UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22245
First Trust Exchange-Traded Fund III
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant’s telephone number, including area code: (630) 765-8000
Date of fiscal year end: July 31
Date of reporting period: January 31, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
(a) The Report to Shareholders is attached herewith.
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
For the Six Months Ended
January 31, 2021
2 | |
Fund Performance Overview | |
3 | |
5 | |
7 | |
9 | |
10 | |
11 | |
Portfolio of Investments | |
12 | |
14 | |
17 | |
22 | |
23 | |
24 | |
26 | |
29 | |
35 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/21 | 1 Year Ended 1/31/21 | Inception (8/24/16) to 1/31/21 | Inception (8/24/16) to 1/31/21 | |
Fund Performance | ||||
NAV | 3.00% | -0.07% | 9.22% | 47.88% |
Market Price | 2.93% | -0.14% | 9.20% | 47.77% |
Index Performance | ||||
S&P 500® Index | 14.47% | 17.25% | 15.03% | 86.13% |
Sector Allocation | % of Total Investments |
Consumer Staples | 18.9% |
Information Technology | 15.1 |
Health Care | 13.5 |
Industrials | 10.8 |
Financials | 10.0 |
Consumer Discretionary | 9.4 |
Utilities | 8.9 |
Communication Services | 5.7 |
Real Estate | 4.9 |
Materials | 2.8 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Oracle Corp. | 2.7% |
Johnson & Johnson | 2.7 |
Tyler Technologies, Inc. | 2.6 |
Accenture PLC, Class A | 2.5 |
Amphenol Corp., Class A | 2.5 |
Broadridge Financial Solutions, Inc. | 2.5 |
AT&T, Inc. | 2.4 |
Hormel Foods Corp. | 2.4 |
Visa, Inc., Class A | 2.3 |
Verizon Communications, Inc. | 2.2 |
Total | 24.8% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/21 | 1 Year Ended 1/31/21 | Inception (8/24/16) to 1/31/21 | Inception (8/24/16) to 1/31/21 | |
Fund Performance | ||||
NAV | 9.28% | -7.88% | 3.01% | 14.06% |
Market Price | 9.50% | -7.94% | 2.97% | 13.88% |
Index Performance | ||||
MSCI EAFE Index | 17.58% | 8.94% | 7.72% | 39.10% |
Sector Allocation | % of Total Investments |
Consumer Staples | 20.9% |
Utilities | 14.5 |
Industrials | 14.5 |
Communication Services | 12.7 |
Financials | 10.7 |
Health Care | 7.8 |
Consumer Discretionary | 5.3 |
Real Estate | 5.2 |
Information Technology | 3.2 |
Energy | 3.1 |
Materials | 2.1 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Novartis AG | 1.8% |
Swisscom AG | 1.8 |
Vivendi S.A. | 1.8 |
Power Assets Holdings Ltd. | 1.7 |
CLP Holdings, Ltd. | 1.7 |
Nestle S.A. | 1.7 |
McDonald’s Holdings Co., Japan Ltd. | 1.7 |
Chugoku Electric Power (The) Co., Inc. | 1.6 |
Japan Tobacco, Inc. | 1.6 |
ITOCHU Corp. | 1.5 |
Total | 16.9% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Performance | ||
Cumulative Total Returns | ||
6 Months Ended 1/31/21 | Inception (4/6/20) to 1/31/21 | |
Fund Performance | ||
NAV | 13.50% | 34.69% |
Market Price | 13.69% | 34.64% |
Index Performance | ||
S&P 1000® Index | 29.86% | 68.10% |
Sector Allocation | % of Total Investments |
Industrials | 18.4% |
Information Technology | 14.4 |
Financials | 12.4 |
Real Estate | 11.5 |
Consumer Staples | 11.5 |
Utilities | 10.2 |
Health Care | 7.3 |
Materials | 7.1 |
Communication Services | 3.8 |
Consumer Discretionary | 3.4 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
WD-40 Co. | 1.9% |
Rayonier, Inc. | 1.9 |
Valmont Industries, Inc. | 1.8 |
Horace Mann Educators Corp. | 1.7 |
Cogent Communications Holdings, Inc. | 1.7 |
Park Aerospace Corp. | 1.6 |
South Jersey Industries, Inc. | 1.6 |
RLI Corp. | 1.6 |
ALLETE, Inc. | 1.6 |
Schweitzer-Mauduit International, Inc. | 1.6 |
Total | 17.0% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Beginning Account Value August 1, 2020 | Ending Account Value January 31, 2021 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | ||||
Actual | $1,000.00 | $1,030.00 | 0.70% | $3.58 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.68 | 0.70% | $3.57 |
First Trust Horizon Managed Volatility Developed International ETF (HDMV) | ||||
Actual | $1,000.00 | $1,092.80 | 0.80% | $4.22 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.17 | 0.80% | $4.08 |
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | ||||
Actual | $1,000.00 | $1,135.00 | 0.80% | $4.31 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.17 | 0.80% | $4.08 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (August 1, 2020 through January 31, 2021), multiplied by 184/365 (to reflect the six-month period). |
Shares | Description | Value | ||
COMMON STOCKS – 94.9% | ||||
Aerospace & Defense – 0.8% | ||||
4,126 | Lockheed Martin Corp. | $1,327,829 | ||
Air Freight & Logistics – 2.2% | ||||
17,371 | CH Robinson Worldwide, Inc. | 1,486,263 | ||
23,956 | Expeditors International of Washington, Inc. | 2,144,541 | ||
3,630,804 | ||||
Beverages – 3.3% | ||||
34,394 | Coca-Cola (The) Co. | 1,656,071 | ||
12,408 | Monster Beverage Corp. (a) | 1,077,386 | ||
19,417 | PepsiCo, Inc. | 2,651,780 | ||
5,385,237 | ||||
Capital Markets – 2.8% | ||||
2,108 | BlackRock, Inc. | 1,478,256 | ||
12,149 | Intercontinental Exchange, Inc. | 1,340,642 | ||
12,615 | Nasdaq, Inc. | 1,706,431 | ||
4,525,329 | ||||
Chemicals – 2.7% | ||||
11,284 | International Flavors & Fragrances, Inc. | 1,268,096 | ||
7,954 | Linde PLC | 1,951,911 | ||
1,867 | Sherwin-Williams (The) Co. | 1,291,591 | ||
4,511,598 | ||||
Commercial Services & Supplies – 2.9% | ||||
27,135 | Republic Services, Inc. | 2,456,260 | ||
20,426 | Waste Management, Inc. | 2,273,823 | ||
4,730,083 | ||||
Diversified Financial Services – 1.4% | ||||
10,067 | Berkshire Hathaway, Inc., Class B (a) | 2,293,967 | ||
Diversified Telecommunication Services – 4.6% | ||||
138,792 | AT&T, Inc. | 3,973,615 | ||
65,610 | Verizon Communications, Inc. | 3,592,148 | ||
7,565,763 | ||||
Electric Utilities – 5.4% | ||||
58,297 | Alliant Energy Corp. | 2,836,149 | ||
42,660 | American Electric Power Co., Inc. | 3,451,621 | ||
39,280 | Xcel Energy, Inc. | 2,513,527 | ||
8,801,297 | ||||
Electronic Equipment, Instruments & Components – 2.5% | ||||
32,661 | Amphenol Corp., Class A | 4,078,706 |
Shares | Description | Value | ||
Food & Staples Retailing – 3.3% | ||||
7,449 | Costco Wholesale Corp. | $2,625,251 | ||
22,274 | Kroger (The) Co. | 768,453 | ||
14,570 | Walmart, Inc. | 2,046,939 | ||
5,440,643 | ||||
Food Products – 6.2% | ||||
21,141 | Campbell Soup Co. | 1,017,094 | ||
5,825 | Hershey (The) Co. | 847,188 | ||
84,175 | Hormel Foods Corp. | 3,944,440 | ||
6,433 | JM Smucker (The) Co. | 748,866 | ||
26,960 | Kellogg Co. | 1,589,022 | ||
36,312 | Mondelez International, Inc., Class A | 2,013,137 | ||
10,159,747 | ||||
Health Care Equipment & Supplies – 4.9% | ||||
28,837 | Baxter International, Inc. | 2,215,547 | ||
7,970 | Becton Dickinson and Co. | 2,086,466 | ||
8,361 | Danaher Corp. | 1,988,580 | ||
9,220 | STERIS PLC | 1,725,154 | ||
8,015,747 | ||||
Health Care Technology – 1.0% | ||||
20,222 | Cerner Corp. | 1,619,984 | ||
Hotels, Restaurants & Leisure – 2.2% | ||||
7,471 | McDonald’s Corp. | 1,552,773 | ||
20,197 | Yum! Brands, Inc. | 2,049,793 | ||
3,602,566 | ||||
Household Durables – 1.0% | ||||
14,524 | Garmin Ltd. | 1,668,227 | ||
Household Products – 6.0% | ||||
23,369 | Church & Dwight Co., Inc. | 1,973,045 | ||
38,307 | Colgate-Palmolive Co. | 2,987,946 | ||
20,969 | Kimberly-Clark Corp. | 2,770,005 | ||
16,881 | Procter & Gamble (The) Co. | 2,164,313 | ||
9,895,309 | ||||
Insurance – 5.8% | ||||
24,148 | Allstate (The) Corp. | 2,588,183 | ||
12,472 | Aon PLC, Class A | 2,533,063 | ||
15,437 | Arthur J. Gallagher & Co. | 1,781,584 | ||
11,834 | Marsh & McLennan Cos., Inc. | 1,300,675 | ||
14,893 | Progressive (The) Corp. | 1,298,521 | ||
9,502,026 | ||||
IT Services – 7.3% | ||||
17,067 | Accenture PLC, Class A | 4,128,849 | ||
28,723 | Broadridge Financial Solutions, Inc. | 4,058,847 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
IT Services (Continued) | ||||
19,299 | Visa, Inc., Class A | $3,729,532 | ||
11,917,228 | ||||
Life Sciences Tools & Services – 1.2% | ||||
16,467 | Agilent Technologies, Inc. | 1,978,839 | ||
Machinery – 1.3% | ||||
23,035 | PACCAR, Inc. | 2,101,253 | ||
Media – 1.1% | ||||
2,990 | Charter Communications, Inc., Class A (a) | 1,816,604 | ||
Multiline Retail – 1.1% | ||||
9,040 | Dollar General Corp. | 1,759,274 | ||
Multi-Utilities – 2.4% | ||||
40,634 | CMS Energy Corp. | 2,311,262 | ||
18,057 | WEC Energy Group, Inc. | 1,605,267 | ||
3,916,529 | ||||
Pharmaceuticals – 6.4% | ||||
38,938 | Bristol-Myers Squibb Co. | 2,391,961 | ||
27,084 | Johnson & Johnson | 4,418,213 | ||
24,021 | Merck & Co., Inc. | 1,851,299 | ||
11,977 | Zoetis, Inc. | 1,847,452 | ||
10,508,925 | ||||
Professional Services – 1.9% | ||||
17,602 | IHS Markit Ltd. | 1,532,782 | ||
8,583 | Verisk Analytics, Inc. | 1,574,981 | ||
3,107,763 | ||||
Road & Rail – 0.8% | ||||
7,119 | Old Dominion Freight Line, Inc. | 1,381,086 | ||
Software – 5.3% | ||||
74,416 | Oracle Corp. | 4,496,959 | ||
10,038 | Tyler Technologies, Inc. (a) | 4,243,966 | ||
8,740,925 | ||||
Specialty Retail – 4.3% | ||||
8,840 | Advance Auto Parts, Inc. | 1,318,397 | ||
2,649 | AutoZone, Inc. (a) | 2,962,562 | ||
6,359 | O’Reilly Automotive, Inc. (a) | 2,705,564 | ||
6,986,523 | ||||
Textiles, Apparel & Luxury Goods – 0.8% | ||||
10,257 | NIKE, Inc., Class B | 1,370,233 | ||
Trading Companies & Distributors – 0.9% | ||||
30,928 | Fastenal Co. | 1,410,008 |
Shares | Description | Value | ||
Water Utilities – 1.1% | ||||
11,391 | American Water Works Co., Inc. | $1,811,397 | ||
Total Common Stocks | 155,561,449 | |||
(Cost $148,500,703) | ||||
REAL ESTATE INVESTMENT TRUSTS – 4.9% | ||||
Equity Real Estate Investment Trusts – 4.9% | ||||
61,302 | Duke Realty Corp. | 2,425,107 | ||
17,348 | Mid-America Apartment Communities, Inc. | 2,302,947 | ||
16,711 | Prologis, Inc. | 1,724,575 | ||
7,174 | Public Storage | 1,632,946 | ||
Total Real Estate Investment Trusts | 8,085,575 | |||
(Cost $7,247,326) | ||||
Total Investments – 99.8% | 163,647,024 | |||
(Cost $155,748,029) (b) | ||||
Net Other Assets and Liabilities – 0.2% | 375,224 | |||
Net Assets – 100.0% | $164,022,248 |
(a) | Non-income producing security. |
(b) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $11,382,490 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,483,495. The net unrealized appreciation was $7,898,995. |
Total Value at 1/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 155,561,449 | $ 155,561,449 | $ — | $ — |
Real Estate Investment Trusts* | 8,085,575 | 8,085,575 | — | — |
Total Investments | $ 163,647,024 | $ 163,647,024 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
COMMON STOCKS (a) – 98.1% | ||||
Australia – 4.4% | ||||
39,165 | AGL Energy Ltd. (b) | $342,363 | ||
12,388 | ASX Ltd. (b) | 676,906 | ||
495,151 | AusNet Services (b) | 651,813 | ||
50,551 | Coles Group Ltd. (b) | 699,791 | ||
211,826 | Telstra Corp., Ltd. (b) | 503,059 | ||
17,963 | Wesfarmers Ltd. (b) | 745,632 | ||
14,608 | Woolworths Group Ltd. (b) | 454,363 | ||
4,073,927 | ||||
Denmark – 2.4% | ||||
4,803 | Coloplast A.S., Class B (b) | 716,934 | ||
11,136 | Novo Nordisk A.S., Class B (b) | 775,825 | ||
23,276 | Tryg A.S. (b) | 724,122 | ||
2,216,881 | ||||
France – 7.4% | ||||
3,885 | Air Liquide S.A. (b) | 635,380 | ||
40,619 | Carrefour S.A. (b) | 688,795 | ||
10,344 | Danone S.A. (b) | 687,862 | ||
940 | Hermes International (b) | 959,117 | ||
1,591 | L’Oreal S.A. (b) | 559,714 | ||
3,216 | Pernod Ricard S.A. (b) | 606,094 | ||
8,415 | Sanofi (b) | 791,416 | ||
52,351 | Vivendi S.A. (b) | 1,608,668 | ||
6,537,046 | ||||
Germany – 6.7% | ||||
7,540 | Beiersdorf AG (b) | 823,030 | ||
39,525 | Deutsche Telekom AG (b) | 702,856 | ||
98,656 | E.ON SE (b) | 1,043,637 | ||
7,885 | Fresenius Medical Care AG & Co., KGaA (b) | 637,888 | ||
4,945 | Knorr-Bremse AG (b) | 654,380 | ||
5,147 | LEG Immobilien AG (b) | 737,831 | ||
14,716 | Siemens Healthineers AG (b) (c) (d) | 825,295 | ||
260,490 | Telefonica Deutschland Holding AG (b) | 713,858 | ||
6,138,775 | ||||
Hong Kong – 8.8% | ||||
270,394 | BOC Hong Kong Holdings Ltd. (b) | 806,316 | ||
167,001 | CLP Holdings, Ltd. (b) | 1,567,232 | ||
152,493 | Henderson Land Development Co., Ltd. (b) | 623,693 | ||
933,875 | Hong Kong & China Gas Co., Ltd. (b) | 1,341,264 | ||
145,283 | MTR Corp., Ltd. (b) | 843,120 | ||
2,091,924 | PCCW Ltd. (b) | 1,163,332 | ||
298,650 | Power Assets Holdings Ltd. (b) | 1,584,834 | ||
7,929,791 | ||||
Ireland – 0.8% | ||||
5,519 | Kerry Group PLC, Class A (b) | 748,968 |
Shares | Description | Value | ||
Israel – 0.8% | ||||
5,661 | Check Point Software Technologies Ltd. (e) | $723,136 | ||
Italy – 0.6% | ||||
78,138 | Terna Rete Elettrica Nazionale S.p.A (b) | 566,669 | ||
Japan – 28.0% | ||||
9,600 | Calbee, Inc. (b) | 283,904 | ||
36,400 | Chubu Electric Power Co., Inc. (b) | 445,818 | ||
117,400 | Chugoku Electric Power (The) Co., Inc. (b) | 1,447,645 | ||
1,500 | Daikin Industries Ltd. (b) | 316,699 | ||
142,200 | ENEOS Holdings, Inc. (b) | 576,301 | ||
1,900 | Hirose Electric Co., Ltd. (b) | 298,316 | ||
44,200 | Idemitsu Kosan Co., Ltd. (b) | 1,037,990 | ||
47,100 | ITOCHU Corp. (b) | 1,348,896 | ||
6,100 | Itochu Techno-Solutions Corp. (b) | 215,050 | ||
71,100 | Japan Tobacco, Inc. (b) | 1,412,351 | ||
9,000 | JSR Corp. (b) | 274,641 | ||
30,100 | Kansai Electric Power (The) Co., Inc. (b) | 295,112 | ||
12,600 | Kansai Paint Co. Ltd. (b) | 370,882 | ||
9,800 | Kao Corp. (b) | 711,057 | ||
12,700 | KDDI Corp. (b) | 373,288 | ||
6,500 | Keihan Holdings Co., Ltd. (b) | 296,327 | ||
1,200 | Keyence Corp. (b) | 644,258 | ||
3,500 | Kobayashi Pharmaceutical Co., Ltd. (b) | 394,132 | ||
9,000 | Kyocera Corp. (b) | 576,830 | ||
33,100 | Kyushu Electric Power Co., Inc. (b) | 307,073 | ||
6,300 | Lawson, Inc. (b) | 305,977 | ||
31,100 | McDonald’s Holdings Co., Japan Ltd. (b) | 1,516,584 | ||
15,100 | MEIJI Holdings Co., Ltd. (b) | 1,030,725 | ||
37,800 | Mitsubishi Corp. (b) | 957,554 | ||
31,300 | Mitsubishi Electric Corp. (b) | 477,475 | ||
17,000 | Mitsui & Co., Ltd. (b) | 315,428 | ||
23,700 | MS&AD Insurance Group Holdings, Inc. (b) | 681,881 | ||
5,000 | Murata Manufacturing Co., Ltd. (b) | 480,240 | ||
32,800 | Nagoya Railroad Co., Ltd. (b) | 835,407 | ||
500 | Nintendo Co., Ltd. (b) | 287,818 | ||
16,500 | Nippon Telegraph & Telephone Corp. (b) | 412,398 | ||
6,400 | Nissin Foods Holdings Co., Ltd. (b) | 553,178 | ||
3,000 | Nitto Denko Corp. (b) | 271,927 | ||
20,100 | Osaka Gas Co., Ltd. (b) | 371,703 | ||
3,100 | Rinnai Corp. (b) | 323,790 | ||
6,200 | Secom Co., Ltd. (b) | 561,776 | ||
19,800 | Sega Sammy Holdings, Inc. (b) | 315,354 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Japan (Continued) | ||||
148,700 | Seven Bank Ltd. (b) | $327,595 | ||
67,200 | Shizuoka Bank (The), Ltd. (b) | 488,507 | ||
93,000 | Softbank Corp. (b) | 1,221,691 | ||
4,900 | Sohgo Security Services Co., Ltd. (b) | 241,118 | ||
2,900 | Sony Corp. (b) | 277,567 | ||
5,100 | Takeda Pharmaceutical Co., Ltd. (b) | 179,365 | ||
18,300 | Teijin Ltd. (b) | 334,789 | ||
73,400 | Tohoku Electric Power Co., Inc. (b) | 629,955 | ||
7,300 | Toyota Motor Corp. (b) | 511,992 | ||
10,500 | USS Co., Ltd. (b) | 206,762 | ||
25,745,126 | ||||
Netherlands – 3.5% | ||||
36,835 | Koninklijke Ahold Delhaize N.V. (b) | 1,057,332 | ||
24,509 | Koninklijke Vopak N.V. (b) | 1,240,467 | ||
9,828 | Wolters Kluwer N.V. (b) | 816,612 | ||
3,114,411 | ||||
New Zealand – 1.0% | ||||
258,967 | Spark New Zealand Ltd. (b) | 889,125 | ||
Norway – 0.8% | ||||
76,092 | Orkla ASA (b) | 739,666 | ||
Singapore – 6.0% | ||||
299,500 | CapitaLand Ltd. (b) | 719,894 | ||
37,300 | DBS Group Holdings Ltd. (b) | 703,376 | ||
197,000 | Keppel Corp., Ltd. (b) | 740,452 | ||
164,100 | Oversea-Chinese Banking Corp., Ltd. (b) | 1,271,817 | ||
521,800 | Singapore Telecommunications Ltd. (b) | 924,393 | ||
64,500 | United Overseas Bank Ltd. (b) | 1,133,253 | ||
5,493,185 | ||||
Spain – 2.2% | ||||
24,162 | Endesa S.A. (b) | 617,514 | ||
60,878 | Iberdrola S.A. (b) | 824,239 | ||
29,903 | Red Electrica Corp. S.A. (b) | 567,795 | ||
2,009,548 | ||||
Sweden – 3.0% | ||||
16,641 | Essity AB, Class B (b) | 531,528 | ||
11,463 | ICA Gruppen AB (b) | 574,578 | ||
7,137 | Investor AB, Class B (b) | 523,494 | ||
30,971 | Tele2 AB, Class B (b) | 427,426 | ||
149,856 | Telia Co., AB (b) | 656,712 | ||
2,713,738 | ||||
Switzerland – 13.8% | ||||
26,470 | ABB Ltd. (b) | 780,770 | ||
7,955 | Banque Cantonale Vaudoise (b) | 841,736 |
Shares | Description | Value | ||
Switzerland (Continued) | ||||
1,920 | Geberit AG (b) | $1,175,168 | ||
3,425 | Kuehne + Nagel International AG | 779,379 | ||
13,654 | Nestle S.A. (b) | 1,530,567 | ||
18,252 | Novartis AG (b) | 1,652,631 | ||
700 | Partners Group Holding AG (b) | 826,554 | ||
2,613 | Roche Holding AG (b) | 901,778 | ||
5,007 | Schindler Holding AG (b) | 1,321,471 | ||
11,004 | Swiss Prime Site AG (b) | 1,069,499 | ||
3,016 | Swisscom AG (b) | 1,641,545 | ||
12,521,098 | ||||
United Kingdom – 7.9% | ||||
18,307 | Admiral Group PLC (b) | 721,494 | ||
34,662 | GlaxoSmithKline PLC (b) | 643,719 | ||
227,019 | J Sainsbury PLC (b) | 758,177 | ||
54,835 | National Grid PLC (b) | 636,946 | ||
6,683 | Reckitt Benckiser Group PLC (b) | 566,574 | ||
4,598 | Spirax-Sarco Engineering PLC (b) | 695,173 | ||
341,826 | Tesco PLC (b) | 1,118,591 | ||
9,614 | Unilever PLC (b) | 560,065 | ||
15,951 | Unilever PLC | 927,217 | ||
270,668 | Wm Morrison Supermarkets PLC (b) | 663,786 | ||
7,291,742 | ||||
Total Common Stocks | 89,452,832 | |||
(Cost $84,119,663) | ||||
REAL ESTATE INVESTMENT TRUSTS (a) – 1.7% | ||||
Singapore – 1.7% | ||||
359,500 | Ascendas Real Estate Investment Trust (b) | 829,486 | ||
486,800 | Mapletree Commercial Trust (b) | 753,141 | ||
Total Real Estate Investment Trusts | 1,582,627 | |||
(Cost $1,655,095) | ||||
Total Investments – 99.8% | 91,035,459 | |||
(Cost $85,774,758) (f) | ||||
Net Other Assets and Liabilities – 0.2% | 200,213 | |||
Net Assets – 100.0% | $91,235,672 |
(a) | Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
(b) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Trust’s Board of Trustees and in accordance with provisions of the Investment Company Act of 1940, as amended. At January 31, 2021, securities noted as such are valued at $89,385,106 or 98.0% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets’ close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. |
(c) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”). |
(d) | This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
(e) | Non-income producing security. |
(f) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $7,202,871 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,942,170. The net unrealized appreciation was $5,260,701. |
Total Value at 1/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
Israel | $ 723,136 | $ 723,136 | $ — | $ — |
United Kingdom | 7,291,742 | 927,217 | 6,364,525 | — |
Other Country Categories* | 81,437,954 | — | 81,437,954 | — |
Real Estate Investment Trusts* | 1,582,627 | — | 1,582,627 | — |
Total Investments | $ 91,035,459 | $ 1,650,353 | $ 89,385,106 | $— |
* | See Portfolio of Investments for country breakout. |
Currency Exposure Diversification | % of Total Investments |
Japanese Yen | 28.3% |
Euro | 22.0 |
Swiss Franc | 13.7 |
Hong Kong Dollar | 8.7 |
Singapore Dollar | 7.8 |
British Pound Sterling | 7.0 |
Australian Dollar | 4.5 |
Swedish Krona | 3.0 |
Danish Krone | 2.4 |
New Zealand Dollar | 1.0 |
Norwegian Krone | 0.8 |
United States Dollar | 0.8 |
Total | 100.0% |
Shares | Description | Value | ||
COMMON STOCKS – 86.9% | ||||
Aerospace & Defense – 1.6% | ||||
17,352 | Park Aerospace Corp. | $230,435 | ||
Air Freight & Logistics – 1.0% | ||||
1,034 | Forward Air Corp. | 74,127 | ||
1,404 | Hub Group, Inc., Class A (a) | 73,893 | ||
148,020 | ||||
Auto Components – 1.1% | ||||
2,357 | Gentex Corp. | 77,899 | ||
1,987 | Standard Motor Products, Inc. | 77,950 | ||
155,849 | ||||
Banks – 1.1% | ||||
1,176 | Commerce Bancshares, Inc. | 78,615 | ||
1,390 | Westamerica BanCorp | 77,590 | ||
156,205 | ||||
Biotechnology – 0.6% | ||||
496 | United Therapeutics Corp. (a) | 81,255 | ||
Building Products – 0.6% | ||||
285 | Lennox International, Inc. | 78,515 | ||
Capital Markets – 1.1% | ||||
714 | Affiliated Managers Group, Inc. | 78,675 | ||
264 | FactSet Research Systems, Inc. | 79,818 | ||
158,493 | ||||
Chemicals – 2.7% | ||||
982 | Ashland Global Holdings, Inc. | 78,550 | ||
714 | Balchem Corp. | 76,420 | ||
943 | RPM International, Inc. | 77,769 | ||
1,072 | Sensient Technologies Corp. | 75,608 | ||
678 | Stepan Co. | 76,397 | ||
384,744 | ||||
Commercial Services & Supplies – 1.7% | ||||
515 | MSA Safety, Inc. | 80,402 | ||
1,232 | Stericycle, Inc. (a) | 80,671 | ||
614 | Tetra Tech, Inc. | 74,644 | ||
235,717 | ||||
Construction & Engineering – 1.8% | ||||
1,332 | Valmont Industries, Inc. | 256,969 | ||
Containers & Packaging – 1.7% | ||||
592 | AptarGroup, Inc. | 78,718 | ||
2,256 | Silgan Holdings, Inc. | 82,186 | ||
1,371 | Sonoco Products Co. | 79,395 | ||
240,299 |
Shares | Description | Value | ||
Diversified Consumer Services – 1.1% | ||||
955 | Grand Canyon Education, Inc. (a) | $81,118 | ||
1,547 | Service Corp. International | 78,015 | ||
159,133 | ||||
Diversified Financial Services – 0.6% | ||||
3,397 | Jefferies Financial Group, Inc. | 79,320 | ||
Diversified Telecommunication Services – 1.7% | ||||
4,136 | Cogent Communications Holdings, Inc. | 235,545 | ||
Electric Utilities – 3.3% | ||||
3,607 | ALLETE, Inc. | 226,664 | ||
2,427 | Hawaiian Electric Industries, Inc. | 80,236 | ||
913 | IDACORP, Inc. | 80,618 | ||
2,607 | OGE Energy Corp. | 79,566 | ||
467,084 | ||||
Electrical Equipment – 1.1% | ||||
1,405 | Encore Wire Corp. | 81,139 | ||
503 | Hubbell, Inc. | 78,267 | ||
159,406 | ||||
Electronic Equipment, Instruments & Components – 3.8% | ||||
796 | Arrow Electronics, Inc. (a) | 77,713 | ||
2,352 | Badger Meter, Inc. | 215,702 | ||
990 | Fabrinet (a) | 78,151 | ||
883 | OSI Systems, Inc. (a) | 79,488 | ||
5,864 | TTM Technologies, Inc. (a) | 78,636 | ||
529,690 | ||||
Food & Staples Retailing – 1.7% | ||||
405 | Casey’s General Stores, Inc. | 75,930 | ||
848 | PriceSmart, Inc. | 79,610 | ||
3,519 | Sprouts Farmers Market, Inc. (a) | 79,705 | ||
235,245 | ||||
Food Products – 6.7% | ||||
2,190 | Cal-Maine Foods, Inc. (a) | 83,965 | ||
3,611 | Flowers Foods, Inc. | 82,908 | ||
1,935 | Hain Celestial Group (The), Inc. (a) | 80,467 | ||
1,061 | Ingredion, Inc. | 80,074 | ||
1,016 | John B. Sanfilippo & Son, Inc. | 81,717 | ||
464 | Lancaster Colony Corp. | 81,005 | ||
10,969 | Pilgrim’s Pride Corp. (a) | 212,579 | ||
826 | Post Holdings, Inc. (a) | 78,346 | ||
2,214 | Tootsie Roll Industries, Inc. | 87,630 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Food Products (Continued) | ||||
1,923 | TreeHouse Foods, Inc. (a) | $81,208 | ||
949,899 | ||||
Gas Utilities – 4.0% | ||||
2,008 | National Fuel Gas Co. | 80,842 | ||
1,133 | ONE Gas, Inc. | 82,856 | ||
9,965 | South Jersey Industries, Inc. | 230,191 | ||
1,355 | Southwest Gas Holdings, Inc. | 81,246 | ||
1,361 | Spire, Inc. | 83,280 | ||
558,415 | ||||
Health Care Equipment & Supplies – 2.8% | ||||
1,292 | Globus Medical, Inc., Class A (a) | 79,703 | ||
807 | Hill-Rom Holdings, Inc. | 77,504 | ||
382 | ICU Medical, Inc. (a) | 78,111 | ||
330 | Masimo Corp. (a) | 84,454 | ||
950 | Neogen Corp. (a) | 76,827 | ||
396,599 | ||||
Health Care Providers & Services – 1.1% | ||||
149 | Chemed Corp. | 77,167 | ||
965 | Encompass Health Corp. | 77,586 | ||
154,753 | ||||
Health Care Technology – 0.5% | ||||
3,271 | HealthStream, Inc. (a) | 76,149 | ||
Household Durables – 0.5% | ||||
1,902 | La-Z-Boy, Inc. | 73,645 | ||
Household Products – 2.4% | ||||
1,906 | Central Garden & Pet Co. (a) | 80,605 | ||
867 | WD-40 Co. | 263,923 | ||
344,528 | ||||
Industrial Conglomerates – 0.6% | ||||
547 | Carlisle Cos., Inc. | 79,277 | ||
Insurance – 8.4% | ||||
1,446 | AMERISAFE, Inc. | 80,253 | ||
1,783 | Brown & Brown, Inc. | 76,829 | ||
2,542 | Employers Holdings, Inc. | 77,531 | ||
711 | Hanover Insurance Group (The), Inc. | 79,966 | ||
6,169 | Horace Mann Educators Corp. | 241,640 | ||
1,112 | Kemper Corp. | 78,229 | ||
1,560 | Mercury General Corp. | 82,696 | ||
4,444 | Old Republic International Corp. | 80,436 | ||
535 | RenaissanceRe Holdings Ltd. | 80,485 | ||
2,350 | RLI Corp. | 227,433 | ||
1,074 | Safety Insurance Group, Inc. | 78,875 | ||
1,184,373 |
Shares | Description | Value | ||
IT Services – 3.9% | ||||
327 | CACI International, Inc., Class A (a) | $78,879 | ||
1,824 | CSG Systems International, Inc. | 78,596 | ||
978 | ExlService Holdings, Inc. (a) | 74,993 | ||
863 | ManTech International Corp., Class A | 77,403 | ||
1,056 | MAXIMUS, Inc. | 79,263 | ||
2,836 | NIC, Inc. | 76,345 | ||
816 | Science Applications International Corp. | 78,361 | ||
543,840 | ||||
Life Sciences Tools & Services – 1.1% | ||||
241 | Bio-Techne Corp. | 78,303 | ||
308 | Charles River Laboratories International, Inc. (a) | 79,788 | ||
158,091 | ||||
Machinery – 5.6% | ||||
1,361 | Donaldson Co., Inc. | 80,898 | ||
799 | ESCO Technologies, Inc. | 75,969 | ||
2,386 | Federal Signal Corp. | 77,998 | ||
1,149 | Graco, Inc. | 79,212 | ||
1,045 | ITT, Inc. | 78,072 | ||
689 | Lincoln Electric Holdings, Inc. | 78,890 | ||
439 | Nordson Corp. | 78,577 | ||
1,138 | Tennant Co. | 77,100 | ||
836 | Toro (The) Co. | 78,793 | ||
649 | Watts Water Technologies, Inc., Class A | 77,925 | ||
783,434 | ||||
Media – 2.1% | ||||
4,810 | John Wiley & Sons, Inc., Class A | 219,384 | ||
1,484 | New York Times (The) Co., Class A | 73,592 | ||
292,976 | ||||
Metals & Mining – 1.1% | ||||
1,346 | Compass Minerals International, Inc. | 78,418 | ||
663 | Reliance Steel & Aluminum Co. | 76,961 | ||
155,379 | ||||
Multi-Utilities – 1.7% | ||||
1,363 | Black Hills Corp. | 80,581 | ||
3,070 | MDU Resources Group, Inc. | 80,710 | ||
1,487 | NorthWestern Corp. | 80,997 | ||
242,288 | ||||
Paper & Forest Products – 1.6% | ||||
5,979 | Schweitzer-Mauduit International, Inc. | 222,060 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Pharmaceuticals – 1.1% | ||||
4,300 | Amphastar Pharmaceuticals, Inc. (a) | $78,174 | ||
1,931 | Prestige Consumer Healthcare, Inc. (a) | 77,240 | ||
155,414 | ||||
Professional Services – 1.1% | ||||
917 | Exponent, Inc. | 75,726 | ||
691 | FTI Consulting, Inc. (a) | 75,989 | ||
151,715 | ||||
Road & Rail – 2.2% | ||||
4,222 | Heartland Express, Inc. | 79,247 | ||
1,845 | Knight-Swift Transportation Holdings, Inc. | 73,800 | ||
549 | Landstar System, Inc. | 76,530 | ||
1,903 | Werner Enterprises, Inc. | 74,674 | ||
304,251 | ||||
Semiconductors & Semiconductor Equipment – 0.6% | ||||
4,934 | DSP Group, Inc. (a) | 79,585 | ||
Software – 6.1% | ||||
1,647 | Bottomline Technologies DE, Inc. (a) | 78,694 | ||
1,628 | CDK Global, Inc. | 81,237 | ||
1,366 | CommVault Systems, Inc. (a) | 85,758 | ||
1,227 | InterDigital, Inc. | 78,786 | ||
811 | J2 Global, Inc. (a) | 83,241 | ||
1,906 | Progress Software Corp. | 76,583 | ||
635 | PTC, Inc. (a) | 84,398 | ||
780 | SPS Commerce, Inc. (a) | 77,134 | ||
7,996 | Teradata Corp. (a) | 215,092 | ||
860,923 | ||||
Specialty Retail – 0.6% | ||||
659 | Murphy USA, Inc. | 82,092 | ||
Tobacco – 0.6% | ||||
1,716 | Universal Corp. | 78,713 | ||
Trading Companies & Distributors – 1.1% | ||||
1,025 | MSC Industrial Direct Co., Inc., Class A | 79,509 | ||
333 | Watsco, Inc. | 79,417 | ||
158,926 | ||||
Water Utilities – 1.1% | ||||
1,027 | American States Water Co. | 79,346 |
Shares | Description | Value | ||
Water Utilities (Continued) | ||||
1,792 | Essential Utilities, Inc. | $82,970 | ||
162,316 | ||||
Total Common Stocks | 12,241,565 | |||
(Cost $11,767,447) | ||||
REAL ESTATE INVESTMENT TRUSTS – 12.6% | ||||
Equity Real Estate Investment Trusts – 11.5% | ||||
1,272 | Agree Realty Corp. | 80,390 | ||
796 | Camden Property Trust | 81,311 | ||
1,141 | Centerspace | 79,802 | ||
607 | CoreSite Realty Corp. | 81,605 | ||
3,090 | Corporate Office Properties Trust | 81,174 | ||
3,505 | Easterly Government Properties, Inc. | 76,935 | ||
1,960 | First Industrial Realty Trust, Inc. | 79,654 | ||
2,968 | Getty Realty Corp. | 78,860 | ||
2,652 | Healthcare Realty Trust, Inc. | 79,587 | ||
6,049 | Independence Realty Trust, Inc. | 80,331 | ||
3,675 | Industrial Logistics Properties Trust | 77,947 | ||
7,761 | Lexington Realty Trust | 79,550 | ||
990 | Life Storage, Inc. | 80,764 | ||
2,044 | LTC Properties, Inc. | 78,980 | ||
2,209 | National Storage Affiliates Trust | 80,717 | ||
4,511 | Physicians Realty Trust | 79,529 | ||
1,621 | PotlatchDeltic Corp. | 77,419 | ||
8,519 | Rayonier, Inc. | 261,959 | ||
1,616,514 | ||||
Mortgage Real Estate Investment Trusts – 1.1% | ||||
7,125 | ARMOUR Residential REIT, Inc. | 79,587 | ||
4,667 | KKR Real Estate Finance Trust, Inc. | 79,899 | ||
159,486 | ||||
Total Real Estate Investment Trusts | 1,776,000 | |||
(Cost $1,771,419) | ||||
Total Investments – 99.5% | 14,017,565 | |||
(Cost $13,538,866) (b) | ||||
Net Other Assets and Liabilities – 0.5% | 71,297 | |||
Net Assets – 100.0% | $14,088,862 |
(a) | Non-income producing security. |
(b) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $741,717 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $263,018. The net unrealized appreciation was $478,699. |
Total Value at 1/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 12,241,565 | $ 12,241,565 | $ — | $ — |
Real Estate Investment Trusts* | 1,776,000 | 1,776,000 | — | — |
Total Investments | $ 14,017,565 | $ 14,017,565 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | First Trust Horizon Managed Volatility Developed International ETF (HDMV) | First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | |||
ASSETS: | |||||
Investments, at value | $ 163,647,024 | $ 91,035,459 | $ 14,017,565 | ||
Cash | 246,910 | 65,320 | 159,365 | ||
Foreign currency | — | 5,295 | — | ||
Receivables: | |||||
Investment securities sold | 11,089,681 | 4,496,921 | — | ||
Dividends | 261,259 | 66,324 | 4,547 | ||
Dividend reclaims | 5,542 | 194,663 | — | ||
Total Assets | 175,250,416 | 95,863,982 | 14,181,477 | ||
LIABILITIES: | |||||
Payables: | |||||
Fund shares redeemed | 11,120,148 | 4,561,777 | — | ||
Investment advisory fees | 108,020 | 66,533 | 9,927 | ||
Investment securities purchased | — | — | 82,688 | ||
Total Liabilities | 11,228,168 | 4,628,310 | 92,615 | ||
NET ASSETS | $164,022,248 | $91,235,672 | $14,088,862 | ||
NET ASSETS consist of: | |||||
Paid-in capital | $ 195,396,328 | $ 115,568,775 | $ 11,297,460 | ||
Par value | 59,000 | 30,000 | 5,000 | ||
Accumulated distributable earnings (loss) | (31,433,080) | (24,363,103) | 2,786,402 | ||
NET ASSETS | $164,022,248 | $91,235,672 | $14,088,862 | ||
NET ASSET VALUE, per share | $27.80 | $30.41 | $28.18 | ||
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 5,900,002 | 3,000,002 | 500,002 | ||
Investments, at cost | $155,748,029 | $85,774,758 | $13,538,866 | ||
Foreign currency, at cost (proceeds) | $— | $5,291 | $— |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | First Trust Horizon Managed Volatility Developed International ETF (HDMV) | First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | ||||
INVESTMENT INCOME: | ||||||
Dividends | $ 2,099,059 | $ 1,397,148 | $ 170,930 | |||
Interest | 22 | 7 | — | |||
Foreign withholding tax | — | (89,643) | — | |||
Other | 13 | — | — | |||
Total investment income | 2,099,094 | 1,307,512 | 170,930 | |||
EXPENSES: | ||||||
Investment advisory fees | 678,216 | 421,566 | 63,210 | |||
Total expenses | 678,216 | 421,566 | 63,210 | |||
NET INVESTMENT INCOME (LOSS) | 1,420,878 | 885,946 | 107,720 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||||
Net realized gain (loss) on: | ||||||
Investments | (2,849,773) | 3,017,990 | (265,443) | |||
In-kind redemptions | 19,217,626 | 2,599,586 | 2,586,008 | |||
Foreign currency transactions | — | (15,210) | — | |||
Net realized gain (loss) | 16,367,853 | 5,602,366 | 2,320,565 | |||
Net increase from payment by the advisor | — | 6,254 | — | |||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investments | (11,187,533) | 3,168,459 | (598,270) | |||
Foreign currency translation | — | 12,213 | — | |||
Net change in unrealized appreciation (depreciation) | (11,187,533) | 3,180,672 | (598,270) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 5,180,320 | 8,789,292 | 1,722,295 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 6,601,198 | $ 9,675,238 | $ 1,830,015 |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | First Trust Horizon Managed Volatility Developed International ETF (HDMV) | ||||||
Six Months Ended 1/31/2021 (Unaudited) | Year Ended 7/31/2020 | Six Months Ended 1/31/2021 (Unaudited) | Year Ended 7/31/2020 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 1,420,878 | $ 3,252,411 | $ 885,946 | $ 2,996,449 | |||
Net realized gain (loss) | 16,367,853 | (4,596,249) | 5,602,366 | (24,727,414) | |||
Net increase from payment by the advisor | — | — | 6,254 | — | |||
Net change in unrealized appreciation (depreciation) | (11,187,533) | 1,915,698 | 3,180,672 | 956,053 | |||
Net increase (decrease) in net assets resulting from operations | 6,601,198 | 571,860 | 9,675,238 | (20,774,912) | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (1,398,160) | (3,582,296) | (1,069,875) | (3,755,422) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 124,628,083 | 355,667,495 | — | 87,535,588 | |||
Cost of shares redeemed | (180,630,987) | (362,223,485) | (41,083,209) | (67,686,203) | |||
Net increase (decrease) in net assets resulting from shareholder transactions | (56,002,904) | (6,555,990) | (41,083,209) | 19,849,385 | |||
Total increase (decrease) in net assets | (50,799,866) | (9,566,426) | (32,477,846) | (4,680,949) | |||
NET ASSETS: | |||||||
Beginning of period | 214,822,114 | 224,388,540 | 123,713,518 | 128,394,467 | |||
End of period | $164,022,248 | $214,822,114 | $91,235,672 | $123,713,518 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 7,900,002 | 8,400,002 | 4,400,002 | 3,900,002 | |||
Shares sold | 4,500,000 | 13,500,000 | — | 2,750,000 | |||
Shares redeemed | (6,500,000) | (14,000,000) | (1,400,000) | (2,250,000) | |||
Shares outstanding, end of period | 5,900,002 | 7,900,002 | 3,000,002 | 4,400,002 |
(a) | Inception date is April 6, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | ||
Six Months Ended 1/31/2021 (Unaudited) | Period Ended 7/31/2020 (a) | |
$ 107,720 | $ 14,506 | |
2,320,565 | 213,038 | |
— | — | |
(598,270) | 1,076,969 | |
1,830,015 | 1,304,513 | |
(120,206) | (6,225) | |
12,292,789 | 19,986,223 | |
(19,936,432) | (1,261,815) | |
(7,643,643) | 18,724,408 | |
(5,933,834) | 20,022,696 | |
20,022,696 | — | |
$14,088,862 | $ 20,022,696 | |
800,002 | — | |
450,000 | 850,002 | |
(750,000) | (50,000) | |
500,002 | 800,002 |
Six Months Ended 1/31/2021 (Unaudited) | Year Ended July 31, | Period Ended 7/31/2017 (a) | |||||||
2020 | 2019 | 2018 | |||||||
Net asset value, beginning of period | $ 27.19 | $ 26.71 | $ 23.49 | $ 22.03 | $ 19.96 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.22 | 0.37 | 0.37 | 0.30 | 0.24 | ||||
Net realized and unrealized gain (loss) | 0.60 | 0.52 | 3.17 | 1.46 | 2.05 | ||||
Total from investment operations | 0.82 | 0.89 | 3.54 | 1.76 | 2.29 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.21) | (0.41) | (0.32) | (0.30) | (0.22) | ||||
Net asset value, end of period | $27.80 | $27.19 | $26.71 | $23.49 | $22.03 | ||||
Total return (b) | 3.00% | 3.41% | 15.24% | 8.04% | 11.51% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 164,022 | $ 214,822 | $ 224,389 | $ 133,888 | $ 62,799 | ||||
Ratio of total expenses to average net assets | 0.70% (c) | 0.70% | 0.70% | 0.70% | 0.70% (c) | ||||
Ratio of net investment income (loss) to average net assets | 1.47% (c) | 1.39% | 1.58% | 1.37% | 1.50% (c) | ||||
Portfolio turnover rate (d) | 77% | 211% | 147% | 157% | 149% |
(a) | Inception date is August 24, 2016, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Six Months Ended 1/31/2021 (Unaudited) | Year Ended July 31, | Period Ended 7/31/2017 (a) | |||||||
2020 | 2019 | 2018 | |||||||
Net asset value, beginning of period | $ 28.12 | $ 32.92 | $ 33.72 | $ 33.05 | $ 29.89 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.26 | 0.65 | 0.86 | 0.91 | 0.63 | ||||
Net realized and unrealized gain (loss) | 2.35 | (4.61) | (0.79) | 0.87 | 3.13 | ||||
Total from investment operations | 2.61 | (3.96) | 0.07 | 1.78 | 3.76 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.32) | (0.84) | (0.87) | (1.11) | (0.60) | ||||
Net asset value, end of period | $30.41 | $28.12 | $32.92 | $33.72 | $33.05 | ||||
Total return (b) | 9.28% (c) | (12.37)% | 0.21% | 5.48% | 12.68% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 91,236 | $ 123,714 | $ 128,394 | $ 59,010 | $ 29,745 | ||||
Ratio of total expenses to average net assets | 0.80% (d) | 0.80% | 0.80% | 0.80% | 0.80% (d) | ||||
Ratio of net investment income (loss) to average net assets | 1.68% (d) | 2.08% | 2.74% | 2.73% | 2.74% (d) | ||||
Portfolio turnover rate (e) | 62% | 196% | 99% | 133% | 150% |
(a) | Inception date is August 24, 2016, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | The Fund received a reimbursement from the advisor in the amount of $6,254, which represents less than $0.01 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Six Months Ended 1/31/2021 (Unaudited) | Period Ended 7/31/2020 (a) | ||
Net asset value, beginning of period | $ 25.03 | $ 21.10 | |
Income from investment operations: | |||
Net investment income (loss) | 0.20 | 0.02 | |
Net realized and unrealized gain (loss) | 3.17 | 3.92 | |
Total from investment operations | 3.37 | 3.94 | |
Distributions paid to shareholders from: | |||
Net investment income | (0.22) | (0.01) | |
Net asset value, end of period | $28.18 | $25.03 | |
Total return (b) | 13.50% | 18.67% | |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $ 14,089 | $ 20,023 | |
Ratio of total expenses to average net assets | 0.80% (c) | 0.80% (c) | |
Ratio of net investment income (loss) to average net assets | 1.36% (c) | 0.60% (c) | |
Portfolio turnover rate (d) | 60% | 5% |
(a) | Inception date is April 6, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | 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 Horizon Managed Volatility Domestic ETF | $ 3,582,296 | $ — | $ — | ||
First Trust Horizon Managed Volatility Developed International ETF | 3,755,422 | — | — | ||
First Trust Horizon Managed Volatility Small/Mid ETF | 6,225 | — | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust Horizon Managed Volatility Domestic ETF | $ 180,784 | $ (55,601,206) | $ 18,784,304 | ||
First Trust Horizon Managed Volatility Developed International ETF | 31,560 | (34,892,318) | 1,892,292 | ||
First Trust Horizon Managed Volatility Small/Mid ETF | 8,281 | (769) | 1,069,081 |
Non-Expiring Capital Loss Carryforward | |
First Trust Horizon Managed Volatility Domestic ETF | $ 55,601,206 |
First Trust Horizon Managed Volatility Developed International ETF | 34,892,318 |
First Trust Horizon Managed Volatility Small/Mid ETF | 769 |
Purchases | Sales | ||
First Trust Horizon Managed Volatility Domestic ETF | $ 145,278,836 | $ 144,703,450 | |
First Trust Horizon Managed Volatility Developed International ETF | 63,480,719 | 64,325,394 | |
First Trust Horizon Managed Volatility Small/Mid ETF | 9,445,212 | 9,139,271 | |
Purchases | Sales | ||
First Trust Horizon Managed Volatility Domestic ETF | $ 124,053,537 | $ 180,540,375 | |
First Trust Horizon Managed Volatility Developed International ETF | — | 40,310,800 | |
First Trust Horizon Managed Volatility Small/Mid ETF | 12,163,160 | 19,798,359 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Six Months Ended
January 31, 2021
1 | |
2 | |
5 | |
6 | |
7 | |
15 | |
16 | |
17 | |
18 | |
19 | |
26 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/21 | 1 Year Ended 1/31/21 | Inception (6/20/17) to 1/31/21 | Inception (6/20/17) to 1/31/21 | |
Fund Performance | ||||
NAV | 3.69% | 2.56% | 5.13% | 19.82% |
Market Price | 3.60% | 2.30% | 5.09% | 19.68% |
Index Performance | ||||
Bloomberg Barclays 10 Year California Exempt Index | 1.20% | 4.02% | 4.21% | 16.08% |
Sector Allocation | % of Total Investments (including cash) |
Insured | 17.8% |
Special Assessment | 13.9 |
Education | 9.6 |
Tobacco | 8.5 |
Government Obligation Bond - Unlimited Tax | 6.4 |
Dedicated Tax | 6.3 |
Hospital | 6.0 |
Industrial Development Bond | 5.6 |
Continuing Care Retirement Communities | 4.2 |
Student Housing | 3.7 |
Certificates of Participation | 3.7 |
Water & Sewer | 3.3 |
Tax Increment | 3.0 |
Higher Education | 2.5 |
Airport | 2.0 |
Local Housing | 0.7 |
Other Health | 0.7 |
Gas | 0.6 |
Government Obligation Bond - Limited Tax | 0.6 |
Housing | 0.5 |
Toll Road | 0.2 |
Cash | 0.2 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 95.5% |
Net Other Assets and Liabilities(1) | 4.5 |
Total | 100.0% |
Credit Rating(2) | % of Total Investments (including cash) |
AAA | 0.3% |
AA | 32.1 |
A | 19.9 |
BBB | 15.8 |
BB | 8.4 |
B | 1.9 |
Not Rated | 21.4 |
Cash | 0.2 |
Total | 100.0% |
(1) | Includes variation margin on futures. |
(2) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Beginning Account Value August 1, 2020 | Ending Account Value January 31, 2021 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (b) | |
First Trust California Municipal High Income ETF (FCAL) | ||||
Actual | $1,000.00 | $1,036.90 | 0.50% | $2.57 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.68 | 0.50% | $2.55 |
(a) | These expense ratios reflect expense waivers. See Note 3 in the Notes to Financial Statements. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (August 1, 2020 through January 31, 2021), multiplied by 184/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 95.5% | ||||||||
California – 86.3% | ||||||||
$350,000 | Alameda CA Corridor Transprtn Auth Ref 2nd Sub Lien, Ser B, AGM | 4.00% | 10/01/37 | $389,620 | ||||
150,000 | Alameda CA Corridor Transprtn Auth Ref Subordinate Lien, Ser A | 5.00% | 10/01/25 | 180,815 | ||||
500,000 | Anaheim CA Pub Fin Auth Lease Rev Pub Imps Proj, Ser A | 5.00% | 09/01/28 | 622,435 | ||||
215,000 | Antelope Vly E Kern CA Wtr Agy Wtr Rev Ref | 5.00% | 06/01/35 | 260,976 | ||||
525,000 | Azusa CA Spl Tax Cmnty Facs Dist No 2005-1 Impt | 4.00% | 09/01/34 | 597,912 | ||||
100,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F | 4.00% | 09/01/33 | 113,159 | ||||
175,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F | 4.00% | 09/01/34 | 197,341 | ||||
330,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F | 4.00% | 09/01/36 | 370,917 | ||||
620,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F | 4.00% | 09/01/40 | 691,312 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Settlement Ref, Sonoma Cnty Securitization Corp, Ser A | 4.00% | 06/01/35 | 246,566 | ||||
665,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Settlement Sr Ref, Ser A | 5.00% | 06/01/32 | 903,043 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Settlement Sr Ref, Ser A | 5.00% | 06/01/33 | 269,752 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Settlement Sr Ref, Ser A | 4.00% | 06/01/35 | 249,890 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Settlement Sr Ref, Ser A | 4.00% | 06/01/39 | 245,528 | ||||
440,908 | CA Hsg Fin Agy Muni Ctfs, Ser A | 4.25% | 01/15/35 | 517,234 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Proj, Ser C | 4.50% | 07/01/26 | 230,326 | ||||
255,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Projs, Ser A (a) | 5.00% | 07/01/30 | 297,238 | ||||
505,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (a) | 5.00% | 07/01/34 | 579,008 | ||||
105,000 | CA Sch Fin Auth Sch Fac Rev Kipp Socal Pub Schs, Ser A (a) | 5.00% | 07/01/26 | 129,486 | ||||
105,000 | CA Sch Fin Auth Sch Fac Rev Kipp Socal Pub Schs, Ser A (a) | 5.00% | 07/01/27 | 133,128 | ||||
400,000 | CA Sch Fin Auth Sch Fac Rev Kipp Socal Pub Schs, Ser A (a) | 5.00% | 07/01/39 | 512,012 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Ref Hlth Learning Proj, Ser A (a) | 4.00% | 07/01/25 | 220,196 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Ref Hlth Learning Proj, Ser A (a) | 5.00% | 07/01/32 | 231,252 | ||||
650,000 | CA Sch Fin Auth Sch Fac Rev, Ser A (a) | 5.00% | 07/01/40 | 733,902 | ||||
1,000,000 | CA St Ent Dev Auth Lease Rev Riverside Cnty Library Fac Proj | 4.00% | 11/01/37 | 1,144,900 | ||||
100,000 | CA St Ent Dev Auth Student Hsg Rev M@College Proj, Ser A | 5.00% | 08/01/35 | 125,635 | ||||
100,000 | CA St Ent Dev Auth Student Hsg Rev M@College Proj, Ser A | 5.00% | 08/01/40 | 123,880 | ||||
30,000 | CA St Hlth Facs Fing Auth Rev El Camino Hosp | 5.00% | 02/01/33 | 36,741 | ||||
220,000 | CA St Hlth Facs Fing Auth Rev Ref Sutter Hlth, Ser B | 5.00% | 11/15/33 | 272,886 | ||||
1,000,000 | CA St Hlth Facs Fing Auth Rev Ref, Commonspirit Hlth, Ser A | 4.00% | 04/01/36 | 1,199,040 | ||||
250,000 | CA St Hlth Facs Fing Auth Rev Sutter Hlth, Ser A | 5.00% | 11/15/30 | 320,665 | ||||
500,000 | CA St Infrastructure & Econ Dev Bank Natl Chartr Social Bond, Ser B | 4.00% | 11/01/39 | 605,345 | ||||
250,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Sycamore Academy Proj (b) | 5.38% | 07/01/34 | 270,560 | ||||
250,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Vista Chrt Middle Sch Proj (c) | 5.38% | 07/01/34 | 270,052 | ||||
900,000 | CA St Muni Fin Auth Chrt Sch Rev John Adams Academies Lincoln Proj, Ser A (a) | 5.00% | 10/01/39 | 971,253 | ||||
200,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Academy Proj (a) | 4.00% | 07/01/26 | 210,918 | ||||
200,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Academy Proj, Ser A (a) | 5.00% | 07/01/38 | 229,268 | ||||
250,000 | CA St Muni Fin Auth Chrt Sch Rev, Ser A (a) | 5.50% | 06/01/38 | 277,315 | ||||
60,000 | CA St Muni Fin Auth Eductnl Rev Ref American Heritage Edu, Ser A | 4.00% | 06/01/26 | 64,136 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$605,000 | CA St Muni Fin Auth Mobile Home Park Rev Sr Caritas Affordable Hsg Inc Projs, Ser A | 5.25% | 08/15/49 | $670,092 | ||||
155,000 | CA St Muni Fin Auth Rev Ref Biola Univ | 5.00% | 10/01/37 | 185,764 | ||||
225,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/30 | 283,176 | ||||
225,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/32 | 280,312 | ||||
675,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/33 | 837,668 | ||||
475,000 | CA St Muni Fin Auth Rev Ref Cmnty Med Centers, Ser A | 5.00% | 02/01/36 | 561,854 | ||||
200,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | 240,312 | ||||
400,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/34 | 477,736 | ||||
250,000 | CA St Muni Fin Auth Rev Ref Emerson Clg, Ser B | 5.00% | 01/01/33 | 301,607 | ||||
700,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/34 | 788,991 | ||||
500,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/36 | 560,400 | ||||
110,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/26 | 127,826 | ||||
435,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/27 | 514,379 | ||||
700,000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 790,937 | ||||
500,000 | CA St Muni Fin Auth Sr Living Rev Ref Mt San Antonio Gardens Proj | 5.00% | 11/15/49 | 569,975 | ||||
500,000 | CA St Muni Fin Auth Student Hsg Rev Chf Davis I, LLC West Vlg Student Hsg Proj | 5.00% | 05/15/27 | 609,285 | ||||
350,000 | CA St Muni Fin Auth Student Hsg Rev Chf Davis I, LLC West Vlg Student Hsg Proj | 5.00% | 05/15/40 | 418,656 | ||||
75,000 | CA St Muni Fin Auth Student Hsg Rev Chf Davis I, LLC West Vlg Student Hsg Proj TCRS, BAM | 5.00% | 05/15/29 | 95,507 | ||||
1,000,000 | CA St Muni Fin Auth Student Hsg Rev Chf-Davis I, LLC West Vlg Student Hsg Proj | 5.00% | 05/15/38 | 1,202,500 | ||||
600,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt Inc, Ser A1, AMT | 3.38% | 07/01/25 | 678,300 | ||||
250,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Rialto Bioenergy Fac LLC Proj Green Bond, AMT (a) | 6.75% | 12/01/28 | 255,757 | ||||
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 | 257,100 | ||||
150,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Waste Mgmt Inc Proj, Ser C (Mandatory put 06/03/24) | 3.25% | 12/01/27 | 164,783 | ||||
1,000,000 | CA St Poll Control Fin Auth Wtr Furnishing Rev, AMT (a) | 5.00% | 07/01/37 | 1,069,950 | ||||
15,000 | CA St Pub Wks Brd Lease Rev Judicial Council CA, Ser B | 5.00% | 06/01/34 | 17,850 | ||||
175,000 | CA St Pub Wks Brd Lease Rev Ref, Ser B | 5.00% | 10/01/26 | 220,448 | ||||
165,000 | CA St Pub Wks Brd Lease Rev Ref, Ser B | 5.00% | 05/01/29 | 222,511 | ||||
125,000 | CA St Pub Wks Brd Lease Rev Ref, Ser F | 5.00% | 05/01/24 | 144,458 | ||||
100,000 | CA St Pub Wks Brd Lease Rev Various Corr Facs, Ser A | 5.00% | 09/01/27 | 116,763 | ||||
75,000 | CA St Ref | 4.00% | 09/01/32 | 88,725 | ||||
75,000 | CA St Ref | 4.00% | 08/01/34 | 88,091 | ||||
155,000 | CA St Ref | 4.00% | 09/01/35 | 182,074 | ||||
75,000 | CA St Ref Various Purpose | 4.00% | 09/01/33 | 88,449 | ||||
275,000 | CA St Ref Various Purpose | 4.00% | 09/01/35 | 323,034 | ||||
565,000 | CA St Sch Fin Auth Chrt Sch Rev Arts in Action Chrt Schs, Ser A (a) | 5.00% | 06/01/30 | 645,077 | ||||
335,000 | CA St Sch Fin Auth Chrt Sch Rev Arts in Action Chrt Schs, Ser A (a) | 5.00% | 06/01/40 | 371,522 | ||||
600,000 | CA St Sch Fin Auth Chrt Sch Rev Fenton Chrt Schs, Ser A (a) | 4.00% | 07/01/30 | 661,248 | ||||
600,000 | CA St Sch Fin Auth Chrt Sch Rev Fenton Chrt Schs, Ser A (a) | 5.00% | 07/01/40 | 675,864 | ||||
300,000 | CA St Sch Fin Auth Chrt Sch Rev Rocketship Pub Schs, Ser G (b) | 5.00% | 06/01/37 | 340,455 | ||||
100,000 | CA St Sch Fin Auth Chrt Sch Rev Summit Pub Schs (a) | 5.00% | 06/01/25 | 116,336 | ||||
210,000 | CA St Sch Fin Auth Chrt Sch Rev Summit Pub Schs (a) | 5.00% | 06/01/31 | 249,505 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$400,000 | CA St Stwd Cmntys Dev Auth Clg Hsg Rev NCCD Hooper Street LLC CA Clg of the Arts Projs (a) | 5.25% | 07/01/39 | $447,840 | ||||
200,000 | CA St Stwd Cmntys Dev Auth Student Hsg Rev Ref Chf Irvine LLC | 5.00% | 05/15/30 | 231,036 | ||||
280,000 | CA St Stwd Cmntys Dev Auth Student Hsg Rev Ref Chf Irvine LLC | 5.00% | 05/15/35 | 317,120 | ||||
100,000 | CA St Various Purpose | 5.00% | 10/01/35 | 122,200 | ||||
600,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/30 | 707,982 | ||||
300,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/33 | 363,372 | ||||
150,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (a) | 3.00% | 11/01/22 | 152,448 | ||||
250,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (a) | 5.00% | 11/01/32 | 293,147 | ||||
190,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/27 | 231,496 | ||||
50,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/30 | 59,758 | ||||
175,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/31 | 208,460 | ||||
50,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 4.00% | 04/01/32 | 56,006 | ||||
50,000 | CA Stwd Cmntys Dev Auth Rev Ref Insd Enloe Med Ctr | 5.00% | 08/15/33 | 59,788 | ||||
125,000 | Camarillo CA Cmnty Dev Commn Successor Agy Tax Allocation Ref Camarillo Corridor Proj, AGM | 5.00% | 09/01/25 | 145,266 | ||||
240,000 | Camarillo CA Cmnty Dev Commn Successor Agy Tax Allocation Ref Sub Lien, Ser B, BAM | 5.00% | 09/01/28 | 295,171 | ||||
305,000 | Camarillo CA Cmnty Dev Commn Successor Agy Tax Allocation Ref Sub Lien, Ser B, BAM | 5.00% | 09/01/30 | 371,588 | ||||
400,000 | Casitas Muni Wtr Dist CA Spl Tax Cmnty Facs Dist No 2013-1, BAM | 4.00% | 09/01/34 | 481,832 | ||||
355,000 | Centinela Vly CA Union High Sch Dist Ref, Ser C, AGM | 3.00% | 08/01/36 | 380,361 | ||||
450,000 | Chino CA Cmnty Facs Dist Spl Tax #2003-3 Impt Area #7 | 5.00% | 09/01/31 | 554,679 | ||||
425,000 | Chino Vly CA Unif Sch Dist, Ser B | 5.00% | 08/01/36 | 575,186 | ||||
250,000 | Compton CA Unif Sch Dist Los Angeles Co Schs Fing Progr, Ser A, COPS, BAM | 5.00% | 06/01/31 | 308,632 | ||||
250,000 | Compton CA Unif Sch Dist Los Angeles Co Schs Fing Progr, Ser A, COPS, BAM | 4.00% | 06/01/35 | 288,542 | ||||
200,000 | Compton CA Unif Sch Dist Los Angeles Co Schs Fing Progr, Ser A, COPS, BAM | 4.00% | 06/01/36 | 229,980 | ||||
210,000 | Cotati-Rohnert Park CA Unif Sch Dist 2016 Election, Ser C, AGM | 5.00% | 08/01/32 | 257,676 | ||||
170,000 | Dana Point CA Cmnty Facs Distspl Tax Ref, Ser A, BAM | 4.00% | 09/01/32 | 211,480 | ||||
175,000 | Dana Point CA Cmnty Facs Distspl Tax Ref, Ser A, BAM | 4.00% | 09/01/33 | 216,435 | ||||
180,000 | Dana Point CA Cmnty Facs Distspl Tax Ref, Ser A, BAM | 4.00% | 09/01/34 | 221,729 | ||||
200,000 | Dana Point CA Cmnty Facs Distspl Tax Ref, Ser A, BAM | 4.00% | 09/01/35 | 245,584 | ||||
200,000 | Del Mar CA Union Sch Dist Spl Tax Ref | 4.00% | 09/01/33 | 233,174 | ||||
300,000 | Del Mar CA Union Sch Dist Spl Tax Ref | 4.00% | 09/01/34 | 347,982 | ||||
270,000 | Diablo CA Wtr Dist Wtr Rev Ref, COPS, BAM | 4.00% | 01/01/32 | 321,475 | ||||
150,000 | Dinuba CA Jt Unif Sch Dist, COPS, AGM | 4.00% | 02/01/35 | 171,731 | ||||
755,000 | El Dorado CA Irr Dist Rev Ref, Ser C | 4.00% | 03/01/34 | 860,881 | ||||
300,000 | Estrn CA Muni Wtr Dist Wtr & Wstwtr Rev Sub Ref, Ser A | 5.00% | 07/01/31 | 371,766 | ||||
350,000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No. 19 Mangini | 5.00% | 09/01/32 | 420,532 | ||||
155,000 | Fontana CA Spl Tax Cmnty Facs Dist #80 Bella Strada | 5.00% | 09/01/29 | 190,077 | ||||
240,000 | Fontana CA Spl Tax Spl Tax, The Meadows | 4.00% | 09/01/32 | 274,886 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$165,000 | Fontana CA Unif Sch Dist Prerefunded, AGM | (d) | 02/01/33 | $135,381 | ||||
310,000 | Fountain Vly CA Pub Fing Auth Lease Rev Ref, Ser A | 4.00% | 11/01/29 | 361,252 | ||||
140,000 | Fresno CA Jt Pwrs Fing Auth Lease Rev Ref Master Lease Proj, Ser A, AGM | 5.00% | 04/01/32 | 170,365 | ||||
200,000 | Golden St Tobacco Securitization Corp CA Tobacco Settlement Asset Bkd, Ref, Ser A | 3.25% | 06/01/32 | 218,256 | ||||
100,000 | Golden St Tobacco Securitization Corp CA Tobacco Settlement Enhncd Asset Bkd, Ser A | 5.00% | 06/01/29 | 110,066 | ||||
340,000 | Golden St Tobacco Securitization Corp CA Tobacco Settlement Ref, Ser A-1 | 5.00% | 06/01/26 | 419,169 | ||||
750,000 | Golden St Tobacco Securitization Corp CA Tobacco Settlement Ref, Ser A-1 | 5.00% | 06/01/34 | 929,805 | ||||
145,000 | Golden West CA Schs Fing Auth Ref Beverly Hills Uni Sch Dist, NATL | 5.25% | 08/01/23 | 163,622 | ||||
265,000 | Imperial CA Pub Fing Authrev Ref, AGM | 4.00% | 10/15/33 | 320,960 | ||||
360,000 | Imperial CA Pub Fing Authrev Ref, AGM | 4.00% | 10/15/35 | 431,233 | ||||
140,000 | Inglewood CA Unif Sch Dist, Ser C, BAM | 4.00% | 08/01/35 | 162,624 | ||||
860,000 | Irvine CA Impt Bond Act 1915 Ref | 4.00% | 09/02/35 | 1,046,121 | ||||
150,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist #09-1, Ser C | 5.00% | 09/01/31 | 186,237 | ||||
890,000 | Jurupa CA Public Fing Auth Spl Tax Rev Ref, Ser A, AGM | 4.00% | 09/01/34 | 1,058,637 | ||||
290,000 | Kaweah CA Delta Healthcare Dist Rev, Ser B | 5.00% | 06/01/40 | 328,495 | ||||
100,000 | Kern Cnty CA Wtr Agy Impt Dist #4 Wtr Rev Ref, Ser A, AGM | 5.00% | 05/01/29 | 123,778 | ||||
485,000 | King City CA Union Sch Dist Cap Apprec Election 1998-C, CABS, AMBAC | (d) | 08/01/29 | 429,691 | ||||
250,000 | La Verne CA Ref Brethren Hillcrest Homes, COPS | 5.00% | 05/15/36 | 268,000 | ||||
25,000 | Lammersville CA Jt Unif Sch Dist Spl Tax | 4.00% | 09/01/33 | 28,532 | ||||
25,000 | Lammersville CA Jt Unif Sch Dist Spl Tax | 4.00% | 09/01/34 | 28,450 | ||||
200,000 | Lammersville CA Jt Unif Sch Dist Spl Tax | 4.00% | 09/01/40 | 224,384 | ||||
1,055,000 | Lancaster CA Fing Auth Rev Measure M&R Street Impts Proj | 4.00% | 06/01/35 | 1,262,381 | ||||
100,000 | Long Beach CA Bond Fin Auth Nat Gas Purchase Rev, Ser A | 5.25% | 11/15/23 | 113,795 | ||||
330,000 | Long Beach CA Bond Fin Auth Nat Gas Purchase Rev, Ser A | 5.50% | 11/15/30 | 455,367 | ||||
460,000 | Los Angeles CA Dept of Arpts Arpt Rev Ref Sub Los Angeles Intl Arpt, Ser D, AMT | 5.00% | 05/15/32 | 595,245 | ||||
700,000 | Los Angeles CA Dept of Arpts Arpt Rev Sub Los Angeles Intl Arpt, Ser B, AMT | 5.00% | 05/15/31 | 848,414 | ||||
250,000 | Los Angeles CA Dept of Arpts Arpt Rev Sub Los Angeles Intl Arpt, Ser F, AMT | 5.00% | 05/15/32 | 323,502 | ||||
10,000 | Los Angeles CA Dept of Arpts, Ser E | 5.00% | 05/15/28 | 11,900 | ||||
215,000 | Los Angeles CA Muni Impt Corplease Rev Ref Real Property, Ser B | 4.00% | 11/01/37 | 251,247 | ||||
500,000 | Los Angeles CA Unif Sch Dist, Ser C | 4.00% | 07/01/36 | 618,650 | ||||
410,000 | Los Osos CA Cmnty Svcs Wstwtr Assmnt Dist #1 Ref Reassmnt | 3.13% | 09/02/32 | 455,567 | ||||
100,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/27 | 118,449 | ||||
250,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/33 | 289,080 | ||||
250,000 | Marina Coast CA Wtr Dist Enterprise Rev, COPS | 4.00% | 06/01/35 | 305,272 | ||||
310,000 | Marina Coast CA Wtr Dist Enterprise Rev, COPS | 4.00% | 06/01/36 | 375,655 | ||||
245,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/34 | 287,412 | ||||
500,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/44 | 573,390 | ||||
100,000 | Modesto CA Spl Tax Ref Cmnty Facs Dist # 2004-1 Vlg 1 #2 | 5.00% | 09/01/27 | 115,112 | ||||
200,000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (a) | 5.00% | 10/01/42 | 225,156 | ||||
1,115,000 | Natomas CA Unif Sch Dist, AGM | 3.00% | 08/01/36 | 1,199,528 | ||||
250,000 | Norco CA Spl Tax Ref Norco Ridge Ranch, BAM | 5.00% | 09/01/32 | 309,135 | ||||
750,000 | Oak Vly CA Hosp Dist Hlth Facs Rev Ref, Ser A | 4.00% | 11/01/36 | 812,865 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$405,000 | Oakland CA Unif Sch Dist Alameda Cnty Election of 2012, Ser A, AGM | 4.00% | 08/01/36 | $472,210 | ||||
100,000 | Ontario CA Cmnty Facs Dist 40 Spl Tax Emeral Park Facilites | 4.00% | 09/01/34 | 115,140 | ||||
65,000 | Ontario CA Cmnty Facs Dist 40 Spl Tax Emeral Park Facilites | 4.00% | 09/01/35 | 74,715 | ||||
275,000 | Ontario CA Cmnty Facs Dist 40 Spl Tax Emeral Park Facilites | 4.00% | 09/01/39 | 314,025 | ||||
750,000 | Oxnard CA Sch Dist Election of 2016, Ser C, AGM | 4.00% | 08/01/49 | 872,812 | ||||
250,000 | Palomar Hlth CA Rev Ref | 5.00% | 11/01/31 | 292,815 | ||||
750,000 | Pleasanton CA Unif Sch Dist | 3.00% | 08/01/36 | 796,530 | ||||
210,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/33 | 245,488 | ||||
220,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/34 | 256,430 | ||||
340,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/39 | 391,993 | ||||
200,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Ref #2004-1 Sunridge Park Area | 5.00% | 09/01/25 | 236,994 | ||||
500,000 | River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2019-1 Phase 2 Pub Impts | 5.00% | 09/01/40 | 572,710 | ||||
300,000 | River Islands CA Pub Fing Auth Spl Tax Ref Cmnty Facs Dist #2003-1 | 5.38% | 09/01/31 | 321,414 | ||||
1,500,000 | River Islands Pub Fin Auth CA Lathrop Irr Dt Elec Rev Bds, AGM | 4.00% | 09/01/40 | 1,796,670 | ||||
575,000 | Riverside CA Unif Sch Dist Election of 2016, Ser B | 3.00% | 08/01/38 | 622,518 | ||||
185,000 | Riverside CA Unif Sch Dist Fing Auth Spl Tax Ref, BAM | 5.00% | 09/01/34 | 212,952 | ||||
1,495,000 | Rocklin CA Unif Sch Dist Cmnty Facs Dist Subordinate, Ser 2019, BAM | 4.00% | 09/15/37 | 1,785,239 | ||||
185,000 | Roseville CA Spl Tax | 5.00% | 09/01/32 | 217,349 | ||||
160,000 | Roseville CA Spl Tax | 5.00% | 09/01/33 | 187,224 | ||||
170,000 | Roseville CA Spl Tax | 4.00% | 09/01/34 | 188,921 | ||||
150,000 | Roseville CA Spl Tax | 4.00% | 09/01/35 | 166,370 | ||||
200,000 | Sacramento CA Spl Tax Natomas Meadows Cmnty Facs Dist #2007-01 (a) | 5.00% | 09/01/32 | 227,684 | ||||
500,000 | Sacramento CA Transient Occupancy Tax Rev Sub Convention Ctr Complex, Ser C | 5.00% | 06/01/32 | 618,060 | ||||
385,000 | San Bruno CA Park Sch Dist, Ser B | 4.00% | 08/01/34 | 461,992 | ||||
200,000 | San Bruno CA Park Sch Dist, Ser B | 4.00% | 08/01/37 | 238,030 | ||||
510,000 | San Diego Cnty CA Limited Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A | 5.00% | 11/01/28 | 618,151 | ||||
125,000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No.2, Ser A | 4.00% | 09/01/32 | 142,246 | ||||
85,000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No.2, Ser A | 4.00% | 09/01/33 | 96,429 | ||||
100,000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No.2, Ser A | 4.00% | 09/01/34 | 113,222 | ||||
500,000 | San Francisco CA Bay Area Rapid Transit Dist Sales Tax Rev, Ser A | 4.00% | 07/01/36 | 596,320 | ||||
140,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref, Ser D, AMT | 5.00% | 05/01/22 | 148,221 | ||||
100,000 | San Francisco City & Cnty CA Redev Agy Successor Agy Tax Ref Mission Bay N Redev Proj, Ser A | 5.00% | 08/01/35 | 119,509 | ||||
165,000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Cap Apprec Ref, Ser A, NATL | (d) | 01/15/29 | 140,963 | ||||
675,000 | Santa Clarita CA Cmnty Facs Dist Vista Canyon #2016-1 (a) | 4.00% | 09/01/35 | 745,193 | ||||
250,000 | Santa Monica-Malibu CA Unif Sch Dist, COPS | 4.00% | 05/01/34 | 299,497 | ||||
250,000 | Santa Monica-Malibu CA Unif Sch Dist, COPS | 4.00% | 05/01/35 | 298,847 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$175,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/33 | $208,896 | ||||
370,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/38 | 432,974 | ||||
500,000 | Simi Vly CA Unif Sch Dist, Ser C | 4.00% | 08/01/43 | 586,970 | ||||
150,000 | Soledad CA Unif Sch Dist Premium Ref Bans, CABS | (d) | 08/01/21 | 149,681 | ||||
305,000 | Tahoe-Truckee CA Unif Sch Dist, COPS, BAM | 4.00% | 06/01/37 | 352,019 | ||||
260,000 | Tahoe-Truckee CA Unif Sch Dist, COPS, BAM | 4.00% | 06/01/39 | 299,075 | ||||
150,000 | Temecula Vly CA Unif Sch Dist Cmnty Facs Dist #2014-1 | 5.00% | 09/01/32 | 175,340 | ||||
400,000 | Temecula Vly Unif Sch Dist Fing Auth CA Spl Tax Rev, BAM | 5.00% | 09/01/34 | 455,292 | ||||
500,000 | Temescal Vly CA Wtr Dist Spl Tax Terramor Cmnty Facs Dist #4 Impt Area #1 | 5.00% | 09/01/31 | 583,995 | ||||
500,000 | Tobacco Securitization Auth Nthrn CA Tobacco Settlement Rev Asset Bkd Bds, Ser A-1 | 5.38% | 06/01/38 | 501,885 | ||||
500,000 | Tobacco Securitization Auth Nthrn CA Tobacco Settlement Rev Asset Bkd Bds, Ser A-1 | 5.50% | 06/01/45 | 502,620 | ||||
1,000,000 | Tobacco Securitization Auth Sthrn CA Tobacco Settlement Rev Ref San Diego Co Tobacco Securitization Corp Class 1, Ser A | 5.00% | 06/01/37 | 1,323,290 | ||||
145,000 | Tobacco Securitization Auth Sthrn CA Tobacco Settlement Rev Ref San Diego Co Tobacco Securitization Corp Class 2, Ser B-1 | 2.25% | 06/01/29 | 146,291 | ||||
1,000,000 | Tobacco Securitization Auth Sthrn CA Tobacco Settlement Rev San Diego Co Asset Securitization Corp Class 1, Ser A | 5.00% | 06/01/38 | 1,317,470 | ||||
250,000 | Tracy CA Cmnty Facs Dist | 5.00% | 09/01/33 | 288,960 | ||||
470,000 | Transbay Jt Powers Auth CA Green Bnd Sr Tax Alloc Bnds, Ser A | 5.00% | 10/01/33 | 614,069 | ||||
900,000 | Transbay Jt Powers Auth CA Green Bnd Sr Tax Alloc Bnds, Ser A | 5.00% | 10/01/39 | 1,155,546 | ||||
835,000 | Tulare CA Loc Healthcare Dist Ref, BAM | 4.00% | 08/01/39 | 1,002,426 | ||||
100,000 | W Contra Costa CA Unif Sch Dist Ref, Ser A | 5.00% | 08/01/31 | 118,668 | ||||
84,680,747 | ||||||||
Colorado – 0.5% | ||||||||
500,000 | Willow Bend Met Dist CO Sr, Ser A | 5.00% | 12/01/39 | 535,450 | ||||
Florida – 1.0% | ||||||||
500,000 | FL Dev Fin Corp Surface Tranprtn Fac Rev Green Bond-Brightline Passenger Rail Remk, Ser B, AMT (a) | 7.38% | 01/01/49 | 488,295 | ||||
205,000 | Parkland Preserve CDD FL Spl Assmnt Rev, Ser A | 4.50% | 05/01/24 | 211,205 | ||||
250,000 | Rhodine Road North CDD FL Spl Assmnt | 4.00% | 05/01/30 | 270,533 | ||||
970,033 | ||||||||
Georgia – 0.5% | ||||||||
500,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/42 | 537,555 | ||||
Guam – 1.4% | ||||||||
100,000 | Guam Govt Business Privilege Tax Rev Ref, Ser D | 5.00% | 11/15/32 | 113,769 | ||||
355,000 | Guam Govt Business Privilege Tax Rev, Ser B-1 | 5.00% | 01/01/37 | 364,475 | ||||
750,000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A | 5.00% | 01/01/50 | 931,620 | ||||
1,409,864 | ||||||||
Illinois – 1.0% | ||||||||
195,000 | Chicago IL Brd of Edu Ref, Ser F | 5.00% | 12/01/31 | 195,573 | ||||
35,000 | Chicago IL Ref, Ser C, CABS | (d) | 01/01/22 | 34,444 | ||||
135,000 | Chicago IL Ref, Ser C, CABS | (d) | 01/01/24 | 127,398 | ||||
120,000 | IL St, Ser A | 4.00% | 01/01/25 | 123,177 | ||||
500,000 | Morton Grove IL Tax Incr Rev Sawmill Station Redev Proj | 4.25% | 01/01/29 | 506,180 | ||||
986,772 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Kansas – 0.4% | ||||||||
$375,000 | Goddard KS Sales Tax Spl Oblg Rev Ref Olympic Park Star Bond Proj | 3.60% | 06/01/30 | $378,566 | ||||
Louisiana – 1.0% | ||||||||
750,000 | Saint James Parish LA Rev Var Nustar Logistics LP Proj, Ser 2008 (Mandatory put 06/01/30) (a) | 6.10% | 06/01/38 | 952,665 | ||||
Ohio – 0.9% | ||||||||
750,000 | Buckeye OH Tobacco Settlement Fing Auth Ref Sr, Class 2, Ser B-2 | 5.00% | 06/01/55 | 874,582 | ||||
Puerto Rico – 2.1% | ||||||||
100,000 | Puerto Rico Cmwlth Ref Pub Impt, Ser A, AGM | 5.00% | 07/01/35 | 105,354 | ||||
1,295,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.50% | 07/01/34 | 1,425,536 | ||||
604,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (d) | 07/01/29 | 515,919 | ||||
2,046,809 | ||||||||
Texas – 0.4% | ||||||||
370,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Improv Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 428,378 |
Total Investments – 95.5% | 93,801,421 | ||
(Cost $88,373,987) (e) | |||
Net Other Assets and Liabilities – 4.5% | 4,373,471 | ||
Net Assets – 100.0% | $98,174,892 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury Long Bonds | Short | 4 | Mar 2021 | $ (674,875) | $(62) | |||||
U.S. Treasury Ultra 10-Year Notes | Short | 20 | Mar 2021 | (3,076,563) | 19,078 | |||||
Total Futures Contracts | $(3,751,438) | $19,016 |
(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 January 31, 2021, securities noted as such amounted to $13,431,117 or 13.7% of net assets. |
(b) | 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). |
(c) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(d) | Zero coupon bond. |
(e) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $5,471,473 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $25,023. The net unrealized appreciation was $5,446,450. The unrealized amounts presented are inclusive of derivative contracts. |
AGM | Assured Guaranty Municipal Corp. |
AMBAC | American Municipal Bond Assurance Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
CABS | Capital Appreciation Bonds |
COPS | Certificates of Participation |
NATL | National Public Finance Guarantee Corp. |
ASSETS TABLE | ||||
Total Value at 1/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 93,801,421 | $ — | $ 93,801,421 | $ — |
Futures Contracts** | 19,078 | 19,078 | — | — |
Total | $ 93,820,499 | $ 19,078 | $ 93,801,421 | $— |
LIABILITIES TABLE | ||||
Total Value at 1/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts** | $ (62) | $ (62) | $ — | $ — |
* | See Portfolio of Investments for state and territory breakout. |
** | Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Statement of Assets and Labilities. |
ASSETS: | |
Investments, at value (Cost $88,373,987) | $ 93,801,421 |
Cash | 177,016 |
Cash segregated as collateral for open futures contracts | 49,145 |
Receivables: | |
Investment securities sold | 3,224,577 |
Interest | 954,568 |
Variation margin | 9,625 |
Total Assets | 98,216,352 |
LIABILITIES: | |
Investment advisory fees payable | 41,460 |
Total Liabilities | 41,460 |
NET ASSETS | $98,174,892 |
NET ASSETS consist of: | |
Paid-in capital | $ 94,634,329 |
Par value | 18,000 |
Accumulated distributable earnings (loss) | 3,522,563 |
NET ASSETS | $98,174,892 |
NET ASSET VALUE, per share | $54.54 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 1,800,002 |
INVESTMENT INCOME: | ||
Interest | $ 1,260,519 | |
Total investment income | 1,260,519 | |
EXPENSES: | ||
Investment advisory fees | 300,383 | |
Total expenses | 300,383 | |
Fees waived by the investment advisor | (69,319) | |
Net expenses | 231,064 | |
NET INVESTMENT INCOME (LOSS) | 1,029,455 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (12,647) | |
Futures contracts | 73,599 | |
Net realized gain (loss) | 60,952 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 2,244,847 | |
Futures contracts | 114,954 | |
Net change in unrealized appreciation (depreciation) | 2,359,801 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 2,420,753 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 3,450,208 |
Six Months Ended 1/31/2021 (Unaudited) | Year Ended 7/31/2020 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 1,029,455 | $ 1,594,302 | |
Net realized gain (loss) | 60,952 | (1,928,615) | |
Net change in unrealized appreciation (depreciation) | 2,359,801 | 1,613,667 | |
Net increase (decrease) in net assets resulting from operations | 3,450,208 | 1,279,354 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (988,001) | (1,554,337) | |
Return of capital | — | (72,665) | |
Total distributions to shareholders | (988,001) | (1,627,002) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 8,006,298 | 56,172,036 | |
Cost of shares redeemed | — | (2,375,228) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 8,006,298 | 53,796,808 | |
Total increase (decrease) in net assets | 10,468,505 | 53,449,160 | |
NET ASSETS: | |||
Beginning of period | 87,706,387 | 34,257,227 | |
End of period | $ 98,174,892 | $ 87,706,387 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 1,650,002 | 650,002 | |
Shares sold | 150,000 | 1,050,000 | |
Shares redeemed | — | (50,000) | |
Shares outstanding, end of period | 1,800,002 | 1,650,002 |
Six Months Ended 1/31/2021 (Unaudited) | Year Ended | Period Ended 7/31/2017 (a) | |||||||
7/31/2020 | 7/31/2019 | 7/31/2018 | |||||||
Net asset value, beginning of period | $ 53.16 | $ 52.70 | $ 50.11 | $ 50.14 | $ 50.00 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.59 | 1.17 | 1.49 | 1.45 | 0.10 | ||||
Net realized and unrealized gain (loss) | 1.36 | 0.51 | 2.60 | (0.04) | 0.14 | ||||
Total from investment operations | 1.95 | 1.68 | 4.09 | 1.41 | 0.24 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.57) | (1.17) | (1.50) | (1.40) | (0.10) | ||||
Net realized gain | — | — | — | (0.04) | — | ||||
Return of capital | — | (0.05) | — | — | (0.00) (b) | ||||
Total distributions | (0.57) | (1.22) | (1.50) | (1.44) | (0.10) | ||||
Net asset value, end of period | $54.54 | $53.16 | $52.70 | $50.11 | $50.14 | ||||
Total return (c) | 3.69% | 3.23% | 8.32% | 2.83% | 0.50% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 98,175 | $ 87,706 | $ 34,257 | $ 17,539 | $ 10,029 | ||||
Ratio of total expenses to average net assets | 0.65% (d) | 0.65% | 0.65% | 0.65% | 0.65% (d) | ||||
Ratio of net expenses to average net assets | 0.50% (d) | 0.50% | 0.50% | 0.50% | 0.50% (d) | ||||
Ratio of net investment income (loss) to average net assets | 2.23% (d) | 2.28% | 3.01% | 2.97% | 1.74% (d) | ||||
Portfolio turnover rate (e) | 10% | 81% | 69% | 91% | 22% |
(a) | Inception date is June 20, 2017, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Amount is less than $0.01. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total return would have been lower if certain fees had not been waived by the investment advisor. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer; |
5) | the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; and |
10) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security | Acquisition Date | Principal Value | Current Price | Carrying Cost | Value | % of Net Assets | ||
CA St Muni Fin Auth Chrt Sch Lease Rev Sycamore Academy Proj, 5.38%, 07/01/34 | 06/14/18 | $250,000 | $108.22 | $252,663 | $270,560 | 0.28% | ||
CA St Sch Fin Auth Chrt Sch Rev Rocketship Pub Schs, Ser G, 5.00%, 06/01/37 | 12/05/17 | $300,000 | 113.49 | 311,147 | 340,455 | 0.35 | ||
$563,810 | $611,015 | 0.63% |
Distributions paid from: | |
Ordinary income | $— |
Long-term capital gains | — |
Tax-exempt income | 1,554,337 |
Return of capital | 72,665 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (2,182,633) |
Net unrealized appreciation (depreciation) | 3,242,989 |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statement of Assets and Liabilities Location | Value | Statement of Assets and Liabilities Location | Value | |||||
Futures Contracts | Interest Rate Risk | Unrealized Appreciation on Futures Contracts* | $ 19,078 | Unrealized Depreciation on Futures Contracts* | $ 62 |
Statement of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $73,599 |
Net change in unrealized appreciation (depreciation) on futures contracts | 114,954 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Six Months Ended
January 31, 2021
1 | |
2 | |
5 | |
6 | |
7 | |
16 | |
17 | |
18 | |
19 | |
20 | |
27 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/21 | 1 Year Ended 1/31/21 | Inception (11/1/17) to 1/31/21 | Inception (11/1/17) to 1/31/21 | |
Fund Performance | ||||
NAV | 6.71% | 4.20% | 6.14% | 21.35% |
Market Price | 6.73% | 4.00% | 6.12% | 21.27% |
Index Performance | ||||
Bloomberg Barclays Municipal Bond Index | 2.01% | 4.01% | 4.66% | 15.94% |
Blended Benchmark(1) | 4.62% | 3.47% | 5.49% | 18.96% |
(1) | The Blended Benchmark consists of the following two indexes: 50% of the Bloomberg Barclays High Yield 10-Year Municipal Index (8-12 years) which is comprised of bonds with a final maturity between 8 and 12 years that are part of the Bloomberg Barclays Municipal Bond High Yield Index; and 50% of the Bloomberg Barclays Revenue 10-Year Municipal Index (8-12 years), which is comprised of revenue bonds that have a final maturity between 8 and 12 years that are part of the Bloomberg Barclays Municipal Bond Index. Indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the index performance shown. Indexes are unmanaged and an investor cannot invest directly in an index. The Blended Index returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 50-50 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Blended Index for each period shown above. |
Sector Allocation | % of Total Investments (including cash) |
Education | 12.3% |
Industrial Development Bond | 10.3 |
Government Obligation Bond - Limited Tax | 9.0 |
Special Assessment | 8.4 |
Continuing Care Retirement Communities | 6.8 |
Higher Education | 6.5 |
Tobacco | 6.2 |
Dedicated Tax | 5.9 |
Government Obligation Bond - Unlimited Tax | 5.2 |
Hospital | 4.9 |
Tax Increment | 4.6 |
Airport | 3.0 |
Student Housing | 2.9 |
Local Housing | 2.8 |
Gas | 1.9 |
Insured | 1.8 |
Certificates of Participation | 1.3 |
Utility | 0.9 |
Mass Transit | 0.9 |
Toll Road | 0.5 |
Water & Sewer | 0.4 |
Other Health | 0.4 |
Hotel | 0.3 |
Port | 0.1 |
Pre-refunded/Escrowed-to-maturity | 0.0* |
Cash | 2.7 |
Total | 100.0% |
* | Amount is less than 0.1%. |
Credit Rating(2) | % of Total Investments (including cash) |
AAA | 0.8% |
AA | 4.7 |
A | 11.2 |
BBB | 17.3 |
BB | 18.6 |
B | 2.2 |
CCC | 1.5 |
Not Rated | 40.1 |
SP-2/MIG1 | 0.9 |
Cash | 2.7 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 98.5% |
Net Other Assets and Liabilities** | 1.5 |
Total | 100.0% |
** | Includes variation margin on futures contracts. |
(2) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Beginning Account Value August 1, 2020 | Ending Account Value January 31, 2021 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (b) | |
First Trust Municipal High Income ETF (FMHI) | ||||
Actual | $1,000.00 | $1,067.10 | 0.55% | $2.87 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.43 | 0.55% | $2.80 |
(a) | These expense ratios reflect expense waivers. See Note 3 in the Notes to Financial Statements. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (August 1, 2020 through January 31, 2021), multiplied by 184/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 98.5% | ||||||||
Arizona – 4.2% | ||||||||
$780,000 | AZ St Indl Dev Auth Edu Rev Academics of Math & Science Proj (a) | 5.00% | 07/01/39 | $901,500 | ||||
750,000 | AZ St Indl Dev Auth Edu Rev Doral Academy NV Fire Mesa & Red Rock Campus Proj, Ser A (a) | 5.00% | 07/15/39 | 854,850 | ||||
400,000 | AZ St Indl Dev Auth Edu Rev Lone Mountain Campus Proj, Ser A (a) | 5.00% | 12/15/39 | 440,476 | ||||
1,255,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser D (a) | 4.00% | 07/01/27 | 1,371,602 | ||||
500,000 | AZ St Indl Dev Auth Edu Rev, Ser A (a) | 5.00% | 07/15/40 | 568,630 | ||||
500,000 | Glendale AZ Indl Dev Auth Sr Living Facs Rev Royal Oaks Inspirata Pointe Proj, Ser A | 5.00% | 05/15/41 | 570,400 | ||||
1,000,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Traditional Schs Proj Auth, Ser B (a) | 4.00% | 07/01/29 | 1,106,760 | ||||
100,000 | Phoenix AZ Indl Dev Auth Student Hsg Rev Ref Downtown Phoenix Student Hsg LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/27 | 115,691 | ||||
205,000 | Pima Cnty AZ Indl Dev Auth Edu Rev Fac American Leadership Academy Proj (a) | 4.00% | 06/15/22 | 207,694 | ||||
6,137,603 | ||||||||
California – 3.3% | ||||||||
450,000 | CA St Muni Fin Auth Chrt Sch Rev, Ser A (a) | 5.50% | 06/01/38 | 499,167 | ||||
205,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | 246,320 | ||||
250,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Rialto Bioenergy Fac LLC Proj Green Bond, AMT (a) | 6.75% | 12/01/28 | 255,758 | ||||
500,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Rialto Bioenergy Fac LLC Proj Green Bond, AMT (a) | 7.50% | 12/01/40 | 514,200 | ||||
750,000 | CA St Poll Control Fin Auth Wtr Furnishing Rev, AMT (a) | 5.00% | 07/01/37 | 802,462 | ||||
415,000 | CA St Stwd Cmntys Dev Auth Clg Hsg Rev NCCD Hooper Street LLC CA Clg of the Arts Projs (a) | 5.25% | 07/01/39 | 464,634 | ||||
550,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/33 | 666,182 | ||||
300,000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (a) | 5.00% | 10/01/42 | 337,734 | ||||
1,000,000 | Tobacco Securitization Auth Nthrn CA Tobacco Settlement Rev Asset Bkd Bds, Ser A-1 | 5.38% | 06/01/38 | 1,003,770 | ||||
4,790,227 | ||||||||
Colorado – 12.8% | ||||||||
1,125,000 | Allison Vly Met Dist #2 CO Ref | 4.70% | 12/01/47 | 1,150,830 | ||||
1,000,000 | Bennett Ranch Met Dist #1 CO, Ser A | 5.00% | 12/01/51 | 1,026,020 | ||||
525,000 | Brighton Crossing Met Dist #6 CO, Ser A | 5.00% | 12/01/35 | 565,425 | ||||
515,000 | Brighton Crossing Met Dist #6 CO, Ser A | 5.00% | 12/01/40 | 547,167 | ||||
735,000 | Broadway Station Met Dist No 2 CO, Ser A | 5.00% | 12/01/35 | 794,020 | ||||
150,000 | CO Eductnl & Cultural Auth Rev Ref West Ridge Academy Chrt Sch Proj, Ser A | 5.00% | 06/01/27 | 169,502 | ||||
1,000,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp | 5.00% | 12/15/45 | 1,101,220 | ||||
850,000 | CO St Hlth Facs Auth Hosp Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/38 | 989,221 | ||||
625,000 | CO St Hlth Facs Auth Hosp Rev Sr Living Ralston Creek Arvada Proj, Ser A | 5.25% | 11/01/32 | 550,644 | ||||
500,000 | Denver CO Intl Business Ctr CO Met Dist #1 Subordinate, Ser B | 6.00% | 12/01/48 | 541,360 | ||||
900,000 | Hunters Overlook Metro Dist #5 CO Sr Bonds, Ser A | 5.00% | 12/01/39 | 970,533 | ||||
500,000 | Independence Met Dist #3 CO, Ser A | 6.25% | 12/01/49 | 539,960 | ||||
575,000 | Jefferson Ctr CO Met Dist #1 Spl Rev, Ser A-2 | 4.13% | 12/01/40 | 607,614 | ||||
875,000 | Lanterns Met Dist #1 CO, Ser A | 5.00% | 12/01/39 | 939,785 | ||||
1,000,000 | Painted Prairie Pub Impt Auth CO | 4.00% | 12/01/29 | 1,071,380 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado (Continued) | ||||||||
$500,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/34 | $583,800 | ||||
900,000 | Prairie Ctr Met Dist #7 CO | 4.13% | 12/15/36 | 955,872 | ||||
500,000 | Regl CO Transprtn Dist Priv Activity Rev Ref Denver Transit Partners Eagle P3 Proj, Ser A | 5.00% | 07/15/27 | 627,405 | ||||
325,000 | Regl CO Transprtn Dist Priv Activity Rev Ref Denver Transit Partners Eagle P3 Proj, Ser A | 5.00% | 07/15/28 | 416,010 | ||||
300,000 | Regl CO Transprtn Dist Priv Activity Rev Ref Denver Transit Partners Eagle P3 Proj, Ser A | 5.00% | 07/15/29 | 391,506 | ||||
560,000 | Stc Met Dist #2 CO Ref, Ser A | 3.00% | 12/01/25 | 566,821 | ||||
1,000,000 | Stc Met Dist #2 CO Ref, Ser A | 5.00% | 12/01/38 | 1,070,920 | ||||
1,000,000 | Sterling Ranch Met Dist #1 CO | 5.00% | 12/01/40 | 1,060,250 | ||||
500,000 | Trails at Crowfoot Met Dist #3 CO Sr Series, Ser A | 5.00% | 12/01/39 | 533,700 | ||||
740,000 | Willow Bend Met Dist CO Sr, Ser A | 5.00% | 12/01/39 | 792,466 | ||||
18,563,431 | ||||||||
Connecticut – 3.1% | ||||||||
250,000 | Bridgeport CT, Ser A, BAM | 5.00% | 02/01/31 | 320,117 | ||||
540,000 | CT St Hlth & Eductnl Facs Auth Rev Mclean Issue, Ser A (a) | 5.00% | 01/01/55 | 583,292 | ||||
250,000 | CT St Hlth & Eductnl Facs Auth Rev Quinnipiac Univ Ref, Ser M | 5.00% | 07/01/36 | 297,455 | ||||
250,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Quinnipiac Univ, Ser L | 5.00% | 07/01/31 | 292,205 | ||||
1,500,000 | Harbor Point CT Infrastructure Impt Dist Spl Oblig Rev Ref Harbor Point Proj Ltd (a) | 5.00% | 04/01/39 | 1,689,195 | ||||
1,000,000 | Univ Of CT CT, Ser A | 5.00% | 11/01/35 | 1,275,930 | ||||
4,458,194 | ||||||||
Delaware – 0.4% | ||||||||
562,000 | Millsboro DE Spl Oblig Ref Plantation Lakes Spl Dev Dist (a) | 5.00% | 07/01/28 | 603,133 | ||||
District of Columbia – 1.2% | ||||||||
1,500,000 | DC Rev Rocketship DC Oblig Grp, Ser A (a) | 5.00% | 06/01/51 | 1,692,105 | ||||
Florida – 8.2% | ||||||||
300,000 | Capital Region FL Cdd Rev Ref Capital Impt, Ser A-1 | 4.13% | 05/01/23 | 304,914 | ||||
200,000 | Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory Sch Inc Proj, Ser A | 4.00% | 08/01/30 | 230,452 | ||||
300,000 | Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory Sch Inc Proj, Ser A | 5.00% | 08/01/40 | 362,052 | ||||
140,000 | Capital Trust Agy FL Eductnl Facs Rev Viera Chrt Schs Inc Proj, Ser A (a) | 5.00% | 10/15/37 | 153,847 | ||||
650,000 | Coco Palms FL CDD Spl Assmnt | 4.50% | 05/01/32 | 717,385 | ||||
580,000 | Epperson Ranch Cdd FL Capital Impt Rev, Ser A-1 | 5.00% | 11/01/28 | 624,614 | ||||
1,500,000 | FL Dev Fin Corp Surface Tranprtn Fac Rev Green Bond-Brightline Passenger Rail Remk, Ser B, AMT (a) | 7.38% | 01/01/49 | 1,464,885 | ||||
1,000,000 | Hills Minneola Cmnty Dev Dist FL Spl Assmnt Rev South Parcel Assmnt Area (a) | 4.00% | 05/01/40 | 1,065,980 | ||||
85,000 | Miami-Dade Cnty FL Eductnl Facs Auth Rev Ref Univ Miami, Ser A | 5.00% | 04/01/31 | 97,790 | ||||
1,250,000 | Mirada Ii Cmnty Dev Dist FL Cap Impt Rev | 4.00% | 05/01/51 | 1,280,600 | ||||
200,000 | North Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 4.50% | 05/01/40 | 215,348 | ||||
210,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Orlando Hlth Inc, Ser A | 5.00% | 10/01/36 | 251,612 | ||||
465,000 | Parkland Preserve Cdd FL Spl Assmnt Rev, Ser A | 5.25% | 05/01/39 | 525,650 | ||||
1,500,000 | Polk Cnty FL Indl Dev Auth Mineral Dev LLC Secondary Phosphate Tailings Recovery Proj (a) | 5.88% | 01/01/33 | 1,608,135 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$250,000 | SE Overtown Park W Cmnty Redev Agy FL Tax, Ser A-1 (a) | 5.00% | 03/01/30 | $278,075 | ||||
1,000,000 | Seminole Cnty FL Indl Dev Auth Ref Legacy Pointe at UCF Proj, Ser A | 5.00% | 11/15/29 | 1,023,490 | ||||
500,000 | Shell Point Cmnty Dev Dist FL Spl Assmnt (a) | 5.25% | 11/01/39 | 566,600 | ||||
255,000 | Trout Creek Cdd FL Capital Impt Rev (b) | 5.38% | 05/01/38 | 288,627 | ||||
230,000 | Villamar Cdd FL Spl Assmnt (b) | 4.00% | 05/01/29 | 245,541 | ||||
440,000 | W Vlgs FL Impt Dist Spl Assmt Unit Dev #7 Master Infrastructure | 4.25% | 05/01/29 | 481,320 | ||||
11,786,917 | ||||||||
Georgia – 1.6% | ||||||||
1,000,000 | Atlanta GA Arpt Passenger Fac Charge Rev Arpt Rev Subordinate, Ser D, AMT | 4.00% | 07/01/38 | 1,170,180 | ||||
55,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/31 | 59,850 | ||||
500,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/42 | 537,555 | ||||
400,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/30 | 514,684 | ||||
2,282,269 | ||||||||
Guam – 0.8% | ||||||||
250,000 | Guam Govt Business Privilege Tax Rev Ref, Ser-D | 5.00% | 11/15/35 | 282,800 | ||||
235,000 | Guam Govt Business Privilege Tax Rev, Ser B-1 | 5.00% | 01/01/37 | 241,272 | ||||
500,000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A | 5.00% | 01/01/50 | 621,080 | ||||
1,145,152 | ||||||||
Idaho – 0.2% | ||||||||
260,000 | ID St Hlth Facs Auth Rev Ref Vly Vista Care Corp, Ser A | 4.00% | 11/15/27 | 256,503 | ||||
Illinois – 6.7% | ||||||||
275,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (c) | 12/01/22 | 270,443 | ||||
300,000 | Chicago IL Brd of Edu Ref Dedicated, Ser C | 5.00% | 12/01/30 | 367,050 | ||||
870,000 | Chicago IL Brd of Edu Ref, Ser F | 5.00% | 12/01/31 | 872,558 | ||||
100,000 | Chicago IL Brd of Edu, Ser A | 5.50% | 12/01/39 | 103,147 | ||||
400,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien, Ser A, AMT | 5.00% | 01/01/37 | 496,176 | ||||
400,000 | Chicago IL Ref 2003B | 5.25% | 01/01/29 | 455,336 | ||||
20,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/25 | 20,728 | ||||
515,000 | Chicago IL Ref, Ser C, CABS | (c) | 01/01/25 | 473,991 | ||||
360,000 | Hillside IL Tax Incr Rev Ref | 5.00% | 01/01/24 | 373,414 | ||||
100,000 | IL St | 5.00% | 04/01/24 | 112,370 | ||||
500,000 | IL St | 5.50% | 05/01/26 | 603,890 | ||||
200,000 | IL St | 5.00% | 06/01/27 | 235,640 | ||||
250,000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/30 | 295,267 | ||||
250,000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/31 | 293,460 | ||||
15,000 | IL St Fin Auth Rev Ref Lifespace Cmntys, Ser A | 5.00% | 05/15/24 | 16,682 | ||||
100,000 | IL St Fin Auth Student Hsg & Academic Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/26 | 109,675 | ||||
300,000 | IL St Fin Auth Student Hsg & Academic Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/27 | 333,423 | ||||
145,000 | IL St Fin Auth Student Hsg & Academic Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/28 | 161,913 | ||||
2,000,000 | IL St, Ser C | 5.00% | 11/01/29 | 2,373,160 | ||||
650,000 | IL St, Ser D | 5.00% | 11/01/24 | 732,491 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$500,000 | Morton Grove IL Tax Incr Rev Sawmill Station Redev Proj | 4.25% | 01/01/29 | $506,180 | ||||
500,000 | Morton Grove IL Tax Incr Rev Sawmill Station Redev Proj | 5.00% | 01/01/39 | 507,590 | ||||
9,714,584 | ||||||||
Indiana – 3.5% | ||||||||
1,370,000 | Anderson IN Mf Rev Sweet Galilee at the Wigwam Proj, Ser A | 5.38% | 01/01/40 | 1,429,554 | ||||
1,000,000 | Evansville IN Mf Hsg Rev Silver Birch Evansville Proj | 5.45% | 01/01/38 | 1,024,220 | ||||
250,000 | Fort Wayne IN Mf Hsg Rev Silver Birch at Cook Road (a) | 5.30% | 01/01/32 | 258,962 | ||||
665,000 | IN St Fin Auth Hosp Rev Goshen Hlth, Ser A | 4.00% | 11/01/37 | 767,490 | ||||
200,000 | IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Academy Proj, Ser A (d) | 5.25% | 07/01/28 | 223,506 | ||||
600,000 | Plainfield IN Mf Hsg Rev Glasswater Creek Proj | 5.38% | 09/01/38 | 614,256 | ||||
700,000 | Terre Haute IN Mf Hsg Rev Silver Birch of Terre Haute Proj | 5.10% | 01/01/32 | 714,168 | ||||
5,032,156 | ||||||||
Kansas – 0.8% | ||||||||
1,175,000 | Goddard KS Sales Tax Spl Oblg Rev Ref Olympic Park Star Bond Proj | 3.60% | 06/01/30 | 1,186,174 | ||||
Kentucky – 0.6% | ||||||||
750,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser B (Mandatory put 01/01/25) | 4.00% | 01/01/49 | 844,440 | ||||
Louisiana – 2.3% | ||||||||
200,000 | Monroe LA Wtr Rev, BAM | 5.00% | 11/01/32 | 254,916 | ||||
900,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/30 | 1,092,564 | ||||
1,000,000 | Saint James Parish LA Rev NuStar Logistics LP Proj Remk, Ser 2010 (a) | 6.35% | 07/01/40 | 1,290,630 | ||||
500,000 | Saint James Parish LA Rev Variable NuStar Logistics LP Proj Remk, Ser 2010B (Mandatory put 06/01/30) (a) | 6.10% | 12/01/40 | 635,110 | ||||
3,273,220 | ||||||||
Maryland – 3.3% | ||||||||
175,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 2.95% | 06/01/27 | 181,557 | ||||
185,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.05% | 06/01/28 | 191,020 | ||||
200,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.15% | 06/01/29 | 207,578 | ||||
190,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.20% | 06/01/30 | 196,990 | ||||
1,000,000 | Frederick Cnty MD Tax Incr & Spl Tax Ref Jefferson Technology Park Proj, Ser B (a) | 4.63% | 07/01/43 | 1,152,860 | ||||
1,000,000 | MD St Econ Dev Corp Spl Oblig Port Covington Proj | 4.00% | 09/01/50 | 1,094,050 | ||||
1,150,000 | MD St Econ Dev Corp Student Hsg Rev Morgan St Univ Proj | 5.00% | 07/01/50 | 1,383,393 | ||||
300,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Adventist Healthcare | 4.00% | 01/01/38 | 342,060 | ||||
4,749,508 | ||||||||
Massachusetts – 2.0% | ||||||||
1,000,000 | MA St Bay Transprtn Auth Sales Tax Rev Ref Sr, Ser B | 5.25% | 07/01/30 | 1,344,180 | ||||
500,000 | MA St Dev Fin Agy Rev Linden Ponds Inc Fac (a) | 5.00% | 11/15/28 | 563,995 | ||||
1,000,000 | MA St Dev Fin Agy Rev Umass Dartmouth Student Hsg Proj | 5.00% | 10/01/48 | 1,048,560 | ||||
2,956,735 | ||||||||
Michigan – 0.2% | ||||||||
300,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/31 | 342,513 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Minnesota – 0.5% | ||||||||
$350,000 | Duluth MN Indep Sch Dist #709 Cops Ref, Ser B | 5.00% | 02/01/28 | $444,293 | ||||
150,000 | Minneapolis MN Student Hsg Rev Riverton Cmnty Hsg Proj (a) | 3.80% | 08/01/27 | 153,515 | ||||
105,000 | Saint Paul MN Hsg & Redev Auth Chrt Sch Lease Rev Ref, Ser A | 5.00% | 12/01/30 | 116,449 | ||||
714,257 | ||||||||
Missouri – 0.1% | ||||||||
80,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs | 5.00% | 02/01/35 | 86,705 | ||||
10,000 | MO St Hlth & Eductnl Facs Auth Med Research Lutheran Svcs, Ser A | 5.00% | 02/01/29 | 11,574 | ||||
98,279 | ||||||||
Nevada – 1.5% | ||||||||
315,000 | Carson City NV Hosp Rev Ref Carson Tahoe Regl Med Ctr, Ser A | 5.00% | 09/01/25 | 375,612 | ||||
210,000 | North Las Vegas NV Local Impt Valley Vista Spl Impt Dist #64 | 4.00% | 06/01/29 | 225,311 | ||||
500,000 | NV Dept Of Business & Industry NV Doral Academy, Ser A (a) | 5.00% | 07/15/37 | 549,040 | ||||
1,000,000 | Sparks NV Tourism Impt Dist #1 Rev Ref Sales Tax Sr, Ser A (a) | 2.75% | 06/15/28 | 1,023,450 | ||||
2,173,413 | ||||||||
New Hampshire – 1.1% | ||||||||
1,000,000 | National Fin Auth NH Rev Ref Green Bond, Ser B, AMT (Mandatory put 07/02/40) (a) | 3.75% | 07/01/45 | 1,042,970 | ||||
500,000 | NH St Hlth & Edu Facs Auth Rev Ref Sthrn NH Med Ctr | 5.00% | 10/01/37 | 582,465 | ||||
1,625,435 | ||||||||
New Jersey – 3.6% | ||||||||
1,000,000 | NJ St Covid-19 Go Emergency Bonds, Ser A | 4.00% | 06/01/30 | 1,242,850 | ||||
500,000 | NJ St Econ Dev Auth Rev Self Designated Social Bonds, Ser Qqq | 4.00% | 06/15/36 | 591,400 | ||||
100,000 | NJ St Econ Dev Auth Spl Fac Rev Ref Port Newark Container Terminal LLC Proj, AMT | 5.00% | 10/01/25 | 116,295 | ||||
850,000 | NJ St Transprtn Trust Fund Auth Cap Apprec Transprtn Sys, Ser C, AMBAC | (c) | 12/15/25 | 807,721 | ||||
500,000 | NJ St Transprtn Trust Fund Auth Ref Transprtn Sys, Ser A | 5.00% | 12/15/30 | 630,715 | ||||
500,000 | Tobacco Settlement Fing Corp NJ Ref, Ser A | 5.00% | 06/01/27 | 638,585 | ||||
1,000,000 | Tobacco Settlement Fing Corp NJ Ref, Subser B | 5.00% | 06/01/46 | 1,192,310 | ||||
5,219,876 | ||||||||
New York – 7.6% | ||||||||
1,000,000 | Dutchess Cnty NY Loc Dev Corp Rev Ref Bard Clg Proj, Ser A (a) | 5.00% | 07/01/40 | 1,202,020 | ||||
1,250,000 | Met Transprtn Auth NY Rev, Ser A-2S, BANS | 4.00% | 02/01/22 | 1,287,238 | ||||
1,000,000 | New York City NY Transitional Fin Auth Rev Subordinate-Future Tax Secured, Ser C-1 | 4.00% | 11/01/40 | 1,175,030 | ||||
1,000,000 | NY St Transprtn Dev Corpspl Fac Rev Delta Air Lines Inc Laguardia Arpt Terminals C&D Redev, AMT | 5.00% | 10/01/35 | 1,256,440 | ||||
1,000,000 | NY St Transprtn Dev Corpspl Fac Rev Ref John F. Kennedy Intl Arpt Proj, AMT | 5.25% | 08/01/31 | 1,167,640 | ||||
400,000 | NY St Transprtn Dev Corpspl Fac Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser A, AMT | 5.00% | 12/01/31 | 519,424 | ||||
450,000 | NY St Transprtn Dev Corpspl Fac Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser A, AMT | 5.00% | 12/01/32 | 583,263 | ||||
450,000 | NY St Transprtn Dev Corpspl Fac Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser A, AMT | 5.00% | 12/01/33 | 584,892 | ||||
2,000,000 | Tsasc Inc NY Tsasc Inc Rev Ref Turbo, Subser B | 5.00% | 06/01/45 | 2,184,740 | ||||
100,000 | Westchester Co NY Local Dev Corp Rev Ref Miriam Osborn Memorial Home Assn Proj | 5.00% | 07/01/34 | 113,587 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$840,000 | Yonkers NY Econ Dev Corp Eductnl Rev Chrt Sch Edu Excellence Proj, Ser A | 5.00% | 10/15/39 | $969,192 | ||||
11,043,466 | ||||||||
North Carolina – 1.3% | ||||||||
1,000,000 | NC St Agric & Tech Univ Ref Gen, Ser A | 5.00% | 10/01/40 | 1,166,810 | ||||
690,000 | NC St Med Care Commn Retmnt Facs Rev Pennybyrn At Maryfield Proj, Ser A | 5.00% | 10/01/45 | 770,075 | ||||
1,936,885 | ||||||||
Ohio – 7.8% | ||||||||
750,000 | Allen Cnty OH Hosp Facs Rev Ref Bon Secours Mercy Hlth Inc, Ser A | 5.00% | 12/01/35 | 990,360 | ||||
3,500,000 | Buckeye OH Tobacco Settlement Fing Auth Ref Sr, Class 2, Ser B-2 | 5.00% | 06/01/55 | 4,081,385 | ||||
415,000 | Franklin Cnty OH Convention Facs Auth Hotel Proj Rev Grtr Columbus Convention Cntr Hotel Exp Proj | 5.00% | 12/01/32 | 441,353 | ||||
750,000 | OH St Air Quality Dev Auth Exempt Facs Rev AMG Vanadium Proj, AMT (a) | 5.00% | 07/01/49 | 841,230 | ||||
1,200,000 | OH St Air Quality Dev Auth Ref OH Vly Elec Corp Proj, Ser A | 3.25% | 09/01/29 | 1,318,776 | ||||
1,000,000 | OH St Hgr Eductnl Fac Commn Ref Rev Judson Oblig Grp 2020 Proj, Ser A | 5.00% | 12/01/45 | 1,133,450 | ||||
750,000 | OH St Hgr Eductnl Fac Commn Ref Univ Of Dayton 2020 Proj | 4.00% | 02/01/36 | 892,477 | ||||
1,500,000 | Sthrn OH Port Exempt Fac Rev Purecycle Proj, Ser A, AMT (a) | 7.00% | 12/01/42 | 1,629,735 | ||||
11,328,766 | ||||||||
Oklahoma – 0.1% | ||||||||
150,000 | OK St Dev Fin Auth Hlthsys Rev Ou Medicine Proj, Ser B | 5.00% | 08/15/26 | 178,331 | ||||
Oregon – 1.6% | ||||||||
290,000 | Clackamas Cnty OR Hosp Fac Auth Rev Mary’s Woods at Marylhurst Inc Proj, Ser A | 5.00% | 05/15/26 | 316,811 | ||||
500,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A | 5.13% | 11/15/40 | 542,160 | ||||
1,150,000 | OR St Facs Auth Rev Ref Samaritan Hlth Svcs Proj, Ser A | 5.00% | 10/01/40 | 1,449,264 | ||||
2,308,235 | ||||||||
Pennsylvania – 4.0% | ||||||||
300,000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network Oblig Grp Issue, Ser A | 5.00% | 04/01/32 | 377,940 | ||||
1,780,000 | Berks Cnty PA Muni Auth Univ Rev Alvernia Univ Proj | 5.00% | 10/01/39 | 1,891,428 | ||||
100,000 | Chester Cnty PA Indl Dev Auth Renaissance Academy Chrt Sch | 5.00% | 10/01/34 | 109,293 | ||||
250,000 | Lancaster Cnty PA Hosp Auth Healthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/28 | 281,678 | ||||
515,000 | Lancaster Cnty PA Hosp Auth Healthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/31 | 571,238 | ||||
665,000 | Northampton Cnty PA Gen Purpose Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/36 | 738,529 | ||||
350,000 | PA St Turnpike Commn Oil Franchise Tax Rev Ref Sub, Ser B | 5.00% | 12/01/30 | 434,556 | ||||
10,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/39 | 11,758 | ||||
900,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Ref String Theory Chrt Sch Proj (a) | 5.00% | 06/15/40 | 1,050,552 | ||||
215,000 | Philadelphia PA Auth for Indl Dev Revs Kipp Philadelphia Chrt Sch Proj, Ser A | 5.00% | 04/01/36 | 238,130 | ||||
5,705,102 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Puerto Rico – 1.5% | ||||||||
$250,000 | Puerto Rico Cmwlth Ref Pub Impt, Ser A, AGM | 5.00% | 07/01/35 | $263,385 | ||||
1,559,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.50% | 07/01/34 | 1,716,147 | ||||
177,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (c) | 07/01/29 | 151,188 | ||||
2,130,720 | ||||||||
South Carolina – 1.0% | ||||||||
425,000 | Berkeley Cnty SC Assmnt Rev Nexton Impt Dist | 4.00% | 11/01/30 | 476,927 | ||||
230,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 5.00% | 12/01/31 | 241,985 | ||||
580,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Woodlands at Furman Proj, Ser A | 5.00% | 11/15/42 | 622,178 | ||||
135,000 | SC St Jobs Econ Dev Auth Hlth Facs Rev Ref Lutheran Homes of SC Inc | 5.00% | 05/01/42 | 140,721 | ||||
1,481,811 | ||||||||
Tennessee – 1.4% | ||||||||
25,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Student Hsg CDFI Phase I | 5.00% | 10/01/23 | 26,969 | ||||
440,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Lipscomb Univ Proj, Ser A | 5.00% | 10/01/36 | 523,930 | ||||
500,000 | TN St Energy Acquisition Corp Gas Rev Proj, Ser A (Mandatory put 05/01/23) | 4.00% | 05/01/48 | 538,085 | ||||
730,000 | TN St Energy Acquisition Corp Gas Rev, Ser A | 5.25% | 09/01/26 | 902,295 | ||||
1,991,279 | ||||||||
Texas – 4.5% | ||||||||
50,000 | Centrl TX Regl Mobility Auth Rev Ref Sub Lien | 5.00% | 01/01/33 | 54,623 | ||||
420,000 | Harris-Brazoria Cntys TX Muni Utility Dist #509, AGM | 3.00% | 09/01/32 | 436,582 | ||||
1,250,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal E Proj, Ser A, AMT | 5.00% | 07/01/27 | 1,446,487 | ||||
125,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Improv Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 144,723 | ||||
250,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pid #1 (d) | 4.13% | 09/01/29 | 281,343 | ||||
500,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pid #1 (a) | 4.63% | 09/01/39 | 570,760 | ||||
375,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch (a) | 4.35% | 08/15/25 | 396,990 | ||||
1,250,000 | Lago Vista TX Spl Assmt Rev Ref Tessera On Lake Travis, Ser B (a) | 4.88% | 09/01/50 | 1,332,712 | ||||
445,000 | Leander TX Spl Assmnt Rev Crystal Springs Pub Impt Dist Proj Accd Inv (d) | 4.50% | 09/01/28 | 458,354 | ||||
285,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/32 | 311,998 | ||||
205,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Wesleyan Homes Inc Proj Fin Corp | 5.00% | 01/01/39 | 216,503 | ||||
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 (b) | 5.00% | 04/01/25 | 504,980 | ||||
250,000 | TX St Transprtn Commn Central TX Turnpike Sys Rev Ref, Ser B | 5.00% | 08/15/37 | 284,572 | ||||
6,440,627 | ||||||||
Utah – 1.6% | ||||||||
1,000,000 | Med Sch Campus Pub Infrastructure Dist UT, Ser A (a) | 5.25% | 02/01/40 | 1,017,000 | ||||
475,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Mountain West Montessori Academy Proj, Ser A (a) | 5.00% | 06/15/39 | 522,818 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Utah (Continued) | ||||||||
$675,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner Academy Proj, Ser A (a) | 5.00% | 06/15/39 | $728,332 | ||||
2,268,150 | ||||||||
Virginia – 0.6% | ||||||||
500,000 | Norfolk VA Redev & Hsg Auth Rev Ft Norfolk Retmnt Cmnty Harbors Edge Proj, Ser A (b) | 5.00% | 01/01/34 | 537,645 | ||||
300,000 | Norfolk VA Redev & Hsg Auth Rev Ft Norfolk Retmnt Cmnty Harbors Edge Proj, Ser A (b) | 4.38% | 01/01/39 | 310,578 | ||||
848,223 | ||||||||
Washington – 1.4% | ||||||||
560,000 | Kalispel Tribe of Indians Priority Dist WA Rev, Ser A (a) | 5.00% | 01/01/32 | 645,299 | ||||
230,000 | WA St Healthcare Facs Auth Ref Fred Hutchinson Cancer Research Ctr | 5.00% | 01/01/26 | 274,997 | ||||
1,000,000 | WA St Hgr Edu Facs Auth Seattle Univ Proj Rev | 4.00% | 05/01/45 | 1,153,620 | ||||
2,073,916 | ||||||||
Wisconsin – 2.1% | ||||||||
470,000 | Pub Fin Auth WI Chrt Sch Rev Eno River Academy Proj, Ser A (a) | 4.00% | 06/15/30 | 514,156 | ||||
810,000 | Pub Fin Auth WI Chrt Sch Rev Eno River Academy Proj, Ser A (a) | 5.00% | 06/15/40 | 920,168 | ||||
500,000 | Pub Fin Auth WI Chrt Sch Rev Founders Of Academy Las Vegas Proj, Ser A (a) | 4.00% | 07/01/30 | 526,205 | ||||
500,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Academy Las Vegas Proj, Ser A (a) | 4.20% | 07/15/27 | 530,835 | ||||
250,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Academy Las Vegas Proj, Ser A (a) | 5.13% | 07/15/37 | 276,930 | ||||
160,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/27 | 194,501 | ||||
2,962,795 |
Total Investments – 98.5% | 142,344,430 | ||
(Cost $132,478,945) (e) | |||
Net Other Assets and Liabilities – 1.5% | 2,186,132 | ||
Net Assets – 100.0% | $144,530,562 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury Long Bonds | Short | 4 | Mar 2021 | $ (674,875) | $(31) | |||||
U.S. Treasury Ultra 10-Year Notes | Short | 32 | Mar 2021 | (4,922,500) | 33,234 | |||||
Total Futures Contracts | $(5,597,375) | $33,203 |
(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 January 31, 2021, securities noted as such amounted to $38,850,315 or 26.9% 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) | 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). |
(e) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $10,180,539 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $281,851. The net unrealized appreciation was $9,898,688. The unrealized amounts presented are inclusive of derivative contracts. |
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 |
NATL-RE | National Public Finance Guarantee Corp. |
ASSETS TABLE | ||||
Total Value at 1/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 142,344,430 | $ — | $ 142,344,430 | $ — |
Futures Contracts** | 33,234 | 33,234 | — | — |
Total | $ 142,377,664 | $ 33,234 | $ 142,344,430 | $— |
LIABILITIES TABLE | ||||
Total Value at 1/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts** | $ (31) | $ (31) | $ — | $ — |
* | See Portfolio of Investments for state breakout. |
** | Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Statement of Assets and Liabilities. |
ASSETS: | |
Investments, at value (Cost $132,478,945) | $ 142,344,430 |
Cash | 3,888,594 |
Cash segregated as collateral for open futures contracts | 84,302 |
Receivables: | |
Investment securities sold | 2,995,833 |
Interest | 1,189,491 |
Total Assets | 150,502,650 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 5,905,105 |
Investment advisory fees | 65,858 |
Variation margin | 1,125 |
Total Liabilities | 5,972,088 |
NET ASSETS | $144,530,562 |
NET ASSETS consist of: | |
Paid-in capital | $ 137,683,630 |
Par value | 26,500 |
Accumulated distributable earnings (loss) | 6,820,432 |
NET ASSETS | $144,530,562 |
NET ASSET VALUE, per share | $54.54 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 2,650,002 |
INVESTMENT INCOME: | ||
Interest | $ 2,392,556 | |
Total investment income | 2,392,556 | |
EXPENSES: | ||
Investment advisory fees | 438,508 | |
Total expenses | 438,508 | |
Fees waived by the investment advisor | (93,966) | |
Net expenses | 344,542 | |
NET INVESTMENT INCOME (LOSS) | 2,048,014 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | 126,962 | |
Futures contracts | 96,919 | |
Net realized gain (loss) | 223,881 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 6,042,211 | |
Futures contracts | 148,500 | |
Net change in unrealized appreciation (depreciation) | 6,190,711 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 6,414,592 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 8,462,606 |
Six Months Ended 1/31/2021 (Unaudited) | Year Ended 7/31/2020 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 2,048,014 | $ 2,881,986 | |
Net realized gain (loss) | 223,881 | (3,389,878) | |
Net change in unrealized appreciation (depreciation) | 6,190,711 | 1,303,058 | |
Net increase (decrease) in net assets resulting from operations | 8,462,606 | 795,166 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (1,988,002) | (2,807,500) | |
Return of capital | — | (155,753) | |
Total distributions to shareholders | (1,988,002) | (2,963,253) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 26,406,018 | 60,684,489 | |
Cost of shares redeemed | — | (9,845,363) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 26,406,018 | 50,839,126 | |
Total increase (decrease) in net assets | 32,880,622 | 48,671,039 | |
NET ASSETS: | |||
Beginning of period | 111,649,940 | 62,978,901 | |
End of period | $ 144,530,562 | $ 111,649,940 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 2,150,002 | 1,200,002 | |
Shares sold | 500,000 | 1,150,000 | |
Shares redeemed | — | (200,000) | |
Shares outstanding, end of period | 2,650,002 | 2,150,002 |
Six Months Ended 1/31/2021 (Unaudited) | Year Ended | Period Ended 7/31/2018 (a) | |||||
7/31/2020 | 7/31/2019 | ||||||
Net asset value, beginning of period | $ 51.93 | $ 52.48 | $ 50.32 | $ 50.00 | |||
Income from investment operations: | |||||||
Net investment income (loss) | 0.85 | 1.64 | 1.69 | 1.15 | |||
Net realized and unrealized gain (loss) | 2.60 | (0.48) | 2.27 | 0.30 | |||
Total from investment operations | 3.45 | 1.16 | 3.96 | 1.45 | |||
Distributions paid to shareholders from: | |||||||
Net investment income | (0.84) | (1.62) | (1.67) | (1.13) | |||
Return of capital | — | (0.09) | (0.13) | — | |||
Total distributions | (0.84) | (1.71) | (1.80) | (1.13) | |||
Net asset value, end of period | $54.54 | $51.93 | $52.48 | $50.32 | |||
Total return (b) | 6.71% | 2.25% | 8.05% | 2.93% | |||
Ratios to average net assets/supplemental data: | |||||||
Net assets, end of period (in 000’s) | $ 144,531 | $ 111,650 | $ 62,979 | $ 27,677 | |||
Ratio of total expenses to average net assets | 0.70% (c) | 0.70% | 0.70% | 0.70% (c) | |||
Ratio of net expenses to average net assets | 0.55% (c) | 0.55% | 0.55% | 0.55% (c) | |||
Ratio of net investment income (loss) to average net assets | 3.27% (c) | 3.22% | 3.44% | 3.13% (c) | |||
Portfolio turnover rate (d) | 11% | 89% | 71% | 74% |
(a) | Inception date is November 1, 2017, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived by the investment advisor. |
(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 | ||
IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Academy Proj, Ser A, 5.25%, 07/01/28 | 08/31/18 | $200,000 | $111.75 | $201,822 | $223,506 | 0.15% | ||
Kyle TX Spl Assmnt Rev 6 Creeks Pid #1, 4.13%, 09/01/29 | 05/08/19 | 250,000 | 112.54 | 250,000 | 281,343 | 0.19 | ||
Leander TX Spl Assmnt Rev Crystal Springs Pub Impt Dist Proj Accd Inv, 4.50%, 09/01/28 | 05/04/18 | 445,000 | 103.00 | 441,439 | 458,354 | 0.32 | ||
$893,261 | $963,203 | 0.66% |
Distributions paid from: | |
Ordinary income | $13,767 |
Capital gains | — |
Tax-exempt income | 2,793,733 |
Return of capital | 155,753 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (3,356,320) |
Net unrealized appreciation (depreciation) | 3,702,148 |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statement of Assets and Liabilities Location | Value | Statement of Assets and Liabilities Location | Value | |||||
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | $ 33,234 | Unrealized depreciation on futures contracts* | $ 31 |
Statement of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $96,919 |
Net change in unrealized appreciation (depreciation) on futures contracts | 148,500 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
First Trust Ultra Short Duration Municipal ETF (FUMB)
For the Six Months Ended
January 31, 2021
1 | |
Fund Performance Overview | |
2 | |
4 | |
6 | |
7 | |
8 | |
Portfolio of Investments | |
9 | |
19 | |
27 | |
28 | |
29 | |
30 | |
32 | |
39 |
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/21 | 1 Year Ended 1/31/21 | Inception (11/1/18) to 1/31/21 | Inception (11/1/18) to 1/31/21 | |
Fund Performance | ||||
NAV | 1.84% | 3.11% | 3.93% | 9.05% |
Market Price | 1.84% | 3.11% | 3.95% | 9.10% |
Index Performance | ||||
Bloomberg Barclays Municipal Short (1-5) Year Index | 0.67% | 2.38% | 3.52% | 8.10% |
Sector Allocation | % of Total Investments (including cash) |
Government Obligation Bond - Unlimited Tax | 11.1% |
Insured | 9.5 |
Gas | 8.4 |
Hospital | 6.9 |
Certificates of Participation | 6.8 |
Special Assessment | 6.7 |
Education | 6.3 |
Utility | 5.8 |
Continuing Care Retirement Communities | 4.8 |
Dedicated Tax | 4.8 |
Higher Education | 3.9 |
Industrial Development Bond | 3.7 |
Water & Sewer | 3.7 |
Mass Transit | 3.4 |
Government Obligation Bond - Limited Tax | 2.2 |
Airport | 2.0 |
Student Loan | 2.0 |
Tax Increment | 1.5 |
Housing | 0.6 |
Tobacco | 0.6 |
Student Housing | 0.3 |
Pre-refunded/Escrowed-to-maturity | 0.2 |
Toll Road | 0.1 |
Cash | 4.7 |
Total | 100.0% |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 2.5% |
AA | 26.4 |
A | 29.3 |
BBB | 17.0 |
BB | 6.4 |
B | 0.6 |
Not Rated | 8.5 |
SP-1+ (short-term) | 0.6 |
SP-1/MIG1 (short-term) | 0.6 |
SP-2/MIG2 (short-term) | 3.4 |
Cash | 4.7 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 99.0% |
Net Other Assets and Liabilities(2) | 1.0 |
Total | 100.0% |
(1) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
(2) | Includes variation margin on futures. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Performance | ||||
Average Annual Total Returns | Cumulative Total Returns | |||
6 Months Ended 1/31/21 | 1 Year Ended 1/31/21 | Inception (11/1/18) to 1/31/21 | Inception (11/1/18) to 1/31/21 | |
Fund Performance | ||||
NAV | 0.47% | 1.35% | 1.70% | 3.86% |
Market Price | 0.42% | 1.45% | 1.70% | 3.86% |
Index Performance | ||||
Bloomberg Barclays Municipal Short-Term Index | 0.27% | 0.92% | 1.45% | 3.28% |
Sector Allocation | % of Total Investments (including cash) |
Government Obligation Bond - Unlimited Tax | 16.0% |
Certificates of Participation | 10.7 |
Industrial Development Bond | 9.9 |
Government Obligation Bond - Limited Tax | 8.6 |
Gas | 8.5 |
Insured | 7.0 |
Hospital | 6.4 |
Water & Sewer | 5.5 |
Education | 4.6 |
Pre-refunded/Escrowed-to-maturity | 4.1 |
Dedicated Tax | 3.9 |
Housing | 3.7 |
Higher Education | 2.5 |
Utility | 1.4 |
Mass Transit | 1.0 |
Tax Increment | 0.9 |
Tobacco | 0.7 |
Special Assessment | 0.7 |
Student Loan | 0.6 |
Continuing Care Retirement Communities | 0.5 |
Airport | 0.4 |
Toll Road | 0.2 |
Cash | 2.2 |
Total | 100.0% |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 3.0% |
AA | 27.3 |
A | 34.3 |
BBB | 9.2 |
BB | 1.0 |
Not Rated | 11.4 |
SP-1+ (short-term) | 4.5 |
SP-1/MIG1 (short-term) | 3.0 |
SP-2/MIG2 (short-term) | 4.1 |
Cash | 2.2 |
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. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Beginning Account Value August 1, 2020 | Ending Account Value January 31, 2021 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (b) | |
First Trust Short Duration Managed Municipal ETF (FSMB) | ||||
Actual | $1,000.00 | $1,018.40 | 0.45% | $2.29 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.94 | 0.45% | $2.29 |
First Trust Ultra Short Duration Municipal ETF (FUMB) | ||||
Actual | $1,000.00 | $1,004.70 | 0.27% | $1.36 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.84 | 0.27% | $1.38 |
(a) | These expense ratios reflect expense waivers. See Note 3 in the Notes to Financial Statements. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (August 1, 2020 through January 31, 2021), multiplied by 184/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 99.0% | ||||||||
Alabama – 3.7% | ||||||||
$1,000,000 | AL Federal Aid Highway Fin Auth Spl Oblig Rev, GARVEE | 5.00% | 09/01/30 | $1,149,080 | ||||
210,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev Proj #5, Ser A-1 (Mandatory put 10/01/26) | 4.00% | 10/01/49 | 248,678 | ||||
275,000 | Black Belt Energy Gas Dist AL Gas Sply Rev, Ser A (Mandatory put 07/01/22) | 4.00% | 08/01/47 | 288,668 | ||||
100,000 | Greenville AL Pub Impt Cooperative Pub Impt Rev Greenville Funding, BAM | 5.00% | 03/01/25 | 118,301 | ||||
95,000 | Infirmary Hlth Sys AL Spl Care Facs Fing Auth Rev Infirmary Hlth Sys Inc, Ser A | 5.00% | 02/01/25 | 110,363 | ||||
500,000 | Mizuho Floater Residual Trust Various States Floaters Miz 9024, Ser 2020 (a) (b) | 0.44% | 12/01/48 | 500,000 | ||||
430,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 5.00% | 11/01/25 | 505,026 | ||||
150,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A (Mandatory put 06/01/24) | 4.00% | 06/01/49 | 166,770 | ||||
3,086,886 | ||||||||
Arizona – 4.3% | ||||||||
1,000,000 | AZ St Indl Dev Auth Rev Lincoln South Beltway Proj | 5.00% | 05/01/27 | 1,266,780 | ||||
1,000,000 | Coconino Cnty AZ Poll Controlcorp Ref NV Pwr Company, Ser A, AMT (Mandatory put 03/31/23) | 1.88% | 09/01/32 | 1,030,180 | ||||
615,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Traditional Sch Proj | 5.00% | 07/01/24 | 699,692 | ||||
500,000 | Phoenix AZ Indl Dev Auth Edu Rev Ref Basis Sch (a) | 5.00% | 07/01/35 | 552,360 | ||||
3,549,012 | ||||||||
California – 3.8% | ||||||||
175,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Settle Ref Sonoma Cnty Securitization Corp, Ser A | 3.00% | 06/01/21 | 176,629 | ||||
25,000 | CA St Enterprise Dev Auth Student Hsg Rev M@College Proj, Ser A | 5.00% | 08/01/23 | 27,578 | ||||
50,000 | CA St Enterprise Dev Auth Student Hsg Rev M@College Proj, Ser A | 5.00% | 08/01/24 | 56,968 | ||||
205,000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys West, Ser A | 5.00% | 03/01/23 | 225,104 | ||||
295,000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys West, Ser A | 4.00% | 03/01/33 | 312,986 | ||||
385,000 | CA St Hlth Facs Fing Auth Rev El Camino Hosp | 5.00% | 02/01/33 | 471,513 | ||||
215,000 | Cathedral City CA Redev Agy Successor Agy Tax Allocation Rev Ref Sub Hsg Merged Redev Proj Area, Ser C | 4.00% | 08/01/23 | 231,759 | ||||
160,000 | Golden St Tobacco Securitization Corp CA Tobacco Settlement Enhanced Asset Bkd, Ser A | 5.00% | 06/01/30 | 175,735 | ||||
400,000 | Long Beach CA Bond Fin Auth Nat Gas Purchase Rev, Ser A | 5.25% | 11/15/22 | 435,816 | ||||
105,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Rev Grantline 208 Cmnty Fac Dt #2018-1 | 3.00% | 09/01/21 | 106,268 | ||||
85,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Rev Grantline 208 Cmnty Fac Dt #2018-1 | 3.00% | 09/01/23 | 89,104 | ||||
90,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Rev Grantline 208 Cmnty Fac Dt #2018-1 | 3.00% | 09/01/24 | 95,457 | ||||
240,000 | Roseville CA Fin Auth Spl Tax Rev Ref, Ser A | 5.00% | 09/01/25 | 292,726 | ||||
100,000 | San Diego Cnty CA Regl Arpt Auth Subordinate Ref, Ser A | 5.00% | 07/01/24 | 116,044 | ||||
140,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref 2nd Ser, Ser A | 4.00% | 05/01/26 | 167,075 | ||||
125,000 | Tobacco Securitization Auth Sthrn CA Tobacco Settlement Rev Ref San Diego Co Asset Securitization Corp Class 1, Ser A | 5.00% | 06/01/25 | 151,236 | ||||
3,131,998 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado – 1.8% | ||||||||
$500,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp | 5.00% | 12/15/28 | $569,225 | ||||
110,000 | CO St Eductnl & Cultural Facs Auth Rev Ref Chrt Sch Stargate Chrt Sch Proj, Ser A | 5.00% | 12/01/25 | 131,621 | ||||
100,000 | CO St Eductnl & Cultural Facs Auth Rev Ref N Star Academy Chrt Sch Proj | 4.00% | 11/01/23 | 109,177 | ||||
130,000 | CO St Hlth Facs Auth Hosp Rev Ref Commonspirit Hlth, Ser B-1 (Mandatory put 08/01/25) | 5.00% | 08/01/49 | 152,123 | ||||
80,000 | CO St Hlth Facs Auth Rev Ref Parkview Med Cntr, Ser A | 3.25% | 09/01/25 | 88,259 | ||||
190,000 | CO St Hlth Facs Auth Rev Ref Parkview Med Cntr, Ser B | 5.00% | 09/01/28 | 222,157 | ||||
100,000 | Colorado Springs CO Pikes Peak Americas Mountain Enterprise Pikes Peak | 5.00% | 12/01/21 | 103,938 | ||||
125,000 | Crystal Vly CO Met Dist #2 Ref, Ser A, AGM | 5.00% | 12/01/23 | 141,444 | ||||
1,517,944 | ||||||||
Connecticut – 4.1% | ||||||||
100,000 | CT St | 5.00% | 08/01/31 | 119,303 | ||||
50,000 | CT St Hlth & Eductnl Facs Auth Rev Hartford Healthcare, Ser E | 5.00% | 07/01/25 | 57,908 | ||||
170,000 | CT St Hlth & Eductnl Facs Auth Rev Ref | 5.00% | 07/01/29 | 200,362 | ||||
650,000 | CT St Hlth & Eductnl Facs Auth Rev Temps 50 Mclean Issue, Ser B-2 (a) | 2.75% | 01/01/26 | 657,845 | ||||
50,000 | CT St Spl Tax Oblig Rev Ref Transprtn Infrastructure, Ser B | 5.00% | 08/01/27 | 59,946 | ||||
165,000 | CT St Spl Tax Oblig Rev Transptrn Infrastructure, Ser A | 5.00% | 09/01/33 | 189,283 | ||||
100,000 | CT St, Ser F | 2.00% | 11/15/21 | 101,477 | ||||
315,000 | Hamden CT Ref, Ser A, BAM | 5.00% | 08/01/23 | 349,143 | ||||
145,000 | Hamden CT Ref, Ser A, BAM | 5.00% | 08/01/24 | 166,788 | ||||
200,000 | Hamden CT Ref, Ser A, BAM | 5.00% | 08/01/25 | 238,212 | ||||
970,000 | Univ Of CT CT, Ser A | 5.00% | 11/01/26 | 1,213,664 | ||||
25,000 | Univ Of CT CT, Ser A | 5.00% | 11/01/35 | 31,898 | ||||
3,385,829 | ||||||||
Florida – 7.3% | ||||||||
250,000 | Berry Bay Cdd FL Spl Assmt Rev Assmt Area 1 | 2.63% | 05/01/26 | 250,702 | ||||
250,000 | Citizens Property Insurance Corp FL, Ser A1 | 5.00% | 06/01/22 | 260,017 | ||||
110,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Academy Projs, Ser A | 4.00% | 07/01/24 | 120,429 | ||||
130,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Academy Projs, Ser A | 4.00% | 07/01/25 | 145,483 | ||||
155,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Academy Projs, Ser A | 4.00% | 07/01/26 | 176,754 | ||||
150,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Academy Projs, Ser A | 4.00% | 07/01/28 | 175,565 | ||||
245,000 | Gulfstream Polo Cmnty Dev Dist FL Spl Assmnt Phase 2 Proj | 3.00% | 11/01/24 | 249,991 | ||||
500,000 | Hills Minneola Cmnty Dev Dist FL Spl Assmnt Rev South Parcel Assmnt Area (a) | 3.00% | 05/01/25 | 509,410 | ||||
450,000 | Hollywood Beach FL Cmnty Dev Dist Rev Cdd Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/23 | 503,604 | ||||
475,000 | Hollywood Beach FL Cmnty Dev Dist Rev Cdd Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/24 | 551,879 | ||||
210,000 | Jea FL Elec Sys Rev Sub, Ser B | 5.00% | 10/01/22 | 226,002 | ||||
100,000 | Lakeland FL Hosp Sys Rev Lakeland Regl Hlth | 5.00% | 11/15/33 | 114,434 | ||||
170,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Ref Country Club East Proj, AGM | 5.00% | 05/01/25 | 199,898 | ||||
500,000 | Mirada Ii Cmnty Dev Dist FL Cap Impt Rev | 2.50% | 05/01/26 | 500,620 | ||||
220,000 | Parkway Ctr FL Cdd Spl Assmnt Rev Ref Assmt Area, Ser 1 | 3.50% | 05/01/21 | 221,258 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$230,000 | Parkway Ctr FL Cdd Spl Assmnt Rev Ref Assmt Area, Ser 1 | 3.50% | 05/01/22 | $235,141 | ||||
160,000 | Rhodine Road North CDD FL Spl Assmnt | 3.50% | 05/01/24 | 163,936 | ||||
385,000 | Sarasota National FL Cdd Spl Assmnt Ref | 3.00% | 05/01/23 | 397,971 | ||||
375,000 | Sarasota National FL Cdd Spl Assmnt Ref | 3.00% | 05/01/24 | 390,090 | ||||
240,000 | Sarasota National FL Cdd Spl Assmnt Ref | 3.00% | 05/01/25 | 250,020 | ||||
50,000 | Vlg FL CDD #6 Spl Assmnt Rev Ref | 4.00% | 05/01/25 | 55,974 | ||||
310,000 | W Vlgs FL Impt Dist Spl Assmt Unit Dev #7 Master Infrastructure | 4.00% | 05/01/24 | 319,266 | ||||
6,018,444 | ||||||||
Georgia – 3.8% | ||||||||
100,000 | Burke Cnty GA Dev Auth Poll Control Rev Var GA Pwr Co Plant Vogtle Proj (Mandatory put 06/13/24) | 2.15% | 10/01/32 | 105,177 | ||||
600,000 | GA St Muni Gas Auth Ref Gas Portfolio III, Ser S | 5.00% | 10/01/23 | 647,046 | ||||
175,000 | Gainesville & Hall Cnty GA Hosp Auth Ref Northeast GA Hlth System Inc Proj, Ser A | 5.00% | 02/15/24 | 198,800 | ||||
175,000 | Glynn Brunswick GA Memorial Hosp Auth Ref Antic Ctfs Southeast GA Hlth | 5.00% | 08/01/23 | 193,461 | ||||
715,000 | Madison Cnty GA Sch Dist Ref, COPS | 4.00% | 05/01/25 | 812,862 | ||||
45,000 | Main Street Nat Gas Inc GA Gas Rev, Ser A | 5.50% | 09/15/23 | 51,009 | ||||
830,000 | Main Street Nat Gas Inc GA Gas Rev, Ser B | 5.00% | 03/15/22 | 873,343 | ||||
240,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/25 | 284,246 | ||||
3,165,944 | ||||||||
Hawaii – 0.2% | ||||||||
25,000 | HI St, Ser Fb | 5.00% | 04/01/21 | 25,203 | ||||
100,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Ref Sr First Bd Resolution, Ser B | 4.00% | 07/01/32 | 113,420 | ||||
138,623 | ||||||||
Illinois – 6.4% | ||||||||
400,000 | Chicago IL Brd of Edu Ref, Ser C | 5.00% | 12/01/22 | 431,212 | ||||
50,000 | Chicago IL Brd of Edu Ref, Ser F | 5.00% | 12/01/21 | 50,179 | ||||
50,000 | Chicago IL Ref Proj, Ser A | 5.00% | 01/01/27 | 55,212 | ||||
100,000 | Chicago IL Ref, 2003B | 5.13% | 01/01/27 | 114,425 | ||||
25,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/26 | 29,402 | ||||
65,000 | Chicago IL Ref, Ser C, CABS | (c) | 01/01/25 | 59,824 | ||||
160,000 | Hillside IL Tax Incr Rev Ref | 5.00% | 01/01/24 | 165,962 | ||||
250,000 | IL St | 5.00% | 03/01/22 | 261,572 | ||||
395,000 | IL St | 5.00% | 05/01/23 | 431,170 | ||||
105,000 | IL St | 5.00% | 05/01/24 | 118,243 | ||||
85,000 | IL St | 4.00% | 01/01/31 | 92,911 | ||||
195,000 | IL St Fin Auth Hlth Svcs Facs Lease Rev Univ Of IL Hlth Svcs Facility Proj | 5.00% | 10/01/24 | 223,573 | ||||
50,000 | IL St Ref | 5.00% | 08/01/21 | 51,093 | ||||
70,000 | IL St, Ser A | 5.25% | 05/01/22 | 73,914 | ||||
100,000 | IL St, Ser A | 4.00% | 01/01/24 | 102,797 | ||||
15,000 | IL St, Ser A | 4.00% | 01/01/25 | 15,397 | ||||
700,000 | IL St, Ser C | 5.00% | 11/01/29 | 830,606 | ||||
210,000 | IL St, Ser D | 5.00% | 11/01/23 | 230,168 | ||||
60,000 | IL St, Ser D | 5.00% | 11/01/24 | 67,615 | ||||
700,000 | Macon Cnty IL Sch Dist #61, AGM | 4.00% | 12/01/25 | 804,643 | ||||
75,000 | Railsplitter IL Tobacco Settlement Auth | 5.25% | 06/01/21 | 76,218 | ||||
540,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/31 | 629,764 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$365,000 | Univ Of IL IL Ref Auxiliary Facs Sys, Ser A | 5.00% | 04/01/22 | $383,203 | ||||
5,299,103 | ||||||||
Indiana – 1.4% | ||||||||
125,000 | IN Bond Bank Rev Hamilton Co Projs, CABS | (c) | 01/15/26 | 120,908 | ||||
215,000 | IN St Bond Bank Spl Program Gas Rev, Ser A | 5.25% | 10/15/21 | 221,736 | ||||
100,000 | La Porte IN Wtrwks Rev, AGM | 4.00% | 01/01/24 | 109,262 | ||||
105,000 | La Porte IN Wtrwks Rev, AGM | 4.00% | 07/01/24 | 116,312 | ||||
545,000 | Merrillville IN Conservancy Dist | 3.00% | 01/15/23 | 571,552 | ||||
1,139,770 | ||||||||
Kentucky – 2.2% | ||||||||
240,000 | KY St Econ Dev Fin Auth Hlth Sys Rev Norton Healthcare Inc, Ser B, NATL-RE | (c) | 10/01/25 | 226,090 | ||||
250,000 | KY St Econ Dev Fin Auth Ref Hosp Rev Owensboro Hlth Inc Oblig Grp, Ser B | 5.00% | 06/01/21 | 252,465 | ||||
20,000 | KY St Econ Dev Fin Auth Ref Owensboro Hlth, Ser A | 5.00% | 06/01/25 | 22,491 | ||||
355,000 | KY St Hgr Edu Student Loan Corp Sr, Ser A, AMT | 5.00% | 06/01/26 | 423,760 | ||||
255,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser B (Mandatory put 01/01/25) | 4.00% | 01/01/49 | 287,109 | ||||
350,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser C-1 | 4.00% | 12/01/21 | 360,615 | ||||
75,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A (Mandatory put 06/01/26) | 4.00% | 12/01/50 | 87,699 | ||||
105,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A-1 (Mandatory put 06/01/25) | 4.00% | 12/01/49 | 120,056 | ||||
1,780,285 | ||||||||
Louisiana – 2.0% | ||||||||
455,000 | New Orleans LA Aviation Brd, Ser B, AMT | 5.00% | 01/01/31 | 520,693 | ||||
150,000 | New Orleans LA Wtr Rev Wtr Rev | 5.00% | 12/01/26 | 179,769 | ||||
350,000 | New Orleans LA Wtr Rev Wtr Rev | 5.00% | 12/01/28 | 416,454 | ||||
500,000 | Saint John the Baptist Parish LA Rev Var Ref Marathon Oil Corp Proj, Subser 2017B-1 (Mandatory put 07/01/24) | 2.13% | 06/01/37 | 515,255 | ||||
1,632,171 | ||||||||
Maryland – 0.7% | ||||||||
115,000 | Harford Cnty MD Spl Oblg Ref Beechtree Estates Proj | 4.00% | 07/01/23 | 124,161 | ||||
300,000 | Harford Cnty MD Spl Oblg Ref Beechtree Estates Proj | 4.00% | 07/01/24 | 332,748 | ||||
100,000 | Maryland St Hlth & Hgr Eductnl Facs Auth Rev Ref Stevenson Univ Proj, Ser A | 5.00% | 06/01/28 | 125,179 | ||||
582,088 | ||||||||
Massachusetts – 2.4% | ||||||||
350,000 | MA St Clg Bldg Auth, Ser A | 5.00% | 05/01/28 | 388,234 | ||||
100,000 | MA St Dev Fin Agy Rev Ref Milford Regl Med Ctr, Ser G (a) | 5.00% | 07/15/21 | 101,595 | ||||
200,000 | MA St Dev Fin Agy Rev Umass Darthmouth Student Hsg Proj | 5.00% | 10/01/21 | 201,838 | ||||
575,000 | MA St Eductnl Fing Auth, Ser B, AMT | 5.00% | 07/01/24 | 661,106 | ||||
500,000 | MA St Eductnl Fing Auth, Ser B, AMT | 5.00% | 07/01/25 | 594,080 | ||||
1,946,853 | ||||||||
Michigan – 3.5% | ||||||||
70,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/30 | 79,945 | ||||
100,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Sr Lien Bond, Ser A | 5.00% | 07/01/25 | 119,684 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Michigan (Continued) | ||||||||
$575,000 | Kalamazoo MI Econ Dev Corp Heritage Cmnty of Kalamazoo Revel Creek Proj Temps 60, Ser B2 | 2.63% | 05/15/25 | $577,421 | ||||
300,000 | MI St Fin Auth Rev Ref Beaumont Hlth Credit Grp | 5.00% | 08/01/28 | 345,798 | ||||
100,000 | MI St Fin Auth Rev Ref Hosp Beaumont Hlth Credit Grp | 5.00% | 11/01/21 | 103,367 | ||||
150,000 | MI St Fin Auth Rev Ref Loc Govt Loan Program Great Lakes Wtr Auth, Ser D-1, AGM | 5.00% | 07/01/28 | 178,224 | ||||
935,000 | MI St Fin Auth Rev Ref Loc Govt Loan Program Great Lakes Wtr Auth, Ser D2, AGM | 5.00% | 07/01/28 | 1,072,613 | ||||
250,000 | MI St Fin Auth Rev Sr Lien Great Lakes Wtr Auth, Ser C-3, AGM | 5.00% | 07/01/27 | 287,070 | ||||
90,000 | MI St Hosp Fin Auth Ref Mclaren Healthcare, Ser A | 5.00% | 06/01/24 | 95,610 | ||||
2,859,732 | ||||||||
Missouri – 1.1% | ||||||||
350,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Saint Lukes Hlth Sys Inc | 4.00% | 11/15/33 | 396,645 | ||||
500,000 | Saint Louis MO Gen Fnd Rev Trans | 2.00% | 06/01/21 | 503,030 | ||||
899,675 | ||||||||
Montana – 0.4% | ||||||||
150,000 | MT St Fac Fin Auth Hlth Care Facs Rev MT Children’s Home and Hosp Proj, Ser A | 4.00% | 07/01/24 | 162,825 | ||||
155,000 | MT St Fac Fin Auth Hlth Care Facs Rev MT Children’s Home and Hosp Proj, Ser A | 4.00% | 07/01/25 | 171,371 | ||||
334,196 | ||||||||
Nebraska – 1.6% | ||||||||
420,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/22 | 450,475 | ||||
150,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.25% | 09/01/37 | 160,808 | ||||
70,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 | 5.00% | 01/01/24 | 79,321 | ||||
175,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 (Mandatory put 01/01/24) | 5.00% | 03/01/50 | 196,866 | ||||
330,000 | Centrl Plains Energy Proj NE Gas Proj Rev Ref Proj #3, Ser A | 5.00% | 09/01/26 | 404,616 | ||||
1,292,086 | ||||||||
Nevada – 2.5% | ||||||||
500,000 | Clark Cnty NV Sch Dist Ref Bldg, Ser A, BAM | 5.00% | 06/15/30 | 621,070 | ||||
410,000 | Las Vegas NV Redev Agy Tax Incr Rev Ref | 4.00% | 06/15/21 | 415,010 | ||||
330,000 | Las Vegas NV Spl Impt Dist #808 & #810 Ref | 5.00% | 06/01/28 | 361,020 | ||||
125,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/25 | 147,452 | ||||
500,000 | Yerington NV USDA Interim Debs | 1.63% | 11/01/23 | 506,835 | ||||
2,051,387 | ||||||||
New Hampshire – 0.3% | ||||||||
220,000 | National Fin Auth NH Sr Living Rev Ref Springpoint Sr Living | 4.00% | 01/01/24 | 240,616 | ||||
New Jersey – 6.7% | ||||||||
1,100,000 | Middlesex Cnty NJ Ref Civic Square IV Redev, COPS | 5.00% | 10/15/31 | 1,298,792 | ||||
1,500,000 | Newark NJ Prom Nts | 3.50% | 07/27/21 | 1,521,645 | ||||
1,000,000 | NJ St Covid-19 Go Emergency Bonds, Ser A | 5.00% | 06/01/25 | 1,193,280 | ||||
110,000 | NJ St Econ Dev Auth Rev Ref Sch Facs Constr, Ser PP | 3.50% | 06/15/27 | 118,280 | ||||
275,000 | NJ St Econ Dev Auth Rev Ref Sch Facs Construction, Ser NN | 5.00% | 03/01/29 | 299,148 | ||||
50,000 | NJ St Transprtn Trust Fund Auth Cap Apprec Transprtn Sys, Ser C, AMBAC | (c) | 12/15/25 | 47,513 | ||||
45,000 | NJ St Transprtn Trust Fund Auth Fed Hwy Reimbursement Nts, Ser A-1, GARVEE | 5.00% | 06/15/27 | 54,402 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New Jersey (Continued) | ||||||||
$45,000 | NJ St Transprtn Trust Fund Auth Ref Fed Highway Reimbursement Nts, Ser A, GARVEE | 5.00% | 06/15/21 | $45,802 | ||||
275,000 | NJ St Transprtn Trust Fund Auth Sys, Ser C | 5.25% | 06/15/32 | 317,141 | ||||
260,000 | NJ St Transprtn Trust Fund Auth Transprtn Program, Ser AA | 5.00% | 06/15/22 | 276,315 | ||||
160,000 | NJ St Transprtn Trust Fund Auth Transprtn Program, Ser AA | 5.00% | 06/15/25 | 183,459 | ||||
150,000 | NJ St Transprtn Trust Fund Auth Transprtn Sys, Ser A | 5.00% | 06/15/22 | 152,681 | ||||
5,508,458 | ||||||||
New York – 7.9% | ||||||||
785,000 | Met Transprtn Auth NY Rev Transprtn, Subser C-2, BANS | 5.00% | 09/01/21 | 803,447 | ||||
750,000 | Met Transprtn Auth NY Rev, Ser A-2S, BANS | 4.00% | 02/01/22 | 772,343 | ||||
305,000 | Met Transprtn Auth NY Rev, Ser D-1, BANS | 5.00% | 09/01/22 | 324,297 | ||||
1,000,000 | NY NY Adj Fiscal 2020, Subser B-3 (b) | 0.30% | 10/01/46 | 1,000,000 | ||||
125,000 | NY NY, Ser G | 4.00% | 08/01/29 | 137,645 | ||||
460,000 | NY NY, Ser J | 5.00% | 08/01/21 | 471,247 | ||||
250,000 | NY NY, Subser F-1 | 5.00% | 03/01/27 | 274,408 | ||||
255,000 | NY St Dorm Auth St Personal Income Tax Rev, Ser B | 5.00% | 03/15/30 | 268,168 | ||||
200,000 | NY St Transprtn Dev Corpspl Fac Rev Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser C | 5.00% | 12/01/24 | 233,366 | ||||
125,000 | NY St Transprtn Dev Corpspl Fac Rev Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser C | 5.00% | 12/01/25 | 150,490 | ||||
15,000 | Port Auth of New York & New Jersey NY Consol One Hundred Eighty Fifth Ref, AMT | 5.00% | 09/01/23 | 16,810 | ||||
855,000 | Port Auth of NY & NJ NY Ref, Ser 223, AMT | 5.00% | 07/15/25 | 1,025,658 | ||||
1,000,000 | Suffolk Cnty NY, Ser I, TANS | 2.00% | 07/22/21 | 1,008,020 | ||||
6,485,899 | ||||||||
North Dakota – 1.2% | ||||||||
500,000 | Horace ND Ref & Impt, Ser A | 1.90% | 08/01/22 | 500,470 | ||||
460,000 | Williston ND Cnty Wide Pub Safety Sales Tax Rev Ref, Ser A | 5.00% | 07/15/22 | 486,675 | ||||
987,145 | ||||||||
Ohio – 0.6% | ||||||||
500,000 | OH St Air Quality Dev Auth Ref American Elec Pwr Company Proj, Ser B, AMT (Mandatory put 10/01/24) | 2.10% | 07/01/28 | 526,295 | ||||
Oklahoma – 1.5% | ||||||||
700,000 | OK St Dev Fin Auth Gilcrease Expressway West Proj P3 Proj, AMT | 1.63% | 07/06/23 | 701,820 | ||||
495,000 | Oklahoma City OK Arpt Trust Junior Lien, AMT | 5.00% | 07/01/22 | 524,457 | ||||
1,226,277 | ||||||||
Oregon – 0.6% | ||||||||
500,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Temps 50 Rose Villa Proj, Ser B2 | 2.75% | 11/15/25 | 505,135 | ||||
Pennsylvania – 7.1% | ||||||||
280,000 | Cumberland Cnty PA Muni Auth Ref Messiah Vlg Proj | 4.00% | 07/01/22 | 288,677 | ||||
295,000 | Cumberland Cnty PA Muni Auth Ref Messiah Vlg Proj | 5.00% | 07/01/23 | 316,907 | ||||
90,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/24 | 103,244 | ||||
90,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/28 | 104,910 | ||||
500,000 | Lancaster PA Ref, BAM | 5.00% | 05/01/25 | 595,555 | ||||
255,000 | Lehigh Cnty PA Gen Purpose Auth Revs Ref Lehigh Carbon Cmnty Clg, Ser 2016, BAM | 5.00% | 11/01/26 | 314,022 | ||||
245,000 | Monroeville PA Fin Auth Upmc Rev | 5.00% | 02/15/30 | 262,601 | ||||
100,000 | Montgomery Cnty PA Indl Dev Auth Acts Retmnt Life Cmntys Ref | 5.00% | 11/15/23 | 106,296 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$200,000 | Montgomery Cnty PA Indl Dev Auth Ref Meadowood Sr Living Proj, Ser A | 3.00% | 12/01/21 | $202,580 | ||||
345,000 | Montgomery Cnty PA Indl Dev Auth Ref Meadowood Sr Living Proj, Ser A | 4.00% | 12/01/22 | 360,639 | ||||
400,000 | Northampton Cnty PA Gen Purpose Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/25 | 452,408 | ||||
210,000 | Northampton Cnty PA Gen Purpose Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/27 | 240,904 | ||||
495,000 | PA St Hsg Fin Agy SF Mtge Rev Non Ace, Ser 123B | 3.45% | 10/01/32 | 541,268 | ||||
100,000 | PA St Turnpike Commn Turnpike Rev Sub, Ser A | 5.00% | 12/01/21 | 103,784 | ||||
570,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Ref String Theory Chrt Sch Proj (a) | 5.00% | 06/15/24 | 638,098 | ||||
300,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Ref String Theory Chrt Sch Proj (a) | 5.00% | 06/15/25 | 344,790 | ||||
35,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/27 | 44,370 | ||||
475,000 | Scranton PA Sch Dist Ref, Ser D | 5.00% | 06/01/27 | 562,096 | ||||
250,000 | Westmoreland Cnty PA Indl Dev Auth Hlth Sys Rev Ref Excela Hlth Proj, Ser A | 4.00% | 07/01/21 | 253,077 | ||||
5,836,226 | ||||||||
Puerto Rico – 1.0% | ||||||||
433,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (c) | 07/01/24 | 412,506 | ||||
328,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (c) | 07/01/27 | 295,597 | ||||
168,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (c) | 07/01/29 | 143,501 | ||||
851,604 | ||||||||
Rhode Island – 0.5% | ||||||||
370,000 | RI St Hlth & Eductnl Bldg Corp Pub Schs Rev Ref Providence Pub Bldg Auth, AGM | 5.00% | 05/15/28 | 435,464 | ||||
Tennessee – 1.6% | ||||||||
920,000 | TN St Energy Acquisition Corp Gas Rev Proj, Ser A (Mandatory put 05/01/23) | 4.00% | 05/01/48 | 990,077 | ||||
215,000 | TN St Energy Acquisition Corp Gas Rev, Ser A | 5.25% | 09/01/26 | 265,744 | ||||
50,000 | TN St Energy Acquisition Corp Gas Rev, Ser C | 5.00% | 02/01/21 | 50,000 | ||||
1,305,821 | ||||||||
Texas – 9.0% | ||||||||
175,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fndtn Proj | 5.00% | 07/15/21 | 177,320 | ||||
125,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fndtn Proj | 5.00% | 07/15/23 | 133,404 | ||||
240,000 | Brazoria Cnty TX Ref | 5.00% | 03/01/27 | 295,270 | ||||
295,000 | Celina TX Spl Assmt Rev Ref The Lakes at Mustang Ranch Pub Impt Dt Phase #1 Proj, BAM | 4.00% | 09/01/24 | 325,167 | ||||
35,000 | Clifton TX Hgr Edu Fin Corp Edu Rev Idea Pub Sch, Ser B | 5.00% | 08/15/24 | 39,958 | ||||
150,000 | Dallas TX Ref | 5.00% | 02/15/27 | 170,643 | ||||
485,000 | Garland TX Elec Utility Sys Rev Ref, Ser A | 5.00% | 03/01/21 | 486,882 | ||||
380,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Med Facs Rev Ref Baylor Clg of Med | 5.00% | 11/15/23 | 423,594 | ||||
250,000 | Harris Cnty TX Muni Utility Dist #105, BAM | 2.00% | 03/01/21 | 250,325 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$1,275,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Improv Proj, Ser B-2, AMT | 5.00% | 07/15/27 | $1,476,169 | ||||
200,000 | Houston TX Hgr Edu Fin Corp Edu Rev Ref Harmony Pub Schs, Ser A | 5.00% | 02/15/22 | 209,674 | ||||
435,000 | Lower Colorado River TX Auth Transmission Contract Rev Ref | 5.00% | 05/15/23 | 482,128 | ||||
500,000 | Matagorda Cnty TX Nav Dist #1 Var Rev Cent Pwr & Lt Ref, AMT (Mandatory put 09/01/23) | 0.90% | 05/01/30 | 504,595 | ||||
275,000 | Mclendon Chisholm TX Spl Assmnt Rev Ref Sonoma Pub Impt Dt Phase 1 Proj, BAM | 4.00% | 09/15/24 | 303,303 | ||||
200,000 | Mesquite TX Indep Sch Dist Ref, Ser A | 5.00% | 08/15/27 | 250,218 | ||||
450,000 | N TX St Muni Wtr Dist Upper Efork Wstwtr Intercpt Ref & Impt | 6.25% | 06/01/23 | 513,886 | ||||
120,000 | New Hope Cultural Ed Facs Fin Corp TX Retmnt Fac Rev Ref Wesleyan Homes Inc Proj Fin Corp | 3.00% | 01/01/24 | 119,666 | ||||
160,000 | Oak Point TX Spl Assmnt Rev Wildridge Pub Impt Dist #1 Impt Area #2 Proj Accd Inv (a) | 3.50% | 09/01/23 | 165,658 | ||||
85,000 | Sa Energy Acquisition Pub Fac Corp TX Gas Sply Rev Gas Sply Rev | 5.50% | 08/01/25 | 103,035 | ||||
85,000 | SA Energy Acquisition Pub Fac Corp TX Gas Sply Rev Gas Sply Rev | 5.50% | 08/01/21 | 87,212 | ||||
50,000 | San Antonio TX Tax Nts | 5.00% | 08/01/21 | 51,233 | ||||
300,000 | TX St Muni Gas Acquisition & Sply Corp III Gas Sply Rev Ref | 5.00% | 12/15/24 | 350,451 | ||||
500,000 | TX St Pub Fin Auth Ref Sthrn Univ Fing Sys, BAM | 5.00% | 11/01/21 | 514,540 | ||||
7,434,331 | ||||||||
Utah – 0.3% | ||||||||
100,000 | UT Cnty UT Hosp Rev Ihc Hlth Svcs Inc | 5.00% | 05/15/23 | 101,401 | ||||
135,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Spectrum Academy Proj | 4.00% | 04/15/24 | 148,913 | ||||
250,314 | ||||||||
Vermont – 0.5% | ||||||||
140,000 | Burlington VT, Ser B | 5.00% | 11/01/21 | 145,036 | ||||
250,000 | VT St Econ Dev Auth Mtge Rev Wake Robin Corp Proj | 5.00% | 05/01/21 | 251,397 | ||||
396,433 | ||||||||
Washington – 2.3% | ||||||||
1,000,000 | Energy NW WA Elec Rev Ref Columbia Generating, Ser A | 5.00% | 07/01/21 | 1,020,140 | ||||
600,000 | King Cnty WA Swr Rev Sub (Mandatory put 12/01/21) | 2.60% | 01/01/43 | 601,218 | ||||
150,000 | Seattle WA Wtr Sys Rev Ref & Impt | 5.00% | 05/01/28 | 178,597 | ||||
105,000 | Tobacco Settlement Auth WA Tobacco Settlement Rev Ref | 5.00% | 06/01/23 | 116,922 | ||||
1,916,877 | ||||||||
West Virginia – 0.6% | ||||||||
500,000 | WV St Econ Dev Auth Sol Wst Disp Facs Var Sr Arch Resources Proj, AMT (Mandatory put 07/01/25) | 5.00% | 07/01/45 | 521,800 | ||||
Wisconsin – 3.8% | ||||||||
185,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/25 | 214,532 | ||||
425,000 | Pub Fin Auth WI Rev Roseman Univ Of Hlth Sciences Proj (a) | 3.00% | 04/01/25 | 436,449 | ||||
1,435,000 | Tender Option Bond Trust Receipts / Ctfs Various States Floaters, Ser 2020-XF2887 (a) (b) | 0.29% | 06/15/38 | 1,435,000 | ||||
395,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Ascension Hlth Credit Grp, Ser A | 5.00% | 11/15/36 | 477,978 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Wisconsin (Continued) | ||||||||
$500,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Marshfield Clinic Hlth Sys Inc, Ser B1 (Mandatory put 02/15/25) | 5.00% | 02/15/52 | $574,790 | ||||
3,138,749 | ||||||||
Wyoming – 0.3% | ||||||||
200,000 | Laramie Cnty WY Hosp Rev Ref Cheyenne Regl Med Ctr Proj | 4.00% | 05/01/26 | 235,818 |
Total Investments – 99.0% | 81,615,288 | ||
(Cost $79,540,056) (d) | |||
Net Other Assets and Liabilities – 1.0% | 825,429 | ||
Net Assets – 100.0% | $82,440,717 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury Long Bonds | Short | 1 | Mar 2021 | $ 168,719 | $1,813 | |||||
U.S. Treasury Ultra 10-Year Notes | Short | 4 | Mar 2021 | 615,312 | 6,187 | |||||
Total Futures Contracts | $784,031 | $8,000 |
(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, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At January 31, 2021, securities noted as such amounted to $5,341,205 or 6.5% of net assets. |
(b) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(c) | Zero coupon bond. |
(d) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,098,474 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $15,242. The net unrealized appreciation was $2,083,232. The unrealized amounts presented are inclusive of derivative contracts. |
AGM | Assured Guaranty Municipal Corp. |
AMBAC | American Municipal Bond Assurance Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
BANS | Bond Anticipation Notes |
CABS | Capital Appreciation Bonds |
COPS | Certificates of Participation |
GARVEE | Grant Anticipation Revenue Vehicle |
NATL-RE | National Public Finance Guarantee Corp. |
TANS | Tax Anticipation Notes |
Total Value at 1/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 81,615,288 | $ — | $ 81,615,288 | $ — |
Futures Contracts** | 8,000 | 8,000 | — | — |
Total | $ 81,623,288 | $ 8,000 | $ 81,615,288 | $— |
* | See Portfolio of Investments for state and territory breakout. |
** | Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Statements of Assets and Liabilities. |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 98.3% | ||||||||
Alabama – 7.0% | ||||||||
$1,000,000 | Black Belt Energy Gas Dist AL Gas Sply Rev, Ser A (Mandatory put 06/01/21) | 4.00% | 07/01/46 | $1,009,040 | ||||
500,000 | Chatom AL Indl Dev Brd Gulf Opportunity Zone Ref Gulf Opportunity Zone Pwr South Energy Corp Proj, AGM | 5.00% | 08/01/21 | 510,830 | ||||
2,450,000 | Hlth Care Auth for Baptist Hlth AL Var Ref, Ser B (a) | 0.23% | 11/01/42 | 2,450,000 | ||||
770,000 | Jefferson Cnty AL Ref Warrants, Ser B | 5.00% | 04/01/21 | 776,052 | ||||
200,000 | Lower AL Gas Dist Gas Proj Rev Gas Proj, Rev Bonds Proj 2 (Mandatory put 12/01/25) | 4.00% | 12/01/50 | 231,874 | ||||
1,425,000 | Mizuho Floater Residual Trust Various States Floaters Miz 9024, Ser 2020 (a) (b) | 0.44% | 12/01/48 | 1,425,000 | ||||
700,000 | Mobile AL Indl Dev Brd Sol Wst Disp Rev Var AL Pwr Barry Plant (a) | 0.04% | 06/01/34 | 700,000 | ||||
325,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A | 4.00% | 06/01/23 | 352,229 | ||||
260,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A (Mandatory put 06/01/24) | 4.00% | 06/01/49 | 289,068 | ||||
7,744,093 | ||||||||
Arizona – 2.7% | ||||||||
1,000,000 | AZ St Indl Dev Auth Rev Lincoln South Beltway Proj | 5.00% | 05/01/23 | 1,102,540 | ||||
280,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Traditional Sch Proj | 5.00% | 07/01/22 | 296,867 | ||||
300,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Traditional Sch Proj | 5.00% | 07/01/23 | 330,309 | ||||
500,000 | Maricopa Cnty AZ Poll Controlcorp Poll Control Rev Var Ref Pub Svc Co of NM Palo Verde Proj, Ser A (Mandatory put 06/01/22) | 1.05% | 01/01/38 | 505,230 | ||||
750,000 | Vistancia AZ Cmnty Facs Dist Ref, BAM | 3.00% | 07/15/21 | 759,255 | ||||
2,994,201 | ||||||||
California – 3.4% | ||||||||
135,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Settle Ref Sr Bonds Merced Cnty Tobacco Funding Corp, Ser A | 3.00% | 06/01/21 | 136,262 | ||||
150,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Settle Sr Ref, Ser A | 3.00% | 06/01/21 | 151,407 | ||||
225,000 | Cathedral City CA Redev Agy Successor Agy Tax Allocation Rev Ref Sub Hsg Merged Redev Proj Area, Ser C | 4.00% | 08/01/21 | 228,769 | ||||
180,000 | Cathedral City CA Redev Agy Successor Agy Tax Allocation Rev Ref Sub Hsg Merged Redev Proj Area, Ser C | 4.00% | 08/01/22 | 188,777 | ||||
150,000 | Golden St Tobacco Securitization Corp CA Tobacco Settlement Ref Enhanced Asset Bkd, Ser A | 5.00% | 06/01/22 | 159,633 | ||||
250,000 | Golden St Tobacco Securitization Corp CA Tobacco Settlement Ref, Ser A-1 | 5.00% | 06/01/22 | 266,145 | ||||
200,000 | Long Beach CA Bond Fin Auth Nat Gas Purchase Rev, Ser A | 5.25% | 11/15/23 | 227,590 | ||||
180,000 | Port of Oakland CA Ref Sr Lien, Ser P, AMT | 5.00% | 05/01/26 | 190,640 | ||||
2,200,000 | Tender Option Bond Trust Receipts / Ctfs Various States Floaters, Ser 2019-XF2835 (a) (b) | 0.24% | 07/01/42 | 2,200,000 | ||||
3,749,223 | ||||||||
Colorado – 0.7% | ||||||||
200,000 | Breckenridge CO Ref, Ser B, COPS | 4.00% | 12/01/21 | 206,168 | ||||
170,000 | CO St Hlth Facs Auth Hosp Rev Ref Commonspirit Hlth, Ser B-1 (Mandatory put 08/01/25) | 5.00% | 08/01/49 | 198,931 | ||||
100,000 | Copperleaf CO Met Dist #2 Ref, BAM | 4.00% | 12/01/21 | 103,041 | ||||
200,000 | Park Creek CO Met Dist Rev Ref Sr Limited Property Tax Supported, Ser A | 5.00% | 12/01/21 | 207,398 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado (Continued) | ||||||||
$100,000 | Vauxmont Met Dist CO Ref Ltd Tax Conv Unltd Sub, AGM | 5.00% | 12/15/21 | $103,685 | ||||
819,223 | ||||||||
Connecticut – 3.3% | ||||||||
3,000,000 | Capital City CT Econ Dev Auth Pkg & Energy Fee Rev Adj, Ser B (a) | 0.16% | 06/15/34 | 3,000,000 | ||||
150,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Fairfield Univ Issue, Ser T | 5.00% | 07/01/21 | 152,888 | ||||
165,000 | CT St Ref, Ser B | 5.00% | 04/15/23 | 182,196 | ||||
55,000 | CT St, Ser F | 5.00% | 11/15/21 | 57,108 | ||||
170,000 | Univ Of CT CT Ref, Ser A | 5.00% | 11/01/22 | 184,130 | ||||
100,000 | Univ Of CT CT Rev, Ser A | 4.00% | 11/15/21 | 102,983 | ||||
3,679,305 | ||||||||
Florida – 6.1% | ||||||||
425,000 | Citizens Property Insurance Corp FL, Ser A1 | 5.00% | 06/01/22 | 442,030 | ||||
1,000,000 | FL St Hsg Fin Corp Mf Mtge Rev Adj Parrish Oaks, Ser A (Mandatory put 02/01/22) | 1.25% | 02/01/23 | 1,010,650 | ||||
445,000 | Hollywood Beach FL Cmnty Dev Dist Rev Cdd Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/23 | 498,008 | ||||
575,000 | Jacksonville FL Spl Rev Ref, Ser C | 5.00% | 10/01/21 | 593,457 | ||||
125,000 | Jacksonville FL Spl Rev, Ser B-1 | 5.00% | 10/01/21 | 129,012 | ||||
100,000 | Jea FL Elec Sys Rev Sub, Ser B | 5.00% | 10/01/21 | 103,060 | ||||
425,000 | Jea FL Elec Sys Rev Sub, Ser B | 5.00% | 10/01/22 | 457,385 | ||||
280,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Ref Country Club East Proj, AGM | 5.00% | 05/01/21 | 283,016 | ||||
175,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Ref Country Club East Proj, AGM | 5.00% | 05/01/25 | 205,777 | ||||
65,000 | Miami-Dade Cnty FL Bldg Better Cmntys Prog, Ser A | 5.00% | 07/01/30 | 66,329 | ||||
265,000 | Miami-Dade Cnty FL Spl Oblig Ref Sub, Ser A | 5.00% | 10/01/27 | 286,582 | ||||
1,100,000 | Orange Cnty FL Hsg Fin Auth Hsg Willow Key Apts, Ser A (Mandatory put 04/01/21) | 1.90% | 04/01/22 | 1,103,058 | ||||
600,000 | Orlando & Orange Cnty FL Expressway Auth Ref, Ser B, AGM | 5.00% | 07/01/22 | 641,442 | ||||
115,000 | Palm Beach Cnty FL Sch Brd Ref, Ser B, COPS | 5.00% | 08/01/21 | 117,766 | ||||
300,000 | Pembroke Pines FL Capital Impt Rev Ref, AGM | 5.00% | 12/01/21 | 312,123 | ||||
250,000 | Sarasota National FL Cdd Spl Assmnt Ref | 3.00% | 05/01/21 | 251,247 | ||||
245,000 | Tampa FL Hosp Rev Ref H. Lee Moffitt Cancer Ctr Proj, Ser B | 5.00% | 07/01/21 | 249,469 | ||||
6,750,411 | ||||||||
Illinois – 5.5% | ||||||||
30,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (c) | 12/01/22 | 29,503 | ||||
240,000 | Chicago IL Wtrwks Rev 2nd Lien Proj | 5.00% | 11/01/21 | 247,915 | ||||
1,000,000 | Cook Cnty IL Ref, Ser A | 3.00% | 11/15/21 | 1,022,780 | ||||
150,000 | Cook Cnty IL Ref, Ser C | 5.00% | 11/15/23 | 162,756 | ||||
100,000 | IL St | 4.88% | 05/01/21 | 101,084 | ||||
150,000 | IL St | 5.00% | 03/01/22 | 156,943 | ||||
125,000 | IL St | 5.00% | 07/01/22 | 132,441 | ||||
110,000 | IL St | 5.00% | 05/01/23 | 120,073 | ||||
130,000 | IL St | 4.00% | 03/01/26 | 133,851 | ||||
1,000,000 | IL St Dev Fin Auth Sol Wst Disp Rev Wst Mgmt Inc Proj, Ser A, AMT (Mandatory put 11/01/21) | 1.60% | 11/01/44 | 1,002,610 | ||||
180,000 | IL St Fin Auth Hlth Svcs Facs Lease Rev Univ Of IL Hlth Svcs Fac Proj | 5.00% | 10/01/23 | 199,616 | ||||
2,000,000 | IL St Fin Auth Rev Var Univ Chicago Med Ctr, Ser A (a) | 0.01% | 08/01/44 | 2,000,000 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$165,000 | IL St Ref | 5.00% | 02/01/22 | $172,088 | ||||
200,000 | IL St, Ser A | 5.00% | 04/01/22 | 209,914 | ||||
125,000 | IL St, Ser D | 5.00% | 11/01/22 | 132,849 | ||||
170,000 | Montgomery IL Ref Alt Rev Source | 2.63% | 12/01/21 | 170,277 | ||||
70,000 | Railsplitter IL Tobacco Settlement Auth | 5.38% | 06/01/21 | 71,166 | ||||
6,065,866 | ||||||||
Indiana – 4.8% | ||||||||
500,000 | Greater Clark IN Bldg Corp | 4.00% | 07/15/21 | 508,435 | ||||
500,000 | Greater Clark IN Bldg Corp | 4.00% | 01/15/22 | 517,490 | ||||
80,000 | Greater Clark IN Bldg Corp Greater Clark Sch Corp 1st Mtge Bonds, Ser 2019 | 4.00% | 07/15/21 | 81,350 | ||||
170,000 | Greater Clark IN Bldg Corp Greater Clark Sch Corp 1st Mtge Bonds, Ser 2019 | 4.00% | 01/15/22 | 175,947 | ||||
750,000 | Hamilton IN S Estrn Schs, Ser B | 3.00% | 06/30/21 | 758,092 | ||||
150,000 | IN St Bond Bank Spl Program Gas Rev, Ser A | 5.25% | 10/15/21 | 154,699 | ||||
1,500,000 | Indianapolis IN Loc Pub Impt Bond Bank Fieldhouse Proj, Ser C | 1.40% | 06/01/21 | 1,500,075 | ||||
45,000 | La Porte IN Wtrwks Rev, AGM | 4.00% | 07/01/22 | 47,059 | ||||
100,000 | La Porte IN Wtrwks Rev, AGM | 4.00% | 07/01/23 | 107,716 | ||||
1,400,000 | Noblesville IN Multi Sch Bldg Corp Ref 1st Mtge | 5.00% | 07/15/22 | 1,479,996 | ||||
5,330,859 | ||||||||
Iowa – 0.9% | ||||||||
1,030,000 | IA St Fin Auth Midwestern Econ Dev Rev Var Cj Bio Amer Inc Proj (a) | 0.14% | 04/01/22 | 1,030,000 | ||||
Kansas – 0.3% | ||||||||
50,000 | Univ Of KS KS Hosp Auth Hlth Facs Rev Ref Univ Of KS Hlth Sys, Ser B | 5.00% | 03/01/21 | 50,188 | ||||
225,000 | Wyandotte Cnty KS Unif Sch Dist #202, Ser A, AGM | 2.00% | 09/01/21 | 227,309 | ||||
277,497 | ||||||||
Kentucky – 0.8% | ||||||||
385,000 | Ashland KY Med Ctr Rev Ref Ashland Hosp Corp Dba Kings Daughters Med Ctr | 5.00% | 02/01/21 | 385,000 | ||||
150,000 | KY St Pub Energy Auth Gas Sply Rev Var, Ser C | 4.00% | 08/01/21 | 152,695 | ||||
70,000 | Lewis Cnty KY Sch Dist Fin Corp, Ser B | 2.25% | 06/01/22 | 71,111 | ||||
300,000 | Owen Cnty KY Pub Properties Corp 1st Mtge Rev Ref Court Facs Proj | 4.00% | 11/01/21 | 307,935 | ||||
916,741 | ||||||||
Louisiana – 2.1% | ||||||||
1,000,000 | LA St Gas & Fuels Tax Rev Var Ref Second Lien, Ser D-2 | 0.55% | 05/01/43 | 1,000,320 | ||||
150,000 | New Orleans LA Sewage Svc Rev Ref | 5.00% | 06/01/21 | 152,226 | ||||
500,000 | Saint John the Baptist Parish LA Rev Ref Marathon Oil Corp Proj, Ser A-1 (Mandatory put 04/01/23) | 2.00% | 06/01/37 | 509,595 | ||||
150,000 | Shreveport LA Wtr & Swr Rev Junior Lien, Ser C, BAM | 5.00% | 12/01/23 | 167,789 | ||||
200,000 | Shreveport LA Wtr & Swr Rev Ref | 5.00% | 12/01/21 | 208,066 | ||||
255,000 | Shreveport LA Wtr & Swr Rev Ref, Ser A, BAM | 5.00% | 12/01/22 | 276,713 | ||||
2,314,709 | ||||||||
Maryland – 0.2% | ||||||||
100,000 | Harford Cnty MD Spl Oblg Ref Beechtree Estates Proj | 3.00% | 07/01/21 | 101,066 | ||||
100,000 | Harford Cnty MD Spl Oblg Ref Beechtree Estates Proj | 3.00% | 07/01/22 | 103,359 | ||||
204,425 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Massachusetts – 3.9% | ||||||||
$1,831,211 | Blue Hills Regl Tech High Sch Dist MA, BANS | 1.00% | 05/20/21 | $1,835,258 | ||||
750,000 | Ludlow MA, BANS | 1.00% | 09/23/21 | 753,960 | ||||
150,000 | MA St Eductnl Fing Auth, Ser B, AMT | 5.00% | 07/01/23 | 166,301 | ||||
1,610,750 | Randolph MA, BANS | 2.00% | 06/11/21 | 1,618,449 | ||||
4,373,968 | ||||||||
Michigan – 0.4% | ||||||||
285,000 | Detroit MI Wtr Sply Sys Rev Sr Lien, Ser A | 5.25% | 07/01/41 | 291,119 | ||||
100,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Ref 2nd Lien, Ser A | 5.00% | 07/01/21 | 102,002 | ||||
393,121 | ||||||||
Minnesota – 0.9% | ||||||||
1,000,000 | Brooklyn Ctr MN Mf Hsg Dev Rev Var Sonder House Apartments Proj (Mandatory put 07/01/22) | 1.35% | 01/01/37 | 1,000,860 | ||||
Mississippi – 0.5% | ||||||||
500,000 | MS St Business Fin Corp Sol Wst Disp Rev Waste Mgmt Inc Proj (Mandatory put 09/01/21) | 1.35% | 03/01/29 | 501,045 | ||||
Missouri – 0.9% | ||||||||
1,000,000 | Saint Louis MO Gen Fnd Rev Trans | 2.00% | 06/01/21 | 1,006,060 | ||||
Montana – 0.2% | ||||||||
220,000 | MT Fac Fin Auth Hlth Facs Rev Bozeman Deaconess Hlth Svcs | 4.00% | 06/01/21 | 222,664 | ||||
Nebraska – 3.1% | ||||||||
300,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/22 | 321,768 | ||||
295,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/32 | 315,095 | ||||
410,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.25% | 09/01/37 | 439,541 | ||||
100,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No 1, Ser A | 5.25% | 12/01/21 | 104,094 | ||||
125,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 | 5.00% | 01/01/24 | 141,645 | ||||
1,840,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 (Mandatory put 01/01/24) | 5.00% | 03/01/50 | 2,069,908 | ||||
3,392,051 | ||||||||
Nevada – 4.4% | ||||||||
625,000 | Clark Cnty NV Sch Dist Ref Bldg, Ser A | 5.00% | 06/15/23 | 691,688 | ||||
135,000 | Clark Cnty NV Sch Dist Ref Ltd Tax, Ser A | 5.00% | 06/15/21 | 137,376 | ||||
100,000 | Clark Cnty NV Sch Dist Ref, Ser B | 5.00% | 06/15/21 | 101,760 | ||||
160,000 | Clark Cnty NV Sch Dist Ref, Ser D | 5.00% | 06/15/21 | 162,816 | ||||
800,000 | Clark Cnty NV Sch Dist Various Purpose Medium Term, Ser F | 5.00% | 06/15/22 | 832,624 | ||||
1,000,000 | Director of the St of NV Dept of Business & Industry Var Brightline West Passenger Rail Proj, Ser A, AMT (Mandatory put 07/01/21) (b) | 0.50% | 01/01/50 | 1,000,500 | ||||
405,000 | Las Vegas NV Redev Agy Tax Incr Rev Ref | 4.00% | 06/15/21 | 409,949 | ||||
1,500,000 | Yerington NV USDA Interim Debs | 1.63% | 11/01/23 | 1,520,505 | ||||
4,857,218 | ||||||||
New Jersey – 5.7% | ||||||||
125,000 | Hamilton Twp NJ Sch Dist, AGM | 3.00% | 07/15/22 | 129,981 | ||||
1,755,000 | Jersey City NJ Muni Utilities Auth Wtr Proj Notes | 3.00% | 07/01/22 | 1,820,532 | ||||
1,500,000 | Newark NJ Prom Nts | 3.50% | 07/27/21 | 1,521,645 | ||||
700,000 | NJ St Covid-19 Go Emergency Bonds, Ser A | 4.00% | 06/01/23 | 759,157 | ||||
100,000 | NJ St Econ Dev Auth Rev Ref, Ser BBB | 5.00% | 06/15/21 | 101,741 | ||||
55,000 | NJ St Econ Dev Auth Rev Ref, Ser XX | 5.00% | 06/15/21 | 55,958 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New Jersey (Continued) | ||||||||
$500,000 | NJ St Hgr Edu Assistance Auth Student Loan Rev Sr Bonds, Ser B, AMT | 5.00% | 12/01/22 | $542,530 | ||||
150,000 | NJ St Transprtn Trust Fund Auth Ref Fed Highway Reimbursement Nts, Ser A, GARVEE | 5.00% | 06/15/21 | 152,675 | ||||
225,000 | NJ St Transprtn Trust Fund Auth Transprtn Program, Ser AA | 5.00% | 06/15/23 | 239,053 | ||||
1,000,000 | Prospect Park NJ, BANS | 2.00% | 11/10/21 | 1,012,130 | ||||
6,335,402 | ||||||||
New Mexico – 1.1% | ||||||||
500,000 | Farmington NM Poll Control Rev Ref Pub Svc Company Proj, Ser B (Mandatory put 06/01/22) | 2.13% | 06/01/40 | 511,055 | ||||
750,000 | Farmington NM Poll Control Rev Var Ref Pub Svc Co of NM Ser F, AMT (Mandatory put 06/01/22) | 1.20% | 06/01/40 | 759,465 | ||||
1,270,520 | ||||||||
New York – 13.0% | ||||||||
285,000 | Broome Cnty NY, Ser A, BANS | 2.00% | 04/30/21 | 286,240 | ||||
2,000,000 | Center Moriches NY Union Freesch Dist, TANS | 1.50% | 06/25/21 | 2,009,340 | ||||
600,000 | Long Beach NY, BAM | 2.00% | 09/15/22 | 611,172 | ||||
190,000 | Met Transprtn Auth NY Rev Subser, Ser B-2A, BANS | 5.00% | 05/15/21 | 192,202 | ||||
335,000 | Met Transprtn Auth NY Rev, Ser A-2S, BANS | 4.00% | 02/01/22 | 344,980 | ||||
500,000 | Met Transprtn Auth NY Rev, Ser B-1, BANS | 5.00% | 05/15/22 | 525,830 | ||||
1,695,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Var Gen Resolution Sub FF-1 (a) | 0.01% | 06/15/44 | 1,695,000 | ||||
2,150,000 | NY NY Adj Fiscal 2020, Subser B-3 (a) | 0.30% | 10/01/46 | 2,150,000 | ||||
1,000,000 | NY NY Adjustable Fiscal 2017, Subser A-5 (a) | 0.01% | 08/01/44 | 1,000,000 | ||||
300,000 | NY St Dorm Auth Revs Non St Supported Debt Mount Sinai Hosp, Ser A | 5.00% | 07/01/35 | 306,030 | ||||
1,000,000 | NY St Dorm Auth St Personal Income Tax Rev Rans Subordinate, Ser B | 5.00% | 03/31/21 | 1,008,200 | ||||
125,000 | NY St Hsg Fin Agy Affordable Hsg, Ser E | 2.13% | 11/01/23 | 126,136 | ||||
200,000 | NY St Hsg Fin Agy Sustainability Bonds, Ser N | 1.45% | 05/01/23 | 201,340 | ||||
500,000 | NY St Mtge Agy Homeowner Mtge Rev, Ser 183, AMT | 3.75% | 04/01/23 | 530,780 | ||||
125,000 | NY St Mtge Agy Rev Mtge, 55th Ser, AMT | 2.65% | 10/01/23 | 131,376 | ||||
300,000 | NY St Transprtn Dev Corpspl Fac Rev Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser C | 5.00% | 12/01/21 | 312,072 | ||||
1,000,000 | Suffolk Cnty NY, Ser I, TANS | 2.00% | 07/22/21 | 1,008,020 | ||||
1,000,000 | Suffolk Cnty NY, Ser LI, TANS | 2.00% | 08/19/21 | 1,008,950 | ||||
1,012,000 | Syracuse NY, Ser B, RANS | 2.00% | 07/30/21 | 1,020,794 | ||||
14,468,462 | ||||||||
North Dakota – 2.4% | ||||||||
1,000,000 | Horace ND Ref & Impt, Ser A | 1.90% | 08/01/22 | 1,000,940 | ||||
110,000 | ND St Hsg Fin Agy Hsg Fin Program Home Mtge Fin Program, Ser A | 2.30% | 01/01/22 | 111,935 | ||||
250,000 | W Fargo ND Ref, Ser A | 2.00% | 05/01/21 | 251,093 | ||||
350,000 | W Fargo ND Ref, Ser A | 2.00% | 05/01/22 | 357,269 | ||||
500,000 | Watford City ND St Aid Ctfs Indebtedness Ref, AGM | 3.00% | 12/01/21 | 509,590 | ||||
440,000 | Williston ND Cnty Wide Pub Safety Sales Tax Rev Ref, Ser A | 5.00% | 07/15/22 | 465,516 | ||||
2,696,343 | ||||||||
Ohio – 1.6% | ||||||||
1,000,000 | Euclid OH, BANS | 2.25% | 04/29/21 | 1,004,090 | ||||
245,000 | Montgomery Cnty OH Hosp Rev Ref Kettering Hlth Network Oblig Grp Proj | 5.00% | 08/01/23 | 273,829 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Ohio (Continued) | ||||||||
$500,000 | OH St Air Quality Dev Auth Ref American Elec Pwr Company Proj, Ser B, AMT (Mandatory put 10/01/24) | 2.10% | 07/01/28 | $526,295 | ||||
1,804,214 | ||||||||
Oklahoma – 1.9% | ||||||||
700,000 | OK St Dev Fin Auth Gilcrease Expressway West Proj P3 Proj, AMT | 1.63% | 07/06/23 | 701,820 | ||||
930,000 | OK St Dev Fin Auth Var Solid Waste Disp, Ser A | 2.38% | 12/01/21 | 946,387 | ||||
465,000 | Tulsa OK Arpts Impt Trust Ref, Ser A, AMT, BAM | 5.00% | 06/01/22 | 491,942 | ||||
2,140,149 | ||||||||
Pennsylvania – 7.0% | ||||||||
200,000 | Berks Cnty PA Indl Dev Auth Hlth Sys Rev Ref Tower Hlth Proj | 5.00% | 11/01/22 | 211,262 | ||||
900,000 | Berks Cnty PA Muni Auth Ref Tower Hlth Proj, Ser A | 5.00% | 02/01/22 | 926,613 | ||||
175,000 | Hermitage PA Muni Auth Ref, Ser C | 2.00% | 02/01/21 | 175,000 | ||||
165,000 | Hermitage PA Muni Auth Ref, Ser C | 3.00% | 02/01/22 | 169,432 | ||||
150,000 | Mckeesport PA Area Sch Dist Ref, Ser A, AGM | 3.00% | 10/01/21 | 152,000 | ||||
1,500,000 | PA St Econ Dev Fingauth Solid Waste Disposal Rev RePub Svcs Inc Proj, Ser B-1, AMT (Mandatory put 04/15/21) | 0.20% | 04/01/49 | 1,500,180 | ||||
750,000 | PA St Econ Dev Fingauth Solid Waste Disposal Rev Waste Mgmt Inc Proj, Ser A, AMT (Mandatory put 08/02/21) | 0.70% | 08/01/37 | 751,950 | ||||
235,000 | PA St Turnpike Commn Oil Franchise Tax Rev Ref Sub, Ser B | 5.00% | 12/01/21 | 243,993 | ||||
160,000 | Philadelphia PA Ref, Ser A | 5.00% | 07/15/21 | 163,296 | ||||
1,265,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/21 | 1,293,614 | ||||
100,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/21 | 102,262 | ||||
100,000 | Philadelphia PA Ref, Ser A | 5.00% | 09/15/21 | 102,817 | ||||
1,585,000 | Philadelphia PA Sch Dist Trans, Ser A | 4.00% | 06/30/21 | 1,610,772 | ||||
210,000 | Philadelphia PA Wtr & Wstwtr Rev, Ser A | 5.13% | 01/01/43 | 219,557 | ||||
100,000 | Philadelphia PA, Ser B | 5.00% | 02/01/21 | 100,000 | ||||
7,722,748 | ||||||||
Tennessee – 1.7% | ||||||||
100,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Lipscomb Univ Proj, Ser A | 5.00% | 10/01/21 | 101,946 | ||||
100,000 | Met Nashville TN Arpt Auth Arpt Rev, Ser B, AMT | 5.00% | 07/01/21 | 101,887 | ||||
300,000 | TN St Energy Acquisition Corp Gas Rev | 5.00% | 11/01/22 | 324,150 | ||||
690,000 | TN St Energy Acquisition Corp Gas Rev, Ser A | 5.25% | 09/01/22 | 742,896 | ||||
155,000 | TN St Energy Acquisition Corp Gas Rev, Ser A | 5.25% | 09/01/23 | 173,848 | ||||
50,000 | TN St Energy Acquisition Corp Gas Rev, Ser C | 5.00% | 02/01/21 | 50,000 | ||||
340,000 | TN St Energy Acquisition Corp Gas Rev, Ser C | 5.00% | 02/01/23 | 370,100 | ||||
1,864,827 | ||||||||
Texas – 4.3% | ||||||||
200,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fndtn Proj | 5.00% | 07/15/23 | 213,446 | ||||
1,000,000 | Denton TX Indep Sch Dist Var Sch Bldg, Ser B (a) | 0.04% | 08/01/35 | 1,000,000 | ||||
200,000 | Gulfgate Redev Auth TX Tax Incr Contract Rev Ref, AGM | 4.00% | 09/01/22 | 211,332 | ||||
500,000 | Lower Colorado River TX Auth Transmission Contract Rev Ref Lcra Transmission Svcs Corp Proj | 5.00% | 05/15/21 | 506,960 | ||||
265,000 | Mclendon Chisholm TX Spl Assmnt Rev Ref Sonoma Pub Impt Dt Phase 1 Proj, BAM | 4.00% | 09/15/23 | 285,699 | ||||
130,000 | Newark Hgr Edu Fin Corp TX Edu Rev The Hughen Ctr Inc, Ser A | 4.00% | 08/15/23 | 141,497 | ||||
350,000 | TX St Muni Gas Acquisition & Sply Corp Gas Sply Rev Ref, Ser LII | 5.00% | 12/15/21 | 363,310 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$235,000 | TX St Muni Gas Acquisition & Sply Corp Gas Sply Rev Ref, Ser LII | 5.00% | 12/15/22 | $254,536 | ||||
35,000 | TX St Muni Gas Acquisition & Sply Corp I Gas Sply Rev Sr Lien, Ser A | 5.25% | 12/15/21 | 36,494 | ||||
1,100,000 | TX St Muni Gas Acquisition & Sply Corp I Gas Sply Rev Sr Lien, Ser A | 5.25% | 12/15/22 | 1,200,221 | ||||
110,000 | TX St Muni Gas Acquisition & Sply Corp I Gas Sply Rev Sr Lien, Ser A | 5.25% | 12/15/23 | 124,975 | ||||
150,000 | Viridian TX Muni Mgmt Dist Unlimited Tax Road Impt Bonds, BAM | 4.00% | 12/01/22 | 159,072 | ||||
250,000 | Viridian TX Muni Mgmt Dist Unlimited Tax Road Impt Bonds, BAM | 4.00% | 12/01/23 | 273,028 | ||||
4,770,570 | ||||||||
Utah – 0.2% | ||||||||
100,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Spectrum Academy Proj | 4.00% | 04/15/21 | 100,712 | ||||
100,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Spectrum Academy Proj | 4.00% | 04/15/22 | 104,204 | ||||
204,916 | ||||||||
Virginia – 1.1% | ||||||||
900,000 | Amelia Cnty VA Indl Dev Auth Sol Wst Disp Rev Var Ref Waste Mgmt Pj, AMT (Mandatory put 04/01/21) | 3.00% | 04/01/27 | 904,167 | ||||
350,000 | VA St Small Business Fing Auth Rev Ref National Sr Campuses Inc | 5.00% | 01/01/22 | 364,637 | ||||
1,268,804 | ||||||||
Washington – 0.1% | ||||||||
120,000 | WA St Mtr Vehcl Tax Sr 520 Corridor Prog Toll, Ser C | 5.00% | 06/01/24 | 121,898 | ||||
Wisconsin – 6.1% | ||||||||
1,475,000 | Cambridge WI Sch Dist, NANS | 1.00% | 05/03/21 | 1,477,670 | ||||
110,000 | Milwaukee WI Corp Purp, Ser B4 | 5.00% | 05/15/22 | 111,474 | ||||
725,000 | Milwaukee WI Promissory & Corporate Notes, Ser N2 | 5.00% | 05/01/22 | 767,289 | ||||
545,000 | Milwaukee WI Promissory Notes, Ser N1 | 5.00% | 02/01/23 | 594,480 | ||||
100,000 | Milwaukee WI Promissory Notes, Ser N2 | 4.00% | 03/15/22 | 104,132 | ||||
390,000 | Milwaukee WI Ref Prom Nts, Ser N2 | 4.00% | 03/15/25 | 445,961 | ||||
380,000 | Milwaukee WI Ref Promissory Nts, Ser N4 | 5.00% | 04/01/22 | 400,733 | ||||
750,000 | Pub Fin Auth WI Sol Wst Disp Rev Var Ref Waste Mgmt Inc Proj, Ser A-3, AMT (Mandatory put 06/01/21) | 2.00% | 07/01/29 | 754,530 | ||||
2,037,000 | Tender Option Bond Trust Receipts / Ctfs Various States Floaters, Ser 2020-XF2869 (a) (b) | 0.29% | 11/01/25 | 2,037,000 | ||||
100,000 | WI St Transprtn Rev Prerefunded, Ser 1 | 5.00% | 07/01/25 | 111,604 | ||||
6,804,873 |
Total Investments – 98.3% | 109,097,266 | ||
(Cost $108,590,767) (d) | |||
Net Other Assets and Liabilities – 1.7% | 1,875,887 | ||
Net Assets – 100.0% | $110,973,153 |
(a) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(b) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At January 31, 2021, securities noted as such amounted to $6,662,500 or 6.0% of net assets. |
(c) | Zero coupon bond. |
(d) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $519,719 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $10,220. The net unrealized appreciation was $509,499. |
AGM | Assured Guaranty Municipal Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
BANS | Bond Anticipation Notes |
COPS | Certificates of Participation |
GARVEE | Grant Anticipation Revenue Vehicle |
NANS | Note Anticipation Notes |
NATL-RE | National Public Finance Guarantee Corp. |
RANS | Revenue Anticipation Notes |
TANS | Tax Anticipation Notes |
Total Value at 1/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 109,097,266 | $ — | $ 109,097,266 | $ — |
* | See Portfolio of Investments for state breakout. |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | ||
ASSETS: | |||
Investments, at value | $ 81,615,288 | $ 109,097,266 | |
Cash | 4,017,199 | 2,495,331 | |
Cash segregated as collateral for open futures contracts | 13,420 | — | |
Receivables: | |||
Interest | 706,882 | 743,209 | |
Investment securities sold | 167,940 | — | |
Variation margin | 2,844 | — | |
Total Assets | 86,523,573 | 112,335,806 | |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | 4,052,807 | 1,339,556 | |
Investment advisory fees | 30,049 | 23,097 | |
Total Liabilities | 4,082,856 | 1,362,653 | |
NET ASSETS | $82,440,717 | $110,973,153 | |
NET ASSETS consist of: | |||
Paid-in capital | $ 80,496,998 | $ 110,395,345 | |
Par value | 39,500 | 55,000 | |
Accumulated distributable earnings (loss) | 1,904,219 | 522,808 | |
NET ASSETS | $82,440,717 | $110,973,153 | |
NET ASSET VALUE, per share | $20.87 | $20.18 | |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 3,950,002 | 5,500,002 | |
Investments, at cost | $79,540,056 | $108,590,767 |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | |||
INVESTMENT INCOME: | ||||
Interest | $ 676,038 | $ 508,104 | ||
Total investment income | 676,038 | 508,104 | ||
EXPENSES: | ||||
Investment advisory fees | 187,802 | 225,287 | ||
Total expenses | 187,802 | 225,287 | ||
Fees waived by the investment advisor | (34,146) | (89,196) | ||
Net expenses | 153,656 | 136,091 | ||
NET INVESTMENT INCOME (LOSS) | 522,382 | 372,013 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments | 47,379 | (13,621) | ||
Futures contracts | 4,811 | — | ||
Net realized gain (loss) | 52,190 | (13,621) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 748,389 | 102,245 | ||
Futures contracts | 8,000 | — | ||
Net change in unrealized appreciation (depreciation) | 756,389 | 102,245 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 808,579 | 88,624 | ||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 1,330,961 | $ 460,637 |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | ||||||
Six Months Ended 1/31/2021 (Unaudited) | Year Ended 7/31/2020 | Six Months Ended 1/31/2021 (Unaudited) | Year Ended 7/31/2020 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 522,382 | $ 630,654 | $ 372,013 | $ 547,918 | |||
Net realized gain (loss) | 52,190 | (222,557) | (13,621) | 2,199 | |||
Net change in unrealized appreciation (depreciation) | 756,389 | 916,311 | 102,245 | 336,188 | |||
Net increase (decrease) in net assets resulting from operations | 1,330,961 | 1,324,408 | 460,637 | 886,305 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (559,200) | (637,095) | (365,900) | (536,002) | |||
Return of capital | — | (18,716) | — | (2,449) | |||
Total distributions to shareholders | (559,200) | (655,811) | (365,900) | (538,451) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 26,933,713 | 47,999,296 | 27,217,356 | 70,260,944 | |||
Cost of shares redeemed | (7,231,530) | (6,154,805) | — | (7,045,546) | |||
Net increase (decrease) in net assets resulting from shareholder transactions | 19,702,183 | 41,844,491 | 27,217,356 | 63,215,398 | |||
Total increase (decrease) in net assets | 20,473,944 | 42,513,088 | 27,312,093 | 63,563,252 | |||
NET ASSETS: | |||||||
Beginning of period | 61,966,773 | 19,453,685 | 83,661,060 | 20,097,808 | |||
End of period | $82,440,717 | $61,966,773 | $110,973,153 | $83,661,060 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 3,000,002 | 950,002 | 4,150,002 | 1,000,002 | |||
Shares sold | 1,300,000 | 2,350,000 | 1,350,000 | 3,500,000 | |||
Shares redeemed | (350,000) | (300,000) | — | (350,000) | |||
Shares outstanding, end of period | 3,950,002 | 3,000,002 | 5,500,002 | 4,150,002 |
Six Months Ended 1/31/2021 (Unaudited) | Year Ended 7/31/2020 | Period Ended 7/31/2019 (a) | |||
Net asset value, beginning of period | $ 20.66 | $ 20.48 | $ 20.00 | ||
Income from investment operations: | |||||
Net investment income (loss) | 0.16 | 0.38 | 0.34 | ||
Net realized and unrealized gain (loss) | 0.22 | 0.22 | 0.45 | ||
Total from investment operations | 0.38 | 0.60 | 0.79 | ||
Distributions paid to shareholders from: | |||||
Net investment income | (0.17) | (0.41) | (0.31) | ||
Return of capital | — | (0.01) | — | ||
Total distributions | (0.17) | (0.42) | (0.31) | ||
Net asset value, end of period | $20.87 | $20.66 | $20.48 | ||
Total return (b) | 1.84% | 2.98% | 3.98% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 82,441 | $ 61,967 | $ 19,454 | ||
Ratio of total expenses to average net assets | 0.55% (c) | 0.55% | 0.55% (c) | ||
Ratio of net expenses to average net assets | 0.45% (c) | 0.45% | 0.45% (c) | ||
Ratio of net investment income (loss) to average net assets | 1.53% (c) | 2.00% | 2.23% (c) | ||
Portfolio turnover rate (d) | 16% | 58% | 66% |
(a) | Inception date is November 1, 2018, which is consistent with the commencement of operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total return would have been lower if certain fees had not been waived by the investment advisor. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Six Months Ended 1/31/2021 (Unaudited) | Year Ended 7/31/2020 | Period Ended 7/31/2019 (a) | |||
Net asset value, beginning of period | $ 20.16 | $ 20.10 | $ 20.00 | ||
Income from investment operations: | |||||
Net investment income (loss) | 0.07 | 0.25 | 0.26 | ||
Net realized and unrealized gain (loss) | 0.02 | 0.07 | 0.09 | ||
Total from investment operations | 0.09 | 0.32 | 0.35 | ||
Distributions paid to shareholders from: | |||||
Net investment income | (0.07) | (0.26) | (0.25) | ||
Net realized gain | — | (0.00) (b) | — | ||
Return of capital | — | (0.00) (b) | — | ||
Total distributions | (0.07) | (0.26) | (0.25) | ||
Net asset value, end of period | $20.18 | $20.16 | $20.10 | ||
Total return (c) | 0.47% | 1.61% | 1.75% | ||
Total return (c) | 0.47% | 1.61% | 1.75% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 110,973 | $ 83,661 | $ 20,098 | ||
Ratio of total expenses to average net assets | 0.45% (d) | 0.45% | 0.45% (d) | ||
Ratio of net expenses to average net assets | 0.27% (d) | 0.35% | 0.35% (d) | ||
Ratio of net investment income (loss) to average net assets | 0.74% (d) | 1.20% | 1.73% (d) | ||
Portfolio turnover rate (e) | 29% | 149% | 145% |
(a) | Inception date is November 1, 2018, which is consistent with the commencement of operations and is the date the initial creation units were established. |
(b) | Amount is less than $0.01. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total return would have been lower if certain fees had not been waived by the investment advisor. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer; |
5) | the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; and |
10) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from Tax-Exempt Income | Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | ||||
First Trust Short Duration Managed Municipal ETF | $ 636,236 | $ 859 | $— | $ 18,716 | |||
First Trust Ultra Short Duration Municipal ETF | 526,947 | 8,438 | 617 | 2,449 |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust Short Duration Managed Municipal ETF | $ — | $ (222,307) | $ 1,354,765 | ||
First Trust Ultra Short Duration Municipal ETF | — | — | 428,071 |
Non-Expiring Capital Loss Carryforward | |
First Trust Short Duration Managed Municipal ETF | $ 222,307 |
First Trust Ultra Short Duration Municipal ETF | — |
Purchases | Sales | ||
First Trust Short Duration Managed Municipal ETF | $ 32,648,162 | $ 10,442,917 | |
First Trust Ultra Short Duration Municipal ETF | 44,336,119 | 22,536,071 | |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value | |||||
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | $ 8,000 | Unrealized depreciation on futures contracts* | $ — |
Statement of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $4,811 |
Net change in unrealized appreciation (depreciation) on futures contracts | 8,000 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Six Months Ended
January 31, 2021
1 | |
2 | |
4 | |
5 | |
6 | |
8 | |
9 | |
10 | |
11 | |
12 | |
17 |
Performance | ||
Cumulative Total Returns | ||
6 Months Ended 1/31/21 | Inception (2/4/20) to 1/31/21 | |
Fund Performance | ||
NAV | 0.46% | -2.30% |
Market Price | 0.51% | -2.25% |
Index Performance | ||
Hedge Fund Research Merger Arbitrage Index | 7.73% | 6.39% |
S&P 500® Index | 14.47% | 14.68% |
Portfolio Sector Allocation | % of Total Long-Term Investments |
Financials | 32.6% |
Information Technology | 30.8 |
Energy | 17.7 |
Health Care | 11.8 |
Utilities | 4.3 |
Industrials | 2.8 |
Total | 100.0% |
Portfolio Sector Allocation | % of Investments Sold Short |
Financials | 33.5% |
Energy | 32.1 |
Information Technology | 29.3 |
Industrials | 5.1 |
Total | 100.0% |
Top Ten Long-Term Investments | % of Net Assets |
Willis Towers Watson PLC | 8.3% |
Pioneer Natural Resources Co. | 7.9 |
Anworth Mortgage Asset Corp. | 7.7 |
ConocoPhillips | 6.4 |
Slack Technologies, Inc., Class A | 5.9 |
Watford Holdings Ltd. | 5.3 |
Endurance International Group Holdings, Inc. | 5.2 |
Cellular Biomedicine Group, Inc. | 5.0 |
Varian Medical Systems, Inc. | 4.5 |
Maxim Integrated Products, Inc. | 4.1 |
Total | 60.3% |
Top Investments Sold Short | % of Net Assets |
Aon PLC, Class A | -8.9% |
Pioneer Natural Resources Co. | -7.9 |
ConocoPhillips | -6.4 |
Ready Capital Corp. | -6.0 |
Analog Devices, Inc. | -4.4 |
Advanced Micro Devices, Inc. | -4.0 |
salesforce.com, Inc. | -2.4 |
Builders FirstSource, Inc. | -2.2 |
Marvell Technology Group Ltd. | -2.2 |
Total | -44.4% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Beginning Account Value August 1, 2020 | Ending Account Value January 31, 2021 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Merger Arbitrage ETF (MARB) | ||||
Actual | $1,000.00 | $1,004.60 | 2.18% | $11.01 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.22 | 2.18% | $11.07 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (August 1, 2020 through January 31, 2021), multiplied by 184/365 (to reflect the six-month period). |
Shares | Description | Value | ||
COMMON STOCKS – 73.0% | ||||
Biotechnology – 5.0% | ||||
32,688 | Cellular Biomedicine Group, Inc. (a) (b) | $640,685 | ||
Building Products – 2.2% | ||||
7,378 | Builders FirstSource, Inc. (a) (b) | 282,209 | ||
Capital Markets – 3.1% | ||||
15,627 | Waddell & Reed Financial, Inc., Class A | 395,207 | ||
Electric Utilities – 3.5% | ||||
9,092 | PNM Resources, Inc. (b) | 441,144 | ||
Health Care Equipment & Supplies – 4.5% | ||||
3,244 | Varian Medical Systems, Inc. (a) (b) | 569,549 | ||
Insurance – 13.6% | ||||
19,480 | Watford Holdings Ltd. (a) (b) | 673,229 | ||
5,210 | Willis Towers Watson PLC (b) | 1,057,317 | ||
1,730,546 | ||||
IT Services – 8.2% | ||||
69,882 | Endurance International Group Holdings, Inc. (a) (b) | 662,481 | ||
7,458 | Virtusa Corp. (a) (b) | 380,731 | ||
1,043,212 | ||||
Oil, Gas & Consumable Fuels – 14.3% | ||||
20,330 | ConocoPhillips (b) | 813,810 | ||
8,275 | Pioneer Natural Resources Co. (b) | 1,000,447 | ||
1,814,257 | ||||
Semiconductors & Semiconductor Equipment – 10.8% | ||||
2,342 | Inphi, Corp. (a) (b) | 394,885 | ||
6,002 | Maxim Integrated Products, Inc. (b) | 526,435 | ||
3,467 | Xilinx, Inc. (b) | 452,686 | ||
1,374,006 | ||||
Software – 5.9% | ||||
17,614 | Slack Technologies, Inc., Class A (a) (b) | 742,782 | ||
Thrifts & Mortgage Finance – 1.9% | ||||
7,375 | Standard AVB Financial Corp. (b) | 241,974 | ||
Total Common Stocks | 9,275,571 | |||
(Cost $9,072,259) |
Shares | Description | Value | ||
REAL ESTATE INVESTMENT TRUSTS – 7.7% | ||||
Mortgage Real Estate Investment Trusts – 7.7% | ||||
399,418 | Anworth Mortgage Asset Corp. (b) | $974,580 | ||
(Cost $1,088,414) | ||||
Total Investments – 80.7% | 10,250,151 | |||
(Cost $10,160,673) (c) | ||||
COMMON STOCKS SOLD SHORT – (38.4)% | ||||
Building Products – (2.2)% | ||||
(7,432) | Builders FirstSource, Inc. (a) | (284,274) | ||
Insurance – (8.9)% | ||||
(5,548) | Aon PLC, Class A | (1,126,799) | ||
Oil, Gas & Consumable Fuels – (14.3)% | ||||
(20,303) | ConocoPhillips | (812,729) | ||
(8,258) | Pioneer Natural Resources Co. | (998,392) | ||
(1,811,121) | ||||
Semiconductors & Semiconductor Equipment – (10.6)% | ||||
(5,934) | Advanced Micro Devices, Inc. (a) | (508,188) | ||
(3,780) | Analog Devices, Inc. | (556,907) | ||
(5,454) | Marvell Technology Group Ltd. | (280,663) | ||
(1,345,758) | ||||
Software – (2.4)% | ||||
(1,366) | salesforce.com, Inc. (a) | (308,115) | ||
Total Common Stocks Sold Short | (4,876,067) | |||
(Proceeds $4,688,647) | ||||
REAL ESTATE INVESTMENT TRUSTS SOLD SHORT – (6.0)% | ||||
Mortgage Real Estate Investment Trusts – (6.0)% | ||||
(67,140) | Ready Capital Corp. | (764,053) | ||
(Proceeds $834,867) | ||||
Total Investments Sold Short – (44.4)% | (5,640,120) | |||
(Proceeds $5,523,514) | ||||
Net Other Assets and Liabilities – 63.7% | 8,097,839 | |||
Net Assets – 100.0% | $12,707,870 |
(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 January 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $392,474 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $419,602. The net unrealized depreciation was $27,128. The unrealized amounts presented are inclusive of investments sold short. |
ASSETS TABLE | ||||
Total Value at 1/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 9,275,571 | $ 9,275,571 | $ — | $ — |
Real Estate Investment Trusts* | 974,580 | 974,580 | — | — |
Total Investments | $ 10,250,151 | $ 10,250,151 | $— | $— |
LIABILITIES TABLE | ||||
Total Value at 1/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks Sold Short* | $ (4,876,067) | $ (4,876,067) | $ — | $ — |
Real Estate Investment Trusts Sold Short* | (764,053) | (764,053) | — | — |
Total | $ (5,640,120) | $ (5,640,120) | $— | $— |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value (Cost $10,160,673) | $ 10,250,151 |
Cash | 2,051,827 |
Restricted Cash | 6,049,512 |
Dividends receivable | 13,892 |
Total Assets | 18,365,382 |
LIABILITIES: | |
Investments sold short, at value (proceeds $5,523,514) | 5,640,120 |
Payables: | |
Investment advisory fees | 13,470 |
Dividends on investments sold short | 2,552 |
Margin interest expense | 1,370 |
Total Liabilities | 5,657,512 |
NET ASSETS | $12,707,870 |
NET ASSETS consist of: | |
Paid-in capital | $ 12,700,874 |
Par value | 6,500 |
Accumulated distributable earnings (loss) | 496 |
NET ASSETS | $12,707,870 |
NET ASSET VALUE, per share | $19.55 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 650,002 |
INVESTMENT INCOME: | ||
Dividends | $ 115,860 | |
Interest | 110 | |
Other | 444 | |
Total investment income | 116,414 | |
EXPENSES: | ||
Investment advisory fees | 80,097 | |
Dividend expense on investments sold short | 54,118 | |
Margin interest expense | 5,310 | |
Total expenses | 139,525 | |
NET INVESTMENT INCOME (LOSS) | (23,111) | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | 46,462 | |
In-kind redemptions | 161,537 | |
Investments sold short | (125,947) | |
Net realized gain (loss) | 82,052 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 83,631 | |
Investments sold short | (84,489) | |
Net change in unrealized appreciation (depreciation) | (858) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 81,194 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 58,083 |
Six Months Ended 1/31/2021 (Unaudited) | Period Ended 7/31/2020 (a) | ||
OPERATIONS: | |||
Net investment income (loss) | $ (23,111) | $ (46,812) | |
Net realized gain (loss) | 82,052 | 49,574 | |
Net change in unrealized appreciation (depreciation) | (858) | (26,270) | |
Net increase (decrease) in net assets resulting from operations | 58,083 | (23,508) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 3,900,479 | 14,621,923 | |
Cost of shares redeemed | (3,899,444) | (1,949,663) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 1,035 | 12,672,260 | |
Total increase (decrease) in net assets | 59,118 | 12,648,752 | |
NET ASSETS: | |||
Beginning of period | 12,648,752 | — | |
End of period | $12,707,870 | $12,648,752 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 650,002 | — | |
Shares sold | 200,000 | 750,002 | |
Shares redeemed | (200,000) | (100,000) | |
Shares outstanding, end of period | 650,002 | 650,002 |
(a) | Inception date is February 4, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
Six Months Ended 1/31/2021 (Unaudited) | Period Ended 7/31/2020 (a) | ||
Net asset value, beginning of period | $ 19.46 | $ 20.01 | |
Income from investment operations: | |||
Net investment income (loss) | (0.04) | (0.07) | |
Net realized and unrealized gain (loss) | 0.13 | (0.48) | |
Total from investment operations | 0.09 | (0.55) | |
Net asset value, end of period | $19.55 | $19.46 | |
Total return (b) | 0.46% | (2.75)% | |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $ 12,708 | $ 12,649 | |
Ratio of total expenses to average net assets | 2.18% (c) | 2.30% (c) | |
Ratio of total expenses to average net assets excluding dividend expense and margin interest expense | 1.25% (c) | 1.25% (c) | |
Ratio of net investment income (loss) to average net assets | (0.36)% (c) | (1.71)% (c) | |
Portfolio turnover rate (d) | 140% | 137% |
(a) | Inception date is February 4, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (31,307) |
Net unrealized appreciation (depreciation) | (26,280) |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
(b) Not applicable.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
(a) | Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period are included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)),or this Item.
Item 11. Controls and Procedures.
(a) | The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). |
(b) | There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Exchange-Traded Fund III |
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | April 9, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | April 9, 2021 |
By (Signature and Title)* | /s/ Donald P. Swade | |
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | April 9, 2021 |
* Print the name and title of each signing officer under his or her signature.