UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22245
First Trust Exchange-Traded Fund III
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant’s telephone number, including area code: (630) 765-8000
Date of fiscal year end: July 31
Date of reporting period: January 31, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
(a) | The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: |
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
For the Six Months Ended
January 31, 2022
2 | |
Fund Performance Overview | |
3 | |
5 | |
7 | |
9 | |
10 | |
11 | |
Portfolio of Investments | |
12 | |
14 | |
18 | |
22 | |
23 | |
24 | |
26 | |
29 | |
36 |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
6 Months Ended 1/31/22 | 1 Year Ended 1/31/22 | 5 Years Ended 1/31/22 | Inception (8/24/16) to 1/31/22 | 5 Years Ended 1/31/22 | Inception (8/24/16) to 1/31/22 | ||
Fund Performance | |||||||
NAV | 3.69% | 24.31% | 12.50% | 11.85% | 80.20% | 83.83% | |
Market Price | 3.63% | 24.33% | 12.49% | 11.83% | 80.10% | 83.72% | |
Index Performance | |||||||
S&P 500® Index | 3.44% | 23.29% | 16.78% | 16.50% | 117.21% | 129.48% |
Sector Allocation | % of Total Investments |
Consumer Staples | 17.5% |
Information Technology | 15.8 |
Industrials | 13.7 |
Utilities | 13.5 |
Health Care | 11.1 |
Financials | 10.1 |
Consumer Discretionary | 6.9 |
Real Estate | 4.4 |
Communication Services | 3.6 |
Materials | 3.4 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
McDonald’s Corp. | 2.5% |
PepsiCo, Inc. | 2.5 |
Procter & Gamble (The) Co. | 2.4 |
Johnson & Johnson | 2.4 |
Coca-Cola (The) Co. | 2.4 |
Mondelez International, Inc., Class A | 2.3 |
Cisco Systems, Inc. | 2.3 |
Verizon Communications, Inc. | 2.3 |
Colgate-Palmolive Co. | 2.2 |
Berkshire Hathaway, Inc., Class B | 2.2 |
Total | 23.5% |
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.
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
6 Months Ended 1/31/22 | 1 Year Ended 1/31/22 | 5 Years Ended 1/31/22 | Inception (8/24/16) to 1/31/22 | 5 Years Ended 1/31/22 | Inception (8/24/16) to 1/31/22 | ||
Fund Performance | |||||||
NAV | -2.09% | 5.73% | 4.60% | 3.50% | 25.24% | 20.60% | |
Market Price | -2.08% | 6.01% | 4.50% | 3.52% | 24.59% | 20.72% | |
Index Performance | |||||||
MSCI EAFE Index | -3.43% | 7.03% | 7.85% | 7.59% | 45.92% | 48.88% |
Sector Allocation | % of Total Investments |
Financials | 21.4% |
Consumer Staples | 17.0 |
Utilities | 15.0 |
Industrials | 13.1 |
Communication Services | 10.6 |
Health Care | 5.7 |
Real Estate | 5.7 |
Materials | 4.5 |
Consumer Discretionary | 4.1 |
Information Technology | 1.9 |
Energy | 1.0 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
CLP Holdings, Ltd. | 2.0% |
McDonald’s Holdings Co., Japan Ltd. | 1.9 |
Nestle S.A. | 1.9 |
Swisscom AG | 1.8 |
Power Assets Holdings Ltd. | 1.5 |
Novartis AG | 1.5 |
Softbank Corp. | 1.4 |
MTR Corp., Ltd. | 1.4 |
National Grid PLC | 1.4 |
Orange S.A. | 1.4 |
Total | 16.2% |
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.
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/22 | 1 Year Ended 1/31/22 | Inception (4/6/20) to 1/31/22 | Inception (4/6/20) to 1/31/22 | |
Fund Performance | ||||
NAV | -0.91% | 16.74% | 28.20% | 57.24% |
Market Price | -0.75% | 16.93% | 28.29% | 57.43% |
Index Performance | ||||
S&P 1000® Index | -2.08% | 12.98% | 42.20% | 89.92% |
Sector Allocation | % of Total Investments |
Industrials | 20.0% |
Real Estate | 17.4 |
Financials | 15.5 |
Information Technology | 10.0 |
Health Care | 9.5 |
Consumer Discretionary | 8.6 |
Consumer Staples | 6.1 |
Materials | 5.9 |
Utilities | 5.7 |
Communication Services | 1.3 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Allscripts Healthcare Solutions, Inc. | 0.8% |
OGE Energy Corp. | 0.7 |
Flowers Foods, Inc. | 0.7 |
Silgan Holdings, Inc. | 0.7 |
Medical Properties Trust, Inc. | 0.7 |
IDACORP, Inc. | 0.7 |
Viavi Solutions, Inc. | 0.7 |
Rexford Industrial Realty, Inc. | 0.7 |
Omega Healthcare Investors, Inc. | 0.7 |
Life Storage, Inc. | 0.6 |
Total | 7.0% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Beginning Account Value August 1, 2021 | Ending Account Value January 31, 2022 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | ||||
Actual | $1,000.00 | $1,036.90 | 0.70% | $3.59 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.68 | 0.70% | $3.57 |
First Trust Horizon Managed Volatility Developed International ETF (HDMV) | ||||
Actual | $1,000.00 | $979.10 | 0.80% | $3.99 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.17 | 0.80% | $4.08 |
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | ||||
Actual | $1,000.00 | $990.90 | 0.80% | $4.01 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.17 | 0.80% | $4.08 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (August 1, 2021 through January 31, 2022), multiplied by 184/365 (to reflect the six-month period). |
Shares | Description | Value | ||
COMMON STOCKS – 95.4% | ||||
Aerospace & Defense – 4.1% | ||||
8,630 | General Dynamics Corp. | $1,830,423 | ||
4,970 | Lockheed Martin Corp. | 1,933,976 | ||
3,971 | Northrop Grumman Corp. | 1,468,873 | ||
5,233,272 | ||||
Beverages – 4.9% | ||||
50,522 | Coca-Cola (The) Co. | 3,082,347 | ||
18,239 | PepsiCo, Inc. | 3,164,832 | ||
6,247,179 | ||||
Biotechnology – 2.2% | ||||
5,747 | Amgen, Inc. | 1,305,374 | ||
22,324 | Gilead Sciences, Inc. | 1,533,212 | ||
2,838,586 | ||||
Capital Markets – 2.4% | ||||
13,434 | Intercontinental Exchange, Inc. | 1,701,551 | ||
7,659 | Nasdaq, Inc. | 1,372,569 | ||
3,074,120 | ||||
Chemicals – 1.4% | ||||
2,679 | Linde PLC | 853,744 | ||
3,404 | Sherwin-Williams (The) Co. | 975,280 | ||
1,829,024 | ||||
Commercial Services & Supplies – 3.7% | ||||
16,897 | Republic Services, Inc. | 2,157,071 | ||
16,602 | Waste Management, Inc. | 2,497,605 | ||
4,654,676 | ||||
Communications Equipment – 4.0% | ||||
52,351 | Cisco Systems, Inc. | 2,914,380 | ||
9,643 | Motorola Solutions, Inc. | 2,236,598 | ||
5,150,978 | ||||
Containers & Packaging – 2.0% | ||||
110,300 | Amcor PLC | 1,324,703 | ||
17,591 | Sealed Air Corp. | 1,194,781 | ||
2,519,484 | ||||
Diversified Financial Services – 2.2% | ||||
8,838 | Berkshire Hathaway, Inc., Class B (a) | 2,766,471 | ||
Diversified Telecommunication Services – 3.6% | ||||
68,315 | AT&T, Inc. | 1,742,032 | ||
54,224 | Verizon Communications, Inc. | 2,886,344 | ||
4,628,376 | ||||
Electric Utilities – 6.8% | ||||
14,610 | Alliant Energy Corp. | 874,555 |
Shares | Description | Value | ||
Electric Utilities (Continued) | ||||
18,426 | American Electric Power Co., Inc. | $1,665,710 | ||
16,924 | Duke Energy Corp. | 1,778,035 | ||
15,679 | Evergy, Inc. | 1,018,508 | ||
36,526 | Southern (The) Co. | 2,538,192 | ||
12,413 | Xcel Energy, Inc. | 864,690 | ||
8,739,690 | ||||
Electrical Equipment – 1.0% | ||||
9,672 | AMETEK, Inc. | 1,322,839 | ||
Electronic Equipment, Instruments & Components – 1.9% | ||||
29,976 | Amphenol Corp., Class A | 2,385,790 | ||
Food & Staples Retailing – 1.9% | ||||
1,926 | Costco Wholesale Corp. | 972,880 | ||
10,311 | Walmart, Inc. | 1,441,581 | ||
2,414,461 | ||||
Food Products – 4.2% | ||||
10,230 | Hershey (The) Co. | 2,016,026 | ||
5,033 | Kellogg Co. | 317,079 | ||
44,656 | Mondelez International, Inc., Class A | 2,993,292 | ||
5,326,397 | ||||
Health Care Equipment & Supplies – 2.3% | ||||
19,216 | Baxter International, Inc. | 1,641,815 | ||
5,258 | Becton Dickinson and Co. | 1,336,268 | ||
2,978,083 | ||||
Health Care Providers & Services – 2.0% | ||||
4,111 | Laboratory Corp of America Holdings (a) | 1,115,561 | ||
10,650 | Quest Diagnostics, Inc. | 1,437,963 | ||
2,553,524 | ||||
Hotels, Restaurants & Leisure – 3.8% | ||||
12,391 | McDonald’s Corp. | 3,214,845 | ||
12,947 | Yum! Brands, Inc. | 1,620,576 | ||
4,835,421 | ||||
Household Products – 6.0% | ||||
6,731 | Church & Dwight Co., Inc. | 690,937 | ||
34,636 | Colgate-Palmolive Co. | 2,855,738 | ||
6,911 | Kimberly-Clark Corp. | 951,299 | ||
19,291 | Procter & Gamble (The) Co. | 3,095,241 | ||
7,593,215 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Industrial Conglomerates – 2.5% | ||||
8,420 | 3M Co. | $1,397,888 | ||
4,163 | Roper Technologies, Inc. | 1,819,897 | ||
3,217,785 | ||||
Insurance – 5.5% | ||||
8,607 | Allstate (The) Corp. | 1,038,607 | ||
10,084 | Arthur J. Gallagher & Co. | 1,592,667 | ||
6,687 | Assurant, Inc. | 1,019,834 | ||
15,168 | Marsh & McLennan Cos., Inc. | 2,330,412 | ||
9,837 | Progressive (The) Corp. | 1,068,888 | ||
7,050,408 | ||||
IT Services – 9.9% | ||||
7,461 | Accenture PLC, Class A | 2,638,061 | ||
11,414 | Automatic Data Processing, Inc. | 2,353,224 | ||
14,918 | Broadridge Financial Solutions, Inc. | 2,375,244 | ||
23,357 | Paychex, Inc. | 2,750,520 | ||
11,346 | VeriSign, Inc. (a) | 2,464,124 | ||
12,581,173 | ||||
Life Sciences Tools & Services – 0.8% | ||||
7,640 | Agilent Technologies, Inc. | 1,064,405 | ||
Machinery – 1.5% | ||||
8,309 | Illinois Tool Works, Inc. | 1,943,641 | ||
Multiline Retail – 1.0% | ||||
6,302 | Dollar General Corp. | 1,313,841 | ||
Multi-Utilities – 6.6% | ||||
16,590 | Ameren Corp. | 1,472,197 | ||
16,743 | CMS Energy Corp. | 1,077,914 | ||
12,773 | Consolidated Edison, Inc. | 1,104,226 | ||
10,971 | Dominion Energy, Inc. | 884,921 | ||
12,876 | DTE Energy Co. | 1,550,657 | ||
49,179 | NiSource, Inc. | 1,435,043 | ||
14,016 | Public Service Enterprise Group, Inc. | 932,484 | ||
8,457,442 | ||||
Pharmaceuticals – 3.7% | ||||
25,162 | Bristol-Myers Squibb Co. | 1,632,762 | ||
17,902 | Johnson & Johnson | 3,084,336 | ||
4,717,098 | ||||
Specialty Retail – 2.0% | ||||
3,704 | Home Depot (The), Inc. | 1,359,294 | ||
1,842 | O’Reilly Automotive, Inc. (a) | 1,200,523 | ||
2,559,817 | ||||
Tobacco – 0.6% | ||||
7,246 | Philip Morris International, Inc. | 745,251 |
Shares | Description | Value | ||
Trading Companies & Distributors – 0.9% | ||||
19,632 | Fastenal Co. | $1,112,742 | ||
Total Common Stocks | 121,855,189 | |||
(Cost $108,197,359) | ||||
REAL ESTATE INVESTMENT TRUSTS – 4.4% | ||||
Equity Real Estate Investment Trusts – 4.4% | ||||
6,607 | Alexandria Real Estate Equities, Inc. | 1,287,308 | ||
5,005 | American Tower Corp. | 1,258,757 | ||
6,592 | AvalonBay Communities, Inc. | 1,609,964 | ||
6,779 | Mid-America Apartment Communities, Inc. | 1,401,084 | ||
Total Real Estate Investment Trusts | 5,557,113 | |||
(Cost $5,430,899) | ||||
Total Investments – 99.8% | 127,412,302 | |||
(Cost $113,628,258) | ||||
Net Other Assets and Liabilities – 0.2% | 262,399 | |||
Net Assets – 100.0% | $127,674,701 |
(a) | Non-income producing security. |
Total Value at 1/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 121,855,189 | $ 121,855,189 | $ — | $ — |
Real Estate Investment Trusts* | 5,557,113 | 5,557,113 | — | — |
Total Investments | $ 127,412,302 | $ 127,412,302 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
COMMON STOCKS (a) – 96.1% | ||||
Australia – 4.6% | ||||
5,868 | ASX Ltd. (b) | $348,023 | ||
13,906 | Australia & New Zealand Banking Group Ltd. (b) | 262,808 | ||
38,812 | Brambles Ltd. (b) | 266,640 | ||
20,614 | Coles Group Ltd. (b) | 236,828 | ||
1,060 | CSL Ltd. (b) | 196,357 | ||
157,129 | Medibank Pvt Ltd. (b) | 344,312 | ||
10,479 | National Australia Bank Ltd. (b) | 202,197 | ||
5,083 | Ramsay Health Care Ltd. (b) | 226,783 | ||
8,955 | Sonic Healthcare Ltd. (b) | 241,161 | ||
106,856 | Telstra Corp., Ltd. (b) | 297,052 | ||
9,061 | Wesfarmers Ltd. (b) | 338,089 | ||
12,456 | Westpac Banking Corp. (b) | 179,652 | ||
11,738 | Woolworths Group Ltd. (b) | 286,342 | ||
3,426,244 | ||||
Belgium – 1.6% | ||||
7,077 | Etablissements Franz Colruyt N.V. (b) | 287,466 | ||
8,147 | Groupe Bruxelles Lambert S.A. (b) | 874,196 | ||
1,161,662 | ||||
Bermuda – 0.6% | ||||
67,083 | CK Infrastructure Holdings Ltd. (b) | 413,390 | ||
Cayman Islands – 0.6% | ||||
65,334 | CK Hutchison Holdings Ltd. (b) | 464,350 | ||
Denmark – 0.9% | ||||
1,534 | Carlsberg A.S., Class B (b) | 248,402 | ||
3,111 | Novozymes A.S., Class B (b) | 213,562 | ||
9,781 | Tryg A.S. (b) | 231,769 | ||
693,733 | ||||
France – 10.9% | ||||
5,404 | Air Liquide S.A. (b) | 924,405 | ||
3,696 | Amundi S.A. (b) (c) (d) | 287,313 | ||
2,671 | Arkema S.A. (b) | 394,956 | ||
11,481 | AXA S.A. (b) | 363,615 | ||
11,607 | Bouygues S.A. (b) | 409,345 | ||
34,950 | Bureau Veritas S.A. (b) | 1,000,001 | ||
3,475 | Danone S.A. (b) | 216,670 | ||
1,486 | EssilorLuxottica S.A. (b) | 281,130 | ||
6,601 | La Francaise des Jeux SAEM (b) (c) (d) | 273,305 | ||
4,548 | Legrand S.A. (b) | 462,864 | ||
719 | L’Oreal S.A. (b) | 307,118 | ||
86,075 | Orange S.A. (b) | 1,011,162 | ||
2,470 | Pernod Ricard S.A. (b) | 528,331 | ||
1,512 | Remy Cointreau S.A. (b) | 315,302 | ||
7,605 | Sanofi (b) | 795,194 | ||
697 | Teleperformance (b) | 262,483 |
Shares | Description | Value | ||
France (Continued) | ||||
3,788 | Thales S.A. (b) | $349,433 | ||
8,182,627 | ||||
Germany – 8.4% | ||||
1,523 | Allianz SE (b) | 391,034 | ||
5,905 | Beiersdorf AG (b) | 587,332 | ||
3,436 | Brenntag SE (b) | 294,383 | ||
2,720 | Deutsche Boerse AG (b) | 483,487 | ||
30,788 | Deutsche Telekom AG (b) | 581,246 | ||
47,085 | E.ON SE (b) | 649,419 | ||
12,225 | Evonik Industries AG (b) | 398,825 | ||
2,250 | Hannover Rueck SE (b) | 453,920 | ||
12,626 | Henkel AG & Co., KGaA (b) | 997,593 | ||
2,378 | LEG Immobilien SE (b) | 315,462 | ||
2,762 | Symrise AG (b) | 330,057 | ||
9,215 | Uniper SE (b) | 416,977 | ||
6,110 | Vonovia SE (b) | 348,000 | ||
6,247,735 | ||||
Hong Kong – 7.4% | ||||
162,666 | BOC Hong Kong Holdings Ltd. (b) | 628,109 | ||
150,035 | CLP Holdings, Ltd. (b) | 1,501,477 | ||
22,651 | Hang Seng Bank Ltd. (b) | 448,440 | ||
485,752 | Hong Kong & China Gas Co., Ltd. (b) | 748,669 | ||
192,649 | MTR Corp., Ltd. (b) | 1,042,776 | ||
185,546 | Power Assets Holdings Ltd. (b) | 1,140,108 | ||
5,509,579 | ||||
Ireland – 0.3% | ||||
1,804 | Kerry Group PLC, Class A (b) | 227,300 | ||
Israel – 0.9% | ||||
2,632 | Check Point Software Technologies Ltd. (e) | 318,498 | ||
8,567 | Mizrahi Tefahot Bank Ltd. (b) | 331,179 | ||
649,677 | ||||
Italy – 2.9% | ||||
30,070 | Assicurazioni Generali S.p.A. (b) | 632,816 | ||
4,291 | Recordati Industria Chimica e Farmaceutica S.p.A. (b) | 240,384 | ||
146,120 | Snam S.p.A. (b) | 818,810 | ||
61,659 | Terna-Rete Elettrica Nazionale S.p.A. (b) | 484,480 | ||
2,176,490 | ||||
Japan – 19.7% | ||||
29,600 | Chubu Electric Power Co., Inc. (b) | 296,471 | ||
41,200 | Daiwa Securities Group, Inc. (b) | 248,259 | ||
48,600 | ENEOS Holdings, Inc. (b) | 193,556 | ||
2,600 | FUJIFILM Holdings Corp. (b) | 174,294 | ||
5,900 | Idemitsu Kosan Co., Ltd. (b) | 151,168 | ||
10,600 | ITOCHU Corp. (b) | 340,540 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Japan (Continued) | ||||
32,500 | Japan Post Bank Co., Ltd. (b) | $319,727 | ||
23,000 | Japan Post Holdings Co., Ltd. (b) | 196,317 | ||
29,200 | Japan Tobacco, Inc. (b) | 582,975 | ||
24,300 | Kansai Electric Power (The) Co., Inc. (b) | 229,371 | ||
7,100 | Kao Corp. (b) | 354,798 | ||
10,300 | KDDI Corp. (b) | 329,072 | ||
19,200 | Kirin Holdings Co., Ltd. (b) | 307,740 | ||
2,400 | Kobayashi Pharmaceutical Co., Ltd. (b) | 186,895 | ||
5,200 | Lawson, Inc. (b) | 227,911 | ||
13,000 | Lion Corp. (b) | 169,857 | ||
32,600 | McDonald’s Holdings Co., Japan Ltd. (b) | 1,423,656 | ||
10,200 | Medipal Holdings Corp. (b) | 183,550 | ||
7,200 | MEIJI Holdings Co., Ltd. (b) | 449,148 | ||
9,200 | Mitsubishi Corp. (b) | 312,362 | ||
16,700 | Mitsubishi Estate Co., Ltd. (b) | 240,521 | ||
38,700 | Mitsubishi HC Capital, Inc. (b) | 199,873 | ||
32,100 | Mitsubishi UFJ Financial Group, Inc. (b) | 194,567 | ||
20,200 | Mizuho Financial Group, Inc. (b) | 273,629 | ||
9,600 | MS&AD Insurance Group Holdings, Inc. (b) | 329,276 | ||
6,000 | NH Foods Ltd. (b) | 231,385 | ||
12,700 | Nippon Telegraph & Telephone Corp. (b) | 363,445 | ||
16,800 | Nisshin Seifun Group, Inc. (b) | 235,909 | ||
3,700 | Nissin Foods Holdings Co., Ltd. (b) | 262,451 | ||
16,000 | Osaka Gas Co., Ltd. (b) | 272,102 | ||
6,300 | Otsuka Holdings Co., Ltd. (b) | 214,939 | ||
53,600 | Resona Holdings, Inc. (b) | 230,343 | ||
5,100 | Secom Co., Ltd. (b) | 359,112 | ||
8,500 | Sekisui House Ltd. (b) | 172,211 | ||
33,500 | Shizuoka Bank (The), Ltd. (b) | 263,225 | ||
83,800 | Softbank Corp. (b) | 1,050,506 | ||
3,800 | Sohgo Security Services Co., Ltd. (b) | 137,817 | ||
5,500 | Sompo Holdings, Inc. (b) | 257,364 | ||
13,400 | Sumitomo Corp. (b) | 207,103 | ||
6,000 | Sumitomo Mitsui Financial Group, Inc. (b) | 216,126 | ||
6,300 | Sumitomo Mitsui Trust Holdings, Inc. (b) | 217,862 | ||
4,200 | Taisho Pharmaceutical Holdings Co., Ltd. (b) | 206,271 | ||
12,300 | Takeda Pharmaceutical Co., Ltd. (b) | 356,493 | ||
31,100 | Tohoku Electric Power Co., Inc. (b) | 219,065 | ||
3,400 | Tokio Marine Holdings, Inc. (b) | 202,891 | ||
11,700 | Tokyo Gas Co., Ltd. (b) | 236,243 | ||
11,900 | Toyota Motor Corp. (b) | 235,182 |
Shares | Description | Value | ||
Japan (Continued) | ||||
3,600 | Trend Micro, Inc. (b) | $190,989 | ||
1,800 | Tsuruha Holdings, Inc. (b) | 144,980 | ||
9,200 | USS Co., Ltd. (b) | 150,150 | ||
48,200 | Yamada Holdings Co., Ltd. (b) | 162,668 | ||
14,712,365 | ||||
Jersey – 0.5% | ||||
2,225 | Ferguson PLC (b) | 349,972 | ||
Netherlands – 5.6% | ||||
3,240 | Akzo Nobel N.V. (b) | 335,365 | ||
30,948 | Davide Campari-Milano N.V. (b) | 388,561 | ||
4,352 | Heineken Holding N.V. (b) | 381,548 | ||
3,623 | Heineken N.V. (b) | 388,554 | ||
18,823 | Koninklijke Ahold Delhaize N.V. (b) | 610,329 | ||
2,239 | Koninklijke DSM N.V. (b) | 419,724 | ||
10,992 | Koninklijke Vopak N.V. (b) | 377,145 | ||
9,883 | NN Group N.V. (b) | 553,074 | ||
7,260 | Wolters Kluwer N.V. (b) | 738,913 | ||
4,193,213 | ||||
New Zealand – 1.1% | ||||
293,205 | Spark New Zealand Ltd. (b) | 838,019 | ||
Norway – 1.1% | ||||
43,466 | Orkla ASA (b) | 415,378 | ||
24,934 | Telenor ASA (b) | 412,073 | ||
827,451 | ||||
Singapore – 6.1% | ||||
14,400 | DBS Group Holdings Ltd. (b) | 378,243 | ||
63,800 | Oversea-Chinese Banking Corp., Ltd. (b) | 593,868 | ||
60,600 | Singapore Exchange Ltd. (b) | 419,459 | ||
285,200 | Singapore Technologies Engineering Ltd. (b) | 792,702 | ||
291,400 | Singapore Telecommunications Ltd. (b) | 528,374 | ||
43,300 | United Overseas Bank Ltd. (b) | 967,697 | ||
82,500 | UOL Group Ltd. (b) | 447,395 | ||
35,900 | Venture Corp. Ltd. (b) | 470,353 | ||
4,598,091 | ||||
Spain – 2.0% | ||||
27,580 | Enagas S.A. (b) | 596,336 | ||
17,600 | Iberdrola S.A. (b) | 201,785 | ||
8,254 | Naturgy Energy Group S.A. (b) | 261,341 | ||
23,415 | Red Electrica Corp. S.A. (b) | 472,005 | ||
1,531,467 | ||||
Sweden – 3.3% | ||||
12,695 | Essity AB, Class B (b) | 357,877 | ||
5,393 | Industrivarden AB, Class A (b) | 170,483 | ||
6,153 | Industrivarden AB, Class C (b) | 191,116 | ||
9,298 | Investor AB, Class B (b) | 201,878 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Sweden (Continued) | ||||
21,433 | Svenska Handelsbanken AB, Class A (b) | $228,424 | ||
28,056 | Swedish Match AB (b) | 217,077 | ||
23,314 | Tele2 AB, Class B (b) | 339,220 | ||
197,123 | Telia Co., AB (b) | 776,940 | ||
2,483,015 | ||||
Switzerland – 11.1% | ||||
4,099 | Baloise Holding AG (b) | 718,049 | ||
654 | Geberit AG (b) | 444,348 | ||
10,664 | Nestle S.A. (b) | 1,377,132 | ||
12,452 | Novartis AG (b) | 1,081,949 | ||
1,319 | Roche Holding AG (b) | 510,452 | ||
1,389 | Schindler Holding AG (b) | 348,617 | ||
724 | Swiss Life Holding AG (b) | 465,974 | ||
7,935 | Swiss Prime Site AG (b) | 784,585 | ||
4,213 | Swiss Re AG (b) | 459,039 | ||
2,272 | Swisscom AG (b) | 1,298,619 | ||
1,765 | Zurich Insurance Group AG (b) | 844,214 | ||
8,332,978 | ||||
United Kingdom – 6.5% | ||||
8,786 | Bunzl PLC (b) | 329,097 | ||
2,713 | Croda International PLC (b) | 292,999 | ||
70,098 | National Grid PLC (b) | 1,025,739 | ||
9,254 | RELX PLC (b) | 284,657 | ||
39,674 | Rentokil Initial PLC (b) | 277,827 | ||
27,881 | Sage Group (The) PLC (b) | 272,453 | ||
11,304 | Severn Trent PLC (b) | 438,870 | ||
1,148 | Spirax-Sarco Engineering PLC (b) | 206,934 | ||
88,399 | Tesco PLC (b) | 355,070 | ||
13,803 | Unilever PLC (b) | 707,844 | ||
46,292 | United Utilities Group PLC (b) | 667,803 | ||
4,859,293 | ||||
Total Common Stocks | 71,878,651 | |||
(Cost $70,667,118) | ||||
REAL ESTATE INVESTMENT TRUSTS (a) – 2.8% | ||||
France – 0.5% | ||||
3,061 | Gecina S.A. (b) | 415,354 | ||
Hong Kong – 0.7% | ||||
57,850 | Link REIT (b) | 496,672 | ||
Singapore – 1.6% | ||||
224,900 | Ascendas Real Estate Investment Trust (b) | 461,235 | ||
228,400 | Mapletree Commercial Trust (b) | 305,717 |
Shares | Description | Value | ||
Singapore (Continued) | ||||
331,943 | Mapletree Logistics Trust (b) | $417,758 | ||
1,184,710 | ||||
Total Real Estate Investment Trusts | 2,096,736 | |||
(Cost $2,293,879) | ||||
Total Investments – 98.9% | 73,975,387 | |||
(Cost $72,960,997) | ||||
Net Other Assets and Liabilities – 1.1% | 817,561 | |||
Net Assets – 100.0% | $74,792,948 |
(a) | Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
(b) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Trust’s Board of Trustees and in accordance with provisions of the Investment Company Act of 1940, as amended. At January 31, 2022, securities noted as such are valued at $73,656,889 or 98.5% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets’ close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. |
(c) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”). |
(d) | This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
(e) | Non-income producing security. |
Currency Exposure Diversification | % of Total Investments |
Euro | 32.6% |
Japanese Yen | 19.9 |
Swiss Franc | 11.3 |
Hong Kong Dollar | 9.3 |
Singapore Dollar | 7.8 |
British Pound Sterling | 7.1 |
Australian Dollar | 4.6 |
Swedish Krona | 3.4 |
New Zealand Dollar | 1.1 |
Norwegian Krone | 1.1 |
Danish Krone | 0.9 |
Israeli Shekel | 0.5 |
United States Dollar | 0.4 |
Total | 100.0% |
Total Value at 1/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
Israel | $ 649,677 | $ 318,498 | $ 331,179 | $ — |
Other Country Categories* | 71,228,974 | — | 71,228,974 | — |
Real Estate Investment Trusts* | 2,096,736 | — | 2,096,736 | — |
Total Investments | $ 73,975,387 | $ 318,498 | $ 73,656,889 | $— |
* | See Portfolio of Investments for country breakout. |
Shares | Description | Value | ||
COMMON STOCKS – 80.6% | ||||
Aerospace & Defense – 0.4% | ||||
1,037 | Mercury Systems, Inc. (a) | $59,026 | ||
Air Freight & Logistics – 0.3% | ||||
598 | Atlas Air Worldwide Holdings, Inc. (a) | 48,037 | ||
Auto Components – 1.0% | ||||
2,492 | Gentex Corp. | 78,249 | ||
364 | Lear Corp. | 60,904 | ||
139,153 | ||||
Banks – 3.4% | ||||
2,806 | Associated Banc-Corp. | 67,063 | ||
1,351 | Bank OZK | 63,294 | ||
1,316 | Commerce Bancshares, Inc. | 90,686 | ||
515 | Cullen/Frost Bankers, Inc. | 72,620 | ||
3,740 | First Horizon Corp. | 63,991 | ||
1,002 | Prosperity Bancshares, Inc. | 73,397 | ||
4,456 | Valley National Bancorp | 62,028 | ||
493,079 | ||||
Biotechnology – 0.5% | ||||
326 | United Therapeutics Corp. (a) | 65,810 | ||
Building Products – 1.7% | ||||
387 | Carlisle Cos., Inc. | 86,471 | ||
264 | Lennox International, Inc. | 74,876 | ||
616 | Owens Corning | 54,639 | ||
431 | Trex Co., Inc. (a) | 39,424 | ||
255,410 | ||||
Capital Markets – 3.1% | ||||
324 | Affiliated Managers Group, Inc. | 47,372 | ||
458 | Evercore, Inc., Class A | 57,168 | ||
204 | FactSet Research Systems, Inc. | 86,066 | ||
1,428 | Janus Henderson Group PLC | 52,693 | ||
1,716 | Jefferies Financial Group, Inc. | 62,874 | ||
1,413 | SEI Investments Co. | 82,816 | ||
885 | Stifel Financial Corp. | 66,286 | ||
455,275 | ||||
Chemicals – 2.2% | ||||
922 | Ashland Global Holdings, Inc. | 88,549 | ||
1,019 | RPM International, Inc. | 90,293 | ||
405 | Scotts Miracle-Gro (The) Co. | 61,236 | ||
2,722 | Valvoline, Inc. | 89,663 | ||
329,741 | ||||
Commercial Services & Supplies – 2.5% | ||||
1,289 | ABM Industries, Inc. | 53,739 | ||
620 | Clean Harbors, Inc. (a) | 57,381 | ||
1,054 | IAA, Inc. (a) | 48,410 | ||
592 | MSA Safety, Inc. | 81,341 | ||
1,303 | Stericycle, Inc. (a) | 76,538 |
Shares | Description | Value | ||
Commercial Services & Supplies (Continued) | ||||
349 | Tetra Tech, Inc. | $48,577 | ||
365,986 | ||||
Communications Equipment – 1.3% | ||||
1,293 | Ciena Corp. (a) | 85,739 | ||
5,934 | Viavi Solutions, Inc. (a) | 97,673 | ||
183,412 | ||||
Construction & Engineering – 0.8% | ||||
930 | AECOM | 64,291 | ||
476 | EMCOR Group, Inc. | 56,744 | ||
121,035 | ||||
Construction Materials – 0.4% | ||||
419 | Eagle Materials, Inc. | 61,111 | ||
Consumer Finance – 0.4% | ||||
3,559 | SLM Corp. | 65,272 | ||
Containers & Packaging – 1.8% | ||||
700 | AptarGroup, Inc. | 82,110 | ||
2,227 | Silgan Holdings, Inc. | 99,725 | ||
1,511 | Sonoco Products Co. | 85,583 | ||
267,418 | ||||
Diversified Consumer Services – 1.5% | ||||
758 | Grand Canyon Education, Inc. (a) | 63,429 | ||
2,917 | H&R Block, Inc. | 66,683 | ||
1,388 | Service Corp. International | 85,667 | ||
215,779 | ||||
Electric Utilities – 1.9% | ||||
891 | IDACORP, Inc. | 98,206 | ||
2,688 | OGE Energy Corp. | 101,929 | ||
1,866 | PNM Resources, Inc. | 83,615 | ||
283,750 | ||||
Electrical Equipment – 1.3% | ||||
440 | Hubbell, Inc. | 82,408 | ||
1,551 | nVent Electric PLC | 53,649 | ||
352 | Regal Rexnord Corp. | 55,785 | ||
191,842 | ||||
Electronic Equipment, Instruments & Components – 3.6% | ||||
755 | Arrow Electronics, Inc. (a) | 93,620 | ||
2,167 | Avnet, Inc. | 87,460 | ||
957 | Cognex Corp. | 63,602 | ||
1,155 | Jabil, Inc. | 71,021 | ||
234 | Littelfuse, Inc. | 63,173 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Electronic Equipment, Instruments & Components (Continued) | ||||
648 | TD SYNNEX Corp. | $67,762 | ||
6,409 | TTM Technologies, Inc. (a) | 86,265 | ||
532,903 | ||||
Entertainment – 0.5% | ||||
1,318 | World Wrestling Entertainment, Inc., Class A | 65,821 | ||
Food & Staples Retailing – 2.0% | ||||
1,055 | BJ’s Wholesale Club Holdings, Inc. (a) | 64,851 | ||
454 | Casey’s General Stores, Inc. | 85,266 | ||
2,645 | Grocery Outlet Holding Corp. (a) | 67,130 | ||
2,853 | Sprouts Farmers Market, Inc. (a) | 77,430 | ||
294,677 | ||||
Food Products – 3.5% | ||||
3,612 | Flowers Foods, Inc. | 101,606 | ||
1,966 | Hain Celestial Group (The), Inc. (a) | 71,818 | ||
923 | Ingredion, Inc. | 87,408 | ||
565 | Lancaster Colony Corp. | 89,705 | ||
877 | Post Holdings, Inc. (a) | 92,804 | ||
1,801 | TreeHouse Foods, Inc. (a) | 69,753 | ||
513,094 | ||||
Gas Utilities – 0.6% | ||||
2,059 | UGI Corp. | 93,376 | ||
Health Care Equipment & Supplies – 3.2% | ||||
486 | CONMED Corp. | 66,864 | ||
1,825 | Envista Holdings Corp. (a) | 78,913 | ||
1,179 | Globus Medical, Inc., Class A (a) | 78,675 | ||
251 | ICU Medical, Inc. (a) | 53,553 | ||
1,018 | Integra LifeSciences Holdings Corp. (a) | 65,905 | ||
318 | Masimo Corp. (a) | 69,919 | ||
1,205 | NuVasive, Inc. (a) | 62,672 | ||
476,501 | ||||
Health Care Providers & Services – 3.2% | ||||
1,041 | Acadia Healthcare Co., Inc. (a) | 54,809 | ||
607 | AMN Healthcare Services, Inc. (a) | 61,513 | ||
182 | Chemed Corp. | 85,342 | ||
1,363 | Encompass Health Corp. | 84,560 | ||
438 | LHC Group, Inc. (a) | 54,356 | ||
242 | Molina Healthcare, Inc. (a) | 70,296 | ||
1,990 | Patterson Cos., Inc. | 57,093 | ||
467,969 |
Shares | Description | Value | ||
Health Care Technology – 0.8% | ||||
5,934 | Allscripts Healthcare Solutions, Inc. (a) | $119,986 | ||
Hotels, Restaurants & Leisure – 2.8% | ||||
603 | Choice Hotels International, Inc. | 86,470 | ||
466 | Cracker Barrel Old Country Store, Inc. | 55,519 | ||
722 | Jack in the Box, Inc. | 65,738 | ||
523 | Papa John’s International, Inc. | 64,565 | ||
706 | Texas Roadhouse, Inc. | 60,285 | ||
951 | Wyndham Hotels & Resorts, Inc. | 79,837 | ||
412,414 | ||||
Household Durables – 0.4% | ||||
312 | Helen of Troy, Ltd. (a) | 65,311 | ||
Household Products – 0.6% | ||||
2,158 | Energizer Holdings, Inc. | 81,162 | ||
Insurance – 4.3% | ||||
134 | Alleghany Corp. (a) | 88,976 | ||
526 | American Financial Group, Inc. | 68,527 | ||
1,226 | First American Financial Corp. | 91,349 | ||
1,253 | Kemper Corp. | 75,155 | ||
303 | Kinsale Capital Group, Inc. | 60,697 | ||
3,550 | Old Republic International Corp. | 90,987 | ||
582 | Reinsurance Group of America, Inc. | 66,831 | ||
576 | RenaissanceRe Holdings Ltd. | 90,530 | ||
633,052 | ||||
Interactive Media & Services – 0.4% | ||||
585 | Ziff Davis, Inc. (a) | 61,460 | ||
IT Services – 1.5% | ||||
1,807 | Genpact Ltd. | 89,898 | ||
1,067 | Maximus, Inc. | 82,501 | ||
440 | Perficient, Inc. (a) | 46,121 | ||
218,520 | ||||
Leisure Products – 0.8% | ||||
3,028 | Mattel, Inc. (a) | 63,346 | ||
529 | Polaris, Inc. | 59,560 | ||
122,906 | ||||
Life Sciences Tools & Services – 0.8% | ||||
286 | Medpace Holdings Inc. (a) | 50,754 | ||
806 | Syneos Health, Inc. (a) | 72,991 | ||
123,745 | ||||
Machinery – 6.2% | ||||
409 | AGCO Corp. | 47,935 | ||
1,133 | Colfax Corp. (a) | 46,589 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Machinery (Continued) | ||||
489 | Crane Co. | $50,616 | ||
1,489 | Donaldson Co., Inc. | 82,878 | ||
1,448 | Flowserve Corp. | 47,234 | ||
1,157 | Graco, Inc. | 83,952 | ||
780 | ITT, Inc. | 71,698 | ||
635 | Lincoln Electric Holdings, Inc. | 81,178 | ||
337 | Middleby (The) Corp. (a) | 62,412 | ||
349 | Nordson Corp. | 81,156 | ||
481 | Oshkosh Corp. | 54,743 | ||
771 | Timken (The) Co. | 51,503 | ||
913 | Toro (The) Co. | 88,177 | ||
492 | Woodward, Inc. | 54,253 | ||
904,324 | ||||
Media – 0.4% | ||||
1,440 | New York Times (The) Co., Class A | 57,643 | ||
Metals & Mining – 1.4% | ||||
875 | Compass Minerals International, Inc. | 46,725 | ||
458 | Reliance Steel & Aluminum Co. | 70,019 | ||
828 | Royal Gold, Inc. | 84,083 | ||
200,827 | ||||
Multi-Utilities – 1.3% | ||||
3,145 | MDU Resources Group, Inc. | 92,368 | ||
1,614 | NorthWestern Corp. | 93,806 | ||
186,174 | ||||
Pharmaceuticals – 1.0% | ||||
550 | Jazz Pharmaceuticals PLC (a) | 76,401 | ||
1,030 | Pacira BioSciences, Inc. (a) | 64,653 | ||
141,054 | ||||
Professional Services – 3.3% | ||||
471 | ASGN, Inc. (a) | 54,104 | ||
316 | CACI International, Inc., Class A (a) | 78,197 | ||
635 | Exponent, Inc. | 60,312 | ||
638 | FTI Consulting, Inc. (a) | 93,027 | ||
1,593 | KBR, Inc. | 69,136 | ||
594 | ManpowerGroup, Inc. | 62,293 | ||
838 | Science Applications International Corp. | 68,741 | ||
485,810 | ||||
Real Estate Management & Development – 0.4% | ||||
258 | Jones Lang LaSalle, Inc. (a) | 64,704 | ||
Road & Rail – 2.2% | ||||
1,236 | Knight-Swift Transportation Holdings, Inc. | 69,933 | ||
518 | Landstar System, Inc. | 82,880 | ||
610 | Ryder System, Inc. | 44,646 |
Shares | Description | Value | ||
Road & Rail (Continued) | ||||
1,893 | Werner Enterprises, Inc. | $84,409 | ||
637 | XPO Logistics, Inc. (a) | 42,150 | ||
324,018 | ||||
Semiconductors & Semiconductor Equipment – 1.3% | ||||
970 | Cirrus Logic, Inc. (a) | 86,757 | ||
295 | Silicon Laboratories, Inc. (a) | 48,731 | ||
354 | Universal Display Corp. | 54,342 | ||
189,830 | ||||
Software – 1.9% | ||||
1,685 | CDK Global, Inc. | 72,405 | ||
911 | CommVault Systems, Inc. (a) | 61,456 | ||
188 | Fair Isaac Corp. (a) | 93,058 | ||
399 | Manhattan Associates, Inc. (a) | 53,414 | ||
280,333 | ||||
Specialty Retail – 0.9% | ||||
286 | Five Below, Inc. (a) | 46,904 | ||
436 | Murphy USA, Inc. | 85,744 | ||
132,648 | ||||
Technology Hardware, Storage & Peripherals – 0.5% | ||||
3,205 | Xerox Holdings Corp. | 67,658 | ||
Textiles, Apparel & Luxury Goods – 1.2% | ||||
616 | Carter’s, Inc. | 57,362 | ||
821 | Columbia Sportswear Co. | 76,246 | ||
143 | Deckers Outdoor Corp. (a) | 45,793 | ||
179,401 | ||||
Thrifts & Mortgage Finance – 2.0% | ||||
1,689 | Essent Group Ltd. | 77,086 | ||
5,056 | MGIC Investment Corp. | 76,750 | ||
2,071 | Mr Cooper Group, Inc. (a) | 83,151 | ||
5,462 | New York Community Bancorp, Inc. | 63,687 | ||
300,674 | ||||
Trading Companies & Distributors – 1.2% | ||||
1,069 | MSC Industrial Direct Co., Inc., Class A | 87,273 | ||
295 | Watsco, Inc. | 83,355 | ||
170,628 | ||||
Water Utilities – 1.9% | ||||
977 | American States Water Co. | 90,109 | ||
1,452 | California Water Service Group | 90,154 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Water Utilities (Continued) | ||||
1,923 | Essential Utilities, Inc. | $93,727 | ||
273,990 | ||||
Total Common Stocks | 11,843,749 | |||
(Cost $11,932,458) | ||||
REAL ESTATE INVESTMENT TRUSTS – 19.1% | ||||
Equity Real Estate Investment Trusts – 16.9% | ||||
1,295 | Agree Realty Corp. | 84,667 | ||
1,674 | American Campus Communities, Inc. | 87,483 | ||
5,368 | Brandywine Realty Trust | 69,032 | ||
565 | Camden Property Trust | 90,451 | ||
3,225 | Corporate Office Properties Trust | 81,464 | ||
2,261 | Cousins Properties, Inc. | 87,184 | ||
926 | CyrusOne, Inc. | 83,201 | ||
2,106 | Douglas Emmett, Inc. | 65,749 | ||
4,236 | Easterly Government Properties, Inc. | 88,829 | ||
459 | EastGroup Properties, Inc. | 91,759 | ||
1,514 | First Industrial Realty Trust, Inc. | 92,021 | ||
2,842 | Healthcare Realty Trust, Inc. | 88,159 | ||
1,760 | Highwoods Properties, Inc. | 75,891 | ||
3,523 | Independence Realty Trust, Inc. | 80,994 | ||
1,191 | Kilroy Realty Corp. | 76,224 | ||
746 | Lamar Advertising Co., Class A | 82,627 | ||
701 | Life Storage, Inc. | 94,600 | ||
6,142 | LXP Industrial Trust | 91,454 | ||
4,327 | Medical Properties Trust, Inc. | 98,483 | ||
1,984 | National Retail Properties, Inc. | 88,050 | ||
1,468 | National Storage Affiliates Trust | 90,370 | ||
3,063 | Omega Healthcare Investors, Inc. | 96,423 | ||
4,913 | Physicians Realty Trust | 89,711 | ||
510 | PS Business Parks, Inc. | 85,150 | ||
2,314 | Rayonier, Inc. | 84,554 | ||
1,325 | Rexford Industrial Realty, Inc. | 96,950 | ||
4,872 | Sabra Health Care REIT, Inc. | 66,308 | ||
1,877 | Spirit Realty Capital, Inc. | 89,082 | ||
2,643 | STORE Capital Corp. | 83,810 | ||
2,480,680 | ||||
Mortgage Real Estate Investment Trusts – 2.2% | ||||
8,462 | ARMOUR Residential REIT, Inc. | 79,374 | ||
5,032 | Ellington Financial, Inc. | 89,419 | ||
4,736 | PennyMac Mortgage Investment Trust | 84,395 |
Shares | Description | Value | ||
Mortgage Real Estate Investment Trusts (Continued) | ||||
12,619 | Two Harbors Investment Corp. | $72,559 | ||
325,747 | ||||
Total Real Estate Investment Trusts | 2,806,427 | |||
(Cost $2,725,579) | ||||
Total Investments – 99.7% | 14,650,176 | |||
(Cost $14,658,037) | ||||
Net Other Assets and Liabilities – 0.3% | 37,093 | |||
Net Assets – 100.0% | $14,687,269 |
(a) | Non-income producing security. |
Total Value at 1/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 11,843,749 | $ 11,843,749 | $ — | $ — |
Real Estate Investment Trusts* | 2,806,427 | 2,806,427 | — | — |
Total Investments | $ 14,650,176 | $ 14,650,176 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | First Trust Horizon Managed Volatility Developed International ETF (HDMV) | First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | |||
ASSETS: | |||||
Investments, at value | $ 127,412,302 | $ 73,975,387 | $ 14,650,176 | ||
Cash | 171,733 | 51,177 | 43,161 | ||
Foreign currency | — | 1,159 | — | ||
Receivables: | |||||
Investment securities sold | 1,698,967 | 507,430 | — | ||
Dividends | 170,499 | 67,155 | 4,081 | ||
Dividend reclaims | 1,833 | 242,148 | 114 | ||
Total Assets | 129,455,334 | 74,844,456 | 14,697,532 | ||
LIABILITIES: | |||||
Payables: | |||||
Capital shares redeemed | 1,702,329 | — | — | ||
Investment advisory fees | 78,304 | 51,508 | 10,263 | ||
Total Liabilities | 1,780,633 | 51,508 | 10,263 | ||
NET ASSETS | $127,674,701 | $74,792,948 | $14,687,269 | ||
NET ASSETS consist of: | |||||
Paid-in capital | $ 157,862,110 | $ 99,912,101 | $ 14,230,124 | ||
Par value | 37,500 | 24,000 | 4,500 | ||
Accumulated distributable earnings (loss) | (30,224,909) | (25,143,153) | 452,645 | ||
NET ASSETS | $127,674,701 | $74,792,948 | $14,687,269 | ||
NET ASSET VALUE, per share | $34.05 | $31.16 | $32.64 | ||
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 3,750,002 | 2,400,002 | 450,002 | ||
Investments, at cost | $113,628,258 | $72,960,997 | $14,658,037 | ||
Foreign currency, at cost (proceeds) | $— | $1,151 | $— |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | First Trust Horizon Managed Volatility Developed International ETF (HDMV) | First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | ||||
INVESTMENT INCOME: | ||||||
Dividends | $ 1,350,369 | $ 931,356 | $ 152,205 | |||
Interest | 5 | 5 | — | |||
Foreign withholding tax | — | (64,085) | — | |||
Other | — | 4 | 87 | |||
Total investment income | 1,350,374 | 867,280 | 152,292 | |||
EXPENSES: | ||||||
Investment advisory fees | 445,015 | 333,046 | 60,690 | |||
Total expenses | 445,015 | 333,046 | 60,690 | |||
NET INVESTMENT INCOME (LOSS) | 905,359 | 534,234 | 91,602 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||||
Net realized gain (loss) on: | ||||||
Investments | 3,997,892 | 1,951,183 | (165,040) | |||
In-kind redemptions | 249,603 | 348,186 | 918,968 | |||
Foreign currency transactions | — | (8,545) | — | |||
Net realized gain (loss) | 4,247,495 | 2,290,824 | 753,928 | |||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investments | (568,701) | (4,678,486) | (952,870) | |||
Foreign currency translation | — | (29,004) | — | |||
Net change in unrealized appreciation (depreciation) | (568,701) | (4,707,490) | (952,870) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 3,678,794 | (2,416,666) | (198,942) | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 4,584,153 | $(1,882,432) | $(107,340) |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | First Trust Horizon Managed Volatility Developed International ETF (HDMV) | ||||||
Six Months Ended 1/31/2022 (Unaudited) | Year Ended 7/31/2021 | Six Months Ended 1/31/2022 (Unaudited) | Year Ended 7/31/2021 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 905,359 | $ 2,290,770 | $ 534,234 | $ 2,610,309 | |||
Net realized gain (loss) | 4,247,495 | 32,204,187 | 2,290,824 | 10,415,785 | |||
Net increase from payment by the advisor | — | — | — | 6,254 | |||
Net change in unrealized appreciation (depreciation) | (568,701) | (4,733,783) | (4,707,490) | 3,610,545 | |||
Net increase (decrease) in net assets resulting from operations | 4,584,153 | 29,761,174 | (1,882,432) | 16,642,893 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (946,271) | (2,308,451) | (982,681) | (2,737,667) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 4,981,407 | 127,467,991 | — | — | |||
Cost of shares redeemed | (1,702,329) | (248,985,087) | (9,303,716) | (50,656,967) | |||
Net increase (decrease) in net assets resulting from shareholder transactions | 3,279,078 | (121,517,096) | (9,303,716) | (50,656,967) | |||
Total increase (decrease) in net assets | 6,916,960 | (94,064,373) | (12,168,829) | (36,751,741) | |||
NET ASSETS: | |||||||
Beginning of period | 120,757,741 | 214,822,114 | 86,961,777 | 123,713,518 | |||
End of period | $127,674,701 | $120,757,741 | $74,792,948 | $86,961,777 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 3,650,002 | 7,900,002 | 2,700,002 | 4,400,002 | |||
Shares sold | 150,000 | 4,600,000 | — | — | |||
Shares redeemed | (50,000) | (8,850,000) | (300,000) | (1,700,000) | |||
Shares outstanding, end of period | 3,750,002 | 3,650,002 | 2,400,002 | 2,700,002 |
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | ||
Six Months Ended 1/31/2022 (Unaudited) | Year Ended 7/31/2021 | |
$ 91,602 | $ 155,806 | |
753,928 | 4,216,877 | |
— | — | |
(952,870) | (131,960) | |
(107,340) | 4,240,723 | |
(84,555) | (160,236) | |
5,088,820 | 23,515,729 | |
(5,115,847) | (32,712,721) | |
(27,027) | (9,196,992) | |
(218,922) | (5,116,505) | |
14,906,191 | 20,022,696 | |
$14,687,269 | $14,906,191 | |
450,002 | 800,002 | |
150,000 | 800,000 | |
(150,000) | (1,150,000) | |
450,002 | 450,002 |
Six Months Ended 1/31/2022 (Unaudited) | Year Ended July 31, | Period Ended 7/31/2017 (a) | ||||||||||
2021 | 2020 | 2019 | 2018 | |||||||||
Net asset value, beginning of period | $ 33.08 | $ 27.19 | $ 26.71 | $ 23.49 | $ 22.03 | $ 19.96 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss) | 0.24 | 0.46 | 0.37 | 0.37 | 0.30 | 0.24 | ||||||
Net realized and unrealized gain (loss) | 0.98 | 5.87 | 0.52 | 3.17 | 1.46 | 2.05 | ||||||
Total from investment operations | 1.22 | 6.33 | 0.89 | 3.54 | 1.76 | 2.29 | ||||||
Distributions paid to shareholders from: | ||||||||||||
Net investment income | (0.25) | (0.44) | (0.41) | (0.32) | (0.30) | (0.22) | ||||||
Net asset value, end of period | $34.05 | $33.08 | $27.19 | $26.71 | $23.49 | $22.03 | ||||||
Total return (b) | 3.69% | 23.48% | 3.41% | 15.24% | 8.04% | 11.51% | ||||||
Ratios to average net assets/supplemental data: | ||||||||||||
Net assets, end of period (in 000’s) | $ 127,675 | $ 120,758 | $ 214,822 | $ 224,389 | $ 133,888 | $ 62,799 | ||||||
Ratio of total expenses to average net assets | 0.70% (c) | 0.70% | 0.70% | 0.70% | 0.70% | 0.70% (c) | ||||||
Ratio of net investment income (loss) to average net assets | 1.42% (c) | 1.42% | 1.39% | 1.58% | 1.37% | 1.50% (c) | ||||||
Portfolio turnover rate (d) | 23% | 152% | 211% | 147% | 157% | 149% |
(a) | Inception date is August 24, 2016, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Six Months Ended 1/31/2022 (Unaudited) | Year Ended July 31, | Period Ended 7/31/2017 (a) | ||||||||||
2021 | 2020 | 2019 | 2018 | |||||||||
Net asset value, beginning of period | $ 32.21 | $ 28.12 | $ 32.92 | $ 33.72 | $ 33.05 | $ 29.89 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss) | 0.21 | 0.89 | 0.65 | 0.86 | 0.91 | 0.63 | ||||||
Net realized and unrealized gain (loss) | (0.88) | 4.13 | (4.61) | (0.79) | 0.87 | 3.13 | ||||||
Total from investment operations | (0.67) | 5.02 | (3.96) | 0.07 | 1.78 | 3.76 | ||||||
Distributions paid to shareholders from: | ||||||||||||
Net investment income | (0.38) | (0.93) | (0.84) | (0.87) | (1.11) | (0.60) | ||||||
Net asset value, end of period | $31.16 | $32.21 | $28.12 | $32.92 | $33.72 | $33.05 | ||||||
Total return (b) | (2.09)% | 18.01% (c) | (12.37)% | 0.21% | 5.48% | 12.68% | ||||||
Ratios to average net assets/supplemental data: | ||||||||||||
Net assets, end of period (in 000’s) | $ 74,793 | $ 86,962 | $ 123,714 | $ 128,394 | $ 59,010 | $ 29,745 | ||||||
Ratio of total expenses to average net assets | 0.80% (d) | 0.80% | 0.80% | 0.80% | 0.80% | 0.80% (d) | ||||||
Ratio of net investment income (loss) to average net assets | 1.28% (d) | 2.68% | 2.08% | 2.74% | 2.73% | 2.74% (d) | ||||||
Portfolio turnover rate (e) | 22% | 127% | 196% | 99% | 133% | 150% |
(a) | Inception date is August 24, 2016, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | The Fund received a reimbursement from the advisor in the amount of $6,254, which represents less than $0.01 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Six Months Ended 1/31/2022 (Unaudited) | Year Ended 7/31/2021 | Period Ended 7/31/2020 (a) | |||
Net asset value, beginning of period | $ 33.12 | $ 25.03 | $ 21.10 | ||
Income from investment operations: | |||||
Net investment income (loss) | 0.21 | 0.29 | 0.02 | ||
Net realized and unrealized gain (loss) | (0.50) | 8.09 | 3.92 | ||
Total from investment operations | (0.29) | 8.38 | 3.94 | ||
Distributions paid to shareholders from: | |||||
Net investment income | (0.19) | (0.29) | (0.01) | ||
Net realized gain | — | (0.00) (b) | — | ||
Total distributions | (0.19) | (0.29) | (0.01) | ||
Net asset value, end of period | $32.64 | $33.12 | $25.03 | ||
Total return (c) | (0.91)% | 33.72% | 18.67% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 14,687 | $ 14,906 | $ 20,023 | ||
Ratio of total expenses to average net assets | 0.80% (d) | 0.80% | 0.80% (d) | ||
Ratio of net investment income (loss) to average net assets | 1.21% (d) | 1.02% | 0.60% (d) | ||
Portfolio turnover rate (e) | 32% | 118% | 5% |
(a) | Inception date is April 6, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Amount represents less than $0.01 per share. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
1) | the value of similar foreign securities traded on other foreign markets; |
2) | ADR trading of similar securities; |
3) | closed-end fund or exchange-traded fund trading of similar securities; |
4) | foreign currency exchange activity; |
5) | the trading prices of financial products that are tied to baskets of foreign securities; |
6) | factors relating to the event that precipitated the pricing problem; |
7) | whether the event is likely to recur; and |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |||
First Trust Horizon Managed Volatility Domestic ETF | $ 2,308,451 | $ — | $ — | ||
First Trust Horizon Managed Volatility Developed International ETF | 2,737,667 | — | — | ||
First Trust Horizon Managed Volatility Small/Mid ETF | 160,081 | 155 | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust Horizon Managed Volatility Domestic ETF | $ 163,103 | $ (48,327,956) | $ 14,302,062 | ||
First Trust Horizon Managed Volatility Developed International ETF | 512,282 | (28,169,828) | 5,379,506 | ||
First Trust Horizon Managed Volatility Small/Mid ETF | 4,006 | (249,714) | 890,248 |
Non-Expiring Capital Loss Carryforward | |
First Trust Horizon Managed Volatility Domestic ETF | $ 48,327,956 |
First Trust Horizon Managed Volatility Developed International ETF | 28,169,828 |
First Trust Horizon Managed Volatility Small/Mid ETF | 249,714 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
First Trust Horizon Managed Volatility Domestic ETF | $ 113,628,258 | $ 15,215,077 | $ (1,431,033) | $ 13,784,044 | |||
First Trust Horizon Managed Volatility Developed International ETF | 72,960,997 | 4,983,818 | (3,969,428) | 1,014,390 | |||
First Trust Horizon Managed Volatility Small/Mid ETF | 14,658,037 | 644,725 | (652,586) | (7,861) |
Purchases | Sales | ||
First Trust Horizon Managed Volatility Domestic ETF | $ 28,828,731 | $ 28,792,405 | |
First Trust Horizon Managed Volatility Developed International ETF | 17,678,612 | 18,464,581 | |
First Trust Horizon Managed Volatility Small/Mid ETF | 4,891,087 | 4,739,604 | |
Purchases | Sales | ||
First Trust Horizon Managed Volatility Domestic ETF | $ 4,970,664 | $ 1,698,967 | |
First Trust Horizon Managed Volatility Developed International ETF | — | 9,270,538 | |
First Trust Horizon Managed Volatility Small/Mid ETF | 5,077,676 | 5,118,890 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FIRST TRUST HORIZON MANAGED VOLATILITY DEVELOPED INTERNATIONAL ETF
FIRST TRUST HORIZON MANAGED VOLATILITY SMALL/MID ETF
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
• | The Board considered the nature, extent and quality of the services provided by the Sub-Advisor and that the Sub-Advisor actively manages each Fund’s investments. In considering the Sub-Advisor’s management of the Funds, the Board noted the background and experience of the Sub-Advisor’s portfolio management team, including the Board’s prior meetings with members of the portfolio management team. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to each Fund by the Sub-Advisor were satisfactory and that the Sub-Advisor, under the oversight of the Advisor, has managed each Fund consistent with the Fund’s investment objective, policies and restrictions. |
• | The Board noted that the sub-advisory fee for each Fund is paid by the Advisor from the unitary fee payable under the Fund’s investment advisory agreement and its understanding that each Fund’s sub-advisory fee rate was the product of an arm’s length negotiation. The Board received and reviewed information showing the sub-advisory fee rate for each Fund as compared to fees charged to other clients of the Sub-Advisor. |
• | The Board considered performance information for the Fund. The Board noted the process that it has established for monitoring each Fund’s performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Sub-Advisor for the Fund. The Board determined that this process continues to be effective for reviewing the Fund’s performance. The Board received and reviewed information comparing each Fund’s performance for periods ended December 31, 2020 to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the “Performance Universe”), each assembled by Broadridge Financial Solutions, Inc., an independent source. Based on the information provided, the Board noted that each of HUSV and HDMV underperformed its Performance Universe median and benchmark index for the one- and three-year periods ended December 31, 2020. The Board noted the Advisor’s discussion of HUSV’s and HDMV’s performance at the April 26, 2021 meeting. Because HSMV commenced operations on April 6, 2020 and therefore has a limited performance history, comparative performance information for the Fund was not considered. |
• | On the basis of all the information provided on the unitary fee and performance, as applicable, of each Fund and the ongoing oversight by the Board, the Board concluded that the unitary fee for each Fund (out of which the Sub-Advisor is compensated) continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor and the Sub-Advisor to each Fund under the Investment Management and Sub-Advisory Agreements. |
• | The Board considered the Sub-Advisor’s statements to the effect that it is difficult to know if or precisely when measurable economies of scale will be achieved for the Sub-Advisor and that the Sub-Advisor presumes expenses related to providing services will remain approximately the same over the next twelve months. The Board did not review the profitability of the Sub-Advisor with respect to each Fund. The Board noted that the Advisor pays the Sub-Advisor for each Fund from its unitary fee and its understanding that each Fund’s sub-advisory fee rate was the product of an arm’s length negotiation. The Board considered the potential fall-out benefits to the Sub-Advisor from being associated with the Advisor and the Funds. The Board noted that the Sub-Advisor is not responsible for coordinating execution of Fund trades and that the only known fall-out benefit the Sub-Advisor receives from managing the Funds is publicity related to managing an ETF in a closely monitored sector of the ETF universe. The Board concluded that the character and amount of potential fall-out benefits to the Sub-Advisor were not unreasonable. |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
First Trust New York Municipal High Income ETF (FMNY)
For the Six Months Ended
January 31, 2022
1 | |
Fund Performance Overview | |
2 | |
5 | |
7 | |
8 | |
9 | |
Portfolio of Investments | |
10 | |
19 | |
21 | |
22 | |
23 | |
24 | |
26 | |
34 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/22 | 1 Year Ended 1/31/22 | Inception (6/20/17) to 1/31/22 | Inception (6/20/17) to 1/31/22 | |
Fund Performance | ||||
NAV | -3.05% | -0.55% | 3.87% | 19.16% |
Market Price | -3.16% | -0.50% | 3.86% | 19.08% |
Index Performance | ||||
Bloomberg 10 Year California Exempt Index | -3.58% | -3.04% | 2.59% | 12.55% |
Sector Allocation | % of Total Investments (including cash) |
Special Assessment | 14.1% |
Insured | 12.6 |
Government Obligation Bond - Unlimited Tax | 10.2 |
Education | 8.2 |
Hospital | 5.4 |
Continuing Care Retirement Communities | 5.2 |
Tobacco | 5.1 |
Industrial Development Bond | 4.5 |
Certificates of Participation | 4.5 |
Dedicated Tax | 3.7 |
Higher Education | 2.9 |
Student Housing | 2.6 |
Water & Sewer | 2.5 |
Airport | 2.4 |
Tax Increment | 2.3 |
Local Housing | 2.1 |
Toll Road | 2.1 |
Housing | 1.3 |
Pre-refunded/Escrowed-to-maturity | 1.3 |
Utility | 0.9 |
Government Obligation Bond - Limited Tax | 0.9 |
Gas | 0.8 |
Other Health | 0.5 |
Cash | 3.9 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 95.2% |
Net Other Assets and Liabilities(1) | 4.8 |
Total | 100.0% |
Credit Rating(2) | % of Total Investments (including cash) |
AAA | 0.4% |
AA | 30.6 |
A | 21.0 |
BBB | 12.9 |
BB | 6.1 |
B | 1.0 |
Not Rated | 23.6 |
A1+ (Short-term) | 0.5 |
Cash | 3.9 |
Total | 100.0% |
(1) | Includes variation margin on futures 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.
Performance | ||
Cumulative Total Returns | ||
6 Months Ended 1/31/22 | Inception (5/12/21) to 1/31/22 | |
Fund Performance | ||
NAV | -3.83% | -2.00% |
Market Price | -3.56% | -1.73% |
Index Performance | ||
Bloomberg Municipal New York 12-17 Years Index | -3.61% | -1.95% |
Sector Allocation | % of Total Investments (including cash) |
Education | 15.2% |
Dedicated Tax | 12.5 |
Mass Transit | 10.9 |
Higher Education | 10.7 |
Insured | 9.4 |
Tobacco | 8.1 |
Hospital | 6.0 |
Government Obligation Bond - Unlimited Tax | 5.0 |
Toll Road | 4.8 |
Water & Sewer | 4.8 |
Utility | 3.9 |
Special Assessment | 2.4 |
Continuing Care Retirement Communities | 2.3 |
Airport | 1.3 |
Cash | 2.7 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 94.1% |
Net Other Assets and Liabilities(1) | 5.9 |
Total | 100.0% |
Credit Quality(2) | % of Total Investments (including cash) |
AAA | 4.8% |
AA | 34.3 |
A | 26.5 |
BBB | 11.9 |
BB | 2.6 |
Not Rated | 17.2 |
Cash | 2.7 |
Total | 100.0% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
(1) | Includes variation margin on futures 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. |
Beginning Account Value August 1, 2021 | Ending Account Value January 31, 2022 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (b) | |
First Trust California Municipal High Income ETF (FCAL) | ||||
Actual | $1,000.00 | $969.50 | 0.50% | $2.48 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.68 | 0.50% | $2.55 |
First Trust New York Municipal High Income ETF (FMNY) | ||||
Actual | $1,000.00 | $961.70 | 0.50% | $2.47 |
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 (August 1, 2021 through January 31, 2022), multiplied by 184/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 95.2% | ||||||||
American Samoa – 0.5% | ||||||||
$500,000 | American Samoa AS Econ Dev Auth Gen Rev, Ser A (a) | 5.00% | 09/01/38 | $596,232 | ||||
California – 87.7% | ||||||||
350,000 | Alameda CA Corridor Transprtn Auth Ref 2nd Subord Lien, Ser B, AGM | 4.00% | 10/01/37 | 381,866 | ||||
150,000 | Alameda CA Corridor Transprtn Auth Ref Subord Lien, Ser A | 5.00% | 10/01/25 | 169,665 | ||||
215,000 | Antelope Vly E Kern CA Wtr Agy Wtr Rev Ref | 5.00% | 06/01/35 | 245,345 | ||||
525,000 | Azusa CA Spl Tax Cmnty Facs Dist No 2005-1 Impt | 4.00% | 09/01/34 | 576,137 | ||||
100,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F | 4.00% | 09/01/33 | 109,474 | ||||
175,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F | 4.00% | 09/01/34 | 191,449 | ||||
330,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F | 4.00% | 09/01/36 | 360,381 | ||||
620,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F | 4.00% | 09/01/40 | 676,065 | ||||
1,000,000 | CA Cmnty Choice Fing Auth Green Bd Clean Energy Proj Rev, Ser A (Mandatory Put 12/01/27) | 4.00% | 10/01/52 | 1,112,773 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Ref, Sonoma Cnty Securitization Corp, Ser A | 4.00% | 06/01/35 | 233,611 | ||||
665,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 5.00% | 06/01/32 | 825,812 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 5.00% | 06/01/33 | 248,250 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 4.00% | 06/01/35 | 231,855 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 4.00% | 06/01/39 | 229,703 | ||||
165,000 | CA Hlth Fac Fing Auth Rev St Joseph Hlth Sys, Ser A | 5.00% | 07/01/29 | 174,673 | ||||
434,084 | CA Hsg Fin Agy Muni Ctfs, Ser A | 4.25% | 01/15/35 | 493,417 | ||||
360,000 | CA Pub Fin Auth Rev Ref Henry Mayo Newhall Hosp, Ser A | 4.00% | 10/15/27 | 404,353 | ||||
360,000 | CA Pub Fin Auth Rev Ref Henry Mayo Newhall Hosp, Ser A | 4.00% | 10/15/28 | 409,454 | ||||
290,000 | CA Pub Fin Auth Sr Living Rev ENSO Vlg Proj Green Bond, Ser A (a) | 5.00% | 11/15/36 | 331,539 | ||||
250,000 | CA Pub Fin Auth Sr Living Rev ENSO Vlg Proj Green Bond, Ser A (a) | 5.00% | 11/15/56 | 278,079 | ||||
750,000 | CA Pub Fin Auth Sr Living Rev Green Bond Temps 70 Enso Vlg Proj, Ser B-2 (a) | 2.38% | 11/15/28 | 753,162 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Proj, Ser C | 4.50% | 07/01/26 | 216,566 | ||||
255,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Projs, Ser A (a) | 5.00% | 07/01/30 | 281,243 | ||||
505,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (a) | 5.00% | 07/01/34 | 566,706 | ||||
105,000 | CA Sch Fin Auth Sch Fac Rev Kipp SoCal Pub Schs, Ser A (a) | 5.00% | 07/01/26 | 119,058 | ||||
105,000 | CA Sch Fin Auth Sch Fac Rev Kipp SoCal Pub Schs, Ser A (a) | 5.00% | 07/01/27 | 121,704 | ||||
400,000 | CA Sch Fin Auth Sch Fac Rev Kipp SoCal Pub Schs, Ser A (a) | 5.00% | 07/01/39 | 471,854 | ||||
675,000 | CA Sch Fin Auth Sch Fac Rev Ref Granada Hills Chrt Oblig Grp, Ser A (a) | 4.00% | 07/01/48 | 725,544 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Ref Hlth Learning Proj, Ser A (a) | 4.00% | 07/01/25 | 215,537 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Ref Hlth Learning Proj, Ser A (a) | 5.00% | 07/01/32 | 226,792 | ||||
650,000 | CA Sch Fin Auth Sch Fac Rev, Ser A (a) | 5.00% | 07/01/40 | 730,872 | ||||
1,000,000 | CA St Ent Dev Auth Lease Rev Riverside Cnty Library Fac Proj | 4.00% | 11/01/37 | 1,107,690 | ||||
100,000 | CA St Ent Dev Auth Stdt Hsg Rev M@Clg Proj, Ser A | 5.00% | 08/01/35 | 120,732 | ||||
100,000 | CA St Ent Dev Auth Stdt Hsg Rev M@Clg Proj, Ser A | 5.00% | 08/01/40 | 119,200 | ||||
30,000 | CA St Hlth Facs Fing Auth Rev El Camino Hosp | 5.00% | 02/01/33 | 35,142 | ||||
220,000 | CA St Hlth Facs Fing Auth Rev Ref Sutter Hlth, Ser B | 5.00% | 11/15/33 | 256,341 | ||||
1,000,000 | CA St Hlth Facs Fing Auth Rev Ref, Commonspirit Hlth, Ser A | 4.00% | 04/01/36 | 1,127,715 | ||||
250,000 | CA St Hlth Facs Fing Auth Rev Sutter Hlth, Ser A | 5.00% | 11/15/30 | 298,769 | ||||
500,000 | CA St Infra & Econ Dev Bank Natl Chrt Social Bond | 4.00% | 11/01/39 | 562,524 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$250,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Sycamore Acdmy Proj (b) | 5.38% | 07/01/34 | $266,487 | ||||
250,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Vista Chrt Middle Sch Proj (c) | 5.38% | 07/01/34 | 269,291 | ||||
900,000 | CA St Muni Fin Auth Chrt Sch Rev John Adams Acdmys Lincoln Proj, Ser A (a) | 5.00% | 10/01/39 | 965,428 | ||||
200,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj (a) | 4.00% | 07/01/26 | 210,235 | ||||
450,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj, Ser A (a) | 5.00% | 07/01/38 | 514,271 | ||||
250,000 | CA St Muni Fin Auth Chrt Sch Rev, Ser A (a) | 5.50% | 06/01/38 | 275,942 | ||||
605,000 | CA St Muni Fin Auth Mobile Home Park Rev Sr Caritas Affordable Hsg Inc Projs, Ser A | 5.25% | 08/15/49 | 643,081 | ||||
295,000 | CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas Proj, Ser B | 4.00% | 08/15/41 | 302,329 | ||||
435,000 | CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas Proj, Ser B | 4.00% | 08/15/51 | 439,703 | ||||
330,000 | CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas Proj, Ser B | 4.00% | 08/15/56 | 330,746 | ||||
155,000 | CA St Muni Fin Auth Rev Ref Biola Univ | 5.00% | 10/01/37 | 178,434 | ||||
225,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/30 | 268,020 | ||||
225,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/32 | 266,767 | ||||
675,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/33 | 799,550 | ||||
475,000 | CA St Muni Fin Auth Rev Ref Cmnty Med Ctrs, Ser A | 5.00% | 02/01/36 | 549,949 | ||||
200,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | 233,684 | ||||
400,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/34 | 467,826 | ||||
250,000 | CA St Muni Fin Auth Rev Ref Emerson Clg, Ser B | 5.00% | 01/01/33 | 288,299 | ||||
1,000,000 | CA St Muni Fin Auth Rev Ref HumanGood CA Oblig Grp | 4.00% | 10/01/46 | 1,114,511 | ||||
700,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/34 | 760,300 | ||||
500,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/36 | 541,647 | ||||
110,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/26 | 125,486 | ||||
435,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/27 | 503,116 | ||||
575,000 | CA St Muni Fin Auth Rev Ref Southwestern Law Sch | 4.00% | 11/01/41 | 638,748 | ||||
625,000 | CA St Muni Fin Auth Sol Wst Disp Rev Var Rep Svcs Inc Proj Remk, Ser B, AMT (Mandatory put 07/15/22) | 0.38% | 07/01/51 | 624,610 | ||||
700,000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 771,123 | ||||
500,000 | CA St Muni Fin Auth Sr Living Rev Ref Mt San Antonio Gardens Proj | 5.00% | 11/15/49 | 563,512 | ||||
550,000 | CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I, LLC W Vlg Stdt Hsg Proj | 5.00% | 05/15/27 | 641,071 | ||||
1,000,000 | CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I, LLC W Vlg Stdt Hsg Proj | 5.00% | 05/15/38 | 1,172,827 | ||||
350,000 | CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I, LLC W Vlg Stdt Hsg Proj | 5.00% | 05/15/40 | 409,289 | ||||
75,000 | CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I, LLC W Vlg Stdt Hsg Proj TCRS, BAM | 5.00% | 05/15/29 | 90,478 | ||||
600,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt Inc, Ser A1, AMT | 3.38% | 07/01/25 | 640,607 | ||||
150,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Waste Mgmt Inc Proj, Ser C (Mandatory put 06/03/24) | 3.25% | 12/01/27 | 157,630 | ||||
1,000,000 | CA St Poll Control Fin Auth Wtr Furnishing Rev, AMT (a) | 5.00% | 07/01/37 | 1,024,783 | ||||
650,000 | CA St Pub Wks Brd Lease Rev Dept Crrctns Rehab RJ, Ser E | 5.00% | 10/01/25 | 734,717 | ||||
15,000 | CA St Pub Wks Brd Lease Rev Judicial Council CA, Ser B | 5.00% | 06/01/34 | 16,721 | ||||
175,000 | CA St Pub Wks Brd Lease Rev Ref, Ser B | 5.00% | 10/01/26 | 203,191 | ||||
165,000 | CA St Pub Wks Brd Lease Rev Ref, Ser B | 5.00% | 05/01/29 | 202,389 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$125,000 | CA St Pub Wks Brd Lease Rev Ref, Ser F | 5.00% | 05/01/24 | $135,769 | ||||
100,000 | CA St Pub Wks Brd Lease Rev Various Corr Facs, Ser A | 5.00% | 09/01/27 | 109,612 | ||||
75,000 | CA St Ref | 4.00% | 09/01/32 | 82,426 | ||||
75,000 | CA St Ref | 4.00% | 08/01/34 | 82,182 | ||||
155,000 | CA St Ref | 4.00% | 09/01/35 | 170,060 | ||||
75,000 | CA St Ref Various Purp | 4.00% | 09/01/33 | 82,391 | ||||
275,000 | CA St Ref Various Purp | 4.00% | 09/01/35 | 301,719 | ||||
100,000 | CA St Ref Various Purp | 5.00% | 10/01/35 | 113,731 | ||||
565,000 | CA St Sch Fin Auth Chrt Sch Rev Arts in Action Chrt Schs, Ser A (a) | 5.00% | 06/01/30 | 628,204 | ||||
335,000 | CA St Sch Fin Auth Chrt Sch Rev Arts in Action Chrt Schs, Ser A (a) | 5.00% | 06/01/40 | 363,979 | ||||
600,000 | CA St Sch Fin Auth Chrt Sch Rev Fenton Chrt Schs, Ser A (a) | 4.00% | 07/01/30 | 652,910 | ||||
600,000 | CA St Sch Fin Auth Chrt Sch Rev Fenton Chrt Schs, Ser A (a) | 5.00% | 07/01/40 | 673,880 | ||||
300,000 | CA St Sch Fin Auth Chrt Sch Rev Rocketship Pub Schs, Ser G (b) | 5.00% | 06/01/37 | 332,617 | ||||
100,000 | CA St Sch Fin Auth Chrt Sch Rev Summit Pub Schs (a) | 5.00% | 06/01/25 | 110,305 | ||||
210,000 | CA St Sch Fin Auth Chrt Sch Rev Summit Pub Schs (a) | 5.00% | 06/01/31 | 236,708 | ||||
500,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No 1 | 4.00% | 09/01/41 | 549,731 | ||||
200,000 | CA St Stwd Cmntys Dev Auth Stdt Hsg Rev Ref Chf Irvine LLC | 5.00% | 05/15/30 | 229,397 | ||||
280,000 | CA St Stwd Cmntys Dev Auth Stdt Hsg Rev Ref Chf Irvine LLC | 5.00% | 05/15/35 | 320,153 | ||||
1,170,000 | CA St Stwd Cmntys Dev Auth Stwd Rev Stwd Cmnty Infra Prog, Ser C-1 | 4.00% | 09/02/31 | 1,251,237 | ||||
600,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/30 | 680,482 | ||||
300,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/33 | 353,912 | ||||
150,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (a) | 3.00% | 11/01/22 | 152,035 | ||||
250,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (a) | 5.00% | 11/01/32 | 289,197 | ||||
245,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/27 | 286,126 | ||||
50,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/30 | 58,154 | ||||
175,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/31 | 202,921 | ||||
50,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 4.00% | 04/01/32 | 55,359 | ||||
50,000 | CA Stwd Cmntys Dev Auth Rev Ref Insd Enloe Med Ctr, CA MTG INS | 5.00% | 08/15/33 | 57,071 | ||||
475,000 | California Cnty CA Tobacco Securitization Agy Tobacco Settle Ref Sonoma Cnty Securitization Corp, Ser A | 5.00% | 06/01/31 | 598,368 | ||||
125,000 | Camarillo CA Cmnty Dev Commn Successor Agy Tax Allocation Ref Camarillo Corridor Proj, AGM | 5.00% | 09/01/25 | 136,787 | ||||
240,000 | Camarillo CA Cmnty Dev Commn Successor Agy Tax Allocation Ref Sub Lien, Ser B, BAM | 5.00% | 09/01/28 | 275,753 | ||||
305,000 | Camarillo CA Cmnty Dev Commn Successor Agy Tax Allocation Ref Sub Lien, Ser B, BAM | 5.00% | 09/01/30 | 350,428 | ||||
400,000 | Casitas Muni Wtr Dist CA Spl Tax Cmnty Facs Dist No 2013-1, BAM | 4.00% | 09/01/34 | 452,662 | ||||
450,000 | Chino CA Cmnty Facs Dist Spl Tax #2003-3 Impt Area #7 | 5.00% | 09/01/31 | 530,427 | ||||
425,000 | Chino Vly CA Unif Sch Dist, Ser B | 5.00% | 08/01/36 | 533,926 | ||||
250,000 | Compton CA Unif Sch Dist Los Angeles Co Schs Fing Prog, Ser A, COPS, BAM | 5.00% | 06/01/31 | 289,849 | ||||
250,000 | Compton CA Unif Sch Dist Los Angeles Co Schs Fing Prog, Ser A, COPS, BAM | 4.00% | 06/01/35 | 275,344 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$200,000 | Compton CA Unif Sch Dist Los Angeles Co Schs Fing Prog, Ser A, COPS, BAM | 4.00% | 06/01/36 | $220,169 | ||||
210,000 | Cotati-Rohnert Park CA Unif Sch Dist 2016 Election, Ser C, AGM | 5.00% | 08/01/32 | 241,800 | ||||
2,000,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev the Link Glendale Social Bonds, Ser A-2 (a) | 4.00% | 07/01/56 | 1,858,779 | ||||
175,000 | Dana Point CA Cmnty Facs Distspl Tax Ref, Ser A, BAM | 4.00% | 09/01/33 | 204,950 | ||||
180,000 | Dana Point CA Cmnty Facs Distspl Tax Ref, Ser A, BAM | 4.00% | 09/01/34 | 210,243 | ||||
200,000 | Del Mar CA Union Sch Dist Spl Tax Ref | 4.00% | 09/01/33 | 222,715 | ||||
300,000 | Del Mar CA Union Sch Dist Spl Tax Ref | 4.00% | 09/01/34 | 333,276 | ||||
270,000 | Diablo CA Wtr Dist Wtr Rev Ref, COPS, BAM | 4.00% | 01/01/32 | 300,742 | ||||
150,000 | Dinuba CA Jt Unif Sch Dist, COPS, AGM | 4.00% | 02/01/35 | 162,241 | ||||
755,000 | El Dorado CA Irr Dist Rev Ref, Ser C | 4.00% | 03/01/34 | 824,017 | ||||
300,000 | Estrn CA Muni Wtr Dist Wtr & Wstwtr Rev Sub Ref, Ser A | 5.00% | 07/01/31 | 347,762 | ||||
350,000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No. 19 Mangini | 5.00% | 09/01/32 | 402,608 | ||||
155,000 | Fontana CA Spl Tax Cmnty Facs Dist #80 Bella Strada | 5.00% | 09/01/29 | 178,023 | ||||
525,000 | Fontana CA Spl Tax Spl Tax, Summit at Rosena Phase One | 4.00% | 09/01/41 | 579,479 | ||||
240,000 | Fontana CA Spl Tax Spl Tax, The Meadows | 4.00% | 09/01/32 | 265,858 | ||||
165,000 | Fontana CA Unif Sch Dist Prerefunded, AGM | (d) | 02/01/33 | 127,732 | ||||
1,000,000 | Foothill Estrn Transprtn Corr Agy CA Toll Rd Rev Ref, Sr Lien, Ser A, Exchange 2021 | 4.00% | 01/15/46 | 1,105,377 | ||||
310,000 | Fountain Vly CA Pub Fing Auth Lease Rev Ref, Ser A | 4.00% | 11/01/29 | 339,681 | ||||
140,000 | Fresno CA Jt Pwrs Fing Auth Lease Rev Ref Master Lease Proj, Ser A, AGM | 5.00% | 04/01/32 | 161,323 | ||||
1,000,000 | Fresno CA Uni Sch Dist, Ser A08/01/45 | 4.00% | 08/01/45 | 1,135,115 | ||||
500,000 | Gilroy CA Unif Sch Dist | 4.00% | 08/01/42 | 571,575 | ||||
280,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Asset Bkd, Ref, Ser A | 3.25% | 06/01/32 | 298,798 | ||||
100,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Enhanced Asset Bkd, Ser A | 5.00% | 06/01/29 | 105,556 | ||||
340,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Ser A-1 | 5.00% | 06/01/26 | 392,768 | ||||
750,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Ser A-1 | 5.00% | 06/01/34 | 908,944 | ||||
145,000 | Golden W CA Schs Fing Auth Ref Beverly Hills Unif Sch Dist, NATL | 5.25% | 08/01/23 | 154,680 | ||||
265,000 | Imperial CA Pub Fing Auth Rev Ref, AGM | 4.00% | 10/15/33 | 301,726 | ||||
360,000 | Imperial CA Pub Fing Auth Rev Ref, AGM | 4.00% | 10/15/35 | 407,581 | ||||
140,000 | Inglewood CA Unif Sch Dist, Ser C, BAM | 4.00% | 08/01/35 | 152,965 | ||||
960,000 | Irvine CA Impt Bond Act 1915 Ref | 4.00% | 09/02/35 | 1,105,506 | ||||
1,000,000 | Irvine CA Impt Bond Act 1915 Ref | 4.00% | 09/02/46 | 1,159,545 | ||||
150,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist #09-1, Ser C | 5.00% | 09/01/31 | 174,426 | ||||
890,000 | Jurupa CA Public Fing Auth Spl Tax Rev Ref, Ser A, AGM | 4.00% | 09/01/34 | 1,010,511 | ||||
290,000 | Kaweah CA Delta Hlthcare Dist Rev, Ser B | 5.00% | 06/01/40 | 320,479 | ||||
100,000 | Kern Cnty CA Wtr Agy Impt Dist #4 Wtr Rev Ref, Ser A, AGM | 5.00% | 05/01/29 | 114,945 | ||||
485,000 | King City CA Union Sch Dist Cap Apprec Election 1998-C, CABS, AMBAC | (d) | 08/01/29 | 413,940 | ||||
250,000 | La Verne CA Ref Brethren Hillcrest Homes, COPS | 5.00% | 05/15/36 | 255,749 | ||||
25,000 | Lammersville CA Jt Unif Sch Dist Spl Tax | 4.00% | 09/01/33 | 27,685 | ||||
25,000 | Lammersville CA Jt Unif Sch Dist Spl Tax | 4.00% | 09/01/34 | 27,662 | ||||
200,000 | Lammersville CA Jt Unif Sch Dist Spl Tax | 4.00% | 09/01/40 | 219,992 | ||||
1,055,000 | Lancaster CA Fing Auth Rev Measure M&R Street Impts Proj | 4.00% | 06/01/35 | 1,211,735 | ||||
100,000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.25% | 11/15/23 | 107,352 | ||||
650,000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.50% | 11/15/30 | 824,911 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$460,000 | Los Angeles CA Dept of Arpts Arpt Rev Ref Sub Los Angeles Intl Arpt, Ser D, AMT | 5.00% | 05/15/32 | $554,615 | ||||
700,000 | Los Angeles CA Dept of Arpts Arpt Rev Sub Los Angeles Intl Arpt, Ser B, AMT | 5.00% | 05/15/31 | 792,639 | ||||
250,000 | Los Angeles CA Dept of Arpts Arpt Rev Subord Los Angeles Intl Arpt, Ser F, AMT | 5.00% | 05/15/32 | 301,421 | ||||
10,000 | Los Angeles CA Dept of Arpts, Ser E | 5.00% | 05/15/28 | 11,175 | ||||
340,000 | Los Angeles CA Muni Impt Corplease Rev Ref Real Property, Ser B | 4.00% | 11/01/37 | 375,770 | ||||
500,000 | Los Angeles CA Unif Sch Dist, Ser C | 4.00% | 07/01/36 | 575,801 | ||||
410,000 | Los Osos CA Cmnty Svcs Wstwtr Assmnt Dist #1 Ref Reassmnt | 3.13% | 09/02/32 | 432,275 | ||||
100,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/27 | 113,408 | ||||
250,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/33 | 281,417 | ||||
250,000 | Marina Coast CA Wtr Dist Enterprise Rev, COPS | 4.00% | 06/01/35 | 287,141 | ||||
310,000 | Marina Coast CA Wtr Dist Enterprise Rev, COPS | 4.00% | 06/01/36 | 355,734 | ||||
1,190,000 | Marysville CA Jt Unif Sch Dist Green Bond, 2021 Energy Efficiency Proj, COPS, BAM | 4.00% | 06/01/39 | 1,332,902 | ||||
245,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/34 | 281,250 | ||||
500,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/44 | 568,099 | ||||
100,000 | Modesto CA Spl Tax Ref Cmnty Facs Dist # 2004-1 Vlg 1 #2 | 5.00% | 09/01/27 | 108,878 | ||||
200,000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (a) | 5.00% | 10/01/42 | 231,174 | ||||
225,000 | Mt San Antonio CA Cmnty Clg Dist Election 2018, Ser A | 4.00% | 08/01/22 | 229,010 | ||||
1,115,000 | Natomas CA Unif Sch Dist, AGM | 3.00% | 08/01/36 | 1,153,386 | ||||
250,000 | Norco CA Spl Tax Ref Norco Ridge Ranch, BAM | 5.00% | 09/01/32 | 294,470 | ||||
750,000 | Oak Vly CA Hosp Dist Hlth Facs Rev Ref, Ser A | 4.00% | 11/01/36 | 775,429 | ||||
405,000 | Oakland CA Unif Sch Dist Alameda Cnty Election of 2012, Ser A, AGM | 4.00% | 08/01/36 | 455,001 | ||||
100,000 | Ontario CA Cmnty Facs Dist 40 Spl Tax Emeral Park Fac | 4.00% | 09/01/34 | 110,705 | ||||
65,000 | Ontario CA Cmnty Facs Dist 40 Spl Tax Emeral Park Fac | 4.00% | 09/01/35 | 71,932 | ||||
275,000 | Ontario CA Cmnty Facs Dist 40 Spl Tax Emeral Park Fac | 4.00% | 09/01/39 | 303,298 | ||||
750,000 | Oxnard CA Sch Dist Election of 2016, Ser C, AGM | 4.00% | 08/01/49 | 835,340 | ||||
800,000 | Pacifica CA Sch Dist Election of 2016 | 4.00% | 08/01/45 | 905,122 | ||||
650,000 | Palm Desert CA Spl Tax Ref Univ Park | 4.00% | 09/01/51 | 675,000 | ||||
250,000 | Palomar Hlth CA Rev Ref | 5.00% | 11/01/31 | 285,067 | ||||
250,000 | Pleasant Vly CA Sch Dist Ventura Cnty, Ser B | 4.00% | 08/01/39 | 285,477 | ||||
500,000 | Pleasant Vly CA Sch Dist Ventura Cnty, Ser B | 4.00% | 08/01/40 | 568,594 | ||||
750,000 | Pleasanton CA Unif Sch Dist | 3.00% | 08/01/36 | 785,002 | ||||
210,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/33 | 240,634 | ||||
220,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/34 | 252,237 | ||||
340,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/39 | 388,137 | ||||
200,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Ref #2004-1 Sunridge Park Area | 5.00% | 09/01/25 | 222,952 | ||||
500,000 | River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2019-1 Phase 2 Pub Impts | 5.00% | 09/01/40 | 565,779 | ||||
300,000 | River Islands CA Pub Fing Auth Spl Tax Ref Cmnty Facs Dist #2003-1 | 5.38% | 09/01/31 | 311,706 | ||||
575,000 | Riverside CA Unif Sch Dist Election of 2016, Ser B | 3.00% | 08/01/38 | 605,844 | ||||
185,000 | Riverside CA Unif Sch Dist Fing Auth Spl Tax Ref, BAM | 5.00% | 09/01/34 | 205,353 | ||||
550,000 | Riverside Cnty CA Teeter Plan Oblig Nts, Ser A | 0.50% | 10/20/22 | 549,982 | ||||
1,035,000 | Riverside Cnty CA Transprtn Commn Toll Rev Ref, Sr Lien, RCTC 91 Express Lanes, Ser B-1 | 4.00% | 06/01/40 | 1,189,564 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$1,495,000 | Rocklin CA Unif Sch Dist Cmnty Facs Dist Subord, Ser 2019, BAM | 4.00% | 09/15/37 | $1,691,766 | ||||
185,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac | 5.00% | 09/01/32 | 211,867 | ||||
160,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac | 5.00% | 09/01/33 | 183,188 | ||||
170,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac | 4.00% | 09/01/34 | 185,979 | ||||
150,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac | 4.00% | 09/01/35 | 163,980 | ||||
225,000 | Roseville CA Spl Tax Vlg CFD #1 | 4.00% | 09/01/33 | 248,687 | ||||
200,000 | Sacramento CA Spl Tax Natomas Meadows Cmnty Facs Dist #2007-01 (a) | 5.00% | 09/01/32 | 220,076 | ||||
500,000 | Sacramento CA Transient Occupancy Tax Rev Sub Convention Ctr Complex, Ser C | 5.00% | 06/01/32 | 584,644 | ||||
385,000 | San Bruno CA Park Sch Dist, Ser B | 4.00% | 08/01/34 | 439,015 | ||||
200,000 | San Bruno CA Park Sch Dist, Ser B | 4.00% | 08/01/37 | 227,523 | ||||
35,000 | San Diego Cnty CA Ltd Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A | 5.00% | 11/01/25 | 39,720 | ||||
510,000 | San Diego Cnty CA Ltd Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A | 5.00% | 11/01/28 | 577,172 | ||||
125,000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No.2, Ser A | 4.00% | 09/01/32 | 136,936 | ||||
85,000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No.2, Ser A | 4.00% | 09/01/33 | 93,092 | ||||
100,000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No.2, Ser A | 4.00% | 09/01/34 | 109,445 | ||||
500,000 | San Francisco CA Bay Area Rapid Transit Dist Sales Tax Rev, Ser A | 4.00% | 07/01/36 | 560,224 | ||||
140,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref, Ser D, AMT | 5.00% | 05/01/22 | 141,574 | ||||
1,000,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev, Ser E, AMT | 4.00% | 05/01/50 | 1,077,146 | ||||
500,000 | San Francisco CA City & Cnty Dcnty Dev Spl Tax Dist No 2020-1 Mission Rock Facs & Svcs, Ser A (a) | 4.00% | 09/01/46 | 546,442 | ||||
100,000 | San Francisco City & Cnty CA Redev Agy Successor Agy Tax Ref Mission Bay N Redev Proj, Ser A | 5.00% | 08/01/35 | 115,178 | ||||
175,000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Cap Apprec Ref, Ser A, NATL | (d) | 01/15/29 | 150,861 | ||||
1,500,000 | Santa Ana Unif Sch Dist, 2018 Election, Ser A | 4.00% | 08/01/48 | 1,681,979 | ||||
800,000 | Santa Clarita CA Cmnty Facs Dist Vista Canyon #2016-1 (a) | 4.00% | 09/01/35 | 873,928 | ||||
175,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/33 | 198,378 | ||||
370,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/38 | 417,549 | ||||
500,000 | Simi Vly CA Unif Sch Dist, Ser C | 4.00% | 08/01/43 | 571,215 | ||||
1,625,000 | So San Fran CA Pub Facs Fing Auth Lease Rev Police St Proj, Ser A | 4.00% | 06/01/43 | 1,840,274 | ||||
305,000 | Tahoe-Truckee CA Unif Sch Dist, COPS, BAM | 4.00% | 06/01/37 | 332,534 | ||||
260,000 | Tahoe-Truckee CA Unif Sch Dist, COPS, BAM | 4.00% | 06/01/39 | 282,792 | ||||
150,000 | Temecula Vly CA Unif Sch Dist Cmnty Facs Dist #2014-1 | 5.00% | 09/01/32 | 168,885 | ||||
400,000 | Temecula Vly Unif Sch Dist Fing Auth CA Spl Tax Rev, BAM | 5.00% | 09/01/34 | 443,750 | ||||
500,000 | Temescal Vly CA Wtr Dist Spl Tax Terramor Cmnty Facs Dist #4 Impt Area #1 | 5.00% | 09/01/31 | 562,191 | ||||
230,000 | Tobacco Securitization Auth Sthrn CA Tobacco Stlmt Rev Ref San Diego Co Tobacco Securitization Corp, Ser A, Class 1 | 5.00% | 06/01/30 | 284,811 | ||||
1,000,000 | Tobacco Securitization Auth Sthrn CA Tobacco Stlmt Rev Ref San Diego Co Tobacco Securitization Corp, Ser A, Class 1 | 5.00% | 06/01/37 | 1,220,200 | ||||
1,000,000 | Tobacco Securitization Auth Sthrn CA Tobacco Stlmt Rev San Diego Co Asset Securitization Corp, Ser A, Class 1 | 5.00% | 06/01/38 | 1,217,704 | ||||
250,000 | Tracy CA Cmnty Facs Dist | 5.00% | 09/01/33 | 281,417 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$470,000 | Transbay Jt Powers Auth CA Green Bond Sr Tax Alloc Bonds, Ser A | 5.00% | 10/01/33 | $581,068 | ||||
945,000 | Transbay Jt Powers Auth CA Green Bond Sr Tax Alloc Bonds, Ser A | 5.00% | 10/01/39 | 1,157,872 | ||||
500,000 | Univ of California CA Revs Ref Ltd Proj, Ser O | 5.00% | 05/15/48 | 595,679 | ||||
100,000 | W Contra Costa CA Unif Sch Dist Ref, Ser A | 5.00% | 08/01/31 | 112,446 | ||||
104,842,490 | ||||||||
Colorado – 0.9% | ||||||||
500,000 | Rampart Range CO Met Dist #5 | 4.00% | 12/01/41 | 502,480 | ||||
500,000 | Willow Bend Met Dist CO Sr, Ser A | 5.00% | 12/01/39 | 532,697 | ||||
1,035,177 | ||||||||
Florida – 0.8% | ||||||||
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 | 543,278 | ||||
150,000 | Parkland Preserve CDD FL Spl Assmnt Rev, Ser A | 4.50% | 05/01/24 | 153,309 | ||||
245,000 | Rhodine Road N CDD FL Spl Assmnt | 4.00% | 05/01/30 | 257,921 | ||||
954,508 | ||||||||
Georgia – 0.4% | ||||||||
500,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/42 | 529,482 | ||||
Guam – 0.8% | ||||||||
100,000 | Guam Govt Busn Privilege Tax Rev Ref, Ser D | 5.00% | 11/15/32 | 110,999 | ||||
750,000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A | 5.00% | 01/01/50 | 882,422 | ||||
993,421 | ||||||||
Illinois – 0.2% | ||||||||
135,000 | Chicago IL Ref, Ser C, CABS | (d) | 01/01/24 | 129,189 | ||||
120,000 | IL St, Ser A | 4.00% | 01/01/25 | 120,320 | ||||
249,509 | ||||||||
Louisiana – 0.8% | ||||||||
750,000 | Saint James Parish LA Rev Var Nustar Logistics LP Proj, Ser 2008 (Mandatory put 06/01/30) (a) | 6.10% | 06/01/38 | 959,023 | ||||
Ohio – 0.7% | ||||||||
750,000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Ser B-2, Class 2 | 5.00% | 06/01/55 | 824,959 | ||||
Puerto Rico – 1.7% | ||||||||
100,000 | Puerto Rico Cmwlth Ref Pub Impt, Ser A, AGM | 5.00% | 07/01/35 | 100,711 | ||||
1,295,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.50% | 07/01/34 | 1,384,506 | ||||
616,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (d) | 07/01/29 | 516,495 | ||||
2,001,712 | ||||||||
Texas – 0.3% | ||||||||
370,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 420,465 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Utah – 0.4% | ||||||||
$500,000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-1 | 4.00% | 06/01/52 | $456,242 |
Total Investments – 95.2% | 113,863,220 | ||
(Cost $111,962,257) | |||
Net Other Assets and Liabilities – 4.8% | 5,727,961 | ||
Net Assets – 100.0% | $119,591,181 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury Long Bonds | Short | 15 | Mar 2022 | $ (2,334,375) | $(5,738) | |||||
Ultra 10-Year Treasury Notes | Short | 21 | Mar 2022 | (2,999,391) | (4,360) | |||||
$(5,333,766) | $(10,098) |
(a) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At January 31, 2022, securities noted as such amounted to $17,783,293 or 14.9% of net assets. |
(b) | This security, sold within the terms of a private placement memorandum, 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 (see Note 2C - Restricted Securities in the Notes to Financial Statements). |
(c) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(d) | Zero coupon bond. |
AGM | Assured Guaranty Municipal Corp. |
AMBAC | American Municipal Bond Assurance Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
CA MTG INS | California Mortgage Insurance |
CABS | Capital Appreciation Bonds |
COPS | Certificates of Participation |
NATL | National Public Finance Guarantee Corp. |
ASSETS TABLE | ||||
Total Value at 1/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 113,863,220 | $ — | $ 113,863,220 | $ — |
LIABILITIES TABLE | ||||
Total Value at 1/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts** | $ (10,098) | $ (10,098) | $ — | $ — |
* | See Portfolio of Investments for state and territory 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. |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 94.1% | ||||||||
American Samoa – 2.6% | ||||||||
$250,000 | American Samoa AS Econ Dev Auth Gen Rev, Ser A (a) | 5.00% | 09/01/38 | $298,116 | ||||
Florida – 2.2% | ||||||||
225,000 | FL St Dev Fin Corp Sr Living Rev Ref Glenridge on Palmer Ranch Proj | 5.00% | 06/01/35 | 254,808 | ||||
New York – 84.6% | ||||||||
350,000 | Albany NY Capital Res Corp Natl Chrt Sch Revolving Equitable Sch Revolving Fund Social Bonds, Ser D | 4.00% | 11/01/46 | 394,226 | ||||
350,000 | Amherst NY Dev Corp Ref Ubf Fac Stdt Hsg, BAM | 4.00% | 10/01/42 | 396,545 | ||||
400,000 | Build NYC Res Corp NY Rev Acad Leadership Chrt Sch Proj | 4.00% | 06/15/36 | 439,571 | ||||
300,000 | Build NYC Res Corp NY Rev NY Preparatory Chrt Sch Proj, Ser A | 4.00% | 06/15/31 | 324,065 | ||||
500,000 | Build NYC Res Corp NY Rev Richmond Prep Chtr Sch Proj Social Impact Proj, Ser A (a) | 5.00% | 06/01/41 | 556,300 | ||||
255,000 | Chemung Cnty NY Ref, AGM | 4.00% | 12/15/27 | 288,720 | ||||
285,000 | Hudson Yards Infra Corp NY 2nd Indenture Rev Ref, Ser A | 4.00% | 02/15/36 | 313,354 | ||||
355,000 | Long Island NY Pwr Auth Elec Sys Rev Ref, Ser A | 5.00% | 09/01/37 | 444,942 | ||||
315,000 | Met Transprtn Auth NY Rev Ref, Ser D | 4.00% | 11/15/42 | 336,980 | ||||
400,000 | Monroe Cnty NY Indl Dev Corp Rev Univ of Rochester Proj, Ser A | 4.00% | 07/01/50 | 443,497 | ||||
475,000 | 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 | 540,008 | ||||
135,000 | New York City NY Transitional Fin Auth Rev Subord Future Tax Secured, Ser C-1 | 4.00% | 11/01/40 | 151,781 | ||||
345,000 | New York City NY Transitional Fin Auth Rev Subord, Ser A-3 | 4.00% | 05/01/43 | 385,718 | ||||
250,000 | Niagara Cnty NY Tobacco Asset Securitization Corp Tobacco As Ref Asset Bkd Bds | 5.00% | 05/15/22 | 252,961 | ||||
235,000 | NY NY Fiscal 2020, Ser B-1 | 4.00% | 10/01/35 | 265,393 | ||||
325,000 | NY St Dorm Auth Revs Non St Supported Debt Grp 2 Memorial Sloan Kettering Cancer Ctr Rev, Ser 1 | 3.00% | 07/01/34 | 348,741 | ||||
300,000 | NY St Dorm Auth Revs Non St Supported Debt Ref N Shore Long Island Jewish Oblig Grp, Ser A | 5.00% | 05/01/36 | 331,850 | ||||
250,000 | NY St Liberty Dev Corp Liberty Rev Ref, Ser 1WTC | 4.00% | 02/15/43 | 277,011 | ||||
500,000 | NY St Thruway Auth Gen Rev Junior Indebtedness Oblig Subord, Ser B | 4.00% | 01/01/50 | 545,089 | ||||
120,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser A, AMT | 5.00% | 12/01/33 | 144,304 | ||||
250,000 | NY St Urban Dev Corp Rev Ref Grp 3, Ser E | 4.00% | 03/15/46 | 277,226 | ||||
200,000 | Onondaga NY Civic Dev Corp Le Moyne Clg Proj | 4.00% | 07/01/41 | 221,334 | ||||
250,000 | Port Auth of NY & NJ NY Consolidated Bonds Two Hundred Fourteenth Ser, AMT | 5.00% | 09/01/30 | 303,618 | ||||
275,000 | Port Auth of NY & NJ NY Ref Consolidated Bonds Two Hundred Twelfth Ser | 4.00% | 09/01/37 | 311,025 | ||||
500,000 | Suffolk NY Tobacco Asset Securitization Corp Tobacco Stlmt Asset Backed Sub Bonds, Ser B-1 | 4.00% | 06/01/50 | 542,326 | ||||
190,000 | Troy NY Capital Res Corp Rev Rensselaer Polytechnic Institute Proj Ref | 4.00% | 09/01/35 | 218,232 | ||||
280,000 | Troy NY Capital Res Corp Rev Rensselaer Polytechnic Institute Proj Ref | 4.00% | 09/01/36 | 321,255 | ||||
100,000 | Tsasc Inc NY Ref, Ser A | 5.00% | 06/01/32 | 115,612 | ||||
325,000 | Wayne Cnty NY Wtr & Swr Auth Wtr & Swr Sys Rev Green Bond, BAM | 4.00% | 12/15/41 | 374,445 | ||||
9,866,129 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Puerto Rico – 2.4% | ||||||||
$153,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (b) | 07/01/29 | $128,286 | ||||
194,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (b) | 07/01/31 | 151,549 | ||||
279,835 | ||||||||
Texas – 2.3% | ||||||||
250,000 | North Parkway Muni Mgmt Dist #1 Tx Spl Assmnt Rev Major Impts Proj (a) | 5.00% | 09/15/51 | 270,620 |
Total Investments – 94.1% | 10,969,508 | ||
(Cost $11,312,357) | |||
Net Other Assets and Liabilities – 5.9% | 689,047 | ||
Net Assets – 100.0% | $11,658,555 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury Long Bonds | Short | 3 | Mar 2022 | $ (466,875) | $12,140 | |||||
Ultra 10-Year Treasury Notes | Short | 2 | Mar 2022 | (285,656) | 7,745 | |||||
$(752,531) | $19,885 |
(a) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At January 31, 2022, securities noted as such amounted to $1,125,036 or 9.6% of net assets. |
(b) | Zero coupon bond. |
AGM | Assured Guaranty Municipal Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
CABS | Capital Appreciation Bonds |
Total Value at 1/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 10,969,508 | $ — | $ 10,969,508 | $ — |
Futures Contracts** | 19,885 | 19,885 | — | — |
Total | $ 10,989,393 | $ 19,885 | $ 10,969,508 | $— |
* | See Portfolio of Investments for state and territory 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 Statements of Assets and Liabilities. |
First Trust California Municipal High Income ETF (FCAL) | First Trust New York Municipal High Income ETF (FMNY) | ||
ASSETS: | |||
Investments, at value | $ 113,863,220 | $ 10,969,508 | |
Cash | 4,510,211 | 306,789 | |
Cash segregated as collateral for open futures contracts | 104,620 | 15,400 | |
Receivables: | |||
Interest | 1,178,853 | 97,388 | |
Investment securities sold | — | 3,203,578 | |
Variation margin | — | 375 | |
Total Assets | 119,656,904 | 14,593,038 | |
LIABILITIES: | |||
Payables: | |||
Investment advisory fees | 50,910 | 6,361 | |
Variation margin | 14,813 | — | |
Fund shares redeemed | — | 2,928,122 | |
Total Liabilities | 65,723 | 2,934,483 | |
NET ASSETS | $119,591,181 | $11,658,555 | |
NET ASSETS consist of: | |||
Paid-in capital | $ 119,399,517 | $ 12,072,438 | |
Par value | 22,500 | 4,000 | |
Accumulated distributable earnings (loss) | 169,164 | (417,883) | |
NET ASSETS | $119,591,181 | $11,658,555 | |
NET ASSET VALUE, per share | $53.15 | $29.15 | |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 2,250,002 | 400,002 | |
Investments, at cost | $111,962,257 | $11,312,357 |
First Trust California Municipal High Income ETF (FCAL) | First Trust New York Municipal High Income ETF (FMNY) | |||
INVESTMENT INCOME: | ||||
Interest | $ 1,439,385 | $ 189,604 | ||
Total investment income | 1,439,385 | 189,604 | ||
EXPENSES: | ||||
Investment advisory fees | 375,259 | 49,407 | ||
Total expenses | 375,259 | 49,407 | ||
Fees waived by the investment advisor | (86,598) | (11,402) | ||
Net expenses | 288,661 | 38,005 | ||
NET INVESTMENT INCOME (LOSS) | 1,150,724 | 151,599 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments | (112,959) | (174,294) | ||
Futures contracts | (53,388) | (20,839) | ||
Net realized gain (loss) | (166,347) | (195,133) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (4,775,151) | (569,303) | ||
Futures contracts | 124,121 | 41,994 | ||
Net change in unrealized appreciation (depreciation) | (4,651,030) | (527,309) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (4,817,377) | (722,442) | ||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(3,666,653) | $(570,843) |
First Trust California Municipal High Income ETF (FCAL) | First Trust New York Municipal High Income ETF (FMNY) | ||||||
Six Months Ended 1/31/2022 (Unaudited) | Year Ended 7/31/2021 | Six Months Ended 1/31/2022 (Unaudited) | Period Ended 7/31/2021 (a) | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 1,150,724 | $ 2,039,398 | $ 151,599 | $ 46,946 | |||
Net realized gain (loss) | (166,347) | 418,351 | (195,133) | 29,919 | |||
Net increase from payment by the advisor | — | 219 | — | — | |||
Net change in unrealized appreciation (depreciation) | (4,651,030) | 3,455,246 | (527,309) | 204,345 | |||
Net increase (decrease) in net assets resulting from operations | (3,666,653) | 5,913,214 | (570,843) | 281,210 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (1,147,501) | (1,990,252) | (98,250) | (30,000) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 19,206,728 | 21,698,863 | — | 15,004,560 | |||
Cost of shares redeemed | — | (8,129,605) | (2,928,122) | — | |||
Net increase (decrease) in net assets resulting from shareholder transactions | 19,206,728 | 13,569,258 | (2,928,122) | 15,004,560 | |||
Total increase (decrease) in net assets | 14,392,574 | 17,492,220 | (3,597,215) | 15,255,770 | |||
NET ASSETS: | |||||||
Beginning of period | 105,198,607 | 87,706,387 | 15,255,770 | — | |||
End of period | $ 119,591,181 | $ 105,198,607 | $ 11,658,555 | $ 15,255,770 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 1,900,002 | 1,650,002 | 500,002 | — | |||
Shares sold | 350,000 | 400,000 | — | 500,002 | |||
Shares redeemed | — | (150,000) | (100,000) | — | |||
Shares outstanding, end of period | 2,250,002 | 1,900,002 | 400,002 | 500,002 |
(a) | Inception date is May 12, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
Six Months Ended 1/31/2022 (Unaudited) | Year Ended July 31, | Period Ended 7/31/2017 (a) | ||||||||||
2021 | 2020 | 2019 | 2018 | |||||||||
Net asset value, beginning of period | $ 55.37 | $ 53.16 | $ 52.70 | $ 50.11 | $ 50.14 | $ 50.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss) | 0.53 | 1.16 | 1.17 | 1.49 | 1.45 | 0.10 | ||||||
Net realized and unrealized gain (loss) | (2.21) | 2.19 (b) | 0.51 | 2.60 | (0.04) | 0.14 | ||||||
Total from investment operations | (1.68) | 3.35 | 1.68 | 4.09 | 1.41 | 0.24 | ||||||
Distributions paid to shareholders from: | ||||||||||||
Net investment income | (0.54) | (1.14) | (1.17) | (1.50) | (1.40) | (0.10) | ||||||
Net realized gain | — | — | — | — | (0.04) | — | ||||||
Return of capital | — | — | (0.05) | — | — | (0.00) (c) | ||||||
Total distributions | (0.54) | (1.14) | (1.22) | (1.50) | (1.44) | (0.10) | ||||||
Net asset value, end of period | $53.15 | $55.37 | $53.16 | $52.70 | $50.11 | $50.14 | ||||||
Total return (d) | (3.05)% | 6.37% (b) | 3.23% | 8.32% | 2.83% | 0.50% | ||||||
Ratios to average net assets/supplemental data: | ||||||||||||
Net assets, end of period (in 000’s) | $ 119,591 | $ 105,199 | $ 87,706 | $ 34,257 | $ 17,539 | $ 10,029 | ||||||
Ratio of total expenses to average net assets | 0.65% (e) | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% (e) | ||||||
Ratio of net expenses to average net assets | 0.50% (e) | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% (e) | ||||||
Ratio of net investment income (loss) to average net assets | 1.99% (e) | 2.16% | 2.28% | 3.01% | 2.97% | 1.74% (e) | ||||||
Portfolio turnover rate (f) | 5% | 25% | 81% | 69% | 91% | 22% |
(a) | Inception date is June 20, 2017, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | The Fund received a reimbursement from the advisor in the amount of $219, 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) | Amount is less than $0.01. |
(d) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total return would have been lower if certain fees had not been waived by the investment advisor. |
(e) | Annualized. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Six Months Ended 1/31/2022 (Unaudited) | Period Ended 7/31/2021 (a) | ||
Net asset value, beginning of period | $ 30.51 | $ 30.00 | |
Income from investment operations: | |||
Net investment income (loss) | 0.35 | 0.09 | |
Net realized and unrealized gain (loss) | (1.51) | 0.48 | |
Total from investment operations | (1.16) | 0.57 | |
Distributions paid to shareholders from: | |||
Net investment income | (0.20) | (0.04) | |
Net realized gain | — | (0.02) | |
Total distributions | (0.20) | (0.06) | |
Net asset value, end of period | $29.15 | $30.51 | |
Total return (b) | (3.83)% | 1.90% | |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $ 11,659 | $ 15,256 | |
Ratio of total expenses to average net assets | 0.65% (c) | 0.65% (c) | |
Ratio of net expenses to average net assets | 0.50% (c) | 0.50% (c) | |
Ratio of net investment income (loss) to average net assets | 1.99% (c) | 1.41% (c) | |
Portfolio turnover rate (d) | 43% | 16% |
(a) | Inception date is May 12, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total return would have been lower if certain fees had not been waived by the investment advisor. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer; |
5) | the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; and |
10) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security | Acquisition Date | Principal Value | Current Price | Carrying Cost | Value | % of Net Assets | ||
CA St Muni Fin Auth Chrt Sch Lease Rev Sycamore Acdmy Proj, 5.38%, 07/01/34 | 06/14/18 | $250,000 | $106.59 | $251,929 | $266,487 | 0.22% | ||
CA St Sch Fin Auth Chrt Sch Rev Rocketship Pub Schs, Ser G, 5.00%, 06/01/37 | 12/05/17 | $300,000 | 110.87 | 309,580 | 332,617 | 0.28 | ||
$561,509 | $599,104 | 0.50% |
Distributions paid from Tax-exempt Income | Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | ||||
First Trust California Municipal High Income ETF | $ 1,983,260 | $ 6,992 | $ — | $ — | |||
First Trust New York Municipal High Income ETF | 22,190 | 7,810 | — | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust California Municipal High Income ETF | $ 6,826 | $ (1,800,225) | $ 6,776,717 | ||
First Trust New York Municipal High Income ETF | 23,335 | — | 227,875 |
Non-Expiring Capital Loss Carryforward | |
First Trust California Municipal High Income ETF | $ 1,800,225 |
First Trust New York Municipal High Income ETF | — |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
First Trust California Municipal High Income ETF | $ 111,962,257 | $ 3,008,853 | $ (1,117,988) | $ 1,890,865 | |||
First Trust New York Municipal High Income ETF | 11,312,357 | 40,329 | (363,293) | (322,964) |
Purchases | Sales | ||
First Trust California Municipal High Income ETF | $ 20,489,696 | $ 5,077,459 | |
First Trust New York Municipal High Income ETF | 6,029,647 | 8,886,318 | |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value | |||||
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | $ — | Unrealized depreciation on futures contracts* | $ 10,098 |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value | |||||
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | $ 19,885 | Unrealized depreciation on futures contracts* | $ — |
Interest Rate Risk | ||
Statements of Operations Location | FCAL | FMNY |
Net realized gain (loss) on futures contracts | $(53,388) | $(20,839) |
Net change in unrealized appreciation (depreciation) on futures contracts | 124,121 | 41,994 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Six Months Ended
January 31, 2022
1 | |
2 | |
5 | |
6 | |
7 | |
21 | |
22 | |
23 | |
24 | |
25 | |
32 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/22 | 1 Year Ended 1/31/22 | Inception (11/1/17) to 1/31/22 | Inception (11/1/17) to 1/31/22 | |
Fund Performance | ||||
NAV | -2.90% | 2.43% | 5.25% | 24.30% |
Market Price | -2.90% | 2.54% | 5.26% | 24.36% |
Index Performance | ||||
Bloomberg Municipal Bond Index | -3.10% | -1.89% | 3.08% | 13.75% |
Blended Benchmark(1) | -2.48% | 0.14% | 4.20% | 19.13% |
(1) | The Blended Benchmark consists of the following two indexes: 50% of the Bloomberg High Yield 10-Year Municipal Index (8-12 years) which is comprised of bonds with a final maturity between 8 and 12 years that are part of the Bloomberg Municipal Bond High Yield Index; and 50% of the Bloomberg Revenue 10-Year Municipal Index (8-12 years), which is comprised of revenue bonds that have a final maturity between 8 and 12 years that are part of the Bloomberg Municipal Bond Index. Indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the index performance shown. Indexes are unmanaged and an investor cannot invest directly in an index. The Blended Index returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 50-50 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Blended Index for each period shown above. |
Sector Allocation | % of Total Investments (including cash) |
Government Obligation Bond - Limited Tax | 12.2% |
Special Assessment | 11.2 |
Education | 10.0 |
Continuing Care Retirement Communities | 8.5 |
Industrial Development Bond | 7.6 |
Hospital | 6.8 |
Dedicated Tax | 5.1 |
Higher Education | 4.4 |
Airport | 4.0 |
Tax Increment | 4.0 |
Government Obligation Bond - Unlimited Tax | 3.8 |
Insured | 3.5 |
Tobacco | 2.6 |
Certificates of Participation | 2.0 |
Local Housing | 1.2 |
Gas | 1.2 |
Student Housing | 1.2 |
Toll Road | 1.0 |
Water & Sewer | 1.0 |
Utility | 0.7 |
Skilled Nursing | 0.7 |
Hotel | 0.7 |
Mass Transit | 0.5 |
Housing | 0.3 |
Other Health | 0.2 |
Pre-refunded/Escrowed-to-maturity | 0.1 |
Port | 0.0* |
Cash | 5.5 |
Total | 100.0% |
* | Amount is less than 0.1%. |
Credit Rating(2) | % of Total Investments (including cash) |
AAA | 0.6% |
AA | 8.3 |
A | 12.2 |
BBB | 11.4 |
BB | 11.8 |
B | 1.6 |
CCC | 0.5 |
Not Rated | 47.8 |
SP-2/MIG1 | 0.3 |
Cash | 5.5 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 95.9% |
Net Other Assets and Liabilities** | 4.1 |
Total | 100.0% |
** | Includes variation margin on futures 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 August 1, 2021 | Ending Account Value January 31, 2022 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (b) | |
First Trust Municipal High Income ETF (FMHI) | ||||
Actual | $1,000.00 | $971.00 | 0.55% | $2.73 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.43 | 0.55% | $2.80 |
(a) | These expense ratios reflect expense waivers. See Note 3 in the Notes to Financial Statements. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (August 1, 2021 through January 31, 2022), multiplied by 184/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 95.9% | ||||||||
Alabama – 0.4% | ||||||||
$500,000 | Black Belt Energy Gas Dist AL Gas Proj Rev Gas Proj Rev Bonds, Proj No.7, Ser C-1 (Mandatory put 12/01/26) | 4.00% | 10/01/52 | $549,906 | ||||
1,000,000 | SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A (Mandatory put 10/01/28) | 4.00% | 11/01/51 | 1,116,027 | ||||
1,665,933 | ||||||||
American Samoa – 0.2% | ||||||||
750,000 | American Samoa AS Econ Dev Auth Gen Rev, Ser A (a) | 5.00% | 09/01/38 | 894,348 | ||||
Arizona – 3.2% | ||||||||
780,000 | AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj (a) | 5.00% | 07/01/39 | 885,908 | ||||
750,000 | AZ St Indl Dev Auth Edu Rev Doral Acdmy NV Fire Mesa & Red Rock Cmps Proj, Ser A (a) | 5.00% | 07/15/39 | 849,100 | ||||
400,000 | AZ St Indl Dev Auth Edu Rev Lone Mountain Cmps Proj, Ser A (a) | 5.00% | 12/15/39 | 448,232 | ||||
1,255,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser D (a) | 4.00% | 07/01/27 | 1,348,293 | ||||
500,000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (a) | 4.00% | 07/15/51 | 524,300 | ||||
500,000 | AZ St Indl Dev Auth Edu Rev Somerset Acdmy of LV Aliante & Skye Canyon Cmps Proj, Ser A (a) | 4.00% | 12/15/41 | 528,688 | ||||
500,000 | AZ St Indl Dev Auth Edu Rev, Ser A (a) | 5.00% | 07/15/40 | 565,248 | ||||
710,000 | AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan Fd Social Bonds Equitable Sch Revolving Fund, Ser A | 4.00% | 11/01/40 | 792,069 | ||||
500,000 | Glendale AZ Indl Dev Auth Sr Living Facs Rev Royal Oaks Inspirata Pointe Proj, Ser A | 5.00% | 05/15/41 | 557,865 | ||||
1,000,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Schs Proj Auth, Ser B (a) | 4.00% | 07/01/29 | 1,099,119 | ||||
2,000,000 | Phoenix AZ Indl Dev Auth Hotel Rev Sr Falcon Properties LLC Proj, Ser A (a) | 4.00% | 12/01/51 | 1,921,305 | ||||
100,000 | Phoenix AZ Indl Dev Auth Stdt Hsg Rev Ref Downtown Phoenix Stdt Hsg LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/27 | 116,942 | ||||
105,000 | Pima Cnty AZ Indl Dev Auth Edu Rev Fac American Leadership Acdmy Proj (a) | 4.00% | 06/15/22 | 106,345 | ||||
1,000,000 | Tempe AZ Indl Dev Auth Rev Ref Friendship Vlg of Tempe Proj, Ser A | 4.00% | 12/01/38 | 1,076,609 | ||||
1,055,000 | Tempe AZ Indl Dev Auth Rev Ref Friendship Vlg of Tempe Proj, Ser A | 4.00% | 12/01/46 | 1,110,187 | ||||
11,930,210 | ||||||||
Arkansas – 0.3% | ||||||||
1,250,000 | AR St Dev Fin Auth Hlthcare Facs Rev Carti Surgery Ctr Proj, Ser B | 4.00% | 07/01/52 | 1,297,899 | ||||
California – 5.2% | ||||||||
250,000 | CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Green Bond, Ser A (a) | 5.00% | 11/15/46 | 279,350 | ||||
250,000 | CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Green Bond, Ser A (a) | 5.00% | 11/15/51 | 278,804 | ||||
750,000 | CA Pub Fin Auth Sr Living Rev Green Bond Temps 70 Enso Vlg Proj, Ser B-2 (a) | 2.38% | 11/15/28 | 753,162 | ||||
1,825,000 | CA St Infra & Econ Dev Bank Lease Rev Green Bond | 5.00% | 08/01/44 | 2,184,771 | ||||
450,000 | CA St Muni Fin Auth Chrt Sch Rev, Ser A (a) | 5.50% | 06/01/38 | 496,695 | ||||
205,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | 239,526 | ||||
750,000 | CA St Poll Control Fin Auth Wtr Furnishing Rev, AMT (a) | 5.00% | 07/01/37 | 768,588 | ||||
125,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No 1 | 4.00% | 09/01/28 | 136,209 | ||||
135,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No 1 | 4.00% | 09/01/29 | 148,022 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$1,400,000 | CA St Stwd Cmntys Dev Auth Stwd Rev Dev Auth, Ser 2021A | 4.00% | 09/02/41 | $1,555,443 | ||||
550,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/33 | 648,838 | ||||
1,500,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev the Link Glendale Social Bonds, Ser A-2 (a) | 4.00% | 07/01/56 | 1,394,084 | ||||
500,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev Union S Bay Social Bonds, Ser A-2 (a) | 4.00% | 07/01/56 | 500,765 | ||||
465,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 4.00% | 09/01/46 | 505,103 | ||||
1,375,000 | Los Angeles CA Dept of Arpts Arpt Rev Subord Ref, Ser A, AMT | 4.00% | 05/15/44 | 1,519,287 | ||||
1,000,000 | Marysville CA Jt Unif Sch Dist Green Bond, 2021 Energy Efficiency Proj, COPS, BAM | 4.00% | 06/01/39 | 1,120,086 | ||||
300,000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (a) | 5.00% | 10/01/42 | 346,761 | ||||
450,000 | Palm Desert CA Spl Tax Ref Univ Park | 4.00% | 09/01/41 | 473,851 | ||||
235,000 | Riverside CA Unif Sch Dist Cmnty Facs Dt #33 Citrus Heights II Spl Tax | 4.00% | 09/01/29 | 260,958 | ||||
285,000 | Riverside CA Unif Sch Dist Cmnty Facs Dt #33 Citrus Heights II Spl Tax | 4.00% | 09/01/34 | 313,925 | ||||
400,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 4.00% | 09/01/41 | 440,994 | ||||
1,000,000 | Sacramento CA Spl Tax | 4.00% | 09/01/41 | 1,101,093 | ||||
895,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev, Ser E, AMT | 4.00% | 05/01/50 | 964,046 | ||||
1,000,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021 | 4.00% | 09/01/41 | 1,095,023 | ||||
1,000,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021 | 4.00% | 09/01/51 | 1,087,094 | ||||
850,000 | San Luis Obispo CA Cmnty Facs Dist #2019-1 Spl Tax | 4.00% | 09/01/39 | 946,033 | ||||
19,558,511 | ||||||||
Colorado – 12.9% | ||||||||
1,125,000 | Allison Vly Met Dist #2 CO Ref | 4.70% | 12/01/47 | 1,164,142 | ||||
2,500,000 | Aurora Highlands Cmnty Auth Brd CO Spl Tax Rev Ref, Ser A | 5.75% | 12/01/51 | 2,391,982 | ||||
1,000,000 | Baseline Met Dist #1 CO Spl Rev, Ser A | 5.00% | 12/01/51 | 1,050,963 | ||||
1,000,000 | Bennett Ranch Met Dist #1 CO, Ser A | 5.00% | 12/01/51 | 1,059,247 | ||||
525,000 | Brighton Crossing Met Dist #6 CO, Ser A | 5.00% | 12/01/35 | 572,938 | ||||
1,030,000 | Brighton Crossing Met Dist #6 CO, Ser A | 5.00% | 12/01/40 | 1,114,274 | ||||
734,000 | Broadway Station Met Dist No 2 CO, Ser A | 5.00% | 12/01/35 | 785,416 | ||||
1,440,000 | Broomfield Vlg CO Met Dist #2 Ref, Ser A-1 (a) | 5.00% | 12/01/49 | 1,548,219 | ||||
3,500,000 | Canyon Pines Met Dist CO Spl Impt Dist #1 Spl Assmnt Rev Spl Impt Dist No 1, Ser A-2 | 3.75% | 12/01/40 | 3,236,019 | ||||
1,000,000 | Cascade Ridge Met Dist CO | 5.00% | 12/01/51 | 955,630 | ||||
515,000 | Chambers Highpoint Met Dist #2 CO | 5.00% | 12/01/41 | 533,541 | ||||
835,000 | Chambers Highpoint Met Dist #2 CO | 5.00% | 12/01/51 | 851,588 | ||||
150,000 | CO Eductnl & Cultural Auth Rev Ref W Ridge Acdmy Chrt Sch Proj, Ser A | 5.00% | 06/01/27 | 161,275 | ||||
1,000,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp | 5.00% | 12/15/45 | 1,087,899 | ||||
2,000,000 | CO St Hlth Facs Auth Hosp Rev Aberdeen Ridge, Ser A | 5.00% | 05/15/58 | 2,032,542 | ||||
850,000 | CO St Hlth Facs Auth Hosp Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/38 | 940,611 | ||||
625,000 | CO St Hlth Facs Auth Hosp Rev Sr Living Ralston Creek Arvada Proj, Ser A | 5.25% | 11/01/32 | 486,755 | ||||
500,000 | Denver CO Intl Busn Ctr CO Met Dist #1 Subord, Ser B | 6.00% | 12/01/48 | 534,586 | ||||
1,700,000 | Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr Bonds, Ser A (a) | 5.00% | 12/01/41 | 1,816,199 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado (Continued) | ||||||||
$1,510,000 | Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr Bonds, Ser A (a) | 5.00% | 12/01/51 | $1,596,192 | ||||
1,445,000 | Fitzsimons Vlg Met Dist #3 CO Ref, Ser A-1 | 4.00% | 12/01/41 | 1,361,673 | ||||
650,000 | Highlands Met Dist #1 CO | 4.00% | 12/01/31 | 660,679 | ||||
540,000 | Highlands Met Dist #1 CO | 5.00% | 12/01/41 | 569,757 | ||||
1,675,000 | Horizon Met Dist #2 CO (a) | 4.50% | 12/01/51 | 1,621,955 | ||||
900,000 | Hunters Overlook Metro Dist #5 CO Sr Bonds, Ser A | 5.00% | 12/01/39 | 969,829 | ||||
500,000 | Independence Met Dist #3 CO, Ser A | 6.25% | 12/01/49 | 531,456 | ||||
1,225,000 | Jay Grove Met Dist CO | 4.25% | 12/01/51 | 1,146,617 | ||||
575,000 | Jefferson Ctr CO Met Dist #1 Spl Rev, Ser A-2 | 4.13% | 12/01/40 | 599,395 | ||||
875,000 | Lanterns Met Dist #1 CO Sr, Ser A | 5.00% | 12/01/39 | 933,779 | ||||
905,000 | Mountain Brook Met Dist CO | 4.50% | 12/01/41 | 862,668 | ||||
500,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/34 | 555,244 | ||||
500,000 | Peak Met Dist #1 CO, Ser A (a) | 4.00% | 12/01/35 | 519,046 | ||||
500,000 | Peak Met Dist #1 CO, Ser A (a) | 5.00% | 12/01/41 | 539,099 | ||||
1,500,000 | Powhaton Cmnty Auth CO Ltd Tax Supported Dist #3 Rev | 5.00% | 12/01/51 | 1,461,377 | ||||
865,000 | Prairie Ctr Met Dist #7 CO | 4.13% | 12/15/36 | 916,080 | ||||
515,000 | Pronghorn Vly Met Dist CO, Ser A | 3.75% | 12/01/41 | 504,380 | ||||
1,500,000 | Pueblo CO Urban Renewal Auth Tax Incr Rev Auth Evraz Proj Tax Incr Rev, Ser A, CIBS (a) | 4.75% | 12/01/45 | 1,644,892 | ||||
500,000 | Regl CO Transprtn Dist Priv Activity Rev Ref Denver Transit Partners Eagle P3 Proj, Ser A | 5.00% | 07/15/27 | 585,351 | ||||
325,000 | Regl CO Transprtn Dist Priv Activity Rev Ref Denver Transit Partners Eagle P3 Proj, Ser A | 5.00% | 07/15/28 | 387,838 | ||||
300,000 | Regl CO Transprtn Dist Priv Activity Rev Ref Denver Transit Partners Eagle P3 Proj, Ser A | 5.00% | 07/15/29 | 364,308 | ||||
785,000 | Siena Lake Met Dist CO | 3.25% | 12/01/31 | 758,601 | ||||
2,400,000 | Siena Lake Met Dist CO | 4.00% | 12/01/51 | 2,267,939 | ||||
560,000 | Stc Met Dist #2 CO Ref, Ser A | 3.00% | 12/01/25 | 572,920 | ||||
1,000,000 | Sterling Ranch Met Dist #1 CO | 5.00% | 12/01/40 | 1,083,252 | ||||
500,000 | Trails at Crowfoot Met Dist #3 CO Sr Ser, Ser A | 5.00% | 12/01/39 | 532,182 | ||||
1,200,000 | Transport Met Dist #3 CO MDD, Ser 2021-A-1 | 5.00% | 12/01/41 | 1,317,167 | ||||
650,000 | Westerly Met Dist #4 CO Sr, Ser A | 5.00% | 12/01/40 | 697,730 | ||||
740,000 | Willow Bend Met Dist CO Sr, Ser A | 5.00% | 12/01/39 | 788,392 | ||||
48,673,624 | ||||||||
Connecticut – 2.5% | ||||||||
250,000 | Bridgeport CT, Ser A, BAM | 5.00% | 02/01/31 | 301,681 | ||||
2,000,000 | CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare Proj, Ser A | 4.00% | 07/01/51 | 2,251,438 | ||||
540,000 | CT St Hlth & Eductnl Facs Auth Rev Mclean Issue, Ser A (a) | 5.00% | 01/01/55 | 585,640 | ||||
250,000 | CT St Hlth & Eductnl Facs Auth Rev Quinnipiac Univ Ref, Ser M | 5.00% | 07/01/36 | 282,766 | ||||
250,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Quinnipiac Univ, Ser L | 5.00% | 07/01/31 | 276,690 | ||||
1,500,000 | Harbor Point CT Infra Impt Dist Spl Oblig Rev Ref Harbor Point Proj Ltd (a) | 5.00% | 04/01/39 | 1,693,748 | ||||
480,000 | Steel Point Infra Impt Dist CT Spl Oblig Rev Steelpointe Harbor Proj (a) | 4.00% | 04/01/36 | 498,973 | ||||
550,000 | Steel Point Infra Impt Dist CT Spl Oblig Rev Steelpointe Harbor Proj (a) | 4.00% | 04/01/41 | 565,814 | ||||
1,725,000 | Steel Point Infra Impt Dist CT Spl Oblig Rev Steelpointe Harbor Proj (a) | 4.00% | 04/01/51 | 1,756,233 | ||||
1,000,000 | Univ of CT CT, Ser A | 5.00% | 11/01/35 | 1,203,093 | ||||
9,416,076 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Delaware – 0.2% | ||||||||
$529,000 | Millsboro DE Spl Oblig Ref Plantation Lakes Spl Dev Dist (a) | 5.00% | 07/01/28 | $568,431 | ||||
District of Columbia – 0.4% | ||||||||
1,500,000 | DC Rev Rocketship DC Oblig Grp, Ser A (a) | 5.00% | 06/01/51 | 1,679,236 | ||||
Florida – 12.4% | ||||||||
500,000 | Alachua Cnty FL Hlth Facs Auth Ref Oak Hammock at The Univ of FL Inc Proj, CCRC | 4.00% | 10/01/46 | 533,161 | ||||
2,000,000 | Alachua Cnty FL Hlth Facs Auth Shands Teaching Hosp & Clinics Inc, Ser A | 4.00% | 12/01/49 | 2,214,156 | ||||
200,000 | Capital Region FL CDD Rev Ref Capital Impt, Ser A-1 | 4.13% | 05/01/23 | 201,945 | ||||
445,000 | Capital Trust Agy FL Eductnl Facs Rev Academir Chrt Schs Inc Proj, Ser A (a) | 4.00% | 07/01/41 | 473,730 | ||||
525,000 | Capital Trust Agy FL Eductnl Facs Rev Academir Chrt Schs Inc Proj, Ser A (a) | 4.00% | 07/01/51 | 550,183 | ||||
200,000 | Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory Sch Inc Proj, Ser A | 4.00% | 08/01/30 | 215,628 | ||||
300,000 | Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory Sch Inc Proj, Ser A | 5.00% | 08/01/40 | 345,951 | ||||
1,500,000 | Capital Trust Agy FL Rev Sr Edu Growth Fund LLC Chrt Sch Port Proj, Ser A-1 (a) | 5.00% | 07/01/56 | 1,658,802 | ||||
750,000 | Charlotte Cnty FL Indl Dev Auth Util Sys Rev Town & Country Utils Proj, Ser A, AMT (a) | 4.00% | 10/01/41 | 779,966 | ||||
1,000,000 | Charlotte Cnty FL Indl Dev Auth Util Sys Rev Town & Country Utils Proj, Ser A, AMT (a) | 4.00% | 10/01/51 | 1,027,163 | ||||
650,000 | Coco Palms FL CDD Spl Assmnt | 4.50% | 05/01/32 | 697,777 | ||||
915,000 | Epperson N CDD FL Capital Impt Rev Assmnt Area #2 | 4.00% | 05/01/51 | 931,949 | ||||
525,000 | Epperson Ranch CDD FL Capital Impt Rev, Ser A-1 | 5.00% | 11/01/28 | 557,391 | ||||
1,250,000 | Fallschase Cmnty Dev Dist FL Spl Assmnt | 4.00% | 05/01/52 | 1,259,542 | ||||
2,000,000 | FL Dev Fin Corp Surface Tranprtn Fac Rev Green Bond Brightline Passenger Rail Remk, Ser B, AMT (a) | 7.38% | 01/01/49 | 2,173,113 | ||||
1,385,000 | FL St Dev Fin Corp Eductnl Facs Rev Ref Global Outreach Chrt Acdmy Proj, Ser A (a) | 4.00% | 06/30/56 | 1,432,467 | ||||
1,000,000 | FL St Dev Fin Corp Sr Living Rev Ref Glenridge on Palmer Ranch Proj | 5.00% | 06/01/51 | 1,111,585 | ||||
1,005,000 | FL St Dev Fin Corp Sr Living Rev Ref Mayflower Retmnt Cmnty Proj, Ser A (a) | 4.00% | 06/01/46 | 1,073,562 | ||||
2,000,000 | Gtr Orlando FL Aviation Auth Arpt Facs Rev, Ser A, AMT | 5.00% | 10/01/44 | 2,388,242 | ||||
1,000,000 | Hills Minneola Cmnty Dev Dist FL Spl Assmnt Rev S Parcel Assmnt Area (a) | 4.00% | 05/01/40 | 1,031,415 | ||||
1,500,000 | LTC Ranch West Rsdl Cmnty Dev Dist Spl Assmnt Rev Assmnt Area One Proj, Ser A | 4.00% | 05/01/52 | 1,513,803 | ||||
1,500,000 | Miami-Dade Cnty FL Aviation Rev, Ser A, AMT | 4.00% | 10/01/44 | 1,631,975 | ||||
85,000 | Miami-Dade Cnty FL Eductnl Facs Auth Rev Ref Univ Miami, Ser A | 5.00% | 04/01/31 | 94,313 | ||||
1,250,000 | Mirada II Cmnty Dev Dist FL Cap Impt Rev | 4.00% | 05/01/51 | 1,265,385 | ||||
200,000 | N Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 4.50% | 05/01/40 | 212,125 | ||||
210,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Orlando Hlth Inc, Ser A | 5.00% | 10/01/36 | 239,949 | ||||
2,545,000 | Palm Beach Cnty FL Hlth Facs Auth Hosp Rev Baptist Hlth S FL Obligated Grp | 4.00% | 08/15/49 | 2,802,723 | ||||
1,000,000 | Palm Beach Cnty FL Rev Lynn Univ Hsg Proj, Ser A (a) | 5.00% | 06/01/57 | 1,140,700 | ||||
465,000 | Parkland Preserve CDD FL Spl Assmnt Rev, Ser A | 5.25% | 05/01/39 | 520,746 | ||||
1,000,000 | Pine Isle Cmnty Dev Dist FL Spl Assmnt 2021 Proj (a) | 4.00% | 12/15/51 | 1,022,918 | ||||
1,500,000 | Polk Cnty FL Indl Dev Auth Mineral Dev LLC Secondary Phosphate Tailings Recovery Proj (a) | 5.88% | 01/01/33 | 1,808,699 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$375,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/41 | $393,852 | ||||
825,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/46 | 858,109 | ||||
3,055,000 | Sawyers Landing CDD FL Spl Assmnt Rev | 4.13% | 05/01/41 | 3,204,597 | ||||
250,000 | SE Overtown Park W Cmnty Redev Agy FL Tax, Ser A-1 (a) | 5.00% | 03/01/30 | 266,560 | ||||
495,000 | Shell Point Cmnty Dev Dist FL Spl Assmnt (a) | 5.25% | 11/01/39 | 549,743 | ||||
1,000,000 | Shingle Creek at Bronson CDD FL Spl Assmnt | 4.00% | 06/15/51 | 1,020,356 | ||||
1,250,000 | Silver Palms W CDD FL Spl Assmnt 2022 Proj | 4.00% | 06/15/52 | 1,290,720 | ||||
750,000 | Six Mile Creek FL CDD Capital Impt Rev Assmnt Area 3 Phase 1 | 4.00% | 05/01/51 | 757,212 | ||||
770,000 | Triple Creek FL CDD Spl Assmnt Vlgs Q&R Proj (a) | 4.00% | 11/01/51 | 784,283 | ||||
1,000,000 | V-Dana CDD FL Spl Assmnt CDD Assmnt Area One 2021 Proj | 4.00% | 05/01/52 | 1,012,308 | ||||
1,500,000 | Viera Stewardship Dist FL Spl Assmnt Rev Vlg 2 Proj, Ser 2021 | 4.00% | 05/01/53 | 1,532,540 | ||||
230,000 | Villamar CDD FL Spl Assmnt (b) | 4.00% | 05/01/29 | 241,288 | ||||
1,250,000 | Westside Haines City CDD Spl Assmnt Assmnt Area One Proj | 4.00% | 05/01/52 | 1,273,033 | ||||
750,000 | Wildblue CDD FL Spl Assmnt (a) | 4.38% | 06/15/49 | 792,777 | ||||
46,888,442 | ||||||||
Georgia – 1.9% | ||||||||
1,000,000 | Atlanta GA Arpt Passenger Fac Charge Rev Arpt Rev Subord, Ser D, AMT | 4.00% | 07/01/38 | 1,118,455 | ||||
1,000,000 | Atlanta GA Arpt Rev Ref, Ser C, AMT | 4.00% | 07/01/39 | 1,131,764 | ||||
55,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/31 | 58,530 | ||||
500,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/42 | 529,482 | ||||
1,500,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Rev Canterbury Court Proj, Ser A (a) | 4.00% | 04/01/51 | 1,554,731 | ||||
1,500,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Rev Canterbury Court Proj, Ser A (a) | 4.00% | 04/01/56 | 1,542,878 | ||||
500,000 | Geo L Smith II GA Congress Ctr Auth Convention Ctr Hotel Second Tier, Ser B (a) | 5.00% | 01/01/36 | 571,692 | ||||
400,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/30 | 474,831 | ||||
6,982,363 | ||||||||
Guam – 0.2% | ||||||||
250,000 | Guam Govt Busn Privilege Tax Rev Ref, Ser-D | 5.00% | 11/15/35 | 277,101 | ||||
500,000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A | 5.00% | 01/01/50 | 588,282 | ||||
865,383 | ||||||||
Hawaii – 0.8% | ||||||||
2,800,000 | HI St Dept of Budget & Fin Spl Purp Rev Ref Hawaiian Elec Co Inc, Ser A, AMT | 3.10% | 05/01/26 | 2,952,182 | ||||
Illinois – 3.9% | ||||||||
275,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (c) | 12/01/22 | 272,608 | ||||
300,000 | Chicago IL Brd of Edu Ref Dedicated, Ser C | 5.00% | 12/01/30 | 342,400 | ||||
1,250,000 | Chicago IL Brd of Edu Ref, Ser B | 5.00% | 12/01/36 | 1,462,375 | ||||
1,000,000 | Chicago IL Brd of Edu, Ser A | 5.00% | 12/01/34 | 1,172,438 | ||||
250,000 | Chicago IL Brd of Edu, Ser A | 5.00% | 12/01/35 | 292,803 | ||||
100,000 | Chicago IL Brd of Edu, Ser A | 5.50% | 12/01/39 | 100,187 | ||||
2,000,000 | Chicago IL Brd of Edu, Ser A | 4.00% | 12/01/43 | 2,127,280 | ||||
400,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien, Ser A, AMT | 5.00% | 01/01/37 | 469,782 | ||||
400,000 | Chicago IL Ref 2003B Remk | 5.25% | 01/01/29 | 441,518 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$515,000 | Chicago IL Ref, Ser C, CABS | (c) | 01/01/25 | $478,705 | ||||
265,000 | Hillside IL Tax Incr Rev Ref | 5.00% | 01/01/24 | 274,213 | ||||
100,000 | IL St | 5.00% | 04/01/24 | 107,942 | ||||
500,000 | IL St | 5.50% | 05/01/26 | 576,334 | ||||
200,000 | IL St | 5.00% | 06/01/27 | 226,901 | ||||
250,000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/30 | 286,506 | ||||
250,000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/31 | 285,618 | ||||
100,000 | IL St Fin Auth Stdt Hsg & Acad Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/26 | 111,824 | ||||
300,000 | IL St Fin Auth Stdt Hsg & Acad Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/27 | 342,293 | ||||
145,000 | IL St Fin Auth Stdt Hsg & Acad Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/28 | 166,378 | ||||
2,500,000 | IL St, Ser C | 5.00% | 11/01/29 | 2,873,130 | ||||
650,000 | IL St, Ser D | 5.00% | 11/01/24 | 713,436 | ||||
1,660,000 | Lincolnwood IL Tax Incr Allocation Rev Nts Dist 1860 Dev Proj, Ser A, COPS (a) | 4.82% | 01/01/41 | 1,605,905 | ||||
14,730,576 | ||||||||
Indiana – 2.2% | ||||||||
1,370,000 | Anderson IN Mf Rev Sweet Galilee at the Wigwam Proj, Ser A | 5.38% | 01/01/40 | 1,398,854 | ||||
250,000 | Fort Wayne IN Mf Hsg Rev Silver Birch at Cook Road (a) | 5.30% | 01/01/32 | 254,878 | ||||
1,500,000 | IN St Fin Auth Envrnmntl Rev Ref US Steel Corp Proj, Ser A | 4.13% | 12/01/26 | 1,626,578 | ||||
665,000 | IN St Fin Auth Hosp Rev Goshen Hlth, Ser A | 4.00% | 11/01/37 | 737,708 | ||||
200,000 | IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Acdmy Proj, Ser A (d) | 5.25% | 07/01/28 | 223,353 | ||||
1,200,000 | IN St Fin Auth Rev Ref BHI Sr Living, Ser A | 4.00% | 11/15/41 | 1,354,326 | ||||
1,500,000 | IN St Fin Auth Rev Ref Greencroft Obligated Grp, Ser A | 4.00% | 11/15/43 | 1,659,867 | ||||
600,000 | Plainfield IN Mf Hsg Rev Glasswater Creek Proj | 5.38% | 09/01/38 | 606,483 | ||||
600,000 | Terre Haute IN Mf Hsg Rev Silver Birch of Terre Haute Proj | 5.10% | 01/01/32 | 607,188 | ||||
8,469,235 | ||||||||
Iowa – 0.6% | ||||||||
2,000,000 | Tobacco Stlmt Auth IA Tobacco Stlmt Rev Ref Subord Sr, Ser B-1, Class 2 | 4.00% | 06/01/49 | 2,178,654 | ||||
Kansas – 0.3% | ||||||||
950,000 | Goddard KS Sales Tax Spl Oblg Rev Ref Olympic Park Star Bond Proj | 3.60% | 06/01/30 | 953,293 | ||||
Kentucky – 0.9% | ||||||||
1,940,000 | Hazard KY Hlthcare Rev Ref Appalachian Regl Hlthcare Proj | 4.00% | 07/01/39 | 2,218,442 | ||||
750,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser B (Mandatory put 01/01/25) | 4.00% | 01/01/49 | 797,758 | ||||
230,000 | KY St Univ KY St Univ Proj, COPS, BAM | 4.00% | 11/01/41 | 267,705 | ||||
3,283,905 | ||||||||
Louisiana – 0.9% | ||||||||
200,000 | Monroe LA Wtr Rev, BAM | 5.00% | 11/01/32 | 242,611 | ||||
900,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/30 | 1,034,255 | ||||
1,000,000 | Saint James Parish LA Rev NuStar Logistics LP Proj Remk, Ser 2010 (a) | 6.35% | 07/01/40 | 1,280,075 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Louisiana (Continued) | ||||||||
$500,000 | Saint James Parish LA Rev Var NuStar Logistics LP Proj Remk, Ser 2010B (Mandatory put 06/01/30) (a) | 6.10% | 12/01/40 | $639,349 | ||||
3,196,290 | ||||||||
Maine – 0.3% | ||||||||
1,000,000 | ME St Fin Auth Green Bond Go Lab Madison, LLC Proj, AMT (a) | 8.00% | 12/01/51 | 979,829 | ||||
Maryland – 1.2% | ||||||||
175,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 2.95% | 06/01/27 | 179,521 | ||||
185,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.05% | 06/01/28 | 188,849 | ||||
200,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.15% | 06/01/29 | 205,006 | ||||
190,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.20% | 06/01/30 | 193,861 | ||||
900,000 | Frederick Cnty MD Tax Incr & Spl Tax Ref Jefferson Technology Park Proj, Ser B (a) | 4.63% | 07/01/43 | 1,031,468 | ||||
1,000,000 | MD St Econ Dev Corp Spl Oblig Port Covington Proj | 4.00% | 09/01/50 | 1,085,986 | ||||
1,150,000 | MD St Econ Dev Corp Stdt Hsg Rev Morgan St Univ Proj | 5.00% | 07/01/50 | 1,340,334 | ||||
300,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Adventist Hlthcare | 4.00% | 01/01/38 | 338,675 | ||||
4,563,700 | ||||||||
Massachusetts – 0.8% | ||||||||
1,000,000 | MA St Bay Transprtn Auth Sales Tax Rev Ref Sr, Ser B | 5.25% | 07/01/30 | 1,239,910 | ||||
500,000 | MA St Dev Fin Agy Rev Linden Ponds Inc Fac (a) | 5.00% | 11/15/28 | 557,554 | ||||
1,000,000 | MA St Dev Fin Agy Rev Umass Dartmouth Stdt Hsg Proj | 5.00% | 10/01/48 | 1,109,111 | ||||
2,906,575 | ||||||||
Michigan – 1.4% | ||||||||
300,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/31 | 324,527 | ||||
860,000 | Detroit MI Social Bonds, Ser A | 5.00% | 04/01/38 | 1,022,232 | ||||
1,180,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Junior Lien Bond, Ser B | 5.00% | 07/01/49 | 1,416,814 | ||||
635,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 4.00% | 11/15/46 | 684,314 | ||||
1,400,000 | Wayne Cnty MI Arpt Auth Rev Tcrs, Ser B, BAM | 5.00% | 12/01/46 | 1,699,412 | ||||
5,147,299 | ||||||||
Minnesota – 1.3% | ||||||||
1,500,000 | Duluth MN Econ Dev Auth Rev Ref Benedictine Hlth Sys, Ser A | 4.00% | 07/01/36 | 1,583,684 | ||||
930,000 | Duluth MN Econ Dev Auth Rev Ref Benedictine Hlth Sys, Ser A | 4.00% | 07/01/41 | 972,483 | ||||
350,000 | Duluth MN Indep Sch Dist #709 Ref, Ser B, COPS | 5.00% | 02/01/28 | 412,736 | ||||
150,000 | Minneapolis MN Stdt Hsg Rev Riverton Cmnty Hsg Proj (a) | 3.80% | 08/01/27 | 155,654 | ||||
105,000 | Saint Paul MN Hsg & Redev Auth Chrt Sch Lease Rev Ref, Ser A | 5.00% | 12/01/30 | 113,750 | ||||
850,000 | Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj, Ser A | 4.00% | 07/01/41 | 905,590 | ||||
660,000 | Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj, Ser A | 4.00% | 07/01/51 | 693,832 | ||||
4,837,729 | ||||||||
Missouri – 1.2% | ||||||||
275,000 | Bridgeton MO Spl Oblig Rev Ref, Ser A | 4.00% | 12/01/29 | 312,821 | ||||
2,000,000 | Kansas City MO Indl Dev Auth Arpt Spl Oblig Kansas City Intrnl Arpt Terminal Mod Proj, Ser B, AMT | 5.00% | 03/01/37 | 2,355,241 | ||||
1,000,000 | Kansas City MO Indl Dev Auth Arpt Spl Oblig Kansas City Intrnl Arpt Terminal Mod Proj, Ser B, AMT | 5.00% | 03/01/54 | 1,159,806 | ||||
80,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs | 5.00% | 02/01/35 | 84,676 | ||||
10,000 | MO St Hlth & Eductnl Facs Auth Med Rsrch Lutheran Svcs, Ser A | 5.00% | 02/01/29 | 11,208 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Missouri (Continued) | ||||||||
$725,000 | Plaza at Noah’s Ark Cmnty Impt Dist MO Tax Incr & Impt Ref | 3.00% | 05/01/30 | $714,592 | ||||
4,638,344 | ||||||||
Nevada – 0.6% | ||||||||
315,000 | Carson City NV Hosp Rev Ref Carson Tahoe Regl Med Ctr, Ser A | 5.00% | 09/01/25 | 352,898 | ||||
200,000 | N Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 4.00% | 06/01/29 | 217,996 | ||||
700,000 | NV Dept of Busn & Ind NV Doral Acdmy, Ser A (a) | 5.00% | 07/15/37 | 764,086 | ||||
1,000,000 | Sparks NV Tourism Impt Dist #1 Rev Ref Sales Tax Sr, Ser A (a) | 2.75% | 06/15/28 | 1,018,125 | ||||
2,353,105 | ||||||||
New Hampshire – 0.4% | ||||||||
1,000,000 | Natl Fin Auth NH Rev Ref Green Bond, Ser B, AMT (Mandatory put 07/02/40) (a) | 3.75% | 07/01/45 | 1,029,062 | ||||
500,000 | NH St Hlth & Edu Facs Auth Rev Ref Sthrn NH Med Ctr | 5.00% | 10/01/37 | 565,800 | ||||
1,594,862 | ||||||||
New Jersey – 1.7% | ||||||||
1,000,000 | NJ St Covid-19 Go Emergency Bonds, Ser A | 4.00% | 06/01/30 | 1,149,563 | ||||
500,000 | NJ St Econ Dev Auth Rev Social Bonds, Ser QQQ | 4.00% | 06/15/36 | 558,708 | ||||
100,000 | NJ St Econ Dev Auth Spl Fac Rev Ref Port Newark Container Terminal LLC Proj, AMT | 5.00% | 10/01/25 | 113,579 | ||||
850,000 | NJ St Transprtn Trust Fund Auth Cap Apprec Transprtn Sys, Ser C, AMBAC | (c) | 12/15/25 | 792,651 | ||||
500,000 | NJ St Transprtn Trust Fund Auth Ref Transprtn Sys, Ser A | 5.00% | 12/15/30 | 593,432 | ||||
1,500,000 | NJ St Transprtn Trust Fund Auth Ref, Ser A | 4.00% | 06/15/36 | 1,676,273 | ||||
500,000 | Tobacco Stlmt Fing Corp NJ Ref, Ser A | 5.00% | 06/01/27 | 588,190 | ||||
1,000,000 | Tobacco Stlmt Fing Corp NJ Ref, Subser B | 5.00% | 06/01/46 | 1,113,885 | ||||
6,586,281 | ||||||||
New York – 5.1% | ||||||||
785,000 | Build NYC Res Corp NY Rev NY Preparatory Chrt Sch Proj, Ser A | 4.00% | 06/15/41 | 840,066 | ||||
785,000 | Build NYC Res Corp NY Rev NY Preparatory Chrt Sch Proj, Ser A | 4.00% | 06/15/51 | 827,010 | ||||
1,200,000 | Build NYC Res Corp NY Rev Richmond Prep Chtr Sch Proj Social Impact Proj, Ser A (a) | 5.00% | 06/01/51 | 1,318,020 | ||||
1,250,000 | Dutchess Cnty NY Loc Dev Corp Rev Ref Bard Clg Proj, Ser A (a) | 5.00% | 07/01/40 | 1,444,707 | ||||
1,500,000 | Huntington NY Loc Dev Corp Rev Fountaingate Garden Proj, Ser A | 5.25% | 07/01/56 | 1,611,711 | ||||
425,000 | Met Transprtn Auth NY Rev Ref, Ser C-2A | 4.00% | 11/15/38 | 455,261 | ||||
1,250,000 | Met Transprtn Auth NY Rev, Ser A-2S, BANS | 4.00% | 02/01/22 | 1,250,000 | ||||
2,055,000 | New York City NY Transitional Fin Auth Rev Subord Future Tax Secured, Ser C-1 | 4.00% | 11/01/40 | 2,310,436 | ||||
500,000 | NY St Transprtn Dev Corp Exempt Fac Rev NY St Thruway Srvc Areas Proj, AMT | 4.00% | 10/31/46 | 554,511 | ||||
1,000,000 | NY St Transprtn Dev Corp Spl Fac Rev Delta Air Lines Inc LaGuardia Arpt Terminals C&D Redev, AMT | 5.00% | 10/01/35 | 1,187,704 | ||||
500,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref American Airlines Inc John F. Kennedy Intl Arpt Proj, AMT | 3.00% | 08/01/31 | 521,449 | ||||
940,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref John F. Kennedy Intl Arpt Proj, AMT | 5.25% | 08/01/31 | 1,082,378 | ||||
400,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser A, AMT | 5.00% | 12/01/31 | 481,639 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$450,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser A, AMT | 5.00% | 12/01/32 | $541,382 | ||||
450,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser A, AMT | 5.00% | 12/01/33 | 541,140 | ||||
150,000 | Troy NY Capital Res Corp Rev Rensselaer Polytechnic Institute Proj Ref | 4.00% | 09/01/34 | 172,508 | ||||
2,000,000 | Tsasc Inc NY Tsasc Inc Rev Ref Turbo, Subser B | 5.00% | 06/01/45 | 2,142,629 | ||||
100,000 | Westchester Cnty NY Loc Dev Corp Rev Ref Miriam Osborn Memorial Home Assn Proj | 5.00% | 07/01/34 | 110,954 | ||||
1,000,000 | Westchester Cnty NY Loc Dev Corp Rev Ref Pur Sr Learning Cmnty Inc Proj, Ser A (a) | 5.00% | 07/01/56 | 1,048,947 | ||||
840,000 | Yonkers NY Econ Dev Corp Eductnl Rev Chrt Sch Edu Excellence Proj, Ser A | 5.00% | 10/15/39 | 952,271 | ||||
19,394,723 | ||||||||
North Carolina – 1.4% | ||||||||
1,000,000 | NC St Agric & Tech Univ Ref Gen, Ser A | 5.00% | 10/01/40 | 1,128,420 | ||||
2,500,000 | NC St Med Care Commn Hlthcare Facs Rev Lutheran Svcs For The Aging Ref, Ser A | 4.00% | 03/01/51 | 2,624,270 | ||||
690,000 | NC St Med Care Commn Retmnt Facs Rev Pennybyrn at Maryfield Proj, Ser A | 5.00% | 10/01/45 | 756,352 | ||||
755,000 | NC St Med Care Commn Retmnt Facs Rev The Forest at Duke Proj | 4.00% | 09/01/51 | 834,727 | ||||
5,343,769 | ||||||||
North Dakota – 0.1% | ||||||||
520,000 | Horace ND Ref | 3.00% | 05/01/36 | 528,647 | ||||
Ohio – 3.4% | ||||||||
750,000 | Allen Cnty OH Hosp Facs Rev Ref Bon Secours Mercy Hlth Inc, Ser A | 5.00% | 12/01/35 | 921,091 | ||||
3,600,000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Class 2, Ser B-2 | 5.00% | 06/01/55 | 3,959,801 | ||||
1,000,000 | Cleveland Cuyahoga Cnty OH Port Auth Tax Incr Fing Rev Ref Sr Flats E Bank Proj, Ser A (a) | 4.00% | 12/01/55 | 1,021,559 | ||||
750,000 | OH St Air Quality Dev Auth Exempt Facs Rev AMG Vanadium Proj, AMT (a) | 5.00% | 07/01/49 | 832,705 | ||||
1,200,000 | OH St Air Quality Dev Auth Ref OH Vly Elec Corp Proj, Ser A | 3.25% | 09/01/29 | 1,234,972 | ||||
1,000,000 | OH St Hgr Eductnl Fac Commn Ref Rev Judson Oblig Grp 2020 Proj, Ser A | 5.00% | 12/01/45 | 1,134,671 | ||||
750,000 | OH St Hgr Eductnl Fac Commn Ref Univ of Dayton 2020 Proj | 4.00% | 02/01/36 | 850,630 | ||||
490,000 | Port of Gtr Cincinnati Dev Auth OH Rev (a) | 3.75% | 12/01/31 | 487,986 | ||||
550,000 | Sharonville OH Spl Oblg Rev | 4.00% | 12/01/41 | 627,735 | ||||
1,500,000 | Sthrn OH Port Exempt Fac Rev Purecycle Proj, Ser A, AMT (a) | 7.00% | 12/01/42 | 1,686,975 | ||||
12,758,125 | ||||||||
Oklahoma – 0.8% | ||||||||
150,000 | OK St Dev Fin Auth Hlthsys Rev Ou Medicine Proj, Ser B | 5.00% | 08/15/26 | 171,182 | ||||
2,500,000 | OK St Dev Fin Auth Sr OK Proton Ctr, Ser A1 (a) | 7.25% | 09/01/51 | 2,916,733 | ||||
3,087,915 | ||||||||
Oregon – 0.8% | ||||||||
290,000 | Clackamas Cnty OR Hosp Fac Auth Rev Mary’s Woods at Marylhurst Inc Proj, Ser A | 5.00% | 05/15/26 | 314,317 | ||||
500,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A | 5.13% | 11/15/40 | 541,410 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Oregon (Continued) | ||||||||
$1,150,000 | OR St Facs Auth Rev Ref Samaritan Hlth Svcs Proj, Ser A | 5.00% | 10/01/40 | $1,384,700 | ||||
250,000 | Yamhill Cnty OR Hosp Auth Ref Friendsview, Ser A | 5.00% | 11/15/51 | 283,289 | ||||
475,000 | Yamhill Cnty OR Hosp Auth Ref Friendsview, Ser A | 5.00% | 11/15/56 | 534,504 | ||||
3,058,220 | ||||||||
Pennsylvania – 6.6% | ||||||||
750,000 | Allegheny Cnty PA Arpt Auth Arpt Rev, Ser A, AGM, AMT | 4.00% | 01/01/46 | 827,470 | ||||
300,000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network Oblig Grp Issue, Ser A | 5.00% | 04/01/32 | 355,457 | ||||
1,280,000 | Berks Cnty PA Muni Auth Univ Rev Alvernia Univ Proj | 5.00% | 10/01/39 | 1,400,823 | ||||
100,000 | Chester Cnty PA Indl Dev Auth Renaissance Acdmy Chrt Sch | 5.00% | 10/01/34 | 108,031 | ||||
2,400,000 | Dubois PA Hosp Auth Ref Penn Highlands Hlthcare | 4.00% | 07/15/51 | 2,626,602 | ||||
240,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Univ Proj Ref, Ser TT1 | 4.00% | 05/01/36 | 268,544 | ||||
740,000 | Kutztown PA Area Sch Dist, AGM | 4.00% | 03/15/37 | 843,541 | ||||
250,000 | Lancaster Cnty PA Hosp Auth Hlthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/28 | 283,336 | ||||
515,000 | Lancaster Cnty PA Hosp Auth Hlthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/31 | 577,237 | ||||
1,000,000 | Lancaster Cnty PA Hosp Auth Penn St Hlth | 5.00% | 11/01/39 | 1,211,426 | ||||
300,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/37 | 316,115 | ||||
250,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/38 | 263,314 | ||||
1,700,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/46 | 1,772,481 | ||||
665,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/36 | 753,568 | ||||
350,000 | PA St Turnpike Commn Oil Franchise Tax Rev Ref Sub, Ser B | 5.00% | 12/01/30 | 406,678 | ||||
10,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/39 | 11,331 | ||||
1,875,000 | PA St Turnpike Commn Turnpike Rev Subord, Ser A | 4.00% | 12/01/50 | 2,095,743 | ||||
1,000,000 | Philadelphia PA Arpt Rev Ref Priv Activity, AMT, AGM | 4.00% | 07/01/39 | 1,129,967 | ||||
800,000 | Philadelphia PA Auth For Indl Dev Chrt Sch Rev Philadelphia E&T Chrt High Sch, Ser A | 4.00% | 06/01/51 | 837,421 | ||||
900,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Ref String Theory Chrt Sch Proj (a) | 5.00% | 06/15/40 | 1,025,445 | ||||
215,000 | Philadelphia PA Auth for Indl Dev Revs Kipp Philadelphia Chrt Sch Proj, Ser A | 5.00% | 04/01/36 | 233,373 | ||||
1,550,000 | Philadelphia PA Gas Wks Rev Ref Sixteenth, Ser B, AGM | 4.00% | 08/01/40 | 1,765,291 | ||||
1,200,000 | Philadelphia PA Gas Wks Rev Sixteenth, Ser A, AGM | 4.00% | 08/01/45 | 1,353,995 | ||||
2,250,000 | Southcentrl PA Gen Auth Rev Ref Wellspan Hlth Obligated Grp, Ser A | 4.00% | 06/01/44 | 2,517,903 | ||||
125,000 | W Cornwall Twp PA Muni Auth Ref Lebanon Vly Brethren Home Proj, Ser A | 4.00% | 11/15/41 | 139,885 | ||||
1,595,000 | Wilkes-Barre PA Area Sch Dist, BAM | 4.00% | 04/15/49 | 1,784,525 | ||||
24,909,502 | ||||||||
Puerto Rico – 1.3% | ||||||||
250,000 | Puerto Rico Cmwlth Ref Pub Impt, Ser A, AGM | 5.00% | 07/01/35 | 251,777 | ||||
1,559,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.50% | 07/01/34 | 1,666,753 | ||||
177,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (c) | 07/01/29 | 148,408 | ||||
1,195,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (c) | 07/01/33 | 868,244 | ||||
315,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2 | 4.33% | 07/01/40 | 342,717 | ||||
551,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2 Converted | 4.33% | 07/01/40 | 599,484 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Puerto Rico (Continued) | ||||||||
$1,050,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2A | 4.55% | 07/01/40 | $1,155,941 | ||||
5,033,324 | ||||||||
South Carolina – 1.2% | ||||||||
425,000 | Berkeley Cnty SC Assmnt Rev Nexton Impt Dist | 4.00% | 11/01/30 | 464,814 | ||||
230,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 5.00% | 12/01/31 | 237,133 | ||||
580,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Woodlands at Furman Proj, Ser A | 5.00% | 11/15/42 | 638,449 | ||||
830,000 | SC St Jobs Econ Dev Auth Eductnl Facs Rev Green Chrt Schs Proj, Ser A (a) | 4.00% | 06/01/36 | 870,663 | ||||
2,000,000 | SC St Jobs Econ Dev Auth Eductnl Facs Rev Green Chrt Schs Proj, Ser A (a) | 4.00% | 06/01/56 | 2,052,815 | ||||
135,000 | SC St Jobs Econ Dev Auth Hlth Facs Rev Ref Lutheran Homes of SC Inc | 5.00% | 05/01/42 | 138,178 | ||||
4,402,052 | ||||||||
South Dakota – 0.2% | ||||||||
700,000 | Lincoln Cnty SD Econ Dev Rev Ref Augustana Clg Assoc Proj, Ser A | 4.00% | 08/01/41 | 759,378 | ||||
Tennessee – 1.5% | ||||||||
25,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Stdt Hsg CDFI Phase I | 5.00% | 10/01/23 | 26,517 | ||||
440,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Lipscomb Univ Proj, Ser A | 5.00% | 10/01/36 | 510,129 | ||||
1,800,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Trevecca Nazarene Univ Proj | 5.00% | 10/01/48 | 2,054,101 | ||||
1,215,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Trevecca Nazarene Univ Proj, Ser B | 4.00% | 10/01/41 | 1,287,216 | ||||
250,000 | TN Energy Acq Corp Cmdy Proj Rev The TN Energy Acq Corp Cmdy Proj, Ser A | 5.00% | 11/01/30 | 305,120 | ||||
500,000 | TN St Energy Acq Corp Gas Rev Proj, Ser A (Mandatory put 05/01/23) | 4.00% | 05/01/48 | 515,376 | ||||
730,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/26 | 832,260 | ||||
5,530,719 | ||||||||
Texas – 5.4% | ||||||||
1,200,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Legacy Trad Schs TX Proj, Ser A | 4.00% | 02/15/31 | 1,203,261 | ||||
1,645,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Legacy Trad Schs TX Proj, Ser A | 4.13% | 02/15/41 | 1,609,908 | ||||
610,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref, Ser A | 4.00% | 08/15/41 | 649,029 | ||||
50,000 | Centrl TX Regl Mobility Auth Rev Ref Sub Lien | 5.00% | 01/01/33 | 51,930 | ||||
1,000,000 | Club Muni Mgmt Dist #1 TX Spl Assmnt Rev Impt Area #2 Proj (a) | 4.00% | 09/01/50 | 1,017,661 | ||||
556,000 | Crandall TX Spl Assmnt Rev Cartwright Ranch Pub Impt Dt Impt Area #1 Proj (a) | 4.25% | 09/15/41 | 554,510 | ||||
420,000 | Harris-Brazoria Cntys TX Muni Util Dist #509, AGM | 3.00% | 09/01/32 | 423,755 | ||||
1,250,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal E Proj, Ser A, AMT | 5.00% | 07/01/27 | 1,419,725 | ||||
125,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 142,049 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$1,200,000 | Justin TX Spl Assmnt Rev Timberbrook Pub Imp Dt #1 Imp Area #2 Proj (a) | 4.00% | 09/01/51 | $1,181,533 | ||||
250,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pid #1 (d) | 4.13% | 09/01/29 | 266,704 | ||||
500,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pid #1 (a) | 4.63% | 09/01/39 | 537,121 | ||||
300,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch (a) | 4.35% | 08/15/25 | 318,207 | ||||
1,250,000 | Lago Vista TX Spl Assmt Rev Ref Tessera on Lake Travis, Ser B (a) | 4.88% | 09/01/50 | 1,280,780 | ||||
400,000 | Leander TX Spl Assmnt Rev Crystal Springs Pub Impt Dist Proj Accd Inv (d) | 4.50% | 09/01/28 | 406,517 | ||||
1,350,000 | Liberty Hill TX Spl Assmnt Rev Butler Farms Pub Imp Dt Areas #1 and 2 Proj (a) | 4.00% | 09/01/52 | 1,379,219 | ||||
1,285,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/39 | 1,555,227 | ||||
1,000,000 | N TX Tollway Auth Rev Ref First Tier Bonds, Ser A | 4.00% | 01/02/38 | 1,135,741 | ||||
285,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/32 | 304,594 | ||||
205,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Wesleyan Homes Inc Proj Fin Corp | 5.00% | 01/01/39 | 211,886 | ||||
2,750,000 | North Parkway Muni Mgmt Dist #1 Tx Spl Assmnt Rev Major Impts Proj (a) | 5.00% | 09/15/51 | 2,976,819 | ||||
223,000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp Dist Major Imp Area Proj (a) | 3.75% | 09/15/31 | 216,149 | ||||
500,000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp Dist Major Imp Area Proj (a) | 4.13% | 09/15/41 | 478,136 | ||||
765,000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp Dist Major Imp Area Proj (a) | 4.25% | 09/15/51 | 716,023 | ||||
250,000 | TX St Transprtn Commn Central TX Turnpike Sys Rev Ref, Ser B | 5.00% | 08/15/37 | 270,973 | ||||
20,307,457 | ||||||||
Utah – 4.4% | ||||||||
4,000,000 | Black Desert Pub Infra Dist Sr Bonds, Ser A (a) | 4.00% | 03/01/51 | 3,923,491 | ||||
1,000,000 | Med Sch Cmps Pub Infra Dist UT, Ser A (a) | 5.25% | 02/01/40 | 1,009,979 | ||||
1,000,000 | Mida Golf & Equestrian Ctr Pub Infra Dist UT Ltd (a) | 4.25% | 06/01/41 | 961,644 | ||||
3,000,000 | Mida Golf & Equestrian Ctr Pub Infra Dist UT Ltd (a) | 4.50% | 06/01/51 | 2,859,010 | ||||
2,000,000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-1 | 4.00% | 06/01/52 | 1,824,967 | ||||
2,000,000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-2 | 4.00% | 06/01/52 | 1,781,181 | ||||
500,000 | Red Bridge Pub Infra Dist #1 UT Sr Infra Dist, Ser 1-A (a) | 4.13% | 02/01/41 | 502,250 | ||||
1,000,000 | Red Bridge Pub Infra Dist #1 UT Sr Infra Dist, Ser 1-A (a) | 4.38% | 02/01/51 | 1,007,406 | ||||
1,690,000 | UIPA Crossroads Pub Infra Dist UT Tax Diff Rev (a) | 4.13% | 06/01/41 | 1,649,188 | ||||
475,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Mountain W Montessori Acdmy Proj, Ser A (a) | 5.00% | 06/15/39 | 524,310 | ||||
675,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner Acdmy Proj, Ser A (a) | 5.00% | 06/15/39 | 723,462 | ||||
16,766,888 | ||||||||
Washington – 1.7% | ||||||||
560,000 | Kalispel Tribe of Indians Priority Dist WA Rev, Ser A (a) | 5.00% | 01/01/32 | 649,069 | ||||
1,000,000 | WA St Convention Ctr Pub Facs Dist Junior Lodging Tax Notes Green Bond | 4.00% | 07/01/31 | 1,115,034 | ||||
1,000,000 | WA St Hgr Edu Facs Auth Seattle Univ Proj Rev | 4.00% | 05/01/45 | 1,107,455 | ||||
230,000 | WA St Hlthcare Facs Auth Ref Fred Hutchinson Cancer Rsrch Ctr | 5.00% | 01/01/26 | 257,127 | ||||
245,000 | WA St Hlthcare Facs Auth Seattle Cancer Care Alliance (a) | 5.00% | 12/01/33 | 303,848 | ||||
855,000 | WA St Hlthcare Facs Auth Seattle Cancer Care Alliance (a) | 4.00% | 12/01/40 | 976,486 | ||||
710,000 | WA St Hsg Fin Commn Nonprofit Rev Spokane Int Acad Proj, Ser A (a) | 5.00% | 07/01/50 | 800,231 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Washington (Continued) | ||||||||
$990,606 | WA St Hsg Fin Commn Social Ctf, Ser A-1 | 3.50% | 12/20/35 | $1,047,927 | ||||
6,257,177 | ||||||||
West Virginia – 0.8% | ||||||||
2,000,000 | South Charleston WV Spl Dist Excise Tax Ref S Charleston Park Place Proj, Ser A (a) | 4.50% | 06/01/50 | 1,943,704 | ||||
1,000,000 | WV St Econ Dev Auth Sol Wst Disp Facs Var Arch Res Proj, AMT (Mandatory put 07/01/25) | 4.13% | 07/01/45 | 1,040,225 | ||||
2,983,929 | ||||||||
Wisconsin – 2.9% | ||||||||
470,000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (a) | 4.00% | 06/15/30 | 504,186 | ||||
810,000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (a) | 5.00% | 06/15/40 | 903,056 | ||||
500,000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas Proj, Ser A (a) | 4.00% | 07/01/30 | 526,577 | ||||
500,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las Vegas Proj, Ser A (a) | 4.20% | 07/15/27 | 531,370 | ||||
375,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las Vegas Proj, Ser A (a) | 5.13% | 07/15/37 | 417,417 | ||||
1,600,000 | Pub Fin Auth WI Edu Rev Coral Acdmy of Science Las Vegas, Ser A | 4.00% | 07/01/41 | 1,711,279 | ||||
250,000 | Pub Fin Auth WI Edu Rev Coral Acdmy Science Las Vegas, Ser A | 5.00% | 07/01/45 | 276,165 | ||||
200,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/52 | 211,777 | ||||
160,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/27 | 182,917 | ||||
1,000,000 | Pub Fin Auth WI Rev Ref Roseman Univ of Hlth Sciences Proj (a) | 4.00% | 04/01/42 | 1,048,255 | ||||
2,000,000 | Pub Fin Auth WI Rev Sr Proton Intl AR LLC, Ser A (a) | 6.85% | 01/01/51 | 1,878,325 | ||||
500,000 | Pub Fin Auth WI Rev TX Biomedical Rsrch Institute Proj, Ser A | 4.00% | 06/01/39 | 557,835 | ||||
1,000,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Oakwood Lutheran Sr Ministries | 4.00% | 01/01/37 | 1,060,547 | ||||
1,000,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Oakwood Lutheran Sr Ministries | 4.00% | 01/01/47 | 1,039,872 | ||||
10,849,578 |
Total Investments – 95.9% | 361,763,718 | ||
(Cost $357,854,498) | |||
Net Other Assets and Liabilities – 4.1% | 15,463,092 | ||
Net Assets – 100.0% | $377,226,810 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury Long Bonds | Short | 43 | Mar 2022 | $ (6,691,875) | $(27,363) | |||||
Ultra 10-Year U.S. Treasury Notes | Short | 47 | Mar 2022 | (6,712,922) | (12,798) | |||||
$(13,404,797) | $(40,161) |
(a) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At January 31, 2022, securities noted as such amounted to $110,596,191 or 29.3% of net assets. |
(b) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(c) | Zero coupon bond. |
(d) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of 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). |
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 |
CIBS | Current Interest Bonds |
COPS | Certificates of Participation |
NATL-RE | National Public Finance Guarantee Corp. |
ASSETS TABLE | ||||
Total Value at 1/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 361,763,718 | $ — | $ 361,763,718 | $ — |
LIABILITIES TABLE | ||||
Total Value at 1/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts** | $ (40,161) | $ (40,161) | $ — | $ — |
* | See Portfolio of Investments for state 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 $357,854,498) | $ 361,763,718 |
Cash | 20,641,308 |
Cash segregated as collateral for open futures contracts | 247,228 |
Receivables: | |
Investment securities sold | 12,000,892 |
Interest | 3,123,734 |
Total Assets | 397,776,880 |
LIABILITIES: | |
Payables: | |
Fund shares redeemed | 13,576,188 |
Investment securities purchased | 6,770,539 |
Investment advisory fees | 183,093 |
Variation margin | 20,250 |
Total Liabilities | 20,550,070 |
NET ASSETS | $377,226,810 |
NET ASSETS consist of: | |
Paid-in capital | $ 377,483,570 |
Par value | 69,500 |
Accumulated distributable earnings (loss) | (326,260) |
NET ASSETS | $377,226,810 |
NET ASSET VALUE, per share | $54.28 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 6,950,002 |
INVESTMENT INCOME: | ||
Interest | $ 5,310,762 | |
Total investment income | 5,310,762 | |
EXPENSES: | ||
Investment advisory fees | 1,190,138 | |
Total expenses | 1,190,138 | |
Fees waived by the investment advisor | (255,030) | |
Net expenses | 935,108 | |
NET INVESTMENT INCOME (LOSS) | 4,375,654 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (922,626) | |
Futures contracts | (57,875) | |
Net realized gain (loss) | (980,501) | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | (14,683,467) | |
Futures contracts | 167,105 | |
Net change in unrealized appreciation (depreciation) | (14,516,362) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (15,496,863) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(11,121,209) |
Six Months Ended 1/31/2022 (Unaudited) | Year Ended 7/31/2021 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 4,375,654 | $ 4,957,210 | |
Net realized gain (loss) | (980,501) | 467,432 | |
Net increase from payment by the advisor | — | 469 | |
Net change in unrealized appreciation (depreciation) | (14,516,362) | 14,677,444 | |
Net increase (decrease) in net assets resulting from operations | (11,121,209) | 20,102,555 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (4,797,001) | (4,856,433) | |
Return of capital | — | (226,820) | |
Total distributions to shareholders | (4,797,001) | (5,083,253) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 123,269,875 | 156,791,601 | |
Cost of shares redeemed | (13,585,698) | — | |
Net increase (decrease) in net assets resulting from shareholder transactions | 109,684,177 | 156,791,601 | |
Total increase (decrease) in net assets | 93,765,967 | 171,810,903 | |
NET ASSETS: | |||
Beginning of period | 283,460,843 | 111,649,940 | |
End of period | $ 377,226,810 | $ 283,460,843 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 5,000,002 | 2,150,002 | |
Shares sold | 2,200,000 | 2,850,000 | |
Shares redeemed | (250,000) | — | |
Shares outstanding, end of period | 6,950,002 | 5,000,002 |
Six Months Ended 1/31/2022 (Unaudited) | Year Ended July 31, | Period Ended 7/31/2018 (a) | ||||||||
2021 | 2020 | 2019 | ||||||||
Net asset value, beginning of period | $ 56.69 | $ 51.93 | $ 52.48 | $ 50.32 | $ 50.00 | |||||
Income from investment operations: | ||||||||||
Net investment income (loss) | 0.71 | 1.59 | 1.64 | 1.69 | 1.15 | |||||
Net realized and unrealized gain (loss) | (2.34) | 4.83 (b) | (0.48) | 2.27 | 0.30 | |||||
Total from investment operations | (1.63) | 6.42 | 1.16 | 3.96 | 1.45 | |||||
Distributions paid to shareholders from: | ||||||||||
Net investment income | (0.78) | (1.59) | (1.62) | (1.67) | (1.13) | |||||
Return of capital | — | (0.07) | (0.09) | (0.13) | — | |||||
Total distributions | (0.78) | (1.66) | (1.71) | (1.80) | (1.13) | |||||
Net asset value, end of period | $54.28 | $56.69 | $51.93 | $52.48 | $50.32 | |||||
Total return (c) | (2.90)% | 12.57% (b) | 2.25% | 8.05% | 2.93% | |||||
Ratios to average net assets/supplemental data: | ||||||||||
Net assets, end of period (in 000’s) | $ 377,227 | $ 283,461 | $ 111,650 | $ 62,979 | $ 27,677 | |||||
Ratio of total expenses to average net assets | 0.70% (d) | 0.70% | 0.70% | 0.70% | 0.70% (d) | |||||
Ratio of net expenses to average net assets | 0.55% (d) | 0.55% | 0.55% | 0.55% | 0.55% (d) | |||||
Ratio of net investment income (loss) to average net assets | 2.57% (d) | 3.00% | 3.22% | 3.44% | 3.13% (d) | |||||
Portfolio turnover rate (e) | 16% | 19% | 89% | 71% | 74% |
(a) | Inception date is November 1, 2017, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | The Fund received a reimbursement from the advisor in the amount of $469 in connection with a trade error, 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) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived by the investment advisor. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer; |
5) | the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; and |
10) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security | Acquisition Date | Principal Value | Current Price | Carrying Cost | Value | % of Net Assets | ||
IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Acdmy Proj, Ser A, 5.25%, 07/01/28 | 08/31/18 | $200,000 | $111.68 | $201,613 | $223,353 | 0.06% | ||
Kyle TX Spl Assmnt Rev 6 Creeks Pid #1, 4.13%, 09/01/29 | 05/08/19 | 250,000 | 106.68 | 250,000 | 266,704 | 0.07 | ||
Leander TX Spl Assmnt Rev Crystal Springs Pub Impt Dist Proj Accd Inv, 4.50%, 09/01/28 | 05/04/18 | 400,000 | 101.63 | 397,161 | 406,517 | 0.11 | ||
$848,774 | $896,574 | 0.24% |
Distributions paid from: | |
Ordinary income | $— |
Capital gains | — |
Tax-exempt income | 4,856,433 |
Return of capital | 226,820 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (2,976,926) |
Net unrealized appreciation (depreciation) | 18,568,876 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$357,854,498 | $9,637,175 | $(5,768,116) | $3,869,059 |
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* | $ 40,161 |
Statement of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $(57,875) |
Net change in unrealized appreciation (depreciation) on futures contracts | 167,105 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
First Trust Ultra Short Duration Municipal ETF (FUMB)
For the Six Months Ended
January 31, 2022
1 | |
Fund Performance Overview | |
2 | |
4 | |
6 | |
7 | |
8 | |
Portfolio of Investments | |
9 | |
27 | |
40 | |
41 | |
42 | |
43 | |
45 | |
52 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/22 | 1 Year Ended 1/31/22 | Inception (11/1/18) to 1/31/22 | Inception (11/1/18) to 1/31/22 | |
Fund Performance | ||||
NAV | -1.72% | -0.68% | 2.49% | 8.31% |
Market Price | -1.72% | -0.73% | 2.49% | 8.31% |
Index Performance | ||||
Bloomberg Municipal Short (1-5) Year Index | -1.83% | -1.41% | 1.98% | 6.58% |
Sector Allocation | % of Total Investments (including cash) |
Insured | 16.9% |
Gas | 10.1 |
Special Assessment | 7.8 |
Hospital | 7.1 |
Government Obligation Bond - Unlimited Tax | 6.8 |
Certificates of Participation | 5.2 |
Continuing Care Retirement Communities | 4.7 |
Industrial Development Bond | 4.5 |
Pre-refunded/Escrowed-to-maturity | 4.1 |
Dedicated Tax | 3.9 |
Utility | 3.8 |
Higher Education | 3.4 |
Water & Sewer | 3.3 |
Education | 3.0 |
Mass Transit | 2.2 |
Airport | 1.9 |
Tax Increment | 1.4 |
Government Obligation Bond - Limited Tax | 1.4 |
Toll Road | 1.3 |
Student Loan | 1.3 |
Tobacco | 0.5 |
Housing | 0.4 |
Student Housing | 0.0* |
Cash | 5.0 |
Total | 100.0% |
* | Amount is less than 0.1%. |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 4.0% |
AA | 31.4 |
A | 28.3 |
BBB | 14.7 |
BB | 3.2 |
B | 1.2 |
Not Rated | 10.6 |
SP-1+ (short-term) | 0.3 |
SP-1/MIG1 (short-term) | 0.3 |
SP-2/MIG2 (short-term) | 0.9 |
Cash | 5.1 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 96.0% |
Net Other Assets and Liabilities(2) | 4.0 |
Total | 100.0% |
(1) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
(2) | 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.
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/22 | 1 Year Ended 1/31/22 | Inception (11/1/18) to 1/31/22 | Inception (11/1/18) to 1/31/22 | |
Fund Performance | ||||
NAV | -0.40% | -0.15% | 1.13% | 3.71% |
Market Price | -0.45% | -0.20% | 1.11% | 3.66% |
Index Performance | ||||
Bloomberg Municipal Short-Term Index | -0.05% | 0.09% | 1.03% | 3.37% |
Sector Allocation | % of Total Investments (including cash) |
Pre-refunded/Escrowed-to-maturity | 20.1% |
Government Obligation Bond - Unlimited Tax | 13.1 |
Insured | 11.1 |
Gas | 8.1 |
Housing | 6.7 |
Industrial Development Bond | 6.0 |
Hospital | 5.0 |
Government Obligation Bond - Limited Tax | 3.8 |
Education | 3.5 |
Water & Sewer | 3.2 |
Certificates of Participation | 3.2 |
Dedicated Tax | 2.5 |
Higher Education | 2.4 |
Mass Transit | 2.2 |
Utility | 2.1 |
Student Loan | 1.7 |
Continuing Care Retirement Communities | 0.8 |
Airport | 0.7 |
Tobacco | 0.4 |
Tax Increment | 0.3 |
Special Assessment | 0.3 |
Cash | 2.8 |
Total | 100.0% |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 7.0% |
AA | 38.3 |
A | 22.5 |
BBB | 17.8 |
BB | 0.7 |
Not Rated | 6.4 |
SP-1+ (short-term) | 0.5 |
SP-1/MIG1 (short-term) | 3.0 |
SP-2/MIG2 (short-term) | 1.0 |
Cash | 2.8 |
Total | 100.0% |
(1) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Beginning Account Value August 1, 2021 | Ending Account Value January 31, 2022 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (b) | |
First Trust Short Duration Managed Municipal ETF (FSMB) | ||||
Actual | $1,000.00 | $982.80 | 0.35% | $1.75 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.44 | 0.35% | $1.79 |
First Trust Ultra Short Duration Municipal ETF (FUMB) | ||||
Actual | $1,000.00 | $996.00 | 0.25% | $1.26 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.95 | 0.25% | $1.28 |
(a) | These expense ratios reflect expense waivers. See Note 3 in the Notes to Financial Statements. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (August 1, 2021 through January 31, 2022), multiplied by 184/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 96.0% | ||||||||
Alabama – 5.2% | ||||||||
$1,000,000 | AL Federal Aid Hwy Fin Auth Spl Oblig Rev, GARVEE | 5.00% | 09/01/30 | $1,100,417 | ||||
350,000 | AL St Port Auth Docks Facs Rev Ref Docks Facs Rev, Ser A, AMT, AGM | 5.00% | 10/01/24 | 383,164 | ||||
50,000 | Birmingham AL Spl Care Facs Fing Auth Hlthcare Fac Ref Children’s Hosp of AL | 5.00% | 06/01/26 | 55,892 | ||||
130,000 | Birmingham AL Spl Care Facs Fing Auth Hlthcare Fac Ref Children’s Hosp of AL | 5.00% | 06/01/27 | 145,230 | ||||
250,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev Proj #5, Ser A-1 | 4.00% | 04/01/25 | 269,394 | ||||
490,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev Proj #5, Ser A-1 (Mandatory put 10/01/26) | 4.00% | 10/01/49 | 539,479 | ||||
535,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev, Ser A (Mandatory put 12/01/23) | 4.00% | 12/01/48 | 558,892 | ||||
2,000,000 | Black Belt Energy Gas Dist AL Gas Proj Rev Proj No 6, Ser B (Mandatory put 12/01/26) | 4.00% | 10/01/52 | 2,199,625 | ||||
275,000 | Black Belt Energy Gas Dist AL Gas Sply Rev, Ser A (Mandatory put 07/01/22) | 4.00% | 08/01/47 | 277,827 | ||||
100,000 | Greenville AL Pub Impt Cooperative Pub Impt Rev Greenville Funding, BAM | 5.00% | 03/01/25 | 111,419 | ||||
550,000 | Infirmary Hlth Sys AL Spl Care Facs Fing Auth Rev Infirmary Hlth Sys Inc, Ser A | 5.00% | 02/01/25 | 608,373 | ||||
215,000 | Infirmary Hlth Sys AL Spl Care Facs Fing Auth Rev Infirmary Hlth Sys Inc, Ser A | 5.00% | 02/01/28 | 243,050 | ||||
500,000 | Infirmary Hlth Sys AL Spl Care Facs Fing Auth Rev Infirmary Hlth Sys Inc, Ser A | 5.00% | 02/01/36 | 557,423 | ||||
1,005,000 | Lower AL Gas Dist Gas Proj Rev Gas Proj Rev Bonds Proj 2 (Mandatory put 12/01/25) | 4.00% | 12/01/50 | 1,089,370 | ||||
300,000 | Midcity Impt Dist AL Spl Assmnt Rev | 3.88% | 11/01/27 | 300,104 | ||||
430,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 5.00% | 11/01/25 | 475,832 | ||||
225,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #1, Ser A (Mandatory put 04/01/24) | 4.00% | 04/01/49 | 236,585 | ||||
10,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A | 4.00% | 06/01/23 | 10,387 | ||||
305,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A (Mandatory put 06/01/24) | 4.00% | 06/01/49 | 322,264 | ||||
350,000 | SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A | 4.00% | 10/01/23 | 365,730 | ||||
500,000 | SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A | 4.00% | 10/01/25 | 541,932 | ||||
155,000 | Univ of AL at Birmingham Gen Rev Brd of Trustees, Ser A | 4.00% | 10/01/22 | 158,579 | ||||
250,000 | Warrior River AL Wtr Auth Wtr Rev Ref, BAM | 3.00% | 08/01/23 | 256,931 | ||||
10,807,899 | ||||||||
Arizona – 2.8% | ||||||||
110,000 | AZ St Indl Dev Auth Edu Rev Greathearts AZ Proj, Ser A | 4.00% | 07/01/23 | 114,715 | ||||
155,000 | AZ St Indl Dev Auth Edu Rev Jerome Fac Proj Social Bonds, Ser B | 5.00% | 07/01/27 | 173,269 | ||||
155,000 | AZ St Indl Dev Auth Edu Rev Jerome Fac Proj Social Bonds, Ser B | 5.00% | 07/01/29 | 171,926 | ||||
115,000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (a) | 4.00% | 07/15/26 | 123,329 | ||||
600,000 | AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan Fd Social Bonds Equitable Sch Revolving Fund, Ser A | 4.00% | 11/01/25 | 656,730 | ||||
1,000,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 05/01/27 | 1,175,860 | ||||
1,000,000 | Coconino Cnty AZ Poll Controlcorp Ref NV Pwr Company Remk, Ser A, AMT (Mandatory put 03/31/23) | 1.88% | 09/01/32 | 1,009,750 | ||||
95,000 | Glendale AZ Indl Dev Auth Sr Living Facs Rev Ref Royal Oaks Life Care Cmnty | 4.00% | 05/15/29 | 100,465 | ||||
615,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Sch Proj | 5.00% | 07/01/24 | 666,350 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Arizona (Continued) | ||||||||
$580,000 | Phoenix AZ Indl Dev Auth Edu Rev Ref Basis Sch (a) | 5.00% | 07/01/35 | $632,719 | ||||
500,000 | Pima Cnty AZ Indl Dev Auth Edu Rev Fac Amern Leadership Acdmy Proj (a) | 5.00% | 06/15/47 | 508,249 | ||||
110,000 | Salt Verde AZ Finl Corp Sr Gas Rev Sr | 5.25% | 12/01/22 | 113,879 | ||||
280,000 | Santa Cruz Cnty AZ Pledged Rev Ref | 4.00% | 07/01/34 | 303,721 | ||||
5,750,962 | ||||||||
Arkansas – 0.1% | ||||||||
110,000 | AR St Dev Fin Auth Hlthcare Facs Rev Carti Surgery Ctr Proj, Ser B | 4.00% | 07/01/23 | 113,034 | ||||
140,000 | AR St Dev Fin Auth Hlthcare Facs Rev Carti Surgery Ctr Proj, Ser B | 4.00% | 07/01/25 | 146,705 | ||||
259,739 | ||||||||
California – 4.7% | ||||||||
200,000 | CA Sch Fin Auth Sch Fac Rev Kipp L.A. Proj, Ser A (a) | 4.00% | 07/01/23 | 207,969 | ||||
25,000 | CA St Enterprise Dev Auth Stdt Hsg Rev M@College Proj, Ser A | 5.00% | 08/01/23 | 26,502 | ||||
50,000 | CA St Enterprise Dev Auth Stdt Hsg Rev M@College Proj, Ser A | 5.00% | 08/01/24 | 54,661 | ||||
205,000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A | 5.00% | 03/01/23 | 214,488 | ||||
415,000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A | 4.00% | 03/01/33 | 428,651 | ||||
385,000 | CA St Hlth Facs Fing Auth Rev El Camino Hosp | 5.00% | 02/01/33 | 450,986 | ||||
750,000 | CA St Muni Fin Auth Mf Hsg Rev Peppertree Sr Apts, Ser A | 2.80% | 06/01/23 | 768,362 | ||||
300,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt Inc, Ser A1, AMT | 3.38% | 07/01/25 | 320,303 | ||||
150,000 | CA St Pub Wks Brd Lease Rev Ref Dept Correction & Rehab CA St Prison Kern Cnty | 5.00% | 06/01/26 | 152,265 | ||||
25,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/22 | 25,405 | ||||
40,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/23 | 41,470 | ||||
50,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/24 | 52,637 | ||||
80,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/25 | 85,120 | ||||
325,000 | CA St Stwd Cmntys Dev Auth Stwd Rev Dev Auth, Ser 2021A | 4.00% | 09/02/24 | 342,408 | ||||
355,000 | CA St Stwd Cmntys Dev Auth Stwd Rev Dev Auth, Ser 2021A | 4.00% | 09/02/25 | 379,123 | ||||
880,000 | CA Stwd Cmntys Dev Auth Rev Ref Insd Enloe Med Ctr | 5.00% | 08/15/24 | 964,427 | ||||
265,000 | Cathedral City CA Redev Agy Successor Agy Tax Allocation Rev Ref Sub Hsg Merged Redev Proj Area, Ser C | 4.00% | 08/01/23 | 275,666 | ||||
115,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 3.00% | 09/01/23 | 117,603 | ||||
100,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 4.00% | 09/01/26 | 107,840 | ||||
295,000 | Fontana CA Spl Tax Summit at Rosena Phase One | 3.00% | 09/01/24 | 303,768 | ||||
160,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Enhanced Asset Bkd, Ser A | 5.00% | 06/01/30 | 168,889 | ||||
195,000 | Hemet CA Unif Sch Dist Facs Dist Spl Tax Ref | 4.00% | 09/01/25 | 208,803 | ||||
25,000 | Irvine CA Impt Bond Act 1915 Ltd Oblig Re-Assmnt Dist #13-1 | 5.00% | 09/02/23 | 26,650 | ||||
400,000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.25% | 11/15/22 | 414,340 | ||||
85,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Rev Grantline 208 Cmnty Fac Dt #2018-1 | 3.00% | 09/01/23 | 86,911 | ||||
90,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Rev Grantline 208 Cmnty Fac Dt #2018-1 | 3.00% | 09/01/24 | 92,744 | ||||
365,000 | Rio Vista CA Pub Fing Auth Spl Tax Rev Ref | 5.00% | 09/01/24 | 398,326 | ||||
575,000 | River Islands CA Pub Fing Auth Spl Tax Ref Cmnty Facs Dist #2003-1 | 5.00% | 09/01/27 | 596,882 | ||||
195,000 | Riverside CA Unif Sch Dist Cmnty Facs Dt #33 Citrus Heights II Spl Tax | 3.00% | 09/01/24 | 200,348 | ||||
240,000 | Roseville CA Fin Auth Spl Tax Rev Ref, Ser A | 5.00% | 09/01/25 | 271,294 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$60,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 3.00% | 09/01/24 | $61,615 | ||||
70,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 3.00% | 09/01/25 | 72,202 | ||||
85,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 4.00% | 09/01/26 | 91,702 | ||||
100,000 | San Diego Cnty CA Regl Arpt Auth Subord Ref, Ser A | 5.00% | 07/01/24 | 109,173 | ||||
140,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref 2nd Ser, Ser A | 4.00% | 05/01/26 | 154,921 | ||||
100,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref Second Ser, Ser A, AMT | 5.00% | 05/01/24 | 101,069 | ||||
200,000 | San Francisco CA City & Cnty Dcnty Dev Spl Tax Dist No Mission Rock Fac and Svcs, Ser A (a) | 4.00% | 09/01/26 | 213,357 | ||||
150,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021 | 4.00% | 09/01/25 | 159,493 | ||||
400,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021 | 4.00% | 09/01/26 | 429,732 | ||||
175,000 | San Luis Obispo CA Cmnty Facs Dist #2019-1 Spl Tax | 4.00% | 09/01/25 | 187,576 | ||||
100,000 | San Luis Obispo CA Cmnty Facs Dist #2019-1 Spl Tax | 4.00% | 09/01/26 | 108,613 | ||||
50,000 | Temecula CA Pub Fing Auth Spl Tax Ref, BAM | 5.00% | 09/01/25 | 56,614 | ||||
125,000 | Tobacco Securitization Auth Sthrn CA Tobacco Stlmt Rev Ref San Diego Co Asset Securitization Corp Class 1, Ser A | 5.00% | 06/01/25 | 140,791 | ||||
9,671,699 | ||||||||
Colorado – 1.7% | ||||||||
500,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp | 5.00% | 12/15/28 | 553,238 | ||||
110,000 | CO St Eductnl & Cultural Facs Auth Rev Ref Chrt Sch Stargate Chrt Sch Proj, Ser A | 5.00% | 12/01/25 | 124,105 | ||||
100,000 | CO St Eductnl & Cultural Facs Auth Rev Ref N Star Acdmy Chrt Sch Proj | 4.00% | 11/01/23 | 104,829 | ||||
215,000 | CO St Hgr Edu Capital Const Lease Pur Prog, COPS | 5.00% | 11/01/25 | 243,318 | ||||
130,000 | CO St Hlth Facs Auth Hosp Rev Ref Commonspirit Hlth, Ser B-1 (Mandatory put 08/01/25) | 5.00% | 08/01/49 | 143,999 | ||||
80,000 | CO St Hlth Facs Auth Rev Ref Parkview Med Cntr, Ser A | 3.25% | 09/01/25 | 85,169 | ||||
275,000 | CO St Hlth Facs Auth Rev Ref Parkview Med Cntr, Ser B | 5.00% | 09/01/28 | 307,380 | ||||
220,000 | CO St Hlth Facs Auth Rev Sch Hlth Sys, Ser A | 5.00% | 01/01/29 | 235,630 | ||||
355,000 | CO St, Ser A, COPS | 5.00% | 12/15/25 | 404,645 | ||||
125,000 | Crystal Vly CO Met Dist #2 Ref, Ser A, AGM | 5.00% | 12/01/23 | 133,844 | ||||
220,000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/25 | 247,774 | ||||
150,000 | Denver City & Cnty CO Arpt Rev Sys, Ser A, AMT | 5.00% | 11/15/24 | 154,843 | ||||
30,000 | E-470 CO Pub Hwy Auth Cap Apprec Sr, Ser B, NATL-RE | (b) | 09/01/22 | 29,852 | ||||
15,000 | E-470 CO Pub Hwy Auth Cap Apprec Sr, Ser B, NATL-RE | (b) | 09/01/23 | 14,716 | ||||
500,000 | Eagle Cnty CO Sch Dist Re50 Jt Garfield & Routt Cnty | 5.00% | 12/01/30 | 582,491 | ||||
10,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/24 | 11,000 | ||||
135,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/34 | 149,916 | ||||
3,526,749 | ||||||||
Connecticut – 3.8% | ||||||||
100,000 | CT St | 5.00% | 08/01/31 | 111,972 | ||||
50,000 | CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare, Ser E | 5.00% | 07/01/25 | 54,461 | ||||
170,000 | CT St Hlth & Eductnl Facs Auth Rev Ref | 5.00% | 07/01/29 | 189,388 | ||||
1,205,000 | CT St Hlth & Eductnl Facs Auth Rev Stamford Hosp, Ser J | 5.00% | 07/01/42 | 1,227,082 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Connecticut (Continued) | ||||||||
$650,000 | CT St Hlth & Eductnl Facs Auth Rev Temps 50 Mclean Issue, Ser B-2 (a) | 2.75% | 01/01/26 | $652,176 | ||||
375,000 | CT St Spl Tax Oblig Rev Ref Transprtn Infra, Ser B | 5.00% | 08/01/27 | 422,083 | ||||
165,000 | CT St Spl Tax Oblig Rev Transprtn Infra, Ser A | 5.00% | 09/01/33 | 180,198 | ||||
155,000 | CT St, Ser E | 5.00% | 09/15/25 | 175,812 | ||||
105,000 | Hamden CT Ref, BAM | 3.00% | 08/15/22 | 106,367 | ||||
250,000 | Hamden CT Ref, BAM | 4.00% | 08/15/23 | 261,598 | ||||
400,000 | Hamden CT Ref, BAM | 4.00% | 08/15/24 | 428,511 | ||||
315,000 | Hamden CT Ref, Ser A, BAM | 5.00% | 08/01/23 | 333,983 | ||||
145,000 | Hamden CT Ref, Ser A, BAM | 5.00% | 08/01/24 | 158,757 | ||||
200,000 | Hamden CT Ref, Ser A, BAM | 5.00% | 08/01/25 | 225,550 | ||||
250,000 | Hamden CT Ref, Ser A, BAM | 5.00% | 08/15/26 | 289,324 | ||||
1,500,000 | Harbor Point CT Infra Impt Dist Spl Oblg Rev Ref Harbor Point Proj Ltd (a) | 5.00% | 04/01/30 | 1,715,727 | ||||
25,000 | Univ of CT CT Ref, Ser A | 5.00% | 03/15/27 | 28,616 | ||||
970,000 | Univ of CT CT, Ser A | 5.00% | 11/01/26 | 1,131,557 | ||||
75,000 | Univ of CT CT, Ser A | 5.00% | 02/15/28 | 82,955 | ||||
25,000 | Univ of CT CT, Ser A | 5.00% | 11/01/35 | 30,077 | ||||
7,806,194 | ||||||||
Florida – 6.6% | ||||||||
110,000 | Alachua Cnty FL Hlth Facs Auth Ccrc Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/24 | 117,183 | ||||
100,000 | Alachua Cnty FL Hlth Facs Auth Ccrc Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/25 | 108,172 | ||||
105,000 | Alachua Cnty FL Hlth Facs Auth Ccrc Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/26 | 114,893 | ||||
150,000 | Alachua Cnty FL Hlth Facs Auth Shands Teaching Hosp & Clinics, Ser A | 5.00% | 12/01/26 | 164,869 | ||||
500,000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, Ser 2021 | 2.38% | 05/01/26 | 493,814 | ||||
250,000 | Berry Bay CDD FL Spl Assmt Rev Assmt Area 1 | 2.63% | 05/01/26 | 249,895 | ||||
375,000 | Epperson N CDD FL Capital Impt Rev Assmnt Area Three, Ser A | 2.45% | 11/01/26 | 371,668 | ||||
550,000 | FL St Brd of Governors FL Intl Univ Dorm Rev Ref, Ser A, BAM | 5.00% | 07/01/27 | 649,293 | ||||
110,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/24 | 115,274 | ||||
330,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/25 | 350,812 | ||||
155,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/26 | 166,885 | ||||
150,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/28 | 164,487 | ||||
105,000 | FL St Dev Fin Corp Sr Living Rev Ref Glenridge on Palmer Ranch Proj | 4.00% | 06/01/24 | 110,001 | ||||
100,000 | FL St Dev Fin Corp Sr Living Rev Ref Glenridge on Palmer Ranch Proj | 4.00% | 06/01/25 | 106,178 | ||||
185,000 | Gulfstream Polo Cmnty Dev Dist FL Spl Assmnt Phase 2 Proj | 3.00% | 11/01/24 | 187,286 | ||||
405,000 | Hills Minneola Cmnty Dev Dist FL Spl Assmnt Rev S Parcel Assmnt Area (a) | 3.00% | 05/01/25 | 408,414 | ||||
450,000 | Hollywood Beach FL Cmnty Dev Dist Rev CDD Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/23 | 478,687 | ||||
575,000 | Hollywood Beach FL Cmnty Dev Dist Rev CDD Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/24 | 629,484 | ||||
210,000 | Jea FL Elec Sys Rev Sub, Ser B | 5.00% | 10/01/22 | 216,210 | ||||
100,000 | Lakeland FL Hosp Sys Rev Lakeland Regl Hlth | 5.00% | 11/15/33 | 110,628 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$230,000 | Lakes of Sarasota CDD FL Impt Rev Phase 1 Proj, Ser A-1 | 2.75% | 05/01/26 | $229,446 | ||||
170,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Ref Country Club E Proj, AGM | 5.00% | 05/01/25 | 187,878 | ||||
720,000 | Ltc Ranch W Rsdl Cmnty Dev Dist Spl Assmnt Rev Assmnt Area One Proj, Ser A | 2.50% | 05/01/26 | 713,672 | ||||
500,000 | Mirada II Cmnty Dev Dist FL Cap Impt Rev | 2.50% | 05/01/26 | 497,792 | ||||
180,000 | N Springs FL Impt Dist Heron Bay Wtr Mgmt Proj, Ser 2021-1, AGM | 2.00% | 05/01/23 | 181,582 | ||||
370,000 | N Springs FL Impt Dist Heron Bay Wtr Mgmt Proj, Ser 2021-1, AGM | 2.00% | 05/01/24 | 373,602 | ||||
380,000 | N Springs FL Impt Dist Heron Bay Wtr Mgmt Proj, Ser 2021-1, AGM | 2.00% | 05/01/25 | 383,953 | ||||
385,000 | N Springs FL Impt Dist Heron Bay Wtr Mgmt Proj, Ser 2021-1, AGM | 2.00% | 05/01/26 | 388,672 | ||||
25,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Presbyterian Retmnt Cmntys | 5.00% | 08/01/31 | 27,258 | ||||
270,000 | Palm Beach Cnty FL Hlth Facs Auth Ref Acts Retmnt Life Cmntys Inc Oblig Grp | 5.00% | 11/15/32 | 311,858 | ||||
230,000 | Parkway Ctr FL CDD Spl Assmnt Rev Ref Assmt Area, Ser 1 | 3.50% | 05/01/22 | 230,906 | ||||
200,000 | Pine Isle Cmnty Dev Dist FL Spl Assmnt 2021 Proj (a) | 2.38% | 12/15/26 | 197,635 | ||||
100,000 | Poinciana FL W CDD Spl Assmnt Ref Sr, Ser 1, AGM | 3.60% | 05/01/26 | 108,283 | ||||
125,000 | Rhodine Road N CDD FL Spl Assmnt | 3.50% | 05/01/24 | 126,876 | ||||
115,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/23 | 119,499 | ||||
145,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/24 | 153,004 | ||||
385,000 | Sarasota Natl FL CDD Spl Assmnt Ref | 3.00% | 05/01/23 | 391,240 | ||||
375,000 | Sarasota Natl FL CDD Spl Assmnt Ref | 3.00% | 05/01/24 | 383,776 | ||||
240,000 | Sarasota Natl FL CDD Spl Assmnt Ref | 3.00% | 05/01/25 | 246,132 | ||||
250,000 | Shingle Creek at Bronson CDD FL Spl Assmnt | 2.50% | 06/15/26 | 248,867 | ||||
375,000 | Silver Palms W CDD FL Spl Assmnt 2022 Proj | 2.60% | 06/15/27 | 372,018 | ||||
350,000 | Six Mile Creek FL CDD Capital Impt Rev Assmnt Area 3 Phase 1 | 2.50% | 05/01/26 | 347,372 | ||||
30,000 | Tampa FL Capital Impt Cigarette Tax Allocation H Lee Moffitt Cancer Ctr Proj, Ser A | 5.00% | 09/01/24 | 32,932 | ||||
525,000 | Timber Creek SW CDD FL Spl Assmnt Area Two Proj | 2.35% | 12/15/26 | 522,597 | ||||
735,000 | Tolomato FL CDD Ref, Ser A, AGM | 3.00% | 05/01/24 | 758,277 | ||||
375,000 | V Dana CDD FL Spl Assmnt CDD Assmnt Area One 2021 Proj | 2.60% | 05/01/26 | 373,497 | ||||
125,000 | Vlg FL CDD #6 Spl Assmnt Rev Ref | 4.00% | 05/01/25 | 133,555 | ||||
250,000 | Westside Haines City CDD Spl Assmnt Assmnt Area One Proj | 2.50% | 05/01/26 | 247,110 | ||||
13,603,422 | ||||||||
Georgia – 1.7% | ||||||||
100,000 | Burke Cnty GA Dev Auth Poll Control Rev Var GA Pwr Co Plant Vogtle Proj Remk (Mandatory put 06/13/24) | 2.15% | 10/01/32 | 102,468 | ||||
155,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 4.00% | 07/01/22 | 156,565 | ||||
175,000 | Gainesville & Hall Cnty GA Hosp Auth Ref NE GA Hlth Sys Inc Proj, Ser A | 5.00% | 02/15/24 | 188,877 | ||||
290,000 | Glynn Brunswick GA Memorial Hosp Auth Ref Antic Ctfs SE GA Hlth | 5.00% | 08/01/23 | 307,163 | ||||
715,000 | Madison Cnty GA Sch Dist Ref Capital Impt Proj, COPS | 4.00% | 05/01/25 | 773,583 | ||||
120,000 | Main Street Nat Gas Inc GA Gas Rev, Ser A | 5.50% | 09/15/23 | 128,515 | ||||
830,000 | Main Street Nat Gas Inc GA Gas Rev, Ser B | 5.00% | 03/15/22 | 834,521 | ||||
240,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/25 | 263,478 | ||||
500,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C | 5.00% | 09/01/26 | 569,819 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Georgia (Continued) | ||||||||
$165,000 | Muni Elec Auth of GA Ref Plant Vogtle Units 3&4 Proj J, Ser A, AGM | 5.00% | 01/01/27 | $192,707 | ||||
3,517,696 | ||||||||
Guam – 0.0% | ||||||||
85,000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev | 5.00% | 07/01/23 | 89,452 | ||||
Hawaii – 1.1% | ||||||||
2,000,000 | HI St Dept of Budget & Fin Spl Purp Rev Ref Hawaiian Elec Co Inc, Ser A, AMT | 3.10% | 05/01/26 | 2,108,701 | ||||
150,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Ref Sr First Bd Resolution, Ser B | 4.00% | 07/01/32 | 162,504 | ||||
2,271,205 | ||||||||
Idaho – 0.1% | ||||||||
185,000 | Boise ID St Univ Revs Ref Gen Proj, Ser A | 4.00% | 04/01/22 | 186,103 | ||||
Illinois – 11.2% | ||||||||
1,000,000 | Boone McHenry & DeKalb Cntys IL Cmnty Unit Sch Dist #100 Ref, Ser B | 4.00% | 01/01/27 | 1,117,129 | ||||
135,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (b) | 12/01/22 | 133,826 | ||||
150,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (b) | 12/01/23 | 145,992 | ||||
175,000 | Chicago IL Brd of Edu Green Bond, Ser E | 5.13% | 12/01/32 | 189,141 | ||||
190,000 | Chicago IL Brd of Edu Ref, Ser A, AMBAC | 5.50% | 12/01/23 | 204,439 | ||||
400,000 | Chicago IL Brd of Edu Ref, Ser C | 5.00% | 12/01/22 | 414,111 | ||||
100,000 | Chicago IL Park Dist Ref Ltd Tax, Ser B | 5.00% | 01/01/23 | 103,822 | ||||
540,000 | Chicago IL Park Dist Ref Ltd Tax, Ser B | 5.00% | 01/01/28 | 576,129 | ||||
125,000 | Chicago IL Ref Proj, Ser A | 5.00% | 01/01/27 | 133,423 | ||||
210,000 | Chicago IL Ref Remk, 2003B | 5.00% | 01/01/26 | 230,086 | ||||
100,000 | Chicago IL Ref Remk, 2003B | 5.13% | 01/01/27 | 110,074 | ||||
110,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/26 | 122,983 | ||||
260,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/35 | 291,245 | ||||
65,000 | Chicago IL Ref, Ser C, CABS | (b) | 01/01/25 | 60,419 | ||||
500,000 | Chicago IL Wstwtr Trans Rev Ref Second Lien Remk, Ser C | 5.00% | 01/01/27 | 552,818 | ||||
100,000 | Chicago IL Wstwtr Trans Rev Second Lien Ref, Ser B | 5.00% | 01/01/24 | 107,342 | ||||
165,000 | Chicago IL Wstwtr Trans Rev Second Lien Ref, Ser B | 5.00% | 01/01/26 | 187,356 | ||||
390,000 | Chicago IL Wtrwks Rev 2nd Lien Proj | 5.00% | 11/01/27 | 427,760 | ||||
150,000 | Chicago IL, Ser A | 5.00% | 01/01/26 | 164,347 | ||||
90,000 | Ford Champaign Etc Cntys IL Cmnty Unit Sch Dist #10 Sch Bldg, Ser A, AGM | 4.00% | 12/01/25 | 98,593 | ||||
205,000 | Glencoe IL, Ser A | 3.00% | 12/15/28 | 217,479 | ||||
115,000 | Hillside IL Tax Incr Rev Ref | 5.00% | 01/01/24 | 118,998 | ||||
250,000 | IL St | 5.00% | 03/01/22 | 250,895 | ||||
395,000 | IL St | 5.00% | 05/01/23 | 414,492 | ||||
125,000 | IL St | 5.00% | 05/01/24 | 135,274 | ||||
150,000 | IL St | 5.00% | 05/01/27 | 161,985 | ||||
195,000 | IL St | 5.00% | 06/01/27 | 221,228 | ||||
470,000 | IL St | 4.00% | 01/01/31 | 508,162 | ||||
195,000 | IL St Fin Auth Hlth Svcs Facs Lease Rev Univ of IL Hlth Svcs Fac Proj | 5.00% | 10/01/24 | 212,887 | ||||
1,750,000 | IL St Fin Auth Rev Ref Ascension Hlth Credit Grp, Ser C | 5.00% | 02/15/27 | 2,048,989 | ||||
85,000 | IL St Ref | 4.00% | 08/01/25 | 86,240 | ||||
80,000 | IL St Sales Tax Rev First Ser, NATL-RE | 6.00% | 06/15/23 | 85,370 | ||||
160,000 | IL St Sales Tax Rev, Ser P | 6.50% | 06/15/22 | 163,583 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$150,000 | IL St, Ser A | 5.25% | 05/01/22 | $151,711 | ||||
100,000 | IL St, Ser A | 4.00% | 01/01/24 | 100,269 | ||||
15,000 | IL St, Ser A | 4.00% | 01/01/25 | 15,040 | ||||
700,000 | IL St, Ser C | 5.00% | 11/01/29 | 804,476 | ||||
280,000 | IL St, Ser D | 5.00% | 11/01/23 | 298,484 | ||||
520,000 | IL St, Ser D | 5.00% | 11/01/24 | 570,749 | ||||
350,000 | Macon Cnty IL Sch Dist #61 Ref, Ser C, AGM | 4.00% | 01/01/26 | 385,129 | ||||
725,000 | Macon Cnty IL Sch Dist #61 Ref, Ser C, AGM | 4.00% | 01/01/30 | 799,423 | ||||
700,000 | Macon Cnty IL Sch Dist #61, AGM | 4.00% | 12/01/25 | 769,033 | ||||
800,000 | Met Pier & Exposition Auth IL Rev Ref McCormick Place Proj, Ser B | 5.00% | 12/15/28 | 813,047 | ||||
150,000 | Met Pier & Exposition Auth IL Rev Ref McCormick Place Proj, Ser B | 4.25% | 06/15/42 | 152,032 | ||||
420,000 | Met Pier & Exposition Auth IL Rev Ref McCormick Place Proj, Ser B, AGM | 4.25% | 06/15/42 | 425,689 | ||||
100,000 | Met Pier & Exposition Auth IL Rev Ref McCormick Place Proj, Ser B, BAM | 5.00% | 06/15/52 | 101,631 | ||||
170,000 | Met Pier & Exposition Auth IL Rev Ref McCormick Place, Ser B, BAM | 4.25% | 06/15/42 | 172,303 | ||||
500,000 | Mount Vernon IL Ref, BAM | 4.00% | 12/15/23 | 526,294 | ||||
1,245,000 | Mount Vernon IL Ref, BAM | 4.00% | 12/15/25 | 1,357,962 | ||||
650,000 | Northern IL Univ Revs Brd of Trustees Aux Facs Sys Rev N IL Univ Ref, BAM | 5.00% | 10/01/25 | 729,508 | ||||
1,045,000 | Peoria IL Ref, Ser C, AGM | 5.00% | 01/01/27 | 1,211,326 | ||||
755,000 | Railsplitter IL Tobacco Stlmt Auth | 5.00% | 06/01/27 | 859,394 | ||||
145,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/26 | 161,231 | ||||
910,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/27 | 1,010,406 | ||||
570,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/31 | 630,887 | ||||
700,000 | Sthrn IL St Univ Ref Sthrn IL Univ Hsg and Aux Facs Sys, Ser A, BAM | 4.00% | 04/01/25 | 755,432 | ||||
365,000 | Univ of IL IL Revs Ref Auxiliary Facs Sys, Ser A | 5.00% | 04/01/22 | 367,768 | ||||
23,165,841 | ||||||||
Indiana – 0.8% | ||||||||
125,000 | IN Bond Bank Rev Hamilton Co Projs, CABS | (b) | 01/15/26 | 117,728 | ||||
675,000 | Indianapolis IN Loc Pub Impt Bond Bank Ref Cityway 1 Proj, Ser B | 5.00% | 02/01/35 | 726,302 | ||||
100,000 | La Porte IN Wtrwks Rev, AGM | 4.00% | 01/01/24 | 104,578 | ||||
105,000 | La Porte IN Wtrwks Rev, AGM | 4.00% | 07/01/24 | 110,850 | ||||
545,000 | Merrillville IN Conservancy Dist | 3.00% | 01/15/23 | 556,914 | ||||
1,616,372 | ||||||||
Iowa – 1.1% | ||||||||
100,000 | Bettendorf IA Ref, Ser D | 5.00% | 06/01/22 | 101,493 | ||||
110,000 | Pefa Inc IA Gas Proj Rev | 5.00% | 09/01/26 | 125,557 | ||||
1,810,000 | Pefa Inc IA Gas Proj Rev (Mandatory put 09/01/26) | 5.00% | 09/01/49 | 2,056,794 | ||||
2,283,844 | ||||||||
Kansas – 0.3% | ||||||||
270,000 | Brown Cnty KS Horton Unif Sch Dist #430, BAM | 4.00% | 09/01/24 | 288,827 | ||||
280,000 | Brown Cnty KS Horton Unif Sch Dist #430, BAM | 4.00% | 09/01/25 | 305,607 | ||||
594,434 | ||||||||
Kentucky – 2.1% | ||||||||
165,000 | Estrn KY Univ Gen Recpts, Ser A | 5.00% | 04/01/28 | 189,328 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Kentucky (Continued) | ||||||||
$240,000 | KY St Econ Dev Fin Auth Hlth Sys Rev Norton Hlthcare Inc, Ser B, NATL-RE | (b) | 10/01/25 | $222,138 | ||||
20,000 | KY St Econ Dev Fin Auth Ref Owensboro Hlth, Ser A | 5.00% | 06/01/25 | 22,246 | ||||
355,000 | KY St Hgr Edu Stdt Loan Corp Sr, Ser A, AMT | 5.00% | 06/01/26 | 399,240 | ||||
255,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser B (Mandatory put 01/01/25) | 4.00% | 01/01/49 | 271,238 | ||||
1,210,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A (Mandatory put 04/01/24) | 4.00% | 04/01/48 | 1,274,879 | ||||
630,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A (Mandatory put 06/01/26) | 4.00% | 12/01/50 | 686,512 | ||||
105,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A-1 (Mandatory put 06/01/25) | 4.00% | 12/01/49 | 113,039 | ||||
140,000 | KY St Univ KY St Univ Proj, COPS, BAM | 5.00% | 11/01/25 | 157,838 | ||||
125,000 | KY St Univ KY St Univ Proj, COPS, BAM | 5.00% | 11/01/26 | 144,510 | ||||
100,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Norton Hlthcare Oblig Grp, Ser A | 5.75% | 10/01/38 | 107,332 | ||||
60,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlthcare Inc, Ser A | 5.00% | 10/01/30 | 69,079 | ||||
210,000 | Paducah KY Elec Plant Brd Rev Ref, Ser A, AGM | 5.00% | 10/01/34 | 243,109 | ||||
450,000 | Univ of Louisville KY Ref, Ser A | 5.00% | 03/01/27 | 510,930 | ||||
4,411,418 | ||||||||
Louisiana – 1.9% | ||||||||
750,000 | E Baton Rouge Parish LA Capital Impts Dist MOVEBR Sales, Ser T | 5.00% | 08/01/25 | 846,636 | ||||
270,000 | LA St Univ & Agric & Mech Clg Auxiliary | 5.00% | 07/01/23 | 284,925 | ||||
20,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/28 | 23,025 | ||||
455,000 | New Orleans LA Aviation Brd, Ser B, AMT | 5.00% | 01/01/31 | 497,586 | ||||
100,000 | New Orleans LA Aviation Brd, Ser B, AMT, AGM | 5.00% | 01/01/32 | 109,330 | ||||
150,000 | New Orleans LA Wtr Rev Wtr Rev | 5.00% | 12/01/26 | 170,434 | ||||
400,000 | New Orleans LA Wtr Rev Wtr Rev | 5.00% | 12/01/28 | 452,409 | ||||
550,000 | Saint John the Baptist Parish LA Rev Var Ref Marathon Oil Corp Proj Remk, Subser 2017B-1 (Mandatory put 07/01/24) | 2.13% | 06/01/37 | 561,406 | ||||
550,000 | Saint John the Baptist Parish LA Rev Var Ref Marathon Oil Corp Proj Remk, Subser 2017B-2 (Mandatory put 07/01/26) | 2.38% | 06/01/37 | 568,330 | ||||
105,000 | Shreveport LA Wtr & Swr Impt | 5.00% | 09/01/22 | 107,522 | ||||
250,000 | Shreveport LA Wtr & Swr Rev Junior Lien, Ser C, BAM | 5.00% | 12/01/24 | 275,957 | ||||
3,897,560 | ||||||||
Maryland – 0.3% | ||||||||
115,000 | Harford Cnty MD Spl Oblg Ref Beechtree Estates Proj | 4.00% | 07/01/23 | 119,996 | ||||
300,000 | Harford Cnty MD Spl Oblg Ref Beechtree Estates Proj | 4.00% | 07/01/24 | 320,545 | ||||
150,000 | Howard Cnty MD Ref Consol Pub Impt, Ser B | 5.00% | 02/15/24 | 162,243 | ||||
100,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Stevenson Univ Proj, Ser A | 5.00% | 06/01/28 | 118,142 | ||||
720,926 | ||||||||
Massachusetts – 0.9% | ||||||||
350,000 | MA St Clg Bldg Auth, Ser A | 5.00% | 05/01/28 | 368,533 | ||||
575,000 | MA St Eductnl Fing Auth Sr, Ser B, AMT | 5.00% | 07/01/24 | 619,735 | ||||
500,000 | MA St Eductnl Fing Auth Sr, Ser B, AMT | 5.00% | 07/01/25 | 551,930 | ||||
285,000 | MA St Eductnl Fing Auth, Ser A, AMT | 5.00% | 01/01/26 | 309,638 | ||||
1,849,836 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Michigan – 3.1% | ||||||||
$70,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/30 | $75,740 | ||||
20,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/31 | 21,635 | ||||
100,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Sr Lien Bond, Ser A | 5.00% | 07/01/25 | 112,507 | ||||
575,000 | Kalamazoo MI Econ Dev Corp Heritage Cmnty of Kalamazoo Revel Creek Proj Temps 60, Ser B2 | 2.63% | 05/15/25 | 575,273 | ||||
210,000 | MI St Fin Auth Rev Multi Modal Mclaren Hlthcare, Ser A | 5.00% | 02/15/26 | 239,478 | ||||
110,000 | MI St Fin Auth Rev Ref Ascension Sr Credit Grp Remk, Ser E-1 (Mandatory put 08/15/24) | 4.00% | 11/15/44 | 117,469 | ||||
330,000 | MI St Fin Auth Rev Ref Beaumont Hlth Credit Grp | 5.00% | 08/01/28 | 360,197 | ||||
55,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 4.00% | 11/15/36 | 59,871 | ||||
350,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog Great Lakes Wtr Auth, Ser D1, AGM | 5.00% | 07/01/28 | 393,023 | ||||
135,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog Great Lakes Wtr Auth, Ser D2, AGM | 5.00% | 07/01/24 | 147,181 | ||||
1,035,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog Great Lakes Wtr Auth, Ser D2, AGM | 5.00% | 07/01/28 | 1,132,542 | ||||
250,000 | MI St Fin Auth Rev Sr Lien Great Lakes Wtr Auth, Ser C-3, AGM | 5.00% | 07/01/27 | 273,875 | ||||
90,000 | MI St Hosp Fin Auth Ref Mclaren Hlthcare, Ser A | 5.00% | 06/01/24 | 91,344 | ||||
425,000 | MI St Hsg Dev Auth Sf Mtge Rev, Ser B | 1.50% | 06/01/22 | 426,087 | ||||
1,500,000 | MI St Strategic Fund Ltd Oblg Rev Var Green Bond Recycled Brd Machine Proj, AMT (Mandatory put 10/01/26) | 4.00% | 10/01/61 | 1,640,614 | ||||
235,000 | Wayne Cnty MI Arpt Auth Rev Detroit Met Wayne Cnty Arpt, Ser C, AMT | 5.00% | 12/01/29 | 256,854 | ||||
270,000 | Wayne Cnty MI Arpt Auth Rev Detroit Met Wayne Cnty Arpt, Ser C, AMT | 5.00% | 12/01/30 | 295,109 | ||||
100,000 | Wayne Cnty MI Arpt Auth Rev Ref Junior Lien, Ser A | 5.00% | 12/01/23 | 107,170 | ||||
90,000 | Wayne Cnty MI Arpt Auth Rev Ref, Ser F, AMT | 5.00% | 12/01/25 | 101,398 | ||||
6,427,367 | ||||||||
Minnesota – 0.1% | ||||||||
200,000 | Duluth MN Econ Dev Auth Rev Ref Benedictine Hlth Sys, Ser A | 3.00% | 07/01/24 | 205,069 | ||||
Mississippi – 0.1% | ||||||||
225,000 | MS St Busn Fin Corp Sol Wst Disp Rev Waste Mgmt Inc Proj Remk, AMT (Mandatory put 06/03/24) | 2.20% | 03/01/27 | 230,744 | ||||
Missouri – 2.0% | ||||||||
375,000 | Bridgeton MO Spl Oblig Rev Ref, Ser A | 4.00% | 12/01/25 | 408,461 | ||||
385,000 | Bridgeton MO Spl Oblig Rev Ref, Ser A | 4.00% | 12/01/26 | 426,444 | ||||
200,000 | Jackson Cnty MO Spl Oblg Rirr Right of Way Proj | 4.00% | 12/01/27 | 220,354 | ||||
140,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Bethesda Hlth Grp Inc Ref | 3.00% | 08/01/23 | 144,426 | ||||
305,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Bethesda Hlth Grp Inc Ref | 4.00% | 08/01/25 | 334,053 | ||||
350,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Saint Lukes Hlth Sys Inc | 4.00% | 11/15/33 | 379,826 | ||||
235,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs | 5.00% | 02/01/23 | 244,184 | ||||
1,000,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/25 | 1,075,138 | ||||
125,000 | Plaza at Noah’s Ark Cmnty Impt Dist MO Tax Incr & Impt Ref | 3.00% | 05/01/22 | 125,248 | ||||
200,000 | Plaza at Noah’s Ark Cmnty Impt Dist MO Tax Incr & Impt Ref | 3.00% | 05/01/24 | 202,343 | ||||
300,000 | Springfield MO Spl Oblg Ref | 4.00% | 04/01/25 | 325,992 | ||||
250,000 | Springfield MO Spl Oblg Ref | 4.00% | 04/01/26 | 276,527 | ||||
4,162,996 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Montana – 0.4% | ||||||||
$240,000 | Forsyth MT Poll Control Rev Ref Puget Sound Energy Proj, Ser A (Mandatory put 03/01/23) | 3.90% | 03/01/31 | $246,377 | ||||
275,000 | Gallatin Cnty MT High Sch Dist #7 Bozeman | 5.00% | 12/01/24 | 303,877 | ||||
150,000 | MT St Fac Fin Auth Hlthcare Facs Rev MT Children’s Home and Hosp Proj, Ser A | 4.00% | 07/01/24 | 157,555 | ||||
155,000 | MT St Fac Fin Auth Hlthcare Facs Rev MT Children’s Home and Hosp Proj, Ser A | 4.00% | 07/01/25 | 165,356 | ||||
873,165 | ||||||||
Nebraska – 0.9% | ||||||||
420,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/22 | 430,239 | ||||
150,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.25% | 09/01/37 | 153,954 | ||||
70,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 | 5.00% | 01/01/24 | 74,904 | ||||
350,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 (Mandatory put 01/01/24) | 5.00% | 03/01/50 | 372,393 | ||||
330,000 | Centrl Plains Energy Proj NE Gas Proj Rev Ref Proj #3, Ser A | 5.00% | 09/01/26 | 377,298 | ||||
330,000 | Centrl Plains Energy Proj NE Gas Sply Rev Ref (Mandatory put 08/01/25) | 4.00% | 12/01/49 | 358,857 | ||||
1,767,645 | ||||||||
Nevada – 1.4% | ||||||||
500,000 | Clark Cnty NV Sch Dist Ref Bldg, Ser A, BAM | 5.00% | 06/15/30 | 587,409 | ||||
750,000 | Director of the St of NV Dept of Busn & Ind Var Brightline W Psngr Rail Proj Remk, Ser A, AMT (Mandatory put 02/01/22) (a) | 0.25% | 01/01/50 | 750,000 | ||||
300,000 | Las Vegas NV Spl Impt Dist #616 Spl Impt Dist No 816 Summerlin Vlg 22 | 2.00% | 06/01/24 | 301,429 | ||||
225,000 | Las Vegas NV Spl Impt Dist #616 Spl Impt Dist No 816 Summerlin Vlg 22 | 2.00% | 06/01/26 | 222,321 | ||||
305,000 | Las Vegas NV Spl Impt Dist #808 & #810 Ref | 5.00% | 06/01/28 | 324,497 | ||||
125,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/25 | 139,644 | ||||
500,000 | Yerington NV USDA Interim Debs | 1.63% | 11/01/23 | 501,580 | ||||
2,826,880 | ||||||||
New Hampshire – 0.6% | ||||||||
220,000 | Natl Fin Auth NH Sr Living Rev Ref Springpoint Sr Living | 4.00% | 01/01/24 | 229,911 | ||||
1,000,000 | NH St Hlth & Ed Facs Auth Hlthcare Sys Rev Covenant Hlth Sys Oblig Grp | 5.00% | 07/01/42 | 1,018,325 | ||||
1,248,236 | ||||||||
New Jersey – 4.9% | ||||||||
120,000 | Jersey City NJ Muni Utilities Auth Wtr Proj Notes | 3.00% | 07/01/22 | 121,178 | ||||
1,100,000 | Middlesex Cnty NJ Ref Civic Square IV Redev, COPS | 5.00% | 10/15/31 | 1,252,831 | ||||
1,455,000 | NJ St Covid-19 Go Emergency Bonds, Ser A | 5.00% | 06/01/25 | 1,624,954 | ||||
255,000 | NJ St Econ Dev Auth Ref, Ser A | 4.13% | 06/15/27 | 276,425 | ||||
665,000 | NJ St Econ Dev Auth Rev Ref Sch Facs Constr, Ser NN | 5.00% | 03/01/29 | 694,818 | ||||
110,000 | NJ St Econ Dev Auth Rev Ref Sch Facs Constr, Ser PP | 3.50% | 06/15/27 | 114,283 | ||||
380,000 | NJ St Econ Dev Auth Rev Ref Sch Facs Constr, Ser PP | 5.00% | 06/15/27 | 413,939 | ||||
265,000 | NJ St Econ Dev Auth Rev Ref Sch Facs Constr, Ser PP, AGM | 5.00% | 06/15/25 | 288,203 | ||||
300,000 | NJ St Econ Dev Auth Rev Ref, Ser BBB | 5.00% | 06/15/22 | 304,736 | ||||
475,000 | NJ St Econ Dev Auth Rev Ref, Ser XX | 4.38% | 06/15/27 | 518,792 | ||||
335,000 | NJ St Econ Dev Auth Rev, Ser WW | 5.00% | 06/15/34 | 372,838 | ||||
655,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev, Ser B, AMT | 5.00% | 12/01/25 | 737,690 | ||||
175,000 | NJ St Hlth Care Facs Fing Auth Rev Ref St Josephs Hlthcare Sys Oblig Grp | 5.00% | 07/01/22 | 178,155 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New Jersey (Continued) | ||||||||
$50,000 | NJ St Transprtn Trust Fund Auth Cap Apprec Transprtn Sys, Ser C, AMBAC | (b) | 12/15/25 | $46,627 | ||||
170,000 | NJ St Transprtn Trust Fund Auth Fed Hwy Reimb Nts, Ser A-1, GARVEE | 5.00% | 06/15/27 | 195,304 | ||||
240,000 | NJ St Transprtn Trust Fund Auth Ref Fed Hwy Reimb Nts, Ser A, GARVEE | 5.00% | 06/15/29 | 274,455 | ||||
455,000 | NJ St Transprtn Trust Fund Auth Sys Remk, Ser C | 5.25% | 06/15/32 | 504,452 | ||||
275,000 | NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA | 5.00% | 06/15/22 | 279,341 | ||||
160,000 | NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA | 5.00% | 06/15/25 | 173,767 | ||||
250,000 | NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA | 4.00% | 06/15/27 | 253,203 | ||||
350,000 | NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA | 5.00% | 06/15/33 | 355,774 | ||||
750,000 | NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA | 5.00% | 06/15/38 | 762,373 | ||||
285,000 | NJ St Transprtn Trust Fund Auth Transprtn Sys, Ser A | 5.00% | 06/15/42 | 289,755 | ||||
60,000 | NJ St Turnpike Auth, Ser E | 5.00% | 01/01/31 | 66,229 | ||||
10,100,122 | ||||||||
New Mexico – 0.1% | ||||||||
260,000 | Albuquerque Bernalillo Cnty NM Wtr Util Auth Jt Wtr & Swr Ref | 5.00% | 07/01/25 | 293,448 | ||||
New York – 4.8% | ||||||||
155,000 | Hudson Yards Infra Corp NY 2nd Indenture Rev Ref, Ser A | 5.00% | 02/15/30 | 180,908 | ||||
175,000 | Hudson Yards Infra Corp NY 2nd Indenture Rev Ref, Ser A | 4.00% | 02/15/36 | 192,410 | ||||
200,000 | Met Transprtn Auth NY Dedicated Tax Fund Ref, Ser A | 5.25% | 11/15/28 | 234,724 | ||||
150,000 | Met Transprtn Auth NY Rev Ref, Ser F | 5.00% | 11/15/26 | 169,154 | ||||
135,000 | Met Transprtn Auth NY Rev Transptrn, Ser A-2 | 5.00% | 11/15/22 | 139,382 | ||||
900,000 | Met Transprtn Auth NY Rev, Ser A-2S, BANS | 4.00% | 02/01/22 | 900,000 | ||||
635,000 | Met Transprtn Auth NY Rev, Ser B-1, BANS | 5.00% | 05/15/22 | 642,518 | ||||
305,000 | Met Transprtn Auth NY Rev, Ser D-1, BANS | 5.00% | 09/01/22 | 312,093 | ||||
250,000 | Nassau Cnty NY, Ser A, AGM | 5.00% | 04/01/25 | 279,481 | ||||
355,000 | New York City NY Transitional Fin Auth Rev Future Tax Secured, Subser B-1 | 4.00% | 08/01/35 | 391,585 | ||||
575,000 | New York City NY Transitional Fin Auth Rev Ref, Ser A-1 | 5.00% | 11/01/25 | 654,349 | ||||
200,000 | New York City NY Transitional Fin Auth Rev Sub Future Tax Secured Fiscal 2017, Subser A-1 | 4.00% | 05/01/31 | 220,968 | ||||
1,000,000 | NY NY Adj Fiscal 2020, Subser B-3 (c) | 0.12% | 10/01/46 | 1,000,000 | ||||
125,000 | NY NY, Ser G | 4.00% | 08/01/29 | 132,504 | ||||
270,000 | NY NY, Ser I, Subser 1-I | 5.00% | 03/01/25 | 291,494 | ||||
250,000 | NY NY, Subser F-1 | 5.00% | 03/01/27 | 261,376 | ||||
255,000 | NY St Dorm Auth St Personal Income Tax Rev, Ser B | 5.00% | 03/15/30 | 256,383 | ||||
270,000 | NY St Transprtn Dev Corp Spl Fac Rev Laguardia Arpt Term B Redev Proj, Ser A-P3, AMT, AGM | 4.00% | 07/01/35 | 283,206 | ||||
500,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref American Airls Inc John F Kennedy Intl Arpt Proj, AMT | 2.25% | 08/01/26 | 503,202 | ||||
200,000 | NY St Transprtn Dev Corp Spl Fac Rev Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser C | 5.00% | 12/01/24 | 219,299 | ||||
125,000 | NY St Transprtn Dev Corp Spl Fac Rev Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser C | 5.00% | 12/01/25 | 139,792 | ||||
180,000 | Onondaga NY Civic Dev Corp Le Moyne Clg Proj | 5.00% | 07/01/26 | 205,001 | ||||
120,000 | Port Auth of NY & NJ NY Consol One Hundred Eighty Fifth Ref, AMT | 5.00% | 09/01/23 | 127,304 | ||||
340,000 | Port Auth of NY & NJ NY Consol One Hundred Eighty Fifth Ref, AMT | 4.00% | 09/01/34 | 362,276 | ||||
370,000 | Port Auth of NY & NJ NY Ref, Ser 207, AMT | 5.00% | 09/15/23 | 392,985 | ||||
855,000 | Port Auth of NY & NJ NY Ref, Ser 223, AMT | 5.00% | 07/15/25 | 959,296 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$455,000 | Port Auth of NY & NJ NY Ref, Ser 226, AMT | 5.00% | 10/15/24 | $499,947 | ||||
9,951,637 | ||||||||
North Carolina – 0.3% | ||||||||
415,000 | NC St Agric & Tech Univ Ref Gen, Ser A | 5.00% | 10/01/40 | 468,294 | ||||
190,000 | NC St Capital Facs Fin Agy Eductnl Facs Rev Ref High Point Univ | 4.00% | 05/01/24 | 201,205 | ||||
669,499 | ||||||||
North Dakota – 1.0% | ||||||||
50,000 | Grand Forks ND Hlthcare Sys Rev Altru Hlth Sys Ref | 5.00% | 12/01/25 | 56,571 | ||||
50,000 | Grand Forks ND Hlthcare Sys Rev Altru Hlth Sys Ref | 5.00% | 12/01/26 | 57,920 | ||||
200,000 | Horace ND Ref | 3.00% | 05/01/24 | 206,975 | ||||
200,000 | Horace ND Ref | 3.00% | 05/01/25 | 208,957 | ||||
1,000,000 | Larimore ND Loan Anticipation Temp Impt Bonds | 0.85% | 05/01/24 | 977,837 | ||||
460,000 | Williston ND Cnty Wide Pub Safety Sales Tax Rev Ref, Ser A | 5.00% | 07/15/22 | 467,753 | ||||
1,976,013 | ||||||||
Ohio – 1.3% | ||||||||
75,000 | NE OH Med Univ Gen Recpts Ref, Ser A | 5.00% | 12/01/24 | 81,735 | ||||
1,000,000 | OH St Air Quality Dev Auth OH Vly Elec Corp Proj Remk, Ser C (Mandatory put 11/04/25) | 1.50% | 02/01/26 | 982,473 | ||||
500,000 | 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 | 508,882 | ||||
1,000,000 | OH St Air Quality Dev Auth Var OH Vly Elec Corp Proj Remk, Ser B (Mandatory put 11/01/24) | 1.38% | 02/01/26 | 986,893 | ||||
130,000 | OH St Univ, Ser A | 5.00% | 12/01/25 | 143,881 | ||||
2,703,864 | ||||||||
Oklahoma – 1.0% | ||||||||
1,145,000 | OK St Dev Fin Auth Gilcrease Expressway W Proj P3 Proj, AMT | 1.63% | 07/06/23 | 1,147,144 | ||||
495,000 | Oklahoma City OK Arpt Trust Junior Lien, AMT | 5.00% | 07/01/22 | 504,134 | ||||
235,000 | Tulsa Cnty OK Indl Auth Eductnl Facs Lease Rev Broken Arrow Pub Schs Proj | 5.00% | 09/01/25 | 249,724 | ||||
200,000 | Tulsa OK Arpts Impt Trust Arpt, Ser A, AMT, AGM | 4.00% | 06/01/25 | 216,604 | ||||
2,117,606 | ||||||||
Oregon – 0.8% | ||||||||
500,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Temps 50 Rose Villa Proj, Ser B2 | 2.75% | 11/15/25 | 500,293 | ||||
100,000 | OR St Facs Auth Rev Ref Legacy Hlth Proj, Ser A | 5.00% | 06/01/22 | 101,503 | ||||
130,000 | Port of Portland OR Arpt Rev, Ser 24B, AMT | 5.00% | 07/01/33 | 149,319 | ||||
1,000,000 | Yamhill Cnty OR Hosp Auth Friendsview Temps 50, Ser B-3 | 1.75% | 11/15/26 | 992,705 | ||||
1,743,820 | ||||||||
Pennsylvania – 6.6% | ||||||||
315,000 | Allegheny Vly PA Jt Sewage Auth Green Bond, BAM | 4.00% | 08/01/25 | 342,914 | ||||
280,000 | Cumberland Cnty PA Muni Auth Ref Messiah Vlg Proj | 4.00% | 07/01/22 | 282,827 | ||||
295,000 | Cumberland Cnty PA Muni Auth Ref Messiah Vlg Proj | 5.00% | 07/01/23 | 308,963 | ||||
660,000 | Dauphin Cnty PA Gen Auth Hlth Sys Rev Ref Pinnacle Hlth Sys Proj, Ser A | 4.00% | 06/01/32 | 723,334 | ||||
265,000 | Deer Creek PA Drain Basin Allegheny Cnty Swr Rev Ref, AGM | 5.00% | 12/01/26 | 306,708 | ||||
90,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/24 | 99,133 | ||||
175,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/25 | 198,069 | ||||
390,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/28 | 436,060 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$170,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/30 | $189,256 | ||||
50,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/24 | 53,682 | ||||
75,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/25 | 82,637 | ||||
75,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/26 | 84,554 | ||||
500,000 | Lancaster PA Ref, BAM | 5.00% | 05/01/25 | 556,612 | ||||
80,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 5.00% | 03/01/24 | 84,819 | ||||
150,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 5.00% | 03/01/25 | 162,431 | ||||
255,000 | Lehigh Cnty PA Gen Purp Auth Revs Ref Lehigh Carbon Cmnty Clg, Ser 2016, BAM | 5.00% | 11/01/26 | 294,422 | ||||
245,000 | Monroeville PA Fin Auth Upmc Rev | 5.00% | 02/15/30 | 250,956 | ||||
100,000 | Montgomery Cnty PA Indl Dev Auth Acts Retmnt Life Cmntys Ref | 5.00% | 11/15/23 | 101,330 | ||||
345,000 | Montgomery Cnty PA Indl Dev Auth Ref Meadowood Sr Living Proj, Ser A | 4.00% | 12/01/22 | 352,839 | ||||
400,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/25 | 447,865 | ||||
210,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/27 | 240,554 | ||||
150,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/30 | 170,310 | ||||
180,000 | PA St Econ Dev Fing Auth Rev Ref Upmc | 4.00% | 03/15/35 | 196,683 | ||||
545,000 | PA St Econ Dev Fing Auth Upmc Rev Ref, Ser A | 5.00% | 11/15/29 | 644,675 | ||||
465,000 | PA St Hsg Fin Agy SF Mtge Rev Non Ace, Ser 123B | 3.45% | 10/01/32 | 485,589 | ||||
540,000 | PA St Turnpike Commn Turnpike Rev Ref Sub | 5.00% | 06/01/27 | 613,346 | ||||
720,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/28 | 824,218 | ||||
80,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/39 | 90,645 | ||||
200,000 | PA St Turnpike Commn Turnpike Rev Subord, Ser A-1 | 5.00% | 12/01/30 | 226,284 | ||||
570,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Ref String Theory Chrt Sch Proj (a) | 5.00% | 06/15/24 | 616,676 | ||||
300,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Ref String Theory Chrt Sch Proj (a) | 5.00% | 06/15/25 | 332,906 | ||||
135,000 | Philadelphia PA Gas Wks Rev Ref | 5.00% | 08/01/29 | 151,310 | ||||
155,000 | Philadelphia PA Gas Wks Rev Ref 1998 Gen Ordinance, 15th Ser | 5.00% | 08/01/22 | 158,437 | ||||
35,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/27 | 41,518 | ||||
25,000 | Philadelphia PA Ref, Ser A | 5.25% | 07/15/28 | 27,049 | ||||
315,000 | Philadelphia PA, Ser B | 4.00% | 08/01/35 | 339,220 | ||||
400,000 | S Wayne Cnty PA Wtr & Swr Auth Wtr & Swr Rev Ref, BAM | 4.00% | 02/15/25 | 431,699 | ||||
350,000 | S Wayne Cnty PA Wtr & Swr Auth Wtr & Swr Rev Ref, BAM | 4.00% | 02/15/26 | 385,011 | ||||
475,000 | Scranton PA Sch Dist Ref, Ser D | 5.00% | 06/01/27 | 532,132 | ||||
1,240,000 | Wilkes-Barre PA Area Sch Dist, Ser B, BAM | 5.00% | 08/01/27 | 1,444,061 | ||||
375,000 | Wyoming PA Area Sch Dist Ref, Ser A, AGM | 4.00% | 11/01/24 | 403,967 | ||||
13,715,701 | ||||||||
Puerto Rico – 0.4% | ||||||||
388,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (b) | 07/01/24 | 369,404 | ||||
328,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (b) | 07/01/27 | 293,148 | ||||
168,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (b) | 07/01/29 | 140,862 | ||||
803,414 | ||||||||
Rhode Island – 0.6% | ||||||||
625,000 | Cranston RI, Ser 1, BANS | 1.00% | 08/23/22 | 626,102 | ||||
225,000 | RI Commerce Corp Rev Ref RI Dept of Transp, Ser A | 5.00% | 06/15/22 | 228,764 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Rhode Island (Continued) | ||||||||
$445,000 | RI St Hlth & Eductnl Bldg Corp Pub Schs Rev Ref Providence Pub Bldg Auth, AGM | 5.00% | 05/15/28 | $496,216 | ||||
1,351,082 | ||||||||
South Carolina – 0.4% | ||||||||
140,000 | N Charleston SC Ltd Oblig | 5.00% | 10/01/22 | 143,988 | ||||
625,000 | SC St Pub Svc Auth Rev Ref, Ser A | 5.00% | 12/01/30 | 716,992 | ||||
860,980 | ||||||||
South Dakota – 0.4% | ||||||||
220,000 | SD St Hlth & Eductnl Facs Auth Ref Sanford Oblig Grp | 5.00% | 11/01/27 | 248,031 | ||||
295,000 | SD St Hlth & Eductnl Facs Auth Ref Sanford Oblig Grp | 5.00% | 11/01/35 | 330,067 | ||||
100,000 | SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty Issue | 3.00% | 09/01/25 | 103,777 | ||||
100,000 | SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty Issue | 3.00% | 09/01/26 | 104,304 | ||||
786,179 | ||||||||
Tennessee – 2.3% | ||||||||
410,000 | Clarksville Tn Wtr Swr & Gas Rev Ref | 5.00% | 02/01/41 | 468,965 | ||||
145,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Trevecca Nazarene Univ Proj, Ser B | 4.00% | 10/01/26 | �� | 155,720 | |||
350,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Vanderbilt Univ Med Ctr, Ser A | 5.00% | 07/01/40 | 400,859 | ||||
150,000 | Tennergy Corp TN Gas Rev, Ser A | 4.00% | 03/01/24 | 158,419 | ||||
300,000 | Tennergy Corp TN Gas Rev, Ser A | 4.00% | 09/01/25 | 326,009 | ||||
500,000 | Tennergy Corp TN Gas Rev, Ser A | 4.00% | 03/01/26 | 547,364 | ||||
310,000 | TN Energy Acq Corp Cmdy Proj Rev The TN Energy Acq Corp Cmdy Proj, Ser A | 5.00% | 11/01/24 | 339,398 | ||||
605,000 | TN St Energy Acq Corp Gas Rev (Mandatory put 11/01/25) | 4.00% | 11/01/49 | 653,832 | ||||
950,000 | TN St Energy Acq Corp Gas Rev Proj, Ser A (Mandatory put 05/01/23) | 4.00% | 05/01/48 | 979,214 | ||||
565,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/26 | 644,146 | ||||
125,000 | TN St Energy Acq Corp Gas Rev, Ser C | 5.00% | 02/01/22 | 125,000 | ||||
4,798,926 | ||||||||
Texas – 13.0% | ||||||||
500,000 | Austin TX Arpt Sys Rev, AMT | 5.00% | 11/15/33 | 544,994 | ||||
125,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fndtn Proj | 5.00% | 07/15/23 | 131,078 | ||||
505,000 | Bexar Cnty TX Rev Ref Tax Exempt Venue Proj | 4.00% | 08/15/35 | 566,989 | ||||
315,000 | Brazoria Cnty TX Muni Util Dist #55, BAM | 4.00% | 09/01/24 | 335,556 | ||||
320,000 | Brazoria Cnty TX Muni Util Dist #55, BAM | 4.00% | 09/01/25 | 347,277 | ||||
240,000 | Brazoria Cnty TX Ref | 5.00% | 03/01/27 | 275,251 | ||||
295,000 | Celina TX Spl Assmt Rev Ref The Lakes at Mustang Ranch Pub Impt Dt Phase #1 Proj, BAM | 4.00% | 09/01/24 | 310,255 | ||||
85,000 | Centrl TX Regl Mobility Auth Rev Ref | 5.00% | 01/01/27 | 96,172 | ||||
150,000 | Centrl TX Regl Mobility Auth Rev Sr Lien, Ser A | 5.00% | 01/01/25 | 165,618 | ||||
25,000 | Centrl TX Regl Mobility Auth Rev Sr Lien, Ser A | 5.00% | 01/01/29 | 28,153 | ||||
360,000 | Cibolo TX Util Sys Rev Ref | 4.00% | 08/01/23 | 376,905 | ||||
35,000 | Clifton TX Hgr Edu Fin Corp Edu Rev Idea Pub Schs, Ser B | 5.00% | 08/15/24 | 38,275 | ||||
200,000 | Club Muni Mgmt Dist #1 TX Spl Assmnt Rev Impt Area #2 Proj (a) | 2.50% | 09/01/26 | 197,012 | ||||
207,000 | Crandall TX Spl Assmnt Rev Cartwright Ranch Pub Impt Dt Impt Area #1 Proj (a) | 3.38% | 09/15/26 | 206,162 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$1,000,000 | Dallas TX Hotel Occupancy Tax Rev Ref | 4.00% | 08/15/30 | $1,096,413 | ||||
600,000 | Dallas TX Ref | 5.00% | 02/15/27 | 646,818 | ||||
325,000 | Denton Cnty TX Fresh Wtr Sply Dist #10 Ref, AGM | 2.00% | 09/01/22 | 327,458 | ||||
330,000 | El Paso TX Ctfs Oblig | 5.00% | 08/15/28 | 362,183 | ||||
200,000 | Fort Bend Cnty TX Muni Util Dist #128, AGM | 3.00% | 09/01/23 | 205,923 | ||||
265,000 | Fort Bend Cnty TX Muni Util Dist #58, AGM | 4.00% | 04/01/25 | 284,791 | ||||
585,000 | Fort Bend TX Muni Util Dist #169 Contract Rev Road Facs, Ser B, BAM | 4.00% | 12/01/25 | 639,938 | ||||
585,000 | Fort Bend TX Muni Util Dist #169 Contract Rev Road Facs, Ser B, BAM | 4.00% | 12/01/26 | 650,561 | ||||
465,000 | Galveston Cnty TX Muni Util Dist #54 Ref | 2.00% | 12/01/25 | 451,910 | ||||
560,000 | Galveston Cnty TX Muni Util Dist #54 Ref | 2.00% | 12/01/27 | 531,138 | ||||
505,000 | Goliad Cnty TX Indep Sch Dist Ref | 4.00% | 08/15/26 | 551,091 | ||||
105,000 | Guadalupe-Blanco River Auth TX Ref Westn Canyon Regl Wtr Sply Proj, Ser A | 5.00% | 04/15/33 | 110,333 | ||||
380,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Med Facs Rev Ref Baylor Clg of Med | 5.00% | 11/15/23 | 406,334 | ||||
100,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Rev Var Memorial Hermann Hlth Sys, Ser B-1 (Mandatory put 12/01/22) | 5.00% | 07/01/49 | 103,461 | ||||
1,275,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 1,448,899 | ||||
200,000 | Houston TX Hgr Edu Fin Corp Edu Rev Ref Harmony Pub Schs, Ser A | 5.00% | 02/15/22 | 200,336 | ||||
225,000 | Imperial Redev Dist TX, BAM | 4.50% | 05/01/23 | 234,830 | ||||
225,000 | Imperial Redev Dist TX, BAM | 4.50% | 05/01/25 | 245,493 | ||||
405,000 | Lazy Nine TX Muni Util Dist #1B, Ser A, AGM | 4.00% | 03/01/25 | 436,229 | ||||
305,000 | Liberty Hill TX Indep Sch Dist Ref | 5.00% | 08/01/28 | 353,634 | ||||
405,000 | Love Field TX Arpt Modernization Corp Gen Arpt Rev, AMT | 5.00% | 11/01/31 | 463,393 | ||||
250,000 | Love Field TX Arpt Modernization Corp Spl Facs Rev Southwest Airls Co Proj | 5.00% | 11/01/22 | 257,575 | ||||
435,000 | Lower CO River TX Auth Trans Contract Rev Ref | 5.00% | 05/15/23 | 458,674 | ||||
460,000 | Lower CO River TX Auth Trans Contract Rev Ref Lcra Trans Srvcs Corp Proj | 5.00% | 05/15/29 | 499,711 | ||||
500,000 | Matagorda Cnty TX Nav Dist #1 Var Rev Cent Pwr & Lt Ref Remk, AMT (Mandatory put 09/01/23) | 0.90% | 05/01/30 | 497,397 | ||||
275,000 | Mclendon Chisholm TX Spl Assmnt Rev Ref Sonoma Pub Impt Dt Phase 1 Proj, BAM | 4.00% | 09/15/24 | 289,322 | ||||
200,000 | Mesquite TX Indep Sch Dist Ref, Ser A | 5.00% | 08/15/27 | 232,607 | ||||
440,000 | Montgomery Cnty TX Muni Util Dist #105, BAM | 4.63% | 09/01/25 | 488,185 | ||||
450,000 | Montgomery Cnty TX Muni Util Dist #105, BAM | 4.63% | 09/01/26 | 509,643 | ||||
400,000 | N Parkway Muni Mgmt Dist #1 TX Contract Rev Legacy Hills Pub Impt Dt Phase #1A-1B Impts (a) | 3.00% | 09/15/26 | 404,200 | ||||
500,000 | N Parkway Muni Mgmt Dist #1 TX Spl Assmnt Rev Major Impts Proj (a) | 3.63% | 09/15/26 | 515,411 | ||||
410,000 | N TX Tollway Auth Rev Cap Apprec Ref Sys 1st Tier, Ser I, AGC | 6.20% | 01/01/42 | 469,442 | ||||
140,000 | N TX Tollway Auth Rev Ref 1st Tier, Ser A | 5.00% | 01/01/36 | 162,427 | ||||
45,000 | N TX Tollway Auth Rev Ref 2nd Tier, Ser B | 5.00% | 01/01/31 | 50,804 | ||||
635,000 | New Hope Cultural Edu Facs Fin Corp TX Edu Rev Ref Jubilee Acad Ctr (a) | 4.00% | 08/15/25 | 671,899 | ||||
80,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Wesleyan Homes Inc Proj Fin Corp | 3.00% | 01/01/24 | 79,454 | ||||
700,000 | NW Harris Cnty TX Muni Util Dist #5 Ref, BAM | 4.00% | 05/01/24 | 742,942 | ||||
1,350,000 | NW Harris Cnty TX Muni Util Dist #5 Ref, BAM | 4.00% | 05/01/25 | 1,461,206 | ||||
105,000 | Oak Point TX Spl Assmnt Rev Wildridge Pub Impt Dist #1 Impt Area #2 Proj Accd Inv (a) | 3.50% | 09/01/23 | 106,625 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$330,000 | Richardson TX Ref | 5.00% | 02/15/25 | $368,135 | ||||
1,180,000 | SA Energy Acq Pub Fac Corp TX Gas Sply Rev Gas Sply Rev | 5.50% | 08/01/25 | 1,338,720 | ||||
700,000 | TX St Muni Gas Acq & Sply Corp III Gas Sply Rev Ref | 5.00% | 12/15/24 | 761,557 | ||||
345,000 | TX St Transprtn Commn Central TX Turnpike Sys Rev Ref, Ser B | 5.00% | 08/15/37 | 373,943 | ||||
1,195,000 | TX St Wtr Dev Brd Rev Master Trust | 5.00% | 10/15/25 | 1,359,600 | ||||
200,000 | TX St Wtr Dev Brd St Wtr Implementation Fund, Ser A | 5.00% | 04/15/27 | 228,017 | ||||
80,000 | Univ of Houston TX Univ Revs Ref, Ser A | 5.00% | 02/15/22 | 80,138 | ||||
275,000 | Univ of TX TX Permanent Univ Fnd Ref, Ser B | 5.00% | 07/01/24 | 300,986 | ||||
385,000 | Wilbarger Creek TX Muni Util Dist #2, AGM | 4.00% | 09/01/26 | 427,785 | ||||
300,000 | Williamson Cnty TX Muni Util Dist #12, BAM | 4.50% | 08/15/25 | 331,000 | ||||
26,838,268 | ||||||||
Utah – 0.1% | ||||||||
135,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Spectrum Acdmy Proj | 4.00% | 04/15/24 | 142,247 | ||||
Virginia – 0.2% | ||||||||
125,000 | Prince George Cnty VA Ref | 5.00% | 08/01/22 | 127,854 | ||||
125,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/25 | 138,052 | ||||
125,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/26 | 140,910 | ||||
406,816 | ||||||||
Washington – 0.6% | ||||||||
315,000 | Adams Cnty WA Jt Consol Sch Dist #147 & 163 & 55 Ref Othello | 5.00% | 12/01/27 | 349,287 | ||||
150,000 | Seattle WA Wtr Sys Rev Ref & Impt | 5.00% | 05/01/28 | 167,338 | ||||
105,000 | Tobacco Stlmt Auth WA Tobacco Stlmt Rev Ref | 5.00% | 06/01/23 | 110,723 | ||||
195,000 | WA St Hlthcare Facs Auth Seattle Cancer Care Alliance (a) | 5.00% | 12/01/24 | 215,246 | ||||
300,000 | WA St Hlthcare Facs Auth Seattle Cancer Care Alliance (a) | 5.00% | 12/01/26 | 348,886 | ||||
1,191,480 | ||||||||
West Virginia – 0.3% | ||||||||
500,000 | WV St Econ Dev Auth Sol Wst Disp Facs Var Sr Arch Res Proj, AMT (Mandatory put 07/01/25) | 5.00% | 07/01/45 | 533,745 | ||||
Wisconsin – 1.8% | ||||||||
100,000 | Pub Fin Auth WI Edu Rev Coral Acdmy of Science Las Vegas, Ser A | 4.00% | 07/01/26 | 106,971 | ||||
185,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/25 | 203,234 | ||||
165,000 | Pub Fin Auth WI Hosp Rev Ref Renown Regl Med Ctr Proj Ref, Ser A | 5.00% | 06/01/23 | 174,099 | ||||
285,000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt Homes, Ser A | 4.00% | 10/01/25 | 312,549 | ||||
300,000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt Homes, Ser A | 4.00% | 10/01/26 | 333,943 | ||||
425,000 | Pub Fin Auth WI Rev Roseman Univ of Hlth Sciences Proj (a) | 3.00% | 04/01/25 | 431,715 | ||||
810,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Ascension Hlth Credit Grp, Ser A | 5.00% | 11/15/36 | 924,029 | ||||
85,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Froedtert Hlth Inc Oblg, Ser A | 4.00% | 04/01/39 | 92,994 | ||||
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 | 546,128 | ||||
130,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Oakwood Lutheran Sr Ministries | 4.00% | 01/01/23 | 132,722 | ||||
160,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Oakwood Lutheran Sr Ministries | 4.00% | 01/01/24 | 166,345 | ||||
155,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Prohealth Care Oblig Grp | 5.00% | 08/15/30 | 169,626 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Wisconsin (Continued) | ||||||||
$155,000 | WI St Hlth & Eductnl Facs Auth Rev Three Pillars Sr Living Cmntys, Ser A | 4.00% | 08/15/24 | $165,487 | ||||
3,759,842 | ||||||||
Wyoming – 0.1% | ||||||||
200,000 | Laramie Cnty WY Hosp Rev Ref Cheyenne Regl Med Ctr Proj | 4.00% | 05/01/26 | 220,794 |
Total Investments – 96.0% | 198,738,936 | ||
(Cost $200,460,561) | |||
Net Other Assets and Liabilities – 4.0% | 8,205,845 | ||
Net Assets – 100.0% | $206,944,781 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury Long Bonds | Short | 5 | Mar 2022 | $ (778,125) | $(2,661) | |||||
Ultra 10-Year U.S. Treasury Notes | Short | 46 | Mar 2022 | (6,570,094) | 35,485 | |||||
$(7,348,219) | $32,824 |
(a) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At January 31, 2022, securities noted as such amounted to $9,456,313 or 4.6% of net assets. |
(b) | Zero coupon bond. |
(c) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
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 |
NATL-RE | National Public Finance Guarantee Corp. |
ASSETS TABLE | ||||
Total Value at 1/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 198,738,936 | $ — | $ 198,738,936 | $ — |
Futures Contracts** | 35,485 | 35,485 | — | — |
Total | $ 198,774,421 | $ 35,485 | $ 198,738,936 | $— |
LIABILITIES TABLE | ||||
Total Value at 1/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts** | $ (2,661) | $ (2,661) | $ — | $ — |
* | See Portfolio of Investments for state and territory 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 Statements of Assets and Liabilities. |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 100.4% | ||||||||
Alabama – 3.9% | ||||||||
$50,000 | Albertville AL Warrants, Ser A, BAM | 3.50% | 06/01/35 | $50,513 | ||||
35,000 | Albertville AL Warrants, Ser A, BAM | 3.75% | 06/01/41 | 35,388 | ||||
300,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev, Ser A | 5.00% | 12/01/23 | 320,264 | ||||
750,000 | Black Belt Energy Gas Dist AL Gas Proj Rev Gas Proj Rev Bonds Proj No.7, Ser C-1 | 4.00% | 12/01/22 | 768,843 | ||||
585,000 | Black Belt Energy Gas Dist AL Gas Sply Rev, Ser A (Mandatory put 07/01/22) | 4.00% | 08/01/47 | 591,014 | ||||
2,750,000 | Hlthcare Auth for Baptist Hlth AL Var Ref, Ser B (a) | 0.22% | 11/01/42 | 2,750,000 | ||||
1,155,000 | Lower AL Gas Dist Gas Proj Rev Gas Proj Rev Bonds Proj 2 (Mandatory put 12/01/25) | 4.00% | 12/01/50 | 1,251,962 | ||||
290,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A | 4.00% | 06/01/22 | 293,178 | ||||
350,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A | 4.00% | 06/01/23 | 363,539 | ||||
270,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A (Mandatory put 06/01/24) | 4.00% | 06/01/49 | 285,283 | ||||
6,709,984 | ||||||||
Alaska – 0.2% | ||||||||
350,000 | Anchorage AK Ref, Ser B | 5.00% | 09/01/22 | 359,114 | ||||
Arizona – 2.5% | ||||||||
600,000 | AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan Fd Social Bonds Equitable Sch Revolving Fund, Ser A | 4.00% | 11/01/22 | 614,943 | ||||
1,000,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 05/01/23 | 1,050,837 | ||||
180,000 | Glendale AZ Transprtn Excise Tax Rev Ref, AGM | 5.00% | 07/01/23 | 190,605 | ||||
280,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Sch Proj | 5.00% | 07/01/22 | 284,871 | ||||
300,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Sch Proj | 5.00% | 07/01/23 | 316,278 | ||||
565,000 | Maricopa Cnty AZ Poll Controlcorp Poll Control Rev Var Ref Pub Svc Co of NM Palo Verde Proj, Ser A (Mandatory put 06/01/22) | 1.05% | 01/01/38 | 565,210 | ||||
100,000 | Nthrn AZ Univ Ref Sys, BAM | 5.00% | 06/01/23 | 105,514 | ||||
500,000 | Pima Cnty AZ Indl Dev Auth Edu Rev Fac Amern Leadership Acdmy Proj (b) | 5.00% | 06/15/47 | 508,249 | ||||
245,000 | Salt Verde AZ Finl Corp Sr Gas Rev Sr | 5.25% | 12/01/23 | 262,238 | ||||
255,000 | Univ Med Ctr Corp AZ Hosp Rev | 5.50% | 07/01/26 | 271,701 | ||||
165,000 | Yavapai Cnty AZ Indl Dev Auth Hosp Fac Ref Yavapai Regl Med Ctr | 5.00% | 08/01/22 | 168,675 | ||||
4,339,121 | ||||||||
Arkansas – 0.1% | ||||||||
260,000 | Sheridan AR Sch Dist #37 Constr Bonds (c) | 3.38% | 02/01/43 | 260,000 | ||||
California – 4.9% | ||||||||
90,000 | Bay Area CA Toll Auth Toll Bridge Rev San Francisco Bay Area, Ser F-1 | 5.00% | 04/01/24 | 90,691 | ||||
100,000 | Bay Area CA Toll Auth Toll Bridge Rev San Francisco Bay Area, Ser F-1 | 5.00% | 04/01/31 | 100,768 | ||||
1,800,000 | CA St Infra & Econ Dev Bank Rev Var Brightline W Psngrr Rail Proj Remk, Ser A, AMT (Mandatory put 02/01/22) (b) | 0.20% | 01/01/50 | 1,800,000 | ||||
625,000 | CA St Muni Fin Auth Sol Wst Disp Rev Var Rep Svcs Inc Proj Remk, Ser B, AMT (Mandatory put 07/15/22) | 0.38% | 07/01/51 | 624,610 | ||||
1,040,000 | CA St Pub Wks Brd Lease Rev Ref Various Capital Proj, Ser G | 5.00% | 11/01/37 | 1,074,595 | ||||
150,000 | CA St Pub Wks Brd Lease Rev Various Capital Proj, Ser A | 5.00% | 04/01/25 | 151,140 | ||||
200,000 | CA St Pub Wks Brd Lease Rev Various Capital Proj, Ser A | 5.00% | 04/01/37 | 201,520 | ||||
180,000 | Cathedral City CA Redev Agy Successor Agy Tax Allocation Rev Ref Sub Hsg Merged Redev Proj Area, Ser C | 4.00% | 08/01/22 | 182,655 | ||||
85,000 | Chaffey CA Jt Union High Sch Dist, Ser F, CIBS | 4.00% | 02/01/22 | 85,000 | ||||
50,000 | Coalinga CA Pub Fing Auth Ref Wtr & Wstwtr Refinancing Projs | 5.00% | 04/01/35 | 50,376 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$100,000 | Desert Hot Springs CA Pub Fing Auth Lease Rev, Ser A | 3.00% | 03/01/22 | $100,204 | ||||
195,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref Enhanced Asset Bkd, Ser A | 5.00% | 06/01/22 | 197,944 | ||||
300,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Ser A-1 | 5.00% | 06/01/22 | 304,529 | ||||
75,000 | Irvine Ranch CA Wtr Dist | 5.00% | 02/01/22 | 75,000 | ||||
335,000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.25% | 11/15/23 | 359,631 | ||||
160,000 | Los Angeles CA Muni Impt Corp Lease Rev Ref Real Ppty, Ser C | 5.00% | 03/01/24 | 160,611 | ||||
525,000 | Los Angeles Cnty CA Pub Wks Fing Auth Lease Rev Multiple Capital Projs II | 5.00% | 08/01/26 | 536,881 | ||||
535,000 | Los Angeles Cnty CA Pub Wks Fing Auth Lease Rev Multiple Capital Projs II | 5.00% | 08/01/27 | 547,107 | ||||
250,000 | Los Angeles Cnty CA Pub Wks Fing Auth Lease Rev Multiple Capital Projs II | 5.00% | 08/01/42 | 255,658 | ||||
100,000 | Montebello CA Pub Fing Auth Rev Ref Lease, Ser B, AGM | 5.00% | 11/01/22 | 103,089 | ||||
250,000 | Peralta CA Cmnty Clg Dist, Ser A | 5.00% | 08/01/22 | 255,442 | ||||
420,000 | Port of Oakland CA Ref Sr Lien, Ser P, AMT | 5.00% | 05/01/26 | 424,721 | ||||
205,000 | San Diego CA Pub Facs Fing Auth Lease Rev Capital Impt Projs, Ser A | 4.50% | 04/15/42 | 206,741 | ||||
100,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref Spl Facs Lease SFO Fuel Co LLC, Ser A, AMT | 5.00% | 01/01/23 | 103,897 | ||||
250,000 | Sthrn CA Pub Pwr Auth Nat Gas Proj Rev Proj No 1, Ser A | 5.25% | 11/01/22 | 258,551 | ||||
70,000 | Tahoe Truckee CA Unif Sch Dist Ref Sch Facs Impt Dist #2, Ser B | 4.00% | 08/01/22 | 71,255 | ||||
65,000 | Univ of CA CA Revs Prerefunded Ltd Proj, Ser G | 5.00% | 05/15/27 | 65,855 | ||||
8,388,471 | ||||||||
Colorado – 2.2% | ||||||||
50,000 | CO St Brd of Governors Univ Enterprise Sys Rev, Ser F | 2.00% | 03/01/22 | 50,070 | ||||
105,000 | CO St Hgr Edu Capital Const Lease Pur Prog Ref, Ser A, COPS | 5.00% | 11/01/22 | 108,517 | ||||
185,000 | CO St Hlth Facs Auth Hosp Rev Ref Commonspirit Hlth, Ser B-1 (Mandatory put 08/01/25) | 5.00% | 08/01/49 | 204,922 | ||||
125,000 | CO St Hlth Facs Auth Rev Catholic Hlth Initiatives, Ser A | 5.25% | 01/01/45 | 130,167 | ||||
155,000 | Denver City & Cnty CO Arpt Rev Sys, Ser A, AMT | 5.00% | 11/15/22 | 160,429 | ||||
275,000 | Denver City & Cnty CO Arpt Rev Sys, Ser B | 5.00% | 11/15/32 | 284,512 | ||||
2,000,000 | Denver CO Convention Ctr Hotel Auth Rev Ref Sr | 5.00% | 12/01/23 | 2,130,578 | ||||
275,000 | Rendezvous CO Rsdl Met Dist Ref, AGM | 4.00% | 12/01/22 | 282,141 | ||||
70,000 | Univ of CO CO Enterprise Rev Ref, Ser A-1 | 5.00% | 06/01/25 | 71,069 | ||||
125,000 | Univ of CO CO Enterprise Rev Unrefunded Ref, Ser B | 5.00% | 06/01/22 | 126,912 | ||||
170,000 | Woodmen Road CO Met Dist Ref, BAM | 4.00% | 12/01/22 | 174,099 | ||||
3,723,416 | ||||||||
Connecticut – 1.5% | ||||||||
700,000 | CT St Hgr Edu Supplement Loan Auth Rev Ref St Supported Chesla Loan, Ser A, AMT | 5.00% | 11/15/22 | 722,937 | ||||
100,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Fairfield Univ, Ser S | 5.00% | 07/01/23 | 105,673 | ||||
100,000 | CT St Hlth & Eductnl Facs Auth Rev Stamford Hosp, Ser J | 4.25% | 07/01/31 | 101,523 | ||||
225,000 | CT St Ref, Ser B | 5.00% | 04/15/23 | 236,501 | ||||
250,000 | CT St, Ser B | 5.00% | 04/15/25 | 252,346 | ||||
30,000 | Hamden CT, BAM | 5.00% | 08/15/23 | 31,848 | ||||
500,000 | Stratford CT Ref | 5.00% | 08/01/22 | 510,884 | ||||
265,000 | Univ of CT CT Ref, Ser A | 5.00% | 11/01/22 | 273,795 | ||||
100,000 | Univ of CT CT, Ser A | 5.00% | 01/15/23 | 104,141 | ||||
280,000 | Univ of CT CT, Ser A | 5.00% | 02/15/29 | 300,789 | ||||
2,640,437 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Delaware – 2.0% | ||||||||
$2,015,000 | DE St Econ Dev Auth Rev Newark Chtr Sch | 4.63% | 09/01/32 | $2,021,834 | ||||
1,350,000 | DE St Econ Dev Auth Rev Newark Chtr Sch | 5.00% | 09/01/42 | 1,354,986 | ||||
3,376,820 | ||||||||
Florida – 4.6% | ||||||||
85,000 | Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/22 | 86,574 | ||||
85,000 | Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/23 | 88,779 | ||||
205,000 | Broward Cnty FL Sch Dist, TANS | 2.00% | 06/30/22 | 206,291 | ||||
1,000,000 | FL St Hsg Fin Corp Mf Mtge Rev Adj Parrish Oaks, Ser A (Mandatory put 02/01/22) | 1.25% | 02/01/23 | 1,000,000 | ||||
125,000 | Fort Pierce FL Redev Agy Redev Rev Ref, BAM | 4.00% | 05/01/22 | 126,050 | ||||
100,000 | Gtr Orlando FL Aviation Auth Arpt Facs Rev Ref Priority Sub Arpt Facs, AMT | 5.00% | 10/01/23 | 106,650 | ||||
445,000 | Hollywood Beach FL Cmnty Dev Dist Rev CDD Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/23 | 473,368 | ||||
175,000 | Hollywood FL Cmnty Redev Agy Redev Rev Ref | 5.00% | 03/01/23 | 182,459 | ||||
100,000 | Jacksonville FL Spl Rev Ref, Ser C | 5.00% | 10/01/24 | 102,943 | ||||
220,000 | Jea FL Elec Sys Rev Ser Three, Ser A | 5.00% | 10/01/22 | 226,506 | ||||
215,000 | Jea FL Elec Sys Rev Sub, Ser A | 5.00% | 10/01/22 | 221,358 | ||||
425,000 | Jea FL Elec Sys Rev Sub, Ser B | 5.00% | 10/01/22 | 437,568 | ||||
60,000 | Jea FL Elec Sys Rev Sub, Ser D | 5.00% | 10/01/22 | 61,766 | ||||
60,000 | Jea FL Elec Sys Rev Unrefunded Sub, Ser B | 5.00% | 10/01/23 | 61,766 | ||||
295,000 | Jea FL Elec Sys Rev Unrefunded, Ser 3-A | 5.00% | 10/01/23 | 303,683 | ||||
175,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Ref Country Club E Proj, AGM | 5.00% | 05/01/25 | 193,404 | ||||
500,000 | Miami-Dade Cnty FL Aviation Rev Ref, Ser A, AMT | 5.00% | 10/01/28 | 514,547 | ||||
100,000 | Miami-Dade Cnty FL Eductnl Facs Auth Rev Univ of Miami, Ser A | 4.00% | 04/01/23 | 103,557 | ||||
95,000 | Miami-Dade Cnty FL Sch Brd, Ser B, COPS | 5.00% | 02/01/30 | 98,959 | ||||
975,000 | Miami-Dade Cnty FL Seaport Rev, Ser B, AMT | 5.00% | 10/01/22 | 1,003,367 | ||||
105,000 | Miami-Dade Cnty FL Seaport Rev, Ser B, AMT | 4.00% | 10/01/37 | 107,325 | ||||
410,000 | Miami-Dade Cnty FL Spl Oblig Ref Sub, Ser A | 5.00% | 10/01/27 | 422,208 | ||||
105,000 | Miami-Dade Cnty FL Spl Oblig Ref Sub, Ser B, AGM | 4.00% | 10/01/37 | 107,431 | ||||
695,000 | Orlando & Orange Cnty FL Expressway Auth Ref, Ser B, AGM | 5.00% | 07/01/22 | 708,265 | ||||
145,000 | Sarasota Cnty FL Util Sys Rev | 5.00% | 10/01/38 | 154,891 | ||||
700,000 | Tolomato FL CDD Ref, Ser A, AGM | 3.00% | 05/01/23 | 715,127 | ||||
7,814,842 | ||||||||
Georgia – 0.2% | ||||||||
105,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Subser C (Mandatory put 12/01/23) | 4.00% | 08/01/48 | 110,137 | ||||
160,000 | Muni Elec Auth of GA Ref Proj 1, Subser A | 5.00% | 01/01/23 | 166,221 | ||||
276,358 | ||||||||
Illinois – 8.6% | ||||||||
130,000 | Chicago Heights IL Green Bond, BAM | 4.00% | 12/01/22 | 133,387 | ||||
145,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (d) | 12/01/22 | 143,739 | ||||
150,000 | Chicago IL Brd of Edu Cap Apprec Sch, Ser A, BHAC-CR FGIC | (d) | 12/01/22 | 148,941 | ||||
80,000 | Chicago IL O’Hare Intl Arpt Rev Ref Gen Sr Lien, Ser C | 5.00% | 01/01/23 | 83,035 | ||||
165,000 | Chicago IL Wtr Rev Second Lien | 5.00% | 11/01/23 | 169,901 | ||||
150,000 | Cook Cnty IL Ref, Ser C | 5.00% | 11/15/23 | 154,598 | ||||
200,000 | IL St | 5.00% | 03/01/22 | 200,716 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$400,000 | IL St | 5.13% | 05/01/22 | $404,440 | ||||
220,000 | IL St | 5.00% | 06/01/22 | 223,155 | ||||
745,000 | IL St | 5.00% | 07/01/22 | 758,261 | ||||
460,000 | IL St | 5.00% | 05/01/23 | 482,699 | ||||
210,000 | IL St | 4.00% | 03/01/26 | 210,554 | ||||
180,000 | IL St Fin Auth Hlth Svcs Facs Lease Rev Univ of IL Hlth Svcs Fac Proj | 5.00% | 10/01/23 | 191,136 | ||||
150,000 | IL St Fin Auth Rev Ref Osf Hlthcare Sys, Ser A | 5.00% | 11/15/22 | 155,096 | ||||
100,000 | IL St Fin Auth Rev Ref, Ser A | 5.00% | 05/15/22 | 101,294 | ||||
2,000,000 | IL St Fin Auth Rev Var Univ Chicago Med Ctr, Ser A (a) | 0.11% | 08/01/44 | 2,000,000 | ||||
870,000 | IL St Ref | 5.00% | 02/01/22 | 870,000 | ||||
50,000 | IL St Ref | 4.00% | 08/01/25 | 50,730 | ||||
440,000 | IL St, BAM | 5.50% | 07/01/24 | 469,336 | ||||
500,000 | IL St, Ser A | 5.00% | 03/01/22 | 501,791 | ||||
200,000 | IL St, Ser A | 5.00% | 04/01/22 | 201,443 | ||||
200,000 | IL St, Ser A | 5.00% | 12/01/22 | 206,873 | ||||
100,000 | IL St, Ser A | 5.00% | 04/01/23 | 104,639 | ||||
155,000 | IL St, Ser D | 5.00% | 11/01/22 | 159,831 | ||||
1,265,000 | Met Pier & Exposition Auth IL Rev Ref McCormick Place Proj, Ser B | 4.25% | 06/15/42 | 1,282,135 | ||||
500,000 | Met Pier & Exposition Auth IL Rev Ref McCormick Place Proj, Ser B | 5.00% | 06/15/52 | 508,154 | ||||
1,030,000 | Met Pier & Exposition Auth IL Rev Ref McCormick Place Proj, Ser B, AGM | 4.25% | 06/15/42 | 1,043,952 | ||||
100,000 | Met Pier & Exposition Auth IL Rev Ref McCormick Place Proj, Ser B, BAM | 5.00% | 06/15/52 | 101,631 | ||||
850,000 | Met Pier & Exposition Auth IL Rev Ref McCormick Place, Ser B, BAM | 4.25% | 06/15/42 | 861,514 | ||||
1,805,000 | Mount Vernon IL Ref, BAM | 4.00% | 12/15/23 | 1,899,921 | ||||
115,000 | Peoria IL Ref, Ser C, AGM | 5.00% | 01/01/23 | 119,342 | ||||
115,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/22 | 115,413 | ||||
515,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/23 | 537,407 | ||||
10,000 | Univ of IL IL Revs Ref Auxiliary Facs Sys, Ser A | 5.00% | 04/01/22 | 10,076 | ||||
14,605,140 | ||||||||
Indiana – 4.1% | ||||||||
85,000 | Carmel IN Redev Auth Lease Rental Rev Multipurpose, Ser A | 4.00% | 08/01/30 | 86,502 | ||||
305,000 | Carmel IN Redev Auth Lease Rental Rev Multipurpose, Ser A | 4.00% | 08/01/35 | 310,389 | ||||
1,000,000 | Hamilton IN S Estrn Schs | 3.00% | 12/31/22 | 1,019,958 | ||||
3,500,000 | IN St Fin Auth Envrnmntl Rev Var Fulcrum Centerpoint LLC Proj, AMT (Mandatory put 11/15/22) | 0.28% | 12/15/45 | 3,490,174 | ||||
135,000 | IN St Muni Pwr Agy Ref, Ser A | 5.00% | 01/01/24 | 145,018 | ||||
510,000 | IN St Univ Hsg & Dining Sys | 5.00% | 04/01/23 | 513,876 | ||||
120,000 | IN Univ Revs Ref IN Univ Stdt Fee, Ser Z-1 | 3.00% | 08/01/22 | 121,549 | ||||
45,000 | La Porte IN Wtrwks Rev, AGM | 4.00% | 07/01/22 | 45,599 | ||||
100,000 | La Porte IN Wtrwks Rev, AGM | 4.00% | 07/01/23 | 103,626 | ||||
710,000 | Noblesville IN Multi Sch Bldg Corp Ref 1st Mtge | 5.00% | 07/15/22 | 724,516 | ||||
470,000 | Saint Joseph Cnty IN Arpt Auth Ref, AMT, BAM | 4.00% | 01/01/23 | 483,301 | ||||
7,044,508 | ||||||||
Iowa – 1.4% | ||||||||
1,000,000 | IA St Fin Auth Sol Wst Facs Rev Var Green Bond Gevo Nw Rng Llc Renewable Natrl Gas Proj, AMT (Mandatory put 04/01/24) | 1.50% | 01/01/42 | 1,002,924 | ||||
1,250,000 | IA St Hgr Edu Loan Auth Priv Edu Working Capital Loan Prog, Ser A, RANS | 2.00% | 05/19/22 | 1,254,235 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Iowa (Continued) | ||||||||
$110,000 | Webster Cnty IA | 5.00% | 06/01/22 | $111,653 | ||||
2,368,812 | ||||||||
Kansas – 0.2% | ||||||||
320,000 | Wichita KS Hlthcare Facs Rev Ref & Impt Larksfield Place, Ser III | 5.50% | 12/15/25 | 346,195 | ||||
Kentucky – 0.3% | ||||||||
370,000 | Hazard KY Hlthcare Rev Ref Appalachian Regl Hlthcare Proj | 4.00% | 07/01/22 | 375,409 | ||||
90,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser C-1 (Mandatory put 06/01/25) | 4.00% | 12/01/49 | 96,805 | ||||
35,000 | Lewis Cnty KY Sch Dist Fin Corp, Ser B | 2.25% | 06/01/22 | 35,198 | ||||
507,412 | ||||||||
Louisiana – 2.6% | ||||||||
80,000 | LA St Gas & Fuels Tax Rev Ref, Ser A-1 | 4.00% | 05/01/33 | 80,680 | ||||
210,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Ref Athletic Facs Proj, AGM | 3.00% | 10/01/22 | 213,163 | ||||
100,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Ref Lewis Street Parking Garage Proj, AGM | 3.00% | 10/01/22 | 101,506 | ||||
100,000 | LA St Univ & Agric & Mech Clg Ref Auxiliary | 5.00% | 07/01/22 | 101,811 | ||||
125,000 | LA Stadium & Exposition Dist LA Ref Sr, Ser A | 5.00% | 07/01/28 | 132,019 | ||||
2,400,000 | LA Stadium & Exposition Dist LA, BANS | 4.00% | 07/03/23 | 2,477,889 | ||||
15,000 | New Orleans LA Wtr Rev Ref | 5.00% | 12/01/29 | 16,593 | ||||
35,000 | New Orleans LA Wtr Rev Ref | 5.00% | 12/01/34 | 38,717 | ||||
280,000 | New Orleans LA Wtr Rev Ref | 5.00% | 12/01/44 | 309,732 | ||||
550,000 | Saint John the Baptist Parish LA Rev Ref Marathon Oil Corp Proj Remk, Ser A-1 (Mandatory put 04/01/23) | 2.00% | 06/01/37 | 555,834 | ||||
185,000 | Shreveport LA Wtr & Swr Rev Junior Lien, Ser C, BAM | 5.00% | 12/01/23 | 198,089 | ||||
255,000 | Shreveport LA Wtr & Swr Rev Ref, Ser A, BAM | 5.00% | 12/01/22 | 263,987 | ||||
4,490,020 | ||||||||
Maine – 0.2% | ||||||||
120,000 | Maine Hlth & Hgr Eductnl Facs Auth Rev Ref St Intercept St Res Fd Gty, Ser A | 5.00% | 07/01/22 | 122,270 | ||||
150,000 | ME St Muni Bond Bank, Ser A, GARVEE | 5.00% | 09/01/22 | 154,040 | ||||
276,310 | ||||||||
Maryland – 0.1% | ||||||||
100,000 | Harford Cnty MD Spl Oblg Ref Beechtree Estates Proj | 3.00% | 07/01/22 | 100,869 | ||||
100,000 | MD St Cmnty Dev Admin Dept Hsg & Cmnty Dev Ref, Ser A | 0.15% | 03/01/22 | 99,986 | ||||
200,855 | ||||||||
Massachusetts – 2.1% | ||||||||
85,000 | MA St Dev Fin Agy Rev Ref Boston Med Ctr, Ser E | 5.00% | 07/01/22 | 86,576 | ||||
100,000 | MA St Eductnl Fing Auth Ref Issue L Sr, Ser B, AMT | 5.00% | 07/01/22 | 101,845 | ||||
150,000 | MA St Eductnl Fing Auth Sr, Ser B, AMT | 5.00% | 07/01/23 | 158,401 | ||||
1,000,000 | MA St Eductnl Fing Auth, Ser K, AMT | 5.00% | 07/01/22 | 1,018,452 | ||||
1,500,000 | MA St Hsg Fin Agy Hsg Rev Nts Ref | 0.25% | 12/01/22 | 1,495,599 | ||||
125,000 | MA St Port Auth, Ser A, AMT | 5.00% | 07/01/30 | 127,317 | ||||
550,000 | MA St Port Auth, Ser A, AMT | 5.00% | 07/01/42 | 560,195 | ||||
30,000 | Montague MA, Ser A | 5.00% | 11/15/22 | 31,041 | ||||
3,579,426 | ||||||||
Michigan – 1.0% | ||||||||
100,000 | Grand Blanc MI Cmnty Schs Ref | 4.00% | 05/01/26 | 100,877 | ||||
75,000 | Grand Rapids MI Ref Impt | 5.00% | 05/01/22 | 75,858 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Michigan (Continued) | ||||||||
$200,000 | MI St Bldg Auth Rev Ref Facs Pro, Ser I | 5.00% | 04/15/22 | $201,906 | ||||
425,000 | MI St Fin Auth Rev Ref Beaumont Hlth Credit Grp | 5.00% | 08/01/22 | 434,683 | ||||
100,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog Great Lakes Wtr Auth, Ser D-1 | 5.00% | 07/01/22 | 101,845 | ||||
150,000 | MI St Fin Auth Rev Ref Sub St Revolving Fund Clean | 5.00% | 10/01/23 | 154,466 | ||||
100,000 | MI St Fin Auth Rev Second Lien Distrib St Aid Rev Chrt Cnty Wayne | 5.00% | 11/01/22 | 103,135 | ||||
500,000 | MI St Hsg Dev Auth Sf Mtge Rev, Ser B | 1.50% | 06/01/22 | 501,279 | ||||
1,674,049 | ||||||||
Minnesota – 0.6% | ||||||||
600,000 | Forest Lake MN Indep Sch Dist #831 Ref, Ser A, COPS | 4.00% | 04/01/23 | 620,986 | ||||
125,000 | Itasca Cnty MN Ref Capital Impt, Ser B | 4.00% | 02/01/22 | 125,000 | ||||
250,000 | MN St Hsg Fin Agy Rental Hsg Bonds, Ser B | 0.35% | 02/01/23 | 248,846 | ||||
994,832 | ||||||||
Mississippi – 0.4% | ||||||||
400,000 | MS St Dev Bank Spl Oblg Jackson Wtr & Swr Sys Proj, AGM | 6.75% | 12/01/26 | 437,730 | ||||
100,000 | MS St Dev Bank Spl Oblg Jackson Wtr & Swr Sys Proj, AGM | 6.75% | 12/01/32 | 109,089 | ||||
150,000 | MS St Ref, Ser F | 4.00% | 11/01/22 | 153,918 | ||||
700,737 | ||||||||
Missouri – 0.6% | ||||||||
500,000 | Bridgeton MO Spl Oblig Rev Ref, Ser A | 4.00% | 12/01/22 | 513,490 | ||||
245,000 | MO St Hlth & Eductnl Facs Auth Med Rsrch Lutheran Svcs, Ser A | 5.00% | 02/01/22 | 245,000 | ||||
250,000 | Randolph Cnty MO Sch Dist #81 Moberly MO Direct Deposit Prog | 5.75% | 03/01/26 | 251,076 | ||||
1,009,566 | ||||||||
Nebraska – 2.5% | ||||||||
300,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/22 | 307,314 | ||||
335,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/27 | 343,365 | ||||
405,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/32 | 415,089 | ||||
420,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.25% | 09/01/37 | 431,070 | ||||
410,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/42 | 420,214 | ||||
150,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 | 5.00% | 01/01/24 | 160,509 | ||||
1,975,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 (Mandatory put 01/01/24) | 5.00% | 03/01/50 | 2,101,363 | ||||
80,000 | Univ of NE NE Facs Corp Ref, Ser B | 4.00% | 10/01/22 | 81,869 | ||||
4,260,793 | ||||||||
Nevada – 3.9% | ||||||||
195,000 | Clark Cnty NV Arpt Rev Ref Sys Sub Lien, Ser A-1, AMT | 5.00% | 07/01/22 | 198,582 | ||||
510,000 | Clark Cnty NV Detention Ctr | 5.00% | 06/01/22 | 517,838 | ||||
200,000 | Clark Cnty NV Passenger Fac Charge Rev Ref Las Vegas Mccarran Intl Arpt, Ser E | 5.00% | 07/01/23 | 211,405 | ||||
835,000 | Clark Cnty NV Sch Dist Ref Bldg, Ser A | 5.00% | 06/15/23 | 883,406 | ||||
675,000 | Clark Cnty NV Sch Dist Ref, Ser A | 5.00% | 06/15/23 | 714,131 | ||||
800,000 | Clark Cnty NV Sch Dist Various Purp Medium Term, Ser F | 5.00% | 06/15/22 | 803,204 | ||||
750,000 | Director of the St of NV Dept of Busn & Ind Var Brightline W Psngr Rail Proj Remk, Ser A, AMT (Mandatory put 02/01/22) (b) | 0.25% | 01/01/50 | 750,000 | ||||
1,000,000 | Director of the St of NV Dept of Busn & Ind Var RePub Svcs Proj, AMT (Mandatory put 06/01/22) (b) | 0.28% | 12/01/26 | 999,468 | ||||
1,600,000 | Yerington NV USDA Interim Debs | 1.63% | 11/01/23 | 1,605,056 | ||||
6,683,090 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New Hampshire – 0.7% | ||||||||
$1,205,000 | NH St Hlth & Ed Facs Auth Hlthcare Sys Rev Covenant Hlth Sys Oblig Grp | 5.00% | 07/01/42 | $1,227,082 | ||||
New Jersey – 6.0% | ||||||||
100,000 | Atlantic City NJ Brd of Edu Ref Sch Bd Res Fd, AGM | 4.00% | 04/01/23 | 103,676 | ||||
125,000 | Hamilton Twp NJ Sch Dist, AGM | 3.00% | 07/15/22 | 126,386 | ||||
60,000 | Hopewell Twp NJ | 2.00% | 06/01/22 | 60,318 | ||||
1,795,000 | Jersey City NJ Muni Utilities Auth Wtr Proj Notes | 3.00% | 07/01/22 | 1,812,627 | ||||
403,800 | Jersey City NJ, Ser B & C, BANS | 2.00% | 06/16/22 | 406,104 | ||||
700,000 | NJ St Covid-19 Go Emergency Bonds, Ser A | 4.00% | 06/01/23 | 727,647 | ||||
25,000 | NJ St Econ Dev Auth Ref, Ser A, BAM | 5.00% | 06/15/23 | 26,435 | ||||
50,000 | NJ St Econ Dev Auth Rev Sch Facs Constr, Ser KK | 5.00% | 03/01/23 | 51,171 | ||||
500,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev Sr Bonds, Ser B, AMT | 5.00% | 12/01/22 | 517,409 | ||||
100,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev Sr, Ser 2015-1A, AMT | 5.00% | 12/01/24 | 110,177 | ||||
255,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev, Ser B, AMT | 5.00% | 12/01/23 | 272,561 | ||||
115,000 | NJ St Hlthcare Facs Fing Auth Rev Ref Barnabas Hlth, Ser A | 4.00% | 07/01/26 | 116,681 | ||||
200,000 | NJ St Transprtn Trust Fund Auth Ref Fed Hwy Reimb Nts, Ser A, GARVEE | 5.00% | 06/15/22 | 203,346 | ||||
500,000 | NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA | 5.00% | 06/15/23 | 508,249 | ||||
280,000 | NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA | 4.00% | 06/15/27 | 283,587 | ||||
800,000 | NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA | 5.00% | 06/15/28 | 813,198 | ||||
300,000 | NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA | 4.00% | 06/15/31 | 303,844 | ||||
850,000 | NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA | 5.00% | 06/15/32 | 864,023 | ||||
1,255,000 | NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA | 5.00% | 06/15/38 | 1,275,704 | ||||
830,000 | NJ St Transprtn Trust Fund Auth Transprtn Sys, Ser A | 5.00% | 06/15/42 | 843,849 | ||||
600,000 | Ringwood NJ Brd of Edu Ref, BAM | 4.00% | 09/01/22 | 612,008 | ||||
225,000 | Ringwood NJ Brd of Edu Ref, BAM | 4.00% | 09/01/23 | 235,905 | ||||
10,274,905 | ||||||||
New Mexico – 0.9% | ||||||||
550,000 | Farmington NM Poll Control Rev Ref Pub Svc Company Proj Remk, Ser B (Mandatory put 06/01/22) | 2.13% | 06/01/40 | 552,484 | ||||
750,000 | Farmington NM Poll Control Rev Var Ref Pub Svc Co of NM Remk, Ser F, AMT (Mandatory put 06/01/22) | 1.20% | 06/01/40 | 750,665 | ||||
200,000 | NM St Fin Auth St Transprtn Rev Ref Sr Lien, GARVEE | 5.00% | 06/15/22 | 203,429 | ||||
1,506,578 | ||||||||
New York – 12.3% | ||||||||
100,000 | Build NYC Res Corp NY Rev Acad Leadership Chrt Sch Proj | 4.00% | 06/15/23 | 103,809 | ||||
665,000 | E Hampton NY Union Free Sch Dist, TANS | 1.50% | 06/24/22 | 666,987 | ||||
2,000,000 | Harpursville NY Centrl Sch Dist, BANS | 1.25% | 06/28/22 | 2,004,436 | ||||
600,000 | Long Beach NY, BAM | 2.00% | 09/15/22 | 605,198 | ||||
245,000 | Met Transprtn Auth NY Rev Ref, Ser F | 5.00% | 11/15/23 | 253,046 | ||||
370,000 | Met Transprtn Auth NY Rev Transprtn, Ser A-1 | 5.00% | 11/15/23 | 395,261 | ||||
125,000 | Met Transprtn Auth NY Rev Transprtn, Ser B | 5.00% | 11/15/22 | 129,057 | ||||
215,000 | Met Transprtn Auth NY Rev Transprtn, Ser E | 5.00% | 11/15/22 | 221,978 | ||||
410,000 | Met Transprtn Auth NY Rev, Ser A-2S, BANS | 4.00% | 02/01/22 | 410,000 | ||||
1,305,000 | Met Transprtn Auth NY Rev, Ser B-1, BANS | 5.00% | 05/15/22 | 1,320,450 | ||||
75,000 | New York City NY Transitional Fin Auth Rev Future Tax Subord Bonds, Ser C-1 | 5.00% | 05/01/22 | 75,868 | ||||
180,000 | Niagara Cnty NY Tobacco Asset Securitization Corp Tobacco As Ref Asset Bkd Bds | 5.00% | 05/15/22 | 182,132 | ||||
2,000,000 | NY City NY Hsg Dev Corp Mf Hsg Rev Sustainable Dev Bonds Var, Ser F-2 (Mandatory put 07/01/25) | 0.60% | 05/01/61 | 1,934,693 | ||||
1,630,000 | NY City NY Hsg Dev Corp Rev, Ser A | 5.00% | 07/01/25 | 1,721,998 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$1,695,000 | NY City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Var Second Gen Resolution Sub FF-1 (a) | 0.11% | 06/15/44 | $1,695,000 | ||||
2,150,000 | NY NY Adj Fiscal 2020, Subser B-3 (a) | 0.12% | 10/01/46 | 2,150,000 | ||||
1,000,000 | NY NY Var Fiscal 2021 Remk, Ser 3 (a) | 0.13% | 04/01/42 | 1,000,000 | ||||
100,000 | NY NY, Ser C | 5.00% | 08/01/23 | 102,117 | ||||
250,000 | NY St Dorm Auth Revs Non St Supported Debt Ref, Ser 1 | 5.00% | 01/15/23 | 260,107 | ||||
285,000 | NY St Dorm Auth Revs Non St Supported Debt Sch Dists Fing Prog, Ser A | 5.00% | 10/01/22 | 292,499 | ||||
125,000 | NY St Hsg Fin Agy Affordable Hsg, Ser E | 2.13% | 11/01/23 | 125,929 | ||||
235,000 | NY St Hsg Fin Agy Sustainability Bonds, Ser N | 1.45% | 05/01/23 | 235,087 | ||||
180,000 | NY St Hsg Fin Agy Sustainability Bonds, Ser Q | 1.35% | 11/01/23 | 180,439 | ||||
895,000 | NY St Mtge Agy Homeowner Mtge Rev, Ser 180, AMT | 3.90% | 04/01/22 | 899,355 | ||||
1,000,000 | NY St Mtge Agy Homeowner Mtge Rev, Ser 183, AMT | 3.75% | 04/01/23 | 1,029,613 | ||||
175,000 | NY St Mtge Agy Rev Mtge, 55th Ser, AMT | 2.65% | 10/01/23 | 178,493 | ||||
265,000 | NY St Mtge Agy Rev, Ser 51 | 2.25% | 10/01/23 | 269,211 | ||||
410,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser A, AMT | 5.00% | 12/01/22 | 423,162 | ||||
245,000 | Onondaga NY Civic Dev Corp Le Moyne Clg Proj | 5.00% | 07/01/23 | 258,010 | ||||
255,000 | Onondaga NY Civic Dev Corp Le Moyne Clg Proj | 5.00% | 07/01/24 | 276,165 | ||||
155,000 | Port Auth of NY & NJ NY Ref Consol Ser 186, AMT | 5.00% | 10/15/22 | 159,567 | ||||
250,000 | Port Auth of NY & NJ NY Ref Consol, Ser 188, AMT | 5.00% | 05/01/22 | 252,703 | ||||
225,000 | Port Auth of NY & NJ NY Ref Consolidated Bonds Two Hundred Second, AMT | 5.00% | 10/15/22 | 231,629 | ||||
500,000 | Port Auth of NY & NJ NY Ref, Ser 207, AMT | 5.00% | 09/15/23 | 531,061 | ||||
175,000 | Rochester NY, Ser II, BANS | 2.00% | 08/03/22 | 176,027 | ||||
80,000 | Rye City NY Sch Dist Ref | 5.00% | 05/15/22 | 81,068 | ||||
85,000 | York NY Green Bond, BAM | 2.50% | 08/15/22 | 85,875 | ||||
20,918,030 | ||||||||
North Carolina – 0.3% | ||||||||
100,000 | Monroe NC Comb Enterprise Sys Rev Ref | 5.00% | 03/01/22 | 100,377 | ||||
220,000 | NC St Capital Facs Fin Agy Eductnl Facs Rev Ref High Point Univ | 3.00% | 05/01/22 | 221,355 | ||||
105,000 | NC St Estrn Muni Pwr Agy Pwr Sys Rev, Ser A | 5.00% | 01/01/23 | 106,991 | ||||
40,000 | NC St Estrn Muni Pwr Agy Pwr Sys Rev, Ser A | 5.00% | 01/01/24 | 40,758 | ||||
75,000 | Univ of NC NC at Charlotte, Ser A | 5.00% | 04/01/37 | 75,576 | ||||
545,057 | ||||||||
North Dakota – 1.5% | ||||||||
210,000 | Bismarck ND Pub Sch Dist #1, Ser B | 4.00% | 05/01/22 | 211,864 | ||||
1,500,000 | Cass Cnty ND Jt Wtr Res Dist, Ser A | 0.48% | 05/01/24 | 1,470,416 | ||||
50,000 | Grand Forks ND Hlthcare Sys Rev Altru Hlth System Ref | 5.00% | 12/01/23 | 53,557 | ||||
350,000 | W Fargo ND Ref, Ser A | 2.00% | 05/01/22 | 351,353 | ||||
440,000 | Williston ND Cnty Wide Pub Safety Sales Tax Rev Ref, Ser A | 5.00% | 07/15/22 | 447,415 | ||||
2,534,605 | ||||||||
Ohio – 2.9% | ||||||||
135,000 | American Muni Pwr OH Inc OH Rev Ref Combined Hydroelec Proj, Ser A | 5.00% | 02/15/23 | 140,996 | ||||
175,000 | American Muni Pwr OH Inc OH Rev Ref Prairie St Energy Cmps Proj, Ser A | 5.00% | 02/15/23 | 182,773 | ||||
150,000 | Butler Cnty OH Hosp Facs Ref UC Hlth | 4.00% | 11/15/23 | 157,639 | ||||
100,000 | Hamilton Cnty OH Hosp Facs Rev Trihealth Inc, Ser A | 5.00% | 08/15/22 | 102,393 | ||||
200,000 | Hicksville OH Exempted Vlg Sch Dist Ref Sch Impt | 3.00% | 12/01/24 | 201,720 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Ohio (Continued) | ||||||||
$280,000 | Montgomery Cnty OH Hosp Rev Ref Kettering Hlth Network Oblig Grp Proj | 5.00% | 08/01/23 | $297,176 | ||||
100,000 | NE OH Med Univ Gen Recpts Ref, Ser A | 3.00% | 12/01/22 | 101,922 | ||||
500,000 | 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 | 508,882 | ||||
240,000 | OH St Voting System Acq Proj, COPS | 5.00% | 09/01/22 | 246,264 | ||||
3,000,000 | Olmsted Falls OH, BANS | 1.25% | 06/09/22 | 3,003,764 | ||||
4,943,529 | ||||||||
Oklahoma – 2.0% | ||||||||
2,700,000 | OK St Dev Fin Auth Gilcrease Expressway W Proj P3 Proj, AMT | 1.63% | 07/06/23 | 2,705,057 | ||||
75,000 | OK St Wtr Res Brd Revolving Fund Rev Master Trust, Ser A | 5.00% | 04/01/25 | 75,576 | ||||
90,000 | OK St Wtr Res Brd Revolving Fund Rev Master Trust, Ser A | 5.00% | 04/01/28 | 90,691 | ||||
25,000 | OK St Wtr Res Brd Revolving Fund Rev Master Trust, Ser B | 5.00% | 04/01/23 | 25,192 | ||||
465,000 | Tulsa OK Arpts Impt Trust Ref, Ser A, AMT, BAM | 5.00% | 06/01/22 | 471,895 | ||||
3,368,411 | ||||||||
Pennsylvania – 3.9% | ||||||||
150,000 | Allegheny Vly PA Jt Sewage Auth Green Bond, BAM | 4.00% | 08/01/22 | 152,544 | ||||
200,000 | Berks Cnty PA Indl Dev Auth Hlth Sys Rev Ref Tower Hlth Proj | 5.00% | 11/01/22 | 204,494 | ||||
900,000 | Berks Cnty PA Muni Auth Ref Tower Hlth Proj, Ser A | 5.00% | 02/01/22 | 900,000 | ||||
520,000 | Coatesville PA Area Sch Dist Unrefunded Ref, AGM | 5.00% | 08/01/22 | 531,267 | ||||
50,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/22 | 50,522 | ||||
55,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/23 | 57,616 | ||||
165,000 | Hermitage PA Muni Auth Ref, Ser C | 3.00% | 02/01/22 | 165,000 | ||||
180,000 | Monroeville PA Fin Auth Upmc Rev Ref, Ser B | 3.50% | 07/01/23 | 186,843 | ||||
35,000 | PA St 1st Ser | 5.00% | 04/01/22 | 35,268 | ||||
125,000 | PA St Econ Dev Fing Auth Pkg Sys Rev Capitol Region Pkg Sys Sr, Ser A, AGM | 5.00% | 01/01/23 | 129,591 | ||||
750,000 | PA St Econ Dev Fing Auth Solid Waste Disposal Rev Var Draw Down Rep Svcs Inc, Ser B-2 , AMT (Mandatory put 07/15/22) | 0.30% | 04/01/49 | 749,347 | ||||
925,000 | PA St Hgr Eductnl Facs Auth Rev Univ PA Hlth Sys, Ser A | 5.00% | 08/15/26 | 947,313 | ||||
175,000 | PA St Hgr Eductnl Facs Auth Rev Univ PA Hlth Sys, Ser A | 5.00% | 08/15/31 | 179,221 | ||||
270,000 | PA St Intergovtl Cooperation Auth Ref Philadelphia Fdg Prog | 5.00% | 06/15/22 | 274,609 | ||||
165,000 | Philadelphia PA Ref, Ser A | 5.00% | 07/15/22 | 168,412 | ||||
215,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/23 | 228,322 | ||||
200,000 | Riverside PA Sch Dist Ref, BAM | 2.00% | 10/15/22 | 201,782 | ||||
225,000 | Riverside PA Sch Dist Ref, BAM | 3.00% | 10/15/23 | 232,212 | ||||
300,000 | Riverside PA Sch Dist Ref, BAM | 4.00% | 10/15/24 | 321,690 | ||||
275,000 | Riverside PA Sch Dist Ref, BAM | 4.00% | 10/15/25 | 300,226 | ||||
300,000 | S Wayne Cnty PA Wtr & Swr Auth Wtr & Swr Rev Ref, BAM | 1.00% | 02/15/22 | 300,067 | ||||
200,000 | S Wayne Cnty PA Wtr & Swr Auth Wtr & Swr Rev Ref, BAM | 2.00% | 02/15/23 | 202,325 | ||||
70,000 | W Cornwall Twp PA Muni Auth Ref Lebanon Vly Brethren Home Proj, Ser A | 4.00% | 11/15/22 | 71,539 | ||||
6,590,210 | ||||||||
Rhode Island – 0.4% | ||||||||
625,000 | Cranston RI, Ser 1, BANS | 1.00% | 08/23/22 | 626,102 | ||||
South Carolina – 1.1% | ||||||||
150,000 | Anderson SC Wtr & Swr Sys Rev Ref, AGM | 3.00% | 07/01/27 | 151,561 | ||||
500,000 | Berkeley Cnty SC Sch Dist Installment Pur Rev Ref Securing Assets for Edu, Ser A | 5.00% | 12/01/27 | 535,377 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
South Carolina (Continued) | ||||||||
$115,000 | N Charleston SC Pub Facs Corp Installment Pur Rev, Ser B | 5.00% | 06/01/22 | $116,721 | ||||
370,000 | SC St Pub Svc Auth Rev Ref Obligs, Ser C | 5.00% | 12/01/22 | 383,450 | ||||
100,000 | SC St Pub Svc Auth Rev Ref, Ser B | 5.00% | 12/01/22 | 103,618 | ||||
560,000 | SC St Pub Svc Auth Rev Santee Cooper, Ser D | 5.00% | 12/01/43 | 568,549 | ||||
90,000 | Spartanburg Cnty SC Sch Dist #6 | 5.00% | 04/01/22 | 90,696 | ||||
1,949,972 | ||||||||
South Dakota – 0.2% | ||||||||
355,000 | SD St Hlth & Eductnl Facs Auth Ref Sanford Oblig Grp | 5.00% | 11/01/22 | 366,645 | ||||
Tennessee – 2.2% | ||||||||
75,000 | Hamilton Cnty TN, Ser A | 5.00% | 04/01/22 | 75,585 | ||||
225,000 | Jackson TN Hosp Rev Ref Jackson Madison Cnty Hosp | 5.00% | 04/01/23 | 235,870 | ||||
135,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Trevecca Nazarene Univ Proj, Ser B | 4.00% | 10/01/23 | 139,887 | ||||
130,000 | Mount Pleasant TN Elec Sys Rev Ref | 4.00% | 06/01/22 | 131,442 | ||||
500,000 | TN St Energy Acq Corp Gas Rev | 5.00% | 11/01/22 | 515,064 | ||||
1,085,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/22 | 1,112,890 | ||||
610,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/23 | 648,616 | ||||
860,000 | TN St Energy Acq Corp Gas Rev, Ser C | 5.00% | 02/01/23 | 894,086 | ||||
3,753,440 | ||||||||
Texas – 8.5% | ||||||||
40,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Kipp TX Inc | 5.00% | 08/15/23 | 42,490 | ||||
230,000 | Austin TX Cmnty Clg Dist | 5.00% | 08/01/22 | 235,205 | ||||
200,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fndtn Proj | 5.00% | 07/15/23 | 209,725 | ||||
305,000 | Brazoria Cnty TX Muni Util Dist #55, BAM | 4.00% | 09/01/23 | 318,848 | ||||
205,000 | Bridgeport TX Ctfs Oblig, BAM | 4.00% | 08/15/22 | 208,753 | ||||
210,000 | Centrl TX Regl Mobility Auth Rev Ref Sr Lien, Ser A, AGM | 5.00% | 01/01/43 | 218,243 | ||||
100,000 | Dallas Fort Worth TX Intl Arpt Rev Jt Impt, Ser B, AMT | 5.00% | 11/01/34 | 103,211 | ||||
100,000 | Dallas TX Wtrwks & Swr Sys Rev Ref, Ser A | 5.00% | 10/01/37 | 102,977 | ||||
90,000 | Dallas TX Wtrwks & Swr Sys Rev Unrefunded Ref, Ser A | 5.00% | 10/01/29 | 92,680 | ||||
300,000 | Denton Cnty TX Fresh Wtr Sply dist #10, AGM | 2.00% | 09/01/22 | 302,269 | ||||
75,000 | Fort Worth TX Ref & Impt | 5.00% | 03/01/32 | 75,286 | ||||
200,000 | Gulfgate Redev Auth TX Tax Incr Contract Rev Ref, AGM | 4.00% | 09/01/22 | 203,779 | ||||
145,000 | Harris Cnty TX Muni Util Dist #397 Ref Green Bond, BAM | 4.00% | 05/01/22 | 146,250 | ||||
150,000 | Houston TX Ref Pub Impt, Ser A | 5.00% | 03/01/24 | 162,232 | ||||
425,000 | Kaufman Cnty TX Muni Util Dist #5, BAM | 4.00% | 03/01/23 | 438,887 | ||||
150,000 | Lower CO River TX Auth Trans Contract Rev Ref Lcra Trans Svcs | 5.00% | 05/15/25 | 151,923 | ||||
115,000 | Lower CO River TX Auth Trans Contract Rev Ref Lcra Trans Svcs Corp Proj | 5.00% | 05/15/23 | 121,259 | ||||
1,235,000 | Lower Colorado River TX Auth Rev Unrefunded Ref, Ser A | 5.00% | 05/15/28 | 1,251,067 | ||||
125,000 | Lower Colorado River TX Auth Rev Unrefunded Ref, Ser A | 5.00% | 05/15/32 | 126,626 | ||||
140,000 | Lower Colorado River TX Auth Rev Unrefunded Ref, Ser A | 5.00% | 05/15/36 | 141,821 | ||||
430,000 | Lower Colorado River TX Auth Rev Unrefunded Ref, Ser B | 5.00% | 05/15/23 | 435,594 | ||||
85,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs | 5.00% | 05/15/22 | 86,134 | ||||
265,000 | Mclendon Chisholm TX Spl Assmnt Rev Ref Sonoma Pub Impt Dt Phase 1 Proj, BAM | 4.00% | 09/15/23 | 274,831 | ||||
420,000 | Montgomery Cnty TX Muni Util Dist #105, BAM | 4.63% | 09/01/23 | 442,966 | ||||
430,000 | Montgomery Cnty TX Muni Util Dist #105, BAM | 4.63% | 09/01/24 | 465,873 | ||||
150,000 | Montgomery Cnty TX Muni Util Dist #119 Green Bond, Ser A, BAM | 2.00% | 04/01/22 | 150,391 | ||||
500,000 | Montgomery Cnty TX Muni Util Dist #119, Ser B | 1.00% | 04/01/22 | 500,404 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$125,000 | Mueller TX Loc Govt Corp Contract Rev Tax Incr | 5.00% | 09/01/22 | $128,106 | ||||
165,000 | New Hope Cultural Edu Facs Fincorp Tx Edu Rev Ref Jubilee Acad Ctr (b) | 4.00% | 08/15/22 | 166,865 | ||||
130,000 | Newark Hgr Edu Fin Corp TX Edu Rev The Hughen Ctr Inc, Ser A | 4.00% | 08/15/23 | 136,031 | ||||
300,000 | NW Harris Cnty TX Muni Util Dist #5 Ref, BAM | 4.00% | 05/01/23 | 311,352 | ||||
90,000 | SA Energy Acq Pub Fac Corp TX Gas Sply Rev Gas Sply Rev | 5.50% | 08/01/22 | 92,132 | ||||
185,000 | Sienna Plantation TX Muni Util Dist #5 Contract Rev, BAM | 4.50% | 11/01/22 | 190,225 | ||||
120,000 | Sienna Plantation TX Muni Util Dist #5 Contract Rev, BAM | 4.50% | 11/01/22 | 123,389 | ||||
180,000 | Sienna Plantation TX Muni Util Dist #5 Contract Rev, BAM | 4.50% | 11/01/22 | 185,084 | ||||
125,000 | Splendora TX Indep Sch Dist Ref Sch Bldg, Ser B | 5.00% | 02/15/23 | 130,579 | ||||
395,000 | Stafford TX Econ Dev Corp Sales Tax Rev Ref, BAM | 5.00% | 09/01/23 | 419,556 | ||||
2,000,000 | Tender Option Bond Trust Recpts / Ctfs Various States Floaters, Ser 2021-XF1226 (a) (b) | 0.09% | 08/15/27 | 2,000,000 | ||||
145,000 | Titus Cnty TX Pass Thru Toll Ltd Tax, Ser B | 4.00% | 03/01/34 | 145,431 | ||||
120,000 | Trinity River TX Auth Red Oak Creek Sys Rev Red Oak Creek System | 5.00% | 02/01/23 | 125,063 | ||||
360,000 | TX St Muni Gas Acq & Sply Corp Gas Sply Rev Ref | 5.00% | 12/15/22 | 371,685 | ||||
1,545,000 | TX St Muni Gas Acq & Sply Corp I Gas Sply Rev Sr Lien, Ser A | 5.25% | 12/15/22 | 1,605,079 | ||||
290,000 | TX St Muni Gas Acq & Sply Corp I Gas Sply Rev Sr Lien, Ser A | 5.25% | 12/15/23 | 311,935 | ||||
315,000 | TX St Transprtn Commn Central TX Turnpike Sys Rev Ref 1st Tier, Ser A | 5.00% | 08/15/41 | 322,599 | ||||
150,000 | TX St Univ Sys Fing Rev Ref Sys | 4.10% | 03/15/39 | 150,688 | ||||
170,000 | TX St Univ Sys Fing Rev Ref, Ser A | 5.00% | 03/15/22 | 170,961 | ||||
150,000 | Viridian TX Muni Mgmt Dist Unlimited Tax Road Impt Bonds, BAM | 4.00% | 12/01/22 | 153,984 | ||||
250,000 | Viridian TX Muni Mgmt Dist Unlimited Tax Road Impt Bonds, BAM | 4.00% | 12/01/23 | 262,937 | ||||
14,513,405 | ||||||||
Utah – 0.2% | ||||||||
75,000 | Murray City UT Sch Dist Ref & Bldg UT Sch Brd Guaranty | 5.00% | 02/01/22 | 75,000 | ||||
105,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Quest Acdmy | 4.00% | 04/15/23 | 108,649 | ||||
100,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Spectrum Acdmy Proj | 4.00% | 04/15/22 | 100,672 | ||||
284,321 | ||||||||
Virginia – 0.7% | ||||||||
100,000 | Albemarle Cnty VA Econ Dev Auth Pub Fac Rev, Ser B | 5.00% | 06/01/22 | 101,527 | ||||
100,000 | Norfolk VA Wtr Rev Prerefunded Ref | 5.00% | 11/01/22 | 101,149 | ||||
100,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/22 | 101,368 | ||||
100,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/23 | 104,967 | ||||
175,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/24 | 188,568 | ||||
100,000 | VA St Pub Sch Auth Sch Technology & Sec Nts, Ser V | 5.00% | 04/15/22 | 100,955 | ||||
195,000 | VA St Res Auth Infra Rev Prerefunded VA Pooled Fing Auth, Ser A | 5.00% | 11/01/31 | 201,487 | ||||
240,000 | VA St Small Busn Fing Auth Rsdl Fac Care Rev Ref Lifespire of VA | 3.00% | 12/01/22 | 243,698 | ||||
1,143,719 | ||||||||
Washington – 0.6% | ||||||||
150,000 | Centrl Puget Sound WA Regl Transit Auth Sales Tax & Mtr Ve Ref, Ser P-1 (c) | 5.00% | 02/01/28 | 150,000 | ||||
200,000 | Centrl WA Univ Sys Rev, AGM | 5.00% | 05/01/23 | 210,102 | ||||
120,000 | Energy NW WA Elec Rev Ref, Ser A | 5.00% | 07/01/22 | 122,306 | ||||
100,000 | Port of Seattle WA Rev Intermediate Lien, AMT | 5.00% | 04/01/23 | 104,819 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Washington (Continued) | ||||||||
$100,000 | WA St Hlthcare Facs Auth Ref Seattle Childrens Hosp, Ser B | 5.00% | 10/01/25 | $102,943 | ||||
150,000 | WA St Mtr Vehcl Fuel Tax, Ser E (c) | 5.00% | 02/01/29 | 150,000 | ||||
200,000 | Yakima WA, Ser A | 5.00% | 06/01/22 | 203,013 | ||||
1,043,183 | ||||||||
Wisconsin – 5.3% | ||||||||
200,000 | Brown Cnty WI Ref, AMT | 4.00% | 11/01/22 | 204,753 | ||||
75,000 | Kaukauna WI Elec Sys Rev Ref, BAM | 4.00% | 12/15/22 | 77,139 | ||||
725,000 | Milwaukee WI Promissory & Corporate Notes, Ser N2 | 5.00% | 05/01/22 | 733,205 | ||||
795,000 | Milwaukee WI Promissory Nts, Ser N1 | 5.00% | 02/01/23 | 828,784 | ||||
100,000 | Milwaukee WI Promissory Nts, Ser N2 | 5.00% | 05/15/22 | 101,305 | ||||
150,000 | Milwaukee WI Ref Prom Nts, Ser N2 | 4.00% | 03/15/22 | 150,653 | ||||
410,000 | Milwaukee WI Ref Prom Nts, Ser N2 | 4.00% | 03/15/25 | 443,911 | ||||
600,000 | Milwaukee WI Ref Promissory Nts, Ser N4 | 5.00% | 04/01/22 | 604,539 | ||||
380,000 | Milwaukee WI Ref Promissory Nts, Ser N4 | 5.00% | 04/01/23 | 398,587 | ||||
490,000 | Milwaukee WI Ref Promissory Nts, Ser N4 | 5.00% | 04/01/24 | 530,444 | ||||
65,000 | Pub Fin Auth WI Edu Rev Coral Acdmy of Science Las Vegas, Ser A | 4.00% | 07/01/23 | 67,431 | ||||
1,937,000 | Tender Option Bond Trust Recpts / Ctfs Various States Floaters, Ser 2020-XF2869 (a) (b) | 0.26% | 11/01/25 | 1,937,000 | ||||
1,435,000 | Tender Option Bond Trust Recpts / Ctfs Various States Floaters, Ser 2020-XF2887 (a) (b) | 0.26% | 06/15/38 | 1,435,000 | ||||
55,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Saint John’s Cmntys Inc, Ser B | 3.00% | 09/15/22 | 55,612 | ||||
165,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Saint John’s Cmntys Inc, Ser B | 3.00% | 09/15/23 | 169,318 | ||||
650,000 | WI St Hlth & Eductnl Facs Auth Rev Ref St Johns Cmntys Inc, Ser B | 5.00% | 09/15/37 | 667,356 | ||||
150,000 | WI St Hlth & Eductnl Facs Auth Rev Three Pillars Sr Living Cmntys, Ser A | 4.00% | 08/15/23 | 156,326 | ||||
100,000 | WI St Transprtn Rev Prerefunded, Ser 1 | 5.00% | 07/01/25 | 105,848 | ||||
50,000 | WI St Unrefunded Ref, Ser 2 | 5.00% | 05/01/27 | 50,575 | ||||
50,000 | WI St, Ser A | 5.00% | 05/01/24 | 50,575 | ||||
190,000 | WI St, Ser A | 4.00% | 05/01/29 | 191,715 | ||||
110,000 | WI St, Ser A | 5.00% | 05/01/30 | 111,264 | ||||
9,071,340 |
Total Investments – 100.4% | 171,290,842 | ||
(Cost $171,752,693) | |||
Net Other Assets and Liabilities – (0.4)% | (711,115) | ||
Net Assets – 100.0% | $170,579,727 |
(a) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(b) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At January 31, 2022, securities noted as such amounted to $9,596,582 or 5.6% of net assets. |
(c) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(d) | Zero coupon bond. |
AGM | Assured Guaranty Municipal Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
BANS | Bond Anticipation Notes |
BHAC-CR | Berkshire Hathaway Assurance Corp. Custodial Receipts |
CIBS | Current Interest Bonds |
COPS | Certificates of Participation |
FGIC | Financial Guaranty Insurance Co. |
GARVEE | Grant Anticipation Revenue Vehicle |
NATL-RE | National Public Finance Guarantee Corp. |
RANS | Revenue Anticipation Notes |
TANS | Tax Anticipation Notes |
Total Value at 1/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 171,290,842 | $ — | $ 171,290,842 | $ — |
* | See Portfolio of Investments for state breakout. |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | ||
ASSETS: | |||
Investments, at value | $ 198,738,936 | $ 171,290,842 | |
Cash | 10,541,229 | 4,860,019 | |
Cash segregated as collateral for open futures contracts | 128,741 | — | |
Receivables: | |||
Interest | 1,958,227 | 1,522,420 | |
Investment securities sold | 990,062 | 2,000,085 | |
Variation margin | 880 | — | |
Total Assets | 212,358,075 | 179,673,366 | |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | 3,303,356 | 1,029,441 | |
Fund shares redeemed | 2,049,306 | 8,026,207 | |
Investment advisory fees | 60,632 | 37,991 | |
Total Liabilities | 5,413,294 | 9,093,639 | |
NET ASSETS | $206,944,781 | $170,579,727 | |
NET ASSETS consist of: | |||
Paid-in capital | $ 208,753,409 | $ 170,950,896 | |
Par value | 101,000 | 85,000 | |
Accumulated distributable earnings (loss) | (1,909,628) | (456,169) | |
NET ASSETS | $206,944,781 | $170,579,727 | |
NET ASSET VALUE, per share | $20.49 | $20.07 | |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 10,100,002 | 8,500,002 | |
Investments, at cost | $200,460,561 | $171,752,693 |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | |||
INVESTMENT INCOME: | ||||
Interest | $ 1,215,570 | $ 488,280 | ||
Total investment income | 1,215,570 | 488,280 | ||
EXPENSES: | ||||
Investment advisory fees | 474,730 | 400,504 | ||
Total expenses | 474,730 | 400,504 | ||
Fees waived by the investment advisor | (172,629) | (178,002) | ||
Net expenses | 302,101 | 222,502 | ||
NET INVESTMENT INCOME (LOSS) | 913,469 | 265,778 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments | (80,019) | (19,134) | ||
Futures contracts | (56,004) | — | ||
Net realized gain (loss) | (136,023) | (19,134) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (4,383,791) | (976,346) | ||
Futures contracts | 140,668 | — | ||
Net change in unrealized appreciation (depreciation) | (4,243,123) | (976,346) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (4,379,146) | (995,480) | ||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(3,465,677) | $(729,702) |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | ||||||
Six Months Ended 1/31/2022 (Unaudited) | Year Ended 7/31/2021 | Six Months Ended 1/31/2022 (Unaudited) | Year Ended 7/31/2021 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 913,469 | $ 1,137,743 | $ 265,778 | $ 720,026 | |||
Net realized gain (loss) | (136,023) | 105,380 | (19,134) | (23,155) | |||
Net change in unrealized appreciation (depreciation) | (4,243,123) | 1,227,479 | (976,346) | 110,241 | |||
Net increase (decrease) in net assets resulting from operations | (3,465,677) | 2,470,602 | (729,702) | 807,112 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (931,475) | (1,101,754) | (264,000) | (697,650) | |||
Return of capital | — | (105,072) | — | — | |||
Total distributions to shareholders | (931,475) | (1,206,826) | (264,000) | (697,650) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 83,461,084 | 76,025,129 | 16,142,375 | 81,703,675 | |||
Cost of shares redeemed | (2,050,332) | (9,324,497) | (10,043,143) | — | |||
Net increase (decrease) in net assets resulting from shareholder transactions | 81,410,752 | 66,700,632 | 6,099,232 | 81,703,675 | |||
Total increase (decrease) in net assets | 77,013,600 | 67,964,408 | 5,105,530 | 81,813,137 | |||
NET ASSETS: | |||||||
Beginning of period | 129,931,181 | 61,966,773 | 165,474,197 | 83,661,060 | |||
End of period | $206,944,781 | $129,931,181 | $170,579,727 | $165,474,197 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 6,200,002 | 3,000,002 | 8,200,002 | 4,150,002 | |||
Shares sold | 4,000,000 | 3,650,000 | 800,000 | 4,050,000 | |||
Shares redeemed | (100,000) | (450,000) | (500,000) | — | |||
Shares outstanding, end of period | 10,100,002 | 6,200,002 | 8,500,002 | 8,200,002 |
Six Months Ended 1/31/2022 (Unaudited) | Year Ended July 31, | Period Ended 7/31/2019 (a) | ||||||
2021 | 2020 | |||||||
Net asset value, beginning of period | $ 20.96 | $ 20.66 | $ 20.48 | $ 20.00 | ||||
Income from investment operations: | ||||||||
Net investment income (loss) | 0.10 | 0.27 | 0.38 | 0.34 | ||||
Net realized and unrealized gain (loss) | (0.46) | 0.33 | 0.22 | 0.45 | ||||
Total from investment operations | (0.36) | 0.60 | 0.60 | 0.79 | ||||
Distributions paid to shareholders from: | ||||||||
Net investment income | (0.11) | (0.27) | (0.41) | (0.31) | ||||
Return of capital | — | (0.03) | (0.01) | — | ||||
Total distributions | (0.11) | (0.30) | (0.42) | (0.31) | ||||
Net asset value, end of period | $20.49 | $20.96 | $20.66 | $20.48 | ||||
Total return (b) | (1.72)% | 2.92% | 2.98% | 3.98% | ||||
Ratios to average net assets/supplemental data: | ||||||||
Net assets, end of period (in 000’s) | $ 206,945 | $ 129,931 | $ 61,967 | $ 19,454 | ||||
Ratio of total expenses to average net assets | 0.55% (c) | 0.55% | 0.55% | 0.55% (c) | ||||
Ratio of net expenses to average net assets | 0.35% (c) | 0.43% | 0.45% | 0.45% (c) | ||||
Ratio of net investment income (loss) to average net assets | 1.06% (c) | 1.33% | 2.00% | 2.23% (c) | ||||
Portfolio turnover rate (d) | 10% | 16% | 58% | 66% |
(a) | Inception date is November 1, 2018, which is consistent with the commencement of operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total return would have been lower if certain fees had not been waived by the investment advisor. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Six Months Ended 1/31/2022 (Unaudited) | Year Ended July 31, | Period Ended 7/31/2019 (a) | ||||||
2021 | 2020 | |||||||
Net asset value, beginning of period | $ 20.18 | $ 20.16 | $ 20.10 | $ 20.00 | ||||
Income from investment operations: | ||||||||
Net investment income (loss) | 0.03 | 0.12 | 0.25 | 0.26 | ||||
Net realized and unrealized gain (loss) | (0.11) | 0.02 | 0.07 | 0.09 | ||||
Total from investment operations | (0.08) | 0.14 | 0.32 | 0.35 | ||||
Distributions paid to shareholders from: | ||||||||
Net investment income | (0.03) | (0.12) | (0.26) | (0.25) | ||||
Net realized gain | — | — | (0.00) (b) | — | ||||
Return of capital | — | — | (0.00) (b) | — | ||||
Total distributions | (0.03) | (0.12) | (0.26) | (0.25) | ||||
Net asset value, end of period | $20.07 | $20.18 | $20.16 | $20.10 | ||||
Total return (c) | (0.40)% | 0.72% | 1.61% | 1.75% | ||||
Ratios to average net assets/supplemental data: | ||||||||
Net assets, end of period (in 000’s) | $ 170,580 | $ 165,474 | $ 83,661 | $ 20,098 | ||||
Ratio of total expenses to average net assets | 0.45% (d) | 0.45% | 0.45% | 0.45% (d) | ||||
Ratio of net expenses to average net assets | 0.25% (d) | 0.26% | 0.35% | 0.35% (d) | ||||
Ratio of net investment income (loss) to average net assets | 0.30% (d) | 0.61% | 1.20% | 1.73% (d) | ||||
Portfolio turnover rate (e) | 25% | 44% | 149% | 145% |
(a) | Inception date is November 1, 2018, which is consistent with the commencement of operations and is the date the initial creation units were established. |
(b) | Amount is less than $0.01. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total return would have been lower if certain fees had not been waived by the investment advisor. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer; |
5) | the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; and |
10) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from Tax-Exempt Income | Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | ||||
First Trust Short Duration Managed Municipal ETF | $ 1,095,234 | $ 6,250 | $ — | $ 105,072 | |||
First Trust Ultra Short Duration Municipal ETF | 671,972 | 25,678 | — | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust Short Duration Managed Municipal ETF | $ — | $ (237,751) | $ 2,725,275 | ||
First Trust Ultra Short Duration Municipal ETF | 40,935 | (22,670) | 519,268 |
Non-Expiring Capital Loss Carryforward | |
First Trust Short Duration Managed Municipal ETF | $ 237,751 |
First Trust Ultra Short Duration Municipal ETF | 22,670 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
First Trust Short Duration Managed Municipal ETF | $ 200,460,561 | $ 885,604 | $ (2,574,405) | $ (1,688,801) | |||
First Trust Ultra Short Duration Municipal ETF | 171,752,693 | 109,573 | (571,424) | (461,851) |
Purchases | Sales | ||
First Trust Short Duration Managed Municipal ETF | $ 97,476,145 | $ 16,746,309 | |
First Trust Ultra Short Duration Municipal ETF | 60,035,768 | 35,731,549 | |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value | |||||
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | $ 35,485 | Unrealized depreciation on futures contracts* | $ 2,661 |
Statements of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $(56,004) |
Net change in unrealized appreciation (depreciation) on futures contracts | 140,668 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Six Months Ended
January 31, 2022
1 | |
2 | |
4 | |
5 | |
6 | |
8 | |
9 | |
10 | |
11 | |
12 | |
18 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/22 | 1 Year Ended 1/31/22 | Inception (2/4/20) to 1/31/22 | Inception (2/4/20) to 1/31/22 | |
Fund Performance | ||||
NAV | 1.07% | 1.07% | -0.63% | -1.25% |
Market Price | 1.07% | 0.97% | -0.66% | -1.30% |
Index Performance | ||||
Hedge Fund Research Merger Arbitrage Index | 0.65% | 0.90% | 3.63% | 7.35% |
S&P 500® Index | 3.44% | 23.29% | 19.02% | 41.40% |
Portfolio Sector Allocation | % of Total Investments - Long Positions |
Financials | 34.0% |
Information Technology | 32.9 |
Industrials | 14.8 |
Real Estate | 9.6 |
Consumer Staples | 4.4 |
Health Care | 3.1 |
Materials | 1.2 |
Total | 100.0% |
Portfolio Sector Allocation | % of Total Investments Sold Short |
Financials | 70.2% |
Information Technology | 20.1 |
Real Estate | 8.6 |
Health Care | 1.1 |
Total | 100.0% |
Top Ten Investments - Long Positions | % of Net Assets |
Xilinx, Inc. | 8.8% |
IHS Markit Ltd. | 7.7 |
Flagstar Bancorp, Inc. | 6.8 |
Nuance Communications, Inc. | 6.3 |
Investors Bancorp, Inc. | 5.8 |
Sterling Bancorp | 5.7 |
CyrusOne, Inc. | 4.2 |
MGM Growth Properties LLC, Class A | 4.1 |
People’s United Financial, Inc. | 3.9 |
Sanderson Farms, Inc. | 3.8 |
Total | 57.1% |
Top Ten Investments Sold Short | % of Net Assets |
Advanced Micro Devices, Inc. | -9.0% |
S&P Global, Inc. | -7.8 |
New York Community Bancorp, Inc. | -7.1 |
Webster Financial Corp. | -5.7 |
Citizens Financial Group, Inc. | -5.4 |
VICI Properties, Inc. | -4.1 |
M&T Bank Corp. | -4.0 |
First Interstate BancSystem, Inc., Class A | -1.6 |
Raymond James Financial, Inc. | -1.6 |
Entegris, Inc. | -0.6 |
Total | -46.9% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the 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 August 1, 2021 | Ending Account Value January 31, 2022 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Merger Arbitrage ETF (MARB) | ||||
Actual | $1,000.00 | $1,010.70 | 2.29% | $11.61 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,013.66 | 2.29% | $11.62 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (August 1, 2021 through January 31, 2022), multiplied by 184/365 (to reflect the six-month period). |
Shares | Description | Value | ||
COMMON STOCKS – 78.3% | ||||
Aerospace & Defense – 5.1% | ||||
2,101 | Aerojet Rocketdyne Holdings, Inc. (a) | $81,077 | ||
11,878 | PAE, Inc. (a) (b) | 118,899 | ||
199,976 | ||||
Banks – 19.0% | ||||
2,096 | Great Western Bancorp, Inc. (a) | 64,725 | ||
13,991 | Investors Bancorp, Inc. (a) | 228,333 | ||
8,000 | People’s United Financial, Inc. (a) | 155,040 | ||
8,602 | Sterling Bancorp (a) | 226,147 | ||
2,438 | TriState Capital Holdings, Inc. (a) (b) | 77,016 | ||
751,261 | ||||
Chemicals – 1.1% | ||||
1,914 | Ferro Corp. (a) (b) | 41,725 | ||
Electronic Equipment, Instruments & Components – 2.0% | ||||
288 | Rogers Corp. (a) (b) | 78,610 | ||
Food Products – 3.8% | ||||
812 | Sanderson Farms, Inc. (a) | 149,408 | ||
Health Care Equipment & Supplies – 0.8% | ||||
1,930 | Ortho Clinical Diagnostics Holdings PLC (b) | 33,505 | ||
Health Care Technology – 1.9% | ||||
3,746 | Change Healthcare, Inc. (a) (b) | 73,721 | ||
Insurance – 3.6% | ||||
2,744 | State Auto Financial Corp. (a) | 141,865 | ||
Professional Services – 7.7% | ||||
2,618 | IHS Markit Ltd. (a) | 305,756 | ||
Semiconductors & Semiconductor Equipment – 13.3% | ||||
417 | CMC Materials, Inc. (a) | 75,427 | ||
6,529 | NeoPhotonics Corp. (a) (b) | 100,285 | ||
1,798 | Xilinx, Inc. (a) | 348,003 | ||
523,715 | ||||
Software – 13.2% | ||||
2,090 | Bottomline Technologies DE, Inc. (a) (b) | 117,855 | ||
3,056 | McAfee Corp., Class A (a) | 78,386 | ||
497 | Mimecast Ltd. (b) | 39,616 | ||
4,494 | Nuance Communications, Inc. (a) (b) | 248,294 |
Shares | Description | Value | ||
Software (Continued) | ||||
1,891 | Vonage Holdings Corp. (b) | $39,408 | ||
523,559 | ||||
Thrifts & Mortgage Finance – 6.8% | ||||
5,982 | Flagstar Bancorp, Inc. (a) | 270,686 | ||
Total Common Stocks | 3,093,787 | |||
(Cost $2,976,750) | ||||
REAL ESTATE INVESTMENT TRUSTS – 8.2% | ||||
Equity Real Estate Investment Trusts – 8.2% | ||||
1,850 | CyrusOne, Inc. | 166,222 | ||
4,118 | MGM Growth Properties LLC, Class A (a) | 160,108 | ||
Total Real Estate Investment Trusts | 326,330 | |||
(Cost $329,983) | ||||
Total Investments – 86.5% | 3,420,117 | |||
(Cost $3,306,733) | ||||
COMMON STOCKS SOLD SHORT – (43.4)% | ||||
Banks – (16.8)% | ||||
(4,155) | Citizens Financial Group, Inc. | (213,858) | ||
(1,766) | First Interstate BancSystem, Inc., Class A | (64,900) | ||
(944) | M&T Bank Corp. | (159,895) | ||
(3,983) | Webster Financial Corp. | (226,274) | ||
(664,927) | ||||
Capital Markets – (9.5)% | ||||
(609) | Raymond James Financial, Inc. | (64,475) | ||
(743) | S&P Global, Inc. | (308,508) | ||
(372,983) | ||||
Health Care Equipment & Supplies – (0.5)% | ||||
(204) | Quidel Corp. (b) | (21,086) | ||
Semiconductors & Semiconductor Equipment – (9.5)% | ||||
(3,099) | Advanced Micro Devices, Inc. (b) | (354,061) | ||
(188) | Entegris, Inc. | (22,530) | ||
(376,591) | ||||
Thrifts & Mortgage Finance – (7.1)% | ||||
(24,017) | New York Community Bancorp, Inc. | (280,038) | ||
Total Common Stocks Sold Short | (1,715,625) | |||
(Proceeds $1,577,302) |
Shares | Description | Value | ||
REAL ESTATE INVESTMENT TRUSTS SOLD SHORT – (4.1)% | ||||
Equity Real Estate Investment Trusts – (4.1)% | ||||
(5,626) | VICI Properties, Inc. | $(161,016) | ||
(Proceeds $168,920) | ||||
Total Investments Sold Short – (47.5)% | (1,876,641) | |||
(Proceeds $1,746,222) | ||||
Net Other Assets and Liabilities – 61.0% | 2,409,408 | |||
Net Assets – 100.0% | $3,952,884 |
(a) | This security or a portion of this security is segregated as collateral for investments sold short. |
(b) | Non-income producing security. |
ASSETS TABLE | ||||
Total Value at 1/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 3,093,787 | $ 3,093,787 | $ — | $ — |
Real Estate Investment Trusts* | 326,330 | 326,330 | — | — |
Total Investments | $ 3,420,117 | $ 3,420,117 | $— | $— |
LIABILITIES TABLE | ||||
Total Value at 1/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks Sold Short* | $ (1,715,625) | $ (1,715,625) | $ — | $ — |
Real Estate Investment Trusts Sold Short* | (161,016) | (161,016) | — | — |
Total Investments | $ (1,876,641) | $ (1,876,641) | $— | $— |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value (Cost $3,306,733) | $ 3,420,117 |
Cash | 192,581 |
Restricted Cash | 2,222,253 |
Dividends receivable | 2,943 |
Total Assets | 5,837,894 |
LIABILITIES: | |
Investments sold short, at value (proceeds $1,746,222) | 1,876,641 |
Payables: | |
Investment advisory fees | 4,572 |
Dividends on investments sold short | 3,214 |
Margin interest expense | 583 |
Total Liabilities | 1,885,010 |
NET ASSETS | $3,952,884 |
NET ASSETS consist of: | |
Paid-in capital | $ 4,428,700 |
Par value | 2,000 |
Accumulated distributable earnings (loss) | (477,816) |
NET ASSETS | $3,952,884 |
NET ASSET VALUE, per share | $19.76 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 200,002 |
INVESTMENT INCOME: | ||
Dividends | $ 30,689 | |
Interest | 20 | |
Other | 247 | |
Total investment income | 30,956 | |
EXPENSES: | ||
Investment advisory fees | 49,764 | |
Dividend expense on investments sold short | 36,730 | |
Margin interest expense | 4,864 | |
Total expenses | 91,358 | |
NET INVESTMENT INCOME (LOSS) | (60,402) | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (61,198) | |
In-kind redemptions | (47,435) | |
Investments sold short | 59,765 | |
Net realized gain (loss) | (48,868) | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 119,380 | |
Investments sold short | 64,297 | |
Net change in unrealized appreciation (depreciation) | 183,677 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 134,809 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 74,407 |
Six Months Ended 1/31/2022 (Unaudited) | Year Ended 7/31/2021 | ||
OPERATIONS: | |||
Net investment income (loss) | $ (60,402) | $ (143,975) | |
Net realized gain (loss) | (48,868) | 414,482 | |
Net change in unrealized appreciation (depreciation) | 183,677 | (174,442) | |
Net increase (decrease) in net assets resulting from operations | 74,407 | 96,065 | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | — | 21,654,151 | |
Cost of shares redeemed | (6,873,954) | (23,646,537) | |
Net increase (decrease) in net assets resulting from shareholder transactions | (6,873,954) | (1,992,386) | |
Total increase (decrease) in net assets | (6,799,547) | (1,896,321) | |
NET ASSETS: | |||
Beginning of period | 10,752,431 | 12,648,752 | |
End of period | $3,952,884 | $10,752,431 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 550,002 | 650,002 | |
Shares sold | — | 1,100,000 | |
Shares redeemed | (350,000) | (1,200,000) | |
Shares outstanding, end of period | 200,002 | 550,002 |
Six Months Ended 1/31/2022 (Unaudited) | Year Ended 7/31/2021 | Period Ended 7/31/2020 (a) | |||
Net asset value, beginning of period | $ 19.55 | $ 19.46 | $ 20.01 | ||
Income from investment operations: | |||||
Net investment income (loss) | (0.45) | (0.26) | (0.07) | ||
Net realized and unrealized gain (loss) | 0.66 | 0.35 | (0.48) | ||
Total from investment operations | 0.21 | 0.09 | (0.55) | ||
Net asset value, end of period | $19.76 | $19.55 | $19.46 | ||
Total return (b) | 1.07% | 0.46% | (2.75)% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 3,953 | $ 10,752 | $ 12,649 | ||
Ratio of total expenses to average net assets | 2.29% (c) | 2.23% | 2.30% (c) | ||
Ratio of total expenses to average net assets excluding dividend expense and margin interest expense | 1.25% (c) | 1.25% | 1.25% (c) | ||
Ratio of net investment income (loss) to average net assets | (1.52)% (c) | (1.15)% | (1.71)% (c) | ||
Portfolio turnover rate (d) | 256% | 280% | 137% |
(a) | Inception date is February 4, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
• | 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. |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (349,814) |
Net unrealized appreciation (depreciation) | (202,409) |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$1,560,511 | $244,877 | $(261,912) | $(17,035) |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
• | The Board considered the nature, extent and quality of the services provided by the Sub-Advisor and that the Sub-Advisor actively manages the Fund’s investments. In considering the Sub-Advisor’s management of the Fund, the Board noted the background and experience of the Sub-Advisor’s portfolio management team, including the Board’s prior meetings with members of the portfolio management team. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Fund by the Sub-Advisor were satisfactory and that the Sub-Advisor, under the oversight of the Advisor, has managed the Fund consistent with the Fund’s investment objective, policies and restrictions. |
• | The Board noted that the sub-advisory fee for the Fund is paid by the Advisor from the unitary fee payable under the Fund’s investment advisory agreement. The Board received and reviewed information showing the sub-advisory fee rate for the Fund as compared to fees charged to other clients of the Sub-Advisor. |
• | The Board considered performance information for the Fund. The Board noted the process that it has established for monitoring the Fund’s performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting |
from the Sub-Advisor for the Fund. The Board determined that this process continues to be effective for reviewing the Fund’s performance. Because the Fund commenced operations on February 4, 2020 and therefore had a limited performance history, comparative performance information for the Fund was not considered. | |
• | The Board considered the Sub-Advisor’s statement that it believes that the sub-advisory fee is appropriate based on expected economies of scale. The Board noted the Sub-Advisor’s statements that the majority of its expenses are fixed and are shared and allocated across various funds advised or sub-advised by the Sub-Advisor and that it has added additional personnel over the past year. The Board did not review the profitability of the Sub-Advisor with respect to the Fund. The Board noted that the Advisor pays the Sub-Advisor for the Fund from its unitary fee and its understanding that the Fund’s sub-advisory fee rate was the product of an arm’s length negotiation. The Board considered the potential fall-out benefits to the Sub-Advisor from being associated with the Advisor and the Fund, and noted the Sub-Advisor’s statement that, although it benefits from the name recognition associated with its role as sub-advisor to the Fund, it has not received and does not anticipate receiving any reduction in fees incurred for research or other services as a result of its management of the Fund. The Board also noted the Sub-Advisor’s statement that the Sub-Advisor does not intend to use soft dollars in connection with the Fund. The Board concluded that the character and amount of potential fall-out benefits to the Sub-Advisor were not unreasonable. |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
(b) | Not applicable. |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
(a) | Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period are included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)),or this Item.
Item 11. Controls and Procedures.
(a) | The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). |
(b) | There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Exchange-Traded Fund III |
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | April 5, 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: | April 5, 2022 |
By (Signature and Title)* | /s/ Donald P. Swade | |
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | April 5, 2022 |
* Print the name and title of each signing officer under his or her signature.