UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22245
First Trust Exchange-Traded Fund III
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant’s telephone number, including area code: (630) 765-8000
Date of fiscal year end: October 31
Date of reporting period: April 30, 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:
For the Six Months Ended
April 30, 2020
1 | |
2 | |
5 | |
6 | |
7 | |
16 | |
17 | |
18 | |
19 | |
20 | |
27 |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
6 Months Ended 4/30/20 | 1 Year Ended 4/30/20 | 5 Years Ended 4/30/20 | Inception (2/11/13) to 4/30/20 | 5 Years Ended 4/30/20 | Inception (2/11/13) to 4/30/20 | ||
Fund Performance | |||||||
NAV | -6.74% | -0.91% | 4.57% | 4.26% | 25.02% | 35.14% | |
Market Price | -7.05% | -1.29% | 4.44% | 4.21% | 24.25% | 34.66% | |
Index Performance | |||||||
ICE BofA Fixed Rate Preferred Securities Index | -1.86% | 3.80% | 5.15% | 5.34% | 28.53% | 45.56% | |
ICE BofA U.S. Capital Securities Index | -1.86% | 5.89% | 4.36% | 5.35% | 23.78% | 45.61% | |
Blended Index(1) | -1.83% | 4.87% | 4.77% | 5.36% | 26.24% | 45.77% |
(1) | The Blended Index consists of a 50/50 blend of the ICE BofA Fixed Rate Preferred Securities Index and the ICE BofA U.S. Capital Securities Index. The Blended Index reflects the diverse allocation of institutional preferred and hybrid securities in the Fund’s portfolio. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indexes are unmanaged and an investor cannot invest directly in an index. The Blended Index returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 50-50 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Blended Index for each period shown above. |
Sector Allocation | % of Total Investments |
Financials | 69.6% |
Utilities | 10.9 |
Energy | 6.2 |
Communication Services | 3.5 |
Consumer Staples | 3.5 |
Real Estate | 2.8 |
Materials | 1.8 |
Industrials | 1.7 |
Total | 100.0% |
Credit Rating(2) | % of Total Investments |
A | 0.1% |
A- | 0.9 |
BBB+ | 10.6 |
BBB | 24.4 |
BBB- | 30.5 |
BB+ | 18.8 |
BB | 6.7 |
BB- | 4.2 |
B+ | 0.3 |
B | 0.1 |
Not Rated | 3.4 |
Total | 100.0% |
Country Allocation | % of Total Investments |
United States | 49.8% |
United Kingdom | 9.3 |
Canada | 7.9 |
France | 6.9 |
Switzerland | 4.8 |
Australia | 4.0 |
Italy | 3.8 |
Netherlands | 3.8 |
Bermuda | 3.2 |
Japan | 1.5 |
Spain | 1.4 |
Mexico | 0.9 |
Denmark | 0.7 |
Finland | 0.6 |
Cayman Islands | 0.5 |
Chile | 0.4 |
Sweden | 0.3 |
Jersey | 0.2 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Emera, Inc., Series 16-A | 3.2% |
Enel S.p.A. | 2.1 |
Barclays PLC | 2.0 |
Barclays PLC | 1.8 |
GMAC Capital Trust I, Series 2 | 1.5 |
Lloyds Banking Group PLC | 1.3 |
Charles Schwab (The) Corp., Series G | 1.2 |
BHP Billiton Finance USA Ltd. | 1.2 |
Goldman Sachs Group (The), Inc., Series Q | 1.2 |
Credit Agricole S.A. | 1.1 |
Total | 16.6% |
(2) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/1/14 – 10/31/15 | 214 | 16 | 0 | 0 |
11/1/15 – 10/31/16 | 212 | 13 | 0 | 0 |
11/1/16 – 10/31/17 | 232 | 1 | 0 | 0 |
11/1/17 – 10/31/18 | 174 | 0 | 0 | 0 |
11/1/18 – 10/31/19 | 183 | 0 | 0 | 0 |
11/1/19 – 4/30/20 | 89 | 3 | 7 | 1 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/1/14 – 10/31/15 | 21 | 0 | 0 | 0 |
11/1/15 – 10/31/16 | 26 | 1 | 0 | 0 |
11/1/16 – 10/31/17 | 19 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 78 | 0 | 0 | 0 |
11/1/18 – 10/31/19 | 66 | 1 | 1 | 0 |
11/1/19 – 4/30/20 | 14 | 1 | 3 | 6 |
(3) | The Blended Index consists of a 50/50 blend of the ICE BofA Fixed Rate Preferred Securities Index and the ICE BofA U.S. Capital Securities Index. The Blended Index reflects the diverse allocation of institutional preferred and hybrid securities in the Fund’s portfolio. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indexes are unmanaged and an investor cannot invest directly in an index. The Blended Index returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 50-50 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Blended Index for each period shown above. |
Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Preferred Securities and Income ETF (FPE) | ||||
Actual | $1,000.00 | $932.60 | 0.85% | $4.08 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (November 1, 2019 through April 30, 2020), multiplied by 182/366 (to reflect the six-month period). |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES – 30.7% | ||||||||
Banks – 6.8% | ||||||||
140,831 | Banco Santander S.A., Series 6, 3 Mo. LIBOR + 0.52%, 4.00% Floor (a) | 4.00% | (b) | $2,856,053 | ||||
315,190 | Bank of America Corp., Series CC | 6.20% | (b) | 8,226,459 | ||||
204,579 | Bank of America Corp., Series GG | 6.00% | (b) | 5,548,182 | ||||
495,108 | Bank of America Corp., Series HH | 5.88% | (b) | 13,169,873 | ||||
961,704 | Citigroup Capital XIII, 3 Mo. LIBOR + 6.37% (a) | 7.13% | 10/30/40 | 25,744,816 | ||||
432,995 | Citigroup, Inc., Series K (c) | 6.88% | (b) | 11,846,743 | ||||
101,910 | Citizens Financial Group, Inc., Series E | 5.00% | (b) | 2,473,356 | ||||
740,430 | Fifth Third Bancorp, Series A | 6.00% | (b) | 20,206,335 | ||||
103,097 | Fifth Third Bancorp, Series I (c) | 6.63% | (b) | 2,752,690 | ||||
415,231 | First Citizens BancShares, Inc., Series A | 5.38% | (b) | 10,459,669 | ||||
42,422 | First Republic Bank, Series I | 5.50% | (b) | 1,122,910 | ||||
3,060,368 | GMAC Capital Trust I, Series 2, 3 Mo. LIBOR + 5.79% (a) | 7.48% | 02/15/40 | 69,011,298 | ||||
1,078,586 | Huntington Bancshares, Inc., Series D | 6.25% | (b) | 27,708,874 | ||||
152,117 | JPMorgan Chase & Co., Series AA | 6.10% | (b) | 3,926,140 | ||||
528,837 | JPMorgan Chase & Co., Series DD | 5.75% | (b) | 14,093,506 | ||||
2 | JPMorgan Chase & Co., Series EE (d) | 6.00% | (b) | 55 | ||||
30,260 | KeyCorp, Series E (c) | 6.13% | (b) | 859,989 | ||||
8,434 | KeyCorp, Series F | 5.65% | (b) | 216,079 | ||||
287,901 | KeyCorp, Series G | 5.63% | (b) | 7,416,330 | ||||
1,032,590 | People’s United Financial, Inc., Series A (c) | 5.63% | (b) | 26,331,045 | ||||
572,287 | Regions Financial Corp., Series A | 6.38% | (b) | 14,461,692 | ||||
103,779 | Regions Financial Corp., Series B (c) | 6.38% | (b) | 2,810,335 | ||||
58,162 | Synovus Financial Corp., Series D (c) | 6.30% | (b) | 1,323,186 | ||||
503,786 | Synovus Financial Corp., Series E (c) | 5.88% | (b) | 10,846,513 | ||||
73,563 | US Bancorp, Series K | 5.50% | (b) | 1,949,420 | ||||
66,546 | Valley National Bancorp, Series A (c) | 6.25% | (b) | 1,651,006 | ||||
127,343 | Valley National Bancorp, Series B (c) | 5.50% | (b) | 2,751,882 | ||||
48,566 | Wells Fargo & Co., Series O | 5.13% | (b) | 1,201,523 | ||||
3,761 | Wells Fargo & Co., Series P | 5.25% | (b) | 94,213 | ||||
219,143 | Wells Fargo & Co., Series V | 6.00% | (b) | 5,684,569 | ||||
43,023 | Wells Fargo & Co., Series W | 5.70% | (b) | 1,104,400 | ||||
596,618 | Wells Fargo & Co., Series X | 5.50% | (b) | 15,303,252 | ||||
294,203 | Wells Fargo & Co., Series Y | 5.63% | (b) | 7,699,293 | ||||
69,536 | Western Alliance Bancorp | 6.25% | 07/01/56 | 1,786,380 | ||||
181,196 | Wintrust Financial Corp., Series D (c) (d) | 6.50% | (b) | 4,571,575 | ||||
327,209,641 | ||||||||
Capital Markets – 3.2% | ||||||||
548,858 | Affiliated Managers Group, Inc. | 5.88% | 03/30/59 | 13,847,687 | ||||
35,606 | Apollo Global Management, Inc., Series A | 6.38% | (b) | 930,385 | ||||
598,780 | Apollo Global Management, Inc., Series B | 6.38% | (b) | 15,358,707 | ||||
157,887 | Goldman Sachs Group (The), Inc., Series J (c) | 5.50% | (b) | 3,986,647 | ||||
733,652 | Goldman Sachs Group (The), Inc., Series K (c) | 6.38% | (b) | 18,935,558 | ||||
396,528 | Morgan Stanley, Series E (c) | 7.13% | (b) | 10,785,561 | ||||
1,864,662 | Morgan Stanley, Series F (c) | 6.88% | (b) | 50,364,521 | ||||
115,057 | Morgan Stanley, Series K (c) | 5.85% | (b) | 3,035,204 | ||||
335,286 | Oaktree Capital Group LLC, Series A | 6.63% | (b) | 8,707,377 | ||||
546,503 | Oaktree Capital Group LLC, Series B | 6.55% | (b) | 14,001,407 | ||||
481,472 | State Street Corp., Series G (c) | 5.35% | (b) | 13,038,262 | ||||
115,611 | Stifel Financial Corp., Series A | 6.25% | (b) | 2,891,431 | ||||
155,882,747 | ||||||||
Consumer Finance – 0.7% | ||||||||
68,056 | Capital One Financial Corp., Series F | 6.20% | (b) | 1,745,636 |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES (Continued) | ||||||||
Consumer Finance (Continued) | ||||||||
46,913 | Capital One Financial Corp., Series G | 5.20% | (b) | $1,166,726 | ||||
36,231 | Capital One Financial Corp., Series H | 6.00% | (b) | 948,165 | ||||
852,107 | Capital One Financial Corp., Series I | 5.00% | (b) | 19,768,883 | ||||
520,208 | Capital One Financial Corp., Series J | 4.80% | (b) | 11,501,799 | ||||
35,131,209 | ||||||||
Diversified Financial Services – 0.8% | ||||||||
473,775 | Equitable Holdings, Inc., Series A | 5.25% | (b) | 11,427,453 | ||||
872,954 | National Rural Utilities Cooperative Finance Corp. | 5.50% | 05/15/64 | 23,945,128 | ||||
30,941 | Voya Financial, Inc., Series B (c) | 5.35% | (b) | 799,516 | ||||
36,172,097 | ||||||||
Diversified Telecommunication Services – 1.7% | ||||||||
155,862 | AT&T, Inc. | 5.35% | 11/01/66 | 4,016,564 | ||||
57,629 | AT&T, Inc. | 5.63% | 08/01/67 | 1,521,982 | ||||
939,896 | AT&T, Inc., Series C | 4.75% | (b) | 21,627,007 | ||||
1,043,884 | Qwest Corp. | 6.88% | 10/01/54 | 24,698,295 | ||||
66,840 | Qwest Corp. | 6.63% | 09/15/55 | 1,560,714 | ||||
366,653 | Qwest Corp. | 6.50% | 09/01/56 | 8,506,350 | ||||
858,355 | Qwest Corp. | 6.75% | 06/15/57 | 20,488,934 | ||||
82,419,846 | ||||||||
Electric Utilities – 0.4% | ||||||||
221,057 | NextEra Energy Capital Holdings, Inc., Series N | 5.65% | 03/01/79 | 5,880,116 | ||||
251,209 | PPL Capital Funding, Inc., Series B | 5.90% | 04/30/73 | 6,312,882 | ||||
300,720 | SCE Trust V, Series K (c) | 5.45% | (b) | 7,109,021 | ||||
74,994 | Southern (The) Co. | 5.25% | 12/01/77 | 1,958,094 | ||||
21,260,113 | ||||||||
Equity Real Estate Investment Trusts – 1.7% | ||||||||
480,809 | American Homes 4 Rent, Series D | 6.50% | (b) | 12,092,346 | ||||
1,090,867 | American Homes 4 Rent, Series E | 6.35% | (b) | 27,893,469 | ||||
409,441 | Digital Realty Trust, Inc., Series K | 5.85% | (b) | 10,801,054 | ||||
474,860 | Digital Realty Trust, Inc., Series L | 5.20% | (b) | 12,199,154 | ||||
213,606 | Farmland Partners, Inc., Series B, steps up 10/01/24 to 10.00% (e) | 6.00% | (b) | 4,744,189 | ||||
331,880 | Global Net Lease, Inc., Series A | 7.25% | (b) | 7,381,011 | ||||
30,772 | National Storage Affiliates Trust, Series A | 6.00% | (b) | 784,686 | ||||
122,539 | Public Storage, Series F | 5.15% | (b) | 3,227,677 | ||||
26,415 | Urstadt Biddle Properties, Inc., Series H | 6.25% | (b) | 541,508 | ||||
79,665,094 | ||||||||
Food Products – 1.2% | ||||||||
198,395 | CHS, Inc., Series 1 | 7.88% | (b) | 5,342,777 | ||||
795,045 | CHS, Inc., Series 2 (c) | 7.10% | (b) | 20,909,684 | ||||
862,979 | CHS, Inc., Series 3 (c) | 6.75% | (b) | 21,850,628 | ||||
374,452 | CHS, Inc., Series 4 | 7.50% | (b) | 9,851,832 | ||||
57,954,921 | ||||||||
Gas Utilities – 0.3% | ||||||||
431,487 | South Jersey Industries, Inc. | 5.63% | 09/16/79 | 10,985,659 | ||||
104,106 | Spire, Inc., Series A | 5.90% | (b) | 2,782,753 | ||||
13,768,412 | ||||||||
Independent Power & Renewable Electricity Producers – 0.2% | ||||||||
415,594 | Brookfield Renewable Partners L.P., Series 17 | 5.25% | (b) | 10,784,664 |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES (Continued) | ||||||||
Insurance – 7.2% | ||||||||
1,411,387 | Aegon Funding Co., LLC | 5.10% | 12/15/49 | $33,887,402 | ||||
524,545 | Allstate (The) Corp., Series H | 5.10% | (b) | 13,428,352 | ||||
1,984,811 | American Equity Investment Life Holding Co., Series A (c) | 5.95% | (b) | 46,107,160 | ||||
211,856 | AmTrust Financial Services, Inc. | 7.25% | 06/15/55 | 3,512,572 | ||||
250,540 | AmTrust Financial Services, Inc. | 7.50% | 09/15/55 | 4,264,191 | ||||
42,065 | Arch Capital Group Ltd., Series E | 5.25% | (b) | 1,014,187 | ||||
19,942 | Arch Capital Group Ltd., Series F | 5.45% | (b) | 496,955 | ||||
148,626 | Aspen Insurance Holdings Ltd. | 5.63% | (b) | 3,549,189 | ||||
742,649 | Aspen Insurance Holdings Ltd. | 5.63% | (b) | 17,660,193 | ||||
1,223,325 | Aspen Insurance Holdings Ltd. (c) | 5.95% | (b) | 29,604,465 | ||||
108,385 | Assured Guaranty Municipal Holdings, Inc. | 6.25% | 11/01/02 | 2,689,032 | ||||
1,450,507 | Athene Holding Ltd., Series A (c) | 6.35% | (b) | 35,203,805 | ||||
19,131 | Athene Holding Ltd., Series B | 5.63% | (b) | 444,030 | ||||
192,270 | Axis Capital Holdings Ltd., Series E | 5.50% | (b) | 4,733,687 | ||||
856,232 | Delphi Financial Group, Inc., 3 Mo. LIBOR + 3.19% (a) | 4.88% | 05/15/37 | 19,265,220 | ||||
993,365 | Enstar Group Ltd., Series D (c) | 7.00% | (b) | 24,704,988 | ||||
563,999 | Global Indemnity Ltd. | 7.75% | 08/15/45 | 13,366,776 | ||||
456,886 | Global Indemnity Ltd. | 7.88% | 04/15/47 | 10,965,264 | ||||
15,504 | Hanover Insurance Group (The), Inc. | 6.35% | 03/30/53 | 397,367 | ||||
49,771 | Hartford Financial Services Group (The), Inc., Series G | 6.00% | (b) | 1,328,388 | ||||
369,121 | National General Holdings Corp. | 7.63% | 09/15/55 | 9,154,201 | ||||
76,843 | National General Holdings Corp., Series B | 7.50% | (b) | 1,736,652 | ||||
206,076 | National General Holdings Corp., Series C | 7.50% | (b) | 4,770,659 | ||||
315,943 | PartnerRe Ltd., Series H | 7.25% | (b) | 8,157,648 | ||||
156,940 | Phoenix Cos. (The), Inc. | 7.45% | 01/15/32 | 2,198,729 | ||||
306,795 | Prudential Financial, Inc. | 5.75% | 12/15/52 | 7,755,778 | ||||
203,336 | Prudential Financial, Inc. | 5.70% | 03/15/53 | 5,138,301 | ||||
6,663 | Reinsurance Group of America, Inc. (c) | 6.20% | 09/15/42 | 168,774 | ||||
952,056 | Reinsurance Group of America, Inc. (c) | 5.75% | 06/15/56 | 24,296,469 | ||||
588,299 | W.R. Berkley Corp. | 5.63% | 04/30/53 | 14,813,369 | ||||
76,162 | W.R. Berkley Corp. | 5.75% | 06/01/56 | 1,940,608 | ||||
346,754,411 | ||||||||
Mortgage Real Estate Investment Trusts – 1.1% | ||||||||
528,799 | AGNC Investment Corp., Series C (c) | 7.00% | (b) | 12,162,377 | ||||
290,783 | AGNC Investment Corp., Series D (c) | 6.88% | (b) | 6,458,290 | ||||
49,435 | AGNC Investment Corp., Series E (c) | 6.50% | (b) | 1,109,816 | ||||
570,981 | AGNC Investment Corp., Series F (c) | 6.13% | (b) | 12,424,547 | ||||
678,680 | Annaly Capital Management, Inc., Series F (c) | 6.95% | (b) | 15,283,874 | ||||
238,005 | Annaly Capital Management, Inc., Series I (c) | 6.75% | (b) | 5,345,592 | ||||
52,784,496 | ||||||||
Multi-Utilities – 1.7% | ||||||||
559,070 | Algonquin Power & Utilities Corp. (c) | 6.88% | 10/17/78 | 15,430,332 | ||||
1,027,410 | Algonquin Power & Utilities Corp., Series 19-A (c) | 6.20% | 07/01/79 | 28,079,115 | ||||
39,800 | CMS Energy Corp. | 5.88% | 10/15/78 | 1,065,048 | ||||
246,396 | CMS Energy Corp. | 5.88% | 03/01/79 | 6,770,962 | ||||
72,696 | Dominion Energy, Inc., Series A | 5.25% | 07/30/76 | 1,861,745 | ||||
764,853 | Integrys Holding, Inc. (c) | 6.00% | 08/01/73 | 19,312,538 | ||||
427,313 | Just Energy Group, Inc., Series A (c) | 8.50% | (b) | 927,269 | ||||
336,000 | NiSource, Inc., Series B (c) | 6.50% | (b) | 9,263,520 | ||||
82,710,529 | ||||||||
Oil, Gas & Consumable Fuels – 1.5% | ||||||||
852,668 | Enbridge, Inc., Series B (c) | 6.38% | 04/15/78 | 20,046,225 | ||||
13,860 | Energy Transfer Operating L.P., Series C (c) | 7.38% | (b) | 290,506 |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES (Continued) | ||||||||
Oil, Gas & Consumable Fuels (Continued) | ||||||||
58,118 | Energy Transfer Operating L.P., Series D (c) | 7.63% | (b) | $1,217,572 | ||||
1,755,459 | Energy Transfer Operating L.P., Series E (c) | 7.60% | (b) | 37,127,958 | ||||
137,951 | NuStar Energy L.P., Series A (c) | 8.50% | (b) | 2,386,552 | ||||
695,381 | NuStar Logistics, L.P., 3 Mo. LIBOR + 6.73% (a) | 7.95% | 01/15/43 | 13,267,869 | ||||
74,336,682 | ||||||||
Real Estate Management & Development – 0.7% | ||||||||
777,105 | Brookfield Property Partners L.P., Series A | 5.75% | (b) | 15,542,100 | ||||
139,177 | Brookfield Property Partners L.P., Series A-1 | 6.50% | (b) | 2,985,347 | ||||
813,233 | Brookfield Property Partners L.P., Series A2 | 6.38% | (b) | 17,460,112 | ||||
35,987,559 | ||||||||
Thrifts & Mortgage Finance – 0.5% | ||||||||
962,879 | New York Community Bancorp, Inc., Series A (c) | 6.38% | (b) | 24,023,831 | ||||
Trading Companies & Distributors – 0.3% | ||||||||
913,210 | Air Lease Corp., Series A (c) | 6.15% | (b) | 16,456,044 | ||||
Wireless Telecommunication Services – 0.7% | ||||||||
272,937 | United States Cellular Corp. | 7.25% | 12/01/63 | 6,777,026 | ||||
1,071,197 | United States Cellular Corp. | 7.25% | 12/01/64 | 27,508,339 | ||||
34,285,365 | ||||||||
Total $25 Par Preferred Securities | 1,487,587,661 | |||||||
(Cost $1,545,743,746) | ||||||||
$100 PAR PREFERRED SECURITIES – 1.2% | ||||||||
Banks – 0.9% | ||||||||
86,909 | AgriBank FCB (c) | 6.88% | (b) | 8,777,809 | ||||
62,100 | CoBank ACB, Series F (c) | 6.25% | (b) | 6,334,200 | ||||
118,353 | CoBank ACB, Series G | 6.13% | (b) | 12,042,418 | ||||
49,375 | CoBank ACB, Series H (c) | 6.20% | (b) | 5,122,656 | ||||
103,015 | Farm Credit Bank of Texas (c) (f) | 6.75% | (b) | 10,404,515 | ||||
42,681,598 | ||||||||
Consumer Finance – 0.3% | ||||||||
339,797 | SLM Corp., Series B, 3 Mo. LIBOR + 1.70% (a) | 2.44% | (b) | 13,924,881 | ||||
Total $100 Par Preferred Securities | 56,606,479 | |||||||
(Cost $63,253,452) | ||||||||
$1,000 PAR PREFERRED SECURITIES – 0.7% | ||||||||
Banks – 0.3% | ||||||||
8,767 | Wells Fargo & Co., Series L | 7.50% | (b) | 12,263,630 | ||||
Diversified Financial Services – 0.1% | ||||||||
5,500 | Compeer Financial ACA (c) (f) | 6.75% | (b) | 5,555,000 | ||||
Real Estate Investment Trusts (REITs) – 0.3% | ||||||||
15,300 | Sovereign Real Estate Investment Trust (g) | 12.00% | (b) | 15,348,861 | ||||
Total $1,000 Par Preferred Securities | 33,167,491 | |||||||
(Cost $33,646,527) | ||||||||
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES – 64.3% | ||||||||
Banks – 29.9% | ||||||||
$38,949,000 | Australia & New Zealand Banking Group Ltd. (c) (f) (h) | 6.75% | (b) | 41,805,325 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Banks (Continued) | ||||||||
$33,100,000 | Banco Bilbao Vizcaya Argentaria S.A., Series 9 (c) (h) | 6.50% | (b) | $30,102,630 | ||||
2,700,000 | Banco Mercantil del Norte S.A. (c) (f) (h) | 6.75% | (b) | 2,153,385 | ||||
9,000,000 | Banco Mercantil del Norte S.A. (c) (f) (h) | 7.50% | (b) | 7,410,150 | ||||
8,500,000 | Banco Mercantil del Norte S.A. (c) (f) (h) | 7.63% | (b) | 6,880,325 | ||||
10,600,000 | Banco Mercantil del Norte S.A. (c) (f) (h) | 5.75% | 10/04/31 | 9,827,260 | ||||
35,400,000 | Banco Santander S.A. (c) (h) (i) | 7.50% | (b) | 34,676,459 | ||||
18,750,000 | Bank of America Corp., Series JJ (c) | 5.13% | (b) | 18,434,906 | ||||
9,528,000 | Bank of America Corp., Series X (c) | 6.25% | (b) | 9,936,704 | ||||
84,190,000 | Barclays PLC (c) (h) (i) | 7.88% | (b) | 83,695,384 | ||||
92,350,000 | Barclays PLC (c) (h) | 8.00% | (b) | 92,183,308 | ||||
19,000,000 | BBVA Bancomer S.A. (c) (f) (h) | 5.88% | 09/13/34 | 16,726,650 | ||||
12,540,000 | BNP Paribas S.A. (c) (f) (h) | 6.63% | (b) | 12,508,650 | ||||
42,500,000 | BNP Paribas S.A. (c) (f) (h) | 7.38% | (b) | 44,176,413 | ||||
30,600,000 | BNP Paribas S.A. (c) (f) (h) | 7.63% | (b) | 31,154,625 | ||||
12,000,000 | Citigroup, Inc. (c) | 5.90% | (b) | 12,135,000 | ||||
4,750,000 | Citigroup, Inc. (c) | 5.95% | (b) | 4,727,818 | ||||
15,000,000 | Citigroup, Inc., Series P (c) | 5.95% | (b) | 15,124,575 | ||||
4,000,000 | Citigroup, Inc., Series Q (c) | 5.95% | (b) | 3,686,460 | ||||
17,323,000 | Citigroup, Inc., Series R (c) | 6.13% | (b) | 16,816,302 | ||||
34,250,000 | Citigroup, Inc., Series T (c) | 6.25% | (b) | 36,676,099 | ||||
37,600,000 | Citigroup, Inc., Series U (c) | 5.00% | (b) | 34,216,000 | ||||
10,116,000 | Citizens Financial Group, Inc., Series A, 3 Mo. LIBOR + 3.96% (a) | 5.33% | (b) | 8,550,094 | ||||
11,600,000 | Citizens Financial Group, Inc., Series B (c) | 6.00% | (b) | 9,926,062 | ||||
20,474,000 | CoBank ACB, Series I (c) | 6.25% | (b) | 20,781,110 | ||||
38,310,000 | Credit Agricole S.A. (c) (f) (h) | 6.88% | (b) | 38,240,850 | ||||
47,100,000 | Credit Agricole S.A. (c) (f) (h) | 7.88% | (b) | 50,275,011 | ||||
3,000,000 | Credit Agricole S.A. (c) (h) (i) | 7.88% | (b) | 3,202,230 | ||||
47,100,000 | Credit Agricole S.A. (c) (f) (h) | 8.13% | (b) | 52,545,937 | ||||
21,313,000 | Danske Bank A.S. (c) (h) (i) | 6.13% | (b) | 20,278,254 | ||||
11,400,000 | Danske Bank A.S. (c) (h) (i) | 7.00% | (b) | 11,200,500 | ||||
7,650,000 | Farm Credit Bank of Texas, Series 3 (c) (f) | 6.20% | (b) | 6,939,047 | ||||
2,000,000 | HBOS Capital Funding L.P. (i) | 6.85% | (b) | 2,002,756 | ||||
44,119,000 | HSBC Holdings PLC (c) (h) | 6.38% | (b) | 43,846,124 | ||||
18,780,000 | ING Groep N.V. (c) (h) | 5.75% | (b) | 18,091,431 | ||||
25,179,000 | ING Groep N.V. (c) (h) | 6.50% | (b) | 25,059,400 | ||||
47,583,000 | ING Groep N.V. (c) (h) (i) | 6.88% | (b) | 47,762,816 | ||||
34,125,000 | Intesa Sanpaolo S.p.A. (c) (f) (h) | 7.70% | (b) | 31,759,967 | ||||
16,700,000 | JPMorgan Chase & Co., Series FF (c) | 5.00% | (b) | 15,542,607 | ||||
1,713,000 | JPMorgan Chase & Co., Series I, 3 Mo. LIBOR + 3.47% (a) | 4.23% | (b) | 1,570,384 | ||||
54,828,000 | JPMorgan Chase & Co., Series V, 3 Mo. LIBOR + 3.32% (a) | 4.75% | (b) | 47,933,105 | ||||
18,651,000 | JPMorgan Chase & Co., Series Z, 3 Mo. LIBOR + 3.80% (a) | 5.30% | (b) | 17,647,856 | ||||
7,438,000 | Lloyds Bank PLC (c) (i) | 12.00% | (b) | 8,401,533 | ||||
20,000,000 | Lloyds Banking Group PLC (c) (h) | 6.75% | (b) | 19,316,700 | ||||
62,814,000 | Lloyds Banking Group PLC (c) (h) | 7.50% | (b) | 61,837,242 | ||||
21,800,000 | Lloyds Banking Group PLC (c) (h) | 7.50% | (b) | 21,597,151 | ||||
13,000,000 | M&T Bank Corp., Series G (c) | 5.00% | (b) | 12,707,500 | ||||
27,000,000 | Nordea Bank Abp (c) (f) (h) | 6.63% | (b) | 27,191,295 | ||||
11,821,000 | Royal Bank of Scotland Group PLC (c) (h) | 7.50% | (b) | 11,334,329 | ||||
33,325,000 | Royal Bank of Scotland Group PLC (c) (h) | 8.00% | (b) | 34,814,628 | ||||
47,400,000 | Royal Bank of Scotland Group PLC (c) (h) | 8.63% | (b) | 48,558,930 | ||||
2,400,000 | Skandinaviska Enskilda Banken AB (c) (h) (i) | 5.63% | (b) | 2,390,700 | ||||
35,700,000 | Societe Generale S.A. (c) (f) (h) | 7.38% | (b) | 35,030,625 | ||||
27,079,000 | Societe Generale S.A. (c) (f) (h) | 7.88% | (b) | 26,573,029 | ||||
20,000,000 | Societe Generale S.A. (c) (h) (i) | 7.88% | (b) | 19,626,300 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Banks (Continued) | ||||||||
$12,310,000 | Standard Chartered PLC (c) (f) (h) | 7.75% | (b) | $12,469,907 | ||||
13,600,000 | Swedbank AB (c) (h) (i) | 6.00% | (b) | 13,370,350 | ||||
56,950,000 | UniCredit S.p.A. (c) (h) (i) | 8.00% | (b) | 51,955,998 | ||||
1,445,386,186 | ||||||||
Capital Markets – 8.8% | ||||||||
29,226,000 | Apollo Management Holdings L.P. (c) (f) | 4.95% | 01/14/50 | 26,296,341 | ||||
55,000,000 | Charles Schwab (The) Corp., Series G (c) | 5.38% | (b) | 56,443,750 | ||||
48,900,000 | Credit Suisse Group AG (c) (f) (h) | 6.38% | (b) | 48,207,332 | ||||
5,175,000 | Credit Suisse Group AG (c) (h) (i) | 7.13% | (b) | 5,208,689 | ||||
9,000,000 | Credit Suisse Group AG (c) (f) (h) | 7.25% | (b) | 8,983,755 | ||||
36,281,000 | Credit Suisse Group AG (c) (f) (h) | 7.50% | (b) | 38,503,211 | ||||
47,450,000 | Credit Suisse Group AG (c) (f) (h) | 7.50% | (b) | 47,891,522 | ||||
29,453,000 | E*TRADE Financial Corp., Series A (c) | 5.88% | (b) | 30,295,356 | ||||
20,158,000 | Goldman Sachs Group (The), Inc., Series M (c) | 5.38% | (b) | 18,772,843 | ||||
54,467,000 | Goldman Sachs Group (The), Inc., Series Q (c) | 5.50% | (b) | 55,389,943 | ||||
9,600,000 | Goldman Sachs Group (The), Inc., Series R (c) | 4.95% | (b) | 8,886,672 | ||||
5,300,000 | Morgan Stanley, Series J (c) | 5.55% | (b) | 4,877,219 | ||||
21,000,000 | UBS Group AG (c) (h) (i) | 6.88% | (b) | 21,156,975 | ||||
26,389,000 | UBS Group AG (c) (h) (i) | 6.88% | (b) | 27,423,423 | ||||
28,500,000 | UBS Group AG (c) (f) (h) | 7.00% | (b) | 29,161,058 | ||||
427,498,089 | ||||||||
Diversified Financial Services – 0.7% | ||||||||
32,571,000 | Voya Financial, Inc. (c) | 5.65% | 05/15/53 | 31,976,416 | ||||
Diversified Telecommunication Services – 1.0% | ||||||||
15,382,000 | Koninklijke KPN N.V. (c) (f) | 7.00% | 03/28/73 | 15,947,212 | ||||
32,910,000 | Koninklijke KPN N.V. (c) (i) | 7.00% | 03/28/73 | 34,119,278 | ||||
50,066,490 | ||||||||
Electric Utilities – 5.7% | ||||||||
21,410,000 | Duke Energy Corp. (c) | 4.88% | (b) | 21,210,780 | ||||
141,743,000 | Emera, Inc., Series 16-A (c) | 6.75% | 06/15/76 | 150,070,401 | ||||
85,130,000 | Enel S.p.A. (c) (f) | 8.75% | 09/24/73 | 96,525,502 | ||||
9,683,000 | PPL Capital Funding, Inc., Series A, 3 Mo. LIBOR + 2.67% (a) | 4.04% | 03/30/67 | 7,389,942 | ||||
275,196,625 | ||||||||
Energy Equipment & Services – 1.3% | ||||||||
6,600,000 | Transcanada Trust (c) | 5.63% | 05/20/75 | 6,017,517 | ||||
38,000,000 | Transcanada Trust (c) | 5.50% | 09/15/79 | 35,786,310 | ||||
22,604,000 | Transcanada Trust, Series 16-A (c) | 5.88% | 08/15/76 | 21,436,277 | ||||
63,240,104 | ||||||||
Food Products – 2.2% | ||||||||
6,700,000 | Dairy Farmers of America, Inc. (g) | 7.13% | (b) | 5,533,094 | ||||
23,748,000 | Land O’Lakes Capital Trust I (g) | 7.45% | 03/15/28 | 24,579,180 | ||||
37,821,000 | Land O’Lakes, Inc. (f) | 7.00% | (b) | 34,027,554 | ||||
12,720,000 | Land O’Lakes, Inc. (f) | 7.25% | (b) | 12,097,992 | ||||
31,000,000 | Land O’Lakes, Inc. (f) | 8.00% | (b) | 29,140,000 | ||||
105,377,820 | ||||||||
Independent Power & Renewable Electricity Producers – 0.4% | ||||||||
17,986,000 | AES Gener S.A. (c) (f) | 6.35% | 10/07/79 | 16,839,572 | ||||
Insurance – 6.3% | ||||||||
25,677,000 | Asahi Mutual Life Insurance Co. (c) (i) | 6.50% | (b) | 26,409,389 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Insurance (Continued) | ||||||||
$28,100,000 | Asahi Mutual Life Insurance Co. (c) (i) | 7.25% | (b) | $28,682,300 | ||||
31,900,000 | Assurant, Inc. (c) | 7.00% | 03/27/48 | 31,374,072 | ||||
654,000 | Assured Guaranty Municipal Holdings, Inc. (c) (f) | 6.40% | 12/15/66 | 575,520 | ||||
36,220,000 | AXIS Specialty Finance LLC (c) | 4.90% | 01/15/40 | 31,806,659 | ||||
1,000,000 | Everest Reinsurance Holdings, Inc., 3 Mo. LIBOR + 2.39% (a) | 4.08% | 05/15/37 | 767,563 | ||||
13,700,000 | Fortegra Financial Corp. (c) (g) | 8.50% | 10/15/57 | 15,199,463 | ||||
4,020,000 | Fukoku Mutual Life Insurance Co. (c) (i) | 6.50% | (b) | 4,329,821 | ||||
15,106,000 | Hartford Financial Services Group (The), Inc., 3 Mo. LIBOR + 2.13% (a) (f) | 3.82% | 02/12/47 | 11,809,040 | ||||
9,310,000 | La Mondiale SAM (c) (i) | 5.88% | 01/26/47 | 9,737,571 | ||||
13,825,000 | Lincoln National Corp., 3 Mo. LIBOR + 2.36% (a) | 4.05% | 05/17/66 | 9,425,125 | ||||
3,397,000 | MetLife, Inc. | 6.40% | 12/15/36 | 3,801,397 | ||||
27,018,000 | MetLife, Inc., Series C (c) | 5.25% | (b) | 24,637,039 | ||||
8,040,000 | Mitsui Sumitomo Insurance Co., Ltd. (c) (f) | 7.00% | 03/15/72 | 8,636,930 | ||||
3,502,000 | Principal Financial Group, Inc., 3 Mo. LIBOR + 3.04% (a) | 4.70% | 05/15/55 | 3,171,043 | ||||
6,935,000 | Prudential Financial, Inc. (c) | 5.63% | 06/15/43 | 7,168,710 | ||||
9,000,000 | QBE Capital Funding III Ltd. (c) (f) | 7.25% | 05/24/41 | 9,402,345 | ||||
24,900,000 | QBE Insurance Group Ltd. (c) (f) | 7.50% | 11/24/43 | 26,872,080 | ||||
605,000 | QBE Insurance Group Ltd. (c) (i) | 7.50% | 11/24/43 | 652,916 | ||||
30,649,000 | QBE Insurance Group Ltd. (c) (i) | 6.75% | 12/02/44 | 33,345,959 | ||||
16,200,000 | Reinsurance Group of America, Inc., 3 Mo. LIBOR + 2.67% (a) | 3.41% | 12/15/65 | 11,137,500 | ||||
6,000,000 | VIVAT N.V. (c) (i) | 6.25% | (b) | 5,966,244 | ||||
304,908,686 | ||||||||
Metals & Mining – 1.8% | ||||||||
30,410,000 | BHP Billiton Finance USA Ltd. (c) (f) | 6.25% | 10/19/75 | 30,613,595 | ||||
50,221,000 | BHP Billiton Finance USA Ltd. (c) (f) | 6.75% | 10/19/75 | 55,581,841 | ||||
86,195,436 | ||||||||
Multi-Utilities – 1.9% | ||||||||
49,823,000 | CenterPoint Energy, Inc., Series A (c) | 6.13% | (b) | 45,498,114 | ||||
50,720,000 | NiSource, Inc. (c) | 5.65% | (b) | 46,687,253 | ||||
92,185,367 | ||||||||
Oil, Gas & Consumable Fuels – 3.2% | ||||||||
26,675,000 | DCP Midstream Operating L.P. (c) (f) | 5.85% | 05/21/43 | 12,499,905 | ||||
10,567,000 | Enbridge, Inc. (c) | 5.50% | 07/15/77 | 9,280,521 | ||||
41,800,000 | Enbridge, Inc. (c) | 6.25% | 03/01/78 | 38,340,841 | ||||
49,888,000 | Enbridge, Inc., Series 16-A (c) | 6.00% | 01/15/77 | 44,736,814 | ||||
32,460,000 | Energy Transfer Operating L.P., 3 Mo. LIBOR + 3.02% (a) | 4.78% | 11/01/66 | 18,469,740 | ||||
9,500,000 | Energy Transfer Operating L.P., Series G (c) | 7.13% | (b) | 7,439,925 | ||||
24,400,000 | Enterprise Products Operating LLC, 3 Mo. LIBOR + 2.78% (a) | 4.36% | 06/01/67 | 19,074,578 | ||||
6,859,000 | Enterprise Products Operating LLC, Series D (c) | 4.88% | 08/16/77 | 5,979,299 | ||||
155,821,623 | ||||||||
Trading Companies & Distributors – 0.6% | ||||||||
46,415,000 | AerCap Holdings N.V. (c) | 5.88% | 10/10/79 | 31,188,559 | ||||
Transportation Infrastructure – 0.5% | ||||||||
33,100,000 | AerCap Global Aviation Trust (c) (f) | 6.50% | 06/15/45 | 24,378,150 | ||||
Total Capital Preferred Securities | 3,110,259,123 | |||||||
(Cost $3,323,149,283) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES – 0.3% | ||||||||
Aerospace & Defense – 0.1% | ||||||||
$6,800,000 | Boeing (The) Co. | 5.81% | 05/01/50 | $6,800,000 | ||||
Insurance – 0.2% | ||||||||
10,200,000 | AmTrust Financial Services, Inc. | 6.13% | 08/15/23 | 9,325,241 | ||||
Total Corporate Bonds and Notes | 16,125,241 | |||||||
(Cost $16,970,545) |
Shares | Description | Value | ||
EXCHANGE-TRADED FUNDS – 0.1% | ||||
Capital Markets – 0.1% | ||||
87,347 | iShares Short Maturity Bond ETF | 4,301,840 | ||
(Cost $4,291,611) | ||||
Total Investments – 97.3% | 4,708,047,835 | |||
(Cost $4,987,055,164) (j) | ||||
Net Other Assets and Liabilities – 2.7% | 130,849,805 | |||
Net Assets – 100.0% | $4,838,897,640 |
(a) | Floating or variable rate security. |
(b) | Perpetual maturity. |
(c) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at April 30, 2020. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(d) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor (the “Advisor”). |
(e) | Step-up security. A security where the coupon increases or steps up at a predetermined date. |
(f) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by the Advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At April 30, 2020, securities noted as such amounted to $1,053,618,423 or 21.8% of net assets. |
(g) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2C - Restricted Securities in the Notes to Financial Statements). |
(h) | This security is a contingent convertible capital security which may be subject to conversion into common stock of the issuer under certain circumstances. At April 30, 2020, securities noted as such amounted to $1,368,166,233 or 28.3% of net assets. Of these securities, 3.1% originated in emerging markets, and 96.9% originated in foreign markets. |
(i) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
(j) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $28,578,227 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $307,585,556. The net unrealized depreciation was $279,007,329. |
LIBOR | London Interbank Offered Rate |
Total Value at 4/30/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
$25 Par Preferred Securities: | ||||
Insurance | $ 346,754,411 | $ 317,513,699 | $ 29,240,712 | $ — |
Multi-Utilities | 82,710,529 | 63,397,991 | 19,312,538 | — |
Other industry categories* | 1,058,122,721 | 1,058,122,721 | — | — |
$100 Par Preferred Securities: | ||||
Banks | 42,681,598 | — | 42,681,598 | — |
Consumer Finance | 13,924,881 | 13,924,881 | — | — |
$1,000 Par Preferred Securities: | ||||
Banks | 12,263,630 | 12,263,630 | — | — |
Other industry categories* | 20,903,861 | — | 20,903,861 | — |
Capital Preferred Securities* | 3,110,259,123 | — | 3,110,259,123 | — |
Corporate Bonds and Notes* | 16,125,241 | — | 16,125,241 | — |
Exchange-Traded Funds* | 4,301,840 | 4,301,840 | — | — |
Total Investments | $ 4,708,047,835 | $ 1,469,524,762 | $ 3,238,523,073 | $— |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value (Cost $4,987,055,164) | $ 4,708,047,835 |
Cash | 113,021,148 |
Receivables: | |
Interest | 41,912,433 |
Investment securities sold | 4,793,470 |
Dividends | 2,402,878 |
Fund shares sold | 1,798,648 |
Interest reclaims | 1,278,206 |
Dividend reclaims | 198,027 |
Total Assets | 4,873,452,645 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 29,542,947 |
Investment advisory fees | 3,207,924 |
Capital shares redeemed | 1,804,134 |
Total Liabilities | 34,555,005 |
NET ASSETS | $4,838,897,640 |
NET ASSETS consist of: | |
Paid-in capital | $ 5,290,651,440 |
Par value | 2,682,050 |
Accumulated distributable earnings (loss) | (454,435,850) |
NET ASSETS | $4,838,897,640 |
NET ASSET VALUE, per share | $18.04 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 268,205,000 |
INVESTMENT INCOME: | ||
Interest | $ 106,857,731 | |
Dividends | 46,509,784 | |
Foreign withholding tax | (19,407) | |
Total investment income | 153,348,108 | |
EXPENSES: | ||
Investment advisory fees | 20,909,401 | |
Total expenses | 20,909,401 | |
NET INVESTMENT INCOME (LOSS) | 132,438,707 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (126,606,832) | |
In-kind redemptions | (3,060,553) | |
Net realized gain (loss) | (129,667,385) | |
Net change in unrealized appreciation (depreciation) on investments | (389,925,323) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (519,592,708) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(387,154,001) |
Six Months Ended 4/30/2020 (Unaudited) | Year Ended 10/31/2019 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 132,438,707 | $ 206,863,149 | |
Net realized gain (loss) | (129,667,385) | (15,996,305) | |
Net change in unrealized appreciation (depreciation) | (389,925,323) | 228,190,107 | |
Net increase (decrease) in net assets resulting from operations | (387,154,001) | 419,056,951 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (136,347,442) | (203,753,030) | |
Return of capital | — | (3,977,192) | |
Total distributions to shareholders | (136,347,442) | (207,730,222) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 1,008,939,078 | 1,376,507,572 | |
Cost of shares redeemed | (325,059,073) | (283,687,184) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 683,880,005 | 1,092,820,388 | |
Total increase (decrease) in net assets | 160,378,562 | 1,304,147,117 | |
NET ASSETS: | |||
Beginning of period | 4,678,519,078 | 3,374,371,961 | |
End of period | $4,838,897,640 | $4,678,519,078 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 235,205,000 | 179,855,000 | |
Shares sold | 51,900,000 | 70,900,000 | |
Shares redeemed | (18,900,000) | (15,550,000) | |
Shares outstanding, end of period | 268,205,000 | 235,205,000 |
Six Months Ended 4/30/2020 (Unaudited) | Year Ended October 31, | ||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | |||||||
Net asset value, beginning of period | $ 19.89 | $ 18.76 | $ 20.13 | $ 19.47 | $ 18.97 | $ 19.04 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.51 | 1.08 | 1.08 | 1.08 | 1.12 | 1.16 (a) | |||||
Net realized and unrealized gain (loss) | (1.83) | 1.14 | (1.37) | 0.66 | 0.52 | (0.10) | |||||
Total from investment operations | (1.32) | 2.22 | (0.29) | 1.74 | 1.64 | 1.06 | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.53) | (1.07) | (1.08) | (1.08) | (1.13) | (1.13) | |||||
Return of capital | — | (0.02) | (0.00) (b) | (0.00) (b) | (0.01) | — | |||||
Total distributions | (0.53) | (1.09) | (1.08) | (1.08) | (1.14) | (1.13) | |||||
Net asset value, end of period | $18.04 | $19.89 | $18.76 | $20.13 | $19.47 | $18.97 | |||||
Total return (c) | (6.74)% | 12.25% | (1.47)% | 9.24% | 8.97% | 5.75% | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 4,838,898 | $ 4,678,519 | $ 3,374,372 | $ 3,026,083 | $ 1,375,398 | $ 413,705 | |||||
Ratio of total expenses to average net assets | 0.85% (d) | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% | |||||
Ratio of net investment income (loss) to average net assets | 5.38% (d) | 5.69% | 5.56% | 5.54% | 5.97% | 6.15% | |||||
Portfolio turnover rate (e) | 19% | 28% | 24% | 13% | 32% | 50% |
(a) | Based on average shares outstanding. |
(b) | Amount is less than $0.01. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | 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 type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
1) | the value of similar foreign securities traded on other foreign markets; |
2) | ADR trading of similar securities; |
3) | closed-end fund or exchange-traded fund trading of similar securities; |
4) | foreign currency exchange activity; |
5) | the trading prices of financial products that are tied to baskets of foreign securities; |
6) | factors relating to the event that precipitated the pricing problem; |
7) | whether the event is likely to recur; and |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security | Acquisition Date | Principal Value/Shares | Current Price | Carrying Cost | Value | % of Net Assets | ||
Dairy Farmers of America, Inc., 7.13% | 09/15/16-08/10/17 | $6,700,000 | $82.58 | $6,788,500 | $5,533,094 | 0.11% | ||
Fortegra Financial Corp., 8.50%, 10/15/57 | 10/12/17-03/12/18 | $13,700,000 | 110.94 | 13,718,977 | 15,199,463 | 0.32 | ||
Land O’Lakes Capital Trust I, 7.45%, 03/15/28 | 03/20/15-05/09/18 | $23,748,000 | 103.50 | 26,089,906 | 24,579,180 | 0.51 | ||
Sovereign Real Estate Investment Trust, 12.00% | 05/12/14-02/12/20 | 15,300 | 1,003.19 | 16,186,750 | 15,348,861 | 0.32 | ||
$62,784,133 | $60,660,598 | 1.26% |
Distributions paid from: | |
Ordinary income | $203,753,030 |
Capital gains | — |
Return of capital | 3,977,192 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (42,380,616) |
Net unrealized appreciation (depreciation) | 111,446,209 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Six Months Ended
April 30, 2020
1 | |
2 | |
5 | |
6 | |
7 | |
37 | |
38 | |
39 | |
40 | |
41 | |
48 |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
6 Months Ended 4/30/20 | 1 Year Ended 4/30/20 | 5 Years Ended 4/30/20 | Inception (5/13/14) to 4/30/20 | 5 Years Ended 4/30/20 | Inception (5/13/14) to 4/30/20 | ||
Fund Performance | |||||||
NAV | -4.10% | -0.18% | 3.10% | 3.57% | 16.46% | 23.27% | |
Market Price | -3.90% | 0.01% | 3.04% | 3.63% | 16.17% | 23.68% | |
Index Performance | |||||||
Bloomberg Barclays Revenue 10 Year (8-12) Index | -1.22% | 2.21% | 3.21% | 3.42% | 17.13% | 22.24% |
Sector Allocation | % of Total Investments (including cash) |
Hospital | 13.6% |
Government Obligation Bond - Unlimited Tax | 9.8 |
Insured | 8.8 |
Water & Sewer | 6.8 |
Continuing Care Retirement Communities | 6.7 |
Gas | 5.6 |
Higher Education | 5.4 |
Certificates of Participation | 4.8 |
Dedicated Tax | 4.5 |
Airport | 4.4 |
Education | 3.5 |
Utility | 3.3 |
Government Obligation Bond - Limited Tax | 3.2 |
Special Assessment | 2.9 |
Toll Road | 1.9 |
Mass Transit | 1.8 |
Housing | 1.8 |
Industrial Development Bond | 1.6 |
Tobacco | 1.3 |
Tax Increment | 1.2 |
Student Housing | 1.1 |
Pre-refunded/Escrowed-to-maturity | 0.8 |
Local Housing | 0.5 |
Skilled Nursing | 0.2 |
Port | 0.2 |
Hotel | 0.1 |
Other Health | 0.1 |
Pool | 0.1 |
Stadium | 0.0* |
Cash | 4.0 |
Total | 100.0% |
* | Amount is less than 0.1%. |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 6.6% |
AA | 32.6 |
A | 32.9 |
BBB | 10.5 |
BB | 3.0 |
B | 0.5 |
CCC | 0.1 |
Not Rated | 9.5 |
Short Rated Only | 0.3 |
Cash | 4.0 |
Total | 100.0% |
(1) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/1/14 – 10/31/15 | 178 | 16 | 0 | 0 |
11/1/15 – 10/31/16 | 200 | 0 | 0 | 0 |
11/1/16 – 10/31/17 | 207 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 201 | 0 | 0 | 0 |
11/1/18 – 10/31/19 | 228 | 0 | 0 | 0 |
11/1/19 – 4/30/20 | 102 | 3 | 0 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/1/14 – 10/31/15 | 57 | 0 | 0 | 0 |
11/1/15 – 10/31/16 | 51 | 1 | 0 | 0 |
11/1/16 – 10/31/17 | 45 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 51 | 0 | 0 | 0 |
11/1/18 – 10/31/19 | 23 | 0 | 0 | 0 |
11/1/19 – 4/30/20 | 11 | 2 | 4 | 2 |
Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (b) | |
First Trust Managed Municipal ETF (FMB) | ||||
Actual | $1,000.00 | $959.00 | 0.50% | $2.44 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.38 | 0.50% | $2.51 |
(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 (November 1, 2019 through April 30, 2020), multiplied by 182/366 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 94.1% | ||||||||
Alabama – 3.9% | ||||||||
$225,000 | AL Cmnty Clg Sys Brd of Trustees Rev Bishop St Cmnty Clg, BAM | 4.00% | 01/01/35 | $250,475 | ||||
500,000 | AL St Port Auth Docks Facs Rev Ref Docks Facs Rev, Ser A, AGM, AMT | 5.00% | 10/01/25 | 579,540 | ||||
1,100,000 | Birmingham AL Wtrwks Brd Wtr Rev Ref Sr, Ser A | 5.00% | 01/01/32 | 1,315,369 | ||||
940,000 | Birmingham AL Wtrwks Brd Wtr Rev Ref Sr, Ser A | 4.00% | 01/01/34 | 1,041,219 | ||||
2,325,000 | Birmingham AL Wtrwks Brd Wtr Rev Ref Sub, Ser B | 5.00% | 01/01/43 | 2,665,403 | ||||
7,070,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev Proj #5, Ser A-1 (Mandatory put 10/01/26) | 4.00% | 10/01/49 | 7,585,615 | ||||
1,530,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev, Ser A (Mandatory put 12/01/23) | 4.00% | 12/01/48 | 1,600,043 | ||||
415,000 | Gulf Shores AL Ref Warrants, Ser A | 5.00% | 12/15/35 | 497,535 | ||||
310,000 | Gulf Shores AL Ref Warrants, Ser A | 5.00% | 12/15/38 | 368,389 | ||||
400,000 | Homewood AL Eductnl Bldg Auth Rev Ref Samford Univ Proj, Ser A | 4.00% | 12/01/33 | 418,944 | ||||
950,000 | Homewood AL Eductnl Bldg Auth Rev Ref Samford Univ Proj, Ser A | 4.00% | 12/01/34 | 990,717 | ||||
450,000 | Infirmary Hlth Sys AL Spl Care Facs Fing Auth Rev Infirmary Hlth Sys Inc, Ser A | 5.00% | 02/01/36 | 486,482 | ||||
930,000 | Leeds AL Pub Eductnl Bldg Auth Eductnl Facs Rev Ref Edu, AGM | 4.00% | 04/01/29 | 1,031,519 | ||||
695,000 | Leeds AL Pub Eductnl Bldg Auth Eductnl Facs Rev Ref Edu, AGM | 4.00% | 04/01/30 | 768,739 | ||||
1,500,000 | Lower AL Gas Dist Gas Proj Rev Gas Proj, Rev Bonds Proj 2 (Mandatory put 12/01/25) | 4.00% | 12/01/50 | 1,597,335 | ||||
100,000 | Lower AL Gas Dist Gas Proj Rev, Ser A | 5.00% | 09/01/31 | 119,398 | ||||
600,000 | Mobile AL Impt Dist Sales Tax Rev Mcgowin Park Proj, Ser A | 5.00% | 08/01/25 | 591,486 | ||||
500,000 | Mobile Cnty AL Impt Warrants | 5.00% | 08/01/30 | 592,300 | ||||
1,105,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 4.00% | 11/01/30 | 1,221,500 | ||||
1,565,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 4.00% | 11/01/31 | 1,717,525 | ||||
1,605,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 4.00% | 11/01/32 | 1,746,689 | ||||
1,395,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 4.00% | 11/01/33 | 1,509,223 | ||||
1,765,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 4.00% | 11/01/34 | 1,900,093 | ||||
1,840,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 4.00% | 11/01/35 | 1,969,610 | ||||
110,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #1, Ser A (Mandatory put 04/01/24) | 4.00% | 04/01/49 | 115,337 | ||||
6,300,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A (Mandatory put 06/01/24) | 4.00% | 06/01/49 | 6,623,379 | ||||
1,040,000 | Troy AL Ref Warrants, BAM | 4.00% | 07/01/35 | 1,105,385 | ||||
5,000,000 | UAB Medicine Fin Auth AL Rev Ref UAB Medicine, Ser B2 | 5.00% | 09/01/41 | 5,678,000 | ||||
8,890,000 | Wilsonville AL Indl Dev Brd Sol Wst Disp Rev Var AL Plt Gaston Plt (a) | 0.25% | 12/01/30 | 8,890,000 | ||||
54,977,249 | ||||||||
Arizona – 2.3% | ||||||||
1,205,000 | AZ Brd of Rgts Univ AZ Sys Rev Green Bond, Ser B | 5.00% | 06/01/28 | 1,438,228 | ||||
1,000,000 | AZ St Indl Dev Auth Edu Rev Academics of Math & Science Proj (b) | 5.00% | 07/01/49 | 889,310 | ||||
625,000 | AZ St Indl Dev Auth Edu Rev Cadence Campus Proj, Ser A (b) | 4.00% | 07/15/30 | 597,662 | ||||
925,000 | AZ St Indl Dev Auth Edu Rev Cadence Campus Proj, Ser A (b) | 4.00% | 07/15/40 | 761,913 | ||||
175,000 | AZ St Indl Dev Auth Edu Rev Doral Academy NV Fire Mesa & Red Rock Campus Proj, Ser A (b) | 5.00% | 07/15/39 | 164,297 | ||||
375,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser D (b) | 5.00% | 07/01/37 | 353,126 | ||||
530,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (b) | 4.00% | 07/01/21 | 528,437 | ||||
555,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (b) | 5.00% | 07/01/26 | 561,316 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Arizona (Continued) | ||||||||
$415,000 | AZ St Indl Dev Auth National Chrt Sch Revolving Loan Fd Equitable Sch Revolving Fund, Ser A | 5.00% | 11/01/31 | $503,038 | ||||
1,005,000 | AZ St Indl Dev Auth National Chrt Sch Revolving Loan Fd Equitable Sch Revolving Fund, Ser A | 5.00% | 11/01/33 | 1,200,211 | ||||
465,000 | AZ St Indl Dev Auth National Chrt Sch Revolving Loan Fd Equitable Sch Revolving Fund, Ser A | 5.00% | 11/01/37 | 545,124 | ||||
1,000,000 | AZ St Indl Dev Auth Rev Lincoln South Beltway Proj | 5.00% | 08/01/27 | 1,194,990 | ||||
1,985,000 | AZ St Indl Dev Auth Rev Lincoln South Beltway Proj | 5.00% | 11/01/27 | 2,382,318 | ||||
1,000,000 | AZ St Indl Dev Auth Rev Lincoln South Beltway Proj | 5.00% | 05/01/28 | 1,210,180 | ||||
1,000,000 | AZ St Indl Dev Auth Rev Lincoln South Beltway Proj | 5.00% | 08/01/28 | 1,214,450 | ||||
1,650,000 | AZ St Indl Dev Auth Sr Living Rev 2nd Tier Great Lakes Sr Living Cmntys Proj, Ser B | 5.00% | 01/01/43 | 1,496,170 | ||||
4,000,000 | Glendale AZ Indl Dev Auth Sr Living Facs Rev Ref Sun Hlth Svcs, Ser A | 5.00% | 11/15/42 | 4,195,040 | ||||
1,300,000 | Maricopa Cnty AZ Elem Sch Dist #25 Liberty, Ser A, AGM | 5.00% | 07/01/31 | 1,617,759 | ||||
1,350,000 | Maricopa Cnty AZ Elem Sch Dist #25 Liberty, Ser A, AGM | 5.00% | 07/01/32 | 1,667,142 | ||||
200,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Greathearts AZ Projs, Ser C | 5.00% | 07/01/25 | 229,416 | ||||
500,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Horizon Cmnty Learning Ctr Proj | 5.00% | 07/01/35 | 465,705 | ||||
500,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Traditional Sch Proj | 4.00% | 07/01/34 | 526,095 | ||||
1,100,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Traditional Sch Proj Auth, Ser B (b) | 5.00% | 07/01/39 | 1,062,699 | ||||
1,000,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Traditional Sch Proj Auth, Ser B (b) | 5.00% | 07/01/49 | 927,700 | ||||
500,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Paradise Schs Projs Paragon Mgmt Inc (b) | 4.00% | 07/01/26 | 488,500 | ||||
1,475,000 | Maricopa Cnty AZ Spl Healthcare Dist Aka Maricopa Integrated Hlth Sys, Ser C | 5.00% | 07/01/27 | 1,819,988 | ||||
475,000 | Phoenix AZ Indl Dev Auth Edu Rev Fac Legacy Traditional Schs Projs, Ser A (b) | 4.00% | 07/01/26 | 466,835 | ||||
300,000 | Phoenix AZ Indl Dev Auth Student Hsg Rev Downtown Phoenix Student Hsg II LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/32 | 325,224 | ||||
300,000 | Phoenix AZ Indl Dev Auth Student Hsg Rev Downtown Phoenix Student Hsg II LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/33 | 322,839 | ||||
300,000 | Phoenix AZ Indl Dev Auth Student Hsg Rev Downtown Phoenix Student Hsg II LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/34 | 321,525 | ||||
350,000 | Phoenix AZ Indl Dev Auth Student Hsg Rev Downtown Phoenix Student Hsg II LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/35 | 373,391 | ||||
700,000 | Phoenix AZ Indl Dev Auth Student Hsg Rev Downtown Phoenix Student Hsg II LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/44 | 731,836 | ||||
200,000 | Phoenix AZ Indl Dev Auth Student Hsg Rev Ref Downtown Phoenix Student Hsg LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/26 | 222,370 | ||||
385,000 | Pima Cnty AZ Indl Dev Auth Edu Rev Fac American Leadership Academy Proj (b) | 4.00% | 06/15/22 | 378,409 | ||||
350,000 | Pima Cnty AZ Indl Dev Auth Edu Rev Ref Fac American Leadership Academy Proj (b) | 4.60% | 06/15/25 | 342,500 | ||||
1,230,000 | Salt River AZ Proj Agric Impt & Pwr Dist Elec Sys Rev Ref, Ser A | 5.00% | 12/01/31 | 1,323,000 | ||||
275,000 | Yavapai Cnty AZ Indl Dev Auth Hosp Fac Ref Yavapai Regl Med Ctr | 5.00% | 08/01/23 | 300,671 | ||||
33,149,414 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Arkansas – 0.1% | ||||||||
$610,000 | AR Dev Fin Auth Healthcare Rev Baptist Hlth | 4.00% | 12/01/44 | $629,557 | ||||
350,000 | Univ of Central Arkansas AR Rev, Ser A, AGM | 5.00% | 11/01/34 | 388,846 | ||||
1,018,403 | ||||||||
California – 6.3% | ||||||||
1,000,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Proj, Ser C | 4.50% | 07/01/26 | 1,032,560 | ||||
460,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (b) | 5.00% | 07/01/32 | 480,806 | ||||
480,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (b) | 5.00% | 07/01/33 | 498,288 | ||||
1,000,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (b) | 5.00% | 07/01/43 | 1,012,270 | ||||
1,325,000 | CA Sch Fin Auth Sch Fac Rev Kipp Socal Pub Schs, Ser A (b) | 5.00% | 07/01/39 | 1,378,371 | ||||
455,000 | CA Sch Fin Auth Sch Fac Rev Ref Hlth Learning Proj, Ser A (b) | 4.00% | 07/01/26 | 463,777 | ||||
800,000 | CA Sch Fin Auth Sch Fac Rev Ref Hlth Learning Proj, Ser A (b) | 5.00% | 07/01/32 | 834,208 | ||||
1,000,000 | CA St | 5.00% | 11/01/31 | 1,247,160 | ||||
750,000 | CA St | 5.00% | 08/01/32 | 905,677 | ||||
850,000 | CA St Cmnty Clg Fing Auth Clg Hsg Rev Orange Coast Pptys LLC Orange Coast Clg Proj | 5.25% | 05/01/43 | 868,309 | ||||
225,000 | CA St Enterprise Dev Auth Lease Rev Riverside Cnty Library Fac Proj | 4.00% | 11/01/37 | 248,020 | ||||
415,000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys West, Ser A | 4.00% | 03/01/33 | 426,408 | ||||
400,000 | CA St Hlth Facs Fing Auth Rev Ref Sutter Hlth, Ser B | 5.00% | 11/15/33 | 457,212 | ||||
600,000 | CA St Hlth Facs Fing Auth Rev Sutter Hlth, Ser A | 5.00% | 11/15/33 | 695,502 | ||||
445,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Vista Chrt Middle Sch Proj (c) | 5.38% | 07/01/34 | 449,668 | ||||
700,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Academy Proj (b) | 4.00% | 07/01/26 | 695,443 | ||||
1,515,000 | CA St Muni Fin Auth Mobile Home Park Rev Sr Caritas Affordable Hsg Inc Projs, Ser A | 5.25% | 08/15/39 | 1,623,822 | ||||
1,805,000 | CA St Muni Fin Auth Mobile Home Park Rev Sr Caritas Affordable Hsg Inc Projs, Ser A | 5.25% | 08/15/49 | 1,918,372 | ||||
200,000 | CA St Muni Fin Auth Rev Channing House Proj, Ser B | 5.00% | 05/15/37 | 230,138 | ||||
500,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/34 | 554,665 | ||||
1,250,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/33 | 1,224,525 | ||||
600,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/34 | 582,054 | ||||
1,000,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/35 | 963,140 | ||||
1,000,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/36 | 954,700 | ||||
2,130,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/39 | 1,985,203 | ||||
3,420,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 5.00% | 10/01/44 | 3,498,865 | ||||
680,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/27 | 743,111 | ||||
650,000 | CA St Muni Fin Auth Rev Sr Lien Linxs APM Proj, Ser A, AMT | 5.00% | 06/30/28 | 726,628 | ||||
200,000 | CA St Muni Fin Auth Sr Living Rev Ref Mt San Antonio Gardens Proj | 4.00% | 11/15/27 | 197,312 | ||||
1,000,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt Inc, Ser A1, AMT | 3.38% | 07/01/25 | 1,028,380 | ||||
1,500,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Rialto Bioenergy Fac LLC Proj Green Bond, AMT (b) | 6.75% | 12/01/28 | 1,371,225 | ||||
4,250,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Rialto Bioenergy Fac LLC Proj Green Bond, AMT (b) | 7.50% | 12/01/40 | 3,794,655 | ||||
775,000 | CA St Ref | 5.00% | 04/01/29 | 984,971 | ||||
2,000,000 | CA St Ref Various Purpose | 5.00% | 04/01/36 | 2,232,380 | ||||
500,000 | CA St Ref, Ser C | 5.00% | 09/01/32 | 581,820 | ||||
2,000,000 | CA St Sch Fin Auth Chrt Sch Rev Arts in Action Chrt Schs, Ser A (b) | 5.00% | 06/01/40 | 1,923,920 | ||||
500,000 | CA St Sch Fin Auth Chrt Sch Rev Summit Pub Schs (b) | 5.00% | 06/01/37 | 509,030 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$300,000 | CA St Stwd Cmntys Dev Auth Clg Hsg Rev NCCD Hooper Street LLC CA Clg of the Arts Projs (b) | 5.00% | 07/01/29 | $304,722 | ||||
700,000 | CA St Stwd Cmntys Dev Auth Clg Hsg Rev NCCD Hooper Street LLC CA Clg of the Arts Projs (b) | 5.25% | 07/01/39 | 688,331 | ||||
1,595,000 | CA St Univ Rev Systemwide, Ser A | 5.00% | 11/01/21 | 1,693,396 | ||||
300,000 | CA Stwd Cmntys Dev Auth Rev Beverly Cmnty Hosp Assoc | 5.00% | 02/01/30 | 325,278 | ||||
1,000,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (b) | 5.00% | 12/01/30 | 1,024,260 | ||||
450,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (b) | 5.00% | 12/01/33 | 457,285 | ||||
450,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (b) | 3.00% | 11/01/22 | 441,729 | ||||
500,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (b) | 5.00% | 11/01/32 | 509,380 | ||||
100,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/30 | 119,589 | ||||
195,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/31 | 232,099 | ||||
300,000 | CA Stwd Cmntys Dev Auth Rev Ref Lancer Eductnl Student Hsg Proj, Ser A (b) | 4.00% | 06/01/21 | 299,616 | ||||
370,000 | Chino CA Cmnty Facs Dist Spl Tax #2003-3 Impt Area #7 | 5.00% | 09/01/30 | 425,067 | ||||
300,000 | Chino Vly CA Unif Sch Dist, Ser B | 5.00% | 08/01/38 | 371,817 | ||||
250,000 | Chino Vly CA Unif Sch Dist, Ser B | 5.00% | 08/01/39 | 308,938 | ||||
2,160,000 | Etiwanda CA Sch Dist Cmnty Facs Dist #9 Spl Tax Ref | 5.00% | 09/01/35 | 2,480,695 | ||||
130,000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No 19 Mangini | 4.00% | 09/01/24 | 137,859 | ||||
155,000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No 19 Mangini | 4.00% | 09/01/25 | 165,038 | ||||
500,000 | Foothill-De Anza CA Cmnty Clg Dist Ref, COPS | 5.00% | 04/01/32 | 573,445 | ||||
1,360,000 | Hawthorne CA Cmnty Redev Agy Successor Agy Tax Allocation Ref Sub, AGM | 5.00% | 09/01/32 | 1,548,605 | ||||
175,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist No 09-1, Ser A | 5.00% | 09/01/31 | 208,695 | ||||
365,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist No 09-1, Ser A | 5.00% | 09/01/32 | 432,021 | ||||
125,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist No 09-1, Ser A | 5.00% | 09/01/34 | 146,151 | ||||
2,885,000 | Kaweah CA Delta Healthcare Dist Rev, Ser B | 5.00% | 06/01/40 | 3,140,005 | ||||
210,000 | La Verne CA Ref Brethren Hillcrest Homes, COPS | 5.00% | 05/15/22 | 213,398 | ||||
825,000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Impt Area #1 Mountain House Sch Facs | 5.00% | 09/01/42 | 884,903 | ||||
835,000 | Live Oak CA Sch Dist Santa Cruz Cnty Ref | 5.00% | 08/01/30 | 1,002,935 | ||||
600,000 | Lodi CA Unif Sch Dist Election of 2016, Ser 2020 | 4.00% | 08/01/35 | 671,448 | ||||
45,000 | Long Beach CA Bond Fin Auth Nat Gas Purchase Rev, Ser A | 5.25% | 11/15/23 | 49,577 | ||||
400,000 | Los Angeles CA Dept of Arpts Arpt Rev Sub Los Angeles Intl Arpt, Ser B, AMT | 5.00% | 05/15/31 | 451,720 | ||||
100,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/33 | 109,486 | ||||
1,260,000 | Marina Coast CA Wtr Dist Enterprise Rev, COPS | 4.00% | 06/01/44 | 1,386,920 | ||||
325,000 | Menifee CA Union Sch Dist Pub Fing Auth Spl Tax Rev Ref, Ser A | 5.00% | 09/01/28 | 374,185 | ||||
175,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/30 | 196,348 | ||||
150,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/31 | 166,592 | ||||
145,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/32 | 159,565 | ||||
165,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/33 | 180,667 | ||||
1,710,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/44 | 1,831,632 | ||||
1,110,000 | Montebello CA Pub Fing Auth Rev Montebello Home2 Suites Hilton Hotel Proj, Ser A | 5.00% | 06/01/32 | 1,294,637 | ||||
2,515,000 | Napa Vly CA Unif Sch Dist, Ser C, AGM | 4.00% | 08/01/38 | 2,727,870 | ||||
110,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/26 | 123,697 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$500,000 | River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2003-1, Ser A | 5.00% | 09/01/43 | $524,955 | ||||
500,000 | River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2019-1 Phase 2 Pub Impts | 4.00% | 09/01/33 | 504,820 | ||||
560,000 | River Islands CA Pub Fing Auth Spl Tax Ref Cmnty Facs Dist #2003-1 | 5.38% | 09/01/31 | 597,134 | ||||
500,000 | Riverside CA Unif Sch Dist Election of 2016, Ser B | 4.00% | 08/01/35 | 552,835 | ||||
865,000 | Rocklin CA Unif Sch Dist Cmnty Facs Dist Subordinate, Ser 2019, BAM | 5.00% | 09/15/34 | 1,072,505 | ||||
625,000 | Rocklin CA Unif Sch Dist Cmnty Facs Dist Subordinate, Ser 2019, BAM | 4.00% | 09/15/35 | 707,919 | ||||
1,080,000 | Rocklin CA Unif Sch Dist Cmnty Facs Dist Subordinate, Ser 2019, BAM | 4.00% | 09/15/36 | 1,217,959 | ||||
110,000 | Roseville CA Spl Tax | 5.00% | 09/01/30 | 125,054 | ||||
100,000 | Roseville CA Spl Tax | 5.00% | 09/01/31 | 112,713 | ||||
500,000 | Sacramento CA Transient Occupancy Tax Rev Sub Convention Ctr Complex, Ser C | 5.00% | 06/01/35 | 552,680 | ||||
350,000 | San Diego Cnty CA Ltd Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A | 5.00% | 11/01/25 | 417,056 | ||||
500,000 | San Diego Cnty CA Ltd Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A | 5.00% | 11/01/26 | 595,505 | ||||
945,000 | San Diego Cnty CA Regl Arpt Auth Sr, Ser B, AMT | 5.00% | 07/01/30 | 1,017,633 | ||||
1,250,000 | San Diego Cnty CA Regl Transprtn Commn, Ser A | 5.00% | 04/01/35 | 1,471,437 | ||||
1,365,000 | San Francisco CA Bay Area Rapid Transit Dist Sales Tax Rev, Ser A | 4.00% | 07/01/36 | 1,517,880 | ||||
1,330,000 | San Francisco CA Bay Area Rapid Transit Dist Sales Tax Rev, Ser A | 4.00% | 07/01/37 | 1,471,924 | ||||
1,000,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref, Ser D, AMT | 5.00% | 05/01/22 | 1,063,800 | ||||
280,000 | San Francisco City & Cnty CA Redev Agy Successor Agy Tax Ref Mission Bay N Redev Proj, Ser A | 5.00% | 08/01/35 | 314,171 | ||||
150,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/32 | 171,366 | ||||
375,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/39 | 413,846 | ||||
340,000 | South San Francisco CA Pub Facs Fing Auth Lease Rev Police Station Proj, Ser A | 4.00% | 06/01/33 | 393,870 | ||||
400,000 | South San Francisco CA Pub Facs Fing Auth Lease Rev Police Station Proj, Ser A | 4.00% | 06/01/34 | 457,804 | ||||
160,000 | Tahoe Truckee CA Unif Sch Dist COPS, BAM | 4.00% | 06/01/35 | 176,474 | ||||
255,000 | Tahoe Truckee CA Unif Sch Dist COPS, BAM | 4.00% | 06/01/36 | 280,049 | ||||
1,000,000 | Tahoe Truckee CA Unif Sch Dist COPS, BAM | 4.00% | 06/01/43 | 1,078,560 | ||||
100,000 | Temecula Vly Unif Sch Dist Fing Auth CA Spl Tax Rev, BAM | 5.00% | 09/01/34 | 113,267 | ||||
385,000 | Temescal Vly CA Wtr Dist Spl Tax Terramor Cmnty Facs Dist #4 Impt Area #1 | 4.00% | 09/01/23 | 404,373 | ||||
500,000 | Tobacco Securitization Auth Nthrn CA Tobacco Settlement Rev Asset Bkd Bds, Ser A-1 | 5.50% | 06/01/45 | 494,375 | ||||
650,000 | Tulare CA Loc Hlth Care Dist Ref, BAM | 4.00% | 08/01/35 | 725,081 | ||||
500,000 | Tulare CA Loc Hlth Care Dist Ref, BAM | 4.00% | 08/01/39 | 544,675 | ||||
300,000 | Vacaville CA Unif Sch Dist, Ser D | 4.00% | 08/01/35 | 335,904 | ||||
600,000 | Vacaville CA Unif Sch Dist, Ser D | 4.00% | 08/01/37 | 666,000 | ||||
500,000 | Vacaville CA Unif Sch Dist, Ser D | 4.00% | 08/01/38 | 552,580 | ||||
1,050,000 | Victor CA Elem Sch Dist Cmnty Facs Dist Spl Tax Ref 2005-1, BAM | 5.00% | 09/01/46 | 1,192,254 | ||||
89,020,654 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado – 7.9% | ||||||||
$500,000 | Aviation Station North Met Dist #2 CO Ltd, Ser A | 4.00% | 12/01/29 | $456,890 | ||||
500,000 | Base Vlg Met Dist #2 CO Ref, Ser A | 5.50% | 12/01/36 | 493,030 | ||||
1,000,000 | Broadway Station Met Dist No 3 CO Sr Cib Lmtd Tax Convertible to Unlimited Tax | 5.00% | 12/01/49 | 835,040 | ||||
455,000 | Buffalo Ridge CO Met Dist Ref & Impt Sr, Ser A, BAM | 5.00% | 12/01/25 | 536,336 | ||||
250,000 | Buffalo Ridge CO Met Dist Ref & Impt Sr, Ser A, BAM | 5.00% | 12/01/26 | 300,473 | ||||
500,000 | Castle Oaks CO Met Dist #3 Ref | 5.00% | 12/01/37 | 454,720 | ||||
500,000 | Centerra CO Met Dist #1 Spl Rev Dist #1 (b) | 5.00% | 12/01/22 | 505,150 | ||||
1,000,000 | Centerra CO Met Dist #1 Spl Rev Dist #1 (b) | 5.00% | 12/01/29 | 978,150 | ||||
400,000 | CO Eductnl & Cultural Auth Rev Ref West Ridge Academy Chrt Sch Proj, Ser A | 5.00% | 06/01/49 | 425,244 | ||||
700,000 | CO St Building Excellent Schs Today, Ser O, COPS | 5.00% | 03/15/31 | 880,754 | ||||
1,750,000 | CO St Building Excellent Schs Today, Ser O, COPS | 4.00% | 03/15/37 | 1,937,390 | ||||
2,390,000 | CO St Building Excellent Schs Today, Ser O, COPS | 4.00% | 03/15/38 | 2,627,446 | ||||
1,920,000 | CO St Eductnl & Cultural Facs Auth Rev Chrt Sch Loveland Classical Schs Proj (b) | 5.00% | 07/01/36 | 1,772,390 | ||||
2,245,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp | 5.00% | 12/15/35 | 2,362,144 | ||||
4,000,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp | 5.00% | 12/15/45 | 4,128,240 | ||||
1,020,000 | CO St Eductnl & Cultural Facs Auth Rev Univ Denver Proj, Ser A | 4.00% | 03/01/35 | 1,107,057 | ||||
250,000 | CO St Hlth Facs Auth Hosp Rev Ref Commonspirit Hlth, Ser A-1 | 5.00% | 08/01/35 | 276,238 | ||||
3,000,000 | CO St Hlth Facs Auth Hosp Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/38 | 3,003,240 | ||||
1,125,000 | CO St Hlth Facs Auth Hosp Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/44 | 1,095,480 | ||||
7,000,000 | CO St Hlth Facs Auth Hosp Rev Ref Commonspirit Hlth, Ser B | 4.00% | 01/01/40 | 7,248,780 | ||||
300,000 | CO St Hlth Facs Auth Hosp Rev Ref Frasier Meadows Retmnt Cmnty Proj, Ser A | 5.00% | 05/15/25 | 297,108 | ||||
350,000 | CO St Hlth Facs Auth Hosp Rev Ref Frasier Meadows Retmnt Cmnty Proj, Ser A | 5.00% | 05/15/26 | 345,520 | ||||
2,500,000 | CO St Hlth Facs Auth Hosp Rev Ref Sanford Hlth, Ser A | 5.00% | 11/01/31 | 2,943,700 | ||||
2,950,000 | CO St Hlth Facs Auth Hosp Rev Ref Sanford Hlth, Ser A | 5.00% | 11/01/32 | 3,440,054 | ||||
3,655,000 | CO St Hlth Facs Auth Hosp Rev Ref Sanford Hlth, Ser A | 5.00% | 11/01/33 | 4,231,284 | ||||
1,800,000 | CO St Hlth Facs Auth Hosp Rev Ref Sanford Hlth, Ser A | 5.00% | 11/01/44 | 1,978,470 | ||||
605,000 | CO St Hlth Facs Auth Rev Ref Covenant Retmnt Cmntys, Ser A | 5.00% | 12/01/27 | 618,159 | ||||
525,000 | CO St Hlth Facs Auth Rev Ref Covenant Retmnt Cmntys, Ser A | 5.00% | 12/01/33 | 531,935 | ||||
495,000 | Colorado Springs CO Pikes Peak Americas Mountain Enterprise Pikes Peak | 5.00% | 12/01/25 | 585,808 | ||||
500,000 | Copperleaf CO Met Dist #2 Ref | 5.25% | 12/01/30 | 501,915 | ||||
5,000,000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/35 | 5,803,850 | ||||
4,000,000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/37 | 4,611,360 | ||||
975,000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/38 | 1,120,801 | ||||
1,000,000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/43 | 1,136,310 | ||||
1,000,000 | Denver CO City & Cnty Dedicated Tax Rev, Ser A-1 | 5.00% | 08/01/41 | 1,154,800 | ||||
600,000 | Denver CO Hlth & Hosp Auth 550 Acoma Inc, COPS | 5.00% | 12/01/26 | 698,034 | ||||
1,790,000 | Denver CO Intl Business Ctr CO Met Dist #1 Subordinate, Ser B | 6.00% | 12/01/48 | 1,635,469 | ||||
55,000 | E-470 CO Pub Highway Auth Capital Appreciation Sr, Ser B, NATL-RE | (d) | 09/01/22 | 52,037 | ||||
1,500,000 | Fourth Street Crossing Business Impt Dist CO Sr, Ser A (b) | 5.13% | 12/01/38 | 1,338,690 | ||||
2,735,000 | Hunters Overlook Metro Dist #5 Co Sr Bonds, Ser A | 5.00% | 12/01/49 | 2,413,173 | ||||
900,000 | Hunters Overlook Metro Dist #5 CO Sr Bonds, Ser A | 5.00% | 12/01/39 | 845,406 | ||||
1,000,000 | Independence Met Dist #3 CO, Ser A | 6.25% | 12/01/49 | 986,290 | ||||
860,000 | Lakes at Centerra Met Dist No 2 CO Impt, Ser A | 4.63% | 12/01/27 | 837,726 | ||||
1,000,000 | Lanterns Met Dist #1 CO Sr, Ser A | 5.00% | 12/01/49 | 855,830 | ||||
100,000 | Lorson Ranch Met Dist #2 CO | 4.00% | 12/01/24 | 109,020 | ||||
170,000 | Lorson Ranch Met Dist #2 CO | 5.00% | 12/01/27 | 195,733 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado (Continued) | ||||||||
$3,260,000 | Mirabelle Met Dist #2 Co Sr, Ser A | 5.00% | 12/01/39 | $2,907,790 | ||||
1,000,000 | North Park Met Dist #1 Spl Rev, Ser A-2 | 5.13% | 12/01/28 | 982,620 | ||||
3,000,000 | Painted Prairie Pub Impt Auth CO | 5.00% | 12/01/39 | 2,704,470 | ||||
2,460,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/24 | 2,834,560 | ||||
150,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/31 | 173,694 | ||||
150,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/34 | 172,497 | ||||
155,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/35 | 177,895 | ||||
2,000,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/45 | 2,255,100 | ||||
1,000,000 | Park Creek CO Met Dist Rev Sr Lien, Ser A, AGM | 4.00% | 12/01/34 | 1,139,820 | ||||
1,455,000 | Park Creek CO Met Dist Rev Sr Lien, Ser A, AGM | 4.00% | 12/01/35 | 1,650,246 | ||||
1,040,000 | Park Creek CO Met Dist Rev Sr Lien, Ser A, AGM | 4.00% | 12/01/36 | 1,174,597 | ||||
420,000 | Park Creek CO Met Dist Rev Sr, Ser A | 5.00% | 12/01/30 | 514,823 | ||||
30,000 | Park Creek CO Met Dist Rev Sr, Ser A, NATL-RE | 5.00% | 12/01/24 | 34,640 | ||||
500,000 | Parker Homestead Met Dist CO Ref (c) | 5.63% | 12/01/44 | 489,870 | ||||
1,000,000 | Prairie Ctr CO Met Dist #3 Ltd Property Tax Supported Pri Ref, Ser A (b) | 4.13% | 12/15/27 | 955,490 | ||||
135,000 | Pub Auth for CO St Energy Nat Gas Purchase Rev | 6.13% | 11/15/23 | 144,805 | ||||
5,000,000 | Rampart Range CO Met Dist #1 Ltd Tax Supported & Spl Rev Ref & Impt, AGM | 5.00% | 12/01/42 | 5,805,650 | ||||
550,000 | Serenity Ridge CO Met Dist #2 Ref, Ser A (c) | 5.13% | 12/01/37 | 512,264 | ||||
750,000 | Sierra Ridge Met Dist No 2 CO Sr, Ser A | 4.50% | 12/01/31 | 694,875 | ||||
2,015,000 | South Suburban Park & Recreation Dist CO, COPS | 4.00% | 12/15/35 | 2,219,381 | ||||
2,065,000 | Stc Met Dist #2 CO Ref, Ser A | 4.00% | 12/01/29 | 1,893,316 | ||||
4,000,000 | Stc Met Dist #2 CO Ref, Ser A | 5.00% | 12/01/38 | 3,742,400 | ||||
2,000,000 | Stc Met Dist #2 CO Ref, Ser A | 5.00% | 12/01/49 | 1,762,360 | ||||
175,000 | Sterling Hills CO W Met Dist Ref | 5.00% | 12/01/32 | 198,237 | ||||
1,800,000 | Takoda CO Met Dist Ref | 6.00% | 12/01/36 | 2,048,796 | ||||
1,400,000 | Thompson Crossing Met Dist #4 CO Ref | 5.00% | 12/01/39 | 1,374,240 | ||||
500,000 | Trails at Crowfoot Met Dist #3 CO Sr Series, Ser A | 5.00% | 12/01/39 | 455,165 | ||||
1,000,000 | Velocity Met Dist #3 CO | 5.13% | 12/01/34 | 962,820 | ||||
600,000 | Willow Bend Met Dist CO Sr, Ser A | 5.00% | 12/01/39 | 552,138 | ||||
1,000,000 | Willow Bend Met Dist CO Sr, Ser A | 5.00% | 12/01/49 | 869,730 | ||||
112,096,963 | ||||||||
Connecticut – 3.5% | ||||||||
1,250,000 | CT St Hlth & Eductnl Facs Auth Rev Fairfield Univ, Ser Q-1 | 5.00% | 07/01/46 | 1,339,563 | ||||
1,000,000 | CT St Hlth & Eductnl Facs Auth Rev Quinnipiac Univ Ref, Ser M | 5.00% | 07/01/36 | 1,090,270 | ||||
5,160,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Fairfield Univ, Ser R | 4.00% | 07/01/47 | 5,195,810 | ||||
1,000,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Fairfield Univ, Ser S | 5.00% | 07/01/26 | 1,138,970 | ||||
2,250,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Quinnipiac Univ, Ser L | 5.00% | 07/01/31 | 2,461,500 | ||||
200,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Quinnipiac Univ, Ser L | 4.00% | 07/01/33 | 205,642 | ||||
1,210,000 | CT St Hlth & Eductnl Facs Auth Rev Yale Univ Issue, Ser U-2 (Mandatory put 02/08/22) | 2.00% | 07/01/33 | 1,228,719 | ||||
500,000 | CT St Hlth & Eductnl Facs Auth Rev, Ser A | 5.00% | 07/01/34 | 571,855 | ||||
1,000,000 | CT St Hlth & Eductnl Facs Auth Rev, Ser A | 5.00% | 07/01/35 | 1,138,160 | ||||
1,000,000 | CT St Hlth & Eductnl Facs Auth Rev, Ser A | 4.00% | 07/01/36 | 1,036,150 | ||||
1,120,000 | CT St Hsg Fin Auth Hsg Fin Mtge Program Ref, Subser A-1 | 3.65% | 11/15/32 | 1,183,202 | ||||
3,500,000 | CT St Hsg Fin Auth Hsg Fin Mtge Program Ref, Subser B-1 | 3.55% | 11/15/33 | 3,746,330 | ||||
2,345,000 | CT St Spl Tax Oblig Rev Transprtn Infrastructure, Ser A | 5.00% | 08/01/34 | 2,610,407 | ||||
1,445,000 | CT St, Ser A | 5.00% | 04/15/29 | 1,682,890 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Connecticut (Continued) | ||||||||
$500,000 | CT St, Ser A | 4.00% | 01/15/36 | $529,735 | ||||
5,000,000 | CT St, Ser A | 4.00% | 01/15/37 | 5,275,800 | ||||
790,000 | CT St, Ser B | 5.00% | 03/01/26 | 855,483 | ||||
905,000 | CT St, Ser E | 5.00% | 10/15/33 | 1,022,804 | ||||
560,000 | CT St, Ser E | 4.00% | 10/15/35 | 583,794 | ||||
700,000 | CT St, Ser F | 5.00% | 11/15/34 | 777,742 | ||||
500,000 | Hamden CT, BAM | 6.00% | 08/15/33 | 632,560 | ||||
500,000 | Harbor Point CT Infrastructure Impt Dist Spl Oblig Rev Ref Harbor Point Proj Ltd (b) | 5.00% | 04/01/39 | 508,445 | ||||
1,970,000 | Univ of Connecticut CT, Ser A | 5.00% | 01/15/29 | 2,292,883 | ||||
4,635,000 | Univ of Connecticut CT, Ser A | 5.00% | 01/15/30 | 5,365,708 | ||||
1,250,000 | Univ of Connecticut CT, Ser A | 5.00% | 11/01/32 | 1,468,125 | ||||
3,820,000 | Univ of Connecticut CT, Ser A | 5.00% | 11/01/34 | 4,449,803 | ||||
1,500,000 | Univ of Connecticut CT, Ser A | 5.00% | 11/01/36 | 1,733,190 | ||||
50,125,540 | ||||||||
Delaware – 0.2% | ||||||||
325,000 | DE St Hlth Facs Auth Rev Beebe Med Ctr | 5.00% | 06/01/26 | 374,826 | ||||
2,633,000 | Millsboro DE Spl Oblig Ref Plantation Lakes Spl Dev Dist (b) | 5.00% | 07/01/28 | 2,612,936 | ||||
2,987,762 | ||||||||
District of Columbia – 0.2% | ||||||||
1,000,000 | Washington DC Met Area Transit Auth Gross Rev | 5.00% | 07/01/33 | 1,179,530 | ||||
885,000 | Washington DC Met Area Transit Auth Gross Rev Ref, Ser A-1 | 5.00% | 07/01/29 | 1,075,620 | ||||
2,255,150 | ||||||||
Florida – 6.7% | ||||||||
500,000 | Academical Vlg CDD FL Spl Assmnt Rev CDD | 2.88% | 05/01/25 | 484,460 | ||||
1,000,000 | Academical Vlg CDD FL Spl Assmnt Rev CDD | 3.63% | 05/01/40 | 860,460 | ||||
125,000 | Belle Isle FL Chrt Sch Lease Rev Cornerstone Chrt Academy & Cornerstone Chrt High Sch | 5.50% | 10/01/22 | 128,731 | ||||
300,000 | Bexley CDD FL Spl Assmnt Rev | 4.10% | 05/01/26 | 297,483 | ||||
410,000 | Brookstone CDD FL Spl Assmnt Rev CDD (e) | 3.88% | 11/01/23 | 406,630 | ||||
2,305,000 | Broward Cnty FL Arpt Sys Rev, Ser A, AMT | 5.00% | 10/01/31 | 2,716,880 | ||||
605,000 | Broward Cnty FL Fuel Sys Rev Ft Lauderdale Fuel Facs, Ser A, AGM, AMT | 5.00% | 04/01/22 | 650,030 | ||||
1,350,000 | Broward Cnty FL Port Facs Rev Ref Subordinate Bond, Ser D, AMT | 5.00% | 09/01/27 | 1,604,813 | ||||
250,000 | Citizens Property Insurance Corp FL, Ser A1 | 5.00% | 06/01/22 | 263,868 | ||||
2,000,000 | Coco Palms FL Cdd Spl Assmnt | 4.50% | 05/01/32 | 2,028,760 | ||||
280,000 | Escambia Cnty FL Hlth Facs Auth Baptist Hosp Inc Proj, Ser A | 5.50% | 08/15/24 | 282,744 | ||||
400,000 | Escambia Cnty FL Sol Wst Disp Var Gulf Pwr Co Proj, 2nd Ser (a) | 0.25% | 04/01/39 | 400,000 | ||||
725,000 | FL St Govtl Utility Auth Rev Ref, AGM | 4.00% | 10/01/37 | 824,731 | ||||
825,000 | FL St Govtl Utility Auth Rev Ref, AGM | 4.00% | 10/01/38 | 935,435 | ||||
750,000 | FL St Govtl Utility Auth Rev Ref, AGM | 4.00% | 10/01/39 | 848,145 | ||||
1,720,000 | FL St Muni Pwr Agy Ref, Ser A | 5.00% | 10/01/20 | 1,749,515 | ||||
1,900,000 | Fort Myers FL Utility Rev Ref Rev, Ser A | 4.00% | 10/01/44 | 2,082,134 | ||||
6,850,000 | Gtr Orlando FL Aviation Auth Arpt Facs Rev Priority Sub, Ser A, AMT | 5.00% | 10/01/42 | 7,513,217 | ||||
1,000,000 | Gulfstream Polo Cmnty Dev Dist FL Spl Assmnt Phase 2 Proj | 4.38% | 11/01/49 | 934,220 | ||||
445,000 | Harmony FL CDD Capital Impt Rev Ref, Ser 2015 | 4.75% | 05/01/25 | 443,242 | ||||
365,000 | Heritage Harbour FL N CDD Capital Impt Rev Ref Sr Lien, Ser A-1, AGM | 5.00% | 05/01/25 | 416,870 | ||||
125,000 | Hollywood FL Cmnty Redev Agy Redev Rev Ref | 5.00% | 03/01/23 | 137,565 | ||||
1,000,000 | Jacksonville FL Healthcare Facs Rev Ref Baptist Hlth | 5.00% | 08/15/35 | 1,157,250 | ||||
3,700,000 | Jacksonville FL Spl Rev Ref Spl Rev, Ser A | 5.00% | 10/01/31 | 4,396,525 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$1,000,000 | Jacksonville FL Spl Rev Ref Spl Rev, Ser B | 5.00% | 10/01/28 | $1,195,590 | ||||
2,980,000 | Jea FL Wtr & Swr Rev Ref, Ser A | 4.00% | 10/01/39 | 3,237,442 | ||||
1,230,000 | Lakeland FL Hosp Sys Rev Lakeland Regl Hlth | 5.00% | 11/15/33 | 1,330,553 | ||||
1,210,000 | Lee Cnty FL Indl Dev Auth Cypress Cove Healthpark FL Inc Memory Care Proj | 4.00% | 10/01/24 | 1,177,052 | ||||
1,000,000 | Lee Cnty FL Indl Dev Auth Shell Point/Waterside Hlth Proj | 5.00% | 11/15/39 | 1,017,430 | ||||
1,500,000 | Lee Cnty FL Indl Dev Auth Shell Point/Waterside Hlth Proj | 5.00% | 11/15/44 | 1,509,015 | ||||
1,385,000 | Mediterra FL S CDD Capital Impt Rev Ref | 5.10% | 05/01/31 | 1,461,175 | ||||
2,500,000 | Miami Dade Cnty FL Wtr & Swr Rev Ref Sys, Ser B | 4.00% | 10/01/34 | 2,813,450 | ||||
2,130,000 | Miami Dade Cnty FL Wtr & Swr Rev Sys, Ser A | 4.00% | 10/01/40 | 2,334,587 | ||||
330,000 | Miami FL Hlth Facs Auth Ref Miami Jewish Hlth Sys Oblig Grp | 5.00% | 07/01/25 | 304,217 | ||||
500,000 | Miami FL Spl Oblig Ref (b) | 5.00% | 03/01/30 | 550,700 | ||||
375,000 | Miami World Ctr CDD FL Spl Assmnt | 4.00% | 11/01/23 | 376,991 | ||||
275,000 | Miami World Ctr CDD FL Spl Assmnt | 4.75% | 11/01/27 | 284,048 | ||||
1,015,000 | Miami-Dade Cnty FL Aviation Rev Ref, Ser A, AMT | 5.00% | 10/01/27 | 1,110,857 | ||||
2,000,000 | Miami-Dade Cnty FL Eductnl Facs Auth Rev Ref Univ Miami, Ser A | 5.00% | 04/01/31 | 2,180,880 | ||||
445,000 | Miami-Dade Cnty FL Indl Dev Auth Doral Academy Proj | 5.00% | 01/15/25 | 471,335 | ||||
550,000 | Miami-Dade Cnty FL Indl Dev Auth Doral Academy Proj | 5.00% | 01/15/32 | 575,927 | ||||
1,210,000 | Miami-Dade Cnty FL Indl Dev Auth Doral Academy Proj | 5.00% | 01/15/37 | 1,241,847 | ||||
1,080,000 | Miami-Dade Cnty FL Spl Oblig Sub Ref | 5.00% | 10/01/35 | 1,280,437 | ||||
6,000,000 | Miami-Dade Cnty FL Wtr & Swr Rev, Ser B | 4.00% | 10/01/44 | 6,577,860 | ||||
2,430,000 | Miami-Dade Cnty FL, Ser A | 5.00% | 07/01/43 | 2,868,493 | ||||
440,000 | North Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 3.63% | 05/01/24 | 431,345 | ||||
800,000 | North Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 4.00% | 05/01/30 | 761,888 | ||||
225,000 | North Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 4.50% | 05/01/40 | 206,885 | ||||
355,000 | Nthrn Palm Beach Cnty FL Impt Dist | 5.00% | 08/01/37 | 371,319 | ||||
680,000 | Orange Cnty FL Hlth Facs Auth Rev Presbyterian Retmnt Cmntys Proj | 5.00% | 08/01/29 | 694,001 | ||||
345,000 | Orange Cnty FL Hlth Facs Auth Rev Presbyterian Retmnt Cmntys Proj | 5.00% | 08/01/34 | 348,781 | ||||
6,000,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Orlando Hlth Inc, Ser A | 5.00% | 10/01/36 | 6,744,660 | ||||
2,000,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Orlando Hlth Inc, Ser A | 5.00% | 10/01/39 | 2,237,140 | ||||
825,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Presbyterian Retmnt Cmntys | 5.00% | 08/01/31 | 843,117 | ||||
1,000,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Presbyterian Retmnt Cmntys | 5.00% | 08/01/41 | 1,000,980 | ||||
900,000 | Palm Beach Cnty FL Hlth Facs Auth Acts Retmnt Life Cmntys Ref | 5.00% | 11/15/22 | 930,879 | ||||
800,000 | Palm Beach Cnty FL Hlth Facs Auth Hosp Rev Baptist Hlth South FL Obligated Grp | 5.00% | 08/15/23 | 867,520 | ||||
1,000,000 | Palm Beach Cnty FL Hlth Facs Auth Ref Acts Retmnt Life Cmntys Inc Oblig Grp | 5.00% | 11/15/32 | 1,047,590 | ||||
305,000 | Palm Beach Cnty FL Hlth Facs Auth Rev Lifespace Cmntys Inc, Ser B | 5.00% | 05/15/31 | 302,191 | ||||
55,000 | Port Saint Lucie FL Cmnty Redev Agy Rev Ref | 5.00% | 01/01/23 | 60,290 | ||||
200,000 | Rhodine Road North CDD FL Spl Assmnt | 3.50% | 05/01/24 | 197,724 | ||||
1,000,000 | Rhodine Road North CDD FL Spl Assmnt | 4.50% | 05/01/40 | 956,750 | ||||
545,000 | Rivington CDD FL Spl Assmnt Rev Assmnt Area | 2.88% | 05/01/25 | 530,160 | ||||
335,000 | San Simeon Cmnty Dev Dist FL Spl Assmnt (b) | 4.13% | 06/15/39 | 325,697 | ||||
725,000 | Sarasota Cnty FL Hlth Facs Auth Retmnt Fac Rev Ref Vlg of Isle Proj | 5.00% | 01/01/25 | 722,869 | ||||
2,250,000 | SE Overtown Park W Cmnty Redev Agy FL Tax, Ser A-1 (b) | 5.00% | 03/01/30 | 2,461,950 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$500,000 | Shell Point Cmnty Dev Dist FL Spl Assmnt (b) | 4.00% | 11/01/24 | $495,135 | ||||
2,730,000 | Stoneybrook FL S CDD Spl Assmnt Rev Assmnt Area Two, A Proj | 5.13% | 11/01/34 | 2,959,347 | ||||
500,000 | Tallahassee FL Energy Sys Rev Energy Sys | 5.00% | 10/01/29 | 575,980 | ||||
1,500,000 | Tallahassee FL Energy Sys Rev Energy Sys | 5.00% | 10/01/30 | 1,723,785 | ||||
215,000 | Timber Creek CDD FL Spl Assmnt Rev (e) | 4.13% | 11/01/24 | 213,478 | ||||
100,000 | UCF Stadium Corp FL Rev Ref, Ser A | 5.00% | 03/01/24 | 108,888 | ||||
170,000 | Villamar CDD FL Spl Assmnt (c) | 3.75% | 05/01/24 | 166,056 | ||||
70,000 | Vlg FL CDD #6 Spl Assmnt Rev Ref | 4.00% | 05/01/25 | 76,428 | ||||
500,000 | Volusia Cnty FL Eductnl Fac Auth Ref Embry Riddle Aeronautical Univ Inc Proj, Ser A | 4.00% | 10/15/37 | 514,175 | ||||
835,000 | Westside FL CDD Spl Assmnt Rev Ref (b) | 4.10% | 05/01/37 | 788,975 | ||||
500,000 | WildBlue CDD FL Spl Assmnt (b) | 3.50% | 06/15/24 | 499,055 | ||||
95,628,632 | ||||||||
Georgia – 3.8% | ||||||||
9,000,000 | Atlanta GA Arpt Passenger Fac Charge Rev Arpt Rev Subordinate, Ser D, AMT | 4.00% | 07/01/38 | 9,441,810 | ||||
650,000 | Atlanta GA Tax Allocation Ref Eastside Proj | 5.00% | 01/01/30 | 793,078 | ||||
3,000,000 | Atlanta GA Wtr & Wstwtr Rev Ref, Ser A | 5.00% | 11/01/41 | 3,564,120 | ||||
4,400,000 | Atlanta GA Wtr & Wstwtr Rev Ref, Ser C | 4.00% | 11/01/37 | 4,913,920 | ||||
625,000 | De Kalb GA Priv Hosp Auth Children’s Healthcare of Atlanta, Ser B | 4.00% | 07/01/37 | 687,850 | ||||
315,000 | East Point GA Tax Allocation Ref | 5.00% | 08/01/21 | 329,462 | ||||
500,000 | Etowah GA Wtr & Swr Auth Rev Ref, BAM | 4.00% | 03/01/34 | 557,535 | ||||
350,000 | Etowah GA Wtr & Swr Auth Rev Ref, BAM | 4.00% | 03/01/35 | 388,539 | ||||
400,000 | Etowah GA Wtr & Swr Auth Rev Ref, BAM | 4.00% | 03/01/36 | 442,024 | ||||
1,490,000 | Floyd Cnty GA Dev Auth Spires Berry Clg Proj, Ser A (c) | 5.50% | 12/01/28 | 1,343,160 | ||||
2,450,000 | Floyd Cnty GA Dev Auth Spires Berry Clg Proj, Ser A (c) | 5.75% | 12/01/33 | 2,122,386 | ||||
1,000,000 | Fulton Cnty GA Dev Auth Rev Ref Children’s Healthcare of Atlanta, Ser C | 5.00% | 07/01/35 | 1,189,410 | ||||
3,455,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/31 | 3,502,264 | ||||
750,000 | GA St Hgr Edu Facs Auth Rev Ref USG Real Estate Fdtn II LLC Projs | 5.00% | 06/15/34 | 886,463 | ||||
890,000 | GA St Hgr Edu Facs Auth Rev Ref USG Real Estate Fdtn II LLC Projs | 5.00% | 06/15/35 | 1,047,023 | ||||
2,525,000 | GA St Hsg & Fin Auth Rev Sf Mtge, Ser C | 3.25% | 12/01/33 | 2,633,575 | ||||
5,000,000 | GA St, Ser A-2 | 4.00% | 02/01/36 | 5,550,550 | ||||
40,000 | Gainesville & Hall Cnty GA Hosp Auth Ref NE GA Hlth Sys Inc Proj, Ser A | 5.00% | 02/15/26 | 44,970 | ||||
1,000,000 | Glynn-Brunswick GA Memorial Hosp Auth Anticipation Ctfs South East GA Hlth Sys Proj | 5.00% | 08/01/47 | 1,062,440 | ||||
985,000 | Glynn-Brunswick GA Memorial Hosp Auth Ref Rev Anticipation Ctfs Southeast GA Hlth Sys Proj | 4.00% | 08/01/37 | 1,018,155 | ||||
175,000 | Main Street Nat Gas Inc GA Gas Rev, Ser A | 5.50% | 09/15/23 | 192,798 | ||||
1,000,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/27 | 1,113,190 | ||||
2,330,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/30 | 2,620,528 | ||||
2,160,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C | 5.00% | 09/01/25 | 2,422,310 | ||||
1,170,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C | 5.00% | 09/01/26 | 1,331,659 | ||||
560,000 | Priv Clgs & Univs Auth GA Mercer Univ Proj, Ser C | 5.25% | 10/01/27 | 581,106 | ||||
1,175,000 | Priv Clgs & Univs Auth GA Savannah Clg of Art & Design Proj | 5.00% | 04/01/33 | 1,258,601 | ||||
2,865,000 | S Regl GA Jt Dev Auth Rev Ref Valdosta St Univ VSU ASRE GA Reade Hopper LLC | 5.00% | 08/01/35 | 3,374,712 | ||||
54,413,638 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Guam – 0.1% | ||||||||
$400,000 | Guam Govt Business Privilege Tax Rev, Ser B-1 | 5.00% | 01/01/37 | $390,808 | ||||
300,000 | Guam Port Auth Port Rev, Ser B, AMT | 5.00% | 07/01/32 | 301,800 | ||||
75,000 | Guam Pwr Auth Rev Ref, Ser A, AGM | 5.00% | 10/01/20 | 76,219 | ||||
768,827 | ||||||||
Hawaii – 0.8% | ||||||||
195,000 | HI St Dept of Budget & Fin Spl Purpose Rev Ref HI Pacific Hlth Oblig Grp, Ser B | 5.00% | 07/01/30 | 210,169 | ||||
110,000 | HI St Pacific Hlth Spl Purpose Rev, Ser B | 5.63% | 07/01/30 | 110,864 | ||||
4,980,000 | HI St, Ser FG | 4.00% | 10/01/33 | 5,513,358 | ||||
500,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Ref Junior, Ser A | 5.00% | 07/01/20 | 503,295 | ||||
2,450,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Ref Sr First Bd Resolution, Ser B | 4.00% | 07/01/32 | 2,669,030 | ||||
2,000,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Sr First Bd Resolution, Ser A | 4.00% | 07/01/42 | 2,182,020 | ||||
100,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Sr First Bd Resolution, Ser B | 5.00% | 07/01/20 | 100,664 | ||||
11,289,400 | ||||||||
Idaho – 0.1% | ||||||||
1,000,000 | ID St Hlth Facs Auth Rev Ref Madison Memorial Hosp | 5.00% | 09/01/37 | 1,066,440 | ||||
255,000 | ID St Hlth Facs Auth Rev Ref Vly Vista Care Corp, Ser A | 5.00% | 11/15/32 | 223,543 | ||||
500,000 | ID St Hlth Facs Auth Rev Trinity Hlth Ref, Ser D | 5.00% | 12/01/33 | 542,910 | ||||
1,832,893 | ||||||||
Illinois – 3.3% | ||||||||
1,210,000 | Bolingbrook IL Ref, Ser A | 4.00% | 01/01/35 | 1,318,573 | ||||
1,000,000 | Bolingbrook IL Ref, Ser A, AGM | 5.00% | 01/01/30 | 1,218,340 | ||||
1,000,000 | Bolingbrook IL Ref, Ser A, AGM | 5.00% | 01/01/31 | 1,211,660 | ||||
130,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (d) | 12/01/22 | 119,922 | ||||
500,000 | Chicago IL Brd of Edu Ref Dedicated, Ser C | 5.00% | 12/01/30 | 502,280 | ||||
1,975,000 | Chicago IL Brd of Edu Ref, Ser F | 5.00% | 12/01/31 | 1,971,267 | ||||
625,000 | Chicago IL Brd of Edu, Ser A | 5.50% | 12/01/39 | 617,644 | ||||
305,000 | Chicago IL O’Hare Intl Arpt Rev Ref Gen Sr Lien, Ser A, AMT | 5.00% | 01/01/30 | 338,019 | ||||
600,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien, Ser A, AMT | 5.00% | 01/01/37 | 670,146 | ||||
400,000 | Chicago IL O’Hare Intl Arpt Rev, Ser C, AMT | 5.00% | 01/01/34 | 429,032 | ||||
450,000 | Chicago IL Ref 2003B | 5.25% | 01/01/29 | 456,520 | ||||
185,000 | Chicago IL Ref Proj, Ser A | 5.00% | 01/01/27 | 188,208 | ||||
1,155,000 | Chicago IL Ref Proj, Ser A | 5.00% | 01/01/35 | 1,141,001 | ||||
500,000 | Chicago IL Ref, Ser A | 5.63% | 01/01/29 | 523,495 | ||||
150,000 | Chicago IL Ref, Ser C | 4.00% | 01/01/22 | 157,839 | ||||
500,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/25 | 512,450 | ||||
645,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/26 | 660,370 | ||||
270,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/38 | 261,449 | ||||
285,000 | Chicago IL Ref, Ser C, CABS | (d) | 01/01/22 | 264,674 | ||||
145,000 | Chicago IL Ref, Ser C, CABS | (d) | 01/01/24 | 122,357 | ||||
125,000 | Chicago IL Ref, Ser C, CABS | (d) | 01/01/25 | 100,378 | ||||
2,060,000 | Chicago IL, Ser A | 5.00% | 01/01/27 | 2,102,663 | ||||
2,425,000 | DuPage & Cook Cntys IL Twp High Sch Dist #86 Hinsdale | 4.00% | 01/15/36 | 2,736,370 | ||||
505,000 | Hampshire IL Spl Svc Area #14 Spl Tax Ref Lakewood Crossing, BAM | 4.00% | 03/01/25 | 547,708 | ||||
300,000 | Hillside IL Tax Incr Rev Ref | 5.00% | 01/01/24 | 301,491 | ||||
230,000 | IL St | 5.00% | 05/01/23 | 229,138 | ||||
125,000 | IL St | 5.00% | 06/01/27 | 121,573 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$325,000 | IL St Fin Auth Academic Facs Lease Rev Univ of Illinois at Urbana-Champaign Proj, Ser A | 5.00% | 10/01/33 | $376,522 | ||||
600,000 | IL St Fin Auth Academic Facs Lease Rev Univ of Illinois at Urbana-Champaign Proj, Ser A | 5.00% | 10/01/34 | 692,436 | ||||
970,000 | IL St Fin Auth Academic Facs Lease Rev Univ of Illinois at Urbana-Champaign Proj, Ser A | 5.00% | 10/01/35 | 1,114,161 | ||||
300,000 | IL St Fin Auth Academic Facs Lease Rev Univ of Illinois at Urbana-Champaign Proj, Ser A | 5.00% | 10/01/36 | 343,152 | ||||
1,000,000 | IL St Fin Auth Rev Centegra Hlth Sys, Ser A | 5.00% | 09/01/39 | 1,089,720 | ||||
500,000 | IL St Fin Auth Rev Loc Govt Program E Prairie Sch Dist #73 Proj, BAM | 5.00% | 12/01/30 | 612,505 | ||||
70,000 | IL St Fin Auth Rev Ref Lifespace Cmntys, Ser A | 5.00% | 05/15/24 | 71,096 | ||||
845,000 | IL St Fin Auth Rev Ref Mercy Hlth System Oblig Grp | 5.00% | 12/01/33 | 937,916 | ||||
35,000 | IL St Fin Auth Rev Ref Presbyterian Homes Oblig Grp, Ser A | 5.00% | 11/01/24 | 37,587 | ||||
1,010,000 | IL St Fin Auth Rev Sthrn IL Healthcare, Ser A | 5.00% | 03/01/47 | 1,092,103 | ||||
600,000 | IL St Fin Auth Student Hsg & Academic Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/26 | 637,158 | ||||
500,000 | IL St Fin Auth Student Hsg & Academic Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/27 | 532,235 | ||||
315,000 | IL St Fin Auth Student Hsg & Academic Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/32 | 326,589 | ||||
320,000 | IL St Ref | 4.00% | 08/01/25 | 303,683 | ||||
85,000 | IL St Ref, Ser B | 5.00% | 10/01/24 | 84,238 | ||||
510,000 | IL St, Ser A | 4.00% | 01/01/25 | 488,238 | ||||
1,500,000 | IL St, Ser A | 5.00% | 12/01/26 | 1,463,220 | ||||
1,000,000 | IL St, Ser A | 5.00% | 05/01/34 | 946,970 | ||||
4,500,000 | IL St, Ser C | 5.00% | 11/01/29 | 4,335,300 | ||||
850,000 | IL St, Ser D | 5.00% | 11/01/23 | 845,418 | ||||
795,000 | IL St, Ser D | 5.00% | 11/01/24 | 787,630 | ||||
20,000 | IL St, Ser D | 5.00% | 11/01/26 | 19,520 | ||||
960,000 | IL St, Ser D | 5.00% | 11/01/28 | 927,773 | ||||
1,500,000 | Morton Grove IL Tax Incr Rev Sawmill Station Redev Proj | 5.00% | 01/01/39 | 1,251,555 | ||||
3,635,000 | Morton Grove-Niles Wtr Cmmn IL Wtr, Ser A | 5.00% | 12/01/41 | 4,253,023 | ||||
1,000,000 | Piatt Champaign & De Witt Cntys IL Cmnty Unit Sch Dist #25 Ref, Ser B, BAM | 5.00% | 11/01/33 | 1,197,730 | ||||
2,500,000 | Regl Transprtn Auth IL, NATL-RE | 6.25% | 07/01/20 | 2,518,075 | ||||
645,000 | Rockford IL Ref Wtrwks Sys, Ser B, BAM | 5.00% | 12/15/26 | 763,906 | ||||
110,000 | Romeoville IL Rev Ref Lewis Univ Proj | 5.00% | 10/01/24 | 116,313 | ||||
125,000 | Romeoville IL Rev Ref Lewis Univ Proj | 5.00% | 10/01/25 | 132,681 | ||||
47,123,020 | ||||||||
Indiana – 1.6% | ||||||||
1,920,000 | Carmel IN Loc Pub Impt Bond Bank Multipurpose, Ser 2016 | 5.00% | 07/15/34 | 2,254,579 | ||||
1,425,000 | Carmel IN Loc Pub Impt Bond Bank Spl Program Wtrwks | 5.00% | 06/01/26 | 1,711,468 | ||||
1,000,000 | Evansville IN Mf Hsg Rev Silver Birch Evansville Proj | 5.45% | 01/01/38 | 881,970 | ||||
250,000 | Fort Wayne IN Mf Hsg Rev Silver Birch at Cook Road (b) | 5.30% | 01/01/32 | 220,855 | ||||
930,000 | IN St Fin Auth Hosp Rev Goshen Hlth, Ser A | 4.00% | 11/01/36 | 986,265 | ||||
1,330,000 | IN St Fin Auth Hosp Rev Goshen Hlth, Ser A | 4.00% | 11/01/37 | 1,405,717 | ||||
110,000 | IN St Fin Auth Rev BHI Sr Living | 5.50% | 11/15/31 | 112,015 | ||||
800,000 | IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Academy Proj, Ser A (e) | 5.25% | 07/01/28 | 798,888 | ||||
1,000,000 | IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Academy Proj, Ser A (e) | 5.88% | 07/01/38 | 993,840 | ||||
460,000 | IN St Fin Auth Rev Greencroft Oblig Grp, Ser A | 5.75% | 11/15/28 | 471,178 | ||||
55,000 | IN St Fin Auth Rev Greencroft Oblig Grp, Ser A | 6.00% | 11/15/28 | 56,867 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Indiana (Continued) | ||||||||
$500,000 | IN St Fin Auth Rev Marian Univ Proj, Ser A | 5.00% | 09/15/34 | $542,505 | ||||
275,000 | IN St Fin Auth Rev Ref Rev Cmnty Fdtn of NW IN | 5.00% | 09/01/31 | 323,331 | ||||
3,455,000 | IN St Hsg & Cmnty Dev Auth Sf Mtge Rev Non Ace Var, Ser C-3, AMT (a) | 0.59% | 07/01/47 | 3,455,000 | ||||
6,000,000 | IN St Muni Pwr Agy Ref, Ser A | 5.00% | 01/01/42 | 6,835,380 | ||||
1,700,000 | Plainfield IN Mf Hsg Rev Glasswater Creek Proj | 5.38% | 09/01/38 | 1,415,488 | ||||
22,465,346 | ||||||||
Iowa – 0.4% | ||||||||
1,000,000 | Altoona IA, Ser A, COPS, BAM | 5.00% | 06/01/33 | 1,203,250 | ||||
720,000 | Altoona IA, Ser A, COPS, BAM | 5.00% | 06/01/34 | 863,186 | ||||
2,385,000 | Coralville IA Ref, Ser A | 5.00% | 05/01/38 | 2,386,765 | ||||
1,000,000 | IA St Fin Auth Sr Hsg Rev Northcrest Inc Proj, Ser A | 5.00% | 03/01/33 | 962,360 | ||||
5,415,561 | ||||||||
Kansas – 1.3% | ||||||||
2,000,000 | Goddard KS Sales Tax Spl Oblg Rev Ref Olympic Park Star Bond Proj | 3.60% | 06/01/30 | 1,754,320 | ||||
4,210,000 | Johnson & Miami Cntys KS Unif Sch Dist #230 Spring Hill, Ser A | 5.00% | 09/01/35 | 5,088,795 | ||||
1,240,000 | KS Muni Energy Agy Pwr Proj Rev Dogwood Proj, Ser A, BAM | 5.00% | 04/01/29 | 1,483,077 | ||||
1,470,000 | KS Muni Energy Agy Pwr Proj Rev Dogwood Proj, Ser A, BAM | 5.00% | 04/01/30 | 1,750,255 | ||||
500,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/31 | 568,355 | ||||
625,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/32 | 705,519 | ||||
575,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/33 | 645,679 | ||||
500,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/34 | 559,345 | ||||
525,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/35 | 584,609 | ||||
600,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/36 | 665,316 | ||||
1,045,000 | Lenexa KS Healthcare Fac Rev Ref Lakeview Vlg Inc, Ser A | 5.00% | 05/15/26 | 1,089,684 | ||||
2,800,000 | Sedgwick Cnty KS Unif Sch Dist #260 Ref & Sch Bldg, Ser B | 4.00% | 10/01/38 | 3,104,668 | ||||
150,000 | Wyandotte Cnty KS Unif Sch Dist #202, Ser A, AGM | 5.00% | 09/01/32 | 182,072 | ||||
475,000 | Wyandotte Cnty/Kansas City KS Unif Govt Utility Sys Rev Ref & Impt, Ser A | 5.00% | 09/01/29 | 542,692 | ||||
18,724,386 | ||||||||
Kentucky – 3.0% | ||||||||
2,350,000 | Bowling Green KY Wtr & Swr Rev, AGM | 4.00% | 06/01/32 | 2,596,092 | ||||
1,000,000 | Estrn KY Univ Gen Recpts, Ser A | 5.00% | 04/01/25 | 1,165,530 | ||||
3,755,000 | KY Bond Dev Corp Indl Bldg Rev KY Commns Network Auth Proj, BAM | 5.00% | 09/01/38 | 4,521,508 | ||||
3,500,000 | KY Bond Dev Corp Indl Bldg Rev KY Commns Network Auth Proj, BAM | 5.00% | 09/01/49 | 4,101,265 | ||||
145,000 | KY St Econ Dev Fin Auth Baptist Healthcare Sys, Ser B | 5.00% | 08/15/28 | 168,919 | ||||
275,000 | KY St Econ Dev Fin Auth Baptist Healthcare Sys, Ser B | 5.00% | 08/15/36 | 300,190 | ||||
3,000,000 | KY St Econ Dev Fin Auth Baptist Healthcare Sys, Ser B | 5.00% | 08/15/41 | 3,164,160 | ||||
160,000 | KY St Econ Dev Fin Auth Hlth Sys Rev Norton Healthcare Inc, Ser B, NATL-RE | (d) | 10/01/25 | 137,723 | ||||
750,000 | KY St Econ Dev Fin Auth Owensboro Med Hlth Sys, Ser A | 6.00% | 06/01/30 | 752,925 | ||||
625,000 | KY St Econ Dev Fin Auth Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/38 | 625,675 | ||||
730,000 | KY St Econ Dev Fin Auth Ref Commonspirit Hlth, Ser A-2 | 5.00% | 08/01/35 | 806,613 | ||||
895,000 | KY St Econ Dev Fin Auth Ref Commonspirit Hlth, Ser A-2 | 5.00% | 08/01/36 | 978,137 | ||||
300,000 | KY St Muni Pwr Agy Pwr Sys Rev Ref, Ser A, NATL-RE | 5.00% | 09/01/22 | 323,994 | ||||
5,395,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser B (Mandatory put 01/01/25) | 4.00% | 01/01/49 | 5,610,260 | ||||
9,610,000 | KY St Pub Energy Auth Gas Sply Rev Var, Ser C (Mandatory put 02/01/28) | 4.00% | 02/01/50 | 10,365,058 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Kentucky (Continued) | ||||||||
$1,545,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A-1 (Mandatory put 06/01/25) | 4.00% | 12/01/49 | $1,639,786 | ||||
1,000,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Norton Healthcare Inc, Ser A | 5.00% | 10/01/38 | 1,142,440 | ||||
500,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Norton Healthcare Inc, Ser A | 4.00% | 10/01/40 | 505,555 | ||||
3,315,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Healthcare Inc, Ser A | 5.00% | 10/01/30 | 3,761,862 | ||||
550,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Healthcare Inc, Ser A | 5.00% | 10/01/31 | 619,361 | ||||
130,000 | Warren Cnty KY Hosp Rev Ref Bowling Green Warren Cnty Cmnty Hosp Corp | 5.00% | 04/01/23 | 137,692 | ||||
43,424,745 | ||||||||
Louisiana – 1.7% | ||||||||
1,260,000 | East Baton Rouge Parish LA Capital Impts Dist Movebr Sales, Ser T | 4.00% | 08/01/35 | 1,437,257 | ||||
1,520,000 | East Baton Rouge Parish LA Capital Impts Dist Movebr Sales, Ser T | 4.00% | 08/01/36 | 1,723,422 | ||||
2,530,000 | East Baton Rouge Parish LA Capital Impts Dist Movebr Sales, Ser T | 4.00% | 08/01/38 | 2,840,178 | ||||
1,000,000 | LA Pub Facs Auth Rev Ref Ochsner Clinic Fdtn Proj | 5.00% | 05/15/36 | 1,106,000 | ||||
250,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Ascension Psh Courthouse Proj | 5.00% | 11/01/31 | 303,030 | ||||
1,135,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev City Of Gretna Pub Impt Bonds | 4.00% | 02/01/38 | 1,268,351 | ||||
1,700,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Ref Hosp Womans Fdtn Proj, Ser A | 5.00% | 10/01/37 | 1,899,087 | ||||
470,000 | LA Stadium & Exposition Dist LA Ref Sr, Ser A | 5.00% | 07/01/30 | 498,463 | ||||
380,000 | LA Stadium & Exposition Dist LA Ref Sr, Ser A | 5.00% | 07/01/31 | 402,044 | ||||
750,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/28 | 868,605 | ||||
750,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/29 | 864,442 | ||||
200,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/31 | 228,320 | ||||
1,160,000 | New Orleans LA Aviation Brd, Ser B, AMT | 5.00% | 01/01/31 | 1,284,306 | ||||
1,305,000 | New Orleans LA Wtr Rev | 5.00% | 12/01/34 | 1,476,686 | ||||
1,050,000 | New Orleans LA Wtr Rev Ref | 5.00% | 12/01/28 | 1,207,342 | ||||
1,000,000 | Saint John The Baptist Parish LA Rev Ref Marathon Oil Corp Proj, Ser A-2 (Mandatory put 07/01/24) | 2.10% | 06/01/37 | 879,880 | ||||
625,000 | Shreveport LA Wtr & Swr Rev Junior Lien, Ser A, AGM | 5.00% | 12/01/32 | 761,875 | ||||
700,000 | Shreveport LA Wtr & Swr Rev, Ser A, AGM | 4.00% | 12/01/41 | 769,496 | ||||
1,650,000 | Shreveport LA Wtr & Swr Rev, Ser B, BAM | 5.00% | 12/01/30 | 1,889,613 | ||||
2,000,000 | Shreveport LA Wtr & Swr Rev, Ser B, BAM | 5.00% | 12/01/33 | 2,355,000 | ||||
24,063,397 | ||||||||
Maryland – 1.6% | ||||||||
2,375,000 | Anne Arundel Cnty MD Consldtd Wtr & Swr Bond | 5.00% | 10/01/26 | 2,913,317 | ||||
565,000 | Baltimore Cnty MD Rev Ref Oak Crest Vlg Inc Fac | 4.00% | 01/01/39 | 577,255 | ||||
650,000 | Baltimore Cnty MD Rev Ref Oak Crest Vlg Inc Fac | 4.00% | 01/01/40 | 661,980 | ||||
600,000 | Baltimore Cnty MD Rev Ref Riderwood Vlg Inc Proj | 4.00% | 01/01/33 | 643,200 | ||||
685,000 | Baltimore Cnty MD Rev Ref Riderwood Vlg Inc Proj | 4.00% | 01/01/34 | 729,614 | ||||
650,000 | Baltimore Cnty MD Rev Ref Riderwood Vlg Inc Proj | 4.00% | 01/01/36 | 686,797 | ||||
700,000 | Baltimore Cnty MD Rev Ref Riderwood Vlg Inc Proj | 4.00% | 01/01/38 | 733,719 | ||||
1,120,000 | Baltimore MD Rev Ref Sr, Ser B | 5.00% | 07/01/33 | 1,272,006 | ||||
1,000,000 | Baltimore MD Spl Oblig Ref E Baltimore Research Park Proj, Ser A | 5.00% | 09/01/38 | 965,870 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Maryland (Continued) | ||||||||
$100,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (b) | 2.75% | 06/01/24 | $94,943 | ||||
125,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (b) | 2.80% | 06/01/25 | 117,291 | ||||
135,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (b) | 2.85% | 06/01/26 | 125,314 | ||||
1,000,000 | Gaithersburg MD Econ Dev Rev Ref Proj Asbury MD Oblig Grp, Ser A | 4.50% | 01/01/25 | 1,029,400 | ||||
1,000,000 | Howard Cnty MD Retmnt Cmnty Rev Ref Columbia Vantage House Corp | 5.00% | 04/01/36 | 909,810 | ||||
45,000 | Howard Cnty MD Retmnt Cmnty Rev Ref Vantage House Fac | 5.00% | 04/01/21 | 45,069 | ||||
500,000 | Howard Cnty MD Retmnt Cmnty Rev Ref Vantage House Fac | 5.00% | 04/01/26 | 490,960 | ||||
220,000 | MD St Econ Dev Corp Econ Dev Rev Transprtn Facs Proj, Ser A | 5.38% | 06/01/25 | 220,770 | ||||
500,000 | MD St Econ Dev Corp Student Hsg Rev Bowie St Univ Proj | 4.00% | 07/01/40 | 472,330 | ||||
1,650,000 | MD St Econ Dev Corp Student Hsg Rev Bowie St Univ Proj | 5.00% | 07/01/55 | 1,705,985 | ||||
600,000 | MD St Econ Dev Corp Student Hsg Rev Ref Sr Univ MD Proj | 4.00% | 07/01/24 | 615,570 | ||||
2,490,000 | MD St Econ Dev Corp Student Hsg Rev Ref Univ MD Clg Park Projs, AGM | 5.00% | 06/01/35 | 2,885,785 | ||||
500,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Adventist Healthcare Oblig Grp, Ser A | 5.50% | 01/01/26 | 569,960 | ||||
800,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Anne Arundel Hlth System, Ser A | 5.00% | 07/01/30 | 911,992 | ||||
1,000,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Anne Arundel Hlth System, Ser A | 5.00% | 07/01/32 | 1,127,330 | ||||
790,000 | MD St Ref, Ser B | 5.00% | 08/01/24 | 919,094 | ||||
1,500,000 | Prince Georges Cnty MD Rev Ref Collington Episcopal Life Care Cmnty Inc | 5.00% | 04/01/25 | 1,486,440 | ||||
22,911,801 | ||||||||
Massachusetts – 0.8% | ||||||||
925,000 | Ludlow MA | 4.00% | 02/01/32 | 1,039,977 | ||||
960,000 | Ludlow MA | 4.00% | 02/01/33 | 1,073,453 | ||||
2,000,000 | MA St Bay Transprtn Auth Sales Tax Rev Ref Sr, Ser B | 5.25% | 07/01/30 | 2,574,240 | ||||
250,000 | MA St Dev Fin Agy Rev Linden Ponds Inc Fac (b) | 5.00% | 11/15/28 | 238,953 | ||||
325,000 | MA St Dev Fin Agy Rev Merrimack Clg | 5.00% | 07/01/37 | 329,101 | ||||
500,000 | MA St Dev Fin Agy Rev Ref Newbridge Charles Inc (b) | 5.00% | 10/01/37 | 490,860 | ||||
700,000 | MA St Dev Fin Agy Rev Umass Boston Student Hsg Proj (c) | 5.00% | 10/01/24 | 745,759 | ||||
3,000,000 | MA St Dev Fin Agy Rev Umass Boston Student Hsg Proj (c) | 5.00% | 10/01/41 | 3,023,550 | ||||
2,000,000 | MA St Port Auth Spl Facs Rev Ref Bosfuel Proj, Ser A, AMT | 5.00% | 07/01/33 | 2,334,160 | ||||
11,850,053 | ||||||||
Michigan – 2.9% | ||||||||
240,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/32 | 267,614 | ||||
500,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/33 | 556,895 | ||||
525,000 | Grand Rapids MI Santn Swr Sys Rev Ref | 5.00% | 01/01/45 | 636,841 | ||||
1,000,000 | Grand Rapids MI Santn Swr Sys Rev Ref | 4.00% | 01/01/50 | 1,121,520 | ||||
735,000 | Grand Traverse Cnty MI Hosp Fin Auth Munson Healthcare Oblig Grp, Ser A | 5.00% | 07/01/44 | 824,222 | ||||
1,125,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Ref Sr Lien, Ser C | 5.00% | 07/01/28 | 1,350,878 | ||||
1,100,000 | Kalamazoo MI Econ Dev Corp Ref Heritage Cmnty of Kalamazoo Proj | 5.00% | 05/15/37 | 1,053,745 | ||||
1,000,000 | Marquette MI Brd of Light & Pwr Elec Utility Sys Rev Ref, Ser A | 5.00% | 07/01/29 | 1,199,180 | ||||
1,225,000 | MI St Bldg Auth Rev Ref, Ser I | 5.00% | 10/15/30 | 1,468,285 | ||||
890,000 | MI St Fin Auth Ltd Oblig Rev Ref Clg for Creative Studies Proj | 5.00% | 12/01/25 | 953,261 | ||||
325,000 | MI St Fin Auth Rev Loc Govt Loan Program Great Lakes Wtr Auth Ref, Ser C | 5.00% | 07/01/27 | 378,349 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Michigan (Continued) | ||||||||
$2,050,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 4.00% | 11/15/35 | $2,113,140 | ||||
2,105,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 4.00% | 11/15/36 | 2,163,287 | ||||
7,905,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 5.00% | 11/15/41 | 8,611,628 | ||||
2,500,000 | MI St Fin Auth Rev Ref Hosp Trinity Hlth Credit Grp, Ser A-MI | 5.00% | 12/01/47 | 2,758,950 | ||||
1,000,000 | MI St Fin Auth Rev Ref Loc Govt Loan Program Great Lakes Wtr Auth, Ser D-1 | 5.00% | 07/01/34 | 1,108,730 | ||||
500,000 | MI St Fin Auth Rev Ref Loc Govt Loan Program, Ser F1 | 3.80% | 10/01/22 | 506,960 | ||||
125,000 | MI St Fin Auth Rev Ref Loc Govt Loan Program, Ser F1 | 3.88% | 10/01/23 | 126,410 | ||||
2,460,000 | MI St Fin Auth Rev Ref, 2nd Lien, Great Lakes Wtr Auth, Ser C-7, NATL-RE | 5.00% | 07/01/29 | 2,800,931 | ||||
2,000,000 | MI St Fin Auth Rev Sr Lien Great Lakes Wtr Auth, Ser C-3, AGM | 5.00% | 07/01/21 | 2,092,820 | ||||
565,000 | MI St Hosp Fin Auth Ref Ascenion Sr Credit, Ser F7 | 5.00% | 11/15/47 | 636,987 | ||||
1,000,000 | MI St Hosp Fin Auth Ref Ascension Hlth Sr Cr Grp, Ser F-4 | 5.00% | 11/15/47 | 1,179,910 | ||||
1,000,000 | MI St Univ Rev Brd of Trustees, Ser B | 5.00% | 02/15/34 | 1,228,300 | ||||
650,000 | Midland MI Pub Schs Sch Bldg & Site, Ser II | 5.00% | 05/01/35 | 795,015 | ||||
1,990,000 | Utica MI Cmnty Schs Ref Sch Bldg & Site | 5.00% | 05/01/31 | 2,366,508 | ||||
2,800,000 | Wayne Cnty MI Arpt Auth Rev Ref, Ser F, AMT | 5.00% | 12/01/25 | 3,188,360 | ||||
41,488,726 | ||||||||
Minnesota – 0.6% | ||||||||
370,000 | Duluth MN Indep Sch Dist #709 Ref, Ser B, COPS | 5.00% | 02/01/27 | 447,053 | ||||
480,000 | Hugo MN Chtr Sch Lease Rev Noble Academy Proj, Ser A | 4.00% | 07/01/22 | 483,538 | ||||
400,000 | Minneapolis MN Mf Rev Riverside Home Proj, Ser B (Mandatory put 05/01/20) | 3.75% | 11/01/21 | 400,000 | ||||
750,000 | MN St Hgr Edu Facs Auth Rev Ref Clg of St Scholastica Inc | 4.00% | 12/01/40 | 681,697 | ||||
1,000,000 | Rochester MN Healthcare & Hsg Rev Ref Samaritan Bethany Inc Proj, Ser A | 5.00% | 08/01/37 | 952,170 | ||||
580,000 | Saint Paul MN Hsg & Redev Auth Healthcare Fac Rev Ref HealthPartners Oblig Grp, Ser A | 5.00% | 07/01/30 | 643,058 | ||||
500,000 | Saint Paul MN Hsg & Redev Auth Healthcare Fac Rev Ref HealthPartners Oblig Grp, Ser A | 5.00% | 07/01/32 | 548,475 | ||||
3,420,000 | Saint Paul MN Hsg & Redev Auth Healthcare Fac Rev Ref HealthPartners Oblig Grp, Ser A | 5.00% | 07/01/33 | 3,737,957 | ||||
500,000 | Saint Paul Park MN Sr Hsg & Healthcare Rev Ref Presbyterian Homes Bloomington Proj | 3.00% | 09/01/24 | 483,585 | ||||
400,000 | Saint Paul Park MN Sr Hsg & Healthcare Rev Ref Presbyterian Homes Bloomington Proj | 3.13% | 09/01/25 | 385,396 | ||||
8,762,929 | ||||||||
Mississippi – 0.4% | ||||||||
600,000 | MS St Gaming Tax Rev, Ser A | 5.00% | 10/15/31 | 682,332 | ||||
2,000,000 | MS St, Ser A | 5.00% | 11/01/33 | 2,378,020 | ||||
985,000 | MS St, Ser B | 5.00% | 12/01/32 | 1,177,242 | ||||
500,000 | West Rankin MS Utility Auth Rev, AGM | 5.00% | 01/01/32 | 568,545 | ||||
1,215,000 | West Rankin MS Utility Auth Rev, AGM | 5.00% | 01/01/33 | 1,376,182 | ||||
6,182,321 | ||||||||
Missouri – 1.1% | ||||||||
220,000 | Jackson Cnty MO Spl Oblig Ref Truman Sports Complex Proj | 5.00% | 12/01/22 | 232,960 | ||||
700,000 | Jackson Cnty MO Spl Oblig Ref Truman Sports Complex Proj | 5.00% | 12/01/31 | 743,071 | ||||
1,670,000 | Joplin MO Indl Dev Auth Hlth Facs Rev Ref Freeman Hlth System | 5.00% | 02/15/26 | 1,844,081 | ||||
3,385,000 | Kansas City MO Indl Dev Auth Arpt Spl Oblig Kansas City Intrnl Arpt Terminal Mod Proj, Ser B, AMT | 5.00% | 03/01/37 | 3,798,850 | ||||
1,000,000 | Kansas City MO Land Clearance Redev Auth Proj Rev Convention Ctr Hotel Proj TIF Fing, Ser B (b) | 5.00% | 02/01/40 | 980,250 | ||||
220,000 | Lincoln Cnty MO Pub Wtr Sply Dist #1 Ref, COPS | 4.00% | 07/01/30 | 244,486 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Missouri (Continued) | ||||||||
$415,000 | Lincoln Cnty MO Pub Wtr Sply Dist #1 Ref, COPS | 4.00% | 07/01/31 | $458,102 | ||||
1,000,000 | Lincoln Cnty MO Pub Wtr Sply Dist #1 Ref, COPS | 4.00% | 07/01/38 | 1,075,510 | ||||
3,000,000 | MO Jt Muni Elec Utility Commn Pwr Proj Rev Ref, Ser A | 5.00% | 12/01/40 | 3,450,360 | ||||
200,000 | MO St Dev Fin Brd Infrastructure Facs Rev Ref Independence MO Centerpoint Proj, Ser B | 5.00% | 04/01/28 | 231,688 | ||||
750,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Mosaic Hlth Sys, Ser A | 5.00% | 02/15/32 | 888,990 | ||||
160,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs | 5.00% | 02/01/23 | 162,114 | ||||
250,000 | Saint Charles Cnty MO Pub Wtr Sply Dist #2 Ref, COPS | 5.00% | 12/01/28 | 297,647 | ||||
1,040,000 | Saint Louis MO Muni Fin Corp Sales Tax Leasehold Rev Ref | 5.00% | 02/15/28 | 1,228,718 | ||||
15,636,827 | ||||||||
Montana – 0.2% | ||||||||
740,000 | MT St Fac Fin Auth Rev Ref | 5.00% | 02/15/25 | 840,973 | ||||
130,000 | MT St Fac Fin Auth Rev Ref | 5.00% | 02/15/29 | 151,932 | ||||
2,000,000 | MT St Fac Fin Auth Rev Ref Scl Hlth Sys, Ser A | 4.00% | 01/01/36 | 2,124,060 | ||||
3,116,965 | ||||||||
Nebraska – 0.6% | ||||||||
1,745,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/27 | 1,851,427 | ||||
5,870,000 | Centrl Plains Energy Proj NE Gas Proj Rev Ref Proj #3, Ser A | 5.00% | 09/01/29 | 6,866,609 | ||||
500,000 | NE St Pub Pwr Dist Rev Gen, Ser C | 5.00% | 01/01/35 | 578,555 | ||||
9,296,591 | ||||||||
Nevada – 0.6% | ||||||||
750,000 | Carson City NV Hosp Rev Ref Carson Tahoe Regl Med Ctr, Ser A | 5.00% | 09/01/30 | 853,845 | ||||
1,685,000 | Clark Cnty NV Detention Ctr | 4.00% | 06/01/35 | 1,890,368 | ||||
1,030,000 | Clark Cnty NV Impt Dist Ref Spl Loc Impt #151 | 4.50% | 08/01/23 | 1,047,026 | ||||
420,000 | Las Vegas NV Spl Impt Dist #808 & #810 Ref | 5.00% | 06/01/22 | 430,466 | ||||
120,000 | North Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 3.50% | 06/01/24 | 117,572 | ||||
150,000 | North Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 3.75% | 06/01/25 | 147,603 | ||||
185,000 | North Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 3.75% | 06/01/26 | 180,819 | ||||
260,000 | North Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 3.75% | 06/01/27 | 251,347 | ||||
335,000 | NV Dept of Business & Industry NV Doral Academy, Ser A (b) | 5.00% | 07/15/27 | 340,337 | ||||
300,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/29 | 359,679 | ||||
950,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/30 | 1,132,362 | ||||
275,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/31 | 326,200 | ||||
1,200,000 | Sparks NV Tourism Impt Dist #1 Rev Ref Sales Tax Sr, Ser A (b) | 2.50% | 06/15/24 | 1,156,152 | ||||
8,233,776 | ||||||||
New Hampshire – 0.3% | ||||||||
1,000,000 | National Fin Auth NH Sol Wst Disp Rev Var Ref Wst Mgmt Inc Proj, Ser A-1, AMT (Mandatory put 07/01/24) | 2.15% | 09/01/25 | 977,330 | ||||
2,740,000 | NH St Hlth & Edu Facs Auth Rev Concord Hosp Trust | 5.00% | 10/01/42 | 3,018,439 | ||||
3,995,769 | ||||||||
New Jersey – 1.9% | ||||||||
450,000 | NJ St Econ Dev Auth Mtr Vehcl Surcharge Rev Ref Sub, Ser A, BAM | 5.00% | 07/01/28 | 488,939 | ||||
500,000 | NJ St Econ Dev Auth Ref, Ser A, BAM | 5.00% | 06/15/23 | 526,875 | ||||
2,965,000 | NJ St Econ Dev Auth Rev, Ser WW | 5.00% | 06/15/34 | 2,987,326 | ||||
490,000 | NJ St Econ Dev Auth Spl Fac Rev Ref Port Newark Container Terminal LLC Proj, AMT | 5.00% | 10/01/25 | 522,183 | ||||
1,000,000 | NJ St Healthcare Facs Fing Auth Rev Ref Hackensack Meridian Hlth, Ser A | 5.00% | 07/01/24 | 1,131,250 | ||||
100,000 | NJ St Transit Corp, Ser A, GANS | 5.00% | 09/15/21 | 104,942 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New Jersey (Continued) | ||||||||
$1,290,000 | NJ St Transprtn Trust Fund Auth Cap Apprec Transprtn Sys, Ser C, AMBAC | (d) | 12/15/25 | $1,076,157 | ||||
165,000 | NJ St Transprtn Trust Fund Auth Fed Hwy Reimbursement Nts, Ser A-1, GARVEE | 5.00% | 06/15/28 | 178,106 | ||||
1,500,000 | NJ St Transprtn Trust Fund Auth Ref Transprtn Sys Bonds, Ser A | 5.00% | 12/15/28 | 1,554,720 | ||||
500,000 | NJ St Transprtn Trust Fund Auth Ref Transprtn Sys, Ser A | 5.00% | 12/15/30 | 510,105 | ||||
3,040,000 | NJ St Transprtn Trust Fund Auth Ref Transptrn Sys, Ser A | 5.00% | 12/15/26 | 3,159,624 | ||||
400,000 | NJ St Transprtn Trust Fund Auth Transprtn Program, Ser AA | 4.00% | 06/15/27 | 395,488 | ||||
1,400,000 | NJ St Transprtn Trust Fund Auth Transprtn Sys, Ser D | 5.25% | 12/15/23 | 1,454,320 | ||||
105,000 | NJ St Transprtn Trust Fund Auth Transprtn Sys, Ser D | 5.00% | 12/15/24 | 108,652 | ||||
220,000 | NJ St Transprtn Trust Fund Auth, Ser BB | 5.00% | 06/15/31 | 223,632 | ||||
4,000,000 | NJ St Transprtn Trust Fund Auth, Ser BB | 5.00% | 06/15/32 | 4,051,400 | ||||
1,000,000 | NJ St Transprtn Trust Fund Auth, Ser BB | 5.00% | 06/15/33 | 1,010,650 | ||||
1,270,000 | Rutgers NJ St Univ Var, Ser G (a) | 0.11% | 05/01/39 | 1,270,000 | ||||
500,000 | Tobacco Settlement Fing Corp NJ Ref, Ser A | 5.00% | 06/01/27 | 586,280 | ||||
5,505,000 | Tobacco Settlement Fing Corp NJ Ref, Ser A | 5.25% | 06/01/46 | 5,881,652 | ||||
27,222,301 | ||||||||
New Mexico – 0.2% | ||||||||
600,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.00% | 10/01/23 | 586,896 | ||||
230,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.20% | 10/01/24 | 223,588 | ||||
240,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.30% | 10/01/25 | 232,114 | ||||
250,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.45% | 10/01/26 | 241,067 | ||||
260,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.55% | 10/01/27 | 249,553 | ||||
365,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 5.00% | 10/01/33 | 347,166 | ||||
520,000 | Santa Fe NM Retmnt Fac Rev El Castillo Retmnt Proj, Ser A | 5.00% | 05/15/34 | 492,851 | ||||
500,000 | Santa Fe NM Retmnt Fac Rev El Castillo Retmnt Proj, Ser A | 5.00% | 05/15/44 | 440,250 | ||||
2,813,485 | ||||||||
New York – 4.6% | ||||||||
100,000 | Buffalo & Erie Cnty NY Indl Land Dev Corp Rev Ref Orchard Park | 5.00% | 11/15/22 | 101,468 | ||||
115,000 | Buffalo & Erie Cnty NY Indl Land Dev Corp Rev Ref Orchard Park | 5.00% | 11/15/24 | 117,473 | ||||
1,975,000 | Met Transprtn Auth NY Rev Ref Transptrn, Subser C-1 | 5.00% | 11/15/34 | 1,979,701 | ||||
1,500,000 | Met Transprtn Auth NY Rev Transprtn, Ser A-2S, BANS | 4.00% | 02/01/22 | 1,472,535 | ||||
2,750,000 | Met Transprtn Auth NY Rev Transprtn, Ser B-1, BANS | 5.00% | 05/15/22 | 2,736,910 | ||||
4,000,000 | Met Transprtn Auth NY Rev Transptrn, Subser D-1 | 5.00% | 11/15/39 | 4,007,960 | ||||
840,000 | Monroe Cnty NY Indl Dev Corp Rev Ref Nazareth Clg of Rochester Proj, Ser A | 5.00% | 10/01/23 | 895,138 | ||||
4,220,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref 2nd Gen Resolution, Subser CC-1 | 4.00% | 06/15/33 | 4,647,781 | ||||
3,550,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev, Ser DD-1 | 4.00% | 06/15/37 | 3,903,686 | ||||
1,000,000 | New York City NY Transitional Fin Auth Rev Future Tax Secured Sub Fiscal 2016, Ser A-1 | 5.00% | 08/01/37 | 1,141,550 | ||||
1,500,000 | New York City NY Transitional Fin Auth Rev Future Tax Sub, Subser E-1 | 5.00% | 02/01/37 | 1,713,780 | ||||
1,350,000 | New York City NY Transitional Fin Auth Rev Sub Future Tax Secured Fiscal 1999, Ser A Subser E-1 | 5.00% | 02/01/36 | 1,558,035 | ||||
5,415,000 | New York City NY Transitional Fin Auth Rev Sub Future Tax Secured Fiscal 1999, Ser A Subser E-1 | 5.00% | 02/01/40 | 6,187,233 | ||||
10,400,000 | New York NY Adj Fiscal 2020, Subser B-3 (a) | 0.52% | 10/01/46 | 10,400,000 | ||||
415,000 | New York NY Fiscal 2020, Ser B-1 | 4.00% | 10/01/37 | 452,321 | ||||
6,390,000 | New York NY Var, Subser L-3 (a) | 0.12% | 04/01/36 | 6,390,000 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$1,900,000 | New York St Mtge Agy Homeowner Mtge Rev Var, Ser 142, AMT (a) | 0.22% | 10/01/37 | $1,900,000 | ||||
300,000 | NY St Dorm Auth Revs Non St Supported Debt Ref Orange Regl Med Ctr (b) | 5.00% | 12/01/25 | 335,451 | ||||
195,000 | NY St Dorm Auth Revs Non St Supported Debt Unrefunded Pace Univ, Ser A | 4.00% | 05/01/22 | 201,581 | ||||
85,000 | NY St Dorm Auth Revs Non St Supported Debt Unrefunded Pace Univ, Ser A | 5.00% | 05/01/23 | 91,331 | ||||
2,850,000 | NY St Dorm Auth St Personal Income Tax Rev Ref, Ser E | 5.00% | 03/15/34 | 3,301,810 | ||||
1,000,000 | NY St Dorm Auth St Personal Income Tax Rev, Ser B | 5.00% | 03/15/30 | 1,063,930 | ||||
2,135,000 | NY St Hsg Fin Agy Var Ref Affordable Hsg, Ser F, Bid Grp 2 (Mandatory put 05/01/20) | 1.80% | 05/01/50 | 2,135,000 | ||||
500,000 | Port Auth of New York & New Jersey NY Consol One Hundred Eighty Fifth Ref, AMT | 5.00% | 09/01/23 | 550,295 | ||||
465,000 | Port Auth of New York & New Jersey NY Ref Consol, Ser 186, AMT | 5.00% | 10/15/35 | 513,579 | ||||
5,000,000 | Port Auth of New York & New Jersey NY Ref Consol, Ser 198 | 5.25% | 11/15/56 | 5,782,900 | ||||
15,000 | Suffolk Cnty NY Econ Dev Corp Rev Prerefunded Catholic Hlth Svcs Long Island Oblig Grp Proj | 5.00% | 07/01/28 | 15,735 | ||||
85,000 | Suffolk Cnty NY Econ Dev Corp Rev Unrefunded Catholic Hlth Svcs Long Island Oblig Grp Proj | 5.00% | 07/01/28 | 87,808 | ||||
1,000,000 | Tsasc Inc NY Tsasc Inc Rev Ref Turbo Sub, Ser B | 5.00% | 06/01/45 | 923,430 | ||||
400,000 | Yonkers NY Econ Dev Corp Eductnl Rev Chrt Sch Edu Excellence Proj, Ser A | 4.00% | 10/15/29 | 391,364 | ||||
64,999,785 | ||||||||
North Carolina – 0.9% | ||||||||
250,000 | Buncombe Cnty NC Ltd Oblig Ref Rev, Ser A | 5.00% | 06/01/29 | 316,620 | ||||
225,000 | Buncombe Cnty NC Ltd Oblig Ref Rev, Ser A | 5.00% | 06/01/30 | 287,278 | ||||
300,000 | Buncombe Cnty NC Ltd Oblig Ref Rev, Ser A | 5.00% | 06/01/32 | 374,256 | ||||
575,000 | Charlotte-Mecklenburg NC Hosp Auth Healthcare Sys Rev Ref Carolinas Healthcare Sys, Ser A | 5.00% | 01/15/34 | 652,148 | ||||
750,000 | Greenville NC Comb Enterprise Sys Rev Ref | 5.00% | 04/01/28 | 901,268 | ||||
1,330,000 | Monroe NC Comb Enterprise Sys Rev Ref | 5.00% | 03/01/28 | 1,574,560 | ||||
1,000,000 | NC St Agric & Tech Univ Ref Gen, Ser A | 5.00% | 10/01/40 | 1,095,590 | ||||
900,000 | NC St Capital Facs Fin Agy Student Rev Ref Hsg NC A&T Univ Fdtn Proj, Ser A, AGC | 5.00% | 06/01/26 | 1,050,480 | ||||
2,750,000 | NC St Med Care Commn Healthcare Facs Rev Rex Healthcare, Ser A | 4.00% | 07/01/49 | 2,850,237 | ||||
655,000 | NC St Med Care Commn Retmnt Facs Rev Ref Retmnt Facs First Mtg Rev Bonds Galloway Ridge, Ser A | 5.00% | 01/01/30 | 669,056 | ||||
630,000 | NC St Med Care Commn Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A | 5.00% | 10/01/29 | 641,724 | ||||
320,000 | NC St Med Care Commn Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A | 5.00% | 10/01/32 | 321,901 | ||||
750,000 | NC St Med Care Commn Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A | 5.00% | 10/01/37 | 733,763 | ||||
500,000 | NC St Med Care Commn Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A | 5.00% | 10/01/47 | 464,795 | ||||
430,000 | Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/36 | 482,830 | ||||
12,416,506 | ||||||||
North Dakota – 0.1% | ||||||||
225,000 | Burleigh Cnty ND Healthcare Rev St Alexius Med Ctr Proj, Ser A | 5.00% | 07/01/22 | 235,550 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
North Dakota (Continued) | ||||||||
$1,300,000 | Grand Forks ND Sr Hsg & Nur Fac Rev Ref Vly Homes Oblig Grp, Ser A | 5.00% | 12/01/23 | $1,295,333 | ||||
1,530,883 | ||||||||
Ohio – 4.0% | ||||||||
2,600,000 | Allen Cnty OH Hosp Facs Rev Ref, Ser A | 5.00% | 08/01/42 | 2,922,400 | ||||
100,000 | Bowling Green OH St Univ Ref, Ser A | 4.00% | 06/01/38 | 108,830 | ||||
195,000 | Bowling Green OH St Univ Ref, Ser A | 4.00% | 06/01/39 | 211,552 | ||||
1,000,000 | Buckeye OH Tobacco Settlement Fing Auth Ref, Sr, Ser A-2, Class 1 | 5.00% | 06/01/27 | 1,187,620 | ||||
2,500,000 | Buckeye OH Tobacco Settlement Fing Auth Ref, Sr, Ser A-2, Class 1 | 4.00% | 06/01/48 | 2,508,175 | ||||
7,000,000 | Buckeye OH Tobacco Settlement Fing Auth Ref, Sr, Ser B-2, Class 2 | 5.00% | 06/01/55 | 6,249,320 | ||||
135,000 | Butler Cnty OH Hosp Facs Ref UC Hlth | 5.00% | 11/15/30 | 152,449 | ||||
1,500,000 | Butler Cnty OH Hosp Facs Ref UC Hlth | 5.00% | 11/15/31 | 1,685,085 | ||||
1,000,000 | Butler Cnty OH Hosp Facs Ref UC Hlth | 5.00% | 11/15/32 | 1,116,660 | ||||
1,000,000 | Chillicothe OH City Sch Dist Ref, AGM | 4.00% | 12/01/31 | 1,087,880 | ||||
80,000 | Cleveland OH Pub Pwr Sys Rev Prerefunded Ref Ser A, AGM | 5.00% | 11/15/24 | 94,529 | ||||
420,000 | Cleveland OH Pub Pwr Sys Rev Unrefunded Ref Ser A, AGM | 5.00% | 11/15/24 | 489,409 | ||||
600,000 | Cleveland-Cuyahoga Cnty OH Port Auth Cultural Fac Rev Ref Playhouse Sq Fdtn Proj | 5.00% | 12/01/28 | 585,282 | ||||
700,000 | Cleveland-Cuyahoga Cnty OH Port Auth Cultural Fac Rev Ref Playhouse Sq Fdtn Proj | 5.50% | 12/01/43 | 651,938 | ||||
1,255,000 | Columbus OH Swr Rev Ref Sys | 5.00% | 06/01/26 | 1,465,438 | ||||
650,000 | Franklin Cnty OH Convention Facs Auth Hotel Proj Rev Grtr Columbus Convention Cntr Hotel Exp Proj | 5.00% | 12/01/37 | 539,896 | ||||
1,500,000 | Franklin Cnty OH Convention Facs Auth Hotel Proj Rev Grtr Columbus Convention Cntr Hotel Exp Proj | 5.00% | 12/01/44 | 1,156,005 | ||||
700,000 | Hamilton Cnty OH Healthcare Facs Rev Christ Hosp Proj | 5.25% | 06/01/27 | 739,662 | ||||
1,000,000 | Lancaster OH Port Auth Gas Rev Ref, Ser A (Mandatory put 02/01/25) | 5.00% | 08/01/49 | 1,120,580 | ||||
960,000 | Miami Cnty OH Hosp Facs Rev Ref & Impt Kettering Hlth Network Oblig Grp | 5.00% | 08/01/32 | 1,089,773 | ||||
1,000,000 | Miami Cnty OH Hosp Facs Rev Ref & Impt Kettering Hlth Network Oblig Grp | 5.00% | 08/01/33 | 1,129,310 | ||||
3,000,000 | Miami Cnty OH Hosp Facs Rev Ref & Impt Kettering Hlth Network Oblig Grp | 5.00% | 08/01/36 | 3,349,650 | ||||
575,000 | Miamisburg OH City Sch Dist Ref | 5.00% | 12/01/35 | 672,773 | ||||
5,250,000 | OH St Air Quality Dev Auth Exempt Facs Rev AMG Vanadium Proj, AMT (b) | 5.00% | 07/01/49 | 4,928,332 | ||||
1,000,000 | OH St Air Quality Dev Auth Ref American Elec Pwr Company Proj, Ser B, AMT (Mandatory put 10/01/24) | 2.10% | 07/01/28 | 968,870 | ||||
2,225,000 | OH St Air Quality Dev Auth Ref OH Vly Elec Corp Proj, Ser A | 3.25% | 09/01/29 | 2,044,130 | ||||
1,000,000 | OH St Hgr Edu, Ser A | 5.00% | 05/01/33 | 1,156,000 | ||||
1,000,000 | OH St Hgr Eductnl Fac Commn Denison Univ Proj | 5.00% | 11/01/38 | 1,217,730 | ||||
150,000 | OH St Hosp Rev Ref, Ser A | 5.00% | 01/15/33 | 175,680 | ||||
325,000 | OH St Hosp Rev Ref, Ser A | 5.00% | 01/15/35 | 377,322 | ||||
500,000 | OH St Hosp Rev Ref, Ser A | 4.00% | 01/15/38 | 523,615 | ||||
2,000,000 | OH St Spl Oblig, Ser A-2 | 5.00% | 04/01/30 | 2,321,800 | ||||
1,880,000 | OH St Univ Gen Recpts Spl Purpose, Ser A | 5.00% | 06/01/28 | 2,097,441 | ||||
1,000,000 | OH St Wtr Dev Auth Rev Wtr Dev Fresh Wtr, Ser A | 5.00% | 12/01/21 | 1,065,110 | ||||
675,000 | OH St, Ser A | 5.00% | 06/15/39 | 828,569 | ||||
2,500,000 | OH St, Ser T | 5.00% | 05/01/32 | 3,018,925 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Ohio (Continued) | ||||||||
$5,325,000 | Ross Cnty OH Hosp Rev Ref Adena Hlth Sys Oblig Grp Proj | 5.00% | 12/01/39 | $6,067,891 | ||||
57,105,631 | ||||||||
Oklahoma – 0.8% | ||||||||
900,000 | Catoosa OK Indl Auth Sales Tax Rev | 4.50% | 10/01/32 | 775,890 | ||||
750,000 | OK St Dev Fin Auth Hlth Sys Rev OU Medicine Proj, Ser B | 5.25% | 08/15/48 | 775,102 | ||||
2,815,000 | Oklahoma City OK Arpt Trust Junior Lien, AMT | 5.00% | 07/01/34 | 3,227,623 | ||||
1,040,000 | Oklahoma City OK Arpt Trust Junior Lien, AMT | 5.00% | 07/01/47 | 1,155,502 | ||||
1,000,000 | Oklahoma Cnty OK Fin Auth Eductnl Facs Lease Rev Midwest City De City Pub Schs Proj | 5.00% | 10/01/25 | 1,187,360 | ||||
1,000,000 | Oklahoma Cnty OK Fin Auth Eductnl Facs Lease Rev Midwest City De City Pub Schs Proj | 5.00% | 10/01/26 | 1,213,140 | ||||
1,000,000 | Tulsa Cnty OK Indl Auth Sr Living Cmnty Rev Ref Montereau Inc Proj | 5.00% | 11/15/25 | 1,024,230 | ||||
250,000 | Tulsa Cnty OK Indl Auth Sr Living Cmnty Rev Ref Montereau Inc Proj | 5.00% | 11/15/26 | 256,148 | ||||
100,000 | Tulsa OK Arpts Impt Trust Ref, Ser D, BAM | 5.00% | 06/01/28 | 100,314 | ||||
1,000,000 | Weatherford OK Indl Trust Eductnl Facs Lease Rev Weatherford Pub Schs Proj | 5.00% | 03/01/31 | 1,240,900 | ||||
10,956,209 | ||||||||
Oregon – 1.7% | ||||||||
170,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Sr Living Willamette View Proj, Ser A | 4.00% | 05/15/26 | 166,783 | ||||
250,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Sr Living Willamette View Proj, Ser A | 5.00% | 11/15/32 | 253,440 | ||||
75,000 | Multnomah Cnty OR Hosp Facs Auth Rev Ref Terwilliger Plaza | 5.00% | 12/01/20 | 75,411 | ||||
4,000,000 | OR St Dept of Admin Svcs Lottery Rev, Ser A | 5.00% | 04/01/34 | 4,802,160 | ||||
2,035,000 | OR St Dept of Admin Svcs Lottery Rev, Ser A | 5.00% | 04/01/35 | 2,434,206 | ||||
1,100,000 | OR St Facs Auth Rev Ref Univ Portland, Ser A | 5.00% | 04/01/32 | 1,271,919 | ||||
500,000 | Oregon City OR | 4.00% | 06/01/37 | 562,445 | ||||
1,060,000 | Oregon City OR | 4.00% | 06/01/38 | 1,188,875 | ||||
2,450,000 | Port of Portland OR Arpt Rev Portland Intl Arpt, Ser 25B, AMT | 5.00% | 07/01/37 | 2,766,442 | ||||
1,500,000 | Port of Portland OR Arpt Rev, Ser 24B, AMT | 5.00% | 07/01/33 | 1,666,560 | ||||
2,500,000 | Portland OR Swr Sys Rev 2nd Lien, Ser A | 4.50% | 05/01/31 | 2,890,925 | ||||
4,925,000 | Tri-Cnty OR Met Transprtn Dist, Ser A, GARVEE | 5.00% | 10/01/31 | 5,967,130 | ||||
24,046,296 | ||||||||
Pennsylvania – 6.4% | ||||||||
500,000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network Oblig Grp Issue, Ser A | 5.00% | 04/01/26 | 574,965 | ||||
1,500,000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network Oblig Grp Issue, Ser A | 5.00% | 04/01/32 | 1,722,780 | ||||
1,200,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Ctr, Ser A | 5.00% | 07/15/32 | 1,405,032 | ||||
505,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Ctr, Ser A | 5.00% | 07/15/34 | 584,482 | ||||
1,300,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Ctr, Ser A | 4.00% | 07/15/36 | 1,359,436 | ||||
1,820,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Ctr, Ser A | 4.00% | 07/15/38 | 1,890,434 | ||||
900,000 | Armstrong PA Sch Dist Ref, Ser A, BAM | 5.00% | 03/15/31 | 1,124,055 | ||||
1,055,000 | Armstrong PA Sch Dist Ref, Ser A, BAM | 4.00% | 03/15/36 | 1,202,711 | ||||
500,000 | Armstrong PA Sch Dist Ref, Ser A, BAM | 4.00% | 03/15/37 | 567,925 | ||||
460,000 | Berks Cnty PA Indl Dev Auth Healthcare Facs Rev Ref Highlands at Wyomissing, Ser-A | 5.00% | 05/15/32 | 464,333 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$500,000 | Berks Cnty PA Muni Auth Ref Tower Hlth Proj, Ser B-2 (Mandatory put 02/01/27) | 5.00% | 02/01/40 | $555,975 | ||||
735,000 | Bucks Cnty PA Indl Dev Auth Hosp Rev St Luke’s Univ Hlth Network Proj | 4.00% | 08/15/38 | 769,442 | ||||
1,050,000 | Bucks Cnty PA Indl Dev Auth Hosp Rev St Luke’s Univ Hlth Network Proj | 4.00% | 08/15/44 | 1,072,712 | ||||
395,000 | Bucks Cnty PA Indl Dev Auth Ref Pennswood Vlg Proj, Ser A | 5.00% | 10/01/32 | 407,107 | ||||
415,000 | Bucks Cnty PA Indl Dev Auth Ref Pennswood Vlg Proj, Ser A | 5.00% | 10/01/33 | 426,736 | ||||
1,000,000 | Bucks Cnty PA Indl Dev Auth Ref Pennswood Vlg Proj, Ser A | 5.00% | 10/01/37 | 1,020,170 | ||||
765,000 | Chester Cnty PA Indl Dev Auth Renaissance Academy Chrt Sch | 5.00% | 10/01/34 | 786,290 | ||||
2,000,000 | Cmwlth Fing Auth PA Ref of 2020, Ser A, BAM | 5.00% | 06/01/31 | 2,576,840 | ||||
1,000,000 | Cmwlth Fing Auth PA Tobacco Master Settlement Payment Rev Tobacco Master Settlement Payment Bonds | 5.00% | 06/01/25 | 1,122,490 | ||||
410,000 | Cmwlth Fing Auth PA Tobacco Master Settlement Payment Rev Tobacco Master Settlement Payment Bonds | 5.00% | 06/01/26 | 467,904 | ||||
500,000 | Colonial PA Sch Dist | 5.00% | 02/15/36 | 578,360 | ||||
300,000 | Colonial PA Sch Dist, Ser A | 5.00% | 02/15/34 | 352,719 | ||||
270,000 | Conestoga Vly PA Sch Dist | 4.00% | 02/01/31 | 307,187 | ||||
300,000 | Conestoga Vly PA Sch Dist | 4.00% | 02/01/32 | 337,491 | ||||
300,000 | Cumberland Cnty PA Muni Auth Ref Diakon Lutheran Ministries Proj | 5.00% | 01/01/30 | 307,599 | ||||
700,000 | Cumberland Cnty PA Muni Auth Ref Diakon Lutheran Ministries Proj | 5.00% | 01/01/38 | 708,456 | ||||
1,150,000 | Cumberland Cnty PA Muni Auth Ref Diakon Lutheran Social Ministries | 5.00% | 01/01/25 | 1,199,945 | ||||
1,000,000 | Cumberland Cnty PA Muni Auth Ref Diakon Lutheran Social Ministries | 5.00% | 01/01/33 | 1,022,400 | ||||
1,660,000 | Cumberland Cnty PA Muni Auth Ref Messiah Vlg Proj | 5.00% | 07/01/28 | 1,672,799 | ||||
1,165,000 | Dover PA Area Sch Dist, BAM | 4.00% | 04/01/32 | 1,303,798 | ||||
1,560,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/26 | 1,743,659 | ||||
1,910,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/27 | 2,128,599 | ||||
715,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/28 | 795,266 | ||||
770,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/29 | 853,922 | ||||
1,730,000 | Kiski Vly PA Wtr Poll Control Auth Ref, AGM | 4.00% | 09/01/42 | 1,831,914 | ||||
480,000 | Lancaster Cnty PA Hosp Auth Healthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/30 | 478,843 | ||||
1,110,000 | Lancaster Cnty PA Hosp Auth Healthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/38 | 1,063,979 | ||||
750,000 | Lancaster Cnty PA Hosp Auth Ref, St Annes Retmnt Cmnty Inc Proj | 5.00% | 03/01/45 | 683,438 | ||||
1,000,000 | Lancaster Cnty PA Hosp Auth Ref, St Annes Retmnt Cmnty Inc Proj | 5.00% | 03/01/50 | 897,460 | ||||
405,000 | Lebanon PA Auth Swr Rev Ref, BAM | 4.00% | 12/15/29 | 456,115 | ||||
420,000 | Lebanon PA Auth Swr Rev Ref, BAM | 4.00% | 12/15/30 | 465,986 | ||||
1,550,000 | Mechanicsburg PA Area Sch Dist, Ser A | 4.00% | 03/01/36 | 1,721,693 | ||||
1,090,000 | Mechanicsburg PA Area Sch Dist, Ser A | 4.00% | 03/01/38 | 1,201,572 | ||||
500,000 | Middletown PA Sch Dist, Ser A | 5.00% | 03/01/28 | 539,200 | ||||
300,000 | Mifflinburg PA Area Sch Dist Ref, Ser A | 4.00% | 06/15/35 | 334,407 | ||||
550,000 | Mifflinburg PA Area Sch Dist Ref, Ser A | 4.00% | 06/15/36 | 608,443 | ||||
610,000 | Mifflinburg PA Area Sch Dist Ref, Ser A | 4.00% | 06/15/38 | 670,201 | ||||
1,000,000 | Montgomery Cnty PA Hgr Edu & Hlth Auth Ref Thomas Jefferson Univ Proj | 4.00% | 09/01/34 | 1,043,170 | ||||
1,000,000 | Montgomery Cnty PA Hgr Edu & Hlth Auth Ref Thomas Jefferson Univ Proj | 4.00% | 09/01/35 | 1,038,150 | ||||
1,005,000 | Montgomery Cnty PA Indl Dev Auth Acts Retmnt Life Cmntys Ref | 5.00% | 11/15/25 | 1,033,492 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$50,000 | Montgomery Cnty PA Indl Dev Auth Acts Retmnt Life Cmntys Ref | 5.00% | 11/15/29 | $50,985 | ||||
480,000 | Montgomery Cnty PA Indl Dev Auth Ref Meadowood Sr Living Proj, Ser A | 5.00% | 12/01/26 | 492,413 | ||||
100,000 | Montgomery Cnty PA Indl Dev Auth Ref Waverly Heights Ltd Proj | 4.00% | 12/01/33 | 98,114 | ||||
200,000 | Montgomery Cnty PA Indl Dev Auth Ref Waverly Heights Ltd Proj | 4.00% | 12/01/34 | 195,678 | ||||
580,000 | Montgomery Cnty PA Indl Dev Auth Ref Waverly Heights Ltd Proj | 5.00% | 12/01/44 | 597,678 | ||||
140,000 | Northampton Cnty PA Gen Purpose Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/25 | 149,044 | ||||
225,000 | Northampton Cnty PA Gen Purpose Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/26 | 240,235 | ||||
540,000 | Northampton Cnty PA Gen Purpose Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/31 | 560,536 | ||||
1,800,000 | Northampton Cnty PA Gen Purpose Auth Hosp Rev Ref St Luke’s Univ Hlth Network Proj, Ser A | 5.00% | 08/15/28 | 2,051,388 | ||||
1,000,000 | PA St Hgr Eductnl Facs Auth Rev Ref Drexel Univ | 5.00% | 05/01/25 | 1,121,880 | ||||
1,105,000 | PA St Hgr Eductnl Facs Auth Rev Ref Drexel Univ | 5.00% | 05/01/34 | 1,209,312 | ||||
3,000,000 | PA St Hsg Fin Agy SF Mtge Rev Non Ace, Ser 123B | 3.45% | 10/01/32 | 3,171,270 | ||||
5,455,000 | PA St Hsg Fin Agy Sf Mtge Rev, Ser 127B | 3.55% | 10/01/33 | 5,798,883 | ||||
1,000,000 | PA St Turnpike Commn Turnpike Rev Ref | 5.00% | 12/01/33 | 1,135,670 | ||||
4,940,000 | PA St Turnpike Commn Turnpike Rev Ref Sub Mtr License Fund, 2nd Ser | 5.00% | 12/01/41 | 5,547,916 | ||||
2,500,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/36 | 2,784,150 | ||||
550,000 | PA St Turnpike Commn Turnpike Rev Subordinate, Ser A-1 | 5.00% | 12/01/30 | 619,845 | ||||
290,000 | Philadelphia PA Gas Wks Rev Ref | 5.00% | 08/01/25 | 331,050 | ||||
1,625,000 | Philadelphia PA Gas Wks Rev Ref | 5.00% | 08/01/29 | 1,891,841 | ||||
1,000,000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, 14th Ser | 5.00% | 10/01/29 | 1,194,920 | ||||
2,000,000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, 14th Ser | 5.00% | 10/01/34 | 2,350,080 | ||||
5,235,000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, 15th Ser | 5.00% | 08/01/42 | 5,864,823 | ||||
500,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/26 | 597,605 | ||||
500,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/27 | 610,390 | ||||
750,000 | Philadelphia PA Ref, Ser A | 5.25% | 07/15/28 | 849,668 | ||||
1,600,000 | Philadelphia PA, Ser B, BAM | 5.00% | 02/01/34 | 2,002,736 | ||||
405,000 | Southcentrl PA General Auth Rev Ref Hanover Hosp Inc | 5.00% | 12/01/23 | 446,265 | ||||
1,970,000 | Westmoreland Cnty PA Muni Auth Ref, BAM | 5.00% | 08/15/42 | 2,256,911 | ||||
91,703,368 | ||||||||
Puerto Rico – 0.6% | ||||||||
9,023,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.50% | 07/01/34 | 8,811,320 | ||||
387,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (d) | 07/01/27 | 291,976 | ||||
92,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (d) | 07/01/29 | 62,986 | ||||
9,166,282 | ||||||||
Rhode Island – 0.4% | ||||||||
150,000 | Providence RI Pub Bldgs Auth Rev, Ser B, AGM | 5.00% | 06/15/31 | 184,185 | ||||
320,000 | Providence RI Pub Bldgs Auth Rev, Ser B, AGM | 5.00% | 06/15/33 | 386,090 | ||||
230,000 | Providence RI Pub Bldgs Auth Rev, Ser B, AGM | 5.00% | 06/15/35 | 273,636 | ||||
1,125,000 | RI St Hlth & Eductnl Bldg Corp Rev Ref Hosp Fing Lifespan Oblig Grp | 5.00% | 05/15/29 | 1,230,142 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Rhode Island (Continued) | ||||||||
$1,460,000 | RI St Hlth & Eductnl Bldg Corp Rev Ref Hosp Fing Lifespan Oblig Grp | 5.00% | 05/15/32 | $1,561,090 | ||||
1,700,000 | RI St Hlth & Eductnl Bldg Corp Rev Ref Hosp Fing Lifespan Oblig Grp | 5.00% | 05/15/39 | 1,766,674 | ||||
5,401,817 | ||||||||
South Carolina – 0.4% | ||||||||
2,250,000 | Berkeley Cnty SC Assmnt Rev Nexton Impt Dist | 4.25% | 11/01/40 | 1,777,928 | ||||
1,000,000 | Greenville SC Hosp Sys Brd Hosp Facs Rev, Ser B | 5.00% | 05/01/30 | 1,077,730 | ||||
100,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 3.13% | 12/01/22 | 97,662 | ||||
1,000,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 5.00% | 12/01/31 | 969,210 | ||||
745,000 | Piedmont SC Muni Pwr Agy Elec Rev Ref, Ser A-3 | 5.00% | 01/01/23 | 762,172 | ||||
1,000,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Woodlands at Furman Proj, Ser A | 5.00% | 11/15/54 | 848,590 | ||||
500,000 | SC St Jobs Econ Dev Auth Hlth Facs Rev Ref Lutheran Homes of SC Inc | 5.00% | 05/01/42 | 404,385 | ||||
30,000 | SC St Jobs Econ Dev Auth Hosp Rev Ref Palmetto Hlth, Ser A | 5.00% | 08/01/23 | 33,941 | ||||
150,000 | SC St Jobs Econ Dev Auth Hosp Rev Ref Palmetto Hlth, Ser A, AGM | 5.50% | 08/01/24 | 158,652 | ||||
6,130,270 | ||||||||
South Dakota – 0.1% | ||||||||
85,000 | SD St Hlth & Eductnl Facs Auth Ref Sanford Oblig Grp | 5.00% | 11/01/35 | 93,025 | ||||
1,030,000 | SD St Hlth & Eductnl Facs Auth Sanford Oblig Grp, Ser B | 5.00% | 11/01/34 | 1,113,502 | ||||
1,206,527 | ||||||||
Tennessee – 1.2% | ||||||||
250,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Commonspirit Hlth, Ser A-1 | 5.00% | 08/01/34 | 277,527 | ||||
200,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/37 | 201,320 | ||||
825,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Commonspirit Hlth, Ser A-2 | 5.00% | 08/01/34 | 915,841 | ||||
325,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Student Hsg CDFI Phase I | 5.00% | 10/01/23 | 334,204 | ||||
1,245,000 | Greeneville TN Hlth & Eductnl Facs Brd Hosp Rev Ref Ballad Hlth Oblig Grp, Ser A | 5.00% | 07/01/33 | 1,319,899 | ||||
120,000 | Jackson TN Hosp Rev Ref West TN Healthcare, Ser A | 5.00% | 04/01/25 | 135,491 | ||||
600,000 | Memphis Shelby Cnty TN Arpt Auth Arpt Rev Ref, Ser B, AMT | 5.75% | 07/01/23 | 603,630 | ||||
865,000 | Met Govt Nashville & Davidson Cnty TN Elec Rev Sys, Ser A | 5.00% | 05/15/35 | 1,035,128 | ||||
1,215,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Lipscomb Univ Proj, Ser A | 5.00% | 10/01/28 | 1,332,879 | ||||
1,385,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Lipscomb Univ Proj, Ser A | 5.00% | 10/01/29 | 1,511,118 | ||||
375,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Lipscomb Univ Proj, Ser A | 5.00% | 10/01/37 | 395,992 | ||||
600,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Trevecca Nazarene Univ Proj | 5.00% | 10/01/29 | 643,560 | ||||
400,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Trevecca Nazarene Univ Proj | 5.00% | 10/01/34 | 416,144 | ||||
700,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Trevecca Nazarene Univ Proj | 5.00% | 10/01/39 | 714,455 | ||||
3,435,000 | TN St Energy Acquisition Corp Gas Rev Proj, Ser A (Mandatory put 05/01/23) | 4.00% | 05/01/48 | 3,569,618 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Tennessee (Continued) | ||||||||
$50,000 | TN St Energy Acquisition Corp Gas Rev, Ser A | 5.25% | 09/01/22 | $52,741 | ||||
2,660,000 | TN St Energy Acquisition Corp Gas Rev, Ser A | 5.25% | 09/01/26 | 2,982,020 | ||||
16,441,567 | ||||||||
Texas – 6.7% | ||||||||
2,685,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Lifeschool Dallas, Ser A | 5.00% | 08/15/31 | 2,965,797 | ||||
450,000 | Austin TX Arpt Sys Rev, AMT | 5.00% | 11/15/33 | 488,894 | ||||
3,870,000 | Austin TX Arpt Sys Rev, Ser B, AMT | 5.00% | 11/15/39 | 4,314,276 | ||||
455,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fdtn Proj | 5.00% | 07/15/25 | 462,876 | ||||
900,000 | Bexar Cnty TX Ref | 4.00% | 06/15/38 | 1,015,452 | ||||
2,255,000 | Brazoria Cnty TX Toll Road Auth Toll Road Rev Sub Lien, Ser A | 5.00% | 03/01/36 | 2,645,814 | ||||
600,000 | Brd of Managers TX Jt Guadalupe Cnty City of Seguin Hosp Mtg Ref | 5.00% | 12/01/24 | 656,562 | ||||
600,000 | Centrl TX Regl Mobility Auth Rev Ref Sub Lien | 5.00% | 01/01/33 | 626,298 | ||||
850,000 | Centrl TX Regl Mobility Auth Rev Sr Lien, Ser A | 5.00% | 01/01/29 | 921,085 | ||||
500,000 | Clifton TX Hgr Edu Fin Corp Edu Rev Idea Pub Schs | 5.00% | 08/15/32 | 523,105 | ||||
1,215,000 | Clifton TX Hgr Edu Fin Corp Edu Rev, Ser A | 4.00% | 12/01/25 | 1,223,930 | ||||
4,425,000 | Corpus Christi TX Utility Sys Rev Ref Jr Lien | 5.00% | 07/15/33 | 5,368,012 | ||||
2,365,000 | Corpus Christi TX Utility Sys Rev Ref Jr Lien | 5.00% | 07/15/35 | 2,845,663 | ||||
1,000,000 | El Paso TX Ref, Ser A | 4.00% | 08/15/34 | 1,144,790 | ||||
500,000 | El Paso TX Ref, Ser A | 4.00% | 08/15/36 | 564,420 | ||||
455,000 | Flower Mound TX Spl Assmnt Rev River Walk Pub Impt Dist #1 | 6.13% | 09/01/28 | 451,592 | ||||
1,000,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Med Facs Rev Ref Baylor Clg of Med | 4.00% | 11/15/30 | 1,086,120 | ||||
1,640,000 | Harris Cnty TX Flood Control Dist Ref Flood Control Dist, Ser A | 4.00% | 10/01/37 | 1,833,536 | ||||
1,100,000 | Harris Cnty TX Ref Sr Lien Toll Road, Ser B | 5.00% | 08/15/36 | 1,270,929 | ||||
2,600,000 | Harris Cnty TX Ref Sr Lien, Ser A | 5.00% | 08/15/36 | 3,059,342 | ||||
500,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal E Proj, AMT | 4.50% | 07/01/20 | 498,845 | ||||
100,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal E Proj, AMT | 4.75% | 07/01/24 | 99,650 | ||||
1,730,000 | Houston TX Cmnty Clg Ref | 4.00% | 02/15/37 | 1,915,404 | ||||
1,000,000 | Houston TX Hotel Occupancy Tax & Spl Rev Ref Convention & Entertainment Facs Dept | 5.00% | 09/01/32 | 980,700 | ||||
1,000,000 | Houston TX Utility Sys Rev Ref 1st Lien, Ser D | 5.00% | 11/15/29 | 1,188,040 | ||||
850,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch (b) | 4.35% | 08/15/25 | 855,508 | ||||
815,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch, Ser A (b) | 4.20% | 08/15/25 | 817,249 | ||||
1,250,000 | Laredo TX Cmnty Clg Dist Combined Fee Rev Ref, BAM | 4.00% | 08/01/33 | 1,375,037 | ||||
1,290,000 | Leander TX Spl Assmnt Rev Crystal Springs Pub Impt Dist Proj Accd Inv (e) | 5.13% | 09/01/38 | 1,142,501 | ||||
500,000 | Liberty Hill TX Indep Sch Dist Ref | 5.00% | 08/01/30 | 598,590 | ||||
4,000,000 | Lower Colorado River TX Auth Transmission Contract Rev Ref LCRA Transmission Svcs Corp Proj | 5.00% | 05/15/20 | 4,004,960 | ||||
700,000 | Lower Colorado River TX Auth Transmission Contract Rev Ref LCRA Transmission Svcs Corp Proj | 5.00% | 05/15/33 | 814,821 | ||||
400,000 | Lower Colorado River TX Auth Transmission Contract Rev Ref LCRA Transmission Svcs Corp Proj | 5.00% | 05/15/37 | 465,936 | ||||
610,000 | Lower Colorado River TX Auth Transmission Contract Rev Ref LCRA Transmission Svcs Corp Proj | 5.00% | 05/15/38 | 708,735 | ||||
1,000,000 | Lower Colorado River TX Auth Transmission Contract Rev Ref LCRA Transmission Svcs Corp Proj | 5.00% | 05/15/40 | 1,156,650 | ||||
370,000 | Mission TX Ctfs Oblig, AGM | 5.00% | 02/15/30 | 453,106 | ||||
1,105,000 | Montgomery TX Indep Sch Dist Ref Sch Bldg | 5.00% | 02/15/28 | 1,288,154 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$1,350,000 | N Fort Bend TX Wtr Auth Wtr Sys Rev Ref, Ser A | 4.00% | 12/15/36 | $1,546,236 | ||||
2,250,000 | N TX Tollway Auth Rev Ref 2nd Tier, Ser B | 5.00% | 01/01/31 | 2,555,887 | ||||
1,500,000 | N TX Tollway Auth Rev Ref Sys Second Tier, Ser B | 5.00% | 01/01/31 | 1,645,950 | ||||
250,000 | N TX Tollway Auth Rev Ref, Ser A | 5.00% | 01/01/33 | 281,620 | ||||
635,000 | New Hope Cultural Edu Facs Fin Corp TX Hosp Rev Ref Childrens Hlth System of Texas Proj, Ser A | 4.00% | 08/15/34 | 693,985 | ||||
1,415,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/31 | 1,343,090 | ||||
1,200,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/32 | 1,128,096 | ||||
250,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Wesleyan Homes Inc Proj Fin Corp | 5.00% | 01/01/50 | 193,428 | ||||
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 (c) | 5.00% | 04/01/29 | 482,555 | ||||
505,000 | Newark Hgr Edu Fin Corp TX Edu Rev Austin Achieve Pub Schs Inc, Ser A | 5.00% | 06/15/32 | 508,495 | ||||
700,000 | Newark Hgr Edu Fin Corp TX Edu Rev Austin Achieve Pub Schs Inc, Ser A | 5.00% | 06/15/42 | 689,829 | ||||
495,000 | Red River TX Hlth Facs Dev Corp Retmnt Fac Rev MRC Crestview, Ser A | 7.75% | 11/15/31 | 546,985 | ||||
2,690,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Ref Baylor Scott & White Hlth Proj, Ser A | 5.00% | 11/15/45 | 2,966,317 | ||||
750,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Ref, Cook Children’s Med Ctr | 4.00% | 12/01/35 | 832,357 | ||||
1,485,000 | TX St Muni Gas Acquisition & Sply Corp I Gas Sply Rev Sr Lien, Ser A | 5.25% | 12/15/26 | 1,729,609 | ||||
600,000 | TX St Muni Gas Acquisition & Sply Corp III Gas Sply Rev | 5.00% | 12/15/24 | 630,048 | ||||
2,850,000 | TX St Muni Gas Acquisition & Sply Corp III Gas Sply Rev | 5.00% | 12/15/30 | 2,965,111 | ||||
1,180,000 | TX St Muni Gas Acquisition & Sply Corp III Gas Sply Rev | 5.00% | 12/15/31 | 1,224,840 | ||||
3,000,000 | TX St Priv Activity Bond Surface Transprtn Corp Rev Segment 3C Proj, AMT | 5.00% | 06/30/58 | 3,138,870 | ||||
865,000 | TX St Transprtn Commn Central TX Turnpike Sys Rev Ref, Ser B | 5.00% | 08/15/37 | 936,034 | ||||
2,130,000 | TX St Univ Sys Fing Rev Ref, Ser A | 4.00% | 03/15/35 | 2,402,768 | ||||
785,000 | TX St Wtr Dev Brd St Wtr Implementation Fund, Ser A | 5.00% | 04/15/30 | 977,992 | ||||
4,000,000 | TX St Wtr Dev Brd St Wtr Implementation Fund, Ser A | 4.00% | 10/15/38 | 4,474,840 | ||||
250,000 | TX St Wtr Dev Brd St Wtr Implementation Rev Fund for TX | 4.00% | 10/15/32 | 283,483 | ||||
150,000 | Univ of Houston TX Univ Revs Ref, Ser A | 5.00% | 02/15/26 | 180,107 | ||||
3,250,000 | Univ of Houston TX Univ Revs Ref, Ser A | 5.00% | 02/15/31 | 3,833,245 | ||||
1,900,000 | Univ of Houston TX Univ Revs Ref, Ser A | 5.00% | 02/15/35 | 2,207,040 | ||||
1,560,000 | Uptown Dev Auth TX Incr Contract Rev, Ser A | 5.00% | 09/01/36 | 1,707,233 | ||||
500,000 | Viridian TX Muni Mgmt Dist Ref Utility Impt, BAM | 6.00% | 12/01/26 | 599,115 | ||||
155,000 | Viridian TX Muni Mgmt Dist Road Impt, BAM | 5.00% | 12/01/26 | 172,893 | ||||
125,000 | Viridian TX Muni Mgmt Dist Utility Impt, BAM | 5.00% | 12/01/26 | 139,430 | ||||
94,849,867 | ||||||||
Utah – 1.1% | ||||||||
1,180,000 | Grand Cnty Sch Dist Loc Bldg Auth UT, AGM | 5.00% | 12/15/27 | 1,395,633 | ||||
1,370,000 | Grand Cnty Sch Dist Loc Bldg Auth UT, AGM | 5.00% | 12/15/30 | 1,605,887 | ||||
1,400,000 | Grand Cnty Sch Dist Loc Bldg Auth UT, AGM | 5.00% | 12/15/31 | 1,638,602 | ||||
1,515,000 | Grand Cnty Sch Dist Loc Bldg Auth UT, AGM | 5.00% | 12/15/32 | 1,769,671 | ||||
400,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Quest Academy | 5.00% | 04/15/32 | 467,796 | ||||
325,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Quest Academy | 5.00% | 04/15/37 | 376,919 | ||||
500,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Spectrum Academy Proj (b) | 6.00% | 04/15/45 | 500,055 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Utah (Continued) | ||||||||
$1,590,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner Academy Proj, Ser A (b) | 5.00% | 06/15/49 | $1,382,092 | ||||
4,875,000 | UT St Transit Auth Sales Tax Rev Ref Sub, BAM | 5.00% | 12/15/40 | 5,813,632 | ||||
1,145,000 | UT St Transit Auth Sales Tax Rev Ref Sub, Ser A | 5.00% | 06/15/35 | 1,375,294 | ||||
16,325,581 | ||||||||
Vermont – 0.5% | ||||||||
550,000 | Burlington VT Ref Lakeview Garage Proj, Ser A, COPS | 5.00% | 12/01/24 | 631,119 | ||||
745,000 | VT St Econ Dev Auth Mtge Rev Ref Wake Robin Corp Proj, Ser A | 5.00% | 05/01/25 | 722,300 | ||||
585,000 | VT St Econ Dev Auth Mtge Rev Ref Wake Robin Corp Proj, Ser A | 5.00% | 05/01/26 | 562,735 | ||||
2,000,000 | VT St Econ Dev Auth Solid Wst Disp Rev Variable-Casella Waste Sys Inc, AMT (Mandatory put 04/03/28) (b) | 4.63% | 04/01/36 | 1,990,100 | ||||
2,500,000 | VT St Eductnl & Hlth Bldgs Fing Agy Rev Ref Univ of VT Med Ctr, Ser A | 5.00% | 12/01/33 | 2,774,900 | ||||
6,681,154 | ||||||||
Virginia – 1.1% | ||||||||
1,000,000 | Chesapeake VA Hosp Auth Hosp Fac Rev Ref Chesapeake Regl Med Ctr | 4.00% | 07/01/35 | 1,067,460 | ||||
1,350,000 | Norfolk VA Redev & Hsg Auth Rev Ft Norfolk Retmnt Cmnty Harbors Edge Proj, Ser A (c) | 4.00% | 01/01/29 | 1,289,831 | ||||
1,000,000 | Norfolk VA Redev & Hsg Auth Rev Ft Norfolk Retmnt Cmnty Harbors Edge Proj, Ser A (c) | 5.00% | 01/01/49 | 933,670 | ||||
1,000,000 | Norfolk VA Redev & Hsg Auth Rev Ft Norfolk Retmnt Cmnty Harbors Edge Proj, Ser A (c) | 5.25% | 01/01/54 | 967,740 | ||||
2,000,000 | VA St Pub Bldg Auth Pub Facs Rev, Ser C, AMT | 5.00% | 08/01/33 | 2,379,980 | ||||
1,000,000 | VA St Resources Auth Infrastructure Rev Ref Infrastructure VA Pooled Fing Program, Ser C | 4.00% | 11/01/33 | 1,112,670 | ||||
1,570,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/32 | 1,713,121 | ||||
1,000,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/33 | 1,088,830 | ||||
1,210,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/35 | 1,311,156 | ||||
275,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/36 | 297,396 | ||||
2,365,000 | Wstrn VA Regl Jail Auth Regl Jail Facs Rev Ref | 5.00% | 12/01/34 | 2,850,629 | ||||
15,012,483 | ||||||||
Washington – 2.3% | ||||||||
1,235,000 | Benton Cnty WA Pub Utility Dist #1 Ref | 4.00% | 11/01/36 | 1,348,497 | ||||
1,090,000 | Centrl Puget Sound WA Regl Transit Auth Green Bond, Ser S-1 | 5.00% | 11/01/36 | 1,267,735 | ||||
1,250,000 | Centrl Puget Sound WA Regl Transit Auth Sales & Use Tax Green Bond Ref & Impt, Ser S-1 | 5.00% | 11/01/35 | 1,435,225 | ||||
1,250,000 | Energy NW WA Elec Rev Ref Columbia Generating Sys, Ser A | 5.00% | 07/01/38 | 1,429,237 | ||||
1,500,000 | Energy NW WA Elec Rev Ref, Ser A | 5.00% | 07/01/24 | 1,729,485 | ||||
575,000 | Kalispel Tribe of Indians Priority Dist WA Rev, Ser A (b) | 5.00% | 01/01/32 | 598,328 | ||||
155,000 | Mason Cnty WA Pub Utility Dist #1 Sys | 3.50% | 12/01/21 | 159,817 | ||||
3,000,000 | Seattle WA Drain & Wstwtr Rev Ref | 4.00% | 07/01/36 | 3,386,700 | ||||
270,000 | Skagit Cnty WA Pub Hosp Dist #1 Ref & Impt Skagit Regl Hlth | 4.00% | 12/01/24 | 292,383 | ||||
110,000 | Skagit Cnty WA Pub Hosp Dist #1 Ref & Impt, Ser A | 5.00% | 12/01/22 | 118,360 | ||||
165,000 | Skagit Cnty WA Pub Hosp Dist #1 Skagit Vly Hosp | 5.00% | 12/01/20 | 169,074 | ||||
500,000 | Snohomish Cnty WA Hsg Auth | 5.00% | 04/01/34 | 596,200 | ||||
250,000 | Tacoma WA Elec Sys Rev | 5.00% | 01/01/37 | 294,358 | ||||
1,850,000 | WA St Healthcare Facs Auth Overlake Hosp Med Ctr, Ser A | 5.00% | 07/01/35 | 2,061,751 | ||||
1,625,000 | WA St Hlth Care Facs Auth Ref, Overlake Hosp Med Ctr, Ser B | 5.00% | 07/01/31 | 1,868,896 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Washington (Continued) | ||||||||
$35,000 | WA St Hsg Fin Commn Ref Emerald Heights Proj | 5.00% | 07/01/22 | $35,912 | ||||
50,000 | WA St Hsg Fin Commn Ref Emerald Heights Proj | 5.00% | 07/01/28 | 51,482 | ||||
1,000,000 | WA St Hsg Fin Commn Transforming Age Proj, Ser A (b) | 5.00% | 01/01/44 | 865,350 | ||||
2,500,000 | WA St Ref R-2015D | 5.00% | 07/01/32 | 2,884,275 | ||||
1,100,000 | WA St, Ser 2020A | 5.00% | 08/01/35 | 1,375,990 | ||||
3,000,000 | WA St, Ser 2020A | 5.00% | 08/01/44 | 3,639,420 | ||||
4,000,000 | WA St, Ser B | 5.00% | 02/01/36 | 4,585,000 | ||||
2,425,000 | WA St, Ser D | 5.00% | 02/01/30 | 2,957,093 | ||||
33,150,568 | ||||||||
West Virginia – 0.5% | ||||||||
2,250,000 | Roane Cnty Bldg Commn WV Ref Roane General Hosp, BANS | 2.55% | 11/01/21 | 2,257,470 | ||||
4,100,000 | WV St Hosp Fin Auth Impt, W Va Univ Hlth Sys Oblig Grp, Ser A, AGM | 4.00% | 06/01/51 | 4,248,338 | ||||
6,505,808 | ||||||||
Wisconsin – 2.3% | ||||||||
1,050,000 | Milwaukee WI Ref Promissory Nts, Ser N-4 | 5.00% | 04/01/29 | 1,343,454 | ||||
1,315,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Academy Las Vegas Proj, Ser A (b) | 4.20% | 07/15/27 | 1,248,172 | ||||
1,250,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Academy Las Vegas Proj, Ser A (b) | 5.13% | 07/15/37 | 1,150,288 | ||||
1,945,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 4.00% | 07/01/27 | 1,998,449 | ||||
620,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/37 | 640,621 | ||||
1,000,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/47 | 1,023,000 | ||||
425,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/34 | 463,926 | ||||
1,000,000 | Pub Fin Auth WI Exempt Facs Rev Ref Celanese Proj, Ser B, AMT | 5.00% | 12/01/25 | 998,040 | ||||
1,450,000 | Pub Fin Auth WI Retmnt Fac Rev Ref Penick Vlg Oblig Grp (b) | 5.00% | 09/01/49 | 1,169,729 | ||||
340,000 | Pub Fin Auth WI Retmnt Fac Rev Ref Whitestone Retmnt Facs 1st Mortgage Rev Bonds (b) | 4.00% | 03/01/27 | 318,277 | ||||
1,000,000 | Pub Fin Auth WI Retmnt Fac Rev Southminster (b) | 5.00% | 10/01/43 | 919,770 | ||||
1,455,000 | Pub Fin Auth WI Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser B | 5.00% | 11/15/26 | 1,556,283 | ||||
1,300,000 | WI St Gen Fund Annual Approp Rev Ref, Ser B | 5.00% | 05/01/34 | 1,536,197 | ||||
3,650,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Ascension Hlth Credit Grp, Ser A | 5.00% | 11/15/36 | 4,120,448 | ||||
1,000,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Ascension Hlth Credit Grp, Ser A | 5.00% | 11/15/39 | 1,121,980 | ||||
1,780,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Beloit Hlth Sys Inc | 4.00% | 07/01/36 | 1,891,624 | ||||
500,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Marquette Univ | 5.00% | 10/01/28 | 527,265 | ||||
1,175,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Prohealth Care Oblig Grp | 5.00% | 08/15/31 | 1,289,962 | ||||
175,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Prohealth Care Oblig Grp | 5.00% | 08/15/33 | 190,839 | ||||
700,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Rogers Memorial Hosp Inc, Ser A | 5.00% | 07/01/44 | 758,058 | ||||
800,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Rogers Memorial Hosp Inc, Ser A | 5.00% | 07/01/49 | 862,688 | ||||
515,000 | WI St Hlth & Eductnl Facs Auth Rev Ref St Camillus Hlth Sys, Ser A | 5.00% | 11/01/30 | 500,266 | ||||
435,000 | WI St Hlth & Eductnl Facs Auth Rev St Johns Cmntys Inc Proj, Ser A | 5.00% | 09/15/30 | 429,097 | ||||
1,015,000 | WI St Hlth & Eductnl Facs Auth Rev St Johns Cmntys Inc Proj, Ser A | 5.00% | 09/15/31 | 995,979 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Wisconsin (Continued) | ||||||||
$595,000 | WI St Hlth & Eductnl Facs Auth Rev St Johns Cmntys Inc Proj, Ser A | 5.00% | 09/15/32 | $579,447 | ||||
455,000 | WI St Hlth & Eductnl Facs Auth Rev St Johns Cmntys Inc Proj, Ser A | 5.00% | 09/15/33 | 440,749 | ||||
2,000,000 | WI St Ref, Ser 3 | 4.00% | 11/01/34 | 2,268,920 | ||||
2,500,000 | WI St, Ser B | 4.00% | 05/01/31 | 2,882,800 | ||||
33,226,328 | ||||||||
Wyoming – 0.0% | ||||||||
250,000 | Natrona Cnty WY Hosp Rev Ref WY Med Ctr Proj | 5.00% | 09/15/30 | 288,307 |
Total Investments – 94.1% | 1,339,437,761 | ||
(Cost $1,361,149,075) (f) | |||
Net Other Assets and Liabilities – 5.9% | 83,362,214 | ||
Net Assets – 100.0% | $1,422,799,975 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury Ultra 10-Year Notes | Short | 124 | Jun 2020 | $ (19,471,875) | $(407,234) | |||||
U.S. Treasury Long Bonds | Short | �� | 37 | Jun 2020 | (6,698,156) | (396,594) | ||||
Total Futures Contracts | $(26,170,031) | $(803,828) |
(a) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(b) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At April 30, 2020, securities noted as such amounted to $58,846,439 or 4.1% of net assets. |
(c) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(d) | Zero coupon bond. |
(e) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2C - Restricted Securities in the Notes to Financial Statements). |
(f) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $18,456,336 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $40,971,478. The net unrealized depreciation was $22,515,142. The amounts presented are inclusive of derivative contracts. |
AGC | Assured Guaranty Corp. |
AGM | Assured Guaranty Municipal Corp. |
AMBAC | American Municipal Bond Assurance Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
BANS | Bond Anticipation Notes |
CABS | Capital Appreciation Bonds |
COPS | Certificates of Participation |
GANS | Grant Anticipation Notes |
GARVEE | Grant Anticipation Revenue Vehicle |
NATL-RE | National Public Finance Guarantee Corp. |
ASSETS TABLE | ||||
Total Value at 4/30/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 1,339,437,761 | $ — | $ 1,339,437,761 | $ — |
LIABILITIES TABLE | ||||
Total Value at 4/30/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts | $ (803,828) | $ (803,828) | $ — | $ — |
* | See Portfolio of Investments for state and territory breakout. |
ASSETS: | |
Investments, at value (Cost $1,361,149,075) | $ 1,339,437,761 |
Cash | 55,533,843 |
Receivables: | |
Investment securities sold | 20,516,889 |
Interest | 17,345,998 |
Fund shares sold | 5,252,944 |
Total Assets | 1,438,087,435 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 13,904,283 |
Variation margin | 803,828 |
Investment advisory fees | 579,349 |
Total Liabilities | 15,287,460 |
NET ASSETS | $1,422,799,975 |
NET ASSETS consist of: | |
Paid-in capital | $ 1,465,786,971 |
Par value | 271,000 |
Accumulated distributable earnings (loss) | (43,257,996) |
NET ASSETS | $1,422,799,975 |
NET ASSET VALUE, per share | $52.50 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 27,100,002 |
INVESTMENT INCOME: | ||
Interest | $ 18,206,833 | |
Total investment income | 18,206,833 | |
EXPENSES: | ||
Investment advisory fees | 4,254,482 | |
Total expenses | 4,254,482 | |
Fees waived by the investment advisor | (981,804) | |
Net expenses | 3,272,678 | |
NET INVESTMENT INCOME (LOSS) | 14,934,155 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (13,130,473) | |
Futures | (4,666,315) | |
Net realized gain (loss) | (17,796,788) | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | (60,873,288) | |
Futures | (614,875) | |
Net change in unrealized appreciation (depreciation) | (61,488,163) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (79,284,951) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(64,350,796) |
Six Months Ended 4/30/2020 (Unaudited) | Year Ended 10/31/2019 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 14,934,155 | $ 18,421,711 | |
Net realized gain (loss) | (17,796,788) | (383,923) | |
Net change in unrealized appreciation (depreciation) | (61,488,163) | 43,706,637 | |
Net increase (decrease) in net assets resulting from operations | (64,350,796) | 61,744,425 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (15,263,251) | (18,404,821) | |
Return of capital | — | (424,682) | |
Total distributions to shareholders | (15,263,251) | (18,829,503) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 418,089,279 | 647,355,139 | |
Cost of shares redeemed | (50,933,094) | (10,383,218) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 367,156,185 | 636,971,921 | |
Total increase (decrease) in net assets | 287,542,138 | 679,886,843 | |
NET ASSETS: | |||
Beginning of period | 1,135,257,837 | 455,370,994 | |
End of period | $1,422,799,975 | $1,135,257,837 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 20,500,002 | 8,800,002 | |
Shares sold | 7,550,000 | 11,900,000 | |
Shares redeemed | (950,000) | (200,000) | |
Shares outstanding, end of period | 27,100,002 | 20,500,002 |
Six Months Ended 4/30/2020 (Unaudited) | Year Ended October 31, | ||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | |||||||
Net asset value, beginning of period | $ 55.38 | $ 51.75 | $ 53.16 | $ 53.32 | $ 51.58 | $ 51.11 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.63 | 1.35 | 1.35 | 1.34 | 1.32 | 1.35 | |||||
Net realized and unrealized gain (loss) | (2.87) | 3.67 | (1.41) | (0.01) | 1.99 | 0.50 | |||||
Total from investment operations | (2.24) | 5.02 | (0.06) | 1.33 | 3.31 | 1.85 | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.64) | (1.36) | (1.35) | (1.33) | (1.35) | (1.38) | |||||
Net realized gain | — | — | — | (0.16) | (0.22) | — | |||||
Return of capital | — | (0.03) | — | — | — | — | |||||
Total distributions | (0.64) | (1.39) | (1.35) | (1.49) | (1.57) | (1.38) | |||||
Net asset value, end of period | $52.50 | $55.38 | $51.75 | $53.16 | $53.32 | $51.58 | |||||
Total return (a) | (4.10)% | 9.79% | (0.12)% | 2.59% | 6.47% | 3.66% | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 1,422,800 | $ 1,135,258 | $ 455,371 | $ 220,605 | $ 82,650 | $ 33,529 | |||||
Ratio of total expenses to average net assets | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% | |||||
Ratio of net expenses to average net assets | 0.50% | 0.50% | 0.50% | 0.50% | 0.52% | 0.65% | |||||
Ratio of net investment income (loss) to average net assets | 2.28% | 2.53% | 2.60% | 2.63% | 2.52% | 2.63% | |||||
Portfolio turnover rate (b) | 29% | 26% | 42% | 85% | 85% | 109% |
(a) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived by the advisor. |
(b) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer; |
5) | the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; and |
10) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security | Acquisition Date | Principal Value | Current Price | Carrying Cost | Value | % of Net Assets | ||
Brookstone CDD FL Spl Assmnt Rev CDD, 3.88%, 11/01/23 | 01/24/18 | $410,000 | $99.18 | $410,000 | $406,630 | 0.03% | ||
IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Academy Proj, Ser A, 5.25%, 07/01/28 | 09/04/18 | $800,000 | 99.86 | 807,825 | 798,888 | 0.06 | ||
IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Academy Proj, Ser A, 5.88%, 07/01/38 | 09/04/18 | $1,000,000 | 99.38 | 1,004,644 | 993,840 | 0.07 | ||
Leander TX Spl Assmnt Rev Crystal Springs Pub Impt Dist Proj Accd Inv, 5.13%, 09/01/38 | 05/04/18 | $1,290,000 | 88.57 | 1,290,000 | 1,142,501 | 0.08 | ||
Timber Creek CDD FL Spl Assmnt Rev, 4.13%, 11/01/24 | 06/21/18 | $215,000 | 99.29 | 215,000 | 213,478 | 0.02 | ||
$3,727,469 | $3,555,337 | 0.26% |
Distributions paid from: | |
Ordinary income | $2,058 |
Capital gains | — |
Tax-exempt income | 18,402,763 |
Return of capital | 424,682 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (2,853,203) |
Net unrealized appreciation (depreciation) | 39,209,254 |
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 | $ 803,828 |
Statement of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures | $(4,666,315) |
Net change in unrealized appreciation (depreciation) on futures | (614,875) |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Six Months Ended
April 30, 2020
1 | |
2 | |
5 | |
6 | |
7 | |
13 | |
14 | |
15 | |
16 | |
17 | |
22 |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
6 Months Ended 4/30/20 | 1 Year Ended 4/30/20 | 5 Years Ended 4/30/20 | Inception (9/8/14) to 4/30/20 | 5 Years Ended 4/30/20 | Inception (9/8/14) to 4/30/20 | ||
Fund Performance | |||||||
NAV | -4.36% | 0.45% | 4.91% | 5.94% | 27.09% | 38.46% | |
Market Price | -4.48% | 0.35% | 4.86% | 5.92% | 26.81% | 38.32% | |
Index Performance | |||||||
S&P 500® Index | -3.16% | 0.86% | 9.12% | 9.08% | 54.74% | 63.24% |
Portfolio Sector Allocation | % of Total Long-Term Investments |
Health Care | 19.0% |
Financials | 15.8 |
Information Technology | 11.9 |
Industrials | 11.8 |
Consumer Discretionary | 11.5 |
Materials | 9.6 |
Communication Services | 6.4 |
Consumer Staples | 5.6 |
Energy | 3.8 |
Utilities | 2.9 |
Real Estate | 1.7 |
Total | 100.0% |
Portfolio Sector Allocation | % of Investments Sold Short |
Financials | 36.3% |
Industrials | 13.2 |
Information Technology | 11.0 |
Real Estate | 8.2 |
Consumer Discretionary | 7.6 |
Materials | 6.4 |
Consumer Staples | 6.0 |
Health Care | 5.5 |
Communication Services | 2.9 |
Energy | 2.3 |
Utilities | 0.6 |
Total | 100.0% |
Top Ten Long-Term Investments | % of Net Assets |
Microsoft Corp. | 2.7% |
Apple, Inc. | 2.5 |
Wheaton Precious Metals Corp. | 2.5 |
Zoom Video Communications, Inc., Class A | 2.5 |
Amgen, Inc. | 2.3 |
Walmart, Inc. | 2.1 |
Amazon.com, Inc. | 2.1 |
BlackRock, Inc. | 2.1 |
Johnson & Johnson | 2.0 |
Church & Dwight Co., Inc. | 1.9 |
Total | 22.7% |
Top Ten Investments Sold Short | % of Net Assets |
SPDR S&P 500 ETF Trust | -5.5% |
Vanguard S&P 500 ETF | -3.6% |
iShares Russell 2000 ETF | -3.4% |
Financial Select Sector SPDR Fund | -1.7% |
iShares Russell 1000 ETF | -1.2% |
Marvell Technology Group Ltd. | -0.8% |
Air Products & Chemicals, Inc. | -0.7% |
Chevron Corp. | -0.7% |
Verisk Analytics, Inc. | -0.7% |
T-Mobile US, Inc. | -0.7% |
Total | -19.0% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/1/14 – 10/31/15 | 190 | 7 | 0 | 1 |
11/1/15 – 10/31/16 | 170 | 0 | 0 | 0 |
11/1/16 – 10/31/17 | 173 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 180 | 0 | 0 | 0 |
11/1/18 – 10/31/19 | 191 | 0 | 0 | 0 |
11/1/19 – 4/30/20 | 82 | 1 | 0 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/1/14 – 10/31/15 | 41 | 12 | 0 | 0 |
11/1/15 – 10/31/16 | 81 | 1 | 0 | 0 |
11/1/16 – 10/31/17 | 79 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 72 | 0 | 0 | 0 |
11/1/18 – 10/31/19 | 59 | 1 | 0 | 0 |
11/1/19 – 4/30/20 | 41 | 0 | 0 | 0 |
Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (a)(b) | |
First Trust Long/Short Equity ETF (FTLS) | ||||
Actual | $1,000.00 | $956.40 | 1.70% | $8.27 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.41 | 1.70% | $8.52 |
(a) | Annualized expense ratio and expenses paid during the six-month period do not include fees and expenses of the underlying funds in which the Fund invests. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (November 1, 2019 through April 30, 2020), multiplied by 182/366 (to reflect the six-month period). |
Shares/ Units | Description | Value | ||
COMMON STOCKS – 87.2% | ||||
Aerospace & Defense – 0.9% | ||||
20,179 | Parsons Corp. (a) | $754,695 | ||
4,068 | TransDigm Group, Inc. | 1,477,009 | ||
2,231,704 | ||||
Auto Components – 0.9% | ||||
74,723 | Gentex Corp. | 1,811,286 | ||
8,002 | Standard Motor Products, Inc. | 325,601 | ||
2,136,887 | ||||
Banks – 4.8% | ||||
31,537 | Bank OZK | 713,367 | ||
141,975 | Citizens Financial Group, Inc. (b) | 3,178,820 | ||
40,354 | Commerce Bancshares, Inc. | 2,469,261 | ||
15,220 | International Bancshares Corp. | 441,228 | ||
17,154 | JPMorgan Chase & Co. | 1,642,667 | ||
35,821 | Pacific Premier Bancorp, Inc. | 764,779 | ||
5,939 | PNC Financial Services Group (The), Inc. | 633,513 | ||
132,724 | Umpqua Holdings Corp. | 1,662,368 | ||
11,506,003 | ||||
Beverages – 0.2% | ||||
8,903 | Monster Beverage Corp. (a) | 550,294 | ||
Biotechnology – 3.6% | ||||
9,467 | AbbVie, Inc. | 778,187 | ||
22,814 | Amgen, Inc. (b) | 5,457,565 | ||
1,531 | Biogen, Inc. (a) | 454,447 | ||
8,681 | Gilead Sciences, Inc. | 729,204 | ||
3,832 | Incyte Corp. (a) | 374,233 | ||
818 | Regeneron Pharmaceuticals, Inc. (a) | 430,170 | ||
2,169 | Vertex Pharmaceuticals, Inc. (a) | 544,853 | ||
8,768,659 | ||||
Building Products – 1.6% | ||||
27,370 | Allegion PLC | 2,751,780 | ||
15,124 | Gibraltar Industries, Inc. (a) | 700,241 | ||
25,900 | Quanex Building Products Corp. | 322,973 | ||
3,774,994 | ||||
Capital Markets – 3.8% | ||||
9,871 | BlackRock, Inc. (b) | 4,955,637 | ||
111,003 | Charles Schwab (The) Corp. (b) | 4,187,033 | ||
9,142,670 | ||||
Commercial Services & Supplies – 0.3% | ||||
10,163 | ABM Industries, Inc. | 350,522 | ||
15,611 | HNI Corp. | 379,972 | ||
730,494 | ||||
Construction & Engineering – 0.6% | ||||
22,296 | EMCOR Group, Inc. | 1,416,465 |
Shares/ Units | Description | Value | ||
Construction Materials – 0.6% | ||||
23,857 | Eagle Materials, Inc. | $1,455,515 | ||
Consumer Finance – 0.5% | ||||
16,842 | Capital One Financial Corp. | 1,090,688 | ||
Containers & Packaging – 1.6% | ||||
279,962 | Graphic Packaging Holding Co. | 3,737,493 | ||
Diversified Financial Services – 0.8% | ||||
9,920 | Berkshire Hathaway, Inc., Class B (a) | 1,858,611 | ||
Diversified Telecommunication Services – 0.3% | ||||
11,889 | Verizon Communications, Inc. | 683,023 | ||
Electric Utilities – 1.4% | ||||
3,791 | American Electric Power Co., Inc. | 315,070 | ||
3,717 | Duke Energy Corp. | 314,681 | ||
4,964 | Edison International | 291,436 | ||
2,865 | Entergy Corp. | 273,636 | ||
3,920 | Eversource Energy | 316,344 | ||
7,722 | Exelon Corp. | 286,332 | ||
7,623 | FirstEnergy Corp. | 314,601 | ||
1,349 | NextEra Energy, Inc. | 311,781 | ||
11,119 | PPL Corp. | 282,645 | ||
5,615 | Southern (The) Co. | 318,539 | ||
5,421 | Xcel Energy, Inc. | 344,559 | ||
3,369,624 | ||||
Electrical Equipment – 3.0% | ||||
53,180 | AMETEK, Inc. (b) | 4,460,207 | ||
22,666 | Hubbell, Inc. | 2,820,330 | ||
7,280,537 | ||||
Energy Equipment & Services – 0.1% | ||||
41,563 | Solaris Oilfield Infrastructure, Inc., Class A | 284,291 | ||
Entertainment – 2.5% | ||||
10,959 | Activision Blizzard, Inc. | 698,417 | ||
34,286 | Electronic Arts, Inc. (a) | 3,917,519 | ||
11,504 | Take-Two Interactive Software, Inc. (a) | 1,392,559 | ||
6,008,495 | ||||
Food & Staples Retailing – 2.1% | ||||
42,365 | Walmart, Inc. (b) | 5,149,466 | ||
Health Care Equipment & Supplies – 3.4% | ||||
11,387 | Abbott Laboratories | 1,048,629 | ||
1,678 | ABIOMED, Inc. (a) | 320,917 | ||
1,391 | Align Technology, Inc. (a) | 298,856 |
Shares/ Units | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Health Care Equipment & Supplies (Continued) | ||||
5,022 | Baxter International, Inc. | $445,853 | ||
2,124 | Becton Dickinson and Co. | 536,374 | ||
12,573 | Boston Scientific Corp. (a) | 471,236 | ||
912 | Cooper (The) Cos., Inc. | 261,470 | ||
5,663 | DENTSPLY SIRONA, Inc. | 240,338 | ||
2,068 | Edwards Lifesciences Corp. (a) | 449,790 | ||
6,056 | Hologic, Inc. (a) | 303,406 | ||
1,291 | IDEXX Laboratories, Inc. (a) | 358,382 | ||
962 | Intuitive Surgical, Inc. (a) | 491,467 | ||
8,511 | Medtronic PLC | 830,929 | ||
2,072 | ResMed, Inc. | 321,823 | ||
1,787 | STERIS PLC | 254,647 | ||
2,725 | Stryker Corp. | 508,022 | ||
1,026 | Teleflex, Inc. | 344,120 | ||
2,248 | Varian Medical Systems, Inc. (a) | 257,126 | ||
2,633 | Zimmer Biomet Holdings, Inc. | 315,170 | ||
8,058,555 | ||||
Health Care Providers & Services – 4.2% | ||||
2,029 | Anthem, Inc. | 569,601 | ||
5,869 | Cardinal Health, Inc. | 290,398 | ||
7,227 | Centene Corp. (a) | 481,174 | ||
6,224 | Chemed Corp. | 2,592,732 | ||
3,044 | Cigna Corp. | 595,954 | ||
30,822 | CVS Health Corp. | 1,897,094 | ||
3,324 | DaVita, Inc. (a) | 262,629 | ||
3,044 | HCA Healthcare, Inc. | 334,475 | ||
4,333 | Henry Schein, Inc. (a) | 236,408 | ||
1,329 | Humana, Inc. | 507,439 | ||
1,697 | Laboratory Corp of America Holdings (a) | 279,072 | ||
2,717 | Quest Diagnostics, Inc. | 299,169 | ||
5,438 | UnitedHealth Group, Inc. | 1,590,452 | ||
2,155 | Universal Health Services, Inc., Class B | 227,762 | ||
10,164,359 | ||||
Household Durables – 4.3% | ||||
104,381 | KB Home | 2,738,958 | ||
74,234 | Lennar Corp., Class A (b) | 3,716,896 | ||
14,448 | Meritage Homes Corp. (a) | 759,387 | ||
110,564 | PulteGroup, Inc. | 3,125,644 | ||
10,340,885 | ||||
Household Products – 2.6% | ||||
65,280 | Church & Dwight Co., Inc. (b) | 4,568,947 | ||
13,467 | Procter & Gamble (The) Co. | 1,587,355 | ||
6,156,302 | ||||
Insurance – 3.6% | ||||
7,442 | Allstate (The) Corp. | 757,000 | ||
84,801 | Athene Holding Ltd., Class A (a) | 2,289,627 | ||
90,209 | Hartford Financial Services Group (The), Inc. | 3,427,040 |
Shares/ Units | Description | Value | ||
Insurance (Continued) | ||||
130,498 | Old Republic International Corp. (b) | $2,081,443 | ||
8,555,110 | ||||
Interactive Media & Services – 2.8% | ||||
1,582 | Alphabet, Inc., Class A (a) (b) | 2,130,479 | ||
1,573 | Alphabet, Inc., Class C (a) | 2,121,442 | ||
12,245 | Facebook, Inc., Class A (a) (b) | 2,506,674 | ||
6,758,595 | ||||
Internet & Direct Marketing Retail – 2.1% | ||||
2,069 | Amazon.com, Inc. (a) (b) | 5,118,706 | ||
IT Services – 1.6% | ||||
5,123 | Mastercard, Inc., Class A | 1,408,671 | ||
19,245 | Virtusa Corp. (a) | 635,085 | ||
9,427 | Visa, Inc., Class A | 1,684,794 | ||
3,728,550 | ||||
Leisure Products – 0.6% | ||||
28,280 | Brunswick Corp. | 1,349,522 | ||
Life Sciences Tools & Services – 0.8% | ||||
1,553 | Illumina, Inc. (a) | 495,454 | ||
2,467 | IQVIA Holdings, Inc. (a) | 351,769 | ||
3,148 | PerkinElmer, Inc. | 284,988 | ||
2,657 | Thermo Fisher Scientific, Inc. | 889,245 | ||
2,021,456 | ||||
Machinery – 3.2% | ||||
44,123 | AGCO Corp. | 2,331,459 | ||
5,091 | Snap-on, Inc. | 663,307 | ||
33,180 | Stanley Black & Decker, Inc. (b) | 3,656,436 | ||
11,105 | Watts Water Technologies, Inc., Class A | 915,052 | ||
7,566,254 | ||||
Media – 0.1% | ||||
13,175 | Altice USA, Inc., Class A (a) | 342,155 | ||
Metals & Mining – 6.5% | ||||
60,313 | Barrick Gold Corp. | 1,551,250 | ||
10,542 | Franco-Nevada Corp. | 1,393,758 | ||
25,623 | Newmont Corp. | 1,524,056 | ||
343,501 | Osisko Gold Royalties Ltd. | 3,143,034 | ||
6,355 | Reliance Steel & Aluminum Co. (b) | 569,281 | ||
191,498 | Sandstorm Gold Ltd. (a) | 1,489,855 | ||
159,271 | Wheaton Precious Metals Corp. | 6,014,073 | ||
15,685,307 | ||||
Multi-Utilities – 1.1% | ||||
4,294 | Ameren Corp. | 312,388 | ||
5,627 | CMS Energy Corp. | 321,245 | ||
4,230 | Consolidated Edison, Inc. | 333,324 |
Shares/ Units | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Multi-Utilities (Continued) | ||||
4,364 | Dominion Energy, Inc. | $336,595 | ||
3,030 | DTE Energy Co. | 314,332 | ||
6,618 | Public Service Enterprise Group, Inc. | 335,599 | ||
2,443 | Sempra Energy | 302,566 | ||
3,676 | WEC Energy Group, Inc. | 332,862 | ||
2,588,911 | ||||
Oil, Gas & Consumable Fuels – 2.0% | ||||
136,905 | HollyFrontier Corp. (b) | 4,523,341 | ||
20,533 | Par Pacific Holdings, Inc. (a) | 199,581 | ||
4,722,922 | ||||
Pharmaceuticals – 5.1% | ||||
14,460 | Bristol-Myers Squibb Co. | 879,312 | ||
5,720 | Eli Lilly & Co. | 884,541 | ||
19,433 | Jazz Pharmaceuticals PLC (a) | 2,142,488 | ||
32,246 | Johnson & Johnson | 4,838,190 | ||
14,903 | Merck & Co, Inc. (b) | 1,182,404 | ||
15,549 | Mylan N.V. (a) | 260,757 | ||
5,026 | Perrigo Co. PLC | 267,886 | ||
31,022 | Pfizer, Inc. | 1,190,004 | ||
3,797 | Zoetis, Inc. | 490,990 | ||
12,136,572 | ||||
Software – 6.7% | ||||
36,677 | Microsoft Corp. (b) | 6,572,885 | ||
66,379 | SS&C Technologies Holdings, Inc. | 3,661,466 | ||
43,389 | Zoom Video Communications, Inc., Class A (a) (b) | 5,864,891 | ||
16,099,242 | ||||
Specialty Retail – 0.5% | ||||
18,697 | Asbury Automotive Group, Inc. (a) | 1,262,047 | ||
Technology Hardware, Storage & Peripherals – 2.5% | ||||
20,694 | Apple, Inc. (b) | 6,079,897 | ||
Textiles, Apparel & Luxury Goods – 1.9% | ||||
48,533 | Columbia Sportswear Co. (b) | 3,537,571 | ||
73,056 | Tapestry, Inc. | 1,087,073 | ||
4,624,644 | ||||
Thrifts & Mortgage Finance – 0.8% | ||||
54,285 | Essent Group Ltd. | 1,483,066 | ||
35,613 | Radian Group, Inc. | 533,483 | ||
2,016,549 | ||||
Tobacco – 0.1% | ||||
4,190 | Philip Morris International, Inc. | 312,574 |
Shares/ Units | Description | Value | ||
Trading Companies & Distributors – 1.0% | ||||
15,476 | Watsco, Inc. | $2,491,481 | ||
Water Utilities – 0.1% | ||||
2,714 | American Water Works Co., Inc. | 330,267 | ||
Total Common Stocks | 209,686,775 | |||
(Cost $217,952,003) | ||||
REAL ESTATE INVESTMENT TRUSTS – 1.5% | ||||
Equity Real Estate Investment Trusts – 1.5% | ||||
15,659 | American Tower Corp. (b) | 3,726,842 | ||
(Cost $3,170,828) | ||||
MASTER LIMITED PARTNERSHIPS – 1.4% | ||||
Oil, Gas & Consumable Fuels – 1.4% | ||||
3,393 | Magellan Midstream Partners, L.P. | 139,554 | ||
93,895 | TC PipeLines, L.P. | 3,145,483 | ||
Total Master Limited Partnerships | 3,285,037 | |||
(Cost $3,515,160) | ||||
Total Investments – 90.1% | 216,698,654 | |||
(Cost $224,637,991) (c) | ||||
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT – (26.4)% | ||||
Aerospace & Defense – (0.5)% | ||||
(5,915) | Boeing (The) Co. | (834,133) | ||
(10,284) | Cubic Corp. | (392,952) | ||
(1,227,085) | ||||
Air Freight & Logistics – (0.1)% | ||||
(1,739) | FedEx Corp. | (220,453) | ||
Airlines – (0.2)% | ||||
(8,630) | Delta Air Lines, Inc. | (223,603) | ||
(6,354) | United Airlines Holdings, Inc. (a) | (187,952) | ||
(411,555) | ||||
Auto Components – (0.4)% | ||||
(27,971) | Goodyear Tire & Rubber (The) Co. | (200,552) | ||
(10,718) | Visteon Corp. (a) | (646,295) | ||
(846,847) | ||||
Automobiles – (0.5)% | ||||
(54,280) | General Motors Co. | (1,209,901) | ||
Beverages – (0.3)% | ||||
(18,128) | Coca-Cola (The) Co. | (831,894) | ||
Building Products – (0.2)% | ||||
(7,812) | Armstrong World Industries, Inc. | (602,149) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Capital Markets – (0.5)% | ||||
(8,348) | Northern Trust Corp. | $(660,827) | ||
(3,019) | State Street Corp. | (190,318) | ||
(27,860) | Waddell & Reed Financial, Inc., Class A | (405,363) | ||
(1,256,508) | ||||
Chemicals – (2.3)% | ||||
(7,383) | Air Products & Chemicals, Inc. | (1,665,457) | ||
(17,681) | Celanese Corp., Class A | (1,468,761) | ||
(10,502) | Eastman Chemical Co. | (635,476) | ||
(60,999) | Huntsman Corp. | (1,025,393) | ||
(21,807) | Mosaic (The) Co. | (250,999) | ||
(6,168) | Sensient Technologies Corp. | (294,769) | ||
(10,796) | Trinseo S.A. | (220,778) | ||
(5,561,633) | ||||
Commercial Services & Supplies – (1.0)% | ||||
(17,856) | Harsco Corp. (a) | (178,203) | ||
(62,205) | KAR Auction Services, Inc. | (931,831) | ||
(5,226) | MSA Safety, Inc. | (588,082) | ||
(2,542) | Republic Services, Inc. | (199,140) | ||
(7,997) | Tetra Tech, Inc. | (602,014) | ||
(2,499,270) | ||||
Communications Equipment – (0.2)% | ||||
(9,272) | EchoStar Corp. (a) | (292,532) | ||
(10,790) | NETGEAR, Inc. (a) | (258,744) | ||
(551,276) | ||||
Construction & Engineering – (0.6)% | ||||
(36,513) | AECOM (a) | (1,323,961) | ||
Containers & Packaging – (0.3)% | ||||
(10,407) | Ball Corp. | (682,595) | ||
Diversified Financial Services – (0.3)% | ||||
(17,700) | Voya Financial, Inc. | (799,509) | ||
Electric Utilities – (0.3)% | ||||
(8,150) | ALLETE, Inc. | (469,114) | ||
(2,224) | Pinnacle West Capital Corp. | (171,226) | ||
(640,340) | ||||
Electronic Equipment, Instruments & Components – (0.5)% | ||||
(5,009) | Belden, Inc. | (171,258) | ||
(10,465) | Benchmark Electronics, Inc. | (216,207) | ||
(8,813) | Dolby Laboratories, Inc., Class A | (529,044) | ||
(16,625) | PAR Technology Corp. (a) | (314,379) | ||
(1,230,888) |
Shares | Description | Value | ||
Energy Equipment & Services – (0.1)% | ||||
(48,511) | Oceaneering International, Inc. (a) | $(249,347) | ||
Entertainment – (0.2)% | ||||
(3,813) | Walt Disney (The) Co. | (412,376) | ||
Food & Staples Retailing – (0.2)% | ||||
(1,452) | Casey’s General Stores, Inc. | (219,848) | ||
(9,820) | Kroger (The) Co. | (310,410) | ||
(530,258) | ||||
Food Products – (1.7)% | ||||
(11,907) | Cal-Maine Foods, Inc. (a) | (494,260) | ||
(14,962) | Campbell Soup Co. | (747,801) | ||
(16,792) | Darling Ingredients, Inc. (a) | (345,747) | ||
(22,707) | Kellogg Co. | (1,487,308) | ||
(10,070) | Post Holdings, Inc. (a) | (924,930) | ||
(4,000,046) | ||||
Health Care Equipment & Supplies – (1.1)% | ||||
(12,935) | Hill-Rom Holdings, Inc. | (1,455,058) | ||
(15,263) | Integra LifeSciences Holdings Corp. (a) | (779,176) | ||
(5,637) | Neogen Corp (a) | (352,820) | ||
(2,587,054) | ||||
Health Care Providers & Services – (0.1)% | ||||
(34,209) | Brookdale Senior Living, Inc. (a) | (123,494) | ||
Health Care Technology – (0.6)% | ||||
(26,396) | Allscripts Healthcare Solutions, Inc. (a) | (171,574) | ||
(15,602) | Cerner Corp. | (1,082,623) | ||
(8,722) | HMS Holdings Corp. (a) | (250,103) | ||
(1,504,300) | ||||
Hotels, Restaurants & Leisure – (0.7)% | ||||
(12,491) | Carnival Corp. | (198,607) | ||
(5,327) | McDonald’s Corp. | (999,132) | ||
(11,264) | Norwegian Cruise Line Holdings Ltd. (a) | (184,730) | ||
(5,189) | Royal Caribbean Cruises Ltd. | (242,690) | ||
(11,422) | Scientific Games Corp., Class A (a) | (144,031) | ||
(1,769,190) | ||||
Household Durables – (0.2)% | ||||
(5,267) | DR Horton, Inc. | (248,708) | ||
(5,914) | M/I Homes, Inc. (a) | (150,570) | ||
(399,278) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Household Products – (0.5)% | ||||
(8,617) | Kimberly-Clark Corp. | $(1,193,282) | ||
Industrial Conglomerates – (0.3)% | ||||
(85,409) | General Electric Co. | (580,781) | ||
(1,279) | Honeywell International, Inc. | (181,490) | ||
(762,271) | ||||
Insurance – (0.2)% | ||||
(15,079) | Assured Guaranty Ltd. | (448,299) | ||
IT Services – (0.7)% | ||||
(11,611) | Fidelity National Information Services, Inc. | (1,531,375) | ||
(9,610) | Western Union (The) Co. | (183,262) | ||
(1,714,637) | ||||
Leisure Products – (0.3)% | ||||
(9,911) | Hasbro, Inc. | (715,673) | ||
Life Sciences Tools & Services – (0.6)% | ||||
(3,000) | Bio-Rad Laboratories, Inc., Class A (a) | (1,320,300) | ||
(6,908) | NanoString Technologies, Inc. (a) | (219,398) | ||
(1,539,698) | ||||
Machinery – (0.9)% | ||||
(3,791) | Cummins, Inc. | (619,829) | ||
(4,166) | ESCO Technologies, Inc. | (317,866) | ||
(29,107) | Kennametal, Inc. | (745,430) | ||
(2,407) | Lindsay Corp. | (216,630) | ||
(5,117) | Oshkosh Corp. | (345,551) | ||
(2,245,306) | ||||
Media – (0.5)% | ||||
(15,179) | Comcast Corp., Class A | (571,186) | ||
(26,171) | DISH Network Corp. (a) | (654,667) | ||
(1,225,853) | ||||
Metals & Mining – (0.3)% | ||||
(9,737) | Carpenter Technology Corp. | (215,869) | ||
(3,989) | Royal Gold, Inc. | (488,772) | ||
(704,641) | ||||
Multiline Retail – (0.6)% | ||||
(12,887) | Dollar Tree, Inc. (a) | (1,026,707) | ||
(10,393) | Kohl’s Corp. | (191,855) | ||
(30,651) | Macy’s, Inc. | (179,615) | ||
(1,398,177) | ||||
Oil, Gas & Consumable Fuels – (0.9)% | ||||
(16,790) | Apache Corp. | (219,613) | ||
(17,714) | Chevron Corp. | (1,629,688) | ||
(13,855) | ONEOK, Inc. | (414,680) | ||
(2,263,981) |
Shares | Description | Value | ||
Pharmaceuticals – (0.1)% | ||||
(10,013) | Intra-Cellular Therapies, Inc. (a) | $(176,930) | ||
Professional Services – (0.9)% | ||||
(4,549) | Equifax, Inc. | (631,856) | ||
(10,565) | Verisk Analytics, Inc. | (1,614,649) | ||
(2,246,505) | ||||
Real Estate Management & Development – (0.3)% | ||||
(8,674) | Howard Hughes (The) Corp. (a) | (469,784) | ||
(9,813) | Kennedy-Wilson Holdings, Inc. | (138,854) | ||
(608,638) | ||||
Road & Rail – (1.1)% | ||||
(1,415) | AMERCO | (396,384) | ||
(7,294) | Norfolk Southern Corp. | (1,248,003) | ||
(14,527) | Ryder System, Inc. | (514,256) | ||
(12,714) | Werner Enterprises, Inc. | (510,086) | ||
(2,668,729) | ||||
Semiconductors & Semiconductor Equipment – (1.7)% | ||||
(31,524) | Cree, Inc. (a) | (1,359,630) | ||
(5,707) | Diodes, Inc. (a) | (290,429) | ||
(11,767) | Lattice Semiconductor Corp. (a) | (264,875) | ||
(70,391) | Marvell Technology Group Ltd. | (1,882,256) | ||
(22,142) | Rambus, Inc. (a) | (277,439) | ||
(4,074,629) | ||||
Software – (1.7)% | ||||
(36,026) | 8x8, Inc. (a) | (611,001) | ||
(21,890) | ACI Worldwide, Inc. (a) | (599,786) | ||
(30,004) | LivePerson, Inc. (a) | (718,296) | ||
(11,852) | Oracle Corp. | (627,800) | ||
(7,979) | Pegasystems, Inc. | (667,204) | ||
(7,999) | Varonis Systems, Inc. (a) | (536,333) | ||
(7,743) | Verint Systems, Inc. (a) | (330,936) | ||
(4,091,356) | ||||
Specialty Retail – (0.8)% | ||||
(5,769) | Advance Auto Parts, Inc. | (697,530) | ||
(38,177) | Bed Bath & Beyond, Inc. | (236,315) | ||
(9,189) | Lowe’s Cos., Inc. | (962,548) | ||
(1,896,393) | ||||
Technology Hardware, Storage & Peripherals – (0.1)% | ||||
(19,006) | Stratasys Ltd. (a) | (336,406) | ||
Trading Companies & Distributors – (0.1)% | ||||
(3,600) | Kaman Corp. | (139,536) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Wireless Telecommunication Services – (0.7)% | ||||
(17,901) | T-Mobile US, Inc. (a) | $(1,571,708) | ||
Total Common Stocks Sold Short | (63,493,855) | |||
(Proceeds $71,325,236) | ||||
EXCHANGE-TRADED FUNDS SOLD SHORT – (15.4)% | ||||
Capital Markets – (15.4)% | ||||
(181,984) | Financial Select Sector SPDR Fund | (4,147,415) | ||
(18,392) | iShares Russell 1000 ETF | (2,946,582) | ||
(62,606) | iShares Russell 2000 ETF | (8,158,188) | ||
(45,591) | SPDR S&P 500 ETF Trust | (13,243,274) | ||
(31,944) | Vanguard S&P 500 ETF | (8,532,243) | ||
Total Exchange-Traded Funds Sold Short | (37,027,702) | |||
(Proceeds $34,750,536) | ||||
REAL ESTATE INVESTMENT TRUSTS SOLD SHORT – (3.4)% | ||||
Equity Real Estate Investment Trusts – (3.4)% | ||||
(20,457) | Alexander & Baldwin, Inc. | (268,805) | ||
(7,985) | AvalonBay Communities, Inc. | (1,301,156) | ||
(10,773) | Columbia Property Trust, Inc. | (153,946) | ||
(2,450) | Digital Realty Trust, Inc. | (366,250) | ||
(14,704) | Equity Commonwealth | (499,201) | ||
(8,136) | Equity LifeStyle Properties, Inc. | (490,682) | ||
(9,995) | Equity Residential | (650,275) | ||
(11,866) | Hudson Pacific Properties, Inc. | (291,666) | ||
(16,895) | Independence Realty Trust, Inc. | (170,133) | ||
(52,181) | Lexington Realty Trust | (545,291) | ||
(12,752) | QTS Realty Trust, Inc., Class A | (797,383) | ||
(18,118) | Rayonier, Inc. | (435,376) | ||
(27,254) | Retail Properties of America, Inc., Class A | (168,975) | ||
(15,965) | SL Green Realty Corp. | (846,943) | ||
(29,960) | Vornado Realty Trust | (1,312,847) | ||
Total Real Estate Investment Trusts Sold Short | (8,298,929) | |||
(Proceeds $9,728,512) | ||||
Total Investments Sold Short – (45.2)% | (108,820,486) | |||
(Proceeds $115,804,284) | ||||
Net Other Assets and Liabilities – 55.1% | 132,652,399 | |||
Net Assets – 100.0% | $240,530,567 |
(a) | Non-income producing security. |
(b) | This security or a portion of this security is segregated as collateral for investments sold short. |
(c) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $25,903,261 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $26,858,800. The net unrealized depreciation was $955,539. The amounts presented are inclusive of investments sold short. |
ASSETS TABLE | ||||
Total Value at 4/30/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 209,686,775 | $ 209,686,775 | $ — | $ — |
Real Estate Investment Trusts* | 3,726,842 | 3,726,842 | — | — |
Master Limited Partnerships* | 3,285,037 | 3,285,037 | — | — |
Total Investments | $ 216,698,654 | $ 216,698,654 | $— | $— |
LIABILITIES TABLE | ||||
Total Value at 4/30/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks Sold Short* | $ (63,493,855) | $ (63,493,855) | $ — | $ — |
Exchange-Traded Funds Sold Short* | (37,027,702) | (37,027,702) | — | — |
Real Estate Investment Trusts Sold Short* | (8,298,929) | (8,298,929) | — | — |
Total | $ (108,820,486) | $ (108,820,486) | $— | $— |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value (Cost $224,637,991) | $ 216,698,654 |
Cash | 6,298,109 |
Restricted Cash | 121,503,166 |
Receivables: | |
Investment securities sold | 4,854,125 |
Dividends | 202,957 |
Dividend reclaims | 5,894 |
Total Assets | 349,562,905 |
LIABILITIES: | |
Investments sold short, at value (proceeds $115,804,284) | 108,820,486 |
Payables: | |
Investment advisory fees | 187,958 |
Margin interest expense | 11,980 |
Dividends on investments sold short | 11,914 |
Total Liabilities | 109,032,338 |
NET ASSETS | $240,530,567 |
NET ASSETS consist of: | |
Paid-in capital | $ 264,224,358 |
Par value | 60,500 |
Accumulated distributable earnings (loss) | (23,754,291) |
NET ASSETS | $240,530,567 |
NET ASSET VALUE, per share | $39.76 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 6,050,002 |
INVESTMENT INCOME: | ||
Dividends | $ 2,157,825 | |
Margin interest rebate | 367,522 | |
Interest | 17,302 | |
Foreign withholding tax | (22,333) | |
Total investment income | 2,520,316 | |
EXPENSES: | ||
Investment advisory fees | 1,234,122 | |
Dividend expense on investments sold short | 898,532 | |
Margin interest expense | 74,943 | |
Total expenses | 2,207,597 | |
NET INVESTMENT INCOME (LOSS) | 312,719 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (15,533,104) | |
In-kind redemptions | 17,320,902 | |
Investments sold short | 1,580,297 | |
Net realized gain (loss) | 3,368,095 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | (27,995,124) | |
Investments sold short | 9,362,790 | |
Net change in unrealized appreciation (depreciation) | (18,632,334) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (15,264,239) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(14,951,520) |
Six Months Ended 4/30/2020 (Unaudited) | Year Ended 10/31/2019 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 312,719 | $ 2,002,699 | |
Net realized gain (loss) | 3,368,095 | 500,185 | |
Net change in unrealized appreciation (depreciation) | (18,632,334) | 17,508,556 | |
Net increase (decrease) in net assets resulting from operations | (14,951,520) | 20,011,440 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (584,620) | (2,024,101) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 187,012,392 | 186,912,930 | |
Cost of shares redeemed | (176,813,070) | (114,835,735) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 10,199,322 | 72,077,195 | |
Total increase (decrease) in net assets | (5,336,818) | 90,064,534 | |
NET ASSETS: | |||
Beginning of period | 245,867,385 | 155,802,851 | |
End of period | $240,530,567 | $245,867,385 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 5,900,002 | 4,050,002 | |
Shares sold | 4,450,000 | 4,800,000 | |
Shares redeemed | (4,300,000) | (2,950,000) | |
Shares outstanding, end of period | 6,050,002 | 5,900,002 |
Six Months Ended 4/30/2020 (Unaudited) | Year Ended October 31, | ||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | |||||||
Net asset value, beginning of period | $ 41.67 | $ 38.47 | $ 37.78 | $ 32.49 | $ 32.61 | $ 30.54 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.05 | 0.39 | 0.26 | 0.24 | 0.32 | 0.19 | |||||
Net realized and unrealized gain (loss) | (1.87) | 3.23 | 0.67 | 5.34 | (0.17) | 2.12 | |||||
Total from investment operations | (1.82) | 3.62 | 0.93 | 5.58 | 0.15 | 2.31 | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.09) | (0.42) | (0.24) | (0.29) | (0.27) | (0.22) | |||||
Net realized gain | — | — | — | — | — | (0.02) | |||||
Total distributions | (0.09) | (0.42) | (0.24) | (0.29) | (0.27) | (0.24) | |||||
Net asset value, end of period | $39.76 | $41.67 | $38.47 | $37.78 | $32.49 | $32.61 | |||||
Total return (a) | (4.36)% | 9.49% | 2.45% | 17.23% | 0.45% | 7.60% | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 240,531 | $ 245,867 | $ 155,803 | $ 120,892 | $ 120,231 | $ 32,608 | |||||
Ratio of total expenses to average net assets (b) | 1.70% (c) | 1.60% | 1.59% | 1.47% | 1.40% | 1.47% | |||||
Ratio of total expenses to average net assets excluding dividend expense and margin interest expense (b) | 0.95% (c) | 0.95% | 0.95% | 0.95% | 0.95% | 0.95% | |||||
Ratio of net investment income (loss) to average net assets | 0.24% (c) | 1.03% | 0.71% | 0.67% | 1.00% | 0.39% | |||||
Portfolio turnover rate (d) | 130% | 210% | 249% | 176% | 201% | 267% |
(a) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(b) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(c) | 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. |
• | 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 | $2,024,101 |
Capital gains | — |
Return of capital | — |
Undistributed ordinary income | $19,458 |
Accumulated capital and other gain (loss) | (24,499,960) |
Net unrealized appreciation (depreciation) | 16,262,351 |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Six Months Ended
April 30, 2020
1 | |
2 | |
5 | |
6 | |
7 | |
12 | |
13 | |
14 | |
15 | |
16 | |
23 |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
6 Months Ended 4/30/20 | 1 Year Ended 4/30/20 | 5 Years Ended 4/30/20 | Inception (11/4/14) to 4/30/20 | 5 Years Ended 4/30/20 | Inception (11/4/14) to 4/30/20 | ||
Fund Performance | |||||||
NAV | -11.48% | -6.61% | -0.87% | -2.02% | -4.28% | -10.60% | |
Market Price | -12.55% | -7.87% | -1.11% | -2.22% | -5.45% | -11.58% | |
Index Performance | |||||||
Bloomberg Barclays Emerging Markets Local Currency Government - 10% Country Capped Index | -6.57% | 0.02% | 1.29% | 0.14% | 6.62% | 0.76% |
Industry Classification | % of Long-Term Investments |
Sovereigns | 92.9% |
Supranationals | 7.0 |
Central Bank | 0.1 |
Total | 100.0% |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 6.8% |
AA | 1.0 |
AA- | 7.5 |
A | 7.5 |
A- | 11.5 |
BBB+ | 8.7 |
BBB | 19.3 |
BBB- | 3.7 |
BB+ | 16.0 |
BB | 11.3 |
BB- | 4.2 |
Cash | 2.5 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Peru Government Bond, 6.95%, 8/12/31 | 6.6% |
Republic of South Africa Government Bond, 8.88%, 2/28/35 | 6.2 |
Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/01/25 | 5.9 |
Hungary Government Bond, 6.75%, 10/22/28 | 5.1 |
Turkey Government Bond, 10.60%, 2/11/26 | 4.3 |
International Finance Corp., 6.30%, 11/25/24 | 3.3 |
Colombian TES, 7.50%, 8/26/26 | 3.2 |
Republic of South Africa Government Bond, 8.50%, 1/31/37 | 3.2 |
Asian Development Bank, 6.20%, 10/06/26 | 3.2 |
Colombian TES, 6.00%, 4/28/28 | 3.1 |
Total | 44.1% |
(1) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/5/14 - 10/31/15 | 116 | 110 | 7 | 1 |
11/1/15 - 10/31/16 | 80 | 64 | 38 | 3 |
11/1/16 - 10/31/17 | 104 | 89 | 23 | 2 |
11/1/17 - 10/31/18 | 88 | 5 | 0 | 0 |
11/1/18 - 10/31/19 | 145 | 43 | 0 | 0 |
11/1/19 - 4/30/20 | 54 | 8 | 0 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/5/14 - 10/31/15 | 15 | 0 | 0 | 1 |
11/1/15 - 10/31/16 | 60 | 7 | 0 | 0 |
11/1/16 - 10/31/17 | 27 | 7 | 0 | 0 |
11/1/17 - 10/31/18 | 140 | 19 | 0 | 0 |
11/1/18 - 10/31/19 | 62 | 1 | 0 | 0 |
11/1/19 - 4/30/20 | 24 | 11 | 20 | 7 |
Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Emerging Markets Local Currency Bond ETF (FEMB) | ||||
Actual | $1,000.00 | $885.20 | 0.85% | $3.98 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (November 1, 2019 through April 30, 2020), multiplied by 182/366 (to reflect the six-month period). |
Principal Value (Local Currency) | Description | Stated Coupon | Stated Maturity | Value (US Dollars) | ||||
FOREIGN SOVEREIGN BONDS AND NOTES – 89.1% | ||||||||
Brazil – 11.1% | ||||||||
2,600,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/21 | $499,919 | ||||
10,000,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/23 | 2,066,748 | ||||
38,950,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/25 | 8,178,532 | ||||
13,650,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/27 | 2,873,774 | ||||
11,200,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/29 | 2,361,080 | ||||
15,980,053 | ||||||||
Chile – 3.9% | ||||||||
2,045,000,000 | Bonos de la Tesoreria de la Republica en Pesos (CLP) | 4.50% | 03/01/26 | 2,798,664 | ||||
120,000,000 | Bonos del Banco Central de Chile en Pesos (CLP) | 6.00% | 02/01/21 | 149,374 | ||||
2,210,000,000 | Chile Government International Bond (CLP) | 5.50% | 08/05/20 | 2,681,673 | ||||
5,629,711 | ||||||||
Colombia – 9.4% | ||||||||
4,201,000,000 | Colombian TES (COP) | 7.00% | 05/04/22 | 1,118,044 | ||||
16,420,000,000 | Colombian TES (COP) | 7.50% | 08/26/26 | 4,437,946 | ||||
17,600,000,000 | Colombian TES (COP) | 6.00% | 04/28/28 | 4,244,705 | ||||
14,080,000,000 | Colombian TES (COP) | 7.75% | 09/18/30 | 3,766,461 | ||||
13,567,156 | ||||||||
Czech Republic – 1.0% | ||||||||
18,000,000 | Czech Republic Government Bond (CZK) | 0.75% | 02/23/21 | 730,560 | ||||
17,080,000 | Czech Republic Government Bond (CZK) (a) | 2.40% | 09/17/25 | 740,138 | ||||
1,470,698 | ||||||||
Hungary – 4.9% | ||||||||
1,625,000,000 | Hungary Government Bond (HUF) | 6.75% | 10/22/28 | 7,017,027 | ||||
Indonesia – 4.6% | ||||||||
5,416,000,000 | Indonesia Treasury Bond (IDR) | 8.38% | 03/15/24 | 377,391 | ||||
17,136,000,000 | Indonesia Treasury Bond (IDR) | 8.38% | 09/15/26 | 1,189,440 | ||||
35,253,000,000 | Indonesia Treasury Bond (IDR) | 8.38% | 03/15/34 | 2,404,906 | ||||
40,076,000,000 | Indonesia Treasury Bond (IDR) | 8.25% | 05/15/36 | 2,721,127 | ||||
6,692,864 | ||||||||
Israel – 3.4% | ||||||||
5,940,000 | Israel Government Bond - Fixed (ILS) | 6.25% | 10/30/26 | 2,325,332 | ||||
8,035,000 | Israel Government Bond - Fixed (ILS) | 2.25% | 09/28/28 | 2,597,076 | ||||
4,922,408 | ||||||||
Malaysia – 4.4% | ||||||||
4,220,000 | Malaysia Government Bond (MYR) | 4.16% | 07/15/21 | 1,002,461 | ||||
8,250,000 | Malaysia Government Bond (MYR) | 4.05% | 09/30/21 | 1,963,404 | ||||
13,360,000 | Malaysia Government Bond (MYR) | 4.18% | 07/15/24 | 3,309,829 | ||||
6,275,694 | ||||||||
Mexico – 4.7% | ||||||||
38,850,000 | Mexican Bonos (MXN) | 7.25% | 12/09/21 | 1,660,472 | ||||
24,210,000 | Mexican Bonos (MXN) | 10.00% | 12/05/24 | 1,184,985 | ||||
74,350,000 | Mexican Bonos (MXN) | 8.50% | 05/31/29 | 3,485,667 | ||||
9,290,000 | Mexican Bonos (MXN) | 7.75% | 05/29/31 | 409,584 | ||||
6,740,708 | ||||||||
Peru – 9.4% | ||||||||
8,950,000 | Peru Government Bond (PEN) | 8.20% | 08/12/26 | 3,384,311 |
Principal Value (Local Currency) | Description | Stated Coupon | Stated Maturity | Value (US Dollars) | ||||
FOREIGN SOVEREIGN BONDS AND NOTES (Continued) | ||||||||
Peru (Continued) | ||||||||
25,950,000 | Peru Government Bond (PEN) | 6.95% | 08/12/31 | $9,127,561 | ||||
3,100,000 | Peru Government Bond (PEN) | 6.90% | 08/12/37 | 1,052,651 | ||||
13,564,523 | ||||||||
Philippines – 3.9% | ||||||||
150,000,000 | Philippine Government International Bond (PHP) | 4.95% | 01/15/21 | 2,972,559 | ||||
60,000,000 | Philippine Government International Bond (PHP) | 3.90% | 11/26/22 | 1,156,380 | ||||
64,000,000 | Philippine Government International Bond (PHP) | 6.25% | 01/14/36 | 1,435,524 | ||||
5,564,463 | ||||||||
Poland – 3.0% | ||||||||
2,000,000 | Republic of Poland Government Bond (PLN) | 1.75% | 07/25/21 | 490,267 | ||||
545,000 | Republic of Poland Government Bond (PLN) | 4.00% | 10/25/23 | 146,521 | ||||
2,760,000 | Republic of Poland Government Bond (PLN) | 3.25% | 07/25/25 | 742,558 | ||||
7,015,000 | Republic of Poland Government Bond (PLN) | 2.75% | 04/25/28 | 1,865,175 | ||||
3,115,000 | Republic of Poland Government Bond (PLN) | 5.75% | 04/25/29 | 1,022,915 | ||||
4,267,436 | ||||||||
Romania – 3.6% | ||||||||
8,400,000 | Romania Government Bond (RON) | 5.85% | 04/26/23 | 2,010,027 | ||||
8,925,000 | Romania Government Bond (RON) | 4.50% | 06/17/24 | 2,069,399 | ||||
4,690,000 | Romania Government Bond (RON) | 5.80% | 07/26/27 | 1,157,978 | ||||
5,237,404 | ||||||||
South Africa – 15.7% | ||||||||
4,000,000 | Republic of South Africa Government Bond (ZAR) | 6.75% | 03/31/21 | 221,219 | ||||
55,735,000 | Republic of South Africa Government Bond (ZAR) | 10.50% | 12/21/26 | 3,305,220 | ||||
30,000,000 | Republic of South Africa Government Bond (ZAR) | 8.25% | 03/31/32 | 1,347,920 | ||||
192,270,000 | Republic of South Africa Government Bond (ZAR) | 8.88% | 02/28/35 | 8,577,315 | ||||
103,105,000 | Republic of South Africa Government Bond (ZAR) | 6.25% | 03/31/36 | 3,502,205 | ||||
105,640,000 | Republic of South Africa Government Bond (ZAR) | 8.50% | 01/31/37 | 4,431,149 | ||||
28,000,000 | Republic of South Africa Government Bond (ZAR) | 9.00% | 01/31/40 | 1,196,819 | ||||
22,581,847 | ||||||||
Thailand – 1.9% | ||||||||
48,470,000 | Thailand Government Bond (THB) | 3.63% | 06/16/23 | 1,630,082 | ||||
27,500,000 | Thailand Government Bond (THB) | 3.65% | 06/20/31 | 1,048,265 | ||||
2,678,347 | ||||||||
Turkey – 4.2% | ||||||||
42,790,000 | Turkey Government Bond (TRY) | 10.60% | 02/11/26 | 5,975,111 | ||||
Total Foreign Sovereign Bonds and Notes | 128,165,450 | |||||||
(Cost $149,100,090) | ||||||||
FOREIGN CORPORATE BONDS AND NOTES – 6.7% | ||||||||
Supranationals – 6.7% | ||||||||
323,500,000 | Asian Development Bank (INR) | 6.20% | 10/06/26 | 4,391,234 | ||||
51,050,000 | International Finance Corp. (INR) | 5.85% | 11/25/22 | 689,616 |
Principal Value (Local Currency) | Description | Stated Coupon | Stated Maturity | Value (US Dollars) | ||||
FOREIGN CORPORATE BONDS AND NOTES (Continued) | ||||||||
Supranationals (Continued) | ||||||||
337,000,000 | International Finance Corp. (INR) | 6.30% | 11/25/24 | $4,595,016 | ||||
Total Foreign Corporate Bonds and Notes | 9,675,866 | |||||||
(Cost $10,172,721) |
Total Investments – 95.8% | 137,841,316 | ||
(Cost $159,272,811) (b) | |||
Net Other Assets and Liabilities – 4.2% | 5,983,370 | ||
Net Assets – 100.0% | $143,824,686 |
Forward Foreign Currency Contracts | ||||||||||||||
Settlement Date | Counterparty | Amount Purchased | Amount Sold | Purchase Value as of 4/30/2020 | Sale Value as of 4/30/2020 | Unrealized Appreciation/ (Depreciation) | ||||||||
05/20/20 | BBH | MXN | 54,786,500 | USD | 2,272,728 | $ 2,276,583 | $ 2,272,728 | $ 3,855 | ||||||
05/20/20 | BNS | RUB | 767,900,000 | USD | 10,321,237 | 10,319,411 | 10,321,237 | (1,826) | ||||||
05/20/20 | BBH | TRY | 5,890,000 | USD | 847,215 | 840,816 | 847,215 | (6,399) | ||||||
05/20/20 | BNS | USD | 9,901,319 | BRL | 52,175,000 | 9,901,319 | 9,581,593 | 319,726 | ||||||
05/20/20 | BNS | USD | 2,354,925 | CLP | 2,025,000,000 | 2,354,925 | 2,426,579 | (71,654) | ||||||
05/20/20 | BNS | USD | 5,420,405 | COP | 21,318,296 | 5,422,847 | 5,376,304 | 46,543 | ||||||
05/20/20 | BBH | USD | 4,398,130 | HUF | 1,410,080,000 | 4,388,375 | 4,382,502 | 5,873 | ||||||
05/20/20 | BNS | USD | 1,523,888 | PEN | 5,325,000 | 1,551,348 | 1,575,811 | (24,463) | ||||||
05/20/20 | BBH | USD | 3,029,465 | PLN | 12,594,780 | 3,029,465 | 3,035,240 | (5,775) | ||||||
05/20/20 | BBH | USD | 1,269,495 | RON | 5,669,000 | 1,272,409 | 1,280,910 | (8,501) | ||||||
05/20/20 | BBH | USD | 2,143,130 | THB | 70,000,000 | 2,143,130 | 2,163,529 | (20,399) | ||||||
05/20/20 | BBH | USD | 7,140,797 | ZAR | 133,200,000 | 7,140,797 | 7,172,975 | (32,178) | ||||||
Net Unrealized Appreciation (Depreciation) | $204,802 |
Counterparty Abbreviations | |
BBH | Brown Brothers Harriman and Co. |
BNS | Bank of Nova Scotia |
(a) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended. |
(b) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,609,088 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $22,835,781. The net unrealized depreciation was $21,226,693. The amounts presented are inclusive of derivative contracts. |
ASSETS TABLE | ||||
Total Value at 4/30/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Foreign Sovereign Bonds and Notes* | $ 128,165,450 | $ — | $ 128,165,450 | $ — |
Foreign Corporate Bonds and Notes* | 9,675,866 | — | 9,675,866 | — |
Total Investments | 137,841,316 | — | 137,841,316 | — |
Forward Foreign Currency Contracts** | 375,997 | — | 375,997 | — |
Total | $ 138,217,313 | $— | $ 138,217,313 | $— |
LIABILITIES TABLE | ||||
Total Value at 4/30/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Forward Foreign Currency Contracts** | $ (171,195) | $ — | $ (171,195) | $ — |
* | See Portfolio of Investments for country breakout. |
** | See the Schedule of Forward Foreign Currency Contracts for contract and currency detail. |
Currency Exposure Diversification | % of Total Investments (including cash)† |
USD | 19.1% |
ZAR | 10.9 |
PEN | 8.5 |
RUB | 7.3 |
INR | 6.8 |
MXN | 6.4 |
COP | 5.8 |
TRY | 4.8 |
IDR | 4.7 |
BRL | 4.5 |
MYR | 4.4 |
PHP | 3.9 |
ILS | 3.5 |
RON | 2.9 |
CLP | 2.3 |
HUF | 1.9 |
CZK | 1.0 |
PLN | 0.9 |
THB | 0.4 |
Total | 100.0% |
† | The weightings include the impact of currency forwards. |
Currency Abbreviations | |
BRL | Brazilian Real |
CLP | Chilean Peso |
COP | Colombian Peso |
CZK | Czech Republic Koruna |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
PEN | Peruvian Nuevo Sol |
PHP | Philippine Peso |
PLN | Polish Zloty |
RON | Romanian New Leu |
RUB | Russian Ruble |
THB | Thai Baht |
TRY | Turkish Lira |
USD | United States Dollar |
ZAR | South African Rand |
ASSETS: | |
Investments, at value (Cost $159,272,811) | $ 137,841,316 |
Cash | 3,323,508 |
Foreign currency (Cost $197,100) | 199,451 |
Unrealized appreciation on forward foreign currency contracts | 375,997 |
Receivables: | |
Interest | 3,010,446 |
Interest reclaims | 58,814 |
Total Assets | 144,809,532 |
LIABILITIES: | |
Due to broker | 32,697 |
Unrealized depreciation on forward foreign currency contracts | 171,195 |
Payables: | |
Investment securities purchased | 676,920 |
Investment advisory fees | 99,781 |
Deferred foreign capital gains tax | 4,253 |
Total Liabilities | 984,846 |
NET ASSETS | $143,824,686 |
NET ASSETS consist of: | |
Paid-in capital | $ 179,777,523 |
Par value | 43,500 |
Accumulated distributable earnings (loss) | (35,996,337) |
NET ASSETS | $143,824,686 |
NET ASSET VALUE, per share | $33.06 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 4,350,002 |
INVESTMENT INCOME: | ||
Interest | $ 4,772,471 | |
Foreign withholding tax | (127,676) | |
Total investment income | 4,644,795 | |
EXPENSES: | ||
Investment advisory fees | 702,307 | |
Total expenses | 702,307 | |
NET INVESTMENT INCOME (LOSS) | 3,942,488 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (11,016,367) | |
Forward foreign currency contracts | (222,701) | |
Foreign currency transactions | (340,881) | |
Foreign capital gains tax | (781) | |
Net realized gain (loss) | (11,580,730) | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | (21,153,092) | |
Forward foreign currency contracts | 506,072 | |
Foreign currency translation | (244,226) | |
Deferred foreign capital gains tax | 66,557 | |
Net change in unrealized appreciation (depreciation) | (20,824,689) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (32,405,419) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(28,462,931) |
Six Months Ended 4/30/2020 (Unaudited) | Year Ended 10/31/2019 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 3,942,488 | $ 4,796,634 | |
Net realized gain (loss) | (11,580,730) | 369,517 | |
Net change in unrealized appreciation (depreciation) | (20,824,689) | 4,547,052 | |
Net increase (decrease) in net assets resulting from operations | (28,462,931) | 9,713,203 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (4,767,372) | (5,090,947) | |
Return of capital | — | (345,452) | |
Total distributions to shareholders | (4,767,372) | (5,436,399) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 73,618,130 | 87,791,477 | |
Cost of shares redeemed | (44,607,895) | — | |
Net increase (decrease) in net assets resulting from shareholder transactions | 29,010,235 | 87,791,477 | |
Total increase (decrease) in net assets | (4,220,068) | 92,068,281 | |
NET ASSETS: | |||
Beginning of period | 148,044,754 | 55,976,473 | |
End of period | $143,824,686 | $148,044,754 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 3,850,002 | 1,550,002 | |
Shares sold | 1,900,000 | 2,300,000 | |
Shares redeemed | (1,400,000) | — | |
Shares outstanding, end of period | 4,350,002 | 3,850,002 |
Six Months Ended 4/30/2020 (Unaudited) | Year Ended October 31, | Period Ended 10/31/2015 (a) | |||||||||
2019 | 2018 | 2017 | 2016 | ||||||||
Net asset value, beginning of period | $ 38.45 | $ 36.11 | $ 41.55 | $ 42.32 | $ 40.77 | $ 50.00 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.89 | 2.25 | 1.80 | 2.30 | 1.74 | 1.94 | |||||
Net realized and unrealized gain (loss) | (5.24) | 2.16 | (4.76) | (0.65) | 2.09 | (9.23) | |||||
Total from investment operations | (4.35) | 4.41 | (2.96) | 1.65 | 3.83 | (7.29) | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (1.04) | (1.94) | (0.79) | (2.42) | (1.56) | — | |||||
Return of capital | — | (0.13) | (1.69) | — | (0.72) | (1.94) | |||||
Total distributions | (1.04) | (2.07) | (2.48) | (2.42) | (2.28) | (1.94) | |||||
Net asset value, end of period | $33.06 | $38.45 | $36.11 | $41.55 | $42.32 | $40.77 | |||||
Total return (b) | (11.48)% | 12.46% | (7.55)% | 4.00% | 9.66% | (14.83)% | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 143,825 | $ 148,045 | $ 55,976 | $ 49,862 | $ 14,812 | $ 4,077 | |||||
Ratio of total expenses to average net assets | 0.85% (c) | 0.85% | 0.85% (d) | 0.85% | 0.85% | 0.85% (c) | |||||
Ratio of net investment income (loss) to average net assets | 4.77% (c) | 4.91% | 4.63% (d) | 4.95% | 4.70% | 4.36% (c) | |||||
Portfolio turnover rate (e) | 43% | 25% | 61% | 16% | 23% | 49% |
(a) | Inception date is November 4, 2014, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Annualized. |
(d) | Includes excise tax. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer, or economic data relating to the country of issue; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer, or the financial condition of the country of issue; |
5) | the credit quality and cash flow of the issuer, or country of issue, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; |
10) | the business prospects of the issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the issuer’s management (for corporate debt only); |
11) | the economic, political and social prospects/developments of the country of issue and the assessment of the country’s governmental leaders/officials (for sovereign debt only); |
12) | the prospects for the issuer’s industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry (for corporate debt only); and |
13) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from: | |
Ordinary income | $5,090,947 |
Capital gains | — |
Return of capital | 345,452 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (668,856) |
Net unrealized appreciation (depreciation) | (2,097,178) |
Gross Amounts not Offset in the Statement of Assets and Liabilities | |||||||||||
Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | Financial Instruments | Collateral Amounts Received | Net Amount | ||||||
Forward Foreign Currency Contracts* | $ 375,997 | $ — | $ 375,997 | $ (107,671) | $ — | $ 268,326 | |||||
Gross Amounts not Offset in the Statement of Assets and Liabilities | |||||||||||
Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | Financial Instruments | Collateral Amounts Pledged | Net Amount | ||||||
Forward Foreign Currency Contracts* | $ (171,195) | $ — | $ (171,195) | $ 107,671 | $ — | $ (63,524) |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statement of Assets and Liabilities Location | Value | Statement of Assets and Liabilities Location | Value | |||||
Forward foreign currency contracts | Currency Risk | Unrealized appreciation on forward foreign currency contracts | $ 375,997 | Unrealized depreciation on forward foreign currency contracts | $ 171,195 |
Statement of Operations Location | |
Currency Risk Exposure | |
Net realized gain (loss) on forward foreign currency contracts | $(222,701) |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | 506,072 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
First Trust RiverFront Dynamic Developed International ETF (RFDI)
First Trust RiverFront Dynamic Europe ETF (RFEU)
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM)
For the Six Months Ended
April 30, 2020
2 | |
Fund Performance Overview | |
3 | |
5 | |
7 | |
9 | |
11 | |
12 | |
13 | |
Portfolio of Investments | |
14 | |
17 | |
21 | |
24 | |
28 | |
29 | |
30 | |
32 | |
36 | |
43 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 4/30/20 | 1 Year Ended 4/30/20 | Inception (4/13/16) to 4/30/20 | Inception (4/13/16) to 4/30/20 | |
Fund Performance | ||||
NAV | -14.18% | -11.94% | -1.28% | -5.08% |
Market Price | -13.84% | -12.08% | -1.37% | -5.41% |
Index Performance | ||||
MSCI Pacific Index | -12.22% | -7.44% | 4.55% | 19.74% |
Sector Allocation | % of Total Investments |
Financials | 14.9% |
Consumer Discretionary | 13.6 |
Health Care | 12.1 |
Industrials | 11.9 |
Information Technology | 10.3 |
Consumer Staples | 9.6 |
Materials | 8.5 |
Communication Services | 8.4 |
Real Estate | 6.9 |
Utilities | 2.5 |
Energy | 1.3 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
CSL Ltd. | 2.6% |
Toyota Motor Corp. | 2.5 |
Commonwealth Bank of Australia | 2.1 |
AIA Group Ltd. | 2.0 |
Keyence Corp. | 2.0 |
Sony Corp. | 1.8 |
KDDI Corp. | 1.7 |
Tokyo Electron Ltd. | 1.6 |
Recruit Holdings Co., Ltd. | 1.4 |
Daiichi Sankyo Co., Ltd. | 1.4 |
Total | 19.1% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
4/14/16 – 10/31/16 | 65 | 29 | 12 | 2 |
11/1/16 – 10/31/17 | 127 | 85 | 23 | 0 |
11/1/17 – 10/31/18 | 114 | 22 | 8 | 1 |
11/1/18 – 10/31/19 | 81 | 9 | 2 | 0 |
11/1/19 – 4/30/20 | 31 | 4 | 1 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
4/14/16 – 10/31/16 | 21 | 8 | 2 | 1 |
11/1/16 – 10/31/17 | 16 | 1 | 0 | 0 |
11/1/17 – 10/31/18 | 94 | 12 | 1 | 0 |
11/1/18 – 10/31/19 | 108 | 46 | 5 | 0 |
11/1/19 – 4/30/20 | 54 | 27 | 7 | 0 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 4/30/20 | 1 Year Ended 4/30/20 | Inception (4/13/16) to 4/30/20 | Inception (4/13/16) to 4/30/20 | |
Fund Performance | ||||
NAV | -14.26% | -13.08% | 1.37% | 5.67% |
Market Price | -14.44% | -13.56% | 1.23% | 5.06% |
Index Performance | ||||
MSCI EAFE Index | -14.21% | -11.34% | 2.69% | 11.35% |
Sector Allocation | % of Total Investments |
Health Care | 16.8% |
Financials | 12.6 |
Consumer Staples | 12.2 |
Consumer Discretionary | 11.8 |
Industrials | 11.5 |
Materials | 9.5 |
Information Technology | 8.3 |
Utilities | 5.1 |
Energy | 4.9 |
Communication Services | 3.7 |
Real Estate | 3.3 |
Other * | 0.3 |
Total | 100.0% |
* | Exchange-traded fund with holdings representing multiple sectors. |
Top Ten Holdings | % of Total Investments |
Nestle S.A. | 2.8% |
Roche Holding AG | 2.3 |
Novartis AG | 1.7 |
GlaxoSmithKline PLC | 1.2 |
Novo Nordisk A.S., Class B | 1.1 |
Toyota Motor Corp. | 1.1 |
AstraZeneca PLC | 1.0 |
BP PLC | 1.0 |
L’Oreal S.A. | 1.0 |
AIA Group Ltd. | 1.0 |
Total | 14.2% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
4/14/16 – 10/31/16 | 46 | 70 | 18 | 2 |
11/1/16 – 10/31/17 | 157 | 81 | 7 | 0 |
11/1/17 – 10/31/18 | 158 | 33 | 0 | 0 |
11/1/18 – 10/31/19 | 65 | 2 | 0 | 0 |
11/1/19 – 4/30/20 | 24 | 0 | 0 | 1 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
4/14/16 – 10/31/16 | 4 | 0 | 0 | 0 |
11/1/16 – 10/31/17 | 7 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 52 | 9 | 0 | 0 |
11/1/18 – 10/31/19 | 171 | 12 | 1 | 0 |
11/1/19 – 4/30/20 | 73 | 23 | 2 | 1 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 4/30/20 | 1 Year Ended 4/30/20 | Inception (4/13/16) to 4/30/20 | Inception (4/13/16) to 4/30/20 | |
Fund Performance | ||||
NAV | -14.23% | -13.82% | 2.63% | 11.08% |
Market Price | -14.59% | -14.23% | 2.51% | 10.55% |
Index Performance | ||||
MSCI Europe Index | -15.47% | -13.58% | 1.73% | 7.21% |
Sector Allocation | % of Total Investments |
Health Care | 18.4% |
Consumer Staples | 16.0 |
Industrials | 13.0 |
Consumer Discretionary | 11.5 |
Financials | 9.4 |
Materials | 9.0 |
Information Technology | 7.7 |
Utilities | 6.3 |
Energy | 5.5 |
Communication Services | 1.8 |
Real Estate | 1.4 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Nestle S.A. | 4.6% |
Roche Holding AG | 3.8 |
Novartis AG | 2.8 |
Novo Nordisk A.S., Class B | 2.1 |
GlaxoSmithKline PLC | 1.9 |
BP PLC | 1.6 |
L’Oreal S.A. | 1.5 |
Unilever N.V. | 1.5 |
Enel S.p.A. | 1.4 |
Iberdrola S.A. | 1.4 |
Total | 22.6% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
4/14/16 – 10/31/16 | 39 | 35 | 2 | 0 |
11/1/16 – 10/31/17 | 134 | 103 | 8 | 0 |
11/1/17 – 10/31/18 | 146 | 10 | 0 | 0 |
11/1/18 – 10/31/19 | 33 | 4 | 0 | 0 |
11/1/19 – 4/30/20 | 25 | 1 | 1 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
4/14/16 – 10/31/16 | 56 | 8 | 0 | 0 |
11/1/16 – 10/31/17 | 7 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 92 | 4 | 0 | 0 |
11/1/18 – 10/31/19 | 206 | 7 | 1 | 0 |
11/1/19 – 4/30/20 | 85 | 9 | 2 | 1 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 4/30/20 | 1 Year Ended 4/30/20 | Inception (6/14/16) to 4/30/20 | Inception (6/14/16) to 4/30/20 | |
Fund Performance | ||||
NAV | -12.39% | -14.03% | 4.34% | 17.90% |
Market Price | -13.05% | -15.48% | 3.94% | 16.15% |
Index Performance | ||||
MSCI Emerging Markets Index | -10.50% | -12.00% | 6.22% | 26.35% |
Sector Allocation | % of Total Investments |
Information Technology | 17.6% |
Financials | 16.4 |
Consumer Discretionary | 16.4 |
Communication Services | 14.2 |
Materials | 8.5 |
Energy | 6.9 |
Consumer Staples | 5.4 |
Industrials | 4.7 |
Real Estate | 4.5 |
Utilities | 2.6 |
Other* | 1.7 |
Health Care | 1.1 |
Total | 100.0% |
* | Exchange-traded fund with holdings representing multiple sectors. |
Top Ten Holdings | % of Total Investments |
Alibaba Group Holding Ltd., ADR | 7.6% |
Tencent Holdings Ltd. | 7.0 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 5.8 |
Samsung Electronics Co., Ltd. | 4.3 |
iShares Core MSCI Emerging Markets ETF | 1.7 |
China Construction Bank Corp., Class H | 1.6 |
Naspers Ltd., Class N | 1.4 |
Ping An Insurance Group Co. of China Ltd., Class H | 1.3 |
Infosys Ltd. | 1.3 |
NetEase, Inc., ADR | 1.1 |
Total | 33.1% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
6/15/16 – 10/31/16 | 31 | 40 | 16 | 1 |
11/1/16 – 10/31/17 | 130 | 87 | 8 | 0 |
11/1/17 – 10/31/18 | 94 | 66 | 6 | 0 |
11/1/18 – 10/31/19 | 80 | 12 | 2 | 0 |
11/1/19 – 4/30/20 | 11 | 3 | 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% |
6/15/16 – 10/31/16 | 7 | 2 | 0 | 0 |
11/1/16 – 10/31/17 | 25 | 1 | 1 | 0 |
11/1/17 – 10/31/18 | 53 | 28 | 5 | 0 |
11/1/18 – 10/31/19 | 100 | 54 | 2 | 1 |
11/1/19 – 4/30/20 | 50 | 40 | 15 | 5 |
Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust RiverFront Dynamic Asia Pacific ETF (RFAP) | ||||
Actual | $1,000.00 | $858.20 | 0.83% | $3.83 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.74 | 0.83% | $4.17 |
First Trust RiverFront Dynamic Developed International ETF (RFDI) | ||||
Actual | $1,000.00 | $857.40 | 0.83% | $3.83 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.74 | 0.83% | $4.17 |
First Trust RiverFront Dynamic Europe ETF (RFEU) | ||||
Actual | $1,000.00 | $857.70 | 0.83% | $3.83 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.74 | 0.83% | $4.17 |
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) | ||||
Actual | $1,000.00 | $876.10 | 0.95% | $4.43 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.14 | 0.95% | $4.77 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (November 1, 2019 through April 30, 2020), multiplied by 182/366 (to reflect the six-month period). |
Shares | Description | Value | ||
COMMON STOCKS (a) – 96.6% | ||||
Australia – 18.6% | ||||
52,748 | Alumina Ltd. (b) | $58,511 | ||
4,642 | Aristocrat Leisure Ltd. (b) | 76,128 | ||
9,908 | Australia & New Zealand Banking Group Ltd. (b) | 107,625 | ||
6,911 | BHP Group Ltd. (b) | 141,083 | ||
8,665 | BlueScope Steel Ltd. (b) | 56,555 | ||
6,650 | Coca-Cola Amatil Ltd. (b) | 37,025 | ||
5,587 | Commonwealth Bank of Australia (b) | 225,695 | ||
1,413 | CSL Ltd. (b) | 281,650 | ||
13,861 | Fortescue Metals Group Ltd. (b) | 105,929 | ||
787 | Macquarie Group Ltd. (b) | 52,133 | ||
9,588 | National Australia Bank Ltd. (b) | 105,060 | ||
19,532 | Qantas Airways Ltd. (b) | 48,511 | ||
1,626 | Ramsay Health Care Ltd. (b) | 66,034 | ||
938 | REA Group Ltd. (b) | 53,671 | ||
918 | Rio Tinto Ltd. (b) | 51,740 | ||
20,563 | Santos Ltd. (b) | 65,386 | ||
18,336 | Tabcorp Holdings Ltd. (b) | 38,228 | ||
6,632 | Transurban Group (b) | 59,123 | ||
5,118 | Wesfarmers Ltd. (b) | 124,314 | ||
13,511 | Westpac Banking Corp. (b) | 140,570 | ||
5,210 | Woodside Petroleum Ltd. (b) | 74,603 | ||
3,900 | Woolworths Group Ltd. (b) | 90,254 | ||
2,059,828 | ||||
Cayman Islands – 2.6% | ||||
10,236 | CK Hutchison Holdings Ltd. (b) | 75,871 | ||
1,250 | Tencent Holdings Ltd. (b) | 65,712 | ||
21,971 | Tingyi Cayman Islands Holding Corp. (b) | 39,001 | ||
58,386 | WH Group Ltd. (b) (c) (d) | 55,686 | ||
43,333 | Xinyi Glass Holdings Ltd. (b) | 50,186 | ||
286,456 | ||||
Hong Kong – 4.3% | ||||
23,556 | AIA Group Ltd. (b) | 216,192 | ||
26,269 | Cathay Pacific Airways Ltd. (b) | 31,243 | ||
44,690 | Hong Kong & China Gas Co., Ltd. (b) | 80,093 | ||
4,092 | Sun Hung Kai Properties Ltd. (b) | 55,953 | ||
5,868 | Swire Pacific Ltd., Class A (b) | 38,161 | ||
7,793 | Vitasoy International Holdings Ltd. (b) | 27,794 | ||
17,105 | Wharf Holdings (The) Ltd. (b) | 32,402 | ||
481,838 | ||||
Japan – 66.0% | ||||
18,800 | Acom Co., Ltd. (b) | 75,956 | ||
1,800 | Advantest Corp. (b) | 87,339 | ||
2,800 | Ajinomoto Co., Inc. (b) | 49,870 | ||
1,300 | Amano Corp. (b) | 26,691 | ||
1,780 | Aozora Bank Ltd. (b) | 31,677 | ||
6,900 | Astellas Pharma, Inc. (b) | 114,120 | ||
2,400 | Benesse Holdings, Inc. (b) | 68,346 | ||
3,400 | Brother Industries Ltd. (b) | 57,625 |
Shares | Description | Value | ||
Japan (Continued) | ||||
2,600 | Canon, Inc. (b) | $54,691 | ||
1,300 | Capcom Co., Ltd. (b) | 39,848 | ||
600 | Central Japan Railway Co. (b) | 94,413 | ||
6,400 | Chubu Electric Power Co., Inc. (b) | 86,553 | ||
1,100 | Chugai Pharmaceutical Co., Ltd. (b) | 131,122 | ||
2,200 | Daiichi Sankyo Co., Ltd. (b) | 151,231 | ||
700 | Daikin Industries Ltd. (b) | 89,832 | ||
3,800 | Daiwa House Industry Co., Ltd. (b) | 96,293 | ||
300 | Disco Corp. (b) | 66,994 | ||
800 | East Japan Railway Co. (b) | 58,416 | ||
300 | FANUC Corp. (b) | 48,964 | ||
4,500 | Haseko Corp. (b) | 48,855 | ||
1,300 | Hitachi Chemical Co., Ltd. (b) | 55,765 | ||
1,400 | Hitachi Ltd. (b) | 41,551 | ||
4,200 | Hokuhoku Financial Group, Inc. (b) | 34,126 | ||
1,400 | Honda Motor Co., Ltd. (b) | 33,998 | ||
700 | Hoya Corp. (b) | 63,835 | ||
6,100 | ITOCHU Corp. (b) | 119,591 | ||
1,800 | Jaccs Co., Ltd. (b) | 29,882 | ||
6,500 | Japan Post Holdings Co., Ltd. (b) | 51,993 | ||
2,800 | Japan Tobacco, Inc. (b) | 52,145 | ||
3,800 | Kajima Corp. (b) | 39,485 | ||
2,700 | Kakaku.com, Inc. (b) | 55,094 | ||
1,100 | Kaken Pharmaceutical Co., Ltd. (b) | 60,546 | ||
1,600 | Kao Corp. (b) | 123,386 | ||
3,800 | Kawasaki Kisen Kaisha Ltd. (b) (e) | 37,385 | ||
6,500 | KDDI Corp. (b) | 188,268 | ||
600 | Keyence Corp. (b) | 214,207 | ||
1,500 | Lawson, Inc. (b) | 77,969 | ||
800 | MEIJI Holdings Co., Ltd. (b) | 55,563 | ||
13,800 | Mitsubishi Chemical Holdings Corp. (b) | 78,434 | ||
1,900 | Mitsubishi Corp. (b) | 40,295 | ||
4,700 | Mitsubishi Electric Corp. (b) | 57,832 | ||
2,800 | Mitsubishi Estate Co., Ltd. (b) | 45,299 | ||
15,500 | Mitsubishi UFJ Financial Group, Inc. (b) | 62,620 | ||
9,800 | Mitsubishi UFJ Lease & Finance Co., Ltd. (b) | 46,795 | ||
4,200 | Mitsui & Co., Ltd. (b) | 58,625 | ||
1,600 | Mitsui Chemicals, Inc. (b) | 31,413 | ||
4,900 | Mitsui Fudosan Co., Ltd. (b) | 90,096 | ||
2,700 | MS&AD Insurance Group Holdings, Inc. (b) | 77,787 | ||
2,300 | Murata Manufacturing Co., Ltd. (b) | 129,598 | ||
2,400 | Nichirei Corp. (b) | 60,038 | ||
100 | Nintendo Co., Ltd. (b) | 41,292 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Japan (Continued) | ||||
2,200 | Nippon Paper Industries Co., Ltd. (b) | $31,417 | ||
5,200 | Nippon Telegraph & Telephone Corp. (b) | 118,423 | ||
1,600 | Nissan Chemical Corp. (b) | 61,390 | ||
3,600 | Nomura Research Institute Ltd. (b) | 88,132 | ||
5,000 | NTT DOCOMO, Inc. (b) | 147,356 | ||
5,800 | Obayashi Corp. (b) | 50,695 | ||
10,400 | Oji Holdings Corp. (b) | 52,806 | ||
4,700 | Olympus Corp. (b) | 74,574 | ||
4,000 | Ono Pharmaceutical Co., Ltd. (b) | 96,369 | ||
6,300 | Onward Holdings Co., Ltd. (b) | 19,711 | ||
500 | Oriental Land Co., Ltd. (b) | 63,223 | ||
6,900 | ORIX Corp. (b) | 81,196 | ||
4,700 | Pan Pacific International Holdings Corp. (b) | 91,056 | ||
12,900 | Panasonic Corp. (b) | 98,337 | ||
7,600 | Rakuten, Inc. (b) | 64,442 | ||
5,400 | Recruit Holdings Co., Ltd. (b) | 157,525 | ||
1,600 | Sankyo Co., Ltd. (b) | 43,930 | ||
1,700 | Sapporo Holdings Ltd. (b) | 32,362 | ||
2,900 | Seino Holdings Co., Ltd. (b) | 34,525 | ||
3,300 | Seven & i Holdings Co., Ltd. (b) | 109,286 | ||
2,300 | Shimachu Co., Ltd. (b) | 57,440 | ||
800 | Shin-Etsu Chemical Co., Ltd. (b) | 88,242 | ||
1,300 | Shionogi & Co., Ltd. (b) | 71,796 | ||
200 | SMC Corp. (b) | 90,405 | ||
8,800 | Softbank Corp. (b) | 119,838 | ||
2,000 | SoftBank Group Corp. (b) | 85,725 | ||
16,700 | Sojitz Corp. (b) | 38,649 | ||
3,100 | Sony Corp. (b) | 199,498 | ||
4,600 | SUMCO Corp. (b) | 65,491 | ||
2,000 | Sumitomo Forestry Co., Ltd. (b) | 24,708 | ||
1,700 | Sumitomo Heavy Industries Ltd. (b) | 35,826 | ||
4,000 | Sumitomo Mitsui Financial Group, Inc. (b) | 105,189 | ||
2,800 | Sumitomo Realty & Development Co., Ltd. (b) | 74,991 | ||
1,400 | Suntory Beverage & Food Ltd. (b) | 52,722 | ||
2,300 | Suzuki Motor Corp. (b) | 73,405 | ||
1,900 | Takeda Pharmaceutical Co., Ltd. (b) | 68,517 | ||
1,700 | Terumo Corp. (b) | 56,410 | ||
7,000 | Toda Corp. (b) | 40,664 | ||
6,700 | Tohoku Electric Power Co., Inc. (b) | 63,060 | ||
3,300 | Tokai Rika Co., Ltd. (b) | 42,041 | ||
1,400 | Tokuyama Corp. (b) | 29,540 | ||
12,300 | Tokyo Electric Power Co., Holdings, Inc. (b) (e) | 41,406 | ||
800 | Tokyo Electron Ltd. (b) | 170,385 | ||
2,300 | Tokyo Seimitsu Co., Ltd. (b) | 74,398 |
Shares | Description | Value | ||
Japan (Continued) | ||||
19,500 | Tokyu Fudosan Holdings Corp. (b) | $95,398 | ||
4,400 | Toyota Motor Corp. (b) | 272,038 | ||
3,800 | Zeon Corp. (b) | 33,296 | ||
7,321,582 | ||||
New Zealand – 1.5% | ||||
6,378 | a2 Milk Co., Ltd. (b) (e) | 75,911 | ||
5,441 | Fisher & Paykel Healthcare Corp., Ltd. (b) | 90,901 | ||
166,812 | ||||
Singapore – 2.6% | ||||
8,600 | DBS Group Holdings Ltd. (b) | 121,080 | ||
9,400 | Singapore Exchange Ltd. (b) | 64,100 | ||
4,200 | Venture Corp Ltd. (b) | 46,938 | ||
22,100 | Wilmar International Ltd. (b) | 55,654 | ||
287,772 | ||||
United States – 1.0% | ||||
892 | Ball Corp. | 58,506 | ||
1,208 | Coca-Cola (The) Co. | 55,435 | ||
113,941 | ||||
Total Common Stocks | 10,718,229 | |||
(Cost $11,565,243) | ||||
REAL ESTATE INVESTMENT TRUSTS (a) – 2.0% | ||||
Australia – 1.2% | ||||
7,337 | Charter Hall Group (b) | 36,256 | ||
11,216 | Goodman Group (b) | 95,529 | ||
131,785 | ||||
Hong Kong – 0.4% | ||||
4,894 | Link REIT (b) | 43,626 | ||
Singapore – 0.4% | ||||
38,000 | Mapletree Logistics Trust (b) | 48,136 | ||
Total Real Estate Investment Trusts | 223,547 | |||
(Cost $228,312) | ||||
RIGHTS (a) – 0.0% | ||||
Australia – 0.0% | ||||
3,285 | Oil Search Ltd., expiring 6/9/20 (b) (e) (f) | 2,034 | ||
(Cost $0) | ||||
Total Investments – 98.6% | 10,943,810 | |||
(Cost $11,793,555) (g) | ||||
Net Other Assets and Liabilities – 1.4% | 159,025 | |||
Net Assets – 100.0% | $11,102,835 |
(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 April 30, 2020, securities noted as such are valued at $10,829,869 or 97.5% 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) | 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”). |
(d) | 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. |
(e) | Non-income producing security. |
(f) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor. |
(g) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $793,541 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,643,286. The net unrealized depreciation was $849,745. |
Total Value at 4/30/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
United States | $ 113,941 | $ 113,941 | $ — | $ — |
Other Country Categories* | 10,604,288 | — | 10,604,288 | — |
Real Estate Investment Trusts* | 223,547 | — | 223,547 | — |
Rights* | 2,034 | — | 2,034 | — |
Total Investments | $ 10,943,810 | $ 113,941 | $ 10,829,869 | $— |
* | See Portfolio of Investments for country breakout. |
Currency Exposure Diversification | % of Total Investments |
Japanese Yen | 66.9% |
Australian Dollar | 20.1 |
Hong Kong Dollar | 7.4 |
Singapore Dollar | 3.1 |
New Zealand Dollar | 1.5 |
United States Dollar | 1.0 |
Total | 100.0% |
Shares | Description | Value | ||
COMMON STOCKS (a) – 96.8% | ||||
Australia – 6.0% | ||||
579,200 | Alumina Ltd. (b) | $642,479 | ||
19,558 | Aristocrat Leisure Ltd. (b) | 320,747 | ||
52,287 | Australia & New Zealand Banking Group Ltd. (b) | 567,966 | ||
36,503 | BHP Group Ltd. (b) | 745,184 | ||
93,542 | BlueScope Steel Ltd. (b) | 610,536 | ||
35,104 | Coca-Cola Amatil Ltd. (b) | 195,445 | ||
5,045 | Commonwealth Bank of Australia (b) | 203,800 | ||
4,283 | CSL Ltd. (b) | 853,719 | ||
142,913 | Fortescue Metals Group Ltd. (b) | 1,092,177 | ||
4,144 | Macquarie Group Ltd. (b) | 274,511 | ||
13,010 | Perpetual Ltd. (b) | 252,896 | ||
217,134 | Qantas Airways Ltd. (b) | 539,286 | ||
4,832 | Rio Tinto Ltd. (b) | 272,337 | ||
35,096 | Transurban Group (b) | 312,873 | ||
23,683 | Wesfarmers Ltd. (b) | 575,247 | ||
59,097 | Westpac Banking Corp. (b) | 614,854 | ||
27,538 | Woodside Petroleum Ltd. (b) | 394,323 | ||
20,577 | Woolworths Group Ltd. (b) | 476,191 | ||
8,944,571 | ||||
Austria – 1.2% | ||||
39,334 | EVN AG (b) | 614,638 | ||
12,480 | OMV AG (b) | 407,495 | ||
9,388 | Verbund AG (b) | 425,067 | ||
21,352 | Wienerberger AG (b) | 399,909 | ||
1,847,109 | ||||
Belgium – 0.6% | ||||
5,655 | Anheuser-Busch InBev S.A./N.V. (b) | 263,354 | ||
7,837 | UCB S.A. (b) | 718,175 | ||
981,529 | ||||
Cayman Islands – 0.8% | ||||
55,714 | CK Hutchison Holdings Ltd. (b) | 412,962 | ||
5,180 | Tencent Holdings Ltd. (b) | 272,310 | ||
116,314 | Tingyi Cayman Islands Holding Corp. (b) | 206,469 | ||
306,938 | WH Group Ltd. (b) (c) (d) | 292,743 | ||
1,184,484 | ||||
Denmark – 3.0% | ||||
4,731 | Carlsberg A.S., Class B (b) | 596,830 | ||
26,361 | Novo Nordisk A.S., Class B (b) | 1,681,569 | ||
18,867 | Novozymes A.S., Class B (b) | 925,552 | ||
7,490 | Orsted A.S. (b) (c) (d) | 756,568 | ||
17,771 | Tryg A.S. (b) | 473,949 | ||
4,434,468 | ||||
Finland – 0.9% | ||||
51,879 | Stora Enso OYJ, Class R (b) | 610,334 | ||
24,890 | UPM-Kymmene OYJ (b) | 682,613 | ||
1,292,947 |
Shares | Description | Value | ||
France – 7.9% | ||||
2,962 | Air Liquide S.A. (b) | $376,335 | ||
1,012 | Christian Dior SE (b) | 393,773 | ||
7,263 | Danone S.A. (b) | 506,210 | ||
4,946 | Dassault Systemes SE (b) | 724,443 | ||
2,103 | Kering S.A. (b) | 1,069,806 | ||
4,878 | L’Oreal S.A. (b) | 1,418,236 | ||
2,397 | LVMH Moet Hennessy Louis Vuitton SE (b) | 926,663 | ||
4,959 | Pernod Ricard S.A. (b) | 757,218 | ||
32,437 | Peugeot S.A. (b) | 459,815 | ||
13,266 | Sanofi (b) | 1,295,740 | ||
3,464 | Sartorius Stedim Biotech (b) | 830,575 | ||
5,031 | Schneider Electric SE (b) | 464,927 | ||
28,603 | TOTAL S.A. (b) | 1,015,189 | ||
6,989 | Ubisoft Entertainment S.A. (b) (e) | 519,855 | ||
35,282 | Veolia Environnement S.A. (b) | 752,158 | ||
3,443 | Vinci S.A. (b) | 282,058 | ||
11,793,001 | ||||
Germany – 6.1% | ||||
3,872 | adidas AG (b) | 886,427 | ||
45,469 | AIXTRON SE (b) (e) | 422,576 | ||
4,177 | Allianz SE (b) | 768,699 | ||
6,499 | Bayer AG (b) | 427,435 | ||
20,037 | Evonik Industries AG (b) | 492,919 | ||
10,704 | HeidelbergCement AG (b) | 507,489 | ||
2,436 | MTU Aero Engines AG (b) | 331,724 | ||
3,905 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (b) | 855,291 | ||
26,604 | Salzgitter AG (b) | 355,436 | ||
6,214 | SAP SE (b) | 740,133 | ||
2,851 | Sartorius AG (Preference Shares) (b) | 800,964 | ||
90,334 | Schaeffler AG (Preference Shares) (b) | 609,974 | ||
26,620 | TAG Immobilien AG (b) | 583,076 | ||
3,506 | Volkswagen AG (b) | 518,341 | ||
5,536 | Volkswagen AG (Preference Shares) (b) | 770,231 | ||
9,070,715 | ||||
Hong Kong – 1.9% | ||||
154,486 | AIA Group Ltd. (b) | 1,417,837 | ||
234,334 | Hong Kong & China Gas Co., Ltd. (b) | 419,973 | ||
7,715 | Hong Kong Exchanges & Clearing Ltd. (b) | 247,360 | ||
20,679 | Sun Hung Kai Properties Ltd. (b) | 282,761 | ||
31,310 | Swire Pacific Ltd., Class A (b) | 203,614 | ||
46,938 | Wheelock & Co., Ltd. (b) | 344,008 | ||
2,915,553 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Ireland – 0.5% | ||||
14,446 | Kingspan Group PLC | $736,125 | ||
Italy – 2.7% | ||||
315,494 | A2A S.p.A. (b) | 430,084 | ||
184,641 | Enel S.p.A. (b) | 1,261,182 | ||
74,089 | Eni S.p.A. (b) | 705,797 | ||
62,615 | Mediobanca Banca di Credito Finanziario S.p.A. (b) | 364,013 | ||
20,729 | Recordati S.p.A. (b) | 902,700 | ||
107,952 | Unipol Gruppo S.p.A. (b) | 372,477 | ||
4,036,253 | ||||
Japan – 23.5% | ||||
16,400 | Aeon Mall Co., Ltd. (b) | 206,159 | ||
36,900 | Astellas Pharma, Inc. (b) | 610,295 | ||
8,200 | Bridgestone Corp. (b) | 255,244 | ||
17,800 | Brother Industries Ltd. (b) | 301,683 | ||
14,300 | Canon, Inc. (b) | 300,802 | ||
28,700 | Capcom Co., Ltd. (b) | 879,725 | ||
2,900 | Central Japan Railway Co. (b) | 456,328 | ||
10,300 | Chugai Pharmaceutical Co., Ltd. (b) | 1,227,778 | ||
34,000 | Dai-ichi Life Holdings, Inc. (b) | 426,096 | ||
17,400 | Daiichi Sankyo Co., Ltd. (b) | 1,196,098 | ||
2,900 | Daikin Industries Ltd. (b) | 372,160 | ||
15,000 | Daiwa House Industry Co., Ltd. (b) | 380,105 | ||
2,400 | Disco Corp. (b) | 535,954 | ||
20,900 | DMG Mori Co., Ltd. (b) | 213,696 | ||
2,900 | East Japan Railway Co. (b) | 211,758 | ||
23,500 | Haseko Corp. (b) | 255,130 | ||
10,100 | Hoshizaki Corp. (b) | 769,689 | ||
2,900 | Hoya Corp. (b) | 264,461 | ||
54,800 | ITOCHU Corp. (b) | 1,074,360 | ||
14,500 | Japan Tobacco, Inc. (b) | 270,034 | ||
48,800 | JSR Corp. (b) | 917,979 | ||
5,200 | Kaken Pharmaceutical Co., Ltd. (b) | 286,216 | ||
2,900 | Kao Corp. (b) | 223,637 | ||
31,100 | KDDI Corp. (b) | 900,790 | ||
2,900 | Keyence Corp. (b) | 1,035,335 | ||
19,600 | Kobe Bussan Co., Ltd. (b) | 946,856 | ||
32,800 | Kyowa Kirin Co., Ltd. (b) | 761,277 | ||
5,300 | Lawson, Inc. (b) | 275,492 | ||
2,900 | MEIJI Holdings Co., Ltd. (b) | 201,416 | ||
54,700 | Mitsubishi Chemical Holdings Corp. (b) | 310,893 | ||
9,500 | Mitsubishi Corp. (b) | 201,476 | ||
24,100 | Mitsubishi Electric Corp. (b) | 296,542 | ||
14,900 | Mitsubishi Estate Co., Ltd. (b) | 241,054 | ||
10,600 | Mitsubishi Heavy Industries Ltd. (b) | 271,823 | ||
21,200 | Mitsui & Co., Ltd. (b) | 295,917 | ||
10,900 | Mitsui Fudosan Co., Ltd. (b) | 200,418 | ||
14,700 | MS&AD Insurance Group Holdings, Inc. (b) | 423,508 |
Shares | Description | Value | ||
Japan (Continued) | ||||
12,400 | Murata Manufacturing Co., Ltd. (b) | $698,703 | ||
25,900 | NEC Corp. (b) | 993,908 | ||
21,100 | Nexon Co., Ltd. (b) | 340,680 | ||
27,300 | Nippon Telegraph & Telephone Corp. (b) | 621,720 | ||
39,500 | Nomura Research Institute Ltd. (b) | 967,000 | ||
15,100 | NSD Co., Ltd. (b) | 213,821 | ||
25,700 | NTT DOCOMO, Inc. (b) | 757,410 | ||
31,100 | Obayashi Corp. (b) | 271,833 | ||
55,700 | Oji Holdings Corp. (b) | 282,816 | ||
36,900 | Ono Pharmaceutical Co., Ltd. (b) | 889,006 | ||
2,900 | Oriental Land Co., Ltd. (b) | 366,691 | ||
36,000 | ORIX Corp. (b) | 423,630 | ||
24,900 | Pan Pacific International Holdings Corp. (b) | 482,405 | ||
50,600 | Panasonic Corp. (b) | 385,723 | ||
40,800 | Recruit Holdings Co., Ltd. (b) | 1,190,185 | ||
8,700 | Sankyo Co., Ltd. (b) | 238,872 | ||
15,800 | Seven & i Holdings Co., Ltd. (b) | 523,249 | ||
11,200 | Shimachu Co., Ltd. (b) | 279,708 | ||
12,700 | Shin-Etsu Chemical Co., Ltd. (b) | 1,400,836 | ||
1,100 | SMC Corp. (b) | 497,225 | ||
88,300 | Sojitz Corp. (b) | 204,356 | ||
15,100 | Sony Corp. (b) | 971,747 | ||
21,200 | Sumitomo Mitsui Financial Group, Inc. (b) | 557,501 | ||
8,400 | Suntory Beverage & Food Ltd. (b) | 316,330 | ||
2 | Takeda Pharmaceutical Co., Ltd., ADR | 36 | ||
9,000 | Terumo Corp. (b) | 298,644 | ||
16,400 | Tokai Rika Co., Ltd. (b) | 208,929 | ||
63,900 | Tokyo Electric Power Co., Holdings, Inc. (b) (e) | 215,107 | ||
2,900 | Tokyo Electron Ltd. (b) | 617,645 | ||
53,400 | Tokyu Fudosan Holdings Corp. (b) | 261,245 | ||
26,300 | Toyota Motor Corp. (b) | 1,626,047 | ||
35,101,192 | ||||
Jersey – 1.3% | ||||
506,309 | Glencore PLC (b) | 948,540 | ||
237,258 | Man Group PLC (b) | 397,504 | ||
74,000 | WPP PLC (b) | 574,175 | ||
1,920,219 | ||||
Netherlands – 3.4% | ||||
1,005 | Adyen N.V. (c) (d) (e) | 992,518 | ||
3,391 | ASML Holding N.V. (b) | 990,462 | ||
13,693 | Koninklijke Philips N.V. (b) | 596,912 | ||
10,258 | Randstad N.V. (b) | 412,839 | ||
49,246 | TomTom N.V. (b) | 387,739 | ||
20,307 | Unilever N.V. (b) | 1,011,275 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Netherlands (Continued) | ||||
10,281 | Wolters Kluwer N.V. | $756,203 | ||
5,147,948 | ||||
New Zealand – 0.3% | ||||
33,802 | a2 Milk Co., Ltd. (b) (e) | 402,309 | ||
Norway – 1.3% | ||||
44,258 | DNB ASA (b) | 535,872 | ||
55,361 | Equinor ASA (b) | 766,574 | ||
35,688 | Gjensidige Forsikring ASA (b) | 629,708 | ||
1,932,154 | ||||
Singapore – 1.3% | ||||
39,500 | DBS Group Holdings Ltd. (b) | 556,125 | ||
41,900 | Oversea-Chinese Banking Corp., Ltd. (b) | 267,335 | ||
49,800 | Singapore Exchange Ltd. (b) | 339,591 | ||
16,000 | United Overseas Bank Ltd. (b) | 228,626 | ||
21,100 | Venture Corp Ltd. (b) | 235,807 | ||
116,700 | Wilmar International Ltd. (b) | 293,884 | ||
1,921,368 | ||||
Spain – 2.9% | ||||
213,028 | Banco Bilbao Vizcaya Argentaria S.A. (b) | 696,342 | ||
211,573 | Banco Santander S.A. (b) | 472,737 | ||
57,908 | EDP Renovaveis S.A. (b) | 709,967 | ||
73,613 | Ence Energia y Celulosa S.A. (b) | 236,583 | ||
125,611 | Iberdrola S.A. (b) | 1,249,551 | ||
41,002 | Industria de Diseno Textil S.A. (b) | 1,050,160 | ||
4,415,340 | ||||
Sweden – 5.5% | ||||
24,856 | Atlas Copco AB, Class A (b) | 856,649 | ||
23,002 | Atlas Copco AB, Class B (b) | 711,495 | ||
36,291 | Hennes & Mauritz AB, Class B (b) | 496,084 | ||
16,116 | Investor AB, Class B (b) | 800,936 | ||
23,157 | Lundin Energy AB (b) | 595,808 | ||
81,112 | Skandinaviska Enskilda Banken AB, Class A (b) | 667,751 | ||
87,991 | Svenska Handelsbanken AB, Class A (b) (e) | 803,124 | ||
58,069 | Swedbank AB, Class A (b) | 687,197 | ||
16,605 | Swedish Match AB (b) | 1,026,131 | ||
46,037 | Volvo AB, Class A (b) | 588,505 | ||
73,268 | Volvo AB, Class B (b) | 938,898 | ||
8,172,578 | ||||
Switzerland – 9.4% | ||||
18,634 | Coca-Cola HBC AG (b) | 472,162 | ||
11,994 | Logitech International S.A. (b) | 577,670 | ||
39,396 | Nestle S.A. (b) | 4,172,432 | ||
29,768 | Novartis AG (b) | 2,540,356 | ||
833 | Partners Group Holding AG (b) | 656,438 |
Shares | Description | Value | ||
Switzerland (Continued) | ||||
9,972 | Roche Holding AG (b) | $3,453,277 | ||
1,750 | Roche Holding AG (b) | 607,785 | ||
3,979 | Sonova Holding AG (b) | 718,662 | ||
4,571 | Temenos AG (b) | 592,317 | ||
848 | Zurich Insurance Group AG (b) | 268,862 | ||
14,059,961 | ||||
United Kingdom – 16.3% | ||||
48,750 | 3i Group PLC (b) | 478,913 | ||
25,777 | Ashtead Group PLC (b) | 704,105 | ||
14,623 | AstraZeneca PLC (b) | 1,529,450 | ||
99,942 | Barratt Developments PLC (b) | 651,558 | ||
14,645 | Bellway PLC (b) | 490,042 | ||
10,216 | BHP Group PLC (b) | 171,475 | ||
381,785 | BP PLC (b) | 1,504,392 | ||
18,464 | British American Tobacco PLC (b) | 711,681 | ||
400,994 | Cairn Energy PLC (b) (e) | 564,979 | ||
27,049 | Compass Group PLC (b) | 455,165 | ||
28,455 | Diageo PLC (b) | 979,701 | ||
94,869 | Evraz PLC (b) | 314,378 | ||
8,070 | Games Workshop Group PLC (b) | 610,775 | ||
82,212 | GlaxoSmithKline PLC (b) | 1,715,156 | ||
24,414 | Hargreaves Lansdown PLC (b) | 441,759 | ||
18,953 | Hikma Pharmaceuticals PLC (b) | 564,497 | ||
99,894 | Howden Joinery Group PLC (b) | 658,722 | ||
123,273 | HSBC Holdings PLC (b) | 633,619 | ||
83,042 | Inchcape PLC (b) | 523,089 | ||
273,797 | Legal & General Group PLC (b) | 703,932 | ||
34,640 | Mondi PLC (b) | 611,719 | ||
103,520 | Pagegroup PLC (b) | 489,956 | ||
22,570 | Persimmon PLC (b) | 625,330 | ||
3,887 | Reckitt Benckiser Group PLC (b) | 323,786 | ||
90,296 | Redrow PLC (b) | 524,648 | ||
60,436 | RELX PLC (b) | 1,363,545 | ||
82,753 | Rightmove PLC (b) | 517,408 | ||
23,061 | Rio Tinto PLC (b) | 1,070,461 | ||
43,901 | Royal Dutch Shell PLC, Class A (b) | 722,798 | ||
35,599 | Royal Dutch Shell PLC, Class B (b) | 569,892 | ||
83,902 | Sage Group (The) PLC (b) | 674,782 | ||
23,306 | Severn Trent PLC (b) | 699,356 | ||
221,344 | Spirent Communications PLC (b) | 669,560 | ||
20,939 | Unilever PLC (b) | 1,078,195 | ||
24,348,824 | ||||
Total Common Stocks | 144,658,648 | |||
(Cost $156,312,002) | ||||
REAL ESTATE INVESTMENT TRUSTS (a) – 1.5% | ||||
Australia – 0.4% | ||||
108,430 | Dexus (b) | 643,676 | ||
Belgium – 0.5% | ||||
28,373 | Warehouses De Pauw CVA (b) | 778,373 |
Shares | Description | Value | ||
REAL ESTATE INVESTMENT TRUSTS (a) (Continued) | ||||
Hong Kong – 0.2% | ||||
25,377 | Link REIT (b) | $226,217 | ||
Singapore – 0.4% | ||||
394,300 | Mapletree Commercial Trust (b) | 542,944 | ||
Total Real Estate Investment Trusts | 2,191,210 | |||
(Cost $2,285,886) | ||||
EXCHANGE-TRADED FUNDS (a) – 0.3% | ||||
United States – 0.3% | ||||
8,200 | iShares Core MSCI EAFE ETF | 434,846 | ||
(Cost $521,014) | ||||
Total Investments – 98.6% | 147,284,704 | |||
(Cost $159,118,902) (f) | ||||
Net Other Assets and Liabilities – 1.4% | 2,134,837 | |||
Net Assets – 100.0% | $149,419,541 |
(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 April 30, 2020, securities noted as such are valued at $144,364,976 or 96.6% 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) | 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”). |
(d) | 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. |
(e) | Non-income producing security. |
(f) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $11,640,917 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $23,475,115. The net unrealized depreciation was $11,834,198. |
ADR | American Depositary Receipt |
Total Value at 4/30/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
Ireland | $ 736,125 | $ 736,125 | $ — | $ — |
Japan | 35,101,192 | 36 | 35,101,156 | — |
Netherlands | 5,147,948 | 1,748,721 | 3,399,227 | — |
Other Country Categories* | 103,673,383 | — | 103,673,383 | — |
Real Estate Investment Trusts* | 2,191,210 | — | 2,191,210 | — |
Exchange-Traded Funds* | 434,846 | 434,846 | — | — |
Total Investments | $ 147,284,704 | $ 2,919,728 | $ 144,364,976 | $— |
* | See Portfolio of Investments for country breakout. |
Currency Exposure Diversification | % of Total Investments |
Euro | 27.2% |
Japanese Yen | 23.8 |
British Pound Sterling | 18.2 |
Swiss Franc | 9.2 |
Australian Dollar | 6.5 |
Swedish Krona | 5.6 |
Danish Krone | 3.0 |
Hong Kong Dollar | 2.9 |
Singapore Dollar | 1.7 |
Norwegian Krone | 1.3 |
United States Dollar | 0.3 |
New Zealand Dollar | 0.3 |
Total | 100.0% |
Shares | Description | Value | ||
COMMON STOCKS (a) – 97.8% | ||||
Australia – 0.6% | ||||
2,781 | Rio Tinto Ltd. (b) | $156,740 | ||
Austria – 1.3% | ||||
3,749 | OMV AG (b) | 122,412 | ||
2,826 | Verbund AG (b) | 127,955 | ||
6,423 | Wienerberger AG (b) | 120,298 | ||
370,665 | ||||
Belgium – 1.3% | ||||
4,189 | Bekaert S.A. (b) | 88,559 | ||
546 | Sofina S.A. (b) | 128,591 | ||
1,479 | UCB S.A. (b) | 135,534 | ||
352,684 | ||||
Denmark – 5.6% | ||||
1,428 | Carlsberg A.S., Class B (b) | 180,146 | ||
934 | Genmab A.S. (b) (c) | 224,519 | ||
9,030 | Novo Nordisk A.S., Class B (b) | 576,024 | ||
4,036 | Novozymes A.S., Class B (b) | 197,993 | ||
2,249 | Orsted A.S. (b) (d) (e) | 227,173 | ||
5,345 | Tryg A.S. (b) | 142,550 | ||
1,548,405 | ||||
Finland – 2.3% | ||||
4,056 | Kone OYJ, Class B (b) | 245,608 | ||
15,589 | Stora Enso OYJ, Class R (b) | 183,398 | ||
7,487 | UPM-Kymmene OYJ (b) | 205,332 | ||
634,338 | ||||
France – 13.0% | ||||
887 | Air Liquide S.A. (b) | 112,697 | ||
2,031 | Arkema S.A. (b) | 169,046 | ||
302 | Christian Dior SE (b) | 117,509 | ||
2,183 | Danone S.A. (b) | 152,149 | ||
1,490 | Dassault Systemes SE (b) | 218,241 | ||
628 | Kering S.A. (b) | 319,467 | ||
1,464 | L’Oreal S.A. (b) | 425,645 | ||
719 | LVMH Moet Hennessy Louis Vuitton SE (b) | 277,960 | ||
19,799 | Orange S.A. (b) | 240,539 | ||
1,491 | Pernod Ricard S.A. (b) | 227,669 | ||
2,448 | Sanofi (b) | 239,105 | ||
1,042 | Sartorius Stedim Biotech (b) | 249,844 | ||
1,510 | Schneider Electric SE (b) | 139,543 | ||
2,079 | Sodexo S.A. (b) | 166,207 | ||
4,286 | TOTAL S.A. (b) | 152,120 | ||
2,107 | Ubisoft Entertainment S.A. (b) (c) | 156,723 | ||
7,723 | Veolia Environnement S.A. (b) | 164,643 | ||
1,037 | Vinci S.A. (b) | 84,953 | ||
3,614,060 | ||||
Germany – 8.9% | ||||
1,165 | adidas AG (b) | 266,706 | ||
748 | Allianz SE (b) | 137,656 | ||
1,958 | Bayer AG (b) | 128,776 |
Shares | Description | Value | ||
Germany (Continued) | ||||
5,930 | Deutsche Telekom AG (b) | $86,694 | ||
3,224 | HeidelbergCement AG (b) | 152,854 | ||
2,355 | Henkel AG & Co., KGaA (b) | 183,580 | ||
2,447 | Henkel AG & Co., KGaA (Preference Shares) (b) | 217,261 | ||
12,799 | Infineon Technologies AG (b) | 237,945 | ||
734 | MTU Aero Engines AG (b) | 99,953 | ||
2,137 | Nemetschek SE (b) | 134,449 | ||
2,163 | SAP SE (b) | 257,629 | ||
674 | Sartorius AG (Preference Shares) (b) | 189,355 | ||
1,112 | Siemens AG (b) | 102,619 | ||
5,460 | TAG Immobilien AG (b) | 119,594 | ||
1,054 | Volkswagen AG (b) | 155,828 | ||
2,470,899 | ||||
Israel – 0.6% | ||||
1,663 | Check Point Software Technologies Ltd. (c) | 175,846 | ||
Italy – 2.6% | ||||
94,788 | A2A S.p.A. (b) | 129,216 | ||
55,542 | Enel S.p.A. (b) | 379,377 | ||
22,297 | Eni S.p.A. (b) | 212,409 | ||
721,002 | ||||
Jersey – 3.4% | ||||
35,927 | boohoo Group PLC (b) (c) | 145,987 | ||
8,222 | Experian PLC (b) | 246,910 | ||
2,924 | Ferguson PLC (b) | 210,827 | ||
113,802 | Glencore PLC (b) | 213,201 | ||
71,411 | Man Group PLC (b) | 119,642 | ||
936,567 | ||||
Netherlands – 6.7% | ||||
1,021 | ASML Holding N.V. (b) | 298,219 | ||
3,161 | BE Semiconductor Industries N.V. (b) | 130,821 | ||
1,495 | Ferrari N.V. (b) | 233,662 | ||
11,207 | Koninklijke Ahold Delhaize N.V. (b) | 272,110 | ||
4,124 | Koninklijke Philips N.V. (b) | 179,775 | ||
3,085 | Randstad N.V. (b) | 124,158 | ||
8,220 | Unilever N.V. (b) | 409,350 | ||
3,088 | Wolters Kluwer N.V. | 227,133 | ||
1,875,228 | ||||
Norway – 0.5% | ||||
7,272 | Gjensidige Forsikring ASA (b) | 128,313 | ||
Spain – 3.6% | ||||
3,500 | Amadeus IT Group S.A. (b) | 167,064 | ||
11,614 | EDP Renovaveis S.A. (b) | 142,391 | ||
22,150 | Ence Energia y Celulosa S.A. (b) | 71,187 | ||
37,806 | Iberdrola S.A. (b) | 376,086 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Spain (Continued) | ||||
9,968 | Industria de Diseno Textil S.A. (b) | $255,304 | ||
1,012,032 | ||||
Sweden – 7.3% | ||||
7,472 | Atlas Copco AB, Class A (b) | 257,519 | ||
6,918 | Atlas Copco AB, Class B (b) | 213,987 | ||
4,558 | Beijer Ref AB (b) | 93,655 | ||
13,674 | Epiroc AB, Class A (b) | 136,844 | ||
10,914 | Hennes & Mauritz AB, Class B (b) | 149,190 | ||
5,623 | Industrivarden AB, Class A (b) | 115,396 | ||
3,160 | Investor AB, Class A (b) | 155,894 | ||
4,846 | Investor AB, Class B (b) | 240,838 | ||
7,284 | Kinnevik AB, Class B (b) | 149,708 | ||
24,410 | Skandinaviska Enskilda Banken AB, Class A (b) | 200,954 | ||
8,986 | Volvo AB, Class A (b) | 114,871 | ||
16,712 | Volvo AB, Class B (b) | 214,157 | ||
2,043,013 | ||||
Switzerland – 16.8% | ||||
5,607 | Coca-Cola HBC AG (b) | 142,074 | ||
444 | Geberit AG (b) | 198,558 | ||
5,246 | LafargeHolcim Ltd. (b) | 217,882 | ||
3,613 | Logitech International S.A. (b) | 174,014 | ||
11,863 | Nestle S.A. (b) | 1,256,411 | ||
8,964 | Novartis AG (b) | 764,974 | ||
255 | Partners Group Holding AG (b) | 200,950 | ||
3,022 | Roche Holding AG (b) | 1,046,511 | ||
530 | Roche Holding AG (b) | 184,072 | ||
84 | SGS S.A. (b) | 189,479 | ||
153 | Straumann Holding AG (b) | 116,407 | ||
1,376 | Temenos AG (b) | 178,304 | ||
4,669,636 | ||||
United Kingdom – 23.3% | ||||
14,698 | 3i Group PLC (b) | 144,391 | ||
23,832 | Ashmore Group PLC (b) | 113,627 | ||
7,747 | Ashtead Group PLC (b) | 211,611 | ||
3,119 | AstraZeneca PLC (b) | 326,223 | ||
18,042 | Barratt Developments PLC (b) | 117,622 | ||
2,902 | Bellway PLC (b) | 97,105 | ||
7,445 | Bovis Homes Group PLC (b) | 75,608 | ||
114,933 | BP PLC (b) | 452,884 | ||
5,550 | British American Tobacco PLC (b) | 213,921 | ||
120,466 | Cairn Energy PLC (b) (c) | 169,730 | ||
8,135 | Compass Group PLC (b) | 136,891 | ||
22,276 | Countryside Properties PLC (b) (d) (e) | 113,492 | ||
8,556 | Diageo PLC (b) | 294,582 | ||
9,872 | Dunelm Group PLC (b) | 114,059 | ||
28,569 | Evraz PLC (b) | 94,672 | ||
1,471 | Games Workshop Group PLC (b) | 111,332 | ||
24,734 | GlaxoSmithKline PLC (b) | 516,015 |
Shares | Description | Value | ||
United Kingdom (Continued) | ||||
8,304 | Hargreaves Lansdown PLC (b) | $150,257 | ||
5,709 | Hikma Pharmaceuticals PLC (b) | 170,037 | ||
47,556 | HSBC Holdings PLC (b) | 244,436 | ||
82,428 | Legal & General Group PLC (b) | 211,922 | ||
8,157 | Mondi PLC (b) | 144,047 | ||
31,103 | Pagegroup PLC (b) | 147,209 | ||
5,037 | Persimmon PLC (b) | 139,556 | ||
1,167 | Reckitt Benckiser Group PLC (b) | 97,211 | ||
13,170 | Redrow PLC (b) | 76,522 | ||
14,087 | RELX PLC (b) | 317,828 | ||
7,443 | Rio Tinto PLC (b) | 345,494 | ||
13,227 | Royal Dutch Shell PLC, Class A (b) | 217,773 | ||
10,713 | Royal Dutch Shell PLC, Class B (b) | 171,501 | ||
19,349 | Sage Group (The) PLC (b) | 155,614 | ||
12,213 | SSE PLC (b) | 191,566 | ||
43,200 | Taylor Wimpey PLC (b) | 79,784 | ||
6,302 | Unilever PLC (b) | 324,504 | ||
6,489,026 | ||||
Total Common Stocks | 27,198,454 | |||
(Cost $28,227,454) | ||||
REAL ESTATE INVESTMENT TRUSTS (a) – 0.9% | ||||
Belgium – 0.4% | ||||
4,139 | Warehouses De Pauw CVA (b) | 113,547 | ||
United Kingdom – 0.5% | ||||
14,453 | Segro PLC (b) | 151,490 | ||
Total Real Estate Investment Trusts | 265,037 | |||
(Cost $235,625) | ||||
Total Investments – 98.7% | 27,463,491 | |||
(Cost $28,463,079) (f) | ||||
Net Other Assets and Liabilities – 1.3% | 356,635 | |||
Net Assets – 100.0% | $27,820,126 |
(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 April 30, 2020, securities noted as such are valued at $27,060,512 or 97.3% 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 April 30, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,362,781 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,362,369. The net unrealized depreciation was $999,588. |
Total Value at 4/30/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
Israel | $ 175,846 | $ 175,846 | $ — | $ — |
Netherlands | 1,875,228 | 227,133 | 1,648,095 | — |
Other Country Categories* | 25,147,380 | — | 25,147,380 | — |
Real Estate Investment Trusts* | 265,037 | — | 265,037 | — |
Total Investments | $ 27,463,491 | $ 402,979 | $ 27,060,512 | $— |
* | See Portfolio of Investments for country breakout. |
Currency Exposure Diversification | % of Total Investments |
Euro | 40.7% |
British Pound Sterling | 28.1 |
Swiss Franc | 16.5 |
Swedish Krona | 7.4 |
Danish Krone | 5.6 |
United States Dollar | 0.6 |
Australian Dollar | 0.6 |
Norwegian Krone | 0.5 |
Total | 100.0% |
Shares | Description | Value | ||
COMMON STOCKS (a) – 97.3% | ||||
Bermuda – 2.5% | ||||
100,428 | China Gas Holdings Ltd. (b) | $365,431 | ||
713,691 | China Oriental Group Co., Ltd. (b) | 215,690 | ||
264,651 | Hopson Development Holdings Ltd. (b) | 296,420 | ||
241,976 | Nine Dragons Paper Holdings Ltd. (b) | 231,504 | ||
1,363,137 | Sihuan Pharmaceutical Holdings Group Ltd. (b) | 135,260 | ||
1,244,305 | ||||
Brazil – 7.0% | ||||
87,494 | Banco Bradesco S.A. (Preference Shares) | 308,117 | ||
35,059 | Banco do Brasil S.A. | 183,744 | ||
47,938 | Banco do Estado do Rio Grande do Sul S.A., Class B (Preference Shares) | 110,547 | ||
42,323 | Centrais Eletricas Brasileiras S.A. | 188,737 | ||
42,318 | Centrais Eletricas Brasileiras S.A., ADR | 188,738 | ||
30,169 | Centrais Eletricas Brasileiras S.A., ADR (Preference Shares) | 144,208 | ||
36,700 | Centrais Eletricas Brasileiras S.A., Class B (Preference Shares) | 187,890 | ||
24,820 | Cia de Saneamento Basico do Estado de Sao Paulo | 182,936 | ||
121,451 | Cia Siderurgica Nacional S.A., ADR | 194,322 | ||
54,728 | Itau Unibanco Holding S.A. (Preference Shares) | 229,161 | ||
74,436 | JBS S.A. | 326,331 | ||
28,001 | Magazine Luiza S.A. | 255,917 | ||
177,945 | Metalurgica Gerdau S.A. (Preference Shares) | 168,524 | ||
44,916 | Petrobras Distribuidora S.A. | 161,314 | ||
51,864 | Petroleo Brasileiro S.A. | 177,874 | ||
84,862 | Petroleo Brasileiro S.A. (Preference Shares) | 281,682 | ||
21,792 | Vale S.A. | 179,773 | ||
3,469,815 | ||||
Cayman Islands – 26.6% | ||||
6,016 | 58.com, Inc., ADR (c) | 312,531 | ||
18,440 | Alibaba Group Holding Ltd., ADR (c) | 3,737,235 | ||
2,475 | Autohome, Inc., ADR | 203,321 | ||
76,452 | China Conch Venture Holdings Ltd. (b) | 365,546 | ||
275,048 | China Resources Cement Holdings Ltd. (b) | 374,259 | ||
344,714 | China Yongda Automobiles Services Holdings Ltd. (b) | 347,519 |
Shares | Description | Value | ||
Cayman Islands (Continued) | ||||
541,819 | Dongyue Group Ltd. (b) | $240,018 | ||
213,524 | Geely Automobile Holdings Ltd. (b) | 332,141 | ||
27,142 | Hengan International Group Co., Ltd. (b) | 241,372 | ||
3,563 | JD.com, Inc., ADR (c) | 153,565 | ||
168,286 | Logan Property Holdings Co., Ltd. (b) | 265,284 | ||
10,294 | Momo, Inc., ADR | 247,880 | ||
1,544 | NetEase, Inc., ADR | 532,618 | ||
269,620 | Sino Biopharmaceutical Ltd. (b) | 392,998 | ||
79,620 | Sunac China Holdings Ltd. (b) | 356,161 | ||
65,482 | Tencent Holdings Ltd. (b) | 3,442,352 | ||
21,748 | Vipshop Holdings Ltd., ADR (c) | 346,446 | ||
9,341 | Weibo Corp., ADR (c) | 350,568 | ||
48,366 | Yihai International Holding Ltd. (b) | 385,423 | ||
576,355 | Yuzhou Properties Co., Ltd. (b) | 245,547 | ||
84,596 | Zhongsheng Group Holdings Ltd. (b) | 339,544 | ||
13,212,328 | ||||
Chile – 0.4% | ||||
22,947 | Cia Cervecerias Unidas S.A. | 164,908 | ||
China – 9.8% | ||||
37,096 | Anhui Conch Cement Co., Ltd., Class H (b) | 292,516 | ||
479,752 | Bank of China Ltd., Class H (b) | 182,643 | ||
433,239 | Bank of Communications Co., Ltd., Class H (b) | 274,546 | ||
1,000,242 | China Construction Bank Corp., Class H (b) | 802,858 | ||
653,440 | China Everbright Bank Co., Ltd., Class H (b) | 277,289 | ||
81,316 | China Life Insurance Co., Ltd., Class H (b) | 173,423 | ||
110,380 | China Merchants Bank Co., Ltd., Class H (b) | 522,353 | ||
46,504 | China Vanke Co., Ltd., Class H (b) | 156,287 | ||
175,006 | Guangzhou R&F Properties Co., Ltd., Class H (b) | 222,238 | ||
230,373 | Hisense Home Appliances Group Co., Ltd., Class H (b) | 222,839 | ||
415,751 | Industrial & Commercial Bank of China Ltd., Class H (b) | 278,765 | ||
64,405 | Ping An Insurance Group Co. of China Ltd., Class H (b) | 655,402 | ||
512,775 | Postal Savings Bank of China Co., Ltd., Class H (b) (d) (e) | 306,410 | ||
146,224 | Weichai Power Co., Ltd., Class H (b) | 256,917 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
China (Continued) | ||||
309,389 | Zoomlion Heavy Industry Science and Technology Co., Ltd., Class H (b) | $250,477 | ||
4,874,963 | ||||
Colombia – 0.9% | ||||
29,638 | Bancolombia S.A. (Preference Shares) | 193,743 | ||
491,105 | Ecopetrol S.A. | 259,260 | ||
453,003 | ||||
Egypt – 0.5% | ||||
60,762 | Commercial International Bank Egypt SAE (b) | 247,386 | ||
Hong Kong – 3.2% | ||||
50,251 | China Mobile Ltd. (b) | 403,971 | ||
2,052,503 | China South City Holdings Ltd. (b) | 197,040 | ||
411,325 | CNOOC Ltd. (b) | 454,770 | ||
699,073 | Sino-Ocean Group Holding Ltd. (b) | 182,070 | ||
169,338 | Sinotruk Hong Kong Ltd. (b) | 343,340 | ||
1,581,191 | ||||
India – 8.2% | ||||
42,581 | Berger Paints India Ltd. (b) | 286,339 | ||
147,907 | Coal India Ltd. (b) | 289,221 | ||
17,108 | Hindustan Unilever Ltd. (b) | 495,371 | ||
6,800 | Housing Development Finance Corp., Ltd. (b) | 172,005 | ||
7,432 | Info Edge India Ltd., ADR (b) | 249,598 | ||
66,811 | Infosys Ltd. (b) | 624,491 | ||
4,800 | Jubilant Foodworks Ltd. (b) | 102,973 | ||
182,774 | Power Finance Corp., Ltd. (b) | 230,761 | ||
10,992 | Reliance Industries Ltd. (b) | 213,718 | ||
19,295 | Tata Consultancy Services Ltd. (b) | 510,784 | ||
28,575 | Tech Mahindra Ltd. (b) | 205,514 | ||
18,101 | Titan Co., Ltd. (b) | 231,483 | ||
33,312 | UPL Ltd. (b) | 184,338 | ||
111,010 | Wipro Ltd. (b) | 281,838 | ||
4,078,434 | ||||
Indonesia – 3.3% | ||||
4,085,849 | Adaro Energy Tbk PT (b) | 250,384 | ||
725,211 | Bank Mandiri Persero Tbk PT (b) | 215,577 | ||
2,558,137 | Bank Permata Tbk PT (b) (c) | 211,393 | ||
1,523,677 | Bank Rakyat Indonesia Persero Tbk PT (b) | 277,138 | ||
3,235,930 | Media Nusantara Citra Tbk PT (b) | 197,341 | ||
347,429 | Pabrik Kertas Tjiwi Kimia Tbk PT (b) | 115,578 |
Shares | Description | Value | ||
Indonesia (Continued) | ||||
1,606,471 | Telekomunikasi Indonesia Persero Tbk PT (b) | $369,411 | ||
1,636,822 | ||||
Jersey – 0.5% | ||||
1,456,666 | West China Cement Ltd. (b) | 259,620 | ||
Malaysia – 1.6% | ||||
287,600 | AMMB Holdings Bhd (b) | 198,651 | ||
279,600 | Petronas Chemicals Group Bhd (b) | 361,925 | ||
124,500 | ViTrox Corp Bhd (b) | 239,850 | ||
800,426 | ||||
Mexico – 0.5% | ||||
175,850 | America Movil S.A.B. de C.V., Series L | 106,235 | ||
23,375 | Fomento Economico Mexicano S.A.B. de C.V. | 150,826 | ||
257,061 | ||||
Philippines – 0.8% | ||||
112,360 | International Container Terminal Services, Inc. (b) | 196,531 | ||
111,170 | San Miguel Corp. (b) | 213,408 | ||
409,939 | ||||
Poland – 1.1% | ||||
18,511 | Asseco Poland S.A. (b) | 299,135 | ||
14,481 | Grupa Lotos S.A. (b) | 219,753 | ||
518,888 | ||||
Russia – 1.5% | ||||
1,003 | Novatek PJSC, GDR (b) (d) | 140,653 | ||
17,436 | Novolipetsk Steel PJSC, GDR (b) (d) | 298,429 | ||
6,450 | Tatneft PJSC, ADR (b) | 287,339 | ||
726,421 | ||||
South Africa – 3.0% | ||||
3,342 | Capitec Bank Holdings Ltd. (b) | 162,919 | ||
16,379 | Kumba Iron Ore Ltd. (b) | 308,265 | ||
4,520 | Naspers Ltd., Class N (b) | 703,531 | ||
49,449 | Vodacom Group Ltd. (b) | 328,631 | ||
1,503,346 | ||||
South Korea – 7.7% | ||||
6,115 | Coway Co., Ltd. (b) | 309,919 | ||
6,318 | Fila Korea Ltd. (b) | 180,635 | ||
4,020 | Hotel Shilla Co., Ltd. (b) | 281,065 | ||
2,308 | Hyundai Mobis Co., Ltd. (b) | 326,305 | ||
1,479 | NAVER Corp. (b) | 239,791 | ||
50,949 | Samsung Electronics Co., Ltd. (b) | 2,094,899 | ||
9,586 | Shinhan Financial Group Co., Ltd. (b) | 243,030 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
South Korea (Continued) | ||||
1,688 | SK Hynix, Inc. (b) | $116,164 | ||
3,791,808 | ||||
Taiwan – 13.1% | ||||
506,563 | CTBC Financial Holding Co., Ltd. (b) | 337,570 | ||
75,023 | Hon Hai Precision Industry Co., Ltd. (b) | 192,807 | ||
53,855 | Novatek Microelectronics Corp. (b) | 334,922 | ||
40,194 | President Chain Store Corp. (b) | 415,635 | ||
42,884 | Realtek Semiconductor Corp. (b) | 367,230 | ||
199,803 | Ruentex Development Co., Ltd. (b) | 297,369 | ||
663,237 | Shinkong Synthetic Fibers Corp. (b) | 243,539 | ||
24,579 | Simplo Technology Co., Ltd. (b) | 255,267 | ||
160,900 | Standard Foods Corp. (b) | 362,644 | ||
218,267 | Taiwan High Speed Rail Corp. (b) | 249,284 | ||
283,740 | Taiwan Semiconductor Manufacturing Co., Ltd. (b) | 2,862,312 | ||
37,322 | Walsin Technology Corp. (b) | 264,321 | ||
557,167 | Yuanta Financial Holding Co., Ltd. (b) | 317,574 | ||
6,500,474 | ||||
Thailand – 1.9% | ||||
62,500 | CP ALL PCL | 136,620 | ||
127,700 | PTT Exploration & Production PCL | 329,622 | ||
430,600 | PTT PCL | 470,156 | ||
936,398 | ||||
Turkey – 3.2% | ||||
181,486 | Eregli Demir ve Celik Fabrikalari T.A.S. (b) | 209,235 | ||
70,960 | TAV Havalimanlari Holding A.S. (b) | 184,842 | ||
202,401 | Turkiye Garanti Bankasi A.S. (c) | 241,508 | ||
357,986 | Turkiye Is Bankasi A.S., Class C (b) (c) | 254,119 | ||
393,922 | Turkiye Sise ve Cam Fabrikalari A.S. | 273,342 | ||
359,270 | Turkiye Vakiflar Bankasi TAO, Class D (b) (c) | 233,044 | ||
638,672 | Yapi ve Kredi Bankasi A.S. (b) (c) | 192,276 | ||
1,588,366 | ||||
Total Common Stocks | 48,255,902 | |||
(Cost $51,207,508) |
Shares | Description | Value | ||
EXCHANGE-TRADED FUNDS (a) – 1.7% | ||||
United States – 1.7% | ||||
19,612 | iShares Core MSCI Emerging Markets ETF | $856,260 | ||
(Cost $846,812) | ||||
Total Investments – 99.0% | 49,112,162 | |||
(Cost $52,054,320) (f) | ||||
Net Other Assets and Liabilities – 1.0% | 507,409 | |||
Net Assets – 100.0% | $49,619,571 |
(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 April 30, 2020, securities noted as such are valued at $36,575,703 or 73.7% 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 April 30, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $5,030,726 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $7,972,884. The net unrealized depreciation was $2,942,158. |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
Total Value at 4/30/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
Brazil | $ 3,469,815 | $ 3,469,815 | $ — | $ — |
Cayman Islands | 13,212,328 | 5,884,164 | 7,328,164 | — |
Chile | 164,908 | 164,908 | — | — |
Colombia | 453,003 | 453,003 | — | — |
Mexico | 257,061 | 257,061 | — | — |
Thailand | 936,398 | 936,398 | — | — |
Turkey | 1,588,366 | 514,850 | 1,073,516 | — |
Other Country Categories* | 28,174,023 | — | 28,174,023 | — |
Exchange-Traded Funds* | 856,260 | 856,260 | — | — |
Total Investments | $ 49,112,162 | $ 12,536,459 | $ 36,575,703 | $— |
* | See Portfolio of Investments for country breakout. |
Currency Exposure Diversification | % of Total Investments |
Hong Kong Dollar | 31.1% |
United States Dollar | 16.3 |
New Taiwan Dollar | 13.3 |
Indian Rupee | 8.3 |
South Korean Won | 7.7 |
Brazilian Real | 6.0 |
Indonesian Rupiah | 3.3 |
Turkish Lira | 3.2 |
South African Rand | 3.1 |
Thai Baht | 1.9 |
Malaysian Ringgit | 1.6 |
Polish Zloty | 1.1 |
Colombian Peso | 0.9 |
Philippine Peso | 0.8 |
Mexican Peso | 0.5 |
Egyptian Pound | 0.5 |
Chilean Peso | 0.4 |
Total | 100.0% |
First Trust RiverFront Dynamic Asia Pacific ETF (RFAP) | First Trust RiverFront Dynamic Developed International ETF (RFDI) | First Trust RiverFront Dynamic Europe ETF (RFEU) | First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) | ||||
ASSETS: | |||||||
Investments, at value | $ 10,943,810 | $ 147,284,704 | $ 27,463,491 | $ 49,112,162 | |||
Cash | 58,749 | 901,990 | 36,482 | 448,589 | |||
Foreign currency | — | 87,762 | 25,959 | 557 | |||
Receivables: | |||||||
Dividends | 107,907 | 574,348 | 48,672 | 54,670 | |||
Dividend reclaims | 227 | 713,889 | 263,575 | 6,021 | |||
Prepaid expenses | — | — | — | 34,717 | |||
Total Assets | 11,110,693 | 149,562,693 | 27,838,179 | 49,656,716 | |||
LIABILITIES: | |||||||
Payables: | |||||||
Investment advisory fees | 7,858 | 95,331 | 18,053 | 37,145 | |||
Investment securities purchased | — | 47,821 | — | — | |||
Total Liabilities | 7,858 | 143,152 | 18,053 | 37,145 | |||
NET ASSETS | $11,102,835 | $149,419,541 | $27,820,126 | $49,619,571 | |||
NET ASSETS consist of: | |||||||
Paid-in capital | $ 22,759,787 | $ 241,566,457 | $ 43,898,750 | $ 76,847,295 | |||
Par value | 2,500 | 30,500 | 5,500 | 9,500 | |||
Accumulated distributable earnings (loss) | (11,659,452) | (92,177,416) | (16,084,124) | (27,237,224) | |||
NET ASSETS | $11,102,835 | $149,419,541 | $27,820,126 | $49,619,571 | |||
NET ASSET VALUE, per share | $44.41 | $48.99 | $50.58 | $52.23 | |||
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 250,002 | 3,050,002 | 550,002 | 950,002 | |||
Investments, at cost | $11,793,555 | $159,118,902 | $28,463,079 | $52,054,320 | |||
Foreign currency, at cost (proceeds) | $— | $87,116 | $25,770 | $557 |
First Trust RiverFront Dynamic Asia Pacific ETF (RFAP) | First Trust RiverFront Dynamic Developed International ETF (RFDI) | First Trust RiverFront Dynamic Europe ETF (RFEU) | First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) | |||||
INVESTMENT INCOME: | ||||||||
Dividends | $ 232,558 | $ 2,511,803 | $ 423,831 | $ 707,047 | ||||
Interest | 152 | 1,354 | 187 | 1,302 | ||||
Foreign withholding tax | (13,304) | (201,612) | (39,851) | (89,928) | ||||
Other | — | 121 | 94 | 43 | ||||
Total investment income | 219,406 | 2,311,666 | 384,261 | 618,464 | ||||
EXPENSES: | ||||||||
Investment advisory fees | 80,394 | 855,266 | 138,423 | 308,062 | ||||
Total expenses | 80,394 | 855,266 | 138,423 | 308,062 | ||||
NET INVESTMENT INCOME (LOSS) | 139,012 | 1,456,400 | 245,838 | 310,402 | ||||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | (1,848,012) | (19,702,147) | (4,307,709) | (4,395,733) | ||||
In-kind redemptions | (680,274) | (2,906,328) | 229,324 | (164,329) | ||||
Foreign currency transactions | (12,613) | 724 | 5,031 | (66,049) | ||||
Net realized gain (loss) | (2,540,899) | (22,607,751) | (4,073,354) | (4,626,111) | ||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments | (472,022) | (10,676,707) | (630,416) | (3,572,036) | ||||
Foreign currency translation | 702 | 7,184 | 2,150 | (7,662) | ||||
Deferred foreign capital gains tax | — | — | — | (4,790) | ||||
Net change in unrealized appreciation (depreciation) | (471,320) | (10,669,523) | (628,266) | (3,584,488) | ||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (3,012,219) | (33,277,274) | (4,701,620) | (8,210,599) | ||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(2,873,207) | $(31,820,874) | $(4,455,782) | $(7,900,197) |
First Trust RiverFront Dynamic Asia Pacific ETF (RFAP) | First Trust RiverFront Dynamic Developed International ETF (RFDI) | ||||||
Six Months Ended 4/30/2020 (Unaudited) | Year Ended 10/31/2019 | Six Months Ended 4/30/2020 (Unaudited) | Year Ended 10/31/2019 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 139,012 | $ 756,717 | $ 1,456,400 | $ 8,380,686 | |||
Net realized gain (loss) | (2,540,899) | (5,207,135) | (22,607,751) | (50,398,436) | |||
Net change in unrealized appreciation (depreciation) | (471,320) | 5,278,606 | (10,669,523) | 51,030,024 | |||
Net increase (decrease) in net assets resulting from operations | (2,873,207) | 828,188 | (31,820,874) | 9,012,274 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (275,161) | (914,283) | (2,050,156) | (8,768,563) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | — | — | 7,192,992 | — | |||
Cost of shares redeemed | (11,952,803) | (17,746,758) | (69,135,945) | (254,736,487) | |||
Net increase (decrease) in net assets resulting from shareholder transactions | (11,952,803) | (17,746,758) | (61,942,953) | (254,736,487) | |||
Total increase (decrease) in net assets | (15,101,171) | (17,832,853) | (95,813,983) | (254,492,776) | |||
NET ASSETS: | |||||||
Beginning of period | 26,204,006 | 44,036,859 | 245,233,524 | 499,726,300 | |||
End of period | $ 11,102,835 | $ 26,204,006 | $ 149,419,541 | $ 245,233,524 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 500,002 | 850,002 | 4,250,002 | 8,950,002 | |||
Shares sold | — | — | 150,000 | — | |||
Shares redeemed | (250,000) | (350,000) | (1,350,000) | (4,700,000) | |||
Shares outstanding, end of period | 250,002 | 500,002 | 3,050,002 | 4,250,002 |
First Trust RiverFront Dynamic Europe ETF (RFEU) | First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) | |||||
Six Months Ended 4/30/2020 (Unaudited) | Year Ended 10/31/2019 | Six Months Ended 4/30/2020 (Unaudited) | Year Ended 10/31/2019 | |||
$ 245,838 | $ 1,732,321 | $ 310,402 | $ 2,600,303 | |||
(4,073,354) | (7,778,919) | (4,626,111) | (8,404,037) | |||
(628,266) | 8,680,971 | (3,584,488) | 14,093,905 | |||
(4,455,782) | 2,634,373 | (7,900,197) | 8,290,171 | |||
(281,661) | (1,694,053) | (1,612,683) | (2,069,623) | |||
— | 8,249,517 | — | 9,346,520 | |||
(6,108,689) | (59,229,655) | (13,784,797) | (44,161,386) | |||
(6,108,689) | (50,980,138) | (13,784,797) | (34,814,866) | |||
(10,846,132) | (50,039,818) | (23,297,677) | (28,594,318) | |||
38,666,258 | 88,706,076 | 72,917,248 | 101,511,553 | |||
$27,820,126 | $ 38,666,258 | $ 49,619,571 | $ 72,917,248 | |||
650,002 | 1,550,002 | 1,200,002 | 1,800,002 | |||
— | 150,000 | — | 150,000 | |||
(100,000) | (1,050,000) | (250,000) | (750,000) | |||
550,002 | 650,002 | 950,002 | 1,200,002 |
Six Months Ended 4/30/2020 (Unaudited) | Year Ended October 31, | Period Ended 10/31/2016 (a) | |||||||
2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 52.41 | $ 51.81 | $ 59.82 | $ 52.14 | $ 51.31 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.49 | 1.22 | 1.27 | 1.42 | 0.55 | ||||
Net realized and unrealized gain (loss) | (7.80) | 0.65 | (7.99) | 7.66 | 0.60 | ||||
Total from investment operations | (7.31) | 1.87 | (6.72) | 9.08 | 1.15 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.69) | (1.27) | (1.29) | (1.40) | (0.32) | ||||
Net asset value, end of period | $44.41 | $52.41 | $51.81 | $59.82 | $52.14 | ||||
Total return (b) | (14.18)% | 3.74% | (11.48)% | 17.77% (c) | 2.26% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 11,103 | $ 26,204 | $ 44,037 | $ 29,911 | $ 26,071 | ||||
Ratio of total expenses to average net assets | 0.83% (d) | 0.83% | 0.83% | 0.83% | 0.83% (d) | ||||
Ratio of net investment income (loss) to average net assets | 1.44% (d) | 2.11% | 2.28% | 1.93% | 1.96% (d) | ||||
Portfolio turnover rate (e) | 16% | 96% | 136% | 131% | 49% |
(a) | Inception date is April 13, 2016, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | The Fund received a reimbursement from the advisor in connection with a trade error in the amount of $7,644, which represents $0.02 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Six Months Ended 4/30/2020 (Unaudited) | Year Ended October 31, | Period Ended 10/31/2016 (a) | |||||||
2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 57.70 | $ 55.84 | $ 63.96 | $ 51.36 | $ 50.73 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.43 | 1.54 | 1.34 | 0.82 | 0.83 | ||||
Net realized and unrealized gain (loss) | (8.60) | 1.81 | (8.00) | 12.73 | 0.50 | ||||
Total from investment operations | (8.17) | 3.35 | (6.66) | 13.55 | 1.33 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.54) | (1.49) | (1.44) | (0.71) | (0.70) | ||||
Net realized gain | — | — | (0.02) | (0.24) | — | ||||
Total distributions | (0.54) | (1.49) | (1.46) | (0.95) | (0.70) | ||||
Net asset value, end of period | $48.99 | $57.70 | $55.84 | $63.96 | $51.36 | ||||
Total return (b) | (14.26)% | 6.12% | (10.65)% | 26.60% (c) | 2.68% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 149,420 | $ 245,234 | $ 499,726 | $ 444,522 | $ 25,679 | ||||
Ratio of total expenses to average net assets | 0.83% (d) | 0.83% | 0.83% | 0.83% | 0.83% (d) | ||||
Ratio of net investment income (loss) to average net assets | 1.41% (d) | 2.51% | 2.28% | 1.86% | 2.97% (d) | ||||
Portfolio turnover rate (e) | 17% | 87% | 133% | 106% | 44% |
(a) | Inception date is April 13, 2016, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | The Fund received a reimbursement from the advisor in the amount of $35,978, which represents less than $0.01 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Six Months Ended 4/30/2020 (Unaudited) | Year Ended October 31, | Period Ended 10/31/2016 (a) | |||||||
2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 59.49 | $ 57.23 | $ 65.25 | $ 51.17 | $ 50.67 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.44 | 1.78 | 1.48 | 0.82 | 0.91 | ||||
Net realized and unrealized gain (loss) | (8.86) | 2.20 | (7.97) | 14.86 | 0.41 | ||||
Total from investment operations | (8.42) | 3.98 | (6.49) | 15.68 | 1.32 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.49) | (1.72) | (1.53) | (0.79) | (0.82) | ||||
Net realized gain | — | — | — | (0.81) | — | ||||
Total distributions | (0.49) | (1.72) | (1.53) | (1.60) | (0.82) | ||||
Net asset value, end of period | $50.58 | $59.49 | $57.23 | $65.25 | $51.17 | ||||
Total return (b) | (14.23)% | 7.01% | (10.16)% | 31.21% | 2.66% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 27,820 | $ 38,666 | $ 88,706 | $ 123,980 | $ 25,585 | ||||
Ratio of total expenses to average net assets | 0.83% (c) | 0.83% | 0.83% | 0.83% | 0.83% (c) | ||||
Ratio of net investment income (loss) to average net assets | 1.47% (c) | 2.77% | 2.45% | 1.71% | 3.23% (c) | ||||
Portfolio turnover rate (d) | 22% | 81% | 130% | 110% | 41% |
(a) | Inception date is April 13, 2016, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Six Months Ended 4/30/2020 (Unaudited) | Year Ended October 31, | Period Ended 10/31/2016 (a) | |||||||
2019 | 2018 | 2017 | |||||||
Net asset value, beginning of period | $ 60.76 | $ 56.40 | $ 68.64 | $ 56.27 | $ 49.61 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.13 | 1.79 | 1.20 | 0.71 | 0.55 | ||||
Net realized and unrealized gain (loss) | (7.32) | 3.94 | (11.87) | 13.70 | 6.66 | ||||
Total from investment operations | (7.19) | 5.73 | (10.67) | 14.41 | 7.21 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.34) | (1.37) | (1.18) | (0.77) | (0.55) | ||||
Net realized gain | — | — | (0.30) | (1.27) | — | ||||
Return of capital | — | — | (0.09) | — | — | ||||
Total distributions | (1.34) | (1.37) | (1.57) | (2.04) | (0.55) | ||||
Net asset value, end of period | $52.23 | $60.76 | $56.40 | $68.64 | $56.27 | ||||
Total return (b) | (12.39)% | 10.32% | (15.92)% | 26.49% | 14.52% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 49,620 | $ 72,917 | $ 101,512 | $ 75,506 | $ 5,628 | ||||
Ratio of total expenses to average net assets | 0.95% (c) | 0.95% | 0.95% | 0.95% | 0.95% (c) | ||||
Ratio of net investment income (loss) to average net assets | 0.96% (c) | 2.60% | 1.90% | 1.56% | 2.66% (c) | ||||
Portfolio turnover rate (d) | 25% | 116% | 126% | 87% | 81% |
(a) | Inception date is June 14, 2016, which is consistent with the commencement of operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
1) | the value of similar foreign securities traded on other foreign markets; |
2) | ADR trading of similar securities; |
3) | closed-end fund or exchange-traded fund trading of similar securities; |
4) | foreign currency exchange activity; |
5) | the trading prices of financial products that are tied to baskets of foreign securities; |
6) | factors relating to the event that precipitated the pricing problem; |
7) | whether the event is likely to recur; and |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |||
First Trust RiverFront Dynamic Asia Pacific ETF | $ 914,283 | $ — | $ — | ||
First Trust RiverFront Dynamic Developed International ETF | 8,768,563 | — | — | ||
First Trust RiverFront Dynamic Europe ETF | 1,694,053 | — | — | ||
First Trust RiverFront Dynamic Emerging Markets ETF | 2,069,623 | — | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust RiverFront Dynamic Asia Pacific ETF | $ 210,440 | $ (8,265,872) | $ (455,652) | ||
First Trust RiverFront Dynamic Developed International ETF | 1,289,366 | (57,671,472) | (1,924,280) | ||
First Trust RiverFront Dynamic Europe ETF | 131,313 | (11,023,420) | (454,574) | ||
First Trust RiverFront Dynamic Emerging Markets ETF | 1,260,997 | (18,808,724) | (176,617) |
Capital Loss Available | |
First Trust RiverFront Dynamic Asia Pacific ETF | $ 8,265,872 |
First Trust RiverFront Dynamic Developed International ETF | 57,671,472 |
First Trust RiverFront Dynamic Europe ETF | 11,023,420 |
First Trust RiverFront Dynamic Emerging Markets ETF | 18,808,724 |
Purchases | Sales | ||
First Trust RiverFront Dynamic Asia Pacific ETF | $ 3,031,455 | $ 3,747,533 | |
First Trust RiverFront Dynamic Developed International ETF | 35,747,286 | 36,041,004 | |
First Trust RiverFront Dynamic Europe ETF | 7,541,476 | 7,315,612 | |
First Trust RiverFront Dynamic Emerging Markets ETF | 16,141,165 | 23,509,663 | |
Purchases | Sales | ||
First Trust RiverFront Dynamic Asia Pacific ETF | $ — | $ 11,354,758 | |
First Trust RiverFront Dynamic Developed International ETF | 6,777,932 | 68,362,378 | |
First Trust RiverFront Dynamic Europe ETF | — | 6,061,051 | |
First Trust RiverFront Dynamic Emerging Markets ETF | — | 7,654,288 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Six Months Ended
April 30, 2020
1 | |
2 | |
5 | |
6 | |
7 | |
11 | |
12 | |
13 | |
14 | |
15 | |
21 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 4/30/20 | 1 Year Ended 4/30/20 | Inception (8/22/17) to 4/30/20 | Inception (8/22/17) to 4/30/20 | |
Fund Performance | ||||
NAV | -6.79% | -1.05% | 1.35% | 3.68% |
Market Price | -6.98% | -1.12% | 1.34% | 3.65% |
Index Performance | ||||
ICE BofA US Investment Grade Institutional Capital Securities Index | -2.35% | 4.69% | 3.73% | 10.34% |
Sector Allocation | % of Total Investments |
Financials | 74.5% |
Utilities | 10.7 |
Energy | 6.4 |
Industrials | 2.4 |
Communication Services | 2.4 |
Consumer Staples | 2.1 |
Materials | 1.5 |
Total | 100.0% |
Credit Quality(1) | % of Total Investments |
A- | 1.4% |
BBB+ | 11.1 |
BBB | 30.5 |
BBB- | 28.9 |
BB+ | 20.9 |
BB | 4.5 |
BB- | 2.6 |
B+ | 0.1 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Emera, Inc., Series 16-A | 4.4% |
Barclays PLC | 2.9 |
Enel S.p.A. | 2.4 |
AXIS Specialty Finance LLC | 2.2 |
Lloyds Banking Group PLC | 2.1 |
Enbridge, Inc., Series 16-A | 2.1 |
Australia & New Zealand Banking Group Ltd. | 2.0 |
JPMorgan Chase & Co., Series V | 2.0 |
CenterPoint Energy, Inc., Series A | 1.8 |
Barclays PLC | 1.7 |
Total | 23.6% |
Country Allocation | % of Total Investments |
United States | 35.7% |
United Kingdom | 12.7 |
Canada | 8.5 |
France | 8.4 |
Switzerland | 8.0 |
Australia | 6.1 |
Netherlands | 5.6 |
Japan | 4.7 |
Italy | 4.5 |
Spain | 1.9 |
Mexico | 1.1 |
Finland | 0.9 |
Chile | 0.5 |
Sweden | 0.5 |
Denmark | 0.5 |
Jersey | 0.4 |
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% |
8/23/17 – 10/31/17 | 44 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 156 | 2 | 0 | 0 |
11/1/18 – 10/31/19 | 220 | 5 | 3 | 0 |
11/1/19 – 4/30/20 | 88 | 6 | 4 | 3 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
8/23/17 – 10/31/17 | 5 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 90 | 4 | 0 | 0 |
11/1/18 – 10/31/19 | 22 | 1 | 0 | 0 |
11/1/19 – 4/30/20 | 14 | 5 | 0 | 4 |
Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Institutional Preferred Securities and Income ETF (FPEI) | ||||
Actual | $1,000.00 | $932.10 | 0.85% | $4.08 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.64 | 0.85% | $4.27 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (November 1, 2019 through April 30, 2020), multiplied by 182/366 (to reflect the six-month period). |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES – 95.2% | ||||||||
Banks – 41.7% | ||||||||
$4,950,000 | Australia & New Zealand Banking Group Ltd. (a) (b) (c) | 6.75% | (d) | $5,313,008 | ||||
1,145,000 | Australia & New Zealand Banking Group Ltd. (b) (c) (e) | 6.75% | (d) | 1,228,969 | ||||
2,200,000 | Banco Bilbao Vizcaya Argentaria S.A., Series 9 (b) (c) | 6.50% | (d) | 2,000,779 | ||||
2,200,000 | Banco Mercantil del Norte S.A. (a) (b) (c) | 6.75% | (d) | 1,754,610 | ||||
400,000 | Banco Mercantil del Norte S.A. (a) (b) (c) | 7.50% | (d) | 329,340 | ||||
3,000,000 | Banco Santander S.A. (b) (c) (e) | 7.50% | (d) | 2,938,683 | ||||
1,300,000 | Bank of America Corp., Series JJ (c) | 5.13% | (d) | 1,278,154 | ||||
2,400,000 | Bank of America Corp., Series X (c) | 6.25% | (d) | 2,502,948 | ||||
4,350,000 | Barclays PLC (b) (c) (e) | 7.88% | (d) | 4,324,444 | ||||
7,500,000 | Barclays PLC (b) (c) | 8.00% | (d) | 7,486,462 | ||||
900,000 | BBVA Bancomer S.A. (a) (b) (c) | 5.88% | 09/13/34 | 792,315 | ||||
2,300,000 | BNP Paribas S.A. (a) (b) (c) | 6.63% | (d) | 2,294,250 | ||||
4,000,000 | BNP Paribas S.A. (a) (b) (c) | 7.38% | (d) | 4,157,780 | ||||
781,000 | BNP Paribas S.A. (a) (b) (c) | 7.63% | (d) | 795,156 | ||||
1,416,000 | Citigroup, Inc. (c) | 5.90% | (d) | 1,431,930 | ||||
250,000 | Citigroup, Inc. (c) | 5.95% | (d) | 248,833 | ||||
3,314,000 | Citigroup, Inc., Series P (c) | 5.95% | (d) | 3,341,523 | ||||
1,470,000 | Citigroup, Inc., Series R (c) | 6.13% | (d) | 1,427,002 | ||||
3,750,000 | Citigroup, Inc., Series U (c) | 5.00% | (d) | 3,412,500 | ||||
1,900,000 | Citizens Financial Group, Inc., Series A, 3 Mo. LIBOR + 3.96% (f) | 5.33% | (d) | 1,605,889 | ||||
2,789,000 | Citizens Financial Group, Inc., Series B (c) | 6.00% | (d) | 2,386,533 | ||||
1,358,000 | CoBank ACB, Series I (c) | 6.25% | (d) | 1,378,370 | ||||
2,806,000 | Credit Agricole S.A. (a) (b) (c) | 6.88% | (d) | 2,800,935 | ||||
1,600,000 | Credit Agricole S.A. (a) (b) (c) | 7.88% | (d) | 1,707,856 | ||||
1,000,000 | Credit Agricole S.A. (b) (c) (e) | 7.88% | (d) | 1,067,410 | ||||
2,400,000 | Credit Agricole S.A. (a) (b) (c) | 8.13% | (d) | 2,677,500 | ||||
550,000 | Danske Bank A.S. (b) (c) (e) | 6.13% | (d) | 523,298 | ||||
650,000 | Danske Bank A.S. (b) (c) (e) | 7.00% | (d) | 638,625 | ||||
800,000 | Farm Credit Bank of Texas, Series 3 (a) (c) | 6.20% | (d) | 725,652 | ||||
2,270,000 | HSBC Holdings PLC (b) (c) | 6.38% | (d) | 2,255,960 | ||||
870,000 | ING Groep N.V. (b) (c) | 5.75% | (d) | 838,101 | ||||
1,400,000 | ING Groep N.V. (b) (c) | 6.50% | (d) | 1,393,350 | ||||
3,100,000 | ING Groep N.V. (b) (c) (e) | 6.88% | (d) | 3,111,715 | ||||
1,970,000 | Intesa Sanpaolo S.p.A. (a) (b) (c) | 7.70% | (d) | 1,833,469 | ||||
1,800,000 | JPMorgan Chase & Co., Series FF (c) | 5.00% | (d) | 1,675,251 | ||||
200,000 | JPMorgan Chase & Co., Series I, 3 Mo. LIBOR + 3.47% (f) | 4.23% | (d) | 183,349 | ||||
1,100,000 | JPMorgan Chase & Co., Series R (c) | 6.00% | (d) | 1,111,765 | ||||
5,940,000 | JPMorgan Chase & Co., Series V, 3 Mo. LIBOR + 3.32% (f) | 4.75% | (d) | 5,193,015 | ||||
1,000,000 | Lloyds Bank PLC (a) (c) | 12.00% | (d) | 1,129,542 | ||||
900,000 | Lloyds Bank PLC (c) (e) | 12.00% | (d) | 1,016,588 | ||||
1,350,000 | Lloyds Banking Group PLC (b) (c) | 6.75% | (d) | 1,303,877 | ||||
5,638,000 | Lloyds Banking Group PLC (b) (c) | 7.50% | (d) | 5,550,329 | ||||
1,100,000 | Lloyds Banking Group PLC (b) (c) | 7.50% | (d) | 1,089,765 | ||||
2,000,000 | M&T Bank Corp., Series G (c) | 5.00% | (d) | 1,955,000 | ||||
2,425,000 | Nordea Bank Abp (a) (b) (c) | 6.63% | (d) | 2,442,181 | ||||
1,880,000 | Royal Bank of Scotland Group PLC (b) (c) | 7.50% | (d) | 1,802,600 | ||||
2,050,000 | Royal Bank of Scotland Group PLC (b) (c) | 8.00% | (d) | 2,141,635 | ||||
3,600,000 | Royal Bank of Scotland Group PLC (b) (c) | 8.63% | (d) | 3,688,020 | ||||
200,000 | Skandinaviska Enskilda Banken AB (b) (c) (e) | 5.63% | (d) | 199,225 | ||||
2,866,000 | Societe Generale S.A. (a) (b) (c) | 7.38% | (d) | 2,812,262 | ||||
500,000 | Societe Generale S.A. (b) (c) (e) | 7.38% | (d) | 490,625 | ||||
1,621,000 | Societe Generale S.A. (a) (b) (c) | 7.88% | (d) | 1,590,712 | ||||
400,000 | Societe Generale S.A. (b) (c) (e) | 7.88% | (d) | 392,526 | ||||
1,000,000 | Standard Chartered PLC (a) (b) (c) | 7.75% | (d) | 1,012,990 | ||||
1,000,000 | Swedbank AB (b) (c) (e) | 6.00% | (d) | 983,114 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Banks (Continued) | ||||||||
$3,850,000 | UniCredit S.p.A. (b) (c) (e) | 8.00% | (d) | $3,512,390 | ||||
113,280,110 | ||||||||
Capital Markets – 13.6% | ||||||||
4,520,000 | Apollo Management Holdings L.P. (a) (c) | 4.95% | 01/14/50 | 4,066,908 | ||||
3,000,000 | Charles Schwab (The) Corp., Series G (c) | 5.38% | (d) | 3,078,750 | ||||
3,300,000 | Credit Suisse Group AG (a) (b) (c) | 6.38% | (d) | 3,253,255 | ||||
250,000 | Credit Suisse Group AG (a) (b) (c) | 7.25% | (d) | 249,549 | ||||
2,514,000 | Credit Suisse Group AG (a) (b) (c) | 7.50% | (d) | 2,667,982 | ||||
2,300,000 | Credit Suisse Group AG (b) (c) (e) | 7.50% | (d) | 2,440,875 | ||||
4,150,000 | Credit Suisse Group AG (a) (b) (c) | 7.50% | (d) | 4,188,616 | ||||
2,204,000 | E*TRADE Financial Corp., Series A (c) | 5.88% | (d) | 2,267,034 | ||||
2,100,000 | Goldman Sachs Group (The), Inc., Series M (c) | 5.38% | (d) | 1,955,699 | ||||
4,200,000 | Goldman Sachs Group (The), Inc., Series Q (c) | 5.50% | (d) | 4,271,169 | ||||
200,000 | Goldman Sachs Group (The), Inc., Series R (c) | 4.95% | (d) | 185,139 | ||||
368,000 | Morgan Stanley, Series J (c) | 5.55% | (d) | 338,645 | ||||
2,500,000 | UBS Group AG (b) (c) (e) | 6.88% | (d) | 2,518,688 | ||||
2,500,000 | UBS Group AG (b) (c) (e) | 6.88% | (d) | 2,597,998 | ||||
1,425,000 | UBS Group AG (a) (b) (c) | 7.00% | (d) | 1,458,053 | ||||
1,000,000 | UBS Group AG (b) (c) (e) | 7.00% | (d) | 1,023,195 | ||||
313,000 | UBS Group Funding Switzerland AG (b) (c) (e) | 7.13% | (d) | 316,834 | ||||
36,878,389 | ||||||||
Consumer Finance – 0.5% | ||||||||
1,495,000 | American Express Co., Series C, 3 Mo. LIBOR + 3.29% (f) | 4.03% | (d) | 1,282,366 | ||||
Diversified Financial Services – 1.4% | ||||||||
4,050,000 | Voya Financial, Inc. (c) | 5.65% | 05/15/53 | 3,976,067 | ||||
Diversified Telecommunication Services – 2.3% | ||||||||
3,700,000 | Koninklijke KPN N.V. (a) (c) | 7.00% | 03/28/73 | 3,835,956 | ||||
2,326,000 | Koninklijke KPN N.V. (c) (e) | 7.00% | 03/28/73 | 2,411,469 | ||||
6,247,425 | ||||||||
Electric Utilities – 7.5% | ||||||||
2,290,000 | Duke Energy Corp. (c) | 4.88% | (d) | 2,268,692 | ||||
10,842,000 | Emera, Inc., Series 16-A (c) | 6.75% | 06/15/76 | 11,478,967 | ||||
5,500,000 | Enel S.p.A. (a) (c) | 8.75% | 09/24/73 | 6,236,230 | ||||
400,000 | PPL Capital Funding, Inc., Series A, 3 Mo. LIBOR + 2.67% (f) | 4.04% | 03/30/67 | 305,275 | ||||
20,289,164 | ||||||||
Energy Equipment & Services – 1.5% | ||||||||
400,000 | Transcanada Trust (c) | 5.63% | 05/20/75 | 364,698 | ||||
2,000,000 | Transcanada Trust (c) | 5.50% | 09/15/79 | 1,883,490 | ||||
2,050,000 | Transcanada Trust, Series 16-A (c) | 5.88% | 08/15/76 | 1,944,097 | ||||
4,192,285 | ||||||||
Food Products – 2.0% | ||||||||
1,000,000 | Land O’Lakes Capital Trust I (g) | 7.45% | 03/15/28 | 1,035,000 | ||||
2,700,000 | Land O’Lakes, Inc. (a) | 7.00% | (d) | 2,429,190 | ||||
1,490,000 | Land O’Lakes, Inc. (a) | 7.25% | (d) | 1,417,139 | ||||
535,000 | Land O’Lakes, Inc. (a) | 8.00% | (d) | 502,900 | ||||
5,384,229 | ||||||||
Independent Power & Renewable Electricity Producers – 0.5% | ||||||||
1,500,000 | AES Gener S.A. (a) (c) | 6.35% | 10/07/79 | 1,404,390 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Insurance – 13.9% | ||||||||
$3,000,000 | Asahi Mutual Life Insurance Co. (c) (e) | 6.50% | (d) | $3,085,569 | ||||
3,500,000 | Asahi Mutual Life Insurance Co. (c) (e) | 7.25% | (d) | 3,572,529 | ||||
3,858,000 | Assurant, Inc. (c) | 7.00% | 03/27/48 | 3,794,394 | ||||
1,700,000 | Assured Guaranty Municipal Holdings, Inc. (c) (e) | 6.40% | 12/15/66 | 1,500,344 | ||||
6,520,000 | AXIS Specialty Finance LLC (c) | 4.90% | 01/15/40 | 5,725,550 | ||||
700,000 | Dai-ichi Life Insurance (The) Co., Ltd. (a) (c) | 7.25% | (d) | 732,592 | ||||
3,500,000 | Everest Reinsurance Holdings, Inc., 3 Mo. LIBOR + 2.39% (f) | 4.08% | 05/15/37 | 2,686,470 | ||||
1,800,000 | Fukoku Mutual Life Insurance Co. (c) (e) | 6.50% | (d) | 1,938,726 | ||||
760,000 | Hartford Financial Services Group (The), Inc., 3 Mo. LIBOR + 2.13% (a) (f) | 3.82% | 02/12/47 | 594,126 | ||||
1,000,000 | La Mondiale SAM (c) (e) | 5.88% | 01/26/47 | 1,045,926 | ||||
531,000 | Lincoln National Corp., 3 Mo. LIBOR + 2.36% (f) | 4.05% | 05/17/66 | 362,007 | ||||
200,000 | MetLife, Inc. | 6.40% | 12/15/36 | 223,809 | ||||
1,418,000 | MetLife, Inc., Series C (c) | 5.25% | (d) | 1,293,039 | ||||
1,700,000 | Mitsui Sumitomo Insurance Co., Ltd. (a) (c) | 7.00% | 03/15/72 | 1,826,216 | ||||
1,000,000 | Prudential Financial, Inc. (c) | 5.63% | 06/15/43 | 1,033,700 | ||||
1,000,000 | QBE Capital Funding III Ltd. (a) (c) | 7.25% | 05/24/41 | 1,044,705 | ||||
2,000,000 | QBE Insurance Group Ltd. (a) (c) | 7.50% | 11/24/43 | 2,158,400 | ||||
200,000 | QBE Insurance Group Ltd. (c) (e) | 7.50% | 11/24/43 | 215,840 | ||||
2,850,000 | QBE Insurance Group Ltd. (c) (e) | 6.75% | 12/02/44 | 3,100,786 | ||||
1,175,000 | Reinsurance Group of America, Inc., 3 Mo. LIBOR + 2.67% (f) | 3.41% | 12/15/65 | 807,812 | ||||
1,000,000 | Sumitomo Life Insurance Co. (a) (c) | 6.50% | 09/20/73 | 1,099,245 | ||||
37,841,785 | ||||||||
Metals & Mining – 1.4% | ||||||||
700,000 | BHP Billiton Finance USA Ltd. (a) (c) | 6.25% | 10/19/75 | 704,687 | ||||
2,760,000 | BHP Billiton Finance USA Ltd. (a) (c) | 6.75% | 10/19/75 | 3,054,616 | ||||
3,759,303 | ||||||||
Multi-Utilities – 2.2% | ||||||||
5,148,000 | CenterPoint Energy, Inc., Series A (c) | 6.13% | (d) | 4,701,128 | ||||
1,506,000 | NiSource, Inc. (c) | 5.65% | (d) | 1,386,258 | ||||
6,087,386 | ||||||||
Oil, Gas & Consumable Fuels – 4.5% | ||||||||
550,000 | Buckeye Partners L.P. (c) | 6.38% | 01/22/78 | 345,730 | ||||
2,703,000 | DCP Midstream Operating L.P. (a) (c) | 5.85% | 05/21/43 | 1,266,626 | ||||
600,000 | Enbridge, Inc. (c) | 5.50% | 07/15/77 | 526,953 | ||||
500,000 | Enbridge, Inc. (c) | 6.25% | 03/01/78 | 458,622 | ||||
6,106,000 | Enbridge, Inc., Series 16-A (c) | 6.00% | 01/15/77 | 5,475,525 | ||||
1,395,000 | Energy Transfer Operating L.P., 3 Mo. LIBOR + 3.02% (f) | 4.78% | 11/01/66 | 793,755 | ||||
100,000 | Energy Transfer Operating L.P., Series B (c) | 6.63% | (d) | 71,805 | ||||
2,000,000 | Energy Transfer Operating L.P., Series G (c) | 7.13% | (d) | 1,566,300 | ||||
2,000,000 | Enterprise Products Operating LLC, 3 Mo. LIBOR + 2.78% (f) | 4.36% | 06/01/67 | 1,563,490 | ||||
370,000 | Enterprise Products Operating LLC, Series D (c) | 4.88% | 08/16/77 | 322,546 | ||||
12,391,352 | ||||||||
Trading Companies & Distributors – 1.1% | ||||||||
4,400,000 | AerCap Holdings N.V. (c) | 5.88% | 10/10/79 | 2,956,580 | ||||
Transportation Infrastructure – 1.1% | ||||||||
3,950,000 | AerCap Global Aviation Trust (a) (c) | 6.50% | 06/15/45 | 2,909,175 | ||||
Total Capital Preferred Securities | 258,880,006 | |||||||
(Cost $275,992,176) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES – 0.2% | ||||||||
Aerospace & Defense – 0.2% | ||||||||
$400,000 | Boeing (The) Co. | 5.81% | 05/01/50 | $400,000 | ||||
(Cost $400,000) |
Total Investments – 95.4% | 259,280,006 | ||
(Cost $276,392,176) (h) | |||
Net Other Assets and Liabilities – 4.6% | 12,542,614 | ||
Net Assets – 100.0% | $271,822,620 |
(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 April 30, 2020, securities noted as such amounted to $81,270,114 or 29.9% of net assets. |
(b) | This security is a contingent convertible capital security which may be subject to conversion into common stock of the issuer under certain circumstances. At April 30, 2020, securities noted as such amounted to $101,991,311 or 37.5% of net assets. Of these securities, 2.8% originated in emerging markets, and 97.2% originated in foreign markets. |
(c) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at April 30, 2020. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(d) | Perpetual maturity. |
(e) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
(f) | Floating or variable rate security. |
(g) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2C - Restricted Securities in the Notes to Financial Statements). |
(h) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2020, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,055,548 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $18,167,718. The net unrealized depreciation was $17,112,170. |
LIBOR | London Interbank Offered Rate |
Total Value at 4/30/2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Capital Preferred Securities* | $ 258,880,006 | $ — | $ 258,880,006 | $ — |
Corporate Bonds and Notes* | 400,000 | — | 400,000 | — |
Total Investments | $ 259,280,006 | $— | $ 259,280,006 | $— |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value (Cost $276,392,176) | $ 259,280,006 |
Cash | 9,442,357 |
Receivables: | |
Interest | 3,703,557 |
Investment securities sold | 1,358,738 |
Fund shares sold | 900,031 |
Interest reclaims | 141,439 |
Total Assets | 274,826,128 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 2,818,981 |
Investment advisory fees | 184,527 |
Total Liabilities | 3,003,508 |
NET ASSETS | $271,822,620 |
NET ASSETS consist of: | |
Paid-in capital | $ 293,487,237 |
Par value | 151,000 |
Accumulated distributable earnings (loss) | (21,815,617) |
NET ASSETS | $271,822,620 |
NET ASSET VALUE, per share | $18.00 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 15,100,002 |
INVESTMENT INCOME: | ||
Interest | $ 8,034,574 | |
Dividends | 1,748 | |
Foreign withholding tax | (4,006) | |
Total investment income | 8,032,316 | |
EXPENSES: | ||
Investment advisory fees | 1,128,087 | |
Total expenses | 1,128,087 | |
NET INVESTMENT INCOME (LOSS) | 6,904,229 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on investments | (4,077,537) | |
Net change in unrealized appreciation (depreciation) on investments | (22,664,996) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (26,742,533) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(19,838,304) |
Six Months Ended 4/30/2020 (Unaudited) | Year Ended 10/31/2019 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 6,904,229 | $ 8,281,677 | |
Net realized gain (loss) | (4,077,537) | 54,698 | |
Net change in unrealized appreciation (depreciation) | (22,664,996) | 10,673,383 | |
Net increase (decrease) in net assets resulting from operations | (19,838,304) | 19,009,758 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (7,338,001) | (8,164,160) | |
Return of capital | — | (204,397) | |
Total distributions to shareholders | (7,338,001) | (8,368,557) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 74,359,412 | 132,683,600 | |
Cost of shares redeemed | (10,538,347) | (1,903,752) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 63,821,065 | 130,779,848 | |
Total increase (decrease) in net assets | 36,644,760 | 141,421,049 | |
NET ASSETS: | |||
Beginning of period | 235,177,860 | 93,756,811 | |
End of period | $271,822,620 | $235,177,860 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 11,850,002 | 5,000,002 | |
Shares sold | 3,850,000 | 6,950,000 | |
Shares redeemed | (600,000) | (100,000) | |
Shares outstanding, end of period | 15,100,002 | 11,850,002 |
Six Months Ended 4/30/2020 (Unaudited) | Year Ended October 31, | Period Ended 10/31/2017 (a) | |||||
2019 | 2018 | ||||||
Net asset value, beginning of period | $ 19.85 | $ 18.75 | $ 20.26 | $ 20.00 | |||
Income from investment operations: | |||||||
Net investment income (loss) | 0.49 | 1.01 | 0.99 | 0.18 | |||
Net realized and unrealized gain (loss) | (1.82) | 1.12 | (1.47) | 0.22 | |||
Total from investment operations | (1.33) | 2.13 | (0.48) | 0.40 | |||
Distributions paid to shareholders from: | |||||||
Net investment income | (0.52) | (1.00) | (1.03) | (0.14) | |||
Return of capital | — | (0.03) | — | — | |||
Total distributions | (0.52) | (1.03) | (1.03) | (0.14) | |||
Net asset value, end of period | $18.00 | $19.85 | $18.75 | $20.26 | |||
Total return (b) | (6.79)% | 11.75% | (2.42)% | 2.00% | |||
Ratios to average net assets/supplemental data: | |||||||
Net assets, end of period (in 000’s) | $ 271,823 | $ 235,178 | $ 93,757 | $ 24,313 | |||
Ratio of total expenses to average net assets | 0.85% (c) | 0.85% | 0.85% | 0.85% (c) | |||
Ratio of net investment income (loss) to average net assets | 5.20% (c) | 5.39% | 5.36% | 4.93% (c) | |||
Portfolio turnover rate (d) | 20% | 28% | 25% | 13% |
(a) | Inception date is August 22, 2017, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
1) | the value of similar foreign securities traded on other foreign markets; |
2) | ADR trading of similar securities; |
3) | closed-end fund or exchange-traded fund trading of similar securities; |
4) | foreign currency exchange activity; |
5) | the trading prices of financial products that are tied to baskets of foreign securities; |
6) | factors relating to the event that precipitated the pricing problem; |
7) | whether the event is likely to recur; and |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security | Acquisition Date | Par Amount | Current Price | Carrying Cost | Value | % of Net Assets |
Land O’Lakes Capital Trust I, 7.45%, 03/15/28 | 05/04/18 | $1,000,000 | $103.50 | $1,113,537 | $1,035,000 | 0.38% |
Distributions paid from: | |
Ordinary income | $8,164,160 |
Capital gains | — |
Return of capital | 204,397 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (286,071) |
Net unrealized appreciation (depreciation) | 5,646,759 |
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 | July 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 | July 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 | July 7, 2020 |
* Print the name and title of each signing officer under his or her signature.