UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22245
First Trust Exchange-Traded Fund III
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant’s telephone number, including area code: (630) 765-8000
Date of fiscal year end: July 31
Date of reporting period: January 31, 2023
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
(a) | The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: |
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
For the Six Months Ended
January 31, 2023
2 | |
Fund Performance Overview | |
3 | |
5 | |
7 | |
9 | |
10 | |
11 | |
Portfolio of Investments | |
12 | |
14 | |
18 | |
22 | |
23 | |
24 | |
26 | |
29 | |
36 |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
6 Months Ended 1/31/23 | 1 Year Ended 1/31/23 | 5 Years Ended 1/31/23 | Inception (8/24/16) to 1/31/23 | 5 Years Ended 1/31/23 | Inception (8/24/16) to 1/31/23 | ||
Fund Performance | |||||||
NAV | 0.00% | -1.81% | 8.53% | 9.61% | 50.57% | 80.50% | |
Market Price | -0.04% | -1.78% | 8.52% | 9.60% | 50.53% | 80.44% | |
Index Performance | |||||||
S&P 500® Index | -0.44% | -8.22% | 9.54% | 12.27% | 57.71% | 110.63% |
Sector Allocation | % of Total Investments |
Consumer Staples | 18.0% |
Health Care | 14.5 |
Information Technology | 14.0 |
Financials | 13.1 |
Utilities | 12.6 |
Industrials | 12.3 |
Consumer Discretionary | 8.0 |
Real Estate | 3.7 |
Communication Services | 2.2 |
Materials | 0.8 |
Energy | 0.8 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Cisco Systems, Inc. | 2.6% |
Automatic Data Processing, Inc. | 2.4 |
International Business Machines Corp. | 2.4 |
Johnson & Johnson | 2.3 |
Jack Henry & Associates, Inc. | 2.3 |
Merck & Co., Inc. | 2.2 |
McDonald’s Corp. | 2.2 |
Roper Technologies, Inc. | 2.2 |
Paychex, Inc. | 2.2 |
Bristol-Myers Squibb Co. | 2.1 |
Total | 22.9% |
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 | ||||||
6 Months Ended 1/31/23 | 1 Year Ended 1/31/23 | 5 Years Ended 1/31/23 | Inception (8/24/16) to 1/31/23 | 5 Years Ended 1/31/23 | Inception (8/24/16) to 1/31/23 | ||
Fund Performance | |||||||
NAV | 2.23% | -4.46% | -1.36% | 2.23% | -6.62% | 15.22% | |
Market Price | 2.17% | -4.70% | -1.48% | 2.20% | -7.19% | 15.04% | |
Index Performance | |||||||
MSCI EAFE Index | 9.52% | -2.83% | 2.13% | 5.90% | 11.12% | 44.67% |
Sector Allocation | % of Total Investments |
Industrials | 20.7% |
Financials | 20.0 |
Consumer Staples | 15.4 |
Communication Services | 13.5 |
Utilities | 7.0 |
Real Estate | 6.8 |
Health Care | 6.1 |
Consumer Discretionary | 4.5 |
Information Technology | 3.5 |
Materials | 1.8 |
Energy | 0.7 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Singapore Airlines Ltd. | 2.0% |
Oversea-Chinese Banking Corp., Ltd. | 2.0 |
MTR Corp., Ltd. | 2.0 |
McDonald’s Holdings Co., Japan Ltd. | 2.0 |
Singapore Exchange Ltd. | 1.9 |
Singapore Technologies Engineering Ltd. | 1.9 |
Power Assets Holdings Ltd. | 1.7 |
Orange S.A. | 1.6 |
Swisscom AG | 1.5 |
Novartis AG | 1.5 |
Total | 18.1% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/23 | 1 Year Ended 1/31/23 | Inception (4/6/20) to 1/31/23 | Inception (4/6/20) to 1/31/23 | |
Fund Performance | ||||
NAV | 3.13% | 1.88% | 18.17% | 60.19% |
Market Price | 3.10% | 1.69% | 18.15% | 60.09% |
Index Performance | ||||
S&P 1000® Index | 5.43% | 1.35% | 26.12% | 92.49% |
Sector Allocation | % of Total Investments |
Financials | 21.1% |
Industrials | 19.6 |
Real Estate | 16.7 |
Utilities | 9.6 |
Information Technology | 7.8 |
Health Care | 6.8 |
Consumer Discretionary | 6.5 |
Materials | 5.3 |
Consumer Staples | 5.1 |
Communication Services | 1.5 |
Energy | 0.0* |
Total | 100.0% |
* | Amount is less than 0.01%. |
Top Ten Holdings | % of Total Investments |
Envista Holdings Corp. | 0.6% |
Timken (The) Co. | 0.6 |
Lamar Advertising Co., Class A | 0.6 |
Columbia Sportswear Co. | 0.6 |
Kilroy Realty Corp. | 0.6 |
CommVault Systems, Inc. | 0.6 |
H&R Block, Inc. | 0.6 |
ITT, Inc. | 0.6 |
Healthcare Realty Trust, Inc. | 0.6 |
Knight-Swift Transportation Holdings, Inc. | 0.6 |
Total | 6.0% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Beginning Account Value August 1, 2022 | Ending Account Value January 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | ||||
Actual | $1,000.00 | $1,000.00 | 0.70% | $3.53 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.68 | 0.70% | $3.57 |
First Trust Horizon Managed Volatility Developed International ETF (HDMV) | ||||
Actual | $1,000.00 | $1,022.30 | 0.80% | $4.08 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.17 | 0.80% | $4.08 |
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | ||||
Actual | $1,000.00 | $1,031.30 | 0.80% | $4.10 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.17 | 0.80% | $4.08 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (August 1, 2022 through January 31, 2023), multiplied by 184/365 (to reflect the six-month period). |
Shares | Description | Value | ||
COMMON STOCKS – 96.1% | ||||
Aerospace & Defense – 3.2% | ||||
5,147 | General Dynamics Corp. | $1,199,560 | ||
2,307 | Lockheed Martin Corp. | 1,068,741 | ||
9,712 | Raytheon Technologies Corp. | 969,743 | ||
3,238,044 | ||||
Beverages – 4.9% | ||||
30,355 | Coca-Cola (The) Co. | 1,861,369 | ||
34,198 | Keurig Dr. Pepper, Inc. | 1,206,505 | ||
10,893 | PepsiCo, Inc. | 1,862,921 | ||
4,930,795 | ||||
Biotechnology – 2.9% | ||||
7,769 | AbbVie, Inc. | 1,147,870 | ||
6,841 | Amgen, Inc. | 1,726,668 | ||
2,874,538 | ||||
Capital Markets – 1.3% | ||||
7,521 | CME Group, Inc. | 1,328,660 | ||
Commercial Services & Supplies – 3.8% | ||||
14,335 | Republic Services, Inc. | 1,789,295 | ||
12,885 | Waste Management, Inc. | 1,993,696 | ||
3,782,991 | ||||
Communications Equipment – 2.6% | ||||
52,912 | Cisco Systems, Inc. | 2,575,227 | ||
Containers & Packaging – 0.8% | ||||
69,702 | Amcor PLC | 840,606 | ||
Distributors – 1.3% | ||||
8,001 | Genuine Parts Co. | 1,342,728 | ||
Diversified Financial Services – 1.5% | ||||
4,963 | Berkshire Hathaway, Inc., Class B (a) | 1,546,074 | ||
Diversified Telecommunication Services – 1.3% | ||||
32,070 | Verizon Communications, Inc. | 1,333,150 | ||
Electric Utilities – 6.3% | ||||
14,063 | Duke Energy Corp. | 1,440,754 | ||
13,289 | Evergy, Inc. | 832,556 | ||
35,527 | FirstEnergy Corp. | 1,454,830 | ||
38,258 | PPL Corp. | 1,132,437 | ||
21,235 | Southern (The) Co. | 1,437,185 | ||
6,297,762 | ||||
Electrical Equipment – 1.1% | ||||
7,316 | AMETEK, Inc. | 1,060,235 | ||
Food Products – 9.3% | ||||
12,813 | Campbell Soup Co. | 665,379 |
Shares | Description | Value | ||
Food Products (Continued) | ||||
12,029 | Conagra Brands, Inc. | $447,359 | ||
11,773 | General Mills, Inc. | 922,532 | ||
7,728 | Hershey (The) Co. | 1,735,709 | ||
29,664 | Hormel Foods Corp. | 1,344,076 | ||
9,189 | J.M. Smucker (The) Co. | 1,404,079 | ||
12,092 | Kellogg Co. | 829,269 | ||
10,102 | Kraft Heinz (The) Co. | 409,434 | ||
23,867 | Mondelez International, Inc., Class A | 1,561,856 | ||
9,319,693 | ||||
Health Care Equipment & Supplies – 1.1% | ||||
4,409 | Becton Dickinson and Co. | 1,112,038 | ||
Health Care Providers & Services – 3.9% | ||||
3,474 | McKesson Corp. | 1,315,534 | ||
8,301 | Quest Diagnostics, Inc. | 1,232,533 | ||
2,632 | UnitedHealth Group, Inc. | 1,313,868 | ||
3,861,935 | ||||
Hotels, Restaurants & Leisure – 3.6% | ||||
8,344 | McDonald’s Corp. | 2,231,186 | ||
10,685 | Yum! Brands, Inc. | 1,394,499 | ||
3,625,685 | ||||
Household Products – 2.5% | ||||
11,022 | Kimberly-Clark Corp. | 1,432,970 | ||
7,623 | Procter & Gamble (The) Co. | 1,085,363 | ||
2,518,333 | ||||
Industrial Conglomerates – 1.0% | ||||
4,818 | Honeywell International, Inc. | 1,004,457 | ||
Insurance – 10.2% | ||||
20,794 | Aflac, Inc. | 1,528,359 | ||
5,501 | Chubb Ltd. | 1,251,422 | ||
11,036 | Globe Life, Inc. | 1,333,701 | ||
24,127 | Loews Corp. | 1,483,328 | ||
16,693 | MetLife, Inc. | 1,218,923 | ||
8,120 | Progressive (The) Corp. | 1,107,162 | ||
6,395 | Travelers (The) Cos., Inc. | 1,222,212 | ||
4,190 | Willis Towers Watson PLC | 1,065,056 | ||
10,210,163 | ||||
IT Services – 9.2% | ||||
10,534 | Automatic Data Processing, Inc. | 2,378,683 | ||
17,607 | International Business Machines Corp. | 2,372,191 | ||
12,776 | Jack Henry & Associates, Inc. | 2,300,830 | ||
18,784 | Paychex, Inc. | 2,176,314 | ||
9,228,018 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Machinery – 2.1% | ||||
9,834 | PACCAR, Inc. | $1,074,955 | ||
3,987 | Snap-on, Inc. | 991,686 | ||
2,066,641 | ||||
Multi-Utilities – 6.3% | ||||
14,069 | Ameren Corp. | 1,222,174 | ||
34,598 | CenterPoint Energy, Inc. | 1,042,092 | ||
13,969 | CMS Energy Corp. | 882,701 | ||
15,295 | Consolidated Edison, Inc. | 1,457,766 | ||
8,034 | DTE Energy Co. | 934,917 | ||
8,378 | WEC Energy Group, Inc. | 787,448 | ||
6,327,098 | ||||
Oil, Gas & Consumable Fuels – 0.8% | ||||
44,322 | Kinder Morgan, Inc. | 811,092 | ||
Pharmaceuticals – 6.7% | ||||
28,737 | Bristol-Myers Squibb Co. | 2,087,743 | ||
14,310 | Johnson & Johnson | 2,338,540 | ||
20,878 | Merck & Co., Inc. | 2,242,506 | ||
6,668,789 | ||||
Professional Services – 1.1% | ||||
11,577 | Leidos Holdings, Inc. | 1,144,271 | ||
Software – 2.2% | ||||
5,112 | Roper Technologies, Inc. | 2,181,546 | ||
Specialty Retail – 3.0% | ||||
370 | AutoZone, Inc. (a) | 902,375 | ||
1,468 | O’Reilly Automotive, Inc. (a) | 1,163,170 | ||
11,376 | TJX (The) Cos., Inc. | 931,239 | ||
2,996,784 | ||||
Tobacco – 1.3% | ||||
19,637 | Altria Group, Inc. | 884,450 | ||
3,496 | Philip Morris International, Inc. | 364,423 | ||
1,248,873 | ||||
Wireless Telecommunication Services – 0.8% | ||||
5,515 | T-Mobile US, Inc. (a) | 823,445 | ||
Total Common Stocks | 96,299,671 | |||
(Cost $92,419,959) | ||||
REAL ESTATE INVESTMENT TRUSTS – 3.7% | ||||
Equity Real Estate Investment Trusts – 3.7% | ||||
8,284 | Camden Property Trust | 1,020,672 | ||
22,338 | Realty Income Corp. | 1,515,186 |
Shares | Description | Value | ||
Equity Real Estate Investment Trusts (Continued) | ||||
33,755 | VICI Properties, Inc. | $1,153,746 | ||
Total Real Estate Investment Trusts | 3,689,604 | |||
(Cost $3,662,760) | ||||
Total Investments – 99.8% | 99,989,275 | |||
(Cost $96,082,719) | ||||
Net Other Assets and Liabilities – 0.2% | 234,653 | |||
Net Assets – 100.0% | $100,223,928 |
(a) | Non-income producing security. |
Total Value at 1/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 96,299,671 | $ 96,299,671 | $ — | $ — |
Real Estate Investment Trusts* | 3,689,604 | 3,689,604 | — | — |
Total Investments | $ 99,989,275 | $ 99,989,275 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
COMMON STOCKS (a) – 98.2% | ||||
Australia – 7.7% | ||||
67,959 | Aurizon Holdings Ltd. (b) | $177,629 | ||
28,859 | Brambles Ltd. (b) | 245,404 | ||
33,306 | Coles Group Ltd. (b) | 418,911 | ||
2,300 | Commonwealth Bank of Australia (b) | 179,543 | ||
1,087 | CSL Ltd. (b) | 229,521 | ||
29,806 | Endeavour Group Ltd. (b) | 139,956 | ||
54,739 | Insurance Australia Group Ltd. (b) | 190,096 | ||
10,613 | National Australia Bank Ltd. (b) | 239,473 | ||
107,973 | Telstra Corp., Ltd. (b) | 312,062 | ||
20,506 | Treasury Wine Estates Ltd. (b) | 211,228 | ||
9,745 | Washington H Soul Pattinson & Co., Ltd. (b) | 198,476 | ||
13,379 | Westpac Banking Corp. (b) | 225,113 | ||
13,528 | Woolworths Group Ltd. (b) | 345,741 | ||
3,113,153 | ||||
Belgium – 0.7% | ||||
1,725 | Groupe Bruxelles Lambert S.A. (b) | 147,566 | ||
1,868 | UCB S.A. (b) | 153,371 | ||
300,937 | ||||
Bermuda – 0.6% | ||||
41,606 | CK Infrastructure Holdings Ltd. (b) | 231,477 | ||
Cayman Islands – 1.4% | ||||
42,675 | CK Asset Holdings Ltd. (b) | 272,843 | ||
45,975 | CK Hutchison Holdings Ltd. (b) | 292,583 | ||
565,426 | ||||
Denmark – 1.0% | ||||
1,234 | Carlsberg A.S., Class B (b) | 175,181 | ||
9,951 | Tryg A.S. (b) | 228,356 | ||
403,537 | ||||
France – 7.2% | ||||
964 | Air Liquide S.A. (b) | 153,494 | ||
6,544 | Bouygues S.A. (b) | 215,585 | ||
5,897 | Bureau Veritas S.A. (b) | 168,604 | ||
9,507 | Carrefour S.A. (b) | 180,833 | ||
4,018 | Edenred (b) | 218,858 | ||
1,651 | Eiffage S.A. (b) | 176,344 | ||
11,022 | Getlink SE (b) | 186,424 | ||
3,895 | La Francaise des Jeux SAEM (b) (c) (d) | 166,659 | ||
60,365 | Orange S.A. (b) | 638,828 | ||
548 | Pernod Ricard S.A. (b) | 113,453 | ||
1,586 | Sanofi (b) | 155,308 | ||
1,921 | Sodexo S.A. (b) | 190,434 | ||
1,515 | Vinci S.A. (b) | 171,179 | ||
15,678 | Vivendi SE (b) | 168,378 | ||
2,904,381 |
Shares | Description | Value | ||
Germany – 5.3% | ||||
714 | Allianz SE (b) | $170,727 | ||
1,858 | Beiersdorf AG (b) | 225,891 | ||
1,008 | Deutsche Boerse AG (b) | 180,374 | ||
13,789 | Deutsche Telekom AG (b) | 307,202 | ||
13,012 | E.ON SE (b) | 141,869 | ||
930 | Hannover Rueck SE (b) | 188,854 | ||
6,491 | Henkel AG & Co., KGaA (b) | 433,717 | ||
554 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (b) | 200,109 | ||
1,209 | SAP SE (b) | 143,315 | ||
1,146 | Symrise AG (b) | 121,831 | ||
2,113,889 | ||||
Hong Kong – 7.3% | ||||
74,500 | BOC Hong Kong Holdings Ltd. (b) | 260,369 | ||
41,438 | CLP Holdings, Ltd. (b) | 307,882 | ||
15,596 | Hang Seng Bank Ltd. (b) | 259,724 | ||
286,145 | Hong Kong & China Gas Co., Ltd. (b) | 287,295 | ||
147,580 | MTR Corp., Ltd. (b) | 789,776 | ||
119,959 | Power Assets Holdings Ltd. (b) | 678,748 | ||
25,039 | Sun Hung Kai Properties Ltd. (b) | 355,094 | ||
2,938,888 | ||||
Ireland – 0.3% | ||||
1,302 | Kerry Group PLC, Class A (b) | 121,998 | ||
Israel – 0.9% | ||||
82,949 | Bezeq Israeli Telecommunication Corp., Ltd. (b) | 137,464 | ||
1,632 | Check Point Software Technologies Ltd. (e) | 207,591 | ||
345,055 | ||||
Italy – 1.6% | ||||
5,852 | Assicurazioni Generali S.p.A. (b) | 114,239 | ||
17,491 | Infrastrutture Wireless Italiane S.p.A. (b) (c) (d) | 191,680 | ||
32,253 | Snam S.p.A. (b) | 164,282 | ||
21,938 | Terna-Rete Elettrica Nazionale S.p.A. (b) | 173,570 | ||
643,771 | ||||
Japan – 24.3% | ||||
4,400 | Aeon Co., Ltd. (b) | 90,207 | ||
2,600 | Ajinomoto Co., Inc. (b) | 85,718 | ||
6,300 | ANA Holdings, Inc. (b) (e) | 139,436 | ||
16,700 | Asahi Kasei Corp. (b) | 126,546 | ||
7,000 | Astellas Pharma, Inc. (b) | 103,041 | ||
4,500 | Canon, Inc. (b) | 99,866 | ||
1,700 | Central Japan Railway Co. (b) | 207,357 | ||
8,300 | Chubu Electric Power Co., Inc. (b) | 89,400 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Japan (Continued) | ||||
4,500 | Dai Nippon Printing Co., Ltd. (b) | $106,243 | ||
800 | Daito Trust Construction Co., Ltd. (b) | 79,055 | ||
7,700 | Daiwa House Industry Co., Ltd. (b) | 184,916 | ||
29,400 | Daiwa Securities Group, Inc. (b) | 138,741 | ||
3,500 | East Japan Railway Co. (b) | 195,154 | ||
26,800 | ENEOS Holdings, Inc. (b) | 95,949 | ||
7,000 | Hankyu Hanshin Holdings, Inc. (b) | 208,057 | ||
15,700 | Hulic Co., Ltd. (b) | 129,051 | ||
12,300 | Japan Post Bank Co., Ltd. (b) | 109,284 | ||
30,100 | Japan Post Holdings Co., Ltd. (b) | 264,262 | ||
8,000 | Japan Tobacco, Inc. (b) | 163,135 | ||
2,000 | Kao Corp. (b) | 80,844 | ||
7,900 | KDDI Corp. (b) | 246,823 | ||
3,100 | Keio Corp. (b) | 113,784 | ||
3,000 | Kintetsu Group Holdings Co., Ltd. (b) | 97,695 | ||
11,300 | Kirin Holdings Co., Ltd. (b) | 174,130 | ||
1,200 | Kobayashi Pharmaceutical Co., Ltd. (b) | 86,151 | ||
2,900 | Kyocera Corp. (b) | 150,485 | ||
19,900 | McDonald’s Holdings Co., Japan Ltd. (b) | 786,197 | ||
4,200 | MEIJI Holdings Co., Ltd. (b) | 216,605 | ||
9,600 | Mitsubishi Electric Corp. (b) | 105,799 | ||
10,100 | Mitsubishi Estate Co., Ltd. (b) | 129,817 | ||
40,500 | Mitsubishi HC Capital, Inc. (b) | 206,718 | ||
4,400 | Mitsui Fudosan Co., Ltd. (b) | 82,472 | ||
10,900 | Mizuho Financial Group, Inc. (b) | 170,263 | ||
6,000 | NGK Insulators Ltd. (b) | 83,048 | ||
1,800 | Nintendo Co., Ltd. (b) | 78,044 | ||
9,900 | Nippon Telegraph & Telephone Corp. (b) | 296,857 | ||
13,200 | Nisshin Seifun Group, Inc. (b) | 165,336 | ||
1,900 | Nissin Foods Holdings Co., Ltd. (b) | 148,538 | ||
60,000 | Nomura Holdings, Inc. (b) | 239,450 | ||
4,100 | Nomura Real Estate Holdings, Inc. (b) | 90,366 | ||
29,400 | Obayashi Corp. (b) | 228,048 | ||
8,400 | Odayku Electric Railway Co., Ltd. (b) | 110,438 | ||
21,900 | Oji Holdings Corp. (b) | 90,507 | ||
4,100 | Otsuka Holdings Co., Ltd. (b) | 131,530 | ||
5,000 | SBI Holdings, Inc. (b) | 105,997 | ||
6,400 | SCSK Corp. (b) | 104,240 | ||
2,800 | Secom Co., Ltd. (b) | 166,812 | ||
8,000 | Sekisui Chemical Co., Ltd. (b) | 112,066 | ||
9,600 | Sekisui House Ltd. (b) | 181,433 | ||
34,900 | Shimizu Corp. (b) | 195,639 | ||
41,900 | Softbank Corp. (b) | 479,424 |
Shares | Description | Value | ||
Japan (Continued) | ||||
27,800 | Sumitomo Chemical Co., Ltd. (b) | $106,714 | ||
1,900 | Sumitomo Mitsui Financial Group, Inc. (b) | 82,576 | ||
4,000 | Taisei Corp. (b) | 138,088 | ||
6,900 | Takeda Pharmaceutical Co., Ltd. (b) | 216,918 | ||
8,600 | Tobu Railway Co., Ltd. (b) | 201,783 | ||
15,400 | Tokyu Corp. (b) | 198,035 | ||
5,700 | Toppan, Inc. (b) | 91,839 | ||
7,600 | Tosoh Corp. (b) | 99,434 | ||
3,200 | West Japan Railway Co. (b) | 134,011 | ||
1,900 | Yakult Honsha Co., Ltd. (b) | 135,637 | ||
4,900 | Yamato Holdings Co., Ltd. (b) | 85,735 | ||
9,761,744 | ||||
Netherlands – 3.7% | ||||
1,865 | Heineken Holding N.V. (b) | 153,985 | ||
2,114 | Heineken N.V. (b) | 211,271 | ||
6,946 | Koninklijke Ahold Delhaize N.V. (b) | 207,317 | ||
162,308 | Koninklijke KPN N.V. (b) | 554,906 | ||
4,083 | QIAGEN N.V. (b) (e) | 199,182 | ||
1,562 | Wolters Kluwer N.V. (b) | 170,294 | ||
1,496,955 | ||||
New Zealand – 0.8% | ||||
94,612 | Spark New Zealand Ltd. (b) | 319,007 | ||
Norway – 1.3% | ||||
8,429 | Gjensidige Forsikring ASA (b) | 151,498 | ||
26,828 | Orkla ASA (b) | 200,290 | ||
15,221 | Telenor ASA (b) | 159,343 | ||
511,131 | ||||
Singapore – 16.0% | ||||
37,300 | City Developments Ltd. (b) | 236,737 | ||
19,500 | DBS Group Holdings Ltd. (b) | 533,837 | ||
85,500 | Keppel Corp., Ltd. (b) | 493,648 | ||
80,800 | Oversea-Chinese Banking Corp., Ltd. (b) | 798,333 | ||
178,500 | Singapore Airlines Ltd. (b) | 807,153 | ||
109,500 | Singapore Exchange Ltd. (b) | 771,266 | ||
273,200 | Singapore Technologies Engineering Ltd. (b) | 768,113 | ||
181,700 | Singapore Telecommunications Ltd. (b) | 347,985 | ||
23,600 | United Overseas Bank Ltd. (b) | 536,443 | ||
80,400 | UOL Group Ltd. (b) | 428,980 | ||
34,900 | Venture Corp., Ltd. (b) | 492,835 | ||
69,000 | Wilmar International Ltd. (b) | 214,523 | ||
6,429,853 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Spain – 2.3% | ||||
6,044 | ACS Actividades de Construccion y Servicios S.A. (b) | $178,865 | ||
8,908 | Enagas S.A. (b) | 159,732 | ||
17,403 | Iberdrola S.A. (b) | 204,168 | ||
9,956 | Red Electrica Corp. S.A. (b) | 176,210 | ||
55,118 | Telefonica S.A. (b) | 209,394 | ||
928,369 | ||||
Sweden – 1.2% | ||||
4,496 | Essity AB, Class B (b) | 117,454 | ||
12,984 | Svenska Handelsbanken AB, Class A (b) | 135,397 | ||
13,408 | Tele2 AB, Class B (b) | 115,799 | ||
45,349 | Telia Co., AB (b) | 117,120 | ||
485,770 | ||||
Switzerland – 8.9% | ||||
1,939 | Baloise Holding AG (b) | 318,913 | ||
3,069 | Banque Cantonale Vaudoise (b) | 291,730 | ||
3,768 | Nestle S.A. (b) | 459,730 | ||
6,467 | Novartis AG (b) | 584,675 | ||
790 | Roche Holding AG (b) | 246,615 | ||
674 | Roche Holding AG (b) | 246,712 | ||
3,075 | Swiss Prime Site AG (b) | 274,008 | ||
1,832 | Swiss Re AG (b) | 191,831 | ||
1,003 | Swisscom AG (b) | 592,628 | ||
771 | Zurich Insurance Group AG (b) | 381,282 | ||
3,588,124 | ||||
United Kingdom – 5.7% | ||||
5,115 | Bunzl PLC (b) | 187,778 | ||
3,024 | Coca-Cola Europacific Partners PLC | 170,009 | ||
14,573 | Compass Group PLC (b) | 348,120 | ||
9,491 | GSK PLC (b) | 166,710 | ||
1,662 | Intertek Group PLC (b) | 89,328 | ||
14,423 | National Grid PLC (b) | 183,358 | ||
2,954 | Reckitt Benckiser Group PLC (b) | 210,505 | ||
6,255 | RELX PLC (b) | 185,829 | ||
7,374 | Smiths Group PLC (b) | 157,413 | ||
49,800 | Tesco PLC (b) | 151,361 | ||
6,394 | Unilever PLC (b) | 325,449 | ||
107,304 | Vodafone Group PLC (b) | 123,809 | ||
2,299,669 | ||||
Total Common Stocks | 39,503,134 | |||
(Cost $39,355,381) | ||||
REAL ESTATE INVESTMENT TRUSTS (a) – 1.2% | ||||
Singapore – 1.2% | ||||
139,200 | CapitaLand Ascendas REIT (b) | 306,328 |
Shares | Description | Value | ||
Singapore (Continued) | ||||
100,700 | CapitaLand Integrated Commercial Trust (b) | $164,758 | ||
Total Real Estate Investment Trusts | 471,086 | |||
(Cost $453,867) | ||||
Total Investments – 99.4% | 39,974,220 | |||
(Cost $39,809,248) | ||||
Net Other Assets and Liabilities – 0.6% | 252,484 | |||
Net Assets – 100.0% | $40,226,704 |
(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 approved by the Trust’s Board of Trustees and in accordance with provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At January 31, 2023, securities noted as such are valued at $39,596,620 or 98.4% 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 | 24.4% |
Euro | 21.3 |
Singapore Dollar | 17.3 |
Hong Kong Dollar | 9.4 |
Swiss Franc | 9.0 |
Australian Dollar | 7.8 |
British Pound Sterling | 5.3 |
Norwegian Krone | 1.3 |
Swedish Krona | 1.2 |
Danish Krone | 1.0 |
United States Dollar | 0.9 |
New Zealand Dollar | 0.8 |
Israeli Shekel | 0.3 |
Total | 100.0% |
Total Value at 1/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
Israel | $ 345,055 | $ 207,591 | $ 137,464 | $ — |
United Kingdom | 2,299,669 | 170,009 | 2,129,660 | — |
Other Country Categories* | 36,858,410 | — | 36,858,410 | — |
Real Estate Investment Trusts* | 471,086 | — | 471,086 | — |
Total Investments | $ 39,974,220 | $ 377,600 | $ 39,596,620 | $— |
* | See Portfolio of Investments for country breakout. |
Shares | Description | Value | ||
COMMON STOCKS – 83.1% | ||||
Aerospace & Defense – 0.6% | ||||
1,081 | Woodward, Inc. | $110,543 | ||
Auto Components – 0.5% | ||||
3,602 | Gentex Corp. | 106,295 | ||
Banks – 12.7% | ||||
3,788 | Associated Banc-Corp. | 84,889 | ||
1,255 | Bank of Hawaii Corp. | 95,995 | ||
1,641 | Bank OZK | 74,944 | ||
1,608 | Banner Corp. | 104,247 | ||
2,361 | Cathay General Bancorp | 103,789 | ||
1,475 | Commerce Bancshares, Inc. | 98,176 | ||
1,580 | Community Bank System, Inc. | 91,182 | ||
813 | Cullen/Frost Bankers, Inc. | 105,918 | ||
4,099 | CVB Financial Corp. | 99,278 | ||
2,914 | First Financial Bankshares, Inc. | 103,797 | ||
7,656 | FNB Corp. | 109,251 | ||
6,036 | Fulton Financial Corp. | 100,982 | ||
1,891 | Glacier Bancorp, Inc. | 86,211 | ||
1,263 | Independent Bank Corp. | 100,648 | ||
2,244 | International Bancshares Corp. | 105,176 | ||
5,533 | Old National Bancorp | 96,827 | ||
1,373 | Prosperity Bancshares, Inc. | 104,156 | ||
1,072 | ServisFirst Bancshares, Inc. | 73,089 | ||
4,931 | Simmons First National Corp., Class A | 110,011 | ||
2,902 | Trustmark Corp. | 84,506 | ||
1,040 | UMB Financial Corp. | 93,798 | ||
2,513 | United Bankshares, Inc. | 101,023 | ||
3,118 | United Community Banks, Inc. | 101,460 | ||
6,283 | Valley National Bancorp | 74,642 | ||
2,936 | Washington Federal, Inc. | 104,110 | ||
1,769 | Westamerica BanCorp | 98,286 | ||
2,506,391 | ||||
Biotechnology – 0.5% | ||||
384 | United Therapeutics Corp. (a) | 101,057 | ||
Building Products – 1.1% | ||||
444 | Carlisle Cos., Inc. | 111,382 | ||
379 | Lennox International, Inc. | 98,775 | ||
210,157 | ||||
Capital Markets – 1.7% | ||||
244 | Affiliated Managers Group, Inc. | 42,149 | ||
334 | Evercore, Inc., Class A | 43,357 | ||
1,551 | Janus Henderson Group PLC | 40,202 | ||
1,141 | Jefferies Financial Group, Inc. | 44,818 | ||
1,652 | SEI Investments Co. | 103,134 | ||
875 | Stifel Financial Corp. | 58,984 | ||
332,644 | ||||
Chemicals – 2.1% | ||||
917 | Ashland, Inc. | 100,201 | ||
816 | Balchem Corp. | 106,594 | ||
292 | NewMarket Corp. | 100,597 |
Shares | Description | Value | ||
Chemicals (Continued) | ||||
1,145 | RPM International, Inc. | $102,947 | ||
410,339 | ||||
Commercial Services & Supplies – 2.6% | ||||
2,229 | ABM Industries, Inc. | 104,562 | ||
842 | Clean Harbors, Inc. (a) | 109,713 | ||
1,932 | Stericycle, Inc. (a) | 103,961 | ||
652 | Tetra Tech, Inc. | 101,399 | ||
509 | UniFirst Corp. | 101,006 | ||
520,641 | ||||
Communications Equipment – 0.4% | ||||
7,173 | Viavi Solutions, Inc. (a) | 81,055 | ||
Construction & Engineering – 1.6% | ||||
1,221 | AECOM | 106,557 | ||
685 | EMCOR Group, Inc. | 101,551 | ||
3,329 | MDU Resources Group, Inc. | 102,899 | ||
311,007 | ||||
Construction Materials – 0.5% | ||||
707 | Eagle Materials, Inc. | 103,279 | ||
Consumer Finance – 0.2% | ||||
2,429 | SLM Corp. | 42,678 | ||
Containers & Packaging – 1.6% | ||||
892 | AptarGroup, Inc. | 103,151 | ||
1,944 | Silgan Holdings, Inc. | 104,762 | ||
1,701 | Sonoco Products Co. | 103,948 | ||
311,861 | ||||
Diversified Consumer Services – 1.6% | ||||
890 | Grand Canyon Education, Inc. (a) | 103,738 | ||
2,909 | H&R Block, Inc. | 113,393 | ||
1,431 | Service Corp. International | 106,109 | ||
323,240 | ||||
Electric Utilities – 3.0% | ||||
1,545 | ALLETE, Inc. | 95,574 | ||
2,413 | Hawaiian Electric Industries, Inc. | 101,997 | ||
943 | IDACORP, Inc. | 99,779 | ||
2,525 | OGE Energy Corp. | 99,283 | ||
2,069 | PNM Resources, Inc. | 102,374 | ||
2,043 | Portland General Electric Co. | 97,206 | ||
596,213 | ||||
Electrical Equipment – 1.5% | ||||
429 | Hubbell, Inc. | 98,202 | ||
2,588 | nVent Electric PLC | 102,873 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Electrical Equipment (Continued) | ||||
648 | Regal Rexnord Corp. | $90,202 | ||
291,277 | ||||
Electronic Equipment, Instruments & Components – 4.2% | ||||
907 | Arrow Electronics, Inc. (a) | 106,563 | ||
2,324 | Avnet, Inc. | 106,625 | ||
928 | Insight Enterprises, Inc. (a) | 104,604 | ||
1,349 | Jabil, Inc. | 106,072 | ||
5,755 | Knowles Corp. (a) | 110,669 | ||
409 | Littelfuse, Inc. | 104,986 | ||
924 | Plexus Corp. (a) | 88,695 | ||
924 | TD SYNNEX Corp. | 94,387 | ||
822,601 | ||||
Entertainment – 0.5% | ||||
1,169 | World Wrestling Entertainment, Inc., Class A | 98,921 | ||
Food & Staples Retailing – 1.4% | ||||
461 | Casey’s General Stores, Inc. | 108,754 | ||
3,023 | Grocery Outlet Holding Corp. (a) | 91,869 | ||
2,527 | Sprouts Farmers Market, Inc. (a) | 80,738 | ||
281,361 | ||||
Food Products – 3.1% | ||||
1,700 | Cal-Maine Foods, Inc. | 97,274 | ||
3,640 | Flowers Foods, Inc. | 100,791 | ||
4,574 | Hostess Brands, Inc. (a) | 105,797 | ||
1,023 | Ingredion, Inc. | 105,164 | ||
512 | Lancaster Colony Corp. | 98,258 | ||
1,083 | Post Holdings, Inc. (a) | 102,831 | ||
610,115 | ||||
Gas Utilities – 3.1% | ||||
1,658 | National Fuel Gas Co. | 96,263 | ||
1,993 | New Jersey Resources Corp. | 99,491 | ||
2,090 | Northwest Natural Holding Co. | 104,793 | ||
1,104 | ONE Gas, Inc. | 90,925 | ||
1,399 | Spire, Inc. | 101,036 | ||
2,714 | UGI Corp. | 108,099 | ||
600,607 | ||||
Health Care Equipment & Supplies – 2.2% | ||||
1,576 | Enovis Corp. (a) | 99,209 | ||
3,193 | Envista Holdings Corp. (a) | 124,495 | ||
1,389 | Globus Medical, Inc., Class A (a) | 104,869 | ||
1,772 | Integra LifeSciences Holdings Corp. (a) | 101,536 | ||
430,109 |
Shares | Description | Value | ||
Health Care Providers & Services – 2.1% | ||||
1,233 | Acadia Healthcare Co., Inc. (a) | $103,597 | ||
205 | Chemed Corp. | 103,554 | ||
1,688 | Encompass Health Corp. | 105,415 | ||
3,544 | Patterson Cos., Inc. | 106,993 | ||
419,559 | ||||
Health Care Technology – 0.4% | ||||
4,876 | Allscripts Healthcare Solutions, Inc. (a) | 87,329 | ||
Hotels, Restaurants & Leisure – 2.2% | ||||
867 | Choice Hotels International, Inc. | 106,545 | ||
938 | Cracker Barrel Old Country Store, Inc. | 104,662 | ||
1,188 | Papa John’s International, Inc. | 106,552 | ||
1,415 | Wyndham Hotels & Resorts, Inc. | 109,677 | ||
427,436 | ||||
Household Products – 0.5% | ||||
2,895 | Energizer Holdings, Inc. | 107,405 | ||
Insurance – 4.4% | ||||
723 | American Financial Group, Inc. | 103,093 | ||
1,010 | First American Financial Corp. | 62,489 | ||
754 | Hanover Insurance Group (The), Inc. | 101,473 | ||
759 | Kemper Corp. | 44,576 | ||
146 | Kinsale Capital Group, Inc. | 40,652 | ||
1,196 | Mercury General Corp. | 42,733 | ||
4,167 | Old Republic International Corp. | 109,967 | ||
641 | Reinsurance Group of America, Inc. | 97,285 | ||
274 | RenaissanceRe Holdings Ltd. | 53,619 | ||
745 | RLI Corp. | 98,675 | ||
1,107 | Selective Insurance Group, Inc. | 105,165 | ||
859,727 | ||||
Interactive Media & Services – 0.5% | ||||
1,153 | Ziff Davis, Inc. (a) | 103,170 | ||
IT Services – 1.6% | ||||
1,763 | CSG Systems International, Inc. | 105,198 | ||
2,177 | Genpact Ltd. | 102,929 | ||
1,391 | Maximus, Inc. | 104,116 | ||
312,243 | ||||
Leisure Products – 0.5% | ||||
5,072 | Mattel, Inc. (a) | 103,773 | ||
Machinery – 5.9% | ||||
670 | AGCO Corp. | 92,547 | ||
963 | Crane Holdings Co. | 111,621 | ||
1,666 | Donaldson Co., Inc. | 103,875 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Machinery (Continued) | ||||
2,938 | Flowserve Corp. | $101,126 | ||
1,445 | Graco, Inc. | 98,723 | ||
1,236 | ITT, Inc. | 113,205 | ||
647 | Lincoln Electric Holdings, Inc. | 107,965 | ||
607 | Middleby (The) Corp. (a) | 94,358 | ||
1,088 | Oshkosh Corp. | 109,649 | ||
1,500 | Timken (The) Co. | 123,525 | ||
879 | Toro (The) Co. | 98,026 | ||
1,154,620 | ||||
Media – 0.5% | ||||
2,787 | New York Times (The) Co., Class A | 97,099 | ||
Metals & Mining – 1.1% | ||||
485 | Reliance Steel & Aluminum Co. | 110,313 | ||
769 | Royal Gold, Inc. | 97,686 | ||
207,999 | ||||
Multi-Utilities – 1.5% | ||||
2,407 | Avista Corp. | 96,039 | ||
1,411 | Black Hills Corp. | 102,128 | ||
1,731 | NorthWestern Corp. | 98,321 | ||
296,488 | ||||
Oil, Gas & Consumable Fuels – 0.0% | ||||
134 | Vitesse Energy Inc. | 2,139 | ||
Pharmaceuticals – 1.6% | ||||
661 | Jazz Pharmaceuticals PLC (a) | 103,552 | ||
2,614 | Pacira BioSciences, Inc. (a) | 102,652 | ||
1,549 | Prestige Consumer Healthcare, Inc. (a) | 101,862 | ||
308,066 | ||||
Professional Services – 3.6% | ||||
1,017 | ASGN, Inc. (a) | 92,496 | ||
347 | CACI International, Inc., Class A (a) | 106,907 | ||
1,020 | Exponent, Inc. | 104,591 | ||
638 | FTI Consulting, Inc. (a) | 101,774 | ||
2,039 | KBR, Inc. | 104,458 | ||
1,233 | ManpowerGroup, Inc. | 107,468 | ||
955 | Science Applications International Corp. | 99,110 | ||
716,804 | ||||
Real Estate Management & Development – 0.5% | ||||
497 | Jones Lang LaSalle, Inc. (a) | 91,880 | ||
Road & Rail – 1.6% | ||||
1,911 | Knight-Swift Transportation Holdings, Inc. | 112,940 | ||
583 | Landstar System, Inc. | 100,760 |
Shares | Description | Value | ||
Road & Rail (Continued) | ||||
2,324 | Werner Enterprises, Inc. | $109,158 | ||
322,858 | ||||
Semiconductors & Semiconductor Equipment – 0.5% | ||||
1,065 | Cirrus Logic, Inc. (a) | 96,265 | ||
Software – 1.1% | ||||
1,826 | CommVault Systems, Inc. (a) | 113,632 | ||
1,922 | Progress Software Corp. | 101,943 | ||
215,575 | ||||
Specialty Retail – 0.5% | ||||
388 | Murphy USA, Inc. | 105,548 | ||
Textiles, Apparel & Luxury Goods – 1.1% | ||||
1,184 | Carter’s, Inc. | 98,710 | ||
1,229 | Columbia Sportswear Co. | 117,861 | ||
216,571 | ||||
Thrifts & Mortgage Finance – 1.6% | ||||
2,233 | Essent Group Ltd. | 98,319 | ||
7,399 | MGIC Investment Corp. | 104,474 | ||
944 | Mr Cooper Group, Inc. (a) | 43,415 | ||
6,087 | New York Community Bancorp, Inc. | 60,809 | ||
307,017 | ||||
Trading Companies & Distributors – 1.1% | ||||
1,255 | MSC Industrial Direct Co., Inc., Class A | 103,789 | ||
371 | Watsco, Inc. | 106,614 | ||
210,403 | ||||
Water Utilities – 2.0% | ||||
1,066 | American States Water Co. | 100,385 | ||
1,636 | California Water Service Group | 100,074 | ||
2,077 | Essential Utilities, Inc. | 97,058 | ||
1,270 | SJW Group | 98,311 | ||
395,828 | ||||
Total Common Stocks | 16,368,193 | |||
(Cost $15,232,877) | ||||
REAL ESTATE INVESTMENT TRUSTS – 16.7% | ||||
Equity Real Estate Investment Trusts – 16.2% | ||||
1,390 | Agree Realty Corp. | 103,736 | ||
2,834 | Apartment Income REIT Corp. | 108,429 | ||
14,353 | Brandywine Realty Trust | 94,156 | ||
3,801 | Corporate Office Properties Trust | 106,694 | ||
4,010 | Cousins Properties, Inc. | 109,954 | ||
6,004 | Douglas Emmett, Inc. | 100,567 |
Shares | Description | Value | ||
REAL ESTATE INVESTMENT TRUSTS (Continued) | ||||
Equity Real Estate Investment Trusts (Continued) | ||||
6,670 | Easterly Government Properties, Inc. | $108,321 | ||
653 | EastGroup Properties, Inc. | 109,867 | ||
4,231 | Essential Properties Realty Trust, Inc. | 107,806 | ||
2,027 | First Industrial Realty Trust, Inc. | 108,140 | ||
3,667 | Four Corners Property Trust, Inc. | 105,463 | ||
2,883 | Getty Realty Corp. | 105,028 | ||
5,248 | Healthcare Realty Trust, Inc. | 112,989 | ||
3,479 | Highwoods Properties, Inc. | 105,657 | ||
5,843 | Independence Realty Trust, Inc. | 110,024 | ||
5,183 | JBG SMITH Properties | 104,386 | ||
2,794 | Kilroy Realty Corp. | 114,666 | ||
1,117 | Lamar Advertising Co., Class A | 119,005 | ||
995 | Life Storage, Inc. | 107,500 | ||
2,771 | LTC Properties, Inc. | 105,714 | ||
6,452 | Medical Properties Trust, Inc. | 83,553 | ||
2,164 | National Retail Properties, Inc. | 102,465 | ||
2,712 | National Storage Affiliates Trust | 110,650 | ||
3,627 | Omega Healthcare Investors, Inc. | 106,779 | ||
6,668 | Physicians Realty Trust | 105,754 | ||
2,906 | Rayonier, Inc. | 105,749 | ||
6,866 | Retail Opportunity Investments Corp. | 108,689 | ||
1,740 | Rexford Industrial Realty, Inc. | 110,438 | ||
7,479 | Sabra Health Care REIT, Inc. | 100,967 | ||
2,463 | Spirit Realty Capital, Inc. | 108,076 | ||
3,191,222 | ||||
Mortgage Real Estate Investment Trusts – 0.5% | ||||
6,902 | ARMOUR Residential REIT, Inc. | 43,344 | ||
3,039 | PennyMac Mortgage Investment Trust | 46,345 | ||
89,689 | ||||
Total Real Estate Investment Trusts | 3,280,911 | |||
(Cost $3,398,467) | ||||
Total Investments – 99.8% | 19,649,104 | |||
(Cost $18,631,344) | ||||
Net Other Assets and Liabilities – 0.2% | 40,737 | |||
Net Assets – 100.0% | $19,689,841 |
(a) | Non-income producing security. |
Total Value at 1/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 16,368,193 | $ 16,368,193 | $ — | $ — |
Real Estate Investment Trusts* | 3,280,911 | 3,280,911 | — | — |
Total Investments | $ 19,649,104 | $ 19,649,104 | $— | $— |
* | 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 | $ 99,989,275 | $ 39,974,220 | $ 19,649,104 | ||
Cash | 175,331 | 4,871 | 45,592 | ||
Receivables: | |||||
Dividends | 119,961 | 41,829 | 6,925 | ||
Dividend reclaims | — | 233,914 | 160 | ||
Total Assets | 100,284,567 | 40,254,834 | 19,701,781 | ||
LIABILITIES: | |||||
Due to custodian foreign currency | — | 841 | — | ||
Investment advisory fees payable | 60,639 | 27,289 | 11,940 | ||
Total Liabilities | 60,639 | 28,130 | 11,940 | ||
NET ASSETS | $100,223,928 | $40,226,704 | $19,689,841 | ||
NET ASSETS consist of: | |||||
Paid-in capital | $ 137,758,346 | $ 70,766,160 | $ 19,971,998 | ||
Par value | 30,500 | 14,000 | 6,000 | ||
Accumulated distributable earnings (loss) | (37,564,918) | (30,553,456) | (288,157) | ||
NET ASSETS | $100,223,928 | $40,226,704 | $19,689,841 | ||
NET ASSET VALUE, per share | $32.86 | $28.73 | $32.82 | ||
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 3,050,002 | 1,400,002 | 600,002 | ||
Investments, at cost | $96,082,719 | $39,809,248 | $18,631,344 | ||
Foreign currency, at cost (proceeds) | $— | $(835) | $— |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | First Trust Horizon Managed Volatility Developed International ETF (HDMV) | First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | ||||
INVESTMENT INCOME: | ||||||
Dividends | $ 1,250,229 | $ 539,336 | $ 200,859 | |||
Interest | 2,592 | 814 | — | |||
Foreign withholding tax | — | (28,169) | — | |||
Other | — | 167 | 25 | |||
Total investment income | 1,252,821 | 512,148 | 200,884 | |||
EXPENSES: | ||||||
Investment advisory fees | 340,793 | 156,871 | 63,721 | |||
Total expenses | 340,793 | 156,871 | 63,721 | |||
NET INVESTMENT INCOME (LOSS) | 912,028 | 355,277 | 137,163 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||||
Net realized gain (loss) on: | ||||||
Investments | (1,506,731) | (2,160,539) | (485,840) | |||
In-kind redemptions | 1,613,355 | (22,091) | — | |||
Foreign currency transactions | — | 9,870 | — | |||
Net realized gain (loss) | 106,624 | (2,172,760) | (485,840) | |||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investments | (225,025) | 2,587,051 | 936,925 | |||
Foreign currency translation | — | 12,571 | — | |||
Net change in unrealized appreciation (depreciation) | (225,025) | 2,599,622 | 936,925 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (118,401) | 426,862 | 451,085 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 793,627 | $ 782,139 | $ 588,248 |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | First Trust Horizon Managed Volatility Developed International ETF (HDMV) | ||||||
Six Months Ended 1/31/2023 (Unaudited) | Year Ended 7/31/2022 | Six Months Ended 1/31/2023 (Unaudited) | Year Ended 7/31/2022 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 912,028 | $ 1,753,621 | $ 355,277 | $ 1,837,495 | |||
Net realized gain (loss) | 106,624 | 10,719,961 | (2,172,760) | (571,567) | |||
Net change in unrealized appreciation (depreciation) | (225,025) | (10,221,164) | 2,599,622 | (8,141,611) | |||
Net increase (decrease) in net assets resulting from operations | 793,627 | 2,252,418 | 782,139 | (6,875,683) | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (987,796) | (1,660,766) | (635,681) | (1,931,942) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 18,777,582 | 20,067,842 | — | 1,508,580 | |||
Cost of shares redeemed | (18,024,066) | (41,752,654) | (5,676,657) | (33,905,829) | |||
Net increase (decrease) in net assets resulting from shareholder transactions | 753,516 | (21,684,812) | (5,676,657) | (32,397,249) | |||
Total increase (decrease) in net assets | 559,347 | (21,093,160) | (5,530,199) | (41,204,874) | |||
NET ASSETS: | |||||||
Beginning of period | 99,664,581 | 120,757,741 | 45,756,903 | 86,961,777 | |||
End of period | $100,223,928 | $99,664,581 | $40,226,704 | $45,756,903 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 3,000,002 | 3,650,002 | 1,600,002 | 2,700,002 | |||
Shares sold | 600,000 | 600,000 | — | 50,000 | |||
Shares redeemed | (550,000) | (1,250,000) | (200,000) | (1,150,000) | |||
Shares outstanding, end of period | 3,050,002 | 3,000,002 | 1,400,002 | 1,600,002 |
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | ||
Six Months Ended 1/31/2023 (Unaudited) | Year Ended 7/31/2022 | |
$ 137,163 | $ 167,247 | |
(485,840) | 366,910 | |
936,925 | (864,174) | |
588,248 | (330,017) | |
(146,851) | (133,705) | |
3,180,198 | 6,741,624 | |
— | (5,115,847) | |
3,180,198 | 1,625,777 | |
3,621,595 | 1,162,055 | |
16,068,246 | 14,906,191 | |
$19,689,841 | $16,068,246 | |
500,002 | 450,002 | |
100,000 | 200,000 | |
— | (150,000) | |
600,002 | 500,002 |
Six Months Ended 1/31/2023 (Unaudited) | Year Ended July 31, | |||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||
Net asset value, beginning of period | $ 33.22 | $ 33.08 | $ 27.19 | $ 26.71 | $ 23.49 | $ 22.03 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss) | 0.31 | 0.51 | 0.46 | 0.37 | 0.37 | 0.30 | ||||||
Net realized and unrealized gain (loss) | (0.33) | 0.10 | 5.87 | 0.52 | 3.17 | 1.46 | ||||||
Total from investment operations | (0.02) | 0.61 | 6.33 | 0.89 | 3.54 | 1.76 | ||||||
Distributions paid to shareholders from: | ||||||||||||
Net investment income | (0.34) | (0.47) | (0.44) | (0.41) | (0.32) | (0.30) | ||||||
Net asset value, end of period | $32.86 | $33.22 | $33.08 | $27.19 | $26.71 | $23.49 | ||||||
Total return (a) | 0.00 % | 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) | $ 100,224 | $ 99,665 | $ 120,758 | $ 214,822 | $ 224,389 | $ 133,888 | ||||||
Ratio of total expenses to average net assets | 0.70% (b) | 0.70% | 0.70% | 0.70% | 0.70% | 0.70% | ||||||
Ratio of net investment income (loss) to average net assets | 1.87% (b) | 1.46% | 1.42% | 1.39% | 1.58% | 1.37% | ||||||
Portfolio turnover rate (c) | 72% | 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) | Annualized. |
(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. |
Six Months Ended 1/31/2023 (Unaudited) | Year Ended July 31, | |||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||
Net asset value, beginning of period | $ 28.60 | $ 32.21 | $ 28.12 | $ 32.92 | $ 33.72 | $ 33.05 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss) | 0.26 | 0.90 | 0.89 | 0.65 | 0.86 | 0.91 | ||||||
Net realized and unrealized gain (loss) | 0.31 | (3.62) | 4.13 | (4.61) | (0.79) | 0.87 | ||||||
Total from investment operations | 0.57 | (2.72) | 5.02 | (3.96) | 0.07 | 1.78 | ||||||
Distributions paid to shareholders from: | ||||||||||||
Net investment income | (0.44) | (0.89) | (0.93) | (0.84) | (0.87) | (1.11) | ||||||
Net asset value, end of period | $28.73 | $28.60 | $32.21 | $28.12 | $32.92 | $33.72 | ||||||
Total return (a) | 2.23% | (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) | $ 40,227 | $ 45,757 | $ 86,962 | $ 123,714 | $ 128,394 | $ 59,010 | ||||||
Ratio of total expenses to average net assets | 0.80% (c) | 0.80% | 0.80% | 0.80% | 0.80% | 0.80% | ||||||
Ratio of net investment income (loss) to average net assets | 1.81% (c) | 2.53% | 2.68% | 2.08% | 2.74% | 2.73% | ||||||
Portfolio turnover rate (d) | 48% | 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) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Six Months Ended 1/31/2023 (Unaudited) | Year Ended July 31, | Period Ended 7/31/2020 (a) | ||||||
2022 | 2021 | |||||||
Net asset value, beginning of period | $ 32.14 | $ 33.12 | $ 25.03 | $ 21.10 | ||||
Income from investment operations: | ||||||||
Net investment income (loss) | 0.26 | 0.36 | 0.29 | 0.02 | ||||
Net realized and unrealized gain (loss) | 0.71 | (1.05) | 8.09 | 3.92 | ||||
Total from investment operations | 0.97 | (0.69) | 8.38 | 3.94 | ||||
Distributions paid to shareholders from: | ||||||||
Net investment income | (0.29) | (0.29) | (0.29) | (0.01) | ||||
Net realized gain | — | — | (0.00) (b) | — | ||||
Total distributions | (0.29) | (0.29) | (0.29) | (0.01) | ||||
Net asset value, end of period | $32.82 | $32.14 | $33.12 | $25.03 | ||||
Total return (c) | 3.13% | (2.11)% | 33.72% | 18.67% | ||||
Ratios to average net assets/supplemental data: | ||||||||
Net assets, end of period (in 000’s) | $ 19,690 | $ 16,068 | $ 14,906 | $ 20,023 | ||||
Ratio of total expenses to average net assets | 0.80% (d) | 0.80% | 0.80% | 0.80% (d) | ||||
Ratio of net investment income (loss) to average net assets | 1.72% (d) | 1.09% | 1.02% | 0.60% (d) | ||||
Portfolio turnover rate (e) | 29% | 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 last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price; |
2) | the type of security; |
3) | the size of the holding; |
4) | the initial cost of the security; |
5) | transactions in comparable securities; |
6) | price quotes from dealers and/or third-party pricing services; |
7) | relationships among various securities; |
8) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
9) | an analysis of the issuer’s financial statements; |
10) | the existence of merger proposals or tender offers that might affect the value of the security; and |
11) | other relevant factors. |
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; |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions; and |
9) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from Ordinary Income | 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 | — | — |
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 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
First Trust Horizon Managed Volatility Domestic ETF | $ 96,082,719 | $ 5,319,918 | $ (1,413,362) | $ 3,906,556 | |||
First Trust Horizon Managed Volatility Developed International ETF | 39,809,248 | 2,343,431 | (2,178,459) | 164,972 | |||
First Trust Horizon Managed Volatility Small/Mid ETF | 18,631,344 | 1,533,954 | (516,194) | 1,017,760 |
Breakpoints | HUSV | HSMV | ||
Fund net assets up to and including $2.5 billion | 0.7000% | 0.80% | ||
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.6825% | 0.78% | ||
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.6650% | 0.76% | ||
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.6475% | 0.74% | ||
Fund net assets greater than $10 billion up to and including $15 billion | 0.6300% | 0.72% | ||
Fund net assets greater than $15 billion | 0.5950% | 0.68% | ||
Breakpoints | HDMV | |||
Fund net assets up to and including $2.5 billion | 0.80% | |||
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.78% | |||
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.76% | |||
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.74% | |||
Fund net assets greater than $10 billion | 0.72% |
Purchases | Sales | ||
First Trust Horizon Managed Volatility Domestic ETF | $ 69,806,224 | $ 69,867,975 | |
First Trust Horizon Managed Volatility Developed International ETF | 18,874,498 | 19,052,211 | |
First Trust Horizon Managed Volatility Small/Mid ETF | 4,650,617 | 4,570,071 | |
Purchases | Sales | ||
First Trust Horizon Managed Volatility Domestic ETF | $ 18,738,399 | $ 17,969,065 | |
First Trust Horizon Managed Volatility Developed International ETF | — | 5,602,890 | |
First Trust Horizon Managed Volatility Small/Mid ETF | 3,172,586 | — |
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)
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
First Trust New York Municipal High Income ETF (FMNY)
For the Six Months Ended
January 31, 2023
1 | |
Fund Performance Overview | |
2 | |
5 | |
8 | |
9 | |
10 | |
Portfolio of Investments | |
11 | |
18 | |
21 | |
22 | |
23 | |
24 | |
26 | |
34 |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
6 Months Ended 1/31/23 | 1 Year Ended 1/31/23 | 5 Years Ended 1/31/23 | Inception (6/20/17) to 1/31/23 | 5 Years Ended 1/31/23 | Inception (6/20/17) to 1/31/23 | ||
Fund Performance | |||||||
NAV | 1.13% | -4.38% | 2.23% | 2.35% | 11.68% | 13.94% | |
Market Price | 1.33% | -4.38% | 2.20% | 2.34% | 11.51% | 13.86% | |
Index Performance | |||||||
Bloomberg 10 Year California Exempt Index | 1.74% | -0.89% | 2.34% | 1.96% | 12.28% | 11.55% |
Sector Allocation | % of Total Investments (including cash) |
Special Assessment | 13.7% |
Education | 9.9 |
Government Obligation Bond - Unlimited Tax | 8.6 |
Insured | 8.6 |
Water & Sewer | 7.8 |
Airport | 6.2 |
Industrial Development Bond | 5.8 |
Hospital | 5.2 |
Continuing Care Retirement Communities | 4.6 |
Pre-refunded/Escrowed-to-maturity | 4.1 |
Gas | 3.7 |
Local Housing | 2.9 |
Utility | 2.7 |
Higher Education | 2.7 |
Dedicated Tax | 2.3 |
Tobacco | 2.1 |
Certificates of Participation | 1.4 |
Tax Increment | 1.3 |
Student Housing | 1.3 |
Toll Road | 1.1 |
Housing | 1.0 |
Other Health | 0.5 |
Cash | 2.5 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 97.7% |
Net Other Assets and Liabilities(1) | 2.3 |
Total | 100.0% |
Credit Rating(2) | % of Total Investments (including cash) |
AAA | 5.3% |
AA | 30.0 |
A | 21.8 |
BBB | 14.2 |
BB | 3.3 |
B | 1.0 |
Not Rated | 21.9 |
Cash | 2.5 |
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 in municipal bonds investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size.
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/23 | 1 Year Ended 1/31/23 | Inception (5/12/21) to 1/31/23 | Inception (5/12/21) to 1/31/23 | |
Fund Performance | ||||
NAV | 1.31% | -4.83% | -3.97% | -6.74% |
Market Price | 1.43% | -5.06% | -3.95% | -6.71% |
Index Performance | ||||
Bloomberg Municipal New York 12-17 Years Index | 1.65% | -3.03% | -2.89% | -4.93% |
Sector Allocation | % of Total Investments (including cash) |
Insured | 11.1% |
Government Obligation Bond - Limited Tax | 10.5 |
Dedicated Tax | 10.1 |
Higher Education | 10.1 |
Education | 9.2 |
Hospital | 6.2 |
Water & Sewer | 6.1 |
Government Obligation Bond - Unlimited Tax | 5.8 |
Airport | 4.2 |
Special Assessment | 4.1 |
Mass Transit | 4.1 |
Toll Road | 3.8 |
Utility | 3.0 |
Housing | 2.3 |
Certificates of Participation | 2.3 |
Tobacco | 1.9 |
Pre-refunded/Escrowed-to-maturity | 1.9 |
Industrial Development Bond | 1.9 |
Cash | 1.4 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 97.5% |
Net Other Assets and Liabilities(1) | 2.5 |
Total | 100.0% |
Credit Quality(2) | % of Total Investments (including cash) |
AAA | 6.6% |
AA | 50.3 |
A | 17.1 |
BBB | 11.0 |
BB | 1.8 |
B | 1.9 |
Not Rated | 6.2 |
MIG1 (short-term) | 3.7 |
Cash | 1.4 |
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.
Performance in municipal bond investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size.
Beginning Account Value August 1, 2022 | Ending Account Value January 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (b) | |
First Trust California Municipal High Income ETF (FCAL) | ||||
Actual | $1,000.00 | $1,011.30 | 0.55% | $2.79 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.43 | 0.55% | $2.80 |
First Trust New York Municipal High Income ETF (FMNY) | ||||
Actual | $1,000.00 | $1,013.10 | 0.50% | $2.54 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.68 | 0.50% | $2.55 |
(a) | These expense ratios reflect expense waivers. See Note 3 in the Notes to Financial Statements. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (August 1, 2022 through January 31, 2023), multiplied by 184/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 97.7% | ||||||||
California – 93.5% | ||||||||
$215,000 | Antelope Vly E Kern CA Wtr Agy Wtr Rev Ref | 5.00% | 06/01/35 | $232,226 | ||||
100,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area No 8F | 4.00% | 09/01/33 | 101,852 | ||||
175,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area No 8F | 4.00% | 09/01/34 | 177,389 | ||||
330,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area No 8F | 4.00% | 09/01/36 | 328,082 | ||||
620,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area No 8F | 4.00% | 09/01/40 | 593,741 | ||||
1,080,000 | Beverly Hills CA Pub Fing Auth Wtr Rev, Ser A | 4.00% | 06/01/40 | 1,120,497 | ||||
2,220,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Green Bond, Ser B-1 (Mandatory put 08/01/31) | 4.00% | 02/01/52 | 2,251,794 | ||||
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 | 20,306 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Ref, Sonoma Cnty Securitization Corp, Ser A | 4.00% | 06/01/35 | 202,679 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 4.00% | 06/01/35 | 202,530 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 4.00% | 06/01/39 | 196,925 | ||||
426,938 | CA Hsg Fin Agy Muni Ctfs, Ser A | 4.25% | 01/15/35 | 426,902 | ||||
360,000 | CA Pub Fin Auth Rev Ref Henry Mayo Newhall Hosp, Ser A | 4.00% | 10/15/28 | 373,036 | ||||
290,000 | CA Pub Fin Auth Sr Living Rev ENSO Vlg Proj Green Bond, Ser A (a) | 5.00% | 11/15/36 | 281,543 | ||||
250,000 | CA Pub Fin Auth Sr Living Rev ENSO Vlg Proj Green Bond, Ser A (a) | 5.00% | 11/15/56 | 217,516 | ||||
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 | 707,263 | ||||
255,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Proj, Ser A (a) | 5.00% | 07/01/30 | 264,904 | ||||
1,055,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Proj, Ser C (a) | 4.50% | 07/01/26 | 1,082,438 | ||||
505,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (a) | 5.00% | 07/01/34 | 525,513 | ||||
105,000 | CA Sch Fin Auth Sch Fac Rev Kipp SoCal Pub Schs, Ser A (a) | 5.00% | 07/01/27 | 112,454 | ||||
400,000 | CA Sch Fin Auth Sch Fac Rev Kipp SoCal Pub Schs, Ser A (a) | 5.00% | 07/01/39 | 419,232 | ||||
675,000 | CA Sch Fin Auth Sch Fac Rev Ref Granada Hills Chrt Oblig Grp, Ser A (a) | 4.00% | 07/01/48 | 601,827 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Ref HTH Learning Proj, Ser A (a) | 4.00% | 07/01/25 | 199,040 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Ref HTH Learning Proj, Ser A (a) | 5.00% | 07/01/32 | 201,171 | ||||
650,000 | CA Sch Fin Auth Sch Fac Rev, Ser A (a) | 5.00% | 07/01/40 | 663,665 | ||||
1,000,000 | CA St Hlth Facs Fing Auth Rev Ref Commonspirit Hlth, Ser A | 4.00% | 04/01/36 | 1,014,377 | ||||
220,000 | CA St Hlth Facs Fing Auth Rev Ref Sutter Hlth, Ser B | 5.00% | 11/15/33 | 238,812 | ||||
250,000 | CA St Hlth Facs Fing Auth Rev Sutter Hlth, Ser A | 5.00% | 11/15/30 | 278,462 | ||||
1,000,000 | CA St Hlth Facs Fing Auth Rev Var Ref Stanford Hlth Care, Ser A (Mandatory put 08/15/25) | 3.00% | 08/15/54 | 1,008,112 | ||||
1,000,000 | CA St Infra & Econ Dev Bank Natl Chrt Equitable Sch Revolving Fund Social Bonds, Ser B | 5.00% | 11/01/38 | 1,086,192 | ||||
500,000 | CA St Infra & Econ Dev Bank Natl Chrt Social Bond Equity Sch Revolving Fund, Ser B | 4.00% | 11/01/39 | 494,662 | ||||
250,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Sycamore Acdmy Proj (b) | 5.38% | 07/01/34 | 253,673 | ||||
250,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Vista Chrt Middle Sch Proj | 5.38% | 07/01/34 | 251,761 | ||||
900,000 | CA St Muni Fin Auth Chrt Sch Rev John Adams Acdmys Lincoln Proj, Ser A (a) | 5.00% | 10/01/39 | 894,909 | ||||
200,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj (a) | 4.00% | 07/01/26 | 196,242 | ||||
450,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj, Ser A (a) | 5.00% | 07/01/38 | 438,191 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$250,000 | CA St Muni Fin Auth Chrt Sch Rev, Ser A (a) | 5.50% | 06/01/38 | $253,161 | ||||
605,000 | CA St Muni Fin Auth Mobile Home Park Rev Sr Caritas Affordable Hsg Inc Projs, Ser A | 5.25% | 08/15/49 | 616,029 | ||||
295,000 | CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas Proj, Ser B | 4.00% | 08/15/41 | 279,161 | ||||
435,000 | CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas Proj, Ser B | 4.00% | 08/15/51 | 392,261 | ||||
500,000 | CA St Muni Fin Auth Ref Palomar Hlth, Ser A, COPS, AGM | 5.25% | 11/01/34 | 577,249 | ||||
500,000 | CA St Muni Fin Auth Ref Palomar Hlth, Ser A, COPS, AGM | 5.25% | 11/01/36 | 562,003 | ||||
1,500,000 | CA St Muni Fin Auth Rev Bethany Home Proj | 5.00% | 11/15/42 | 1,662,210 | ||||
155,000 | CA St Muni Fin Auth Rev Ref Biola Univ | 5.00% | 10/01/37 | 162,499 | ||||
225,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/30 | 240,733 | ||||
225,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/32 | 239,901 | ||||
675,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/33 | 717,488 | ||||
475,000 | CA St Muni Fin Auth Rev Ref Cmnty Med Ctrs, Ser A | 5.00% | 02/01/36 | 501,480 | ||||
200,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | 214,428 | ||||
250,000 | CA St Muni Fin Auth Rev Ref Emerson Clg, Ser B | 5.00% | 01/01/33 | 266,062 | ||||
1,080,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/34 | 1,102,677 | ||||
500,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/36 | 505,533 | ||||
110,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/26 | 121,300 | ||||
435,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/27 | 491,182 | ||||
575,000 | CA St Muni Fin Auth Rev Ref Southwestern Law Sch | 4.00% | 11/01/41 | 531,429 | ||||
700,000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 694,488 | ||||
500,000 | CA St Muni Fin Auth Sr Living Rev Ref Mt San Antonio Gardens Proj | 5.00% | 11/15/49 | 471,810 | ||||
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 | 567,687 | ||||
550,000 | CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I, LLC W Vlg Stdt Hsg Proj | 5.00% | 05/15/27 | 581,386 | ||||
350,000 | CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I, LLC W Vlg Stdt Hsg Proj | 5.00% | 05/15/40 | 361,324 | ||||
600,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt Inc, Ser A1, AMT | 3.38% | 07/01/25 | 597,991 | ||||
1,000,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt Inc, Ser A3, AMT | 4.30% | 07/01/40 | 1,012,091 | ||||
1,000,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Var Ref Rep Svcs Remk, Ser A, AMT (Mandatory put 05/01/23) (a) | 4.10% | 08/01/23 | 1,000,019 | ||||
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 | 149,665 | ||||
1,500,000 | CA St Poll Control Fin Auth Wtr Furnishing Rev Plant Bonds, AMT (a) | 5.00% | 07/01/37 | 1,504,157 | ||||
5,000 | CA St Prerefunded Various Purp (Pre-refunded maturity 04/01/26) | 5.00% | 10/01/35 | 5,438 | ||||
15,000 | CA St Pub Wks Brd Lease Rev Judicial Council CA, Ser B | 5.00% | 06/01/34 | 15,931 | ||||
310,000 | CA St Pub Wks Brd Lease Rev Various Corr Facs, Ser C | 5.00% | 11/01/26 | 343,063 | ||||
75,000 | CA St Ref | 4.00% | 08/01/34 | 77,945 | ||||
1,000,000 | CA St Ref | 4.00% | 03/01/36 | 1,059,782 | ||||
1,000,000 | CA St Ref | 5.00% | 11/01/39 | 1,113,295 | ||||
200,000 | CA St Ref Various Purp | 4.00% | 09/01/33 | 209,638 | ||||
565,000 | CA St Sch Fin Auth Chrt Sch Rev Arts in Action Chrt Schs, Ser A (a) | 5.00% | 06/01/30 | 578,424 | ||||
335,000 | CA St Sch Fin Auth Chrt Sch Rev Arts in Action Chrt Schs, Ser A (a) | 5.00% | 06/01/40 | 335,623 | ||||
600,000 | CA St Sch Fin Auth Chrt Sch Rev Fenton Chrt Schs Social Bonds, Ser A (a) | 4.00% | 07/01/30 | 571,773 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$700,000 | CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies Oceanside Proj, Ser A (a) | 5.00% | 10/01/32 | $771,662 | ||||
300,000 | CA St Sch Fin Auth Chrt Sch Rev Rocketship Pub Schs, Ser G (b) | 5.00% | 06/01/37 | 296,055 | ||||
100,000 | CA St Sch Fin Auth Chrt Sch Rev Summit Pub Schs (a) | 5.00% | 06/01/25 | 103,699 | ||||
210,000 | CA St Sch Fin Auth Chrt Sch Rev Summit Pub Schs (a) | 5.00% | 06/01/31 | 222,450 | ||||
1,000,000 | CA St Stwd Cmntys Dev Auth Mfh Rev Var Adams Boulevard & Harvard Gardens Apartments Sub, Ser L-1 (Mandatory put 03/01/24) | 3.50% | 03/01/26 | 1,000,650 | ||||
245,000 | CA St Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/27 | 265,310 | ||||
50,000 | CA St Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 4.00% | 04/01/32 | 51,306 | ||||
50,000 | CA St Stwd Cmntys Dev Auth Rev Ref Insd Enloe Med Ctr, CA MTG INS (Pre-refunded maturity 02/15/26) | 5.00% | 08/15/33 | 54,378 | ||||
500,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No 1 | 4.00% | 09/01/41 | 470,686 | ||||
200,000 | CA St Stwd Cmntys Dev Auth Stdt Hsg Rev Ref Chf Irvine LLC | 5.00% | 05/15/30 | 208,905 | ||||
280,000 | CA St Stwd Cmntys Dev Auth Stdt Hsg Rev Ref Chf Irvine LLC | 5.00% | 05/15/35 | 288,700 | ||||
1,170,000 | CA St Stwd Cmntys Dev Auth Stwd Rev Stwd Cmnty Infra Prog, Ser C-1 | 4.00% | 09/02/31 | 1,183,847 | ||||
95,000 | CA St Unrefunded Various Purp | 5.00% | 10/01/35 | 102,071 | ||||
705,000 | CA Stwd Cmntys Dev Auth Rev Kaiser Permanente J Remk, Ser 2004 (Mandatory put 11/01/29) | 5.00% | 04/01/36 | 822,615 | ||||
250,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/30 | 259,900 | ||||
300,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/33 | 311,707 | ||||
250,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (a) | 5.00% | 11/01/32 | 257,968 | ||||
100,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/30 | 108,340 | ||||
175,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/31 | 189,257 | ||||
385,000 | 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 | 414,858 | ||||
305,000 | Camarillo CA Cmnty Dev Commn Successor Agy Tax Allocation Ref Sub Lien, Ser B, BAM | 5.00% | 09/01/30 | 332,573 | ||||
450,000 | Chino CA Cmnty Facs Dist Spl Tax #2003-3 Impt Area #7 | 5.00% | 09/01/31 | 488,293 | ||||
250,000 | Compton CA Unif Sch Dist Los Angeles Co Schs Fing Prog, Ser A, COPS, BAM | 4.00% | 06/01/35 | 260,242 | ||||
200,000 | Compton CA Unif Sch Dist Los Angeles Co Schs Fing Prog, Ser A, COPS, BAM | 4.00% | 06/01/36 | 206,251 | ||||
210,000 | Cotati-Rohnert Park CA Unif Sch Dist 2016 Election, Ser C, AGM | 5.00% | 08/01/32 | 229,053 | ||||
2,000,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev Union S Bay Social Bonds, Ser A-2 (a) | 4.00% | 07/01/56 | 1,576,536 | ||||
295,000 | Del Mar CA Union Sch Dist Spl Tax Ref | 4.00% | 09/01/34 | 299,026 | ||||
150,000 | Dinuba CA Jt Unif Sch Dist, COPS, AGM | 4.00% | 02/01/35 | 156,165 | ||||
920,000 | E Bay CA Muni Util Dist Wtr Sys Rev Green Bond, Ser A | 5.00% | 06/01/38 | 1,040,262 | ||||
755,000 | El Dorado CA Irr Dist Rev Ref, Ser C | 4.00% | 03/01/34 | 787,000 | ||||
1,450,000 | Elk Grove CA Fin Auth Spl Tax Rev Laguna Ridge CFD #2005-1 | 4.00% | 09/01/50 | 1,300,543 | ||||
350,000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No 19 Mangini | 5.00% | 09/01/32 | 370,829 | ||||
155,000 | Fontana CA Spl Tax Cmnty Facs Dist #80 Bella Strada | 5.00% | 09/01/29 | 167,956 | ||||
500,000 | Fontana CA Spl Tax Cmnty Facs Dist #80 Bella Strada | 5.00% | 09/01/46 | 514,638 | ||||
240,000 | Fontana CA Spl Tax Spl Tax, The Meadows | 4.00% | 09/01/32 | 246,810 | ||||
165,000 | Fontana CA Unif Sch Dist Unrefunded, AGM | (c) | 02/01/33 | 120,533 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$140,000 | Fresno CA Jt Pwrs Fing Auth Lease Rev Ref Master Lease Proj, Ser A, AGM | 5.00% | 04/01/32 | $155,321 | ||||
340,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Ser A-1 | 5.00% | 06/01/26 | 371,935 | ||||
750,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Ser A-1 (Pre-refunded maturity 06/01/28) | 5.00% | 06/01/34 | 863,831 | ||||
1,000,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Tobacco Stlmt Asset Backed Bonds, Ser A-1 | 5.00% | 06/01/51 | 1,063,773 | ||||
150,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist #09-1, Ser C | 5.00% | 09/01/31 | 160,909 | ||||
1,000,000 | Kern CA Cmnty Clg Dist, Ser D | 5.25% | 08/01/39 | 1,177,675 | ||||
485,000 | King City CA Union Sch Dist Cap Apprec Election 1998-C, CABS, AMBAC | (c) | 08/01/29 | 399,314 | ||||
25,000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Mountain House Sch Facs | 4.00% | 09/01/33 | 25,574 | ||||
25,000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Mountain House Sch Facs | 4.00% | 09/01/34 | 25,403 | ||||
200,000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Mountain House Sch Facs | 4.00% | 09/01/40 | 193,201 | ||||
225,000 | Long Beach CA Arpt Rev Ref, Ser A, AGM | 5.00% | 06/01/30 | 266,912 | ||||
500,000 | Long Beach CA Arpt Rev, Sec C, AMT, AGM | 5.25% | 06/01/47 | 545,560 | ||||
750,000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.50% | 11/15/30 | 845,268 | ||||
50,000 | Los Angeles CA Dept of Arpts Arpt Rev Prerefunded Subord Ref, Ser D, AMT (Pre-refunded maturity 11/15/31) | 5.00% | 05/15/33 | 58,047 | ||||
460,000 | Los Angeles CA Dept of Arpts Arpt Rev Ref Sub Los Angeles Intl Arpt, Ser D, AMT | 5.00% | 05/15/32 | 512,682 | ||||
950,000 | Los Angeles CA Dept of Arpts Arpt Rev Unrefunded Subord Ref, Ser D, AMT | 5.00% | 05/15/33 | 1,089,200 | ||||
10,000 | Los Angeles CA Dept of Arpts, Ser E | 5.00% | 05/15/28 | 10,652 | ||||
1,000,000 | Los Angeles CA Dept of Wtr & Pwr Wtrwks Rev, Ser A | 5.00% | 07/01/48 | 1,079,900 | ||||
1,500,000 | Los Angeles CA Dept Wtr & Pwr Rev Ref Var Pwr Sys Subser A 3 Remk (d) | 1.28% | 07/01/35 | 1,500,000 | ||||
410,000 | Los Osos CA Cmnty Svcs Wstwtr Assmnt Dist #1 Ref Reassmnt | 3.13% | 09/02/32 | 411,977 | ||||
100,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/27 | 107,948 | ||||
250,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/33 | 267,252 | ||||
245,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/34 | 263,375 | ||||
500,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/44 | 518,400 | ||||
100,000 | Modesto CA Spl Tax Ref Cmnty Facs Dist # 2004-1 Vlg 1 #2 | 5.00% | 09/01/27 | 103,726 | ||||
200,000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (a) | 5.00% | 10/01/42 | 202,059 | ||||
1,115,000 | Natomas CA Unif Sch Dist, AGM | 3.00% | 08/01/36 | 1,056,563 | ||||
250,000 | Norco CA Spl Tax Ref Norco Ridge Ranch, BAM | 5.00% | 09/01/32 | 278,042 | ||||
1,000,000 | Northern CA Energy Auth Cmnty Spl Rev, Ser A (Mandatory put 07/01/24) | 4.00% | 07/01/49 | 1,006,083 | ||||
100,000 | Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac | 4.00% | 09/01/34 | 101,084 | ||||
65,000 | Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac | 4.00% | 09/01/35 | 64,672 | ||||
275,000 | Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac | 4.00% | 09/01/39 | 261,265 | ||||
650,000 | Palm Desert CA Spl Tax Ref Univ Park | 4.00% | 09/01/51 | 588,949 | ||||
250,000 | Palomar Hlth CA Rev Ref | 5.00% | 11/01/31 | 264,399 | ||||
750,000 | Pleasanton CA Unif Sch Dist | 3.00% | 08/01/36 | 710,692 | ||||
210,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/33 | 227,262 | ||||
220,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/34 | 237,277 | ||||
340,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/39 | 359,125 | ||||
525,000 | Ripon CA Redev Agy Successor Agy Tax Allocation Ref, BAM | 4.00% | 11/01/31 | 576,158 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$500,000 | River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2019-1 Phase 2 Pub Impts | 5.00% | 09/01/40 | $498,426 | ||||
575,000 | Riverside CA Unif Sch Dist Election of 2016, Ser B | 3.00% | 08/01/38 | 529,068 | ||||
185,000 | Riverside CA Unif Sch Dist Fing Auth Spl Tax Ref, BAM | 5.00% | 09/01/34 | 195,074 | ||||
750,000 | Riverside CA Wtr Rev, Ser A | 5.00% | 10/01/47 | 851,017 | ||||
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 | 1,038,100 | ||||
185,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac | 5.00% | 09/01/32 | 200,542 | ||||
160,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac | 5.00% | 09/01/33 | 172,811 | ||||
170,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac | 4.00% | 09/01/34 | 172,916 | ||||
150,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac | 4.00% | 09/01/35 | 151,108 | ||||
225,000 | Roseville CA Spl Tax Vlg CFD #1 | 4.00% | 09/01/33 | 229,918 | ||||
200,000 | Sacramento CA Spl Tax Natomas Meadows Cmnty Facs Dist #2007-01 (a) | 5.00% | 09/01/32 | 210,985 | ||||
500,000 | Sacramento CA Transient Occupancy Tax Rev Sub Convention Ctr Complex, Ser C | 5.00% | 06/01/32 | 558,323 | ||||
1,000,000 | Sacramento Cnty CA Arpt Sys Rev Ref, Ser C, AMT | 5.00% | 07/01/37 | 1,063,749 | ||||
1,000,000 | San Diego CA Pub Fac Fing Auth Swr Rev Subord, Ser A | 5.00% | 05/15/47 | 1,135,317 | ||||
1,075,000 | San Diego CA Pub Fac Fing Auth Wtr Rev, Ser A | 5.00% | 08/01/41 | 1,152,989 | ||||
1,500,000 | San Diego CA Unif Sch Dist Green Bond, Ser F2 | 5.00% | 07/01/42 | 1,708,229 | ||||
510,000 | San Diego Cnty CA Ltd Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A | 5.00% | 11/01/28 | 549,580 | ||||
350,000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Ref Sub Rev, Ser A | 5.00% | 07/01/30 | 390,513 | ||||
130,000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord Ref, Ser A | 5.00% | 07/01/39 | 141,829 | ||||
1,000,000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord, Ser B, AMT | 5.00% | 07/01/34 | 1,124,689 | ||||
85,000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No 2, Ser A | 4.00% | 09/01/33 | 87,527 | ||||
140,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref Second Ser, Ser 2020A, AMT | 5.00% | 05/01/37 | 152,221 | ||||
2,000,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/34 | 2,253,112 | ||||
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 | 437,579 | ||||
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 | 107,257 | ||||
935,000 | San Francisco City & Cnty CA, Ser B | 2.00% | 06/15/29 | 906,123 | ||||
175,000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Cap Apprec Ref, Ser A, NATL-RE | (c) | 01/15/29 | 143,604 | ||||
120,000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Ref Sr Lien Toll Road, Ser A | 4.00% | 01/15/37 | 123,004 | ||||
1,500,000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Sr Lien Ref, Ser A (Pre-refunded maturity 01/15/25) | 5.00% | 01/15/29 | 1,581,505 | ||||
1,145,000 | San Jose CA Arpt Rev Ref, Ser A, AMT, BAM | 4.00% | 03/01/34 | 1,187,754 | ||||
1,000,000 | San Luis Obispo Cnty CA Fing Auth Lease Rev Multiple Capital Projs Ref, Ser A | 5.25% | 11/15/40 | 1,143,291 | ||||
1,000,000 | San Mateo Cnty CA Transprtn Auth Sales Tax Rev Var Subord, Ser B (d) | 0.40% | 06/01/49 | 1,000,000 | ||||
1,500,000 | Sanger CA Fing Auth Wstwtr Rev Ref, AGM (Pre-refunded maturity 06/15/24) | 5.00% | 06/15/34 | 1,577,000 | ||||
500,000 | Santa Clara Vly CA Wtr Dist Safe Clean Wtr Rev Green Bond, Ser A | 5.00% | 08/01/40 | 587,220 | ||||
500,000 | Santa Clara Vly CA Wtr Dist Safe Clean Wtr Rev Green Bond, Ser A | 5.00% | 08/01/41 | 584,925 | ||||
800,000 | Santa Clarita CA Cmnty Facs Dist Vista Canyon #2016-1 (a) | 4.00% | 09/01/35 | 803,138 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$740,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/38 | $755,672 | ||||
150,000 | Temecula Vly CA Unif Sch Dist Cmnty Facs Dist #2014-1 | 5.00% | 09/01/32 | 160,122 | ||||
400,000 | Temecula Vly Unif Sch Dist Fing Auth CA Spl Tax Rev, BAM | 5.00% | 09/01/34 | 419,449 | ||||
500,000 | Temescal Vly CA Wtr Dist Spl Tax Terramor Cmnty Facs Dist #4 Impt Area #1 | 5.00% | 09/01/31 | 535,196 | ||||
250,000 | Tracy CA Cmnty Facs Dist | 5.00% | 09/01/33 | 266,800 | ||||
525,000 | Transbay Jt Powers Auth CA Green Bond Sr Tax Alloc Bonds, Ser A | 5.00% | 10/01/33 | 583,810 | ||||
850,000 | Tustin CA Cmnty Fac Dist Spl Tax Ref #06-1 Legacy Columbus Vlgs, Ser A | 5.00% | 09/01/35 | 891,647 | ||||
500,000 | Univ of California CA Rgts Med Center Pooled Ref Var Ref Remk, Ser B-1 (d) | 0.45% | 05/15/32 | 500,000 | ||||
1,295,000 | Western Placer Wst Mgmt Auth CA Solid Wst Rev Landfiel Impt Proj, Ser B | 5.00% | 06/01/42 | 1,399,715 | ||||
102,043,627 | ||||||||
Florida – 0.3% | ||||||||
105,000 | Parkland Preserve CDD FL Spl Assmnt Rev, Ser A | 4.50% | 05/01/24 | 105,224 | ||||
245,000 | Rhodine Road N CDD FL Spl Assmnt | 4.00% | 05/01/30 | 237,961 | ||||
343,185 | ||||||||
Guam – 0.1% | ||||||||
100,000 | Guam Govt Busn Privilege Tax Rev Ref, Ser D | 5.00% | 11/15/32 | 103,466 | ||||
Illinois – 0.1% | ||||||||
135,000 | Chicago IL Ref, Ser C, CABS | (c) | 01/01/24 | 130,701 | ||||
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 | 814,400 | ||||
Ohio – 0.6% | ||||||||
650,000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Ser B-2, Class 2 | 5.00% | 06/01/55 | 620,752 | ||||
Puerto Rico – 1.6% | ||||||||
1,000,000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/33 | 937,345 | ||||
560,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.55% | 07/01/40 | 552,161 | ||||
305,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2 | 4.33% | 07/01/40 | 292,746 | ||||
1,782,252 | ||||||||
Texas – 0.4% | ||||||||
370,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 380,344 | ||||
Utah – 0.4% | ||||||||
500,000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-2 | 4.00% | 06/01/52 | 378,899 |
Total Investments – 97.7% | 106,597,626 | ||
(Cost $107,286,358) | |||
Net Other Assets and Liabilities – 2.3% | 2,558,002 | ||
Net Assets – 100.0% | $109,155,628 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
10-Year U.S. Treasury Notes | Short | 13 | Mar 2023 | $ (1,488,703) | $(16,250) | |||||
Ultra 10-Year U.S. Treasury Notes | Short | 49 | Mar 2023 | (5,938,953) | (49,435) | |||||
$(7,427,656) | $(65,685) |
(a) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At January 31, 2023, securities noted as such amounted to $17,021,148 or 15.6% 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) | Zero coupon bond. |
(d) | 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 1/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 106,597,626 | $ — | $ 106,597,626 | $ — |
LIABILITIES TABLE | ||||
Total Value at 1/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts** | $ (65,685) | $ (65,685) | $ — | $ — |
* | 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 – 97.5% | ||||||||
Florida – 1.8% | ||||||||
$250,000 | Ridge at Apopka CDD Fl Spl Assmnt | 5.38% | 05/01/42 | $250,994 | ||||
Guam – 1.9% | ||||||||
250,000 | Guam Intl Arpt Auth Prerefunded Gen, Ser C, AMT, AGM (Pre-refunded maturity 10/01/23) | 6.13% | 10/01/43 | 255,382 | ||||
New York – 90.3% | ||||||||
300,000 | Build NYC Res Corp NY Rev Acad Leadership Chrt Sch Proj | 4.00% | 06/15/31 | 302,124 | ||||
250,000 | Build NYC Res Corp NY Rev Global Cmnty Chrt Sch Proj, Ser A | 5.00% | 06/15/42 | 247,842 | ||||
100,000 | Build NYC Res Corp NY Rev Social Bond E Harlem Scholars Acdmy Chrt Sch Proj (a) | 5.75% | 06/01/42 | 104,548 | ||||
300,000 | Build NYC Res Corp NY Rev Social Bond Kipp NYC Pub Sch Facs Canal W Proj | 5.00% | 07/01/42 | 316,482 | ||||
250,000 | Dutchess Cnty NY Loc Dev Corp Rev Marist Clg Proj | 5.00% | 07/01/52 | 266,589 | ||||
250,000 | Erie Cnty NY Indl Dev Agy Schfac Rev Ref City Sch Dist Buffalo Proj, Ser A | 5.00% | 05/01/25 | 265,058 | ||||
250,000 | Harrison NY Wtr Dist #2 Fire Prot Dist #2 | 4.00% | 08/01/34 | 271,248 | ||||
245,000 | Horseheads NY Centrl Sch Dist, BANS | 3.00% | 06/22/23 | 245,015 | ||||
250,000 | Hudson Yards Infra Corp NY 2nd Indenture Rev Ref, Ser A | 5.00% | 02/15/38 | 270,389 | ||||
250,000 | Irondequoit NY, Ser B, BANS | 4.00% | 12/15/23 | 253,141 | ||||
295,000 | Livingston Cnty NY Ref | 4.00% | 05/01/33 | 321,950 | ||||
300,000 | Long Beach NY, Ser B, BAM | 5.25% | 07/15/32 | 342,751 | ||||
350,000 | Long Island NY Pwr Auth Elec Sys Rev Ref, Ser A | 5.00% | 09/01/35 | 402,479 | ||||
255,000 | Met Transprtn Auth NY Dedicated Tax Fund Green Bond, Ser B-1 | 5.00% | 11/15/36 | 274,341 | ||||
275,000 | Met Transprtn Auth NY Rev Green Bond Ref, Sec C-1 | 4.00% | 11/15/37 | 266,536 | ||||
250,000 | Monroe Cnty NY Indl Dev Corp Rev Ref Rochester Regl Hlth Proj, Ser A | 5.00% | 12/01/30 | 277,049 | ||||
200,000 | Nassau Cnty NY Indl Dev Agy Var Ref & Impt Cold Spring (b) | 1.00% | 01/01/34 | 200,000 | ||||
305,000 | Nassau Cnty NY, Ser A, AGM | 5.00% | 04/01/29 | 353,911 | ||||
300,000 | New York City NY Hsg Dev Corp Mf Hsg Rev Sustainable Dev Bonds, Ser F-2A (Mandatory put 12/22/26) | 3.40% | 11/01/62 | 302,603 | ||||
250,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref 2nd Gen Resolution, Ser EE | 5.00% | 06/15/41 | 278,154 | ||||
200,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref 2nd Gen Resolution, Subser EE-2 | 5.00% | 06/15/40 | 220,022 | ||||
250,000 | New York City NY Transitional Fin Auth Bldg Aid Rev Ref-Sub, Ser S-1A | 5.00% | 07/15/35 | 300,707 | ||||
250,000 | New York City NY Transitional FIn Auth Rev Multi Modal Bonds Subord, Ser B-1 | 5.00% | 08/01/34 | 281,611 | ||||
250,000 | New York St Dorm Auth Revs Non St Supported Debt Memorial Sloan Kettering Cancer Ctr, Ser 1 | 5.00% | 07/01/39 | 273,501 | ||||
250,000 | New York St Dorm Auth Revs Non St Supported Debt Ref-Northwell Hlth Oblig Grp, Ser A | 5.00% | 05/01/38 | 274,290 | ||||
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 | 292,775 | ||||
265,000 | New York St Dorm Auth Revs Non St Supported Debt Trustees Of Columbia Univ | 5.00% | 10/01/25 | 285,135 | ||||
245,000 | New York St Dorm Auth Revs Non St Supported Debt, Ser A | 5.00% | 07/01/40 | 268,583 | ||||
250,000 | NY NY Fiscal 2020, Ser B-1 | 5.00% | 10/01/32 | 291,266 | ||||
280,000 | NY St Dorm Auth Revs Non St Supported Debt Ref New Sch, Ser A | 5.00% | 07/01/31 | 327,649 | ||||
290,000 | NY St Envrnmntl Facs Corp St Clean Wtr & Drinking Wtr Ref Subord, Ser B | 5.00% | 06/15/44 | 317,923 | ||||
250,000 | NY St Thruway Auth Gen Rev Jr Indebtedness Obl Subord, Ser B | 4.00% | 01/01/45 | 244,780 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$250,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref American Airls Inc John F Kennedy Intl Arpt Proj, AMT | 5.00% | 08/01/31 | $250,002 | ||||
290,000 | NY St Transprtn Dev Corp Spl Rev Terminal 4 JFK Intl Arpt Proj, AMT | 5.00% | 12/01/30 | 320,957 | ||||
250,000 | NY St Urban Dev Corp Rev Personal Income Tax, Ser A | 5.00% | 03/15/35 | 290,073 | ||||
250,000 | Oyster Bay NY, Ser A, AGM | 2.00% | 03/01/35 | 216,053 | ||||
250,000 | Port Auth Of NY & NJ NY Ref Two Hundred Ninth Ser | 5.00% | 07/15/32 | 284,073 | ||||
270,000 | Rockland Cnty NY Sol Wst Mgmt Auth Green Bond, Ser A, AMT | 5.00% | 12/15/28 | 302,422 | ||||
290,000 | Southampton Vlg NY Ambulance Bldg | 2.13% | 03/01/29 | 286,138 | ||||
250,000 | Syracuse Regl Arpt Auth NY Sr Arpt Rev Ref, AMT | 4.00% | 07/01/36 | 244,381 | ||||
250,000 | Triborough NY Bridge & Tunnel Auth Revs Ref, Ser B | 5.00% | 11/15/38 | 269,683 | ||||
250,000 | Westchester Cnty NY Green Bond, Ser B | 4.00% | 12/15/34 | 278,471 | ||||
250,000 | Westchester NY Tobacco Asset Securitization Ref Sr, Ser B | 5.00% | 06/01/41 | 258,801 | ||||
250,000 | Yonkers NY, Ser F, BAM | 5.00% | 11/15/41 | 276,954 | ||||
12,218,460 | ||||||||
Puerto Rico – 3.5% | ||||||||
250,000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/33 | 234,336 | ||||
250,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2 | 4.33% | 07/01/40 | 239,956 | ||||
474,292 |
Total Investments – 97.5% | 13,199,128 | ||
(Cost $12,915,880) | |||
Net Other Assets and Liabilities – 2.5% | 333,485 | ||
Net Assets – 100.0% | $13,532,613 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
Ultra 10-Year U.S. Treasury Notes | Short | 1 | Mar 2023 | $ (121,203) | $(1,459) |
(a) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At January 31, 2023, securities noted as such amounted to $104,548 or 0.8% of net assets. |
(b) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
AGM | Assured Guaranty Municipal Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
BANS | Bond Anticipation Notes |
ASSETS TABLE | ||||
Total Value at 1/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 13,199,128 | $ — | $ 13,199,128 | $ — |
LIABILITIES TABLE | ||||
Total Value at 1/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contract** | $ (1,459) | $ (1,459) | $ — | $ — |
* | 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 | $ 106,597,626 | $ 13,199,128 | |
Cash | 2,532,287 | 189,681 | |
Cash segregated as collateral for open futures contracts | 160,100 | 2,750 | |
Due from advisor | — | 1,094 | |
Interest receivable | 1,146,179 | 140,179 | |
Total Assets | 110,436,192 | 13,532,832 | |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | 1,208,259 | — | |
Investment advisory fees | 58,540 | — | |
Variation margin | 13,765 | 219 | |
Total Liabilities | 1,280,564 | 219 | |
NET ASSETS | $109,155,628 | $13,532,613 | |
NET ASSETS consist of: | |||
Paid-in capital | $ 118,343,875 | $ 14,712,564 | |
Par value | 22,000 | 5,000 | |
Accumulated distributable earnings (loss) | (9,210,247) | (1,184,951) | |
NET ASSETS | $109,155,628 | $13,532,613 | |
NET ASSET VALUE, per share | $49.62 | $27.07 | |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 2,200,002 | 500,002 | |
Investments, at cost | $107,286,358 | $12,915,880 |
First Trust California Municipal High Income ETF (FCAL) | First Trust New York Municipal High Income ETF (FMNY) | |||
INVESTMENT INCOME: | ||||
Interest | $ 1,777,461 | $ 204,168 | ||
Total investment income | 1,777,461 | 204,168 | ||
EXPENSES: | ||||
Investment advisory fees | 366,573 | 36,641 | ||
Total expenses | 366,573 | 36,641 | ||
Fees waived by the investment advisor | (57,858) | (8,456) | ||
Net expenses | 308,715 | 28,185 | ||
NET INVESTMENT INCOME (LOSS) | 1,468,746 | 175,983 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments | (5,038,603) | (287,891) | ||
Futures contracts | 411,807 | 30,048 | ||
Net realized gain (loss) | (4,626,796) | (257,843) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 3,004,591 | 286,274 | ||
Futures contracts | 146,737 | 8,752 | ||
Net change in unrealized appreciation (depreciation) | 3,151,328 | 295,026 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (1,475,468) | 37,183 | ||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(6,722) | $ 213,166 |
First Trust California Municipal High Income ETF (FCAL) | First Trust New York Municipal High Income ETF (FMNY) | ||||||
Six Months Ended 1/31/2023 (Unaudited) | Year Ended 7/31/2022 | Six Months Ended 1/31/2023 (Unaudited) | Year Ended 7/31/2022 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 1,468,746 | $ 2,451,597 | $ 175,983 | $ 283,942 | |||
Net realized gain (loss) | (4,626,796) | (2,312,252) | (257,843) | (1,342,835) | |||
Net change in unrealized appreciation (depreciation) | 3,151,328 | (10,447,640) | 295,026 | (217,582) | |||
Net increase (decrease) in net assets resulting from operations | (6,722) | (10,308,295) | 213,166 | (1,276,475) | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (1,445,926) | (2,432,622) | (170,001) | (202,851) | |||
Return of capital | — | (15,880) | — | — | |||
Total distributions to shareholders | (1,445,926) | (2,448,502) | (170,001) | (202,851) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 7,450,085 | 41,720,854 | 3,959,149 | 2,621,647 | |||
Cost of shares redeemed | (18,620,004) | (12,384,469) | (1,318,023) | (5,549,769) | |||
Net increase (decrease) in net assets resulting from shareholder transactions | (11,169,919) | 29,336,385 | 2,641,126 | (2,928,122) | |||
Total increase (decrease) in net assets | (12,622,567) | 16,579,588 | 2,684,291 | (4,407,448) | |||
NET ASSETS: | |||||||
Beginning of period | 121,778,195 | 105,198,607 | 10,848,322 | 15,255,770 | |||
End of period | $ 109,155,628 | $ 121,778,195 | $ 13,532,613 | $ 10,848,322 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 2,450,002 | 1,900,002 | 400,002 | 500,002 | |||
Shares sold | 150,000 | 800,000 | 150,000 | 100,000 | |||
Shares redeemed | (400,000) | (250,000) | (50,000) | (200,000) | |||
Shares outstanding, end of period | 2,200,002 | 2,450,002 | 500,002 | 400,002 |
Six Months Ended 1/31/2023 (Unaudited) | Year Ended July 31, | |||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||
Net asset value, beginning of period | $ 49.71 | $ 55.37 | $ 53.16 | $ 52.70 | $ 50.11 | $ 50.14 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss) | 0.65 | 1.08 | 1.16 | 1.17 | 1.49 | 1.45 | ||||||
Net realized and unrealized gain (loss) | (0.11) | (5.65) | 2.19 (a) | 0.51 | 2.60 | (0.04) | ||||||
Total from investment operations | 0.54 | (4.57) | 3.35 | 1.68 | 4.09 | 1.41 | ||||||
Distributions paid to shareholders from: | ||||||||||||
Net investment income | (0.63) | (1.08) | (1.14) | (1.17) | (1.50) | (1.40) | ||||||
Net realized gain | — | — | — | — | — | (0.04) | ||||||
Return of capital | — | (0.01) | — | (0.05) | — | — | ||||||
Total distributions | (0.63) | (1.09) | (1.14) | (1.22) | (1.50) | (1.44) | ||||||
Net asset value, end of period | $49.62 | $49.71 | $55.37 | $53.16 | $52.70 | $50.11 | ||||||
Total return (b) | 1.13% | (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) | $ 109,156 | $ 121,778 | $ 105,199 | $ 87,706 | $ 34,257 | $ 17,539 | ||||||
Ratio of total expenses to average net assets | 0.65% (c) | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% | ||||||
Ratio of net expenses to average net assets | 0.55% (c) | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% | ||||||
Ratio of net investment income (loss) to average net assets | 2.60% (c) | 2.09% | 2.16% | 2.28% | 3.01% | 2.97% | ||||||
Portfolio turnover rate (d) | 33% | 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) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Six Months Ended 1/31/2023 (Unaudited) | Year Ended 7/31/2022 | Period Ended 7/31/2021 (a) | |||
Net asset value, beginning of period | $ 27.12 | $ 30.51 | $ 30.00 | ||
Income from investment operations: | |||||
Net investment income (loss) | 0.35 | 0.68 | 0.09 | ||
Net realized and unrealized gain (loss) | (0.01) | (3.61) | 0.48 | ||
Total from investment operations | 0.34 | (2.93) | 0.57 | ||
Distributions paid to shareholders from: | |||||
Net investment income | (0.39) | (0.46) | (0.04) | ||
Net realized gain | — | — | (0.02) | ||
Total distributions | (0.39) | (0.46) | (0.06) | ||
Net asset value, end of period | $27.07 | $27.12 | $30.51 | ||
Total return (b) | 1.31% | (9.66)% | 1.90% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 13,533 | $ 10,848 | $ 15,256 | ||
Ratio of total expenses to average net assets | 0.65% (c) | 0.65% | 0.65% (c) | ||
Ratio of net expenses to average net assets | 0.50% (c) | 0.50% | 0.50% (c) | ||
Ratio of net investment income (loss) to average net assets | 3.12% (c) | 2.18% | 1.41% (c) | ||
Portfolio turnover rate (d) | 23% | 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 | $101.47 | $251,158 | $253,673 | 0.23% | ||
CA St Sch Fin Auth Chrt Sch Rev Rocketship Pub Schs, Ser G, 5.00%, 06/01/37 | 12/05/17 | 300,000 | 98.69 | 307,944 | 296,055 | 0.27 | ||
$559,102 | $549,728 | 0.50% |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Tax-exempt Income | Distributions paid from Return of Capital | ||||
First Trust California Municipal High Income ETF | $ 19,131 | $ — | $ 2,413,491 | $ 15,880 | |||
First Trust New York Municipal High Income ETF | — | — | 202,851 | — |
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 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
First Trust California Municipal High Income ETF | $ 107,286,358 | $ 2,163,771 | $ (2,918,188) | $ (754,417) | |||
First Trust New York Municipal High Income ETF | 12,915,880 | 337,866 | (56,077) | 281,789 |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.65000% |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.63375% |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.61750% |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.60125% |
Fund net assets greater than $10 billion | 0.58500% |
Purchases | Sales | ||
First Trust California Municipal High Income ETF | $ 35,568,936 | $ 44,611,498 | |
First Trust New York Municipal High Income ETF | 4,606,382 | 2,472,786 | |
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* | $ 65,685 |
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* | $ 1,459 |
Interest Rate Risk | ||
Statements of Operations Location | FCAL | FMNY |
Net realized gain (loss) on futures contracts | $411,807 | $30,048 |
Net change in unrealized appreciation (depreciation) on futures contracts | 146,737 | 8,752 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Six Months Ended
January 31, 2023
1 | |
2 | |
5 | |
6 | |
7 | |
20 | |
21 | |
22 | |
23 | |
24 | |
31 |
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
6 Months Ended 1/31/23 | 1 Year Ended 1/31/23 | 5 Years Ended 1/31/23 | Inception (11/1/17) to 1/31/23 | 5 Years Ended 1/31/23 | Inception (11/1/17) to 1/31/23 | ||
Fund Performance | |||||||
NAV | -1.00% | -8.99% | 2.36% | 2.38% | 12.39% | 13.12% | |
Market Price | -1.00% | -9.02% | 2.39% | 2.38% | 12.55% | 13.14% | |
Index Performance | |||||||
Bloomberg Municipal Bond Index | 0.73% | -3.25% | 2.07% | 1.84% | 10.77% | 10.05% | |
Blended Benchmark(1) | 0.82% | -2.75% | 3.06% | 2.84% | 16.28% | 15.85% |
(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) |
Special Assessment | 10.7% |
Continuing Care Retirement Communities | 10.3 |
Industrial Development Bond | 10.1 |
Education | 8.7 |
Airport | 6.6 |
Government Obligation Bond - Limited Tax | 6.4 |
Dedicated Tax | 6.3 |
Gas | 6.1 |
Government Obligation Bond - Unlimited Tax | 5.8 |
Hospital | 5.2 |
Tax Increment | 2.8 |
Tobacco | 2.8 |
Utility | 2.2 |
Certificates of Participation | 2.1 |
Higher Education | 1.9 |
Student Housing | 1.8 |
Water & Sewer | 1.4 |
Insured | 1.4 |
Toll Road | 1.0 |
Local Housing | 0.9 |
Pre-refunded/Escrowed-to-maturity | 0.8 |
Hotel | 0.6 |
Skilled Nursing | 0.6 |
Port | 0.4 |
Housing | 0.3 |
Student Loan | 0.1 |
Cash | 2.7 |
Total | 100.0% |
Credit Rating(2) | % of Total Investments (including cash) |
AAA | 1.4% |
AA | 12.1 |
A | 16.1 |
BBB | 11.3 |
BB | 13.6 |
B | 3.0 |
Not Rated | 39.8 |
Cash | 2.7 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 97.8% |
Net Other Assets and Liabilities* | 2.2 |
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.
Performance in municipal bond investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size.
Beginning Account Value August 1, 2022 | Ending Account Value January 31, 2023 | 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 | $990.00 | 0.60% | $3.01 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.18 | 0.60% | $3.06 |
(a) | These expense ratios reflect expense waivers. See Note 3 in the Notes to Financial Statements. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (August 1, 2022 through January 31, 2023), multiplied by 184/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 97.8% | ||||||||
Alabama – 2.6% | ||||||||
$1,250,000 | Black Belt Energy Gas Dist AL Gas Proj Rev Gas Proj, Ser F (Mandatory put 12/01/28) | 5.50% | 11/01/53 | $1,343,195 | ||||
2,000,000 | Black Belt Energy Gas Dist AL Gas Proj Rev Proj No. 6, Ser B (Mandatory put 12/01/26) | 4.00% | 10/01/52 | 2,004,058 | ||||
500,000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 (Mandatory put 6/01/29) | 5.25% | 02/01/53 | 536,535 | ||||
1,000,000 | Columbia AL Indl Dev Brd Pollcontrol Rev Var Ref AL Pwr Co Proj, Ser A (a) | 1.35% | 12/01/37 | 1,000,000 | ||||
2,425,000 | SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A (Mandatory put 10/01/28) | 4.00% | 11/01/51 | 2,428,148 | ||||
800,000 | SE Energy Auth AL Cmdy Sply Rev Proj #4, Ser B-1 (Mandatory put 08/01/28) | 5.00% | 05/01/53 | 838,753 | ||||
8,150,689 | ||||||||
Arizona – 3.1% | ||||||||
780,000 | AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj (b) | 5.00% | 07/01/39 | 782,087 | ||||
750,000 | AZ St Indl Dev Auth Edu Rev Doral Acdmy NV Fire Mesa & Red Rock Cmps Proj, Ser A (b) | 5.00% | 07/15/39 | 734,877 | ||||
400,000 | AZ St Indl Dev Auth Edu Rev Lone Mountain Cmps Proj, Ser A (b) | 5.00% | 12/15/39 | 402,207 | ||||
1,255,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser D (b) | 4.00% | 07/01/27 | 1,227,147 | ||||
500,000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (b) | 4.00% | 07/15/51 | 390,357 | ||||
1,000,000 | AZ St Indl Dev Auth Edu Rev Somerset Acdmy of LV Aliante & Skye Canyon Cmps Proj, Ser A (b) | 4.00% | 12/15/41 | 856,778 | ||||
1,000,000 | AZ St Indl Dev Auth Edu Rev Somerset Acdmy of LV Aliante & Skye Canyon Cmps Proj, Ser A (b) | 4.00% | 12/15/51 | 784,166 | ||||
500,000 | AZ St Indl Dev Auth Edu Rev, Ser A (b) | 5.00% | 07/15/40 | 486,928 | ||||
500,000 | Glendale AZ Indl Dev Auth Sr Living Facs Rev Royal Oaks Inspirata Pointe Proj, Ser A | 5.00% | 05/15/41 | 475,229 | ||||
1,000,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Schs Proj Auth, Ser B (b) | 5.00% | 07/01/54 | 934,053 | ||||
2,000,000 | Phoenix AZ Indl Dev Auth Hotel Rev Sr Falcon Properties LLC Proj, Ser A (b) | 4.00% | 12/01/51 | 1,592,128 | ||||
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 | 104,417 | ||||
1,000,000 | Pima Cnty AZ Indl Dev Auth Sr Living Rev La Posada at Pusch Ridge Proj, Ser A (b) | 6.75% | 11/15/42 | 1,046,499 | ||||
9,816,873 | ||||||||
Arkansas – 0.9% | ||||||||
3,000,000 | AR Dev Fin Auth Envrnmntl Rev Green Bond United States Steel Corp Proj, AMT (b) | 5.45% | 09/01/52 | 3,001,695 | ||||
California – 5.7% | ||||||||
1,250,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Green Bond, Ser B-1 (Mandatory put 08/01/31) | 4.00% | 02/01/52 | 1,267,902 | ||||
250,000 | CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Green Bond, Ser A (b) | 5.00% | 11/15/46 | 224,941 | ||||
250,000 | CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Green Bond, Ser A (b) | 5.00% | 11/15/51 | 221,510 | ||||
850,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj, Ser A (b) | 5.00% | 07/01/38 | 827,694 | ||||
450,000 | CA St Muni Fin Auth Chrt Sch Rev, Ser A (b) | 5.50% | 06/01/38 | 455,690 | ||||
205,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | 219,789 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$1,250,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 5.00% | 10/01/44 | $1,304,258 | ||||
1,000,000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 992,125 | ||||
1,250,000 | CA St Poll Control Fin Auth Wtr Furnishing Rev Plant Bonds, AMT (b) | 5.00% | 07/01/37 | 1,253,464 | ||||
1,000,000 | CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies Oceanside Proj, Ser A (b) | 5.00% | 10/01/42 | 1,052,865 | ||||
550,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (b) | 5.00% | 12/01/33 | 571,463 | ||||
1,500,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev The Link Glendale Social Bonds, Ser A-2 (b) | 4.00% | 07/01/56 | 1,220,122 | ||||
500,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev Union S Bay Social Bonds, Ser A-2 (b) | 4.00% | 07/01/56 | 394,134 | ||||
1,000,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Tobacco Stlmt Asset Backed Bonds, Ser A-1 | 5.00% | 06/01/51 | 1,063,774 | ||||
300,000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (b) | 5.00% | 10/01/42 | 303,088 | ||||
450,000 | Palm Desert CA Spl Tax Ref Univ Park | 4.00% | 09/01/41 | 427,987 | ||||
400,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 4.00% | 09/01/41 | 379,945 | ||||
1,000,000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord, Ser B, AMT | 5.00% | 07/01/46 | 1,060,663 | ||||
2,000,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev, Ser A, AMT | 5.00% | 05/01/44 | 2,101,543 | ||||
1,000,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021 | 4.00% | 09/01/46 | 911,701 | ||||
1,615,000 | San Luis Obispo Cnty CA Fing Auth Lease Rev Multiple Capital Projs Ref, Ser A | 5.25% | 11/15/42 | 1,843,922 | ||||
18,098,580 | ||||||||
Colorado – 8.6% | ||||||||
1,125,000 | Allison Vly Met Dist #2 CO Ref | 4.70% | 12/01/47 | 941,120 | ||||
1,000,000 | Baseline Met Dist #1 CO Spl Rev, Ser A | 5.00% | 12/01/51 | 884,646 | ||||
525,000 | Brighton Crossing Met Dist #6 CO, Ser A | 5.00% | 12/01/35 | 509,103 | ||||
1,000,000 | Cascade Ridge Met Dist CO | 5.00% | 12/01/51 | 852,415 | ||||
515,000 | Chambers Highpoint Met Dist #2 CO | 5.00% | 12/01/41 | 479,753 | ||||
1,000,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp (b) | 5.00% | 12/15/45 | 1,020,314 | ||||
1,500,000 | CO St Hlth Facs Auth Hosp Rev Aberdeen Ridge, Ser A | 5.00% | 05/15/49 | 1,227,834 | ||||
500,000 | CO St Hlth Facs Auth Hosp Rev Aberdeen Ridge, Ser A | 5.00% | 05/15/58 | 389,884 | ||||
1,400,000 | CO St Hlth Facs Auth Rev Ref Christian Living Neighborhoods Proj | 5.00% | 01/01/37 | 1,287,703 | ||||
950,000 | CO St Hlth Facs Auth Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/39 | 938,898 | ||||
625,000 | CO St Hlth Facs Auth Rev Sr Living Ralston Creek Arvada Proj, Ser A (c) (d) | 5.25% | 11/01/32 | 306,250 | ||||
1,120,000 | Denver City & Cnty CO Arpt Rev Ref, Ser D, AMT | 5.75% | 11/15/40 | 1,321,443 | ||||
1,100,000 | Denver City & Cnty CO Arpt Rev Ref, Ser D, AMT | 5.75% | 11/15/45 | 1,272,041 | ||||
1,220,000 | Denver City & Cnty CO Arpt Rev, Ser A, AMT | 5.00% | 11/15/41 | 1,327,461 | ||||
1,000,000 | Denver CO City & Cnty Var Ref, Ser A3, COPS (a) | 1.25% | 12/01/31 | 1,000,000 | ||||
500,000 | Denver CO Intl Busn Ctr CO Met Dist #1 Subord, Ser B | 6.00% | 12/01/48 | 502,319 | ||||
1,700,000 | Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr Bonds, Ser A (b) | 5.00% | 12/01/41 | 1,562,890 | ||||
1,510,000 | Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr Bonds, Ser A (b) | 5.00% | 12/01/51 | 1,291,261 | ||||
1,500,000 | Four Corners Busn Impt Dist CO Ltd Tax Supported | 6.00% | 12/01/52 | 1,406,233 | ||||
1,000,000 | Grandview Reserve Met Dist #3 CO Sr Bonds, Ser A | 6.25% | 12/01/52 | 964,585 | ||||
500,000 | Independence Met Dist #3 CO, Ser A | 6.25% | 12/01/49 | 465,528 | ||||
575,000 | Jefferson Ctr CO Met Dist #1 Spl Rev, Ser A-2 | 4.13% | 12/01/40 | 492,640 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado (Continued) | ||||||||
$1,000,000 | Meridian Ranch Met Dist 2018 Subdistrict CO | 6.75% | 12/01/52 | $1,003,487 | ||||
905,000 | Mountain Brook Met Dist CO | 4.50% | 12/01/41 | 740,606 | ||||
500,000 | Murphy Creek Met Dist #5 CO Sr Bonds, Ser A | 6.00% | 12/01/52 | 497,200 | ||||
500,000 | Peak Met Dist #1 CO, Ser A (b) | 4.00% | 12/01/35 | 431,583 | ||||
1,000,000 | Peak Met Dist #1 CO, Ser A (b) | 5.00% | 12/01/41 | 936,978 | ||||
1,500,000 | Prairie Ctr CO Met Dist #3 Ltd Property Tax Supported Pri Ref, Ser A (b) | 5.00% | 12/15/41 | 1,499,903 | ||||
500,000 | Prairie Ctr Met Dist #7 CO | 4.13% | 12/15/36 | 447,875 | ||||
785,000 | Siena Lake Met Dist CO | 3.25% | 12/01/31 | 670,436 | ||||
500,000 | Siena Lake Met Dist CO | 4.00% | 12/01/51 | 378,050 | ||||
500,000 | Trails at Crowfoot Met Dist #3 CO Sr Ser, Ser A | 5.00% | 12/01/39 | 487,197 | ||||
27,537,636 | ||||||||
Connecticut – 3.5% | ||||||||
250,000 | Bridgeport CT, Ser A, BAM | 5.00% | 02/01/31 | 286,348 | ||||
2,000,000 | CT St Hlth & Eductnl Facs Auth Rev Covenant Home Inc, Ser B | 5.00% | 12/01/40 | 2,039,682 | ||||
540,000 | CT St Hlth & Eductnl Facs Auth Rev McLean Issue, Ser A (b) | 5.00% | 01/01/55 | 506,499 | ||||
2,725,000 | CT St Hlth & Eductnl Facs Auth Rev Trinity Hlth Corp | 5.00% | 12/01/45 | 2,804,858 | ||||
800,000 | CT St Hlth & Eductnl Facs Auth Rev, Ser A | 4.00% | 07/01/37 | 807,710 | ||||
1,250,000 | CT St Spl Tax Oblig Rev, Ser A | 5.00% | 05/01/41 | 1,413,114 | ||||
2,500,000 | Harbor Point CT Infra Impt Dist Spl Oblig Rev Ref Harbor Point Proj Ltd (b) | 5.00% | 04/01/39 | 2,502,900 | ||||
480,000 | Steel Point Infra Impt Dist CT Spl Oblig Rev Steelpointe Harbor Proj (b) | 4.00% | 04/01/36 | 434,085 | ||||
550,000 | Steel Point Infra Impt Dist CT Spl Oblig Rev Steelpointe Harbor Proj (b) | 4.00% | 04/01/41 | 469,642 | ||||
11,264,838 | ||||||||
Delaware – 0.2% | ||||||||
473,000 | Millsboro DE Spl Oblig Ref Plantation Lakes Spl Dev Dist (b) | 5.00% | 07/01/28 | 478,198 | ||||
District of Columbia – 0.3% | ||||||||
880,000 | DC Rev Rocketship DC Oblig Grp, Ser A (b) | 5.00% | 06/01/41 | 872,641 | ||||
Florida – 14.0% | ||||||||
500,000 | Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at The Univ of FL Inc Proj | 4.00% | 10/01/40 | 426,523 | ||||
445,000 | Capital Trust Agy FL Eductnl Facs Rev Academir Chrt Schs Inc Proj, Ser A (b) | 4.00% | 07/01/41 | 374,243 | ||||
525,000 | Capital Trust Agy FL Eductnl Facs Rev Academir Chrt Schs Inc Proj, Ser A (b) | 4.00% | 07/01/51 | 403,752 | ||||
200,000 | Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory Sch Inc Proj, Ser A | 4.00% | 08/01/30 | 202,795 | ||||
300,000 | Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory Sch Inc Proj, Ser A | 5.00% | 08/01/40 | 309,903 | ||||
750,000 | Charlotte Cnty FL Indl Dev Auth Util Sys Rev Town & Country Utils Proj, Ser A, AMT (b) | 4.00% | 10/01/41 | 627,634 | ||||
1,000,000 | Charlotte Cnty FL Indl Dev Auth Util Sys Rev Town & Country Utils Proj, Ser A, AMT (b) | 4.00% | 10/01/51 | 772,501 | ||||
650,000 | Coco Palms FL CDD Spl Assmnt | 4.50% | 05/01/32 | 648,764 | ||||
600,000 | Cypress Bluff CDD FL Spl Assmnt Del Web Proj, Ser A (b) | 3.63% | 05/01/40 | 490,226 | ||||
2,650,000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area Two | 4.00% | 05/01/42 | 2,271,154 | ||||
2,855,000 | Epperson N CDD FL Capital Impt Rev Assmnt Area #2 | 4.00% | 05/01/51 | 2,274,417 | ||||
1,250,000 | Fallschase Cmnty Dev Dist FL Spl Assmnt | 3.38% | 05/01/41 | 981,907 | ||||
1,385,000 | FL St Dev Fin Corp Eductnl Facs Rev Ref Global Outreach Chrt Acdmy Proj, Ser A (b) | 4.00% | 06/30/56 | 1,018,746 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$1,005,000 | FL St Dev Fin Corp Sr Living Rev Ref Mayflower Retmnt Cmnty Proj, Ser A (b) | 4.00% | 06/01/41 | $791,809 | ||||
500,000 | Forest Lake Cmnty Dev Dist FL Spl Assmnt Assmnt Area 1 Proj (b) | 4.00% | 05/01/40 | 435,320 | ||||
2,175,000 | Gainesville FL Utilities Sys Rev Var Ref Remk, Ser A (a) | 1.22% | 10/01/26 | 2,175,000 | ||||
1,060,000 | Gulfstream Polo Cmnty Dev Dist FL Spl Assmnt Phase 2 Proj | 4.38% | 11/01/49 | 944,170 | ||||
1,000,000 | Hills Minneola Cmnty Dev Dist FL Spl Assmnt Rev S Parcel Assmnt Area (b) | 4.00% | 05/01/40 | 872,334 | ||||
750,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev N E Sector Proj Phase 1A | 5.00% | 05/01/38 | 754,425 | ||||
1,325,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Stewardship Dist Azario Proj | 4.00% | 05/01/50 | 1,065,027 | ||||
2,575,000 | Lee Cnty FL Indl Dev Auth Hlthcr Facs Rev Shell Point Waterside Hlth Proj | 5.00% | 11/15/49 | 2,567,264 | ||||
1,500,000 | LTC Ranch West Rsdl Cmnty Dev Dist Spl Assmnt Rev Assmnt Area One Proj, Ser A | 4.00% | 05/01/52 | 1,190,170 | ||||
2,570,000 | Miami-Dade Cnty FL Aviation Rev Ref, Ser A, AMT | 5.00% | 10/01/38 | 2,631,817 | ||||
2,625,000 | Miami-Dade Cnty FL Aviation Rev Ref, Ser B, AMT | 5.00% | 10/01/40 | 2,739,306 | ||||
1,000,000 | Miami-Dade Cnty FL Seaport Rev Ref Sr Bonds, Ser A, AMT (e) | 5.00% | 10/01/36 | 1,103,634 | ||||
2,245,000 | Miami-Dade Cnty FL Wtr & Swr Rev Sub | 5.00% | 10/01/46 | 2,449,394 | ||||
1,250,000 | Mirada II Cmnty Dev Dist FL Cap Impt Rev | 4.00% | 05/01/51 | 997,038 | ||||
1,520,000 | N Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 4.50% | 05/01/40 | 1,417,632 | ||||
1,300,000 | Old Hickory CDD FL Spl Assmnt Spl Asmt | 4.00% | 06/15/40 | 1,136,283 | ||||
465,000 | Parkland Preserve CDD FL Spl Assmnt Rev, Ser A | 5.25% | 05/01/39 | 471,120 | ||||
1,500,000 | Polk Cnty FL Indl Dev Auth Mineral Dev LLC Secondary Phosphate Tailings Recovery Proj (b) | 5.88% | 01/01/33 | 1,529,828 | ||||
500,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/36 | 433,139 | ||||
750,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/41 | 606,725 | ||||
2,055,000 | Sawyers Landing CDD FL Spl Assmnt Rev | 4.13% | 05/01/41 | 1,792,128 | ||||
250,000 | SE Overtown Park W Cmnty Redev Agy FL Tax, Ser A-1 (b) | 5.00% | 03/01/30 | 254,977 | ||||
490,000 | Shell Point Cmnty Dev Dist FL Spl Assmnt (b) | 5.25% | 11/01/39 | 495,490 | ||||
750,000 | Six Mile Creek FL CDD Capital Impt Rev Assmnt Area 3 Phase 1 | 4.00% | 05/01/51 | 598,223 | ||||
2,580,000 | Stillwater CDD FL Sp Assmnt Spl Assmt 2021 Proj (b) | 3.50% | 06/15/41 | 2,049,231 | ||||
1,250,000 | Tern Bay CDD FL Spl Assmnt | 4.00% | 06/15/42 | 1,070,869 | ||||
230,000 | Villamar CDD FL Spl Assmnt (d) | 4.00% | 05/01/29 | 226,200 | ||||
1,190,000 | Wildblue CDD FL Spl Assmnt (b) | 4.25% | 06/15/39 | 1,070,005 | ||||
44,671,123 | ||||||||
Georgia – 4.3% | ||||||||
1,000,000 | Atlanta GA Arpt Passenger Fac Charge Rev Arpt Rev Subord, Ser D, AMT | 4.00% | 07/01/37 | 1,006,756 | ||||
1,775,000 | Atlanta GA Arpt Rev, Ser A | 5.00% | 07/01/42 | 1,996,901 | ||||
1,100,000 | Burke Cnty GA Dev Auth Poll Control Rev Var GA Pwr Co Vogtle, Ser 1 (a) | 1.45% | 07/01/49 | 1,100,000 | ||||
55,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/31 | 55,340 | ||||
1,500,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/42 | 1,470,720 | ||||
500,000 | Geo L Smith II GA Congress Ctr Auth Convention Ctr Hotel Second Tier, Ser B (b) | 5.00% | 01/01/36 | 467,884 | ||||
400,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/30 | 426,117 | ||||
2,500,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put 06/01/30) (e) | 5.00% | 06/01/53 | 2,654,996 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Georgia (Continued) | ||||||||
$1,750,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put 12/01/29) | 4.00% | 09/01/52 | $1,753,954 | ||||
1,285,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put 09/01/26) | 4.00% | 03/01/50 | 1,293,147 | ||||
1,000,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put 12/01/28) | 4.00% | 05/01/52 | 1,002,477 | ||||
350,000 | Muni Elec Auth Of GA Plant Vogtle Units 3&4 Proj J, Ser A, AGM | 5.00% | 07/01/30 | 404,993 | ||||
13,633,285 | ||||||||
Guam – 0.1% | ||||||||
250,000 | Guam Govt Busn Privilege Tax Rev Ref, Ser-D | 5.00% | 11/15/35 | 256,000 | ||||
155,000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A | 5.00% | 01/01/50 | 159,557 | ||||
415,557 | ||||||||
Illinois – 4.1% | ||||||||
300,000 | Chicago IL Brd of Edu Ref Dedicated, Ser C | 5.00% | 12/01/30 | 312,909 | ||||
3,500,000 | Chicago IL Brd of Edu Ref, Ser B | 5.00% | 12/01/30 | 3,740,406 | ||||
1,000,000 | Chicago IL Brd of Edu, Ser A | 5.00% | 12/01/35 | 1,039,320 | ||||
750,000 | Chicago IL Chicago Works, Ser A | 5.50% | 01/01/40 | 815,647 | ||||
400,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien, Ser A, AMT | 5.00% | 01/01/37 | 428,354 | ||||
400,000 | Chicago IL Ref 2003B Remk | 5.25% | 01/01/29 | 410,224 | ||||
515,000 | Chicago IL Ref, Ser C, CABS | (f) | 01/01/25 | 481,247 | ||||
65,000 | Hillside IL Tax Incr Rev Ref | 5.00% | 01/01/24 | 65,395 | ||||
100,000 | IL St | 5.00% | 04/01/24 | 102,462 | ||||
250,000 | IL St | 5.50% | 05/01/26 | 268,835 | ||||
200,000 | IL St | 5.00% | 06/01/27 | 211,512 | ||||
250,000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/30 | 264,890 | ||||
250,000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/31 | 264,334 | ||||
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 | 103,641 | ||||
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 | 313,692 | ||||
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 | 152,062 | ||||
2,000,000 | IL St, Ser C | 5.00% | 11/01/29 | 2,136,894 | ||||
545,000 | IL St, Ser D | 5.00% | 11/01/24 | 564,528 | ||||
1,660,000 | Lincolnwood IL Tax Incr Allocation Rev Nts Dist 1860 Dev Proj, Ser A, COPS (b) | 4.82% | 01/01/41 | 1,540,803 | ||||
13,217,155 | ||||||||
Indiana – 2.4% | ||||||||
250,000 | Fort Wayne IN Mf Hsg Rev Silver Birch at Cook Road (b) | 5.30% | 01/01/32 | 225,377 | ||||
2,000,000 | IN Fin Auth Midwestern Disaster Relief Rev OH Vly Elec Corp Proj Remk, Ser A | 4.25% | 11/01/30 | 1,989,099 | ||||
1,360,000 | 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 | 1,402,696 | ||||
750,000 | IN St Fin Auth Hosp Rev Reid Hlth, AGM | 5.00% | 01/01/41 | 825,980 | ||||
2,000,000 | IN St Fin Auth Hosp Rev Var Parkview Hlth Sys Remk, Ser B (a) | 1.30% | 11/01/39 | 2,000,000 | ||||
200,000 | IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Acdmy Proj, Ser A (g) | 5.25% | 07/01/28 | 202,905 | ||||
595,000 | Plainfield IN Mf Hsg Rev Glasswater Creek Proj | 5.38% | 09/01/38 | 500,139 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Indiana (Continued) | ||||||||
$600,000 | Terre Haute IN Mf Hsg Rev Silver Birch of Terre Haute Proj | 5.10% | 01/01/32 | $531,138 | ||||
7,677,334 | ||||||||
Kansas – 0.7% | ||||||||
650,000 | Goddard KS Sales Tax Spl Oblg Rev Ref Olympic Park Star Bond Proj | 3.60% | 06/01/30 | 619,652 | ||||
175,000 | Shawnee Cnty KS Pub Bldg Commn Rev Corrections and Parks & Rec Projs | 5.50% | 09/01/34 | 214,238 | ||||
1,250,000 | Wyandotte Cnty KS Kansas City Unif Govt Spl Oblg Rev Ref Vlg E Proj Areas 2B 3 5 (b) | 5.75% | 09/01/39 | 1,218,680 | ||||
2,052,570 | ||||||||
Kentucky – 0.3% | ||||||||
875,000 | Henderson KY Exempt Facs Rev Pratt Paper LLC Proj, Ser A, AMT (b) | 4.45% | 01/01/42 | 845,627 | ||||
230,000 | KY St Univ KY St Univ Proj, COPS, BAM | 4.00% | 11/01/41 | 233,158 | ||||
1,078,785 | ||||||||
Louisiana – 1.0% | ||||||||
1,500,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Ref Westlake Chemical Corp Proj Remk | 3.50% | 11/01/32 | 1,434,037 | ||||
200,000 | Monroe LA Wtr Rev, BAM | 5.00% | 11/01/32 | 227,456 | ||||
1,000,000 | Saint James Parish LA Rev NuStar Logistics LP Proj Remk, Ser 2010 (b) | 6.35% | 07/01/40 | 1,088,315 | ||||
500,000 | Saint James Parish LA Rev Var NuStar Logistics LP Proj Remk, Ser 2010B (Mandatory put 06/01/30) (b) | 6.10% | 12/01/40 | 542,946 | ||||
3,292,754 | ||||||||
Maine – 0.2% | ||||||||
1,000,000 | ME St Fin Auth Green Bond Go Lab Madison, LLC Proj, AMT (b) | 8.00% | 12/01/51 | 702,030 | ||||
Maryland – 1.5% | ||||||||
1,020,000 | Baltimore MD Spl Oblig Ref E Baltimore Rsrch Park Proj, Ser A | 5.00% | 09/01/38 | 1,034,488 | ||||
175,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (b) | 2.95% | 06/01/27 | 164,078 | ||||
185,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (b) | 3.05% | 06/01/28 | 170,090 | ||||
200,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (b) | 3.15% | 06/01/29 | 182,334 | ||||
190,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (b) | 3.20% | 06/01/30 | 171,011 | ||||
900,000 | Frederick Cnty MD Tax Incr & Spl Tax Ref Jefferson Technology Park Proj, Ser B (b) | 4.63% | 07/01/43 | 879,521 | ||||
1,150,000 | MD St Econ Dev Corp Stdt Hsg Rev Morgan St Univ Proj | 5.00% | 07/01/50 | 1,188,060 | ||||
1,000,000 | MD St Econ Dev Corp Stdt Hsg Rev Morgan St Univ Proj, Ser A | 5.38% | 07/01/38 | 1,115,254 | ||||
4,904,836 | ||||||||
Massachusetts – 1.4% | ||||||||
2,000,000 | MA St Bay Transprtn Auth Sales Tax Rev Sr, Ser A | 5.00% | 07/01/45 | 2,078,741 | ||||
500,000 | MA St Dev Fin Agy Rev Linden Ponds Inc Fac (b) | 5.00% | 11/15/28 | 533,225 | ||||
1,020,000 | MA St Dev Fin Agy Rev Ref Salem Cmnty Corp | 5.13% | 01/01/40 | 959,987 | ||||
1,000,000 | MA St Dev Fin Agy Rev Umass Dartmouth Stdt Hsg Proj | 5.00% | 10/01/48 | 950,045 | ||||
4,521,998 | ||||||||
Michigan – 0.1% | ||||||||
300,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/31 | 308,512 | ||||
100,000 | Detroit MI Social Bonds, Ser A | 5.00% | 04/01/46 | 99,472 | ||||
407,984 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Minnesota – 0.5% | ||||||||
$150,000 | Minneapolis MN Stdt Hsg Rev Riverton Cmnty Hsg Proj (g) | 3.80% | 08/01/27 | $146,065 | ||||
105,000 | Saint Paul MN Hsg & Redev Auth Chrt Sch Lease Rev Ref, Ser A | 5.00% | 12/01/30 | 106,955 | ||||
850,000 | Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj, Ser A | 4.00% | 07/01/41 | 708,712 | ||||
660,000 | Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj, Ser A | 4.00% | 07/01/51 | 505,277 | ||||
1,467,009 | ||||||||
Missouri – 0.2% | ||||||||
80,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs | 5.00% | 02/01/35 | 80,092 | ||||
550,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/32 | 515,474 | ||||
10,000 | MO St Hlth & Eductnl Facs Auth Med Rsrch Lutheran Svcs, Ser A | 5.00% | 02/01/29 | 10,147 | ||||
605,713 | ||||||||
Nebraska – 0.5% | ||||||||
1,425,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 (Mandatory put 01/01/24) | 5.00% | 03/01/50 | 1,440,706 | ||||
Nevada – 0.3% | ||||||||
195,000 | N Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 4.00% | 06/01/29 | 191,055 | ||||
700,000 | NV Dept of Busn & Ind NV Doral Acdmy, Ser A (b) | 5.00% | 07/15/37 | 702,864 | ||||
893,919 | ||||||||
New Hampshire – 0.5% | ||||||||
2,000,000 | Natl Fin Auth NH Rev Ref Green Bond, Ser B, AMT (Mandatory put 07/02/40) (b) | 3.75% | 07/01/45 | 1,616,730 | ||||
New Jersey – 0.5% | ||||||||
100,000 | NJ St Econ Dev Auth Spl Fac Rev Ref Port Newark Container Terminal LLC Proj, AMT | 5.00% | 10/01/25 | 102,829 | ||||
430,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev, Ser 1A, AMT | 4.00% | 12/01/30 | 430,054 | ||||
560,000 | NJ St Transprtn Trust Fund Auth Fun Auth Transprtn Prog Bonds, Ser CC | 5.25% | 06/15/41 | 615,753 | ||||
500,000 | NJ St Transprtn Trust Fund Auth Ref Transprtn Sys, Ser A | 5.00% | 12/15/30 | 560,197 | ||||
1,708,833 | ||||||||
New Mexico – 0.4% | ||||||||
535,000 | Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (b) | 3.75% | 05/01/28 | 507,041 | ||||
500,000 | Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (b) | 4.00% | 05/01/33 | 446,476 | ||||
500,000 | Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (b) | 4.25% | 05/01/40 | 426,617 | ||||
1,380,134 | ||||||||
New York – 5.1% | ||||||||
1,000,000 | Build NYC Resource Corp NY Rev Social Bond Kipp NYC Pub Sch Facs Canal W Proj | 5.25% | 07/01/52 | 1,055,336 | ||||
1,250,000 | Dutchess Cnty NY Loc Dev Corp Rev Ref Bard Clg Proj, Ser A (b) | 5.00% | 07/01/40 | 1,257,639 | ||||
595,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref 2nd Gen Resolution Fiscal 2018 Block 4, Ser AA | 5.00% | 06/15/38 | 641,188 | ||||
2,625,000 | New York City NY Transitional Fin Auth Rev Future Tax Secured Subord Bonds, Ser C-1 | 4.00% | 02/01/42 | 2,628,115 | ||||
2,000,000 | NY NY, Ser B, Subser B-1 | 5.25% | 10/01/41 | 2,313,649 | ||||
1,925,000 | NY St Dorm Auth St Personal Income Tax Rev Ref, Ser A | 3.00% | 03/15/42 | 1,637,028 | ||||
500,000 | NY St Transprtn Dev Corp Exempt Fac Rev NY St Thruway Srvc Areas Proj, AMT | 4.00% | 10/31/46 | 447,682 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$1,000,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref American Airls Inc John F Kennedy Intl Arpt Proj, AMT | 5.00% | 08/01/31 | $1,000,010 | ||||
865,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref John F. Kennedy Intl Arpt Proj, AMT | 5.25% | 08/01/31 | 892,081 | ||||
500,000 | Oyster Bay NY, Ser A, AGM | 2.00% | 03/01/35 | 432,105 | ||||
2,810,000 | Tsasc Inc NY Tsasc Inc Rev Ref Turbo Sub, Ser B | 5.00% | 06/01/48 | 2,644,545 | ||||
100,000 | Westchester Cnty NY Loc Dev Corp Rev Ref Miriam Osborn Memorial Home Assn Proj | 5.00% | 07/01/34 | 106,130 | ||||
1,000,000 | Westchester Cnty NY Loc Dev Corp Rev Ref Pur Sr Learning Cmnty Inc Proj, Ser A (b) | 5.00% | 07/01/56 | 775,349 | ||||
460,000 | Westchester NY Tobacco Asset Securitization Ref Sr, Ser B | 5.00% | 06/01/41 | 476,194 | ||||
16,307,051 | ||||||||
North Carolina – 2.1% | ||||||||
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 | 1,817,384 | ||||
690,000 | NC St Med Care Commn Retmnt Facs Rev Pennybyrn at Maryfield Proj, Ser A | 5.00% | 10/01/45 | 653,253 | ||||
2,850,000 | NC St Med Care Commn Retmnt Facs Rev Ref Southminster Inc | 5.00% | 10/01/37 | 2,749,310 | ||||
715,000 | NC St Med Care Commn Retmnt Facs Rev The Forest at Duke Proj | 4.00% | 09/01/46 | 600,008 | ||||
1,000,000 | Wake Cnty NC Indl Facs & Poll Control Fing Auth Ref Duke Energy Progress | 4.00% | 06/01/41 | 1,000,510 | ||||
6,820,465 | ||||||||
North Dakota – 0.2% | ||||||||
520,000 | Horace ND Ref | 3.00% | 05/01/36 | 454,506 | ||||
Ohio – 3.4% | ||||||||
4,920,000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Ser B-2, Class 2 | 5.00% | 06/01/55 | 4,698,618 | ||||
1,000,000 | Cleveland Cuyahoga Cnty OH Port Auth Tax Incr Fing Rev Ref Sr Flats E Bank Proj, Ser A (b) | 4.00% | 12/01/55 | 850,239 | ||||
2,000,000 | OH St Air Quality Dev Auth Exempt Facs Rev AMG Vanadium Proj, AMT (b) | 5.00% | 07/01/49 | 1,827,735 | ||||
1,000,000 | OH St Hgr Eductnl Fac Commn Ref Rev Judson Oblig Grp 2020 Proj, Ser A | 5.00% | 12/01/45 | 956,643 | ||||
1,300,000 | OH St Hosp Rev Ref Var Univ Hosps Hlth Sys Inc, Ser C (a) | 1.95% | 01/15/51 | 1,300,000 | ||||
490,000 | Port of Gtr Cincinnati Dev Auth OH Rev (b) | 3.75% | 12/01/31 | 428,741 | ||||
900,000 | Washington Cnty OH Hosp Rev Ref Memorial Hlth Sys Obligated Grp | 6.63% | 12/01/42 | 922,142 | ||||
10,984,118 | ||||||||
Oklahoma – 0.8% | ||||||||
2,500,000 | OK St Dev Fin Auth Sr OK Proton Ctr, Ser A1 (b) | 7.25% | 09/01/51 | 2,624,296 | ||||
Oregon – 1.3% | ||||||||
290,000 | Clackamas Cnty OR Hosp Fac Auth Rev Mary’s Woods at Marylhurst Inc Proj, Ser A | 5.00% | 05/15/26 | 290,239 | ||||
500,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A | 5.13% | 11/15/40 | 480,499 | ||||
2,250,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A | 5.38% | 11/15/55 | 2,094,681 | ||||
500,000 | OR St Facs Auth Rev Legacy Hlth Proj, Ser A | 4.13% | 06/01/52 | 486,186 | ||||
750,000 | Union Cnty OR Hosp Fac Auth Grande Ronde Hosp | 5.00% | 07/01/42 | 782,344 | ||||
4,133,949 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania – 2.8% | ||||||||
$300,000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network Oblig Grp Issue, Ser A | 5.00% | 04/01/32 | $329,059 | ||||
1,000,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Ctr, Ser A | 4.00% | 07/15/36 | 1,014,512 | ||||
500,000 | Allegheny Cnty PA Indl Dev Auth Envrnmtl Impt Rev Ref United States Steel Corp Proj | 4.88% | 11/01/24 | 503,167 | ||||
1,030,000 | Berks Cnty PA Muni Auth Univ Rev Alvernia Univ Proj | 5.00% | 10/01/39 | 1,006,030 | ||||
100,000 | Chester Cnty PA Indl Dev Auth Renaissance Acdmy Chrt Sch | 5.00% | 10/01/34 | 100,875 | ||||
250,000 | Lancaster Cnty PA Hosp Auth Hlthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/28 | 251,622 | ||||
1,110,000 | Lancaster Cnty PA Hosp Auth Hlthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/38 | 1,061,724 | ||||
250,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/38 | 229,046 | ||||
1,700,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/46 | 1,429,950 | ||||
1,000,000 | PA St Turnpike Commn Oil Franchise Tax Rev Ref, Ser A | 5.00% | 12/01/46 | 1,089,385 | ||||
10,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/39 | 10,429 | ||||
1,000,000 | Philadelphia PA Arpt Rev Ref Priv Activity, AGM, AMT | 4.00% | 07/01/38 | 998,104 | ||||
850,000 | Philadelphia PA Auth For Indl Dev Chrt Sch Rev Philadelphia E&T Chrt High Sch, Ser A | 4.00% | 06/01/56 | 635,370 | ||||
215,000 | Philadelphia PA Auth for Indl Dev Revs Kipp Philadelphia Chrt Sch Proj, Ser A | 5.00% | 04/01/36 | 213,552 | ||||
125,000 | W Cornwall Twp PA Muni Auth Ref Lebanon Vly Brethren Home Proj, Ser A | 4.00% | 11/15/41 | 109,879 | ||||
8,982,704 | ||||||||
Puerto Rico – 3.2% | ||||||||
2,000,000 | Puerto Rico Cmwlth Hwy & Transprtn Auth Restructured Tol Restructured, Ser A | 5.00% | 07/01/62 | 1,930,000 | ||||
2,900,000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/33 | 2,718,299 | ||||
2,500,000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/35 | 2,277,252 | ||||
1,559,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.50% | 07/01/34 | 1,566,486 | ||||
1,605,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.55% | 07/01/40 | 1,582,534 | ||||
10,074,571 | ||||||||
South Carolina – 0.4% | ||||||||
425,000 | Berkeley Cnty SC Assmnt Rev Nexton Impt Dist | 4.00% | 11/01/30 | 401,349 | ||||
230,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 5.00% | 12/01/31 | 230,524 | ||||
245,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at Furman | 4.00% | 11/15/32 | 219,174 | ||||
580,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Woodlands at Furman Proj, Ser A | 5.00% | 11/15/42 | 542,592 | ||||
1,393,639 | ||||||||
South Dakota – 0.2% | ||||||||
700,000 | Lincoln Cnty SD Econ Dev Rev Ref Augustana Clg Assoc Proj, Ser A | 4.00% | 08/01/41 | 622,569 | ||||
Tennessee – 0.8% | ||||||||
25,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Stdt Hsg CDFI Phase I | 5.00% | 10/01/23 | 25,202 | ||||
2,500,000 | TN St Energy Acq Corp Gas Rev (Mandatory put 11/01/25) | 4.00% | 11/01/49 | 2,512,600 | ||||
2,537,802 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas – 6.2% | ||||||||
$1,200,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Legacy Trad Schs TX Proj, Ser A | 4.00% | 02/15/31 | $1,089,420 | ||||
1,645,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Legacy Trad Schs TX Proj, Ser A | 4.13% | 02/15/41 | 1,289,515 | ||||
610,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref, Ser A | 4.00% | 08/15/41 | 513,912 | ||||
2,000,000 | Austin TX Arpt Sys Rev, Ser B, AMT | 5.00% | 11/15/46 | 2,056,166 | ||||
625,000 | Corpus Christi TX Util Sys Rev Junior Lien, Ser B | 5.00% | 07/15/42 | 705,569 | ||||
556,000 | Crandall TX Spl Assmnt Rev Cartwright Ranch Pub Impt Dt Impt Area #1 Proj (b) | 4.25% | 09/15/41 | 496,231 | ||||
1,000,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Arpt Impt Proj, Ser C, AMT | 5.00% | 07/15/27 | 1,027,958 | ||||
1,250,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal E Proj, Ser A, AMT | 5.00% | 07/01/27 | 1,284,791 | ||||
1,035,000 | Houston TX Arpt Sys Rev United Airls Inc Terminal Impt Proj, Ser B-1, AMT | 4.00% | 07/15/41 | 932,803 | ||||
250,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pid #1 (b) | 4.13% | 09/01/29 | 246,388 | ||||
500,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pid #1 (b) | 4.63% | 09/01/39 | 483,888 | ||||
690,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Area #4 (b) (e) | 4.50% | 09/01/33 | 690,945 | ||||
225,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch (b) | 4.35% | 08/15/25 | 230,769 | ||||
1,350,000 | Liberty Hill TX Spl Assmnt Rev Butler Farms Pub Imp Dt Areas #1 and 2 Proj (b) | 4.00% | 09/01/52 | 1,001,472 | ||||
2,000,000 | Lower Neches Vly TX Auth Indl Dev Corp Var Ref ExxonMobil Proj, Ser A (a) | 1.20% | 11/01/29 | 2,000,000 | ||||
285,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/32 | 283,773 | ||||
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 | 173,538 | ||||
600,000 | Newark Hgr Edu Fin Corp TX Edu Rev Hughen Ctr Inc Proj, Ser A | 5.00% | 08/15/42 | 661,977 | ||||
2,750,000 | North Parkway Muni Mgmt Dist #1 TX Spl Assmnt Rev Major Impts Proj (b) | 5.00% | 09/15/51 | 2,620,833 | ||||
500,000 | Princeton TX Spl Assmnt Rev Winchester Pub Impr Dt #2 Proj (b) | 5.13% | 09/01/42 | 498,448 | ||||
223,000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp Dist Major Imp Area Proj (b) | 3.75% | 09/15/31 | 207,126 | ||||
500,000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp Dist Major Imp Area Proj (b) | 4.13% | 09/15/41 | 446,279 | ||||
765,000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp Dist Major Imp Area Proj (b) | 4.25% | 09/15/51 | 658,883 | ||||
250,000 | TX St Transprtn Commn Central TX Turnpike Sys Rev Ref, Ser B | 5.00% | 08/15/37 | 256,776 | ||||
19,857,460 | ||||||||
Utah – 4.8% | ||||||||
3,000,000 | Black Desert Pub Infra Dist Sr Bonds, Ser A (b) | 4.00% | 03/01/51 | 2,324,508 | ||||
500,000 | Downtown E Streetcar Swr Pub Infra Dist Sr Lien, Ser A (b) | 5.75% | 03/01/42 | 509,110 | ||||
1,000,000 | Med Sch Cmps Pub Infra Dist UT, Ser A (b) | 5.25% | 02/01/40 | 893,926 | ||||
1,000,000 | Mida Golf & Equestrian Ctr Pub Infra Dist UT Ltd (b) | 4.25% | 06/01/41 | 819,621 | ||||
3,000,000 | Mida Golf & Equestrian Ctr Pub Infra Dist UT Ltd (b) | 4.50% | 06/01/51 | 2,350,198 | ||||
3,000,000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-2 | 4.00% | 06/01/52 | 2,273,391 | ||||
2,000,000 | Murray City UT Hosp Rev Var IHC Hlth Svcs Inc, Ser A (a) | 1.20% | 05/15/37 | 2,000,000 | ||||
500,000 | Red Bridge Pub Infra Dist #1 UT Sr Infra Dist, Ser 1-A (b) | 4.13% | 02/01/41 | 397,200 | ||||
1,500,000 | Red Bridge Pub Infra Dist #1 UT Sr Infra Dist, Ser 1-A (b) | 4.38% | 02/01/51 | 1,153,043 | ||||
475,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Mountain W Montessori Acdmy Proj, Ser A (b) | 5.00% | 06/15/39 | 462,035 | ||||
675,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner Acdmy Proj, Ser A (b) | 5.00% | 06/15/39 | 645,858 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Utah (Continued) | ||||||||
$1,605,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner Acdmy, Ser A (b) | 5.63% | 06/15/42 | $1,614,491 | ||||
15,443,381 | ||||||||
Virginia – 0.9% | ||||||||
1,000,000 | Henrico Cnty VA Econ Dev Auth Rsdl Care Fac Rev Westminster Cantebury Richmond, Ser A | 5.00% | 10/01/42 | 1,078,270 | ||||
750,000 | VA St Small Busn Fing Auth Rsdl Fac Care Rev Ref Lifespire of VA | 4.00% | 12/01/31 | 720,239 | ||||
1,000,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/29 | 1,029,368 | ||||
2,827,877 | ||||||||
Washington – 2.9% | ||||||||
560,000 | Kalispel Tribe of Indians Priority Dist WA Rev, Ser A (b) | 5.00% | 01/01/32 | 585,327 | ||||
2,000,000 | Port of Seattle WA Rev Ref Intermediate Lein Priv Activity, Ser C, AMT | 5.00% | 08/01/46 | 2,115,059 | ||||
1,000,000 | Port of Seattle WA Rev Ref Intermediate Lien Priv Activity, Ser C, AMT | 5.00% | 08/01/39 | 1,082,811 | ||||
875,000 | WA St Hgr Edu Facs Auth Seattle Univ Proj Rev | 4.00% | 05/01/45 | 854,920 | ||||
2,100,000 | WA St Hsg Fin Commn Nonprofit Hsg Rev Heron’s Key, Ser A (Pre-refunded maturity 07/01/25) (b) | 7.00% | 07/01/45 | 2,292,863 | ||||
710,000 | WA St Hsg Fin Commn Nonprofit Rev Spokane Int Acad Proj, Ser A (b) | 5.00% | 07/01/50 | 676,598 | ||||
975,929 | WA St Hsg Fin Commn Social Ctf, Ser A-1 | 3.50% | 12/20/35 | 920,425 | ||||
700,000 | WA St Mvft Vrf Go Bonds, Ser F | 5.00% | 06/01/43 | 786,923 | ||||
9,314,926 | ||||||||
West Virginia – 0.8% | ||||||||
2,000,000 | S Charleston WV Spl Dist Excise Tax Ref S Charleston Park Place Proj, Ser A (b) | 4.50% | 06/01/50 | 1,578,946 | ||||
1,000,000 | 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 | 1,007,026 | ||||
2,585,972 | ||||||||
Wisconsin – 4.0% | ||||||||
470,000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (b) | 4.00% | 06/15/30 | 455,092 | ||||
810,000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (b) | 5.00% | 06/15/40 | 799,773 | ||||
685,000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (b) | 5.00% | 06/15/54 | 634,997 | ||||
500,000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas Proj, Ser A (b) | 4.00% | 07/01/30 | 467,849 | ||||
470,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las Vegas Proj, Ser A (b) | 4.20% | 07/15/27 | 462,127 | ||||
375,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las Vegas Proj, Ser A (b) | 5.13% | 07/15/37 | 376,394 | ||||
250,000 | Pub Fin Auth WI Edu Rev Coral Acdmy Science Las Vegas, Ser A | 5.00% | 07/01/45 | 251,772 | ||||
200,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/52 | 200,258 | ||||
160,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/27 | 168,578 | ||||
1,500,000 | Pub Fin Auth WI Hosp Rev Ref Carson Vly Med Ctr, Ser A | 4.00% | 12/01/41 | 1,299,083 | ||||
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 | 1,004,014 | ||||
1,310,000 | Pub Fin Auth WI Retmnt Cmntys Rev Acts Retmnt Life Cmntys Inc Oblig Grp, Ser A | 5.00% | 11/15/41 | 1,318,299 | ||||
1,000,000 | Pub Fin Auth WI Rev Ref Roseman Univ of Hlth Sciences Proj (b) | 4.00% | 04/01/42 | 836,172 | ||||
2,000,000 | Pub Fin Auth WI Rev Sr Proton Intl AR LLC, Ser A (b) | 6.85% | 01/01/51 | 1,549,903 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Wisconsin (Continued) | ||||||||
$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 | $1,865,644 | ||||
1,000,000 | WI St Hlth & Eductnl Facs Auth Rev Bellin Memorial Hosp Inc, Ser A | 5.50% | 12/01/52 | 1,110,466 | ||||
12,800,421 |
Total Investments – 97.8% | 312,675,312 | ||
(Cost $324,245,906) | |||
Net Other Assets and Liabilities – 2.2% | 7,007,549 | ||
Net Assets – 100.0% | $319,682,861 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
Ultra 10-Year U.S. Treasury Notes | Short | 119 | Mar 2023 | $ (14,423,172) | $(79,753) |
(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 (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At January 31, 2023, securities noted as such amounted to $91,619,824 or 28.7% of net assets. |
(c) | This issuer is in default and interest is not being accrued by the Fund. |
(d) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(e) | When-issued security. The interest rate shown reflects the rate in effect at January 31, 2023. Interest will begin accruing on the security’s first settlement date. |
(f) | Zero coupon bond. |
(g) | 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. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
CABS | Capital Appreciation Bonds |
COPS | Certificates of Participation |
ASSETS TABLE | ||||
Total Value at 1/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 312,675,312 | $ — | $ 312,675,312 | $ — |
LIABILITIES TABLE | ||||
Total Value at 1/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts** | $ (79,753) | $ (79,753) | $ — | $ — |
* | See Portfolio of Investments for state and territory breakout. |
** | Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Statement of Assets and Liabilities. |
ASSETS: | |
Investments, at value (Cost $324,245,906) | $ 312,675,312 |
Cash | 8,240,573 |
Cash segregated as collateral for open futures contracts | 327,250 |
Receivables: | |
Interest | 3,252,300 |
Investment securities sold | 1,772,239 |
Total Assets | 326,267,674 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 6,370,487 |
Investment advisory fees | 188,295 |
Variation margin | 26,031 |
Total Liabilities | 6,584,813 |
NET ASSETS | $319,682,861 |
NET ASSETS consist of: | |
Paid-in capital | $ 362,753,673 |
Par value | 67,000 |
Accumulated distributable earnings (loss) | (43,137,812) |
NET ASSETS | $319,682,861 |
NET ASSET VALUE, per share | $47.71 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 6,700,002 |
INVESTMENT INCOME: | ||
Interest | $ 6,823,008 | |
Total investment income | 6,823,008 | |
EXPENSES: | ||
Investment advisory fees | 1,092,783 | |
Total expenses | 1,092,783 | |
Fees waived by the investment advisor | (155,286) | |
Net expenses | 937,497 | |
NET INVESTMENT INCOME (LOSS) | 5,885,511 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (13,113,568) | |
Futures contracts | 1,290,310 | |
Net realized gain (loss) | (11,823,258) | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 1,583,964 | |
Futures contracts | 516,560 | |
Net change in unrealized appreciation (depreciation) | 2,100,524 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (9,722,734) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(3,837,223) |
Six Months Ended 1/31/2023 (Unaudited) | Year Ended 7/31/2022 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 5,885,511 | $ 9,675,790 | |
Net realized gain (loss) | (11,823,258) | (17,058,308) | |
Net change in unrealized appreciation (depreciation) | 2,100,524 | (32,136,292) | |
Net increase (decrease) in net assets resulting from operations | (3,837,223) | (39,518,810) | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (5,813,552) | (9,560,177) | |
Return of capital | — | (505,451) | |
Total distributions to shareholders | (5,813,552) | (10,065,628) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 81,024,511 | 234,880,882 | |
Cost of shares redeemed | (90,645,849) | (129,802,313) | |
Net increase (decrease) in net assets resulting from shareholder transactions | (9,621,338) | 105,078,569 | |
Total increase (decrease) in net assets | (19,272,113) | 55,494,131 | |
NET ASSETS: | |||
Beginning of period | 338,954,974 | 283,460,843 | |
End of period | $ 319,682,861 | $ 338,954,974 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 6,900,002 | 5,000,002 | |
Shares sold | 1,750,000 | 4,450,000 | |
Shares redeemed | (1,950,000) | (2,550,000) | |
Shares outstanding, end of period | 6,700,002 | 6,900,002 |
Six Months Ended 1/31/2023 (Unaudited) | Year Ended July 31, | Period Ended 7/31/2018 (a) | ||||||||||
2022 | 2021 | 2020 | 2019 | |||||||||
Net asset value, beginning of period | $ 49.12 | $ 56.69 | $ 51.93 | $ 52.48 | $ 50.32 | $ 50.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss) | 0.90 | 1.50 | 1.59 | 1.64 | 1.69 | 1.15 | ||||||
Net realized and unrealized gain (loss) | (1.42) | (7.50) | 4.83 (b) | (0.48) | 2.27 | 0.30 | ||||||
Total from investment operations | (0.52) | (6.00) | 6.42 | 1.16 | 3.96 | 1.45 | ||||||
Distributions paid to shareholders from: | ||||||||||||
Net investment income | (0.89) | (1.49) | (1.59) | (1.62) | (1.67) | (1.13) | ||||||
Return of capital | — | (0.08) | (0.07) | (0.09) | (0.13) | — | ||||||
Total distributions | (0.89) | (1.57) | (1.66) | (1.71) | (1.80) | (1.13) | ||||||
Net asset value, end of period | $47.71 | $49.12 | $56.69 | $51.93 | $52.48 | $50.32 | ||||||
Total return (c) | (1.00)% | (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) | $ 319,683 | $ 338,955 | $ 283,461 | $ 111,650 | $ 62,979 | $ 27,677 | ||||||
Ratio of total expenses to average net assets | 0.70% (d) | 0.70% | 0.70% | 0.70% | 0.70% | 0.70% (d) | ||||||
Ratio of net expenses to average net assets | 0.60% (d) | 0.55% | 0.55% | 0.55% | 0.55% | 0.55% (d) | ||||||
Ratio of net investment income (loss) to average net assets | 3.77% (d) | 2.87% | 3.00% | 3.22% | 3.44% | 3.13% (d) | ||||||
Portfolio turnover rate (e) | 52% | 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 | $101.45 | $201,395 | $202,905 | 0.06% | ||
Minneapolis MN Stdt Hsg Rev Riverton Cmnty Hsg Proj, 3.80%, 08/01/27 | 05/31/18 | 150,000 | 97.38 | 150,000 | 146,065 | 0.05 | ||
$351,395 | $348,970 | 0.11% |
Distributions paid from: | |
Ordinary income | $19,097 |
Capital gains | — |
Tax-exempt income | 9,541,080 |
Return of capital | 505,451 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (20,197,363) |
Net unrealized appreciation (depreciation) | (13,289,674) |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$324,245,906 | $5,788,515 | $(17,438,862) | $(11,650,347) |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 0.7000% |
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.6825% |
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.6650% |
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.6475% |
Fund net assets greater than $10 billion | 0.6300% |
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* | $ 79,753 |
Statement of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $1,290,310 |
Net change in unrealized appreciation (depreciation) on futures contracts | 516,560 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
First Trust Ultra Short Duration Municipal ETF (FUMB)
For the Six Months Ended
January 31, 2023
1 | |
Fund Performance Overview | |
2 | |
4 | |
6 | |
7 | |
8 | |
Portfolio of Investments | |
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29 | |
41 | |
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46 | |
53 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/23 | 1 Year Ended 1/31/23 | Inception (11/1/18) to 1/31/23 | Inception (11/1/18) to 1/31/23 | |
Fund Performance | ||||
NAV | 0.38% | -1.12% | 1.63% | 7.10% |
Market Price | 0.38% | -1.07% | 1.64% | 7.15% |
Index Performance | ||||
Bloomberg Municipal Short (1-5) Year Index | 0.32% | -0.35% | 1.43% | 6.20% |
Sector Allocation | % of Total Investments (including cash) |
Insured | 10.2% |
Government Obligation Bond - Unlimited Tax | 9.3 |
Hospital | 9.2 |
Gas | 9.1 |
Pre-refunded/Escrowed-to-maturity | 8.9 |
Utility | 8.8 |
Certificates of Participation | 4.9 |
Industrial Development Bond | 4.7 |
Water & Sewer | 4.4 |
Airport | 4.3 |
Higher Education | 3.8 |
Dedicated Tax | 3.5 |
Special Assessment | 3.1 |
Continuing Care Retirement Communities | 2.7 |
Government Obligation Bond - Limited Tax | 2.1 |
Port | 1.4 |
Education | 1.3 |
Local Housing | 1.2 |
Toll Road | 1.1 |
Housing | 1.1 |
Tobacco | 0.6 |
Tax Increment | 0.6 |
Student Loan | 0.5 |
Mass Transit | 0.4 |
Student Housing | 0.0* |
Cash | 2.8 |
Total | 100.0% |
* | Amount is less than 0.1%. |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 11.8% |
AA | 36.5 |
A | 27.0 |
BBB | 9.7 |
BB | 2.3 |
B | 0.3 |
Not Rated | 7.6 |
SP-1+ (short-term) | 0.1 |
SP-1/MIG1 (short-term) | 1.2 |
SP-2/MIG2 (short-term) | 0.7 |
Cash | 2.8 |
Total | 100.0% |
(1) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including 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 in municipal bond investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size.
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/23 | 1 Year Ended 1/31/23 | Inception (11/1/18) to 1/31/23 | Inception (11/1/18) to 1/31/23 | |
Fund Performance | ||||
NAV | 0.76% | 0.70% | 1.03% | 4.44% |
Market Price | 0.71% | 0.70% | 1.02% | 4.39% |
Index Performance | ||||
Bloomberg Municipal Short-Term Index | 0.82% | 1.24% | 1.08% | 4.65% |
Sector Allocation | % of Total Investments (including cash) |
Government Obligation Bond - Unlimited Tax | 20.6% |
Pre-refunded/Escrowed-to-maturity | 15.9 |
Gas | 8.5 |
Insured | 6.2 |
Industrial Development Bond | 6.1 |
Government Obligation Bond - Limited Tax | 5.6 |
Certificates of Participation | 5.4 |
Dedicated Tax | 5.1 |
Hospital | 4.7 |
Utility | 4.4 |
Water & Sewer | 3.7 |
Housing | 3.6 |
Airport | 2.5 |
Higher Education | 1.8 |
Mass Transit | 1.8 |
Student Loan | 0.6 |
Port | 0.3 |
Education | 0.3 |
Continuing Care Retirement Communities | 0.2 |
Tobacco | 0.2 |
Local Housing | 0.1 |
Special Assessment | 0.1 |
Toll Road | 0.1 |
Tax Increment | 0.1 |
Cash | 2.1 |
Total | 100.0% |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 10.1% |
AA | 31.2 |
A | 24.3 |
BBB | 9.1 |
BB | 0.3 |
Not Rated | 5.3 |
SP-1+ (short-term) | 7.5 |
SP-1/MIG1 (short-term) | 8.5 |
SP-2/MIG2 (short-term) | 1.6 |
Cash | 2.1 |
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 in municipal bond investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size.
Beginning Account Value August 1, 2022 | Ending Account Value January 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (b) | |
First Trust Short Duration Managed Municipal ETF (FSMB) | ||||
Actual | $1,000.00 | $1,003.80 | 0.43% | $2.17 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.04 | 0.43% | $2.19 |
First Trust Ultra Short Duration Municipal ETF (FUMB) | ||||
Actual | $1,000.00 | $1,007.60 | 0.32% | $1.62 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.59 | 0.32% | $1.63 |
(a) | These expense ratios reflect expense waivers. See Note 3 in the Notes to Financial Statements. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (August 1, 2022 through January 31, 2023), multiplied by 184/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 97.6% | ||||||||
Alabama – 3.0% | ||||||||
$140,000 | Birmingham AL Spl Care Facs Fing Auth Hlthcare Fac Ref Children’s Hosp of AL | 5.00% | 06/01/26 | $148,112 | ||||
130,000 | Birmingham AL Spl Care Facs Fing Auth Hlthcare Fac Ref Children’s Hosp of AL | 5.00% | 06/01/27 | 137,581 | ||||
250,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev Proj #5, Ser A-1 | 4.00% | 04/01/25 | 252,545 | ||||
130,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev Proj No. 4, Ser A-1 (Mandatory put 12/01/25) | 4.00% | 12/01/49 | 130,467 | ||||
330,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev, Ser A (Mandatory put 12/01/23) | 4.00% | 12/01/48 | 330,956 | ||||
1,035,000 | 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 | 1,037,100 | ||||
1,500,000 | Black Belt Energy Gas Dist AL Gas Proj Rev Gas Proj, Ser E | 5.00% | 06/01/26 | 1,584,772 | ||||
490,000 | Black Belt Energy Gas Dist AL Gas Proj Rev Proj No. 6, Ser B (Mandatory put 12/01/26) | 4.00% | 10/01/52 | 490,994 | ||||
1,165,000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 | 5.25% | 12/01/27 | 1,247,637 | ||||
100,000 | Greenville AL Pub Impt Cooperative Pub Impt Rev Greenville Funding, BAM | 5.00% | 03/01/25 | 105,419 | ||||
245,000 | Infirmary Hlth Sys AL Spl Care Facs Fing Auth Rev Infirmary Hlth Sys Inc, Ser A | 5.00% | 02/01/28 | 258,424 | ||||
500,000 | Infirmary Hlth Sys AL Spl Care Facs Fing Auth Rev Infirmary Hlth Sys Inc, Ser A | 5.00% | 02/01/36 | 517,799 | ||||
1,815,000 | Lower AL Gas Dist Gas Proj Rev Gas Proj Rev Bonds Proj 2 (Mandatory put 12/01/25) | 4.00% | 12/01/50 | 1,823,699 | ||||
300,000 | Midcity Impt Dist AL Spl Assmnt Rev | 3.88% | 11/01/27 | 275,502 | ||||
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 | 225,617 | ||||
10,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A | 4.00% | 06/01/23 | 10,021 | ||||
1,335,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A (Mandatory put 06/01/24) | 4.00% | 06/01/49 | 1,338,149 | ||||
500,000 | SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A | 4.00% | 10/01/25 | 504,468 | ||||
2,000,000 | SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A (Mandatory put 10/01/28) | 4.00% | 11/01/51 | 2,002,596 | ||||
500,000 | SE Energy Auth AL Cmdy Sply Rev Proj No. 3, Ser A-1 | 5.00% | 12/01/26 | 526,875 | ||||
12,948,733 | ||||||||
Arizona – 1.4% | ||||||||
155,000 | AZ St Indl Dev Auth Edu Rev Jerome Fac Proj Social Bonds, Ser B | 5.00% | 07/01/27 | 163,543 | ||||
155,000 | AZ St Indl Dev Auth Edu Rev Jerome Fac Proj Social Bonds, Ser B | 5.00% | 07/01/29 | 163,141 | ||||
115,000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (a) | 4.00% | 07/15/26 | 113,684 | ||||
310,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 11/01/25 | 332,795 | ||||
1,000,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 05/01/27 | 1,114,034 | ||||
1,250,000 | Chandler AZ Indl Dev Auth Indl Dev Rev Var Intel Corp Proj, Ser 2022-2, AMT (Mandatory put 09/01/27) | 5.00% | 09/01/52 | 1,324,614 | ||||
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 | 997,968 | ||||
95,000 | Glendale AZ Indl Dev Auth Sr Living Facs Rev Ref Royal Oaks Life Care Cmnty | 4.00% | 05/15/29 | 89,874 | ||||
580,000 | Phoenix AZ Indl Dev Auth Edu Rev Ref Basis Sch (a) | 5.00% | 07/01/35 | 583,022 | ||||
665,000 | Pima Cnty AZ Indl Dev Auth Sr Living Rev La Posada at Pusch Ridge Proj, Ser A (a) | 5.75% | 11/15/25 | 673,798 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Arizona (Continued) | ||||||||
$280,000 | Santa Cruz Cnty AZ Pledged Rev Ref, AGM | 4.00% | 07/01/34 | $291,238 | ||||
5,847,711 | ||||||||
California – 4.4% | ||||||||
200,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Green Bond, Ser A-1 | 4.00% | 02/01/24 | 201,500 | ||||
250,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Green Bond, Ser A-1 | 4.00% | 08/01/24 | 253,128 | ||||
250,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Green Bond, Ser A-1 (Mandatory put 08/01/28) | 4.00% | 05/01/53 | 253,968 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Kipp L.A. Proj, Ser A (a) | 4.00% | 07/01/23 | 200,540 | ||||
25,000 | CA St Enterprise Dev Auth Stdt Hsg Rev M@College Proj, Ser A | 5.00% | 08/01/23 | 25,221 | ||||
50,000 | CA St Enterprise Dev Auth Stdt Hsg Rev M@College Proj, Ser A | 5.00% | 08/01/24 | 51,283 | ||||
605,000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A | 4.00% | 03/01/33 | 605,357 | ||||
385,000 | CA St Hlth Facs Fing Auth Rev El Camino Hosp | 5.00% | 02/01/33 | 417,945 | ||||
1,000,000 | CA St Hlth Facs Fing Auth Rev Var Ref Stanford Hlth Care, Ser A (Mandatory put 08/15/25) | 3.00% | 08/15/54 | 1,008,112 | ||||
100,000 | CA St Muni Fin Auth Ref Palomar Hlth, Ser A, COPS, AGM | 5.00% | 11/01/27 | 108,344 | ||||
1,500,000 | CA St Muni Fin Auth Rev Bethany Home Proj | 5.00% | 11/15/42 | 1,662,210 | ||||
105,000 | CA St Muni Fin Auth Sr Living Rev Mt San Antonio Gardens Proj, Ser A | 5.00% | 11/15/26 | 107,352 | ||||
300,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt Inc, Ser A1, AMT | 3.38% | 07/01/25 | 298,995 | ||||
1,000,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Var Ref Rep Svcs Remk, Ser A, AMT (Mandatory put 05/01/23) (a) | 4.10% | 08/01/23 | 1,000,019 | ||||
500,000 | CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies Oceanside Proj, Ser A (a) | 4.00% | 10/01/27 | 509,052 | ||||
40,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/23 | 40,113 | ||||
50,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/24 | 50,333 | ||||
80,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/25 | 80,792 | ||||
325,000 | CA St Stwd Cmntys Dev Auth Stwd Rev Dev Auth, Ser 2021A | 4.00% | 09/02/24 | 325,532 | ||||
355,000 | CA St Stwd Cmntys Dev Auth Stwd Rev Dev Auth, Ser 2021A | 4.00% | 09/02/25 | 356,696 | ||||
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 | 266,529 | ||||
115,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 3.00% | 09/01/23 | 114,527 | ||||
100,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 4.00% | 09/01/26 | 101,998 | ||||
195,000 | Hemet CA Unif Sch Dist Facs Dist Spl Tax Ref | 4.00% | 09/01/25 | 197,700 | ||||
200,000 | Long Beach CA Arpt Rev Ref, Ser A, AGM | 5.00% | 06/01/26 | 217,908 | ||||
1,490,000 | Los Angeles CA Dept of Arpts Arpt Rev Sub Los Angeles Intl Arpt, Ser B, AMT | 5.00% | 05/15/26 | 1,591,342 | ||||
730,000 | Los Angeles CA Dept of Arpts Arpt Rev Subord Ref, Ser A, AMT | 5.00% | 05/15/29 | 819,921 | ||||
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 | 99,730 | ||||
1,705,000 | Milpitas CA Redev Agy Successor Agy Tax Allocation Ref Redev Proj Area #1 | 5.00% | 09/01/28 | 1,819,375 | ||||
200,000 | Ontario Pub Fing Auth Lease Rev Capital Projs, AGM (Pre-refunded maturity 10/01/23) | 5.38% | 10/01/40 | 204,047 | ||||
85,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Rev Grantline 208 Cmnty Fac Dt #2018-1 | 3.00% | 09/01/23 | 84,751 | ||||
90,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Rev Grantline 208 Cmnty Fac Dt #2018-1 | 3.00% | 09/01/24 | 89,229 | ||||
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 | 163,346 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$195,000 | Riverside CA Unif Sch Dist Cmnty Facs Dt #33 Citrus Heights II Spl Tax | 3.00% | 09/01/24 | $192,197 | ||||
240,000 | Roseville CA Fin Auth Spl Tax Rev Ref, Ser A | 5.00% | 09/01/25 | 256,118 | ||||
60,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 3.00% | 09/01/24 | 59,097 | ||||
70,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 3.00% | 09/01/25 | 68,508 | ||||
85,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 4.00% | 09/01/26 | 86,097 | ||||
65,000 | San Diego CA Unif Sch Dist Ref Election 1998, Ser C-2, AGM | 5.50% | 07/01/25 | 70,263 | ||||
100,000 | San Diego Cnty CA Regl Arpt Auth Subord Ref, Ser A | 5.00% | 07/01/24 | 103,698 | ||||
140,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref 2nd Ser, Ser A | 4.00% | 05/01/26 | 147,817 | ||||
200,000 | San Francisco CA City & Cnty Dcnty Dev Spl Tax Dist No Mission Rock Fac and Svcs, Ser A (a) | 4.00% | 09/01/26 | 202,107 | ||||
150,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021 | 4.00% | 09/01/25 | 152,003 | ||||
400,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021 | 4.00% | 09/01/26 | 407,587 | ||||
1,500,000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Sr Lien Ref, Ser A (Pre-refunded maturity 01/15/25) | 5.00% | 01/15/29 | 1,581,505 | ||||
175,000 | San Luis Obispo CA Cmnty Facs Dist #2019-1 Spl Tax | 4.00% | 09/01/25 | 177,900 | ||||
100,000 | San Luis Obispo CA Cmnty Facs Dist #2019-1 Spl Tax | 4.00% | 09/01/26 | 102,337 | ||||
1,500,000 | Sanger CA Fing Auth Wstwtr Rev Ref, AGM (Pre-refunded maturity 06/15/24) | 5.00% | 06/15/34 | 1,577,000 | ||||
225,000 | Western Placer Wst Mgmt Auth CA Solid Wst Rev Landfiel Impt Proj, Ser B | 5.00% | 06/01/34 | 250,293 | ||||
18,761,422 | ||||||||
Colorado – 2.7% | ||||||||
500,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp (a) | 5.00% | 12/15/28 | 522,391 | ||||
110,000 | CO St Eductnl & Cultural Facs Auth Rev Ref Chrt Sch Stargate Chrt Sch Proj, Ser A | 5.00% | 12/01/25 | 116,099 | ||||
100,000 | CO St Eductnl & Cultural Facs Auth Rev Ref N Star Acdmy Chrt Sch Proj | 4.00% | 11/01/23 | 100,827 | ||||
2,590,000 | CO St Hlth Facs Auth Hosp Rev Frasier Meadows Retmnt Cmnty Proj, Ser B (Forward refunding maturity 05/15/23) | 5.00% | 05/15/48 | 2,607,360 | ||||
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 | 134,706 | ||||
1,000,000 | CO St Hlth Facs Auth Hosp Rev Ref Sanford Hlth, Ser A | 5.00% | 11/01/23 | 1,018,591 | ||||
125,000 | CO St Hlth Facs Auth Hosp Rev Var Ref Intermountain Hlthcare, Ser B (Mandatory put 08/17/26) | 5.00% | 05/15/62 | 135,871 | ||||
400,000 | CO St Hlth Facs Auth Rev Commonspirit Hlth Oblig Grp, Ser A | 5.00% | 11/01/26 | 429,917 | ||||
80,000 | CO St Hlth Facs Auth Rev Ref Parkview Med Cntr, Ser A | 3.25% | 09/01/25 | 80,227 | ||||
275,000 | CO St Hlth Facs Auth Rev Ref Parkview Med Cntr, Ser B | 5.00% | 09/01/28 | 287,740 | ||||
2,000,000 | CO St Hlth Facs Auth Rev Var Ref Intermountain Hlthcare, Ser C (Mandatory put 08/15/28) | 5.00% | 05/15/62 | 2,257,658 | ||||
1,000,000 | Copperleaf CO Met Dist #6, Ser A (Pre-refunded maturity 12/01/23) | 5.25% | 12/01/48 | 1,050,142 | ||||
220,000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/25 | 232,628 | ||||
770,000 | Denver City & Cnty CO Arpt Rev, Ser A, AMT | 5.00% | 11/15/25 | 815,326 | ||||
1,000,000 | Denver City & Cnty CO Arpt Rev, Ser A, AMT | 5.00% | 11/15/26 | 1,076,672 | ||||
500,000 | Eagle Cnty CO Sch Dist Re50 Jt Garfield & Routt Cnty | 5.00% | 12/01/30 | 549,456 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado (Continued) | ||||||||
$270,000 | Gold Hill Mesa Met Dist #2 CO Ltd Tax & Spl Rev Ref, Ser A, BAM | 5.00% | 12/01/25 | $282,871 | ||||
11,698,482 | ||||||||
Connecticut – 2.4% | ||||||||
100,000 | CT St | 5.00% | 08/01/31 | 106,279 | ||||
235,000 | CT St Green Bond, Ser F | 5.00% | 10/15/30 | 257,106 | ||||
50,000 | CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare, Ser E | 5.00% | 07/01/25 | 51,588 | ||||
170,000 | CT St Hlth & Eductnl Facs Auth Rev Ref | 5.00% | 07/01/29 | 180,558 | ||||
100,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Yale Univ, Ser A-2 (Mandatory put 07/01/26) | 2.00% | 07/01/42 | 96,289 | ||||
1,000,000 | CT St Hlth & Eductnl Facs Auth Rev Var Remk, Ser A (Mandatory put 02/10/26) | 2.80% | 07/01/48 | 998,912 | ||||
215,000 | CT St Hlth & Eductnl Facs Auth Rev, Ser A | 5.00% | 07/01/30 | 241,646 | ||||
365,000 | CT St Spl Tax Oblig Rev Ref Transprtn Infra, Ser B | 5.00% | 08/01/27 | 389,623 | ||||
165,000 | CT St Spl Tax Oblig Rev Transprtn Infra, Ser A | 5.00% | 09/01/33 | 171,481 | ||||
2,000,000 | CT St Spl Tax Oblig Rev Transptrn Infra, Ser A | 5.00% | 09/01/30 | 2,188,012 | ||||
140,000 | CT St Spl Tax Oblig Rev, Ser B | 5.00% | 10/01/27 | 157,503 | ||||
1,000,000 | CT St, Ser 2021A | 4.00% | 01/15/26 | 1,048,445 | ||||
1,000,000 | CT St, Ser D | 4.00% | 08/15/29 | 1,054,655 | ||||
1,500,000 | E Hartford CT Hsg Auth Mf Hmultifamily Hsg Rev Var Summerfield Townhouses Proj, Ser A (Mandatory put 02/01/25) | 4.25% | 02/01/27 | 1,520,949 | ||||
315,000 | Hamden CT Ref, Ser A, BAM | 5.00% | 08/01/23 | 318,674 | ||||
145,000 | Hamden CT Ref, Ser A, BAM | 5.00% | 08/01/24 | 149,974 | ||||
200,000 | Hamden CT Ref, Ser A, BAM | 5.00% | 08/01/25 | 211,563 | ||||
25,000 | Univ of CT CT Ref, Ser A | 5.00% | 03/15/27 | 26,981 | ||||
970,000 | Univ of CT CT, Ser A | 5.00% | 11/01/26 | 1,066,453 | ||||
75,000 | Univ of CT CT, Ser A | 5.00% | 02/15/28 | 78,805 | ||||
25,000 | Univ of CT CT, Ser A | 5.00% | 11/01/35 | 27,801 | ||||
10,343,297 | ||||||||
District of Columbia – 0.4% | ||||||||
480,000 | DC Wtr & Swr Auth Pub Util Rev Ref Sub Lien, Ser C | 5.00% | 10/01/26 | 501,071 | ||||
1,060,000 | Met Washington DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.00% | 10/01/30 | 1,171,821 | ||||
250,000 | Met Washington DC Arpts Auth Arpt Sys Rev Ref, Ser B, AMT | 5.00% | 10/01/25 | 263,992 | ||||
1,936,884 | ||||||||
Florida – 7.2% | ||||||||
110,000 | Alachua Cnty FL Hlth Facs Auth Ccrc Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/24 | 108,897 | ||||
200,000 | Alachua Cnty FL Hlth Facs Auth Ccrc Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/25 | 196,375 | ||||
105,000 | Alachua Cnty FL Hlth Facs Auth Ccrc Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/26 | 102,100 | ||||
500,000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, Ser 2021 | 2.38% | 05/01/26 | 469,785 | ||||
205,000 | Berry Bay CDD FL Spl Assmt Rev Assmt Area 1 | 2.63% | 05/01/26 | 193,670 | ||||
250,000 | Black Creek FL CDD Spl Assmnt Expansion Area Proj | 4.80% | 06/15/27 | 252,340 | ||||
1,125,000 | Broward Cnty FL Arpt Sys Rev, Ser A, AMT | 5.25% | 10/01/24 | 1,142,034 | ||||
400,000 | Broward Cnty FL Port Facs Rev, AMT | 5.00% | 09/01/24 | 413,498 | ||||
2,000,000 | Collier Cnty FL Eductnl Facs Auth Rev Eductnl Facs Hodges Univ Inc (Pre-refunded maturity 11/01/23) | 6.13% | 11/01/43 | 2,053,722 | ||||
565,000 | Cross Creek N CDD FL Spl Assmnt | 3.40% | 05/01/27 | 544,593 | ||||
1,000,000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area Two | 3.00% | 05/01/27 | 946,881 | ||||
265,000 | Epperson N CDD FL Capital Impt Rev Assmnt Area Three, Ser A | 2.45% | 11/01/26 | 247,073 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$550,000 | FL St Brd of Governors FL Intl Univ Dorm Rev Ref, Ser A, BAM | 5.00% | 07/01/27 | $608,581 | ||||
500,000 | FL St Dept Gen Svcs Div Facs Mgmt Rev Ref FL Facs Pool, Ser A | 4.00% | 09/01/30 | 537,830 | ||||
110,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/24 | 110,335 | ||||
330,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/25 | 332,375 | ||||
155,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/26 | 156,599 | ||||
150,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/28 | 151,852 | ||||
105,000 | FL St Dev Fin Corp Sr Living Rev Ref Glenridge on Palmer Ranch Proj | 4.00% | 06/01/24 | 103,566 | ||||
100,000 | FL St Dev Fin Corp Sr Living Rev Ref Glenridge on Palmer Ranch Proj | 4.00% | 06/01/25 | 97,563 | ||||
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 | 1,499,122 | ||||
220,000 | FL St Muni Pwr Agy Ref, Ser A | 5.00% | 10/01/30 | 238,649 | ||||
785,000 | Gtr Orlando FL Aviation Auth Arpt Facs Rev Prerefunded Priority Sub, Ser A, AMT | 5.00% | 10/01/24 | 813,582 | ||||
125,000 | Gulfstream Polo Cmnty Dev Dist FL Spl Assmnt Phase 2 Proj | 3.00% | 11/01/24 | 122,640 | ||||
310,000 | Hills Minneola Cmnty Dev Dist FL Spl Assmnt Rev S Parcel Assmnt Area (a) | 3.00% | 05/01/25 | 301,269 | ||||
1,500,000 | Hillsborough Cnty FL Aviation Auth Tampa Intl, Ser A, AMT (Pre-refunded maturity 10/01/24) | 5.00% | 10/01/44 | 1,552,135 | ||||
100,000 | Lakeland FL Hosp Sys Rev Lakeland Regl Hlth (Pre-refunded maturity 11/15/24) | 5.00% | 11/15/33 | 104,628 | ||||
145,000 | Lakes of Sarasota CDD FL Impt Rev Phase 1 Proj, Ser A-1 | 2.75% | 05/01/26 | 138,335 | ||||
255,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Ref Country Club E Proj, AGM | 5.00% | 05/01/25 | 267,323 | ||||
460,000 | Lee Cnty FL Indl Dev Auth Hlthcr Facs Rev Shell Point Oblig Grp | 4.00% | 11/15/30 | 443,250 | ||||
720,000 | Ltc Ranch W Rsdl Cmnty Dev Dist Spl Assmnt Rev Assmnt Area One Proj, Ser A | 2.50% | 05/01/26 | 678,554 | ||||
1,890,000 | Miami-Dade Cnty FL Sch Brd Ref, Ser C, COPS | 5.00% | 02/01/32 | 2,009,179 | ||||
4,000,000 | Miami-Dade Cnty FL Seaport Rev Ref Sr Bonds, Ser A, AMT (b) | 5.00% | 10/01/30 | 4,499,539 | ||||
405,000 | Mirada II Cmnty Dev Dist FL Cap Impt Rev | 2.50% | 05/01/26 | 381,687 | ||||
370,000 | N Springs FL Impt Dist Heron Bay Wtr Mgmt Proj, Ser 2021-1, AGM | 2.00% | 05/01/24 | 366,655 | ||||
380,000 | N Springs FL Impt Dist Heron Bay Wtr Mgmt Proj, Ser 2021-1, AGM | 2.00% | 05/01/25 | 369,902 | ||||
385,000 | N Springs FL Impt Dist Heron Bay Wtr Mgmt Proj, Ser 2021-1, AGM | 2.00% | 05/01/26 | 372,102 | ||||
25,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Presbyterian Retmnt Cmntys (Forward refunding maturity 08/01/23) | 5.00% | 08/01/31 | 25,983 | ||||
1,770,000 | Palm Beach Cnty FL Hlth Facs Auth Ref Acts Retmnt Life Cmntys Inc Oblig Grp | 5.00% | 11/15/32 | 1,818,980 | ||||
165,000 | Pine Isle Cmnty Dev Dist FL Spl Assmnt 2021 Proj (a) | 2.38% | 12/15/26 | 153,059 | ||||
100,000 | Poinciana FL W CDD Spl Assmnt Ref Sr, Ser 1, AGM | 3.60% | 05/01/26 | 103,282 | ||||
2,000,000 | Reedy Creek FL Impt Dist, Ser A (Pre-refunded maturity 06/01/23) | 5.00% | 06/01/38 | 2,017,201 | ||||
80,000 | Rhodine Road N CDD FL Spl Assmnt | 3.50% | 05/01/24 | 79,265 | ||||
115,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/23 | 114,278 | ||||
145,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/24 | 142,968 | ||||
385,000 | Sarasota Natl FL CDD Spl Assmnt Ref | 3.00% | 05/01/23 | 383,779 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$375,000 | Sarasota Natl FL CDD Spl Assmnt Ref | 3.00% | 05/01/24 | $369,150 | ||||
240,000 | Sarasota Natl FL CDD Spl Assmnt Ref | 3.00% | 05/01/25 | 233,241 | ||||
200,000 | Shingle Creek at Bronson CDD FL Spl Assmnt | 2.50% | 06/15/26 | 188,077 | ||||
375,000 | Silver Palms W CDD FL Spl Assmnt 2022 Proj | 2.60% | 06/15/27 | 348,469 | ||||
285,000 | Six Mile Creek FL CDD Capital Impt Rev Assmnt Area 3 Phase 1 | 2.50% | 05/01/26 | 268,594 | ||||
30,000 | Tampa FL Capital Impt Cigarette Tax Allocation H Lee Moffitt Cancer Ctr Proj, Ser A | 5.00% | 09/01/24 | 31,116 | ||||
425,000 | Timber Creek SW CDD FL Spl Assmnt Area Two Proj | 2.35% | 12/15/26 | 394,756 | ||||
735,000 | Tolomato FL CDD Ref, Ser A, AGM | 3.00% | 05/01/24 | 736,245 | ||||
375,000 | V Dana CDD FL Spl Assmnt CDD Assmnt Area One 2021 Proj | 2.60% | 05/01/26 | 354,427 | ||||
120,000 | Vlg FL CDD #6 Spl Assmnt Rev Ref | 4.00% | 05/01/25 | 123,430 | ||||
250,000 | Westside Haines City CDD Spl Assmnt Assmnt Area One Proj | 2.50% | 05/01/26 | 236,357 | ||||
31,050,877 | ||||||||
Georgia – 3.5% | ||||||||
915,000 | Atlanta GA Arpt Rev, Ser B, AMT | 5.00% | 07/01/25 | 960,894 | ||||
1,500,000 | Bartow Cnty GA Dev Auth Var GA Pwr Comp Plant Bowen Proj Remk (Mandatory put 08/19/25) | 2.88% | 08/01/43 | 1,475,253 | ||||
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 | 98,035 | ||||
100,000 | Clayton Cnty GA & Clayton Cnty Wtr Auth Wtr & Sewage Rev Ref | 5.00% | 05/01/23 | 100,222 | ||||
735,000 | GA St Ref Bid Grp 3, Ser C | 4.00% | 07/01/25 | 766,376 | ||||
175,000 | Gainesville & Hall Cnty GA Hosp Auth Ref NE GA Hlth Sys Inc Proj, Ser A | 5.00% | 02/15/24 | 178,083 | ||||
715,000 | Madison Cnty GA Sch Dist Ref Capital Impt Proj, COPS | 4.00% | 05/01/25 | 735,976 | ||||
120,000 | Main Street Nat Gas Inc GA Gas Rev, Ser A | 5.50% | 09/15/23 | 121,474 | ||||
240,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/25 | 247,190 | ||||
2,000,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (b) | 5.00% | 06/01/29 | 2,128,461 | ||||
2,815,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put 09/01/27) | 4.00% | 07/01/52 | 2,870,300 | ||||
800,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser B | 5.00% | 06/01/26 | 836,192 | ||||
500,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C | 5.00% | 09/01/26 | 521,564 | ||||
1,290,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put 09/01/26) | 4.00% | 03/01/50 | 1,298,178 | ||||
1,000,000 | Monroe Cnty GA Dev Auth Poll Control Rev GA Pwr Co Plant Scherer Proj Remk 1st Ser | 2.25% | 07/01/25 | 964,902 | ||||
200,000 | Muni Elec Auth of GA Plant Vogtle Units 3&4 Proj J Bonds, Ser A, AGM | 5.00% | 07/01/30 | 231,425 | ||||
200,000 | Muni Elec Auth of GA Plant Vogtle Units 3&4 Proj J, Ser A, AGM | 5.00% | 07/01/26 | 216,363 | ||||
405,000 | Muni Elec Auth of GA Plant Vogtle Units 3&4 Proj M, Ser A, AGM | 5.00% | 07/01/28 | 456,062 | ||||
150,000 | Muni Elec Auth of GA Ref Subord General Resolution Projs, Ser A | 4.00% | 01/01/25 | 153,235 | ||||
285,000 | Priv Clgs & Univs Auth GA Ref Mercer Univ Proj | 5.00% | 10/01/24 | 295,660 | ||||
225,000 | Priv Clgs & Univs Auth GA Ref Mercer Univ Proj | 5.00% | 10/01/25 | 238,485 | ||||
14,894,330 | ||||||||
Guam – 0.2% | ||||||||
85,000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev | 5.00% | 07/01/23 | 85,432 | ||||
785,000 | Guam Intl Arpt Auth Prerefunded Gen, Ser C, AMT, AGM (Pre-refunded maturity 10/01/23) | 6.13% | 10/01/43 | 801,901 | ||||
887,333 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Hawaii – 0.7% | ||||||||
$3,000,000 | HI St Dept of Budget & Fin Spl Purp Rev Ref Hawaiian Elec Co Inc, Ser A, AMT | 3.10% | 05/01/26 | $2,969,926 | ||||
150,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Ref Sr First Bd Resolution, Ser B | 4.00% | 07/01/32 | 155,248 | ||||
3,125,174 | ||||||||
Illinois – 9.1% | ||||||||
150,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (c) | 12/01/23 | 145,923 | ||||
115,000 | Chicago IL Brd of Edu Chicago Sch Reform Brd, Ser A, NATL-RE | 5.50% | 12/01/26 | 120,074 | ||||
175,000 | Chicago IL Brd of Edu Green Bond, Ser E | 5.13% | 12/01/32 | 176,095 | ||||
110,000 | Chicago IL Brd of Edu Ref, Ser A | 5.00% | 12/01/26 | 114,460 | ||||
190,000 | Chicago IL Brd of Edu Ref, Ser A, AMBAC | 5.50% | 12/01/23 | 193,992 | ||||
1,000,000 | Chicago IL Met Wtr Reclamation Dist Greater Chicago Ref, Ser C | 5.00% | 12/01/24 | 1,046,622 | ||||
500,000 | Chicago IL Mf Hsg Rev Var Covent Apartments Proj (Mandatory put 09/01/24) | 4.00% | 09/01/25 | 506,871 | ||||
520,000 | Chicago IL O’Hare Intl Arpt Rev Gen Sr Lien, Ser D, AMT | 5.00% | 01/01/29 | 556,555 | ||||
500,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien Ohare Intl Arpt, Ser C, AMT | 5.00% | 01/01/26 | 526,371 | ||||
100,000 | Chicago IL O’Hare Intl Arpt Rev Ref, Ser B | 5.00% | 01/01/26 | 105,078 | ||||
580,000 | Chicago IL O’Hare Intl Arpt Rev Ref, Ser B | 5.00% | 01/01/27 | 608,745 | ||||
140,000 | Chicago IL O’Hare Intl Arpt Rev Sr Lien, Ser E | 5.00% | 01/01/25 | 146,811 | ||||
540,000 | Chicago IL Park Dist Ref Ltd Tax, Ser B | 5.00% | 01/01/28 | 549,095 | ||||
125,000 | Chicago IL Ref Proj, Ser A | 5.00% | 01/01/27 | 125,872 | ||||
210,000 | Chicago IL Ref Remk, 2003B | 5.00% | 01/01/26 | 214,587 | ||||
100,000 | Chicago IL Ref Remk, 2003B | 5.13% | 01/01/27 | 102,418 | ||||
110,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/26 | 113,941 | ||||
260,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/35 | 265,793 | ||||
65,000 | Chicago IL Ref, Ser C, CABS | (c) | 01/01/25 | 60,740 | ||||
390,000 | Chicago IL Wtrwks Rev 2nd Lien Proj | 5.00% | 11/01/27 | 402,117 | ||||
1,500,000 | Chicago IL Wtrwks Rev 2nd Lien Remk, BAM | 5.00% | 11/01/30 | 1,618,069 | ||||
150,000 | Chicago IL, Ser A | 5.00% | 01/01/26 | 153,276 | ||||
675,000 | Cook Cnty IL Sales Tax Rev Ref, Ser A | 5.00% | 11/15/29 | 771,310 | ||||
2,311,000 | Gilberts IL Spl Svc Area #15 Spl Svc Area #15 Ref, AGM | 5.00% | 03/01/29 | 2,359,416 | ||||
205,000 | Glencoe IL, Ser A | 3.00% | 12/15/28 | 209,656 | ||||
15,000 | Hillside IL Tax Incr Rev Ref | 5.00% | 01/01/24 | 15,091 | ||||
395,000 | IL St | 5.00% | 05/01/23 | 397,142 | ||||
125,000 | IL St | 5.00% | 05/01/24 | 128,283 | ||||
150,000 | IL St | 5.00% | 05/01/27 | 153,352 | ||||
195,000 | IL St | 5.00% | 06/01/27 | 206,224 | ||||
520,000 | IL St | 4.00% | 01/01/31 | 526,816 | ||||
345,000 | IL St Fin Auth Hlth Svcs Facs Lease Rev Univ of IL Hlth Svcs Fac Proj | 5.00% | 10/01/24 | 355,797 | ||||
1,265,000 | IL St Fin Auth Rev Centegra Hlth Sys, Ser A (Pre-refunded maturity 09/01/24) | 5.00% | 09/01/39 | 1,315,667 | ||||
1,975,000 | IL St Fin Auth Rev Ref Ascension Hlth Credit Grp, Ser C | 5.00% | 02/15/27 | 2,172,675 | ||||
2,000,000 | IL St Fin Auth Rev Ref Ascension Hlth Credit Grp, Ser C | 5.00% | 02/15/30 | 2,187,616 | ||||
1,695,000 | IL St Fin Auth Rev Ref Rush Univ Med Ctr, Ser A | 5.00% | 11/15/30 | 1,775,688 | ||||
1,500,000 | IL St Fin Auth Rev Var Uchicago Medecine, Ser B2 (Mandatory put 08/15/27) | 5.00% | 08/15/52 | 1,644,363 | ||||
1,000,000 | IL St Hsg Dev Auth Mf Hsg Rev Var Berry Manor (Mandatory put 09/01/24) | 4.00% | 09/01/25 | 1,012,815 | ||||
2,000,000 | IL St Muni Elec Agy Pwr Sply Ref, Ser A | 5.00% | 02/01/26 | 2,120,109 | ||||
215,000 | IL St Ref | 4.00% | 08/01/25 | 215,183 | ||||
415,000 | IL St Ref, Ser B | 5.00% | 03/01/25 | 431,866 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$80,000 | IL St Sales Tax Rev First Ser, NATL-RE | 6.00% | 06/15/23 | $80,798 | ||||
500,000 | IL St Sales Tax Rev Ref, Subser C, BAM | 4.00% | 06/15/27 | 517,196 | ||||
180,000 | IL St Toll Hwy Auth Sr, Ser B | 5.00% | 01/01/33 | 194,251 | ||||
700,000 | IL St, Ser C | 5.00% | 11/01/29 | 747,913 | ||||
280,000 | IL St, Ser D | 5.00% | 11/01/23 | 284,581 | ||||
370,000 | IL St, Ser D | 5.00% | 11/01/24 | 383,258 | ||||
725,000 | Macon Cnty IL Sch Dist #61 Ref, Ser C, AGM | 4.00% | 01/01/30 | 764,533 | ||||
700,000 | Macon Cnty IL Sch Dist #61, AGM | 4.00% | 12/01/25 | 728,829 | ||||
1,045,000 | Peoria IL Ref, Ser C, AGM | 5.00% | 01/01/27 | 1,135,464 | ||||
495,000 | Railsplitter IL Tobacco Stlmt Auth | 5.00% | 06/01/27 | 534,122 | ||||
1,055,000 | Rock Island Cnty IL Sch Dist #41 Rock Island, BAM | 5.00% | 12/01/29 | 1,186,500 | ||||
585,000 | Sales Tax Securitization Corp IL Ref Sales Tax Securitiztn, Ser A | 5.00% | 01/01/29 | 644,564 | ||||
2,750,000 | Schaumburg IL Ref | 4.00% | 12/01/24 | 2,822,276 | ||||
355,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/26 | 372,095 | ||||
910,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/27 | 951,561 | ||||
1,000,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/28 | 1,043,399 | ||||
570,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/31 | 591,808 | ||||
400,000 | Univ of Illinois IL Revs Ref Auxiliary Facs Sys, Ser A | 5.00% | 04/01/27 | 418,891 | ||||
39,254,613 | ||||||||
Indiana – 3.5% | ||||||||
125,000 | IN Bond Bank Rev Hamilton Co Projs, CABS | (c) | 01/15/26 | 115,223 | ||||
2,000,000 | IN St Fin Auth Envrnmntl Facs Rev Var Ref IN Pwr & Light Co Proj, Ser A | 1.40% | 08/01/29 | 1,791,397 | ||||
3,000,000 | IN St Fin Auth Envrnmntl Rev Var Ref Fulcrum Centerpoint LLC Proj, AMT (Mandatory put 11/15/23) | 4.50% | 12/15/46 | 3,003,832 | ||||
105,000 | IN St Fin Auth Rev Bhi Sr Living, Ser A | 4.00% | 11/15/26 | 104,013 | ||||
100,000 | La Porte IN Wtrwks Rev, AGM | 4.00% | 01/01/24 | 100,926 | ||||
105,000 | La Porte IN Wtrwks Rev, AGM | 4.00% | 07/01/24 | 106,550 | ||||
1,000,000 | Rockport IN Poll Control Rev Ref Aep Generating Comp Proj Remk, Ser A | 3.13% | 07/01/25 | 992,870 | ||||
1,000,000 | Rockport IN Poll Control Rev Ref Aep Generating Company Proj Remk, Ser B | 3.13% | 07/01/25 | 992,870 | ||||
3,610,000 | Rockport IN Poll Control Rev Ref IN Mi Pwr Co Proj Remk, Ser A | 3.05% | 06/01/25 | 3,631,369 | ||||
2,000,000 | Whiting IN Envrnmntl Facs Rev BP Products N America Inc Proj, Ser A, AMT (Mandatory put 03/01/23) | 5.00% | 03/01/46 | 2,001,980 | ||||
2,000,000 | 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 | 2,072,009 | ||||
14,913,039 | ||||||||
Iowa – 1.5% | ||||||||
2,305,000 | Johnston IA Cmnty Sch Dist Infra Sales Svcs & Ref, AGM | 8.35% | 07/01/24 | 2,491,943 | ||||
110,000 | Pefa Inc IA Gas Proj Rev | 5.00% | 09/01/26 | 114,594 | ||||
3,810,000 | Pefa Inc IA Gas Proj Rev (Mandatory put 09/01/26) | 5.00% | 09/01/49 | 3,956,001 | ||||
6,562,538 | ||||||||
Kansas – 0.7% | ||||||||
280,000 | Brown Cnty KS Horton Unif Sch Dist #430, BAM | 4.00% | 09/01/25 | 291,043 | ||||
2,660,000 | Johnson Cnty KS Unif Sch Dist#512 Shawnee Mission Ref, Ser A | 3.25% | 10/01/28 | 2,695,435 | ||||
2,986,478 | ||||||||
Kentucky – 1.1% | ||||||||
165,000 | Estrn KY Univ Gen Recpts, Ser A | 5.00% | 04/01/28 | 178,866 |
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, CABS, NATL-RE | (c) | 10/01/25 | $220,634 | ||||
20,000 | KY St Econ Dev Fin Auth Ref Owensboro Hlth, Ser A | 5.00% | 06/01/25 | 20,905 | ||||
355,000 | KY St Hgr Edu Stdt Loan Corp Sr, Ser A, AMT | 5.00% | 06/01/26 | 377,373 | ||||
300,000 | KY St Muni Pwr Agy Pwr Sys Rev Ref, Ser A, NATL-RE | 5.00% | 09/01/25 | 317,053 | ||||
125,000 | KY St Muni Pwr Agy Pwr Sys Rev Ref, Ser A, NATL-RE | 5.00% | 09/01/30 | 131,467 | ||||
255,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser B (Mandatory put 01/01/25) | 4.00% | 01/01/49 | 255,024 | ||||
325,000 | KY St Pub Energy Auth Gas Sply Rev Var, Ser C (Mandatory put 02/01/28) | 4.00% | 02/01/50 | 326,050 | ||||
745,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A (Mandatory put 06/01/26) | 4.00% | 12/01/50 | 746,623 | ||||
125,000 | KY St Univ KY St Univ Proj, COPS, BAM | 5.00% | 11/01/26 | 136,347 | ||||
325,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlthcare Inc, Ser A | 5.00% | 10/01/28 | 347,881 | ||||
160,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlthcare Inc, Ser A | 5.00% | 10/01/30 | 170,890 | ||||
570,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlthcare Inc, Ser A | 5.00% | 10/01/31 | 608,061 | ||||
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 | 213,055 | ||||
380,000 | Louisville & Jefferson Cnty KY Met Swr Dist Swr & Drain Sys Sub Safe Clean Waterways, BANS | 4.00% | 10/06/23 | 383,524 | ||||
210,000 | Paducah KY Elec Plant Brd Rev Ref, Ser A, AGM | 5.00% | 10/01/34 | 225,895 | ||||
4,659,648 | ||||||||
Louisiana – 1.2% | ||||||||
500,000 | E Baton Rouge Parish LA Sales Tax Rev Ref Road & Street Impt | 5.00% | 08/01/28 | 527,168 | ||||
150,000 | LA St Univ & Agric & Mech Clg Ref Auxiliary, Ser A | 5.00% | 07/01/26 | 160,494 | ||||
495,000 | LA St, Ser A (Forward refunding maturity 02/01/24) | 4.00% | 02/01/29 | 501,781 | ||||
20,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/28 | 21,418 | ||||
455,000 | New Orleans LA Aviation Brd, Ser B, AMT | 5.00% | 01/01/31 | 470,989 | ||||
100,000 | New Orleans LA Aviation Brd, Ser B, AMT, AGM | 5.00% | 01/01/32 | 103,608 | ||||
150,000 | New Orleans LA Wtr Rev Wtr Rev | 5.00% | 12/01/26 | 159,240 | ||||
550,000 | New Orleans LA Wtr Rev Wtr Rev | 5.00% | 12/01/28 | 582,954 | ||||
2,100,000 | 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 | 2,057,926 | ||||
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 | 520,891 | ||||
5,106,469 | ||||||||
Maryland – 0.9% | ||||||||
115,000 | Harford Cnty MD Spl Oblg Ref Beechtree Estates Proj | 4.00% | 07/01/23 | 115,714 | ||||
300,000 | Harford Cnty MD Spl Oblg Ref Beechtree Estates Proj | 4.00% | 07/01/24 | 306,608 | ||||
480,000 | Howard Cnty MD Ref, Ser A | 5.00% | 08/15/24 | 499,783 | ||||
1,000,000 | MD St First Ser | 4.00% | 06/01/29 | 1,022,308 | ||||
585,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Adventist Hlthcare Oblig Grp, Ser A | 5.50% | 01/01/26 | 619,752 | ||||
1,000,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Johns Hopkins Hlth, Ser C (Pre-refunded maturity 05/15/23) | 5.00% | 05/15/38 | 1,007,136 | ||||
100,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Stevenson Univ Proj, Ser A | 5.00% | 06/01/28 | 109,138 | ||||
3,680,439 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Massachusetts – 1.3% | ||||||||
$575,000 | Chelmsford MA Wtr Dist Ref | 3.00% | 01/15/24 | $578,166 | ||||
645,000 | Deerfield MA, BANS | 2.25% | 06/08/23 | 643,396 | ||||
2,000,000 | MA St Bay Transprtn Auth Sales Tax Rev Subord Sustainability Bonds, BANS | 4.00% | 05/01/25 | 2,075,544 | ||||
1,000,000 | MA St Dev Fin Agy Rev N Hill Cmntys, Ser A (Pre-refunded maturity 11/15/23) (a) | 6.50% | 11/15/43 | 1,029,162 | ||||
575,000 | MA St Eductnl Fing Auth Sr, Ser B, AMT | 5.00% | 07/01/24 | 589,383 | ||||
500,000 | MA St Eductnl Fing Auth Sr, Ser B, AMT | 5.00% | 07/01/25 | 521,628 | ||||
5,437,279 | ||||||||
Michigan – 2.0% | ||||||||
70,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/30 | 72,065 | ||||
20,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/31 | 20,567 | ||||
375,000 | Great Lakes MI Wtr Auth Sewage Disposal Sys Rev Ref 2nd Lien, Ser C | 5.00% | 07/01/36 | 396,894 | ||||
100,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Sr Lien Bond, Ser A | 5.00% | 07/01/25 | 106,074 | ||||
60,000 | Kalamazoo MI Econ Dev Corp Heritage Cmnty of Kalamazoo Revel Creek Proj Temps 60, Ser B2 | 2.63% | 05/15/25 | 57,473 | ||||
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 | 112,832 | ||||
85,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 4.00% | 11/15/36 | 86,176 | ||||
155,000 | MI St Fin Auth Rev Ref Hosp Mclaren Hlth Care, Ser A | 5.00% | 05/15/27 | 163,054 | ||||
350,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog Great Lakes Wtr Auth, Ser D1, AGM | 5.00% | 07/01/28 | 368,980 | ||||
1,000,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog Great Lakes Wtr Auth, Ser D4 | 5.00% | 07/01/30 | 1,029,636 | ||||
500,000 | MI St Fin Auth Rev Ref Sr Lien Great Lakes Wtr Auth, Ser C-6 | 5.00% | 07/01/32 | 514,396 | ||||
1,680,000 | MI St Fin Auth Rev Sr Lien Great Lakes Wtr Auth, Ser C-3, AGM | 5.00% | 07/01/29 | 1,735,229 | ||||
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 | 1,485,826 | ||||
2,000,000 | Oakland Univ MI Rev Gen, Ser A (Forward refunding maturity 03/01/23) | 5.00% | 03/01/38 | 2,003,088 | ||||
235,000 | Wayne Cnty MI Arpt Auth Rev Detroit Met Wayne Cnty Arpt, Ser C, AMT | 5.00% | 12/01/29 | 242,469 | ||||
270,000 | Wayne Cnty MI Arpt Auth Rev Detroit Met Wayne Cnty Arpt, Ser C, AMT | 5.00% | 12/01/30 | 278,548 | ||||
90,000 | Wayne Cnty MI Arpt Auth Rev Ref, Ser F, AMT | 5.00% | 12/01/25 | 95,166 | ||||
8,768,473 | ||||||||
Minnesota – 2.7% | ||||||||
650,000 | Alexandria MN Indep Sch Dist #206 Ref Sch Bldg, Ser B | 5.00% | 02/01/24 | 666,169 | ||||
2,250,000 | Buffalo MN Indep Sch Dist #877 | 3.00% | 02/01/29 | 2,256,002 | ||||
200,000 | Duluth MN Econ Dev Auth Rev Ref Benedictine Hlth Sys, Ser A | 3.00% | 07/01/24 | 196,492 | ||||
3,510,000 | Hennepin Cnty MN Sales Tax Rev Ref 1st Lien Ballpark Proj, Ser A | 5.00% | 12/15/30 | 3,874,377 | ||||
1,000,000 | Minneapolis MN Mf Rev Var Greenway Apartments Proj (Mandatory put 08/01/24) | 2.70% | 08/01/25 | 988,950 | ||||
2,500,000 | MN Muni Gas Agy Cmdy Sply Rev, Ser A | 4.00% | 12/01/25 | 2,550,046 | ||||
1,250,000 | MN St Rural Wtr Fin Auth Pub Projs Constr Notes | 2.63% | 12/01/23 | 1,241,933 | ||||
11,773,969 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Mississippi – 0.4% | ||||||||
$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 | $219,719 | ||||
1,500,000 | MS St Hosp Equipment & Facs Auth Ref Adj Baptist Memorial Hlth Care Corp Remk, Ser A-2 (Mandatory put 08/30/23) | 3.15% | 09/01/36 | 1,499,874 | ||||
1,719,593 | ||||||||
Missouri – 1.5% | ||||||||
375,000 | Bridgeton MO Spl Oblig Rev Ref, Ser A | 4.00% | 12/01/25 | 389,594 | ||||
385,000 | Bridgeton MO Spl Oblig Rev Ref, Ser A | 4.00% | 12/01/26 | 405,319 | ||||
200,000 | Jackson Cnty MO Spl Oblg Rirr Right of Way Proj | 4.00% | 12/01/27 | 209,162 | ||||
635,000 | Met Saint Louis MO Swr Dist Wstwtr Sys Rev Ref & Impt, Ser B (Forward refunding maturity 05/01/25) | 5.00% | 05/01/33 | 666,112 | ||||
140,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Bethesda Hlth Grp Inc Ref | 3.00% | 08/01/23 | 138,864 | ||||
305,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Bethesda Hlth Grp Inc Ref | 4.00% | 08/01/25 | 299,883 | ||||
350,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Saint Lukes Hlth Sys Inc | 4.00% | 11/15/33 | 357,971 | ||||
2,000,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Ssm Hlth Care, Ser A (Pre-refunded maturity 06/01/24) | 5.00% | 06/01/29 | 2,061,727 | ||||
235,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs | 5.00% | 02/01/23 | 235,000 | ||||
1,000,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/25 | 992,995 | ||||
235,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/27 | 230,156 | ||||
200,000 | Plaza at Noah’s Ark Cmnty Impt Dist MO Tax Incr & Impt Ref | 3.00% | 05/01/24 | 196,725 | ||||
250,000 | Springfield MO Spl Oblg Ref | 4.00% | 04/01/26 | 262,280 | ||||
6,445,788 | ||||||||
Montana – 0.1% | ||||||||
240,000 | Forsyth MT Poll Control Rev Ref Puget Sound Energy Proj, Ser A (Mandatory put 03/01/23) | 3.90% | 03/01/31 | 240,063 | ||||
Nebraska – 1.0% | ||||||||
70,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 | 5.00% | 01/01/24 | 70,838 | ||||
2,290,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 (Mandatory put 01/01/24) | 5.00% | 03/01/50 | 2,315,239 | ||||
330,000 | Centrl Plains Energy Proj NE Gas Proj Rev Ref Proj #3, Ser A | 5.00% | 09/01/26 | 347,401 | ||||
400,000 | Muni Energy Agy of NE Ref | 5.00% | 04/01/28 | 436,544 | ||||
1,235,000 | Omaha NE Pub Facs Corp Lease Rev, Ser A | 4.00% | 04/15/25 | 1,274,953 | ||||
4,444,975 | ||||||||
Nevada – 0.5% | ||||||||
120,000 | Clark Cnty NV Sch Dist Bldg Cr, Ser B, AGM | 5.00% | 06/15/31 | 136,915 | ||||
500,000 | Clark Cnty NV Sch Dist Ref Bldg, Ser A, BAM | 5.00% | 06/15/30 | 554,265 | ||||
300,000 | Las Vegas NV Spl Impt Dist #616 Spl Impt Dist No 816 Summerlin Vlg 22 | 2.00% | 06/01/24 | 290,679 | ||||
225,000 | Las Vegas NV Spl Impt Dist #616 Spl Impt Dist No 816 Summerlin Vlg 22 | 2.00% | 06/01/26 | 206,988 | ||||
285,000 | Las Vegas NV Spl Impt Dist #808 & #810 Ref | 5.00% | 06/01/28 | 288,558 | ||||
275,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/25 | 289,919 | ||||
500,000 | Yerington NV USDA Interim Debs | 1.63% | 11/01/23 | 494,212 | ||||
2,261,536 | ||||||||
New Hampshire – 0.0% | ||||||||
220,000 | Natl Fin Auth NH Sr Living Rev Ref Springpoint Sr Living | 4.00% | 01/01/24 | 219,622 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New Jersey – 4.7% | ||||||||
$1,000,000 | Casino Reinvestment Dev Auth NJ Luxury Tax Rev Ref, AGM | 5.00% | 11/01/29 | $1,039,050 | ||||
1,880,000 | Cherry Hill Twp NJ | 3.00% | 08/15/25 | 1,914,601 | ||||
3,000,000 | Newark NJ, Ser D, BANS | 4.00% | 09/29/23 | 3,016,416 | ||||
1,000,000 | NJ St | 2.00% | 06/01/24 | 991,880 | ||||
2,000,000 | NJ St | 2.00% | 06/01/29 | 1,888,872 | ||||
250,000 | NJ St Covid-19 Go Emergency Bonds, Ser A | 4.00% | 06/01/30 | 274,678 | ||||
1,000,000 | NJ St Econ Dev Auth Ref Sch Facs Constr, Ser N-1, NATL-RE | 5.50% | 09/01/23 | 1,015,869 | ||||
255,000 | NJ St Econ Dev Auth Ref, Ser A | 4.13% | 06/15/27 | 262,569 | ||||
580,000 | NJ St Econ Dev Auth Rev Portal N Bridge Proj NJ Transit Transprtn Proj Bonds, Ser A | 5.00% | 11/01/26 | 629,180 | ||||
110,000 | NJ St Econ Dev Auth Rev Ref Sch Facs Constr, Ser PP | 3.50% | 06/15/27 | 110,583 | ||||
275,000 | NJ St Econ Dev Auth Rev Ref, Ser XX | 4.38% | 06/15/27 | 284,727 | ||||
335,000 | NJ St Econ Dev Auth Rev, Ser WW (Pre-refunded maturity 06/15/25) | 5.00% | 06/15/34 | 348,212 | ||||
1,000,000 | NJ St Econ Dev Auth Spl Fac Rev Continental Airls Inc Pj | 5.13% | 09/15/23 | 1,004,819 | ||||
1,000,000 | NJ St Econ Dev Auth Spl Fac Rev Ref Port Newark Container Terminal LLC Proj, AMT | 5.00% | 10/01/23 | 1,008,595 | ||||
655,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev, Ser B, AMT | 5.00% | 12/01/25 | 688,401 | ||||
2,000,000 | NJ St Hlth Care Facs Fing Auth Rev Ref Rwj Barnabas Hlth Oblig Grp Issue, Ser B-2 (Mandatory put 07/01/25) | 5.00% | 07/01/42 | 2,111,823 | ||||
200,000 | NJ St Hlth Care Facs Fing Auth Rev Ref Rwj Barnabas Hlth Oblig Grp Issue, Ser B-3 (Mandatory put 07/01/26) | 5.00% | 07/01/45 | 215,207 | ||||
1,000,000 | NJ St Hsg & Mtge Fin Agy Rev Ref Sf Hsg, Ser D, AMT | 4.00% | 04/01/24 | 1,007,145 | ||||
85,000 | NJ St Transprtn Trust Fund Auth Cap Apprec Transprtn Sys, Ser C, AMBAC | (c) | 12/15/25 | 78,177 | ||||
225,000 | NJ St Transprtn Trust Fund Auth Fed Hwy Reimb Nts, Ser A-1, GARVEE | 5.00% | 06/15/27 | 242,684 | ||||
260,000 | NJ St Transprtn Trust Fund Auth Ref Fed Hwy Reimb Nts, Ser A, GARVEE | 5.00% | 06/15/29 | 279,763 | ||||
875,000 | Tobacco Stlmt Fing Corp NJ Ref, Ser A | 5.00% | 06/01/23 | 881,467 | ||||
1,000,000 | Tobacco Stlmt Fing Corp NJ Ref, Ser A | 5.00% | 06/01/24 | 1,021,916 | ||||
20,316,634 | ||||||||
New Mexico – 0.7% | ||||||||
1,000,000 | Farmington NM Poll Control Rev Var Ref Pub Svc Co of NM San Juan Proj Remk, Ser D (Mandatory put 06/01/23) | 1.10% | 06/01/40 | 991,202 | ||||
2,000,000 | NM Fin Auth Rev Sub, Ser B | 5.00% | 06/15/24 | 2,072,656 | ||||
3,063,858 | ||||||||
New York – 3.6% | ||||||||
1,275,000 | Hempstead NY Union Free Sch Dist for 2022-2023 St Aid, RANS | 3.75% | 06/30/23 | 1,278,615 | ||||
155,000 | Hudson Yards Infra Corp NY 2nd Indenture Rev Ref, Ser A | 5.00% | 02/15/30 | 171,107 | ||||
350,000 | Lackawanna NY Ref, Ser B, BAM | 5.00% | 11/01/25 | 374,398 | ||||
125,000 | Long Beach NY, Ser B | 5.50% | 07/15/25 | 132,184 | ||||
200,000 | New York City NY Hsg Dev Corp Mf Hsg Rev Sustainable Dev Bond, Ser E-1 | 1.55% | 05/01/23 | 199,390 | ||||
2,000,000 | New York City NY Hsg Dev Corp Mf Hsg Rev Sustainable Dev Bonds, Ser F-2A (Mandatory put 12/22/26) | 3.40% | 11/01/62 | 2,017,354 | ||||
1,350,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev 2nd General Resolution, Ser DD | 5.00% | 06/15/35 | 1,390,538 | ||||
3,000,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Var Ref Sub 2nd General Resolution, Ser DD (d) | 1.50% | 06/15/33 | 3,000,000 | ||||
340,000 | New York City NY Transitional Fin Auth Bldg Aid Rev Ref Fiscal 2018, Ser S-1 | 5.00% | 07/15/35 | 374,107 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$735,000 | New York City NY Transitional Fin Auth Rev Ref Sub Future Tax Secured, Ser F, Subser F-1 | 5.00% | 11/01/23 | $749,490 | ||||
200,000 | New York City NY Transitional Fin Auth Rev Sub Future Tax Secured Fiscal 2017, Subser A-1 | 4.00% | 05/01/31 | 209,236 | ||||
1,000,000 | NY NY Adj Fiscal 2020, Subser B-3 (d) | 1.50% | 10/01/46 | 1,000,000 | ||||
570,000 | NY NY Prerefunded, Subser F-1 (Pre-refunded maturity 03/01/23) | 5.00% | 03/01/37 | 571,185 | ||||
1,000,000 | NY NY Ref, Ser B-1 | 5.00% | 08/01/24 | 1,039,094 | ||||
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 | 270,721 | ||||
405,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref American Airls Inc John F Kennedy Intl Arpt Proj, AMT | 2.25% | 08/01/26 | 382,692 | ||||
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 | 132,805 | ||||
180,000 | Onondaga NY Civic Dev Corp Le Moyne Clg Proj | 5.00% | 07/01/26 | 188,820 | ||||
340,000 | Port Auth of NY & NJ NY Consol One Hundred Eighty Fifth Ref, AMT | 4.00% | 09/01/34 | 343,610 | ||||
1,180,000 | Port Auth of NY & NJ NY Ref, 194th Ser | 5.00% | 10/15/34 | 1,260,796 | ||||
375,000 | Westhill NY Centrl Sch Dist, BANS | 4.00% | 06/28/23 | 376,975 | ||||
15,463,117 | ||||||||
North Carolina – 2.6% | ||||||||
3,035,000 | Charlotte Mecklenburg NC Hosp Auth Hlth Care Sys Rev Var Atrium Hlth, Ser C (Mandatory put 03/01/23) | 5.00% | 01/15/48 | 3,040,859 | ||||
1,000,000 | Columbus Cnty NC Indl Facs & Poll Control Fing Auth Rev Var Ref Intl Paper CO Proj, Ser A (Mandatory put 06/16/25) | 1.38% | 05/01/34 | 941,138 | ||||
400,000 | NC St Capital Facs Fin Agy Eductnl Facs Rev Ref High Point Univ | 5.00% | 05/01/28 | 443,593 | ||||
3,215,000 | NC St Med Care Commn Hosp Rev Caromont Hlth, Ser B (Mandatory put 02/01/26) | 5.00% | 02/01/51 | 3,438,770 | ||||
865,000 | NC St Med Care Commn Retmnt Facs Rev Ref 1st Mtge Aldersgate | 5.13% | 07/01/23 | 873,699 | ||||
1,500,000 | NC St Turnpike Auth, BANS | 5.00% | 02/01/24 | 1,535,221 | ||||
170,000 | Raleigh Durham NC Arpt Auth Arpt Rev Ref Ser A, AMT | 5.00% | 05/01/29 | 190,830 | ||||
580,000 | Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/35 | 615,361 | ||||
11,079,471 | ||||||||
North Dakota – 0.6% | ||||||||
1,400,000 | Cass Cnty ND Jt Wtr Res Dist, Ser A | 0.48% | 05/01/24 | 1,345,615 | ||||
50,000 | Grand Forks ND Hlthcare Sys Rev Altru Hlth Sys Ref | 5.00% | 12/01/25 | 52,550 | ||||
50,000 | Grand Forks ND Hlthcare Sys Rev Altru Hlth Sys Ref | 5.00% | 12/01/26 | 53,409 | ||||
200,000 | Horace ND Ref | 3.00% | 05/01/25 | 195,609 | ||||
1,000,000 | Larimore ND Loan Anticipation Temp Impt Bonds | 0.85% | 05/01/24 | 963,493 | ||||
2,610,676 | ||||||||
Ohio – 2.5% | ||||||||
75,000 | NE OH Med Univ Gen Recpts Ref, Ser A | 5.00% | 12/01/24 | 77,446 | ||||
1,000,000 | NW OH Loc Sch Dist Hamilton & Butler Cntys Sch Impt (Pre-refunded maturity 12/01/23) | 5.00% | 12/01/45 | 1,021,258 | ||||
1,000,000 | OH St Air Quality Dev Auth American Elec Pwr Co Proj Remk, Ser A (Mandatory put 10/01/29) | 2.40% | 12/01/38 | 911,430 | ||||
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 | 928,399 | ||||
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 | 728,271 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Ohio (Continued) | ||||||||
$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 | $2,569,807 | ||||
870,000 | 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 | 891,734 | ||||
1,000,000 | OH St Hgr Eductnl Fac Commn Kenyon Clg Proj (Forward refunding maturity 07/01/23) | 5.00% | 07/01/37 | 1,009,131 | ||||
1,500,000 | OH St Hgr Eductnl Fac Commn Ref Case Western Reserve Univ Proj | 5.00% | 12/01/23 | 1,531,886 | ||||
200,000 | OH St Hosp Fac Rev Ref Cleveland Clinic Hlth Sys, Ser A | 5.00% | 01/01/25 | 209,500 | ||||
235,000 | OH St Hosp Fac Rev Ref Cleveland Clinic Hlth Sys, Ser A | 5.00% | 01/01/33 | 262,897 | ||||
500,000 | OH St Hosp Rev Ref Var Univ Hosps Hlth Sys Inc, Ser C (d) | 1.95% | 01/15/51 | 500,000 | ||||
10,641,759 | ||||||||
Oklahoma – 0.4% | ||||||||
300,000 | Oklahoma Cnty OK Fin Auth Eductnl Facs Lease Rev Midwest City De City Pub Schs Proj | 5.00% | 10/01/26 | 325,431 | ||||
1,000,000 | Tahlequah OK Pub Facs Auth Sales Tax Rev, Ser B | 3.25% | 04/01/28 | 994,747 | ||||
200,000 | Tulsa OK Arpts Impt Trust Arpt, Ser A, AMT, AGM | 4.00% | 06/01/25 | 204,079 | ||||
1,524,257 | ||||||||
Oregon – 0.4% | ||||||||
260,000 | Port of Portland OR Arpt Rev Portland Intl Arpt, Ser 25B, AMT | 5.00% | 07/01/27 | 282,693 | ||||
130,000 | Port of Portland OR Arpt Rev, Ser 24B, AMT | 5.00% | 07/01/33 | 138,835 | ||||
260,000 | Salem OR Hosp Fac Auth Rev Ref Capital Manor Proj | 5.00% | 05/15/25 | 261,934 | ||||
265,000 | Salem OR Hosp Fac Auth Rev Ref Capital Manor Proj | 5.00% | 05/15/26 | 266,975 | ||||
100,000 | Union Cnty OR Hosp Fac Auth Grande Ronde Hosp | 5.00% | 07/01/25 | 103,994 | ||||
100,000 | Union Cnty OR Hosp Fac Auth Grande Ronde Hosp | 5.00% | 07/01/26 | 105,494 | ||||
680,000 | Yamhill Cnty OR Hosp Auth Friendsview Temps 50, Ser B-3 | 1.75% | 11/15/26 | 630,121 | ||||
1,790,046 | ||||||||
Pennsylvania – 5.5% | ||||||||
1,500,000 | Allegheny Cnty PA Indl Dev Auth Envrnmtl Impt Rev Ref United States Steel Corp Proj | 4.88% | 11/01/24 | 1,509,500 | ||||
315,000 | Allegheny Vly PA Jt Sewage Auth Green Bond, BAM | 4.00% | 08/01/25 | 326,991 | ||||
495,000 | Cmwlth Fing Auth PA Tobacco Master Stlmt Payment Rev Tobacco Master Stlmt Payment Bonds | 5.00% | 06/01/23 | 498,762 | ||||
235,000 | Cmwlth Fing Auth PA Tobacco Master Stlmt Payment Rev Tobacco Master Stlmt Payment Bonds | 5.00% | 06/01/26 | 252,437 | ||||
295,000 | Cumberland Cnty PA Muni Auth Ref Messiah Vlg Proj | 5.00% | 07/01/23 | 295,540 | ||||
660,000 | Dauphin Cnty PA Gen Auth Hlth Sys Rev Ref Pinnacle Hlth Sys Proj, Ser A | 4.00% | 06/01/32 | 676,131 | ||||
265,000 | Deer Creek PA Drain Basin Allegheny Cnty Swr Rev Ref, AGM | 5.00% | 12/01/26 | 290,395 | ||||
90,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/24 | 93,440 | ||||
175,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/25 | 185,191 | ||||
390,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/28 | 411,778 | ||||
170,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/30 | 179,092 | ||||
50,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/24 | 50,759 | ||||
75,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/25 | 77,153 | ||||
75,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/26 | 78,075 | ||||
500,000 | Lancaster PA Ref, BAM | 5.00% | 05/01/25 | 527,185 | ||||
80,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 5.00% | 03/01/24 | 81,087 | ||||
150,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 5.00% | 03/01/25 | 153,818 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$255,000 | Lehigh Cnty PA Gen Purp Auth Revs Ref Lehigh Carbon Cmnty Clg, Ser 2016, BAM | 5.00% | 11/01/26 | $275,013 | ||||
1,000,000 | Lehigh Cnty PA Indl Dev Auth Ref Ppl Ele Util Corp Proj 2016 Remk, Ser B | 2.63% | 02/15/27 | 984,114 | ||||
175,000 | Montgomery Cnty PA Indl Dev Auth Ref Waverly Heights Ltd Proj | 4.00% | 12/01/26 | 180,211 | ||||
2,000,000 | N Wales PA Wtr Auth Ref | 3.00% | 11/01/23 | 2,006,004 | ||||
400,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/25 | 416,115 | ||||
210,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/27 | 221,426 | ||||
150,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/30 | 158,077 | ||||
185,000 | PA St 1st, Ser 2020 | 5.00% | 05/01/29 | 214,904 | ||||
180,000 | PA St Econ Dev Fing Auth Rev Ref Upmc | 4.00% | 03/15/35 | 183,143 | ||||
2,100,000 | PA St Econ Dev Fing Auth T/E Priv Activity Rev The Penndot Major Bridges Package One Proj P3 Proj, AMT | 5.00% | 12/31/29 | 2,308,163 | ||||
545,000 | PA St Econ Dev Fing Auth Upmc Rev Ref, Ser A | 5.00% | 11/15/29 | 604,643 | ||||
465,000 | PA St Hsg Fin Agy SF Mtge Rev Non Ace, Ser 123B | 3.45% | 10/01/32 | 463,375 | ||||
405,000 | PA St Ref, Ser 1 | 5.00% | 09/15/27 | 444,664 | ||||
720,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/28 | 773,934 | ||||
80,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/39 | 83,435 | ||||
200,000 | PA St Turnpike Commn Turnpike Rev Subord, Ser A-1 | 5.00% | 12/01/30 | 213,445 | ||||
500,000 | Philadelphia PA Arpt Rev Ref, Ser A | 5.00% | 07/01/23 | 504,877 | ||||
825,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Ref String Theory Chrt Sch Proj (a) | 4.00% | 06/15/23 | 825,421 | ||||
570,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Ref String Theory Chrt Sch Proj (a) | 5.00% | 06/15/24 | 578,332 | ||||
300,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Ref String Theory Chrt Sch Proj (a) | 5.00% | 06/15/25 | 307,113 | ||||
330,000 | Philadelphia PA Auth for Indl Dev Temple Univ Rev Ref 1st, Ser 2015 | 5.00% | 04/01/27 | 347,150 | ||||
35,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/27 | 38,939 | ||||
435,000 | Philadelphia PA, Ser B | 4.00% | 08/01/35 | 442,694 | ||||
1,200,000 | Pittsburgh PA Wtr & Swr Auth Ref 1st Lien, Ser A | 5.00% | 09/01/23 | 1,217,007 | ||||
1,000,000 | Scranton PA Sch Dist Ref (b) | 5.00% | 12/01/23 | 1,016,025 | ||||
820,000 | Scranton PA Sch Dist Ref, Ser D | 5.00% | 06/01/27 | 868,115 | ||||
325,000 | Westmoreland Cnty PA Muni Auth Ref, BAM | 5.00% | 08/15/25 | 344,521 | ||||
1,240,000 | Wilkes-Barre PA Area Sch Dist, Ser B, BAM | 5.00% | 08/01/27 | 1,363,752 | ||||
375,000 | Wyoming PA Area Sch Dist Ref, Ser A, AGM | 4.00% | 11/01/24 | 385,522 | ||||
23,457,468 | ||||||||
Puerto Rico – 0.3% | ||||||||
798,657 | Puerto Rico Cmwlth Restructured, Ser A, CABS | (c) | 07/01/24 | 748,297 | ||||
299,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (c) | 07/01/24 | 281,817 | ||||
328,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (c) | 07/01/27 | 270,862 | ||||
1,300,976 | ||||||||
Rhode Island – 0.5% | ||||||||
1,670,000 | Providence RI Pub Bldgs Auth Rev, Ser A, AGM | 5.00% | 09/15/30 | 1,896,784 | ||||
445,000 | RI St Hlth & Eductnl Bldg Corp Pub Schs Rev Ref Providence Pub Bldg Auth, AGM | 5.00% | 05/15/28 | 470,163 | ||||
2,366,947 | ||||||||
South Carolina – 0.6% | ||||||||
1,000,000 | Saxe Gotha Lexington Pub Facs Corp SC Rev Corley Mill Redev Proj Area, BANS | 2.00% | 03/17/23 | 998,668 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
South Carolina (Continued) | ||||||||
$850,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at Furman | 4.00% | 11/15/27 | $823,651 | ||||
250,000 | SC St Pub Svc Auth Rev Ref, Ser A | 5.00% | 12/01/24 | 260,010 | ||||
625,000 | SC St Pub Svc Auth Rev Ref, Ser A | 5.00% | 12/01/30 | 663,232 | ||||
2,745,561 | ||||||||
South Dakota – 0.5% | ||||||||
355,000 | SD St Hlth & Eductnl Facs Auth Ref Sanford Oblig Grp | 5.00% | 11/01/27 | 377,868 | ||||
330,000 | SD St Hlth & Eductnl Facs Auth Ref Sanford Oblig Grp | 5.00% | 11/01/35 | 344,688 | ||||
100,000 | SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty Issue | 3.00% | 09/01/25 | 99,547 | ||||
150,000 | SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty Issue | 3.00% | 09/01/26 | 149,534 | ||||
990,000 | SD St Hsg Dev Auth Ref Homeownership Mtge, Ser E, AMT | 2.80% | 11/01/25 | 978,276 | ||||
1,949,913 | ||||||||
Tennessee – 2.2% | ||||||||
145,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Trevecca Nazarene Univ Proj, Ser B | 4.00% | 10/01/26 | 145,335 | ||||
450,000 | Met Nashville TN Arpt Auth Arpt Rev, Ser B, AMT | 5.00% | 07/01/27 | 488,304 | ||||
2,000,000 | Montgomery Cnty TN Ref, Ser A | 5.00% | 04/01/24 | 2,060,773 | ||||
300,000 | Tennergy Corp TN Gas Rev, Ser A | 4.00% | 09/01/25 | 304,748 | ||||
500,000 | Tennergy Corp TN Gas Rev, Ser A | 4.00% | 03/01/26 | 509,416 | ||||
1,500,000 | TN St Energy Acq Corp Gas Rev (Mandatory put 11/01/25) | 4.00% | 11/01/49 | 1,507,560 | ||||
3,450,000 | TN St Energy Acq Corp Gas Rev Proj, Ser A (Mandatory put 05/01/23) | 4.00% | 05/01/48 | 3,453,690 | ||||
765,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/26 | 797,829 | ||||
9,267,655 | ||||||||
Texas – 12.0% | ||||||||
250,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Uplift Edu, Ser A | 4.00% | 12/01/30 | 262,492 | ||||
150,000 | Arlington Tx Hgr Edu Fin Corp Edu Rev Trinity Basin Preparatory Inc | 5.00% | 08/15/28 | 166,600 | ||||
150,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Trinity Basin Preparatory Inc | 5.00% | 08/15/27 | 163,777 | ||||
500,000 | Austin TX Arpt Sys Rev, AMT | 5.00% | 11/15/25 | 528,193 | ||||
250,000 | Austin TX Arpt Sys Rev, AMT | 5.00% | 11/15/28 | 258,277 | ||||
500,000 | Austin TX Arpt Sys Rev, AMT | 5.00% | 11/15/33 | 514,494 | ||||
2,000,000 | Austin TX Ref | 3.15% | 09/01/28 | 2,030,431 | ||||
125,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fndtn Proj | 5.00% | 07/15/23 | 125,271 | ||||
320,000 | Brazoria Cnty TX Muni Util Dist #55, BAM | 4.00% | 09/01/25 | 328,258 | ||||
240,000 | Brazoria Cnty TX Ref | 5.00% | 03/01/27 | 259,081 | ||||
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 | 300,172 | ||||
290,000 | Centrl TX Regl Mobility Auth Rev Ref | 5.00% | 01/01/27 | 309,269 | ||||
250,000 | Centrl TX Regl Mobility Auth Rev, Ser C | 5.00% | 01/01/27 | 265,960 | ||||
150,000 | Chisum TX Indep Sch Dist Ref Sch Bldg | 5.00% | 08/15/23 | 152,045 | ||||
35,000 | Clifton TX Hgr Edu Fin Corp Edu Rev Idea Pub Schs, Ser B | 5.00% | 08/15/24 | 36,035 | ||||
150,000 | Club Muni Mgmt Dist #1 TX Spl Assmnt Rev Impt Area #2 Proj (a) | 2.50% | 09/01/26 | 138,183 | ||||
1,000,000 | Collin Cnty TX Ref | 4.00% | 02/15/27 | 1,050,353 | ||||
400,000 | Corpus Christi TX Util Sys Rev Junior Lien, Ser B | 5.00% | 07/15/26 | 434,341 | ||||
207,000 | Crandall TX Spl Assmnt Rev Cartwright Ranch Pub Impt Dt Impt Area #1 Proj (a) | 3.38% | 09/15/26 | 192,519 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$100,000 | Cypress Fairbanks TX Indep Sch Dist Ref Sch Bldg | 5.00% | 02/15/27 | $108,175 | ||||
1,000,000 | Dallas TX Hotel Occupancy Tax Rev Ref | 4.00% | 08/15/30 | 1,024,818 | ||||
1,000,000 | Denton Cnty TX Hsg Fin Corp Var Pathway on Woodrow Apts (Mandatory put 02/01/25) | 5.00% | 02/01/26 | 1,036,987 | ||||
1,005,000 | Fort Bend Cnty TX Muni Util Dist #182, BAM | 5.25% | 09/01/26 | 1,094,327 | ||||
280,000 | Fort Bend Cnty TX Muni Util Dist #184, BAM | 6.00% | 04/01/27 | 316,001 | ||||
295,000 | Fort Bend Cnty TX Muni Util Dist #184, BAM | 6.00% | 04/01/28 | 332,419 | ||||
265,000 | Fort Bend Cnty TX Muni Util Dist #58, AGM | 4.00% | 04/01/25 | 273,901 | ||||
840,000 | Fort Bend TX Indep Sch Dist Ref | 5.00% | 08/15/26 | 921,011 | ||||
1,250,000 | Fort Bend TX Indep Sch Dist Var Remk, Ser A (Mandatory put 08/01/24) | 2.38% | 08/01/49 | 1,238,321 | ||||
585,000 | Fort Bend TX Muni Util Dist #169 Contract Rev Road Facs, Ser B, BAM | 4.00% | 12/01/25 | 610,725 | ||||
585,000 | Fort Bend TX Muni Util Dist #169 Contract Rev Road Facs, Ser B, BAM | 4.00% | 12/01/26 | 619,246 | ||||
465,000 | Galveston Cnty TX Muni Util Dist #54 Ref | 2.00% | 12/01/25 | 435,756 | ||||
560,000 | Galveston Cnty TX Muni Util Dist #54 Ref | 2.00% | 12/01/27 | 506,377 | ||||
1,500,000 | Grayson Cnty TX Ref | 3.00% | 01/01/26 | 1,498,143 | ||||
1,475,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Med Facs Rev Ref Baylor Clg of Med | 5.00% | 11/15/23 | 1,502,114 | ||||
1,000,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Rev Memorial Herman Hlth Sys, Ser A | 5.00% | 12/01/26 | 1,044,657 | ||||
1,340,000 | 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 | 1,392,191 | ||||
1,000,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Thermal Util Re Ref Teco Proj | 5.00% | 11/15/29 | 1,120,931 | ||||
230,000 | Harris Cnty TX Muni Util Dist #536, BAM | 5.50% | 09/01/26 | 251,736 | ||||
240,000 | Harris Cnty TX Muni Util Dist #536, BAM | 5.50% | 09/01/27 | 267,698 | ||||
100,000 | Houston TX Arpt Sys Rev Ref Sub, Ser B | 5.00% | 07/01/26 | 108,970 | ||||
900,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 925,162 | ||||
200,000 | Houston TX Arpt Sys Rev Sub, Ser A, AMT | 5.00% | 07/01/28 | 220,104 | ||||
625,000 | Kingsville TX Ctfs Oblig, BAM | 2.00% | 08/01/23 | 622,083 | ||||
975,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch, Ser A (Pre-refunded maturity 08/15/24) (a) | 5.25% | 08/15/35 | 1,015,031 | ||||
1,300,000 | Love Field TX Arpt Modernization Corp Gen Arpt Rev, AMT | 5.00% | 11/01/23 | 1,318,348 | ||||
405,000 | Love Field TX Arpt Modernization Corp Gen Arpt Rev, AMT | 5.00% | 11/01/31 | 431,856 | ||||
435,000 | Lower CO River TX Auth Trans Contract Rev Ref | 5.00% | 05/15/23 | 437,830 | ||||
1,500,000 | Matagorda Cnty TX Nav Dist #1 Var Rev Cent Pwr & Lt Ref Remk, AMT (Mandatory put 09/01/23) | 0.90% | 05/01/30 | 1,470,788 | ||||
200,000 | Mcallen TX Indep Sch Dist Ref, Ser A | 5.00% | 02/15/23 | 200,187 | ||||
275,000 | Mclendon Chisholm TX Spl Assmnt Rev Ref Sonoma Pub Impt Dt Phase 1 Proj, BAM | 4.00% | 09/15/24 | 280,605 | ||||
440,000 | Montgomery Cnty TX Muni Util Dist #105, BAM | 4.63% | 09/01/25 | 463,745 | ||||
450,000 | Montgomery Cnty TX Muni Util Dist #105, BAM | 4.63% | 09/01/26 | 482,650 | ||||
400,000 | N Parkway Muni Mgmt Dist #1 TX Contract Rev Legacy Hills Pub Impt Dt Phase #1A-1B Impts (a) | 3.00% | 09/15/26 | 377,160 | ||||
140,000 | N TX Tollway Auth Rev Ref 1st Tier, Ser A | 5.00% | 01/01/36 | 150,000 | ||||
45,000 | N TX Tollway Auth Rev Ref 2nd Tier, Ser B | 5.00% | 01/01/31 | 47,941 | ||||
1,000,000 | N TX Tollway Auth Rev Ref First Tier Bonds, Ser A | 5.00% | 01/01/26 | 1,072,373 | ||||
150,000 | N TX Tollway Auth Rev Ref Second Tier Bonds, Ser C | 5.00% | 01/01/27 | 163,978 | ||||
105,000 | N TX Tollway Auth Rev Ref Sys 1st Tier, Ser A | 5.00% | 01/01/25 | 107,371 | ||||
1,000,000 | N TX Tollway Auth Rev Ref, Ser A | 5.00% | 01/01/25 | 1,022,580 | ||||
300,000 | N TX Tollway Auth Rev Second Tier, Ser B | 5.00% | 01/01/27 | 327,957 | ||||
10,000 | N TX Tollway Auth Rev Unrefunded Ref 2nd Tier, Ser B | 5.00% | 01/01/24 | 10,023 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$635,000 | New Hope Cultural Edu Facs Fin Corp TX Edu Rev Ref Jubilee Acad Ctr (a) | 4.00% | 08/15/25 | $633,628 | ||||
40,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Wesleyan Homes Inc Proj Fin Corp | 3.00% | 01/01/24 | 39,063 | ||||
1,490,000 | New Hope Cultural Edu Facs Fin Corp TX Stdt Hsg Rev Chf Clegiate Hsg San Antonio I-Tx A&M Univ-San Antonio, Ser A (Pre-refunded maturity 04/01/26) | 5.00% | 04/01/48 | 1,607,814 | ||||
50,000 | Oak Point TX Spl Assmnt Rev Wildridge Pub Impt Dist #1 Impt Area #2 Proj Accd Inv (a) | 3.50% | 09/01/23 | 49,841 | ||||
1,280,000 | Pasadena TX Indep Sch Dist Ref | 5.00% | 02/15/24 | 1,313,899 | ||||
1,180,000 | SA Energy Acq Pub Fac Corp TX Gas Sply Rev Gas Sply Rev | 5.50% | 08/01/25 | 1,231,822 | ||||
1,000,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Ref Baylor Scott & White Hlth Proj, Ser A | 5.00% | 11/15/28 | 1,075,475 | ||||
500,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Var Baylor Scott and White Hlth Proj, Ser E (Mandatory put 05/15/26) | 5.00% | 11/15/52 | 533,195 | ||||
700,000 | TX St Muni Gas Acq & Sply Corp III Gas Sply Rev Ref | 5.00% | 12/15/25 | 726,895 | ||||
480,000 | TX St Wtr Dev Brd St Wtr Implementation Fund, Ser A | 5.00% | 04/15/25 | 507,874 | ||||
340,000 | Univ of Houston TX Univ Revs Ref Consol, Ser C | 5.00% | 02/15/30 | 365,201 | ||||
4,000,000 | Univ of Texas TX Permanent Univ Fnd Permanent Univ Fund Bonds, Ser A | 5.00% | 07/01/26 | 4,372,572 | ||||
1,650,000 | Univ of Texas TX Univ Revs Ref, Ser H | 5.00% | 08/15/25 | 1,765,066 | ||||
1,580,000 | Univ of Texas TX Univ Revs, Ser D | 5.00% | 08/15/26 | 1,733,092 | ||||
630,000 | Viridian TX Muni Mgmt Dist Unlimited Tax Road Impt Bonds, BAM | 4.00% | 12/01/29 | 667,261 | ||||
385,000 | Wilbarger Creek TX Muni Util Dist #2, AGM | 4.00% | 09/01/26 | 406,502 | ||||
51,397,227 | ||||||||
Utah – 0.4% | ||||||||
1,745,000 | Utah Cnty UT Hosp Rev Ihc Hlth Svcs Inc, Ser B-1 (Mandatory put 08/01/24) | 5.00% | 05/15/60 | 1,801,999 | ||||
Virginia – 2.1% | ||||||||
850,000 | Chesapeake VA Econ Dev Auth Poll Control Rev VA Elec & Pwr Co Remk, Ser 2008A (Mandatory put 06/01/23) | 1.90% | 02/01/32 | 845,115 | ||||
310,000 | Hampton Roads VA Santn Dist Wstwtr Rev Prerefunded Sub, Ser A (Pre-refunded maturity 08/01/26) | 5.00% | 08/01/28 | 339,795 | ||||
1,490,000 | Loudoun Cnty VA, Ser B | 4.00% | 12/01/28 | 1,534,887 | ||||
1,525,000 | Norfolk VA Wtr Rev Ref | 5.00% | 11/01/31 | 1,719,351 | ||||
125,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/25 | 128,548 | ||||
125,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/26 | 130,096 | ||||
1,585,000 | VA St Pub Bldg Auth Pub Facs Rev, Ser C, AMT | 5.00% | 08/01/29 | 1,689,526 | ||||
2,000,000 | VA St Ref, Ser B | 5.00% | 06/01/23 | 2,017,402 | ||||
445,000 | VA St Res Auth Clean Wtr Rev Ref Revolving Fund, Ser B | 4.00% | 10/01/27 | 459,288 | ||||
200,000 | Wise Cnty VA Indl Dev Auth Sol Wst & Sewage Disp Rev VA Elec & Pwr Co Remk, Ser A (Mandatory put 05/31/24) | 1.20% | 11/01/40 | 193,258 | ||||
9,057,266 | ||||||||
Washington – 1.8% | ||||||||
1,315,000 | King Cnty WA Swr Rev Ref, Ser B | 5.00% | 07/01/26 | 1,362,880 | ||||
1,500,000 | Port of Seattle WA Rev Ref Intermediate Lien, Ser B, AMT | 5.00% | 08/01/26 | 1,608,520 | ||||
150,000 | Seattle WA Wtr Sys Rev Ref & Impt | 5.00% | 05/01/28 | 159,137 | ||||
310,000 | Tobacco Stlmt Auth WA Tobacco Stlmt Rev Ref | 5.00% | 06/01/23 | 312,446 | ||||
100,000 | WA St Hlth Care Facs Auth Ref Seattle Cancer Care Alliance | 5.00% | 09/01/27 | 109,046 | ||||
300,000 | WA St Hlthcare Facs Auth Seattle Cancer Care Alliance (a) | 5.00% | 12/01/26 | 323,946 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Washington (Continued) | ||||||||
$2,120,000 | WA St Hsg Fin Commn Nonprofit Hsg Rev Heron’s Key, Ser A (Pre-refunded maturity 07/01/25) (a) | 7.00% | 07/01/45 | $2,314,700 | ||||
1,555,000 | WA St, Ser B, COPS | 5.00% | 07/01/24 | 1,611,397 | ||||
7,802,072 | ||||||||
West Virginia – 0.7% | ||||||||
1,650,000 | Kanawha Cnty WV Cnty Commn Stdt Hsg Rev WV Univ Fndtn Proj (Pre-refunded maturity 07/01/23) (a) | 6.75% | 07/01/45 | 1,678,097 | ||||
1,500,000 | 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 | 1,510,539 | ||||
3,188,636 | ||||||||
Wisconsin – 1.8% | ||||||||
100,000 | Pub Fin Auth WI Edu Rev Coral Acdmy of Science Las Vegas, Ser A | 4.00% | 07/01/26 | 99,856 | ||||
185,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/25 | 190,656 | ||||
4,000,000 | Pub Fin Auth WI Poll Control Rev Var Ref Duke Engery Progress Proj, Ser A-1 (Mandatory put 10/01/26) | 3.30% | 10/01/46 | 4,071,828 | ||||
285,000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt Homes, Ser A | 4.00% | 10/01/25 | 282,362 | ||||
605,000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt Homes, Ser A | 4.00% | 10/01/26 | 596,462 | ||||
325,000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt Homes, Ser A | 4.00% | 10/01/29 | 315,899 | ||||
325,000 | Pub Fin Auth WI Rev Roseman Univ of Hlth Sciences Proj (a) | 3.00% | 04/01/25 | 314,653 | ||||
465,000 | Racine Cnty WI Ref, Ser A | 1.00% | 03/01/23 | 464,093 | ||||
275,000 | WI St Clean Wtr Rev Ref (Pre-refunded maturity 06/01/24) | 5.00% | 06/01/26 | 284,219 | ||||
810,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Ascension Hlth Credit Grp, Ser A | 5.00% | 11/15/36 | 845,970 | ||||
155,000 | WI St Hlth & Eductnl Facs Auth Rev Three Pillars Sr Living Cmntys, Ser A | 4.00% | 08/15/24 | 154,482 | ||||
7,620,480 | ||||||||
Wyoming – 0.3% | ||||||||
250,000 | Consol Muni Elec Pwr Sys Wy Jt Pwrs Brd Sys Jt Powers Brd Ref Electrical System Proj | 5.00% | 06/01/26 | 270,710 | ||||
755,000 | Consol Muni Elec Pwr Sys Wy Jt Pwrs Brd Sys Jt Powers Brd Ref Electrical System Proj | 5.25% | 06/01/37 | 870,784 | ||||
1,141,494 |
Total Investments – 97.6% | 419,556,277 | ||
(Cost $422,081,276) | |||
Net Other Assets and Liabilities – 2.4% | 10,398,375 | ||
Net Assets – 100.0% | $429,954,652 |
(a) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At January 31, 2023, securities noted as such amounted to $14,036,727 or 3.3% of net assets. |
(b) | When-issued security. The interest rate shown reflects the rate in effect at January 31, 2023. Interest will begin accruing on the security’s first settlement date. |
(c) | Zero coupon bond. |
(d) | 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 |
BANS | Bond Anticipation Notes |
CABS | Capital Appreciation Bonds |
COPS | Certificates of Participation |
GARVEE | Grant Anticipation Revenue Vehicle |
NATL-RE | National Public Finance Guarantee Corp. |
RANS | Revenue Anticipation Notes |
Total Value at 1/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 419,556,277 | $ — | $ 419,556,277 | $ — |
* | See Portfolio of Investments for state and territory breakout. |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 98.8% | ||||||||
Alabama – 3.0% | ||||||||
$480,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev Proj No. 4, Ser A-1 | 4.00% | 06/01/24 | $483,189 | ||||
300,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev, Ser A | 5.00% | 12/01/23 | 303,525 | ||||
1,955,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev, Ser A (Mandatory put 12/01/23) | 4.00% | 12/01/48 | 1,960,661 | ||||
400,000 | Black Belt Energy Gas Dist AL Gas Proj Rev Gas Proj, Ser E | 5.00% | 06/01/23 | 402,283 | ||||
525,000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 | 5.25% | 12/01/23 | 532,578 | ||||
385,000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 | 5.25% | 06/01/24 | 393,505 | ||||
625,000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 | 5.25% | 12/01/24 | 643,188 | ||||
200,000 | Black Belt Energy Gas Dist AL Gas Sply Rev Ref, Ser D1 | 4.00% | 06/01/23 | 200,484 | ||||
2,750,000 | Hlthcare Auth for Baptist Hlth AL Var Ref, Ser B (a) | 2.33% | 11/01/42 | 2,750,000 | ||||
1,155,000 | Lower AL Gas Dist Gas Proj Rev Gas Proj Rev Bonds Proj 2 (Mandatory put 12/01/25) | 4.00% | 12/01/50 | 1,160,536 | ||||
350,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A | 4.00% | 06/01/23 | 350,732 | ||||
1,095,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A (Mandatory put 06/01/24) | 4.00% | 06/01/49 | 1,097,583 | ||||
500,000 | SE Energy Auth AL Cmdy Sply Rev Proj #4, Ser B-1 | 5.00% | 08/01/23 | 503,484 | ||||
10,781,748 | ||||||||
Alaska – 0.2% | ||||||||
500,000 | AK St Indl Dev & Export Auth Rev Gtr Fairbanks Cmnty Hosp Fndtn Proj | 5.00% | 04/01/23 | 501,838 | ||||
300,000 | AK St, Ser A | 5.00% | 08/01/23 | 303,514 | ||||
805,352 | ||||||||
Arizona – 1.5% | ||||||||
2,000,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 05/01/23 | 2,011,632 | ||||
1,740,000 | Chandler AZ Indl Dev Auth Indl Dev Rev Var Intel Corp Proj Remk, AMT (Mandatory put 08/14/23) | 2.70% | 12/01/37 | 1,734,216 | ||||
180,000 | Glendale AZ Transprtn Excise Tax Rev Ref, AGM | 5.00% | 07/01/23 | 181,943 | ||||
300,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Sch Proj | 5.00% | 07/01/23 | 302,280 | ||||
150,000 | Nthrn AZ Univ Ref Sys, BAM | 5.00% | 06/01/23 | 151,180 | ||||
180,000 | Pima Cnty AZ Indl Dev Auth Sr Living Rev La Posada at Pusch Ridge Proj, Ser A (b) | 5.75% | 11/15/23 | 180,847 | ||||
520,000 | Salt Verde AZ Finl Corp Sr Gas Rev Sr | 5.25% | 12/01/23 | 526,438 | ||||
255,000 | Univ Med Ctr Corp AZ Hosp Rev (Pre-refunded maturity 07/01/23) | 5.50% | 07/01/26 | 258,220 | ||||
5,346,756 | ||||||||
California – 3.9% | ||||||||
3,000,000 | CA St Infra & Econ Dev Bank Rev Var Brightline W Passenger Rail Proj Remk, Ser A, AMT, (Mandatory put 01/31/24) | 3.65% | 01/01/50 | 2,999,951 | ||||
1,500,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Var Ref Rep Svcs Remk, Ser A, AMT (Mandatory put 05/01/23) (b) | 4.10% | 08/01/23 | 1,500,029 | ||||
235,000 | CA St Ref Various Purp | 2.38% | 02/01/23 | 235,000 | ||||
425,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Ser A-1 | 5.00% | 06/01/23 | 428,783 | ||||
335,000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.25% | 11/15/23 | 339,653 | ||||
2,000,000 | Los Angeles CA Trans | 4.00% | 06/29/23 | 2,013,399 | ||||
2,000,000 | Los Angeles Cnty CA Trans | 4.00% | 06/30/23 | 2,015,894 | ||||
710,000 | Riverside Cnty CA Trans | 5.00% | 06/30/23 | 717,723 | ||||
1,000,000 | San Diego CA Unif Sch Dist Trans, Ser A | 4.00% | 06/30/23 | 1,006,289 | ||||
1,700,000 | Sch Proj for Util Rate Reduction CA Nat Gas Pur Prog, RANS | 4.00% | 08/01/23 | 1,709,686 | ||||
1,000,000 | Univ of California CA Rev Gen, Ser AK (Mandatory put 05/15/23) | 5.00% | 05/15/48 | 1,007,460 | ||||
13,973,867 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado – 3.4% | ||||||||
$350,000 | Adams & Arapahoe Cntys CO Jt Sch Dist #28J Aurora Ref | 5.00% | 12/01/23 | $357,586 | ||||
1,275,000 | Arapahoe Cnty CO Sch Dist #5 Cherry Creek Ref & Impt, AGM | 2.00% | 12/15/23 | 1,271,011 | ||||
400,000 | CO St Hlth Facs Auth Rev Commonspirit Hlth Oblig Grp, Ser A | 5.00% | 11/01/23 | 406,092 | ||||
2,750,000 | CO St Hlth Facs Auth Rev Frasier Meadows Retmnt Cmnty Proj, Ser B (Forward refunding maturity 05/15/23) | 5.00% | 05/15/48 | 2,768,433 | ||||
635,000 | CO St Hlth Facs Auth Rev Frasier Meadows Retmnt Cmnty Proj, Ser B (Pre-refunded maturity 05/15/23) | 5.00% | 05/15/25 | 639,257 | ||||
185,000 | CO St Hlth Facs Auth Rev Ref Commonspirit Hlth, Ser B-1 (Mandatory put 08/01/25) | 5.00% | 08/01/49 | 191,697 | ||||
2,355,000 | CO St Ref UCDHSC Fitzsimons Academic Projs, Ser A, COPS (Pre-refunded maturity 11/01/23) | 5.00% | 11/01/28 | 2,400,016 | ||||
700,000 | Denver City & Cnty CO Arpt Rev Ref, Ser C | 5.00% | 11/15/23 | 713,639 | ||||
2,000,000 | Denver CO Convention Ctr Hotel Auth Rev Ref Sr | 5.00% | 12/01/23 | 2,023,831 | ||||
250,000 | Leyden Rock Met Dist CO Ref, AGM | 5.00% | 12/01/23 | 254,961 | ||||
1,000,000 | Regl Transprtn Dist CO, Ser A, COPS (Pre-refunded maturity 06/01/23) | 4.38% | 06/01/39 | 1,006,060 | ||||
12,032,583 | ||||||||
Connecticut – 3.7% | ||||||||
1,100,000 | Bridgeport CT Ref, Ser C | 5.00% | 02/15/23 | 1,100,955 | ||||
900,000 | CT St Hgr Edu Supplement Loan Auth Rev Chesla Ln Prog, Ser A, AMT | 5.00% | 11/15/23 | 917,030 | ||||
100,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Fairfield Univ, Ser S | 5.00% | 07/01/23 | 101,004 | ||||
225,000 | CT St Ref, Ser B | 5.00% | 04/15/23 | 226,150 | ||||
1,755,000 | CT St Ref, Ser B | 5.00% | 04/15/23 | 1,763,968 | ||||
2,500,000 | CT St Ref, Ser H | 5.00% | 11/15/23 | 2,551,075 | ||||
2,250,000 | CT St Spl Tax Oblig Rev Ref Transprtn Infra Purp, Ser B | 5.00% | 01/01/24 | 2,304,316 | ||||
630,000 | CT St Spl Tax Oblig Rev Transn Infra, Ser A | 5.00% | 08/01/23 | 638,288 | ||||
2,500,000 | Danbury CT, BANS | 3.00% | 07/13/23 | 2,503,339 | ||||
30,000 | Hamden CT, BAM | 5.00% | 08/15/23 | 30,377 | ||||
1,080,000 | New Haven CT, Ser A, AGM | 5.00% | 08/01/23 | 1,092,328 | ||||
13,228,830 | ||||||||
District of Columbia – 0.0% | ||||||||
125,000 | DC Hosp Rev Ref Children’s Hosp | 5.00% | 07/15/23 | 126,365 | ||||
Florida – 5.2% | ||||||||
85,000 | Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/23 | 84,704 | ||||
2,065,000 | Broward Cnty FL Arpt Sys Rev, Ser A, AMT (Pre-refunded maturity 10/01/23) | 5.13% | 10/01/38 | 2,098,317 | ||||
1,500,000 | Collier Cnty FL Eductnl Facs Auth Rev Eductnl Facs Hodges Univ Inc (Pre-refunded maturity 11/01/23) | 6.13% | 11/01/43 | 1,540,291 | ||||
500,000 | Duval Cnty FL Sch Brd, Ser A, COPS | 5.00% | 07/01/23 | 504,960 | ||||
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 | 1,499,122 | ||||
100,000 | Gtr Orlando FL Aviation Auth Arpt Facs Rev Ref Priority Sub Arpt Facs, AMT | 5.00% | 10/01/23 | 101,306 | ||||
445,000 | Hollywood Beach FL Cmnty Dev Dist Rev CDD Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/23 | 452,201 | ||||
325,000 | Hollywood FL Cmnty Redev Agy Redev Rev Ref | 5.00% | 03/01/23 | 325,582 | ||||
730,000 | Jacksonville FL Spl Rev Ref, Ser D | 5.00% | 10/01/23 | 741,958 | ||||
175,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Ref Country Club E Proj, AGM | 5.00% | 05/01/25 | 183,457 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$2,000,000 | Miami FL Spl Oblg Prerefunded Ref (Pre-refunded maturity 03/01/23) (b) | 5.00% | 03/01/30 | $2,003,993 | ||||
100,000 | Miami-Dade Cnty FL Eductnl Facs Auth Rev Univ of Miami, Ser A | 4.00% | 04/01/23 | 100,228 | ||||
95,000 | Miami-Dade Cnty FL Sch Brd, Ser B, COPS (Pre-refunded maturity 02/01/23) | 5.00% | 02/01/30 | 95,000 | ||||
1,000,000 | Miami-Dade Cnty FL Seaport Rev Ref Sr Bonds, Ser A, AMT (c) | 5.00% | 10/01/25 | 1,054,651 | ||||
2,500,000 | Miami-Dade Cnty FL Seaport Rev, Ser B, AMT (Pre-refunded maturity 10/01/23) | 6.25% | 10/01/38 | 2,559,205 | ||||
400,000 | Monroe Cnty FL Sch Dist Sales Tax Rev, AGM | 5.00% | 10/01/23 | 406,233 | ||||
2,650,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Presbyterian Retmnt Cmntys (Forward refunding maturity 08/01/23) | 5.00% | 08/01/41 | 2,754,247 | ||||
750,000 | Palm Beach Cnty FL Sch Brd, Ser B, COPS | 5.00% | 08/01/23 | 759,232 | ||||
145,000 | Sarasota Cnty FL Util Sys Rev (Pre-refunded maturity 10/01/23) | 5.00% | 10/01/38 | 147,510 | ||||
515,000 | Seminole Cnty FL Wtr & Swr Rev Ref, Ser A | 5.00% | 10/01/23 | 523,745 | ||||
700,000 | Tolomato FL CDD Ref, Ser A, AGM | 3.00% | 05/01/23 | 700,252 | ||||
18,636,194 | ||||||||
Georgia – 4.3% | ||||||||
1,025,000 | Atlanta GA Arpt Rev, Ser B, AMT | 5.00% | 07/01/23 | 1,033,425 | ||||
480,000 | Atlanta GA Wtr & Wstwtr Rev Ref, Ser B | 5.00% | 11/01/23 | 489,355 | ||||
1,800,000 | Burke Cnty GA Dev Auth Poll Control Rev GA Pwr Co Plant Vogtle Proj Remk, 4th Ser (Mandatory put 05/25/23) | 2.25% | 10/01/32 | 1,796,469 | ||||
2,600,000 | Burke Cnty GA Dev Auth Poll Control Rev Var Ref GA Pwr Co Plant Vogtle Proj (a) | 1.75% | 11/01/52 | 2,600,000 | ||||
500,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 4.00% | 12/01/23 | 502,967 | ||||
650,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (c) | 5.00% | 06/01/24 | 661,418 | ||||
550,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (c) | 5.00% | 06/01/25 | 565,985 | ||||
2,000,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put 09/01/23) | 4.00% | 04/01/48 | 2,008,079 | ||||
500,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser B | 5.00% | 06/01/24 | 510,090 | ||||
1,105,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Subser C (Mandatory put 12/01/23) | 4.00% | 08/01/48 | 1,111,355 | ||||
2,000,000 | Met Atlanta GA Rapid Transit Auth Sales Tax Rev Ref, Ser A | 4.00% | 07/01/24 | 2,043,494 | ||||
2,090,000 | Richmond Cnty GA Brd of Edu | 5.00% | 10/01/23 | 2,127,299 | ||||
15,449,936 | ||||||||
Hawaii – 0.2% | ||||||||
575,000 | Honolulu City & Cnty HI, Ser A | 5.00% | 10/01/23 | 584,955 | ||||
Illinois – 5.1% | ||||||||
230,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien O’Hare Intl Arpt, Ser C, AMT | 5.00% | 01/01/24 | 233,791 | ||||
600,000 | Chicago IL Ref, Ser A | 5.00% | 01/01/24 | 607,447 | ||||
1,500,000 | Chicago IL Transit Auth Capital Grant Recpts Rev Ref 5337 St of Good Repair Formula Funds | 5.00% | 06/01/23 | 1,510,802 | ||||
165,000 | Chicago IL Wtr Rev Second Lien | 5.00% | 11/01/23 | 165,311 | ||||
1,250,000 | Cook Cnty IL Ref, Ser A | 5.00% | 11/15/23 | 1,269,546 | ||||
450,000 | DuPage Cnty IL High Sch Dist #88 Ref | 4.00% | 01/15/24 | 456,690 | ||||
460,000 | IL St | 5.00% | 05/01/23 | 462,495 | ||||
180,000 | IL St Fin Auth Hlth Svcs Facs Lease Rev Univ of IL Hlth Svcs Fac Proj | 5.00% | 10/01/23 | 182,435 | ||||
250,000 | IL St Fin Auth Hlth Svcs Facs Lease Rev Univ of IL Hlth Svcs Fac Proj | 5.00% | 10/01/24 | 257,824 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$2,000,000 | IL St Fin Auth Rev Rehab Institute of Chicago, Ser A (Forward refunding maturity 07/01/23) | 6.00% | 07/01/43 | $2,023,929 | ||||
1,500,000 | IL St Hsg Dev Auth Rev Var Social Bonds, Ser H (Mandatory put 12/01/23) | 3.47% | 10/01/53 | 1,505,628 | ||||
100,000 | IL St Ref | 4.00% | 08/01/25 | 100,085 | ||||
440,000 | IL St, BAM | 5.50% | 07/01/24 | 445,933 | ||||
1,290,000 | IL St, Ser A | 5.00% | 03/01/23 | 1,292,305 | ||||
250,000 | IL St, Ser A | 5.00% | 04/01/23 | 250,907 | ||||
290,000 | IL St, Ser D | 5.00% | 11/01/24 | 300,391 | ||||
1,240,000 | McLean & Woodford Cntys IL Cmnty Unit Sch Dist #5 Ref, Ser A | 4.00% | 12/01/23 | 1,253,262 | ||||
1,805,000 | Mount Vernon IL Ref, BAM | 4.00% | 12/15/23 | 1,827,097 | ||||
2,500,000 | Schaumburg IL Ref | 4.00% | 12/01/23 | 2,525,708 | ||||
1,465,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/23 | 1,467,720 | ||||
18,139,306 | ||||||||
Indiana – 3.2% | ||||||||
2,250,000 | IN St Fin Auth Econ Dev Rev Ref Rep Svcs Inc Proj Remk, Ser A, AMT (Mandatory put 03/01/23) | 3.40% | 05/01/34 | 2,250,127 | ||||
3,500,000 | IN St Fin Auth Envrnmntl Rev Var Ref Fulcrum Centerpoint LLC Proj, AMT (Mandatory put 11/15/23) | 4.50% | 12/15/46 | 3,504,470 | ||||
1,000,000 | IN St Fin Auth Rev Priv Activity OH River Bridges E End Xing P3 Proj, Ser A (Pre-refunded maturity 07/01/23) | 5.00% | 07/01/40 | 1,008,923 | ||||
2,000,000 | IN St Fin Auth Rev Priv Activity OH River Bridges E End Xing P3 Proj, Ser A (Pre-refunded maturity 07/01/23) | 5.00% | 07/01/48 | 2,017,847 | ||||
275,000 | IN St Muni Pwr Agy Ref, Ser A | 5.00% | 01/01/24 | 281,336 | ||||
2,325,000 | Johnson Cnty IN | 5.50% | 12/31/23 | 2,379,217 | ||||
100,000 | La Porte IN Wtrwks Rev, AGM | 4.00% | 07/01/23 | 100,414 | ||||
11,542,334 | ||||||||
Iowa – 1.0% | ||||||||
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 | 983,567 | ||||
2,500,000 | Sioux City IA Cmnty Sch Dist Sch Infra Sales Svcs & Ref, BAM | 3.00% | 10/01/23 | 2,507,446 | ||||
3,491,013 | ||||||||
Kansas – 2.0% | ||||||||
150,000 | Burlington KS Envrn Impt Rev Ref Kansas City Pwr & Light Co Proj Remk, Ser A | 2.95% | 12/01/23 | 149,953 | ||||
1,500,000 | KS St Dept of Transprtn Hwy Rev Ref, Ser A | 2.75% | 09/01/23 | 1,499,955 | ||||
150,000 | KS St Dev Fin Auth Rev, Ser G (Pre-refunded maturity 04/01/23) | 5.00% | 04/01/29 | 150,599 | ||||
2,045,000 | Lawrence KS Nts, Ser I | 5.00% | 05/01/23 | 2,057,824 | ||||
3,000,000 | Leawood KS Temp Nts, Ser 1 | 3.00% | 09/01/23 | 3,003,529 | ||||
320,000 | Wichita KS Hlthcare Facs Rev Ref & Impt Larksfield Place, Ser III (Pre-refunded maturity 12/15/23) | 5.50% | 12/15/25 | 328,208 | ||||
7,190,068 | ||||||||
Kentucky – 4.1% | ||||||||
1,130,000 | KY St Asset/Liability Commn Agy Fund Rev Ref Proj Nts Hwy Trust Fund 1st, Ser A, GARVEE | 5.00% | 09/01/23 | 1,146,409 | ||||
505,000 | KY St Muni Pwr Agy Pwr Sys Rev Ref, Ser A, NATL-RE | 5.00% | 09/01/23 | 511,717 | ||||
2,500,000 | KY St Property & Bldgs Commn Rev Ref Proj #112, Ser B | 5.00% | 11/01/23 | 2,542,737 | ||||
2,500,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser C-1 | 4.00% | 12/01/23 | 2,512,790 | ||||
165,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser C-1 (Mandatory put 06/01/25) | 4.00% | 12/01/49 | 165,491 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Kentucky (Continued) | ||||||||
$2,500,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A (Mandatory put 04/01/24) | 4.00% | 04/01/48 | $2,505,595 | ||||
650,000 | KY St Turnpike Auth Econ Dev Road Rev Revitalization Projs, Ser A (Pre-refunded maturity 07/01/23) | 5.00% | 07/01/27 | 656,880 | ||||
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 | 1,610,369 | ||||
2,255,000 | Louisville & Jefferson Cnty KY Met Swr Dist Swr & Drain Sys Sub Safe Clean Waterways, BANS | 4.00% | 10/06/23 | 2,275,912 | ||||
610,000 | Univ of Louisville KY Rev, Ser B, BAM | 5.00% | 09/01/23 | 617,795 | ||||
14,545,695 | ||||||||
Louisiana – 3.1% | ||||||||
1,000,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Var American Biocarbon Ct LLC Proj Remk, AMT (Mandatory put 08/01/23) | 3.85% | 12/01/46 | 1,000,484 | ||||
480,000 | LA St, Ser A | 5.00% | 03/01/23 | 480,994 | ||||
1,540,000 | LA St, Ser A (Pre-refunded maturity 05/15/23) | 4.00% | 05/15/30 | 1,547,081 | ||||
125,000 | LA Stadium & Exposition Dist LA Ref Sr, Ser A | 5.00% | 07/01/28 | 125,888 | ||||
2,400,000 | LA Stadium & Exposition Dist LA, BANS | 4.00% | 07/03/23 | 2,402,658 | ||||
15,000 | New Orleans LA Wtr Rev Ref (Pre-refunded maturity 12/01/24) | 5.00% | 12/01/29 | 15,727 | ||||
35,000 | New Orleans LA Wtr Rev Ref (Pre-refunded maturity 12/01/24) | 5.00% | 12/01/34 | 36,696 | ||||
280,000 | New Orleans LA Wtr Rev Ref (Pre-refunded maturity 12/01/24) | 5.00% | 12/01/44 | 293,568 | ||||
1,245,000 | Port New Orleans LA Brd of Commissioners Port Fac Rev Ref, Ser B (Pre-refunded maturity 04/01/23) | 5.00% | 04/01/31 | 1,249,868 | ||||
2,845,000 | 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 | 2,839,987 | ||||
1,175,000 | Shreveport LA Wtr & Swr Rev Junior Lien, Ser C, BAM | 5.00% | 12/01/23 | 1,195,879 | ||||
11,188,830 | ||||||||
Maine – 0.2% | ||||||||
730,000 | ME St Hlth & Hgr Eductnl Facs Auth Rev Estrn Maine Med Ctr Oblig Grp (Pre-refunded maturity 07/01/23) | 5.00% | 07/01/33 | 737,271 | ||||
Maryland – 1.8% | ||||||||
1,200,000 | MD St Dept of Transprtn Consol Transprtn | 5.00% | 10/01/23 | 1,221,016 | ||||
350,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Johns Hopkins Hlth, Ser C (Pre-refunded maturity 05/15/23) | 5.00% | 05/15/43 | 352,498 | ||||
1,225,000 | MD St Ref, Ser 2-C | 5.00% | 08/01/23 | 1,241,116 | ||||
1,450,000 | MD St Ref, Ser B | 4.00% | 08/01/23 | 1,461,948 | ||||
2,000,000 | Tender Option Bond Trust Recpts / Ctfs Various States Floaters, Ser 2017-Zf2407 (a) (b) | 1.96% | 01/01/25 | 2,000,000 | ||||
6,276,578 | ||||||||
Massachusetts – 1.5% | ||||||||
250,000 | MA St Dev Fin Agy Hosp Rev Ref Cape Cod Hlthcare Oblig Grp (Pre-refunded maturity 11/15/23) | 5.25% | 11/15/41 | 255,509 | ||||
1,025,000 | MA St Dev Fin Agy Rev N Hill Cmntys, Ser A (Pre-refunded maturity 11/15/23) (b) | 6.50% | 11/15/43 | 1,054,891 | ||||
1,500,000 | MA St Eductnl Fing Auth Ref Issue, Ser J, AMT | 5.00% | 07/01/23 | 1,513,883 | ||||
150,000 | MA St Eductnl Fing Auth Sr, Ser B, AMT | 5.00% | 07/01/23 | 151,388 | ||||
500,000 | MA St Port Auth Ref, Ser A, AMT | 5.00% | 07/01/23 | 504,918 | ||||
2,000,370 | Pittsfield MA, BANS | 2.00% | 02/24/23 | 2,000,118 | ||||
5,480,707 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Michigan – 0.8% | ||||||||
$560,000 | MI St Hosp Fin Auth Ascension Hlth Credit Grp Remk, Ser A-4 | 5.00% | 11/01/23 | $570,369 | ||||
300,000 | MI St Hsg Dev Auth Sf Mtge Rev Social Bond, Ser A | 0.30% | 06/01/23 | 296,960 | ||||
1,490,000 | Oakland Univ MI Rev Gen, Ser A (Forward refunding maturity 03/01/23) | 5.00% | 03/01/38 | 1,492,301 | ||||
545,000 | Wayne Cnty MI Arpt Auth Rev Ref Junior Lien, Ser A | 5.00% | 12/01/23 | 555,362 | ||||
2,914,992 | ||||||||
Minnesota – 2.3% | ||||||||
600,000 | Forest Lake MN Indep Sch Dist #831 Ref, Ser A, COPS | 4.00% | 04/01/23 | 601,306 | ||||
305,000 | Mankato MN, Ser A | 5.00% | 02/01/23 | 305,000 | ||||
250,000 | MN St Hsg Fin Agy Rental Hsg Bonds, Ser B | 0.35% | 02/01/23 | 250,000 | ||||
1,250,000 | MN St Rural Wtr Fin Auth Pub Projs Constr Notes | 2.63% | 12/01/23 | 1,241,933 | ||||
2,500,000 | MN St, Ser A | 5.00% | 09/01/23 | 2,538,339 | ||||
2,220,000 | Ramsey Cnty MN Ref, Ser A | 5.00% | 02/01/23 | 2,220,000 | ||||
1,000,000 | Saint Paul MN Hsg & Redev Auth Mf Hsg Rev Var Dale Street Proj (Mandatory put 06/01/24) | 3.50% | 12/01/25 | 1,000,928 | ||||
8,157,506 | ||||||||
Mississippi – 0.7% | ||||||||
400,000 | MS St Dev Bank Spl Oblg Jackson Wtr & Swr Sys Proj, AGM | 6.75% | 12/01/26 | 412,000 | ||||
100,000 | MS St Dev Bank Spl Oblg Jackson Wtr & Swr Sys Proj, AGM | 6.75% | 12/01/32 | 102,940 | ||||
2,000,000 | MS St Hosp Equipment & Facs Auth Ref Adj Baptist Memorial Hlth Care Corp Remk, Ser A-2 (Mandatory put 08/30/23) | 3.15% | 09/01/36 | 1,999,832 | ||||
2,514,772 | ||||||||
Nebraska – 0.5% | ||||||||
150,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 | 5.00% | 01/01/24 | 151,795 | ||||
1,425,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 (Mandatory put 01/01/24) | 5.00% | 03/01/50 | 1,440,706 | ||||
1,592,501 | ||||||||
Nevada – 1.1% | ||||||||
200,000 | Clark Cnty NV Passenger Fac Charge Rev Ref Las Vegas McCarran Intl Arpt, Ser E | 5.00% | 07/01/23 | 202,059 | ||||
1,000,000 | Clark Cnty NV Sch Dist Ref Bldg, Ser A | 5.00% | 06/15/23 | 1,009,176 | ||||
735,000 | Clark Cnty NV Sch Dist Ref, Ser A | 5.00% | 06/15/23 | 741,744 | ||||
1,885,000 | Yerington NV USDA Interim Debs | 1.63% | 11/01/23 | 1,863,180 | ||||
3,816,159 | ||||||||
New Jersey – 7.7% | ||||||||
100,000 | Atlantic City NJ Brd of Edu Ref Sch Bd Res Fd, AGM | 4.00% | 04/01/23 | 100,242 | ||||
1,352,000 | Atlantic Cnty NJ | 3.00% | 03/15/23 | 1,352,884 | ||||
2,660,000 | Hudson Cnty NJ Impt Auth Loc Unit Loan Prog, Ser B-1 | 3.00% | 08/04/23 | 2,666,888 | ||||
2,500,000 | Jersey City NJ, Ser A, BANS | 5.00% | 10/26/23 | 2,544,622 | ||||
2,694,350 | Kinnelon NJ, BANS | 4.00% | 09/29/23 | 2,714,384 | ||||
2,000,000 | Margate City NJ, BANS | 4.50% | 11/29/23 | 2,030,000 | ||||
610,000 | Newark NJ Ref, Ser A, AGM | 5.00% | 10/01/23 | 619,263 | ||||
340,000 | Newark NJ Ref, Ser B, AGM | 5.00% | 10/01/23 | 345,163 | ||||
3,000,000 | Newark NJ, Ser D, BANS | 4.00% | 09/29/23 | 3,016,416 | ||||
700,000 | NJ St Covid-19 Go Emergency Bonds, Ser A | 4.00% | 06/01/23 | 703,501 | ||||
1,000,000 | NJ St Econ Dev Auth Mtr Vehcl Surcharge Rev Ref, Subser A, BAM | 5.00% | 07/01/23 | 1,009,131 | ||||
1,000,000 | NJ St Econ Dev Auth Ref Sch Facs Constr, Ser N-1, NATL-RE | 5.50% | 09/01/23 | 1,015,870 | ||||
25,000 | NJ St Econ Dev Auth Ref, Ser A, BAM | 5.00% | 06/15/23 | 25,215 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New Jersey (Continued) | ||||||||
$630,000 | NJ St Econ Dev Auth Rev Portal N Bridge Proj NJ Transit Transprtn Proj Bonds, Ser A | 5.00% | 11/01/23 | $640,534 | ||||
1,100,000 | NJ St Econ Dev Auth Rev Prerefunded Ref Sch Facs Constr, Ser NN (Pre-refunded maturity 03/01/23) | 5.00% | 03/01/27 | 1,102,286 | ||||
300,000 | NJ St Econ Dev Auth Rev Ref, Ser XX | 5.00% | 06/15/23 | 302,530 | ||||
50,000 | NJ St Econ Dev Auth Rev Sch Facs Constr, Ser KK | 5.00% | 03/01/23 | 50,073 | ||||
100,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev Sr, Ser 2015-1A, AMT | 5.00% | 12/01/24 | 103,442 | ||||
255,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev, Ser B, AMT | 5.00% | 12/01/23 | 259,320 | ||||
565,000 | NJ St Transprtn Trust Fund Auth Transn Sys, Ser A | 5.50% | 12/15/23 | 578,414 | ||||
180,000 | NJ St Transprtn Trust Fund Auth Transn Sys, Ser B, AMBAC | 5.25% | 12/15/23 | 183,890 | ||||
525,000 | NJ St Transprtn Trust Fund Auth Transn Sys, Ser D | 5.00% | 12/15/23 | 535,225 | ||||
2,500,000 | Ocean City NJ, BANS | 4.50% | 10/17/23 | 2,532,423 | ||||
875,000 | Tobacco Stlmt Fing Corp NJ Ref, Ser A | 5.00% | 06/01/23 | 881,467 | ||||
2,000,000 | Verona Twp NJ, BANS | 5.00% | 10/26/23 | 2,035,697 | ||||
27,348,880 | ||||||||
New Mexico – 0.6% | ||||||||
300,000 | Albuquerque NM Met Arroyo Flood Control Auth | 5.00% | 08/01/23 | 303,887 | ||||
2,000,000 | Farmington NM Poll Control Rev Var Ref Pub Svc Co of NM San Juan Proj Remk, Ser D (Mandatory put 06/01/23) | 1.10% | 06/01/40 | 1,982,404 | ||||
2,286,291 | ||||||||
New York – 9.6% | ||||||||
100,000 | Build NYC Res Corp NY Rev Acad Leadership Chrt Sch Proj | 4.00% | 06/15/23 | 100,074 | ||||
2,000,000 | Deposit NY Centrl Sch Dist, BANS | 3.75% | 09/08/23 | 2,012,887 | ||||
2,000,000 | E Ramapo NY Centrl Sch Dist, Ser A, RANS | 3.00% | 05/31/23 | 2,001,755 | ||||
2,065,000 | Elmira City NY Sch Dist, BANS | 4.00% | 06/23/23 | 2,077,053 | ||||
2,400,000 | Hempstead NY Union Free Sch Dist for 2022-2023 St Aid, RANS | 3.75% | 06/30/23 | 2,406,804 | ||||
2,000,000 | Indian River NY Centrl Sch Dist at Philadelphia, BANS | 4.00% | 06/28/23 | 2,009,801 | ||||
250,000 | Long Island NY Pwr Auth Elec Sys Rev Ref, Ser A | 5.00% | 09/01/23 | 253,572 | ||||
370,000 | Met Transprtn Auth NY Rev Transprtn, Ser A-1 | 5.00% | 11/15/23 | 374,922 | ||||
2,750,000 | Met Transprtn Auth NY Rev, Ser A-1, BANS | 5.00% | 02/01/23 | 2,750,000 | ||||
2,000,000 | New York 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 | 1,869,738 | ||||
650,000 | New York City NY Hsg Dev Corp Mf Hsg Rev Sustainable Neighborhood Bonds, Ser E-2 (Mandatory put 07/03/23) | 1.75% | 05/01/59 | 645,267 | ||||
1,630,000 | New York City NY Hsg Dev Corp Rev, Ser A (Pre-refunded maturity 07/03/23) | 5.00% | 07/01/25 | 1,646,800 | ||||
250,000 | New York City NY Hsg Dev Corp Rev, Ser B2 (Pre-refunded maturity 07/03/23) | 5.00% | 07/01/25 | 252,577 | ||||
2,000,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Var Ref Sub 2nd General Resolution, Ser DD (a) | 1.50% | 06/15/33 | 2,000,000 | ||||
1,965,000 | NY NY Adj Fiscal 2020, Subser B-3 (a) | 1.50% | 10/01/46 | 1,965,000 | ||||
2,000,000 | NY NY Prerefunded, Subser F-1 (Pre-refunded maturity 03/01/23) | 5.00% | 03/01/37 | 2,004,157 | ||||
100,000 | NY NY, Ser C | 5.00% | 08/01/23 | 100,221 | ||||
1,185,000 | NY St Dorm Auth Sales Tax Rev Ref Bidding Group 1, Ser C | 5.00% | 03/15/23 | 1,188,745 | ||||
125,000 | NY St Hsg Fin Agy Affordable Hsg, Ser E | 2.13% | 11/01/23 | 124,315 | ||||
65,000 | NY St Hsg Fin Agy Sustainability Bonds, Ser N | 1.45% | 05/01/23 | 64,786 | ||||
180,000 | NY St Hsg Fin Agy Sustainability Bonds, Ser Q | 1.35% | 11/01/23 | 178,122 | ||||
2,250,000 | NY St Mtge Agy Homeowner Mtge Rev, Ser 183, AMT | 3.75% | 04/01/23 | 2,251,568 | ||||
175,000 | NY St Mtge Agy Rev Mtge, 55th Ser, AMT | 2.65% | 10/01/23 | 174,401 | ||||
265,000 | NY St Mtge Agy Rev, Ser 51 | 2.25% | 10/01/23 | 264,092 | ||||
245,000 | Onondaga NY Civic Dev Corp Le Moyne Clg Proj | 5.00% | 07/01/23 | 246,679 | ||||
255,000 | Onondaga NY Civic Dev Corp Le Moyne Clg Proj | 5.00% | 07/01/24 | 260,916 | ||||
580,000 | Port Auth of NY & NJ NY Ref, Ser 207, AMT | 5.00% | 09/15/23 | 586,719 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$1,030,000 | Rochester NY, Ser I, BANS | 2.50% | 03/01/23 | $1,029,875 | ||||
1,155,000 | Triborough NY Bridge & Tunnel Auth Payroll Mobility Tax, Ser A, BANS | 5.00% | 08/15/24 | 1,197,979 | ||||
2,095,525 | Wappingers NY Centrl Sch Dist, BANS | 4.00% | 08/10/23 | 2,109,580 | ||||
34,148,405 | ||||||||
North Carolina – 1.6% | ||||||||
1,500,000 | Charlotte Mecklenburg NC Hosp Auth Hlth Care Sys Rev Var Atrium Hlth, Ser C (Mandatory put 03/01/23) | 5.00% | 01/15/48 | 1,502,896 | ||||
3,205,000 | NC St Turnpike Auth, BANS | 5.00% | 02/01/24 | 3,280,256 | ||||
900,000 | Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser B | 5.00% | 05/01/23 | 905,612 | ||||
5,688,764 | ||||||||
North Dakota – 0.4% | ||||||||
1,500,000 | Cass Cnty ND Jt Wtr Res Dist, Ser A | 0.48% | 05/01/24 | 1,441,731 | ||||
50,000 | Grand Forks ND Hlthcare Sys Rev Altru Hlth System Ref | 5.00% | 12/01/23 | 50,764 | ||||
1,492,495 | ||||||||
Ohio – 3.2% | ||||||||
135,000 | American Muni Pwr OH Inc OH Rev Ref Combined Hydroelec Proj, Ser A | 5.00% | 02/15/23 | 135,112 | ||||
175,000 | American Muni Pwr OH Inc OH Rev Ref Prairie St Energy Cmps Proj, Ser A | 5.00% | 02/15/23 | 175,145 | ||||
150,000 | Butler Cnty OH Hosp Facs Ref UC Hlth | 4.00% | 11/15/23 | 151,365 | ||||
555,000 | Cloverleaf OH Local Sch Dist, COPS, BAM | 3.00% | 12/01/23 | 556,957 | ||||
1,500,000 | Franklin Cnty OH Rev Var Che Trinity Hlth Cred Grp Remk, Ser OH (Mandatory put 05/01/23) | 3.30% | 12/01/46 | 1,499,882 | ||||
280,000 | Montgomery Cnty OH Hosp Rev Ref Kettering Hlth Network Oblig Grp Proj | 5.00% | 08/01/23 | 282,988 | ||||
1,000,000 | NW OH Loc Sch Dist Hamilton & Butler Cntys Sch Impt (Pre-refunded maturity 12/01/23) | 5.00% | 12/01/45 | 1,021,258 | ||||
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 | 485,514 | ||||
1,500,000 | OH St Air Quality Dev Auth Ref American Elec Pwr Company Proj Remk, Ser C, AMT (Mandatory put 10/01/24) | 2.10% | 04/01/28 | 1,456,542 | ||||
1,000,000 | OH St Hgr Eductnl Fac Commn Kenyon Clg Proj (Forward refunding maturity 07/01/23) | 5.00% | 07/01/37 | 1,009,131 | ||||
645,000 | OH St Hosp Fac Rev Ref Cleveland Clinic Hlth Sys, Ser A | 5.00% | 01/01/24 | 659,449 | ||||
1,500,000 | OH St Turnpike Commn Junior Lien Infra Projs, Ser A-1 | 5.25% | 02/15/39 | 1,501,474 | ||||
2,500,000 | Plain City OH, BANS | 4.00% | 09/28/23 | 2,517,044 | ||||
11,451,861 | ||||||||
Oklahoma – 0.5% | ||||||||
1,315,000 | Tulsa OK | 5.00% | 03/01/23 | 1,317,690 | ||||
500,000 | Tulsa OK Arpts Impt Trust, Ser A, AMT, BAM (Pre-refunded maturity 06/01/23) | 5.63% | 06/01/43 | 504,903 | ||||
1,822,593 | ||||||||
Oregon – 1.4% | ||||||||
3,500,000 | Crook Cnty OR Sch Dist (Pre-refunded maturity 06/15/23) | 5.00% | 06/15/37 | 3,531,720 | ||||
1,360,000 | OR St Dept of Transprtn Hwy User Tax Rev Sr Lien, Ser A | 5.00% | 11/15/23 | 1,388,536 | ||||
105,000 | Salem OR Hosp Fac Auth Rev Ref Capital Manor Proj | 5.00% | 05/15/23 | 105,179 | ||||
5,025,435 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania – 3.0% | ||||||||
$285,000 | Cmwlth Fing Auth PA Tobacco Master Stlmt Payment Rev Tobacco Master Stlmt Payment Bonds | 5.00% | 06/01/24 | $293,531 | ||||
55,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/23 | 55,165 | ||||
1,250,000 | Lancaster Cnty PA Sol Wst Mgmt Auth Sol Wst Disp Rev, Ser A (Pre-refunded maturity 12/15/23) | 5.25% | 12/15/28 | 1,280,483 | ||||
235,000 | Monroeville PA Fin Auth Upmc Rev Ref, Ser B | 5.00% | 02/15/23 | 235,182 | ||||
180,000 | Monroeville PA Fin Auth Upmc Rev Ref, Ser B | 3.50% | 07/01/23 | 180,527 | ||||
1,340,000 | N Wales PA Wtr Auth Ref | 3.00% | 11/01/23 | 1,344,023 | ||||
1,250,000 | PA St | 5.00% | 10/01/23 | 1,270,809 | ||||
2,000,000 | PA St Econ Dev Fing Auth Solid Waste Disposal Rev Var Waste Mgmt Inc Proj Remk, AMT (Mandatory put 05/01/23) | 4.00% | 08/01/45 | 2,000,038 | ||||
335,000 | PA St Turnpike Commn Oil Franchise Tax Rev Ref, Subser B | 4.00% | 12/01/23 | 339,191 | ||||
100,000 | Philadelphia PA Gas Wks Rev Ref | 5.00% | 08/01/23 | 100,983 | ||||
215,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/23 | 217,689 | ||||
1,430,000 | Philadelphia PA Sch Dist Ref, Ser F | 5.00% | 09/01/23 | 1,449,021 | ||||
260,000 | Philadelphia PA Sch Dist, Ser A | 5.00% | 09/01/23 | 263,458 | ||||
255,000 | Riverside PA Sch Dist Ref, BAM | 3.00% | 10/15/23 | 255,753 | ||||
300,000 | Riverside PA Sch Dist Ref, BAM | 4.00% | 10/15/24 | 307,443 | ||||
275,000 | Riverside PA Sch Dist Ref, BAM | 4.00% | 10/15/25 | 286,013 | ||||
785,000 | Scranton PA Sch Dist Ref (c) | 5.00% | 12/01/24 | 814,433 | ||||
10,693,742 | ||||||||
Rhode Island – 0.7% | ||||||||
1,500,000 | RI St & Providence Plantations Ref Cons Cap Dev Ln, Ser 1 | 4.00% | 10/15/23 | 1,516,268 | ||||
1,000,000 | RI St Convention Ctr Auth Rev Ref, Ser A | 4.00% | 05/15/23 | 1,004,022 | ||||
2,520,290 | ||||||||
South Carolina – 2.6% | ||||||||
2,500,000 | Cnty Sq Redev Corp SC Installment Pur Rev Greenville Co SC Proj, BANS (c) | 5.00% | 02/09/24 | 2,554,566 | ||||
2,750,000 | Patriots Energy Grp Fing Agy SC Gas Sply Rev, Ser A (Mandatory put 02/01/24) | 4.00% | 10/01/48 | 2,767,979 | ||||
1,475,000 | Saxe Gotha Lexington Pub Facs Corp SC Rev Corley Mill Redev Proj Area, BANS | 2.00% | 03/17/23 | 1,473,035 | ||||
2,500,000 | SC St Hsg Fin & Dev Auth Mtge Rev Mtge Rev Notes, Ser C | 2.60% | 09/01/23 | 2,498,942 | ||||
9,294,522 | ||||||||
South Dakota – 0.3% | ||||||||
980,000 | SD St Eductnl Enhancement Funding Corp Tobacco Set, Ser B (Pre-refunded maturity 06/01/23) | 5.00% | 06/01/24 | 988,102 | ||||
Tennessee – 2.0% | ||||||||
5,000 | Jackson TN Hosp Rev Prerefunded Ref Jackson Madison Cnty Hosp | 5.00% | 04/01/23 | 5,020 | ||||
220,000 | Jackson TN Hosp Rev Unrefunded Ref Jackson Madison Cnty Hosp | 5.00% | 04/01/23 | 220,761 | ||||
500,000 | Memphis TN Hlth Eductnl & Hsg Fac Brd Mf Hsg Rev Var Memphis Towers Apts Proj Remk | 3.40% | 12/01/23 | 500,734 | ||||
135,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Trevecca Nazarene Univ Proj, Ser B | 4.00% | 10/01/23 | 135,283 | ||||
1,500,000 | Tender Option Bond Trust Recpts / Ctfs Various States Floaters, Ser 2016-Xf1054 (a) (b) | 1.74% | 07/01/46 | 1,500,000 | ||||
2,500,000 | TN St Energy Acq Corp Gas Rev Proj, Ser A (Mandatory put 05/01/23) | 4.00% | 05/01/48 | 2,502,674 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Tennessee (Continued) | ||||||||
$610,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/23 | $615,285 | ||||
910,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/24 | 929,170 | ||||
860,000 | TN St Energy Acq Corp Gas Rev, Ser C | 5.00% | 02/01/23 | 860,000 | ||||
7,268,927 | ||||||||
Texas – 7.3% | ||||||||
295,000 | Aldine TX Indep Sch Dist Ref | 5.00% | 02/15/23 | 295,276 | ||||
240,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Kipp TX Inc | 5.00% | 08/15/23 | 243,144 | ||||
1,020,000 | Arlington TX Wtr & Wstwtr Sys Rev, Ser A | 5.00% | 06/01/23 | 1,028,705 | ||||
2,500,000 | Austin TX Arpt Sys Rev Ref, AMT | 5.00% | 11/15/23 | 2,537,136 | ||||
200,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fndtn Proj | 5.00% | 07/15/23 | 200,434 | ||||
1,235,000 | Bexar Cnty TX Hosp Dist Ctfs Oblig | 5.00% | 02/15/23 | 1,236,108 | ||||
305,000 | Brazoria Cnty TX Muni Util Dist #55, BAM | 4.00% | 09/01/23 | 307,049 | ||||
700,000 | Corpus Christi TX Util Sys Rev Junior Lien, Ser B | 5.00% | 07/15/23 | 707,832 | ||||
150,000 | Corsicana TX Ctfs Oblig | 4.00% | 02/15/23 | 150,054 | ||||
250,000 | Cotulla TX Indep Sch Dist | 5.00% | 02/15/23 | 250,223 | ||||
965,000 | Cypress Fairbanks TX Indep Sch Dist (Pre-refunded maturity 02/15/23) | 5.00% | 02/15/25 | 965,898 | ||||
1,100,000 | Dallas Cnty TX Util & Reclamation Dist Ref | 5.00% | 02/15/23 | 1,100,906 | ||||
1,000,000 | Dallas Fort Worth TX Intl Arpt Rev Ref, Ser A | 5.00% | 11/01/23 | 1,018,441 | ||||
805,000 | Fort Bend Cnty TX Muni Util Dist #182, BAM | 5.25% | 09/01/23 | 817,092 | ||||
1,320,000 | Fort Bend TX Indep Sch Dist Var Remk, Ser A (Mandatory put 08/01/24) | 2.38% | 08/01/49 | 1,307,667 | ||||
490,000 | Fort Worth TX Ref & Impt Gen Purp | 5.00% | 03/01/23 | 491,022 | ||||
1,265,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Med Facs Rev Ref Baylor Clg of Med | 5.00% | 11/15/23 | 1,288,254 | ||||
150,000 | Houston TX Ref Pub Impt, Ser A | 5.00% | 03/01/24 | 154,194 | ||||
385,000 | Houston TX Util Sys Rev Ref Comb 1st Lien, Ser C | 5.00% | 05/15/23 | 387,828 | ||||
175,000 | Houston TX Util Sys Rev Ref Comb 1st Lien, Ser D | 5.00% | 11/15/23 | 178,548 | ||||
425,000 | Kaufman Cnty TX Muni Util Dist #5, BAM | 4.00% | 03/01/23 | 425,399 | ||||
1,135,000 | Lower CO River TX Auth Trans Contract Rev Lcra Trans Svcs Corp Proj, Ser A | 5.00% | 05/15/23 | 1,142,385 | ||||
195,000 | Lower CO River TX Auth Trans Contract Rev Ref Lcra Trans Svcs Corp Proj | 5.00% | 05/15/23 | 196,269 | ||||
575,000 | Lower CO River TX Auth Trans Contract Rev Ref Lcra Trans Svcs Corp Proj | 5.00% | 05/15/23 | 578,741 | ||||
280,000 | Lower CO River TX Auth Trans Contract Rev Ref Lcra Trans Svcs Corp Proj | 5.00% | 05/15/23 | 281,822 | ||||
500,000 | Lower CO River TX Auth Trans Contract Rev Ref Lcra Trans Svcs Corp Proj, Ser A | 5.00% | 05/15/23 | 503,253 | ||||
1,000,000 | Matagorda Cnty TX Nav Dist #1 Var Rev Cent Pwr & Lt Ref Remk, AMT (Mandatory put 09/01/23) | 0.90% | 05/01/30 | 980,525 | ||||
265,000 | McLendon Chisholm TX Spl Assmnt Rev Ref Sonoma Pub Impt Dt Phase 1 Proj, BAM | 4.00% | 09/15/23 | 266,328 | ||||
1,000,000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Var Waste Mgmt Inc Proj Remk, Ser A, AMT (Mandatory put 03/01/23) | 3.50% | 05/01/46 | 1,000,100 | ||||
420,000 | Montgomery Cnty TX Muni Util Dist #105, BAM | 4.63% | 09/01/23 | 424,759 | ||||
430,000 | Montgomery Cnty TX Muni Util Dist #105, BAM | 4.63% | 09/01/24 | 444,091 | ||||
130,000 | Newark Hgr Edu Fin Corp TX Edu Rev The Hughen Ctr Inc, Ser A | 4.00% | 08/15/23 | 130,669 | ||||
300,000 | NW Harris Cnty TX Muni Util Dist #5 Ref, BAM | 4.00% | 05/01/23 | 301,071 | ||||
125,000 | Splendora TX Indep Sch Dist Ref Sch Bldg, Ser B | 5.00% | 02/15/23 | 125,116 | ||||
395,000 | Stafford TX Econ Dev Corp Sales Tax Rev Ref, BAM | 5.00% | 09/01/23 | 400,552 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$375,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Baylor Hlth Care Sys Proj, Ser A (Pre-refunded maturity 05/15/23) | 4.00% | 11/15/43 | $376,670 | ||||
220,000 | Trinity River TX Auth Red Oak Creek Sys Rev Red Oak Creek System | 5.00% | 02/01/23 | 220,000 | ||||
1,250,000 | TX St A&M Univ Rev | 5.00% | 05/15/23 | 1,259,361 | ||||
335,000 | TX St Muni Gas Acq & Sply Corp I Gas Sply Rev Sr Lien, Ser A | 5.25% | 12/15/23 | 341,077 | ||||
1,800,000 | Univ of Texas TX Univ Rev Ref, Ser H | 5.00% | 08/15/23 | 1,826,093 | ||||
250,000 | Viridian TX Muni Mgmt Dist Unlimited Tax Road Impt Bonds, BAM | 4.00% | 12/01/23 | 252,983 | ||||
26,143,075 | ||||||||
Utah – 0.2% | ||||||||
715,000 | UT Cnty UT Hosp Rev Ref IHC Hlth Svcs Inc, Ser A | 5.00% | 05/15/23 | 719,526 | ||||
105,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Quest Acdmy | 4.00% | 04/15/23 | 105,290 | ||||
824,816 | ||||||||
Virginia – 0.4% | ||||||||
850,000 | Chesapeake VA Econ Dev Auth Poll Control Rev VA Elec & Pwr Co Remk, Ser 2008A (Mandatory put 06/01/23) | 1.90% | 02/01/32 | 845,115 | ||||
100,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/23 | 100,405 | ||||
175,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/24 | 177,846 | ||||
385,000 | VA St Pub Bldg Auth Pub Facs Rev, Ser A | 5.00% | 08/01/23 | 390,084 | ||||
1,513,450 | ||||||||
Washington – 1.7% | ||||||||
200,000 | Centrl WA Univ Sys Rev, AGM | 5.00% | 05/01/23 | 201,187 | ||||
1,865,000 | King Cnty WA Rural Library Dist Ref | 4.00% | 12/01/23 | 1,890,955 | ||||
1,500,000 | King Cnty WA Swr Rev Ref & Impt, Ser B (Pre-refunded maturity 07/01/23) | 5.00% | 07/01/39 | 1,516,188 | ||||
1,100,000 | Port of Seattle WA Rev Intermediate Lien, AMT | 5.00% | 04/01/23 | 1,104,118 | ||||
1,500,000 | Tender Option Bond Trust Recpts / Ctfs Various States Putters, Ser 2020-Xm0883 (a) (b) | 1.81% | 03/01/28 | 1,500,000 | ||||
6,212,448 | ||||||||
Wisconsin – 2.7% | ||||||||
1,650,000 | Fox Point & Bayside WI Jt Sch Dist #2 Prm Nts | 3.50% | 09/05/23 | 1,656,421 | ||||
910,000 | Milwaukee WI Promissory Nts, Ser N1 | 5.00% | 02/01/23 | 910,000 | ||||
410,000 | Milwaukee WI Ref Prom Nts, Ser N2 | 4.00% | 03/15/25 | 421,455 | ||||
380,000 | Milwaukee WI Ref Promissory Nts, Ser N4 | 5.00% | 04/01/23 | 381,264 | ||||
490,000 | Milwaukee WI Ref Promissory Nts, Ser N4 | 5.00% | 04/01/24 | 501,813 | ||||
1,000,000 | Onalaska WI Sch Dist, BANS | 4.00% | 07/26/23 | 1,002,663 | ||||
65,000 | Pub Fin Auth WI Edu Rev Coral Acdmy of Science Las Vegas, Ser A | 4.00% | 07/01/23 | 65,042 | ||||
1,794,000 | Tender Option Bond Trust Recpts / Ctfs Various States Putters, Ser 2020-Xf2869 (a) (b) | 1.88% | 11/01/25 | 1,794,000 | ||||
2,000,000 | Waukesha WI, Ser C, NANS | 3.00% | 07/01/23 | 2,001,831 | ||||
165,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Saint John’s Cmntys Inc, Ser B | 3.00% | 09/15/23 | 163,926 | ||||
150,000 | WI St Hlth & Eductnl Facs Auth Rev Three Pillars Sr Living Cmntys, Ser A | 4.00% | 08/15/23 | 149,935 | ||||
100,000 | WI St Transprtn Rev Prerefunded, Ser 1 (Pre-refunded maturity 07/01/23) | 5.00% | 07/01/25 | 101,059 | ||||
550,000 | WI St, Ser A (Pre-refunded maturity 05/01/23) | 5.00% | 05/01/34 | 553,526 | ||||
9,702,935 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Wyoming – 0.1% | ||||||||
$470,000 | Consol Muni Elec Pwr Sys WY Jt Pwrs Brd Sys Jt Pwrs Brd Ref Electrical Sys Proj | 5.00% | 06/01/23 | $473,729 |
Total Investments – 98.8% | 353,455,078 | ||
(Cost $354,201,299) | |||
Net Other Assets and Liabilities – 1.2% | 4,202,958 | ||
Net Assets – 100.0% | $357,658,036 |
(a) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(b) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At January 31, 2023, securities noted as such amounted to $11,533,760 or 3.2% of net assets. |
(c) | When-issued security. The interest rate shown reflects the rate in effect at January 31, 2023. 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 |
COPS | Certificates of Participation |
GARVEE | Grant Anticipation Revenue Vehicle |
NANS | Note Anticipation Notes |
NATL-RE | National Public Finance Guarantee Corp. |
RANS | Revenue Anticipation Notes |
Total Value at 1/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 353,455,078 | $ — | $ 353,455,078 | $ — |
* | 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 | $ 419,556,277 | $ 353,455,078 | |
Cash | 12,276,980 | 7,492,752 | |
Receivables: | |||
Interest | 4,469,274 | 4,203,029 | |
Fund shares sold | 3,991,084 | — | |
Investment securities sold | 756,972 | — | |
Total Assets | 441,050,587 | 365,150,859 | |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | 10,900,646 | 7,357,932 | |
Investment advisory fees | 195,289 | 134,891 | |
Total Liabilities | 11,095,935 | 7,492,823 | |
NET ASSETS | $429,954,652 | $357,658,036 | |
NET ASSETS consist of: | |||
Paid-in capital | $ 435,423,379 | $ 358,264,681 | |
Par value | 215,500 | 179,000 | |
Accumulated distributable earnings (loss) | (5,684,227) | (785,645) | |
NET ASSETS | $429,954,652 | $357,658,036 | |
NET ASSET VALUE, per share | $19.95 | $19.98 | |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 21,550,002 | 17,900,002 | |
Investments, at cost | $422,081,276 | $354,201,299 |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | |||
INVESTMENT INCOME: | ||||
Interest | $ 4,391,942 | $ 3,281,071 | ||
Total investment income | 4,391,942 | 3,281,071 | ||
EXPENSES: | ||||
Investment advisory fees | 1,026,313 | 735,221 | ||
Total expenses | 1,026,313 | 735,221 | ||
Fees waived by the investment advisor | (232,733) | (208,049) | ||
Net expenses | 793,580 | 527,172 | ||
NET INVESTMENT INCOME (LOSS) | 3,598,362 | 2,753,899 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on investments | (2,498,495) | 50,607 | ||
Net change in unrealized appreciation (depreciation) on investments | 2,537,051 | 48,030 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 38,556 | 98,637 | ||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 3,636,918 | $ 2,852,536 |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | ||||||
Six Months Ended 1/31/2023 (Unaudited) | Year Ended 7/31/2022 | Six Months Ended 1/31/2023 (Unaudited) | Year Ended 7/31/2022 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 3,598,362 | $ 2,383,019 | $ 2,753,899 | $ 1,091,207 | |||
Net realized gain (loss) | (2,498,495) | (715,285) | 50,607 | (222,475) | |||
Net change in unrealized appreciation (depreciation) | 2,537,051 | (7,616,372) | 48,030 | (1,308,746) | |||
Net increase (decrease) in net assets resulting from operations | 3,636,918 | (5,948,638) | 2,852,536 | (440,014) | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (3,524,000) | (2,336,031) | (2,673,750) | (1,061,950) | |||
Return of capital | — | (174,270) | — | — | |||
Total distributions to shareholders | (3,524,000) | (2,510,301) | (2,673,750) | (1,061,950) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 138,655,261 | 199,500,283 | 71,672,570 | 157,813,719 | |||
Cost of shares redeemed | (11,780,529) | (18,005,523) | — | (35,979,272) | |||
Net increase (decrease) in net assets resulting from shareholder transactions | 126,874,732 | 181,494,760 | 71,672,570 | 121,834,447 | |||
Total increase (decrease) in net assets | 126,987,650 | 173,035,821 | 71,851,356 | 120,332,483 | |||
NET ASSETS: | |||||||
Beginning of period | 302,967,002 | 129,931,181 | 285,806,680 | 165,474,197 | |||
End of period | $429,954,652 | $302,967,002 | $357,658,036 | $285,806,680 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 15,100,002 | 6,200,002 | 14,300,002 | 8,200,002 | |||
Shares sold | 7,050,000 | 9,800,000 | 3,600,000 | 7,900,000 | |||
Shares redeemed | (600,000) | (900,000) | — | (1,800,000) | |||
Shares outstanding, end of period | 21,550,002 | 15,100,002 | 17,900,002 | 14,300,002 |
Six Months Ended 1/31/2023 (Unaudited) | Year Ended July 31, | Period Ended 7/31/2019 (a) | ||||||||
2022 | 2021 | 2020 | ||||||||
Net asset value, beginning of period | $ 20.06 | $ 20.96 | $ 20.66 | $ 20.48 | $ 20.00 | |||||
Income from investment operations: | ||||||||||
Net investment income (loss) | 0.18 | 0.21 | 0.27 | 0.38 | 0.34 | |||||
Net realized and unrealized gain (loss) | (0.11) (b) | (0.88) | 0.33 | 0.22 | 0.45 | |||||
Total from investment operations | 0.07 | (0.67) | 0.60 | 0.60 | 0.79 | |||||
Distributions paid to shareholders from: | ||||||||||
Net investment income | (0.18) | (0.21) | (0.27) | (0.41) | (0.31) | |||||
Return of capital | — | (0.02) | (0.03) | (0.01) | — | |||||
Total distributions | (0.18) | (0.23) | (0.30) | (0.42) | (0.31) | |||||
Net asset value, end of period | $19.95 | $20.06 | $20.96 | $20.66 | $20.48 | |||||
Total return (c) | 0.38% | (3.19)% | 2.92% | 2.98% | 3.98% | |||||
Ratios to average net assets/supplemental data: | ||||||||||
Net assets, end of period (in 000’s) | $ 429,955 | $ 302,967 | $ 129,931 | $ 61,967 | $ 19,454 | |||||
Ratio of total expenses to average net assets | 0.55% (d) | 0.55% | 0.55% | 0.55% | 0.55% (d) | |||||
Ratio of net expenses to average net assets | 0.43% (d) | 0.35% | 0.43% | 0.45% | 0.45% (d) | |||||
Ratio of net investment income (loss) to average net assets | 1.93% (d) | 1.14% | 1.33% | 2.00% | 2.23% (d) | |||||
Portfolio turnover rate (e) | 24% | 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) | The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments. |
(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. |
Six Months Ended 1/31/2023 (Unaudited) | Year Ended July 31, | Period Ended 7/31/2019 (a) | ||||||||
2022 | 2021 | 2020 | ||||||||
Net asset value, beginning of period | $ 19.99 | $ 20.18 | $ 20.16 | $ 20.10 | $ 20.00 | |||||
Income from investment operations: | ||||||||||
Net investment income (loss) | 0.16 | 0.10 | 0.12 | 0.25 | 0.26 | |||||
Net realized and unrealized gain (loss) | (0.01) (b) | (0.19) | 0.02 | 0.07 | 0.09 | |||||
Total from investment operations | 0.15 | (0.09) | 0.14 | 0.32 | 0.35 | |||||
Distributions paid to shareholders from: | ||||||||||
Net investment income | (0.16) | (0.10) | (0.12) | (0.26) | (0.25) | |||||
Net realized gain | — | — | — | (0.00) (c) | — | |||||
Return of capital | — | — | — | (0.00) (c) | — | |||||
Total distributions | (0.16) | (0.10) | (0.12) | (0.26) | (0.25) | |||||
Net asset value, end of period | $19.98 | $19.99 | $20.18 | $20.16 | $20.10 | |||||
Total return (d) | 0.76% | (0.45)% | 0.72% | 1.61% | 1.75% | |||||
Ratios to average net assets/supplemental data: | ||||||||||
Net assets, end of period (in 000’s) | $ 357,658 | $ 285,807 | $ 165,474 | $ 83,661 | $ 20,098 | |||||
Ratio of total expenses to average net assets | 0.45% (e) | 0.45% | 0.45% | 0.45% | 0.45% (e) | |||||
Ratio of net expenses to average net assets | 0.32% (e) | 0.25% | 0.26% | 0.35% | 0.35% (e) | |||||
Ratio of net investment income (loss) to average net assets | 1.69% (e) | 0.56% | 0.61% | 1.20% | 1.73% (e) | |||||
Portfolio turnover rate (f) | 69% | 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) | The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments. |
(c) | Amount is less than $0.01. |
(d) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived by the investment advisor. |
(e) | Annualized. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
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 | — | — |
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 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
First Trust Short Duration Managed Municipal ETF | $ 422,081,276 | $ 2,966,763 | $ (5,491,762) | $ (2,524,999) | |||
First Trust Ultra Short Duration Municipal ETF | 354,201,299 | 407,226 | (1,153,447) | (746,221) |
Breakpoints | FSMB | FUMB | ||
Fund net assets up to and including $2.5 billion | 0.55000% | 0.45000% | ||
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.53625% | 0.43875% | ||
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.52250% | 0.42750% | ||
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.50875% | 0.41625% | ||
Fund net assets greater than $10 billion | 0.49500% | 0.40500% |
Purchases | Sales | ||
First Trust Short Duration Managed Municipal ETF | $ 214,510,843 | $ 84,314,199 | |
First Trust Ultra Short Duration Municipal ETF | 182,138,342 | 158,034,392 | |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
First Trust Ultra Short Duration Municipal ETF (FUMB)
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Six Months Ended
January 31, 2023
1 | |
2 | |
4 | |
5 | |
6 | |
8 | |
9 | |
10 | |
11 | |
12 | |
18 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/23 | 1 Year Ended 1/31/23 | Inception (2/4/20) to 1/31/23 | Inception (2/4/20) to 1/31/23 | |
Fund Performance | ||||
NAV | 1.30% | 2.58% | 0.43% | 1.30% |
Market Price | 1.24% | 2.63% | 0.43% | 1.29% |
Index Performance | ||||
Hedge Fund Research Merger Arbitrage Index | 1.74% | -0.09% | 2.37% | 7.26% |
S&P 500® Index | -0.44% | -8.22% | 9.11% | 29.78% |
Portfolio Sector Allocation | % of Total Investments - Long Positions |
Financials | 24.9% |
Health Care | 22.8 |
Information Technology | 16.0 |
Communication Services | 10.3 |
Real Estate | 8.8 |
Industrials | 7.9 |
Consumer Discretionary | 4.9 |
Utilities | 4.4 |
Energy | 0.0* |
Total | 100.0% |
* | Amount is less than 0.1%. |
Portfolio Sector Allocation | % of Total Investments Sold Short |
Financials | 100.0% |
Energy | 0.0* |
Total | 100.0% |
* | Amount is less than 0.1%. |
Top Ten Investments - Long Positions | % of Net Assets |
Umpqua Holdings Corp. | 4.8% |
Meridian Bioscience, Inc. | 4.2 |
STORE Capital Corp. | 4.1 |
First Horizon Corp. | 3.7 |
ForgeRock, Inc., Class A | 3.6 |
Cowen, Inc., Class A | 3.0 |
MoneyGram International, Inc. | 2.9 |
1Life Healthcare, Inc. | 2.8 |
LHC Group, Inc. | 2.7 |
Activision Blizzard, Inc. | 2.6 |
Total | 34.4% |
Top Investments Sold Short | % of Net Assets |
Columbia Banking System, Inc. | -4.8% |
Sitio Royalties Corp., Class A | -0.0* |
Total | -4.8% |
* | Amount is less than 0.1%. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Beginning Account Value August 1, 2022 | Ending Account Value January 31, 2023 | 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 | $1,013.00 | 1.81% | $9.18 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.08 | 1.81% | $9.20 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (August 1, 2022 through January 31, 2023), multiplied by 184/365 (to reflect the six-month period). |
Shares | Description | Value | ||
COMMON STOCKS – 42.2% | ||||
Air Freight & Logistics – 2.1% | ||||
20,070 | Atlas Air Worldwide Holdings, Inc. (a) (b) | $2,051,355 | ||
Banks – 8.5% | ||||
147,616 | First Horizon Corp. (b) | 3,650,543 | ||
259,409 | Umpqua Holdings Corp. (b) | 4,721,244 | ||
8,371,787 | ||||
Biotechnology – 0.1% | ||||
4,631 | Biohaven Ltd. (a) | 88,406 | ||
Capital Markets – 3.0% | ||||
75,965 | Cowen, Inc., Class A (b) | 2,953,519 | ||
Electronic Equipment, Instruments & Components – 0.9% | ||||
6,010 | Rogers Corp. (a) (b) | 838,936 | ||
Entertainment – 2.6% | ||||
33,097 | Activision Blizzard, Inc. | 2,534,237 | ||
Gas Utilities – 2.0% | ||||
55,463 | South Jersey Industries, Inc. (b) | 2,001,660 | ||
Health Care Equipment & Supplies – 4.2% | ||||
122,580 | Meridian Bioscience, Inc. (a) (b) (c) | 4,164,043 | ||
Health Care Providers & Services – 6.2% | ||||
170,391 | 1Life Healthcare, Inc. (a) (b) | 2,724,552 | ||
16,955 | LHC Group, Inc. (a) (b) | 2,689,063 | ||
25,057 | Signify Health, Inc., Class A (a) (b) | 713,122 | ||
6,126,737 | ||||
Household Durables – 2.3% | ||||
49,278 | iRobot Corp. (a) | 2,217,510 | ||
IT Services – 2.9% | ||||
266,263 | MoneyGram International, Inc. (a) (b) | 2,867,653 | ||
Machinery – 1.6% | ||||
25,192 | Altra Industrial Motion Corp. | 1,538,475 | ||
Media – 2.2% | ||||
108,686 | TEGNA, Inc. (b) | 2,166,112 | ||
Oil, Gas & Consumable Fuels – 0.0% | ||||
635 | PBF Energy, Inc., Class A | 26,664 | ||
Software – 3.6% | ||||
179,869 | ForgeRock, Inc., Class A (a) | 3,572,198 |
Shares | Description | Value | ||
Thrifts & Mortgage Finance – 0.0% | ||||
926 | New York Community Bancorp, Inc. | $9,251 | ||
Total Common Stocks | 41,528,543 | |||
(Cost $42,503,736) | ||||
REAL ESTATE INVESTMENT TRUSTS – 4.1% | ||||
Equity Real Estate Investment Trusts – 4.1% | ||||
124,859 | STORE Capital Corp. | 4,021,708 | ||
(Cost $3,942,002) | ||||
RIGHTS – 0.0% | ||||
Pharmaceuticals – 0.0% | ||||
7,137 | Contra Abiomed, Inc. (a) (c) (d) (e) | 0 | ||
(Cost $0) | ||||
Total Investments – 46.3% | 45,550,251 | |||
(Cost $46,445,738) | ||||
COMMON STOCKS SOLD SHORT – (4.8)% | ||||
Banks – (4.8)% | ||||
(153,882) | Columbia Banking System, Inc. | (4,756,493) | ||
Oil, Gas & Consumable Fuels – (0.0)% | ||||
(1) | Sitio Royalties Corp., Class A | (26) | ||
Total Investments Sold Short – (4.8)% | (4,756,519) | |||
(Proceeds $4,722,888) | ||||
Net Other Assets and Liabilities – 58.5% | 57,689,071 | |||
Net Assets – 100.0% | $98,482,803 |
(a) | Non-income producing security. |
(b) | This security or a portion of this security is segregated as collateral for investments sold short. At January 31, 2023, the segregated value of these securities amounts to $9,915,663. |
(c) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At January 31, 2023, securities noted as such are valued at $4,164,043 or 4.2% of net assets. |
(d) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor. |
(e) | This security’s value was determined using significant unobservable inputs (see Note 2A – Portfolio Valuation in the Notes to Financial Statements). |
ASSETS TABLE | ||||
Total Value at 1/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
Health Care Equipment & Supplies | $ 4,164,043 | $ — | $ 4,164,043 | $ — |
Other Industry Categories* | 37,364,500 | 37,364,500 | — | — |
Real Estate Investment Trusts* | 4,021,708 | 4,021,708 | — | — |
Rights* | —** | — | — | —** |
Total Investments | $ 45,550,251 | $ 41,386,208 | $ 4,164,043 | $— |
LIABILITIES TABLE | ||||
Total Value at 1/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks Sold Short* | $ (4,756,519) | $ (4,756,519) | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
** | Investment is valued at $0. |
ASSETS: | |
Investments, at value (Cost $46,445,738) | $ 45,550,251 |
Cash | 40,407,967 |
Restricted Cash | 17,283,169 |
Receivables: | |
Dividends | 62,790 |
Margin interest rebate | 39,618 |
Total Assets | 103,343,795 |
LIABILITIES: | |
Investments sold short, at value (proceeds $4,722,888) | 4,756,519 |
Investment advisory fees payable | 104,473 |
Total Liabilities | 4,860,992 |
NET ASSETS | $98,482,803 |
NET ASSETS consist of: | |
Paid-in capital | $ 98,382,756 |
Par value | 49,000 |
Accumulated distributable earnings (loss) | 51,047 |
NET ASSETS | $98,482,803 |
NET ASSET VALUE, per share | $20.10 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 4,900,002 |
INVESTMENT INCOME: | ||
Dividends | $ 821,299 | |
Interest | 428,334 | |
Margin interest rebate | 153,784 | |
Other | 82 | |
Total investment income | 1,403,499 | |
EXPENSES: | ||
Investment advisory fees | 499,134 | |
Dividend expense on investments sold short | 225,621 | |
Total expenses | 724,755 | |
NET INVESTMENT INCOME (LOSS) | 678,744 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | 1,322,708 | |
In-kind redemptions | 138,394 | |
Investments sold short | (92,641) | |
Net realized gain (loss) | 1,368,461 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | (1,246,939) | |
Investments sold short | 136,884 | |
Net change in unrealized appreciation (depreciation) | (1,110,055) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 258,406 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 937,150 |
Six Months Ended 1/31/2023 (Unaudited) | Year Ended 7/31/2022 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 678,744 | $ (171,542) | |
Net realized gain (loss) | 1,368,461 | 237,811 | |
Net change in unrealized appreciation (depreciation) | (1,110,055) | 381,649 | |
Net increase (decrease) in net assets resulting from operations | 937,150 | 447,918 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (920,000) | — | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 65,508,992 | 41,694,635 | |
Cost of shares redeemed | (11,074,392) | (8,863,931) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 54,434,600 | 32,830,704 | |
Total increase (decrease) in net assets | 54,451,750 | 33,278,622 | |
NET ASSETS: | |||
Beginning of period | 44,031,053 | 10,752,431 | |
End of period | $98,482,803 | $44,031,053 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 2,200,002 | 550,002 | |
Shares sold | 3,250,000 | 2,100,000 | |
Shares redeemed | (550,000) | (450,000) | |
Shares outstanding, end of period | 4,900,002 | 2,200,002 |
Six Months Ended 1/31/2023 (Unaudited) | Year Ended | Period Ended 7/31/2020 (a) | ||||||
7/31/2022 | 7/31/2021 | |||||||
Net asset value, beginning of period | $ 20.01 | $ 19.55 | $ 19.46 | $ 20.01 | ||||
Income from investment operations: | ||||||||
Net investment income (loss) | 0.17 | (0.24) (b) | (0.26) | (0.07) | ||||
Net realized and unrealized gain (loss) | 0.12 | 0.70 | 0.35 | (0.48) | ||||
Total from investment operations | 0.29 | 0.46 | 0.09 | (0.55) | ||||
Distributions paid to shareholders from: | ||||||||
Net investment income | (0.20) | — | — | — | ||||
Net asset value, end of period | $20.10 | $20.01 | $19.55 | $19.46 | ||||
Total return (c) | 1.30% | 2.35% | 0.46% | (2.75)% | ||||
Ratios to average net assets/supplemental data: | ||||||||
Net assets, end of period (in 000’s) | $ 98,483 | $ 44,031 | $ 10,752 | $ 12,649 | ||||
Ratio of total expenses to average net assets | 1.81% (d) | 1.87% | 2.23% | 2.30% (d) | ||||
Ratio of total expenses to average net assets excluding dividend expense and margin interest expense | 1.25% (d) | 1.25% | 1.25% | 1.25% (d) | ||||
Ratio of net investment income (loss) to average net assets | 1.70% (d) | (1.23)% | (1.15)% | (1.71)% (d) | ||||
Portfolio turnover rate (e) | 136% | 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 last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price; |
2) | the type of security; |
3) | the size of the holding; |
4) | the initial cost of the security; |
5) | transactions in comparable securities; |
6) | price quotes from dealers and/or third-party pricing services; |
7) | relationships among various securities; |
8) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
9) | an analysis of the issuer’s financial statements; |
10) | the existence of merger proposals or tender offers that might affect the value of the security; and |
11) | 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. |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (130,900) |
Net unrealized appreciation (depreciation) | 164,797 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$41,722,850 | $965,325 | $(1,894,443) | $(929,118) |
Breakpoints | |
Fund net assets up to and including $2.5 billion | 1.25000% |
Fund net assets greater than $2.5 billion up to and including $5 billion | 1.21875% |
Fund net assets greater than $5 billion up to and including $7.5 billion | 1.18750% |
Fund net assets greater than $7.5 billion up to and including $10 billion | 1.15625% |
Fund net assets greater than $10 billion | 1.12500% |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
(b) | Not applicable. |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
(a) | Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period are included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)),or this Item.
Item 11. Controls and Procedures.
(a) | The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). |
(b) | There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Exchange-Traded Fund III |
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | April 6, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | April 6, 2023 |
By (Signature and Title)* | /s/ Donald P. Swade | |
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | April 6, 2023 |
* Print the name and title of each signing officer under his or her signature.