) | ||
Multiline Retail – (0.1)% | ||||
(2,399) | Target Corp. | (256,477) | ||
Oil, Gas & Consumable Fuels – (0.6)% | ||||
(3,437) | ConocoPhillips | (189,722) | ||
(12,941) | Continental Resources, Inc. (b) | (381,371) | ||
(14,256) | Marathon Oil Corp. | (164,372) | ||
(11,901) | Matador Resources, Co. (b) | (165,543) | ||
(8,239) | Noble Energy, Inc. | (158,683) | ||
(5,191) | Targa Resources Corp. | (201,826) | ||
(17,162) | WPX Energy, Inc. (b) | (171,277) | ||
(1,432,794) | ||||
Professional Services – (0.2)% | ||||
(26,868) | Nielsen Holdings PLC | (541,659) | ||
Road & Rail – (1.1)% | ||||
(3,536) | AMERCO | (1,432,221) | ||
(23,974) | Hertz Global Holdings, Inc. (b) | (323,889) | ||
(3,110) | Norfolk Southern Corp. | (566,020) | ||
(9,612) | Ryder System, Inc. | (467,432) | ||
(2,789,562) | ||||
Software – (1.4)% | ||||
(25,265) | A10 Networks, Inc. (b) | (187,719) | ||
(13,221) | ACI Worldwide, Inc. (b) | (415,007) | ||
(15,450) | Bottomline Technologies DE, Inc. (b) | (632,678) | ||
(7,710) | LivePerson, Inc. (b) | (316,496) | ||
(3,882) | Oracle Corp. | (211,530) | ||
(17,530) | Pegasystems, Inc. | (1,318,431) | ||
(6,789) | Varonis Systems, Inc. (b) | (485,753) | ||
(3,567,614) | ||||
Specialty Retail – (0.6)% | ||||
(31,115) | Gap (The), Inc. | (505,930) | ||
(7,163) | Tiffany & Co. | (891,865) | ||
(1,397,795) | ||||
Technology Hardware, Storage & Peripherals – (0.2)% | ||||
(15,041) | NCR Corp. (b) | (439,348) | ||
Textiles, Apparel & Luxury Goods – (0.4)% | ||||
(12,356) | VF Corp. | (1,016,775) | ||
Tobacco – (0.1)% | ||||
(3,342) | Universal Corp. | (183,142) | ||
Trading Companies & Distributors – (0.4)% | ||||
(17,087) | Kaman Corp. | (1,002,494) |
Shares | Description | Value | ||
Wireless Telecommunication Services – (0.7)% | ||||
(18,282) | Telephone & Data Systems, Inc. | $(476,977) | ||
(35,082) | United States Cellular Corp. (b) | (1,305,752) | ||
(1,782,729) | ||||
Total Common Stocks Sold Short | (65,664,844) | |||
(Proceeds $64,498,233) | ||||
EXCHANGE-TRADED FUNDS SOLD SHORT – (6.2)% | ||||
Capital Markets – (6.2)% | ||||
(50,453) | SPDR S&P 500 ETF Trust | (15,303,909) | ||
(Proceeds $14,855,443) | ||||
REAL ESTATE INVESTMENT TRUSTS SOLD SHORT – (3.2)% | ||||
Equity Real Estate Investment Trusts – (3.2)% | ||||
(1,719) | AvalonBay Communities, Inc. | (374,158) | ||
(12,058) | First Industrial Realty Trust, Inc. | (507,762) | ||
(35,740) | Healthpeak Properties, Inc. | (1,344,539) | ||
(94,914) | iStar, Inc. | (1,234,831) | ||
(31,668) | Lexington Realty Trust | (344,548) | ||
(23,754) | Liberty Property Trust | (1,403,149) | ||
(61,819) | Piedmont Office Realty Trust, Inc. | (1,387,218) | ||
(41,853) | Washington Real Estate Investment Trust | (1,298,280) | ||
Total Real Estate Investment Trusts Sold Short | (7,894,485) | |||
(Proceeds $7,130,570) | ||||
Total Investments Sold Short – (36.1)% | (88,863,238) | |||
(Proceeds $86,484,246) | ||||
Net Other Assets and Liabilities – 36.7% | 90,320,455 | |||
Net Assets – 100.0% | $245,867,385 |
(a) | This security or a portion of this security is segregated as collateral for investments sold short. |
(b) | Non-income producing security. |
(c) | This security is taxed as a “C” corporation for federal income tax purposes. |
(d) | Aggregate cost for federal income tax purposes was $225,768,825. As of October 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $25,471,089 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,829,746. The net unrealized appreciation was $18,641,343. The amounts presented are inclusive of investments sold short. |
ADR | American Depositary Receipt |
ASSETS TABLE | ||||
Total Value at 10/31/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 224,585,070 | $ 224,585,070 | $ — | $ — |
Real Estate Investment Trusts* | 11,946,011 | 11,946,011 | — | — |
Master Limited Partnerships* | 7,879,087 | 7,879,087 | — | — |
Total Investments | $ 244,410,168 | $ 244,410,168 | $— | $— |
LIABILITIES TABLE | ||||
Total Value at 10/31/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks Sold Short* | $ (65,664,844) | $ (65,664,844) | $ — | $ — |
Exchange-Traded Funds Sold Short* | (15,303,909) | (15,303,909) | — | — |
Real Estate Investment Trusts Sold Short* | (7,894,485) | (7,894,485) | — | — |
Total | $ (88,863,238) | $ (88,863,238) | $— | $— |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value (Cost $224,354,381) | $ 244,410,168 |
Cash | 4,534,307 |
Restricted Cash | 85,663,231 |
Receivables: | |
Dividends | 285,926 |
Margin interest rebate | 45,398 |
Dividend reclaims | 5,894 |
Total Assets | 334,944,924 |
LIABILITIES: | |
Investments sold short, at value (proceeds $86,484,246) | 88,863,238 |
Payables: | |
Investment advisory fees | 190,586 |
Dividends on investments sold short | 21,352 |
Margin interest expense | 2,363 |
Total Liabilities | 89,077,539 |
NET ASSETS | $245,867,385 |
NET ASSETS consist of: | |
Paid-in capital | $ 254,026,536 |
Par value | 59,000 |
Accumulated distributable earnings (loss) | (8,218,151) |
NET ASSETS | $245,867,385 |
NET ASSET VALUE,per share | $41.67 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 5,900,002 |
INVESTMENT INCOME: | ||
Dividends | $ 3,728,497 | |
Margin interest rebate | 1,315,963 | |
Interest | 97,183 | |
Foreign withholding tax | (35,263) | |
Other | 38 | |
Total investment income | 5,106,418 | |
EXPENSES: | ||
Investment advisory fees | 1,843,024 | |
Dividend expense on investments sold short | 1,222,379 | |
Margin interest expense | 38,316 | |
Total expenses | 3,103,719 | |
NET INVESTMENT INCOME (LOSS) | 2,002,699 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (6,298,448) | |
In-kind redemptions | 10,177,908 | |
Investments sold short | (3,379,275) | |
Net realized gain (loss) | 500,185 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 23,077,673 | |
Investments sold short | (5,569,117) | |
Net change in unrealized appreciation (depreciation) | 17,508,556 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 18,008,741 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 20,011,440 |
Year Ended 10/31/2019 | Year Ended 10/31/2018 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 2,002,699 | $ 1,073,540 | |
Net realized gain (loss) | 500,185 | 11,225,044 | |
Net change in unrealized appreciation (depreciation) | 17,508,556 | (10,801,335) | |
Net increase (decrease) in net assets resulting from operations | 20,011,440 | 1,497,249 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (2,024,101) | (944,480) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 186,912,930 | 144,939,138 | |
Cost of shares redeemed | (114,835,735) | (110,581,268) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 72,077,195 | 34,357,870 | |
Total increase (decrease) in net assets | 90,064,534 | 34,910,639 | |
NET ASSETS: | |||
Beginning of period | 155,802,851 | 120,892,212 | |
End of period | $ 245,867,385 | $ 155,802,851 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 4,050,002 | 3,200,002 | |
Shares sold | 4,800,000 | 3,700,000 | |
Shares redeemed | (2,950,000) | (2,850,000) | |
Shares outstanding, end of period | 5,900,002 | 4,050,002 |
Year Ended October 31, | |||||||||
2019 | 2018 | 2017 | 2016 | 2015 | |||||
Net asset value, beginning of period | $ 38.47 | $ 37.78 | $ 32.49 | $ 32.61 | $ 30.54 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.39 | 0.26 | 0.24 | 0.32 | 0.19 | ||||
Net realized and unrealized gain (loss) | 3.23 | 0.67 | 5.34 | (0.17) | 2.12 | ||||
Total from investment operations | 3.62 | 0.93 | 5.58 | 0.15 | 2.31 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.42) | (0.24) | (0.29) | (0.27) | (0.22) | ||||
Net realized gain | — | — | — | — | (0.02) | ||||
Total distributions | (0.42) | (0.24) | (0.29) | (0.27) | (0.24) | ||||
Net asset value, end of period | $41.67 | $38.47 | $37.78 | $32.49 | $32.61 | ||||
Total return (a) | 9.49% | 2.45% | 17.23% | 0.45% | 7.60% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 245,867 | $ 155,803 | $ 120,892 | $ 120,231 | $ 32,608 | ||||
Ratio of total expenses to average net assets (b) | 1.60% | 1.59% | 1.47% | 1.40% | 1.47% | ||||
Ratio of total expenses to average net assets excluding dividend expense and margin interest expense (b) | 0.95% | 0.95% | 0.95% | 0.95% | 0.95% | ||||
Ratio of net investment income (loss) to average net assets | 1.03% | 0.71% | 0.67% | 1.00% | 0.39% | ||||
Portfolio turnover rate (c) | 210% | 249% | 176% | 201% | 267% |
(a) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(b) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from: | 2019 | 2018 |
Ordinary income | $2,024,101 | $944,480 |
Capital gains | — | — |
Return of capital | — | — |
Undistributed ordinary income | $19,458 |
Accumulated capital and other gain (loss) | (24,499,960) |
Net unrealized appreciation (depreciation) | 16,262,351 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$(433,912) | $(9,237,699) | $9,671,611 |
Dividends Received Deduction | Qualified Dividend Income | |
100.00% | 100.00% |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016); Member, Sportsmed LLC (April 2007 to November 2015) | 162 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 162 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 162 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services) | 162 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 162 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
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• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Year Ended
October 31, 2019
1 | |
2 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
15 | |
16 | |
24 | |
25 | |
30 | |
32 |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 10/31/19 | Inception (11/4/14) to 10/31/19 | Inception (11/4/14) to 10/31/19 | |
Fund Performance | |||
NAV | 12.46% | 0.20% | 0.99% |
Market Price | 13.00% | 0.22% | 1.11% |
Index Performance | |||
Bloomberg Barclays Emerging Markets Local Currency Government - 10% Country Capped Index | 14.27% | 1.52% | 7.84% |
Industry Classification | % of Long-Term Investments |
Sovereigns | 95.0% |
Supranationals | 4.9 |
Central Bank | 0.1 |
Total | 100.0% |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 4.5% |
AA | 1.1 |
AA- | 7.8 |
A | 8.0 |
A- | 13.5 |
BBB+ | 2.3 |
BBB | 18.1 |
BBB- | 20.4 |
BB | 13.6 |
BB- | 2.4 |
Cash | 8.3 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/01/25 | 7.3% |
Republic of South Africa Government Bond, 8.88%, 2/28/35 | 5.8 |
Peru Government Bond, 6.95%, 8/12/31 | 4.9 |
Republic of South Africa Government Bond, 6.25%, 3/31/36 | 4.8 |
Israel Government Bond - Fixed, 2.25%, 9/28/28 | 4.5 |
International Finance Corp., 6.30%, 11/25/24 | 4.4 |
Colombian TES, 7.50%, 8/26/26 | 4.3 |
Hungary Government Bond, 6.75%, 10/22/28 | 3.4 |
Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/01/27 | 3.4 |
Mexican Bonos, 5.00%, 12/11/19 | 3.2 |
Total | 46.0% |
(1) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/5/14 - 10/31/15 | 116 | 110 | 7 | 1 |
11/1/15 - 10/31/16 | 80 | 64 | 38 | 3 |
11/1/16 - 10/31/17 | 104 | 89 | 23 | 2 |
11/1/17 - 10/31/18 | 88 | 5 | 0 | 0 |
11/1/18 - 10/31/19 | 145 | 43 | 0 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/5/14 - 10/31/15 | 15 | 0 | 0 | 1 |
11/1/15 - 10/31/16 | 60 | 7 | 0 | 0 |
11/1/16 - 10/31/17 | 27 | 7 | 0 | 0 |
11/1/17 - 10/31/18 | 140 | 19 | 0 | 0 |
11/1/18 - 10/31/19 | 62 | 1 | 0 | 0 |
Beginning Account Value May 1, 2019 | Ending Account Value October 31, 2019 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Emerging Markets Local Currency Bond ETF (FEMB) | ||||
Actual | $1,000.00 | $1,055.00 | 0.85% | $4.40 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2019 through October 31, 2019), multiplied by 184/365 (to reflect the six-month period). |
Principal Value (Local Currency) | Description | Stated Coupon | Stated Maturity | Value (US Dollars) | ||||
FOREIGN SOVEREIGN BONDS AND NOTES – 86.2% | ||||||||
Brazil – 13.5% | ||||||||
6,100,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/21 | $1,615,747 | ||||
33,250,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/25 | 9,738,177 | ||||
14,950,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/27 | 4,503,639 | ||||
13,200,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/29 | 4,065,082 | ||||
19,922,645 | ||||||||
Chile – 2.7% | ||||||||
550,000,000 | Bonos de la Tesoreria de la Republica en Pesos (CLP) | 4.50% | 03/01/26 | 805,761 | ||||
120,000,000 | Bonos del Banco Central de Chile en Pesos (CLP) | 6.00% | 02/01/21 | 169,992 | ||||
2,210,000,000 | Chile Government International Bond (CLP) | 5.50% | 08/05/20 | 3,061,517 | ||||
4,037,270 | ||||||||
Colombia – 8.0% | ||||||||
4,201,000,000 | Colombian TES (COP) | 7.00% | 05/04/22 | 1,306,173 | ||||
17,780,000,000 | Colombian TES (COP) | 7.50% | 08/26/26 | 5,830,540 | ||||
2,300,000,000 | Colombian TES (COP) | 6.00% | 04/28/28 | 689,837 | ||||
11,830,000,000 | Colombian TES (COP) | 7.75% | 09/18/30 | 3,978,826 | ||||
11,805,376 | ||||||||
Czech Republic – 1.0% | ||||||||
33,480,000 | Czech Republic Government Bond (CZK) | 2.40% | 09/17/25 | 1,559,436 | ||||
Hungary – 5.1% | ||||||||
808,400,000 | Hungary Government Bond (HUF) | 3.00% | 10/27/27 | 3,048,652 | ||||
935,000,000 | Hungary Government Bond (HUF) | 6.75% | 10/22/28 | 4,514,301 | ||||
7,562,953 | ||||||||
Indonesia – 4.8% | ||||||||
33,016,000,000 | Indonesia Treasury Bond (IDR) | 8.38% | 03/15/24 | 2,528,240 | ||||
34,326,000,000 | Indonesia Treasury Bond (IDR) | 8.38% | 09/15/26 | 2,677,752 | ||||
24,010,000,000 | Indonesia Treasury Bond (IDR) | 8.38% | 03/15/34 | 1,853,407 | ||||
7,059,399 | ||||||||
Israel – 5.0% | ||||||||
3,440,000 | Israel Government Bond - Fixed (ILS) | 6.25% | 10/30/26 | 1,348,523 | ||||
18,970,000 | Israel Government Bond - Fixed (ILS) | 2.25% | 09/28/28 | 6,015,725 | ||||
7,364,248 | ||||||||
Malaysia – 3.9% | ||||||||
10,220,000 | Malaysia Government Bond (MYR) | 4.16% | 07/15/21 | 2,488,673 | ||||
4,280,000 | Malaysia Government Bond (MYR) | 4.05% | 09/30/21 | 1,042,089 | ||||
9,360,000 | Malaysia Government Bond (MYR) | 4.18% | 07/15/24 | 2,321,193 | ||||
5,851,955 | ||||||||
Mexico – 4.2% | ||||||||
81,930,000 | Mexican Bonos (MXN) | 5.00% | 12/11/19 | 4,248,315 | ||||
24,210,000 | Mexican Bonos (MXN) | 10.00% | 12/05/24 | 1,442,784 | ||||
9,290,000 | Mexican Bonos (MXN) | 7.75% | 05/29/31 | 516,949 | ||||
6,208,048 | ||||||||
Peru – 6.7% | ||||||||
9,120,000 | Peru Government Bond (PEN) | 8.20% | 08/12/26 | 3,456,234 | ||||
17,860,000 | Peru Government Bond (PEN) | 6.95% | 08/12/31 | 6,538,320 | ||||
9,994,554 |
Principal Value (Local Currency) | Description | Stated Coupon | Stated Maturity | Value (US Dollars) | ||||
FOREIGN SOVEREIGN BONDS AND NOTES (Continued) | ||||||||
Philippines – 2.3% | ||||||||
82,000,000 | Philippine Government International Bond (PHP) | 4.95% | 01/15/21 | $1,639,353 | ||||
10,000,000 | Philippine Government International Bond (PHP) | 3.90% | 11/26/22 | 197,210 | ||||
64,000,000 | Philippine Government International Bond (PHP) | 6.25% | 01/14/36 | 1,528,269 | ||||
3,364,832 | ||||||||
Poland – 4.0% | ||||||||
2,000,000 | Republic of Poland Government Bond (PLN) | 1.75% | 07/25/21 | 526,691 | ||||
4,375,000 | Republic of Poland Government Bond (PLN) | 4.00% | 10/25/23 | 1,247,905 | ||||
11,615,000 | Republic of Poland Government Bond (PLN) | 5.75% | 04/25/29 | 4,089,295 | ||||
5,863,891 | ||||||||
Romania – 4.7% | ||||||||
13,940,000 | Romania Government Bond (RON) | 5.85% | 04/26/23 | 3,504,082 | ||||
5,815,000 | Romania Government Bond (RON) | 4.25% | 06/28/23 | 1,392,045 | ||||
7,780,000 | Romania Government Bond (RON) | 5.80% | 07/26/27 | 2,031,382 | ||||
6,927,509 | ||||||||
South Africa – 15.5% | ||||||||
4,000,000 | Republic of South Africa Government Bond (ZAR) | 6.75% | 03/31/21 | 265,047 | ||||
55,735,000 | Republic of South Africa Government Bond (ZAR) | 10.50% | 12/21/26 | 4,049,967 | ||||
126,220,000 | Republic of South Africa Government Bond (ZAR) | 8.88% | 02/28/35 | 7,761,502 | ||||
135,305,000 | Republic of South Africa Government Bond (ZAR) | 6.25% | 03/31/36 | 6,407,317 | ||||
48,450,000 | Republic of South Africa Government Bond (ZAR) | 8.50% | 01/31/37 | 2,828,825 | ||||
28,000,000 | Republic of South Africa Government Bond (ZAR) | 9.00% | 01/31/40 | 1,689,421 | ||||
23,002,079 | ||||||||
Thailand – 2.4% | ||||||||
69,470,000 | Thailand Government Bond (THB) | 3.63% | 06/16/23 | 2,479,835 | ||||
27,500,000 | Thailand Government Bond (THB) | 3.65% | 06/20/31 | 1,110,981 | ||||
3,590,816 | ||||||||
Turkey – 2.4% | ||||||||
19,950,000 | Turkey Government Bond (TRY) | 10.50% | 01/15/20 | 3,485,078 | ||||
Total Foreign Sovereign Bonds and Notes | 127,600,089 | |||||||
(Cost $127,641,719) | ||||||||
FOREIGN CORPORATE BONDS AND NOTES – 4.4% | ||||||||
Supranationals – 4.4% | ||||||||
51,050,000 | International Finance Corp. (INR) | 5.85% | 11/25/22 | 714,730 | ||||
411,500,000 | International Finance Corp. (INR) | 6.30% | 11/25/24 | 5,852,941 | ||||
Total Foreign Corporate Bonds and Notes | 6,567,671 | |||||||
(Cost $6,804,444) |
Total Investments – 90.6% | 134,167,760 | ||
(Cost $134,446,163) (a) | |||
Net Other Assets and Liabilities – 9.4% | 13,876,994 | ||
Net Assets – 100.0% | $148,044,754 |
Forward Foreign Currency Contracts | ||||||||||||||
Settlement Date | Counterparty | Amount Purchased | Amount Sold | Purchase Value as of 10/31/2019 | Sale Value as of 10/31/2019 | Unrealized Appreciation/ (Depreciation) | ||||||||
11/19/19 | SG | IDR | 20,000,000,000 | USD | 1,424,300 | $ 1,422,573 | $ 1,424,300 | $ (1,727) | ||||||
11/19/19 | SG | INR | 272,500,000 | USD | 3,820,243 | 3,836,181 | 3,820,243 | 15,938 | ||||||
11/19/19 | BBH | MXN | 117,868,920 | USD | 6,110,148 | 6,112,430 | 6,110,148 | 2,282 | ||||||
11/19/19 | SG | PHP | 211,700,000 | USD | 4,111,647 | 4,169,493 | 4,111,647 | 57,846 | ||||||
11/19/19 | BNS | RUB | 1,053,300,000 | USD | 16,300,085 | 16,393,037 | 16,300,085 | 92,952 | ||||||
11/19/19 | BBH | THB | 16,500,000 | USD | 542,050 | 546,513 | 542,050 | 4,463 | ||||||
11/19/19 | BBH | TRY | 14,800,000 | USD | 2,521,535 | 2,578,230 | 2,521,535 | 56,695 | ||||||
11/19/19 | BNS | USD | 5,921,724 | BRL | 24,775,000 | 5,960,400 | 6,171,583 | (211,183) | ||||||
11/19/19 | BNS | USD | 1,887,584 | CLP | 1,350,000,000 | 1,887,584 | 1,821,088 | 66,496 | ||||||
11/19/19 | BNS | USD | 3,114,091 | COP | 10,800,000,000 | 3,127,652 | 3,193,620 | (65,968) | ||||||
11/19/19 | BBH | USD | 1,287,067 | CZK | 30,200,000 | 1,287,067 | 1,319,803 | (32,736) | ||||||
11/19/19 | BBH | USD | 7,162,831 | HUF | 2,165,000,000 | 7,179,713 | 7,354,118 | (174,405) | ||||||
11/19/19 | BBH | USD | 4,303,300 | PLN | 16,790,000 | 4,303,300 | 4,394,905 | (91,605) | ||||||
11/19/19 | BBH | USD | 1,428,536 | RON | 6,210,000 | 1,436,620 | 1,456,938 | (20,318) | ||||||
Net Unrealized Appreciation (Depreciation) | $(301,270) |
Counterparty Abbreviations | |
BBH | Brown Brothers Harriman and Co. |
BNS | Bank of Nova Scotia |
SG | Societe Generale |
(a) | Aggregate cost for federal income tax purposes was $135,894,652. As of October 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,520,296 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $4,548,458. The net unrealized depreciation was $2,028,162. The amounts presented are inclusive of derivative contracts. |
ASSETS TABLE | ||||
Total Value at 10/31/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Foreign Sovereign Bonds and Notes* | $ 127,600,089 | $ — | $ 127,600,089 | $ — |
Foreign Corporate Bonds and Notes* | 6,567,671 | — | 6,567,671 | — |
Total Investments | 134,167,760 | — | 134,167,760 | — |
Forward Foreign Currency Contracts** | 296,672 | — | 296,672 | — |
Total | $ 134,464,432 | $— | $ 134,464,432 | $— |
LIABILITIES TABLE | ||||
Total Value at 10/31/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Forward Foreign Currency Contracts** | $ (597,942) | $ — | $ (597,942) | $ — |
* | See Portfolio of Investments for country breakout. |
** | See the Schedule of Forward Foreign Currency Contracts for contract and currency detail. |
Currency Exposure Diversification | % of Total Investments (including cash)† |
ZAR | 16.0% |
RUB | 11.2 |
BRL | 9.4 |
MXN | 8.4 |
INR | 7.1 |
PEN | 6.9 |
COP | 5.9 |
IDR | 5.8 |
PHP | 5.2 |
ILS | 5.1 |
TRY | 4.2 |
RON | 4.1 |
MYR | 4.0 |
HUF | 3.2 |
THB | 2.9 |
CLP | 1.5 |
CZK | 1.2 |
PLN | 1.1 |
USD | (3.2) |
Total | 100.0% |
† | The weightings include the impact of currency forwards. |
Currency Abbreviations | |
BRL | Brazilian Real |
CLP | Chilean Peso |
COP | Colombian Peso |
CZK | Czech Republic Koruna |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
PEN | Peruvian Nuevo Sol |
PHP | Philippine Peso |
PLN | Polish Zloty |
RON | Romanian New Leu |
RUB | Russian Ruble |
THB | Thai Baht |
TRY | Turkish Lira |
USD | United States Dollar |
ZAR | South African Rand |
ASSETS: | |
Investments, at value (Cost $134,446,163) | $ 134,167,760 |
Cash | 5,032,571 |
Foreign currency (Cost $7,118,317) | 7,119,256 |
Due from authorized participant | 26,620 |
Unrealized appreciation on forward foreign currency contracts | 296,672 |
Receivables: | |
Interest | 2,247,916 |
Interest reclaims | 55,115 |
Total Assets | 148,945,910 |
LIABILITIES: | |
Unrealized depreciation on forward foreign currency contracts | 597,942 |
Payables: | |
Due to broker | 133,302 |
Investment advisory fees | 104,171 |
Deferred foreign capital gains tax | 65,741 |
Total Liabilities | 901,156 |
NET ASSETS | $148,044,754 |
NET ASSETS consist of: | |
Paid-in capital | $ 150,772,288 |
Par value | 38,500 |
Accumulated distributable earnings (loss) | (2,766,034) |
NET ASSETS | $148,044,754 |
NET ASSET VALUE,per share | $38.45 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 3,850,002 |
INVESTMENT INCOME: | ||
Interest | $ 5,715,489 | |
Foreign withholding tax | (87,689) | |
Total investment income | 5,627,800 | |
EXPENSES: | ||
Investment advisory fees | 831,166 | |
Total expenses | 831,166 | |
NET INVESTMENT INCOME (LOSS) | 4,796,634 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | 19,618 | |
Forward foreign currency contracts | 527,030 | |
Foreign currency transactions | (175,327) | |
Foreign capital gains tax | (1,804) | |
Net realized gain (loss) | 369,517 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 5,069,085 | |
Forward foreign currency contracts | (467,009) | |
Foreign currency translation | 15,786 | |
Deferred foreign capital gains tax | (70,810) | |
Net change in unrealized appreciation (depreciation) | 4,547,052 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 4,916,569 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 9,713,203 |
Year Ended 10/31/2019 | Year Ended 10/31/2018 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 4,796,634 | $ 2,476,708 | |
Net realized gain (loss) | 369,517 | (3,099,868) | |
Net change in unrealized appreciation (depreciation) | 4,547,052 | (4,588,147) | |
Net increase (decrease) in net assets resulting from operations | 9,713,203 | (5,211,307) | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (5,090,947) | (1,016,310) | |
Return of capital | (345,452) | (2,159,690) | |
Total distributions to shareholders | (5,436,399) | (3,176,000) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 87,791,477 | 37,425,252 | |
Cost of shares redeemed | — | (22,923,482) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 87,791,477 | 14,501,770 | |
Total increase (decrease) in net assets | 92,068,281 | 6,114,463 | |
NET ASSETS: | |||
Beginning of period | 55,976,473 | 49,862,010 | |
End of period | $ 148,044,754 | $ 55,976,473 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 1,550,002 | 1,200,002 | |
Shares sold | 2,300,000 | 900,000 | |
Shares redeemed | — | (550,000) | |
Shares outstanding, end of period | 3,850,002 | 1,550,002 |
Year Ended October 31, | Period Ended 10/31/2015 (a) | ||||||||
2019 | 2018 | 2017 | 2016 | ||||||
Net asset value, beginning of period | $ 36.11 | $ 41.55 | $ 42.32 | $ 40.77 | $ 50.00 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 2.25 | 1.80 | 2.30 | 1.74 | 1.94 | ||||
Net realized and unrealized gain (loss) | 2.16 | (4.76) | (0.65) | 2.09 | (9.23) | ||||
Total from investment operations | 4.41 | (2.96) | 1.65 | 3.83 | (7.29) | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.94) | (0.79) | (2.42) | (1.56) | — | ||||
Return of capital | (0.13) | (1.69) | — | (0.72) | (1.94) | ||||
Total distributions | (2.07) | (2.48) | (2.42) | (2.28) | (1.94) | ||||
Net asset value, end of period | $38.45 | $36.11 | $41.55 | $42.32 | $40.77 | ||||
Total return (b) | 12.46% | (7.55)% | 4.00% | 9.66% | (14.83)% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 148,045 | $ 55,976 | $ 49,862 | $ 14,812 | $ 4,077 | ||||
Ratio of total expenses to average net assets | 0.85% | 0.85% (c) | 0.85% | 0.85% | 0.85% (d) | ||||
Ratio of net investment income (loss) to average net assets | 4.91% | 4.63% (c) | 4.95% | 4.70% | 4.36% (d) | ||||
Portfolio turnover rate (e) | 25% | 61% | 16% | 23% | 49% |
(a) | Inception date is November 4, 2014, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Includes excise tax. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer, or economic data relating to the country of issue; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer, or the financial condition of the country of issue; |
5) | the credit quality and cash flow of the issuer, or country of issue, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; |
10) | the business prospects of the issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the issuer’s management (for corporate debt only); |
11) | the economic, political and social prospects/developments of the country of issue and the assessment of the country’s governmental leaders/officials (for sovereign debt only); |
12) | the prospects for the issuer’s industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry (for corporate debt only); and |
13) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from: | 2019 | 2018 |
Ordinary income | $5,090,947 | $1,016,310 |
Capital gains | — | — |
Return of capital | 345,452 | 2,159,690 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (668,856) |
Net unrealized appreciation (depreciation) | (2,097,178) |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$(176,795) | $176,795 | $— |
Gross Amounts not Offset in the Statement of Assets and Liabilities | |||||||||||
Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | Financial Instruments | Collateral Amounts Received | Net Amount | ||||||
Forward Foreign Currency Contracts* | $ 296,672 | $ — | $ 296,672 | $ (224,615) | $ — | $ 72,057 | |||||
Gross Amounts not Offset in the Statement of Assets and Liabilities | |||||||||||
Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | Financial Instruments | Collateral Amounts Pledged | Net Amount | ||||||
Forward Foreign Currency Contracts* | $ (597,942) | $ — | $ (597,942) | $ 224,615 | $ — | $ (373,327) |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statement of Assets and Liabilities Location | Value | Statement of Assets and Liabilities Location | Value | |||||
Forward foreign currency contracts | Currency Risk | Unrealized appreciation on forward foreign currency contracts | $ 296,672 | Unrealized depreciation on forward foreign currency contracts | $ 597,942 |
Statement of Operations Location | |
Currency Risk Exposure | |
Net realized gain (loss) on forward foreign currency contracts | $527,030 |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | (467,009) |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016); Member, Sportsmed LLC (April 2007 to November 2015) | 162 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 162 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 162 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services) | 162 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 162 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
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• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
First Trust RiverFront Dynamic Developed International ETF (RFDI)
First Trust RiverFront Dynamic Europe ETF (RFEU)
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM)
For the Year Ended
October 31, 2019
2 | |
Fund Performance Overview | |
3 | |
5 | |
7 | |
9 | |
11 | |
12 | |
15 | |
Portfolio of Investments | |
16 | |
19 | |
24 | |
27 | |
30 | |
31 | |
32 | |
34 | |
38 | |
46 | |
47 | |
52 | |
54 |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 10/31/19 | Inception (4/13/16) to 10/31/19 | Inception (4/13/16) to 10/31/19 | |
Fund Performance | |||
NAV | 3.74% | 2.88% | 10.60% |
Market Price | 3.40% | 2.66% | 9.78% |
Index Performance | |||
MSCI Pacific Index | 11.52% | 9.14% | 36.41% |
Sector Allocation | % of Total Investments |
Financials | 22.7% |
Industrials | 16.9 |
Consumer Discretionary | 15.5 |
Information Technology | 9.2 |
Consumer Staples | 7.9 |
Communication Services | 7.3 |
Materials | 6.7 |
Health Care | 6.3 |
Real Estate | 4.6 |
Utilities | 1.7 |
Energy | 1.2 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Toyota Motor Corp. | 2.4% |
AIA Group Ltd. | 2.2 |
Commonwealth Bank of Australia | 1.9 |
Westpac Banking Corp. | 1.7 |
Keyence Corp. | 1.5 |
Sony Corp. | 1.5 |
National Australia Bank Ltd. | 1.4 |
Takeda Pharmaceutical Co., Ltd. | 1.4 |
Australia & New Zealand Banking Group Ltd. | 1.4 |
KDDI Corp. | 1.3 |
Total | 16.7% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
4/14/16 – 10/31/16 | 65 | 29 | 12 | 2 |
11/1/16 – 10/31/17 | 127 | 85 | 23 | 0 |
11/1/17 – 10/31/18 | 114 | 22 | 8 | 1 |
11/1/18 – 10/31/19 | 81 | 9 | 2 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
4/14/16 – 10/31/16 | 21 | 8 | 2 | 1 |
11/1/16 – 10/31/17 | 16 | 1 | 0 | 0 |
11/1/17 – 10/31/18 | 94 | 12 | 1 | 0 |
11/1/18 – 10/31/19 | 108 | 46 | 5 | 0 |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 10/31/19 | Inception (4/13/16) to 10/31/19 | Inception (4/13/16) to 10/31/19 | |
Fund Performance | |||
NAV | 6.12% | 6.07% | 23.25% |
Market Price | 5.50% | 5.95% | 22.79% |
Index Performance | |||
MSCI EAFE Index | 11.04% | 7.62% | 29.80% |
Sector Allocation | % of Total Investments |
Financials | 18.0% |
Consumer Discretionary | 14.9 |
Industrials | 14.1 |
Consumer Staples | 11.8 |
Health Care | 10.7 |
Materials | 8.6 |
Information Technology | 7.6 |
Energy | 6.0 |
Communication Services | 3.4 |
Utilities | 3.1 |
Real Estate | 1.8 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Nestle S.A. | 2.5% |
Roche Holding AG | 1.7 |
Novartis AG | 1.6 |
BP PLC | 1.2 |
SAP SE | 1.2 |
Toyota Motor Corp. | 1.1 |
GlaxoSmithKline PLC | 1.1 |
AIA Group Ltd. | 0.9 |
AstraZeneca PLC | 0.8 |
HSBC Holdings PLC | 0.8 |
Total | 12.9% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
4/14/16 – 10/31/16 | 46 | 70 | 18 | 2 |
11/1/16 – 10/31/17 | 157 | 81 | 7 | 0 |
11/1/17 – 10/31/18 | 158 | 33 | 0 | 0 |
11/1/18 – 10/31/19 | 65 | 2 | 0 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
4/14/16 – 10/31/16 | 4 | 0 | 0 | 0 |
11/1/16 – 10/31/17 | 7 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 52 | 9 | 0 | 0 |
11/1/18 – 10/31/19 | 171 | 12 | 1 | 0 |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 10/31/19 | Inception (4/13/16) to 10/31/19 | Inception (4/13/16) to 10/31/19 | |
Fund Performance | |||
NAV | 7.01% | 7.55% | 29.50% |
Market Price | 7.41% | 7.54% | 29.44% |
Index Performance | |||
MSCI Europe Index | 10.90% | 6.92% | 26.83% |
Sector Allocation | % of Total Investments |
Financials | 14.9% |
Consumer Staples | 14.5 |
Consumer Discretionary | 14.2 |
Health Care | 13.7 |
Industrials | 12.3 |
Materials | 9.8 |
Energy | 9.3 |
Information Technology | 6.4 |
Utilities | 4.1 |
Communication Services | 0.7 |
Other * | 0.1 |
Total | 100.0% |
* | Exchange-traded fund with holdings representing multiple sectors. |
Top Ten Holdings | % of Total Investments |
Nestle S.A. | 4.2% |
Roche Holding AG | 2.9 |
Novartis AG | 2.6 |
BP PLC | 2.1 |
SAP SE | 2.0 |
GlaxoSmithKline PLC | 1.8 |
AstraZeneca PLC | 1.4 |
HSBC Holdings PLC | 1.4 |
L’Oreal S.A. | 1.4 |
TOTAL S.A. | 1.3 |
Total | 21.1% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
4/14/16 – 10/31/16 | 39 | 35 | 2 | 0 |
11/1/16 – 10/31/17 | 134 | 103 | 8 | 0 |
11/1/17 – 10/31/18 | 146 | 10 | 0 | 0 |
11/1/18 – 10/31/19 | 33 | 4 | 0 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
4/14/16 – 10/31/16 | 56 | 8 | 0 | 0 |
11/1/16 – 10/31/17 | 7 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 92 | 4 | 0 | 0 |
11/1/18 – 10/31/19 | 206 | 7 | 1 | 0 |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 10/31/19 | Inception (6/14/16) to 10/31/19 | Inception (6/14/16) to 10/31/19 | |
Fund Performance | |||
NAV | 10.32% | 9.13% | 34.37% |
Market Price | 9.94% | 8.94% | 33.58% |
Index Performance | |||
MSCI Emerging Markets Index | 11.86% | 10.74% | 41.18% |
Sector Allocation | % of Total Investments |
Financials | 24.2% |
Information Technology | 18.7 |
Consumer Discretionary | 14.0 |
Energy | 11.5 |
Communication Services | 9.3 |
Materials | 5.9 |
Industrials | 5.6 |
Consumer Staples | 4.2 |
Real Estate | 2.8 |
Utilities | 2.7 |
Health Care | 0.9 |
Other * | 0.2 |
Total | 100.0% |
* | Exchange-traded fund with holdings representing multiple sectors. |
Top Ten Holdings | % of Total Investments |
Alibaba Group Holding Ltd., ADR | 5.3% |
Samsung Electronics Co., Ltd. | 4.5 |
Tencent Holdings Ltd. | 4.5 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 4.4 |
China Construction Bank Corp., Class H | 1.5 |
Gazprom PJSC | 1.3 |
SK Hynix, Inc. | 1.3 |
LUKOIL PJSC | 1.2 |
Banco Bradesco S.A. (Preference Shares) | 1.2 |
Naspers Ltd., Class N | 1.2 |
Total | 26.4% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
6/15/16 – 10/31/16 | 31 | 40 | 16 | 1 |
11/1/16 – 10/31/17 | 130 | 87 | 8 | 0 |
11/1/17 – 10/31/18 | 94 | 66 | 6 | 0 |
11/1/18 – 10/31/19 | 80 | 12 | 2 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
6/15/16 – 10/31/16 | 7 | 2 | 0 | 0 |
11/1/16 – 10/31/17 | 25 | 1 | 1 | 0 |
11/1/17 – 10/31/18 | 53 | 28 | 5 | 0 |
11/1/18 – 10/31/19 | 100 | 54 | 2 | 1 |
Beginning Account Value May 1, 2019 | Ending Account Value October 31, 2019 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust RiverFront Dynamic Asia Pacific ETF (RFAP) | ||||
Actual | $1,000.00 | $1,026.10 | 0.83% | $4.24 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.02 | 0.83% | $4.23 |
First Trust RiverFront Dynamic Developed International ETF (RFDI) | ||||
Actual | $1,000.00 | $1,013.80 | 0.83% | $4.21 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.02 | 0.83% | $4.23 |
First Trust RiverFront Dynamic Europe ETF (RFEU) | ||||
Actual | $1,000.00 | $1,004.70 | 0.83% | $4.19 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.02 | 0.83% | $4.23 |
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) | ||||
Actual | $1,000.00 | $981.30 | 0.95% | $4.74 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.42 | 0.95% | $4.84 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2019 through October 31, 2019), multiplied by 184/365 (to reflect the six-month period). |
Shares | Description | Value | ||
COMMON STOCKS (a) – 98.9% | ||||
Australia – 16.5% | ||||
10,695 | AGL Energy Ltd. | $145,830 | ||
85,202 | AMP Ltd. | 107,777 | ||
7,155 | Aristocrat Leisure Ltd. | 155,959 | ||
19,523 | Australia & New Zealand Banking Group Ltd. | 359,872 | ||
17,953 | Bank of Queensland Ltd. | 112,002 | ||
12,966 | BHP Group Ltd. | 321,325 | ||
13,068 | Coca-Cola Amatil Ltd. | 91,435 | ||
8,992 | Commonwealth Bank of Australia | 487,585 | ||
1,642 | CSL Ltd. | 289,803 | ||
1,555 | Macquarie Group Ltd. | 143,554 | ||
38,598 | Metcash Ltd. | 75,033 | ||
18,993 | National Australia Bank Ltd. | 374,586 | ||
4,714 | Perpetual Ltd. | 116,758 | ||
33,494 | Platinum Asset Management Ltd. | 95,589 | ||
1,835 | Rio Tinto Ltd. | 114,959 | ||
35,615 | Tabcorp Holdings Ltd. | 117,846 | ||
13,190 | Transurban Group | 134,933 | ||
9,189 | Wesfarmers Ltd. | 251,857 | ||
22,247 | Westpac Banking Corp. | 432,628 | ||
8,970 | Woodside Petroleum Ltd. | 199,108 | ||
7,910 | Woolworths Group Ltd. | 203,497 | ||
4,331,936 | ||||
Bermuda – 1.0% | ||||
4,100 | Jardine Strategic Holdings Ltd. | 132,553 | ||
466,494 | Li & Fung Ltd. | 51,198 | ||
315,162 | Pacific Basin Shipping Ltd. | 73,201 | ||
256,952 | ||||
Cayman Islands – 2.5% | ||||
17,338 | AAC Technologies Holdings, Inc. | 112,844 | ||
21,095 | CK Hutchison Holdings Ltd. | 195,176 | ||
143,636 | Lee & Man Paper Manufacturing Ltd. | 80,104 | ||
2,000 | Tencent Holdings Ltd. | 81,879 | ||
47,273 | Tingyi Cayman Islands Holding Corp. | 62,983 | ||
116,981 | WH Group Ltd. (b) | 124,207 | ||
657,193 | ||||
Hong Kong – 5.7% | ||||
58,443 | AIA Group Ltd. | 585,105 | ||
55,455 | Cathay Pacific Airways Ltd. | 70,912 | ||
49,925 | Fosun International Ltd. | 65,497 | ||
93,962 | Hong Kong & China Gas Co., Ltd. | 182,505 | ||
3,072 | Hong Kong Exchanges & Clearing Ltd. | 96,050 | ||
8,182 | Sun Hung Kai Properties Ltd. | 124,151 | ||
11,733 | Swire Pacific Ltd., Class A | 111,850 | ||
15,584 | Vitasoy International Holdings Ltd. | 63,442 | ||
32,542 | Wharf Holdings (The) Ltd. | 74,005 |
Shares | Description | Value | ||
Hong Kong (Continued) | ||||
18,095 | Wheelock & Co., Ltd. | $112,113 | ||
1,485,630 | ||||
Japan – 69.1% | ||||
3,500 | Advantest Corp. | 160,270 | ||
6,500 | Aeon Mall Co., Ltd. | 104,491 | ||
3,800 | AGC, Inc. | 134,772 | ||
4,300 | Aisin Seiki Co., Ltd. | 173,609 | ||
2,500 | Amano Corp. | 74,544 | ||
2,800 | ANA Holdings, Inc. | 96,505 | ||
3,180 | Aozora Bank Ltd. | 82,187 | ||
14,500 | Astellas Pharma, Inc. | 249,544 | ||
2,900 | Bridgestone Corp. | 121,462 | ||
6,700 | Brother Industries Ltd. | 127,498 | ||
5,000 | Canon, Inc. | 137,142 | ||
2,800 | Capcom Co., Ltd. | 66,558 | ||
1,200 | Central Japan Railway Co. | 247,745 | ||
9,600 | Credit Saison Co., Ltd. | 140,280 | ||
12,700 | Dai-ichi Life Holdings, Inc. | 209,981 | ||
1,700 | Daiichi Sankyo Co., Ltd. | 112,399 | ||
1,300 | Daikin Industries Ltd. | 183,341 | ||
5,900 | Daiwa House Industry Co., Ltd. | 204,061 | ||
30,300 | Daiwa Securities Group, Inc. | 137,401 | ||
600 | Disco Corp. | 132,679 | ||
7,300 | DMG Mori Co., Ltd. | 119,988 | ||
1,500 | East Japan Railway Co. | 136,804 | ||
500 | FANUC Corp. | 100,009 | ||
200 | Fast Retailing Co., Ltd. | 124,178 | ||
2,600 | GungHo Online Entertainment, Inc. | 56,627 | ||
9,200 | Haseko Corp. | 119,696 | ||
2,800 | Hitachi Ltd. | 105,502 | ||
8,400 | Hokuhoku Financial Group, Inc. | 83,152 | ||
11,100 | Honda Motor Co., Ltd. | 302,400 | ||
2,500 | House Foods Group, Inc. | 95,263 | ||
1,300 | Hoya Corp. | 115,602 | ||
6,600 | ITOCHU Corp. | 138,796 | ||
3,600 | Jaccs Co., Ltd. | 81,941 | ||
3,900 | Japan Petroleum Exploration Co., Ltd. | 100,651 | ||
13,000 | Japan Post Holdings Co., Ltd. | 119,900 | ||
6,000 | Japan Tobacco, Inc. | 136,457 | ||
7,400 | Kajima Corp. | 102,513 | ||
2,100 | Kaken Pharmaceutical Co., Ltd. | 103,454 | ||
1,500 | Kao Corp. | 121,456 | ||
7,200 | Kawasaki Kisen Kaisha Ltd. (c) | 108,877 | ||
12,400 | KDDI Corp. | 344,362 | ||
600 | Keyence Corp. | 382,369 | ||
4,500 | Komatsu Ltd. | 106,635 | ||
1,500 | Kyocera Corp. | 99,204 | ||
2,200 | Lawson, Inc. | 121,826 | ||
5,800 | LIXIL Group Corp. | 108,814 | ||
14,400 | Mazda Motor Corp. | 134,012 | ||
1,600 | MEIJI Holdings Co., Ltd. | 115,863 | ||
3,500 | Miraca Holdings, Inc. | 83,165 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Japan (Continued) | ||||
20,500 | Mitsubishi Chemical Holdings Corp. | $157,675 | ||
3,900 | Mitsubishi Corp. | 99,820 | ||
9,200 | Mitsubishi Electric Corp. | 132,603 | ||
5,800 | Mitsubishi Estate Co., Ltd. | 113,191 | ||
4,200 | Mitsubishi Heavy Industries Ltd. | 171,205 | ||
3,600 | Mitsubishi Materials Corp. | 104,343 | ||
6,500 | Mitsubishi Tanabe Pharma Corp. | 78,368 | ||
44,400 | Mitsubishi UFJ Financial Group, Inc. | 234,273 | ||
19,700 | Mitsubishi UFJ Lease & Finance Co., Ltd. | 122,042 | ||
8,200 | Mitsui & Co., Ltd. | 141,805 | ||
3,600 | Mitsui Chemicals, Inc. | 86,775 | ||
7,700 | Mitsui E&S Holdings Co., Ltd. (c) | 78,861 | ||
4,300 | Mitsui Fudosan Co., Ltd. | 110,735 | ||
4,700 | Mitsui OSK Lines Ltd. | 129,523 | ||
79,300 | Mizuho Financial Group, Inc. | 123,954 | ||
5,300 | MS&AD Insurance Group Holdings, Inc. | 172,217 | ||
4,700 | Murata Manufacturing Co., Ltd. | 255,173 | ||
8,400 | Nexon Co., Ltd. (c) | 97,620 | ||
1,100 | Nidec Corp. | 163,844 | ||
400 | Nintendo Co., Ltd. | 143,050 | ||
4,600 | Nippon Paper Industries Co., Ltd. | 79,783 | ||
5,300 | Nippon Telegraph & Telephone Corp. | 263,847 | ||
7,200 | Nippon Yusen KK | 130,879 | ||
4,300 | Nishimatsu Construction Co., Ltd. | 90,348 | ||
25,300 | Nissan Motor Co., Ltd. | 161,513 | ||
2,700 | NSD Co., Ltd. | 83,633 | ||
3,900 | NTT Data Corp. | 51,716 | ||
10,500 | NTT DOCOMO, Inc. | 289,263 | ||
11,700 | Obayashi Corp. | 121,345 | ||
21,000 | Oji Holdings Corp. | 109,871 | ||
12,400 | Onward Holdings Co., Ltd. | 71,996 | ||
83,200 | Orient Corp. | 122,500 | ||
1,000 | Oriental Land Co., Ltd. | 147,097 | ||
13,400 | ORIX Corp. | 211,752 | ||
5,200 | OSAKA Titanium Technologies Co., Ltd. | 82,485 | ||
9,800 | Pan Pacific International Holdings Corp. | 154,909 | ||
18,500 | Panasonic Corp. | 157,076 | ||
14,300 | Rakuten, Inc. | 137,452 | ||
8,600 | Recruit Holdings Co., Ltd. | 287,569 | ||
3,100 | Sankyo Co., Ltd. | 108,941 | ||
3,200 | Sapporo Holdings Ltd. | 80,808 | ||
5,900 | Seino Holdings Co., Ltd. | 76,325 | ||
6,500 | Seven & i Holdings Co., Ltd. | 246,782 | ||
10,200 | Sharp Corp. | 118,917 | ||
4,400 | Shimachu Co., Ltd. | 119,952 |
Shares | Description | Value | ||
Japan (Continued) | ||||
1,600 | Shin-Etsu Chemical Co., Ltd. | $180,165 | ||
1,400 | Shionogi & Co., Ltd. | 84,500 | ||
2,000 | Shiseido Co., Ltd. | 166,089 | ||
300 | SMC Corp. | 131,096 | ||
15,200 | Softbank Corp. | 209,019 | ||
8,800 | SoftBank Group Corp. | 341,439 | ||
32,500 | Sojitz Corp. | 102,926 | ||
6,200 | Sony Corp. | 380,359 | ||
9,100 | SUMCO Corp. | 153,450 | ||
29,400 | Sumitomo Chemical Co., Ltd. | 135,852 | ||
4,000 | Sumitomo Forestry Co., Ltd. | 58,561 | ||
3,200 | Sumitomo Heavy Industries Ltd. | 100,602 | ||
7,900 | Sumitomo Mitsui Financial Group, Inc. | 283,841 | ||
2,900 | Suntory Beverage & Food Ltd. | 124,067 | ||
4,500 | Taiheiyo Cement Corp. | 128,345 | ||
10,200 | Takeda Pharmaceutical Co., Ltd. | 371,012 | ||
3,300 | Terumo Corp. | 108,482 | ||
13,900 | Toda Corp. | 87,784 | ||
6,400 | Tokai Rika Co., Ltd. | 125,049 | ||
1,900 | Tokio Marine Holdings, Inc. | 103,243 | ||
2,900 | Tokuyama Corp. | 78,334 | ||
2,200 | Tokyo Century Corp. | 102,676 | ||
24,400 | Tokyo Electric Power Co., Holdings, Inc. (c) | 113,425 | ||
1,400 | Tokyo Electron Ltd. | 286,184 | ||
4,500 | Tokyo Seimitsu Co., Ltd. | 146,264 | ||
19,100 | Tokyu Fudosan Holdings Corp. | 127,522 | ||
4,500 | Toyoda Gosei Co., Ltd. | 106,510 | ||
9,100 | Toyota Motor Corp. | 635,542 | ||
1,800 | Tsumura & Co. | 49,971 | ||
7,300 | Zeon Corp. | 84,025 | ||
18,096,155 | ||||
New Zealand – 0.4% | ||||
12,421 | a2 Milk Co., Ltd. (c) | 103,528 | ||
Singapore – 3.7% | ||||
14,500 | DBS Group Holdings Ltd. | 277,114 | ||
15,900 | Oversea-Chinese Banking Corp., Ltd. | 128,093 | ||
12,200 | Singapore Airlines Ltd. | 84,385 | ||
20,300 | Singapore Exchange Ltd. | 133,399 | ||
6,400 | United Overseas Bank Ltd. | 126,217 | ||
8,300 | Venture Corp Ltd. | 96,578 | ||
44,900 | Wilmar International Ltd. | 123,764 | ||
969,550 | ||||
Total Common Stocks | 25,900,944 | |||
(Cost $26,265,598) |
Shares | Description | Value | ||
REAL ESTATE INVESTMENT TRUSTS (a) – 0.4% | ||||
Hong Kong – 0.4% | ||||
10,455 | Link REIT | $114,010 | ||
(Cost $127,079) | ||||
Total Investments – 99.3% | 26,014,954 | |||
(Cost $26,392,677) (d) | ||||
Net Other Assets and Liabilities – 0.7% | 189,052 | |||
Net Assets – 100.0% | $26,204,006 |
(a) | Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
(b) | This security is restricted in the U.S. and cannot be offered for public sale without first being registered under the Securities Act of 1933, as amended. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
(c) | Non-income producing security. |
(d) | Aggregate cost for federal income tax purposes was $26,470,789. As of October 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,441,903 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,897,738. The net unrealized depreciation was $455,835. |
Total Value at 10/31/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 25,900,944 | $ 25,900,944 | $ — | $ — |
Real Estate Investment Trusts* | 114,010 | 114,010 | — | — |
Total Investments | $ 26,014,954 | $ 26,014,954 | $— | $— |
* | See Portfolio of Investments for country breakout. |
Currency Exposure Diversification | % of Total Investments |
Japanese Yen | 69.6% |
Australian Dollar | 16.6 |
Hong Kong Dollar | 9.2 |
Singapore Dollar | 3.7 |
United States Dollar | 0.5 |
New Zealand Dollar | 0.4 |
Total | 100.0% |
Shares | Description | Value | ||
COMMON STOCKS (a) – 98.7% | ||||
Australia – 6.6% | ||||
40,031 | AGL Energy Ltd. | $545,836 | ||
318,897 | AMP Ltd. | 403,391 | ||
26,778 | Aristocrat Leisure Ltd. | 583,687 | ||
73,067 | Australia & New Zealand Banking Group Ltd. | 1,346,860 | ||
67,194 | Bank of Queensland Ltd. | 419,198 | ||
48,529 | BHP Group Ltd. | 1,202,652 | ||
48,917 | Coca-Cola Amatil Ltd. | 342,267 | ||
33,655 | Commonwealth Bank of Australia | 1,824,918 | ||
6,149 | CSL Ltd. | 1,085,263 | ||
5,824 | Macquarie Group Ltd. | 537,658 | ||
144,465 | Metcash Ltd. | 280,835 | ||
71,093 | National Australia Bank Ltd. | 1,402,118 | ||
17,639 | Perpetual Ltd. | 436,889 | ||
125,362 | Platinum Asset Management Ltd. | 357,772 | ||
6,864 | Rio Tinto Ltd. | 430,017 | ||
133,304 | Tabcorp Holdings Ltd. | 441,087 | ||
49,367 | Transurban Group | 505,022 | ||
34,387 | Wesfarmers Ltd. | 942,498 | ||
83,265 | Westpac Banking Corp. | 1,619,218 | ||
33,574 | Woodside Petroleum Ltd. | 745,244 | ||
29,611 | Woolworths Group Ltd. | 761,789 | ||
16,214,219 | ||||
Austria – 1.0% | ||||
15,852 | OMV AG | 925,004 | ||
12,552 | Verbund AG | 678,963 | ||
29,205 | Wienerberger AG | 789,554 | ||
2,393,521 | ||||
Belgium – 0.5% | ||||
7,609 | Anheuser-Busch InBev S.A./N.V. | 611,354 | ||
20,280 | Bekaert S.A. | 565,005 | ||
1,176,359 | ||||
Bermuda – 0.4% | ||||
15,000 | Jardine Strategic Holdings Ltd. | 484,950 | ||
1,747,304 | Li & Fung Ltd. | 191,768 | ||
1,180,245 | Pacific Basin Shipping Ltd. | 274,127 | ||
950,845 | ||||
Cayman Islands – 1.0% | ||||
65,722 | AAC Technologies Holdings, Inc. | 427,749 | ||
79,478 | CK Hutchison Holdings Ltd. | 735,349 | ||
537,478 | Lee & Man Paper Manufacturing Ltd. | 299,744 | ||
7,468 | Tencent Holdings Ltd. | 305,736 | ||
176,866 | Tingyi Cayman Islands Holding Corp. | 235,642 | ||
436,950 | WH Group Ltd. (b) | 463,942 | ||
2,468,162 | ||||
Denmark – 1.4% | ||||
6,358 | Carlsberg A.S., Class B | 894,456 |
Shares | Description | Value | ||
Denmark (Continued) | ||||
19,507 | Novo Nordisk A.S., Class B | $1,065,360 | ||
10,221 | Orsted A.S. (b) | 896,557 | ||
24,735 | Tryg A.S. | 690,858 | ||
3,547,231 | ||||
Finland – 1.2% | ||||
20,784 | Metso OYJ | 785,352 | ||
72,459 | Stora Enso OYJ, Class R | 939,457 | ||
35,116 | UPM-Kymmene OYJ | 1,141,264 | ||
2,866,073 | ||||
France – 7.6% | ||||
59,232 | Air France-KLM (c) | 705,206 | ||
4,031 | Air Liquide S.A. | 535,447 | ||
9,147 | Arkema S.A. | 934,879 | ||
1,389 | Christian Dior SE | 685,345 | ||
10,224 | Danone S.A. | 847,914 | ||
6,955 | Dassault Systemes SE | 1,055,328 | ||
2,920 | Kering S.A. | 1,661,556 | ||
6,745 | L’Oreal S.A. | 1,969,442 | ||
3,330 | LVMH Moet Hennessy Louis Vuitton SE | 1,420,585 | ||
6,915 | Pernod Ricard S.A. | 1,276,386 | ||
41,815 | Peugeot S.A. | 1,058,643 | ||
2,039 | Safran S.A. | 322,581 | ||
18,301 | Sanofi | 1,686,365 | ||
4,883 | Sartorius Stedim Biotech | 730,855 | ||
6,737 | Schneider Electric SE | 625,597 | ||
36,326 | TOTAL S.A. | 1,909,646 | ||
9,847 | Ubisoft Entertainment S.A. (c) | 581,406 | ||
4,469 | Vinci S.A. | 501,418 | ||
18,508,599 | ||||
Germany – 8.5% | ||||
5,314 | adidas AG | 1,640,808 | ||
64,298 | AIXTRON SE (c) | 586,601 | ||
5,730 | Allianz SE | 1,399,556 | ||
7,571 | BASF SE | 576,130 | ||
8,628 | Bayer AG | 669,555 | ||
22,326 | Covestro AG (b) | 1,071,953 | ||
51,164 | Deutsche Lufthansa AG | 887,048 | ||
26,380 | Deutsche Telekom AG | 463,920 | ||
27,852 | Evonik Industries AG | 734,648 | ||
14,368 | HeidelbergCement AG | 1,067,561 | ||
3,366 | MTU Aero Engines AG | 898,731 | ||
5,261 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 1,461,031 | ||
34,338 | Salzgitter AG | 621,563 | ||
22,057 | SAP SE | 2,922,500 | ||
4,019 | Sartorius AG (Preference Shares) | 780,832 | ||
122,397 | Schaeffler AG (Preference Shares) | 1,032,011 | ||
7,609 | Siemens AG | 877,316 | ||
4,783 | Volkswagen AG | 906,328 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Germany (Continued) | ||||
7,410 | Volkswagen AG (Preference Shares) | $1,410,728 | ||
16,973 | Zalando SE (b) (c) | 735,430 | ||
20,744,250 | ||||
Hong Kong – 2.3% | ||||
218,470 | AIA Group Ltd. | 2,187,223 | ||
208,632 | Cathay Pacific Airways Ltd. | 266,782 | ||
186,364 | Fosun International Ltd. | 244,491 | ||
351,166 | Hong Kong & China Gas Co., Ltd. | 682,080 | ||
11,367 | Hong Kong Exchanges & Clearing Ltd. | 355,402 | ||
30,049 | Sun Hung Kai Properties Ltd. | 455,953 | ||
44,242 | Swire Pacific Ltd., Class A | 421,759 | ||
66,000 | Vitasoy International Holdings Ltd. | 268,685 | ||
122,061 | Wharf Holdings (The) Ltd. | 277,583 | ||
68,164 | Wheelock & Co., Ltd. | 422,331 | ||
5,582,289 | ||||
Italy – 3.3% | ||||
390,946 | A2A S.p.A. | 784,404 | ||
234,812 | Enel S.p.A. | 1,817,488 | ||
88,483 | Eni S.p.A. | 1,339,157 | ||
83,938 | Leonardo S.p.A. | 974,543 | ||
74,674 | Mediobanca Banca di Credito Finanziario S.p.A. | 886,974 | ||
20,660 | Moncler S.p.A. | 795,874 | ||
138,678 | Unipol Gruppo S.p.A. | 773,183 | ||
272,066 | UnipolSai Assicurazioni S.p.A. | 758,891 | ||
8,130,514 | ||||
Japan – 27.6% | ||||
12,700 | Advantest Corp. | 581,549 | ||
24,300 | Aeon Mall Co., Ltd. | 390,636 | ||
13,900 | AGC, Inc. | 492,981 | ||
15,700 | Aisin Seiki Co., Ltd. | 633,873 | ||
9,600 | Amano Corp. | 286,249 | ||
10,800 | ANA Holdings, Inc. | 372,234 | ||
12,060 | Aozora Bank Ltd. | 311,691 | ||
54,900 | Astellas Pharma, Inc. | 944,825 | ||
10,900 | Bridgestone Corp. | 456,530 | ||
24,900 | Brother Industries Ltd. | 473,836 | ||
18,800 | Canon, Inc. | 515,655 | ||
10,600 | Capcom Co., Ltd. | 251,970 | ||
4,400 | Central Japan Railway Co. | 908,399 | ||
36,200 | Credit Saison Co., Ltd. | 528,971 | ||
47,100 | Dai-ichi Life Holdings, Inc. | 778,748 | ||
6,100 | Daiichi Sankyo Co., Ltd. | 403,315 | ||
4,200 | Daikin Industries Ltd. | 592,333 | ||
21,600 | Daiwa House Industry Co., Ltd. | 747,069 | ||
113,800 | Daiwa Securities Group, Inc. | 516,046 | ||
2,700 | Disco Corp. | 597,055 | ||
27,300 | DMG Mori Co., Ltd. | 448,722 | ||
5,200 | East Japan Railway Co. | 474,255 |
Shares | Description | Value | ||
Japan (Continued) | ||||
2,200 | FANUC Corp. | $440,041 | ||
700 | Fast Retailing Co., Ltd. | 434,624 | ||
10,130 | GungHo Online Entertainment, Inc. | 220,629 | ||
34,600 | Haseko Corp. | 450,162 | ||
10,700 | Hitachi Ltd. | 403,170 | ||
31,000 | Hokuhoku Financial Group, Inc. | 306,871 | ||
41,500 | Honda Motor Co., Ltd. | 1,130,595 | ||
9,600 | House Foods Group, Inc. | 365,812 | ||
4,400 | Hoya Corp. | 391,270 | ||
24,600 | ITOCHU Corp. | 517,331 | ||
13,100 | Jaccs Co., Ltd. | 298,174 | ||
14,400 | Japan Petroleum Exploration Co., Ltd. | 371,634 | ||
48,100 | Japan Post Holdings Co., Ltd. | 443,630 | ||
22,000 | Japan Tobacco, Inc. | 500,343 | ||
27,800 | Kajima Corp. | 385,117 | ||
7,700 | Kaken Pharmaceutical Co., Ltd. | 379,331 | ||
4,800 | Kao Corp. | 388,658 | ||
27,100 | Kawasaki Kisen Kaisha Ltd. (c) | 409,800 | ||
46,700 | KDDI Corp. | 1,296,910 | ||
2,500 | Keyence Corp. | 1,593,203 | ||
17,100 | Komatsu Ltd. | 405,213 | ||
5,500 | Kyocera Corp. | 363,747 | ||
7,900 | Lawson, Inc. | 437,466 | ||
21,400 | LIXIL Group Corp. | 401,485 | ||
54,200 | Mazda Motor Corp. | 504,408 | ||
5,800 | MEIJI Holdings Co., Ltd. | 420,002 | ||
12,700 | Miraca Holdings, Inc. | 301,771 | ||
76,700 | Mitsubishi Chemical Holdings Corp. | 589,934 | ||
14,400 | Mitsubishi Corp. | 368,567 | ||
34,300 | Mitsubishi Electric Corp. | 494,379 | ||
21,200 | Mitsubishi Estate Co., Ltd. | 413,733 | ||
15,400 | Mitsubishi Heavy Industries Ltd. | 627,751 | ||
13,000 | Mitsubishi Materials Corp. | 376,794 | ||
24,500 | Mitsubishi Tanabe Pharma Corp. | 295,388 | ||
165,700 | Mitsubishi UFJ Financial Group, Inc. | 874,302 | ||
73,400 | Mitsubishi UFJ Lease & Finance Co., Ltd. | 454,714 | ||
30,100 | Mitsui & Co., Ltd. | 520,527 | ||
13,200 | Mitsui Chemicals, Inc. | 318,174 | ||
29,100 | Mitsui E&S Holdings Co., Ltd. (c) | 298,033 | ||
15,800 | Mitsui Fudosan Co., Ltd. | 406,888 | ||
17,800 | Mitsui OSK Lines Ltd. | 490,534 | ||
296,800 | Mizuho Financial Group, Inc. | 463,930 | ||
20,100 | MS&AD Insurance Group Holdings, Inc. | 653,124 | ||
17,800 | Murata Manufacturing Co., Ltd. | 966,399 | ||
31,100 | Nexon Co., Ltd. (c) | 361,427 | ||
4,400 | Nidec Corp. | 655,375 | ||
1,500 | Nintendo Co., Ltd. | 536,439 | ||
17,400 | Nippon Paper Industries Co., Ltd. | 301,789 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Japan (Continued) | ||||
20,000 | Nippon Telegraph & Telephone Corp. | $995,648 | ||
27,000 | Nippon Yusen KK | 490,795 | ||
16,000 | Nishimatsu Construction Co., Ltd. | 336,179 | ||
94,900 | Nissan Motor Co., Ltd. | 605,834 | ||
10,500 | NSD Co., Ltd. | 325,238 | ||
14,100 | NTT Data Corp. | 186,973 | ||
38,800 | NTT DOCOMO, Inc. | 1,068,895 | ||
44,200 | Obayashi Corp. | 458,413 | ||
79,100 | Oji Holdings Corp. | 413,848 | ||
46,500 | Onward Holdings Co., Ltd. | 269,983 | ||
311,100 | Orient Corp. | 458,051 | ||
4,000 | Oriental Land Co., Ltd. | 588,388 | ||
49,900 | ORIX Corp. | 788,539 | ||
19,600 | OSAKA Titanium Technologies Co., Ltd. | 310,907 | ||
36,300 | Pan Pacific International Holdings Corp. | 573,795 | ||
69,400 | Panasonic Corp. | 589,248 | ||
53,900 | Rakuten, Inc. | 518,087 | ||
32,200 | Recruit Holdings Co., Ltd. | 1,076,713 | ||
11,700 | Sankyo Co., Ltd. | 411,163 | ||
12,300 | Sapporo Holdings Ltd. | 310,604 | ||
21,600 | Seino Holdings Co., Ltd. | 279,426 | ||
23,800 | Seven & i Holdings Co., Ltd. | 903,602 | ||
38,400 | Sharp Corp. | 447,686 | ||
16,200 | Shimachu Co., Ltd. | 441,641 | ||
5,700 | Shin-Etsu Chemical Co., Ltd. | 641,837 | ||
4,400 | Shionogi & Co., Ltd. | 265,573 | ||
7,100 | Shiseido Co., Ltd. | 589,618 | ||
1,200 | SMC Corp. | 524,382 | ||
56,500 | Softbank Corp. | 776,947 | ||
32,900 | SoftBank Group Corp. | 1,276,516 | ||
121,900 | Sojitz Corp. | 386,052 | ||
22,800 | Sony Corp. | 1,398,741 | ||
34,200 | SUMCO Corp. | 576,703 | ||
109,900 | Sumitomo Chemical Co., Ltd. | 507,826 | ||
14,800 | Sumitomo Forestry Co., Ltd. | 216,676 | ||
12,200 | Sumitomo Heavy Industries Ltd. | 383,545 | ||
29,900 | Sumitomo Mitsui Financial Group, Inc. | 1,074,285 | ||
11,300 | Suntory Beverage & Food Ltd. | 483,434 | ||
16,600 | Taiheiyo Cement Corp. | 473,451 | ||
38,400 | Takeda Pharmaceutical Co., Ltd. | 1,396,752 | ||
12,400 | Terumo Corp. | 407,630 | ||
52,400 | Toda Corp. | 330,927 | ||
23,600 | Tokai Rika Co., Ltd. | 461,117 | ||
6,900 | Tokio Marine Holdings, Inc. | 374,935 | ||
11,100 | Tokuyama Corp. | 299,831 | ||
8,000 | Tokyo Century Corp. | 373,368 | ||
91,000 | Tokyo Electric Power Co., Holdings, Inc. (c) | 423,021 | ||
4,400 | Tokyo Electron Ltd. | 899,435 | ||
16,700 | Tokyo Seimitsu Co., Ltd. | 542,800 |
Shares | Description | Value | ||
Japan (Continued) | ||||
71,800 | Tokyu Fudosan Holdings Corp. | $479,376 | ||
16,800 | Toyoda Gosei Co., Ltd. | 397,637 | ||
38,900 | Toyota Motor Corp. | 2,716,768 | ||
6,400 | Tsumura & Co. | 177,676 | ||
27,600 | Zeon Corp. | 317,685 | ||
67,760,740 | ||||
Jersey – 0.2% | ||||
307,261 | Man Group PLC | 571,145 | ||
Netherlands – 4.1% | ||||
9,498 | Airbus SE | 1,360,368 | ||
4,748 | ASML Holding N.V. | 1,244,429 | ||
72,798 | Fiat Chrysler Automobiles N.V. | 1,130,837 | ||
49,656 | Koninklijke Ahold Delhaize N.V. | 1,236,388 | ||
19,001 | Koninklijke Philips N.V. | 832,203 | ||
14,129 | Randstad N.V. | 782,231 | ||
69,865 | TomTom N.V. | 789,334 | ||
28,394 | Unilever N.V. | 1,676,812 | ||
14,223 | Wolters Kluwer N.V. | 1,047,269 | ||
10,099,871 | ||||
New Zealand – 0.2% | ||||
46,493 | a2 Milk Co., Ltd. (c) | 387,517 | ||
Norway – 1.5% | ||||
57,532 | DNB ASA | 1,045,394 | ||
516,587 | DNO ASA | 623,815 | ||
64,224 | Equinor ASA | 1,187,943 | ||
48,559 | Gjensidige Forsikring ASA | 907,694 | ||
3,764,846 | ||||
Singapore – 1.5% | ||||
54,300 | DBS Group Holdings Ltd. | 1,037,745 | ||
59,400 | Oversea-Chinese Banking Corp., Ltd. | 478,536 | ||
45,700 | Singapore Airlines Ltd. | 316,099 | ||
75,900 | Singapore Exchange Ltd. | 498,766 | ||
23,300 | United Overseas Bank Ltd. | 459,509 | ||
30,500 | Venture Corp Ltd. | 354,894 | ||
167,900 | Wilmar International Ltd. | 462,806 | ||
3,608,355 | ||||
Spain – 1.3% | ||||
276,122 | Banco Santander S.A. | 1,106,804 | ||
100,063 | Ence Energia y Celulosa S.A. | 393,949 | ||
165,759 | Iberdrola S.A. | 1,702,292 | ||
3,203,045 | ||||
Sweden – 4.8% | ||||
35,666 | Atlas Copco AB, Class A | 1,259,947 | ||
32,971 | Atlas Copco AB, Class B | 1,021,327 | ||
50,549 | Hennes & Mauritz AB, Class B | 1,056,191 | ||
22,405 | Investor AB, Class B | 1,147,433 | ||
25,543 | Lundin Petroleum AB | 843,347 | ||
107,423 | Skandinaviska Enskilda Banken AB, Class A | 1,029,317 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Sweden (Continued) | ||||
122,030 | Svenska Handelsbanken AB, Class A | $1,221,602 | ||
77,630 | Swedbank AB, Class A | 1,085,776 | ||
23,511 | Swedish Match AB | 1,103,512 | ||
63,112 | Volvo AB, Class A | 943,834 | ||
76,389 | Volvo AB, Class B | 1,142,390 | ||
11,854,676 | ||||
Switzerland – 8.5% | ||||
29,975 | ABB Ltd. | 628,670 | ||
15,567 | Adecco Group AG | 922,816 | ||
24,187 | Coca-Cola HBC AG | 736,270 | ||
9,252 | Dufry AG | 802,622 | ||
17,271 | Logitech International S.A. | 706,597 | ||
56,504 | Nestle S.A. | 6,032,439 | ||
43,507 | Novartis AG | 3,796,774 | ||
1,149 | Partners Group Holding AG | 895,906 | ||
14,100 | Roche Holding AG | 4,242,149 | ||
2,451 | Roche Holding AG | 729,958 | ||
6,162 | Temenos AG | 879,170 | ||
1,147 | Zurich Insurance Group AG | 448,219 | ||
20,821,590 | ||||
United Kingdom – 15.2% | ||||
67,084 | 3i Group PLC | 980,201 | ||
49,619 | Anglo American PLC | 1,273,653 | ||
34,124 | Ashtead Group PLC | 1,037,875 | ||
21,354 | ASOS PLC (c) | 976,430 | ||
20,811 | AstraZeneca PLC | 2,022,084 | ||
107,514 | Barratt Developments PLC | 879,061 | ||
19,944 | Bellway PLC | 816,369 | ||
12,842 | BHP Group PLC | 271,947 | ||
471,117 | BP PLC | 2,986,009 | ||
25,457 | British American Tobacco PLC | 891,004 | ||
353,377 | Cairn Energy PLC (c) | 813,874 | ||
36,452 | Compass Group PLC | 970,804 | ||
40,009 | Diageo PLC | 1,640,023 | ||
129,206 | Evraz PLC | 614,572 | ||
115,897 | GlaxoSmithKline PLC | 2,655,149 | ||
33,694 | Hargreaves Lansdown PLC | 773,399 | ||
27,534 | Hikma Pharmaceuticals PLC | 716,890 | ||
266,264 | HSBC Holdings PLC | 2,010,796 | ||
118,653 | Inchcape PLC | 991,347 | ||
371,603 | Legal & General Group PLC | 1,269,336 | ||
1,468,684 | Lloyds Banking Group PLC | 1,080,597 | ||
48,177 | Mondi PLC | 996,937 | ||
145,855 | Pagegroup PLC | 841,131 | ||
30,699 | Persimmon PLC | 905,471 | ||
5,368 | Reckitt Benckiser Group PLC | 414,703 | ||
12,140 | RELX PLC | 292,181 | ||
32,769 | Rio Tinto PLC | 1,703,835 | ||
55,670 | Royal Dutch Shell PLC, Class A | 1,610,264 | ||
44,553 | Royal Dutch Shell PLC, Class B | 1,280,046 | ||
115,944 | Sage Group (The) PLC | 1,081,054 | ||
321,548 | Spirent Communications PLC | 828,036 |
Shares | Description | Value | ||
United Kingdom (Continued) | ||||
29,113 | Unilever PLC | $1,743,215 | ||
37,368,293 | ||||
Total Common Stocks | 242,022,140 | |||
(Cost $243,131,104) | ||||
REAL ESTATE INVESTMENT TRUSTS (a) – 0.2% | ||||
Hong Kong – 0.2% | ||||
39,060 | Link REIT | 425,944 | ||
(Cost $474,471) | ||||
Total Investments – 98.9% | 242,448,084 | |||
(Cost $243,605,575) (d) | ||||
Net Other Assets and Liabilities – 1.1% | 2,785,440 | |||
Net Assets – 100.0% | $245,233,524 |
(a) | Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
(b) | This security is restricted in the U.S. and cannot be offered for public sale without first being registered under the Securities Act of 1933, as amended. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
(c) | Non-income producing security. |
(d) | Aggregate cost for federal income tax purposes was $244,363,284. As of October 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $16,801,481 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $18,716,681. The net unrealized depreciation was $1,915,200. |
Total Value at 10/31/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 242,022,140 | $ 242,022,140 | $ — | $ — |
Real Estate Investment Trusts* | 425,944 | 425,944 | — | — |
Total Investments | $ 242,448,084 | $ 242,448,084 | $— | $— |
* | See Portfolio of Investments for country breakout. |
Currency Exposure Diversification | % of Total Investments |
Japanese Yen | 27.9% |
Euro | 27.7 |
British Pound Sterling | 15.9 |
Swiss Franc | 8.3 |
Australian Dollar | 6.7 |
Swedish Krona | 4.9 |
Hong Kong Dollar | 3.7 |
Norwegian Krone | 1.5 |
Singapore Dollar | 1.5 |
Danish Krone | 1.5 |
United States Dollar | 0.2 |
New Zealand Dollar | 0.2 |
Total | 100.0% |
Shares | Description | Value | ||
COMMON STOCKS (a) – 98.2% | ||||
Austria – 1.6% | ||||
4,152 | OMV AG | $242,279 | ||
3,288 | Verbund AG | 177,855 | ||
7,651 | Wienerberger AG | 206,844 | ||
626,978 | ||||
Belgium – 0.8% | ||||
1,995 | Anheuser-Busch InBev S.A./N.V. | 160,291 | ||
5,310 | Bekaert S.A. | 147,937 | ||
308,228 | ||||
Denmark – 2.4% | ||||
1,666 | Carlsberg A.S., Class B | 234,376 | ||
5,107 | Novo Nordisk A.S., Class B | 278,915 | ||
2,674 | Orsted A.S. (b) | 234,556 | ||
6,479 | Tryg A.S. | 180,961 | ||
928,808 | ||||
Finland – 1.9% | ||||
5,441 | Metso OYJ | 205,595 | ||
18,973 | Stora Enso OYJ, Class R | 245,992 | ||
9,197 | UPM-Kymmene OYJ | 298,901 | ||
750,488 | ||||
France – 12.5% | ||||
15,512 | Air France-KLM (c) | 184,683 | ||
1,052 | Air Liquide S.A. | 139,739 | ||
2,398 | Arkema S.A. | 245,090 | ||
362 | Christian Dior SE | 178,614 | ||
2,676 | Danone S.A. | 221,931 | ||
1,823 | Dassault Systemes SE | 276,616 | ||
762 | Kering S.A. | 433,598 | ||
1,764 | L’Oreal S.A. | 515,062 | ||
871 | LVMH Moet Hennessy Louis Vuitton SE | 371,571 | ||
1,810 | Pernod Ricard S.A. | 334,094 | ||
10,951 | Peugeot S.A. | 277,250 | ||
534 | Safran S.A. | 84,482 | ||
4,790 | Sanofi | 441,380 | ||
1,278 | Sartorius Stedim Biotech | 191,282 | ||
1,762 | Schneider Electric SE | 163,619 | ||
9,509 | TOTAL S.A. | 499,885 | ||
2,581 | Ubisoft Entertainment S.A. (c) | 152,392 | ||
1,171 | Vinci S.A. | 131,385 | ||
4,842,673 | ||||
Germany – 14.1% | ||||
1,392 | adidas AG | 429,809 | ||
16,836 | AIXTRON SE (c) | 153,597 | ||
1,501 | Allianz SE | 366,620 | ||
1,982 | BASF SE | 150,824 | ||
2,260 | Bayer AG | 175,382 | ||
5,846 | Covestro AG (b) | 280,688 | ||
13,394 | Deutsche Lufthansa AG | 232,216 | ||
6,906 | Deutsche Telekom AG | 121,449 | ||
7,295 | Evonik Industries AG | 192,419 | ||
3,763 | HeidelbergCement AG | 279,596 |
Shares | Description | Value | ||
Germany (Continued) | ||||
882 | MTU Aero Engines AG | $235,497 | ||
1,378 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 382,684 | ||
8,990 | Salzgitter AG | 162,731 | ||
5,777 | SAP SE | 765,439 | ||
1,051 | Sartorius AG (Preference Shares) | 204,194 | ||
32,051 | Schaeffler AG (Preference Shares) | 270,243 | ||
1,994 | Siemens AG | 229,908 | ||
1,253 | Volkswagen AG | 237,430 | ||
1,941 | Volkswagen AG (Preference Shares) | 369,531 | ||
4,444 | Zalando SE (b) (c) | 192,556 | ||
5,432,813 | ||||
Italy – 5.5% | ||||
102,408 | A2A S.p.A. | 205,474 | ||
61,509 | Enel S.p.A. | 476,091 | ||
23,182 | Eni S.p.A. | 350,851 | ||
21,988 | Leonardo S.p.A. | 255,286 | ||
19,545 | Mediobanca Banca di Credito Finanziario S.p.A. | 232,154 | ||
5,411 | Moncler S.p.A. | 208,445 | ||
36,339 | Unipol Gruppo S.p.A. | 202,604 | ||
71,247 | UnipolSai Assicurazioni S.p.A. | 198,734 | ||
2,129,639 | ||||
Jersey – 0.4% | ||||
80,385 | Man Group PLC | 149,422 | ||
Netherlands – 6.8% | ||||
2,489 | Airbus SE | 356,492 | ||
1,242 | ASML Holding N.V. | 325,523 | ||
19,073 | Fiat Chrysler Automobiles N.V. | 296,278 | ||
13,004 | Koninklijke Ahold Delhaize N.V. | 323,787 | ||
4,976 | Koninklijke Philips N.V. | 217,938 | ||
3,698 | Randstad N.V. | 204,734 | ||
18,284 | TomTom N.V. | 206,572 | ||
7,431 | Unilever N.V. | 438,839 | ||
3,723 | Wolters Kluwer N.V. | 274,132 | ||
2,644,295 | ||||
Norway – 2.6% | ||||
15,069 | DNB ASA | 273,813 | ||
135,244 | DNO ASA | 163,317 | ||
16,833 | Equinor ASA | 311,358 | ||
12,718 | Gjensidige Forsikring ASA | 237,733 | ||
986,221 | ||||
Spain – 2.2% | ||||
72,286 | Banco Santander S.A. | 289,750 | ||
26,201 | Ence Energia y Celulosa S.A. | 103,154 | ||
43,406 | Iberdrola S.A. | 445,766 | ||
838,670 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Sweden – 8.0% | ||||
9,341 | Atlas Copco AB, Class A | $329,983 | ||
8,633 | Atlas Copco AB, Class B | 267,420 | ||
13,239 | Hennes & Mauritz AB, Class B | 276,621 | ||
5,869 | Investor AB, Class B | 300,571 | ||
6,688 | Lundin Petroleum AB | 220,816 | ||
28,138 | Skandinaviska Enskilda Banken AB, Class A | 269,616 | ||
31,955 | Svenska Handelsbanken AB, Class A | 319,891 | ||
20,325 | Swedbank AB, Class A | 284,277 | ||
6,158 | Swedish Match AB | 289,032 | ||
16,529 | Volvo AB, Class A | 247,189 | ||
20,009 | Volvo AB, Class B | 299,232 | ||
3,104,648 | ||||
Switzerland – 14.1% | ||||
7,854 | ABB Ltd. | 164,723 | ||
4,075 | Adecco Group AG | 241,567 | ||
6,337 | Coca-Cola HBC AG | 192,903 | ||
2,425 | Dufry AG | 210,372 | ||
4,522 | Logitech International S.A. | 185,006 | ||
14,796 | Nestle S.A. | 1,579,640 | ||
11,388 | Novartis AG | 993,809 | ||
301 | Partners Group Holding AG | 234,698 | ||
3,691 | Roche Holding AG | 1,110,480 | ||
644 | Roche Holding AG | 191,796 | ||
1,614 | Temenos AG | 230,279 | ||
302 | Zurich Insurance Group AG | 118,014 | ||
5,453,287 | ||||
United Kingdom – 25.3% | ||||
17,595 | 3i Group PLC | 257,090 | ||
13,003 | Anglo American PLC | 333,769 | ||
8,937 | Ashtead Group PLC | 271,817 | ||
5,593 | ASOS PLC (c) | 255,745 | ||
5,452 | AstraZeneca PLC | 529,739 | ||
28,163 | Barratt Developments PLC | 230,268 | ||
5,225 | Bellway PLC | 213,875 | ||
3,360 | BHP Group PLC | 71,153 | ||
123,478 | BP PLC | 782,622 | ||
6,663 | British American Tobacco PLC | 233,207 | ||
92,560 | Cairn Energy PLC (c) | 213,178 | ||
9,548 | Compass Group PLC | 254,286 | ||
10,475 | Diageo PLC | 429,384 | ||
33,845 | Evraz PLC | 160,985 | ||
30,347 | GlaxoSmithKline PLC | 695,236 | ||
8,823 | Hargreaves Lansdown PLC | 202,520 | ||
7,206 | Hikma Pharmaceuticals PLC | 187,619 | ||
69,731 | HSBC Holdings PLC | 526,601 | ||
31,050 | Inchcape PLC | 259,423 | ||
97,338 | Legal & General Group PLC | 332,491 | ||
384,699 | Lloyds Banking Group PLC | 283,046 | ||
12,619 | Mondi PLC | 261,128 | ||
38,204 | Pagegroup PLC | 220,319 | ||
8,037 | Persimmon PLC | 237,052 |
Shares | Description | Value | ||
United Kingdom (Continued) | ||||
1,406 | Reckitt Benckiser Group PLC | $108,620 | ||
3,179 | RELX PLC | 76,511 | ||
8,587 | Rio Tinto PLC | 446,484 | ||
14,585 | Royal Dutch Shell PLC, Class A | 421,873 | ||
11,678 | Royal Dutch Shell PLC, Class B | 335,519 | ||
30,370 | Sage Group (The) PLC | 283,168 | ||
84,224 | Spirent Communications PLC | 216,890 | ||
7,622 | Unilever PLC | 456,387 | ||
9,788,005 | ||||
Total Common Stocks | 37,984,175 | |||
(Cost $38,354,361) | ||||
EXCHANGE-TRADED FUNDS (a) – 0.1% | ||||
United States – 0.1% | ||||
491 | iShares Core MSCI Europe ETF | 23,313 | ||
(Cost $22,299) | ||||
Total Investments – 98.3% | 38,007,488 | |||
(Cost $38,376,660) (d) | ||||
Net Other Assets and Liabilities – 1.7% | 658,770 | |||
Net Assets – 100.0% | $38,666,258 |
(a) | Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
(b) | This security is restricted in the U.S. and cannot be offered for public sale without first being registered under the Securities Act of 1933, as amended. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
(c) | Non-income producing security. |
(d) | Aggregate cost for federal income tax purposes was $38,457,202. As of October 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,806,583 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,256,297. The net unrealized depreciation was $449,714. |
Total Value at 10/31/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 37,984,175 | $ 37,984,175 | $ — | $ — |
Exchange-Traded Funds* | 23,313 | 23,313 | — | — |
Total Investments | $ 38,007,488 | $ 38,007,488 | $— | $— |
* | See Portfolio of Investments for country breakout. |
Currency Exposure Diversification | % of Total Investments |
Euro | 46.2% |
British Pound Sterling | 26.7 |
Swiss Franc | 13.8 |
Swedish Krona | 8.2 |
Norwegian Krone | 2.6 |
Danish Krone | 2.4 |
United States Dollar | 0.1 |
Total | 100.0% |
Shares | Description | Value | ||
COMMON STOCKS (a) – 98.9% | ||||
Bermuda – 2.3% | ||||
403,758 | Alibaba Health Information Technology Ltd. (b) | $407,573 | ||
886,934 | China Oriental Group Co., Ltd. | 310,135 | ||
347,724 | Hopson Development Holdings Ltd. | 335,922 | ||
482,368 | Nine Dragons Paper Holdings Ltd. | 419,828 | ||
1,706,572 | Sihuan Pharmaceutical Holdings Group Ltd. | 224,321 | ||
1,697,779 | ||||
Brazil – 12.3% | ||||
58,698 | Alpargatas S.A. (Preference Shares) (b) | 398,687 | ||
29,772 | Ambev S.A. | 129,021 | ||
59,592 | B3 S.A. - Brasil Bolsa Balcao | 718,878 | ||
99,511 | Banco Bradesco S.A. (Preference Shares) | 872,660 | ||
43,441 | Banco do Brasil S.A. | 521,552 | ||
63,684 | Banco do Estado do Rio Grande do Sul S.A., Class B (Preference Shares) | 355,062 | ||
38,028 | Banco Santander Brasil S.A. | 446,228 | ||
37,576 | Centrais Eletricas Brasileiras S.A. | 370,654 | ||
38,140 | Centrais Eletricas Brasileiras S.A., Class B (Preference Shares) | 389,816 | ||
30,973 | Cia de Saneamento Basico do Estado de Sao Paulo | 421,829 | ||
26,364 | Cia Paranaense de Energia, Class B (Preference Shares) | 365,960 | ||
68,857 | Itau Unibanco Holding S.A. (Preference Shares) | 622,039 | ||
63,753 | JBS S.A. | 449,713 | ||
37,834 | Magazine Luiza S.A. | 421,122 | ||
210,438 | Metalurgica Gerdau S.A. (Preference Shares) | 330,047 | ||
78,970 | Petro Rio S.A. (b) | 364,280 | ||
59,813 | Petrobras Distribuidora S.A. | 421,771 | ||
52,159 | Petroleo Brasileiro S.A. | 425,283 | ||
29,518 | Petroleo Brasileiro S.A. (Preference Shares) | 223,676 | ||
25,904 | TOTVS S.A. | 402,269 | ||
29,196 | Vale S.A. (b) | 343,611 | ||
8,994,158 | ||||
Cayman Islands – 15.8% | ||||
21,864 | Alibaba Group Holding Ltd., ADR (b) | 3,862,713 | ||
1,955 | Baidu, Inc., ADR (b) | 199,117 | ||
7,397 | Baozun, Inc., ADR (b) | 321,917 | ||
993,638 | Bosideng International Holdings Ltd. | 514,828 | ||
682,690 | Dongyue Group Ltd. | 320,612 |
Shares | Description | Value | ||
Cayman Islands (Continued) | ||||
11,859 | Huazhu Group Ltd., ADR | $448,982 | ||
4,736 | JD.com, Inc., ADR (b) | 147,526 | ||
1,996 | NetEase, Inc., ADR | 570,577 | ||
13,992 | TAL Education Group, ADR (b) | 598,998 | ||
78,642 | Tencent Holdings Ltd. | 3,219,565 | ||
46,577 | Vipshop Holdings Ltd., ADR (b) | 537,499 | ||
63,381 | Yihai International Holding Ltd. | 431,925 | ||
729,597 | Yuzhou Properties Co., Ltd. | 309,122 | ||
11,483,381 | ||||
Chile – 0.4% | ||||
29,367 | Cia Cervecerias Unidas S.A. | 288,922 | ||
China – 8.3% | ||||
638,572 | Bank of China Ltd., Class H | 261,591 | ||
572,964 | Bank of Communications Co., Ltd., Class H | 391,923 | ||
1,351,464 | China Construction Bank Corp., Class H | 1,088,284 | ||
846,396 | China Everbright Bank Co., Ltd., Class H | 389,932 | ||
103,716 | China Life Insurance Co., Ltd., Class H | 270,013 | ||
144,428 | China Merchants Bank Co., Ltd., Class H | 691,180 | ||
214,489 | Guangzhou R&F Properties Co., Ltd., Class H | 333,396 | ||
297,568 | Hisense Home Appliances Group Co., Ltd., Class H | 275,317 | ||
555,589 | Industrial & Commercial Bank of China Ltd., Class H | 399,890 | ||
61,284 | Ping An Insurance Group Co. of China Ltd., Class H | 709,744 | ||
691,716 | Postal Savings Bank of China Co., Ltd., Class H (c) | 444,022 | ||
254,132 | Weichai Power Co., Ltd., Class H | 401,503 | ||
541,636 | Zoomlion Heavy Industry Science and Technology Co., Ltd., Class H | 398,833 | ||
6,055,628 | ||||
Colombia – 1.2% | ||||
33,396 | Bancolombia S.A. (Preference Shares) | 435,927 | ||
498,458 | Ecopetrol S.A. | 448,317 | ||
884,244 | ||||
Hong Kong – 3.0% | ||||
64,548 | China Mobile Ltd. | 525,547 | ||
2,590,347 | China South City Holdings Ltd. | 300,821 | ||
468,856 | CNOOC Ltd. | 703,647 | ||
895,968 | Sino-Ocean Group Holding Ltd. | 330,445 | ||
232,543 | Sinotruk Hong Kong Ltd. | 352,556 | ||
2,213,016 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
India – 5.4% | ||||
8,653 | Axis Bank Ltd. | $89,832 | ||
142,405 | Coal India Ltd. | 416,702 | ||
10,392 | Hindustan Unilever Ltd. | 318,718 | ||
17,125 | Housing Development Finance Corp., Ltd. | 514,725 | ||
32,425 | Infosys Ltd. | 313,421 | ||
228,877 | Power Finance Corp., Ltd. (b) | 352,212 | ||
30,372 | Reliance Industries Ltd. | 627,041 | ||
6,901 | Tata Consultancy Services Ltd. | 220,825 | ||
36,107 | Tech Mahindra Ltd. | 376,195 | ||
44,383 | UPL Ltd. | 373,223 | ||
90,964 | Wipro Ltd. | 332,544 | ||
3,935,438 | ||||
Indonesia – 4.6% | ||||
4,814,277 | Adaro Energy Tbk PT | 449,291 | ||
171,069 | Bank Central Asia Tbk PT | 383,281 | ||
912,029 | Bank Mandiri Persero Tbk PT | 456,437 | ||
3,365,414 | Bank Pan Indonesia Tbk PT (b) | 322,468 | ||
4,870,547 | Bank Permata Tbk PT (b) | 463,217 | ||
1,971,683 | Bank Rakyat Indonesia Persero Tbk PT | 591,350 | ||
3,846,187 | Media Nusantara Citra Tbk PT | 360,315 | ||
448,144 | Pabrik Kertas Tjiwi Kimia Tbk PT | 337,617 | ||
3,363,976 | ||||
Malaysia – 1.8% | ||||
371,900 | AMMB Holdings Bhd | 355,123 | ||
66,400 | British American Tobacco Malaysia Bhd | 299,066 | ||
62,900 | Heineken Malaysia Bhd | 384,761 | ||
1,005,900 | My EG Services Bhd | 274,435 | ||
1,313,385 | ||||
Mexico – 0.6% | ||||
215,293 | America Movil S.A.B. de C.V., Series L | 170,453 | ||
27,236 | Fomento Economico Mexicano S.A.B. de C.V. | 242,096 | ||
412,549 | ||||
Philippines – 1.0% | ||||
135,860 | International Container Terminal Services, Inc. | 317,797 | ||
117,830 | San Miguel Corp. | 387,774 | ||
705,571 | ||||
Poland – 1.3% | ||||
23,739 | Asseco Poland S.A. | 318,745 | ||
18,133 | Grupa Lotos S.A. | 452,773 | ||
40,475 | Jastrzebska Spolka Weglowa S.A. | 205,095 | ||
976,613 |
Shares | Description | Value | ||
Russia – 7.6% | ||||
226,860 | Gazprom PJSC | $919,858 | ||
56,846 | Gazprom PJSC, ADR | 454,996 | ||
5,922,932 | Inter RAO UES PJSC | 399,034 | ||
9,728 | LUKOIL PJSC | 898,045 | ||
558,564 | Magnitogorsk Iron & Steel Works PJSC | 318,209 | ||
1,248 | Novatek PJSC, GDR | 267,072 | ||
176,249 | Raspadskaya OJSC | 297,677 | ||
90,566 | Sberbank of Russia PJSC | 331,756 | ||
949,070 | Surgutneftegas PJSC | 636,438 | ||
809,918 | Surgutneftegas PJSC (Preference Shares) | 475,928 | ||
44,189 | Tatneft PJSC | 515,610 | ||
5,514,623 | ||||
South Africa – 2.6% | ||||
4,285 | Capitec Bank Holdings Ltd. | 389,346 | ||
155,585 | DataTec Ltd. | 369,747 | ||
5,928 | Naspers Ltd., Class N | 841,752 | ||
60,431 | Telkom S.A. SOC Ltd. | 276,510 | ||
1,877,355 | ||||
South Korea – 14.4% | ||||
16,202 | Cheil Worldwide, Inc. | 344,664 | ||
17,437 | Daesang Corp. | 321,478 | ||
7,974 | DB Insurance Co., Ltd. | 346,115 | ||
66,957 | Doosan Infracore Co., Ltd. (b) | 325,160 | ||
8,162 | Fila Korea Ltd. | 404,084 | ||
4,763 | Hyosung Corp. | 338,562 | ||
18,440 | Hyundai Marine & Fire Insurance Co., Ltd. | 400,198 | ||
2,890 | Hyundai Mobis Co., Ltd. | 591,190 | ||
3,796 | Kakao Corp. | 461,674 | ||
50,350 | Korean Reinsurance Co. | 343,615 | ||
30,052 | KT Corp., ADR | 337,484 | ||
85,404 | Meritz Securities Co., Ltd. | 331,060 | ||
1,908 | NAVER Corp. | 268,952 | ||
74,488 | Samsung Electronics Co., Ltd. | 3,226,778 | ||
22,453 | Samsung Electronics Co., Ltd. (Preference Shares) | 792,209 | ||
12,204 | Shinhan Financial Group Co., Ltd. | 445,803 | ||
1,495 | Shinsegae, Inc. | 303,253 | ||
12,930 | SK Hynix, Inc. | 911,307 | ||
10,493,586 | ||||
Taiwan – 11.2% | ||||
98,726 | Hon Hai Precision Industry Co., Ltd. | 261,405 | ||
68,775 | Novatek Microelectronics Corp. | 442,828 | ||
55,524 | Realtek Semiconductor Corp. | 413,140 | ||
258,972 | Ruentex Development Co., Ltd. | 395,598 | ||
242,728 | Shanghai Commercial & Savings Bank Ltd. (The) | 418,627 | ||
846,099 | Shinkong Synthetic Fibers Corp. | 309,916 | ||
42,474 | Simplo Technology Co., Ltd. | 392,083 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Taiwan (Continued) | ||||
909,062 | Taiwan Business Bank | $383,747 | ||
283,094 | Taiwan High Speed Rail Corp. | 335,262 | ||
326,123 | Taiwan Semiconductor Manufacturing Co., Ltd. | 3,197,967 | ||
432,489 | Taiwan Styrene Monomer | 306,886 | ||
75,827 | Walsin Technology Corp. | 457,097 | ||
40,384 | Yageo Corp. | 416,569 | ||
725,370 | Yuanta Financial Holding Co., Ltd. | 453,944 | ||
8,185,069 | ||||
Thailand – 0.3% | ||||
80,300 | CP ALL PCL | 207,432 | ||
Turkey – 4.2% | ||||
331,522 | Eregli Demir ve Celik Fabrikalari T.A.S. | 379,230 | ||
87,326 | TAV Havalimanlari Holding A.S. | 398,349 | ||
825,066 | Trakya Cam Sanayii A.S. | 424,276 | ||
249,900 | Turkiye Garanti Bankasi A.S. (b) | 402,131 | ||
442,812 | Turkiye Is Bankasi A.S., Class C (b) | 449,221 | ||
468,324 | Turkiye Sise ve Cam Fabrikalari A.S. | 356,327 | ||
436,197 | Turkiye Vakiflar Bankasi TAO, Class D (b) | 331,120 | ||
786,208 | Yapi ve Kredi Bankasi A.S. (b) | 313,534 | ||
3,054,188 | ||||
United States – 0.6% | ||||
2,559 | KLA Corp. | 432,573 | ||
Total Common Stocks | 72,089,486 | |||
(Cost $71,469,255) | ||||
EXCHANGE-TRADED FUNDS (a) – 0.2% | ||||
United States – 0.2% | ||||
3,470 | iShares Core MSCI Emerging Markets ETF | 177,560 | ||
(Cost $167,913) | ||||
Total Investments – 99.1% | 72,267,046 | |||
(Cost $71,637,168) (d) | ||||
Net Other Assets and Liabilities – 0.9% | 650,202 | |||
Net Assets – 100.0% | $72,917,248 |
(a) | Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
(b) | Non-income producing security. |
(c) | This security is restricted in the U.S. and cannot be offered for public sale without first being registered under the Securities Act of 1933, as amended. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
(d) | Aggregate cost for federal income tax purposes was $72,442,079. As of October 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $6,691,465 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,866,498. The net unrealized depreciation was $175,033. |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
Total Value at 10/31/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 72,089,486 | $ 72,089,486 | $ — | $ — |
Exchange-Traded Funds* | 177,560 | 177,560 | — | — |
Total Investments | $ 72,267,046 | $ 72,267,046 | $— | $— |
* | See Portfolio of Investments for country breakout. |
Currency Exposure Diversification | % of Total Investments |
Hong Kong Dollar | 20.4% |
South Korean Won | 14.1 |
Brazilian Real | 12.4 |
United States Dollar | 11.6 |
New Taiwan Dollar | 11.3 |
Russian Ruble | 6.6 |
Indian Rupee | 5.4 |
Indonesian Rupiah | 4.7 |
Turkish Lira | 4.2 |
South African Rand | 2.6 |
Malaysian Ringgit | 1.8 |
Polish Zloty | 1.4 |
Colombian Peso | 1.2 |
Philippine Peso | 1.0 |
Mexican Peso | 0.6 |
Chilean Peso | 0.4 |
Thai Baht | 0.3 |
Total | 100.0% |
First Trust RiverFront Dynamic Asia Pacific ETF (RFAP) | First Trust RiverFront Dynamic Developed International ETF (RFDI) | First Trust RiverFront Dynamic Europe ETF (RFEU) | First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) | ||||
ASSETS: | |||||||
Investments, at value | $ 26,014,954 | $ 242,448,084 | $ 38,007,488 | $ 72,267,046 | |||
Cash | 13,247 | 1,641,159 | 395,315 | 538,207 | |||
Foreign currency | 1 | 21,271 | 4,986 | 8,129 | |||
Receivables: | |||||||
Dividends | 194,419 | 888,182 | 42,792 | 121,091 | |||
Dividend reclaims | 224 | 633,260 | 242,201 | 6,757 | |||
Investment securities sold | — | 8,447,062 | — | — | |||
Prepaid expenses | — | — | — | 39,507 | |||
Total Assets | 26,222,845 | 254,079,018 | 38,692,782 | 72,980,737 | |||
LIABILITIES: | |||||||
Payables: | |||||||
Investment advisory fees | 18,839 | 178,049 | 26,524 | 63,489 | |||
Fund shares redeemed | — | 8,667,445 | — | — | |||
Total Liabilities | 18,839 | 8,845,494 | 26,524 | 63,489 | |||
NET ASSETS | $26,204,006 | $245,233,524 | $38,666,258 | $72,917,248 | |||
NET ASSETS consist of: | |||||||
Paid-in capital | $ 34,710,090 | $ 303,497,410 | $ 50,006,439 | $ 90,629,592 | |||
Par value | 5,000 | 42,500 | 6,500 | 12,000 | |||
Accumulated distributable earnings (loss) | (8,511,084) | (58,306,386) | (11,346,681) | (17,724,344) | |||
NET ASSETS | $26,204,006 | $245,233,524 | $38,666,258 | $72,917,248 | |||
NET ASSET VALUE,per share | $52.41 | $57.70 | $59.49 | $60.76 | |||
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 500,002 | 4,250,002 | 650,002 | 1,200,002 | |||
Investments, at cost | $26,392,677 | $243,605,575 | $38,376,660 | $71,637,168 | |||
Foreign currency, at cost (proceeds) | $1 | $21,294 | $4,997 | $8,124 |
First Trust RiverFront Dynamic Asia Pacific ETF (RFAP) | First Trust RiverFront Dynamic Developed International ETF (RFDI) | First Trust RiverFront Dynamic Europe ETF (RFEU) | First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) | |||||
INVESTMENT INCOME: | ||||||||
Dividends | $ 1,121,423 | $ 12,143,309 | $ 2,479,707 | $ 4,068,314 | ||||
Interest | 904 | 14,007 | 3,339 | 6,753 | ||||
Foreign withholding tax | (68,198) | (1,010,509) | (231,088) | (524,658) | ||||
Other | — | 427 | 245 | 9 | ||||
Total investment income | 1,054,129 | 11,147,234 | 2,252,203 | 3,550,418 | ||||
EXPENSES: | ||||||||
Investment advisory fees | 297,412 | 2,766,548 | 519,882 | 950,115 | ||||
Total expenses | 297,412 | 2,766,548 | 519,882 | 950,115 | ||||
NET INVESTMENT INCOME (LOSS) | 756,717 | 8,380,686 | 1,732,321 | 2,600,303 | ||||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | (4,451,610) | (35,916,610) | (6,453,260) | (8,314,286) | ||||
In-kind redemptions | (759,619) | (14,513,019) | (1,332,386) | (142,120) | ||||
Foreign currency transactions | 4,094 | 31,193 | 6,727 | 11,281 | ||||
Foreign capital gains tax | — | — | — | 41,088 | ||||
Net realized gain (loss) | (5,207,135) | (50,398,436) | (7,778,919) | (8,404,037) | ||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments | 5,278,934 | 51,014,911 | 8,675,551 | 14,132,510 | ||||
Foreign currency translation | (328) | 15,113 | 5,420 | 1,707 | ||||
Deferred foreign capital gains tax | — | — | — | (40,299) | ||||
Net change in unrealized appreciation (depreciation) | 5,278,606 | 51,030,024 | 8,680,971 | 14,093,918 | ||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 71,471 | 631,588 | 902,052 | 5,689,881 | ||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 828,188 | $ 9,012,274 | $ 2,634,373 | $ 8,290,184 |
First Trust RiverFront Dynamic Asia Pacific ETF (RFAP) | First Trust RiverFront Dynamic Developed International ETF (RFDI) | ||||||
Year Ended 10/31/2019 | Year Ended 10/31/2018 | Year Ended 10/31/2019 | Year Ended 10/31/2018 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 756,717 | $ 1,217,255 | $ 8,380,686 | $ 13,245,804 | |||
Net realized gain (loss) | (5,207,135) | (1,368,655) | (50,398,436) | (95,524) | |||
Net change in unrealized appreciation (depreciation) | 5,278,606 | (6,915,126) | 51,030,024 | (80,625,273) | |||
Net increase (decrease) in net assets resulting from operations | 828,188 | (7,066,526) | 9,012,274 | (67,474,993) | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (914,283) | (1,178,793) | (8,768,563) | (14,065,878) | |||
Return of capital | — | — | — | — | |||
Total distributions to shareholders | (914,283) | (1,178,793) | (8,768,563) | (14,065,878) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | — | 51,961,955 | — | 362,830,417 | |||
Cost of shares redeemed | (17,746,758) | (29,590,599) | (254,736,487) | (226,084,805) | |||
Net increase (decrease) in net assets resulting from shareholder transactions | (17,746,758) | 22,371,356 | (254,736,487) | 136,745,612 | |||
Total increase (decrease) in net assets | (17,832,853) | 14,126,037 | (254,492,776) | 55,204,741 | |||
NET ASSETS: | |||||||
Beginning of period | 44,036,859 | 29,910,822 | 499,726,300 | 444,521,559 | |||
End of period | $ 26,204,006 | $ 44,036,859 | $ 245,233,524 | $ 499,726,300 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 850,002 | 500,002 | 8,950,002 | 6,950,002 | |||
Shares sold | — | 850,000 | — | 5,650,000 | |||
Shares redeemed | (350,000) | (500,000) | (4,700,000) | (3,650,000) | |||
Shares outstanding, end of period | 500,002 | 850,002 | 4,250,002 | 8,950,002 |
First Trust RiverFront Dynamic Europe ETF (RFEU) | First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) | |||||
Year Ended 10/31/2019 | Year Ended 10/31/2018 | Year Ended 10/31/2019 | Year Ended 10/31/2018 | |||
$ 1,732,321 | $ 3,407,738 | $ 2,600,303 | $ 2,219,119 | |||
(7,778,919) | 1,542,918 | (8,404,037) | (9,220,456) | |||
8,680,971 | (18,801,222) | 14,093,918 | (20,316,573) | |||
2,634,373 | (13,850,566) | 8,290,184 | (27,317,910) | |||
(1,694,053) | (3,500,818) | (2,069,623) | (2,433,860) | |||
— | — | — | (165,738) | |||
(1,694,053) | (3,500,818) | (2,069,623) | (2,599,598) | |||
8,249,517 | 65,990,878 | 9,346,520 | 85,398,728 | |||
(59,229,655) | (83,913,181) | (44,161,386) | (29,475,851) | |||
(50,980,138) | (17,922,303) | (34,814,866) | 55,922,877 | |||
(50,039,818) | (35,273,687) | (28,594,305) | 26,005,369 | |||
88,706,076 | 123,979,763 | 101,511,553 | 75,506,184 | |||
$38,666,258 | $ 88,706,076 | $ 72,917,248 | $ 101,511,553 | |||
1,550,002 | 1,900,002 | 1,800,002 | 1,100,002 | |||
150,000 | 1,000,000 | 150,000 | 1,150,000 | |||
(1,050,000) | (1,350,000) | (750,000) | (450,000) | |||
650,002 | 1,550,002 | 1,200,002 | 1,800,002 |
Year Ended October 31, | Period Ended 10/31/2016 (a) | ||||||
2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 51.81 | $ 59.82 | $ 52.14 | $ 51.31 | |||
Income from investment operations: | |||||||
Net investment income (loss) | 1.22 | 1.27 | 1.42 | 0.55 | |||
Net realized and unrealized gain (loss) | 0.65 | (7.99) | 7.66 | 0.60 | |||
Total from investment operations | 1.87 | (6.72) | 9.08 | 1.15 | |||
Distributions paid to shareholders from: | |||||||
Net investment income | (1.27) | (1.29) | (1.40) | (0.32) | |||
Net asset value, end of period | $52.41 | $51.81 | $59.82 | $52.14 | |||
Total return (b) | 3.74% | (11.48)% | 17.77% (c) | 2.26% | |||
Ratios to average net assets/supplemental data: | |||||||
Net assets, end of period (in 000’s) | $ 26,204 | $ 44,037 | $ 29,911 | $ 26,071 | |||
Ratio of total expenses to average net assets | 0.83% | 0.83% | 0.83% | 0.83% (d) | |||
Ratio of net investment income (loss) to average net assets | 2.11% | 2.28% | 1.93% | 1.96% (d) | |||
Portfolio turnover rate (e) | 96% | 136% | 131% | 49% |
(a) | Inception date is April 13, 2016, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | The Fund received a reimbursement from the advisor in connection with a trade error in the amount of $7,644, which represents $0.02 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Year Ended October 31, | Period Ended 10/31/2016 (a) | ||||||
2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 55.84 | $ 63.96 | $ 51.36 | $ 50.73 | |||
Income from investment operations: | |||||||
Net investment income (loss) | 1.54 | 1.34 | 0.82 | 0.83 | |||
Net realized and unrealized gain (loss) | 1.81 | (8.00) | 12.73 | 0.50 | |||
Total from investment operations | 3.35 | (6.66) | 13.55 | 1.33 | |||
Distributions paid to shareholders from: | |||||||
Net investment income | (1.49) | (1.44) | (0.71) | (0.70) | |||
Net realized gain | — | (0.02) | (0.24) | — | |||
Total distributions | (1.49) | (1.46) | (0.95) | (0.70) | |||
Net asset value, end of period | $57.70 | $55.84 | $63.96 | $51.36 | |||
Total return (b) | 6.12% | (10.65)% | 26.60% (c) | 2.68% | |||
Ratios to average net assets/supplemental data: | |||||||
Net assets, end of period (in 000’s) | $ 245,234 | $ 499,726 | $ 444,522 | $ 25,679 | |||
Ratio of total expenses to average net assets | 0.83% | 0.83% | 0.83% | 0.83% (d) | |||
Ratio of net investment income (loss) to average net assets | 2.51% | 2.28% | 1.86% | 2.97% (d) | |||
Portfolio turnover rate (e) | 87% | 133% | 106% | 44% |
(a) | Inception date is April 13, 2016, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | The Fund received a reimbursement from the advisor in the amount of $35,978, which represents less than $0.01 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Year Ended October 31, | Period Ended 10/31/2016 (a) | ||||||
2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 57.23 | $ 65.25 | $ 51.17 | $ 50.67 | |||
Income from investment operations: | |||||||
Net investment income (loss) | 1.78 | 1.48 | 0.82 | 0.91 | |||
Net realized and unrealized gain (loss) | 2.20 | (7.97) | 14.86 | 0.41 | |||
Total from investment operations | 3.98 | (6.49) | 15.68 | 1.32 | |||
Distributions paid to shareholders from: | |||||||
Net investment income | (1.72) | (1.53) | (0.79) | (0.82) | |||
Net realized gain | — | — | (0.81) | — | |||
Total distributions | (1.72) | (1.53) | (1.60) | (0.82) | |||
Net asset value, end of period | $59.49 | $57.23 | $65.25 | $51.17 | |||
Total return (b) | 7.01% | (10.16)% | 31.21% | 2.66% | |||
Ratios to average net assets/supplemental data: | |||||||
Net assets, end of period (in 000’s) | $ 38,666 | $ 88,706 | $ 123,980 | $ 25,585 | |||
Ratio of total expenses to average net assets | 0.83% | 0.83% | 0.83% | 0.83% (c) | |||
Ratio of net investment income (loss) to average net assets | 2.77% | 2.45% | 1.71% | 3.23% (c) | |||
Portfolio turnover rate (d) | 81% | 130% | 110% | 41% |
(a) | Inception date is April 13, 2016, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Year Ended October 31, | Period Ended 10/31/2016 (a) | ||||||
2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 56.40 | $ 68.64 | $ 56.27 | $ 49.61 | |||
Income from investment operations: | |||||||
Net investment income (loss) | 1.79 | 1.20 | 0.71 | 0.55 | |||
Net realized and unrealized gain (loss) | 3.94 | (11.87) | 13.70 | 6.66 | |||
Total from investment operations | 5.73 | (10.67) | 14.41 | 7.21 | |||
Distributions paid to shareholders from: | |||||||
Net investment income | (1.37) | (1.18) | (0.77) | (0.55) | |||
Net realized gain | — | (0.30) | (1.27) | — | |||
Return of capital | — | (0.09) | — | — | |||
Total distributions | (1.37) | (1.57) | (2.04) | (0.55) | |||
Net asset value, end of period | $60.76 | $56.40 | $68.64 | $56.27 | |||
Total return (b) | 10.32% | (15.92)% | 26.49% | 14.52% | |||
Ratios to average net assets/supplemental data: | |||||||
Net assets, end of period (in 000’s) | $ 72,917 | $ 101,512 | $ 75,506 | $ 5,628 | |||
Ratio of total expenses to average net assets | 0.95% | 0.95% | 0.95% | 0.95% (c) | |||
Ratio of net investment income (loss) to average net assets | 2.60% | 1.90% | 1.56% | 2.66% (c) | |||
Portfolio turnover rate (d) | 116% | 126% | 87% | 81% |
(a) | Inception date is June 14, 2016, which is consistent with the commencement of operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
1) | the value of similar foreign securities traded on other foreign markets; |
2) | ADR trading of similar securities; |
3) | closed-end fund or exchange-traded fund trading of similar securities; |
4) | foreign currency exchange activity; |
5) | the trading prices of financial products that are tied to baskets of foreign securities; |
6) | factors relating to the event that precipitated the pricing problem; |
7) | whether the event is likely to recur; and |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |||
First Trust RiverFront Dynamic Asia Pacific ETF | $ 914,283 | $ — | $ — | ||
First Trust RiverFront Dynamic Developed International ETF | 8,768,563 | — | — | ||
First Trust RiverFront Dynamic Europe ETF | 1,694,053 | — | — | ||
First Trust RiverFront Dynamic Emerging Markets ETF | 2,069,623 | — | — |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |||
First Trust RiverFront Dynamic Asia Pacific ETF | $ 1,178,793 | $ — | $ — | ||
First Trust RiverFront Dynamic Developed International ETF | 14,043,205 | 22,673 | — | ||
First Trust RiverFront Dynamic Europe ETF | 3,500,818 | — | — | ||
First Trust RiverFront Dynamic Emerging Markets ETF | 2,366,951 | 66,909 | 165,738 |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust RiverFront Dynamic Asia Pacific ETF | $ 210,440 | $ (8,265,872) | $ (455,652) | ||
First Trust RiverFront Dynamic Developed International ETF | 1,289,366 | (57,671,472) | (1,924,280) | ||
First Trust RiverFront Dynamic Europe ETF | 131,313 | (11,023,420) | (454,574) | ||
First Trust RiverFront Dynamic Emerging Markets ETF | 1,260,997 | (18,808,724) | (176,617) |
Capital Loss Available | |
First Trust RiverFront Dynamic Asia Pacific ETF | $ 8,265,872 |
First Trust RiverFront Dynamic Developed International ETF | 57,671,472 |
First Trust RiverFront Dynamic Europe ETF | 11,023,420 |
First Trust RiverFront Dynamic Emerging Markets ETF | 18,808,724 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | |||
First Trust RiverFront Dynamic Asia Pacific ETF | $ 8,866 | $ 811,406 | $ (820,272) | ||
First Trust RiverFront Dynamic Developed International ETF | 133,790 | 15,300,022 | (15,433,812) | ||
First Trust RiverFront Dynamic Europe ETF | 27,849 | 1,888,526 | (1,916,375) | ||
First Trust RiverFront Dynamic Emerging Markets ETF | 273,704 | 51,463 | (325,167) |
Purchases | Sales | ||
First Trust RiverFront Dynamic Asia Pacific ETF | $ 34,260,506 | $ 34,432,891 | |
First Trust RiverFront Dynamic Developed International ETF | 290,127,083 | 295,916,502 | |
First Trust RiverFront Dynamic Europe ETF | 50,144,392 | 51,036,617 | |
First Trust RiverFront Dynamic Emerging Markets ETF | 114,637,837 | 128,076,397 | |
Purchases | Sales | ||
First Trust RiverFront Dynamic Asia Pacific ETF | $ — | $ 17,538,454 | |
First Trust RiverFront Dynamic Developed International ETF | — | 250,446,565 | |
First Trust RiverFront Dynamic Europe ETF | 8,130,675 | 58,545,122 | |
First Trust RiverFront Dynamic Emerging Markets ETF | 2,455,304 | 23,700,870 |
Individual Funds Included in the Trust | Financial Highlights |
First Trust RiverFront Dynamic Asia Pacific ETF | For the years ended October 31, 2019, 2018, 2017 and the period from April 13, 2016 (commencement of operations) through October 31, 2016 |
First Trust RiverFront Dynamic Developed International ETF | |
First Trust RiverFront Dynamic Europe ETF | |
First Trust RiverFront Dynamic Emerging Markets ETF | For the years ended October 31, 2019, 2018, 2017 and the period from June 14, 2016 (commencement of operations) through October 31, 2016 |
Dividends Received Deduction | |
First Trust RiverFront Dynamic Asia Pacific ETF | 0.00% |
First Trust RiverFront Dynamic Developed International ETF | 0.00% |
First Trust RiverFront Dynamic Europe ETF | 0.00% |
First Trust RiverFront Dynamic Emerging Markets ETF | 0.00% |
Qualified Dividend Income | |
First Trust RiverFront Dynamic Asia Pacific ETF | 100.00% |
First Trust RiverFront Dynamic Developed International ETF | 100.00% |
First Trust RiverFront Dynamic Europe ETF | 100.00% |
First Trust RiverFront Dynamic Emerging Markets ETF | 62.51% |
Gross Foreign Income | Foreign Taxes Paid | ||||||
Amount | Per Share | Amount | Per Share | ||||
First Trust RiverFront Dynamic Asia Pacific ETF | $ 1,112,946 | $ 2.23 | $ 67,556 | $ 0.14 | |||
First Trust RiverFront Dynamic Developed International ETF | 12,013,786 | 2.83 | 974,939 | 0.23 | |||
First Trust RiverFront Dynamic Europe ETF | 2,452,684 | 3.77 | 221,092 | 0.34 | |||
First Trust RiverFront Dynamic Emerging Markets ETF | 4,023,872 | 3.35 | 507,637 | 0.42 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016); Member, Sportsmed LLC (April 2007 to November 2015) | 162 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 162 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 162 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services) | 162 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 162 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
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• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Year Ended
October 31, 2019
1 | |
2 | |
5 | |
7 | |
8 | |
12 | |
13 | |
14 | |
15 | |
16 | |
22 | |
23 | |
28 | |
30 |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 10/31/19 | Inception (8/22/17) to 10/31/19 | Inception (8/22/17) to 10/31/19 | |
Fund Performance | |||
NAV | 11.75% | 4.98% | 11.23% |
Market Price | 12.02% | 5.06% | 11.43% |
Index Performance | |||
ICE BofAML US Investment Grade Institutional Capital Securities Index | 13.91% | 5.74% | 13.00% |
Sector Allocation | % of Total Investments |
Financials | 73.3% |
Utilities | 11.6 |
Energy | 6.7 |
Industrials | 3.1 |
Consumer Staples | 2.2 |
Communication Services | 1.6 |
Materials | 1.5 |
Total | 100.0% |
Credit Quality(1) | % of Total Investments |
A- | 1.7% |
BBB+ | 6.8 |
BBB | 17.3 |
BBB- | 30.4 |
BB+ | 29.5 |
BB | 10.6 |
BB- | 1.9 |
B+ | 1.8 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Emera, Inc., Series 16-A | 3.1% |
Hartford Financial Services Group (The), Inc. | 2.8 |
BB&T Corp. | 2.7 |
NiSource, Inc. | 2.6 |
Barclays PLC | 2.4 |
Enbridge, Inc., Series 16-A | 2.4 |
AerCap Global Aviation Trust | 2.3 |
Goldman Sachs Group (The), Inc., Series Q | 2.2 |
Barclays PLC | 2.1 |
Royal Bank of Scotland Group PLC | 2.0 |
Total | 24.6% |
Country Allocation | % of Total Investments |
United States | 39.5% |
United Kingdom | 11.1 |
France | 9.3 |
Canada | 8.4 |
Switzerland | 6.1 |
Australia | 5.0 |
Netherlands | 4.9 |
Italy | 4.7 |
Japan | 4.6 |
Spain | 2.0 |
Mexico | 1.6 |
Finland | 0.9 |
Chile | 0.7 |
Sweden | 0.6 |
Denmark | 0.5 |
Norway | 0.1 |
Total | 100.0% |
(1) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
8/23/17 – 10/31/17 | 44 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 156 | 2 | 0 | 0 |
11/1/18 – 10/31/19 | 220 | 5 | 3 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
8/23/17 – 10/31/17 | 5 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 90 | 4 | 0 | 0 |
11/1/18 – 10/31/19 | 22 | 1 | 0 | 0 |
Beginning Account Value May 1, 2019 | Ending Account Value October 31, 2019 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Institutional Preferred Securities and Income ETF (FPEI) | ||||
Actual | $1,000.00 | $1,061.50 | 0.85% | $4.42 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2019 through October 31, 2019), multiplied by 184/365 (to reflect the six-month period). |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES – 95.9% | ||||||||
Banks – 45.2% | ||||||||
$3,000,000 | Australia & New Zealand Banking Group Ltd. (a) (b) (c) | 6.75% | (d) | $3,381,315 | ||||
200,000 | Banco Bilbao Vizcaya Argentaria S.A. (b) (c) | 6.13% | (d) | 196,930 | ||||
1,000,000 | Banco Bilbao Vizcaya Argentaria S.A., Series 9 (c) | 6.50% | (d) | 1,033,782 | ||||
2,200,000 | Banco Mercantil del Norte S.A. (a) (b) (c) | 6.75% | (d) | 2,251,722 | ||||
400,000 | Banco Mercantil del Norte S.A. (a) (b) (c) | 7.50% | (d) | 417,600 | ||||
3,000,000 | Banco Santander S.A. (b) (c) | 7.50% | (d) | 3,255,000 | ||||
1,300,000 | Bank of America Corp., Series JJ (c) | 5.13% | (d) | 1,369,875 | ||||
1,400,000 | Bank of America Corp., Series X (c) | 6.25% | (d) | 1,549,401 | ||||
700,000 | Bank of America Corp., Series Z (c) | 6.50% | (d) | 794,210 | ||||
4,350,000 | Barclays PLC (b) (c) | 7.88% | (d) | 4,651,516 | ||||
5,000,000 | Barclays PLC (b) (c) | 8.00% | (d) | 5,459,825 | ||||
6,000,000 | BB&T Corp. (c) | 4.80% | (d) | 6,112,500 | ||||
900,000 | BBVA Bancomer S.A. (a) (b) (c) | 5.88% | 09/13/34 | 916,650 | ||||
2,300,000 | BNP Paribas S.A. (a) (b) (c) | 6.63% | (d) | 2,451,144 | ||||
1,000,000 | BNP Paribas S.A. (a) (b) (c) | 6.75% | (d) | 1,052,895 | ||||
800,000 | BNP Paribas S.A. (a) (b) (c) | 7.38% | (d) | 904,684 | ||||
1,081,000 | BNP Paribas S.A. (a) (b) (c) | 7.63% | (d) | 1,135,428 | ||||
1,416,000 | Citigroup, Inc. (c) | 5.90% | (d) | 1,500,202 | ||||
250,000 | Citigroup, Inc. (c) | 5.95% | (d) | 264,063 | ||||
500,000 | Citigroup, Inc., Series O (c) | 5.88% | (d) | 507,048 | ||||
2,514,000 | Citigroup, Inc., Series P (c) | 5.95% | (d) | 2,692,129 | ||||
3,750,000 | Citigroup, Inc., Series U (c) | 5.00% | (d) | 3,878,906 | ||||
1,900,000 | Citizens Financial Group, Inc., Series A (c) | 5.50% | (d) | 1,920,985 | ||||
723,000 | CoBank ACB, Series I (c) | 6.25% | (d) | 779,568 | ||||
2,806,000 | Credit Agricole S.A. (a) (b) (c) | 6.88% | (d) | 3,053,531 | ||||
2,600,000 | Credit Agricole S.A. (a) (b) (c) | 7.88% | (d) | 2,937,891 | ||||
1,000,000 | Credit Agricole S.A. (b) (c) | 7.88% | (d) | 1,129,958 | ||||
1,600,000 | Credit Agricole S.A. (a) (b) (c) | 8.13% | (d) | 1,920,106 | ||||
950,000 | Danske Bank A.S. (b) (c) | 6.13% | (d) | 972,942 | ||||
250,000 | Danske Bank A.S. (b) (c) | 7.00% | (d) | 266,593 | ||||
300,000 | DNB Bank ASA (b) (c) | 5.75% | (d) | 302,152 | ||||
800,000 | Farm Credit Bank of Texas, Series 3 (a) (c) | 6.20% | (d) | 834,463 | ||||
1,270,000 | HSBC Holdings PLC (b) (c) | 6.38% | (d) | 1,354,245 | ||||
870,000 | ING Groep N.V. (b) (c) | 5.75% | (d) | 892,294 | ||||
1,400,000 | ING Groep N.V. (b) (c) | 6.50% | (d) | 1,492,610 | ||||
3,100,000 | ING Groep N.V. (b) (c) | 6.88% | (d) | 3,278,250 | ||||
2,300,000 | Intesa Sanpaolo S.p.A. (a) (b) (c) | 7.70% | (d) | 2,425,591 | ||||
1,800,000 | JPMorgan Chase & Co., Series FF (c) | 5.00% | (d) | 1,874,250 | ||||
682,000 | JPMorgan Chase & Co., Series I, 3 Mo. LIBOR + 3.47% (e) | 5.41% | (d) | 687,129 | ||||
1,100,000 | JPMorgan Chase & Co., Series R (c) | 6.00% | (d) | 1,181,439 | ||||
3,940,000 | JPMorgan Chase & Co., Series V, 3 Mo. LIBOR + 3.32% (e) | 5.42% | (d) | 3,972,505 | ||||
1,250,000 | Lloyds Bank PLC (c) | 12.00% | (d) | 1,525,781 | ||||
1,900,000 | Lloyds Banking Group PLC (b) (c) | 7.50% | (d) | 2,085,250 | ||||
600,000 | Lloyds Banking Group PLC (b) (c) | 7.50% | (d) | 660,627 | ||||
2,500,000 | M&T Bank Corp., Series G (c) | 5.00% | (d) | 2,612,500 | ||||
1,800,000 | Nordea Bank Abp (a) (b) (c) | 6.63% | (d) | 1,963,539 | ||||
2,050,000 | Royal Bank of Scotland Group PLC (b) (c) | 8.00% | (d) | 2,349,812 | ||||
4,100,000 | Royal Bank of Scotland Group PLC (b) (c) | 8.63% | (d) | 4,428,000 | ||||
200,000 | Skandinaviska Enskilda Banken AB (b) (c) | 5.63% | (d) | 204,875 | ||||
2,946,000 | Societe Generale S.A. (a) (b) (c) | 7.38% | (d) | 3,108,030 | ||||
500,000 | Societe Generale S.A. (b) (c) | 7.38% | (d) | 527,500 | ||||
1,221,000 | Societe Generale S.A. (a) (b) (c) | 7.88% | (d) | 1,339,394 | ||||
400,000 | Societe Generale S.A. (b) (c) | 7.88% | (d) | 438,786 | ||||
900,000 | Standard Chartered PLC (a) (b) (c) | 7.50% | (d) | 956,250 | ||||
1,400,000 | Standard Chartered PLC (a) (b) (c) | 7.75% | (d) | 1,525,251 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Banks (Continued) | ||||||||
$1,000,000 | Swedbank AB (b) (c) | 6.00% | (d) | $1,040,096 | ||||
3,850,000 | UniCredit S.p.A. (b) (c) | 8.00% | (d) | 4,073,727 | ||||
376,000 | Wells Fargo & Co., Series K, 3 Mo. LIBOR + 3.77% (e) | 5.89% | (d) | 381,170 | ||||
106,273,915 | ||||||||
Capital Markets – 10.4% | ||||||||
1,800,000 | Credit Suisse Group AG (a) (b) (c) | 6.38% | (d) | 1,901,250 | ||||
250,000 | Credit Suisse Group AG (a) (b) (c) | 7.25% | (d) | 272,089 | ||||
500,000 | Credit Suisse Group AG (a) (b) (c) | 7.50% | (d) | 555,610 | ||||
2,300,000 | Credit Suisse Group AG (b) (c) | 7.50% | (d) | 2,555,806 | ||||
3,400,000 | Credit Suisse Group AG (a) (b) (c) | 7.50% | (d) | 3,668,991 | ||||
1,000,000 | E*TRADE Financial Corp., Series A (c) | 5.88% | (d) | 1,050,000 | ||||
2,192,000 | Goldman Sachs Group (The), Inc., Series L, 3 Mo. LIBOR + 3.88% (e) | 6.07% | (d) | 2,200,658 | ||||
2,300,000 | Goldman Sachs Group (The), Inc., Series M (c) | 5.38% | (d) | 2,334,005 | ||||
4,700,000 | Goldman Sachs Group (The), Inc., Series Q (c) | 5.50% | (d) | 5,033,465 | ||||
1,500,000 | UBS Group AG (b) (c) | 6.88% | (d) | 1,561,631 | ||||
2,500,000 | UBS Group AG (b) (c) | 6.88% | (d) | 2,716,875 | ||||
200,000 | UBS Group AG (b) (c) | 7.00% | (d) | 223,541 | ||||
313,000 | UBS Group Funding Switzerland AG (b) (c) | 7.13% | (d) | 329,832 | ||||
24,403,753 | ||||||||
Consumer Finance – 0.8% | ||||||||
2,000,000 | American Express Co., Series C (c) | 4.90% | (d) | 2,013,040 | ||||
Diversified Financial Services – 1.8% | ||||||||
4,050,000 | Voya Financial, Inc. (c) | 5.65% | 05/15/53 | 4,289,031 | ||||
Diversified Telecommunication Services – 1.5% | ||||||||
1,000,000 | Koninklijke KPN N.V. (a) (c) | 7.00% | 03/28/73 | 1,097,770 | ||||
2,326,000 | Koninklijke KPN N.V. (c) | 7.00% | 03/28/73 | 2,553,413 | ||||
3,651,183 | ||||||||
Electric Utilities – 6.1% | ||||||||
2,290,000 | Duke Energy Corp. (c) | 4.88% | (d) | 2,419,671 | ||||
6,270,000 | Emera, Inc., Series 16-A (c) | 6.75% | 06/15/76 | 7,059,895 | ||||
3,500,000 | Enel S.p.A. (a) (c) | 8.75% | 09/24/73 | 4,130,000 | ||||
400,000 | PPL Capital Funding, Inc., Series A, 3 Mo. LIBOR + 2.67% (c) (e) | 4.77% | 03/30/67 | 357,451 | ||||
400,000 | Southern (The) Co., Series B (c) | 5.50% | 03/15/57 | 418,628 | ||||
14,385,645 | ||||||||
Energy Equipment & Services – 2.3% | ||||||||
2,000,000 | Transcanada Trust (c) | 5.50% | 09/15/79 | 2,140,000 | ||||
3,050,000 | Transcanada Trust, Series 16-A (c) | 5.88% | 08/15/76 | 3,313,886 | ||||
5,453,886 | ||||||||
Food Products – 2.1% | ||||||||
1,000,000 | Land O’Lakes Capital Trust I (c) (f) | 7.45% | 03/15/28 | 1,130,000 | ||||
2,000,000 | Land O’Lakes, Inc. (a) (c) | 7.00% | (d) | 1,883,750 | ||||
1,490,000 | Land O’Lakes, Inc. (a) (c) | 7.25% | (d) | 1,437,850 | ||||
535,000 | Land O’Lakes, Inc. (a) (c) | 8.00% | (d) | 540,350 | ||||
4,991,950 | ||||||||
Independent Power & Renewable Electricity Producers – 0.6% | ||||||||
1,500,000 | AES Gener S.A. (a) (c) | 6.35% | 10/07/79 | 1,508,700 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Insurance – 12.1% | ||||||||
$3,000,000 | Asahi Mutual Life Insurance Co. (c) | 6.50% | (d) | $3,162,322 | ||||
1,300,000 | Asahi Mutual Life Insurance Co. (c) | 7.25% | (d) | 1,381,241 | ||||
3,858,000 | Assurant, Inc. (c) | 7.00% | 03/27/48 | 4,268,954 | ||||
700,000 | Dai-ichi Life Insurance (The) Co., Ltd. (a) (c) | 7.25% | (d) | 757,365 | ||||
630,000 | Everest Reinsurance Holdings, Inc., 3 Mo. LIBOR + 2.39% (c) (e) | 4.54% | 05/15/37 | 577,455 | ||||
1,800,000 | Fukoku Mutual Life Insurance Co. (c) | 6.50% | (d) | 2,016,157 | ||||
7,160,000 | Hartford Financial Services Group (The), Inc., 3 Mo. LIBOR + 2.13% (a) (c) (e) | 4.28% | 02/12/47 | 6,325,717 | ||||
1,000,000 | La Mondiale SAM (c) | 5.88% | 01/26/47 | 1,082,400 | ||||
1,700,000 | Mitsui Sumitomo Insurance Co., Ltd. (a) (c) | 7.00% | 03/15/72 | 1,864,084 | ||||
1,000,000 | Prudential Financial, Inc. (c) | 5.63% | 06/15/43 | 1,084,365 | ||||
1,500,000 | QBE Insurance Group Ltd. (a) (c) | 7.50% | 11/24/43 | 1,678,530 | ||||
200,000 | QBE Insurance Group Ltd. (c) | 7.50% | 11/24/43 | 223,804 | ||||
2,250,000 | QBE Insurance Group Ltd. (c) | 6.75% | 12/02/44 | 2,500,920 | ||||
375,000 | Reinsurance Group of America, Inc., 3 Mo. LIBOR + 2.67% (c) (e) | 4.78% | 12/15/65 | 348,750 | ||||
1,000,000 | Sumitomo Life Insurance Co. (a) (c) | 6.50% | 09/20/73 | 1,127,770 | ||||
28,399,834 | ||||||||
Metals & Mining – 1.5% | ||||||||
300,000 | BHP Billiton Finance USA Ltd. (a) (c) | 6.25% | 10/19/75 | 310,236 | ||||
2,700,000 | BHP Billiton Finance USA Ltd. (a) (c) | 6.75% | 10/19/75 | 3,169,719 | ||||
3,479,955 | ||||||||
Multi-Utilities – 4.4% | ||||||||
4,089,000 | CenterPoint Energy, Inc., Series A (c) | 6.13% | (d) | 4,347,486 | ||||
5,806,000 | NiSource, Inc. (c) | 5.65% | (d) | 5,897,241 | ||||
10,244,727 | ||||||||
Oil, Gas & Consumable Fuels – 4.1% | ||||||||
2,164,000 | DCP Midstream Operating L.P. (a) (c) | 5.85% | 05/21/43 | 1,947,600 | ||||
800,000 | Enbridge, Inc. (c) | 5.50% | 07/15/77 | 817,216 | ||||
300,000 | Enbridge, Inc. (c) | 6.25% | 03/01/78 | 323,100 | ||||
5,106,000 | Enbridge, Inc., Series 16-A (c) | 6.00% | 01/15/77 | 5,394,591 | ||||
1,395,000 | Energy Transfer Operating L.P., 3 Mo. LIBOR + 3.02% (c) (e) | 5.27% | 11/01/66 | 1,053,225 | ||||
100,000 | Energy Transfer Operating L.P., Series B (c) | 6.63% | (d) | 95,527 | ||||
9,631,259 | ||||||||
Trading Companies & Distributors – 0.8% | ||||||||
1,700,000 | AerCap Holdings N.V. (c) | 5.88% | 10/10/79 | 1,780,750 | ||||
Transportation Infrastructure – 2.2% | ||||||||
4,650,000 | AerCap Global Aviation Trust (a) (c) | 6.50% | 06/15/45 | 5,120,813 | ||||
Total Capital Preferred Securities | 225,628,441 | |||||||
(Cost $220,078,097) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES – 0.1% | ||||||||
Insurance – 0.1% | ||||||||
$200,000 | AmTrust Financial Services, Inc. (c) | 6.13% | 08/15/23 | $201,468 | ||||
(Cost $198,986) |
Total Investments – 96.0% | 225,829,909 | ||
(Cost $220,277,083) (g) | |||
Net Other Assets and Liabilities – 4.0% | 9,347,951 | ||
Net Assets – 100.0% | $235,177,860 |
(a) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P., the Fund’s advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At October 31, 2019, securities noted as such amounted to $71,873,678 or 30.6% of net assets. |
(b) | This security is a contingent convertible capital security which may be subject to conversion into common stock of the issuer under certain circumstances. At October 31, 2019, securities noted as such amounted to $85,621,416 or 36.4% of net assets. Of these securities, 0.0% originated in emerging markets, and 100.0% originated in foreign markets. |
(c) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at October 31, 2019. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(d) | Perpetual maturity. |
(e) | Floating or variable rate security. |
(f) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2C - Restricted Securities in the Notes to Financial Statements). |
(g) | Aggregate cost for federal income tax purposes was $220,183,150. As of October 31, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $6,520,237 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $873,478. The net unrealized appreciation was $5,646,759. |
LIBOR | London Interbank Offered Rate |
Total Value at 10/31/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Capital Preferred Securities* | $ 225,628,441 | $ — | $ 225,628,441 | $ — |
Corporate Bonds and Notes* | 201,468 | — | 201,468 | — |
Total Investments | $ 225,829,909 | $— | $ 225,829,909 | $— |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value (Cost $220,277,083) | $ 225,829,909 |
Cash | 7,072,984 |
Receivables: | |
Interest | 2,844,657 |
Interest reclaims | 99,115 |
Total Assets | 235,846,665 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 506,183 |
Investment advisory fees | 162,622 |
Total Liabilities | 668,805 |
NET ASSETS | $235,177,860 |
NET ASSETS consist of: | |
Paid-in capital | $ 229,698,672 |
Par value | 118,500 |
Accumulated distributable earnings (loss) | 5,360,688 |
NET ASSETS | $235,177,860 |
NET ASSET VALUE,per share | $19.85 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 11,850,002 |
INVESTMENT INCOME: | ||
Interest | $ 9,597,287 | |
Foreign withholding tax | (8,514) | |
Total investment income | 9,588,773 | |
EXPENSES: | ||
Investment advisory fees | 1,307,096 | |
Total expenses | 1,307,096 | |
NET INVESTMENT INCOME (LOSS) | 8,281,677 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on investments | 54,698 | |
Net change in unrealized appreciation (depreciation) on investments | 10,673,383 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 10,728,081 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 19,009,758 |
Year Ended 10/31/2019 | Year Ended 10/31/2018 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 8,281,677 | $ 3,793,724 | |
Net realized gain (loss) | 54,698 | (350,585) | |
Net change in unrealized appreciation (depreciation) | 10,673,383 | (5,338,740) | |
Net increase (decrease) in net assets resulting from operations | 19,009,758 | (1,895,601) | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (8,164,160) | (3,846,302) | |
Return of capital | (204,397) | — | |
Total distributions to shareholders | (8,368,557) | (3,846,302) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 132,683,600 | 80,923,612 | |
Cost of shares redeemed | (1,903,752) | (5,737,598) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 130,779,848 | 75,186,014 | |
Total increase (decrease) in net assets | 141,421,049 | 69,444,111 | |
NET ASSETS: | |||
Beginning of period | 93,756,811 | 24,312,700 | |
End of period | $ 235,177,860 | $ 93,756,811 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 5,000,002 | 1,200,002 | |
Shares sold | 6,950,000 | 4,100,000 | |
Shares redeemed | (100,000) | (300,000) | |
Shares outstanding, end of period | 11,850,002 | 5,000,002 |
Year Ended October 31, | Period Ended 10/31/2017 (a) | ||||
2019 | 2018 | ||||
Net asset value, beginning of period | $ 18.75 | $ 20.26 | $ 20.00 | ||
Income from investment operations: | |||||
Net investment income (loss) | 1.01 | 0.99 | 0.18 | ||
Net realized and unrealized gain (loss) | 1.12 | (1.47) | 0.22 | ||
Total from investment operations | 2.13 | (0.48) | 0.40 | ||
Distributions paid to shareholders from: | |||||
Net investment income | (1.00) | (1.03) | (0.14) | ||
Return of capital | (0.03) | — | — | ||
Total distributions | (1.03) | (1.03) | (0.14) | ||
Net asset value, end of period | $19.85 | $18.75 | $20.26 | ||
Total return (b) | 11.75% | (2.42)% | 2.00% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 235,178 | $ 93,757 | $ 24,313 | ||
Ratio of total expenses to average net assets | 0.85% | 0.85% | 0.85% (c) | ||
Ratio of net investment income (loss) to average net assets | 5.39% | 5.36% | 4.93% (c) | ||
Portfolio turnover rate (d) | 28% | 25% | 13% |
(a) | Inception date is August 22, 2017, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
1) | the value of similar foreign securities traded on other foreign markets; |
2) | ADR trading of similar securities; |
3) | closed-end fund or exchange-traded fund trading of similar securities; |
4) | foreign currency exchange activity; |
5) | the trading prices of financial products that are tied to baskets of foreign securities; |
6) | factors relating to the event that precipitated the pricing problem; |
7) | whether the event is likely to recur; and |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security | Acquisition Date | Par Amount | Current Price | Carrying Cost | Value | % of Net Assets |
Land O’Lakes Capital Trust I, 7.45%, 03/15/28 | 05/04/18 | $1,000,000 | $113.00 | $1,119,190 | $1,130,000 | 0.48% |
Distributions paid from: | 2019 | 2018 |
Ordinary income | $8,164,160 | $3,846,302 |
Capital gains | — | — |
Return of capital | 204,397 | — |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (286,071) |
Net unrealized appreciation (depreciation) | 5,646,759 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$10,078 | $(10,078) | $— |
Dividends Received Deduction | Qualified Dividend Income | |
14.83% | 67.82% |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016); Member, Sportsmed LLC (April 2007 to November 2015) | 162 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 162 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 162 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services) | 162 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 162 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant, during the period covered by this report, has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
(e) | Not applicable. |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s Board of Trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees (Registrant) -- The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $228,500 for fiscal year ended October 31, 2018 and $228,500 for fiscal year ended October 31, 2019. |
(b) | Audit-Related Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended October 31, 2018, and $0 for the fiscal year ended October 31, 2019. |
Audit-Related Fees (Investment Adviser) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended October 31, 2018, and $0 for the fiscal year ended October 31, 2019.
(c) | Tax Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $29,315 for fiscal year ended October 31, 2018 and $60,800 for fiscal year ended October 31, 2019. |
Tax Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant’s adviser and distributor were $0 for the fiscal year ended October 31, 2018, and $0 for the fiscal year ended October 31, 2019.
(d) | All Other Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended October 31, 2018, and $0 for the fiscal year ended October 31, 2019. |
All Other Fees (Investment Adviser and Distributor) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant’s investment adviser and distributor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended October 31, 2018, and $0 for the fiscal year ended October 31, 2019.
(e)(1) | Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X. |
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the “Committee”) is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent auditor’s engagements for non-audit services with the registrant’s adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to thede minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant’s adviser (other than any sub-adviser whose role is primarily portfolio management and is sub-contracted with or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor’s independence.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant’s investment adviser and distributor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows: |
Registrant:Adviser and Distributor:
(b) 0% (b) 0%
(c) 0% (c) 0%
(d) 0% (d) 0%
(f) | The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for fiscal year ended October 31, 2018 were $29,315 for the registrant, $48,190 for the registrant’s investment adviser, $80,310 for the registrant’s distributor and $3,000 for Stonebridge Advisors LLC (“Stonebridge”), which is under common control with the registrant’s investment adviser and serves as the registrant’s investment sub-advisor for the First Trust Preferred Securities and Income ETF and the First Trust Institutional Preferred Securities and Income ETF, and for the fiscal year ended October 31, 2019 were $60,800 for the registrant, $28,500 for the registrant’s investment adviser, $34,400 for the registrant’s distributor and $18,500 for Stonebridge. |
(h) | The registrant’s audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
Items 5. Audit Committee of Listed Registrants.
The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The audit committee of the registrant is comprised of: Richard E. Erickson, Thomas R. Kadlec, Robert F. Keith and Niel B. Nielson.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. 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 the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (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 period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are 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) | First Trust Exchange-Traded Fund III |
By (Signature and Title)* | /s/ James M. Dykas | |||
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date | January 7, 2020 |
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/ James M. Dykas | |||
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date | January 7, 2020 |
By (Signature and Title)* | /s/ Donald P. Swade | |||
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date | January 7, 2020 |
* Print the name and title of each signing officer under his or her signature.