UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22245
First Trust Exchange-Traded Fund III
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant’s telephone number, including area code: (630) 765-8000
Date of fiscal year end: October 31
Date of reporting period: October 31, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
The registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
For the Year Ended
October 31, 2021
1 | |
2 | |
6 | |
8 | |
9 | |
19 | |
20 | |
21 | |
22 | |
23 | |
30 | |
31 | |
37 | |
39 |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 10/31/21 | 5 Years Ended 10/31/21 | Inception (2/11/13) to 10/31/21 | 5 Years Ended 10/31/21 | Inception (2/11/13) to 10/31/21 | ||
Fund Performance | ||||||
NAV | 11.26% | 6.50% | 5.86% | 37.03% | 64.34% | |
Market Price | 11.83% | 6.49% | 5.88% | 36.93% | 64.54% | |
Index Performance | ||||||
ICE BofA Fixed Rate Preferred Securities Index | 6.27% | 5.59% | 5.84% | 31.23% | 63.98% | |
Prior Blended Index(1) | 6.10% | 5.87% | 5.96% | 33.03% | 65.61% | |
ICE BofA US Investment Grade Institutional Capital Securities Index | 6.56% | 6.14% | 6.06% | 34.71% | 67.08% | |
Blended Index(2)(3)(4) | 8.18% | 6.76% | N/A | 38.68% | N/A |
(1) | The Prior 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 indices do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indices are unmanaged and an investor cannot invest directly in an index. The Prior Blended Index returns are calculated by using the monthly returns 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. |
(2) | On July 6, 2021, the Fund’s benchmark changed from the Prior Blended Index to the Blended Index, because the Advisor believes that the Blended Index better reflects the investment strategies of the Fund. |
(3) | The Blended Index consists of a 30/30/30/10 blend of the ICE BofA Core Plus Fixed Rate Preferred Securities Index, the ICE BofA US Investment Grade Institutional Capital Securities Index, the ICE USD Contingent Capital Index and the ICE BofA US High Yield Institutional Capital Securities Index. The Blended Index is intended to reflect the proportional market cap of each segment of the preferred and hybrid securities market. The indices do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indices are unmanaged and an investor cannot invest directly in an index. The Blended Index returns are calculated by using the monthly returns of the four indices during each period shown above. At the beginning of each month the four indices are rebalanced to a 30/30/30/10 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. |
(4) | Since the ICE USD Contingent Capital Index had an inception date of December 31, 2013, the performance of the Blended Index is not available for all of the periods disclosed. |
Sector Allocation | % of Total Investments |
Financials | 72.0% |
Utilities | 8.7 |
Energy | 7.3 |
Industrials | 4.2 |
Consumer Staples | 3.1 |
Real Estate | 2.5 |
Communication Services | 2.2 |
Total | 100.0% |
Credit Rating(5) | % of Total Fixed-Income Investments |
A | 0.7% |
A- | 0.5 |
BBB+ | 11.3 |
BBB | 20.9 |
BBB- | 28.1 |
BB+ | 23.0 |
BB | 8.2 |
BB- | 1.7 |
B+ | 1.0 |
B | 0.9 |
Not Rated | 3.7 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Barclays PLC | 2.1% |
AerCap Holdings N.V. | 2.0 |
Emera, Inc., Series 16-A | 1.6 |
Wells Fargo & Co., Series L | 1.5 |
Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc. | 1.3 |
Credit Suisse Group AG | 1.1 |
JPMorgan Chase & Co., Series V | 1.1 |
Societe Generale S.A. | 1.0 |
Global Atlantic Fin Co. | 1.0 |
Enbridge, Inc., Series 16-A | 1.0 |
Total | 13.7% |
Country Allocation | % of Total Investments |
United States | 56.7% |
United Kingdom | 7.5 |
Canada | 6.0 |
France | 5.3 |
Bermuda | 5.3 |
Switzerland | 3.9 |
Netherlands | 3.9 |
Italy | 2.4 |
Australia | 2.2 |
Spain | 1.6 |
Multinational | 1.3 |
Mexico | 1.0 |
Denmark | 0.8 |
Japan | 0.7 |
Germany | 0.6 |
Finland | 0.4 |
Sweden | 0.2 |
Chile | 0.2 |
Total | 100.0% |
(5) | 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.
Beginning Account Value May 1, 2021 | Ending Account Value October 31, 2021 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Preferred Securities and Income ETF (FPE) | ||||
Actual | $1,000.00 | $1,030.30 | 0.85% | $4.35 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2021 through October 31, 2021), multiplied by 184/365 (to reflect the six-month period). |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES – 24.2% | ||||||||
Banks – 4.0% | ||||||||
2,984 | Atlantic Union Bankshares Corp., Series A | 6.88% | (a) | $83,731 | ||||
219,745 | Bank of America Corp., Series GG | 6.00% | (a) | 5,849,612 | ||||
109,857 | Bank of America Corp., Series LL | 5.00% | (a) | 2,937,576 | ||||
1,401,156 | Bank of America Corp., Series NN | 4.38% | (a) | 35,589,363 | ||||
581,144 | Citigroup Capital XIII, 3 Mo. LIBOR + 6.37% (b) | 6.50% | 10/30/40 | 15,952,403 | ||||
126 | Citizens Financial Group, Inc., Series E | 5.00% | (a) | 3,340 | ||||
629,578 | Fifth Third Bancorp, Series A (c) | 6.00% | (a) | 16,797,141 | ||||
165,096 | First Midwest Bancorp, Inc., Series A | 7.00% | (a) | 4,655,707 | ||||
1,093 | First Republic Bank, Series I | 5.50% | (a) | 28,986 | ||||
2,301 | First Republic Bank, Series K | 4.13% | (a) | 57,640 | ||||
886,828 | First Republic Bank, Series M | 4.00% | (a) | 21,620,867 | ||||
521,873 | Fulton Financial Corp., Series A | 5.13% | (a) | 13,735,697 | ||||
68,483 | Huntington Bancshares, Inc., Series H | 4.50% | (a) | 1,742,892 | ||||
106,987 | JPMorgan Chase & Co., Series DD | 5.75% | (a) | 2,915,396 | ||||
486,165 | JPMorgan Chase & Co., Series LL | 4.63% | (a) | 12,708,353 | ||||
34,696 | KeyCorp, Series F | 5.65% | (a) | 943,037 | ||||
154 | KeyCorp, Series G | 5.63% | (a) | 4,269 | ||||
327,698 | People’s United Financial, Inc., Series A (d) | 5.63% | (a) | 9,257,469 | ||||
883,007 | Pinnacle Financial Partners, Inc., Series B | 6.75% | (a) | 24,891,967 | ||||
548,477 | PNC Financial Services Group (The), Inc., Series P (d) | 6.13% | (a) | 14,106,829 | ||||
1,430,842 | Signature Bank, Series A | 5.00% | (a) | 37,058,808 | ||||
112,521 | Texas Capital Bancshares, Inc., Series B | 5.75% | (a) | 2,988,558 | ||||
93,934 | Truist Financial Corp., Series R | 4.75% | (a) | 2,503,341 | ||||
34,719 | US Bancorp, Series F (d) | 6.50% | (a) | 881,168 | ||||
8,129 | US Bancorp, Series M | 4.00% | (a) | 203,306 | ||||
114,932 | Valley National Bancorp, Series B (d) | 5.50% | (a) | 2,974,440 | ||||
356,853 | Wells Fargo & Co., Series DD | 4.25% | (a) | 8,907,051 | ||||
297,283 | Wells Fargo & Co., Series Y | 5.63% | (a) | 7,708,548 | ||||
696,144 | WesBanco, Inc., Series A (d) | 6.75% | (a) | 19,993,256 | ||||
599,780 | Western Alliance Bancorp, Series A (d) | 4.25% | (a) | 15,750,223 | ||||
585 | Wintrust Financial Corp., Series D (d) | 6.50% | (a) | 16,310 | ||||
790,016 | Wintrust Financial Corp., Series E (d) | 6.88% | (a) | 22,310,052 | ||||
305,177,336 | ||||||||
Capital Markets – 1.9% | ||||||||
149,076 | Affiliated Managers Group, Inc. | 5.88% | 03/30/59 | 4,108,535 | ||||
338,654 | Affiliated Managers Group, Inc. | 4.75% | 09/30/60 | 8,774,525 | ||||
980,305 | Affiliated Managers Group, Inc. | 4.20% | 09/30/61 | 24,277,253 | ||||
568,686 | Apollo Global Management, Inc., Series B | 6.38% | (a) | 15,348,835 | ||||
23,094 | Brightsphere Investment Group, Inc. | 5.13% | 08/01/31 | 581,045 | ||||
1,264,508 | Carlyle Finance LLC | 4.63% | 05/15/61 | 32,858,240 | ||||
883,762 | KKR Group Finance Co., IX LLC | 4.63% | 04/01/61 | 23,185,496 | ||||
419,601 | Oaktree Capital Group LLC, Series A | 6.63% | (a) | 11,249,503 | ||||
809,179 | Oaktree Capital Group LLC, Series B | 6.55% | (a) | 22,090,587 | ||||
142,474,019 | ||||||||
Consumer Finance – 0.1% | ||||||||
151,743 | Capital One Financial Corp., Series I | 5.00% | (a) | 4,040,916 | ||||
88,063 | Capital One Financial Corp., Series J | 4.80% | (a) | 2,306,370 | ||||
6,347,286 | ||||||||
Diversified Financial Services – 0.4% | ||||||||
1,044,897 | Equitable Holdings, Inc., Series A | 5.25% | (a) | 27,773,362 |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES (Continued) | ||||||||
Diversified Telecommunication Services – 0.9% | ||||||||
701,350 | AT&T, Inc., Series C | 4.75% | (a) | $18,263,154 | ||||
957,617 | Qwest Corp. | 6.50% | 09/01/56 | 24,582,028 | ||||
1,096,309 | Qwest Corp. | 6.75% | 06/15/57 | 28,843,890 | ||||
71,689,072 | ||||||||
Electric Utilities – 1.7% | ||||||||
718,272 | Brookfield BRP Holdings Canada, Inc. | 4.63% | (a) | 17,996,305 | ||||
676,629 | Brookfield Infrastructure Finance ULC | 5.00% | 05/24/81 | 17,463,794 | ||||
222,128 | SCE Trust III, Series H (d) | 5.75% | (a) | 5,724,239 | ||||
475,071 | SCE Trust IV, Series J (d) | 5.38% | (a) | 11,905,279 | ||||
730,999 | SCE Trust V, Series K (d) | 5.45% | (a) | 18,918,254 | ||||
606,235 | Southern (The) Co. | 4.95% | 01/30/80 | 16,119,789 | ||||
1,735,563 | Southern (The) Co., Series C | 4.20% | 10/15/60 | 44,378,346 | ||||
132,506,006 | ||||||||
Equity Real Estate Investment Trusts – 1.0% | ||||||||
470,685 | Agree Realty Corp., Series A | 4.25% | (a) | 11,555,317 | ||||
6,476 | DigitalBridge Group, Inc., Series I | 7.15% | (a) | 168,376 | ||||
2,028 | DigitalBridge Group, Inc., Series J | 7.13% | (a) | 53,276 | ||||
820,767 | Global Net Lease, Inc., Series A | 7.25% | (a) | 21,733,910 | ||||
62,519 | National Storage Affiliates Trust, Series A | 6.00% | (a) | 1,656,128 | ||||
1,410,974 | Public Storage, Series P | 4.00% | (a) | 35,754,081 | ||||
338,584 | Vornado Realty Trust, Series N | 5.25% | (a) | 9,246,729 | ||||
80,167,817 | ||||||||
Food Products – 1.1% | ||||||||
136,364 | CHS, Inc., Series 1 | 7.88% | (a) | 3,889,102 | ||||
1,299,492 | CHS, Inc., Series 2 (d) | 7.10% | (a) | 36,203,847 | ||||
1,107,940 | CHS, Inc., Series 3 (d) | 6.75% | (a) | 31,155,273 | ||||
469,578 | CHS, Inc., Series 4 | 7.50% | (a) | 13,613,066 | ||||
84,861,288 | ||||||||
Gas Utilities – 0.2% | ||||||||
573,708 | South Jersey Industries, Inc. | 5.63% | 09/16/79 | 15,340,952 | ||||
54,557 | Spire, Inc., Series A | 5.90% | (a) | 1,500,863 | ||||
16,841,815 | ||||||||
Independent Power & Renewable Electricity Producers – 0.2% | ||||||||
709,005 | Brookfield Renewable Partners L.P., Series 17 | 5.25% | (a) | 18,767,362 | ||||
Insurance – 6.1% | ||||||||
1,841,148 | Aegon Funding Co., LLC | 5.10% | 12/15/49 | 49,600,527 | ||||
2,051,199 | American Equity Investment Life Holding Co., Series A (d) | 5.95% | (a) | 57,228,452 | ||||
837,395 | American Equity Investment Life Holding Co., Series B (d) | 6.63% | (a) | 23,974,619 | ||||
312,756 | AmTrust Financial Services, Inc. | 7.25% | 06/15/55 | 6,223,844 | ||||
344,925 | AmTrust Financial Services, Inc. | 7.50% | 09/15/55 | 6,898,500 | ||||
624,520 | Arch Capital Group Ltd., Series G | 4.55% | (a) | 16,206,294 | ||||
297,195 | Aspen Insurance Holdings Ltd. | 5.63% | (a) | 8,214,470 | ||||
1,503,772 | Aspen Insurance Holdings Ltd. | 5.63% | (a) | 39,789,807 | ||||
634,698 | Aspen Insurance Holdings Ltd. (d) | 5.95% | (a) | 17,320,909 | ||||
867,829 | Assurant, Inc. | 5.25% | 01/15/61 | 23,440,061 | ||||
854,500 | Athene Holding Ltd., Series A (d) | 6.35% | (a) | 25,541,005 | ||||
458,646 | Athene Holding Ltd., Series C (d) | 6.38% | (a) | 13,245,697 | ||||
456,452 | Axis Capital Holdings Ltd., Series E | 5.50% | (a) | 11,511,720 | ||||
649,013 | CNO Financial Group, Inc. (c) | 5.13% | 11/25/60 | 17,523,351 |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES (Continued) | ||||||||
Insurance (Continued) | ||||||||
1,239,606 | Delphi Financial Group, Inc., 3 Mo. LIBOR + 3.19% (b) | 3.31% | 05/15/37 | $29,812,524 | ||||
709,808 | Enstar Group Ltd., Series D (d) | 7.00% | (a) | 20,790,276 | ||||
584,601 | Global Indemnity Group LLC | 7.88% | 04/15/47 | 15,082,706 | ||||
817,668 | Globe Life, Inc. | 4.25% | 06/15/61 | 21,304,340 | ||||
2,816 | Hartford Financial Services Group (The), Inc. (d) | 7.88% | 04/15/42 | 73,385 | ||||
209,334 | Phoenix Cos. (The), Inc. | 7.45% | 01/15/32 | 3,885,762 | ||||
695,711 | Prudential Financial, Inc. | 4.13% | 09/01/60 | 17,984,129 | ||||
174 | Reinsurance Group of America, Inc. (d) | 6.20% | 09/15/42 | 4,561 | ||||
73,560 | Reinsurance Group of America, Inc. (d) | 5.75% | 06/15/56 | 2,099,402 | ||||
1,431,643 | RenaissanceRe Holdings Ltd., Series G | 4.20% | (a) | 36,048,771 | ||||
23,522 | Selective Insurance Group, Inc., Series B | 4.60% | (a) | 599,576 | ||||
312,958 | W.R. Berkley Corp. | 5.10% | 12/30/59 | 8,402,922 | ||||
472,807,610 | ||||||||
Mortgage Real Estate Investment Trusts – 1.0% | ||||||||
648,252 | AGNC Investment Corp., Series C (d) | 7.00% | (a) | 16,452,636 | ||||
356,561 | AGNC Investment Corp., Series D (d) | 6.88% | (a) | 9,138,658 | ||||
60,514 | AGNC Investment Corp., Series E (d) | 6.50% | (a) | 1,569,128 | ||||
700,147 | AGNC Investment Corp., Series F (d) | 6.13% | (a) | 17,734,724 | ||||
832,218 | Annaly Capital Management, Inc., Series F (d) | 6.95% | (a) | 21,096,726 | ||||
291,907 | Annaly Capital Management, Inc., Series I (d) | 6.75% | (a) | 7,674,235 | ||||
73,666,107 | ||||||||
Multi-Utilities – 1.5% | ||||||||
463,067 | Algonquin Power & Utilities Corp. (d) | 6.88% | 10/17/78 | 12,776,019 | ||||
649,255 | Algonquin Power & Utilities Corp., Series 19-A (d) | 6.20% | 07/01/79 | 18,133,692 | ||||
620,856 | Brookfield Infrastructure Partners L.P., Series 13 | 5.13% | (a) | 15,701,448 | ||||
201,618 | CMS Energy Corp. | 5.88% | 10/15/78 | 5,484,010 | ||||
99,442 | CMS Energy Corp. | 5.88% | 03/01/79 | 2,734,655 | ||||
426,546 | CMS Energy Corp., Series C | 4.20% | (a) | 10,578,341 | ||||
421,935 | DTE Energy Co., Series E | 5.25% | 12/01/77 | 11,042,039 | ||||
925,063 | Integrys Holding, Inc. (c) (d) | 6.00% | 08/01/73 | 25,346,726 | ||||
389,635 | Sempra Energy | 5.75% | 07/01/79 | 10,870,816 | ||||
112,667,746 | ||||||||
Oil, Gas & Consumable Fuels – 1.3% | ||||||||
957 | DCP Midstream L.P., Series B (d) | 7.88% | (a) | 24,145 | ||||
1,769 | DCP Midstream L.P., Series C (d) | 7.95% | (a) | 44,561 | ||||
1,786 | Enbridge, Inc., Series B (d) | 6.38% | 04/15/78 | 47,972 | ||||
95,333 | Energy Transfer L.P., Series C (d) | 7.38% | (a) | 2,406,205 | ||||
5,469 | Energy Transfer L.P., Series D (d) | 7.63% | (a) | 136,944 | ||||
1,991,206 | Energy Transfer L.P., Series E (d) | 7.60% | (a) | 50,815,577 | ||||
657,717 | NuStar Energy L.P., Series A (d) | 8.50% | (a) | 16,120,644 | ||||
30,709 | NuStar Energy L.P., Series C (d) | 9.00% | (a) | 798,741 | ||||
1,010,986 | NuStar Logistics L.P., 3 Mo. LIBOR + 6.73% (b) | 6.86% | 01/15/43 | 25,507,177 | ||||
95,901,966 | ||||||||
Real Estate Management & Development – 1.3% | ||||||||
1,423,026 | Brookfield Property Partners L.P., Series A | 5.75% | (a) | 34,736,064 | ||||
174,531 | Brookfield Property Partners L.P., Series A-1 | 6.50% | (a) | 4,485,447 | ||||
1,211,848 | Brookfield Property Partners L.P., Series A2 | 6.38% | (a) | 31,435,337 | ||||
1,316,336 | Brookfield Property Preferred L.P. | 6.25% | 07/26/81 | 32,684,623 | ||||
103,341,471 |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES (Continued) | ||||||||
Thrifts & Mortgage Finance – 0.3% | ||||||||
809,909 | New York Community Bancorp, Inc., Series A (d) | 6.38% | (a) | $23,689,838 | ||||
94,425 | Washington Federal, Inc., Series A | 4.88% | (a) | 2,487,155 | ||||
26,176,993 | ||||||||
Trading Companies & Distributors – 0.7% | ||||||||
813,129 | Air Lease Corp., Series A (d) | 6.15% | (a) | 21,987,008 | ||||
941,715 | WESCO International, Inc., Series A (d) | 10.63% | (a) | 29,569,851 | ||||
51,556,859 | ||||||||
Wireless Telecommunication Services – 0.5% | ||||||||
251,209 | United States Cellular Corp. | 6.25% | 09/01/69 | 6,898,199 | ||||
295,893 | United States Cellular Corp. | 5.50% | 03/01/70 | 7,873,713 | ||||
996,918 | United States Cellular Corp. | 5.50% | 06/01/70 | 26,498,080 | ||||
41,269,992 | ||||||||
Total $25 Par Preferred Securities | 1,863,994,107 | |||||||
(Cost $1,766,889,566) | ||||||||
$100 PAR PREFERRED SECURITIES – 0.8% | ||||||||
Banks – 0.6% | ||||||||
88,231 | AgriBank FCB (d) | 6.88% | (a) | 9,595,121 | ||||
63,800 | CoBank ACB, Series F (d) | 6.25% | (a) | 6,651,150 | ||||
118,243 | CoBank ACB, Series G | 6.13% | (a) | 12,151,833 | ||||
49,330 | CoBank ACB, Series H (d) | 6.20% | (a) | 5,463,298 | ||||
120,015 | Farm Credit Bank of Texas (d) (e) | 6.75% | (a) | 13,021,627 | ||||
46,883,029 | ||||||||
Food Products – 0.2% | ||||||||
700 | Dairy Farmers of America, Inc. (e) | 7.88% | (a) | 71,575 | ||||
167,250 | Dairy Farmers of America, Inc. (f) | 7.88% | (a) | 16,808,625 | ||||
16,880,200 | ||||||||
Total $100 Par Preferred Securities | 63,763,229 | |||||||
(Cost $62,417,354) | ||||||||
$1,000 PAR PREFERRED SECURITIES – 2.4% | ||||||||
Banks – 2.3% | ||||||||
44,534 | Bank of America Corp., Series L | 7.25% | (a) | 63,782,485 | ||||
72,043 | Wells Fargo & Co., Series L | 7.50% | (a) | 109,503,199 | ||||
173,285,684 | ||||||||
Diversified Financial Services – 0.1% | ||||||||
7,900 | Compeer Financial ACA (d) (e) | 6.75% | (a) | 8,393,750 | ||||
Total $1,000 Par Preferred Securities | 181,679,434 | |||||||
(Cost $169,312,879) | ||||||||
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES – 68.8% | ||||||||
Banks – 31.0% | ||||||||
$35,549,000 | Australia & New Zealand Banking Group Ltd. (d) (e) (g) | 6.75% | (a) | 40,914,944 | ||||
39,900,000 | Banco Bilbao Vizcaya Argentaria S.A., Series 9 (d) (g) | 6.50% | (a) | 42,892,500 | ||||
11,250,000 | Banco Mercantil del Norte S.A. (d) (e) (g) | 7.50% | (a) | 12,364,650 | ||||
15,700,000 | Banco Mercantil del Norte S.A. (d) (e) (g) | 7.63% | (a) | 17,262,464 | ||||
21,630,000 | Banco Mercantil del Norte S.A. (d) (e) (g) | 8.38% | (a) | 25,314,887 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Banks (Continued) | ||||||||
$10,600,000 | Banco Mercantil del Norte S.A. (d) (e) (g) | 5.75% | 10/04/31 | $11,303,893 | ||||
35,600,000 | Banco Santander S.A. (d) (g) | 4.75% | (a) | 35,873,052 | ||||
37,800,000 | Banco Santander S.A. (d) (g) (h) | 7.50% | (a) | 40,976,599 | ||||
9,528,000 | Bank of America Corp., Series X (d) | 6.25% | (a) | 10,391,475 | ||||
42,800,000 | Bank of Nova Scotia (The) (d) | 4.90% | (a) | 45,782,304 | ||||
24,300,000 | Barclays PLC (d) (g) | 4.38% | (a) | 23,967,090 | ||||
30,400,000 | Barclays PLC (d) (g) | 6.13% | (a) | 33,430,576 | ||||
5,760,000 | Barclays PLC (d) (g) | 7.75% | (a) | 6,270,048 | ||||
43,390,000 | Barclays PLC (d) (g) (h) | 7.88% | (a) | 44,385,150 | ||||
138,150,000 | Barclays PLC (d) (g) | 8.00% | (a) | 154,123,594 | ||||
11,600,000 | BBVA Bancomer S.A. (d) (e) (g) | 5.88% | 09/13/34 | 12,632,226 | ||||
12,540,000 | BNP Paribas S.A. (d) (e) (g) | 6.63% | (a) | 13,590,225 | ||||
42,500,000 | BNP Paribas S.A. (d) (e) (g) | 7.38% | (a) | 48,798,287 | ||||
1,000,000 | CIT Group, Inc., Series A (d) | 5.80% | (a) | 1,018,750 | ||||
36,514,000 | Citigroup, Inc. (d) | 3.88% | (a) | 36,924,782 | ||||
781,000 | Citigroup, Inc. (d) | 5.90% | (a) | 810,288 | ||||
23,272,000 | Citigroup, Inc. (d) | 5.95% | (a) | 24,086,520 | ||||
29,897,000 | Citigroup, Inc., Series D (d) | 5.35% | (a) | 30,734,116 | ||||
16,200,000 | Citigroup, Inc., Series P (d) | 5.95% | (a) | 17,496,000 | ||||
34,250,000 | Citigroup, Inc., Series T (d) | 6.25% | (a) | 39,514,225 | ||||
20,393,000 | Citigroup, Inc., Series W (d) | 4.00% | (a) | 20,877,334 | ||||
29,875,000 | Citigroup, Inc., Series Y (d) | 4.15% | (a) | 30,054,250 | ||||
20,560,000 | Citizens Financial Group, Inc., Series F (d) | 5.65% | (a) | 22,590,300 | ||||
21,030,000 | Citizens Financial Group, Inc., Series G (d) | 4.00% | (a) | 21,240,300 | ||||
20,474,000 | CoBank ACB, Series I (d) | 6.25% | (a) | 23,007,657 | ||||
14,400,000 | Comerica, Inc. (d) | 5.63% | (a) | 15,930,000 | ||||
11,200,000 | Commerzbank AG (d) (g) (h) | 7.00% | (a) | 12,077,184 | ||||
38,310,000 | Credit Agricole S.A. (d) (e) (g) | 6.88% | (a) | 42,303,817 | ||||
47,700,000 | Credit Agricole S.A. (d) (e) (g) | 7.88% | (a) | 52,862,332 | ||||
3,000,000 | Credit Agricole S.A. (d) (g) (h) | 7.88% | (a) | 3,324,675 | ||||
43,500,000 | Credit Agricole S.A. (d) (e) (g) | 8.13% | (a) | 52,218,661 | ||||
20,200,000 | Danske Bank A.S. (d) (g) (h) | 4.38% | (a) | 20,403,636 | ||||
21,313,000 | Danske Bank A.S. (d) (g) (h) | 6.13% | (a) | 22,631,742 | ||||
15,960,000 | Danske Bank A.S. (d) (g) (h) | 7.00% | (a) | 17,810,323 | ||||
7,650,000 | Farm Credit Bank of Texas, Series 3 (d) (e) | 6.20% | (a) | 8,415,000 | ||||
20,300,000 | Farm Credit Bank of Texas, Series 4 (d) (e) | 5.70% | (a) | 22,228,500 | ||||
23,383,000 | Fifth Third Bancorp, Series H (d) | 5.10% | (a) | 23,938,346 | ||||
19,500,000 | Fifth Third Bancorp, Series L (d) | 4.50% | (a) | 21,035,625 | ||||
12,800,000 | HSBC Holdings PLC (d) (g) | 4.60% | (a) | 12,750,464 | ||||
49,619,000 | HSBC Holdings PLC (d) (g) | 6.38% | (a) | 54,044,767 | ||||
23,300,000 | Huntington Bancshares, Inc., Series G (d) | 4.45% | (a) | 24,960,125 | ||||
35,836,000 | ING Groep N.V. (d) (g) | 5.75% | (a) | 38,934,201 | ||||
25,179,000 | ING Groep N.V. (d) (g) | 6.50% | (a) | 27,665,552 | ||||
22,263,000 | ING Groep N.V. (d) (g) (h) | 6.88% | (a) | 22,819,575 | ||||
34,125,000 | Intesa Sanpaolo S.p.A. (d) (e) (g) | 7.70% | (a) | 38,177,344 | ||||
28,300,000 | JPMorgan Chase & Co., Series I, 3 Mo. LIBOR + 3.47% (b) | 3.60% | (a) | 28,370,603 | ||||
38,896,000 | JPMorgan Chase & Co., Series Q (d) | 5.15% | (a) | 40,032,930 | ||||
12,861,000 | JPMorgan Chase & Co., Series R (d) | 6.00% | (a) | 13,450,998 | ||||
78,862,000 | JPMorgan Chase & Co., Series V, 3 Mo. LIBOR + 3.32% (b) | 3.45% | (a) | 78,901,895 | ||||
19,651,000 | JPMorgan Chase & Co., Series Z, 3 Mo. LIBOR + 3.80% (b) | 3.93% | (a) | 19,778,415 | ||||
32,100,000 | Lloyds Banking Group PLC (d) (g) | 6.75% | (a) | 36,709,078 | ||||
62,814,000 | Lloyds Banking Group PLC (d) (g) | 7.50% | (a) | 69,566,505 | ||||
17,800,000 | M&T Bank Corp. (d) | 3.50% | (a) | 17,533,000 | ||||
16,900,000 | M&T Bank Corp., Series G (d) | 5.00% | (a) | 17,618,250 | ||||
8,500,000 | Natwest Group PLC (d) (g) | 6.00% | (a) | 9,417,405 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Banks (Continued) | ||||||||
$21,325,000 | Natwest Group PLC (d) (g) | 8.00% | (a) | $25,030,539 | ||||
27,000,000 | Nordea Bank Abp (d) (e) (g) | 6.63% | (a) | 30,897,990 | ||||
21,550,000 | PNC Financial Services Group (The), Inc., Series T (d) | 3.40% | (a) | 21,307,563 | ||||
17,400,000 | Regions Financial Corp., Series D (d) | 5.75% | (a) | 19,248,750 | ||||
2,400,000 | Skandinaviska Enskilda Banken AB (d) (g) (h) | 5.13% | (a) | 2,548,457 | ||||
73,600,000 | Societe Generale S.A. (d) (e) (g) | 5.38% | (a) | 78,384,000 | ||||
53,289,000 | Societe Generale S.A. (d) (e) (g) | 7.88% | (a) | 58,847,043 | ||||
20,000,000 | Societe Generale S.A. (d) (g) (h) | 7.88% | (a) | 22,086,000 | ||||
11,500,000 | Societe Generale S.A. (d) (e) (g) | 8.00% | (a) | 13,409,058 | ||||
68,460,000 | Standard Chartered PLC (d) (e) (g) | 4.30% | (a) | 65,911,234 | ||||
25,600,000 | Standard Chartered PLC (d) (e) (g) | 6.00% | (a) | 27,891,200 | ||||
31,600,000 | SVB Financial Group, Series C (d) | 4.00% | (a) | 31,677,420 | ||||
50,341,000 | SVB Financial Group, Series D (d) | 4.25% | (a) | 50,586,412 | ||||
13,400,000 | Swedbank AB, Series NC5 (d) (g) (h) | 5.63% | (a) | 14,446,607 | ||||
8,350,000 | Texas Capital Bancshares, Inc. (d) | 4.00% | 05/06/31 | 8,702,825 | ||||
16,969,000 | Truist Financial Corp., Series P (d) | 4.95% | (a) | 18,458,030 | ||||
56,950,000 | UniCredit S.p.A. (d) (g) (h) | 8.00% | (a) | 62,334,338 | ||||
4,400,000 | UniCredit S.p.A. (d) (e) | 7.30% | 04/02/34 | 5,311,090 | ||||
13,500,000 | UniCredit S.p.A. (d) (e) | 5.46% | 06/30/35 | 14,786,213 | ||||
18,685,000 | US Bancorp (d) | 3.70% | (a) | 18,657,907 | ||||
41,077,000 | Wells Fargo & Co., Series BB (d) | 3.90% | (a) | 41,872,867 | ||||
2,386,934,977 | ||||||||
Capital Markets – 8.6% | ||||||||
40,096,000 | Apollo Management Holdings L.P. (d) (e) | 4.95% | 01/14/50 | 41,538,910 | ||||
23,900,000 | Bank of New York Mellon (The) Corp., Series G (d) | 4.70% | (a) | 26,067,730 | ||||
47,674,000 | Charles Schwab (The) Corp., Series G (d) | 5.38% | (a) | 52,500,993 | ||||
61,850,000 | Charles Schwab (The) Corp., Series I (d) | 4.00% | (a) | 63,730,240 | ||||
56,800,000 | Credit Suisse Group AG (d) (e) (g) | 5.25% | (a) | 59,143,000 | ||||
15,000,000 | Credit Suisse Group AG (d) (e) (g) | 6.25% | (a) | 16,170,150 | ||||
41,500,000 | Credit Suisse Group AG (d) (e) (g) | 6.38% | (a) | 45,286,875 | ||||
4,407,000 | Credit Suisse Group AG (d) (e) (g) | 7.50% | (a) | 4,814,648 | ||||
76,900,000 | Credit Suisse Group AG (d) (e) (g) | 7.50% | (a) | 81,936,950 | ||||
4,000,000 | Deutsche Bank AG (d) (g) | 7.50% | (a) | 4,380,000 | ||||
22,575,000 | EFG International AG (d) (g) (h) | 5.50% | (a) | 23,770,346 | ||||
54,467,000 | Goldman Sachs Group (The), Inc., Series Q (d) | 5.50% | (a) | 58,568,365 | ||||
9,600,000 | Goldman Sachs Group (The), Inc., Series R (d) | 4.95% | (a) | 10,128,000 | ||||
13,870,000 | Goldman Sachs Group (The), Inc., Series T (d) | 3.80% | (a) | 13,904,675 | ||||
17,810,000 | Goldman Sachs Group (The), Inc., Series U (d) | 3.65% | (a) | 17,720,950 | ||||
25,171,000 | Goldman Sachs Group (The), Inc., Series V (d) | 4.13% | (a) | 25,270,425 | ||||
20,856,000 | Morgan Stanley, Series H, 3 Mo. LIBOR + 3.61% (b) | 3.73% | (a) | 20,963,642 | ||||
29,453,000 | Morgan Stanley, Series M (d) | 5.88% | (a) | 33,691,655 | ||||
26,389,000 | UBS Group AG (d) (g) (h) | 6.88% | (a) | 29,836,063 | ||||
28,500,000 | UBS Group AG (d) (e) (g) | 7.00% | (a) | 30,835,433 | ||||
660,259,050 | ||||||||
Consumer Finance – 1.1% | ||||||||
47,679,000 | American Express Co. (d) | 3.55% | (a) | 47,994,873 | ||||
35,077,000 | Capital One Financial Corp., Series M (d) | 3.95% | (a) | 35,734,694 | ||||
83,729,567 | ||||||||
Diversified Financial Services – 2.8% | ||||||||
64,250,000 | American AgCredit Corp. (d) (e) | 5.25% | (a) | 65,695,625 | ||||
40,400,000 | Ares Finance Co., III LLC (d) (e) | 4.13% | 06/30/51 | 41,538,973 | ||||
28,250,000 | Capital Farm Credit ACA, Series 1 (d) (e) | 5.00% | (a) | 29,309,375 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Diversified Financial Services (Continued) | ||||||||
$13,950,000 | Compeer Financial ACA (d) (e) | 4.88% | (a) | $14,159,250 | ||||
11,900,000 | Depository Trust & Clearing (The) Corp., Series D (d) (e) | 3.38% | (a) | 12,041,312 | ||||
32,708,000 | Voya Financial, Inc. (d) | 5.65% | 05/15/53 | 34,299,571 | ||||
16,548,000 | Voya Financial, Inc., Series A (d) | 6.13% | (a) | 17,623,620 | ||||
214,667,726 | ||||||||
Diversified Telecommunication Services – 0.6% | ||||||||
12,882,000 | Koninklijke KPN N.V. (d) (e) | 7.00% | 03/28/73 | 13,678,752 | ||||
32,310,000 | Koninklijke KPN N.V. (d) (h) | 7.00% | 03/28/73 | 34,308,373 | ||||
47,987,125 | ||||||||
Electric Utilities – 3.4% | ||||||||
18,918,000 | Duke Energy Corp. (d) | 4.88% | (a) | 20,128,752 | ||||
101,667,000 | Emera, Inc., Series 16-A (d) | 6.75% | 06/15/76 | 119,726,109 | ||||
53,444,000 | Enel S.p.A. (d) (e) | 8.75% | 09/24/73 | 60,469,214 | ||||
25,726,000 | Southern (The) Co., Series 21-A (d) | 3.75% | 09/15/51 | 26,200,902 | ||||
31,016,000 | Southern California Edison Co., Series E (d) | 6.25% | (a) | 31,216,602 | ||||
257,741,579 | ||||||||
Energy Equipment & Services – 0.5% | ||||||||
3,524,000 | Transcanada Trust (d) | 5.63% | 05/20/75 | 3,753,060 | ||||
29,200,000 | Transcanada Trust (d) | 5.50% | 09/15/79 | 31,937,500 | ||||
35,690,560 | ||||||||
Food Products – 1.7% | ||||||||
8,200,000 | Dairy Farmers of America, Inc. (f) | 7.13% | (a) | 8,323,000 | ||||
25,362,000 | Land O’Lakes Capital Trust I (f) | 7.45% | 03/15/28 | 29,322,274 | ||||
44,888,000 | Land O’Lakes, Inc. (e) | 7.00% | (a) | 47,374,797 | ||||
13,010,000 | Land O’Lakes, Inc. (e) | 7.25% | (a) | 14,120,339 | ||||
31,520,000 | Land O’Lakes, Inc. (e) | 8.00% | (a) | 34,202,982 | ||||
133,343,392 | ||||||||
Independent Power & Renewable Electricity Producers – 0.2% | ||||||||
14,786,000 | AES Andes S.A. (d) (e) | 6.35% | 10/07/79 | 15,343,728 | ||||
Insurance – 8.7% | ||||||||
26,000,000 | Allianz SE (d) (e) | 3.50% | (a) | 26,260,000 | ||||
28,617,000 | Asahi Mutual Life Insurance Co. (d) (h) | 6.50% | (a) | 30,677,710 | ||||
20,500,000 | Asahi Mutual Life Insurance Co. (d) (h) | 7.25% | (a) | 20,762,337 | ||||
31,900,000 | Assurant, Inc. (d) | 7.00% | 03/27/48 | 37,239,103 | ||||
12,999,000 | Assured Guaranty Municipal Holdings, Inc. (d) (e) | 6.40% | 12/15/66 | 14,441,469 | ||||
43,290,000 | AXIS Specialty Finance LLC (d) | 4.90% | 01/15/40 | 45,785,016 | ||||
23,688,000 | Enstar Finance LLC (d) | 5.75% | 09/01/40 | 25,020,450 | ||||
13,700,000 | Fortegra Financial Corp. (d) (f) | 8.50% | 10/15/57 | 17,302,584 | ||||
70,000,000 | Global Atlantic Fin Co. (d) (e) | 4.70% | 10/15/51 | 72,165,964 | ||||
15,106,000 | Hartford Financial Services Group (The), Inc., 3 Mo. LIBOR + 2.13% (b) (e) | 2.25% | 02/12/47 | 14,690,588 | ||||
22,929,000 | Kuvare US Holdings, Inc. (d) (e) | 7.00% | 02/17/51 | 24,530,230 | ||||
9,310,000 | La Mondiale SAM (d) (h) | 5.88% | 01/26/47 | 10,579,446 | ||||
23,530,000 | Lancashire Holdings Ltd. (d) (h) | 5.63% | 09/18/41 | 25,574,639 | ||||
21,600,000 | Liberty Mutual Group, Inc. (d) (e) | 4.13% | 12/15/51 | 22,167,864 | ||||
56,037,000 | Markel Corp. (d) | 6.00% | (a) | 61,710,746 | ||||
7,650,000 | MetLife, Inc., Series G (d) | 3.85% | (a) | 7,956,000 | ||||
6,565,000 | PartnerRe Finance B LLC (d) | 4.50% | 10/01/50 | 7,017,766 | ||||
3,000,000 | Phoenix Group Holdings PLC (d) (h) | 5.63% | (a) | 3,152,475 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Insurance (Continued) | ||||||||
$28,059,000 | Principal Financial Group, Inc., 3 Mo. LIBOR + 3.04% (b) | 3.17% | 05/15/55 | $27,933,242 | ||||
27,670,000 | Progressive (The) Corp., Series B (d) | 5.38% | (a) | 28,534,688 | ||||
7,564,308 | Prudential Financial, Inc. (d) | 5.88% | 09/15/42 | 7,832,159 | ||||
41,900,000 | QBE Insurance Group Ltd. (d) (e) | 5.88% | (a) | 45,880,500 | ||||
24,900,000 | QBE Insurance Group Ltd. (d) (e) | 7.50% | 11/24/43 | 27,576,750 | ||||
605,000 | QBE Insurance Group Ltd. (d) (h) | 7.50% | 11/24/43 | 670,038 | ||||
30,649,000 | QBE Insurance Group Ltd. (d) (h) | 6.75% | 12/02/44 | 34,306,192 | ||||
16,000,000 | QBE Insurance Group Ltd. (d) (h) | 5.88% | 06/17/46 | 17,935,057 | ||||
13,610,000 | Reinsurance Group of America, Inc., 3 Mo. LIBOR + 2.67% (b) | 2.78% | 12/15/65 | 13,239,836 | ||||
670,942,849 | ||||||||
Multi-Utilities – 1.3% | ||||||||
46,658,000 | CenterPoint Energy, Inc., Series A (d) | 6.13% | (a) | 49,325,671 | ||||
17,052,000 | CMS Energy Corp. (d) | 3.75% | 12/01/50 | 17,007,665 | ||||
2,400,000 | Dominion Energy, Inc., Series B (d) | 4.65% | (a) | 2,562,000 | ||||
14,520,000 | NiSource, Inc. (d) | 5.65% | (a) | 15,391,200 | ||||
17,000,000 | Sempra Energy (d) | 4.88% | (a) | 18,383,970 | ||||
102,670,506 | ||||||||
Oil, Gas & Consumable Fuels – 5.4% | ||||||||
6,988,000 | Buckeye Partners L.P. (d) | 6.38% | 01/22/78 | 6,400,274 | ||||
64,769,000 | DCP Midstream L.P., Series A (d) | 7.38% | (a) | 65,092,845 | ||||
39,136,000 | DCP Midstream Operating L.P. (d) (e) | 5.85% | 05/21/43 | 36,568,287 | ||||
57,082,000 | Enbridge, Inc. (d) | 6.25% | 03/01/78 | 63,054,482 | ||||
65,166,000 | Enbridge, Inc., Series 16-A (d) | 6.00% | 01/15/77 | 72,085,329 | ||||
41,574,000 | Enbridge, Inc., Series 20-A (d) | 5.75% | 07/15/80 | 46,833,111 | ||||
32,460,000 | Energy Transfer L.P., 3 Mo. LIBOR + 3.02% (b) | 3.14% | 11/01/66 | 26,857,404 | ||||
16,061,000 | Energy Transfer L.P., Series F (d) | 6.75% | (a) | 16,522,754 | ||||
8,045,000 | Energy Transfer L.P., Series H (d) | 6.50% | (a) | 8,346,687 | ||||
54,942,000 | Enterprise Products Operating LLC, 3 Mo. LIBOR + 2.78% (b) | 2.90% | 06/01/67 | 51,173,803 | ||||
23,446,000 | Enterprise Products Operating LLC, Series D (d) | 4.88% | 08/16/77 | 23,163,038 | ||||
416,098,014 | ||||||||
Trading Companies & Distributors – 2.8% | ||||||||
145,883,000 | AerCap Holdings N.V. (d) | 5.88% | 10/10/79 | 152,409,806 | ||||
15,700,000 | Air Lease Corp., Series B (d) | 4.65% | (a) | 16,269,125 | ||||
42,300,000 | Aircastle Ltd. (d) (e) | 5.25% | (a) | 43,569,000 | ||||
212,247,931 | ||||||||
Transportation Infrastructure – 0.7% | ||||||||
39,000,000 | AerCap Global Aviation Trust (d) (e) | 6.50% | 06/15/45 | 41,886,195 | ||||
11,000,000 | BNSF Funding Trust I (d) | 6.61% | 12/15/55 | 12,584,550 | ||||
54,470,745 | ||||||||
Total Capital Preferred Securities | 5,292,127,749 | |||||||
(Cost $5,062,005,019) | ||||||||
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
FOREIGN CORPORATE BONDS AND NOTES – 1.2% | ||||||||
Insurance – 1.2% | ||||||||
89,408,028 | Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc. (e) (i) | 7.63% | 10/15/25 | 94,823,472 | ||||
(Cost $94,991,261) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES – 0.2% | ||||||||
Insurance – 0.2% | ||||||||
$16,000,000 | AmTrust Financial Services, Inc. | 6.13% | 08/15/23 | $16,168,664 | ||||
(Cost $16,074,490) |
Total Investments – 97.6% | 7,512,556,655 | ||
(Cost $7,171,690,569) (j) | |||
Net Other Assets and Liabilities – 2.4% | 185,689,481 | ||
Net Assets – 100.0% | $7,698,246,136 |
(a) | Perpetual maturity. |
(b) | Floating or variable rate security. |
(c) | 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”). |
(d) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at October 31, 2021. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(e) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by the Advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At October 31, 2021, securities noted as such amounted to $1,807,532,642 or 23.5% of net assets. |
(f) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2C - Restricted Securities in the Notes to Financial Statements). |
(g) | This security is a contingent convertible capital security which may be subject to conversion into common stock of the issuer under certain circumstances. At October 31, 2021, securities noted as such amounted to $1,795,777,377 or 23.3% of net assets. Of these securities, 4.4% originated in emerging markets, and 95.6% originated in foreign markets. |
(h) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
(i) | These notes are Senior Payment-in-kind (“PIK”) Toggle Notes whereby the issuer may, at its option, elect to pay interest on the notes (1) entirely in cash or (2) entirely in PIK interest. Interest paid in cash will accrue on the notes at a rate of 7.63% per annum (“Cash Interest Rate”) and PIK interest will accrue on the notes at a rate per annum equal to the Cash Interest Rate plus 75 basis points. For the fiscal year ended October 31, 2021, the Fund received a portion of the interest in cash and PIK interest with a principal value of $3,288,904 for Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc. |
(j) | Aggregate cost for federal income tax purposes was $7,145,079,531. As of October 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $382,521,085 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $15,043,961. The net unrealized appreciation was $367,477,124. |
LIBOR | London Interbank Offered Rate |
Total Value at 10/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
$25 Par Preferred Securities: | ||||
Insurance | $ 472,807,610 | $ 425,986,980 | $ 46,820,630 | $ — |
Multi-Utilities | 112,667,746 | 87,321,020 | 25,346,726 | — |
Other industry categories* | 1,278,518,751 | 1,278,518,751 | — | — |
$100 Par Preferred Securities* | 63,763,229 | — | 63,763,229 | — |
$1,000 Par Preferred Securities: | ||||
Banks | 173,285,684 | 173,285,684 | — | — |
Diversified Financial Services | 8,393,750 | — | 8,393,750 | — |
Capital Preferred Securities* | 5,292,127,749 | — | 5,292,127,749 | — |
Foreign Corporate Bonds and Notes* | 94,823,472 | — | 94,823,472 | — |
Corporate Bonds and Notes* | 16,168,664 | — | 16,168,664 | — |
Total Investments | $ 7,512,556,655 | $ 1,965,112,435 | $ 5,547,444,220 | $— |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value (Cost $7,171,690,569) | $ 7,512,556,655 |
Cash | 128,529,952 |
Receivables: | |
Interest | 61,316,592 |
Fund shares sold | 6,139,847 |
Investment securities sold | 6,083,215 |
Dividends | 4,469,326 |
Interest reclaims | 1,702,979 |
Dividend reclaims | 198,027 |
Total Assets | 7,720,996,593 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 17,214,296 |
Investment advisory fees | 5,536,161 |
Total Liabilities | 22,750,457 |
NET ASSETS | $7,698,246,136 |
NET ASSETS consist of: | |
Paid-in capital | $ 7,442,173,484 |
Par value | 3,764,050 |
Accumulated distributable earnings (loss) | 252,308,602 |
NET ASSETS | $7,698,246,136 |
NET ASSET VALUE, per share | $20.45 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 376,405,000 |
INVESTMENT INCOME: | ||
Interest | $ 256,659,184 | |
Dividends | 98,706,450 | |
Foreign withholding tax | (98,726) | |
Total investment income | 355,266,908 | |
EXPENSES: | ||
Investment advisory fees | 56,050,117 | |
Total expenses | 56,050,117 | |
NET INVESTMENT INCOME (LOSS) | 299,216,791 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | 57,625,451 | |
In-kind redemptions | 313,625 | |
Net realized gain (loss) | 57,939,076 | |
Net change in unrealized appreciation (depreciation) on investments | 290,784,331 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 348,723,407 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 647,940,198 |
Year Ended 10/31/2021 | Year Ended 10/31/2020 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 299,216,791 | $ 265,251,808 | |
Net realized gain (loss) | 57,939,076 | (138,300,544) | |
Net change in unrealized appreciation (depreciation) | 290,784,331 | (60,836,239) | |
Net increase (decrease) in net assets resulting from operations | 647,940,198 | 66,115,025 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (286,189,376) | (249,230,037) | |
Return of capital | (12,681,882) | (17,657,142) | |
Total distributions to shareholders | (298,871,258) | (266,887,179) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 1,987,661,883 | 1,414,541,333 | |
Cost of shares redeemed | (60,917,203) | (469,855,741) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 1,926,744,680 | 944,685,592 | |
Total increase (decrease) in net assets | 2,275,813,620 | 743,913,438 | |
NET ASSETS: | |||
Beginning of period | 5,422,432,516 | 4,678,519,078 | |
End of period | $7,698,246,136 | $5,422,432,516 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 281,905,000 | 235,205,000 | |
Shares sold | 97,550,000 | 73,400,000 | |
Shares redeemed | (3,050,000) | (26,700,000) | |
Shares outstanding, end of period | 376,405,000 | 281,905,000 |
Year Ended October 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 19.23 | $ 19.89 | $ 18.76 | $ 20.13 | $ 19.47 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.90 | 1.00 | 1.08 | 1.08 | 1.08 | ||||
Net realized and unrealized gain (loss) | 1.24 | (0.66) | 1.14 | (1.37) | 0.66 | ||||
Total from investment operations | 2.14 | 0.34 | 2.22 | (0.29) | 1.74 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.88) | (0.94) | (1.07) | (1.08) | (1.08) | ||||
Return of capital | (0.04) | (0.06) | (0.02) | (0.00) (a) | (0.00) (a) | ||||
Total distributions | (0.92) | (1.00) | (1.09) | (1.08) | (1.08) | ||||
Net asset value, end of period | $20.45 | $19.23 | $19.89 | $18.76 | $20.13 | ||||
Total return (b) | 11.26% | 1.94% | 12.25% | (1.47)% | 9.24% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 7,698,246 | $ 5,422,433 | $ 4,678,519 | $ 3,374,372 | $ 3,026,083 | ||||
Ratio of total expenses to average net assets | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% | ||||
Ratio of net investment income (loss) to average net assets | 4.54% | 5.24% | 5.69% | 5.56% | 5.54% | ||||
Portfolio turnover rate (c) | 27% | 43% | 28% | 24% | 13% |
(a) | Amount is less than $0.01. |
(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) | 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% | 09/15/16-03/24/21 | $8,200,000 | $101.50 | $8,291,000 | $8,323,000 | 0.11% | ||
Dairy Farmers of America, Inc., 7.88% | 03/23/21-04/12/21 | 167,250 | 100.50 | 16,844,963 | 16,808,625 | 0.22 | ||
Fortegra Financial Corp., 8.50%, 10/15/57 | 10/12/17-03/12/18 | $13,700,000 | 126.30 | 13,718,859 | 17,302,584 | 0.22 | ||
Land O’Lakes Capital Trust I, 7.45%, 03/15/28 | 03/20/15-07/23/21 | $25,362,000 | 115.61 | 27,577,099 | 29,322,274 | 0.38 | ||
$66,431,921 | $71,756,483 | 0.93% |
Distributions paid from: | 2021 | 2020 |
Ordinary income | $286,189,376 | $249,230,037 |
Capital gains | — | — |
Return of capital | 12,681,882 | 17,657,142 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (115,168,522) |
Net unrealized appreciation (depreciation) | 367,477,124 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$(1,905,669) | $4,052,658 | $(2,146,989) |
Dividends Received Deduction | Qualified Dividend Income | |
33.51% | 73.88% |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016) | 215 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 215 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 215 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 215 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 215 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Year Ended
October 31, 2021
1 | |
2 | |
5 | |
7 | |
8 | |
50 | |
51 | |
52 | |
53 | |
54 | |
61 | |
62 | |
67 | |
69 |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 10/31/21 | 5 Years Ended 10/31/21 | Inception (5/13/14) to 10/31/21 | 5 Years Ended 10/31/21 | Inception (5/13/14) to 10/31/21 | ||
Fund Performance | ||||||
NAV | 4.06% | 3.68% | 4.29% | 19.79% | 36.89% | |
Market Price | 4.08% | 3.68% | 4.30% | 19.80% | 36.94% | |
Index Performance | ||||||
Bloomberg Revenue 10 Year (8-12) Index | 2.45% | 3.45% | 3.75% | 18.45% | 31.61% |
Sector Allocation | % of Total Investments (including cash) |
Hospital | 14.5% |
Insured | 9.8 |
Government Obligation Bond - Unlimited Tax | 9.2 |
Water & Sewer | 6.4 |
Certificates of Participation | 5.2 |
Higher Education | 5.0 |
Airport | 5.0 |
Gas | 5.0 |
Dedicated Tax | 4.9 |
Continuing Care Retirement Communities | 4.3 |
Government Obligation Bond - Limited Tax | 4.1 |
Education | 4.0 |
Special Assessment | 3.6 |
Utility | 3.5 |
Tobacco | 2.9 |
Industrial Development Bond | 2.8 |
Toll Road | 2.7 |
Mass Transit | 1.1 |
Tax Increment | 0.8 |
Pre-refunded/Escrowed-to-maturity | 0.8 |
Housing | 0.8 |
Student Housing | 0.7 |
Local Housing | 0.4 |
Other Health | 0.1 |
Port | 0.1 |
Hotel | 0.1 |
Pool | 0.1 |
Stadium | 0.0* |
Cash | 2.1 |
Total | 100.0% |
* | Amount is less than 0.1%. |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 6.5% |
AA | 37.3 |
A | 30.1 |
BBB | 9.5 |
BB | 2.9 |
B | 0.7 |
CCC | 0.4 |
Not Rated | 10.3 |
Short Rated only | 0.2 |
Cash | 2.1 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 97.5% |
Net Other Assets and Liabilities** | 2.5 |
Total | 100.0% |
** | Includes variation margin on futures contracts. |
(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.
• | Robust mutual fund and ETF inflows helped support municipal bond prices. According to Refinitiv, Lipper and J.P. Morgan data, year-to-date fund flows through October 31, 2021 totaled approximately $91.4 billion. Over the same period, high yield municipal fund flows totaled approximately $19.1 billion. Fund inflows have also been consistent, with municipal bond funds having experienced inflows in 75 of the past 76 weeks, totaling a record $152.9 billion. |
• | New issue municipal bond supply has been down year-to-date. During the first ten months of 2021, new issue supply decreased approximately 7.9% to $394.5 billion compared with $428.4 billion a year ago. Of note, when looking at municipal taxable new issue supply as a percentage of total new issue supply, approximately 25% of municipal bond supply has been brought to market as a taxable municipal bond over the trailing 12 months through October 31, 2021 compared to the previous five years when taxable municipals comprised less than 10% of total new issue municipal supply. |
• | According to data from Municipal Market Analytics, Inc., municipal bond defaults and the par value of defaults are lower year-to-date compared to the same period last year. Approximately 51 municipal bonds have defaulted year-to-date through October 31, 2021 compared to 70 defaults for year-to-date 2020. Defaulting municipal securities have been especially centered in the senior living sector which has been particularly hard hit by the coronavirus (“COVID-19”) pandemic with many facilities experiencing lower occupancy and debt service coverage. |
• | The CARES Act and American Rescue Plan Act legislation helped stabilize many municipal bond issuing borrowers, with tens of billions of dollars made available to states, cities, K-12 education, hospitals, mass transportation, and universities, among the many benefitted sectors. |
• | As a result of these factors, municipal bond credit spreads have tightened dramatically from April 2021 for all credit rating categories. In particular, credit spreads tightened substantially for BBB and high yield municipal securities whereby in many cases spreads are now tighter than pre-COVID-19 levels. |
Beginning Account Value May 1, 2021 | Ending Account Value October 31, 2021 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (b) | |
First Trust Managed Municipal ETF (FMB) | ||||
Actual | $1,000.00 | $1,003.40 | 0.50% | $2.52 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.68 | 0.50% | $2.55 |
(a) | These expense ratios reflect expense waivers. See Note 3 in the Notes to Financial Statements. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2021 through October 31, 2021), multiplied by 184/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 97.5% | ||||||||
Alabama – 2.6% | ||||||||
$225,000 | AL Cmnty Clg Sys Brd of Trustees Rev Bishop St Cmnty Clg, BAM | 4.00% | 01/01/35 | $258,196 | ||||
2,045,000 | AL Federal Aid Hwy Fin Auth Spl Oblig Rev, GARVEE | 5.00% | 09/01/30 | 2,310,470 | ||||
775,000 | AL Federal Aid Hwy Fin Auth Spl Oblig Rev, GARVEE, Ser A | 5.00% | 09/01/32 | 961,062 | ||||
500,000 | AL St Port Auth Docks Facs Rev Ref Docks Facs Rev, Ser A, AGM, AMT | 5.00% | 10/01/25 | 579,934 | ||||
2,380,000 | AL St Port Auth Docks Facs Rev Ref Docks Facs Rev, Ser A, AGM, AMT | 5.00% | 10/01/29 | 2,868,947 | ||||
1,100,000 | Birmingham AL Wtrwks Brd Wtr Rev Ref Sr, Ser A | 5.00% | 01/01/32 | 1,341,124 | ||||
940,000 | Birmingham AL Wtrwks Brd Wtr Rev Ref Sr, Ser A | 4.00% | 01/01/34 | 1,098,426 | ||||
2,325,000 | Birmingham AL Wtrwks Brd Wtr Rev Ref, Subser B | 5.00% | 01/01/43 | 2,834,648 | ||||
370,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev Proj #5, Ser A-1 | 4.00% | 04/01/26 | 420,410 | ||||
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 | 8,056,947 | ||||
1,945,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev, Ser A (Mandatory put 12/01/23) | 4.00% | 12/01/48 | 2,073,472 | ||||
415,000 | Gulf Shores AL Ref Warrants, Ser A | 5.00% | 12/15/35 | 510,386 | ||||
310,000 | Gulf Shores AL Ref Warrants, Ser A | 5.00% | 12/15/38 | 381,375 | ||||
400,000 | Homewood AL Eductnl Bldg Auth Rev Ref Samford Univ Proj, Ser A | 4.00% | 12/01/33 | 465,685 | ||||
950,000 | Homewood AL Eductnl Bldg Auth Rev Ref Samford Univ Proj, Ser A | 4.00% | 12/01/34 | 1,099,221 | ||||
450,000 | Infirmary Hlth Sys AL Spl Care Facs Fing Auth Rev Infirmary Hlth Sys Inc, Ser A | 5.00% | 02/01/36 | 514,283 | ||||
930,000 | Leeds AL Pub Eductnl Bldg Auth Eductnl Facs Rev Ref Edu, AGM | 4.00% | 04/01/29 | 1,037,552 | ||||
695,000 | Leeds AL Pub Eductnl Bldg Auth Eductnl Facs Rev Ref Edu, AGM | 4.00% | 04/01/30 | 775,350 | ||||
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 | 1,682,968 | ||||
1,445,000 | Lower AL Gas Dist Gas Proj Rev, Ser A | 5.00% | 09/01/31 | 1,832,726 | ||||
490,000 | Mobile AL Impt Dist Sales Tax Rev Mcgowin Park Proj, Ser A | 5.00% | 08/01/25 | 505,764 | ||||
500,000 | Mobile Cnty AL Impt Warrants | 5.00% | 08/01/30 | 583,986 | ||||
1,105,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 4.00% | 11/01/30 | 1,252,917 | ||||
1,565,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 4.00% | 11/01/31 | 1,767,976 | ||||
1,605,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 4.00% | 11/01/32 | 1,808,658 | ||||
1,395,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 4.00% | 11/01/33 | 1,569,149 | ||||
1,765,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 4.00% | 11/01/34 | 1,979,926 | ||||
1,840,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 4.00% | 11/01/35 | 2,058,618 | ||||
110,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #1, Ser A (Mandatory put 04/01/24) | 4.00% | 04/01/49 | 118,255 | ||||
6,475,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A (Mandatory put 06/01/24) | 4.00% | 06/01/49 | 6,993,949 | ||||
3,000,000 | SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A (Mandatory put 10/01/28) | 4.00% | 11/01/51 | 3,503,260 | ||||
1,040,000 | Troy AL Ref Warrants, BAM | 4.00% | 07/01/35 | 1,117,888 | ||||
105,000 | UAB Medicine Fin Auth AL Rev Ref UAB Medicine, Ser B | 5.00% | 09/01/34 | 124,777 | ||||
1,000,000 | UAB Medicine Fin Auth AL Rev Ref UAB Medicine, Ser B2 | 5.00% | 09/01/30 | 1,204,126 | ||||
5,000,000 | UAB Medicine Fin Auth AL Rev Ref UAB Medicine, Ser B2 | 5.00% | 09/01/41 | 5,941,056 | ||||
1,000,000 | UAB Medicine Fin Auth AL Rev UAB Medicine Oblig Grp, Ser B | 4.00% | 09/01/38 | 1,164,036 | ||||
62,797,523 | ||||||||
Alaska – 0.2% | ||||||||
1,880,000 | AK St Indl Dev & Export Auth Pwr Rev Ref Snettisham Hydroelectric Proj, AMT | 4.00% | 01/01/28 | 1,985,857 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Alaska (Continued) | ||||||||
$450,000 | Nthrn AK Tobacco Securitization Corp Tobacco Stlmt Rev Ref Sr, Ser A, Class 1 | 4.00% | 06/01/39 | $524,701 | ||||
1,500,000 | Nthrn AK Tobacco Securitization Corp Tobacco Stlmt Rev Ref Sr, Ser A, Class 1 | 4.00% | 06/01/40 | 1,744,732 | ||||
4,255,290 | ||||||||
Arizona – 2.5% | ||||||||
1,205,000 | AZ Brd of Rgts Univ AZ Sys Rev Green Bond, Ser B | 5.00% | 06/01/28 | 1,434,405 | ||||
1,000,000 | AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj (a) | 5.00% | 07/01/49 | 1,135,254 | ||||
625,000 | AZ St Indl Dev Auth Edu Rev Cadence Cmps Proj, Ser A (a) | 4.00% | 07/15/30 | 682,871 | ||||
925,000 | AZ St Indl Dev Auth Edu Rev Cadence Cmps Proj, Ser A (a) | 4.00% | 07/15/40 | 990,040 | ||||
175,000 | AZ St Indl Dev Auth Edu Rev Doral Acdmy NV Fire Mesa & Red Rock Cmps Proj, Ser A (a) | 5.00% | 07/15/39 | 198,013 | ||||
500,000 | AZ St Indl Dev Auth Edu Rev Macombs Fac Proj Social Bonds, Ser A | 4.00% | 07/01/41 | 553,248 | ||||
375,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser D (a) | 5.00% | 07/01/37 | 434,079 | ||||
1,055,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (a) | 5.00% | 07/01/26 | 1,160,312 | ||||
1,030,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser G (a) | 5.00% | 07/01/37 | 1,192,270 | ||||
500,000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (a) | 4.00% | 07/15/51 | 540,217 | ||||
950,000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (a) | 4.00% | 07/15/56 | 1,018,927 | ||||
800,000 | AZ St Indl Dev Auth Edu Rev Somerset Acdmy of Lv Aliante & Skye Canyon Cmps Proj, Ser A (a) | 4.00% | 12/15/51 | 854,275 | ||||
500,000 | AZ St Indl Dev Auth Edu Rev, Ser A (a) | 4.00% | 07/15/30 | 551,078 | ||||
415,000 | AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan Fd Social Bonds Equitable Sch Revolving Fund, Ser A | 5.00% | 11/01/31 | 511,111 | ||||
1,005,000 | AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan Fd Social Bonds Equitable Sch Revolving Fund, Ser A | 5.00% | 11/01/33 | 1,231,594 | ||||
1,100,000 | AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan Fd Social Bonds Equitable Sch Revolving Fund, Ser A | 4.00% | 11/01/36 | 1,276,004 | ||||
465,000 | AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan Fd Social Bonds Equitable Sch Revolving Fund, Ser A | 5.00% | 11/01/37 | 563,442 | ||||
595,000 | AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan Fd Social Bonds Equitable Sch Revolving Fund, Ser A | 4.00% | 11/01/38 | 687,293 | ||||
750,000 | AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan Fd Social Bonds Equitable Sch Revolving Fund, Ser A | 4.00% | 11/01/39 | 864,263 | ||||
3,850,000 | AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan Fd Social Bonds Equitable Sch Revolving Fund, Ser A | 4.00% | 11/01/45 | 4,373,657 | ||||
1,000,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 08/01/27 | 1,222,728 | ||||
1,985,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 11/01/27 | 2,440,644 | ||||
1,000,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 05/01/28 | 1,243,998 | ||||
1,000,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 08/01/28 | 1,250,944 | ||||
4,000,000 | Glendale AZ Indl Dev Auth Sr Living Facs Rev Ref Sun Hlth Svcs, Ser A | 5.00% | 11/15/42 | 4,597,751 | ||||
1,300,000 | Maricopa Cnty AZ Elem Sch Dist #25 Liberty, Ser A, AGM | 5.00% | 07/01/31 | 1,642,907 | ||||
1,350,000 | Maricopa Cnty AZ Elem Sch Dist #25 Liberty, Ser A, AGM | 5.00% | 07/01/32 | 1,701,432 | ||||
200,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Greathearts AZ Projs, Ser C | 5.00% | 07/01/25 | 230,044 | ||||
830,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Schs Proj | 4.00% | 07/01/30 | 964,298 | ||||
435,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Schs Proj | 4.00% | 07/01/31 | 502,766 | ||||
450,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Schs Proj | 4.00% | 07/01/32 | 517,613 | ||||
700,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Schs Proj | 4.00% | 07/01/33 | 804,128 | ||||
985,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Schs Proj | 4.00% | 07/01/34 | 1,128,859 | ||||
1,025,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Schs Proj | 4.00% | 07/01/35 | 1,171,943 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Arizona (Continued) | ||||||||
$750,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Greathearts AZ Projs, Ser A | 5.00% | 07/01/37 | $874,273 | ||||
500,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Horizon Cmnty Learning Ctr Proj | 5.00% | 07/01/35 | 545,705 | ||||
500,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Sch Proj | 4.00% | 07/01/34 | 573,025 | ||||
1,100,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Schs Proj Auth, Ser B (a) | 5.00% | 07/01/39 | 1,281,504 | ||||
1,000,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Schs Proj Auth, Ser B (a) | 5.00% | 07/01/49 | 1,142,607 | ||||
500,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Paradise Schs Projs Paragon Mgmt Inc (a) | 4.00% | 07/01/26 | 533,907 | ||||
1,475,000 | Maricopa Cnty AZ Spl Hlthcare Dist Aka Maricopa Integrated Hlth Sys, Ser C | 5.00% | 07/01/27 | 1,808,808 | ||||
1,450,000 | Maricopa Cnty AZ Unif Sch Dist #48 Scottsdale, Ser D | 4.00% | 07/01/34 | 1,747,427 | ||||
350,000 | Phoenix AZ Indl Dev Auth Edu Rev Fac Legacy Trad Schs Projs, Ser A (a) | 4.00% | 07/01/26 | 371,370 | ||||
3,655,000 | Phoenix AZ Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (a) | 5.00% | 07/01/35 | 4,051,355 | ||||
300,000 | Phoenix AZ Indl Dev Auth Stdt Hsg Rev Downtown Phoenix Stdt Hsg II LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/32 | 362,462 | ||||
300,000 | Phoenix AZ Indl Dev Auth Stdt Hsg Rev Downtown Phoenix Stdt Hsg II LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/33 | 361,754 | ||||
300,000 | Phoenix AZ Indl Dev Auth Stdt Hsg Rev Downtown Phoenix Stdt Hsg II LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/34 | 361,047 | ||||
350,000 | Phoenix AZ Indl Dev Auth Stdt Hsg Rev Downtown Phoenix Stdt Hsg II LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/35 | 420,399 | ||||
700,000 | Phoenix AZ Indl Dev Auth Stdt Hsg Rev Downtown Phoenix Stdt Hsg II LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/44 | 826,692 | ||||
200,000 | Phoenix AZ Indl Dev Auth Stdt Hsg Rev Ref Downtown Phoenix Stdt Hsg LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/26 | 233,972 | ||||
140,000 | Pima Cnty AZ Indl Dev Auth Edu Rev Fac American Leadership Acdmy Proj (a) | 4.00% | 06/15/22 | 141,531 | ||||
250,000 | Pima Cnty AZ Indl Dev Auth Edu Rev Ref Fac American Leadership Acdmy Proj (a) | 4.60% | 06/15/25 | 261,595 | ||||
1,230,000 | Salt River AZ Proj Agric Impt & Pwr Dist Elec Sys Rev Ref, Ser A | 5.00% | 12/01/31 | 1,264,348 | ||||
1,000,000 | Tempe AZ Indl Dev Auth Rev Ref Friendship Vlg of Tempe Proj, Ser A | 4.00% | 12/01/38 | 1,096,086 | ||||
1,435,000 | Yavapai Cnty AZ Jail Dist Rev, BAM | 5.00% | 07/01/31 | 1,783,999 | ||||
1,030,000 | Yavapai Cnty AZ Jail Dist Rev, BAM | 4.00% | 07/01/32 | 1,195,122 | ||||
60,911,396 | ||||||||
Arkansas – 0.1% | ||||||||
610,000 | AR Dev Fin Auth Hlthcare Rev Baptist Hlth | 4.00% | 12/01/44 | 696,073 | ||||
750,000 | AR St Dev Fin Auth Hlthcare Facs Rev Carti Surgery Ctr Proj, Ser B | 4.25% | 07/01/41 | 813,274 | ||||
350,000 | Univ of Central Arkansas AR Rev, Ser A, AGM | 5.00% | 11/01/34 | 403,037 | ||||
1,912,384 | ||||||||
California – 9.5% | ||||||||
790,000 | Anaheim CA Pub Fin Auth Lease Rev Pub Imps Proj, Ser A | 5.00% | 09/01/28 | 946,098 | ||||
1,000,000 | Bakersfield CA Wstwtr Rev Ref, Ser A | 5.00% | 09/15/30 | 1,164,594 | ||||
450,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 5.00% | 06/01/32 | 574,066 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$3,000,000 | CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Temps 50 Green Bond, Ser B-3 (a) | 2.13% | 11/15/27 | $3,020,152 | ||||
1,000,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Proj, Ser C | 4.50% | 07/01/26 | 1,110,563 | ||||
460,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (a) | 5.00% | 07/01/32 | 528,334 | ||||
480,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (a) | 5.00% | 07/01/33 | 550,853 | ||||
1,950,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (a) | 5.00% | 07/01/49 | 2,194,339 | ||||
1,325,000 | CA Sch Fin Auth Sch Fac Rev Kipp Socal Pub Schs, Ser A (a) | 5.00% | 07/01/39 | 1,601,893 | ||||
455,000 | CA Sch Fin Auth Sch Fac Rev Ref Hlth Learning Proj, Ser A (a) | 4.00% | 07/01/26 | 507,352 | ||||
800,000 | CA Sch Fin Auth Sch Fac Rev Ref Hlth Learning Proj, Ser A (a) | 5.00% | 07/01/32 | 923,719 | ||||
655,000 | CA Sch Fin Auth Sch Fac Rev, Ser A (a) | 5.00% | 07/01/40 | 746,650 | ||||
1,000,000 | CA St | 5.00% | 11/01/31 | 1,261,887 | ||||
750,000 | CA St | 5.00% | 08/01/32 | 922,416 | ||||
1,250,000 | CA St | 4.00% | 11/01/35 | 1,506,160 | ||||
225,000 | CA St Ent Dev Auth Lease Rev Riverside Cnty Library Fac Proj | 4.00% | 11/01/37 | 255,764 | ||||
1,865,000 | CA St Ent Dev Auth Lease Rev Riverside Cnty Library Fac Proj | 4.00% | 11/01/49 | 2,098,325 | ||||
480,000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A | 4.00% | 03/01/33 | 501,621 | ||||
400,000 | CA St Hlth Facs Fing Auth Rev Ref Sutter Hlth, Ser B | 5.00% | 11/15/33 | 481,805 | ||||
600,000 | CA St Hlth Facs Fing Auth Rev Sutter Hlth, Ser A | 5.00% | 11/15/33 | 738,859 | ||||
8,100,000 | CA St Infra & Econ Dev Bank Lease Rev Green Bond | 5.00% | 08/01/44 | 9,990,895 | ||||
445,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Vista Chrt Middle Sch Proj (b) | 5.38% | 07/01/34 | 485,214 | ||||
600,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj (a) | 4.00% | 07/01/26 | 639,003 | ||||
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 | 1,637,866 | ||||
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 | 1,941,224 | ||||
200,000 | CA St Muni Fin Auth Rev Channing House Proj, Ser B | 5.00% | 05/15/37 | 232,212 | ||||
500,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/34 | 597,987 | ||||
1,250,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/33 | 1,411,352 | ||||
600,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/34 | 676,882 | ||||
1,000,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/35 | 1,126,624 | ||||
1,000,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/36 | 1,125,369 | ||||
2,130,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/39 | 2,386,666 | ||||
3,420,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 5.00% | 10/01/44 | 4,019,951 | ||||
680,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/27 | 813,777 | ||||
650,000 | CA St Muni Fin Auth Rev Sr Lien Linxs APM Proj, Ser A, AMT | 5.00% | 06/30/28 | 799,607 | ||||
200,000 | CA St Muni Fin Auth Sr Living Rev Ref Mt San Antonio Gardens Proj | 4.00% | 11/15/27 | 228,751 | ||||
4,000,000 | CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I LLC W Vlg Stdt Hsg Proj, BAM | 5.00% | 05/15/36 | 4,939,329 | ||||
500,000 | CA St Muni Fin Auth Stdt Hsg Rev Green Bond Orchard Park Stdt Hsg Proj, BAM | 4.00% | 05/15/39 | 583,106 | ||||
500,000 | CA St Muni Fin Auth Stdt Hsg Rev Green Bond Orchard Park Stdt Hsg Proj, BAM | 4.00% | 05/15/40 | 581,861 | ||||
500,000 | CA St Muni Fin Auth Stdt Hsg Rev Green Bond Orchard Park Stdt Hsg Proj, BAM | 4.00% | 05/15/41 | 580,282 | ||||
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 | 1,091,269 | ||||
1,250,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Rialto Bioenergy Fac LLC Proj Green Bond, AMT (a) | 6.75% | 12/01/28 | 1,127,894 | ||||
2,000,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Rialto Bioenergy Fac LLC Proj Green Bond, AMT (a) | 7.50% | 12/01/40 | 1,642,841 | ||||
4,990,000 | CA St Poll Control Fin Auth Wtr Furnishing Rev, AMT (a) | 5.00% | 07/01/37 | 5,197,960 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$1,000,000 | CA St Pub Wks Brd Lease Rev, Ser B | 4.00% | 05/01/41 | $1,177,851 | ||||
775,000 | CA St Ref | 5.00% | 04/01/29 | 992,746 | ||||
2,000,000 | CA St Ref Various Purp | 5.00% | 04/01/36 | 2,211,867 | ||||
500,000 | CA St Ref, Ser C | 5.00% | 09/01/32 | 581,923 | ||||
2,000,000 | CA St Sch Fin Auth Chrt Sch Rev Arts in Action Chrt Schs, Ser A (a) | 5.00% | 06/01/40 | 2,204,084 | ||||
500,000 | CA St Sch Fin Auth Chrt Sch Rev Summit Pub Schs (a) | 5.00% | 06/01/37 | 571,726 | ||||
2,315,000 | CA St Stwd Cmntys Dev Auth Transprtn Rev Total Road Impt Prog, Ser B, AGM, COPS | 5.00% | 12/01/41 | 2,867,782 | ||||
1,595,000 | CA St Univ Rev Systemwide, Ser A | 5.00% | 11/01/21 | 1,595,000 | ||||
745,000 | CA St Various Purp | 5.00% | 10/01/27 | 888,346 | ||||
1,000,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/30 | 1,157,619 | ||||
450,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/33 | 543,742 | ||||
250,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (a) | 3.00% | 11/01/22 | 252,769 | ||||
500,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (a) | 5.00% | 11/01/32 | 593,072 | ||||
100,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/30 | 119,561 | ||||
195,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/31 | 232,148 | ||||
225,000 | California Cnty CA Tobacco Securitization Agy Tobacco Settle Ref Sonoma Cnty Securitization Corp, Ser A | 5.00% | 06/01/31 | 292,075 | ||||
200,000 | California Cnty CA Tobacco Securitization Agy Tobacco Settle Ref Sonoma Cnty Securitization Corp, Ser A | 5.00% | 06/01/32 | 258,120 | ||||
230,000 | California Cnty CA Tobacco Securitization Agy Tobacco Settle Ref Sonoma Cnty Securitization Corp, Ser A | 5.00% | 06/01/33 | 295,833 | ||||
150,000 | California Cnty CA Tobacco Securitization Agy Tobacco Settle Ref Sonoma Cnty Securitization Corp, Ser A | 4.00% | 06/01/34 | 179,526 | ||||
250,000 | California Cnty CA Tobacco Securitization Agy Tobacco Settle Ref Sonoma Cnty Securitization Corp, Ser A | 4.00% | 06/01/36 | 297,447 | ||||
300,000 | Cathedral City CA Redev Agy Successor Agy Tax Allocation Rev Ref Sub Hsg Merged Redev Proj Area, Ser C, BAM | 4.00% | 08/01/27 | 343,699 | ||||
500,000 | Cathedral City CA Redev Agy Successor Agy Tax Allocation Rev Ref Sub Hsg Merged Redev Proj Area, Ser C, BAM | 4.00% | 08/01/28 | 578,816 | ||||
370,000 | Chino CA Cmnty Facs Dist Spl Tax #2003-3 Impt Area #7 | 5.00% | 09/01/30 | 451,836 | ||||
300,000 | Chino Vly CA Unif Sch Dist, Ser B | 5.00% | 08/01/38 | 385,795 | ||||
250,000 | Chino Vly CA Unif Sch Dist, Ser B | 5.00% | 08/01/39 | 320,759 | ||||
1,000,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev the Link Glendale Social Bonds, Ser A-2 (a) | 4.00% | 07/01/56 | 1,032,345 | ||||
1,000,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev Union S Bay Social Bonds, Ser A-2 (a) | 4.00% | 07/01/56 | 1,034,845 | ||||
2,160,000 | Etiwanda CA Sch Dist Cmnty Facs Dist #9 Spl Tax Ref | 5.00% | 09/01/35 | 2,456,431 | ||||
130,000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No 19 Mangini | 4.00% | 09/01/24 | 140,916 | ||||
155,000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No 19 Mangini | 4.00% | 09/01/25 | 171,287 | ||||
165,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 4.00% | 09/01/39 | 182,722 | ||||
170,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 4.00% | 09/01/40 | 187,998 | ||||
175,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 4.00% | 09/01/41 | 193,187 | ||||
250,000 | Fontana CA Spl Tax Spl Tax the Meadows | 4.00% | 09/01/27 | 282,826 | ||||
265,000 | Fontana CA Spl Tax Spl Tax the Meadows | 4.00% | 09/01/28 | 303,202 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$280,000 | Fontana CA Spl Tax Spl Tax the Meadows | 4.00% | 09/01/29 | $321,154 | ||||
535,000 | Fontana CA Spl Tax Spl Tax the Meadows | 4.00% | 09/01/36 | 605,213 | ||||
500,000 | Foothill-De Anza CA Cmnty Clg Dist Ref, COPS | 5.00% | 04/01/32 | 568,091 | ||||
300,000 | Gilroy CA Unif Sch Dist Election 2016 | 4.00% | 08/01/39 | 351,517 | ||||
1,200,000 | Gilroy CA Unif Sch Dist Election 2016 | 4.00% | 08/01/40 | 1,403,832 | ||||
2,185,000 | Gilroy CA Unif Sch Dist Election 2016 | 4.00% | 08/01/44 | 2,536,879 | ||||
380,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Asset Backed Ref, Ser A | 3.25% | 06/01/34 | 418,103 | ||||
6,000,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Ser A-1 | 5.00% | 06/01/34 | 7,223,000 | ||||
1,360,000 | Hawthorne CA Cmnty Redev Agy Successor Agy Tax Allocation Ref Sub, AGM | 5.00% | 09/01/32 | 1,569,974 | ||||
2,500,000 | Hayward CA Unif Sch Dist, AGM | 4.00% | 08/01/45 | 2,890,815 | ||||
3,000,000 | Hayward CA Unif Sch Dist, Ser A, BAM | 4.00% | 08/01/40 | 3,461,451 | ||||
175,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist No 09-1, Ser A | 5.00% | 09/01/31 | 221,535 | ||||
365,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist No 09-1, Ser A | 5.00% | 09/01/32 | 460,860 | ||||
125,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist No 09-1, Ser A | 5.00% | 09/01/34 | 156,722 | ||||
2,885,000 | Kaweah CA Delta Hlthcare Dist Rev, Ser B | 5.00% | 06/01/40 | 3,280,569 | ||||
210,000 | La Verne CA Ref Brethren Hillcrest Homes, COPS | 5.00% | 05/15/22 | 215,374 | ||||
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 | 955,321 | ||||
1,045,000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Mountain House Sch Facs | 4.00% | 09/01/49 | 1,161,468 | ||||
835,000 | Live Oak CA Sch Dist Santa Cruz Cnty Ref | 5.00% | 08/01/30 | 997,894 | ||||
45,000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.25% | 11/15/23 | 49,394 | ||||
400,000 | Los Angeles CA Dept of Arpts Arpt Rev Sub Los Angeles Intl Arpt, Ser B, AMT | 5.00% | 05/15/31 | 471,043 | ||||
2,000,000 | Los Angeles CA Dept of Arpts Arpt Rev Subord Ref, Ser A, AMT | 4.00% | 05/15/44 | 2,275,122 | ||||
100,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/33 | 114,759 | ||||
1,260,000 | Marina Coast CA Wtr Dist Enterprise Rev, COPS | 4.00% | 06/01/44 | 1,457,264 | ||||
1,675,000 | Marysville CA Jt Unif Sch Dist Green Bond 2021 Energy Efficiency Proj, BAM, COPS | 4.00% | 06/01/36 | 1,934,494 | ||||
325,000 | Menifee CA Union Sch Dist Pub Fing Auth Spl Tax Rev Ref, Ser A | 5.00% | 09/01/28 | 365,360 | ||||
175,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/30 | 206,309 | ||||
150,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/31 | 176,372 | ||||
145,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/32 | 170,279 | ||||
165,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/33 | 193,531 | ||||
1,710,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/44 | 1,981,038 | ||||
1,450,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/48 | 1,674,374 | ||||
2,515,000 | Napa Vly CA Unif Sch Dist, Ser C, AGM | 4.00% | 08/01/38 | 2,859,034 | ||||
2,165,000 | Norco CA Spl Tax Ref Norco Ridge Ranch, BAM | 5.00% | 09/01/30 | 2,640,285 | ||||
1,315,000 | Oak Vly CA Hosp Dist Hlth Facs Rev Ref, Ser A | 4.00% | 11/01/36 | 1,386,427 | ||||
1,000,000 | Orange CA Pub Facs Fing Auth Lease Rev, Ser A | 4.00% | 11/01/37 | 1,167,651 | ||||
1,040,000 | Orange CA Pub Facs Fing Auth Lease Rev, Ser A | 4.00% | 11/01/38 | 1,212,165 | ||||
110,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax #2018-1 Grantline 208 | 5.00% | 09/01/26 | 128,800 | ||||
200,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Rev Grantline 208 Cmnty Fac Dt #2018-1 | 4.00% | 09/01/50 | 219,939 | ||||
500,000 | River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2003-1, Ser A | 5.00% | 09/01/43 | 572,982 | ||||
500,000 | River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2019-1 Phase 2 Pub Impts | 4.00% | 09/01/33 | 555,280 | ||||
560,000 | River Islands CA Pub Fing Auth Spl Tax Ref Cmnty Facs Dist #2003-1 | 5.38% | 09/01/31 | 588,546 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$215,000 | Riverside CA Unif Sch Dist Cmnty Facs Dt #33 Citrus Heights II Spl Tax | 4.00% | 09/01/27 | $241,701 | ||||
225,000 | Riverside CA Unif Sch Dist Cmnty Facs Dt #33 Citrus Heights II Spl Tax | 4.00% | 09/01/28 | 255,419 | ||||
500,000 | Riverside CA Unif Sch Dist Election of 2016, Ser B | 4.00% | 08/01/35 | 577,027 | ||||
1,340,000 | Riverside Cnty CA Transprtn Commn Toll Rev Ref Sr Lien RCTC 91 Express Lanes, Ser B-1 | 4.00% | 06/01/46 | 1,543,087 | ||||
865,000 | Rocklin CA Unif Sch Dist Cmnty Facs Dist Subord, Ser 2019, BAM | 5.00% | 09/15/34 | 1,079,612 | ||||
625,000 | Rocklin CA Unif Sch Dist Cmnty Facs Dist Subord, Ser 2019, BAM | 4.00% | 09/15/35 | 728,024 | ||||
1,080,000 | Rocklin CA Unif Sch Dist Cmnty Facs Dist Subord, Ser 2019, BAM | 4.00% | 09/15/36 | 1,253,247 | ||||
110,000 | Roseville CA Spl Tax | 5.00% | 09/01/30 | 129,285 | ||||
100,000 | Roseville CA Spl Tax | 5.00% | 09/01/31 | 117,223 | ||||
350,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No 1 | 4.00% | 09/01/37 | 395,430 | ||||
640,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No 1 | 4.00% | 09/01/46 | 714,665 | ||||
205,000 | Roseville CA Spl Tax Vlg CFD #1 | 4.00% | 09/01/32 | 233,844 | ||||
225,000 | Roseville CA Spl Tax Vlg CFD #1 | 4.00% | 09/01/37 | 256,055 | ||||
310,000 | Roseville CA Spl Tax Vlg CFD #1 | 4.00% | 09/01/41 | 350,227 | ||||
520,000 | Roseville CA Spl Tax Vlg CFD #1 | 4.00% | 09/01/46 | 583,473 | ||||
710,000 | Roseville CA Spl Tax Vlg CFD #1 | 4.00% | 09/01/51 | 794,360 | ||||
340,000 | S San Francisco CA Pub Facs Fing Auth Lease Rev Police Station Proj, Ser A | 4.00% | 06/01/33 | 413,005 | ||||
400,000 | S San Francisco CA Pub Facs Fing Auth Lease Rev Police Station Proj, Ser A | 4.00% | 06/01/34 | 483,219 | ||||
1,470,000 | S San Francisco CA Pub Facs Fing Auth Lease Rev Police Station Proj, Ser A | 4.00% | 06/01/46 | 1,702,767 | ||||
260,000 | Sacramento CA Spl Tax | 4.00% | 09/01/30 | 297,889 | ||||
220,000 | Sacramento CA Spl Tax | 4.00% | 09/01/31 | 251,262 | ||||
315,000 | Sacramento CA Spl Tax | 4.00% | 09/01/32 | 358,840 | ||||
515,000 | Sacramento CA Spl Tax | 4.00% | 09/01/33 | 585,818 | ||||
615,000 | Sacramento CA Spl Tax | 4.00% | 09/01/35 | 697,404 | ||||
500,000 | Sacramento CA Transient Occupancy Tax Rev Sub Convention Ctr Complex, Ser C | 5.00% | 06/01/35 | 597,726 | ||||
645,000 | San Diego Cnty CA Ltd Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A | 5.00% | 11/01/25 | 754,902 | ||||
750,000 | San Diego Cnty CA Ltd Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A | 5.00% | 11/01/26 | 879,739 | ||||
945,000 | San Diego Cnty CA Regl Arpt Auth Sr, Ser B, AMT | 5.00% | 07/01/30 | 1,011,764 | ||||
1,250,000 | San Diego Cnty CA Regl Transprtn Commn Sales Tax Rev, Ser A | 5.00% | 04/01/35 | 1,474,938 | ||||
4,975,000 | San Francisco CA Bay Area Rapid Transit Dist Ref Election 2004, Ser D | 4.00% | 08/01/34 | 5,543,344 | ||||
1,365,000 | San Francisco CA Bay Area Rapid Transit Dist Sales Tax Rev, Ser A | 4.00% | 07/01/36 | 1,570,102 | ||||
1,330,000 | San Francisco CA Bay Area Rapid Transit Dist Sales Tax Rev, Ser A | 4.00% | 07/01/37 | 1,527,027 | ||||
1,000,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref, Ser D, AMT | 5.00% | 05/01/22 | 1,023,736 | ||||
1,000,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev, Ser A, AMT | 5.00% | 05/01/39 | 1,225,040 | ||||
13,050,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev, Ser E, AMT | 5.00% | 05/01/50 | 15,691,371 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$700,000 | San Francisco CA City & Cnty Dcnty Dev Spl Tax Dist No Mission Rock Fac & Svcs, Ser A (a) | 4.00% | 09/01/41 | $791,313 | ||||
2,800,000 | San Francisco CA City & Cnty, Ser D-1 | 4.00% | 06/15/43 | 3,240,829 | ||||
185,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1 | 4.00% | 09/01/29 | 210,413 | ||||
145,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1 | 4.00% | 09/01/30 | 164,393 | ||||
335,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1 | 4.00% | 09/01/31 | 378,803 | ||||
245,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1 | 4.00% | 09/01/32 | 276,472 | ||||
300,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1 | 4.00% | 09/01/33 | 338,043 | ||||
525,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1 | 4.00% | 09/01/42 | 588,868 | ||||
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 | 329,428 | ||||
800,000 | San Luis Obispo CA Cmnty Facs Dist #2019-1 Spl Tax | 4.00% | 09/01/36 | 919,040 | ||||
4,310,000 | San Mateo Foster City CA Pub Fing Auth Wstwtr Rev Clean Wtr Prog | 4.00% | 08/01/44 | 5,056,439 | ||||
150,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/32 | 175,455 | ||||
375,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/39 | 433,810 | ||||
1,715,000 | Simi Vly CA Unif Sch Dist, Ser C | 4.00% | 08/01/42 | 2,000,354 | ||||
5,000,000 | Simi Vly CA Unif Sch Dist, Ser C | 4.00% | 08/01/50 | 5,777,897 | ||||
1,185,000 | Sonoma Vly CA Unif Sch Dist | 4.00% | 08/01/38 | 1,384,427 | ||||
860,000 | Sonoma Vly CA Unif Sch Dist | 4.00% | 08/01/40 | 1,001,256 | ||||
160,000 | Tahoe Truckee CA Unif Sch Dist, COPS, BAM | 4.00% | 06/01/35 | 179,200 | ||||
255,000 | Tahoe Truckee CA Unif Sch Dist, COPS, BAM | 4.00% | 06/01/36 | 285,108 | ||||
1,000,000 | Tahoe Truckee CA Unif Sch Dist, COPS, BAM | 4.00% | 06/01/43 | 1,107,777 | ||||
100,000 | Temecula Vly Unif Sch Dist Fing Auth CA Spl Tax Rev, BAM | 5.00% | 09/01/34 | 113,506 | ||||
385,000 | Temescal Vly CA Wtr Dist Spl Tax Terramor Cmnty Facs Dist #4 Impt Area #1 | 4.00% | 09/01/23 | 406,527 | ||||
1,300,000 | Tobacco Securitization Auth Nthrn CA Tobacco Stlmt Rev Ref Sr Bonds Sacramento Co Tocacco Secur Corp A, Class 1 | 4.00% | 06/01/38 | 1,533,078 | ||||
1,000,000 | Tobacco Securitization Auth Sthrn CA Tobacco Stlmt Rev Ref San Diego Co Tobacco Securitization Corp Class 1, Ser A | 5.00% | 06/01/35 | 1,253,423 | ||||
1,600,000 | Tobacco Securitization Auth Sthrn CA Tobacco Stlmt Rev Ref San Diego Co Tobacco Securitization Corp Class 1, Ser A | 5.00% | 06/01/36 | 1,999,301 | ||||
1,000,000 | Tobacco Securitization Auth Sthrn CA Tobacco Stlmt Rev Ref San Diego Co Tobacco Securitization Corp Class 1, Ser A | 5.00% | 06/01/37 | 1,246,249 | ||||
650,000 | Tulare CA Loc Hlthcare Dist Ref, BAM | 4.00% | 08/01/35 | 772,982 | ||||
4,500,000 | Univ of California CA Revs Ref Ltd Proj, Ser O | 5.00% | 05/15/48 | 5,484,130 | ||||
300,000 | Vacaville CA Unif Sch Dist, Ser D | 4.00% | 08/01/35 | 354,788 | ||||
600,000 | Vacaville CA Unif Sch Dist, Ser D | 4.00% | 08/01/37 | 706,440 | ||||
500,000 | Vacaville CA Unif Sch Dist, Ser D | 4.00% | 08/01/38 | 587,669 | ||||
1,050,000 | Victor CA Elem Sch Dist Cmnty Facs Dist Spl Tax Ref 2005-1, BAM | 5.00% | 09/01/46 | 1,212,437 | ||||
227,725,920 | ||||||||
Colorado – 7.9% | ||||||||
1,125,000 | Allison Vly Met Dist #2 CO Ref | 4.70% | 12/01/47 | 1,181,624 | ||||
1,625,000 | Bennett Ranch Met Dist #1 CO, Ser A | 5.00% | 12/01/41 | 1,754,544 | ||||
1,000,000 | Bennett Ranch Met Dist #1 CO, Ser A | 5.00% | 12/01/51 | 1,072,966 | ||||
225,000 | Breckenridge CO Ref, Ser B, COPS | 5.00% | 12/01/32 | 290,092 | ||||
1,240,000 | Breckenridge CO Ref, Ser B, COPS | 4.00% | 12/01/39 | 1,447,195 | ||||
515,000 | Brighton Crossing Met Dist #6 CO, Ser A | 5.00% | 12/01/40 | 563,548 | ||||
1,340,000 | Brighton Crossing Met Dist #6 CO, Ser A | 5.00% | 12/01/50 | 1,452,827 | ||||
740,000 | Broomfield Vlg CO Met Dist #2, Ser A-2 (a) | 5.00% | 12/01/49 | 786,452 | ||||
455,000 | Buffalo Ridge CO Met Dist Ref & Impt Sr, Ser A, BAM | 5.00% | 12/01/25 | 529,301 | ||||
250,000 | Buffalo Ridge CO Met Dist Ref & Impt Sr, Ser A, BAM | 5.00% | 12/01/26 | 299,411 | ||||
750,000 | Cascade Ridge Met Dist CO | 5.00% | 12/01/51 | 738,744 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado (Continued) | ||||||||
$400,000 | CO Eductnl & Cultural Auth Rev Ref W Ridge Acdmy Chrt Sch Proj, Ser A | 5.00% | 06/01/49 | $428,247 | ||||
5,480,000 | CO St Bldg Excellent Schs Today, Ser N, COPS | 5.00% | 03/15/37 | 6,652,040 | ||||
700,000 | CO St Bldg Excellent Schs Today, Ser O, COPS | 5.00% | 03/15/31 | 878,769 | ||||
3,615,000 | CO St Bldg Excellent Schs Today, Ser O, COPS | 4.00% | 03/15/37 | 4,210,360 | ||||
4,890,000 | CO St Bldg Excellent Schs Today, Ser O, COPS | 4.00% | 03/15/38 | 5,684,592 | ||||
1,250,000 | CO St Bldg Excellent Schs Today, Ser O, COPS | 4.00% | 03/15/44 | 1,431,299 | ||||
8,000,000 | CO St Bldg Excellent Schs Today, Ser R, COPS | 4.00% | 03/15/45 | 9,249,583 | ||||
1,920,000 | CO St Eductnl & Cultural Facs Auth Rev Chrt Sch Loveland Classical Schs Proj (a) | 5.00% | 07/01/36 | 2,102,529 | ||||
545,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp | 4.00% | 12/15/25 | 576,082 | ||||
660,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp | 5.00% | 12/15/28 | 748,391 | ||||
2,245,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp | 5.00% | 12/15/35 | 2,508,585 | ||||
4,000,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp | 5.00% | 12/15/45 | 4,417,660 | ||||
1,020,000 | CO St Eductnl & Cultural Facs Auth Rev Univ Denver Proj, Ser A | 4.00% | 03/01/35 | 1,153,015 | ||||
1,750,000 | CO St Hlth Facs Auth Hosp Rev Parkview Med Ctr Proj, Ser A | 4.00% | 09/01/50 | 1,998,303 | ||||
2,460,000 | CO St Hlth Facs Auth Hosp Rev Ref Adventhealth Oblig, Ser A | 4.00% | 11/15/43 | 2,852,642 | ||||
250,000 | CO St Hlth Facs Auth Hosp Rev Ref Commonspirit Hlth, Ser A-1 | 5.00% | 08/01/35 | 309,717 | ||||
3,000,000 | CO St Hlth Facs Auth Hosp Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/38 | 3,442,698 | ||||
10,195,000 | CO St Hlth Facs Auth Hosp Rev Ref Commonspirit Hlth, Ser B | 4.00% | 01/01/40 | 11,868,121 | ||||
300,000 | CO St Hlth Facs Auth Hosp Rev Ref Frasier Meadows Retmnt Cmnty Proj, Ser A | 5.00% | 05/15/25 | 333,616 | ||||
350,000 | CO St Hlth Facs Auth Hosp Rev Ref Frasier Meadows Retmnt Cmnty Proj, Ser A | 5.00% | 05/15/26 | 396,940 | ||||
2,590,000 | CO St Hlth Facs Auth Hosp Rev Ref Sanford Hlth, Ser A | 5.00% | 11/01/31 | 3,301,885 | ||||
2,950,000 | CO St Hlth Facs Auth Hosp Rev Ref Sanford Hlth, Ser A | 5.00% | 11/01/32 | 3,751,629 | ||||
3,655,000 | CO St Hlth Facs Auth Hosp Rev Ref Sanford Hlth, Ser A | 5.00% | 11/01/33 | 4,639,866 | ||||
2,165,000 | CO St Hlth Facs Auth Hosp Rev Ref Sanford Hlth, Ser A | 5.00% | 11/01/34 | 2,740,995 | ||||
1,800,000 | CO St Hlth Facs Auth Hosp Rev Ref Sanford Hlth, Ser A | 5.00% | 11/01/44 | 2,232,880 | ||||
625,000 | CO St Hlth Facs Auth Hosp Rev Sr Living Ralston Creek Arvada Proj, Ser A | 5.25% | 11/01/32 | 537,756 | ||||
525,000 | CO St Hlth Facs Auth Rev Ref Covenant Retmnt Cmntys, Ser A | 5.00% | 12/01/33 | 552,260 | ||||
325,000 | CO St Ref, COPS | 4.00% | 06/15/37 | 384,123 | ||||
1,000,000 | CO St Ref, COPS | 4.00% | 06/15/38 | 1,179,361 | ||||
495,000 | Colorado Springs CO Pikes Peak Americas Mountain Enterprise Pikes Peak | 5.00% | 12/01/25 | 573,676 | ||||
1,200,000 | Colorado Springs CO Pikes Peak Americas Mountain Enterprise Pikes Peak | 5.25% | 12/01/48 | 1,455,611 | ||||
180,000 | Crystal Vly CO Met Dist #2 Ref, Ser A, AGM | 4.00% | 12/01/32 | 213,547 | ||||
325,000 | Crystal Vly CO Met Dist #2 Ref, Ser A, AGM | 4.00% | 12/01/33 | 384,750 | ||||
500,000 | Crystal Vly CO Met Dist #2 Ref, Ser A, AGM | 4.00% | 12/01/34 | 590,193 | ||||
330,000 | Crystal Vly CO Met Dist #2 Ref, Ser A, AGM | 4.00% | 12/01/35 | 388,940 | ||||
500,000 | Crystal Vly CO Met Dist #2 Ref, Ser A, AGM | 4.00% | 12/01/36 | 587,916 | ||||
5,000,000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/35 | 6,109,821 | ||||
4,000,000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/37 | 4,868,105 | ||||
975,000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/38 | 1,184,489 | ||||
1,000,000 | Denver CO City & Cnty Dedicated Tax Rev, Ser A-1 | 5.00% | 08/01/41 | 1,169,118 | ||||
1,370,000 | Denver CO Convention Ctr Hotel Auth Rev Ref Sr | 5.00% | 12/01/23 | 1,489,888 | ||||
600,000 | Denver CO Hlth & Hosp Auth 550 Acoma Inc, COPS | 5.00% | 12/01/26 | 716,615 | ||||
1,790,000 | Denver CO Intl Busn Ctr CO Met Dist #1 Subord, Ser B | 6.00% | 12/01/48 | 1,922,794 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado (Continued) | ||||||||
$4,885,000 | Eagle River CO Wtr & Santn Dist Enterprise Wstwtr Rev, Ser A, AGM | 4.00% | 12/01/49 | $5,661,695 | ||||
2,000,000 | Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr Bonds, Ser A (a) | 5.00% | 12/01/51 | 2,145,187 | ||||
525,000 | Firestone CO Wtr Enterprise Rev Ref, BAM | 4.00% | 12/01/37 | 622,807 | ||||
600,000 | Firestone CO Wtr Enterprise Rev Ref, BAM | 4.00% | 12/01/39 | 708,451 | ||||
375,000 | Flying Horse CO Met Dist #2 Ref, Ser A, AGM | 5.00% | 12/01/33 | 484,315 | ||||
225,000 | Flying Horse CO Met Dist #2 Ref, Ser A, AGM | 4.00% | 12/01/38 | 265,282 | ||||
200,000 | Flying Horse CO Met Dist #2 Ref, Ser A, AGM | 4.00% | 12/01/39 | 235,236 | ||||
900,000 | Hunters Overlook Metro Dist #5 CO Sr Bonds, Ser A | 5.00% | 12/01/39 | 988,087 | ||||
2,735,000 | Hunters Overlook Metro Dist #5 CO Sr Bonds, Ser A | 5.00% | 12/01/49 | 2,972,872 | ||||
1,000,000 | Independence Met Dist #3 CO, Ser A | 6.25% | 12/01/49 | 1,072,127 | ||||
1,000,000 | Jefferson Ctr CO Met Dist # 1 Spl Rev, Ser A-2 | 4.38% | 12/01/47 | 1,052,572 | ||||
860,000 | Lakes at Centerra Met Dist No 2 CO Impt, Ser A | 4.63% | 12/01/27 | 917,112 | ||||
1,000,000 | Lanterns Met Dist #1 CO Sr, Ser A | 5.00% | 12/01/49 | 1,070,018 | ||||
750,000 | Legato Cmnty Auth CO Ltd Tax Supported Rev Sr, Ser A-1 | 5.00% | 12/01/51 | 804,445 | ||||
100,000 | Lorson Ranch Met Dist #2 CO | 4.00% | 12/01/24 | 110,413 | ||||
170,000 | Lorson Ranch Met Dist #2 CO | 5.00% | 12/01/27 | 201,694 | ||||
3,260,000 | Mirabelle Met Dist #2 CO Sr, Ser A | 5.00% | 12/01/39 | 3,509,124 | ||||
520,000 | Nexus N at DIA Met Dist CO | 5.00% | 12/01/41 | 562,621 | ||||
565,000 | Nexus N at DIA Met Dist CO | 5.00% | 12/01/51 | 606,673 | ||||
3,000,000 | Painted Prairie Pub Impt Auth CO | 5.00% | 12/01/39 | 3,263,867 | ||||
2,460,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/24 | 2,781,476 | ||||
150,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/31 | 172,349 | ||||
150,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/34 | 171,447 | ||||
155,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/35 | 177,030 | ||||
2,000,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/45 | 2,255,411 | ||||
1,120,000 | Park Creek CO Met Dist Rev Sr Lien, Ser A, AGM | 4.00% | 12/01/34 | 1,333,802 | ||||
1,455,000 | Park Creek CO Met Dist Rev Sr Lien, Ser A, AGM | 4.00% | 12/01/35 | 1,730,380 | ||||
1,040,000 | Park Creek CO Met Dist Rev Sr Lien, Ser A, AGM | 4.00% | 12/01/36 | 1,234,195 | ||||
420,000 | Park Creek CO Met Dist Rev Sr, Ser A | 5.00% | 12/01/30 | 518,957 | ||||
30,000 | Park Creek CO Met Dist Rev Sr, Ser A, NATL-RE | 5.00% | 12/01/24 | 33,920 | ||||
500,000 | Parker Homestead Met Dist CO Ref (b) | 5.63% | 12/01/44 | 517,045 | ||||
1,150,000 | Peak Met Dist #1 CO, Ser A (a) | 5.00% | 12/01/51 | 1,245,482 | ||||
920,000 | Pinon Pines Met Dist #2 CO MDD | 5.00% | 12/01/40 | 1,002,252 | ||||
1,195,000 | Pinon Pines Met Dist #2 CO MDD | 5.00% | 12/01/50 | 1,290,633 | ||||
1,000,000 | Prairie Ctr CO Met Dist #3 Ltd Property Tax Supported Pri Ref, Ser A (a) | 4.13% | 12/15/27 | 1,055,424 | ||||
700,000 | Prairie Ctr Met Dist #7 CO | 4.88% | 12/15/44 | 751,232 | ||||
650,000 | Pronghorn Vly Met Dist CO, Ser A | 4.00% | 12/01/51 | 654,322 | ||||
5,000,000 | Rampart Range CO Met Dist #1 Ltd Tax Supported & Spl Rev Ref & Impt, AGM | 5.00% | 12/01/42 | 5,988,821 | ||||
500,000 | Rampart Range CO Met Dist #5 | 4.00% | 12/01/41 | 509,554 | ||||
850,000 | Regl CO Transprtn Dist Priv Activity Rev Ref Denver Transit Partners Eagle P3 Proj, Ser A | 5.00% | 07/15/29 | 1,064,518 | ||||
1,000,000 | Ridgeline Vista Met Dist CO, Ser A | 5.25% | 12/01/60 | 1,097,737 | ||||
2,015,000 | S Suburban Park & Recreation Dist CO, COPS | 4.00% | 12/15/35 | 2,266,196 | ||||
550,000 | Serenity Ridge CO Met Dist #2 Ref, Ser A (b) | 5.13% | 12/01/37 | 587,475 | ||||
1,900,000 | Siena Lake Met Dist CO | 4.00% | 12/01/51 | 1,857,628 | ||||
748,000 | Sierra Ridge Met Dist No 2 CO Sr, Ser A | 4.50% | 12/01/31 | 771,373 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado (Continued) | ||||||||
$2,065,000 | STC Met Dist #2 CO Ref, Ser A | 4.00% | 12/01/29 | $2,226,549 | ||||
3,000,000 | STC Met Dist #2 CO Ref, Ser A | 5.00% | 12/01/38 | 3,266,672 | ||||
1,000,000 | STC Met Dist #2 CO Ref, Ser A | 5.00% | 12/01/49 | 1,081,438 | ||||
175,000 | Sterling Hills CO W Met Dist Ref | 5.00% | 12/01/32 | 208,124 | ||||
1,205,000 | Sterling Ranch Met Dist #1 CO | 5.00% | 12/01/40 | 1,320,446 | ||||
1,800,000 | Takoda CO Met Dist Ref | 6.00% | 12/01/36 | 2,195,487 | ||||
1,400,000 | Thompson Crossing Met Dist #4 CO Ref | 5.00% | 12/01/39 | 1,515,191 | ||||
500,000 | Trails at Crowfoot Met Dist #3 CO Sr Ser, Ser A | 5.00% | 12/01/39 | 537,008 | ||||
1,500,000 | Transport Met Dist #3 CO MDD, Ser 2021-A-1 | 5.00% | 12/01/41 | 1,670,919 | ||||
1,960,000 | Transport Met Dist #3 CO MDD, Ser 2021-A-1 | 5.00% | 12/01/51 | 2,160,697 | ||||
1,500,000 | Westerly Met Dist #4 CO Sr, Ser A | 5.00% | 12/01/50 | 1,621,384 | ||||
600,000 | Willow Bend Met Dist CO Sr, Ser A | 5.00% | 12/01/39 | 645,091 | ||||
1,000,000 | Willow Bend Met Dist CO Sr, Ser A | 5.00% | 12/01/49 | 1,070,054 | ||||
190,178,428 | ||||||||
Connecticut – 3.3% | ||||||||
1,250,000 | CT St Hlth & Eductnl Facs Auth Rev Fairfield Univ, Ser Q-1 | 5.00% | 07/01/46 | 1,454,685 | ||||
4,700,000 | CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare Proj, Ser A | 4.00% | 07/01/38 | 5,531,650 | ||||
3,000,000 | CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare Proj, Ser A | 4.00% | 07/01/51 | 3,433,489 | ||||
1,000,000 | CT St Hlth & Eductnl Facs Auth Rev Quinnipiac Univ Ref, Ser M | 5.00% | 07/01/36 | 1,154,431 | ||||
225,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Fairfield Univ Issue, Ser T | 5.00% | 07/01/28 | 278,099 | ||||
6,160,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Fairfield Univ, Ser R | 4.00% | 07/01/47 | 6,810,316 | ||||
1,000,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Fairfield Univ, Ser S | 5.00% | 07/01/26 | 1,182,214 | ||||
2,250,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Quinnipiac Univ, Ser L | 5.00% | 07/01/31 | 2,544,011 | ||||
200,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Quinnipiac Univ, Ser L | 4.00% | 07/01/33 | 217,351 | ||||
1,210,000 | CT St Hlth & Eductnl Facs Auth Rev Yale Univ Issue Remk, Ser U-2 (Mandatory put 02/08/22) | 2.00% | 07/01/33 | 1,215,906 | ||||
500,000 | CT St Hlth & Eductnl Facs Auth Rev, Ser A | 5.00% | 07/01/34 | 630,933 | ||||
1,000,000 | CT St Hlth & Eductnl Facs Auth Rev, Ser A | 5.00% | 07/01/35 | 1,259,671 | ||||
1,000,000 | CT St Hlth & Eductnl Facs Auth Rev, Ser A | 4.00% | 07/01/36 | 1,159,401 | ||||
445,000 | CT St Hsg Fin Auth Hsg Fin Mtge Prog Ref, Subser A-1 | 3.65% | 11/15/32 | 458,507 | ||||
1,330,000 | CT St Hsg Fin Auth Hsg Fin Mtge Prog Ref, Subser B-1 | 3.55% | 11/15/33 | 1,370,528 | ||||
1,550,000 | CT St Spl Tax Oblig Rev Spl Tax Oblig Bonds | 5.00% | 05/01/40 | 1,959,163 | ||||
2,345,000 | CT St Spl Tax Oblig Rev Transprtn Infra, Ser A | 5.00% | 08/01/34 | 2,706,700 | ||||
1,445,000 | CT St, Ser A | 5.00% | 04/15/29 | 1,753,910 | ||||
500,000 | CT St, Ser A | 4.00% | 01/15/36 | 588,361 | ||||
5,000,000 | CT St, Ser A | 4.00% | 01/15/37 | 5,851,926 | ||||
3,125,000 | CT St, Ser A | 4.00% | 04/15/37 | 3,657,124 | ||||
4,625,000 | CT St, Ser A | 4.00% | 04/15/38 | 5,402,221 | ||||
790,000 | CT St, Ser B | 5.00% | 03/01/26 | 838,420 | ||||
2,295,000 | CT St, Ser D, BAM | 4.00% | 08/15/31 | 2,607,900 | ||||
905,000 | CT St, Ser E | 5.00% | 10/15/33 | 1,084,723 | ||||
560,000 | CT St, Ser E | 4.00% | 10/15/35 | 632,293 | ||||
700,000 | CT St, Ser F | 5.00% | 11/15/34 | 814,004 | ||||
625,000 | Hamden CT, BAM | 6.00% | 08/15/33 | 796,191 | ||||
500,000 | Harbor Point CT Infra Impt Dist Spl Oblig Rev Ref Harbor Point Proj Ltd (a) | 5.00% | 04/01/39 | 568,687 | ||||
500,000 | Univ of Connecticut CT, Ser A | 5.00% | 03/15/28 | 590,492 | ||||
1,970,000 | Univ of Connecticut CT, Ser A | 5.00% | 01/15/29 | 2,377,907 | ||||
4,680,000 | Univ of Connecticut CT, Ser A | 5.00% | 01/15/30 | 5,618,451 | ||||
1,250,000 | Univ of Connecticut CT, Ser A | 5.00% | 11/01/32 | 1,553,948 | ||||
3,820,000 | Univ of Connecticut CT, Ser A | 5.00% | 11/01/34 | 4,729,932 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Connecticut (Continued) | ||||||||
$1,500,000 | Univ of Connecticut CT, Ser A | 5.00% | 11/01/36 | $1,851,531 | ||||
3,730,000 | Univ of Connecticut CT, Ser A | 5.00% | 02/15/41 | 4,661,030 | ||||
79,346,106 | ||||||||
Delaware – 0.4% | ||||||||
325,000 | DE St Hlth Facs Auth Rev Beebe Med Ctr | 5.00% | 06/01/26 | 382,886 | ||||
4,335,000 | DE St Hlth Facs Auth Rev Ref Christiana Hlthcare Sys Oblig Grp, Ser A | 5.00% | 10/01/36 | 5,487,546 | ||||
2,324,000 | Millsboro DE Spl Oblig Ref Plantation Lakes Spl Dev Dist (a) | 5.00% | 07/01/28 | 2,532,305 | ||||
8,402,737 | ||||||||
District of Columbia – 0.1% | ||||||||
1,000,000 | Washington DC Met Area Transit Auth Gross Rev | 5.00% | 07/01/33 | 1,210,239 | ||||
885,000 | Washington DC Met Area Transit Auth Gross Rev Ref, Ser A-1 | 5.00% | 07/01/29 | 1,079,390 | ||||
2,289,629 | ||||||||
Florida – 7.6% | ||||||||
500,000 | Academical Vlg CDD FL Spl Assmnt Rev CDD | 2.88% | 05/01/25 | 509,275 | ||||
1,000,000 | Academical Vlg CDD FL Spl Assmnt Rev CDD | 3.63% | 05/01/40 | 1,036,107 | ||||
545,000 | Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/40 | 596,249 | ||||
1,430,000 | Alachua Cnty FL Hlth Facs Auth Shands Teaching Hosp & Clinics Inc, Ser A | 4.00% | 12/01/49 | 1,635,450 | ||||
50,000 | Belle Isle FL Chrt Sch Lease Rev Cornerstone Chrt Acdmy & Cornerstone Chrt High Sch | 5.50% | 10/01/22 | 51,963 | ||||
1,250,000 | Berry Bay CDD FL Spl Assmnt Rev Assmnt Area 1 | 4.00% | 05/01/51 | 1,289,918 | ||||
300,000 | Bexley CDD FL Spl Assmnt Rev | 4.10% | 05/01/26 | 321,089 | ||||
270,000 | Brookstone CDD FL Spl Assmnt Rev CDD (c) | 3.88% | 11/01/23 | 274,035 | ||||
2,305,000 | Broward Cnty FL Arpt Sys Rev, Ser A, AMT | 5.00% | 10/01/31 | 2,889,894 | ||||
605,000 | Broward Cnty FL Fuel Sys Rev Ft Lauderdale Fuel Facs, Ser A, AGM, AMT | 5.00% | 04/01/22 | 616,788 | ||||
1,350,000 | Broward Cnty FL Port Facs Rev Ref Subord Bond, Ser D, AMT | 5.00% | 09/01/27 | 1,634,654 | ||||
250,000 | Citizens Property Insurance Corp FL, Ser A1 | 5.00% | 06/01/22 | 250,968 | ||||
2,000,000 | Coco Palms FL CDD Spl Assmnt | 4.50% | 05/01/32 | 2,176,822 | ||||
515,000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area One | 2.50% | 05/01/26 | 518,301 | ||||
1,000,000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area One | 4.00% | 05/01/51 | 1,038,440 | ||||
275,000 | Epperson N CDD FL Capital Impt Rev Assmnt Area #2 | 2.50% | 05/01/26 | 275,673 | ||||
1,000,000 | Epperson N CDD FL Capital Impt Rev Assmnt Area Three, Ser A | 4.00% | 11/01/51 | 1,031,637 | ||||
4,500,000 | FL Dev Fin Corp Surface Tranprtn Fac Rev Green Bond Brightline Passenger Rail Remk, Ser B, AMT (a) | 7.38% | 01/01/49 | 4,859,923 | ||||
1,805,000 | FL St Brd of Governors FL Intl Univ Dorm Rev, Ser A, BAM | 5.00% | 07/01/28 | 2,254,496 | ||||
2,090,000 | FL St Brd of Governors FL Intl Univ Dorm Rev, Ser A, BAM | 5.00% | 07/01/31 | 2,697,240 | ||||
200,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/26 | 221,942 | ||||
155,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/29 | 174,237 | ||||
310,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/35 | 339,673 | ||||
450,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/45 | 483,838 | ||||
750,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/55 | 801,432 | ||||
1,000,000 | FL St Dev Fin Corp Sr Living Rev Ref Glenridge on Palmer Ranch Proj | 5.00% | 06/01/51 | 1,131,008 | ||||
725,000 | FL St Govtl Util Auth Rev Ref, AGM | 4.00% | 10/01/37 | 843,897 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$825,000 | FL St Govtl Util Auth Rev Ref, AGM | 4.00% | 10/01/38 | $958,370 | ||||
1,615,000 | FL St Govtl Util Auth Rev Ref, AGM | 4.00% | 10/01/39 | 1,872,053 | ||||
3,370,000 | FL St Muni Pwr Agy Ref, Ser A | 5.00% | 10/01/31 | 4,015,382 | ||||
1,900,000 | Fort Myers FL Util Rev Ref Rev, Ser A | 4.00% | 10/01/44 | 2,168,890 | ||||
7,350,000 | Gtr Orlando FL Aviation Auth Arpt Facs Rev Priority, Subser A, AMT | 5.00% | 10/01/42 | 8,770,120 | ||||
6,000,000 | Gtr Orlando FL Aviation Auth Arpt Facs Rev, Ser A, AMT | 5.00% | 10/01/44 | 7,295,322 | ||||
1,000,000 | Gulfstream Polo Cmnty Dev Dist FL Spl Assmnt Phase 2 Proj | 4.38% | 11/01/49 | 1,071,747 | ||||
285,000 | Harmony FL CDD Capital Impt Rev Ref, Ser 2015 | 4.75% | 05/01/25 | 294,232 | ||||
365,000 | Heritage Harbour FL N CDD Capital Impt Rev Ref Sr Lien, Ser A-1, AGM | 5.00% | 05/01/25 | 414,088 | ||||
495,000 | Hollywood Beach FL Cmnty Dev Dist Rev CDD Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/25 | 574,965 | ||||
545,000 | Hollywood Beach FL Cmnty Dev Dist Rev CDD Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/27 | 665,562 | ||||
1,150,000 | Hollywood Beach FL Cmnty Dev Dist Rev CDD Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/28 | 1,432,990 | ||||
2,970,000 | Hollywood Beach FL Cmnty Dev Dist Rev CDD Ref Pub Pkg Fac Proj, Ser I | 4.00% | 10/01/35 | 3,452,909 | ||||
790,000 | Hollywood Beach FL Cmnty Dev Dist Rev CDD Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/35 | 996,632 | ||||
125,000 | Hollywood FL Cmnty Redev Agy Redev Rev Ref | 5.00% | 03/01/23 | 132,319 | ||||
1,000,000 | Jacksonville FL Hlthcare Facs Rev Ref Baptist Hlth | 5.00% | 08/15/35 | 1,197,734 | ||||
3,700,000 | Jacksonville FL Spl Rev Ref Spl Rev, Ser A | 5.00% | 10/01/31 | 4,454,131 | ||||
1,000,000 | Jacksonville FL Spl Rev Ref Spl Rev, Ser B | 5.00% | 10/01/28 | 1,206,503 | ||||
760,000 | Jacksonville FL Spl Rev Ref, Ser A | 5.00% | 10/01/25 | 889,831 | ||||
2,750,000 | Jea FL Elec Sys Rev Ref, Ser Three A | 5.00% | 10/01/34 | 3,503,243 | ||||
2,980,000 | Jea FL Wtr & Swr Rev Ref, Ser A | 4.00% | 10/01/39 | 3,376,557 | ||||
750,000 | Jea FL Wtr & Swr Rev Ref, Ser A | 4.00% | 10/01/39 | 886,614 | ||||
480,000 | Jea FL Wtr & Swr Rev Subord Ref, Ser A | 4.00% | 10/01/37 | 569,933 | ||||
500,000 | Jea FL Wtr & Swr Rev Subord Ref, Ser A | 4.00% | 10/01/38 | 592,421 | ||||
500,000 | Jea FL Wtr & Swr Rev Subord Ref, Ser A | 4.00% | 10/01/39 | 591,076 | ||||
1,230,000 | Lakeland FL Hosp Sys Rev Lakeland Regl Hlth | 5.00% | 11/15/33 | 1,400,552 | ||||
155,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Ref Country Club E Proj, AGM | 4.50% | 05/01/26 | 178,580 | ||||
755,000 | Lee Cnty FL Indl Dev Auth Cypress Cove Healthpark FL Inc Memory Care Proj | 4.00% | 10/01/24 | 795,893 | ||||
1,000,000 | Lee Cnty FL Indl Dev Auth Shell Point/Waterside Hlth Proj | 5.00% | 11/15/39 | 1,170,176 | ||||
1,500,000 | Lee Cnty FL Indl Dev Auth Shell Point/Waterside Hlth Proj | 5.00% | 11/15/44 | 1,742,621 | ||||
3,135,000 | Martin Cnty FL Hlth Facs Auth Ref Cleveland Clinic Hlth Sys Oblig Grp Hosp Revs, Ser A | 4.00% | 01/01/46 | 3,570,825 | ||||
1,330,000 | Mediterra FL S CDD Capital Impt Rev Ref | 5.10% | 05/01/31 | 1,355,942 | ||||
400,000 | Miami FL Spl Oblg Prerefunded Ref (a) | 5.00% | 03/01/30 | 424,912 | ||||
100,000 | Miami FL Spl Oblg Unrefunded Ref (a) | 5.00% | 03/01/30 | 106,021 | ||||
285,000 | Miami World Ctr CDD FL Spl Assmnt | 4.00% | 11/01/23 | 291,661 | ||||
275,000 | Miami World Ctr CDD FL Spl Assmnt | 4.75% | 11/01/27 | 306,373 | ||||
2,000,000 | Miami World Ctr CDD FL Spl Assmnt | 5.13% | 11/01/39 | 2,286,912 | ||||
1,015,000 | Miami-Dade Cnty FL Aviation Rev Ref, Ser A, AMT | 5.00% | 10/01/27 | 1,058,722 | ||||
3,000,000 | Miami-Dade Cnty FL Aviation Rev Ref, Ser A, AMT | 5.00% | 10/01/38 | 3,445,834 | ||||
2,000,000 | Miami-Dade Cnty FL Eductnl Facs Auth Rev Ref Univ Miami, Ser A | 5.00% | 04/01/31 | 2,267,104 | ||||
445,000 | Miami-Dade Cnty FL Indl Dev Auth Doral Acdmy Proj | 5.00% | 01/15/25 | 491,983 | ||||
550,000 | Miami-Dade Cnty FL Indl Dev Auth Doral Acdmy Proj | 5.00% | 01/15/32 | 629,264 | ||||
1,210,000 | Miami-Dade Cnty FL Indl Dev Auth Doral Acdmy Proj | 5.00% | 01/15/37 | 1,370,139 | ||||
2,430,000 | Miami-Dade Cnty FL Remk, Ser A | 5.00% | 07/01/43 | 3,032,953 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$1,080,000 | Miami-Dade Cnty FL Spl Oblig Sub Ref | 5.00% | 10/01/35 | $1,282,109 | ||||
2,500,000 | Miami-Dade Cnty FL Wtr & Swr Rev Ref Sys, Ser B | 4.00% | 10/01/34 | 2,900,071 | ||||
2,130,000 | Miami-Dade Cnty FL Wtr & Swr Rev Sys, Ser A | 4.00% | 10/01/40 | 2,438,463 | ||||
6,000,000 | Miami-Dade Cnty FL Wtr & Swr Rev, Ser B | 4.00% | 10/01/44 | 6,925,589 | ||||
335,000 | N Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 3.63% | 05/01/24 | 341,498 | ||||
800,000 | N Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 4.00% | 05/01/30 | 846,696 | ||||
225,000 | N Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 4.50% | 05/01/40 | 242,132 | ||||
355,000 | Nthrn Palm Beach Cnty FL Impt Dist | 5.00% | 08/01/37 | 402,427 | ||||
680,000 | Orange Cnty FL Hlth Facs Auth Rev Presbyterian Retmnt Cmntys Proj | 5.00% | 08/01/29 | 750,760 | ||||
345,000 | Orange Cnty FL Hlth Facs Auth Rev Presbyterian Retmnt Cmntys Proj | 5.00% | 08/01/34 | 380,191 | ||||
6,000,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Orlando Hlth Inc, Ser A | 5.00% | 10/01/36 | 7,111,355 | ||||
2,000,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Orlando Hlth Inc, Ser A | 5.00% | 10/01/39 | 2,359,951 | ||||
825,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Presbyterian Retmnt Cmntys | 5.00% | 08/01/31 | 903,149 | ||||
1,000,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Presbyterian Retmnt Cmntys | 5.00% | 08/01/41 | 1,092,276 | ||||
800,000 | Palm Beach Cnty FL Hlth Facs Auth Hosp Rev Baptist Hlth S FL Oblig Grp | 5.00% | 08/15/23 | 866,485 | ||||
200,000 | Panama City Beach FL Capital Impt Rev Front Beach Road Proj | 5.00% | 11/01/32 | 259,747 | ||||
685,000 | Panama City Beach FL Capital Impt Rev Front Beach Road Proj | 5.00% | 11/01/33 | 886,532 | ||||
1,645,000 | Panama City Beach FL Capital Impt Rev Front Beach Road Proj | 5.00% | 11/01/36 | 2,100,215 | ||||
6,500,000 | Polk Cnty FL Indl Dev Auth Mineral Dev LLC Secondary Phosphate Tailings Recovery Proj (a) | 5.88% | 01/01/33 | 8,091,642 | ||||
125,000 | Rhodine Road N CDD FL Spl Assmnt | 3.50% | 05/01/24 | 127,770 | ||||
820,000 | Rhodine Road N CDD FL Spl Assmnt | 4.50% | 05/01/40 | 887,358 | ||||
445,000 | Rivington CDD FL Spl Assmnt Rev Assmnt Area | 2.88% | 05/01/25 | 450,658 | ||||
2,425,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/41 | 2,641,711 | ||||
1,500,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/46 | 1,625,091 | ||||
335,000 | San Simeon Cmnty Dev Dist FL Spl Assmnt (a) | 4.13% | 06/15/39 | 362,865 | ||||
1,750,000 | Sarasota Natl FL CDD Spl Assmnt Ref | 4.00% | 05/01/39 | 1,873,619 | ||||
3,000,000 | Sawyers Landing CDD FL Spl Assmnt Rev | 4.25% | 05/01/53 | 3,155,607 | ||||
2,250,000 | SE Overtown Park W Cmnty Redev Agy FL Tax, Ser A-1 (a) | 5.00% | 03/01/30 | 2,439,185 | ||||
405,000 | Shell Point Cmnty Dev Dist FL Spl Assmnt (a) | 4.00% | 11/01/24 | 414,320 | ||||
2,730,000 | Stoneybrook FL S CDD Spl Assmnt Rev Assmnt Area Two, A Proj | 5.13% | 11/01/34 | 3,220,413 | ||||
1,340,000 | Summer Woods CDD FL Spl Assmnt Area Two 2020 Proj | 4.00% | 05/01/50 | 1,387,872 | ||||
500,000 | Tallahassee FL Energy Sys Rev Energy Sys | 5.00% | 10/01/29 | 564,815 | ||||
1,500,000 | Tallahassee FL Energy Sys Rev Energy Sys | 5.00% | 10/01/30 | 1,694,444 | ||||
125,000 | Tampa FL Hosp Rev H Lee Moffitt Cancer Ctr Proj, Ser B | 5.00% | 07/01/27 | 152,516 | ||||
120,000 | Tampa FL Hosp Rev H Lee Moffitt Cancer Ctr Proj, Ser B | 5.00% | 07/01/31 | 153,516 | ||||
200,000 | Tampa FL Hosp Rev H Lee Moffitt Cancer Ctr Proj, Ser B | 5.00% | 07/01/32 | 255,084 | ||||
250,000 | Tampa FL Hosp Rev H Lee Moffitt Cancer Ctr Proj, Ser B | 5.00% | 07/01/33 | 318,172 | ||||
250,000 | Tampa FL Hosp Rev H Lee Moffitt Cancer Ctr Proj, Ser B | 5.00% | 07/01/34 | 317,357 | ||||
455,000 | Tampa FL Hosp Rev H Lee Moffitt Cancer Ctr Proj, Ser B | 5.00% | 07/01/35 | 576,533 | ||||
400,000 | Tampa FL Hosp Rev H Lee Moffitt Cancer Ctr Proj, Ser B | 4.00% | 07/01/38 | 464,063 | ||||
300,000 | Tampa FL Hosp Rev H Lee Moffitt Cancer Ctr Proj, Ser B | 4.00% | 07/01/39 | 347,240 | ||||
230,000 | Tampa FL Rev Ref The Univ of Tampa Proj, Ser A | 5.00% | 04/01/34 | 287,635 | ||||
5,035,000 | Tampa FL Rev Ref The Univ of Tampa Proj, Ser A | 5.00% | 04/01/45 | 6,118,202 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$175,000 | Timber Creek CDD FL Spl Assmnt Rev (c) | 4.13% | 11/01/24 | $179,361 | ||||
1,250,000 | Timber Creek SW CDD FL Spl Assmnt Assmnt Area Two Proj | 4.00% | 12/15/51 | 1,299,589 | ||||
100,000 | UCF Stadium Corp FL Rev Ref, Ser A | 5.00% | 03/01/24 | 108,763 | ||||
110,000 | Villamar CDD FL Spl Assmnt (b) | 3.75% | 05/01/24 | 112,368 | ||||
70,000 | Vlg FL CDD #6 Spl Assmnt Rev Ref | 4.00% | 05/01/25 | 76,538 | ||||
500,000 | Volusia Cnty FL Eductnl Fac Auth Ref Embry Riddle Aeronautical Univ Inc Proj, Ser A | 4.00% | 10/15/37 | 573,584 | ||||
835,000 | Westside FL CDD Spl Assmnt Rev Ref (a) | 4.10% | 05/01/37 | 892,784 | ||||
310,000 | WildBlue CDD FL Spl Assmnt (a) | 3.50% | 06/15/24 | 317,282 | ||||
180,842,643 | ||||||||
Georgia – 3.3% | ||||||||
1,040,000 | Athens GA Hsg Auth Rev Univ of Georgia Proj | 5.00% | 06/15/32 | 1,353,940 | ||||
1,090,000 | Athens GA Hsg Auth Rev Univ of Georgia Proj | 5.00% | 06/15/33 | 1,415,806 | ||||
1,145,000 | Athens GA Hsg Auth Rev Univ of Georgia Proj | 5.00% | 06/15/34 | 1,483,323 | ||||
9,040,000 | Atlanta GA Arpt Passenger Fac Charge Rev Arpt Rev Subord, Ser D, AMT | 4.00% | 07/01/38 | 10,298,535 | ||||
650,000 | Atlanta GA Tax Allocation Ref Eastside Proj | 5.00% | 01/01/30 | 767,141 | ||||
3,100,000 | Atlanta GA Wtr & Wstwtr Rev Ref, Ser A | 5.00% | 11/01/41 | 3,785,621 | ||||
4,400,000 | Atlanta GA Wtr & Wstwtr Rev Ref, Ser C | 4.00% | 11/01/37 | 5,091,548 | ||||
625,000 | De Kalb GA Priv Hosp Auth Children’s Hlthcare of Atlanta, Ser B | 4.00% | 07/01/37 | 733,271 | ||||
500,000 | Etowah GA Wtr & Swr Auth Rev Ref, BAM | 4.00% | 03/01/34 | 583,193 | ||||
350,000 | Etowah GA Wtr & Swr Auth Rev Ref, BAM | 4.00% | 03/01/35 | 406,335 | ||||
400,000 | Etowah GA Wtr & Swr Auth Rev Ref, BAM | 4.00% | 03/01/36 | 462,431 | ||||
1,000,000 | Fulton Cnty GA Dev Auth Rev Ref Children’s Hlthcare of Atlanta, Ser C | 5.00% | 07/01/35 | 1,267,813 | ||||
3,775,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/31 | 4,056,505 | ||||
1,050,000 | GA St Grp 1, Ser A | 5.00% | 08/01/27 | 1,300,779 | ||||
750,000 | GA St Hgr Edu Facs Auth Rev Ref USG Real Estate Fdtn II LLC Projs | 5.00% | 06/15/34 | 932,343 | ||||
890,000 | GA St Hgr Edu Facs Auth Rev Ref USG Real Estate Fdtn II LLC Projs | 5.00% | 06/15/35 | 1,104,503 | ||||
2,525,000 | GA St Hsg & Fin Auth Rev SF Mtge, Ser C | 3.25% | 12/01/33 | 2,664,639 | ||||
5,000,000 | GA St, Ser A-2 | 4.00% | 02/01/36 | 5,689,603 | ||||
40,000 | Gainesville & Hall Cnty GA Hosp Auth Ref NE GA Hlth Sys Inc Proj, Ser A | 5.00% | 02/15/26 | 47,209 | ||||
5,800,000 | Gainesville & Hall Cnty GA Hosp Auth Ref NE GA Hlth Sys Inc Proj, Ser A | 4.00% | 02/15/39 | 6,758,493 | ||||
250,000 | Geo L Smith II GA Congress Ctr Auth Convention Ctr Hotel First Tier, Ser A | 4.00% | 01/01/36 | 286,396 | ||||
1,000,000 | Geo L Smith II GA Congress Ctr Auth Convention Ctr Hotel First Tier, Ser A | 4.00% | 01/01/54 | 1,121,113 | ||||
1,000,000 | Glynn-Brunswick GA Memorial Hosp Auth Anticipation Ctfs SE GA Hlth Sys Proj | 5.00% | 08/01/47 | 1,170,508 | ||||
985,000 | Glynn-Brunswick GA Memorial Hosp Auth Ref Rev Anticipation Ctfs SE GA Hlth Sys Proj | 4.00% | 08/01/37 | 1,148,371 | ||||
1,750,000 | Madison Cnty GA Sch Dist Ref Capital Impt Proj, COPS | 4.00% | 05/01/32 | 2,002,509 | ||||
175,000 | Main Street Nat Gas Inc GA Gas Rev, Ser A | 5.50% | 09/15/23 | 191,241 | ||||
1,000,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/27 | 1,201,571 | ||||
2,630,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/30 | 3,272,248 | ||||
2,160,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C | 5.00% | 09/01/25 | 2,501,925 | ||||
1,170,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C | 5.00% | 09/01/26 | 1,390,096 | ||||
1,000,000 | Muni Elec Auth of GA Plant Vogtle Units 3 & 4 Proj M Bonds, Ser A | 5.00% | 01/01/56 | 1,195,098 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Georgia (Continued) | ||||||||
$3,785,000 | Muni Elec Auth of GA Plant Vogtle Units 3 & 4 Proj M Bonds, Ser A, AGM | 4.00% | 01/01/44 | $4,271,969 | ||||
2,100,000 | Muni Elec Auth of GA Plant Vogtle Units 3 & 4 Proj M Bonds, Ser A, AGM | 4.00% | 01/01/46 | 2,366,989 | ||||
350,000 | Muni Elec Auth of GA Ref Plant Vogtle Units 3 & 4 Proj J, Ser A, AGM | 4.00% | 01/01/39 | 401,618 | ||||
320,000 | Muni Elec Auth of GA Ref Plant Vogtle Units 3 & 4 Proj J, Ser A, AGM | 4.00% | 01/01/40 | 365,215 | ||||
560,000 | Priv Clgs & Univs Auth GA Mercer Univ Proj, Ser C | 5.25% | 10/01/27 | 583,098 | ||||
1,175,000 | Priv Clgs & Univs Auth GA Savannah Clg of Art & Design Proj | 5.00% | 04/01/33 | 1,306,381 | ||||
500,000 | Priv Clgs & Univs Auth GA Savannah Clg of Art & Design Proj | 5.00% | 04/01/44 | 555,907 | ||||
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 | 3,565,825 | ||||
79,101,109 | ||||||||
Guam – 0.1% | ||||||||
400,000 | Guam Govt Busn Privilege Tax Rev, Ser B-1 | 5.00% | 01/01/37 | 403,114 | ||||
2,000,000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A | 5.00% | 01/01/50 | 2,411,242 | ||||
300,000 | Guam Port Auth Port Rev, Ser B, AMT | 5.00% | 07/01/32 | 352,709 | ||||
3,167,065 | ||||||||
Hawaii – 0.4% | ||||||||
4,980,000 | HI St, Ser FG | 4.00% | 10/01/33 | 5,693,173 | ||||
2,450,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Ref Sr First Bd Resolution, Ser B | 4.00% | 07/01/32 | 2,727,927 | ||||
2,000,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Sr First Bd Resolution, Ser A | 4.00% | 07/01/42 | 2,283,643 | ||||
10,704,743 | ||||||||
Idaho – 0.1% | ||||||||
1,000,000 | ID St Hlth Facs Auth Rev Ref Madison Memorial Hosp | 5.00% | 09/01/37 | 1,133,514 | ||||
500,000 | ID St Hlth Facs Auth Rev Trinity Hlth Ref, Ser D | 5.00% | 12/01/33 | 513,873 | ||||
1,000,000 | Spring Vly Cmnty Infra Dist #1 Spl Assmnt Spl Assmnt Bonds (a) | 3.75% | 09/01/51 | 1,001,631 | ||||
2,649,018 | ||||||||
Illinois – 2.8% | ||||||||
1,210,000 | Bolingbrook IL Ref, Ser A | 4.00% | 01/01/35 | 1,347,001 | ||||
1,000,000 | Bolingbrook IL Ref, Ser A, AGM | 5.00% | 01/01/30 | 1,227,284 | ||||
1,000,000 | Bolingbrook IL Ref, Ser A, AGM | 5.00% | 01/01/31 | 1,222,666 | ||||
1,500,000 | Boone Mchenry & Dekalb Cntys IL Cmnty Unit Sch Dist #100 Ref, Ser B | 4.00% | 01/01/27 | 1,729,712 | ||||
130,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (d) | 12/01/22 | 129,179 | ||||
500,000 | Chicago IL Brd of Edu Ref Dedicated, Ser C | 5.00% | 12/01/30 | 597,161 | ||||
5,620,000 | Chicago IL Brd of Edu Ref, Ser A | 4.00% | 12/01/21 | 5,636,501 | ||||
1,145,000 | Chicago IL Brd of Edu Ref, Ser B | 4.00% | 12/01/21 | 1,148,362 | ||||
500,000 | Chicago IL Brd of Edu, Ser A | 5.00% | 12/01/34 | 618,825 | ||||
625,000 | Chicago IL Brd of Edu, Ser A | 5.50% | 12/01/39 | 627,195 | ||||
305,000 | Chicago IL O’Hare Intl Arpt Rev Ref Gen Sr Lien, Ser A, AMT | 5.00% | 01/01/30 | 352,909 | ||||
600,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien, Ser A, AMT | 5.00% | 01/01/37 | 727,597 | ||||
2,500,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien, Ser A, BAM | 4.00% | 01/01/36 | 2,900,555 | ||||
400,000 | Chicago IL O’Hare Intl Arpt Rev, Ser C, AMT | 5.00% | 01/01/34 | 449,202 | ||||
450,000 | Chicago IL Ref 2003B Remk | 5.25% | 01/01/29 | 504,726 | ||||
185,000 | Chicago IL Ref Proj, Ser A | 5.00% | 01/01/27 | 201,074 | ||||
1,155,000 | Chicago IL Ref Proj, Ser A | 5.00% | 01/01/35 | 1,241,730 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$500,000 | Chicago IL Ref, Ser A | 5.63% | 01/01/29 | $604,935 | ||||
150,000 | Chicago IL Ref, Ser C | 4.00% | 01/01/22 | 150,910 | ||||
500,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/25 | 565,002 | ||||
645,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/26 | 748,768 | ||||
270,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/38 | 305,665 | ||||
285,000 | Chicago IL Ref, Ser C, CABS | (d) | 01/01/22 | 284,360 | ||||
145,000 | Chicago IL Ref, Ser C, CABS | (d) | 01/01/24 | 139,903 | ||||
125,000 | Chicago IL Ref, Ser C, CABS | (d) | 01/01/25 | 117,934 | ||||
2,060,000 | Chicago IL, Ser A | 5.00% | 01/01/27 | 2,446,332 | ||||
1,530,000 | Cook Cnty IL Sch Dist #69 Skokie Ref | 4.00% | 12/01/33 | 1,781,936 | ||||
2,425,000 | DuPage & Cook Cntys IL Twp High Sch Dist #86 Hinsdale | 4.00% | 01/15/36 | 2,762,086 | ||||
505,000 | Hampshire IL Spl Svc Area #14 Spl Tax Ref Lakewood Crossing, BAM | 4.00% | 03/01/25 | 556,342 | ||||
235,000 | Hillside IL Tax Incr Rev Ref | 5.00% | 01/01/24 | 242,577 | ||||
305,000 | IL St | 5.00% | 05/01/23 | 325,665 | ||||
240,000 | IL St | 5.00% | 05/01/24 | 265,756 | ||||
125,000 | IL St | 5.00% | 06/01/27 | 145,501 | ||||
325,000 | IL St Fin Auth Acad Facs Lease Rev Univ of Illinois at Urbana-Champaign Proj, Ser A | 5.00% | 10/01/33 | 405,705 | ||||
600,000 | IL St Fin Auth Acad Facs Lease Rev Univ of Illinois at Urbana-Champaign Proj, Ser A | 5.00% | 10/01/34 | 747,052 | ||||
970,000 | IL St Fin Auth Acad Facs Lease Rev Univ of Illinois at Urbana-Champaign Proj, Ser A | 5.00% | 10/01/35 | 1,206,127 | ||||
300,000 | IL St Fin Auth Acad Facs Lease Rev Univ of Illinois at Urbana-Champaign Proj, Ser A | 5.00% | 10/01/36 | 372,158 | ||||
1,000,000 | IL St Fin Auth Rev Centegra Hlth Sys, Ser A | 5.00% | 09/01/39 | 1,129,814 | ||||
500,000 | IL St Fin Auth Rev Loc Govt Prog E Prairie Sch Dist #73 Proj, BAM | 5.00% | 12/01/30 | 622,969 | ||||
845,000 | IL St Fin Auth Rev Ref Mercy Hlth Sys Oblig Grp | 5.00% | 12/01/33 | 998,178 | ||||
35,000 | IL St Fin Auth Rev Ref Presbyterian Homes Oblig Grp, Ser A | 5.00% | 11/01/24 | 39,522 | ||||
1,010,000 | IL St Fin Auth Rev Sthrn IL Hlthcare, Ser A | 5.00% | 03/01/47 | 1,182,081 | ||||
500,000 | IL St Fin Auth Stdt Hsg & Acad Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/27 | 583,342 | ||||
95,000 | IL St Fin Auth Stdt Hsg & Acad Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/31 | 109,934 | ||||
465,000 | IL St Fin Auth Stdt Hsg & Acad Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/32 | 537,000 | ||||
320,000 | IL St Ref | 4.00% | 08/01/25 | 327,983 | ||||
115,000 | IL St Ref, Ser B | 5.00% | 10/01/24 | 129,149 | ||||
510,000 | IL St, Ser A | 4.00% | 01/01/25 | 512,928 | ||||
1,500,000 | IL St, Ser A | 5.00% | 12/01/26 | 1,772,887 | ||||
1,250,000 | IL St, Ser A | 4.00% | 03/01/38 | 1,418,594 | ||||
1,000,000 | IL St, Ser A | 4.00% | 03/01/39 | 1,132,123 | ||||
6,200,000 | IL St, Ser C | 5.00% | 11/01/29 | 7,348,102 | ||||
1,250,000 | IL St, Ser D | 5.00% | 11/01/23 | 1,360,292 | ||||
1,005,000 | IL St, Ser D | 5.00% | 11/01/24 | 1,131,655 | ||||
325,000 | IL St, Ser D | 5.00% | 11/01/26 | 383,513 | ||||
500,000 | Macon Cnty IL Sch Dist #61 Ref, Ser C, AGM | 4.00% | 01/01/28 | 574,347 | ||||
1,850,000 | Macon Cnty IL Sch Dist #61 Ref, Ser C, AGM | 4.00% | 01/01/32 | 2,084,163 | ||||
3,635,000 | Morton Grove-Niles Wtr Commn IL Wtr, Ser A | 5.00% | 12/01/41 | 4,399,800 | ||||
405,000 | Peoria IL Ref, Ser C, AGM | 4.00% | 01/01/33 | 468,354 | ||||
1,000,000 | Piatt Champaign & De Witt Cntys IL Cmnty Unit Sch Dist #25 Ref, Ser B, BAM | 5.00% | 11/01/33 | 1,200,616 | ||||
145,000 | Railsplitter IL Tobacco Stlmt Auth | 5.00% | 06/01/26 | 171,612 | ||||
690,000 | Railsplitter IL Tobacco Stlmt Auth | 5.00% | 06/01/27 | 810,896 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$645,000 | Rockford IL Ref Wtrwks Sys, Ser B, BAM | 5.00% | 12/15/26 | $768,934 | ||||
110,000 | Romeoville IL Rev Ref Lewis Univ Proj | 5.00% | 10/01/24 | 123,001 | ||||
125,000 | Romeoville IL Rev Ref Lewis Univ Proj | 5.00% | 10/01/25 | 141,563 | ||||
1,560,000 | Woodford Mclean & Livingston Cntys IL Cmnty United Sch Dist, Ser B, BAM | 4.00% | 11/01/36 | 1,815,313 | ||||
68,115,058 | ||||||||
Indiana – 2.2% | ||||||||
1,370,000 | Anderson IN Mf Rev Sweet Galilee at the Wigwam Proj, Ser A | 5.38% | 01/01/40 | 1,421,387 | ||||
1,920,000 | Carmel IN Loc Pub Impt Bond Bank Multipurpose, Ser 2016 | 5.00% | 07/15/34 | 2,271,804 | ||||
1,425,000 | Carmel IN Loc Pub Impt Bond Bank Spl Prog Wtrwks | 5.00% | 06/01/26 | 1,692,173 | ||||
5,820,000 | Carmel IN Loc Pub Impt Bond Bank, Ser A | 4.00% | 07/15/36 | 6,780,649 | ||||
6,050,000 | Carmel IN Loc Pub Impt Bond Bank, Ser A | 4.00% | 07/15/37 | 7,036,341 | ||||
250,000 | Fort Wayne IN Mf Hsg Rev Silver Birch at Cook Road (a) | 5.30% | 01/01/32 | 257,183 | ||||
930,000 | IN St Fin Auth Hosp Rev Goshen Hlth, Ser A | 4.00% | 11/01/36 | 1,042,111 | ||||
1,330,000 | IN St Fin Auth Hosp Rev Goshen Hlth, Ser A | 4.00% | 11/01/37 | 1,486,838 | ||||
700,000 | IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Acdmy Proj, Ser A (c) | 5.25% | 07/01/28 | 797,636 | ||||
1,000,000 | IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Acdmy Proj, Ser A (c) | 5.88% | 07/01/38 | 1,140,024 | ||||
460,000 | IN St Fin Auth Rev Greencroft Oblig Grp, Ser A | 5.75% | 11/15/28 | 495,107 | ||||
55,000 | IN St Fin Auth Rev Greencroft Oblig Grp, Ser A | 6.00% | 11/15/28 | 59,471 | ||||
500,000 | IN St Fin Auth Rev Marian Univ Proj, Ser A | 5.00% | 09/15/34 | 600,727 | ||||
3,200,000 | IN St Fin Auth Rev Ref BHI Sr Living, Ser A | 4.00% | 11/15/41 | 3,662,666 | ||||
275,000 | IN St Fin Auth Rev Ref Rev Cmnty Fdtn of NW IN | 5.00% | 09/01/31 | 322,877 | ||||
6,000,000 | IN St Muni Pwr Agy Ref, Ser A | 5.00% | 01/01/42 | 7,098,040 | ||||
1,050,000 | IN St Muni Pwr Agy Ref, Ser A | 5.00% | 01/01/42 | 1,260,354 | ||||
5,000,000 | IN St Muni Pwr Agy, Ser A | 4.00% | 01/01/39 | 5,783,343 | ||||
1,100,000 | Indianapolis IN Loc Pub Impt Bond Bank Ref Cityway 1 Proj, Ser B | 5.00% | 02/01/33 | 1,206,037 | ||||
800,000 | Indianapolis IN Loc Pub Impt Bond Bank Ref Cityway 1 Proj, Ser B | 5.00% | 02/01/34 | 876,942 | ||||
550,000 | NW Hendricks IN Multi-Bldg Corp | 4.00% | 07/15/30 | 646,189 | ||||
450,000 | NW Hendricks IN Multi-Bldg Corp | 4.00% | 07/15/31 | 526,940 | ||||
400,000 | NW Hendricks IN Multi-Bldg Corp | 4.00% | 07/15/32 | 467,526 | ||||
500,000 | NW Hendricks IN Multi-Bldg Corp | 4.00% | 07/15/33 | 583,742 | ||||
1,700,000 | Plainfield IN Mf Hsg Rev Glasswater Creek Proj | 5.38% | 09/01/38 | 1,731,928 | ||||
1,025,000 | Westfield Washington IN Multi Sch Bldg Corp Rev | 4.00% | 07/15/31 | 1,203,483 | ||||
765,000 | Westfield Washington IN Multi Sch Bldg Corp Rev | 4.00% | 07/15/33 | 887,420 | ||||
600,000 | Zionsville IN Cmnty Schs Bldgcorp | 4.00% | 07/15/31 | 697,962 | ||||
330,000 | Zionsville IN Cmnty Schs Bldgcorp | 4.00% | 07/15/33 | 383,023 | ||||
700,000 | Zionsville IN Cmnty Schs Bldgcorp | 4.00% | 07/15/35 | 811,115 | ||||
53,231,038 | ||||||||
Iowa – 0.5% | ||||||||
1,000,000 | Altoona IA, Ser A, COPS, BAM | 5.00% | 06/01/33 | 1,223,281 | ||||
720,000 | Altoona IA, Ser A, COPS, BAM | 5.00% | 06/01/34 | 879,037 | ||||
2,385,000 | Coralville IA Ref, Ser A | 5.00% | 05/01/38 | 2,579,163 | ||||
5,000,000 | Pefa Inc IA Gas Proj Rev (Mandatory put 09/01/26) | 5.00% | 09/01/49 | 5,912,679 | ||||
200,000 | Tobacco Stlmt Auth IA Tobacco Stlmt Rev Ref Sr, Ser A-2, Class 1 | 5.00% | 06/01/32 | 260,795 | ||||
300,000 | Tobacco Stlmt Auth IA Tobacco Stlmt Rev Ref Sr, Ser A-2, Class 1 | 4.00% | 06/01/35 | 355,518 | ||||
200,000 | Tobacco Stlmt Auth IA Tobacco Stlmt Rev Ref Sr, Ser A-2, Class 1 | 4.00% | 06/01/38 | 233,462 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Iowa (Continued) | ||||||||
$300,000 | Tobacco Stlmt Auth IA Tobacco Stlmt Rev Ref Sr, Ser A-2, Class 1 | 4.00% | 06/01/39 | $350,363 | ||||
11,794,298 | ||||||||
Kansas – 0.8% | ||||||||
1,450,000 | Goddard KS Sales Tax Spl Oblg Rev Ref Olympic Park Star Bond Proj | 3.60% | 06/01/30 | 1,460,542 | ||||
4,210,000 | Johnson & Miami Cntys KS Unif Sch Dist #230 Spring Hill, Ser A | 5.00% | 09/01/35 | 5,177,553 | ||||
1,240,000 | KS Muni Energy Agy Pwr Proj Rev Dogwood Proj, Ser A, BAM | 5.00% | 04/01/29 | 1,460,645 | ||||
1,470,000 | KS Muni Energy Agy Pwr Proj Rev Dogwood Proj, Ser A, BAM | 5.00% | 04/01/30 | 1,730,115 | ||||
500,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/31 | 571,866 | ||||
625,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/32 | 712,999 | ||||
575,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/33 | 654,654 | ||||
500,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/34 | 567,845 | ||||
525,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/35 | 595,248 | ||||
600,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/36 | 678,989 | ||||
1,045,000 | Lenexa KS Hlthcare Fac Rev Ref Lakeview Vlg Inc, Ser A | 5.00% | 05/15/26 | 1,190,433 | ||||
2,800,000 | Sedgwick Cnty KS Unif Sch Dist #260 Ref & Sch Bldg, Ser B | 4.00% | 10/01/38 | 3,123,473 | ||||
475,000 | Wyandotte Cnty Kansas City KS Unif Govt Util Sys Rev Ref & Impt, Ser A | 5.00% | 09/01/29 | 531,413 | ||||
150,000 | Wyandotte Cnty KS Unif Sch Dist #202, Ser A, AGM | 5.00% | 09/01/32 | 182,655 | ||||
18,638,430 | ||||||||
Kentucky – 2.1% | ||||||||
2,350,000 | Bowling Green KY Wtr & Swr Rev, AGM | 4.00% | 06/01/32 | 2,659,002 | ||||
1,000,000 | Estrn KY Univ Gen Recpts, Ser A | 5.00% | 04/01/25 | 1,146,331 | ||||
500,000 | Hazard KY Hlthcare Rev Ref Appalachian Regl Hlthcare Proj | 4.00% | 07/01/39 | 586,016 | ||||
1,260,000 | Hazard KY Hlthcare Rev Ref Appalachian Regl Hlthcare Proj | 4.00% | 07/01/40 | 1,473,569 | ||||
3,755,000 | KY Bond Dev Corp Indl Bldg Rev KY Commns Network Auth Proj, BAM | 5.00% | 09/01/38 | 4,713,955 | ||||
3,500,000 | KY Bond Dev Corp Indl Bldg Rev KY Commns Network Auth Proj, BAM | 5.00% | 09/01/49 | 4,265,768 | ||||
145,000 | KY St Econ Dev Fin Auth Baptist Hlthcare Sys, Ser B | 5.00% | 08/15/28 | 176,921 | ||||
275,000 | KY St Econ Dev Fin Auth Baptist Hlthcare Sys, Ser B | 5.00% | 08/15/36 | 327,910 | ||||
3,000,000 | KY St Econ Dev Fin Auth Baptist Hlthcare Sys, Ser B | 5.00% | 08/15/41 | 3,546,833 | ||||
160,000 | KY St Econ Dev Fin Auth Hlth Sys Rev Norton Hlthcare Inc, Ser B, NATL-RE | (d) | 10/01/25 | 150,856 | ||||
625,000 | KY St Econ Dev Fin Auth Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/38 | 717,229 | ||||
730,000 | KY St Econ Dev Fin Auth Ref Commonspirit Hlth, Ser A-2 | 5.00% | 08/01/35 | 904,373 | ||||
895,000 | KY St Econ Dev Fin Auth Ref Commonspirit Hlth, Ser A-2 | 5.00% | 08/01/36 | 1,104,564 | ||||
300,000 | KY St Muni Pwr Agy Pwr Sys Rev Ref, Ser A, NATL-RE | 5.00% | 09/01/22 | 310,777 | ||||
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 | 5,922,001 | ||||
12,530,000 | KY St Pub Energy Auth Gas Sply Rev Var, Ser C (Mandatory put 02/01/28) | 4.00% | 02/01/50 | 14,560,940 | ||||
1,580,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A-1 (Mandatory put 06/01/25) | 4.00% | 12/01/49 | 1,750,733 | ||||
440,000 | KY St Univ Proj, BAM, COPS | 4.00% | 11/01/46 | 518,341 | ||||
1,000,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Norton Hlthcare Inc, Ser A | 5.00% | 10/01/38 | 1,240,944 | ||||
500,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Norton Hlthcare Inc, Ser A | 4.00% | 10/01/40 | 570,228 | ||||
3,315,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlthcare Inc, Ser A | 5.00% | 10/01/30 | 3,937,761 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Kentucky (Continued) | ||||||||
$550,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlthcare Inc, Ser A | 5.00% | 10/01/31 | $652,743 | ||||
90,000 | Warren Cnty KY Hosp Rev Ref Bowling Green Warren Cnty Cmnty Hosp Corp | 5.00% | 04/01/23 | 93,932 | ||||
51,331,727 | ||||||||
Louisiana – 1.4% | ||||||||
1,260,000 | E Baton Rouge Parish LA Capital Impts Dist MOVEBR Sales, Ser T | 4.00% | 08/01/35 | 1,494,997 | ||||
1,520,000 | E Baton Rouge Parish LA Capital Impts Dist MOVEBR Sales, Ser T | 4.00% | 08/01/36 | 1,795,215 | ||||
2,530,000 | E Baton Rouge Parish LA Capital Impts Dist MOVEBR Sales, Ser T | 4.00% | 08/01/38 | 2,962,868 | ||||
1,000,000 | LA Pub Facs Auth Rev Ref Ochsner Clinic Fdtn Proj | 5.00% | 05/15/36 | 1,184,445 | ||||
2,000,000 | LA Pub Facs Auth Rev Var Ref Ochsner Clinic Fdtn Proj, Ser B (Mandatory put 05/15/25) | 5.00% | 05/15/50 | 2,297,756 | ||||
3,880,000 | LA St | 4.00% | 05/01/33 | 4,301,671 | ||||
3,000,000 | LA St | 4.00% | 05/01/35 | 3,312,720 | ||||
250,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Ascension Psh Courthouse Proj | 5.00% | 11/01/31 | 299,964 | ||||
1,135,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev City of Gretna Pub Impt Bonds | 4.00% | 02/01/38 | 1,321,864 | ||||
1,700,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Ref Hosp Womans Fdtn Proj, Ser A | 5.00% | 10/01/37 | 2,028,073 | ||||
380,000 | LA Stadium & Exposition Dist LA Ref Sr, Ser A | 5.00% | 07/01/31 | 407,813 | ||||
750,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/28 | 893,722 | ||||
750,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/29 | 891,018 | ||||
200,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/31 | 235,889 | ||||
1,160,000 | New Orleans LA Aviation Brd, Ser B, AMT | 5.00% | 01/01/31 | 1,303,457 | ||||
1,305,000 | New Orleans LA Wtr Rev | 5.00% | 12/01/34 | 1,537,226 | ||||
1,050,000 | New Orleans LA Wtr Rev Ref | 5.00% | 12/01/28 | 1,196,649 | ||||
625,000 | Shreveport LA Wtr & Swr Rev Junior Lien, Ser A, AGM | 5.00% | 12/01/32 | 781,461 | ||||
700,000 | Shreveport LA Wtr & Swr Rev, Ser A, AGM | 4.00% | 12/01/41 | 785,293 | ||||
1,650,000 | Shreveport LA Wtr & Swr Rev, Ser B, BAM | 5.00% | 12/01/30 | 1,860,864 | ||||
2,000,000 | Shreveport LA Wtr & Swr Rev, Ser B, BAM | 5.00% | 12/01/33 | 2,383,653 | ||||
33,276,618 | ||||||||
Maryland – 1.0% | ||||||||
2,375,000 | Anne Arundel Cnty MD Consldtd Wtr & Swr Bond | 5.00% | 10/01/26 | 2,874,398 | ||||
565,000 | Baltimore Cnty MD Rev Ref Oak Crest Vlg Inc Fac | 4.00% | 01/01/39 | 646,934 | ||||
650,000 | Baltimore Cnty MD Rev Ref Oak Crest Vlg Inc Fac | 4.00% | 01/01/40 | 743,330 | ||||
600,000 | Baltimore Cnty MD Rev Ref Riderwood Vlg Inc Proj | 4.00% | 01/01/33 | 699,091 | ||||
685,000 | Baltimore Cnty MD Rev Ref Riderwood Vlg Inc Proj | 4.00% | 01/01/34 | 796,674 | ||||
650,000 | Baltimore Cnty MD Rev Ref Riderwood Vlg Inc Proj | 4.00% | 01/01/36 | 754,034 | ||||
700,000 | Baltimore Cnty MD Rev Ref Riderwood Vlg Inc Proj | 4.00% | 01/01/38 | 809,544 | ||||
1,120,000 | Baltimore MD Rev Ref Sr, Ser B | 5.00% | 07/01/33 | 1,266,493 | ||||
1,000,000 | Baltimore MD Spl Oblig Ref E Baltimore Rsrch Park Proj, Ser A | 5.00% | 09/01/38 | 1,121,555 | ||||
100,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 2.75% | 06/01/24 | 102,003 | ||||
125,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 2.80% | 06/01/25 | 128,438 | ||||
135,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 2.85% | 06/01/26 | 139,698 | ||||
1,000,000 | Gaithersburg MD Econ Dev Rev Ref Proj Asbury MD Oblig Grp, Ser A | 4.50% | 01/01/25 | 1,103,397 | ||||
325,000 | Harford Cnty MD Spl Oblg Ref Beechtree Estates Proj | 4.00% | 07/01/25 | 365,000 | ||||
550,000 | Harford Cnty MD Spl Oblg Ref Beechtree Estates Proj | 4.00% | 07/01/36 | 640,228 | ||||
500,000 | MD St Econ Dev Corp Stdt Hsg Rev Bowie St Univ Proj | 4.00% | 07/01/40 | 558,978 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Maryland (Continued) | ||||||||
$1,650,000 | MD St Econ Dev Corp Stdt Hsg Rev Bowie St Univ Proj | 5.00% | 07/01/55 | $1,950,186 | ||||
650,000 | MD St Econ Dev Corp Stdt Hsg Rev Morgan St Univ Proj | 5.00% | 07/01/56 | 772,516 | ||||
600,000 | MD St Econ Dev Corp Stdt Hsg Rev Ref Sr Univ MD Proj | 4.00% | 07/01/24 | 638,369 | ||||
2,490,000 | MD St Econ Dev Corp Stdt Hsg Rev Ref Univ MD Clg Park Projs, AGM | 5.00% | 06/01/35 | 2,881,152 | ||||
500,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Adventist Hlthcare Oblig Grp, Ser A | 5.50% | 01/01/26 | 594,350 | ||||
555,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Adventist Hlthcare | 4.00% | 01/01/27 | 636,672 | ||||
800,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Anne Arundel Hlth Sys, Ser A | 5.00% | 07/01/30 | 964,225 | ||||
1,000,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Anne Arundel Hlth Sys, Ser A | 5.00% | 07/01/32 | 1,198,668 | ||||
250,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Stevenson Univ Proj, Ser A | 4.00% | 06/01/35 | 288,835 | ||||
225,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Stevenson Univ Proj, Ser A | 4.00% | 06/01/36 | 259,095 | ||||
750,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Stevenson Univ Proj, Ser A | 4.00% | 06/01/46 | 840,973 | ||||
790,000 | MD St Ref, Ser B | 5.00% | 08/01/24 | 891,127 | ||||
24,665,963 | ||||||||
Massachusetts – 0.6% | ||||||||
925,000 | Ludlow MA | 4.00% | 02/01/32 | 1,062,416 | ||||
960,000 | Ludlow MA | 4.00% | 02/01/33 | 1,102,958 | ||||
2,000,000 | MA St Bay Transprtn Auth Sales Tax Rev Ref Sr, Ser B | 5.25% | 07/01/30 | 2,563,203 | ||||
250,000 | MA St Dev Fin Agy Rev Linden Ponds Inc Fac (a) | 5.00% | 11/15/28 | 282,816 | ||||
2,000,000 | MA St Port Auth Spl Facs Rev Ref Bosfuel Proj, Ser A, AMT | 5.00% | 07/01/33 | 2,482,972 | ||||
2,500,000 | MA St Sch Bldg Auth Sales Tax Rev Ref Sr, Ser A | 5.00% | 08/15/30 | 2,594,986 | ||||
4,250,000 | MA St Wtr Res Auth, Ser B | 5.00% | 08/01/36 | 5,393,060 | ||||
15,482,411 | ||||||||
Michigan – 3.4% | ||||||||
240,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/32 | 266,053 | ||||
500,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/33 | 554,137 | ||||
250,000 | Genesee Cnty MI Swr Disp Sys Rev, Ser A, BAM | 4.00% | 06/01/30 | 290,969 | ||||
150,000 | Genesee Cnty MI Swr Disp Sys Rev, Ser A, BAM | 4.00% | 06/01/32 | 173,262 | ||||
155,000 | Genesee Cnty MI Swr Disp Sys Rev, Ser A, BAM | 4.00% | 06/01/36 | 177,476 | ||||
100,000 | Genesee Cnty MI Swr Disp Sys Rev, Ser A, BAM | 4.00% | 06/01/37 | 114,229 | ||||
150,000 | Genesee Cnty MI Swr Disp Sys Rev, Ser A, BAM | 4.00% | 06/01/38 | 171,013 | ||||
525,000 | Grand Rapids MI Santn Swr Sys Rev Ref | 5.00% | 01/01/45 | 653,970 | ||||
735,000 | Grand Traverse Cnty MI Hosp Fin Auth Munson Hlthcare Oblig Grp, Ser A | 5.00% | 07/01/44 | 884,993 | ||||
1,510,000 | Grand Traverse Cnty MI Hosp Fin Auth Ref Munson Hlthcare Oblig Grp | 5.00% | 07/01/34 | 1,961,741 | ||||
1,125,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Ref Sr Lien, Ser C | 5.00% | 07/01/28 | 1,347,036 | ||||
575,000 | Kalamazoo MI Econ Dev Corp Heritage Cmnty of Kalamazoo Revel Creek Proj Temps 60, Ser B2 | 2.63% | 05/15/25 | 575,351 | ||||
1,000,000 | Marquette MI Brd of Light & Pwr Elec Util Sys Rev Ref, Ser A | 5.00% | 07/01/29 | 1,187,291 | ||||
1,225,000 | MI St Bldg Auth Rev Ref, Ser I | 5.00% | 10/15/30 | 1,462,431 | ||||
890,000 | MI St Fin Auth Ltd Oblig Rev Ref Clg for Creative Studies Proj | 5.00% | 12/01/25 | 945,969 | ||||
325,000 | MI St Fin Auth Rev Loc Govt Loan Prog Great Lakes Wtr Auth Ref, Ser C | 5.00% | 07/01/27 | 376,375 | ||||
2,000,000 | MI St Fin Auth Rev Multi Modal Mclaren Hlthcare, Ser A | 4.00% | 02/15/50 | 2,272,927 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Michigan (Continued) | ||||||||
$375,000 | MI St Fin Auth Rev Prerefunded Che Trinity Hlth Credit Grp Ref, Ser 2013-5 | 4.00% | 12/01/40 | $455,329 | ||||
5,490,000 | MI St Fin Auth Rev Prerefunded Che Trinity Hlth Credit Grp Ref, Ser 2013-5 | 4.00% | 12/01/40 | 6,369,060 | ||||
1,200,000 | MI St Fin Auth Rev Ref 2nd Lien Great Lakes Wtr Auth, Ser C-7, NATL-RE | 5.00% | 07/01/23 | 1,290,814 | ||||
2,895,000 | MI St Fin Auth Rev Ref 2nd Lien Great Lakes Wtr Auth, Ser C-7, NATL-RE | 5.00% | 07/01/24 | 3,237,787 | ||||
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 | 2,758,951 | ||||
750,000 | MI St Fin Auth Rev Ref Beaumont Hlth Credit Grp | 5.00% | 08/01/32 | 839,200 | ||||
4,050,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 4.00% | 11/15/35 | 4,532,593 | ||||
2,565,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 4.00% | 11/15/36 | 2,866,450 | ||||
7,905,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 5.00% | 11/15/41 | 9,329,018 | ||||
2,500,000 | MI St Fin Auth Rev Ref Hosp Trinity Hlth Credit Grp, Ser A-MI | 5.00% | 12/01/47 | 2,629,809 | ||||
1,000,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog Great Lakes Wtr Auth, Ser D-1 | 5.00% | 07/01/34 | 1,147,875 | ||||
500,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog, Ser F1 | 3.80% | 10/01/22 | 510,638 | ||||
125,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog, Ser F1 | 3.88% | 10/01/23 | 130,534 | ||||
145,000 | MI St Fin Auth Rev Ref Trinity Hlth Corp, Ser 2016MI | 5.00% | 12/01/33 | 172,114 | ||||
565,000 | MI St Hosp Fin Auth Ref Ascenion Sr Credit Remk, Ser F7 | 5.00% | 11/15/47 | 667,991 | ||||
1,000,000 | MI St Hosp Fin Auth Ref Ascension Hlth Sr Cr Grp Remk, Ser F-4 | 5.00% | 11/15/47 | 1,246,082 | ||||
1,000,000 | MI St Univ Revs Brd of Trustees, Ser B | 5.00% | 02/15/34 | 1,249,703 | ||||
1,000,000 | MI St Univ Revs Brd of Trustees, Ser B | 4.00% | 02/15/44 | 1,145,703 | ||||
12,575,000 | MI St Univ Revs Ref, Ser C | 4.00% | 02/15/44 | 14,524,163 | ||||
650,000 | Midland MI Pub Schs Sch Bldg & Site, Ser II | 5.00% | 05/01/35 | 822,768 | ||||
1,990,000 | Utica MI Cmnty Schs Ref Sch Bldg & Site | 5.00% | 05/01/31 | 2,348,843 | ||||
1,350,000 | Walled Lake MI Consol Sch Dist | 5.00% | 05/01/38 | 1,748,207 | ||||
2,800,000 | Wayne Cnty MI Arpt Auth Rev Ref, Ser F, AMT | 5.00% | 12/01/25 | 3,270,721 | ||||
1,445,000 | Wayne Cnty MI Arpt Auth Rev, Ser B, AMT | 5.00% | 12/01/36 | 1,855,076 | ||||
1,595,000 | Wayne Cnty MI Arpt Auth Rev, Ser B, AMT | 5.00% | 12/01/38 | 2,036,707 | ||||
80,601,359 | ||||||||
Minnesota – 0.3% | ||||||||
370,000 | Duluth MN Indep Sch Dist #709 Ref, Ser B, COPS | 5.00% | 02/01/27 | 441,770 | ||||
580,000 | Saint Paul MN Hsg & Redev Auth Hlthcare Fac Rev Ref HealthPartners Oblig Grp, Ser A | 5.00% | 07/01/30 | 667,127 | ||||
500,000 | Saint Paul MN Hsg & Redev Auth Hlthcare Fac Rev Ref HealthPartners Oblig Grp, Ser A | 5.00% | 07/01/32 | 573,937 | ||||
3,420,000 | Saint Paul MN Hsg & Redev Auth Hlthcare Fac Rev Ref HealthPartners Oblig Grp, Ser A | 5.00% | 07/01/33 | 3,921,729 | ||||
500,000 | Saint Paul Park MN Sr Hsg & Hlthcare Rev Ref Presbyterian Homes Bloomington Proj | 3.00% | 09/01/24 | 518,726 | ||||
400,000 | Saint Paul Park MN Sr Hsg & Hlthcare Rev Ref Presbyterian Homes Bloomington Proj | 3.13% | 09/01/25 | 415,118 | ||||
6,538,407 | ||||||||
Mississippi – 0.2% | ||||||||
2,000,000 | MS St, Ser A | 5.00% | 11/01/33 | 2,403,801 | ||||
985,000 | MS St, Ser B | 5.00% | 12/01/32 | 1,187,336 | ||||
500,000 | W Rankin MS Util Auth Rev, AGM | 5.00% | 01/01/32 | 571,529 | ||||
1,215,000 | W Rankin MS Util Auth Rev, AGM | 5.00% | 01/01/33 | 1,388,816 | ||||
5,551,482 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Missouri – 1.1% | ||||||||
$285,000 | Bridgeton MO Spl Oblig Rev Ref, Ser A | 4.00% | 12/01/30 | $326,254 | ||||
300,000 | Bridgeton MO Spl Oblig Rev Ref, Ser A | 4.00% | 12/01/31 | 342,105 | ||||
220,000 | Jackson Cnty MO Spl Oblig Ref Truman Sports Complex Proj | 5.00% | 12/01/22 | 230,563 | ||||
700,000 | Jackson Cnty MO Spl Oblig Ref Truman Sports Complex Proj | 5.00% | 12/01/31 | 792,167 | ||||
1,670,000 | Joplin MO Indl Dev Auth Hlth Facs Rev Ref Freeman Hlth Sys | 5.00% | 02/15/26 | 1,821,270 | ||||
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 | 4,112,752 | ||||
2,000,000 | Kansas City MO Indl Dev Auth Arpt Spl Oblig Kansas City Intrnl Arpt Terminal Mod Proj, Ser B, AMT | 5.00% | 03/01/54 | 2,370,925 | ||||
220,000 | Lincoln Cnty MO Pub Wtr Sply Dist #1 Ref, COPS | 4.00% | 07/01/30 | 248,221 | ||||
415,000 | Lincoln Cnty MO Pub Wtr Sply Dist #1 Ref, COPS | 4.00% | 07/01/31 | 467,280 | ||||
1,000,000 | Lincoln Cnty MO Pub Wtr Sply Dist #1 Ref, COPS | 4.00% | 07/01/38 | 1,121,831 | ||||
3,000,000 | MO Jt Muni Elec Util Commn Pwr Proj Rev Ref, Ser A | 5.00% | 12/01/40 | 3,518,766 | ||||
440,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Bethesda Hlth Grp Inc Ref | 4.00% | 08/01/36 | 515,446 | ||||
410,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Bethesda Hlth Grp Inc Ref | 4.00% | 08/01/41 | 473,638 | ||||
1,200,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Coxhealth, Ser A | 5.00% | 11/15/32 | 1,375,650 | ||||
750,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Mosaic Hlth Sys, Ser A | 5.00% | 02/15/32 | 932,189 | ||||
710,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Mosaic Hlth Sys, Ser A | 4.00% | 02/15/39 | 813,576 | ||||
5,000,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Mosaic Hlth Sys, Ser A | 4.00% | 02/15/54 | 5,634,336 | ||||
160,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs | 5.00% | 02/01/23 | 168,403 | ||||
245,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs | 5.00% | 02/01/25 | 267,006 | ||||
1,040,000 | Saint Louis MO Muni Fin Corp Sales Tax Leasehold Rev Ref | 5.00% | 02/15/28 | 1,214,113 | ||||
26,746,491 | ||||||||
Montana – 0.5% | ||||||||
1,080,000 | MT St Fac Fin Auth Hlthcare Facs Rev Montana Children’s Home and Hosp Proj, Ser A | 4.00% | 07/01/35 | 1,212,193 | ||||
2,395,000 | MT St Fac Fin Auth Hlthcare Facs Rev Montana Children’s Home and Hosp Proj, Ser A | 4.00% | 07/01/40 | 2,656,141 | ||||
770,000 | MT St Fac Fin Auth Hlthcare Facs Rev Montana Children’s Home and Hosp Proj, Ser B | 5.00% | 07/01/31 | 995,172 | ||||
1,105,000 | MT St Fac Fin Auth Hlthcare Facs Rev Montana Children’s Home and Hosp Proj, Ser B | 5.00% | 07/01/32 | 1,423,801 | ||||
1,165,000 | MT St Fac Fin Auth Hlthcare Facs Rev Montana Children’s Home and Hosp Proj, Ser B | 5.00% | 07/01/33 | 1,497,888 | ||||
740,000 | MT St Fac Fin Auth Rev Ref | 5.00% | 02/15/25 | 842,709 | ||||
130,000 | MT St Fac Fin Auth Rev Ref | 5.00% | 02/15/29 | 155,404 | ||||
2,000,000 | MT St Fac Fin Auth Rev Ref Scl Hlth Sys, Ser A | 4.00% | 01/01/36 | 2,356,894 | ||||
11,140,202 | ||||||||
Nebraska – 0.4% | ||||||||
1,745,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/27 | 1,812,303 | ||||
300,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 | 5.00% | 01/01/24 | 328,671 | ||||
5,870,000 | Centrl Plains Energy Proj NE Gas Proj Rev Ref Proj #3, Ser A | 5.00% | 09/01/29 | 7,308,246 | ||||
500,000 | NE St Pub Pwr Dist Rev Gen, Ser C | 5.00% | 01/01/35 | 581,679 | ||||
10,030,899 | ||||||||
Nevada – 0.5% | ||||||||
750,000 | Carson City NV Hosp Rev Ref Carson Tahoe Regl Med Ctr, Ser A | 5.00% | 09/01/30 | 896,385 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Nevada (Continued) | ||||||||
$1,685,000 | Clark Cnty NV Detention Ctr | 4.00% | 06/01/35 | $1,980,053 | ||||
920,000 | Clark Cnty NV Impt Dist Ref Spl Loc Impt #151 | 4.50% | 08/01/23 | 963,164 | ||||
2,000,000 | Clark Cnty NV Sch Dist Ref Bldg, Ser A | 5.00% | 06/15/29 | 2,419,527 | ||||
275,000 | Clark Cnty NV Sch Dist Ref Bldg, Ser A, BAM | 5.00% | 06/15/30 | 332,588 | ||||
250,000 | Las Vegas NV Spl Impt Dist #616 Spl Impt Dist No 816 Summerlin Vlg 22 | 2.25% | 06/01/27 | 250,782 | ||||
250,000 | Las Vegas NV Spl Impt Dist #616 Spl Impt Dist No 816 Summerlin Vlg 22 | 2.50% | 06/01/28 | 252,424 | ||||
385,000 | Las Vegas NV Spl Impt Dist #808 & #810 Ref | 5.00% | 06/01/22 | 393,527 | ||||
120,000 | N Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 3.50% | 06/01/24 | 125,483 | ||||
145,000 | N Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 3.75% | 06/01/25 | 154,820 | ||||
180,000 | N Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 3.75% | 06/01/26 | 194,479 | ||||
250,000 | N Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 3.75% | 06/01/27 | 272,203 | ||||
335,000 | NV Dept of Busn & Ind NV Doral Acdmy, Ser A (a) | 5.00% | 07/15/27 | 373,097 | ||||
300,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/29 | 360,799 | ||||
950,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/30 | 1,137,041 | ||||
275,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/31 | 327,818 | ||||
825,000 | Sparks NV Tourism Impt Dist #1 Rev Ref Sales Tax Sr, Ser A (a) | 2.50% | 06/15/24 | 836,248 | ||||
11,270,438 | ||||||||
New Hampshire – 0.2% | ||||||||
1,000,000 | Natl 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 | 1,034,440 | ||||
2,740,000 | NH St Hlth & Edu Facs Auth Rev Concord Hosp Trust | 5.00% | 10/01/42 | 3,247,286 | ||||
4,281,726 | ||||||||
New Jersey – 1.9% | ||||||||
1,345,000 | Middlesex Cnty NJ Ref Civic Square IV Redev, COPS | 5.00% | 10/15/31 | 1,550,299 | ||||
2,000,000 | NJ St COVID-19 Go Emergency Bonds, Ser A | 5.00% | 06/01/28 | 2,473,392 | ||||
1,500,000 | NJ St COVID-19 Go Emergency Bonds, Ser A | 5.00% | 06/01/29 | 1,889,423 | ||||
450,000 | NJ St Econ Dev Auth Mtr Vehcl Surcharge Rev Ref, Subser A, BAM | 5.00% | 07/01/28 | 547,667 | ||||
500,000 | NJ St Econ Dev Auth Ref, Ser A, BAM | 5.00% | 06/15/23 | 538,298 | ||||
350,000 | NJ St Econ Dev Auth Rev Self Designated Social Bonds, Ser QQQ | 4.00% | 06/15/35 | 407,396 | ||||
490,000 | NJ St Econ Dev Auth Spl Fac Rev Ref Port Newark Container Terminal LLC Proj, AMT | 5.00% | 10/01/25 | 563,209 | ||||
1,000,000 | NJ St Hlthcare Facs Fing Auth Rev Ref Hackensack Meridian Hlth, Ser A | 5.00% | 07/01/24 | 1,123,799 | ||||
1,290,000 | NJ St Transprtn Trust Fund Auth Cap Apprec Transprtn Sys, Ser C, AMBAC | (d) | 12/15/25 | 1,231,532 | ||||
165,000 | NJ St Transprtn Trust Fund Auth Fed Hwy Reimb Nts, Ser A-1, GARVEE | 5.00% | 06/15/28 | 194,169 | ||||
1,750,000 | NJ St Transprtn Trust Fund Auth Ref Transprtn Sys Bonds, Ser A | 5.00% | 12/15/28 | 2,188,017 | ||||
500,000 | NJ St Transprtn Trust Fund Auth Ref Transprtn Sys, Ser A | 5.00% | 12/15/30 | 618,387 | ||||
3,040,000 | NJ St Transprtn Trust Fund Auth Ref Transptrn Sys, Ser A | 5.00% | 12/15/26 | 3,659,083 | ||||
400,000 | NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA | 4.00% | 06/15/27 | 409,170 | ||||
1,400,000 | NJ St Transprtn Trust Fund Auth Transprtn Sys, Ser D | 5.25% | 12/15/23 | 1,542,996 | ||||
105,000 | NJ St Transprtn Trust Fund Auth Transprtn Sys, Ser D | 5.00% | 12/15/24 | 119,356 | ||||
220,000 | NJ St Transprtn Trust Fund Auth, Ser BB | 5.00% | 06/15/31 | 271,194 | ||||
1,000,000 | NJ St Transprtn Trust Fund Auth, Ser BB | 5.00% | 06/15/33 | 1,225,234 | ||||
2,465,000 | NJ St Turnpike Auth Turnpike Rev Ref, Ser G | 4.00% | 01/01/43 | 2,794,931 | ||||
2,000,000 | NJ St Turnpike Auth Turnpike Rev, Ser A | 4.00% | 01/01/42 | 2,324,960 | ||||
823,713 | Prospect Park NJ, BANS | 2.00% | 11/10/21 | 824,033 | ||||
500,000 | Tobacco Stlmt Fing Corp NJ Ref, Ser A | 5.00% | 06/01/27 | 603,157 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New Jersey (Continued) | ||||||||
$1,750,000 | Tobacco Stlmt Fing Corp NJ Ref, Ser A | 5.00% | 06/01/34 | $2,102,296 | ||||
1,850,000 | Tobacco Stlmt Fing Corp NJ Ref, Ser A | 5.00% | 06/01/37 | 2,209,469 | ||||
5,505,000 | Tobacco Stlmt Fing Corp NJ Ref, Ser A | 5.25% | 06/01/46 | 6,524,603 | ||||
6,010,000 | Tobacco Stlmt Fing Corp NJ Ref, Subser B | 5.00% | 06/01/46 | 6,918,321 | ||||
44,854,391 | ||||||||
New Mexico – 0.5% | ||||||||
325,000 | Albuquerque NM Muni Sch Dist #12, Ser A | 4.00% | 08/01/32 | 384,004 | ||||
500,000 | Albuquerque NM Muni Sch Dist #12, Ser A | 4.00% | 08/01/35 | 587,246 | ||||
400,000 | Albuquerque NM Muni Sch Dist #12, Ser A | 4.00% | 08/01/36 | 468,597 | ||||
265,000 | Albuquerque NM Refuse Removal & Disp Rev | 5.00% | 07/01/31 | 344,754 | ||||
185,000 | Albuquerque NM Refuse Removal & Disp Rev | 5.00% | 07/01/32 | 239,946 | ||||
290,000 | Albuquerque NM Refuse Removal & Disp Rev | 5.00% | 07/01/33 | 375,323 | ||||
1,500,000 | Farmington NM Poll Control Rev Ref Pub Svc NM San Juan Remk, Ser E (Mandatory put 06/01/24) | 1.15% | 06/01/40 | 1,515,429 | ||||
565,000 | Los Ranchos De Albuquerque NM Eductnl Facs Rev Ref Albuquerque Acdmy Proj | 4.00% | 09/01/33 | 654,120 | ||||
375,000 | Los Ranchos De Albuquerque NM Eductnl Facs Rev Ref Albuquerque Acdmy Proj | 4.00% | 09/01/34 | 432,923 | ||||
300,000 | Los Ranchos De Albuquerque NM Eductnl Facs Rev Ref Albuquerque Acdmy Proj | 4.00% | 09/01/35 | 345,775 | ||||
300,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.00% | 10/01/23 | 305,937 | ||||
230,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.20% | 10/01/24 | 239,076 | ||||
240,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.30% | 10/01/25 | 252,615 | ||||
250,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.45% | 10/01/26 | 265,972 | ||||
260,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.55% | 10/01/27 | 279,349 | ||||
365,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 5.00% | 10/01/33 | 396,853 | ||||
825,000 | NM St Hosp Equipment Loan Council Hosp Rev Ref | 5.00% | 06/01/32 | 1,036,857 | ||||
1,000,000 | NM St Hosp Equipment Loan Council Hosp Rev Ref | 4.00% | 06/01/33 | 1,161,905 | ||||
1,360,000 | NM St Hosp Equipment Loan Council Hosp Rev Ref | 4.00% | 06/01/34 | 1,576,216 | ||||
520,000 | Santa Fe NM Retmnt Fac Rev El Castillo Retmnt Proj, Ser A | 5.00% | 05/15/34 | 587,907 | ||||
11,450,804 | ||||||||
New York – 6.0% | ||||||||
460,000 | Buffalo NY Muni Wtr Fin Auth, Ser A, AGM | 4.00% | 07/01/49 | 514,764 | ||||
300,000 | Build NYC Res Corp NY Rev Richmond Prep Chtr Sch Proj Social Impact Proj, Ser A (a) | 5.00% | 06/01/41 | 336,515 | ||||
715,000 | Hempstead Town NY Loc Dev Corp Rev Ref Hofstra Univ Proj, Ser A | 4.00% | 07/01/40 | 855,569 | ||||
175,000 | Long Island NY Pwr Auth Elec Sys Rev Ref, Ser A | 5.00% | 09/01/38 | 224,327 | ||||
500,000 | Long Island NY Pwr Auth Elec Sys Rev Ref, Ser A | 4.00% | 09/01/39 | 591,657 | ||||
1,240,000 | Long Island NY Pwr Auth Elec Sys Rev Ref, Ser A | 4.00% | 09/01/39 | 1,473,666 | ||||
2,150,000 | Met Transprtn Auth NY Rev Ref Transptrn, Subser C-1 | 5.00% | 11/15/34 | 2,447,143 | ||||
4,000,000 | Met Transprtn Auth NY Rev Transptrn, Subser D-1 | 5.00% | 11/15/39 | 4,432,858 | ||||
1,500,000 | Met Transprtn Auth NY Rev, Ser A-2S, BANS | 4.00% | 02/01/22 | 1,513,737 | ||||
3,200,000 | Met Transprtn Auth NY Rev, Ser B-1, BANS | 5.00% | 05/15/22 | 3,280,572 | ||||
840,000 | Monroe Cnty NY Indl Dev Corp Rev Ref Nazareth Clg of Rochester Proj, Ser A | 5.00% | 10/01/23 | 909,913 | ||||
2,500,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev 2nd Gen Resolution, Ser BB-1 | 5.00% | 06/15/49 | 3,120,893 | ||||
3,550,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev 2nd Gen Resolution, Ser DD-1 | 4.00% | 06/15/37 | 4,119,377 | ||||
915,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref 2nd Gen Resolution Fiscal 2018, Ser FF | 5.00% | 06/15/39 | 1,136,907 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$5,000,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref 2nd Gen Resolution, Ser GG | 5.00% | 06/15/39 | $5,737,645 | ||||
4,285,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref 2nd Gen Resolution, Subser CC-1 | 4.00% | 06/15/33 | 4,908,031 | ||||
2,450,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref Subord, Subser FF-2 | 4.00% | 06/15/41 | 2,841,503 | ||||
250,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref Wtr & Swr Sys Second General Resolution, Ser BB2 | 4.00% | 06/15/42 | 292,254 | ||||
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 | 1,154,644 | ||||
1,500,000 | New York City NY Transitional Fin Auth Rev Future Tax Sub, Subser E-1 | 5.00% | 02/01/37 | 1,743,014 | ||||
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 | 1,613,592 | ||||
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 | 6,453,207 | ||||
5,000,000 | New York City NY Transitional Fin Auth Rev Sub, Ser B-1 | 4.00% | 11/01/39 | 5,876,831 | ||||
3,605,000 | New York City NY Transitional Fin Auth Rev Sub, Ser B-1 | 4.00% | 11/01/43 | 4,195,296 | ||||
6,000,000 | New York City NY Transitional Fin Auth Rev Subord Future Tax Secured, Ser C-1 | 4.00% | 11/01/40 | 6,973,622 | ||||
2,500,000 | New York City NY Transitional Fin Auth Rev Subord, Ser A-3 | 4.00% | 05/01/41 | 2,897,340 | ||||
2,055,000 | New York City NY Transitional Fin Auth Rev Subord, Ser A-3 | 4.00% | 05/01/43 | 2,371,834 | ||||
1,660,000 | Niagara Cnty NY Tobacco Asset Securitization Corp Tobacco as Ref Asset Bkd Bds | 5.00% | 05/15/23 | 1,771,117 | ||||
10,400,000 | NY NY Adj Fiscal 2020, Subser B-3 (e) | 0.12% | 10/01/46 | 10,400,000 | ||||
3,300,000 | NY NY Fiscal 2020, Ser B-1 | 4.00% | 10/01/35 | 3,889,356 | ||||
415,000 | NY NY Fiscal 2020, Ser B-1 | 4.00% | 10/01/37 | 485,396 | ||||
3,750,000 | NY NY, Ser A, Subser A-1 | 4.00% | 08/01/38 | 4,364,916 | ||||
2,750,000 | NY NY, Ser D-1 | 4.00% | 03/01/42 | 3,159,539 | ||||
3,500,000 | NY NY, Ser D-1 | 4.00% | 03/01/44 | 4,004,948 | ||||
1,015,000 | NY NY, Subser F-1 | 5.00% | 04/01/36 | 1,239,502 | ||||
300,000 | NY St Dorm Auth Revs Non St Supported Debt Ref Orange Regl Med Ctr (a) | 5.00% | 12/01/25 | 350,566 | ||||
475,000 | NY St Dorm Auth Revs Non St Supported Debt, Ser A, AGM | 4.00% | 10/01/35 | 562,546 | ||||
2,850,000 | NY St Dorm Auth St Personal Income Tax Rev Ref, Ser E | 5.00% | 03/15/34 | 3,301,321 | ||||
1,000,000 | NY St Dorm Auth St Personal Income Tax Rev, Ser B | 5.00% | 03/15/30 | 1,017,665 | ||||
2,500,000 | NY St Thruway Auth Gen Rev Junior Indebtedness Oblig Subord, Ser B | 4.00% | 01/01/50 | 2,836,275 | ||||
2,000,000 | NY St Transprtn Dev Corp Spl Fac Rev Delta Air Lines Inc Laguardia Arpt Terminals C&D Redev, AMT | 4.00% | 10/01/30 | 2,323,357 | ||||
2,720,000 | NY St Transprtn Dev Corp Spl Fac Rev Delta Air Lines Inc Laguardia Arpt Terminals C&D Redev, AMT | 5.00% | 10/01/35 | 3,374,793 | ||||
200,000 | NY St Urban Dev Corp Rev Ref St Personal Income Tax Rev, Ser C | 5.00% | 03/15/44 | 249,593 | ||||
2,150,000 | Onondaga Cnty NY Trust Cultural Res Rev Ref Syracuse Univ Proj | 5.00% | 12/01/40 | 2,734,349 | ||||
500,000 | Port Auth of NY & NJ NY Consol One Hundred Eighty Fifth Ref, AMT | 5.00% | 09/01/23 | 541,402 | ||||
465,000 | Port Auth of NY & NJ NY Ref Consol, Ser 186, AMT | 5.00% | 10/15/35 | 517,023 | ||||
5,000,000 | Port Auth of NY & NJ NY Ref Consol, Ser 198 | 5.25% | 11/15/56 | 5,991,162 | ||||
2,000,000 | Suffolk NY Tobacco Asset Securitization Corp Tobacco Stlmt Asset Backed Sub Bonds, Ser B-1 | 4.00% | 06/01/50 | 2,233,014 | ||||
700,000 | Suffolk NY Tobacco Asset Securitization Corp Tobacco Stlmt Ref Tobacco Stlmt Asset Backed Sr Bonds, Ser A-2 | 4.00% | 06/01/50 | 790,226 | ||||
8,000,000 | Tsasc Inc NY Tsasc Inc Rev Ref Turbo, Subser B | 5.00% | 06/01/45 | 8,732,531 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$4,475,000 | Util Debt Securitization Auth NY Restructuring Bonds Ref | 5.00% | 12/15/33 | $5,253,161 | ||||
400,000 | Yonkers NY Econ Dev Corp Eductnl Rev Chrt Sch Edu Excellence Proj, Ser A | 4.00% | 10/15/29 | 439,233 | ||||
142,579,702 | ||||||||
North Carolina – 0.9% | ||||||||
250,000 | Buncombe Cnty NC Ltd Oblig Ref Rev, Ser A | 5.00% | 06/01/29 | 320,705 | ||||
375,000 | Buncombe Cnty NC Ltd Oblig Ref Rev, Ser A | 5.00% | 06/01/30 | 490,580 | ||||
575,000 | Charlotte-Mecklenburg NC Hosp Auth Hlthcare Sys Rev Ref Carolinas Hlthcare Sys, Ser A | 5.00% | 01/15/34 | 664,757 | ||||
750,000 | Greenville NC Comb Enterprise Sys Rev Ref | 5.00% | 04/01/28 | 886,206 | ||||
1,330,000 | Monroe NC Comb Enterprise Sys Rev Ref | 5.00% | 03/01/28 | 1,565,157 | ||||
1,000,000 | NC St Agric & Tech Univ Ref Gen, Ser A | 5.00% | 10/01/40 | 1,156,620 | ||||
400,000 | NC St Capital Facs Fin Agy Eductnl Facs Rev Ref High Point Univ | 5.00% | 05/01/28 | 489,879 | ||||
775,000 | NC St Capital Facs Fin Agy Eductnl Facs Rev Ref High Point Univ | 5.00% | 05/01/29 | 967,237 | ||||
900,000 | NC St Capital Facs Fin Agy Stdt Rev Ref Hsg NC A&T Univ Fdtn Proj, Ser A, AGC | 5.00% | 06/01/26 | 1,031,752 | ||||
3,700,000 | NC St Med Care Commn Hlthcare Facs Rev Rex Hlthcare, Ser A | 4.00% | 07/01/49 | 4,165,488 | ||||
1,270,000 | NC St Med Care Commn Hlthcare Facs Rev the Presbyterian Homes Oblig Grp, Ser A | 5.00% | 10/01/45 | 1,511,408 | ||||
1,500,000 | NC St Med Care Commn Retmnt Facs Rev Pennybyrn at Maryfield Proj, Ser A | 5.00% | 10/01/50 | 1,666,136 | ||||
630,000 | NC St Med Care Commn Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A | 5.00% | 10/01/29 | 690,188 | ||||
470,000 | NC St Med Care Commn Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A | 5.00% | 10/01/32 | 512,540 | ||||
750,000 | NC St Med Care Commn Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A | 5.00% | 10/01/37 | 814,585 | ||||
500,000 | NC St Med Care Commn Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A | 5.00% | 10/01/47 | 539,484 | ||||
3,000,000 | NC St Turnpike Auth Ref Sr Lien, AGM | 5.00% | 01/01/38 | 3,694,799 | ||||
21,167,521 | ||||||||
North Dakota – 0.0% | ||||||||
500,000 | Grand Forks ND Hlthcare Sys Rev Altru Hlth Sys Ref | 4.00% | 12/01/36 | 579,786 | ||||
Ohio – 3.8% | ||||||||
750,000 | Akron Bath Copley Jt Twp OH Hosp Dist Ref Summa Hlth Oblig Grp Hosp Facs Rev | 4.00% | 11/15/35 | 873,278 | ||||
900,000 | Akron Bath Copley Jt Twp OH Hosp Dist Ref Summa Hlth Oblig Grp Hosp Facs Rev | 4.00% | 11/15/36 | 1,040,547 | ||||
2,410,000 | Allen Cnty OH Hosp Facs Rev Ref, Ser A | 5.00% | 08/01/29 | 2,980,656 | ||||
2,600,000 | Allen Cnty OH Hosp Facs Rev Ref, Ser A | 5.00% | 08/01/42 | 3,117,300 | ||||
100,000 | Bowling Green OH St Univ Ref, Ser A | 4.00% | 06/01/38 | 115,448 | ||||
195,000 | Bowling Green OH St Univ Ref, Ser A | 4.00% | 06/01/39 | 224,607 | ||||
11,900,000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Class 2, Ser B-2 | 5.00% | 06/01/55 | 13,362,893 | ||||
1,000,000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Ser A-2, Class 1 | 5.00% | 06/01/27 | 1,206,408 | ||||
2,850,000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Ser A-2, Class 1 | 4.00% | 06/01/39 | 3,241,932 | ||||
135,000 | Butler Cnty OH Hosp Facs Ref UC Hlth | 5.00% | 11/15/30 | 162,948 | ||||
1,500,000 | Butler Cnty OH Hosp Facs Ref UC Hlth | 5.00% | 11/15/31 | 1,805,488 | ||||
1,000,000 | Butler Cnty OH Hosp Facs Ref UC Hlth | 5.00% | 11/15/32 | 1,201,383 | ||||
370,000 | Butler Cnty OH Port Auth Econdev Lease Rev Ref Cmnty First Solutions Oblg Grp Proj, Ser A | 4.00% | 05/15/46 | 423,297 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Ohio (Continued) | ||||||||
$1,000,000 | Chillicothe OH City Sch Dist Ref, AGM | 4.00% | 12/01/31 | $1,091,289 | ||||
80,000 | Cleveland OH Pub Pwr Sys Rev Prerefunded Ref Ser A, AGM | 5.00% | 11/15/24 | 91,148 | ||||
1,000,000 | Cleveland OH Pub Pwr Sys Rev Ref, Ser A, AGM | 4.00% | 11/15/37 | 1,166,361 | ||||
420,000 | Cleveland OH Pub Pwr Sys Rev Unrefunded Ref Ser A, AGM | 5.00% | 11/15/24 | 476,915 | ||||
1,255,000 | Columbus OH Swr Rev Ref Sys | 5.00% | 06/01/26 | 1,428,912 | ||||
1,485,000 | Cuyahoga Falls OH City Sch Dist, BAM | 4.00% | 12/01/51 | 1,688,664 | ||||
3,450,000 | Franklin Cnty OH Rev, Ser A | 4.00% | 12/01/44 | 3,967,238 | ||||
700,000 | Hamilton Cnty OH Hlthcare Facs Rev Christ Hosp Proj | 5.25% | 06/01/27 | 718,147 | ||||
310,000 | Hamilton Cnty OH Hosp Facs Rev Ref Trihealth Inc Oblig Grp Proj, Ser A | 5.00% | 08/15/31 | 397,529 | ||||
250,000 | Hamilton Cnty OH Hosp Facs Rev Ref Trihealth Inc Oblig Grp Proj, Ser A | 5.00% | 08/15/32 | 319,655 | ||||
380,000 | Hamilton Cnty OH Hosp Facs Rev Ref Trihealth Inc Oblig Grp Proj, Ser A | 5.00% | 08/15/33 | 484,865 | ||||
2,100,000 | Hamilton Cnty OH Hosp Facs Rev UC Hlth | 4.00% | 09/15/50 | 2,373,529 | ||||
1,000,000 | Lancaster OH Port Auth Gas Rev Ref, Ser A (Mandatory put 02/01/25) | 5.00% | 08/01/49 | 1,138,091 | ||||
960,000 | Miami Cnty OH Hosp Facs Rev Ref & Impt Kettering Hlth Network Oblig Grp | 5.00% | 08/01/32 | 1,190,965 | ||||
1,000,000 | Miami Cnty OH Hosp Facs Rev Ref & Impt Kettering Hlth Network Oblig Grp | 5.00% | 08/01/33 | 1,238,498 | ||||
3,000,000 | Miami Cnty OH Hosp Facs Rev Ref & Impt Kettering Hlth Network Oblig Grp | 5.00% | 08/01/36 | 3,694,261 | ||||
575,000 | Miamisburg OH City Sch Dist Ref | 5.00% | 12/01/35 | 671,161 | ||||
400,000 | Montgomery Cnty OH Hosp Rev Ref Kettering Hlth Network Oblig Grp Proj | 4.00% | 08/01/37 | 470,180 | ||||
655,000 | Montgomery Cnty OH Hosp Rev Ref Kettering Hlth Network Oblig Grp Proj | 4.00% | 08/01/41 | 762,650 | ||||
600,000 | NE OH Med Univ Gen Recpts Ref, Ser A | 4.00% | 12/01/35 | 687,189 | ||||
5,250,000 | OH St Air Quality Dev Auth Exempt Facs Rev AMG Vanadium Proj, AMT (a) | 5.00% | 07/01/49 | 6,002,564 | ||||
1,000,000 | OH St Air Quality Dev Auth Ref American Elec Pwr Company Proj Remk, Ser B, AMT (Mandatory put 10/01/24) | 2.10% | 07/01/28 | 1,033,782 | ||||
2,225,000 | OH St Air Quality Dev Auth Ref OH Vly Elec Corp Proj, Ser A | 3.25% | 09/01/29 | 2,377,085 | ||||
1,000,000 | OH St Hgr Edu, Ser A | 5.00% | 05/01/33 | 1,152,364 | ||||
1,000,000 | OH St Hgr Eductnl Fac Commn Denison Univ Proj | 5.00% | 11/01/38 | 1,236,997 | ||||
1,000,000 | OH St Hgr Eductnl Fac Commn Ref Rev Judson Oblig Grp 2020 Proj, Ser A | 5.00% | 12/01/45 | 1,152,773 | ||||
700,000 | OH St Hgr Eductnl Fac Commn Ref Univ of Dayton 2020 Proj | 5.00% | 02/01/35 | 879,660 | ||||
300,000 | OH St Hosp Rev Ref Univ Hosps Hlth Sys Inc, Ser E | 4.00% | 01/15/38 | 337,821 | ||||
505,000 | OH St Hosp Rev Ref Univ Hosps Hlth Sys Inc, Ser E | 4.00% | 01/15/40 | 566,246 | ||||
150,000 | OH St Hosp Rev Ref, Ser A | 5.00% | 01/15/33 | 189,025 | ||||
325,000 | OH St Hosp Rev Ref, Ser A | 5.00% | 01/15/35 | 407,733 | ||||
500,000 | OH St Hosp Rev Ref, Ser A | 4.00% | 01/15/38 | 577,789 | ||||
2,000,000 | OH St Spl Oblig, Ser A-2 | 5.00% | 04/01/30 | 2,283,181 | ||||
1,880,000 | OH St Univ Gen Recpts Spl Purp, Ser A | 5.00% | 06/01/28 | 2,008,604 | ||||
1,000,000 | OH St Wtr Dev Auth Rev Wtr Dev Fresh Wtr, Ser A | 5.00% | 12/01/21 | 1,003,937 | ||||
500,000 | OH St Wtr Dev Auth Wtr Poll Control Rev, Ser B | 5.00% | 12/01/26 | 607,119 | ||||
2,500,000 | OH St, Ser T | 5.00% | 05/01/32 | 3,041,213 | ||||
6,325,000 | Ross Cnty OH Hosp Rev Ref Adena Hlth Sys Oblig Grp Proj | 5.00% | 12/01/39 | 7,803,101 | ||||
2,000,000 | Sthrn OH Port Exempt Fac Rev Purecycle Proj, Ser A, AMT (a) | 6.50% | 12/01/30 | 2,301,257 | ||||
1,800,000 | Sthrn OH Port Exempt Fac Rev Purecycle Proj, Ser A, AMT (a) | 7.00% | 12/01/42 | 2,059,448 | ||||
90,835,131 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Oklahoma – 0.8% | ||||||||
$900,000 | Catoosa OK Indl Auth Sales Tax Rev | 4.50% | 10/01/32 | $917,050 | ||||
750,000 | OK St Dev Fin Auth Hlth Sys Rev OU Medicine Proj, Ser B | 5.25% | 08/15/48 | 908,840 | ||||
6,000,000 | OK St Dev Fin Auth Sr OK Proton Ctr, Ser A1 (a) | 7.25% | 09/01/51 | 7,114,363 | ||||
2,815,000 | Oklahoma City OK Arpt Trust Junior Lien, AMT | 5.00% | 07/01/34 | 3,431,621 | ||||
1,040,000 | Oklahoma City OK Arpt Trust Junior Lien, AMT | 5.00% | 07/01/47 | 1,244,637 | ||||
1,000,000 | Oklahoma Cnty OK Fin Auth Eductnl Facs Lease Rev Midwest City De City Pub Schs Proj | 5.00% | 10/01/25 | 1,161,966 | ||||
1,000,000 | Oklahoma Cnty OK Fin Auth Eductnl Facs Lease Rev Midwest City De City Pub Schs Proj | 5.00% | 10/01/26 | 1,195,278 | ||||
1,000,000 | Tulsa Cnty OK Indl Auth Sr Living Cmnty Rev Ref Montereau Inc Proj | 5.00% | 11/15/25 | 1,150,129 | ||||
250,000 | Tulsa Cnty OK Indl Auth Sr Living Cmnty Rev Ref Montereau Inc Proj | 5.00% | 11/15/26 | 290,785 | ||||
1,000,000 | Weatherford OK Indl Trust Eductnl Facs Lease Rev Weatherford Pub Schs Proj | 5.00% | 03/01/31 | 1,243,220 | ||||
18,657,889 | ||||||||
Oregon – 1.4% | ||||||||
500,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A | 5.25% | 11/15/50 | 547,912 | ||||
170,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Sr Living Willamette View Proj, Ser A | 4.00% | 05/15/26 | 184,058 | ||||
250,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Sr Living Willamette View Proj, Ser A | 5.00% | 11/15/32 | 277,351 | ||||
1,500,000 | Medford OR Hosp Facs Auth Rev Ref Asante Proj, Ser A | 5.00% | 08/15/35 | 1,911,213 | ||||
1,000,000 | Medford OR Hosp Facs Auth Rev Ref Asante Proj, Ser A | 5.00% | 08/15/36 | 1,266,936 | ||||
1,080,000 | Medford OR Hosp Facs Auth Rev Ref Asante Proj, Ser A | 5.00% | 08/15/45 | 1,346,096 | ||||
4,000,000 | OR St Dept of Admin Svcs Lottery Rev, Ser A | 5.00% | 04/01/34 | 4,806,088 | ||||
2,035,000 | OR St Dept of Admin Svcs Lottery Rev, Ser A | 5.00% | 04/01/35 | 2,441,485 | ||||
1,100,000 | OR St Facs Auth Rev Ref Univ Portland, Ser A | 5.00% | 04/01/32 | 1,243,502 | ||||
500,000 | Oregon City OR | 4.00% | 06/01/37 | 570,639 | ||||
1,060,000 | Oregon City OR | 4.00% | 06/01/38 | 1,207,693 | ||||
2,450,000 | Port of Portland OR Arpt Rev Portland Intl Arpt, Ser 25B, AMT | 5.00% | 07/01/37 | 3,004,929 | ||||
2,350,000 | Port of Portland OR Arpt Rev, Ser 24B, AMT | 5.00% | 07/01/33 | 2,778,420 | ||||
2,500,000 | Portland OR Swr Sys Rev 2nd Lien, Ser A | 4.50% | 05/01/31 | 2,898,232 | ||||
4,925,000 | Tri-Cnty OR Met Transprtn Dist, Ser A, GARVEE | 5.00% | 10/01/31 | 5,996,579 | ||||
1,775,000 | Yamhill Cnty OR Hosp Auth Ref Friendsview, Ser A | 5.00% | 11/15/56 | 2,035,707 | ||||
32,516,840 | ||||||||
Pennsylvania – 7.3% | ||||||||
750,000 | Allegheny Cnty PA Arpt Auth Arpt Rev, Ser A, AGM, AMT | 4.00% | 01/01/46 | 848,577 | ||||
1,500,000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network Oblig Grp Issue, Ser A | 5.00% | 04/01/32 | 1,827,464 | ||||
1,200,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Ctr, Ser A | 5.00% | 07/15/32 | 1,511,742 | ||||
505,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Ctr, Ser A | 5.00% | 07/15/34 | 633,477 | ||||
2,300,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Ctr, Ser A | 4.00% | 07/15/36 | 2,681,444 | ||||
7,070,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Ctr, Ser A | 4.00% | 07/15/38 | 8,200,989 | ||||
900,000 | Armstrong PA Sch Dist Ref, Ser A, BAM | 5.00% | 03/15/31 | 1,134,164 | ||||
1,055,000 | Armstrong PA Sch Dist Ref, Ser A, BAM | 4.00% | 03/15/36 | 1,234,812 | ||||
500,000 | Armstrong PA Sch Dist Ref, Ser A, BAM | 4.00% | 03/15/37 | 583,859 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$460,000 | Berks Cnty PA Indl Dev Auth Hlthcare Facs Rev Ref Highlands at Wyomissing, Ser A | 5.00% | 05/15/32 | $529,633 | ||||
735,000 | Bucks Cnty PA Indl Dev Auth Hosp Rev St Luke’s Univ Hlth Network Proj | 4.00% | 08/15/38 | 837,891 | ||||
1,050,000 | Bucks Cnty PA Indl Dev Auth Hosp Rev St Luke’s Univ Hlth Network Proj | 4.00% | 08/15/44 | 1,183,847 | ||||
1,185,000 | Bucks Cnty PA Indl Dev Auth Ref Pennswood Vlg Proj, Ser A | 5.00% | 10/01/32 | 1,327,716 | ||||
415,000 | Bucks Cnty PA Indl Dev Auth Ref Pennswood Vlg Proj, Ser A | 5.00% | 10/01/33 | 464,599 | ||||
765,000 | Chester Cnty PA Indl Dev Auth Renaissance Acdmy Chrt Sch | 5.00% | 10/01/34 | 839,911 | ||||
2,000,000 | Cmwlth Fing Auth PA Ref of 2020, Ser A, BAM | 5.00% | 06/01/31 | 2,595,413 | ||||
1,000,000 | Cmwlth Fing Auth PA Tobacco Master Stlmt Payment Rev Tobacco Master Stlmt Payment Bonds | 5.00% | 06/01/25 | 1,152,738 | ||||
410,000 | Cmwlth Fing Auth PA Tobacco Master Stlmt Payment Rev Tobacco Master Stlmt Payment Bonds | 5.00% | 06/01/26 | 486,668 | ||||
500,000 | Colonial PA Sch Dist | 5.00% | 02/15/36 | 571,154 | ||||
300,000 | Colonial PA Sch Dist, Ser A | 5.00% | 02/15/34 | 349,231 | ||||
270,000 | Conestoga Vly PA Sch Dist | 4.00% | 02/01/31 | 311,679 | ||||
300,000 | Conestoga Vly PA Sch Dist | 4.00% | 02/01/32 | 344,712 | ||||
50,000 | Cumberland Cnty PA Muni Auth Prerefunded Ref Diakon Lutheran Ministries Proj | 5.00% | 01/01/30 | 56,983 | ||||
65,000 | Cumberland Cnty PA Muni Auth Prerefunded Ref Diakon Lutheran Ministries Proj | 5.00% | 01/01/38 | 74,078 | ||||
1,150,000 | Cumberland Cnty PA Muni Auth Ref Diakon Lutheran Social Ministries | 5.00% | 01/01/25 | 1,293,661 | ||||
1,000,000 | Cumberland Cnty PA Muni Auth Ref Diakon Lutheran Social Ministries | 5.00% | 01/01/33 | 1,128,654 | ||||
1,660,000 | Cumberland Cnty PA Muni Auth Ref Messiah Vlg Proj | 5.00% | 07/01/28 | 1,871,602 | ||||
250,000 | Cumberland Cnty PA Muni Auth Unrefunded Ref Diakon Lutheran Ministries Proj | 5.00% | 01/01/30 | 276,116 | ||||
635,000 | Cumberland Cnty PA Muni Auth Unrefunded Ref Diakon Lutheran Ministries Proj | 5.00% | 01/01/38 | 694,538 | ||||
490,000 | Dauphin Cnty PA Gen Auth Hlth sys Rev Ref Pinnacle Hlth Sys Proj, Ser A | 5.00% | 06/01/29 | 581,383 | ||||
1,165,000 | Dover PA Area Sch Dist, BAM | 4.00% | 04/01/32 | 1,319,396 | ||||
100,000 | Dubois PA Hosp Auth Penn Highlands Hlthcare | 5.00% | 07/15/32 | 120,493 | ||||
115,000 | Dubois PA Hosp Auth Penn Highlands Hlthcare | 5.00% | 07/15/33 | 138,333 | ||||
245,000 | Dubois PA Hosp Auth Penn Highlands Hlthcare | 5.00% | 07/15/34 | 294,096 | ||||
290,000 | Dubois PA Hosp Auth Penn Highlands Hlthcare | 5.00% | 07/15/35 | 347,622 | ||||
1,910,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/27 | 2,200,175 | ||||
715,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/28 | 820,402 | ||||
770,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/29 | 880,572 | ||||
5,980,000 | Geisinger PA Auth Hlth Sys Rev Ref Geisinger Hlth Sys Oblig Grp, Ser A | 4.00% | 04/01/50 | 6,738,299 | ||||
760,000 | Hermitage PA Muni Auth Ref, Ser C | 4.00% | 02/01/31 | 886,725 | ||||
1,110,000 | Hermitage PA Muni Auth Ref, Ser C | 4.00% | 02/01/32 | 1,291,293 | ||||
515,000 | Hermitage PA Muni Auth Ref, Ser C | 4.00% | 02/01/33 | 597,909 | ||||
1,730,000 | Kiski Vly PA Wtr Poll Control Auth Ref, AGM | 4.00% | 09/01/42 | 1,882,266 | ||||
930,000 | Kutztown PA Area Sch Dist, AGM | 4.00% | 03/15/35 | 1,090,243 | ||||
655,000 | Kutztown PA Area Sch Dist, AGM | 4.00% | 03/15/36 | 765,146 | ||||
480,000 | Lancaster Cnty PA Hosp Auth Hlthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/30 | 548,289 | ||||
1,110,000 | Lancaster Cnty PA Hosp Auth Hlthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/38 | 1,250,606 | ||||
2,100,000 | Lancaster Cnty PA Hosp Auth Penn St Hlth | 5.00% | 11/01/40 | 2,588,940 | ||||
1,700,000 | Lancaster Cnty PA Hosp Auth Penn St Hlth | 5.00% | 11/01/41 | 2,089,626 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$750,000 | Lancaster Cnty PA Hosp Auth Ref, St Annes Retmnt Cmnty Inc Proj | 5.00% | 03/01/45 | $840,504 | ||||
1,000,000 | Lancaster Cnty PA Hosp Auth Ref, St Annes Retmnt Cmnty Inc Proj | 5.00% | 03/01/50 | 1,118,031 | ||||
1,355,000 | Lancaster PA Swr Auth Ref | 5.00% | 04/01/27 | 1,644,438 | ||||
860,000 | Lancaster PA Swr Auth Ref | 4.00% | 04/01/30 | 1,021,085 | ||||
750,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/46 | 800,302 | ||||
2,415,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/51 | 2,569,329 | ||||
405,000 | Lebanon PA Auth Swr Rev Ref Green Bond, BAM | 4.00% | 12/15/29 | 465,633 | ||||
420,000 | Lebanon PA Auth Swr Rev Ref Green Bond, BAM | 4.00% | 12/15/30 | 481,720 | ||||
1,550,000 | Mechanicsburg PA Area Sch Dist, Ser A | 4.00% | 03/01/36 | 1,784,778 | ||||
1,090,000 | Mechanicsburg PA Area Sch Dist, Ser A | 4.00% | 03/01/38 | 1,250,485 | ||||
500,000 | Middletown PA Sch Dist, Ser A | 5.00% | 03/01/28 | 508,008 | ||||
300,000 | Mifflinburg PA Area Sch Dist Ref, Ser A | 4.00% | 06/15/35 | 350,300 | ||||
550,000 | Mifflinburg PA Area Sch Dist Ref, Ser A | 4.00% | 06/15/36 | 638,058 | ||||
610,000 | Mifflinburg PA Area Sch Dist Ref, Ser A | 4.00% | 06/15/38 | 704,539 | ||||
1,000,000 | Montgomery Cnty PA Hgr Edu & Hlth Auth Ref Thomas Jefferson Univ Proj | 4.00% | 09/01/34 | 1,158,707 | ||||
1,000,000 | Montgomery Cnty PA Hgr Edu & Hlth Auth Ref Thomas Jefferson Univ Proj | 4.00% | 09/01/35 | 1,157,003 | ||||
2,000,000 | Montgomery Cnty PA Hgr Edu & Hlth Auth Ref Thomas Jefferson Univ Proj | 4.00% | 09/01/44 | 2,269,511 | ||||
50,000 | Montgomery Cnty PA Indl Dev Auth Acts Retmnt Life Cmntys Ref | 5.00% | 11/15/29 | 51,301 | ||||
480,000 | Montgomery Cnty PA Indl Dev Auth Ref Meadowood Sr Living Proj, Ser A | 5.00% | 12/01/26 | 557,994 | ||||
100,000 | Montgomery Cnty PA Indl Dev Auth Ref Waverly Heights Ltd Proj | 4.00% | 12/01/33 | 112,056 | ||||
200,000 | Montgomery Cnty PA Indl Dev Auth Ref Waverly Heights Ltd Proj | 4.00% | 12/01/34 | 223,791 | ||||
580,000 | Montgomery Cnty PA Indl Dev Auth Ref Waverly Heights Ltd Proj | 5.00% | 12/01/44 | 663,575 | ||||
140,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/25 | 160,690 | ||||
225,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/26 | 264,789 | ||||
540,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/31 | 618,811 | ||||
1,800,000 | Northampton Cnty PA Gen Purp Auth Hosp Rev Ref St Luke’s Univ Hlth Network Proj, Ser A | 5.00% | 08/15/28 | 2,132,274 | ||||
500,000 | PA St 2nd, Ser CR, AGM | 4.00% | 09/15/31 | 570,489 | ||||
50,000 | PA St Econ Dev Fin Auth Rev UPMC Rev, Ser B | 4.00% | 03/15/40 | 54,727 | ||||
1,000,000 | PA St Hgr Eductnl Facs Auth Rev Ref Drexel Univ | 5.00% | 05/01/25 | 1,153,492 | ||||
1,105,000 | PA St Hgr Eductnl Facs Auth Rev Ref Drexel Univ | 5.00% | 05/01/34 | 1,298,205 | ||||
2,810,000 | PA St Hsg Fin Agy SF Mtge Rev Non Ace, Ser 123B | 3.45% | 10/01/32 | 2,991,077 | ||||
2,365,000 | PA St Hsg Fin Agy SF Mtge Rev Non Ace, Ser 125B, Non AMT | 3.70% | 10/01/47 | 2,444,945 | ||||
5,455,000 | PA St Hsg Fin Agy SF Mtge Rev, Ser 127B | 3.55% | 10/01/33 | 5,665,099 | ||||
565,000 | PA St Turnpike Commn Turnpike Rev Conv Cap Apprec, Subser E | 6.38% | 12/01/38 | 735,221 | ||||
1,000,000 | PA St Turnpike Commn Turnpike Rev Ref | 5.00% | 12/01/33 | 1,133,551 | ||||
4,940,000 | PA St Turnpike Commn Turnpike Rev Ref Sub Mtr License Fund, 2nd Ser | 5.00% | 12/01/41 | 5,963,359 | ||||
2,500,000 | PA St Turnpike Commn Turnpike Rev Ref, Subser B | 5.00% | 06/01/36 | 2,922,879 | ||||
6,655,000 | PA St Turnpike Commn Turnpike Rev Subord, Ser A | 4.00% | 12/01/50 | 7,460,600 | ||||
550,000 | PA St Turnpike Commn Turnpike Rev Subord, Ser A-1 | 5.00% | 12/01/30 | 639,129 | ||||
200,000 | Parkland PA Sch Dist, Ser B | 4.00% | 02/01/34 | 235,267 | ||||
300,000 | Parkland PA Sch Dist, Ser B | 4.00% | 02/01/35 | 352,086 | ||||
600,000 | Parkland PA Sch Dist, Ser B | 4.00% | 02/01/36 | 701,943 | ||||
1,200,000 | Philadelphia PA Arpt Rev Ref Priv Activity, AGM, AMT | 4.00% | 07/01/38 | 1,400,845 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$750,000 | Philadelphia PA Arpt Rev Ref Priv Activity, AGM, AMT | 4.00% | 07/01/40 | $869,995 | ||||
620,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Mast Chrt Sch Proj | 5.00% | 08/01/40 | 743,953 | ||||
375,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Mast Chrt Sch Proj | 5.00% | 08/01/50 | 443,023 | ||||
1,500,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Philadelphia E&T Chrt High Sch, Ser A | 4.00% | 06/01/41 | 1,627,974 | ||||
1,000,000 | Philadelphia PA Auth for Indl Dev City Svc Agreement Rev | 5.00% | 05/01/35 | 1,219,932 | ||||
1,000,000 | �� | Philadelphia PA Auth for Indl Dev City Svc Agreement Rev, BAM | 5.00% | 05/01/30 | 1,241,093 | |||
290,000 | Philadelphia PA Gas Wks Rev Ref | 5.00% | 08/01/25 | 336,363 | ||||
1,625,000 | Philadelphia PA Gas Wks Rev Ref | 5.00% | 08/01/29 | 1,882,829 | ||||
1,000,000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, 14th Ser | 5.00% | 10/01/29 | 1,191,033 | ||||
455,000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, 14th Ser | 5.00% | 10/01/32 | 540,477 | ||||
2,000,000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, 14th Ser | 5.00% | 10/01/34 | 2,369,399 | ||||
5,235,000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, 15th Ser | 5.00% | 08/01/42 | 6,206,512 | ||||
3,355,000 | Philadelphia PA Ref, AGM | 5.00% | 08/01/30 | 4,076,748 | ||||
500,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/26 | 598,833 | ||||
500,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/27 | 613,101 | ||||
225,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/27 | 275,896 | ||||
750,000 | Philadelphia PA Ref, Ser A | 5.25% | 07/15/28 | 831,082 | ||||
1,250,000 | Philadelphia PA Sch Dist, Ser A | 5.00% | 09/01/38 | 1,524,020 | ||||
500,000 | Philadelphia PA Wtr & Wstwtr Rev, Ser A | 5.00% | 11/01/36 | 645,120 | ||||
1,500,000 | Philadelphia PA Wtr & Wstwtr Rev, Ser A | 5.00% | 11/01/45 | 1,889,041 | ||||
100,000 | Philadelphia PA, Ser B | 5.00% | 02/01/28 | 123,450 | ||||
2,245,000 | Philadelphia PA, Ser B | 5.00% | 02/01/36 | 2,789,040 | ||||
1,275,000 | Philadelphia PA, Ser B | 5.00% | 02/01/39 | 1,573,934 | ||||
3,260,000 | Philadelphia PA, Ser B, BAM | 5.00% | 02/01/34 | 4,115,137 | ||||
2,235,000 | Pittsburgh PA Sch Dist, Ser A | 4.00% | 09/01/38 | 2,569,888 | ||||
1,885,000 | Pittsburgh PA Sch Dist, Ser A, AGM | 4.00% | 09/01/34 | 2,213,063 | ||||
310,000 | Pittsburgh PA Wtr & Swr Auth, Ser B, AGM | 5.00% | 09/01/31 | 405,024 | ||||
300,000 | Pittsburgh PA Wtr & Swr Auth, Ser B, AGM | 5.00% | 09/01/32 | 390,831 | ||||
400,000 | Pittsburgh PA Wtr & Swr Auth, Ser B, AGM | 5.00% | 09/01/33 | 520,032 | ||||
205,000 | Pittsburgh PA Wtr & Swr Auth, Ser B, AGM | 5.00% | 09/01/34 | 265,777 | ||||
300,000 | S Wayne Cnty PA Wtr & Swr Auth Wtr & Swr Rev Ref, BAM | 4.00% | 02/15/34 | 354,511 | ||||
325,000 | S Wayne Cnty PA Wtr & Swr Auth Wtr & Swr Rev Ref, BAM | 4.00% | 02/15/35 | 382,871 | ||||
235,000 | S Wayne Cnty PA Wtr & Swr Auth Wtr & Swr Rev Ref, BAM | 4.00% | 02/15/36 | 275,936 | ||||
1,835,000 | Scranton PA Sch Dist | 4.00% | 12/01/42 | 2,094,859 | ||||
405,000 | Southcentrl PA General Auth Rev Ref Hanover Hosp Inc | 5.00% | 12/01/23 | 441,941 | ||||
390,000 | Upper Darby PA Sch Dist, AGM | 4.00% | 04/01/31 | 459,126 | ||||
250,000 | Upper Darby PA Sch Dist, AGM | 4.00% | 04/01/34 | 292,334 | ||||
300,000 | Upper Darby PA Sch Dist, AGM | 4.00% | 04/01/35 | 350,145 | ||||
250,000 | Upper Darby PA Sch Dist, AGM | 4.00% | 04/01/36 | 291,005 | ||||
200,000 | Upper Darby PA Sch Dist, Ser A, BAM | 4.00% | 04/01/39 | 234,891 | ||||
300,000 | Upper Darby PA Sch Dist, Ser A, BAM | 4.00% | 04/01/40 | 351,693 | ||||
300,000 | Upper Darby PA Sch Dist, Ser A, BAM | 4.00% | 04/01/42 | 350,011 | ||||
245,000 | Upper Darby PA Sch Dist, Ser A, BAM | 4.00% | 04/01/43 | 285,314 | ||||
105,000 | W Cornwall Twp PA Muni Auth Ref Lebanon Vly Brethren Home Proj, Ser A | 4.00% | 11/15/28 | 121,554 | ||||
135,000 | W Cornwall Twp PA Muni Auth Ref Lebanon Vly Brethren Home Proj, Ser A | 4.00% | 11/15/29 | 158,119 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$215,000 | W Cornwall Twp PA Muni Auth Ref Lebanon Vly Brethren Home Proj, Ser A | 4.00% | 11/15/36 | $247,465 | ||||
1,970,000 | Westmoreland Cnty PA Muni Auth Ref, BAM | 5.00% | 08/15/42 | 2,253,429 | ||||
173,787,596 | ||||||||
Puerto Rico – 0.7% | ||||||||
9,023,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.50% | 07/01/34 | 9,863,147 | ||||
429,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (d) | 07/01/27 | 388,249 | ||||
3,092,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (d) | 07/01/29 | 2,650,030 | ||||
2,753,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (d) | 07/01/31 | 2,189,937 | ||||
963,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2 Converted | 4.33% | 07/01/40 | 1,059,274 | ||||
16,150,637 | ||||||||
Rhode Island – 0.2% | ||||||||
150,000 | Providence RI Pub Bldgs Auth Rev, Ser B, AGM | 5.00% | 06/15/31 | 185,703 | ||||
320,000 | Providence RI Pub Bldgs Auth Rev, Ser B, AGM | 5.00% | 06/15/33 | 394,306 | ||||
230,000 | Providence RI Pub Bldgs Auth Rev, Ser B, AGM | 5.00% | 06/15/35 | 282,289 | ||||
1,125,000 | RI St Hlth & Eductnl Bldg Corp Rev Ref Hosp Fing Lifespan Oblig Grp | 5.00% | 05/15/29 | 1,300,479 | ||||
1,460,000 | RI St Hlth & Eductnl Bldg Corp Rev Ref Hosp Fing Lifespan Oblig Grp | 5.00% | 05/15/32 | 1,668,069 | ||||
1,700,000 | RI St Hlth & Eductnl Bldg Corp Rev Ref Hosp Fing Lifespan Oblig Grp | 5.00% | 05/15/39 | 1,916,140 | ||||
5,746,986 | ||||||||
South Carolina – 0.9% | ||||||||
2,250,000 | Berkeley Cnty SC Assmnt Rev Nexton Impt Dist | 4.25% | 11/01/40 | 2,499,273 | ||||
1,000,000 | Greenville SC Hosp Sys Brd Hosp Facs Rev, Ser B | 5.00% | 05/01/30 | 1,106,988 | ||||
50,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 3.13% | 12/01/22 | 50,625 | ||||
1,310,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 5.00% | 12/01/26 | 1,376,513 | ||||
1,000,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 5.00% | 12/01/31 | 1,041,204 | ||||
1,000,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Woodlands at Furman Proj, Ser A | 5.00% | 11/15/54 | 1,108,201 | ||||
1,650,000 | SC St Jobs Econ Dev Auth Eductnl Facs Rev Green Chrt Schs Proj, Ser A (a) | 4.00% | 06/01/46 | 1,722,750 | ||||
500,000 | SC St Jobs Econ Dev Auth Hlth Facs Rev Ref Lutheran Homes of SC Inc | 5.00% | 05/01/42 | 518,708 | ||||
7,070,000 | SC St Jobs Econ Dev Auth Hosp Facs Rev Ref Bon Secours Mercy Hlth Inc, Ser A | 4.00% | 12/01/44 | 8,088,164 | ||||
30,000 | SC St Jobs Econ Dev Auth Hosp Rev Ref Palmetto Hlth, Ser A | 5.00% | 08/01/23 | 32,470 | ||||
2,000,000 | SC St Pub Svc Auth Rev Ref, Ser A | 4.00% | 12/01/34 | 2,368,118 | ||||
355,000 | SC St Pub Svc Auth Rev Ref, Ser A | 4.00% | 12/01/35 | 419,707 | ||||
20,332,721 | ||||||||
South Dakota – 0.3% | ||||||||
1,000,000 | Lincoln Cnty SD Econ Dev Rev Ref Augustana Clg Assoc Proj, Ser A | 4.00% | 08/01/51 | 1,096,178 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
South Dakota (Continued) | ||||||||
$510,000 | SD St Brd of Rgts Hsg & Auxiliary Fac Sys Rev | 5.00% | 04/01/31 | $606,229 | ||||
505,000 | SD St Brd of Rgts Hsg & Auxiliary Fac Sys Rev | 5.00% | 04/01/32 | 599,061 | ||||
1,000,000 | SD St Brd of Rgts Hsg & Auxiliary Fac Sys Rev Ref Hsg & Auxiliary Facs Sys | 5.00% | 04/01/30 | 1,218,116 | ||||
420,000 | SD St Brd of Rgts Hsg & Auxiliary Fac Sys Rev, Ser B | 5.00% | 04/01/29 | 473,271 | ||||
170,000 | SD St Hlth & Eductnl Facs Auth Ref Sanford Oblig Grp | 5.00% | 11/01/26 | 198,527 | ||||
105,000 | SD St Hlth & Eductnl Facs Auth Ref Sanford Oblig Grp | 5.00% | 11/01/35 | 121,049 | ||||
200,000 | SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty Issue | 3.00% | 09/01/28 | 214,941 | ||||
640,000 | SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty Issue | 3.00% | 09/01/32 | 666,881 | ||||
1,090,000 | SD St Hlth & Eductnl Facs Auth Sanford Oblig Grp, Ser B | 5.00% | 11/01/34 | 1,231,189 | ||||
6,425,442 | ||||||||
Tennessee – 1.3% | ||||||||
250,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Commonspirit Hlth, Ser A-1 | 5.00% | 08/01/34 | 310,606 | ||||
200,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/37 | 229,965 | ||||
825,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Commonspirit Hlth, Ser A-2 | 5.00% | 08/01/34 | 1,025,000 | ||||
325,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Stdt Hsg CDFI Phase I | 5.00% | 10/01/23 | 349,645 | ||||
1,245,000 | Greeneville TN Hlth & Eductnl Facs Brd Hosp Rev Ref Ballad Hlth Oblig Grp, Ser A | 5.00% | 07/01/33 | 1,337,272 | ||||
1,600,000 | Knoxville TN Gas Rev Ref, Ser AA | 4.00% | 03/01/32 | 1,869,855 | ||||
865,000 | Met Govt Nashville & Davidson Cnty TN Elec Rev Sys, Ser A | 5.00% | 05/15/35 | 1,044,023 | ||||
1,385,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Lipscomb Univ Proj, Ser A | 5.00% | 10/01/29 | 1,621,582 | ||||
600,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Trevecca Nazarene Univ Proj | 5.00% | 10/01/29 | 707,378 | ||||
400,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Trevecca Nazarene Univ Proj | 5.00% | 10/01/34 | 482,561 | ||||
700,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Trevecca Nazarene Univ Proj | 5.00% | 10/01/39 | 837,128 | ||||
10,000,000 | Tennergy Corp TN Gas Rev, Ser A (Mandatory put 09/01/28) | 4.00% | 12/01/51 | 11,693,685 | ||||
2,000,000 | TN Energy Acq Corp Cmdy Proj Rev, Ser A (Mandatory put 11/01/31) | 5.00% | 05/01/52 | 2,582,774 | ||||
3,435,000 | TN St Energy Acq Corp Gas Rev Proj, Ser A (Mandatory put 05/01/23) | 4.00% | 05/01/48 | 3,597,435 | ||||
50,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/22 | 52,032 | ||||
2,660,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/26 | 3,144,266 | ||||
30,885,207 | ||||||||
Texas – 9.1% | ||||||||
3,000,000 | Alamo TX Cmnty Clg Dist | 4.00% | 08/15/37 | 3,585,212 | ||||
930,000 | Arlington TX Hgr Edu Fin Corp Edu Rev | 5.00% | 08/15/31 | 1,208,547 | ||||
975,000 | Arlington TX Hgr Edu Fin Corp Edu Rev | 5.00% | 08/15/32 | 1,263,329 | ||||
415,000 | Arlington TX Hgr Edu Fin Corp Edu Rev | 5.00% | 08/15/33 | 536,603 | ||||
525,000 | Arlington TX Hgr Edu Fin Corp Edu Rev | 5.00% | 08/15/34 | 676,990 | ||||
565,000 | Arlington TX Hgr Edu Fin Corp Edu Rev | 4.00% | 08/15/35 | 681,011 | ||||
875,000 | Arlington TX Hgr Edu Fin Corp Edu Rev | 4.00% | 08/15/36 | 1,051,710 | ||||
230,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Kipp TX Inc | 5.00% | 08/15/28 | 287,535 | ||||
2,685,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Lifeschool Dallas, Ser A | 5.00% | 08/15/31 | 3,028,742 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$1,645,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Legacy Trad Schs TX Proj, Ser A | 4.13% | 02/15/41 | $1,651,202 | ||||
450,000 | Austin TX Arpt Sys Rev, AMT | 5.00% | 11/15/33 | 505,895 | ||||
1,000,000 | Austin TX Arpt Sys Rev, Ser B, AMT | 5.00% | 11/15/37 | 1,236,740 | ||||
3,870,000 | Austin TX Arpt Sys Rev, Ser B, AMT | 5.00% | 11/15/39 | 4,766,561 | ||||
900,000 | Bexar Cnty TX Ref | 4.00% | 06/15/38 | 1,054,943 | ||||
910,000 | Bexar Cnty Tx Rev Ref Tax Exempt Venue Proj | 4.00% | 08/15/38 | 1,041,142 | ||||
1,000,000 | Bexar Cnty TX Rev Ref Tax Exempt Venue Proj | 4.00% | 08/15/36 | 1,148,600 | ||||
1,000,000 | Bexar Cnty TX Rev Ref Tax Exempt Venue Proj | 4.00% | 08/15/37 | 1,146,121 | ||||
2,255,000 | Brazoria Cnty TX Toll Road Auth Toll Road Rev Sub Lien, Ser A | 5.00% | 03/01/36 | 2,696,922 | ||||
600,000 | Brd of Managers TX Jt Guadalupe Cnty City of Seguin Hosp Mtg Ref | 5.00% | 12/01/24 | 660,235 | ||||
305,000 | Celina TX Spl Assmnt Rev Ref the Lakes at Mustang Ranch Pub Impt Dt Phase #1 Proj, BAM | 4.00% | 09/01/29 | 335,140 | ||||
350,000 | Centrl TX Regl Mobility Auth Rev Ref | 5.00% | 01/01/27 | 409,240 | ||||
1,000,000 | Centrl TX Regl Mobility Auth Rev Ref | 5.00% | 01/01/46 | 1,206,524 | ||||
600,000 | Centrl TX Regl Mobility Auth Rev Ref Sub Lien | 5.00% | 01/01/33 | 632,422 | ||||
850,000 | Centrl TX Regl Mobility Auth Rev Sr Lien, Ser A | 5.00% | 01/01/29 | 987,389 | ||||
130,000 | Centrl TX Regl Mobility Auth Rev, Ser B | 5.00% | 01/01/35 | 165,932 | ||||
700,000 | Centrl TX Regl Mobility Auth Rev, Ser B | 5.00% | 01/01/38 | 883,779 | ||||
600,000 | Centrl TX Regl Mobility Auth Rev, Ser B | 4.00% | 01/01/40 | 693,121 | ||||
640,000 | Centrl TX Regl Mobility Auth Rev, Ser B | 4.00% | 01/01/41 | 737,390 | ||||
500,000 | Clifton TX Hgr Edu Fin Corp Edu Rev Idea Pub Schs | 5.00% | 08/15/32 | 514,255 | ||||
1,030,000 | Clifton TX Hgr Edu Fin Corp Edu Rev, Ser A | 4.00% | 12/01/25 | 1,085,583 | ||||
4,425,000 | Corpus Christi TX Util Sys Rev Ref Jr Lien | 5.00% | 07/15/33 | 5,461,268 | ||||
2,365,000 | Corpus Christi TX Util Sys Rev Ref Jr Lien | 5.00% | 07/15/35 | 2,908,619 | ||||
750,000 | Dallas TX Hotel Occupancy Tax Rev Ref | 4.00% | 08/15/36 | 837,635 | ||||
490,000 | Dallas TX Hotel Occupancy Tax Rev Ref | 4.00% | 08/15/37 | 546,399 | ||||
3,750,000 | Dallas-Fort Worth TX Intl Arpt Rev Ref, Ser B | 5.00% | 11/01/43 | 4,704,000 | ||||
1,430,000 | El Paso TX Ctfs Oblig, Ser A | 4.00% | 08/15/39 | 1,688,363 | ||||
1,000,000 | El Paso TX Ref, Ser A | 4.00% | 08/15/34 | 1,182,685 | ||||
500,000 | El Paso TX Ref, Ser A | 4.00% | 08/15/36 | 588,149 | ||||
1,215,000 | El Paso TX Wtr & Swr Rev | 4.00% | 03/01/33 | 1,424,574 | ||||
1,000,000 | El Paso TX Wtr & Swr Rev | 4.00% | 03/01/34 | 1,170,915 | ||||
7,000,000 | Frenship TX Indep Sch Dist | 4.00% | 02/15/51 | 8,214,601 | ||||
1,170,000 | Galveston Cnty TX Muni Util Dist #54 Ref | 2.50% | 12/01/31 | 1,157,213 | ||||
1,845,000 | Gregory Portland TX Indep Sch Dist, Ser A | 4.00% | 02/15/31 | 2,180,220 | ||||
535,000 | Gregory Portland TX Indep Sch Dist, Ser A | 4.00% | 02/15/32 | 630,372 | ||||
1,000,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Med Facs Rev Ref Baylor Clg of Med | 4.00% | 11/15/30 | 1,112,482 | ||||
1,640,000 | Harris Cnty TX Flood Control Dist Ref Flood Control Dist, Ser A | 4.00% | 10/01/37 | 1,880,192 | ||||
1,100,000 | Harris Cnty TX Ref Sr Lien Toll Road, Ser B | 5.00% | 08/15/36 | 1,271,556 | ||||
2,600,000 | Harris Cnty TX Ref Sr Lien, Ser A | 5.00% | 08/15/36 | 3,091,697 | ||||
1,770,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal E Proj, Ser A, AMT | 5.00% | 07/01/27 | 2,057,101 | ||||
2,750,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 3,197,902 | ||||
250,000 | Houston TX Arpt Sys Rev Sub, Ser A, AMT | 4.00% | 07/01/40 | 289,290 | ||||
4,000,000 | Houston TX Arpt Sys Rev Sub, Ser A, AMT | 4.00% | 07/01/48 | 4,546,221 | ||||
2,000,000 | Houston TX Arpt Sys Rev United Airls Inc Terminal Impt Proj, Ser B-1, AMT | 4.00% | 07/15/41 | 2,117,285 | ||||
1,730,000 | Houston TX Cmnty Clg Ref | 4.00% | 02/15/37 | 1,916,297 | ||||
500,000 | Houston TX Hgr Edu Fin Corp Edu Rev Ref Harmony Pub Schs, Ser A | 5.00% | 02/15/26 | 544,933 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$1,000,000 | Houston TX Hotel Occupancy Tax & Spl Rev Ref Convention & Entertainment Facs Dept | 5.00% | 09/01/32 | $1,225,605 | ||||
2,000,000 | Houston TX Ref Pub Impt, Ser A | 4.00% | 03/01/33 | 2,171,307 | ||||
2,500,000 | Houston TX Ref, Ser A | 5.00% | 03/01/30 | 3,168,011 | ||||
1,000,000 | Houston TX Util Sys Rev Ref 1st Lien Subord, Ser D | 5.00% | 11/15/29 | 1,172,216 | ||||
1,500,000 | Houston TX Util Sys Rev Ref, Ser C | 4.00% | 11/15/35 | 1,823,936 | ||||
500,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pid #1 (a) | 4.63% | 09/01/39 | 548,587 | ||||
570,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch (a) | 4.35% | 08/15/25 | 610,017 | ||||
545,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch, Ser A (a) | 4.20% | 08/15/25 | 582,459 | ||||
1,250,000 | Laredo TX Cmnty Clg Dist Combined Fee Rev Ref, BAM | 4.00% | 08/01/33 | 1,396,830 | ||||
1,290,000 | Leander TX Spl Assmnt Rev Crystal Springs Pub Impt Dist Proj Accd Inv (c) | 5.13% | 09/01/38 | 1,342,114 | ||||
500,000 | Liberty Hill TX Indep Sch Dist Ref | 5.00% | 08/01/30 | 595,483 | ||||
1,800,000 | Lower Colorado River TX Auth Rev Ref | 5.00% | 05/15/35 | 2,281,143 | ||||
1,000,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/28 | 1,249,756 | ||||
500,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/29 | 635,449 | ||||
500,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/30 | 631,430 | ||||
1,000,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/31 | 1,255,273 | ||||
1,500,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/32 | 1,889,771 | ||||
700,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/33 | 826,082 | ||||
500,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/33 | 629,488 | ||||
500,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/34 | 627,309 | ||||
1,595,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/35 | 1,996,220 | ||||
400,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/37 | 474,810 | ||||
610,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/38 | 723,045 | ||||
1,080,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/38 | 1,356,300 | ||||
1,000,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/40 | 1,181,373 | ||||
2,610,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/45 | 3,192,710 | ||||
3,320,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/51 | 4,074,077 | ||||
370,000 | Mission TX Ctfs Oblig, AGM | 5.00% | 02/15/30 | 454,886 | ||||
1,000,000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Rep Svcs Inc Proj Remk, Ser A, AMT (Mandatory put 02/01/22) | 0.20% | 05/01/50 | 1,000,000 | ||||
1,105,000 | Montgomery TX Indep Sch Dist Ref Sch Bldg | 5.00% | 02/15/28 | 1,260,696 | ||||
1,450,000 | N Fort Bend TX Wtr Auth Wtr Sys Rev Ref, Ser A | 4.00% | 12/15/36 | 1,725,627 | ||||
700,000 | N Parkway Muni Mgmt Dist #1 TX Contract Rev Legacy Hills Pub Impt Dt Phase #1A-1B Impts (a) | 4.25% | 09/15/51 | 731,565 | ||||
2,003,000 | N Parkway Muni Mgmt Dist #1 TX Spl Assmnt Rev Major Impts Proj (a) | 4.75% | 09/15/41 | 2,146,371 | ||||
4,000,000 | N TX Tollway Auth Rev Ref 1st Tier, Ser A | 5.00% | 01/01/38 | 4,213,734 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$3,895,000 | N TX Tollway Auth Rev Ref 1st Tier, Ser A | 5.00% | 01/01/43 | $4,724,572 | ||||
250,000 | N TX Tollway Auth Rev Ref 2nd Tier, Ser B | 5.00% | 01/01/27 | 292,874 | ||||
2,250,000 | N TX Tollway Auth Rev Ref 2nd Tier, Ser B | 5.00% | 01/01/31 | 2,597,534 | ||||
170,000 | N TX Tollway Auth Rev Ref Second Tier, Ser B | 5.00% | 01/01/29 | 214,876 | ||||
1,500,000 | N TX Tollway Auth Rev Ref Sys Second Tier, Ser B | 5.00% | 01/01/31 | 1,642,672 | ||||
250,000 | N TX Tollway Auth Rev Ref, Ser A | 5.00% | 01/01/33 | 291,963 | ||||
1,000,000 | N TX Tollway Auth Rev Second Tier, Ser B | 4.00% | 01/01/40 | 1,171,547 | ||||
1,500,000 | N TX Tollway Auth Rev Second Tier, Ser B | 4.00% | 01/01/41 | 1,752,701 | ||||
1,415,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/31 | 1,529,559 | ||||
1,200,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/32 | 1,295,285 | ||||
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 | 258,961 | ||||
505,000 | Newark Hgr Edu Fin Corp TX Edu Rev Austin Achieve Pub Schs Inc, Ser A | 5.00% | 06/15/32 | 519,699 | ||||
700,000 | Newark Hgr Edu Fin Corp TX Edu Rev Austin Achieve Pub Schs Inc, Ser A | 5.00% | 06/15/42 | 720,375 | ||||
1,870,000 | Northside TX Indep Sch Dist Sch Bldg, Ser A | 4.00% | 06/01/29 | 1,911,841 | ||||
1,150,000 | Plano TX Ref | 4.00% | 09/01/30 | 1,377,803 | ||||
495,000 | Red River TX Hlth Facs Dev Corp Retmnt Fac Rev MRC Crestview, Ser A | 7.75% | 11/15/31 | 496,339 | ||||
110,000 | SA Energy Acq Pub Fac Corp TX Gas Sply Rev Gas Sply Rev | 5.50% | 08/01/27 | 136,767 | ||||
3,195,000 | San Antonio TX Wtr Rev Ref Junior Lien, Ser A | 4.00% | 05/15/38 | 3,787,993 | ||||
2,500,000 | San Antonio TX Wtr Rev Ref Junior Lien, Ser A | 5.00% | 05/15/42 | 3,156,045 | ||||
2,690,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Ref Baylor Scott & White Hlth Proj, Ser A | 5.00% | 11/15/45 | 3,143,194 | ||||
750,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Ref Cook Children’s Med Ctr | 4.00% | 12/01/35 | 881,965 | ||||
2,180,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Rev Christus Hlth, Ser B | 5.00% | 07/01/43 | 2,630,089 | ||||
1,635,000 | TX St Muni Gas Acq & Sply Corp I Gas Sply Rev Sr Lien, Ser A | 5.25% | 12/15/26 | 1,978,500 | ||||
2,500,000 | TX St Muni Gas Acq & Sply Corp III Gas Sply Rev Ref | 5.00% | 12/15/24 | 2,828,577 | ||||
575,000 | TX St Muni Gas Acq & Sply Corp III Gas Sply Rev Ref | 5.00% | 12/15/25 | 669,383 | ||||
3,625,000 | TX St Muni Gas Acq & Sply Corp III Gas Sply Rev Ref | 5.00% | 12/15/28 | 4,479,942 | ||||
250,000 | TX St Muni Gas Acq & Sply Corp III Gas Sply Rev Ref | 5.00% | 12/15/29 | 313,756 | ||||
5,000,000 | TX St Priv Activity Bond Surface Transprtn Corp Rev Segment 3C Proj, AMT | 5.00% | 06/30/58 | 5,950,882 | ||||
865,000 | TX St Transprtn Commn Central TX Turnpike Sys Rev Ref, Ser B | 5.00% | 08/15/37 | 961,589 | ||||
2,130,000 | TX St Univ Sys Fing Rev Ref, Ser A | 4.00% | 03/15/35 | 2,479,253 | ||||
1,605,000 | TX St Wtr Dev Brd St Revolving Fund | 5.00% | 08/01/31 | 2,062,040 | ||||
1,000,000 | TX St Wtr Dev Brd St Wtr Implementation Fund, Ser A | 5.00% | 04/15/25 | 1,157,023 | ||||
785,000 | TX St Wtr Dev Brd St Wtr Implementation Fund, Ser A | 5.00% | 04/15/30 | 971,362 | ||||
4,900,000 | TX St Wtr Dev Brd St Wtr Implementation Fund, Ser A | 4.00% | 10/15/38 | 5,686,990 | ||||
4,975,000 | TX St Wtr Dev Brd St Wtr Implementation Fund, Ser A | 4.00% | 10/15/44 | 5,833,793 | ||||
250,000 | TX St Wtr Dev Brd St Wtr Implementation Rev Fund for TX | 4.00% | 10/15/32 | 287,575 | ||||
150,000 | Univ of Houston TX Univ Revs Ref, Ser A | 5.00% | 02/15/26 | 177,521 | ||||
125,000 | Univ of Houston TX Univ Revs Ref, Ser A | 5.00% | 02/15/28 | 146,501 | ||||
3,250,000 | Univ of Houston TX Univ Revs Ref, Ser A | 5.00% | 02/15/31 | 3,796,500 | ||||
1,900,000 | Univ of Houston TX Univ Revs Ref, Ser A | 5.00% | 02/15/35 | 2,207,804 | ||||
1,560,000 | Uptown Dev Auth TX Incr Contract Rev, Ser A | 5.00% | 09/01/36 | 1,767,965 | ||||
500,000 | Viridian TX Muni Mgmt Dist Ref Util Impt, BAM | 6.00% | 12/01/26 | 582,887 | ||||
155,000 | Viridian TX Muni Mgmt Dist Road Impt, BAM | 5.00% | 12/01/26 | 169,206 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$125,000 | Viridian TX Muni Mgmt Dist Util Impt, BAM | 5.00% | 12/01/26 | $136,456 | ||||
218,972,623 | ||||||||
Utah – 1.2% | ||||||||
1,000,000 | Black Desert Pub Infra Dist Sr Bonds, Ser A (a) | 3.50% | 03/01/36 | 1,003,779 | ||||
2,500,000 | Black Desert Pub Infra Dist Sr Bonds, Ser A (a) | 3.75% | 03/01/41 | 2,537,177 | ||||
1,180,000 | Grand Cnty Sch Dist Loc Bldg Auth UT, AGM | 5.00% | 12/15/27 | 1,376,815 | ||||
1,370,000 | Grand Cnty Sch Dist Loc Bldg Auth UT, AGM | 5.00% | 12/15/30 | 1,593,669 | ||||
1,400,000 | Grand Cnty Sch Dist Loc Bldg Auth UT, AGM | 5.00% | 12/15/31 | 1,621,800 | ||||
1,515,000 | Grand Cnty Sch Dist Loc Bldg Auth UT, AGM | 5.00% | 12/15/32 | 1,760,341 | ||||
2,000,000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-1 | 4.00% | 06/01/52 | 1,934,770 | ||||
1,500,000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-2 | 4.00% | 06/01/52 | 1,435,364 | ||||
5,000,000 | Salt Lake City UT Arpt Rev, Ser A, AMT | 5.00% | 07/01/34 | 6,398,142 | ||||
400,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Quest Acdmy | 5.00% | 04/15/32 | 458,148 | ||||
325,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Quest Acdmy | 5.00% | 04/15/37 | 369,695 | ||||
1,590,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner Acdmy Proj, Ser A (a) | 5.00% | 06/15/49 | 1,704,757 | ||||
4,875,000 | UT St Transit Auth Sales Tax Rev Ref Sub, BAM | 5.00% | 12/15/40 | 5,926,829 | ||||
1,145,000 | UT St Transit Auth Sales Tax Rev Ref, Subser A | 5.00% | 06/15/35 | 1,332,041 | ||||
29,453,327 | ||||||||
Vermont – 0.3% | ||||||||
550,000 | Burlington VT Ref Lakeview Garage Proj, Ser A, COPS | 5.00% | 12/01/24 | 621,875 | ||||
745,000 | VT St Econ Dev Auth Mtge Rev Ref Wake Robin Corp Proj, Ser A | 5.00% | 05/01/25 | 828,399 | ||||
585,000 | VT St Econ Dev Auth Mtge Rev Ref Wake Robin Corp Proj, Ser A | 5.00% | 05/01/26 | 663,897 | ||||
2,000,000 | VT St Econ Dev Auth Solid Wst Disp Rev Var Casella Wst Sys Inc Remk, AMT (Mandatory put 04/03/28) (a) | 4.63% | 04/01/36 | 2,318,698 | ||||
2,500,000 | VT St Eductnl & Hlth Bldgs Fing Agy Rev Ref Univ of VT Med Ctr, Ser A | 5.00% | 12/01/33 | 2,940,371 | ||||
7,373,240 | ||||||||
Virginia – 0.6% | ||||||||
1,000,000 | Chesapeake VA Hosp Auth Hosp Fac Rev Ref Chesapeake Regl Med Ctr | 4.00% | 07/01/35 | 1,157,220 | ||||
1,100,000 | Norfolk VA Redev & Hsg Auth Rev Ft Norfolk Retmnt Cmnty Harbors Edge Proj, Ser A | 4.00% | 01/01/29 | 1,185,525 | ||||
1,000,000 | Norfolk VA Redev & Hsg Auth Rev Ft Norfolk Retmnt Cmnty Harbors Edge Proj, Ser A | 5.00% | 01/01/49 | 1,081,283 | ||||
200,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 4.00% | 06/01/36 | 229,008 | ||||
350,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 4.00% | 06/01/46 | 390,249 | ||||
2,000,000 | VA St Pub Bldg Auth Pub Facs Rev, Ser C, AMT | 5.00% | 08/01/33 | 2,379,878 | ||||
1,000,000 | VA St Res Auth Infra Rev Ref Infra VA Pooled Fing Prog, Ser C | 4.00% | 11/01/33 | 1,145,706 | ||||
1,570,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/32 | 1,809,864 | ||||
1,000,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/33 | 1,152,054 | ||||
1,210,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/35 | 1,390,592 | ||||
275,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/36 | 315,640 | ||||
2,365,000 | Wstrn VA Regl Jail Auth Regl Jail Facs Rev Ref | 5.00% | 12/01/34 | 2,845,441 | ||||
15,082,460 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Washington – 1.9% | ||||||||
$1,235,000 | Benton Cnty WA Pub Util Dist #1 Ref | 4.00% | 11/01/36 | $1,382,044 | ||||
1,090,000 | Centrl Puget Sound WA Regl Transit Auth Green Bond, Ser S-1 | 5.00% | 11/01/36 | 1,299,840 | ||||
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 | 1,471,654 | ||||
1,250,000 | Energy NW WA Elec Rev Ref Columbia Generating Sys, Ser A | 5.00% | 07/01/38 | 1,436,308 | ||||
1,500,000 | Energy NW WA Elec Rev Ref, Ser A | 5.00% | 07/01/24 | 1,685,699 | ||||
530,000 | Kalispel Tribe of Indians Priority Dist WA Rev, Ser A (a) | 5.00% | 01/01/32 | 625,008 | ||||
3,000,000 | Seattle WA Drain & Wstwtr Rev Ref | 4.00% | 07/01/36 | 3,443,691 | ||||
270,000 | Skagit Cnty WA Pub Hosp Dist #1 Ref & Impt Skagit Regl Hlth | 4.00% | 12/01/24 | 295,683 | ||||
110,000 | Skagit Cnty WA Pub Hosp Dist #1 Ref & Impt, Ser A | 5.00% | 12/01/22 | 115,110 | ||||
500,000 | Snohomish Cnty WA Hsg Auth | 5.00% | 04/01/34 | 607,489 | ||||
5,000,000 | WA St Convention Ctr Pub Facs Dist Sub | 4.00% | 07/01/58 | 5,524,912 | ||||
525,000 | WA St Hgr Edu Facs Auth Seattle Univ Proj Rev | 4.00% | 05/01/45 | 594,547 | ||||
1,850,000 | WA St Hlthcare Facs Auth Overlake Hosp Med Ctr, Ser A | 5.00% | 07/01/35 | 2,238,939 | ||||
1,625,000 | WA St Hlthcare Facs Auth Ref Overlake Hosp Med Ctr, Ser B | 5.00% | 07/01/31 | 1,980,728 | ||||
1,090,000 | WA St Hlthcare Facs Auth Ref Seattle Cancer Care Alliance | 5.00% | 09/01/45 | 1,361,815 | ||||
305,000 | WA St Hlthcare Facs Auth Seattle Cancer Care Alliance (a) | 5.00% | 12/01/28 | 382,966 | ||||
170,000 | WA St Hlthcare Facs Auth Seattle Cancer Care Alliance (a) | 5.00% | 12/01/29 | 217,210 | ||||
225,000 | WA St Hlthcare Facs Auth Seattle Cancer Care Alliance (a) | 5.00% | 12/01/32 | 290,092 | ||||
35,000 | WA St Hsg Fin Commn Nonprofit Hsg Rev Ref Emerald Heights Proj | 5.00% | 07/01/22 | 36,038 | ||||
50,000 | WA St Hsg Fin Commn Nonprofit Hsg Rev Ref Emerald Heights Proj | 5.00% | 07/01/28 | 53,050 | ||||
1,000,000 | WA St Hsg Fin Commn Nonprofit Hsg Rev Transforming Age Proj, Ser A (a) | 5.00% | 01/01/44 | 1,118,589 | ||||
2,485,443 | WA St Hsg Fin Commn Social Certificate, Ser A-1 | 3.50% | 12/20/35 | 2,852,841 | ||||
2,500,000 | WA St Ref R-2015D | 5.00% | 07/01/32 | 2,838,509 | ||||
1,100,000 | WA St, Ser 2020A | 5.00% | 08/01/35 | 1,394,716 | ||||
3,000,000 | WA St, Ser 2020A | 5.00% | 08/01/44 | 3,744,636 | ||||
4,000,000 | WA St, Ser B | 5.00% | 02/01/36 | 4,551,078 | ||||
2,425,000 | WA St, Ser D | 5.00% | 02/01/30 | 2,925,761 | ||||
44,468,953 | ||||||||
West Virginia – 0.1% | ||||||||
2,000,000 | WV St Econ Dev Auth Sol Wst Disp Facs Var Appalachian Pwr Amos Proj Remk, Ser A, AMT (Mandatory put 09/01/25) | 1.00% | 01/01/41 | 2,001,462 | ||||
Wisconsin – 2.2% | ||||||||
825,000 | Fond Du Lac WI Sch Dist, Ser A, BAM | 4.00% | 04/01/35 | 959,421 | ||||
1,255,000 | Fond Du Lac WI Sch Dist, Ser A, BAM | 4.00% | 04/01/36 | 1,460,843 | ||||
1,050,000 | Milwaukee WI Ref Promissory Nts, Ser N-4 | 5.00% | 04/01/29 | 1,333,008 | ||||
1,375,000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (a) | 5.00% | 06/15/54 | 1,534,860 | ||||
500,000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas Proj, Ser A (a) | 5.00% | 07/01/40 | 555,508 | ||||
1,315,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las Vegas Proj, Ser A (a) | 4.20% | 07/15/27 | 1,407,489 | ||||
1,250,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las Vegas Proj, Ser A (a) | 5.13% | 07/15/37 | 1,403,549 | ||||
1,000,000 | Pub Fin Auth WI Edu Rev Coral Acdmy of Science Las Vegas, Ser A | 4.00% | 07/01/51 | 1,085,685 | ||||
1,515,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 4.00% | 07/01/27 | 1,615,846 | ||||
1,730,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/37 | 1,870,035 | ||||
1,000,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/47 | 1,072,898 | ||||
1,000,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/52 | 1,071,982 | ||||
425,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/34 | 509,435 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Wisconsin (Continued) | ||||||||
$1,000,000 | Pub Fin Auth WI Exempt Facs Rev Ref Celanese Proj, Ser B, AMT | 5.00% | 12/01/25 | $1,153,033 | ||||
1,250,000 | Pub Fin Auth WI Hosp Rev Ref Renown Regl Med Ctr Proj, Ser A | 4.00% | 06/01/35 | 1,469,542 | ||||
2,000,000 | Pub Fin Auth WI Hosp Rev Ref Renown Regl Med Ctr Proj, Ser A | 4.00% | 06/01/39 | 2,327,585 | ||||
600,000 | Pub Fin Auth WI Retmnt Cmntys Rev Acts Retmnt Life Cmntys Inc Oblig Grp, Ser A | 4.00% | 11/15/37 | 693,212 | ||||
1,450,000 | Pub Fin Auth WI Retmnt Fac Rev Ref Penick Vlg Oblig Grp (a) | 5.00% | 09/01/49 | 1,548,590 | ||||
1,000,000 | Pub Fin Auth WI Retmnt Fac Rev Southminster (a) | 5.00% | 10/01/43 | 1,096,485 | ||||
2,000,000 | Pub Fin Auth WI Rev Green Bond Fargo Moorhead Met Area Flood Mgmnt, AMT | 4.00% | 09/30/51 | 2,173,855 | ||||
1,000,000 | Pub Fin Auth WI Rev Searstone CCRC Proj, Ser B2 | 2.25% | 06/01/27 | 993,778 | ||||
600,000 | Pub Fin Auth WI Rev TX Biomedical Rsrch Institute Proj, Ser A | 4.00% | 06/01/37 | 687,252 | ||||
535,000 | Pub Fin Auth WI Rev TX Biomedical Rsrch Institute Proj, Ser A | 4.00% | 06/01/38 | 610,865 | ||||
1,300,000 | WI St Gen Fund Annual Approp Rev Ref, Ser B | 5.00% | 05/01/34 | 1,534,420 | ||||
100,000 | WI St Hlth & Eductnl Facs Auth Rev Marshfield Clinic Hlth Sys, Ser A | 4.00% | 02/15/36 | 109,059 | ||||
3,650,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Ascension Hlth Credit Grp, Ser A | 5.00% | 11/15/36 | 4,298,535 | ||||
1,000,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Ascension Hlth Credit Grp, Ser A | 5.00% | 11/15/39 | 1,174,279 | ||||
1,780,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Beloit Hlth Sys Inc | 4.00% | 07/01/36 | 2,064,101 | ||||
1,000,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Froedtert Hlth Inc Oblg, Ser A | 4.00% | 04/01/39 | 1,111,884 | ||||
500,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Marquette Univ | 5.00% | 10/01/28 | 520,296 | ||||
500,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Marshfield Clinic Hlth Sys Inc, Ser B1 (Mandatory put 02/15/25) | 5.00% | 02/15/52 | 560,540 | ||||
1,500,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Marshfield Clinic Hlth Sys Inc, Ser B2 (Mandatory put 02/15/27) | 5.00% | 02/15/51 | 1,779,031 | ||||
1,175,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Prohealth Care Oblig Grp | 5.00% | 08/15/31 | 1,319,008 | ||||
175,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Prohealth Care Oblig Grp | 5.00% | 08/15/33 | 196,137 | ||||
700,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Rogers Memorial Hosp Inc, Ser A | 5.00% | 07/01/44 | 810,883 | ||||
800,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Rogers Memorial Hosp Inc, Ser A | 5.00% | 07/01/49 | 923,290 | ||||
435,000 | WI St Hlth & Eductnl Facs Auth Rev St Johns Cmntys Inc Proj, Ser A | 5.00% | 09/15/30 | 472,721 | ||||
2,000,000 | WI St Ref, Ser 3 | 4.00% | 11/01/34 | 2,296,735 | ||||
2,500,000 | WI St, Ser B | 4.00% | 05/01/31 | 2,890,849 | ||||
1,000,000 | Wood Cnty WI, NANS | 0.75% | 03/07/22 | 1,000,514 | ||||
51,697,038 | ||||||||
Wyoming – 0.0% | ||||||||
250,000 | Laramie Cnty WY Hosp Rev Ref Cheyenne Regl Med Ctr Proj | 4.00% | 05/01/29 | 296,679 | ||||
500,000 | Laramie Cnty WY Hosp Rev Ref Cheyenne Regl Med Ctr Proj | 4.00% | 05/01/34 | 598,379 | ||||
895,058 |
Total Investments – 97.5% | 2,332,895,352 | ||
(Cost $2,242,675,268) (f) | |||
Net Other Assets and Liabilities – 2.5% | 60,510,057 | ||
Net Assets – 100.0% | $2,393,405,409 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury Long Bonds | Short | 347 | Dec 2021 | $ (55,812,781) | $(416,777) | |||||
Ultra 10-Year U.S. Treasury Notes | Short | 439 | Dec 2021 | (63,668,719) | (322,658) | |||||
$(119,481,500) | $(739,435) |
(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 October 31, 2021, securities noted as such amounted to $117,121,043 or 4.9% of net assets. |
(b) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(c) | 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). |
(d) | Zero coupon bond. |
(e) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(f) | Aggregate cost for federal income tax purposes was $2,242,445,899. As of October 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $96,560,063 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,850,045. The net unrealized appreciation was $89,710,018. 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 |
GARVEE | Grant Anticipation Revenue Vehicle |
NANS | Note Anticipation Notes |
NATL-RE | National Public Finance Guarantee Corp. |
ASSETS TABLE | ||||
Total Value at 10/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 2,332,895,352 | $ — | $ 2,332,895,352 | $ — |
LIABILITIES TABLE | ||||
Total Value at 10/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts | $ (739,435) | $ (739,435) | $ — | $ — |
* | See Portfolio of Investments for state and territory breakout. |
ASSETS: | |
Investments, at value (Cost $2,242,675,268) | $ 2,332,895,352 |
Cash | 47,795,450 |
Cash segregated as collateral for open futures contracts | 2,949,902 |
Interest receivable | 27,860,341 |
Total Assets | 2,411,501,045 |
LIABILITIES: | |
Due to broker | 551,560 |
Payables: | |
Investment securities purchased | 16,347,076 |
Investment advisory fees | 1,009,125 |
Variation margin | 187,875 |
Total Liabilities | 18,095,636 |
NET ASSETS | $2,393,405,409 |
NET ASSETS consist of: | |
Paid-in capital | $ 2,326,228,501 |
Par value | 423,500 |
Accumulated distributable earnings (loss) | 66,753,408 |
NET ASSETS | $2,393,405,409 |
NET ASSET VALUE, per share | $56.51 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 42,350,002 |
INVESTMENT INCOME: | ||
Interest | $ 52,159,038 | |
Total investment income | 52,159,038 | |
EXPENSES: | ||
Investment advisory fees | 13,639,348 | |
Total expenses | 13,639,348 | |
Fees waived by the investment advisor | (3,147,542) | |
Net expenses | 10,491,806 | |
NET INVESTMENT INCOME (LOSS) | 41,667,232 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (1,197,665) | |
Futures contracts | 1,772,859 | |
Net realized gain (loss) | 575,194 | |
Net increase from payment by the advisor | 4,688 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 30,713,008 | |
Futures contracts | (1,145,998) | |
Net change in unrealized appreciation (depreciation) | 29,567,010 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 30,146,892 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 71,814,124 |
Year Ended 10/31/2021 | Year Ended 10/31/2020 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 41,667,232 | $ 32,452,428 | |
Net realized gain (loss) | 575,194 | (21,214,098) | |
Net increase from payment by the advisor | 4,688 | — | |
Net change in unrealized appreciation (depreciation) | 29,567,010 | 20,940,618 | |
Net increase (decrease) in net assets resulting from operations | 71,814,124 | 32,178,948 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (41,343,498) | (32,252,217) | |
Return of capital | (653,379) | (917,161) | |
Total distributions to shareholders | (41,996,877) | (33,169,378) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 683,145,950 | 639,451,461 | |
Cost of shares redeemed | (34,043,084) | (59,233,572) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 649,102,866 | 580,217,889 | |
Total increase (decrease) in net assets | 678,920,113 | 579,227,459 | |
NET ASSETS: | |||
Beginning of period | 1,714,485,296 | 1,135,257,837 | |
End of period | $2,393,405,409 | $1,714,485,296 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 30,950,002 | 20,500,002 | |
Shares sold | 12,000,000 | 11,550,000 | |
Shares redeemed | (600,000) | (1,100,000) | |
Shares outstanding, end of period | 42,350,002 | 30,950,002 |
Year Ended October 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 55.40 | $ 55.38 | $ 51.75 | $ 53.16 | $ 53.32 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 1.13 | 1.23 | 1.35 | 1.35 | 1.34 | ||||
Net realized and unrealized gain (loss) | 1.12 | 0.05 | 3.67 | (1.41) | (0.01) | ||||
Total from investment operations | 2.25 | 1.28 | 5.02 | (0.06) | 1.33 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.12) | (1.23) | (1.36) | (1.35) | (1.33) | ||||
Net realized gain | — | — | — | — | (0.16) | ||||
Return of capital | (0.02) | (0.03) | (0.03) | — | — | ||||
Total distributions | (1.14) | (1.26) | (1.39) | (1.35) | (1.49) | ||||
Net asset value, end of period | $56.51 | $55.40 | $55.38 | $51.75 | $53.16 | ||||
Total return (a) | 4.06% (b) | 2.33% | 9.79% | (0.12)% | 2.59% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 2,393,405 | $ 1,714,485 | $ 1,135,258 | $ 455,371 | $ 220,605 | ||||
Ratio of total expenses to average net assets | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% | ||||
Ratio of net expenses to average net assets | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% | ||||
Ratio of net investment income (loss) to average net assets | 1.99% | 2.24% | 2.53% | 2.60% | 2.63% | ||||
Portfolio turnover rate (c) | 9% | 35% | 26% | 42% | 85% |
(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) | The Fund received a reimbursement from the advisor in the amount of $4,688, which represents less than $0.01 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | 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 | $270,000 | $101.49 | $270,000 | $274,035 | 0.01% | ||
IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Acdmy Proj, Ser A, 5.25%, 07/01/28 | 09/04/18 | $700,000 | 113.95 | 705,789 | 797,636 | 0.03 | ||
IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Acdmy Proj, Ser A, 5.88%, 07/01/38 | 09/04/18 | $1,000,000 | 114.00 | 1,003,944 | 1,140,024 | 0.05 | ||
Leander TX Spl Assmnt Rev Crystal Springs Pub Impt Dist Proj Accd Inv, 5.13%, 09/01/38 | 05/04/18 | $1,290,000 | 104.04 | 1,290,000 | 1,342,114 | 0.06 | ||
Timber Creek CDD FL Spl Assmnt Rev, 4.13%, 11/01/24 | 06/21/18 | $175,000 | 102.49 | 175,000 | 179,361 | 0.01 | ||
$3,444,733 | $3,733,170 | 0.16% |
Distributions paid from: | 2021 | 2020 |
Ordinary income | $1,652 | $9,278 |
Capital gains | — | — |
Tax-exempt income | 41,341,846 | 32,242,939 |
Return of capital | 653,379 | 917,161 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (22,956,610) |
Net unrealized appreciation (depreciation) | 89,710,018 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$(5,619) | $5,619 | $— |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statement of Assets and Liabilities Location | Value | Statement of Assets and Liabilities Location | Value | |||||
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | $ — | Unrealized depreciation on futures contracts* | $ 739,435 |
Statement of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $1,772,859 |
Net change in unrealized appreciation (depreciation) on futures contracts | (1,145,998) |
Federal and State Income Tax | Percentages | |
Tax-Exempt Interest Dividends | 100.00% | |
Alternative Minimum Tax (AMT) | 9.57% |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016) | 215 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 215 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 215 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 215 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 215 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Year Ended
October 31, 2021
1 | |
2 | |
5 | |
7 | |
8 | |
19 | |
20 | |
21 | |
22 | |
23 | |
29 | |
30 | |
35 | |
37 |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 10/31/21 | 5 Years Ended 10/31/21 | Inception (9/8/14) to 10/31/21 | 5 Years Ended 10/31/21 | Inception (9/8/14) to 10/31/21 | ||
Fund Performance | ||||||
NAV | 20.41% | 9.79% | 8.20% | 59.51% | 75.61% | |
Market Price | 20.63% | 9.79% | 8.21% | 59.50% | 75.71% | |
Index Performance | ||||||
S&P 500® Index | 42.91% | 18.93% | 14.57% | 137.90% | 164.30% |
Portfolio Sector Allocation | % of Total Investments – Long Positions |
Information Technology | 25.0% |
Health Care | 15.0 |
Materials | 11.8 |
Energy | 10.6 |
Industrials | 10.3 |
Consumer Discretionary | 9.0 |
Communication Services | 8.0 |
Consumer Staples | 7.5 |
Financials | 2.6 |
Real Estate | 0.2 |
Total | 100.0% |
Portfolio Sector Allocation | % of Total Investments Sold Short |
Financials | 35.4% |
Industrials | 14.3 |
Information Technology | 13.7 |
Consumer Discretionary | 8.5 |
Materials | 7.6 |
Communication Services | 6.8 |
Health Care | 5.3 |
Consumer Staples | 4.7 |
Energy | 2.8 |
Real Estate | 0.9 |
Total | 100.0% |
Top Ten Investments – Long Positions | % of Net Assets |
Microsoft Corp. | 5.8% |
Apple, Inc. | 5.6 |
Amazon.com, Inc. | 2.6 |
Intuit, Inc. | 2.6 |
Analog Devices, Inc. | 2.4 |
Sherwin-Williams (The) Co. | 2.4 |
CoStar Group, Inc. | 2.3 |
Sysco Corp. | 2.2 |
Philip Morris International, Inc. | 2.1 |
Alphabet, Inc., Class A | 2.0 |
Total | 30.0% |
Top Ten Investments Sold Short | % of Net Assets |
SPDR S&P 500 ETF Trust | -8.0% |
Plug Power, Inc. | -0.5% |
Wolfspeed, Inc. | -0.5% |
Snowflake, Inc., Class A | -0.4% |
First Solar, Inc. | -0.4% |
Netflix, Inc. | -0.4% |
Halliburton Co. | -0.4% |
Bank of America Corp. | -0.4% |
Regions Financial Corp. | -0.4% |
Hilton Worldwide Holdings, Inc. | -0.4% |
Total | -11.8% |
Fund Allocation | % of Net Assets |
Common Stocks | 97.4% |
Master Limited Partnerships | 0.4 |
Real Estate Investment Trusts | 0.3 |
Common Stocks Sold Short | (23.4) |
Exchange-Traded Funds Sold Short | (8.0) |
Net Other Assets and Liabilities* | 33.3 |
Total | 100.0% |
* | Includes variation margin on futures contracts. |
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.
Beginning Account Value May 1, 2021 | Ending Account Value October 31, 2021 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (a)(b) | |
First Trust Long/Short Equity ETF (FTLS) | ||||
Actual | $1,000.00 | $1,073.20 | 1.32% | $6.90 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.55 | 1.32% | $6.72 |
(a) | Annualized expense ratio and expenses paid during the six-month period do not include fees and expenses of the underlying funds in which the Fund invests. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2021 through October 31, 2021), multiplied by 184/365 (to reflect the six-month period). |
Shares/ Units | Description | Value | ||
COMMON STOCKS – 97.4% | ||||
Airlines – 1.6% | ||||
351,957 | American Airlines Group, Inc. (a) (b) | $6,757,574 | ||
Automobiles – 1.1% | ||||
129,492 | Harley-Davidson, Inc. (b) | 4,725,163 | ||
Banks – 1.3% | ||||
24,644 | JPMorgan Chase & Co. (b) | 4,186,769 | ||
12,017 | UMB Financial Corp. | 1,187,520 | ||
5,374,289 | ||||
Beverages – 1.8% | ||||
18,372 | Coca-Cola (The) Co. | 1,035,630 | ||
79,131 | Monster Beverage Corp. (a) (b) | 6,726,135 | ||
7,761,765 | ||||
Biotechnology – 2.7% | ||||
12,790 | AbbVie, Inc. (b) | 1,466,629 | ||
5,031 | Amgen, Inc. (b) | 1,041,266 | ||
1,810 | Biogen, Inc. (a) | 482,691 | ||
28,762 | CRISPR Therapeutics AG (a) | 2,626,833 | ||
12,367 | Gilead Sciences, Inc. | 802,371 | ||
5,469 | Incyte Corp. (a) | 366,314 | ||
2,709 | Moderna, Inc. (a) | 935,174 | ||
27,316 | Neurocrine Biosciences, Inc. (a) | 2,879,380 | ||
1,065 | Regeneron Pharmaceuticals, Inc. (a) | 681,536 | ||
2,746 | Vertex Pharmaceuticals, Inc. (a) | 507,818 | ||
11,790,012 | ||||
Building Products – 2.4% | ||||
21,071 | Allegion PLC (b) | 2,703,409 | ||
117,517 | Masco Corp. (b) | 7,703,240 | ||
10,406,649 | ||||
Chemicals – 6.2% | ||||
4,516 | Albemarle Corp. | 1,131,122 | ||
22,742 | CF Industries Holdings, Inc. | 1,291,746 | ||
30,477 | Chemours (The) Co. | 853,965 | ||
24,093 | Corteva, Inc. (b) | 1,039,613 | ||
16,231 | Dow, Inc. | 908,449 | ||
13,746 | DuPont de Nemours, Inc. | 956,722 | ||
9,061 | Eastman Chemical Co. | 942,616 | ||
4,630 | Ecolab, Inc. | 1,028,879 | ||
43,927 | Element Solutions, Inc. | 997,582 | ||
11,327 | FMC Corp. | 1,030,870 | ||
12,882 | Ingevity Corp. (a) | 1,003,637 | ||
10,000 | LyondellBasell Industries N.V., Class A | 928,200 | ||
6,321 | PPG Industries, Inc. (b) | 1,014,963 | ||
12,320 | RPM International, Inc. | 1,074,304 | ||
31,989 | Sherwin-Williams (The) Co. (b) | 10,128,037 | ||
34,051 | Valvoline, Inc. | 1,156,372 | ||
11,966 | Westlake Chemical Corp. | 1,164,770 | ||
26,651,847 | ||||
Commercial Services & Supplies – 0.5% | ||||
21,255 | ABM Industries, Inc. | 935,433 |
Shares/ Units | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Commercial Services & Supplies (Continued) | ||||
2,631 | Cintas Corp. | $1,139,486 | ||
2,074,919 | ||||
Communications Equipment – 1.9% | ||||
20,399 | Arista Networks, Inc. (a) (b) | 8,357,266 | ||
Construction Materials – 0.8% | ||||
23,818 | Eagle Materials, Inc. | 3,533,638 | ||
Diversified Consumer Services – 0.6% | ||||
107,140 | H&R Block, Inc. | 2,471,720 | ||
Diversified Financial Services – 1.3% | ||||
19,896 | Berkshire Hathaway, Inc., Class B (a) | 5,710,351 | ||
Diversified Telecommunication Services – 2.1% | ||||
15,127 | Cogent Communications Holdings, Inc. | 1,158,577 | ||
46,530 | Iridium Communications, Inc. (a) | 1,886,791 | ||
511,573 | Lumen Technologies, Inc. (b) | 6,067,256 | ||
9,112,624 | ||||
Electrical Equipment – 0.3% | ||||
5,479 | Acuity Brands, Inc. | 1,125,551 | ||
Electronic Equipment, Instruments & Components – 0.6% | ||||
15,124 | TD SYNNEX Corp. | 1,588,020 | ||
2,007 | Zebra Technologies Corp., Class A (a) | 1,071,638 | ||
2,659,658 | ||||
Entertainment – 0.4% | ||||
59,297 | Playtika Holding Corp. (a) | 1,676,919 | ||
Food & Staples Retailing – 3.1% | ||||
65,994 | BJ’s Wholesale Club Holdings, Inc. (a) | 3,856,689 | ||
123,573 | Sysco Corp. (b) | 9,502,764 | ||
13,359,453 | ||||
Food Products – 0.3% | ||||
30,601 | Simply Good Foods (The), Co. (a) | 1,213,330 | ||
Health Care Equipment & Supplies – 2.9% | ||||
12,750 | Abbott Laboratories | 1,643,348 | ||
1,163 | ABIOMED, Inc. (a) | 386,163 | ||
760 | Align Technology, Inc. (a) | 474,521 | ||
5,520 | Baxter International, Inc. | 435,859 | ||
3,148 | Becton Dickinson and Co. | 754,229 | ||
15,267 | Boston Scientific Corp. (a) | 658,466 | ||
915 | Cooper (The) Cos., Inc. | 381,482 | ||
6,803 | DENTSPLY SIRONA, Inc. | 389,200 | ||
1,001 | Dexcom, Inc. (a) | 623,833 | ||
6,488 | Edwards Lifesciences Corp. (a) | 777,392 | ||
5,339 | Hologic, Inc. (a) | 391,402 | ||
932 | IDEXX Laboratories, Inc. (a) | 620,842 | ||
3,003 | Intuitive Surgical, Inc. (a) (b) | 1,084,473 | ||
10,179 | Medtronic PLC | 1,220,055 | ||
1,458 | ResMed, Inc. | 383,323 | ||
1,917 | STERIS PLC | 448,080 | ||
3,245 | Stryker Corp. | 863,397 |
Shares/ Units | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Health Care Equipment & Supplies (Continued) | ||||
1,063 | Teleflex, Inc. | $379,427 | ||
2,777 | Zimmer Biomet Holdings, Inc. | 397,444 | ||
12,312,936 | ||||
Health Care Providers & Services – 4.5% | ||||
18,510 | Amedisys, Inc. (a) | 3,134,483 | ||
3,474 | AmerisourceBergen Corp. | 423,897 | ||
2,584 | Anthem, Inc. (b) | 1,124,376 | ||
7,947 | Cardinal Health, Inc. | 379,946 | ||
7,383 | Centene Corp. (a) | 525,965 | ||
3,697 | Cigna Corp. | 789,716 | ||
14,353 | CVS Health Corp. | 1,281,436 | ||
3,116 | DaVita, Inc. (a) | 321,696 | ||
2,778 | HCA Healthcare, Inc. | 695,778 | ||
5,433 | Henry Schein, Inc. (a) | 414,810 | ||
1,387 | Humana, Inc. | 642,403 | ||
1,363 | Laboratory Corp of America Holdings (a) | 391,208 | ||
2,052 | McKesson Corp. | 426,570 | ||
16,389 | Molina Healthcare, Inc. (a) (b) | 4,846,555 | ||
2,752 | Quest Diagnostics, Inc. | 403,939 | ||
7,415 | UnitedHealth Group, Inc. | 3,414,385 | ||
2,660 | Universal Health Services, Inc., Class B | 330,106 | ||
19,547,269 | ||||
Health Care Technology – 0.1% | ||||
5,334 | Cerner Corp. | 396,263 | ||
Hotels, Restaurants & Leisure – 1.6% | ||||
32,979 | Airbnb, Inc. (a) (b) | 5,628,196 | ||
7,043 | Expedia Group, Inc. (a) | 1,157,940 | ||
6,786,136 | ||||
Interactive Media & Services – 5.3% | ||||
2,904 | Alphabet, Inc., Class A (a) (b) | 8,598,512 | ||
2,739 | Alphabet, Inc., Class C (a) (b) | 8,122,258 | ||
19,034 | Meta Platforms, Inc., Class A (a) (b) | 6,158,831 | ||
22,879,601 | ||||
Internet & Direct Marketing Retail – 2.6% | ||||
3,308 | Amazon.com, Inc. (a) (b) | 11,155,998 | ||
IT Services – 0.8% | ||||
5,876 | International Business Machines Corp. | 735,088 | ||
13,703 | Visa, Inc., Class A (b) | 2,901,884 | ||
3,636,972 | ||||
Leisure Products – 1.2% | ||||
51,930 | Hayward Holdings, Inc. (a) | 1,204,257 | ||
175,902 | Smith & Wesson Brands, Inc. (b) | 3,781,893 | ||
4,986,150 | ||||
Life Sciences Tools & Services – 1.7% | ||||
3,081 | Agilent Technologies, Inc. | 485,227 | ||
524 | Bio-Rad Laboratories, Inc., Class A (a) | 416,412 | ||
968 | Charles River Laboratories International, Inc. (a) | 434,322 | ||
4,655 | Danaher Corp. | 1,451,289 |
Shares/ Units | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Life Sciences Tools & Services (Continued) | ||||
1,722 | Illumina, Inc. (a) | $714,733 | ||
2,030 | IQVIA Holdings, Inc. (a) | 530,683 | ||
275 | Mettler-Toledo International, Inc. (a) | 407,242 | ||
2,278 | PerkinElmer, Inc. | 402,955 | ||
2,851 | Thermo Fisher Scientific, Inc. (b) | 1,804,883 | ||
1,023 | Waters Corp. (a) | 376,004 | ||
926 | West Pharmaceutical Services, Inc. | 398,069 | ||
7,421,819 | ||||
Machinery – 2.8% | ||||
11,355 | Otis Worldwide Corp. | 911,920 | ||
49,482 | Pentair PLC | 3,660,183 | ||
25,094 | Snap-on, Inc. (b) | 5,099,854 | ||
25,630 | Toro (The) Co. | 2,446,896 | ||
12,118,853 | ||||
Metals & Mining – 4.5% | ||||
24,275 | Alcoa Corp. | 1,115,436 | ||
62,700 | AngloGold Ashanti Ltd., ADR | 1,158,696 | ||
51,086 | Barrick Gold Corp. | 938,450 | ||
91,588 | Cia de Minas Buenaventura SAA, ADR (a) | 721,713 | ||
96,485 | Eldorado Gold Corp. (a) | 864,506 | ||
82,604 | First Majestic Silver Corp. | 1,046,593 | ||
7,089 | Franco-Nevada Corp. | 1,012,522 | ||
29,294 | Freeport-McMoRan, Inc. | 1,104,970 | ||
172,985 | Kinross Gold Corp. | 1,039,640 | ||
26,271 | Kirkland Lake Gold Ltd. | 1,107,848 | ||
31,670 | MAG Silver Corp. (a) | 632,767 | ||
17,852 | Newmont Corp. | 964,008 | ||
8,333 | Nucor Corp. | 930,379 | ||
40,761 | Pan American Silver Corp. | 1,043,889 | ||
53,620 | Pretium Resources, Inc. (a) | 647,730 | ||
6,771 | Reliance Steel & Aluminum Co. | 989,649 | ||
9,228 | Royal Gold, Inc. | 913,757 | ||
109,638 | Sandstorm Gold Ltd. (a) | 694,008 | ||
54,585 | SilverCrest Metals, Inc. (a) | 491,265 | ||
63,645 | SSR Mining, Inc. | 1,004,318 | ||
23,363 | Wheaton Precious Metals Corp. | 944,099 | ||
19,366,243 | ||||
Oil, Gas & Consumable Fuels – 10.0% | ||||
288,230 | Antero Resources Corp. (a) | 5,727,130 | ||
57,525 | APA Corp. | 1,507,730 | ||
28,171 | Bonanza Creek Energy, Inc. | 1,581,520 | ||
33,692 | California Resources Corp. | 1,554,212 | ||
10,505 | Chevron Corp. | 1,202,717 | ||
95,451 | CNX Resources Corp. (a) | 1,394,539 | ||
18,645 | ConocoPhillips | 1,388,866 | ||
77,461 | CVR Energy, Inc. | 1,484,927 | ||
65,766 | Delek US Holdings, Inc. (a) | 1,279,149 | ||
13,912 | Diamondback Energy, Inc. (b) | 1,491,227 | ||
15,084 | EOG Resources, Inc. | 1,394,667 | ||
18,625 | Exxon Mobil Corp. | 1,200,754 | ||
30,226 | Green Plains, Inc. (a) | 1,147,077 | ||
33,279 | HollyFrontier Corp. | 1,124,830 |
Shares/ Units | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Oil, Gas & Consumable Fuels (Continued) | ||||
72,241 | Magnolia Oil & Gas Corp., Class A | $1,508,392 | ||
88,972 | Marathon Oil Corp. | 1,452,023 | ||
17,744 | Marathon Petroleum Corp. | 1,169,862 | ||
48,723 | Murphy Oil Corp. | 1,355,961 | ||
42,368 | Occidental Petroleum Corp. | 1,420,599 | ||
40,428 | Ovintiv, Inc. | 1,516,859 | ||
28,595 | Par Pacific Holdings, Inc. (a) | 442,079 | ||
109,739 | PBF Energy, Inc., Class A (a) (b) | 1,603,287 | ||
26,325 | PDC Energy, Inc. | 1,377,061 | ||
14,553 | Phillips 66 | 1,088,273 | ||
7,003 | Pioneer Natural Resources Co. | 1,309,421 | ||
79,749 | Range Resources Corp. (a) | 1,859,747 | ||
20,574 | Renewable Energy Group, Inc. (a) | 1,316,736 | ||
15,807 | Valero Energy Corp. | 1,222,355 | ||
24,327 | World Fuel Services Corp. | 742,703 | ||
42,864,703 | ||||
Pharmaceuticals – 2.7% | ||||
17,916 | Bristol-Myers Squibb Co. | 1,046,294 | ||
3,282 | Catalent, Inc. (a) | 452,457 | ||
5,926 | Eli Lilly & Co. | 1,509,708 | ||
21,223 | Johnson & Johnson (b) | 3,456,802 | ||
18,846 | Merck & Co, Inc. (b) | 1,659,390 | ||
9,983 | Perrigo Co. PLC | 450,732 | ||
39,001 | Pfizer, Inc. | 1,705,904 | ||
27,989 | Viatris, Inc. | 373,653 | ||
4,518 | Zoetis, Inc. | 976,792 | ||
11,631,732 | ||||
Professional Services – 2.6% | ||||
115,426 | CoStar Group, Inc. (a) | 9,932,407 | ||
3,967 | Equifax, Inc. | 1,100,565 | ||
11,032,972 | ||||
Semiconductors & Semiconductor Equipment – 4.1% | ||||
12,066 | Advanced Micro Devices, Inc. (a) | 1,450,695 | ||
58,505 | Analog Devices, Inc. (b) | 10,150,032 | ||
4,774 | Enphase Energy, Inc. (a) | 1,105,802 | ||
18,503 | NVIDIA Corp. | 4,730,662 | ||
17,437,191 | ||||
Software – 11.5% | ||||
274,052 | Dropbox, Inc., Class A (a) (b) | 8,355,845 | ||
17,566 | Intuit, Inc. (b) | 10,996,140 | ||
18,051 | Manhattan Associates, Inc. (a) | 3,276,979 | ||
43,697 | McAfee Corp., Class A | 933,805 | ||
74,666 | Microsoft Corp. (b) | 24,760,739 | ||
3,155 | salesforce.com, Inc. (a) | 945,522 | ||
49,269,030 | ||||
Specialty Retail – 1.8% | ||||
8,047 | Asbury Automotive Group, Inc. (a) | 1,574,878 | ||
641 | AutoZone, Inc. (a) | 1,144,082 | ||
146,534 | Leslie’s, Inc. (a) | 3,030,323 | ||
20,644 | MarineMax, Inc. (a) | 1,069,153 |
Shares/ Units | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Specialty Retail (Continued) | ||||
1,708 | O’Reilly Automotive, Inc. (a) | $1,062,923 | ||
7,881,359 | ||||
Technology Hardware, Storage & Peripherals – 5.6% | ||||
160,412 | Apple, Inc. (b) | 24,029,718 | ||
Tobacco – 2.1% | ||||
96,548 | Philip Morris International, Inc. (b) | 9,127,648 | ||
Total Common Stocks | 418,645,321 | |||
(Cost $381,912,641) | ||||
MASTER LIMITED PARTNERSHIPS – 0.4% | ||||
Oil, Gas & Consumable Fuels – 0.4% | ||||
39,936 | Black Stone Minerals, L.P. | 499,599 | ||
18,330 | Sunoco, L.P. | 742,182 | ||
22,888 | Viper Energy Partners, L.P. (c) | 504,680 | ||
Total Master Limited Partnerships | 1,746,461 | |||
(Cost $1,366,219) | ||||
REAL ESTATE INVESTMENT TRUSTS – 0.3% | ||||
Equity Real Estate Investment Trusts – 0.3% | ||||
29,458 | Weyerhaeuser Co. | 1,052,240 | ||
(Cost $1,029,078) |
Total Investments – 98.1% | 421,444,022 | ||
(Cost $384,307,938) (d) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT – (23.4)% | ||||
Aerospace & Defense – (1.0)% | ||||
(4,645) | BWX Technologies, Inc. | (263,557) | ||
(3,507) | Huntington Ingalls Industries, Inc. | (710,974) | ||
(17,583) | Kratos Defense & Security Solutions, Inc. (a) | (376,100) | ||
(4,217) | Lockheed Martin Corp. | (1,401,394) | ||
(20,468) | Maxar Technologies, Inc. | (543,425) | ||
(21,595) | Spirit AeroSystems Holdings, Inc., Class A | (891,658) | ||
(4,187,108) | ||||
Air Freight & Logistics – (0.4)% | ||||
(12,324) | Expeditors International of Washington, Inc. | (1,519,056) | ||
Banks – (2.8)% | ||||
(36,657) | Bank of America Corp. | (1,751,471) | ||
(8,145) | BankUnited, Inc. | (330,361) | ||
(19,901) | Comerica, Inc. | (1,693,376) | ||
(11,910) | Credicorp Ltd. | (1,544,251) | ||
(4,453) | Cullen/Frost Bankers, Inc. | (576,664) | ||
(790) | First Citizens BancShares, Inc., Class A | (642,981) | ||
(5,973) | Glacier Bancorp, Inc. | (330,247) | ||
(12,400) | KeyCorp | (288,548) | ||
(10,964) | M&T Bank Corp. | (1,613,024) | ||
(17,700) | Old National Bancorp | (302,316) | ||
(9,034) | Popular, Inc. | (735,729) | ||
(73,858) | Regions Financial Corp. | (1,748,957) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Banks (Continued) | ||||
(29,630) | Valley National Bancorp | $(392,894) | ||
(11,950,819) | ||||
Beverages – (0.4)% | ||||
(2,509) | Boston Beer (The) Co., Inc., Class A (a) | (1,235,633) | ||
(7,383) | Celsius Holdings, Inc. (a) | (712,607) | ||
(1,948,240) | ||||
Capital Markets – (0.3)% | ||||
(11,338) | Northern Trust Corp. | (1,395,028) | ||
Chemicals – (1.2)% | ||||
(5,601) | Air Products & Chemicals, Inc. | (1,679,236) | ||
(44,977) | Amyris, Inc. (a) | (666,559) | ||
(7,662) | Cabot Corp. | (408,768) | ||
(34,818) | Huntsman Corp. | (1,134,370) | ||
(7,555) | Scotts Miracle-Gro (The) Co. | (1,121,615) | ||
(5,010,548) | ||||
Communications Equipment – (0.1)% | ||||
(6,648) | Viasat, Inc. (a) | (396,819) | ||
Construction & Engineering – (0.5)% | ||||
(3,796) | Ameresco, Inc., Class A (a) | (311,766) | ||
(16,357) | MasTec, Inc. (a) | (1,457,899) | ||
(1,755) | Valmont Industries, Inc. | (419,375) | ||
(2,189,040) | ||||
Construction Materials – (0.4)% | ||||
(3,984) | Martin Marietta Materials, Inc. | (1,565,075) | ||
Containers & Packaging – (0.6)% | ||||
(16,047) | Ball Corp. | (1,467,980) | ||
(25,673) | International Paper Co. | (1,275,178) | ||
(2,743,158) | ||||
Diversified Consumer Services – (0.1)% | ||||
(17,839) | 2U, Inc. (a) | (526,964) | ||
Diversified Telecommunication Services – (0.3)% | ||||
(27,504) | Verizon Communications, Inc. | (1,457,437) | ||
Electrical Equipment – (0.8)% | ||||
(59,194) | Plug Power, Inc. (a) | (2,265,354) | ||
(22,943) | Shoals Technologies Group, Inc., Class A (a) | (711,004) | ||
(9,734) | Sunrun, Inc. (a) | (561,457) | ||
(3,537,815) | ||||
Energy Equipment & Services – (0.5)% | ||||
(75,436) | Halliburton Co. | (1,885,146) | ||
(29,988) | Liberty Oilfield Services, Inc., Class A (a) | (387,445) | ||
(2,272,591) | ||||
Entertainment – (0.8)% | ||||
(2,763) | Netflix, Inc. (a) | (1,907,327) | ||
(8,486) | Walt Disney (The) Co. (a) | (1,434,728) | ||
(3,342,055) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Food & Staples Retailing – (0.1)% | ||||
(3,172) | Casey’s General Stores, Inc. | $(607,565) | ||
Food Products – (0.3)% | ||||
(7,122) | Freshpet, Inc. (a) | (1,110,391) | ||
Health Care Equipment & Supplies – (0.7)% | ||||
(8,769) | Outset Medical, Inc. (a) | (467,125) | ||
(11,959) | Quidel Corp. (a) | (1,587,796) | ||
(6,542) | STAAR Surgical Co. (a) | (774,965) | ||
(2,829,886) | ||||
Health Care Providers & Services – (0.4)% | ||||
(28,424) | 1Life Healthcare, Inc. (a) | (615,664) | ||
(2,639) | LHC Group, Inc. (a) | (355,183) | ||
(6,703) | Premier, Inc., Class A | (261,082) | ||
(5,294) | Progyny, Inc. (a) | (325,210) | ||
(1,557,139) | ||||
Health Care Technology – (0.4)% | ||||
(23,274) | Allscripts Healthcare Solutions, Inc. (a) | (320,716) | ||
(70,592) | American Well Corp., Class A (a) | (635,328) | ||
(6,670) | Health Catalyst, Inc. (a) | (351,109) | ||
(4,697) | Phreesia, Inc. (a) | (331,326) | ||
(1,638,479) | ||||
Hotels, Restaurants & Leisure – (1.2)% | ||||
(63,261) | Carnival Corp. (a) | (1,401,863) | ||
(11,864) | Hilton Worldwide Holdings, Inc. (a) | (1,707,823) | ||
(7,739) | Hyatt Hotels Corp., Class A (a) | (659,363) | ||
(18,246) | Royal Caribbean Cruises Ltd. (a) | (1,540,510) | ||
(5,309,559) | ||||
Household Durables – (0.1)% | ||||
(2,059) | LGI Homes, Inc. (a) | (307,409) | ||
Household Products – (0.4)% | ||||
(10,884) | Energizer Holdings, Inc. | (396,940) | ||
(11,119) | Kimberly-Clark Corp. | (1,439,799) | ||
(1,836,739) | ||||
Industrial Conglomerates – (0.4)% | ||||
(14,659) | General Electric Co. | (1,537,289) | ||
Internet & Direct Marketing Retail – (0.3)% | ||||
(821) | MercadoLibre, Inc. (a) | (1,215,917) | ||
IT Services – (1.5)% | ||||
(34,476) | DXC Technology Co. (a) | (1,122,883) | ||
(11,669) | Fidelity National Information Services, Inc. | (1,292,225) | ||
(9,051) | Global Payments, Inc. | (1,294,202) | ||
(40,046) | MoneyGram International, Inc. (a) | (239,075) | ||
(5,421) | Snowflake, Inc., Class A (a) | (1,918,167) | ||
(27,742) | Switch, Inc., Class A | (701,318) | ||
(6,567,870) | ||||
Life Sciences Tools & Services – (0.3)% | ||||
(13,062) | Adaptive Biotechnologies Corp. (a) | (436,402) | ||
(9,331) | NeoGenomics, Inc. (a) | (429,226) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Life Sciences Tools & Services (Continued) | ||||
(5,722) | Quanterix Corp. (a) | $(289,590) | ||
(1,155,218) | ||||
Machinery – (0.5)% | ||||
(4,336) | Chart Industries, Inc. (a) | (769,727) | ||
(6,176) | ITT, Inc. | (580,976) | ||
(2,689) | Kornit Digital Ltd. (a) | (449,816) | ||
(7,596) | Proto Labs, Inc. (a) | (454,317) | ||
(2,254,836) | ||||
Media – (0.6)% | ||||
(8,114) | Liberty Broadband Corp., Class C (a) | (1,318,119) | ||
(37,386) | ViacomCBS, Inc., Class B | (1,354,121) | ||
(2,672,240) | ||||
Metals & Mining – (0.2)% | ||||
(21,859) | Allegheny Technologies, Inc. (a) | (351,930) | ||
(84,668) | Coeur Mining, Inc. (a) | (535,948) | ||
(887,878) | ||||
Multiline Retail – (0.3)% | ||||
(40,298) | Nordstrom, Inc. (a) | (1,157,762) | ||
Oil, Gas & Consumable Fuels – (0.3)% | ||||
(75,469) | EQT Corp. (a) | (1,502,588) | ||
Paper & Forest Products – (0.0)% | ||||
(2,334) | Sylvamo Corp. (a) | (65,725) | ||
Personal Products – (0.2)% | ||||
(101,249) | Coty, Inc., Class A (a) | (858,592) | ||
Professional Services – (0.2)% | ||||
(11,337) | Booz Allen Hamilton Holding Corp. | (984,732) | ||
Real Estate Management & Development – (0.3)% | ||||
(24,042) | Redfin Corp. (a) | (1,234,316) | ||
Road & Rail – (0.4)% | ||||
(8,471) | Avis Budget Group, Inc. (a) | (1,468,109) | ||
(7,866) | Werner Enterprises, Inc. | (356,487) | ||
(1,824,596) | ||||
Semiconductors & Semiconductor Equipment – (1.3)% | ||||
(6,185) | Cirrus Logic, Inc. (a) | (499,810) | ||
(15,981) | First Solar, Inc. (a) | (1,911,168) | ||
(14,033) | Magnachip Semiconductor Corp. (a) | (266,066) | ||
(4,232) | Universal Display Corp. | (775,302) | ||
(17,286) | Wolfspeed, Inc. (a) | (2,076,221) | ||
(5,528,567) | ||||
Software – (1.4)% | ||||
(12,102) | Alteryx, Inc., Class A (a) | (885,745) | ||
(20,397) | Avaya Holdings Corp. (a) | (379,792) | ||
(5,890) | Everbridge, Inc. (a) | (938,336) | ||
(3,573) | InterDigital, Inc. | (239,212) | ||
(4,261) | Pegasystems, Inc. | (505,866) | ||
(18,791) | Trade Desk (The), Inc., Class A (a) | (1,407,634) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Software (Continued) | ||||
(3,094) | Tyler Technologies, Inc. (a) | $(1,680,723) | ||
(6,037,308) | ||||
Specialty Retail – (0.4)% | ||||
(6,512) | Five Below, Inc. (a) | (1,284,818) | ||
(12,419) | Guess?, Inc. | (257,197) | ||
(1,542,015) | ||||
Textiles, Apparel & Luxury Goods – (0.3)% | ||||
(3,453) | Deckers Outdoor Corp. (a) | (1,365,005) | ||
Trading Companies & Distributors – (0.3)% | ||||
(10,067) | Air Lease Corp. | (403,183) | ||
(5,406) | MSC Industrial Direct Co., Inc., Class A | (454,482) | ||
(7,634) | Triton International Ltd. | (474,759) | ||
(1,332,424) | ||||
Wireless Telecommunication Services – (0.4)% | ||||
(22,099) | Telephone & Data Systems, Inc. | (414,135) | ||
(10,639) | T-Mobile US, Inc. (a) | (1,223,804) | ||
(1,637,939) | ||||
Total Common Stocks Sold Short | (100,601,737) | |||
(Proceeds $98,376,607) | ||||
EXCHANGE-TRADED FUNDS SOLD SHORT – (8.0)% | ||||
Capital Markets – (8.0)% | ||||
(75,064) | SPDR S&P 500 ETF Trust | (34,473,142) | ||
(Proceeds $32,858,709) | ||||
Total Investments Sold Short – (31.4)% | (135,074,879) | |||
(Proceeds $131,235,316)(d) | ||||
Net Other Assets and Liabilities – 33.3% | 143,385,613 | |||
Net Assets – 100.0% | $429,754,756 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
Russell 2000 E-mini Futures | Long | 71 | Dec 2021 | $ 8,148,315 | $217,865 |
(a) | Non-income producing security. |
(b) | This security or a portion of this security is segregated as collateral for investments sold short . |
(c) | This security is taxed as a “C” corporation for federal income tax purposes. |
(d) | Aggregate cost for federal income tax purposes was $520,513,017. As of October 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $48,771,754 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $12,548,005. The net unrealized appreciation was $36,223,749. The amounts presented are inclusive of derivative contracts. |
ADR | American Depositary Receipt |
ASSETS TABLE | ||||
Total Value at 10/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 418,645,321 | $ 418,645,321 | $ — | $ — |
Master Limited Partnerships* | 1,746,461 | 1,746,461 | — | — |
Real Estate Investment Trusts* | 1,052,240 | 1,052,240 | — | — |
Total Investments | 421,444,022 | 421,444,022 | — | — |
Futures Contracts** | 217,865 | 217,865 | — | — |
Total | $ 421,661,887 | $ 421,661,887 | $— | $— |
LIABILITIES TABLE | ||||
Total Value at 10/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks Sold Short* | $ (100,601,737) | $ (100,601,737) | $ — | $ — |
Exchange-Traded Funds Sold Short* | (34,473,142) | (34,473,142) | — | — |
Total Investments | $ (135,074,879) | $ (135,074,879) | $— | $— |
* | See Portfolio of Investments for industry breakout. |
** | Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Statement of Assets and Liabilities. |
ASSETS: | |
Investments, at value (Cost $384,307,938) | $ 421,444,022 |
Cash | 12,916,695 |
Cash held at broker as collateral for open futures contracts | 507,650 |
Restricted Cash | 130,198,935 |
Receivables: | |
Dividends | 93,628 |
Dividend reclaims | 9,491 |
Variation margin | 710 |
Total Assets | 565,171,131 |
LIABILITIES: | |
Investments sold short, at value (proceeds $131,235,316) | 135,074,879 |
Payables: | |
Investment advisory fees | 331,594 |
Margin interest expense | 8,792 |
Dividends on investments sold short | 1,110 |
Total Liabilities | 135,416,375 |
NET ASSETS | $429,754,756 |
NET ASSETS consist of: | |
Paid-in capital | $ 477,306,128 |
Par value | 85,500 |
Accumulated distributable earnings (loss) | (47,636,872) |
NET ASSETS | $429,754,756 |
NET ASSET VALUE, per share | $50.26 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 8,550,002 |
INVESTMENT INCOME: | ||
Dividends | $ 3,818,844 | |
Interest | 738 | |
Foreign withholding tax | (12,877) | |
Other | 56 | |
Total investment income | 3,806,761 | |
EXPENSES: | ||
Investment advisory fees | 3,350,823 | |
Dividend expense on investments sold short | 1,199,950 | |
Margin interest expense | 259,230 | |
Total expenses | 4,810,003 | |
NET INVESTMENT INCOME (LOSS) | (1,003,242) | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (3,244,096) | |
In-kind redemptions | 79,974,640 | |
Futures contracts | (706,941) | |
Investments sold short | (35,281,034) | |
Net realized gain (loss) | 40,742,569 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 23,911,790 | |
Futures contracts | (105,867) | |
Investments sold short | (4,254,806) | |
Net change in unrealized appreciation (depreciation) | 19,551,117 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 60,293,686 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 59,290,444 |
Year Ended 10/31/2021 | Year Ended 10/31/2020 | ||
OPERATIONS: | |||
Net investment income (loss) | $ (1,003,242) | $ 247,074 | |
Net realized gain (loss) | 40,742,569 | 1,351,304 | |
Net change in unrealized appreciation (depreciation) | 19,551,117 | (3,713,526) | |
Net increase (decrease) in net assets resulting from operations | 59,290,444 | (2,115,148) | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (895,180) | (722,995) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 547,568,213 | 270,053,673 | |
Cost of shares redeemed | (477,583,820) | (211,707,816) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 69,984,393 | 58,345,857 | |
Total increase (decrease) in net assets | 128,379,657 | 55,507,714 | |
NET ASSETS: | |||
Beginning of period | 301,375,099 | 245,867,385 | |
End of period | $429,754,756 | $301,375,099 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 7,200,002 | 5,900,002 | |
Shares sold | 12,000,000 | 6,450,000 | |
Shares redeemed | (10,650,000) | (5,150,000) | |
Shares outstanding, end of period | 8,550,002 | 7,200,002 |
Year Ended October 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 41.86 | $ 41.67 | $ 38.47 | $ 37.78 | $ 32.49 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | (0.10) | 0.05 | 0.39 | 0.26 | 0.24 | ||||
Net realized and unrealized gain (loss) | 8.63 | 0.25 | 3.23 | 0.67 | 5.34 | ||||
Total from investment operations | 8.53 | 0.30 | 3.62 | 0.93 | 5.58 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.13) | (0.11) | (0.42) | (0.24) | (0.29) | ||||
Net asset value, end of period | $50.26 | $41.86 | $41.67 | $38.47 | $37.78 | ||||
Total return (a) | 20.41% | 0.74% | 9.49% | 2.45% | 17.23% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 429,755 | $ 301,375 | $ 245,867 | $ 155,803 | $ 120,892 | ||||
Ratio of total expenses to average net assets (b) | 1.36% | 1.55% | 1.60% | 1.59% | 1.47% | ||||
Ratio of total expenses to average net assets excluding dividend expense and margin interest expense (b) | 0.95% | 0.95% | 0.95% | 0.95% | 0.95% | ||||
Ratio of net investment income (loss) to average net assets | (0.28)% | 0.09% | 1.03% | 0.71% | 0.67% | ||||
Portfolio turnover rate (c) | 250% | 250% | 210% | 249% | 176% |
(a) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(b) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from: | 2021 | 2020 |
Ordinary income | $895,180 | $722,995 |
Capital gains | — | — |
Return of capital | — | — |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (76,181,495) |
Net unrealized appreciation (depreciation) | 28,544,623 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$1,350,973 | $(77,724,932) | $76,373,959 |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statement of Assets and Liabilities Location | Value | Statement of Assets and Liabilities Location | Value | |||||
Futures contracts | Equity Risk | Variation Margin Receivable* | $ 217,865 | Variation Margin Payable* | $ — |
Statement of Operations Location | |
Equity Risk Exposure | |
Net realized gain (loss) on futures contracts | $(706,941) |
Net change in unrealized appreciation (depreciation) on futures contracts | (105,867) |
Dividends Received Deduction | Qualified Dividend Income | |
100.00% | 100.00% |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016) | 215 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 215 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 215 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 215 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 215 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Year Ended
October 31, 2021
1 | |
2 | |
5 | |
7 | |
8 | |
13 | |
14 | |
15 | |
16 | |
17 | |
24 | |
25 | |
31 | |
33 |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 10/31/21 | 5 Years Ended 10/31/21 | Inception (11/4/14) to 10/31/21 | 5 Years Ended 10/31/21 | Inception (11/4/14) to 10/31/21 | ||
Fund Performance | ||||||
NAV | -1.53% | 0.15% | -0.87% | 0.76% | -5.89% | |
Market Price | -1.53% | 0.19% | -0.88% | 0.96% | -5.99% | |
Index Performance | ||||||
Bloomberg Emerging Markets Local Currency Government - 10% Country Capped Index | -0.33% | 2.34% | 0.93% | 12.27% | 6.66% |
Industry Classification | % of Total Investments |
Sovereigns | 92.7% |
Supranationals | 7.3 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Foreign Sovereign Bonds and Notes | 83.6% |
Foreign Corporate Bonds and Notes | 6.5 |
Net Other Assets and Liabilities(1) | 9.9 |
Total | 100.0% |
Credit Quality(2) | % of Total Investments (including cash) |
AAA | 7.0% |
AA | 2.1 |
AA- | 1.7 |
A+ | 8.1 |
A | 7.4 |
A- | 7.8 |
BBB+ | 7.2 |
BBB | 25.1 |
BBB- | 4.4 |
BB | 23.4 |
BB- | 2.3 |
Cash | 3.5 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Republic of South Africa Government Bond, 10.50%, 12/21/26 | 5.2% |
Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/01/27 | 5.1 |
Indonesia Treasury Bond, 8.38%, 3/15/34 | 4.8 |
Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/01/25 | 4.6 |
Asian Development Bank, 6.20%, 10/06/26 | 4.2 |
Colombian TES, 7.75%, 9/18/30 | 3.8 |
Bonos de la Tesoreria de la Republica en Pesos, 4.70%, 9/01/30 | 3.7 |
Republic of Poland Government Bond, 2.75%, 4/25/28 | 3.6 |
Colombian TES, 7.50%, 8/26/26 | 3.6 |
Hungary Government Bond, 6.75%, 10/22/28 | 3.4 |
Total | 42.0% |
(1) | Includes forward foreign currency contracts. |
(2) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Beginning Account Value May 1, 2021 | Ending Account Value October 31, 2021 | 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 | $948.20 | 0.85% | $4.17 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2021 through October 31, 2021), multiplied by 184/365 (to reflect the six-month period). |
Principal Value (Local Currency) | Description | Stated Coupon | Stated Maturity | Value (US Dollars) | ||||
FOREIGN SOVEREIGN BONDS AND NOTES – 83.6% | ||||||||
Brazil – 12.0% | ||||||||
28,000,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/23 | $4,850,781 | ||||
63,950,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/25 | 10,721,201 | ||||
72,450,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/27 | 11,847,360 | ||||
23,200,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/29 | 3,703,850 | ||||
31,123,192 | ||||||||
Chile – 7.6% | ||||||||
5,660,000,000 | Bonos de la Tesoreria de la Republica en Pesos (CLP) | 4.50% | 03/01/26 | 6,641,339 | ||||
7,770,000,000 | Bonos de la Tesoreria de la Republica en Pesos (CLP) (a) (b) | 4.70% | 09/01/30 | 8,754,515 | ||||
3,910,000,000 | Bonos de la Tesoreria de la Republica en Pesos (CLP) | 5.00% | 03/01/35 | 4,285,058 | ||||
19,680,912 | ||||||||
Colombia – 9.4% | ||||||||
4,201,000,000 | Colombian TES (COP) | 7.00% | 05/04/22 | 1,134,606 | ||||
31,104,000,000 | Colombian TES (COP) | 7.50% | 08/26/26 | 8,371,417 | ||||
24,500,000,000 | Colombian TES (COP) | 6.00% | 04/28/28 | 5,974,737 | ||||
33,300,000,000 | Colombian TES (COP) | 7.75% | 09/18/30 | 8,825,475 | ||||
24,306,235 | ||||||||
Czech Republic – 2.0% | ||||||||
114,920,000 | Czech Republic Government Bond (CZK) (b) | 2.40% | 09/17/25 | 5,099,890 | ||||
Hungary – 4.4% | ||||||||
2,066,000,000 | Hungary Government Bond (HUF) | 6.75% | 10/22/28 | 7,920,166 | ||||
1,130,000,000 | Hungary Government Bond (HUF) | 3.00% | 08/21/30 | 3,446,489 | ||||
11,366,655 | ||||||||
Indonesia – 9.7% | ||||||||
44,770,000,000 | Indonesia Treasury Bond (IDR) | 8.38% | 09/15/26 | 3,581,916 | ||||
47,177,000,000 | Indonesia Treasury Bond (IDR) | 9.00% | 03/15/29 | 3,899,366 | ||||
43,540,000,000 | Indonesia Treasury Bond (IDR) | 7.00% | 09/15/30 | 3,239,185 | ||||
140,993,000,000 | Indonesia Treasury Bond (IDR) | 8.38% | 03/15/34 | 11,260,532 | ||||
40,076,000,000 | Indonesia Treasury Bond (IDR) | 8.25% | 05/15/36 | 3,186,562 | ||||
25,167,561 | ||||||||
Israel – 1.5% | ||||||||
7,900,000 | Israel Government Bond - Fixed (ILS) | 6.25% | 10/30/26 | 3,168,994 | ||||
2,365,000 | Israel Government Bond - Fixed (ILS) | 2.25% | 09/28/28 | 806,479 | ||||
3,975,473 | ||||||||
Malaysia – 3.6% | ||||||||
15,240,000 | Malaysia Government Bond (MYR) | 4.18% | 07/15/24 | 3,818,289 | ||||
21,980,000 | Malaysia Government Bond (MYR) | 3.89% | 08/15/29 | 5,414,673 | ||||
9,232,962 | ||||||||
Mexico – 4.7% | ||||||||
153,770,000 | Mexican Bonos (MXN) | 7.50% | 06/03/27 | 7,506,141 | ||||
51,250,000 | Mexican Bonos (MXN) | 8.50% | 05/31/29 | 2,640,160 | ||||
24,920,000 | Mexican Bonos (MXN) | 7.75% | 05/29/31 | 1,230,192 | ||||
13,660,000 | Mexican Bonos (MXN) | 10.00% | 11/20/36 | 801,313 | ||||
12,177,806 | ||||||||
Peru – 4.9% | ||||||||
6,670,000 | Peru Government Bond (PEN) | 8.20% | 08/12/26 | 1,903,635 |
Principal Value (Local Currency) | Description | Stated Coupon | Stated Maturity | Value (US Dollars) | ||||
FOREIGN SOVEREIGN BONDS AND NOTES (Continued) | ||||||||
Peru (Continued) | ||||||||
20,175,000 | Peru Government Bond (PEN) | 6.95% | 08/12/31 | $5,474,659 | ||||
5,850,000 | Peru Government Bond (PEN) | 6.15% | 08/12/32 | 1,487,187 | ||||
14,860,000 | Peru Government Bond (PEN) | 6.90% | 08/12/37 | 3,775,317 | ||||
12,640,798 | ||||||||
Philippines – 2.0% | ||||||||
60,000,000 | Philippine Government International Bond (PHP) | 3.90% | 11/26/22 | 1,199,134 | ||||
170,000,000 | Philippine Government International Bond (PHP) | 6.25% | 01/14/36 | 3,937,907 | ||||
5,137,041 | ||||||||
Poland – 3.3% | ||||||||
545,000 | Republic of Poland Government Bond (PLN) | 4.00% | 10/25/23 | 142,013 | ||||
33,350,000 | Republic of Poland Government Bond (PLN) | 2.75% | 04/25/28 | 8,493,711 | ||||
8,635,724 | ||||||||
Romania – 4.1% | ||||||||
12,780,000 | Romania Government Bond (RON) | 5.85% | 04/26/23 | 3,072,714 | ||||
32,265,000 | Romania Government Bond (RON) | 4.50% | 06/17/24 | 7,616,279 | ||||
10,688,993 | ||||||||
South Africa – 9.8% | ||||||||
167,675,000 | Republic of South Africa Government Bond (ZAR) | 10.50% | 12/21/26 | 12,036,375 | ||||
44,210,000 | Republic of South Africa Government Bond (ZAR) | 8.25% | 03/31/32 | 2,539,733 | ||||
126,670,000 | Republic of South Africa Government Bond (ZAR) | 8.88% | 02/28/35 | 7,317,683 | ||||
14,640,000 | Republic of South Africa Government Bond (ZAR) | 8.50% | 01/31/37 | 798,611 | ||||
49,950,000 | Republic of South Africa Government Bond (ZAR) | 9.00% | 01/31/40 | 2,789,153 | ||||
25,481,555 | ||||||||
Thailand – 2.4% | ||||||||
48,470,000 | Thailand Government Bond (THB) | 3.63% | 06/16/23 | 1,531,060 | ||||
53,400,000 | Thailand Government Bond (THB) | 1.60% | 12/17/29 | 1,594,428 | ||||
91,600,000 | Thailand Government Bond (THB) | 3.65% | 06/20/31 | 3,171,641 | ||||
6,297,129 | ||||||||
Turkey – 2.2% | ||||||||
36,800,000 | Turkey Government Bond (TRY) | 9.00% | 05/04/22 | 3,712,919 | ||||
23,800,000 | Turkey Government Bond (TRY) | 10.60% | 02/11/26 | 1,908,654 | ||||
5,621,573 | ||||||||
Total Foreign Sovereign Bonds and Notes | 216,633,499 | |||||||
(Cost $246,302,709) | ||||||||
FOREIGN CORPORATE BONDS AND NOTES – 6.5% | ||||||||
Supranationals – 6.5% | ||||||||
100,000,000 | African Development Bank (ZAR) | (c) | 04/05/46 | 809,338 | ||||
723,500,000 | Asian Development Bank (INR) | 6.20% | 10/06/26 | 9,755,686 | ||||
51,050,000 | International Finance Corp. (INR) | 5.85% | 11/25/22 | 686,791 |
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 | $4,611,733 | ||||
83,500,000 | International Finance Corp. (MXN) | (c) | 02/22/38 | 1,156,703 | ||||
Total Foreign Corporate Bonds and Notes | 17,020,251 | |||||||
(Cost $18,332,193) |
Total Investments – 90.1% | 233,653,750 | ||
(Cost $264,634,902) (d) | |||
Net Other Assets and Liabilities – 9.9% | 25,576,339 | ||
Net Assets – 100.0% | $259,230,089 |
Forward Foreign Currency Contracts | ||||||||||||||
Settlement Date | Counterparty | Amount Purchased | Amount Sold | Purchase Value as of 10/31/2021 | Sale Value as of 10/31/2021 | Unrealized Appreciation/ (Depreciation) | ||||||||
11/22/21 | BBH | CNH | 11,250,000 | USD | 1,746,379 | $ 1,753,095 | $ 1,746,379 | $ 6,716 | ||||||
11/22/21 | SG | IDR | 15,300,000,000 | USD | 1,084,326 | 1,077,859 | 1,084,326 | (6,467) | ||||||
11/22/21 | SG | INR | 485,300,000 | USD | 6,425,228 | 6,466,107 | 6,425,228 | 40,879 | ||||||
11/22/21 | SG | KRW | 2,400,000,000 | USD | 2,029,296 | 2,052,667 | 2,029,296 | 23,371 | ||||||
11/22/21 | BBH | MXN | 54,720,000 | USD | 2,650,422 | 2,649,613 | 2,650,422 | (809) | ||||||
11/22/21 | BNS | PEN | 5,300,000 | USD | 1,326,991 | 1,327,209 | 1,326,991 | 218 | ||||||
11/22/21 | SG | PHP | 113,530,000 | USD | 2,235,598 | 2,251,263 | 2,235,598 | 15,665 | ||||||
11/22/21 | SG | RUB | 388,900,000 | USD | 5,428,094 | 5,464,002 | 5,428,094 | 35,908 | ||||||
11/22/21 | BNS | RUB | 1,035,900,000 | USD | 14,522,641 | 14,554,281 | 14,522,641 | 31,640 | ||||||
11/09/21 | BBH | TRY | 14,000,000 | USD | 1,427,547 | 1,451,638 | 1,427,547 | 24,091 | ||||||
11/22/21 | BNS | USD | 7,421,055 | BRL | 40,985,000 | 7,421,055 | 7,232,874 | 188,181 | ||||||
11/22/21 | BNS | USD | 1,341,709 | CLP | 1,100,000,000 | 1,341,709 | 1,349,010 | (7,301) | ||||||
11/22/21 | BBH | USD | 3,968,565 | CZK | 87,000,000 | 3,968,565 | 3,914,502 | 54,063 | ||||||
11/22/21 | BBH | USD | 1,352,921 | HUF | 420,000,000 | 1,352,921 | 1,348,059 | 4,862 | ||||||
11/22/21 | BBH | USD | 5,657,408 | ILS | 18,200,000 | 5,657,408 | 5,752,018 | (94,610) | ||||||
11/22/21 | BBH | USD | 3,733,922 | PLN | 14,720,000 | 3,733,922 | 3,688,003 | 45,919 | ||||||
11/22/21 | BBH | USD | 6,172,258 | THB | 205,200,000 | 6,172,258 | 6,182,812 | (10,554) | ||||||
Net Unrealized Appreciation / (Depreciation) | $351,772 |
Counterparty Abbreviations | |
BBH | Brown Brothers Harriman and Co. |
BNS | Bank of Nova Scotia |
SG | Societe Generale |
(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 October 31, 2021, securities noted as such amounted to $8,754,515 or 3.4% of net assets. |
(b) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
(c) | Zero coupon bond. |
(d) | Aggregate cost for federal income tax purposes was $271,976,260. As of October 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $782,114 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $38,752,852. The net unrealized depreciation was $37,970,738. The amounts presented are inclusive of derivative contracts. |
ASSETS TABLE | ||||
Total Value at 10/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Foreign Sovereign Bonds and Notes* | $ 216,633,499 | $ — | $ 216,633,499 | $ — |
Foreign Corporate Bonds and Notes* | 17,020,251 | — | 17,020,251 | — |
Total Investments | 233,653,750 | — | 233,653,750 | — |
Forward Foreign Currency Contracts** | 471,513 | — | 471,513 | — |
Total | $ 234,125,263 | $— | $ 234,125,263 | $— |
LIABILITIES TABLE | ||||
Total Value at 10/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Forward Foreign Currency Contracts** | $ (119,741) | $ — | $ (119,741) | $ — |
* | See Portfolio of Investments for country breakout. |
** | See the Schedule of Forward Foreign Currency Contracts for contract and currency detail. |
Currency Exposure Diversification | % of Total Investments (including cash)† |
ZAR | 10.8% |
IDR | 10.8 |
COP | 10.0 |
BRL | 9.9 |
INR | 8.9 |
RUB | 8.3 |
CLP | 7.6 |
MXN | 6.6 |
PEN | 5.8 |
RON | 4.4 |
HUF | 4.3 |
MYR | 3.8 |
PHP | 3.0 |
TRY | 2.9 |
PLN | 2.0 |
KRW | 0.8 |
CNH | 0.7 |
CZK | 0.5 |
THB | 0.1 |
USD | (0.5) |
ILS | (0.7) |
Total | 100.0% |
† | The weightings include the impact of currency forwards. |
Currency Abbreviations | |
BRL | Brazilian Real |
CLP | Chilean Peso |
CNH | Chinese Yuan |
COP | Colombian Peso |
CZK | Czech Republic Koruna |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
KRW | South Korean Won |
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 $264,634,902) | $ 233,653,750 |
Cash | 8,098,822 |
Foreign currency (Cost $656,549) | 659,868 |
Unrealized appreciation on forward foreign currency contracts | 471,513 |
Receivables: | |
Investment securities sold | 12,494,255 |
Interest | 4,347,091 |
Interest reclaims | 135,036 |
Total Assets | 259,860,335 |
LIABILITIES: | |
Due to broker | 200,099 |
Unrealized depreciation on forward foreign currency contracts | 119,741 |
Payables: | |
Investment advisory fees | 189,997 |
Deferred foreign capital gains tax | 120,409 |
Total Liabilities | 630,246 |
NET ASSETS | $259,230,089 |
NET ASSETS consist of: | |
Paid-in capital | $ 303,612,150 |
Par value | 81,000 |
Accumulated distributable earnings (loss) | (44,463,061) |
NET ASSETS | $259,230,089 |
NET ASSET VALUE, per share | $32.00 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 8,100,002 |
INVESTMENT INCOME: | ||
Interest | $ 14,556,884 | |
Foreign withholding tax | (366,321) | |
Total investment income | 14,190,563 | |
EXPENSES: | ||
Investment advisory fees | 2,233,528 | |
Total expenses | 2,233,528 | |
NET INVESTMENT INCOME (LOSS) | 11,957,035 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (6,919,616) | |
Forward foreign currency contracts | (346,814) | |
Foreign currency transactions | 918,408 | |
Foreign capital gains tax | (784) | |
Net realized gain (loss) | (6,348,806) | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | (18,039,289) | |
Forward foreign currency contracts | 13,873 | |
Foreign currency translation | (251,151) | |
Deferred foreign capital gains tax | (15,949) | |
Net change in unrealized appreciation (depreciation) | (18,292,516) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (24,641,322) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(12,684,287) |
Year Ended 10/31/2021 | Year Ended 10/31/2020 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 11,957,035 | $ 8,135,607 | |
Net realized gain (loss) | (6,348,806) | (14,636,929) | |
Net change in unrealized appreciation (depreciation) | (18,292,516) | (12,073,229) | |
Net increase (decrease) in net assets resulting from operations | (12,684,287) | (18,574,551) | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (11,218,417) | (181,578) | |
Return of capital | (3,557,692) | (9,530,411) | |
Total distributions to shareholders | (14,776,109) | (9,711,989) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 139,192,070 | 115,772,198 | |
Cost of shares redeemed | (32,886,326) | (55,145,671) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 106,305,744 | 60,626,527 | |
Total increase (decrease) in net assets | 78,845,348 | 32,339,987 | |
NET ASSETS: | |||
Beginning of period | 180,384,741 | 148,044,754 | |
End of period | $259,230,089 | $180,384,741 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 5,250,002 | 3,850,002 | |
Shares sold | 3,800,000 | 3,100,000 | |
Shares redeemed | (950,000) | (1,700,000) | |
Shares outstanding, end of period | 8,100,002 | 5,250,002 |
Year Ended October 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 34.36 | $ 38.45 | $ 36.11 | $ 41.55 | $ 42.32 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 1.84 | 1.66 | 2.25 | 1.80 | 2.30 | ||||
Net realized and unrealized gain (loss) | (2.25) | (3.72) | 2.16 | (4.76) | (0.65) | ||||
Total from investment operations | (0.41) | (2.06) | 4.41 | (2.96) | 1.65 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.48) | (0.04) | (1.94) | (0.79) | (2.42) | ||||
Return of capital | (0.47) | (1.99) | (0.13) | (1.69) | — | ||||
Total distributions | (1.95) | (2.03) | (2.07) | (2.48) | (2.42) | ||||
Net asset value, end of period | $32.00 | $34.36 | $38.45 | $36.11 | $41.55 | ||||
Total return (a) | (1.53)% | (5.37)% | 12.46% | (7.55)% | 4.00% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 259,230 | $ 180,385 | $ 148,045 | $ 55,976 | $ 49,862 | ||||
Ratio of total expenses to average net assets | 0.85% | 0.85% | 0.85% | 0.85% (b) | 0.85% | ||||
Ratio of net investment income (loss) to average net assets | 4.55% | 4.82% | 4.91% | 4.63% (b) | 4.95% | ||||
Portfolio turnover rate (c) | 42% | 59% | 25% | 61% | 16% |
(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) | Includes excise tax. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | 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. |
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* | $ 471,513 | $ — | $ 471,513 | $ (119,741) | $ — | $ 351,772 | |||||
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* | $ (119,741) | $ — | $ (119,741) | $ 119,741 | $ — | $ — |
Distributions paid from: | 2021 | 2020 |
Ordinary income | $11,218,417 | $181,578 |
Capital gains | — | — |
Return of capital | 3,557,692 | 9,530,411 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (6,107,269) |
Net unrealized appreciation (depreciation) | (38,355,792) |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$(2,403,053) | $2,403,053 | $— |
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 | $ 471,513 | Unrealized depreciation on forward foreign currency contracts | $ 119,741 |
Statement of Operations Location | |
Currency Risk Exposure | |
Net realized gain (loss) on forward foreign currency contracts | $(346,814) |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | 13,873 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016) | 215 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 215 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 215 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 215 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 215 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
First Trust RiverFront Dynamic Europe ETF (RFEU)
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM)
For the Year Ended
October 31, 2021
2 | |
Fund Performance Overview | |
3 | |
5 | |
7 | |
9 | |
10 | |
14 | |
Portfolio of Investments | |
15 | |
20 | |
24 | |
28 | |
29 | |
30 | |
32 | |
35 | |
44 | |
45 | |
52 | |
54 |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 10/31/21 | 5 Years Ended 10/31/21 | Inception (4/13/16) to 10/31/21 | 5 Years Ended 10/31/21 | Inception (4/13/16) to 10/31/21 | ||
Fund Performance | ||||||
NAV | 35.11% | 9.39% | 8.93% | 56.60% | 60.79% | |
Market Price | 35.96% | 9.53% | 9.07% | 57.64% | 61.94% | |
Index Performance | ||||||
MSCI EAFE Index | 34.18% | 9.79% | 9.11% | 59.55% | 62.21% |
Sector Allocation | % of Total Investments |
Industrials | 21.1% |
Health Care | 14.9 |
Financials | 14.2 |
Consumer Discretionary | 12.7 |
Information Technology | 10.9 |
Consumer Staples | 6.8 |
Materials | 6.7 |
Real Estate | 4.9 |
Utilities | 3.5 |
Communication Services | 3.0 |
Energy | 0.6 |
Other * | 0.7 |
Total | 100.0% |
* | Exchange-traded fund with holdings representing multiple sectors. |
Fund Allocation | % of Net Assets |
Common Stocks | 95.5% |
Real Estate Investment Trusts | 3.1 |
Exchange-Traded Funds | 0.7 |
Net Other Assets and Liabilities(1) | 0.7 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Nestle S.A. | 3.3% |
ASML Holding N.V. | 2.5 |
Roche Holding AG | 2.5 |
Novo Nordisk A.S., Class B | 2.2 |
Sony Group Corp. | 1.8 |
Siemens AG | 1.7 |
GlaxoSmithKline PLC | 1.7 |
Schneider Electric SE | 1.6 |
Recruit Holdings Co., Ltd. | 1.6 |
Daimler AG | 1.5 |
Total | 20.4% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
(1) | Includes forward foreign currency contracts. |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 10/31/21 | 5 Years Ended 10/31/21 | Inception (4/13/16) to 10/31/21 | 5 Years Ended 10/31/21 | Inception (4/13/16) to 10/31/21 | ||
Fund Performance | ||||||
NAV | 40.20% | 11.12% | 10.48% | 69.39% | 73.91% | |
Market Price | 40.81% | 11.01% | 10.54% | 68.61% | 74.39% | |
Index Performance | ||||||
MSCI Europe Index | 40.93% | 10.54% | 9.10% | 65.04% | 62.12% |
Sector Allocation | % of Total Investments |
Industrials | 20.8% |
Consumer Discretionary | 14.9 |
Financials | 13.3 |
Health Care | 13.1 |
Information Technology | 11.3 |
Consumer Staples | 8.7 |
Materials | 8.3 |
Utilities | 4.5 |
Real Estate | 2.9 |
Communication Services | 2.2 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Common Stocks | 97.3% |
Real Estate Investment Trusts | 1.4 |
Net Other Assets and Liabilities(1) | 1.3 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
ASML Holding N.V. | 4.2% |
LVMH Moet Hennessy Louis Vuitton SE | 3.1 |
Novo Nordisk A.S., Class B | 2.7 |
Nestle S.A. | 2.4 |
Siemens AG | 2.1 |
L’Oreal S.A. | 2.1 |
GlaxoSmithKline PLC | 2.0 |
Daimler AG | 1.8 |
British American Tobacco PLC | 1.7 |
Infineon Technologies AG | 1.6 |
Total | 23.7% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
(1) | Includes forward foreign currency contracts. |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 10/31/21 | 5 Years Ended 10/31/21 | Inception (6/14/16) to 10/31/21 | 5 Years Ended 10/31/21 | Inception (6/14/16) to 10/31/21 | ||
Fund Performance | ||||||
NAV | 12.01% | 6.60% | 8.82% | 37.66% | 57.65% | |
Market Price | 11.87% | 6.32% | 8.66% | 35.85% | 56.37% | |
Index Performance | ||||||
MSCI Emerging Markets Index | 16.96% | 9.39% | 11.40% | 56.67% | 78.75% |
Sector Allocation | % of Total Investments |
Information Technology | 29.6% |
Materials | 12.1 |
Financials | 12.1 |
Communication Services | 9.7 |
Consumer Discretionary | 6.7 |
Energy | 6.0 |
Consumer Staples | 4.7 |
Health Care | 4.5 |
Real Estate | 3.7 |
Industrials | 3.5 |
Utilities | 3.3 |
Other * | 4.1 |
Total | 100.0% |
* | Exchange-traded fund with holdings representing multiple sectors. |
Top Ten Holdings | % of Total Investments |
Taiwan Semiconductor Manufacturing Co., Ltd. | 7.8% |
Tencent Holdings Ltd. | 5.2 |
Samsung Electronics Co., Ltd. | 4.7 |
iShares MSCI Saudi Arabia ETF | 2.1 |
iShares Core MSCI Emerging Markets ETF | 2.0 |
Infosys Ltd. | 2.0 |
Housing Development Finance Corp., Ltd. | 1.8 |
SK Hynix, Inc. | 1.6 |
Tata Consultancy Services Ltd. | 1.5 |
Samsung Electronics Co., Ltd. (Preference Shares) | 1.5 |
Total | 30.2% |
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.
RFDI Market | 35.96% |
RFDI NAV | 35.11% |
Benchmark: MSCI EAFE Index | 34.18% |
• | Security Selection and Allocation to Sweden: The portfolio’s security selection in, and overweight to, Swedish stocks boosted relative returns during the period. |
• | Allocation to Japan: The portfolio’s underweight to Japanese equities was additive during the same period. |
• | Security Selection in the Netherlands: The portfolio’s security selection in the Netherlands was a positive contributor to the Fund’s return during the same period. |
• | Allocation to and Security Selection in France: The portfolio’s underweight to France, as well as its security selection in the country, dampened relative returns during the same period. |
• | Security Selection in Australia: The portfolio’s security selection in Australian equities hurt relative returns for the same period. |
• | Security Selection in Finland: The portfolio’s security selection in Finland negatively impacted the portfolio during the same period. |
RFEU Market | 40.81% |
RFEU NAV | 40.20% |
Benchmark: MSCI Europe Index | 40.93% |
• | Security Selection and Allocation to Sweden: The portfolio’s security selection in and overweight to Swedish stocks boosted relative returns for the same period. |
• | Security Selection and Allocation to the Netherlands: The portfolio’s security selection in, and overweight to, the Netherlands boosted relative returns for the same period. |
• | Security Selection in Denmark: The portfolio’s security selection in Denmark was additive during the same period. |
• | Security Selection in the United Kingdom: The portfolio’s security selection in the United Kingdom dampened relative returns for the same period. |
• | Security Selection and Allocation to France: The portfolio’s security selection in, and underweight to, French equities hurt relative returns for the same period. |
• | Allocation and Security Selection in Switzerland: The portfolio’s overweight to, and security selection, in Swiss equities negatively impacted the portfolio during the same period. |
RFEM Market | 11.87% |
RFEM NAV | 12.01% |
Benchmark: MSCI Emerging Markets Index | 16.96% |
• | Security Selection and Allocation to Cyprus: The portfolio’s security selection in, and overweight to, Cyprus helped relative returns during the period. |
• | Allocation to India: The portfolio’s overweight to India was additive for the same period. |
• | Allocation to Russia: The portfolio’s overweight to Russian equities was a positive contributor for the same period. |
• | Security Selection and Allocation to Hong Kong: The portfolio’s overweight to, and security selection, in Hong Kong equities hurt relative returns during the period. |
• | Security Selection in India: The portfolio’s security selection in India negatively impacted the portfolio during the period. |
• | Security Selection in Malaysia: The portfolio’s security selection in Malaysia dampened relative returns during the period. |
Beginning Account Value May 1, 2021 | Ending Account Value October 31, 2021 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust RiverFront Dynamic Developed International ETF (RFDI) | ||||
Actual | $1,000.00 | $1,074.10 | 0.83% | $4.34 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.02 | 0.83% | $4.23 |
First Trust RiverFront Dynamic Europe ETF (RFEU) | ||||
Actual | $1,000.00 | $1,076.30 | 0.83% | $4.34 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.02 | 0.83% | $4.23 |
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) | ||||
Actual | $1,000.00 | $927.20 | 0.95% | $4.61 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.42 | 0.95% | $4.84 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2021 through October 31, 2021), multiplied by 184/365 (to reflect the six-month period). |
Shares | Description | Value | ||
COMMON STOCKS (a) – 95.5% | ||||
Australia – 3.4% | ||||
76,674 | ALS Ltd. | $761,926 | ||
70,051 | BHP Group Ltd. | 1,927,615 | ||
8,923 | CSL Ltd. | 2,016,987 | ||
127,589 | Fortescue Metals Group Ltd. | 1,336,985 | ||
6,043,513 | ||||
Austria – 0.5% | ||||
28,613 | EVN AG | 807,070 | ||
Cayman Islands – 1.7% | ||||
528,630 | Xinyi Glass Holdings Ltd. | 1,491,348 | ||
674,916 | Xinyi Solar Holdings Ltd. | 1,412,201 | ||
2,903,549 | ||||
Denmark – 4.6% | ||||
722 | AP Moller - Maersk A.S., Class A | 1,976,945 | ||
2,831 | Genmab A.S. (b) | 1,268,781 | ||
34,291 | Novo Nordisk A.S., Class B | 3,753,093 | ||
15,305 | Novozymes A.S., Class B | 1,125,458 | ||
8,124,277 | ||||
Finland – 0.6% | ||||
19,120 | Neste Oyj | 1,065,130 | ||
France – 10.1% | ||||
15,022 | BioMerieux | 1,911,066 | ||
36,680 | BNP Paribas S.A. | 2,455,080 | ||
45,688 | Bouygues S.A. | 1,848,536 | ||
56,880 | Bureau Veritas S.A. | 1,805,585 | ||
5,895 | Danone S.A. | 384,004 | ||
1,150 | Hermes International | 1,821,943 | ||
3,060 | Kering S.A. | 2,292,917 | ||
54,432 | Metropole Television S.A. | 1,199,320 | ||
15,813 | Schneider Electric SE | 2,721,866 | ||
91,221 | Vivendi SE | 1,174,202 | ||
17,614,519 | ||||
Germany – 10.4% | ||||
11,690 | Continental AG (b) | 1,371,905 | ||
26,842 | Daimler AG | 2,660,457 | ||
8,459 | Hapag-Lloyd AG (c) (d) | 1,817,843 | ||
19,862 | HeidelbergCement AG | 1,495,645 | ||
11,314 | Nemetschek SE | 1,297,435 | ||
11,815 | SAP SE | 1,711,638 | ||
1,886 | Sartorius AG (Preference Shares) | 1,221,793 | ||
18,379 | Siemens AG | 2,980,406 | ||
34,212 | TLG Immobilien AG (b) | 1,251,728 | ||
5,792 | Volkswagen AG | 1,880,111 | ||
5,567 | Zalando SE (b) (c) (d) | 525,004 | ||
18,213,965 | ||||
Israel – 0.7% | ||||
10,064 | Check Point Software Technologies Ltd. (b) | 1,203,654 | ||
Italy – 2.7% | ||||
246,206 | A2A S.p.A. | 517,429 | ||
48,920 | Azimut Holding S.p.A. | 1,407,567 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Italy (Continued) | ||||
130,656 | BPER Banca | $286,142 | ||
21,066 | Recordati Industria Chimica e Farmaceutica S.p.A. | 1,317,946 | ||
226,771 | Snam S.p.A. | 1,283,735 | ||
4,812,819 | ||||
Japan – 22.9% | ||||
25,000 | Anritsu Corp. | 413,468 | ||
38,100 | Chugai Pharmaceutical Co., Ltd. | 1,419,703 | ||
2,800 | Daikin Industries Ltd. | 611,467 | ||
38,800 | Daiwa House Industry Co., Ltd. | 1,276,936 | ||
242,700 | Daiwa Securities Group, Inc. | 1,360,057 | ||
2,300 | Hoya Corp. | 337,508 | ||
59,100 | ITOCHU Corp. | 1,681,090 | ||
74,000 | Japan Exchange Group, Inc. | 1,748,796 | ||
22,600 | Kao Corp. | 1,275,197 | ||
22,300 | Kikkoman Corp. | 1,823,523 | ||
73,600 | Mitsubishi Chemical Holdings Corp. | 608,754 | ||
78,600 | Mitsubishi Electric Corp. | 1,051,678 | ||
289,218 | Mitsubishi UFJ Financial Group, Inc., ADR | 1,593,591 | ||
20,500 | NEC Corp. | 1,046,808 | ||
48,200 | Nihon M&A Center Holdings, Inc. | 1,473,806 | ||
2,225 | Nintendo Co., Ltd. | 979,996 | ||
18,800 | Nissan Chemical Corp. | 1,044,124 | ||
49,500 | Nomura Research Institute Ltd. | 1,971,748 | ||
102,200 | ORIX Corp. | 2,022,031 | ||
40,700 | Recruit Holdings Co., Ltd. | 2,703,930 | ||
54,000 | SBI Holdings, Inc. | 1,393,885 | ||
5,400 | Shimano, Inc. | 1,496,223 | ||
83,500 | Shinsei Bank Ltd. | 1,380,983 | ||
26,500 | Sony Group Corp. | 3,055,144 | ||
15,600 | Sumitomo Realty & Development Co., Ltd. | 562,544 | ||
40,400 | Suzuki Motor Corp. | 1,798,903 | ||
5,500 | Tokyo Electron Ltd. | 2,550,340 | ||
51,900 | Yamaha Motor Co., Ltd. | 1,441,224 | ||
40,123,457 | ||||
Jersey – 2.0% | ||||
14,079 | Ferguson PLC | 2,118,496 | ||
427,989 | Man Group PLC | 1,362,981 | ||
3,481,477 | ||||
Luxembourg – 1.7% | ||||
152,514 | B&M European Value Retail S.A. | 1,321,634 | ||
14,764 | Eurofins Scientific SE | 1,739,829 | ||
3,061,463 | ||||
Netherlands – 4.7% | ||||
750 | Adyen N.V. (b) (c) (d) | 2,263,304 | ||
5,458 | ASML Holding N.V. | 4,419,768 | ||
2,667 | Ferrari N.V. | 632,026 | ||
8,280 | Wolters Kluwer N.V. | 867,577 | ||
8,182,675 | ||||
New Zealand – 1.4% | ||||
53,409 | Fisher & Paykel Healthcare Corp., Ltd. | 1,194,497 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
New Zealand (Continued) | ||||
360,292 | Spark New Zealand Ltd. | $1,178,615 | ||
2,373,112 | ||||
Spain – 2.4% | ||||
590,864 | CaixaBank S.A. | 1,697,351 | ||
45,119 | EDP Renovaveis S.A. | 1,256,997 | ||
60,082 | Red Electrica Corp. S.A. | 1,250,881 | ||
4,205,229 | ||||
Sweden – 3.3% | ||||
55,171 | Indutrade AB | 1,605,407 | ||
74,743 | Investor AB, Class A | 1,727,758 | ||
47,783 | Lifco AB, Class B | 1,391,538 | ||
39,986 | Swedish Orphan Biovitrum AB (b) | 1,084,855 | ||
5,809,558 | ||||
Switzerland – 8.0% | ||||
5,936 | Kuehne + Nagel International AG | 1,869,101 | ||
43,183 | Nestle S.A. | 5,698,307 | ||
11,074 | Roche Holding AG | 4,282,164 | ||
3,567 | Roche Holding AG | 1,531,052 | ||
40,015 | UBS Group AG | 727,446 | ||
14,108,070 | ||||
United Kingdom – 14.4% | ||||
104,454 | 3i Group PLC | 1,949,845 | ||
34,532 | Admiral Group PLC | 1,356,327 | ||
19,575 | Ashtead Group PLC | 1,640,581 | ||
803,534 | Barclays PLC | 2,224,096 | ||
13,612 | Croda International PLC | 1,761,903 | ||
69,298 | Evraz PLC | 589,512 | ||
140,429 | GlaxoSmithKline PLC | 2,899,289 | ||
45,586 | Imperial Brands PLC | 962,003 | ||
14,316 | Intertek Group PLC | 959,036 | ||
124,699 | JD Sports Fashion PLC | 1,856,746 | ||
48,836 | RELX PLC | 1,513,133 | ||
228,446 | Rentokil Initial PLC | 1,839,572 | ||
65,581 | Rightmove PLC | 620,537 | ||
29,072 | Rio Tinto PLC | 1,814,463 | ||
68,575 | Sage Group (The) PLC | 667,074 | ||
43,352 | SSE PLC | 975,078 | ||
30,706 | Unilever PLC | 1,643,928 | ||
25,273,123 | ||||
Total Common Stocks | 167,406,660 | |||
(Cost $139,649,945) | ||||
REAL ESTATE INVESTMENT TRUSTS (a) – 3.1% | ||||
Australia – 1.0% | ||||
106,596 | Goodman Group | 1,756,092 | ||
Belgium – 0.9% | ||||
33,085 | Warehouses De Pauw CVA | 1,506,902 | ||
United Kingdom – 1.2% | ||||
90,759 | Safestore Holdings PLC | 1,492,983 |
Shares | Description | Value | ||
REAL ESTATE INVESTMENT TRUSTS (a) (Continued) | ||||
United Kingdom (Continued) | ||||
37,754 | Segro PLC | $667,812 | ||
2,160,795 | ||||
Total Real Estate Investment Trusts | 5,423,789 | |||
(Cost $3,919,969) | ||||
EXCHANGE-TRADED FUNDS (a) – 0.7% | ||||
United States – 0.7% | ||||
16,600 | iShares Core MSCI EAFE ETF | 1,270,066 | ||
(Cost $1,275,212) | ||||
Total Investments – 99.3% | 174,100,515 | |||
(Cost $144,845,126) (e) | ||||
Net Other Assets and Liabilities – 0.7% | 1,216,365 | |||
Net Assets – 100.0% | $175,316,880 |
Forward Foreign Currency Contracts | ||||||||||||||
Settlement Date | Counterparty | Amount Purchased | Amount Sold | Purchase Value as of 10/31/2021 | Sale Value as of 10/31/2021 | Unrealized Appreciation/ (Depreciation) | ||||||||
11/30/21 | BBH | USD | 11,598,000 | EUR | 9,983,258 | $ 11,598,000 | $ 11,546,932 | $ 51,068 | ||||||
11/30/21 | BBH | USD | 7,640,000 | JPY | 868,717,660 | 7,640,000 | 7,623,444 | 16,556 | ||||||
Net Unrealized Appreciation / (Depreciation) | $67,624 |
Counterparty Abbreviations | |
BBH | Brown Brothers Harriman and Co. |
(a) | Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
(b) | Non-income producing security. |
(c) | This security 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) | Aggregate cost for federal income tax purposes was $146,025,539. As of October 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $30,513,983 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $2,371,383. The net unrealized appreciation was $28,142,600. The amounts presented are inclusive of derivative contracts. |
ADR | American Depositary Receipt |
Total Value at 10/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 167,406,660 | $ 167,406,660 | $ — | $ — |
Real Estate Investment Trusts* | 5,423,789 | 5,423,789 | — | — |
Exchange-Traded Funds* | 1,270,066 | 1,270,066 | — | — |
Total Investments | 174,100,515 | 174,100,515 | — | — |
Forward Foreign Currency Contracts** | 67,624 | — | 67,624 | — |
Total | $ 174,168,139 | $ 174,100,515 | $ 67,624 | $— |
* | 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† |
EUR | 26.8% |
GBP | 18.5 |
JPY | 17.7 |
USD | 13.4 |
CHF | 8.1 |
DKK | 4.7 |
AUD | 4.5 |
SEK | 3.3 |
HKD | 1.7 |
NZD | 1.3 |
Total | 100.0% |
† | The weightings include the impact of currency forwards. |
Currency Abbreviations | |
AUD | Australian Dollar |
CHF | Swiss Franc |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound Sterling |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
USD | United States Dollar |
Shares | Description | Value | ||
COMMON STOCKS (a) – 97.3% | ||||
Australia – 0.9% | ||||
2,959 | Rio Tinto Ltd. | $200,977 | ||
Denmark – 5.5% | ||||
511 | Genmab A.S. (b) | 229,017 | ||
5,687 | Novo Nordisk A.S., Class B | 622,433 | ||
2,573 | Novozymes A.S., Class B | 189,206 | ||
1,558 | Pandora A.S. | 217,563 | ||
1,258,219 | ||||
Finland – 1.0% | ||||
7,385 | Fortum Oyj | 219,402 | ||
France – 16.6% | ||||
2,607 | Amundi S.A. (c) (d) | 232,205 | ||
1,484 | Arkema S.A. | 202,773 | ||
1,618 | BioMerieux | 205,838 | ||
3,227 | Bureau Veritas S.A. | 102,437 | ||
119 | Christian Dior SE | 93,200 | ||
8,796 | Electricite de France S.A. | 129,441 | ||
1,356 | EssilorLuxottica S.A. | 280,432 | ||
218 | Hermes International | 345,377 | ||
360 | Kering S.A. | 269,755 | ||
2,623 | Legrand S.A. | 285,753 | ||
1,054 | L’Oreal S.A. | 481,217 | ||
887 | LVMH Moet Hennessy Louis Vuitton SE | 694,382 | ||
1,050 | Sanofi | 104,909 | ||
393 | Sartorius Stedim Biotech | 216,341 | ||
980 | Schneider Electric SE | 168,686 | ||
3,812,746 | ||||
Germany – 16.2% | ||||
2,673 | Bechtle AG | 200,231 | ||
4,163 | Daimler AG | 412,618 | ||
20,723 | Deutsche Bank AG (b) | 267,011 | ||
4,826 | Deutsche Post AG | 298,580 | ||
22,813 | E.ON SE | 289,194 | ||
2,406 | HeidelbergCement AG | 181,176 | ||
7,868 | Infineon Technologies AG | 367,409 | ||
729 | Nemetschek SE | 83,598 | ||
1,567 | Puma SE | 194,369 | ||
2,261 | SAP SE | 327,551 | ||
2,974 | Siemens AG | 482,275 | ||
3,648 | TAG Immobilien AG | 110,825 | ||
5,693 | TLG Immobilien AG (b) | 208,292 | ||
784 | Volkswagen AG | 254,490 | ||
561 | Zalando SE (b) (c) (d) | 52,906 | ||
3,730,525 | ||||
Italy – 1.3% | ||||
50,263 | A2A S.p.A. | 105,633 | ||
6,423 | Azimut Holding S.p.A. | 184,808 | ||
290,441 | ||||
Jersey – 2.4% | ||||
5,517 | Experian PLC | 252,708 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Jersey (Continued) | ||||
2,010 | Ferguson PLC | $302,449 | ||
555,157 | ||||
Luxembourg – 1.9% | ||||
21,851 | B&M European Value Retail S.A. | 189,353 | ||
2,028 | Eurofins Scientific SE | 238,985 | ||
428,338 | ||||
Netherlands – 10.1% | ||||
104 | Adyen N.V. (b) (c) (d) | 313,845 | ||
1,182 | ASML Holding N.V. | 957,157 | ||
3,423 | ASR Nederland N.V. | 160,100 | ||
1,621 | BE Semiconductor Industries N.V. | 147,961 | ||
1,527 | Euronext N.V. (c) (d) | 171,932 | ||
271 | Ferrari N.V. | 64,221 | ||
9,217 | Koninklijke Ahold Delhaize N.V. | 299,721 | ||
1,990 | Wolters Kluwer N.V. | 208,512 | ||
2,323,449 | ||||
Spain – 4.1% | ||||
57,260 | Banco Santander S.A., ADR | 217,016 | ||
83,750 | CaixaBank S.A. | 240,585 | ||
61,633 | Telefonica S.A. | 268,212 | ||
50,839 | Telefonica S.A., ADR (b) | 221,150 | ||
946,963 | ||||
Sweden – 7.4% | ||||
4,171 | Atlas Copco AB, Class A | 267,997 | ||
4,027 | Atlas Copco AB, Class B | 217,809 | ||
4,104 | Industrivarden AB, Class C | 133,280 | ||
6,703 | Indutrade AB | 195,049 | ||
10,773 | Investor AB, Class A | 249,028 | ||
10,803 | Investor AB, Class B | 248,942 | ||
6,264 | Lifco AB, Class B | 182,420 | ||
9,257 | Volvo AB, Class B | 215,494 | ||
1,710,019 | ||||
Switzerland – 11.9% | ||||
335 | Geberit AG | 261,531 | ||
764 | Kuehne + Nagel International AG | 240,565 | ||
1,889 | Logitech International S.A. | 157,252 | ||
4,191 | Nestle S.A. | 553,032 | ||
1,954 | Novartis AG | 161,425 | ||
175 | Partners Group Holding AG | 305,332 | ||
884 | Roche Holding AG | 341,831 | ||
401 | Roche Holding AG | 172,120 | ||
340 | Schindler Holding AG | 87,191 | ||
62 | SGS S.A. | 183,373 | ||
806 | Sika AG | 272,892 | ||
2,736,544 | ||||
United Kingdom – 18.0% | ||||
14,416 | 3i Group PLC | 269,104 | ||
8,282 | Anglo American PLC | 315,378 | ||
895 | AstraZeneca PLC | 111,388 | ||
117,911 | Barclays PLC | 326,365 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
United Kingdom (Continued) | ||||
9,842 | Barratt Developments PLC | $89,301 | ||
11,033 | British American Tobacco PLC | 384,502 | ||
5,256 | Dunelm Group PLC | 92,000 | ||
21,730 | Evraz PLC | 184,855 | ||
22,089 | GlaxoSmithKline PLC | 456,048 | ||
3,453 | Hikma Pharmaceuticals PLC | 113,745 | ||
6,769 | IMI PLC | 151,369 | ||
12,383 | Imperial Brands PLC | 261,319 | ||
2,036 | Intertek Group PLC | 136,393 | ||
54,031 | Marks & Spencer Group PLC (b) | 135,761 | ||
57,118 | Melrose Industries PLC | 123,351 | ||
11,393 | RELX PLC | 353,000 | ||
5,559 | Rio Tinto PLC | 346,952 | ||
12,396 | SSE PLC | 278,812 | ||
4,129,643 | ||||
Total Common Stocks | 22,342,423 | |||
(Cost $22,616,522) | ||||
REAL ESTATE INVESTMENT TRUSTS (a) – 1.4% | ||||
Belgium – 0.6% | ||||
3,279 | Warehouses De Pauw CVA | 149,347 | ||
United Kingdom – 0.8% | ||||
58,447 | Tritax Big Box REIT PLC | 179,972 | ||
Total Real Estate Investment Trusts | 329,319 | |||
(Cost $327,256) | ||||
Total Investments – 98.7% | 22,671,742 | |||
(Cost $22,943,778) (e) | ||||
Net Other Assets and Liabilities – 1.3% | 294,454 | |||
Net Assets – 100.0% | $22,966,196 |
Forward Foreign Currency Contracts | ||||||||||||||
Settlement Date | Counterparty | Amount Purchased | Amount Sold | Purchase Value as of 10/31/2021 | Sale Value as of 10/31/2021 | Unrealized Appreciation/ (Depreciation) | ||||||||
11/30/21 | BBH | USD | 2,246,000 | EUR | 1,933,299 | $ 2,246,000 | $ 2,236,110 | $ 9,890 |
Counterparty Abbreviations | |
BBH | Brown Brothers Harriman and Co. |
(a) | Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
(b) | Non-income producing security. |
(c) | This security 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) | Aggregate cost for federal income tax purposes was $22,962,575. As of October 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $387,331 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $668,274. The net unrealized depreciation was $280,943. The amounts presented are inclusive of derivative contracts. |
ADR | American Depositary Receipt |
Total Value at 10/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 22,342,423 | $ 22,342,423 | $ — | $ — |
Real Estate Investment Trusts* | 329,319 | 329,319 | — | — |
Total Investments | 22,671,742 | 22,671,742 | — | — |
Forward Foreign Currency Contracts** | 9,890 | — | 9,890 | — |
Total | $ 22,681,632 | $ 22,671,742 | $ 9,890 | $— |
* | 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† |
EUR | 39.9% |
GBP | 22.3 |
CHF | 12.1 |
USD | 11.8 |
SEK | 7.5 |
DKK | 5.5 |
AUD | 0.9 |
Total | 100.0% |
† | The weightings include the impact of currency forwards. |
Currency Abbreviations | |
AUD | Australian Dollar |
CHF | Swiss Franc |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound Sterling |
SEK | Swedish Krona |
USD | United States Dollar |
Shares | Description | Value | ||
COMMON STOCKS (a) – 96.3% | ||||
Argentina – 0.7% | ||||
29,638 | Grupo Financiero Galicia S.A., ADR | $315,052 | ||
Bermuda – 1.7% | ||||
108,343 | China Gas Holdings Ltd. | 270,980 | ||
2,114,856 | Gemdale Properties & Investment Corp., Ltd. | 206,579 | ||
116,389 | Hopson Development Holdings Ltd. | 317,880 | ||
795,439 | ||||
Brazil – 6.7% | ||||
83,861 | Cia Siderurgica Nacional S.A., ADR | 342,153 | ||
88,433 | CPFL Energia S.A. | 412,253 | ||
82,814 | Equatorial Energia S.A. | 335,728 | ||
117,312 | Itau Unibanco Holding S.A., ADR | 477,460 | ||
48,693 | Petroleo Brasileiro S.A., ADR | 478,165 | ||
50,365 | Petroleo Brasileiro S.A., ADR | 484,008 | ||
15,580 | Vale S.A. | 197,683 | ||
35,835 | Vale S.A., ADR | 456,179 | ||
3,183,629 | ||||
Cayman Islands – 17.8% | ||||
35,400 | ANTA Sports Products Ltd. | 553,260 | ||
268,241 | Asia Cement China Holdings Corp. | 204,443 | ||
4,650 | Autohome, Inc., ADR | 182,977 | ||
56,101 | China Conch Venture Holdings Ltd. | 273,998 | ||
348,973 | China Resources Cement Holdings Ltd. | 294,231 | ||
518,495 | Country Garden Holdings Co., Ltd. | 487,141 | ||
31,754 | ENN Energy Holdings Ltd. | 549,741 | ||
10,519 | Hello Group, Inc., ADR | 130,961 | ||
177,444 | Logan Group Co., Ltd. | 178,117 | ||
11,605 | Meituan, Class B (b) (c) (d) | 402,122 | ||
387,672 | Seazen Group Ltd. | 307,427 | ||
694,000 | Sino Biopharmaceutical Ltd. | 513,777 | ||
79,219 | Sunac China Holdings Ltd. | 170,646 | ||
22,306 | Sunny Optical Technology Group Co., Ltd. | 602,625 | ||
40,089 | Tencent Holdings Ltd. | 2,478,351 | ||
16,176 | Vipshop Holdings Ltd., ADR (b) | 180,524 | ||
236,000 | Yadea Group Holdings Ltd. (c) (d) | 406,452 | ||
57,535 | Zhongsheng Group Holdings Ltd. | 520,222 | ||
8,437,015 | ||||
China – 3.2% | ||||
58,349 | Anhui Conch Cement Co., Ltd., Class H | 290,226 | ||
805,460 | China Construction Bank Corp., Class H | 547,636 | ||
55,939 | China Life Insurance Co., Ltd., Class H | 97,492 | ||
124,375 | Guangzhou R&F Properties Co., Ltd., Class H | 78,009 | ||
69,317 | Shanghai Baosight Software Co., Ltd., Class B | 277,060 | ||
114,352 | Weichai Power Co., Ltd., Class H | 205,468 | ||
1,495,891 | ||||
Colombia – 0.6% | ||||
361,955 | Ecopetrol S.A. | 273,648 | ||
Cyprus – 1.1% | ||||
5,187 | TCS Group Holding PLC, GDR (c) | 531,149 | ||
Hong Kong – 2.3% | ||||
339,997 | CSPC Pharmaceutical Group Ltd. | 355,707 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Hong Kong (Continued) | ||||
536,000 | Lenovo Group Ltd. | $582,811 | ||
128,758 | Sinotruk Hong Kong Ltd. | 177,734 | ||
1,116,252 | ||||
India – 17.1% | ||||
14,000 | Asian Paints Ltd. | 579,603 | ||
29,330 | Aurobindo Pharma Ltd. | 270,009 | ||
86,479 | Bharat Petroleum Corp., Ltd. | 482,394 | ||
6,880 | Britannia Industries Ltd. | 337,724 | ||
49,562 | Dabur India Ltd. | 387,759 | ||
8,378 | Divi’s Laboratories Ltd. | 576,218 | ||
37,060 | HCL Technologies Ltd. | 566,061 | ||
5,984 | HDFC Asset Management Co., Ltd. (c) (d) | 211,546 | ||
19,839 | Hindustan Unilever Ltd. | 634,040 | ||
22,464 | Housing Development Finance Corp., Ltd. | 853,396 | ||
41,972 | Infosys Ltd. | 934,798 | ||
22,108 | Infosys Ltd., ADR | 492,566 | ||
3,661 | Jubilant Foodworks Ltd. | 180,373 | ||
5,850 | Reliance Industries Ltd. | 198,141 | ||
37,910 | Sun TV Network Ltd. | 284,017 | ||
16,029 | Tata Consultancy Services Ltd. | 727,319 | ||
25,870 | Vedanta Ltd., ADR | 408,487 | ||
8,124,451 | ||||
Indonesia – 0.7% | ||||
513,551 | Indofood CBP Sukses Makmur Tbk PT | 318,987 | ||
Israel – 1.1% | ||||
13,813 | Mizrahi Tefahot Bank Ltd. | 501,561 | ||
Malaysia – 0.9% | ||||
164,088 | Supermax Corp. Bhd | 76,080 | ||
504,300 | Top Glove Corp. Bhd | 331,248 | ||
407,328 | ||||
Mexico – 2.6% | ||||
769,949 | America Movil S.A.B. de C.V., Series L | 685,505 | ||
163,430 | Wal-Mart de Mexico S.A.B. de C.V. | 569,401 | ||
1,254,906 | ||||
Poland – 0.7% | ||||
14,445 | Asseco Poland S.A. | 355,726 | ||
Russia – 3.1% | ||||
12,380 | MMC Norilsk Nickel PJSC, ADR | 387,370 | ||
60,773 | Rosneft Oil Co. PJSC | 545,690 | ||
24,237 | Severstal PAO | 550,736 | ||
1,483,796 | ||||
South Africa – 4.7% | ||||
4,721 | Capitec Bank Holdings Ltd. | 527,510 | ||
37,048 | Exxaro Resources Ltd. | 405,648 | ||
39,337 | Impala Platinum Holdings Ltd. | 509,874 | ||
14,908 | Kumba Iron Ore Ltd. | 453,047 | ||
36,261 | Vodacom Group Ltd. | 321,851 | ||
2,217,930 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
South Korea – 15.4% | ||||
4,570 | Coway Co., Ltd. | $310,520 | ||
21,774 | Daishin Securities Co., Ltd | 387,574 | ||
8,341 | Kia Corp. | 607,436 | ||
4,234 | KIWOOM Securities Co., Ltd. | 380,446 | ||
2,684 | Kumho Petrochemical Co., Ltd. | 395,060 | ||
976 | LG Chem Ltd. | 698,246 | ||
936 | Mirae Asset Securities Co., Ltd. | 6,953 | ||
35,379 | NH Investment & Securities Co., Ltd. | 398,129 | ||
37,306 | Samsung Electronics Co., Ltd. | 2,228,367 | ||
12,791 | Samsung Electronics Co., Ltd. (Preference Shares) | 700,547 | ||
9,768 | Samsung Securities Co., Ltd. | 395,802 | ||
8,880 | SK Hynix, Inc. | 782,714 | ||
7,291,794 | ||||
Taiwan – 14.4% | ||||
29,718 | Accton Technology Corp. | 260,220 | ||
162,209 | Evergreen Marine Corp. Taiwan Ltd. | 580,391 | ||
23,823 | IBF Financial Holdings Co., Ltd. | 13,621 | ||
9,914 | International Games System Co., Ltd. | 254,548 | ||
5,550 | MediaTek, Inc. | 182,216 | ||
29,681 | Realtek Semiconductor Corp. | 532,600 | ||
175,653 | Taiwan Semiconductor Manufacturing Co., Ltd. | 3,726,748 | ||
4,241 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 482,202 | ||
20,968 | United Integrated Services Co., Ltd. | 138,361 | ||
307,149 | United Microelectronics Corp. | 640,619 | ||
6,811,526 | ||||
Turkey – 1.5% | ||||
372,054 | Turk Telekomunikasyon A.S. | 291,405 | ||
320,618 | Turkiye Sise ve Cam Fabrikalari A.S. | 288,803 | ||
310,517 | Turkiye Vakiflar Bankasi TAO, Class D (b) | 111,106 | ||
691,314 | ||||
Total Common Stocks | 45,607,394 | |||
(Cost $37,962,270) | ||||
EXCHANGE-TRADED FUNDS (a) – 4.1% | ||||
United States – 4.1% | ||||
15,614 | iShares Core MSCI Emerging Markets ETF | 974,782 | ||
22,622 | iShares MSCI Saudi Arabia ETF | 978,175 | ||
Total Exchange-Traded Funds | 1,952,957 | |||
(Cost $1,975,738) | ||||
Total Investments – 100.4% | 47,560,351 | |||
(Cost $39,938,008) (e) | ||||
Net Other Assets and Liabilities – (0.4)% | (187,873) | |||
Net Assets – 100.0% | $47,372,478 |
(a) | Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
(b) | Non-income producing security. |
(c) | This security 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) | Aggregate cost for federal income tax purposes was $40,014,581. As of October 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $10,884,729 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,338,959. The net unrealized appreciation was $7,545,770. |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
Total Value at 10/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 45,607,394 | $ 45,607,394 | $ — | $ — |
Exchange-Traded Funds* | 1,952,957 | 1,952,957 | — | — |
Total Investments | $ 47,560,351 | $ 47,560,351 | $— | $— |
* | See Portfolio of Investments for country breakout. |
Currency Exposure Diversification | % of Total Investments |
Hong Kong Dollar | 23.3% |
United States Dollar | 15.9 |
South Korean Won | 15.3 |
Indian Rupee | 15.2 |
New Taiwan Dollar | 13.3 |
South African Rand | 4.7 |
Mexican Peso | 2.6 |
Russian Ruble | 2.3 |
Brazilian Real | 2.0 |
Turkish Lira | 1.4 |
Israeli Shekel | 1.1 |
Malaysian Ringgit | 0.9 |
Polish Zloty | 0.7 |
Indonesian Rupiah | 0.7 |
Colombian Peso | 0.6 |
Total | 100.0% |
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 | $ 174,100,515 | $ 22,671,742 | $ 47,560,351 | ||
Cash | 1,792,069 | 107,613 | — | ||
Foreign currency | 15,954 | 2,963 | 2,438,977 | ||
Unrealized appreciation on forward foreign currency contracts | 67,624 | 9,890 | — | ||
Receivables: | |||||
Dividend reclaims | 604,559 | 176,444 | 3,473 | ||
Dividends | 138,366 | 14,861 | 99,468 | ||
Investment securities sold | 44,005 | 209,287 | 1,870,717 | ||
Prepaid foreign capital gains tax | — | — | 602 | ||
Total Assets | 176,763,092 | 23,192,800 | 51,973,588 | ||
LIABILITIES: | |||||
Due to authorized participant | 34,551 | 209,292 | — | ||
Due to custodian | — | — | 3,343,122 | ||
Payables: | |||||
Investment securities purchased | 1,275,212 | — | 950,964 | ||
Investment advisory fees | 120,396 | 17,312 | 38,816 | ||
Deferred foreign capital gains tax | — | — | 268,208 | ||
Other liabilities | 16,053 | — | — | ||
Total Liabilities | 1,446,212 | 226,604 | 4,601,110 | ||
NET ASSETS | $175,316,880 | $22,966,196 | $47,372,478 | ||
NET ASSETS consist of: | |||||
Paid-in capital | $ 213,416,924 | $ 38,983,002 | $ 62,469,331 | ||
Par value | 24,174 | 3,000 | 7,000 | ||
Accumulated distributable earnings (loss) | (38,124,218) | (16,019,806) | (15,103,853) | ||
NET ASSETS | $175,316,880 | $22,966,196 | $47,372,478 | ||
NET ASSET VALUE, per share | $72.52 | $76.55 | $67.67 | ||
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 2,417,387 | 300,002 | 700,002 | ||
Investments, at cost | $144,845,126 | $22,943,778 | $39,938,008 | ||
Foreign currency, at cost (proceeds) | $15,938 | $2,978 | $2,438,960 |
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 | $ 4,658,940 | $ 487,944 | $ 1,852,001 | |||
Interest | 48 | 11 | 25 | |||
Foreign withholding tax | (386,804) | (53,300) | (184,904) | |||
Other | 31 | 66 | 28 | |||
Total investment income | 4,272,215 | 434,721 | 1,667,150 | |||
EXPENSES: | ||||||
Investment advisory fees | 1,351,548 | 169,960 | 504,464 | |||
Total expenses | 1,351,548 | 169,960 | 504,464 | |||
NET INVESTMENT INCOME (LOSS) | 2,920,667 | 264,761 | 1,162,686 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||||
Net realized gain (loss) on: | ||||||
Investments | 14,665,293 | (43,144) | 2,849,099 | |||
In-kind redemptions | 5,169,717 | 7,466,757 | 459,185 | |||
Foreign currency transactions | 36,102 | 13,682 | 5,713 | |||
Foreign capital gains tax | — | — | 601 | |||
Net realized gain (loss) | 19,871,112 | 7,437,295 | 3,314,598 | |||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investments | 22,618,243 | (1,023,853) | 1,580,649 | |||
Forward foreign currency contracts | 67,624 | 9,890 | — | |||
Foreign currency translation | (19,033) | (5,577) | (7,805) | |||
Deferred foreign capital gains tax | — | — | (262,471) | |||
Net change in unrealized appreciation (depreciation) | 22,666,834 | (1,019,540) | 1,310,373 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 42,537,946 | 6,417,755 | 4,624,971 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 45,458,613 | $ 6,682,516 | $ 5,787,657 |
First Trust RiverFront Dynamic Developed International ETF (RFDI) | First Trust RiverFront Dynamic Europe ETF (RFEU) | ||||||
Year Ended 10/31/2021 | Year Ended 10/31/2020 | Year Ended 10/31/2021 | Year Ended 10/31/2020 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 2,920,667 | $ 2,511,497 | $ 264,761 | $ 431,351 | |||
Net realized gain (loss) | 19,871,112 | (23,237,508) | 7,437,295 | (3,230,185) | |||
Net change in unrealized appreciation (depreciation) | 22,666,834 | 7,324,702 | (1,019,540) | 1,137,457 | |||
Net increase (decrease) in net assets resulting from operations | 45,458,613 | (13,401,309) | 6,682,516 | (1,661,377) | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (2,850,031) | (3,529,632) | (420,473) | (536,232) | |||
Return of capital | — | — | — | — | |||
Total distributions to shareholders | (2,850,031) | (3,529,632) | (420,473) | (536,232) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 12,917,390 | 7,194,088 | 62,017,714 | — | |||
Proceeds from shares issued through reorganization | 8,762,219 | — | — | — | |||
Cost of shares redeemed | (20,020,290) | (104,447,692) | (62,042,949) | (19,739,261) | |||
Net increase (decrease) in net assets resulting from shareholder transactions | 1,659,319 | (97,253,604) | (25,235) | (19,739,261) | |||
Total increase (decrease) in net assets | 44,267,901 | (114,184,545) | 6,236,808 | (21,936,870) | |||
NET ASSETS: | |||||||
Beginning of period | 131,048,979 | 245,233,524 | 16,729,388 | 38,666,258 | |||
End of period | $ 175,316,880 | $ 131,048,979 | $ 22,966,196 | $ 16,729,388 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 2,400,002 | 4,250,002 | 300,002 | 650,002 | |||
Shares sold | 200,000 | 150,000 | 800,000 | — | |||
Shares issued through reorganization | 117,432 | — | — | — | |||
Shares redeemed | (300,047) | (2,000,000) | (800,000) | (350,000) | |||
Shares outstanding, end of period | 2,417,387 | 2,400,002 | 300,002 | 300,002 |
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) | ||
Year Ended 10/31/2021 | Year Ended 10/31/2020 | |
$ 1,162,686 | $ 1,103,272 | |
3,314,598 | (5,941,644) | |
1,310,373 | 5,412,789 | |
5,787,657 | 574,417 | |
(990,423) | (1,856,301) | |
— | (399,153) | |
(990,423) | (2,255,454) | |
— | 3,087,604 | |
— | — | |
(3,602,441) | (28,146,130) | |
(3,602,441) | (25,058,526) | |
1,194,793 | (26,739,563) | |
46,177,685 | 72,917,248 | |
$47,372,478 | $ 46,177,685 | |
750,002 | 1,200,002 | |
— | 50,000 | |
— | — | |
(50,000) | (500,000) | |
700,002 | 750,002 |
Year Ended October 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 54.60 | $ 57.70 | $ 55.84 | $ 63.96 | $ 51.36 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 1.21 | 0.85 | 1.54 | 1.34 | 0.82 | ||||
Net realized and unrealized gain (loss) | 17.89 | (2.84) | 1.81 | (8.00) | 12.73 | ||||
Total from investment operations | 19.10 | (1.99) | 3.35 | (6.66) | 13.55 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.18) | (1.11) | (1.49) | (1.44) | (0.71) | ||||
Net realized gain | — | — | — | (0.02) | (0.24) | ||||
Total distributions | (1.18) | (1.11) | (1.49) | (1.46) | (0.95) | ||||
Net asset value, end of period | $72.52 | $54.60 | $57.70 | $55.84 | $63.96 | ||||
Total return (a) | 35.11% | (3.45)% | 6.12% | (10.65)% | 26.60% (b) | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 175,317 | $ 131,049 | $ 245,234 | $ 499,726 | $ 444,522 | ||||
Ratio of total expenses to average net assets | 0.83% | 0.83% | 0.83% | 0.83% | 0.83% | ||||
Ratio of net investment income (loss) to average net assets | 1.79% | 1.43% | 2.51% | 2.28% | 1.86% | ||||
Portfolio turnover rate (c) | 45% | 96% | 87% | 133% | 106% |
(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 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. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Year Ended October 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 55.76 | $ 59.49 | $ 57.23 | $ 65.25 | $ 51.17 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.98 | 0.96 | 1.78 | 1.48 | 0.82 | ||||
Net realized and unrealized gain (loss) | 21.31 | (3.50) | 2.20 | (7.97) | 14.86 | ||||
Total from investment operations | 22.29 | (2.54) | 3.98 | (6.49) | 15.68 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.50) | (1.19) | (1.72) | (1.53) | (0.79) | ||||
Net realized gain | — | — | — | — | (0.81) | ||||
Total distributions | (1.50) | (1.19) | (1.72) | (1.53) | (1.60) | ||||
Net asset value, end of period | $76.55 | $55.76 | $59.49 | $57.23 | $65.25 | ||||
Total return (a) | 40.20% | (4.22)% | 7.01% | (10.16)% | 31.21% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 22,966 | $ 16,729 | $ 38,666 | $ 88,706 | $ 123,980 | ||||
Ratio of total expenses to average net assets | 0.83% | 0.83% | 0.83% | 0.83% | 0.83% | ||||
Ratio of net investment income (loss) to average net assets | 1.29% | 1.59% | 2.77% | 2.45% | 1.71% | ||||
Portfolio turnover rate (b) | 50% | 87% | 81% | 130% | 110% |
(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) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Year Ended October 31, | |||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 61.57 | $ 60.76 | $ 56.40 | $ 68.64 | $ 56.27 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 1.61 | 1.10 | 1.79 | 1.20 | 0.71 | ||||
Net realized and unrealized gain (loss) | 5.85 | 1.81 | 3.94 | (11.87) | 13.70 | ||||
Total from investment operations | 7.46 | 2.91 | 5.73 | (10.67) | 14.41 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.36) | (1.73) | (1.37) | (1.18) | (0.77) | ||||
Net realized gain | — | — | — | (0.30) | (1.27) | ||||
Return of capital | — | (0.37) | — | (0.09) | — | ||||
Total distributions | (1.36) | (2.10) | (1.37) | (1.57) | (2.04) | ||||
Net asset value, end of period | $67.67 | $61.57 | $60.76 | $56.40 | $68.64 | ||||
Total return (a) | 12.01% | 4.74% | 10.32% | (15.92)% | 26.49% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 47,372 | $ 46,178 | $ 72,917 | $ 101,512 | $ 75,506 | ||||
Ratio of total expenses to average net assets | 0.95% | 0.95% | 0.95% | 0.95% | 0.95% | ||||
Ratio of net investment income (loss) to average net assets | 2.19% | 1.92% | 2.60% | 1.90% | 1.56% | ||||
Portfolio turnover rate (b) | 32% | 89% | 116% | 126% | 87% |
(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) | 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 Developed International ETF | $ 2,850,031 | $ — | $ — | ||
First Trust RiverFront Dynamic Europe ETF | 420,473 | — | — | ||
First Trust RiverFront Dynamic Emerging Markets ETF | 990,423 | — | — |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |||
First Trust RiverFront Dynamic Developed International ETF | $ 3,529,632 | $ — | $ — | ||
First Trust RiverFront Dynamic Europe ETF | 536,232 | — | — | ||
First Trust RiverFront Dynamic Emerging Markets ETF | 1,856,301 | — | 399,153 |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust RiverFront Dynamic Developed International ETF | $ 2,592,643 | $ (68,361,413) | $ 27,644,552 | ||
First Trust RiverFront Dynamic Europe ETF | 42,150 | (15,787,044) | (274,912) | ||
First Trust RiverFront Dynamic Emerging Markets ETF | 176,153 | (22,554,889) | 7,274,883 |
Non-Expiring Capital Loss Carryforward | |
First Trust RiverFront Dynamic Developed International ETF | $ 68,361,413 |
First Trust RiverFront Dynamic Europe ETF | 15,787,044 |
First Trust RiverFront Dynamic Emerging Markets ETF | 22,554,889 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | |||
First Trust RiverFront Dynamic Developed International ETF | $ 1,296,264 | $ (6,455,833) | $ 5,159,569 | ||
First Trust RiverFront Dynamic Europe ETF | 27,416 | (7,478,182) | 7,450,766 | ||
First Trust RiverFront Dynamic Emerging Markets ETF | 6,705 | (465,499) | 458,794 |
Acquired Fund | Shares Redeemed | Net Assets on August 27, 2021 | Unrealized Appreciation (Depreciation) | Accumulated Net Realized Gain (Loss) | Share Conversion Ratio | Acquiring (Surviving) Fund | Shares Issued | Net Assets on August 27, 2021* | ||||||||
RFAP | 150,002 | $8,762,219 | $514,662 | $(8,654,877) | 0.782867 | RFDI | 117,432 | $171,615,711 |
Net Investment Income | Net Realized and Change in Unrealized Gain (Loss) on Investments | Net Increase (Decrease) from Operations | ||||
Acquired Fund for the period November 1, 2020 to August 27, 2021 RFAP | $89,635 | $1,793,143 | $1,882,778 | |||
Acquiring Fund for the fiscal year ended October 31, 2021 RFDI | 2,920,667 | 43,052,608 | 45,973,275 | |||
Combined Total | $3,010,302 | $44,845,751 | $47,856,053 |
Purchases | Sales | ||
First Trust RiverFront Dynamic Developed International ETF | $ 71,961,558 | $ 71,398,770 | |
First Trust RiverFront Dynamic Europe ETF | 9,637,670 | 9,617,664 | |
First Trust RiverFront Dynamic Emerging Markets ETF | 16,867,115 | 17,475,848 | |
Purchases | Sales | ||
First Trust RiverFront Dynamic Developed International ETF | $ 12,005,217 | $ 19,574,218 | |
First Trust RiverFront Dynamic Europe ETF | 60,283,749 | 60,425,258 | |
First Trust RiverFront Dynamic Emerging Markets ETF | — | 2,198,788 |
Asset Derivatives | Liability Derivatives | |||||||||||
Fund | Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value | ||||||
RFDI | Forward foreign currency contracts | Currency Risk | Unrealized appreciation on forward foreign currency contracts | $ 67,624 | Unrealized depreciation on forward foreign currency contracts | $ — | ||||||
RFEU | Forward foreign currency contracts | Currency Risk | Unrealized appreciation on forward foreign currency contracts | $ 9,890 | Unrealized depreciation on forward currency currency contracts | $ — |
Equity Risk | ||
Statements of Operations Location | RFDI | RFEU |
Currency Risk Exposure | ||
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | $67,624 | $9,890 |
Opened | Closed | ||
First Trust RiverFront Dynamic Developed International ETF | $19,238,000 | $ — | |
First Trust RiverFront Dynamic Europe ETF | 2,246,000 | — |
Dividends Received Deduction | |
First Trust RiverFront Dynamic Developed International ETF | 0.00% |
First Trust RiverFront Dynamic Europe ETF | 0.00% |
First Trust RiverFront Dynamic Emerging Markets ETF | 0.00% |
Qualified Dividend Income | |
First Trust RiverFront Dynamic Developed International ETF | 72.20% |
First Trust RiverFront Dynamic Europe ETF | 100.00% |
First Trust RiverFront Dynamic Emerging Markets ETF | 84.35% |
Gross Foreign Income | Foreign Taxes Paid | ||||||
Amount | Per Share | Amount | Per Share | ||||
First Trust RiverFront Dynamic Developed International ETF | $ 4,599,645 | $ 1.90 | $ 294,289 | $ 0.12 | |||
First Trust RiverFront Dynamic Europe ETF | 478,865 | 1.60 | 44,749 | 0.15 | |||
First Trust RiverFront Dynamic Emerging Markets ETF | 1,849,308 | 2.64 | 182,235 | 0.26 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016) | 215 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 215 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 215 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 215 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 215 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Year Ended
October 31, 2021
1 | |
2 | |
5 | |
7 | |
8 | |
14 | |
15 | |
16 | |
17 | |
18 | |
24 | |
25 | |
31 | |
33 |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 10/31/21 | Inception (8/22/17) to 10/31/21 | Inception (8/22/17) to 10/31/21 | |
Fund Performance | |||
NAV | 10.91% | 5.82% | 26.77% |
Market Price | 11.05% | 5.87% | 27.03% |
Index Performance | |||
Blended Benchmark(1) | 8.34% | 6.31% | 29.22% |
ICE BofA US Investment Grade Institutional Capital Securities Index | 6.56% | 5.87% | 27.02% |
(1) | The Blended Benchmark consists of a 45/40/15 blend of the ICE BofA US Investment Grade Institutional Capital Securities Index, the ICE USD Contingent Capital Index and the ICE BofA US High Yield Institutional Capital Securities Index. The Blended Benchmark is intended to reflect the proportional market cap of each segment within the institutional market. On July 6, 2021, the Fund’s benchmark changed from the ICE BofA US Investment Grade Institutional Capital Securities Index to the Blended Benchmark, because the Advisor believes that the Blended Benchmark better reflects the investment strategies of the Fund. The Blended Benchmark returns are calculated by using the monthly returns of the three indices during each period shown above. At the beginning of each month the three indices are rebalanced to a 45/40/15 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 Benchmark for each period shown above. |
Sector Allocation | % of Total Investments |
Financials | 78.9% |
Energy | 6.7 |
Utilities | 6.5 |
Industrials | 4.5 |
Consumer Staples | 2.6 |
Communication Services | 0.8 |
Total | 100.0% |
Credit Quality(2) | % of Total Investments |
A | 0.9% |
BBB+ | 12.6 |
BBB | 24.9 |
BBB- | 28.5 |
BB+ | 21.5 |
BB | 7.0 |
BB- | 2.6 |
B+ | 1.2 |
Not Rated | 0.8 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc. | 2.7% |
Barclays PLC | 2.4 |
AerCap Holdings N.V. | 2.2 |
Emera, Inc., Series 16-A | 1.7 |
Enbridge, Inc., Series 16-A | 1.7 |
Truist Financial Corp., Series N | 1.7 |
Progressive (The) Corp., Series B | 1.6 |
Southern California Edison Co., Series E | 1.4 |
Land O’Lakes, Inc. | 1.4 |
Wells Fargo & Co., Series L | 1.4 |
Total | 18.2% |
Country Allocation | % of Total Investments |
United States | 52.0% |
United Kingdom | 9.8 |
France | 6.1 |
Canada | 5.4 |
Switzerland | 5.0 |
Netherlands | 4.2 |
Australia | 3.0 |
Multinational | 2.7 |
Italy | 2.3 |
Spain | 2.1 |
Bermuda | 1.8 |
Japan | 1.4 |
Germany | 1.3 |
Mexico | 1.0 |
Denmark | 0.8 |
Finland | 0.6 |
Sweden | 0.3 |
Chile | 0.2 |
Total | 100.0% |
(2) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the 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.
Beginning Account Value May 1, 2021 | Ending Account Value October 31, 2021 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Institutional Preferred Securities and Income ETF (FPEI) | ||||
Actual | $1,000.00 | $1,026.70 | 0.85% | $4.34 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2021 through October 31, 2021), multiplied by 184/365 (to reflect the six-month period). |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$100 PAR PREFERRED SECURITIES – 0.2% | ||||||||
Food Products – 0.2% | ||||||||
8,000 | Dairy Farmers of America, Inc. (a) | 7.88% | (b) | $804,000 | ||||
(Cost $807,000) | ||||||||
$1,000 PAR PREFERRED SECURITIES – 2.3% | ||||||||
Banks – 2.2% | ||||||||
3,142 | Bank of America Corp., Series L | 7.25% | (b) | 4,500,035 | ||||
4,205 | Wells Fargo & Co., Series L | 7.50% | (b) | 6,391,474 | ||||
10,891,509 | ||||||||
Food Products – 0.1% | ||||||||
400,000 | Land O’ Lakes, Inc. (c) | 7.25% | (b) | 434,138 | ||||
Total $1,000 Par Preferred Securities | 11,325,647 | |||||||
(Cost $10,809,485) | ||||||||
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES – 90.5% | ||||||||
Banks – 40.2% | ||||||||
$4,950,000 | Australia & New Zealand Banking Group Ltd. (a) (d) (e) | 6.75% | (b) | 5,697,178 | ||||
1,145,000 | Australia & New Zealand Banking Group Ltd. (c) (d) (e) | 6.75% | (b) | 1,317,832 | ||||
3,600,000 | Banco Bilbao Vizcaya Argentaria S.A., Series 9 (d) (e) | 6.50% | (b) | 3,870,000 | ||||
400,000 | Banco Mercantil del Norte S.A. (c) (d) (e) | 6.88% | (b) | 406,750 | ||||
900,000 | Banco Mercantil del Norte S.A. (a) (d) (e) | 7.50% | (b) | 989,172 | ||||
842,000 | Banco Mercantil del Norte S.A. (a) (d) (e) | 7.63% | (b) | 925,796 | ||||
1,400,000 | Banco Mercantil del Norte S.A. (a) (d) (e) | 8.38% | (b) | 1,638,504 | ||||
2,000,000 | Banco Santander S.A. (d) (e) | 4.75% | (b) | 2,015,340 | ||||
3,600,000 | Banco Santander S.A. (c) (d) (e) | 7.50% | (b) | 3,902,533 | ||||
2,400,000 | Bank of America Corp., Series X (e) | 6.25% | (b) | 2,617,500 | ||||
3,700,000 | Bank of Nova Scotia (The) (e) | 4.90% | (b) | 3,957,816 | ||||
2,300,000 | Barclays PLC (d) (e) | 4.38% | (b) | 2,268,490 | ||||
1,450,000 | Barclays PLC (d) (e) | 6.13% | (b) | 1,594,551 | ||||
2,000,000 | Barclays PLC (d) (e) | 7.75% | (b) | 2,177,100 | ||||
560,000 | Barclays PLC (c) (d) (e) | 7.88% | (b) | 572,844 | ||||
10,040,000 | Barclays PLC (d) (e) | 8.00% | (b) | 11,200,875 | ||||
700,000 | BBVA Bancomer S.A. (a) (d) (e) | 5.88% | 09/13/34 | 762,290 | ||||
2,300,000 | BNP Paribas S.A. (a) (d) (e) | 6.63% | (b) | 2,492,625 | ||||
4,000,000 | BNP Paribas S.A. (a) (d) (e) | 7.38% | (b) | 4,592,780 | ||||
4,358,000 | CIT Group, Inc., Series A (e) | 5.80% | (b) | 4,439,712 | ||||
2,195,000 | Citigroup, Inc. (e) | 3.88% | (b) | 2,219,694 | ||||
345,000 | Citigroup, Inc. (e) | 5.90% | (b) | 357,938 | ||||
1,281,000 | Citigroup, Inc. (e) | 5.95% | (b) | 1,325,835 | ||||
5,740,000 | Citigroup, Inc., Series D (e) | 5.35% | (b) | 5,900,720 | ||||
3,414,000 | Citigroup, Inc., Series P (e) | 5.95% | (b) | 3,687,120 | ||||
1,000,000 | Citigroup, Inc., Series V (e) | 4.70% | (b) | 1,016,250 | ||||
1,049,000 | Citigroup, Inc., Series W (e) | 4.00% | (b) | 1,073,914 | ||||
2,979,000 | Citigroup, Inc., Series Y (e) | 4.15% | (b) | 2,996,874 | ||||
1,120,000 | Citizens Financial Group, Inc., Series F (e) | 5.65% | (b) | 1,230,600 | ||||
1,170,000 | Citizens Financial Group, Inc., Series G (e) | 4.00% | (b) | 1,181,700 | ||||
1,358,000 | CoBank ACB, Series I (e) | 6.25% | (b) | 1,526,053 | ||||
800,000 | Comerica, Inc. (e) | 5.63% | (b) | 885,000 | ||||
400,000 | Commerzbank AG (c) (d) (e) | 7.00% | (b) | 431,328 | ||||
2,806,000 | Credit Agricole S.A. (a) (d) (e) | 6.88% | (b) | 3,098,525 | ||||
1,300,000 | Credit Agricole S.A. (a) (d) (e) | 7.88% | (b) | 1,440,693 | ||||
1,000,000 | Credit Agricole S.A. (c) (d) (e) | 7.88% | (b) | 1,108,225 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Banks (Continued) | ||||||||
$2,200,000 | Credit Agricole S.A. (a) (d) (e) | 8.13% | (b) | $2,640,944 | ||||
2,400,000 | Danske Bank A.S. (c) (d) (e) | 4.38% | (b) | 2,424,194 | ||||
550,000 | Danske Bank A.S. (c) (d) (e) | 6.13% | (b) | 584,031 | ||||
850,000 | Danske Bank A.S. (c) (d) (e) | 7.00% | (b) | 948,545 | ||||
800,000 | Farm Credit Bank of Texas, Series 3 (a) (e) | 6.20% | (b) | 880,000 | ||||
1,100,000 | Farm Credit Bank of Texas, Series 4 (a) (e) | 5.70% | (b) | 1,204,500 | ||||
4,864,000 | Fifth Third Bancorp, Series H (e) | 5.10% | (b) | 4,979,520 | ||||
1,100,000 | Fifth Third Bancorp, Series L (e) | 4.50% | (b) | 1,186,625 | ||||
400,000 | HSBC Holdings PLC (d) (e) | 4.60% | (b) | 398,452 | ||||
2,000,000 | HSBC Holdings PLC (d) (e) | 6.00% | (b) | 2,176,240 | ||||
3,070,000 | HSBC Holdings PLC (d) (e) | 6.38% | (b) | 3,343,829 | ||||
3,000,000 | HSBC Holdings PLC (d) (e) | 6.38% | (b) | 3,236,250 | ||||
2,200,000 | Huntington Bancshares, Inc., Series G (e) | 4.45% | (b) | 2,356,750 | ||||
2,950,000 | ING Groep N.V. (d) (e) | 5.75% | (b) | 3,205,042 | ||||
1,400,000 | ING Groep N.V. (d) (e) | 6.50% | (b) | 1,538,257 | ||||
820,000 | ING Groep N.V. (c) (d) (e) | 6.88% | (b) | 840,500 | ||||
1,970,000 | Intesa Sanpaolo S.p.A. (a) (d) (e) | 7.70% | (b) | 2,203,937 | ||||
1,700,000 | JPMorgan Chase & Co., Series I, 3 Mo. LIBOR + 3.47% (f) | 3.60% | (b) | 1,704,241 | ||||
6,041,000 | JPMorgan Chase & Co., Series Q (e) | 5.15% | (b) | 6,217,578 | ||||
605,000 | JPMorgan Chase & Co., Series R (e) | 6.00% | (b) | 632,754 | ||||
5,424,000 | JPMorgan Chase & Co., Series V, 3 Mo. LIBOR + 3.32% (f) | 3.45% | (b) | 5,426,744 | ||||
475,000 | JPMorgan Chase & Co., Series Z, 3 Mo. LIBOR + 3.80% (f) | 3.93% | (b) | 478,080 | ||||
1,550,000 | Lloyds Banking Group PLC (d) (e) | 6.75% | (b) | 1,772,557 | ||||
5,638,000 | Lloyds Banking Group PLC (d) (e) | 7.50% | (b) | 6,244,085 | ||||
1,000,000 | M&T Bank Corp. (e) | 3.50% | (b) | 985,000 | ||||
2,341,000 | M&T Bank Corp., Series G (e) | 5.00% | (b) | 2,440,492 | ||||
600,000 | Natwest Group PLC (d) (e) | 6.00% | (b) | 664,758 | ||||
1,550,000 | Natwest Group PLC (d) (e) | 8.00% | (b) | 1,819,336 | ||||
2,425,000 | Nordea Bank Abp (a) (d) (e) | 6.63% | (b) | 2,775,097 | ||||
1,200,000 | PNC Financial Services Group (The), Inc., Series T (e) | 3.40% | (b) | 1,186,500 | ||||
1,000,000 | Regions Financial Corp., Series D (e) | 5.75% | (b) | 1,106,250 | ||||
200,000 | Skandinaviska Enskilda Banken AB (c) (d) (e) | 5.13% | (b) | 212,371 | ||||
3,800,000 | Societe Generale S.A. (a) (d) (e) | 5.38% | (b) | 4,047,000 | ||||
4,211,000 | Societe Generale S.A. (a) (d) (e) | 7.88% | (b) | 4,650,207 | ||||
400,000 | Societe Generale S.A. (c) (d) (e) | 7.88% | (b) | 441,720 | ||||
2,639,000 | Societe Generale S.A. (a) (d) (e) | 8.00% | (b) | 3,077,087 | ||||
3,800,000 | Standard Chartered PLC (a) (d) (e) | 4.30% | (b) | 3,658,526 | ||||
1,500,000 | Standard Chartered PLC (a) (d) (e) | 6.00% | (b) | 1,634,250 | ||||
1,400,000 | SVB Financial Group, Series C (e) | 4.00% | (b) | 1,403,430 | ||||
3,185,000 | SVB Financial Group, Series D (e) | 4.25% | (b) | 3,200,527 | ||||
1,000,000 | Swedbank AB, Series NC5 (c) (d) (e) | 5.63% | (b) | 1,078,105 | ||||
463,000 | Texas Capital Bancshares, Inc. (e) | 4.00% | 05/06/31 | 482,564 | ||||
7,800,000 | Truist Financial Corp., Series N (e) | 4.80% | (b) | 8,112,000 | ||||
1,028,000 | Truist Financial Corp., Series P (e) | 4.95% | (b) | 1,118,207 | ||||
3,850,000 | UniCredit S.p.A. (c) (d) (e) | 8.00% | (b) | 4,213,998 | ||||
600,000 | UniCredit S.p.A. (a) (e) | 7.30% | 04/02/34 | 724,240 | ||||
750,000 | UniCredit S.p.A. (a) (e) | 5.46% | 06/30/35 | 821,456 | ||||
1,184,000 | US Bancorp (e) | 3.70% | (b) | 1,182,283 | ||||
3,130,000 | Wells Fargo & Co., Series BB (e) | 3.90% | (b) | 3,190,644 | ||||
197,769,860 | ||||||||
Capital Markets – 11.1% | ||||||||
4,820,000 | Apollo Management Holdings L.P. (a) (e) | 4.95% | 01/14/50 | 4,993,454 | ||||
500,000 | Bank of New York Mellon (The) Corp., Series G (e) | 4.70% | (b) | 545,350 | ||||
2,038,000 | Charles Schwab (The) Corp., Series G (e) | 5.38% | (b) | 2,244,348 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Capital Markets (Continued) | ||||||||
$3,410,000 | Charles Schwab (The) Corp., Series I (e) | 4.00% | (b) | $3,513,664 | ||||
4,170,000 | Credit Suisse Group AG (a) (d) (e) | 5.25% | (b) | 4,342,012 | ||||
1,500,000 | Credit Suisse Group AG (a) (d) (e) | 6.25% | (b) | 1,617,015 | ||||
3,100,000 | Credit Suisse Group AG (a) (d) (e) | 6.38% | (b) | 3,382,875 | ||||
314,000 | Credit Suisse Group AG (a) (d) (e) | 7.50% | (b) | 343,045 | ||||
4,150,000 | Credit Suisse Group AG (a) (d) (e) | 7.50% | (b) | 4,421,825 | ||||
4,000,000 | Deutsche Bank AG (d) (e) | 7.50% | (b) | 4,380,000 | ||||
3,200,000 | EFG International AG (c) (d) (e) | 5.50% | (b) | 3,369,440 | ||||
3,000,000 | Goldman Sachs Group (The), Inc., Series Q (e) | 5.50% | (b) | 3,225,900 | ||||
200,000 | Goldman Sachs Group (The), Inc., Series R (e) | 4.95% | (b) | 211,000 | ||||
765,000 | Goldman Sachs Group (The), Inc., Series T (e) | 3.80% | (b) | 766,913 | ||||
970,000 | Goldman Sachs Group (The), Inc., Series U (e) | 3.65% | (b) | 965,150 | ||||
1,593,000 | Goldman Sachs Group (The), Inc., Series V (e) | 4.13% | (b) | 1,599,292 | ||||
2,800,000 | Morgan Stanley, Series H, 3 Mo. LIBOR + 3.61% (f) | 3.73% | (b) | 2,814,451 | ||||
2,204,000 | Morgan Stanley, Series M (e) | 5.88% | (b) | 2,521,183 | ||||
3,334,000 | State Street Corp., Series F (f) | 3.71% | (b) | 3,340,458 | ||||
2,500,000 | UBS Group AG (c) (d) (e) | 6.88% | (b) | 2,826,562 | ||||
1,425,000 | UBS Group AG (a) (d) (e) | 7.00% | (b) | 1,541,772 | ||||
1,500,000 | UBS Group AG (c) (d) (e) | 7.00% | (b) | 1,622,918 | ||||
54,588,627 | ||||||||
Consumer Finance – 0.9% | ||||||||
2,497,000 | American Express Co. (e) | 3.55% | (b) | 2,513,543 | ||||
1,932,000 | Capital One Financial Corp., Series M (e) | 3.95% | (b) | 1,968,225 | ||||
4,481,768 | ||||||||
Diversified Financial Services – 2.7% | ||||||||
3,000,000 | American AgCredit Corp. (a) (e) | 5.25% | (b) | 3,067,500 | ||||
2,775,000 | Ares Finance Co., III LLC (a) (e) | 4.13% | 06/30/51 | 2,853,234 | ||||
2,250,000 | Capital Farm Credit ACA, Series 1 (a) (e) | 5.00% | (b) | 2,334,375 | ||||
650,000 | Compeer Financial ACA (a) (e) | 4.88% | (b) | 659,750 | ||||
650,000 | Depository Trust & Clearing (The) Corp., Series D (a) (e) | 3.38% | (b) | 657,718 | ||||
2,712,000 | Voya Financial, Inc. (e) | 5.65% | 05/15/53 | 2,843,966 | ||||
755,000 | Voya Financial, Inc., Series A (e) | 6.13% | (b) | 804,075 | ||||
13,220,618 | ||||||||
Diversified Telecommunication Services – 0.8% | ||||||||
1,365,000 | Koninklijke KPN N.V. (a) (e) | 7.00% | 03/28/73 | 1,449,425 | ||||
2,326,000 | Koninklijke KPN N.V. (c) (e) | 7.00% | 03/28/73 | 2,469,863 | ||||
3,919,288 | ||||||||
Electric Utilities – 4.0% | ||||||||
830,000 | Duke Energy Corp. (e) | 4.88% | (b) | 883,120 | ||||
6,962,000 | Emera, Inc., Series 16-A (e) | 6.75% | 06/15/76 | 8,198,660 | ||||
2,400,000 | Enel S.p.A. (a) (e) | 8.75% | 09/24/73 | 2,715,480 | ||||
1,428,000 | Southern (The) Co., Series 21-A (e) | 3.75% | 09/15/51 | 1,454,361 | ||||
6,500,000 | Southern California Edison Co., Series E (e) | 6.25% | (b) | 6,542,040 | ||||
19,793,661 | ||||||||
Energy Equipment & Services – 0.4% | ||||||||
276,000 | Transcanada Trust (e) | 5.63% | 05/20/75 | 293,940 | ||||
1,600,000 | Transcanada Trust (e) | 5.50% | 09/15/79 | 1,750,000 | ||||
2,043,940 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Food Products – 2.2% | ||||||||
$700,000 | Dairy Farmers of America, Inc. (g) | 7.13% | (b) | $710,500 | ||||
1,400,000 | Land O’Lakes Capital Trust I (g) | 7.45% | 03/15/28 | 1,618,610 | ||||
6,146,000 | Land O’Lakes, Inc. (a) | 7.00% | (b) | 6,486,489 | ||||
1,490,000 | Land O’Lakes, Inc. (a) | 7.25% | (b) | 1,617,164 | ||||
535,000 | Land O’Lakes, Inc. (a) | 8.00% | (b) | 580,539 | ||||
11,013,302 | ||||||||
Independent Power & Renewable Electricity Producers – 0.2% | ||||||||
1,100,000 | AES Andes S.A. (a) (e) | 6.35% | 10/07/79 | 1,141,492 | ||||
Insurance – 15.7% | ||||||||
1,500,000 | Allianz SE (a) (e) | 3.50% | (b) | 1,515,000 | ||||
3,200,000 | Asahi Mutual Life Insurance Co. (c) (e) | 6.50% | (b) | 3,430,432 | ||||
3,200,000 | Asahi Mutual Life Insurance Co. (c) (e) | 7.25% | (b) | 3,240,950 | ||||
3,858,000 | Assurant, Inc. (e) | 7.00% | 03/27/48 | 4,503,713 | ||||
5,300,000 | Assured Guaranty Municipal Holdings, Inc. (a) (e) | 6.40% | 12/15/66 | 5,888,129 | ||||
1,700,000 | Assured Guaranty Municipal Holdings, Inc. (c) (e) | 6.40% | 12/15/66 | 1,890,767 | ||||
4,370,000 | AXIS Specialty Finance LLC (e) | 4.90% | 01/15/40 | 4,621,865 | ||||
1,332,000 | Enstar Finance LLC (e) | 5.75% | 09/01/40 | 1,406,925 | ||||
5,000,000 | Global Atlantic Fin Co. (a) (e) | 4.70% | 10/15/51 | 5,154,712 | ||||
1,464,000 | Kuvare US Holdings, Inc. (a) (e) | 7.00% | 02/17/51 | 1,566,237 | ||||
1,000,000 | La Mondiale SAM (c) (e) | 5.88% | 01/26/47 | 1,136,353 | ||||
5,250,000 | Lancashire Holdings Ltd. (c) (e) | 5.63% | 09/18/41 | 5,706,199 | ||||
1,200,000 | Liberty Mutual Group, Inc. (a) (e) | 4.13% | 12/15/51 | 1,231,548 | ||||
4,701,000 | Markel Corp. (e) | 6.00% | (b) | 5,176,976 | ||||
2,900,000 | MetLife, Inc. (a) | 9.25% | 04/08/38 | 4,381,865 | ||||
500,000 | MetLife, Inc., Series G (e) | 3.85% | (b) | 520,000 | ||||
400,000 | PartnerRe Finance B LLC (e) | 4.50% | 10/01/50 | 427,587 | ||||
3,200,000 | Phoenix Group Holdings PLC (c) (e) | 5.63% | (b) | 3,362,640 | ||||
3,500,000 | Principal Financial Group, Inc., 3 Mo. LIBOR + 3.04% (f) | 3.17% | 05/15/55 | 3,484,313 | ||||
7,114,000 | Progressive (The) Corp., Series B (e) | 5.38% | (b) | 7,336,313 | ||||
3,000,000 | Prudential Financial, Inc. (e) | 5.88% | 09/15/42 | 3,106,230 | ||||
2,200,000 | QBE Insurance Group Ltd. (a) (e) | 5.88% | (b) | 2,409,000 | ||||
1,000,000 | QBE Insurance Group Ltd. (a) (e) | 7.50% | 11/24/43 | 1,107,500 | ||||
200,000 | QBE Insurance Group Ltd. (c) (e) | 7.50% | 11/24/43 | 221,500 | ||||
2,850,000 | QBE Insurance Group Ltd. (c) (e) | 6.75% | 12/02/44 | 3,190,076 | ||||
300,000 | QBE Insurance Group Ltd. (c) (e) | 5.88% | 06/17/46 | 336,282 | ||||
999,000 | Reinsurance Group of America, Inc., 3 Mo. LIBOR + 2.67% (f) | 2.78% | 12/15/65 | 971,829 | ||||
77,324,941 | ||||||||
Multi-Utilities – 2.0% | ||||||||
4,086,000 | CenterPoint Energy, Inc., Series A (e) | 6.13% | (b) | 4,319,617 | ||||
948,000 | CMS Energy Corp. (e) | 3.75% | 12/01/50 | 945,535 | ||||
180,000 | Dominion Energy, Inc., Series B (e) | 4.65% | (b) | 192,150 | ||||
906,000 | NiSource, Inc. (e) | 5.65% | (b) | 960,360 | ||||
3,000,000 | Sempra Energy (e) | 4.88% | (b) | 3,244,230 | ||||
9,661,892 | ||||||||
Oil, Gas & Consumable Fuels – 6.0% | ||||||||
1,600,000 | Buckeye Partners L.P. (e) | 6.38% | 01/22/78 | 1,465,432 | ||||
5,352,000 | DCP Midstream L.P., Series A (e) | 7.38% | (b) | 5,378,760 | ||||
2,662,000 | DCP Midstream Operating L.P. (a) (e) | 5.85% | 05/21/43 | 2,487,346 | ||||
1,026,000 | Enbridge, Inc. (e) | 6.25% | 03/01/78 | 1,133,350 | ||||
7,398,000 | Enbridge, Inc., Series 16-A (e) | 6.00% | 01/15/77 | 8,183,520 | ||||
2,000,000 | Enbridge, Inc., Series 20-A (e) | 5.75% | 07/15/80 | 2,253,000 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Oil, Gas & Consumable Fuels (Continued) | ||||||||
$1,395,000 | Energy Transfer L.P., 3 Mo. LIBOR + 3.02% (f) | 3.14% | 11/01/66 | $1,154,223 | ||||
100,000 | Energy Transfer L.P., Series B (e) | 6.63% | (b) | 97,250 | ||||
1,013,000 | Energy Transfer L.P., Series F (e) | 6.75% | (b) | 1,042,124 | ||||
948,000 | Energy Transfer L.P., Series H (e) | 6.50% | (b) | 983,550 | ||||
4,715,000 | Enterprise Products Operating LLC, 3 Mo. LIBOR + 2.78% (f) | 2.90% | 06/01/67 | 4,391,622 | ||||
1,241,000 | Enterprise Products Operating LLC, Series D (e) | 4.88% | 08/16/77 | 1,226,023 | ||||
29,796,200 | ||||||||
Trading Companies & Distributors – 3.0% | ||||||||
9,900,000 | AerCap Holdings N.V. (e) | 5.88% | 10/10/79 | 10,342,926 | ||||
1,127,000 | Air Lease Corp., Series B (e) | 4.65% | (b) | 1,167,854 | ||||
2,940,000 | Aircastle Ltd. (a) (e) | 5.25% | (b) | 3,028,200 | ||||
14,538,980 | ||||||||
Transportation Infrastructure – 1.3% | ||||||||
3,950,000 | AerCap Global Aviation Trust (a) (e) | 6.50% | 06/15/45 | 4,242,320 | ||||
2,000,000 | BNSF Funding Trust I (e) | 6.61% | 12/15/55 | 2,288,100 | ||||
6,530,420 | ||||||||
Total Capital Preferred Securities | 445,824,989 | |||||||
(Cost $427,626,875) | ||||||||
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
FOREIGN CORPORATE BONDS AND NOTES – 2.5% | ||||||||
Insurance – 2.5% | ||||||||
11,900,342 | Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc. (a) (h) | 7.63% | 10/15/25 | 12,621,146 | ||||
(Cost $12,655,663) | ||||||||
CORPORATE BONDS AND NOTES – 0.5% | ||||||||
Insurance – 0.5% | ||||||||
2,360,000 | AmTrust Financial Services, Inc. | 6.13% | 08/15/23 | 2,384,878 | ||||
(Cost $2,394,336) |
Total Investments – 96.0% | 472,960,660 | ||
(Cost $454,293,359) (i) | |||
Net Other Assets and Liabilities – 4.0% | 19,456,997 | ||
Net Assets – 100.0% | $492,417,657 |
(a) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P., the Fund’s advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At October 31, 2021, securities noted as such amounted to $140,596,974 or 28.6% of net assets. |
(b) | Perpetual maturity. |
(c) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
(d) | This security is a contingent convertible capital security which may be subject to conversion into common stock of the issuer under certain circumstances. At October 31, 2021, securities noted as such amounted to $140,180,213 or 28.5% of net assets. Of these securities, 3.4% originated in emerging markets, and 96.6% originated in foreign markets. |
(e) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at October 31, 2021. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(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) | These notes are Senior Payment-in-kind (“PIK”) Toggle Notes whereby the issuer may, at its option, elect to pay interest on the notes (1) entirely in cash or (2) entirely in PIK interest. Interest paid in cash will accrue on the notes at a rate of 7.63% per annum (“Cash Interest Rate”) and PIK interest will accrue on the notes at a rate per annum equal to the Cash Interest Rate plus 75 basis points. For the fiscal year ended October 31, 2021, the Fund received a portion of the interest in cash and PIK interest with a principal value of $270,093 for Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc. |
(i) | Aggregate cost for federal income tax purposes was $452,987,321. As of October 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $20,797,540 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $824,201. The net unrealized appreciation was $19,973,339. |
LIBOR | London Interbank Offered Rate |
Total Value at 10/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
$100 Par Preferred Securities* | $ 804,000 | $ — | $ 804,000 | $ — |
$1,000 Par Preferred Securities* | 11,325,647 | 11,325,647 | — | — |
Capital Preferred Securities* | 445,824,989 | — | 445,824,989 | — |
Foreign Corporate Bonds and Notes* | 12,621,146 | — | 12,621,146 | — |
Corporate Bonds and Notes* | 2,384,878 | — | 2,384,878 | — |
Total Investments | $ 472,960,660 | $ 11,325,647 | $ 461,635,013 | $— |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value (Cost $454,293,359) | $ 472,960,660 |
Cash | 12,289,561 |
Receivables: | |
Interest | 5,531,117 |
Fund shares sold | 3,082,190 |
Interest reclaims | 143,336 |
Dividends | 56,949 |
Total Assets | 494,063,813 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 1,303,038 |
Investment advisory fees | 343,118 |
Total Liabilities | 1,646,156 |
NET ASSETS | $492,417,657 |
NET ASSETS consist of: | |
Paid-in capital | $ 475,762,153 |
Par value | 240,000 |
Accumulated distributable earnings (loss) | 16,415,504 |
NET ASSETS | $492,417,657 |
NET ASSET VALUE, per share | $20.52 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 24,000,002 |
INVESTMENT INCOME: | ||
Interest | $ 19,342,471 | |
Dividends | 368,349 | |
Foreign withholding tax | (678) | |
Total investment income | 19,710,142 | |
EXPENSES: | ||
Investment advisory fees | 3,073,489 | |
Total expenses | 3,073,489 | |
NET INVESTMENT INCOME (LOSS) | 16,636,653 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on investments | 2,321,122 | |
Net change in unrealized appreciation (depreciation) on investments | 14,036,111 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 16,357,233 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 32,993,886 |
Year Ended 10/31/2021 | Year Ended 10/31/2020 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 16,636,653 | $ 14,552,786 | |
Net realized gain (loss) | 2,321,122 | (5,869,129) | |
Net change in unrealized appreciation (depreciation) | 14,036,111 | (921,636) | |
Net increase (decrease) in net assets resulting from operations | 32,993,886 | 7,762,021 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (15,669,405) | (14,004,420) | |
Return of capital | (847,307) | (507,892) | |
Total distributions to shareholders | (16,516,712) | (14,512,312) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 191,421,574 | 98,406,079 | |
Cost of shares redeemed | — | (42,314,739) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 191,421,574 | 56,091,340 | |
Total increase (decrease) in net assets | 207,898,748 | 49,341,049 | |
NET ASSETS: | |||
Beginning of period | 284,518,909 | 235,177,860 | |
End of period | $492,417,657 | $284,518,909 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 14,700,002 | 11,850,002 | |
Shares sold | 9,300,000 | 5,100,000 | |
Shares redeemed | — | (2,250,000) | |
Shares outstanding, end of period | 24,000,002 | 14,700,002 |
Year Ended October 31, | Period Ended 10/31/2017 (a) | ||||||||
2021 | 2020 | 2019 | 2018 | ||||||
Net asset value, beginning of period | $ 19.36 | $ 19.85 | $ 18.75 | $ 20.26 | $ 20.00 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.90 | 1.01 | 1.01 | 0.99 | 0.18 | ||||
Net realized and unrealized gain (loss) | 1.19 | (0.50) | 1.12 | (1.47) | 0.22 | ||||
Total from investment operations | 2.09 | 0.51 | 2.13 | (0.48) | 0.40 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.88) | (0.97) | (1.00) | (1.03) | (0.14) | ||||
Return of capital | (0.05) | (0.03) | (0.03) | — | — | ||||
Total distributions | (0.93) | (1.00) | (1.03) | (1.03) | (0.14) | ||||
Net asset value, end of period | $20.52 | $19.36 | $19.85 | $18.75 | $20.26 | ||||
Total return (b) | 10.91% | 2.76% | 11.75% | (2.42)% | 2.00% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 492,418 | $ 284,519 | $ 235,178 | $ 93,757 | $ 24,313 | ||||
Ratio of total expenses to average net assets | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% (c) | ||||
Ratio of net investment income (loss) to average net assets | 4.60% | 5.22% | 5.39% | 5.36% | 4.93% (c) | ||||
Portfolio turnover rate (d) | 22% | 48% | 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 | ||
Dairy Farmers of America, Inc., 7.13% | 01/22/21 to 03/22/21 | $700,000 | $101.50 | $700,250 | $710,500 | 0.14 % | ||
Land O’Lakes Capital Trust I, 7.45%, 03/15/28 | 05/04/18 to 07/21/21 | 1,400,000 | 115.61 | 1,555,936 | 1,618,610 | 0.33 | ||
$2,256,186 | $2,329,110 | 0.47 % |
Distributions paid from: | 2021 | 2020 |
Ordinary income | $15,669,405 | $14,004,420 |
Capital gains | — | — |
Return of capital | 847,307 | 507,892 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (3,557,835) |
Net unrealized appreciation (depreciation) | 19,973,339 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$(104,067) | $102,307 | $1,760 |
Dividends Received Deduction | Qualified Dividend Income | |
24.68% | 78.77% |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016) | 215 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 215 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 215 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 215 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 215 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant, during the period covered by this report, has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
(e) | Not applicable. |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s Board of Trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees (Registrant) -- The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $223,500 for fiscal year ended October 31, 2020 and $209,000 for the fiscal year ended October 31, 2021.
(b) Audit-Related Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended October 31, 2020, and $0 for the fiscal year ended October 31, 2021.
Audit-Related Fees (Investment Advisor) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended October 31, 2020, and $0 for the fiscal year ended October 31, 2021.
(c) Tax Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $ $195,758 for fiscal year ended October 31, 2020 and $133,756 for the fiscal year ended October 31, 2021. These fees were for tax consultation and/or tax return preparation and professional services rendered for PFIC (Passive Foreign Investment Company) Identification Services.
Tax Fees (Investment Advisor and Distributor) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant’s advisor and distributor were $0 for the fiscal year ended October 31, 2020, and $0 for the fiscal year ended October 31, 2021.
(d) All Other Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended October 31, 2020, and $0 for the fiscal year ended October 31, 2021.
All Other Fees (Investment Advisor and Distributor) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant’s investment advisor and distributor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended October 31, 2020, and $0 for the fiscal year ended October 31, 2021.
(e)(1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the “Committee”) is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent auditor’s engagements for non-audit services with the registrant’s advisor (not including a sub-advisor whose role is primarily portfolio management and is sub-contracted or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant’s advisor (other than any sub-advisor whose role is primarily portfolio management and is sub-contracted with or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor’s independence.
(e)(2) The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant’s investment advisor and distributor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows:
Registrant: Advisor and Distributor:
(b) 0% (b) 0%
(c) 0% (c) 0%
(d) 0% (d) 0%
(f) The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent.
(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant for fiscal year ended October 31, 2020 were $195,758 for the registrant, $70,370 for the registrant’s investment advisor, $99,830 for the registrant’s distributor and $18,000 for Stonebridge Advisors LLC (“Stonebridge”), which is under common control with the registrant’s investment advisor and serves as the registrant’s investment sub-advisor for the First Trust Preferred Securities and Income ETF and the First Trust Institutional Preferred Securities and Income ETF, and for the fiscal year ended October 31, 2021 were $133,756 for the registrant, $16,500 for the registrant’s investment advisor, $29,500 for the registrant’s distributor and $4,000 for Stonebridge.
(h) The registrant’s audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
(i) | Not applicable. |
(j) | Not applicable. |
Items 5. Audit Committee of Listed Registrants.
The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The audit committee of the registrant is comprised of: Richard E. Erickson, Thomas R. Kadlec, Robert F. Keith and Niel B. Nielson.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Exchange-Traded Fund III |
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | January 10, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | January 10, 2022 |
By (Signature and Title)* | /s/ Donald P. Swade | |
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | January 10, 2022 |
* Print the name and title of each signing officer under his or her signature.