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: July 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.
The registrant’s 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 Year Ended
July 31, 2022
2 | |
Fund Performance Overview | |
3 | |
5 | |
7 | |
9 | |
10 | |
15 | |
Portfolio of Investments | |
16 | |
18 | |
22 | |
26 | |
27 | |
28 | |
30 | |
33 | |
40 | |
41 | |
48 | |
50 |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 7/31/22 | 5 Years Ended 7/31/22 | Inception (8/24/16) to 7/31/22 | 5 Years Ended 7/31/22 | Inception (8/24/16) to 7/31/22 | ||
Fund Performance | ||||||
NAV | 1.82% | 10.11% | 10.46% | 61.88% | 80.51% | |
Market Price | 1.82% | 10.09% | 10.46% | 61.73% | 80.51% | |
Index Performance | ||||||
S&P 500® Index | -4.64% | 12.83% | 13.46% | 82.85% | 111.56% |
Sector Allocation | % of Total Investments |
Consumer Staples | 16.4% |
Information Technology | 15.1 |
Utilities | 15.1 |
Health Care | 13.9 |
Industrials | 12.4 |
Financials | 11.7 |
Real Estate | 5.4 |
Consumer Discretionary | 4.8 |
Materials | 2.8 |
Communication Services | 1.4 |
Energy | 1.0 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Jack Henry & Associates, Inc. | 2.9% |
Automatic Data Processing, Inc. | 2.9 |
McDonald’s Corp. | 2.7 |
PepsiCo, Inc. | 2.5 |
Teledyne Technologies, Inc. | 2.5 |
Hershey (The) Co. | 2.5 |
International Business Machines Corp. | 2.5 |
Coca-Cola (The) Co. | 2.5 |
Johnson & Johnson | 2.5 |
Paychex, Inc. | 2.4 |
Total | 25.9% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 7/31/22 | 5 Years Ended 7/31/22 | Inception (8/24/16) to 7/31/22 | 5 Years Ended 7/31/22 | Inception (8/24/16) to 7/31/22 | ||
Fund Performance | ||||||
NAV | -8.50% | 0.01% | 2.04% | 0.03% | 12.71% | |
Market Price | -8.67% | -0.08% | 2.02% | -0.39% | 12.60% | |
Index Performance | ||||||
MSCI EAFE Index | -14.32% | 2.61% | 4.80% | 13.78% | 32.10% |
Sector Allocation | % of Total Investments |
Financials | 17.3% |
Real Estate | 15.1 |
Industrials | 14.6 |
Communication Services | 13.2 |
Consumer Staples | 12.6 |
Utilities | 11.9 |
Health Care | 5.8 |
Consumer Discretionary | 4.9 |
Information Technology | 2.9 |
Materials | 1.4 |
Energy | 0.3 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Ascendas Real Estate Investment Trust | 2.2% |
Singapore Technologies Engineering Ltd. | 2.0 |
UOL Group Ltd. | 2.0 |
MTR Corp., Ltd. | 2.0 |
McDonald’s Holdings Co., Japan Ltd. | 1.9 |
Power Assets Holdings Ltd. | 1.9 |
Swisscom AG | 1.8 |
CLP Holdings, Ltd. | 1.8 |
Link REIT | 1.7 |
Singapore Exchange Ltd. | 1.7 |
Total | 19.0% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 7/31/22 | Inception (4/6/20) to 7/31/22 | Inception (4/6/20) to 7/31/22 | |
Fund Performance | |||
NAV | -2.11% | 20.93% | 55.33% |
Market Price | -2.11% | 20.91% | 55.28% |
Index Performance | |||
S&P 1000® Index | -5.86% | 29.66% | 82.58% |
Sector Allocation | % of Total Investments |
Industrials | 21.6% |
Financials | 18.6 |
Real Estate | 16.7 |
Utilities | 9.6 |
Information Technology | 8.2 |
Health Care | 6.3 |
Consumer Discretionary | 6.2 |
Consumer Staples | 5.9 |
Materials | 5.6 |
Communication Services | 1.3 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Hubbell, Inc. | 0.7% |
Encore Capital Group, Inc. | 0.7 |
UniFirst Corp. | 0.7 |
Sonoco Products Co. | 0.7 |
California Water Service Group | 0.7 |
Essential Utilities, Inc. | 0.7 |
Medical Properties Trust, Inc. | 0.7 |
American States Water Co. | 0.6 |
RPM International, Inc. | 0.6 |
Woodward, Inc. | 0.6 |
Total | 6.7% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Beginning Account Value February 1, 2022 | Ending Account Value July 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 | $981.90 | 0.70% | $3.44 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.32 | 0.70% | $3.51 |
First Trust Horizon Managed Volatility Developed International ETF (HDMV) | ||||
Actual | $1,000.00 | $934.60 | 0.80% | $3.84 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.83 | 0.80% | $4.01 |
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | ||||
Actual | $1,000.00 | $987.90 | 0.80% | $3.94 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.83 | 0.80% | $4.01 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (February 1, 2022 through July 31, 2022), multiplied by 181/365 (to reflect the six-month period). |
Shares | Description | Value | ||
COMMON STOCKS – 94.4% | ||||
Aerospace & Defense – 4.1% | ||||
9,192 | General Dynamics Corp. | $2,083,551 | ||
2,326 | Lockheed Martin Corp. | 962,522 | ||
11,459 | Raytheon Technologies Corp. | 1,068,093 | ||
4,114,166 | ||||
Beverages – 5.0% | ||||
38,236 | Coca-Cola (The) Co. | 2,453,604 | ||
14,464 | PepsiCo, Inc. | 2,530,622 | ||
4,984,226 | ||||
Biotechnology – 5.1% | ||||
7,180 | AbbVie, Inc. | 1,030,402 | ||
7,073 | Amgen, Inc. | 1,750,355 | ||
37,832 | Gilead Sciences, Inc. | 2,260,462 | ||
5,041,219 | ||||
Capital Markets – 2.1% | ||||
1,832 | FactSet Research Systems, Inc. | 787,174 | ||
7,066 | Nasdaq, Inc. | 1,278,239 | ||
2,065,413 | ||||
Chemicals – 1.0% | ||||
3,932 | Air Products and Chemicals, Inc. | 976,040 | ||
Commercial Services & Supplies – 1.9% | ||||
13,958 | Republic Services, Inc. | 1,935,416 | ||
Communications Equipment – 1.9% | ||||
41,298 | Cisco Systems, Inc. | 1,873,690 | ||
Containers & Packaging – 1.8% | ||||
21,878 | International Paper Co. | 935,722 | ||
6,216 | Packaging Corp. of America | 874,032 | ||
1,809,754 | ||||
Distributors – 0.8% | ||||
5,279 | Genuine Parts Co. | 807,001 | ||
Diversified Financial Services – 2.1% | ||||
7,042 | Berkshire Hathaway, Inc., Class B (a) | 2,116,825 | ||
Diversified Telecommunication Services – 1.4% | ||||
30,202 | Verizon Communications, Inc. | 1,395,030 | ||
Electric Utilities – 7.5% | ||||
9,664 | American Electric Power Co., Inc. | 952,484 | ||
13,491 | Duke Energy Corp. | 1,483,066 | ||
4,789 | Edison International | 324,550 | ||
12,610 | Evergy, Inc. | 860,759 | ||
3,560 | Eversource Energy | 314,063 | ||
11,806 | Exelon Corp. | 548,861 |
Shares | Description | Value | ||
Electric Utilities (Continued) | ||||
15,152 | FirstEnergy Corp. | $622,747 | ||
24,875 | PPL Corp. | 723,365 | ||
9,442 | Southern (The) Co. | 725,995 | ||
12,261 | Xcel Energy, Inc. | 897,260 | ||
7,453,150 | ||||
Electrical Equipment – 2.0% | ||||
7,736 | AMETEK, Inc. | 955,396 | ||
11,964 | Emerson Electric Co. | 1,077,598 | ||
2,032,994 | ||||
Electronic Equipment, Instruments & Components – 2.5% | ||||
6,375 | Teledyne Technologies, Inc. (a) | 2,495,175 | ||
Food & Staples Retailing – 2.0% | ||||
15,023 | Walmart, Inc. | 1,983,787 | ||
Food Products – 6.0% | ||||
26,778 | General Mills, Inc. | 2,002,726 | ||
10,930 | Hershey (The) Co. | 2,491,603 | ||
23,494 | Mondelez International, Inc., Class A | 1,504,556 | ||
5,998,885 | ||||
Gas Utilities – 0.5% | ||||
3,678 | Atmos Energy Corp. | 446,472 | ||
Health Care Equipment & Supplies – 1.9% | ||||
14,862 | Baxter International, Inc. | 871,805 | ||
4,166 | Becton Dickinson and Co. | 1,017,795 | ||
1,889,600 | ||||
Health Care Providers & Services – 2.3% | ||||
8,800 | AmerisourceBergen Corp. | 1,284,184 | ||
1,762 | UnitedHealth Group, Inc. | 955,603 | ||
2,239,787 | ||||
Hotels, Restaurants & Leisure – 4.0% | ||||
10,005 | McDonald’s Corp. | 2,635,017 | ||
10,758 | Yum! Brands, Inc. | 1,318,285 | ||
3,953,302 | ||||
Household Products – 1.7% | ||||
12,078 | Procter & Gamble (The) Co. | 1,677,755 | ||
Industrial Conglomerates – 1.9% | ||||
6,733 | 3M Co. | 964,435 | ||
4,871 | Honeywell International, Inc. | 937,473 | ||
1,901,908 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Insurance – 7.5% | ||||
13,617 | Aflac, Inc. | $780,254 | ||
9,032 | Assurant, Inc. | 1,587,645 | ||
5,328 | Chubb Ltd. | 1,005,074 | ||
13,479 | Loews Corp. | 785,152 | ||
7,809 | Marsh & McLennan Cos., Inc. | 1,280,363 | ||
6,284 | Travelers (The) Cos., Inc. | 997,271 | ||
17,088 | W.R. Berkley Corp. | 1,068,513 | ||
7,504,272 | ||||
IT Services – 10.7% | ||||
11,792 | Automatic Data Processing, Inc. | 2,843,287 | ||
18,859 | International Business Machines Corp. | 2,466,569 | ||
14,008 | Jack Henry & Associates, Inc. | 2,910,442 | ||
18,969 | Paychex, Inc. | 2,433,343 | ||
10,653,641 | ||||
Machinery – 1.4% | ||||
6,888 | Illinois Tool Works, Inc. | 1,431,051 | ||
Multi-Utilities – 7.1% | ||||
7,237 | Ameren Corp. | 673,910 | ||
15,231 | CenterPoint Energy, Inc. | 482,670 | ||
13,041 | CMS Energy Corp. | 896,308 | ||
10,015 | Consolidated Edison, Inc. | 994,189 | ||
3,157 | Dominion Energy, Inc. | 258,811 | ||
12,886 | DTE Energy Co. | 1,679,046 | ||
18,111 | NiSource, Inc. | 550,574 | ||
11,012 | Public Service Enterprise Group, Inc. | 723,158 | ||
7,912 | WEC Energy Group, Inc. | 821,345 | ||
7,080,011 | ||||
Oil, Gas & Consumable Fuels – 1.0% | ||||
29,721 | Williams (The) Cos., Inc. | 1,013,189 | ||
Pharmaceuticals – 4.6% | ||||
29,439 | Bristol-Myers Squibb Co. | 2,172,010 | ||
14,000 | Johnson & Johnson | 2,443,280 | ||
4,615,290 | ||||
Road & Rail – 1.0% | ||||
4,142 | Union Pacific Corp. | 941,477 | ||
Tobacco – 1.6% | ||||
37,316 | Altria Group, Inc. | 1,636,680 | ||
Total Common Stocks | 94,067,206 | |||
(Cost $89,957,523) | ||||
REAL ESTATE INVESTMENT TRUSTS – 5.3% | ||||
Equity Real Estate Investment Trusts – 5.3% | ||||
5,458 | AvalonBay Communities, Inc. | 1,167,684 | ||
13,948 | Equity Residential | 1,093,384 | ||
32,348 | Healthpeak Properties, Inc. | 893,775 |
Shares | Description | Value | ||
Equity Real Estate Investment Trusts (Continued) | ||||
29,437 | Realty Income Corp. | $2,178,044 | ||
Total Real Estate Investment Trusts | 5,332,887 | |||
(Cost $5,310,989) | ||||
Total Investments – 99.7% | 99,400,093 | |||
(Cost $95,268,512) | ||||
Net Other Assets and Liabilities – 0.3% | 264,488 | |||
Net Assets – 100.0% | $99,664,581 |
(a) | Non-income producing security. |
Total Value at 7/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 94,067,206 | $ 94,067,206 | $ — | $ — |
Real Estate Investment Trusts* | 5,332,887 | 5,332,887 | — | — |
Total Investments | $ 99,400,093 | $ 99,400,093 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
COMMON STOCKS (a) – 91.2% | ||||
Australia – 6.2% | ||||
4,057 | ASX Ltd. (b) | $252,162 | ||
77,874 | Aurizon Holdings Ltd. (b) | 220,407 | ||
16,874 | Australia & New Zealand Banking Group Ltd. (b) | 272,705 | ||
26,447 | Brambles Ltd. (b) | 212,864 | ||
23,823 | Coles Group Ltd. (b) | 313,757 | ||
108,660 | Medibank Pvt Ltd. (b) | 261,277 | ||
7,100 | National Australia Bank Ltd. (b) | 153,335 | ||
15,968 | Suncorp Group Ltd. (b) | 126,104 | ||
131,487 | Telstra Corp., Ltd. (b) | 359,355 | ||
6,363 | Wesfarmers Ltd. (b) | 208,487 | ||
15,071 | Westpac Banking Corp. (b) | 228,222 | ||
8,318 | Woolworths Group Ltd. (b) | 218,839 | ||
2,827,514 | ||||
Belgium – 1.0% | ||||
4,687 | Etablissements Franz Colruyt N.V. (b) | 129,591 | ||
1,927 | Groupe Bruxelles Lambert S.A. (b) | 170,569 | ||
2,039 | UCB S.A. (b) | 159,325 | ||
459,485 | ||||
Bermuda – 0.6% | ||||
44,255 | CK Infrastructure Holdings Ltd. (b) | 277,513 | ||
Cayman Islands – 1.2% | ||||
34,400 | CK Asset Holdings Ltd. (b) | 243,543 | ||
43,558 | CK Hutchison Holdings Ltd. (b) | 288,932 | ||
532,475 | ||||
Denmark – 0.7% | ||||
2,333 | Novozymes A.S., Class B (b) | 149,033 | ||
6,704 | Tryg A.S. (b) | 152,860 | ||
301,893 | ||||
France – 5.4% | ||||
1,763 | Air Liquide S.A. (b) | 242,382 | ||
7,625 | Bouygues S.A. (b) | 230,502 | ||
7,030 | Bureau Veritas S.A. (b) | 193,892 | ||
12,368 | Getlink SE (b) | 247,537 | ||
4,590 | La Francaise des Jeux SAEM (b) (c) (d) | 163,946 | ||
1,391 | Legrand S.A. (b) | 113,879 | ||
55,813 | Orange S.A. (b) | 570,322 | ||
664 | Pernod Ricard S.A. (b) | 130,439 | ||
1,820 | Sanofi (b) | 180,860 | ||
1,481 | SEB S.A. (b) | 124,686 | ||
985 | Thales S.A. (b) | 122,494 | ||
18,390 | Vivendi SE (b) | 174,582 | ||
2,495,521 | ||||
Germany – 4.2% | ||||
2,161 | Bayer AG (b) | 126,052 |
Shares | Description | Value | ||
Germany (Continued) | ||||
2,223 | Beiersdorf AG (b) | $229,246 | ||
1,166 | Deutsche Boerse AG (b) | 203,543 | ||
12,400 | Deutsche Telekom AG (b) | 235,587 | ||
21,156 | E.ON SE (b) | 190,174 | ||
2,535 | Fresenius Medical Care AG & Co., KGaA (b) | 93,981 | ||
2,910 | Henkel AG & Co., KGaA (b) | 183,490 | ||
1,625 | LEG Immobilien SE (b) | 147,624 | ||
1,440 | SAP SE (b) | 134,313 | ||
1,926 | Symrise AG (b) | 224,736 | ||
61,205 | Telefonica Deutschland Holding AG (b) | 162,722 | ||
1,931,468 | ||||
Hong Kong – 8.7% | ||||
94,827 | CLP Holdings, Ltd. (b) | 804,092 | ||
19,859 | Hang Seng Bank Ltd. (b) | 320,338 | ||
174,504 | Hong Kong & China Gas Co., Ltd. (b) | 184,299 | ||
168,917 | MTR Corp., Ltd. (b) | 894,501 | ||
68,800 | New World Development Co., Ltd. (b) | 230,060 | ||
132,370 | Power Assets Holdings Ltd. (b) | 866,725 | ||
176,000 | Sino Land Co., Ltd. (b) | 261,508 | ||
34,800 | Sun Hung Kai Properties Ltd. (b) | 415,413 | ||
3,976,936 | ||||
Ireland – 0.6% | ||||
2,497 | Kerry Group PLC, Class A (b) | 263,561 | ||
Israel – 0.5% | ||||
1,783 | Check Point Software Technologies Ltd. (e) | 222,162 | ||
Italy – 1.9% | ||||
7,107 | Assicurazioni Generali S.p.A. (b) | 106,247 | ||
20,463 | Infrastrutture Wireless Italiane S.p.A. (b) (c) (d) | 215,033 | ||
70,612 | Snam S.p.A. (b) | 354,299 | ||
25,983 | Terna-Rete Elettrica Nazionale S.p.A. (b) | 198,921 | ||
874,500 | ||||
Japan – 25.8% | ||||
4,700 | Aeon Co., Ltd. (b) | 94,785 | ||
4,500 | Ajinomoto Co., Inc. (b) | 118,422 | ||
5,400 | Canon, Inc. (b) | 127,752 | ||
19,600 | Chubu Electric Power Co., Inc. (b) | 209,081 | ||
4,900 | Dai Nippon Printing Co., Ltd. (b) | 108,130 | ||
4,100 | Daiwa House Industry Co., Ltd. (b) | 101,303 | ||
27,300 | Daiwa Securities Group, Inc. (b) | 126,023 | ||
32,400 | ENEOS Holdings, Inc. (b) | 125,336 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Japan (Continued) | ||||
4,800 | Hankyu Hanshin Holdings, Inc. (b) | $139,232 | ||
4,200 | Hoshizaki Corp. (b) | 125,294 | ||
3,800 | ITOCHU Corp. (b) | 110,617 | ||
21,400 | Japan Post Bank Co., Ltd. (b) | 171,193 | ||
39,900 | Japan Post Holdings Co., Ltd. (b) | 287,273 | ||
7,900 | Japan Post Insurance Co., Ltd. (b) | 127,726 | ||
19,900 | Japan Tobacco, Inc. (b) | 357,317 | ||
14,700 | Kansai Electric Power (The) Co., Inc. (b) | 149,039 | ||
4,800 | Kao Corp. (b) | 208,773 | ||
11,100 | KDDI Corp. (b) | 355,892 | ||
13,000 | Kirin Holdings Co., Ltd. (b) | 213,829 | ||
1,700 | Kyocera Corp. (b) | 94,501 | ||
8,300 | Lion Corp. (b) | 95,561 | ||
23,400 | McDonald’s Holdings Co., Japan Ltd. (b) | 878,330 | ||
6,900 | Medipal Holdings Corp. (b) | 104,103 | ||
4,800 | MEIJI Holdings Co., Ltd. (b) | 250,608 | ||
6,700 | Mitsubishi Corp. (b) | 199,119 | ||
11,100 | Mitsubishi Electric Corp. (b) | 117,152 | ||
11,400 | Mitsubishi Estate Co., Ltd. (b) | 169,308 | ||
25,900 | Mitsubishi HC Capital, Inc. (b) | 125,509 | ||
21,400 | Mitsubishi UFJ Financial Group, Inc. (b) | 120,578 | ||
22,700 | Mizuho Financial Group, Inc. (b) | 270,729 | ||
6,200 | MS&AD Insurance Group Holdings, Inc. (b) | 201,074 | ||
1,600 | Nippon Shinyaku Co., Ltd. (b) | 99,027 | ||
14,800 | Nippon Telegraph & Telephone Corp. (b) | 422,767 | ||
24,300 | Nisshin Seifun Group, Inc. (b) | 299,120 | ||
2,200 | Nissin Foods Holdings Co., Ltd. (b) | 159,337 | ||
31,000 | Nomura Holdings, Inc. (b) | 118,281 | ||
15,600 | Obayashi Corp. (b) | 114,729 | ||
5,300 | Ono Pharmaceutical Co., Ltd. (b) | 149,030 | ||
10,400 | Osaka Gas Co., Ltd. (b) | 186,972 | ||
4,500 | Otsuka Holdings Co., Ltd. (b) | 160,753 | ||
34,500 | Resona Holdings, Inc. (b) | 134,076 | ||
7,100 | SCSK Corp. (b) | 125,033 | ||
5,100 | Secom Co., Ltd. (b) | 340,630 | ||
14,600 | Sekisui House Ltd. (b) | 258,586 | ||
21,600 | Shizuoka Bank (The), Ltd. (b) | 130,711 | ||
55,800 | Softbank Corp. (b) | 645,174 | ||
3,200 | Sohgo Security Services Co., Ltd. (b) | 89,677 | ||
3,900 | Sompo Holdings, Inc. (b) | 174,062 | ||
10,000 | Sumitomo Corp. (b) | 140,600 | ||
4,100 | Sumitomo Mitsui Financial Group, Inc. (b) | 128,626 | ||
4,300 | Sumitomo Mitsui Trust Holdings, Inc. (b) | 141,252 |
Shares | Description | Value | ||
Japan (Continued) | ||||
3,700 | Suntory Beverage & Food Ltd. (b) | $145,993 | ||
4,500 | Taisei Corp. (b) | 143,581 | ||
13,600 | Takeda Pharmaceutical Co., Ltd. (b) | 399,027 | ||
6,600 | Tobu Railway Co., Ltd. (b) | 156,716 | ||
2,100 | Tokio Marine Holdings, Inc. (b) | 122,934 | ||
7,500 | Tokyo Gas Co., Ltd. (b) | 147,307 | ||
3,400 | Toyo Suisan Kaisha Ltd. (b) | 144,459 | ||
2,300 | Trend Micro, Inc. (b) | 133,663 | ||
14,800 | USS Co., Ltd. (b) | 290,413 | ||
2,300 | Yakult Honsha Co., Ltd. (b) | 140,069 | ||
5,700 | Yamato Holdings Co., Ltd. (b) | 99,744 | ||
11,825,938 | ||||
Netherlands – 2.6% | ||||
2,470 | Euronext N.V. (b) (c) (d) | 201,252 | ||
8,202 | Koninklijke Ahold Delhaize N.V. (b) | 225,873 | ||
124,080 | Koninklijke KPN N.V. (b) | 409,339 | ||
3,437 | QIAGEN N.V. (b) (e) | 172,252 | ||
1,744 | Wolters Kluwer N.V. (b) | 189,402 | ||
1,198,118 | ||||
New Zealand – 0.6% | ||||
84,940 | Spark New Zealand Ltd. (b) | 273,131 | ||
Norway – 1.0% | ||||
30,031 | Orkla ASA (b) | 259,236 | ||
17,405 | Telenor ASA (b) | 211,369 | ||
470,605 | ||||
Singapore – 12.2% | ||||
46,300 | City Developments Ltd. (b) | 260,125 | ||
14,400 | DBS Group Holdings Ltd. (b) | 328,584 | ||
495,900 | Genting Singapore Ltd. (b) | 289,624 | ||
61,600 | Keppel Corp., Ltd. (b) | 307,765 | ||
42,700 | Oversea-Chinese Banking Corp., Ltd. (b) | 361,870 | ||
105,000 | Singapore Exchange Ltd. (b) | 752,702 | ||
317,000 | Singapore Technologies Engineering Ltd. (b) | 924,297 | ||
261,400 | Singapore Telecommunications Ltd. (b) | 494,327 | ||
17,900 | United Overseas Bank Ltd. (b) | 357,129 | ||
169,800 | UOL Group Ltd. (b) | 917,409 | ||
26,000 | Venture Corp., Ltd. (b) | 331,246 | ||
81,600 | Wilmar International Ltd. (b) | 237,775 | ||
5,562,853 | ||||
Spain – 2.2% | ||||
18,809 | Enagas S.A. (b) | 371,265 | ||
7,794 | Endesa S.A. (b) | 142,860 | ||
16,015 | Red Electrica Corp. S.A. (b) | 314,861 | ||
38,252 | Telefonica S.A. (b) | 170,745 | ||
999,731 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Sweden – 1.4% | ||||
14,671 | Svenska Handelsbanken AB, Class A (b) | $131,920 | ||
15,170 | Swedish Match AB (b) | 158,807 | ||
15,699 | Tele2 AB, Class B (b) | 179,340 | ||
51,913 | Telia Co., AB (b) | 191,785 | ||
661,852 | ||||
Switzerland – 8.2% | ||||
2,018 | Baloise Holding AG (b) | 321,526 | ||
3,889 | Nestle S.A. (b) | 476,509 | ||
7,887 | Novartis AG (b) | 677,727 | ||
877 | Roche Holding AG (b) | 291,168 | ||
488 | Swiss Life Holding AG (b) | 258,511 | ||
5,545 | Swiss Prime Site AG (b) | 504,948 | ||
1,531 | Swisscom AG (b) | 827,716 | ||
883 | Zurich Insurance Group AG (b) | 385,455 | ||
3,743,560 | ||||
United Kingdom – 6.2% | ||||
6,013 | Bunzl PLC (b) | 225,672 | ||
1,937 | Intertek Group PLC (b) | 103,523 | ||
32,688 | National Grid PLC (b) | 450,101 | ||
15,112 | Phoenix Group Holdings PLC (b) | 119,062 | ||
3,325 | Reckitt Benckiser Group PLC (b) | 269,707 | ||
10,759 | RELX PLC (b) | 318,568 | ||
17,437 | Sage Group (The) PLC (b) | 150,274 | ||
8,225 | Severn Trent PLC (b) | 295,704 | ||
7,719 | Smiths Group PLC (b) | 145,675 | ||
128,238 | Tesco PLC (b) | 411,277 | ||
19,950 | United Utilities Group PLC (b) | 265,066 | ||
65,226 | Vodafone Group PLC (b) | 96,121 | ||
2,850,750 | ||||
Total Common Stocks | 41,749,566 | |||
(Cost $43,926,839) | ||||
REAL ESTATE INVESTMENT TRUSTS (a) – 7.9% | ||||
Australia – 0.5% | ||||
18,911 | Dexus (b) | 127,082 | ||
36,877 | GPT (The) Group (b) | 118,641 | ||
245,723 | ||||
France – 0.5% | ||||
2,157 | Gecina S.A. (b) | 221,159 | ||
Hong Kong – 1.7% | ||||
91,266 | Link REIT (b) | 764,291 | ||
Singapore – 5.2% | ||||
462,000 | Ascendas Real Estate Investment Trust (b) | 994,436 | ||
281,000 | CapitaLand Integrated Commercial Trust (b) | 443,902 | ||
11,055 | CDL Hospitality Trusts (b) | 10,583 | ||
256,400 | Mapletree Commercial Trust (b) | 353,184 |
Shares | Description | Value | ||
Singapore (Continued) | ||||
442,243 | Mapletree Logistics Trust (b) | $564,432 | ||
2,366,537 | ||||
Total Real Estate Investment Trusts | 3,597,710 | |||
(Cost $3,845,642) | ||||
RIGHTS (a) – 0.0% | ||||
Australia – 0.0% | ||||
1,124 | Australia & New Zealand Banking Group Ltd., expiring 8/8/22 (e) | 3,126 | ||
(Cost $0) | ||||
Total Investments – 99.1% | 45,350,402 | |||
(Cost $47,772,481) | ||||
Net Other Assets and Liabilities – 0.9% | 406,501 | |||
Net Assets – 100.0% | $45,756,903 |
(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 July 31, 2022, securities noted as such are valued at $45,125,114 or 98.6% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets’ close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. |
(c) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”). |
(d) | This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
(e) | Non-income producing security. |
Currency Exposure Diversification | % of Total Investments |
Japanese Yen | 26.1% |
Euro | 18.6 |
Singapore Dollar | 17.5 |
Hong Kong Dollar | 12.2 |
Swiss Franc | 8.2 |
Australian Dollar | 6.8 |
British Pound Sterling | 6.3 |
Swedish Krona | 1.5 |
Norwegian Krone | 1.0 |
Danish Krone | 0.7 |
New Zealand Dollar | 0.6 |
United States Dollar | 0.5 |
Total | 100.0% |
Total Value at 7/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
Israel | $ 222,162 | $ 222,162 | $ — | $ — |
Other Country Categories* | 41,527,404 | — | 41,527,404 | — |
Real Estate Investment Trusts* | 3,597,710 | — | 3,597,710 | — |
Rights* | 3,126 | 3,126 | — | — |
Total Investments | $ 45,350,402 | $ 225,288 | $ 45,125,114 | $— |
* | See Portfolio of Investments for country breakout. |
Shares | Description | Value | ||
COMMON STOCKS – 81.4% | ||||
Aerospace & Defense – 0.6% | ||||
981 | Woodward, Inc. | $102,711 | ||
Air Freight & Logistics – 0.4% | ||||
896 | Atlas Air Worldwide Holdings, Inc. (a) | 67,836 | ||
Auto Components – 0.5% | ||||
3,064 | Gentex Corp. | 86,466 | ||
Banks – 7.7% | ||||
2,577 | Associated Banc-Corp. | 51,798 | ||
897 | BancFirst Corp. | 96,329 | ||
1,163 | Bank of Hawaii Corp. | 93,168 | ||
1,068 | Bank OZK | 42,827 | ||
1,324 | Commerce Bancshares, Inc. | 92,005 | ||
1,378 | Community Bank System, Inc. | 92,781 | ||
397 | Cullen/Frost Bankers, Inc. | 51,769 | ||
3,481 | CVB Financial Corp. | 92,838 | ||
1,822 | Eagle Bancorp, Inc. | 89,333 | ||
6,041 | Fulton Financial Corp. | 100,824 | ||
6,861 | Northwest Bancshares, Inc. | 98,661 | ||
5,842 | Old National Bancorp | 101,709 | ||
1,256 | Prosperity Bancshares, Inc. | 93,057 | ||
3,524 | Valley National Bancorp | 41,195 | ||
2,829 | Washington Federal, Inc. | 96,554 | ||
1,234,848 | ||||
Biotechnology – 0.4% | ||||
281 | United Therapeutics Corp. (a) | 64,931 | ||
Building Products – 1.1% | ||||
275 | Carlisle Cos., Inc. | 81,428 | ||
378 | Lennox International, Inc. | 90,542 | ||
171,970 | ||||
Capital Markets – 1.6% | ||||
262 | Affiliated Managers Group, Inc. | 33,112 | ||
325 | Evercore, Inc., Class A | 32,490 | ||
1,304 | Janus Henderson Group PLC | 33,604 | ||
1,158 | Jefferies Financial Group, Inc. | 37,716 | ||
1,622 | SEI Investments Co. | 89,794 | ||
544 | Stifel Financial Corp. | 32,537 | ||
259,253 | ||||
Chemicals – 2.4% | ||||
900 | Ashland Global Holdings, Inc. | 90,423 | ||
735 | Balchem Corp. | 99,783 | ||
1,140 | RPM International, Inc. | 103,056 | ||
1,160 | Sensient Technologies Corp. | 99,737 | ||
392,999 | ||||
Commercial Services & Supplies – 3.2% | ||||
1,411 | ABM Industries, Inc. | 63,269 | ||
910 | Clean Harbors, Inc. (a) | 88,807 | ||
738 | MSA Safety, Inc. | 94,715 | ||
2,068 | Stericycle, Inc. (a) | 96,927 |
Shares | Description | Value | ||
Commercial Services & Supplies (Continued) | ||||
467 | Tetra Tech, Inc. | $71,577 | ||
547 | UniFirst Corp. | 107,152 | ||
522,447 | ||||
Communications Equipment – 1.0% | ||||
1,217 | Ciena Corp. (a) | 62,797 | ||
6,706 | Viavi Solutions, Inc. (a) | 99,249 | ||
162,046 | ||||
Construction & Engineering – 1.8% | ||||
1,338 | AECOM | 96,336 | ||
861 | EMCOR Group, Inc. | 100,195 | ||
3,251 | MDU Resources Group, Inc. | 92,881 | ||
289,412 | ||||
Construction Materials – 0.4% | ||||
454 | Eagle Materials, Inc. | 57,408 | ||
Consumer Finance – 1.5% | ||||
1,488 | Encore Capital Group, Inc. (a) | 107,776 | ||
2,390 | PRA Group, Inc. (a) | 95,217 | ||
1,971 | SLM Corp. | 30,748 | ||
233,741 | ||||
Containers & Packaging – 1.8% | ||||
880 | AptarGroup, Inc. | 94,829 | ||
2,130 | Silgan Holdings, Inc. | 94,785 | ||
1,640 | Sonoco Products Co. | 104,123 | ||
293,737 | ||||
Diversified Consumer Services – 1.6% | ||||
988 | Grand Canyon Education, Inc. (a) | 94,917 | ||
1,419 | H&R Block, Inc. | 56,703 | ||
1,313 | Service Corp. International | 97,766 | ||
249,386 | ||||
Electric Utilities – 3.0% | ||||
1,493 | ALLETE, Inc. | 92,671 | ||
2,220 | Hawaiian Electric Industries, Inc. | 93,906 | ||
874 | IDACORP, Inc. | 97,643 | ||
2,415 | OGE Energy Corp. | 99,208 | ||
1,907 | PNM Resources, Inc. | 92,051 | ||
475,479 | ||||
Electrical Equipment – 1.8% | ||||
493 | Hubbell, Inc. | 107,977 | ||
2,701 | nVent Electric PLC | 95,372 | ||
607 | Regal Rexnord Corp. | 81,520 | ||
284,869 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Electronic Equipment, Instruments & Components – 3.8% | ||||
755 | Arrow Electronics, Inc. (a) | $96,768 | ||
1,528 | Avnet, Inc. | 73,145 | ||
972 | Cognex Corp. | 49,553 | ||
975 | Insight Enterprises, Inc. (a) | 91,075 | ||
886 | Jabil, Inc. | 52,575 | ||
4,936 | Knowles Corp. (a) | 97,486 | ||
270 | Littelfuse, Inc. | 75,295 | ||
740 | TD SYNNEX Corp. | 74,311 | ||
610,208 | ||||
Entertainment – 0.6% | ||||
1,398 | World Wrestling Entertainment, Inc., Class A | 96,895 | ||
Food & Staples Retailing – 1.2% | ||||
467 | Casey’s General Stores, Inc. | 94,637 | ||
1,172 | Grocery Outlet Holding Corp. (a) | 50,068 | ||
1,625 | Sprouts Farmers Market, Inc. (a) | 44,915 | ||
189,620 | ||||
Food Products – 4.3% | ||||
1,723 | Cal-Maine Foods, Inc. | 88,063 | ||
3,424 | Flowers Foods, Inc. | 97,276 | ||
1,842 | Hain Celestial Group (The), Inc. (a) | 41,906 | ||
4,316 | Hostess Brands, Inc. (a) | 97,628 | ||
993 | Ingredion, Inc. | 90,343 | ||
643 | J&J Snack Foods Corp. | 87,133 | ||
680 | Lancaster Colony Corp. | 90,018 | ||
1,109 | Post Holdings, Inc. (a) | 96,416 | ||
688,783 | ||||
Gas Utilities – 2.9% | ||||
1,138 | National Fuel Gas Co. | 82,323 | ||
2,026 | New Jersey Resources Corp. | 93,581 | ||
1,294 | Northwest Natural Holding Co. | 69,449 | ||
1,091 | ONE Gas, Inc. | 92,670 | ||
1,191 | Spire, Inc. | 89,611 | ||
797 | UGI Corp. | 34,398 | ||
462,032 | ||||
Health Care Equipment & Supplies – 2.1% | ||||
521 | CONMED Corp. | 50,865 | ||
973 | Enovis Corp. (a) | 58,107 | ||
1,889 | Envista Holdings Corp. (a) | 76,788 | ||
1,049 | Globus Medical, Inc., Class A (a) | 61,566 | ||
1,568 | Integra LifeSciences Holdings Corp. (a) | 86,303 | ||
333,629 |
Shares | Description | Value | ||
Health Care Providers & Services – 2.2% | ||||
825 | Acadia Healthcare Co., Inc. (a) | $68,401 | ||
190 | Chemed Corp. | 91,407 | ||
1,584 | Encompass Health Corp. | 80,182 | ||
792 | Enhabit, Inc. (a) | 13,868 | ||
3,026 | Patterson Cos., Inc. | 93,987 | ||
347,845 | ||||
Health Care Technology – 0.4% | ||||
3,828 | Allscripts Healthcare Solutions, Inc. (a) | 60,559 | ||
Hotels, Restaurants & Leisure – 2.0% | ||||
613 | Choice Hotels International, Inc. | 74,093 | ||
559 | Cracker Barrel Old Country Store, Inc. | 53,144 | ||
959 | Jack in the Box, Inc. | 66,305 | ||
749 | Papa John’s International, Inc. | 71,822 | ||
732 | Wyndham Hotels & Resorts, Inc. | 50,808 | ||
316,172 | ||||
Household Durables – 0.4% | ||||
463 | Helen of Troy, Ltd. (a) | 61,945 | ||
Household Products – 0.4% | ||||
2,306 | Energizer Holdings, Inc. | 68,096 | ||
Insurance – 4.8% | ||||
674 | American Financial Group, Inc. | 90,100 | ||
1,229 | First American Financial Corp. | 71,282 | ||
614 | Hanover Insurance Group (The), Inc. | 83,793 | ||
692 | Kemper Corp. | 32,386 | ||
147 | Kinsale Capital Group, Inc. | 35,752 | ||
1,940 | Mercury General Corp. | 81,344 | ||
3,997 | Old Republic International Corp. | 93,010 | ||
272 | Reinsurance Group of America, Inc. | 31,492 | ||
572 | RenaissanceRe Holdings Ltd. | 73,965 | ||
790 | RLI Corp. | 86,884 | ||
1,093 | Selective Insurance Group, Inc. | 85,101 | ||
765,109 | ||||
Interactive Media & Services – 0.3% | ||||
633 | Ziff Davis, Inc. (a) | 51,836 | ||
IT Services – 1.8% | ||||
1,510 | CSG Systems International, Inc. | 98,527 | ||
2,037 | Genpact Ltd. | 97,939 | ||
1,428 | Maximus, Inc. | 95,462 | ||
291,928 | ||||
Leisure Products – 0.3% | ||||
2,028 | Mattel, Inc. (a) | 47,050 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Life Sciences Tools & Services – 0.4% | ||||
825 | Syneos Health, Inc. (a) | $65,291 | ||
Machinery – 6.0% | ||||
356 | AGCO Corp. | 38,776 | ||
828 | Crane Holdings Co. | 81,914 | ||
1,825 | Donaldson Co., Inc. | 99,298 | ||
2,458 | Federal Signal Corp. | 102,056 | ||
2,289 | Flowserve Corp. | 77,460 | ||
1,480 | Graco, Inc. | 99,397 | ||
981 | ITT, Inc. | 73,604 | ||
695 | Lincoln Electric Holdings, Inc. | 98,301 | ||
430 | Middleby (The) Corp. (a) | 62,217 | ||
933 | Oshkosh Corp. | 80,331 | ||
854 | Timken (The) Co. | 55,834 | ||
1,092 | Toro (The) Co. | 93,901 | ||
963,089 | ||||
Media – 0.4% | ||||
1,809 | New York Times (The) Co., Class A | 57,798 | ||
Metals & Mining – 0.9% | ||||
331 | Reliance Steel & Aluminum Co. | 62,973 | ||
819 | Royal Gold, Inc. | 85,806 | ||
148,779 | ||||
Multi-Utilities – 1.7% | ||||
2,168 | Avista Corp. | 91,620 | ||
1,263 | Black Hills Corp. | 97,504 | ||
1,563 | NorthWestern Corp. | 86,668 | ||
275,792 | ||||
Pharmaceuticals – 0.8% | ||||
503 | Jazz Pharmaceuticals PLC (a) | 78,498 | ||
882 | Pacira BioSciences, Inc. (a) | 49,886 | ||
128,384 | ||||
Professional Services – 3.6% | ||||
566 | ASGN, Inc. (a) | 58,728 | ||
326 | CACI International, Inc., Class A (a) | 98,547 | ||
960 | Exponent, Inc. | 96,470 | ||
509 | FTI Consulting, Inc. (a) | 83,252 | ||
1,860 | KBR, Inc. | 99,008 | ||
573 | ManpowerGroup, Inc. | 44,929 | ||
969 | Science Applications International Corp. | 93,867 | ||
574,801 | ||||
Real Estate Management & Development – 0.4% | ||||
298 | Jones Lang LaSalle, Inc. (a) | 56,820 |
Shares | Description | Value | ||
Road & Rail – 1.7% | ||||
1,460 | Knight-Swift Transportation Holdings, Inc. | $80,227 | ||
633 | Landstar System, Inc. | 99,115 | ||
2,297 | Werner Enterprises, Inc. | 100,976 | ||
280,318 | ||||
Semiconductors & Semiconductor Equipment – 0.4% | ||||
811 | Cirrus Logic, Inc. (a) | 69,308 | ||
Software – 1.1% | ||||
1,079 | CommVault Systems, Inc. (a) | 60,521 | ||
131 | Fair Isaac Corp. (a) | 60,526 | ||
432 | Manhattan Associates, Inc. (a) | 60,770 | ||
181,817 | ||||
Specialty Retail – 0.6% | ||||
356 | Murphy USA, Inc. | 101,232 | ||
Textiles, Apparel & Luxury Goods – 0.8% | ||||
838 | Carter’s, Inc. | 68,280 | ||
884 | Columbia Sportswear Co. | 65,425 | ||
133,705 | ||||
Thrifts & Mortgage Finance – 1.3% | ||||
1,013 | Essent Group Ltd. | 42,303 | ||
2,855 | MGIC Investment Corp. | 40,370 | ||
807 | Mr Cooper Group, Inc. (a) | 36,355 | ||
8,152 | New York Community Bancorp, Inc. | 86,574 | ||
205,602 | ||||
Trading Companies & Distributors – 1.1% | ||||
1,160 | MSC Industrial Direct Co., Inc., Class A | 95,886 | ||
323 | Watsco, Inc. | 88,486 | ||
184,372 | ||||
Water Utilities – 1.9% | ||||
1,183 | American States Water Co. | 103,122 | ||
1,733 | California Water Service Group | 104,119 | ||
1,999 | Essential Utilities, Inc. | 103,828 | ||
311,069 | ||||
Total Common Stocks | 13,079,423 | |||
(Cost $12,957,297) | ||||
REAL ESTATE INVESTMENT TRUSTS – 17.8% | ||||
Equity Real Estate Investment Trusts – 16.2% | ||||
1,224 | Agree Realty Corp. | 97,418 | ||
2,115 | Apartment Income REIT Corp. | 95,894 | ||
8,937 | Brandywine Realty Trust | 83,561 |
Shares | Description | Value | ||
REAL ESTATE INVESTMENT TRUSTS (Continued) | ||||
Equity Real Estate Investment Trusts (Continued) | ||||
3,235 | Corporate Office Properties Trust | $91,065 | ||
2,906 | Cousins Properties, Inc. | 89,650 | ||
3,697 | Douglas Emmett, Inc. | 87,397 | ||
4,595 | Easterly Government Properties, Inc. | 93,141 | ||
584 | EastGroup Properties, Inc. | 99,595 | ||
1,835 | First Industrial Realty Trust, Inc. | 95,328 | ||
3,296 | Four Corners Property Trust, Inc. | 96,342 | ||
2,522 | Highwoods Properties, Inc. | 89,708 | ||
4,229 | Independence Realty Trust, Inc. | 93,884 | ||
3,531 | JBG SMITH Properties | 89,829 | ||
1,085 | Kilroy Realty Corp. | 58,785 | ||
943 | Lamar Advertising Co., Class A | 95,300 | ||
778 | Life Storage, Inc. | 97,943 | ||
2,260 | LTC Properties, Inc. | 94,694 | ||
6,016 | Medical Properties Trust, Inc. | 103,716 | ||
2,064 | National Retail Properties, Inc. | 98,267 | ||
1,375 | National Storage Affiliates Trust | 75,405 | ||
2,167 | Omega Healthcare Investors, Inc. | 67,177 | ||
5,074 | Physicians Realty Trust | 90,165 | ||
2,339 | Rayonier, Inc. | 88,297 | ||
5,503 | Retail Opportunity Investments Corp. | 96,082 | ||
1,126 | Rexford Industrial Realty, Inc. | 73,652 | ||
4,824 | Sabra Health Care REIT, Inc. | 74,241 | ||
2,276 | Spirit Realty Capital, Inc. | 100,918 | ||
3,300 | STORE Capital Corp. | 95,766 | ||
3,972 | Washington Real Estate Investment Trust | 88,059 | ||
2,601,279 | ||||
Mortgage Real Estate Investment Trusts – 1.6% | ||||
10,123 | ARMOUR Residential REIT, Inc. | 79,668 | ||
4,730 | KKR Real Estate Finance Trust, Inc. | 92,188 | ||
2,466 | PennyMac Mortgage Investment Trust | 37,878 | ||
10,121 | Two Harbors Investment Corp. | 54,451 | ||
264,185 | ||||
Total Real Estate Investment Trusts | 2,865,464 | |||
(Cost $2,906,755) | ||||
Total Investments – 99.2% | 15,944,887 | |||
(Cost $15,864,052) | ||||
Net Other Assets and Liabilities – 0.8% | 123,359 | |||
Net Assets – 100.0% | $16,068,246 |
(a) | Non-income producing security. |
Total Value at 7/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 13,079,423 | $ 13,079,423 | $ — | $ — |
Real Estate Investment Trusts* | 2,865,464 | 2,865,464 | — | — |
Total Investments | $ 15,944,887 | $ 15,944,887 | $— | $— |
* | 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 | $ 99,400,093 | $ 45,350,402 | $ 15,944,887 | ||
Cash | 215,976 | 75,501 | 125,285 | ||
Foreign currency | — | 111 | — | ||
Receivables: | |||||
Dividends | 104,574 | 94,927 | 8,230 | ||
Dividend reclaims | — | 267,071 | 164 | ||
Miscellaneous | — | 25 | — | ||
Total Assets | 99,720,643 | 45,788,037 | 16,078,566 | ||
LIABILITIES: | |||||
Investment advisory fees payable | 56,062 | 31,134 | 10,320 | ||
Total Liabilities | 56,062 | 31,134 | 10,320 | ||
NET ASSETS | $99,664,581 | $45,756,903 | $16,068,246 | ||
NET ASSETS consist of: | |||||
Paid-in capital | $ 137,005,330 | $ 76,440,817 | $ 16,792,800 | ||
Par value | 30,000 | 16,000 | 5,000 | ||
Accumulated distributable earnings (loss) | (37,370,749) | (30,699,914) | (729,554) | ||
NET ASSETS | $99,664,581 | $45,756,903 | $16,068,246 | ||
NET ASSET VALUE, per share | $33.22 | $28.60 | $32.14 | ||
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 3,000,002 | 1,600,002 | 500,002 | ||
Investments, at cost | $95,268,512 | $47,772,481 | $15,864,052 | ||
Foreign currency, at cost (proceeds) | $— | $110 | $— |
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 | $ 2,593,066 | $ 2,645,804 | $ 290,083 | |||
Interest | 447 | 472 | — | |||
Foreign withholding tax | — | (226,876) | — | |||
Other | 25 | 151 | 173 | |||
Total investment income | 2,593,538 | 2,419,551 | 290,256 | |||
EXPENSES: | ||||||
Investment advisory fees | 839,917 | 582,056 | 123,009 | |||
Total expenses | 839,917 | 582,056 | 123,009 | |||
NET INVESTMENT INCOME (LOSS) | 1,753,621 | 1,837,495 | 167,247 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||||
Net realized gain (loss) on: | ||||||
Investments | 6,447,419 | (406,851) | (556,599) | |||
In-kind redemptions | 4,272,542 | (120,093) | 923,509 | |||
Foreign currency transactions | — | (44,623) | — | |||
Net realized gain (loss) | 10,719,961 | (571,567) | 366,910 | |||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investments | (10,221,164) | (8,114,955) | (864,174) | |||
Foreign currency translation | — | (26,656) | — | |||
Net change in unrealized appreciation (depreciation) | (10,221,164) | (8,141,611) | (864,174) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 498,797 | (8,713,178) | (497,264) | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 2,252,418 | $(6,875,683) | $(330,017) |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | First Trust Horizon Managed Volatility Developed International ETF (HDMV) | ||||||
Year Ended 7/31/2022 | Year Ended 7/31/2021 | Year Ended 7/31/2022 | Year Ended 7/31/2021 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 1,753,621 | $ 2,290,770 | $ 1,837,495 | $ 2,610,309 | |||
Net realized gain (loss) | 10,719,961 | 32,204,187 | (571,567) | 10,415,785 | |||
Net increase from payment by the advisor | — | — | — | 6,254 | |||
Net change in unrealized appreciation (depreciation) | (10,221,164) | (4,733,783) | (8,141,611) | 3,610,545 | |||
Net increase (decrease) in net assets resulting from operations | 2,252,418 | 29,761,174 | (6,875,683) | 16,642,893 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (1,660,766) | (2,308,451) | (1,931,942) | (2,737,667) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 20,067,842 | 127,467,991 | 1,508,580 | — | |||
Cost of shares redeemed | (41,752,654) | (248,985,087) | (33,905,829) | (50,656,967) | |||
Net increase (decrease) in net assets resulting from shareholder transactions | (21,684,812) | (121,517,096) | (32,397,249) | (50,656,967) | |||
Total increase (decrease) in net assets | (21,093,160) | (94,064,373) | (41,204,874) | (36,751,741) | |||
NET ASSETS: | |||||||
Beginning of period | 120,757,741 | 214,822,114 | 86,961,777 | 123,713,518 | |||
End of period | $99,664,581 | $120,757,741 | $45,756,903 | $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 | 600,000 | 4,600,000 | 50,000 | — | |||
Shares redeemed | (1,250,000) | (8,850,000) | (1,150,000) | (1,700,000) | |||
Shares outstanding, end of period | 3,000,002 | 3,650,002 | 1,600,002 | 2,700,002 |
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | ||
Year Ended 7/31/2022 | Year Ended 7/31/2021 | |
$ 167,247 | $ 155,806 | |
366,910 | 4,216,877 | |
— | — | |
(864,174) | (131,960) | |
(330,017) | 4,240,723 | |
(133,705) | (160,236) | |
6,741,624 | 23,515,729 | |
(5,115,847) | (32,712,721) | |
1,625,777 | (9,196,992) | |
1,162,055 | (5,116,505) | |
14,906,191 | 20,022,696 | |
$16,068,246 | $14,906,191 | |
450,002 | 800,002 | |
200,000 | 800,000 | |
(150,000) | (1,150,000) | |
500,002 | 450,002 |
Year Ended July 31, | |||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
Net asset value, beginning of period | $ 33.08 | $ 27.19 | $ 26.71 | $ 23.49 | $ 22.03 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.51 | 0.46 | 0.37 | 0.37 | 0.30 | ||||
Net realized and unrealized gain (loss) | 0.10 | 5.87 | 0.52 | 3.17 | 1.46 | ||||
Total from investment operations | 0.61 | 6.33 | 0.89 | 3.54 | 1.76 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.47) | (0.44) | (0.41) | (0.32) | (0.30) | ||||
Net asset value, end of period | $33.22 | $33.08 | $27.19 | $26.71 | $23.49 | ||||
Total return (a) | 1.82% | 23.48% | 3.41% | 15.24% | 8.04% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 99,665 | $ 120,758 | $ 214,822 | $ 224,389 | $ 133,888 | ||||
Ratio of total expenses to average net assets | 0.70% | 0.70% | 0.70% | 0.70% | 0.70% | ||||
Ratio of net investment income (loss) to average net assets | 1.46% | 1.42% | 1.39% | 1.58% | 1.37% | ||||
Portfolio turnover rate (b) | 76% | 152% | 211% | 147% | 157% |
(a) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(b) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Year Ended July 31, | |||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
Net asset value, beginning of period | $ 32.21 | $ 28.12 | $ 32.92 | $ 33.72 | $ 33.05 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.90 | 0.89 | 0.65 | 0.86 | 0.91 | ||||
Net realized and unrealized gain (loss) | (3.62) | 4.13 | (4.61) | (0.79) | 0.87 | ||||
Total from investment operations | (2.72) | 5.02 | (3.96) | 0.07 | 1.78 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.89) | (0.93) | (0.84) | (0.87) | (1.11) | ||||
Net asset value, end of period | $28.60 | $32.21 | $28.12 | $32.92 | $33.72 | ||||
Total return (a) | (8.50)% | 18.01% (b) | (12.37)% | 0.21% | 5.48% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 45,757 | $ 86,962 | $ 123,714 | $ 128,394 | $ 59,010 | ||||
Ratio of total expenses to average net assets | 0.80% | 0.80% | 0.80% | 0.80% | 0.80% | ||||
Ratio of net investment income (loss) to average net assets | 2.53% | 2.68% | 2.08% | 2.74% | 2.73% | ||||
Portfolio turnover rate (c) | 65% | 127% | 196% | 99% | 133% |
(a) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(b) | The Fund received a reimbursement from the advisor in the amount of $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. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Year Ended July 31, | Period Ended 7/31/2020 (a) | ||||
2022 | 2021 | ||||
Net asset value, beginning of period | $ 33.12 | $ 25.03 | $ 21.10 | ||
Income from investment operations: | |||||
Net investment income (loss) | 0.36 | 0.29 | 0.02 | ||
Net realized and unrealized gain (loss) | (1.05) | 8.09 | 3.92 | ||
Total from investment operations | (0.69) | 8.38 | 3.94 | ||
Distributions paid to shareholders from: | |||||
Net investment income | (0.29) | (0.29) | (0.01) | ||
Net realized gain | — | (0.00) (b) | — | ||
Total distributions | (0.29) | (0.29) | (0.01) | ||
Net asset value, end of period | $32.14 | $33.12 | $25.03 | ||
Total return (c) | (2.11)% | 33.72% | 18.67% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 16,068 | $ 14,906 | $ 20,023 | ||
Ratio of total expenses to average net assets | 0.80% | 0.80% | 0.80% (d) | ||
Ratio of net investment income (loss) to average net assets | 1.09% | 1.02% | 0.60% (d) | ||
Portfolio turnover rate (e) | 71% | 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 | $ 1,660,766 | $ — | $ — | ||
First Trust Horizon Managed Volatility Developed International ETF | 1,931,942 | — | — | ||
First Trust Horizon Managed Volatility Small/Mid ETF | 133,705 | — | — |
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 | $ 255,958 | $ (41,741,623) | $ 4,114,916 | ||
First Trust Horizon Managed Volatility Developed International ETF | 290,248 | (28,457,956) | (2,532,206) | ||
First Trust Horizon Managed Volatility Small/Mid ETF | 38,219 | (729,173) | (38,600) |
Non-Expiring Capital Loss Carryforward | |
First Trust Horizon Managed Volatility Domestic ETF | $ 41,741,623 |
First Trust Horizon Managed Volatility Developed International ETF | 28,457,956 |
First Trust Horizon Managed Volatility Small/Mid ETF | 729,173 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | |||
First Trust Horizon Managed Volatility Domestic ETF | $ — | $ (4,099,610) | $ 4,099,610 | ||
First Trust Horizon Managed Volatility Developed International ETF | 70,823 | 314,928 | (385,751) | ||
First Trust Horizon Managed Volatility Small/Mid ETF | 671 | (911,043) | 910,372 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
First Trust Horizon Managed Volatility Domestic ETF | $ 95,285,177 | $ 7,434,999 | $ (3,320,083) | $ 4,114,916 | |||
First Trust Horizon Managed Volatility Developed International ETF | 47,868,811 | 1,524,323 | (4,042,732) | (2,518,409) | |||
First Trust Horizon Managed Volatility Small/Mid ETF | 15,983,487 | 940,245 | (978,845) | (38,600) |
Purchases | Sales | ||
First Trust Horizon Managed Volatility Domestic ETF | $ 91,486,401 | $ 91,275,273 | |
First Trust Horizon Managed Volatility Developed International ETF | 46,173,814 | 46,262,093 | |
First Trust Horizon Managed Volatility Small/Mid ETF | 11,063,594 | 10,910,442 | |
Purchases | Sales | ||
First Trust Horizon Managed Volatility Domestic ETF | $ 20,011,777 | $ 41,630,281 | |
First Trust Horizon Managed Volatility Developed International ETF | 1,337,212 | 33,667,643 | |
First Trust Horizon Managed Volatility Small/Mid ETF | 6,726,058 | 5,118,890 |
Individual Funds Included in the Trust | Financial Highlights |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | For the years ended July 31, 2022, 2021, 2020, 2019, and 2018 |
First Trust Horizon Managed Volatility Developed International ETF (HDMV) | For the years ended July 31, 2022, 2021, 2020, 2019, and 2018 |
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | For the years ended July 31, 2022 and 2021, and for the period from April 6, 2020 (commencement of operations) through July 31, 2020 |
Dividends Received Deduction | |
First Trust Horizon Managed Volatility Domestic ETF | 100.00% |
First Trust Horizon Managed Volatility Developed International ETF | 0.00% |
First Trust Horizon Managed Volatility Small/Mid ETF | 100.00% |
Qualified Dividend Income | |
First Trust Horizon Managed Volatility Domestic ETF | 100.00% |
First Trust Horizon Managed Volatility Developed International ETF | 94.16% |
First Trust Horizon Managed Volatility Small/Mid ETF | 100.00% |
Gross Foreign Income | Foreign Taxes Paid | ||||||
Amount | Per Share | Amount | Per Share | ||||
First Trust Horizon Managed Volatility Developed International ETF | $ 2,645,797 | $ 1.65 | $ 219,588 | $ 0.14 |
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)
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 220 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 220 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 220 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 220 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 220 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 220 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since 2016 | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2016 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies.” For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
First Trust New York Municipal High Income ETF (FMNY)
For the Year Ended
July 31, 2022
2 | |
Fund Performance Overview | |
3 | |
6 | |
9 | |
10 | |
14 | |
Portfolio of Investments | |
15 | |
24 | |
26 | |
27 | |
28 | |
29 | |
31 | |
39 | |
40 | |
46 | |
48 |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 7/31/22 | 5 Years Ended 7/31/22 | Inception (6/20/17) to 7/31/22 | 5 Years Ended 7/31/22 | Inception (6/20/17) to 7/31/22 | ||
Fund Performance | ||||||
NAV | -8.33% | 2.31% | 2.36% | 12.11% | 12.67% | |
Market Price | -8.62% | 2.24% | 2.31% | 11.72% | 12.37% | |
Index Performance | ||||||
Bloomberg 10 Year California Exempt Index | -6.07% | 1.80% | 1.82% | 9.34% | 9.64% |
Sector Allocation | % of Total Investments (including cash) |
Special Assessment | 14.4% |
Insured | 8.9 |
Education | 7.9 |
Hospital | 7.7 |
Government Obligation Bond - Unlimited Tax | 7.3 |
Pre-refunded/Escrowed-to-maturity | 6.5 |
Water & Sewer | 5.9 |
Industrial Development Bond | 5.8 |
Airport | 5.5 |
Continuing Care Retirement Communities | 4.6 |
Dedicated Tax | 3.7 |
Tobacco | 3.4 |
Student Housing | 2.2 |
Higher Education | 2.1 |
Tax Increment | 2.1 |
Certificates of Participation | 2.0 |
Local Housing | 1.8 |
Gas | 1.6 |
Utility | 1.2 |
Toll Road | 1.0 |
Housing | 0.9 |
Other Health | 0.5 |
Government Obligation Bond - Limited Tax | 0.4 |
Cash | 2.6 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 98.1% |
Net Other Assets and Liabilities(1) | 1.9 |
Total | 100.0% |
Credit Rating(2) | % of Total Investments (including cash) |
AAA | 1.8% |
AA | 28.8 |
A | 24.7 |
BBB | 13.1 |
BB | 4.9 |
B | 1.3 |
Not Rated | 22.4 |
A1+ (Short-term) | 0.4 |
Cash | 2.6 |
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 S&P Global Ratings, 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 | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 7/31/22 | Inception (5/12/21) to 7/31/22 | Inception (5/12/21) to 7/31/22 | |
Fund Performance | |||
NAV | -9.66% | -6.57% | -7.95% |
Market Price | -9.73% | -6.62% | -8.02% |
Index Performance | |||
Bloomberg Municipal New York 12-17 Years Index | -8.05% | -5.34% | -6.47% |
Sector Allocation | % of Total Investments (including cash) |
Dedicated Tax | 15.2% |
Insured | 12.3 |
Higher Education | 12.0 |
Hospital | 7.6 |
Mass Transit | 7.4 |
Pre-refunded/Escrowed-to-maturity | 6.1 |
Water & Sewer | 5.4 |
Education | 5.2 |
Special Assessment | 5.1 |
Government Obligation Bond - Limited Tax | 5.1 |
Utility | 3.6 |
Certificates of Participation | 2.7 |
Government Obligation Bond - Unlimited Tax | 2.6 |
Toll Road | 2.5 |
Tobacco | 2.4 |
Airport | 1.4 |
Cash | 3.4 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 97.8% |
Net Other Assets and Liabilities(1) | 2.2 |
Total | 100.0% |
Credit Quality(2) | % of Total Investments (including cash) |
AAA | 8.0% |
AA | 53.2 |
A | 17.9 |
BBB | 9.1 |
Not Rated | 8.4 |
Cash | 3.4 |
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 S&P Global Ratings, 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.
• | Over the past year, U.S. Treasury rates increased all along the yield curve and municipal interest rates followed U.S. Treasury yields higher. During the 12-month period ended July 31, 2022, 5-Year and 10-Year U.S. Treasury yields increased 198 basis points (“bps”) and 142 bps, respectively. |
• | Large industry-wide mutual fund and exchange-traded fund (“ETF”) outflows resulted in funds selling municipal bonds to meet redemptions which put additional pressure on municipal bond prices. According to data provided by the Investment Company Institute (“ICI”) and Barclays, for the period ended July 31, 2022, municipal fund outflows totaled approximately $88.1 billion. |
• | According to data from Municipal Market Analytics, Inc. (“MMA”), the number of municipal bond defaults was lower year-to-date compared to a year ago while the par value of defaulted bonds rose modestly. Through July 31, 2022, the number and par value of municipal bond defaults totaled 27 and $2.18 billion, respectively, compared with 44 defaults and $2.34 billion in par value for the same period a year ago. |
• | New issue municipal bond supply has been lower year-to-date compared to figures from a year ago. According to data compiled by the Securities Industry and Financial Market Association (“SIFMA”), Bloomberg and Barclays research, through July 31, 2022, year-to-date issuance was approximately $231.4 billion, down approximately 15% compared to $273.3 billion for the same period a year ago. |
• | As a result of these factors, municipal bond yields rose, credit spreads widened and municipal bond prices declined. |
• | Over the past year, U.S. Treasury rates increased all along the yield curve and municipal interest rates followed U.S. Treasury yields higher. During the 12-month period ended July 31, 2022, 5-Year and 10-Year U.S. Treasury yields increased 198 bps and 142 bps, respectively. |
• | Large industry-wide mutual fund and ETF outflows resulted in funds selling municipal bonds to meet redemptions which put additional pressure on municipal bond prices. According to data provided by ICI and Barclays, for the period ended July 31, 2022, municipal fund outflows totaled approximately $88.1 billion. |
• | According to data from MMI, the number of municipal bond defaults was lower year-to-date compared to a year ago while the par value of defaulted bonds rose modestly. Through July 31, 2022, the number and par value of municipal bond defaults totaled 27 and $2.18 billion, respectively, compared with 44 defaults and $2.34 billion in par value for the same period a year ago. |
• | New issue municipal bond supply has been lower year-to-date compared to figures from a year ago. According to data compiled by SIFMA, Bloomberg and Barclays research, through July 31, 2022, year-to-date issuance was approximately $231.4 billion, down approximately 15% compared to $273.3 billion for the same period a year ago. |
• | As a result of these factors, municipal bond yields rose, credit spreads widened, and municipal bond prices declined. |
Beginning Account Value February 1, 2022 | Ending Account Value July 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 | $945.60 | 0.50% | $2.41 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.32 | 0.50% | $2.51 |
First Trust New York Municipal High Income ETF (FMNY) | ||||
Actual | $1,000.00 | $939.30 | 0.50% | $2.40 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.32 | 0.50% | $2.51 |
(a) | These expense ratios reflect expense waivers. See Note 3 in the Notes to Financial Statements. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (February 1, 2022 through July 31, 2022), multiplied by 181/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 98.1% | ||||||||
California – 92.7% | ||||||||
$150,000 | Alameda CA Corridor Transprtn Auth Rev Ref Subord Lien, Ser A | 5.00% | 10/01/25 | $161,634 | ||||
215,000 | Antelope Vly E Kern CA Wtr Agy Wtr Rev Ref | 5.00% | 06/01/35 | 234,253 | ||||
525,000 | Azusa CA Spl Tax Cmnty Facs Dist No 2005-1 Impt | 4.00% | 09/01/34 | 528,269 | ||||
100,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F | 4.00% | 09/01/33 | 100,737 | ||||
175,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F | 4.00% | 09/01/34 | 175,708 | ||||
330,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F | 4.00% | 09/01/36 | 329,913 | ||||
620,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F | 4.00% | 09/01/40 | 608,916 | ||||
1,000,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Green Bond, Ser A-1 (Mandatory put 08/01/28) | 4.00% | 05/01/53 | 1,040,423 | ||||
20,000 | CA Cmnty Choice Fing Auth Green Bd Clean Energy Proj Rev, Ser A (Mandatory put 12/01/27) | 4.00% | 10/01/52 | 20,700 | ||||
475,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Settle Ref Sonoma Cnty Securitization Corp, Ser A | 5.00% | 06/01/31 | 531,563 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Ref, Sonoma Cnty Securitization Corp, Ser A | 4.00% | 06/01/35 | 204,588 | ||||
665,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 5.00% | 06/01/32 | 736,990 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 5.00% | 06/01/33 | 220,490 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 4.00% | 06/01/35 | 204,395 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 4.00% | 06/01/39 | 202,088 | ||||
430,552 | CA Hsg Fin Agy Muni Ctfs, Ser A | 4.25% | 01/15/35 | 438,366 | ||||
360,000 | CA Pub Fin Auth Rev Ref Henry Mayo Newhall Hosp, Ser A | 4.00% | 10/15/27 | 375,440 | ||||
360,000 | CA Pub Fin Auth Rev Ref Henry Mayo Newhall Hosp, Ser A | 4.00% | 10/15/28 | 374,017 | ||||
290,000 | CA Pub Fin Auth Sr Living Rev ENSO Vlg Proj Green Bond, Ser A (a) | 5.00% | 11/15/36 | 295,372 | ||||
250,000 | CA Pub Fin Auth Sr Living Rev ENSO Vlg Proj Green Bond, Ser A (a) | 5.00% | 11/15/56 | 242,798 | ||||
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 | 705,173 | ||||
255,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Proj, Ser A (a) | 5.00% | 07/01/30 | 268,095 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Proj, Ser C (a) | 4.50% | 07/01/26 | 209,964 | ||||
505,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (a) | 5.00% | 07/01/34 | 521,708 | ||||
105,000 | CA Sch Fin Auth Sch Fac Rev Kipp SoCal Pub Schs, Ser A (a) | 5.00% | 07/01/26 | 113,895 | ||||
105,000 | CA Sch Fin Auth Sch Fac Rev Kipp SoCal Pub Schs, Ser A (a) | 5.00% | 07/01/27 | 115,514 | ||||
400,000 | CA Sch Fin Auth Sch Fac Rev Kipp SoCal Pub Schs, Ser A (a) | 5.00% | 07/01/39 | 426,776 | ||||
675,000 | CA Sch Fin Auth Sch Fac Rev Ref Granada Hills Chrt Oblig Grp, Ser A (a) | 4.00% | 07/01/48 | 593,914 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Ref HTH Learning Proj, Ser A (a) | 4.00% | 07/01/25 | 201,748 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Ref HTH Learning Proj, Ser A (a) | 5.00% | 07/01/32 | 205,066 | ||||
650,000 | CA Sch Fin Auth Sch Fac Rev, Ser A (a) | 5.00% | 07/01/40 | 666,384 | ||||
1,000,000 | CA St Ent Dev Auth Lease Rev Riverside Cnty Library Fac Proj | 4.00% | 11/01/37 | 1,025,473 | ||||
100,000 | CA St Ent Dev Auth Stdt Hsg Rev M@Clg Proj, Ser A | 5.00% | 08/01/35 | 105,387 | ||||
100,000 | CA St Ent Dev Auth Stdt Hsg Rev M@Clg Proj, Ser A | 5.00% | 08/01/40 | 104,351 | ||||
165,000 | CA St Hlth Fac Fing Auth Rev St Joseph Hlth Sys, Ser A | 5.00% | 07/01/29 | 170,171 | ||||
30,000 | CA St Hlth Facs Fing Auth Rev El Camino Hosp | 5.00% | 02/01/33 | 32,960 | ||||
1,000,000 | CA St Hlth Facs Fing Auth Rev Ref Commonspirit Hlth, Ser A | 4.00% | 04/01/36 | 1,023,957 | ||||
220,000 | CA St Hlth Facs Fing Auth Rev Ref Sutter Hlth, Ser B | 5.00% | 11/15/33 | 237,922 | ||||
250,000 | CA St Hlth Facs Fing Auth Rev Sutter Hlth, Ser A | 5.00% | 11/15/30 | 276,820 | ||||
875,000 | CA St Hlth Facs Fing Auth Rev Sutter Hlth, Ser A | 5.00% | 11/15/35 | 955,595 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$500,000 | CA St Infra & Econ Dev Bank Natl Chrt Social Bond Equity Sch Revolving Fund, Ser B | 4.00% | 11/01/39 | $500,462 | ||||
250,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Sycamore Acdmy Proj (b) | 5.38% | 07/01/34 | 256,635 | ||||
250,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Vista Chrt Middle Sch Proj (c) | 5.38% | 07/01/34 | 254,188 | ||||
900,000 | CA St Muni Fin Auth Chrt Sch Rev John Adams Acdmys Lincoln Proj, Ser A (a) | 5.00% | 10/01/39 | 901,968 | ||||
200,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj (a) | 4.00% | 07/01/26 | 199,492 | ||||
450,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj, Ser A (a) | 5.00% | 07/01/38 | 458,202 | ||||
250,000 | CA St Muni Fin Auth Chrt Sch Rev, Ser A (a) | 5.50% | 06/01/38 | 257,714 | ||||
605,000 | CA St Muni Fin Auth Mobile Home Park Rev Sr Caritas Affordable Hsg Inc Projs, Ser A | 5.25% | 08/15/49 | 618,223 | ||||
295,000 | CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas Proj, Ser B | 4.00% | 08/15/41 | 283,788 | ||||
435,000 | CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas Proj, Ser B | 4.00% | 08/15/51 | 398,943 | ||||
155,000 | CA St Muni Fin Auth Rev Ref Biola Univ | 5.00% | 10/01/37 | 164,993 | ||||
225,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/30 | 246,278 | ||||
225,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/32 | 244,160 | ||||
675,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/33 | 729,732 | ||||
475,000 | CA St Muni Fin Auth Rev Ref Cmnty Med Ctrs, Ser A | 5.00% | 02/01/36 | 508,428 | ||||
200,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | 214,215 | ||||
400,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/34 | 426,006 | ||||
250,000 | CA St Muni Fin Auth Rev Ref Emerson Clg, Ser B | 5.00% | 01/01/33 | 269,083 | ||||
1,080,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/34 | 1,097,083 | ||||
500,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/36 | 505,997 | ||||
110,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/26 | 120,062 | ||||
435,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/27 | 481,854 | ||||
575,000 | CA St Muni Fin Auth Rev Ref Southwestern Law Sch | 4.00% | 11/01/41 | 564,800 | ||||
625,000 | CA St Muni Fin Auth Sol Wst Disp Rev Var Rep Svcs Inc Proj Remk, Ser B, AMT (Mandatory put 01/17/23) | 2.35% | 07/01/51 | 625,134 | ||||
1,140,000 | CA St Muni Fin Auth Sol Wst Disp Rev Waste Mgmt Inc Proj, Ser A, AMT (Mandatory put 10/01/2029) | 2.40% | 10/01/44 | 1,075,689 | ||||
1,200,000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 1,202,148 | ||||
500,000 | CA St Muni Fin Auth Sr Living Rev Ref Mt San Antonio Gardens Proj | 5.00% | 11/15/49 | 517,864 | ||||
615,000 | CA St Muni Fin Auth Sr Living Rev Temps 50 Mt San Antonio Gardens Proj, Ser B-2 | 2.13% | 11/15/26 | 580,425 | ||||
550,000 | CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I, LLC W Vlg Stdt Hsg Proj | 5.00% | 05/15/27 | 594,091 | ||||
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 | 1,051,631 | ||||
350,000 | CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I, LLC W Vlg Stdt Hsg Proj | 5.00% | 05/15/40 | 366,883 | ||||
75,000 | CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I, LLC W Vlg Stdt Hsg Proj TCRS, BAM-TCRS | 5.00% | 05/15/29 | 83,069 | ||||
600,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt Inc, Ser A1, AMT | 3.38% | 07/01/25 | 603,886 | ||||
1,000,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Var Ref Rep Svcs Remk, Ser A, AMT (Mandatory put 11/01/22) (a) | 2.00% | 08/01/23 | 1,000,000 | ||||
150,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Waste Mgmt Inc Proj Remk, Ser C (Mandatory put 06/03/24) | 3.25% | 12/01/27 | 151,761 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$1,000,000 | CA St Poll Control Fin Auth Wtr Furnishing Rev Plant Bonds, AMT (a) | 5.00% | 07/01/37 | $1,004,371 | ||||
15,000 | CA St Pub Wks Brd Lease Rev Judicial Council CA, Ser B | 5.00% | 06/01/34 | 16,064 | ||||
175,000 | CA St Pub Wks Brd Lease Rev Ref, Ser B | 5.00% | 10/01/26 | 197,311 | ||||
125,000 | CA St Pub Wks Brd Lease Rev Ref, Ser F | 5.00% | 05/01/24 | 132,227 | ||||
100,000 | CA St Pub Wks Brd Lease Rev Various Corr Facs, Ser A | 5.00% | 09/01/27 | 106,426 | ||||
75,000 | CA St Ref | 4.00% | 09/01/32 | 79,414 | ||||
75,000 | CA St Ref | 4.00% | 08/01/34 | 78,395 | ||||
155,000 | CA St Ref | 4.00% | 09/01/35 | 161,735 | ||||
1,000,000 | CA St Ref | 5.00% | 11/01/39 | 1,130,383 | ||||
200,000 | CA St Ref Various Purp | 4.00% | 09/01/33 | 210,515 | ||||
275,000 | CA St Ref Various Purp | 4.00% | 09/01/35 | 286,950 | ||||
100,000 | CA St Ref Various Purp | 5.00% | 10/01/35 | 109,385 | ||||
565,000 | CA St Sch Fin Auth Chrt Sch Rev Arts in Action Chrt Schs, Ser A (a) | 5.00% | 06/01/30 | 588,304 | ||||
335,000 | CA St Sch Fin Auth Chrt Sch Rev Arts in Action Chrt Schs, Ser A (a) | 5.00% | 06/01/40 | 340,724 | ||||
600,000 | CA St Sch Fin Auth Chrt Sch Rev Fenton Chrt Schs, Ser A (a) | 4.00% | 07/01/30 | 588,804 | ||||
600,000 | CA St Sch Fin Auth Chrt Sch Rev Fenton Chrt Schs, Ser A (a) | 5.00% | 07/01/40 | 613,071 | ||||
700,000 | CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies Oceanside Proj, Ser A (a) | 5.00% | 10/01/32 | 752,692 | ||||
300,000 | CA St Sch Fin Auth Chrt Sch Rev Rocketship Pub Schs, Ser G (b) | 5.00% | 06/01/37 | 310,776 | ||||
100,000 | CA St Sch Fin Auth Chrt Sch Rev Summit Pub Schs (a) | 5.00% | 06/01/25 | 105,346 | ||||
210,000 | CA St Sch Fin Auth Chrt Sch Rev Summit Pub Schs (a) | 5.00% | 06/01/31 | 220,686 | ||||
245,000 | CA St Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/27 | 268,723 | ||||
50,000 | CA St Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 4.00% | 04/01/32 | 51,000 | ||||
50,000 | CA St Stwd Cmntys Dev Auth Rev Ref Insd Enloe Med Ctr, CA MTG INS | 5.00% | 08/15/33 | 54,316 | ||||
500,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No 1 | 4.00% | 09/01/41 | 481,592 | ||||
200,000 | CA St Stwd Cmntys Dev Auth Stdt Hsg Rev Ref Chf Irvine LLC | 5.00% | 05/15/30 | 209,889 | ||||
280,000 | CA St Stwd Cmntys Dev Auth Stdt Hsg Rev Ref Chf Irvine LLC | 5.00% | 05/15/35 | 290,828 | ||||
1,170,000 | CA St Stwd Cmntys Dev Auth Stwd Rev Stwd Cmnty Infra Prog, Ser C-1 | 4.00% | 09/02/31 | 1,175,489 | ||||
705,000 | CA Stwd Cmntys Dev Auth Rev Kaiser Permanente J Remk, Ser 2004 (Mandatory put 11/01/2029) | 5.00% | 04/01/36 | 830,713 | ||||
600,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/30 | 621,193 | ||||
300,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/33 | 309,877 | ||||
150,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (a) | 3.00% | 11/01/22 | 150,110 | ||||
250,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (a) | 5.00% | 11/01/32 | 265,971 | ||||
50,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/30 | 54,277 | ||||
175,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/31 | 189,396 | ||||
190,000 | CA Stwd Cmntys Dev Auth Rev Var Adventist Hlth Sys W A Remk, Ser 2007 (Mandatory put 03/01/27) | 5.00% | 03/01/37 | 207,750 | ||||
125,000 | Camarillo CA Cmnty Dev Commn Successor Agy Tax Allocation Ref Camarillo Corridor Proj, AGM | 5.00% | 09/01/25 | 132,703 | ||||
240,000 | Camarillo CA Cmnty Dev Commn Successor Agy Tax Allocation Ref Sub Lien, Ser B, BAM | 5.00% | 09/01/28 | 266,096 | ||||
305,000 | Camarillo CA Cmnty Dev Commn Successor Agy Tax Allocation Ref Sub Lien, Ser B, BAM | 5.00% | 09/01/30 | 335,958 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$400,000 | Casitas Muni Wtr Dist CA Spl Tax Cmnty Facs Dist No 2013-1, BAM | 4.00% | 09/01/34 | $426,982 | ||||
450,000 | Chino CA Cmnty Facs Dist Spl Tax #2003-3 Impt Area #7 | 5.00% | 09/01/31 | 496,170 | ||||
425,000 | Chino Vly CA Unif Sch Dist, Ser B | 5.00% | 08/01/36 | 494,261 | ||||
250,000 | Compton CA Unif Sch Dist Los Angeles Co Schs Fing Prog, Ser A, COPS, BAM | 5.00% | 06/01/31 | 278,087 | ||||
250,000 | Compton CA Unif Sch Dist Los Angeles Co Schs Fing Prog, Ser A, COPS, BAM | 4.00% | 06/01/35 | 260,614 | ||||
200,000 | Compton CA Unif Sch Dist Los Angeles Co Schs Fing Prog, Ser A, COPS, BAM | 4.00% | 06/01/36 | 207,194 | ||||
210,000 | Cotati-Rohnert Park CA Unif Sch Dist 2016 Election, Ser C, AGM | 5.00% | 08/01/32 | 230,682 | ||||
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 | 1,571,670 | ||||
175,000 | Dana Point CA Cmnty Facs Distspl Tax Ref, Ser A, BAM | 4.00% | 09/01/33 | 182,997 | ||||
180,000 | Dana Point CA Cmnty Facs Distspl Tax Ref, Ser A, BAM | 4.00% | 09/01/34 | 187,525 | ||||
200,000 | Del Mar CA Union Sch Dist Spl Tax Ref | 4.00% | 09/01/33 | 202,093 | ||||
300,000 | Del Mar CA Union Sch Dist Spl Tax Ref | 4.00% | 09/01/34 | 302,137 | ||||
270,000 | Diablo CA Wtr Dist Wtr Rev Ref, COPS, BAM | 4.00% | 01/01/32 | 290,699 | ||||
150,000 | Dinuba CA Jt Unif Sch Dist, COPS, AGM | 4.00% | 02/01/35 | 156,276 | ||||
920,000 | E Bay CA Muni Util Dist Wtr Sys Rev Green Bond, Ser A | 5.00% | 06/01/38 | 1,052,891 | ||||
755,000 | El Dorado CA Irr Dist Rev Ref, Ser C | 4.00% | 03/01/34 | 787,516 | ||||
1,450,000 | Elk Grove CA Fin Auth Spl Tax Rev Laguna Ridge CFD #2005-1 | 4.00% | 09/01/50 | 1,343,085 | ||||
300,000 | Estrn CA Muni Wtr Dist Wtr & Wstwtr Rev Sub Ref, Ser A | 5.00% | 07/01/31 | 330,840 | ||||
350,000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No 19 Mangini | 5.00% | 09/01/32 | 379,362 | ||||
155,000 | Fontana CA Spl Tax Cmnty Facs Dist #80 Bella Strada | 5.00% | 09/01/29 | 169,976 | ||||
525,000 | Fontana CA Spl Tax Spl Tax, Summit at Rosena Phase One | 4.00% | 09/01/41 | 507,001 | ||||
240,000 | Fontana CA Spl Tax Spl Tax, The Meadows | 4.00% | 09/01/32 | 243,184 | ||||
165,000 | Fontana CA Unif Sch Dist Unrefunded, AGM | (d) | 02/01/33 | 117,046 | ||||
500,000 | Foothill Estrn Transprtn Corridor Agy CA Toll Road Rev Cap Apprec Sr Lien, Ser A | (d) | 01/01/23 | 496,912 | ||||
310,000 | Fountain Vly CA Pub Fing Auth Lease Rev Ref, Ser A | 4.00% | 11/01/29 | 328,547 | ||||
140,000 | Fresno CA Jt Pwrs Fing Auth Lease Rev Ref Master Lease Proj, Ser A, AGM | 5.00% | 04/01/32 | 154,728 | ||||
1,000,000 | Fresno CA Uni Sch Dist, Ser A | 4.00% | 08/01/45 | 1,015,976 | ||||
280,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Asset Bkd, Ref, Ser A | 3.25% | 06/01/32 | 291,830 | ||||
100,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Enhanced Asset Bkd, Ser A | 5.00% | 06/01/29 | 102,902 | ||||
340,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Ser A-1 | 5.00% | 06/01/26 | 381,181 | ||||
1,250,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Ser A-1 | 5.00% | 06/01/29 | 1,436,124 | ||||
750,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Ser A-1 | 5.00% | 06/01/34 | 877,447 | ||||
145,000 | Golden W CA Schs Fing Auth Ref Beverly Hills Unif Sch Dist, NATL-RE | 5.25% | 08/01/23 | 150,431 | ||||
265,000 | Imperial CA Pub Fing Auth Rev Ref, AGM | 4.00% | 10/15/33 | 286,664 | ||||
360,000 | Imperial CA Pub Fing Auth Rev Ref, AGM | 4.00% | 10/15/35 | 380,733 | ||||
140,000 | Inglewood CA Unif Sch Dist, Ser C, BAM | 4.00% | 08/01/35 | 145,978 | ||||
960,000 | Irvine CA Impt Bond Act 1915 Ref | 4.00% | 09/02/35 | 978,961 | ||||
150,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist #09-1, Ser C | 5.00% | 09/01/31 | 162,980 | ||||
890,000 | Jurupa CA Public Fing Auth Spl Tax Rev Ref, Ser A, AGM | 4.00% | 09/01/34 | 950,034 | ||||
290,000 | Kaweah CA Delta Hlthcare Dist Rev, Ser B | 5.00% | 06/01/40 | 301,761 | ||||
100,000 | Kern Cnty CA Wtr Agy Impt Dist #4 Wtr Rev Ref, Ser A, AGM | 5.00% | 05/01/29 | 110,362 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$485,000 | King City CA Union Sch Dist Cap Apprec Election 1998-C, CABS, AMBAC | (d) | 08/01/29 | $395,111 | ||||
25,000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Mountain House Sch Facs | 4.00% | 09/01/33 | 25,207 | ||||
25,000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Mountain House Sch Facs | 4.00% | 09/01/34 | 25,113 | ||||
200,000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Mountain House Sch Facs | 4.00% | 09/01/40 | 195,676 | ||||
1,055,000 | Lancaster CA Fing Auth Rev Measure M&R Street Impts Proj | 4.00% | 06/01/35 | 1,117,185 | ||||
200,000 | Long Beach CA Arpt Rev Ref, Ser A, AGM | 5.00% | 06/01/30 | 235,295 | ||||
500,000 | Long Beach CA Arpt Rev, Sec C, AMT, AGM | 5.25% | 06/01/47 | 551,910 | ||||
100,000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.25% | 11/15/23 | 103,378 | ||||
750,000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.50% | 11/15/30 | 856,377 | ||||
720,000 | Long Beach CA Cmnty Clg Dist 2016 Election, Ser B | 4.00% | 08/01/41 | 733,031 | ||||
190,000 | Los Angeles CA Cmnty Clg Dist, Ser G | 4.00% | 08/01/30 | 198,887 | ||||
460,000 | Los Angeles CA Dept of Arpts Arpt Rev Ref Sub Los Angeles Intl Arpt, Ser D, AMT | 5.00% | 05/15/32 | 516,151 | ||||
700,000 | Los Angeles CA Dept of Arpts Arpt Rev Sub Los Angeles Intl Arpt, Ser B, AMT | 5.00% | 05/15/31 | 754,111 | ||||
250,000 | Los Angeles CA Dept of Arpts Arpt Rev Subord Los Angeles Intl Arpt, Ser F, AMT | 5.00% | 05/15/32 | 280,517 | ||||
10,000 | Los Angeles CA Dept of Arpts, Ser E | 5.00% | 05/15/28 | 10,783 | ||||
1,000,000 | Los Angeles CA Dept of Wtr & Pwr Wtrwks Rev, Ser A | 5.00% | 07/01/48 | 1,103,639 | ||||
1,500,000 | Los Angeles CA Dept Wtr & Pwr Rev Ref Var Pwr Sys Subser A 3 Remk (e) | 1.50% | 07/01/35 | 1,500,000 | ||||
340,000 | Los Angeles CA Muni Impt Corplease Rev Ref Real Property, Ser B | 4.00% | 11/01/37 | 349,969 | ||||
500,000 | Los Angeles CA Unif Sch Dist, Ser C | 4.00% | 07/01/36 | 528,667 | ||||
410,000 | Los Osos CA Cmnty Svcs Wstwtr Assmnt Dist #1 Ref Reassmnt | 3.13% | 09/02/32 | 411,008 | ||||
100,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/27 | 109,605 | ||||
250,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/33 | 269,438 | ||||
250,000 | Marina Coast CA Wtr Dist Enterprise Rev, COPS | 4.00% | 06/01/35 | 264,736 | ||||
310,000 | Marina Coast CA Wtr Dist Enterprise Rev, COPS | 4.00% | 06/01/36 | 325,296 | ||||
1,190,000 | Marysville CA Jt Unif Sch Dist Green Bond, 2021 Energy Efficiency Proj, COPS, BAM | 4.00% | 06/01/39 | 1,222,753 | ||||
245,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/34 | 266,182 | ||||
500,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/44 | 535,360 | ||||
100,000 | Modesto CA Spl Tax Ref Cmnty Facs Dist # 2004-1 Vlg 1 #2 | 5.00% | 09/01/27 | 105,471 | ||||
200,000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (a) | 5.00% | 10/01/42 | 215,231 | ||||
225,000 | Mt San Antonio CA Cmnty Clg Dist Election 2018, Ser A | 4.00% | 08/01/22 | 225,000 | ||||
1,115,000 | Natomas CA Unif Sch Dist, AGM | 3.00% | 08/01/36 | 1,049,908 | ||||
250,000 | Norco CA Spl Tax Ref Norco Ridge Ranch, BAM | 5.00% | 09/01/32 | 279,421 | ||||
750,000 | Oak Vly CA Hosp Dist Hlth Facs Rev Ref, Ser A | 4.00% | 11/01/36 | 683,171 | ||||
405,000 | Oakland CA Unif Sch Dist Alameda Cnty Election of 2012, Ser A, AGM | 4.00% | 08/01/36 | 426,876 | ||||
100,000 | Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac | 4.00% | 09/01/34 | 100,454 | ||||
65,000 | Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac | 4.00% | 09/01/35 | 65,131 | ||||
275,000 | Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac | 4.00% | 09/01/39 | 271,106 | ||||
650,000 | Palm Desert CA Spl Tax Ref Univ Park | 4.00% | 09/01/51 | 597,057 | ||||
250,000 | Palomar Hlth CA Rev Ref | 5.00% | 11/01/31 | 266,153 | ||||
250,000 | Pleasant Vly CA Sch Dist Ventura Cnty, Ser B | 4.00% | 08/01/39 | 258,384 | ||||
500,000 | Pleasant Vly CA Sch Dist Ventura Cnty, Ser B | 4.00% | 08/01/40 | 514,054 | ||||
750,000 | Pleasanton CA Unif Sch Dist | 3.00% | 08/01/36 | 715,436 | ||||
210,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/33 | 228,952 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$220,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/34 | $239,286 | ||||
340,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/39 | 367,048 | ||||
200,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Ref #2004-1 Sunridge Park Area | 5.00% | 09/01/25 | 214,598 | ||||
500,000 | River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2019-1 Phase 2 Pub Impts | 5.00% | 09/01/40 | 534,123 | ||||
300,000 | River Islands CA Pub Fing Auth Spl Tax Ref Cmnty Facs Dist #2003-1 | 5.38% | 09/01/31 | 306,973 | ||||
575,000 | Riverside CA Unif Sch Dist Election of 2016, Ser B | 3.00% | 08/01/38 | 531,214 | ||||
185,000 | Riverside CA Unif Sch Dist Fing Auth Spl Tax Ref, BAM | 5.00% | 09/01/34 | 196,754 | ||||
550,000 | Riverside Cnty CA Teeter Plan Oblig Nts, Ser A | 0.50% | 10/20/22 | 548,943 | ||||
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 | 1,051,822 | ||||
185,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac | 5.00% | 09/01/32 | 201,935 | ||||
160,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac | 5.00% | 09/01/33 | 174,117 | ||||
170,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac | 4.00% | 09/01/34 | 173,109 | ||||
150,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac | 4.00% | 09/01/35 | 152,402 | ||||
225,000 | Roseville CA Spl Tax Vlg CFD #1 | 4.00% | 09/01/33 | 228,952 | ||||
200,000 | Sacramento CA Spl Tax Natomas Meadows Cmnty Facs Dist #2007-01 (a) | 5.00% | 09/01/32 | 212,771 | ||||
500,000 | Sacramento CA Transient Occupancy Tax Rev Sub Convention Ctr Complex, Ser C | 5.00% | 06/01/32 | 560,188 | ||||
1,000,000 | Sacramento Cnty CA Arpt Sys Rev Ref, Ser C, AMT | 5.00% | 07/01/38 | 1,088,847 | ||||
200,000 | San Bruno CA Park Sch Dist, Ser B | 4.00% | 08/01/37 | 207,390 | ||||
1,000,000 | San Diego CA Pub Fac Fing Auth Swr Rev Subord, Ser A | 5.00% | 05/15/47 | 1,157,102 | ||||
1,075,000 | San Diego CA Pub Fac Fing Auth Wtr Rev, Ser A | 5.00% | 08/01/41 | 1,161,981 | ||||
35,000 | San Diego Cnty CA Ltd Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A | 5.00% | 11/01/25 | 38,444 | ||||
510,000 | San Diego Cnty CA Ltd Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A | 5.00% | 11/01/28 | 558,466 | ||||
1,150,000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Amt Sr, Ser B, AMT | 5.00% | 07/01/38 | 1,184,444 | ||||
350,000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Ref Sub Rev, Ser A | 5.00% | 07/01/30 | 390,029 | ||||
130,000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord Ref, Ser A | 5.00% | 07/01/39 | 145,812 | ||||
1,000,000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord, Ser B, AMT | 5.00% | 07/01/34 | 1,119,190 | ||||
260,000 | San Diego Cnty CA Regl Transprtn Commn Sales Tax Rev, Ser A Ref Sub | 5.00% | 10/01/22 | 261,617 | ||||
125,000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No 2, Ser A | 4.00% | 09/01/32 | 125,938 | ||||
85,000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No 2, Ser A | 4.00% | 09/01/33 | 85,209 | ||||
100,000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No 2, Ser A | 4.00% | 09/01/34 | 99,774 | ||||
500,000 | San Francisco CA Bay Area Rapid Transit Dist Sales Tax Rev, Ser A | 4.00% | 07/01/36 | 522,764 | ||||
140,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref Second Ser, Ser 2020A, AMT | 5.00% | 05/01/37 | 154,146 | ||||
2,000,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/35 | 2,253,449 | ||||
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 | 472,533 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$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 | $107,960 | ||||
175,000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Cap Apprec Ref, Ser A, NATL-RE | (d) | 01/15/29 | 140,764 | ||||
1,500,000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Sr Lien Ref, Ser A | 5.00% | 01/15/29 | 1,619,452 | ||||
1,500,000 | Sanger CA Fing Auth Wstwtr Rev Ref, AGM | 5.00% | 06/15/34 | 1,613,652 | ||||
800,000 | Santa Clarita CA Cmnty Facs Dist Vista Canyon #2016-1 (a) | 4.00% | 09/01/35 | 801,442 | ||||
175,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/33 | 186,472 | ||||
740,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/38 | 761,274 | ||||
305,000 | Tahoe-Truckee CA Unif Sch Dist, COPS, BAM | 4.00% | 06/01/37 | 313,740 | ||||
260,000 | Tahoe-Truckee CA Unif Sch Dist, COPS, BAM | 4.00% | 06/01/39 | 265,154 | ||||
150,000 | Temecula Vly CA Unif Sch Dist Cmnty Facs Dist #2014-1 | 5.00% | 09/01/32 | 161,996 | ||||
400,000 | Temecula Vly Unif Sch Dist Fing Auth CA Spl Tax Rev, BAM | 5.00% | 09/01/34 | 422,534 | ||||
500,000 | Temescal Vly CA Wtr Dist Spl Tax Terramor Cmnty Facs Dist #4 Impt Area #1 | 5.00% | 09/01/31 | 540,669 | ||||
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 | 255,426 | ||||
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 | 1,085,996 | ||||
250,000 | Tracy CA Cmnty Facs Dist | 5.00% | 09/01/33 | 269,207 | ||||
525,000 | Transbay Jt Powers Auth CA Green Bond Sr Tax Alloc Bonds, Ser A | 5.00% | 10/01/33 | 606,338 | ||||
945,000 | Transbay Jt Powers Auth CA Green Bond Sr Tax Alloc Bonds, Ser A | 5.00% | 10/01/39 | 1,057,984 | ||||
850,000 | Tustin CA Cmnty Fac Dist Spl Tax Ref #06-1 Legacy Columbus Vlgs, Ser A | 5.00% | 09/01/35 | 897,846 | ||||
1,500,000 | Univ of California CA Rgts Med Center Pooled Rev, Ser P | 5.00% | 05/15/37 | 1,757,031 | ||||
100,000 | W Contra Costa CA Unif Sch Dist Ref, Ser A | 5.00% | 08/01/31 | 108,206 | ||||
112,825,422 | ||||||||
Colorado – 0.4% | ||||||||
500,000 | Willow Bend Met Dist CO Sr, Ser A | 5.00% | 12/01/39 | 500,868 | ||||
Florida – 0.3% | ||||||||
105,000 | Parkland Preserve CDD FL Spl Assmnt Rev, Ser A | 4.50% | 05/01/24 | 106,098 | ||||
245,000 | Rhodine Road N CDD FL Spl Assmnt | 4.00% | 05/01/30 | 243,504 | ||||
349,602 | ||||||||
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 | 510,840 | ||||
Guam – 0.8% | ||||||||
100,000 | Guam Govt Busn Privilege Tax Rev Ref, Ser D | 5.00% | 11/15/32 | 105,976 | ||||
750,000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A | 5.00% | 01/01/50 | 800,266 | ||||
906,242 | ||||||||
Illinois – 0.1% | ||||||||
135,000 | Chicago IL Ref, Ser C, CABS | (d) | 01/01/24 | 129,153 | ||||
Louisiana – 0.7% | ||||||||
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 | 846,341 | ||||
Ohio – 0.5% | ||||||||
650,000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Ser B-2, Class 2 | 5.00% | 06/01/55 | 649,998 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Puerto Rico – 1.6% | ||||||||
$1,295,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.50% | 07/01/34 | $1,313,215 | ||||
629,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (d) | 07/01/29 | 487,039 | ||||
144,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2 | 4.33% | 07/01/40 | 142,921 | ||||
1,943,175 | ||||||||
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 | 384,893 | ||||
Utah – 0.3% | ||||||||
500,000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-2 | 4.00% | 06/01/52 | 388,209 |
Total Investments – 98.1% | 119,434,743 | ||
(Cost $123,128,066) | |||
Net Other Assets and Liabilities – 1.9% | 2,343,452 | ||
Net Assets – 100.0% | $121,778,195 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury Long Bonds | Short | 8 | Sep 2022 | $ (1,152,000) | $(34,688) | |||||
Ultra 10-Year U.S. Treasury Notes | Short | 40 | Sep 2022 | (5,250,000) | (177,734) | |||||
$(6,402,000) | $(212,422) |
(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 July 31, 2022, securities noted as such amounted to $17,064,920 or 14.0% of net assets. |
(b) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A 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. |
(e) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
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-RE | National Public Finance Guarantee Corp. |
ASSETS TABLE | ||||
Total Value at 7/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 119,434,743 | $ — | $ 119,434,743 | $ — |
LIABILITIES TABLE | ||||
Total Value at 7/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts** | $ (212,422) | $ (212,422) | $ — | $ — |
* | 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 – 97.8% | ||||||||
Florida – 2.4% | ||||||||
$250,000 | Ridge at Apopka Cdd Fl Spl Assmnt | 5.38% | 05/01/42 | $256,077 | ||||
Guam – 2.4% | ||||||||
250,000 | Guam Intl Arpt Auth Prerefunded Gen, Sec C, AGM, AMT | 6.13% | 10/01/43 | 262,497 | ||||
New York – 90.7% | ||||||||
350,000 | Amherst NY Dev Corp Ref Ubf Fac Stdt Hsg, BAM | 4.00% | 10/01/42 | 356,838 | ||||
300,000 | Build NYC Res Corp NY Rev Acad Leadership Chrt Sch Proj | 4.00% | 06/15/31 | 300,954 | ||||
250,000 | Dutchess Cnty NY Loc Dev Corp Rev Marist Clg Proj | 5.00% | 07/01/52 | 275,709 | ||||
250,000 | Erie Cnty NY Indl Dev Agy Schfac Rev Ref City Sch Dist Buffalo Proj, Ser A, CMX2 | 5.00% | 05/01/25 | 271,289 | ||||
250,000 | Harrison NY Wtr Dist #2 Fire Prot Dist #2 | 4.00% | 08/01/34 | 270,748 | ||||
250,000 | Hudson Yards Infra Corp NY 2nd Indenture Rev Ref, Ser A | 5.00% | 02/15/38 | 273,254 | ||||
300,000 | Long Beach NY, Ser B, BAM | 5.25% | 07/15/32 | 342,685 | ||||
350,000 | Long Island NY Pwr Auth Elec Sys Rev | 5.00% | 09/01/35 | 394,226 | ||||
255,000 | Met Transprtn Auth NY Dedicated Tax Fund Green Bond, Ser B-1 | 5.00% | 11/15/36 | 275,514 | ||||
275,000 | Met Transprtn Auth NY Rev Green Bond Ref, Sec C-1 | 4.00% | 11/15/37 | 276,032 | ||||
250,000 | Monroe Cnty NY Indl Dev Corp Rev Ref Rochester Regl Hlth Proj, Ser A | 5.00% | 12/01/30 | 282,965 | ||||
305,000 | Nassau Cnty NY, Ser A, AGM | 5.00% | 04/01/29 | 357,014 | ||||
250,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref 2nd General Resolution, Ser EE | 5.00% | 06/15/41 | 281,371 | ||||
250,000 | New York City NY Transitional Fin Auth Bldg Aid Rev Ref-Sub, Ser S-1A | 5.00% | 07/15/35 | 293,309 | ||||
250,000 | New York City NY Transitional FIn Auth Rev Multi Modal Bonds Subord, Ser B-1 | 5.00% | 08/01/34 | 280,310 | ||||
250,000 | New York St Dorm Auth Revs Non St Supported Debt Memorial Sloan Kettering Cancer Ctr, Ser 1 | 5.00% | 07/01/39 | 276,139 | ||||
250,000 | New York St Dorm Auth Revs Non St Supported Debt Ref New Sch, Ser A | 5.00% | 07/01/29 | 282,444 | ||||
250,000 | New York St Dorm Auth Revs Non St Supported Debt Ref-Northwell Hlth Oblig Grp, Ser A | 5.00% | 05/01/38 | 279,377 | ||||
250,000 | New York St Dorm Auth Revs Non St Supported Debt Sch Dists Rev Bond Fing Prog, Ser A, BAM | 5.00% | 10/01/29 | 294,601 | ||||
265,000 | New York St Dorm Auth Revs Non St Supported Debt Trustees Of Columbia Univ | 5.00% | 10/01/25 | 292,883 | ||||
245,000 | New York St Dorm Auth Revs Non St Supported Debt, Ser A | 5.00% | 07/01/40 | 273,035 | ||||
250,000 | New York St Thruway Auth Personal Income Tax Rev Ref, Ser A-Bid Grp 1 | 5.00% | 03/15/30 | 297,975 | ||||
250,000 | NY NY Fiscal 2020, Ser B-1 | 5.00% | 10/01/32 | 289,094 | ||||
400,000 | NY NY Prerefunded, Subser F-1 | 5.00% | 03/01/37 | 408,116 | ||||
275,000 | NY St Envrnmntl Facs Corp St Clean Wtr & Drinking Wtr Ref Subord, Ser B | 5.00% | 06/15/44 | 309,658 | ||||
250,000 | NY St Liberty Dev Corp Liberty Rev Ref, Ser 1WTC | 4.00% | 02/15/43 | 252,952 | ||||
140,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser A, AMT | 5.00% | 12/01/33 | 151,235 | ||||
250,000 | NY St Urban Dev Corp Rev Personal Income Tax, Ser A | 5.00% | 03/15/35 | 286,492 | ||||
250,000 | Port Auth Of NY & NJ NY Ref Two Hundred Ninth Ser | 5.00% | 07/15/32 | 284,093 | ||||
270,000 | Rockland Cnty NY Sol Wst Mgmt Auth Green Bond, Ser A, AMT | 5.00% | 12/15/28 | 306,702 | ||||
290,000 | Southampton Vlg NY Ambulance Bldg | 2.13% | 03/01/29 | 287,376 | ||||
250,000 | Triborough Ny Bridge & Tunnel Auth Revs Ref, Ser B | 5.00% | 11/15/38 | 275,623 | ||||
190,000 | Troy NY Capital Res Corp Rev Rensselaer Polytechnic Institute Proj Ref | 4.00% | 09/01/35 | 192,352 | ||||
250,000 | Westchester NY Tobacco Asset Securitization Ref Sr, Ser B | 5.00% | 06/01/41 | 263,339 | ||||
9,835,704 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Puerto Rico – 2.3% | ||||||||
$153,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (a) | 07/01/29 | $118,469 | ||||
194,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (a) | 07/01/31 | 135,973 | ||||
254,442 |
Total Investments – 97.8% | 10,608,720 | ||
(Cost $10,611,746) | |||
Net Other Assets and Liabilities – 2.2% | 239,602 | ||
Net Assets – 100.0% | $10,848,322 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury Long Bonds | Short | 1 | Sep 2022 | $ (144,000) | $(3,563) | |||||
Ultra 10-Year U.S. Treasury Notes | Short | 2 | Sep 2022 | (262,500) | (6,648) | |||||
$(406,500) | $(10,211) |
(a) | Zero coupon bond. |
AGM | Assured Guaranty Municipal Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
CABS | Capital Appreciation Bonds |
ASSETS TABLE | ||||
Total Value at 7/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 10,608,720 | $ — | $ 10,608,720 | $ — |
LIABILITIES TABLE | ||||
Total Value at 7/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts** | $ (10,211) | $ (10,211) | $ — | $ — |
* | 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 | $ 119,434,743 | $ 10,608,720 | |
Cash | 2,995,023 | 366,670 | |
Cash segregated as collateral for open futures contracts | 140,400 | 9,300 | |
Due from advisor | — | 38,201 | |
Interest receivable | 1,257,283 | 102,115 | |
Total Assets | 123,827,449 | 11,125,006 | |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | 1,973,357 | 270,382 | |
Investment advisory fees | 51,022 | 4,552 | |
Variation margin | 24,875 | 1,750 | |
Total Liabilities | 2,049,254 | 276,684 | |
NET ASSETS | $121,778,195 | $10,848,322 | |
NET ASSETS consist of: | |||
Paid-in capital | $ 129,511,294 | $ 12,072,438 | |
Par value | 24,500 | 4,000 | |
Accumulated distributable earnings (loss) | (7,757,599) | (1,228,116) | |
NET ASSETS | $121,778,195 | $10,848,322 | |
NET ASSET VALUE, per share | $49.71 | $27.12 | |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 2,450,002 | 400,002 | |
Investments, at cost | $123,128,066 | $10,611,746 |
First Trust California Municipal High Income ETF (FCAL) | First Trust New York Municipal High Income ETF (FMNY) | |||
INVESTMENT INCOME: | ||||
Interest | $ 3,037,468 | $ 349,125 | ||
Total investment income | 3,037,468 | 349,125 | ||
EXPENSES: | ||||
Investment advisory fees | 761,632 | 84,738 | ||
Total expenses | 761,632 | 84,738 | ||
Fees waived by the investment advisor | (175,761) | (19,555) | ||
Net expenses | 585,871 | 65,183 | ||
NET INVESTMENT INCOME (LOSS) | 2,451,597 | 283,942 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments | (2,827,212) | (1,413,139) | ||
Futures contracts | 514,960 | 70,304 | ||
Net realized gain (loss) | (2,312,252) | (1,342,835) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (10,369,437) | (229,480) | ||
Futures contracts | (78,203) | 11,898 | ||
Net change in unrealized appreciation (depreciation) | (10,447,640) | (217,582) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (12,759,892) | (1,560,417) | ||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(10,308,295) | $(1,276,475) |
First Trust California Municipal High Income ETF (FCAL) | First Trust New York Municipal High Income ETF (FMNY) | ||||||
Year Ended 7/31/2022 | Year Ended 7/31/2021 | Year Ended 7/31/2022 | Period Ended 7/31/2021 (a) | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 2,451,597 | $ 2,039,398 | $ 283,942 | $ 46,946 | |||
Net realized gain (loss) | (2,312,252) | 418,351 | (1,342,835) | 29,919 | |||
Net increase from payment by the advisor | — | 219 | — | — | |||
Net change in unrealized appreciation (depreciation) | (10,447,640) | 3,455,246 | (217,582) | 204,345 | |||
Net increase (decrease) in net assets resulting from operations | (10,308,295) | 5,913,214 | (1,276,475) | 281,210 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (2,432,622) | (1,990,252) | (202,851) | (30,000) | |||
Return of capital | (15,880) | — | — | — | |||
Total distributions to shareholders | (2,448,502) | (1,990,252) | (202,851) | (30,000) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 41,720,854 | 21,698,863 | 2,621,647 | 15,004,560 | |||
Cost of shares redeemed | (12,384,469) | (8,129,605) | (5,549,769) | — | |||
Net increase (decrease) in net assets resulting from shareholder transactions | 29,336,385 | 13,569,258 | (2,928,122) | 15,004,560 | |||
Total increase (decrease) in net assets | 16,579,588 | 17,492,220 | (4,407,448) | 15,255,770 | |||
NET ASSETS: | |||||||
Beginning of period | 105,198,607 | 87,706,387 | 15,255,770 | — | |||
End of period | $ 121,778,195 | $ 105,198,607 | $ 10,848,322 | $ 15,255,770 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 1,900,002 | 1,650,002 | 500,002 | — | |||
Shares sold | 800,000 | 400,000 | 100,000 | 500,002 | |||
Shares redeemed | (250,000) | (150,000) | (200,000) | — | |||
Shares outstanding, end of period | 2,450,002 | 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. |
Year Ended July 31, | |||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
Net asset value, beginning of period | $ 55.37 | $ 53.16 | $ 52.70 | $ 50.11 | $ 50.14 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 1.08 | 1.16 | 1.17 | 1.49 | 1.45 | ||||
Net realized and unrealized gain (loss) | (5.65) | 2.19 (a) | 0.51 | 2.60 | (0.04) | ||||
Total from investment operations | (4.57) | 3.35 | 1.68 | 4.09 | 1.41 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.08) | (1.14) | (1.17) | (1.50) | (1.40) | ||||
Net realized gain | — | — | — | — | (0.04) | ||||
Return of capital | (0.01) | — | (0.05) | — | — | ||||
Total distributions | (1.09) | (1.14) | (1.22) | (1.50) | (1.44) | ||||
Net asset value, end of period | $49.71 | $55.37 | $53.16 | $52.70 | $50.11 | ||||
Total return (b) | (8.33)% | 6.37% (a) | 3.23% | 8.32% | 2.83% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 121,778 | $ 105,199 | $ 87,706 | $ 34,257 | $ 17,539 | ||||
Ratio of total expenses to average net assets | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% | ||||
Ratio of net expenses to average net assets | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% | ||||
Ratio of net investment income (loss) to average net assets | 2.09% | 2.16% | 2.28% | 3.01% | 2.97% | ||||
Portfolio turnover rate (c) | 30% | 25% | 81% | 69% | 91% |
(a) | 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. |
(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) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Year Ended 7/31/2022 | Period Ended 7/31/2021 (a) | ||
Net asset value, beginning of period | $ 30.51 | $ 30.00 | |
Income from investment operations: | |||
Net investment income (loss) | 0.68 | 0.09 | |
Net realized and unrealized gain (loss) | (3.61) | 0.48 | |
Total from investment operations | (2.93) | 0.57 | |
Distributions paid to shareholders from: | |||
Net investment income | (0.46) | (0.04) | |
Net realized gain | — | (0.02) | |
Total distributions | (0.46) | (0.06) | |
Net asset value, end of period | $27.12 | $30.51 | |
Total return (b) | (9.66)% | 1.90% | |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $ 10,848 | $ 15,256 | |
Ratio of total expenses to average net assets | 0.65% | 0.65% (c) | |
Ratio of net expenses to average net assets | 0.50% | 0.50% (c) | |
Ratio of net investment income (loss) to average net assets | 2.18% | 1.41% (c) | |
Portfolio turnover rate (d) | 154% | 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 | $102.65 | $251,549 | $256,635 | 0.21% | ||
CA St Sch Fin Auth Chrt Sch Rev Rocketship Pub Schs, Ser G, 5.00%, 06/01/37 | 12/05/17 | 300,000 | 103.59 | 308,777 | 310,776 | 0.26 | ||
$560,326 | $567,411 | 0.47% |
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 | $ 2,413,491 | $ 19,131 | $ — | $ 15,880 | |||
First Trust New York Municipal High Income ETF | 202,851 | — | — | — |
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 | $ — | $ (4,189,198) | $ (3,568,401) | ||
First Trust New York Municipal High Income ETF | 97,135 | (1,330,937) | 5,686 |
Non-Expiring Capital Loss Carryforward | |
First Trust California Municipal High Income ETF | $ 4,189,198 |
First Trust New York Municipal High Income ETF | 1,330,937 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | |||
First Trust California Municipal High Income ETF | $ (1,482) | $ 1,482 | $ — | ||
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 | $ 122,790,722 | $ 1,395,154 | $ (4,963,555) | $ (3,568,401) | |||
First Trust New York Municipal High Income ETF | 10,592,823 | 206,807 | (201,121) | 5,686 |
Purchases | Sales | ||
First Trust California Municipal High Income ETF | $ 64,258,680 | $ 34,093,363 | |
First Trust New York Municipal High Income ETF | 18,688,126 | 20,674,419 | |
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* | $ 212,422 |
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* | $ 10,211 |
Interest Rate Risk | ||
Statements of Operations Location | FCAL | FMNY |
Net realized gain (loss) on futures contracts | $514,960 | $70,304 |
Net change in unrealized appreciation (depreciation) on futures contracts | (78,203) | 11,898 |
Individual Funds Included in the Trust | Statements of Changes in Net Assets | Financial Highlights |
First Trust California Municipal High Income ETF (FCAL) | For the years ended July 31, 2022 and 2021 | For the years ended July 31, 2022, 2021, 2020, 2019, and 2018 |
First Trust New York Municipal High Income ETF (FMNY) | For the years ended July 31, 2022 and 2021 | For the year ended July 31, 2022 and the period from May 12, 2021 (commencement of operations) through July 31, 2021 |
Tax Exempt Interest Dividends | Alternative Minimum Tax (AMT) | ||
First Trust California Municipal High Income ETF | 99.21% | 8.14% | |
First Trust New York Municipal High Income ETF | 100.00% | 4.10% |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 220 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 220 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 220 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 220 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 220 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 220 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since 2016 | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2016 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies.” For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Year Ended
July 31, 2022
1 | |
2 | |
5 | |
8 | |
9 | |
23 | |
24 | |
25 | |
26 | |
27 | |
34 | |
35 | |
41 | |
43 |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 7/31/22 | Inception (11/1/17) to 7/31/22 | Inception (11/1/17) to 7/31/22 | |
Fund Performance | |||
NAV | -10.74% | 2.85% | 14.26% |
Market Price | -10.77% | 2.85% | 14.28% |
Index Performance | |||
Bloomberg Municipal Bond Index | -6.93% | 1.88% | 9.26% |
Blended Benchmark(1) | -5.93% | 2.97% | 14.90% |
(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 Benchmark 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 Benchmark for each period shown above. |
Sector Allocation | % of Total Investments (including cash) |
Industrial Development Bond | 10.7% |
Special Assessment | 10.4 |
Continuing Care Retirement Communities | 10.1 |
Education | 8.7 |
Hospital | 7.5 |
Government Obligation Bond - Limited Tax | 7.3 |
Dedicated Tax | 5.7 |
Government Obligation Bond - Unlimited Tax | 5.3 |
Gas | 5.1 |
Airport | 4.0 |
Tax Increment | 3.6 |
Higher Education | 3.2 |
Pre-refunded/Escrowed-to-maturity | 3.0 |
Tobacco | 2.3 |
Utility | 2.0 |
Water & Sewer | 1.8 |
Student Housing | 1.7 |
Certificates of Participation | 1.6 |
Insured | 1.4 |
Local Housing | 0.9 |
Toll Road | 0.8 |
Hotel | 0.6 |
Skilled Nursing | 0.6 |
Student Loan | 0.3 |
Housing | 0.3 |
Other Health | 0.2 |
Port | 0.0* |
Cash | 0.9 |
Total | 100.0% |
* | Amount is less than 0.1%. |
Credit Rating(2) | % of Total Investments (including cash) |
AAA | 0.9% |
AA | 11.6 |
A | 15.2 |
BBB | 13.7 |
BB | 12.2 |
B | 3.1 |
CCC | 0.6 |
Not Rated | 41.8 |
Cash | 0.9 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 98.8% |
Net Other Assets and Liabilities** | 1.2 |
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 S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
• | Over the past year, U.S. Treasury rates increased all along the yield curve and municipal interest rates followed U.S. Treasury yields higher. During the 12-month period ended July 31, 2022, 5-Year and 10-Year U.S. Treasury yields increased 198 basis points (“bps”) and 142 bps, respectively. |
• | Large industry-wide mutual fund and exchange-traded fund (“ETF”) outflows resulted in funds selling municipal bonds to meet redemptions which put additional pressure on municipal bond prices. According to data provided by the Investment Company Institute and Barclays, for the period ended July 31, 2022, municipal fund outflows totaled approximately $88.1 billion. |
• | According to data from Municipal Market Analytics, Inc., the number of municipal bond defaults was lower year-to-date compared to a year ago while the par value of defaulted bonds rose modestly. Through July 31, 2022, the number and par value of municipal bond defaults totaled 27 and $2.18 billion, respectively, compared with 44 defaults and $2.34 billion in par value for the same period a year ago. |
• | New issue municipal bond supply has been lower year-to-date compared to figures from a year ago. According to data compiled by the Securities Industry and Financial Market Association, Bloomberg and Barclays research, through July 31, 2022, year-to-date issuance was approximately $231.4 billion, down approximately 15% compared to $273.3 billion for the same period a year ago. |
Beginning Account Value February 1, 2022 | Ending Account Value July 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 | $919.20 | 0.55% | $2.62 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.07 | 0.55% | $2.76 |
(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 (February 1, 2022 through July 31, 2022), multiplied by 181/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 98.8% | ||||||||
Alabama – 1.2% | ||||||||
$2,500,000 | 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 | $2,552,949 | ||||
1,500,000 | Black Belt Energy Gas Dist AL Gas Proj Rev Proj No. 6, Ser B (Mandatory put 12/01/26) | 4.00% | 10/01/52 | 1,531,770 | ||||
4,084,719 | ||||||||
Arizona – 3.4% | ||||||||
780,000 | AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj (a) | 5.00% | 07/01/39 | 789,970 | ||||
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 | 760,813 | ||||
400,000 | AZ St Indl Dev Auth Edu Rev Lone Mountain Cmps Proj, Ser A (a) | 5.00% | 12/15/39 | 408,468 | ||||
1,255,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser D (a) | 4.00% | 07/01/27 | 1,248,326 | ||||
500,000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (a) | 4.00% | 07/15/51 | 415,921 | ||||
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 | 447,565 | ||||
1,000,000 | AZ St Indl Dev Auth Edu Rev Somerset Acdmy of LV Aliante & Skye Canyon Cmps Proj, Ser A (a) | 4.00% | 12/15/51 | 842,783 | ||||
500,000 | AZ St Indl Dev Auth Edu Rev, Ser A (a) | 5.00% | 07/15/40 | 506,768 | ||||
500,000 | Glendale AZ Indl Dev Auth Sr Living Facs Rev Royal Oaks Inspirata Pointe Proj, Ser A | 5.00% | 05/15/41 | 507,665 | ||||
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 | 996,377 | ||||
2,000,000 | Maricopa Cnty Indl Dev Auth Exempt Facs Rev Comml Metals Company Proj, AMT (a) | 4.00% | 10/15/47 | 1,861,481 | ||||
2,000,000 | Phoenix AZ Indl Dev Auth Hotel Rev Sr Falcon Properties LLC Proj, Ser A (a) | 4.00% | 12/01/51 | 1,569,128 | ||||
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 | 105,559 | ||||
1,000,000 | Tempe AZ Indl Dev Auth Rev Ref Friendship Vlg of Tempe Proj, Ser A | 4.00% | 12/01/38 | 886,152 | ||||
11,346,976 | ||||||||
Arkansas – 0.1% | ||||||||
500,000 | AR St Dev Fin Auth Hlthcare Facs Rev Carti Surgery Ctr Proj, Ser B | 4.00% | 07/01/52 | 429,163 | ||||
California – 6.9% | ||||||||
250,000 | CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Green Bond, Ser A (a) | 5.00% | 11/15/46 | 248,243 | ||||
250,000 | CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Green Bond, Ser A (a) | 5.00% | 11/15/51 | 245,827 | ||||
1,000,000 | CA St Hlth Facs Fing Auth Rev Stanford Hlth Care, Ser A | 5.00% | 08/15/54 | 1,054,695 | ||||
850,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj, Ser A (a) | 5.00% | 07/01/38 | 865,493 | ||||
450,000 | CA St Muni Fin Auth Chrt Sch Rev, Ser A (a) | 5.50% | 06/01/38 | 463,885 | ||||
205,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | 219,570 | ||||
1,250,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 5.00% | 10/01/44 | 1,306,784 | ||||
2,000,000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 2,003,581 | ||||
1,000,000 | CA St Muni Fin Auth Spl Tax Rev Cmnty Facs Dt #2021-11 Otay Ranch Vlg 8 W (b) | 5.00% | 09/01/52 | 1,024,782 | ||||
2,250,000 | CA St Poll Control Fin Auth Wtr Furnishing Rev Plant Bonds, AMT (a) | 5.00% | 07/01/37 | 2,259,835 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$1,000,000 | CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies Oceanside Proj, Ser A (a) | 5.00% | 10/01/42 | $1,050,329 | ||||
125,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No 1 | 4.00% | 09/01/28 | 128,470 | ||||
135,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No 1 | 4.00% | 09/01/29 | 138,360 | ||||
1,400,000 | CA St Stwd Cmntys Dev Auth Stwd Rev Dev Auth, Ser 2021A | 4.00% | 09/02/41 | 1,314,363 | ||||
550,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/33 | 568,107 | ||||
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 | 1,178,752 | ||||
500,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev Union S Bay Social Bonds, Ser A-2 (a) | 4.00% | 07/01/56 | 402,807 | ||||
1,250,000 | Elk Grove CA Fin Auth Spl Tax Rev CFD #2005-1 Laguna Ridge | 5.00% | 09/01/48 | 1,297,251 | ||||
465,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 4.00% | 09/01/46 | 442,117 | ||||
1,250,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Ser A-1 | 5.00% | 06/01/29 | 1,436,124 | ||||
300,000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (a) | 5.00% | 10/01/42 | 322,846 | ||||
450,000 | Palm Desert CA Spl Tax Ref Univ Park | 4.00% | 09/01/41 | 434,002 | ||||
235,000 | Riverside CA Unif Sch Dist Cmnty Facs Dt #33 Citrus Heights II Spl Tax | 4.00% | 09/01/29 | 246,544 | ||||
285,000 | Riverside CA Unif Sch Dist Cmnty Facs Dt #33 Citrus Heights II Spl Tax | 4.00% | 09/01/34 | 287,276 | ||||
400,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 4.00% | 09/01/41 | 393,993 | ||||
1,000,000 | Sacramento CA Spl Tax | 4.00% | 09/01/41 | 973,365 | ||||
2,000,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev, Ser A, AMT | 5.00% | 05/01/44 | 2,166,479 | ||||
1,000,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021 | 4.00% | 09/01/46 | 955,114 | ||||
23,428,994 | ||||||||
Colorado – 8.9% | ||||||||
1,125,000 | Allison Vly Met Dist #2 CO Ref | 4.70% | 12/01/47 | 1,009,744 | ||||
1,000,000 | Baseline Met Dist #1 CO Spl Rev, Ser A | 5.00% | 12/01/51 | 922,034 | ||||
525,000 | Brighton Crossing Met Dist #6 CO, Ser A | 5.00% | 12/01/35 | 528,934 | ||||
1,000,000 | Cascade Ridge Met Dist CO | 5.00% | 12/01/51 | 880,799 | ||||
515,000 | Chambers Highpoint Met Dist #2 CO | 5.00% | 12/01/41 | 496,090 | ||||
150,000 | CO Eductnl & Cultural Auth Rev Ref W Ridge Acdmy Chrt Sch Proj, Ser A | 5.00% | 06/01/27 | 156,912 | ||||
1,000,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp (a) | 5.00% | 12/15/45 | 1,026,996 | ||||
1,500,000 | CO St Hlth Facs Auth Hosp Rev Aberdeen Ridge, Ser A | 5.00% | 05/15/49 | 1,358,445 | ||||
500,000 | CO St Hlth Facs Auth Hosp Rev Aberdeen Ridge, Ser A | 5.00% | 05/15/58 | 435,197 | ||||
850,000 | CO St Hlth Facs Auth Hosp Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/38 | 855,585 | ||||
3,895,000 | CO St Hlth Facs Auth Hosp Rev Ref Sanford Hlth, Ser A | 5.00% | 11/01/44 | 4,235,115 | ||||
625,000 | CO St Hlth Facs Auth Hosp Rev Sr Living Ralston Creek Arvada Proj, Ser A | 5.25% | 11/01/32 | 465,996 | ||||
500,000 | Denver CO Intl Busn Ctr CO Met Dist #1 Subord, Ser B | 6.00% | 12/01/48 | 509,826 | ||||
1,700,000 | Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr Bonds, Ser A (a) | 5.00% | 12/01/41 | 1,600,713 | ||||
1,510,000 | Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr Bonds, Ser A (a) | 5.00% | 12/01/51 | 1,340,635 | ||||
900,000 | Hunters Overlook Metro Dist #5 CO Sr Bonds, Ser A | 5.00% | 12/01/39 | 907,791 | ||||
500,000 | Independence Met Dist #3 CO, Ser A | 6.25% | 12/01/49 | 480,242 | ||||
575,000 | Jefferson Ctr CO Met Dist #1 Spl Rev, Ser A-2 | 4.13% | 12/01/40 | 532,640 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado (Continued) | ||||||||
$875,000 | Lanterns Met Dist #1 CO Sr, Ser A | 5.00% | 12/01/39 | $881,560 | ||||
905,000 | Mountain Brook Met Dist CO | 4.50% | 12/01/41 | 780,594 | ||||
500,000 | Murphy Creek Met Dist #5 CO Sr Bonds, Ser A | 6.00% | 12/01/52 | 507,315 | ||||
500,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/34 | 539,402 | ||||
500,000 | Peak Met Dist #1 CO, Ser A (a) | 4.00% | 12/01/35 | 451,291 | ||||
1,000,000 | Peak Met Dist #1 CO, Ser A (a) | 5.00% | 12/01/41 | 968,616 | ||||
865,000 | Prairie Ctr Met Dist #7 CO | 4.13% | 12/15/36 | 811,867 | ||||
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 | 1,430,640 | ||||
785,000 | Siena Lake Met Dist CO | 3.25% | 12/01/31 | 674,211 | ||||
1,900,000 | Siena Lake Met Dist CO | 3.75% | 12/01/41 | 1,568,879 | ||||
500,000 | Siena Lake Met Dist CO | 4.00% | 12/01/51 | 410,037 | ||||
1,000,000 | Sterling Ranch Met Dist #1 CO | 5.00% | 12/01/40 | 1,008,997 | ||||
500,000 | Trails at Crowfoot Met Dist #3 CO Sr Ser, Ser A | 5.00% | 12/01/39 | 502,428 | ||||
1,200,000 | Transport Met Dist #3 CO MDD, Ser 2021-A-1 | 5.00% | 12/01/41 | 1,188,184 | ||||
740,000 | Willow Bend Met Dist CO Sr, Ser A | 5.00% | 12/01/39 | 741,284 | ||||
30,208,999 | ||||||||
Connecticut – 3.1% | ||||||||
250,000 | Bridgeport CT, Ser A, BAM | 5.00% | 02/01/31 | 288,107 | ||||
2,000,000 | CT St Hlth & Eductnl Facs Auth Rev Covenant Home Inc, Ser B | 5.00% | 12/01/40 | 2,084,494 | ||||
540,000 | CT St Hlth & Eductnl Facs Auth Rev Mclean Issue, Ser A (a) | 5.00% | 01/01/55 | 547,643 | ||||
250,000 | CT St Hlth & Eductnl Facs Auth Rev Quinnipiac Univ Ref, Ser M | 5.00% | 07/01/36 | 264,572 | ||||
250,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Quinnipiac Univ, Ser L | 5.00% | 07/01/31 | 265,055 | ||||
800,000 | CT St Hlth & Eductnl Facs Auth Rev, Ser A | 4.00% | 07/01/37 | 805,141 | ||||
2,500,000 | Harbor Point CT Infra Impt Dist Spl Oblig Rev Ref Harbor Point Proj Ltd (a) | 5.00% | 04/01/39 | 2,622,597 | ||||
480,000 | Steel Point Infra Impt Dist CT Spl Oblig Rev Steelpointe Harbor Proj (a) | 4.00% | 04/01/36 | 454,268 | ||||
550,000 | Steel Point Infra Impt Dist CT Spl Oblig Rev Steelpointe Harbor Proj (a) | 4.00% | 04/01/41 | 503,759 | ||||
1,725,000 | Steel Point Infra Impt Dist CT Spl Oblig Rev Steelpointe Harbor Proj (a) | 4.00% | 04/01/51 | 1,503,955 | ||||
1,000,000 | Univ of CT CT, Ser A | 5.00% | 11/01/35 | 1,120,052 | ||||
10,459,643 | ||||||||
Delaware – 0.1% | ||||||||
473,000 | Millsboro DE Spl Oblig Ref Plantation Lakes Spl Dev Dist (a) | 5.00% | 07/01/28 | 485,794 | ||||
District of Columbia – 0.3% | ||||||||
880,000 | DC Rev Rocketship DC Oblig Grp, Ser A (a) | 5.00% | 06/01/41 | 907,820 | ||||
Florida – 10.4% | ||||||||
500,000 | Alachua Cnty FL Hlth Facs CCRC Auth Ref Oak Hammock at The Univ of FL Inc Proj | 4.00% | 10/01/40 | 477,482 | ||||
500,000 | Alachua Cnty FL Hlth Facs CCRC Auth Ref Oak Hammock at The Univ of FL Inc Proj | 4.00% | 10/01/46 | 459,857 | ||||
100,000 | Capital Region FL CDD Rev Ref Capital Impt, Ser A-1 | 4.13% | 05/01/23 | 100,375 | ||||
445,000 | Capital Trust Agy FL Eductnl Facs Rev Academir Chrt Schs Inc Proj, Ser A (a) | 4.00% | 07/01/41 | 375,000 | ||||
525,000 | Capital Trust Agy FL Eductnl Facs Rev Academir Chrt Schs Inc Proj, Ser A (a) | 4.00% | 07/01/51 | 409,099 | ||||
200,000 | Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory Sch Inc Proj, Ser A | 4.00% | 08/01/30 | 203,916 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$300,000 | Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory Sch Inc Proj, Ser A | 5.00% | 08/01/40 | $316,343 | ||||
750,000 | Charlotte Cnty FL Indl Dev Auth Util Sys Rev Town & Country Utils Proj, Ser A, AMT (a) | 4.00% | 10/01/41 | 638,004 | ||||
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 | 787,499 | ||||
650,000 | Coco Palms FL CDD Spl Assmnt | 4.50% | 05/01/32 | 656,061 | ||||
2,650,000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area Two | 4.00% | 05/01/42 | 2,448,892 | ||||
855,000 | Epperson N CDD FL Capital Impt Rev Assmnt Area #2 | 4.00% | 05/01/51 | 755,737 | ||||
1,250,000 | Fallschase Cmnty Dev Dist FL Spl Assmnt | 3.38% | 05/01/41 | 1,048,981 | ||||
1,000,000 | FL Dev Fin Corp Surface Tranprtn Fac Rev Green Bond Brightline Passenger Rail Remk, Ser B, AMT (a) | 7.38% | 01/01/49 | 1,001,330 | ||||
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 | 1,082,149 | ||||
1,005,000 | FL St Dev Fin Corp Sr Living Rev Ref Mayflower Retmnt Cmnty Proj, Ser A (a) | 4.00% | 06/01/41 | 852,621 | ||||
500,000 | Forest Lake Cmnty Dev Dist FL Spl Assmnt Assmnt Area 1 Proj (a) | 4.00% | 05/01/40 | 467,891 | ||||
1,000,000 | Hills Minneola Cmnty Dev Dist FL Spl Assmnt Rev S Parcel Assmnt Area (a) | 4.00% | 05/01/40 | 935,851 | ||||
2,575,000 | Lee Cnty FL Indl Dev Auth Hlthcr Facs Rev Shell Point Waterside Hlth Proj | 5.00% | 11/15/49 | 2,687,697 | ||||
1,500,000 | LTC Ranch West Rsdl Cmnty Dev Dist Spl Assmnt Rev Assmnt Area One Proj, Ser A | 4.00% | 05/01/52 | 1,318,535 | ||||
2,625,000 | Miami-Dade Cnty FL Aviation Rev Ref, Ser B, AMT | 5.00% | 10/01/40 | 2,767,374 | ||||
85,000 | Miami-Dade Cnty FL Eductnl Facs Auth Rev Ref Univ Miami, Ser A | 5.00% | 04/01/31 | 89,292 | ||||
1,250,000 | Mirada II Cmnty Dev Dist FL Cap Impt Rev | 4.00% | 05/01/51 | 1,101,965 | ||||
1,520,000 | N Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 4.50% | 05/01/40 | 1,516,221 | ||||
1,000,000 | Palm Beach Cnty FL Rev Lynn Univ Hsg Proj, Ser A (a) | 5.00% | 06/01/57 | 1,002,764 | ||||
465,000 | Parkland Preserve CDD FL Spl Assmnt Rev, Ser A | 5.25% | 05/01/39 | 477,189 | ||||
1,500,000 | Polk Cnty FL Indl Dev Auth Mineral Dev LLC Secondary Phosphate Tailings Recovery Proj (a) | 5.88% | 01/01/33 | 1,592,948 | ||||
1,500,000 | Reedy Creek FL Impt Dist, Ser A | 5.00% | 06/01/38 | 1,543,409 | ||||
500,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/36 | 440,690 | ||||
750,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/41 | 626,380 | ||||
1,055,000 | Sawyers Landing CDD FL Spl Assmnt Rev | 4.13% | 05/01/41 | 998,676 | ||||
250,000 | SE Overtown Park W Cmnty Redev Agy FL Tax, Ser A-1 (a) | 5.00% | 03/01/30 | 258,001 | ||||
495,000 | Shell Point Cmnty Dev Dist FL Spl Assmnt (a) | 5.25% | 11/01/39 | 506,315 | ||||
750,000 | Six Mile Creek FL CDD Capital Impt Rev Assmnt Area 3 Phase 1 | 4.00% | 05/01/51 | 659,615 | ||||
1,290,000 | Stillwater CDD FL Sp Assmnt Spl Assmt 2021 Proj (a) | 3.50% | 06/15/41 | 1,100,764 | ||||
1,250,000 | Tern Bay CDD FL Spl Assmnt | 4.00% | 06/15/42 | 1,154,409 | ||||
1,000,000 | V-Dana CDD FL Spl Assmnt CDD Assmnt Area One 2021 Proj | 4.00% | 05/01/52 | 876,792 | ||||
230,000 | Villamar CDD FL Spl Assmnt (c) | 4.00% | 05/01/29 | 230,355 | ||||
1,190,000 | Wildblue CDD FL Spl Assmnt (a) | 4.25% | 06/15/39 | 1,164,670 | ||||
35,131,149 | ||||||||
Georgia – 3.6% | ||||||||
1,000,000 | Atlanta GA Arpt Passenger Fac Charge Rev Arpt Rev Subord, Ser D, AMT | 4.00% | 07/01/38 | 1,008,288 | ||||
1,775,000 | Atlanta GA Arpt Rev, Ser A | 5.00% | 07/01/42 | 2,023,432 | ||||
55,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/31 | 56,912 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Georgia (Continued) | ||||||||
$1,500,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/42 | $1,532,520 | ||||
1,500,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Rev Canterbury Court Proj, Ser A (a) | 4.00% | 04/01/51 | 1,150,557 | ||||
1,500,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Rev Canterbury Court Proj, Ser A (a) | 4.00% | 04/01/56 | 1,111,097 | ||||
500,000 | Geo L Smith II GA Congress Ctr Auth Convention Ctr Hotel Second Tier, Ser B (a) | 5.00% | 01/01/36 | 498,018 | ||||
400,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/30 | 437,208 | ||||
4,000,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put 12/01/28) | 4.00% | 05/01/52 | 4,083,311 | ||||
350,000 | Muni Elec Auth Of GA Plant Vogtle Units 3&4 Proj J, Ser A, AGM | 5.00% | 07/01/30 | 402,676 | ||||
12,304,019 | ||||||||
Guam – 0.4% | ||||||||
250,000 | Guam Govt Busn Privilege Tax Rev Ref, Ser-D | 5.00% | 11/15/35 | 263,706 | ||||
1,155,000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A | 5.00% | 01/01/50 | 1,232,410 | ||||
1,496,116 | ||||||||
Illinois – 5.5% | ||||||||
275,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (d) | 12/01/22 | 272,725 | ||||
300,000 | Chicago IL Brd of Edu Ref Dedicated, Ser C | 5.00% | 12/01/30 | 321,244 | ||||
2,500,000 | Chicago IL Brd of Edu Ref, Ser B | 5.00% | 12/01/31 | 2,723,561 | ||||
1,000,000 | Chicago IL Brd of Edu, Ser A | 5.00% | 12/01/33 | 1,078,285 | ||||
250,000 | Chicago IL Brd of Edu, Ser A | 5.00% | 12/01/35 | 266,893 | ||||
400,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien, Ser A, AMT | 5.00% | 01/01/37 | 431,831 | ||||
400,000 | Chicago IL Ref 2003B Remk | 5.25% | 01/01/29 | 418,790 | ||||
515,000 | Chicago IL Ref, Ser C, CABS | (d) | 01/01/25 | 475,399 | ||||
265,000 | Hillside IL Tax Incr Rev Ref | 5.00% | 01/01/24 | 268,024 | ||||
100,000 | IL St | 5.00% | 04/01/24 | 104,752 | ||||
500,000 | IL St | 5.50% | 05/01/26 | 551,667 | ||||
200,000 | IL St | 5.00% | 06/01/27 | 216,309 | ||||
250,000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/30 | 267,142 | ||||
250,000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/31 | 265,841 | ||||
2,250,000 | IL St Fin Auth Rev Ref Northshore Edward Elmhurst Hlth Credit Grp, Ser A | 5.00% | 08/15/47 | 2,496,555 | ||||
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 | 102,470 | ||||
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 | 308,441 | ||||
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 | 148,889 | ||||
1,500,000 | IL St, Ser A | 5.50% | 03/01/42 | 1,700,547 | ||||
2,000,000 | IL St, Ser C | 5.00% | 11/01/29 | 2,174,715 | ||||
650,000 | IL St, Ser D | 5.00% | 11/01/24 | 688,856 | ||||
1,660,000 | Lincolnwood IL Tax Incr Allocation Rev Nts Dist 1860 Dev Proj, Ser A, COPS (a) | 4.82% | 01/01/41 | 1,491,189 | ||||
2,000,000 | Will Cnty IL Cmnty High Sch Dist #210 Lincoln Way Ref, Ser A | 4.00% | 01/01/32 | 2,009,540 | ||||
18,783,665 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Indiana – 2.3% | ||||||||
$250,000 | Fort Wayne IN Mf Hsg Rev Silver Birch at Cook Road (a) | 5.30% | 01/01/32 | $230,763 | ||||
2,000,000 | IN Fin Auth Midwestern Disaster Relief Rev OH Vly Elec Corp Proj Remk, Ser A | 4.25% | 11/01/30 | 2,057,659 | ||||
1,250,000 | IN St Fin Auth Envrnmntl Rev Ref Var Duke Energy IN Inc Proj Remk, Ser A-1, AMT (Mandatory put 06/01/32) | 4.50% | 05/01/35 | 1,287,734 | ||||
665,000 | IN St Fin Auth Hosp Rev Goshen Hlth, Ser A | 4.00% | 11/01/37 | 672,071 | ||||
750,000 | IN St Fin Auth Hosp Rev Reid Hlth, AGM | 5.00% | 01/01/41 | 827,882 | ||||
200,000 | IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Acdmy Proj, Ser A (e) | 5.25% | 07/01/28 | 207,389 | ||||
1,500,000 | IN St Fin Auth Rev Ref Greencroft Obligated Grp, Ser A | 4.00% | 11/15/43 | 1,329,989 | ||||
600,000 | Plainfield IN Mf Hsg Rev Glasswater Creek Proj | 5.38% | 09/01/38 | 531,603 | ||||
600,000 | Terre Haute IN Mf Hsg Rev Silver Birch of Terre Haute Proj | 5.10% | 01/01/32 | 547,427 | ||||
7,692,517 | ||||||||
Iowa – 0.4% | ||||||||
1,250,000 | IA St Fin Auth Midwstrn Disaster Area Rev Ref IA Fertilizer Company Proj (Mandatory put 12/01/42) | 5.00% | 12/01/50 | 1,328,733 | ||||
Kansas – 1.1% | ||||||||
825,000 | Goddard KS Sales Tax Spl Oblg Rev Ref Olympic Park Star Bond Proj | 3.60% | 06/01/30 | 784,272 | ||||
1,750,000 | Wyandotte Cnty Kansas City KS Unif Govt Util Sys Rev Impt, Ser A | 5.00% | 09/01/40 | 1,844,204 | ||||
1,250,000 | Wyandotte Cnty KS Kansas City Unif Govt Spl Oblg Rev Ref Vlg E Proj Areas 2B 3 5 (a) | 5.75% | 09/01/39 | 1,260,012 | ||||
3,888,488 | ||||||||
Kentucky – 1.0% | ||||||||
875,000 | Henderson KY Exempt Facs Rev Pratt Paper LLC Proj, Ser A, AMT (a) | 4.45% | 01/01/42 | 883,693 | ||||
1,375,000 | Henderson KY Exempt Facs Rev Pratt Paper LLC Proj, Ser B, AMT (a) | 3.70% | 01/01/32 | 1,381,034 | ||||
750,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser B (Mandatory put 01/01/25) | 4.00% | 01/01/49 | 764,707 | ||||
230,000 | KY St Univ KY St Univ Proj, COPS, BAM | 4.00% | 11/01/41 | 237,711 | ||||
3,267,145 | ||||||||
Louisiana – 0.6% | ||||||||
200,000 | Monroe LA Wtr Rev, BAM | 5.00% | 11/01/32 | 228,129 | ||||
1,000,000 | Saint James Parish LA Rev NuStar Logistics LP Proj Remk, Ser 2010 (a) | 6.35% | 07/01/40 | 1,130,744 | ||||
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 | 564,227 | ||||
1,923,100 | ||||||||
Maine – 0.2% | ||||||||
1,000,000 | ME St Fin Auth Green Bond Go Lab Madison, LLC Proj, AMT (a) | 8.00% | 12/01/51 | 829,661 | ||||
Maryland – 1.5% | ||||||||
1,020,000 | Baltimore MD Spl Oblig Ref E Baltimore Rsrch Park Proj, Ser A | 5.00% | 09/01/38 | 1,051,756 | ||||
175,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 2.95% | 06/01/27 | 169,076 | ||||
185,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.05% | 06/01/28 | 176,018 | ||||
200,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.15% | 06/01/29 | 189,360 | ||||
190,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.20% | 06/01/30 | 177,824 | ||||
900,000 | Frederick Cnty MD Tax Incr & Spl Tax Ref Jefferson Technology Park Proj, Ser B (a) | 4.63% | 07/01/43 | 915,458 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Maryland (Continued) | ||||||||
$1,000,000 | MD St Econ Dev Corp Spl Oblig Port Covington Proj | 4.00% | 09/01/50 | $882,915 | ||||
1,150,000 | MD St Econ Dev Corp Stdt Hsg Rev Morgan St Univ Proj | 5.00% | 07/01/50 | 1,179,489 | ||||
300,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Adventist Hlthcare | 4.00% | 01/01/38 | 300,379 | ||||
5,042,275 | ||||||||
Massachusetts – 2.3% | ||||||||
1,000,000 | MA St Bay Transprtn Auth Sales Tax Rev Ref Sr, Ser B | 5.25% | 07/01/30 | 1,179,238 | ||||
2,000,000 | MA St Bay Transprtn Auth Sales Tax Rev Sr, Ser A | 5.00% | 07/01/45 | 2,123,871 | ||||
500,000 | MA St Dev Fin Agy Rev Linden Ponds Inc Fac (a) | 5.00% | 11/15/28 | 545,022 | ||||
2,000,000 | MA St Dev Fin Agy Rev N Hill Cmntys, Ser A (a) | 6.50% | 11/15/43 | 2,121,683 | ||||
1,020,000 | MA St Dev Fin Agy Rev Ref Salem Cmnty Corp | 5.13% | 01/01/40 | 1,028,673 | ||||
1,000,000 | MA St Dev Fin Agy Rev Umass Dartmouth Stdt Hsg Proj | 5.00% | 10/01/48 | 936,089 | ||||
7,934,576 | ||||||||
Michigan – 2.2% | ||||||||
300,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/31 | 315,998 | ||||
860,000 | Detroit MI Social Bonds, Ser A | 5.00% | 04/01/38 | 911,295 | ||||
100,000 | Detroit MI Social Bonds, Ser A | 5.00% | 04/01/46 | 104,052 | ||||
750,000 | MI St Fin Auth Rev Ref Beaumont Spectrum Consolidation, Ser A | 5.00% | 04/15/36 | 859,133 | ||||
2,000,000 | MI St Fin Auth Rev Ref Hosp McLaren Hlth Care, Ser B | 5.00% | 05/15/33 | 2,112,680 | ||||
1,000,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog Great Lakes Wtr Auth, Ser D4 | 5.00% | 07/01/30 | 1,051,593 | ||||
2,000,000 | Oakland Univ MI Rev Gen, Ser A | 5.00% | 03/01/38 | 2,031,685 | ||||
7,386,436 | ||||||||
Minnesota – 0.6% | ||||||||
350,000 | Duluth MN Indep Sch Dist #709 Ref, Ser B, COPS | 5.00% | 02/01/28 | 399,214 | ||||
150,000 | Minneapolis MN Stdt Hsg Rev Riverton Cmnty Hsg Proj (a) | 3.80% | 08/01/27 | 148,052 | ||||
105,000 | Saint Paul MN Hsg & Redev Auth Chrt Sch Lease Rev Ref, Ser A | 5.00% | 12/01/30 | 108,431 | ||||
850,000 | Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj, Ser A | 4.00% | 07/01/41 | 746,772 | ||||
660,000 | Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj, Ser A | 4.00% | 07/01/51 | 543,043 | ||||
1,945,512 | ||||||||
Mississippi – 0.3% | ||||||||
1,000,000 | MS St Hosp Equipment & Facs Auth Baptist Memorial Hlth Care, Ser A | 5.00% | 09/01/41 | 1,037,878 | ||||
Missouri – 0.6% | ||||||||
80,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs | 5.00% | 02/01/35 | 81,233 | ||||
1,100,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/32 | 1,101,740 | ||||
10,000 | MO St Hlth & Eductnl Facs Auth Med Rsrch Lutheran Svcs, Ser A | 5.00% | 02/01/29 | 10,510 | ||||
725,000 | Plaza at Noah’s Ark Cmnty Impt Dist MO Tax Incr & Impt Ref | 3.00% | 05/01/30 | 668,578 | ||||
1,862,061 | ||||||||
Nebraska – 0.3% | ||||||||
1,000,000 | Centrl Plains Energy Proj NE Gas Proj Rev Var Proj #5, Ser 1 (Mandatory put 10/01/29) | 5.00% | 05/01/53 | 1,077,292 | ||||
Nevada – 0.4% | ||||||||
315,000 | Carson City NV Hosp Rev Ref Carson Tahoe Regl Med Ctr, Ser A | 5.00% | 09/01/25 | 337,799 | ||||
195,000 | N Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 4.00% | 06/01/29 | 195,581 | ||||
700,000 | NV Dept of Busn & Ind NV Doral Acdmy, Ser A (a) | 5.00% | 07/15/37 | 707,247 | ||||
1,240,627 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
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 | $888,004 | ||||
500,000 | NH St Hlth & Edu Facs Auth Rev Ref Sthrn NH Med Ctr | 5.00% | 10/01/37 | 525,458 | ||||
1,413,462 | ||||||||
New Jersey – 1.2% | ||||||||
100,000 | NJ St Econ Dev Auth Spl Fac Rev Ref Port Newark Container Terminal LLC Proj, AMT | 5.00% | 10/01/25 | 105,928 | ||||
1,000,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev, Ser 1A, AMT | 4.00% | 12/01/30 | 1,019,916 | ||||
850,000 | NJ St Transprtn Trust Fund Auth Cap Apprec Transprtn Sys, Ser C, AMBAC | (d) | 12/15/25 | 782,524 | ||||
500,000 | NJ St Transprtn Trust Fund Auth Ref Transprtn Sys, Ser A | 5.00% | 12/15/30 | 554,927 | ||||
500,000 | Tobacco Stlmt Fing Corp NJ Ref, Ser A | 5.00% | 06/01/27 | 549,956 | ||||
1,000,000 | Tobacco Stlmt Fing Corp NJ Ref, Subser B | 5.00% | 06/01/46 | 1,020,190 | ||||
4,033,441 | ||||||||
New Mexico – 0.3% | ||||||||
535,000 | Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (a) | 3.75% | 05/01/28 | 510,411 | ||||
500,000 | Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (a) | 4.00% | 05/01/33 | 460,353 | ||||
970,764 | ||||||||
New York – 4.3% | ||||||||
785,000 | Build NYC Res Corp NY Rev NY Preparatory Chrt Sch Proj, Ser A | 4.00% | 06/15/41 | 712,130 | ||||
785,000 | Build NYC Res Corp NY Rev NY Preparatory Chrt Sch Proj, Ser A | 4.00% | 06/15/51 | 669,957 | ||||
500,000 | Build NYC Res Corp NY Rev Ref YMCA of Greater NY Proj | 5.00% | 08/01/40 | 545,463 | ||||
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 | 1,206,814 | ||||
1,250,000 | Dutchess Cnty NY Loc Dev Corp Rev Ref Bard Clg Proj, Ser A (a) | 5.00% | 07/01/40 | 1,296,235 | ||||
2,000,000 | New York City NY Transitional Fin Auth Rev Sub, Ser B-1 | 4.00% | 11/01/38 | 2,056,747 | ||||
500,000 | NY St Transprtn Dev Corp Exempt Fac Rev NY St Thruway Srvc Areas Proj, AMT | 4.00% | 10/31/46 | 454,977 | ||||
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 | 1,054,634 | ||||
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 | 472,686 | ||||
940,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref John F. Kennedy Intl Arpt Proj, AMT | 5.25% | 08/01/31 | 1,008,544 | ||||
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 | 439,403 | ||||
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 | 491,393 | ||||
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 | 486,113 | ||||
150,000 | Troy NY Capital Res Corp Rev Rensselaer Polytechnic Institute Proj Ref | 4.00% | 09/01/34 | 153,288 | ||||
2,000,000 | Tsasc Inc NY Tsasc Inc Rev Ref Turbo, Subser B | 5.00% | 06/01/45 | 2,011,066 | ||||
100,000 | Westchester Cnty NY Loc Dev Corp Rev Ref Miriam Osborn Memorial Home Assn Proj | 5.00% | 07/01/34 | 106,871 | ||||
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 | 880,522 | ||||
460,000 | Westchester NY Tobacco Asset Securitization Ref Sr, Ser B | 5.00% | 06/01/41 | 484,543 | ||||
14,531,386 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
North Carolina – 2.4% | ||||||||
$1,000,000 | NC St Agric & Tech Univ Ref Gen, Ser A | 5.00% | 10/01/40 | $1,067,792 | ||||
2,250,000 | NC St Med Care Commn Hlth Care Facs Rev Lutheran Svcs For The Aging Ref, Ser A | 4.00% | 03/01/41 | 1,909,209 | ||||
690,000 | NC St Med Care Commn Retmnt Facs Rev Pennybyrn at Maryfield Proj, Ser A | 5.00% | 10/01/45 | 683,413 | ||||
2,850,000 | NC St Med Care Commn Retmnt Facs Rev Ref Southminster Inc | 5.00% | 10/01/37 | 2,883,962 | ||||
715,000 | NC St Med Care Commn Retmnt Facs Rev The Forest at Duke Proj | 4.00% | 09/01/46 | 691,341 | ||||
1,000,000 | Wake Cnty NC Indl Facs & Poll Control Fing Auth Ref Duke Energy Progress | 4.00% | 06/01/41 | 1,000,651 | ||||
8,236,368 | ||||||||
North Dakota – 0.1% | ||||||||
520,000 | Horace ND Ref | 3.00% | 05/01/36 | 454,536 | ||||
Ohio – 4.5% | ||||||||
875,000 | Allen Cnty OH Hosp Facs Rev Ref Bon Secours Mercy Hlth Inc, Ser A | 5.00% | 12/01/35 | 977,643 | ||||
3,850,000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Ser B-2, Class 2 | 5.00% | 06/01/55 | 3,849,991 | ||||
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 | 854,342 | ||||
2,500,000 | OH St Air Quality Dev Auth Exempt Facs Rev AMG Vanadium Proj, AMT (a) | 5.00% | 07/01/49 | 2,474,342 | ||||
2,200,000 | OH St Air Quality Dev Auth Ref OH Vly Elec Corp Proj, Ser A | 3.25% | 09/01/29 | 2,147,052 | ||||
1,000,000 | OH St Hgr Eductnl Fac Commn Ref Rev Judson Oblig Grp 2020 Proj, Ser A | 5.00% | 12/01/45 | 1,029,452 | ||||
2,000,000 | OH St Turnpike Commn Junior Lien Infra Projs, Ser A-1 | 5.25% | 02/15/39 | 2,038,614 | ||||
490,000 | Port of Gtr Cincinnati Dev Auth OH Rev (a) | 3.75% | 12/01/31 | 445,088 | ||||
1,500,000 | Sthrn OH Port Exempt Fac Rev Purecycle Proj, Ser A, AMT (a) | 7.00% | 12/01/42 | 1,351,708 | ||||
15,168,232 | ||||||||
Oklahoma – 0.8% | ||||||||
2,500,000 | OK St Dev Fin Auth Sr OK Proton Ctr, Ser A1 (a) | 7.25% | 09/01/51 | 2,661,422 | ||||
Oregon – 1.2% | ||||||||
290,000 | Clackamas Cnty OR Hosp Fac Auth Rev Mary’s Woods at Marylhurst Inc Proj, Ser A | 5.00% | 05/15/26 | 293,868 | ||||
500,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A | 5.13% | 11/15/40 | 506,074 | ||||
750,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A | 5.38% | 11/15/55 | 755,140 | ||||
500,000 | OR St Facs Auth Rev Legacy Hlth Proj, Ser A | 4.13% | 06/01/52 | 498,011 | ||||
1,150,000 | OR St Facs Auth Rev Ref Samaritan Hlth Svcs Proj, Ser A | 5.00% | 10/01/40 | 1,239,227 | ||||
750,000 | Union Cnty OR Hosp Fac Auth Grande Ronde Hosp | 5.00% | 07/01/42 | 793,826 | ||||
4,086,146 | ||||||||
Pennsylvania – 4.7% | ||||||||
300,000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network Oblig Grp Issue, Ser A | 5.00% | 04/01/32 | 325,975 | ||||
1,000,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Ctr, Ser A | 4.00% | 07/15/36 | 1,015,314 | ||||
1,280,000 | Berks Cnty PA Muni Auth Univ Rev Alvernia Univ Proj | 5.00% | 10/01/39 | 1,286,802 | ||||
100,000 | Chester Cnty PA Indl Dev Auth Renaissance Acdmy Chrt Sch | 5.00% | 10/01/34 | 104,313 | ||||
240,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Univ Proj Ref, Ser TT1 | 4.00% | 05/01/36 | 237,958 | ||||
2,500,000 | Geisinger PA Auth Hlth Sys Rev Ref Geisinger Hlth Sys, Ser A-1 | 5.00% | 02/15/45 | 2,631,133 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$250,000 | Lancaster Cnty PA Hosp Auth Hlthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/28 | $259,637 | ||||
515,000 | Lancaster Cnty PA Hosp Auth Hlthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/31 | 530,965 | ||||
300,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/37 | 280,145 | ||||
250,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/38 | 231,811 | ||||
1,700,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/46 | 1,476,476 | ||||
350,000 | PA St Turnpike Commn Oil Franchise Tax Rev Ref Sub, Ser B | 5.00% | 12/01/30 | 387,133 | ||||
1,000,000 | PA St Turnpike Commn Oil Franchise Tax Rev Ref, Ser A | 5.00% | 12/01/46 | 1,112,507 | ||||
10,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/39 | 10,560 | ||||
1,000,000 | Philadelphia PA Arpt Rev Ref Priv Activity, AGM, AMT | 4.00% | 07/01/37 | 1,009,775 | ||||
3,380,000 | Philadelphia PA Arpt Rev Ref Priv Activity, AMT | 5.00% | 07/01/51 | 3,622,042 | ||||
900,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Ref String Theory Chrt Sch Proj (a) | 5.00% | 06/15/40 | 909,979 | ||||
215,000 | Philadelphia PA Auth for Indl Dev Revs Kipp Philadelphia Chrt Sch Proj, Ser A | 5.00% | 04/01/36 | 218,654 | ||||
125,000 | W Cornwall Twp PA Muni Auth Ref Lebanon Vly Brethren Home Proj, Ser A | 4.00% | 11/15/41 | 121,806 | ||||
15,772,985 | ||||||||
Puerto Rico – 2.2% | ||||||||
3,000,000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/33 | 2,879,173 | ||||
1,559,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.50% | 07/01/34 | 1,580,928 | ||||
177,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (d) | 07/01/29 | 137,052 | ||||
2,832,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2 | 4.33% | 07/01/40 | 2,810,794 | ||||
7,407,947 | ||||||||
South Carolina – 0.8% | ||||||||
425,000 | Berkeley Cnty SC Assmnt Rev Nexton Impt Dist | 4.00% | 11/01/30 | 425,675 | ||||
230,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 5.00% | 12/01/31 | 231,517 | ||||
245,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at Furman | 4.00% | 11/15/32 | 226,961 | ||||
1,250,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at Furman | 5.25% | 11/15/47 | 1,260,219 | ||||
580,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Woodlands at Furman Proj, Ser A | 5.00% | 11/15/42 | 577,760 | ||||
135,000 | SC St Jobs Econ Dev Auth Hlth Facs Rev Ref Lutheran Homes of SC Inc | 5.00% | 05/01/42 | 126,919 | ||||
2,849,051 | ||||||||
South Dakota – 0.2% | ||||||||
700,000 | Lincoln Cnty SD Econ Dev Rev Ref Augustana Clg Assoc Proj, Ser A | 4.00% | 08/01/41 | 655,264 | ||||
Tennessee – 2.1% | ||||||||
25,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Stdt Hsg CDFI Phase I | 5.00% | 10/01/23 | 25,451 | ||||
440,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Lipscomb Univ Proj, Ser A | 5.00% | 10/01/36 | 472,946 | ||||
3,000,000 | Tennergy Corp TN Gas Rev, Ser A (Mandatory put 09/01/28) | 4.00% | 12/01/51 | 3,072,345 | ||||
3,000,000 | TN St Energy Acq Corp Gas Rev (Mandatory put 11/01/25) | 4.00% | 11/01/49 | 3,079,971 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Tennessee (Continued) | ||||||||
$500,000 | TN St Energy Acq Corp Gas Rev Proj, Ser A (Mandatory put 05/01/23) | 4.00% | 05/01/48 | $506,299 | ||||
7,157,012 | ||||||||
Texas – 5.6% | ||||||||
1,200,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Legacy Trad Schs TX Proj, Ser A | 4.00% | 02/15/31 | 1,095,517 | ||||
1,645,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Legacy Trad Schs TX Proj, Ser A | 4.13% | 02/15/41 | 1,354,088 | ||||
610,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref, Ser A | 4.00% | 08/15/41 | 540,453 | ||||
2,000,000 | Austin TX Wtr & Wstwtr Sys Rev Ref | 5.00% | 11/15/42 | 2,201,250 | ||||
50,000 | Centrl TX Regl Mobility Auth Rev Ref Sub Lien | 5.00% | 01/01/33 | 50,708 | ||||
625,000 | Corpus Christi TX Util Sys Rev Junior Lien, Ser B | 5.00% | 07/15/42 | 709,937 | ||||
556,000 | Crandall TX Spl Assmnt Rev Cartwright Ranch Pub Impt Dt Impt Area #1 Proj (a) | 4.25% | 09/15/41 | 501,205 | ||||
420,000 | Harris-Brazoria Cntys TX Muni Util Dist #509, AGM | 3.00% | 09/01/32 | 402,802 | ||||
1,250,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal E Proj, Ser A, AMT | 5.00% | 07/01/27 | 1,300,166 | ||||
125,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 130,031 | ||||
635,000 | Houston TX Arpt Sys Rev United Airls Inc Terminal Impt Proj, Ser B-1, AMT | 4.00% | 07/15/41 | 578,133 | ||||
250,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pid #1 (e) | 4.13% | 09/01/29 | 250,860 | ||||
500,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pid #1 (a) | 4.63% | 09/01/39 | 500,401 | ||||
300,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch (a) | 4.35% | 08/15/25 | 310,993 | ||||
525,000 | Lavon TX Spl Assmt Rev Elevon Pub Impt Dt Area #1 (a) | 3.50% | 09/15/27 | 498,222 | ||||
400,000 | Leander TX Spl Assmnt Rev Crystal Springs Pub Impt Dist Proj Accd Inv (e) | 4.50% | 09/01/28 | 390,940 | ||||
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 | 1,203,618 | ||||
1,000,000 | N TX Tollway Auth Rev Ref First Tier Bonds, Ser A | 4.00% | 01/01/37 | 1,031,483 | ||||
285,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/32 | 292,356 | ||||
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 | 184,364 | ||||
2,750,000 | North Parkway Muni Mgmt Dist #1 Tx Spl Assmnt Rev Major Impts Proj (a) | 5.00% | 09/15/51 | 2,773,546 | ||||
500,000 | Princeton TX Spl Assmnt Rev Winchester Pub Impr Dt #2 Proj (a) | 5.13% | 09/01/42 | 516,337 | ||||
223,000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp Dist Major Imp Area Proj (a) | 3.75% | 09/15/31 | 207,437 | ||||
500,000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp Dist Major Imp Area Proj (a) | 4.13% | 09/15/41 | 465,802 | ||||
765,000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp Dist Major Imp Area Proj (a) | 4.25% | 09/15/51 | 691,562 | ||||
600,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Ref Cook Children’s Med Ctr | 4.00% | 12/01/36 | 615,619 | ||||
250,000 | TX St Transprtn Commn Central TX Turnpike Sys Rev Ref, Ser B | 5.00% | 08/15/37 | 261,118 | ||||
19,058,948 | ||||||||
Utah – 4.0% | ||||||||
1,500,000 | Black Desert Pub Infra Dist Sr Bonds, Ser A (a) | 3.75% | 03/01/41 | 1,261,191 | ||||
1,500,000 | Black Desert Pub Infra Dist Sr Bonds, Ser A (a) | 4.00% | 03/01/51 | 1,226,868 | ||||
1,000,000 | Med Sch Cmps Pub Infra Dist UT, Ser A (a) | 5.25% | 02/01/40 | 912,408 | ||||
1,000,000 | Mida Golf & Equestrian Ctr Pub Infra Dist UT Ltd (a) | 4.25% | 06/01/41 | 852,493 | ||||
3,000,000 | Mida Golf & Equestrian Ctr Pub Infra Dist UT Ltd (a) | 4.50% | 06/01/51 | 2,468,216 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Utah (Continued) | ||||||||
$2,000,000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-2 | 4.00% | 06/01/41 | $1,677,329 | ||||
1,000,000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-2 | 4.00% | 06/01/52 | 776,417 | ||||
500,000 | Red Bridge Pub Infra Dist #1 UT Sr Infra Dist, Ser 1-A (a) | 4.13% | 02/01/41 | 424,960 | ||||
1,500,000 | Red Bridge Pub Infra Dist #1 UT Sr Infra Dist, Ser 1-A (a) | 4.38% | 02/01/51 | 1,245,432 | ||||
475,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Mountain W Montessori Acdmy Proj, Ser A (a) | 5.00% | 06/15/39 | 479,051 | ||||
675,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner Acdmy Proj, Ser A (a) | 5.00% | 06/15/39 | 674,197 | ||||
1,605,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner Acdmy, Ser A (a) | 5.63% | 06/15/42 | 1,658,426 | ||||
13,656,988 | ||||||||
Virginia – 0.3% | ||||||||
1,000,000 | Henrico Cnty VA Econ Dev Auth Rsdl Care Fac Rev Westminster Cantebury Richmond, Ser A | 5.00% | 10/01/42 | 1,093,492 | ||||
Washington – 1.9% | ||||||||
1,500,000 | Fyi Properties WA Lease Rev Ref Green Bond WA Dis Proj | 5.00% | 06/01/38 | 1,651,579 | ||||
560,000 | Kalispel Tribe of Indians Priority Dist WA Rev, Ser A (a) | 5.00% | 01/01/32 | 607,306 | ||||
1,000,000 | WA St Convention Ctr Pub Facs Dist Junior Lodging Tax Notes Green Bond | 4.00% | 07/01/31 | 993,202 | ||||
1,000,000 | WA St Hgr Edu Facs Auth Seattle Univ Proj Rev | 4.00% | 05/01/45 | 990,815 | ||||
230,000 | WA St Hlthcare Facs Auth Ref Fred Hutchinson Cancer Rsrch Ctr | 5.00% | 01/01/26 | 249,976 | ||||
245,000 | WA St Hlthcare Facs Auth Seattle Cancer Care Alliance (a) | 5.00% | 12/01/33 | 272,780 | ||||
710,000 | WA St Hsg Fin Commn Nonprofit Rev Spokane Int Acad Proj, Ser A (a) | 5.00% | 07/01/50 | 715,048 | ||||
983,346 | WA St Hsg Fin Commn Social Ctf, Ser A-1 | 3.50% | 12/20/35 | 934,085 | ||||
6,414,791 | ||||||||
West Virginia – 0.9% | ||||||||
2,000,000 | S Charleston WV Spl Dist Excise Tax Ref S Charleston Park Place Proj, Ser A (a) | 4.50% | 06/01/50 | 1,659,654 | ||||
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 | 1,003,277 | ||||
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 | 512,769 | ||||
3,175,700 | ||||||||
Wisconsin – 3.2% | ||||||||
470,000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (a) | 4.00% | 06/15/30 | 458,200 | ||||
810,000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (a) | 5.00% | 06/15/40 | 818,351 | ||||
500,000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas Proj, Ser A (a) | 4.00% | 07/01/30 | 486,740 | ||||
470,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las Vegas Proj, Ser A (a) | 4.20% | 07/15/27 | 474,806 | ||||
375,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las Vegas Proj, Ser A (a) | 5.13% | 07/15/37 | 387,495 | ||||
250,000 | Pub Fin Auth WI Edu Rev Coral Acdmy Science Las Vegas, Ser A | 5.00% | 07/01/45 | 253,116 | ||||
200,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/52 | 201,449 | ||||
160,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/27 | 171,602 | ||||
1,500,000 | Pub Fin Auth WI Hosp Rev Ref Carson Vly Med Ctr, Ser A | 4.00% | 12/01/41 | 1,405,460 | ||||
1,000,000 | Pub Fin Auth WI Hotel Rev Sr Lien Grand Hyatt San Antonio Hotel Acq Proj, Ser A | 5.00% | 02/01/42 | 1,071,805 | ||||
1,000,000 | Pub Fin Auth WI Rev Ref Roseman Univ of Hlth Sciences Proj (a) | 4.00% | 04/01/42 | 896,155 | ||||
2,000,000 | Pub Fin Auth WI Rev Sr Proton Intl AR LLC, Ser A (a) | 6.85% | 01/01/51 | 1,646,166 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Wisconsin (Continued) | ||||||||
$500,000 | Pub Fin Auth WI Rev TX Biomedical Rsrch Institute Proj, Ser A | 4.00% | 06/01/39 | $492,982 | ||||
1,900,000 | Pub Fin Auth WI Stdt Hsg Rev NC A&T Real Estate Fdtn LLC Proj, Ser B | 5.00% | 06/01/44 | 1,948,465 | ||||
10,712,792 |
Total Investments – 98.8% | 335,034,085 | ||
(Cost $348,188,643) | |||
Net Other Assets and Liabilities – 1.2% | 3,920,889 | ||
Net Assets – 100.0% | $338,954,974 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury Long Bonds | Short | 12 | Sep 2022 | $ (1,728,000) | $(63,375) | |||||
Ultra 10-Year U.S. Treasury Notes | Short | 138 | Sep 2022 | (18,112,500) | (532,938) | |||||
$(19,840,500) | $(596,313) |
(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 July 31, 2022, securities noted as such amounted to $100,388,378 or 29.6% of net assets. |
(b) | When-issued security. The interest rate shown reflects the rate in effect at July 31, 2022. Interest will begin accruing on the security’s first settlement date. |
(c) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(d) | Zero coupon bond. |
(e) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A 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 |
CABS | Capital Appreciation Bonds |
CIBS | Current Interest Bonds |
COPS | Certificates of Participation |
NATL-RE | National Public Finance Guarantee Corp. |
ASSETS TABLE | ||||
Total Value at 7/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 335,034,085 | $ — | $ 335,034,085 | $ — |
LIABILITIES TABLE | ||||
Total Value at 7/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts** | $ (596,313) | $ (596,313) | $ — | $ — |
* | 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 $348,188,643) | $ 335,034,085 |
Cash | 2,536,040 |
Cash segregated as collateral for open futures contracts | 425,100 |
Interest receivable | 3,462,443 |
Total Assets | 341,457,668 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 2,276,637 |
Investment advisory fees | 153,401 |
Variation margin | 72,656 |
Total Liabilities | 2,502,694 |
NET ASSETS | $338,954,974 |
NET ASSETS consist of: | |
Paid-in capital | $ 372,373,011 |
Par value | 69,000 |
Accumulated distributable earnings (loss) | (33,487,037) |
NET ASSETS | $338,954,974 |
NET ASSET VALUE, per share | $49.12 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 6,900,002 |
INVESTMENT INCOME: | ||
Interest | $ 11,527,206 | |
Total investment income | 11,527,206 | |
EXPENSES: | ||
Investment advisory fees | 2,356,348 | |
Total expenses | 2,356,348 | |
Fees waived by the investment advisor | (504,932) | |
Net expenses | 1,851,416 | |
NET INVESTMENT INCOME (LOSS) | 9,675,790 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (19,414,401) | |
Futures contracts | 2,356,093 | |
Net realized gain (loss) | (17,058,308) | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | (31,747,245) | |
Futures contracts | (389,047) | |
Net change in unrealized appreciation (depreciation) | (32,136,292) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (49,194,600) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(39,518,810) |
Year Ended 7/31/2022 | Year Ended 7/31/2021 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 9,675,790 | $ 4,957,210 | |
Net realized gain (loss) | (17,058,308) | 467,432 | |
Net increase from payment by the advisor | — | 469 | |
Net change in unrealized appreciation (depreciation) | (32,136,292) | 14,677,444 | |
Net increase (decrease) in net assets resulting from operations | (39,518,810) | 20,102,555 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (9,560,177) | (4,856,433) | |
Return of capital | (505,451) | (226,820) | |
Total distributions to shareholders | (10,065,628) | (5,083,253) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 234,880,882 | 156,791,601 | |
Cost of shares redeemed | (129,802,313) | — | |
Net increase (decrease) in net assets resulting from shareholder transactions | 105,078,569 | 156,791,601 | |
Total increase (decrease) in net assets | 55,494,131 | 171,810,903 | |
NET ASSETS: | |||
Beginning of period | 283,460,843 | 111,649,940 | |
End of period | $ 338,954,974 | $ 283,460,843 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 5,000,002 | 2,150,002 | |
Shares sold | 4,450,000 | 2,850,000 | |
Shares redeemed | (2,550,000) | — | |
Shares outstanding, end of period | 6,900,002 | 5,000,002 |
Year Ended July 31, | Period Ended 7/31/2018 (a) | ||||||||
2022 | 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) | 1.50 | 1.59 | 1.64 | 1.69 | 1.15 | ||||
Net realized and unrealized gain (loss) | (7.50) | 4.83 (b) | (0.48) | 2.27 | 0.30 | ||||
Total from investment operations | (6.00) | 6.42 | 1.16 | 3.96 | 1.45 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.49) | (1.59) | (1.62) | (1.67) | (1.13) | ||||
Return of capital | (0.08) | (0.07) | (0.09) | (0.13) | — | ||||
Total distributions | (1.57) | (1.66) | (1.71) | (1.80) | (1.13) | ||||
Net asset value, end of period | $49.12 | $56.69 | $51.93 | $52.48 | $50.32 | ||||
Total return (c) | (10.74)% | 12.57% (b) | 2.25% | 8.05% | 2.93% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 338,955 | $ 283,461 | $ 111,650 | $ 62,979 | $ 27,677 | ||||
Ratio of total expenses to average net assets | 0.70% | 0.70% | 0.70% | 0.70% | 0.70% (d) | ||||
Ratio of net expenses to average net assets | 0.55% | 0.55% | 0.55% | 0.55% | 0.55% (d) | ||||
Ratio of net investment income (loss) to average net assets | 2.87% | 3.00% | 3.22% | 3.44% | 3.13% (d) | ||||
Portfolio turnover rate (e) | 79% | 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 | $103.69 | $201,506 | $207,389 | 0.06% | ||
Kyle TX Spl Assmnt Rev 6 Creeks Pid #1, 4.13%, 09/01/29 | 05/08/19 | 250,000 | 100.34 | 250,000 | 250,860 | 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 | 97.74 | 397,345 | 390,940 | 0.12 | ||
$848,851 | $849,189 | 0.25% |
Distributions paid from: | 2022 | 2021 |
Ordinary income | $19,097 | $— |
Capital gains | — | — |
Tax-exempt income | 9,541,080 | 4,856,433 |
Return of capital | 505,451 | 226,820 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (20,197,363) |
Net unrealized appreciation (depreciation) | (13,289,674) |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$(36,724) | $36,724 | $— |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$347,727,446 | $4,717,262 | $(18,006,936) | $(13,289,674) |
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* | $ 596,313 |
Statement of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $2,356,093 |
Net change in unrealized appreciation (depreciation) on futures contracts | (389,047) |
Federal and State Income Tax | Percentages | |
Tax-Exempt Interest Dividends | 99.80% | |
Alternative Minimum Tax (AMT) | 10.63% |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 220 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 220 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 220 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 220 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 220 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 220 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since 2016 | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2016 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
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FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
First Trust Ultra Short Duration Municipal ETF (FUMB)
For the Year Ended
July 31, 2022
2 | |
Fund Performance Overview | |
3 | |
5 | |
7 | |
8 | |
12 | |
Portfolio of Investments | |
13 | |
32 | |
45 | |
46 | |
47 | |
48 | |
50 | |
57 | |
58 | |
64 | |
66 |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 7/31/22 | Inception (11/1/18) to 7/31/22 | Inception (11/1/18) to 7/31/22 | |
Fund Performance | |||
NAV | -3.19% | 1.74% | 6.69% |
Market Price | -3.14% | 1.76% | 6.74% |
Index Performance | |||
Bloomberg Municipal Short (1-5) Year Index | -2.49% | 1.53% | 5.87% |
Sector Allocation | % of Total Investments (including cash) |
Pre-refunded/Escrowed-to-maturity | 14.8% |
Insured | 13.1 |
Gas | 9.2 |
Hospital | 7.3 |
Government Obligation Bond - Unlimited Tax | 6.9 |
Special Assessment | 5.5 |
Utility | 4.5 |
Water & Sewer | 4.4 |
Continuing Care Retirement Communities | 4.3 |
Certificates of Participation | 4.1 |
Industrial Development Bond | 4.0 |
Airport | 3.9 |
Higher Education | 2.6 |
Dedicated Tax | 2.2 |
Education | 2.2 |
Tax Increment | 1.5 |
Toll Road | 1.4 |
Government Obligation Bond - Limited Tax | 1.4 |
Mass Transit | 1.2 |
Student Loan | 0.8 |
Local Housing | 0.7 |
Port | 0.5 |
Housing | 0.2 |
Tobacco | 0.2 |
Student Housing | 0.0* |
Cash | 3.1 |
Total | 100.0% |
* | Amount is less than 0.1%. |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 6.4% |
AA | 37.4 |
A | 28.3 |
BBB | 10.8 |
BB | 2.5 |
B | 0.8 |
Not Rated | 9.7 |
SP-1/MIG1 (short-term) | 0.9 |
SP-2/MIG2 (short-term) | 0.1 |
Cash | 3.1 |
Total | 100.0% |
(1) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, 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 | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 7/31/22 | Inception (11/1/18) to 7/31/22 | Inception (11/1/18) to 7/31/22 | |
Fund Performance | |||
NAV | -0.45% | 0.96% | 3.65% |
Market Price | -0.45% | 0.96% | 3.65% |
Index Performance | |||
Bloomberg Municipal Short-Term Index | 0.36% | 1.00% | 3.80% |
Sector Allocation | % of Total Investments (including cash) |
Pre-refunded/Escrowed-to-maturity | 24.4% |
Government Obligation Bond - Unlimited Tax | 11.8 |
Insured | 9.4 |
Gas | 7.4 |
Industrial Development Bond | 6.7 |
Hospital | 5.1 |
Government Obligation Bond - Limited Tax | 5.0 |
Certificates of Participation | 4.9 |
Housing | 3.5 |
Water & Sewer | 3.4 |
Dedicated Tax | 2.6 |
Airport | 2.3 |
Utility | 2.3 |
Mass Transit | 2.2 |
Student Loan | 1.4 |
Education | 1.2 |
Higher Education | 1.1 |
Municipals | 0.7 |
Continuing Care Retirement Communities | 0.4 |
Tax Increment | 0.2 |
Special Assessment | 0.2 |
Toll Road | 0.0* |
Cash | 3.8 |
Total | 100.0% |
* | Amount is less than 0.1%. |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 10.3% |
AA | 33.3 |
A | 23.4 |
BBB | 9.5 |
BB | 1.7 |
Not Rated | 6.3 |
SP-1+ (short-term) | 5.4 |
SP-1/MIG1 (short-term) | 4.7 |
SP-2/MIG2 (short-term) | 1.6 |
Cash | 3.8 |
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 S&P Global Ratings, 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.
• | Over the past year, U.S. Treasury rates increased all along the yield curve and municipal interest rates followed U.S. Treasury yields higher. During the 12-month period ended July 31, 2022, 5-Year and 10-Year U.S. Treasury yields increased 198 basis points (“bps”) and 142 bps, respectively. |
• | Large industry-wide mutual fund and exchange-traded fund (“ETF”) outflows resulted in funds selling municipal bonds to meet redemptions which put additional pressure on municipal bond prices. According to data provided by the Investment Company Institute (“ICI”) and Barclays, for the period ended July 31, 2022, municipal fund outflows totaled approximately $88.1 billion. |
• | According to data from Municipal Market Analytics, Inc. (“MMA”), the number of municipal bond defaults was lower year-to-date compared to a year ago while the par value of defaulted bonds rose modestly. Through July 31, 2022, the number and par value of municipal bond defaults totaled 27 and $2.18 billion, respectively, compared with 44 defaults and $2.34 billion in par value for the same period a year ago. |
• | New issue municipal bond supply has been lower year-to-date compared to figures from a year ago. According to data compiled by the Securities Industry and Financial Market Association (“SIFMA”), Bloomberg and Barclays research, through July 31, 2022, year-to-date issuance was approximately $231.4 billion, down approximately 15% compared to $273.3 billion for the same period a year ago. |
• | As a result of these factors, municipal bond yields rose, credit spreads widened and municipal bond prices declined. |
• | Over the past year, U.S. Treasury rates increased all along the yield curve and municipal interest rates followed U.S. Treasury yields higher. During the 12-month period ended July 31, 2022, 5-Year and 10-Year U.S. Treasury yields increased 198 bps and 142 bps, respectively. |
• | Large industry-wide mutual fund and ETF outflows resulted in funds selling municipal bonds to meet redemptions which put additional pressure on municipal bond prices. According to data provided by ICI and Barclays, for the period ended July 31, 2022, municipal fund outflows totaled approximately $88.1 billion. |
• | According to data from MMA, the number of municipal bond defaults was lower year-to-date compared to a year ago while the par value of defaulted bonds rose modestly. Through July 31, 2022, the number and par value of municipal bond defaults totaled 27 and $2.18 billion, respectively, compared with 44 defaults and $2.34 billion in par value for the same period a year ago. |
• | New issue municipal bond supply has been lower year-to-date compared to figures from a year ago. According to data compiled by SIFMA, Bloomberg and Barclays research, through July 31, 2022, year-to-date issuance was approximately $231.4 billion, down approximately 15% compared to $273.3 billion for the same period a year ago. |
• | As a result of these factors, municipal bond yields rose, credit spreads widened, and municipal bond prices declined. |
Beginning Account Value February 1, 2022 | Ending Account Value July 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 | $985.00 | 0.35% | $1.72 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.06 | 0.35% | $1.76 |
First Trust Ultra Short Duration Municipal ETF (FUMB) | ||||
Actual | $1,000.00 | $999.50 | 0.25% | $1.24 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.55 | 0.25% | $1.25 |
(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 (February 1, 2022 through July 31, 2022), multiplied by 181/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 97.0% | ||||||||
Alabama – 4.0% | ||||||||
$1,000,000 | AL Federal Aid Hwy Fin Auth Spl Oblig Rev, GARVEE | 5.00% | 09/01/30 | $1,068,289 | ||||
350,000 | AL St Port Auth Docks Facs Rev Ref Docks Facs Rev, Ser A, AMT, AGM | 5.00% | 10/01/24 | 370,105 | ||||
140,000 | Birmingham AL Spl Care Facs Fing Auth Hlthcare Fac Ref Children’s Hosp of AL | 5.00% | 06/01/26 | 151,786 | ||||
130,000 | Birmingham AL Spl Care Facs Fing Auth Hlthcare Fac Ref Children’s Hosp of AL | 5.00% | 06/01/27 | 140,753 | ||||
250,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev Proj #5, Ser A-1 | 4.00% | 04/01/25 | 256,985 | ||||
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 | 503,436 | ||||
330,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev, Ser A (Mandatory put 12/01/23) | 4.00% | 12/01/48 | 336,640 | ||||
1,500,000 | Black Belt Energy Gas Dist AL Gas Proj Rev Gas Proj, Ser E | 5.00% | 06/01/26 | 1,614,573 | ||||
1,500,000 | Black Belt Energy Gas Dist AL Gas Proj Rev Proj No. 6, Ser B (Mandatory put 12/01/26) | 4.00% | 10/01/52 | 1,531,770 | ||||
1,625,000 | Black Belt Energy Gas Dist AL Gas Sply Rev Ref, Ser D1 (Mandatory put 06/01/27) | 4.00% | 07/01/52 | 1,690,169 | ||||
1,000,000 | Columbia AL Indl Dev Brd Poll Control Rev Var Ref AL Pwr Co Proj, Ser B (a) | 1.95% | 12/01/37 | 1,000,000 | ||||
100,000 | Greenville AL Pub Impt Cooperative Pub Impt Rev Greenville Funding, BAM | 5.00% | 03/01/25 | 108,177 | ||||
740,000 | Infirmary Hlth Sys AL Spl Care Facs Fing Auth Rev Infirmary Hlth Sys Inc, Ser A | 5.00% | 02/01/25 | 784,541 | ||||
245,000 | Infirmary Hlth Sys AL Spl Care Facs Fing Auth Rev Infirmary Hlth Sys Inc, Ser A | 5.00% | 02/01/28 | 263,387 | ||||
500,000 | Infirmary Hlth Sys AL Spl Care Facs Fing Auth Rev Infirmary Hlth Sys Inc, Ser A | 5.00% | 02/01/36 | 522,589 | ||||
300,000 | Midcity Impt Dist AL Spl Assmnt Rev | 3.88% | 11/01/27 | 276,834 | ||||
300,000 | Mobile AL Indl Dev Brd Poll Control Rev Var AL Pwr Co Barry Plant Remk (Mandatory put 12/12/2023) | 2.90% | 07/15/34 | 302,676 | ||||
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 | 229,274 | ||||
10,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A | 4.00% | 06/01/23 | 10,119 | ||||
500,000 | SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A | 4.00% | 10/01/25 | 515,932 | ||||
155,000 | Univ of AL at Birmingham Gen Rev Brd of Trustees, Ser A | 4.00% | 10/01/22 | 155,655 | ||||
250,000 | Warrior River AL Wtr Auth Wtr Rev Ref, BAM | 3.00% | 08/01/23 | 252,895 | ||||
12,086,585 | ||||||||
Alaska – 0.1% | ||||||||
310,000 | AK St Intl Arpts Revs Ref, Ser C, AMT | 5.00% | 10/01/22 | 311,601 | ||||
Arizona – 1.7% | ||||||||
110,000 | AZ St Indl Dev Auth Edu Rev Greathearts AZ Proj, Ser A | 4.00% | 07/01/23 | 112,019 | ||||
155,000 | AZ St Indl Dev Auth Edu Rev Jerome Fac Proj Social Bonds, Ser B | 5.00% | 07/01/27 | 163,641 | ||||
155,000 | AZ St Indl Dev Auth Edu Rev Jerome Fac Proj Social Bonds, Ser B | 5.00% | 07/01/29 | 162,427 | ||||
115,000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (b) | 4.00% | 07/15/26 | 114,915 | ||||
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 | 633,610 | ||||
120,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 11/01/25 | 130,966 | ||||
1,000,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 05/01/27 | 1,125,615 | ||||
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 | 997,272 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Arizona (Continued) | ||||||||
$95,000 | Glendale AZ Indl Dev Auth Sr Living Facs Rev Ref Royal Oaks Life Care Cmnty | 4.00% | 05/15/29 | $92,677 | ||||
615,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Sch Proj | 5.00% | 07/01/24 | 644,838 | ||||
580,000 | Phoenix AZ Indl Dev Auth Edu Rev Ref Basis Sch (b) | 5.00% | 07/01/35 | 587,183 | ||||
110,000 | Salt Verde AZ Finl Corp Sr Gas Rev Sr | 5.25% | 12/01/22 | 111,034 | ||||
280,000 | Santa Cruz Cnty AZ Pledged Rev Ref, AGM | 4.00% | 07/01/34 | 293,936 | ||||
5,170,133 | ||||||||
Arkansas – 0.1% | ||||||||
110,000 | AR St Dev Fin Auth Hlthcare Facs Rev Carti Surgery Ctr Proj, Ser B | 4.00% | 07/01/23 | 110,921 | ||||
140,000 | AR St Dev Fin Auth Hlthcare Facs Rev Carti Surgery Ctr Proj, Ser B | 4.00% | 07/01/25 | 142,580 | ||||
253,501 | ||||||||
California – 6.3% | ||||||||
200,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Green Bond, Ser A-1 | 4.00% | 02/01/24 | 204,509 | ||||
250,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Green Bond, Ser A-1 | 4.00% | 08/01/24 | 257,012 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Kipp L.A. Proj, Ser A (b) | 4.00% | 07/01/23 | 203,123 | ||||
25,000 | CA St Enterprise Dev Auth Stdt Hsg Rev M@College Proj, Ser A | 5.00% | 08/01/23 | 25,530 | ||||
50,000 | CA St Enterprise Dev Auth Stdt Hsg Rev M@College Proj, Ser A | 5.00% | 08/01/24 | 51,787 | ||||
205,000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A | 5.00% | 03/01/23 | 208,823 | ||||
605,000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A | 4.00% | 03/01/33 | 608,047 | ||||
385,000 | CA St Hlth Facs Fing Auth Rev El Camino Hosp | 5.00% | 02/01/33 | 422,982 | ||||
3,000,000 | CA St Infra & Econ Dev Bank Rev Var Brightline W Passenger Rail Proj Remk, Ser A, AMT (Mandatory put 01/26/23) (b) | 0.85% | 01/01/50 | 2,970,332 | ||||
105,000 | CA St Muni Fin Auth Sr Living Rev Mt San Antonio Gardens Proj, Ser A | 5.00% | 11/15/26 | 109,977 | ||||
300,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt Inc, Ser A1, AMT | 3.38% | 07/01/25 | 301,943 | ||||
500,000 | CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies Oceanside Proj, Ser A (b) | 4.00% | 10/01/27 | 514,347 | ||||
25,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/22 | 25,029 | ||||
40,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/23 | 40,526 | ||||
50,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/24 | 51,095 | ||||
80,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/25 | 82,094 | ||||
325,000 | CA St Stwd Cmntys Dev Auth Stwd Rev Dev Auth, Ser 2021A | 4.00% | 09/02/24 | 329,685 | ||||
355,000 | CA St Stwd Cmntys Dev Auth Stwd Rev Dev Auth, Ser 2021A | 4.00% | 09/02/25 | 361,468 | ||||
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 | 270,279 | ||||
115,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 3.00% | 09/01/23 | 115,396 | ||||
100,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 4.00% | 09/01/26 | 103,722 | ||||
295,000 | Fontana CA Spl Tax Summit at Rosena Phase One | 3.00% | 09/01/24 | 295,309 | ||||
160,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Enhanced Asset Bkd, Ser A | 5.00% | 06/01/30 | 164,644 | ||||
195,000 | Hemet CA Unif Sch Dist Facs Dist Spl Tax Ref | 4.00% | 09/01/25 | 200,799 | ||||
25,000 | Irvine CA Impt Bond Act 1915 Ltd Oblig Re-Assmnt Dist #13-1 | 5.00% | 09/02/23 | 25,944 | ||||
200,000 | Long Beach CA Arpt Rev Ref, Ser A, AGM | 5.00% | 06/01/26 | 221,946 | ||||
400,000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.25% | 11/15/22 | 403,354 | ||||
1,490,000 | Los Angeles CA Dept of Arpts Arpt Rev Sub Los Angeles Intl Arpt, Ser B, AMT | 5.00% | 05/15/26 | 1,633,551 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$95,000 | March Jt Pwrs Redev Agy Successor Agy CA Tax Allocation Ref March Air Force Base Redev Proj, Ser A, BAM | 4.00% | 08/01/27 | $101,557 | ||||
1,705,000 | Milpitas CA Redev Agy Successor Agy Tax Allocation Ref Redev Proj Area #1 | 5.00% | 09/01/28 | 1,853,909 | ||||
200,000 | Ontario Pub Fing Auth Lease Rev Capital Projs, AGM | 5.38% | 10/01/40 | 208,989 | ||||
85,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Rev Grantline 208 Cmnty Fac Dt #2018-1 | 3.00% | 09/01/23 | 85,211 | ||||
90,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Rev Grantline 208 Cmnty Fac Dt #2018-1 | 3.00% | 09/01/24 | 90,148 | ||||
365,000 | Rio Vista CA Pub Fing Auth Spl Tax Rev Ref | 5.00% | 09/01/24 | 385,766 | ||||
575,000 | River Islands CA Pub Fing Auth Spl Tax Ref Cmnty Facs Dist #2003-1 | 5.00% | 09/01/27 | 588,192 | ||||
150,000 | River Islands CA Pub Fing Auth Spl Tax Ref Cmnty Facs Dt #2003-1, Ser A-1, AGM | 5.00% | 09/01/26 | 166,161 | ||||
195,000 | Riverside CA Unif Sch Dist Cmnty Facs Dt #33 Citrus Heights II Spl Tax | 3.00% | 09/01/24 | 195,478 | ||||
240,000 | Roseville CA Fin Auth Spl Tax Rev Ref, Ser A | 5.00% | 09/01/25 | 262,671 | ||||
60,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 3.00% | 09/01/24 | 60,220 | ||||
70,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 3.00% | 09/01/25 | 70,139 | ||||
85,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 4.00% | 09/01/26 | 88,131 | ||||
65,000 | San Diego CA Unif Sch Dist Ref Election 1998, Ser C-2, AGM | 5.50% | 07/01/25 | 72,129 | ||||
100,000 | San Diego Cnty CA Regl Arpt Auth Subord Ref, Ser A | 5.00% | 07/01/24 | 105,836 | ||||
140,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref 2nd Ser, Ser A | 4.00% | 05/01/26 | 149,151 | ||||
200,000 | San Francisco CA City & Cnty Dcnty Dev Spl Tax Dist No Mission Rock Fac and Svcs, Ser A (b) | 4.00% | 09/01/26 | 204,829 | ||||
150,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021 | 4.00% | 09/01/25 | 154,416 | ||||
400,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021 | 4.00% | 09/01/26 | 413,644 | ||||
1,500,000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Sr Lien Ref, Ser A | 5.00% | 01/15/29 | 1,619,452 | ||||
175,000 | San Luis Obispo CA Cmnty Facs Dist #2019-1 Spl Tax | 4.00% | 09/01/25 | 181,669 | ||||
100,000 | San Luis Obispo CA Cmnty Facs Dist #2019-1 Spl Tax | 4.00% | 09/01/26 | 104,544 | ||||
1,500,000 | Sanger CA Fing Auth Wstwtr Rev Ref, AGM | 5.00% | 06/15/34 | 1,613,652 | ||||
50,000 | Temecula CA Pub Fing Auth Spl Tax Ref, BAM | 5.00% | 09/01/25 | 54,472 | ||||
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 | 132,576 | ||||
19,166,195 | ||||||||
Colorado – 3.4% | ||||||||
500,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp (b) | 5.00% | 12/15/28 | 527,613 | ||||
110,000 | CO St Eductnl & Cultural Facs Auth Rev Ref Chrt Sch Stargate Chrt Sch Proj, Ser A | 5.00% | 12/01/25 | 119,661 | ||||
100,000 | CO St Eductnl & Cultural Facs Auth Rev Ref N Star Acdmy Chrt Sch Proj | 4.00% | 11/01/23 | 102,381 | ||||
215,000 | CO St Hgr Edu Capital Const Lease Pur Prog, COPS | 5.00% | 11/01/25 | 237,015 | ||||
2,340,000 | CO St Hlth Facs Auth Hosp Rev Frasier Meadows Retmnt Cmnty Proj, Ser B | 5.00% | 05/15/48 | 2,399,718 | ||||
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 | 137,631 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado (Continued) | ||||||||
$1,000,000 | CO St Hlth Facs Auth Hosp Rev Ref Sanford Hlth, Ser A | 5.00% | 11/01/23 | $1,041,732 | ||||
1,000,000 | CO St Hlth Facs Auth Hosp Rev Var Ref Intermountain Hlthcare, Ser B (Mandatory put 08/17/26) (c) | 5.00% | 05/15/62 | 1,108,373 | ||||
80,000 | CO St Hlth Facs Auth Rev Ref Parkview Med Cntr, Ser A | 3.25% | 09/01/25 | 81,812 | ||||
275,000 | CO St Hlth Facs Auth Rev Ref Parkview Med Cntr, Ser B | 5.00% | 09/01/28 | 291,404 | ||||
220,000 | CO St Hlth Facs Auth Rev Sch Hlth Sys, Ser A | 5.00% | 01/01/29 | 228,279 | ||||
355,000 | CO St, Ser A, COPS | 5.00% | 12/15/25 | 391,359 | ||||
1,000,000 | Copperleaf CO Met Dist #6, Ser A | 5.25% | 12/01/48 | 1,075,877 | ||||
125,000 | Crystal Vly CO Met Dist #2 Ref, Ser A, AGM | 5.00% | 12/01/23 | 130,375 | ||||
220,000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/25 | 238,953 | ||||
150,000 | Denver City & Cnty CO Arpt Rev Sys, Ser A, AMT | 5.00% | 11/15/24 | 151,405 | ||||
250,000 | Denver City & Cnty CO Arpt Rev, Ser A, AMT | 5.00% | 11/15/25 | 272,109 | ||||
500,000 | Denver City & Cnty CO Arpt Rev, Ser A, AMT | 5.00% | 11/15/26 | 553,637 | ||||
30,000 | E-470 CO Pub Hwy Auth Cap Apprec Sr, Ser B, NATL-RE | (d) | 09/01/22 | 29,954 | ||||
15,000 | E-470 CO Pub Hwy Auth Cap Apprec Sr, Ser B, NATL-RE | (d) | 09/01/23 | 14,652 | ||||
500,000 | Eagle Cnty CO Sch Dist Re50 Jt Garfield & Routt Cnty | 5.00% | 12/01/30 | 561,135 | ||||
270,000 | Gold Hill Mesa Met Dist #2 CO Ltd Tax & Spl Rev Ref, Ser A, BAM | 5.00% | 12/01/25 | 288,511 | ||||
10,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/24 | 10,685 | ||||
135,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/34 | 145,639 | ||||
10,139,910 | ||||||||
Connecticut – 3.0% | ||||||||
100,000 | CT St | 5.00% | 08/01/31 | 108,024 | ||||
50,000 | CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare, Ser E | 5.00% | 07/01/25 | 52,560 | ||||
170,000 | CT St Hlth & Eductnl Facs Auth Rev Ref | 5.00% | 07/01/29 | 182,993 | ||||
650,000 | CT St Hlth & Eductnl Facs Auth Rev Temps 50 Mclean Issue, Ser B-2 (b) | 2.75% | 01/01/26 | 635,249 | ||||
1,000,000 | CT St Social Bonds Ref, Ser D | 5.00% | 07/15/24 | 1,064,200 | ||||
690,000 | CT St Spl Tax Oblig Rev Ref Transprtn Infra, Ser B | 5.00% | 08/01/27 | 751,643 | ||||
165,000 | CT St Spl Tax Oblig Rev Transprtn Infra, Ser A | 5.00% | 09/01/33 | 174,760 | ||||
1,000,000 | CT St, Ser 2021A | 4.00% | 01/15/26 | 1,070,381 | ||||
1,000,000 | CT St, Ser D | 4.00% | 08/15/29 | 1,061,655 | ||||
155,000 | CT St, Ser E | 5.00% | 09/15/25 | 170,055 | ||||
105,000 | Hamden CT Ref, BAM | 3.00% | 08/15/22 | 105,060 | ||||
315,000 | Hamden CT Ref, Ser A, BAM | 5.00% | 08/01/23 | 325,004 | ||||
145,000 | Hamden CT Ref, Ser A, BAM | 5.00% | 08/01/24 | 153,532 | ||||
200,000 | Hamden CT Ref, Ser A, BAM | 5.00% | 08/01/25 | 216,723 | ||||
250,000 | Hamden CT Ref, Ser A, BAM | 5.00% | 08/15/26 | 276,474 | ||||
1,500,000 | Harbor Point CT Infra Impt Dist Spl Oblg Rev Ref Harbor Point Proj Ltd (b) | 5.00% | 04/01/30 | 1,591,335 | ||||
25,000 | Univ of CT CT Ref, Ser A | 5.00% | 03/15/27 | 27,463 | ||||
970,000 | Univ of CT CT, Ser A | 5.00% | 11/01/26 | 1,091,216 | ||||
75,000 | Univ of CT CT, Ser A | 5.00% | 02/15/28 | 80,167 | ||||
25,000 | Univ of CT CT, Ser A | 5.00% | 11/01/35 | 28,001 | ||||
9,166,495 | ||||||||
Delaware – 0.7% | ||||||||
2,000,000 | Delaware River & Bay Auth De Rev, Ser A | 5.00% | 01/01/42 | 2,024,548 | ||||
District of Columbia – 0.3% | ||||||||
480,000 | DC Wtr & Swr Auth Pub Util Rev Ref Sub Lien, Ser C | 5.00% | 10/01/26 | 514,210 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
District of Columbia (Continued) | ||||||||
$250,000 | Met Washington DC Arpts Auth Arpt Sys Rev Ref, Ser B, AMT | 5.00% | 10/01/25 | $271,378 | ||||
785,588 | ||||||||
Florida – 10.3% | ||||||||
110,000 | Alachua Cnty FL Hlth Facs Auth Ccrc Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/24 | 111,799 | ||||
100,000 | Alachua Cnty FL Hlth Facs Auth Ccrc Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/25 | 101,752 | ||||
105,000 | Alachua Cnty FL Hlth Facs Auth Ccrc Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/26 | 107,021 | ||||
150,000 | Alachua Cnty FL Hlth Facs Auth Shands Teaching Hosp & Clinics, Ser A | 5.00% | 12/01/26 | 159,221 | ||||
500,000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, Ser 2021 | 2.38% | 05/01/26 | 468,011 | ||||
205,000 | Berry Bay CDD FL Spl Assmt Rev Assmt Area 1 | 2.63% | 05/01/26 | 193,361 | ||||
250,000 | Black Creek FL CDD Spl Assmnt Expansion Area Proj | 4.80% | 06/15/27 | 256,532 | ||||
1,000,000 | Broward Cnty FL Arpt Sys Rev Ref, Ser P-1, AMT | 5.00% | 10/01/22 | 1,005,149 | ||||
400,000 | Broward Cnty FL Port Facs Rev, AMT | 5.00% | 09/01/24 | 423,765 | ||||
2,000,000 | Collier Cnty FL Eductnl Facs Auth Rev Eductnl Facs Hodges Univ Inc | 6.13% | 11/01/43 | 2,109,848 | ||||
565,000 | Cross Creek N CDD FL Spl Assmnt | 3.40% | 05/01/27 | 548,859 | ||||
1,000,000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area Two | 3.00% | 05/01/27 | 947,172 | ||||
375,000 | Epperson N CDD FL Capital Impt Rev Assmnt Area Three, Ser A | 2.45% | 11/01/26 | 347,147 | ||||
550,000 | FL St Brd of Governors FL Intl Univ Dorm Rev Ref, Ser A, BAM | 5.00% | 07/01/27 | 622,336 | ||||
110,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/24 | 111,536 | ||||
330,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/25 | 335,806 | ||||
155,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/26 | 157,957 | ||||
150,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/28 | 152,136 | ||||
105,000 | FL St Dev Fin Corp Sr Living Rev Ref Glenridge on Palmer Ranch Proj | 4.00% | 06/01/24 | 104,337 | ||||
100,000 | FL St Dev Fin Corp Sr Living Rev Ref Glenridge on Palmer Ranch Proj | 4.00% | 06/01/25 | 98,524 | ||||
1,500,000 | FL St Dev Fin Corp Var Brightline Passngr Rail Expan Proj Remk, Ser A, AMT (Mandatory put 04/04/23) | 2.90% | 12/01/56 | 1,499,255 | ||||
2,000,000 | Gainesville FL Utilities Sys Rev Var Ref Remk, Ser B (a) | 1.89% | 10/01/42 | 2,000,000 | ||||
785,000 | Gtr Orlando FL Aviation Auth Arpt Facs Rev Prerefunded Priority Sub, Ser A, AMT | 5.00% | 10/01/24 | 835,412 | ||||
185,000 | �� | Gulfstream Polo Cmnty Dev Dist FL Spl Assmnt Phase 2 Proj | 3.00% | 11/01/24 | 181,255 | |||
310,000 | Hills Minneola Cmnty Dev Dist FL Spl Assmnt Rev S Parcel Assmnt Area (b) | 3.00% | 05/01/25 | 301,689 | ||||
1,500,000 | Hillsborough Cnty FL Aviation Auth Tampa Intl, Ser A, AMT | 5.00% | 10/01/44 | 1,583,230 | ||||
450,000 | Hollywood Beach FL Cmnty Dev Dist Rev CDD Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/23 | 466,584 | ||||
575,000 | Hollywood Beach FL Cmnty Dev Dist Rev CDD Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/24 | 603,173 | ||||
1,250,000 | Jacksonville FL Port Auth Ref, AMT | 5.00% | 11/01/38 | 1,259,913 | ||||
335,000 | Jea FL Elec Sys Rev Sub, Ser B | 5.00% | 10/01/22 | 336,954 | ||||
100,000 | Lakeland FL Hosp Sys Rev Lakeland Regl Hlth | 5.00% | 11/15/33 | 107,344 | ||||
145,000 | Lakes of Sarasota CDD FL Impt Rev Phase 1 Proj, Ser A-1 | 2.75% | 05/01/26 | 137,033 | ||||
255,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Ref Country Club E Proj, AGM | 5.00% | 05/01/25 | 272,603 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$170,000 | Lee Cnty FL Indl Dev Auth Hlthcare Facs Rev Shell Point Oblig Grp | 4.00% | 11/15/23 | $172,316 | ||||
190,000 | Lee Cnty FL Indl Dev Auth Hlthcare Facs Rev Shell Point Oblig Grp | 4.00% | 11/15/24 | 194,056 | ||||
720,000 | Ltc Ranch W Rsdl Cmnty Dev Dist Spl Assmnt Rev Assmnt Area One Proj, Ser A | 2.50% | 05/01/26 | 678,834 | ||||
405,000 | Mirada II Cmnty Dev Dist FL Cap Impt Rev | 2.50% | 05/01/26 | 379,776 | ||||
180,000 | N Springs FL Impt Dist Heron Bay Wtr Mgmt Proj, Ser 2021-1, AGM | 2.00% | 05/01/23 | 179,946 | ||||
370,000 | N Springs FL Impt Dist Heron Bay Wtr Mgmt Proj, Ser 2021-1, AGM | 2.00% | 05/01/24 | 368,386 | ||||
380,000 | N Springs FL Impt Dist Heron Bay Wtr Mgmt Proj, Ser 2021-1, AGM | 2.00% | 05/01/25 | 375,682 | ||||
385,000 | N Springs FL Impt Dist Heron Bay Wtr Mgmt Proj, Ser 2021-1, AGM | 2.00% | 05/01/26 | 377,657 | ||||
25,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Presbyterian Retmnt Cmntys | 5.00% | 08/01/31 | 26,407 | ||||
2,150,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Presbyterian Retmnt Cmntys | 5.00% | 08/01/41 | 2,270,993 | ||||
1,770,000 | Palm Beach Cnty FL Hlth Facs Auth Ref Acts Retmnt Life Cmntys Inc Oblig Grp | 5.00% | 11/15/32 | 1,881,979 | ||||
200,000 | Pine Isle Cmnty Dev Dist FL Spl Assmnt 2021 Proj (b) | 2.38% | 12/15/26 | 184,822 | ||||
100,000 | Poinciana FL W CDD Spl Assmnt Ref Sr, Ser 1, AGM | 3.60% | 05/01/26 | 105,003 | ||||
2,000,000 | Reedy Creek FL Impt Dist, Ser A | 5.00% | 06/01/38 | 2,057,878 | ||||
80,000 | Rhodine Road N CDD FL Spl Assmnt | 3.50% | 05/01/24 | 80,117 | ||||
115,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/23 | 115,026 | ||||
145,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/24 | 144,573 | ||||
385,000 | Sarasota Natl FL CDD Spl Assmnt Ref | 3.00% | 05/01/23 | 384,940 | ||||
375,000 | Sarasota Natl FL CDD Spl Assmnt Ref | 3.00% | 05/01/24 | 373,189 | ||||
240,000 | Sarasota Natl FL CDD Spl Assmnt Ref | 3.00% | 05/01/25 | 236,048 | ||||
200,000 | Shingle Creek at Bronson CDD FL Spl Assmnt | 2.50% | 06/15/26 | 188,469 | ||||
375,000 | Silver Palms W CDD FL Spl Assmnt 2022 Proj | 2.60% | 06/15/27 | 348,113 | ||||
285,000 | Six Mile Creek FL CDD Capital Impt Rev Assmnt Area 3 Phase 1 | 2.50% | 05/01/26 | 267,009 | ||||
30,000 | Tampa FL Capital Impt Cigarette Tax Allocation H Lee Moffitt Cancer Ctr Proj, Ser A | 5.00% | 09/01/24 | 31,871 | ||||
525,000 | Timber Creek SW CDD FL Spl Assmnt Area Two Proj | 2.35% | 12/15/26 | 487,703 | ||||
735,000 | Tolomato FL CDD Ref, Ser A, AGM | 3.00% | 05/01/24 | 745,782 | ||||
375,000 | V Dana CDD FL Spl Assmnt CDD Assmnt Area One 2021 Proj | 2.60% | 05/01/26 | 354,351 | ||||
120,000 | Vlg FL CDD #6 Spl Assmnt Rev Ref | 4.00% | 05/01/25 | 125,079 | ||||
250,000 | Westside Haines City CDD Spl Assmnt Assmnt Area One Proj | 2.50% | 05/01/26 | 235,729 | ||||
31,318,448 | ||||||||
Georgia – 1.7% | ||||||||
915,000 | Atlanta GA Arpt Rev, Ser B, AMT | 5.00% | 07/01/25 | 987,711 | ||||
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 | 98,765 | ||||
100,000 | Clayton Cnty GA & Clayton Cnty Wtr Auth Wtr & Sewage Rev Ref | 5.00% | 05/01/23 | 100,263 | ||||
175,000 | Gainesville & Hall Cnty GA Hosp Auth Ref NE GA Hlth Sys Inc Proj, Ser A | 5.00% | 02/15/24 | 182,786 | ||||
290,000 | Glynn Brunswick GA Memorial Hosp Auth Ref Antic Ctfs SE GA Hlth | 5.00% | 08/01/23 | 297,464 | ||||
715,000 | Madison Cnty GA Sch Dist Ref Capital Impt Proj, COPS | 4.00% | 05/01/25 | 750,913 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Georgia (Continued) | ||||||||
$120,000 | Main Street Nat Gas Inc GA Gas Rev, Ser A | 5.50% | 09/15/23 | $123,840 | ||||
240,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/25 | 253,052 | ||||
800,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser B (c) | 5.00% | 06/01/26 | 851,794 | ||||
500,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C | 5.00% | 09/01/26 | 532,130 | ||||
200,000 | Muni Elec Auth of GA Plant Vogtle Units 3&4 Proj J, Ser A, AGM | 5.00% | 07/01/26 | 219,203 | ||||
165,000 | Muni Elec Auth of GA Ref Plant Vogtle Units 3&4 Proj J, Ser A, AGM | 5.00% | 01/01/27 | 182,429 | ||||
285,000 | Priv Clgs & Univs Auth GA Ref Mercer Univ Proj | 5.00% | 10/01/24 | 302,740 | ||||
225,000 | Priv Clgs & Univs Auth GA Ref Mercer Univ Proj | 5.00% | 10/01/25 | 244,168 | ||||
5,127,258 | ||||||||
Guam – 0.3% | ||||||||
85,000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev | 5.00% | 07/01/23 | 86,991 | ||||
785,000 | Guam Intl Arpt Auth Prerefunded Gen, Sec C, AGM, AMT | 6.13% | 10/01/43 | 824,241 | ||||
911,232 | ||||||||
Hawaii – 0.7% | ||||||||
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 | 2,018,065 | ||||
150,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Ref Sr First Bd Resolution, Ser B | 4.00% | 07/01/32 | 156,486 | ||||
2,174,551 | ||||||||
Illinois – 7.6% | ||||||||
1,000,000 | Boone McHenry & DeKalb Cntys IL Cmnty Unit Sch Dist #100 Ref, Ser B | 4.00% | 01/01/27 | 1,072,717 | ||||
160,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (d) | 12/01/22 | 158,676 | ||||
150,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (d) | 12/01/23 | 144,712 | ||||
115,000 | Chicago IL Brd of Edu Chicago Sch Reform Brd, Ser A, NATL-RE | 5.50% | 12/01/26 | 125,001 | ||||
175,000 | Chicago IL Brd of Edu Green Bond, Ser E | 5.13% | 12/01/32 | 178,361 | ||||
1,100,000 | Chicago IL Brd of Edu Ref Dedicated, Ser C | 5.00% | 12/01/22 | 1,109,046 | ||||
190,000 | Chicago IL Brd of Edu Ref, Ser A, AMBAC | 5.50% | 12/01/23 | 198,387 | ||||
400,000 | Chicago IL Brd of Edu Ref, Ser C | 5.00% | 12/01/22 | 403,242 | ||||
1,000,000 | Chicago IL Met Wtr Reclamation Dist Greater Chicago Ref, Ser C | 5.00% | 12/01/24 | 1,073,736 | ||||
100,000 | Chicago IL O’Hare Intl Arpt Rev Ref, Ser B | 5.00% | 01/01/26 | 106,905 | ||||
580,000 | Chicago IL O’Hare Intl Arpt Rev Ref, Ser B | 5.00% | 01/01/27 | 619,953 | ||||
140,000 | Chicago IL O’Hare Intl Arpt Rev Sr Lien, Ser E | 5.00% | 01/01/25 | 150,423 | ||||
100,000 | Chicago IL Park Dist Ref Ltd Tax, Ser B | 5.00% | 01/01/23 | 101,257 | ||||
540,000 | Chicago IL Park Dist Ref Ltd Tax, Ser B | 5.00% | 01/01/28 | 558,076 | ||||
125,000 | Chicago IL Ref Proj, Ser A | 5.00% | 01/01/27 | 128,392 | ||||
210,000 | Chicago IL Ref Remk, 2003B | 5.00% | 01/01/26 | 220,102 | ||||
100,000 | Chicago IL Ref Remk, 2003B | 5.13% | 01/01/27 | 104,951 | ||||
110,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/26 | 117,276 | ||||
260,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/35 | 270,473 | ||||
65,000 | Chicago IL Ref, Ser C, CABS | (d) | 01/01/25 | 60,002 | ||||
500,000 | Chicago IL Wstwtr Trans Rev Ref Second Lien Remk, Ser C | 5.00% | 01/01/27 | 532,249 | ||||
100,000 | Chicago IL Wstwtr Trans Rev Second Lien Ref, Ser B | 5.00% | 01/01/24 | 103,937 | ||||
165,000 | Chicago IL Wstwtr Trans Rev Second Lien Ref, Ser B | 5.00% | 01/01/26 | 179,076 | ||||
390,000 | Chicago IL Wtrwks Rev 2nd Lien Proj | 5.00% | 11/01/27 | 408,659 | ||||
150,000 | Chicago IL, Ser A | 5.00% | 01/01/26 | 157,216 | ||||
90,000 | Ford Champaign Etc Cntys IL Cmnty Unit Sch Dist #10 Sch Bldg, Ser A, AGM | 4.00% | 12/01/25 | 95,869 | ||||
205,000 | Glencoe IL, Ser A | 3.00% | 12/15/28 | 212,018 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$115,000 | Hillside IL Tax Incr Rev Ref | 5.00% | 01/01/24 | $116,313 | ||||
395,000 | IL St | 5.00% | 05/01/23 | 404,191 | ||||
125,000 | IL St | 5.00% | 05/01/24 | 131,156 | ||||
150,000 | IL St | 5.00% | 05/01/27 | 155,876 | ||||
195,000 | IL St | 5.00% | 06/01/27 | 210,901 | ||||
520,000 | IL St | 4.00% | 01/01/31 | 530,649 | ||||
345,000 | IL St Fin Auth Hlth Svcs Facs Lease Rev Univ of IL Hlth Svcs Fac Proj | 5.00% | 10/01/24 | 364,368 | ||||
1,750,000 | IL St Fin Auth Rev Ref Ascension Hlth Credit Grp, Ser C | 5.00% | 02/15/27 | 1,979,357 | ||||
1,500,000 | IL St Fin Auth Rev Ref Rush Univ Med Ctr, Ser A | 5.00% | 11/15/30 | 1,592,290 | ||||
85,000 | IL St Ref | 4.00% | 08/01/25 | 85,115 | ||||
80,000 | IL St Sales Tax Rev First Ser, NATL-RE | 6.00% | 06/15/23 | 82,592 | ||||
700,000 | IL St, Ser C | 5.00% | 11/01/29 | 761,150 | ||||
280,000 | IL St, Ser D | 5.00% | 11/01/23 | 290,411 | ||||
520,000 | IL St, Ser D | 5.00% | 11/01/24 | 551,085 | ||||
420,000 | Lee & Ogle Cntys IL Cmnty Unit Sch Dist #275 Ref, Ser B, AGM | 4.50% | 12/01/27 | 424,082 | ||||
350,000 | Macon Cnty IL Sch Dist #61 Ref, Ser C, AGM | 4.00% | 01/01/26 | 373,556 | ||||
725,000 | Macon Cnty IL Sch Dist #61 Ref, Ser C, AGM | 4.00% | 01/01/30 | 772,039 | ||||
700,000 | Macon Cnty IL Sch Dist #61, AGM | 4.00% | 12/01/25 | 746,117 | ||||
650,000 | Northern IL Univ Revs Brd of Trustees Aux Facs Sys Rev N IL Univ Ref, BAM | 5.00% | 10/01/25 | 702,682 | ||||
1,045,000 | Peoria IL Ref, Ser C, AGM | 5.00% | 01/01/27 | 1,171,656 | ||||
160,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/26 | 172,242 | ||||
910,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/27 | 973,921 | ||||
570,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/31 | 605,607 | ||||
700,000 | Sthrn IL St Univ Ref Sthrn IL Univ Hsg and Aux Facs Sys, Ser A, BAM | 4.00% | 04/01/25 | 729,022 | ||||
400,000 | Univ of Illinois IL Revs Ref Auxiliary Facs Sys, Ser A | 5.00% | 04/01/27 | 427,725 | ||||
22,944,815 | ||||||||
Indiana – 0.8% | ||||||||
125,000 | IN Bond Bank Rev Hamilton Co Projs, CABS | (d) | 01/15/26 | 115,214 | ||||
130,000 | IN St Fin Auth Rev Bhi Sr Living, Ser A | 4.00% | 11/15/26 | 131,459 | ||||
400,000 | IN Univ Revs Ref Stdt Fee, Ser W-2 | 5.00% | 08/01/22 | 400,000 | ||||
100,000 | La Porte IN Wtrwks Rev, AGM | 4.00% | 01/01/24 | 102,524 | ||||
105,000 | La Porte IN Wtrwks Rev, AGM | 4.00% | 07/01/24 | 108,441 | ||||
545,000 | Merrillville IN Conservancy Dist | 3.00% | 01/15/23 | 548,723 | ||||
1,000,000 | Whiting IN Envrnmntl Facs Rev Ref Bp Products N America Inc Proj, Ser A, AMT (Mandatory put 06/05/26) | 5.00% | 12/01/44 | 1,084,884 | ||||
2,491,245 | ||||||||
Iowa – 2.2% | ||||||||
2,305,000 | Johnston IA Cmnty Sch Dist Infra Sales Svcs & Ref, AGM | 8.35% | 07/01/24 | 2,588,175 | ||||
110,000 | Pefa Inc IA Gas Proj Rev | 5.00% | 09/01/26 | 116,637 | ||||
3,810,000 | Pefa Inc IA Gas Proj Rev (Mandatory put 09/01/26) | 5.00% | 09/01/49 | 4,025,602 | ||||
6,730,414 | ||||||||
Kansas – 0.2% | ||||||||
270,000 | Brown Cnty KS Horton Unif Sch Dist #430, BAM | 4.00% | 09/01/24 | 281,808 | ||||
280,000 | Brown Cnty KS Horton Unif Sch Dist #430, BAM | 4.00% | 09/01/25 | 297,149 | ||||
578,957 | ||||||||
Kentucky – 1.7% | ||||||||
165,000 | Estrn KY Univ Gen Recpts, Ser A | 5.00% | 04/01/28 | 183,024 |
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 | (d) | 10/01/25 | $220,290 | ||||
20,000 | KY St Econ Dev Fin Auth Ref Owensboro Hlth, Ser A | 5.00% | 06/01/25 | 21,395 | ||||
355,000 | KY St Hgr Edu Stdt Loan Corp Sr, Ser A, AMT | 5.00% | 06/01/26 | 386,827 | ||||
300,000 | KY St Muni Pwr Agy Pwr Sys Rev Ref, Ser A, NATL-RE | 5.00% | 09/01/25 | 324,586 | ||||
125,000 | KY St Muni Pwr Agy Pwr Sys Rev Ref, Ser A, NATL-RE | 5.00% | 09/01/30 | 135,945 | ||||
255,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser B (Mandatory put 01/01/25) | 4.00% | 01/01/49 | 260,001 | ||||
1,210,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A (Mandatory put 04/01/24) | 4.00% | 04/01/48 | 1,233,880 | ||||
630,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A (Mandatory put 06/01/26) | 4.00% | 12/01/50 | 644,515 | ||||
105,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A-1 (Mandatory put 06/01/25) | 4.00% | 12/01/49 | 108,001 | ||||
140,000 | KY St Univ KY St Univ Proj, COPS, BAM | 5.00% | 11/01/25 | 152,896 | ||||
125,000 | KY St Univ KY St Univ Proj, COPS, BAM | 5.00% | 11/01/26 | 139,592 | ||||
185,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlthcare Inc, Ser A | 5.00% | 10/01/28 | 201,749 | ||||
160,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlthcare Inc, Ser A | 5.00% | 10/01/30 | 173,335 | ||||
200,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Var Norton Hlthcare Inc, Ser C (Mandatory put 10/01/26) | 5.00% | 10/01/47 | 216,950 | ||||
210,000 | Paducah KY Elec Plant Brd Rev Ref, Ser A, AGM | 5.00% | 10/01/34 | 234,802 | ||||
450,000 | Univ of Louisville KY Ref, Ser A | 5.00% | 03/01/27 | 492,375 | ||||
5,130,163 | ||||||||
Louisiana – 1.6% | ||||||||
750,000 | E Baton Rouge Parish LA Capital Impts Dist MoveBR Sales, Ser T | 5.00% | 08/01/25 | 819,802 | ||||
500,000 | E Baton Rouge Parish LA Sales Tax Rev Ref Road & Street Impt | 5.00% | 08/01/28 | 539,690 | ||||
270,000 | LA St Univ & Agric & Mech Clg Auxiliary | 5.00% | 07/01/23 | 277,887 | ||||
150,000 | LA St Univ & Agric & Mech Clg Ref Auxiliary, Ser A | 5.00% | 07/01/26 | 164,050 | ||||
335,000 | LA St, Ser A | 4.00% | 02/01/29 | 345,804 | ||||
20,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/28 | 21,934 | ||||
455,000 | New Orleans LA Aviation Brd, Ser B, AMT | 5.00% | 01/01/31 | 475,361 | ||||
100,000 | New Orleans LA Aviation Brd, Ser B, AMT, AGM | 5.00% | 01/01/32 | 104,587 | ||||
150,000 | New Orleans LA Wtr Rev Wtr Rev | 5.00% | 12/01/26 | 163,729 | ||||
400,000 | New Orleans LA Wtr Rev Wtr Rev | 5.00% | 12/01/28 | 434,727 | ||||
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 | 544,742 | ||||
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 | 527,543 | ||||
105,000 | Shreveport LA Wtr & Swr Impt | 5.00% | 09/01/22 | 105,269 | ||||
250,000 | Shreveport LA Wtr & Swr Rev Junior Lien, Ser C, BAM | 5.00% | 12/01/24 | 266,187 | ||||
4,791,312 | ||||||||
Maryland – 0.8% | ||||||||
115,000 | Harford Cnty MD Spl Oblg Ref Beechtree Estates Proj | 4.00% | 07/01/23 | 117,480 | ||||
300,000 | Harford Cnty MD Spl Oblg Ref Beechtree Estates Proj | 4.00% | 07/01/24 | 312,818 | ||||
285,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Adventist Hlthcare Oblig Grp, Ser A | 5.00% | 01/01/23 | 287,976 | ||||
585,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Adventist Hlthcare Oblig Grp, Ser A | 5.50% | 01/01/26 | 635,621 | ||||
1,000,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Johns Hopkins Hlth, Ser C | 5.00% | 05/15/38 | 1,026,715 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Maryland (Continued) | ||||||||
$100,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Stevenson Univ Proj, Ser A | 5.00% | 06/01/28 | $108,800 | ||||
2,489,410 | ||||||||
Massachusetts – 2.1% | ||||||||
2,000,000 | MA St Bay Transprtn Auth Sales Tax Rev Subord Sustainability Bonds, BANS | 4.00% | 05/01/25 | 2,116,957 | ||||
350,000 | MA St Clg Bldg Auth, Ser A | 5.00% | 05/01/28 | 359,181 | ||||
1,000,000 | MA St Dev Fin Agy Rev N Hill Cmntys, Ser A (b) | 6.50% | 11/15/43 | 1,060,841 | ||||
575,000 | MA St Eductnl Fing Auth Sr, Ser B, AMT | 5.00% | 07/01/24 | 604,777 | ||||
500,000 | MA St Eductnl Fing Auth Sr, Ser B, AMT | 5.00% | 07/01/25 | 536,654 | ||||
285,000 | MA St Eductnl Fing Auth, Ser A, AMT | 5.00% | 01/01/26 | 301,087 | ||||
1,415,000 | MA St Wtr Res Auth Ref, Ser F | 4.00% | 08/01/38 | 1,479,762 | ||||
6,459,259 | ||||||||
Michigan – 3.2% | ||||||||
70,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/30 | 73,746 | ||||
20,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/31 | 21,067 | ||||
100,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Sr Lien Bond, Ser A | 5.00% | 07/01/25 | 108,596 | ||||
575,000 | Kalamazoo MI Econ Dev Corp Heritage Cmnty of Kalamazoo Revel Creek Proj Temps 60, Ser B2 | 2.63% | 05/15/25 | 557,280 | ||||
210,000 | MI St Fin Auth Rev Multi Modal Mclaren Hlthcare, Ser A | 5.00% | 02/15/26 | 230,268 | ||||
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 | 114,337 | ||||
330,000 | MI St Fin Auth Rev Ref Beaumont Hlth Credit Grp | 5.00% | 08/01/28 | 351,694 | ||||
85,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 4.00% | 11/15/36 | 85,761 | ||||
350,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog Great Lakes Wtr Auth, Ser D1, AGM | 5.00% | 07/01/28 | 378,432 | ||||
135,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog Great Lakes Wtr Auth, Ser D2, AGM | 5.00% | 07/01/24 | 142,905 | ||||
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 | 1,092,794 | ||||
1,000,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog Great Lakes Wtr Auth, Ser D4 | 5.00% | 07/01/29 | 1,053,713 | ||||
1,000,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog Great Lakes Wtr Auth, Ser D4 | 5.00% | 07/01/30 | 1,051,593 | ||||
250,000 | MI St Fin Auth Rev Sr Lien Great Lakes Wtr Auth, Ser C-3, AGM | 5.00% | 07/01/27 | 264,639 | ||||
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 | 1,500,505 | ||||
2,000,000 | Oakland Univ MI Rev Gen, Ser A | 5.00% | 03/01/38 | 2,031,685 | ||||
235,000 | Wayne Cnty MI Arpt Auth Rev Detroit Met Wayne Cnty Arpt, Ser C, AMT | 5.00% | 12/01/29 | 246,794 | ||||
270,000 | Wayne Cnty MI Arpt Auth Rev Detroit Met Wayne Cnty Arpt, Ser C, AMT | 5.00% | 12/01/30 | 283,022 | ||||
100,000 | Wayne Cnty MI Arpt Auth Rev Ref Junior Lien, Ser A | 5.00% | 12/01/23 | 104,165 | ||||
90,000 | Wayne Cnty MI Arpt Auth Rev Ref, Ser F, AMT | 5.00% | 12/01/25 | 97,753 | ||||
9,790,749 | ||||||||
Minnesota – 1.7% | ||||||||
200,000 | Duluth MN Econ Dev Auth Rev Ref Benedictine Hlth Sys, Ser A | 3.00% | 07/01/24 | 198,892 | ||||
1,000,000 | Minneapolis MN Mf Rev Var Greenway Apartments Proj (Mandatory put 08/01/24) | 2.70% | 08/01/25 | 1,002,326 | ||||
2,500,000 | MN Muni Gas Agy Cmdy Sply Rev, Ser A | 4.00% | 12/01/25 | 2,604,618 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Minnesota (Continued) | ||||||||
$1,250,000 | MN St Rural Wtr Fin Auth Pub Projs Constr Notes | 2.63% | 12/01/23 | $1,251,103 | ||||
5,056,939 | ||||||||
Mississippi – 0.4% | ||||||||
1,000,000 | MS St Busn Fin Commn Gulf Opportunity Zone Var Chevron USA Inc Pj, Ser C (a) | 1.90% | 12/01/30 | 1,000,000 | ||||
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 | 222,239 | ||||
1,222,239 | ||||||||
Missouri – 2.3% | ||||||||
375,000 | Bridgeton MO Spl Oblig Rev Ref, Ser A | 4.00% | 12/01/25 | 397,486 | ||||
385,000 | Bridgeton MO Spl Oblig Rev Ref, Ser A | 4.00% | 12/01/26 | 413,443 | ||||
200,000 | Jackson Cnty MO Spl Oblg Rirr Right of Way Proj | 4.00% | 12/01/27 | 212,644 | ||||
635,000 | Met Saint Louis MO Swr Dist Wstwtr Sys Rev Ref & Impt, Ser B | 5.00% | 05/01/33 | 685,522 | ||||
140,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Bethesda Hlth Grp Inc Ref | 3.00% | 08/01/23 | 139,945 | ||||
305,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Bethesda Hlth Grp Inc Ref | 4.00% | 08/01/25 | 310,260 | ||||
350,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Saint Lukes Hlth Sys Inc | 4.00% | 11/15/33 | 356,500 | ||||
2,000,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Ssm Hlth Care, Ser A | 5.00% | 06/01/29 | 2,117,682 | ||||
235,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs | 5.00% | 02/01/23 | 237,663 | ||||
1,000,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/25 | 1,016,888 | ||||
235,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/27 | 239,710 | ||||
200,000 | Plaza at Noah’s Ark Cmnty Impt Dist MO Tax Incr & Impt Ref | 3.00% | 05/01/24 | 197,313 | ||||
300,000 | Springfield MO Spl Oblg Ref | 4.00% | 04/01/25 | 316,978 | ||||
250,000 | Springfield MO Spl Oblg Ref | 4.00% | 04/01/26 | 268,416 | ||||
6,910,450 | ||||||||
Montana – 0.3% | ||||||||
240,000 | Forsyth MT Poll Control Rev Ref Puget Sound Energy Proj, Ser A (Mandatory put 03/01/23) | 3.90% | 03/01/31 | 241,635 | ||||
275,000 | Gallatin Cnty MT High Sch Dist #7 Bozeman | 5.00% | 12/01/24 | 295,146 | ||||
150,000 | MT St Fac Fin Auth Hlthcare Facs Rev MT Children’s Home and Hosp Proj, Ser A | 4.00% | 07/01/24 | 153,610 | ||||
155,000 | MT St Fac Fin Auth Hlthcare Facs Rev MT Children’s Home and Hosp Proj, Ser A | 4.00% | 07/01/25 | 160,078 | ||||
850,469 | ||||||||
Nebraska – 0.4% | ||||||||
420,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/22 | 421,006 | ||||
150,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.25% | 09/01/37 | 150,430 | ||||
70,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 | 5.00% | 01/01/24 | 72,398 | ||||
330,000 | Centrl Plains Energy Proj NE Gas Proj Rev Ref Proj #3, Ser A | 5.00% | 09/01/26 | 354,992 | ||||
330,000 | Centrl Plains Energy Proj NE Gas Sply Rev Ref (Mandatory put 08/01/25) | 4.00% | 12/01/49 | 342,378 | ||||
1,341,204 | ||||||||
Nevada – 0.7% | ||||||||
500,000 | Clark Cnty NV Sch Dist Ref Bldg, Ser A, BAM | 5.00% | 06/15/30 | 562,042 | ||||
300,000 | Las Vegas NV Spl Impt Dist #616 Spl Impt Dist No 816 Summerlin Vlg 22 | 2.00% | 06/01/24 | 289,247 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Nevada (Continued) | ||||||||
$225,000 | Las Vegas NV Spl Impt Dist #616 Spl Impt Dist No 816 Summerlin Vlg 22 | 2.00% | 06/01/26 | $207,271 | ||||
295,000 | Las Vegas NV Spl Impt Dist #808 & #810 Ref | 5.00% | 06/01/28 | 302,920 | ||||
275,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/25 | 297,871 | ||||
500,000 | Yerington NV USDA Interim Debs | 1.63% | 11/01/23 | 497,944 | ||||
2,157,295 | ||||||||
New Hampshire – 0.1% | ||||||||
220,000 | Natl Fin Auth NH Sr Living Rev Ref Springpoint Sr Living | 4.00% | 01/01/24 | 222,176 | ||||
New Jersey – 2.3% | ||||||||
1,880,000 | Cherry Hill Twp NJ | 3.00% | 08/15/25 | 1,949,238 | ||||
255,000 | NJ St Econ Dev Auth Ref, Ser A | 4.13% | 06/15/27 | 264,042 | ||||
665,000 | NJ St Econ Dev Auth Rev Ref Sch Facs Constr, Ser NN | 5.00% | 03/01/29 | 678,454 | ||||
110,000 | NJ St Econ Dev Auth Rev Ref Sch Facs Constr, Ser PP | 3.50% | 06/15/27 | 110,991 | ||||
380,000 | NJ St Econ Dev Auth Rev Ref Sch Facs Constr, Ser PP | 5.00% | 06/15/27 | 403,553 | ||||
475,000 | NJ St Econ Dev Auth Rev Ref, Ser XX | 4.38% | 06/15/27 | 495,094 | ||||
335,000 | NJ St Econ Dev Auth Rev, Ser WW | 5.00% | 06/15/34 | 349,665 | ||||
1,000,000 | NJ St Econ Dev Auth Spl Fac Rev Ref Port Newark Container Terminal LLC Proj, AMT | 5.00% | 10/01/23 | 1,025,911 | ||||
655,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev, Ser B, AMT | 5.00% | 12/01/25 | 709,892 | ||||
50,000 | NJ St Transprtn Trust Fund Auth Cap Apprec Transprtn Sys, Ser C, AMBAC | (d) | 12/15/25 | 46,031 | ||||
170,000 | NJ St Transprtn Trust Fund Auth Fed Hwy Reimb Nts, Ser A-1, GARVEE | 5.00% | 06/15/27 | 186,685 | ||||
240,000 | NJ St Transprtn Trust Fund Auth Ref Fed Hwy Reimb Nts, Ser A, GARVEE | 5.00% | 06/15/29 | 260,791 | ||||
410,000 | NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA | 5.00% | 06/15/25 | 429,999 | ||||
60,000 | NJ St Turnpike Auth, Ser E | 5.00% | 01/01/31 | 63,969 | ||||
6,974,315 | ||||||||
New Mexico – 0.7% | ||||||||
2,000,000 | NM Fin Auth Rev Sub, Ser B | 5.00% | 06/15/24 | 2,125,284 | ||||
New York – 3.5% | ||||||||
155,000 | Hudson Yards Infra Corp NY 2nd Indenture Rev Ref, Ser A | 5.00% | 02/15/30 | 173,293 | ||||
350,000 | Lackawanna NY Ref, Ser B, BAM | 5.00% | 11/01/25 | 383,744 | ||||
125,000 | Long Beach NY, Ser B | 5.50% | 07/15/25 | 135,411 | ||||
200,000 | Met Transprtn Auth NY Dedicated Tax Fund Ref, Ser A | 5.25% | 11/15/28 | 224,677 | ||||
150,000 | Met Transprtn Auth NY Rev Ref, Ser F | 5.00% | 11/15/26 | 160,777 | ||||
135,000 | Met Transprtn Auth NY Rev Transptrn, Ser A-2 | 5.00% | 11/15/22 | 136,357 | ||||
305,000 | Met Transprtn Auth NY Rev, Ser D-1, BANS | 5.00% | 09/01/22 | 305,874 | ||||
755,000 | Nassau Cnty NY, Ser B | 5.00% | 10/01/22 | 759,291 | ||||
250,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Adjustable 2nd Gen Resolution Fiscal 2014, Ser Aa-1 (a) | 1.89% | 06/15/50 | 250,000 | ||||
340,000 | New York City NY Transitional Fin Auth Bldg Aid Rev Ref Fiscal 2018, Ser S-1 | 5.00% | 07/15/35 | 375,591 | ||||
200,000 | New York City NY Transitional Fin Auth Rev Sub Future Tax Secured Fiscal 2017, Subser A-1 | 4.00% | 05/01/31 | 209,797 | ||||
1,000,000 | NY NY Adj Fiscal 2020, Subser B-3 (a) | 1.90% | 10/01/46 | 1,000,000 | ||||
570,000 | NY NY Prerefunded, Subser F-1 | 5.00% | 03/01/37 | 581,566 | ||||
1,000,000 | NY NY Ref, Ser B-1 | 5.00% | 08/01/24 | 1,065,740 | ||||
125,000 | NY NY, Ser G | 4.00% | 08/01/29 | 128,756 | ||||
250,000 | NY NY, Subser F-1 | 5.00% | 03/01/27 | 254,428 | ||||
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 | 271,901 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$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 | $477,372 | ||||
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 | 212,385 | ||||
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 | 135,059 | ||||
180,000 | Onondaga NY Civic Dev Corp Le Moyne Clg Proj | 5.00% | 07/01/26 | 195,388 | ||||
120,000 | Port Auth of NY & NJ NY Consol One Hundred Eighty Fifth Ref, AMT | 5.00% | 09/01/23 | 123,757 | ||||
340,000 | Port Auth of NY & NJ NY Consol One Hundred Eighty Fifth Ref, AMT | 4.00% | 09/01/34 | 344,695 | ||||
1,180,000 | Port Auth of NY & NJ NY Ref, 194th Ser | 5.00% | 10/15/34 | 1,280,476 | ||||
370,000 | Port Auth of NY & NJ NY Ref, Ser 207, AMT | 5.00% | 09/15/23 | 382,015 | ||||
855,000 | Port Auth of NY & NJ NY Ref, Ser 223, AMT | 5.00% | 07/15/25 | 922,732 | ||||
10,491,082 | ||||||||
North Carolina – 0.2% | ||||||||
190,000 | NC St Capital Facs Fin Agy Eductnl Facs Rev Ref High Point Univ | 4.00% | 05/01/24 | 196,458 | ||||
425,000 | New Hanover Cnty NC Hosp Rev Ref New Hanover Regl Med Ctr | 5.00% | 10/01/23 | 441,717 | ||||
638,175 | ||||||||
North Dakota – 0.9% | ||||||||
1,400,000 | Cass Cnty ND Jt Wtr Res Dist, Ser A | 0.48% | 05/01/24 | 1,349,748 | ||||
50,000 | Grand Forks ND Hlthcare Sys Rev Altru Hlth Sys Ref | 5.00% | 12/01/25 | 53,874 | ||||
50,000 | Grand Forks ND Hlthcare Sys Rev Altru Hlth Sys Ref | 5.00% | 12/01/26 | 54,786 | ||||
200,000 | Horace ND Ref | 3.00% | 05/01/24 | 199,761 | ||||
200,000 | Horace ND Ref | 3.00% | 05/01/25 | 199,171 | ||||
1,000,000 | Larimore ND Loan Anticipation Temp Impt Bonds | 0.85% | 05/01/24 | 967,363 | ||||
2,824,703 | ||||||||
Ohio – 2.6% | ||||||||
1,515,000 | Gahanna Jefferson OH City Sch Dist Sch Facs Constr & Impt Bonds, Ser 2021, AGM | 2.00% | 12/01/22 | 1,517,950 | ||||
75,000 | NE OH Med Univ Gen Recpts Ref, Ser A | 5.00% | 12/01/24 | 79,084 | ||||
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 | 933,296 | ||||
750,000 | 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 | 734,201 | ||||
2,700,000 | 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 | 2,569,718 | ||||
750,000 | OH St Air Quality Dev Auth Var Ref Duke Energy Corp Proj, Ser A, AMT (Mandatory put 06/01/27) | 4.25% | 11/01/39 | 774,103 | ||||
1,000,000 | OH St Hgr Eductnl Fac Commn Kenyon Clg Proj | 5.00% | 07/01/37 | 1,026,170 | ||||
130,000 | OH St Univ, Ser A | 5.00% | 12/01/25 | 139,431 | ||||
7,773,953 | ||||||||
Oklahoma – 0.6% | ||||||||
1,145,000 | OK St Dev Fin Auth Gilcrease Expressway W Proj P3 Proj, AMT | 1.63% | 07/06/23 | 1,128,079 | ||||
500,000 | Tulsa Cnty OK Indl Auth Eductnl Facs Lease Rev Broken Arrow Pub Sch | 4.00% | 09/01/22 | 501,028 | ||||
200,000 | Tulsa OK Arpts Impt Trust Arpt, Ser A, AMT, AGM | 4.00% | 06/01/25 | 208,623 | ||||
1,837,730 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
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 | $493,175 | ||||
130,000 | Port of Portland OR Arpt Rev, Ser 24B, AMT | 5.00% | 07/01/33 | 139,953 | ||||
260,000 | Salem OR Hosp Fac Auth Rev Ref Capital Manor Proj | 5.00% | 05/15/25 | 269,065 | ||||
265,000 | Salem OR Hosp Fac Auth Rev Ref Capital Manor Proj | 5.00% | 05/15/26 | 275,816 | ||||
100,000 | Union Cnty OR Hosp Fac Auth Grande Ronde Hosp | 5.00% | 07/01/25 | 106,429 | ||||
100,000 | Union Cnty OR Hosp Fac Auth Grande Ronde Hosp | 5.00% | 07/01/26 | 107,892 | ||||
930,000 | Yamhill Cnty OR Hosp Auth Friendsview Temps 50, Ser B-3 | 1.75% | 11/15/26 | 878,521 | ||||
2,270,851 | ||||||||
Pennsylvania – 5.9% | ||||||||
315,000 | Allegheny Vly PA Jt Sewage Auth Green Bond, BAM | 4.00% | 08/01/25 | 333,849 | ||||
235,000 | Cmwlth Fing Auth PA Tobacco Master Stlmt Payment Rev Tobacco Master Stlmt Payment Bonds | 5.00% | 06/01/26 | 256,338 | ||||
295,000 | Cumberland Cnty PA Muni Auth Ref Messiah Vlg Proj | 5.00% | 07/01/23 | 298,538 | ||||
660,000 | Dauphin Cnty PA Gen Auth Hlth Sys Rev Ref Pinnacle Hlth Sys Proj, Ser A | 4.00% | 06/01/32 | 674,071 | ||||
265,000 | Deer Creek PA Drain Basin Allegheny Cnty Swr Rev Ref, AGM | 5.00% | 12/01/26 | 297,402 | ||||
90,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/24 | 95,216 | ||||
175,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/25 | 189,024 | ||||
390,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/28 | 417,971 | ||||
170,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/30 | 181,167 | ||||
50,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/24 | 52,062 | ||||
75,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/25 | 79,724 | ||||
75,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/26 | 81,040 | ||||
500,000 | Lancaster PA Ref, BAM | 5.00% | 05/01/25 | 541,318 | ||||
80,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 5.00% | 03/01/24 | 82,516 | ||||
150,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 5.00% | 03/01/25 | 156,917 | ||||
255,000 | Lehigh Cnty PA Gen Purp Auth Revs Ref Lehigh Carbon Cmnty Clg, Ser 2016, BAM | 5.00% | 11/01/26 | 281,164 | ||||
245,000 | Monroeville PA Fin Auth Upmc Rev | 5.00% | 02/15/30 | 245,320 | ||||
345,000 | Montgomery Cnty PA Indl Dev Auth Ref Meadowood Sr Living Proj, Ser A | 4.00% | 12/01/22 | 346,312 | ||||
175,000 | Montgomery Cnty PA Indl Dev Auth Ref Waverly Heights Ltd Proj | 4.00% | 12/01/26 | 185,889 | ||||
2,000,000 | N Wales PA Wtr Auth Ref | 3.00% | 11/01/23 | 2,030,058 | ||||
400,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/25 | 424,868 | ||||
210,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/27 | 225,176 | ||||
150,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/30 | 158,990 | ||||
180,000 | PA St Econ Dev Fing Auth Rev Ref Upmc | 4.00% | 03/15/35 | 182,221 | ||||
545,000 | PA St Econ Dev Fing Auth Upmc Rev Ref, Ser A | 5.00% | 11/15/29 | 607,296 | ||||
465,000 | PA St Hsg Fin Agy SF Mtge Rev Non Ace, Ser 123B | 3.45% | 10/01/32 | 465,460 | ||||
595,000 | PA St Turnpike Commn Turnpike Rev Ref Sub | 5.00% | 06/01/27 | 650,213 | ||||
720,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/28 | 792,362 | ||||
80,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/39 | 84,481 | ||||
200,000 | PA St Turnpike Commn Turnpike Rev Subord, Ser A-1 | 5.00% | 12/01/30 | 216,044 | ||||
500,000 | Philadelphia PA Arpt Rev Ref, Ser A | 5.00% | 07/01/23 | 515,068 | ||||
570,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Ref String Theory Chrt Sch Proj (b) | 5.00% | 06/15/24 | 584,902 | ||||
300,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Ref String Theory Chrt Sch Proj (b) | 5.00% | 06/15/25 | 310,429 | ||||
135,000 | Philadelphia PA Gas Wks Rev Ref | 5.00% | 08/01/29 | 145,228 | ||||
155,000 | Philadelphia PA Gas Wks Rev Ref 1998 Gen Ordinance, 15th Ser | 5.00% | 08/01/22 | 155,000 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$35,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/27 | $39,758 | ||||
25,000 | Philadelphia PA Ref, Ser A | 5.25% | 07/15/28 | 26,318 | ||||
435,000 | Philadelphia PA, Ser B | 4.00% | 08/01/35 | 443,575 | ||||
1,200,000 | Pittsburgh PA Wtr & Swr Auth Ref 1st Lien, Ser A | 5.00% | 09/01/23 | 1,239,142 | ||||
400,000 | S Wayne Cnty PA Wtr & Swr Auth Wtr & Swr Rev Ref, BAM | 4.00% | 02/15/25 | 420,683 | ||||
350,000 | S Wayne Cnty PA Wtr & Swr Auth Wtr & Swr Rev Ref, BAM | 4.00% | 02/15/26 | 374,147 | ||||
820,000 | Scranton PA Sch Dist Ref, Ser D | 5.00% | 06/01/27 | 890,325 | ||||
325,000 | Westmoreland Cnty PA Muni Auth Ref, BAM | 5.00% | 08/15/25 | 354,292 | ||||
1,240,000 | Wilkes-Barre PA Area Sch Dist, Ser B, BAM | 5.00% | 08/01/27 | 1,394,769 | ||||
375,000 | Wyoming PA Area Sch Dist Ref, Ser A, AGM | 4.00% | 11/01/24 | 393,672 | ||||
17,920,315 | ||||||||
Puerto Rico – 0.2% | ||||||||
299,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (d) | 07/01/24 | 280,842 | ||||
328,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (d) | 07/01/27 | 277,092 | ||||
168,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (d) | 07/01/29 | 130,084 | ||||
688,018 | ||||||||
Rhode Island – 0.2% | ||||||||
445,000 | RI St Hlth & Eductnl Bldg Corp Pub Schs Rev Ref Providence Pub Bldg Auth, AGM | 5.00% | 05/15/28 | 481,232 | ||||
South Carolina – 1.0% | ||||||||
140,000 | N Charleston SC Ltd Oblig | 5.00% | 10/01/22 | 140,789 | ||||
1,000,000 | Saxe Gotha Lexington Pub Facs Corp SC Rev Corley Mill Redev Proj Area, BANS | 2.00% | 03/17/23 | 998,913 | ||||
1,000,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at Furman | 4.00% | 11/15/27 | 990,556 | ||||
250,000 | SC St Pub Svc Auth Rev Ref, Ser A | 5.00% | 12/01/24 | 265,365 | ||||
625,000 | SC St Pub Svc Auth Rev Ref, Ser A | 5.00% | 12/01/30 | 671,183 | ||||
3,066,806 | ||||||||
South Dakota – 0.3% | ||||||||
310,000 | SD St Hlth & Eductnl Facs Auth Ref Sanford Oblig Grp | 5.00% | 11/01/27 | 336,066 | ||||
330,000 | SD St Hlth & Eductnl Facs Auth Ref Sanford Oblig Grp | 5.00% | 11/01/35 | 350,205 | ||||
100,000 | SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty Issue | 3.00% | 09/01/25 | 101,260 | ||||
150,000 | SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty Issue | 3.00% | 09/01/26 | 152,289 | ||||
939,820 | ||||||||
Tennessee – 2.1% | ||||||||
145,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Trevecca Nazarene Univ Proj, Ser B | 4.00% | 10/01/26 | 147,347 | ||||
350,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Vanderbilt Univ Med Ctr, Ser A | 5.00% | 07/01/40 | 372,182 | ||||
150,000 | Tennergy Corp TN Gas Rev, Ser A | 4.00% | 03/01/24 | 153,141 | ||||
300,000 | Tennergy Corp TN Gas Rev, Ser A | 4.00% | 09/01/25 | 309,816 | ||||
500,000 | Tennergy Corp TN Gas Rev, Ser A | 4.00% | 03/01/26 | 517,482 | ||||
310,000 | TN Energy Acq Corp Cmdy Proj Rev The TN Energy Acq Corp Cmdy Proj, Ser A | 5.00% | 11/01/24 | 325,296 | ||||
1,815,000 | TN St Energy Acq Corp Gas Rev (Mandatory put 11/01/25) | 4.00% | 11/01/49 | 1,863,382 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Tennessee (Continued) | ||||||||
$1,950,000 | TN St Energy Acq Corp Gas Rev Proj, Ser A (Mandatory put 05/01/23) | 4.00% | 05/01/48 | $1,974,565 | ||||
565,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/26 | 610,242 | ||||
6,273,453 | ||||||||
Texas – 12.4% | ||||||||
500,000 | Austin TX Arpt Sys Rev, AMT | 5.00% | 11/15/25 | 542,562 | ||||
500,000 | Austin TX Arpt Sys Rev, AMT | 5.00% | 11/15/33 | 523,030 | ||||
125,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fndtn Proj | 5.00% | 07/15/23 | 126,587 | ||||
315,000 | Brazoria Cnty TX Muni Util Dist #55, BAM | 4.00% | 09/01/24 | 328,990 | ||||
320,000 | Brazoria Cnty TX Muni Util Dist #55, BAM | 4.00% | 09/01/25 | 340,210 | ||||
240,000 | Brazoria Cnty TX Ref | 5.00% | 03/01/27 | 265,430 | ||||
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 | 306,733 | ||||
290,000 | Centrl TX Regl Mobility Auth Rev Ref | 5.00% | 01/01/27 | 314,871 | ||||
150,000 | Centrl TX Regl Mobility Auth Rev Sr Lien, Ser A | 5.00% | 01/01/25 | 159,591 | ||||
25,000 | Centrl TX Regl Mobility Auth Rev Sr Lien, Ser A | 5.00% | 01/01/29 | 27,320 | ||||
150,000 | Chisum TX Indep Sch Dist Ref Sch Bldg | 5.00% | 08/15/23 | 155,206 | ||||
320,000 | Clifton TX Hgr Edu Fin Corp Edu Rev Idea Pub Sch, Ser T | 5.00% | 08/15/22 | 320,366 | ||||
35,000 | Clifton TX Hgr Edu Fin Corp Edu Rev Idea Pub Schs, Ser B | 5.00% | 08/15/24 | 36,888 | ||||
200,000 | Club Muni Mgmt Dist #1 TX Spl Assmnt Rev Impt Area #2 Proj (b) | 2.50% | 09/01/26 | 186,695 | ||||
400,000 | Corpus Christi TX Util Sys Rev Junior Lien, Ser B | 5.00% | 07/15/26 | 442,873 | ||||
207,000 | Crandall TX Spl Assmnt Rev Cartwright Ranch Pub Impt Dt Impt Area #1 Proj (b) | 3.38% | 09/15/26 | 194,246 | ||||
100,000 | Cypress Fairbanks TX Indep Sch Dist Ref Sch Bldg | 5.00% | 02/15/27 | 110,804 | ||||
1,000,000 | Dallas TX Hotel Occupancy Tax Rev Ref | 4.00% | 08/15/30 | 1,048,103 | ||||
325,000 | Denton Cnty TX Fresh Wtr Sply Dist #10 Ref, AGM | 2.00% | 09/01/22 | 325,119 | ||||
1,000,000 | Denton Cnty TX Hsg Fin Corp Var Pathway on Woodrow Apts (Mandatory put 02/01/25) | 5.00% | 02/01/26 | 1,060,441 | ||||
200,000 | Fort Bend Cnty TX Muni Util Dist #128, AGM | 3.00% | 09/01/23 | 202,590 | ||||
1,005,000 | Fort Bend Cnty TX Muni Util Dist #182, BAM (c) | 5.25% | 09/01/26 | 1,119,859 | ||||
265,000 | Fort Bend Cnty TX Muni Util Dist #58, AGM | 4.00% | 04/01/25 | 279,856 | ||||
1,250,000 | Fort Bend TX Indep Sch Dist Var Remk, Ser A (Mandatory put 08/01/24) | 2.38% | 08/01/49 | 1,254,722 | ||||
585,000 | Fort Bend TX Muni Util Dist #169 Contract Rev Road Facs, Ser B, BAM | 4.00% | 12/01/25 | 623,541 | ||||
585,000 | Fort Bend TX Muni Util Dist #169 Contract Rev Road Facs, Ser B, BAM | 4.00% | 12/01/26 | 632,234 | ||||
465,000 | Galveston Cnty TX Muni Util Dist #54 Ref | 2.00% | 12/01/25 | 441,783 | ||||
560,000 | Galveston Cnty TX Muni Util Dist #54 Ref | 2.00% | 12/01/27 | 513,705 | ||||
505,000 | Goliad Cnty TX Indep Sch Dist Ref | 4.00% | 08/15/26 | 535,511 | ||||
105,000 | Guadalupe-Blanco River Auth TX Ref Westn Canyon Regl Wtr Sply Proj, Ser A | 5.00% | 04/15/33 | 107,558 | ||||
1,475,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Med Facs Rev Ref Baylor Clg of Med | 5.00% | 11/15/23 | 1,533,352 | ||||
1,000,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Rev Memorial Herman Hlth Sys, Ser A | 5.00% | 12/01/26 | 1,066,648 | ||||
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 | 101,170 | ||||
260,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Rev Var Memorial Hermann Hlth System, Ser B-2 (Mandatory put 12/01/24) | 5.00% | 07/01/49 | 277,877 | ||||
1,340,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Rev Var Ref Memorial Hermann Hlth Sys, Ser C-2 (Mandatory put 12/01/24) | 5.00% | 06/01/32 | 1,432,134 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$100,000 | Houston TX Arpt Sys Rev Ref Sub, Ser B | 5.00% | 07/01/26 | $111,103 | ||||
1,275,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 1,326,321 | ||||
450,000 | Houston TX Util Sys Rev Ref 1st Lien, Ser A | 3.00% | 11/15/22 | 452,112 | ||||
225,000 | Imperial Redev Dist TX, BAM | 4.50% | 05/01/23 | 229,510 | ||||
225,000 | Imperial Redev Dist TX, BAM | 4.50% | 05/01/25 | 240,776 | ||||
975,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch, Ser A (b) | 5.25% | 08/15/35 | 1,035,077 | ||||
405,000 | Lazy Nine TX Muni Util Dist #1B, Ser A, AGM | 4.00% | 03/01/25 | 426,967 | ||||
305,000 | Liberty Hill TX Indep Sch Dist Ref | 5.00% | 08/01/28 | 341,491 | ||||
1,300,000 | Love Field TX Arpt Modernization Corp Gen Arpt Rev, AMT | 5.00% | 11/01/23 | 1,346,865 | ||||
405,000 | Love Field TX Arpt Modernization Corp Gen Arpt Rev, AMT | 5.00% | 11/01/31 | 436,491 | ||||
250,000 | Love Field TX Arpt Modernization Corp Spl Facs Rev Southwest Airls Co Proj | 5.00% | 11/01/22 | 252,072 | ||||
435,000 | Lower CO River TX Auth Trans Contract Rev Ref | 5.00% | 05/15/23 | 446,043 | ||||
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 | 493,339 | ||||
200,000 | Mcallen TX Indep Sch Dist Ref, Ser A | 5.00% | 02/15/23 | 203,813 | ||||
275,000 | Mclendon Chisholm TX Spl Assmnt Rev Ref Sonoma Pub Impt Dt Phase 1 Proj, BAM | 4.00% | 09/15/24 | 286,055 | ||||
1,000,000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Var Ref Rep Svcs Inc Proj Remk, AMT (Mandatory put 11/01/22) | 2.00% | 01/01/26 | 999,985 | ||||
440,000 | Montgomery Cnty TX Muni Util Dist #105, BAM | 4.63% | 09/01/25 | 475,569 | ||||
450,000 | Montgomery Cnty TX Muni Util Dist #105, BAM | 4.63% | 09/01/26 | 495,423 | ||||
400,000 | N Parkway Muni Mgmt Dist #1 TX Contract Rev Legacy Hills Pub Impt Dt Phase #1A-1B Impts (b) | 3.00% | 09/15/26 | 384,191 | ||||
500,000 | N Parkway Muni Mgmt Dist #1 TX Spl Assmnt Rev Major Impts Proj (b) | 3.63% | 09/15/26 | 496,642 | ||||
140,000 | N TX Tollway Auth Rev Ref 1st Tier, Ser A | 5.00% | 01/01/36 | 152,516 | ||||
200,000 | N TX Tollway Auth Rev Ref 2nd Tier, Ser B | 5.00% | 01/01/24 | 202,852 | ||||
45,000 | N TX Tollway Auth Rev Ref 2nd Tier, Ser B | 5.00% | 01/01/31 | 48,687 | ||||
105,000 | N TX Tollway Auth Rev Ref Sys 1st Tier, Ser A | 5.00% | 01/01/25 | 109,539 | ||||
1,000,000 | N TX Tollway Auth Rev Ref, Ser A | 5.00% | 01/01/25 | 1,043,225 | ||||
635,000 | New Hope Cultural Edu Facs Fin Corp TX Edu Rev Ref Jubilee Acad Ctr (b) | 4.00% | 08/15/25 | 634,632 | ||||
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 | 77,935 | ||||
700,000 | NW Harris Cnty TX Muni Util Dist #5 Ref, BAM | 4.00% | 05/01/24 | 726,369 | ||||
1,350,000 | NW Harris Cnty TX Muni Util Dist #5 Ref, BAM | 4.00% | 05/01/25 | 1,427,783 | ||||
105,000 | Oak Point TX Spl Assmnt Rev Wildridge Pub Impt Dist #1 Impt Area #2 Proj Accd Inv (b) | 3.50% | 09/01/23 | 105,111 | ||||
1,280,000 | Pasadena TX Indep Sch Dist Ref | 5.00% | 02/15/24 | 1,346,520 | ||||
330,000 | Richardson TX Ref | 5.00% | 02/15/25 | 356,558 | ||||
1,180,000 | SA Energy Acq Pub Fac Corp TX Gas Sply Rev Gas Sply Rev | 5.50% | 08/01/25 | 1,266,183 | ||||
700,000 | TX St Muni Gas Acq & Sply Corp III Gas Sply Rev Ref | 5.00% | 12/15/25 | 744,527 | ||||
345,000 | TX St Transprtn Commn Central TX Turnpike Sys Rev Ref, Ser B | 5.00% | 08/15/37 | 360,342 | ||||
200,000 | TX St Wtr Dev Brd St Wtr Implementation Fund, Ser A | 5.00% | 04/15/27 | 219,830 | ||||
630,000 | Viridian TX Muni Mgmt Dist Unlimited Tax Road Impt Bonds, BAM | 4.00% | 12/01/29 | 673,917 | ||||
385,000 | Wilbarger Creek TX Muni Util Dist #2, AGM | 4.00% | 09/01/26 | 415,113 | ||||
300,000 | Williamson Cnty TX Muni Util Dist #12, BAM | 4.50% | 08/15/25 | 322,651 | ||||
37,652,740 | ||||||||
Utah – 0.0% | ||||||||
135,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Spectrum Acdmy Proj | 4.00% | 04/15/24 | 139,234 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Virginia – 0.2% | ||||||||
$310,000 | Hampton Roads VA Santn Dist Wstwtr Rev Prerefunded Sub, Ser A | 5.00% | 08/01/28 | $348,235 | ||||
125,000 | Prince George Cnty VA Ref | 5.00% | 08/01/22 | 125,000 | ||||
125,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/25 | 132,871 | ||||
125,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/26 | 134,642 | ||||
740,748 | ||||||||
Washington – 2.0% | ||||||||
2,000,000 | King Cnty WA Swr Rev Ref & Impt, Ser B | 5.00% | 07/01/39 | 2,063,422 | ||||
1,315,000 | King Cnty WA Swr Rev Ref, Ser B | 5.00% | 07/01/26 | 1,393,277 | ||||
150,000 | Seattle WA Wtr Sys Rev Ref & Impt | 5.00% | 05/01/28 | 162,521 | ||||
310,000 | Tobacco Stlmt Auth WA Tobacco Stlmt Rev Ref | 5.00% | 06/01/23 | 317,793 | ||||
195,000 | WA St Hlthcare Facs Auth Seattle Cancer Care Alliance (b) | 5.00% | 12/01/24 | 207,122 | ||||
300,000 | WA St Hlthcare Facs Auth Seattle Cancer Care Alliance (b) | 5.00% | 12/01/26 | 330,912 | ||||
1,555,000 | WA St, Ser B, COPS | 5.00% | 07/01/24 | 1,651,499 | ||||
6,126,546 | ||||||||
West Virginia – 0.2% | ||||||||
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 | 512,769 | ||||
Wisconsin – 2.2% | ||||||||
100,000 | Pub Fin Auth WI Edu Rev Coral Acdmy of Science Las Vegas, Ser A | 4.00% | 07/01/26 | 101,104 | ||||
185,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/25 | 194,172 | ||||
165,000 | Pub Fin Auth WI Hosp Rev Ref Renown Regl Med Ctr Proj Ref, Ser A | 5.00% | 06/01/23 | 169,123 | ||||
285,000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt Homes, Ser A | 4.00% | 10/01/25 | 291,794 | ||||
300,000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt Homes, Ser A | 4.00% | 10/01/26 | 307,275 | ||||
325,000 | Pub Fin Auth WI Rev Roseman Univ of Hlth Sciences Proj (b) | 3.00% | 04/01/25 | 321,870 | ||||
465,000 | Racine Cnty WI Ref, Ser A | 1.00% | 03/01/23 | 462,380 | ||||
250,000 | Univ Hosps & Clinics Auth WI Var Ref Univ WI Hosp & Clinic Oblig Grp, Ser B (a) | 1.87% | 04/01/48 | 250,000 | ||||
1,000,000 | Univ Hosps & Clinics Auth WI, Ser A | 5.00% | 04/01/38 | 1,022,681 | ||||
275,000 | WI St Clean Wtr Rev Ref | 5.00% | 06/01/26 | 290,669 | ||||
810,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Ascension Hlth Credit Grp, Ser A | 5.00% | 11/15/36 | 868,118 | ||||
85,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Froedtert Hlth Inc Oblg, Ser A | 4.00% | 04/01/39 | 84,220 | ||||
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 | 529,946 | ||||
130,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Oakwood Lutheran Sr Ministries | 4.00% | 01/01/23 | 130,424 | ||||
160,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Oakwood Lutheran Sr Ministries | 4.00% | 01/01/24 | 161,333 | ||||
155,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Prohealth Care Oblig Grp | 5.00% | 08/15/30 | 161,541 | ||||
1,000,000 | WI St Hlth & Eductnl Facs Auth Rev Ref St Johns Cmntys Inc, Ser B | 5.00% | 09/15/45 | 1,004,139 |
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 | $156,947 | ||||
6,507,736 |
Total Investments – 97.0% | 293,788,651 | ||
(Cost $298,850,701) | |||
Net Other Assets and Liabilities – 3.0% | 9,178,351 | ||
Net Assets – 100.0% | $302,967,002 |
(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 July 31, 2022, securities noted as such amounted to $13,688,107 or 4.5% of net assets. |
(c) | When-issued security. The interest rate shown reflects the rate in effect at July 31, 2022. Interest will begin accruing on the security’s first settlement date. |
(d) | Zero coupon bond. |
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. |
Total Value at 7/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 293,788,651 | $ — | $ 293,788,651 | $ — |
* | See Portfolio of Investments for state and territory breakout. |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 98.7% | ||||||||
Alabama – 5.4% | ||||||||
$1,000,000 | AL St Corrs Instn Fin Auth Rev Corrections Institution Fin Auth, Ser A | 5.00% | 09/01/22 | $1,002,724 | ||||
300,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev, Ser A | 5.00% | 12/01/23 | 310,522 | ||||
1,955,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev, Ser A (Mandatory put 12/01/23) | 4.00% | 12/01/48 | 1,994,335 | ||||
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 | 753,439 | ||||
400,000 | Black Belt Energy Gas Dist AL Gas Proj Rev Gas Proj, Ser E | 5.00% | 06/01/23 | 408,926 | ||||
200,000 | Black Belt Energy Gas Dist AL Gas Sply Rev Ref, Ser D1 | 4.00% | 06/01/23 | 202,728 | ||||
2,750,000 | Hlthcare Auth for Baptist Hlth AL Var Ref, Ser B (a) | 1.71% | 11/01/42 | 2,750,000 | ||||
3,400,000 | Homewood AL Capital Impt Warrants | 5.00% | 09/01/42 | 3,409,768 | ||||
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 | 1,180,518 | ||||
350,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A | 4.00% | 06/01/23 | 354,167 | ||||
500,000 | SE Energy Auth AL Cmdy Sply Rev Proj #4, Ser B-1 | 5.00% | 08/01/23 | 510,729 | ||||
2,500,000 | Wilsonville AL Indl Dev Brd Poll Control Rev Var Ref AL Pwr Co, Ser D (a) | 1.90% | 01/01/24 | 2,500,000 | ||||
15,377,856 | ||||||||
Alaska – 0.3% | ||||||||
500,000 | AK St Indl Dev & Export Auth Rev Gtr Fairbanks Cmnty Hosp Fndtn Proj | 5.00% | 04/01/23 | 510,099 | ||||
350,000 | Anchorage AK Ref, Ser B | 5.00% | 09/01/22 | 351,023 | ||||
861,122 | ||||||||
Arizona – 1.1% | ||||||||
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 | 603,378 | ||||
1,000,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 05/01/23 | 1,023,815 | ||||
180,000 | Glendale AZ Transprtn Excise Tax Rev Ref, AGM | 5.00% | 07/01/23 | 185,625 | ||||
300,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Sch Proj | 5.00% | 07/01/23 | 307,658 | ||||
150,000 | Maricopa Cnty AZ Indl Dev Auth Ref Banner Hlth Oblig Grp, Ser A | 5.00% | 01/01/23 | 152,111 | ||||
150,000 | Nthrn AZ Univ Ref Sys, BAM | 5.00% | 06/01/23 | 154,252 | ||||
285,000 | Salt Verde AZ Finl Corp Sr Gas Rev Sr | 5.25% | 12/01/23 | 294,972 | ||||
255,000 | Univ Med Ctr Corp AZ Hosp Rev | 5.50% | 07/01/26 | 264,120 | ||||
165,000 | Yavapai Cnty AZ Indl Dev Auth Hosp Fac Ref Yavapai Regl Med Ctr | 5.00% | 08/01/22 | 165,000 | ||||
3,150,931 | ||||||||
Arkansas – 0.0% | ||||||||
110,000 | El Dorado AR Wtr & Swr Rev Ref Green Bond, Ser A, BAM | 3.00% | 10/01/22 | 110,196 | ||||
California – 7.9% | ||||||||
750,000 | CA St Hlth Facs Fing Auth Rev Kaiser Permanente, Ser C (Mandatory put 11/01/22) | 5.00% | 08/01/31 | 756,249 | ||||
3,000,000 | CA St Infra & Econ Dev Bank Rev Var Brightline W Passenger Rail Proj Remk, Ser A, AMT (Mandatory put 01/26/23) (b) | 0.85% | 01/01/50 | 2,970,332 | ||||
375,000 | CA St Muni Fin Auth Sol Wst Disp Rev Var Rep Svcs Inc Proj Remk, Ser B, AMT (Mandatory put 01/17/23) | 2.35% | 07/01/51 | 375,081 | ||||
2,000,000 | CA St Muni Fin Auth Sol Wst Disp Rev Var Waste Mgmt Inc Proj Remk, AMT (Mandatory put 09/01/22) | 2.10% | 10/01/45 | 1,999,775 | ||||
1,000,000 | CA St Sch Fin Auth Chrt Sch Rev Classical Academies Proj, Ser A-1 | 7.38% | 10/01/43 | 1,009,784 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$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 | $180,000 | ||||
2,000,000 | Foothill Estrn Transprtn Corridor Agy CA Toll Road Rev Cap Apprec Sr Lien, Ser A | (c) | 01/01/23 | 1,987,649 | ||||
425,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Ser A-1 | 5.00% | 06/01/23 | 436,977 | ||||
335,000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.25% | 11/15/23 | 346,315 | ||||
2,000,000 | Los Angeles CA Trans | 4.00% | 06/29/23 | 2,045,854 | ||||
525,000 | Los Angeles Cnty CA Pub Wks Fing Auth Lease Rev Multiple Capital Projs II | 5.00% | 08/01/26 | 525,000 | ||||
535,000 | Los Angeles Cnty CA Pub Wks Fing Auth Lease Rev Multiple Capital Projs II | 5.00% | 08/01/27 | 535,000 | ||||
250,000 | Los Angeles Cnty CA Pub Wks Fing Auth Lease Rev Multiple Capital Projs II | 5.00% | 08/01/42 | 250,000 | ||||
2,000,000 | Los Angeles Cnty CA Trans | 4.00% | 06/30/23 | 2,045,950 | ||||
100,000 | Montebello CA Pub Fing Auth Rev Ref Lease, Ser B, AGM | 5.00% | 11/01/22 | 100,813 | ||||
1,345,000 | Mount Diablo CA Unif Sch Dist Ref, Ser B | 4.00% | 08/01/22 | 1,345,000 | ||||
250,000 | Peralta CA Cmnty Clg Dist, Ser A | 5.00% | 08/01/22 | 250,000 | ||||
710,000 | Riverside Cnty CA Trans | 5.00% | 06/30/23 | 731,877 | ||||
1,000,000 | San Diego CA Unif Sch Dist Trans, Ser A | 4.00% | 06/30/23 | 1,022,330 | ||||
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 | 101,248 | ||||
3,000,000 | Santa Clara Cnty CA Election 2008, Ser B | 4.00% | 08/01/41 | 3,000,000 | ||||
430,000 | Sthrn CA Pub Pwr Auth Nat Gas Proj Rev Proj No 1, Ser A | 5.25% | 11/01/22 | 433,209 | ||||
70,000 | Tahoe Truckee CA Unif Sch Dist Ref Sch Facs Impt Dist #2, Ser B | 4.00% | 08/01/22 | 70,000 | ||||
22,518,443 | ||||||||
Colorado – 2.1% | ||||||||
105,000 | CO St Hgr Edu Capital Const Lease Pur Prog Ref, Ser A, COPS | 5.00% | 11/01/22 | 105,944 | ||||
2,000,000 | CO St Hlth Facs Auth Hosp Rev Frasier Meadows Retmnt Cmnty Proj, Ser B | 5.00% | 05/15/48 | 2,051,041 | ||||
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 | 195,859 | ||||
125,000 | CO St Hlth Facs Auth Rev Catholic Hlth Initiatives, Ser A | 5.25% | 01/01/45 | 126,819 | ||||
180,000 | Denver City & Cnty CO Arpt Rev Sys, Ser A, AMT | 5.00% | 11/15/22 | 181,658 | ||||
275,000 | Denver City & Cnty CO Arpt Rev Sys, Ser B | 5.00% | 11/15/32 | 277,805 | ||||
2,000,000 | Denver CO Convention Ctr Hotel Auth Rev Ref Sr | 5.00% | 12/01/23 | 2,063,219 | ||||
195,000 | Gold Hill Mesa Met Dist #2 CO Ltd Tax & Spl Rev Ref, Ser A, BAM | 5.00% | 12/01/22 | 196,401 | ||||
250,000 | Leyden Rock Met Dist CO Ref, AGM | 5.00% | 12/01/23 | 260,581 | ||||
275,000 | Rendezvous CO Rsdl Met Dist Ref, AGM | 4.00% | 12/01/22 | 277,093 | ||||
170,000 | Woodmen Road CO Met Dist Ref, BAM | 4.00% | 12/01/22 | 171,169 | ||||
5,907,589 | ||||||||
Connecticut – 1.6% | ||||||||
700,000 | CT St Hgr Edu Supplement Loan Auth Rev Ref St Supported Chesla Loan, Ser A, AMT | 5.00% | 11/15/22 | 706,833 | ||||
100,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Fairfield Univ, Ser S | 5.00% | 07/01/23 | 102,700 | ||||
225,000 | CT St Ref, Ser B | 5.00% | 04/15/23 | 230,645 | ||||
2,500,000 | Danbury CT, BANS | 3.00% | 07/13/23 | 2,530,984 | ||||
30,000 | Hamden CT, BAM | 5.00% | 08/15/23 | 30,988 | ||||
500,000 | Stratford CT Ref | 5.00% | 08/01/22 | 500,000 | ||||
265,000 | Univ of CT CT Ref, Ser A | 5.00% | 11/01/22 | 267,268 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Connecticut (Continued) | ||||||||
$100,000 | Univ of CT CT, Ser A | 5.00% | 01/15/23 | $101,550 | ||||
4,470,968 | ||||||||
District of Columbia – 0.0% | ||||||||
125,000 | DC Hosp Rev Ref Children’s Hosp | 5.00% | 07/15/23 | 128,680 | ||||
Florida – 5.6% | ||||||||
85,000 | Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/22 | 85,146 | ||||
85,000 | Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/23 | 85,953 | ||||
2,000,000 | Broward Cnty FL Arpt Sys Rev Ref, Ser P-1, AMT | 5.00% | 10/01/22 | 2,010,298 | ||||
1,980,000 | Broward Cnty FL Arpt Sys Rev, Ser A, AMT | 5.13% | 10/01/38 | 2,057,212 | ||||
1,500,000 | Collier Cnty FL Eductnl Facs Auth Rev Eductnl Facs Hodges Univ Inc | 6.13% | 11/01/43 | 1,582,386 | ||||
1,500,000 | FL St Dev Fin Corp Var Brightline Passngr Rail Expan Proj Remk, Ser A, AMT (Mandatory put 04/04/23) | 2.90% | 12/01/56 | 1,499,255 | ||||
100,000 | Gtr Orlando FL Aviation Auth Arpt Facs Rev Ref Priority Sub Arpt Facs, AMT | 5.00% | 10/01/23 | 103,438 | ||||
445,000 | Hollywood Beach FL Cmnty Dev Dist Rev CDD Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/23 | 461,400 | ||||
325,000 | Hollywood FL Cmnty Redev Agy Redev Rev Ref | 5.00% | 03/01/23 | 331,003 | ||||
215,000 | Jacksonville FL Capital Impt Rev Ref | 5.00% | 10/01/22 | 216,247 | ||||
1,250,000 | Jacksonville FL Port Auth Ref, AMT | 5.00% | 11/01/38 | 1,259,913 | ||||
100,000 | Jacksonville FL Spl Rev Ref, Ser C | 5.00% | 10/01/24 | 100,580 | ||||
240,000 | Jea FL Elec Sys Rev Ser Three, Ser A | 5.00% | 10/01/22 | 241,400 | ||||
240,000 | Jea FL Elec Sys Rev Sub, Ser A | 5.00% | 10/01/22 | 241,400 | ||||
510,000 | Jea FL Elec Sys Rev Sub, Ser B | 5.00% | 10/01/22 | 512,975 | ||||
235,000 | Jea FL Elec Sys Rev Sub, Ser D | 5.00% | 10/01/22 | 236,383 | ||||
60,000 | Jea FL Elec Sys Rev Unrefunded Sub, Ser B | 5.00% | 10/01/23 | 60,353 | ||||
175,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Ref Country Club E Proj, AGM | 5.00% | 05/01/25 | 187,080 | ||||
155,000 | Lee Cnty FL Indl Dev Auth Hlthcare Facs Rev Shell Point Oblig Grp | 4.00% | 11/15/22 | 155,544 | ||||
100,000 | Miami-Dade Cnty FL Eductnl Facs Auth Rev Univ of Miami, Ser A | 4.00% | 04/01/23 | 101,524 | ||||
95,000 | Miami-Dade Cnty FL Sch Brd, Ser B, COPS | 5.00% | 02/01/30 | 96,561 | ||||
105,000 | Miami-Dade Cnty FL Seaport Rev, Ser B, AMT | 4.00% | 10/01/37 | 105,419 | ||||
410,000 | Miami-Dade Cnty FL Spl Oblig Ref Sub, Ser A | 5.00% | 10/01/27 | 412,447 | ||||
105,000 | Miami-Dade Cnty FL Spl Oblig Ref Sub, Ser B, AGM | 4.00% | 10/01/37 | 105,445 | ||||
2,650,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Presbyterian Retmnt Cmntys | 5.00% | 08/01/41 | 2,799,130 | ||||
145,000 | Sarasota Cnty FL Util Sys Rev | 5.00% | 10/01/38 | 150,789 | ||||
700,000 | Tolomato FL CDD Ref, Ser A, AGM | 3.00% | 05/01/23 | 705,495 | ||||
15,904,776 | ||||||||
Georgia – 3.7% | ||||||||
1,025,000 | Atlanta GA Arpt Rev, Ser B, AMT | 5.00% | 07/01/23 | 1,053,240 | ||||
2,500,000 | Burke Cnty GA Dev Auth Poll Control Rev Var Ref GA Pwr Co Plant Vogtle Proj (a) | 2.00% | 11/01/52 | 2,500,000 | ||||
2,065,000 | Cobb Cnty GA Sch Dist Nts | 3.00% | 12/15/22 | 2,076,868 | ||||
245,000 | GA St Hsg & Fin Auth Rev, Ser A | 2.35% | 12/01/22 | 245,515 | ||||
500,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 4.00% | 12/01/23 | 507,665 | ||||
2,000,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put 09/01/23) | 4.00% | 04/01/48 | 2,039,093 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Georgia (Continued) | ||||||||
$500,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser B (d) | 5.00% | 06/01/24 | $519,360 | ||||
1,105,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Subser C (Mandatory put 12/01/23) | 4.00% | 08/01/48 | 1,130,544 | ||||
160,000 | Muni Elec Auth of GA Ref Proj 1, Subser A | 5.00% | 01/01/23 | 162,031 | ||||
200,000 | Priv Clgs & Univs Auth GA Ref Mercer Univ Proj | 5.00% | 10/01/22 | 201,030 | ||||
10,435,346 | ||||||||
Idaho – 0.3% | ||||||||
1,000,000 | ID St Hlth Facs Auth Hosp Rev Var Che Trinity Hlth Credit Grp Remk, Ser ID (Mandatory put 11/01/22) | 1.60% | 12/01/48 | 999,394 | ||||
Illinois – 5.3% | ||||||||
130,000 | Chicago Heights IL Green Bond, BAM | 4.00% | 12/01/22 | 130,994 | ||||
165,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (c) | 12/01/22 | 163,635 | ||||
150,000 | Chicago IL Brd of Edu Cap Apprec Sch, Ser A, BHAC-CR FGIC | (c) | 12/01/22 | 149,042 | ||||
1,500,000 | Chicago IL Brd of Edu Ref Dedicated, Ser C | 5.00% | 12/01/22 | 1,512,335 | ||||
80,000 | Chicago IL O’Hare Intl Arpt Rev Ref Gen Sr Lien, Ser C | 5.00% | 01/01/23 | 81,136 | ||||
1,500,000 | Chicago IL Transit Auth Capital Grant Recpts Rev Ref 5337 St of Good Repair Formula Funds | 5.00% | 06/01/23 | 1,539,245 | ||||
165,000 | Chicago IL Wtr Rev Second Lien | 5.00% | 11/01/23 | 166,433 | ||||
150,000 | Cook Cnty IL Ref, Ser C | 5.00% | 11/15/23 | 151,484 | ||||
295,000 | Cook Cnty IL Sch Dist #97 | 4.00% | 01/01/23 | 298,124 | ||||
460,000 | IL St | 5.00% | 05/01/23 | 470,704 | ||||
180,000 | IL St Fin Auth Hlth Svcs Facs Lease Rev Univ of IL Hlth Svcs Fac Proj | 5.00% | 10/01/23 | 185,978 | ||||
1,500,000 | IL St Fin Auth Rev Centegra Hlth Sys | 5.00% | 09/01/38 | 1,504,309 | ||||
175,000 | IL St Fin Auth Rev Ref Osf Hlthcare Sys, Ser A | 5.00% | 11/15/22 | 176,562 | ||||
795,000 | IL St Fin Auth Rev Ref Rush Univ Med Ctr, Ser A | 5.00% | 11/15/22 | 802,556 | ||||
2,000,000 | IL St Fin Auth Rev Rehab Institute of Chicago, Ser A | 6.00% | 07/01/43 | 2,068,122 | ||||
50,000 | IL St Ref | 4.00% | 08/01/25 | 50,068 | ||||
440,000 | IL St, BAM | 5.50% | 07/01/24 | 454,683 | ||||
200,000 | IL St, Ser A | 5.00% | 12/01/22 | 202,146 | ||||
250,000 | IL St, Ser A | 5.00% | 04/01/23 | 255,202 | ||||
155,000 | IL St, Ser D | 5.00% | 11/01/22 | 156,258 | ||||
275,000 | Lake Cnty IL Forest Preservation Dist Ref, Ser A | 5.00% | 12/15/22 | 278,524 | ||||
1,240,000 | Mclean & Woodford Cntys IL Cmnty Unit Sch Dist #5 Ref, Ser A | 4.00% | 12/01/23 | 1,272,778 | ||||
1,805,000 | Mount Vernon IL Ref, BAM | 4.00% | 12/15/23 | 1,859,173 | ||||
115,000 | Peoria IL Ref, Ser C, AGM | 5.00% | 01/01/23 | 116,469 | ||||
575,000 | Saint Charles IL Park Dist Ref, Ser B | 5.00% | 12/15/22 | 582,240 | ||||
515,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/23 | 524,755 | ||||
15,152,955 | ||||||||
Indiana – 3.7% | ||||||||
300,000 | Bedford IN Sewage Wks Rev Ref Green Bond, BAM | 3.50% | 01/01/23 | 302,311 | ||||
85,000 | Carmel IN Redev Auth Lease Rental Rev Multipurpose, Ser A | 4.00% | 08/01/30 | 85,000 | ||||
305,000 | Carmel IN Redev Auth Lease Rental Rev Multipurpose, Ser A | 4.00% | 08/01/35 | 305,000 | ||||
2,000,000 | IN St Fin Auth Econ Dev Rev Ref Rep Svcs Inc Proj Remk, Ser A, AMT (Mandatory put 09/01/22) | 0.65% | 05/01/34 | 1,999,645 | ||||
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 | 3,475,889 | ||||
2,000,000 | IN St Fin Auth Rev Priv Activity OH River Bridges E End Xing P3 Proj, Ser A | 5.00% | 07/01/48 | 2,057,869 | ||||
1,565,000 | IN St Hsg & Cmnty Dev Auth SF Mtge Rev Ref, Ser B-2, AMT | 5.00% | 01/01/23 | 1,583,034 | ||||
135,000 | IN St Muni Pwr Agy Ref, Ser A | 5.00% | 01/01/24 | 141,048 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Indiana (Continued) | ||||||||
$120,000 | IN Univ Revs Ref IN Univ Stdt Fee, Ser Z-1 | 3.00% | 08/01/22 | $120,000 | ||||
100,000 | La Porte IN Wtrwks Rev, AGM | 4.00% | 07/01/23 | 101,699 | ||||
470,000 | Saint Joseph Cnty IN Arpt Auth Ref, AMT, BAM | 4.00% | 01/01/23 | 474,468 | ||||
10,645,963 | ||||||||
Iowa – 0.3% | ||||||||
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 | 999,203 | ||||
Kansas – 0.1% | ||||||||
320,000 | Wichita KS Hlthcare Facs Rev Ref & Impt Larksfield Place, Ser III | 5.50% | 12/15/25 | 336,404 | ||||
Kentucky – 2.1% | ||||||||
955,000 | KY St Asset/Liability Commn Agy Fund Rev Ref Proj Nts Hwy Trust Fund 1st, Ser A, GARVEE | 5.00% | 09/01/23 | 988,655 | ||||
190,000 | KY St Muni Pwr Agy Pwr Sys Rev Ref, Ser A, NATL-RE | 5.00% | 09/01/23 | 196,405 | ||||
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 | 92,509 | ||||
650,000 | KY St Turnpike Auth Econ Dev Road Rev Revitalization Projs, Ser A | 5.00% | 07/01/27 | 670,311 | ||||
1,595,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Var Norton Hlthcare Inc, Ser B (Mandatory put 10/01/23) | 5.00% | 10/01/47 | 1,649,093 | ||||
1,500,000 | Louisville & Jefferson Cnty KY Met Swr Dist Swr & Drain Sys Subord, BANS | 3.00% | 10/14/22 | 1,504,105 | ||||
275,000 | Owensboro KY Ref | 3.00% | 10/01/22 | 275,668 | ||||
610,000 | Univ of Louisville KY Rev, Ser B, AGM | 5.00% | 09/01/23 | 629,964 | ||||
6,006,710 | ||||||||
Louisiana – 2.8% | ||||||||
210,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Ref Athletic Facs Proj, AGM | 3.00% | 10/01/22 | 210,489 | ||||
100,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Ref Lewis Street Parking Garage Proj, AGM | 3.00% | 10/01/22 | 100,233 | ||||
480,000 | LA St, Ser A | 5.00% | 03/01/23 | 489,796 | ||||
1,540,000 | LA St, Ser A | 4.00% | 05/15/30 | 1,570,016 | ||||
125,000 | LA Stadium & Exposition Dist LA Ref Sr, Ser A | 5.00% | 07/01/28 | 128,836 | ||||
2,400,000 | LA Stadium & Exposition Dist LA, BANS | 4.00% | 07/03/23 | 2,429,645 | ||||
15,000 | New Orleans LA Wtr Rev Ref | 5.00% | 12/01/29 | 16,138 | ||||
35,000 | New Orleans LA Wtr Rev Ref | 5.00% | 12/01/34 | 37,656 | ||||
280,000 | New Orleans LA Wtr Rev Ref | 5.00% | 12/01/44 | 301,246 | ||||
1,245,000 | Port New Orleans LA Brd of Commissioners Port Fac Rev Ref, Ser B | 5.00% | 04/01/31 | 1,269,897 | ||||
930,000 | 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 | 926,702 | ||||
185,000 | Shreveport LA Wtr & Swr Rev Junior Lien, Ser C, BAM | 5.00% | 12/01/23 | 192,357 | ||||
255,000 | Shreveport LA Wtr & Swr Rev Ref, Ser A, BAM | 5.00% | 12/01/22 | 257,674 | ||||
7,930,685 | ||||||||
Maine – 0.3% | ||||||||
730,000 | Maine St Hlth & Hgr Eductnl Facs Auth Rev Estrn Maine Med Ctr Oblig Grp | 5.00% | 07/01/33 | 752,473 | ||||
150,000 | ME St Muni Bond Bank, Ser A, GARVEE | 5.00% | 09/01/22 | 150,433 | ||||
902,906 | ||||||||
Maryland – 1.4% | ||||||||
2,000,000 | Montgomery Cnty MD Pub Fac Proj, Ser A, COPS | 5.00% | 10/01/22 | 2,011,568 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Maryland (Continued) | ||||||||
$2,000,000 | Tender Option Bond Trust Recpts / Ctfs Various States Floaters, Ser 2017-Zf2407 (a) (b) | 1.63% | 01/01/25 | $2,000,000 | ||||
4,011,568 | ||||||||
Massachusetts – 2.5% | ||||||||
575,000 | Ipswich MA, BANS | 1.25% | 08/12/22 | 574,918 | ||||
1,025,000 | MA St Dev Fin Agy Rev N Hill Cmntys, Ser A (b) | 6.50% | 11/15/43 | 1,087,362 | ||||
1,500,000 | MA St Eductnl Fing Auth Ref Issue, Ser J, AMT | 5.00% | 07/01/23 | 1,538,979 | ||||
150,000 | MA St Eductnl Fing Auth Sr, Ser B, AMT | 5.00% | 07/01/23 | 154,036 | ||||
1,200,000 | MA St Hsg Fin Agy Hsg Rev Nts Ref | 0.25% | 12/01/22 | 1,194,264 | ||||
500,000 | MA St Port Auth Ref, Ser A, AMT | 5.00% | 07/01/23 | 513,914 | ||||
30,000 | Montague MA, Ser A | 5.00% | 11/15/22 | 30,305 | ||||
2,000,370 | Pittsfield MA, BANS | 2.00% | 02/24/23 | 2,007,940 | ||||
7,101,718 | ||||||||
Michigan – 1.1% | ||||||||
425,000 | MI St Fin Auth Rev Ref Beaumont Hlth Credit Grp | 5.00% | 08/01/22 | 425,000 | ||||
500,000 | MI St Fin Auth Rev Ref Beaumont Spectrum Consolidation, Ser A | 5.00% | 10/15/22 | 503,493 | ||||
150,000 | MI St Fin Auth Rev Ref Sub St Revolving Fund Clean | 5.00% | 10/01/23 | 150,895 | ||||
100,000 | MI St Fin Auth Rev Second Lien Distrib St Aid Rev Chrt Cnty Wayne | 5.00% | 11/01/22 | 100,828 | ||||
560,000 | MI St Hosp Fin Auth Ascension Hlth Credit Grp Remk, Ser A-4 | 5.00% | 11/01/23 | 582,236 | ||||
1,490,000 | Oakland Univ MI Rev Gen, Ser A | 5.00% | 03/01/38 | 1,513,606 | ||||
3,276,058 | ||||||||
Minnesota – 1.7% | ||||||||
600,000 | Forest Lake MN Indep Sch Dist #831 Ref, Ser A, COPS | 4.00% | 04/01/23 | 608,982 | ||||
305,000 | Mankato MN, Ser A (d) | 5.00% | 02/01/23 | 309,936 | ||||
250,000 | MN St Hsg Fin Agy Rental Hsg Bonds, Ser B | 0.35% | 02/01/23 | 248,290 | ||||
1,250,000 | MN St Rural Wtr Fin Auth Pub Projs Constr Notes | 2.63% | 12/01/23 | 1,251,103 | ||||
2,220,000 | Ramsey Cnty MN Ref, Ser A | 5.00% | 02/01/23 | 2,258,823 | ||||
75,000 | Saint Paul MN Port Auth Energy Pk Util Co Proj, AMT | 5.70% | 08/01/36 | 75,000 | ||||
4,752,134 | ||||||||
Mississippi – 0.2% | ||||||||
400,000 | MS St Dev Bank Spl Oblg Jackson Wtr & Swr Sys Proj, AGM | 6.75% | 12/01/26 | 423,583 | ||||
100,000 | MS St Dev Bank Spl Oblg Jackson Wtr & Swr Sys Proj, AGM | 6.75% | 12/01/32 | 105,178 | ||||
150,000 | MS St Ref, Ser F | 4.00% | 11/01/22 | 151,055 | ||||
679,816 | ||||||||
Missouri – 0.2% | ||||||||
500,000 | Bridgeton MO Spl Oblig Rev Ref, Ser A | 4.00% | 12/01/22 | 504,006 | ||||
Nebraska – 0.7% | ||||||||
300,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/22 | 300,719 | ||||
335,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/27 | 335,893 | ||||
780,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/32 | 782,080 | ||||
420,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.25% | 09/01/37 | 421,204 | ||||
150,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 | 5.00% | 01/01/24 | 155,140 | ||||
80,000 | Univ of NE NE Facs Corp Ref, Ser B | 4.00% | 10/01/22 | 80,343 | ||||
2,075,379 | ||||||||
Nevada – 2.0% | ||||||||
200,000 | Clark Cnty NV Passenger Fac Charge Rev Ref Las Vegas Mccarran Intl Arpt, Ser E | 5.00% | 07/01/23 | 206,213 | ||||
835,000 | Clark Cnty NV Sch Dist Ref Bldg, Ser A | 5.00% | 06/15/23 | 859,360 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Nevada (Continued) | ||||||||
$675,000 | Clark Cnty NV Sch Dist Ref, Ser A | 5.00% | 06/15/23 | $694,692 | ||||
2,000,000 | Director of the St of NV Dept of Busn & Ind Var Brightline W Passenger Rail Proj Remk, Ser A, AMT (Mandatory put 01/26/23) (b) | 0.85% | 01/01/50 | 1,980,221 | ||||
1,885,000 | Yerington NV USDA Interim Debs | 1.63% | 11/01/23 | 1,877,250 | ||||
5,617,736 | ||||||||
New Jersey – 5.7% | ||||||||
100,000 | Atlantic City NJ Brd of Edu Ref Sch Bd Res Fd, AGM | 4.00% | 04/01/23 | 101,597 | ||||
1,352,000 | Atlantic Cnty NJ | 3.00% | 03/15/23 | 1,364,427 | ||||
2,000,000 | Cherry Hill Twp NJ, BANS | 2.00% | 10/25/22 | 2,002,471 | ||||
1,000,000 | Hudson Cnty NJ Impt Auth Loc Unit Loan Prog, Ser B-1 (d) | 3.00% | 08/04/23 | 1,010,231 | ||||
850,000 | Newark NJ Ref, Ser A | 5.00% | 10/01/22 | 854,405 | ||||
610,000 | Newark NJ Ref, Ser A, BAM | 5.00% | 10/01/23 | 631,620 | ||||
340,000 | Newark NJ Ref, Ser B, AGM | 5.00% | 10/01/23 | 352,050 | ||||
700,000 | NJ St Covid-19 Go Emergency Bonds, Ser A | 4.00% | 06/01/23 | 713,508 | ||||
25,000 | NJ St Econ Dev Auth Ref, Ser A, BAM | 5.00% | 06/15/23 | 25,725 | ||||
1,000,000 | NJ St Econ Dev Auth Rev Prerefunded Ref Sch Facs Constr, Ser NN | 5.00% | 03/01/27 | 1,020,232 | ||||
1,285,000 | NJ St Econ Dev Auth Rev Ref, Ser B | 5.00% | 11/01/22 | 1,295,416 | ||||
50,000 | NJ St Econ Dev Auth Rev Sch Facs Constr, Ser KK | 5.00% | 03/01/23 | 50,144 | ||||
500,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev Sr Bonds, Ser B, AMT | 5.00% | 12/01/22 | 505,478 | ||||
1,500,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev Sr, Ser 1A-1, AMT | 5.00% | 12/01/22 | 1,516,434 | ||||
100,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev Sr, Ser 2015-1A, AMT | 5.00% | 12/01/24 | 106,146 | ||||
255,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev, Ser B, AMT | 5.00% | 12/01/23 | 264,935 | ||||
180,000 | NJ St Transprtn Trust Fnd Auth Transn Sys, Ser B | 5.25% | 12/15/23 | 187,957 | ||||
350,000 | NJ St Transprtn Trust Fnd Auth Transn Sys, Ser B, AMBAC | 5.25% | 12/15/22 | 354,531 | ||||
1,500,000 | NJ St Transprtn Trust Fund Auth Transn Sys, Ser A | 5.50% | 12/15/22 | 1,520,792 | ||||
360,000 | NJ St Transprtn Trust Fund Auth Transn Sys, Ser A, AGM | 5.50% | 12/15/22 | 365,233 | ||||
400,000 | NJ St Transprtn Trust Fund Auth Transn Sys, Ser D | 5.00% | 12/15/23 | 416,338 | ||||
1,500,000 | NJ St Transprtn Trust Fund Auth Transprtn Sys, Ser A, AGM | 5.25% | 12/15/22 | 1,520,429 | ||||
16,180,099 | ||||||||
New York – 10.7% | ||||||||
100,000 | Build NYC Res Corp NY Rev Acad Leadership Chrt Sch Proj | 4.00% | 06/15/23 | 101,059 | ||||
335,000 | E Hampton Town NY, Ser A, BANS | 1.50% | 08/19/22 | 334,997 | ||||
2,000,000 | E Ramapo NY Centrl Sch Dist, Ser A, RANS | 3.00% | 05/31/23 | 2,018,931 | ||||
2,000,000 | Elmira City NY Sch Dist, BANS | 4.00% | 06/23/23 | 2,040,051 | ||||
1,125,000 | Hempstead NY Union Free Sch Dist for 2022-2023 St Aid, RANS | 3.75% | 06/30/23 | 1,141,506 | ||||
2,000,000 | Indian River NY Centrl Sch Dist at Philadelphia, BANS | 4.00% | 06/28/23 | 2,037,359 | ||||
600,000 | Long Beach NY, BAM | 2.00% | 09/15/22 | 600,397 | ||||
245,000 | Met Transprtn Auth NY Rev Ref, Ser F | 5.00% | 11/15/23 | 247,318 | ||||
100,000 | Met Transprtn Auth NY Rev Transn, Ser C | 5.00% | 11/15/22 | 101,005 | ||||
370,000 | Met Transprtn Auth NY Rev Transprtn, Ser A-1 | 5.00% | 11/15/23 | 384,646 | ||||
125,000 | Met Transprtn Auth NY Rev Transprtn, Ser B | 5.00% | 11/15/22 | 126,257 | ||||
235,000 | Met Transprtn Auth NY Rev Transprtn, Ser E | 5.00% | 11/15/22 | 237,363 | ||||
175,000 | Met Transprtn Auth NY Rev Transprtn, Subser A-1 | 5.00% | 11/15/22 | 176,760 | ||||
1,000,000 | Met Transprtn Auth NY Rev Unrefunded Transptrn, Ser C | 5.00% | 11/15/28 | 1,009,501 | ||||
1,750,000 | Met Transprtn Auth NY Rev, Ser A-1, BANS | 5.00% | 02/01/23 | 1,777,376 | ||||
1,000,000 | Met Transprtn Auth NY Rev, Ser D-1, BANS | 5.00% | 09/01/22 | 1,002,865 | ||||
130,000 | Nassau Cnty NY, Ser B | 5.00% | 10/01/22 | 130,739 | ||||
250,000 | New York City NY Hsg Dev Corp Rev, Ser B2 | 5.00% | 07/01/25 | 257,766 | ||||
1,000,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Var Ref Sub 2nd General Resolution, Ser DD (a) | 1.90% | 06/15/33 | 1,000,000 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$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 | $1,880,896 | ||||
1,630,000 | NY City NY Hsg Dev Corp Rev, Ser A | 5.00% | 07/01/25 | 1,680,635 | ||||
2,150,000 | NY NY Adj Fiscal 2020, Subser B-3 (a) | 1.90% | 10/01/46 | 2,150,000 | ||||
2,000,000 | NY NY Prerefunded, Subser F-1 | 5.00% | 03/01/37 | 2,040,582 | ||||
2,000,000 | NY NY Var Fiscal 2021 Remk, Ser 3 (a) | 1.75% | 04/01/42 | 2,000,000 | ||||
100,000 | NY NY, Ser C | 5.00% | 08/01/23 | 100,302 | ||||
250,000 | NY St Dorm Auth Revs Non St Supported Debt Ref, Ser 1 | 5.00% | 01/15/23 | 253,852 | ||||
285,000 | NY St Dorm Auth Revs Non St Supported Debt Sch Dists Fing Prog, Ser A | 5.00% | 10/01/22 | 286,453 | ||||
125,000 | NY St Hsg Fin Agy Affordable Hsg, Ser E | 2.13% | 11/01/23 | 125,018 | ||||
235,000 | NY St Hsg Fin Agy Sustainability Bonds, Ser N | 1.45% | 05/01/23 | 234,400 | ||||
180,000 | NY St Hsg Fin Agy Sustainability Bonds, Ser Q | 1.35% | 11/01/23 | 178,883 | ||||
2,250,000 | NY St Mtge Agy Homeowner Mtge Rev, Ser 183, AMT | 3.75% | 04/01/23 | 2,270,731 | ||||
175,000 | NY St Mtge Agy Rev Mtge, 55th Ser, AMT | 2.65% | 10/01/23 | 175,909 | ||||
265,000 | NY St Mtge Agy Rev, Ser 51 | 2.25% | 10/01/23 | 265,925 | ||||
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 | 413,560 | ||||
245,000 | Onondaga NY Civic Dev Corp Le Moyne Clg Proj | 5.00% | 07/01/23 | 251,254 | ||||
255,000 | Onondaga NY Civic Dev Corp Le Moyne Clg Proj | 5.00% | 07/01/24 | 267,225 | ||||
155,000 | Port Auth of NY & NJ NY Ref Consol Ser 186, AMT | 5.00% | 10/15/22 | 155,993 | ||||
245,000 | Port Auth of NY & NJ NY Ref Consolidated Bonds Two Hundred Second, AMT | 5.00% | 10/15/22 | 246,570 | ||||
580,000 | Port Auth of NY & NJ NY Ref, Ser 207, AMT | 5.00% | 09/15/23 | 598,834 | ||||
230,000 | Rochester NY, Ser II, BANS | 2.00% | 08/03/22 | 230,003 | ||||
100,000 | Suffolk Cnty NY, Ser B | 2.00% | 10/15/22 | 100,085 | ||||
85,000 | York NY Green Bond, BAM | 2.50% | 08/15/22 | 85,032 | ||||
30,718,038 | ||||||||
North Dakota – 1.0% | ||||||||
1,500,000 | Cass Cnty ND Jt Wtr Res Dist, Ser A | 0.48% | 05/01/24 | 1,446,158 | ||||
50,000 | Grand Forks ND Hlthcare Sys Rev Altru Hlth System Ref | 5.00% | 12/01/23 | 51,747 | ||||
1,235,000 | Mandan ND Pub Sch Dist #1 | 5.00% | 08/01/22 | 1,235,000 | ||||
2,732,905 | ||||||||
Ohio – 2.5% | ||||||||
200,000 | Allen Cnty OH Hosp Facs Rev Ref Bon Secours Mercy Hlth Inc, Ser A | 5.00% | 12/01/22 | 202,158 | ||||
135,000 | American Muni Pwr OH Inc OH Rev Ref Combined Hydroelec Proj, Ser A | 5.00% | 02/15/23 | 137,493 | ||||
175,000 | American Muni Pwr OH Inc OH Rev Ref Prairie St Energy Cmps Proj, Ser A | 5.00% | 02/15/23 | 178,232 | ||||
150,000 | Butler Cnty OH Hosp Facs Ref UC Hlth | 4.00% | 11/15/23 | 153,767 | ||||
2,195,000 | Gahanna Jefferson OH City Sch Dist Sch Facs Constr & Impt Bonds, Ser 2021, AGM | 2.00% | 12/01/22 | 2,199,274 | ||||
100,000 | Hamilton Cnty OH Hosp Facs Rev Trihealth Inc, Ser A | 5.00% | 08/15/22 | 100,122 | ||||
280,000 | Montgomery Cnty OH Hosp Rev Ref Kettering Hlth Network Oblig Grp Proj | 5.00% | 08/01/23 | 288,329 | ||||
100,000 | NE OH Med Univ Gen Recpts Ref, Ser A | 3.00% | 12/01/22 | 100,423 | ||||
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 | 489,468 | ||||
1,000,000 | OH St Hgr Eductnl Fac Commn Kenyon Clg Proj | 5.00% | 07/01/37 | 1,026,170 | ||||
1,500,000 | OH St Turnpike Commn Junior Lien Infra Projs, Ser A-1 | 5.25% | 02/15/39 | 1,528,960 | ||||
240,000 | OH St Voting System Acq Proj, COPS | 5.00% | 09/01/22 | 240,703 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Ohio (Continued) | ||||||||
$330,000 | Wood Cnty OH Hosp Facs Rev Prerefunded Ref & Impt Wood Cnty Hosp | 5.00% | 12/01/37 | $333,926 | ||||
170,000 | Wood Cnty OH Hosp Facs Rev Refunded Ref & Impt Wood Cnty Hosp | 5.00% | 12/01/37 | 172,022 | ||||
7,151,047 | ||||||||
Oklahoma – 1.6% | ||||||||
2,700,000 | OK St Dev Fin Auth Gilcrease Expressway W Proj P3 Proj, AMT | 1.63% | 07/06/23 | 2,660,098 | ||||
1,315,000 | Tulsa OK | 5.00% | 03/01/23 | 1,341,992 | ||||
500,000 | Tulsa OK Arpts Impt Trust, Ser A, AMT | 5.63% | 06/01/43 | 515,982 | ||||
4,518,072 | ||||||||
Oregon – 1.3% | ||||||||
3,500,000 | Crook Cnty OR Sch Dist | 5.00% | 06/15/37 | 3,606,631 | ||||
105,000 | Salem OR Hosp Fac Auth Rev Ref Capital Manor Proj | 5.00% | 05/15/23 | 106,451 | ||||
3,713,082 | ||||||||
Pennsylvania – 3.7% | ||||||||
515,000 | Allegheny Cnty PA Hosp Dev Auth UPMC, Ser A | 5.00% | 10/15/22 | 518,353 | ||||
150,000 | Allegheny Vly PA Jt Sewage Auth Green Bond, BAM | 4.00% | 08/01/22 | 150,000 | ||||
200,000 | Berks Cnty PA Indl Dev Auth Hlth Sys Rev Ref Tower Hlth Proj | 5.00% | 11/01/22 | 198,828 | ||||
520,000 | Coatesville PA Area Sch Dist Unrefunded Ref, AGM | 5.00% | 08/01/22 | 520,000 | ||||
55,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/23 | 56,078 | ||||
235,000 | Monroeville PA Fin Auth Upmc Rev Ref, Ser B | 5.00% | 02/15/23 | 238,959 | ||||
180,000 | Monroeville PA Fin Auth Upmc Rev Ref, Ser B | 3.50% | 07/01/23 | 182,608 | ||||
1,340,000 | N Wales PA Wtr Auth Ref | 3.00% | 11/01/23 | 1,360,139 | ||||
125,000 | PA St Econ Dev Fing Auth Pkg Sys Rev Capitol Region Pkg Sys Sr, Ser A, AGM | 5.00% | 01/01/23 | 126,665 | ||||
500,000 | PA St Econ Dev Fing Auth Solid Waste Disposal Rev Var Draw Down Rep Svcs Inc Remk, Ser B-2, AMT (Mandatory put 01/17/23) | 0.30% | 04/01/49 | 500,107 | ||||
2,000,000 | PA St Econ Dev Fing Auth Solid Waste Disposal Rev Var Waste Mgmt Inc Proj Remk, AMT (Mandatory put 11/01/22) | 2.00% | 08/01/45 | 2,000,018 | ||||
925,000 | PA St Hgr Eductnl Facs Auth Rev Univ PA Hlth Sys, Ser A | 5.00% | 08/15/26 | 926,209 | ||||
175,000 | PA St Hgr Eductnl Facs Auth Rev Univ PA Hlth Sys, Ser A | 5.00% | 08/15/31 | 175,229 | ||||
1,900,000 | Philadelphia PA Gas Wks Rev Ref | 5.00% | 08/01/22 | 1,900,000 | ||||
155,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/22 | 155,000 | ||||
215,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/23 | 221,720 | ||||
260,000 | Philadelphia PA Sch Dist, Ser A | 5.00% | 09/01/23 | 268,821 | ||||
200,000 | Riverside PA Sch Dist Ref, BAM | 2.00% | 10/15/22 | 200,173 | ||||
255,000 | Riverside PA Sch Dist Ref, BAM | 3.00% | 10/15/23 | 258,775 | ||||
300,000 | Riverside PA Sch Dist Ref, BAM | 4.00% | 10/15/24 | 313,744 | ||||
275,000 | Riverside PA Sch Dist Ref, BAM | 4.00% | 10/15/25 | 291,891 | ||||
70,000 | W Cornwall Twp PA Muni Auth Ref Lebanon Vly Brethren Home Proj, Ser A | 4.00% | �� | 11/15/22 | 70,222 | |||
10,633,539 | ||||||||
Rhode Island – 1.3% | ||||||||
625,000 | Cranston RI, Ser 1, BANS | 1.00% | 08/23/22 | 624,766 | ||||
1,000,000 | RI St Convention Ctr Auth Rev Ref, Ser A | 4.00% | 05/15/23 | 1,018,146 | ||||
2,000,000 | Warwick RI Ref, Ser B | 4.00% | 08/01/22 | 2,000,000 | ||||
3,642,912 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
South Carolina – 0.7% | ||||||||
$1,475,000 | Saxe Gotha Lexington Pub Facs Corp SC Rev Corley Mill Redev Proj Area, BANS | 2.00% | 03/17/23 | $1,473,396 | ||||
370,000 | SC St Pub Svc Auth Rev Ref Obligs, Ser C | 5.00% | 12/01/22 | 374,227 | ||||
100,000 | SC St Pub Svc Auth Rev Ref, Ser B | 5.00% | 12/01/22 | 101,143 | ||||
1,948,766 | ||||||||
South Dakota – 0.5% | ||||||||
980,000 | SD St Eductnl Enhancement Funding Corp Tobacco Set, Ser B | 5.00% | 06/01/24 | 1,007,123 | ||||
355,000 | SD St Hlth & Eductnl Facs Auth Ref Sanford Oblig Grp | 5.00% | 11/01/22 | 358,181 | ||||
1,365,304 | ||||||||
Tennessee – 1.7% | ||||||||
5,000 | Jackson TN Hosp Rev Prerefunded Ref Jackson Madison Cnty Hosp | 5.00% | 04/01/23 | 5,110 | ||||
220,000 | Jackson TN Hosp Rev Unrefunded Ref Jackson Madison Cnty Hosp | 5.00% | 04/01/23 | 224,444 | ||||
250,000 | Memphis TN Elec Sys Rev | 5.00% | 12/01/22 | 252,974 | ||||
135,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Trevecca Nazarene Univ Proj, Ser B | 4.00% | 10/01/23 | 136,770 | ||||
500,000 | TN St Energy Acq Corp Gas Rev | 5.00% | 11/01/22 | 503,112 | ||||
1,000,000 | TN St Energy Acq Corp Gas Rev Proj, Ser A (Mandatory put 05/01/23) | 4.00% | 05/01/48 | 1,012,597 | ||||
1,085,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/22 | 1,087,538 | ||||
610,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/23 | 626,220 | ||||
860,000 | TN St Energy Acq Corp Gas Rev, Ser C | 5.00% | 02/01/23 | 870,185 | ||||
4,718,950 | ||||||||
Texas – 9.9% | ||||||||
250,000 | Aldine TX Indep Sch Dist Ref | 5.00% | 02/15/23 | 254,766 | ||||
40,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Kipp TX Inc | 5.00% | 08/15/23 | 41,384 | ||||
230,000 | Austin TX Cmnty Clg Dist | 5.00% | 08/01/22 | 230,000 | ||||
1,000,000 | Austin TX Ref | 5.00% | 09/01/22 | 1,002,856 | ||||
200,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fndtn Proj | 5.00% | 07/15/23 | 202,540 | ||||
305,000 | Brazoria Cnty TX Muni Util Dist #55, BAM | 4.00% | 09/01/23 | 312,232 | ||||
2,115,000 | Brd of Managers TX Jt Guadalupe Cnty City of Seguin Hosp Mtg Ref | 5.00% | 12/01/22 | 2,130,051 | ||||
205,000 | Bridgeport TX Ctfs Oblig, BAM | 4.00% | 08/15/22 | 205,188 | ||||
260,000 | Centrl TX Regl Mobility Auth Rev Ref Sr Lien, Ser A, AGM | 5.00% | 01/01/43 | 263,735 | ||||
1,320,000 | Clear Creek TX Indep Sch Dist Remk, Ser B (Mandatory put 08/15/22) | 1.35% | 02/15/32 | 1,319,805 | ||||
310,000 | Clifton TX Hgr Edu Fin Corp Edu Rev Idea Pub Sch, Ser T | 5.00% | 08/15/22 | 310,355 | ||||
650,000 | Corpus Christi TX Util Sys Rev Junior Lien, Ser B | 5.00% | 07/15/23 | 670,073 | ||||
150,000 | Corsicana TX Ctfs Oblig | 4.00% | 02/15/23 | 151,585 | ||||
250,000 | Cotulla TX Indep Sch Dist | 5.00% | 02/15/23 | 254,617 | ||||
965,000 | Cypress Fairbanks TX Indep Sch Dist | 5.00% | 02/15/25 | 983,395 | ||||
100,000 | Dallas Fort Worth TX Intl Arpt Rev Jt Impt, Ser B, AMT | 5.00% | 11/01/34 | 100,856 | ||||
1,000,000 | Dallas Fort Worth TX Intl Arpt Rev Ref, Ser A | 5.00% | 11/01/23 | 1,039,201 | ||||
100,000 | Dallas TX Wtrwks & Swr Sys Rev Ref, Ser A | 5.00% | 10/01/37 | 100,597 | ||||
90,000 | Dallas TX Wtrwks & Swr Sys Rev Unrefunded Ref, Ser A | 5.00% | 10/01/29 | 90,537 | ||||
300,000 | Denton Cnty TX Fresh Wtr Sply Dist #10, AGM | 2.00% | 09/01/22 | 300,110 | ||||
805,000 | Fort Bend Cnty TX Muni Util Dist #182, BAM (d) | 5.25% | 09/01/23 | 834,042 | ||||
1,250,000 | Fort Bend TX Indep Sch Dist Var Remk, Ser A (Mandatory put 08/01/24) | 2.38% | 08/01/49 | 1,254,721 | ||||
490,000 | Fort Worth TX Ref & Impt Gen Purp | 5.00% | 03/01/23 | 499,511 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$200,000 | Gulfgate Redev Auth TX Tax Incr Contract Rev Ref, AGM | 4.00% | 09/01/22 | $200,387 | ||||
1,000,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Med Facs Rev Ref Baylor Clg of Med | 5.00% | 11/15/23 | 1,039,560 | ||||
500,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Rev 1st Mtge Brazos Presbyterian Homes Inc Proj, Ser B | 7.00% | 01/01/48 | 510,973 | ||||
445,000 | Harris Cnty TX Ref Sr Lien Toll Road, Ser C | 5.00% | 08/15/25 | 445,581 | ||||
150,000 | Houston TX Ref Pub Impt, Ser A | 5.00% | 03/01/24 | 157,932 | ||||
175,000 | Houston TX Util Sys Rev Ref Comb 1st Lien, Ser D | 5.00% | 11/15/23 | 182,631 | ||||
425,000 | Kaufman Cnty TX Muni Util Dist #5, BAM | 4.00% | 03/01/23 | 430,235 | ||||
1,990,000 | Love Field TX Arpt Modernization Corp Spl Facs Rev Southwest Airls Co Proj | 5.00% | 11/01/22 | 2,006,493 | ||||
115,000 | Lower CO River TX Auth Trans Contract Rev Ref Lcra Trans Svcs Corp Proj | 5.00% | 05/15/23 | 117,919 | ||||
265,000 | Mclendon Chisholm TX Spl Assmnt Rev Ref Sonoma Pub Impt Dt Phase 1 Proj, BAM | 4.00% | 09/15/23 | 269,830 | ||||
1,500,000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Var Ref Rep Svcs Inc Proj Remk, AMT (Mandatory put 11/01/22) | 2.00% | 01/01/26 | 1,499,977 | ||||
420,000 | Montgomery Cnty TX Muni Util Dist #105, BAM | 4.63% | 09/01/23 | 432,618 | ||||
430,000 | Montgomery Cnty TX Muni Util Dist #105, BAM | 4.63% | 09/01/24 | 454,288 | ||||
125,000 | Mueller TX Loc Govt Corp Contract Rev Tax Incr | 5.00% | 09/01/22 | 125,345 | ||||
100,000 | N TX Tollway Auth Rev Ref, Ser A | 5.00% | 01/01/23 | 101,382 | ||||
165,000 | New Hope Cultural Edu Facs Fincorp Tx Edu Rev Ref Jubilee Acad Ctr (b) | 4.00% | 08/15/22 | 165,027 | ||||
130,000 | Newark Hgr Edu Fin Corp TX Edu Rev The Hughen Ctr Inc, Ser A | 4.00% | 08/15/23 | 133,168 | ||||
300,000 | NW Harris Cnty TX Muni Util Dist #5 Ref, BAM | 4.00% | 05/01/23 | 305,266 | ||||
335,000 | SA Energy Acq Pub Fac Corp TX Gas Sply Rev Gas Sply Rev | 5.50% | 08/01/22 | 335,000 | ||||
185,000 | Sienna Plantation TX Muni Util Dist #5 Contract Rev, BAM | 4.50% | 11/01/22 | 186,342 | ||||
120,000 | Sienna Plantation TX Muni Util Dist #5 Contract Rev, BAM | 4.50% | 11/01/22 | 120,871 | ||||
180,000 | Sienna Plantation TX Muni Util Dist #5 Contract Rev, BAM | 4.50% | 11/01/22 | 181,306 | ||||
125,000 | Splendora TX Indep Sch Dist Ref Sch Bldg, Ser B | 5.00% | 02/15/23 | 127,370 | ||||
395,000 | Stafford TX Econ Dev Corp Sales Tax Rev Ref, BAM | 5.00% | 09/01/23 | 408,877 | ||||
375,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Baylor Hlth Care Sys Proj, Ser A | 4.00% | 11/15/43 | 382,161 | ||||
2,000,000 | Tender Option Bond Trust Recpts / Ctfs Various States Floaters, Ser 2021-XF1226 (a) (b) | 1.36% | 08/15/27 | 2,000,000 | ||||
120,000 | Trinity River TX Auth Red Oak Creek Sys Rev Red Oak Creek System | 5.00% | 02/01/23 | 121,990 | ||||
360,000 | TX St Muni Gas Acq & Sply Corp Gas Sply Rev Ref | 5.00% | 12/15/22 | 363,190 | ||||
1,545,000 | TX St Muni Gas Acq & Sply Corp I Gas Sply Rev Sr Lien, Ser A | 5.25% | 12/15/22 | 1,561,998 | ||||
335,000 | TX St Muni Gas Acq & Sply Corp I Gas Sply Rev Sr Lien, Ser A | 5.25% | 12/15/23 | 347,175 | ||||
295,000 | TX St Transprtn Commissionst Hwy Fund Rev Ref 1st Tier | 5.00% | 10/01/22 | 296,721 | ||||
315,000 | TX St Transprtn Commn Central TX Turnpike Sys Rev Ref 1st Tier, Ser A | 5.00% | 08/15/41 | 315,412 | ||||
150,000 | Viridian TX Muni Mgmt Dist Unlimited Tax Road Impt Bonds, BAM | 4.00% | 12/01/22 | 151,177 | ||||
250,000 | Viridian TX Muni Mgmt Dist Unlimited Tax Road Impt Bonds, BAM | 4.00% | 12/01/23 | 257,309 | ||||
28,287,668 | ||||||||
Utah – 0.0% | ||||||||
105,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Quest Acdmy | 4.00% | 04/15/23 | 106,680 | ||||
Virginia – 0.3% | ||||||||
100,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/23 | 102,332 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Virginia (Continued) | ||||||||
$175,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/24 | $182,808 | ||||
195,000 | VA St Res Auth Infra Rev Prerefunded VA Pooled Fing Auth, Ser A | 5.00% | 11/01/31 | 196,742 | ||||
240,000 | VA St Small Busn Fing Auth Rsdl Fac Care Rev Ref Lifespire of VA | 3.00% | 12/01/22 | 240,043 | ||||
721,925 | ||||||||
Washington – 1.0% | ||||||||
200,000 | Centrl WA Univ Sys Rev, AGM | 5.00% | 05/01/23 | 204,944 | ||||
1,500,000 | King Cnty WA Swr Rev Ref & Impt, Ser B | 5.00% | 07/01/39 | 1,547,567 | ||||
1,100,000 | Port of Seattle WA Rev Intermediate Lien, AMT | 5.00% | 04/01/23 | 1,120,747 | ||||
100,000 | WA St Hlthcare Facs Auth Ref Seattle Childrens Hosp, Ser B | 5.00% | 10/01/25 | 100,588 | ||||
2,973,846 | ||||||||
West Virginia – 0.2% | ||||||||
175,000 | Morgantown WV Comb Util Sys Rev Ref Green Bonds, Ser A, BAM | 3.00% | 12/01/22 | 175,857 | ||||
495,000 | WV St Wtr Dev Auth Infra Rev Ref W VA Infra & Jobs Dev Council Prog, Ser A | 5.00% | 10/01/22 | 498,012 | ||||
673,869 | ||||||||
Wisconsin – 4.2% | ||||||||
200,000 | Brown Cnty WI Ref, AMT | 4.00% | 11/01/22 | 201,156 | ||||
75,000 | Kaukauna WI Elec Sys Rev Ref, BAM | 4.00% | 12/15/22 | 75,636 | ||||
855,000 | Milwaukee WI Promissory Nts, Ser N1 | 5.00% | 02/01/23 | 869,823 | ||||
410,000 | Milwaukee WI Ref Prom Nts, Ser N2 | 4.00% | 03/15/25 | 430,360 | ||||
380,000 | Milwaukee WI Ref Promissory Nts, Ser N4 | 5.00% | 04/01/23 | 388,696 | ||||
490,000 | Milwaukee WI Ref Promissory Nts, Ser N4 | 5.00% | 04/01/24 | 515,592 | ||||
1,245,000 | Pub Fin Auth WI Chrt Sch Rev Voyager Fndtn Inc Proj, Ser A | 5.13% | 10/01/45 | 1,252,475 | ||||
65,000 | Pub Fin Auth WI Edu Rev Coral Acdmy of Science Las Vegas, Ser A | 4.00% | 07/01/23 | 65,661 | ||||
1,877,000 | Tender Option Bond Trust Recpts / Ctfs Various States Floaters, Ser 2020-XF2869 (a) (b) | 1.55% | 11/01/25 | 1,877,000 | ||||
2,000,000 | Waukesha WI, Ser C, NANS | 3.00% | 07/01/23 | 2,018,972 | ||||
55,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Saint John’s Cmntys Inc, Ser B | 3.00% | 09/15/22 | 54,992 | ||||
165,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Saint John’s Cmntys Inc, Ser B | 3.00% | 09/15/23 | 164,654 | ||||
650,000 | WI St Hlth & Eductnl Facs Auth Rev Ref St Johns Cmntys Inc, Ser B | 5.00% | 09/15/37 | 652,690 | ||||
3,300,000 | WI St Hlth & Eductnl Facs Auth Rev Ref St Johns Cmntys Inc, Ser B | 5.00% | 09/15/45 | 3,313,657 | ||||
150,000 | WI St Hlth & Eductnl Facs Auth Rev Three Pillars Sr Living Cmntys, Ser A | 4.00% | 08/15/23 | 151,273 | ||||
100,000 | WI St Transprtn Rev Prerefunded, Ser 1 | 5.00% | 07/01/25 | 103,125 | ||||
12,135,762 |
Total Investments – 98.7% | 282,081,006 | ||
(Cost $282,875,257) | |||
Net Other Assets and Liabilities – 1.3% | 3,725,674 | ||
Net Assets – 100.0% | $285,806,680 |
(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 July 31, 2022, securities noted as such amounted to $12,079,942 or 4.2% of net assets. |
(c) | Zero coupon bond. |
(d) | When-issued security. The interest rate shown reflects the rate in effect at July 31, 2022. Interest will begin accruing on the security’s first settlement date. |
AGM | Assured Guaranty Municipal Corp. |
AMBAC | American Municipal Bond Assurance Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
BANS | Bond Anticipation Notes |
BHAC-CR | Berkshire Hathaway Assurance Corp. Custodial Receipts |
COPS | Certificates of Participation |
FGIC | Financial Guaranty Insurance Co. |
GARVEE | Grant Anticipation Revenue Vehicle |
NANS | Note Anticipation Notes |
NATL-RE | National Public Finance Guarantee Corp. |
RANS | Revenue Anticipation Notes |
Total Value at 7/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 282,081,006 | $ — | $ 282,081,006 | $ — |
* | 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 | $ 293,788,651 | $ 282,081,006 | |
Cash | 9,425,660 | 11,074,329 | |
Receivables: | |||
Interest | 2,899,766 | 2,798,823 | |
Investment securities sold | 2,309,030 | 10,000 | |
Fund shares sold | 2,007,927 | — | |
Total Assets | 310,431,034 | 295,964,158 | |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | 7,377,392 | 10,098,830 | |
Investment advisory fees | 86,640 | 58,648 | |
Total Liabilities | 7,464,032 | 10,157,478 | |
NET ASSETS | $302,967,002 | $285,806,680 | |
NET ASSETS consist of: | |||
Paid-in capital | $ 308,613,147 | $ 286,628,111 | |
Par value | 151,000 | 143,000 | |
Accumulated distributable earnings (loss) | (5,797,145) | (964,431) | |
NET ASSETS | $302,967,002 | $285,806,680 | |
NET ASSET VALUE, per share | $20.06 | $19.99 | |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 15,100,002 | 14,300,002 | |
Investments, at cost | $298,850,701 | $282,875,257 |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | |||
INVESTMENT INCOME: | ||||
Interest | $ 3,116,712 | $ 1,577,885 | ||
Total investment income | 3,116,712 | 1,577,885 | ||
EXPENSES: | ||||
Investment advisory fees | 1,152,946 | 876,020 | ||
Total expenses | 1,152,946 | 876,020 | ||
Fees waived by the investment advisor | (419,253) | (389,342) | ||
Net expenses | 733,693 | 486,678 | ||
NET INVESTMENT INCOME (LOSS) | 2,383,019 | 1,091,207 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments | (1,312,369) | (222,475) | ||
Futures contracts | 597,084 | — | ||
Net realized gain (loss) | (715,285) | (222,475) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (7,724,216) | (1,308,746) | ||
Futures contracts | 107,844 | — | ||
Net change in unrealized appreciation (depreciation) | (7,616,372) | (1,308,746) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (8,331,657) | (1,531,221) | ||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(5,948,638) | $(440,014) |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | ||||||
Year Ended 7/31/2022 | Year Ended 7/31/2021 | Year Ended 7/31/2022 | Year Ended 7/31/2021 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 2,383,019 | $ 1,137,743 | $ 1,091,207 | $ 720,026 | |||
Net realized gain (loss) | (715,285) | 105,380 | (222,475) | (23,155) | |||
Net change in unrealized appreciation (depreciation) | (7,616,372) | 1,227,479 | (1,308,746) | 110,241 | |||
Net increase (decrease) in net assets resulting from operations | (5,948,638) | 2,470,602 | (440,014) | 807,112 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (2,336,031) | (1,101,754) | (1,061,950) | (697,650) | |||
Return of capital | (174,270) | (105,072) | — | — | |||
Total distributions to shareholders | (2,510,301) | (1,206,826) | (1,061,950) | (697,650) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 199,500,283 | 76,025,129 | 157,813,719 | 81,703,675 | |||
Cost of shares redeemed | (18,005,523) | (9,324,497) | (35,979,272) | — | |||
Net increase (decrease) in net assets resulting from shareholder transactions | 181,494,760 | 66,700,632 | 121,834,447 | 81,703,675 | |||
Total increase (decrease) in net assets | 173,035,821 | 67,964,408 | 120,332,483 | 81,813,137 | |||
NET ASSETS: | |||||||
Beginning of period | 129,931,181 | 61,966,773 | 165,474,197 | 83,661,060 | |||
End of period | $302,967,002 | $129,931,181 | $285,806,680 | $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 | 9,800,000 | 3,650,000 | 7,900,000 | 4,050,000 | |||
Shares redeemed | (900,000) | (450,000) | (1,800,000) | — | |||
Shares outstanding, end of period | 15,100,002 | 6,200,002 | 14,300,002 | 8,200,002 |
Year Ended July 31, | Period Ended 7/31/2019 (a) | ||||||
2022 | 2021 | 2020 | |||||
Net asset value, beginning of period | $ 20.96 | $ 20.66 | $ 20.48 | $ 20.00 | |||
Income from investment operations: | |||||||
Net investment income (loss) | 0.21 | 0.27 | 0.38 | 0.34 | |||
Net realized and unrealized gain (loss) | (0.88) | 0.33 | 0.22 | 0.45 | |||
Total from investment operations | (0.67) | 0.60 | 0.60 | 0.79 | |||
Distributions paid to shareholders from: | |||||||
Net investment income | (0.21) | (0.27) | (0.41) | (0.31) | |||
Return of capital | (0.02) | (0.03) | (0.01) | — | |||
Total distributions | (0.23) | (0.30) | (0.42) | (0.31) | |||
Net asset value, end of period | $20.06 | $20.96 | $20.66 | $20.48 | |||
Total return (b) | (3.19)% | 2.92% | 2.98% | 3.98% | |||
Ratios to average net assets/supplemental data: | |||||||
Net assets, end of period (in 000’s) | $ 302,967 | $ 129,931 | $ 61,967 | $ 19,454 | |||
Ratio of total expenses to average net assets | 0.55% | 0.55% | 0.55% | 0.55% (c) | |||
Ratio of net expenses to average net assets | 0.35% | 0.43% | 0.45% | 0.45% (c) | |||
Ratio of net investment income (loss) to average net assets | 1.14% | 1.33% | 2.00% | 2.23% (c) | |||
Portfolio turnover rate (d) | 35% | 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. |
Year Ended July 31, | Period Ended 7/31/2019 (a) | ||||||
2022 | 2021 | 2020 | |||||
Net asset value, beginning of period | $ 20.18 | $ 20.16 | $ 20.10 | $ 20.00 | |||
Income from investment operations: | |||||||
Net investment income (loss) | 0.10 | 0.12 | 0.25 | 0.26 | |||
Net realized and unrealized gain (loss) | (0.19) | 0.02 | 0.07 | 0.09 | |||
Total from investment operations | (0.09) | 0.14 | 0.32 | 0.35 | |||
Distributions paid to shareholders from: | |||||||
Net investment income | (0.10) | (0.12) | (0.26) | (0.25) | |||
Net realized gain | — | — | (0.00) (b) | — | |||
Return of capital | — | — | (0.00) (b) | — | |||
Total distributions | (0.10) | (0.12) | (0.26) | (0.25) | |||
Net asset value, end of period | $19.99 | $20.18 | $20.16 | $20.10 | |||
Total return (c) | (0.45)% | 0.72% | 1.61% | 1.75% | |||
Ratios to average net assets/supplemental data: | |||||||
Net assets, end of period (in 000’s) | $ 285,807 | $ 165,474 | $ 83,661 | $ 20,098 | |||
Ratio of total expenses to average net assets | 0.45% | 0.45% | 0.45% | 0.45% (d) | |||
Ratio of net expenses to average net assets | 0.25% | 0.26% | 0.35% | 0.35% (d) | |||
Ratio of net investment income (loss) to average net assets | 0.56% | 0.61% | 1.20% | 1.73% (d) | |||
Portfolio turnover rate (e) | 79% | 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 | $2,331,384 | $ 4,647 | $ — | $ 174,270 | |||
First Trust Ultra Short Duration Municipal ETF | 1,060,324 | 1,626 | — | — |
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 | $ 6,520 | $ — | $ 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 | $ — | $ (843,738) | $ (4,953,407) | ||
First Trust Ultra Short Duration Municipal ETF | 35,776 | (220,145) | (780,062) |
Non-Expiring Capital Loss Carryforward | |
First Trust Short Duration Managed Municipal ETF | $ 843,738 |
First Trust Ultra Short Duration Municipal ETF | 220,145 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | |||
First Trust Short Duration Managed Municipal ETF | $ (1,970) | $ 1,970 | $ — | ||
First Trust Ultra Short Duration Municipal ETF | (25,510) | 25,510 | — |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
First Trust Short Duration Managed Municipal ETF | $ 298,742,058 | $ 865,709 | $ (5,819,116) | $ (4,953,407) | |||
First Trust Ultra Short Duration Municipal ETF | 282,861,068 | 198,766 | (978,828) | (780,062) |
Purchases | Sales | ||
First Trust Short Duration Managed Municipal ETF | $ 251,641,599 | $ 69,608,444 | |
First Trust Ultra Short Duration Municipal ETF | 214,519,498 | 119,925,876 | |
Statements of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $597,084 |
Net change in unrealized appreciation (depreciation) on futures contracts | 107,844 |
Tax-Exempt Interest Dividends | Alternative Minimum Tax (AMT) | ||
First Trust Short Duration Managed Municipal ETF | 99.80% | 13.73% | |
First Trust Ultra Short Duration Municipal ETF | 99.85% | 17.21% |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 220 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 220 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 220 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 220 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 220 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 220 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since 2016 | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2016 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Year Ended
July 31, 2022
1 | |
2 | |
4 | |
6 | |
7 | |
9 | |
10 | |
11 | |
12 | |
13 | |
19 | |
20 | |
26 | |
28 |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 7/31/22 | Inception (2/4/20) to 7/31/22 | Inception (2/4/20) to 7/31/22 | |
Fund Performance | |||
NAV | 2.35% | 0.00% | 0.00% |
Market Price | 2.46% | 0.02% | 0.05% |
Index Performance | |||
Hedge Fund Research Merger Arbitrage Index | -1.16% | 2.15% | 5.42% |
S&P 500® Index | -4.64% | 11.26% | 30.35% |
Portfolio Sector Allocation | % of Total Investments - Long Positions |
Information Technology | 31.9% |
Financials | 23.1 |
Health Care | 14.9 |
Industrials | 11.9 |
Real Estate | 4.8 |
Materials | 4.0 |
Communication Services | 3.8 |
Utilities | 3.2 |
Consumer Discretionary | 2.4 |
Total | 100.0% |
Portfolio Sector Allocation | % of Total Investments Sold Short |
Financials | 100.0% |
Total | 100.0% |
Top Ten Investments - Long Positions | % of Net Assets |
Flagstar Bancorp, Inc. | 11.2% |
Citrix Systems, Inc. | 9.5 |
Umpqua Holdings Corp. | 6.7 |
Switch, Inc., Class A | 5.5 |
Alleghany Corp. | 5.2 |
Sailpoint Technologies Holdings, Inc. | 4.8 |
American Campus Communities, Inc. | 4.8 |
ManTech International Corp., Class A | 4.8 |
LHC Group, Inc. | 4.6 |
MoneyGram International, Inc. | 4.5 |
Total | 61.6% |
Top Investments Sold Short | % of Net Assets |
New York Community Bancorp, Inc. | -7.1% |
Columbia Banking System, Inc. | -4.1 |
Total | -11.2% |
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 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 February 1, 2022 | Ending Account Value July 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 | $1,012.70 | 1.69% | $8.43 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.41 | 1.69% | $8.45 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (February 1, 2022 through July 31, 2022), multiplied by 181/365 (to reflect the six-month period). |
Shares | Description | Value | ||
COMMON STOCKS – 58.2% | ||||
Auto Components – 1.5% | ||||
34,498 | Tenneco, Inc., Class A (a) (b) | $650,977 | ||
Banks – 4.1% | ||||
101,913 | Umpqua Holdings Corp. (b) | 1,794,688 | ||
Biotechnology – 1.7% | ||||
4,968 | Biohaven Pharmaceutical Holding Co., Ltd. (a) | 725,427 | ||
Chemicals – 2.4% | ||||
34,130 | GCP Applied Technologies, Inc. (a) | 1,075,095 | ||
Electronic Equipment, Instruments & Components – 1.9% | ||||
3,070 | Rogers Corp. (a) (b) | 826,598 | ||
Gas Utilities – 1.9% | ||||
24,899 | South Jersey Industries, Inc. (b) | 853,538 | ||
Health Care Providers & Services – 5.2% | ||||
51,211 | Covetrus, Inc. (a) | 1,063,652 | ||
7,613 | LHC Group, Inc. (a) | 1,241,376 | ||
2,305,028 | ||||
Health Care Technology – 2.2% | ||||
40,051 | Change Healthcare, Inc. (a) (b) | 972,038 | ||
Insurance – 3.2% | ||||
1,673 | Alleghany Corp. (a) (b) | 1,401,104 | ||
IT Services – 6.1% | ||||
119,545 | MoneyGram International, Inc. (a) (b) | 1,214,577 | ||
44,051 | Switch, Inc., Class A (b) | 1,489,365 | ||
2,703,942 | ||||
Machinery – 2.8% | ||||
33,312 | Meritor, Inc. (a) (b) | 1,213,223 | ||
Media – 2.3% | ||||
48,800 | TEGNA, Inc. | 1,021,872 | ||
Professional Services – 4.6% | ||||
13,363 | ManTech International Corp., Class A | 1,280,443 | ||
30,217 | Nielsen Holdings PLC | 723,697 | ||
2,004,140 | ||||
Semiconductors & Semiconductor Equipment – 2.8% | ||||
925 | Entegris, Inc. | 101,658 | ||
69,252 | NeoPhotonics Corp. (a) (b) | 1,107,339 | ||
1,208,997 |
Shares | Description | Value | ||
Software – 8.7% | ||||
25,071 | Citrix Systems, Inc. (b) | $2,542,450 | ||
20,297 | Sailpoint Technologies Holdings, Inc. (a) | 1,294,340 | ||
3,836,790 | ||||
Thrifts & Mortgage Finance – 6.8% | ||||
73,092 | Flagstar Bancorp, Inc. (b) | 3,011,390 | ||
Total Common Stocks | 25,604,847 | |||
(Cost $25,264,157) | ||||
REAL ESTATE INVESTMENT TRUSTS – 2.9% | ||||
Equity Real Estate Investment Trusts – 2.9% | ||||
19,613 | American Campus Communities, Inc. | 1,281,121 | ||
(Cost $1,270,359) | ||||
Total Investments – 61.1% | 26,885,968 | |||
(Cost $26,534,516) | ||||
COMMON STOCKS SOLD SHORT – (11.2)% | ||||
Banks – (4.1)% | ||||
(60,466) | Columbia Banking System, Inc. | (1,824,259) | ||
Thrifts & Mortgage Finance – (7.1)% | ||||
(293,046) | New York Community Bancorp, Inc. | (3,112,149) | ||
Total Investments Sold Short – (11.2)% | (4,936,408) | |||
(Proceeds $4,765,893) | ||||
Net Other Assets and Liabilities – 50.1% | 22,081,493 | |||
Net Assets – 100.0% | $44,031,053 |
(a) | Non-income producing security. |
(b) | This security or a portion of this security is segregated as collateral for investments sold short. |
ASSETS TABLE | ||||
Total Value at 7/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 25,604,847 | $ 25,604,847 | $ — | $ — |
Real Estate Investment Trusts* | 1,281,121 | 1,281,121 | — | — |
Total Investments | $ 26,885,968 | $ 26,885,968 | $— | $— |
LIABILITIES TABLE | ||||
Total Value at 7/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks Sold Short* | $ (4,936,408) | $ (4,936,408) | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value (Cost $26,534,516) | $ 26,885,968 |
Cash | 13,178,739 |
Restricted Cash | 6,932,940 |
Receivables: | |
Investment securities sold | 1,984,120 |
Dividends | 21,402 |
Margin interest rebate | 4,948 |
Total Assets | 49,008,117 |
LIABILITIES: | |
Investments sold short, at value (proceeds $4,765,893) | 4,936,408 |
Investment advisory fees payable | 40,656 |
Total Liabilities | 4,977,064 |
NET ASSETS | $44,031,053 |
NET ASSETS consist of: | |
Paid-in capital | $ 43,975,156 |
Par value | 22,000 |
Accumulated distributable earnings (loss) | 33,897 |
NET ASSETS | $44,031,053 |
NET ASSET VALUE, per share | $20.01 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 2,200,002 |
INVESTMENT INCOME: | ||
Dividends | $ 65,500 | |
Interest | 12,360 | |
Margin interest rebate | 8,705 | |
Other | 1,650 | |
Total investment income | 88,215 | |
EXPENSES: | ||
Investment advisory fees | 173,855 | |
Dividend expense on investments sold short | 79,916 | |
Margin interest expense | 5,986 | |
Total expenses | 259,757 | |
NET INVESTMENT INCOME (LOSS) | (171,542) | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | 207,411 | |
In-kind redemptions | 3,861 | |
Investments sold short | 26,539 | |
Net realized gain (loss) | 237,811 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 357,448 | |
Investments sold short | 24,201 | |
Net change in unrealized appreciation (depreciation) | 381,649 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 619,460 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 447,918 |
Year Ended 7/31/2022 | Year Ended 7/31/2021 | ||
OPERATIONS: | |||
Net investment income (loss) | $ (171,542) | $ (143,975) | |
Net realized gain (loss) | 237,811 | 414,482 | |
Net change in unrealized appreciation (depreciation) | 381,649 | (174,442) | |
Net increase (decrease) in net assets resulting from operations | 447,918 | 96,065 | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 41,694,635 | 21,654,151 | |
Cost of shares redeemed | (8,863,931) | (23,646,537) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 32,830,704 | (1,992,386) | |
Total increase (decrease) in net assets | 33,278,622 | (1,896,321) | |
NET ASSETS: | |||
Beginning of period | 10,752,431 | 12,648,752 | |
End of period | $44,031,053 | $10,752,431 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 550,002 | 650,002 | |
Shares sold | 2,100,000 | 1,100,000 | |
Shares redeemed | (450,000) | (1,200,000) | |
Shares outstanding, end of period | 2,200,002 | 550,002 |
Year Ended | Period Ended 7/31/2020 (a) | ||||
7/31/2022 | 7/31/2021 | ||||
Net asset value, beginning of period | $ 19.55 | $ 19.46 | $ 20.01 | ||
Income from investment operations: | |||||
Net investment income (loss) | (0.24) (b) | (0.26) | (0.07) | ||
Net realized and unrealized gain (loss) | 0.70 | 0.35 | (0.48) | ||
Total from investment operations | 0.46 | 0.09 | (0.55) | ||
Net asset value, end of period | $20.01 | $19.55 | $19.46 | ||
Total return (c) | 2.35% | 0.46% | (2.75)% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 44,031 | $ 10,752 | $ 12,649 | ||
Ratio of total expenses to average net assets | 1.87% | 2.23% | 2.30% (d) | ||
Ratio of total expenses to average net assets excluding dividend expense and margin interest expense | 1.25% | 1.25% | 1.25% (d) | ||
Ratio of net investment income (loss) to average net assets | (1.23)% | (1.15)% | (1.71)% (d) | ||
Portfolio turnover rate (e) | 246% | 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) | Based on average shares outstanding. |
(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. |
• | 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) | (130,900) |
Net unrealized appreciation (depreciation) | 164,797 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$141,057 | $(2,855) | $(138,202) |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$21,784,763 | $418,930 | $(254,133) | $164,797 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 220 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 220 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 220 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 220 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 220 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 220 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since 2016 | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2016 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies.” For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant, during the period covered by this report, has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
(e) | Not applicable. |
(f) | A copy of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller is filed as an exhibit pursuant to Item 13(a)(1). |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s board of trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees (Registrant) -- The aggregate fees billed for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $267,688 for the fiscal year ended July 31, 2021 and $292,000 for the fiscal year ended July 31, 2022.
(b) Audit-Related Fees (Registrant) -- The aggregate fees billed for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended July 31, 2021 and $0 for the fiscal year ended July 31, 2022.
Audit-Related Fees (Investment Advisor and Distributor) -- The aggregate fees billed for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended July 31, 2021 and $0 for the fiscal year ended July 31, 2022.
(c) Tax Fees (Registrant) -- The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $40,221 for the fiscal year ended July 31, 2021 and $130,825 for the fiscal year ended July 31, 2022. These fees were for tax consultation and/or tax return preparation and professional services rendered for PFIC (Passive Foreign Investment Company) Identification Services.
Tax Fees (Investment Advisor and Distributor) -- The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant’s advisor and distributor were $0 for the fiscal year ended July 31, 2021 and $0 for the fiscal year ended July 31, 2022.
(d) All Other Fees (Registrant) -- The aggregate fees billed for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended July 31, 2021 and $0 for the fiscal year ended July 31, 2022.
All Other Fees (Investment Advisor and Distributor) -- The aggregate fees billed for products and services provided by the principal accountant to the registrant’s investment advisor and distributor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended July 31, 2021 and $0 for the fiscal year ended July 31, 2022.
(e)(1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the “Committee”) is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent auditor’s engagements for non-audit services with the registrant’s advisor (not including a sub-advisor whose role is primarily portfolio management and is sub-contracted or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant’s advisor (other than any sub-advisor whose role is primarily portfolio management and is sub-contracted with or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor’s independence.
(e)(2) The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant’s investment advisor and distributor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows:
Registrant: | Advisor and Distributor: | ||||
(b) | 0% | (b) | 0% | ||
(c) | 0% | (c) | 0% | ||
(d) | 0% | (d) | 0% |
(f) The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty
percent.
(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant for the fiscal year ended July 31, 2021 were $40,221 for the registrant, $23,200 for the registrant’s investment advisor and $29,500 for the registrant’s distributor and for the fiscal year ended July 31, 2022 were $130,825 for the registrant, $16,500 for the registrant’s investment advisor and $29,500 for the registrant’s distributor.
(h) The registrant’s audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
(i) Not applicable.
(j) Not applicable.
Items 5. Audit Committee of Listed Registrants.
The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The audit committee of the registrant is comprised of Richard E. Erickson, Thomas R. Kadlec, Denise M. Keefe, Robert F. Keith and Niel B. Nielson.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407 (c) (2) (iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22 (b) (15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Exchange-Traded Fund III |
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | October 11, 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: | October 11, 2022 |
By (Signature and Title)* | /s/ Donald P. Swade | |
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | October 11, 2022 |