UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22245
First Trust Exchange-Traded Fund III
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant’s telephone number, including area code: (630) 765-8000
Date of fiscal year end:October 31
Date of reporting period:April 30, 2019
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
The registrant's semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/img709e09ad1.jpg)
For the Six Months Ended
April 30, 2019
1 | |
2 | |
5 | |
6 | |
7 | |
15 | |
16 | |
17 | |
18 | |
19 | |
26 |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/imgae69ff422.jpg)
Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
6 Months Ended 4/30/19 | 1 Year Ended 4/30/19 | 5 Years Ended 4/30/19 | Inception (2/11/13) to 4/30/19 | 5 Years Ended 4/30/19 | Inception (2/11/13) to 4/30/19 | ||
Fund Performance | |||||||
NAV | 5.65% | 5.10% | 6.23% | 5.12% | 35.25% | 36.38% | |
Market Price | 5.81% | 5.05% | 6.21% | 5.13% | 35.14% | 36.42% | |
Index Performance | |||||||
ICE BofAML Fixed Rate Preferred Securities Index | 6.62% | 6.87% | 6.13% | 5.59% | 34.62% | 40.24% | |
ICE BofAML U.S. Capital Securities Index | 6.44% | 6.11% | 4.58% | 5.26% | 25.11% | 37.51% | |
Blended Index(1) | 6.54% | 6.51% | 5.36% | 5.44% | 29.85% | 38.99% |
(1) | The Blended Index consists of a 50/50 blend of the ICE BofAML Fixed Rate Preferred Securities Index and the ICE BofAML U.S. Capital Securities Index. The Blended Index reflects the diverse allocation of institutional preferred and hybrid securities in the Fund’s portfolio. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indexes are unmanaged and an investor cannot invest directly in an index. |
Sector Allocation | % of Total Investments |
Financials | 71.9% |
Utilities | 8.5 |
Energy | 5.4 |
Consumer Staples | 3.5 |
Communication Services | 3.5 |
Real Estate | 3.0 |
Materials | 1.9 |
Industrials | 1.4 |
Consumer Discretionary | 0.9 |
Total | 100.0% |
Credit Rating(2) | % of Total Investments |
A | 0.1% |
A- | 3.2 |
BBB+ | 8.1 |
BBB | 14.4 |
BBB- | 26.5 |
BB+ | 27.7 |
BB | 9.2 |
BB- | 2.2 |
B+ | 3.8 |
B | 0.1 |
Not Rated | 4.7 |
Total | 100.0% |
Country Allocation | % of Total Investments |
United States | 47.3% |
United Kingdom | 11.4 |
France | 7.3 |
Canada | 5.7 |
Italy | 5.3 |
Netherlands | 4.3 |
Australia | 4.1 |
Switzerland | 3.7 |
Bermuda | 3.1 |
Japan | 2.5 |
Finland | 1.3 |
Spain | 1.3 |
Denmark | 0.9 |
Cayman Islands | 0.7 |
Mexico | 0.5 |
Sweden | 0.4 |
Norway | 0.1 |
Jersey | 0.1 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Enel S.p.A. | 2.0% |
Emera, Inc., Series 16-A | 1.9 |
Barclays PLC | 1.6 |
GMAC Capital Trust I, Series 2 | 1.6 |
BHP Billiton Finance USA Ltd. | 1.6 |
Credit Agricole S.A. | 1.5 |
Royal Bank of Scotland Group PLC | 1.4 |
Catlin Insurance Co., Ltd. | 1.4 |
Royal Bank of Scotland Group PLC | 1.4 |
Lloyds Banking Group PLC | 1.3 |
Total | 15.7% |
(2) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/imgd354833a3.jpg)
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.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/1/13 – 10/31/14 | 140 | 2 | 0 | 0 |
11/1/14 – 10/31/15 | 214 | 16 | 0 | 0 |
11/1/15 – 10/31/16 | 212 | 13 | 0 | 0 |
11/1/16 – 10/31/17 | 232 | 1 | 0 | 0 |
11/1/17 – 10/31/18 | 174 | 0 | 0 | 0 |
11/1/18 – 4/30/19 | 69 | 0 | 0 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/1/13 – 10/31/14 | 101 | 9 | 0 | 0 |
11/1/14 – 10/31/15 | 21 | 0 | 0 | 0 |
11/1/15 – 10/31/16 | 26 | 1 | 0 | 0 |
11/1/16 – 10/31/17 | 19 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 78 | 0 | 0 | 0 |
11/1/18 – 4/30/19 | 52 | 1 | 0 | 0 |
(3) | The Blended Index consists of a 50/50 blend of the ICE BofAML Fixed Rate Preferred Securities Index and the ICE BofAML U.S. Capital Securities Index. The Blended Index reflects the diverse allocation of institutional preferred and hybrid securities in the Fund’s portfolio. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indexes are unmanaged and an investor cannot invest directly in an index. |
Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Preferred Securities and Income ETF (FPE) | ||||
Actual | $1,000.00 | $1,056.50 | 0.85% | $4.33 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.58 | 0.85% | $4.26 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (November 1, 2018 through April 30, 2019), multiplied by 181/365 (to reflect the six-month period). |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES – 27.6% | ||||||||
Banks – 6.5% | ||||||||
310,492 | Banc of California, Inc., Series E | 7.00% | (a) | $8,134,890 | ||||
315,585 | Banco Santander S.A., Series 6, 3 Mo. LIBOR + 0.52% (b) | 4.00% | (a) | 7,334,195 | ||||
281,475 | Bank of America Corp., Series CC | 6.20% | (a) | 7,397,163 | ||||
265,073 | Bank of America Corp., Series HH | 5.88% | (a) | 6,955,516 | ||||
739,590 | Citigroup Capital XIII, 3 Mo. LIBOR + 6.37% (b) | 8.95% | 10/30/40 | 20,020,701 | ||||
218,958 | Citigroup, Inc., Series K (c) | 6.88% | (a) | 6,069,516 | ||||
123,299 | Fifth Third Bancorp, Series I (c) | 6.63% | (a) | 3,542,380 | ||||
94,170 | FNB Corp. (c) | 7.25% | (a) | 2,665,011 | ||||
2,116,679 | GMAC Capital Trust I, Series 2, 3 Mo. LIBOR + 5.79% (b) | 8.47% | 02/15/40 | 55,668,658 | ||||
830,252 | Huntington Bancshares, Inc., Series D | 6.25% | (a) | 21,603,157 | ||||
250,721 | ING Groep N.V. | 6.13% | (a) | 6,408,429 | ||||
1,035 | JPMorgan Chase & Co., Series DD | 5.75% | (a) | 27,438 | ||||
94,005 | KeyCorp, Series E (c) | 6.13% | (a) | 2,565,396 | ||||
50,000 | KeyCorp, Series G | 5.63% | (a) | 1,250,000 | ||||
741,900 | MB Financial, Inc., Series C | 6.00% | (a) | 18,881,355 | ||||
795,472 | People’s United Financial, Inc., Series A (c) | 5.63% | (a) | 20,523,178 | ||||
440,507 | Regions Financial Corp., Series A | 6.38% | (a) | 11,285,789 | ||||
214,461 | Synovus Financial Corp., Series D (c) | 6.30% | (a) | 5,745,410 | ||||
139,973 | Valley National Bancorp, Series A (c) | 6.25% | (a) | 3,889,850 | ||||
129,041 | Valley National Bancorp, Series B (c) | 5.50% | (a) | 3,267,318 | ||||
197,380 | Wells Fargo & Co., Series V | 6.00% | (a) | 5,198,989 | ||||
53,560 | Western Allliance Bancorp | 6.25% | 07/01/56 | 1,413,984 | ||||
380,456 | Wintrust Financial Corp., Series D (c) | 6.50% | (a) | 10,622,332 | ||||
230,470,655 | ||||||||
Capital Markets – 3.6% | ||||||||
199,483 | Affiliated Managers Group, Inc. | 5.88% | 03/30/59 | 5,048,915 | ||||
309,552 | Apollo Global Management, LLC, Series B | 6.38% | (a) | 7,782,137 | ||||
740,619 | Apollo Investment Corp. | 6.88% | 07/15/43 | 19,456,061 | ||||
132,629 | Ares Management Corp., Series A | 7.00% | (a) | 3,477,532 | ||||
679,710 | Goldman Sachs Group (The), Inc., Series K (c) | 6.38% | (a) | 18,331,779 | ||||
416,052 | Morgan Stanley, Series E (c) | 7.13% | (a) | 11,545,443 | ||||
1,365,531 | Morgan Stanley, Series F (c) | 6.88% | (a) | 37,634,034 | ||||
183,500 | Oaktree Capital Group LLC, Series A | 6.63% | (a) | 4,651,725 | ||||
170,484 | Oaktree Capital Group LLC, Series B | 6.55% | (a) | 4,294,492 | ||||
446,502 | State Street Corp., Series G (c) | 5.35% | (a) | 11,484,032 | ||||
114,443 | Stifel Financial Corp., Series A | 6.25% | (a) | 3,044,184 | ||||
126,750,334 | ||||||||
Consumer Finance – 0.1% | ||||||||
65,320 | Capital One Financial Corp., Series D | 6.70% | (a) | 1,685,909 | ||||
88,110 | Capital One Financial Corp., Series F | 6.20% | (a) | 2,293,503 | ||||
3,979,412 | ||||||||
Diversified Financial Services – 0.4% | ||||||||
607,794 | National Rural Utilities Cooperative Finance Corp. | 5.50% | 05/15/64 | 15,267,785 | ||||
Diversified Telecommunication Services – 1.3% | ||||||||
900,167 | Qwest Corp. | 6.88% | 10/01/54 | 23,017,270 | ||||
282,213 | Qwest Corp. | 6.50% | 09/01/56 | 6,510,654 | ||||
660,700 | Qwest Corp. | 6.75% | 06/15/57 | 15,903,049 | ||||
45,430,973 | ||||||||
Electric Utilities – 0.6% | ||||||||
216,681 | NextEra Energy Capital Holdings, Inc., Series N | 5.65% | 03/01/79 | 5,568,702 | ||||
193,308 | PPL Capital Funding, Inc., Series B | 5.90% | 04/30/73 | 4,919,688 |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES (Continued) | ||||||||
Electric Utilities (Continued) | ||||||||
258,022 | SCE Trust V, Series K (c) | 5.45% | (a) | $6,058,356 | ||||
97,059 | Southern (The) Co. | 6.25% | 10/15/75 | 2,533,240 | ||||
75,140 | Southern (The) Co. | 5.25% | 12/01/77 | 1,891,274 | ||||
20,971,260 | ||||||||
Equity Real Estate Investment Trusts – 3.0% | ||||||||
432,570 | American Homes 4 Rent, Series D | 6.50% | (a) | 11,441,476 | ||||
845,723 | American Homes 4 Rent, Series E | 6.35% | (a) | 22,327,087 | ||||
341,661 | Colony Capital, Inc., Series E | 8.75% | (a) | 8,551,775 | ||||
37,623 | Colony Capital, Inc., Series I | 7.15% | (a) | 767,509 | ||||
523,034 | Colony Capital, Inc., Series J | 7.13% | (a) | 10,601,899 | ||||
370,031 | Digital Realty Trust, Inc., Series K | 5.85% | (a) | 9,443,191 | ||||
238,994 | Farmland Partners, Inc., Series B, steps up 10/01/24 to 10.00% (d) | 6.00% | (a) | 5,683,277 | ||||
255,445 | Global Net Lease, Inc., Series A | 7.25% | (a) | 6,539,392 | ||||
6,824 | Taubman Centers, Inc., Series J | 6.50% | (a) | 174,899 | ||||
79,885 | Urstadt Biddle Properties, Inc., Series H | 6.25% | (a) | 2,084,999 | ||||
1,125,469 | VEREIT, Inc., Series F | 6.70% | (a) | 28,260,527 | ||||
105,876,031 | ||||||||
Food Products – 1.1% | ||||||||
611,970 | CHS, Inc., Series 2 (c) | 7.10% | (a) | 16,064,212 | ||||
654,630 | CHS, Inc., Series 3 (c) | 6.75% | (a) | 17,020,380 | ||||
279,467 | CHS, Inc., Series 4 | 7.50% | (a) | 7,699,316 | ||||
40,783,908 | ||||||||
Insurance – 4.5% | ||||||||
442,503 | Aegon N.V. | 6.38% | (a) | 11,350,202 | ||||
211,856 | AmTrust Financial Services, Inc. | 7.25% | 06/15/55 | 3,876,965 | ||||
250,540 | AmTrust Financial Services, Inc. | 7.50% | 09/15/55 | 4,680,087 | ||||
53,785 | Aspen Insurance Holdings Ltd. | 5.63% | (a) | 1,338,709 | ||||
907,650 | Aspen Insurance Holdings Ltd. (c) | 5.95% | (a) | 23,943,807 | ||||
105,879 | Assured Guaranty Municipal Holdings, Inc. | 6.25% | 11/01/02 | 2,760,265 | ||||
28,484 | Berkley (WR) Corp. | 5.75% | 06/01/56 | 718,651 | ||||
532,137 | Delphi Financial Group, Inc., 3 Mo. LIBOR + 3.19% (b) | 5.87% | 05/15/37 | 12,106,117 | ||||
1,048,282 | Enstar Group Ltd., Series D (c) | 7.00% | (a) | 27,098,090 | ||||
520,459 | Global Indemnity Ltd. | 7.75% | 08/15/45 | 13,079,135 | ||||
437,566 | Global Indemnity Ltd. | 7.88% | 04/15/47 | 11,201,690 | ||||
316,244 | National General Holdings Corp. | 7.63% | 09/15/55 | 8,143,283 | ||||
122,773 | National General Holdings Corp., Series C | 7.50% | (a) | 2,853,244 | ||||
320,197 | PartnerRe Ltd., Series H | 7.25% | (a) | 8,555,664 | ||||
165,198 | Phoenix Cos., Inc. | 7.45% | 01/15/32 | 2,707,595 | ||||
956,465 | Reinsurance Group of America, Inc. (c) | 5.75% | 06/15/56 | 25,853,249 | ||||
160,266,753 | ||||||||
Internet & Direct Marketing Retail – 0.1% | ||||||||
182,085 | eBay, Inc. | 6.00% | 02/01/56 | 4,723,285 | ||||
Mortgage Real Estate Investment Trusts – 1.6% | ||||||||
292,932 | AGNC Investment Corp., Series C (c) | 7.00% | (a) | 7,586,939 | ||||
250,000 | AGNC Investment Corp., Series D (c) | 6.88% | (a) | 6,292,500 | ||||
433,871 | Annaly Capital Management, Inc., Series F (c) | 6.95% | (a) | 11,124,452 | ||||
174,813 | Invesco Mortgage Capital, Inc., Series B (c) | 7.75% | (a) | 4,641,285 | ||||
179,150 | Invesco Mortgage Capital, Inc., Series C (c) | 7.50% | (a) | 4,543,244 | ||||
310,858 | MFA Financial, Inc. | 8.00% | 04/15/42 | 8,076,091 | ||||
289,796 | Two Harbors Investment Corp., Series B (c) | 7.63% | (a) | 7,268,084 |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES (Continued) | ||||||||
Mortgage Real Estate Investment Trusts (Continued) | ||||||||
264,326 | Two Harbors Investment Corp., Series C (c) | 7.25% | (a) | $6,534,139 | ||||
56,066,734 | ||||||||
Multi-Utilities – 1.7% | ||||||||
383,318 | Algonquin Power & Utilities Corp. (c) | 6.88% | 10/17/78 | 10,265,256 | ||||
158,988 | CMS Energy Corp. | 5.88% | 10/15/78 | 4,222,721 | ||||
220,187 | CMS Energy Corp. | 5.88% | 03/01/79 | 5,757,890 | ||||
781,853 | Integrys Holding, Inc. (c) | 6.00% | 08/01/73 | 20,367,271 | ||||
501,117 | Just Energy Group, Inc., Series A (c) | 8.50% | (a) | 10,934,373 | ||||
336,000 | NiSource, Inc., Series B (c) | 6.50% | (a) | 8,863,680 | ||||
60,411,191 | ||||||||
Oil, Gas & Consumable Fuels – 1.1% | ||||||||
456,467 | Enbridge, Inc., Series B (c) | 6.38% | 04/15/78 | 12,064,423 | ||||
14,073 | Energy Transfer Operating L.P., Series C (c) | 7.38% | (a) | 345,211 | ||||
58,905 | Energy Transfer Operating L.P., Series D (c) | 7.63% | (a) | 1,462,022 | ||||
513,309 | Energy Transfer Operating L.P., Series E (c) | 7.60% | (a) | 12,765,995 | ||||
531,201 | NuStar Logistics, L.P., 3 Mo. LIBOR + 6.73% (b) | 9.31% | 01/15/43 | 13,423,449 | ||||
40,061,100 | ||||||||
Thrifts & Mortgage Finance – 0.7% | ||||||||
915,543 | New York Community Bancorp, Inc., Series A (c) | 6.38% | (a) | 24,307,667 | ||||
Trading Companies & Distributors – 0.5% | ||||||||
702,231 | Air Lease Corp., Series A (c) | 6.15% | (a) | 18,433,564 | ||||
Wireless Telecommunication Services – 0.8% | ||||||||
257,734 | United States Cellular Corp. | 7.25% | 12/01/63 | 6,780,982 | ||||
877,964 | United States Cellular Corp. | 7.25% | 12/01/64 | 23,213,368 | ||||
29,994,350 | ||||||||
Total $25 Par Preferred Securities | 983,795,002 | |||||||
(Cost $984,472,000) | ||||||||
$100 PAR PREFERRED SECURITIES – 1.4% | ||||||||
Banks – 0.7% | ||||||||
67,820 | AgriBank FCB (c) (e) | 6.88% | (a) | 7,256,740 | ||||
50,200 | CoBank ACB, Series F (c) (e) | 6.25% | (a) | 5,214,525 | ||||
19,974 | CoBank ACB, Series G (e) | 6.13% | (a) | 2,057,322 | ||||
24,511 | CoBank ACB, Series H (c) (e) | 6.20% | (a) | 2,534,437 | ||||
91,315 | Farm Credit Bank of Texas (c) (f) | 6.75% | (a) | 9,679,390 | ||||
26,742,414 | ||||||||
Consumer Finance – 0.7% | ||||||||
357,119 | SLM Corp., Series B, 3 Mo. LIBOR + 1.70% (b) | 4.31% | (a) | 23,584,139 | ||||
Total $100 Par Preferred Securities | 50,326,553 | |||||||
(Cost $47,509,338) | ||||||||
$1,000 PAR PREFERRED SECURITIES – 1.8% | ||||||||
Banks – 1.4% | ||||||||
39,800 | Farm Credit Bank of Texas, Series 1 (e) | 10.00% | (a) | 44,974,000 | ||||
4,556 | Sovereign Real Estate Investment Trust (f) | 12.00% | (a) | 4,944,240 | ||||
49,918,240 | ||||||||
Diversified Financial Services – 0.1% | ||||||||
4,500 | Compeer Financial ACA (c) (f) | 6.75% | (a) | 4,741,875 |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$1,000 PAR PREFERRED SECURITIES (Continued) | ||||||||
Oil, Gas & Consumable Fuels – 0.3% | ||||||||
10,000 | Kinder Morgan GP, Inc., 3 Mo. LIBOR + 3.90% (b) (f) | 6.58% | 08/18/57 | $9,229,170 | ||||
Total $1,000 Par Preferred Securities | 63,889,285 | |||||||
(Cost $67,263,910) | ||||||||
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES – 68.0% | ||||||||
Automobiles – 0.7% | ||||||||
$4,300,000 | General Motors Financial Co., Inc., Series A (c) | 5.75% | (a) | 4,027,874 | ||||
22,000,000 | General Motors Financial Co., Inc., Series B (c) | 6.50% | (a) | 21,322,730 | ||||
25,350,604 | ||||||||
Banks – 36.2% | ||||||||
31,464,000 | Australia & New Zealand Banking Group Ltd. (c) (g) (h) | 6.75% | (a) | 34,126,641 | ||||
9,000,000 | Banco Bilbao Vizcaya Argentaria S.A. (c) (h) | 6.13% | (a) | 8,209,260 | ||||
8,500,000 | Banco Mercantil del Norte S.A. (c) (g) (h) | 7.63% | (a) | 8,865,500 | ||||
10,600,000 | Banco Mercantil del Norte S.A. (c) (g) (h) | 5.75% | 10/04/31 | 10,425,100 | ||||
12,400,000 | Banco Santander S.A. (c) (h) | 6.38% | (a) | 12,423,560 | ||||
16,000,000 | Banco Santander S.A. (c) (h) | 7.50% | (a) | 16,739,440 | ||||
9,528,000 | Bank of America Corp., Series X (c) | 6.25% | (a) | 10,272,518 | ||||
5,212,000 | Bank of America Corp., Series Z (c) | 6.50% | (a) | 5,727,154 | ||||
566 | Barclays PLC (c) (h) | 6.63% | (a) | 569 | ||||
8,250,000 | Barclays PLC (c) (h) | 7.75% | (a) | 8,533,718 | ||||
54,710,000 | Barclays PLC (c) (h) | 7.88% | (a) | 57,818,896 | ||||
34,100,000 | Barclays PLC (c) (h) | 8.00% | (a) | 35,975,500 | ||||
2,100,000 | BNP Paribas S.A. (c) (g) (h) | 6.63% | (a) | 2,143,344 | ||||
12,161,000 | BNP Paribas S.A. (c) (g) (h) | 6.75% | (a) | 12,576,967 | ||||
10,950,000 | BNP Paribas S.A. (c) (g) (h) | 7.38% | (a) | 11,849,269 | ||||
37,000,000 | BNP Paribas S.A. (c) (g) (h) | 7.63% | (a) | 39,001,145 | ||||
11,280,000 | Citigroup, Inc. (c) | 5.95% | (a) | 11,688,900 | ||||
23,000,000 | Citigroup, Inc., Series O (c) | 5.88% | (a) | 23,324,185 | ||||
12,000,000 | Citigroup, Inc., Series P (c) | 5.95% | (a) | 12,580,500 | ||||
4,000,000 | Citigroup, Inc., Series Q (c) | 5.95% | (a) | 4,080,860 | ||||
10,000,000 | Citigroup, Inc., Series R (c) | 6.13% | (a) | 10,358,350 | ||||
34,250,000 | Citigroup, Inc., Series T (c) | 6.25% | (a) | 36,720,281 | ||||
8,616,000 | Citizens Financial Group, Inc., Series A (c) | 5.50% | (a) | 8,660,846 | ||||
20,474,000 | CoBank ACB, Series I (c) (e) | 6.25% | (a) | 21,548,885 | ||||
9,300,000 | Credit Agricole S.A. (c) (g) (h) | 6.88% | (a) | 9,700,923 | ||||
47,700,000 | Credit Agricole S.A. (c) (g) (h) | 7.88% | (a) | 51,930,704 | ||||
2,000,000 | Credit Agricole S.A. (c) (h) | 7.88% | (a) | 2,177,388 | ||||
36,400,000 | Credit Agricole S.A. (c) (g) (h) | 8.13% | (a) | 41,538,952 | ||||
32,713,000 | Danske Bank A.S. (c) (h) | 6.13% | (a) | 30,750,220 | ||||
3,600,000 | DNB Bank ASA (c) (h) | 5.75% | (a) | 3,635,244 | ||||
7,650,000 | Farm Credit Bank of Texas, Series 3 (c) (g) | 6.20% | (a) | 7,754,394 | ||||
2,000,000 | HBOS Capital Funding L.P. | 6.85% | (a) | 2,027,250 | ||||
37,119,000 | HSBC Holdings PLC (c) (h) | 6.38% | (a) | 38,729,037 | ||||
22,179,000 | ING Groep N.V. (c) (h) | 6.50% | (a) | 22,449,584 | ||||
36,483,000 | ING Groep N.V. (c) (h) | 6.88% | (a) | 38,109,996 | ||||
41,425,000 | Intesa Sanpaolo S.p.A. (c) (g) (h) | 7.70% | (a) | 40,607,063 | ||||
21,623,000 | JPMorgan Chase & Co., Series I, 3 Mo. LIBOR + 3.47% (b) | 6.05% | (a) | 21,758,901 | ||||
24,660,000 | JPMorgan Chase & Co., Series V (c) | 5.00% | (a) | 24,752,475 | ||||
18,651,000 | JPMorgan Chase & Co., Series Z (c) | 5.30% | (a) | 19,011,990 | ||||
12,100,000 | Lloyds Bank PLC (c) (g) | 12.00% | (a) | 14,594,113 | ||||
14,088,000 | Lloyds Bank PLC (c) | 12.00% | (a) | 16,991,889 | ||||
37,681,000 | Lloyds Banking Group PLC (c) (h) | 7.50% | (a) | 39,659,252 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Banks (Continued) | ||||||||
$44,800,000 | Lloyds Banking Group PLC (c) (h) | 7.50% | (a) | $46,530,400 | ||||
14,680,000 | Nordea Bank Abp (c) (h) | 6.13% | (a) | 14,505,895 | ||||
6,371,000 | Nordea Bank Abp (c) (g) (h) | 6.13% | (a) | 6,295,440 | ||||
26,000,000 | Nordea Bank Abp (c) (g) (h) | 6.63% | (a) | 26,607,750 | ||||
46,025,000 | Royal Bank of Scotland Group PLC (c) (h) | 8.00% | (a) | 50,224,781 | ||||
44,700,000 | Royal Bank of Scotland Group PLC (c) (h) | 8.63% | (a) | 48,164,250 | ||||
41,900,000 | Societe Generale S.A. (c) (g) (h) | 7.38% | (a) | 43,680,750 | ||||
15,000,000 | Societe Generale S.A. (c) (g) (h) | 7.88% | (a) | 15,834,600 | ||||
20,000,000 | Societe Generale S.A. (c) (h) | 7.88% | (a) | 21,112,800 | ||||
20,000,000 | Standard Chartered PLC (c) (g) (h) | 7.50% | (a) | 21,143,740 | ||||
25,000,000 | Standard Chartered PLC (c) (g) (h) | 7.75% | (a) | 26,672,250 | ||||
13,600,000 | Swedbank AB (c) (h) | 6.00% | (a) | 13,362,299 | ||||
43,450,000 | UniCredit S.p.A. (c) (h) | 8.00% | (a) | 41,985,300 | ||||
17,000,000 | UniCredit S.p.A. (c) (g) | 5.86% | 06/19/32 | 15,907,121 | ||||
17,600,000 | UniCredit S.p.A. (c) (g) | 7.30% | 04/02/34 | 17,956,587 | ||||
42,877,000 | Wells Fargo & Co., Series K, 3 Mo. LIBOR + 3.77% (b) | 6.38% | (a) | 43,144,981 | ||||
7,000,000 | Zions Bancorp NA, Series J (c) | 7.20% | (a) | 7,581,980 | ||||
1,290,541,687 | ||||||||
Capital Markets – 4.9% | ||||||||
5,175,000 | Credit Suisse Group AG (c) (h) | 7.13% | (a) | 5,397,292 | ||||
9,000,000 | Credit Suisse Group AG (c) (g) (h) | 7.25% | (a) | 9,363,375 | ||||
39,138,000 | Credit Suisse Group AG (c) (g) (h) | 7.50% | (a) | 42,018,831 | ||||
32,200,000 | Credit Suisse Group AG (c) (g) (h) | 7.50% | (a) | 33,950,392 | ||||
29,098,000 | E*TRADE Financial Corp., Series A (c) | 5.88% | (a) | 30,116,430 | ||||
13,845,000 | Goldman Sachs Group (The), Inc., Series M (c) | 5.38% | (a) | 14,170,150 | ||||
875,000 | Morgan Stanley, Series J (c) | 5.55% | (a) | 894,438 | ||||
3,000,000 | UBS Group Funding Switzerland AG (c) (h) | 6.88% | (a) | 3,104,790 | ||||
16,820,000 | UBS Group Funding Switzerland AG (c) (h) | 6.88% | (a) | 17,419,515 | ||||
18,750,000 | UBS Group Funding Switzerland AG (c) (h) | 7.00% | (a) | 20,179,688 | ||||
176,614,901 | ||||||||
Consumer Finance – 0.2% | ||||||||
6,500,000 | American Express Co., Series C (c) | 4.90% | (a) | 6,531,102 | ||||
Diversified Financial Services – 0.7% | ||||||||
25,571,000 | Voya Financial, Inc. (c) | 5.65% | 05/15/53 | 25,678,782 | ||||
Diversified Telecommunication Services – 1.3% | ||||||||
11,882,000 | Koninklijke KPN N.V. (c) (g) | 7.00% | 03/28/73 | 12,555,887 | ||||
32,910,000 | Koninklijke KPN N.V. (c) | 7.00% | 03/28/73 | 34,776,491 | ||||
47,332,378 | ||||||||
Electric Utilities – 5.5% | ||||||||
62,342,000 | Emera, Inc., Series 16-A (c) | 6.75% | 06/15/76 | 67,178,804 | ||||
62,365,000 | Enel S.p.A. (c) (g) | 8.75% | 09/24/73 | 70,160,625 | ||||
16,000,000 | NextEra Energy Capital Holdings, Inc. (c) | 5.65% | 05/01/79 | 16,282,629 | ||||
28,783,000 | PPL Capital Funding, Inc., Series A, 3 Mo. LIBOR + 2.67% (b) | 5.27% | 03/30/67 | 26,460,644 | ||||
14,345,000 | Southern (The) Co., Series B (c) | 5.50% | 03/15/57 | 14,636,317 | ||||
194,719,019 | ||||||||
Energy Equipment & Services – 0.7% | ||||||||
23,397,000 | Transcanada Trust, Series 16-A (c) | 5.88% | 08/15/76 | 23,991,635 | ||||
Food Products – 2.3% | ||||||||
7,700,000 | Dairy Farmers of America, Inc. (f) | 7.13% | (a) | 7,212,705 | ||||
23,748,000 | Land O’Lakes Capital Trust I (f) | 7.45% | 03/15/28 | 25,796,265 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Food Products (Continued) | ||||||||
$8,000,000 | Land O’Lakes, Inc. (g) | 7.00% | (a) | $7,755,000 | ||||
9,720,000 | Land O’Lakes, Inc. (g) | 7.25% | (a) | 9,549,900 | ||||
31,000,000 | Land O’Lakes, Inc. (g) | 8.00% | (a) | 32,007,500 | ||||
82,321,370 | ||||||||
Insurance – 8.7% | ||||||||
20,550,000 | Aegon N.V. (c) | 5.50% | 04/11/48 | 20,919,181 | ||||
7,064,000 | American International Group, Inc., Series A-9 (c) | 5.75% | 04/01/48 | 7,152,900 | ||||
21,850,000 | Asahi Mutual Life Insurance Co. (c) | 6.50% | (a) | 22,198,726 | ||||
12,900,000 | Asahi Mutual Life Insurance Co. (c) | 7.25% | (a) | 13,656,469 | ||||
31,000,000 | Assurant, Inc. (c) | 7.00% | 03/27/48 | 31,673,165 | ||||
49,197,000 | Catlin Insurance Co., Ltd., 3 Mo. LIBOR + 2.98% (b) (g) | 5.57% | (a) | 48,374,672 | ||||
1,100,000 | Catlin Insurance Co., Ltd., 3 Mo. LIBOR + 2.98% (b) | 5.57% | (a) | 1,081,614 | ||||
5,983,000 | Everest Reinsurance Holdings, Inc., 3 Mo. LIBOR + 2.39% (b) | 5.07% | 05/15/37 | 5,394,811 | ||||
13,700,000 | Fortegra Financial Corp. (c) (f) | 8.50% | 10/15/57 | 14,339,995 | ||||
4,020,000 | Fukoku Mutual Life Insurance Co. (c) | 6.50% | (a) | 4,374,488 | ||||
26,650,000 | Hartford Financial Services Group (The), Inc., 3 Mo. LIBOR + 2.13% (b) (g) | 4.81% | 02/12/47 | 23,875,335 | ||||
6,230,000 | La Mondiale SAM (c) | 5.88% | 01/26/47 | 6,511,907 | ||||
465,000 | Liberty Mutual Group, Inc. (c) (g) | 10.75% | 06/15/58 | 693,647 | ||||
9,040,000 | Liberty Mutual Group, Inc., 3 Mo. LIBOR + 2.91% (b) (g) | 5.52% | 03/15/37 | 8,603,278 | ||||
15,550,000 | Mitsui Sumitomo Insurance Co., Ltd. (c) (g) | 4.95% | (a) | 15,913,714 | ||||
25,440,000 | Mitsui Sumitomo Insurance Co., Ltd. (c) (g) | 7.00% | 03/15/72 | 27,550,630 | ||||
4,435,000 | Prudential Financial, Inc. (c) | 5.63% | 06/15/43 | 4,653,269 | ||||
20,300,000 | QBE Insurance Group Ltd. (c) (g) | 7.50% | 11/24/43 | 22,111,064 | ||||
19,299,000 | QBE Insurance Group Ltd. (c) | 6.75% | 12/02/44 | 20,803,647 | ||||
3,655,000 | Sumitomo Life Insurance Co. (c) (g) | 6.50% | 09/20/73 | 4,003,925 | ||||
6,000,000 | VIVAT N.V. (c) | 6.25% | (a) | 5,974,776 | ||||
309,861,213 | ||||||||
Metals & Mining – 1.9% | ||||||||
12,200,000 | BHP Billiton Finance USA Ltd. (c) (g) | 6.25% | 10/19/75 | 12,773,583 | ||||
49,373,000 | BHP Billiton Finance USA Ltd. (c) (g) | 6.75% | 10/19/75 | 55,629,300 | ||||
68,402,883 | ||||||||
Multi-Utilities – 0.7% | ||||||||
11,913,000 | CenterPoint Energy, Inc., Series A (c) | 6.13% | (a) | 12,173,180 | ||||
13,600,000 | NiSource, Inc. (c) | 5.65% | (a) | 13,659,296 | ||||
25,832,476 | ||||||||
Oil, Gas & Consumable Fuels – 3.3% | ||||||||
11,000,000 | DCP Midstream L.P., Series A (c) | 7.38% | (a) | 10,853,865 | ||||
7,000,000 | DCP Midstream Operating L.P. (c) (g) | 5.85% | 05/21/43 | 6,510,000 | ||||
16,367,000 | Enbridge, Inc. (c) | 5.50% | 07/15/77 | 15,781,307 | ||||
37,000,000 | Enbridge, Inc. (c) | 6.25% | 03/01/78 | 37,541,495 | ||||
24,038,000 | Enbridge, Inc., Series 16-A (c) | 6.00% | 01/15/77 | 24,108,071 | ||||
29,460,000 | Energy Transfer Operating L.P., 3 Mo. LIBOR + 3.02% (b) | 5.75% | 11/01/66 | 24,525,450 | ||||
119,320,188 | ||||||||
Transportation Infrastructure – 0.9% | ||||||||
31,000,000 | AerCap Global Aviation Trust (c) (g) | 6.50% | 06/15/45 | 31,775,000 | ||||
Total Capital Preferred Securities | 2,428,273,238 | |||||||
(Cost $2,446,619,573) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES – 0.4% | ||||||||
Insurance – 0.4% | ||||||||
$14,000,000 | AmTrust Financial Services, Inc. | 6.13% | 08/15/23 | $13,758,909 | ||||
(Cost $13,969,877) |
Total Investments – 99.2% | 3,540,042,987 | ||
(Cost $3,559,834,698) (i) | |||
Net Other Assets and Liabilities – 0.8% | 29,903,317 | ||
Net Assets – 100.0% | $3,569,946,304 |
(a) | Perpetual maturity. |
(b) | Floating or variable rate security. |
(c) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at April 30, 2019. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(d) | Step-up security. A security where the coupon increases or steps up at a predetermined date. |
(e) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by Stonebridge Advisors LLC, the Fund’s sub-advisor (the “Sub-Advisor”). |
(f) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2C - Restricted Securities in the Notes to Financial Statements). |
(g) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by the Sub-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 April 30, 2019, securities noted as such amounted to $934,388,011 or 26.2% of net assets. |
(h) | This security is a contingent convertible capital security which may be subject to conversion into common stock of the issuer under certain circumstances. At April 30, 2019, securities noted as such amounted to $1,085,531,410 or 30.4% of net assets. Of these securities, 1.8% originated in emerging markets, and 98.2% originated in foreign markets. |
(i) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $44,257,406 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $64,049,117. The net unrealized depreciation was $19,791,711. |
LIBOR | London Interbank Offered Rate |
Total Value at 4/30/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
$25 Par Preferred Securities: | ||||
Banks | $ 230,470,655 | $ 211,589,300 | $ 18,881,355 | $ — |
Diversified Financial Services | 15,267,785 | — | 15,267,785 | — |
Insurance | 160,266,753 | 136,895,989 | 23,370,764 | — |
Multi-Utilities | 60,411,191 | 40,043,920 | 20,367,271 | — |
Other industry categories* | 517,378,618 | 517,378,618 | — | — |
$100 Par Preferred Securities: | ||||
Banks | 26,742,414 | — | 26,742,414 | — |
Consumer Finance | 23,584,139 | 23,584,139 | — | — |
$1,000 Par Preferred Securities* | 63,889,285 | — | 63,889,285 | — |
Capital Preferred Securities* | 2,428,273,238 | — | 2,428,273,238 | — |
Corporate Bonds and Notes* | 13,758,909 | — | 13,758,909 | — |
Total Investments | $ 3,540,042,987 | $ 929,491,966 | $ 2,610,551,021 | $— |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value (Cost $3,559,834,698) | $ 3,540,042,987 |
Cash | 8,703,681 |
Receivables: | |
Interest | 28,681,275 |
Investment securities sold | 8,373,683 |
Fund shares sold | 5,765,526 |
Dividends | 1,433,568 |
Interest reclaims | 605,051 |
Dividend reclaims | 198,027 |
Total Assets | 3,593,803,798 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 21,435,197 |
Investment advisory fees | 2,422,297 |
Total Liabilities | 23,857,494 |
NET ASSETS | $3,569,946,304 |
NET ASSETS consist of: | |
Paid-in capital | $ 3,641,142,263 |
Par value | 1,855,550 |
Accumulated distributable earnings (loss) | (73,051,509) |
NET ASSETS | $3,569,946,304 |
NET ASSET VALUE,per share | $19.24 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 185,555,000 |
INVESTMENT INCOME: | ||
Interest | $ 77,031,182 | |
Dividends | 33,183,167 | |
Foreign withholding tax | (92,120) | |
Total investment income | 110,122,229 | |
EXPENSES: | ||
Investment advisory fees | 13,730,883 | |
Total expenses | 13,730,883 | |
NET INVESTMENT INCOME (LOSS) | 96,391,346 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (20,017,528) | |
In-kind redemptions | (1,824,691) | |
Net realized gain (loss) | (21,842,219) | |
Net change in unrealized appreciation (depreciation) on investments | 97,480,402 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 75,638,183 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 172,029,529 |
Six Months Ended 4/30/2019 (Unaudited) | Year Ended 10/31/2018 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 96,391,346 | $ 189,704,806 | |
Net realized gain (loss) | (21,842,219) | (16,623,796) | |
Net change in unrealized appreciation (depreciation) | 97,480,402 | (225,468,777) | |
Net increase (decrease) in net assets resulting from operations | 172,029,529 | (52,387,767) | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (97,054,941) | (190,356,696) | |
Return of capital | — | (54,410) | |
Total distributions to shareholders | (97,054,941) | (190,411,106) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 404,286,939 | 798,475,609 | |
Cost of shares redeemed | (283,687,184) | (207,387,810) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 120,599,755 | 591,087,799 | |
Total increase (decrease) in net assets | 195,574,343 | 348,288,926 | |
NET ASSETS: | |||
Beginning of period | 3,374,371,961 | 3,026,083,035 | |
End of period | $3,569,946,304 | $3,374,371,961 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 179,855,000 | 150,305,000 | |
Shares sold | 21,250,000 | 40,400,000 | |
Shares redeemed | (15,550,000) | (10,850,000) | |
Shares outstanding, end of period | 185,555,000 | 179,855,000 |
Six Months Ended 4/30/2019 (Unaudited) | Year Ended October 31, | ||||||||||
2018 | 2017 | 2016 | 2015 | 2014 | |||||||
Net asset value, beginning of period | $ 18.76 | $ 20.13 | $ 19.47 | $ 18.97 | $ 19.04 | $ 18.21 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.55 | 1.08 | 1.08 | 1.12 | 1.16 (a) | 1.10 | |||||
Net realized and unrealized gain (loss) | 0.48 | (1.37) | 0.66 | 0.52 | (0.10) | 0.76 | |||||
Total from investment operations | 1.03 | (0.29) | 1.74 | 1.64 | 1.06 | 1.86 | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.55) | (1.08) | (1.08) | (1.13) | (1.13) | (1.03) | |||||
Return of capital | — | (0.00) (b) | (0.00) (b) | (0.01) | — | — | |||||
Total distributions | (0.55) | (1.08) | (1.08) | (1.14) | (1.13) | (1.03) | |||||
Net asset value, end of period | $19.24 | $18.76 | $20.13 | $19.47 | $18.97 | $19.04 | |||||
Total return (c) | 5.65% | (1.47)% | 9.24% | 8.97% | 5.75% | 10.42% | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 3,569,946 | $ 3,374,372 | $ 3,026,083 | $ 1,375,398 | $ 413,705 | $ 86,718 | |||||
Ratio of total expenses to average net assets | 0.85% (d) | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% | |||||
Ratio of net investment income (loss) to average net assets | 5.96% (d) | 5.56% | 5.54% | 5.97% | 6.15% | 6.06% | |||||
Portfolio turnover rate (e) | 14% | 24% | 13% | 32% | 50% | 91% |
(a) | Based on average shares outstanding. |
(b) | Amount is less than $0.01. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
1) | the value of similar foreign securities traded on other foreign markets; |
2) | ADR trading of similar securities; |
3) | closed-end fund or exchange-traded fund trading of similar securities; |
4) | foreign currency exchange activity; |
5) | the trading prices of financial products that are tied to baskets of foreign securities; |
6) | factors relating to the event that precipitated the pricing problem; |
7) | whether the event is likely to recur; and |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security | Acquisition Date | Principal Value/Shares | Current Price | Carrying Cost | Value | % of Net Assets |
Compeer Financial ACA, 6.75% | 07/31/15-04/04/19 | 4,500 | $1,053.75 | $4,741,250 | $4,741,875 | 0.14% |
Dairy Farmers of America, Inc., 7.13% | 09/15/16-08/10/17 | $7,700,000 | 93.67 | 7,898,000 | 7,212,705 | 0.20 |
Farm Credit Bank of Texas, 6.75% | 12/08/15-04/04/19 | 91,315 | 106.00 | 9,569,833 | 9,679,390 | 0.27 |
Fortegra Financial Corp., 8.50%, 10/15/57 | 10/12/17-03/12/18 | $13,700,000 | 104.67 | 13,719,049 | 14,339,995 | 0.40 |
Security | Acquisition Date | Principal Value/Shares | Current Price | Carrying Cost | Value | % of Net Assets | ||
Kinder Morgan GP, Inc., 6.58%, 08/18/57 | 03/21/17-10/16/17 | 10,000 | $922.92 | $9,215,000 | $9,229,170 | 0.26% | ||
Land O’Lakes Capital Trust I, 7.45%, 03/15/28 | 03/20/15-05/09/18 | $23,748,000 | 108.63 | 26,318,808 | 25,796,265 | 0.72 | ||
Sovereign Real Estate Investment Trust, 12.00% | 05/12/14-03/22/16 | 4,556 | 1,085.22 | 5,906,010 | 4,944,240 | 0.14 | ||
$77,367,950 | $75,943,640 | 2.13% |
Distributions paid from: | |
Ordinary income | $190,356,696 |
Capital gains | — |
Return of capital | 54,410 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (29,464,465) |
Net unrealized appreciation (depreciation) | (118,561,632) |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/img4fc6a30b1.jpg)
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/img709e09ad1.jpg)
For the Six Months Ended
April 30, 2019
1 | |
2 | |
5 | |
6 | |
7 | |
27 | |
28 | |
29 | |
30 | |
31 | |
38 |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/img6eb8a0122.jpg)
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 4/30/19 | 1 Year Ended 4/30/19 | Inception (5/13/14) to 4/30/19 | Inception (5/13/14) to 4/30/19 | |
Fund Performance | ||||
NAV | 5.48% | 5.82% | 4.34% | 23.49% |
Market Price | 5.53% | 5.87% | 4.37% | 23.66% |
Index Performance | ||||
Bloomberg Barclays Revenue 10 Year (8-12) Index | 6.10% | 6.77% | 3.67% | 19.60% |
Sector Allocation | % of Total Investments (including cash) |
Hospital | 12.5% |
Continuing Care Retirement Communities | 10.6 |
Government Obligation Bond - Unlimited Tax | 9.9 |
Insured | 6.9 |
Water & Sewer | 6.6 |
Dedicated Tax | 6.4 |
Higher Education | 6.4 |
Certificates of Participation | 6.1 |
Gas | 4.6 |
Education | 4.1 |
Government Obligation Bond - Limited Tax | 3.7 |
Special Assessment | 3.0 |
Industrial Development Bond | 2.7 |
Toll Road | 2.7 |
Utility | 2.6 |
Airport | 1.8 |
Mass Transit | 1.7 |
Student Housing | 1.4 |
Pre-refunded/Escrowed-to-maturity | 0.9 |
Tax Increment | 0.9 |
Local Housing | 0.7 |
Skilled Nursing | 0.5 |
Other Health | 0.4 |
Tobacco | 0.4 |
Pool | 0.2 |
Port | 0.1 |
Housing | 0.1 |
Stadium | 0.0* |
Hotel | 0.0* |
Cash | 2.1 |
Total | 100.0% |
* | Amount is less than 0.1%. |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 9.8% |
AA+ | 7.6 |
AA | 13.4 |
AA- | 5.6 |
A+ | 10.3 |
A | 12.3 |
A- | 9.3 |
BBB+ | 3.6 |
BBB | 4.0 |
BBB- | 4.3 |
BB+ | 3.0 |
BB | 2.0 |
BB- | 0.6 |
Not Rated | 12.1 |
Cash | 2.1 |
Total | 100.0% |
(1) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/imga106447b3.jpg)
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.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
5/14/14 – 10/31/14 | 2 | 10 | 0 | 0 |
11/1/14 – 10/31/15 | 178 | 16 | 0 | 0 |
11/1/15 – 10/31/16 | 200 | 0 | 0 | 0 |
11/1/16 – 10/31/17 | 207 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 201 | 0 | 0 | 0 |
11/1/18 – 4/30/19 | 104 | 0 | 0 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
5/14/14 – 10/31/14 | 64 | 43 | 0 | 0 |
11/1/14 – 10/31/15 | 57 | 0 | 0 | 0 |
11/1/15 – 10/31/16 | 51 | 1 | 0 | 0 |
11/1/16 – 10/31/17 | 45 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 51 | 0 | 0 | 0 |
11/1/18 – 4/30/19 | 18 | 0 | 0 | 0 |
Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (b) | |
First Trust Managed Municipal ETF (FMB) | ||||
Actual | $1,000.00 | $1,054.80 | 0.50% | $2.55 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.32 | 0.50% | $2.51 |
(a) | These expense ratios reflect expense waivers. See Note 3 in the Notes to Financial Statements. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (November 1, 2018 through April 30, 2019), multiplied by 181/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 96.5% | ||||||||
Alabama – 0.8% | ||||||||
$500,000 | AL St Port Auth Docks Facs Rev Ref Docks Facs Rev, Ser A, AGM, AMT | 5.00% | 10/01/25 | $575,795 | ||||
415,000 | Gulf Shores AL Ref Warrants, Ser A | 5.00% | 12/15/35 | 492,937 | ||||
310,000 | Gulf Shores AL Ref Warrants, Ser A | 5.00% | 12/15/38 | 364,960 | ||||
695,000 | Leeds AL Pub Eductnl Bldg Auth Eductnl Facs Rev Ref Edu, AGM | 4.00% | 04/01/30 | 763,798 | ||||
100,000 | Lower AL Gas Dist Gas Proj Rev, Ser A | 5.00% | 09/01/31 | 120,484 | ||||
600,000 | Mobile AL Impt Dist Sales Tax Rev Mcgowin Park Proj, Ser A | 5.00% | 08/01/25 | 616,848 | ||||
500,000 | Mobile Cnty AL Impt Warrants | 5.00% | 08/01/30 | 582,965 | ||||
1,500,000 | UAB Medicine Fin Auth AL Rev Ref UAB Medicine, Ser B2 | 5.00% | 09/01/41 | 1,713,000 | ||||
5,230,787 | ||||||||
Arizona – 1.3% | ||||||||
1,205,000 | AZ Brd of Rgts Univ AZ Sys Rev Green Bond, Ser B | 5.00% | 06/01/28 | 1,454,290 | ||||
175,000 | AZ St Indl Dev Auth Edu Rev Doral Academy Nevada Fire Mesa & Red Rock Campus Proj, Ser A (a) | 5.00% | 07/15/39 | 187,378 | ||||
375,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser D (a) | 5.00% | 07/01/37 | 400,609 | ||||
750,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (a) | 4.00% | 07/01/21 | 763,050 | ||||
555,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (a) | 5.00% | 07/01/26 | 609,906 | ||||
200,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Greathearts Arizona Projs, Ser C | 5.00% | 07/01/25 | 230,810 | ||||
500,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Horizon Cmnty Learning Ctr Proj | 5.00% | 07/01/35 | 522,295 | ||||
500,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Paradise Schs Projs Paragon Mgmt Inc (a) | 4.00% | 07/01/26 | 521,500 | ||||
1,475,000 | Maricopa Cnty AZ Spl Hlth Care Dist Aka Maricopa Integrated Hlth Sys, Ser C | 5.00% | 07/01/27 | 1,812,318 | ||||
500,000 | Phoenix AZ Indl Dev Auth Edu Rev Fac Legacy Traditional Schs Projs, Ser A (a) | 4.00% | 07/01/26 | 509,480 | ||||
200,000 | Phoenix AZ Indl Dev Auth Student Hsg Rev Ref Downtown Phoenix Student Hsg LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/26 | 230,714 | ||||
510,000 | Pima Cnty AZ Indl Dev Auth Edu Rev Fac American Leadership Academy Proj (a) | 4.00% | 06/15/22 | 513,096 | ||||
400,000 | Pima Cnty AZ Indl Dev Auth Edu Rev Ref Fac American Leadership Academy Proj (a) | 4.60% | 06/15/25 | 410,816 | ||||
500,000 | Tempe AZ Indl Dev Auth Rev Mirabella at ASU Proj, Ser A (a) | 6.00% | 10/01/37 | 555,730 | ||||
275,000 | Yavapai Cnty AZ Indl Dev Auth Hosp Fac Ref Yavapai Regl Med Ctr | 5.00% | 08/01/23 | 306,531 | ||||
9,028,523 | ||||||||
Arkansas – 0.1% | ||||||||
350,000 | Univ of Central Arkansas AR Rev, Ser A, AGM | 5.00% | 11/01/34 | 401,947 | ||||
California – 6.6% | ||||||||
1,000,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Proj, Ser C | 4.50% | 07/01/26 | 1,103,900 | ||||
455,000 | CA Sch Fin Auth Sch Fac Rev Ref Hlth Learning Proj, Ser A (a) | 4.00% | 07/01/26 | 492,974 | ||||
800,000 | CA Sch Fin Auth Sch Fac Rev Ref Hlth Learning Proj, Ser A (a) | 5.00% | 07/01/32 | 900,872 | ||||
750,000 | CA St | 5.00% | 08/01/32 | 911,078 | ||||
850,000 | CA St Cmnty Clg Fing Auth Clg Hsg Rev Orange Coast Pptys LLC Orange Coast Clg Proj | 5.25% | 05/01/43 | 964,172 | ||||
165,000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys West, Ser A | 4.00% | 03/01/33 | 172,816 | ||||
400,000 | CA St Hlth Facs Fing Auth Rev Ref Sutter Hlth, Ser B | 5.00% | 11/15/33 | 476,740 | ||||
600,000 | CA St Hlth Facs Fing Auth Rev Sutter Hlth, Ser A | 5.00% | 11/15/33 | 726,402 | ||||
445,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Vista Chrt Middle Sch Proj (b) | 5.38% | 07/01/34 | 471,348 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$700,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Academy Proj (a) | 4.00% | 07/01/26 | $722,834 | ||||
200,000 | CA St Muni Fin Auth Rev Channing House Proj, Ser B | 5.00% | 05/15/37 | 234,552 | ||||
500,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/34 | 576,285 | ||||
680,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/27 | 817,734 | ||||
650,000 | CA St Muni Fin Auth Rev Sr Lien Linxs Apm Proj, Ser A, AMT | 5.00% | 06/30/28 | 783,237 | ||||
1,000,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Waste Mgmt Inc, Ser A1, AMT | 3.38% | 07/01/25 | 1,049,430 | ||||
1,500,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Rialto Bioenergy Fac LLC Proj Green Bond, AMT (a) | 6.75% | 12/01/28 | 1,495,710 | ||||
4,250,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Rialto Bioenergy Fac LLC Proj Green Bond, AMT (a) | 7.50% | 12/01/40 | 4,227,135 | ||||
2,000,000 | CA St Ref Various Purpose | 5.00% | 04/01/36 | 2,264,340 | ||||
500,000 | CA St Ref, Ser C | 5.00% | 09/01/32 | 585,585 | ||||
500,000 | CA St Sch Fin Auth Chrt Sch Rev Summit Pub Schs (a) | 5.00% | 06/01/37 | 553,490 | ||||
300,000 | CA St Stwd Cmntys Dev Auth Clg Hsg Rev NCCD Hooper Street LLC CA College of the Arts Projs (a) | 5.00% | 07/01/29 | 336,693 | ||||
700,000 | CA St Stwd Cmntys Dev Auth Clg Hsg Rev NCCD Hooper Street LLC CA College of the Arts Projs (a) | 5.25% | 07/01/39 | 765,107 | ||||
1,000,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/30 | 1,116,080 | ||||
450,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/33 | 509,481 | ||||
600,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (a) | 3.00% | 11/01/22 | 606,156 | ||||
500,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (a) | 5.00% | 11/01/32 | 577,355 | ||||
100,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/30 | 118,801 | ||||
195,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/31 | 230,172 | ||||
400,000 | CA Stwd Cmntys Dev Auth Rev Ref Lancer Eductnl Student Hsg Proj, Ser A (a) | 4.00% | 06/01/21 | 406,072 | ||||
370,000 | Chino CA Cmnty Facs Dist Spl Tax #2003-3 Impt Area #7 | 5.00% | 09/01/30 | 433,766 | ||||
1,160,000 | Etiwanda CA Sch Dist Cmnty Facs Dist #9 Spl Tax Ref | 5.00% | 09/01/35 | 1,316,043 | ||||
500,000 | Foothill-De Anza CA Cmnty Clg Dist Ref, COPS | 5.00% | 04/01/32 | 576,055 | ||||
1,360,000 | Hawthorne CA Cmnty Redev Agy Successor Agy Tax Allocation Ref Sub, AGM | 5.00% | 09/01/32 | 1,589,282 | ||||
2,885,000 | Kaweah CA Delta Hlth Care Dist Rev, Ser B | 5.00% | 06/01/40 | 3,154,574 | ||||
210,000 | La Verne CA Ref Brethren Hillcrest Homes, COPS | 5.00% | 05/15/22 | 225,320 | ||||
825,000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Impt Area #1 Mountain House Sch Facs | 5.00% | 09/01/42 | 920,024 | ||||
835,000 | Live Oak CA Sch Dist Santa Cruz Cnty Ref | 5.00% | 08/01/30 | 996,447 | ||||
45,000 | Long Beach CA Bond Fin Auth Nat Gas Purchase Rev, Ser A | 5.25% | 11/15/23 | 50,836 | ||||
400,000 | Los Angeles CA Dept of Arpts Arpt Rev Sub Los Angeles Intl Arpt, Ser B, AMT | 5.00% | 05/15/31 | 468,228 | ||||
100,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/33 | 110,795 | ||||
325,000 | Menifee CA Union Sch Dist Pub Fing Auth Spl Tax Rev Ref, Ser A | 5.00% | 09/01/28 | 379,373 | ||||
1,110,000 | Montebello CA Pub Fing Auth Rev Montebello Home2 Suites Hilton Hotel Proj, Ser A | 5.00% | 06/01/32 | 1,293,161 | ||||
500,000 | River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2003-1, Ser A | 5.00% | 09/01/43 | 541,065 | ||||
560,000 | River Islands CA Pub Fing Auth Spl Tax Ref Cmnty Facs Dist #2003-1 | 5.38% | 09/01/31 | 599,206 | ||||
200,000 | Sacramento CA Transient Occupapancy Tax Rev Sub Convention Ctr Complex, Ser C | 5.00% | 06/01/32 | 243,888 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$500,000 | Sacramento CA Transient Occupapancy Tax Rev Sub Convention Ctr Complex, Ser C | 5.00% | 06/01/35 | $602,135 | ||||
350,000 | San Diego Cnty CA Limited Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A | 5.00% | 11/01/25 | 415,895 | ||||
600,000 | San Diego Cnty CA Limited Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A | 5.00% | 11/01/26 | 710,544 | ||||
945,000 | San Diego Cnty CA Regl Arpt Auth Sr, Ser B, AMT | 5.00% | 07/01/30 | 1,051,823 | ||||
1,250,000 | San Diego Cnty CA Regl Transprtn Commission, Ser A | 5.00% | 04/01/35 | 1,479,712 | ||||
1,000,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref, Ser D, AMT | 5.00% | 05/01/22 | 1,095,360 | ||||
280,000 | San Francisco City & Cnty CA Redev Agy Successor Agy Tax Ref Mission Bay N Redev Proj, Ser A | 5.00% | 08/01/35 | 325,290 | ||||
100,000 | Temecula Vly Unif Sch Dist Fing Auth CA Spl Tax Rev, BAM | 5.00% | 09/01/34 | 114,330 | ||||
385,000 | Temescal Vly CA Wtr Dist Spl Tax Terramor Cmnty Facs Dist #4 Impt Area #1 | 4.00% | 09/01/23 | 405,155 | ||||
1,050,000 | Victor CA Elem Sch Dist Cmnty Facs Dist Spl Tax Ref 2005-1, BAM | 5.00% | 09/01/46 | 1,196,506 | ||||
44,491,364 | ||||||||
Colorado – 4.3% | ||||||||
500,000 | Base Vlg Met Dist #2 CO Ref, Ser A | 5.50% | 12/01/36 | 521,405 | ||||
2,000,000 | Boulder Vly CO Sch Dist #Re-2 Boulder Ref, Ser B | 4.00% | 12/01/32 | 2,227,740 | ||||
455,000 | Buffalo Ridge CO Met Dist Ref & Impt Sr, Ser A, BAM | 5.00% | 12/01/25 | 533,610 | ||||
250,000 | Buffalo Ridge CO Met Dist Ref & Impt Sr, Ser A, BAM | 5.00% | 12/01/26 | 297,285 | ||||
500,000 | Castle Oaks CO Met Dist #3 Ref | 5.00% | 12/01/37 | 505,480 | ||||
500,000 | Centerra CO Met Dist #1 Spl Rev Dist #1 (a) | 5.00% | 12/01/22 | 534,575 | ||||
1,000,000 | Centerra CO Met Dist #1 Spl Rev Dist #1 (a) | 5.00% | 12/01/29 | 1,072,310 | ||||
1,020,000 | CO St Eductnl & Cultural Facs Auth Rev Univ Denver Proj, Ser A | 4.00% | 03/01/35 | 1,108,189 | ||||
300,000 | CO St Hlth Facs Auth Hosp Rev Ref Frasier Meadows Retmnt Cmnty Proj, Ser A | 5.00% | 05/15/25 | 338,013 | ||||
350,000 | CO St Hlth Facs Auth Hosp Rev Ref Frasier Meadows Retmnt Cmnty Proj, Ser A | 5.00% | 05/15/26 | 398,863 | ||||
605,000 | CO St Hlth Facs Auth Rev Ref Covenant Retmnt Cmntys, Ser A | 5.00% | 12/01/27 | 658,700 | ||||
525,000 | CO St Hlth Facs Auth Rev Ref Covenant Retmnt Cmntys, Ser A | 5.00% | 12/01/33 | 563,656 | ||||
495,000 | Colorado Springs CO Pikes Peak Americas Mountain Enterprise Pikes Peak | 5.00% | 12/01/25 | 578,863 | ||||
500,000 | Copperleaf CO Met Dist #2 Ref | 5.25% | 12/01/30 | 524,030 | ||||
2,000,000 | Crowfoot Vly Ranch Met Dist #2 CO, Ser A | 5.63% | 12/01/38 | 2,017,080 | ||||
1,000,000 | Denver CO City & Cnty Dedicated Tax Rev, Ser A-1 | 5.00% | 08/01/41 | 1,155,910 | ||||
90,000 | Denver CO Convention Ctr Hotel Auth Rev Ref Sr | 5.00% | 12/01/24 | 101,052 | ||||
600,000 | Denver CO Hlth & Hosp Auth 550 Acoma Inc, COPS | 5.00% | 12/01/26 | 701,190 | ||||
55,000 | E-470 CO Pub Highway Auth Capital Appreciation Sr, Ser B, NATL-RE | (c) | 09/01/22 | 51,109 | ||||
1,000,000 | Independence Met Dist #3 CO, Ser A | 6.25% | 12/01/49 | 1,018,320 | ||||
860,000 | Lakes at Centerra Met Dist No 2 CO Impt, Ser A | 4.63% | 12/01/27 | 874,199 | ||||
100,000 | Lorson Ranch Met Dist #2 CO | 4.00% | 12/01/24 | 109,805 | ||||
170,000 | Lorson Ranch Met Dist #2 CO | 5.00% | 12/01/27 | 194,383 | ||||
1,000,000 | North Park Met Dist #1 Spl Rev, Ser A-2 | 5.13% | 12/01/28 | 1,044,960 | ||||
2,460,000 | Park Creek CO Met Dist Rev Ref Sr Limited Property Tax Supported, Ser A | 5.00% | 12/01/24 | 2,814,658 | ||||
150,000 | Park Creek CO Met Dist Rev Ref Sr Limited Property Tax Supported, Ser A | 5.00% | 12/01/34 | 168,188 | ||||
155,000 | Park Creek CO Met Dist Rev Ref Sr Limited Property Tax Supported, Ser A | 5.00% | 12/01/35 | 173,400 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado (Continued) | ||||||||
$2,000,000 | Park Creek CO Met Dist Rev Ref Sr Limited Property Tax Supported, Ser A | 5.00% | 12/01/45 | $2,202,280 | ||||
420,000 | Park Creek CO Met Dist Rev Sr, Ser A | 5.00% | 12/01/30 | 503,916 | ||||
30,000 | Park Creek CO Met Dist Rev Sr, Ser A, NATL-RE | 5.00% | 12/01/24 | 34,495 | ||||
500,000 | Parker Homestead Met Dist CO Ref (b) | 5.63% | 12/01/44 | 527,165 | ||||
1,000,000 | Prairie Ctr CO Met Dist #3 Ltd Property Tax Supported Pri Ref, Ser A (a) | 4.13% | 12/15/27 | 1,015,420 | ||||
160,000 | Pub Auth for CO St Energy Nat Gas Purchase Rev | 6.13% | 11/15/23 | 178,037 | ||||
550,000 | Serenity Ridge CO Met Dist #2 Ref, Ser A (b) | 5.13% | 12/01/37 | 568,997 | ||||
750,000 | Sierra Ridge Met Dist No 2 CO Sr, Ser A | 4.50% | 12/01/31 | 751,072 | ||||
175,000 | Sterling Hills CO W Met Dist Ref | 5.00% | 12/01/32 | 200,608 | ||||
1,800,000 | Takoda CO Met Dist Ref | 6.00% | 12/01/36 | 2,129,202 | ||||
1,000,000 | Velocity Met Dist #3 CO | 5.13% | 12/01/34 | 1,024,880 | ||||
29,423,045 | ||||||||
Connecticut – 2.8% | ||||||||
5,000,000 | Capital City CT Econ Dev Auth Pkg & Energy Fee Rev Adj, Ser B (d) | 2.51% | 06/15/34 | 5,000,000 | ||||
250,000 | CT St Hlth & Eductnl Facs Auth Rev Fairfield Univ, Ser Q-1 | 5.00% | 07/01/46 | 280,900 | ||||
1,000,000 | CT St Hlth & Eductnl Facs Auth Rev Quinnipiac Univ Ref, Ser M | 5.00% | 07/01/36 | 1,142,380 | ||||
1,000,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Fairfield Univ, Ser S | 5.00% | 07/01/26 | 1,188,750 | ||||
2,250,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Quinnipiac Univ, Ser L | 5.00% | 07/01/31 | 2,567,452 | ||||
1,210,000 | CT St Hlth & Eductnl Facs Auth Rev Yale Univ Issue, Ser U-2 (Mandatory put 02/08/22) | 2.00% | 07/01/33 | 1,219,620 | ||||
1,445,000 | CT St, Ser A | 5.00% | 04/15/29 | 1,715,490 | ||||
500,000 | Hamden CT, BAM | 6.00% | 08/15/33 | 625,845 | ||||
500,000 | Harbor Point CT Infrastructure Impt Dist Spl Oblig Rev Ref Harbor Point Proj Limited (a) | 5.00% | 04/01/39 | 535,720 | ||||
1,250,000 | Univ of Connecticut CT, Ser A | 5.00% | 11/01/32 | 1,507,625 | ||||
1,500,000 | Univ of Connecticut CT, Ser A | 5.00% | 11/01/33 | 1,798,095 | ||||
1,335,000 | Univ of Connecticut CT, Ser A | 5.00% | 11/01/34 | 1,595,098 | ||||
19,176,975 | ||||||||
Delaware – 0.5% | ||||||||
325,000 | DE St Hlth Facs Auth Rev Beebe Med Ctr | 5.00% | 06/01/26 | 377,696 | ||||
2,633,000 | Millsboro DE Spl Oblig Ref Plantation Lakes Spl Dev Dist (a) | 5.00% | 07/01/28 | 2,773,365 | ||||
3,151,061 | ||||||||
District of Columbia – 0.5% | ||||||||
1,000,000 | Dist of Columbia Rev Rocketship DC Obligated Grp, Ser A (a) | 5.00% | 06/01/49 | 1,039,190 | ||||
1,000,000 | Washington DC Met Area Transit Auth Gross Rev | 5.00% | 07/01/33 | 1,197,910 | ||||
885,000 | Washington DC Met Area Transit Auth Gross Rev Ref, Ser A-1 | 5.00% | 07/01/29 | 1,082,612 | ||||
3,319,712 | ||||||||
Florida – 6.0% | ||||||||
150,000 | Belle Isle FL Chrt Sch Lease Rev Cornerstone Chrt Academy & Cornerstone Chrt High Sch | 5.50% | 10/01/22 | 156,962 | ||||
300,000 | Bexley CDD FL Spl Assmnt Rev | 4.10% | 05/01/26 | 304,194 | ||||
210,000 | Bonterra Cmnty Dev Dist FL Spl Assmnt Sr, Ser A-1 | 3.13% | 05/01/26 | 215,080 | ||||
500,000 | Brookstone CDD FL Spl Assmnt Rev CDD (e) | 3.88% | 11/01/23 | 502,125 | ||||
605,000 | Broward Cnty FL Fuel Sys Rev Ft Lauderdale Fuel Facs, Ser A, AGM, AMT | 5.00% | 04/01/22 | 653,951 | ||||
250,000 | Citizens Property Insurance Corp FL, Ser A-1 | 5.00% | 06/01/22 | 270,090 | ||||
25,000 | Escambia Cnty FL Hlth Facs Auth Baptist Hosp Inc Proj, Ser A | 5.00% | 08/15/19 | 25,229 | ||||
280,000 | Escambia Cnty FL Hlth Facs Auth Baptist Hosp Inc Proj, Ser A | 5.50% | 08/15/24 | 292,566 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$2,000,000 | FL Dev Fin Corp Surface Transprtn Fac Rev Ref Virgin Trains USA Passenger Rail Proj, Ser A, AMT (Mandatory put 01/01/26) (a) | 6.38% | 01/01/49 | $2,054,460 | ||||
560,000 | Harmony FL CDD Capital Impt Rev Ref, Ser 2015 | 4.75% | 05/01/25 | 565,393 | ||||
365,000 | Heritage Harbour FL N CDD Capital Impt Rev Ref Sr Lien, Ser A-1, AGM | 5.00% | 05/01/25 | 413,603 | ||||
125,000 | Hollywood FL Cmnty Redev Agy Redev Rev Ref | 5.00% | 03/01/23 | 138,611 | ||||
1,000,000 | Jacksonville FL Hlth Care Facs Rev Ref Baptist Hlth | 5.00% | 08/15/35 | 1,182,470 | ||||
1,500,000 | Jacksonville FL Spl Rev Ref Spl Rev, Ser A | 5.00% | 10/01/31 | 1,758,495 | ||||
1,000,000 | Jacksonville FL Spl Rev Ref Spl Rev, Ser B | 5.00% | 10/01/28 | 1,187,180 | ||||
1,230,000 | Lakeland FL Hosp Sys Rev Lakeland Regl Hlth | 5.00% | 11/15/33 | 1,379,531 | ||||
1,210,000 | Lee Cnty FL Indl Dev Auth Cypress Cove Healthpark FL Inc Memory Care Proj | 4.00% | 10/01/24 | 1,243,323 | ||||
1,390,000 | Mediterra FL S CDD Capital Impt Rev Ref | 5.10% | 05/01/31 | 1,490,288 | ||||
500,000 | Miami FL Hlth Facs Auth Ref Miami Jewish Hlth Sys Oblig Grp | 5.00% | 07/01/23 | 541,360 | ||||
330,000 | Miami FL Hlth Facs Auth Ref Miami Jewish Hlth Sys Oblig Grp | 5.00% | 07/01/25 | 366,993 | ||||
500,000 | Miami FL Spl Oblig Ref (a) | 5.00% | 03/01/30 | 553,055 | ||||
375,000 | Miami World Ctr CDD FL Spl Assmnt | 4.00% | 11/01/23 | 381,457 | ||||
275,000 | Miami World Ctr CDD FL Spl Assmnt | 4.75% | 11/01/27 | 286,533 | ||||
515,000 | Miami-Dade Cnty FL Aviation Rev Ref, Ser A, AMT | 5.00% | 10/01/27 | 562,766 | ||||
2,000,000 | Miami-Dade Cnty FL Eductnl Facs Auth Rev Ref Univ Miami, Ser A | 5.00% | 04/01/31 | 2,261,940 | ||||
445,000 | Miami-Dade Cnty FL Indl Dev Auth Doral Academy Proj | 5.00% | 01/15/25 | 486,189 | ||||
550,000 | Miami-Dade Cnty FL Indl Dev Auth Doral Academy Proj | 5.00% | 01/15/32 | 601,898 | ||||
1,210,000 | Miami-Dade Cnty FL Indl Dev Auth Doral Academy Proj | 5.00% | 01/15/37 | 1,307,357 | ||||
1,080,000 | Miami-Dade Cnty FL Spl Oblig Sub Ref | 5.00% | 10/01/35 | 1,249,096 | ||||
565,000 | Nthrn Palm Beach Cnty FL Impt Dist | 3.25% | 08/01/22 | 567,622 | ||||
355,000 | Nthrn Palm Beach Cnty FL Impt Dist | 5.00% | 08/01/37 | 373,336 | ||||
680,000 | Orange Cnty FL Hlth Facs Auth Rev Presbyterian Retmnt Cmntys Proj | 5.00% | 08/01/29 | 754,011 | ||||
345,000 | Orange Cnty FL Hlth Facs Auth Rev Presbyterian Retmnt Cmntys Proj | 5.00% | 08/01/34 | 376,302 | ||||
70,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Mayflower Retmnt Ctr | 5.00% | 06/01/32 | 72,806 | ||||
5,000,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Orlando Hlth Inc, Ser A | 5.00% | 10/01/36 | 5,719,050 | ||||
825,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Presbyterian Retmnt Cmntys | 5.00% | 08/01/31 | 914,727 | ||||
1,000,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Presbyterian Retmnt Cmntys | 5.00% | 08/01/41 | 1,088,600 | ||||
420,000 | Palm Beach Cnty FL Hlth Facs Auth Acts Retmnt Life Cmntys Inc, Ser A | 5.00% | 11/15/45 | 470,026 | ||||
305,000 | Palm Beach Cnty FL Hlth Facs Auth Rev Lifespace Cmntys Inc, Ser B | 5.00% | 05/15/31 | 334,451 | ||||
55,000 | Port Saint Lucie FL Cmnty Redev Agy Rev Ref | 5.00% | 01/01/23 | 60,968 | ||||
725,000 | Sarasota Cnty FL Hlth Facs Auth Retmnt Fac Rev Ref Vlg of Isle Proj | 5.00% | 01/01/25 | 795,231 | ||||
120,000 | Sarasota Cnty FL Hlth Facs Auth Retmnt Fac Rev Ref Vlg of Isle Proj | 5.00% | 01/01/26 | 132,941 | ||||
610,000 | Sarasota Cnty FL Hlth Facs Auth Retmnt Fac Rev Ref Vlg of Isle Proj | 5.00% | 01/01/32 | 660,398 | ||||
2,250,000 | SE Overtown Park W Cmnty Redev Agy FL Tax, Ser A-1 (a) | 5.00% | 03/01/30 | 2,497,725 | ||||
500,000 | Shell Point Cmnty Dev Dist FL Spl Assmnt (a) | 4.00% | 11/01/24 | 503,135 | ||||
500,000 | Tallahassee FL Energy Sys Rev Energy Sys | 5.00% | 10/01/29 | 576,245 | ||||
1,500,000 | Tallahassee FL Energy Sys Rev Energy Sys | 5.00% | 10/01/30 | 1,720,440 | ||||
250,000 | Timber Creek CDD FL Spl Assmnt Rev (e) | 4.13% | 11/01/24 | 251,262 | ||||
100,000 | UCF Stadium Corp FL Rev Ref, Ser A | 5.00% | 03/01/24 | 114,110 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$75,000 | Vlg FL CDD #6 Spl Assmnt Rev Ref | 4.00% | 05/01/25 | $80,759 | ||||
40,496,340 | ||||||||
Georgia – 3.1% | ||||||||
650,000 | Atlanta GA Tax Allocation Ref Eastside Proj | 5.00% | 01/01/30 | 782,314 | ||||
315,000 | East Point GA Tax Allocation Ref | 5.00% | 08/01/21 | 335,617 | ||||
1,490,000 | Floyd Cnty GA Dev Auth Spires Berry Clg Proj, Ser A | 5.50% | 12/01/28 | 1,515,673 | ||||
2,450,000 | Floyd Cnty GA Dev Auth Spires Berry Clg Proj, Ser A | 5.75% | 12/01/33 | 2,480,135 | ||||
1,085,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/31 | 1,173,840 | ||||
750,000 | GA St Hgr Edu Facs Auth Rev Ref USG Real Estate Fdtn II LLC Projs | 5.00% | 06/15/34 | 905,775 | ||||
890,000 | GA St Hgr Edu Facs Auth Rev Ref USG Real Estate Fdtn II LLC Projs | 5.00% | 06/15/35 | 1,074,025 | ||||
2,530,000 | GA St Ref, Ser F | 5.00% | 07/01/25 | 3,024,058 | ||||
40,000 | Gainesville & Hall Cnty GA Hosp Auth Ref NE GA Hlth Sys Inc Proj, Ser A | 5.00% | 02/15/26 | 46,816 | ||||
175,000 | Main Street Nat Gas Inc GA Gas Rev, Ser A | 5.50% | 09/15/23 | 198,749 | ||||
1,000,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/27 | 1,168,410 | ||||
2,330,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/30 | 2,777,896 | ||||
775,000 | Marietta GA Dev Auth Ref Univ Facs Life Univ, Ser A (a) | 5.00% | 11/01/27 | 887,809 | ||||
560,000 | Priv Clgs & Univs Auth GA Mercer Univ Proj, Ser C | 5.25% | 10/01/27 | 610,680 | ||||
925,000 | Priv Clgs & Univs Auth GA Savannah Clg of Art & Design Proj | 5.00% | 04/01/33 | 1,025,279 | ||||
2,625,000 | Priv Clgs & Univs Auth GA Savannah Clg of Art & Design Proj | 5.00% | 04/01/44 | 2,862,510 | ||||
20,869,586 | ||||||||
Guam – 0.1% | ||||||||
245,000 | Guam Govt Business Privilege Tax Rev, Ser B-1 | 5.00% | 01/01/37 | 252,950 | ||||
300,000 | Guam Port Auth Port Rev, Ser B, AMT | 5.00% | 07/01/32 | 337,992 | ||||
75,000 | Guam Pwr Auth Rev Ref, Ser A, AGM | 5.00% | 10/01/20 | 78,248 | ||||
669,190 | ||||||||
Hawaii – 1.3% | ||||||||
195,000 | HI St Dept of Budget & Fin Spl Purpose Rev Ref HI Pacific Hlth Oblig Grp, Ser B | 5.00% | 07/01/30 | 216,058 | ||||
110,000 | HI St Pacific Hlth Spl Purpose Rev, Ser B | 5.63% | 07/01/30 | 114,991 | ||||
4,980,000 | HI St, Ser FG | 4.00% | 10/01/33 | 5,480,689 | ||||
500,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Ref Junior, Ser A | 5.00% | 07/01/20 | 519,455 | ||||
2,450,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Ref Sr First Bd Resolution, Ser B | 4.00% | 07/01/32 | 2,648,352 | ||||
100,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Sr First Bd Resolution, Ser B | 5.00% | 07/01/20 | 103,938 | ||||
9,083,483 | ||||||||
Idaho – 0.3% | ||||||||
1,000,000 | ID St Hlth Facs Auth Rev Ref Madison Memorial Hosp | 5.00% | 09/01/37 | 1,088,350 | ||||
255,000 | ID St Hlth Facs Auth Rev Ref Vly Vista Care Corp, Ser A | 5.00% | 11/15/32 | 266,154 | ||||
500,000 | ID St Hlth Facs Auth Rev Trinity Hlth Ref, Ser D | 5.00% | 12/01/33 | 539,875 | ||||
1,894,379 | ||||||||
Illinois – 3.8% | ||||||||
1,000,000 | Bolingbrook IL Ref, Ser A, AGM | 5.00% | 01/01/30 | 1,181,160 | ||||
1,000,000 | Bolingbrook IL Ref, Ser A, AGM | 5.00% | 01/01/31 | 1,172,840 | ||||
130,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (c) | 12/01/22 | 115,918 | ||||
500,000 | Chicago IL Brd of Edu Ref Dedicated, Ser C | 5.00% | 12/01/30 | 546,300 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$1,975,000 | Chicago IL Brd of Edu Ref, Ser F | 5.00% | 12/01/31 | $2,010,056 | ||||
625,000 | Chicago IL Brd of Edu, Ser A | 5.50% | 12/01/39 | 645,825 | ||||
305,000 | Chicago IL O’Hare Intl Arpt Rev Ref Gen Sr Lien, Ser A, AMT | 5.00% | 01/01/30 | 351,003 | ||||
600,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien, Ser A, AMT | 5.00% | 01/01/37 | 702,330 | ||||
400,000 | Chicago IL O’Hare Intl Arpt Rev, Ser C, AMT | 5.00% | 01/01/34 | 447,796 | ||||
425,000 | Chicago IL Ref 2003B | 5.25% | 01/01/29 | 464,499 | ||||
160,000 | Chicago IL Ref Proj, Ser A | 5.00% | 01/01/27 | 171,864 | ||||
710,000 | Chicago IL Ref Proj, Ser A | 5.00% | 01/01/35 | 746,792 | ||||
500,000 | Chicago IL Ref, Ser A | 5.63% | 01/01/29 | 577,735 | ||||
150,000 | Chicago IL Ref, Ser C | 4.00% | 01/01/22 | 158,906 | ||||
500,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/25 | 547,735 | ||||
485,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/26 | 537,186 | ||||
70,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/38 | 74,241 | ||||
285,000 | Chicago IL Ref, Ser C, CABS | (c) | 01/01/22 | 262,650 | ||||
100,000 | Chicago IL Ref, Ser C, CABS | (c) | 01/01/24 | 85,562 | ||||
2,000,000 | Chicago IL, Ser A | 5.00% | 01/01/27 | 2,223,380 | ||||
505,000 | Hampshire IL Spl Svc Area #14 Spl Tax Ref Lakewood Crossing, BAM | 4.00% | 03/01/25 | 540,072 | ||||
500,000 | Hillside IL Tax Incr Rev Ref | 5.00% | 01/01/24 | 515,870 | ||||
230,000 | IL St | 5.00% | 05/01/23 | 247,009 | ||||
50,000 | IL St | 5.00% | 06/01/27 | 54,828 | ||||
1,000,000 | IL St Fin Auth Rev Centegra Hlth Sys, Ser A | 5.00% | 09/01/39 | 1,110,270 | ||||
500,000 | IL St Fin Auth Rev Loc Govt Program E Prairie Sch Dist #73 Proj, BAM | 5.00% | 12/01/30 | 596,955 | ||||
70,000 | IL St Fin Auth Rev Ref Lifespace Cmntys, Ser A | 5.00% | 05/15/24 | 76,115 | ||||
845,000 | IL St Fin Auth Rev Ref Mercy Hlth System Obligated Grp | 5.00% | 12/01/33 | 953,625 | ||||
35,000 | IL St Fin Auth Rev Ref Presbyterian Homes Obligated Grp, Ser A | 5.00% | 11/01/24 | 39,747 | ||||
1,010,000 | IL St Fin Auth Rev Sthrn IL Hlth Care, Ser A | 5.00% | 03/01/47 | 1,129,483 | ||||
600,000 | IL St Fin Auth Student Hsg & Academic Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/26 | 684,624 | ||||
500,000 | IL St Fin Auth Student Hsg & Academic Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/27 | 576,455 | ||||
315,000 | IL St Fin Auth Student Hsg & Academic Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/32 | 355,235 | ||||
105,000 | IL St Ref | 4.00% | 08/01/25 | 106,733 | ||||
470,000 | IL St, Ser A | 4.00% | 01/01/25 | 476,514 | ||||
1,500,000 | IL St, Ser A | 5.00% | 12/01/26 | 1,652,850 | ||||
725,000 | IL St, Ser D | 5.00% | 11/01/24 | 791,649 | ||||
870,000 | IL St, Ser D | 5.00% | 11/01/26 | 958,148 | ||||
1,000,000 | Piatt Champaign & De Witt Cntys IL Cmnty Unit Sch Dist #25 Ref, Ser B, BAM | 5.00% | 11/01/33 | 1,147,910 | ||||
645,000 | Rockford IL Ref Wtrwks Sys, Ser B, BAM | 5.00% | 12/15/26 | 752,696 | ||||
110,000 | Romeoville IL Rev Ref Lewis Univ Proj | 5.00% | 10/01/24 | 122,119 | ||||
125,000 | Romeoville IL Rev Ref Lewis Univ Proj | 5.00% | 10/01/25 | 140,015 | ||||
26,052,700 | ||||||||
Indiana – 1.5% | ||||||||
1,920,000 | Carmel IN Loc Pub Impt Bond Bank Multipurpose | 5.00% | 07/15/34 | 2,246,976 | ||||
1,425,000 | Carmel IN Loc Pub Impt Bond Bank Spl Program Wtrwks | 5.00% | 06/01/26 | 1,700,937 | ||||
1,000,000 | Evansville IN Mf Hsg Rev Silver Birch Evansville Proj | 5.45% | 01/01/38 | 1,019,980 | ||||
250,000 | Fort Wayne IN Mf Hsg Rev Silver Birch at Cook Road (a) | 5.30% | 01/01/32 | 256,930 | ||||
110,000 | IN St Fin Auth Rev BHI Sr Living | 5.50% | 11/15/31 | 116,471 | ||||
800,000 | IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Academy Proj, Ser A (e) | 5.25% | 07/01/28 | 838,112 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Indiana (Continued) | ||||||||
$1,000,000 | IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Academy Proj, Ser A (e) | 5.88% | 07/01/38 | $1,033,170 | ||||
20,000 | IN St Fin Auth Rev Greencroft Oblig Grp, Ser A | 5.00% | 11/15/23 | 21,334 | ||||
460,000 | IN St Fin Auth Rev Greencroft Oblig Grp, Ser A | 5.75% | 11/15/28 | 495,457 | ||||
55,000 | IN St Fin Auth Rev Greencroft Oblig Grp, Ser A | 6.00% | 11/15/28 | 59,807 | ||||
275,000 | IN St Fin Auth Rev Ref Rev Cmnty Fdtn of NW IN | 5.00% | 09/01/31 | 319,382 | ||||
500,000 | Mishawaka IN Mf Hsg Rev Silver Birch Mishawaka Proj (a) | 5.10% | 01/01/32 | 510,670 | ||||
1,700,000 | Plainfield IN Mf Hsg Rev Glasswater Creek Proj | 5.38% | 09/01/38 | 1,719,397 | ||||
10,338,623 | ||||||||
Iowa – 0.8% | ||||||||
500,000 | Coralville IA Annual Approp, Ser D | 4.00% | 05/01/24 | 494,175 | ||||
260,000 | Coralville IA Ref Annual Approp, Ser B | 4.00% | 05/01/24 | 255,822 | ||||
315,000 | Coralville IA Ref Annual Approp, Ser B | 4.00% | 05/01/26 | 309,667 | ||||
2,385,000 | Coralville IA Ref, Ser A | 5.00% | 05/01/38 | 2,442,836 | ||||
985,000 | IA St Fin Auth Sr Hsg Rev Northcrest Inc Proj, Ser A | 5.00% | 03/01/28 | 1,075,088 | ||||
1,000,000 | IA St Fin Auth Sr Hsg Rev Northcrest Inc Proj, Ser A | 5.00% | 03/01/33 | 1,071,930 | ||||
5,649,518 | ||||||||
Kansas – 1.8% | ||||||||
4,210,000 | Johnson & Miami Cntys KS Unif Sch Dist #230 Spring Hill, Ser A | 5.00% | 09/01/35 | 4,960,475 | ||||
1,240,000 | KS Muni Energy Agy Pwr Proj Rev Dogwood Proj, Ser A, BAM | 5.00% | 04/01/29 | 1,461,824 | ||||
1,470,000 | KS Muni Energy Agy Pwr Proj Rev Dogwood Proj, Ser A, BAM | 5.00% | 04/01/30 | 1,721,385 | ||||
1,045,000 | Lenexa KS Hlth Care Fac Rev Ref Lakeview Vlg Inc, Ser A | 5.00% | 05/15/26 | 1,159,877 | ||||
1,500,000 | Wichita KS Hlth Care Facs Rev Ref Presbyterian Manors, Ser I | 3.75% | 05/15/23 | 1,508,520 | ||||
500,000 | Wichita KS Hlth Care Facs Rev Ref Presbyterian Manors, Ser I | 5.00% | 05/15/33 | 532,135 | ||||
150,000 | Wyandotte Cnty KS Unif Sch Dist #202, Ser A, AGM | 5.00% | 09/01/32 | 177,568 | ||||
475,000 | Wyandotte Cnty/Kansas City KS Unif Govt Utility Sys Rev Ref & Impt, Ser A | 5.00% | 09/01/29 | 541,414 | ||||
12,063,198 | ||||||||
Kentucky – 2.2% | ||||||||
1,000,000 | Estrn KY Univ Gen Recpts, Ser A | 5.00% | 04/01/25 | 1,158,890 | ||||
145,000 | KY St Econ Dev Fin Auth Baptist Hlth Care Sys, Ser B | 5.00% | 08/15/28 | 169,908 | ||||
3,000,000 | KY St Econ Dev Fin Auth Baptist Hlth Care Sys, Ser B | 5.00% | 08/15/41 | 3,347,640 | ||||
160,000 | KY St Econ Dev Fin Auth Hlth Sys Rev Norton Hlth Care Inc, Ser B, NATL-RE | (c) | 10/01/25 | 134,522 | ||||
750,000 | KY St Econ Dev Fin Auth Owensboro Med Hlth Sys, Ser A | 6.00% | 06/01/30 | 784,785 | ||||
375,000 | KY St Econ Dev Fin Auth Ref Owensboro Hlth, Ser A | 5.00% | 06/01/19 | 375,784 | ||||
300,000 | KY St Muni Pwr Agy Pwr Sys Rev Ref, Ser A, NATL-RE | 5.00% | 09/01/22 | 328,494 | ||||
2,925,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser B (Mandatory put 01/01/25) | 4.00% | 01/01/49 | 3,198,634 | ||||
1,450,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A-1 (Mandatory put 06/01/25) | 4.00% | 12/01/49 | 1,582,776 | ||||
2,505,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlth Care Inc, Ser A | 5.00% | 10/01/30 | 2,909,257 | ||||
465,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlth Care Inc, Ser A | 5.00% | 10/01/31 | 536,949 | ||||
130,000 | Warren Cnty KY Hosp Rev Ref Bowling Green Warren Cnty Cmnty Hosp Corp | 5.00% | 04/01/23 | 141,951 | ||||
14,669,590 | ||||||||
Louisiana – 1.5% | ||||||||
1,000,000 | LA Pub Facs Auth Rev Ref Ochsner Clinic Fdtn Proj | 5.00% | 05/15/36 | 1,139,080 | ||||
250,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Ascension Psh Courthouse Proj | 5.00% | 11/01/31 | 297,218 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Louisiana (Continued) | ||||||||
$1,700,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Ref Hosp Womans Fdtn Proj, Ser A | 5.00% | 10/01/37 | $1,947,112 | ||||
470,000 | LA Stadium & Exposition Dist LA Ref Sr, Ser A | 5.00% | 07/01/30 | 522,245 | ||||
380,000 | LA Stadium & Exposition Dist LA Ref Sr, Ser A | 5.00% | 07/01/31 | 421,439 | ||||
200,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/31 | 231,730 | ||||
1,160,000 | New Orleans LA Aviation Brd, Ser B, AMT | 5.00% | 01/01/31 | 1,303,794 | ||||
1,050,000 | New Orleans LA Wtr Rev Ref | 5.00% | 12/01/28 | 1,189,492 | ||||
1,305,000 | New Orleans LA Wtr Rev Wtr Rev | 5.00% | 12/01/34 | 1,459,421 | ||||
1,575,000 | Shreveport LA Wtr & Swr Rev, Ser B, BAM | 5.00% | 12/01/30 | 1,786,144 | ||||
10,297,675 | ||||||||
Maryland – 2.5% | ||||||||
1,120,000 | Baltimore MD Rev Ref Sr, Ser B | 5.00% | 07/01/33 | 1,286,488 | ||||
1,000,000 | Baltimore MD Spl Oblig Ref E Baltimore Research Park Proj, Ser A | 5.00% | 09/01/38 | 1,071,670 | ||||
975,000 | Gaithersburg MD Econ Dev Rev Ref Proj Asbury MD Oblig Grp, Ser A | 4.50% | 01/01/25 | 1,068,610 | ||||
85,000 | Howard Cnty MD Retmnt Cmnty Rev Ref Vantage House Fac | 5.00% | 04/01/21 | 87,499 | ||||
500,000 | Howard Cnty MD Retmnt Cmnty Rev Ref Vantage House Fac | 5.00% | 04/01/26 | 528,335 | ||||
220,000 | MD St Econ Dev Corp Econ Dev Rev Transn Facs Proj, Ser A | 5.38% | 06/01/25 | 228,859 | ||||
600,000 | MD St Econ Dev Corp Student Hsg Rev Ref Sr Univ MD Proj | 4.00% | 07/01/24 | 633,786 | ||||
2,490,000 | MD St Econ Dev Corp Student Hsg Rev Ref Univ MD Clg Park Projs, AGM | 5.00% | 06/01/35 | 2,878,639 | ||||
500,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Adventist Hlth Care Obligated Grp, Ser A | 5.50% | 01/01/26 | 594,870 | ||||
800,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Anne Arundel Hlth System, Ser A | 5.00% | 07/01/30 | 947,400 | ||||
1,000,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Anne Arundel Hlth System, Ser A | 5.00% | 07/01/32 | 1,172,200 | ||||
790,000 | MD St Ref, Ser B | 5.00% | 08/01/24 | 922,562 | ||||
2,650,000 | MD St St & Loc Facs Loan of 2013-1st, Ser A | 5.00% | 03/01/23 | 2,814,326 | ||||
1,500,000 | Prince Georges Cnty MD Rev Ref Collington Episcopal Life Care Cmnty Inc | 5.00% | 04/01/25 | 1,614,225 | ||||
365,000 | Rockville MD Mayor & Council Econ Dev Rev Ref Ingelside at King Farm Proj, Ser A-1 | 5.00% | 11/01/27 | 408,063 | ||||
250,000 | Rockville MD Mayor & Council Econ Dev Rev Ref Ingelside at King Farm Proj, Ser A-2 | 3.38% | 11/01/27 | 252,305 | ||||
375,000 | Rockville MD Mayor & Council Econ Dev Rev Ref Ingelside at King Farm Proj, Ser A-2 | 5.00% | 11/01/28 | 417,015 | ||||
16,926,852 | ||||||||
Massachusetts – 0.9% | ||||||||
250,000 | MA St Dev Fin Agy Rev Linden Ponds Inc Fac (a) | 5.00% | 11/15/28 | 271,707 | ||||
325,000 | MA St Dev Fin Agy Rev Merrimack Clg | 5.00% | 07/01/37 | 357,802 | ||||
500,000 | MA St Dev Fin Agy Rev Ref Newbridge Charles Inc (a) | 5.00% | 10/01/37 | 538,370 | ||||
700,000 | MA St Dev Fin Agy Rev Umass Boston Student Hsg Proj | 5.00% | 10/01/24 | 789,971 | ||||
3,425,000 | MA St, Ser A | 5.00% | 03/01/41 | 3,844,597 | ||||
5,802,447 | ||||||||
Michigan – 2.9% | ||||||||
240,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/32 | 262,786 | ||||
500,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/33 | 546,135 | ||||
735,000 | Grand Traverse Cnty MI Hosp Fin Auth Munson Hlth Care Obligated Grp, Ser A | 5.00% | 07/01/44 | 830,785 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Michigan (Continued) | ||||||||
$4,500,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Ref Second Lien, Ser D | 5.00% | 07/01/36 | $5,159,565 | ||||
1,125,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Ref Sr Lien, Ser C | 5.00% | 07/01/28 | 1,343,880 | ||||
1,000,000 | Marquette MI Brd of Light & Pwr Elec Utility Sys Rev Ref, Ser A | 5.00% | 07/01/29 | 1,169,500 | ||||
890,000 | MI St Fin Auth Ltd Oblig Rev Ref College for Creative Studies Proj | 5.00% | 12/01/25 | 977,291 | ||||
325,000 | MI St Fin Auth Rev Loc Govt Loan Program Great Lakes Wtr Auth Ref, Ser C | 5.00% | 07/01/27 | 378,495 | ||||
1,000,000 | MI St Fin Auth Rev Ref Loc Govt Loan Program Great Lakes Wtr Auth, Ser D-1 | 5.00% | 07/01/34 | 1,145,140 | ||||
500,000 | MI St Fin Auth Rev Ref Loc Govt Loan Program, Ser F1 | 3.80% | 10/01/22 | 517,385 | ||||
125,000 | MI St Fin Auth Rev Ref Loc Govt Loan Program, Ser F1 | 3.88% | 10/01/23 | 130,783 | ||||
1,000,000 | MI St Univ Rev Brd of Trustees, Ser B | 5.00% | 02/15/34 | 1,211,690 | ||||
650,000 | Midland MI Pub Schs Sch Bldg & Site, Ser II | 5.00% | 05/01/35 | 782,548 | ||||
1,990,000 | Utica MI Cmnty Schs Ref Sch Bldg & Site | 5.00% | 05/01/31 | 2,312,678 | ||||
2,800,000 | Wayne Cnty MI Arpt Auth Rev Ref, Ser F, AMT | 5.00% | 12/01/25 | 3,283,756 | ||||
20,052,417 | ||||||||
Minnesota – 1.5% | ||||||||
175,000 | Baytown Twp MN Lease Ref, Ser A | 3.00% | 08/01/22 | 174,727 | ||||
370,000 | Duluth MN Indep Sch Dist #709 Ref, Ser B, COPS | 5.00% | 02/01/27 | 434,188 | ||||
480,000 | Hugo MN Chtr Sch Lease Rev Noble Academy Proj, Ser A | 4.00% | 07/01/22 | 493,627 | ||||
400,000 | Minneapolis MN Mf Rev Riverside Home Proj, Ser B (Mandatory put 05/01/20) | 3.75% | 11/01/21 | 400,664 | ||||
1,000,000 | North Oaks MN Sr Hsg Rev Ref Waverly Gardens Proj | 5.00% | 10/01/28 | 1,101,950 | ||||
1,000,000 | Rochester MN Hlth Care & Hsg Rev Ref Samaritan Bethany Inc Proj, Ser A | 5.00% | 08/01/37 | 1,044,610 | ||||
580,000 | Saint Paul MN Hsg & Redev Auth Hlth Care Fac Rev Ref HealthPartners Oblig Grp, Ser A | 5.00% | 07/01/30 | 665,399 | ||||
500,000 | Saint Paul MN Hsg & Redev Auth Hlth Care Fac Rev Ref HealthPartners Oblig Grp, Ser A | 5.00% | 07/01/32 | 565,970 | ||||
3,420,000 | Saint Paul MN Hsg & Redev Auth Hlth Care Fac Rev Ref HealthPartners Oblig Grp, Ser A | 5.00% | 07/01/33 | 3,852,562 | ||||
700,000 | Saint Paul MN Hsg & Redev Auth Mf Hsg Rev Pioneer Press Apts Proj, Ser B (Mandatory put 11/01/20) (a) | 3.38% | 05/01/21 | 698,838 | ||||
500,000 | Saint Paul Park MN Sr Hsg & Hlth Care Rev Ref Presbyterian Homes Bloomington Proj | 3.00% | 09/01/24 | 507,390 | ||||
400,000 | Saint Paul Park MN Sr Hsg & Hlth Care Rev Ref Presbyterian Homes Bloomington Proj | 3.13% | 09/01/25 | 407,580 | ||||
10,347,505 | ||||||||
Mississippi – 0.7% | ||||||||
600,000 | MS St Gaming Tax Rev, Ser A | 5.00% | 10/15/31 | 720,204 | ||||
2,000,000 | MS St, Ser A | 5.00% | 11/01/33 | 2,370,060 | ||||
500,000 | West Rankin MS Utility Auth Rev, AGM | 5.00% | 01/01/32 | 573,385 | ||||
1,215,000 | West Rankin MS Utility Auth Rev, AGM | 5.00% | 01/01/33 | 1,390,166 | ||||
5,053,815 | ||||||||
Missouri – 1.0% | ||||||||
220,000 | Jackson Cnty MO Spl Oblig Ref Truman Sports Complex Proj | 5.00% | 12/01/22 | 244,079 | ||||
700,000 | Jackson Cnty MO Spl Oblig Ref Truman Sports Complex Proj | 5.00% | 12/01/31 | 799,918 | ||||
1,670,000 | Joplin MO Indl Dev Auth Hlth Facs Rev Ref Freeman Hlth System | 5.00% | 02/15/26 | 1,880,036 | ||||
1,000,000 | Kansas City MO Land Clearance Redev Auth Proj Rev Convention Ctr Hotel Proj Tif Fing, Ser B (a) | 5.00% | 02/01/40 | 1,053,500 | ||||
200,000 | MO St Dev Fin Brd Infrastructure Facs Rev Ref Independence MO Centerpoint Proj, Ser B | 5.00% | 04/01/28 | 229,868 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Missouri (Continued) | ||||||||
$200,000 | MO St Hlth & Eductnl Facs Auth Eductnl Facs Rev St Louis Clg Pharmacy, Ser B | 5.00% | 05/01/30 | $216,386 | ||||
160,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs | 5.00% | 02/01/23 | 173,326 | ||||
500,000 | MO St Hlth & Eductnl Facs Auth Sr Living Facs Lutheran Sr | 5.38% | 02/01/35 | 508,495 | ||||
250,000 | Saint Charles Cnty MO Pub Wtr Sply Dist #2 Ref, COPS | 5.00% | 12/01/28 | 295,208 | ||||
1,040,000 | Saint Louis MO Muni Fin Corp Sales Tax Leasehold Rev Ref | 5.00% | 02/15/28 | 1,209,156 | ||||
6,609,972 | ||||||||
Montana – 0.1% | ||||||||
740,000 | MT St Fac Fin Auth Rev Ref | 5.00% | 02/15/25 | 859,266 | ||||
130,000 | MT St Fac Fin Auth Rev Ref | 5.00% | 02/15/29 | 153,097 | ||||
1,012,363 | ||||||||
Nebraska – 0.5% | ||||||||
1,745,000 | Central Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/27 | 1,888,753 | ||||
545,000 | Madison Cnty NE Hosp Auth #1 Ref Faith Regl Hlth Svcs Proj | 5.00% | 07/01/28 | 631,770 | ||||
500,000 | NE St Pub Pwr Dist Rev Gen, Ser C | 5.00% | 01/01/35 | 578,350 | ||||
3,098,873 | ||||||||
Nevada – 0.5% | ||||||||
1,060,000 | Clark Cnty NV Impt Dist Ref Spl Loc Impt #151 | 4.50% | 08/01/23 | 1,111,261 | ||||
440,000 | Las Vegas NV Spl Impt Dist #808 & #810 Ref | 5.00% | 06/01/22 | 464,240 | ||||
335,000 | NV Dept of Business & Industry NV Doral Academy, Ser A (a) | 5.00% | 07/15/27 | 365,907 | ||||
300,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/29 | 355,251 | ||||
450,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/30 | 528,093 | ||||
275,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/31 | 320,262 | ||||
3,145,014 | ||||||||
New Jersey – 1.6% | ||||||||
450,000 | NJ St Econ Dev Auth Mtr Vehcl Surcharge Rev Ref Sub, Ser A, BAM | 5.00% | 07/01/28 | 525,938 | ||||
500,000 | NJ St Econ Dev Auth Ref, Ser A, BAM | 5.00% | 06/15/23 | 553,470 | ||||
490,000 | NJ St Econ Dev Auth Spl Fac Rev Ref Port Newark Container Terminal LLC Proj, AMT | 5.00% | 10/01/25 | 554,023 | ||||
1,000,000 | NJ St Hlth Care Facs Fing Auth Rev Ref Hackensack Meridian Hlth, Ser A | 5.00% | 07/01/24 | 1,161,070 | ||||
100,000 | NJ St Transit Corp, Ser A, GANS | 5.00% | 09/15/21 | 106,843 | ||||
90,000 | NJ St Transprtn Trust Fund Auth Cap Apprec Transn Sys, Ser C, AMBAC | (c) | 12/15/25 | 73,852 | ||||
165,000 | NJ St Transprtn Trust Fund Auth Fed Hwy Reimbursement Nts, Ser A-1 | 5.00% | 06/15/28 | 190,229 | ||||
3,020,000 | NJ St Transprtn Trust Fund Auth Ref Transptrn Sys, Ser A | 5.00% | 12/15/26 | 3,474,661 | ||||
500,000 | NJ St Transprtn Trust Fund Auth Ref Transptrn Sys, Ser A | 5.00% | 12/15/30 | 573,965 | ||||
1,400,000 | NJ St Transprtn Trust Fund Auth Transn Sys, Ser D | 5.25% | 12/15/23 | 1,588,510 | ||||
400,000 | NJ St Transprtn Trust Fund Auth Transprtn Program, Ser AA | 4.00% | 06/15/27 | 412,864 | ||||
1,000,000 | Tobacco Settlement Fing Corp NJ Ref, Ser A | 5.00% | 06/01/26 | 1,170,490 | ||||
500,000 | Tobacco Settlement Fing Corp NJ Ref, Ser A | 5.00% | 06/01/27 | 593,110 | ||||
10,979,025 | ||||||||
New Mexico – 0.3% | ||||||||
600,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref Rev | 4.00% | 10/01/23 | 604,992 | ||||
230,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref Rev | 4.20% | 10/01/24 | 233,443 | ||||
240,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref Rev | 4.30% | 10/01/25 | 244,166 | ||||
250,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref Rev | 4.45% | 10/01/26 | 255,058 | ||||
260,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref Rev | 4.55% | 10/01/27 | 265,829 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New Mexico (Continued) | ||||||||
$365,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref Rev | 5.00% | 10/01/33 | $383,918 | ||||
1,987,406 | ||||||||
New York – 5.6% | ||||||||
100,000 | Buffalo & Erie Cnty NY Indl Land Dev Corp Rev Ref Orchard Park | 5.00% | 11/15/22 | 107,671 | ||||
115,000 | Buffalo & Erie Cnty NY Indl Land Dev Corp Rev Ref Orchard Park | 5.00% | 11/15/24 | 127,392 | ||||
3,400,000 | Build NYC Resource Corp NY Sol Wst Disp Rev Ref Pratt Paper Inc Proj, AMT (a) | 5.00% | 01/01/35 | 3,671,116 | ||||
1,975,000 | Met Transprtn Auth NY Rev Ref Transptrn, Subser C-1 | 5.00% | 11/15/34 | 2,268,090 | ||||
840,000 | Monroe Cnty NY Indl Dev Corp Rev Ref Nazareth College of Rochester Proj, Ser A | 5.00% | 10/01/23 | 935,626 | ||||
4,220,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref 2nd Gen Resolution, Subser CC-1 | 4.00% | 06/15/33 | 4,652,845 | ||||
1,000,000 | New York City NY Transitional Fin Auth Rev Future Tax Secured Sub Fiscal 2016, Ser A-1 | 5.00% | 08/01/37 | 1,155,410 | ||||
1,500,000 | New York City NY Transitional Fin Auth Rev Future Tax Sub, Subser E-1 | 5.00% | 02/01/37 | 1,736,310 | ||||
1,350,000 | New York City NY Transitional Fin Auth Rev Sub Future Tax Secured Fiscal 1999, Ser A Subser E-1 | 5.00% | 02/01/36 | 1,593,257 | ||||
2,000,000 | New York City NY Transitional Fin Auth Rev Sub Future Tax Secured Fiscal 1999, Ser A Subser E-1 | 5.00% | 02/01/40 | 2,331,820 | ||||
5,000,000 | New York City NY Transitional Fin Auth Rev Var Future Tax Secured, Subser G-5 (d) | 2.30% | 05/01/34 | 5,000,000 | ||||
4,160,000 | New York NY Var, Ser E Subser E-2 (d) | 2.31% | 08/01/34 | 4,160,000 | ||||
300,000 | NY St Dorm Auth Revs Non St Supported Debt Ref Orange Regl Med Ctr (a) | 5.00% | 12/01/25 | 347,841 | ||||
195,000 | NY St Dorm Auth Revs Non St Supported Debt Unrefunded Pace Univ, Ser A | 4.00% | 05/01/22 | 205,070 | ||||
85,000 | NY St Dorm Auth Revs Non St Supported Debt Unrefunded Pace Univ, Ser A | 5.00% | 05/01/23 | 93,683 | ||||
2,850,000 | NY St Dorm Auth St Personal Income Tax Rev Ref, Ser E | 5.00% | 03/15/34 | 3,317,001 | ||||
400,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref American Airls Inc John F Kennedy Intl Arpt Proj, AMT | 5.00% | 08/01/19 | 402,576 | ||||
500,000 | Port Auth of New York & New Jersey NY Consol One Hundred Eighty Fifth Ref, AMT | 5.00% | 09/01/23 | 565,425 | ||||
465,000 | Port Auth of New York & New Jersey NY Ref Consol, Ser 186, AMT | 5.00% | 10/15/35 | 524,650 | ||||
15,000 | Suffolk Cnty NY Econ Dev Corp Rev Prerefunded Catholic Hlth Svcs Long Island Oblig Grp Proj | 5.00% | 07/01/28 | 16,090 | ||||
85,000 | Suffolk Cnty NY Econ Dev Corp Rev Unrefunded Catholic Hlth Svcs Long Island Oblig Grp Proj | 5.00% | 07/01/28 | 90,700 | ||||
5,000,000 | Triborough Bridge & Tunnel Auth Rev Var Gen, Ser B-1 (d) | 2.31% | 01/01/33 | 5,000,000 | ||||
38,302,573 | ||||||||
North Carolina – 2.1% | ||||||||
1,775,000 | Charlotte NC Wtr & Swr Sys Rev Ref | 5.00% | 07/01/22 | 1,961,961 | ||||
5,000,000 | Charlotte NC Wtr & Swr Sys Rev Ref | 4.00% | 07/01/36 | 5,401,300 | ||||
575,000 | Charlotte-Mecklenburg NC Hosp Auth Hlth Care Sys Rev Ref Carolinas Hlth Care Sys, Ser A | 5.00% | 01/15/34 | 660,566 | ||||
750,000 | Greenville NC Comb Enterprise Sys Rev Ref | 5.00% | 04/01/28 | 900,735 | ||||
1,330,000 | Monroe NC Comb Enterprise Sys Rev Ref | 5.00% | 03/01/28 | 1,574,108 | ||||
900,000 | NC St Capital Facs Fin Agy Student Rev Ref Hsg NC A&T Univ Fdtn Proj, Ser A, AGC | 5.00% | 06/01/26 | 1,037,619 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
North Carolina (Continued) | ||||||||
$630,000 | NC St Med Care Commission Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A | 5.00% | 10/01/29 | $699,048 | ||||
750,000 | NC St Med Care Commission Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A | 5.00% | 10/01/37 | 816,240 | ||||
500,000 | NC St Med Care Commission Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A | 5.00% | 10/01/47 | 539,575 | ||||
430,000 | Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/36 | 498,886 | ||||
14,090,038 | ||||||||
North Dakota – 0.2% | ||||||||
225,000 | Burleigh Cnty ND Hlth Care Rev St Alexius Med Ctr Proj, Ser A | 5.00% | 07/01/22 | 240,705 | ||||
1,300,000 | Grand Forks ND Sr Hsg & Nur Fac Rev Ref Vly Homes Oblig Grp, Ser A | 5.00% | 12/01/23 | 1,382,394 | ||||
1,623,099 | ||||||||
Ohio – 3.3% | ||||||||
135,000 | Butler Cnty OH Hosp Facs Ref Uc Hlth | 5.00% | 11/15/30 | 159,277 | ||||
1,500,000 | Butler Cnty OH Hosp Facs Ref Uc Hlth | 5.00% | 11/15/31 | 1,758,885 | ||||
1,000,000 | Butler Cnty OH Hosp Facs Ref Uc Hlth | 5.00% | 11/15/32 | 1,167,080 | ||||
1,000,000 | Chillicothe OH City Sch Dist Ref, AGM | 4.00% | 12/01/31 | 1,078,060 | ||||
500,000 | Cleveland OH Pub Pwr Sys Rev Ref, Ser A, AGM | 5.00% | 11/15/24 | 578,350 | ||||
600,000 | Cleveland-Cuyahoga Cnty OH Port Auth Cultural Fac Rev Ref Playhouse Sq Fdtn Proj | 5.00% | 12/01/28 | 661,152 | ||||
700,000 | Cleveland-Cuyahoga Cnty OH Port Auth Cultural Fac Rev Ref Playhouse Sq Fdtn Proj | 5.50% | 12/01/43 | 791,791 | ||||
1,255,000 | Columbus OH Swr Rev Ref Sys | 5.00% | 06/01/26 | 1,471,814 | ||||
700,000 | Hamilton Cnty OH Hlth Care Facs Rev Christ Hosp Proj | 5.25% | 06/01/27 | 764,057 | ||||
960,000 | Miami Cnty OH Hosp Facs Rev Ref & Impt Kettering Hlth Network Oblig Grp | 5.00% | 08/01/32 | 1,139,203 | ||||
1,000,000 | Miami Cnty OH Hosp Facs Rev Ref & Impt Kettering Hlth Network Oblig Grp | 5.00% | 08/01/33 | 1,180,970 | ||||
3,000,000 | Miami Cnty OH Hosp Facs Rev Ref & Impt Kettering Hlth Network Oblig Grp | 5.00% | 08/01/36 | 3,495,270 | ||||
575,000 | Miamisburg OH City Sch Dist Ref | 5.00% | 12/01/35 | 662,613 | ||||
1,000,000 | OH St Hgr Edu, Ser A | 5.00% | 05/01/33 | 1,157,940 | ||||
2,000,000 | OH St Spl Oblig, Ser A-2 | 5.00% | 04/01/30 | 2,322,240 | ||||
1,000,000 | OH St Wtr Dev Auth Rev Wtr Dev Fresh Wtr, Ser A | 5.00% | 12/01/21 | 1,086,180 | ||||
2,500,000 | OH St, Ser T | 5.00% | 05/01/32 | 3,018,150 | ||||
22,493,032 | ||||||||
Oklahoma – 1.0% | ||||||||
900,000 | Catoosa OK Indl Auth Sales Tax Rev | 4.50% | 10/01/32 | 909,585 | ||||
750,000 | OK St Dev Fin Auth Hlth Sys Rev OU Medicine Proj, Ser B | 5.25% | 08/15/48 | 851,670 | ||||
1,000,000 | Oklahoma Cnty OK Fin Auth Eductnl Facs Lease Rev Midwest City De City Pub Schs Proj | 5.00% | 10/01/25 | 1,177,580 | ||||
1,000,000 | Oklahoma Cnty OK Fin Auth Eductnl Facs Lease Rev Midwest City De City Pub Schs Proj | 5.00% | 10/01/26 | 1,198,940 | ||||
1,000,000 | Tulsa Cnty OK Indl Auth Sr Living Cmnty Rev Ref Montereau Inc Proj | 5.00% | 11/15/25 | 1,141,460 | ||||
250,000 | Tulsa Cnty OK Indl Auth Sr Living Cmnty Rev Ref Montereau Inc Proj | 5.00% | 11/15/26 | 288,110 | ||||
100,000 | Tulsa OK Arpts Impt Trust Ref, Ser D, BAM | 5.00% | 06/01/28 | 103,351 | ||||
1,000,000 | Weatherford OK Indl Trust Eductnl Facs Lease Rev Weatherford Pub Schs Proj | 5.00% | 03/01/31 | 1,192,740 | ||||
6,863,436 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Oregon – 3.5% | ||||||||
$170,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Sr Living Willamette View Proj, Ser A | 4.00% | 05/15/26 | $181,154 | ||||
250,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Sr Living Willamette View Proj, Ser A | 5.00% | 11/15/32 | 280,570 | ||||
145,000 | Multnomah Cnty OR Hosp Facs Auth Rev Ref Terwilliger Plaza | 5.00% | 12/01/20 | 149,267 | ||||
4,000,000 | OR St Dept of Admin Svcs Lottery Rev, Ser A | 5.00% | 04/01/34 | 4,784,320 | ||||
2,035,000 | OR St Dept of Admin Svcs Lottery Rev, Ser A | 5.00% | 04/01/35 | 2,427,633 | ||||
2,000,000 | OR St Dept of Transprtn Highway User Tax Rev Ref Sr Lien, Ser C | 5.00% | 11/15/21 | 2,169,480 | ||||
2,500,000 | OR St Dept of Transprtn Highway User Tax Rev Ref, Ser A | 5.00% | 11/15/22 | 2,790,400 | ||||
1,100,000 | OR St Facs Auth Rev Ref Univ Portland, Ser A | 5.00% | 04/01/32 | 1,257,685 | ||||
2,500,000 | Portland OR Swr Sys Rev 2nd Lien, Ser A | 4.50% | 05/01/31 | 2,861,775 | ||||
4,925,000 | Tri-Cnty OR Met Transprtn Dist, Ser A | 5.00% | 10/01/31 | 5,897,146 | ||||
700,000 | Yamhill Cnty OR Hosp Auth Ref Friendsview Retmnt Cmnty, Ser A | 5.00% | 11/15/31 | 765,086 | ||||
23,564,516 | ||||||||
Pennsylvania – 6.3% | ||||||||
500,000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network Obligated Grp Issue, Ser A | 5.00% | 04/01/26 | 585,490 | ||||
1,500,000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network Obligated Grp Issue, Ser A | 5.00% | 04/01/32 | 1,760,055 | ||||
460,000 | Berks Cnty PA Indl Dev Auth Hlth Care Facs Rev Ref Highlands at Wyomissing, Ser-A | 5.00% | 05/15/32 | 516,686 | ||||
395,000 | Bucks Cnty PA Indl Dev Auth Ref Pennswood Vlg Proj, Ser A | 5.00% | 10/01/32 | 440,231 | ||||
415,000 | Bucks Cnty PA Indl Dev Auth Ref Pennswood Vlg Proj, Ser A | 5.00% | 10/01/33 | 461,555 | ||||
1,000,000 | Bucks Cnty PA Indl Dev Auth Ref Pennswood Vlg Proj, Ser A | 5.00% | 10/01/37 | 1,104,030 | ||||
765,000 | Chester Cnty PA Indl Dev Auth Renaissance Academy Chrt Sch | 5.00% | 10/01/34 | 823,859 | ||||
1,000,000 | Cmwlth Fing Auth PA Tobacco Master Settlement Payment Rev Tobacco Master Settlement Payment Bonds | 5.00% | 06/01/25 | 1,166,500 | ||||
410,000 | Cmwlth Fing Auth PA Tobacco Master Settlement Payment Rev Tobacco Master Settlement Payment Bonds | 5.00% | 06/01/26 | 486,715 | ||||
500,000 | Colonial PA Sch Dist | 5.00% | 02/15/36 | 577,260 | ||||
300,000 | Colonial PA Sch Dist, Ser A | 5.00% | 02/15/34 | 350,043 | ||||
300,000 | Cumberland Cnty PA Muni Auth Ref Diakon Lutheran Ministries Proj | 5.00% | 01/01/30 | 330,108 | ||||
700,000 | Cumberland Cnty PA Muni Auth Ref Diakon Lutheran Ministries Proj | 5.00% | 01/01/38 | 753,172 | ||||
1,150,000 | Cumberland Cnty PA Muni Auth Ref Diakon Lutheran Social Ministries | 5.00% | 01/01/25 | 1,284,205 | ||||
1,000,000 | Cumberland Cnty PA Muni Auth Ref Diakon Lutheran Social Ministries | 5.00% | 01/01/33 | 1,102,020 | ||||
1,660,000 | Cumberland Cnty PA Muni Auth Ref Messiah Vlg Proj | 5.00% | 07/01/28 | 1,814,978 | ||||
1,340,000 | Delaware Cnty PA Auth Ref Elwyn Proj | 5.00% | 06/01/27 | 1,478,610 | ||||
1,165,000 | Dover PA Area Sch Dist, BAM | 4.00% | 04/01/32 | 1,275,768 | ||||
770,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/29 | 878,685 | ||||
500,000 | Middletown PA Sch Dist, Ser A | 5.00% | 03/01/28 | 546,415 | ||||
1,000,000 | Montgomery Cnty PA Hgr Edu & Hlth Auth Ref Philadelphia Presbytery Homes Inc Proj | 5.00% | 12/01/32 | 1,088,430 | ||||
980,000 | Montgomery Cnty PA Indl Dev Auth Acts Retmnt Life Cmntys Ref | 5.00% | 11/15/25 | 1,059,351 | ||||
50,000 | Montgomery Cnty PA Indl Dev Auth Acts Retmnt Life Cmntys Ref | 5.00% | 11/15/29 | 53,581 | ||||
2,850,000 | Montgomery Cnty PA Indl Dev Auth Ref Acts Retmnt Life Cmntys Inc Oblig Grp | 5.00% | 11/15/36 | 3,198,897 | ||||
480,000 | Montgomery Cnty PA Indl Dev Auth Ref Meadowood Sr Living Proj, Ser A | 5.00% | 12/01/26 | 535,349 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$140,000 | Northampton Cnty PA Gen Purpose Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/25 | $161,582 | ||||
225,000 | Northampton Cnty PA Gen Purpose Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/26 | 261,043 | ||||
340,000 | Northampton Cnty PA Gen Purpose Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/31 | 382,867 | ||||
1,800,000 | Northampton Cnty PA Gen Purpose Auth Hosp Rev Ref St Luke’s Univ Hlth Network Proj, Ser A | 5.00% | 08/15/28 | 2,111,814 | ||||
1,000,000 | PA St Hgr Eductnl Facs Auth Rev Ref Drexel Univ | 5.00% | 05/01/25 | 1,164,540 | ||||
1,105,000 | PA St Hgr Eductnl Facs Auth Rev Ref Drexel Univ | 5.00% | 05/01/34 | 1,261,391 | ||||
1,000,000 | PA St Turnpike Commission Turnpike Rev Ref | 5.00% | 12/01/33 | 1,133,740 | ||||
550,000 | PA St Turnpike Commission Turnpike Rev Subordinate, Ser A-1 | 5.00% | 12/01/30 | 630,168 | ||||
290,000 | Philadelphia PA Gas Wks Rev Ref | 5.00% | 08/01/25 | 339,230 | ||||
1,625,000 | Philadelphia PA Gas Wks Rev Ref | 5.00% | 08/01/29 | 1,872,065 | ||||
1,000,000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, 14th Ser | 5.00% | 10/01/29 | 1,173,930 | ||||
2,000,000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, 14th Ser | 5.00% | 10/01/34 | 2,304,560 | ||||
2,500,000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, 15th Ser | 5.00% | 08/01/42 | 2,864,725 | ||||
750,000 | Philadelphia PA Ref, Ser A | 5.25% | 07/15/28 | 848,152 | ||||
405,000 | Southcentrl PA General Auth Rev Ref Hanover Hosp Inc | 5.00% | 12/01/23 | 457,938 | ||||
1,970,000 | Westmoreland Cnty PA Muni Auth Ref, BAM | 5.00% | 08/15/42 | 2,238,747 | ||||
42,878,485 | ||||||||
Puerto Rico – 0.0% | ||||||||
105,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (c) | 07/01/31 | 62,726 | ||||
Rhode Island – 0.5% | ||||||||
1,125,000 | RI St Hlth & Eductnl Bldg Corp Rev Ref Hosp Fing Lifespan Oblig Grp | 5.00% | 05/15/29 | 1,295,437 | ||||
1,460,000 | RI St Hlth & Eductnl Bldg Corp Rev Ref Hosp Fing Lifespan Oblig Grp | 5.00% | 05/15/32 | 1,652,326 | ||||
480,000 | Tobacco Settlement Fing Corp RI Ref, Ser A | 5.00% | 06/01/24 | 531,595 | ||||
3,479,358 | ||||||||
South Carolina – 0.5% | ||||||||
1,000,000 | Greenville SC Hosp Sys Brd Hosp Facs Rev, Ser B | 5.00% | 05/01/30 | 1,126,710 | ||||
150,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 3.13% | 12/01/22 | 150,579 | ||||
1,000,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 5.00% | 12/01/31 | 1,036,360 | ||||
745,000 | Piedmont SC Muni Pwr Agy Elec Rev Ref, Ser A-3 | 5.00% | 01/01/23 | 781,177 | ||||
30,000 | SC St Jobs Econ Dev Auth Hosp Rev Ref Palmetto Hlth, Ser A | 5.00% | 08/01/23 | 34,079 | ||||
150,000 | SC St Jobs Econ Dev Auth Hosp Rev Ref Palmetto Hlth, Ser A, AGM | 5.50% | 08/01/24 | 162,858 | ||||
3,291,763 | ||||||||
South Dakota – 0.2% | ||||||||
1,000,000 | SD St Hlth & Eductnl Facs Auth Sanford Oblig Grp, Ser B | 5.00% | 11/01/34 | 1,126,300 | ||||
Tennessee – 1.6% | ||||||||
325,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Student Hsg CDFI Phase I | 5.00% | 10/01/23 | 362,141 | ||||
120,000 | Jackson TN Hosp Rev Ref West Tennessee Hlth Care, Ser A | 5.00% | 04/01/25 | 138,562 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Tennessee (Continued) | ||||||||
$300,000 | Jackson TN Hosp Rev Ref West Tennessee Hlth Care, Ser A | 5.00% | 04/01/26 | $351,924 | ||||
600,000 | Memphis Shelby Cnty TN Arpt Auth Arpt Rev Ref, Ser B, AMT | 5.75% | 07/01/23 | 628,344 | ||||
865,000 | Met Govt Nashville & Davidson Cnty TN Elec Rev Sys, Ser A | 5.00% | 05/15/35 | 1,033,191 | ||||
1,215,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Lipscomb Univ Proj, Ser A | 5.00% | 10/01/28 | 1,415,366 | ||||
1,385,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Lipscomb Univ Proj, Ser A | 5.00% | 10/01/29 | 1,604,509 | ||||
375,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Lipscomb Univ Proj, Ser A | 5.00% | 10/01/37 | 436,920 | ||||
3,355,000 | TN St Energy Acquisition Corp Gas Rev Proj, Ser A (Mandatory put 05/01/23) | 4.00% | 05/01/48 | 3,557,004 | ||||
50,000 | TN St Energy Acquisition Corp Gas Rev, Ser A | 5.25% | 09/01/22 | 54,474 | ||||
960,000 | TN St Energy Acquisition Corp Gas Rev, Ser A | 5.25% | 09/01/26 | 1,124,995 | ||||
10,707,430 | ||||||||
Texas – 9.8% | ||||||||
450,000 | Austin TX Arpt Sys Rev, AMT | 5.00% | 11/15/33 | 506,682 | ||||
3,550,000 | Austin TX Wtr & Wstwtr Sys Rev Ref | 5.00% | 11/15/30 | 4,050,017 | ||||
455,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fdtn Proj | 5.00% | 07/15/25 | 514,227 | ||||
435,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fdtn Proj | 5.00% | 07/15/27 | 497,949 | ||||
600,000 | Brd of Managers TX Joint Guadalupe Cnty City of Seguin Hosp Mtg Ref | 5.00% | 12/01/24 | 651,678 | ||||
600,000 | Centrl TX Regl Mobility Auth Rev Ref Sub Lien | 5.00% | 01/01/33 | 652,134 | ||||
850,000 | Centrl TX Regl Mobility Auth Rev Sr Lien, Ser A | 5.00% | 01/01/29 | 979,804 | ||||
500,000 | Clifton TX Hgr Edu Fin Corp Edu Rev Idea Pub Schs | 5.00% | 08/15/32 | 532,890 | ||||
1,390,000 | Clifton TX Hgr Edu Fin Corp Edu Rev, Ser A | 4.00% | 12/01/25 | 1,454,357 | ||||
725,000 | Deer Park TX Indep Sch Dist Sch Bldg | 5.00% | 08/15/33 | 854,021 | ||||
600,000 | Deer Park TX Indep Sch Dist Sch Bldg | 5.00% | 08/15/34 | 704,874 | ||||
1,000,000 | Deer Park TX Indep Sch Dist Sch Bldg | 5.00% | 08/15/35 | 1,172,570 | ||||
700,000 | Deer Park TX Indep Sch Dist Sch Bldg | 5.00% | 08/15/36 | 818,482 | ||||
555,000 | Flower Mound TX Spl Assmnt Rev River Walk Pub Impt Dist #1 | 6.13% | 09/01/28 | 567,238 | ||||
1,000,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Med Facs Rev Ref Baylor Clg of Med | 4.00% | 11/15/30 | 1,093,270 | ||||
1,100,000 | Harris Cnty TX Ref Sr Lien Toll Road, Ser B | 5.00% | 08/15/36 | 1,265,990 | ||||
2,600,000 | Harris Cnty TX Ref Sr Lien, Ser A | 5.00% | 08/15/36 | 3,036,280 | ||||
500,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal E Proj, AMT | 4.50% | 07/01/20 | 512,000 | ||||
100,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal E Proj, AMT | 4.75% | 07/01/24 | 108,372 | ||||
1,000,000 | Houston TX Arpt Sys Rev Ref, Ser B-2, AMT | 5.00% | 07/15/20 | 1,028,020 | ||||
1,000,000 | Houston TX Hotel Occupancy Tax & Spl Rev Ref Convention & Entertainment Facs Dept | 5.00% | 09/01/32 | 1,206,140 | ||||
1,000,000 | Houston TX Utility Sys Rev Ref 1st Lien, Ser D | 5.00% | 11/15/29 | 1,185,170 | ||||
990,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch (a) | 4.35% | 08/15/25 | 1,015,681 | ||||
905,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch, Ser A (a) | 4.20% | 08/15/25 | 925,019 | ||||
1,290,000 | Leander TX Spl Assmnt Rev Crystal Springs Pub Impt Dist Proj Accd Inv (e) | 5.13% | 09/01/38 | 1,306,138 | ||||
500,000 | Liberty Hill TX Indep Sch Dist Ref | 5.00% | 08/01/30 | 595,195 | ||||
700,000 | Lower Colorado River TX Auth Transmission Contract Rev Ref LCRA Transmission Svcs Corp Proj | 5.00% | 05/15/33 | 818,244 | ||||
400,000 | Lower Colorado River TX Auth Transmission Contract Rev Ref LCRA Transmission Svcs Corp Proj | 5.00% | 05/15/37 | 469,032 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$610,000 | Lower Colorado River TX Auth Transmission Contract Rev Ref LCRA Transmission Svcs Corp Proj | 5.00% | 05/15/38 | $712,553 | ||||
1,000,000 | Lower Colorado River TX Auth Transmission Contract Rev Ref LCRA Transmission Svcs Corp Proj | 5.00% | 05/15/40 | 1,158,250 | ||||
370,000 | Mission TX Ctfs Oblig, AGM | 5.00% | 02/15/30 | 440,685 | ||||
1,105,000 | Montgomery TX Indep Sch Dist Ref Sch Bldg | 5.00% | 02/15/28 | 1,290,585 | ||||
2,250,000 | N TX Tollway Auth Rev Ref 2nd Tier, Ser B | 5.00% | 01/01/31 | 2,610,562 | ||||
1,500,000 | N TX Tollway Auth Rev Ref Sys Second Tier, Ser B | 5.00% | 01/01/31 | 1,681,305 | ||||
250,000 | N TX Tollway Auth Rev Ref, Ser A | 5.00% | 01/01/33 | 290,768 | ||||
1,415,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/31 | 1,484,660 | ||||
1,200,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/32 | 1,254,288 | ||||
835,000 | New Hope Cultural Edu Facs Fin Corp TX Student Hsg Rev Chf Collegiate Hsg Galveston I LLC TX A&M Univ Galveston | 5.00% | 04/01/22 | 873,635 | ||||
500,000 | New Hope Cultural Edu Facs Fin Corp TX Student Hsg Rev Chf TX A&M Univ Corpus Christi Island Campus Proj, Ser A | 5.00% | 04/01/29 | 527,365 | ||||
505,000 | Newark Hgr Edu Fin Corp TX Edu Rev Austin Achieve Pub Schs Inc, Ser A | 5.00% | 06/15/32 | 520,397 | ||||
495,000 | Red River TX Hlth Facs Dev Corp Retmnt Fac Rev MRC Crestview, Ser A | 7.75% | 11/15/31 | 569,022 | ||||
2,690,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Ref Baylor Scott & White Hlth Proj, Ser A | 5.00% | 11/15/45 | 3,047,474 | ||||
770,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Retmnt Fac Rev Ref Buckner Retmnt Svcs Inc Proj | 5.00% | 11/15/29 | 892,484 | ||||
525,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Retmnt Fac Rev Temps 50 Buckner Sr Living Ventana Proj, Ser B-3 | 3.88% | 11/15/22 | 525,131 | ||||
1,215,000 | TX St Muni Gas Acquisition & Sply Corp I Gas Sply Rev Sr Lien, Ser A | 5.25% | 12/15/26 | 1,458,304 | ||||
600,000 | TX St Muni Gas Acquisition & Sply Corp III Gas Sply Rev | 5.00% | 12/15/24 | 659,484 | ||||
2,850,000 | TX St Muni Gas Acquisition & Sply Corp III Gas Sply Rev | 5.00% | 12/15/30 | 3,092,877 | ||||
1,080,000 | TX St Muni Gas Acquisition & Sply Corp III Gas Sply Rev | 5.00% | 12/15/31 | 1,169,554 | ||||
525,000 | TX St Transprtn Commission Central TX Turnpike Sys Rev Ref, Ser B | 5.00% | 08/15/37 | 587,806 | ||||
785,000 | TX St Wtr Dev Brd St Wtr Implementation Fund, Ser A | 5.00% | 04/15/30 | 962,975 | ||||
3,250,000 | TX St Wtr Dev Brd St Wtr Implementation Rev Fund for TX | 4.00% | 10/15/32 | 3,609,157 | ||||
150,000 | Univ of Houston TX Univ Rev Ref, Ser A | 5.00% | 02/15/26 | 180,365 | ||||
3,250,000 | Univ of Houston TX Univ Rev Ref, Ser A | 5.00% | 02/15/31 | 3,808,252 | ||||
1,900,000 | Univ of Houston TX Univ Rev Ref, Ser A | 5.00% | 02/15/35 | 2,202,100 | ||||
1,560,000 | Uptown Dev Auth TX Incr Contract Rev, Ser A | 5.00% | 09/01/36 | 1,733,394 | ||||
500,000 | Viridian TX Muni Mgmt Dist Ref Utility Impt, BAM | 6.00% | 12/01/26 | 606,660 | ||||
155,000 | Viridian TX Muni Mgmt Dist Road Impt, BAM | 5.00% | 12/01/26 | 173,524 | ||||
125,000 | Viridian TX Muni Mgmt Dist Utility Impt, BAM | 5.00% | 12/01/26 | 139,939 | ||||
66,785,029 | ||||||||
Utah – 1.3% | ||||||||
1,180,000 | Grand Cnty Sch Dist Loc Bldg Auth UT, AGM | 5.00% | 12/15/27 | 1,390,441 | ||||
1,370,000 | Grand Cnty Sch Dist Loc Bldg Auth UT, AGM | 5.00% | 12/15/30 | 1,579,459 | ||||
1,400,000 | Grand Cnty Sch Dist Loc Bldg Auth UT, AGM | 5.00% | 12/15/31 | 1,607,242 | ||||
1,515,000 | Grand Cnty Sch Dist Loc Bldg Auth UT, AGM | 5.00% | 12/15/32 | 1,733,721 | ||||
400,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Quest Academy | 5.00% | 04/15/32 | 456,284 | ||||
325,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Quest Academy | 5.00% | 04/15/37 | 365,901 | ||||
500,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Spectrum Academy Proj (a) | 6.00% | 04/15/45 | 507,280 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Utah (Continued) | ||||||||
$1,145,000 | UT St Transit Auth Sales Tax Rev Ref Sub, Ser A | 5.00% | 06/15/35 | $1,301,865 | ||||
8,942,193 | ||||||||
Vermont – 0.7% | ||||||||
550,000 | Burlington VT Ref Lakeview Garage Proj, Ser A, COPS | 5.00% | 12/01/24 | 616,715 | ||||
745,000 | VT St Econ Dev Auth Mtge Rev Ref Wake Robin Corp Proj, Ser A | 5.00% | 05/01/25 | 807,073 | ||||
585,000 | VT St Econ Dev Auth Mtge Rev Ref Wake Robin Corp Proj, Ser A | 5.00% | 05/01/26 | 637,147 | ||||
2,500,000 | VT St Eductnl & Hlth Bldgs Fing Agy Rev Ref Univ of VT Med Ctr, Ser A | 5.00% | 12/01/33 | 2,899,200 | ||||
4,960,135 | ||||||||
Virginia – 2.0% | ||||||||
1,350,000 | Norfolk VA Redev & Hsg Auth Rev Ft Norfolk Retmnt Cmnty Harbors Edge Proj, Ser A | 4.00% | 01/01/29 | 1,399,099 | ||||
1,000,000 | Norfolk VA Redev & Hsg Auth Rev Ft Norfolk Retmnt Cmnty Harbors Edge Proj, Ser A | 5.25% | 01/01/54 | 1,059,140 | ||||
2,000,000 | VA St Pub Bldg Auth Pub Facs Rev, Ser C, AMT | 5.00% | 08/01/33 | 2,332,680 | ||||
1,000,000 | VA St Resources Auth Infrastructure Rev Ref Infrastructure VA Pooled Fing Program, Ser C | 4.00% | 11/01/33 | 1,102,030 | ||||
1,570,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/32 | 1,812,722 | ||||
1,000,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/33 | 1,150,570 | ||||
1,210,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/35 | 1,385,039 | ||||
275,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/36 | 313,989 | ||||
2,365,000 | Wstrn VA Regl Jail Auth Regl Jail Facs Rev Ref | 5.00% | 12/01/34 | 2,788,028 | ||||
13,343,297 | ||||||||
Washington – 2.6% | ||||||||
1,235,000 | Benton Cnty WA Pub Utility Dist #1 Ref | 4.00% | 11/01/36 | 1,335,529 | ||||
1,090,000 | Centrl Puget Sound WA Regl Transit Auth Green Bond, Ser S-1 | 5.00% | 11/01/36 | 1,284,271 | ||||
1,250,000 | Centrl Puget Sound WA Regl Transit Auth Sales & Use Tax Green Bond Ref & Impt, Ser S-1 | 5.00% | 11/01/35 | 1,455,675 | ||||
1,250,000 | Energy NW WA Elec Rev Ref Columbia Generating Sys, Ser A | 5.00% | 07/01/38 | 1,434,637 | ||||
1,500,000 | Energy NW WA Elec Rev Ref, Ser A | 5.00% | 07/01/24 | 1,744,830 | ||||
500,000 | Grays Harbor Cnty WA Pub Hosp Dist #1 Hosp Rev Pub Hosp Dt, BANS | 3.00% | 08/01/19 | 499,985 | ||||
575,000 | Kalispel Tribe of Indians Priority Dist WA Rev, Ser A (a) | 5.00% | 01/01/32 | 630,395 | ||||
155,000 | Mason Cnty WA Pub Utility Dist #1 Sys | 3.50% | 12/01/21 | 159,948 | ||||
270,000 | Skagit Cnty WA Pub Hosp Dist #1 Ref & Impt Skagit Regl Hlth | 4.00% | 12/01/24 | 292,475 | ||||
110,000 | Skagit Cnty WA Pub Hosp Dist #1 Ref & Impt, Ser A | 5.00% | 12/01/22 | 120,437 | ||||
165,000 | Skagit Cnty WA Pub Hosp Dist #1 Skagit Vly Hosp | 5.00% | 12/01/20 | 170,768 | ||||
500,000 | Snohomish Cnty WA Hsg Auth | 5.00% | 04/01/34 | 587,635 | ||||
250,000 | Tacoma WA Elec Sys Rev | 5.00% | 01/01/37 | 291,862 | ||||
35,000 | WA St Hsg Fin Commission Ref Emerald Heights Proj | 5.00% | 07/01/22 | 38,131 | ||||
50,000 | WA St Hsg Fin Commission Ref Emerald Heights Proj | 5.00% | 07/01/28 | 54,967 | ||||
2,500,000 | WA St Ref R-2015D | 5.00% | 07/01/32 | 2,872,100 | ||||
4,000,000 | WA St, Ser B | 5.00% | 02/01/36 | 4,568,120 | ||||
17,541,765 | ||||||||
Wisconsin – 3.5% | ||||||||
1,315,000 | Pub Fin Auth WI Chrt Sch Rev Limited American Prep Academy Las Vegas Proj, Ser A (a) | 4.20% | 07/15/27 | 1,363,260 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Wisconsin (Continued) | ||||||||
$1,250,000 | Pub Fin Auth WI Chrt Sch Rev Limited American Prep Academy Las Vegas Proj, Ser A (a) | 5.13% | 07/15/37 | $1,338,413 | ||||
1,945,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 4.00% | 07/01/27 | 2,040,188 | ||||
620,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/37 | 660,542 | ||||
425,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/34 | 483,969 | ||||
1,000,000 | Pub Fin Auth WI Exempt Facs Rev Ref Celanese Proj, Ser B, AMT | 5.00% | 12/01/25 | 1,132,640 | ||||
385,000 | Pub Fin Auth WI Retmnt Fac Rev Ref Whitestone Retmnt Facs 1st Mortgage Rev Bonds (a) | 4.00% | 03/01/27 | 398,872 | ||||
1,000,000 | Pub Fin Auth WI Retmnt Fac Rev Southminster (a) | 5.00% | 10/01/43 | 1,064,040 | ||||
1,455,000 | Pub Fin Auth WI Rev Ref Retmnt Hsg Fdtn Obligated Grp, Ser B | 5.00% | 11/15/26 | 1,650,261 | ||||
500,000 | Pub Fin Auth WI Rev Sr Maryland Proton Treatment Ctr, Ser A-1 (a) | 6.25% | 01/01/38 | 531,235 | ||||
500,000 | Pub Fin Auth WI Sr Living Rev Ref Mary’s Woods at Marylhurst Proj (a) | 3.50% | 11/15/23 | 500,085 | ||||
1,300,000 | WI St Gen Fund Annual Approp Rev Ref, Ser B | 5.00% | 05/01/34 | 1,523,678 | ||||
3,445,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Ascension Hlth Credit Grp, Ser A | 5.00% | 11/15/36 | 3,970,741 | ||||
500,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Marquette Univ | 5.00% | 10/01/28 | 549,495 | ||||
1,175,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Prohealth Care Oblig Grp | 5.00% | 08/15/31 | 1,321,476 | ||||
175,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Prohealth Care Oblig Grp | 5.00% | 08/15/33 | 195,069 | ||||
435,000 | WI St Hlth & Eductnl Facs Auth Rev St Johns Cmntys Inc Proj, Ser A | 5.00% | 09/15/30 | 463,205 | ||||
1,015,000 | WI St Hlth & Eductnl Facs Auth Rev St Johns Cmntys Inc Proj, Ser A | 5.00% | 09/15/31 | 1,076,570 | ||||
595,000 | WI St Hlth & Eductnl Facs Auth Rev St Johns Cmntys Inc Proj, Ser A | 5.00% | 09/15/32 | 629,361 | ||||
455,000 | WI St Hlth & Eductnl Facs Auth Rev St Johns Cmntys Inc Proj, Ser A | 5.00% | 09/15/33 | 479,770 | ||||
2,000,000 | WI St Ref, Ser 3 | 4.00% | 11/01/34 | 2,211,480 | ||||
23,584,350 | ||||||||
Wyoming – 0.0% | ||||||||
250,000 | Natrona Cnty WY Hosp Rev Ref WY Med Ctr Proj | 5.00% | 09/15/30 | 291,195 |
Total Investments – 96.5% | 655,254,105 | ||
(Cost $637,250,803) (f) | |||
Net Other Assets and Liabilities – 3.5% | 23,548,655 | ||
Net Assets – 100.0% | $678,802,760 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury Ultra 10-Year Notes | Short | 116 | Jun 2019 | $ (15,286,625) | $(50,750) |
(a) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At April 30, 2019, securities noted as such amounted to $46,637,447 or 6.9% of net assets. |
(b) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(c) | Zero coupon bond. |
(d) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(e) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2C - Restricted Securities in the Notes to Financial Statements). |
(f) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $18,226,124 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $273,572. The net unrealized appreciation was $17,952,552. The amounts presented are inclusive of derivative contracts. |
AGC | Assured Guaranty Corp. |
AGM | Assured Guaranty Municipal Corp. |
AMBAC | American Municipal Bond Assurance Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
BANS | Bond Anticipation Notes |
CABS | Capital Appreciation Bonds |
COPS | Certificates of Participation |
GANS | Grant Anticipation Notes |
NATL-RE | National Public Finance Guarantee Corp. |
ASSETS TABLE | ||||
Total Value at 4/30/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 655,254,105 | $ — | $ 655,254,105 | $ — |
LIABILITIES TABLE | ||||
Total Value at 4/30/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts | $ (50,750) | $ (50,750) | $ — | $ — |
* | See Portfolio of Investments for state breakout. |
ASSETS: | |
Investments, at value (Cost $637,250,803) | $ 655,254,105 |
Cash | 13,745,227 |
Cash held at broker | 194,953 |
Receivables: | |
Fund shares sold | 10,779,574 |
Interest | 8,109,707 |
Investment securities sold | 1,121,192 |
Total Assets | 689,204,758 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 10,086,112 |
Investment advisory fees | 265,136 |
Variation margin | 50,750 |
Total Liabilities | 10,401,998 |
NET ASSETS | $678,802,760 |
NET ASSETS consist of: | |
Paid-in capital | $ 663,605,839 |
Par value | 126,000 |
Accumulated distributable earnings (loss) | 15,070,921 |
NET ASSETS | $678,802,760 |
NET ASSET VALUE,per share | $53.87 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 12,600,002 |
INVESTMENT INCOME: | ||
Interest | $ 8,792,489 | |
Dividends | 9,910 | |
Total investment income | 8,802,399 | |
EXPENSES: | ||
Investment advisory fees | 1,770,887 | |
Total expenses | 1,770,887 | |
Fees waived by the investment advisor | (408,666) | |
Net expenses | 1,362,221 | |
NET INVESTMENT INCOME (LOSS) | 7,440,178 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (286,306) | |
Futures | (433,189) | |
Net realized gain (loss) | (719,495) | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 22,730,168 | |
Futures | (44,000) | |
Net change in unrealized appreciation (depreciation) | 22,686,168 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 21,966,673 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 29,406,851 |
Six Months Ended 4/30/2019 (Unaudited) | Year Ended 10/31/2018 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 7,440,178 | $ 9,231,008 | |
Net realized gain (loss) | (719,495) | (1,674,658) | |
Net change in unrealized appreciation (depreciation) | 22,686,168 | (9,084,698) | |
Net increase (decrease) in net assets resulting from operations | 29,406,851 | (1,528,348) | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (7,352,376) | (9,168,753) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 211,760,509 | 248,070,577 | |
Cost of shares redeemed | (10,383,218) | (2,607,604) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 201,377,291 | 245,462,973 | |
Total increase (decrease) in net assets | 223,431,766 | 234,765,872 | |
NET ASSETS: | |||
Beginning of period | 455,370,994 | 220,605,122 | |
End of period | $678,802,760 | $455,370,994 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 8,800,002 | 4,150,002 | |
Shares sold | 4,000,000 | 4,700,000 | |
Shares redeemed | (200,000) | (50,000) | |
Shares outstanding, end of period | 12,600,002 | 8,800,002 |
Six Months Ended 4/30/2019 (Unaudited) | Year Ended October 31, | Period Ended 10/31/2014 (a) | |||||||||
2018 | 2017 | 2016 | 2015 | ||||||||
Net asset value, beginning of period | $ 51.75 | $ 53.16 | $ 53.32 | $ 51.58 | $ 51.11 | $ 50.00 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.70 | 1.35 | 1.34 | 1.32 | 1.35 | 0.56 | |||||
Net realized and unrealized gain (loss) | 2.12 | (1.41) | (0.01) | 1.99 | 0.50 | 1.20 | |||||
Total from investment operations | 2.82 | (0.06) | 1.33 | 3.31 | 1.85 | 1.76 | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.70) | (1.35) | (1.33) | (1.35) | (1.38) | (0.55) | |||||
Net realized gain | — | — | (0.16) | (0.22) | — | — | |||||
Return of capital | — | — | — | — | — | (0.10) | |||||
Total distributions | (0.70) | (1.35) | (1.49) | (1.57) | (1.38) | (0.65) | |||||
Net asset value, end of period | $53.87 | $51.75 | $53.16 | $53.32 | $51.58 | $51.11 | |||||
Total return (b) | 5.48% | (0.12)% | 2.59% | 6.47% | 3.66% | 3.53% | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 678,803 | $ 455,371 | $ 220,605 | $ 82,650 | $ 33,529 | $ 20,445 | |||||
Ratio of total expenses to average net assets | 0.65% (c) | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% (c) | |||||
Ratio of net expenses to average net assets | 0.50% (c) | 0.50% | 0.50% | 0.52% | 0.65% | 0.65% (c) | |||||
Ratio of net investment income (loss) to average net assets | 2.73% (c) | 2.60% | 2.63% | 2.52% | 2.63% | 2.40% (c) | |||||
Portfolio turnover rate (d) | 13% | 42% | 85% | 85% | 109% | 69% |
(a) | Inception date is May 13, 2014, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived by the advisor. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer; |
5) | the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; and |
10) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security | Acquisition Date | Principal Value | Current Price | Carrying Cost | Value | % of Net Assets | ||
Brookstone CDD FL Spl Assmnt Rev CDD, 3.88%, 11/01/23 | 01/24/18 | $500,000 | $100.43 | $500,000 | $502,125 | 0.08% | ||
IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Academy Proj, Ser A, 5.25%, 07/01/28 | 09/04/18 | 800,000 | 104.76 | 808,581 | 838,112 | 0.12 | ||
IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Academy Proj, Ser A, 5.88%, 07/01/38 | 09/04/18 | 1,000,000 | 103.32 | 1,005,078 | 1,033,170 | 0.15 | ||
Leander TX Spl Assmnt Rev Crystal Springs Pub Impt Dist Proj Accd Inv, 5.13%, 09/01/38 | 05/04/18 | 1,290,000 | 101.25 | 1,290,000 | 1,306,138 | 0.19 | ||
Timber Creek CDD FL Spl Assmnt Rev, 4.13%, 11/01/24 | 06/21/18 | 250,000 | 100.51 | 250,000 | 251,262 | 0.04 | ||
$3,853,659 | $3,930,807 | 0.58% |
Distributions paid from: | |
Ordinary income | $ — |
Capital gains | — |
Tax-exempt income | 9,168,753 |
Return of capital | — |
Undistributed ordinary income | $ — |
Undistributed capital gains | — |
Total undistributed earnings | — |
Accumulated capital and other losses | (2,301,347) |
Net unrealized appreciation (depreciation) | (4,682,207) |
Total accumulated earnings (losses) | (6,983,554) |
Other | — |
Paid-in capital | 462,354,548 |
Total net assets | $455,370,994 |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statement of Assets and Liabilities Location | Value | Statement of Assets and Liabilities Location | Value | |||||
Futures | Interest Rate Risk | Variation Margin Receivable | $ — | Variation Margin Payable | $ 50,750 |
Statement of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures | $(433,189) |
Net change in unrealized appreciation (depreciation) on futures | (44,000) |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/img709e09ad1.jpg)
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/img4fe9a8611.jpg)
For the Six Months Ended
April 30, 2019
1 | |
2 | |
5 | |
6 | |
7 | |
13 | |
14 | |
15 | |
16 | |
17 | |
22 |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/imgb41bf7f82.jpg)
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 4/30/19 | 1 Year Ended 4/30/19 | Inception (9/8/14) to 4/30/19 | Inception (9/8/14) to 4/30/19 | |
Fund Performance | ||||
NAV | 4.23% | 4.47% | 7.16% | 37.84% |
Market Price | 4.32% | 4.41% | 7.16% | 37.83% |
Index Performance | ||||
S&P 500® Index | 9.76% | 13.49% | 10.93% | 61.84% |
Portfolio Sector Allocation | % of Total Long-Term Investments |
Health Care | 14.8% |
Consumer Discretionary | 13.6 |
Financials | 13.0 |
Industrials | 12.9 |
Information Technology | 11.7 |
Energy | 8.8 |
Consumer Staples | 8.1 |
Real Estate | 7.8 |
Materials | 4.8 |
Communication Services | 4.5 |
Total | 100.0% |
Portfolio Sector Allocation | % of Investments Sold Short |
Information Technology | 19.2% |
Industrials | 16.0 |
Consumer Discretionary | 13.2 |
Consumer Staples | 13.2 |
Financials | 13.1 |
Health Care | 7.9 |
Materials | 6.6 |
Energy | 6.3 |
Communication Services | 4.2 |
Utilities | 0.3 |
Total | 100.0% |
Top Ten Long-Term Investments | % of Net Assets |
JPMorgan Chase & Co. | 2.6% |
Microsoft Corp. | 2.1 |
Apple, Inc. | 1.9 |
Allegion PLC | 1.8 |
Toro (The) Co. | 1.8 |
TJX (The) Cos., Inc. | 1.8 |
Altria Group, Inc. | 1.7 |
Exxon Mobil Corp. | 1.7 |
Magellan Midstream Partners, L.P. | 1.7 |
Amazon.com, Inc. | 1.6 |
Total | 18.7% |
Top Ten Investments Sold Short | % of Net Assets |
ViaSat, Inc. | -0.6% |
Equitrans Midstream Corp. | -0.5% |
Hasbro, Inc. | -0.5% |
United Technologies Corp. | -0.5% |
AptarGroup, Inc. | -0.5% |
PNC Financial Services Group (The), Inc. | -0.5% |
Coca-Cola (The) Co. | -0.5% |
Kellogg Co. | -0.5% |
STERIS PLC | -0.5% |
Archer-Daniels-Midland Co. | -0.5% |
Total | -5.1% |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/img7186b4543.jpg)
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.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
9/9/14 – 10/31/14 | 23 | 3 | 0 | 0 |
11/1/14 – 10/31/15 | 190 | 7 | 0 | 1 |
11/1/15 – 10/31/16 | 170 | 0 | 0 | 0 |
11/1/16 – 10/31/17 | 173 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 180 | 0 | 0 | 0 |
11/1/18 – 4/30/19 | 76 | 0 | 0 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
9/9/14 – 10/31/14 | 9 | 4 | 0 | 0 |
11/1/14 – 10/31/15 | 41 | 12 | 0 | 0 |
11/1/15 – 10/31/16 | 81 | 1 | 0 | 0 |
11/1/16 – 10/31/17 | 79 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 72 | 0 | 0 | 0 |
11/1/18 – 4/30/19 | 45 | 1 | 0 | 0 |
Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (a)(b) | |
First Trust Long/Short Equity ETF (FTLS) | ||||
Actual | $1,000.00 | $1,042.30 | 1.61% | $8.15 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.81 | 1.61% | $8.05 |
(a) | Annualized expense ratio and expenses paid during the six-month period do not include fees and expenses of the underlying funds in which the Fund invests. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (November 1, 2018 through April 30, 2019), multiplied by 181/365 (to reflect the six-month period). |
Shares/ Units | Description | Value | ||
COMMON STOCKS – 86.6% | ||||
Aerospace & Defense – 0.4% | ||||
4,779 | HEICO Corp. | $504,328 | ||
626 | TransDigm Group, Inc. (a) | 302,057 | ||
806,385 | ||||
Airlines – 0.5% | ||||
18,843 | Southwest Airlines Co. (b) | 1,021,856 | ||
Banks – 6.1% | ||||
41,608 | Bank of America Corp. (b) | 1,272,373 | ||
15,681 | Bank of Hawaii Corp. | 1,291,801 | ||
9,887 | East West Bancorp, Inc. | 508,983 | ||
54,714 | Fifth Third Bancorp (b) | 1,576,857 | ||
32,775 | Hilltop Holdings, Inc. | 689,258 | ||
42,575 | Huntington Bancshares, Inc. | 592,644 | ||
43,437 | JPMorgan Chase & Co. (b) | 5,040,864 | ||
9,894 | Texas Capital Bancshares, Inc. (a) | 640,438 | ||
11,613,218 | ||||
Biotechnology – 2.5% | ||||
11,566 | AbbVie, Inc. | 918,225 | ||
1,656 | Alexion Pharmaceuticals, Inc. (a) | 225,431 | ||
6,676 | Amgen, Inc. (b) | 1,197,140 | ||
5,147 | Biogen, Inc. (a) (b) | 1,179,898 | ||
9,877 | Gilead Sciences, Inc. | 642,400 | ||
1,333 | Incyte Corp. (a) | 102,375 | ||
573 | Regeneron Pharmaceuticals, Inc. (a) | 196,619 | ||
1,917 | Vertex Pharmaceuticals, Inc. (a) | 323,935 | ||
4,786,023 | ||||
Building Products – 3.5% | ||||
34,583 | Allegion PLC (b) | 3,431,671 | ||
3,480 | American Woodmark Corp (a) | 312,956 | ||
11,641 | Gibraltar Industries, Inc. (a) | 461,799 | ||
4,422 | Lennox International, Inc. | 1,200,352 | ||
33,026 | Universal Forest Products, Inc. | 1,220,311 | ||
6,627,089 | ||||
Capital Markets – 1.5% | ||||
5,396 | E*TRADE Financial Corp. | 273,361 | ||
3,260 | Evercore, Inc., Class A | 317,622 | ||
9,718 | Houlihan Lokey, Inc. | 479,292 | ||
21,310 | SEI Investments Co. | 1,160,330 | ||
12,199 | TD Ameritrade Holding Corp. | 641,423 | ||
2,872,028 | ||||
Chemicals – 1.3% | ||||
7,220 | DowDuPont, Inc. | 277,609 | ||
4,821 | Sherwin-Williams (The) Co. (b) | 2,192,735 | ||
2,470,344 | ||||
Commercial Services & Supplies – 0.1% | ||||
7,072 | HNI Corp. | 259,613 |
Shares/ Units | Description | Value | ||
Consumer Finance – 1.5% | ||||
30,688 | Capital One Financial Corp. | $2,848,767 | ||
Distributors – 1.6% | ||||
29,142 | Genuine Parts Co. | 2,988,221 | ||
Diversified Financial Services – 1.0% | ||||
8,518 | Berkshire Hathaway, Inc., Class B (a) (b) | 1,845,936 | ||
Diversified Telecommunication Services – 0.5% | ||||
15,438 | Verizon Communications, Inc. | 882,899 | ||
Electrical Equipment – 0.7% | ||||
10,995 | AMETEK, Inc. (b) | 969,429 | ||
2,311 | Hubbell, Inc. | 294,884 | ||
1,264,313 | ||||
Entertainment – 0.5% | ||||
37,983 | IMAX Corp. (a) | 926,026 | ||
Food & Staples Retailing – 2.3% | ||||
2,202 | Costco Wholesale Corp. | 540,657 | ||
36,941 | Sysco Corp. (b) | 2,599,538 | ||
11,074 | Walmart, Inc. (b) | 1,138,850 | ||
4,279,045 | ||||
Food Products – 1.4% | ||||
53,496 | Mondelez International, Inc., Class A (b) | 2,720,272 | ||
Health Care Equipment & Supplies – 3.6% | ||||
13,156 | Abbott Laboratories | 1,046,691 | ||
347 | ABIOMED, Inc. (a) | 96,261 | ||
556 | Align Technology, Inc. (a) | 180,522 | ||
3,776 | Baxter International, Inc. | 288,109 | ||
2,041 | Becton Dickinson and Co. | 491,350 | ||
10,498 | Boston Scientific Corp. (a) | 389,686 | ||
381 | Cooper (The) Cos., Inc. | 110,460 | ||
4,543 | Danaher Corp. (b) | 601,675 | ||
1,449 | DENTSPLY SIRONA, Inc. | 74,087 | ||
1,569 | Edwards Lifesciences Corp. (a) | 276,254 | ||
2,043 | Hologic, Inc. (a) | 94,754 | ||
649 | Idexx Laboratories, Inc. (a) | 150,568 | ||
867 | Intuitive Surgical, Inc. (a) | 442,716 | ||
10,442 | Medtronic PLC | 927,354 | ||
2,408 | Mesa Laboratories, Inc. | 569,950 | ||
1,079 | ResMed, Inc. | 112,766 | ||
2,350 | Stryker Corp. | 443,939 | ||
922 | Teleflex, Inc. | 263,858 | ||
685 | Varian Medical Systems, Inc. (a) | 93,276 | ||
1,549 | Zimmer Biomet Holdings, Inc. | 190,775 | ||
6,845,051 |
Shares/ Units | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Health Care Providers & Services – 3.4% | ||||
1,249 | AmerisourceBergen Corp. | $93,375 | ||
2,047 | Anthem, Inc. | 538,423 | ||
2,372 | Cardinal Health, Inc. | 115,540 | ||
3,290 | Centene Corp. (a) | 169,632 | ||
1,278 | Chemed Corp. | 417,625 | ||
3,177 | Cigna Corp. | 504,635 | ||
10,527 | CVS Health Corp. | 572,458 | ||
996 | DaVita, Inc. (a) | 55,019 | ||
2,149 | HCA Healthcare, Inc. | 273,417 | ||
1,174 | Henry Schein, Inc. (a) | 75,207 | ||
1,120 | Humana, Inc. | 286,059 | ||
771 | Laboratory Corp of America Holdings (a) | 123,298 | ||
1,578 | McKesson Corp. | 188,177 | ||
12,643 | MEDNAX, Inc. (a) | 353,625 | ||
7,970 | Providence Service Corp. (a) | 528,650 | ||
1,061 | Quest Diagnostics, Inc. | 102,259 | ||
8,060 | UnitedHealth Group, Inc. | 1,878,544 | ||
633 | Universal Health Services, Inc., Class B | 80,309 | ||
423 | WellCare Health Plans, Inc. (a) | 109,282 | ||
6,465,534 | ||||
Health Care Technology – 0.1% | ||||
2,601 | Cerner Corp. (a) | 172,836 | ||
Hotels, Restaurants & Leisure – 1.4% | ||||
15,649 | Las Vegas Sands Corp. | 1,049,266 | ||
19,727 | Starbucks Corp. (b) | 1,532,393 | ||
2,581,659 | ||||
Household Durables – 4.2% | ||||
18,364 | Ethan Allen Interiors, Inc. | 405,844 | ||
945 | NVR, Inc. (a) (b) | 2,979,094 | ||
80,133 | PulteGroup, Inc. | 2,520,984 | ||
56,093 | Toll Brothers, Inc. (b) | 2,137,143 | ||
8,043,065 | ||||
Household Products – 2.1% | ||||
38,600 | Colgate-Palmolive Co. | 2,809,694 | ||
11,637 | Procter & Gamble (The) Co. | 1,239,108 | ||
4,048,802 | ||||
Industrial Conglomerates – 0.3% | ||||
1,766 | Roper Technologies, Inc. | 635,230 | ||
Insurance – 1.7% | ||||
6,357 | Allstate (The) Corp. | 629,724 | ||
2,171 | American National Insurance Co. | 245,953 | ||
10,552 | Kemper Corp. | 948,414 | ||
16,886 | Progressive (The) Corp. | 1,319,641 | ||
3,143,732 |
Shares/ Units | Description | Value | ||
Interactive Media & Services – 2.7% | ||||
1,272 | Alphabet, Inc., Class A (a) (b) | $1,525,077 | ||
1,304 | Alphabet, Inc., Class C (a) (b) | 1,549,778 | ||
10,332 | Facebook, Inc., Class A (a) (b) | 1,998,209 | ||
5,073,064 | ||||
Internet & Direct Marketing Retail – 4.1% | ||||
1,652 | Amazon.com, Inc. (a) (b) | 3,182,611 | ||
1,412 | Booking Holdings, Inc. (a) | 2,619,246 | ||
53,276 | eBay, Inc. (b) | 2,064,445 | ||
7,866,302 | ||||
IT Services – 2.1% | ||||
14,739 | Accenture PLC, Class A (b) | 2,692,373 | ||
7,778 | Visa, Inc., Class A | 1,278,937 | ||
3,971,310 | ||||
Life Sciences Tools & Services – 1.0% | ||||
3,341 | Agilent Technologies, Inc. | 262,269 | ||
1,076 | Illumina, Inc. (a) | 335,712 | ||
1,209 | IQVIA Holdings, Inc. (a) | 167,930 | ||
191 | Mettler-Toledo International, Inc. (a) | 142,345 | ||
840 | PerkinElmer, Inc. | 80,506 | ||
2,990 | Thermo Fisher Scientific, Inc. | 829,575 | ||
569 | Waters Corp. (a) | 121,504 | ||
1,939,841 | ||||
Machinery – 4.9% | ||||
9,060 | AGCO Corp. | 641,267 | ||
61,191 | Allison Transmission Holdings, Inc. (b) | 2,867,410 | ||
2,979 | Dover Corp. | 292,061 | ||
33,992 | Federal Signal Corp. | 977,950 | ||
7,102 | Franklin Electric Co., Inc. | 347,003 | ||
46,252 | Toro (The) Co. (b) | 3,383,334 | ||
8,715 | Watts Water Technologies, Inc., Class A | 745,917 | ||
9,254,942 | ||||
Media – 0.8% | ||||
20,061 | Omnicom Group, Inc. (b) | 1,605,482 | ||
Metals & Mining – 3.5% | ||||
9,656 | Franco-Nevada Corp. | 692,142 | ||
52,676 | Nucor Corp. (b) | 3,006,219 | ||
65,177 | Osisko Gold Royalties Ltd | 736,500 | ||
8,254 | Royal Gold, Inc. | 718,593 | ||
131,300 | Sandstorm Gold Ltd. (a) | 705,081 | ||
33,627 | Wheaton Precious Metals Corp. | 729,034 | ||
6,587,569 | ||||
Oil, Gas & Consumable Fuels – 3.9% | ||||
26,067 | Chevron Corp. (b) | 3,129,604 |
Shares/ Units | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Oil, Gas & Consumable Fuels (Continued) | ||||
4,448 | Contura Energy, Inc. (a) | $250,645 | ||
40,138 | Exxon Mobil Corp. (b) | 3,222,279 | ||
21,142 | Kinder Morgan, Inc. | 420,091 | ||
16,110 | Par Pacific Holdings, Inc. (a) | 314,789 | ||
7,337,408 | ||||
Personal Products – 0.5% | ||||
18,742 | Herbalife Nutrition Ltd. (a) | 990,515 | ||
Pharmaceuticals – 4.1% | ||||
2,385 | Allergan PLC (b) | 350,595 | ||
12,018 | Bristol-Myers Squibb Co. | 557,996 | ||
20,400 | Johnson & Johnson | 2,880,480 | ||
19,610 | Merck & Co, Inc. (b) | 1,543,503 | ||
4,552 | Mylan N.V. (a) | 122,859 | ||
1,448 | Nektar Therapeutics (a) | 46,365 | ||
947 | Perrigo Co. PLC | 45,380 | ||
43,481 | Pfizer, Inc. | 1,765,763 | ||
3,630 | Zoetis, Inc. | 369,679 | ||
7,682,620 | ||||
Real Estate Management & Development – 0.6% | ||||
64,195 | St Joe (The) Co. (a) | 1,093,883 | ||
Semiconductors & Semiconductor Equipment – 1.2% | ||||
3,753 | Broadcom, Inc. | 1,194,955 | ||
4,144 | KLA-Tencor Corp. | 528,277 | ||
5,393 | Texas Instruments, Inc. (b) | 635,457 | ||
2,358,689 | ||||
Software – 6.4% | ||||
23,563 | Check Point Software Technologies, Ltd. (a) | 2,845,468 | ||
22,959 | j2 Global, Inc. | 2,011,668 | ||
30,652 | Microsoft Corp. (b) | 4,003,151 | ||
65,103 | Monotype Imaging Holdings, Inc. | 1,122,376 | ||
45,830 | Progress Software Corp. (b) | 2,090,306 | ||
12,072,969 | ||||
Specialty Retail – 2.2% | ||||
9,108 | Murphy USA, Inc. (a) | 778,461 | ||
60,671 | TJX (The) Cos., Inc. (b) | 3,329,624 | ||
4,108,085 | ||||
Technology Hardware, Storage & Peripherals – 1.9% | ||||
18,150 | Apple, Inc. (b) | 3,642,160 | ||
Thrifts & Mortgage Finance – 0.5% | ||||
18,357 | Essent Group Ltd. (a) | 871,040 |
Shares/ Units | Description | Value | ||
Tobacco – 1.7% | ||||
60,559 | Altria Group, Inc. (b) | $3,290,170 | ||
Trading Companies & Distributors – 2.3% | ||||
30,209 | HD Supply Holdings, Inc. (a) | 1,380,249 | ||
5,327 | Watsco, Inc. | 844,170 | ||
7,550 | WW Grainger, Inc. | 2,129,100 | ||
4,353,519 | ||||
Total Common Stocks | 164,247,512 | |||
(Cost $155,295,199) | ||||
REAL ESTATE INVESTMENT TRUSTS – 7.8% | ||||
Equity Real Estate Investment Trusts – 7.1% | ||||
66,135 | American Homes 4 Rent, Class A | 1,585,917 | ||
15,515 | American Tower Corp. (b) | 3,030,079 | ||
79,831 | Apple Hospitality REIT, Inc. | 1,313,220 | ||
81,362 | Invitation Homes, Inc. (b) | 2,022,659 | ||
17,017 | Mid-America Apartment Communities, Inc. (b) | 1,861,830 | ||
68,724 | Paramount Group, Inc. | 995,811 | ||
4,989 | PS Business Parks, Inc. | 766,410 | ||
6,237 | Public Storage | 1,379,500 | ||
12,608 | UDR, Inc. | 566,730 | ||
13,522,156 | ||||
Mortgage Real Estate Investment Trusts – 0.7% | ||||
58,872 | Dynex Capital, Inc. | 359,120 | ||
118,906 | MFA Financial, Inc. (b) | 892,984 | ||
1,252,104 | ||||
Total Real Estate Investment Trusts | 14,774,260 | |||
(Cost $13,411,148) | ||||
MASTER LIMITED PARTNERSHIPS – 4.9% | ||||
Oil, Gas & Consumable Fuels – 4.9% | ||||
72,532 | Cheniere Energy Partners, L.P. (b) | 3,178,352 | ||
51,605 | Magellan Midstream Partners, L.P. (b) | 3,200,026 | ||
81,235 | TC PipeLines, L.P. | 2,900,090 | ||
Total Master Limited Partnerships | 9,278,468 | |||
(Cost $8,536,576) | ||||
Total Investments – 99.3% | 188,300,240 | |||
(Cost $177,242,923) (c) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT – (27.6)% | ||||
Aerospace & Defense – (1.1)% | ||||
(6,965) | Aerojet Rocketdyne Holdings, Inc. (a) | $(235,835) | ||
(14,473) | Cubic Corp. | (821,777) | ||
(7,099) | United Technologies Corp. | (1,012,388) | ||
(2,070,000) | ||||
Automobiles – (0.5)% | ||||
(15,944) | Ford Motor Co. | (166,615) | ||
(18,723) | General Motors Co. | (729,261) | ||
(895,876) | ||||
Banks – (1.5)% | ||||
(17,317) | BB&T Corp. | (886,630) | ||
(3,116) | International Bancshares Corp. | (129,221) | ||
(5,152) | M&T Bank Corp. | (876,201) | ||
(7,083) | PNC Financial Services Group (The), Inc. | (969,875) | ||
(2,861,927) | ||||
Beverages – (0.8)% | ||||
(10,661) | Brown-Forman Corp., Class B | (568,125) | ||
(19,675) | Coca-Cola (The) Co. | (965,255) | ||
(1,533,380) | ||||
Building Products – (0.1)% | ||||
(3,620) | Johnson Controls International PLC | (135,750) | ||
Chemicals – (0.7)% | ||||
(2,137) | Air Products & Chemicals, Inc. | (439,773) | ||
(11,327) | Ashland Global Holdings, Inc. | (912,164) | ||
(1,351,937) | ||||
Commercial Services & Supplies – (0.7)% | ||||
(7,488) | Brink’s (The) Co. | (598,516) | ||
(11,567) | Matthews International Corp., Class A | (463,374) | ||
(3,611) | Tetra Tech, Inc. | (233,704) | ||
(1,295,594) | ||||
Communications Equipment – (0.8)% | ||||
(7,460) | Cisco Systems, Inc. | (417,387) | ||
(1,893) | InterDigital, Inc. | (123,783) | ||
(11,719) | ViaSat, Inc. (a) | (1,064,320) | ||
(1,605,490) | ||||
Construction & Engineering – (0.8)% | ||||
(2,746) | Argan, Inc. | (131,314) | ||
(9,956) | Granite Construction, Inc. | (446,925) | ||
(9,189) | Tutor Perini Corp. (a) | (183,504) | ||
(5,471) | Valmont Industries, Inc. | (737,710) | ||
(1,499,453) |
Shares | Description | Value | ||
Consumer Finance – (0.5)% | ||||
(14,974) | Ally Financial, Inc. | $(444,878) | ||
(5,680) | Discover Financial Services | (462,863) | ||
(907,741) | ||||
Containers & Packaging – (1.0)% | ||||
(8,804) | AptarGroup, Inc. | (979,357) | ||
(8,136) | Avery Dennison Corp. | (900,248) | ||
(1,879,605) | ||||
Diversified Consumer Services – (0.7)% | ||||
(14,339) | Service Corp. International | (596,646) | ||
(16,961) | Sotheby’s (a) | (715,415) | ||
(1,312,061) | ||||
Diversified Telecommunication Services – (0.1)% | ||||
(4,635) | ATN International, Inc. | (282,967) | ||
Electric Utilities – (0.1)% | ||||
(678) | NextEra Energy, Inc. | (131,830) | ||
Electrical Equipment – (0.3)% | ||||
(6,768) | Emerson Electric Co. | (480,460) | ||
Electronic Equipment, Instruments & Components – (0.3)% | ||||
(7,764) | Benchmark Electronics, Inc. | (209,861) | ||
(3,518) | Dolby Laboratories, Inc., Class A | (227,579) | ||
(3,367) | FARO Technologies, Inc. (a) | (189,394) | ||
(626,834) | ||||
Entertainment – (0.5)% | ||||
(3,648) | Live Nation Entertainment, Inc. (a) | (238,360) | ||
(697) | Netflix, Inc. (a) | (258,267) | ||
(4,022) | Walt Disney (The) Co. | (550,893) | ||
(1,047,520) | ||||
Food & Staples Retailing – (0.7)% | ||||
(7,356) | Andersons (The), Inc. | (240,541) | ||
(31,857) | Kroger (The) Co. | (821,273) | ||
(6,838) | Walgreens Boots Alliance, Inc. | (366,312) | ||
(1,428,126) | ||||
Food Products – (1.9)% | ||||
(21,111) | Archer-Daniels-Midland Co. | (941,551) | ||
(21,687) | Darling Ingredients, Inc. (a) | (472,993) | ||
(3,100) | Hershey (The) Co. | (387,035) | ||
(9,682) | Ingredion, Inc. | (917,369) | ||
(15,786) | Kellogg Co. | (951,896) | ||
(3,670,844) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Health Care Equipment & Supplies – (1.4)% | ||||
(8,067) | CONMED Corp. | $(645,602) | ||
(2,309) | Hill-Rom Holdings, Inc. | (234,179) | ||
(12,643) | Natus Medical, Inc. (a) | (338,327) | ||
(2,449) | Neogen Corp (a) | (148,556) | ||
(7,262) | STERIS PLC | (951,177) | ||
(2,527) | West Pharmaceutical Services, Inc. | (312,817) | ||
(2,630,658) | ||||
Health Care Providers & Services – (0.2)% | ||||
(69,141) | Brookdale Senior Living, Inc. (a) | (427,291) | ||
Household Products – (0.2)% | ||||
(1,104) | Kimberly-Clark Corp. | (141,731) | ||
(2,847) | Spectrum Brands Holdings, Inc. | (175,290) | ||
(317,021) | ||||
Insurance – (1.1)% | ||||
(18,134) | Aflac, Inc. | (913,591) | ||
(15,981) | CNA Financial Corp. | (740,400) | ||
(8,751) | Fidelity National Financial, Inc. | (349,602) | ||
(2,003,593) | ||||
Internet & Direct Marketing Retail – (0.2)% | ||||
(6,992) | Lands’ End, Inc. (a) | (122,430) | ||
(4,827) | MakeMyTrip Ltd. (a) | (121,689) | ||
(344) | MercadoLibre, Inc. (a) | (166,544) | ||
(410,663) | ||||
IT Services – (0.9)% | ||||
(5,634) | Black Knight, Inc. (a) | (317,870) | ||
(6,325) | Global Payments, Inc. | (923,893) | ||
(7,177) | InterXion Holding NV (a) | (496,577) | ||
(1,738,340) | ||||
Leisure Products – (0.8)% | ||||
(10,161) | Hasbro, Inc. | (1,034,999) | ||
(38,637) | Mattel, Inc. (a) | (470,985) | ||
(1,505,984) | ||||
Life Sciences Tools & Services – (0.4)% | ||||
(799) | Bio-Rad Laboratories, Inc., Class A (a) | (240,443) | ||
(6,509) | Bruker Corp. | (251,247) | ||
(6,490) | QIAGEN N.V. (a) | (252,851) | ||
(744,541) | ||||
Machinery – (1.5)% | ||||
(36,287) | Actuant Corp., Class A | (928,222) | ||
(13,696) | CNH Industrial N.V. | (149,286) | ||
(13,197) | Donaldson Co., Inc. | (706,567) | ||
(2,180) | ESCO Technologies, Inc. | (163,500) |
Shares | Description | Value | ||
Machinery (Continued) | ||||
(3,376) | Kennametal, Inc. | $(137,403) | ||
(1,883) | PACCAR, Inc. | (134,955) | ||
(27,155) | Trinity Industries, Inc. | (585,462) | ||
(2,805,395) | ||||
Media – (0.5)% | ||||
(4,040) | Fox Corp, Class B | (155,540) | ||
(8,460) | Liberty Broadband Corp., Class C (a) | (835,087) | ||
(990,627) | ||||
Metals & Mining – (0.1)% | ||||
(35,639) | Coeur Mining, Inc. (a) | (128,657) | ||
(1,387) | Kaiser Aluminum Corp. | (136,481) | ||
(265,138) | ||||
Multiline Retail – (0.1)% | ||||
(2,958) | Nordstrom, Inc. | (121,337) | ||
Oil, Gas & Consumable Fuels – (1.8)% | ||||
(1,224) | Concho Resources, Inc. | (141,225) | ||
(49,689) | Equitrans Midstream Corp. | (1,035,022) | ||
(2,855) | Hess Corp. | (183,062) | ||
(98,156) | Kosmos Energy, Ltd. | (656,664) | ||
(18,697) | Noble Energy, Inc. | (505,941) | ||
(17,152) | Roan Resources, Inc. (a) | (97,252) | ||
(30,507) | Ship Finance International Ltd. | (389,269) | ||
(8,492) | Targa Resources Corp. | (340,954) | ||
(3,349,389) | ||||
Pharmaceuticals – (0.2)% | ||||
(2,897) | Catalent, Inc. (a) | (129,843) | ||
(4,353) | Phibro Animal Health Corp., Class A | (151,093) | ||
(24,567) | TherapeuticsMD, Inc. (a) | (105,638) | ||
(386,574) | ||||
Road & Rail – (0.1)% | ||||
(714) | Norfolk Southern Corp. | (145,670) | ||
Semiconductors & Semiconductor Equipment – (0.3)% | ||||
(6,019) | Axcelis Technologies, Inc. (a) | (128,145) | ||
(6,195) | First Solar, Inc. (a) | (381,178) | ||
(6,491) | MACOM Technology Solutions Holdings, Inc. (a) | (90,160) | ||
(599,483) | ||||
Software – (2.6)% | ||||
(17,250) | ACI Worldwide, Inc. (a) | (612,720) | ||
(7,538) | FireEye, Inc. (a) | (120,759) | ||
(3,564) | Intuit, Inc. | (894,778) | ||
(1,629) | MicroStrategy, Inc., Class A (a) | (243,861) | ||
(16,946) | Oracle Corp. | (937,622) | ||
(1,916) | Pegasystems, Inc. | (143,719) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Software (Continued) | ||||
(9,522) | PTC, Inc. (a) | $(861,455) | ||
(18,143) | Teradata Corp. (a) | (824,962) | ||
(2,884) | Varonis Systems, Inc. (a) | (205,197) | ||
(4,845,073) | ||||
Specialty Retail – (0.3)% | ||||
(5,781) | Tiffany & Co. | (623,307) | ||
Technology Hardware, Storage & Peripherals – (0.4)% | ||||
(11,112) | Electronics For Imaging, Inc. (a) | (413,255) | ||
(9,332) | Hewlett Packard Enterprise Co. | (147,539) | ||
(6,768) | NCR Corp. (a) | (195,934) | ||
(756,728) | ||||
Textiles, Apparel & Luxury Goods – (0.7)% | ||||
(1,544) | Columbia Sportswear Co. | (154,354) | ||
(10,784) | Under Armour, Inc., Class C (a) | (223,444) | ||
(24,575) | Wolverine World Wide, Inc. | (904,606) | ||
(1,282,404) | ||||
Thrifts & Mortgage Finance – (0.3)% | ||||
(38,695) | TFS Financial Corp. | (643,885) | ||
Wireless Telecommunication Services – (0.4)% | ||||
(23,558) | Telephone & Data Systems, Inc. | (751,029) | ||
Total Common Stocks Sold Short | (52,361,525) | |||
(Proceeds $50,277,989) | ||||
EXCHANGE-TRADED FUNDS SOLD SHORT – (0.3)% | ||||
Capital Markets – (0.3)% | ||||
(3,981) | iShares S&P 100 ETF | (520,556) | ||
(Proceeds $492,887) | ||||
Total Investments Sold Short – (27.9)% | (52,882,081) | |||
(Proceeds $50,770,876) | ||||
Net Other Assets and Liabilities – 28.6% | 54,139,591 | |||
Net Assets – 100.0% | $189,557,750 |
(a) | Non-income producing security. |
(b) | This security or a portion of this security is segregated as collateral for investments sold short. |
(c) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $15,347,372 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,401,260. The net unrealized appreciation was $8,946,112. The amounts presented are inclusive of investments sold short. |
ASSETS TABLE | ||||
Total Value at 4/30/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 164,247,512 | $ 164,247,512 | $ — | $ — |
Real Estate Investment Trusts* | 14,774,260 | 14,774,260 | — | — |
Master Limited Partnerships* | 9,278,468 | 9,278,468 | — | — |
Total Investments | $ 188,300,240 | $ 188,300,240 | $— | $— |
LIABILITIES TABLE | ||||
Total Value at 4/30/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks Sold Short* | $ (52,361,525) | $ (52,361,525) | $ — | $ — |
Exchange-Traded Funds Sold Short* | (520,556) | (520,556) | — | — |
Total | $ (52,882,081) | $ (52,882,081) | $— | $— |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value (Cost $177,242,923) | $ 188,300,240 |
Cash | 4,086,924 |
Restricted Cash | 50,081,769 |
Receivables: | |
Investment securities sold | 1,981,447 |
Dividends | 117,358 |
Margin interest rebate | 37,745 |
Dividend reclaims | 5,544 |
Total Assets | 244,611,027 |
LIABILITIES: | |
Investments sold short, at value (proceeds $50,770,876) | 52,882,081 |
Payables: | |
Fund shares redeemed | 1,995,112 |
Investment advisory fees | 148,514 |
Dividends on investments sold short | 25,650 |
Margin interest expense | 1,920 |
Total Liabilities | 55,053,277 |
NET ASSETS | $189,557,750 |
NET ASSETS consist of: | |
Paid-in capital | $ 197,061,445 |
Par value | 47,500 |
Accumulated distributable earnings (loss) | (7,551,195) |
NET ASSETS | $189,557,750 |
NET ASSET VALUE,per share | $39.91 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 4,750,002 |
INVESTMENT INCOME: | ||
Dividends | $ 1,683,113 | |
Margin interest rebate | 693,196 | |
Interest | 64,954 | |
Foreign withholding tax | (6,466) | |
Other | 32 | |
Total investment income | 2,434,829 | |
EXPENSES: | ||
Investment advisory fees | 852,460 | |
Dividend expense on investments sold short | 577,875 | |
Margin interest expense | 16,467 | |
Total expenses | 1,446,802 | |
NET INVESTMENT INCOME (LOSS) | 988,027 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (5,253,246) | |
In-kind redemptions | 8,608,382 | |
Investments sold short | (3,302,477) | |
Net realized gain (loss) | 52,659 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 14,079,203 | |
Investments sold short | (5,301,330) | |
Net change in unrealized appreciation (depreciation) | 8,777,873 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 8,830,532 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 9,818,559 |
Six Months Ended 4/30/2019 (Unaudited) | Year Ended 10/31/2018 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 988,027 | $ 1,073,540 | |
Net realized gain (loss) | 52,659 | 11,225,044 | |
Net change in unrealized appreciation (depreciation) | 8,777,873 | (10,801,335) | |
Net increase (decrease) in net assets resulting from operations | 9,818,559 | 1,497,249 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (835,875) | (944,480) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 123,616,624 | 144,939,138 | |
Cost of shares redeemed | (98,844,409) | (110,581,268) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 24,772,215 | 34,357,870 | |
Total increase (decrease) in net assets | 33,754,899 | 34,910,639 | |
NET ASSETS: | |||
Beginning of period | 155,802,851 | 120,892,212 | |
End of period | $189,557,750 | $155,802,851 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 4,050,002 | 3,200,002 | |
Shares sold | 3,250,000 | 3,700,000 | |
Shares redeemed | (2,550,000) | (2,850,000) | |
Shares outstanding, end of period | 4,750,002 | 4,050,002 |
Six Months Ended 4/30/2019 (Unaudited) | Year Ended October 31, | Period Ended 10/31/2014 (a) | |||||||||
2018 | 2017 | 2016 | 2015 | ||||||||
Net asset value, beginning of period | $ 38.47 | $ 37.78 | $ 32.49 | $ 32.61 | $ 30.54 | $ 30.00 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.21 | 0.26 | 0.24 | 0.32 | 0.19 | 0.05 | |||||
Net realized and unrealized gain (loss) | 1.42 | 0.67 | 5.34 | (0.17) | 2.12 | 0.51 | |||||
Total from investment operations | 1.63 | 0.93 | 5.58 | 0.15 | 2.31 | 0.56 | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.19) | (0.24) | (0.29) | (0.27) | (0.22) | (0.02) | |||||
Net realized gain | — | — | — | — | (0.02) | — | |||||
Total distributions | (0.19) | (0.24) | (0.29) | (0.27) | (0.24) | (0.02) | |||||
Net asset value, end of period | $39.91 | $38.47 | $37.78 | $32.49 | $32.61 | $30.54 | |||||
Total return (b) | 4.23% | 2.45% | 17.23% | 0.45% | 7.60% | 1.86% | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 189,558 | $ 155,803 | $ 120,892 | $ 120,231 | $ 32,608 | $ 3,054 | |||||
Ratio of total expenses to average net assets (c) | 1.61% (d) | 1.59% | 1.47% | 1.40% | 1.47% | 1.17% (d) | |||||
Ratio of total expenses to average net assets excluding dividend expense and margin interest expense (c) | 0.95% (d) | 0.95% | 0.95% | 0.95% | 0.95% | 0.95% (d) | |||||
Ratio of net investment income (loss) to average net assets | 1.10% (d) | 0.71% | 0.67% | 1.00% | 0.39% | 1.08% (d) | |||||
Portfolio turnover rate (e) | 130% | 249% | 176% | 201% | 267% | 1% |
(a) | Inception date is September 8, 2014, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from: | |
Ordinary income | $944,480 |
Capital gains | — |
Return of capital | — |
Undistributed ordinary income | $226,166 |
Accumulated capital and other gain (loss) | (16,314,421) |
Net unrealized appreciation (depreciation) | (445,624) |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/img4fe9a8611.jpg)
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/img22695b491.jpg)
For the Six Months Ended
April 30, 2019
1 | |
2 | |
5 | |
6 | |
7 | |
11 | |
12 | |
13 | |
14 | |
15 | |
22 |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/imgd98f4c7e2.jpg)
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 4/30/19 | 1 Year Ended 4/30/19 | Inception (11/4/14) to 4/30/19 | Inception (11/4/14) to 4/30/19 | |
Fund Performance | ||||
NAV | 6.59% | -4.43% | -0.97% | -4.28% |
Market Price | 7.26% | -4.41% | -0.91% | -4.03% |
Index Performance | ||||
Bloomberg Barclays Emerging Markets Local Currency Government - 10% Country Capped Index | 6.75% | -2.98% | 0.17% | 0.74% |
Industry Classification | % of Long-Term Investments |
Sovereigns | 94.8% |
Supranationals | 5.0 |
Central Bank | 0.2 |
Total | 100.0% |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 4.6% |
AA | 2.5 |
AA- | 9.6 |
A | 9.4 |
A- | 13.6 |
BBB+ | 3.3 |
BBB | 19.5 |
BBB- | 14.7 |
BB+ | 3.3 |
BB | 12.6 |
Cash | 6.9 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Republic of South Africa Government Bond, 6.25%, 3/31/36 | 6.5% |
Republic of South Africa Government Bond, 10.50%, 12/21/26 | 4.9 |
Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/27 | 4.6 |
Indonesia Treasury Bond, 8.38%, 3/15/24 | 4.4 |
Chile Government International Bond, 5.50%, 8/5/20 | 3.8 |
Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/29 | 3.5 |
Peru Government Bond, 6.95%, 8/12/31 | 3.5 |
Turkey Government Bond, 10.50%, 1/15/20 | 3.5 |
Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/25 | 3.5 |
Republic of Poland Government Bond, 5.75%, 4/25/29 | 3.5 |
Total | 41.7% |
(1) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/img5ed541bc3.jpg)
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.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/5/14 - 10/31/15 | 116 | 110 | 7 | 1 |
11/1/15 - 10/31/16 | 80 | 64 | 38 | 3 |
11/1/16 - 10/31/17 | 104 | 89 | 23 | 2 |
11/1/17 - 10/31/18 | 88 | 5 | 0 | 0 |
11/1/18 - 4/30/19 | 53 | 17 | 0 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
11/5/14 - 10/31/15 | 15 | 0 | 0 | 1 |
11/1/15 - 10/31/16 | 60 | 7 | 0 | 0 |
11/1/16 - 10/31/17 | 27 | 7 | 0 | 0 |
11/1/17 - 10/31/18 | 140 | 19 | 0 | 0 |
11/1/18 - 4/30/19 | 51 | 1 | 0 | 0 |
Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Emerging Markets Local Currency Bond ETF (FEMB) | ||||
Actual | $1,000.00 | $1,065.90 | 0.85% | $4.35 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.58 | 0.85% | $4.26 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (November 1, 2018 through April 30, 2019), multiplied by 181/365 (to reflect the six-month period). |
Principal Value (Local Currency) | Description | Stated Coupon | Stated Maturity | Value (US Dollars) | ||||
FOREIGN SOVEREIGN BONDS AND NOTES – 86.8% | ||||||||
Brazil – 12.4% | ||||||||
6,100,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/21 | $1,620,181 | ||||
11,350,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/25 | 3,065,668 | ||||
14,950,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/27 | 4,037,347 | ||||
11,400,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/29 | 3,091,505 | ||||
11,814,701 | ||||||||
Chile – 4.6% | ||||||||
550,000,000 | Bonos de la Tesoreria de la Republica en Pesos (CLP) | 4.50% | 03/01/26 | 846,448 | ||||
120,000,000 | Bonos del Banco Central de Chile en Pesos (CLP) | 6.00% | 02/01/21 | 185,350 | ||||
2,210,000,000 | Chile Government International Bond (CLP) | 5.50% | 08/05/20 | 3,350,077 | ||||
4,381,875 | ||||||||
Colombia – 6.1% | ||||||||
6,851,000,000 | Colombian TES (COP) | 7.00% | 05/04/22 | 2,220,319 | ||||
6,650,000,000 | Colombian TES (COP) | 7.50% | 08/26/26 | 2,197,582 | ||||
4,230,000,000 | Colombian TES (COP) | 7.75% | 09/18/30 | 1,404,177 | ||||
5,822,078 | ||||||||
Czech Republic – 2.5% | ||||||||
19,120,000 | Czech Republic Government Bond (CZK) | 1.50% | 10/29/19 | 836,835 | ||||
33,480,000 | Czech Republic Government Bond (CZK) | 2.40% | 09/17/25 | 1,519,098 | ||||
2,355,933 | ||||||||
Hungary – 4.6% | ||||||||
45,000,000 | Hungary Government Bond (HUF) | 6.50% | 06/24/19 | 157,250 | ||||
402,570,000 | Hungary Government Bond (HUF) | 5.50% | 06/24/25 | 1,645,879 | ||||
742,400,000 | Hungary Government Bond (HUF) | 3.00% | 10/27/27 | 2,610,052 | ||||
4,413,181 | ||||||||
Indonesia – 8.4% | ||||||||
52,016,000,000 | Indonesia Treasury Bond (IDR) | 8.38% | 03/15/24 | 3,814,638 | ||||
34,326,000,000 | Indonesia Treasury Bond (IDR) | 8.38% | 09/15/26 | 2,530,460 | ||||
24,010,000,000 | Indonesia Treasury Bond (IDR) | 8.38% | 03/15/34 | 1,708,080 | ||||
8,053,178 | ||||||||
Israel – 4.8% | ||||||||
10,090,000 | Israel Government Bond (ILS) | 2.25% | 09/28/28 | 2,941,228 | ||||
4,430,000 | Israel Government Bond - Fixed (ILS) | 6.25% | 10/30/26 | 1,640,650 | ||||
4,581,878 | ||||||||
Malaysia – 4.9% | ||||||||
5,520,000 | Malaysia Government Bond (MYR) | 4.16% | 07/15/21 | 1,356,187 | ||||
4,280,000 | Malaysia Government Bond (MYR) | 4.05% | 09/30/21 | 1,050,198 | ||||
9,360,000 | Malaysia Government Bond (MYR) | 4.18% | 07/15/24 | 2,311,713 | ||||
4,718,098 | ||||||||
Mexico – 4.8% | ||||||||
53,180,000 | Mexican Bonos (MXN) | 5.00% | 12/11/19 | 2,753,065 | ||||
24,210,000 | Mexican Bonos (MXN) | 10.00% | 12/05/24 | 1,396,391 | ||||
9,290,000 | Mexican Bonos (MXN) | 7.75% | 05/29/31 | 471,680 | ||||
4,621,136 | ||||||||
Peru – 5.6% | ||||||||
6,300,000 | Peru Government Bond (PEN) | 8.20% | 08/12/26 | 2,296,645 |
Principal Value (Local Currency) | Description | Stated Coupon | Stated Maturity | Value (US Dollars) | ||||
FOREIGN SOVEREIGN BONDS AND NOTES (Continued) | ||||||||
Peru (Continued) | ||||||||
9,030,000 | Peru Government Bond (PEN) | 6.95% | 08/12/31 | $3,087,115 | ||||
5,383,760 | ||||||||
Philippines – 3.3% | ||||||||
82,000,000 | Philippine Government International Bond (PHP) | 4.95% | 01/15/21 | 1,573,519 | ||||
10,000,000 | Philippine Government International Bond (PHP) | 3.90% | 11/26/22 | 185,572 | ||||
64,000,000 | Philippine Government International Bond (PHP) | 6.25% | 01/14/36 | 1,353,993 | ||||
3,113,084 | ||||||||
Poland – 4.2% | ||||||||
600,000 | Republic of Poland Government Bond (PLN) | 5.50% | 10/25/19 | 160,133 | ||||
2,975,000 | Republic of Poland Government Bond (PLN) | 4.00% | 10/25/23 | 837,425 | ||||
9,365,000 | Republic of Poland Government Bond (PLN) | 5.75% | 04/25/29 | 3,058,179 | ||||
4,055,737 | ||||||||
Romania – 3.7% | ||||||||
6,210,000 | Romania Government Bond (RON) | 5.85% | 04/26/23 | 1,553,927 | ||||
7,780,000 | Romania Government Bond (RON) | 5.80% | 07/26/27 | 1,958,305 | ||||
3,512,232 | ||||||||
South Africa – 10.8% | ||||||||
4,000,000 | Republic of South Africa Government Bond (ZAR) | 6.75% | 03/31/21 | 279,357 | ||||
55,735,000 | Republic of South Africa Government Bond (ZAR) | 10.50% | 12/21/26 | 4,311,524 | ||||
111,995,000 | Republic of South Africa Government Bond (ZAR) | 6.25% | 03/31/36 | 5,686,895 | ||||
10,277,776 | ||||||||
Thailand – 2.9% | ||||||||
54,470,000 | Thailand Government Bond (THB) | 3.63% | 06/16/23 | 1,813,364 | ||||
27,500,000 | Thailand Government Bond (THB) | 3.65% | 06/20/31 | 943,742 | ||||
2,757,106 | ||||||||
Turkey – 3.2% | ||||||||
19,950,000 | Turkey Government Bond (TRY) | 10.50% | 01/15/20 | 3,074,297 | ||||
Total Foreign Sovereign Bonds and Notes | 82,936,050 | |||||||
(Cost $85,892,347) | ||||||||
FOREIGN CORPORATE BONDS AND NOTES – 4.6% | ||||||||
Supranationals – 4.6% | ||||||||
4,730,000 | European Investment Bank (ZAR) | 6.00% | 10/21/19 | 328,799 | ||||
37,800,000 | International Finance Corp. (INR) | 7.80% | 06/03/19 | 544,551 | ||||
51,050,000 | International Finance Corp. (INR) | 5.85% | 11/25/22 | 705,637 | ||||
202,000,000 | International Finance Corp. (INR) | 6.30% | 11/25/24 | 2,786,172 | ||||
Total Foreign Corporate Bonds and Notes | 4,365,159 | |||||||
(Cost $4,705,326) |
Total Investments – 91.4% | 87,301,209 | ||
(Cost $90,597,673) (a) | |||
Net Other Assets and Liabilities – 8.6% | 8,201,629 | ||
Net Assets – 100.0% | $95,502,838 |
Forward Foreign Currency Contracts | ||||||||||||||
Settlement Date | Counterparty | Amount Purchased | Amount Sold | Purchase Value as of 4/30/2019 | Sale Value as of 4/30/2019 | Unrealized Appreciation/ (Depreciation) | ||||||||
05/15/19 | BNS | CLP | 260,000,000 | USD | 391,932 | $ 383,839 | $ 391,932 | $ (8,093) | ||||||
05/15/19 | SG | IDR | 5,500,000,000 | USD | 387,087 | 385,352 | 387,087 | (1,735) | ||||||
05/15/19 | SG | INR | 243,100,000 | USD | 3,493,939 | 3,489,097 | 3,493,939 | (4,842) | ||||||
05/15/19 | SG | KRW | 1,140,000,000 | USD | 1,001,513 | 976,378 | 1,001,513 | (25,135) | ||||||
05/15/19 | BBH | MXN | 58,200,000 | USD | 3,073,310 | 3,063,396 | 3,073,310 | (9,914) | ||||||
05/15/19 | BNS | PEN | 2,650,000 | USD | 802,179 | 800,917 | 802,179 | (1,262) | ||||||
05/15/19 | SG | PHP | 209,500,000 | USD | 4,024,965 | 4,016,011 | 4,024,965 | (8,954) | ||||||
05/15/19 | BNS | RUB | 621,300,000 | USD | 9,573,080 | 9,590,683 | 9,573,080 | 17,603 | ||||||
05/15/19 | BBH | THB | 47,800,000 | USD | 1,501,752 | 1,497,693 | 1,501,752 | (4,059) | ||||||
05/15/19 | BBH | TRY | 14,780,000 | USD | 2,547,397 | 2,456,703 | 2,547,397 | (90,694) | ||||||
05/15/19 | BBH | ZAR | 10,800,000 | USD | 768,360 | 753,796 | 768,360 | (14,564) | ||||||
05/15/19 | BNS | USD | 1,169,530 | BRL | 4,500,000 | 1,169,530 | 1,146,388 | 23,142 | ||||||
05/15/19 | BBH | USD | 726,840 | CZK | 16,500,000 | 726,840 | 722,228 | 4,612 | ||||||
05/15/19 | BBH | USD | 1,811,834 | HUF | 507,800,000 | 1,811,834 | 1,759,938 | 51,896 | ||||||
05/15/19 | BBH | USD | 2,266,738 | ILS | 7,941,860 | 2,266,738 | 2,209,340 | 57,398 | ||||||
05/15/19 | BBH | USD | 2,317,968 | PLN | 8,787,900 | 2,317,968 | 2,300,548 | 17,420 | ||||||
05/15/19 | BBH | USD | 543,649 | RON | 2,300,000 | 543,649 | 542,020 | 1,629 | ||||||
Net Unrealized Appreciation (Depreciation) | $4,448 |
Counterparty Abbreviations | |
BBH | Brown Brothers Harriman and Co. |
BNS | Bank of Nova Scotia |
SG | Societe Generale |
(a) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,002,264 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $4,294,280. The net unrealized depreciation was $3,292,016. The amounts presented are inclusive of derivative contracts. |
ASSETS TABLE | ||||
Total Value at 4/30/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Foreign Sovereign Bonds and Notes* | $ 82,936,050 | $ — | $ 82,936,050 | $ — |
Foreign Corporate Bonds and Notes* | 4,365,159 | — | 4,365,159 | — |
Total Investments | 87,301,209 | — | 87,301,209 | — |
Forward Foreign Currency Contracts | 173,700 | — | 173,700 | — |
Total | $ 87,474,909 | $— | $ 87,474,909 | $— |
LIABILITIES TABLE | ||||
Total Value at 4/30/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Forward Foreign Currency Contracts | $ (169,252) | $ — | $ (169,252) | $ — |
* | See Portfolio of Investments for country breakout. |
Currency Exposure Diversification | % of Total Investments† |
ZAR | 12.1% |
BRL | 11.4 |
RUB | 10.2 |
IDR | 9.0 |
MXN | 8.2 |
INR | 8.0 |
PHP | 7.6 |
PEN | 6.6 |
COP | 6.2 |
TRY | 5.9 |
CLP | 5.1 |
MYR | 5.0 |
THB | 4.5 |
RON | 3.3 |
HUF | 2.8 |
ILS | 2.5 |
PLN | 2.0 |
CZK | 1.8 |
KRW | 1.1 |
USD | (13.3) |
Total | 100.0% |
† | The weightings include the impact of currency forwards. |
Currency Abbreviations | |
BRL | Brazilian Real |
CLP | Chilean Peso |
COP | Colombian Peso |
CZK | Czech Republic Koruna |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
PEN | Peruvian Nuevo Sol |
PHP | Philippine Peso |
PLN | Polish Zloty |
RON | Romanian New Leu |
RUB | Russian Ruble |
THB | Thai Baht |
TRY | Turkish Lira |
USD | United States Dollar |
ZAR | South African Rand |
ASSETS: | |
Investments, at value (Cost $90,597,673) | $ 87,301,209 |
Cash | 6,235,848 |
Foreign currency (Cost $192,474) | 193,357 |
Unrealized appreciation on forward foreign currency contracts | 173,700 |
Receivables: | |
Interest | 1,823,575 |
Interest reclaims | 28,225 |
Total Assets | 95,755,914 |
LIABILITIES: | |
Unrealized depreciation on forward foreign currency contracts | 169,252 |
Payables: | |
Investment advisory fees | 64,530 |
Deferred foreign capital gains tax | 19,294 |
Total Liabilities | 253,076 |
NET ASSETS | $95,502,838 |
NET ASSETS consist of: | |
Paid-in capital | $ 101,021,744 |
Par value | 25,500 |
Accumulated distributable earnings (loss) | (5,544,406) |
NET ASSETS | $95,502,838 |
NET ASSET VALUE,per share | $37.45 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 2,550,002 |
INVESTMENT INCOME: | ||
Interest | $ 2,215,797 | |
Foreign withholding tax | (56,603) | |
Total investment income | 2,159,194 | |
EXPENSES: | ||
Investment advisory fees | 313,757 | |
Total expenses | 313,757 | |
NET INVESTMENT INCOME (LOSS) | 1,845,437 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (110,167) | |
Forward foreign currency contracts | 349,244 | |
Foreign currency transactions | 19,316 | |
Net realized gain (loss) | 258,393 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 2,051,024 | |
Forward foreign currency contracts | (161,291) | |
Foreign currency translation | (24,763) | |
Deferred foreign capital gains tax | (19,294) | |
Net change in unrealized appreciation (depreciation) | 1,845,676 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 2,104,069 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 3,949,506 |
Six Months Ended 4/30/2019 (Unaudited) | Year Ended 10/31/2018 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 1,845,437 | $ 2,476,708 | |
Net realized gain (loss) | 258,393 | (3,099,868) | |
Net change in unrealized appreciation (depreciation) | 1,845,676 | (4,588,147) | |
Net increase (decrease) in net assets resulting from operations | 3,949,506 | (5,211,307) | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (2,105,622) | (1,016,310) | |
Return of capital | — | (2,159,690) | |
Total distributions to shareholders | (2,105,622) | (3,176,000) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 37,682,481 | 37,425,252 | |
Cost of shares redeemed | — | (22,923,482) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 37,682,481 | 14,501,770 | |
Total increase (decrease) in net assets | 39,526,365 | 6,114,463 | |
NET ASSETS: | |||
Beginning of period | 55,976,473 | 49,862,010 | |
End of period | $95,502,838 | $55,976,473 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 1,550,002 | 1,200,002 | |
Shares sold | 1,000,000 | 900,000 | |
Shares redeemed | — | (550,000) | |
Shares outstanding, end of period | 2,550,002 | 1,550,002 |
Six Months Ended 4/30/2019 (Unaudited) | Year Ended October 31, | Period Ended 10/31/2015 (a) | |||||||
2018 | 2017 | 2016 | |||||||
Net asset value, beginning of period | $ 36.11 | $ 41.55 | $ 42.32 | $ 40.77 | $ 50.00 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 1.18 | 1.80 | 2.30 | 1.74 | 1.94 | ||||
Net realized and unrealized gain (loss) | 1.19 | (4.76) | (0.65) | 2.09 | (9.23) | ||||
Total from investment operations | 2.37 | (2.96) | 1.65 | 3.83 | (7.29) | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.03) | (0.79) | (2.42) | (1.56) | — | ||||
Return of capital | — | (1.69) | — | (0.72) | (1.94) | ||||
Total distributions | (1.03) | (2.48) | (2.42) | (2.28) | (1.94) | ||||
Net asset value, end of period | $37.45 | $36.11 | $41.55 | $42.32 | $40.77 | ||||
Total return (b) | 6.59% | (7.55)% | 4.00% | 9.66% | (14.83)% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 95,503 | $ 55,976 | $ 49,862 | $ 14,812 | $ 4,077 | ||||
Ratio of total expenses to average net assets | 0.85% (c) | 0.85% (d) | 0.85% | 0.85% | 0.85% (c) | ||||
Ratio of net investment income (loss) to average net assets | 5.00% (c) | 4.63% (d) | 4.95% | 4.70% | 4.36% (c) | ||||
Portfolio turnover rate (e) | 10% | 61% | 16% | 23% | 49% |
(a) | Inception date is November 4, 2014, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Annualized. |
(d) | Includes excise tax. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer, or economic data relating to the country of issue; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer, or the financial condition of the country of issue; |
5) | the credit quality and cash flow of the issuer, or country of issue, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; |
10) | the business prospects of the issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the issuer’s management (for corporate debt only); |
11) | the economic, political and social prospects/developments of the country of issue and the assessment of the country’s governmental leaders/officials (for sovereign debt only); |
12) | the prospects for the issuer’s industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry (for corporate debt only); and |
13) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from: | |
Ordinary income | $ 1,016,310 |
Capital gains | — |
Return of capital | 2,159,690 |
Undistributed ordinary income | $ — |
Accumulated capital and other gain (loss) | (1,155,653) |
Net unrealized appreciation (depreciation) | (6,232,637) |
Gross Amounts not Offset in the Statement of Assets and Liabilities | |||||||||||
Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | Financial Instruments | Collateral Amounts Received | Net Amount | ||||||
Forward Foreign Currency Contracts* | $ 173,700 | $ — | $ 173,700 | $ (128,586) | $ — | $ 45,114 | |||||
Gross Amounts not Offset in the Statement of Assets and Liabilities | |||||||||||
Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | Financial Instruments | Collateral Amounts Pledged | Net Amount | ||||||
Forward Foreign Currency Contracts* | $ (169,252) | $ — | $ (169,252) | $ 128,586 | $ — | $ (40,666) |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statement of Assets and Liabilities Location | Value | Statement of Assets and Liabilities Location | Value | |||||
Forward foreign currency contracts | Currency Risk | Unrealized appreciation on forward foreign currency contracts | $ 173,700 | Unrealized depreciation on forward foreign currency contracts | $ 169,252 |
Statement of Operations Location | |
Currency Risk Exposure | |
Net realized gain (loss) on forward foreign currency contracts | $349,244 |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | (161,291) |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/img22695b491.jpg)
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/imge63a0b311.jpg)
First Trust RiverFront Dynamic Developed International ETF (RFDI)
First Trust RiverFront Dynamic Europe ETF (RFEU)
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM)
For the Six Months Ended
April 30, 2019
2 | |
Fund Performance Overview | |
3 | |
5 | |
7 | |
9 | |
11 | |
12 | |
13 | |
Portfolio of Investments | |
14 | |
16 | |
20 | |
23 | |
26 | |
27 | |
28 | |
30 | |
34 | |
41 |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/img69652ce62.jpg)
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 4/30/19 | 1 Year Ended 4/30/19 | Inception (4/13/16) to 4/30/19 | Inception (4/13/16) to 4/30/19 | |
Fund Performance | ||||
NAV | 1.10% | -11.34% | 2.49% | 7.78% |
Market Price | 1.33% | -11.59% | 2.43% | 7.58% |
Index Performance | ||||
MSCI Pacific Index | 5.76% | -3.82% | 8.82% | 29.36% |
Sector Allocation | % of Total Investments |
Financials | 19.8% |
Consumer Discretionary | 15.6 |
Industrials | 14.0 |
Information Technology | 13.7 |
Consumer Staples | 9.1 |
Materials | 8.3 |
Communication Services | 7.8 |
Real Estate | 4.6 |
Health Care | 4.1 |
Energy | 1.7 |
Utilities | 1.3 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Keyence Corp. | 2.3% |
Westpac Banking Corp. | 2.1 |
Toyota Motor Corp. | 2.1 |
Australia & New Zealand Banking Group Ltd. | 1.9 |
National Australia Bank Ltd. | 1.8 |
Honda Motor Co., Ltd. | 1.8 |
KDDI Corp. | 1.6 |
DBS Group Holdings Ltd. | 1.6 |
Recruit Holdings Co., Ltd. | 1.5 |
Tokyo Electron Ltd. | 1.4 |
Total | 18.1% |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/img18888d853.jpg)
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.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
4/14/16 – 10/31/16 | 65 | 29 | 12 | 2 |
11/1/16 – 10/31/17 | 127 | 85 | 23 | 0 |
11/1/17 – 10/31/18 | 114 | 22 | 8 | 1 |
11/1/18 – 4/30/19 | 49 | 7 | 0 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
4/14/16 – 10/31/16 | 21 | 8 | 2 | 1 |
11/1/16 – 10/31/17 | 16 | 1 | 0 | 0 |
11/1/17 – 10/31/18 | 94 | 12 | 1 | 0 |
11/1/18 – 4/30/19 | 47 | 18 | 1 | 0 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 4/30/19 | 1 Year Ended 4/30/19 | Inception (4/13/16) to 4/30/19 | Inception (4/13/16) to 4/30/19 | |
Fund Performance | ||||
NAV | 4.68% | -7.19% | 6.62% | 21.58% |
Market Price | 4.42% | -7.51% | 6.61% | 21.54% |
Index Performance | ||||
MSCI EAFE Index | 7.45% | -3.22% | 7.77% | 25.59% |
Sector Allocation | % of Total Investments |
Financials | 16.2% |
Consumer Discretionary | 14.5 |
Industrials | 14.4 |
Consumer Staples | 11.1 |
Health Care | 9.8 |
Information Technology | 7.9 |
Materials | 7.9 |
Energy | 7.6 |
Utilities | 4.0 |
Communication Services | 3.9 |
Real Estate | 1.6 |
Other * | 1.1 |
Total | 100.0% |
* | Exchange-traded funds with holdings representing multiple sectors. |
Top Ten Holdings | % of Total Investments |
Nestle S.A. | 2.7% |
Roche Holding AG | 1.9 |
BP PLC | 1.5 |
LVMH Moet Hennessy Louis Vuitton SE | 1.4 |
GlaxoSmithKline PLC | 1.2 |
L’Oreal S.A. | 1.1 |
Iberdrola S.A. | 1.0 |
Kering S.A. | 0.9 |
Novartis AG | 0.9 |
Safran S.A. | 0.9 |
Total | 13.5% |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/img54d4c80c4.jpg)
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.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
4/14/16 – 10/31/16 | 46 | 70 | 18 | 2 |
11/1/16 – 10/31/17 | 157 | 81 | 7 | 0 |
11/1/17 – 10/31/18 | 158 | 33 | 0 | 0 |
11/1/18 – 4/30/19 | 38 | 1 | 0 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
4/14/16 – 10/31/16 | 4 | 0 | 0 | 0 |
11/1/16 – 10/31/17 | 7 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 52 | 9 | 0 | 0 |
11/1/18 – 4/30/19 | 78 | 5 | 0 | 0 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 4/30/19 | 1 Year Ended 4/30/19 | Inception (4/13/16) to 4/30/19 | Inception (4/13/16) to 4/30/19 | |
Fund Performance | ||||
NAV | 6.51% | -5.00% | 8.69% | 28.89% |
Market Price | 6.96% | -5.30% | 8.69% | 28.89% |
Index Performance | ||||
MSCI Europe Index | 8.48% | -2.97% | 7.33% | 24.06% |
Sector Allocation | % of Total Investments |
Industrials | 14.6% |
Financials | 14.4 |
Consumer Discretionary | 13.9 |
Health Care | 12.7 |
Consumer Staples | 12.2 |
Energy | 10.7 |
Materials | 7.6 |
Utilities | 5.4 |
Information Technology | 4.8 |
Communication Services | 2.0 |
Other * | 1.7 |
Total | 100.0% |
* | Exchange-traded fund with holdings representing multiple sectors. |
Top Ten Holdings | % of Total Investments |
Nestle S.A. | 4.1% |
Roche Holding AG | 3.0 |
BP PLC | 2.3 |
LVMH Moet Hennessy Louis Vuitton SE | 2.1 |
GlaxoSmithKline PLC | 1.8 |
iShares Core MSCI Europe ETF | 1.8 |
L’Oreal S.A. | 1.7 |
Iberdrola S.A. | 1.5 |
Kering S.A. | 1.4 |
Novartis AG | 1.4 |
Total | 21.1% |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/imga3df53e95.jpg)
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.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
4/14/16 – 10/31/16 | 39 | 35 | 2 | 0 |
11/1/16 – 10/31/17 | 134 | 103 | 8 | 0 |
11/1/17 – 10/31/18 | 146 | 10 | 0 | 0 |
11/1/18 – 4/30/19 | 23 | 1 | 0 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
4/14/16 – 10/31/16 | 56 | 8 | 0 | 0 |
11/1/16 – 10/31/17 | 7 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 92 | 4 | 0 | 0 |
11/1/18 – 4/30/19 | 95 | 3 | 0 | 0 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 4/30/19 | 1 Year Ended 4/30/19 | Inception (6/14/16) to 4/30/19 | Inception (6/14/16) to 4/30/19 | |
Fund Performance | ||||
NAV | 12.70% | -11.24% | 11.64% | 37.26% |
Market Price | 13.11% | -11.06% | 11.69% | 37.43% |
Index Performance | ||||
MSCI Emerging Markets Index | 13.76% | -5.04% | 13.40% | 43.58% |
Sector Allocation | % of Total Investments |
Financials | 18.6% |
Information Technology | 15.9 |
Consumer Discretionary | 12.1 |
Industrials | 9.4 |
Materials | 9.2 |
Consumer Staples | 9.0 |
Energy | 8.8 |
Communication Services | 7.2 |
Real Estate | 5.7 |
Utilities | 2.2 |
Health Care | 1.9 |
Other * | 0.0** |
Total | 100.0% |
* | Exchange-traded fund with holdings representing multiple sectors. |
** | Amount is less than 0.1%. |
Top Ten Holdings | % of Total Investments |
Tencent Holdings Ltd. | 4.9% |
Samsung Electronics Co., Ltd. | 4.4 |
Alibaba Group Holding Ltd., ADR | 3.2 |
JBS S.A. | 1.8 |
LUKOIL PJSC | 1.8 |
SK Hynix, Inc. | 1.6 |
Banco Bradesco S.A. (Preference Shares) | 1.6 |
Sinotruk Hong Kong Ltd. | 1.6 |
Tata Consultancy Services Ltd. | 1.6 |
Tech Mahindra Ltd. | 1.5 |
Total | 24.0% |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/img610c43396.jpg)
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.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
6/15/16 – 10/31/16 | 31 | 40 | 16 | 1 |
11/1/16 – 10/31/17 | 130 | 87 | 8 | 0 |
11/1/17 – 10/31/18 | 94 | 66 | 6 | 0 |
11/1/18 – 4/30/19 | 65 | 12 | 2 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
6/15/16 – 10/31/16 | 7 | 2 | 0 | 0 |
11/1/16 – 10/31/17 | 25 | 1 | 1 | 0 |
11/1/17 – 10/31/18 | 53 | 28 | 5 | 0 |
11/1/18 – 4/30/19 | 32 | 10 | 1 | 0 |
Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust RiverFront Dynamic Asia Pacific ETF (RFAP) | ||||
Actual | $1,000.00 | $1,011.00 | 0.83% | $4.14 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.68 | 0.83% | $4.16 |
First Trust RiverFront Dynamic Developed International ETF (RFDI) | ||||
Actual | $1,000.00 | $1,046.80 | 0.83% | $4.21 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.68 | 0.83% | $4.16 |
First Trust RiverFront Dynamic Europe ETF (RFEU) | ||||
Actual | $1,000.00 | $1,065.10 | 0.83% | $4.25 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.68 | 0.83% | $4.16 |
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) | ||||
Actual | $1,000.00 | $1,127.00 | 0.95% | $5.01 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.08 | 0.95% | $4.76 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (November 1, 2018 through April 30, 2019), multiplied by 181/365 (to reflect the six-month period). |
Shares | Description | Value | ||
COMMON STOCKS (a) – 99.2% | ||||
Australia – 13.1% | ||||
24,914 | AGL Energy Ltd. | $390,428 | ||
196,396 | AMP Ltd. | 314,280 | ||
37,746 | Australia & New Zealand Banking Group Ltd. | 723,766 | ||
48,888 | Bank of Queensland Ltd. | 319,478 | ||
12,188 | BHP Group Ltd. | 321,338 | ||
8,314 | Commonwealth Bank of Australia | 436,758 | ||
1,417 | CSL Ltd. | 198,354 | ||
38,049 | National Australia Bank Ltd. | 679,954 | ||
10,294 | Perpetual Ltd. | 296,946 | ||
54,655 | Platinum Asset Management Ltd. | 191,875 | ||
15,240 | Wesfarmers Ltd. | 386,871 | ||
42,520 | Westpac Banking Corp. | 824,598 | ||
5,084,646 | ||||
Bermuda – 1.5% | ||||
1,378,000 | Pacific Basin Shipping Ltd. | 282,809 | ||
212,000 | Shangri-La Asia Ltd. | 300,510 | ||
583,319 | ||||
Canada – 1.0% | ||||
1,567 | Shopify, Inc., Class A (b) | 381,018 | ||
Cayman Islands – 2.8% | ||||
47,045 | AAC Technologies Holdings, Inc. | 304,046 | ||
24,879 | ASM Pacific Technology Ltd. | 288,122 | ||
48,689 | CK Hutchison Holdings Ltd. | 511,418 | ||
1,103,586 | ||||
Hong Kong – 4.0% | ||||
170,000 | Fosun International Ltd. | 263,512 | ||
732,000 | Shun Tak Holdings Ltd. | 325,653 | ||
31,576 | Swire Pacific Ltd., Class A | 399,691 | ||
101,214 | Wharf Holdings (The) Ltd. | 290,941 | ||
37,856 | Wheelock & Co., Ltd. | 269,511 | ||
1,549,308 | ||||
Japan – 72.2% | ||||
86,900 | Acom Co., Ltd. | 304,242 | ||
14,600 | Advantest Corp. | 411,544 | ||
18,800 | Aeon Co., Ltd. | 346,735 | ||
18,900 | Aeon Mall Co., Ltd. | 289,112 | ||
7,100 | AGC, Inc. | 241,245 | ||
8,800 | Aisin Seiki Co., Ltd. | 340,087 | ||
12,100 | Aoyama Trading Co., Ltd. | 264,930 | ||
11,080 | Aozora Bank Ltd. | 269,453 | ||
34,000 | Astellas Pharma, Inc. | 460,577 | ||
14,200 | Capcom Co., Ltd. | 319,323 | ||
600 | Central Japan Railway Co. | 128,704 | ||
21,500 | Credit Saison Co., Ltd. | 273,298 | ||
14,700 | Dai Nippon Printing Co., Ltd. | 347,458 | ||
27,300 | Dai-ichi Life Holdings, Inc. | 390,893 | ||
8,900 | Dentsu, Inc. | 362,328 | ||
2,200 | Disco Corp. | 376,821 |
Shares | Description | Value | ||
Japan (Continued) | ||||
21,200 | DMG Mori Co., Ltd. | $302,599 | ||
14,400 | FamilyMart UNY Holdings Co., Ltd. | 383,672 | ||
5,800 | Fujitsu Ltd. | 423,565 | ||
20,600 | Hakuhodo DY Holdings, Inc. | 346,369 | ||
24,200 | Haseko Corp. | 291,325 | ||
24,400 | Honda Motor Co., Ltd. | 679,244 | ||
7,200 | House Foods Group, Inc. | 288,918 | ||
27,300 | Ishihara Sangyo Kaisha Ltd. | 303,401 | ||
13,900 | Japan Petroleum Exploration Co., Ltd. | 301,596 | ||
16,000 | Japan Steel Works (The) Ltd. | 306,800 | ||
20,600 | Japan Tobacco, Inc. | 476,373 | ||
72,500 | JXTG Holdings, Inc. | 351,908 | ||
23,500 | Kajima Corp. | 347,031 | ||
4,900 | Kaken Pharmaceutical Co., Ltd. | 208,721 | ||
27,400 | KDDI Corp. | 624,891 | ||
1,400 | Keyence Corp. | 868,692 | ||
6,800 | Kikkoman Corp. | 314,987 | ||
5,300 | Lawson, Inc. | 246,932 | ||
121,300 | Leopalace21 Corp. (b) | 204,717 | ||
23,800 | LIXIL Group Corp. | 309,157 | ||
40,600 | Mazda Motor Corp. | 479,459 | ||
49,900 | Mitsubishi Chemical Holdings Corp. | 353,482 | ||
20,600 | Mitsubishi Gas Chemical Co., Inc. | 306,980 | ||
22,500 | Mitsubishi Tanabe Pharma Corp. | 282,373 | ||
20,800 | Mitsubishi UFJ Financial Group, Inc. | 102,679 | ||
60,400 | Mitsubishi UFJ Lease & Finance Co., Ltd. | 305,809 | ||
13,700 | Mitsui OSK Lines Ltd. | 346,820 | ||
13,600 | MS&AD Insurance Group Holdings, Inc. | 419,739 | ||
6,300 | Murata Manufacturing Co., Ltd. | 337,071 | ||
14,100 | NET One Systems Co., Ltd. | 363,022 | ||
39,300 | Nippon Sheet Glass Co., Ltd. | 322,811 | ||
42,600 | Nippon Suisan Kaisha Ltd. | 297,143 | ||
12,400 | Nippon Telegraph & Telephone Corp. | 513,833 | ||
20,200 | Nippon Yusen KK | 343,814 | ||
53,300 | Nissan Motor Co., Ltd. | 427,424 | ||
31,200 | NTT Data Corp. | 362,429 | ||
23,200 | NTT DOCOMO, Inc. | 502,030 | ||
49,500 | Onward Holdings Co., Ltd. | 271,507 | ||
266,200 | Orient Corp. | 279,594 | ||
30,700 | ORIX Corp. | 433,099 | ||
19,100 | Recruit Holdings Co., Ltd. | 570,797 | ||
8,500 | Sankyo Co., Ltd. | 334,598 | ||
200 | Secom Co., Ltd. | 16,766 | ||
13,100 | Seven & i Holdings Co., Ltd. | 453,817 | ||
11,200 | Shimachu Co., Ltd. | 269,556 | ||
9,400 | Showa Denko KK | 317,707 | ||
3,100 | SoftBank Group Corp. | 321,563 | ||
3,800 | Sony Corp. | 177,796 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Japan (Continued) | ||||
24,100 | SUMCO Corp. | $315,867 | ||
72,400 | Sumitomo Chemical Co., Ltd. | 358,766 | ||
27,200 | Sumitomo Electric Industries Ltd. | 360,038 | ||
22,700 | Sumitomo Forestry Co., Ltd. | 311,171 | ||
2,200 | Sumitomo Mitsui Financial Group, Inc. | 79,413 | ||
7,800 | Suntory Beverage & Food Ltd. | 343,103 | ||
11,600 | Taiheiyo Cement Corp. | 371,758 | ||
4,300 | Takeda Pharmaceutical Co., Ltd. | 158,729 | ||
2,800 | Toho Gas Co., Ltd. | 115,122 | ||
16,400 | Tokai Rika Co., Ltd. | 283,995 | ||
11,600 | Tokuyama Corp. | 286,368 | ||
3,400 | Tokyo Electron Ltd. | 538,561 | ||
10,900 | Tokyo Seimitsu Co., Ltd. | 315,077 | ||
56,900 | Tokyu Fudosan Holdings Corp. | 319,758 | ||
15,200 | Toyo Seikan Group Holdings Ltd. | 302,786 | ||
13,200 | Toyota Motor Corp. | 818,223 | ||
9,500 | Tsumura & Co. | 291,238 | ||
28,600 | Zeon Corp. | 278,054 | ||
28,069,393 | ||||
Singapore – 4.6% | ||||
29,600 | DBS Group Holdings Ltd. | 614,808 | ||
1,021,600 | Hutchison Port Holdings Trust | 240,076 | ||
26,100 | Singapore Airlines Ltd. | 185,757 | ||
65,900 | Singapore Exchange Ltd. | 357,578 | ||
138,200 | Wilmar International Ltd. | 369,861 | ||
1,768,080 | ||||
Total Investments – 99.2% | 38,539,350 | |||
(Cost $42,414,189) (c) | ||||
Net Other Assets and Liabilities – 0.8% | 320,666 | |||
Net Assets – 100.0% | $38,860,016 |
(a) | Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
(b) | Non-income producing security. |
(c) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,173,093 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $5,047,932. The net unrealized depreciation was $3,874,839. |
Total Value at 4/30/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 38,539,350 | $ 38,539,350 | $ — | $ — |
* | See Portfolio of Investments for country breakout. |
Currency Exposure Diversification | % of Total Investments |
JPY | 72.8% |
AUD | 13.2 |
HKD | 8.4 |
SGD | 4.0 |
CAD | 1.0 |
USD | 0.6 |
Total | 100.0% |
Currency Abbreviations | |
AUD | Australian Dollar |
CAD | Canadian Dollar |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
SGD | Singapore Dollar |
USD | United States Dollar |
Shares | Description | Value | ||
COMMON STOCKS (a) – 98.1% | ||||
Australia – 4.5% | ||||
73,697 | AGL Energy Ltd. | $1,154,909 | ||
580,946 | AMP Ltd. | 929,651 | ||
111,653 | Australia & New Zealand Banking Group Ltd. | 2,140,906 | ||
144,612 | Bank of Queensland Ltd. | 945,023 | ||
36,051 | BHP Group Ltd. | 950,489 | ||
24,592 | Commonwealth Bank of Australia | 1,291,888 | ||
4,191 | CSL Ltd. | 586,664 | ||
112,552 | National Australia Bank Ltd. | 2,011,358 | ||
30,450 | Perpetual Ltd. | 878,378 | ||
161,670 | Platinum Asset Management Ltd. | 567,567 | ||
45,078 | Wesfarmers Ltd. | 1,144,316 | ||
125,778 | Westpac Banking Corp. | 2,439,235 | ||
15,040,384 | ||||
Austria – 0.5% | ||||
36,705 | Verbund AG | 1,820,463 | ||
Belgium – 0.5% | ||||
22,220 | UCB S.A. | 1,762,480 | ||
Bermuda – 0.5% | ||||
4,075,340 | Pacific Basin Shipping Ltd. | 836,388 | ||
626,975 | Shangri-La Asia Ltd. | 888,737 | ||
1,725,125 | ||||
Canada – 0.3% | ||||
4,651 | Shopify, Inc., Class A (b) | 1,130,898 | ||
Cayman Islands – 1.0% | ||||
139,478 | AAC Technologies Holdings, Inc. | 901,429 | ||
73,521 | ASM Pacific Technology Ltd. | 851,441 | ||
144,360 | CK Hutchison Holdings Ltd. | 1,516,325 | ||
3,269,195 | ||||
Denmark – 2.4% | ||||
16,995 | Carlsberg A.S., Class B | 2,195,259 | ||
34,135 | GN Store Nord A.S. | 1,747,186 | ||
9,802 | Novo Nordisk A.S., Class B | 479,328 | ||
25,720 | Orsted A.S. (c) | 1,969,099 | ||
31,362 | Pandora A.S. | 1,315,486 | ||
9,038 | Topdanmark A.S. | 486,911 | ||
8,193,269 | ||||
Finland – 1.1% | ||||
65,264 | Neste OYJ | 2,155,011 | ||
80,418 | Nordea Bank Abp | 632,953 | ||
69,888 | Stora Enso OYJ, Class R | 867,345 | ||
3,655,309 | ||||
France – 12.0% | ||||
170,295 | Air France-KLM (b) | 1,967,329 | ||
28,876 | Alstom S.A. | 1,269,583 | ||
18,027 | Arkema S.A. | 1,849,237 | ||
31,714 | Casino Guichard Perrachon S.A. | 1,298,320 |
Shares | Description | Value | ||
France (Continued) | ||||
3,824 | Christian Dior SE | $1,893,164 | ||
115,316 | Credit Agricole S.A. | 1,581,809 | ||
622 | Dassault Aviation S.A. | 941,110 | ||
12,572 | Dassault Systemes SE | 1,988,911 | ||
118,759 | Electricite de France S.A. | 1,710,289 | ||
3,476 | Hermes International | 2,445,253 | ||
10,743 | Ipsen S.A. | 1,254,337 | ||
5,206 | Kering S.A. | 3,077,179 | ||
13,707 | L’Oreal S.A. | 3,768,111 | ||
11,586 | LVMH Moet Hennessy Louis Vuitton SE | 4,535,855 | ||
86,871 | Peugeot S.A. | 2,276,070 | ||
20,093 | Safran S.A. | 2,927,466 | ||
12,711 | Sartorius Stedim Biotech | 1,725,056 | ||
33,836 | TOTAL S.A. | 1,880,255 | ||
20,130 | Ubisoft Entertainment S.A. (b) | 1,920,017 | ||
40,309,351 | ||||
Germany – 7.1% | ||||
11,139 | adidas AG | 2,862,261 | ||
83,311 | AIXTRON SE (b) | 957,776 | ||
3,539 | Allianz SE | 852,615 | ||
22,763 | BASF SE | 1,850,741 | ||
2,429 | Bayer AG | 161,664 | ||
33,090 | Covestro AG (c) | 1,809,295 | ||
73,564 | Deutsche Lufthansa AG | 1,775,602 | ||
33,717 | Evonik Industries AG | 1,004,419 | ||
13,510 | Fraport AG Frankfurt Airport Services Worldwide | 1,118,884 | ||
9,056 | MTU Aero Engines AG | 2,129,967 | ||
46,767 | Salzgitter AG | 1,540,570 | ||
8,998 | SAP SE | 1,156,359 | ||
10,500 | Sartorius AG (Preference Shares) | 1,921,973 | ||
128,046 | Schaeffler AG (Preference Shares) | 1,092,921 | ||
11,844 | Wirecard AG | 1,776,101 | ||
38,020 | Zalando SE (b) (c) | 1,788,457 | ||
23,799,605 | ||||
Hong Kong – 1.4% | ||||
502,825 | Fosun International Ltd. | 779,415 | ||
2,166,610 | Shun Tak Holdings Ltd. | 963,883 | ||
93,957 | Swire Pacific Ltd., Class A | 1,189,314 | ||
299,992 | Wharf Holdings (The) Ltd. | 862,332 | ||
112,649 | Wheelock & Co., Ltd. | 801,989 | ||
4,596,933 | ||||
Italy – 3.7% | ||||
823,957 | A2A S.p.A. | 1,376,984 | ||
167,102 | Banca Mediolanum S.p.A. | 1,226,674 | ||
40,299 | Enel S.p.A. | 254,879 | ||
151,460 | Eni S.p.A. | 2,585,196 | ||
110,335 | Mediobanca Banca di Credito Finanziario S.p.A. | 1,169,454 | ||
31,060 | Moncler S.p.A. | 1,273,985 | ||
202,423 | Snam S.p.A. | 1,030,070 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Italy (Continued) | ||||
349,036 | Unipol Gruppo S.p.A. | $1,775,748 | ||
643,378 | UnipolSai Assicurazioni S.p.A. | 1,762,178 | ||
12,455,168 | ||||
Japan – 24.7% | ||||
257,000 | Acom Co., Ltd. | 899,771 | ||
43,000 | Advantest Corp. | 1,212,083 | ||
55,400 | Aeon Co., Ltd. | 1,021,763 | ||
55,800 | Aeon Mall Co., Ltd. | 853,568 | ||
20,900 | AGC, Inc. | 710,144 | ||
26,100 | Aisin Seiki Co., Ltd. | 1,008,667 | ||
35,800 | Aoyama Trading Co., Ltd. | 783,843 | ||
32,860 | Aozora Bank Ltd. | 799,118 | ||
100,300 | Astellas Pharma, Inc. | 1,358,703 | ||
41,900 | Capcom Co., Ltd. | 942,228 | ||
1,800 | Central Japan Railway Co. | 386,112 | ||
63,700 | Credit Saison Co., Ltd. | 809,724 | ||
43,200 | Dai Nippon Printing Co., Ltd. | 1,021,101 | ||
80,800 | Dai-ichi Life Holdings, Inc. | 1,156,928 | ||
26,400 | Dentsu, Inc. | 1,074,770 | ||
6,300 | Disco Corp. | 1,079,079 | ||
62,800 | DMG Mori Co., Ltd. | 896,378 | ||
42,400 | FamilyMart UNY Holdings Co., Ltd. | 1,129,702 | ||
17,300 | Fujitsu Ltd. | 1,263,391 | ||
61,000 | Hakuhodo DY Holdings, Inc. | 1,025,656 | ||
71,600 | Haseko Corp. | 861,938 | ||
72,400 | Honda Motor Co., Ltd. | 2,015,462 | ||
21,300 | House Foods Group, Inc. | 854,715 | ||
80,600 | Ishihara Sangyo Kaisha Ltd. | 895,757 | ||
40,800 | Japan Petroleum Exploration Co., Ltd. | 885,261 | ||
47,400 | Japan Steel Works (The) Ltd. | 908,895 | ||
61,100 | Japan Tobacco, Inc. | 1,412,932 | ||
214,600 | JXTG Holdings, Inc. | 1,041,647 | ||
69,500 | Kajima Corp. | 1,026,325 | ||
14,700 | Kaken Pharmaceutical Co., Ltd. | 626,164 | ||
81,000 | KDDI Corp. | 1,847,305 | ||
4,300 | Keyence Corp. | 2,668,127 | ||
20,100 | Kikkoman Corp. | 931,065 | ||
16,000 | Lawson, Inc. | 745,455 | ||
358,900 | Leopalace21 Corp. | 605,711 | ||
70,300 | LIXIL Group Corp. | 913,184 | ||
120,400 | Mazda Motor Corp. | 1,421,843 | ||
147,300 | Mitsubishi Chemical Holdings Corp. | 1,043,444 | ||
61,100 | Mitsubishi Gas Chemical Co., Inc. | 910,508 | ||
66,300 | Mitsubishi Tanabe Pharma Corp. | 832,061 | ||
61,700 | Mitsubishi UFJ Financial Group, Inc. | 304,581 | ||
178,800 | Mitsubishi UFJ Lease & Finance Co., Ltd. | 905,276 | ||
40,600 | Mitsui OSK Lines Ltd. | 1,027,802 |
Shares | Description | Value | ||
Japan (Continued) | ||||
40,600 | MS&AD Insurance Group Holdings, Inc. | $1,253,044 | ||
17,900 | Murata Manufacturing Co., Ltd. | 957,709 | ||
41,500 | NET One Systems Co., Ltd. | 1,068,468 | ||
116,100 | Nippon Sheet Glass Co., Ltd. | 953,647 | ||
126,100 | Nippon Suisan Kaisha Ltd. | 879,570 | ||
36,800 | Nippon Telegraph & Telephone Corp. | 1,524,923 | ||
59,900 | Nippon Yusen KK | 1,019,529 | ||
157,500 | Nissan Motor Co., Ltd. | 1,263,026 | ||
92,300 | NTT Data Corp. | 1,072,186 | ||
68,700 | NTT DOCOMO, Inc. | 1,486,614 | ||
146,300 | Onward Holdings Co., Ltd. | 802,453 | ||
787,300 | Orient Corp. | 826,914 | ||
90,600 | ORIX Corp. | 1,278,135 | ||
56,400 | Recruit Holdings Co., Ltd. | 1,685,494 | ||
25,100 | Sankyo Co., Ltd. | 988,047 | ||
800 | Secom Co., Ltd. | 67,062 | ||
38,900 | Seven & i Holdings Co., Ltd. | 1,347,593 | ||
33,000 | Shimachu Co., Ltd. | 794,228 | ||
27,900 | Showa Denko KK | 942,982 | ||
8,900 | SoftBank Group Corp. | 923,197 | ||
11,200 | Sony Corp. | 524,031 | ||
71,300 | SUMCO Corp. | 934,494 | ||
214,400 | Sumitomo Chemical Co., Ltd. | 1,062,425 | ||
80,500 | Sumitomo Electric Industries Ltd. | 1,065,553 | ||
67,000 | Sumitomo Forestry Co., Ltd. | 918,434 | ||
6,200 | Sumitomo Mitsui Financial Group, Inc. | 223,800 | ||
23,100 | Suntory Beverage & Food Ltd. | 1,016,114 | ||
34,200 | Taiheiyo Cement Corp. | 1,096,046 | ||
12,800 | Takeda Pharmaceutical Co., Ltd. | 472,495 | ||
8,200 | Toho Gas Co., Ltd. | 337,143 | ||
48,500 | Tokai Rika Co., Ltd. | 839,863 | ||
34,300 | Tokuyama Corp. | 846,761 | ||
10,000 | Tokyo Electron Ltd. | 1,584,003 | ||
32,000 | Tokyo Seimitsu Co., Ltd. | 924,997 | ||
168,300 | Tokyu Fudosan Holdings Corp. | 945,786 | ||
44,800 | Toyo Seikan Group Holdings Ltd. | 892,421 | ||
39,100 | Toyota Motor Corp. | 2,423,677 | ||
28,300 | Tsumura & Co. | 867,584 | ||
84,800 | Zeon Corp. | 824,439 | ||
83,053,074 | ||||
Luxembourg – 0.5% | ||||
81,705 | ArcelorMittal | 1,771,224 | ||
Netherlands – 3.5% | ||||
1,536 | ASML Holding N.V. | 319,644 | ||
22,498 | EXOR N.V. | 1,497,876 | ||
139,108 | Fiat Chrysler Automobiles N.V. | 2,142,827 | ||
106,585 | Koninklijke Ahold Delhaize N.V. | 2,565,451 | ||
21,058 | Randstad N.V. | 1,202,662 | ||
191,142 | TomTom NV (b) | 1,648,191 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Netherlands (Continued) | ||||
8,947 | Unilever N.V. | $541,486 | ||
26,563 | Wolters Kluwer N.V. | 1,852,532 | ||
11,770,669 | ||||
Norway – 2.5% | ||||
32,063 | Aker BP ASA | 1,057,314 | ||
113,381 | DNB ASA | 2,176,954 | ||
581,677 | DNO ASA | 1,319,442 | ||
91,331 | Equinor ASA | 2,037,294 | ||
91,696 | Telenor ASA | 1,840,839 | ||
8,431,843 | ||||
Portugal – 0.4% | ||||
84,859 | Galp Energia SGPS S.A. | 1,424,812 | ||
Singapore – 1.6% | ||||
87,300 | DBS Group Holdings Ltd. | 1,813,267 | ||
3,022,100 | Hutchison Port Holdings Trust | 710,194 | ||
77,100 | Singapore Airlines Ltd. | 548,730 | ||
194,900 | Singapore Exchange Ltd. | 1,057,541 | ||
409,100 | Wilmar International Ltd. | 1,094,864 | ||
5,224,596 | ||||
Spain – 2.0% | ||||
69,913 | Banco Santander S.A. | 353,767 | ||
149,616 | Ence Energia y Celulosa S.A. | 804,142 | ||
59,045 | Endesa S.A. | 1,470,854 | ||
351,889 | Iberdrola S.A. | 3,196,108 | ||
130,916 | International Consolidated Airlines Group S.A. | 922,541 | ||
6,747,412 | ||||
Sweden – 6.3% | ||||
16,066 | Atlas Copco AB, Class A | 499,380 | ||
92,086 | Axfood AB | 1,689,558 | ||
78,042 | Elekta AB, Class B | 924,459 | ||
44,365 | Lundin Petroleum AB | 1,451,872 | ||
141,736 | Sandvik AB | 2,621,410 | ||
707,116 | SAS AB (b) | 1,289,571 | ||
200,469 | Skandinaviska Enskilda Banken AB, Class A | 1,912,837 | ||
97,168 | SKF AB, Class B | 1,798,147 | ||
180,414 | Svenska Handelsbanken AB, Class A | 1,969,002 | ||
113,002 | Swedbank AB, Class A | 1,832,967 | ||
37,858 | Swedish Match AB | 1,844,039 | ||
59,523 | Volvo AB, Class A | 952,027 | ||
148,329 | Volvo AB, Class B | 2,373,976 | ||
21,159,245 | ||||
Switzerland – 9.2% | ||||
7,507 | Alcon, Inc. (b) | 432,318 | ||
42,154 | Logitech International S.A. | 1,648,182 | ||
94,597 | Nestle S.A. | 9,102,739 | ||
36,900 | Novartis AG | 3,013,346 | ||
72,661 | OC Oerlikon Corp. AG | 948,419 |
Shares | Description | Value | ||
Switzerland (Continued) | ||||
78,887 | Oriflame Holding AG | $1,632,205 | ||
2,717 | Partners Group Holding AG | 2,046,783 | ||
24,617 | Roche Holding AG | 6,489,157 | ||
5,810 | Roche Holding AG | 1,520,139 | ||
616 | SGS S.A. | 1,625,619 | ||
6,551 | Sika AG | 1,002,950 | ||
8,420 | Temenos AG | 1,399,821 | ||
30,861,678 | ||||
United Kingdom – 12.4% | ||||
168,242 | 3i Group PLC | 2,348,544 | ||
69,587 | Ashtead Group PLC | 1,925,533 | ||
26,885 | Berkeley Group Holdings PLC | 1,316,780 | ||
44,300 | BHP Group PLC | 1,045,240 | ||
704,433 | BP PLC | 5,134,866 | ||
12,866 | British American Tobacco PLC | 501,640 | ||
39,534 | Diageo PLC | 1,666,945 | ||
257,248 | Evraz PLC | 2,105,293 | ||
195,760 | GlaxoSmithKline PLC | 4,016,434 | ||
74,291 | Hargreaves Lansdown PLC | 2,186,479 | ||
64,857 | Hikma Pharmaceuticals PLC | 1,493,146 | ||
307,631 | HSBC Holdings PLC | 2,676,077 | ||
601,178 | Legal & General Group PLC | 2,180,910 | ||
471,530 | Man Group PLC | 962,894 | ||
51,475 | Mondi PLC | 1,128,009 | ||
25,881 | NMC Health PLC | 952,392 | ||
269,367 | Pagegroup PLC | 1,889,749 | ||
57,678 | Pearson PLC | 624,411 | ||
45,190 | Persimmon PLC | 1,317,625 | ||
63,706 | Royal Dutch Shell PLC, Class A | 2,035,279 | ||
43,419 | Royal Dutch Shell PLC, Class B | 1,395,360 | ||
149,785 | Sage Group (The) PLC | 1,416,849 | ||
417,409 | Taylor Wimpey PLC | 987,363 | ||
284,978 | William Hill PLC | 597,179 | ||
41,904,997 | ||||
Total Common Stocks | 330,107,730 | |||
(Cost $343,620,801) | ||||
EXCHANGE-TRADED FUNDS (a) – 1.1% | ||||
United States – 1.1% | ||||
28,135 | iShares Core MSCI Europe ETF | 1,342,039 | ||
36,100 | iShares MSCI EAFE ETF | 2,410,036 | ||
Total Exchange-Traded Funds | 3,752,075 | |||
(Cost $3,682,847) | ||||
Total Investments – 99.2% | 333,859,805 | |||
(Cost $347,303,648) (d) | ||||
Net Other Assets and Liabilities – 0.8% | 2,792,583 | |||
Net Assets – 100.0% | $336,652,388 |
(a) | Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
(b) | Non-income producing security. |
(c) | This security is restricted in the U.S. and cannot be offered for public sale without first being registered under the Securities Act of 1933, as amended. 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. |
(d) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $17,336,735 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $30,780,578. The net unrealized depreciation was $13,443,843. |
Total Value at 4/30/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 330,107,730 | $ 330,107,730 | $ — | $ — |
Exchange-Traded Funds* | 3,752,075 | 3,752,075 | — | — |
Total Investments | $ 333,859,805 | $ 333,859,805 | $— | $— |
* | See Portfolio of Investments for country breakout. |
Currency Exposure Diversification | % of Total Investments |
EUR | 31.1% |
JPY | 24.9 |
GBP | 12.8 |
CHF | 8.8 |
SEK | 7.0 |
AUD | 4.5 |
HKD | 2.9 |
NOK | 2.5 |
DKK | 2.5 |
SGD | 1.4 |
USD | 1.3 |
CAD | 0.3 |
Total | 100.0% |
Currency Abbreviations | |
AUD | Australian Dollar |
CAD | Canadian Dollar |
CHF | Swiss Franc |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound Sterling |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
NOK | Norwegian Krone |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | United States Dollar |
Shares | Description | Value | ||
COMMON STOCKS (a) – 97.4% | ||||
Austria – 0.8% | ||||
10,993 | Verbund AG | $545,221 | ||
Belgium – 0.8% | ||||
6,687 | UCB S.A. | 530,410 | ||
Denmark – 3.7% | ||||
5,112 | Carlsberg A.S., Class B | 660,322 | ||
10,272 | GN Store Nord A.S. | 525,768 | ||
2,947 | Novo Nordisk A.S., Class B | 144,111 | ||
7,749 | Orsted A.S. (b) | 593,256 | ||
9,449 | Pandora A.S. | 396,341 | ||
2,722 | Topdanmark A.S. | 146,644 | ||
2,466,442 | ||||
Finland – 1.7% | ||||
19,617 | Neste OYJ | 647,752 | ||
24,407 | Nordea Bank Abp | 192,102 | ||
20,999 | Stora Enso OYJ, Class R | 260,608 | ||
1,100,462 | ||||
France – 18.2% | ||||
51,547 | Air France-KLM (c) | 595,496 | ||
8,701 | Alstom S.A. | 382,554 | ||
5,431 | Arkema S.A. | 557,120 | ||
9,607 | Casino Guichard Perrachon S.A. | 393,295 | ||
1,149 | Christian Dior SE | 568,840 | ||
34,775 | Credit Agricole S.A. | 477,014 | ||
187 | Dassault Aviation S.A. | 282,938 | ||
3,763 | Dassault Systemes SE | 595,313 | ||
35,798 | Electricite de France S.A. | 515,539 | ||
1,044 | Hermes International | 734,420 | ||
3,225 | Ipsen S.A. | 376,546 | ||
1,560 | Kering S.A. | 922,090 | ||
4,125 | L’Oreal S.A. | 1,133,980 | ||
3,474 | LVMH Moet Hennessy Louis Vuitton SE | 1,360,052 | ||
26,054 | Peugeot S.A. | 682,630 | ||
6,047 | Safran S.A. | 881,023 | ||
3,824 | Sartorius Stedim Biotech | 518,969 | ||
10,194 | TOTAL S.A. | 566,477 | ||
6,033 | Ubisoft Entertainment S.A. (c) | 575,433 | ||
12,119,729 | ||||
Germany – 10.7% | ||||
3,343 | adidas AG | 859,012 | ||
25,519 | AIXTRON SE (c) | 293,377 | ||
1,065 | Allianz SE | 256,579 | ||
6,853 | BASF SE | 557,182 | ||
732 | Bayer AG | 48,719 | ||
9,939 | Covestro AG (b) | 543,444 | ||
22,187 | Deutsche Lufthansa AG | 535,524 | ||
10,144 | Evonik Industries AG | 302,187 | ||
4,072 | Fraport AG Frankfurt Airport Services Worldwide | 337,239 | ||
2,723 | MTU Aero Engines AG | 640,448 | ||
14,116 | Salzgitter AG | 465,001 |
Shares | Description | Value | ||
Germany (Continued) | ||||
2,704 | SAP SE | $347,499 | ||
3,169 | Sartorius AG (Preference Shares) | 580,070 | ||
38,561 | Schaeffler AG (Preference Shares) | 329,132 | ||
3,544 | Wirecard AG | 531,451 | ||
11,483 | Zalando SE (b) (c) | 540,159 | ||
7,167,023 | ||||
Italy – 5.6% | ||||
247,840 | A2A S.p.A. | 414,186 | ||
50,067 | Banca Mediolanum S.p.A. | 367,536 | ||
12,137 | Enel S.p.A. | 76,763 | ||
45,650 | Eni S.p.A. | 779,177 | ||
33,196 | Mediobanca Banca di Credito Finanziario S.p.A. | 351,848 | ||
9,329 | Moncler S.p.A. | 382,647 | ||
60,847 | Snam S.p.A. | 309,632 | ||
105,036 | Unipol Gruppo S.p.A. | 534,379 | ||
193,708 | UnipolSai Assicurazioni S.p.A. | 530,556 | ||
3,746,724 | ||||
Luxembourg – 0.8% | ||||
24,617 | ArcelorMittal | 533,654 | ||
Netherlands – 5.3% | ||||
464 | ASML Holding N.V. | 96,559 | ||
6,774 | EXOR N.V. | 451,001 | ||
41,649 | Fiat Chrysler Automobiles N.V. | 641,563 | ||
32,069 | Koninklijke Ahold Delhaize N.V. | 771,886 | ||
6,360 | Randstad N.V. | 363,232 | ||
57,488 | TomTom NV (c) | 495,711 | ||
2,696 | Unilever N.V. | 163,166 | ||
7,978 | Wolters Kluwer N.V. | 556,394 | ||
3,539,512 | ||||
Norway – 3.8% | ||||
9,615 | Aker BP ASA | 317,066 | ||
34,407 | DNB ASA | 660,626 | ||
173,550 | DNO ASA | 393,671 | ||
27,437 | Equinor ASA | 612,029 | ||
27,480 | Telenor ASA | 551,673 | ||
2,535,065 | ||||
Portugal – 0.7% | ||||
25,637 | Galp Energia SGPS S.A. | 430,454 | ||
Spain – 3.0% | ||||
21,147 | Banco Santander S.A. | 107,006 | ||
45,219 | Ence Energia y Celulosa S.A. | 243,039 | ||
17,744 | Endesa S.A. | 442,016 | ||
105,947 | Iberdrola S.A. | 962,287 | ||
39,327 | International Consolidated Airlines Group S.A. | 277,130 | ||
2,031,478 | ||||
Sweden – 9.5% | ||||
4,817 | Atlas Copco AB, Class A | 149,727 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Sweden (Continued) | ||||
27,627 | Axfood AB | $506,889 | ||
23,462 | Elekta AB, Class B | 277,923 | ||
13,289 | Lundin Petroleum AB | 434,891 | ||
42,555 | Sandvik AB | 787,056 | ||
213,875 | SAS AB (c) | 390,045 | ||
60,496 | Skandinaviska Enskilda Banken AB, Class A | 577,241 | ||
29,211 | SKF AB, Class B | 540,566 | ||
54,339 | Svenska Handelsbanken AB, Class A | 593,045 | ||
34,109 | Swedbank AB, Class A | 553,270 | ||
11,367 | Swedish Match AB | 553,679 | ||
17,881 | Volvo AB, Class A | 285,993 | ||
44,543 | Volvo AB, Class B | 712,902 | ||
6,363,227 | ||||
Switzerland – 13.9% | ||||
2,224 | Alcon, Inc. (c) | 128,077 | ||
12,673 | Logitech International S.A. | 495,503 | ||
28,501 | Nestle S.A. | 2,742,552 | ||
11,120 | Novartis AG | 908,087 | ||
21,879 | OC Oerlikon Corp. AG | 285,579 | ||
23,653 | Oriflame Holding AG | 489,391 | ||
818 | Partners Group Holding AG | 616,219 | ||
7,417 | Roche Holding AG | 1,955,156 | ||
1,752 | Roche Holding AG | 458,397 | ||
186 | SGS S.A. | 490,852 | ||
1,968 | Sika AG | 301,298 | ||
2,510 | Temenos AG | 417,286 | ||
9,288,397 | ||||
United Kingdom – 18.9% | ||||
50,601 | 3i Group PLC | 706,356 | ||
20,977 | Ashtead Group PLC | 580,452 | ||
8,087 | Berkeley Group Holdings PLC | 396,087 | ||
13,343 | BHP Group PLC | 314,822 | ||
212,244 | BP PLC | 1,547,123 | ||
3,882 | British American Tobacco PLC | 151,358 | ||
11,923 | Diageo PLC | 502,731 | ||
77,198 | Evraz PLC | 631,781 | ||
58,803 | GlaxoSmithKline PLC | 1,206,469 | ||
22,393 | Hargreaves Lansdown PLC | 659,055 | ||
19,540 | Hikma Pharmaceuticals PLC | 449,852 | ||
92,873 | HSBC Holdings PLC | 807,901 | ||
181,219 | Legal & General Group PLC | 657,413 | ||
142,401 | Man Group PLC | 290,792 | ||
15,560 | Mondi PLC | 340,977 | ||
7,748 | NMC Health PLC | 285,118 | ||
80,905 | Pagegroup PLC | 567,591 | ||
17,387 | Pearson PLC | 188,228 | ||
13,554 | Persimmon PLC | 395,200 | ||
19,160 | Royal Dutch Shell PLC, Class A | 612,124 | ||
13,061 | Royal Dutch Shell PLC, Class B | 419,742 | ||
45,074 | Sage Group (The) PLC | 426,365 | ||
125,611 | Taylor Wimpey PLC | 297,127 |
Shares | Description | Value | ||
United Kingdom (Continued) | ||||
86,438 | William Hill PLC | $181,133 | ||
12,615,797 | ||||
Total Common Stocks | 65,013,595 | |||
(Cost $65,864,174) | ||||
EXCHANGE-TRADED FUNDS (a) – 1.7% | ||||
United States – 1.7% | ||||
24,316 | iShares Core MSCI Europe ETF | 1,159,873 | ||
(Cost $1,117,908) | ||||
Total Investments – 99.1% | 66,173,468 | |||
(Cost $66,982,082) (d) | ||||
Net Other Assets and Liabilities – 0.9% | 572,800 | |||
Net Assets – 100.0% | $66,746,268 |
(a) | Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
(b) | This security is restricted in the U.S. and cannot be offered for public sale without first being registered under the Securities Act of 1933, as amended. 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. |
(c) | Non-income producing security. |
(d) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $4,031,089 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $4,839,703. The net unrealized depreciation was $808,614. |
Total Value at 4/30/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 65,013,595 | $ 65,013,595 | $ — | $ — |
Exchange-Traded Funds* | 1,159,873 | 1,159,873 | — | — |
Total Investments | $ 66,173,468 | $ 66,173,468 | $— | $— |
* | See Portfolio of Investments for country breakout. |
Currency Exposure Diversification | % of Total Investments |
EUR | 47.3% |
GBP | 19.5 |
CHF | 13.3 |
SEK | 10.6 |
NOK | 3.8 |
DKK | 3.7 |
USD | 1.8 |
Total | 100.0% |
Currency Abbreviations | |
CHF | Swiss Franc |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound Sterling |
NOK | Norwegian Krone |
SEK | Swedish Krona |
USD | United States Dollar |
Shares | Description | Value | ||
COMMON STOCKS (a) – 98.6% | ||||
Bermuda – 3.2% | ||||
907,118 | Alibaba Health Information Technology Ltd. (b) | $1,084,638 | ||
1,288,000 | China Oriental Group Co., Ltd. | 789,731 | ||
1,031,154 | Hopson Development Holdings Ltd. | 1,131,735 | ||
841,764 | Nine Dragons Paper Holdings Ltd. | 777,940 | ||
3,784,044 | ||||
Brazil – 12.7% | ||||
70,901 | B2W Cia Digital (b) | 691,633 | ||
203,534 | Banco Bradesco S.A. (Preference Shares) | 1,846,868 | ||
90,890 | Banco do Brasil S.A. | 1,151,569 | ||
254,219 | Banco do Estado do Rio Grande do Sul S.A., Class B (Preference Shares) | 1,583,236 | ||
84,729 | Banco Santander Brasil S.A. | 972,598 | ||
96,833 | Centrais Eletricas Brasileiras S.A. | 807,539 | ||
93,262 | Centrais Eletricas Brasileiras S.A., Class B (Preference Shares) | 824,138 | ||
39,136 | Cia Brasileira de Distribuicao (Preference Shares) | 963,154 | ||
415,451 | JBS S.A. | 2,094,684 | ||
20,522 | Magazine Luiza S.A. | 1,001,004 | ||
457,196 | Metalurgica Gerdau S.A. (Preference Shares) | 792,873 | ||
193,222 | Petro Rio S.A. (b) | 909,170 | ||
81,967 | Suzano Papel e Celulose S.A. | 851,423 | ||
34,905 | TOTVS S.A. | 396,577 | ||
14,886,466 | ||||
Cayman Islands – 15.4% | ||||
20,253 | Alibaba Group Holding Ltd., ADR (b) | 3,758,349 | ||
1,810 | Baidu, Inc., ADR (b) | 300,876 | ||
23,979 | Baozun, Inc., ADR (b) | 1,162,981 | ||
4,410,000 | Bosideng International Holdings Ltd. | 1,214,257 | ||
1,431,194 | Dongyue Group Ltd. | 1,041,724 | ||
28,942 | Huazhu Group Ltd., ADR | 1,227,141 | ||
33,767 | TAL Education Group, ADR (b) | 1,299,016 | ||
115,766 | Tencent Holdings Ltd. | 5,725,730 | ||
278,000 | Yihai International Holding Ltd. | 1,371,431 | ||
1,641,677 | Yuzhou Properties Co., Ltd. | 866,376 | ||
17,967,881 | ||||
Chile – 0.8% | ||||
69,552 | Cia Cervecerias Unidas S.A. | 958,099 | ||
China – 7.1% | ||||
1,189,000 | Bank of Communications Co., Ltd., Class H | 1,001,847 |
Shares | Description | Value | ||
China (Continued) | ||||
964,000 | China Communications Services Corp., Ltd., Class H | $776,627 | ||
1,167,976 | China Construction Bank Corp., Class H | 1,031,776 | ||
1,818,000 | China Everbright Bank Co., Ltd., Class H | 896,857 | ||
464,000 | Guangzhou R&F Properties Co., Ltd., Class H | 921,517 | ||
757,000 | Hisense Home Appliances Group Co., Ltd., Class H | 1,034,448 | ||
833,271 | Industrial & Commercial Bank of China Ltd., Class H | 625,633 | ||
606,000 | Weichai Power Co., Ltd., Class H | 990,327 | ||
1,752,800 | Zoomlion Heavy Industry Science and Technology Co., Ltd., Class H | 1,027,799 | ||
8,306,831 | ||||
Colombia – 0.8% | ||||
73,298 | Bancolombia S.A. (Preference Shares) | 927,206 | ||
Hong Kong – 3.5% | ||||
56,960 | China Mobile Ltd. | 542,749 | ||
5,153,171 | China South City Holdings Ltd. | 781,699 | ||
1,930,500 | Sino-Ocean Group Holding Ltd. | 866,225 | ||
851,895 | Sinotruk Hong Kong Ltd. | 1,843,919 | ||
4,034,592 | ||||
Hungary – 0.8% | ||||
84,212 | MOL Hungarian Oil & Gas PLC | 966,871 | ||
India – 7.7% | ||||
137,303 | Axis Bank Ltd. (b) | 1,513,805 | ||
26,319 | Dr Reddy’s Laboratories Ltd. | 1,110,125 | ||
76,314 | Gujarat Narmada Valley Fertilizers & Chemicals Ltd. | 343,916 | ||
15,482 | Hindustan Unilever Ltd. | 391,247 | ||
341,939 | Indiabulls Real Estate Ltd. (b) | 565,607 | ||
537,972 | Power Finance Corp., Ltd. (b) | 894,122 | ||
335,603 | Reliance Capital Ltd. | 641,496 | ||
55,842 | Tata Consultancy Services Ltd. | 1,814,747 | ||
140,963 | Tech Mahindra Ltd. | 1,694,505 | ||
8,969,570 | ||||
Indonesia – 4.7% | ||||
1,646,684 | Bank Danamon Indonesia Tbk PT | 1,022,677 | ||
7,966,280 | Bank Pan Indonesia Tbk PT (b) | 723,953 | ||
11,460,921 | Bank Permata Tbk PT (b) | 756,019 | ||
3,087,075 | Bukit Asam Tbk PT | 857,882 | ||
1,898,019 | Charoen Pokphand Indonesia Tbk PT | 702,600 | ||
6,141,255 | Japfa Comfeed Indonesia Tbk PT | 672,306 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Indonesia (Continued) | ||||
1,112,327 | Pabrik Kertas Tjiwi Kimia Tbk PT | $786,435 | ||
5,521,872 | ||||
Israel – 1.5% | ||||
3,068 | Israel (The) Corp., Ltd. (b) | 738,701 | ||
7,333 | Nice, Ltd. (b) | 1,011,715 | ||
1,750,416 | ||||
Malaysia – 2.1% | ||||
552,400 | AMMB Holdings Bhd | 597,225 | ||
109,300 | British American Tobacco Malaysia Bhd | 921,562 | ||
155,300 | Heineken Malaysia Bhd | 920,269 | ||
2,439,056 | ||||
Mexico – 1.7% | ||||
880,000 | Alfa S.A.B. de C.V., Class A | 886,603 | ||
676,201 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander | 1,135,339 | ||
2,021,942 | ||||
Philippines – 1.4% | ||||
479,450 | San Miguel Corp. | 1,660,652 | ||
Poland – 2.2% | ||||
60,105 | Asseco Poland S.A. | 833,601 | ||
37,448 | Grupa Lotos S.A. | 814,920 | ||
57,941 | Jastrzebska Spolka Weglowa S.A. (b) | 880,157 | ||
2,528,678 | ||||
Russia – 8.3% | ||||
622,387 | Gazprom PJSC | 1,578,198 | ||
222,927 | Gazprom PJSC, ADR | 1,113,297 | ||
15,221,869 | Inter RAO UES PJSC | 922,876 | ||
24,253 | LUKOIL PJSC | 2,067,214 | ||
1,349,633 | Magnitogorsk Iron & Steel Works PJSC | 922,630 | ||
562,555 | Raspadskaya OJSC (b) | 1,189,212 | ||
2,385,285 | Surgutneftegas PJSC | 906,247 | ||
1,603,191 | Surgutneftegas PJSC (Preference Shares) | 971,120 | ||
9,670,794 | ||||
South Africa – 2.1% | ||||
10,939 | Capitec Bank Holdings Ltd. | 1,022,164 | ||
5,599 | Naspers Ltd., Class N | 1,430,612 | ||
2,452,776 | ||||
South Korea – 11.5% | ||||
41,797 | Cheil Worldwide, Inc. | 910,614 | ||
126,209 | Doosan Infracore Co., Ltd. (b) | 785,464 | ||
16,828 | Fila Korea Ltd. | 1,187,028 |
Shares | Description | Value | ||
South Korea (Continued) | ||||
74,914 | Hanwha General Insurance Co., Ltd. | $322,576 | ||
12,605 | Hyosung Corp. | 810,371 | ||
67,782 | Hyundai Greenfood Co., Ltd. | 809,450 | ||
68,500 | KT Corp., ADR | 824,055 | ||
131,410 | Samsung Electronics Co., Ltd. | 5,157,855 | ||
24,910 | Samsung Electronics Co., Ltd. (Preference Shares) | 793,265 | ||
27,716 | SK Hynix, Inc. | 1,874,386 | ||
13,475,064 | ||||
Taiwan – 7.7% | ||||
155,057 | Novatek Microelectronics Corp. | 1,011,099 | ||
548,961 | Ruentex Development Co., Ltd. | 753,243 | ||
1,678,536 | Shinkong Synthetic Fibers Corp. | 738,749 | ||
126,400 | Simplo Technology Co., Ltd. | 1,071,706 | ||
2,336,108 | Taiwan Business Bank | 963,897 | ||
1,399,199 | Taiwan Cooperative Financial Holding Co., Ltd. | 928,241 | ||
112,590 | Taiwan Semiconductor Manufacturing Co., Ltd. | 943,685 | ||
147,305 | Walsin Technology Corp. | 900,963 | ||
59,789 | Yageo Corp. | 589,164 | ||
1,827,970 | Yuanta Financial Holding Co., Ltd. | 1,058,887 | ||
8,959,634 | ||||
Turkey – 3.1% | ||||
131,804 | Coca-Cola Icecek AS | 699,344 | ||
549,069 | Eregli Demir ve Celik Fabrikalari T.A.S. | 842,895 | ||
178,096 | TAV Havalimanlari Holding A.S. | 755,137 | ||
1,172,189 | Trakya Cam Sanayii A.S. | 622,742 | ||
725,835 | Turkiye Sise ve Cam Fabrikalari A.S. | 742,026 | ||
3,662,144 | ||||
United States – 0.3% | ||||
2,559 | KLA-Tencor Corp. | 326,221 | ||
Total Common Stocks | 115,270,809 | |||
(Cost $110,146,177) | ||||
REAL ESTATE INVESTMENT TRUSTS (a) – 0.7% | ||||
Turkey – 0.7% | ||||
3,038,439 | Emlak Konut Gayrimenkul Yatirim Ortakligi A.S. | 768,916 | ||
(Cost $847,368) |
Shares | Description | Value | ||
EXCHANGE-TRADED FUNDS (a) – 0.0% | ||||
United States – 0.0% | ||||
958 | iShares Core MSCI Emerging Markets ETF | $50,621 | ||
(Cost $51,028) | ||||
Total Investments – 99.3% | 116,090,346 | |||
(Cost $111,044,573) (c) | ||||
Net Other Assets and Liabilities – 0.7% | 857,347 | |||
Net Assets – 100.0% | $116,947,693 |
(a) | Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
(b) | Non-income producing security. |
(c) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $10,946,164 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $5,900,391. The net unrealized appreciation was $5,045,773. |
ADR | American Depositary Receipt |
Total Value at 4/30/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 115,270,809 | $ 115,270,809 | $ — | $ — |
Real Estate Investment Trusts* | 768,916 | 768,916 | — | — |
Exchange-Traded Funds* | 50,621 | 50,621 | — | — |
Total Investments | $ 116,090,346 | $ 116,090,346 | $— | $— |
* | See Portfolio of Investments for country breakout. |
Currency Exposure Diversification | % of Total Investments |
HKD | 22.7% |
BRL | 12.8 |
KRW | 10.9 |
USD | 8.7 |
INR | 7.7 |
TWD | 7.7 |
RUB | 7.4 |
IDR | 4.8 |
TRY | 3.8 |
PLN | 2.2 |
ZAR | 2.1 |
MYR | 2.1 |
MXN | 1.8 |
ILS | 1.5 |
PHP | 1.4 |
HUF | 0.8 |
CLP | 0.8 |
COP | 0.8 |
Total | 100.0% |
Currency Abbreviations | |
BRL | Brazilian Real |
CLP | Chilean Peso |
COP | Colombian Peso |
HKD | Hong Kong Dollar |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
PHP | Philippine Peso |
PLN | Polish Zloty |
RUB | Russian Ruble |
TRY | Turkish Lira |
TWD | New Taiwan Dollar |
USD | United States Dollar |
ZAR | South African Rand |
First Trust RiverFront Dynamic Asia Pacific ETF (RFAP) | First Trust RiverFront Dynamic Developed International ETF (RFDI) | First Trust RiverFront Dynamic Europe ETF (RFEU) | First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) | ||||
ASSETS: | |||||||
Investments, at value | $ 38,539,350 | $ 333,859,805 | $ 66,173,468 | $ 116,090,346 | |||
Cash | 10,868 | 673,714 | 157,114 | 328,106 | |||
Foreign currency | — | 202,514 | 59,825 | 32,548 | |||
Receivables: | |||||||
Dividends | 336,147 | 1,439,030 | 122,380 | 131,461 | |||
Dividend reclaims | 219 | 708,773 | 278,773 | 3,192 | |||
Investment securities sold | — | — | — | 504,680 | |||
Total Assets | 38,886,584 | 336,883,836 | 66,791,560 | 117,090,333 | |||
LIABILITIES: | |||||||
Payables: | |||||||
Investment advisory fees payable | 26,568 | 231,448 | 45,292 | 92,225 | |||
Deferred foreign capital gains tax | — | — | — | 50,415 | |||
Total Liabilities | 26,568 | 231,448 | 45,292 | 142,640 | |||
NET ASSETS | $38,860,016 | $336,652,388 | $66,746,268 | $116,947,693 | |||
NET ASSETS consist of: | |||||||
Paid-in capital | $ 48,163,092 | $ 405,135,393 | $ 77,899,747 | $ 129,306,789 | |||
Par value | 7,500 | 58,000 | 11,000 | 18,500 | |||
Accumulated distributable earnings (loss) | (9,310,576) | (68,541,005) | (11,164,479) | (12,377,596) | |||
NET ASSETS | $38,860,016 | $336,652,388 | $66,746,268 | $116,947,693 | |||
NET ASSET VALUE,per share | $51.81 | $58.04 | $60.68 | $63.21 | |||
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 750,002 | 5,800,002 | 1,100,002 | 1,850,002 | |||
Investments, at cost | $42,414,189 | $347,303,648 | $66,982,082 | $111,044,573 | |||
Foreign currency, at cost (proceeds) | $— | $201,916 | $59,639 | $32,462 |
First Trust RiverFront Dynamic Asia Pacific ETF (RFAP) | First Trust RiverFront Dynamic Developed International ETF (RFDI) | First Trust RiverFront Dynamic Europe ETF (RFEU) | First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) | |||||
INVESTMENT INCOME: | ||||||||
Dividends | $ 600,534 | $ 6,384,170 | $ 1,342,706 | $ 1,078,256 | ||||
Interest | 720 | 6,644 | 1,372 | 2,725 | ||||
Foreign withholding tax | (40,859) | (635,527) | (151,796) | (139,274) | ||||
Other | — | 424 | 244 | — | ||||
Total investment income | 560,395 | 5,755,711 | 1,192,526 | 941,707 | ||||
EXPENSES: | ||||||||
Investment advisory fees | 167,248 | 1,544,903 | 307,444 | 505,854 | ||||
Total expenses | 167,248 | 1,544,903 | 307,444 | 505,854 | ||||
NET INVESTMENT INCOME (LOSS) | 393,147 | 4,210,808 | 885,082 | 435,853 | ||||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | (1,383,955) | (19,708,741) | (4,553,242) | (6,569,091) | ||||
In-kind redemptions | (425,529) | (15,281,723) | (1,227,220) | (86,817) | ||||
Foreign currency transactions | (2,453) | 34,743 | 13,077 | 31,306 | ||||
Foreign capital gains tax | — | — | — | 41,090 | ||||
Net realized gain (loss) | (1,811,937) | (34,955,721) | (5,767,385) | (6,583,512) | ||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments | 1,781,818 | 38,728,559 | 8,236,109 | 18,548,405 | ||||
Foreign currency translation | (3,437) | (17,861) | (2,928) | 106,628 | ||||
Deferred foreign capital gains tax | — | — | — | (130,057) | ||||
Net change in unrealized appreciation (depreciation) | 1,778,381 | 38,710,698 | 8,233,181 | 18,524,976 | ||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (33,556) | 3,754,977 | 2,465,796 | 11,941,464 | ||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 359,591 | $ 7,965,785 | $ 3,350,878 | $ 12,377,317 |
First Trust RiverFront Dynamic Asia Pacific ETF (RFAP) | First Trust RiverFront Dynamic Developed International ETF (RFDI) | ||||||
Six Months Ended 4/30/2019 (Unaudited) | Year Ended 10/31/2018 | Six Months Ended 4/30/2019 (Unaudited) | Year Ended 10/31/2018 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 393,147 | $ 1,217,255 | $ 4,210,808 | $ 13,245,804 | |||
Net realized gain (loss) | (1,811,937) | (1,368,655) | (34,955,721) | (95,524) | |||
Net change in unrealized appreciation (depreciation) | 1,778,381 | (6,915,126) | 38,710,698 | (80,625,273) | |||
Net increase (decrease) in net assets resulting from operations | 359,591 | (7,066,526) | 7,965,785 | (67,474,993) | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (424,906) | (1,178,793) | (2,522,881) | (14,065,878) | |||
Return of capital | — | — | — | — | |||
Total distributions to shareholders | (424,906) | (1,178,793) | (2,522,881) | (14,065,878) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | — | 51,961,955 | — | 362,830,417 | |||
Cost of shares redeemed | (5,111,528) | (29,590,599) | (168,516,816) | (226,084,805) | |||
Net increase (decrease) in net assets resulting from shareholder transactions | (5,111,528) | 22,371,356 | (168,516,816) | 136,745,612 | |||
Total increase (decrease) in net assets | (5,176,843) | 14,126,037 | (163,073,912) | 55,204,741 | |||
NET ASSETS: | |||||||
Beginning of period | 44,036,859 | 29,910,822 | 499,726,300 | 444,521,559 | |||
End of period | $ 38,860,016 | $ 44,036,859 | $ 336,652,388 | $ 499,726,300 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 850,002 | 500,002 | 8,950,002 | 6,950,002 | |||
Shares sold | — | 850,000 | — | 5,650,000 | |||
Shares redeemed | (100,000) | (500,000) | (3,150,000) | (3,650,000) | |||
Shares outstanding, end of period | 750,002 | 850,002 | 5,800,002 | 8,950,002 |
First Trust RiverFront Dynamic Europe ETF (RFEU) | First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) | |||||
Six Months Ended 4/30/2019 (Unaudited) | Year Ended 10/31/2018 | Six Months Ended 4/30/2019 (Unaudited) | Year Ended 10/31/2018 | |||
$ 885,082 | $ 3,407,738 | $ 435,853 | $ 2,219,119 | |||
(5,767,385) | 1,542,918 | (6,583,512) | (9,220,456) | |||
8,233,181 | (18,801,222) | 18,524,976 | (20,316,573) | |||
3,350,878 | (13,850,566) | 12,377,317 | (27,317,910) | |||
(311,981) | (3,500,818) | (484,841) | (2,433,860) | |||
— | — | — | (165,738) | |||
(311,981) | (3,500,818) | (484,841) | (2,599,598) | |||
8,249,517 | 65,990,878 | 9,280,509 | 85,398,728 | |||
(33,248,222) | (83,913,181) | (5,736,845) | (29,475,851) | |||
(24,998,705) | (17,922,303) | 3,543,664 | 55,922,877 | |||
(21,959,808) | (35,273,687) | 15,436,140 | 26,005,369 | |||
88,706,076 | 123,979,763 | 101,511,553 | 75,506,184 | |||
$66,746,268 | $ 88,706,076 | $ 116,947,693 | $ 101,511,553 | |||
1,550,002 | 1,900,002 | 1,800,002 | 1,100,002 | |||
150,000 | 1,000,000 | 150,000 | 1,150,000 | |||
(600,000) | (1,350,000) | (100,000) | (450,000) | |||
1,100,002 | 1,550,002 | 1,850,002 | 1,800,002 |
Six Months Ended 4/30/2019 (Unaudited) | Year Ended October 31, | Period Ended 10/31/2016 (a) | |||||
2018 | 2017 | ||||||
Net asset value, beginning of period | $ 51.81 | $ 59.82 | $ 52.14 | $ 51.31 | |||
Income from investment operations: | |||||||
Net investment income (loss) | 0.55 | 1.27 | 1.42 | 0.55 | |||
Net realized and unrealized gain (loss) | (0.01) | (7.99) | 7.66 | 0.60 | |||
Total from investment operations | 0.54 | (6.72) | 9.08 | 1.15 | |||
Distributions paid to shareholders from: | |||||||
Net investment income | (0.54) | (1.29) | (1.40) | (0.32) | |||
Net asset value, end of period | $51.81 | $51.81 | $59.82 | $52.14 | |||
Total return (b) | 1.10% | (11.48)% | 17.77% (c) | 2.26% | |||
Ratios to average net assets/supplemental data: | |||||||
Net assets, end of period (in 000’s) | $ 38,860 | $ 44,037 | $ 29,911 | $ 26,071 | |||
Ratio of total expenses to average net assets | 0.83% (d) | 0.83% | 0.83% | 0.83% (d) | |||
Ratio of net investment income (loss) to average net assets | 1.95% (d) | 2.28% | 1.93% | 1.96% (d) | |||
Portfolio turnover rate (e) | 42% | 136% | 131% | 49% |
(a) | Inception date is April 13, 2016, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | The Fund received a reimbursement from the advisor in connection with a trade error in the amount of $7,644, which represents $0.02 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 4/30/2019 (Unaudited) | Year Ended October 31, | Period Ended 10/31/2016 (a) | |||||
2018 | 2017 | ||||||
Net asset value, beginning of period | $ 55.84 | $ 63.96 | $ 51.36 | $ 50.73 | |||
Income from investment operations: | |||||||
Net investment income (loss) | 0.73 | 1.34 | 0.82 | 0.83 | |||
Net realized and unrealized gain (loss) | 1.84 | (8.00) | 12.73 | 0.50 | |||
Total from investment operations | 2.57 | (6.66) | 13.55 | 1.33 | |||
Distributions paid to shareholders from: | |||||||
Net investment income | (0.37) | (1.44) | (0.71) | (0.70) | |||
Net realized gain | — | (0.02) | (0.24) | — | |||
Total distributions | (0.37) | (1.46) | (0.95) | (0.70) | |||
Net asset value, end of period | $58.04 | $55.84 | $63.96 | $51.36 | |||
Total return (b) | 4.68% | (10.65)% | 26.60% (c) | 2.68% | |||
Ratios to average net assets/supplemental data: | |||||||
Net assets, end of period (in 000’s) | $ 336,652 | $ 499,726 | $ 444,522 | $ 25,679 | |||
Ratio of total expenses to average net assets | 0.83% (d) | 0.83% | 0.83% | 0.83% (d) | |||
Ratio of net investment income (loss) to average net assets | 2.26% (d) | 2.28% | 1.86% | 2.97% (d) | |||
Portfolio turnover rate (e) | 36% | 133% | 106% | 44% |
(a) | Inception date is April 13, 2016, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | The Fund received a reimbursement from the advisor in the amount of $35,978, which represents less than $0.01 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return. |
(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 4/30/2019 (Unaudited) | Year Ended October 31, | Period Ended 10/31/2016 (a) | |||||
2018 | 2017 | ||||||
Net asset value, beginning of period | $ 57.23 | $ 65.25 | $ 51.17 | $ 50.67 | |||
Income from investment operations: | |||||||
Net investment income (loss) | 0.78 | 1.48 | 0.82 | 0.91 | |||
Net realized and unrealized gain (loss) | 2.93 | (7.97) | 14.86 | 0.41 | |||
Total from investment operations | 3.71 | (6.49) | 15.68 | 1.32 | |||
Distributions paid to shareholders from: | |||||||
Net investment income | (0.26) | (1.53) | (0.79) | (0.82) | |||
Net realized gain | — | — | (0.81) | — | |||
Total distributions | (0.26) | (1.53) | (1.60) | (0.82) | |||
Net asset value, end of period | $60.68 | $57.23 | $65.25 | $51.17 | |||
Total return (b) | 6.51% | (10.16)% | 31.21% | 2.66% | |||
Ratios to average net assets/supplemental data: | |||||||
Net assets, end of period (in 000’s) | $ 66,746 | $ 88,706 | $ 123,980 | $ 25,585 | |||
Ratio of total expenses to average net assets | 0.83% (c) | 0.83% | 0.83% | 0.83% (c) | |||
Ratio of net investment income (loss) to average net assets | 2.39% (c) | 2.45% | 1.71% | 3.23% (c) | |||
Portfolio turnover rate (d) | 32% | 130% | 110% | 41% |
(a) | Inception date is April 13, 2016, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Six Months Ended 4/30/2019 (Unaudited) | Year Ended October 31, | Period Ended 10/31/2016 (a) | |||||
2018 | 2017 | ||||||
Net asset value, beginning of period | $ 56.40 | $ 68.64 | $ 56.27 | $ 49.61 | |||
Income from investment operations: | |||||||
Net investment income (loss) | 0.26 | 1.20 | 0.71 | 0.55 | |||
Net realized and unrealized gain (loss) | 6.84 | (11.87) | 13.70 | 6.66 | |||
Total from investment operations | 7.10 | (10.67) | 14.41 | 7.21 | |||
Distributions paid to shareholders from: | |||||||
Net investment income | (0.29) | (1.18) | (0.77) | (0.55) | |||
Net realized gain | — | (0.30) | (1.27) | — | |||
Return of capital | — | (0.09) | — | — | |||
Total distributions | (0.29) | (1.57) | (2.04) | (0.55) | |||
Net asset value, end of period | $63.21 | $56.40 | $68.64 | $56.27 | |||
Total return (b) | 12.70% | (15.92)% | 26.49% | 14.52% | |||
Ratios to average net assets/supplemental data: | |||||||
Net assets, end of period (in 000’s) | $ 116,948 | $ 101,512 | $ 75,506 | $ 5,628 | |||
Ratio of total expenses to average net assets | 0.95% (c) | 0.95% | 0.95% | 0.95% (c) | |||
Ratio of net investment income (loss) to average net assets | 0.82% (c) | 1.90% | 1.56% | 2.66% (c) | |||
Portfolio turnover rate (d) | 64% | 126% | 87% | 81% |
(a) | Inception date is June 14, 2016, which is consistent with the commencement of operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
1) | the value of similar foreign securities traded on other foreign markets; |
2) | ADR trading of similar securities; |
3) | closed-end fund or exchange-traded fund trading of similar securities; |
4) | foreign currency exchange activity; |
5) | the trading prices of financial products that are tied to baskets of foreign securities; |
6) | factors relating to the event that precipitated the pricing problem; |
7) | whether the event is likely to recur; and |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |||
First Trust RiverFront Dynamic Asia Pacific ETF | $ 1,178,793 | $ — | $ — | ||
First Trust RiverFront Dynamic Developed International ETF | 14,043,205 | 22,673 | — | ||
First Trust RiverFront Dynamic Europe ETF | 3,500,818 | — | — | ||
First Trust RiverFront Dynamic Emerging Markets ETF | 2,366,951 | 66,909 | 165,738 |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust RiverFront Dynamic Asia Pacific ETF | $ 320,388 | $ (3,703,563) | $ (5,862,086) | ||
First Trust RiverFront Dynamic Developed International ETF | 1,139,589 | (21,591,182) | (53,532,316) | ||
First Trust RiverFront Dynamic Europe ETF | — | (5,065,319) | (9,138,057) | ||
First Trust RiverFront Dynamic Emerging Markets ETF | — | (10,162,432) | (14,107,640) |
Capital Loss Available | |
First Trust RiverFront Dynamic Asia Pacific ETF | $ 3,703,563 |
First Trust RiverFront Dynamic Developed International ETF | 21,591,182 |
First Trust RiverFront Dynamic Europe ETF | 5,065,319 |
First Trust RiverFront Dynamic Emerging Markets ETF | 10,162,432 |
Purchases | Sales | ||
First Trust RiverFront Dynamic Asia Pacific ETF | $ 17,058,768 | $ 17,095,152 | |
First Trust RiverFront Dynamic Developed International ETF | 137,746,698 | 139,984,577 | |
First Trust RiverFront Dynamic Europe ETF | 23,815,057 | 23,760,537 | |
First Trust RiverFront Dynamic Emerging Markets ETF | 71,929,982 | 68,332,130 | |
Purchases | Sales | ||
First Trust RiverFront Dynamic Asia Pacific ETF | $ — | $ 5,054,688 | |
First Trust RiverFront Dynamic Developed International ETF | — | 165,739,196 | |
First Trust RiverFront Dynamic Europe ETF | 8,130,675 | 32,891,629 | |
First Trust RiverFront Dynamic Emerging Markets ETF | 2,455,304 | 3,130,375 |
Creation Transaction Fees | Redemption Transaction Fees | ||
First Trust RiverFront Dynamic Asia Pacific ETF | $ 2,100 | $ 2,100 | |
First Trust RiverFront Dynamic Developed International ETF | 4,600 | 4,600 | |
First Trust RiverFront Dynamic Europe ETF | 2,600 | 2,600 | |
First Trust RiverFront Dynamic Emerging Markets ETF | 4,400 | 4,400 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/imge63a0b311.jpg)
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/imgc473f3131.jpg)
For the Six Months Ended
April 30, 2019
1 | |
2 | |
5 | |
6 | |
7 | |
11 | |
12 | |
13 | |
14 | |
15 | |
21 |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/img7dbffe8a2.jpg)
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 4/30/19 | 1 Year Ended 4/30/19 | Inception (8/22/17) to 4/30/19 | Inception (8/22/17) to 4/30/19 | |
Fund Performance | ||||
NAV | 5.27% | 4.15% | 2.81% | 4.79% |
Market Price | 5.37% | 4.25% | 2.83% | 4.82% |
Index Performance | ||||
ICE BofAML US Investment Grade Institutional Capital Securities Index | 6.24% | 6.25% | 3.16% | 5.40% |
Sector Allocation | % of Total Investments |
Financials | 76.8% |
Utilities | 8.6 |
Energy | 6.4 |
Industrials | 2.9 |
Materials | 2.1 |
Communication Services | 1.6 |
Consumer Staples | 1.3 |
Consumer Discretionary | 0.3 |
Total | 100.0% |
Credit Quality(1) | % of Total Investments |
A- | 5.3% |
BBB+ | 6.0 |
BBB | 18.6 |
BBB- | 29.7 |
BB+ | 29.5 |
BB | 8.2 |
BB- | 1.7 |
B+ | 1.0 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Hartford Financial Services Group (The), Inc. | 2.9% |
AerCap Global Aviation Trust | 2.9 |
Voya Financial, Inc. | 2.6 |
Enbridge, Inc., Series 16-A | 2.4 |
JPMorgan Chase & Co., Series V | 2.2 |
Emera, Inc., Series 16-A | 2.2 |
Banco Santander S.A. | 2.0 |
Catlin Insurance Co., Ltd. | 1.9 |
BHP Billiton Finance USA Ltd. | 1.9 |
Royal Bank of Scotland Group PLC | 1.9 |
Total | 22.9% |
Country Allocation | % of Total Investments |
United States | 38.5% |
United Kingdom | 12.3 |
France | 7.8 |
Canada | 6.4 |
Japan | 6.3 |
Australia | 5.3 |
Switzerland | 4.8 |
Netherlands | 4.4 |
Italy | 4.1 |
Bermuda | 3.6 |
Spain | 3.5 |
Finland | 1.5 |
Denmark | 0.7 |
Sweden | 0.6 |
Norway | 0.2 |
Total | 100.0% |
(1) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/img10cdb4f73.jpg)
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.
Number of Days Bid/Ask Midpoint At/Above NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
8/23/17 – 10/31/17 | 44 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 156 | 2 | 0 | 0 |
11/1/18 – 4/30/19 | 98 | 5 | 3 | 0 |
Number of Days Bid/Ask Midpoint Below NAV | ||||
For the Period | 0.00%–0.49% | 0.50%–0.99% | 1.00%–1.99% | >=2.00% |
8/23/17 – 10/31/17 | 5 | 0 | 0 | 0 |
11/1/17 – 10/31/18 | 90 | 4 | 0 | 0 |
11/1/18 – 4/30/19 | 15 | 1 | 0 | 0 |
Beginning Account Value November 1, 2018 | Ending Account Value April 30, 2019 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Institutional Preferred Securities and Income ETF (FPEI) | ||||
Actual | $1,000.00 | $1,052.70 | 0.85% | $4.33 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.58 | 0.85% | $4.26 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (November 1, 2018 through April 30, 2019), multiplied by 181/365 (to reflect the six-month period). |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES – 97.5% | ||||||||
Automobiles – 0.3% | �� | |||||||
$500,000 | General Motors Financial Co., Inc., Series B (a) | 6.50% | (b) | $484,608 | ||||
Banks – 41.3% | ||||||||
1,600,000 | Australia & New Zealand Banking Group Ltd. (a) (c) (d) | 6.75% | (b) | 1,735,400 | ||||
200,000 | Banco Bilbao Vizcaya Argentaria S.A. (a) (d) | 6.13% | (b) | 182,428 | ||||
3,200,000 | Banco Santander S.A. (a) (d) | 6.38% | (b) | 3,206,080 | ||||
2,000,000 | Banco Santander S.A. (a) (d) | 7.50% | (b) | 2,092,430 | ||||
1,400,000 | Bank of America Corp., Series X (a) | 6.25% | (b) | 1,509,396 | ||||
700,000 | Bank of America Corp., Series Z (a) | 6.50% | (b) | 769,188 | ||||
1,000,000 | Barclays PLC (a) (d) | 7.75% | (b) | 1,034,390 | ||||
2,050,000 | Barclays PLC (a) (d) | 7.88% | (b) | 2,166,491 | ||||
1,800,000 | Barclays PLC (a) (d) | 8.00% | (b) | 1,899,000 | ||||
200,000 | BNP Paribas S.A. (a) (c) (d) | 6.63% | (b) | 204,128 | ||||
200,000 | BNP Paribas S.A. (a) (c) (d) | 6.75% | (b) | 206,841 | ||||
300,000 | BNP Paribas S.A. (a) (c) (d) | 7.38% | (b) | 324,638 | ||||
1,081,000 | BNP Paribas S.A. (a) (c) (d) | 7.63% | (b) | 1,139,466 | ||||
1,336,000 | Citigroup, Inc. (a) | 5.95% | (b) | 1,384,430 | ||||
1,050,000 | Citigroup, Inc., Series O (a) | 5.88% | (b) | 1,064,800 | ||||
2,514,000 | Citigroup, Inc., Series P (a) | 5.95% | (b) | 2,635,615 | ||||
900,000 | Citizens Financial Group, Inc., Series A (a) | 5.50% | (b) | 904,685 | ||||
723,000 | CoBank ACB, Series I (a) (e) | 6.25% | (b) | 760,958 | ||||
300,000 | Credit Agricole S.A. (a) (c) (d) | 6.88% | (b) | 312,933 | ||||
2,200,000 | Credit Agricole S.A. (a) (c) (d) | 7.88% | (b) | 2,395,127 | ||||
1,000,000 | Credit Agricole S.A. (a) (d) | 7.88% | (b) | 1,088,694 | ||||
1,600,000 | Credit Agricole S.A. (a) (c) (d) | 8.13% | (b) | 1,825,888 | ||||
1,200,000 | Danske Bank A.S. (a) (d) | 6.13% | (b) | 1,128,000 | ||||
300,000 | DNB Bank ASA (a) (d) | 5.75% | (b) | 302,937 | ||||
800,000 | Farm Credit Bank of Texas, Series 3 (a) (c) | 6.20% | (b) | 810,917 | ||||
1,270,000 | HSBC Holdings PLC (a) (d) | 6.38% | (b) | 1,325,086 | ||||
1,400,000 | ING Groep N.V. (a) (d) | 6.50% | (b) | 1,417,080 | ||||
2,500,000 | ING Groep N.V. (a) (d) | 6.88% | (b) | 2,611,490 | ||||
1,300,000 | Intesa Sanpaolo S.p.A. (a) (c) (d) | 7.70% | (b) | 1,274,332 | ||||
1,001,000 | JPMorgan Chase & Co., Series I, 3 Mo. LIBOR + 3.47% (f) | 6.05% | (b) | 1,007,291 | ||||
1,100,000 | JPMorgan Chase & Co., Series R (a) | 6.00% | (b) | 1,155,704 | ||||
3,440,000 | JPMorgan Chase & Co., Series V (a) | 5.00% | (b) | 3,452,900 | ||||
1,250,000 | Lloyds Bank PLC (a) | 12.00% | (b) | 1,507,656 | ||||
2,100,000 | Lloyds Banking Group PLC (a) (d) | 7.50% | (b) | 2,210,250 | ||||
1,500,000 | Lloyds Banking Group PLC (a) (d) | 7.50% | (b) | 1,557,937 | ||||
600,000 | Nordea Bank Abp (a) (d) | 6.13% | (b) | 592,884 | ||||
1,800,000 | Nordea Bank Abp (a) (c) (d) | 6.63% | (b) | 1,842,075 | ||||
2,050,000 | Royal Bank of Scotland Group PLC (a) (d) | 8.00% | (b) | 2,237,062 | ||||
2,800,000 | Royal Bank of Scotland Group PLC (a) (d) | 8.63% | (b) | 3,017,000 | ||||
1,620,000 | Societe Generale S.A. (a) (c) (d) | 7.38% | (b) | 1,688,850 | ||||
500,000 | Societe Generale S.A. (a) (d) | 7.38% | (b) | 521,250 | ||||
1,021,000 | Societe Generale S.A. (a) (c) (d) | 7.88% | (b) | 1,077,808 | ||||
400,000 | Societe Generale S.A. (a) (d) | 7.88% | (b) | 422,256 | ||||
900,000 | Standard Chartered PLC (a) (c) (d) | 7.50% | (b) | 951,468 | ||||
1,400,000 | Standard Chartered PLC (a) (c) (d) | 7.75% | (b) | 1,493,646 | ||||
1,000,000 | Swedbank AB (a) (d) | 6.00% | (b) | 982,522 | ||||
1,700,000 | UniCredit S.p.A. (a) (d) | 8.00% | (b) | 1,642,693 | ||||
700,000 | UniCredit S.p.A. (a) (c) | 7.30% | 04/02/34 | 714,182 | ||||
700,000 | Wells Fargo & Co., Series K, 3 Mo. LIBOR + 3.77% (f) | 6.38% | (b) | 704,375 | ||||
66,492,657 | ||||||||
Capital Markets – 9.7% | ||||||||
250,000 | Credit Suisse Group AG (a) (c) (d) | 7.25% | (b) | 260,094 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Capital Markets (Continued) | ||||||||
$500,000 | Credit Suisse Group AG (a) (c) (d) | 7.50% | (b) | $536,803 | ||||
2,300,000 | Credit Suisse Group AG (a) (d) | 7.50% | (b) | 2,469,296 | ||||
1,400,000 | Credit Suisse Group AG (a) (c) (d) | 7.50% | (b) | 1,476,104 | ||||
2,800,000 | E*TRADE Financial Corp., Series A (a) | 5.88% | (b) | 2,898,000 | ||||
3,000,000 | Goldman Sachs Group (The), Inc., Series L (a) | 5.70% | (b) | 3,011,250 | ||||
400,000 | Goldman Sachs Group (The), Inc., Series M (a) | 5.38% | (b) | 409,394 | ||||
1,775,000 | Morgan Stanley, Series J (a) | 5.55% | (b) | 1,814,432 | ||||
1,500,000 | UBS Group Funding Switzerland AG (a) (d) | 6.88% | (b) | 1,552,395 | ||||
1,000,000 | UBS Group Funding Switzerland AG (a) (d) | 6.88% | (b) | 1,035,643 | ||||
200,000 | UBS Group Funding Switzerland AG (a) (d) | 7.00% | (b) | 215,250 | ||||
15,678,661 | ||||||||
Consumer Finance – 1.3% | ||||||||
2,000,000 | American Express Co., Series C (a) | 4.90% | (b) | 2,009,570 | ||||
Diversified Financial Services – 2.5% | ||||||||
4,050,000 | Voya Financial, Inc. (a) | 5.65% | 05/15/53 | 4,067,071 | ||||
Diversified Telecommunication Services – 1.5% | ||||||||
2,326,000 | Koninklijke KPN N.V. (a) | 7.00% | 03/28/73 | 2,457,919 | ||||
Electric Utilities – 5.2% | ||||||||
3,175,000 | Emera, Inc., Series 16-A (a) | 6.75% | 06/15/76 | 3,421,332 | ||||
2,500,000 | Enel S.p.A. (a) (c) | 8.75% | 09/24/73 | 2,812,500 | ||||
1,025,000 | NextEra Energy Capital Holdings, Inc. (a) | 5.65% | 05/01/79 | 1,043,106 | ||||
800,000 | PPL Capital Funding, Inc., Series A, 3 Mo. LIBOR + 2.67% (f) | 5.27% | 03/30/67 | 735,452 | ||||
400,000 | Southern (The) Co., Series B (a) | 5.50% | 03/15/57 | 408,123 | ||||
8,420,513 | ||||||||
Energy Equipment & Services – 1.6% | ||||||||
2,550,000 | Transcanada Trust, Series 16-A (a) | 5.88% | 08/15/76 | 2,614,808 | ||||
Food Products – 1.3% | ||||||||
1,000,000 | Land O’Lakes Capital Trust I (g) | 7.45% | 03/15/28 | 1,086,250 | ||||
1,000,000 | Land O’Lakes, Inc. (c) | 7.25% | (b) | 982,500 | ||||
2,068,750 | ||||||||
Insurance – 20.1% | ||||||||
450,000 | Aegon N.V. (a) | 5.50% | 04/11/48 | 458,084 | ||||
200,000 | American International Group, Inc., Series A-9 (a) | 5.75% | 04/01/48 | 202,517 | ||||
2,600,000 | Asahi Mutual Life Insurance Co. (a) | 6.50% | (b) | 2,641,496 | ||||
1,300,000 | Asahi Mutual Life Insurance Co. (a) | 7.25% | (b) | 1,376,233 | ||||
2,458,000 | Assurant, Inc. (a) | 7.00% | 03/27/48 | 2,511,375 | ||||
3,095,000 | Catlin Insurance Co., Ltd., 3 Mo. LIBOR + 2.98% (c) (f) | 5.57% | (b) | 3,043,267 | ||||
1,000,000 | Catlin Insurance Co., Ltd., 3 Mo. LIBOR + 2.98% (f) | 5.57% | (b) | 983,285 | ||||
700,000 | Dai-Ichi Life Insurance (The) Co., Ltd. (a) (c) | 7.25% | (b) | 750,985 | ||||
630,000 | Everest Reinsurance Holdings, Inc., 3 Mo. LIBOR + 2.39% (f) | 5.07% | 05/15/37 | 568,065 | ||||
1,400,000 | Fukoku Mutual Life Insurance Co. (a) | 6.50% | (b) | 1,523,453 | ||||
5,160,000 | Hartford Financial Services Group (The), Inc., 3 Mo. LIBOR + 2.13% (c) (f) | 4.81% | 02/12/47 | 4,622,767 | ||||
1,000,000 | La Mondiale SAM (a) | 5.88% | 01/26/47 | 1,045,250 | ||||
900,000 | Liberty Mutual Group, Inc. (a) (c) | 10.75% | 06/15/58 | 1,342,544 | ||||
1,400,000 | Liberty Mutual Group, Inc., 3 Mo. LIBOR + 2.91% (c) (f) | 5.52% | 03/15/37 | 1,332,366 | ||||
350,000 | Lincoln National Corp., 3 Mo. LIBOR + 2.36% (f) | 5.04% | 05/17/66 | 301,600 | ||||
600,000 | Mitsui Sumitomo Insurance Co., Ltd. (a) (c) | 4.95% | (b) | 614,034 | ||||
1,700,000 | Mitsui Sumitomo Insurance Co., Ltd. (a) (c) | 7.00% | 03/15/72 | 1,841,040 | ||||
1,610,000 | Oil Insurance Ltd., 3 Mo. LIBOR + 2.98% (c) (f) | 5.57% | (b) | 1,566,989 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Insurance (Continued) | ||||||||
$1,000,000 | Prudential Financial, Inc. (a) | 5.63% | 06/15/43 | $1,049,215 | ||||
700,000 | QBE Insurance Group Ltd. (a) (c) | 7.50% | 11/24/43 | 762,451 | ||||
2,250,000 | QBE Insurance Group Ltd. (a) | 6.75% | 12/02/44 | 2,425,421 | ||||
375,000 | Reinsurance Group of America, Inc., 3 Mo. LIBOR + 2.67% (f) | 5.28% | 12/15/65 | 341,250 | ||||
1,000,000 | Sumitomo Life Insurance Co. (a) (c) | 6.50% | 09/20/73 | 1,095,465 | ||||
32,399,152 | ||||||||
Metals & Mining – 2.1% | ||||||||
300,000 | BHP Billiton Finance USA Ltd. (a) (c) | 6.25% | 10/19/75 | 314,105 | ||||
2,700,000 | BHP Billiton Finance USA Ltd. (a) (c) | 6.75% | 10/19/75 | 3,042,130 | ||||
3,356,235 | ||||||||
Multi-Utilities – 3.2% | ||||||||
2,200,000 | CenterPoint Energy, Inc., Series A (a) | 6.13% | (b) | 2,248,048 | ||||
2,855,000 | NiSource, Inc. (a) | 5.65% | (b) | 2,867,448 | ||||
5,115,496 | ||||||||
Oil, Gas & Consumable Fuels – 4.6% | ||||||||
400,000 | DCP Midstream L.P., Series A (a) | 7.38% | (b) | 394,686 | ||||
1,000,000 | DCP Midstream Operating L.P. (a) (c) | 5.85% | 05/21/43 | 930,000 | ||||
300,000 | Enbridge, Inc. (a) | 6.25% | 03/01/78 | 304,390 | ||||
3,706,000 | Enbridge, Inc., Series 16-A (a) | 6.00% | 01/15/77 | 3,716,803 | ||||
1,395,000 | Energy Transfer Operating L.P., 3 Mo. LIBOR + 3.02% (f) | 5.75% | 11/01/66 | 1,161,337 | ||||
100,000 | Energy Transfer Operating L.P., Series B (a) | 6.63% | (b) | 95,172 | ||||
850,000 | Enterprise Products Operating LLC, 3 Mo. LIBOR + 2.78% (f) | 5.40% | 06/01/67 | 787,708 | ||||
7,390,096 | ||||||||
Transportation Infrastructure – 2.8% | ||||||||
4,400,000 | AerCap Global Aviation Trust (a) (c) | 6.50% | 06/15/45 | 4,510,000 | ||||
Total Capital Preferred Securities | 157,065,536 | |||||||
(Cost $157,684,544) | ||||||||
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES – 0.1% | ||||||||
Insurance – 0.1% | ||||||||
200,000 | AmTrust Financial Services, Inc. | 6.13% | 08/15/23 | 196,556 | ||||
(Cost $198,868) |
Total Investments – 97.6% | 157,262,092 | ||
(Cost $157,883,412) (h) | |||
Net Other Assets and Liabilities – 2.4% | 3,932,817 | ||
Net Assets – 100.0% | $161,194,909 |
(a) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at April 30, 2019. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(b) | Perpetual maturity. |
(c) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by Stonebridge Advisors LLC, the Fund’s sub-advisor (the “Sub-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 April 30, 2019, securities noted as such amounted to $49,833,843 or 30.9% of net assets. |
(d) | This security is a contingent convertible capital security which may be subject to conversion into common stock of the issuer under certain circumstances. At April 30, 2019, securities noted as such amounted to $55,656,145 or 34.5% of net assets. Of these securities, 0.0% originated in emerging markets, and 100.0% originated in foreign markets. |
(e) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Sub-Advisor. |
(f) | Floating or variable rate security. |
(g) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2C - Restricted Securities in the Notes to Financial Statements). |
(h) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of April 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,734,725 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $2,356,045. The net unrealized depreciation was $621,320. |
LIBOR | London Interbank Offered Rate |
Total Value at 4/30/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Capital Preferred Securities* | $ 157,065,536 | $ — | $ 157,065,536 | $ — |
Corporate Bonds and Notes* | 196,556 | — | 196,556 | — |
Total Investments | $ 157,262,092 | $— | $ 157,262,092 | $— |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value (Cost $157,883,412) | $ 157,262,092 |
Cash | 900,873 |
Receivables: | |
Interest | 1,997,623 |
Fund shares sold | 1,918,747 |
Interest reclaims | 57,496 |
Total Assets | 162,136,831 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 834,333 |
Investment advisory fees | 107,589 |
Total Liabilities | 941,922 |
NET ASSETS | $161,194,909 |
NET ASSETS consist of: | |
Paid-in capital | $ 162,503,828 |
Par value | 84,000 |
Accumulated distributable earnings (loss) | (1,392,919) |
NET ASSETS | $161,194,909 |
NET ASSET VALUE,per share | $19.19 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 8,400,002 |
INVESTMENT INCOME: | ||
Interest | $ 3,875,724 | |
Foreign withholding tax | (7,145) | |
Total investment income | 3,868,579 | |
EXPENSES: | ||
Investment advisory fees | 509,174 | |
Total expenses | 509,174 | |
NET INVESTMENT INCOME (LOSS) | 3,359,405 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on investments | (309,300) | |
Net change in unrealized appreciation (depreciation) on investments | 4,499,237 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 4,189,937 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 7,549,342 |
Six Months Ended 4/30/2019 (Unaudited) | Year Ended 10/31/2018 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 3,359,405 | $ 3,793,724 | |
Net realized gain (loss) | (309,300) | (350,585) | |
Net change in unrealized appreciation (depreciation) | 4,499,237 | (5,338,740) | |
Net increase (decrease) in net assets resulting from operations | 7,549,342 | (1,895,601) | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (3,457,351) | (3,846,302) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 63,346,107 | 80,923,612 | |
Cost of shares redeemed | — | (5,737,598) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 63,346,107 | 75,186,014 | |
Total increase (decrease) in net assets | 67,438,098 | 69,444,111 | |
NET ASSETS: | |||
Beginning of period | 93,756,811 | 24,312,700 | |
End of period | $161,194,909 | $93,756,811 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 5,000,002 | 1,200,002 | |
Shares sold | 3,400,000 | 4,100,000 | |
Shares redeemed | — | (300,000) | |
Shares outstanding, end of period | 8,400,002 | 5,000,002 |
Six Months Ended 4/30/2019 (Unaudited) | Year Ended October 31, 2018 | Period Ended 10/31/2017 (a) | |||
Net asset value, beginning of period | $ 18.75 | $ 20.26 | $ 20.00 | ||
Income from investment operations: | |||||
Net investment income (loss) | 0.52 | 0.99 | 0.18 | ||
Net realized and unrealized gain (loss) | 0.45 | (1.47) | 0.22 | ||
Total from investment operations | 0.97 | (0.48) | 0.40 | ||
Distributions paid to shareholders from: | |||||
Net investment income | (0.53) | (1.03) | (0.14) | ||
Net asset value, end of period | $19.19 | $18.75 | $20.26 | ||
Total return (b) | 5.27% | (2.42)% | 2.00% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 161,195 | $ 93,757 | $ 24,313 | ||
Ratio of total expenses to average net assets | 0.85% (c) | 0.85% | 0.85% (c) | ||
Ratio of net investment income (loss) to average net assets | 5.61% (c) | 5.36% | 4.93% (c) | ||
Portfolio turnover rate (d) | 10% | 25% | 13% |
(a) | Inception date is August 22, 2017, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
1) | the value of similar foreign securities traded on other foreign markets; |
2) | ADR trading of similar securities; |
3) | closed-end fund or exchange-traded fund trading of similar securities; |
4) | foreign currency exchange activity; |
5) | the trading prices of financial products that are tied to baskets of foreign securities; |
6) | factors relating to the event that precipitated the pricing problem; |
7) | whether the event is likely to recur; and |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security | Acquisition Date | Par Amount | Current Price | Carrying Cost | Value | % of Net Assets |
Land O’Lakes Capital Trust I, 7.45%, 03/15/28 | 05/04/18 | $1,000,000 | $108.63 | $1,124,718 | $1,086,250 | 0.67% |
Distributions paid from: | |
Ordinary income | $3,846,302 |
Capital gains | — |
Return of capital | — |
Undistributed ordinary income | $85,487 |
Accumulated capital and other gain (loss) | (330,597) |
Net unrealized appreciation (depreciation) | (5,239,800) |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$(28,461) | $30,516 | $(2,055) |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
![](https://capedge.com/proxy/N-CSRS/0001445546-19-002891/imgc473f3131.jpg)
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
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.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Exchange-Traded Fund III |
By (Signature and Title)* | /s/ James M. Dykas | |||
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date | July 2, 2019 |
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 | July 2, 2019 |
By (Signature and Title)* | /s/ Donald P. Swade | |||
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date | July 2, 2019 |
* Print the name and title of each signing officer under his or her signature.