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, 2024
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: |
Semi-Annual Report |
For the Six Months Ended January 31, 2024 |
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) |
Semi-Annual Report
January 31, 2024
2 | |
3 | |
5 | |
7 | |
9 | |
10 | |
11 | |
12 | |
14 | |
18 | |
22 | |
23 | |
24 | |
26 | |
29 | |
36 |
Semi-Annual Letter from the Chairman and CEO
January 31, 2024
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
6 Months Ended 1/31/24 | 1 Year Ended 1/31/24 | 5 Years Ended 1/31/24 | Inception (8/24/16) to 1/31/24 | 5 Years Ended 1/31/24 | Inception (8/24/16) to 1/31/24 | |
Fund Performance | ||||||
NAV | 4.70% | 5.62% | 9.26% | 9.06% | 55.70% | 90.65% |
Market Price | 4.83% | 5.75% | 9.25% | 9.08% | 55.64% | 90.82% |
Index Performance | ||||||
S&P 500® Index | 6.43% | 20.82% | 14.30% | 13.38% | 95.06% | 154.48% |
Sector Allocation | % of Total Long-Term Investments |
Information Technology | 17.9% |
Consumer Staples | 16.4 |
Financials | 16.1 |
Industrials | 13.9 |
Health Care | 11.6 |
Consumer Discretionary | 9.6 |
Utilities | 4.8 |
Materials | 3.2 |
Real Estate | 2.3 |
Energy | 2.3 |
Communication Services | 1.9 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
International Business Machines Corp. | 2.9% |
Republic Services, Inc. | 2.6 |
Berkshire Hathaway, Inc., Class B | 2.5 |
Walmart, Inc. | 2.5 |
Procter & Gamble (The) Co. | 2.5 |
Roper Technologies, Inc. | 2.4 |
Coca-Cola (The) Co. | 2.3 |
McDonald’s Corp. | 2.3 |
TJX (The) Cos., Inc. | 2.2 |
Waste Management, Inc. | 2.0 |
Total | 24.2% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
6 Months Ended 1/31/24 | 1 Year Ended 1/31/24 | 5 Years Ended 1/31/24 | Inception (8/24/16) to 1/31/24 | 5 Years Ended 1/31/24 | Inception (8/24/16) to 1/31/24 | |
Fund Performance | ||||||
NAV | 0.39% | 3.32% | 0.67% | 2.37% | 3.42% | 19.05% |
Market Price | 0.36% | 3.30% | 0.54% | 2.35% | 2.75% | 18.83% |
Index Performance | ||||||
MSCI EAFE Index | 3.15% | 10.01% | 6.92% | 6.45% | 39.72% | 59.15% |
Sector Allocation | % of Total Long-Term Investments |
Financials | 20.2% |
Consumer Staples | 17.7 |
Industrials | 17.6 |
Communication Services | 13.9 |
Utilities | 9.0 |
Consumer Discretionary | 5.9 |
Health Care | 5.5 |
Information Technology | 3.9 |
Real Estate | 3.5 |
Materials | 2.8 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
SoftBank Corp. | 2.2% |
Oversea-Chinese Banking Corp., Ltd. | 1.9 |
Singapore Exchange Ltd. | 1.8 |
Koninklijke KPN N.V. | 1.8 |
Swisscom AG | 1.7 |
Orange S.A. | 1.4 |
United Overseas Bank Ltd. | 1.4 |
Unilever PLC | 1.4 |
McDonald’s Holdings Co., Japan Ltd. | 1.3 |
Zurich Insurance Group AG | 1.3 |
Total | 16.2% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/24 | 1 Year Ended 1/31/24 | Inception (4/6/20) to 1/31/24 | Inception (4/6/20) to 1/31/24 | |
Fund Performance | ||||
NAV | 0.17% | -2.31% | 12.43% | 56.49% |
Market Price | 0.17% | -2.31% | 12.41% | 56.39% |
Index Performance | ||||
S&P 1000® Index | 0.57% | 3.88% | 19.88% | 99.95% |
Sector Allocation | % of Total Long-Term Investments |
Industrials | 23.0% |
Financials | 17.3 |
Real Estate | 14.3 |
Utilities | 9.0 |
Consumer Discretionary | 7.8 |
Information Technology | 7.5 |
Consumer Staples | 6.6 |
Health Care | 6.5 |
Materials | 5.4 |
Communication Services | 1.5 |
Energy | 1.1 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Neurocrine Biosciences, Inc. | 0.7% |
New York Times (The) Co., Class A | 0.6 |
CommVault Systems, Inc. | 0.6 |
Primerica, Inc. | 0.6 |
Korn Ferry | 0.6 |
Dropbox, Inc., Class A | 0.6 |
Edgewell Personal Care Co. | 0.6 |
Assured Guaranty Ltd. | 0.6 |
Lancaster Colony Corp. | 0.6 |
Genpact Ltd. | 0.6 |
Total | 6.1% |
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. |
Scott Ladner, Chief Investment Officer and Portfolio Manager of Horizon
Steven Clark, PhD, Portfolio Manager of Horizon
Beginning Account Value August 1, 2023 | Ending Account Value January 31, 2024 | 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 | $1,047.00 | 0.70% | $3.60 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.62 | 0.70% | $3.56 |
First Trust Horizon Managed Volatility Developed International ETF (HDMV) | ||||
Actual | $1,000.00 | $1,003.90 | 0.80% | $4.03 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.11 | 0.80% | $4.06 |
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | ||||
Actual | $1,000.00 | $1,001.70 | 0.80% | $4.03 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.11 | 0.80% | $4.06 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (August 1, 2023 through January 31, 2024), multiplied by 184/366 (to reflect the six-month period). |
Shares | Description | Value | |||
COMMON STOCKS — 99.8% | |||||
Aerospace & Defense — 2.3% | |||||
4,547 | General Dynamics Corp. | $1,204,910 | |||
1,967 | Lockheed Martin Corp. | 844,649 | |||
2,049,559 | |||||
Beverages — 3.7% | |||||
34,595 | Coca-Cola (The) Co. | 2,058,056 | |||
7,296 | PepsiCo, Inc. | 1,229,595 | |||
3,287,651 | |||||
Biotechnology — 1.2% | |||||
6,362 | AbbVie, Inc. | 1,045,913 | |||
Capital Markets — 2.5% | |||||
5,192 | CME Group, Inc. | 1,068,721 | |||
9,157 | Intercontinental Exchange, Inc. | 1,165,961 | |||
2,234,682 | |||||
Chemicals — 2.5% | |||||
9,792 | Dow, Inc. | 524,851 | |||
4,722 | Ecolab, Inc. | 935,995 | |||
1,946 | Linde PLC | 787,799 | |||
2,248,645 | |||||
Commercial Services & Supplies — 5.5% | |||||
1,387 | Cintas Corp. | 838,539 | |||
13,231 | Republic Services, Inc. | 2,264,089 | |||
9,323 | Waste Management, Inc. | 1,730,628 | |||
4,833,256 | |||||
Communications Equipment — 3.7% | |||||
31,930 | Cisco Systems, Inc. | 1,602,247 | |||
5,235 | Motorola Solutions, Inc. | 1,672,583 | |||
3,274,830 | |||||
Consumer Staples Distribution & Retail — 3.8% | |||||
907 | Costco Wholesale Corp. | 630,256 | |||
6,600 | Sysco Corp. | 534,138 | |||
13,456 | Walmart, Inc. | 2,223,604 | |||
3,387,998 | |||||
Containers & Packaging — 0.7% | |||||
64,317 | Amcor PLC | 606,509 | |||
Distributors — 0.8% | |||||
15,601 | LKQ Corp. | 728,099 | |||
Electric Utilities — 2.3% | |||||
11,586 | Duke Energy Corp. | 1,110,286 | |||
13,576 | Southern (The) Co. | 943,804 | |||
2,054,090 | |||||
Electrical Equipment — 1.1% | |||||
6,062 | AMETEK, Inc. | 982,347 |
Shares | Description | Value | |||
Electronic Equipment, Instruments & Components — 3.8% | |||||
16,507 | Amphenol Corp., Class A | $1,668,858 | |||
4,018 | Teledyne Technologies, Inc. (a) | 1,681,412 | |||
3,350,270 | |||||
Entertainment — 0.9% | |||||
5,818 | Electronic Arts, Inc. | 800,440 | |||
Financial Services — 4.9% | |||||
5,823 | Berkshire Hathaway, Inc., Class B (a) | 2,234,518 | |||
2,089 | Mastercard, Inc., Class A | 938,442 | |||
4,304 | Visa, Inc., Class A | 1,176,111 | |||
4,349,071 | |||||
Food Products — 1.7% | |||||
3,217 | Hershey (The) Co. | 622,618 | |||
10,535 | Kellanova | 576,897 | |||
9,263 | Kraft Heinz (The) Co. | 343,935 | |||
1,543,450 | |||||
Gas Utilities — 1.2% | |||||
8,905 | Atmos Energy Corp. | 1,014,636 | |||
Ground Transportation — 0.9% | |||||
22,614 | CSX Corp. | 807,320 | |||
Health Care Equipment & Supplies — 1.0% | |||||
7,894 | Abbott Laboratories | 893,206 | |||
Health Care Providers & Services — 5.2% | |||||
7,143 | Cencora, Inc. | 1,662,033 | |||
5,015 | Laboratory Corp. of America Holdings | 1,114,835 | |||
1,770 | McKesson Corp. | 884,805 | |||
7,035 | Quest Diagnostics, Inc. | 903,505 | |||
4,565,178 | |||||
Hotels, Restaurants & Leisure — 5.1% | |||||
5,579 | Darden Restaurants, Inc. | 907,034 | |||
7,017 | McDonald’s Corp. | 2,054,016 | |||
11,782 | Yum! Brands, Inc. | 1,525,651 | |||
4,486,701 | |||||
Household Products — 5.5% | |||||
18,101 | Colgate-Palmolive Co. | 1,524,104 | |||
9,454 | Kimberly-Clark Corp. | 1,143,650 | |||
13,846 | Procter & Gamble (The) Co. | 2,175,761 | |||
4,843,515 | |||||
Industrial Conglomerates — 0.9% | |||||
4,037 | Honeywell International, Inc. | 816,524 |
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Insurance — 8.6% | |||||
12,458 | Aflac, Inc. | $1,050,708 | |||
2,969 | Aon PLC, Class A | 886,039 | |||
4,477 | Arthur J. Gallagher & Co. | 1,039,380 | |||
10,300 | Globe Life, Inc. | 1,265,046 | |||
22,446 | Loews Corp. | 1,635,415 | |||
8,908 | Marsh & McLennan Cos., Inc. | 1,726,727 | |||
7,603,315 | |||||
IT Services — 6.4% | |||||
14,023 | Akamai Technologies, Inc. (a) | 1,728,054 | |||
13,716 | International Business Machines Corp. | 2,519,081 | |||
7,039 | VeriSign, Inc. (a) | 1,399,916 | |||
5,647,051 | |||||
Machinery — 1.1% | |||||
10,628 | Otis Worldwide Corp. | 939,940 | |||
Multi-Utilities — 1.4% | |||||
13,163 | Consolidated Edison, Inc. | 1,196,517 | |||
Oil, Gas & Consumable Fuels — 2.3% | |||||
83,442 | Kinder Morgan, Inc. | 1,411,839 | |||
17,370 | Williams (The) Cos., Inc. | 602,044 | |||
2,013,883 | |||||
Pharmaceuticals — 4.2% | |||||
24,352 | Bristol-Myers Squibb Co. | 1,190,082 | |||
9,902 | Johnson & Johnson | 1,573,428 | |||
8,023 | Merck & Co., Inc. | 969,018 | |||
3,732,528 | |||||
Professional Services — 2.1% | |||||
4,249 | Broadridge Financial Solutions, Inc. | 867,646 | |||
4,201 | Verisk Analytics, Inc. | 1,014,667 | |||
1,882,313 | |||||
Residential REITs — 0.6% | |||||
3,046 | AvalonBay Communities, Inc. | 545,265 | |||
Retail REITs — 0.7% | |||||
10,900 | Realty Income Corp. | 592,851 | |||
Software — 2.4% | |||||
4,002 | Roper Technologies, Inc. | 2,149,074 | |||
Specialized REITs — 1.0% | |||||
29,520 | VICI Properties, Inc. | 889,142 | |||
Specialty Retail — 3.7% | |||||
720 | O’Reilly Automotive, Inc. (a) | 736,596 | |||
4,356 | Ross Stores, Inc. | 611,060 | |||
20,439 | TJX (The) Cos., Inc. | 1,939,865 | |||
3,287,521 | |||||
Technology Hardware, Storage & Peripherals — 1.5% | |||||
7,310 | Apple, Inc. | 1,347,964 |
Shares | Description | Value | |||
Tobacco — 1.6% | |||||
21,464 | Altria Group, Inc. | $861,136 | |||
6,512 | Philip Morris International, Inc. | 591,615 | |||
1,452,751 | |||||
Wireless Telecommunication Services — 1.0% | |||||
5,502 | T-Mobile US, Inc. | 887,088 | |||
Total Investments — 99.8% | 88,371,093 | ||||
(Cost $82,656,894) | |||||
Net Other Assets and Liabilities — 0.2% | 218,995 | ||||
Net Assets — 100.0% | $88,590,088 |
(a) | Non-income producing security. |
Abbreviations throughout the Portfolio of Investments: | |
REITs | – Real Estate Investment Trusts |
Valuation Inputs
Total Value at 1/31/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 88,371,093 | $ 88,371,093 | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | |||
COMMON STOCKS (a) (b) — 99.3% | |||||
Australia — 7.3% | |||||
8,493 | ANZ Group Holdings Ltd. (AUD) (c) | $149,854 | |||
3,515 | ASX Ltd. (AUD) (c) | 150,275 | |||
20,191 | Brambles Ltd. (AUD) (c) | 192,517 | |||
759 | Cochlear Ltd. (AUD) (c) | 150,623 | |||
29,392 | Coles Group Ltd. (AUD) (c) | 305,013 | |||
2,021 | Commonwealth Bank of Australia (AUD) (c) | 154,111 | |||
41,736 | Lottery (The) Corp., Ltd. (AUD) (c) | 136,994 | |||
58,460 | Medibank Pvt Ltd. (AUD) (c) | 146,363 | |||
7,211 | National Australia Bank Ltd. (AUD) (c) | 152,083 | |||
12,882 | Orica Ltd. (AUD) (c) | 135,866 | |||
120,093 | Telstra Group Ltd. (AUD) (c) | 316,726 | |||
8,779 | Washington H Soul Pattinson & Co., Ltd. (AUD) (c) | 196,239 | |||
3,861 | Wesfarmers Ltd. (AUD) (c) | 146,166 | |||
11,840 | Westpac Banking Corp. (AUD) (c) | 185,742 | |||
8,672 | Woolworths Group Ltd. (AUD) (c) | 203,662 | |||
2,722,234 | |||||
Belgium — 1.0% | |||||
3,157 | Anheuser-Busch InBev S.A./N.V. (EUR) (c) | 195,284 | |||
2,292 | Groupe Bruxelles Lambert N.V. (EUR) (c) | 173,755 | |||
369,039 | |||||
Bermuda — 1.2% | |||||
40,528 | CK Infrastructure Holdings Ltd. (HKD) (c) | 240,689 | |||
4,800 | Jardine Matheson Holdings Ltd. | 188,976 | |||
429,665 | |||||
Cayman Islands — 1.0% | |||||
39,163 | CK Asset Holdings Ltd. (HKD) (c) | 176,717 | |||
40,869 | CK Hutchison Holdings Ltd. (HKD) (c) | 211,081 | |||
387,798 | |||||
Denmark — 0.9% | |||||
1,127 | Carlsberg A.S., Class B (DKK) (c) | 145,008 | |||
9,136 | Tryg A.S. (DKK) (c) | 195,274 | |||
340,282 | |||||
France — 7.8% | |||||
836 | Air Liquide S.A. (EUR) (c) | 156,443 | |||
4,191 | AXA S.A. (EUR) (c) | 140,672 | |||
3,522 | Bouygues S.A. (EUR) (c) | 129,020 | |||
5,677 | Bureau Veritas S.A. (EUR) (c) | 151,001 |
Shares | Description | Value | |||
France (Continued) | |||||
6,856 | Carrefour S.A. (EUR) (c) | $117,047 | |||
6,074 | Danone S.A. (EUR) (c) | 404,670 | |||
12,831 | Engie S.A. (EUR) (c) | 204,942 | |||
9,579 | Getlink SE (EUR) (c) | 165,056 | |||
44,048 | Orange S.A. (EUR) (c) | 523,814 | |||
835 | Safran S.A. (EUR) (c) | 155,901 | |||
1,502 | Sodexo S.A. (EUR) (c) | 169,438 | |||
856 | Thales S.A. (EUR) (c) | 125,193 | |||
4,045 | Veolia Environnement S.A. (EUR) (c) | 131,801 | |||
1,383 | Vinci S.A. (EUR) (c) | 174,703 | |||
14,143 | Vivendi SE (EUR) (c) | 159,385 | |||
2,909,086 | |||||
Germany — 6.7% | |||||
974 | Allianz SE (EUR) (c) | 260,228 | |||
2,365 | Beiersdorf AG (EUR) (c) | 346,092 | |||
1,407 | Brenntag SE (EUR) (c) | 124,392 | |||
896 | Deutsche Boerse AG (EUR) (c) | 178,428 | |||
10,209 | Deutsche Telekom AG (EUR) (c) | 250,608 | |||
24,589 | E.ON SE (EUR) (c) | 332,670 | |||
3,056 | GEA Group AG (EUR) (c) | 122,389 | |||
748 | Hannover Rueck SE (EUR) (c) | 179,308 | |||
1,703 | Mercedes-Benz Group AG (EUR) (c) | 114,974 | |||
707 | Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen (EUR) (c) | 300,982 | |||
3,502 | RWE AG (EUR) (c) | 129,313 | |||
955 | SAP SE (EUR) (c) | 165,450 | |||
2,504,834 | |||||
Hong Kong — 2.3% | |||||
66,786 | BOC Hong Kong Holdings Ltd. (HKD) (c) | 160,072 | |||
29,192 | CLP Holdings Ltd. (HKD) (c) | 232,177 | |||
248,849 | Hong Kong & China Gas Co., Ltd. (HKD) (c) | 177,088 | |||
52,247 | Power Assets Holdings Ltd. (HKD) (c) | 305,916 | |||
875,253 | |||||
Ireland — 0.3% | |||||
1,214 | Kerry Group PLC, Class A (EUR) (c) | 108,208 | |||
Israel — 0.5% | |||||
1,070 | Check Point Software Technologies Ltd. (d) | 170,055 | |||
Italy — 2.6% | |||||
11,244 | Assicurazioni Generali S.p.A. (EUR) (c) | 250,818 | |||
19,386 | Enel S.p.A. (EUR) (c) | 132,277 |
Shares | Description | Value | |||
COMMON STOCKS (a) (b) (Continued) | |||||
Italy (Continued) | |||||
13,205 | Infrastrutture Wireless Italiane S.p.A. (EUR) (c) (e) (f) | $159,675 | |||
11,656 | Poste Italiane S.p.A. (EUR) (c) (e) (f) | 126,393 | |||
29,945 | Snam S.p.A. (EUR) (c) | 146,249 | |||
19,941 | Terna-Rete Elettrica Nazionale (EUR) (c) | 168,143 | |||
983,555 | |||||
Japan — 26.1% | |||||
10,800 | Aeon Co., Ltd. (JPY) (c) | 258,090 | |||
8,500 | AGC, Inc. (JPY) (c) | 319,670 | |||
10,500 | ANA Holdings, Inc. (JPY) (c) (d) | 232,031 | |||
2,800 | Asahi Group Holdings Ltd. (JPY) (c) | 104,070 | |||
34,600 | Asahi Kasei Corp. (JPY) (c) | 262,391 | |||
3,100 | Bridgestone Corp. (JPY) (c) | 134,331 | |||
7,100 | Canon, Inc. (JPY) (c) | 195,585 | |||
8,400 | Central Japan Railway Co. (JPY) (c) | 209,938 | |||
1,500 | Daito Trust Construction Co., Ltd. (JPY) (c) | 170,626 | |||
3,600 | Daiwa House Industry Co., Ltd. (JPY) (c) | 111,319 | |||
3,600 | East Japan Railway Co. (JPY) (c) | 205,894 | |||
1,700 | FUJIFILM Holdings Corp. (JPY) (c) | 107,754 | |||
4,600 | Hankyu Hanshin Holdings, Inc. (JPY) (c) | 140,739 | |||
1,100 | Hirose Electric Co., Ltd. (JPY) (c) | 127,988 | |||
3,200 | Hoshizaki Corp. (JPY) (c) | 116,420 | |||
22,400 | Hulic Co., Ltd. (JPY) (c) | 247,349 | |||
5,300 | Japan Airlines Co., Ltd. (JPY) (c) | 101,844 | |||
5,800 | Japan Exchange Group, Inc. (JPY) (c) | 128,364 | |||
10,700 | Japan Post Bank Co., Ltd. (JPY) (c) | 111,278 | |||
13,600 | Japan Post Holdings Co., Ltd. (JPY) (c) | 130,189 | |||
14,800 | Japan Tobacco, Inc. (JPY) (c) | 390,089 | |||
4,400 | Kao Corp. (JPY) (c) | 174,097 | |||
7,800 | KDDI Corp. (JPY) (c) | 258,453 | |||
5,000 | Kintetsu Group Holdings Co., Ltd. (JPY) (c) | 154,287 | |||
26,700 | Kirin Holdings Co., Ltd. (JPY) (c) | 383,785 | |||
9,700 | Koei Tecmo Holdings Co., Ltd. (JPY) (c) | 120,825 |
Shares | Description | Value | |||
Japan (Continued) | |||||
11,600 | Kyocera Corp. (JPY) (c) | $169,825 | |||
6,500 | Kyowa Kirin Co., Ltd. (JPY) (c) | 102,388 | |||
11,200 | McDonald’s Holdings Co., Japan Ltd. (JPY) (c) | 498,674 | |||
4,000 | MEIJI Holdings Co., Ltd. (JPY) (c) | 96,738 | |||
1,800 | Nintendo Co., Ltd. (JPY) (c) | 100,568 | |||
3,100 | NIPPON EXPRESS HOLDINGS, Inc. (JPY) (c) | 184,516 | |||
181,300 | Nippon Telegraph & Telephone Corp. (JPY) (c) | 227,668 | |||
700 | Obic Co., Ltd. (JPY) (c) | 107,527 | |||
21,000 | Oji Holdings Corp. (JPY) (c) | 82,107 | |||
5,600 | Ono Pharmaceutical Co., Ltd. (JPY) (c) | 100,935 | |||
2,400 | Otsuka Corp. (JPY) (c) | 100,987 | |||
4,000 | Otsuka Holdings Co., Ltd. (JPY) (c) | 157,233 | |||
6,400 | SCSK Corp. (JPY) (c) | 125,662 | |||
1,700 | Secom Co., Ltd. (JPY) (c) | 123,387 | |||
7,800 | Sekisui Chemical Co., Ltd. (JPY) (c) | 111,365 | |||
9,400 | Sekisui House Ltd. (JPY) (c) | 212,197 | |||
4,000 | Shionogi & Co., Ltd. (JPY) (c) | 191,986 | |||
60,500 | SoftBank Corp. (JPY) (c) | 803,794 | |||
26,900 | Sumitomo Chemical Co., Ltd. (JPY) (c) | 63,338 | |||
3,400 | Suntory Beverage & Food, Ltd. (JPY) (c) | 110,924 | |||
10,400 | Takeda Pharmaceutical Co., Ltd. (JPY) (c) | 305,661 | |||
5,000 | Tobu Railway Co., Ltd. (JPY) (c) | 132,416 | |||
4,300 | Toho Co., Ltd. (JPY) (c) | 140,071 | |||
15,100 | Tokyu Corp. (JPY) (c) | 177,188 | |||
18,600 | Toray Industries, Inc. (JPY) (c) | 92,934 | |||
7,100 | Tosoh Corp. (JPY) (c) | 91,552 | |||
6,800 | USS Co., Ltd. (JPY) (c) | 128,598 | |||
3,100 | West Japan Railway Co. (JPY) (c) | 129,113 | |||
9,766,758 | |||||
Netherlands — 5.7% | |||||
1,636 | EXOR N.V. (EUR) (c) | 158,286 | |||
7,040 | Ferrovial SE (EUR) (c) | 268,471 | |||
2,609 | Heineken Holding N.V. (EUR) (c) | 218,914 | |||
1,954 | Heineken N.V. (EUR) (c) | 196,563 | |||
7,521 | Koninklijke Ahold Delhaize N.V. (EUR) (c) | 211,514 | |||
195,647 | Koninklijke KPN N.V. (EUR) (c) | 665,538 |
Shares | Description | Value | |||
COMMON STOCKS (a) (b) (Continued) | |||||
Netherlands (Continued) | |||||
4,976 | QIAGEN N.V. (EUR) (c) | $215,896 | |||
1,362 | Wolters Kluwer N.V. (EUR) (c) | 200,781 | |||
2,135,963 | |||||
New Zealand — 1.3% | |||||
36,077 | Auckland International Airport Ltd. (NZD) | 186,010 | |||
87,766 | Spark New Zealand Ltd. (NZD) (c) | 284,755 | |||
470,765 | |||||
Norway — 1.1% | |||||
6,631 | DNB Bank ASA (NOK) (c) | 128,905 | |||
25,628 | Orkla ASA (NOK) (c) | 200,748 | |||
7,706 | Telenor ASA (NOK) (c) | 85,377 | |||
415,030 | |||||
Singapore — 9.7% | |||||
72,500 | CapitaLand Ascendas REIT (SGD) (c) | 157,124 | |||
95,000 | CapitaLand Integrated Commercial Trust (SGD) (c) | 141,623 | |||
19,200 | DBS Group Holdings Ltd. (SGD) (c) | 454,758 | |||
6,000 | Jardine Cycle & Carriage Ltd. (SGD) (c) | 115,776 | |||
72,600 | Oversea-Chinese Banking Corp., Ltd. (SGD) (c) | 694,446 | |||
97,800 | Singapore Exchange Ltd. (SGD) (c) | 682,902 | |||
160,500 | Singapore Technologies Engineering Ltd. (SGD) (c) | 444,736 | |||
123,400 | Singapore Telecommunications Ltd. (SGD) (c) | 220,213 | |||
24,000 | United Overseas Bank Ltd. (SGD) (c) | 505,885 | |||
87,600 | Wilmar International Ltd. (SGD) (c) | 214,505 | |||
3,631,968 | |||||
Spain — 3.5% | |||||
5,420 | ACS Actividades de Construccion y Servicios S.A. (EUR) (c) | 213,875 | |||
16,353 | Enagas S.A. (EUR) (c) | 266,222 | |||
8,203 | Endesa S.A. (EUR) (c) | 162,517 | |||
15,703 | Iberdrola S.A. (EUR) (c) | 189,078 | |||
5,202 | Naturgy Energy Group S.A. (EUR) (c) | 140,078 | |||
12,560 | Redeia Corp. S.A. (EUR) (c) | 208,999 | |||
33,363 | Telefonica S.A. (EUR) (c) | 135,748 | |||
1,316,517 |
Shares | Description | Value | |||
Sweden — 0.5% | |||||
4,112 | Essity AB, Class B (SEK) (c) | $96,563 | |||
41,926 | Telia Co., AB (SEK) (c) | 108,135 | |||
204,698 | |||||
Switzerland — 9.1% | |||||
839 | Baloise Holding AG (CHF) (c) | 134,023 | |||
6,023 | Coca-Cola HBC AG (GBP) (c) | 177,057 | |||
1,107 | Helvetia Holding AG (CHF) (c) | 159,874 | |||
2,183 | Holcim AG (CHF) (c) | 166,735 | |||
3,480 | Nestle S.A. (CHF) (c) | 396,548 | |||
3,058 | Novartis AG (CHF) (c) | 316,239 | |||
927 | Roche Holding AG (CHF) (c) | 263,932 | |||
1,797 | SGS S.A. (CHF) (c) | 166,053 | |||
3,080 | Swiss Prime Site AG (CHF) (c) | 311,959 | |||
1,596 | Swiss Re AG (CHF) (c) | 182,743 | |||
1,031 | Swisscom AG (CHF) (c) | 616,831 | |||
975 | Zurich Insurance Group AG (CHF) (c) | 495,387 | |||
3,387,381 | |||||
United Kingdom — 10.7% | |||||
8,535 | Bunzl PLC (GBP) (c) | 346,860 | |||
5,104 | Coca-Cola Europacific Partners PLC | 351,666 | |||
12,907 | Compass Group PLC (GBP) (c) | 355,507 | |||
11,886 | GSK PLC (GBP) (c) | 235,078 | |||
38,353 | Haleon PLC (GBP) (c) | 155,781 | |||
1,869 | InterContinental Hotels Group PLC (GBP) (c) | 177,093 | |||
2,455 | Intertek Group PLC (GBP) (c) | 139,347 | |||
3,740 | London Stock Exchange Group PLC (GBP) (c) | 423,046 | |||
12,418 | National Grid PLC (GBP) (c) | 165,396 | |||
4,786 | Reckitt Benckiser Group PLC (GBP) (c) | 346,032 | |||
5,494 | RELX PLC (GBP) (c) | 226,760 | |||
11,549 | Sage Group (The) PLC (GBP) (c) | 171,940 | |||
11,909 | Smiths Group PLC (GBP) (c) | 244,058 | |||
39,383 | Tesco PLC (GBP) (c) | 142,709 | |||
10,307 | Unilever PLC (GBP) (c) | 501,541 | |||
3,982,814 | |||||
Total Investments — 99.3% | 37,111,903 | ||||
(Cost $36,061,846) | |||||
Net Other Assets and Liabilities — 0.7% | 256,818 | ||||
Net Assets — 100.0% | $37,368,721 |
(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) | Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
(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 provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At January 31, 2024, securities noted as such are valued at $36,215,196 or 96.9% 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. |
(d) | Non-income producing security. |
(e) | This security 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. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
(f) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
Abbreviations throughout the Portfolio of Investments: | |
AUD | – Australian Dollar |
CHF | – Swiss Franc |
DKK | – Danish Krone |
EUR | – Euro |
GBP | – British Pound Sterling |
HKD | – Hong Kong Dollar |
JPY | – Japanese Yen |
NOK | – Norwegian Krone |
NZD | – New Zealand Dollar |
SEK | – Swedish Krona |
SGD | – Singapore Dollar |
USD | – United States Dollar |
Currency Exposure Diversification | % of Total Investments |
EUR | 27.8% |
JPY | 26.3 |
GBP | 10.3 |
SGD | 9.8 |
CHF | 8.6 |
AUD | 7.3 |
HKD | 4.1 |
USD | 1.9 |
NZD | 1.3 |
NOK | 1.1 |
DKK | 0.9 |
SEK | 0.6 |
Total | 100.0% |
Valuation Inputs
Total Value at 1/31/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
Bermuda | $ 429,665 | $ 188,976 | $ 240,689 | $ — |
Israel | 170,055 | 170,055 | — | — |
New Zealand | 470,765 | 186,010 | 284,755 | — |
United Kingdom | 3,982,814 | 351,666 | 3,631,148 | — |
Other Country Categories* | 32,058,604 | — | 32,058,604 | — |
Total Investments | $37,111,903 | $896,707 | $36,215,196 | $— |
* | See Portfolio of Investments for country breakout. |
Shares | Description | Value | |||
COMMON STOCKS — 99.8% | |||||
Aerospace & Defense — 2.4% | |||||
1,287 | AAR Corp. (a) | $78,275 | |||
1,230 | BWX Technologies, Inc. | 100,221 | |||
430 | Curtiss-Wright Corp. | 95,705 | |||
1,370 | Hexcel Corp. | 90,954 | |||
398 | Moog, Inc., Class A | 55,641 | |||
420,796 | |||||
Automobile Components — 0.6% | |||||
2,934 | Gentex Corp. | 97,203 | |||
Banks — 1.4% | |||||
1,247 | Commerce Bancshares, Inc. | 64,994 | |||
5,086 | F.N.B. Corp. | 67,033 | |||
3,002 | Old National Bancorp | 49,443 | |||
931 | Prosperity Bancshares, Inc. | 59,500 | |||
240,970 | |||||
Biotechnology — 1.5% | |||||
2,901 | Exelixis, Inc. (a) | 63,126 | |||
867 | Neurocrine Biosciences, Inc. (a) | 121,181 | |||
393 | United Therapeutics Corp. (a) | 84,408 | |||
268,715 | |||||
Building Products — 0.8% | |||||
216 | Carlisle Cos., Inc. | 67,880 | |||
149 | Lennox International, Inc. | 63,796 | |||
131,676 | |||||
Capital Markets — 3.5% | |||||
565 | Affiliated Managers Group, Inc. | 84,095 | |||
454 | Evercore, Inc., Class A | 77,966 | |||
2,815 | Federated Hermes, Inc. | 98,412 | |||
2,376 | Janus Henderson Group PLC | 68,334 | |||
2,241 | Jefferies Financial Group, Inc. | 91,343 | |||
1,492 | SEI Investments Co. | 94,354 | |||
1,312 | Stifel Financial Corp. | 95,710 | |||
610,214 | |||||
Chemicals — 1.6% | |||||
1,103 | Ashland, Inc. | 103,263 | |||
657 | Balchem Corp. | 92,085 | |||
812 | RPM International, Inc. | 86,608 | |||
281,956 | |||||
Commercial Services & Supplies — 2.4% | |||||
1,255 | ABM Industries, Inc. | 51,192 | |||
523 | Clean Harbors, Inc. (a) | 87,843 | |||
573 | MSA Safety, Inc. | 94,562 | |||
579 | Tetra Tech, Inc. | 91,586 | |||
521 | UniFirst Corp. | 88,268 | |||
413,451 |
Shares | Description | Value | |||
Construction & Engineering — 1.6% | |||||
1,017 | AECOM | $89,689 | |||
442 | EMCOR Group, Inc. | 100,825 | |||
4,789 | MDU Resources Group, Inc. | 93,433 | |||
283,947 | |||||
Construction Materials — 0.5% | |||||
412 | Eagle Materials, Inc. | 93,227 | |||
Consumer Finance — 0.6% | |||||
863 | FirstCash Holdings, Inc. | 99,047 | |||
Consumer Staples Distribution & Retail — 3.0% | |||||
1,428 | BJ’s Wholesale Club Holdings, Inc. (a) | 91,878 | |||
347 | Casey’s General Stores, Inc. | 94,162 | |||
2,236 | Grocery Outlet Holding Corp. (a) | 55,408 | |||
1,384 | Performance Food Group Co. (a) | 100,589 | |||
1,457 | Sprouts Farmers Market, Inc. (a) | 73,389 | |||
2,137 | US Foods Holding Corp. (a) | 98,323 | |||
513,749 | |||||
Containers & Packaging — 2.2% | |||||
754 | AptarGroup, Inc. | 97,930 | |||
3,862 | Graphic Packaging Holding Co. | 98,520 | |||
1,866 | Silgan Holdings, Inc. | 85,724 | |||
1,695 | Sonoco Products Co. | 96,445 | |||
378,619 | |||||
Diversified Consumer Services — 1.6% | |||||
682 | Grand Canyon Education, Inc. (a) | 89,062 | |||
2,054 | H&R Block, Inc. | 96,209 | |||
1,430 | Service Corp. International | 95,982 | |||
281,253 | |||||
Diversified REITs — 1.1% | |||||
3,698 | Essential Properties Realty Trust, Inc. | 92,117 | |||
1,478 | WP Carey, Inc. | 91,577 | |||
183,694 | |||||
Diversified Telecommunication Services — 0.3% | |||||
710 | Cogent Communications Holdings, Inc. | 54,812 | |||
Electric Utilities — 2.5% | |||||
1,565 | ALLETE, Inc. | 92,507 | |||
966 | IDACORP, Inc. | 89,432 | |||
2,668 | OGE Energy Corp. | 88,685 |
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Electric Utilities (Continued) | |||||
2,205 | PNM Resources, Inc. | $79,887 | |||
2,188 | Portland General Electric Co. | 89,555 | |||
440,066 | |||||
Electrical Equipment — 0.4% | |||||
1,041 | nVent Electric PLC | 62,502 | |||
Electronic Equipment, Instruments & Components — 3.7% | |||||
844 | Arrow Electronics, Inc. (a) | 93,811 | |||
1,921 | Avnet, Inc. | 87,021 | |||
516 | Insight Enterprises, Inc. (a) | 95,326 | |||
311 | Jabil, Inc. | 38,965 | |||
270 | Littelfuse, Inc. | 65,313 | |||
922 | Plexus Corp. (a) | 87,332 | |||
886 | TD SYNNEX Corp. | 88,582 | |||
2,708 | Vontier Corp. | 93,670 | |||
650,020 | |||||
Entertainment — 0.6% | |||||
535 | Madison Square Garden Sports Corp. (a) | 99,028 | |||
Financial Services — 4.4% | |||||
1,818 | Essent Group Ltd. | 100,281 | |||
2,322 | EVERTEC, Inc. | 93,252 | |||
4,912 | MGIC Investment Corp. | 97,454 | |||
1,259 | Mr. Cooper Group, Inc. (a) | 84,806 | |||
3,224 | NMI Holdings, Inc., Class A (a) | 102,910 | |||
3,344 | Radian Group, Inc. | 96,909 | |||
1,270 | Voya Financial, Inc. | 91,910 | |||
8,067 | Western Union (The) Co. | 101,402 | |||
768,924 | |||||
Food Products — 2.8% | |||||
4,219 | Flowers Foods, Inc. | 96,193 | |||
885 | Ingredion, Inc. | 95,200 | |||
559 | J & J Snack Foods Corp. | 89,010 | |||
571 | Lancaster Colony Corp. | 104,938 | |||
1,075 | Post Holdings, Inc. (a) | 99,835 | |||
485,176 | |||||
Gas Utilities — 3.1% | |||||
915 | Chesapeake Utilities Corp. | 92,671 | |||
1,865 | National Fuel Gas Co. | 87,953 | |||
2,156 | New Jersey Resources Corp. | 88,030 | |||
1,497 | ONE Gas, Inc. | 91,871 | |||
1,482 | Southwest Gas Holdings, Inc. | 86,964 | |||
1,499 | Spire, Inc. | 85,098 | |||
532,587 | |||||
Ground Transportation — 1.9% | |||||
884 | Knight-Swift Transportation Holdings, Inc. | 50,724 |
Shares | Description | Value | |||
Ground Transportation (Continued) | |||||
490 | Landstar System, Inc. | $93,943 | |||
826 | Ryder System, Inc. | 93,809 | |||
2,263 | Werner Enterprises, Inc. | 89,501 | |||
327,977 | |||||
Health Care Equipment & Supplies — 1.0% | |||||
1,080 | Enovis Corp. (a) | 63,396 | |||
1,935 | Envista Holdings Corp. (a) | 45,473 | |||
1,098 | Globus Medical, Inc., Class A (a) | 57,963 | |||
166,832 | |||||
Health Care Providers & Services — 2.3% | |||||
839 | Acadia Healthcare Co., Inc. (a) | 68,916 | |||
162 | Chemed Corp. | 96,032 | |||
1,430 | Encompass Health Corp. | 101,587 | |||
841 | Ensign Group (The), Inc. | 95,218 | |||
1,476 | Patterson Cos., Inc. | 44,073 | |||
405,826 | |||||
Health Care REITs — 2.0% | |||||
4,152 | CareTrust REIT, Inc. | 86,860 | |||
4,082 | Healthcare Realty Trust, Inc. | 65,761 | |||
3,049 | Omega Healthcare Investors, Inc. | 88,421 | |||
7,520 | Sabra Health Care REIT, Inc. | 100,317 | |||
341,359 | |||||
Hotels, Restaurants & Leisure — 2.9% | |||||
842 | Choice Hotels International, Inc. | 101,983 | |||
599 | Churchill Downs, Inc. | 72,461 | |||
646 | Papa John’s International, Inc. | 47,468 | |||
795 | Texas Roadhouse, Inc. | 99,948 | |||
403 | Vail Resorts, Inc. | 89,466 | |||
4,700 | Wendy’s (The) Co. | 89,676 | |||
501,002 | |||||
Household Durables — 0.5% | |||||
3,486 | Leggett & Platt, Inc. | 80,910 | |||
Household Products — 0.3% | |||||
1,513 | Energizer Holdings, Inc. | 47,841 | |||
Independent Power and Renewable Electricity Producers — 0.3% | |||||
922 | Ormat Technologies, Inc. | 59,635 | |||
Industrial REITs — 2.5% | |||||
516 | EastGroup Properties, Inc. | 91,554 | |||
1,798 | First Industrial Realty Trust, Inc. | 92,633 | |||
10,390 | LXP Industrial Trust | 94,445 | |||
1,331 | Rexford Industrial Realty, Inc. | 69,997 | |||
2,447 | STAG Industrial, Inc. | 90,392 | |||
439,021 |
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Insurance — 6.6% | |||||
786 | American Financial Group, Inc. | $94,634 | |||
1,297 | Assured Guaranty Ltd. | 105,226 | |||
3,378 | CNO Financial Group, Inc. | 91,814 | |||
1,927 | Fidelity National Financial, Inc. | 96,408 | |||
1,522 | First American Financial Corp. | 91,853 | |||
770 | Hanover Insurance Group (The), Inc. | 101,648 | |||
3,237 | Old Republic International Corp. | 90,765 | |||
458 | Primerica, Inc. | 107,245 | |||
579 | Reinsurance Group of America, Inc. | 100,682 | |||
286 | RenaissanceRe Holdings Ltd. | 65,445 | |||
734 | RLI Corp. | 100,096 | |||
939 | Selective Insurance Group, Inc. | 98,464 | |||
1,144,280 | |||||
Leisure Products — 0.3% | |||||
3,101 | Mattel, Inc. (a) | 55,477 | |||
Machinery — 6.7% | |||||
571 | AGCO Corp. | 69,850 | |||
1,004 | Albany International Corp., Class A | 89,266 | |||
1,444 | Donaldson Co., Inc. | 93,268 | |||
1,252 | Federal Signal Corp. | 96,379 | |||
2,142 | Flowserve Corp. | 85,530 | |||
991 | Franklin Electric Co., Inc. | 93,412 | |||
1,115 | Graco, Inc. | 95,109 | |||
818 | ITT, Inc. | 98,798 | |||
439 | Lincoln Electric Holdings, Inc. | 97,554 | |||
612 | Middleby (The) Corp. (a) | 86,335 | |||
594 | Oshkosh Corp. | 65,399 | |||
1,034 | Tennant Co. | 97,734 | |||
458 | Watts Water Technologies, Inc., Class A | 90,689 | |||
1,159,323 | |||||
Marine Transportation — 0.5% | |||||
1,193 | Kirby Corp. (a) | 93,841 | |||
Media — 0.6% | |||||
2,248 | New York Times (The) Co., Class A | 109,163 | |||
Metals & Mining — 1.1% | |||||
344 | Reliance Steel & Aluminum Co. | 98,185 | |||
739 | Royal Gold, Inc. | 84,534 | |||
182,719 | |||||
Mortgage REITs — 0.8% | |||||
2,419 | ARMOUR Residential REIT, Inc. | 46,082 | |||
7,357 | Ellington Financial, Inc. | 89,829 | |||
135,911 |
Shares | Description | Value | |||
Multi-Utilities — 1.5% | |||||
2,681 | Avista Corp. | $91,181 | |||
1,727 | Black Hills Corp. | 89,389 | |||
1,846 | Northwestern Energy Group, Inc. | 88,830 | |||
269,400 | |||||
Office REITs — 0.4% | |||||
3,304 | COPT Defense Properties | 77,842 | |||
Oil, Gas & Consumable Fuels — 1.1% | |||||
7,525 | Antero Midstream Corp. | 92,106 | |||
1,775 | DT Midstream, Inc. | 95,300 | |||
187,406 | |||||
Personal Care Products — 0.6% | |||||
2,861 | Edgewell Personal Care Co. | 106,000 | |||
Pharmaceuticals — 1.6% | |||||
6,003 | Innoviva, Inc. (a) | 97,248 | |||
700 | Jazz Pharmaceuticals PLC (a) | 85,904 | |||
1,566 | Prestige Consumer Healthcare, Inc. (a) | 96,372 | |||
279,524 | |||||
Professional Services — 5.2% | |||||
299 | CACI International, Inc., Class A (a) | 102,775 | |||
713 | Exponent, Inc. | 62,879 | |||
267 | FTI Consulting, Inc. (a) | 51,160 | |||
2,877 | Genpact Ltd. | 103,284 | |||
1,759 | KBR, Inc. | 91,662 | |||
1,816 | Korn Ferry | 106,545 | |||
1,333 | ManpowerGroup, Inc. | 98,829 | |||
1,144 | Maximus, Inc. | 92,801 | |||
761 | Science Applications International Corp. | 97,149 | |||
4,170 | Verra Mobility Corp. (a) | 99,705 | |||
906,789 | |||||
Residential REITs — 1.4% | |||||
2,843 | Apartment Income REIT Corp. | 92,938 | |||
1,319 | Equity LifeStyle Properties, Inc. | 89,283 | |||
4,574 | Independence Realty Trust, Inc. | 67,192 | |||
249,413 | |||||
Retail REITs — 3.0% | |||||
1,537 | Agree Realty Corp. | 91,621 | |||
4,064 | Brixmor Property Group, Inc. | 91,196 | |||
3,233 | Getty Realty Corp. | 89,425 | |||
2,229 | NNN REIT, Inc. | 89,918 | |||
2,548 | Phillips Edison & Co., Inc. | 88,441 | |||
5,292 | Retail Opportunity Investments Corp. | 71,918 | |||
522,519 |
Shares | Description | Value | |||
COMMON STOCKS (Continued) | |||||
Semiconductors & Semiconductor Equipment — 0.3% | |||||
699 | Cirrus Logic, Inc. (a) | $53,963 | |||
Software — 3.4% | |||||
1,216 | Blackbaud, Inc. (a) | 98,399 | |||
1,179 | CommVault Systems, Inc. (a) | 108,090 | |||
1,108 | Dolby Laboratories, Inc., Class A | 92,163 | |||
3,357 | Dropbox, Inc., Class A (a) | 106,350 | |||
841 | InterDigital, Inc. | 88,347 | |||
1,722 | Progress Software Corp. | 97,827 | |||
591,176 | |||||
Specialized REITs — 3.8% | |||||
2,380 | CubeSmart | 102,864 | |||
1,964 | EPR Properties | 86,946 | |||
3,787 | Four Corners Property Trust, Inc. | 88,654 | |||
1,966 | Gaming and Leisure Properties, Inc. | 89,748 | |||
633 | Lamar Advertising Co., Class A | 66,262 | |||
1,903 | National Storage Affiliates Trust | 71,077 | |||
1,945 | PotlatchDeltic Corp. | 87,000 | |||
2,141 | Rayonier, Inc. | 64,872 | |||
657,423 | |||||
Specialty Retail — 1.1% | |||||
263 | Murphy USA, Inc. | 92,713 | |||
2,542 | Valvoline, Inc. (a) | 92,757 | |||
185,470 | |||||
Textiles, Apparel & Luxury Goods — 0.9% | |||||
821 | Carter’s, Inc. | 62,101 | |||
1,151 | Columbia Sportswear Co. | 91,228 | |||
153,329 | |||||
Trading Companies & Distributors — 1.1% | |||||
799 | GATX Corp. | 97,997 | |||
938 | MSC Industrial Direct Co., Inc., Class A | 92,562 | |||
190,559 | |||||
Water Utilities — 1.5% | |||||
1,148 | American States Water Co. | 85,641 |
Shares | Description | Value | |||
Water Utilities (Continued) | |||||
1,780 | California Water Service Group | $80,580 | |||
2,601 | Essential Utilities, Inc. | 93,272 | |||
259,493 | |||||
Total Investments — 99.8% | 17,333,055 | ||||
(Cost $16,324,226) | |||||
Net Other Assets and Liabilities — 0.2% | 43,123 | ||||
Net Assets — 100.0% | $17,376,178 |
(a) | Non-income producing security. |
Abbreviations throughout the Portfolio of Investments: | |
REITs | – Real Estate Investment Trusts |
Valuation Inputs
Total Value at 1/31/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 17,333,055 | $ 17,333,055 | $ — | $ — |
* | 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 | $88,371,093 | $37,111,903 | $17,333,055 |
Cash | 167,113 | 86,052 | 47,556 |
Foreign currency, at value | — | 2,620 | — |
Receivables: | |||
Capital shares sold | 1,703,654 | — | — |
Dividends | 97,357 | 59,598 | 7,380 |
Reclaims | — | 133,941 | — |
Total Assets | 90,339,217 | 37,394,114 | 17,387,991 |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | 1,699,169 | — | — |
Investment advisory fees | 49,960 | 25,393 | 11,813 |
Total Liabilities | 1,749,129 | 25,393 | 11,813 |
NET ASSETS | $88,590,088 | $37,368,721 | $17,376,178 |
NET ASSETS consist of: | |||
Paid-in capital | $126,129,641 | $68,043,556 | $18,377,110 |
Par value | 26,000 | 13,000 | 5,500 |
Accumulated distributable earnings (loss) | (37,565,553 ) | (30,687,835 ) | (1,006,432 ) |
NET ASSETS | $88,590,088 | $37,368,721 | $17,376,178 |
NET ASSET VALUE, per share | $34.07 | $28.75 | $31.59 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 2,600,002 | 1,300,002 | 550,002 |
Investments, at cost | $82,656,894 | $36,061,846 | $16,324,226 |
Foreign currency, at cost (proceeds) | $— | $2,624 | $— |
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 | $1,028,965 | $539,663 | $229,477 |
Interest | 1,814 | 1,102 | — |
Foreign withholding tax | — | (57,377 ) | 96 |
Total investment income | 1,030,779 | 483,388 | 229,573 |
EXPENSES: | |||
Investment advisory fees | 302,917 | 150,001 | 72,129 |
Total expenses | 302,917 | 150,001 | 72,129 |
NET INVESTMENT INCOME (LOSS) | 727,862 | 333,387 | 157,444 |
NET REALIZED AND UNREALIZED GAIN (LOSS): | |||
Net realized gain (loss) on: | |||
Investments | (616,354 ) | (941,525 ) | (772,921 ) |
In-kind redemptions | 1,251,125 | 71,245 | 1,010,888 |
Foreign currency transactions | — | 892 | — |
Net realized gain (loss) | 634,771 | (869,388 ) | 237,967 |
Net change in unrealized appreciation (depreciation) on: | |||
Investments | 2,393,627 | 462,573 | (356,552 ) |
Foreign currency translation | — | (3,336 ) | — |
Net change in unrealized appreciation (depreciation) | 2,393,627 | 459,237 | (356,552 ) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 3,028,398 | (410,151 ) | (118,585 ) |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $3,756,260 | $(76,764 ) | $38,859 |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | First Trust Horizon Managed Volatility Developed International ETF (HDMV) | |||
Six Months Ended 1/31/2024 (Unaudited) | Year Ended 7/31/2023 | Six Months Ended 1/31/2024 (Unaudited) | Year Ended 7/31/2023 | |
OPERATIONS: | ||||
Net investment income (loss) | $727,862 | $1,732,570 | $333,387 | $1,259,414 |
Net realized gain (loss) | 634,771 | 518,203 | (869,388 ) | (2,345,242 ) |
Net change in unrealized appreciation (depreciation) | 2,393,627 | (811,009 ) | 459,237 | 3,026,749 |
Net increase (decrease) in net assets resulting from operations | 3,756,260 | 1,439,764 | (76,764 ) | 1,940,921 |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Investment operations | (858,931 ) | (1,810,516 ) | (555,441 ) | (1,333,862 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 10,187,752 | 26,951,541 | — | — |
Cost of shares redeemed | (16,531,740 ) | (34,208,623 ) | (2,686,353 ) | (5,676,683 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | (6,343,988 ) | (7,257,082 ) | (2,686,353 ) | (5,676,683 ) |
Total increase (decrease) in net assets | (3,446,659 ) | (7,627,834 ) | (3,318,558 ) | (5,069,624 ) |
NET ASSETS: | ||||
Beginning of period | 92,036,747 | 99,664,581 | 40,687,279 | 45,756,903 |
End of period | $88,590,088 | $92,036,747 | $37,368,721 | $40,687,279 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 2,800,002 | 3,000,002 | 1,400,002 | 1,600,002 |
Shares sold | 300,000 | 850,000 | — | — |
Shares redeemed | (500,000 ) | (1,050,000 ) | (100,000 ) | (200,000 ) |
Shares outstanding, end of period | 2,600,002 | 2,800,002 | 1,300,002 | 1,400,002 |
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | |
Six Months Ended 1/31/2024 (Unaudited) | Year Ended 7/31/2023 |
$157,444 | $245,842 |
237,967 | (1,432,164 ) |
(356,552 ) | 1,284,546 |
38,859 | 98,224 |
(158,510 ) | (255,451 ) |
3,200,218 | 3,180,198 |
(4,795,606 ) | — |
(1,595,388 ) | 3,180,198 |
(1,715,039 ) | 3,022,971 |
19,091,217 | 16,068,246 |
$17,376,178 | $19,091,217 |
600,002 | 500,002 |
100,000 | 100,000 |
(150,000 ) | — |
550,002 | 600,002 |
Six Months Ended 1/31/2024 (Unaudited) | Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Net asset value, beginning of period | $32.87 | $33.22 | $33.08 | $27.19 | $26.71 | $23.49 |
Income from investment operations: | ||||||
Net investment income (loss) | 0.28 (a) | 0.58 (a) | 0.51 | 0.46 | 0.37 | 0.37 |
Net realized and unrealized gain (loss) | 1.25 | (0.31 ) | 0.10 | 5.87 | 0.52 | 3.17 |
Total from investment operations | 1.53 | 0.27 | 0.61 | 6.33 | 0.89 | 3.54 |
Distributions paid to shareholders from: | ||||||
Net investment income | (0.33 ) | (0.62 ) | (0.47 ) | (0.44 ) | (0.41 ) | (0.32 ) |
Net asset value, end of period | $34.07 | $32.87 | $33.22 | $33.08 | $27.19 | $26.71 |
Total return (b) | 4.70 % | 0.88 % | 1.82 % | 23.48 % | 3.41 % | 15.24 % |
Ratios to average net assets/supplemental data: | ||||||
Net assets, end of period (in 000’s) | $88,590 | $92,037 | $99,665 | $120,758 | $214,822 | $224,389 |
Ratio of total expenses to average net assets | 0.70 % (c) | 0.70 % | 0.70 % | 0.70 % | 0.70 % | 0.70 % |
Ratio of net investment income (loss) to average net assets | 1.68 % (c) | 1.79 % | 1.46 % | 1.42 % | 1.39 % | 1.58 % |
Portfolio turnover rate (d) | 53 % | 122 % | 76 % | 152 % | 211 % | 147 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Six Months Ended 1/31/2024 (Unaudited) | Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Net asset value, beginning of period | $29.06 | $28.60 | $32.21 | $28.12 | $32.92 | $33.72 |
Income from investment operations: | ||||||
Net investment income (loss) | 0.25 (a) | 0.88 (a) | 0.90 | 0.89 | 0.65 | 0.86 |
Net realized and unrealized gain (loss) | (0.15 ) | 0.52 | (3.62 ) | 4.13 | (4.61 ) | (0.79 ) |
Total from investment operations | 0.10 | 1.40 | (2.72 ) | 5.02 | (3.96 ) | 0.07 |
Distributions paid to shareholders from: | ||||||
Net investment income | (0.41 ) | (0.94 ) | (0.89 ) | (0.93 ) | (0.84 ) | (0.87 ) |
Net asset value, end of period | $28.75 | $29.06 | $28.60 | $32.21 | $28.12 | $32.92 |
Total return (b) | 0.39 % | 5.22 % | (8.50 )% | 18.01 % (c) | (12.37 )% | 0.21 % |
Ratios to average net assets/supplemental data: | ||||||
Net assets, end of period (in 000’s) | $37,369 | $40,687 | $45,757 | $86,962 | $123,714 | $128,394 |
Ratio of total expenses to average net assets | 0.80 % (d) | 0.80 % | 0.80 % | 0.80 % | 0.80 % | 0.80 % |
Ratio of net investment income (loss) to average net assets | 1.78 % (d) | 3.19 % | 2.53 % | 2.68 % | 2.08 % | 2.74 % |
Portfolio turnover rate (e) | 31 % | 80 % | 65 % | 127 % | 196 % | 99 % |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | The Fund received a reimbursement from the advisor in the amount of $6,254, which represents less than $0.01 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Six Months Ended 1/31/2024 (Unaudited) | Year Ended July 31, | Period Ended 7/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $31.82 | $32.14 | $33.12 | $25.03 | $21.10 |
Income from investment operations: | |||||
Net investment income (loss) | 0.27 (b) | 0.44 (b) | 0.36 | 0.29 | 0.02 |
Net realized and unrealized gain (loss) | (0.22 ) | (0.29 ) | (1.05 ) | 8.09 | 3.92 |
Total from investment operations | 0.05 | 0.15 | (0.69 ) | 8.38 | 3.94 |
Distributions paid to shareholders from: | |||||
Net investment income | (0.28 ) | (0.47 ) | (0.29 ) | (0.29 ) | (0.01 ) |
Net realized gain | — | — | — | (0.00 ) (c) | — |
Total distributions | (0.28 ) | (0.47 ) | (0.29 ) | (0.29 ) | (0.01 ) |
Net asset value, end of period | $31.59 | $31.82 | $32.14 | $33.12 | $25.03 |
Total return (d) | 0.17 % | 0.57 % | (2.11 )% | 33.72 % | 18.67 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $17,376 | $19,091 | $16,068 | $14,906 | $20,023 |
Ratio of total expenses to average net assets | 0.80 % (e) | 0.80 % | 0.80 % | 0.80 % | 0.80 % (e) |
Ratio of net investment income (loss) to average net assets | 1.75 % (e) | 1.43 % | 1.09 % | 1.02 % | 0.60 % (e) |
Portfolio turnover rate (f) | 46 % | 70 % | 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) | Based on average shares outstanding. |
(c) | Amount represents 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. |
(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. |
First Trust Horizon Managed Volatility Domestic ETF – (ticker “HUSV”) |
First Trust Horizon Managed Volatility Developed International ETF – (ticker “HDMV”) |
First Trust Horizon Managed Volatility Small/Mid ETF – (ticker “HSMV”) |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |
First Trust Horizon Managed Volatility Domestic ETF | $1,810,516 | $— | $— |
First Trust Horizon Managed Volatility Developed International ETF | 1,333,862 | — | — |
First Trust Horizon Managed Volatility Small/Mid ETF | 255,451 | — | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |
First Trust Horizon Managed Volatility Domestic ETF | $178,012 | $(43,898,526 ) | $3,257,632 |
First Trust Horizon Managed Volatility Developed International ETF | 235,830 | (30,830,145 ) | 538,685 |
First Trust Horizon Managed Volatility Small/Mid ETF | 28,610 | (2,152,557 ) | 1,237,166 |
Non-Expiring Capital Loss Carryforwards | |
First Trust Horizon Managed Volatility Domestic ETF | $43,898,526 |
First Trust Horizon Managed Volatility Developed International ETF | 30,830,145 |
First Trust Horizon Managed Volatility Small/Mid ETF | 2,152,557 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
First Trust Horizon Managed Volatility Domestic ETF | $82,656,894 | $7,306,735 | $(1,592,536 ) | $5,714,199 |
First Trust Horizon Managed Volatility Developed International ETF | 36,061,846 | 2,620,307 | (1,570,250 ) | 1,050,057 |
First Trust Horizon Managed Volatility Small/Mid ETF | 16,324,226 | 1,574,266 | (565,437 ) | 1,008,829 |
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 | $46,368,437 | $46,491,661 |
First Trust Horizon Managed Volatility Developed International ETF | 13,184,040 | 11,409,476 |
First Trust Horizon Managed Volatility Small/Mid ETF | 8,143,819 | 8,119,886 |
Purchases | Sales | |
First Trust Horizon Managed Volatility Domestic ETF | $10,162,644 | $16,479,457 |
First Trust Horizon Managed Volatility Developed International ETF | — | 4,622,882 |
First Trust Horizon Managed Volatility Small/Mid ETF | 3,182,643 | 4,763,135 |
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
6210 Ardrey Kell Road, Suite 300
Charlotte, NC 28277
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
Semi-Annual Report |
For the Six Months Ended January 31, 2024 |
First Trust California Municipal High Income ETF (FCAL) |
First Trust New York Municipal High Income ETF (FMNY) |
Semi-Annual Report
January 31, 2024
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37 |
Semi-Annual Letter from the Chairman and CEO
January 31, 2024
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
6 Months Ended 1/31/24 | 1 Year Ended 1/31/24 | 5 Years Ended 1/31/24 | Inception (6/20/17) to 1/31/24 | 5 Years Ended 1/31/24 | Inception (6/20/17) to 1/31/24 | |
Fund Performance | ||||||
NAV | 3.17% | 3.13% | 2.26% | 2.47% | 11.83% | 17.51% |
Market Price | 3.19% | 3.32% | 2.32% | 2.49% | 12.17% | 17.64% |
Index Performance | ||||||
Bloomberg 10 Year California Exempt Index | 2.62% | 2.58% | 2.08% | 2.06% | 10.83% | 14.43% |
Bloomberg Municipal Bond Index | 2.70% | 2.90% | 2.00% | 2.01% | 10.38% | 14.05% |
Sector Allocation | % of Total Investments (including cash) |
Insured | 13.1% |
Special Assessment | 9.7 |
Government Obligation Bond - Unlimited Tax | 8.7 |
Industrial Development Bond | 8.3 |
Hospital | 7.2 |
Airport | 6.7 |
Certificates of Participation | 6.6 |
Water & Sewer | 5.8 |
Education | 5.3 |
Gas | 4.2 |
Higher Education | 3.2 |
Pre-refunded/Escrowed-to-maturity | 3.0 |
Dedicated Tax | 2.7 |
Local Housing | 2.6 |
Utility | 2.6 |
Continuing Care Retirement Communities | 2.5 |
Government Obligation Bond - Limited Tax | 1.4 |
Tobacco | 1.2 |
Student Housing | 0.7 |
Housing | 0.5 |
Toll Road | 0.5 |
Tax Increment | 0.4 |
Other Health | 0.2 |
Cash | 2.9 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 97.6% |
Net Other Assets and Liabilities(1) | 2.4 |
Total | 100.0% |
Credit Quality(2) | % of Total Investments (including cash) |
AAA | 8.0% |
AA | 43.5 |
A | 15.5 |
BBB | 10.2 |
BB | 2.1 |
B | 0.2 |
Not Rated | 16.1 |
SP-1+ (short-term) | 1.0 |
SP-1/MIG1 (short-term) | 0.5 |
Cash | 2.9 |
Total | 100.0% |
(1) | Includes variation margin on futures contracts. |
(2) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including 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. |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/24 | 1 Year Ended 1/31/24 | Inception (5/12/21) to 1/31/24 | Inception (5/12/21) to 1/31/24 | |
Fund Performance | ||||
NAV | 3.57% | 3.31% | -1.36% | -3.65% |
Market Price | 3.91% | 3.58% | -1.25% | -3.37% |
Index Performance | ||||
Bloomberg Municipal New York 12-17 Years Index | 3.07% | 3.79% | -0.49% | -1.32% |
Bloomberg Municipal Bond Index | 2.70% | 2.90% | -0.81% | -2.20% |
Sector Allocation | % of Total Investments (including cash) |
Higher Education | 11.7% |
Dedicated Tax | 10.1 |
Insured | 9.9 |
Government Obligation Bond - Limited Tax | 8.1 |
Utility | 7.1 |
Toll Road | 6.3 |
Water & Sewer | 5.8 |
Government Obligation Bond - Unlimited Tax | 5.0 |
Industrial Development Bond | 4.9 |
Airport | 4.1 |
Education | 3.8 |
Hospital | 3.6 |
Mass Transit | 3.4 |
Local Housing | 3.3 |
Housing | 3.0 |
Pre-refunded/Escrowed-to-maturity | 2.0 |
Certificates of Participation | 1.5 |
Tobacco | 1.5 |
Special Assessment | 1.4 |
Cash | 3.5 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 97.0% |
Net Other Assets and Liabilities(1) | 3.0 |
Total | 100.0% |
Credit Quality(2) | % of Total Investments (including cash) |
AAA | 13.2% |
AA | 41.3 |
A | 18.6 |
BBB | 7.7 |
BB | 4.0 |
B | 1.4 |
Not Rated | 7.3 |
SP-1+ (short-term) | 3.0 |
Cash | 3.5 |
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 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. |
Johnathan N. Wilhelm, Senior Vice President, Senior Portfolio Manager
Beginning Account Value August 1, 2023 | Ending Account Value January 31, 2024 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust California Municipal High Income ETF (FCAL) | ||||
Actual | $1,000.00 | $1,031.70 | 0.65% | $3.32 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.87 | 0.65% | $3.30 |
First Trust New York Municipal High Income ETF (FMNY) | ||||
Actual | $1,000.00 | $1,035.70 | 0.50% (b) | $2.56 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.62 | 0.50% (b) | $2.54 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (August 1, 2023 through January 31, 2024), multiplied by 184/366 (to reflect the six-month period). |
(b) | These expense ratios reflect an expense waiver. See Note 3 in the Notes to Financial Statements. |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS — 97.6% | |||||
California — 93.7% | |||||
$2,500,000 | Aliso Viejo CA Cmnty Fac Dist Spl Tax Ref Glenwood At Aliso Viejo | 5.00% | 09/01/38 | $2,503,419 | |
215,000 | Antelope Vly E Kern CA Wtr Agy Wtr Rev Ref | 5.00% | 06/01/35 | 227,296 | |
1,200,000 | Azusa CA Spl Tax Cmnty Facs Dist No 2005-1-Impt, AGM | 5.00% | 09/01/44 | 1,268,591 | |
100,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area No 8F | 4.00% | 09/01/33 | 101,103 | |
175,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area No 8F | 4.00% | 09/01/34 | 177,112 | |
330,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area No 8F | 4.00% | 09/01/36 | 331,337 | |
620,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area No 8F | 4.00% | 09/01/40 | 594,828 | |
1,080,000 | Beverly Hills CA Pub Fing Auth Wtr Rev, Ser A | 4.00% | 06/01/40 | 1,118,130 | |
1,250,000 | Burbank CA Wtr & Pwr Elec Rev | 5.00% | 06/01/43 | 1,397,010 | |
2,220,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable Bond, Ser B-1 (Mandatory put 08/01/31) | 4.00% | 02/01/52 | 2,240,796 | |
2,000,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable Bonds, Ser D (Mandatory put 11/01/28) | 5.50% | 05/01/54 | 2,140,285 | |
1,000,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable Bonds-Clean Energy Proj, Ser G-1 (Mandatory put 04/01/30) | 5.25% | 11/01/54 | 1,073,422 | |
925,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Var Sustainable Bond Clean Energy Proj, Ser A-1 (Mandatory put 05/01/29) | 5.00% | 12/01/53 | 977,486 | |
1,000,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Var Sustainable Bonds Clean Energy Proj, Ser C (Mandatory put 10/01/31) | 5.25% | 01/01/54 | 1,057,773 | |
20,000 | CA Cmnty Choice Fing Auth Sustainable Bd Clean Energy Proj Rev, Ser A (Mandatory put 12/01/27) | 4.00% | 10/01/52 | 20,052 | |
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Ref | 4.00% | 06/01/35 | 208,467 | |
550,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 4.00% | 06/01/35 | 571,750 | |
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 4.00% | 06/01/39 | 201,934 | |
419,455 | CA Hsg Fin Agy Muni Ctfs, Ser A | 4.25% | 01/15/35 | 420,406 | |
1,000,000 | CA Muni Fin Auth Envrnmntl Impt Rev Var Sustainable Bond Aymium Williams Proj, AMT (Mandatory put 06/26/24) (a) | 4.00% | 12/15/42 | 999,406 | |
360,000 | CA Pub Fin Auth Rev Ref Henry Mayo Newhall Hosp, Ser A | 4.00% | 10/15/28 | 365,992 | |
2,300,000 | CA Pub Fin Auth Rev Var Sharp Hlthcare Remk 05/04/18, Ser B (b) | 2.90% | 08/01/52 | 2,300,000 | |
290,000 | CA Pub Fin Auth Sr Living Rev ENSO Vlg Proj Sustainable Bond, Ser A (a) | 5.00% | 11/15/36 | 262,412 | |
250,000 | CA Pub Fin Auth Sr Living Rev ENSO Vlg Proj Sustainable Bond, Ser A (a) | 5.00% | 11/15/56 | 196,029 | |
255,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Proj, Ser A (a) | 5.00% | 07/01/30 | 258,206 | |
830,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Proj, Ser C (a) | 4.50% | 07/01/26 | 832,540 | |
505,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (a) | 5.00% | 07/01/34 | 516,246 | |
105,000 | CA Sch Fin Auth Sch Fac Rev Kipp SoCal Pub Schs, Ser A (a) | 5.00% | 07/01/27 | 109,064 | |
400,000 | CA Sch Fin Auth Sch Fac Rev Kipp SoCal Pub Schs, Ser A (a) | 5.00% | 07/01/39 | 413,212 | |
675,000 | CA Sch Fin Auth Sch Fac Rev Ref Granada Hills Chrt Oblig Grp, Ser A (a) | 4.00% | 07/01/48 | 574,290 | |
200,000 | CA Sch Fin Auth Sch Fac Rev Ref Hth Learning Proj, Ser A (a) | 4.00% | 07/01/25 | 198,504 | |
200,000 | CA Sch Fin Auth Sch Fac Rev Ref Hth Learning Proj, Ser A (a) | 5.00% | 07/01/32 | 199,313 | |
545,000 | CA Sch Fin Auth Sch Fac Rev Ref Value Schs, Ser A (a) | 5.00% | 07/01/40 | 557,652 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
California (Continued) | |||||
$450,000 | CA Sch Fin Auth Sch Fac Rev Ref Value Schs, Ser A (a) | 5.25% | 07/01/48 | $457,094 | |
650,000 | CA Sch Fin Auth Sch Fac Rev, Ser A (a) | 5.00% | 07/01/40 | 661,503 | |
1,000,000 | CA St | 5.25% | 10/01/45 | 1,163,965 | |
450,000 | CA St Eductnl Facs Auth Rev Art Ctr Clg of Design, Ser A | 5.00% | 12/01/31 | 496,966 | |
1,500,000 | CA St Hlth Facs Fing Auth Rev El Camino Hosp | 5.00% | 02/01/42 | 1,552,717 | |
1,000,000 | CA St Hlth Facs Fing Auth Rev Episcopal Cmntys & Services, Ser B | 5.25% | 11/15/48 | 1,075,811 | |
1,250,000 | CA St Hlth Facs Fing Auth Rev Initial Entrance Fees, Ser A | 3.85% | 11/15/27 | 1,253,730 | |
1,000,000 | CA St Hlth Facs Fing Auth Rev Kaiser Permanente, Ser A-2 | 4.00% | 11/01/44 | 994,170 | |
2,650,000 | CA St Hlth Facs Fing Auth Rev Kaiser Permanente, Subser A-2 | 4.00% | 11/01/38 | 2,694,134 | |
2,000,000 | CA St Hlth Facs Fing Auth Rev Ref Scripps Hlth, Ser A (c) | 5.00% | 11/15/43 | 2,284,889 | |
220,000 | CA St Hlth Facs Fing Auth Rev Ref Sutter Hlth, Ser B | 5.00% | 11/15/33 | 231,635 | |
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 | 999,048 | |
1,000,000 | CA St Infra & Econ Dev Bank Natl Chrt Equitable Sch Revolving Fund Social Bonds, Ser B | 5.00% | 11/01/38 | 1,089,482 | |
3,000,000 | CA St Infra & Econ Dev Bank Rev Brightline E Passenger Rail Proj Remk, Ser A, AMT (Mandatory put 01/30/25) (a) | 3.95% | 01/01/50 | 3,000,281 | |
250,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Sycamore Acdmy Proj (d) | 5.38% | 07/01/34 | 250,428 | |
250,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Vista Chrt Middle Sch Proj (e) | 5.38% | 07/01/34 | 251,021 | |
900,000 | CA St Muni Fin Auth Chrt Sch Rev John Adams Acdmys Lincoln Proj, Ser A (a) | 5.00% | 10/01/39 | 879,868 | |
200,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj (a) | 4.00% | 07/01/26 | 196,209 | |
450,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj, Ser A (a) | 5.00% | 07/01/38 | 441,243 | |
250,000 | CA St Muni Fin Auth Chrt Sch Rev, Ser A (a) | 5.50% | 06/01/38 | 251,498 | |
600,000 | CA St Muni Fin Auth Mobile Home Park Rev Bold Prog, Ser B | 5.50% | 09/01/43 | 636,491 | |
785,000 | CA St Muni Fin Auth Mobile Home Park Rev Ref Sr Caritas Projs, Ser A | 5.00% | 08/15/27 | 830,212 | |
85,000 | CA St Muni Fin Auth Mobile Home Park Rev Sr Caritas Affordable Hsg Inc Projs, Ser A | 3.00% | 08/15/32 | 82,200 | |
400,000 | CA St Muni Fin Auth Mobile Home Park Rev Sr Caritas Affordable Hsg Inc Projs, Ser A | 5.25% | 08/15/39 | 402,855 | |
605,000 | CA St Muni Fin Auth Mobile Home Park Rev Sr Caritas Affordable Hsg Inc Projs, Ser A | 5.25% | 08/15/49 | 607,764 | |
220,000 | CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas Proj, Ser B | 3.00% | 08/15/31 | 209,345 | |
295,000 | CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas Proj, Ser B | 4.00% | 08/15/41 | 279,873 | |
435,000 | CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas Proj, Ser B | 4.00% | 08/15/51 | 381,817 | |
500,000 | CA St Muni Fin Auth Ref Palomar Hlth, Ser A, COPS, AGM | 5.25% | 11/01/34 | 594,673 | |
500,000 | CA St Muni Fin Auth Ref Palomar Hlth, Ser A, COPS, AGM | 5.25% | 11/01/36 | 587,294 | |
1,000,000 | CA St Muni Fin Auth Rev Aldersly Proj, Ser A | 5.00% | 05/15/43 | 1,094,559 | |
1,500,000 | CA St Muni Fin Auth Rev Bethany Home Proj | 5.00% | 11/15/42 | 1,665,564 | |
1,000,000 | CA St Muni Fin Auth Rev CA Baptist Univ, Ser A (a) | 5.00% | 11/01/36 | 1,008,345 | |
225,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/30 | 240,741 | |
225,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/32 | 239,806 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
California (Continued) | |||||
$200,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | $209,120 | |
250,000 | CA St Muni Fin Auth Rev Ref Emerson Clg, Ser B | 5.00% | 01/01/33 | 261,088 | |
1,080,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/34 | 1,096,300 | |
500,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/36 | 506,183 | |
110,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/26 | 116,676 | |
435,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/27 | 471,765 | |
575,000 | CA St Muni Fin Auth Rev Ref Southwestern Law Sch | 4.00% | 11/01/41 | 551,409 | |
1,600,000 | CA St Muni Fin Auth Sol Wst Disp Rev Var Ref Rep Svcs Inc Proj Remk, Ser A, AMT (b) | 4.70% | 07/01/41 | 1,600,004 | |
2,000,000 | CA St Muni Fin Auth Sol Wst Disp Rev Var Rep Svcs Inc Proj Remk, Ser B, AMT (Mandatory put 07/15/24) (b) | 4.00% | 07/01/51 | 2,000,230 | |
1,450,000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 1,449,778 | |
550,000 | CA St Muni Fin Auth Spl Tax Rev Bold Prog, Ser B | 5.75% | 09/01/53 | 581,605 | |
550,000 | CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I | 5.00% | 05/15/27 | 576,806 | |
350,000 | CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I | 5.00% | 05/15/40 | 364,377 | |
1,000,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Waste Mgmt Inc, Ser B-1, AMT | 3.00% | 11/01/25 | 994,580 | |
600,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt Inc, Ser A1, AMT | 3.38% | 07/01/25 | 600,770 | |
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 | 1,001,599 | |
2,000,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Var Ref Rep Svcs Remk, Ser B (Mandatory Put 05/01/24) (a) (b) | 4.38% | 08/01/24 | 2,000,000 | |
1,500,000 | CA St Poll Control Fing Auth Wtr Furnishing Rev Plant Bonds, AMT (a) | 5.00% | 07/01/37 | 1,501,520 | |
1,500,000 | CA St Poll Control Fing Auth Wtr Furnishing Rev Poseidon Res LP Desalination Proj, AMT (a) | 5.00% | 07/01/36 | 1,611,783 | |
5,000 | CA St Prerefunded Various Purp (Pre-refunded maturity (04/01/26) | 5.00% | 10/01/35 | 5,250 | |
15,000 | CA St Pub Wks Brd Lease Rev Judicial Council CA, Ser B | 5.00% | 06/01/34 | 15,396 | |
1,485,000 | CA St Pub Wks Brd Lease Rev Various Corr Facs, Ser A | 5.00% | 09/01/27 | 1,499,486 | |
310,000 | CA St Pub Wks Brd Lease Rev Various Corr Facs, Ser C | 5.00% | 11/01/26 | 329,321 | |
75,000 | CA St Ref | 4.00% | 08/01/34 | 76,331 | |
1,000,000 | CA St Ref | 5.00% | 11/01/39 | 1,082,831 | |
1,000,000 | CA St Ref Various Purpose | 4.00% | 11/01/35 | 1,037,111 | |
700,000 | CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies Oceanside Proj, Ser A (a) | 5.00% | 10/01/32 | 729,315 | |
600,000 | CA St Sch Fin Auth Chrt Sch Rev Sustainability Bonds Ref Camino Nuevo Chrt Acdmy, Ser A (a) | 5.00% | 06/01/43 | 603,119 | |
1,350,000 | 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 | 1,348,886 | |
245,000 | CA St Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs | 5.00% | 04/01/27 | 255,639 | |
50,000 | CA St Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs | 4.00% | 04/01/32 | 50,924 | |
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 | 52,334 | |
500,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No 1 | 4.00% | 09/01/41 | 489,268 | |
200,000 | CA St Stwd Cmntys Dev Auth Stdt Hsg Rev Ref Chf Irvine LLC | 5.00% | 05/15/30 | 204,703 | |
280,000 | CA St Stwd Cmntys Dev Auth Stdt Hsg Rev Ref Chf Irvine LLC | 5.00% | 05/15/35 | 285,256 | |
1,140,000 | CA St Stwd Cmntys Dev Auth Stwd Rev Stwd Cmnty Infra Prog, Ser C1 | 4.00% | 09/02/31 | 1,127,931 | |
500,000 | CA St Univ Rev, Ser A | 5.25% | 11/01/48 | 583,752 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
California (Continued) | |||||
$95,000 | CA St Unrefunded Various Purp | 5.00% | 10/01/35 | $98,788 | |
1,000,000 | CA St Unrefunded Wtr Sys, Ser AS (Pre-refunded maturity (12/01/24) | 5.00% | 12/01/26 | 1,018,639 | |
705,000 | CA Stwd Cmntys Dev Auth Rev Kaiser Permanente J Remk, Ser 2004-J (Mandatory put 11/01/29) | 5.00% | 04/01/36 | 787,861 | |
250,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/30 | 255,849 | |
300,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/33 | 309,371 | |
250,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (a) | 5.00% | 11/01/32 | 256,068 | |
100,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/30 | 104,877 | |
175,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/31 | 183,538 | |
385,000 | CA Stwd Cmntys Dev Auth Rev Var Adventist Hlth Sys W A Remk, Ser A (Mandatory put 03/01/27) | 5.00% | 03/01/37 | 399,064 | |
450,000 | Chino CA Cmnty Facs Dist Spl Tax #2003-3 Impt Area #7 | 5.00% | 09/01/31 | 479,233 | |
1,590,000 | City of Santa Clara CA Swr Rev Sustainable Bonds, COPS | 4.25% | 02/01/41 | 1,688,488 | |
815,000 | Clovis CA Unif Sch Dist, COPS | 5.00% | 06/01/41 | 940,078 | |
500,000 | Clovis CA Unif Sch Dist, COPS | 5.00% | 06/01/42 | 573,857 | |
500,000 | Clovis CA Unif Sch Dist, COPS | 5.00% | 06/01/43 | 571,928 | |
250,000 | Compton CA Unif Sch Dist Los Angeles Co Schs Fing Prog, Ser A, COPS, BAM | 4.00% | 06/01/35 | 257,285 | |
210,000 | Cotati-Rohnert Park CA Unif Sch Dist 2016 Election, Ser C, AGM | 5.00% | 08/01/32 | 222,902 | |
2,000,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev Union S Bay Sustainable Bonds, Ser A-2 (a) | 4.00% | 07/01/56 | 1,467,303 | |
295,000 | Del Mar CA Union Sch Dist Spl Tax Ref | 4.00% | 09/01/34 | 298,559 | |
150,000 | Dinuba CA Jt Unif Sch Dist, COPS, AGM | 4.00% | 02/01/35 | 154,249 | |
920,000 | E Bay CA Muni Util Dist Wtr Sys Rev Sustainable Bond, Ser A | 5.00% | 06/01/38 | 1,033,138 | |
795,000 | El Dorado CA Irr Dist Rev Ref, Ser C | 4.00% | 03/01/34 | 813,805 | |
1,450,000 | Elk Grove CA Fin Auth Spl Tax Rev Laguna Ridge CFD #2005-1 | 4.00% | 09/01/50 | 1,282,134 | |
1,000,000 | Elk Grove CA Unif Sch Dist Election of 2016 | 4.00% | 08/01/40 | 1,033,545 | |
350,000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No 19 Mangini | 5.00% | 09/01/32 | 368,613 | |
155,000 | Fontana CA Spl Tax Cmnty Facs Dist #80 Bella Strada | 5.00% | 09/01/29 | 164,085 | |
500,000 | Fontana CA Spl Tax Cmnty Facs Dist #80 Bella Strada | 5.00% | 09/01/46 | 512,028 | |
240,000 | Fontana CA Spl Tax Spl Tax | 4.00% | 09/01/32 | 246,868 | |
165,000 | Fontana CA Unif Sch Dist Unrefunded, AGM | (f) | 02/01/33 | 122,605 | |
140,000 | Fresno CA Jt Pwrs Fing Auth Lease Rev Ref Master Lease Proj, Ser A, AGM | 5.00% | 04/01/32 | 150,176 | |
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 | 1,047,406 | |
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 | 826,381 | |
1,000,000 | Imperial CA Cmnty Clg Dist Election of 2022, Ser A, AGM | 5.25% | 08/01/53 | 1,121,678 | |
575,000 | Indio CA Elec Fing Auth Elec Rev | 5.25% | 01/01/41 | 656,809 | |
3,000,000 | Irvine CA Facs Fing Auth Lease Rev Gateway Preserve Land Acq Proj | 5.25% | 05/01/48 | 3,108,367 | |
3,000,000 | Irvine CA Spl Tax Great Park Impt Area No 10, BAM | 5.25% | 09/01/53 | 3,380,500 | |
690,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist #09-1, Ser A | 5.00% | 09/01/42 | 714,667 | |
150,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist #09-1, Ser C | 5.00% | 09/01/31 | 159,513 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
California (Continued) | |||||
$1,000,000 | Kern CA Cmnty Clg Dist, Ser D | 5.25% | 08/01/39 | $1,185,576 | |
485,000 | King City CA Union Sch Dist Cap Apprec Election 1998-C, Ser C, AMBAC | (f) | 08/01/29 | 405,465 | |
25,000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Mountain House Sch Facs | 4.00% | 09/01/33 | 25,613 | |
25,000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Mountain House Sch Facs | 4.00% | 09/01/34 | 25,569 | |
200,000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Mountain House Sch Facs | 4.00% | 09/01/40 | 195,581 | |
225,000 | Long Beach CA Arpt Rev Ref, Ser A, AGM | 5.00% | 06/01/30 | 259,698 | |
500,000 | Long Beach CA Arpt Rev, Ser C, AMT, AGM | 5.25% | 06/01/47 | 541,033 | |
1,000,000 | Long Beach CA Unif Sch Dist Ref | 4.00% | 08/01/31 | 1,029,769 | |
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 | 56,690 | |
1,500,000 | Los Angeles CA Dept of Arpts Arpt Rev Sr, Ser C, AMT | 5.00% | 05/15/45 | 1,583,976 | |
875,000 | Los Angeles CA Dept of Arpts Arpt Rev Subord Los Angeles Intl Arpt, Ser F, AMT | 5.00% | 05/15/37 | 934,627 | |
500,000 | Los Angeles CA Dept of Arpts Arpt Rev Sustainable Bond Ref Subord Priv Activity, Ser A, AMT | 5.25% | 05/15/42 | 557,531 | |
1,100,000 | Los Angeles CA Dept of Arpts Arpt Rev Unrefunded Subord Ref, Ser D, AMT | 5.00% | 05/15/31 | 1,230,668 | |
690,000 | Los Angeles CA Dept of Arpts Arpt Rev Unrefunded Subord Ref, Ser D, AMT | 5.00% | 05/15/36 | 767,331 | |
10,000 | Los Angeles CA Dept of Arpts, Ser E | 5.00% | 05/15/28 | 10,281 | |
1,000,000 | Los Angeles CA Dept of Wtr & Pwr Wtrwks Rev, Ser A | 5.00% | 07/01/48 | 1,064,474 | |
1,000,000 | Los Angeles CA Dept Wtr & Pwr Rev Var Ref Remk, Ser B-6 (b) | 2.85% | 07/01/34 | 1,000,000 | |
2,960,000 | Los Angeles CA Trans | 5.00% | 06/27/24 | 2,982,938 | |
1,000,000 | Los Angeles CA Unif Sch Dist Rev, Ser C | 5.00% | 07/01/29 | 1,007,079 | |
650,000 | Los Angeles Cnty CA Dev Auth Mf Hsg Rev Var, Ser C (Mandatory put 12/01/26) | 3.75% | 12/01/46 | 653,030 | |
410,000 | Los Osos CA Cmnty Svcs Wstwtr Assmnt Dist #1 Ref Reassmnt | 3.13% | 09/02/32 | 407,875 | |
100,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/27 | 105,477 | |
250,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/33 | 263,295 | |
600,000 | Menifee CA Spl Tax, Ser A | 5.00% | 09/01/43 | 632,021 | |
700,000 | Menifee CA Spl Tax, Ser A | 5.00% | 09/01/48 | 726,847 | |
245,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/34 | 260,405 | |
1,500,000 | Menifee CA Union Sch Dist, Ser C, AGM | 3.00% | 08/01/38 | 1,373,059 | |
460,000 | Met Wtr Dist of Sthrn CA Wtrwks Rev Ref Rev Sub, Ser A | 2.25% | 07/01/24 | 457,681 | |
1,000,000 | Met Wtr Dist of Sthrn CA Wtrwks Rev, Ser A | 5.00% | 04/01/48 | 1,141,755 | |
530,000 | Modesto CA Elem Sch Dist Stanislaus Cnty Election of 2018 Measure D, Ser C | 5.00% | 08/01/41 | 602,962 | |
100,000 | Modesto CA Spl Tax Ref Cmnty Facs Dist # 2004-1 Vlg 1 #2 | 5.00% | 09/01/27 | 101,152 | |
200,000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (a) | 5.00% | 10/01/42 | 200,563 | |
1,115,000 | Natomas CA Unif Sch Dist, AGM | 3.00% | 08/01/36 | 1,048,362 | |
250,000 | Norco CA Spl Tax Ref Norco Ridge Ranch, BAM | 5.00% | 09/01/32 | 270,734 | |
1,400,000 | Nrthrn CA Energy Auth Cmnty Spl Rev, Ser A (Mandatory put 07/01/24) | 4.00% | 07/01/49 | 1,400,694 | |
1,500,000 | Oceanside CA Unif Sch Dist Unrefunded-2022, Ser A, AGC, CABS | (f) | 08/01/24 | 1,476,038 | |
100,000 | Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac | 4.00% | 09/01/34 | 101,340 | |
65,000 | Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac | 4.00% | 09/01/35 | 65,553 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
California (Continued) | |||||
$275,000 | Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac | 4.00% | 09/01/39 | $264,826 | |
610,000 | Orange Ctr CA Sch Dist Election of 2022, Ser A, AGM | 5.25% | 08/01/48 | 658,617 | |
1,000,000 | Oxnard CA Sch Dist Election of 2022, Ser A, BAM | 5.00% | 08/01/42 | 1,144,726 | |
650,000 | Palm Desert CA Spl Tax Ref Univ Park | 4.00% | 09/01/51 | 572,265 | |
250,000 | Palomar Hlth CA Rev Ref | 5.00% | 11/01/31 | 256,263 | |
350,000 | Pittsburg CA Successor Agy Redev Agy Ref Los Medanos Cmnty Dev Dist Tax Allocation, AGM | 5.00% | 08/01/24 | 352,825 | |
925,000 | Pittsburg CA Unif Sch Dist Ref | 3.00% | 08/01/40 | 789,540 | |
210,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/33 | 223,633 | |
220,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/34 | 234,399 | |
340,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/39 | 357,910 | |
1,500,000 | Rialto CA Pub Fing Auth Lease Rev Police Station Proj, Ser A | 5.25% | 06/01/53 | 1,649,641 | |
525,000 | Ripon CA Redev Agy Successor Agy Tax Allocation Ref, BAM | 4.00% | 11/01/31 | 561,543 | |
2,420,000 | River Islands CA Pub Fing Auth Spl Tax Auth Cmnty Facs Dist#2016-1 2023 Spl TX Bonds, AGM | 4.50% | 09/01/53 | 2,477,169 | |
500,000 | River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2019-1 Phase 2 Pub Impts | 5.00% | 09/01/40 | 507,860 | |
1,000,000 | Riverside CA Elec Rev Ref, Ser A (c) | 5.00% | 10/01/49 | 1,134,882 | |
575,000 | Riverside CA Unif Sch Dist Election of 2016, Ser B | 3.00% | 08/01/38 | 524,814 | |
185,000 | Riverside CA Unif Sch Dist Fing Auth Spl Tax Ref, BAM | 5.00% | 09/01/34 | 189,838 | |
375,000 | Riverside CA Unif Sch Dist Impt Area No 1 | 5.00% | 09/01/39 | 399,405 | |
690,000 | Riverside CA Unif Sch Dist Impt Area No 1 | 5.00% | 09/01/44 | 721,767 | |
1,050,000 | Riverside CA Unif Sch Dist Impt Area No 1 | 5.00% | 09/01/49 | 1,078,522 | |
750,000 | Riverside CA Wtr Rev, Ser A | 5.00% | 10/01/47 | 838,730 | |
500,000 | Riverside Cnty CA Flood Control & Wtr Consv Dist Promissory Nts -Zone 4 | 5.00% | 09/01/24 | 505,830 | |
685,000 | Riverside Cnty CA Pub Fingauth Proj Area 1, Ser A, AGM | 5.00% | 10/01/24 | 693,142 | |
2,040,000 | Riverside Cnty CA Transprtn Commn Ref, Ser A | 3.00% | 06/01/25 | 2,037,279 | |
1,000,000 | Riverside Cnty CA Transprtn Commn Toll Rev Ref Sr Lien Rctc 91 Express Lanes, Ser B-1 | 4.00% | 06/01/38 | 1,026,001 | |
400,000 | Romoland Sch Dist Rev Underwood Impt Area No | 5.00% | 09/01/43 | 421,669 | |
185,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Facs | 5.00% | 09/01/32 | 196,675 | |
160,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Facs | 5.00% | 09/01/33 | 169,894 | |
170,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Facs | 4.00% | 09/01/34 | 172,908 | |
150,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Facs | 4.00% | 09/01/35 | 151,928 | |
225,000 | Roseville CA Spl Tax Vlg CFD #1 | 4.00% | 09/01/33 | 228,106 | |
200,000 | Sacramento CA Spl Tax Natomas Meadows Cmnty Facs Dist #2007-01 (a) | 5.00% | 09/01/32 | 207,775 | |
500,000 | Sacramento CA Transient Occupancy Tax Rev Sub Convention Ctr Complex, Ser C | 5.00% | 06/01/32 | 545,225 | |
1,000,000 | Sacramento Cnty CA Arpt Sys Rev Ref, Ser C, AMT | 5.00% | 07/01/37 | 1,044,286 | |
1,000,000 | San Diego CA Pub Fac Fing Auth Swr Rev Subord, Ser A | 5.00% | 05/15/47 | 1,131,028 | |
1,075,000 | San Diego CA Pub Fac Fing Auth Wtr Rev, Ser A | 5.00% | 08/01/41 | 1,120,131 | |
600,000 | San Diego CA Pub Facs Fing Auth Lease Rev Capital Impt Projs, Ser A | 5.00% | 10/15/40 | 700,269 | |
1,300,000 | San Diego CA Unif Sch Dist Ref, Ser R-2, CONV CABS | (f) | 07/01/41 | 1,299,666 | |
1,500,000 | San Diego CA Unif Sch Dist Sustainable Bond, Ser F2 | 5.00% | 07/01/42 | 1,710,765 | |
2,135,000 | San Diego CA Unif Sch Dist Trans, Ser A | 5.00% | 06/28/24 | 2,151,711 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
California (Continued) | |||||
$510,000 | San Diego Cnty CA Ltd Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute | 5.00% | 11/01/28 | $531,814 | |
1,550,000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord Ref Rev, Ser B, AMT | 5.00% | 07/01/42 | 1,586,070 | |
130,000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord Ref, Ser A | 5.00% | 07/01/39 | 142,365 | |
1,000,000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord, Ser B, AMT | 5.00% | 07/01/34 | 1,110,192 | |
85,000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No 2, Ser A | 4.00% | 09/01/33 | 86,495 | |
900,000 | San Diego Cnty Water Auth Rev Proj Sustainable Bond, Ser A | 5.00% | 05/01/25 | 926,121 | |
1,000,000 | San Francisco CA City & City Pub Utils Commn Wtr Rev Reg & Loc Wtr | 5.25% | 11/01/48 | 1,169,328 | |
140,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref Second Ser, Ser 2020, AMT | 5.00% | 05/01/37 | 150,724 | |
2,000,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/34 | 2,216,852 | |
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 | 440,967 | |
3,040,000 | San Francisco Calif City & Cnty Arpts Commn Intl Arpt Rev, Ser E, AMT | 5.00% | 05/01/50 | 3,139,812 | |
1,250,000 | San Francisco City & Cnty CA Redev Agy Successor Agy Cmnty Ref Cmnty Facs Dt#6 Mission Bay S Pub Impts, AGM | 5.25% | 08/01/40 | 1,457,904 | |
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 | 105,617 | |
935,000 | San Francisco City & Cnty CA, Ser B | 2.00% | 06/15/29 | 869,816 | |
1,350,000 | San Francisco City & Cnty Redev Agy Successor Agy Rev Transbay Infra Proj, Ser B, AGM | 5.00% | 08/01/48 | 1,488,483 | |
600,000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Jr Lien, CABS | (f) | 01/01/25 | 584,281 | |
120,000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Ref Sr Lien Toll Road, Ser A | 4.00% | 01/15/37 | 126,228 | |
175,000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Ref, Ser A, NATL-RE, CABS | (f) | 01/15/29 | 148,693 | |
1,145,000 | San Jose CA Arpt Rev Ref, Ser A, AMT, BAM | 4.00% | 03/01/34 | 1,180,755 | |
420,000 | San Jose CA Unif Sch Dist Santa Clara Cnty, Ser C (Pre-refunded maturity (08/01/24) | 4.50% | 08/01/34 | 423,689 | |
1,000,000 | San Luis Coastal CA Unif Sch Dist Election of 2022, Ser A | 5.00% | 08/01/41 | 1,145,689 | |
600,000 | San Luis Obispo Cnty CA Cmnty Clg Dist Election of 2014, Ser D (c) | 4.00% | 08/01/41 | 626,212 | |
1,000,000 | San Luis Obispo Cnty CA Fing Auth Lease Rev Multiple Capital Projs Ref, Ser A | 5.25% | 11/15/40 | 1,123,494 | |
1,000,000 | San Luis Obispo Pub Fing Auth Lease Rev Ref Cultural Arts Dist Parking Proj | 5.00% | 12/01/48 | 1,135,191 | |
500,000 | Santa Clara Vly CA Wtr Dist Safe Clean Wtr Rev Sustainable Bond, Ser A | 5.00% | 08/01/40 | 578,381 | |
500,000 | Santa Clara Vly CA Wtr Dist Safe Clean Wtr Rev Sustainable Bond, Ser A | 5.00% | 08/01/41 | 574,459 | |
800,000 | Santa Clarita CA Cmnty Facs Dist Vista Canyon #2016-1 (a) | 4.00% | 09/01/35 | 790,330 | |
1,100,000 | Santa Margarita CA Wtr Dist Spl Tax Ref, Ser A, BAM | 5.00% | 09/01/43 | 1,212,239 | |
335,000 | Sch Proj for Util Rate Reduction CA Rans Natural Gas Purchase Prog | 5.00% | 08/01/24 | 337,826 | |
500,000 | Semitropic CA Impt Dist Semitropic Wtr Storage Dist Ref 2nd Lien, Ser A | 5.00% | 12/01/24 | 508,367 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
California (Continued) | |||||
$740,000 | Simi Vly CA Unif Sch Dist, Ser B, AGM | 4.00% | 08/01/38 | $753,498 | |
150,000 | Temecula Vly CA Unif Sch Dist Cmnty Facs Dist #2014-1 | 5.00% | 09/01/32 | 157,737 | |
400,000 | Temecula Vly Unif Sch Dist Fing Auth CA Spl Tax Rev, BAM | 5.00% | 09/01/34 | 407,536 | |
500,000 | Temescal Vly CA Wtr Dist Spl Tax Terramor Cmnty Facs Dist #4 Impt Area #1 | 5.00% | 09/01/31 | 526,467 | |
250,000 | Tracy CA Cmnty Facs Dist | 5.00% | 09/01/33 | 262,498 | |
850,000 | Tustin CA Cmnty Fac Dist Spl Tax Ref #06-1 Legacy Columbus Vlgs, Ser A | 5.00% | 09/01/35 | 873,084 | |
2,000,000 | Univ of CA CA Rev Ref, Ser BN | 5.00% | 05/15/42 | 2,323,918 | |
500,000 | Univ of CA CA Rev Var Ref Remk, Ser AL-4 (b) | 2.85% | 05/15/48 | 500,000 | |
500,000 | Univ of CA CA Revs Ref, Ser BS (c) | 5.00% | 05/15/43 | 585,557 | |
2,000,000 | Univ of CA CA Rgts Med Ctr Pooled Rev Ref, Ser 0-1 (b) | 2.90% | 05/15/45 | 2,000,000 | |
330,000 | Val Verde Unif Sch Dist Rev Commn Facs Dist | 5.00% | 09/01/38 | 351,443 | |
500,000 | Val Verde Unif Sch Dist Rev Commn Facs Dist | 5.00% | 09/01/43 | 521,464 | |
1,000,000 | Western Placer CA Unif Sch Dist Trans | 6.25% | 06/28/24 | 1,012,745 | |
1,295,000 | Western Placer Wst Mgmt Auth CA Solid Wst Rev Landfill Impt Proj | 5.00% | 06/01/42 | 1,369,117 | |
1,000,000 | Woodland CA Fin Auth Wstwtr Rev Junior Lien (Pre-refunded maturity (03/01/24) | 5.00% | 03/01/28 | 1,001,409 | |
202,755,067 | |||||
Florida — 0.1% | |||||
50,000 | Parkland Preserve CDD FL Spl Assmnt Rev, Ser A | 4.50% | 05/01/24 | 50,021 | |
245,000 | Rhodine Road N CDD FL Spl Assmnt 2019 Assmnt Area | 4.00% | 05/01/30 | 245,569 | |
295,590 | |||||
Guam — 0.0% | |||||
100,000 | Guam Govt Busn Privilege Tax Rev Ref, Ser D | 5.00% | 11/15/32 | 102,205 | |
Louisiana — 0.4% | |||||
750,000 | Saint James Parish LA Rev Var Nustar Logistics LP Proj (Mandatory put 06/01/30) (a) | 6.10% | 06/01/38 | 825,381 | |
Missouri — 0.4% | |||||
1,000,000 | Saint Louis MO Muni Fin Corp Sales Tax Leasehold Rev Ref | 5.00% | 02/15/24 | 1,000,500 | |
Ohio — 0.3% | |||||
640,000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Class 2, Ser B-2 | 5.00% | 06/01/55 | 605,164 | |
Puerto Rico — 2.3% | |||||
1,100,000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/33 | 1,069,656 | |
1,960,000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/41 | 1,793,640 | |
707,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2 | 4.33% | 07/01/40 | 704,351 | |
1,371,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Converted, Ser A-2 | 4.33% | 07/01/40 | 1,365,862 | |
4,933,509 | |||||
Texas — 0.2% | |||||
370,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 374,460 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Utah — 0.2% | |||||
$500,000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-2 | 4.00% | 06/01/52 | $374,251 | |
Total Investments — 97.6% | 211,266,127 | ||||
(Cost $209,542,243) | |||||
Net Other Assets and Liabilities — 2.4% | 5,163,721 | ||||
Net Assets — 100.0% | $216,429,848 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value |
Ultra 10-Year U.S. Treasury Notes | Short | 5 | Mar-2024 | $(584,375 ) | $(13,359 ) |
(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 Fund’s advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At January 31, 2024, securities noted as such amounted to $23,212,259 or 10.7% of net assets. |
(b) | Variable rate demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(c) | When-issued security. The interest rate shown reflects the rate in effect at January 31, 2024. Interest will begin accruing on the security’s first settlement date. |
(d) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2D - Restricted Securities in the Notes to Financial Statements). |
(e) | 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. |
(f) | Zero coupon security. |
Abbreviations throughout the Portfolio of Investments: | |
AGC | – Assured Guaranty Corp. |
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 |
CONV CABS | – Convertible Capital Appreciation Bonds |
COPS | – Certificates of Participation |
NATL-RE | – National Public Finance Guarantee Corp. |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 1/31/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $211,266,127 | $— | $211,266,127 | $— |
LIABILITIES TABLE | ||||
Total Value at 1/31/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts** | $(13,359 ) | $(13,359 ) | $— | $— |
* | 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 — 97.0% | |||||
Florida — 1.4% | |||||
$250,000 | Ridge at Apopka CDD FL Spl Assmnt | 5.38% | 05/01/42 | $248,684 | |
New York — 91.1% | |||||
100,000 | Build NYC Res Corp NY Rev Sustainable Bond E Harlem Scholars Acdmy Chrt Sch Proj (a) | 5.75% | 06/01/42 | 104,019 | |
300,000 | Build NYC Res Corp NY Rev Sustainable Bond Kipp NYC Pub Sch Facs Canal W Proj | 5.00% | 07/01/42 | 314,918 | |
300,000 | Chautauqua Cnty NY Capital Res Corp Exempt Facs Rev Var Ref NRG Energy Proj Remk (Mandatory put 04/03/28) | 4.25% | 04/01/42 | 303,157 | |
250,000 | City of NY, Ser C | 4.00% | 08/01/41 | 253,815 | |
250,000 | Dutchess Cnty NY Loc Dev Corp Mf Mtebs Sustainable Bonds Tomopkins Terrace Hsg LP Proj | 5.00% | 10/01/40 | 272,022 | |
250,000 | Dutchess Cnty NY Loc Dev Corp Rev Marist Clg Proj | 5.00% | 07/01/52 | 262,508 | |
250,000 | Elba Twp NY, BANS | 5.00% | 03/14/24 | 250,448 | |
335,000 | Hempstead Town NY Loc Dev Corp Rev Ref Hofstra Univ Proj, Ser A | 4.00% | 07/01/36 | 347,269 | |
250,000 | Hudson Yards Infra Corp NY 2nd Indenture Rev Ref, Ser A | 5.00% | 02/15/37 | 263,257 | |
295,000 | Livingston Cnty NY Ref | 4.00% | 05/01/33 | 313,868 | |
300,000 | Long Beach NY, Ser B, BAM | 5.25% | 07/15/32 | 346,779 | |
350,000 | Long Island NY Pwr Auth Elec Sys Rev Ref, Ser A | 5.00% | 09/01/35 | 402,735 | |
255,000 | Met Transprtn Auth NY Dedicated Tax Fund Sustainable Bond, Ser B-1 | 5.00% | 11/15/36 | 266,797 | |
325,000 | Met Transprtn Auth NY Rev Sustainable Bond Ref, Ser C-1 | 4.00% | 11/15/37 | 326,892 | |
300,000 | Monroe Cnty NY Indl Dev Agy Mf Hsg Rev Var Andrews Terrace Cmnty Partners LP Proj B-1 (Mandatory put 07/01/27) | 5.00% | 07/01/28 | 313,569 | |
250,000 | Monroe Cnty NY Indl Dev Corp Rev Univ of Rochester Proj, Ser A | 5.00% | 07/01/53 | 274,221 | |
300,000 | Nassau Cnty NY Indl Dev Agy Var Ref & Impt Cold Spring (b) | 2.80% | 01/01/34 | 300,000 | |
250,000 | Nassau Cnty NY Loc Econ Asst Corp Edl Rev Roosevelt Children Acdmy Chrt Sch Proj, Ser A | 5.00% | 07/01/43 | 258,845 | |
305,000 | Nassau Cnty NY, Ser A, AGM | 5.00% | 04/01/29 | 343,689 | |
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 | 299,141 | |
265,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref 2nd General Resolution, Ser AA | 4.00% | 06/15/40 | 269,586 | |
250,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Var 2nd Gen Resolution Sub FF-2 (b) | 3.10% | 06/15/44 | 250,000 | |
350,000 | New York City NY Transitional Fin Auth Rev Sub-Future Tax Secured-Fiscal 2014, Subser D-1 | 5.00% | 02/01/37 | 350,922 | |
250,000 | New York City NY Transitional Fin Auth Rev Subord, Ser B-1 | 4.00% | 08/01/39 | 255,404 | |
250,000 | New York NY Adjustable Fiscal 2015, Subser F-6 (b) | 3.10% | 06/01/44 | 250,000 | |
250,000 | NY St Dorm Auth Revs Non St Supported Debt Memorial Sloan Kettering Cancer Ctr, Ser 1 | 5.00% | 07/01/39 | 272,932 | |
250,000 | NY St Dorm Auth Revs Non St Supported Debt Pratt Institute Ref | 5.00% | 07/01/39 | 256,910 | |
280,000 | NY St Dorm Auth Revs Non St Supported Debt Ref New Sch, Ser A | 5.00% | 07/01/31 | 317,323 | |
325,000 | NY St Dorm Auth Revs Non St Supported Debt Ref Northwell Hlth Oblig Grp, Ser A | 5.00% | 05/01/38 | 359,686 | |
250,000 | NY St Dorm Auth Revs Non St Supported Debt Sch Dists Rev Bond Financing Prog, Ser A, BAM | 5.00% | 10/01/29 | 283,411 | |
285,000 | NY St Dorm Auth Revs Non St Supported Debt Ser A | 5.00% | 07/01/40 | 305,973 | |
250,000 | NY St Dorm Auth St Personal Income Tax Rev Ref, Ser A-Grp 3 | 3.00% | 03/15/38 | 231,877 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
New York (Continued) | |||||
$250,000 | NY St Energy Rsrch & Dev Auth Poll Cntrl Rev Ref NY Elec & Gas, Ser C | 4.00% | 04/01/34 | $257,692 | |
250,000 | NY St Envrnmntl Facs Corp Solid W Disp Rev Var Draw Down Casella Waste Sys Inc Proj, Ser R-2, AMT (Mandatory put 09/03/30) (a) | 5.13% | 09/01/50 | 254,788 | |
290,000 | NY St Envrnmntl Facs Corp St Clean Wtr & Drinking Wtr Ref Subord, Ser B | 5.00% | 06/15/44 | 311,919 | |
255,000 | NY St Hsg Fin Agy Affordable Hsg, Ser B | 3.20% | 11/01/36 | 235,289 | |
250,000 | NY St Thruway Auth Gen Rev Jr Indebtedness Obl Subord, Ser B | 4.00% | 01/01/45 | 247,217 | |
250,000 | NY St Thruway Auth Ref, Ser P (c) | 5.00% | 01/01/49 | 273,808 | |
360,000 | NY St Transprtn Dev Corp Spl Fac Rev Delta Airls Inc LaGuardia Arpt Terminals C&D Redev, AMT | 4.00% | 10/01/30 | 359,991 | |
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 | 250,005 | |
435,000 | NY St Transprtn Dev Corp Spl Rev Terminal 4 JFK Intl Arpt Proj, AMT | 5.00% | 12/01/30 | 473,847 | |
315,000 | NY St Urban Dev Corp Rev Personal Income Tax, Ser A | 5.00% | 03/15/35 | 360,804 | |
75,000 | Onondaga Cnty NY | 3.00% | 04/15/36 | 68,728 | |
260,000 | Orange & Ulster Cntys NY Boces Sole Supervisory Dist Rans | 4.75% | 07/26/24 | 261,576 | |
250,000 | Oyster Bay NY, Ser A, AGM | 2.00% | 03/01/35 | 202,149 | |
250,000 | Port Auth of NY & NJ NY Ref Two Hundred, Ninth Ser | 5.00% | 07/15/32 | 274,435 | |
260,000 | Rochester NY, Ser I, BANS | 4.50% | 02/28/24 | 260,239 | |
290,000 | Southampton Vlg NY Ambulance Bldg | 2.13% | 03/01/29 | 267,360 | |
250,000 | Syracuse Regl Arpt Auth NY Sr Arpt Rev Ref, AMT | 4.00% | 07/01/36 | 246,923 | |
250,000 | Triborough NY Bridge & Tunnel Auth Revs, Ser A | 5.00% | 11/15/42 | 282,598 | |
285,000 | Triborough NY Bridge & Tunnel Auth Revs, Ser A | 5.00% | 11/15/47 | 314,418 | |
250,000 | Util Debt Securitization Auth NY Ref Te, Ser 1 | 5.00% | 12/15/41 | 292,001 | |
250,000 | Westchester Cnty NY Loc Dev Corp Rev Westchester Med Ctr Oblig Grp Proj, AGM | 5.75% | 11/01/49 | 284,470 | |
250,000 | Westchester Cnty NY Sustainable Bond, Ser B | 4.00% | 12/15/34 | 274,761 | |
250,000 | Westchester NY Tobacco Asset Securitization Ref Sr, Ser B | 5.00% | 06/01/41 | 256,431 | |
200,000 | Western Nassau Cnty NY Wtr Auth Sustainable Bonds, Ser A | 4.00% | 04/01/46 | 201,409 | |
250,000 | Yonkers NY, Ser F, BAM | 5.00% | 11/15/41 | 282,311 | |
16,017,142 | |||||
Puerto Rico — 4.5% | |||||
400,000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/33 | 388,966 | |
400,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2 | 4.33% | 07/01/40 | 398,501 | |
787,467 | |||||
Total Investments — 97.0% | 17,053,293 | ||||
(Cost $16,596,367) | |||||
Net Other Assets and Liabilities — 3.0% | 522,050 | ||||
Net Assets — 100.0% | $17,575,343 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value |
Ultra 10-Year U.S. Treasury Notes | Short | 1 | Mar-2024 | $(116,875 ) | $(719 ) |
(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 Fund’s advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At January 31, 2024, securities noted as such amounted to $358,807 or 2.0% of net assets. |
(b) | Variable rate demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(c) | When-issued security. The interest rate shown reflects the rate in effect at January 31, 2024. Interest will begin accruing on the security’s first settlement date. |
Abbreviations throughout the Portfolio of Investments: | |
AGM | – Assured Guaranty Municipal Corp. |
AMT | – Alternative Minimum Tax |
BAM | – Build America Mutual |
BANS | – Bond Anticipation Notes |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 1/31/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $17,053,293 | $— | $17,053,293 | $— |
LIABILITIES TABLE | ||||
Total Value at 1/31/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts** | $(719 ) | $(719 ) | $— | $— |
* | 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 | $211,266,127 | $17,053,293 |
Cash | 6,258,235 | 623,123 |
Cash segregated as collateral for open futures contracts | 28,896 | 6,105 |
Receivables: | ||
Capital shares sold | 2,488,682 | — |
Interest | 2,433,468 | 172,086 |
Variation margin | 8,109 | — |
Total Assets | 222,483,517 | 17,854,607 |
LIABILITIES: | ||
Payables: | ||
Investment securities purchased | 5,939,013 | 271,925 |
Investment advisory fees | 114,656 | 7,011 |
Variation margin | — | 328 |
Total Liabilities | 6,053,669 | 279,264 |
NET ASSETS | $216,429,848 | $17,575,343 |
NET ASSETS consist of: | ||
Paid-in capital | $224,415,457 | $18,661,792 |
Par value | 43,500 | 6,500 |
Accumulated distributable earnings (loss) | (8,029,109 ) | (1,092,949 ) |
NET ASSETS | $216,429,848 | $17,575,343 |
NET ASSET VALUE, per share | $49.75 | $27.04 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 4,350,002 | 650,002 |
Investments, at cost | $209,542,243 | $16,596,367 |
First Trust California Municipal High Income ETF (FCAL) | First Trust New York Municipal High Income ETF (FMNY) | |
INVESTMENT INCOME: | ||
Interest | $2,949,056 | $284,742 |
Total investment income | 2,949,056 | 284,742 |
EXPENSES: | ||
Investment advisory fees | 526,235 | 45,902 |
Total expenses | 526,235 | 45,902 |
Less fees waived by the investment advisor | — | (10,593 ) |
Net expenses | 526,235 | 35,309 |
NET INVESTMENT INCOME (LOSS) | 2,422,821 | 249,433 |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (519,024 ) | (86,203 ) |
Futures contracts | 112,346 | 15,268 |
Net realized gain (loss) | (406,678 ) | (70,935 ) |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 3,065,209 | 385,832 |
Futures contracts | (53,352 ) | 93 |
Net change in unrealized appreciation (depreciation) | 3,011,857 | 385,925 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 2,605,179 | 314,990 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $5,028,000 | $564,423 |
First Trust California Municipal High Income ETF (FCAL) | First Trust New York Municipal High Income ETF (FMNY) | |||
Six Months Ended 1/31/2024 (Unaudited) | Year Ended 7/31/2023 | Six Months Ended 1/31/2024 (Unaudited) | Year Ended 7/31/2023 | |
OPERATIONS: | ||||
Net investment income (loss) | $2,422,821 | $3,225,087 | $249,433 | $401,597 |
Net realized gain (loss) | (406,678 ) | (5,582,737 ) | (70,935 ) | (272,871 ) |
Net change in unrealized appreciation (depreciation) | 3,011,857 | 2,604,413 | 385,925 | 83,519 |
Net increase (decrease) in net assets resulting from operations | 5,028,000 | 246,763 | 564,423 | 212,245 |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Investment operations | (2,366,351 ) | (3,179,922 ) | (253,000 ) | (388,501 ) |
Return of capital | — | (39,081 ) | — | — |
Total distributions to shareholders | (2,366,351 ) | (3,219,003 ) | (253,000 ) | (388,501 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 64,550,071 | 53,936,928 | 3,980,802 | 5,282,016 |
Cost of shares redeemed | — | (23,524,755 ) | — | (2,670,964 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 64,550,071 | 30,412,173 | 3,980,802 | 2,611,052 |
Total increase (decrease) in net assets | 67,211,720 | 27,439,933 | 4,292,225 | 2,434,796 |
NET ASSETS: | ||||
Beginning of period | 149,218,128 | 121,778,195 | 13,283,118 | 10,848,322 |
End of period | $216,429,848 | $149,218,128 | $17,575,343 | $13,283,118 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 3,050,002 | 2,450,002 | 500,002 | 400,002 |
Shares sold | 1,300,000 | 1,100,000 | 150,000 | 200,000 |
Shares redeemed | — | (500,000 ) | — | (100,000 ) |
Shares outstanding, end of period | 4,350,002 | 3,050,002 | 650,002 | 500,002 |
Six Months Ended 1/31/2024 (Unaudited) | Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Net asset value, beginning of period | $48.92 | $49.71 | $55.37 | $53.16 | $52.70 | $50.11 |
Income from investment operations: | ||||||
Net investment income (loss) | 0.73 (a) | 1.32 (a) | 1.08 | 1.16 | 1.17 | 1.49 |
Net realized and unrealized gain (loss) | 0.80 | (0.81 ) | (5.65 ) | 2.19 (b) | 0.51 | 2.60 |
Total from investment operations | 1.53 | 0.51 | (4.57 ) | 3.35 | 1.68 | 4.09 |
Distributions paid to shareholders from: | ||||||
Net investment income | (0.70 ) | (1.29 ) | (1.08 ) | (1.14 ) | (1.17 ) | (1.50 ) |
Return of capital | — | (0.01 ) | (0.01 ) | — | (0.05 ) | — |
Total distributions | (0.70 ) | (1.30 ) | (1.09 ) | (1.14 ) | (1.22 ) | (1.50 ) |
Net asset value, end of period | $49.75 | $48.92 | $49.71 | $55.37 | $53.16 | $52.70 |
Total return (c) | 3.17 % | 1.08 % | (8.33 )% | 6.37 % (b) | 3.23 % | 8.32 % |
Ratios to average net assets/supplemental data: | ||||||
Net assets, end of period (in 000’s) | $216,430 | $149,218 | $121,778 | $105,199 | $87,706 | $34,257 |
Ratio of total expenses to average net assets | 0.65 % (d) | 0.65 % | 0.65 % | 0.65 % | 0.65 % | 0.65 % |
Ratio of net expenses to average net assets | 0.65 % (d) | 0.60 % | 0.50 % | 0.50 % | 0.50 % | 0.50 % |
Ratio of net investment income (loss) to average net assets | 2.99 % (d) | 2.71 % | 2.09 % | 2.16 % | 2.28 % | 3.01 % |
Portfolio turnover rate (e) | 19 % | 54 % | 30 % | 25 % | 81 % | 69 % |
(a) | Based on average shares outstanding. |
(b) | The Fund received a reimbursement from the advisor in the amount of $219, which represents less than $0.01 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return. |
(c) | 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 and expenses reimbursed 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 1/31/2024 (Unaudited) | Year Ended July 31, | Period Ended 7/31/2021 (a) | ||
2023 | 2022 | |||
Net asset value, beginning of period | $26.57 | $27.12 | $30.51 | $30.00 |
Income from investment operations: | ||||
Net investment income (loss) | 0.46 (b) | 0.86 (b) | 0.68 | 0.09 |
Net realized and unrealized gain (loss) | 0.47 | (0.59 ) | (3.61 ) | 0.48 |
Total from investment operations | 0.93 | 0.27 | (2.93 ) | 0.57 |
Distributions paid to shareholders from: | ||||
Net investment income | (0.46 ) | (0.82 ) | (0.46 ) | (0.04 ) |
Net realized gain | — | — | — | (0.02 ) |
Total distributions | (0.46 ) | (0.82 ) | (0.46 ) | (0.06 ) |
Net asset value, end of period | $27.04 | $26.57 | $27.12 | $30.51 |
Total return (c) | 3.57 % | 1.06 % | (9.66 )% | 1.90 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $17,575 | $13,283 | $10,848 | $15,256 |
Ratio of total expenses to average net assets | 0.65 % (d) | 0.65 % | 0.65 % | 0.65 % (d) |
Ratio of net expenses to average net assets | 0.50 % (d) | 0.50 % | 0.50 % | 0.50 % (d) |
Ratio of net investment income (loss) to average net assets | 3.53 % (d) | 3.24 % | 2.18 % | 1.41 % (d) |
Portfolio turnover rate (e) | 18 % | 41 % | 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) | 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. The total returns would have been lower if certain fees had not been waived and expenses reimbursed 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. |
First Trust California Municipal High Income ETF – (Nasdaq, Inc. ticker “FCAL”) |
First Trust New York Municipal High Income ETF – (NYSE Arca, Inc. ticker “FMNY”) |
Security | Acquisition Date | Principal Value | Current Price | Carrying Cost | Value | % of Net Assets |
FCAL | ||||||
CA St Muni Fin Auth Chrt Sch Lease Rev Sycamore Acdmy Proj, 5.38%, 07/01/34 | 06/14/18 | $250,000 | $100.17 | $250,348 | $250,428 | 0.12 % |
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 | $36,889 | $— | $3,143,033 | $39,081 |
First Trust New York Municipal High Income ETF | — | — | 388,501 | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |
First Trust California Municipal High Income ETF | $— | $(9,504,429 ) | $(1,186,329 ) |
First Trust New York Municipal High Income ETF | 101,310 | (1,585,064 ) | 79,382 |
Non-Expiring Capital Loss Carryforwards | |
First Trust California Municipal High Income ETF | $9,504,429 |
First Trust New York Municipal High Income ETF | 1,585,064 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
First Trust California Municipal High Income ETF | $209,542,243 | $3,621,111 | $(1,910,586 ) | $1,710,525 |
First Trust New York Municipal High Income ETF | 16,596,367 | 498,160 | (41,953 ) | 456,207 |
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 | $86,079,390 | $29,188,649 |
First Trust New York Municipal High Income ETF | 5,931,742 | 2,351,259 |
Asset Derivatives | Liability Derivatives | ||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value |
FCAL | |||||
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | $— | Unrealized depreciation on futures contracts* | $13,359 |
FMNY | |||||
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | — | Unrealized depreciation on futures contracts* | 719 |
* | Includes cumulative appreciation/depreciation on futures contracts as reported in each Fund’s Portfolio of Investments. Only the current day’s variation margin is presented on the Statements of Assets and Liabilities. |
Statements of Operations Location | FCAL | FMNY |
Interest Rate Risk Exposure | ||
Net realized gain (loss) on futures contracts | $112,346 | $15,268 |
Net change in unrealized appreciation (depreciation) on futures contracts | (53,352 ) | 93 |
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
Semi-Annual Report |
For the Six Months Ended January 31, 2024 |
First Trust Municipal High Income ETF (FMHI) |
Semi-Annual Report
January 31, 2024
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2 | |
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7 | |
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36 |
Semi-Annual Letter from the Chairman and CEO
January 31, 2024
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
6 Months Ended 1/31/24 | 1 Year Ended 1/31/24 | 5 Years Ended 1/31/24 | Inception (11/1/17) to 1/31/24 | 5 Years Ended 1/31/24 | Inception (11/1/17) to 1/31/24 | |
Fund Performance | ||||||
NAV | 3.73% | 4.32% | 2.48% | 2.69% | 13.05% | 18.02% |
Market Price | 3.97% | 4.58% | 2.46% | 2.73% | 12.90% | 18.33% |
Index Performance | ||||||
Bloomberg Municipal Bond Index | 2.70% | 2.90% | 2.00% | 2.01% | 10.38% | 13.25% |
Blended Benchmark(1) | 3.49% | 4.28% | 2.81% | 3.07% | 14.87% | 20.81% |
(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 | 15.0% |
Industrial Development Bond | 13.3 |
Continuing Care Retirement Communities | 10.7 |
Education | 10.2 |
Hospital | 6.5 |
Gas | 5.8 |
Government Obligation Bond - Unlimited Tax | 5.8 |
Dedicated Tax | 4.5 |
Government Obligation Bond - Limited Tax | 4.5 |
Utility | 3.7 |
Airport | 3.0 |
Tobacco | 2.8 |
Insured | 2.0 |
Water & Sewer | 2.0 |
Tax Increment | 1.7 |
Certificates of Participation | 1.3 |
Higher Education | 1.3 |
Toll Road | 1.0 |
Student Housing | 0.9 |
Hotel | 0.7 |
Skilled Nursing | 0.5 |
Local Housing | 0.5 |
Housing | 0.2 |
Port | 0.2 |
Student Loan | 0.0(1) |
Pre-refunded/Escrowed-to-maturity | 0.0(1) |
Cash | 1.9 |
Total | 100.0% |
Credit Quality(2) | % of Total Investments (including cash) |
AAA | 0.7% |
AA | 8.1 |
A | 17.3 |
BBB | 15.8 |
BB | 16.9 |
B | 2.4 |
Not Rated | 36.9 |
Cash | 1.9 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 96.8% |
Net Other Assets and Liabilities(3) | 3.2 |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
(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. |
(3) | Includes variation margin on futures contracts. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the 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. |
Johnathan N. Wilhelm, Senior Vice President, Senior Portfolio Manager
Beginning Account Value August 1, 2023 | Ending Account Value January 31, 2024 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Municipal High Income ETF (FMHI) | ||||
Actual | $1,000.00 | $1,037.30 | 0.70% | $3.58 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.62 | 0.70% | $3.56 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (August 1, 2023 through January 31, 2024), multiplied by 184/366 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS — 96.8% | |||||
Alabama — 1.7% | |||||
$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 | $2,003,629 | |
530,000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 (Mandatory put 06/01/29) | 5.25% | 02/01/53 | 565,390 | |
1,340,000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser F (Mandatory put 12/01/28) | 5.50% | 11/01/53 | 1,426,764 | |
1,000,000 | Energy SE AL A Cooperative Dist Energy Sply Rev, Ser A-1 (Mandatory put 01/01/31) | 5.50% | 11/01/53 | 1,091,296 | |
1,500,000 | Jefferson Cnty AL Swr Rev Warrants Ref Warrants | 5.25% | 10/01/49 | 1,628,929 | |
2,425,000 | SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A (Mandatory put 10/01/28) | 4.00% | 11/01/51 | 2,421,296 | |
9,137,304 | |||||
Arizona — 4.5% | |||||
1,790,000 | AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj (a) | 5.00% | 07/01/39 | 1,761,593 | |
610,000 | AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj (a) | 5.00% | 07/01/49 | 566,908 | |
500,000 | AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj, Ser B (a) | 5.00% | 07/01/29 | 505,784 | |
750,000 | AZ St Indl Dev Auth Edu Rev Doral Acdmy NV Fire Mesa & Red Rock Cmps Proj, Ser A | 5.00% | 07/15/39 | 756,632 | |
700,000 | AZ St Indl Dev Auth Edu Rev Doral Acdmy NV Pebble, Ser A (a) | 5.00% | 07/15/40 | 704,701 | |
400,000 | AZ St Indl Dev Auth Edu Rev Lone Mountain Cmps Proj, Ser A (a) | 5.00% | 12/15/39 | 392,674 | |
1,000,000 | AZ St Indl Dev Auth Edu Rev Pinecrest Acdmy Horizon Inspirada & St Rose Cmps, Ser A (a) | 5.75% | 07/15/38 | 1,017,313 | |
1,670,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser A (a) | 5.13% | 07/01/37 | 1,678,383 | |
1,940,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser A (a) | 5.25% | 07/01/47 | 1,893,937 | |
1,055,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser D (a) | 4.00% | 07/01/27 | 1,037,136 | |
300,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser D (a) | 5.00% | 07/01/37 | 300,920 | |
180,000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (a) | 4.00% | 07/15/33 | 169,824 | |
290,000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (a) | 4.00% | 07/15/41 | 242,362 | |
1,250,000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (a) | 4.00% | 07/15/51 | 949,777 | |
1,740,000 | AZ St Indl Dev Auth Edu Rev Somerset Acdmy of LV Aliante & Skye Canyon Cmps Proj, Ser A (a) | 4.00% | 12/15/41 | 1,459,355 | |
1,000,000 | AZ St Indl Dev Auth Edu Rev Somerset Acdmy of LV Aliante & Skye Canyon Cmps Proj, Ser A (a) | 4.00% | 12/15/51 | 757,163 | |
500,000 | Glendale AZ Indl Dev Auth Sr Living Facs Rev Royal Oaks Inspirata Pointe Proj, Ser A | 5.00% | 05/15/41 | 462,831 | |
1,000,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Schs Proj Auth, Ser B (a) | 5.00% | 07/01/39 | 998,891 | |
2,035,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Schs Proj Auth, Ser B (a) | 5.00% | 07/01/49 | 1,933,862 | |
3,000,000 | Maricopa Cnty Indl Dev Auth Exempt Facs Rev Comml Metals Company Proj, AMT (a) | 4.00% | 10/15/47 | 2,673,982 | |
2,000,000 | Phoenix AZ Indl Dev Auth Edu Rev Ref Fac Legacy Trad Schs Projs (a) | 5.00% | 07/01/45 | 1,938,540 | |
2,000,000 | Phoenix AZ Indl Dev Auth Hotel Rev Sr Falcon Properties LLC Proj, Ser A (a) | 4.00% | 12/01/51 | 1,561,819 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Arizona (Continued) | |||||
$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 | $103,288 | |
1,000,000 | Pima Cnty AZ Indl Dev Auth Sr Living Rev La Posada at Pusch Ridge Proj, Ser A (a) | 6.75% | 11/15/42 | 1,034,653 | |
24,902,328 | |||||
Arkansas — 1.1% | |||||
3,000,000 | AR Dev Fin Auth Envrnmntl Rev Sustainable Bond United States Steel Corp Proj, AMT | 5.45% | 09/01/52 | 3,049,557 | |
1,000,000 | AR Dev Fin Auth Envrnmntl Rev Sustainable Bond US Steel Corp Proj, AMT | 5.70% | 05/01/53 | 1,031,608 | |
2,000,000 | AR St Dev Fin Auth Indl Dev Rev Sustainable Bonds Hybar Steel Proj, Ser A, AMT (a) | 6.88% | 07/01/48 | 2,119,913 | |
6,201,078 | |||||
California — 4.7% | |||||
250,000 | CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Sustainable Bond, Ser B (a) | 5.00% | 11/15/51 | 200,147 | |
250,000 | CA Sch Fin Auth Sch Fac Rev Ref Value Schs, Ser A (a) | 5.25% | 07/01/48 | 253,941 | |
2,500,000 | CA St Hlth Facs Fing Auth Rev El Camino Hosp | 5.00% | 02/01/42 | 2,587,861 | |
1,050,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj, Ser A (a) | 5.00% | 07/01/38 | 1,029,566 | |
450,000 | CA St Muni Fin Auth Chrt Sch Rev, Ser A (a) | 5.50% | 06/01/38 | 452,696 | |
2,000,000 | CA St Muni Fin Auth Rev CA Baptist Univ, Ser A (a) | 5.00% | 11/01/46 | 1,952,057 | |
205,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | 214,348 | |
1,250,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 5.00% | 10/01/44 | 1,282,645 | |
1,000,000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 999,847 | |
1,300,000 | CA St Muni Fin Auth Spl Tax Rev Bold Prog, Ser B | 5.75% | 09/01/53 | 1,374,704 | |
1,250,000 | CA St Poll Control Fing Auth Wtr Furnishing Rev Plant Bonds, AMT (a) | 5.00% | 07/01/37 | 1,251,267 | |
2,000,000 | CA St Poll Control Fing Auth Wtr Furnishing Rev Plant Bonds, AMT (a) | 5.00% | 11/21/45 | 2,000,966 | |
1,000,000 | CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies Oceanside Proj, Ser A (a) | 5.00% | 10/01/42 | 1,002,779 | |
550,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/33 | 567,180 | |
1,500,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev The Link Glendale Sustainable Bonds, Ser A-2 (a) | 4.00% | 07/01/56 | 1,085,186 | |
500,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev Union S Bay Sustainable Bonds, Ser A-2 (a) | 4.00% | 07/01/56 | 366,826 | |
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 | 1,047,406 | |
300,000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (a) | 5.00% | 10/01/42 | 300,844 | |
450,000 | Palm Desert CA Spl Tax Ref Univ Park | 4.00% | 09/01/41 | 424,249 | |
730,000 | Riverside CA Unif Sch Dist Impt Area No 2 | 5.00% | 09/01/49 | 749,830 | |
850,000 | Roseville CA Spl Tax The Ranch at Sierra Vista Cmnty Facs Dt No. 1 | 5.00% | 09/01/48 | 871,948 | |
1,100,000 | Roseville CA Spl Tax The Ranch at Sierra Vista Cmnty Facs Dt No. 1 | 5.00% | 09/01/53 | 1,121,132 | |
2,000,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev, Ser A, AMT | 5.00% | 05/01/44 | 2,083,579 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
California (Continued) | |||||
$1,000,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021 | 4.00% | 09/01/46 | $908,740 | |
1,615,000 | San Luis Obispo Cnty CA Fing Auth Lease Rev Multiple Capital Projs Ref, Ser A | 5.25% | 11/15/42 | 1,813,037 | |
25,942,781 | |||||
Colorado — 6.2% | |||||
1,125,000 | Allison Vly Met Dist #2 CO Ref | 4.70% | 12/01/47 | 951,249 | |
1,000,000 | Baseline Met Dist #1 CO Spl Rev, Ser A | 5.00% | 12/01/51 | 915,602 | |
525,000 | Brighton Crossing Met Dist #6 CO, Ser A | 5.00% | 12/01/35 | 514,825 | |
1,000,000 | Cascade Ridge Met Dist CO | 5.00% | 12/01/51 | 859,889 | |
515,000 | Chambers Highpoint Met Dist #2 CO | 5.00% | 12/01/41 | 461,116 | |
750,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Skyview Acdmy Proj (a) | 5.50% | 07/01/49 | 750,165 | |
1,000,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp (a) | 5.00% | 12/15/45 | 1,002,887 | |
1,400,000 | CO St Hlth Facs Auth Rev Ref Christian Living Neighborhoods Proj | 5.00% | 01/01/37 | 1,401,203 | |
950,000 | CO St Hlth Facs Auth Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/39 | 937,838 | |
1,275,000 | CO St Hlth Facs Auth Rev Ref Frasier Meadows Retmnt Cmnty Proj, Ser A | 5.25% | 05/15/30 | 1,305,775 | |
670,000 | CO St Hlth Facs Auth Rev Ref Frasier Proj, Ser 2023A | 4.00% | 05/15/35 | 637,717 | |
1,125,000 | CO St Hlth Facs Auth Rev Ref Frasier Proj, Ser 2023A | 4.00% | 05/15/41 | 992,170 | |
625,000 | CO St Hlth Facs Auth Rev Sr Living Ralston Creek Arvada Proj, Ser A (b) (c) | 5.25% | 11/01/32 | 300,000 | |
1,120,000 | Denver City & Cnty CO Arpt Rev Ref, Ser D, AMT | 5.75% | 11/15/40 | 1,295,739 | |
1,100,000 | Denver City & Cnty CO Arpt Rev Ref, Ser D, AMT | 5.75% | 11/15/45 | 1,249,790 | |
1,220,000 | Denver City & Cnty CO Arpt Rev, Ser A, AMT | 5.00% | 11/15/41 | 1,324,313 | |
500,000 | Denver CO Intl Busn Ctr CO Met Dist #1 Subord, Ser B | 6.00% | 12/01/48 | 503,514 | |
1,700,000 | Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr Bonds, Ser A (a) | 5.00% | 12/01/41 | 1,574,914 | |
1,510,000 | Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr Bonds, Ser A (a) | 5.00% | 12/01/51 | 1,302,833 | |
1,500,000 | Four Corners Busn Impt Dist CO Ltd Tax Supported | 6.00% | 12/01/52 | 1,416,867 | |
1,000,000 | Grandview Reserve Met Dist #3 CO Sr Bonds, Ser A | 6.25% | 12/01/52 | 970,825 | |
575,000 | Jefferson Ctr CO Met Dist #1 Spl Rev, Ser A-2 | 4.13% | 12/01/40 | 496,262 | |
1,000,000 | Lanterns Met Dist #3, Ser A-1 | 7.25% | 12/01/53 | 1,057,053 | |
1,000,000 | Meridian Ranch Met Dist 2018 Subdistrict CO | 6.75% | 12/01/52 | 1,005,632 | |
2,000,000 | Mirabelle Met Dist #2 CO Sr, Ser A | 5.00% | 12/01/49 | 1,858,013 | |
905,000 | Mountain Brook Met Dist CO | 4.50% | 12/01/41 | 748,863 | |
500,000 | Peak Met Dist #1 CO, Ser A (a) | 4.00% | 12/01/35 | 438,921 | |
1,000,000 | Peak Met Dist #1 CO, Ser A (a) | 5.00% | 12/01/41 | 939,241 | |
1,200,000 | Pinon Pines Met Dist #2 CO MDD | 5.00% | 12/01/50 | 1,100,312 | |
1,500,000 | Prairie Ctr CO Met Dist #3 Ltd Property Tax Supported Pri Ref, Ser A (a) | 5.00% | 12/15/41 | 1,502,601 | |
500,000 | Prairie Ctr Met Dist #7 CO | 4.13% | 12/15/36 | 454,716 | |
500,000 | Siena Lake Met Dist CO (b) | 4.00% | 12/01/51 | 382,530 | |
900,000 | Thompson Crossing Met Dist #4 CO Ref | 5.00% | 12/01/39 | 887,205 | |
1,520,000 | Trails at Crowfoot Met Dist #3 CO Sr Ser, Ser A | 5.00% | 12/01/39 | 1,520,351 | |
700,000 | W Meadow Met Dist CO Ref Sr Bonds, Ser A (a) | 6.00% | 12/01/38 | 726,324 | |
33,787,255 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Connecticut — 1.5% | |||||
$250,000 | Bridgeport CT, Ser A, BAM | 5.00% | 02/01/31 | $276,605 | |
2,000,000 | CT St Hlth & Eductnl Facs Auth Rev Covenant Home Inc, Ser B | 5.00% | 12/01/40 | 2,016,427 | |
800,000 | CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare, Ser A | 4.00% | 07/01/37 | 806,803 | |
2,725,000 | CT St Hlth & Eductnl Facs Auth Rev Trinity Hlth Corp | 5.00% | 12/01/45 | 2,778,320 | |
2,500,000 | Harbor Point CT Infra Impt Dist Spl Oblig Rev Ref Harbor Point Proj Ltd (a) | 5.00% | 04/01/39 | 2,531,661 | |
8,409,816 | |||||
Delaware — 0.1% | |||||
415,000 | Millsboro DE Spl Oblig Ref Plantation Lakes Spl Dev Dist (a) | 5.00% | 07/01/28 | 418,986 | |
Florida — 14.5% | |||||
500,000 | Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/40 | 435,662 | |
100,000 | Ave Maria FL Stewardship Cmnty Dist Capital Impt Rev Maple Ridge Phase 4 Proj (a) | 4.30% | 05/01/42 | 91,008 | |
1,655,000 | Ave Maria FL Stewardship Cmnty Dist Capital Impt Rev Maple Ridge Phase 4 Proj (a) | 4.45% | 05/01/52 | 1,458,799 | |
2,380,000 | Ave Maria FL Stewardship Cmnty Dist Capital Impt Rev Phase 4 Master Impt Proj (a) | 5.25% | 05/01/43 | 2,393,657 | |
2,000,000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Assmt Area 3A (a) | 5.13% | 11/01/49 | 1,966,760 | |
485,000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, Ser 2021 | 4.00% | 05/01/52 | 398,057 | |
1,000,000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, Ser 2022 | 5.00% | 05/01/53 | 945,642 | |
1,000,000 | Berry Bay CDD FL Spl Assmnt Rev Assmnt Area One | 3.63% | 05/01/41 | 831,054 | |
2,000,000 | Bexley CDD FL Spl Assmnt Rev | 4.88% | 05/01/47 | 1,882,772 | |
1,600,000 | Bridgewater N Cmnty Dev Dist FL Capital Impt Rev | 4.00% | 05/01/42 | 1,355,202 | |
895,000 | Capital Trust Agy FL Eductnl Facs Rev Academir Chrt Schs Inc Proj, Ser A (a) | 4.00% | 07/01/41 | 736,118 | |
525,000 | Capital Trust Agy FL Eductnl Facs Rev Academir Chrt Schs Inc Proj, Ser A (a) | 4.00% | 07/01/51 | 390,249 | |
180,000 | Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory Sch Inc Proj, Ser A | 4.00% | 08/01/30 | 180,090 | |
1,070,000 | Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory Sch Inc Proj, Ser A | 5.00% | 08/01/40 | 1,092,844 | |
1,000,000 | Charlotte Cnty FL Indl Dev Auth Util Sys Rev Town & Country Utils Proj (a) | 5.00% | 10/01/34 | 1,008,549 | |
750,000 | Charlotte Cnty FL Indl Dev Auth Util Sys Rev Town & Country Utils Proj, Ser A, AMT (a) | 4.00% | 10/01/41 | 664,814 | |
4,000,000 | Charlotte Cnty FL Indl Dev Auth Util Sys Rev Town & Country Utils Proj, Ser A, AMT (a) | 4.00% | 10/01/51 | 3,271,858 | |
595,000 | Coco Palms FL CDD Spl Assmnt | 4.50% | 05/01/32 | 597,022 | |
1,000,000 | Coco Palms FL CDD Spl Assmnt | 5.00% | 05/01/46 | 982,765 | |
1,500,000 | Connerton E CDD FL Spl Assmnt Area One | 5.25% | 06/15/43 | 1,534,450 | |
600,000 | Cypress Bluff CDD FL Spl Assmnt Del Web Proj, Ser A (a) | 3.63% | 05/01/40 | 534,299 | |
2,645,000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area Two | 4.00% | 05/01/42 | 2,316,243 | |
3,145,000 | Epperson N CDD FL Capital Impt Rev Assmnt Area #2 | 4.00% | 05/01/51 | 2,483,492 | |
845,000 | Epperson N CDD FL Capital Impt Rev Assmnt Area 1, Ser A-1 (a) | 5.00% | 11/01/29 | 857,580 | |
1,000,000 | Epperson N CDD FL Capital Impt Rev Assmnt Area 1, Ser A-1 (a) | 5.50% | 11/01/39 | 1,021,621 | |
1,250,000 | Fallschase Cmnty Dev Dist FL Spl Assmnt | 3.38% | 05/01/41 | 1,007,005 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Florida (Continued) | |||||
$1,385,000 | FL St Dev Fin Corp Eductnl Facs Rev Ref Global Outreach Chrt Acdmy Proj, Ser A (a) | 4.00% | 06/30/56 | $954,176 | |
2,000,000 | FL St Dev Fin Corp Sol Wst Disp Rev Var Waste Pro USA Inc Proj, AMT (Mandatory put 07/01/26) (a) | 6.13% | 07/01/32 | 2,028,280 | |
1,005,000 | FL St Dev Fin Corp Sr Living Rev Ref Mayflower Retmnt Cmnty Proj, Ser A (a) | 4.00% | 06/01/41 | 745,959 | |
500,000 | Forest Lake Cmnty Dev Dist FL Spl Assmnt Area 1 Proj (a) | 4.00% | 05/01/40 | 467,538 | |
1,750,000 | Fort Lauderdale FL Wtr & Swr Rev Enabling Wks Proj, Ser A | 5.50% | 09/01/53 | 2,011,608 | |
1,060,000 | Gulfstream Polo Cmnty Dev Dist FL Spl Assmnt Phase 2 Proj | 4.38% | 11/01/49 | 944,873 | |
2,000,000 | Halifax FL Hosp Med Ctr Ref | 5.00% | 06/01/36 | 2,042,012 | |
1,000,000 | Hills Minneola Cmnty Dev Dist FL Spl Assmnt Rev S Parcel Assmnt Area (a) | 4.00% | 05/01/40 | 883,623 | |
750,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev N E Sector Proj Phase 1A | 5.00% | 05/01/38 | 757,643 | |
1,325,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Stewardship Dist Azario Proj | 4.00% | 05/01/50 | 1,085,161 | |
2,575,000 | Lee Cnty FL Indl Dev Auth Hlthcare Facs Rev Shell Point Waterside Hlth Proj | 5.00% | 11/15/49 | 2,495,010 | |
1,500,000 | LTC Ranch W Rsdl Cmnty Dev Dist Spl Assmnt Rev Assmnt Area One Proj, Ser A | 4.00% | 05/01/52 | 1,203,712 | |
2,570,000 | Miami-Dade Cnty FL Aviation Rev Ref, Ser A, AMT | 5.00% | 10/01/38 | 2,593,883 | |
1,240,000 | Mirada II Cmnty Dev Dist FL Cap Impt Rev | 4.00% | 05/01/51 | 990,275 | |
1,895,000 | N Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 4.50% | 05/01/40 | 1,786,146 | |
1,000,000 | N Springs FL Impt Dist Parkland Bay Assmt Area (a) | 4.88% | 05/01/38 | 1,000,876 | |
1,300,000 | Old Hickory CDD FL Spl Assmnt Spl Asmt | 4.00% | 06/15/40 | 1,163,851 | |
465,000 | Parkland Preserve CDD FL Spl Assmnt Rev 2019A Spl Assmnts, Ser A | 5.25% | 05/01/39 | 472,639 | |
1,000,000 | Pine Isle Cmnty Dev Dist FL Spl Assmnt 2021 Proj (a) | 3.25% | 12/15/41 | 819,601 | |
1,000,000 | Polk Cnty FL Indl Dev Auth Mineral Dev LLC Secondary Phosphate Tailings Recovery Proj (d) | 5.88% | 01/01/33 | 965,106 | |
610,000 | Pompano Beach FL Rev John Knox Vlg Proj, Ser A | 4.00% | 09/01/41 | 521,883 | |
690,000 | Prosperity Lakes Cmnty Dev Dist FL Spl Assmnt Area One | 5.88% | 12/15/43 | 717,446 | |
1,000,000 | Prosperity Lakes Cmnty Dev Dist FL Spl Assmnt Area One | 6.13% | 12/15/53 | 1,039,309 | |
1,710,000 | Reunion E FL CDD Spl Assmnt, Ser 2021 | 4.00% | 05/01/51 | 1,413,790 | |
770,000 | Rivington CDD FL Spl Assmnt Rev Assmnt Area | 3.38% | 05/01/31 | 711,480 | |
500,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/36 | 436,064 | |
750,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/41 | 601,707 | |
3,055,000 | Sawyers Landing CDD FL Spl Assmnt Rev | 4.13% | 05/01/41 | 2,492,936 | |
2,000,000 | Sawyers Landing CDD FL Spl Assmnt Rev | 4.25% | 05/01/53 | 1,555,986 | |
250,000 | SE Overtown Park W Cmnty Redev Agy FL Tax, Ser A-1 (a) | 5.00% | 03/01/30 | 250,260 | |
490,000 | Shell Point Cmnty Dev Dist FL Spl Assmnt (a) | 5.25% | 11/01/39 | 497,223 | |
1,000,000 | Shingle Creek At Bronson CDD FL Spl Assmnt | 3.50% | 06/15/41 | 861,293 | |
1,950,000 | Six Mile Creek FL CDD Capital Impt Rev Assmnt Area 3 Phase 1 | 4.00% | 05/01/51 | 1,577,539 | |
2,580,000 | Stillwater CDD FL Sp Assmnt Spl Assmt 2021 Proj (a) | 3.50% | 06/15/41 | 2,107,981 | |
2,000,000 | The Heights CDD FL Spl Assmnt Rev CDD | 5.00% | 01/01/50 | 1,912,735 | |
835,000 | Triple Creek FL CDD Spl Assmnt Vlgs Q&R Proj (a) | 4.00% | 11/01/51 | 674,668 | |
1,055,000 | Trout Creek CDD FL Capital Impt Rev | 4.00% | 05/01/51 | 837,454 | |
230,000 | Villamar CDD FL Spl Assmnt | 4.00% | 05/01/29 | 227,309 | |
1,370,000 | W Vlgs FL Impt Dist Ref Spl Assmt Unit Dev #1 | 4.63% | 05/01/38 | 1,301,902 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Florida (Continued) | |||||
$900,000 | Westside FL CDD Spl Assmnt Rev Ref (a) | 4.13% | 05/01/38 | $826,585 | |
1,940,000 | Westview S CDD FL Spl Assmnt Area One 2023 Proj Area | 5.38% | 05/01/43 | 1,951,814 | |
1,190,000 | Wildblue CDD FL Spl Assmnt (a) | 4.25% | 06/15/39 | 1,085,442 | |
79,452,390 | |||||
Georgia — 5.3% | |||||
1,000,000 | Atlanta GA Arpt Passenger Fac Charge Rev Arpt Rev Subord, Ser D, AMT | 4.00% | 07/01/37 | 1,003,970 | |
4,300,000 | Bartow Cnty GA Dev Auth Solid Waste Disp Fac Rev Var GA Pwr Co Plt Bowen Proj, AMT (e) | 3.70% | 11/01/62 | 4,300,000 | |
4,400,000 | Burke Cnty GA Dev Auth Poll Control Rev Adjustable GA Pwr Co Plant Vogtle Proj Remk (e) | 3.70% | 11/01/52 | 4,400,000 | |
1,000,000 | Burke Cnty GA Dev Auth Poll Control Rev Var GA Pwr Co Vogtle, 1st Ser (e) | 3.60% | 07/01/49 | 1,000,000 | |
500,000 | Cobb Cnty GA Dev Auth Chartersch Rev NW Classical Acdmy Proj, Ser A (a) | 6.00% | 06/15/43 | 502,918 | |
1,750,000 | Cobb Cnty GA Dev Auth Chartersch Rev NW Classical Acdmy Proj, Ser A (a) | 6.40% | 06/15/53 | 1,760,052 | |
1,125,000 | Columbia Cnty GA Hosp Auth Rev Anticipation Ctfs Wellstar Hlth Sys Inc Proj, Ser A | 5.75% | 04/01/53 | 1,282,082 | |
1,335,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/31 | 1,342,774 | |
1,500,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/42 | 1,420,422 | |
500,000 | Geo L Smith II GA Congress Ctr Auth Convention Ctr Hotel Second Tier, Ser A (a) | 5.00% | 01/01/36 | 495,147 | |
1,750,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put 12/01/29) | 4.00% | 09/01/52 | 1,752,187 | |
1,285,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put 09/01/26) | 4.00% | 03/01/50 | 1,293,018 | |
1,000,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put 12/01/28) | 4.00% | 05/01/52 | 1,002,794 | |
3,435,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put 09/01/30) | 5.00% | 09/01/53 | 3,655,546 | |
2,000,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser D (Mandatory put 12/01/30) | 5.00% | 05/01/54 | 2,118,437 | |
1,000,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser E-1 (Mandatory put 06/01/31) | 5.00% | 12/01/53 | 1,070,150 | |
350,000 | Muni Elec Auth of GA Plant Vogtle Units 3&4 Proj J, Ser A, AGM | 5.00% | 07/01/30 | 392,441 | |
28,791,938 | |||||
Guam — 0.1% | |||||
250,000 | Guam Govt Busn Privilege Tax Rev Ref, Ser D | 5.00% | 11/15/35 | 254,517 | |
155,000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A | 5.00% | 01/01/50 | 160,641 | |
415,158 | |||||
Idaho — 0.6% | |||||
1,000,000 | ID Falls ID Auditorium Dist Annual Approp Ctfs, COPS (a) | 5.25% | 05/15/51 | 978,627 | |
985,000 | ID St Hlth Facs Auth Rev Ref Madison Memorial Hosp | 5.00% | 09/01/25 | 992,463 | |
1,265,000 | ID St Hlth Facs Auth Rev Ref Madison Memorial Hosp | 5.00% | 09/01/30 | 1,287,148 | |
3,258,238 | |||||
Illinois — 3.7% | |||||
2,615,000 | Chicago IL Brd of Edu Proj, Ser C | 5.25% | 12/01/35 | 2,617,654 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Illinois (Continued) | |||||
$300,000 | Chicago IL Brd of Edu Ref Dedicated, Ser C | 5.00% | 12/01/30 | $306,760 | |
3,500,000 | Chicago IL Brd of Edu Ref, Ser B | 5.00% | 12/01/30 | 3,722,947 | |
1,000,000 | Chicago IL Brd of Edu Sustainable Bond, Ser E | 5.13% | 12/01/32 | 1,001,611 | |
1,000,000 | Chicago IL Brd of Edu, Ser A | 5.00% | 12/01/35 | 1,049,235 | |
1,130,000 | Chicago IL Brd of Edu, Ser D | 5.00% | 12/01/46 | 1,132,805 | |
750,000 | Chicago IL Chicago Wks, Ser A | 5.50% | 01/01/40 | 815,130 | |
400,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien, Ser A, AMT | 5.00% | 01/01/37 | 421,522 | |
1,300,000 | Chicago IL Park Dist Ref, Ser A, BAM | 4.00% | 01/01/32 | 1,345,196 | |
400,000 | Chicago IL Ref 2003B Remk | 5.25% | 01/01/29 | 404,415 | |
515,000 | Chicago IL Ref, Ser C, CABS | (f) | 01/01/25 | 495,732 | |
100,000 | IL St | 5.00% | 04/01/24 | 100,234 | |
250,000 | IL St | 5.50% | 05/01/26 | 262,394 | |
200,000 | IL St | 5.00% | 06/01/27 | 207,473 | |
250,000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/30 | 259,170 | |
250,000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/31 | 258,820 | |
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 | 101,038 | |
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 | 305,656 | |
145,000 | IL St Fin Auth Stdt Hsg & Acad Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/28 | 148,294 | |
2,000,000 | IL St, Ser C | 5.00% | 11/01/29 | 2,136,093 | |
545,000 | IL St, Ser D | 5.00% | 11/01/24 | 551,363 | |
1,660,000 | Lincolnwood IL Tax Incr Allocation Rev Nts Dist 1860 Dev Proj, Ser A, COPS (a) | 4.82% | 01/01/41 | 1,558,050 | |
1,000,000 | S Wstrn IL Dev Auth Envrnmntl Impt Rev US Steel Corp Proj | 5.75% | 08/01/42 | 1,000,200 | |
20,201,792 | |||||
Indiana — 1.3% | |||||
250,000 | Fort Wayne IN Mf Hsg Rev Silver Birch at Cook Road (a) | 5.30% | 01/01/32 | 222,814 | |
2,000,000 | IN Fin Auth Midwestern Disaster Relief Rev OH Vly Elec Corp Proj Remk, Ser A | 4.25% | 11/01/30 | 2,015,510 | |
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 | 1,383,110 | |
750,000 | IN St Fin Auth Hosp Rev Reid Hlth, AGM | 5.00% | 01/01/41 | 813,818 | |
200,000 | IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Acdmy Proj, Ser A (d) | 5.25% | 07/01/28 | 200,380 | |
1,700,000 | Indianapolis IN Loc Pub Impt Bond Bank Sr Convention Ctr Hotel, Ser E | 6.00% | 03/01/53 | 1,841,158 | |
500,000 | Terre Haute IN Mf Hsg Rev Silver Birch of Terre Haute Proj | 5.10% | 01/01/32 | 438,279 | |
6,915,069 | |||||
Iowa — 1.4% | |||||
3,000,000 | IA St Fin Auth Midwstrn Disaster Area Rev Alcoa Inc Proj | 4.75% | 08/01/42 | 2,949,249 | |
3,000,000 | IA St Fin Auth Midwstrn Disaster Area Rev Ref IA Fertilizer Company Proj | 5.00% | 12/01/50 | 3,141,540 | |
1,300,000 | IA St Fin Auth Midwstrn Disaster Area Rev Ref IA Fertilizer Company Proj (Mandatory put 12/01/42) | 5.00% | 12/01/50 | 1,366,201 | |
7,456,990 | |||||
Kansas — 0.6% | |||||
350,000 | Goddard KS Sales Tax Spl Oblg Rev Ref Olympic Park Star Bond Proj | 3.60% | 06/01/30 | 344,227 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Kansas (Continued) | |||||
$1,850,000 | Lenexa KS Hlth Care Fac Rev Ref Lakeview Vlg Inc, Ser A | 5.00% | 05/15/43 | $1,761,851 | |
175,000 | Shawnee Cnty KS Pub Bldg Commn Rev Corrections and Parks & Rec Projs | 5.50% | 09/01/34 | 211,651 | |
1,250,000 | Wyandotte Cnty KS Kansas City Unif Govt Spl Oblg Rev Ref Vlg E Proj Areas 2B 3 5 (a) | 5.75% | 09/01/39 | 1,238,549 | |
3,556,278 | |||||
Kentucky — 3.1% | |||||
2,000,000 | Boyle Cnty KY Eductnl Facs Rev Ref Centre Clg, Ser A | 5.25% | 06/01/43 | 2,184,779 | |
875,000 | Henderson KY Exempt Facs Rev Pratt Paper LLC Proj, Ser A, AMT (a) | 4.45% | 01/01/42 | 851,776 | |
1,000,000 | KY St Econ Dev Fin Auth Ref Owensboro Hlth, Ser A | 5.00% | 06/01/41 | 1,012,365 | |
1,500,000 | KY St Pub Energy Auth Gas Sply Rev Ref, Ser A-1 (Mandatory put 02/01/32) | 5.25% | 04/01/54 | 1,630,266 | |
2,525,000 | KY St Pub Energy Auth Gas Sply Rev Var, Ser C (Mandatory put 02/01/28) | 4.00% | 02/01/50 | 2,530,266 | |
230,000 | KY St Univ KY St Univ Proj, BAM, COPS | 4.00% | 11/01/41 | 232,621 | |
1,000,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Norton Hlthcare Inc, Ser A | 4.00% | 10/01/39 | 989,957 | |
7,600,000 | Meade Cnty KY Indl Bldg Rev Var Nucor Steel Brandenburg Proj Sustainable Bond, Ser B-1 (e) | 4.05% | 08/01/61 | 7,600,000 | |
17,032,030 | |||||
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 | 1,435,402 | |
200,000 | Monroe LA Wtr Rev, BAM | 5.00% | 11/01/32 | 220,038 | |
1,000,000 | Saint James Parish LA Rev NuStar Logistics LP Proj Remk, Ser 2010 (a) | 6.35% | 07/01/40 | 1,091,080 | |
1,000,000 | Saint James Parish LA Rev NuStar Logistics LP Proj Remk, Ser 2010A (a) | 6.35% | 10/01/40 | 1,091,080 | |
1,600,000 | Saint James Parish LA Rev Var NuStar Logistics LP Proj Remk, Ser 2010B (Mandatory put 06/01/30) (a) | 6.10% | 12/01/40 | 1,760,813 | |
5,598,413 | |||||
Maine — 0.5% | |||||
3,000,000 | ME St Fin Auth Sol Wst Disp Rev Casella Waste Sys Proj, AMT (Mandatory put 08/01/25) (a) | 5.13% | 08/01/35 | 3,010,055 | |
Maryland — 0.7% | |||||
1,020,000 | Baltimore MD Spl Oblig Ref E Baltimore Rsrch Park Proj, Ser A | 5.00% | 09/01/38 | 1,028,944 | |
175,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 2.95% | 06/01/27 | 167,495 | |
185,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.05% | 06/01/28 | 174,550 | |
200,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.15% | 06/01/29 | 187,327 | |
190,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.20% | 06/01/30 | 176,684 | |
900,000 | Frederick Cnty MD Tax Incr & Spl Tax Ref Jefferson Technology Park Proj, Ser B (a) | 4.63% | 07/01/43 | 884,098 | |
1,000,000 | MD St Econ Dev Corp Stdt Hsg Rev Morgan St Univ Proj, Ser A | 5.38% | 07/01/38 | 1,084,752 | |
3,703,850 | |||||
Massachusetts — 0.5% | |||||
500,000 | MA St Dev Fin Agy Rev Linden Ponds Inc Fac (a) | 5.00% | 11/15/28 | 525,550 | |
500,000 | MA St Dev Fin Agy Rev Ref Boston Med Ctr Sustainable Bonds, Ser G | 5.25% | 07/01/48 | 547,286 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Massachusetts (Continued) | |||||
$1,020,000 | MA St Dev Fin Agy Rev Ref Salem Cmnty Corp | 5.13% | 01/01/40 | $939,073 | |
1,000,000 | MA St Dev Fin Agy Rev Umass Dartmouth Stdt Hsg Proj | 5.00% | 10/01/48 | 969,608 | |
2,981,517 | |||||
Michigan — 1.4% | |||||
300,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/31 | 301,641 | |
1,100,000 | Detroit MI Sustainable Bonds, Ser A | 5.00% | 04/01/46 | 1,124,688 | |
2,000,000 | Detroit MI Sustainable Bonds, Ser A | 5.00% | 04/01/50 | 2,031,989 | |
1,000,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Sr Lien Bonds, Ser B | 5.25% | 07/01/48 | 1,133,642 | |
2,000,000 | MI St Fin Auth Rev Henry Ford Hlth Sys, Ser A | 5.00% | 11/15/48 | 2,074,834 | |
1,000,000 | MI St Strategic Fund Ltd Oblg Rev Var Sustainable Bond Recycled Brd Machine Proj, AMT (Mandatory put 10/01/26) | 4.00% | 10/01/61 | 990,247 | |
7,657,041 | |||||
Minnesota — 0.5% | |||||
150,000 | Minneapolis MN Stdt Hsg Rev Riverton Cmnty Hsg Proj (a) | 3.80% | 08/01/27 | 146,070 | |
1,200,000 | Saint Paul MN Hsg & Redev Auth Chrt Sch Lease Rev Ref Hgr Ground Acdmy Proj | 4.25% | 12/01/32 | 1,199,940 | |
105,000 | Saint Paul MN Hsg & Redev Auth Chrt Sch Lease Rev Ref, Ser A | 5.00% | 12/01/30 | 105,718 | |
850,000 | Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj, Ser A | 4.00% | 07/01/41 | 680,441 | |
660,000 | Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj, Ser A | 4.00% | 07/01/51 | 479,284 | |
2,611,453 | |||||
Mississippi — 0.9% | |||||
4,400,000 | MS St Busn Fin Corp Sol Wst Disp Rev Adj MS Pwr Co Proj Remk, AMT (e) | 3.50% | 07/01/25 | 4,400,000 | |
500,000 | MS St Busn Fin Corp Sol Wst Disp Rev Adj Ref MS Pwr Co Proj Remk, AMT (e) | 3.50% | 05/01/28 | 500,000 | |
4,900,000 | |||||
Missouri — 1.0% | |||||
550,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svc Projs Svcs Projs, Ser A, Ser ASR | 5.00% | 02/01/29 | 556,490 | |
1,000,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svc Projs Svcs Projs, Ser A, Ser ASR | 5.00% | 02/01/42 | 975,664 | |
80,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs | 5.00% | 02/01/35 | 80,004 | |
550,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/32 | 523,874 | |
10,000 | MO St Hlth & Eductnl Facs Auth Med Rsrch Lutheran Svcs, Ser A | 5.00% | 02/01/29 | 10,068 | |
1,145,000 | MO St Hlth & Eductnl Facs Auth Ref Lutheran Sr Svcs Projs, Ser B | 5.00% | 02/01/46 | 1,093,541 | |
2,000,000 | Taney Cnty MO Indl Dev Auth Sales Tax Rev Big Cedar Infra Proj (a) | 6.00% | 10/01/49 | 2,010,290 | |
5,249,931 | |||||
Nevada — 0.7% | |||||
775,000 | Henderson NV Loc Impt Dists Rainbow Canyon Phase II Roject | 5.00% | 03/01/38 | 782,710 | |
1,000,000 | Henderson NV Loc Impt Dists Rainbow Canyon Phase II Roject | 5.25% | 03/01/48 | 1,004,615 | |
445,000 | Las Vegas NV Spl Assmnt Dist #817 Spl Impt Dt# 817 Summerlin Vlg 29 | 5.75% | 06/01/43 | 462,513 | |
500,000 | Las Vegas NV Spl Assmnt Dist #817 Spl Impt Dt# 817 Summerlin Vlg 29 | 6.00% | 06/01/48 | 521,973 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Nevada (Continued) | |||||
$190,000 | N Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 4.00% | 06/01/29 | $188,023 | |
700,000 | NV Dept of Busn & Ind NV Doral Acdmy, Ser A | 5.00% | 07/15/37 | 705,029 | |
3,664,863 | |||||
New Hampshire — 0.3% | |||||
2,000,000 | Natl Fin Auth NH Rev Ref Sustainable Bond, Ser B, AMT (Mandatory put 07/02/40) (a) | 3.75% | 07/01/45 | 1,589,489 | |
New Jersey — 0.4% | |||||
950,000 | NJ St Econ Dev Auth Spl Fac Rev Continental Airls Inc Proj Remk, Ser B, AMT | 5.63% | 11/15/30 | 960,005 | |
100,000 | NJ St Econ Dev Auth Spl Fac Rev Ref Port Newark Container Terminal LLC Proj, AMT | 5.00% | 10/01/25 | 101,428 | |
205,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev, Ser 1A, AMT | 4.00% | 12/01/30 | 204,195 | |
560,000 | NJ St Transprtn Trust Fund Auth Fun Auth Transprtn Prog Bonds, Ser CC | 5.25% | 06/15/41 | 635,367 | |
500,000 | NJ St Transprtn Trust Fund Auth Ref Transprtn Sys, Ser A | 5.00% | 12/15/30 | 547,884 | |
2,448,879 | |||||
New Mexico — 0.3% | |||||
535,000 | Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (a) | 3.75% | 05/01/28 | 527,934 | |
500,000 | Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (a) | 4.00% | 05/01/33 | 488,776 | |
500,000 | Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (a) | 4.25% | 05/01/40 | 469,970 | |
1,486,680 | |||||
New York — 4.9% | |||||
1,000,000 | Build NYC Res Corp NY Rev Sustainable Bond Kipp NYC Pub Sch Facs Canal W Proj | 5.25% | 07/01/52 | 1,043,119 | |
450,000 | Dutchess Cnty NY Loc Dev Corp Mf Mtebs Sustainable Bonds Tomopkins Terrace Hsg LP Proj | 5.00% | 10/01/40 | 489,639 | |
950,000 | Nassau Cnty NY Loc Econ Asst Corp Edl Rev Roosevelt Children Acdmy Chrt Sch Proj, Ser A | 5.00% | 07/01/43 | 983,612 | |
1,000,000 | New York City NY Indl Dev Agy Rev Liberty 123 Wash Proj Remk (e) | 3.50% | 10/01/42 | 1,000,000 | |
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 | 632,133 | |
2,625,000 | New York City NY Transitional Fin Auth Rev Future Tax Secured Subord Bonds, Ser C-1 | 4.00% | 02/01/42 | 2,639,411 | |
2,000,000 | NY NY Adjustable Fiscal 2020, Subser B-3 (e) | 4.50% | 10/01/46 | 2,000,000 | |
2,000,000 | NY NY, Ser B, Subser B-1 | 5.25% | 10/01/41 | 2,297,677 | |
1,925,000 | NY St Dorm Auth St Personal Income Tax Rev Ref, Ser A | 3.00% | 03/15/42 | 1,662,779 | |
500,000 | NY St Transprtn Dev Corp Exempt Fac Rev NY St Thruway Srvc Areas Proj, AMT | 4.00% | 10/31/46 | 441,341 | |
1,250,000 | NY St Transprtn Dev Corp Spl Fac Rev Delta Airls Inc LaGuardia Arpt Terminals C&D Redev, AMT | 5.00% | 10/01/40 | 1,279,579 | |
2,000,000 | NY St Transprtn Dev Corp Spl Fac Rev Delta Airls Inc LaGuardia Arpt Terminals C&D Redev, AMT | 4.38% | 10/01/45 | 1,956,692 | |
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 | 1,000,022 | |
3,695,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref John F. Kennedy Intl Arpt Proj, AMT | 5.25% | 08/01/31 | 3,887,737 | |
1,000,000 | NY St Transprtn Dev Corp Spl Fac Rev Sustainable Bond JFK Intl Arpt Terminal One Prj, AMT | 6.00% | 06/30/54 | 1,104,438 | |
500,000 | Oyster Bay NY, Ser A, AGM | 2.00% | 03/01/35 | 404,298 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
New York (Continued) | |||||
$2,810,000 | Tsasc Inc NY Tsasc Inc Rev Ref Turbo Sub, Ser B | 5.00% | 06/01/48 | $2,559,446 | |
100,000 | Westchester Cnty NY Loc Dev Corp Rev Ref Miriam Osborn Memorial Home Assn Proj | 5.00% | 07/01/34 | 104,522 | |
1,000,000 | Westchester Cnty NY Loc Dev Corp Rev Ref Pur Sr Learning Cmnty Inc Proj, Ser A (a) | 5.00% | 07/01/56 | 827,152 | |
460,000 | Westchester NY Tobacco Asset Securitization Ref Sr, Ser B | 5.00% | 06/01/41 | 471,833 | |
26,785,430 | |||||
North Carolina — 1.6% | |||||
3,300,000 | NC St Med Care Commn Hlth Care Facs Rev Lutheran Svcs for The Aging Ref, Ser A | 4.00% | 03/01/41 | 2,743,258 | |
500,000 | NC St Med Care Commn Hlth Care Facs Rev Ref Pennybyrn at Maryfield | 5.00% | 10/01/30 | 496,892 | |
1,940,000 | NC St Med Care Commn Retmnt Facs Rev Pennybyrn at Maryfield Proj, Ser A | 5.00% | 10/01/45 | 1,730,056 | |
2,850,000 | NC St Med Care Commn Retmnt Facs Rev Ref Southminster Inc | 5.00% | 10/01/37 | 2,677,626 | |
1,545,000 | NC St Med Care Commn Retmnt Facs Rev The Forest at Duke Proj | 4.00% | 09/01/46 | 1,255,954 | |
8,903,786 | |||||
North Dakota — 0.1% | |||||
520,000 | Horace ND Ref | 3.00% | 05/01/36 | 439,552 | |
Ohio — 3.5% | |||||
8,860,000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Class 2, Ser B-2 | 5.00% | 06/01/55 | 8,377,733 | |
900,000 | Cleveland Cuyahoga Cnty OH Port Auth Tax Incr Fing Rev Ref Sr Flats E Bank Proj, Ser A (a) | 4.00% | 12/01/55 | 746,585 | |
2,245,000 | Franklin Cnty OH Rev Trinity Hlth Credit Grp OH, Ser A | 5.00% | 12/01/47 | 2,300,107 | |
500,000 | Hamilton Cnty OH Hlth Care Rev Life Enriching Cmntys Proj, Ser A | 5.25% | 01/01/38 | 509,240 | |
500,000 | Hamilton Cnty OH Hlth Care Rev Life Enriching Cmntys Proj, Ser A | 5.50% | 01/01/43 | 512,000 | |
3,000,000 | OH St Air Quality Dev Auth Exempt Facs Rev AMG Vanadium Proj, AMT (a) | 5.00% | 07/01/49 | 2,730,962 | |
1,000,000 | OH St Hgr Eductnl Fac Commn Ref Rev Judson Oblig Grp 2020 Proj, Ser A | 5.00% | 12/01/45 | 933,215 | |
2,535,000 | OH St Hosp Rev Ref Var Univ Hosps Hlth Sys Inc, Ser C (e) | 4.85% | 01/15/51 | 2,535,000 | |
490,000 | Port of Gtr Cincinnati Dev Auth OH Rev (a) | 3.75% | 12/01/31 | 455,810 | |
19,100,652 | |||||
Oklahoma — 0.7% | |||||
2,500,000 | OK St Dev Fin Auth Sr OK Proton Ctr, Ser A1 (a) | 7.25% | 09/01/51 | 2,573,778 | |
1,165,000 | Tulsa Cnty OK Indl Auth Sr Living Cmnty Rev Ref Montereau Inc Proj | 5.25% | 11/15/37 | 1,172,846 | |
3,746,624 | |||||
Oregon — 1.2% | |||||
290,000 | Clackamas Cnty OR Hosp Fac Auth Rev Mary’s Woods at Marylhurst Inc Proj, Ser A | 5.00% | 05/15/26 | 287,329 | |
1,150,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A | 5.13% | 11/15/40 | 1,111,589 | |
2,250,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A | 5.38% | 11/15/55 | 2,081,109 | |
500,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Sr Living Willamette View Proj, Ser A | 5.00% | 11/15/37 | 493,593 | |
500,000 | OR St Facs Auth Rev Legacy Hlth Proj, Ser A | 4.13% | 06/01/52 | 480,771 | |
500,000 | Salem OR Hosp Fac Auth Rev Capital Manor Proj | 5.00% | 05/15/38 | 496,937 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Oregon (Continued) | |||||
$750,000 | Salem OR Hosp Fac Auth Rev Capital Manor Proj | 5.00% | 05/15/43 | $722,090 | |
750,000 | Union Cnty OR Hosp Fac Auth Grande Ronde Hosp | 5.00% | 07/01/42 | 767,595 | |
6,441,013 | |||||
Pennsylvania — 2.1% | |||||
300,000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network Obligted Grp Issue, Ser A | 5.00% | 04/01/32 | 320,727 | |
1,855,000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network Obligted Grp Issue, Ser A | 5.00% | 04/01/47 | 1,893,758 | |
500,000 | Allegheny Cnty PA Indl Dev Auth Envrnmtl Impt Rev Ref United States Steel Corp Proj | 4.88% | 11/01/24 | 500,928 | |
100,000 | Chester Cnty PA Indl Dev Auth Renaissance Acdmy Chrt Sch | 5.00% | 10/01/34 | 100,031 | |
250,000 | Lancaster Cnty PA Hosp Auth Hlthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/28 | 247,860 | |
1,110,000 | Lancaster Cnty PA Hosp Auth Hlthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/38 | 1,018,058 | |
250,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/38 | 226,309 | |
1,200,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/46 | 985,138 | |
1,655,000 | Montgomery Cnty PA Indl Dev Auth Exempt Facs Rev Var Constellation Energy Genration LLC Proj Ref, Ser C, AMT (Mandatory put 04/03/28) | 4.45% | 10/01/34 | 1,685,170 | |
1,000,000 | PA St Econ Dev Fing Auth Rev Ref Presbyterian Sr Living Prj, Ser B-2 | 5.25% | 07/01/46 | 1,035,708 | |
1,250,000 | PA St Econ Dev Fing Auth T/E Priv Activity Rev The Penndot Major Bridges Package One Proj P3 Proj, AMT | 5.25% | 06/30/35 | 1,426,010 | |
10,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/39 | 10,280 | |
1,000,000 | Philadelphia PA Arpt Rev Ref Priv Activity, AMT, AGM | 4.00% | 07/01/38 | 1,001,259 | |
850,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Philadelphia E&T Chrt High Sch, Ser A | 4.00% | 06/01/56 | 638,641 | |
215,000 | Philadelphia PA Auth for Indl Dev Revs Kipp Philadelphia Chrt Sch Proj, Ser A | 5.00% | 04/01/36 | 211,524 | |
125,000 | W Cornwall Twp PA Muni Auth Ref Lebanon Vly Brethren Home Proj, Ser A | 4.00% | 11/15/41 | 105,655 | |
11,407,056 | |||||
Puerto Rico — 3.0% | |||||
2,900,000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/33 | 2,820,003 | |
3,002,265 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/35 | 2,871,904 | |
3,202,267 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/41 | 2,930,466 | |
1,559,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.50% | 07/01/34 | 1,569,563 | |
1,000,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.55% | 07/01/40 | 1,003,614 | |
2,500,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2 | 4.33% | 07/01/40 | 2,490,632 | |
2,866,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured Converted, Ser A-2 | 4.33% | 07/01/40 | 2,855,260 | |
16,541,442 | |||||
Rhode Island — 0.5% | |||||
2,500,000 | Tobacco Stlmt Fing Corp RI Ref, Ser A | 5.00% | 06/01/40 | 2,517,968 | |
South Carolina — 0.8% | |||||
380,000 | Berkeley Cnty SC Assmnt Rev Nexton Impt Dist | 4.00% | 11/01/30 | 365,891 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
South Carolina (Continued) | |||||
$230,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 5.00% | 12/01/31 | $230,070 | |
2,000,000 | Lexington Cnty SC Hlth Svcs Dist Lexington Med Ctr | 5.00% | 11/01/41 | 2,044,816 | |
245,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at Furman | 4.00% | 11/15/32 | 229,062 | |
1,045,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at Furman | 5.25% | 11/15/47 | 975,068 | |
865,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Woodlands at Furman Proj, Ser A | 5.00% | 11/15/42 | 806,990 | |
4,651,897 | |||||
Tennessee — 0.8% | |||||
1,200,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/37 | 1,189,248 | |
2,500,000 | TN St Energy Acq Corp Gas Rev (Mandatory put 11/01/25) | 4.00% | 11/01/49 | 2,503,854 | |
800,000 | TN St Energy Acq Corp Gas Rev Var Ref Gas Proj, Ser A-1 (Mandatory put 05/01/28) | 5.00% | 05/01/53 | 831,771 | |
4,524,873 | |||||
Texas — 7.3% | |||||
1,200,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Legacy Trad Schs TX Proj, Ser A | 4.00% | 02/15/31 | 1,067,671 | |
1,000,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Legacy Trad Schs TX Proj, Ser A | 4.13% | 02/15/41 | 738,234 | |
2,000,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Var Basis TX Chrt Schs Inc (Mandatory put 06/15/26) (a) | 4.50% | 06/15/56 | 1,995,769 | |
2,000,000 | Austin TX Arpt Sys Rev, Ser B, AMT | 5.00% | 11/15/46 | 2,015,497 | |
1,410,000 | Cool Wtr Muni Util Dist TX, Ser A, BAM | 5.00% | 08/15/45 | 1,464,944 | |
556,000 | Crandall TX Spl Assmnt Rev Cartwright Ranch Pub Impt Dt Impt Area #1 Proj (a) | 4.25% | 09/15/41 | 485,689 | |
400,000 | Galveston TX Wharves & Terminal Rev Wharves & Terminal First Lien, AMT | 5.25% | 08/01/37 | 439,469 | |
250,000 | Galveston TX Wharves & Terminal Rev Wharves & Terminal First Lien, AMT | 5.25% | 08/01/38 | 272,299 | |
500,000 | Harris Cnty TX Indl Dev Corp Var Ref Energy Transfer Proj (Mandatory put 06/01/33) | 4.05% | 11/01/50 | 510,164 | |
1,025,000 | Haslet TX Spl Assmnt Rev Haslet Pub Impt Dist #5 Impt Area #1 (a) | 4.13% | 09/01/39 | 943,331 | |
2,500,000 | Houston TX Arpt Sys Rev Ref Subord Lien, Ser A, AMT, AGM | 5.25% | 07/01/48 | 2,707,901 | |
1,000,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Arpt Impt Proj, Ser C, AMT | 5.00% | 07/15/27 | 1,012,053 | |
1,250,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal E Proj, Ser A, AMT | 5.00% | 07/01/27 | 1,264,782 | |
1,460,000 | Houston TX Arpt Sys Rev United Airls Inc Terminal E Proj, Ser A, AMT | 4.00% | 07/01/41 | 1,323,149 | |
1,065,000 | Houston TX Arpt Sys Rev United Airls Inc Terminal Impt Proj, Ser B-1, AMT | 4.00% | 07/15/41 | 965,045 | |
450,000 | Justin TX Spl Assmnt Rev Timberbrook Pub Imp Dt #1 Imp Area #2 Proj (a) | 3.38% | 09/01/41 | 360,304 | |
690,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Area #4 (a) | 4.50% | 09/01/33 | 699,165 | |
250,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Impt Area #1 (a) | 4.13% | 09/01/29 | 246,345 | |
500,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Impt Area #1 (a) | 4.63% | 09/01/39 | 484,071 | |
155,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch (a) | 4.35% | 08/15/25 | 156,653 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Texas (Continued) | |||||
$1,000,000 | Liberty Hill TX Spl Assmnt Rev Butler Farms Pub Imp Dt Areas #1 and 2 Proj (a) | 3.38% | 09/01/42 | $786,564 | |
1,350,000 | Liberty Hill TX Spl Assmnt Rev Butler Farms Pub Imp Dt Areas #1 and 2 Proj (a) | 4.00% | 09/01/52 | 1,088,309 | |
1,410,000 | Matagorda Cnty TX Nav Dist #1 Ref AEP Tex Centrl Company Proj Remk, Ser B-2 | 4.00% | 06/01/30 | 1,408,969 | |
2,750,000 | N Parkway Muni Mgmt Dist #1 TX Spl Assmnt Rev Major Impts Proj (a) | 5.00% | 09/15/51 | 2,593,818 | |
285,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/32 | 277,544 | |
300,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/37 | 284,387 | |
600,000 | Newark Hgr Edu Fin Corp TX Edu Rev Hughen Ctr Inc Proj, Ser A, PSF-GTD | 5.00% | 08/15/42 | 668,997 | |
2,200,000 | Princeton TX Spl Assmnt Rev Whitewing Trails Pub Impr Dist #2 Phase 2 Proj Rev (a) | 5.13% | 09/01/43 | 2,200,086 | |
1,550,000 | Princeton TX Spl Assmnt Rev Winchester Pub Impr Dist #2 Proj (a) | 5.13% | 09/01/42 | 1,540,407 | |
223,000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp Dist Major Imp Area Proj (a) | 3.75% | 09/15/31 | 210,197 | |
500,000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp Dist Major Imp Area Proj (a) | 4.13% | 09/15/41 | 445,442 | |
765,000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp Dist Major Imp Area Proj (a) | 4.25% | 09/15/51 | 649,384 | |
1,000,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Cook Childrens Med Ctr | 5.00% | 12/01/44 | 1,000,288 | |
5,000,000 | TX St Muni Gas Acq & Sply Corp IV, Ser B (Mandatory put 01/01/34) | 5.50% | 01/01/54 | 5,597,345 | |
1,750,000 | TX St Priv Activity Bond Surface Transprtn Corp Rev Ref Sr Lien Bond Surface Transprtn Corp, AMT | 5.50% | 06/30/42 | 1,877,007 | |
250,000 | TX St Transprtn Commn Central TX Turnpike Sys Rev Ref, Ser B | 5.00% | 08/15/37 | 251,676 | |
40,032,955 | |||||
Utah — 2.6% | |||||
1,500,000 | Black Desert Pub Infra Dist Sr Bonds, Ser A (a) | 4.00% | 03/01/51 | 1,145,670 | |
500,000 | Downtown E Streetcar Swr Pub Infra Dist Sr Lien, Ser A (a) | 5.75% | 03/01/42 | 504,952 | |
2,000,000 | Jordanelle Ridge Pub Infra Structure Dist #2 UT, Ser A (a) | 7.75% | 03/01/54 | 2,037,820 | |
1,000,000 | Med Sch Cmps Pub Infra Dist UT, Ser A (a) | 5.25% | 02/01/40 | 896,788 | |
1,000,000 | Mida Golf & Equestrian Ctr Pub Infra Dist UT Ltd (a) | 4.25% | 06/01/41 | 789,881 | |
3,000,000 | Mida Golf & Equestrian Ctr Pub Infra Dist UT Ltd (a) | 4.63% | 06/01/57 | 2,171,992 | |
3,000,000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-2 | 4.00% | 06/01/52 | 2,245,508 | |
500,000 | Red Bridge Pub Infra Dist #1 UT Sr Infra Dist, Ser 1-A (a) | 4.13% | 02/01/41 | 402,171 | |
1,500,000 | Red Bridge Pub Infra Dist #1 UT Sr Infra Dist, Ser 1-A (a) | 4.38% | 02/01/51 | 1,166,933 | |
475,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Mountain W Montessori Acdmy Proj, Ser A (a) | 5.00% | 06/15/39 | 443,069 | |
675,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner Acdmy Proj, Ser A (a) | 5.00% | 06/15/39 | 633,580 | |
1,605,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner Acdmy, Ser A (a) | 5.63% | 06/15/42 | 1,597,607 | |
14,035,971 | |||||
Virginia — 1.8% | |||||
2,500,000 | Botetourt Cnty VA Rsdl Care Fac Rev Ref Glebe Inc, Ser A | 6.00% | 07/01/44 | 2,502,735 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Virginia (Continued) | |||||
$600,000 | Henrico Cnty VA Econ Dev Auth Rsdl Care Fac Rev Ref Lifespire of VA, Ser C | 5.00% | 12/01/47 | $592,551 | |
2,000,000 | VA Small Busn Fing Auth Priv Activity Rev Sr Transform 66 P3 Proj, AMT | 5.00% | 12/31/49 | 2,016,117 | |
1,000,000 | VA St Small Bus Fing Auth Rev Ref Sr Lien 95 Express Lanes LLC Proj, AMT | 5.00% | 01/01/38 | 1,077,415 | |
750,000 | VA St Small Busn Fing Auth Rsdl Fac Care Rev Ref Lifespire of VA | 4.00% | 12/01/31 | 735,627 | |
1,000,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/29 | 1,025,444 | |
2,000,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Westminster Canterbury on Chesapeake Bay, Ser A | 7.00% | 09/01/53 | 2,170,801 | |
10,120,690 | |||||
Washington — 1.7% | |||||
2,000,000 | Port of Seattle WA Rev Ref Intermediate Lein Priv Activity, Ser C, AMT | 5.00% | 08/01/46 | 2,101,677 | |
1,000,000 | Port of Seattle WA Rev Ref Intermediate Lien Priv Activity, Ser C, AMT | 5.00% | 08/01/39 | 1,069,398 | |
1,950,000 | Skagit Cnty WA Pub Hosp Dist #1 (g) | 5.50% | 12/01/54 | 2,062,566 | |
875,000 | WA St Hgr Edu Facs Auth Seattle Univ Proj Rev | 4.00% | 05/01/45 | 838,109 | |
1,500,000 | WA St Hsg Fin Commn Nonprofit Hsg Rev Ref Emerald Heights Proj, Ser A | 5.00% | 07/01/43 | 1,544,577 | |
710,000 | WA St Hsg Fin Commn Nonprofit Rev Spokane Int Acad Proj, Ser A (a) | 5.00% | 07/01/50 | 648,846 | |
960,608 | WA St Hsg Fin Commn Sustainable Ctf, Ser A-1 | 3.50% | 12/20/35 | 905,367 | |
9,170,540 | |||||
West Virginia — 1.1% | |||||
750,000 | Monongalia Cnty WV Commn TX Incr Rev Ref Dev Dist #4 Univ Twn Centre, Ser A (a) | 5.00% | 06/01/33 | 778,059 | |
500,000 | Monongalia Cnty WV Commn TX Incr Rev Ref Dev Dist #4 Univ Twn Centre, Ser A (a) | 5.75% | 06/01/43 | 531,450 | |
2,000,000 | S Charleston WV Spl Dist Excise Tax Ref S Charleston Park Place Proj, Ser A (d) | 4.50% | 06/01/50 | 1,580,784 | |
1,000,000 | WV St Econ Dev Auth Sol Wst Disp Facs Var Arch Res Proj, AMT (Mandatory put 07/01/25) | 4.13% | 07/01/45 | 995,020 | |
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 | 1,004,477 | |
1,050,000 | WV St Hosp Fin Auth Vandalia Hlth Grp, Ser B, AGM | 5.50% | 09/01/48 | 1,167,025 | |
6,056,815 | |||||
Wisconsin — 4.5% | |||||
1,600,000 | Pub Fin Auth WI Chrt Sch Rev American Prep Acdmy Las Vegas 2 Proj, Ser A (a) | 5.00% | 07/15/54 | 1,442,145 | |
445,000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (a) | 4.00% | 06/15/30 | 432,537 | |
810,000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (a) | 5.00% | 06/15/40 | 795,743 | |
685,000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (a) | 5.00% | 06/15/54 | 633,720 | |
475,000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas Proj, Ser A (a) | 4.00% | 07/01/30 | 445,465 | |
300,000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas Proj, Ser A (a) | 6.38% | 07/01/43 | 307,896 | |
1,300,000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas Proj, Ser A (a) | 5.00% | 07/01/55 | 1,088,393 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Wisconsin (Continued) | |||||
$550,000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas Proj, Ser A (a) | 6.75% | 07/01/58 | $567,394 | |
405,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las Vegas Proj, Ser A (a) | 4.20% | 07/15/27 | 399,620 | |
375,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las Vegas Proj, Ser A (a) | 5.13% | 07/15/37 | 376,577 | |
1,000,000 | Pub Fin Auth WI Edu Rev Coral Acdmy Science Las Vegas, Ser A | 5.00% | 07/01/43 | 978,852 | |
1,500,000 | Pub Fin Auth WI Edu Rev Coral Acdmy Science Las Vegas, Ser A | 5.00% | 07/01/45 | 1,431,023 | |
500,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/37 | 500,430 | |
200,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/52 | 189,131 | |
1,140,000 | Pub Fin Auth WI Edu Rev Triad Eductnl Svcs Inc | 5.00% | 06/15/42 | 1,108,013 | |
1,175,000 | Pub Fin Auth WI Edu Rev Triad Eductnl Svcs Inc, Ser A | 4.00% | 06/15/41 | 1,018,202 | |
160,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/27 | 162,806 | |
1,500,000 | Pub Fin Auth WI Hosp Rev Ref Carson Vly Med Ctr, Ser A (a) | 4.00% | 12/01/41 | 1,309,264 | |
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 | 1,038,089 | |
1,335,000 | Pub Fin Auth WI Retmnt Cmntys Rev Acts Retmnt Life Cmntys Inc Oblig Grp, Ser A | 5.00% | 11/15/41 | 1,392,606 | |
2,000,000 | Pub Fin Auth WI Rev Sr Proton Intl AR LLC, Ser A (d) | 6.85% | 01/01/51 | 1,483,359 | |
1,000,000 | Pub Fin Auth WI Rev Unrefunded Roseman Univ Hlth Sciences Proj (a) | 4.00% | 04/01/42 | 832,040 | |
1,215,000 | Pub Fin Auth WI Sr Living Rev Ref Mary’s Woods at Marylhurst Proj, Ser A (a) | 5.00% | 05/15/31 | 1,191,671 | |
1,275,000 | Pub Fin Auth WI Sr Living Rev Ref Mary’s Woods at Marylhurst Proj, Ser A (a) | 5.00% | 05/15/32 | 1,246,174 | |
1,225,000 | Pub Fin Auth WI Sr Living Rev Ref Mary’s Woods at Marylhurst Proj, Ser A (a) | 5.25% | 05/15/47 | 1,110,412 | |
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 | 1,902,359 | |
1,000,000 | WI St Hlth & Eductnl Facs Auth Rev Bellin Memorial Hosp Inc, Ser A | 5.50% | 12/01/52 | 1,098,604 | |
24,482,525 | |||||
Total Investments — 96.8% | 529,741,391 | ||||
(Cost $529,470,055) | |||||
Net Other Assets and Liabilities — 3.2% | 17,775,602 | ||||
Net Assets — 100.0% | $547,516,993 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value |
U.S. 10-Year Treasury Notes | Short | 28 | Mar-2024 | $(3,145,188 ) | $(29,750 ) |
Ultra 10-Year U.S. Treasury Notes | Short | 68 | Mar-2024 | (7,947,500 ) | (169,000 ) |
$(11,092,688 ) | $(198,750 ) |
(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, 2024, securities noted as such amounted to $144,145,886 or 26.3% of net assets. |
(b) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(c) | This issuer is in default and interest is not being accrued by the Fund. |
(d) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2D - Restricted Securities in the Notes to Financial Statements). |
(e) | Variable rate demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(f) | Zero coupon security. |
(g) | When-issued security. The interest rate shown reflects the rate in effect at January 31, 2024. Interest will begin accruing on the security’s first settlement date. |
Abbreviations throughout the Portfolio of Investments: | |
AGM | – Assured Guaranty Municipal Corp. |
AMT | – Alternative Minimum Tax |
BAM | – Build America Mutual |
CABS | – Capital Appreciation Bonds |
COPS | – Certificates of Participation |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 1/31/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $529,741,391 | $— | $529,741,391 | $— |
LIABILITIES TABLE | ||||
Total Value at 1/31/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts** | $(198,750 ) | $(198,750 ) | $— | $— |
* | 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 | $529,741,391 |
Cash | 9,825,901 |
Cash segregated as collateral for open futures contracts | 315,808 |
Receivables: | |
Capital shares sold | 11,958,297 |
Interest | 5,529,557 |
Total Assets | 557,370,954 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 9,471,249 |
Investment advisory fees | 311,259 |
Variation margin | 71,453 |
Total Liabilities | 9,853,961 |
NET ASSETS | $547,516,993 |
NET ASSETS consist of: | |
Paid-in capital | $582,854,539 |
Par value | 114,500 |
Accumulated distributable earnings (loss) | (35,452,046 ) |
NET ASSETS | $547,516,993 |
NET ASSET VALUE, per share | $47.82 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 11,450,002 |
Investments, at cost | $529,470,055 |
INVESTMENT INCOME: | |
Interest | $11,286,502 |
Total investment income | 11,286,502 |
EXPENSES: | |
Investment advisory fees | 1,618,620 |
Total expenses | 1,618,620 |
NET INVESTMENT INCOME (LOSS) | 9,667,882 |
NET REALIZED AND UNREALIZED GAIN (LOSS): | |
Net realized gain (loss) on: | |
Investments | (1,996,120 ) |
Futures contracts | 459,941 |
Net realized gain (loss) | (1,536,179 ) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | 13,682,790 |
Futures contracts | (329,332 ) |
Net change in unrealized appreciation (depreciation) | 13,353,458 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 11,817,279 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $21,485,161 |
Six Months Ended 1/31/2024 (Unaudited) | Year Ended 7/31/2023 | |
OPERATIONS: | ||
Net investment income (loss) | $9,667,882 | $12,857,943 |
Net realized gain (loss) | (1,536,179 ) | (14,661,583 ) |
Net change in unrealized appreciation (depreciation) | 13,353,458 | 469,999 |
Net increase (decrease) in net assets resulting from operations | 21,485,161 | (1,333,641 ) |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||
Investment operations | (9,471,977 ) | (12,644,552 ) |
Return of capital | — | (178,777 ) |
Total distributions to shareholders | (9,471,977 ) | (12,823,329 ) |
SHAREHOLDER TRANSACTIONS: | ||
Proceeds from shares sold | 144,578,958 | 198,607,434 |
Cost of shares redeemed | (18,402,713 ) | (114,077,874 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | 126,176,245 | 84,529,560 |
Total increase (decrease) in net assets | 138,189,429 | 70,372,590 |
NET ASSETS: | ||
Beginning of period | 409,327,564 | 338,954,974 |
End of period | $547,516,993 | $409,327,564 |
CHANGES IN SHARES OUTSTANDING: | ||
Shares outstanding, beginning of period | 8,700,002 | 6,900,002 |
Shares sold | 3,150,000 | 4,250,000 |
Shares redeemed | (400,000 ) | (2,450,000 ) |
Shares outstanding, end of period | 11,450,002 | 8,700,002 |
Six Months Ended 1/31/2024 (Unaudited) | Year Ended July 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Net asset value, beginning of period | $47.05 | $49.12 | $56.69 | $51.93 | $52.48 | $50.32 |
Income from investment operations: | ||||||
Net investment income (loss) | 0.97 (a) | 1.82 (a) | 1.50 | 1.59 | 1.64 | 1.69 |
Net realized and unrealized gain (loss) | 0.74 | (2.08 ) | (7.50 ) | 4.83 (b) | (0.48 ) | 2.27 |
Total from investment operations | 1.71 | (0.26 ) | (6.00 ) | 6.42 | 1.16 | 3.96 |
Distributions paid to shareholders from: | ||||||
Net investment income | (0.94 ) | (1.78 ) | (1.49 ) | (1.59 ) | (1.62 ) | (1.67 ) |
Return of capital | — | (0.03 ) | (0.08 ) | (0.07 ) | (0.09 ) | (0.13 ) |
Total distributions | (0.94 ) | (1.81 ) | (1.57 ) | (1.66 ) | (1.71 ) | (1.80 ) |
Net asset value, end of period | $47.82 | $47.05 | $49.12 | $56.69 | $51.93 | $52.48 |
Total return (c) | 3.73 % | (0.44 )% | (10.74 )% | 12.57 % (b) | 2.25 % | 8.05 % |
Ratios to average net assets/supplemental data: | ||||||
Net assets, end of period (in 000’s) | $547,517 | $409,328 | $338,955 | $283,461 | $111,650 | $62,979 |
Ratio of total expenses to average net assets | 0.70 % (d) | 0.70 % | 0.70 % | 0.70 % | 0.70 % | 0.70 % |
Ratio of net expenses to average net assets | 0.70 % (d) | 0.65 % | 0.55 % | 0.55 % | 0.55 % | 0.55 % |
Ratio of net investment income (loss) to average net assets | 4.18 % (d) | 3.88 % | 2.87 % | 3.00 % | 3.22 % | 3.44 % |
Portfolio turnover rate (e) | 14 % | 69 % | 79 % | 19 % | 89 % | 71 % |
(a) | Based on average shares outstanding. |
(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. |
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 | $100.19 | $201,165 | $200,380 | 0.04 % |
Polk Cnty FL Indl Dev Auth Mineral Dev LLC Secondary Phosphate Tailings Recovery Proj, 5.88%, 01/01/33 | 10/23/20 | 1,000,000 | 96.51 | 1,000,000 | 965,106 | 0.17 |
Pub Fin Auth WI Rev Sr Proton Intl AR LLC, Ser A, 6.85%, 01/01/51 | 12/17/21 | 2,000,000 | 74.17 | 1,963,811 | 1,483,359 | 0.27 |
S Charleston WV Spl Dist Excise Tax Ref S Charleston Park Place Proj, Ser A, 4.50%, 06/01/50 | 01/14/22 | 2,000,000 | 79.04 | 2,006,018 | 1,580,784 | 0.29 |
$5,170,994 | $4,229,629 | 0.77 % |
Distributions paid from: | |
Ordinary income | $122,735 |
Capital gains | — |
Tax-exempt income | 12,521,817 |
Return of capital | 178,777 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (33,632,415 ) |
Net unrealized appreciation (depreciation) | (13,832,815 ) |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) |
$529,470,055 | $14,059,543 | $(13,986,957 ) | $72,586 |
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* | $198,750 |
* | Includes cumulative appreciation/depreciation on futures contracts as reported in the Fund’s Portfolio of Investments. Only the current day’s variation margin is presented on the Statement of Assets and Liabilities. |
Statement of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $459,941 |
Net change in unrealized appreciation (depreciation) on futures contracts | (329,332 ) |
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
Semi-Annual Report |
For the Six Months Ended January 31, 2024 |
First Trust Short Duration Managed Municipal ETF (FSMB) |
First Trust Ultra Short Duration Municipal ETF (FUMB) |
Semi-Annual Report
January 31, 2024
2 | |
3 | |
5 | |
7 | |
8 | |
9 | |
10 | |
28 | |
36 | |
37 | |
38 | |
39 | |
41 | |
48 |
Semi-Annual Letter from the Chairman and CEO
January 31, 2024
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
6 Months Ended 1/31/24 | 1 Year Ended 1/31/24 | 5 Years Ended 1/31/24 | Inception (11/1/18) to 1/31/24 | 5 Years Ended 1/31/24 | Inception (11/1/18) to 1/31/24 | |
Fund Performance | ||||||
NAV | 2.12% | 2.19% | 1.53% | 1.73% | 7.89% | 9.44% |
Market Price | 2.37% | 2.34% | 1.61% | 1.77% | 8.32% | 9.66% |
Index Performance | ||||||
Bloomberg Municipal Short (1-5) Year Index | 2.13% | 2.03% | 1.27% | 1.54% | 6.50% | 8.36% |
Bloomberg Municipal Bond Index | 2.70% | 2.90% | 2.00% | 2.51% | 10.38% | 13.90% |
Sector Allocation | % of Total Investments (including cash) |
Utility | 12.4% |
Hospital | 10.7 |
Gas | 9.5 |
Insured | 9.0 |
Government Obligation Bond - Unlimited Tax | 7.6 |
Industrial Development Bond | 7.1 |
Airport | 6.1 |
Certificates of Participation | 5.2 |
Special Assessment | 4.6 |
Local Housing | 3.6 |
Higher Education | 3.6 |
Pre-refunded/Escrowed-to-maturity | 3.6 |
Continuing Care Retirement Communities | 3.2 |
Dedicated Tax | 2.5 |
Toll Road | 2.4 |
Water & Sewer | 2.1 |
Government Obligation Bond - Limited Tax | 1.8 |
Education | 1.5 |
Port | 1.3 |
Housing | 1.1 |
Mass Transit | 0.3 |
Tax Increment | 0.3 |
Tobacco | 0.2 |
Student Loan | 0.1 |
Student Housing | 0.0(1) |
Cash | 0.2 |
Total | 100.0% |
Credit Quality(2) | % of Total Investments (including cash) |
AAA | 11.6% |
AA | 35.5 |
A | 29.0 |
BBB | 11.1 |
BB | 3.4 |
B | 0.5 |
Not Rated | 7.5 |
SP-1+ (short-term) | 0.2 |
SP-1/MIG1 (short-term) | 1.0 |
Cash | 0.2 |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
(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. |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
6 Months Ended 1/31/24 | 1 Year Ended 1/31/24 | 5 Years Ended 1/31/24 | Inception (11/1/18) to 1/31/24 | 5 Years Ended 1/31/24 | Inception (11/1/18) to 1/31/24 | |
Fund Performance | ||||||
NAV | 1.80% | 2.88% | 1.30% | 1.38% | 6.69% | 7.45% |
Market Price | 1.80% | 2.89% | 1.32% | 1.37% | 6.80% | 7.40% |
Index Performance | ||||||
Bloomberg Municipal Short-Term Index | 1.83% | 3.16% | 1.42% | 1.47% | 7.30% | 7.96% |
Bloomberg Municipal Bond Index | 2.70% | 2.90% | 2.00% | 2.51% | 10.38% | 13.90% |
Sector Allocation | % of Total Investments (including cash) |
Pre-refunded/Escrowed-to-maturity | 13.9% |
Government Obligation Bond - Unlimited Tax | 12.0 |
Water & Sewer | 9.1 |
Industrial Development Bond | 8.6 |
Dedicated Tax | 7.6 |
Insured | 7.3 |
Certificates of Participation | 7.2 |
Hospital | 5.8 |
Gas | 4.5 |
Utility | 4.5 |
Airport | 4.4 |
Local Housing | 4.0 |
Government Obligation Bond - Limited Tax | 3.5 |
Port | 1.0 |
Toll Road | 0.9 |
Other Revenue | 0.9 |
Education | 0.9 |
Higher Education | 0.9 |
Housing | 0.9 |
Special Assessment | 0.5 |
Continuing Care Retirement Communities | 0.3 |
Student Loan | 0.0(1) |
Cash | 1.3 |
Total | 100.0% |
Credit Quality(2) | % of Total Investments (including cash) |
AAA | 19.6% |
AA | 40.0 |
A | 18.6 |
BBB | 4.8 |
BB | 0.5 |
B | 0.4 |
Not Rated | 2.0 |
SP-1+ (short-term) | 6.5 |
SP-1/MIG1 (short-term) | 6.3 |
Cash | 1.3 |
Total | 100.0% |
(1) | Amount is less than 0.1%. |
(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. |
Johnathan N. Wilhelm, Senior Vice President, Senior Portfolio Manager
Beginning Account Value August 1, 2023 | Ending Account Value January 31, 2024 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Short Duration Managed Municipal ETF (FSMB) | ||||
Actual | $1,000.00 | $1,021.20 | 0.55% | $2.79 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.37 | 0.55% | $2.80 |
First Trust Ultra Short Duration Municipal ETF (FUMB) | ||||
Actual | $1,000.00 | $1,018.00 | 0.45% | $2.28 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.87 | 0.45% | $2.29 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (August 1, 2023 through January 31, 2024), multiplied by 184/366 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS — 98.8% | |||||
Alabama — 4.3% | |||||
$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 | $130,302 | |
1,035,000 | Black Belt Energy Gas Dist AL Gas Proj Rev Bonds Proj No. 7, Ser C-1 (Mandatory put 12/01/26) | 4.00% | 10/01/52 | 1,036,878 | |
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 | 490,889 | |
1,000,000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 (Mandatory put 06/01/29) | 5.25% | 02/01/53 | 1,066,775 | |
1,165,000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 | 5.25% | 12/01/27 | 1,230,447 | |
1,500,000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser E | 5.00% | 06/01/26 | 1,542,685 | |
100,000 | Greenville AL Pub Impt Cooperative Pub Impt Rev Greenville Funding, BAM | 5.00% | 03/01/25 | 102,005 | |
1,000,000 | Hlth Care Auth for Baptist Hlth AL Ref Affiliate of UAB Hlth Sys, Ser A | 5.00% | 11/15/29 | 1,093,763 | |
500,000 | Infirmary Hlth Sys AL Spl Care Facs Fing Auth Rev Infirmary Hlth Sys Inc, Ser A | 5.00% | 02/01/36 | 512,924 | |
2,000,000 | Jefferson Cnty AL Swr Rev Warrants Ref Warrants | 5.00% | 10/01/30 | 2,240,476 | |
2,470,000 | Lower AL Gas Dist Gas Proj Rev Bonds Proj 2 (Mandatory put 12/01/25) | 4.00% | 12/01/50 | 2,472,785 | |
300,000 | Midcity Impt Dist AL Spl Assmnt Rev | 3.88% | 11/01/27 | 282,787 | |
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 | 1,335,474 | |
2,000,000 | SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A (Mandatory put 10/01/28) | 4.00% | 11/01/51 | 1,996,945 | |
500,000 | SE Energy Auth AL Cmdy Sply Rev Proj No. 3, Ser A-1 | 5.00% | 12/01/26 | 518,110 | |
2,000,000 | Selma AL Indl Dev Brd Rev Var Ref Intl Paper Company Proj, Ser A (Mandatory put 10/01/24) | 2.00% | 11/01/33 | 1,971,312 | |
18,024,557 | |||||
Arizona — 1.7% | |||||
500,000 | AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj, Ser B (a) | 5.00% | 07/01/29 | 505,784 | |
155,000 | AZ St Indl Dev Auth Edu Rev Jerome Fac Proj Sustainable Bonds, Ser B | 5.00% | 07/01/27 | 159,826 | |
155,000 | AZ St Indl Dev Auth Edu Rev Jerome Fac Proj Sustainable Bonds, Ser B | 5.00% | 07/01/29 | 160,365 | |
1,180,000 | AZ St Indl Dev Auth Edu Rev Pinecrest Acdmy Horizon Inspirada & St Rose Cmps, Ser A (a) | 5.00% | 07/15/28 | 1,195,717 | |
125,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (a) | 5.00% | 07/01/26 | 125,708 | |
230,000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (a) | 4.00% | 07/15/26 | 226,046 | |
500,000 | AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan FD Equitable Sch Revolving Fund Sustainable Bonds, Ser A | 4.00% | 11/01/27 | 504,954 | |
310,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 11/01/25 | 320,702 | |
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 | 1,293,879 | |
1,000,000 | Coconino Cnty AZ Poll Controlcorp Var Ref NV Pwr Co Proj Remk, Ser B (Mandatory put 03/31/26) | 3.75% | 03/01/39 | 999,165 | |
95,000 | Glendale AZ Indl Dev Auth Sr Living Facs Rev Ref Royal Oaks Life Care Cmnty | 4.00% | 05/15/29 | 89,868 | |
580,000 | Phoenix AZ Indl Dev Auth Edu Rev Ref Basis Sch (a) | 5.00% | 07/01/35 | 582,487 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Arizona (Continued) | |||||
$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 | $670,313 | |
280,000 | Santa Cruz Cnty AZ Pledged Rev Ref, AGM | 4.00% | 07/01/34 | 285,583 | |
7,120,397 | |||||
California — 4.3% | |||||
200,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable Bond, Ser A-1 | 4.00% | 02/01/24 | 200,000 | |
250,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable Bond, Ser A-1 | 4.00% | 08/01/24 | 250,464 | |
350,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable Bond, Ser A-1 (Mandatory put 08/01/28) | 4.00% | 05/01/53 | 352,287 | |
1,500,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable Bond, Ser B-1 (Mandatory put 08/01/31) | 4.00% | 02/01/52 | 1,514,052 | |
1,000,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Sustainable Bond, Ser B-1 (Mandatory put 08/01/29) | 5.00% | 07/01/53 | 1,059,789 | |
50,000 | CA St Enterprise Dev Auth Stdt Hsg Rev M@College Proj, Ser A | 5.00% | 08/01/24 | 50,214 | |
605,000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A | 4.00% | 03/01/33 | 605,146 | |
385,000 | CA St Hlth Facs Fing Auth Rev El Camino Hosp | 5.00% | 02/01/33 | 408,165 | |
1,250,000 | CA St Hlth Facs Fing Auth Rev Initial Entrance Fees, Ser A | 3.85% | 11/15/27 | 1,253,730 | |
1,160,000 | CA St Hlth Facs Fing Auth Rev Var Ref Stanford Hlth Care, Ser A (Mandatory put 08/15/25) | 3.00% | 08/15/54 | 1,158,896 | |
1,350,000 | CA St Infra & Econ Dev Bank Rev Brightline E Passenger Rail Proj Remk, Ser A, AMT (Mandatory put 01/30/25) (a) (b) | 3.95% | 01/01/50 | 1,350,127 | |
525,000 | CA St Muni Fin Auth Mobile Home Park Rev Ref Sr Caritas Projs, Ser A | 5.00% | 08/15/25 | 534,358 | |
100,000 | CA St Muni Fin Auth Ref Palomar Hlth, Ser A, AGM, COPS | 5.00% | 11/01/27 | 107,444 | |
1,000,000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 999,847 | |
1,000,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Waste Mgmt Inc, Ser B-1, AMT | 3.00% | 11/01/25 | 994,580 | |
455,000 | CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies Oceanside Proj, Ser A (a) | 4.00% | 10/01/27 | 449,732 | |
50,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/24 | 50,000 | |
80,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/25 | 80,137 | |
355,000 | CA St Stwd Cmntys Dev Auth Stwd Rev Dev Auth, Ser 2021A | 4.00% | 09/02/25 | 354,265 | |
100,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 4.00% | 09/01/26 | 100,764 | |
200,000 | Long Beach CA Arpt Rev Ref, Ser A, AGM | 5.00% | 06/01/26 | 211,004 | |
1,490,000 | Los Angeles CA Dept of Arpts Arpt Rev Sub Los Angeles Intl Arpt, Ser B, AMT | 5.00% | 05/15/26 | 1,543,999 | |
730,000 | Los Angeles CA Dept of Arpts Arpt Rev Subord Ref, Ser A, AMT | 5.00% | 05/15/29 | 793,111 | |
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 | 97,511 | |
90,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Rev Grantline 208 Cmnty Fac Dt #2018-1 | 3.00% | 09/01/24 | 89,403 | |
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 | 158,058 | |
60,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 3.00% | 09/01/24 | 59,365 | |
70,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 3.00% | 09/01/25 | 68,316 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
California (Continued) | |||||
$85,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 4.00% | 09/01/26 | $85,110 | |
65,000 | San Diego CA Unif Sch Dist Ref Election 1998, Ser C-2, AGM | 5.50% | 07/01/25 | 67,639 | |
100,000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord Ref, Ser A | 5.00% | 07/01/24 | 100,861 | |
140,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref, 2nd Ser, Ser A | 4.00% | 05/01/26 | 143,957 | |
200,000 | San Francisco CA City & Cnty Dev Spl Tax Dist No Mission Rock Fac and Svcs, Ser A (a) | 4.00% | 09/01/26 | 200,390 | |
400,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021 | 4.00% | 09/01/26 | 401,491 | |
175,000 | San Luis Obispo CA Cmnty Facs Dist #2019-1 Spl Tax | 4.00% | 09/01/25 | 175,300 | |
100,000 | San Luis Obispo CA Cmnty Facs Dist #2019-1 Spl Tax | 4.00% | 09/01/26 | 100,617 | |
1,500,000 | Sanger CA Fing Auth Wstwtr Rev Ref, AGM (Pre-refunded maturity 06/15/24) | 5.00% | 06/15/34 | 1,540,321 | |
225,000 | Western Placer Wst Mgmt Auth CA Solid Wst Rev Landfill Impt Proj, Ser B | 5.00% | 06/01/34 | 243,527 | |
17,953,977 | |||||
Colorado — 2.3% | |||||
500,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp (a) | 5.00% | 12/15/28 | 508,345 | |
110,000 | CO St Eductnl & Cultural Facs Auth Rev Ref Chrt Sch Stargate Chrt Sch Proj, Ser A | 5.00% | 12/01/25 | 112,916 | |
400,000 | CO St Hlth Facs Auth Rev Commonspirit Hlth Oblig Grp, Ser A | 5.00% | 11/01/26 | 416,504 | |
1,000,000 | CO St Hlth Facs Auth Rev Ref Frasier Meadows Retmnt Cmnty Proj, Ser A | 5.25% | 05/15/30 | 1,024,137 | |
125,000 | CO St Hlth Facs Auth Rev Var Ref Intermountain Hlthcare, Ser B (Mandatory put 08/17/26) | 5.00% | 05/15/62 | 130,569 | |
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 | 2,173,672 | |
1,000,000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/31 | 1,064,441 | |
1,000,000 | Denver City & Cnty CO Arpt Rev Sub Sys, Ser B | 5.00% | 11/15/43 | 1,000,579 | |
1,000,000 | Denver City & Cnty CO Arpt Rev Var Ref, Ser B2, AMT (Mandatory put 11/15/25) | 5.00% | 11/15/31 | 1,024,172 | |
770,000 | Denver City & Cnty CO Arpt Rev, Ser A, AMT | 5.00% | 11/15/25 | 791,574 | |
1,000,000 | Denver City & Cnty CO Arpt Rev, Ser A, AMT | 5.00% | 11/15/26 | 1,045,776 | |
270,000 | Gold Hill Mesa Met Dist #2 CO Ltd Tax & Spl Rev Ref, Ser A, BAM | 5.00% | 12/01/25 | 277,301 | |
9,569,986 | |||||
Connecticut — 2.3% | |||||
215,000 | CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare, Ser A | 5.00% | 07/01/30 | 235,434 | |
50,000 | CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare, Ser E | 5.00% | 07/01/25 | 50,343 | |
170,000 | CT St Hlth & Eductnl Facs Auth Rev Ref St Supported Child Care | 5.00% | 07/01/29 | 175,568 | |
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 | 97,052 | |
1,500,000 | CT St Hlth & Eductnl Facs Auth Rev Var Remk, Ser A (Mandatory put 02/10/26) | 2.80% | 07/01/48 | 1,493,117 | |
365,000 | CT St Spl Tax Oblig Rev Ref Transprtn Infra, Ser B | 5.00% | 08/01/27 | 376,070 | |
2,000,000 | CT St Spl Tax Oblig Rev Transprtn Infra, Ser A | 5.00% | 09/01/30 | 2,108,007 | |
140,000 | CT St Spl Tax Oblig Rev, Ser B | 5.00% | 10/01/27 | 151,697 | |
235,000 | CT St Sustainable Bond, Ser F | 5.00% | 10/15/30 | 248,258 | |
1,000,000 | CT St, Ser B | 5.00% | 06/15/25 | 1,027,642 | |
1,000,000 | CT St, Ser D | 4.00% | 08/15/29 | 1,024,132 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Connecticut (Continued) | |||||
$1,500,000 | E Hartford CT Hsg Auth Multifamily Hsg Rev Var Summerfield Townhouses Proj, Ser A (Mandatory put 02/01/25) | 4.25% | 02/01/27 | $1,503,200 | |
970,000 | Univ of CT CT, Ser A | 5.00% | 11/01/26 | 1,028,337 | |
25,000 | Univ of CT CT, Ser A | 5.00% | 11/01/35 | 27,427 | |
9,546,284 | |||||
District of Columbia — 0.3% | |||||
1,060,000 | Met Washington DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.00% | 10/01/30 | 1,136,525 | |
250,000 | Met Washington DC Arpts Auth Arpt Sys Rev Ref, Ser B, AMT | 5.00% | 10/01/25 | 256,650 | |
1,393,175 | |||||
Florida — 8.0% | |||||
110,000 | Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/24 | 109,320 | |
200,000 | Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/25 | 197,429 | |
105,000 | Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/26 | 103,226 | |
1,165,000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Assmt Area 3A (a) | 4.50% | 11/01/29 | 1,177,481 | |
380,000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, Ser 2021 | 2.38% | 05/01/26 | 363,388 | |
215,000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, Ser 2022 | 4.13% | 05/01/27 | 213,507 | |
160,000 | Berry Bay CDD FL Spl Assmnt Rev Assmnt Area One | 2.63% | 05/01/26 | 154,046 | |
645,000 | Berry Bay CDD FL Spl Assmnt Rev Assmnt Area One | 3.13% | 05/01/31 | 588,767 | |
205,000 | Black Creek FL CDD Spl Assmnt Expansion Area Proj | 4.80% | 06/15/27 | 206,637 | |
1,125,000 | Broward Cnty FL Arpt Sys Rev, Ser A, AMT | 5.25% | 10/01/24 | 1,126,737 | |
400,000 | Broward Cnty FL Port Facs Rev, AMT | 5.00% | 09/01/24 | 403,441 | |
1,000,000 | Broward Cnty FL Port Facs Rev Sr Bond, Ser B, AMT | 5.00% | 09/01/28 | 1,063,893 | |
460,000 | Cross Creek N CDD FL Spl Assmnt, Ser 2022 | 3.40% | 05/01/27 | 452,332 | |
810,000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area Two | 3.00% | 05/01/27 | 770,580 | |
160,000 | Epperson N CDD FL Capital Impt Rev Assmnt Area Three, Ser A | 2.45% | 11/01/26 | 151,971 | |
400,000 | Escambia Cnty FL Envrnmntl Impt Rev Var Ref Intl Paper Company Proj, Ser B (Mandatory put 10/01/24) | 2.00% | 11/01/33 | 394,262 | |
500,000 | FL St Dept Gen Svcs Div Facs Mgmt Rev Ref FL Facs Pool, Ser A | 4.00% | 09/01/30 | 523,911 | |
110,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/24 | 109,715 | |
330,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/25 | 328,217 | |
155,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/26 | 155,315 | |
150,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/28 | 151,216 | |
105,000 | FL St Dev Fin Corp Sr Living Rev Ref Glenridge on Palmer Ranch Proj (a) | 4.00% | 06/01/24 | 104,592 | |
100,000 | FL St Dev Fin Corp Sr Living Rev Ref Glenridge on Palmer Ranch Proj (a) | 4.00% | 06/01/25 | 98,458 | |
220,000 | FL St Muni Pwr Agy Ref, Ser A | 5.00% | 10/01/30 | 229,558 | |
785,000 | Gtr Orlando FL Aviation Auth Arpt Facs Rev Prerefunded Priority Sub, Ser A, AMT | 5.00% | 10/01/24 | 791,439 | |
65,000 | Gulfstream Polo Cmnty Dev Dist FL Spl Assmnt Phase 2 Proj | 3.00% | 11/01/24 | 64,435 | |
2,890,000 | Halifax FL Hosp Med Ctr Ref | 5.00% | 06/01/27 | 2,989,406 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Florida (Continued) | |||||
$740,000 | Harmony FL CDD Capital Impt Rev Ref | 5.00% | 05/01/25 | $740,342 | |
845,000 | Hidden Creek N Cmnty Dev Dist FL Spl Assmnt, Ser A1 | 4.00% | 11/01/30 | 835,111 | |
210,000 | Hills Minneola Cmnty Dev Dist FL Spl Assmnt Rev S Parcel Assmnt Area (a) | 3.00% | 05/01/25 | 206,594 | |
55,000 | Lakes of Sarasota CDD FL Impt Rev Phase 1 Proj Assmnt Area One, Ser A-1 | 2.75% | 05/01/26 | 53,444 | |
460,000 | Lee Cnty FL Indl Dev Auth Hlthcr Facs Rev Shell Point Oblig Grp | 4.00% | 11/15/30 | 457,007 | |
550,000 | LTC Ranch W Rsdl Cmnty Dev Dist Spl Assmnt Rev Assmnt Area One Proj, Ser A | 2.50% | 05/01/26 | 527,610 | |
500,000 | Martin Cnty FL Hlth Facs Auth Martin Mem Med Ctr (Pre- refunded maturity 11/15/24) | 5.00% | 11/15/45 | 506,685 | |
1,890,000 | Miami-Dade Cnty FL Sch Brd Ref, Ser C, COPS | 5.00% | 02/01/32 | 1,960,850 | |
4,000,000 | Miami-Dade Cnty FL Seaport Rev Ref Sr Bonds, Ser A, AMT | 5.00% | 10/01/30 | 4,404,762 | |
305,000 | Mirada II Cmnty Dev Dist FL Cap Impt Rev | 2.50% | 05/01/26 | 291,634 | |
385,000 | N Springs FL Impt Dist Heron Bay Wtr Mgmt Proj, Ser 2021-1, AGM | 2.00% | 05/01/26 | 368,669 | |
1,770,000 | Palm Beach Cnty FL Hlth Facs Auth Ref Acts Retmnt Life Cmntys Inc Oblig Grp | 5.00% | 11/15/32 | 1,832,661 | |
125,000 | Pine Isle Cmnty Dev Dist FL Spl Assmnt 2021 Proj (a) | 2.38% | 12/15/26 | 119,423 | |
100,000 | Poinciana FL W CDD Spl Assmnt Ref Sr, Ser 1, AGM | 3.60% | 05/01/26 | 100,719 | |
40,000 | Rhodine Road N CDD FL Spl Assmnt 2019 Assmnt Area | 3.50% | 05/01/24 | 39,925 | |
415,000 | Rhodine Road N CDD FL Spl Assmnt 2019 Assmnt Area | 4.00% | 05/01/30 | 415,964 | |
145,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/24 | 143,968 | |
960,000 | San Simeon Cmnty Dev Dist FL Spl Assmnt (a) | 3.75% | 06/15/31 | 911,174 | |
375,000 | Sarasota Natl FL CDD Spl Assmnt Ref | 3.00% | 05/01/24 | 373,908 | |
240,000 | Sarasota Natl FL CDD Spl Assmnt Ref | 3.00% | 05/01/25 | 236,780 | |
740,000 | Shell Point Cmnty Dev Dist FL Spl Assmnt (a) | 4.50% | 11/01/29 | 743,857 | |
155,000 | Shingle Creek at Bronson CDD FL Spl Assmnt | 2.50% | 06/15/26 | 149,204 | |
305,000 | Silver Palms W CDD FL Spl Assmnt 2022 Proj | 2.60% | 06/15/27 | 285,107 | |
215,000 | Six Mile Creek FL CDD Capital Impt Rev Assmnt Area 3 Phase 1 | 2.50% | 05/01/26 | 206,520 | |
465,000 | Summer Woods CDD FL Spl Assmnt Area Two 2020 Proj | 3.30% | 05/01/31 | 427,266 | |
30,000 | Tampa FL Capital Impt Cigarette Tax Allocation H Lee Moffitt Cancer Ctr Proj, Ser A | 5.00% | 09/01/24 | 30,265 | |
870,000 | The Heights CDD FL Spl Assmnt Rev CDD | 4.00% | 01/01/28 | 861,892 | |
325,000 | Timber Creek SW CDD FL Spl Assmnt Area Two Proj | 2.35% | 12/15/26 | 307,964 | |
780,000 | Tolomato FL CDD Ref 2022A Assmnt Area, Ser A, AGM | 3.00% | 05/01/26 | 778,906 | |
825,000 | Tolomato FL CDD Ref 2022A Assmnt Area, Ser A, AGM | 3.00% | 05/01/28 | 826,352 | |
285,000 | V-Dana CDD FL Spl Assmnt CDD Assmnt Area One 2021 Proj | 2.60% | 05/01/26 | 274,650 | |
660,000 | Veranda CDD II FL Spl Assmnt Rev Ref Assmt Area 3 Preserve E Proj | 4.25% | 05/01/31 | 662,107 | |
225,000 | Villamar CDD FL Spl Assmnt | 4.00% | 05/01/29 | 222,367 | |
115,000 | Vlg FL CDD #6 Spl Assmnt Rev Ref | 4.00% | 05/01/25 | 115,920 | |
190,000 | Westside Haines City CDD Spl Assmnt Area One Proj | 2.50% | 05/01/26 | 182,749 | |
33,625,635 | |||||
Georgia — 6.3% | |||||
2,000,000 | Atlanta GA Arpt Rev Ref, Ser B, AMT | 5.00% | 07/01/26 | 2,077,279 | |
1,660,000 | Bartow Cnty GA Dev Auth Var GA Pwr Comp Plant Bowen Proj Remk (Mandatory put 08/19/25) | 2.88% | 08/01/43 | 1,629,027 | |
250,000 | Bartow Cnty GA Dev Auth Var Ref GA Pwr Co Plt Bowen Proj Remk, First Ser (Mandatory put 03/08/28) | 3.95% | 12/01/32 | 251,342 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Georgia (Continued) | |||||
$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 | $99,232 | |
1,000,000 | Burke Cnty GA Dev Auth Poll Control Rev Var GA Pwr Co Vogtle, 1st Ser (b) | 3.60% | 07/01/49 | 1,000,000 | |
3,100,000 | Burke Cnty GA Dev Auth Poll Control Rev Var Ref GA Pwr Co Plant Vogtle Proj (b) | 3.65% | 11/01/52 | 3,100,000 | |
250,000 | Columbia Cnty GA Hosp Auth Rev Anticipation Ctfs Wellstar Hlth Sys Inc Proj, Ser B | 5.00% | 04/01/27 | 266,802 | |
735,000 | GA St Ref Bid Grp 3, Ser C | 4.00% | 07/01/25 | 747,273 | |
1,600,000 | Heard Cnty GA Dev Auth Adj GA Pwr Co Plt Wansley Proj (b) | 3.71% | 09/01/26 | 1,600,000 | |
240,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/25 | 242,638 | |
2,000,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 06/01/29 | 2,096,466 | |
4,265,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put 09/01/27) | 4.00% | 07/01/52 | 4,285,400 | |
510,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put 12/01/29) | 4.00% | 09/01/52 | 510,637 | |
2,180,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put 09/01/31) | 5.00% | 05/01/54 | 2,334,278 | |
800,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser B | 5.00% | 06/01/26 | 816,664 | |
1,290,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put 09/01/26) | 4.00% | 03/01/50 | 1,298,049 | |
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 | 968,750 | |
1,700,000 | Monroe Cnty GA Dev Auth Poll Control Rev Var GA Pwr Co Plt Scherer Proj Remk, 2nd Ser (Mandatory put 03/06/26) | 3.88% | 10/01/48 | 1,704,691 | |
200,000 | Muni Elec Auth of GA Plant Vogtle Units 3&4 Proj J Bonds, Ser A, AGM | 5.00% | 07/01/30 | 224,252 | |
200,000 | Muni Elec Auth of GA Plant Vogtle Units 3&4 Proj J, Ser A, AGM | 5.00% | 07/01/26 | 209,196 | |
405,000 | Muni Elec Auth of GA Plant Vogtle Units 3&4 Proj M, Ser A, AGM | 5.00% | 07/01/28 | 440,548 | |
150,000 | Muni Elec Auth of GA Ref Subord General Resolution Projs, Ser A | 4.00% | 01/01/25 | 150,751 | |
285,000 | Priv Clgs & Univs Auth GA Ref Mercer Univ Proj | 5.00% | 10/01/24 | 287,993 | |
225,000 | Priv Clgs & Univs Auth GA Ref Mercer Univ Proj | 5.00% | 10/01/25 | 231,353 | |
26,572,621 | |||||
Hawaii — 0.0% | |||||
150,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Ref Sr First Bd Resolution, Ser B | 4.00% | 07/01/32 | 151,425 | |
Idaho — 0.3% | |||||
1,350,000 | ID St Hlth Facs Auth Rev Ref St Lukes Hlth System Proj, Ser A | 5.00% | 03/01/24 | 1,351,547 | |
Illinois — 9.5% | |||||
590,000 | Bolingbrook IL Ref, Ser A, AGM | 5.00% | 01/01/32 | 628,441 | |
115,000 | Chicago IL Brd of Edu Chicago Sch Reform Brd, Ser A, NATL-RE | 5.50% | 12/01/26 | 119,037 | |
110,000 | Chicago IL Brd of Edu Ref, Ser A | 5.00% | 12/01/26 | 113,274 | |
625,000 | Chicago IL Brd of Edu Sustainable Bond, Ser E | 5.13% | 12/01/32 | 626,007 | |
500,000 | Chicago IL Mf Hsg Rev Var Covent Apartments Proj (Mandatory put 09/01/24) | 4.00% | 09/01/25 | 500,599 | |
1,000,000 | Chicago IL Midway Arpt Rev Ref 2nd Lien, Ser A, AMT | 5.00% | 01/01/27 | 1,002,833 | |
500,000 | Chicago IL Midway Arpt Rev Ref Sr Lien, Ser A, AMT, BAM | 5.00% | 01/01/27 | 522,031 | |
520,000 | Chicago IL O’Hare Intl Arpt Rev Gen Sr Lien, Ser D, AMT | 5.00% | 01/01/29 | 542,607 | |
500,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien O’Hare Intl Arpt, Ser C, AMT | 5.00% | 01/01/26 | 514,081 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Illinois (Continued) | |||||
$210,000 | Chicago IL Ref 2003B Remk | 5.00% | 01/01/26 | $212,207 | |
100,000 | Chicago IL Ref 2003B Remk (Pre-refunded maturity 01/01/25) | 5.13% | 01/01/27 | 101,830 | |
65,000 | Chicago IL Ref, Ser C, CABS | (c) | 01/01/25 | 62,568 | |
110,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/26 | 112,902 | |
260,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/35 | 263,131 | |
70,000 | Chicago IL Unrefunded, Ser A | 5.00% | 01/01/26 | 70,736 | |
1,500,000 | Chicago IL Wtrwks Rev 2nd Lien Remk, BAM | 5.00% | 11/01/30 | 1,570,746 | |
2,230,000 | Chicago IL Wtrwks Rev Ref 2nd Lien, AGM | 5.25% | 11/01/34 | 2,406,315 | |
80,000 | Chicago IL, Ser A (Pre-refunded maturity 01/01/25) | 5.00% | 01/01/26 | 81,157 | |
675,000 | Cook Cnty IL Sales Tax Rev Ref, Ser A | 5.00% | 11/15/29 | 753,006 | |
2,311,000 | Gilberts IL Spl Svc Area #15 Ref, AGM | 5.00% | 03/01/29 | 2,313,193 | |
205,000 | Glencoe IL, Ser A | 3.00% | 12/15/28 | 204,615 | |
345,000 | IL St Fin Auth Hlth Svcs Facs Lease Rev Univ of IL Hlth Svcs Fac Proj | 5.00% | 10/01/24 | 347,830 | |
1,265,000 | IL St Fin Auth Rev Centegra Hlth Sys, Ser A (Pre-refunded maturity 09/01/24) | 5.00% | 09/01/39 | 1,277,996 | |
225,000 | IL St Fin Auth Rev Ref Ascension Hlth Credit Grp, Ser C | 5.00% | 02/15/27 | 238,613 | |
2,000,000 | IL St Fin Auth Rev Ref Ascension Hlth Credit Grp, Ser C | 5.00% | 02/15/30 | 2,106,271 | |
1,000,000 | IL St Fin Auth Rev Ref Rush Univ Med Ctr, Ser A | 5.00% | 11/15/24 | 1,012,265 | |
1,755,000 | IL St Fin Auth Rev Ref Rush Univ Med Ctr, Ser A | 5.00% | 11/15/30 | 1,788,121 | |
1,500,000 | IL St Fin Auth Rev Var Uchicago Medicine, Ser B2 (Mandatory put 08/15/27) | 5.00% | 08/15/52 | 1,596,163 | |
2,000,000 | IL St Hsg Dev Auth Mf Hsg Rev Var 6900 Crandon (Mandatory put 02/01/26) | 5.00% | 02/01/27 | 2,050,787 | |
1,000,000 | IL St Hsg Dev Auth Mf Hsg Rev Var Berry Manor (Mandatory put 09/01/24) | 4.00% | 09/01/25 | 1,000,855 | |
625,000 | IL St Hsg Dev Auth Mf Hsg Rev Var S Shore (Mandatory put 06/01/25) | 4.00% | 06/01/26 | 627,297 | |
2,000,000 | IL St Muni Elec Agy Pwr Sply Ref, Ser A | 5.00% | 02/01/26 | 2,053,355 | |
550,000 | IL St Ref, Ser B | 5.00% | 03/01/25 | 559,615 | |
500,000 | IL St Sales Tax Rev Ref, Subser C, BAM | 4.00% | 06/15/27 | 506,943 | |
180,000 | IL St Toll Hwy Auth Sr, Ser B | 5.00% | 01/01/33 | 188,327 | |
250,000 | IL St, Ser B | 5.00% | 05/01/28 | 268,716 | |
2,325,000 | IL St, Ser C | 5.00% | 11/01/29 | 2,483,208 | |
725,000 | Macon Cnty IL Sch Dist #61 Ref, Ser C, AGM | 4.00% | 01/01/30 | 749,192 | |
710,000 | Railsplitter IL Tobacco Stlmt Auth (Pre-refunded maturity 06/01/26) | 5.00% | 06/01/27 | 744,456 | |
1,055,000 | Rock Island Cnty IL Sch Dist #41 Rock Island, BAM | 5.00% | 12/01/29 | 1,155,483 | |
585,000 | Sales Tax Securitization Corp IL Ref Sales Tax Securitiztn, Ser A | 5.00% | 01/01/29 | 631,511 | |
2,750,000 | Schaumburg IL Ref | 4.00% | 12/01/24 | 2,761,487 | |
355,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/26 | 360,284 | |
1,000,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/28 | 1,015,097 | |
400,000 | Univ of IL IL Revs Ref Auxiliary Facs Sys, Ser A | 5.00% | 04/01/27 | 407,483 | |
1,000,000 | Wauconda IL Spl Svc Area #1 Spl Tax Ref, BAM | 5.00% | 03/01/33 | 1,012,153 | |
39,664,824 | |||||
Indiana — 3.0% | |||||
125,000 | IN Bond Bank Rev Hamilton Co Projs, CABS | (c) | 01/15/26 | 116,459 | |
2,000,000 | IN St Fin Auth Econ Dev Rev Ref Rep Svcs Inc Proj Remk, Ser A, AMT (Mandatory put 03/01/24) (b) | 4.50% | 05/01/34 | 2,000,023 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Indiana (Continued) | |||||
$2,000,000 | IN St Fin Auth Envrnmntl Facs Rev Var Ref IN Pwr & Light Co Proj, Ser A | 1.40% | 08/01/29 | $1,727,581 | |
1,635,000 | IN St Fin Auth Hlth Sys Rev IN Univ Hlth Oblig Grp, Ser B (Mandatory put 07/01/25) | 2.25% | 12/01/58 | 1,607,112 | |
80,000 | IN St Fin Auth Rev BHI Sr Living, Ser A | 4.00% | 11/15/26 | 78,918 | |
315,000 | IN St Fin Auth Rev Cmnty Fdtn of NW IN Ref | 5.00% | 03/01/31 | 321,466 | |
1,000,000 | Rockport IN Poll Control Rev Ref AEP Generating Company Proj Remk, Ser A | 3.13% | 07/01/25 | 986,770 | |
1,000,000 | Rockport IN Poll Control Rev Ref AEP Generating Company Proj Remk, Ser B | 3.13% | 07/01/25 | 986,771 | |
3,610,000 | Rockport IN Poll Control Rev Ref IN MI Pwr Co Proj Remk, Ser A | 3.05% | 06/01/25 | 3,577,794 | |
1,360,000 | Whiting IN Envrnmntl Facs Rev Ref BP Products N America Inc Proj, Ser A, AMT (Mandatory put 06/05/26) | 5.00% | 12/01/44 | 1,386,991 | |
12,789,885 | |||||
Iowa — 0.9% | |||||
2,305,000 | Johnston IA Cmnty Sch Dist Infra Sales Svcs & Ref, AGM | 8.35% | 07/01/24 | 2,353,537 | |
1,310,000 | Pefa Inc IA Gas Proj Rev (Mandatory put 09/01/26) | 5.00% | 09/01/49 | 1,343,230 | |
3,696,767 | |||||
Kansas — 0.9% | |||||
1,000,000 | Dodge City KS Temp Nts, Ser 2023-1 | 4.13% | 09/01/25 | 1,005,191 | |
2,660,000 | Johnson Cnty KS Unif Sch Dist #512 Shawnee Mission Ref, Ser A | 3.25% | 10/01/28 | 2,672,496 | |
3,677,687 | |||||
Kentucky — 1.9% | |||||
165,000 | Estrn KY Univ Gen Recpts, Ser A | 5.00% | 04/01/28 | 173,201 | |
240,000 | KY St Econ Dev Fin Auth Hlth Sys Rev Norton Hlthcare Inc, Ser B, CABS, NATL-RE | (c) | 10/01/25 | 224,729 | |
20,000 | KY St Econ Dev Fin Auth Ref Owensboro Hlth, Ser A | 5.00% | 06/01/25 | 20,131 | |
355,000 | KY St Hgr Edu Stdt Loan Corp Sr, Ser A, AMT | 5.00% | 06/01/26 | 366,144 | |
300,000 | KY St Muni Pwr Agy Pwr Sys Rev Ref, Ser A, NATL-RE | 5.00% | 09/01/25 | 307,711 | |
175,000 | KY St Muni Pwr Agy Pwr Sys Rev Ref, Ser A, NATL-RE | 5.00% | 09/01/30 | 178,594 | |
475,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser B (Mandatory put 01/01/25) | 4.00% | 01/01/49 | 475,558 | |
325,000 | KY St Pub Energy Auth Gas Sply Rev Var, Ser C (Mandatory put 02/01/28) | 4.00% | 02/01/50 | 325,678 | |
100,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlthcare Inc, Ser A | 5.00% | 10/01/24 | 101,083 | |
330,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlthcare Inc, Ser A | 5.00% | 10/01/25 | 339,805 | |
190,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlthcare Inc, Ser A | 5.00% | 10/01/30 | 197,726 | |
595,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlthcare Inc, Ser A | 5.00% | 10/01/31 | 618,645 | |
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 | 207,848 | |
2,100,000 | Meade Cnty KY Indl Bldg Rev Var Nucor Steel Brandenburg Proj Sustainable Bond, Ser B-1 (b) | 4.05% | 08/01/61 | 2,100,000 | |
1,195,000 | Paducah KY Elec Plant Brd Rev Ref, Ser A, AGM | 5.00% | 10/01/30 | 1,251,170 | |
1,000,000 | Trimble Cnty KY Envrnmntl Facs Rev Var Louisville Gas & Elec Co Proj, Ser A, AMT (Mandatory put 06/01/27) | 4.70% | 06/01/54 | 1,013,823 | |
7,901,846 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Louisiana — 1.6% | |||||
$500,000 | E Baton Rouge Parish LA Sales Tax Rev Ref Road & Street Impt | 5.00% | 08/01/28 | $512,122 | |
1,150,000 | LA St Pub Facs Authsol Wst Disp Fac Rev Var Elementus Minerals LLC Proj (Mandatory put 11/01/25) (a) | 5.00% | 10/01/43 | 1,168,149 | |
150,000 | LA St Univ & Agric & Mech Clg Ref Auxiliary, Ser A | 5.00% | 07/01/26 | 155,655 | |
495,000 | LA St, Ser A | 4.00% | 02/01/29 | 495,000 | |
20,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/28 | 20,780 | |
455,000 | New Orleans LA Aviation Brd, Ser B, AMT | 5.00% | 01/01/31 | 459,363 | |
100,000 | New Orleans LA Aviation Brd, Ser B, AMT, AGM | 5.00% | 01/01/32 | 100,951 | |
1,000,000 | Saint James Parish LA Rev Var Nustar Logistics LP Proj Remk, Ser 2011 (Mandatory put 06/01/25) (a) | 5.85% | 08/01/41 | 1,020,158 | |
2,150,000 | 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 | 2,125,719 | |
590,000 | 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 | 562,130 | |
6,620,027 | |||||
Maine — 0.2% | |||||
1,000,000 | ME St Fin Auth Sol Wst Disp Rev Casella Waste Sys Proj, AMT (Mandatory put 08/01/25) (a) | 5.13% | 08/01/35 | 1,003,352 | |
Maryland — 1.0% | |||||
480,000 | Howard Cnty MD Ref, Ser A | 5.00% | 08/15/24 | 485,363 | |
1,550,000 | MD St Econ Dev Corp Var Ref Constellation Energy Grp Proj Remk, Ser B (Mandatory put 04/03/28) | 4.10% | 10/01/36 | 1,587,543 | |
1,000,000 | MD St First Ser | 4.00% | 06/01/29 | 1,002,066 | |
100,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Stevenson Univ Proj, Ser A | 5.00% | 06/01/28 | 104,651 | |
925,000 | MD St Stadium Auth Rev Football Stadium Issue, Ser A | 5.00% | 03/01/25 | 944,238 | |
4,123,861 | |||||
Massachusetts — 0.0% | |||||
150,000 | MA St Bay Transprtn Auth Sales Tax Rev Unrefunded Subord Sustainable Bonds, BANS | 4.00% | 05/01/25 | 152,174 | |
Michigan — 2.2% | |||||
220,000 | Detroit MI | 5.00% | 04/01/26 | 225,121 | |
20,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/31 | 20,109 | |
435,000 | Great Lakes MI Wtr Auth Sewage Disposal Sys Rev Ref 2nd Lien, Ser C | 5.00% | 07/01/36 | 451,029 | |
140,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Ref Second Lien, Ser D | 5.00% | 07/01/36 | 145,522 | |
400,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Sr Lien Bonds, Ser B | 5.00% | 07/01/29 | 447,303 | |
1,000,000 | MI St Bldg Auth Rev Var Facs Prog Multi-Modal, Ser I (b) | 4.65% | 04/15/58 | 1,000,000 | |
85,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 4.00% | 11/15/36 | 83,911 | |
155,000 | MI St Fin Auth Rev Ref Hosp McLaren Hlth Care, Ser A | 5.00% | 05/15/27 | 158,047 | |
1,000,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog Great Lakes Wtr Auth, Ser D4 | 5.00% | 07/01/30 | 1,006,583 | |
500,000 | MI St Fin Auth Rev Ref Sr Lien Great Lakes Wtr Auth, Ser C-6 | 5.00% | 07/01/32 | 503,271 | |
1,680,000 | MI St Fin Auth Rev Sr Lien Great Lakes Wtr Auth, Ser C-3, AGM | 5.00% | 07/01/29 | 1,691,476 | |
1,790,000 | MI St Fin Auth Rev Var Trinity Hlth Credit Grp, Ser B (Mandatory put 12/01/28) | 5.00% | 12/01/43 | 1,928,035 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Michigan (Continued) | |||||
$1,500,000 | MI St Strategic Fund Ltd Oblg Rev Var Sustainable Bond Recycled Brd Machine Proj, AMT (Mandatory put 10/01/26) | 4.00% | 10/01/61 | $1,485,371 | |
90,000 | Wayne Cnty MI Arpt Auth Rev Ref, Ser F, AMT | 5.00% | 12/01/25 | 92,032 | |
9,237,810 | |||||
Minnesota — 2.7% | |||||
650,000 | Alexandria MN Indep Sch Dist #206 Ref Sch Bldg, Ser B | 5.00% | 02/01/24 | 650,000 | |
2,250,000 | Buffalo MN Indep Sch Dist #877 | 3.00% | 02/01/29 | 2,243,400 | |
3,510,000 | Hennepin Cnty MN Sales Tax Rev Ref 1st Lien Ballpark Proj, Ser A | 5.00% | 12/15/30 | 3,698,151 | |
1,000,000 | Minneapolis MN Hlth Care Sys Rev Var Allina Hlth Sys, Ser A (Mandatory put 11/15/28) | 5.00% | 11/15/52 | 1,084,245 | |
1,000,000 | Minneapolis MN Mf Rev Var Greenway Apartments Proj (Mandatory put 08/01/24) | 2.70% | 08/01/25 | 991,031 | |
2,500,000 | MN Muni Gas Agy Cmdy Sply Rev, Ser A | 4.00% | 12/01/25 | 2,518,346 | |
11,185,173 | |||||
Mississippi — 0.4% | |||||
1,400,000 | MS St Busn Fin Corp Sol Wst Disp Rev Adj MS Pwr Co Proj Remk, AMT (b) | 3.50% | 07/01/25 | 1,400,000 | |
225,000 | MS St Busn Fin Corp Sol Wst Disp Rev Waste Mgmt Inc Proj Remk, AMT (Mandatory put 06/03/24) | 2.20% | 03/01/27 | 223,074 | |
1,623,074 | |||||
Missouri — 1.1% | |||||
1,000,000 | Kansas City MO Indl Dev Auth Arpt Spl Oblig Kansas City Intl Arpt, Ser A, AMT | 5.00% | 03/01/30 | 1,082,054 | |
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 | 649,883 | |
1,230,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Saint Lukes Hlth Sys Inc | 4.00% | 11/15/33 | 1,237,876 | |
235,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/27 | 230,515 | |
760,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/28 | 741,897 | |
200,000 | Plaza at Noah’s Ark Cmnty Impt Dist MO Tax Incr & Impt Ref | 3.00% | 05/01/24 | 199,230 | |
575,000 | Saint Louis Cnty MO Pattonville Sch Dist #R-3 | 4.00% | 03/01/25 | 581,997 | |
4,723,452 | |||||
Montana — 0.1% | |||||
275,000 | Forsyth MT Poll Control Rev Ref Puget Sound Energy Proj, Ser A (Mandatory put 03/01/24) | 3.90% | 03/01/31 | 271,321 | |
Nebraska — 0.7% | |||||
1,000,000 | Centrl Plains Energy Proj NE Gas Proj Rev Var Ref Proj #4, Ser A (Mandatory put 11/01/29) | 5.00% | 05/01/54 | 1,057,193 | |
400,000 | Muni Energy Agy of NE Ref | 5.00% | 04/01/28 | 421,983 | |
250,000 | Omaha NE Pub Dist Elec Rev Ref Sys, Ser A | 5.00% | 02/01/28 | 260,904 | |
1,235,000 | Omaha NE Pub Facs Corp Lease Rev, Ser A | 4.00% | 04/15/25 | 1,247,921 | |
2,988,001 | |||||
Nevada — 0.5% | |||||
120,000 | Clark Cnty NV Sch Dist Bldg Cr, Ser B, AGM | 5.00% | 06/15/31 | 131,972 | |
270,000 | Las Vegas NV Spl Impt Dist #808 & #810 Ref | 5.00% | 06/01/28 | 270,848 | |
1,000,000 | Las Vegas NV Spl Impt Dist #812 Loc Impt Summerlin Vlg 24 | 5.00% | 12/01/31 | 1,008,962 | |
300,000 | Las Vegas NV Spl Impt Dist #816 Summerlin Vlg 22 | 2.00% | 06/01/24 | 297,381 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Nevada (Continued) | |||||
$225,000 | Las Vegas NV Spl Impt Dist #816 Summerlin Vlg 22 | 2.00% | 06/01/26 | $211,007 | |
275,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/25 | 280,660 | |
2,200,830 | |||||
New Hampshire — 0.3% | |||||
1,175,000 | Natl Fin Auth NH Pollution Control Rev Ref NY St Elec & Gas Corp Proj, Ser A, AMT | 4.00% | 12/01/28 | 1,188,154 | |
New Jersey — 3.0% | |||||
1,000,000 | Casino Reinvestment Dev Auth NJ Luxury Tax Rev Ref, AGM | 5.00% | 11/01/29 | 1,015,197 | |
1,000,000 | Gloucester Twp NJ, Ser A, BANS | 5.00% | 07/25/24 | 1,007,192 | |
1,000,000 | NJ St | 2.00% | 06/01/24 | 993,721 | |
2,000,000 | NJ St | 2.00% | 06/01/29 | 1,854,515 | |
250,000 | NJ St Covid-19 Go Emergency Bonds, Ser A | 4.00% | 06/01/30 | 270,113 | |
580,000 | NJ St Econ Dev Auth Rev Portal N Bridge Proj NJ Transit Transprtn Proj Bonds, Ser A | 5.00% | 11/01/26 | 612,358 | |
110,000 | NJ St Econ Dev Auth Rev Ref Sch Facs Constr, Ser PP | 3.50% | 06/15/27 | 109,781 | |
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 | 2,049,717 | |
340,000 | 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 | 353,137 | |
1,000,000 | NJ St Hsg & Mtge Fin Agy Rev Ref Sf Hsg, Ser D, AMT | 4.00% | 04/01/24 | 999,988 | |
2,275,000 | NJ St Transprtn Trust Fund Auth Cap Apprec Transprtn Sys, Ser C, AMBAC | (c) | 12/15/25 | 2,128,883 | |
1,000,000 | Tobacco Stlmt Fing Corp NJ Ref, Ser A | 5.00% | 06/01/24 | 1,004,673 | |
12,399,275 | |||||
New Mexico — 0.5% | |||||
2,000,000 | Farmington NM Poll Control Rev Var Ref Pub Svc Co NM San Juan Proj Remk, Ser D (Mandatory put 06/01/28) | 3.90% | 06/01/40 | 2,013,158 | |
New York — 1.8% | |||||
2,000,000 | Chautauqua Cnty NY Capital Res Corp Exempt Facs Rev Var Ref NRG Energy Proj Remk (Mandatory put 04/03/28) | 4.25% | 04/01/42 | 2,021,049 | |
125,000 | Long Beach NY, Ser B | 5.50% | 07/15/25 | 128,225 | |
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 | 1,994,277 | |
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 | 1,353,747 | |
340,000 | New York City NY Transitional Fin Auth Bldg Aid Rev Ref Fiscal 2018, Ser S-1 | 5.00% | 07/15/35 | 362,581 | |
305,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref American Airls Inc John F Kennedy Intl Arpt Proj, AMT | 2.25% | 08/01/26 | 293,313 | |
180,000 | Onondaga NY Civic Dev Corp Le Moyne Clg Proj | 5.00% | 07/01/26 | 185,730 | |
1,180,000 | Port Auth of NY & NJ NY Ref, 194th Ser | 5.00% | 10/15/34 | 1,217,230 | |
7,556,152 | |||||
North Carolina — 2.4% | |||||
400,000 | Charlotte Mecklenburg NC Hosp Auth Hlth Care Sys Rev Var Atrium Hlth Remk, Ser D (Mandatory put 06/15/27) | 3.63% | 01/15/48 | 401,914 | |
250,000 | Charlotte NC Arpt Rev, Ser A | 5.00% | 07/01/30 | 269,872 | |
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 | 964,370 | |
400,000 | NC St Capital Facs Fin Agy Eductnl Facs Rev Ref High Point Univ | 5.00% | 05/01/28 | 428,724 | |
1,000,000 | NC St Grant Anticipation Rev Vehcl, GARVEE | 5.00% | 03/01/26 | 1,020,679 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
North Carolina (Continued) | |||||
$3,435,000 | NC St Med Care Commn Hosp Rev Caromont Hlth, Ser B (Mandatory put 02/01/26) | 5.00% | 02/01/51 | $3,553,049 | |
2,500,000 | NC St Turnpike Auth, BANS | 5.00% | 02/01/24 | 2,500,000 | |
170,000 | Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/29 | 184,579 | |
580,000 | Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/35 | 604,736 | |
9,927,923 | |||||
North Dakota — 0.3% | |||||
1,400,000 | Cass Cnty ND Jt Wtr Res Dist, Ser A | 0.48% | 05/01/24 | 1,386,968 | |
Ohio — 3.1% | |||||
75,000 | NE OH Med Univ Gen Recpts Ref, Ser A | 5.00% | 12/01/24 | 75,725 | |
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 | 887,337 | |
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 | 929,435 | |
900,000 | 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 | 880,118 | |
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 | 2,614,784 | |
2,870,000 | 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 | 2,900,514 | |
200,000 | OH St Hosp Fac Rev Ref Cleveland Clinic Hlth Sys, Ser A | 5.00% | 01/01/25 | 203,436 | |
235,000 | OH St Hosp Fac Rev Ref Cleveland Clinic Hlth Sys, Ser A | 5.00% | 01/01/33 | 254,324 | |
1,250,000 | OH St Hosp Rev Var Cleveland Clinic Hlth Sys Remk, Ser C (Mandatory put 05/01/28) | 2.75% | 01/01/52 | 1,229,846 | |
1,000,000 | OH St Hosp Rev Var Ref Univ Hosps Hlth Sys Inc, Ser A (b) | 4.90% | 01/15/45 | 1,000,000 | |
1,990,000 | OH St, Ser A | 5.00% | 02/01/31 | 2,072,850 | |
13,048,369 | |||||
Oklahoma — 0.5% | |||||
1,500,000 | Canadian Cnty OK Eductnl Facs Auth Educ Facs Lease Rev Yukon Pub Sch Proj | 5.00% | 09/01/27 | 1,591,187 | |
300,000 | Oklahoma Cnty OK Fin Auth Eductnl Facs Lease Rev Midwest City De City Pub Schs Proj | 5.00% | 10/01/26 | 314,817 | |
1,906,004 | |||||
Oregon — 0.9% | |||||
1,070,000 | OR St Article XI-P Schs Dist Capital Projs, Ser G | 5.00% | 12/01/30 | 1,132,211 | |
260,000 | Port of Portland OR Arpt Rev Portland Intl Arpt, Ser 25B, AMT | 5.00% | 07/01/27 | 274,931 | |
1,170,000 | Port of Portland OR Arpt Rev Ref Portland Intl Arpt, Ser 23 | 5.00% | 07/01/34 | 1,197,041 | |
130,000 | Port of Portland OR Arpt Rev, Ser 24B, AMT | 5.00% | 07/01/33 | 135,003 | |
260,000 | Salem OR Hosp Fac Auth Rev Ref Capital Manor Proj | 5.00% | 05/15/25 | 260,558 | |
265,000 | Salem OR Hosp Fac Auth Rev Ref Capital Manor Proj | 5.00% | 05/15/26 | 266,686 | |
260,000 | Salem OR Hosp Fac Auth Rev Ref Capital Manor Proj | 4.00% | 05/15/29 | 252,382 | |
100,000 | Union Cnty OR Hosp Fac Auth Grande Ronde Hosp | 5.00% | 07/01/25 | 101,556 | |
100,000 | Union Cnty OR Hosp Fac Auth Grande Ronde Hosp | 5.00% | 07/01/26 | 102,763 | |
3,723,131 | |||||
Pennsylvania — 4.7% | |||||
1,500,000 | Allegheny Cnty PA Indl Dev Auth Envrnmtl Impt Rev Ref United States Steel Corp Proj | 4.88% | 11/01/24 | 1,502,783 | |
1,000,000 | Cmwlth Fing Auth PA Tobacco Master Stlmt Payment Rev Bonds | 5.00% | 06/01/30 | 1,077,142 | |
395,000 | Cumberland Cnty PA Muni Auth Prerefunded Ref Diakon Lutheran Ministries Proj (Pre-refunded maturity 01/01/25) | 5.00% | 01/01/38 | 401,428 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Pennsylvania (Continued) | |||||
$90,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/24 | $90,745 | |
175,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/25 | 178,391 | |
390,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/28 | 398,433 | |
170,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/30 | 173,817 | |
50,000 | Erie PA Hgr Edu Bldg Auth AICUP Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/24 | 50,029 | |
75,000 | Erie PA Hgr Edu Bldg Auth AICUP Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/25 | 75,430 | |
75,000 | Erie PA Hgr Edu Bldg Auth AICUP Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/26 | 76,070 | |
80,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 5.00% | 03/01/24 | 80,031 | |
150,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 5.00% | 03/01/25 | 151,018 | |
255,000 | Lehigh Cnty PA Gen Purp Auth Revs Ref Lehigh Carbon Cmnty Clg, Ser 2016, BAM | 5.00% | 11/01/26 | 266,544 | |
1,000,000 | Lehigh Cnty PA Indl Dev Auth Ref Ppl Elec Util Corp Proj 2016 Remk, Ser B | 2.63% | 02/15/27 | 974,438 | |
2,450,000 | Lehigh Cnty PA Indl Dev Auth Ref Ppl Elec Util Corp Proj Remk, Ser A | 3.00% | 09/01/29 | 2,392,010 | |
175,000 | Montgomery Cnty PA Indl Dev Auth Ref Waverly Heights Ltd Proj | 4.00% | 12/01/26 | 176,252 | |
400,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/25 | 404,809 | |
210,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/27 | 215,118 | |
150,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/30 | 154,184 | |
180,000 | PA St Econ Dev Fing Auth Rev Ref UPMC | 4.00% | 03/15/35 | 180,306 | |
1,000,000 | PA St Econ Dev Fing Auth Solid Waste Disposal Rev Var Draw Down Rep Svcs Inc Remk, Ser B-2, AMT (Mandatory put 07/15/24) (b) | 4.00% | 04/01/49 | 1,000,115 | |
250,000 | PA St Econ Dev Fing Auth Solid Waste Disposal Rev Var Rep Svcs Inc Proj Remk, Ser B-1, AMT (Mandatory put 04/15/24) (b) | 4.00% | 04/01/49 | 250,012 | |
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 | 2,297,273 | |
465,000 | PA St Hsg Fin Agy Sf Mtge Rev Non Ace, Ser 123B | 3.45% | 10/01/32 | 459,974 | |
405,000 | PA St Ref, 1st Ser | 5.00% | 09/15/27 | 426,713 | |
1,380,000 | PA St Turnpike Commn Turnpike Rev Ref Mtr License Fund Enh Trn Pke Subord | 5.00% | 12/01/30 | 1,456,085 | |
1,000,000 | PA St Turnpike Commn Turnpike Rev Ref Sub | 5.00% | 06/01/29 | 1,032,333 | |
375,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser A | 5.00% | 12/01/36 | 392,123 | |
180,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/39 | 185,043 | |
1,735,000 | PA St Turnpike Commn Turnpike Rev, Ser A-1 | 5.00% | 12/01/36 | 1,794,302 | |
185,000 | PA St, 1st Ser 2020 | 5.00% | 05/01/29 | 207,507 | |
570,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Ref String Theory Chrt Sch Proj (a) | 5.00% | 06/15/24 | 571,100 | |
300,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Ref String Theory Chrt Sch Proj (a) | 5.00% | 06/15/25 | 302,629 | |
330,000 | Philadelphia PA Auth for Indl Dev Temple Univ Rev Ref, 1st Ser 2015 | 5.00% | 04/01/27 | 337,314 | |
35,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/27 | 37,555 | |
19,769,056 | |||||
Puerto Rico — 0.2% | |||||
389,448 | Puerto Rico Cmwlth Restructured, Ser A, CABS | (c) | 07/01/24 | 382,794 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Puerto Rico (Continued) | |||||
$169,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (c) | 07/01/24 | $166,593 | |
328,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (c) | 07/01/27 | 288,734 | |
838,121 | |||||
Rhode Island — 0.4% | |||||
1,670,000 | Providence RI Pub Bldgs Auth Rev, Ser A, AGM | 5.00% | 09/15/30 | 1,825,098 | |
South Carolina — 0.8% | |||||
355,000 | Berkeley Cnty SC Assmnt Rev Nexton Impt Dist | 4.00% | 11/01/30 | 341,819 | |
2,000,000 | Greenville Cnty SC Sch Dist Installment Pur Rev Ref SC Proj | 5.00% | 12/01/25 | 2,078,270 | |
700,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at Furman | 4.00% | 11/15/27 | 683,856 | |
190,000 | SC St Pub Svc Auth Rev Prerefunded Ref, Ser A | 5.00% | 12/01/24 | 193,023 | |
60,000 | SC St Pub Svc Auth Rev Unrefunded Ref, Ser A | 5.00% | 12/01/24 | 60,663 | |
3,357,631 | |||||
South Dakota — 0.4% | |||||
355,000 | SD St Hlth & Eductnl Facs Auth Ref Sanford Oblig Grp | 5.00% | 11/01/27 | 367,480 | |
330,000 | SD St Hlth & Eductnl Facs Auth Ref Sanford Oblig Grp | 5.00% | 11/01/35 | 339,896 | |
150,000 | SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty Issue | 3.00% | 09/01/26 | 147,523 | |
990,000 | SD St Hsg Dev Auth Ref Homeownership Mtge, Ser E, AMT | 2.80% | 11/01/25 | 972,642 | |
1,827,541 | |||||
Tennessee — 1.9% | |||||
350,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Belmont Univ | 5.00% | 05/01/28 | 378,024 | |
145,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Trevecca Nazarene Univ Proj, Ser B | 4.00% | 10/01/26 | 143,572 | |
450,000 | Met Nashville TN Arpt Auth Arpt Rev, Ser B, AMT | 5.00% | 07/01/27 | 474,351 | |
2,000,000 | Montgomery Cnty TN Ref, Ser A | 5.00% | 04/01/24 | 2,006,310 | |
1,595,000 | TN St Energy Acq Corp Gas Rev (Mandatory put 11/01/25) | 4.00% | 11/01/49 | 1,597,459 | |
2,500,000 | TN St Energy Acq Corp Gas Rev Var Ref Gas Proj, Ser A-1 (Mandatory put 05/01/28) | 5.00% | 05/01/53 | 2,599,283 | |
765,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/26 | 785,821 | |
7,984,820 | |||||
Texas — 12.3% | |||||
250,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Uplift Edu, Ser A | 4.00% | 12/01/30 | 256,258 | |
150,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Trinity Basin Preparatory Inc | 5.00% | 08/15/27 | 160,347 | |
150,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Trinity Basin Preparatory Inc | 5.00% | 08/15/28 | 163,025 | |
500,000 | Arlington TX Hsg Fin Corp Mf Hsg Rev Var 6900 Matlok Road (Mandatory put 04/01/27) | 4.50% | 04/01/41 | 510,643 | |
500,000 | Austin TX Arpt Sys Rev, AMT | 5.00% | 11/15/25 | 511,128 | |
250,000 | Austin TX Arpt Sys Rev, AMT | 5.00% | 11/15/28 | 251,080 | |
2,000,000 | Austin TX Ref | 3.15% | 09/01/28 | 1,994,454 | |
950,000 | Centrl TX Regl Mobility Auth Rev, Ser C | 5.00% | 01/01/27 | 979,014 | |
35,000 | Clifton TX Hgr Edu Fin Corp Edu Rev Idea Pub Schs, Ser B | 5.00% | 08/15/24 | 35,238 | |
100,000 | Club Muni Mgmt Dist #1 TX Spl Assmnt Rev Impt Area #2 Proj (a) | 2.50% | 09/01/26 | 93,932 | |
400,000 | Corpus Christi TX Util Sys Rev Junior Lien, Ser B | 5.00% | 07/15/26 | 420,870 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Texas (Continued) | |||||
$207,000 | Crandall TX Spl Assmnt Rev Cartwright Ranch Pub Impt Dt Impt Area #1 Proj (a) | 3.38% | 09/15/26 | $197,116 | |
500,000 | Dallas Fort Worth TX Intl Arpt Rev Ref, Ser B | 5.00% | 11/01/27 | 540,174 | |
1,000,000 | Denton Cnty TX Hsg Fin Corp Var Pathway on Woodrow Apts (Mandatory put 02/01/25) | 5.00% | 02/01/26 | 1,012,398 | |
1,005,000 | Fort Bend Cnty TX Muni Util Dist #182, BAM | 5.25% | 09/01/26 | 1,057,250 | |
280,000 | Fort Bend Cnty TX Muni Util Dist #184, BAM | 6.00% | 04/01/27 | 303,789 | |
295,000 | Fort Bend Cnty TX Muni Util Dist #184, BAM | 6.00% | 04/01/28 | 320,181 | |
840,000 | Fort Bend TX Indep Sch Dist Ref | 5.00% | 08/15/26 | 886,577 | |
1,225,000 | Fort Bend TX Indep Sch Dist Var Remk, Ser A (Mandatory put 08/01/24) | 2.38% | 08/01/49 | 1,217,970 | |
465,000 | Galveston Cnty TX Muni Util Dist #54 Ref | 2.00% | 12/01/25 | 438,603 | |
560,000 | Galveston Cnty TX Muni Util Dist #54 Ref | 2.00% | 12/01/27 | 505,241 | |
610,000 | Galveston TX Wharves & Terminal Rev Wharves & Terminal First Lien, AMT | 5.25% | 08/01/28 | 652,670 | |
1,500,000 | Grayson Cnty TX Ref | 3.00% | 01/01/26 | 1,481,735 | |
710,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Ref Rev Memorial Herman Hlth Sys, Ser A | 5.00% | 07/01/29 | 787,532 | |
1,000,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Rev Memorial Herman Hlth Sys, Ser A | 5.00% | 12/01/26 | 1,014,956 | |
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 | 1,356,572 | |
1,000,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Thermal Util Re Ref Teco Proj | 5.00% | 11/15/29 | 1,063,865 | |
230,000 | Harris Cnty TX Muni Util Dist #536, BAM | 5.50% | 09/01/26 | 242,904 | |
240,000 | Harris Cnty TX Muni Util Dist #536, BAM | 5.50% | 09/01/27 | 258,367 | |
2,000,000 | Hays Cnty TX Ref | 3.38% | 02/15/29 | 2,001,394 | |
660,000 | Houston TX Arpt Sys Rev Ref Sub, Ser C, AMT | 5.00% | 07/01/27 | 695,715 | |
1,835,000 | Houston TX Arpt Sys Rev Ref Subord Lien, Ser A, AMT, AGM | 5.00% | 07/01/27 | 1,935,512 | |
900,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 910,848 | |
200,000 | Houston TX Arpt Sys Rev Sub, Ser A, AMT | 5.00% | 07/01/28 | 213,531 | |
300,000 | Houston TX Arpt Sys Rev Sub, Ser A, AMT | 5.00% | 07/01/29 | 325,227 | |
1,500,000 | Houston TX Cmnty Clg Ref, Ser A | 5.00% | 02/15/25 | 1,532,003 | |
925,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Impt Area #1 (a) | 4.13% | 09/01/29 | 911,476 | |
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 | 982,110 | |
405,000 | Love Field TX Arpt Modernization Corp Gen Arpt Rev, AMT | 5.00% | 11/01/31 | 418,555 | |
700,000 | Love Field TX Arpt Modernization Corp Gen Arpt Rev, AMT | 5.00% | 11/01/33 | 723,139 | |
200,000 | Lower CO River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/33 | 209,068 | |
2,000,000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Var Ref Rep Svcs Inc Proj Remk, AMT (Mandatory put 05/01/24) (b) | 4.90% | 01/01/26 | 2,000,000 | |
450,000 | Montgomery Cnty TX Muni Util Dist #105, BAM | 4.63% | 09/01/26 | 466,477 | |
300,000 | N Parkway Muni Mgmt Dist #1 TX Contract Rev Legacy Hills Pub Impt Dt Phase #1A-1B Impts (a) | 3.00% | 09/15/26 | 284,456 | |
1,000,000 | N TX Tollway Auth Rev Ref 2nd Tier, Ser A | 5.00% | 01/01/35 | 1,013,621 | |
45,000 | N TX Tollway Auth Rev Ref 2nd Tier, Ser B | 5.00% | 01/01/31 | 46,604 | |
1,000,000 | N TX Tollway Auth Rev Ref First Tier Bonds, Ser A | 5.00% | 01/01/26 | 1,038,517 | |
150,000 | N TX Tollway Auth Rev Ref Second Tier Bonds, Ser C | 5.00% | 01/01/27 | 159,481 | |
105,000 | N TX Tollway Auth Rev Ref Sys 1st Tier, Ser A | 5.00% | 01/01/25 | 105,360 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Texas (Continued) | |||||
$300,000 | N TX Tollway Auth Rev Second Tier, Ser B | 5.00% | 01/01/27 | $318,962 | |
310,000 | Rockwall Cnty TX Muni Util Dist #8, AGM | 6.75% | 10/01/35 | 363,793 | |
1,340,000 | Southmost TX Regl Wtr Auth Wtr Sply Contract Rev Ref Desalination Plant Proj, BAM | 4.00% | 09/01/28 | 1,381,084 | |
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 | 1,041,354 | |
680,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Var Baylor Scott & White Hlth Proj, Ser E (Mandatory put 05/15/26) | 5.00% | 11/15/52 | 703,754 | |
300,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Rev Ref Christus Hlth, Ser B | 5.00% | 07/01/30 | 336,378 | |
875,000 | Travis Cnty TX Hsg Fin Corp Mf Hsg Rev Var Kensington Apts (Mandatory put 08/01/25) | 3.75% | 08/01/26 | 876,380 | |
2,000,000 | TX St Muni Gas Acq & Sply Corp IV, Ser A (Mandatory put 01/01/30) | 5.50% | 01/01/54 | 2,151,073 | |
480,000 | TX St Wtr Dev Brd St Wtr Implementation Fund, Ser A | 5.00% | 04/15/25 | 492,190 | |
340,000 | Univ of Houston TX Univ Revs Ref Consol, Ser C | 5.00% | 02/15/30 | 353,222 | |
4,000,000 | Univ of TX TX Permanent Univ Fnd Bonds, Ser A | 5.00% | 07/01/26 | 4,213,528 | |
1,650,000 | Univ of TX TX Univ Revs Ref, Ser H | 5.00% | 08/15/25 | 1,703,852 | |
1,580,000 | Univ of TX TX Univ Revs, Ser D | 5.00% | 08/15/26 | 1,668,006 | |
630,000 | Viridian TX Muni Mgmt Dist Unlimited Tax Road Impt Bonds, BAM | 4.00% | 12/01/29 | 644,811 | |
760,000 | Williamson Cnty TX Muni Util Dist #10 Ref, BAM | 3.00% | 08/01/26 | 748,524 | |
51,683,894 | |||||
Utah — 1.1% | |||||
650,000 | Salt Lake City UT Arpt Rev, Ser A, AMT | 5.00% | 07/01/26 | 673,891 | |
1,300,000 | Salt Lake City UT Arpt Rev, Ser A, AMT | 5.00% | 07/01/28 | 1,364,840 | |
700,000 | Salt Lake City UT Arpt Rev, Ser A, AMT | 5.00% | 07/01/28 | 748,247 | |
1,895,000 | UT Cnty UT Hosp Rev IHC Hlth Svcs Inc, Ser B-1 (Mandatory put 08/01/24) | 5.00% | 05/15/60 | 1,909,453 | |
4,696,431 | |||||
Vermont — 0.0% | |||||
100,000 | VT St Econ Dev Auth Solid Wst Disp Rev Var Casella Wst Sys Inc Remk, AMT (Mandatory put 04/03/28) (a) | 4.63% | 04/01/36 | 99,526 | |
Virginia — 3.7% | |||||
2,000,000 | Arlington Cnty VA Indl Dev Auth Mf Rev Park Shirlington Apartments, Ser A | 5.00% | 01/01/26 | 2,056,700 | |
2,500,000 | Fairfax Cnty VA Redev & Hsg Auth Mf Hsg Rev Var Dominion Square N Proj (Mandatory put 01/01/28) | 5.00% | 01/01/45 | 2,626,351 | |
310,000 | Hampton Roads VA Santn Dist Wstwtr Rev Prerefunded Sub, Ser A (Pre-refunded maturity 08/01/26) | 5.00% | 08/01/28 | 326,662 | |
600,000 | Henrico Cnty VA Econ Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury Proj | 5.00% | 10/01/30 | 622,746 | |
1,490,000 | Loudoun Cnty VA, Ser B | 4.00% | 12/01/28 | 1,503,771 | |
1,000,000 | Louisa VA Indl Dev Auth Poll Control Rev Var VA Elec & Pwr Co Proj Remk, Ser A (Mandatory put 10/01/27) | 3.65% | 11/01/35 | 1,005,977 | |
1,525,000 | Norfolk VA Wtr Rev Ref | 5.00% | 11/01/31 | 1,662,348 | |
845,000 | Richmond VA Redev & Hsg Auth Mf Rev Var Townes at River South (Mandatory put 03/01/25) | 4.25% | 03/01/26 | 849,708 | |
125,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/26 | 128,304 | |
1,585,000 | VA St Pub Bldg Auth Pub Facs Rev, Ser C, AMT | 5.00% | 08/01/29 | 1,651,536 | |
445,000 | VA St Res Auth Clean Wtr Rev Ref Revolving Fund, Ser B | 4.00% | 10/01/27 | 446,748 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Virginia (Continued) | |||||
$1,000,000 | VA St Small Busn Fing Auth Rev Ref Sr Lien 95 Express Lanes LLC Proj, AMT | 5.00% | 01/01/37 | $1,085,671 | |
1,000,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Temps 50Sm Westminster Canterbury on Chesapeake Bay, Ser B-3 | 5.38% | 09/01/29 | 1,030,391 | |
380,000 | 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 | 375,064 | |
15,371,977 | |||||
Washington — 0.6% | |||||
100,000 | WA St Hlth Care Facs Auth Ref Seattle Cancer Care Alliance | 5.00% | 09/01/27 | 105,317 | |
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 | 2,218,529 | |
350,000 | WA St Hsg Fin Commn Nonprofit Hsg Rev Ref Emerald Heights Proj, Ser A | 5.00% | 07/01/27 | 364,341 | |
2,688,187 | |||||
West Virginia — 0.6% | |||||
1,000,000 | WV St Econ Dev Auth Sol Wst Disp Facs Var Arch Res Proj, AMT (Mandatory put 07/01/25) | 4.13% | 07/01/45 | 995,021 | |
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 | 1,506,716 | |
2,501,737 | |||||
Wisconsin — 2.5% | |||||
2,000,000 | Oak Creek WI, Ser B, NANS | 4.00% | 04/01/26 | 2,007,923 | |
100,000 | Pub Fin Auth WI Edu Rev Coral Acdmy of Science Las Vegas, Ser A | 4.00% | 07/01/26 | 98,731 | |
185,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/25 | 186,686 | |
250,000 | Pub Fin Auth WI Hosp Rev Ref Carson Vly Med Ctr, Ser A (a) | 3.00% | 12/01/26 | 232,758 | |
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 | 3,986,358 | |
285,000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt Homes, Ser A | 4.00% | 10/01/25 | 281,559 | |
605,000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt Homes, Ser A | 4.00% | 10/01/26 | 594,777 | |
325,000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt Homes, Ser A | 4.00% | 10/01/29 | 315,989 | |
225,000 | Pub Fin Auth WI Rev Unrefunded Roseman Univ Hlth Sciences Proj (a) | 3.00% | 04/01/25 | 219,939 | |
800,000 | Pub Fin Auth WI Sr Living Rev Rose Villa Proj, Ser A (Pre- refunded maturity 11/15/24) (a) | 5.75% | 11/15/44 | 813,119 | |
1,000,000 | Waukesha WI, Ser A, NANS | 4.00% | 07/01/24 | 1,000,513 | |
275,000 | WI St Clean Wtr Rev Ref (Pre-refunded maturity 06/01/24) | 5.00% | 06/01/26 | 276,607 | |
400,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Ascension Hlth Credit Grp, Ser A | 5.00% | 11/15/36 | 410,449 | |
155,000 | WI St Hlth & Eductnl Facs Auth Rev Three Pillars Sr Living Cmntys, Ser A | 4.00% | 08/15/24 | 154,188 | |
10,579,596 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Wyoming — 0.3% | |||||
$250,000 | Consol Muni Elec Pwr Sys WY Jt Pwrs Brd Sys Jt Pwrs Brd Ref Electrical Sys Proj | 5.00% | 06/01/26 | $261,556 | |
755,000 | Consol Muni Elec Pwr Sys WY Jt Pwrs Brd Sys Jt Pwrs Brd Ref Electrical Sys Proj | 5.25% | 06/01/37 | 861,172 | |
1,122,728 | |||||
Total Investments — 98.8% | 414,665,165 | ||||
(Cost $414,951,434) | |||||
Net Other Assets and Liabilities — 1.2% | 4,929,730 | ||||
Net Assets — 100.0% | $419,594,895 |
(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 Fund’s advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At January 31, 2024, securities noted as such amounted to $19,294,577 or 4.6% of net assets. |
(b) | Variable rate demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(c) | Zero coupon security. |
Abbreviations throughout the Portfolio of Investments: | |
AGM | – Assured Guaranty Municipal Corp. |
AMBAC | – American Municipal Bond Assurance Corp. |
AMT | – Alternative Minimum Tax |
BAM | – Build America Mutual |
BANS | – Bond Anticipation Notes |
CABS | – Capital Appreciation Bonds |
COPS | – Certificates of Participation |
GARVEE | – Grant Anticipation Revenue Vehicle |
NANS | – Note Anticipation Notes |
NATL-RE | – National Public Finance Guarantee Corp. |
Valuation Inputs
Total Value at 1/31/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $414,665,165 | $— | $414,665,165 | $— |
* | See Portfolio of Investments for state and territory breakout. |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS — 98.8% | |||||
Alabama — 2.9% | |||||
$200,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev Proj #5, Ser A-1 | 4.00% | 10/01/24 | $200,069 | |
480,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev Proj No. 4, Ser A-1 | 4.00% | 06/01/24 | 479,995 | |
385,000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 | 5.25% | 06/01/24 | 386,696 | |
625,000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 | 5.25% | 12/01/24 | 632,457 | |
1,390,000 | Lower AL Gas Dist Gas Proj Rev Bonds Proj 2 (Mandatory put 12/01/25) | 4.00% | 12/01/50 | 1,391,567 | |
1,120,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A (Mandatory put 06/01/24) | 4.00% | 06/01/49 | 1,120,398 | |
2,000,000 | Tender Option Bond Trust Receipts / Ctfs Various States JPM Putters Xm1090, Ser 2022 (a) (b) | 3.25% | 02/01/46 | 2,000,000 | |
6,211,182 | |||||
Arizona — 1.9% | |||||
1,615,000 | AZ St Transprtn Brd Excise Tax Rev Ref | 5.00% | 07/01/25 | 1,664,199 | |
500,000 | Phoenix AZ Civic Impt Corp Arpt Rev Ref Sr Lien, AMT | 5.00% | 07/01/25 | 510,688 | |
2,000,000 | Phoenix AZ Civic Impt Corp Wtr Sys Rev Junior Lien, Ser A (Pre- refunded maturity 07/01/24) | 4.75% | 07/01/44 | 2,012,369 | |
4,187,256 | |||||
California — 1.3% | |||||
200,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Var Sustainable Bonds Clean Energy Proj, Ser C | 5.00% | 10/01/24 | 200,960 | |
1,625,000 | CA St Infra & Econ Dev Bank Rev Brightline E Passenger Rail Proj Remk, Ser A, AMT (Mandatory put 01/30/25) (a) (b) | 3.95% | 01/01/50 | 1,625,153 | |
1,000,000 | CA St Muni Fin Auth Sol Wst Disp Rev Var Rep Svcs Inc Proj Remk, Ser B, AMT (Mandatory put 07/15/24) (b) | 4.00% | 07/01/51 | 1,000,115 | |
2,826,228 | |||||
Colorado — 1.6% | |||||
185,000 | CO St Hlth Facs Auth Rev Ref Commonspirit Hlth, Ser B-1 (Mandatory put 08/01/25) | 5.00% | 08/01/49 | 187,620 | |
1,125,000 | CO St Hlth Facs Auth Rev Ref Sanford Hlth, Ser A | 5.00% | 11/01/24 | 1,138,134 | |
1,230,000 | CO St Ref Projs, Ser A, COPS | 5.00% | 09/01/24 | 1,243,915 | |
1,000,000 | Denver City & Cnty CO Arpt Rev Sub Sys, Ser B | 5.00% | 11/15/43 | 1,000,579 | |
3,570,248 | |||||
Connecticut — 0.9% | |||||
2,000,000 | CT St, Ser A | 5.00% | 01/15/25 | 2,037,279 | |
District of Columbia — 0.6% | |||||
1,255,000 | DC Rev Federal Hwy Grant Anticipation Rev Bonds, GARVEE | 5.00% | 12/01/24 | 1,274,861 | |
Florida — 6.0% | |||||
2,000,000 | FL St Brd of Edu Pub Edu Ref Capital Outlay, Ser A | 5.00% | 06/01/25 | 2,012,786 | |
745,000 | Harmony FL CDD Capital Impt Rev Ref | 5.00% | 05/01/25 | 745,344 | |
1,150,000 | JEA FL Wtr & Swr Rev Ref, Ser A | 5.00% | 10/01/24 | 1,165,266 | |
250,000 | Lakes By The Bay S FL CDD Assmnt Ref | 5.13% | 05/01/24 | 250,227 | |
175,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Ref Country Club E Proj, AGM | 5.00% | 05/01/25 | 178,670 | |
750,000 | Miami-Dade Cnty FL Hsg Fin Auth Mf Hsg Rev Var Cutler Vista (Mandatory put 09/01/25) | 5.00% | 03/01/27 | 766,022 | |
750,000 | Miami-Dade Cnty FL Hsg Fin Auth Mf Hsg Rev Var Emerald Dunes, Ser B (Mandatory put 09/01/25) | 4.05% | 09/01/26 | 754,370 | |
1,000,000 | Miami-Dade Cnty FL Hsg Fin Auth Mf Hsg Rev Var Running Brook Apartments (Mandatory put 01/01/26) | 3.55% | 01/01/27 | 997,874 | |
2,000,000 | Miami-Dade Cnty FL Sch Brd Ref, Ser B, COPS | 5.00% | 05/01/24 | 2,007,884 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Florida (Continued) | |||||
$2,000,000 | Miami-Dade Cnty FL Sch Dist, TANS | 5.00% | 06/18/24 | $2,012,251 | |
1,000,000 | Miami-Dade Cnty FL Seaport Rev Ref Sr Bonds, Ser A, AMT | 5.00% | 10/01/25 | 1,025,619 | |
600,000 | Santa Rosa Cnty Sch Brd, Ser A, AGM, COPS | 5.00% | 02/01/25 | 611,335 | |
455,000 | Tampa FL Capital Impt Cigarette Tax Allocation H Lee Moffitt Cancer Ctr Proj, Ser A | 5.00% | 09/01/24 | 459,019 | |
12,986,667 | |||||
Georgia — 5.3% | |||||
1,170,000 | Atlanta GA Arpt Rev Ref, Ser B, AMT | 5.00% | 07/01/24 | 1,176,738 | |
860,000 | Atlanta GA Arpt Rev, Ser B, AMT | 5.00% | 07/01/25 | 878,982 | |
1,000,000 | Atlanta GA Wtr & Wstwtr Rev Ref, Ser C | 5.00% | 11/01/24 | 1,015,314 | |
900,000 | Burke Cnty GA Dev Auth Poll Control Rev Var GA Pwr Co Vogtle, 1st Ser (b) | 3.60% | 07/01/49 | 900,000 | |
1,000,000 | Burke Cnty GA Dev Auth Poll Control Rev Var Ref GA Pwr Co Plant Vogtle Proj (b) | 3.65% | 11/01/52 | 1,000,000 | |
250,000 | Main Street Nat Gas Inc GA Gas Sply Rev Var, Ser B (Mandatory put 12/02/24) | 4.00% | 08/01/49 | 250,425 | |
650,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 06/01/24 | 651,392 | |
540,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 03/01/25 | 545,200 | |
550,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 06/01/25 | 556,094 | |
250,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser B | 5.00% | 03/01/24 | 250,131 | |
500,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser B | 5.00% | 06/01/24 | 501,071 | |
250,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser B | 5.00% | 09/01/24 | 251,162 | |
2,100,000 | Met Atlanta GA Rapid Transit Auth Sales Tax Rev Ref, Ser A | 4.00% | 07/01/24 | 2,108,819 | |
1,370,000 | Monroe Cnty GA Dev Auth Poll Control Rev GA Pwr Co Plant Scherer Proj Remk, 1st Ser | 2.25% | 07/01/25 | 1,327,187 | |
11,412,515 | |||||
Hawaii — 1.2% | |||||
2,500,000 | HI St Arpts Sys Rev Ref, Ser B, AMT | 5.00% | 07/01/24 | 2,513,058 | |
Illinois — 4.0% | |||||
500,000 | DuPage & Cook Cntys IL Cmnty Consolidated Sch Dist #181 Hinsdale Ref Sch, Ser B | 3.00% | 05/01/24 | 499,391 | |
1,250,000 | IL St Fin Auth Centegra Hlth Sys, Ser A (Pre-refunded maturity 09/01/24) | 5.00% | 09/01/28 | 1,262,842 | |
250,000 | IL St Fin Auth Hlth Svcs Facs Lease Rev Univ of IL Hlth Svcs Fac Proj | 5.00% | 10/01/24 | 252,051 | |
1,035,000 | IL St Fin Auth Rev Ref Ann & Robert H Lurie Childrens Hosp | 5.00% | 08/15/25 | 1,064,840 | |
1,020,000 | IL St Fin Auth Rev Ref Rush Univ Med Ctr, Ser A | 5.00% | 11/15/25 | 1,042,677 | |
625,000 | IL St Hsg Dev Auth Mf Hsg Rev Var S Shore (Mandatory put 06/01/25) | 4.00% | 06/01/26 | 627,297 | |
2,090,000 | IL St, Ser D | 5.00% | 11/01/24 | 2,114,401 | |
1,000,000 | Sales Tax Securitization Corp IL Sr, Ser D | 5.00% | 01/01/25 | 1,015,548 | |
840,000 | Schaumburg IL Ref | 4.00% | 12/01/24 | 843,509 | |
8,722,556 | |||||
Indiana — 0.7% | |||||
1,500,000 | IN St Fin Auth Econ Dev Rev Ref Rep Svcs Inc Proj Remk, Ser A, AMT (Mandatory put 03/01/24) (b) | 4.50% | 05/01/34 | 1,500,017 | |
Iowa — 0.5% | |||||
1,000,000 | IA St Fin Auth Sol Wst Facs Rev Var Sustainable Gevo NW Rng LLC Renewable Natrl Gas Proj, AMT (Mandatory put 04/01/24) | 1.50% | 01/01/42 | 993,499 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Kansas — 0.5% | |||||
$1,000,000 | Dodge City KS Temp Nts, Ser 2023-1 | 4.13% | 09/01/25 | $1,005,190 | |
Kentucky — 4.2% | |||||
450,000 | Berea KY Eductnl Facs Rev Var Berea Clg Proj, Ser A (b) | 3.22% | 06/01/32 | 450,000 | |
930,000 | KY Bond Dev Corp Indl Bldg Rev KY Communications Network Auth Proj, BAM | 5.00% | 09/01/24 | 939,716 | |
200,000 | KY St Property & Bldgs Commn Rev Ref Proj #128, Ser A | 5.00% | 11/01/24 | 202,409 | |
505,000 | KY St Property & Bldgs Commn Rev Ref Proj #128, Ser A | 5.00% | 11/01/25 | 520,605 | |
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 | 165,279 | |
2,500,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A (Mandatory put 04/01/24) | 4.00% | 04/01/48 | 2,503,333 | |
2,665,000 | Nthrn KY Wtr Dist Rev Ref, Ser B | 4.00% | 02/01/25 | 2,689,370 | |
1,525,000 | Paducah Elec Plant Brd Ref Rev, Ser A, AGM | 5.00% | 10/01/24 | 1,541,016 | |
9,011,728 | |||||
Louisiana — 3.2% | |||||
1,170,000 | E Baton Rouge Parish LA Swr Commn Rev Ref, Ser B (Pre- refunded maturity 02/01/25) | 5.00% | 02/01/30 | 1,194,305 | |
1,000,000 | LA St, GARVEE | 5.00% | 09/01/24 | 1,011,660 | |
1,500,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Var American Biocarbon Ct LLC Proj Remk, AMT (Mandatory put 03/22/24) | 4.00% | 12/01/46 | 1,500,323 | |
1,925,000 | LA St Pub Facs Authsol Wst Disp Fac Rev Var Elementus Minerals LLC Proj (Mandatory put 11/01/25) (a) | 5.00% | 10/01/43 | 1,955,380 | |
15,000 | New Orleans LA Wtr Rev Ref (Pre-refunded maturity 12/01/24) | 5.00% | 12/01/29 | 15,239 | |
35,000 | New Orleans LA Wtr Rev Ref (Pre-refunded maturity 12/01/24) | 5.00% | 12/01/34 | 35,557 | |
280,000 | New Orleans LA Wtr Rev Ref (Pre-refunded maturity 12/01/24) | 5.00% | 12/01/44 | 284,454 | |
1,000,000 | Saint James Parish LA Rev Var Nustar Logistics LP Proj Remk, Ser 2011 (Mandatory put 06/01/25) (a) | 5.85% | 08/01/41 | 1,020,159 | |
7,017,077 | |||||
Maine — 0.8% | |||||
800,000 | ME St Fin Auth Sol Wst Disp Rev Casella Waste Sys Proj, AMT (Mandatory put 08/01/25) (a) | 5.13% | 08/01/35 | 802,682 | |
1,000,000 | ME St Govtl Facs Auth, Ser B | 5.00% | 10/01/24 | 1,012,679 | |
1,815,361 | |||||
Maryland — 1.4% | |||||
925,000 | MD St Stadium Auth Rev Football Stadium Issue, Ser A | 5.00% | 03/01/25 | 944,238 | |
2,000,000 | Montgomery Cnty MD, Ser A | 5.00% | 12/01/25 | 2,031,497 | |
2,975,735 | |||||
Massachusetts — 2.5% | |||||
2,000,000 | MA St Clg Bldg Auth Ref, Ser D (Pre-refunded maturity 05/01/25) | 5.00% | 05/01/41 | 2,051,830 | |
475,000 | MA St Dev Fin Agy Rev Ref Boston Med Ctr Sustainability Bonds, Ser G | 5.00% | 07/01/24 | 477,696 | |
1,500,000 | Millbury MA, BANS | 5.00% | 08/30/24 | 1,515,208 | |
1,275,000 | Nauset MA Regl Sch Dist, BANS | 5.00% | 05/16/24 | 1,281,061 | |
5,325,795 | |||||
Michigan — 1.1% | |||||
400,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Junior Lien Bond, Ser B | 5.00% | 07/01/24 | 402,914 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Michigan (Continued) | |||||
$1,000,000 | MI St Bldg Auth Rev Ref Facilities Prog State of MI, Ser I | 5.00% | 04/15/24 | $1,003,310 | |
1,000,000 | Univ of MI MI Ref, Ser A | 5.00% | 04/01/24 | 1,003,072 | |
2,409,296 | |||||
Minnesota — 1.2% | |||||
1,000,000 | MN St Hsg Fin Agy Calvary Ctr Apartments, Ser D | 3.65% | 02/01/25 | 1,000,035 | |
700,000 | MN St Hsg Fin Agy Phalen Vlg, Ser E | 3.88% | 08/01/25 | 702,402 | |
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 | 997,518 | |
2,699,955 | |||||
Missouri — 0.7% | |||||
1,500,000 | MO St Pub Util Commn Rev Nts | 4.00% | 12/01/24 | 1,501,985 | |
Nevada — 0.5% | |||||
1,000,000 | Henderson NV Pub Impt Trust Rev Ref Touro Clg & Univ Sys Oblig Grp (Pre-refunded maturity 07/01/24) | 5.50% | 01/01/44 | 1,009,446 | |
New Jersey — 5.1% | |||||
1,000,000 | Evesham Twp NJ, Ser A, BANS | 5.00% | 09/18/24 | 1,010,390 | |
1,000,000 | Hudson Cnty NJ Impt Auth Loc Unit Loan Prog, Ser A | 4.25% | 04/05/24 | 1,001,575 | |
2,000,000 | Jersey City NJ, Ser C, BANS | 5.00% | 10/24/24 | 2,023,516 | |
1,170,000 | Newark NJ Ref, Ser A, AGM | 5.00% | 10/01/24 | 1,182,673 | |
1,000,000 | NJ St Econ Dev Auth Rev Ref, Ser B | 5.00% | 11/01/24 | 1,013,951 | |
1,080,000 | NJ St Econ Dev Auth Rev Ref, Ser XX | 5.00% | 06/15/24 | 1,087,174 | |
100,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev Sr, Ser 2015-1A, AMT | 5.00% | 12/01/24 | 101,327 | |
1,500,000 | NJ St Hlth Care Facs Fing Auth Rev Rwj Barnabas Hlth Obligated Grp Issue, Ser A | 5.00% | 07/01/25 | 1,540,013 | |
2,000,000 | Robbinsville Twp NJ Mercer Cnty, Ser B, BANS | 5.00% | 07/11/24 | 2,014,626 | |
10,975,245 | |||||
New York — 6.9% | |||||
2,000,000 | Batavia Town NY, BANS | 4.75% | 03/07/24 | 2,002,821 | |
1,965,000 | 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 | 1,865,803 | |
2,000,000 | New York City NY Transitional Fin Auth Rev Ref Sub Multi- Modal, Ser B-1 | 5.00% | 11/01/24 | 2,030,627 | |
1,295,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser A, AMT | 5.00% | 12/01/24 | 1,304,237 | |
255,000 | Onondaga NY Civic Dev Corp Le Moyne Clg Proj | 5.00% | 07/01/24 | 255,892 | |
1,500,000 | Phelps Clifton Springs NY Centrl Sch Dist, BANS | 4.50% | 06/28/24 | 1,506,089 | |
1,595,000 | Suffolk Cnty NY, Ser A, BAM | 5.00% | 06/15/25 | 1,640,173 | |
1,500,000 | Triborough NY Bridge & Tunnel Auth Payroll Mobility Tax, Ser A, BANS | 5.00% | 08/15/24 | 1,514,919 | |
1,200,000 | Triborough NY Bridge & Tunnel Auth Payroll Mobility Tax, Ser B, BANS | 5.00% | 12/16/24 | 1,220,019 | |
1,500,000 | Waterloo NY Centrl Sch Dist, BANS | 4.50% | 06/28/24 | 1,504,975 | |
14,845,555 | |||||
North Carolina — 0.5% | |||||
1,050,000 | NC St Dept Grant Anticipation Rev | 5.00% | 03/01/25 | 1,072,401 | |
North Dakota — 0.7% | |||||
1,500,000 | Cass Cnty ND Jt Wtr Res Dist, Ser A | 0.48% | 05/01/24 | 1,486,037 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Ohio — 3.0% | |||||
$1,000,000 | Franklin Cnty OH Rev Var CHE Trinity Hlth Cred Grp Remk, Ser OH (Mandatory put 05/01/24) (b) | 4.30% | 12/01/46 | $1,000,293 | |
2,000,000 | Hamilton OH, BANS | 4.50% | 12/19/24 | 2,017,118 | |
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 | 488,955 | |
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 | 1,466,863 | |
1,400,000 | OH St Hosp Fac Rev Ref Cleveland Clinic Hlth Sys, Ser A | 5.00% | 01/01/25 | 1,424,051 | |
6,397,280 | |||||
Oregon — 2.8% | |||||
2,000,000 | Lane Cnty OR Sch Dist #4J Eugene (Pre-refunded maturity 06/15/24) | 4.00% | 06/15/28 | 2,006,558 | |
1,500,000 | OR St Article Xi Q State Projs, Ser J | 5.00% | 11/01/24 | 1,522,859 | |
2,500,000 | Portland OR Wtr Sys Rev Ref Second Lien, Ser B | 5.00% | 05/01/25 | 2,564,788 | |
6,094,205 | |||||
Pennsylvania — 9.4% | |||||
1,530,000 | PA Ref, 1st Ser, AGM | 5.00% | 09/15/25 | 1,585,399 | |
250,000 | PA St Econ Dev Fing Auth Solid Waste Disposal Rev Var Rep Svcs Inc Proj Remk, Ser B-1, AMT (Mandatory put 04/15/24) (b) | 4.00% | 04/01/49 | 250,012 | |
5,000,000 | PA St Econ Dev Fing Auth Solid Waste Disposal Rev Var Waste Mgmt Inc Proj Remk, AMT (Mandatory put 05/01/24) (b) | 4.88% | 08/01/45 | 5,000,000 | |
260,000 | PA St Econ Dev Fing Auth UPMC Rev Ref, Ser B | 5.00% | 05/15/24 | 261,232 | |
225,000 | PA St Econ Dev Fing Auth UPMC Rev, Ser A-2 | 5.00% | 05/15/24 | 226,066 | |
2,580,000 | PA St Turnpike Commn Turnpike Rev, Ser A (Forward refunding maturity 12/01/24) | 5.00% | 12/01/38 | 2,613,971 | |
1,250,000 | Philadelphia PA Arpt Rev Ref, Ser B, AMT | 5.00% | 07/01/25 | 1,274,119 | |
1,180,000 | Philadelphia PA Redev Auth Ref Neighborhood Transform Preservation Initiative, Ser C | 5.00% | 04/15/24 | 1,183,422 | |
2,000,000 | Philadelphia PA Sch Dist Trans, Ser A | 5.00% | 06/28/24 | 2,011,352 | |
1,105,000 | Philadelphia PA, Ser B | 5.00% | 02/01/24 | 1,105,000 | |
500,000 | Pottsville PA Hosp Auth Hlth Ctr Rev Schuylkill Hlth Sys Proj (a) | 6.00% | 07/01/24 | 504,954 | |
300,000 | Riverside PA Sch Dist Ref, BAM | 4.00% | 10/15/24 | 301,708 | |
275,000 | Riverside PA Sch Dist Ref, BAM | 4.00% | 10/15/25 | 279,142 | |
785,000 | Scranton PA Sch Dist Ref | 5.00% | 12/01/24 | 794,708 | |
1,000,000 | St Pub Sch Bldg Auth PA Lease Rev Ref Sch Philadelphia Sch Dist Proj, Ser A, BAM | 5.00% | 06/01/24 | 1,005,182 | |
2,000,000 | Tender Option Bond Trust Receipts / Ctfs Various States JPM Putters Xm1120, AGM (a) (b) | 3.27% | 10/01/26 | 2,000,000 | |
20,396,267 | |||||
Rhode Island — 0.5% | |||||
1,050,000 | RI St Hlth & Eductnl Bldg Corp Pub Schs Rev, Ser D, BAM | 5.00% | 05/15/24 | 1,055,670 | |
South Carolina — 3.2% | |||||
2,500,000 | Cnty Sq Redev Corp SC Installment Pur Rev Greenville Co SC Proj, BANS | 5.00% | 02/09/24 | 2,500,883 | |
550,000 | Greenville Cnty SC Sch Dist Installment Pur Rev Ref SC Proj | 5.00% | 12/01/24 | 558,659 | |
2,750,000 | Patriots Energy Grp Fing Agy SC Gas Sply Rev, Ser A (Mandatory put 02/01/24) | 4.00% | 10/01/48 | 2,750,000 | |
1,050,000 | SC St Ref, Ser B | 5.00% | 04/01/24 | 1,053,522 | |
6,863,064 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Tennessee — 2.8% | |||||
$750,000 | Johnson City TN Hlth & Eductnl Facs Brd Hosp Rev Ref Ballad Hlth, Ser A | 5.00% | 07/01/24 | $753,547 | |
2,000,000 | Knoxville TN Wstwtr Sys Rev, Ser A | 4.00% | 04/01/25 | 2,024,215 | |
1,300,000 | Tennergy Corp TN Gas Rev, Ser A (Mandatory put 10/01/24) | 5.00% | 02/01/50 | 1,309,954 | |
910,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/24 | 916,353 | |
1,000,000 | TN St, Ser A (Pre-refunded maturity 09/01/24) | 5.00% | 09/01/33 | 1,011,429 | |
6,015,498 | |||||
Texas — 16.9% | |||||
1,650,000 | Austin TX Wtr & Wstwtr Sys Rev Ref | 5.00% | 11/15/25 | 1,710,181 | |
1,000,000 | Centrl TX Regl Mobility Auth Rev Ref | 5.00% | 01/01/25 | 1,016,001 | |
650,000 | Cypress Fairbanks Indep Sch Dist Ref, Ser A | 5.00% | 02/15/25 | 663,667 | |
560,000 | Dallas Fort Worth TX Intl Arpt Rev Ref, Ser B | 5.00% | 11/01/24 | 567,867 | |
500,000 | Dallas Fort Worth TX Intl Arpt Rev Ref, Ser B | 5.00% | 11/01/25 | 517,783 | |
1,420,000 | Dallas TX Area Rapid Transit Sales Tax Rev Ref Sr Lien | 5.00% | 12/01/25 | 1,476,864 | |
1,900,000 | Duncanville TX Indep Sch Dist Sch Bldg (Pre-refunded maturity 02/15/25) | 5.00% | 02/15/36 | 1,936,276 | |
1,295,000 | Fort Bend TX Indep Sch Dist Var Remk, Ser A (Mandatory put 08/01/24) | 2.38% | 08/01/49 | 1,287,568 | |
1,665,000 | Fort Worth TX Wtr & Swr Rev Impt Ref, Ser A | 5.00% | 02/15/25 | 1,700,352 | |
400,000 | Galveston TX Wharves & Terminal Rev First Lien, AMT | 5.25% | 08/01/24 | 402,320 | |
250,000 | Galveston TX Wharves & Terminal Rev First Lien, AMT | 5.25% | 08/01/25 | 254,787 | |
1,105,000 | Georgetown TX Indep Sch Dist | 5.00% | 08/15/24 | 1,116,167 | |
1,000,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Rev Var Ref Memorial Hermann Hlth Sys, Ser C-2 (Mandatory put 12/01/24) | 5.00% | 06/01/32 | 1,012,367 | |
1,000,000 | Harris Cnty TX Toll Road Rev Ref, Ser A | 5.00% | 08/15/25 | 1,031,417 | |
200,000 | Houston TX Ref Pub Impt, Ser A | 5.00% | 03/01/24 | 200,274 | |
1,465,000 | Houston TX Util Sys Rev Ref Comb 1st Lien, Ser C | 5.00% | 05/15/24 | 1,472,362 | |
600,000 | Houston TX Util Sys Rev Rev Ref First Lien, Ser A | 5.00% | 11/15/24 | 608,763 | |
700,000 | Love Field TX Arpt Modernization Corp Gen Arpt Rev, AMT | 5.00% | 11/01/24 | 706,414 | |
1,350,000 | Lower CO River TX Auth Rev Ref | 5.00% | 05/15/24 | 1,356,590 | |
1,100,000 | Lower CO River TX Auth Rev Ref, Ser A | 5.00% | 05/15/24 | 1,105,370 | |
275,000 | Mansfield TX Indep Sch Dist Ref, Ser B | 5.00% | 02/15/25 | 280,697 | |
1,140,000 | Met Transit Auth of Harris Cnty Sales & Use Tax Rev, Ser D | 5.00% | 11/01/24 | 1,156,439 | |
3,000,000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Var Ref Rep Svcs Inc Proj Remk, AMT (Mandatory put 05/01/24) (b) | 4.90% | 01/01/26 | 3,000,000 | |
430,000 | Montgomery Cnty TX Muni Util Dist #105, BAM | 4.63% | 09/01/24 | 432,264 | |
1,200,000 | N TX St Muni Wtr Dist Wtr Sys Rev Ref & Impt | 5.00% | 09/01/24 | 1,201,938 | |
1,000,000 | New Hope Cultural Edu Facs Fin Corp TX Stdt Hsg Rev Chf Collegiate Hsg Tarleton St Univ Proj, Ser A (Pre-refunded maturity 04/01/25) | 5.00% | 04/01/47 | 1,019,999 | |
1,010,000 | Pasadena Indep Sch Dist | 5.00% | 02/15/25 | 1,031,237 | |
400,000 | Port Auth of Houston of Harris Cnty TX Ref First Lien | 5.00% | 10/01/24 | 404,940 | |
1,000,000 | Socorro TX Indep Sch Dist Ref, Ser A (Pre-refunded maturity 08/15/24) | 5.00% | 08/15/30 | 1,009,963 | |
965,000 | Tarrant Cnty TX Hosp Dist | 5.00% | 08/15/24 | 974,958 | |
875,000 | Travis Cnty TX Hsg Fin Corp Mf Hsg Rev Var Kensington Apts (Mandatory put 08/01/25) | 3.75% | 08/01/26 | 876,380 | |
1,000,000 | TX St Dept of Hsg & Cmnty Affairs Mf Hsg Rev Var Nts Aspen Park (Mandatory put 03/01/26) | 5.00% | 03/01/41 | 1,014,043 | |
650,000 | TX St Turnpike Auth Centrl TX Turnpike Sys Rev Unrefunded 1st Tier, Ser A, AMBAC, CABS | (c) | 08/15/24 | 637,878 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
MUNICIPAL BONDS (Continued) | |||||
Texas (Continued) | |||||
$2,000,000 | United TX Indep Sch Dist Sch Bldg (Pre-refunded maturity 08/15/24) | 5.00% | 08/15/44 | $2,019,392 | |
1,305,000 | Ysleta TX Indep Sch Dist Ref (Pre-refunded maturity 08/15/24) | 5.00% | 08/15/28 | 1,317,653 | |
36,521,171 | |||||
Virginia — 0.5% | |||||
845,000 | Richmond VA Redev & Hsg Auth Mf Rev Var Townes at River South (Mandatory put 03/01/25) | 4.25% | 03/01/26 | 849,708 | |
175,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/24 | 175,300 | |
1,025,008 | |||||
Washington — 3.1% | |||||
2,430,000 | Grant Cnty WA Pub Util Dist #2 Priest Rapids Hydro Elec R Ref, Ser B, AMT (Pre-refunded maturity 07/01/24) | 5.00% | 01/01/29 | 2,445,496 | |
1,790,000 | Seattle WA Wtr Sys Rev Sustainable Bond Ref | 5.00% | 08/01/24 | 1,807,542 | |
1,700,000 | WA St Hlth Care Facs Auth Ref Commonspirit Hlth, Ser B1 (Mandatory put 08/01/24) | 5.00% | 08/01/49 | 1,701,099 | |
350,000 | WA St Hsg Fin Commn Nonprofit Hsg Rev Ref Emerald Heights Proj, Ser A | 5.00% | 07/01/24 | 351,228 | |
345,000 | WA St Hsg Fin Commn Nonprofit Hsg Rev Ref Emerald Heights Proj, Ser A | 5.00% | 07/01/25 | 349,922 | |
6,655,287 | |||||
Wisconsin — 0.4% | |||||
410,000 | Milwaukee WI Ref Prom Nts, Ser N2 | 4.00% | 03/15/25 | 412,221 | |
490,000 | Milwaukee WI Ref Promissory Nts, Ser N4 | 5.00% | 04/01/24 | 491,009 | |
903,230 | |||||
Total Investments — 98.8% | 213,312,852 | ||||
(Cost $213,207,429) | |||||
Net Other Assets and Liabilities — 1.2% | 2,603,708 | ||||
Net Assets — 100.0% | $215,916,560 |
(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 Fund’s advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At January 31, 2024, securities noted as such amounted to $9,908,328 or 4.6% of net assets. |
(b) | Variable rate demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(c) | Zero coupon security. |
Abbreviations throughout the Portfolio of Investments: | |
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 |
TANS | – Tax Anticipation Notes |
Valuation Inputs
Total Value at 1/31/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $213,312,852 | $— | $213,312,852 | $— |
* | See Portfolio of Investments for state and territory breakout. |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | |
ASSETS: | ||
Investments, at value | $414,665,165 | $213,312,852 |
Cash | 782,713 | 2,867,883 |
Receivables: | ||
Interest | 4,340,258 | 2,830,264 |
Capital shares sold | — | 1,205 |
Total Assets | 419,788,136 | 219,012,204 |
LIABILITIES: | ||
Payables: | ||
Investment advisory fees | 193,241 | 84,722 |
Capital shares redeemed | — | 3,010,922 |
Total Liabilities | 193,241 | 3,095,644 |
NET ASSETS | $419,594,895 | $215,916,560 |
NET ASSETS consist of: | ||
Paid-in capital | $427,032,243 | $215,441,830 |
Par value | 211,000 | 107,500 |
Accumulated distributable earnings (loss) | (7,648,348 ) | 367,230 |
NET ASSETS | $419,594,895 | $215,916,560 |
NET ASSET VALUE, per share | $19.89 | $20.09 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 21,100,002 | 10,750,002 |
Investments, at cost | $414,951,434 | $213,207,429 |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | |
INVESTMENT INCOME: | ||
Interest | $6,599,076 | $3,835,538 |
Total investment income | 6,599,076 | 3,835,538 |
EXPENSES: | ||
Investment advisory fees | 1,133,000 | 560,968 |
Total expenses | 1,133,000 | 560,968 |
NET INVESTMENT INCOME (LOSS) | 5,466,076 | 3,274,570 |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on investments | (1,920,430 ) | 14,105 |
Net change in unrealized appreciation (depreciation) on investments | 4,678,782 | 1,089,999 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 2,758,352 | 1,104,104 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $8,224,428 | $4,378,674 |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | |||
Six Months Ended 1/31/2024 (Unaudited) | Year Ended 7/31/2023 | Six Months Ended 1/31/2024 (Unaudited) | Year Ended 7/31/2023 | |
OPERATIONS: | ||||
Net investment income (loss) | $5,466,076 | $8,762,819 | $3,274,570 | $6,184,991 |
Net realized gain (loss) | (1,920,430 ) | (5,127,926 ) | 14,105 | 5,122 |
Net change in unrealized appreciation (depreciation) | 4,678,782 | 96,999 | 1,089,999 | (190,325 ) |
Net increase (decrease) in net assets resulting from operations | 8,224,428 | 3,731,892 | 4,378,674 | 5,999,788 |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Investment operations | (5,268,850 ) | (8,538,673 ) | (2,937,850 ) | (6,108,951 ) |
Return of capital | — | (113,528 ) | — | — |
Total distributions to shareholders | (5,268,850 ) | (8,652,201 ) | (2,937,850 ) | (6,108,951 ) |
SHAREHOLDER TRANSACTIONS: | ||||
Proceeds from shares sold | 28,528,703 | 178,360,260 | 6,012,937 | 83,686,597 |
Cost of shares redeemed | (38,021,117 ) | (50,275,222 ) | (61,081,906 ) | (99,839,409 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | (9,492,414 ) | 128,085,038 | (55,068,969 ) | (16,152,812 ) |
Total increase (decrease) in net assets | (6,536,836 ) | 123,164,729 | (53,628,145 ) | (16,261,975 ) |
NET ASSETS: | ||||
Beginning of period | 426,131,731 | 302,967,002 | 269,544,705 | 285,806,680 |
End of period | $419,594,895 | $426,131,731 | $215,916,560 | $269,544,705 |
CHANGES IN SHARES OUTSTANDING: | ||||
Shares outstanding, beginning of period | 21,600,002 | 15,100,002 | 13,500,002 | 14,300,002 |
Shares sold | 1,450,000 | 9,050,000 | 300,000 | 4,200,000 |
Shares redeemed | (1,950,000 ) | (2,550,000 ) | (3,050,000 ) | (5,000,000 ) |
Shares outstanding, end of period | 21,100,002 | 21,600,002 | 10,750,002 | 13,500,002 |
Six Months Ended 1/31/2024 (Unaudited) | Year Ended July 31, | Period Ended 7/31/2019 (a) | ||||
2023 | 2022 | 2021 | 2020 | |||
Net asset value, beginning of period | $19.73 | $20.06 | $20.96 | $20.66 | $20.48 | $20.00 |
Income from investment operations: | ||||||
Net investment income (loss) | 0.26 (b) | 0.43 (b) | 0.21 | 0.27 | 0.38 | 0.34 |
Net realized and unrealized gain (loss) | 0.15 | (0.34 ) | (0.88 ) | 0.33 | 0.22 | 0.45 |
Total from investment operations | 0.41 | 0.09 | (0.67 ) | 0.60 | 0.60 | 0.79 |
Distributions paid to shareholders from: | ||||||
Net investment income | (0.25 ) | (0.41 ) | (0.21 ) | (0.27 ) | (0.41 ) | (0.31 ) |
Return of capital | — | (0.01 ) | (0.02 ) | (0.03 ) | (0.01 ) | — |
Total distributions | (0.25 ) | (0.42 ) | (0.23 ) | (0.30 ) | (0.42 ) | (0.31 ) |
Net asset value, end of period | $19.89 | $19.73 | $20.06 | $20.96 | $20.66 | $20.48 |
Total return (c) | 2.12 % | 0.45 % | (3.19 )% | 2.92 % | 2.98 % | 3.98 % |
Ratios to average net assets/supplemental data: | ||||||
Net assets, end of period (in 000’s) | $419,595 | $426,132 | $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 % | 0.55 % (d) |
Ratio of net expenses to average net assets | 0.55 % (d) | 0.49 % | 0.35 % | 0.43 % | 0.45 % | 0.45 % (d) |
Ratio of net investment income (loss) to average net assets | 2.65 % (d) | 2.18 % | 1.14 % | 1.33 % | 2.00 % | 2.23 % (d) |
Portfolio turnover rate (e) | 22 % | 50 % | 35 % | 16 % | 58 % | 66 % |
(a) | Inception date is November 1, 2018, 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. The total returns would have been lower if certain fees had not been waived and expenses reimbursed 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 1/31/2024 (Unaudited) | Year Ended July 31, | Period Ended 7/31/2019 (a) | ||||
2023 | 2022 | 2021 | 2020 | |||
Net asset value, beginning of period | $19.97 | $19.99 | $20.18 | $20.16 | $20.10 | $20.00 |
Income from investment operations: | ||||||
Net investment income (loss) | 0.26 (b) | 0.39 (b) | 0.10 | 0.12 | 0.25 | 0.26 |
Net realized and unrealized gain (loss) | 0.10 | (0.03 ) | (0.19 ) | 0.02 | 0.07 | 0.09 |
Total from investment operations | 0.36 | 0.36 | (0.09 ) | 0.14 | 0.32 | 0.35 |
Distributions paid to shareholders from: | ||||||
Net investment income | (0.24 ) | (0.38 ) | (0.10 ) | (0.12 ) | (0.26 ) | (0.25 ) |
Net realized gain | — | — | — | — | (0.00 ) (c) | — |
Return of capital | — | — | — | — | (0.00 ) (c) | — |
Total distributions | (0.24 ) | (0.38 ) | (0.10 ) | (0.12 ) | (0.26 ) | (0.25 ) |
Net asset value, end of period | $20.09 | $19.97 | $19.99 | $20.18 | $20.16 | $20.10 |
Total return (d) | 1.80 % | 1.83 % | (0.45 )% | 0.72 % | 1.61 % | 1.75 % |
Ratios to average net assets/supplemental data: | ||||||
Net assets, end of period (in 000’s) | $215,917 | $269,545 | $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 % | 0.45 % (e) |
Ratio of net expenses to average net assets | 0.45 % (e) | 0.39 % | 0.25 % | 0.26 % | 0.35 % | 0.35 % (e) |
Ratio of net investment income (loss) to average net assets | 2.63 % (e) | 1.93 % | 0.56 % | 0.61 % | 1.20 % | 1.73 % (e) |
Portfolio turnover rate (f) | 62 % | 121 % | 79 % | 44 % | 149 % | 145 % |
(a) | Inception date is November 1, 2018, 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) | Amount represents 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 and expenses reimbursed 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. |
First Trust Short Duration Managed Municipal ETF – (ticker “FSMB”) |
First Trust Ultra Short Duration Municipal ETF – (ticker “FUMB”) |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Tax-Exempt Income | Distributions paid from Return of Capital | |
First Trust Short Duration Managed Municipal ETF | $44,281 | $— | $8,494,392 | $113,528 |
First Trust Ultra Short Duration Municipal ETF | 32,046 | — | 6,076,905 | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |
First Trust Short Duration Managed Municipal ETF | $— | $(5,939,838 ) | $(4,664,088 ) |
First Trust Ultra Short Duration Municipal ETF | 51,846 | (211,433 ) | (914,007 ) |
Non-Expiring Capital Loss Carryforwards | |
First Trust Short Duration Managed Municipal ETF | $5,939,838 |
First Trust Ultra Short Duration Municipal ETF | 211,433 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
First Trust Short Duration Managed Municipal ETF | $414,951,434 | $2,398,658 | $(2,684,927 ) | $(286,269 ) |
First Trust Ultra Short Duration Municipal ETF | 213,207,429 | 449,908 | (344,485 ) | 105,423 |
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 | $97,879,085 | $88,726,098 |
First Trust Ultra Short Duration Municipal ETF | 122,954,663 | 135,163,846 |
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
Semi-Annual Report |
For the Six Months Ended January 31, 2024 |
First Trust Merger Arbitrage ETF (MARB) |
Semi-Annual Report
January 31, 2024
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Semi-Annual Letter from the Chairman and CEO
January 31, 2024
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/24 | 1 Year Ended 1/31/24 | Inception (2/4/20) to 1/31/24 | Inception (2/4/20) to 1/31/24 | |
Fund Performance | ||||
NAV | 0.70% | 0.43% | 0.47% | 1.88% |
Market Price | 0.85% | 0.48% | 0.44% | 1.78% |
Index Performance | ||||
Credit Suisse Merger Arbitrage Liquid Index(1) | 2.03% | 3.42% | 3.39% | 14.20% |
S&P 500® Index | 6.43% | 20.82% | 11.94% | 56.80% |
(1) | Effective as of August 1, 2023, the Credit Suisse Merger Arbitrage Liquid Index replaced the Hedge Fund Research Merger Arbitrage Index, which is no longer available for use by the Fund. |
Portfolio Sector Allocation | % of Total Investments - Long Positions |
Health Care | 36.9% |
Information Technology | 13.5 |
Consumer Staples | 12.7 |
Industrials | 8.9 |
Consumer Discretionary | 8.1 |
Energy | 6.9 |
Financials | 6.6 |
Materials | 6.4 |
Total | 100.0% |
Portfolio Sector Allocation | % of Total Investments Sold Short |
Energy | 66.1% |
Financials | 33.9 |
Total | 100.0% |
Top Ten Investments - Long Positions | % of Net Assets |
Splunk, Inc. | 6.3% |
Albertsons Cos., Inc., Class A | 5.3 |
Pioneer Natural Resources Co. | 4.7 |
Amedisys, Inc. | 4.7 |
United States Steel Corp. | 4.5 |
Axonics, Inc. | 4.0 |
Rover Group, Inc. | 3.6 |
Sovos Brands, Inc. | 3.5 |
Alteryx, Inc., Class A | 3.1 |
Textainer Group Holdings Ltd. | 3.1 |
Total | 42.8% |
Top Investments Sold Short | % of Net Assets |
Exxon Mobil Corp. | (5.0)% |
Provident Financial Services, Inc. | (2.6) |
Total | (7.6)% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the 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. |
Brian Murphy – Co-Chief Investment Officer and Portfolio Manager
Michael Grayson – Portfolio Manager
Beginning Account Value August 1, 2023 | Ending Account Value January 31, 2024 | 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 | $1,007.00 | 1.68% | $8.48 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.69 | 1.68% | $8.52 |
(a) | Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (August 1, 2023 through January 31, 2024), multiplied by 184/366 (to reflect the six-month period). |
Shares | Description | Value | |||
COMMON STOCKS — 69.3% | |||||
Banks — 2.5% | |||||
102,926 | Lakeland Bancorp, Inc. | $1,367,886 | |||
Biotechnology — 16.8% | |||||
41,301 | Ambrx Biopharma, Inc. (a) | 1,148,168 | |||
40,085 | Cerevel Therapeutics Holdings, Inc. (a) | 1,679,561 | |||
37,873 | Harpoon Therapeutics, Inc. (a) | 845,704 | |||
108,493 | Icosavax, Inc. (a) | 1,661,028 | |||
38,661 | ImmunoGen, Inc. (a) | 1,133,541 | |||
5,373 | Karuna Therapeutics, Inc. (a) | 1,684,006 | |||
18,304 | RayzeBio, Inc. (a) | 1,136,678 | |||
9,288,686 | |||||
Commercial Services & Supplies — 1.6% | |||||
16,631 | SP Plus Corp. (a) | 860,322 | |||
Consumer Staples Distribution & Retail — 5.3% | |||||
138,074 | Albertsons Cos., Inc., Class A (b) | 2,929,930 | |||
Diversified Consumer Services — 3.6% | |||||
181,603 | Rover Group, Inc. (a) | 1,986,737 | |||
Food Products — 3.5% | |||||
87,446 | Sovos Brands, Inc. (a) (b) | 1,928,184 | |||
Ground Transportation — 1.5% | |||||
104,916 | Daseke, Inc. (a) | 854,016 | |||
Health Care Equipment & Supplies — 4.0% | |||||
32,927 | Axonics, Inc. (a) | 2,235,085 | |||
Health Care Providers & Services — 4.7% | |||||
27,737 | Amedisys, Inc. (a) (b) | 2,614,767 | |||
Insurance — 2.1% | |||||
2,363 | National Western Life Group, Inc., Class A | 1,143,692 | |||
Metals & Mining — 4.5% | |||||
52,517 | United States Steel Corp. | 2,469,349 | |||
Oil, Gas & Consumable Fuels — 4.7% | |||||
11,432 | Pioneer Natural Resources Co. | 2,627,417 | |||
Software — 9.4% | |||||
36,080 | Alteryx, Inc., Class A (a) | 1,712,357 | |||
22,567 | Splunk, Inc. (a) | 3,461,101 | |||
5,173,458 | |||||
Textiles, Apparel & Luxury Goods — 2.0% | |||||
22,870 | Capri Holdings Ltd. (a) (b) | 1,114,684 |
Shares | Description | Value | |||
Trading Companies & Distributors — 3.1% | |||||
34,434 | Textainer Group Holdings Ltd. | $1,709,648 | |||
Total Common Stocks | 38,303,861 | ||||
(Cost $38,766,727) | |||||
RIGHTS — 0.0% | |||||
Biotechnology — 0.0% | |||||
43,869 | Chinook Therapeutics, Inc., expiring December 21, 2029 (a) (c) (d) (e) | 0 | |||
39,856 | Mirati Therapeutics, Inc., expiring October 8, 2024 (a) (c) (d) (e) | 0 | |||
0 | |||||
Health Care Equipment & Supplies — 0.0% | |||||
7,137 | ABIOMED, Inc., expiring December 31, 2029 (a) (c) (d) (e) | 0 | |||
Total Rights | 0 | ||||
(Cost $0) | |||||
MONEY MARKET FUNDS — 23.9% | |||||
13,219,101 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.22% (f) | 13,219,101 | |||
(Cost $13,219,101) | |||||
Total Investments — 93.2% | 51,522,962 | ||||
(Cost $51,985,828) | |||||
COMMON STOCKS SOLD SHORT — (7.6)% | |||||
Banks — (2.6)% | |||||
(85,592) | Provident Financial Services, Inc. | (1,416,548 ) | |||
Oil, Gas & Consumable Fuels — (5.0)% | |||||
(26,925) | Exxon Mobil Corp. | (2,768,159 ) | |||
Total Investments Sold Short — (7.6)% | (4,184,707 ) | ||||
(Proceeds $4,677,779) | |||||
Net Other Assets and Liabilities — 14.4% | 7,954,770 | ||||
Net Assets — 100.0% | $55,293,025 |
(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, 2024, the segregated value of these securities amounts to $5,153,900. |
(c) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor. |
(d) | 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, 2024, securities noted as such are valued at $0 or 0.0% of net assets. |
(e) | This security’s value was determined using significant unobservable inputs (see Note 2A - Portfolio Valuation in the Notes to Financial Statements). |
(f) | Rate shown reflects yield as of January 31, 2024. |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 1/31/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 38,303,861 | $ 38,303,861 | $ — | $ — |
Rights* | —** | — | — | —** |
Money Market Funds | 13,219,101 | 13,219,101 | — | — |
Total Investments | $51,522,962 | $51,522,962 | $— | $—** |
LIABILITIES TABLE | ||||
Total Value at 1/31/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks Sold Short* | $ (4,184,707) | $ (4,184,707) | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
** | Investments are valued at $0. |
ASSETS: | |
Investments, at value | $51,522,962 |
Cash | 1,919,158 |
Restricted Cash | 4,194,506 |
Receivables: | |
Investment securities sold | 1,810,666 |
Dividends | 66,976 |
Margin interest rebate | 23,180 |
Total Assets | 59,537,448 |
LIABILITIES: | |
Investments sold short, at value | 4,184,707 |
Investment advisory fees payable | 59,716 |
Total Liabilities | 4,244,423 |
NET ASSETS | $55,293,025 |
NET ASSETS consist of: | |
Paid-in capital | $56,070,362 |
Par value | 28,000 |
Accumulated distributable earnings (loss) | (805,337 ) |
NET ASSETS | $55,293,025 |
NET ASSET VALUE, per share | $19.75 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 2,800,002 |
Investments, at cost | $51,985,828 |
Investments sold short, proceeds | $4,677,779 |
INVESTMENT INCOME: | |
Dividends | $648,861 |
Interest | 144,563 |
Margin interest rebate | 140,363 |
Total investment income | 933,787 |
EXPENSES: | |
Investment advisory fees | 403,419 |
Dividend expense on investments sold short | 139,978 |
Total expenses | 543,397 |
NET INVESTMENT INCOME (LOSS) | 390,390 |
NET REALIZED AND UNREALIZED GAIN (LOSS): | |
Net realized gain (loss) on: | |
Investments | (595,292 ) |
In-kind redemptions | 59,778 |
Investments sold short | (125,839 ) |
Net realized gain (loss) | (661,353 ) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | 1,022,402 |
Investments sold short | (24,026 ) |
Net change in unrealized appreciation (depreciation) | 998,376 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 337,023 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $727,413 |
Six Months Ended 1/31/2024 (Unaudited) | Year Ended 7/31/2023 | |
OPERATIONS: | ||
Net investment income (loss) | $390,390 | $979,728 |
Net realized gain (loss) | (661,353 ) | 751,739 |
Net change in unrealized appreciation (depreciation) | 998,376 | (1,149,107 ) |
Net increase (decrease) in net assets resulting from operations | 727,413 | 582,360 |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||
Investment operations | (1,299,941 ) | (1,115,075 ) |
SHAREHOLDER TRANSACTIONS: | ||
Proceeds from shares sold | 3,027,190 | 80,588,123 |
Cost of shares redeemed | (16,156,361 ) | (55,091,737 ) |
Net increase (decrease) in net assets resulting from shareholder transactions | (13,129,171 ) | 25,496,386 |
Total increase (decrease) in net assets | (13,701,699 ) | 24,963,671 |
NET ASSETS: | ||
Beginning of period | 68,994,724 | 44,031,053 |
End of period | $55,293,025 | $68,994,724 |
CHANGES IN SHARES OUTSTANDING: | ||
Shares outstanding, beginning of period | 3,450,002 | 2,200,002 |
Shares sold | 150,000 | 4,000,000 |
Shares redeemed | (800,000 ) | (2,750,000 ) |
Shares outstanding, end of period | 2,800,002 | 3,450,002 |
Six Months Ended 1/31/2024 (Unaudited) | Year Ended July 31, | Period Ended 7/31/2020 (a) | |||
2023 | 2022 | 2021 | |||
Net asset value, beginning of period | $20.00 | $20.01 | $19.55 | $19.46 | $20.01 |
Income from investment operations: | |||||
Net investment income (loss) | 0.12 (b) | 0.23 (b) | (0.24 ) (b) | (0.26 ) | (0.07 ) |
Net realized and unrealized gain (loss) | 0.03 | 0.01 (c) | 0.70 | 0.35 | (0.48 ) |
Total from investment operations | 0.15 | 0.24 | 0.46 | 0.09 | (0.55 ) |
Distributions paid to shareholders from: | |||||
Net investment income | (0.40 ) | (0.15 ) | — | — | — |
Net realized gain | — | (0.10 ) | — | — | — |
Total distributions | (0.40 ) | (0.25 ) | — | — | — |
Net asset value, end of period | $19.75 | $20.00 | $20.01 | $19.55 | $19.46 |
Total return (d) | 0.70 % | 1.17 % | 2.35 % | 0.46 % | (2.75 )% |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $55,293 | $68,995 | $44,031 | $10,752 | $12,649 |
Ratio of total expenses to average net assets | 1.68 % (e) | 1.80 % | 1.87 % | 2.23 % | 2.30 % (e) |
Ratio of total expenses to average net assets excluding dividend expense and margin interest expense | 1.25 % (e) | 1.25 % | 1.25 % | 1.25 % | 1.25 % (e) |
Ratio of net investment income (loss) to average net assets | 1.21 % (e) | 1.17 % | (1.23 )% | (1.15 )% | (1.71 )% (e) |
Portfolio turnover rate (f) | 171 % | 367 % | 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) | 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. |
(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. |
(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. |
Distributions paid from: | |
Ordinary income | $1,115,075 |
Capital gains | — |
Return of capital | — |
Undistributed ordinary income | $832,373 |
Accumulated capital and other gain (loss) | — |
Net unrealized appreciation (depreciation) | (1,065,182 ) |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) |
$47,308,049 | $1,005,498 | $(975,292 ) | $30,206 |
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 % |
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
225 West Wacker Drive, Suite 2100
Chicago, IL 60606
FUND ACCOUNTANT &
TRANSFER AGENT
240 Greenwich Street
New York, NY 10286
PUBLIC ACCOUNTING FIRM
111 South Wacker Drive
Chicago, IL 60606
320 South Canal Street
Chicago, IL 60606
(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 [18.]. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 14. 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 8, 2024 |
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 8, 2024 |
By (Signature and Title)* | /s/ Derek D. Maltbie | |
Derek D. Maltbie, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | April 8, 2024 |
* Print the name and title of each signing officer under his or her signature.