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:July 31
Date of reporting period:January 31, 2020
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, 100 F Street, NE, Washington, DC 20549. 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 semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
For the Six Months Ended
January 31, 2020
1 | |
Fund Performance Overview | |
2 | |
4 | |
6 | |
7 | |
8 | |
Portfolio of Investments | |
9 | |
12 | |
16 | |
17 | |
18 | |
19 | |
21 | |
27 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/20 | 1 Year Ended 1/31/20 | Inception (8/24/16) to 1/31/20 | Inception (8/24/16) to 1/31/20 | |
Fund Performance | ||||
NAV | 6.59% | 20.85% | 12.08% | 47.98% |
Market Price | 6.59% | 20.70% | 12.08% | 47.98% |
Index Performance | ||||
S&P 500® Index | 9.31% | 21.68% | 14.39% | 58.75% |
Sector Allocation | % of Total Investments |
Utilities | 15.0% |
Information Technology | 13.8 |
Industrials | 13.7 |
Financials | 13.4 |
Health Care | 10.8 |
Consumer Discretionary | 9.2 |
Real Estate | 7.2 |
Consumer Staples | 6.1 |
Materials | 4.9 |
Communication Services | 3.4 |
Energy | 2.5 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Citrix Systems, Inc. | 1.3% |
Republic Services, Inc. | 1.2 |
Berkshire Hathaway, Inc., Class B | 1.2 |
Walmart, Inc. | 1.2 |
Automatic Data Processing, Inc. | 1.2 |
Apartment Investment & Management Co., Class A | 1.2 |
Sysco Corp. | 1.2 |
Equity Residential | 1.1 |
Paychex, Inc. | 1.1 |
Lockheed Martin Corp. | 1.1 |
Total | 11.8% |
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% |
8/25/16 – 7/31/17 | 125 | 1 | 0 | 0 |
8/1/17 – 7/31/18 | 212 | 2 | 0 | 1 |
8/1/18 – 7/31/19 | 169 | 18 | 0 | 0 |
8/1/19 – 1/31/20 | 94 | 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% |
8/25/16 – 7/31/17 | 108 | 0 | 0 | 0 |
8/1/17 – 7/31/18 | 35 | 1 | 0 | 1 |
8/1/18 – 7/31/19 | 63 | 1 | 0 | 0 |
8/1/19 – 1/31/20 | 33 | 0 | 0 | 0 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/20 | 1 Year Ended 1/31/20 | Inception (8/24/16) to 1/31/20 | Inception (8/24/16) to 1/31/20 | |
Fund Performance | ||||
NAV | 3.96% | 7.56% | 6.41% | 23.82% |
Market Price | 3.45% | 6.99% | 6.38% | 23.70% |
Index Performance | ||||
MSCI EAFE Index | 6.12% | 12.10% | 7.37% | 27.69% |
Sector Allocation | % of Total Investments |
Financials | 28.9% |
Industrials | 19.0 |
Utilities | 10.0 |
Real Estate | 9.7 |
Consumer Staples | 8.9 |
Consumer Discretionary | 6.3 |
Communication Services | 5.2 |
Health Care | 4.8 |
Materials | 3.2 |
Energy | 2.3 |
Information Technology | 1.7 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Swisscom AG | 1.0% |
Power Assets Holdings Ltd. | 0.9 |
Swiss Life Holding AG | 0.9 |
Ascendas Real Estate Investment Trust | 0.9 |
Zurich Insurance Group AG | 0.9 |
Roche Holding AG | 0.9 |
Nestle S.A. | 0.9 |
Baloise Holding AG | 0.8 |
United Overseas Bank Ltd. | 0.8 |
Iberdrola S.A. | 0.8 |
Total | 8.8% |
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% |
8/25/16 – 7/31/17 | 128 | 99 | 1 | 0 |
8/1/17 – 7/31/18 | 99 | 135 | 6 | 0 |
8/1/18 – 7/31/19 | 164 | 65 | 3 | 0 |
8/1/19 – 1/31/20 | 87 | 25 | 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% |
8/25/16 – 7/31/17 | 6 | 0 | 0 | 0 |
8/1/17 – 7/31/18 | 9 | 3 | 0 | 0 |
8/1/18 – 7/31/19 | 19 | 0 | 0 | 0 |
8/1/19 – 1/31/20 | 13 | 2 | 0 | 0 |
Beginning Account Value August 1, 2019 | Ending Account Value January 31, 2020 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | ||||
Actual | $1,000.00 | $1,065.90 | 0.70% | $3.64 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.62 | 0.70% | $3.56 |
First Trust Horizon Managed Volatility Developed International ETF (HDMV) | ||||
Actual | $1,000.00 | $1,039.60 | 0.80% | $4.10 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.11 | 0.80% | $4.06 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (August 1, 2019 through January 31, 2020), multiplied by 184/366 (to reflect the six-month period). |
Shares | Description | Value | ||
COMMON STOCKS – 92.6% | ||||
Aerospace & Defense – 2.6% | ||||
14,726 | General Dynamics Corp. | $2,583,529 | ||
7,062 | Lockheed Martin Corp. | 3,023,384 | ||
11,630 | United Technologies Corp. | 1,746,826 | ||
7,353,739 | ||||
Airlines – 0.6% | ||||
24,387 | Alaska Air Group, Inc. | 1,575,156 | ||
Banks – 0.6% | ||||
31,694 | US Bancorp | 1,686,755 | ||
Beverages – 1.4% | ||||
31,618 | Coca-Cola (The) Co. | 1,846,491 | ||
14,469 | PepsiCo, Inc. | 2,054,888 | ||
3,901,379 | ||||
Biotechnology – 0.5% | ||||
6,643 | Amgen, Inc. | 1,435,220 | ||
Building Products – 0.6% | ||||
38,911 | Johnson Controls International PLC | 1,535,039 | ||
Capital Markets – 1.3% | ||||
17,975 | Intercontinental Exchange, Inc. | 1,792,827 | ||
15,381 | Nasdaq, Inc. | 1,791,271 | ||
3,584,098 | ||||
Chemicals – 3.4% | ||||
10,053 | Air Products & Chemicals, Inc. | 2,399,752 | ||
14,711 | Ecolab, Inc. | 2,884,974 | ||
13,781 | Linde PLC | 2,799,334 | ||
12,057 | PPG Industries, Inc. | 1,444,911 | ||
9,528,971 | ||||
Commercial Services & Supplies – 2.0% | ||||
36,534 | Republic Services, Inc. | 3,472,557 | ||
17,385 | Waste Management, Inc. | 2,115,754 | ||
5,588,311 | ||||
Construction Materials – 0.9% | ||||
18,295 | Vulcan Materials Co. | 2,591,121 | ||
Consumer Finance – 0.6% | ||||
12,769 | American Express Co. | 1,658,310 | ||
Containers & Packaging – 0.5% | ||||
11,322 | Avery Dennison Corp. | 1,485,899 | ||
Distributors – 0.9% | ||||
28,057 | Genuine Parts Co. | 2,625,293 | ||
Diversified Financial Services – 1.2% | ||||
15,028 | Berkshire Hathaway, Inc., Class B (a) | 3,372,734 |
Shares | Description | Value | ||
Diversified Telecommunication Services – 1.3% | ||||
43,405 | AT&T, Inc. | $1,632,896 | ||
34,913 | Verizon Communications, Inc. | 2,075,229 | ||
3,708,125 | ||||
Electric Utilities – 8.5% | ||||
40,904 | Alliant Energy Corp. | 2,428,062 | ||
19,145 | American Electric Power Co., Inc. | 1,995,292 | ||
21,868 | Duke Energy Corp. | 2,134,973 | ||
16,922 | Entergy Corp. | 2,225,581 | ||
30,671 | Evergy, Inc. | 2,213,219 | ||
25,278 | Eversource Energy | 2,336,698 | ||
43,454 | FirstEnergy Corp. | 2,207,029 | ||
8,012 | NextEra Energy, Inc. | 2,148,818 | ||
13,768 | Pinnacle West Capital Corp. | 1,344,996 | ||
30,942 | Southern (The) Co. | 2,178,317 | ||
34,870 | Xcel Energy, Inc. | 2,412,655 | ||
23,625,640 | ||||
Electrical Equipment – 1.5% | ||||
25,090 | AMETEK, Inc. | 2,437,494 | ||
18,430 | Eaton Corp. PLC | 1,741,082 | ||
4,178,576 | ||||
Electronic Equipment, Instruments & Components – 0.7% | ||||
20,520 | Amphenol Corp., Class A | 2,041,124 | ||
Food & Staples Retailing – 3.0% | ||||
5,950 | Costco Wholesale Corp. | 1,817,844 | ||
39,052 | Sysco Corp. | 3,207,731 | ||
28,858 | Walmart, Inc. | 3,303,953 | ||
8,329,528 | ||||
Food Products – 1.1% | ||||
51,997 | Mondelez International, Inc., Class A | 2,983,588 | ||
Gas Utilities – 0.5% | ||||
12,450 | Atmos Energy Corp. | 1,457,023 | ||
Health Care Equipment & Supplies – 4.2% | ||||
30,373 | Abbott Laboratories | 2,646,703 | ||
4,290 | Cooper (The) Cos., Inc. | 1,488,158 | ||
13,115 | Danaher Corp. | 2,109,810 | ||
27,724 | Hologic, Inc. (a) | 1,483,789 | ||
21,800 | Medtronic PLC | 2,516,592 | ||
9,920 | STERIS PLC | 1,494,845 | ||
11,739,897 | ||||
Health Care Providers & Services – 1.9% | ||||
14,656 | Laboratory Corp of America Holdings (a) | 2,570,663 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Health Care Providers & Services (Continued) | ||||
25,287 | Quest Diagnostics, Inc. | $2,798,512 | ||
5,369,175 | ||||
Health Care Technology – 0.9% | ||||
35,982 | Cerner Corp. | 2,584,587 | ||
Hotels, Restaurants & Leisure – 3.4% | ||||
21,307 | Darden Restaurants, Inc. | 2,480,774 | ||
13,562 | McDonald’s Corp. | 2,901,861 | ||
27,062 | Starbucks Corp. | 2,295,670 | ||
17,034 | Yum! Brands, Inc. | 1,801,686 | ||
9,479,991 | ||||
Household Products – 0.7% | ||||
14,596 | Procter & Gamble (The) Co. | 1,818,953 | ||
Industrial Conglomerates – 2.0% | ||||
15,019 | Honeywell International, Inc. | 2,601,591 | ||
7,443 | Roper Technologies, Inc. | 2,840,696 | ||
5,442,287 | ||||
Insurance – 9.7% | ||||
35,386 | Aflac, Inc. | 1,824,856 | ||
25,271 | Allstate (The) Corp. | 2,995,624 | ||
19,841 | Arthur J. Gallagher & Co. | 2,035,091 | ||
19,129 | Chubb Ltd. | 2,907,417 | ||
16,310 | Cincinnati Financial Corp. | 1,711,735 | ||
10,364 | Everest Re Group Ltd. | 2,866,372 | ||
27,531 | Globe Life, Inc. | 2,870,382 | ||
48,229 | Hartford Financial Services Group (The), Inc. | 2,859,015 | ||
25,111 | Marsh & McLennan Cos., Inc. | 2,808,916 | ||
19,113 | Travelers (The) Cos., Inc. | 2,515,653 | ||
23,738 | WR Berkley Corp. | 1,745,455 | ||
27,140,516 | ||||
IT Services – 9.8% | ||||
12,646 | Accenture PLC, Class A | 2,595,086 | ||
18,995 | Automatic Data Processing, Inc. | 3,255,553 | ||
24,327 | Broadridge Financial Solutions, Inc. | 2,898,562 | ||
29,609 | Cognizant Technology Solutions Corp., Class A | 1,817,401 | ||
20,656 | Fidelity National Information Services, Inc. | 2,967,441 | ||
16,962 | International Business Machines Corp. | 2,437,948 | ||
19,870 | Jack Henry & Associates, Inc. | 2,971,360 | ||
35,279 | Paychex, Inc. | 3,025,880 | ||
13,527 | Visa, Inc., Class A | 2,691,467 | ||
102,856 | Western Union (The) Co. | 2,766,826 | ||
27,427,524 |
Shares | Description | Value | ||
Life Sciences Tools & Services – 0.5% | ||||
4,785 | Thermo Fisher Scientific, Inc. | $1,498,614 | ||
Machinery – 2.0% | ||||
15,566 | IDEX Corp. | 2,550,489 | ||
8,913 | Illinois Tool Works, Inc. | 1,559,597 | ||
11,766 | Ingersoll-Rand PLC | 1,567,584 | ||
5,677,670 | ||||
Media – 2.1% | ||||
2,994 | Charter Communications, Inc., Class A (a) | 1,549,275 | ||
60,383 | Comcast Corp., Class A | 2,607,942 | ||
21,239 | Omnicom Group, Inc. | 1,599,509 | ||
5,756,726 | ||||
Multiline Retail – 0.9% | ||||
16,604 | Dollar General Corp. | 2,547,220 | ||
Multi-Utilities – 6.0% | ||||
25,792 | Ameren Corp. | 2,116,233 | ||
35,527 | CMS Energy Corp. | 2,433,955 | ||
25,537 | Consolidated Edison, Inc. | 2,400,478 | ||
17,564 | Dominion Energy, Inc. | 1,506,113 | ||
17,224 | DTE Energy Co. | 2,284,075 | ||
37,011 | Public Service Enterprise Group, Inc. | 2,191,051 | ||
12,116 | Sempra Energy | 1,946,314 | ||
18,394 | WEC Energy Group, Inc. | 1,837,377 | ||
16,715,596 | ||||
Oil, Gas & Consumable Fuels – 2.5% | ||||
14,336 | Chevron Corp. | 1,535,959 | ||
31,941 | Exxon Mobil Corp. | 1,984,175 | ||
85,000 | Kinder Morgan, Inc. | 1,773,950 | ||
21,324 | ONEOK, Inc. | 1,596,528 | ||
6,890,612 | ||||
Pharmaceuticals – 2.7% | ||||
10,408 | Eli Lilly & Co. | 1,453,373 | ||
12,261 | Johnson & Johnson | 1,825,295 | ||
18,707 | Merck & Co., Inc. | 1,598,326 | ||
68,622 | Pfizer, Inc. | 2,555,484 | ||
7,432,478 | ||||
Professional Services – 2.0% | ||||
35,424 | IHS Markit Ltd. (a) | 2,793,537 | ||
16,684 | Verisk Analytics, Inc. | 2,710,649 | ||
5,504,186 | ||||
Road & Rail – 0.5% | ||||
13,027 | JB Hunt Transport Services, Inc. | 1,406,004 | ||
Software – 3.2% | ||||
29,119 | Citrix Systems, Inc. | 3,529,805 | ||
15,872 | Microsoft Corp. | 2,701,890 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Software (Continued) | ||||
51,588 | Oracle Corp. | $2,705,791 | ||
8,937,486 | ||||
Specialty Retail – 3.4% | ||||
1,870 | AutoZone, Inc. (a) | 1,978,385 | ||
10,769 | Home Depot (The), Inc. | 2,456,409 | ||
5,781 | O’Reilly Automotive, Inc. (a) | 2,347,664 | ||
12,451 | Ross Stores, Inc. | 1,396,878 | ||
23,457 | TJX (The) Cos., Inc. | 1,384,901 | ||
9,564,237 | ||||
Textiles, Apparel & Luxury Goods – 0.5% | ||||
14,736 | NIKE, Inc., Class B | 1,419,077 | ||
Total Common Stocks | 258,598,465 | |||
(Cost $238,557,537) | ||||
REAL ESTATE INVESTMENT TRUSTS – 7.1% | ||||
Equity Real Estate Investment Trusts – 7.1% | ||||
61,202 | Apartment Investment & Management Co., Class A | 3,225,957 | ||
9,441 | AvalonBay Communities, Inc. | 2,045,770 | ||
55,973 | Duke Realty Corp. | 2,032,380 | ||
37,030 | Equity Residential | 3,076,452 | ||
6,146 | Essex Property Trust, Inc. | 1,903,785 | ||
17,104 | Extra Space Storage, Inc. | 1,893,071 | ||
14,845 | Federal Realty Investment Trust | 1,855,922 | ||
14,391 | Mid-America Apartment Communities, Inc. | 1,974,589 | ||
41,025 | UDR, Inc. | 1,965,508 | ||
Total Real Estate Investment Trusts | 19,973,434 | |||
(Cost $19,498,258) | ||||
Total Investments – 99.7% | 278,571,899 | |||
(Cost $258,055,795) (b) | ||||
Net Other Assets and Liabilities – 0.3% | 809,089 | |||
Net Assets – 100.0% | $279,380,988 |
(a) | Non-income producing security. |
(b) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $23,331,344 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $2,815,240. The net unrealized appreciation was $20,516,104. |
Total Value at 1/31/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 258,598,465 | $ 258,598,465 | $ — | $ — |
Real Estate Investment Trusts* | 19,973,434 | 19,973,434 | — | — |
Total Investments | $ 278,571,899 | $ 278,571,899 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
COMMON STOCKS (a) – 93.5% | ||||
Australia – 7.6% | ||||
57,030 | AGL Energy Ltd. (b) | $756,858 | ||
778,295 | AusNet Services (b) | 917,161 | ||
63,141 | Australia & New Zealand Banking Group Ltd. (b) | 1,074,809 | ||
158,778 | Bendigo & Adelaide Bank Ltd. (b) | 1,096,336 | ||
21,034 | Commonwealth Bank of Australia (b) | 1,190,893 | ||
203,449 | Insurance Australia Group Ltd. (b) | 956,638 | ||
8,200 | Macquarie Group Ltd. (b) | 783,512 | ||
67,395 | National Australia Bank Ltd. (b) | 1,151,250 | ||
51,021 | Sonic Healthcare Ltd. (b) | 1,069,438 | ||
120,867 | Suncorp Group Ltd. (b) | 1,032,526 | ||
378,641 | Tabcorp Holdings Ltd. (b) | 1,178,609 | ||
65,060 | Westpac Banking Corp. (b) | 1,087,246 | ||
12,295,276 | ||||
Belgium – 1.4% | ||||
18,458 | Ageas (b) | 1,017,803 | ||
12,013 | Groupe Bruxelles Lambert S.A. (b) | 1,207,231 | ||
2,225,034 | ||||
Bermuda – 0.6% | ||||
136,672 | CK Infrastructure Holdings Ltd. (b) | 953,535 | ||
Cayman Islands – 0.6% | ||||
119,764 | CK Hutchison Holdings Ltd. (b) | 1,058,200 | ||
Denmark – 1.2% | ||||
7,819 | Coloplast A.S., Class B (b) | 985,830 | ||
34,055 | Tryg A.S. (b) | 1,031,862 | ||
2,017,692 | ||||
France – 6.7% | ||||
5,561 | Aeroports de Paris (b) | 1,052,144 | ||
6,828 | Air Liquide S.A. (b) | 987,258 | ||
44,482 | AXA S.A. (b) | 1,182,847 | ||
51,504 | Carrefour S.A. (b) | 871,536 | ||
14,397 | Danone S.A. (b) | 1,152,112 | ||
8,024 | Eiffage S.A. (b) | 930,092 | ||
1,046 | Hermes International (b) | 781,076 | ||
24,651 | SCOR SE (b) | 1,047,739 | ||
16,084 | TOTAL S.A. (b) | 783,142 | ||
33,571 | Veolia Environnement S.A. (b) | 990,358 | ||
7,765 | Wendel S.A. (b) | 1,035,971 | ||
10,814,275 | ||||
Germany – 6.3% | ||||
4,721 | Allianz SE (b) | 1,127,109 | ||
10,301 | Beiersdorf AG (b) | 1,167,864 | ||
5,694 | Deutsche Boerse AG (b) | 924,270 | ||
20,879 | Deutsche Post AG (b) | 728,466 | ||
73,961 | Deutsche Telekom AG (b) | 1,197,858 |
Shares | Description | Value | ||
Germany (Continued) | ||||
75,013 | E.ON SE (b) | $849,971 | ||
5,792 | Hannover Rueck SE (b) | 1,124,613 | ||
7,824 | Merck KGaA (b) | 1,003,268 | ||
4,198 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (b) | 1,237,740 | ||
14,361 | Vonovia SE (b) | 819,671 | ||
10,180,830 | ||||
Hong Kong – 2.3% | ||||
117,674 | CLP Holdings, Ltd. (b) | 1,223,756 | ||
575,939 | Hong Kong & China Gas Co., Ltd. (b) | 1,102,163 | ||
205,331 | Power Assets Holdings Ltd. (b) | 1,482,370 | ||
3,808,289 | ||||
Israel – 1.2% | ||||
126,869 | Bank Leumi Le-Israel BM (b) | 912,179 | ||
8,654 | Check Point Software Technologies Ltd. (c) | 989,239 | ||
1,901,418 | ||||
Italy – 2.0% | ||||
68,151 | Assicurazioni Generali S.p.A. (b) | 1,327,968 | ||
75,825 | Eni S.p.A. (b) | 1,062,126 | ||
327,332 | Intesa Sanpaolo S.p.A. (b) | 812,935 | ||
3,203,029 | ||||
Japan – 25.7% | ||||
47,200 | Aeon Mall Co., Ltd. (b) | 784,289 | ||
23,100 | ANA Holdings, Inc. (b) | 721,510 | ||
19,300 | Aozora Bank Ltd. (b) | 520,055 | ||
25,200 | Bridgestone Corp. (b) | 892,560 | ||
27,400 | Canon, Inc. (b) | 718,546 | ||
4,200 | Central Japan Railway Co. (b) | 824,383 | ||
60,000 | Chugoku Electric Power (The) Co., Inc. (b) | 791,893 | ||
9,300 | East Japan Railway Co. (b) | 818,880 | ||
19,900 | Hankyu Hanshin Holdings, Inc. (b) | 807,386 | ||
47,500 | Iida Group Holdings Co., Ltd. (b) | 800,556 | ||
26,400 | ITOCHU Corp. (b) | 616,730 | ||
29,400 | Japan Airlines Co., Ltd. (b) | 827,036 | ||
75,200 | Japan Post Bank Co., Ltd. (b) | 696,044 | ||
69,500 | Japan Post Holdings Co., Ltd. (b) | 632,219 | ||
34,200 | Japan Tobacco, Inc. (b) | 723,140 | ||
23,700 | Kamigumi Co., Ltd. (b) | 506,412 | ||
18,800 | KDDI Corp. (b) | 568,119 | ||
18,900 | Keihan Holdings Co., Ltd. (b) | 854,678 | ||
10,600 | Kintetsu Group Holdings Co., Ltd. (b) | 558,655 | ||
7,700 | Kyocera Corp. (b) | 505,939 | ||
17,700 | Kyushu Railway Co. (b) | 579,132 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Japan (Continued) | ||||
22,100 | McDonald’s Holdings Co., Japan Ltd. (b) | $1,050,446 | ||
7,700 | MEIJI Holdings Co., Ltd. (b) | 541,878 | ||
22,500 | Mitsubishi Corp. (b) | 576,802 | ||
22,900 | Mitsubishi Heavy Industries Ltd. (b) | 835,332 | ||
20,500 | Mitsubishi Materials Corp. (b) | 515,589 | ||
115,400 | Mitsubishi UFJ Financial Group, Inc. (b) | 592,535 | ||
31,700 | Mitsui & Co., Ltd. (b) | 563,804 | ||
20,600 | Mitsui Fudosan Co., Ltd. (b) | 545,602 | ||
519,300 | Mizuho Financial Group, Inc. (b) | 770,086 | ||
21,400 | MS&AD Insurance Group Holdings, Inc. (b) | 710,752 | ||
18,900 | Nagoya Railroad Co., Ltd. (b) | 554,493 | ||
23,100 | Nippon Telegraph & Telephone Corp. (b) | 588,982 | ||
20,300 | Nomura Real Estate Holdings, Inc. (b) | 499,908 | ||
34,700 | NTT DOCOMO, Inc. (b) | 985,910 | ||
25,700 | Odayku Electric Railway Co., Ltd. (b) | 570,063 | ||
31,200 | ORIX Corp. (b) | 527,045 | ||
45,700 | Osaka Gas Co., Ltd. (b) | 773,329 | ||
198,700 | Resona Holdings, Inc. (b) | 819,408 | ||
17,200 | Sankyo Co., Ltd. (b) | 577,855 | ||
10,200 | Secom Co., Ltd. (b) | 895,077 | ||
34,500 | Seibu Holdings, Inc. (b) | 537,771 | ||
33,700 | Seiko Epson Corp. (b) | 492,767 | ||
28,200 | Sekisui House Ltd. (b) | 606,361 | ||
75,300 | Shizuoka Bank (The), Ltd. (b) | 528,633 | ||
55,900 | Softbank Corp. (b) | 766,898 | ||
55,500 | Sumitomo Corp. (b) | 825,545 | ||
26,300 | Sumitomo Mitsui Financial Group, Inc. (b) | 924,693 | ||
15,400 | Sumitomo Mitsui Trust Holdings, Inc. (b) | 567,797 | ||
21,400 | Sumitomo Realty & Development Co., Ltd. (b) | 787,852 | ||
12,300 | Suntory Beverage & Food Ltd. (b) | 520,761 | ||
30,700 | Teijin Ltd. (b) | 548,879 | ||
25,700 | Tobu Railway Co., Ltd. (b) | 905,333 | ||
15,800 | Tokio Marine Holdings, Inc. (b) | 857,644 | ||
33,000 | Tokyo Gas Co., Ltd. (b) | 725,538 | ||
47,300 | Tokyu Corp. (b) | 833,535 | ||
27,700 | Toppan Printing Co., Ltd. (b) | 552,062 | ||
12,900 | Toyo Suisan Kaisha Ltd. (b) | 540,457 | ||
11,900 | Toyota Motor Corp. (b) | 827,380 | ||
7,900 | West Japan Railway Co. (b) | 668,418 | ||
100,500 | Yamada Denki Co., Ltd. (b) | 506,547 | ||
41,767,929 | ||||
Jersey – 0.6% | ||||
27,299 | Experian PLC (b) | 950,223 |
Shares | Description | Value | ||
Netherlands – 3.6% | ||||
12,060 | AerCap Holdings N.V. (c) | $682,717 | ||
11,773 | Akzo Nobel N.V. (b) | 1,110,989 | ||
12,139 | Heineken Holding N.V. (b) | 1,192,994 | ||
7,574 | Heineken N.V. (b) | 824,104 | ||
22,294 | Unilever N.V. (b) | 1,300,904 | ||
10,981 | Wolters Kluwer N.V. (b) | 825,130 | ||
5,936,838 | ||||
Norway – 0.7% | ||||
113,234 | Orkla ASA (b) | 1,093,137 | ||
Singapore – 5.9% | ||||
408,100 | CapitaLand Ltd. (b) | 1,075,415 | ||
67,300 | DBS Group Holdings Ltd. (b) | 1,239,737 | ||
1,634,700 | Genting Singapore Ltd. (b) | 1,023,060 | ||
164,400 | Oversea-Chinese Banking Corp., Ltd. (b) | 1,293,681 | ||
165,700 | Singapore Airlines Ltd. (b) | 1,032,978 | ||
125,500 | Singapore Exchange Ltd. (b) | 796,219 | ||
325,100 | Singapore Technologies Engineering Ltd. (b) | 973,738 | ||
365,700 | Singapore Telecommunications Ltd. (b) | 879,970 | ||
71,800 | United Overseas Bank Ltd. (b) | 1,339,223 | ||
9,654,021 | ||||
Spain – 4.2% | ||||
6,166 | Aena SME S.A. (b) (d) (e) | 1,141,205 | ||
46,813 | Endesa S.A. (b) | 1,285,350 | ||
36,294 | Ferrovial S.A. (b) | 1,152,896 | ||
122,087 | Iberdrola S.A. (b) | 1,335,796 | ||
35,339 | Naturgy Energy Group S.A. (b) | 932,058 | ||
48,364 | Red Electrica Corp. S.A. (b) | 967,583 | ||
6,814,888 | ||||
Sweden – 2.8% | ||||
36,060 | Industrivarden AB, Class C (b) | 849,992 | ||
20,605 | Investor AB, Class B (b) | 1,128,227 | ||
16,697 | L E Lundbergforetagen AB, Class B (b) | 724,850 | ||
48,529 | Tele2 AB, Class B (b) | 732,162 | ||
262,638 | Telia Co., AB (b) | 1,123,157 | ||
4,558,388 | ||||
Switzerland – 10.9% | ||||
13,663 | Adecco Group AG (b) | 800,490 | ||
7,520 | Baloise Holding AG (b) | 1,358,704 | ||
2,413 | Geberit AG (b) | 1,273,417 | ||
5,391 | Kuehne + Nagel International AG (b) | 871,303 | ||
16,902 | LafargeHolcim Ltd. (b) | 858,973 | ||
12,581 | Nestle S.A. (b) | 1,387,592 | ||
12,424 | Novartis AG (b) | 1,173,672 | ||
11,989 | Pargesa Holding S.A. (b) | 960,426 | ||
993 | Partners Group Holding AG (b) | 909,046 | ||
4,191 | Roche Holding AG (b) | 1,405,949 | ||
2,899 | Swiss Life Holding AG (b) | 1,457,254 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Switzerland (Continued) | ||||
8,479 | Swiss Prime Site AG (b) | $1,035,160 | ||
10,665 | Swiss Re AG (b) | 1,204,280 | ||
3,003 | Swisscom AG (b) | 1,647,637 | ||
3,437 | Zurich Insurance Group AG (b) | 1,426,760 | ||
17,770,663 | ||||
United Kingdom – 9.2% | ||||
30,281 | Admiral Group PLC (b) | 901,511 | ||
115,646 | BAE Systems PLC (b) | 961,361 | ||
118,732 | BP PLC (b) | 714,780 | ||
15,345 | Coca-Cola European Partners PLC | 807,301 | ||
41,714 | Compass Group PLC (b) | 1,031,263 | ||
17,733 | Croda International PLC (b) | 1,164,505 | ||
27,904 | Diageo PLC (b) | 1,103,411 | ||
49,107 | GlaxoSmithKline PLC (b) | 1,153,004 | ||
111,326 | HSBC Holdings PLC (b) | 809,360 | ||
15,209 | InterContinental Hotels Group PLC (b) | 936,814 | ||
79,546 | National Grid PLC (b) | 1,056,902 | ||
37,452 | RELX PLC (b) | 993,670 | ||
41,699 | Royal Dutch Shell PLC, Class A (b) | 1,095,032 | ||
43,401 | Smith & Nephew PLC (b) | 1,044,268 | ||
20,205 | Unilever PLC (b) | 1,205,256 | ||
14,978,438 | ||||
Total Common Stocks | 151,982,103 | |||
(Cost $147,387,889) | ||||
REAL ESTATE INVESTMENT TRUSTS (a) – 6.3% | ||||
Australia – 0.7% | ||||
416,352 | Scentre Group (b) | 1,068,289 | ||
France – 2.1% | ||||
9,125 | Covivio (b) | 1,082,812 | ||
6,550 | Gecina S.A. (b) | 1,235,396 | ||
9,854 | ICADE | 1,101,600 | ||
3,419,808 | ||||
Singapore – 2.8% | ||||
621,500 | Ascendas Real Estate Investment Trust (b) | 1,431,023 | ||
663,400 | CapitaLand Commercial Trust (b) | 998,410 | ||
484,200 | CapitaLand Mall Trust (b) | 890,222 | ||
963,500 | Suntec Real Estate Investment Trust (b) | 1,294,354 | ||
4,614,009 |
Shares | Description | Value | ||
United Kingdom – 0.7% | ||||
89,571 | Segro PLC (b) | $1,075,560 | ||
Total Real Estate Investment Trusts | 10,177,666 | |||
(Cost $9,391,103) | ||||
Total Investments – 99.8% | 162,159,769 | |||
(Cost $156,778,992) (f) | ||||
Net Other Assets and Liabilities – 0.2% | 368,799 | |||
Net Assets – 100.0% | $162,528,568 |
(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 fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Trust’s Board of Trustees and in accordance with provisions of the Investment Company Act of 1940, as amended. At January 31, 2020, securities noted as such are valued at $158,578,912 or 97.6% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets’ close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. |
(c) | Non-income producing security. |
(d) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”). |
(e) | This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. 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. |
(f) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $8,687,489 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,306,712. The net unrealized appreciation was $5,380,777. |
Total Value at 1/31/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
Israel | $ 1,901,418 | $ 989,239 | $ 912,179 | $ — |
Netherlands | 5,936,838 | 682,717 | 5,254,121 | — |
United Kingdom | 14,978,438 | 807,301 | 14,171,137 | — |
Other Country Categories* | 129,165,409 | — | 129,165,409 | — |
Real Estate Investment Trusts: | ||||
France | 3,419,808 | 1,101,600 | 2,318,208 | — |
Other Country Categories* | 6,757,858 | — | 6,757,858 | — |
Total Investments | $ 162,159,769 | $ 3,580,857 | $ 158,578,912 | $— |
* | See Portfolio of Investments for country breakout. |
Currency Exposure Diversification | % of Total Investments |
Euro | 25.8% |
Japanese Yen | 25.8 |
Swiss Franc | 11.0 |
British Pound Sterling | 10.0 |
Singapore Dollar | 8.8 |
Australian Dollar | 8.2 |
Hong Kong Dollar | 3.6 |
Swedish Krona | 2.8 |
United States Dollar | 1.5 |
Danish Krone | 1.2 |
Norwegian Krone | 0.7 |
Israeli Shekel | 0.6 |
Total | 100.0% |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | First Trust Horizon Managed Volatility Developed International ETF (HDMV) | ||
ASSETS: | |||
Investments, at value | $ 278,571,899 | $ 162,159,769 | |
Cash | 688,718 | 192,149 | |
Foreign currency | — | 895 | |
Receivables: | |||
Dividends | 283,516 | 140,665 | |
Dividend reclaims | 2,534 | 143,868 | |
Total Assets | 279,546,667 | 162,637,346 | |
LIABILITIES: | |||
Investment advisory fees payable | 165,679 | 108,778 | |
Total Liabilities | 165,679 | 108,778 | |
NET ASSETS | $279,380,988 | $162,528,568 | |
NET ASSETS consist of: | |||
Paid-in capital | $ 255,714,691 | $ 163,735,079 | |
Par value | 99,000 | 48,500 | |
Accumulated distributable earnings (loss) | 23,567,297 | (1,255,011) | |
NET ASSETS | $279,380,988 | $162,528,568 | |
NET ASSET VALUE,per share | $28.22 | $33.51 | |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 9,900,002 | 4,850,002 | |
Investments, at cost | $258,055,795 | $156,778,992 | |
Foreign currency, at cost (proceeds) | $— | $889 |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | First Trust Horizon Managed Volatility Developed International ETF (HDMV) | |||
INVESTMENT INCOME: | ||||
Dividends | $ 2,808,881 | $ 1,699,775 | ||
Interest | 4,287 | 2,602 | ||
Foreign withholding tax | — | (121,415) | ||
Other | — | 27 | ||
Total investment income | 2,813,168 | 1,580,989 | ||
EXPENSES: | ||||
Investment advisory fees | 888,867 | 572,057 | ||
Total expenses | 888,867 | 572,057 | ||
NET INVESTMENT INCOME (LOSS) | 1,924,301 | 1,008,932 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments | (4,717,217) | (3,416,164) | ||
In-kind redemptions | 15,117,292 | 3,058,645 | ||
Foreign currency transactions | — | 35,613 | ||
Net realized gain (loss) | 10,400,075 | (321,906) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Net change in unrealized appreciation (depreciation) on investments | 3,345,274 | 4,238,383 | ||
Foreign currency translation | — | 5,883 | ||
Net change in unrealized appreciation (depreciation) | 3,345,274 | 4,244,266 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 13,745,349 | 3,922,360 | ||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 15,669,650 | $ 4,931,292 |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | First Trust Horizon Managed Volatility Developed International ETF (HDMV) | ||||||
Six Months Ended 1/31/2020 (Unaudited) | Year Ended 7/31/2019 | Six Months Ended 1/31/2020 (Unaudited) | Year Ended 7/31/2019 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 1,924,301 | $ 2,758,090 | $ 1,008,932 | $ 2,133,177 | |||
Net realized gain (loss) | 10,400,075 | 14,126,223 | (321,906) | (2,036,243) | |||
Net change in unrealized appreciation (depreciation) | 3,345,274 | 10,268,998 | 4,244,266 | 599,720 | |||
Net increase (decrease) in net assets resulting from operations | 15,669,650 | 27,153,311 | 4,931,292 | 696,654 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (2,232,275) | (2,290,936) | (3,033,801) | (2,045,252) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 156,414,965 | 220,067,195 | 57,856,988 | 97,182,899 | |||
Cost of shares redeemed | (114,859,892) | (154,429,427) | (25,620,378) | (26,449,839) | |||
Net increase (decrease) in net assets resulting from shareholder transactions | 41,555,073 | 65,637,768 | 32,236,610 | 70,733,060 | |||
Total increase (decrease) in net assets | 54,992,448 | 90,500,143 | 34,134,101 | 69,384,462 | |||
NET ASSETS: | |||||||
Beginning of period | 224,388,540 | 133,888,397 | 128,394,467 | 59,010,005 | |||
End of period | $279,380,988 | $224,388,540 | $162,528,568 | $128,394,467 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 8,400,002 | 5,700,002 | 3,900,002 | 1,750,002 | |||
Shares sold | 5,650,000 | 8,900,000 | 1,700,000 | 2,950,000 | |||
Shares redeemed | (4,150,000) | (6,200,000) | (750,000) | (800,000) | |||
Shares outstanding, end of period | 9,900,002 | 8,400,002 | 4,850,002 | 3,900,002 |
Six Months Ended 1/31/2020 (Unaudited) | Year Ended | Period Ended 7/31/2017 (a) | |||||||
7/31/2018 | 7/31/2019 | ||||||||
Net asset value, beginning of period | $ 26.71 | $ 23.49 | $ 22.03 | $ 19.96 | |||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.20 | 0.37 | 0.30 | 0.24 | |||||
Net realized and unrealized gain (loss) | 1.55 | 3.17 | 1.46 | 2.05 | |||||
Total from investment operations | 1.75 | 3.54 | 1.76 | 2.29 | |||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.24) | (0.32) | (0.30) | (0.22) | |||||
Net asset value, end of period | $28.22 | $26.71 | $23.49 | $22.03 | |||||
Total return (b) | 6.59% | 15.24% | 8.04% | 11.51% | |||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 279,381 | $ 224,389 | $ 133,888 | $ 62,799 | |||||
Ratio of total expenses to average net assets | 0.70% (c) | 0.70% | 0.70% | 0.70% (c) | |||||
Ratio of net investment income (loss) to average net assets | 1.52% (c) | 1.58% | 1.37% | 1.50% (c) | |||||
Portfolio turnover rate (d) | 63% | 147% | 157% | 149% |
(a) | Inception date is August 24, 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. |
Six Months Ended 1/31/2020 (Unaudited) | Year Ended | Period Ended 7/31/2017 (a) | |||||||
7/31/2018 | 7/31/2019 | ||||||||
Net asset value, beginning of period | $ 32.92 | $ 33.72 | $ 33.05 | $ 29.89 | |||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.27 | 0.86 | 0.91 | 0.63 | |||||
Net realized and unrealized gain (loss) | 1.04 | (0.79) | 0.87 | 3.13 | |||||
Total from investment operations | 1.31 | 0.07 | 1.78 | 3.76 | |||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.72) | (0.87) | (1.11) | (0.60) | |||||
Net asset value, end of period | $33.51 | $32.92 | $33.72 | $33.05 | |||||
Total return (b) | 3.96% | 0.21% | 5.48% | 12.68% | |||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 162,529 | $ 128,394 | $ 59,010 | $ 29,745 | |||||
Ratio of total expenses to average net assets | 0.80% (c) | 0.80% | 0.80% | 0.80% (c) | |||||
Ratio of net investment income (loss) to average net assets | 1.41% (c) | 2.74% | 2.73% | 2.74% (c) | |||||
Portfolio turnover rate (d) | 54% | 99% | 133% | 150% |
(a) | Inception date is August 24, 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. |
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 Horizon Managed Volatility Domestic ETF | $ 2,290,936 | $ — | $ — | ||
First Trust Horizon Managed Volatility Developed International ETF | 2,045,252 | — | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust Horizon Managed Volatility Domestic ETF | $ 496,765 | $ (6,868,610) | $ 16,501,767 | ||
First Trust Horizon Managed Volatility Developed International ETF | 864,308 | (3,864,653) | (152,157) |
Capital Loss Available | |
First Trust Horizon Managed Volatility Domestic ETF | $ 6,868,610 |
First Trust Horizon Managed Volatility Developed International ETF | 3,864,653 |
Purchases | Sales | ||
First Trust Horizon Managed Volatility Domestic ETF | $ 157,939,154 | $ 158,745,729 | |
First Trust Horizon Managed Volatility Developed International ETF | 85,745,998 | 76,674,870 | |
Purchases | Sales | ||
First Trust Horizon Managed Volatility Domestic ETF | $ 154,877,762 | $ 112,960,840 | |
First Trust Horizon Managed Volatility Developed International ETF | 46,949,898 | 25,584,059 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Six Months Ended
January 31, 2020
1 | |
2 | |
5 | |
6 | |
7 | |
14 | |
15 | |
16 | |
17 | |
18 | |
25 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/20 | 1 Year Ended 1/31/20 | Inception (6/20/17) to 1/31/20 | Inception (6/20/17) to 1/31/20 | |
Fund Performance | ||||
NAV | 4.37% | 11.19% | 6.13% | 16.83% |
Market Price | 4.27% | 11.53% | 6.19% | 16.99% |
Index Performance | ||||
Bloomberg Barclays 10 Year California Exempt Index | 2.95% | 8.09% | 4.28% | 11.59% |
Sector Allocation | % of Total Investments (including cash) |
Insured | 16.1% |
Special Assessment | 14.5 |
Education | 8.9 |
Continuing Care Retirement Communities | 7.6 |
Hospital | 7.5 |
Student Housing | 6.8 |
Government Obligation Bond - Unlimited Tax | 6.7 |
Dedicated Tax | 5.6 |
Industrial Development Bond | 5.0 |
Water & Sewer | 3.6 |
Airport | 3.4 |
Housing | 3.1 |
Higher Education | 3.0 |
Certificates of Participation | 2.5 |
Tobacco | 2.3 |
Tax Increment | 1.3 |
Local Housing | 1.3 |
Gas | 0.5 |
Toll Road | 0.2 |
Other Health | 0.0* |
Cash | 0.1 |
Total | 100.0% |
* | Amount is less than 0.05%. |
Credit Rating(1) | % of Total Investments (including cash) |
AAA | 0.3% |
AA | 33.5 |
A | 13.1 |
BBB | 18.7 |
BB | 9.0 |
CCC | 0.6 |
Not Rated | 24.7 |
Cash | 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% |
6/21/17 – 7/31/17 | 14 | 0 | 0 | 0 |
8/1/17 – 7/31/18 | 204 | 10 | 1 | 0 |
8/1/18 – 7/31/19 | 177 | 0 | 0 | 0 |
8/1/19 - 1/31/20 | 112 | 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% |
6/21/17 – 7/31/17 | 14 | 0 | 0 | 0 |
8/1/17 – 7/31/18 | 37 | 0 | 0 | 0 |
8/1/18 – 7/31/19 | 74 | 0 | 0 | 0 |
8/1/19 - 1/31/20 | 15 | 0 | 0 | 0 |
Beginning Account Value August 1, 2019 | Ending Account Value January 31, 2020 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (b) | |
First Trust California Municipal High Income ETF (FCAL) | ||||
Actual | $1,000.00 | $1,043.70 | 0.50% | $2.57 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.62 | 0.50% | $2.54 |
(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 (August 1, 2019 through January 31, 2020), multiplied by 184/366 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 98.9% | ||||||||
Arizona – 0.6% | ||||||||
$400,000 | AZ St Indl Dev Auth Edu Rev Academics of Math & Science Proj (a) | 4.00% | 07/01/29 | $436,188 | ||||
California – 88.8% | ||||||||
350,000 | Adelanto CA Elem Sch Dist Cmnty Facs Dist #1 Spl Tax Ref Impt Area A, BAM | 5.00% | 09/01/30 | 456,795 | ||||
150,000 | Alameda CA Corridor Transprtn Auth Ref Subordinate Lien, Ser A | 5.00% | 10/01/25 | 179,387 | ||||
215,000 | Antelope Vly E Kern CA Wtr Agy Wtr Rev Ref | 5.00% | 06/01/35 | 260,746 | ||||
525,000 | Azusa CA Spl Tax Cmnty Facs Dist No 2005-1 Impt | 4.00% | 09/01/34 | 601,618 | ||||
749,079 | CA Hsg Fin Agy Muni Ctfs Class A, Ser 2 | 4.00% | 03/20/33 | 885,884 | ||||
447,425 | CA Hsg Fin Agy Muni Ctfs, Ser A | 4.25% | 01/15/35 | 545,389 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Proj, Ser C | 4.50% | 07/01/26 | 227,514 | ||||
255,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Projs, Ser A (a) | 5.00% | 07/01/30 | 294,936 | ||||
505,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (a) | 5.00% | 07/01/34 | 599,581 | ||||
105,000 | CA Sch Fin Auth Sch Fac Rev Kipp Socal Pub Schs, Ser A (a) | 5.00% | 07/01/26 | 127,025 | ||||
105,000 | CA Sch Fin Auth Sch Fac Rev Kipp Socal Pub Schs, Ser A (a) | 5.00% | 07/01/27 | 129,556 | ||||
400,000 | CA Sch Fin Auth Sch Fac Rev Kipp Socal Pub Schs, Ser A (a) | 5.00% | 07/01/39 | 496,612 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Ref Hlth Learning Proj, Ser A (a) | 4.00% | 07/01/25 | 226,282 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Ref Hlth Learning Proj, Ser A (a) | 5.00% | 07/01/32 | 239,922 | ||||
500,000 | CA St Cmnty Clg Fing Auth Clg Hsg Rev Orange Coast Pptys LLC Orange Coast Clg Proj | 5.00% | 05/01/30 | 613,690 | ||||
1,000,000 | CA St Enterprise Dev Auth Lease Rev Riverside Cnty Library Fac Proj | 4.00% | 11/01/37 | 1,164,740 | ||||
715,000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys West, Ser A | 4.00% | 03/01/33 | 770,634 | ||||
220,000 | CA St Hlth Facs Fing Auth Rev Ref Sutter Hlth, Ser B | 5.00% | 11/15/33 | 273,722 | ||||
250,000 | CA St Hlth Facs Fing Auth Rev Sutter Hlth, Ser A | 5.00% | 11/15/30 | 321,397 | ||||
250,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Sycamore Academy Proj (b) | 5.38% | 07/01/34 | 268,247 | ||||
250,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Vista Chrt Middle Sch Proj (c) | 5.38% | 07/01/34 | 279,045 | ||||
900,000 | CA St Muni Fin Auth Chrt Sch Rev John Adams Academies Lincoln Proj, Ser A (a) | 5.00% | 10/01/39 | 978,615 | ||||
300,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Academy Proj (a) | 4.00% | 07/01/26 | 319,605 | ||||
200,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Academy Proj, Ser A (a) | 5.00% | 07/01/38 | 232,918 | ||||
250,000 | CA St Muni Fin Auth Chrt Sch Rev, Ser A (a) | 5.50% | 06/01/38 | 286,995 | ||||
70,000 | CA St Muni Fin Auth Eductnl Rev Ref American Heritage Edu, Ser A | 4.00% | 06/01/26 | 75,173 | ||||
155,000 | CA St Muni Fin Auth Rev Ref Biola Univ | 5.00% | 10/01/37 | 187,209 | ||||
225,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/30 | 284,272 | ||||
225,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/32 | 281,884 | ||||
675,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/33 | 844,303 | ||||
475,000 | CA St Muni Fin Auth Rev Ref Cmnty Med Centers, Ser A | 5.00% | 02/01/36 | 578,593 | ||||
200,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | 241,602 | ||||
400,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/34 | 480,608 | ||||
250,000 | CA St Muni Fin Auth Rev Ref Emerson Clg, Ser B | 5.00% | 01/01/33 | 309,975 | ||||
700,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/34 | 798,973 | ||||
500,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/37 | 565,925 | ||||
110,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/26 | 135,361 | ||||
435,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/27 | 545,046 | ||||
500,000 | CA St Muni Fin Auth Senior Living Rev Ref Mt San Antonio Gardens Proj | 5.00% | 11/15/39 | 601,950 | ||||
1,200,000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 1,414,140 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$500,000 | CA St Muni Fin Auth Student Hsg Rev Chf Davis I, LLC West Vlg Student Hsg Proj | 5.00% | 05/15/27 | $627,550 | ||||
350,000 | CA St Muni Fin Auth Student Hsg Rev Chf Davis I, LLC West Vlg Student Hsg Proj | 5.00% | 05/15/40 | 426,573 | ||||
75,000 | CA St Muni Fin Auth Student Hsg Rev Chf Davis I, LLC West Vlg Student Hsg Proj TCRS, BAM | 5.00% | 05/15/29 | 95,865 | ||||
1,000,000 | CA St Muni Fin Auth Student Hsg Rev Chf-Davis I, LLC West Vlg Student Hsg Proj | 5.00% | 05/15/38 | 1,224,970 | ||||
500,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt Inc, Ser A1, AMT | 3.38% | 07/01/25 | 555,015 | ||||
250,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Rialto Bioenergy Fac LLC Proj Green Bond, AMT (a) | 6.75% | 12/01/28 | 259,495 | ||||
750,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Rialto Bioenergy Fac LLC Proj Green Bond, AMT (a) | 7.50% | 12/01/40 | 806,445 | ||||
150,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Waste Mgmt Inc Proj, Ser C (Mandatory put 06/03/24) | 3.25% | 12/01/27 | 162,798 | ||||
15,000 | CA St Pub Wks Brd Lease Rev Judicial Council CA, Ser B | 5.00% | 06/01/34 | 17,895 | ||||
615,000 | CA St Ref | 5.00% | 03/01/27 | 739,525 | ||||
75,000 | CA St Ref | 4.00% | 08/01/34 | 86,576 | ||||
155,000 | CA St Ref | 4.00% | 09/01/35 | 178,810 | ||||
75,000 | CA St Ref Various Purpose | 4.00% | 09/01/33 | 87,111 | ||||
275,000 | CA St Ref Various Purpose | 4.00% | 09/01/35 | 317,243 | ||||
565,000 | CA St Sch Fin Auth Chrt Sch Rev Arts in Action Chrt Schs, Ser A (a) | 5.00% | 06/01/30 | 646,784 | ||||
335,000 | CA St Sch Fin Auth Chrt Sch Rev Arts in Action Chrt Schs, Ser A (a) | 5.00% | 06/01/40 | 373,619 | ||||
300,000 | CA St Sch Fin Auth Chrt Sch Rev Rocketship Pub Schs, Ser G (b) | 5.00% | 06/01/37 | 330,471 | ||||
100,000 | CA St Sch Fin Auth Chrt Sch Rev Summit Pub Schs (a) | 5.00% | 06/01/25 | 117,889 | ||||
210,000 | CA St Sch Fin Auth Chrt Sch Rev Summit Pub Schs (a) | 5.00% | 06/01/31 | 252,758 | ||||
300,000 | CA St Stwd Cmntys Dev Auth Clg Hsg Rev NCCD Hooper Street LLC CA Clg of the Arts Projs (a) | 5.00% | 07/01/29 | 352,191 | ||||
400,000 | CA St Stwd Cmntys Dev Auth Clg Hsg Rev NCCD Hooper Street LLC CA Clg of the Arts Projs (a) | 5.25% | 07/01/39 | 475,456 | ||||
1,000,000 | CA St Stwd Cmntys Dev Auth MF Var Hsg Wyndover Apts, Ser LL (d) | 0.96% | 11/15/37 | 1,000,000 | ||||
1,000,000 | CA St Stwd Cmntys Dev Auth MF Var Ref Hsg IAC Proj, Ser W-3 (d) | 1.25% | 04/01/25 | 1,000,000 | ||||
200,000 | CA St Stwd Cmntys Dev Auth Student Hsg Rev Ref Chf Irvine LLC | 5.00% | 05/15/30 | 239,194 | ||||
280,000 | CA St Stwd Cmntys Dev Auth Student Hsg Rev Ref Chf Irvine LLC | 5.00% | 05/15/35 | 331,271 | ||||
100,000 | CA St Various Purpose | 5.00% | 10/01/35 | 122,040 | ||||
250,000 | CA Stwd Cmntys Dev Auth Rev Beverly Cmnty Hosp Assoc | 5.00% | 02/01/30 | 284,682 | ||||
500,000 | CA Stwd Cmntys Dev Auth Rev Beverly Cmnty Hosp Assoc | 5.00% | 02/01/35 | 563,710 | ||||
375,000 | CA Stwd Cmntys Dev Auth Rev Lancer Eductnl Std Hsg Proj, Ser A (a) | 5.00% | 06/01/34 | 455,317 | ||||
475,000 | CA Stwd Cmntys Dev Auth Rev Lancer Eductnl Std Hsg Proj, Ser A (a) | 5.00% | 06/01/39 | 568,409 | ||||
600,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/30 | 698,496 | ||||
300,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/33 | 358,143 | ||||
150,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (a) | 3.00% | 11/01/22 | 153,183 | ||||
250,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (a) | 5.00% | 11/01/32 | 299,570 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$190,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/27 | $237,705 | ||||
50,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/30 | 61,537 | ||||
175,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/31 | 214,400 | ||||
50,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 4.00% | 04/01/32 | 56,860 | ||||
50,000 | CA Stwd Cmntys Dev Auth Rev Ref Insd Enloe Med Ctr | 5.00% | 08/15/33 | 60,511 | ||||
400,000 | Casitas Muni Wtr Dist CA Spl Tax Cmnty Facs Dist No 2013-1, BAM | 4.00% | 09/01/34 | 472,876 | ||||
325,000 | Centinela Vly CA Union High Sch Dist Ref, Ser C, AGM | 3.00% | 08/01/36 | 342,082 | ||||
450,000 | Chino CA Cmnty Facs Dist Spl Tax #2003-3 Impt Area #7 | 5.00% | 09/01/31 | 560,443 | ||||
250,000 | Compton CA Unif Sch Dist Los Angeles Co Schs Fing Progr, Ser A, COPS, BAM | 5.00% | 06/01/31 | 307,212 | ||||
250,000 | Compton CA Unif Sch Dist Los Angeles Co Schs Fing Progr, Ser A, COPS, BAM | 4.00% | 06/01/35 | 286,195 | ||||
200,000 | Compton CA Unif Sch Dist Los Angeles Co Schs Fing Progr, Ser A, COPS, BAM | 4.00% | 06/01/36 | 227,962 | ||||
210,000 | Cotati-Rohnert Park CA Unif Sch Dist 2016 Election, Ser C, AGM | 5.00% | 08/01/32 | 257,164 | ||||
200,000 | Del Mar CA Union Sch Dist Spl Tax Ref | 4.00% | 09/01/33 | 233,580 | ||||
300,000 | Del Mar CA Union Sch Dist Spl Tax Ref | 4.00% | 09/01/34 | 349,518 | ||||
270,000 | Diablo CA Wtr Dist Wtr Rev Ref, COPS, BAM | 4.00% | 01/01/32 | 317,339 | ||||
340,000 | Dinuba CA Jt Unif Sch Dist, COPS, AGM | 4.00% | 02/01/34 | 381,096 | ||||
150,000 | Dinuba CA Jt Unif Sch Dist, COPS, AGM | 4.00% | 02/01/35 | 167,798 | ||||
755,000 | El Dorado CA Irr Dist Rev Ref, Ser C | 4.00% | 03/01/34 | 864,067 | ||||
350,000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No. 19 Mangini | 5.00% | 09/01/32 | 424,403 | ||||
700,000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No. 19 Mangini | 5.00% | 09/01/39 | 836,773 | ||||
155,000 | Fontana CA Spl Tax Cmnty Facs Dist #80 Bella Strada | 5.00% | 09/01/29 | 190,656 | ||||
310,000 | Fountain Vly CA Pub Fing Auth Lease Rev Ref, Ser A | 4.00% | 11/01/29 | 362,297 | ||||
140,000 | Fresno CA Jt Pwrs Fing Auth Lease Rev Ref Master Lease Proj, Ser A, AGM | 5.00% | 04/01/32 | 171,986 | ||||
340,000 | Golden St Tobacco Securitiztn Corp CA Tobacco Settlement Ref, Ser A-1 | 5.00% | 06/01/26 | 410,645 | ||||
140,000 | Inglewood CA Unif Sch Dist, Ser C, BAM | 4.00% | 08/01/35 | 157,405 | ||||
860,000 | Irvine CA Impt Bond Act 1915 Ref | 4.00% | 09/02/35 | 1,025,352 | ||||
570,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist No 09-1, Ser A | 4.00% | 09/01/37 | 657,672 | ||||
890,000 | Jurupa CA Public Fing Auth Spl Tax Rev Ref, Ser A, AGM | 4.00% | 09/01/34 | 1,053,003 | ||||
290,000 | Kaweah CA Delta Healthcare Dist Rev, Ser B | 5.00% | 06/01/40 | 329,454 | ||||
485,000 | King City CA Union Sch Dist Cap Apprec Election 1998-C, AMBAC | (e) | 08/01/29 | 404,999 | ||||
250,000 | La Verne CA Ref Brethren Hillcrest Homes, COPS | 5.00% | 05/15/36 | 265,378 | ||||
1,055,000 | Lancaster CA Fing Auth Rev Measure M&R Street Impts Proj | 4.00% | 06/01/35 | 1,276,044 | ||||
500,000 | Lodi CA Unif Sch Dist Election of 2016, Ser 2020 | 4.00% | 08/01/34 | 589,575 | ||||
100,000 | Long Beach CA Bond Fin Auth Nat Gas Purchase Rev, Ser A | 5.25% | 11/15/23 | 114,580 | ||||
210,000 | Long Beach CA Bond Fin Auth Nat Gas Purchase Rev, Ser A | 5.50% | 11/15/30 | 283,334 | ||||
460,000 | Los Angeles CA Dept of Arpts Arpt Rev Ref Sub Los Angeles Intl Arpt, Ser D, AMT | 5.00% | 05/15/32 | 593,313 | ||||
700,000 | Los Angeles CA Dept of Arpts Arpt Rev Sub Los Angeles Intl Arpt, Ser B, AMT | 5.00% | 05/15/31 | 850,227 | ||||
250,000 | Los Angeles CA Dept of Arpts Arpt Rev Subordinate Los Angeles Intl Arpt, Ser F, AMT | 5.00% | 05/15/32 | 322,452 | ||||
10,000 | Los Angeles CA Dept of Arpts, Ser E | 5.00% | 05/15/28 | 12,109 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$215,000 | Los Angeles CA Muni Impt Corplease Rev Ref Real Property, Ser B | 4.00% | 11/01/37 | $244,928 | ||||
125,000 | Los Angeles CA Unif Sch Dist Election 2008, Ser A | 4.00% | 07/01/21 | 130,734 | ||||
410,000 | Los Osos CA Cmnty Svcs Wstwtr Assmnt Dist #1 Ref Reassmnt | 3.13% | 09/02/32 | 443,107 | ||||
100,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/27 | 117,679 | ||||
250,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/33 | 290,020 | ||||
250,000 | Marina Coast CA Wtr Dist Enterprise Rev, COPS | 4.00% | 06/01/35 | 302,380 | ||||
310,000 | Marina Coast CA Wtr Dist Enterprise Rev, COPS | 4.00% | 06/01/36 | 370,862 | ||||
245,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/34 | 296,198 | ||||
500,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/44 | 593,670 | ||||
100,000 | Modesto CA Spl Tax Ref Cmnty Facs Dist # 2004-1 Vlg 1 #2 | 5.00% | 09/01/27 | 116,287 | ||||
200,000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (a) | 5.00% | 10/01/42 | 232,614 | ||||
1,000,000 | Napa Vly CA Unif Sch Dist, Ser C, AGM | 4.00% | 08/01/34 | 1,153,680 | ||||
1,115,000 | Natomas CA Unif Sch Dist, AGM | 3.00% | 08/01/36 | 1,175,689 | ||||
250,000 | Norco CA Spl Tax Ref Norco Ridge Ranch, BAM | 5.00% | 09/01/32 | 310,700 | ||||
405,000 | Oakland CA Unif Sch Dist Alameda Cnty Election of 2012, Ser A, AGM | 4.00% | 08/01/36 | 467,836 | ||||
500,000 | Oroville CA Rev Oroville Hosp | 5.25% | 04/01/34 | 623,245 | ||||
250,000 | Palomar Hlth CA Rev Ref | 5.00% | 11/01/31 | 295,652 | ||||
750,000 | Pleasanton CA Unif Sch Dist | 3.00% | 08/01/36 | 792,075 | ||||
210,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/33 | 248,426 | ||||
220,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/34 | 259,662 | ||||
340,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/39 | 398,847 | ||||
200,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Ref #2004-1 Sunridge Park Area | 5.00% | 09/01/25 | 235,820 | ||||
500,000 | River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2019-1 Phase 2 Pub Impts | 5.00% | 09/01/40 | 565,430 | ||||
300,000 | River Islands CA Pub Fing Auth Spl Tax Ref Cmnty Facs Dist #2003-1 | 5.38% | 09/01/31 | 329,412 | ||||
250,000 | Riverside CA Unif Sch Dist Election of 2016, Ser B | 4.00% | 08/01/33 | 296,532 | ||||
575,000 | Riverside CA Unif Sch Dist Election of 2016, Ser B | 3.00% | 08/01/38 | 612,806 | ||||
185,000 | Riverside CA Unif Sch Dist Fing Auth Spl Tax Ref, BAM | 5.00% | 09/01/34 | 216,833 | ||||
1,495,000 | Rocklin CA Unif Sch Dist Cmnty Facs Dist Subordinate, Ser 2019, BAM | 4.00% | 09/15/37 | 1,745,188 | ||||
185,000 | Roseville CA Spl Tax | 5.00% | 09/01/32 | 223,190 | ||||
160,000 | Roseville CA Spl Tax | 5.00% | 09/01/33 | 192,661 | ||||
170,000 | Roseville CA Spl Tax | 4.00% | 09/01/34 | 192,277 | ||||
150,000 | Roseville CA Spl Tax | 4.00% | 09/01/35 | 169,301 | ||||
200,000 | Sacramento CA Spl Tax Natomas Meadows Cmnty Facs Dist #2007-01 (a) | 5.00% | 09/01/32 | 229,714 | ||||
500,000 | Sacramento CA Transient Occupancy Tax Rev Sub Convention Ctr Complex, Ser C | 5.00% | 06/01/32 | 633,115 | ||||
10,000 | San Diego Cnty CA Limited Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A | 5.00% | 11/01/28 | 12,117 | ||||
125,000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No.2, Ser A | 4.00% | 09/01/32 | 143,321 | ||||
85,000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No.2, Ser A | 4.00% | 09/01/33 | 97,268 | ||||
100,000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No.2, Ser A | 4.00% | 09/01/34 | 114,166 | ||||
500,000 | San Francisco CA Bay Area Rapid Transit Dist Sales Tax Rev, Ser A | 4.00% | 07/01/36 | 588,260 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$225,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref, Ser 2018A, AMT | 5.00% | 05/01/20 | $227,234 | ||||
100,000 | San Francisco City & Cnty CA Redev Agy Successor Agy Tax Ref Mission Bay N Redev Proj, Ser A | 5.00% | 08/01/35 | 120,396 | ||||
165,000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Cap Apprec Ref, Ser A, NATL-RE | (e) | 01/15/29 | 133,789 | ||||
800,000 | Santa Paula CA Utility Auth Wtr Rev Ref, AGM | 4.00% | 02/01/35 | 957,072 | ||||
175,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/33 | 208,395 | ||||
370,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/38 | 431,923 | ||||
150,000 | Soledad CA Unif Sch Dist Premium Ref Bans, CABS | (e) | 08/01/21 | 147,393 | ||||
860,000 | South Gate CA Utility Auth Wtr Rev Ref, Ser A | 4.00% | 10/01/34 | 1,018,300 | ||||
305,000 | Tahoe-Truckee CA Unif Sch Dist, COPS, BAM | 4.00% | 06/01/37 | 347,383 | ||||
260,000 | Tahoe-Truckee CA Unif Sch Dist, COPS, BAM | 4.00% | 06/01/39 | 294,255 | ||||
150,000 | Temecula Vly CA Unif Sch Dist Cmnty Facs Dist #2014-1 | 5.00% | 09/01/32 | 178,310 | ||||
400,000 | Temecula Vly Unif Sch Dist Fing Auth CA Spl Tax Rev, BAM | 5.00% | 09/01/34 | 475,076 | ||||
500,000 | Temescal Vly CA Wtr Dist Spl Tax Terramor Cmnty Facs Dist #4 Impt Area #1 | 5.00% | 09/01/31 | 591,400 | ||||
500,000 | Tobacco Securitization Auth Sthrn CA Tobacco Settlement Rev Ref San Diego Co Asset Securitization Corp Class 1, Ser A | 5.00% | 06/01/27 | 620,605 | ||||
250,000 | Tobacco Securitization Auth Sthrn CA Tobacco Settlement Rev Ref San Diego Co Tobacco Securitization Corp Class 2, Ser B-1 | 2.25% | 06/01/29 | 258,938 | ||||
250,000 | Tracy CA Cmnty Facs Dist | 5.00% | 09/01/33 | 296,252 | ||||
100,000 | W Contra Costa CA Unif Sch Dist Ref, Ser A | 5.00% | 08/01/31 | 120,293 | ||||
15,000 | Washington Twp CA Hlth Care Dist Ref, Ser DT | 4.00% | 08/01/29 | 17,648 | ||||
69,971,289 | ||||||||
Florida – 1.3% | ||||||||
500,000 | FL Dev Fin Corp Surface Transprtn Fac Rev Ref Virgin Trains USA Passenger Rail Proj, Ser A, AMT (Mandatory put 01/01/29) (a) | 6.50% | 01/01/49 | 505,625 | ||||
225,000 | Parkland Preserve CDD FL Spl Assmnt Rev, Ser A | 4.50% | 05/01/24 | 227,821 | ||||
305,000 | Rhodine Road North CDD FL Spl Assmnt | 4.00% | 05/01/30 | 315,602 | ||||
1,049,048 | ||||||||
Georgia – 0.6% | ||||||||
200,000 | Floyd Cnty GA Dev Auth Spires Berry Clg Proj, Ser A | 5.50% | 12/01/28 | 208,838 | ||||
250,000 | Floyd Cnty GA Dev Auth Spires Berry Clg Proj, Ser A | 5.75% | 12/01/33 | 260,430 | ||||
469,268 | ||||||||
Guam – 1.4% | ||||||||
100,000 | Guam Govt Business Privilege Tax Rev Ref, Ser D | 5.00% | 11/15/32 | 115,680 | ||||
355,000 | Guam Govt Business Privilege Tax Rev, Ser B-1 | 5.00% | 01/01/37 | 373,581 | ||||
570,000 | Guam Intl Arpt Auth Ref Gen, Ser A, AMT | 5.00% | 10/01/23 | 643,233 | ||||
1,132,494 | ||||||||
Illinois – 1.2% | ||||||||
195,000 | Chicago IL Brd of Edu Ref, Ser F | 5.00% | 12/01/31 | 200,631 | ||||
35,000 | Chicago IL Ref, Ser C, CABS | (e) | 01/01/22 | 33,564 | ||||
105,000 | Chicago IL Ref, Ser C, CABS | (e) | 01/01/24 | 95,629 | ||||
120,000 | IL St, Ser A | 4.00% | 01/01/25 | 124,385 | ||||
500,000 | Morton Grove IL Tax Incr Rev Sawmill Station Redev Proj | 4.25% | 01/01/29 | 506,240 | ||||
960,449 | ||||||||
Kansas – 0.6% | ||||||||
500,000 | Goddard KS Sales Tax Spl Oblg Rev Ref Olympic Park Star Bond Proj | 3.60% | 06/01/30 | 504,535 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Ohio – 0.6% | ||||||||
$460,000 | Buckeye OH Tobacco Settlement Fing Auth Asset Bkd Sr Turbo, Ser A-2 | 5.38% | 06/01/24 | $461,757 | ||||
Puerto Rico – 1.2% | ||||||||
100,000 | Puerto Rico Cmwlth Ref Pub Impt, Ser A, AGM | 5.00% | 07/01/35 | 106,993 | ||||
208,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.50% | 07/01/34 | 229,137 | ||||
73,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (e) | 07/01/27 | 61,534 | ||||
401,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (e) | 07/01/29 | 318,634 | ||||
334,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (e) | 07/01/31 | 247,180 | ||||
963,478 | ||||||||
Washington – 1.1% | ||||||||
735,000 | WA St Hsg Fin Cmmn Transforming Age Projs, Ser A (a) | 5.00% | 01/01/34 | 830,918 | ||||
Wisconsin – 1.5% | ||||||||
600,000 | Public Fin Auth WI Retmnt Fac Rev Ref Penick Vlg Oblig Grp (a) | 4.00% | 09/01/29 | 636,762 | ||||
465,000 | WI St Hlth & Eductnl Facs Auth Rev Ref St Camillus Hlth Sys, Ser A | 5.00% | 11/01/29 | 531,230 | ||||
1,167,992 |
Total Investments – 98.9% | 77,947,416 | ||
(Cost $74,472,785) (f) | |||
Net Other Assets and Liabilities – 1.1% | 846,058 | ||
Net Assets – 100.0% | $78,793,474 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury 10-Year Notes | Short | 3 | Mar 2020 | $ (394,969) | $(7,008) | |||||
U.S. Treasury Long Bonds | Short | 7 | Mar 2020 | (1,144,719) | (32,000) | |||||
U.S. Treasury Ultra 10-Year Notes | Short | 29 | Mar 2020 | (4,224,031) | (105,328) | |||||
Total Futures Contracts | $(5,763,719) | $(144,336) |
(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 “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 January 31, 2020, securities noted as such amounted to $12,621,623 or 16.0% of net assets. |
(b) | 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). |
(c) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(d) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(e) | Zero coupon bond. |
(f) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $3,474,631 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $144,336. The net unrealized appreciation was $3,330,295. The amounts presented are inclusive of derivative contracts. |
AGM | Assured Guaranty Municipal Corp. |
AMBAC | American Municipal Bond Assurance Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
CABS | Capital Appreciation Bonds |
COPS | Certificates of Participation |
NATL-RE | National Public Finance Guarantee Corp. |
ASSETS TABLE | ||||
Total Value at 1/31/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 77,947,416 | $ — | $ 77,947,416 | $ — |
LIABILITIES TABLE | ||||
Total Value at 1/31/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts | $ (144,336) | $ (144,336) | $ — | $ — |
* | See Portfolio of Investments for state and territory breakout. |
ASSETS: | |
Investments, at value (Cost $74,472,785) | $ 77,947,416 |
Cash | 99,783 |
Cash segregated as collateral for open futures contracts | 207,658 |
Interest receivable | 715,097 |
Total Assets | 78,969,954 |
LIABILITIES: | |
Payables: | |
Variation margin | 144,336 |
Investment advisory fees | 32,144 |
Total Liabilities | 176,480 |
NET ASSETS | $78,793,474 |
NET ASSETS consist of: | |
Paid-in capital | $ 75,628,430 |
Par value | 14,500 |
Accumulated distributable earnings (loss) | 3,150,544 |
NET ASSETS | $78,793,474 |
NET ASSET VALUE,per share | $54.34 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 1,450,002 |
INVESTMENT INCOME: | ||
Interest | $ 813,448 | |
Total investment income | 813,448 | |
EXPENSES: | ||
Investment advisory fees | 192,050 | |
Total expenses | 192,050 | |
Fees waived by the investment advisor | (44,320) | |
Net expenses | 147,730 | |
NET INVESTMENT INCOME (LOSS) | 665,718 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | 28,053 | |
Futures | (1,878) | |
Net realized gain (loss) | 26,175 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 1,997,618 | |
Futures | (140,305) | |
Net change in unrealized appreciation (depreciation) | 1,857,313 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 1,883,488 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 2,549,206 |
Six Months Ended 1/31/2020 (Unaudited) | Year Ended 7/31/2019 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 665,718 | $ 703,757 | |
Net realized gain (loss) | 26,175 | (150,668) | |
Net change in unrealized appreciation (depreciation) | 1,857,313 | 1,462,970 | |
Net increase (decrease) in net assets resulting from operations | 2,549,206 | 2,016,059 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (734,001) | (693,753) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 42,721,042 | 15,395,461 | |
Cost of shares redeemed | — | — | |
Net increase (decrease) in net assets resulting from shareholder transactions | 42,721,042 | 15,395,461 | |
Total increase (decrease) in net assets | 44,536,247 | 16,717,767 | |
NET ASSETS: | |||
Beginning of period | 34,257,227 | 17,539,460 | |
End of period | $ 78,793,474 | $ 34,257,227 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 650,002 | 350,002 | |
Shares sold | 800,000 | 300,000 | |
Shares outstanding, end of period | 1,450,002 | 650,002 |
Six Months Ended 1/31/2020 (Unaudited) | Year Ended | Period Ended 7/31/2017 (a) | |||||||
7/31/2018 | 7/31/2019 | ||||||||
Net asset value, beginning of period | $ 52.70 | $ 50.11 | $ 50.14 | $ 50.00 | |||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.58 | 1.49 | 1.45 | 0.10 | |||||
Net realized and unrealized gain (loss) | 1.71 | 2.60 | (0.04) | 0.14 | |||||
Total from investment operations | 2.29 | 4.09 | 1.41 | 0.24 | |||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.65) | (1.50) | (1.40) | (0.10) | |||||
Net realized gain | — | — | (0.04) | — | |||||
Return of capital | — | — | — | (0.00) (b) | |||||
Total distributions | (0.65) | (1.50) | (1.44) | (0.10) | |||||
Net asset value, end of period | $54.34 | $52.70 | $50.11 | $50.14 | |||||
Total return (c) | 4.37% | 8.32% | 2.83% | 0.50% | |||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 78,793 | $ 34,257 | $ 17,539 | $ 10,029 | |||||
Ratio of total expenses to average net assets | 0.65% (d) | 0.65% | 0.65% | 0.65% (d) | |||||
Ratio of net expenses to average net assets | 0.50% (d) | 0.50% | 0.50% | 0.50% (d) | |||||
Ratio of net investment income (loss) to average net assets | 2.25% (d) | 3.01% | 2.97% | 1.74% (d) | |||||
Portfolio turnover rate (e) | 55% | 69% | 91% | 22% |
(a) | Inception date is June 20, 2017, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(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. The total return would have been lower if certain fees had not been waived by the investment advisor. |
(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; |
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 | ||
CA St Muni Fin Auth Chrt Sch Lease Rev Sycamore Academy Proj, 5.38%, 07/01/34 | 06/14/18 | $250,000 | $107.30 | $253,362 | $268,247 | 0.34% | ||
CA St Sch Fin Auth Chrt Sch Rev Rocketship Pub Schs, Ser G, 5.00%, 06/01/37 | 12/05/17 | $300,000 | 110.16 | 312,650 | 330,471 | 0.42 | ||
$566,012 | $598,718 | 0.76% |
Distributions paid from: | |
Ordinary income | $— |
Long-term capital gains | — |
Tax-exempt income | 693,753 |
Return of capital | — |
Undistributed ordinary income | $3,944 |
Accumulated capital and other gain (loss) | (168,635) |
Net unrealized appreciation (depreciation) | 1,500,030 |
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 | $ 144,336 |
Statement of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures | $(1,878) |
Net change in unrealized appreciation (depreciation) on futures | (140,305) |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Six Months Ended
January 31, 2020
1 | |
2 | |
5 | |
6 | |
7 | |
15 | |
16 | |
17 | |
18 | |
19 | |
26 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/20 | 1 Year Ended 1/31/20 | Inception (11/1/17) to 1/31/20 | Inception (11/1/17) to 1/31/20 | |
Fund Performance | ||||
NAV | 4.71% | 11.55% | 7.01% | 16.46% |
Market Price | 4.56% | 11.26% | 7.07% | 16.61% |
Index Performance | ||||
Bloomberg Barclays Municipal Bond Index | 3.33% | 8.65% | 4.94% | 11.46% |
Blended Benchmark(1) | 3.94% | 9.32% | 6.40% | 14.97% |
(1) | The Blended Benchmark consists of the following two indexes: 50% of the Bloomberg Barclays High Yield 10-Year Municipal Index (8-12 years) which is comprised of bonds with a final maturity between 8 and 12 years that are part of the Bloomberg Barclays Municipal Bond High Yield Index; and 50% of the Bloomberg Barclays Revenue 10-Year Municipal Index (8-12 years), which is comprised of revenue bonds that have a final maturity between 8 and 12 years that are part of the Bloomberg Barclays Municipal Bond Index. Indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the index performance shown. Indexes are unmanaged and an investor cannot invest directly in an index. |
Sector Allocation | % of Total Investments (including cash) |
Continuing Care Retirement Communities | 14.6% |
Industrial Development Bond | 12.1 |
Education | 9.6 |
Special Assessment | 8.2 |
Hospital | 7.2 |
Government Obligation Bond - Limited Tax | 7.1 |
Tax Increment | 4.6 |
Dedicated Tax | 4.6 |
Government Obligation Bond - Unlimited Tax | 4.5 |
Higher Education | 2.7 |
Local Housing | 2.6 |
Insured | 2.5 |
Gas | 2.1 |
Utility | 1.9 |
Tobacco | 1.8 |
Student Housing | 1.6 |
Other Health | 1.4 |
Certificates of Participation | 1.2 |
Water & Sewer | 1.0 |
Airport | 0.9 |
Toll Road | 0.8 |
Pre-refunded/Escrowed-to-maturity | 0.6 |
Skilled Nursing | 0.5 |
Hotel | 0.5 |
Port | 0.1 |
Cash | 5.3 |
Total | 100.0% |
Credit Rating(2) | % of Total Investments (including cash) |
AAA | 0.1% |
AA | 6.6 |
A | 13.1 |
BBB | 9.0 |
BB | 16.7 |
B | 1.9 |
CCC | 1.2 |
Not Rated | 46.1 |
Cash | 5.3 |
Total | 100.0% |
(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 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% |
11/2/17 – 7/31/18 | 74 | 0 | 0 | 0 |
8/1/18 – 7/31/19 | 232 | 0 | 0 | 0 |
8/1/19 – 1/31/20 | 123 | 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% |
11/2/17 – 7/31/18 | 111 | 1 | 0 | 0 |
8/1/18 – 7/31/19 | 19 | 0 | 0 | 0 |
8/1/19 – 1/31/20 | 4 | 0 | 0 | 0 |
Beginning Account Value August 1, 2019 | Ending Account Value January 31, 2020 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (b) | |
First Trust Municipal High Income ETF (FMHI) | ||||
Actual | $1,000.00 | $1,047.10 | 0.55% | $2.83 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.37 | 0.55% | $2.80 |
(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 (August 1, 2019 through January 31, 2020), multiplied by 184/366 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 97.5% | ||||||||
Alabama – 1.7% | ||||||||
$1,000,000 | Tuscaloosa Cnty AL Indl Dev Auth Gulf Opportunity Zone Ref Hunt Refining Proj, Ser A (a) | 4.50% | 05/01/32 | $1,134,060 | ||||
500,000 | Tuscaloosa Cnty AL Indl Dev Auth Gulf Opportunity Zone Ref Hunt Refining Proj, Ser A (a) | 5.25% | 05/01/44 | 585,345 | ||||
1,719,405 | ||||||||
Arizona – 4.8% | ||||||||
780,000 | AZ St Indl Dev Auth Edu Rev Academics of Math & Science Proj (a) | 5.00% | 07/01/39 | 888,506 | ||||
750,000 | AZ St Indl Dev Auth Edu Rev Doral Academy NV Fire Mesa & Red Rock Campus Proj, Ser A (a) | 5.00% | 07/15/39 | 838,815 | ||||
400,000 | AZ St Indl Dev Auth Edu Rev Lone Mountain Campus Proj, Ser A (a) | 5.00% | 12/15/39 | 450,324 | ||||
255,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser D (a) | 4.00% | 07/01/27 | 276,139 | ||||
150,000 | AZ St Indl Dev Auth Sr Living Rev 2nd Tier Great Lakes Sr Living Cmntys Proj, Ser B | 5.00% | 01/01/43 | 168,686 | ||||
1,000,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Traditional Schs Proj Auth, Ser B (a) | 4.00% | 07/01/29 | 1,096,900 | ||||
100,000 | Phoenix AZ Indl Dev Auth Student Hsg Rev Ref Downtown Phoenix Student Hsg LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/27 | 123,074 | ||||
305,000 | Pima Cnty AZ Indl Dev Auth Edu Rev Fac American Leadership Academy Proj (a) | 4.00% | 06/15/22 | 312,140 | ||||
345,000 | Tempe AZ Indl Dev Auth Rev Mirabella at ASU Proj, Ser A (a) | 5.50% | 10/01/27 | 396,181 | ||||
200,000 | Tempe AZ Indl Dev Auth Rev Mirabella at ASU Proj, Ser A (a) | 6.00% | 10/01/37 | 233,616 | ||||
4,784,381 | ||||||||
California – 4.2% | ||||||||
450,000 | CA St Muni Fin Auth Chrt Sch Rev, Ser A (a) | 5.50% | 06/01/38 | 516,591 | ||||
205,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | 247,642 | ||||
300,000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 353,535 | ||||
250,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Rialto Bioenergy Fac LLC Proj Green Bond, AMT (a) | 6.75% | 12/01/28 | 259,495 | ||||
1,000,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Rialto Bioenergy Fac LLC Proj Green Bond, AMT (a) | 7.50% | 12/01/40 | 1,075,260 | ||||
415,000 | CA St Stwd Cmntys Dev Auth Clg Hsg Rev NCCD Hooper Street LLC CA Clg of the Arts Projs (a) | 5.25% | 07/01/39 | 493,286 | ||||
550,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/33 | 656,595 | ||||
300,000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (a) | 5.00% | 10/01/42 | 348,921 | ||||
200,000 | Oroville CA Rev Oroville Hosp | 5.25% | 04/01/34 | 249,298 | ||||
4,200,623 | ||||||||
Colorado – 11.6% | ||||||||
750,000 | Aviation Station North Met Dist #2 CO Limited, Ser A | 5.00% | 12/01/39 | 810,690 | ||||
735,000 | Broadway Station Met Dist No 2 CO, Ser A | 5.00% | 12/01/35 | 795,535 | ||||
1,000,000 | Broadway Station Met Dist No 3 CO Sr Cib Lmtd Tax Convertible To Unlimited Tax | 5.00% | 12/01/39 | 1,072,050 | ||||
150,000 | CO Eductnl & Cultural Auth Rev Ref West Ridge Academy Chrt Sch Proj, Ser A | 5.00% | 06/01/27 | 170,635 | ||||
500,000 | CO St Hlth Facs Auth Hosp Rev Ref Sanford Hlth, Ser A | 5.00% | 11/01/33 | 638,085 | ||||
500,000 | Denver CO Intl Business Ctr CO Met Dist #1 Subordinate, Ser B | 6.00% | 12/01/48 | 533,705 | ||||
765,000 | Fourth Street Crossing Business Impt Dist CO Sr, Ser A (a) | 5.13% | 12/01/38 | 790,888 | ||||
900,000 | Hunters Overlook Metro Dist #5 CO Sr Bonds, Ser A | 5.00% | 12/01/39 | 974,421 | ||||
500,000 | Independence Met Dist #3 CO, Ser A | 6.25% | 12/01/49 | 530,975 | ||||
875,000 | Lanterns Met Dist #1 CO, Ser A | 5.00% | 12/01/39 | 939,627 | ||||
500,000 | North Park Met Dist #1 Spl Rev, Ser A-2 | 5.13% | 12/01/28 | 537,645 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado (Continued) | ||||||||
$1,000,000 | Painted Prairie Pub Impt Auth CO | 4.00% | 12/01/29 | $1,020,860 | ||||
500,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/34 | 586,375 | ||||
500,000 | Stc Met Dist #2 CO Ref, Ser A | 4.00% | 12/01/29 | 534,265 | ||||
1,000,000 | Stc Met Dist #2 CO Ref, Ser A | 5.00% | 12/01/38 | 1,093,740 | ||||
500,000 | Trails at Crowfoot Met Dist #3 CO Sr Series, Ser A | 5.00% | 12/01/39 | 529,355 | ||||
11,558,851 | ||||||||
Connecticut – 1.5% | ||||||||
250,000 | Bridgeport CT, Ser A, BAM | 5.00% | 02/01/31 | 311,997 | ||||
250,000 | CT St Hlth & Eductnl Facs Auth Rev Quinnipiac Univ Ref, Ser M | 5.00% | 07/01/36 | 296,453 | ||||
250,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Quinnipiac Univ, Ser L | 5.00% | 07/01/31 | 293,575 | ||||
500,000 | Harbor Point CT Infrastructure Impt Dist Spl Oblig Rev Ref Harbor Point Proj Ltd (a) | 5.00% | 04/01/39 | 578,600 | ||||
1,480,625 | ||||||||
Delaware – 0.7% | ||||||||
600,000 | Millsboro DE Spl Oblig Ref Plantation Lakes Spl Dev Dist (a) | 5.00% | 07/01/28 | 650,874 | ||||
Florida – 7.4% | ||||||||
400,000 | Capital Region FL Cdd Rev Ref Capital Impt, Ser A-1 | 4.13% | 05/01/23 | 405,652 | ||||
140,000 | Capital Trust Agy FL Eductnl Facs Rev Viera Chrt Schs Inc Proj, Ser A (a) | 5.00% | 10/15/37 | 151,697 | ||||
1,250,000 | FL Dev Fin Corp Surface Transprtn Fac Rev Ref Virgin Trains USA Passenger Rail Proj, Ser A, AMT (Mandatory put 01/01/29) (a) | 6.50% | 01/01/49 | 1,264,062 | ||||
85,000 | Miami-Dade Cnty FL Eductnl Facs Auth Rev Ref Univ Miami, Ser A | 5.00% | 04/01/31 | 99,796 | ||||
700,000 | North Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 4.50% | 05/01/40 | 723,499 | ||||
160,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Orlando Hlth Inc, Ser A | 5.00% | 10/01/36 | 192,379 | ||||
500,000 | Parkland Preserve Cdd FL Spl Assmnt Rev, Ser A | 5.25% | 05/01/39 | 519,640 | ||||
500,000 | Pinellas Cnty FL Indl Dev Auth Indl Dev Rev 2017 Fdtn for Global Understanding Inc. Proj | 5.00% | 07/01/39 | 591,325 | ||||
250,000 | SE Overtown Park W Cmnty Redev Agy FL Tax, Ser A-1 (a) | 5.00% | 03/01/30 | 281,688 | ||||
1,000,000 | Seminole Cnty FL Indl Dev Auth Ref Legacy Pointe at Ucf Proj, Ser A | 5.00% | 11/15/29 | 1,015,390 | ||||
500,000 | Shell Point Cmnty Dev Dist FL Spl Assmnt (a) | 5.25% | 11/01/39 | 542,005 | ||||
250,000 | Stoneybrook FL S Cdd Spl Assmnt 2019 Assmnt Area South at Championsgate | 3.50% | 06/15/24 | 253,963 | ||||
310,000 | Stoneybrook FL S Cdd Spl Assmnt 2019 Assmnt Area South at Championsgate | 4.00% | 06/15/30 | 326,455 | ||||
255,000 | Trout Creek Cdd FL Capital Impt Rev (b) | 5.38% | 05/01/38 | 278,279 | ||||
250,000 | Villamar Cdd FL Spl Assmnt (b) | 4.00% | 05/01/29 | 256,690 | ||||
440,000 | W Vlgs FL Impt Dist Spl Assmt Unit Dev #7 Master Infrastructure | 4.25% | 05/01/29 | 460,574 | ||||
7,363,094 | ||||||||
Georgia – 1.1% | ||||||||
250,000 | Floyd Cnty GA Dev Auth Spires Berry Clg Proj, Ser A | 5.50% | 12/01/28 | 261,047 | ||||
300,000 | Floyd Cnty GA Dev Auth Spires Berry Clg Proj, Ser A | 5.75% | 12/01/33 | 312,516 | ||||
55,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/31 | 61,037 | ||||
400,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/30 | 506,324 | ||||
1,140,924 | ||||||||
Guam – 0.5% | ||||||||
250,000 | Guam Govt Business Privilege Tax Rev Ref, Ser-D | 5.00% | 11/15/35 | 287,755 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Guam (Continued) | ||||||||
$235,000 | Guam Govt Business Privilege Tax Rev, Ser B-1 | 5.00% | 01/01/37 | $247,300 | ||||
535,055 | ||||||||
Idaho – 0.5% | ||||||||
290,000 | ID St Hlth Facs Auth Rev Ref Vly Vista Care Corp, Ser A | 4.00% | 11/15/27 | 293,561 | ||||
200,000 | ID St Hlth Facs Auth Rev Ref Vly Vista Care Corp, Ser A | 5.00% | 11/15/32 | 213,800 | ||||
507,361 | ||||||||
Illinois – 8.8% | ||||||||
275,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (c) | 12/01/22 | 261,773 | ||||
230,000 | Chicago IL Brd of Edu Proj, Ser C | 5.25% | 12/01/39 | 258,711 | ||||
300,000 | Chicago IL Brd of Edu Ref Dedicated, Ser C | 5.00% | 12/01/30 | 358,806 | ||||
855,000 | Chicago IL Brd of Edu Ref, Ser F | 5.00% | 12/01/31 | 879,692 | ||||
100,000 | Chicago IL Brd of Edu, Ser A | 5.50% | 12/01/39 | 106,526 | ||||
400,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien, Ser A, AMT | 5.00% | 01/01/37 | 494,752 | ||||
400,000 | Chicago IL O’Hare Intl Arpt Rev Ref, Ser A, AMT | 5.00% | 01/01/33 | 464,008 | ||||
400,000 | Chicago IL Ref 2003B | 5.25% | 01/01/29 | 461,676 | ||||
20,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/25 | 21,374 | ||||
415,000 | Chicago IL Ref, Ser C, CABS | (c) | 01/01/25 | 366,163 | ||||
450,000 | Hillside IL Tax Incr Rev Ref | 5.00% | 01/01/24 | 471,060 | ||||
100,000 | IL St | 5.00% | 04/01/24 | 112,520 | ||||
200,000 | IL St | 5.00% | 06/01/27 | 235,506 | ||||
250,000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/30 | 289,835 | ||||
250,000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/31 | 289,253 | ||||
15,000 | IL St Fin Auth Rev Ref Lifespace Cmntys, Ser A | 5.00% | 05/15/24 | 16,826 | ||||
500,000 | IL St Fin Auth Rev Ref Lutheran Cmntys, Ser A | 5.00% | 11/01/35 | 555,255 | ||||
600,000 | IL St Fin Auth Rev Ref Lutheran Cmntys, Ser A | 5.00% | 11/01/40 | 658,668 | ||||
230,000 | IL St Fin Auth Student Hsg & Academic Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/26 | 271,062 | ||||
500,000 | IL St Rebuild IL Program, Ser B | 5.00% | 11/01/30 | 616,770 | ||||
545,000 | IL St, Ser D | 5.00% | 11/01/24 | 620,264 | ||||
500,000 | Morton Grove IL Tax Incr Rev Sawmill Station Redev Proj | 4.25% | 01/01/29 | 506,240 | ||||
500,000 | Morton Grove IL Tax Incr Rev Sawmill Station Redev Proj | 5.00% | 01/01/39 | 513,085 | ||||
8,829,825 | ||||||||
Indiana – 3.6% | ||||||||
1,000,000 | Evansville IN Mf Hsg Rev Silver Birch Evansville Proj | 5.45% | 01/01/38 | 1,066,700 | ||||
250,000 | Fort Wayne IN Mf Hsg Rev Silver Birch at Cook Road (a) | 5.30% | 01/01/32 | 267,142 | ||||
665,000 | IN St Fin Auth Hosp Rev Goshen Hlth, Ser A | 4.00% | 11/01/37 | 749,881 | ||||
200,000 | IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Academy Proj, Ser A (d) | 5.25% | 07/01/28 | 218,650 | ||||
600,000 | Plainfield IN Mf Hsg Rev Glasswater Creek Proj | 5.38% | 09/01/38 | 625,008 | ||||
700,000 | Terre Haute IN Mf Hsg Rev Silver Birch of Terre Haute Proj | 5.10% | 01/01/32 | 723,527 | ||||
3,650,908 | ||||||||
Iowa – 0.7% | ||||||||
95,000 | IA St Fin Auth Rev Lifespace Cmntys Inc, Ser A | 5.00% | 05/15/32 | 108,940 | ||||
490,000 | IA St Fin Auth Sr Hsg Rev Northcrest Inc Proj, Ser A | 5.00% | 03/01/28 | 547,600 | ||||
656,540 | ||||||||
Kansas – 1.5% | ||||||||
1,500,000 | Goddard KS Sales Tax Spl Oblg Rev Ref Olympic Park Star Bond Proj | 3.60% | 06/01/30 | 1,513,605 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Kentucky – 2.3% | ||||||||
$2,000,000 | Kenton Cnty KY Arpt Brd Spl Facs Rev Var Flightsafety Intl Inc, Ser A (e) | 1.16% | 06/01/21 | $2,000,000 | ||||
300,000 | KY St Econ Dev Fin Auth Var Catholic Hlth, Ser C (e) | 1.10% | 05/01/34 | 300,000 | ||||
2,300,000 | ||||||||
Louisiana – 0.3% | ||||||||
200,000 | Monroe LA Wtr Rev, BAM | 5.00% | 11/01/32 | 253,720 | ||||
Maryland – 1.0% | ||||||||
175,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 2.95% | 06/01/27 | 178,353 | ||||
185,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.05% | 06/01/28 | 188,961 | ||||
200,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.15% | 06/01/29 | 204,712 | ||||
190,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.20% | 06/01/30 | 195,050 | ||||
250,000 | Howard Cnty MD Retmnt Cmnty Rev Ref Columbia Vantage House Corp | 5.00% | 04/01/36 | 276,218 | ||||
1,043,294 | ||||||||
Massachusetts – 2.6% | ||||||||
500,000 | MA St Dev Fin Agy Rev Linden Ponds Inc Fac (a) | 5.00% | 11/15/28 | 587,905 | ||||
500,000 | MA St Dev Fin Agy Rev Ref Atrius Hlth, Ser A | 5.00% | 06/01/39 | 614,240 | ||||
620,000 | MA St Dev Fin Agy Rev Ref Lawrence General Hosp | 5.00% | 07/01/26 | 727,725 | ||||
50,000 | MA St Federal Highway Ref Subordinate Rev, Ser A | 5.00% | 06/15/24 | 56,907 | ||||
500,000 | MA St Port Auth Spl Facs Rev Ref Bosfuel Proj, Ser A, AMT | 5.00% | 07/01/32 | 637,475 | ||||
2,624,252 | ||||||||
Michigan – 1.6% | ||||||||
300,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/31 | 340,497 | ||||
500,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Ref Second Lien, Ser D | 5.00% | 07/01/36 | 599,245 | ||||
600,000 | MI St Fin Auth Ltd Oblig Rev Cesar Chavez Academy Proj Ref | 5.00% | 02/01/33 | 667,182 | ||||
1,606,924 | ||||||||
Minnesota – 1.1% | ||||||||
350,000 | Duluth MN Indep Sch Dist #709 Cops Ref, Ser B | 5.00% | 02/01/28 | 440,569 | ||||
150,000 | Minneapolis MN Student Hsg Rev Riverton Cmnty Hsg Proj (a) | 3.80% | 08/01/27 | 158,573 | ||||
300,000 | MN St Hgr Edu Facs Auth Rev Ref Clg of St Scholastica Inc | 4.00% | 12/01/32 | 347,010 | ||||
105,000 | Saint Paul MN Hsg & Redev Auth Chrt Sch Lease Rev Ref, Ser A | 5.00% | 12/01/30 | 117,901 | ||||
1,064,053 | ||||||||
Missouri – 0.1% | ||||||||
80,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs | 5.00% | 02/01/35 | 88,605 | ||||
10,000 | MO St Hlth & Eductnl Facs Auth Med Research Lutheran Svcs, Ser A | 5.00% | 02/01/29 | 11,760 | ||||
100,365 | ||||||||
Montana – 0.4% | ||||||||
350,000 | Missoula MT Wtr Sys Rev, Ser A | 4.00% | 07/01/37 | 405,104 | ||||
Nevada – 1.6% | ||||||||
315,000 | Carson City NV Hosp Rev Ref Carson Tahoe Regl Med Ctr, Ser A | 5.00% | 09/01/25 | 373,448 | ||||
210,000 | North Las Vegas NV Local Impt Valley Vista Spl Impt Dist #64 | 4.00% | 06/01/29 | 226,292 | ||||
1,000,000 | Sparks NV Tourism Impt Dist #1 Rev Ref Sales Tax Sr, Ser A (a) | 2.75% | 06/15/28 | 1,036,980 | ||||
1,636,720 | ||||||||
New Hampshire – 0.6% | ||||||||
500,000 | NH St Hlth & Edu Facs Auth Rev Ref Sthrn NH Med Ctr | 5.00% | 10/01/37 | 588,515 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New Jersey – 3.2% | ||||||||
$100,000 | NJ St Econ Dev Auth Spl Fac Rev Ref Port Newark Container Terminal LLC Proj, AMT | 5.00% | 10/01/25 | $118,276 | ||||
835,000 | NJ St Transprtn Trust Fund Auth Cap Apprec Transprtn Sys, Ser C, AMBAC | (c) | 12/15/25 | 753,863 | ||||
500,000 | NJ St Transprtn Trust Fund Auth Ref Transprtn Sys, Ser A | 5.00% | 12/15/30 | 614,550 | ||||
500,000 | Tobacco Settlement Fing Corp NJ Ref, Ser A | 5.00% | 06/01/27 | 614,545 | ||||
1,000,000 | Union Cnty NJ Impt Auth Sol Wst Disp Rev Green Bond Aries Linden Llc Proj, AMT (a) | 6.75% | 12/01/41 | 1,051,400 | ||||
3,152,634 | ||||||||
New York – 2.2% | ||||||||
505,000 | Build NYC Resource Corp NY Sol Wst Disp Rev Ref Pratt Paper Inc Proj, AMT (a) | 5.00% | 01/01/35 | 564,949 | ||||
500,000 | Monroe Cnty NY Indl Dev Corp Rev Ref St Ann’s Cmnty Proj | 4.00% | 01/01/30 | 548,650 | ||||
100,000 | Westchester Co NY Local Dev Corp Rev Ref Miriam Osborn Memorial Home Assn Proj | 5.00% | 07/01/34 | 118,127 | ||||
840,000 | Yonkers NY Econ Dev Corp Eductnl Rev Chrt Sch Edu Excellence Proj, Ser A | 5.00% | 10/15/39 | 962,900 | ||||
2,194,626 | ||||||||
North Carolina – 1.9% | ||||||||
1,000,000 | NC St Med Care Commn Healthcare Facs Rev Rex Healthcare, Ser A | 4.00% | 07/01/39 | 1,160,700 | ||||
625,000 | NC St Med Care Commn Retmnt Facs Rev Ref Retmnt Facs First Mtg Rev Bonds Galloway Ridge, Ser A | 5.00% | 01/01/31 | 742,000 | ||||
1,902,700 | ||||||||
Ohio – 4.7% | ||||||||
740,000 | Buckeye OH Tobacco Settlement Fing Auth Asset Bkd Sr Turbo, Ser A-2 | 5.13% | 06/01/24 | 743,648 | ||||
530,000 | Buckeye OH Tobacco Settlement Fing Auth Asset Bkd Sr Turbo, Ser A-2 | 5.38% | 06/01/24 | 532,025 | ||||
500,000 | Cleveland-Cuyahoga Cnty OH Port Auth Cultural Fac Rev Ref Playhouse Sq Fdtn Proj | 5.00% | 12/01/28 | 568,685 | ||||
415,000 | Franklin Cnty OH Convention Facs Auth Hotel Proj Rev Grtr Columbus Convention Cntr Hotel Exp Proj | 5.00% | 12/01/32 | 511,537 | ||||
225,000 | Lancaster OH Port Auth Gas Rev Ref, Ser A (Mandatory put 02/01/25) | 5.00% | 08/01/49 | 263,957 | ||||
750,000 | OH St Air Quality Dev Auth Exempt Facs Rev AMG Vanadium Proj, AMT (a) | 5.00% | 07/01/49 | 848,490 | ||||
1,200,000 | OH St Air Quality Dev Auth Ref OH Vly Elec Corp Proj, Ser A | 3.25% | 09/01/29 | 1,270,464 | ||||
4,738,806 | ||||||||
Oklahoma – 0.3% | ||||||||
125,000 | Comanche Cnty OK Hosp Auth Rev Ref | 5.00% | 07/01/29 | 137,845 | ||||
150,000 | OK St Dev Fin Auth Hlthsys Rev Ou Medicine Proj, Ser B | 5.00% | 08/15/26 | 182,030 | ||||
319,875 | ||||||||
Oregon – 0.3% | ||||||||
290,000 | Clackamas Cnty OR Hosp Fac Auth Rev Mary’s Woods at Marylhurst Inc Proj, Ser A | 5.00% | 05/15/26 | 337,171 | ||||
10,000 | Multnomah Cnty OR Hosp Facs Auth Rev Ref Terwilliger Plaza | 5.00% | 12/01/20 | 10,310 | ||||
347,481 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania – 5.6% | ||||||||
$300,000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network Oblig Grp Issue, Ser A | 5.00% | 04/01/32 | $374,646 | ||||
1,000,000 | Allegheny Cnty PA Indl Dev Auth Envrnmtl Impt Rev Ref US Steel Corporation Proj | 4.88% | 11/01/24 | 1,058,650 | ||||
100,000 | Chester Cnty PA Indl Dev Auth Renaissance Academy Chrt Sch | 5.00% | 10/01/34 | 111,244 | ||||
1,000,000 | Cumberland Cnty PA Muni Auth Ref Asbury PA Obligated Grp | 5.00% | 01/01/39 | 1,101,780 | ||||
250,000 | Lancaster Cnty PA Hosp Auth Healthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/28 | 293,770 | ||||
515,000 | Lancaster Cnty PA Hosp Auth Healthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/31 | 598,497 | ||||
440,000 | Lancaster Cnty PA Hosp Auth Ref United Zion Retmnt Cmnty, Ser A | 5.00% | 12/01/32 | 485,289 | ||||
750,000 | Montgomery Cnty PA Hgr Edu & Hlth Auth Ref Thomas Jefferson Univ Proj | 4.00% | 09/01/36 | 870,060 | ||||
350,000 | PA St Turnpike Commn Oil Franchise Tax Rev Ref Sub, Ser B | 5.00% | 12/01/30 | 430,335 | ||||
10,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/39 | 11,841 | ||||
215,000 | Philadelphia PA Auth for Indl Dev Revs Kipp Philadelphia Chrt Sch Proj, Ser A | 5.00% | 04/01/36 | 233,587 | ||||
5,569,699 | ||||||||
Puerto Rico – 1.8% | ||||||||
250,000 | Puerto Rico Cmwlth Ref Pub Impt, Ser A, AGM | 5.00% | 07/01/35 | 267,482 | ||||
359,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.50% | 07/01/34 | 395,482 | ||||
177,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (c) | 07/01/29 | 140,644 | ||||
1,409,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (c) | 07/01/31 | 1,042,745 | ||||
1,846,353 | ||||||||
South Carolina – 2.0% | ||||||||
425,000 | Berkeley Cnty SC Assmnt Rev Nexton Impt Dist | 4.00% | 11/01/30 | 435,659 | ||||
230,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 5.00% | 12/01/31 | 242,914 | ||||
580,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Woodlands at Furman Proj, Ser A | 5.00% | 11/15/42 | 652,065 | ||||
500,000 | SC St Jobs Econ Dev Auth Hlth Facs Rev Ref Lutheran Homes of SC Inc | 5.00% | 05/01/37 | 542,425 | ||||
135,000 | SC St Jobs Econ Dev Auth Hlth Facs Rev Ref Lutheran Homes of SC Inc | 5.00% | 05/01/42 | 145,494 | ||||
2,018,557 | ||||||||
Tennessee – 2.0% | ||||||||
25,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Student Hsg CDFI Phase I | 5.00% | 10/01/23 | 28,127 | ||||
440,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Lipscomb Univ Proj, Ser A | 5.00% | 10/01/36 | 548,187 | ||||
500,000 | TN St Energy Acquisition Corp Gas Rev Proj, Ser A (Mandatory put 05/01/23) | 4.00% | 05/01/48 | 541,350 | ||||
730,000 | TN St Energy Acquisition Corp Gas Rev, Ser A | 5.25% | 09/01/26 | 889,388 | ||||
2,007,052 | ||||||||
Texas – 4.9% | ||||||||
50,000 | Centrl TX Regl Mobility Auth Rev Ref Sub Lien | 5.00% | 01/01/33 | 55,052 | ||||
500,000 | Hackberry TX Spl Assmnt Rev Rivendale Lake Pub Impt Dist #2 Phases 4-6 Proj | 4.13% | 09/01/27 | 519,010 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$420,000 | Harris-Brazoria Cntys TX Muni Utility Dist #509, AGM | 3.00% | 09/01/32 | $432,037 | ||||
500,000 | Hidalgo Cnty TX Drain Dist #1 | 4.00% | 09/01/33 | 571,895 | ||||
250,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pid #1 (d) | 4.13% | 09/01/29 | 260,497 | ||||
450,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch (a) | 4.35% | 08/15/25 | 473,193 | ||||
485,000 | Leander TX Spl Assmnt Rev Crystal Springs Pub Impt Dist Proj Accd Inv (d) | 4.50% | 09/01/28 | 499,109 | ||||
600,000 | Lower Colorado River TX Auth Transmission Contract Rev Ref LCRA Transmission Svcs Corp Proj | 5.00% | 05/15/37 | 733,530 | ||||
285,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/32 | 315,948 | ||||
205,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Wesleyan Homes Inc Proj Fin Corp | 5.00% | 01/01/39 | 222,255 | ||||
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% | 04/01/25 | 546,440 | ||||
250,000 | TX St Transprtn Commn Central TX Turnpike Sys Rev Ref, Ser B | 5.00% | 08/15/37 | 289,060 | ||||
4,918,026 | ||||||||
Utah – 1.9% | ||||||||
475,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Mountain West Montessori Academy Proj, Ser A (a) | 5.00% | 06/15/39 | 529,758 | ||||
675,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner Academy Proj, Ser A (a) | 5.00% | 06/15/39 | 736,533 | ||||
500,000 | UT St Transit Auth Sales Tax Rev Ref Sub, Ser A | 5.00% | 06/15/35 | 606,525 | ||||
1,872,816 | ||||||||
Virginia – 0.6% | ||||||||
500,000 | Norfolk VA Redev & Hsg Auth Rev Ft Norfolk Retmnt Cmnty Harbors Edge Proj, Ser A | 5.00% | 01/01/34 | 551,845 | ||||
Washington – 2.1% | ||||||||
600,000 | Kalispel Tribe of Indians Priority Dist WA Rev, Ser A (a) | 5.00% | 01/01/32 | 696,738 | ||||
230,000 | WA St Healthcare Facs Auth Ref Fred Hutchinson Cancer Research Ctr | 5.00% | 01/01/26 | 274,415 | ||||
1,000,000 | WA St Hsg Fin Commn Transforming Age Projs, Ser A (a) | 5.00% | 01/01/39 | 1,119,290 | ||||
2,090,443 | ||||||||
Wisconsin – 3.8% | ||||||||
500,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Academy Las Vegas Proj, Ser A (a) | 4.20% | 07/15/27 | 541,090 | ||||
160,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/27 | 193,304 | ||||
770,000 | Pub Fin Auth WI Retmnt Fac Rev Ref Penick Vlg Oblig Grp (a) | 5.00% | 09/01/39 | 850,388 | ||||
455,000 | Pub Fin Auth WI Retmnt Fac Rev Ref Whitestone Retmnt Facs 1st Mortgage Rev Bonds (a) | 4.00% | 03/01/27 | 491,332 | ||||
500,000 | Pub Fin Auth WI Rev Ref Ultimate Med Academy Proj, Ser A (a) | 5.00% | 10/01/39 | 574,740 | ||||
1,000,000 | WI St Hlth & Eductnl Facs Auth Rev Ref St Camillus Hlth Sys, Ser A | 5.00% | 11/01/39 | 1,113,080 | ||||
3,763,934 |
Total Investments – 97.5% | 97,509,865 | ||
(Cost $92,619,187) (f) | |||
Net Other Assets and Liabilities – 2.5% | 2,524,192 | ||
Net Assets – 100.0% | $100,034,057 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury 10-Year Notes | Short | 8 | Mar 2020 | $ (1,053,250) | $(18,687) | |||||
U.S. Treasury Long Bonds | Short | 7 | Mar 2020 | (1,144,719) | (32,000) | |||||
U.S. Treasury Ultra 10-Year Notes | Short | 26 | Mar 2020 | (3,787,062) | (87,141) | |||||
Total Futures Contracts | $(5,985,031) | $(137,828) |
(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 “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 January 31, 2020, securities noted as such amounted to $25,117,565 or 25.1% of net assets. |
(b) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(c) | Zero coupon bond. |
(d) | 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). |
(e) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(f) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $4,890,678 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $137,828. The net unrealized appreciation was $4,752,850. The amounts presented are inclusive of derivative contracts. |
AGM | Assured Guaranty Municipal Corp. |
AMBAC | American Municipal Bond Assurance Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
CABS | Capital Appreciation Bonds |
NATL-RE | National Public Finance Guarantee Corp. |
ASSETS TABLE | ||||
Total Value at 1/31/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 97,509,865 | $ — | $ 97,509,865 | $ — |
LIABILITIES TABLE | ||||
Total Value at 1/31/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts | $ (137,828) | $ (137,828) | $ — | $ — |
* | See Portfolio of Investments for state breakout. |
ASSETS: | |
Investments, at value (Cost $92,619,187) | $ 97,509,865 |
Cash | 5,412,688 |
Cash segregated as collateral for open futures contracts | 201,269 |
Interest receivable | 784,126 |
Total Assets | 103,907,948 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 3,692,295 |
Variation margin | 137,828 |
Investment advisory fees | 43,768 |
Total Liabilities | 3,873,891 |
NET ASSETS | $100,034,057 |
NET ASSETS consist of: | |
Paid-in capital | $ 95,203,435 |
Par value | 18,500 |
Accumulated distributable earnings (loss) | 4,812,122 |
NET ASSETS | $100,034,057 |
NET ASSET VALUE,per share | $54.07 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 1,850,002 |
INVESTMENT INCOME: | ||
Interest | $ 1,486,533 | |
Total investment income | 1,486,533 | |
EXPENSES: | ||
Investment advisory fees | 283,479 | |
Total expenses | 283,479 | |
Fees waived by the investment advisor | (60,746) | |
Net expenses | 222,733 | |
NET INVESTMENT INCOME (LOSS) | 1,263,800 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | 190,379 | |
Futures | (22,898) | |
Net realized gain (loss) | 167,481 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 2,475,228 | |
Futures | (127,297) | |
Net change in unrealized appreciation (depreciation) | 2,347,931 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 2,515,412 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 3,779,212 |
Six Months Ended 1/31/2020 (Unaudited) | Year Ended 7/31/2019 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 1,263,800 | $ 1,391,041 | |
Net realized gain (loss) | 167,481 | (66,914) | |
Net change in unrealized appreciation (depreciation) | 2,347,931 | 2,218,477 | |
Net increase (decrease) in net assets resulting from operations | 3,779,212 | 3,542,604 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (1,325,252) | (1,351,287) | |
Return of capital | — | (103,717) | |
Total distributions to shareholders | (1,325,252) | (1,455,004) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 34,601,196 | 38,221,517 | |
Cost of shares redeemed | — | (5,007,194) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 34,601,196 | 33,214,323 | |
Total increase (decrease) in net assets | 37,055,156 | 35,301,923 | |
NET ASSETS: | |||
Beginning of period | 62,978,901 | 27,676,978 | |
End of period | $ 100,034,057 | $ 62,978,901 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 1,200,002 | 550,002 | |
Shares sold | 650,000 | 750,000 | |
Shares redeemed | — | (100,000) | |
Shares outstanding, end of period | 1,850,002 | 1,200,002 |
Six Months Ended 1/31/2020 (Unaudited) | Year Ended 7/31/2019 | Period Ended 7/31/2018 (a) | |||
Net asset value, beginning of period | $ 52.48 | $ 50.32 | $ 50.00 | ||
Income from investment operations: | |||||
Net investment income (loss) | 0.82 | 1.69 | 1.15 | ||
Net realized and unrealized gain (loss) | 1.64 | 2.27 | 0.30 | ||
Total from investment operations | 2.46 | 3.96 | 1.45 | ||
Distributions paid to shareholders from: | |||||
Net investment income | (0.87) | (1.67) | (1.13) | ||
Return of capital | — | (0.13) | — | ||
Total distributions | (0.87) | (1.80) | (1.13) | ||
Net asset value, end of period | $54.07 | $52.48 | $50.32 | ||
Total return (b) | 4.71% | 8.05% | 2.93% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 100,034 | $ 62,979 | $ 27,677 | ||
Ratio of total expenses to average net assets | 0.70% (c) | 0.70% | 0.70% (c) | ||
Ratio of net expenses to average net assets | 0.55% (c) | 0.55% | 0.55% (c) | ||
Ratio of net investment income (loss) to average net assets | 3.12% (c) | 3.44% | 3.13% (c) | ||
Portfolio turnover rate (d) | 26% | 71% | 74% |
(a) | Inception date is November 1, 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. The total returns would have been lower if certain fees had not been waived by the investment advisor. |
(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 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 | ||
IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Academy Proj, Ser A, 5.25%, 07/01/28 | 08/31/18 | $200,000 | $109.33 | $202,019 | $218,650 | 0.22% | ||
Kyle TX Spl Assmnt Rev 6 Creeks Pid #1, 4.13%, 09/01/29 | 05/08/19 | 250,000 | 104.20 | 250,000 | 260,497 | 0.26 | ||
Leander TX Spl Assmnt Rev Crystal Springs Pub Impt Dist Proj Accd Inv, 4.50%, 09/01/28 | 05/04/18 | 485,000 | 102.91 | 480,699 | 499,109 | 0.50 | ||
$932,718 | $978,256 | 0.98% |
Distributions paid from: | |
Ordinary income | $17 |
Capital gains | — |
Tax-exempt income | 1,351,270 |
Return of capital | 103,717 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (104,253) |
Net unrealized appreciation (depreciation) | 2,462,415 |
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 | $ 137,828 |
Statement of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures | $(22,898) |
Net change in unrealized appreciation (depreciation) on futures | (127,297) |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
First Trust Ultra Short Duration Municipal ETF (FUMB)
For the Six Months Ended
January 31, 2020
1 | |
Fund Performance Overview | |
2 | |
4 | |
6 | |
7 | |
8 | |
Portfolio of Investments | |
9 | |
13 | |
18 | |
19 | |
20 | |
21 | |
23 | |
28 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/20 | 1 Year Ended 1/31/20 | Inception (11/1/18) to 1/31/20 | Inception (11/1/18) to 1/31/20 | |
Fund Performance | ||||
NAV | 1.72% | 4.26% | 4.59% | 5.76% |
Market Price | 1.81% | 4.41% | 4.63% | 5.81% |
Index Performance | ||||
Bloomberg Barclays Municipal Short (1-5) Year Index | 1.29% | 3.78% | 4.45% | 5.59% |
Sector Allocation | % of Total Investments (including cash) |
Gas | 12.3% |
Continuing Care Retirement Communities | 12.2 |
Insured | 10.5 |
Hospital | 8.2 |
Dedicated Tax | 6.9 |
Government Obligation Bond - Unlimited Tax | 6.4 |
Water & Sewer | 6.2 |
Industrial Development Bond | 5.0 |
Special Assessment | 4.5 |
Housing | 4.2 |
Certificates of Participation | 3.9 |
Tax Increment | 3.0 |
Mass Transit | 2.8 |
Student Housing | 2.5 |
Tobacco | 2.5 |
Local Housing | 2.5 |
Airport | 2.2 |
Higher Education | 1.5 |
Education | 0.9 |
Toll Road | 0.4 |
Cash | 1.4 |
Total | 100.0% |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 5.3% |
AA | 14.2 |
A | 28.5 |
BBB | 32.0 |
BB | 2.4 |
Not Rated | 11.4 |
SP-1/MIG1 (short-term) | 4.8 |
Cash | 1.4 |
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% |
11/2/18 – 7/31/19 | 60 | 0 | 1 | 0 |
8/1/19 – 1/31/20 | 113 | 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% |
11/2/18 – 7/31/19 | 124 | 0 | 0 | 0 |
8/1/19 – 1/31/20 | 14 | 0 | 0 | 0 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/20 | 1 Year Ended 1/31/20 | Inception (11/1/18) to 1/31/20 | Inception (11/1/18) to 1/31/20 | |
Fund Performance | ||||
NAV | 0.72% | 1.76% | 1.98% | 2.48% |
Market Price | 0.62% | 1.81% | 1.90% | 2.38% |
Index Performance | ||||
Bloomberg Barclays Municipal Short-Term Index | 0.70% | 1.72% | 1.87% | 2.34% |
Sector Allocation | % of Total Investments (including cash) |
Industrial Development Bond | 15.1% |
Government Obligation Bond - Unlimited Tax | 11.1 |
Government Obligation Bond - Limited Tax | 10.7 |
Hospital | 10.6 |
Insured | 7.9 |
Certificates of Participation | 7.3 |
Housing | 5.3 |
Water & Sewer | 4.9 |
Gas | 4.3 |
Mass Transit | 4.1 |
Utility | 2.8 |
Pre-refunded/Escrowed-to-maturity | 2.4 |
Local Housing | 1.8 |
Dedicated Tax | 1.7 |
Education | 1.3 |
Pool | 1.2 |
Student Housing | 0.8 |
Continuing Care Retirement Communities | 0.8 |
Special Assessment | 0.5 |
Airport | 0.4 |
Higher Education | 0.4 |
Toll Road | 0.3 |
Cash | 4.3 |
Total | 100.0% |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 10.4% |
AA | 28.4 |
A | 19.9 |
BBB | 17.4 |
SP-1/MIG1 (short-term) | 8.5 |
SP-1+ (short-term) | 2.5 |
Not Rated | 8.6 |
Cash | 4.3 |
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% |
11/2/18 – 7/31/19 | 51 | 0 | 1 | 0 |
8/1/19 – 1/31/20 | 109 | 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% |
11/2/18 – 7/31/19 | 133 | 0 | 0 | 0 |
8/1/19 – 1/31/20 | 18 | 0 | 0 | 0 |
Beginning Account Value August 1, 2019 | Ending Account Value January 31, 2020 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (b) | |
First Trust Short Duration Managed Municipal ETF (FSMB) | ||||
Actual | $1,000.00 | $1,017.20 | 0.45% | $2.28 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.87 | 0.45% | $2.29 |
First Trust Ultra Short Duration Municipal ETF (FUMB) | ||||
Actual | $1,000.00 | $1,007.20 | 0.35% | $1.77 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.38 | 0.35% | $1.78 |
(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 (August 1, 2019 through January 31, 2020), multiplied by 184/366 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 97.9% | ||||||||
Alabama – 3.5% | ||||||||
$210,000 | 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 | $238,449 | ||||
100,000 | Greenville AL Pub Impt Cooperative Pub Impt Rev Greenville Funding, BAM | 5.00% | 03/01/25 | 117,960 | ||||
430,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 5.00% | 11/01/25 | 503,478 | ||||
859,887 | ||||||||
California – 6.4% | ||||||||
500,000 | CA St Stwd Cmntys Dev Auth Hosp Rev Methodist Hosp of Southern CA Proj | 5.00% | 01/01/21 | 517,200 | ||||
400,000 | Long Beach CA Bond Fin Auth Natural Gas Purchase Rev, Ser A | 5.25% | 11/15/22 | 443,672 | ||||
500,000 | Tobacco Securitization Auth Sthrn CA Tobacco Settlement Rev Ref San Diego Co Asset Securitization Corp Class 1, Ser A | 5.00% | 06/01/27 | 620,605 | ||||
1,581,477 | ||||||||
Colorado – 3.9% | ||||||||
130,000 | CO St Hlth Facs Auth Hosp Rev Ref Common Spirit Hlth, Ser B-1 (Mandatory put 08/01/25) | 5.00% | 08/01/49 | 152,174 | ||||
165,000 | Colorado Springs CO Pikes Peak Americas Mountain Enterprise Pikes Peak | 5.00% | 12/01/20 | 170,477 | ||||
100,000 | Colorado Springs CO Pikes Peak Americas Mountain Enterprise Pikes Peak | 5.00% | 12/01/21 | 107,309 | ||||
500,000 | Stc Met Dist #2 CO Ref, Ser A | 4.00% | 12/01/29 | 534,265 | ||||
964,225 | ||||||||
Connecticut – 3.5% | ||||||||
500,000 | Capital City CT Econ Dev Auth Pkg & Energy Fee Rev Adj, Ser B (a) | 1.00% | 06/15/34 | 500,000 | ||||
245,000 | CT St Hlth & Eductnl Facs Auth Rev Covenant Home Inc, Ser B | 5.00% | 12/01/22 | 270,115 | ||||
100,000 | CT St Spl Tax Oblig Rev Ref Transprtn Infrastructure, Ser C | 4.00% | 11/01/20 | 102,270 | ||||
872,385 | ||||||||
Florida – 5.3% | ||||||||
145,000 | Beach Rd Golf Estates Cmnty Dev Dist FL Spl Assmt | 3.50% | 11/01/20 | 146,382 | ||||
385,000 | Citizens Property Insurance Corp FL Sr Secured, Ser A-1 | 5.00% | 06/01/20 | 390,093 | ||||
220,000 | Parkway Ctr FL Cdd Spl Assmnt Rev Ref Assmt Area, Ser 1 | 3.50% | 05/01/21 | 224,103 | ||||
230,000 | Parkway Ctr FL Cdd Spl Assmnt Rev Ref Assmt Area, Ser 1 | 3.50% | 05/01/22 | 237,066 | ||||
310,000 | W Vlgs FL Impt Dist Spl Assmt Unit Dev #7 Master Infrastructure | 4.00% | 05/01/24 | 316,119 | ||||
1,313,763 | ||||||||
Georgia – 1.1% | ||||||||
240,000 | Main Street Natural Gas Inc GA Gas Supply Rev, Ser A | 5.00% | 05/15/25 | 282,998 | ||||
Hawaii – 1.6% | ||||||||
400,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Sr First Bd Resolution, Ser B | 5.00% | 07/01/20 | 406,816 | ||||
Illinois – 6.1% | ||||||||
400,000 | Chicago IL Brd of Edu Ref, Ser C | 5.00% | 12/01/22 | 433,964 | ||||
50,000 | Chicago IL Brd of Edu Ref, Ser F | 5.00% | 12/01/21 | 51,625 | ||||
25,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/26 | 29,278 | ||||
55,000 | Chicago IL Ref, Ser C, CABS | (b) | 01/01/25 | 48,528 | ||||
200,000 | Hillside IL Tax Incr Rev Ref | 5.00% | 01/01/24 | 209,360 | ||||
250,000 | IL St | 5.00% | 03/01/22 | 266,917 | ||||
50,000 | IL St Ref | 5.00% | 08/01/21 | 52,557 | ||||
40,000 | IL St, Ser D | 5.00% | 11/01/24 | 45,524 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$360,000 | Romeoville IL Rev Ref Lewis Univ Proj | 5.00% | 10/01/20 | $367,855 | ||||
1,505,608 | ||||||||
Indiana – 3.0% | ||||||||
215,000 | IN St Bond Bank Spl Program Gas Rev, Ser A | 5.25% | 10/15/21 | 229,437 | ||||
500,000 | IN St Hsg & Cmnty Dev Auth Sf Mtge Rev Non Ace Var, Ser C-3, AMT (a) | 1.16% | 07/01/47 | 500,000 | ||||
729,437 | ||||||||
Kentucky – 3.3% | ||||||||
90,000 | KY St Econ Dev Fin Auth Hlth Sys Rev Norton Healthcare Inc, Ser B, NATL-RE | (b) | 10/01/25 | 80,562 | ||||
250,000 | KY St Econ Dev Fin Auth Ref Hosp Rev Owensboro Hlth Inc Oblig Grp, Ser B | 5.00% | 06/01/21 | 260,493 | ||||
20,000 | KY St Econ Dev Fin Auth Ref-Owensboro Hlth, Ser A | 5.00% | 06/01/25 | 23,244 | ||||
350,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser C-1 | 4.00% | 12/01/21 | 367,909 | ||||
75,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A-1 (Mandatory put 06/01/25) | 4.00% | 12/01/49 | 84,320 | ||||
816,528 | ||||||||
Louisiana – 2.1% | ||||||||
500,000 | 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 | 513,285 | ||||
Massachusetts – 3.0% | ||||||||
100,000 | MA St Dev Fin Agy Rev Ref Newbridge Charles Inc (c) | 4.00% | 10/01/32 | 107,694 | ||||
400,000 | MA St Dev Fin Agy Rev Umass Boston Student Hsg Proj | 5.00% | 10/01/20 | 409,932 | ||||
200,000 | MA St Dev Fin Agy Rev Umass Darthmouth Student Hsg Proj | 5.00% | 10/01/21 | 211,860 | ||||
729,486 | ||||||||
Minnesota – 2.4% | ||||||||
600,000 | Minneapolis MN Mf Rev Riverside Home Proj, Ser B (Mandatory put 05/01/20) | 3.75% | 11/01/21 | 600,216 | ||||
Nebraska – 2.7% | ||||||||
420,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/22 | 459,774 | ||||
165,000 | Centrl Plains Energy Proj NE Gas Proj Rev Ref Proj #3, Ser A | 5.00% | 09/01/26 | 198,472 | ||||
658,246 | ||||||||
Nevada – 0.6% | ||||||||
125,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/25 | 148,773 | ||||
New Jersey – 3.1% | ||||||||
255,000 | NJ St Transprtn Trust Fnd Auth Transprtn Sys, Ser B, NATL-RE | 5.50% | 12/15/20 | 264,774 | ||||
50,000 | NJ St Transprtn Trust Fund Auth Cap Apprec Transprtn Sys, Ser C, AMBAC | (b) | 12/15/25 | 45,142 | ||||
45,000 | NJ St Transprtn Trust Fund Auth Fed Hwy Reimbursement Nts, Ser A-1, GARVEE | 5.00% | 06/15/27 | 53,916 | ||||
250,000 | NJ St Transprtn Trust Fund Auth Transprtn Program, Ser AA | 5.00% | 06/15/20 | 253,592 | ||||
150,000 | NJ St Transprtn Trust Fund Auth Transprtn Sys, Ser A | 5.00% | 06/15/22 | 158,379 | ||||
775,803 | ||||||||
New York – 2.8% | ||||||||
250,000 | Met Transprtn Auth NY Rev Transprtn, Ser A-2S | 4.00% | 02/01/22 | 263,953 | ||||
400,000 | Met Transprtn Auth NY Rev Transprtn, Ser C-2, BANS | 5.00% | 09/01/21 | 424,548 | ||||
688,501 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
North Dakota – 4.0% | ||||||||
$500,000 | W Fargo ND Ref & Impt Temp | 2.15% | 05/01/21 | $500,425 | ||||
460,000 | Williston ND Cnty Wide Pub Safety Sales Tax Rev Ref, Ser A | 5.00% | 07/15/22 | 498,654 | ||||
999,079 | ||||||||
Oklahoma – 5.0% | ||||||||
700,000 | OK St Dev Fin Auth Gilcrease Expressway W Proj P3 Proj, AMT | 1.63% | 07/06/23 | 701,645 | ||||
495,000 | Oklahoma City OK Arpt Trust Junior Lien, AMT | 5.00% | 07/01/22 | 540,505 | ||||
1,242,150 | ||||||||
Pennsylvania – 13.0% | ||||||||
330,000 | Cumberland Cnty PA Muni Auth Ref Asbury PA Obligated Grp | 3.00% | 01/01/24 | 333,996 | ||||
280,000 | Cumberland Cnty PA Muni Auth Ref Messiah Vlg Proj | 4.00% | 07/01/22 | 293,300 | ||||
295,000 | Cumberland Cnty PA Muni Auth Ref Messiah Vlg Proj | 5.00% | 07/01/23 | 324,117 | ||||
500,000 | Lancaster PA Ref, BAM | 5.00% | 05/01/25 | 598,455 | ||||
100,000 | Montgomery Cnty PA Indl Dev Auth Acts Retmnt Life Cmntys Ref | 5.00% | 11/15/23 | 108,295 | ||||
200,000 | Montgomery Cnty PA Indl Dev Auth Ref Meadowood Sr Living Proj, Ser A | 3.00% | 12/01/21 | 204,694 | ||||
345,000 | Montgomery Cnty PA Indl Dev Auth Ref Meadowood Sr Living Proj, Ser A | 4.00% | 12/01/22 | 366,469 | ||||
300,000 | Montgomery Cnty PA Indl Dev Auth Ref Waverly Heights Ltd. Proj | 4.00% | 12/01/35 | 336,504 | ||||
495,000 | PA St Hsg Fin Agy SF Mtge Rev Non Ace, Ser 123B | 3.45% | 10/01/32 | 536,664 | ||||
100,000 | PA St Turnpike Commission Turnpike Rev Sub, Ser A | 5.00% | 12/01/21 | 107,158 | ||||
3,209,652 | ||||||||
Puerto Rico – 1.3% | ||||||||
278,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (b) | 07/01/27 | 234,334 | ||||
108,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (b) | 07/01/29 | 85,817 | ||||
320,151 | ||||||||
Tennessee – 7.1% | ||||||||
900,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Var Catholic Hlth, Ser C (a) | 1.08% | 05/01/39 | 900,000 | ||||
150,000 | Jackson TN Hosp Rev Ref, West TN Healthcare, Ser A | 5.00% | 04/01/20 | 150,899 | ||||
600,000 | TN St Energy Acquisition Corp Gas Rev Proj, Ser A (Mandatory put 05/01/23) | 4.00% | 05/01/48 | 649,620 | ||||
50,000 | TN St Energy Acquisition Corp Gas Rev, Ser C | 5.00% | 02/01/21 | 51,908 | ||||
1,752,427 | ||||||||
Texas – 9.1% | ||||||||
200,000 | Austin TX Indep Sch Dist Ref, Ser A | 4.50% | 08/01/20 | 203,594 | ||||
575,000 | Austin TX Indep Sch Dist Ref, Ser A | 5.00% | 08/01/20 | 586,741 | ||||
175,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fndtn Proj | 5.00% | 07/15/21 | 183,970 | ||||
125,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fndtn Proj | 5.00% | 07/15/23 | 138,421 | ||||
145,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fndtn Proj | 5.00% | 07/15/23 | 161,806 | ||||
110,000 | Houston TX Hotel Occupancy Tax & Spl Rev Ref Convention & Entertainment Facs Dept Hotel Tax | 5.00% | 09/01/20 | 112,503 | ||||
150,000 | New Hope Cultural Ed Facs Fin Corp TX Retmnt Fac Rev Ref Wesleyan Homes Inc Proj Fin Corp | 3.00% | 01/01/24 | 151,490 | ||||
180,000 | Oak Point TX Spl Assmnt Rev Wildridge Pub Impt Dist #1 Impt Area #2 Proj Accd Inv (c) | 3.50% | 09/01/23 | 183,051 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$500,000 | TX St Pub Fin Auth Ref Sthrn Univ Fing Sys, BAM | 5.00% | 11/01/21 | $530,945 | ||||
2,252,521 | ||||||||
Vermont – 0.6% | ||||||||
140,000 | Burlington VT, Ser B | 5.00% | 11/01/21 | 149,164 | ||||
Washington – 2.5% | ||||||||
600,000 | King Cnty WA Swr Rev Sub (Mandatory put 12/01/21) | 2.60% | 01/01/43 | 608,106 | ||||
Wisconsin – 0.9% | ||||||||
185,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/25 | 215,105 |
Total Investments – 97.9% | 24,195,789 | ||
(Cost $23,650,231) (d) | |||
Net Other Assets and Liabilities – 2.1% | 519,292 | ||
Net Assets – 100.0% | $24,715,081 |
(a) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(b) | Zero coupon bond. |
(c) | 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, 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. 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 January 31, 2020, securities noted as such amounted to $290,745 or 1.2% of net assets. |
(d) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $545,558 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $0. The net unrealized appreciation was $545,558. |
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 |
NATL-RE | National Public Finance Guarantee Corp. |
Total Value at 1/31/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 24,195,789 | $ — | $ 24,195,789 | $ — |
* | See Portfolio of Investments for state and territory breakout. |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 98.8% | ||||||||
Alabama – 5.2% | ||||||||
$1,055,000 | Columbia AL Indl Dev Brd Pollcontrol Rev Var Ref AL Pwr Co Proj, Ser A (a) | 1.32% | 12/01/37 | $1,055,000 | ||||
770,000 | Jefferson Cnty AL Ref Warrants, Ser B | 5.00% | 04/01/21 | 806,560 | ||||
240,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 3.00% | 11/01/20 | 242,748 | ||||
2,104,308 | ||||||||
Arkansas – 0.3% | ||||||||
115,000 | Ashdown AR Sch Dist #31 Ref | 1.65% | 04/01/23 | 115,041 | ||||
California – 0.3% | ||||||||
105,000 | CA St Stwd Cmntys Dev Auth Student Hsg Rev Ref Univ CA Irvine E Campus Apts Phase I | 5.00% | 05/15/20 | 106,193 | ||||
Colorado – 1.4% | ||||||||
170,000 | CO St Hlth Facs Auth Hosp Rev Ref Common Spirit Hlth, Ser B-1 (Mandatory put 08/01/25) | 5.00% | 08/01/49 | 198,997 | ||||
250,000 | Fronterra Vlg CO Met Dist #2 Ref, BAM | 4.00% | 12/01/20 | 255,915 | ||||
100,000 | Vauxmont Met Dist CO Ref Ltd Tax Conv Unltd Sub, AGM | 5.00% | 12/15/21 | 106,401 | ||||
561,313 | ||||||||
Connecticut – 2.1% | ||||||||
850,000 | Capital City CT Econ Dev Auth Pkg & Energy Fee Rev Adj, Ser B (a) | 1.00% | 06/15/34 | 850,000 | ||||
Florida – 10.0% | ||||||||
1,000,000 | Escambia Cnty FL Sol Wst Disp Var Gulf Pwr Co Proj, 2nd Ser (a) | 1.23% | 04/01/39 | 1,000,000 | ||||
500,000 | FL Dev Fin Corp Surface Transprtn Fac Rev, Virgin Trains USA Passenger Rail Proj, Ser B, AMT (Mandatory put 03/17/20) | 1.90% | 01/01/49 | 500,470 | ||||
1,000,000 | FL St Hsg Fin Corp Mf Mtge Rev Adj Parrish Oaks, Ser A (Mandatory put 02/01/22) | 1.25% | 02/01/23 | 1,002,600 | ||||
100,000 | Jea FL Elec Sys Rev Ref, Ser A | 5.00% | 10/01/20 | 102,483 | ||||
1,000,000 | Jea FL Wtr & Swr Rev Var, Ser B (a) | 1.03% | 10/01/41 | 1,000,000 | ||||
180,000 | Miami Dade Cnty FL Aviation Rev Ref, Ser B, AMT | 5.00% | 10/01/20 | 184,880 | ||||
210,000 | Parkway Ctr FL Cdd Spl Assmnt Rev Ref Assmt Area, Ser 1 | 3.50% | 05/01/20 | 210,804 | ||||
4,001,237 | ||||||||
Georgia – 0.3% | ||||||||
100,000 | Main Street Natural Gas Inc GA Gas Supply Rev, Ser A | 5.00% | 05/15/20 | 101,062 | ||||
Illinois – 2.8% | ||||||||
105,000 | Adams Cnty IL Sch Dist #172, BAM | 4.00% | 02/01/20 | 105,000 | ||||
320,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (b) | 12/01/20 | 315,923 | ||||
195,000 | IL St Sales Tax Rev Build IL | 5.00% | 06/15/20 | 197,434 | ||||
400,000 | IL St, Ser D | 5.00% | 11/01/20 | 410,880 | ||||
105,000 | Montgomery IL Ref Alt Rev Source | 2.63% | 12/01/21 | 106,094 | ||||
1,135,331 | ||||||||
Indiana – 8.2% | ||||||||
80,000 | Greater Clark IN Bldg Corp Greater Clark Sch Corp 1st Mtge Bonds, Ser 2019 | 4.00% | 07/15/21 | 83,404 | ||||
170,000 | Greater Clark IN Bldg Corp Greater Clark Sch Corp 1st Mtge Bonds, Ser 2019 | 4.00% | 01/15/22 | 179,709 | ||||
550,000 | Gtr Clark Cnty IN Schs, BANS | 2.00% | 12/31/20 | 553,712 | ||||
1,000,000 | Hammond IN Local Pub Impt Bond Bank Bond Bank Advance Funding Program Notes, Ser A | 2.25% | 06/30/20 | 1,002,320 | ||||
340,000 | Hammond IN Multi-Sch Bldg Corp 1st Mtge | 5.00% | 07/15/20 | 345,590 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Indiana (Continued) | ||||||||
$75,000 | IN St Bond Bank Spl Program Gas Rev, Ser A | 5.25% | 10/15/21 | $80,036 | ||||
1,000,000 | IN St Fin Auth Econ Dev Rev Ref Republic Svcs Inc Proj, Ser A, AMT (Mandatory put 03/02/20) | 1.35% | 05/01/34 | 1,000,090 | ||||
50,000 | IN St Fin Auth Rev Marian Univ Proj, Ser A | 5.00% | 09/15/20 | 51,124 | ||||
3,295,985 | ||||||||
Iowa – 1.2% | ||||||||
500,000 | IA St Fin Auth Rev Var Ref Trinity Hlth, Ser D (a) | 0.94% | 12/01/30 | 500,000 | ||||
Kansas – 1.7% | ||||||||
325,000 | KS St Dev Fin Auth Hlth Facs Ku Hlth Sys, Ser H | 5.00% | 03/01/26 | 326,001 | ||||
115,000 | KS St Dev Fin Auth Hlth Facs Ku Hlth Sys, Ser H | 5.13% | 03/01/39 | 115,366 | ||||
225,000 | Wyandotte Cnty KS Unif Sch Dist #202, Ser A, AGM | 2.00% | 09/01/21 | 228,755 | ||||
670,122 | ||||||||
Kentucky – 3.8% | ||||||||
385,000 | Ashland KY Med Center Rev Ref Ashland Hosp Corp Dba Kings Daughters Med Ctr | 5.00% | 02/01/21 | 398,718 | ||||
500,000 | KY St Econ Dev Fin Auth Var Catholic Hlth, Ser C (a) | 1.10% | 05/01/34 | 500,000 | ||||
350,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser C-1 | 4.00% | 06/01/20 | 353,265 | ||||
150,000 | KY St Pub Energy Auth Gas Sply Rev Var, Ser C | 4.00% | 08/01/21 | 156,285 | ||||
100,000 | Lewis Cnty KY Sch Dist Fin Corp, Ser B | 2.25% | 06/01/22 | 101,533 | ||||
1,509,801 | ||||||||
Louisiana – 3.2% | ||||||||
175,000 | New Orleans LA Wtr Rev Ref | 5.00% | 12/01/20 | 180,764 | ||||
600,000 | Saint James Parish LA Rev Var Nucor Steel LA, Ser A-1 (a) | 1.03% | 11/01/40 | 600,000 | ||||
500,000 | Saint John the Baptist Parish LA Rev Ref Marathon Oil Corp Proj, Ser A-1 (Mandatory put 04/01/23) | 2.00% | 06/01/37 | 508,840 | ||||
1,289,604 | ||||||||
Massachusetts – 3.0% | ||||||||
500,000 | Fall River MA, BANS | 3.50% | 02/07/20 | 500,140 | ||||
500,000 | MA St Bay Transprtn Auth Var Gen Transprtn Sys, Ser A2 (a) | 0.90% | 03/01/30 | 500,000 | ||||
220,000 | MA St Dev Fin Agy Rev Umass Boston Student Hsg Proj | 5.00% | 10/01/20 | 225,463 | ||||
1,225,603 | ||||||||
Michigan – 1.1% | ||||||||
300,000 | L’Anse Creuse MI Pub Schs (a) | 0.92% | 05/01/35 | 300,000 | ||||
125,000 | MI St Univ Revs Ref Gen, Ser C | 5.00% | 02/15/40 | 125,157 | ||||
425,157 | ||||||||
Minnesota – 4.4% | ||||||||
550,000 | Brooklyn Center MN Mf Hsg Dev Rev Unity Pl Proj (Mandatory put 12/01/20) | 1.95% | 12/01/21 | 551,512 | ||||
1,000,000 | Brooklyn Center MN Mf Hsg Dev Rev Var Sonder House Apartments Proj (Mandatory put 07/01/22) | 1.35% | 01/01/37 | 1,001,890 | ||||
200,000 | Minneapolis MN Mf Rev Riverside Homes Proj, Ser A (Mandatory put 05/01/20) | 2.40% | 11/01/21 | 200,118 | ||||
1,753,520 | ||||||||
Missouri – 1.2% | ||||||||
500,000 | MO St Hlth & Eductnl Facs Auth Var Ascension Hlth Seniorcredit Grp, Ser C4 (a) | 0.92% | 11/15/26 | 500,000 | ||||
Nebraska – 0.8% | ||||||||
300,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/22 | 328,410 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New Jersey – 2.7% | ||||||||
$500,000 | NJ St Econ Dev Auth Ref Sch Facs Constr, Ser K, AMBAC | 5.25% | 12/15/20 | $518,095 | ||||
60,000 | NJ St Econ Dev Auth Rev Ref, Ser XX | 5.00% | 06/15/20 | 60,862 | ||||
75,000 | NJ St Healthcare Facs Fing Auth Rev Ref Hackensack Meridian Hlth, Ser A | 5.00% | 07/01/20 | 76,246 | ||||
160,000 | NJ St Transprtn Trust Fnd Auth Transprtn Sys, Ser B, NATL-RE | 5.50% | 12/15/20 | 166,133 | ||||
50,000 | NJ St Transprtn Trust Fund Auth Transprtn Program, Ser AA | 5.00% | 06/15/20 | 50,719 | ||||
100,000 | NJ St Transprtn Trust Fund Auth Transprtn Sys, Ser A | 5.00% | 06/15/20 | 101,437 | ||||
100,000 | NJ St Transprtn Trust Fund Auth Transprtn Sys, Ser A | 5.25% | 12/15/20 | 103,619 | ||||
1,077,111 | ||||||||
New Mexico – 1.3% | ||||||||
500,000 | Farmington NM Poll Control Rev Ref Pub Svc Company Proj, Ser B (Mandatory put 06/01/22) | 2.13% | 06/01/40 | 508,380 | ||||
New York – 10.7% | ||||||||
300,000 | Met Transprtn Auth NY Rev Transprtn, Ser A-2S | 4.00% | 02/01/22 | 316,743 | ||||
115,000 | Met Transprtn Auth NY Rev, Ser B-1A, BANS | 5.00% | 05/15/20 | 116,271 | ||||
250,000 | Met Transprtn Auth NY Rev, Ser B-1C, BANS | 5.00% | 05/15/20 | 252,762 | ||||
500,000 | Met Transprtn Auth NY Rev, Ser E, BANS | 4.00% | 09/01/20 | 508,430 | ||||
600,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev 2nd Gen Resolution Fiscal 2019, Ser BB (a) | 0.95% | 06/15/51 | 600,000 | ||||
190,000 | NY St Hsg Fin Agy Var Ref Affordable Hsg, Ser F, Bid Grp 2 (Mandatory put 05/01/20) | 1.80% | 05/01/50 | 190,116 | ||||
500,000 | NY St Urban Dev Corp Rev Var St Personal Income Tax St Facs, Ser A3B (a) | 0.95% | 03/15/33 | 500,000 | ||||
825,000 | Tompkins Cnty NY, Ser B, AMT, BANS | 2.75% | 02/20/20 | 825,627 | ||||
1,000,000 | Yonkers NY Rans | 2.00% | 06/29/20 | 1,003,140 | ||||
4,313,089 | ||||||||
North Carolina – 0.7% | ||||||||
300,000 | Greensboro NC Var Pub Impt, Ser B (a) | 0.90% | 02/01/21 | 300,000 | ||||
North Dakota – 5.0% | ||||||||
1,000,000 | ND St Hsg Fin Agy Var Hsg Home Mtge Fin Program, Ser B, AMT (a) | 1.00% | 07/01/44 | 1,000,000 | ||||
500,000 | W Fargo ND Ref & Impt Temp | 2.15% | 05/01/21 | 500,425 | ||||
500,000 | Watford City ND St Aid Ctfs Indebtedness Ref, AGM | 3.00% | 12/01/21 | 514,910 | ||||
2,015,335 | ||||||||
Ohio – 3.7% | ||||||||
1,000,000 | East Knox OH Local Sch Dist BANS | 2.38% | 06/11/20 | 1,004,040 | ||||
500,000 | Franklin Cnty OH Rev Var Che Trinity Hlth Cred Grp, Ser OH (Mandatory put 05/01/20) | 1.25% | 12/01/46 | 500,000 | ||||
1,504,040 | ||||||||
Oklahoma – 4.1% | ||||||||
700,000 | OK St Dev Fin Auth Gilcrease Expressway W Proj P3 Proj, AMT | 1.63% | 07/06/23 | 701,645 | ||||
430,000 | OK St Dev Fin Auth Var Solid Waste Disp, Ser A | 2.38% | 12/01/21 | 438,622 | ||||
465,000 | Tulsa OK Arpts Impt Trust Ref, Ser A, AMT, BAM | 5.00% | 06/01/22 | 505,171 | ||||
1,645,438 | ||||||||
Pennsylvania – 3.3% | ||||||||
500,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Center, Ser A | 5.00% | 07/15/20 | 509,170 | ||||
185,000 | Central Greene PA Sch Dist Ref, Ser B, BAM | 5.00% | 02/15/20 | 185,233 | ||||
125,000 | PA St Turnpike Commn Turnpike Rev Ref Sub | 5.00% | 06/01/20 | 126,654 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$500,000 | Philadelphia PA Sch Dist Trans, Ser C | 4.00% | 03/31/20 | $502,460 | ||||
1,323,517 | ||||||||
Tennessee – 4.4% | ||||||||
500,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Var Catholic Hlth, Ser C (a) | 1.08% | 05/01/39 | 500,000 | ||||
500,000 | Clarksville TN Pub Bldg Auth Rev Adj Pooled Fing TN Mun Bd Fd (a) | 0.98% | 07/01/37 | 500,000 | ||||
500,000 | TN St Energy Acquisition Corp Gas Rev, Ser C | 5.00% | 02/01/20 | 500,000 | ||||
225,000 | TN St Energy Acquisition Corp Gas Rev, Ser C | 5.00% | 02/01/23 | 249,046 | ||||
1,749,046 | ||||||||
Texas – 9.6% | ||||||||
105,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fndtn Proj | 5.00% | 07/15/20 | 106,697 | ||||
200,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fndtn Proj | 5.00% | 07/15/23 | 223,180 | ||||
380,000 | Clear Creek TX Indep Sch Dist Ref, Ser A | 5.00% | 02/15/20 | 380,482 | ||||
180,000 | Lewisville TX Ref & Impt | 5.00% | 02/15/20 | 180,229 | ||||
1,000,000 | Port of Port Arthur TX Nav Dist Var Motiva Enterprises, Subser D (a) | 1.15% | 11/01/40 | 1,000,000 | ||||
1,000,000 | TX St Trans | 4.00% | 08/27/20 | 1,017,310 | ||||
600,000 | TX St Var, Veterans (a) | 1.00% | 06/01/50 | 600,000 | ||||
365,000 | TX St Veterans (a) | 0.95% | 12/01/49 | 365,000 | ||||
3,872,898 | ||||||||
Virginia – 1.2% | ||||||||
500,000 | Norfolk VA Var (a) | 0.90% | 08/01/37 | 500,000 | ||||
Wisconsin – 1.1% | ||||||||
260,000 | WI St Hlth & Eductnl Facs Auth Rev Beloit Hlth Sys Inc, Ser B | 5.00% | 04/01/30 | 261,672 | ||||
175,000 | WI St Ref, Ser 1 | 5.00% | 11/01/20 | 180,409 | ||||
442,081 |
Total Investments – 98.8% | 39,723,622 | ||
(Cost $39,623,227) (c) | |||
Net Other Assets and Liabilities – 1.2% | 464,841 | ||
Net Assets – 100.0% | $40,188,463 |
(a) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(b) | Zero coupon bond. |
(c) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $100,500 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $105. The net unrealized appreciation was $100,395. |
AGM | Assured Guaranty Municipal Corp. |
AMBAC | American Municipal Bond Assurance Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
BANS | Bond Anticipation Notes |
NATL-RE | National Public Finance Guarantee Corp. |
Total Value at 1/31/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 39,723,622 | $ — | $ 39,723,622 | $ — |
* | See Portfolio of Investments for state breakout. |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | ||
ASSETS: | |||
Investments, at value | $ 24,195,789 | $ 39,723,622 | |
Cash | 334,975 | 1,785,928 | |
Interest receivable | 193,597 | 246,436 | |
Total Assets | 24,724,361 | 41,755,986 | |
LIABILITIES: | |||
Payables: | |||
Investment advisory fees payable | 9,280 | 11,756 | |
Investment securities purchased | — | 1,555,767 | |
Total Liabilities | 9,280 | 1,567,523 | |
NET ASSETS | $24,715,081 | $40,188,463 | |
NET ASSETS consist of: | |||
Paid-in capital | $ 24,114,475 | $ 40,079,120 | |
Par value | 12,000 | 20,000 | |
Accumulated distributable earnings (loss) | 588,606 | 89,343 | |
NET ASSETS | $24,715,081 | $40,188,463 | |
NET ASSET VALUE,per share | $20.60 | $20.09 | |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 1,200,002 | 2,000,002 | |
Investments, at cost | $23,650,231 | $39,623,227 |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | |||
INVESTMENT INCOME: | ||||
Interest | $ 283,038 | $ 214,186 | ||
Total investment income | 283,038 | 214,186 | ||
EXPENSES: | ||||
Investment advisory fees | 58,881 | 57,393 | ||
Total expenses | 58,881 | 57,393 | ||
Fees waived by the investment advisor | (10,706) | (12,754) | ||
Net expenses | 48,175 | 44,639 | ||
NET INVESTMENT INCOME (LOSS) | 234,863 | 169,547 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on investments | 13,782 | 449 | ||
Net change in unrealized appreciation (depreciation) on investments | 135,026 | 32,329 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 148,808 | 32,778 | ||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 383,671 | $ 202,325 |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | ||||||
Six Months Ended 1/31/2020 (Unaudited) | Period Ended 7/31/2019 (a) | Six Months Ended 1/31/2020 (Unaudited) | Period Ended 7/31/2019 (a) | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 234,863 | $ 330,083 | $ 169,547 | $ 258,259 | |||
Net realized gain (loss) | 13,782 | 7,171 | 449 | (557) | |||
Net change in unrealized appreciation (depreciation) | 135,026 | 410,532 | 32,329 | 68,066 | |||
Net increase (decrease) in net assets resulting from operations | 383,671 | 747,786 | 202,325 | 325,768 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (240,210) | (302,641) | (190,750) | (248,000) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 10,251,953 | 22,069,680 | 20,079,080 | 20,020,040 | |||
Cost of shares redeemed | (5,134,018) | (3,061,140) | — | — | |||
Net increase (decrease) in net assets resulting from shareholder transactions | 5,117,935 | 19,008,540 | 20,079,080 | 20,020,040 | |||
Total increase (decrease) in net assets | 5,261,396 | 19,453,685 | 20,090,655 | 20,097,808 | |||
NET ASSETS: | |||||||
Beginning of period | 19,453,685 | — | 20,097,808 | — | |||
End of period | $24,715,081 | $19,453,685 | $40,188,463 | $20,097,808 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 950,002 | — | 1,000,002 | — | |||
Shares sold | 500,000 | 1,100,002 | 1,000,000 | 1,000,002 | |||
Shares redeemed | (250,000) | (150,000) | — | — | |||
Shares outstanding, end of period | 1,200,002 | 950,002 | 2,000,002 | 1,000,002 |
(a) | Inception date is November 1, 2018, which is consistent with the commencement of operations and is the date the initial creation units were established. |
Six Months Ended 1/31/2020 (Unaudited) | Period Ended 7/31/2019 (a) | ||
Net asset value, beginning of period | $ 20.48 | $ 20.00 | |
Income from investment operations: | |||
Net investment income (loss) | 0.22 | 0.34 | |
Net realized and unrealized gain (loss) | 0.13 | 0.45 | |
Total from investment operations | 0.35 | 0.79 | |
Distributions paid to shareholders from: | |||
Net investment income | (0.23) | (0.31) | |
Net asset value, end of period | $20.60 | $20.48 | |
Total return (b) | 1.72% | 3.98% | |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $ 24,715 | $ 19,454 | |
Ratio of total expenses to average net assets | 0.55% (c) | 0.55% (c) | |
Ratio of net expenses to average net assets | 0.45% (c) | 0.45% (c) | |
Ratio of net investment income (loss) to average net assets | 2.19% (c) | 2.23% (c) | |
Portfolio turnover rate (d) | 6% | 66% |
(a) | Inception date is November 1, 2018, 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. The total return would have been lower if certain fees had not been waived by the investment advisor. |
(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. |
Six Months Ended 1/31/2020 (Unaudited) | Period Ended 7/31/2019 (a) | ||
Net asset value, beginning of period | $ 20.10 | $ 20.00 | |
Income from investment operations: | |||
Net investment income (loss) | 0.13 | 0.26 | |
Net realized and unrealized gain (loss) | 0.01 | 0.09 | |
Total from investment operations | 0.14 | 0.35 | |
Distributions paid to shareholders from: | |||
Net investment income | (0.15) | (0.25) | |
Net asset value, end of period | $20.09 | $20.10 | |
Total return (b) | 0.72% | 1.75% | |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $ 40,188 | $ 20,098 | |
Ratio of total expenses to average net assets | 0.45% (c) | 0.45% (c) | |
Ratio of net expenses to average net assets | 0.35% (c) | 0.35% (c) | |
Ratio of net investment income (loss) to average net assets | 1.33% (c) | 1.73% (c) | |
Portfolio turnover rate (d) | 72% | 145% |
(a) | Inception date is November 1, 2018, 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. The total return would have been lower if certain fees had not been waived by the investment advisor. |
(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 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. |
Distributions paid from Tax-Exempt Income | Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | ||||
First Trust Short Duration Managed Municipal ETF | $ 294,917 | $ 7,724 | $ — | $ — | |||
First Trust Ultra Short Duration Municipal ETF | 247,128 | 872 | — | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust Short Duration Managed Municipal ETF | $ 29,899 | $ — | $ 415,246 | ||
First Trust Ultra Short Duration Municipal ETF | 1,275 | (463) | 76,956 |
Capital Loss Available | |
First Trust Short Duration Managed Municipal ETF | $ — |
First Trust Ultra Short Duration Municipal ETF | 463 |
Purchases | Sales | ||
First Trust Short Duration Managed Municipal ETF | $ 8,021,491 | $ 1,317,376 | |
First Trust Ultra Short Duration Municipal ETF | 31,607,894 | 13,750,000 | |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
(a) | Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period are 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.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(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: | April 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: | April 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: | April 7, 2020 |
* Print the name and title of each signing officer under his or her signature.