UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22245
First Trust Exchange-Traded Fund III
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant’s telephone number, including area code: (630) 765-8000
Date of fiscal year end: July 31
Date of reporting period: July 31, 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.
The registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
For the Year Ended
July 31, 2021
2 | |
Fund Performance Overview | |
3 | |
5 | |
7 | |
9 | |
10 | |
14 | |
Portfolio of Investments | |
15 | |
17 | |
20 | |
24 | |
25 | |
26 | |
28 | |
31 | |
38 | |
39 | |
46 | |
48 |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 7/31/21 | Inception (8/24/16) to 7/31/21 | Inception (8/24/16) to 7/31/21 | |
Fund Performance | |||
NAV | 23.48% | 12.30% | 77.28% |
Market Price | 23.48% | 12.30% | 77.28% |
Index Performance | |||
S&P 500® Index | 36.45% | 17.53% | 121.86% |
Sector Allocation | % of Total Investments |
Information Technology | 17.8% |
Consumer Staples | 16.0 |
Industrials | 12.8 |
Health Care | 12.4 |
Utilities | 11.5 |
Financials | 10.5 |
Consumer Discretionary | 9.4 |
Real Estate | 4.2 |
Communication Services | 3.9 |
Materials | 1.5 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
McDonald’s Corp. | 2.5% |
Johnson & Johnson | 2.5 |
Verizon Communications, Inc. | 2.4 |
Cisco Systems, Inc. | 2.4 |
Coca-Cola (The) Co. | 2.3 |
Mondelez International, Inc., Class A | 2.3 |
Colgate-Palmolive Co. | 2.2 |
Procter & Gamble (The) Co. | 2.2 |
Paychex, Inc. | 2.2 |
VeriSign, Inc. | 2.0 |
Total | 23.0% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 7/31/21 | Inception (8/24/16) to 7/31/21 | Inception (8/24/16) to 7/31/21 | |
Fund Performance | |||
NAV | 18.01% | 4.31% | 23.17% |
Market Price | 18.55% | 4.33% | 23.29% |
Index Performance | |||
MSCI EAFE Index | 30.31% | 9.17% | 54.17% |
Sector Allocation | % of Total Investments |
Financials | 20.8% |
Consumer Staples | 17.9 |
Utilities | 15.8 |
Industrials | 10.5 |
Communication Services | 8.7 |
Real Estate | 7.9 |
Health Care | 7.4 |
Consumer Discretionary | 4.7 |
Materials | 4.0 |
Energy | 1.2 |
Information Technology | 1.1 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
MTR Corp., Ltd. | 1.8% |
CLP Holdings, Ltd. | 1.8 |
Power Assets Holdings Ltd. | 1.8 |
Swisscom AG | 1.8 |
Nestle S.A. | 1.8 |
McDonald’s Holdings Co., Japan Ltd. | 1.5 |
Novartis AG | 1.5 |
Hong Kong & China Gas Co., Ltd. | 1.4 |
United Overseas Bank Ltd. | 1.3 |
National Grid PLC | 1.2 |
Total | 15.9% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 7/31/21 | Inception (4/6/20) to 7/31/21 | Inception (4/6/20) to 7/31/21 | |
Fund Performance | |||
NAV | 33.72% | 41.96% | 58.68% |
Market Price | 33.94% | 41.92% | 58.63% |
Index Performance | |||
S&P 1000® Index | 49.83% | 65.31% | 93.95% |
Sector Allocation | % of Total Investments |
Industrials | 20.7% |
Real Estate | 18.1 |
Health Care | 11.1 |
Consumer Discretionary | 10.4 |
Financials | 10.2 |
Information Technology | 9.6 |
Utilities | 7.3 |
Materials | 5.9 |
Consumer Staples | 5.0 |
Communication Services | 1.7 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Hill-Rom Holdings, Inc. | 0.9% |
Service Corp. International | 0.8 |
Southwest Gas Holdings, Inc. | 0.8 |
Murphy USA, Inc. | 0.8 |
Camden Property Trust | 0.8 |
Perficient, Inc. | 0.7 |
Life Storage, Inc. | 0.7 |
Hubbell, Inc. | 0.7 |
Knight-Swift Transportation Holdings, Inc. | 0.7 |
IDACORP, Inc. | 0.7 |
Total | 7.6% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Beginning Account Value February 1, 2021 | Ending Account Value July 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 | $1,198.80 | 0.70% | $3.82 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.32 | 0.70% | $3.51 |
First Trust Horizon Managed Volatility Developed International ETF (HDMV) | ||||
Actual | $1,000.00 | $1,079.90 | 0.80% | $4.13 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.83 | 0.80% | $4.01 |
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | ||||
Actual | $1,000.00 | $1,178.10 | 0.80% | $4.32 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.83 | 0.80% | $4.01 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (February 1, 2021 through July 31, 2021), multiplied by 181/365 (to reflect the six-month period). |
Shares | Description | Value | ||
COMMON STOCKS – 95.5% | ||||
Aerospace & Defense – 4.4% | ||||
5,696 | General Dynamics Corp. | $1,116,587 | ||
4,168 | L3Harris Technologies, Inc. | 945,052 | ||
4,885 | Lockheed Martin Corp. | 1,815,608 | ||
3,894 | Northrop Grumman Corp. | 1,413,600 | ||
5,290,847 | ||||
Air Freight & Logistics – 0.7% | ||||
7,000 | Expeditors International of Washington, Inc. | 897,750 | ||
Beverages – 3.9% | ||||
49,263 | Coca-Cola (The) Co. | 2,809,469 | ||
11,977 | PepsiCo, Inc. | 1,879,790 | ||
4,689,259 | ||||
Capital Markets – 3.2% | ||||
12,987 | Intercontinental Exchange, Inc. | 1,556,232 | ||
2,576 | Moody’s Corp. | 968,576 | ||
7,468 | Nasdaq, Inc. | 1,394,500 | ||
3,919,308 | ||||
Chemicals – 1.5% | ||||
2,658 | Linde PLC | 817,042 | ||
3,394 | Sherwin-Williams (The) Co. | 987,756 | ||
1,804,798 | ||||
Commercial Services & Supplies – 3.6% | ||||
16,447 | Republic Services, Inc. | 1,946,667 | ||
16,229 | Waste Management, Inc. | 2,406,111 | ||
4,352,778 | ||||
Communications Equipment – 4.1% | ||||
51,386 | Cisco Systems, Inc. | 2,845,243 | ||
9,579 | Motorola Solutions, Inc. | 2,144,929 | ||
4,990,172 | ||||
Diversified Financial Services – 1.6% | ||||
7,074 | Berkshire Hathaway, Inc., Class B (a) | 1,968,623 | ||
Diversified Telecommunication Services – 3.9% | ||||
64,687 | AT&T, Inc. | 1,814,470 | ||
51,351 | Verizon Communications, Inc. | 2,864,359 | ||
4,678,829 | ||||
Electric Utilities – 5.2% | ||||
26,814 | American Electric Power Co., Inc. | 2,362,849 | ||
16,125 | Duke Energy Corp. | 1,694,899 | ||
34,887 | Southern (The) Co. | 2,228,233 | ||
6,285,981 |
Shares | Description | Value | ||
Electronic Equipment, Instruments & Components – 1.8% | ||||
29,900 | Amphenol Corp., Class A | $2,167,451 | ||
Food & Staples Retailing – 1.2% | ||||
1,968 | Costco Wholesale Corp. | 845,689 | ||
4,603 | Walmart, Inc. | 656,158 | ||
1,501,847 | ||||
Food Products – 4.6% | ||||
9,178 | General Mills, Inc. | 540,217 | ||
9,773 | Hershey (The) Co. | 1,748,194 | ||
12,067 | Hormel Foods Corp. | 559,668 | ||
43,369 | Mondelez International, Inc., Class A | 2,743,523 | ||
5,591,602 | ||||
Health Care Equipment & Supplies – 3.3% | ||||
18,330 | Baxter International, Inc. | 1,417,825 | ||
5,126 | Becton Dickinson and Co. | 1,310,975 | ||
9,967 | Medtronic PLC | 1,308,767 | ||
4,037,567 | ||||
Health Care Providers & Services – 1.2% | ||||
3,404 | UnitedHealth Group, Inc. | 1,403,197 | ||
Health Care Technology – 1.6% | ||||
23,286 | Cerner Corp. | 1,871,962 | ||
Hotels, Restaurants & Leisure – 4.9% | ||||
2,540 | Domino’s Pizza, Inc. | 1,334,745 | ||
12,367 | McDonald’s Corp. | 3,001,594 | ||
12,471 | Yum! Brands, Inc. | 1,638,565 | ||
5,974,904 | ||||
Household Durables – 1.2% | ||||
8,844 | Garmin Ltd. | 1,390,277 | ||
Household Products – 5.7% | ||||
6,640 | Church & Dwight Co., Inc. | 574,891 | ||
33,617 | Colgate-Palmolive Co. | 2,672,552 | ||
6,752 | Kimberly-Clark Corp. | 916,381 | ||
18,702 | Procter & Gamble (The) Co. | 2,659,986 | ||
6,823,810 | ||||
Industrial Conglomerates – 0.8% | ||||
4,953 | 3M Co. | 980,397 | ||
Insurance – 5.6% | ||||
7,830 | Allstate (The) Corp. | 1,018,292 | ||
4,965 | Aon PLC, Class A | 1,291,049 | ||
9,666 | Arthur J. Gallagher & Co. | 1,346,570 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Insurance (Continued) | ||||
14,536 | Marsh & McLennan Cos., Inc. | $2,139,990 | ||
9,527 | Progressive (The) Corp. | 906,589 | ||
6,702,490 | ||||
IT Services – 11.8% | ||||
7,467 | Accenture PLC, Class A | 2,372,117 | ||
11,261 | Automatic Data Processing, Inc. | 2,360,643 | ||
13,999 | Broadridge Financial Solutions, Inc. | 2,428,687 | ||
22,926 | Paychex, Inc. | 2,609,437 | ||
11,370 | VeriSign, Inc. (a) | 2,460,127 | ||
8,355 | Visa, Inc., Class A | 2,058,588 | ||
14,289,599 | ||||
Leisure Products – 0.7% | ||||
8,685 | Hasbro, Inc. | 863,636 | ||
Machinery – 3.3% | ||||
6,436 | Dover Corp. | 1,075,584 | ||
4,446 | IDEX Corp. | 1,007,864 | ||
8,165 | Illinois Tool Works, Inc. | 1,850,761 | ||
3,934,209 | ||||
Multiline Retail – 0.7% | ||||
3,443 | Dollar General Corp. | 800,980 | ||
Multi-Utilities – 6.2% | ||||
16,072 | Ameren Corp. | 1,348,762 | ||
25,544 | CMS Energy Corp. | 1,578,364 | ||
20,853 | Consolidated Edison, Inc. | 1,538,326 | ||
21,504 | Dominion Energy, Inc. | 1,610,004 | ||
12,521 | DTE Energy Co. | 1,468,964 | ||
7,544,420 | ||||
Pharmaceuticals – 6.3% | ||||
24,544 | Bristol-Myers Squibb Co. | 1,665,801 | ||
17,389 | Johnson & Johnson | 2,994,386 | ||
20,552 | Merck & Co., Inc. | 1,579,832 | ||
31,896 | Pfizer, Inc. | 1,365,468 | ||
7,605,487 | ||||
Specialty Retail – 1.9% | ||||
3,649 | Home Depot (The), Inc. | 1,197,565 | ||
1,825 | O’Reilly Automotive, Inc. (a) | 1,102,008 | ||
2,299,573 | ||||
Tobacco – 0.6% | ||||
7,042 | Philip Morris International, Inc. | 704,834 | ||
Total Common Stocks | 115,366,587 | |||
(Cost $101,870,430) | ||||
REAL ESTATE INVESTMENT TRUSTS – 4.2% | ||||
Equity Real Estate Investment Trusts – 4.2% | ||||
6,447 | Alexandria Real Estate Equities, Inc. | 1,298,039 |
Shares | Description | Value | ||
Equity Real Estate Investment Trusts (Continued) | ||||
28,911 | Duke Realty Corp. | $1,470,992 | ||
3,888 | Public Storage | 1,214,922 | ||
15,293 | Realty Income Corp. | 1,074,945 | ||
Total Real Estate Investment Trusts | 5,058,898 | |||
(Cost $4,202,310) | ||||
Total Investments – 99.7% | 120,425,485 | |||
(Cost $106,072,740) (b) | ||||
Net Other Assets and Liabilities – 0.3% | 332,256 | |||
Net Assets – 100.0% | $120,757,741 |
(a) | Non-income producing security. |
(b) | Aggregate cost for federal income tax purposes was $106,123,423. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $14,723,193 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $421,131. The net unrealized appreciation was $14,302,062. |
Total Value at 7/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 115,366,587 | $ 115,366,587 | $ — | $ — |
Real Estate Investment Trusts* | 5,058,898 | 5,058,898 | — | — |
Total Investments | $ 120,425,485 | $ 120,425,485 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
COMMON STOCKS (a) – 96.3% | ||||
Australia – 5.8% | ||||
11,009 | ASX Ltd. | $621,191 | ||
284,074 | AusNet Services Ltd. | 380,454 | ||
15,625 | Australia & New Zealand Banking Group Ltd. | 317,734 | ||
82,130 | Brambles Ltd. | 700,350 | ||
23,262 | Coles Group Ltd. | 298,569 | ||
5,661 | Commonwealth Bank of Australia | 413,978 | ||
175,064 | Medibank Pvt Ltd. | 425,238 | ||
11,693 | National Australia Bank Ltd. | 222,503 | ||
9,915 | Sonic Healthcare Ltd. | 291,190 | ||
118,099 | Telstra Corp., Ltd. | 327,601 | ||
10,143 | Wesfarmers Ltd. | 455,092 | ||
13,473 | Westpac Banking Corp. | 242,433 | ||
13,334 | Woolworths Group Ltd. | 379,273 | ||
5,075,606 | ||||
Belgium – 1.5% | ||||
8,063 | Etablissements Franz Colruyt N.V. | 458,534 | ||
6,985 | Groupe Bruxelles Lambert S.A. | 812,852 | ||
1,271,386 | ||||
Bermuda – 1.4% | ||||
75,465 | CK Infrastructure Holdings Ltd. | 455,927 | ||
176,400 | Hongkong Land Holdings Ltd. | 800,856 | ||
1,256,783 | ||||
Denmark – 1.2% | ||||
1,750 | Carlsberg A.S., Class B | 323,573 | ||
4,549 | Novo Nordisk A.S., Class B | 420,733 | ||
11,202 | Tryg A.S. | 276,969 | ||
1,021,275 | ||||
France – 8.6% | ||||
4,667 | Air Liquide S.A. | 811,500 | ||
2,968 | Arkema S.A. | 377,605 | ||
28,213 | Bureau Veritas S.A. | 931,740 | ||
3,930 | Danone S.A. | 289,321 | ||
29,789 | Engie S.A. | 397,614 | ||
1,714 | EssilorLuxottica S.A. | 323,609 | ||
278 | Hermes International | 425,083 | ||
3,162 | Legrand S.A. | 356,038 | ||
1,392 | L’Oreal S.A. | 637,221 | ||
68,650 | Orange S.A. | 765,092 | ||
2,831 | Pernod Ricard S.A. | 624,975 | ||
1,731 | Remy Cointreau S.A. | 380,290 | ||
5,068 | Sanofi | 522,315 | ||
1,850 | SEB S.A. | 307,458 | ||
798 | Teleperformance | 336,621 | ||
7,486,482 | ||||
Germany – 8.7% | ||||
2,755 | Allianz SE | 686,305 | ||
6,686 | Beiersdorf AG | 794,316 |
Shares | Description | Value | ||
Germany (Continued) | ||||
3,112 | Deutsche Boerse AG | $519,594 | ||
35,571 | Deutsche Telekom AG | 738,685 | ||
53,089 | E.ON SE | 653,196 | ||
13,912 | Evonik Industries AG | 483,541 | ||
2,557 | Hannover Rueck SE | 430,417 | ||
7,956 | Henkel AG & Co., KGaA | 723,408 | ||
5,010 | LEG Immobilien SE | 792,514 | ||
1,965 | Merck KGaA | 402,444 | ||
3,159 | Symrise AG | 465,797 | ||
10,493 | Uniper SE | 410,139 | ||
6,922 | Vonovia SE | 461,307 | ||
7,561,663 | ||||
Hong Kong – 8.2% | ||||
152,791 | CLP Holdings, Ltd. | 1,576,837 | ||
25,383 | Hang Seng Bank Ltd. | 487,007 | ||
68,698 | Henderson Land Development Co., Ltd. | 307,195 | ||
738,472 | Hong Kong & China Gas Co., Ltd. | 1,203,047 | ||
266,227 | MTR Corp., Ltd. | 1,577,598 | ||
243,736 | Power Assets Holdings Ltd. | 1,574,483 | ||
25,500 | Sun Hung Kai Properties Ltd. | 365,216 | ||
7,091,383 | ||||
Ireland – 0.3% | ||||
2,048 | Kerry Group PLC, Class A | 303,680 | ||
Israel – 0.7% | ||||
43,129 | Bank Hapoalim BM (b) | 344,231 | ||
9,553 | Mizrahi Tefahot Bank Ltd. (b) | 290,033 | ||
634,264 | ||||
Italy – 2.5% | ||||
21,907 | Assicurazioni Generali S.p.A. | 437,884 | ||
165,849 | Snam S.p.A. | 1,004,152 | ||
95,954 | Terna-Rete Elettrica Nazionale S.p.A. | 763,086 | ||
2,205,122 | ||||
Japan – 18.0% | ||||
11,800 | Astellas Pharma, Inc. | 187,049 | ||
33,300 | Chubu Electric Power Co., Inc. | 399,612 | ||
45,500 | Daiwa Securities Group, Inc. | 238,066 | ||
54,200 | ENEOS Holdings, Inc. | 227,017 | ||
3,200 | FUJIFILM Holdings Corp. | 228,423 | ||
12,900 | Idemitsu Kosan Co., Ltd. | 302,672 | ||
11,800 | ITOCHU Corp. | 347,638 | ||
5,600 | Itochu Techno-Solutions Corp. | 171,259 | ||
36,400 | Japan Post Bank Co., Ltd. | 308,573 | ||
25,900 | Japan Post Holdings Co., Ltd. | 219,349 | ||
41,600 | Japan Tobacco, Inc. | 811,485 | ||
27,400 | Kansai Electric Power (The) Co., Inc. | 258,627 | ||
4,900 | Kao Corp. | 293,629 | ||
11,100 | KDDI Corp. | 337,133 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Japan (Continued) | ||||
9,200 | Kirin Holdings Co., Ltd. | $167,722 | ||
2,900 | Kobayashi Pharmaceutical Co., Ltd. | 230,509 | ||
3,600 | Kyocera Corp. | 221,076 | ||
6,000 | Lawson, Inc. | 300,260 | ||
29,100 | McDonald’s Holdings Co., Japan Ltd. | 1,310,369 | ||
11,400 | Medipal Holdings Corp. | 213,753 | ||
10,900 | MEIJI Holdings Co., Ltd. | 673,643 | ||
10,400 | Mitsubishi Corp. | 290,277 | ||
22,600 | Mizuho Financial Group, Inc. | 322,504 | ||
10,500 | MS&AD Insurance Group Holdings, Inc. | 323,504 | ||
6,300 | NH Foods Ltd. | 253,539 | ||
14,500 | Nippon Telegraph & Telephone Corp. | 370,414 | ||
18,500 | Nisshin Seifun Group, Inc. | 297,808 | ||
6,200 | Nissin Foods Holdings Co., Ltd. | 440,819 | ||
17,800 | Osaka Gas Co., Ltd. | 332,781 | ||
6,800 | Otsuka Holdings Co., Ltd. | 268,888 | ||
5,600 | Secom Co., Ltd. | 421,334 | ||
9,600 | Sekisui House Ltd. | 189,060 | ||
4,600 | Shionogi & Co., Ltd. | 241,185 | ||
37,000 | Shizuoka Bank (The), Ltd. | 266,442 | ||
75,300 | Softbank Corp. | 981,189 | ||
4,300 | Sohgo Security Services Co., Ltd. | 200,292 | ||
5,900 | Sompo Holdings, Inc. | 243,626 | ||
6,500 | Sumitomo Mitsui Financial Group, Inc. | 218,928 | ||
9,000 | Suntory Beverage & Food Ltd. | 314,616 | ||
4,700 | Taisho Pharmaceutical Holdings Co., Ltd. | 262,194 | ||
5,000 | Takeda Pharmaceutical Co., Ltd. | 167,814 | ||
34,600 | Tohoku Electric Power Co., Inc. | 262,090 | ||
12,800 | Tokyo Gas Co., Ltd. | 242,454 | ||
6,000 | Toyo Suisan Kaisha Ltd. | 228,887 | ||
2,600 | Toyota Motor Corp. | 232,378 | ||
1,800 | Tsuruha Holdings, Inc. | 211,823 | ||
4,900 | Unicharm Corp. | 195,723 | ||
9,500 | USS Co., Ltd. | 164,359 | ||
53,500 | Yamada Holdings Co., Ltd. | 251,638 | ||
15,644,430 | ||||
Netherlands – 3.9% | ||||
3,681 | Akzo Nobel N.V. | 454,562 | ||
35,550 | Davide Campari-Milano N.V. | 500,150 | ||
21,571 | Koninklijke Ahold Delhaize N.V. | 670,293 | ||
2,520 | Koninklijke DSM N.V. | 508,040 | ||
12,498 | Koninklijke Vopak N.V. | 529,131 | ||
6,379 | Wolters Kluwer N.V. | 727,046 | ||
3,389,222 | ||||
New Zealand – 0.5% | ||||
143,876 | Spark New Zealand Ltd. | 474,629 |
Shares | Description | Value | ||
Norway – 1.1% | ||||
48,667 | Orkla ASA | $442,340 | ||
27,645 | Telenor ASA | 480,007 | ||
922,347 | ||||
Singapore – 7.1% | ||||
16,400 | DBS Group Holdings Ltd. | 368,076 | ||
636,700 | Genting Singapore Ltd. | 380,624 | ||
104,400 | Oversea-Chinese Banking Corp., Ltd. | 947,725 | ||
108,800 | Singapore Exchange Ltd. | 953,942 | ||
318,500 | Singapore Technologies Engineering Ltd. | 942,607 | ||
323,600 | Singapore Telecommunications Ltd. | 542,140 | ||
58,800 | United Overseas Bank Ltd. | 1,140,458 | ||
91,200 | UOL Group Ltd. | 491,354 | ||
25,900 | Venture Corp. Ltd. | 363,569 | ||
6,130,495 | ||||
Spain – 2.2% | ||||
22,039 | Enagas S.A. | 506,143 | ||
19,226 | Endesa S.A. | 467,769 | ||
36,275 | Iberdrola S.A. | 437,197 | ||
26,256 | Red Electrica Corp. S.A. | 520,920 | ||
1,932,029 | ||||
Sweden – 4.2% | ||||
14,410 | Essity AB, Class B | 471,216 | ||
10,308 | ICA Gruppen AB | 509,508 | ||
5,802 | Industrivarden AB, Class A | 231,584 | ||
7,017 | Industrivarden AB, Class C | 268,750 | ||
18,494 | Investor AB, Class B | 458,246 | ||
6,846 | L E Lundbergforetagen AB, Class B | 488,614 | ||
24,671 | Svenska Handelsbanken AB, Class A | 278,281 | ||
26,429 | Tele2 AB, Class B | 388,219 | ||
132,067 | Telia Co., AB | 579,761 | ||
3,674,179 | ||||
Switzerland – 12.4% | ||||
4,596 | Baloise Holding AG | 726,045 | ||
6,892 | Banque Cantonale Vaudoise | 615,513 | ||
732 | Geberit AG | 601,051 | ||
12,162 | Nestle S.A. | 1,541,312 | ||
13,946 | Novartis AG | 1,291,373 | ||
1,517 | Roche Holding AG | 586,721 | ||
1,167 | Roche Holding AG | 501,146 | ||
1,636 | Schindler Holding AG | 529,531 | ||
824 | Swiss Life Holding AG | 425,713 | ||
8,967 | Swiss Prime Site AG | 955,747 | ||
4,862 | Swiss Re AG | 440,229 | ||
2,565 | Swisscom AG | 1,543,219 | ||
2,487 | Zurich Insurance Group AG | 1,004,299 | ||
10,761,899 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
United Kingdom – 8.0% | ||||
7,178 | Admiral Group PLC | $339,232 | ||
3,084 | AstraZeneca PLC | 354,429 | ||
55,983 | BAE Systems PLC | 448,222 | ||
3,079 | Croda International PLC | 360,360 | ||
6,877 | Diageo PLC | 341,305 | ||
63,161 | Direct Line Insurance Group PLC | 261,362 | ||
34,105 | GlaxoSmithKline PLC | 672,122 | ||
78,746 | National Grid PLC | 1,011,492 | ||
33,601 | Phoenix Group Holdings PLC | 317,316 | ||
3,680 | Reckitt Benckiser Group PLC | 282,513 | ||
10,616 | RELX PLC | 311,947 | ||
44,943 | Rentokil Initial PLC | 354,084 | ||
12,830 | Severn Trent PLC | 499,344 | ||
141,150 | Tesco PLC | 457,143 | ||
10,243 | Unilever PLC | 591,010 | ||
21,109 | United Utilities Group PLC | 314,834 | ||
6,916,715 | ||||
Total Common Stocks | 83,753,589 | |||
(Cost $78,272,526) | ||||
REAL ESTATE INVESTMENT TRUSTS (a) – 3.1% | ||||
Hong Kong – 0.7% | ||||
64,180 | Link REIT | 613,625 | ||
Singapore – 1.8% | ||||
253,500 | Ascendas Real Estate Investment Trust | 583,726 | ||
250,900 | Mapletree Commercial Trust | 399,974 | ||
357,900 | Mapletree Logistics Trust | 557,341 | ||
1,541,041 | ||||
United Kingdom – 0.6% | ||||
29,708 | Segro PLC | 502,756 | ||
Total Real Estate Investment Trusts | 2,657,422 | |||
(Cost $2,445,609) | ||||
Total Investments – 99.4% | 86,411,011 | |||
(Cost $80,718,135) (c) | ||||
Net Other Assets and Liabilities – 0.6% | 550,766 | |||
Net Assets – 100.0% | $86,961,777 |
(a) | Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
(b) | Non-income producing security. |
(c) | Aggregate cost for federal income tax purposes was $81,044,366. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $7,296,046 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,929,401. The net unrealized appreciation was $5,366,645. |
Total Value at 7/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 83,753,589 | $ 83,753,589 | $ — | $ — |
Real Estate Investment Trusts* | 2,657,422 | 2,657,422 | — | — |
Total Investments | $ 86,411,011 | $ 86,411,011 | $— | $— |
* | See Portfolio of Investments for country breakout. |
Currency Exposure Diversification | % of Total Investments |
Euro | 27.9% |
Japanese Yen | 18.1 |
Swiss Franc | 12.5 |
Hong Kong Dollar | 9.4 |
Singapore Dollar | 8.9 |
British Pound Sterling | 8.6 |
Australian Dollar | 5.9 |
Swedish Krona | 4.3 |
Danish Krone | 1.2 |
Norwegian Krone | 1.1 |
United States Dollar | 0.9 |
Israeli Shekel | 0.7 |
New Zealand Dollar | 0.5 |
Total | 100.0% |
Shares | Description | Value | ||
COMMON STOCKS – 81.2% | ||||
Aerospace & Defense – 0.5% | ||||
364 | Curtiss-Wright Corp. | $43,061 | ||
448 | Mercury Systems, Inc. (a) | 29,568 | ||
72,629 | ||||
Auto Components – 1.1% | ||||
3,056 | Gentex Corp. | 103,996 | ||
374 | Lear Corp. | 65,442 | ||
169,438 | ||||
Banks – 2.0% | ||||
1,282 | Commerce Bancshares, Inc. | 90,676 | ||
418 | Cullen/Frost Bankers, Inc. | 44,860 | ||
839 | First Financial Bankshares, Inc. | 40,977 | ||
2,641 | Investors Bancorp, Inc. | 36,499 | ||
886 | Prosperity Bancshares, Inc. | 60,416 | ||
1,628 | Umpqua Holdings Corp. | 30,720 | ||
304,148 | ||||
Biotechnology – 0.3% | ||||
251 | United Therapeutics Corp. (a) | 45,664 | ||
Building Products – 2.0% | ||||
538 | Carlisle Cos., Inc. | 108,805 | ||
306 | Lennox International, Inc. | 100,806 | ||
443 | Owens Corning | 42,599 | ||
590 | UFP Industries, Inc. | 43,813 | ||
296,023 | ||||
Capital Markets – 2.6% | ||||
199 | Affiliated Managers Group, Inc. | 31,530 | ||
311 | Evercore, Inc., Class A | 41,114 | ||
306 | FactSet Research Systems, Inc. | 109,328 | ||
1,586 | Jefferies Financial Group, Inc. | 52,639 | ||
1,663 | SEI Investments Co. | 101,110 | ||
700 | Stifel Financial Corp. | 46,578 | ||
382,299 | ||||
Chemicals – 3.1% | ||||
1,107 | Ashland Global Holdings, Inc. | 94,172 | ||
972 | Cabot Corp. | 53,518 | ||
1,232 | HB Fuller Co. | 79,612 | ||
1,147 | RPM International, Inc. | 99,319 | ||
206 | Scotts Miracle-Gro (The) Co. | 36,454 | ||
3,117 | Valvoline, Inc. | 95,630 | ||
458,705 | ||||
Commercial Services & Supplies – 2.1% | ||||
790 | ABM Industries, Inc. | 36,727 | ||
687 | Clean Harbors, Inc. (a) | 65,265 | ||
1,226 | IAA, Inc. (a) | 74,149 | ||
1,422 | Stericycle, Inc. (a) | 100,322 | ||
244 | Tetra Tech, Inc. | 32,579 | ||
309,042 |
Shares | Description | Value | ||
Communications Equipment – 0.9% | ||||
696 | Ciena Corp. (a) | $40,465 | ||
5,794 | Viavi Solutions, Inc. (a) | 96,702 | ||
137,167 | ||||
Construction & Engineering – 1.1% | ||||
1,135 | AECOM (a) | 71,460 | ||
371 | EMCOR Group, Inc. | 45,191 | ||
199 | Valmont Industries, Inc. | 47,153 | ||
163,804 | ||||
Construction Materials – 0.4% | ||||
381 | Eagle Materials, Inc. | 53,843 | ||
Consumer Finance – 0.2% | ||||
1,707 | SLM Corp. | 32,143 | ||
Containers & Packaging – 1.3% | ||||
722 | AptarGroup, Inc. | 93,080 | ||
1,534 | Sonoco Products Co. | 97,854 | ||
190,934 | ||||
Diversified Consumer Services – 1.8% | ||||
801 | Grand Canyon Education, Inc. (a) | 73,988 | ||
2,803 | H&R Block, Inc. | 68,814 | ||
1,928 | Service Corp. International | 120,481 | ||
263,283 | ||||
Diversified Telecommunication Services – 0.4% | ||||
762 | Cogent Communications Holdings, Inc. | 59,139 | ||
Electric Utilities – 2.1% | ||||
2,412 | Hawaiian Electric Industries, Inc. | 104,536 | ||
1,038 | IDACORP, Inc. | 109,457 | ||
2,994 | OGE Energy Corp. | 101,048 | ||
315,041 | ||||
Electrical Equipment – 1.8% | ||||
328 | EnerSys | 32,360 | ||
549 | Hubbell, Inc. | 110,053 | ||
1,591 | nVent Electric PLC | 50,292 | ||
466 | Regal Beloit Corp. | 68,609 | ||
261,314 | ||||
Electronic Equipment, Instruments & Components – 3.8% | ||||
894 | Arrow Electronics, Inc. (a) | 106,002 | ||
1,712 | Avnet, Inc. | 70,740 | ||
867 | Cognex Corp. | 78,385 | ||
672 | Insight Enterprises, Inc. (a) | 67,455 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Electronic Equipment, Instruments & Components (Continued) | ||||
869 | Jabil, Inc. | $51,740 | ||
2,318 | National Instruments Corp. | 102,247 | ||
389 | SYNNEX Corp. | 46,501 | ||
1,912 | Vishay Intertechnology, Inc. | 42,313 | ||
565,383 | ||||
Entertainment – 0.2% | ||||
560 | World Wrestling Entertainment, Inc., Class A | 27,653 | ||
Food & Staples Retailing – 1.3% | ||||
631 | BJ’s Wholesale Club Holdings, Inc. (a) | 31,954 | ||
518 | Casey’s General Stores, Inc. | 102,414 | ||
857 | Grocery Outlet Holding Corp. (a) | 28,384 | ||
1,269 | Sprouts Farmers Market, Inc. (a) | 31,192 | ||
193,944 | ||||
Food Products – 2.9% | ||||
4,228 | Flowers Foods, Inc. | 99,612 | ||
2,528 | Hain Celestial Group (The), Inc. (a) | 100,892 | ||
1,117 | Ingredion, Inc. | 98,084 | ||
938 | Post Holdings, Inc. (a) | 95,995 | ||
859 | TreeHouse Foods, Inc. (a) | 38,139 | ||
432,722 | ||||
Gas Utilities – 2.3% | ||||
1,373 | ONE Gas, Inc. | 101,300 | ||
1,103 | South Jersey Industries, Inc. | 27,763 | ||
1,667 | Southwest Gas Holdings, Inc. | 116,573 | ||
2,161 | UGI Corp. | 99,384 | ||
345,020 | ||||
Health Care Equipment & Supplies – 5.5% | ||||
1,011 | Avanos Medical, Inc. (a) | 38,357 | ||
514 | CONMED Corp. | 70,901 | ||
1,598 | Envista Holdings Corp. (a) | 68,842 | ||
1,279 | Globus Medical, Inc., Class A (a) | 106,375 | ||
456 | Haemonetics Corp. (a) | 27,720 | ||
907 | Hill-Rom Holdings, Inc. | 125,583 | ||
490 | ICU Medical, Inc. (a) | 99,612 | ||
1,476 | Integra LifeSciences Holdings Corp. (a) | 106,848 | ||
331 | Masimo Corp. (a) | 90,161 | ||
1,273 | NuVasive, Inc. (a) | 81,408 | ||
815,807 | ||||
Health Care Providers & Services – 3.1% | ||||
221 | Amedisys, Inc. (a) | 57,597 |
Shares | Description | Value | ||
Health Care Providers & Services (Continued) | ||||
517 | AMN Healthcare Services, Inc. (a) | $51,990 | ||
210 | Chemed Corp. | 99,964 | ||
1,264 | Encompass Health Corp. | 105,228 | ||
289 | LHC Group, Inc. (a) | 62,187 | ||
205 | Molina Healthcare, Inc. (a) | 55,967 | ||
1,315 | R1 RCM, Inc. (a) | 28,154 | ||
461,087 | ||||
Health Care Technology – 0.3% | ||||
2,367 | Allscripts Healthcare Solutions, Inc. (a) | 40,428 | ||
Hotels, Restaurants & Leisure – 3.5% | ||||
837 | Choice Hotels International, Inc. | 100,356 | ||
478 | Cracker Barrel Old Country Store, Inc. | 65,094 | ||
694 | Jack in the Box, Inc. | 75,549 | ||
575 | Papa John’s International, Inc. | 65,619 | ||
773 | Texas Roadhouse, Inc. | 71,247 | ||
1,802 | Wendy’s (The) Co. | 41,825 | ||
1,405 | Wyndham Hotels & Resorts, Inc. | 101,244 | ||
520,934 | ||||
Household Durables – 0.5% | ||||
341 | Helen of Troy, Ltd. (a) | 76,176 | ||
Household Products – 0.5% | ||||
1,550 | Energizer Holdings, Inc. | 66,418 | ||
Insurance – 4.6% | ||||
151 | Alleghany Corp. (a) | 100,128 | ||
294 | American Financial Group, Inc. | 37,188 | ||
1,902 | Brown & Brown, Inc. | 103,469 | ||
1,687 | CNO Financial Group, Inc. | 38,531 | ||
1,590 | First American Financial Corp. | 107,023 | ||
746 | Hanover Insurance Group (The), Inc. | 101,381 | ||
4,032 | Old Republic International Corp. | 99,429 | ||
684 | RenaissanceRe Holdings Ltd. | 104,440 | ||
691,589 | ||||
IT Services – 1.4% | ||||
1,104 | Maximus, Inc. | 98,256 | ||
1,171 | Perficient, Inc. (a) | 110,414 | ||
208,670 | ||||
Leisure Products – 0.7% | ||||
4,928 | Mattel, Inc. (a) | 107,036 | ||
Life Sciences Tools & Services – 1.4% | ||||
76 | Bio-Techne Corp. | 36,650 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Life Sciences Tools & Services (Continued) | ||||
216 | Charles River Laboratories International, Inc. (a) | $87,895 | ||
173 | Medpace Holdings Inc. (a) | 30,437 | ||
601 | Syneos Health, Inc. (a) | 53,892 | ||
208,874 | ||||
Machinery – 6.5% | ||||
230 | AGCO Corp. | 30,385 | ||
575 | Crane Co. | 55,907 | ||
1,626 | Donaldson Co., Inc. | 107,625 | ||
1,362 | Graco, Inc. | 106,345 | ||
937 | ITT, Inc. | 91,742 | ||
766 | Lincoln Electric Holdings, Inc. | 106,803 | ||
172 | Middleby (The) Corp. (a) | 32,936 | ||
461 | Nordson Corp. | 104,246 | ||
296 | Oshkosh Corp. | 35,387 | ||
413 | Timken (The) Co. | 32,833 | ||
935 | Toro (The) Co. | 106,347 | ||
709 | Watts Water Technologies, Inc., Class A | 106,889 | ||
367 | Woodward, Inc. | 44,613 | ||
962,058 | ||||
Media – 0.9% | ||||
718 | John Wiley & Sons, Inc., Class A | 42,204 | ||
1,218 | New York Times (The) Co., Class A | 53,324 | ||
2,210 | TEGNA, Inc. | 39,161 | ||
134,689 | ||||
Metals & Mining – 1.1% | ||||
438 | Reliance Steel & Aluminum Co. | 68,832 | ||
824 | Royal Gold, Inc. | 100,132 | ||
168,964 | ||||
Multi-Utilities – 2.1% | ||||
1,502 | Black Hills Corp. | 101,610 | ||
3,224 | MDU Resources Group, Inc. | 102,265 | ||
1,664 | NorthWestern Corp. | 103,152 | ||
307,027 | ||||
Personal Products – 0.2% | ||||
875 | Edgewell Personal Care Co. | 35,945 | ||
Pharmaceuticals – 0.4% | ||||
377 | Jazz Pharmaceuticals PLC (a) | 63,909 | ||
Professional Services – 3.0% | ||||
355 | ASGN, Inc. (a) | 35,901 | ||
394 | CACI International, Inc., Class A (a) | 105,182 | ||
744 | FTI Consulting, Inc. (a) | 108,401 | ||
402 | Insperity, Inc. | 39,818 | ||
1,265 | KBR, Inc. | 48,956 |
Shares | Description | Value | ||
Professional Services (Continued) | ||||
497 | ManpowerGroup, Inc. | $58,934 | ||
628 | Science Applications International Corp. | 54,825 | ||
452,017 | ||||
Real Estate Management & Development – 0.2% | ||||
162 | Jones Lang LaSalle, Inc. (a) | 36,056 | ||
Road & Rail – 2.3% | ||||
2,203 | Knight-Swift Transportation Holdings, Inc. | 109,467 | ||
638 | Landstar System, Inc. | 100,166 | ||
400 | Ryder System, Inc. | 30,460 | ||
2,276 | Werner Enterprises, Inc. | 104,036 | ||
344,129 | ||||
Semiconductors & Semiconductor Equipment – 0.4% | ||||
371 | Cirrus Logic, Inc. (a) | 30,641 | ||
134 | Universal Display Corp. | 31,422 | ||
62,063 | ||||
Software – 3.0% | ||||
1,788 | ACI Worldwide, Inc. (a) | 61,328 | ||
548 | Blackbaud, Inc. (a) | 39,089 | ||
2,020 | CDK Global, Inc. | 96,940 | ||
669 | CommVault Systems, Inc. (a) | 50,570 | ||
100 | Fair Isaac Corp. (a) | 52,391 | ||
454 | J2 Global, Inc. (a) | 64,137 | ||
1,777 | Progress Software Corp. | 81,013 | ||
445,468 | ||||
Specialty Retail – 1.7% | ||||
653 | AutoNation, Inc. (a) | 79,228 | ||
333 | Five Below, Inc. (a) | 64,742 | ||
768 | Murphy USA, Inc. | 113,288 | ||
257,258 | ||||
Textiles, Apparel & Luxury Goods – 0.9% | ||||
662 | Carter’s, Inc. | 64,704 | ||
178 | Deckers Outdoor Corp. (a) | 73,131 | ||
137,835 | ||||
Thrifts & Mortgage Finance – 0.6% | ||||
737 | Essent Group Ltd. | 33,291 | ||
4,449 | New York Community Bancorp, Inc. | 52,409 | ||
85,700 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Trading Companies & Distributors – 1.3% | ||||
1,170 | MSC Industrial Direct Co., Inc., Class A | $104,329 | ||
299 | Watsco, Inc. | 84,450 | ||
188,779 | ||||
Water Utilities – 0.7% | ||||
2,195 | Essential Utilities, Inc. | 107,818 | ||
Wireless Telecommunication Services – 0.2% | ||||
1,603 | Telephone & Data Systems, Inc. | 35,827 | ||
Total Common Stocks | 12,101,899 | |||
(Cost $11,374,088) | ||||
REAL ESTATE INVESTMENT TRUSTS – 17.7% | ||||
Equity Real Estate Investment Trusts – 17.7% | ||||
1,439 | Agree Realty Corp. | 108,141 | ||
2,115 | American Campus Communities, Inc. | 106,406 | ||
3,762 | Brandywine Realty Trust | 52,518 | ||
752 | Camden Property Trust | 112,341 | ||
772 | CoreSite Realty Corp. | 106,698 | ||
3,596 | Corporate Office Properties Trust | 105,866 | ||
1,712 | Cousins Properties, Inc. | 68,001 | ||
1,101 | CyrusOne, Inc. | 78,468 | ||
1,674 | Douglas Emmett, Inc. | 55,912 | ||
611 | EastGroup Properties, Inc. | 107,670 | ||
1,928 | First Industrial Realty Trust, Inc. | 105,616 | ||
3,308 | Healthcare Realty Trust, Inc. | 105,459 | ||
1,783 | Highwoods Properties, Inc. | 85,031 | ||
1,928 | Hudson Pacific Properties, Inc. | 52,557 | ||
1,172 | Kilroy Realty Corp. | 81,184 | ||
583 | Lamar Advertising Co., Class A | 62,148 | ||
8,279 | Lexington Realty Trust | 108,869 | ||
940 | Life Storage, Inc. | 110,318 | ||
4,930 | Medical Properties Trust, Inc. | 103,678 | ||
1,719 | National Retail Properties, Inc. | 84,008 | ||
1,991 | National Storage Affiliates Trust | 107,852 | ||
2,628 | Omega Healthcare Investors, Inc. | 95,344 | ||
5,346 | Physicians Realty Trust | 101,307 | ||
964 | PotlatchDeltic Corp. | 50,070 | ||
2,886 | Rayonier, Inc. | 108,831 | ||
1,736 | Rexford Industrial Realty, Inc. | 106,799 | ||
3,348 | Sabra Health Care REIT, Inc. | 62,239 | ||
2,062 | Spirit Realty Capital, Inc. | 103,554 |
Shares | Description | Value | ||
Equity Real Estate Investment Trusts (Continued) | ||||
2,765 | STORE Capital Corp. | $100,065 | ||
Total Real Estate Investment Trusts | 2,636,950 | |||
(Cost $2,419,752) | ||||
Total Investments – 98.9% | 14,738,849 | |||
(Cost $13,793,840) (b) | ||||
Net Other Assets and Liabilities – 1.1% | 167,342 | |||
Net Assets – 100.0% | $14,906,191 |
(a) | Non-income producing security. |
(b) | Aggregate cost for federal income tax purposes was $13,848,601. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,075,899 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $185,651. The net unrealized appreciation was $890,248. |
Total Value at 7/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 12,101,899 | $ 12,101,899 | $ — | $ — |
Real Estate Investment Trusts* | 2,636,950 | 2,636,950 | — | — |
Total Investments | $ 14,738,849 | $ 14,738,849 | $— | $— |
* | 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 | $ 120,425,485 | $ 86,411,011 | $ 14,738,849 | ||
Cash | 229,722 | 302,276 | 172,221 | ||
Receivables: | |||||
Dividends | 170,748 | 95,935 | 4,956 | ||
Dividend reclaims | 2,260 | 271,732 | 116 | ||
Investment securities sold | — | 15,054 | — | ||
Miscellaneous | — | 7,738 | — | ||
Total Assets | 120,828,215 | 87,103,746 | 14,916,142 | ||
LIABILITIES: | |||||
Due to custodian foreign currency | — | 7,223 | — | ||
Due to authorized participant | — | 61,250 | — | ||
Payables: | |||||
Investment advisory fees | 70,474 | 58,441 | 9,951 | ||
Capital shares redeemed | — | 15,055 | — | ||
Total Liabilities | 70,474 | 141,969 | 9,951 | ||
NET ASSETS | $120,757,741 | $86,961,777 | $14,906,191 | ||
NET ASSETS consist of: | |||||
Paid-in capital | $ 154,584,032 | $ 109,212,817 | $ 14,257,151 | ||
Par value | 36,500 | 27,000 | 4,500 | ||
Accumulated distributable earnings (loss) | (33,862,791) | (22,278,040) | 644,540 | ||
NET ASSETS | $120,757,741 | $86,961,777 | $14,906,191 | ||
NET ASSET VALUE, per share | $33.08 | $32.21 | $33.12 | ||
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 3,650,002 | 2,700,002 | 450,002 | ||
Investments, at cost | $106,072,740 | $80,718,135 | $13,793,840 | ||
Foreign currency, at cost (proceeds) | $— | $(7,237) | $— |
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 | $ 3,416,401 | $ 3,661,990 | $ 278,014 | |||
Interest | 29 | 16 | — | |||
Foreign withholding tax | — | (272,020) | — | |||
Other | 16 | 16 | 52 | |||
Total investment income | 3,416,446 | 3,390,002 | 278,066 | |||
EXPENSES: | ||||||
Investment advisory fees | 1,125,676 | 779,693 | 122,260 | |||
Total expenses | 1,125,676 | 779,693 | 122,260 | |||
NET INVESTMENT INCOME (LOSS) | 2,290,770 | 2,610,309 | 155,806 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||||
Net realized gain (loss) on: | ||||||
Investments | 6,890,317 | 7,170,352 | (417,781) | |||
In-kind redemptions | 25,313,870 | 3,279,608 | 4,634,658 | |||
Foreign currency transactions | — | (34,175) | — | |||
Net realized gain (loss) | 32,204,187 | 10,415,785 | 4,216,877 | |||
Net increase from payment by the advisor | — | 6,254 | — | |||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investments | (4,733,783) | 3,600,634 | (131,960) | |||
Foreign currency translation | — | 9,911 | — | |||
Net change in unrealized appreciation (depreciation) | (4,733,783) | 3,610,545 | (131,960) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 27,470,404 | 14,032,584 | 4,084,917 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 29,761,174 | $ 16,642,893 | $ 4,240,723 |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | First Trust Horizon Managed Volatility Developed International ETF (HDMV) | ||||||
Year Ended 7/31/2021 | Year Ended 7/31/2020 | Year Ended 7/31/2021 | Year Ended 7/31/2020 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 2,290,770 | $ 3,252,411 | $ 2,610,309 | $ 2,996,449 | |||
Net realized gain (loss) | 32,204,187 | (4,596,249) | 10,415,785 | (24,727,414) | |||
Net increase from payment by the advisor | — | — | 6,254 | — | |||
Net change in unrealized appreciation (depreciation) | (4,733,783) | 1,915,698 | 3,610,545 | 956,053 | |||
Net increase (decrease) in net assets resulting from operations | 29,761,174 | 571,860 | 16,642,893 | (20,774,912) | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (2,308,451) | (3,582,296) | (2,737,667) | (3,755,422) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 127,467,991 | 355,667,495 | — | 87,535,588 | |||
Cost of shares redeemed | (248,985,087) | (362,223,485) | (50,656,967) | (67,686,203) | |||
Net increase (decrease) in net assets resulting from shareholder transactions | (121,517,096) | (6,555,990) | (50,656,967) | 19,849,385 | |||
Total increase (decrease) in net assets | (94,064,373) | (9,566,426) | (36,751,741) | (4,680,949) | |||
NET ASSETS: | |||||||
Beginning of period | 214,822,114 | 224,388,540 | 123,713,518 | 128,394,467 | |||
End of period | $120,757,741 | $214,822,114 | $86,961,777 | $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 | 4,600,000 | 13,500,000 | — | 2,750,000 | |||
Shares redeemed | (8,850,000) | (14,000,000) | (1,700,000) | (2,250,000) | |||
Shares outstanding, end of period | 3,650,002 | 7,900,002 | 2,700,002 | 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) | ||
Year Ended 7/31/2021 | Period Ended 7/31/2020 (a) | |
$ 155,806 | $ 14,506 | |
4,216,877 | 213,038 | |
— | — | |
(131,960) | 1,076,969 | |
4,240,723 | 1,304,513 | |
(160,236) | (6,225) | |
23,515,729 | 19,986,223 | |
(32,712,721) | (1,261,815) | |
(9,196,992) | 18,724,408 | |
(5,116,505) | 20,022,696 | |
20,022,696 | — | |
$14,906,191 | $ 20,022,696 | |
800,002 | — | |
800,000 | 850,002 | |
(1,150,000) | (50,000) | |
450,002 | 800,002 |
Year Ended July 31, | Period Ended 7/31/2017 (a) | ||||||||
2021 | 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) | 0.46 | 0.37 | 0.37 | 0.30 | 0.24 | ||||
Net realized and unrealized gain (loss) | 5.87 | 0.52 | 3.17 | 1.46 | 2.05 | ||||
Total from investment operations | 6.33 | 0.89 | 3.54 | 1.76 | 2.29 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.44) | (0.41) | (0.32) | (0.30) | (0.22) | ||||
Net asset value, end of period | $33.08 | $27.19 | $26.71 | $23.49 | $22.03 | ||||
Total return (b) | 23.48% | 3.41% | 15.24% | 8.04% | 11.51% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 120,758 | $ 214,822 | $ 224,389 | $ 133,888 | $ 62,799 | ||||
Ratio of total expenses to average net assets | 0.70% | 0.70% | 0.70% | 0.70% | 0.70% (c) | ||||
Ratio of net investment income (loss) to average net assets | 1.42% | 1.39% | 1.58% | 1.37% | 1.50% (c) | ||||
Portfolio turnover rate (d) | 152% | 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. |
Year Ended July 31, | Period Ended 7/31/2017 (a) | ||||||||
2021 | 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) | 0.89 | 0.65 | 0.86 | 0.91 | 0.63 | ||||
Net realized and unrealized gain (loss) | 4.13 | (4.61) | (0.79) | 0.87 | 3.13 | ||||
Total from investment operations | 5.02 | (3.96) | 0.07 | 1.78 | 3.76 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.93) | (0.84) | (0.87) | (1.11) | (0.60) | ||||
Net asset value, end of period | $32.21 | $28.12 | $32.92 | $33.72 | $33.05 | ||||
Total return (b) | 18.01% (c) | (12.37)% | 0.21% | 5.48% | 12.68% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 86,962 | $ 123,714 | $ 128,394 | $ 59,010 | $ 29,745 | ||||
Ratio of total expenses to average net assets | 0.80% | 0.80% | 0.80% | 0.80% | 0.80% (d) | ||||
Ratio of net investment income (loss) to average net assets | 2.68% | 2.08% | 2.74% | 2.73% | 2.74% (d) | ||||
Portfolio turnover rate (e) | 127% | 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. |
Year Ended 7/31/2021 | Period Ended 7/31/2020 (a) | ||
Net asset value, beginning of period | $ 25.03 | $ 21.10 | |
Income from investment operations: | |||
Net investment income (loss) | 0.29 | 0.02 | |
Net realized and unrealized gain (loss) | 8.09 | 3.92 | |
Total from investment operations | 8.38 | 3.94 | |
Distributions paid to shareholders from: | |||
Net investment income | (0.29) | (0.01) | |
Net realized gain | (0.00) (b) | — | |
Total distributions | (0.29) | (0.01) | |
Net asset value, end of period | $33.12 | $25.03 | |
Total return (c) | 33.72% | 18.67% | |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $ 14,906 | $ 20,023 | |
Ratio of total expenses to average net assets | 0.80% | 0.80% (d) | |
Ratio of net investment income (loss) to average net assets | 1.02% | 0.60% (d) | |
Portfolio turnover rate (e) | 118% | 5% |
(a) | Inception date is April 6, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Amount represents less than $0.01 per share. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
1) | the value of similar foreign securities traded on other foreign markets; |
2) | ADR trading of similar securities; |
3) | closed-end fund or exchange-traded fund trading of similar securities; |
4) | foreign currency exchange activity; |
5) | the trading prices of financial products that are tied to baskets of foreign securities; |
6) | factors relating to the event that precipitated the pricing problem; |
7) | whether the event is likely to recur; and |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |||
First Trust Horizon Managed Volatility Domestic ETF | $ 2,308,451 | $ — | $ — | ||
First Trust Horizon Managed Volatility Developed International ETF | 2,737,667 | — | — | ||
First Trust Horizon Managed Volatility Small/Mid ETF | 160,081 | 155 | — |
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 | $ 163,103 | $ (48,327,956) | $ 14,302,062 | ||
First Trust Horizon Managed Volatility Developed International ETF | 512,282 | (28,169,828) | 5,379,506 | ||
First Trust Horizon Managed Volatility Small/Mid ETF | 4,006 | (249,714) | 890,248 |
Non-Expiring Capital Loss Carryforward | |
First Trust Horizon Managed Volatility Domestic ETF | $ 48,327,956 |
First Trust Horizon Managed Volatility Developed International ETF | 28,169,828 |
First Trust Horizon Managed Volatility Small/Mid ETF | 249,714 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | |||
First Trust Horizon Managed Volatility Domestic ETF | $ — | $ (24,679,396) | $ 24,679,396 | ||
First Trust Horizon Managed Volatility Developed International ETF | 397,466 | (3,612,266) | 3,214,800 | ||
First Trust Horizon Managed Volatility Small/Mid ETF | — | (4,512,540) | 4,512,540 |
Purchases | Sales | ||
First Trust Horizon Managed Volatility Domestic ETF | $ 241,868,684 | $ 241,423,738 | |
First Trust Horizon Managed Volatility Developed International ETF | 121,991,728 | 123,393,902 | |
First Trust Horizon Managed Volatility Small/Mid ETF | 17,848,864 | 17,536,991 | |
Purchases | Sales | ||
First Trust Horizon Managed Volatility Domestic ETF | $ 126,887,436 | $ 248,711,414 | |
First Trust Horizon Managed Volatility Developed International ETF | — | 49,642,308 | |
First Trust Horizon Managed Volatility Small/Mid ETF | 23,304,000 | 32,554,938 |
Individual Funds Included in the Trust | Statements of Operations | Statements of Changes in Net Assets | Financial Highlights |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) First Trust Horizon Managed Volatility Developed International ETF (HDMV) | For the year ended July 31, 2021 | For the years ended July 31, 2021 and 2020 | For the years ended July 31, 2021, 2020, 2019, 2018, and for the period from August 24, 2016 (commencement of operations) through July 31, 2017. |
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | For the year ended July 31, 2021 | For the year ended July 31, 2021 and the period from April 6, 2020 (commencement of operations) through July 31, 2020 | For the year ended July 31, 2021 and for the period from April 6, 2020 (commencement of operations) through July 31, 2020 |
Dividends Received Deduction | |
First Trust Horizon Managed Volatility Domestic ETF | 100.00% |
First Trust Horizon Managed Volatility Developed International ETF | 0.00% |
First Trust Horizon Managed Volatility Small/Mid ETF | 100.00% |
Qualified Dividend Income | |
First Trust Horizon Managed Volatility Domestic ETF | 100.00% |
First Trust Horizon Managed Volatility Developed International ETF | 75.53% |
First Trust Horizon Managed Volatility Small/Mid ETF | 100.00% |
Gross Foreign Income | Foreign Taxes Paid | ||||||
Amount | Per Share | Amount | Per Share | ||||
First Trust Horizon Managed Volatility Developed International ETF | $ 267,369 | $ 0.10 | $ 3,661,990 | $ 1.36 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FIRST TRUST HORIZON MANAGED VOLATILITY DEVELOPED INTERNATIONAL ETF
FIRST TRUST HORIZON MANAGED VOLATILITY SMALL/MID ETF
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016) | 211 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 211 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 211 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 211 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 211 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
First Trust New York Municipal High Income ETF (FMNY)
For the Year Ended
July 31, 2021
2 | |
Fund Performance Overview | |
3 | |
6 | |
9 | |
10 | |
14 | |
Portfolio of Investments | |
15 | |
23 | |
26 | |
27 | |
28 | |
29 | |
31 | |
39 | |
40 | |
47 | |
49 |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 7/31/21 | Inception (6/20/17) to 7/31/21 | Inception (6/20/17) to 7/31/21 | |
Fund Performance | |||
NAV | 6.37% | 5.14% | 22.91% |
Market Price | 6.45% | 5.16% | 22.97% |
Index Performance | |||
Bloomberg Barclays 10 Year California Exempt Index | 1.76% | 3.83% | 16.72% |
Sector Allocation | % of Total Investments (including cash) |
Special Assessment | 15.0% |
Insured | 14.9 |
Education | 10.3 |
Government Obligation Bond - Unlimited Tax | 7.8 |
Tobacco | 6.5 |
Hospital | 6.2 |
Certificates of Participation | 5.1 |
Industrial Development Bond | 5.0 |
Continuing Care Retirement Communities | 5.0 |
Dedicated Tax | 4.7 |
Student Housing | 3.0 |
Water & Sewer | 2.9 |
Higher Education | 2.8 |
Local Housing | 2.7 |
Tax Increment | 2.2 |
Airport | 1.8 |
Gas | 0.8 |
Other Health | 0.6 |
Government Obligation Bond - Limited Tax | 0.5 |
Housing | 0.5 |
Pre-refunded/Escrowed-to-maturity | 0.2 |
Toll Road | 0.2 |
Cash | 1.3 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 98.5% |
Net Other Assets and Liabilities(1) | 1.5 |
Total | 100.0% |
Credit Rating(2) | % of Total Investments (including cash) |
AAA | 0.1% |
AA | 32.0 |
A | 17.5 |
BBB | 15.4 |
BB | 7.3 |
B | 1.2 |
Not Rated | 25.2 |
Cash | 1.3 |
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.
Performance | ||
Cumulative Total Returns | ||
Inception (5/12/21) to 7/31/21 | ||
Fund Performance | ||
NAV | 1.90% | |
Market Value | 1.90% | |
Index Performance | ||
Bloomberg Barclays Municipal New York 12-17 Years Index | 1.72% |
Sector Allocation | % of Total Investments (including cash) |
Government Obligation Bond - Unlimited Tax | 14.4% |
Higher Education | 13.6 |
Insured | 12.0 |
Dedicated Tax | 9.7 |
Toll Road | 8.1 |
Education | 8.0 |
Mass Transit | 7.6 |
Housing | 3.5 |
Utility | 3.4 |
Water & Sewer | 2.7 |
Tobacco | 2.4 |
Hospital | 2.3 |
Government Obligation Bond - Limited Tax | 1.9 |
Continuing Care Retirement Communities | 1.7 |
Special Assessment | 1.3 |
Airport | 1.0 |
Cash | 6.4 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 95.9% |
Net Other Assets and Liabilities(1) | 4.1 |
Total | 100.0% |
Credit Quality(2) | % of Total Investments (including cash) |
AAA | 3.6% |
AA | 51.1 |
A | 19.0 |
BBB | 4.0 |
BB | 2.0 |
Not Rated | 13.9 |
Cash | 6.4 |
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.
• | Robust mutual fund and exchange-traded fund inflows helped support municipal bond prices. According to Refinitiv Lipper and J.P. Morgan data, year-to-date fund flows through July 28, 2021 totaled approximately $69.5 billion. Over the same period, high yield municipal fund flows totaled approximately $16.4 billion. Fund inflows have also been consistent, with municipal bond funds having experienced inflows in 62 of the past 63 weeks. |
• | New issue municipal bond supply has been nearly flat year to date. During the first seven months of 2021, new issue supply increased approximately 1.5% to $262.1 billion compared with $258.1 billion a year ago. Of note, when looking at municipal taxable new issue supply as a percentage of total new issue supply, over 23% of municipal bond supply has been brought to market as a taxable municipal bond from January 2020 through June 2021 compared to the previous five years when taxable municipals comprised less than 10% of total new issue municipal supply. |
• | According to data from Municipal Market Analytics, Inc., the par value of defaults are lower year-to-date compared to the previous two years. The number of municipal bond defaults year-to-date through July 2021 total 36, compared to 50 defaults for the same year-to-date period in 2020 and 35 defaults for the same year-to-date period in 2019. Defaulting municipal securities have been especially centered in the senior living sector which has been particularly hard hit by the coronavirus (“COVID-19”) with many facilities experiencing lower occupancy and debt service coverage. |
• | The CARES Act and American Rescue Plan Act legislation helped stabilize many municipal bond issuing borrowers, with tens of billions of dollars made available to states, cities, K-12 education, hospitals, mass transportation, and universities, among the many benefitted sectors. |
• | As a result of these factors, municipal bond credit spreads have tightened dramatically from April of 2021 for all credit rating categories. In particular, credit spreads tightened substantially for BBB and high yield municipal securities whereby in many cases spreads are now tighter than pre-COVID-19 levels. |
• | Robust mutual fund and exchange-traded fund inflows helped support municipal bond prices. According to Refinitiv Lipper and J.P. Morgan data, year-to-date fund flows through July 28, 2021 totaled approximately $69.5 billion. Over this same time-period, high yield municipal fund flows totaled approximately $16.4 billion. Fund inflows have also been consistent, with municipal bond funds having experienced inflows in 62 of the past 63 weeks. |
• | New issue municipal bond supply has been nearly flat year to date. During the first seven months of 2021, new issue supply increased approximately 1.5% to $262.1 billion compared with $258.1 billion a year ago. Of note, when looking at municipal taxable new issue supply as a percentage of total new issue supply, over 23% of municipal bond supply has been brought to market as a taxable municipal bond from January 2020 through June 2021 compared to the previous five years when taxable municipals comprised less than 10% of total new issue municipal supply. |
• | According to data from Municipal Market Analytics, Inc., the par value of defaults are lower year-to-date compared to the previous two years. The number of municipal bond defaults year-to-date through July 2021 total 36, compared to 50 defaults for the same year-to-date period in 2020 and 35 defaults for the same year-to-date period in 2019. Defaulting municipal securities have been especially centered in the senior living sector which has been particularly hard hit by COVID-19 with many facilities experiencing lower occupancy and debt service coverage. |
• | The CARES Act and American Rescue Plan Act legislation helped stabilize many municipal bond issuing borrowers, with tens of billions of dollars made available to states, cities, K-12 education, hospitals, mass transportation, and universities, among the many benefitted sectors. |
• | As a result of these factors, municipal bond credit spreads have tightened dramatically from April of 2021 for all credit rating categories. In particular, credit spreads tightened substantially for BBB and high yield municipal securities whereby in many cases spreads are now tighter than pre-COVID-19 levels. |
Beginning Account Value February 1, 2021 | Ending Account Value July 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 | $1,025.80 | 0.50% | $2.51 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.32 | 0.50% | $2.51 |
Beginning Account Value May 12, 2021 (c) | Ending Account Value July 31, 2021 | Annualized Expense Ratio Based on the Number of Days In the Period (a) | Expenses Paid During the Period May 12, 2021 (c) to July 31, 2021 (d) | |
First Trust New York Municipal High Income ETF (FMNY) | ||||
Actual | $1,000.00 | $1,019.00 | 0.50% | $1.11 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.32 | 0.50% | $2.51 |
(a) | These expense ratios reflect expense waivers. See Note 3 in the Notes to Financial Statements. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (February 1, 2021 through July 31, 2021), multiplied by 181/365 (to reflect the six-month period). |
(c) | Inception date. |
(d) | Actual expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 12, 2021 through July 31, 2021), multiplied by 80/365. Hypothetical expenses are assumed for the most recent six-month period. |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 98.5% | ||||||||
American Samoa – 0.6% | ||||||||
$500,000 | American Samoa AS Econ Dev Auth Gen Rev, Ser A (a) | 5.00% | 09/01/38 | $629,372 | ||||
California – 90.2% | ||||||||
350,000 | Alameda CA Corridor Transprtn Auth Ref 2nd Subord Lien, Ser B, AGM | 4.00% | 10/01/37 | 398,659 | ||||
150,000 | Alameda CA Corridor Transprtn Auth Ref Subord Lien, Ser A | 5.00% | 10/01/25 | 178,054 | ||||
215,000 | Antelope Vly E Kern CA Wtr Agy Wtr Rev Ref | 5.00% | 06/01/35 | 258,142 | ||||
525,000 | Azusa CA Spl Tax Cmnty Facs Dist No 2005-1 Impt | 4.00% | 09/01/34 | 605,586 | ||||
100,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F | 4.00% | 09/01/33 | 114,218 | ||||
175,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F | 4.00% | 09/01/34 | 199,320 | ||||
330,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F | 4.00% | 09/01/36 | 375,071 | ||||
620,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area 8F | 4.00% | 09/01/40 | 700,940 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Ref, Sonoma Cnty Securitization Corp, Ser A | 4.00% | 06/01/35 | 247,639 | ||||
665,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 5.00% | 06/01/32 | 886,170 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 5.00% | 06/01/33 | 265,358 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 4.00% | 06/01/35 | 247,025 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 4.00% | 06/01/39 | 244,003 | ||||
437,536 | CA Hsg Fin Agy Muni Ctfs, Ser A | 4.25% | 01/15/35 | 542,419 | ||||
360,000 | CA Pub Fin Auth Rev Ref Henry Mayo Newhall Hosp, Ser A | 4.00% | 10/15/27 | 426,420 | ||||
360,000 | CA Pub Fin Auth Rev Ref Henry Mayo Newhall Hosp, Ser A | 4.00% | 10/15/28 | 433,558 | ||||
290,000 | CA Pub Fin Auth Sr Living Rev ENSO Vlg Proj Green Bond, Ser A (a) | 5.00% | 11/15/36 | 349,865 | ||||
250,000 | CA Pub Fin Auth Sr Living Rev ENSO Vlg Proj Green Bond, Ser A (a) | 5.00% | 11/15/56 | 291,332 | ||||
750,000 | CA Pub Fin Auth Sr Living Rev Green Bond Temps 70 Enso Vlg Proj, Ser B-2 (a) | 2.38% | 11/15/28 | 763,094 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Proj, Ser C | 4.50% | 07/01/26 | 226,315 | ||||
255,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Projs, Ser A (a) | 5.00% | 07/01/30 | 293,576 | ||||
505,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (a) | 5.00% | 07/01/34 | 592,443 | ||||
105,000 | CA Sch Fin Auth Sch Fac Rev Kipp Socal Pub Schs, Ser A (a) | 5.00% | 07/01/26 | 125,759 | ||||
105,000 | CA Sch Fin Auth Sch Fac Rev Kipp Socal Pub Schs, Ser A (a) | 5.00% | 07/01/27 | 129,271 | ||||
400,000 | CA Sch Fin Auth Sch Fac Rev Kipp Socal Pub Schs, Ser A (a) | 5.00% | 07/01/39 | 499,179 | ||||
675,000 | CA Sch Fin Auth Sch Fac Rev Ref Granada Hills Chrt Oblig Grp, Ser A (a) | 4.00% | 07/01/48 | 762,179 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Ref Hlth Learning Proj, Ser A (a) | 4.00% | 07/01/25 | 223,201 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Ref Hlth Learning Proj, Ser A (a) | 5.00% | 07/01/32 | 236,841 | ||||
650,000 | CA Sch Fin Auth Sch Fac Rev, Ser A (a) | 5.00% | 07/01/40 | 757,450 | ||||
1,000,000 | CA St Ent Dev Auth Lease Rev Riverside Cnty Library Fac Proj | 4.00% | 11/01/37 | 1,150,232 | ||||
100,000 | CA St Ent Dev Auth Stdt Hsg Rev M@Clg Proj, Ser A | 5.00% | 08/01/35 | 128,958 | ||||
100,000 | CA St Ent Dev Auth Stdt Hsg Rev M@Clg Proj, Ser A | 5.00% | 08/01/40 | 127,225 | ||||
30,000 | CA St Hlth Facs Fing Auth Rev El Camino Hosp | 5.00% | 02/01/33 | 37,099 | ||||
220,000 | CA St Hlth Facs Fing Auth Rev Ref Sutter Hlth, Ser B | 5.00% | 11/15/33 | 270,667 | ||||
1,000,000 | CA St Hlth Facs Fing Auth Rev Ref, Commonspirit Hlth, Ser A | 4.00% | 04/01/36 | 1,215,452 | ||||
250,000 | CA St Hlth Facs Fing Auth Rev Sutter Hlth, Ser A | 5.00% | 11/15/30 | 315,991 | ||||
500,000 | CA St Infra & Econ Dev Bank Natl Chrt Social Bond | 4.00% | 11/01/39 | 601,563 | ||||
500,000 | CA St Infra & Econ Dev Bank Rev Sr Bond WFCS Portfolio Projs, Ser A-1 (a) | 5.00% | 01/01/56 | 599,134 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$250,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Sycamore Acdmy Proj (b) | 5.38% | 07/01/34 | $274,262 | ||||
250,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Vista Chrt Middle Sch Proj (c) | 5.38% | 07/01/34 | 275,983 | ||||
900,000 | CA St Muni Fin Auth Chrt Sch Rev John Adams Acdmys Lincoln Proj, Ser A (a) | 5.00% | 10/01/39 | 1,002,139 | ||||
200,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj (a) | 4.00% | 07/01/26 | 216,408 | ||||
450,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj, Ser A (a) | 5.00% | 07/01/38 | 537,689 | ||||
250,000 | CA St Muni Fin Auth Chrt Sch Rev, Ser A (a) | 5.50% | 06/01/38 | 285,980 | ||||
605,000 | CA St Muni Fin Auth Mobile Home Park Rev Sr Caritas Affordable Hsg Inc Projs, Ser A | 5.25% | 08/15/49 | 662,501 | ||||
155,000 | CA St Muni Fin Auth Rev Ref Biola Univ | 5.00% | 10/01/37 | 186,277 | ||||
225,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/30 | 283,480 | ||||
225,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/32 | 281,415 | ||||
675,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/33 | 841,443 | ||||
475,000 | CA St Muni Fin Auth Rev Ref Cmnty Med Ctrs, Ser A | 5.00% | 02/01/36 | 578,176 | ||||
200,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | 245,313 | ||||
400,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/34 | 489,437 | ||||
250,000 | CA St Muni Fin Auth Rev Ref Emerson Clg, Ser B | 5.00% | 01/01/33 | 307,239 | ||||
700,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/34 | 804,552 | ||||
500,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/36 | 572,957 | ||||
110,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/26 | 132,531 | ||||
435,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/27 | 533,852 | ||||
700,000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 823,332 | ||||
500,000 | CA St Muni Fin Auth Sr Living Rev Ref Mt San Antonio Gardens Proj | 5.00% | 11/15/49 | 588,896 | ||||
500,000 | CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I, LLC W Vlg Stdt Hsg Proj | 5.00% | 05/15/27 | 617,172 | ||||
1,000,000 | CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I, LLC W Vlg Stdt Hsg Proj | 5.00% | 05/15/38 | 1,265,037 | ||||
350,000 | CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I, LLC W Vlg Stdt Hsg Proj | 5.00% | 05/15/40 | 441,371 | ||||
75,000 | CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I, LLC W Vlg Stdt Hsg Proj TCRS, BAM | 5.00% | 05/15/29 | 96,557 | ||||
600,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt Inc, Ser A1, AMT | 3.38% | 07/01/25 | 669,696 | ||||
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 | 274,661 | ||||
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 | 162,608 | ||||
1,000,000 | CA St Poll Control Fin Auth Wtr Furnishing Rev, AMT (a) | 5.00% | 07/01/37 | 1,053,792 | ||||
650,000 | CA St Pub Wks Brd Lease Rev Dept Crrctns Rehab RJ, Ser E | 5.00% | 10/01/25 | 776,618 | ||||
15,000 | CA St Pub Wks Brd Lease Rev Judicial Council CA, Ser B | 5.00% | 06/01/34 | 17,561 | ||||
175,000 | CA St Pub Wks Brd Lease Rev Ref, Ser B | 5.00% | 10/01/26 | 216,129 | ||||
165,000 | CA St Pub Wks Brd Lease Rev Ref, Ser B | 5.00% | 05/01/29 | 217,846 | ||||
125,000 | CA St Pub Wks Brd Lease Rev Ref, Ser F | 5.00% | 05/01/24 | 141,601 | ||||
100,000 | CA St Pub Wks Brd Lease Rev Various Corr Facs, Ser A | 5.00% | 09/01/27 | 114,168 | ||||
75,000 | CA St Ref | 4.00% | 09/01/32 | 87,631 | ||||
75,000 | CA St Ref | 4.00% | 08/01/34 | 87,095 | ||||
155,000 | CA St Ref | 4.00% | 09/01/35 | 180,201 | ||||
75,000 | CA St Ref Various Purp | 4.00% | 09/01/33 | 87,452 | ||||
275,000 | CA St Ref Various Purp | 4.00% | 09/01/35 | 319,711 | ||||
100,000 | CA St Ref Various Purp | 5.00% | 10/01/35 | 119,730 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$565,000 | CA St Sch Fin Auth Chrt Sch Rev Arts in Action Chrt Schs, Ser A (a) | 5.00% | 06/01/30 | $654,755 | ||||
335,000 | CA St Sch Fin Auth Chrt Sch Rev Arts in Action Chrt Schs, Ser A (a) | 5.00% | 06/01/40 | 378,013 | ||||
600,000 | CA St Sch Fin Auth Chrt Sch Rev Fenton Chrt Schs, Ser A (a) | 4.00% | 07/01/30 | 680,541 | ||||
600,000 | CA St Sch Fin Auth Chrt Sch Rev Fenton Chrt Schs, Ser A (a) | 5.00% | 07/01/40 | 702,056 | ||||
300,000 | CA St Sch Fin Auth Chrt Sch Rev Rocketship Pub Schs, Ser G (b) | 5.00% | 06/01/37 | 345,878 | ||||
100,000 | CA St Sch Fin Auth Chrt Sch Rev Summit Pub Schs (a) | 5.00% | 06/01/25 | 116,450 | ||||
210,000 | CA St Sch Fin Auth Chrt Sch Rev Summit Pub Schs (a) | 5.00% | 06/01/31 | 251,886 | ||||
500,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No 1 | 4.00% | 09/01/41 | 583,292 | ||||
200,000 | CA St Stwd Cmntys Dev Auth Stdt Hsg Rev Ref Chf Irvine LLC | 5.00% | 05/15/30 | 240,698 | ||||
280,000 | CA St Stwd Cmntys Dev Auth Stdt Hsg Rev Ref Chf Irvine LLC | 5.00% | 05/15/35 | 333,915 | ||||
600,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/30 | 695,277 | ||||
300,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/33 | 359,500 | ||||
150,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (a) | 3.00% | 11/01/22 | 152,802 | ||||
250,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (a) | 5.00% | 11/01/32 | 304,464 | ||||
245,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/27 | 295,657 | ||||
50,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/30 | 59,896 | ||||
175,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/31 | 209,157 | ||||
50,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 4.00% | 04/01/32 | 56,532 | ||||
50,000 | CA Stwd Cmntys Dev Auth Rev Ref Insd Enloe Med Ctr, CA MTG INS | 5.00% | 08/15/33 | 59,510 | ||||
125,000 | Camarillo CA Cmnty Dev Commn Successor Agy Tax Allocation Ref Camarillo Corridor Proj, AGM | 5.00% | 09/01/25 | 142,454 | ||||
240,000 | Camarillo CA Cmnty Dev Commn Successor Agy Tax Allocation Ref Sub Lien, Ser B, BAM | 5.00% | 09/01/28 | 289,894 | ||||
305,000 | Camarillo CA Cmnty Dev Commn Successor Agy Tax Allocation Ref Sub Lien, Ser B, BAM | 5.00% | 09/01/30 | 367,165 | ||||
400,000 | Casitas Muni Wtr Dist CA Spl Tax Cmnty Facs Dist No 2013-1, BAM | 4.00% | 09/01/34 | 476,485 | ||||
450,000 | Chino CA Cmnty Facs Dist Spl Tax #2003-3 Impt Area #7 | 5.00% | 09/01/31 | 561,385 | ||||
425,000 | Chino Vly CA Unif Sch Dist, Ser B | 5.00% | 08/01/36 | 568,077 | ||||
250,000 | Compton CA Unif Sch Dist Los Angeles Co Schs Fing Prog, Ser A, COPS, BAM | 5.00% | 06/01/31 | 305,817 | ||||
250,000 | Compton CA Unif Sch Dist Los Angeles Co Schs Fing Prog, Ser A, COPS, BAM | 4.00% | 06/01/35 | 288,892 | ||||
200,000 | Compton CA Unif Sch Dist Los Angeles Co Schs Fing Prog, Ser A, COPS, BAM | 4.00% | 06/01/36 | 230,757 | ||||
210,000 | Cotati-Rohnert Park CA Unif Sch Dist 2016 Election, Ser C, AGM | 5.00% | 08/01/32 | 254,741 | ||||
1,000,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev The Link Glendale Soc Bds, Ser A-2 (a) | 4.00% | 07/01/56 | 1,087,313 | ||||
1,000,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev Union S Bay Social Bonds, Ser A-2 (a) | 4.00% | 07/01/56 | 1,096,819 | ||||
175,000 | Dana Point CA Cmnty Facs Distspl Tax Ref, Ser A, BAM | 4.00% | 09/01/33 | 217,550 | ||||
180,000 | Dana Point CA Cmnty Facs Distspl Tax Ref, Ser A, BAM | 4.00% | 09/01/34 | 222,880 | ||||
200,000 | Del Mar CA Union Sch Dist Spl Tax Ref | 4.00% | 09/01/33 | 235,919 | ||||
300,000 | Del Mar CA Union Sch Dist Spl Tax Ref | 4.00% | 09/01/34 | 352,124 | ||||
270,000 | Diablo CA Wtr Dist Wtr Rev Ref, COPS, BAM | 4.00% | 01/01/32 | 315,823 | ||||
150,000 | Dinuba CA Jt Unif Sch Dist, COPS, AGM | 4.00% | 02/01/35 | 169,381 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$755,000 | El Dorado CA Irr Dist Rev Ref, Ser C | 4.00% | 03/01/34 | $861,178 | ||||
300,000 | Estrn CA Muni Wtr Dist Wtr & Wstwtr Rev Sub Ref, Ser A | 5.00% | 07/01/31 | 363,657 | ||||
350,000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No. 19 Mangini | 5.00% | 09/01/32 | 422,138 | ||||
155,000 | Fontana CA Spl Tax Cmnty Facs Dist #80 Bella Strada | 5.00% | 09/01/29 | 190,297 | ||||
525,000 | Fontana CA Spl Tax Spl Tax, Summit at Rosena Phase One | 4.00% | 09/01/41 | 609,085 | ||||
240,000 | Fontana CA Spl Tax Spl Tax, The Meadows | 4.00% | 09/01/32 | 278,464 | ||||
165,000 | Fontana CA Unif Sch Dist Prerefunded, AGM | (d) | 02/01/33 | 135,306 | ||||
310,000 | Fountain Vly CA Pub Fing Auth Lease Rev Ref, Ser A | 4.00% | 11/01/29 | 356,215 | ||||
140,000 | Fresno CA Jt Pwrs Fing Auth Lease Rev Ref Master Lease Proj, Ser A, AGM | 5.00% | 04/01/32 | 169,987 | ||||
1,000,000 | Fresno CA Uni Sch Dist, Ser A08/01/45 | 4.00% | 08/01/45 | 1,181,315 | ||||
500,000 | Gilroy CA Unif Sch Dist | 4.00% | 08/01/42 | 585,374 | ||||
230,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Asset Bkd, Ref, Ser A | 3.25% | 06/01/32 | 251,520 | ||||
100,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Enhanced Asset Bkd, Ser A | 5.00% | 06/01/29 | 108,932 | ||||
340,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Ser A-1 | 5.00% | 06/01/26 | 411,998 | ||||
750,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Ser A-1 | 5.00% | 06/01/34 | 933,503 | ||||
145,000 | Golden W CA Schs Fing Auth Ref Beverly Hills Unif Sch Dist, NATL | 5.25% | 08/01/23 | 160,051 | ||||
265,000 | Imperial CA Pub Fing Auth Rev Ref, AGM | 4.00% | 10/15/33 | 316,287 | ||||
360,000 | Imperial CA Pub Fing Auth Rev Ref, AGM | 4.00% | 10/15/35 | 425,636 | ||||
140,000 | Inglewood CA Unif Sch Dist, Ser C, BAM | 4.00% | 08/01/35 | 160,432 | ||||
960,000 | Irvine CA Impt Bond Act 1915 Ref | 4.00% | 09/02/35 | 1,162,916 | ||||
1,000,000 | Irvine CA Impt Bond Act 1915 Ref | 4.00% | 09/02/46 | 1,220,648 | ||||
150,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist #09-1, Ser C | 5.00% | 09/01/31 | 185,847 | ||||
890,000 | Jurupa CA Public Fing Auth Spl Tax Rev Ref, Ser A, AGM | 4.00% | 09/01/34 | 1,063,918 | ||||
290,000 | Kaweah CA Delta Hlthcare Dist Rev, Ser B | 5.00% | 06/01/40 | 328,282 | ||||
100,000 | Kern Cnty CA Wtr Agy Impt Dist #4 Wtr Rev Ref, Ser A, AGM | 5.00% | 05/01/29 | 121,020 | ||||
485,000 | King City CA Union Sch Dist Cap Apprec Election 1998-C, CABS, AMBAC | (d) | 08/01/29 | 432,935 | ||||
250,000 | La Verne CA Ref Brethren Hillcrest Homes, COPS | 5.00% | 05/15/36 | 262,047 | ||||
25,000 | Lammersville CA Jt Unif Sch Dist Spl Tax | 4.00% | 09/01/33 | 28,937 | ||||
25,000 | Lammersville CA Jt Unif Sch Dist Spl Tax | 4.00% | 09/01/34 | 28,873 | ||||
200,000 | Lammersville CA Jt Unif Sch Dist Spl Tax | 4.00% | 09/01/40 | 228,103 | ||||
1,055,000 | Lancaster CA Fing Auth Rev Measure M&R Street Impts Proj | 4.00% | 06/01/35 | 1,262,373 | ||||
100,000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.25% | 11/15/23 | 111,414 | ||||
540,000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.50% | 11/15/30 | 732,174 | ||||
460,000 | Los Angeles CA Dept of Arpts Arpt Rev Ref Sub Los Angeles Intl Arpt, Ser D, AMT | 5.00% | 05/15/32 | 593,339 | ||||
700,000 | Los Angeles CA Dept of Arpts Arpt Rev Sub Los Angeles Intl Arpt, Ser B, AMT | 5.00% | 05/15/31 | 842,491 | ||||
250,000 | Los Angeles CA Dept of Arpts Arpt Rev Subord Los Angeles Intl Arpt, Ser F, AMT | 5.00% | 05/15/32 | 322,467 | ||||
10,000 | Los Angeles CA Dept of Arpts, Ser E | 5.00% | 05/15/28 | 11,722 | ||||
215,000 | Los Angeles CA Muni Impt Corplease Rev Ref Real Property, Ser B | 4.00% | 11/01/37 | 247,722 | ||||
500,000 | Los Angeles CA Unif Sch Dist, Ser C | 4.00% | 07/01/36 | 615,841 | ||||
410,000 | Los Osos CA Cmnty Svcs Wstwtr Assmnt Dist #1 Ref Reassmnt | 3.13% | 09/02/32 | 450,763 | ||||
100,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/27 | 119,020 | ||||
250,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/33 | 291,550 | ||||
250,000 | Marina Coast CA Wtr Dist Enterprise Rev, COPS | 4.00% | 06/01/35 | 300,787 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$310,000 | Marina Coast CA Wtr Dist Enterprise Rev, COPS | 4.00% | 06/01/36 | $370,443 | ||||
1,190,000 | Marysville CA Jt Unif Sch Dist Green Bond, 2021 Energy Efficiency Proj, COPS, BAM | 4.00% | 06/01/39 | 1,394,119 | ||||
245,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/34 | 292,650 | ||||
500,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/44 | 589,460 | ||||
100,000 | Modesto CA Spl Tax Ref Cmnty Facs Dist # 2004-1 Vlg 1 #2 | 5.00% | 09/01/27 | 113,345 | ||||
200,000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (a) | 5.00% | 10/01/42 | 240,581 | ||||
1,115,000 | Natomas CA Unif Sch Dist, AGM | 3.00% | 08/01/36 | 1,189,365 | ||||
250,000 | Norco CA Spl Tax Ref Norco Ridge Ranch, BAM | 5.00% | 09/01/32 | 311,071 | ||||
750,000 | Oak Vly CA Hosp Dist Hlth Facs Rev Ref, Ser A | 4.00% | 11/01/36 | 809,227 | ||||
405,000 | Oakland CA Unif Sch Dist Alameda Cnty Election of 2012, Ser A, AGM | 4.00% | 08/01/36 | 471,547 | ||||
100,000 | Ontario CA Cmnty Facs Dist 40 Spl Tax Emeral Park Fac | 4.00% | 09/01/34 | 115,998 | ||||
65,000 | Ontario CA Cmnty Facs Dist 40 Spl Tax Emeral Park Fac | 4.00% | 09/01/35 | 75,347 | ||||
275,000 | Ontario CA Cmnty Facs Dist 40 Spl Tax Emeral Park Fac | 4.00% | 09/01/39 | 317,174 | ||||
750,000 | Oxnard CA Sch Dist Election of 2016, Ser C, AGM | 4.00% | 08/01/49 | 871,111 | ||||
650,000 | Palm Desert CA Spl Tax Ref Univ Park | 4.00% | 09/01/51 | 700,499 | ||||
250,000 | Palomar Hlth CA Rev Ref | 5.00% | 11/01/31 | 297,983 | ||||
750,000 | Pleasanton CA Unif Sch Dist | 3.00% | 08/01/36 | 801,438 | ||||
210,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/33 | 249,936 | ||||
220,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/34 | 261,829 | ||||
340,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/39 | 401,797 | ||||
200,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Ref #2004-1 Sunridge Park Area | 5.00% | 09/01/25 | 235,677 | ||||
500,000 | River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2019-1 Phase 2 Pub Impts | 5.00% | 09/01/40 | 577,444 | ||||
300,000 | River Islands CA Pub Fing Auth Spl Tax Ref Cmnty Facs Dist #2003-1 | 5.38% | 09/01/31 | 318,670 | ||||
575,000 | Riverside CA Unif Sch Dist Election of 2016, Ser B | 3.00% | 08/01/38 | 627,967 | ||||
185,000 | Riverside CA Unif Sch Dist Fing Auth Spl Tax Ref, BAM | 5.00% | 09/01/34 | 214,056 | ||||
1,495,000 | Rocklin CA Unif Sch Dist Cmnty Facs Dist Subord, Ser 2019, BAM | 4.00% | 09/15/37 | 1,774,239 | ||||
185,000 | Roseville CA Spl Tax | 5.00% | 09/01/32 | 220,421 | ||||
160,000 | Roseville CA Spl Tax | 5.00% | 09/01/33 | 190,427 | ||||
170,000 | Roseville CA Spl Tax | 4.00% | 09/01/34 | 192,193 | ||||
150,000 | Roseville CA Spl Tax | 4.00% | 09/01/35 | 169,404 | ||||
200,000 | Sacramento CA Spl Tax Natomas Meadows Cmnty Facs Dist #2007-01 (a) | 5.00% | 09/01/32 | 227,130 | ||||
500,000 | Sacramento CA Transient Occupancy Tax Rev Sub Convention Ctr Complex, Ser C | 5.00% | 06/01/32 | 613,709 | ||||
385,000 | San Bruno CA Park Sch Dist, Ser B | 4.00% | 08/01/34 | 458,882 | ||||
200,000 | San Bruno CA Park Sch Dist, Ser B | 4.00% | 08/01/37 | 236,981 | ||||
35,000 | San Diego Cnty CA Ltd Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A | 5.00% | 11/01/25 | 41,710 | ||||
510,000 | San Diego Cnty CA Ltd Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A | 5.00% | 11/01/28 | 605,879 | ||||
125,000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No.2, Ser A | 4.00% | 09/01/32 | 142,931 | ||||
85,000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No.2, Ser A | 4.00% | 09/01/33 | 96,996 | ||||
100,000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No.2, Ser A | 4.00% | 09/01/34 | 113,897 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$500,000 | San Francisco CA Bay Area Rapid Transit Dist Sales Tax Rev, Ser A | 4.00% | 07/01/36 | $587,612 | ||||
140,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref, Ser D, AMT | 5.00% | 05/01/22 | 145,082 | ||||
500,000 | San Francisco CA City & Cnty Dcnty Dev Spl Tax Dist No 2020-1 Mission Rock Facs & Svcs, Ser A (a) | 4.00% | 09/01/46 | 577,314 | ||||
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 | 120,146 | ||||
175,000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Cap Apprec Ref, Ser A, NATL | (d) | 01/15/29 | 156,395 | ||||
675,000 | Santa Clarita CA Cmnty Facs Dist Vista Canyon #2016-1 (a) | 4.00% | 09/01/35 | 760,849 | ||||
175,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/33 | 206,752 | ||||
370,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/38 | 433,184 | ||||
500,000 | Simi Vly CA Unif Sch Dist, Ser C | 4.00% | 08/01/43 | 588,493 | ||||
1,400,000 | So San Fran CA Pub Facs Fing Auth Lease Rev Police St Proj, Ser A | 4.00% | 06/01/43 | 1,678,034 | ||||
150,000 | Soledad CA Unif Sch Dist Premium Ref Bans, CABS | (d) | 08/01/21 | 150,000 | ||||
305,000 | Tahoe-Truckee CA Unif Sch Dist, COPS, BAM | 4.00% | 06/01/37 | 346,894 | ||||
260,000 | Tahoe-Truckee CA Unif Sch Dist, COPS, BAM | 4.00% | 06/01/39 | 294,902 | ||||
150,000 | Temecula Vly CA Unif Sch Dist Cmnty Facs Dist #2014-1 | 5.00% | 09/01/32 | 175,217 | ||||
400,000 | Temecula Vly Unif Sch Dist Fing Auth CA Spl Tax Rev, BAM | 5.00% | 09/01/34 | 462,516 | ||||
500,000 | Temescal Vly CA Wtr Dist Spl Tax Terramor Cmnty Facs Dist #4 Impt Area #1 | 5.00% | 09/01/31 | 584,071 | ||||
1,000,000 | Tobacco Securitization Auth Sthrn CA Tobacco Stlmt Rev Ref San Diego Co Tobacco Securitization Corp Class 1, Ser A | 5.00% | 06/01/37 | 1,297,955 | ||||
1,000,000 | Tobacco Securitization Auth Sthrn CA Tobacco Stlmt Rev San Diego Co Asset Securitization Corp Class 1, Ser A | 5.00% | 06/01/38 | 1,294,571 | ||||
250,000 | Tracy CA Cmnty Facs Dist | 5.00% | 09/01/33 | 291,550 | ||||
470,000 | Transbay Jt Powers Auth CA Green Bond Sr Tax Alloc Bonds, Ser A | 5.00% | 10/01/33 | 615,929 | ||||
900,000 | Transbay Jt Powers Auth CA Green Bond Sr Tax Alloc Bonds, Ser A | 5.00% | 10/01/39 | 1,160,467 | ||||
500,000 | Univ of California CA Revs Ref Ltd Proj, Ser O | 5.00% | 05/15/48 | 624,908 | ||||
100,000 | W Contra Costa CA Unif Sch Dist Ref, Ser A | 5.00% | 08/01/31 | 117,726 | ||||
94,844,326 | ||||||||
Colorado – 0.5% | ||||||||
500,000 | Willow Bend Met Dist CO Sr, Ser A | 5.00% | 12/01/39 | 545,044 | ||||
Florida – 0.9% | ||||||||
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 | 552,480 | ||||
150,000 | Parkland Preserve CDD FL Spl Assmnt Rev, Ser A | 4.50% | 05/01/24 | 155,988 | ||||
250,000 | Rhodine Road N CDD FL Spl Assmnt | 4.00% | 05/01/30 | 273,276 | ||||
981,744 | ||||||||
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 | 540,931 | ||||
Guam – 1.3% | ||||||||
100,000 | Guam Govt Busn Privilege Tax Rev Ref, Ser D | 5.00% | 11/15/32 | 115,435 | ||||
355,000 | Guam Govt Busn Privilege Tax Rev, Ser B-1 | 5.00% | 01/01/37 | 361,939 | ||||
750,000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A | 5.00% | 01/01/50 | 929,555 | ||||
1,406,929 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois – 0.3% | ||||||||
$35,000 | Chicago IL Ref, Ser C, CABS | (d) | 01/01/22 | $34,809 | ||||
135,000 | Chicago IL Ref, Ser C, CABS | (d) | 01/01/24 | 130,085 | ||||
120,000 | IL St, Ser A | 4.00% | 01/01/25 | 121,833 | ||||
286,727 | ||||||||
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 | 999,834 | ||||
Ohio – 0.8% | ||||||||
750,000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Class 2, Ser B-2 | 5.00% | 06/01/55 | 882,719 | ||||
Puerto Rico – 2.0% | ||||||||
100,000 | Puerto Rico Cmwlth Ref Pub Impt, Ser A, AGM | 5.00% | 07/01/35 | 102,969 | ||||
1,295,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.50% | 07/01/34 | 1,437,907 | ||||
616,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (d) | 07/01/29 | 538,790 | ||||
2,079,666 | ||||||||
Texas – 0.4% | ||||||||
370,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 444,061 |
Total Investments – 98.5% | 103,641,353 | ||
(Cost $96,965,239) (e) | |||
Net Other Assets and Liabilities – 1.5% | 1,557,254 | ||
Net Assets – 100.0% | $105,198,607 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury Long Bonds | Short | 11 | Sep 2021 | $ (1,811,906) | $(78,375) | |||||
U.S. Treasury Ultra 10-Year Notes | Short | 16 | Sep 2021 | (2,404,000) | (55,844) | |||||
Total Futures Contracts | $(4,215,906) | $(134,219) |
(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 July 31, 2021, securities noted as such amounted to $19,461,429 or 18.5% 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 federal income tax purposes was $96,730,417. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $6,776,717 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $0. The net unrealized appreciation was $6,776,717. 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 |
CA MTG INS | California Mortgage Insurance |
CABS | Capital Appreciation Bonds |
COPS | Certificates of Participation |
NATL | National Public Finance Guarantee Corp. |
ASSETS TABLE | ||||
Total Value at 7/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 103,641,353 | $ — | $ 103,641,353 | $ — |
LIABILITIES TABLE | ||||
Total Value at 7/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts** | $ (134,219) | $ (134,219) | $ — | $ — |
* | 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 – 95.9% | ||||||||
American Samoa – 2.1% | ||||||||
$250,000 | American Samoa AS Econ Dev Auth Gen Rev, Ser A (a) | 5.00% | 09/01/38 | $314,686 | ||||
Florida – 1.7% | ||||||||
225,000 | FL St Dev Fin Corp Sr Living Rev Ref Glenridge on Palmer Ranch Proj | 5.00% | 06/01/35 | 266,580 | ||||
New York – 86.5% | ||||||||
270,000 | Albany Cnty NY Ref, Ser C | 5.00% | 11/01/23 | 299,643 | ||||
280,000 | Brentwood NY Union Free Sch Dist Ref | 4.00% | 11/15/23 | 305,070 | ||||
465,000 | Buffalo NY Muni Wtr Fin Auth, Ser A, AGM | 4.00% | 07/01/49 | 531,522 | ||||
400,000 | Build NYC Res Corp NY Rev Acad Leadership Chrt Sch Proj | 4.00% | 06/15/36 | 462,609 | ||||
300,000 | Build NYC Res Corp NY Rev NY Preparatory Chrt Sch Proj, Ser A | 4.00% | 06/15/31 | 339,625 | ||||
375,000 | Build NYC Res Corp NY Rev Shefa Sch Proj, Ser A (a) | 5.00% | 06/15/51 | 453,471 | ||||
380,000 | Glen Cove NY, Ser A, BAM | 5.00% | 06/01/26 | 456,451 | ||||
500,000 | Island Trees NY Union Free Sch Dist | 3.00% | 05/15/31 | 564,767 | ||||
355,000 | Long Island NY Pwr Auth Elec Sys Rev Ref, Ser A | 5.00% | 09/01/37 | 469,881 | ||||
55,000 | Long Island NY Pwr Auth Elec Sys Rev Ref, Ser A | 4.00% | 09/01/39 | 66,865 | ||||
150,000 | Met Transprtn Auth NY Rev Ref, Ser D | 3.00% | 11/15/32 | 160,448 | ||||
315,000 | Met Transprtn Auth NY Rev Ref, Ser D | 4.00% | 11/15/42 | 363,782 | ||||
400,000 | Monroe Cnty NY Indl Dev Corp Rev Univ of Rochester Proj, Ser A | 4.00% | 07/01/50 | 474,427 | ||||
530,000 | New York City NY Hsg Dev Corp Mf Hsg Rev Sustainable Dev Bonds, Ser A1 | 1.35% | 11/01/26 | 546,205 | ||||
350,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref Wtr And Swr Sys Second General Resolution, Ser BB2 | 4.00% | 06/15/42 | 423,595 | ||||
135,000 | New York City NY Transitional Fin Auth Rev Subord Future Tax Secured, Ser C-1 | 4.00% | 11/01/40 | 161,006 | ||||
345,000 | New York City NY Transitional Fin Auth Rev Subord, Ser A-3 | 4.00% | 05/01/43 | 408,924 | ||||
250,000 | Niagara Cnty NY Tobacco Asset Securitization Corp Tobacco As Ref Asset Bkd Bds | 5.00% | 05/15/22 | 259,405 | ||||
300,000 | NY NY Fiscal 2020, Ser B-1 | 5.00% | 10/01/32 | 393,022 | ||||
250,000 | NY NY, Ser A, Subser A-1 | 4.00% | 08/01/38 | 299,566 | ||||
325,000 | NY St Dorm Auth Revs Non St Supported Debt Grp 2 Memorial Sloan Kettering Cancer Ctr Rev, Ser 1 | 3.00% | 07/01/34 | 366,551 | ||||
500,000 | NY St Dorm Auth Revs Non St Supported Debt Ref St Johns Univ, Ser A | 4.00% | 07/01/34 | 623,340 | ||||
400,000 | NY St Dorm Auth Revs Non St Supported Debt, Ser A, AGM | 4.00% | 10/01/35 | 485,943 | ||||
500,000 | NY St Thruway Auth Gen Rev Junior Indebtedness Oblig Subord, Ser B | 4.00% | 01/01/50 | �� | 588,185 | |||
120,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser A, AMT | 5.00% | 12/01/33 | 157,532 | ||||
250,000 | NY St Urban Dev Corp Rev Ref Grp 3, Ser E | 4.00% | 03/15/46 | 294,177 | ||||
350,000 | Onondaga Cnty NY Trust Cultural Res Rev Ref Syracuse Univ Proj | 5.00% | 12/01/40 | 457,372 | ||||
250,000 | Port Auth of NY & NJ NY Consolidated Bonds Two Hundred Fourteenth Ser, AMT | 5.00% | 09/01/30 | 325,025 | ||||
275,000 | Port Auth of NY & NJ NY Ref Consolidated Bonds Two Hundred Twelfth Ser | 4.00% | 09/01/37 | 333,103 | ||||
295,000 | Port Chester Rye NY Union Free Sch Dist | 5.00% | 06/01/27 | 371,190 | ||||
500,000 | Triborough NY Bridge & Tunnel Auth Revs Remk, Ser D | 5.00% | 11/15/34 | 671,415 | ||||
190,000 | Troy NY Capital Res Corp Rev Rensselaer Polytechnic Institute Proj Ref | 4.00% | 09/01/35 | 230,488 | ||||
280,000 | Troy NY Capital Res Corp Rev Rensselaer Polytechnic Institute Proj Ref | 4.00% | 09/01/36 | 338,802 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$100,000 | Tsasc Inc NY Ref, Ser A | 5.00% | 06/01/32 | $121,703 | ||||
325,000 | Wayne Cnty NY Wtr & Swr Auth Wtr & Swr Sys Rev Green Bond, BAM | 4.00% | 12/15/41 | 390,574 | ||||
13,195,684 | ||||||||
Puerto Rico – 4.3% | ||||||||
153,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (b) | 07/01/29 | 133,823 | ||||
194,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (b) | 07/01/31 | 156,942 | ||||
317,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2 Converted | 4.33% | 07/01/40 | 361,050 | ||||
651,815 | ||||||||
Texas – 1.3% | ||||||||
200,000 | Crandall TX Spl Assmnt Rev Cartwright Ranch Pub Impt Dt Impt Area #1 Proj (a) | 4.00% | 09/15/31 | 201,943 |
Total Investments – 95.9% | 14,630,708 | ||
(Cost $14,404,254) (c) | |||
Net Other Assets and Liabilities – 4.1% | 625,062 | ||
Net Assets – 100.0% | $15,255,770 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury Long Bonds | Short | 2 | Sep 2021 | $ (329,438) | $(16,906) | |||||
U.S. Treasury Ultra 10-Year Notes | Short | 1 | Sep 2021 | (150,250) | (5,203) | |||||
Total Futures Contracts | $(479,688) | $(22,109) |
(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 July 31, 2021, securities noted as such amounted to $970,100 or 6.4% of net assets. |
(b) | Zero coupon bond. |
(c) | Aggregate cost for federal income tax purposes was $14,380,724. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $227,875 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $0. The net unrealized appreciation was $227,875. The unrealized amounts presented are inclusive of derivative contracts. |
AGM | Assured Guaranty Municipal Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
CABS | Capital Appreciation Bonds |
ASSETS TABLE | ||||
Total Value at 7/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 14,630,708 | $ — | $ 14,630,708 | $ — |
LIABILITIES TABLE | ||||
Total Value at 7/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts** | $ (22,109) | $ (22,109) | $ — | $ — |
* | See Portfolio of Investments for state and territory breakout. |
** | Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Statements of Assets and Liabilities. |
First Trust California Municipal High Income ETF (FCAL) | First Trust New York Municipal High Income ETF (FMNY) | ||
ASSETS: | |||
Investments, at value | $ 103,641,353 | $ 14,630,708 | |
Cash | 1,315,945 | 969,762 | |
Cash segregated as collateral for open futures contracts | 85,470 | 10,395 | |
Interest receivable | 975,973 | 95,029 | |
Total Assets | 106,018,741 | 15,705,894 | |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | 762,156 | 442,121 | |
Investment advisory fees | 44,343 | 6,472 | |
Variation margin | 12,688 | 1,531 | |
Other liabilities | 947 | — | |
Total Liabilities | 820,134 | 450,124 | |
NET ASSETS | $105,198,607 | $15,255,770 | |
NET ASSETS consist of: | |||
Paid-in capital | $ 100,196,289 | $ 14,999,560 | |
Par value | 19,000 | 5,000 | |
Accumulated distributable earnings (loss) | 4,983,318 | 251,210 | |
NET ASSETS | $105,198,607 | $15,255,770 | |
NET ASSET VALUE, per share | $55.37 | $30.51 | |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 1,900,002 | 500,002 | |
Investments, at cost | $96,965,239 | $14,404,254 |
First Trust California Municipal High Income ETF (FCAL) | First Trust New York Municipal High Income ETF (FMNY) (a) | |||
INVESTMENT INCOME: | ||||
Interest | $ 2,512,315 | $ 63,554 | ||
Total investment income | 2,512,315 | 63,554 | ||
EXPENSES: | ||||
Investment advisory fees | 614,792 | 21,590 | ||
Total expenses | 614,792 | 21,590 | ||
Fees waived by the investment advisor | (141,875) | (4,982) | ||
Net expenses | 472,917 | 16,608 | ||
NET INVESTMENT INCOME (LOSS) | 2,039,398 | 46,946 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments | 215,773 | 30,932 | ||
Futures contracts | 202,578 | (1,013) | ||
Net realized gain (loss) | 418,351 | 29,919 | ||
Net increase from payment by the advisor | 219 | — | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 3,493,527 | 226,454 | ||
Futures contracts | (38,281) | (22,109) | ||
Net change in unrealized appreciation (depreciation) | 3,455,246 | 204,345 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 3,873,816 | 234,264 | ||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 5,913,214 | $ 281,210 |
(a) | Inception date is May 12, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
First Trust California Municipal High Income ETF (FCAL) | First Trust New York Municipal High Income ETF (FMNY) | ||||
Year Ended 7/31/2021 | Year Ended 7/31/2020 | Period Ended 7/31/2021 (a) | |||
OPERATIONS: | |||||
Net investment income (loss) | $ 2,039,398 | $ 1,594,302 | $ 46,946 | ||
Net realized gain (loss) | 418,351 | (1,928,615) | 29,919 | ||
Net increase from payment by the advisor | 219 | — | — | ||
Net change in unrealized appreciation (depreciation) | 3,455,246 | 1,613,667 | 204,345 | ||
Net increase (decrease) in net assets resulting from operations | 5,913,214 | 1,279,354 | 281,210 | ||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||
Investment operations | (1,990,252) | (1,554,337) | (30,000) | ||
Return of capital | — | (72,665) | — | ||
Total distributions to shareholders | (1,990,252) | (1,627,002) | (30,000) | ||
SHAREHOLDER TRANSACTIONS: | |||||
Proceeds from shares sold | 21,698,863 | 56,172,036 | 15,004,560 | ||
Cost of shares redeemed | (8,129,605) | (2,375,228) | — | ||
Net increase (decrease) in net assets resulting from shareholder transactions | 13,569,258 | 53,796,808 | 15,004,560 | ||
Total increase (decrease) in net assets | 17,492,220 | 53,449,160 | 15,255,770 | ||
NET ASSETS: | |||||
Beginning of period | 87,706,387 | 34,257,227 | — | ||
End of period | $ 105,198,607 | $ 87,706,387 | $ 15,255,770 | ||
CHANGES IN SHARES OUTSTANDING: | |||||
Shares outstanding, beginning of period | 1,650,002 | 650,002 | — | ||
Shares sold | 400,000 | 1,050,000 | 500,002 | ||
Shares redeemed | (150,000) | (50,000) | — | ||
Shares outstanding, end of period | 1,900,002 | 1,650,002 | 500,002 |
(a) | Inception date is May 12, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
Year Ended | Period Ended 7/31/2017 (a) | ||||||||
7/31/2021 | 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) | 1.16 | 1.17 | 1.49 | 1.45 | 0.10 | ||||
Net realized and unrealized gain (loss) | 2.19 (b) | 0.51 | 2.60 | (0.04) | 0.14 | ||||
Total from investment operations | 3.35 | 1.68 | 4.09 | 1.41 | 0.24 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.14) | (1.17) | (1.50) | (1.40) | (0.10) | ||||
Net realized gain | — | — | — | (0.04) | — | ||||
Return of capital | — | (0.05) | — | — | (0.00) (c) | ||||
Total distributions | (1.14) | (1.22) | (1.50) | (1.44) | (0.10) | ||||
Net asset value, end of period | $55.37 | $53.16 | $52.70 | $50.11 | $50.14 | ||||
Total return (d) | 6.37% (b) | 3.23% | 8.32% | 2.83% | 0.50% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 105,199 | $ 87,706 | $ 34,257 | $ 17,539 | $ 10,029 | ||||
Ratio of total expenses to average net assets | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% (e) | ||||
Ratio of net expenses to average net assets | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% (e) | ||||
Ratio of net investment income (loss) to average net assets | 2.16% | 2.28% | 3.01% | 2.97% | 1.74% (e) | ||||
Portfolio turnover rate (f) | 25% | 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) | The Fund received a reimbursement from the advisor in the amount of $219, which represents less than $0.01 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return. |
(c) | Amount is less than $0.01. |
(d) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total return would have been lower if certain fees had not been waived by the investment advisor. |
(e) | Annualized. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Period Ended 7/31/2021 (a) | |
Net asset value, beginning of period | $ 30.00 |
Income from investment operations: | |
Net investment income (loss) | 0.09 |
Net realized and unrealized gain (loss) | 0.48 |
Total from investment operations | 0.57 |
Distributions paid to shareholders from: | |
Net investment income | (0.04) |
Net realized gain | (0.02) |
Total distributions | (0.06) |
Net asset value, end of period | $30.51 |
Total return (b) | 1.90% |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $ 15,256 |
Ratio of total expenses to average net assets | 0.65% (c) |
Ratio of net expenses to average net assets | 0.50% (c) |
Ratio of net investment income (loss) to average net assets | 1.41% (c) |
Portfolio turnover rate (d) | 16% |
(a) | Inception date is May 12, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total return would have been lower if certain fees had not been waived by the investment advisor. |
(c) | Annualized. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
(1) | Commenced investment operations on May 12, 2021. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer; |
5) | the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; and |
10) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security | Acquisition Date | Principal Value | Current Price | Carrying Cost | Value | % of Net Assets | ||
CA St Muni Fin Auth Chrt Sch Lease Rev Sycamore Acdmy Proj, 5.38%, 07/01/34 | 06/14/18 | $250,000 | $109.70 | $252,302 | $274,262 | 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 | 115.29 | 310,378 | 345,878 | 0.35 | ||
$562,680 | $620,140 | 0.63% |
Distributions paid from Tax-Exempt Income | Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | ||||
First Trust California Municipal High Income ETF | $1,983,260 | $ 6,992 | $ — | $ — | |||
First Trust New York Municipal High Income ETF | 22,190 | 7,810 | — | — |
Distributions paid from Tax-Exempt Income | Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | ||||
First Trust California Municipal High Income ETF | $1,554,337 | $ — | $ — | $ 72,665 |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust California Municipal High Income ETF | $ 6,826 | $ (1,800,225) | $ 6,776,717 | ||
First Trust New York Municipal High Income ETF | 23,335 | — | 227,875 |
Non-Expiring Capital Loss Carryforward | |
First Trust California Municipal High Income ETF | $ 1,800,225 |
First Trust New York Municipal High Income ETF | — |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | |||
First Trust California Municipal High Income ETF | $ (2,119) | $ 2,119 | $ — | ||
First Trust New York Municipal High Income ETF | — | — | — |
Purchases | Sales | ||
First Trust California Municipal High Income ETF | $ 38,441,365 | $ 22,892,182 | |
First Trust New York Municipal High Income ETF | 16,633,823 | 2,230,742 | |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value | |||||
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | $ — | Unrealized depreciation on futures contracts* | $ 134,219 |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value | |||||
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | $ — | Unrealized depreciation on futures contracts* | $ 22,109 |
Interest Rate Risk | ||
Statements of Operations Location | FCAL | FMNY |
Net realized gain (loss) on futures | $202,578 | $(1,013) |
Net change in unrealized appreciation (depreciation) on futures | (38,281) | (22,109) |
Individual Funds Included in the Trust | Statements of Operations | Statements of Changes in Net Assets | Financial Highlights |
First Trust California Municipal High Income ETF (FCAL) | For the year ended July 31, 2021 | For the years ended July 31, 2021 and 2020 | For the years ended July 31, 2021, 2020, 2019, 2018, and for the period from June 20, 2017 (commencement of operations) through July 31, 2017. |
First Trust New York Municipal High Income ETF (FMNY) | For the period from May 12, 2021 (commencement of operations) through July 31, 2021 |
Tax-Exempt Interest Dividends | Alternative Minimum Tax (AMT) | ||
First Trust California Municipal High Income ETF | 99.65% | 8.45% | |
First Trust New York Municipal High Income ETF | 100.00% | 5.84% |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
First Trust California Municipal High Income ETF (FCAL)
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016) | 211 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 211 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 211 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 211 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 211 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Ended
July 31, 2021
1 | |
2 | |
5 | |
8 | |
9 | |
22 | |
23 | |
24 | |
25 | |
26 | |
33 | |
34 | |
40 | |
42 |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 7/31/21 | Inception (11/1/17) to 7/31/21 | Inception (11/1/17) to 7/31/21 | |
Fund Performance | |||
NAV | 12.57% | 6.82% | 28.02% |
Market Price | 12.72% | 6.83% | 28.07% |
Index Performance | |||
Bloomberg Barclays Municipal Bond Index | 3.29% | 4.37% | 17.39% |
Blended Benchmark(1) | 7.43% | 5.49% | 22.15% |
(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 | 10.9% |
Government Obligation Bond - Limited Tax | 10.7 |
Special Assessment | 10.2 |
Industrial Development Bond | 8.6 |
Continuing Care Retirement Communities | 8.4 |
Dedicated Tax | 6.1 |
Hospital | 5.9 |
Government Obligation Bond - Unlimited Tax | 5.2 |
Higher Education | 5.0 |
Tobacco | 4.4 |
Insured | 2.8 |
Tax Increment | 2.7 |
Airport | 2.5 |
Local Housing | 2.1 |
Certificates of Participation | 2.1 |
Student Housing | 1.6 |
Gas | 1.5 |
Utility | 1.0 |
Skilled Nursing | 0.9 |
Mass Transit | 0.6 |
Housing | 0.4 |
Toll Road | 0.3 |
Water & Sewer | 0.2 |
Hotel | 0.2 |
Other Health | 0.2 |
Port | 0.0* |
Pre-refunded/Escrowed-to-maturity | 0.0* |
Cash | 5.5 |
Total | 100.0% |
* | Amount is less than 0.1%. |
Credit Rating(2) | % of Total Investments (including cash) |
AAA | 1.6% |
AA | 7.2 |
A | 8.9 |
BBB | 13.2 |
BB | 13.1 |
B | 2.8 |
CCC | 0.8 |
Not Rated | 46.5 |
SP-2/MIG1 | 0.4 |
Cash | 5.5 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 98.2% |
Net Other Assets and Liabilities** | 1.8 |
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.
• | Robust mutual fund and exchange-traded fund inflows helped support municipal bond prices. According to Refinitiv Lipper and J.P. Morgan data, year-to-date fund flows through July 28, 2021 totaled approximately $69.5 billion. Over the same period, high yield municipal fund flows totaled approximately $16.4 billion. Fund inflows have also been consistent, with municipal bond funds having experienced inflows in 62 of the past 63 weeks. |
• | New issue municipal bond supply has been nearly flat year to date. During the first seven months of 2021, new issue supply increased approximately 1.5% to $262.1 billion compared with $258.1 billion a year ago. Of note, when looking at municipal taxable new issue supply as a percentage of total new issue supply, over 23% of municipal bond supply has been brought to market as a taxable municipal bond from January 2020 through June 2021 compared to the previous five years when taxable municipals comprised less than 10% of total new issue municipal supply. |
• | According to data from Municipal Market Analytics, Inc., the par value of defaults are lower year-to-date compared to the previous two years. The number of municipal bond defaults year-to-date through July 2021 total 36, compared to 50 defaults for the same year-to-date period in 2020 and 35 defaults for the same year-to-date period in 2019. Defaulting municipal securities have been especially centered in the senior living sector which has been particularly hard hit by the coronavirus (“COVID-19”) pandemic with many facilities experiencing lower occupancy and debt service coverage. |
• | The CARES Act and American Rescue Plan Act legislation helped stabilize many municipal bond issuing borrowers, with tens of billions of dollars made available to states, cities, K-12 education, hospitals, mass transportation, and universities, among the many benefitted sectors. |
• | As a result of these factors, municipal bond credit spreads have tightened dramatically from April of 2021 for all credit rating categories. In particular, credit spreads tightened substantially for BBB and high yield municipal securities whereby in many cases spreads are now tighter than pre-COVID-19 levels. |
Beginning Account Value February 1, 2021 | Ending Account Value July 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 | $1,054.90 | 0.55% | $2.80 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.07 | 0.55% | $2.76 |
(a) | These expense ratios reflect expense waivers. See Note 3 in the Notes to Financial Statements. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (February 1, 2021 through July 31, 2021), multiplied by 181/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 98.2% | ||||||||
American Samoa – 0.3% | ||||||||
$750,000 | American Samoa AS Econ Dev Auth Gen Rev, Ser A (a) | 5.00% | 09/01/38 | $944,058 | ||||
Arizona – 2.7% | ||||||||
780,000 | AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj (a) | 5.00% | 07/01/39 | 930,898 | ||||
750,000 | AZ St Indl Dev Auth Edu Rev Doral Acdmy NV Fire Mesa & Red Rock Cmps Proj, Ser A (a) | 5.00% | 07/15/39 | 869,685 | ||||
400,000 | AZ St Indl Dev Auth Edu Rev Lone Mountain Cmps Proj, Ser A (a) | 5.00% | 12/15/39 | 467,224 | ||||
1,255,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser D (a) | 4.00% | 07/01/27 | 1,390,982 | ||||
500,000 | AZ St Indl Dev Auth Edu Rev Somerset Acdmy of Lv Aliante & Skye Canyon Cmps Proj, Ser A (a) | 4.00% | 12/15/41 | 557,894 | ||||
500,000 | AZ St Indl Dev Auth Edu Rev, Ser A (a) | 5.00% | 07/15/40 | 578,579 | ||||
710,000 | AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan Fd Social Bonds Equitable Sch Revolving Fund, Ser A | 4.00% | 11/01/40 | 843,816 | ||||
500,000 | Glendale AZ Indl Dev Auth Sr Living Facs Rev Royal Oaks Inspirata Pointe Proj, Ser A | 5.00% | 05/15/41 | 578,720 | ||||
1,000,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Schs Proj Auth, Ser B (a) | 4.00% | 07/01/29 | 1,136,921 | ||||
100,000 | Phoenix AZ Indl Dev Auth Stdt Hsg Rev Ref Downtown Phoenix Stdt Hsg LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/27 | 123,096 | ||||
105,000 | Pima Cnty AZ Indl Dev Auth Edu Rev Fac American Leadership Acdmy Proj (a) | 4.00% | 06/15/22 | 106,994 | ||||
7,584,809 | ||||||||
Arkansas – 0.5% | ||||||||
1,250,000 | AR St Dev Fin Auth Hlthcare Facs Rev Carti Surgery Ctr Proj, Ser B | 4.00% | 07/01/52 | 1,346,370 | ||||
California – 8.1% | ||||||||
250,000 | CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Green Bond, Ser A (a) | 5.00% | 11/15/46 | 293,964 | ||||
250,000 | CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Green Bond, Ser A (a) | 5.00% | 11/15/51 | 292,948 | ||||
750,000 | CA Pub Fin Auth Sr Living Rev Green Bond Temps 70 Enso Vlg Proj, Ser B-2 (a) | 2.38% | 11/15/28 | 763,094 | ||||
1,825,000 | CA St Infra & Econ Dev Bank Lease Rev Green Bond | 5.00% | 08/01/44 | 2,319,143 | ||||
450,000 | CA St Muni Fin Auth Chrt Sch Rev, Ser A (a) | 5.50% | 06/01/38 | 514,764 | ||||
205,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | 251,446 | ||||
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 | 274,661 | ||||
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 | 551,821 | ||||
750,000 | CA St Poll Control Fin Auth Wtr Furnishing Rev, AMT (a) | 5.00% | 07/01/37 | 790,344 | ||||
125,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No 1 | 4.00% | 09/01/28 | 144,705 | ||||
135,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No 1 | 4.00% | 09/01/29 | 157,849 | ||||
1,400,000 | CA St Stwd Cmntys Dev Auth Stwd Rev Dev Auth, Ser 2021A | 4.00% | 09/02/41 | 1,592,462 | ||||
550,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/33 | 659,084 | ||||
2,000,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev Union S Bay Social Bonds, Ser A-2 (a) | 4.00% | 07/01/56 | 2,193,639 | ||||
465,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 4.00% | 09/01/46 | 519,784 | ||||
1,375,000 | Los Angeles CA Dept of Arpts Arpt Rev Subord Ref, Ser A, AMT | 4.00% | 05/15/44 | 1,603,840 | ||||
1,000,000 | Marysville CA Jt Unif Sch Dist Green Bond, 2021 Energy Efficiency Proj, COPS, BAM | 4.00% | 06/01/39 | 1,171,528 | ||||
300,000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (a) | 5.00% | 10/01/42 | 360,871 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$450,000 | Palm Desert CA Spl Tax Ref Univ Park | 4.00% | 09/01/41 | $491,792 | ||||
235,000 | Riverside CA Unif Sch Dist Cmnty Facs Dt #33 Citrus Heights II Spl Tax | 4.00% | 09/01/29 | 271,932 | ||||
285,000 | Riverside CA Unif Sch Dist Cmnty Facs Dt #33 Citrus Heights II Spl Tax | 4.00% | 09/01/34 | 324,514 | ||||
400,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 4.00% | 09/01/41 | 454,885 | ||||
1,000,000 | Sacramento CA Spl Tax | 4.00% | 09/01/41 | 1,146,591 | ||||
2,010,000 | San Francisco CA City & Cnty, Ser B-1 | 4.00% | 06/15/39 | 2,440,588 | ||||
1,000,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021 | 4.00% | 09/01/41 | 1,141,167 | ||||
1,000,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021 | 4.00% | 09/01/51 | 1,131,652 | ||||
850,000 | San Luis Obispo Ca Cmnty Facs Dist #2019-1 Spl Tax | 4.00% | 09/01/39 | 989,089 | ||||
22,848,157 | ||||||||
Colorado – 14.7% | ||||||||
1,125,000 | Allison Vly Met Dist #2 CO Ref | 4.70% | 12/01/47 | 1,206,841 | ||||
1,075,000 | Aspen Street Met Dist CO, Ser A | 5.13% | 12/01/50 | 1,124,795 | ||||
1,000,000 | Baseline Met Dist #1 CO Spl Rev, Ser A | 5.00% | 12/01/51 | 1,076,051 | ||||
1,000,000 | Bennett Ranch Met Dist #1 CO, Ser A | 5.00% | 12/01/51 | 1,091,221 | ||||
525,000 | Brighton Crossing Met Dist #6 CO, Ser A | 5.00% | 12/01/35 | 592,880 | ||||
1,030,000 | Brighton Crossing Met Dist #6 CO, Ser A | 5.00% | 12/01/40 | 1,153,394 | ||||
735,000 | Broadway Station Met Dist No 2 CO, Ser A | 5.00% | 12/01/35 | 810,321 | ||||
1,440,000 | Broomfield Vlg CO Met Dist #2 Ref, Ser A-1 (a) | 5.00% | 12/01/49 | 1,597,935 | ||||
3,500,000 | Canyon Pines Met Dist CO Spl Impt Dist #1 Spl Assmnt Rev Spl Impt Dist No 1, Ser A-2 | 3.75% | 12/01/40 | 3,429,051 | ||||
1,000,000 | Cascade Ridge Met Dist CO | 5.00% | 12/01/51 | 1,013,408 | ||||
515,000 | Chambers Highpoint Met Dist #2 CO | 5.00% | 12/01/41 | 554,919 | ||||
835,000 | Chambers Highpoint Met Dist #2 CO | 5.00% | 12/01/51 | 886,501 | ||||
150,000 | CO Eductnl & Cultural Auth Rev Ref W Ridge Acdmy Chrt Sch Proj, Ser A | 5.00% | 06/01/27 | 167,587 | ||||
1,000,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp | 5.00% | 12/15/45 | 1,095,098 | ||||
850,000 | CO St Hlth Facs Auth Hosp Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/38 | 1,004,410 | ||||
625,000 | CO St Hlth Facs Auth Hosp Rev Sr Living Ralston Creek Arvada Proj, Ser A | 5.25% | 11/01/32 | 598,327 | ||||
500,000 | Denver CO Intl Busn Ctr CO Met Dist #1 Subord, Ser B | 6.00% | 12/01/48 | 544,229 | ||||
1,015,000 | E-86 Met Dist CO, Ser A | 5.13% | 12/01/51 | 1,061,337 | ||||
1,700,000 | Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr Bonds, Ser A (a) | 5.00% | 12/01/41 | 1,872,066 | ||||
1,510,000 | Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr Bonds, Ser A (a) | 5.00% | 12/01/51 | 1,650,101 | ||||
650,000 | Highlands Met Dist #1 CO | 4.00% | 12/01/31 | 685,853 | ||||
540,000 | Highlands Met Dist #1 CO | 5.00% | 12/01/41 | 587,673 | ||||
1,675,000 | Horizon Met Dist #2 CO (a) | 4.50% | 12/01/51 | 1,723,558 | ||||
900,000 | Hunters Overlook Metro Dist #5 CO Sr Bonds, Ser A | 5.00% | 12/01/39 | 985,836 | ||||
500,000 | Independence Met Dist #3 CO, Ser A | 6.25% | 12/01/49 | 542,993 | ||||
575,000 | Jefferson Ctr CO Met Dist #1 Spl Rev, Ser A-2 | 4.13% | 12/01/40 | 615,033 | ||||
875,000 | Lanterns Met Dist #1 CO, Ser A | 5.00% | 12/01/39 | 955,715 | ||||
1,000,000 | Painted Prairie Pub Impt Auth CO | 4.00% | 12/01/29 | 1,090,086 | ||||
500,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/34 | 582,299 | ||||
500,000 | Peak Met Dist #1 CO, Ser A (a) | 4.00% | 12/01/35 | 541,526 | ||||
500,000 | Peak Met Dist #1 CO, Ser A (a) | 5.00% | 12/01/41 | 558,536 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado (Continued) | ||||||||
$890,000 | Prairie Ctr Met Dist #7 CO | 4.13% | 12/15/36 | $970,627 | ||||
1,500,000 | Pueblo CO Urban Renewal Auth Tax Incr Rev Auth Evraz Proj Tax Incr Rev, Ser A, CIBS (a) | 4.75% | 12/01/45 | 1,735,749 | ||||
500,000 | Regl CO Transprtn Dist Priv Activity Rev Ref Denver Transit Partners Eagle P3 Proj, Ser A | 5.00% | 07/15/27 | 621,403 | ||||
325,000 | Regl CO Transprtn Dist Priv Activity Rev Ref Denver Transit Partners Eagle P3 Proj, Ser A | 5.00% | 07/15/28 | 413,622 | ||||
300,000 | Regl CO Transprtn Dist Priv Activity Rev Ref Denver Transit Partners Eagle P3 Proj, Ser A | 5.00% | 07/15/29 | 389,870 | ||||
560,000 | Stc Met Dist #2 CO Ref, Ser A | 3.00% | 12/01/25 | 591,338 | ||||
1,000,000 | Stc Met Dist #2 CO Ref, Ser A | 5.00% | 12/01/38 | 1,101,490 | ||||
1,000,000 | Sterling Ranch Met Dist #1 CO | 5.00% | 12/01/40 | 1,115,114 | ||||
500,000 | Trails at Crowfoot Met Dist #3 CO Sr Ser, Ser A | 5.00% | 12/01/39 | 544,420 | ||||
1,200,000 | Transport Met Dist #3 CO MDD, Ser 2021-A-1 | 5.00% | 12/01/41 | 1,362,238 | ||||
650,000 | Westerly Met Dist #4 CO Sr, Ser A | 5.00% | 12/01/40 | 725,588 | ||||
740,000 | Willow Bend Met Dist CO Sr, Ser A | 5.00% | 12/01/39 | 806,665 | ||||
41,777,704 | ||||||||
Connecticut – 1.6% | ||||||||
250,000 | Bridgeport CT, Ser A, BAM | 5.00% | 02/01/31 | 319,725 | ||||
540,000 | CT St Hlth & Eductnl Facs Auth Rev Mclean Issue, Ser A (a) | 5.00% | 01/01/55 | 605,478 | ||||
250,000 | CT St Hlth & Eductnl Facs Auth Rev Quinnipiac Univ Ref, Ser M | 5.00% | 07/01/36 | 294,715 | ||||
250,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Quinnipiac Univ, Ser L | 5.00% | 07/01/31 | 288,299 | ||||
1,500,000 | Harbor Point CT Infra Impt Dist Spl Oblig Rev Ref Harbor Point Proj Ltd (a) | 5.00% | 04/01/39 | 1,747,548 | ||||
1,000,000 | Univ of CT CT, Ser A | 5.00% | 11/01/35 | 1,266,995 | ||||
4,522,760 | ||||||||
Delaware – 0.2% | ||||||||
529,000 | Millsboro DE Spl Oblig Ref Plantation Lakes Spl Dev Dist (a) | 5.00% | 07/01/28 | 587,655 | ||||
District of Columbia – 0.6% | ||||||||
1,500,000 | DC Rev Rocketship DC Oblig Grp, Ser A (a) | 5.00% | 06/01/51 | 1,782,606 | ||||
Florida – 10.2% | ||||||||
935,000 | Alachua Cnty FL Hlth Facs Auth Shands Teaching Hosp & Clinics Inc, Ser A | 4.00% | 12/01/49 | 1,098,574 | ||||
1,125,000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, Ser 2021 | 4.00% | 05/01/52 | 1,193,978 | ||||
200,000 | Capital Region FL CDD Rev Ref Capital Impt, Ser A-1 | 4.13% | 05/01/23 | 204,548 | ||||
445,000 | Capital Trust Agy FL Eductnl Facs Rev Academir Chrt Schs Inc Proj, Ser A (a) | 4.00% | 07/01/41 | 491,741 | ||||
525,000 | Capital Trust Agy FL Eductnl Facs Rev Academir Chrt Schs Inc Proj, Ser A (a) | 4.00% | 07/01/51 | 571,592 | ||||
200,000 | Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory Sch Inc Proj, Ser A | 4.00% | 08/01/30 | 227,338 | ||||
300,000 | Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory Sch Inc Proj, Ser A | 5.00% | 08/01/40 | 363,584 | ||||
1,500,000 | Capital Trust Agy FL Rev Sr Edu Growth Fund LLC Chrt Sch Port Proj, Ser A-1 (a) | 5.00% | 07/01/56 | 1,791,001 | ||||
650,000 | Coco Palms FL CDD Spl Assmnt | 4.50% | 05/01/32 | 720,764 | ||||
1,000,000 | Epperson N CDD FL Capital Impt Rev Assmnt Area #2 | 4.00% | 05/01/51 | 1,054,471 | ||||
580,000 | Epperson Ranch CDD FL Capital Impt Rev, Ser A-1 | 5.00% | 11/01/28 | 628,614 | ||||
2,000,000 | FL Dev Fin Corp Surface Tranprtn Fac Rev Green Bond Brightline Passenger Rail Remk, Ser B, AMT (a) | 7.38% | 01/01/49 | 2,209,921 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$1,385,000 | FL St Dev Fin Corp Eductnl Facs Rev Ref Global Outreach Chrt Acdmy Proj, Ser A (a) | 4.00% | 06/30/56 | $1,490,504 | ||||
1,000,000 | FL St Dev Fin Corp Sr Living Rev Ref Glenridge on Palmer Ranch Proj | 5.00% | 06/01/51 | 1,161,320 | ||||
1,000,000 | FL St Dev Fin Corp Sr Living Rev Ref Mayflower Retmnt Cmnty Proj, Ser A (a) | 4.00% | 06/01/55 | 1,125,602 | ||||
1,000,000 | Hills Minneola Cmnty Dev Dist FL Spl Assmnt Rev S Parcel Assmnt Area (a) | 4.00% | 05/01/40 | 1,083,061 | ||||
1,000,000 | Martin Cnty FL Hlth Facs Auth Ref Cleveland Clinic Hlth Sys Oblig Grp Hosp Revs, Ser A | 4.00% | 01/01/46 | 1,170,990 | ||||
85,000 | Miami-Dade Cnty FL Eductnl Facs Auth Rev Ref Univ Miami, Ser A | 5.00% | 04/01/31 | 98,284 | ||||
1,250,000 | Mirada II Cmnty Dev Dist FL Cap Impt Rev | 4.00% | 05/01/51 | 1,319,154 | ||||
200,000 | N Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 4.50% | 05/01/40 | 219,957 | ||||
210,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Orlando Hlth Inc, Ser A | 5.00% | 10/01/36 | 254,326 | ||||
1,000,000 | Palm Beach Cnty FL Rev Lynn Univ Hsg Proj, Ser A (a) | 5.00% | 06/01/57 | 1,210,791 | ||||
465,000 | Parkland Preserve CDD FL Spl Assmnt Rev, Ser A | 5.25% | 05/01/39 | 543,018 | ||||
1,500,000 | Polk Cnty FL Indl Dev Auth Mineral Dev LLC Secondary Phosphate Tailings Recovery Proj (a) | 5.88% | 01/01/33 | 1,935,935 | ||||
1,200,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/46 | 1,339,832 | ||||
250,000 | SE Overtown Park W Cmnty Redev Agy FL Tax, Ser A-1 (a) | 5.00% | 03/01/30 | 275,336 | ||||
500,000 | Shell Point Cmnty Dev Dist FL Spl Assmnt (a) | 5.25% | 11/01/39 | 578,028 | ||||
1,000,000 | Shingle Creek at Bronson CDD FL Spl Assmnt | 4.00% | 06/15/51 | 1,064,584 | ||||
750,000 | Six Mile Creek FL CDD Capital Impt Rev Assmnt Area 3 Phase 1 | 4.00% | 05/01/51 | 788,301 | ||||
1,000,000 | V-Dana CDD FL Spl Assmnt CDD Assmnt Area One 2021 Proj | 4.00% | 05/01/52 | 1,055,323 | ||||
230,000 | Villamar CDD FL Spl Assmnt (b) | 4.00% | 05/01/29 | 249,149 | ||||
1,250,000 | Westside Haines City CDD Spl Assmnt Assmnt Area One Proj | 4.00% | 05/01/52 | 1,309,599 | ||||
28,829,220 | ||||||||
Georgia – 1.0% | ||||||||
1,000,000 | Atlanta GA Arpt Passenger Fac Charge Rev Arpt Rev Subord, Ser D, AMT | 4.00% | 07/01/38 | 1,183,134 | ||||
55,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/31 | 59,896 | ||||
500,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/42 | 540,932 | ||||
500,000 | Geo L Smith II GA Congress Ctr Auth Convention Ctr Hotel Second Tier, Ser B (a) | 5.00% | 01/01/36 | 619,134 | ||||
400,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/30 | 516,435 | ||||
2,919,531 | ||||||||
Guam – 0.4% | ||||||||
250,000 | Guam Govt Busn Privilege Tax Rev Ref, Ser-D | 5.00% | 11/15/35 | 287,401 | ||||
235,000 | Guam Govt Busn Privilege Tax Rev, Ser B-1 | 5.00% | 01/01/37 | 239,593 | ||||
500,000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A | 5.00% | 01/01/50 | 619,703 | ||||
1,146,697 | ||||||||
Idaho – 0.1% | ||||||||
260,000 | ID St Hlth Facs Auth Rev Ref Vly Vista Care Corp, Ser A | 4.00% | 11/15/27 | 268,651 | ||||
Illinois – 4.4% | ||||||||
275,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (c) | 12/01/22 | 273,066 | ||||
300,000 | Chicago IL Brd of Edu Ref Dedicated, Ser C | 5.00% | 12/01/30 | 370,971 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$1,250,000 | Chicago IL Brd of Edu Ref, Ser B | 5.00% | 12/01/36 | $1,621,974 | ||||
1,000,000 | Chicago IL Brd of Edu, Ser A | 5.00% | 12/01/34 | 1,302,922 | ||||
250,000 | Chicago IL Brd of Edu, Ser A | 5.00% | 12/01/35 | 324,909 | ||||
100,000 | Chicago IL Brd of Edu, Ser A | 5.50% | 12/01/39 | 101,598 | ||||
400,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien, Ser A, AMT | 5.00% | 01/01/37 | 500,944 | ||||
400,000 | Chicago IL Ref 2003B Remk | 5.25% | 01/01/29 | 457,649 | ||||
20,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/25 | 20,363 | ||||
515,000 | Chicago IL Ref, Ser C, CABS | (c) | 01/01/25 | 485,939 | ||||
360,000 | Hillside IL Tax Incr Rev Ref | 5.00% | 01/01/24 | 375,919 | ||||
100,000 | IL St | 5.00% | 04/01/24 | 112,192 | ||||
500,000 | IL St | 5.50% | 05/01/26 | 612,338 | ||||
200,000 | IL St | 5.00% | 06/01/27 | 239,700 | ||||
250,000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/30 | 302,966 | ||||
250,000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/31 | 301,732 | ||||
100,000 | IL St Fin Auth Stdt Hsg & Acad Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/26 | 116,814 | ||||
300,000 | IL St Fin Auth Stdt Hsg & Acad Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/27 | 359,076 | ||||
145,000 | IL St Fin Auth Stdt Hsg & Acad Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/28 | 174,913 | ||||
2,500,000 | IL St, Ser C | 5.00% | 11/01/29 | 3,074,921 | ||||
650,000 | IL St, Ser D | 5.00% | 11/01/24 | 744,920 | ||||
500,000 | Morton Grove IL Tax Incr Rev Sawmill Station Redev Proj | 5.00% | 01/01/39 | 520,840 | ||||
12,396,666 | ||||||||
Indiana – 2.9% | ||||||||
1,370,000 | Anderson IN Mf Rev Sweet Galilee at the Wigwam Proj, Ser A | 5.38% | 01/01/40 | 1,459,881 | ||||
1,000,000 | Evansville IN Mf Hsg Rev Silver Birch Evansville Proj | 5.45% | 01/01/38 | 1,039,374 | ||||
250,000 | Fort Wayne IN Mf Hsg Rev Silver Birch at Cook Road (a) | 5.30% | 01/01/32 | 263,717 | ||||
1,500,000 | IN St Fin Auth Envrnmntl Rev Ref US Steel Corp Proj, Ser A | 4.13% | 12/01/26 | 1,642,008 | ||||
665,000 | IN St Fin Auth Hosp Rev Goshen Hlth, Ser A | 4.00% | 11/01/37 | 761,368 | ||||
200,000 | IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Acdmy Proj, Ser A (d) | 5.25% | 07/01/28 | 232,637 | ||||
1,200,000 | IN St Fin Auth Rev Ref BHI Sr Living, Ser A | 4.00% | 11/15/41 | 1,412,856 | ||||
600,000 | Plainfield IN Mf Hsg Rev Glasswater Creek Proj | 5.38% | 09/01/38 | 621,371 | ||||
700,000 | Terre Haute IN Mf Hsg Rev Silver Birch of Terre Haute Proj | 5.10% | 01/01/32 | 727,103 | ||||
8,160,315 | ||||||||
Iowa – 0.8% | ||||||||
2,000,000 | Tobacco Stlmt Auth LA Tobacco Stlmt Rev Ref Subord Sr, Class 2, Ser B-1 | 4.00% | 06/01/49 | 2,363,006 | ||||
Kansas – 0.4% | ||||||||
1,050,000 | Goddard KS Sales Tax Spl Oblg Rev Ref Olympic Park Star Bond Proj | 3.60% | 06/01/30 | 1,064,415 | ||||
Kentucky – 1.0% | ||||||||
1,515,000 | Hazard KY Hlthcare Rev Ref Appalachian Regl Hlthcare Proj | 4.00% | 07/01/39 | 1,817,132 | ||||
750,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser B (Mandatory put 01/01/25) | 4.00% | 01/01/49 | 834,152 | ||||
230,000 | KY St Univ KY St Univ Proj, COPS, BAM | 4.00% | 11/01/41 | 273,768 | ||||
2,925,052 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Louisiana – 1.2% | ||||||||
$200,000 | Monroe LA Wtr Rev, BAM | 5.00% | 11/01/32 | $256,210 | ||||
900,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/30 | 1,087,596 | ||||
1,000,000 | Saint James Parish LA Rev NuStar Logistics LP Proj Remk, Ser 2010 (a) | 6.35% | 07/01/40 | 1,353,277 | ||||
500,000 | Saint James Parish LA Rev Var NuStar Logistics LP Proj Remk, Ser 2010B (Mandatory put 06/01/30) (a) | 6.10% | 12/01/40 | 666,556 | ||||
3,363,639 | ||||||||
Maryland – 1.7% | ||||||||
175,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 2.95% | 06/01/27 | 186,084 | ||||
185,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.05% | 06/01/28 | 196,607 | ||||
200,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.15% | 06/01/29 | 214,484 | ||||
190,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.20% | 06/01/30 | 202,744 | ||||
900,000 | Frederick Cnty MD Tax Incr & Spl Tax Ref Jefferson Technology Park Proj, Ser B (a) | 4.63% | 07/01/43 | 1,088,897 | ||||
1,000,000 | MD St Econ Dev Corp Spl Oblig Port Covington Proj | 4.00% | 09/01/50 | 1,156,749 | ||||
1,150,000 | MD St Econ Dev Corp Stdt Hsg Rev Morgan St Univ Proj | 5.00% | 07/01/50 | 1,431,358 | ||||
300,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Adventist Hlthcare | 4.00% | 01/01/38 | 348,360 | ||||
4,825,283 | ||||||||
Massachusetts – 1.1% | ||||||||
1,000,000 | MA St Bay Transprtn Auth Sales Tax Rev Ref Sr, Ser B | 5.25% | 07/01/30 | 1,317,081 | ||||
500,000 | MA St Dev Fin Agy Rev Linden Ponds Inc Fac (a) | 5.00% | 11/15/28 | 577,517 | ||||
1,000,000 | MA St Dev Fin Agy Rev Umass Dartmouth Stdt Hsg Proj | 5.00% | 10/01/48 | 1,156,567 | ||||
3,051,165 | ||||||||
Michigan – 0.7% | ||||||||
300,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/31 | 337,279 | ||||
860,000 | Detroit MI Social Bonds, Ser A | 5.00% | 04/01/38 | 1,074,222 | ||||
635,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 4.00% | 11/15/46 | 714,689 | ||||
2,126,190 | ||||||||
Minnesota – 1.8% | ||||||||
1,500,000 | Duluth MN Econ Dev Auth Rev Ref Benedictine Hlth Sys, Ser A | 4.00% | 07/01/36 | 1,647,605 | ||||
930,000 | Duluth MN Econ Dev Auth Rev Ref Benedictine Hlth Sys, Ser A | 4.00% | 07/01/41 | 1,014,678 | ||||
350,000 | Duluth MN Indep Sch Dist #709 Ref, Ser B, COPS | 5.00% | 02/01/28 | 435,463 | ||||
150,000 | Minneapolis MN Stdt Hsg Rev Riverton Cmnty Hsg Proj (a) | 3.80% | 08/01/27 | 159,231 | ||||
105,000 | Saint Paul MN Hsg & Redev Auth Chrt Sch Lease Rev Ref, Ser A | 5.00% | 12/01/30 | 117,061 | ||||
850,000 | Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj, Ser A | 4.00% | 07/01/41 | 947,877 | ||||
660,000 | Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj, Ser A | 4.00% | 07/01/51 | 728,428 | ||||
5,050,343 | ||||||||
Missouri – 0.4% | ||||||||
275,000 | Bridgeton MO Spl Oblig Rev Ref, Ser A | 4.00% | 12/01/29 | 325,031 | ||||
80,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs | 5.00% | 02/01/35 | 87,015 | ||||
10,000 | MO St Hlth & Eductnl Facs Auth Med Rsrch Lutheran Svcs, Ser A | 5.00% | 02/01/29 | 11,720 | ||||
725,000 | Plaza at Noah’s Ark Cmnty Impt Dist Mo Tax Incr & Impt Ref | 3.00% | 05/01/30 | 744,177 | ||||
1,167,943 | ||||||||
Nevada – 0.9% | ||||||||
315,000 | Carson City NV Hosp Rev Ref Carson Tahoe Regl Med Ctr, Ser A | 5.00% | 09/01/25 | 369,938 | ||||
205,000 | N Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 4.00% | 06/01/29 | 232,215 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Nevada (Continued) | ||||||||
$700,000 | NV Dept of Busn & Ind NV Doral Acdmy, Ser A (a) | 5.00% | 07/15/37 | $775,154 | ||||
1,000,000 | Sparks NV Tourism Impt Dist #1 Rev Ref Sales Tax Sr, Ser A (a) | 2.75% | 06/15/28 | 1,047,500 | ||||
2,424,807 | ||||||||
New Hampshire – 0.6% | ||||||||
1,000,000 | Natl Fin Auth NH Rev Ref Green Bond, Ser B, AMT (Mandatory put 07/02/40) (a) | 3.75% | 07/01/45 | 1,076,455 | ||||
500,000 | NH St Hlth & Edu Facs Auth Rev Ref Sthrn NH Med Ctr | 5.00% | 10/01/37 | 593,075 | ||||
1,669,530 | ||||||||
New Jersey – 2.5% | ||||||||
1,000,000 | NJ St Covid-19 Go Emergency Bonds, Ser A | 4.00% | 06/01/30 | 1,243,933 | ||||
500,000 | NJ St Econ Dev Auth Rev Social Bonds, Ser QQQ | 4.00% | 06/15/36 | 604,698 | ||||
100,000 | NJ St Econ Dev Auth Spl Fac Rev Ref Port Newark Container Terminal LLC Proj, AMT | 5.00% | 10/01/25 | 116,306 | ||||
850,000 | NJ St Transprtn Trust Fund Auth Cap Apprec Transprtn Sys, Ser C, AMBAC | (c) | 12/15/25 | 817,335 | ||||
500,000 | NJ St Transprtn Trust Fund Auth Ref Transprtn Sys, Ser A | 5.00% | 12/15/30 | 632,763 | ||||
1,500,000 | NJ St Transprtn Trust Fund Auth Ref, Ser A | 4.00% | 06/15/36 | 1,818,028 | ||||
500,000 | Tobacco Stlmt Fing Corp NJ Ref, Ser A | 5.00% | 06/01/27 | 625,333 | ||||
1,000,000 | Tobacco Stlmt Fing Corp NJ Ref, Subser B | 5.00% | 06/01/46 | 1,196,166 | ||||
7,054,562 | ||||||||
New York – 6.5% | ||||||||
785,000 | Build NYC Res Corp NY Rev NY Preparatory Chrt Sch Proj, Ser A | 4.00% | 06/15/41 | 883,721 | ||||
785,000 | Build NYC Res Corp NY Rev NY Preparatory Chrt Sch Proj, Ser A | 4.00% | 06/15/51 | 869,269 | ||||
375,000 | Build NYC Res Corp NY Rev Shefa Sch Proj, Ser A (a) | 5.00% | 06/15/51 | 453,471 | ||||
1,250,000 | Dutchess Cnty NY Loc Dev Corp Rev Ref Bard Clg Proj, Ser A (a) | 5.00% | 07/01/40 | 1,577,948 | ||||
1,500,000 | Huntington NY Loc Dev Corp Rev Fountaingate Garden Proj, Ser A | 5.25% | 07/01/56 | 1,666,603 | ||||
425,000 | Met Transprtn Auth NY Rev Ref, Ser C-2A | 4.00% | 11/15/38 | 481,678 | ||||
1,250,000 | Met Transprtn Auth NY Rev, Ser A-2S, BANS | 4.00% | 02/01/22 | 1,273,209 | ||||
2,000,000 | New York City NY Transitional Fin Auth Rev Subord Future Tax Secured, Ser C-1 | 4.00% | 11/01/40 | 2,385,268 | ||||
500,000 | NY St Transprtn Dev Corp Exempt Fac Rev NY St Thruway Srvc Areas Proj, AMT | 4.00% | 10/31/46 | 594,306 | ||||
1,000,000 | NY St Transprtn Dev Corp Spl Fac Rev Delta Air Lines Inc Laguardia Arpt Terminals C&D Redev, AMT | 5.00% | 10/01/35 | 1,303,497 | ||||
500,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref American Airlines Inc John F. Kennedy Intl Arpt Proj, AMT | 3.00% | 08/01/31 | 542,719 | ||||
1,000,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref John F. Kennedy Intl Arpt Proj, AMT | 5.25% | 08/01/31 | 1,218,769 | ||||
400,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser A, AMT | 5.00% | 12/01/31 | 529,825 | ||||
450,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser A, AMT | 5.00% | 12/01/32 | 592,743 | ||||
450,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser A, AMT | 5.00% | 12/01/33 | 590,744 | ||||
150,000 | Troy NY Capital Res Corp Rev Rensselaer Polytechnic Institute Proj Ref | 4.00% | 09/01/34 | 182,143 | ||||
2,000,000 | Tsasc Inc NY Tsasc Inc Rev Ref Turbo, Subser B | 5.00% | 06/01/45 | 2,230,448 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$100,000 | Westchester Co NY Local Dev Corp Rev Ref Miriam Osborn Memorial Home Assn Proj | 5.00% | 07/01/34 | $114,530 | ||||
840,000 | Yonkers NY Econ Dev Corp Eductnl Rev Chrt Sch Edu Excellence Proj, Ser A | 5.00% | 10/15/39 | 1,004,423 | ||||
18,495,314 | ||||||||
North Carolina – 1.8% | ||||||||
1,000,000 | NC St Agric & Tech Univ Ref Gen, Ser A | 5.00% | 10/01/40 | 1,180,111 | ||||
2,500,000 | NC St Med Care Commn Hlthcare Facs Rev Lutheran Svcs For The Aging Ref, Ser A | 4.00% | 03/01/51 | 2,757,498 | ||||
690,000 | NC St Med Care Commn Retmnt Facs Rev Pennybyrn at Maryfield Proj, Ser A | 5.00% | 10/01/45 | 787,257 | ||||
450,000 | NC St Med Care Commn Retmnt Facs Rev The Forest at Duke Proj | 4.00% | 09/01/51 | 523,782 | ||||
5,248,648 | ||||||||
Ohio – 5.0% | ||||||||
750,000 | Allen Cnty OH Hosp Facs Rev Ref Bon Secours Mercy Hlth Inc, Ser A | 5.00% | 12/01/35 | 987,210 | ||||
5,600,000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Class 2, Ser B-2 | 5.00% | 06/01/55 | 6,590,972 | ||||
750,000 | OH St Air Quality Dev Auth Exempt Facs Rev AMG Vanadium Proj, AMT (a) | 5.00% | 07/01/49 | 884,403 | ||||
1,200,000 | OH St Air Quality Dev Auth Ref OH Vly Elec Corp Proj, Ser A | 3.25% | 09/01/29 | 1,344,215 | ||||
1,000,000 | OH St Hgr Eductnl Fac Commn Ref Rev Judson Oblig Grp 2020 Proj, Ser A | 5.00% | 12/01/45 | 1,180,090 | ||||
750,000 | OH St Hgr Eductnl Fac Commn Ref Univ of Dayton 2020 Proj | 4.00% | 02/01/36 | 900,009 | ||||
490,000 | Port of Gtr Cincinnati Dev Auth OH Rev (a) | 3.75% | 12/01/31 | 507,964 | ||||
1,500,000 | Sthrn OH Port Exempt Fac Rev Purecycle Proj, Ser A, AMT (a) | 7.00% | 12/01/42 | 1,752,889 | ||||
14,147,752 | ||||||||
Oklahoma – 1.1% | ||||||||
150,000 | OK St Dev Fin Auth Hlthsys Rev Ou Medicine Proj, Ser B | 5.00% | 08/15/26 | 179,370 | ||||
2,500,000 | OK St Dev Fin Auth Sr OK Proton Ctr, Ser A1 (a) | 7.25% | 09/01/51 | 3,070,102 | ||||
3,249,472 | ||||||||
Oregon – 1.9% | ||||||||
290,000 | Clackamas Cnty OR Hosp Fac Auth Rev Mary’s Woods at Marylhurst Inc Proj, Ser A | 5.00% | 05/15/26 | 324,765 | ||||
500,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A | 5.13% | 11/15/40 | 559,361 | ||||
1,150,000 | OR St Facs Auth Rev Ref Samaritan Hlth Svcs Proj, Ser A | 5.00% | 10/01/40 | 1,453,986 | ||||
250,000 | Yamhill Cnty OR Hosp Auth Ref Friendsview, Ser A | 5.00% | 11/15/51 | 294,863 | ||||
2,450,000 | Yamhill Cnty OR Hosp Auth Ref Friendsview, Ser A | 5.00% | 11/15/56 | 2,871,757 | ||||
5,504,732 | ||||||||
Pennsylvania – 5.3% | ||||||||
300,000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network Oblig Grp Issue, Ser A | 5.00% | 04/01/32 | 374,986 | ||||
1,280,000 | Berks Cnty PA Muni Auth Univ Rev Alvernia Univ Proj | 5.00% | 10/01/39 | 1,477,065 | ||||
100,000 | Chester Cnty PA Indl Dev Auth Renaissance Acdmy Chrt Sch | 5.00% | 10/01/34 | 108,020 | ||||
240,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Univ Proj Ref, Ser TT1 | 4.00% | 05/01/36 | 280,103 | ||||
740,000 | Kutztown PA Area Sch Dist, AGM | 4.00% | 03/15/37 | 883,684 | ||||
250,000 | Lancaster Cnty PA Hosp Auth Hlthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/28 | 294,502 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$515,000 | Lancaster Cnty PA Hosp Auth Hlthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/31 | $599,267 | ||||
300,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/37 | 335,870 | ||||
250,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/38 | 279,436 | ||||
1,700,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/46 | 1,879,528 | ||||
665,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/36 | 774,589 | ||||
350,000 | PA St Turnpike Commn Oil Franchise Tax Rev Ref Sub, Ser B | 5.00% | 12/01/30 | 428,956 | ||||
10,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/39 | 11,889 | ||||
1,000,000 | Philadelphia PA Arpt Rev Ref Priv Activity, AMT, AGM | 4.00% | 07/01/39 | 1,217,665 | ||||
900,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Ref String Theory Chrt Sch Proj (a) | 5.00% | 06/15/40 | 1,072,408 | ||||
215,000 | Philadelphia PA Auth for Indl Dev Revs Kipp Philadelphia Chrt Sch Proj, Ser A | 5.00% | 04/01/36 | 241,423 | ||||
2,250,000 | Southcentrl PA Gen Auth Rev Ref Wellspan Hlth Obligated Grp, Ser A | 4.00% | 06/01/44 | 2,626,469 | ||||
125,000 | W Cornwall Twp PA Muni Auth Ref Lebanon Vly Brethren Home Proj, Ser A | 4.00% | 11/15/41 | 146,793 | ||||
1,595,000 | Wilkes-Barre PA Area Sch Dist, BAM | 4.00% | 04/15/49 | 1,865,645 | ||||
14,898,298 | ||||||||
Puerto Rico – 1.8% | ||||||||
250,000 | Puerto Rico Cmwlth Ref Pub Impt, Ser A, AGM | 5.00% | 07/01/35 | 257,423 | ||||
1,559,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.50% | 07/01/34 | 1,731,040 | ||||
177,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (c) | 07/01/29 | 154,815 | ||||
1,195,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (c) | 07/01/33 | 898,672 | ||||
205,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2 | 4.33% | 07/01/40 | 233,487 | ||||
551,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2 Converted | 4.33% | 07/01/40 | 627,566 | ||||
1,050,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2A | 4.55% | 07/01/40 | 1,210,727 | ||||
5,113,730 | ||||||||
South Carolina – 1.6% | ||||||||
425,000 | Berkeley Cnty SC Assmnt Rev Nexton Impt Dist | 4.00% | 11/01/30 | 491,362 | ||||
230,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 5.00% | 12/01/31 | 242,475 | ||||
1,000,000 | SC Jobs Econ Dev Auth Kiawah Life Plan Vlg Inc Proj, Ser A (a) | 8.75% | 07/01/25 | 999,980 | ||||
580,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Woodlands at Furman Proj, Ser A | 5.00% | 11/15/42 | 665,089 | ||||
830,000 | SC St Jobs Econ Dev Auth Eductnl Facs Rev Green Chrt Schs Proj, Ser A (a) | 4.00% | 06/01/36 | 910,684 | ||||
1,000,000 | SC St Jobs Econ Dev Auth Eductnl Facs Rev Green Chrt Schs Proj, Ser A (a) | 4.00% | 06/01/56 | 1,060,460 | ||||
135,000 | SC St Jobs Econ Dev Auth Hlth Facs Rev Ref Lutheran Homes of SC Inc | 5.00% | 05/01/42 | 142,687 | ||||
4,512,737 | ||||||||
South Dakota – 0.3% | ||||||||
700,000 | Lincoln Cnty SD Econ Dev Rev Ref Augustana Clg Assoc Proj, Ser A | 4.00% | 08/01/41 | 808,264 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Tennessee – 1.7% | ||||||||
$25,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Stdt Hsg CDFI Phase I | 5.00% | 10/01/23 | $27,324 | ||||
440,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Lipscomb Univ Proj, Ser A | 5.00% | 10/01/36 | 546,600 | ||||
1,215,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Trevecca Nazarene Univ Proj, Ser B | 4.00% | 10/01/51 | 1,371,488 | ||||
1,000,000 | Tennergy Corp TN Gas Rev, Ser A (Mandatory put 09/01/28) | 4.00% | 12/01/51 | 1,203,362 | ||||
250,000 | TN Energy Acq Corp Cmdy Proj Rev The TN Energy Acq Corp Cmdy Proj, Ser A | 5.00% | 11/01/30 | 331,189 | ||||
500,000 | TN St Energy Acq Corp Gas Rev Proj, Ser A (Mandatory put 05/01/23) | 4.00% | 05/01/48 | 530,272 | ||||
730,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/26 | 879,770 | ||||
4,890,005 | ||||||||
Texas – 4.6% | ||||||||
610,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref, Ser A | 4.00% | 08/15/41 | 675,444 | ||||
50,000 | Centrl TX Regl Mobility Auth Rev Ref Sub Lien | 5.00% | 01/01/33 | 53,483 | ||||
556,000 | Crandall TX Spl Assmnt Rev Cartwright Ranch Pub Impt Dt Impt Area #1 Proj (a) | 4.25% | 09/15/41 | 558,706 | ||||
1,555,000 | Galveston Cnty TX Muni Util Dist #54 Ref | 3.00% | 12/01/37 | 1,564,423 | ||||
420,000 | Harris-Brazoria Cntys TX Muni Util Dist #509, AGM | 3.00% | 09/01/32 | 433,168 | ||||
1,250,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal E Proj, Ser A, AMT | 5.00% | 07/01/27 | 1,499,034 | ||||
125,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 150,020 | ||||
1,000,000 | Houston TX Arpt Sys Rev Sub, Ser A, AMT | 4.00% | 07/01/46 | 1,189,006 | ||||
250,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pid #1 (d) | 4.13% | 09/01/29 | 278,210 | ||||
500,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pid #1 (a) | 4.63% | 09/01/39 | 565,511 | ||||
375,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch (a) | 4.35% | 08/15/25 | 401,342 | ||||
1,250,000 | Lago Vista TX Spl Assmt Rev Ref Tessera On Lake Travis, Ser B (a) | 4.88% | 09/01/50 | 1,339,914 | ||||
445,000 | Leander TX Spl Assmnt Rev Crystal Springs Pub Impt Dist Proj Accd Inv (d) | 4.50% | 09/01/28 | 462,312 | ||||
1,285,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/39 | 1,632,090 | ||||
285,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/32 | 312,029 | ||||
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 | 220,368 | ||||
223,000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp Dist Major Imp Area Proj (a) | 3.75% | 09/15/31 | 224,994 | ||||
500,000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp Dist Major Imp Area Proj (a) | 4.13% | 09/15/41 | 505,315 | ||||
765,000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp Dist Major Imp Area Proj (a) | 4.25% | 09/15/51 | 769,672 | ||||
250,000 | TX St Transprtn Commn Central TX Turnpike Sys Rev Ref, Ser B | 5.00% | 08/15/37 | 281,791 | ||||
13,116,832 | ||||||||
Utah – 1.4% | ||||||||
1,000,000 | Med Sch Cmps Pub Infra Dist UT, Ser A (a) | 5.25% | 02/01/40 | 1,045,016 | ||||
500,000 | Red Bridge Pub Infra Dist #1 UT Sr Infra Dist, Ser 1-A (a) | 4.13% | 02/01/41 | 520,109 | ||||
1,000,000 | Red Bridge Pub Infra Dist #1 UT Sr Infra Dist, Ser 1-A (a) | 4.38% | 02/01/51 | 1,042,642 | ||||
475,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Mountain W Montessori Acdmy Proj, Ser A (a) | 5.00% | 06/15/39 | 549,381 |
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 Acdmy Proj, Ser A (a) | 5.00% | 06/15/39 | $750,173 | ||||
3,907,321 | ||||||||
Virginia – 0.3% | ||||||||
500,000 | Norfolk VA Redev & Hsg Auth Rev Ft Norfolk Retmnt Cmnty Harbors Edge Proj, Ser A | 5.00% | 01/01/34 | 540,832 | ||||
300,000 | Norfolk VA Redev & Hsg Auth Rev Ft Norfolk Retmnt Cmnty Harbors Edge Proj, Ser A | 4.38% | 01/01/39 | 319,080 | ||||
859,912 | ||||||||
Washington – 2.4% | ||||||||
560,000 | Kalispel Tribe of Indians Priority Dist WA Rev, Ser A (a) | 5.00% | 01/01/32 | 674,677 | ||||
1,000,000 | WA St Convention Ctr Pub Facs Dist Junior Lodging Tax Notes Green Bond | 4.00% | 07/01/31 | 1,194,237 | ||||
1,000,000 | WA St Hgr Edu Facs Auth Seattle Univ Proj Rev | 4.00% | 05/01/45 | 1,168,687 | ||||
230,000 | WA St Hlthcare Facs Auth Ref Fred Hutchinson Cancer Rsrch Ctr | 5.00% | 01/01/26 | 269,346 | ||||
245,000 | WA St Hlthcare Facs Auth Seattle Cancer Care Alliance (a) | 5.00% | 12/01/33 | 328,720 | ||||
855,000 | WA St Hlthcare Facs Auth Seattle Cancer Care Alliance (a) | 4.00% | 12/01/40 | 1,041,261 | ||||
710,000 | WA St Hsg Fin Commn Nonprofit Rev Spokane Int Acad Proj, Ser A (a) | 5.00% | 07/01/50 | 815,191 | ||||
997,710 | WA St Hsg Fin Commn Social Certificate, Ser A-1 | 3.50% | 12/20/35 | 1,178,754 | ||||
6,670,873 | ||||||||
West Virginia – 0.4% | ||||||||
1,000,000 | WV St Econ Dev Auth Sol Wst Disp Facs Var Arch Res Proj, AMT (Mandatory put 07/01/25) | 4.13% | 07/01/45 | 1,068,352 | ||||
Wisconsin – 1.3% | ||||||||
470,000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (a) | 4.00% | 06/15/30 | 531,332 | ||||
810,000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (a) | 5.00% | 06/15/40 | 949,035 | ||||
500,000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas Proj, Ser A (a) | 4.00% | 07/01/30 | 549,656 | ||||
500,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las Vegas Proj, Ser A (a) | 4.20% | 07/15/27 | 544,853 | ||||
375,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las Vegas Proj, Ser A (a) | 5.13% | 07/15/37 | 431,341 | ||||
160,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/27 | 191,706 | ||||
500,000 | Pub Fin Auth WI Rev Sr Bond WFCS Portfolio Projs, Ser A-1 (a) | 5.00% | 01/01/56 | 593,626 | ||||
3,791,549 |
Total Investments – 98.2% | 278,484,925 | ||
(Cost $259,892,238) (e) | |||
Net Other Assets and Liabilities – 1.8% | 4,975,918 | ||
Net Assets – 100.0% | $283,460,843 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury Long Bonds | Short | 21 | Sep 2021 | $ (3,459,094) | $(148,219) | |||||
U.S. Treasury Ultra 10-Year Notes | Short | 25 | Sep 2021 | (3,756,250) | (59,047) | |||||
Total Futures Contracts | $(7,215,344) | $(207,266) |
(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 July 31, 2021, securities noted as such amounted to $76,294,828 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 federal income tax purposes was $259,708,783. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $18,589,523 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $20,647. The net unrealized appreciation was $18,568,876. 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 |
CIBS | Current Interest Bonds |
COPS | Certificates of Participation |
NATL-RE | National Public Finance Guarantee Corp. |
ASSETS TABLE | ||||
Total Value at 7/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 278,484,925 | $ — | $ 278,484,925 | $ — |
LIABILITIES TABLE | ||||
Total Value at 7/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts** | $ (207,266) | $ (207,266) | $ — | $ — |
* | 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 $259,892,238) | $ 278,484,925 |
Cash | 15,959,290 |
Cash segregated as collateral for open futures contracts | 148,225 |
Interest receivable | 2,062,559 |
Total Assets | 296,654,999 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 13,045,900 |
Investment advisory fees | 126,287 |
Variation margin | 21,969 |
Total Liabilities | 13,194,156 |
NET ASSETS | $283,460,843 |
NET ASSETS consist of: | |
Paid-in capital | $ 267,818,893 |
Par value | 50,000 |
Accumulated distributable earnings (loss) | 15,591,950 |
NET ASSETS | $283,460,843 |
NET ASSET VALUE, per share | $56.69 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 5,000,002 |
INVESTMENT INCOME: | ||
Interest | $ 5,864,882 | |
Total investment income | 5,864,882 | |
EXPENSES: | ||
Investment advisory fees | 1,155,219 | |
Total expenses | 1,155,219 | |
Fees waived by the investment advisor | (247,547) | |
Net expenses | 907,672 | |
NET INVESTMENT INCOME (LOSS) | 4,957,210 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | 204,921 | |
Futures contracts | 262,511 | |
Net realized gain (loss) | 467,432 | |
Net increase from payment by the advisor | 469 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 14,769,413 | |
Futures contracts | (91,969) | |
Net change in unrealized appreciation (depreciation) | 14,677,444 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 15,145,345 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 20,102,555 |
Year Ended 7/31/2021 | Year Ended 7/31/2020 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 4,957,210 | $ 2,881,986 | |
Net realized gain (loss) | 467,432 | (3,389,878) | |
Net increase from payment by the advisor | 469 | — | |
Net change in unrealized appreciation (depreciation) | 14,677,444 | 1,303,058 | |
Net increase (decrease) in net assets resulting from operations | 20,102,555 | 795,166 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (4,856,433) | (2,807,500) | |
Return of capital | (226,820) | (155,753) | |
Total distributions to shareholders | (5,083,253) | (2,963,253) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 156,791,601 | 60,684,489 | |
Cost of shares redeemed | — | (9,845,363) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 156,791,601 | 50,839,126 | |
Total increase (decrease) in net assets | 171,810,903 | 48,671,039 | |
NET ASSETS: | |||
Beginning of period | 111,649,940 | 62,978,901 | |
End of period | $ 283,460,843 | $ 111,649,940 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 2,150,002 | 1,200,002 | |
Shares sold | 2,850,000 | 1,150,000 | |
Shares redeemed | — | (200,000) | |
Shares outstanding, end of period | 5,000,002 | 2,150,002 |
Year Ended | Period Ended 7/31/2018 (a) | ||||||
7/31/2021 | 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) | 1.59 | 1.64 | 1.69 | 1.15 | |||
Net realized and unrealized gain (loss) | 4.83 (b) | (0.48) | 2.27 | 0.30 | |||
Total from investment operations | 6.42 | 1.16 | 3.96 | 1.45 | |||
Distributions paid to shareholders from: | |||||||
Net investment income | (1.59) | (1.62) | (1.67) | (1.13) | |||
Return of capital | (0.07) | (0.09) | (0.13) | — | |||
Total distributions | (1.66) | (1.71) | (1.80) | (1.13) | |||
Net asset value, end of period | $56.69 | $51.93 | $52.48 | $50.32 | |||
Total return (c) | 12.57% (b) | 2.25% | 8.05% | 2.93% | |||
Ratios to average net assets/supplemental data: | |||||||
Net assets, end of period (in 000’s) | $ 283,461 | $ 111,650 | $ 62,979 | $ 27,677 | |||
Ratio of total expenses to average net assets | 0.70% | 0.70% | 0.70% | 0.70% (d) | |||
Ratio of net expenses to average net assets | 0.55% | 0.55% | 0.55% | 0.55% (d) | |||
Ratio of net investment income (loss) to average net assets | 3.00% | 3.22% | 3.44% | 3.13% (d) | |||
Portfolio turnover rate (e) | 19% | 89% | 71% | 74% |
(a) | Inception date is November 1, 2017, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | The Fund received a reimbursement from the advisor in the amount of $469 in connection with a trade error, which represents less than $0.01 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived by the investment advisor. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer; |
5) | the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; and |
10) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security | Acquisition Date | Principal Value | Current Price | Carrying Cost | Value | % of Net Assets | ||
IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Acdmy Proj, Ser A, 5.25%, 07/01/28 | 08/31/18 | $200,000 | $116.32 | $201,719 | $232,637 | 0.08% | ||
Kyle TX Spl Assmnt Rev 6 Creeks Pid #1, 4.13%, 09/01/29 | 05/08/19 | 250,000 | 111.28 | 250,000 | 278,210 | 0.10 | ||
Leander TX Spl Assmnt Rev Crystal Springs Pub Impt Dist Proj Accd Inv, 4.50%, 09/01/28 | 05/04/18 | 445,000 | 103.89 | 441,635 | 462,312 | 0.16 | ||
$893,354 | $973,159 | 0.34% |
Distributions paid from: | 2021 | 2020 |
Ordinary income | $— | $13,767 |
Capital gains | — | — |
Tax-exempt income | 4,856,433 | 2,793,733 |
Return of capital | 226,820 | 155,753 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (2,976,926) |
Net unrealized appreciation (depreciation) | 18,568,876 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$(3,462) | $3,462 | $— |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statement of Assets and Liabilities Location | Value | Statement of Assets and Liabilities Location | Value | |||||
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | $ — | Unrealized depreciation on futures contracts* | $ 207,266 |
Statement of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $262,511 |
Net change in unrealized appreciation (depreciation) on futures contracts | (91,969) |
Federal and State Income Tax | Percentages | |
Tax-Exempt Interest Dividends | 100.00% | |
Alternative Minimum Tax (AMT) | 12.56% |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016) | 211 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 211 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 211 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 211 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 211 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
First Trust Ultra Short Duration Municipal ETF (FUMB)
For the Year Ended
July 31, 2021
2 | |
Fund Performance Overview | |
3 | |
5 | |
7 | |
8 | |
13 | |
Portfolio of Investments | |
14 | |
28 | |
40 | |
41 | |
42 | |
43 | |
45 | |
52 | |
53 | |
59 | |
61 |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 7/31/21 | Inception (11/1/18) to 7/31/21 | Inception (11/1/18) to 7/31/21 | |
Fund Performance | |||
NAV | 2.92% | 3.60% | 10.21% |
Market Price | 2.87% | 3.60% | 10.21% |
Index Performance | |||
Bloomberg Barclays Municipal Short (1-5) Year Index | 1.11% | 3.04% | 8.57% |
Sector Allocation | % of Total Investments (including cash) |
Special Assessment | 9.7% |
Insured | 9.3 |
Government Obligation Bond - Unlimited Tax | 9.1 |
Gas | 9.0 |
Hospital | 7.2 |
Certificates of Participation | 6.1 |
Continuing Care Retirement Communities | 5.7 |
Industrial Development Bond | 5.1 |
Education | 4.4 |
Higher Education | 4.2 |
Utility | 3.6 |
Dedicated Tax | 3.5 |
Airport | 3.2 |
Water & Sewer | 3.1 |
Government Obligation Bond - Limited Tax | 2.5 |
Mass Transit | 2.3 |
Toll Road | 2.2 |
Student Loan | 1.9 |
Tax Increment | 0.9 |
Pre-refunded/Escrowed-to-maturity | 0.8 |
Tobacco | 0.7 |
Housing | 0.4 |
Student Housing | 0.2 |
Cash | 4.9 |
Total | 100.0% |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 2.1% |
AA | 24.0 |
A | 32.3 |
BBB | 15.9 |
BB | 4.2 |
B | 1.9 |
Not Rated | 12.1 |
SP-1+ (short-term) | 0.8 |
SP-1/MIG1 (short-term) | 0.4 |
SP-2/MIG2 (short-term) | 1.4 |
Cash | 4.9 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 96.9% |
Net Other Assets and Liabilities(2) | 3.1 |
Total | 100.0% |
(1) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including 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 | ||
1 Year Ended 7/31/21 | Inception (11/1/18) to 7/31/21 | Inception (11/1/18) to 7/31/21 | |
Fund Performance | |||
NAV | 0.72% | 1.48% | 4.12% |
Market Price | 0.67% | 1.48% | 4.12% |
Index Performance | |||
Bloomberg Barclays Municipal Short-Term Index | 0.41% | 1.23% | 3.42% |
Sector Allocation | % of Total Investments (including cash) |
Government Obligation Bond - Unlimited Tax | 16.9% |
Industrial Development Bond | 11.0 |
Pre-refunded/Escrowed-to-maturity | 9.4 |
Insured | 8.1 |
Gas | 7.1 |
Government Obligation Bond - Limited Tax | 6.1 |
Housing | 5.9 |
Certificates of Participation | 5.4 |
Hospital | 4.6 |
Water & Sewer | 4.0 |
Dedicated Tax | 3.7 |
Education | 2.9 |
Higher Education | 2.0 |
Utility | 2.0 |
Mass Transit | 1.8 |
Airport | 1.4 |
Student Loan | 0.7 |
Continuing Care Retirement Communities | 0.6 |
Tax Increment | 0.4 |
Tobacco | 0.4 |
Toll Road | 0.4 |
Special Assessment | 0.3 |
Cash | 4.9 |
Total | 100.0% |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 5.3% |
AA | 32.1 |
A | 27.2 |
BBB | 15.6 |
BB | 2.1 |
Not Rated | 6.2 |
SP-1+ (short-term) | 0.7 |
SP-1/MIG1 (short-term) | 4.4 |
SP-2/MIG2 (short-term) | 1.5 |
Cash | 4.9 |
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.
• | Robust mutual fund and exchange-traded fund inflows helped support municipal bond prices. According to Refinitiv, Lipper, and J.P. Morgan data, year-to-date fund flows through July 31, 2021 totaled approximately $69.5 billion. Over the same period, high yield municipal fund flows totaled approximately $16.4 billion. Fund inflows have also been consistent, with municipal bond funds having experienced inflows in 62 of the past 63 weeks. |
• | New issue municipal bond supply has been nearly flat year to date. During the first seven months of 2021, new issue supply increased approximately 1.5% to $262.1 billion compared with $258.1 billion a year ago. Of note, when looking at municipal taxable new issue supply as a percentage of total new issue supply, over 23% of municipal bond supply has been brought to market as a taxable municipal bond from January 2020 through June 2021 compared to the previous five years when taxable municipals comprised less than 10% of total new issue municipal supply. |
• | According to data from Municipal Market Analytics, Inc., the par value of defaults are lower year-to-date compared to the previous two years. The number of municipal bond defaults year-to-date through July 2021 total 36, compared to 50 defaults for the same year-to-date period in 2020 and 35 defaults for the same year-to-date period in 2019. Defaulting municipal securities have been especially centered in the senior living sector which has been particularly hard hit by the coronavirus (“COVID-19”) pandemic with many facilities experiencing lower occupancy and debt service coverage. |
• | The CARES Act and American Rescue Plan Act legislation helped stabilize many municipal bond issuing borrowers, with tens of billions of dollars made available to states, cities, K-12 education, hospitals, mass transportation, and universities, among the many benefitted sectors. |
• | As a result of these factors, municipal bond credit spreads have tightened dramatically from April of 2021 for all credit rating categories. In particular, credit spreads tightened substantially for BBB and high yield municipal securities whereby in many cases spreads are now tighter than pre-COVID-19 levels. |
• | Robust mutual fund and exchange-traded fund inflows helped support municipal bond prices. According to Refinitiv, Lipper, and J.P. Morgan data, year-to-date fund flows through July 31, 2021 totaled approximately $69.5 billion. Over the same period, high yield municipal fund flows totaled approximately $16.4 billion. Fund inflows have also been consistent, with municipal bond funds having experienced inflows in 62 of the past 63 weeks. |
• | New issue municipal bond supply has been nearly flat year to date. During the first seven months of 2021, new issue supply increased approximately 1.5% to $262.1 billion compared with $258.1 billion a year ago. Of note, when looking at municipal taxable new issue supply as a percentage of total new issue supply, over 23% of municipal bond supply has been brought to market as a taxable municipal bond from January 2020 through June 2021 compared to the previous five years when taxable municipals comprised less than 10% of total new issue municipal supply. |
• | According to data from Municipal Market Analytics, Inc., the par value of defaults are lower year-to-date compared to the previous two years. The number of municipal bond defaults year-to-date through July 2021 total 36, compared to 50 defaults for the same year-to-date period in 2020 and 35 defaults for the same year-to-date period in 2019. Defaulting municipal securities have been especially centered in the senior living sector which has been particularly hard hit by the COVID-19 pandemic with many facilities experiencing lower occupancy and debt service coverage. |
• | The CARES Act and American Rescue Plan Act legislation helped stabilize many municipal bond issuing borrowers, with tens of billions of dollars made available to states, cities, K-12 education, hospitals, mass transportation, and universities, among the many benefitted sectors. |
• | As a result of these factors, municipal bond credit spreads have tightened dramatically from April of 2021 for all credit rating categories. In particular, credit spreads tightened substantially for BBB and high yield municipal securities whereby in many cases spreads are now tighter than pre-COVID-19 levels. |
Beginning Account Value February 1, 2021 | Ending Account Value July 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 | $1,010.60 | 0.41% | $2.04 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.76 | 0.41% | $2.06 |
First Trust Ultra Short Duration Municipal ETF (FUMB) | ||||
Actual | $1,000.00 | $1,002.50 | 0.25% | $1.24 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.55 | 0.25% | $1.25 |
(a) | These expense ratios reflect expense waivers. See Note 3 in the Notes to Financial Statements. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (February 1, 2021 through July 31, 2021), multiplied by 181/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 96.9% | ||||||||
Alabama – 4.7% | ||||||||
$1,000,000 | AL Federal Aid Hwy Fin Auth Spl Oblig Rev, GARVEE | 5.00% | 09/01/30 | $1,143,674 | ||||
50,000 | Birmingham AL Spl Care Facs Fing Auth Hlthcare Fac Ref Children’s Hosp of AL | 5.00% | 06/01/26 | 58,163 | ||||
65,000 | Birmingham AL Spl Care Facs Fing Auth Hlthcare Fac Ref Children’s Hosp of AL | 5.00% | 06/01/27 | 75,532 | ||||
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 | 244,668 | ||||
535,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev, Ser A (Mandatory put 12/01/23) | 4.00% | 12/01/48 | 578,089 | ||||
275,000 | Black Belt Energy Gas Dist AL Gas Sply Rev, Ser A (Mandatory put 07/01/22) | 4.00% | 08/01/47 | 283,356 | ||||
100,000 | Greenville AL Pub Impt Cooperative Pub Impt Rev Greenville Funding, BAM | 5.00% | 03/01/25 | 116,530 | ||||
145,000 | Infirmary Hlth Sys AL Spl Care Facs Fing Auth Rev Infirmary Hlth Sys Inc, Ser A | 5.00% | 02/01/25 | 167,256 | ||||
160,000 | Infirmary Hlth Sys AL Spl Care Facs Fing Auth Rev Infirmary Hlth Sys Inc, Ser A | 5.00% | 02/01/28 | 189,650 | ||||
905,000 | Lower AL Gas Dist Gas Proj Rev Gas Proj Rev Bonds Proj 2 (Mandatory put 12/01/25) | 4.00% | 12/01/50 | 1,033,584 | ||||
500,000 | Mizuho Floater Residual Trust Various States Floaters Miz 9024, Ser 2020 (a) (b) | 0.27% | 12/01/48 | 500,000 | ||||
430,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 5.00% | 11/01/25 | 497,874 | ||||
40,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #1, Ser A (Mandatory put 04/01/24) | 4.00% | 04/01/49 | 43,639 | ||||
10,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A | 4.00% | 06/01/23 | 10,702 | ||||
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 | 164,361 | ||||
350,000 | SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A | 4.00% | 10/01/23 | 377,832 | ||||
500,000 | SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A | 4.00% | 10/01/25 | 570,263 | ||||
6,055,173 | ||||||||
Arizona – 3.0% | ||||||||
110,000 | AZ St Indl Dev Auth Edu Rev Greathearts AZ Proj, Ser A | 4.00% | 07/01/23 | 117,857 | ||||
1,000,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 05/01/27 | 1,240,071 | ||||
1,000,000 | Coconino Cnty AZ Poll Controlcorp Ref NV Pwr Company Remk, Ser A, AMT (Mandatory put 03/31/23) | 1.88% | 09/01/32 | 1,024,268 | ||||
95,000 | Glendale AZ Indl Dev Auth Sr Living Facs Rev Ref Royal Oaks Life Care Cmnty | 4.00% | 05/15/29 | 102,998 | ||||
615,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Sch Proj | 5.00% | 07/01/24 | 693,897 | ||||
580,000 | Phoenix AZ Indl Dev Auth Edu Rev Ref Basis Sch (a) | 5.00% | 07/01/35 | 651,885 | ||||
3,830,976 | ||||||||
Arkansas – 0.2% | ||||||||
110,000 | AR St Dev Fin Auth Hlthcare Facs Rev Carti Surgery Ctr Proj, Ser B | 4.00% | 07/01/23 | 115,435 | ||||
140,000 | AR St Dev Fin Auth Hlthcare Facs Rev Carti Surgery Ctr Proj, Ser B | 4.00% | 07/01/25 | 152,239 | ||||
267,674 | ||||||||
California – 7.1% | ||||||||
25,000 | CA St Enterprise Dev Auth Stdt Hsg Rev M@College Proj, Ser A | 5.00% | 08/01/23 | 27,372 | ||||
50,000 | CA St Enterprise Dev Auth Stdt Hsg Rev M@College Proj, Ser A | 5.00% | 08/01/24 | 56,823 | ||||
205,000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A | 5.00% | 03/01/23 | 220,811 | ||||
405,000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A | 4.00% | 03/01/33 | 428,720 | ||||
385,000 | CA St Hlth Facs Fing Auth Rev El Camino Hosp | 5.00% | 02/01/33 | 476,105 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$300,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt Inc, Ser A1, AMT | 3.38% | 07/01/25 | $334,848 | ||||
900,000 | CA St Ref Various Purp | 4.00% | 11/01/24 | 1,012,006 | ||||
25,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/22 | 25,901 | ||||
40,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/23 | 42,650 | ||||
50,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/24 | 54,668 | ||||
80,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/25 | 89,063 | ||||
325,000 | CA St Stwd Cmntys Dev Auth Stwd Rev Dev Auth, Ser 2021A | 4.00% | 09/02/24 | 352,368 | ||||
355,000 | CA St Stwd Cmntys Dev Auth Stwd Rev Dev Auth, Ser 2021A | 4.00% | 09/02/25 | 391,202 | ||||
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 | 229,636 | ||||
115,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 3.00% | 09/01/23 | 120,327 | ||||
100,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 4.00% | 09/01/26 | 112,774 | ||||
295,000 | Fontana CA Spl Tax Summit at Rosena Phase One | 3.00% | 09/01/24 | 314,261 | ||||
160,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Enhanced Asset Bkd, Ser A | 5.00% | 06/01/30 | 174,209 | ||||
195,000 | Hemet CA Unif Sch Dist Facs Dist Spl Tax Ref | 4.00% | 09/01/25 | 217,421 | ||||
25,000 | Irvine CA Impt Bond Act 1915 Ltd Oblig Re-Assmnt Dist #13-1 | 5.00% | 09/02/23 | 27,623 | ||||
400,000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.25% | 11/15/22 | 425,974 | ||||
290,000 | Los Angeles CA Dept of Arpts Arpt Rev Sub, Ser A, AMT | 4.00% | 05/15/36 | 328,138 | ||||
105,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Rev Grantline 208 Cmnty Fac Dt #2018-1 | 3.00% | 09/01/21 | 105,205 | ||||
85,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Rev Grantline 208 Cmnty Fac Dt #2018-1 | 3.00% | 09/01/23 | 88,919 | ||||
90,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Rev Grantline 208 Cmnty Fac Dt #2018-1 | 3.00% | 09/01/24 | 95,820 | ||||
365,000 | Rio Vista CA Pub Fing Auth Spl Tax Rev Ref | 5.00% | 09/01/24 | 414,667 | ||||
630,000 | River Islands CA Pub Fing Auth Spl Tax Ref Cmnty Facs Dist #2003-1 | 5.00% | 09/01/27 | 669,790 | ||||
195,000 | Riverside CA Unif Sch Dist Cmnty Facs Dt #33 Citrus Heights II Spl Tax | 3.00% | 09/01/24 | 206,326 | ||||
240,000 | Roseville CA Fin Auth Spl Tax Rev Ref, Ser A | 5.00% | 09/01/25 | 286,241 | ||||
60,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 3.00% | 09/01/24 | 63,447 | ||||
70,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 3.00% | 09/01/25 | 74,860 | ||||
85,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 4.00% | 09/01/26 | 95,902 | ||||
100,000 | San Diego Cnty CA Regl Arpt Auth Subord Ref, Ser A | 5.00% | 07/01/24 | 113,921 | ||||
140,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref 2nd Ser, Ser A | 4.00% | 05/01/26 | 164,023 | ||||
200,000 | San Francisco CA City & Cnty Dcnty Dev Spl Tax Dist No Mission Rock Fac and Svcs, Ser A (a) | 4.00% | 09/01/26 | 225,716 | ||||
150,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021 | 4.00% | 09/01/25 | 166,137 | ||||
400,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021 | 4.00% | 09/01/26 | 450,019 | ||||
175,000 | San Luis Obispo CA Cmnty Facs Dist #2019-1 Spl Tax | 4.00% | 09/01/25 | 195,344 | ||||
100,000 | San Luis Obispo CA Cmnty Facs Dist #2019-1 Spl Tax | 4.00% | 09/01/26 | 113,721 | ||||
50,000 | Temecula CA Pub Fing Auth Spl Tax Ref, BAM | 5.00% | 09/01/25 | 59,634 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$125,000 | Tobacco Securitization Auth Sthrn CA Tobacco Stlmt Rev Ref San Diego Co Asset Securitization Corp Class 1, Ser A | 5.00% | 06/01/25 | $146,821 | ||||
9,199,413 | ||||||||
Colorado – 1.3% | ||||||||
500,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp | 5.00% | 12/15/28 | 561,630 | ||||
110,000 | CO St Eductnl & Cultural Facs Auth Rev Ref Chrt Sch Stargate Chrt Sch Proj, Ser A | 5.00% | 12/01/25 | 130,567 | ||||
100,000 | CO St Eductnl & Cultural Facs Auth Rev Ref N Star Acdmy Chrt Sch Proj | 4.00% | 11/01/23 | 108,149 | ||||
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 | 150,659 | ||||
80,000 | CO St Hlth Facs Auth Rev Ref Parkview Med Cntr, Ser A | 3.25% | 09/01/25 | 88,397 | ||||
190,000 | CO St Hlth Facs Auth Rev Ref Parkview Med Cntr, Ser B | 5.00% | 09/01/28 | 220,769 | ||||
100,000 | Colorado Springs CO Pikes Peak Americas Mountain Enterprise Pikes Peak | 5.00% | 12/01/21 | 101,571 | ||||
125,000 | Crystal Vly CO Met Dist #2 Ref, Ser A, AGM | 5.00% | 12/01/23 | 138,655 | ||||
15,000 | E-470 CO Pub Hwy Auth Cap Apprec Sr, Ser B, NATL-RE | (c) | 09/01/23 | 14,879 | ||||
105,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/34 | 122,283 | ||||
1,637,559 | ||||||||
Connecticut – 2.7% | ||||||||
100,000 | CT St | 5.00% | 08/01/31 | 117,379 | ||||
50,000 | CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare, Ser E | 5.00% | 07/01/25 | 56,679 | ||||
170,000 | CT St Hlth & Eductnl Facs Auth Rev Ref | 5.00% | 07/01/29 | 198,147 | ||||
650,000 | CT St Hlth & Eductnl Facs Auth Rev Temps 50 Mclean Issue, Ser B-2 (a) | 2.75% | 01/01/26 | 658,683 | ||||
50,000 | CT St Spl Tax Oblig Rev Ref Transprtn Infra, Ser B | 5.00% | 08/01/27 | 59,129 | ||||
165,000 | CT St Spl Tax Oblig Rev Transprtn Infra, Ser A | 5.00% | 09/01/33 | 187,942 | ||||
130,000 | CT St, Ser E | 5.00% | 09/15/25 | 155,022 | ||||
100,000 | CT St, Ser F | 2.00% | 11/15/21 | 100,557 | ||||
315,000 | Hamden CT Ref, Ser A, BAM | 5.00% | 08/01/23 | 344,333 | ||||
145,000 | Hamden CT Ref, Ser A, BAM | 5.00% | 08/01/24 | 164,658 | ||||
200,000 | Hamden CT Ref, Ser A, BAM | 5.00% | 08/01/25 | 234,602 | ||||
25,000 | Univ of CT CT Ref, Ser A | 5.00% | 03/15/27 | 29,982 | ||||
970,000 | Univ of CT CT, Ser A | 5.00% | 11/01/26 | 1,193,724 | ||||
25,000 | Univ of CT CT, Ser A | 5.00% | 11/01/35 | 31,675 | ||||
3,532,512 | ||||||||
Florida – 7.8% | ||||||||
150,000 | Alachua Cnty FL Hlth Facs Auth Shands Teaching Hosp & Clinics, Ser A | 5.00% | 12/01/26 | 171,971 | ||||
500,000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, Ser 2021 | 2.38% | 05/01/26 | 502,196 | ||||
250,000 | Berry Bay Cdd FL Spl Assmt Rev Assmt Area 1 | 2.63% | 05/01/26 | 253,581 | ||||
250,000 | Citizens Property Insurance Corp FL, Ser A1 | 5.00% | 06/01/22 | 254,010 | ||||
550,000 | FL St Brd of Governors FL Intl Univ Dorm Rev Ref, Ser A, BAM | 5.00% | 07/01/27 | 687,172 | ||||
110,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/24 | 119,274 | ||||
330,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/25 | 365,321 | ||||
155,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/26 | 174,785 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$150,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/28 | $173,854 | ||||
105,000 | FL St Dev Fin Corp Sr Living Rev Ref Glenridge on Palmer Ranch Proj | 4.00% | 06/01/24 | 113,027 | ||||
100,000 | FL St Dev Fin Corp Sr Living Rev Ref Glenridge on Palmer Ranch Proj | 4.00% | 06/01/25 | 109,617 | ||||
245,000 | Gulfstream Polo Cmnty Dev Dist FL Spl Assmnt Phase 2 Proj | 3.00% | 11/01/24 | 250,377 | ||||
405,000 | Hills Minneola Cmnty Dev Dist FL Spl Assmnt Rev S Parcel Assmnt Area (a) | 3.00% | 05/01/25 | 415,831 | ||||
450,000 | Hollywood Beach FL Cmnty Dev Dist Rev Cdd Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/23 | 494,853 | ||||
575,000 | Hollywood Beach FL Cmnty Dev Dist Rev Cdd Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/24 | 656,931 | ||||
210,000 | Jea FL Elec Sys Rev Sub, Ser B | 5.00% | 10/01/22 | 221,913 | ||||
100,000 | Lakeland FL Hosp Sys Rev Lakeland Regl Hlth | 5.00% | 11/15/33 | 115,665 | ||||
230,000 | Lakes of Sarasota Cdd FL Impt Rev Phase 1 Proj, Ser A-1 | 2.75% | 05/01/26 | 232,974 | ||||
170,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Ref Country Club E Proj, AGM | 5.00% | 05/01/25 | 197,833 | ||||
635,000 | Miami-Dade Cnty FL Aviation Rev Ref, Ser A, AMT | 5.00% | 10/01/38 | 740,887 | ||||
500,000 | Mirada Ii Cmnty Dev Dist FL Cap Impt Rev | 2.50% | 05/01/26 | 505,801 | ||||
25,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Presbyterian Retmnt Cmntys | 5.00% | 08/01/31 | 27,779 | ||||
160,000 | Palm Beach Cnty FL Hlth Facs Auth Ref Acts Retmnt Life Cmntys Inc Oblig Grp | 5.00% | 11/15/32 | 191,849 | ||||
230,000 | Parkway Ctr FL Cdd Spl Assmnt Rev Ref Assmt Area, Ser 1 | 3.50% | 05/01/22 | 233,193 | ||||
100,000 | Poinciana FL W Cdd Spl Assmnt Ref Sr, Ser 1, AGM | 3.60% | 05/01/26 | 111,672 | ||||
125,000 | Rhodine Road N CDD FL Spl Assmnt | 3.50% | 05/01/24 | 128,894 | ||||
115,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/23 | 123,104 | ||||
145,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/24 | 158,657 | ||||
385,000 | Sarasota Natl FL Cdd Spl Assmnt Ref | 3.00% | 05/01/23 | 397,330 | ||||
375,000 | Sarasota Natl FL Cdd Spl Assmnt Ref | 3.00% | 05/01/24 | 391,197 | ||||
240,000 | Sarasota Natl FL Cdd Spl Assmnt Ref | 3.00% | 05/01/25 | 251,804 | ||||
250,000 | Shingle Creek at Bronson Cdd FL Spl Assmnt | 2.50% | 06/15/26 | 253,025 | ||||
350,000 | Six Mile Creek FL Cdd Capital Impt Rev Assmnt Area 3 Phase 1 | 2.50% | 05/01/26 | 353,318 | ||||
30,000 | Tampa FL Capital Impt Cigarette Tax Allocation H Lee Moffitt Cancer Ctr Proj, Ser A | 5.00% | 09/01/24 | 34,330 | ||||
375,000 | V Dana Cdd FL Spl Assmnt Cdd Assmnt Area One 2021 Proj | 2.60% | 05/01/26 | 380,196 | ||||
130,000 | Vlg FL CDD #6 Spl Assmnt Rev Ref | 4.00% | 05/01/25 | 144,024 | ||||
250,000 | Westside Haines City Cdd Spl Assmnt Assmnt Area One Proj | 2.50% | 05/01/26 | 250,230 | ||||
10,188,475 | ||||||||
Georgia – 2.7% | ||||||||
100,000 | Burke Cnty GA Dev Auth Poll Control Rev Var GA Pwr Co Plant Vogtle Proj Remk (Mandatory put 06/13/24) | 2.15% | 10/01/32 | 105,008 | ||||
155,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 4.00% | 07/01/22 | 159,378 | ||||
175,000 | Gainesville & Hall Cnty GA Hosp Auth Ref NE GA Hlth System Inc Proj, Ser A | 5.00% | 02/15/24 | 196,057 | ||||
190,000 | Glynn Brunswick GA Memorial Hosp Auth Ref Antic Ctfs SE GA Hlth | 5.00% | 08/01/23 | 207,214 | ||||
715,000 | Madison Cnty GA Sch Dist Ref Capital Impt Proj, COPS | 4.00% | 05/01/25 | 805,900 | ||||
95,000 | Main Street Nat Gas Inc GA Gas Rev, Ser A | 5.50% | 09/15/23 | 105,346 | ||||
830,000 | Main Street Nat Gas Inc GA Gas Rev, Ser B | 5.00% | 03/15/22 | 854,156 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Georgia (Continued) | ||||||||
$240,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/25 | $280,839 | ||||
500,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C | 5.00% | 09/01/26 | 607,503 | ||||
165,000 | Muni Elec Auth of GA Ref Plant Vogtle Units 3&4 Proj J, Ser A, AGM | 5.00% | 01/01/27 | 203,473 | ||||
3,524,874 | ||||||||
Hawaii – 0.1% | ||||||||
100,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Ref Sr First Bd Resolution, Ser B | 4.00% | 07/01/32 | 113,380 | ||||
Illinois – 9.8% | ||||||||
135,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (c) | 12/01/22 | 134,050 | ||||
175,000 | Chicago IL Brd of Edu Green Bond, Ser E | 5.13% | 12/01/32 | 197,800 | ||||
1,000,000 | Chicago IL Brd of Edu Ref, Ser A | 4.00% | 12/01/21 | 1,011,948 | ||||
190,000 | Chicago IL Brd of Edu Ref, Ser A, AMBAC | 5.50% | 12/01/23 | 210,796 | ||||
400,000 | Chicago IL Brd of Edu Ref, Ser C | 5.00% | 12/01/22 | 424,082 | ||||
540,000 | Chicago IL Park Dist Ref Ltd Tax, Ser B | 5.00% | 01/01/28 | 593,982 | ||||
135,000 | Chicago IL Park Dist Ref, Ser C | 5.00% | 01/01/25 | 137,531 | ||||
50,000 | Chicago IL Ref Proj, Ser A | 5.00% | 01/01/27 | 55,156 | ||||
210,000 | Chicago IL Ref, 2003B Remk | 5.00% | 01/01/26 | 240,525 | ||||
100,000 | Chicago IL Ref, 2003B Remk | 5.13% | 01/01/27 | 114,641 | ||||
110,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/26 | 130,216 | ||||
260,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/35 | 300,077 | ||||
65,000 | Chicago IL Ref, Ser C, CABS | (c) | 01/01/25 | 61,332 | ||||
500,000 | Chicago IL Wstwtr Trans Rev Ref Second Lien Remk, Ser C | 5.00% | 01/01/27 | 577,290 | ||||
100,000 | Chicago IL Wstwtr Trans Rev Ref Second Lien, Ser B | 5.00% | 01/01/24 | 111,067 | ||||
325,000 | Chicago IL Wtrwks Rev 2nd Lien Proj | 5.00% | 11/01/27 | 371,379 | ||||
100,000 | Chicago IL, Ser A | 5.00% | 01/01/26 | 114,536 | ||||
90,000 | Ford Champaign Etc Cntys IL Cmnty Unit Sch Dist #10 Sch Bldg, Ser A, AGM | 4.00% | 12/01/25 | 103,198 | ||||
160,000 | Hillside IL Tax Incr Rev Ref | 5.00% | 01/01/24 | 167,075 | ||||
250,000 | IL St | 5.00% | 03/01/22 | 256,995 | ||||
395,000 | IL St | 5.00% | 05/01/23 | 427,347 | ||||
125,000 | IL St | 5.00% | 05/01/24 | 140,678 | ||||
90,000 | IL St | 5.00% | 06/01/27 | 107,865 | ||||
170,000 | IL St | 4.00% | 01/01/31 | 189,650 | ||||
195,000 | IL St Fin Auth Hlth Svcs Facs Lease Rev Univ of IL Hlth Svcs Facility Proj | 5.00% | 10/01/24 | 221,860 | ||||
50,000 | IL St Ref | 5.00% | 08/01/21 | 50,000 | ||||
85,000 | IL St Ref | 4.00% | 08/01/25 | 88,041 | ||||
70,000 | IL St, Ser A | 5.25% | 05/01/22 | 72,643 | ||||
100,000 | IL St, Ser A | 4.00% | 01/01/24 | 101,582 | ||||
15,000 | IL St, Ser A | 4.00% | 01/01/25 | 15,229 | ||||
700,000 | IL St, Ser C | 5.00% | 11/01/29 | 860,978 | ||||
280,000 | IL St, Ser D | 5.00% | 11/01/23 | 309,135 | ||||
370,000 | IL St, Ser D | 5.00% | 11/01/24 | 424,031 | ||||
700,000 | Macon Cnty IL Sch Dist #61, AGM | 4.00% | 12/01/25 | 792,054 | ||||
650,000 | Northern IL Univ Revs Brd of Trustees Aux Facs Sys Rev N IL Univ Ref, BAM | 5.00% | 10/01/25 | 764,213 | ||||
515,000 | Railsplitter IL Tobacco Stlmt Auth | 5.00% | 06/01/27 | 622,445 | ||||
495,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/27 | 575,095 | ||||
570,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/31 | 659,147 | ||||
600,000 | Sthrn IL St Univ Ref Sthrn IL Univ Hsg and Aux Facs Sys, Ser A, BAM | 4.00% | 04/01/25 | 674,564 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$365,000 | Univ of IL IL Rev Ref Auxiliary Facs Sys, Ser A | 5.00% | 04/01/22 | $376,835 | ||||
12,787,068 | ||||||||
Indiana – 2.2% | ||||||||
1,010,000 | Brownsburg IN 1999 Sch Bldg Corp, BANS (a) | 1.50% | 05/13/22 | 1,012,478 | ||||
125,000 | IN Bond Bank Rev Hamilton Co Projs, CABS | (c) | 01/15/26 | 121,020 | ||||
215,000 | IN St Bond Bank Spl Prog Gas Rev, Ser A | 5.25% | 10/15/21 | 217,107 | ||||
675,000 | Indianapolis IN Loc Pub Impt Bond Bank Ref Cityway 1 Proj, Ser B | 5.00% | 02/01/35 | 750,316 | ||||
100,000 | La Porte IN Wtrwks Rev, AGM | 4.00% | 01/01/24 | 107,766 | ||||
105,000 | La Porte IN Wtrwks Rev, AGM | 4.00% | 07/01/24 | 114,708 | ||||
545,000 | Merrillville IN Conservancy Dist | 3.00% | 01/15/23 | 565,109 | ||||
2,888,504 | ||||||||
Kentucky – 2.0% | ||||||||
240,000 | KY St Econ Dev Fin Auth Hlth Sys Rev Norton Hlthcare Inc, Ser B, NATL-RE | (c) | 10/01/25 | 226,865 | ||||
20,000 | KY St Econ Dev Fin Auth Ref Owensboro Hlth, Ser A | 5.00% | 06/01/25 | 22,873 | ||||
355,000 | KY St Hgr Edu Stdt Loan Corp Sr, Ser A, AMT | 5.00% | 06/01/26 | 417,559 | ||||
255,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser B (Mandatory put 01/01/25) | 4.00% | 01/01/49 | 283,611 | ||||
350,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser C-1 | 4.00% | 12/01/21 | 354,444 | ||||
75,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A (Mandatory put 06/01/26) | 4.00% | 12/01/50 | 86,750 | ||||
105,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A-1 (Mandatory put 06/01/25) | 4.00% | 12/01/49 | 118,211 | ||||
140,000 | KY St Univ KY St Univ Proj, COPS, BAM | 5.00% | 11/01/25 | 165,156 | ||||
125,000 | KY St Univ KY St Univ Proj, COPS, BAM | 5.00% | 11/01/26 | 151,307 | ||||
210,000 | Paducah KY Elec Plant Brd Rev Ref, Ser A, AGM | 5.00% | 10/01/34 | 255,675 | ||||
450,000 | Univ of Louisville KY Ref, Ser A | 5.00% | 03/01/27 | 537,233 | ||||
2,619,684 | ||||||||
Louisiana – 2.0% | ||||||||
20,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/28 | 24,434 | ||||
455,000 | New Orleans LA Aviation Brd, Ser B, AMT | 5.00% | 01/01/31 | 521,163 | ||||
100,000 | New Orleans LA Aviation Brd, Ser B, AMT, AGM | 5.00% | 01/01/32 | 114,724 | ||||
150,000 | New Orleans LA Wtr Rev Wtr Rev | 5.00% | 12/01/26 | 179,052 | ||||
350,000 | New Orleans LA Wtr Rev Wtr Rev | 5.00% | 12/01/28 | 415,681 | ||||
500,000 | Saint John the Baptist Parish LA Rev Var Ref Marathon Oil Corp Proj Remk, Subser 2017B-1 (Mandatory put 07/01/24) | 2.13% | 06/01/37 | 519,612 | ||||
550,000 | Saint John the Baptist Parish LA Rev Var Ref Marathon Oil Corp Proj Remk, Subser 2017B-2 (Mandatory put 07/01/26) | 2.38% | 06/01/37 | 583,433 | ||||
250,000 | Shreveport LA Wtr & Swr Rev Junior Lien, Ser C, BAM | 5.00% | 12/01/24 | 288,052 | ||||
2,646,151 | ||||||||
Maryland – 0.6% | ||||||||
115,000 | Harford Cnty MD Spl Oblg Ref Beechtree Estates Proj | 4.00% | 07/01/23 | 123,305 | ||||
300,000 | Harford Cnty MD Spl Oblg Ref Beechtree Estates Proj | 4.00% | 07/01/24 | 332,319 | ||||
150,000 | Howard Cnty MD Ref Consol Pub Impt, Ser B | 5.00% | 02/15/24 | 168,619 | ||||
100,000 | Maryland St Hlth & Hgr Eductnl Facs Auth Rev Ref Stevenson Univ Proj, Ser A | 5.00% | 06/01/28 | 126,459 | ||||
750,702 | ||||||||
Massachusetts – 1.5% | ||||||||
350,000 | MA St Clg Bldg Auth, Ser A | 5.00% | 05/01/28 | 380,012 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Massachusetts (Continued) | ||||||||
$200,000 | MA St Dev Fin Agy Rev Umass Darthmouth Stdt Hsg Proj | 5.00% | 10/01/21 | $201,255 | ||||
575,000 | MA St Eductnl Fing Auth Sr, Ser B, AMT | 5.00% | 07/01/24 | 650,552 | ||||
500,000 | MA St Eductnl Fing Auth Sr, Ser B, AMT | 5.00% | 07/01/25 | 585,322 | ||||
135,000 | MA St Eductnl Fing Auth, Ser A, AMT | 5.00% | 01/01/26 | 154,631 | ||||
1,971,772 | ||||||||
Michigan – 3.0% | ||||||||
70,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/30 | 78,720 | ||||
20,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/31 | 22,485 | ||||
100,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Sr Lien Bond, Ser A | 5.00% | 07/01/25 | 117,915 | ||||
575,000 | Kalamazoo MI Econ Dev Corp Heritage Cmnty of Kalamazoo Revel Creek Proj Temps 60, Ser B2 | 2.63% | 05/15/25 | 576,975 | ||||
110,000 | MI St Fin Auth Rev Ref Ascension Sr Credit Grp Remk, Ser E-1 (Mandatory put 08/15/24) | 4.00% | 11/15/44 | 122,593 | ||||
300,000 | MI St Fin Auth Rev Ref Beaumont Hlth Credit Grp | 5.00% | 08/01/28 | 341,830 | ||||
55,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 4.00% | 11/15/36 | 62,694 | ||||
100,000 | MI St Fin Auth Rev Ref Hosp Beaumont Hlth Credit Grp | 5.00% | 11/01/21 | 101,211 | ||||
150,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog Great Lakes Wtr Auth, Ser D1, AGM | 5.00% | 07/01/28 | 176,553 | ||||
135,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog Great Lakes Wtr Auth, Ser D2, AGM | 5.00% | 07/01/24 | 153,202 | ||||
935,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog Great Lakes Wtr Auth, Ser D2, AGM | 5.00% | 07/01/28 | 1,065,749 | ||||
250,000 | MI St Fin Auth Rev Sr Lien Great Lakes Wtr Auth, Ser C-3, AGM | 5.00% | 07/01/27 | 285,353 | ||||
90,000 | MI St Hosp Fin Auth Ref Mclaren Hlthcare, Ser A | 5.00% | 06/01/24 | 93,660 | ||||
235,000 | Wayne Cnty MI Arpt Auth Rev Detroit Met Wayne Cnty Arpt, Ser C, AMT | 5.00% | 12/01/29 | 269,002 | ||||
270,000 | Wayne Cnty MI Arpt Auth Rev Detroit Met Wayne Cnty Arpt, Ser C, AMT | 5.00% | 12/01/30 | 308,874 | ||||
90,000 | Wayne Cnty MI Arpt Auth Rev Ref, Ser F, AMT | 5.00% | 12/01/25 | 107,466 | ||||
3,884,282 | ||||||||
Minnesota – 0.2% | ||||||||
200,000 | Duluth MN Econ Dev Auth Rev Ref Benedictine Hlth Sys, Ser A | 3.00% | 07/01/24 | 210,033 | ||||
Missouri – 2.0% | ||||||||
375,000 | Bridgeton MO Spl Oblig Rev Ref, Ser A | 4.00% | 12/01/25 | 426,197 | ||||
385,000 | Bridgeton MO Spl Oblig Rev Ref, Ser A | 4.00% | 12/01/26 | 446,439 | ||||
200,000 | Jackson Cnty MO Spl Oblg Rirr Right of Way Proj | 4.00% | 12/01/27 | 230,812 | ||||
140,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Bethesda Hlth Grp Inc Ref | 3.00% | 08/01/23 | 147,770 | ||||
305,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Bethesda Hlth Grp Inc Ref | 4.00% | 08/01/25 | 346,517 | ||||
350,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Saint Lukes Hlth Sys Inc | 4.00% | 11/15/33 | 397,201 | ||||
235,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs | 5.00% | 02/01/23 | 251,237 | ||||
125,000 | Plaza at Noahs Ark Cmnty Impt Dist MO Tax Incr & Impt Ref | 3.00% | 05/01/22 | 126,288 | ||||
200,000 | Plaza at Noahs Ark Cmnty Impt Dist MO Tax Incr & Impt Ref | 3.00% | 05/01/24 | 206,124 | ||||
2,578,585 | ||||||||
Montana – 0.5% | ||||||||
240,000 | Forsyth MT Poll Control Rev Ref Puget Sound Energy Proj, Ser A (Mandatory put 03/01/23) | 3.90% | 03/01/31 | 250,766 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Montana (Continued) | ||||||||
$150,000 | MT St Fac Fin Auth Hlthcare Facs Rev MT Children’s Home and Hosp Proj, Ser A | 4.00% | 07/01/24 | $162,736 | ||||
155,000 | MT St Fac Fin Auth Hlthcare Facs Rev MT Children’s Home and Hosp Proj, Ser A | 4.00% | 07/01/25 | 171,967 | ||||
585,469 | ||||||||
Nebraska – 1.0% | ||||||||
420,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/22 | 441,841 | ||||
150,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.25% | 09/01/37 | 158,086 | ||||
70,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 | 5.00% | 01/01/24 | 78,197 | ||||
175,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 (Mandatory put 01/01/24) | 5.00% | 03/01/50 | 193,589 | ||||
330,000 | Centrl Plains Energy Proj NE Gas Proj Rev Ref Proj #3, Ser A | 5.00% | 09/01/26 | 403,138 | ||||
1,274,851 | ||||||||
Nevada – 1.8% | ||||||||
500,000 | Clark Cnty NV Sch Dist Ref Bldg, Ser A, BAM | 5.00% | 06/15/30 | 619,210 | ||||
750,000 | Director of the St of NV Dept of Busn & Ind Var Brightline W Psngr Rail Proj Remk, Ser A, AMT (Mandatory put 02/01/22) (a) | 0.25% | 01/01/50 | 750,172 | ||||
315,000 | Las Vegas NV Spl Impt Dist #808 & #810 Ref | 5.00% | 06/01/28 | 345,238 | ||||
125,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/25 | 146,184 | ||||
500,000 | Yerington NV USDA Interim Debs | 1.63% | 11/01/23 | 505,149 | ||||
2,365,953 | ||||||||
New Hampshire – 0.2% | ||||||||
220,000 | Natl Fin Auth NH Sr Living Rev Ref Springpoint Sr Living | 4.00% | 01/01/24 | 238,375 | ||||
New Jersey – 4.8% | ||||||||
1,100,000 | Middlesex Cnty NJ Ref Civic Square IV Redev, COPS | 5.00% | 10/15/31 | 1,281,830 | ||||
1,000,000 | NJ St Covid-19 Go Emergency Bonds, Ser A | 5.00% | 06/01/25 | 1,176,551 | ||||
255,000 | NJ St Econ Dev Auth Ref, Ser A | 4.13% | 06/15/27 | 288,098 | ||||
110,000 | NJ St Econ Dev Auth Rev Ref Sch Facs Constr, Ser PP | 3.50% | 06/15/27 | 117,838 | ||||
35,000 | NJ St Econ Dev Auth Rev Ref Sch Facs Constr, Ser PP | 5.00% | 06/15/27 | 39,572 | ||||
590,000 | NJ St Econ Dev Auth Rev Ref Sch Facs Construction, Ser NN | 5.00% | 03/01/29 | 633,436 | ||||
265,000 | NJ St Econ Dev Auth Rev Ref Sch Facs Construction, Ser PP, AGM | 5.00% | 06/15/25 | 300,824 | ||||
220,000 | NJ St Econ Dev Auth Rev, Ser WW | 5.00% | 06/15/34 | 256,563 | ||||
655,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev, Ser B, AMT | 5.00% | 12/01/25 | 774,080 | ||||
50,000 | NJ St Transprtn Trust Fund Auth Cap Apprec Transprtn Sys, Ser C, AMBAC | (c) | 12/15/25 | 48,079 | ||||
170,000 | NJ St Transprtn Trust Fund Auth Fed Hwy Reimb Nts, Ser A-1, GARVEE | 5.00% | 06/15/27 | 204,891 | ||||
140,000 | NJ St Transprtn Trust Fund Auth Ref Fed Hwy Reimb Nts, Ser A, GARVEE | 5.00% | 06/15/29 | 166,891 | ||||
405,000 | NJ St Transprtn Trust Fund Auth Sys Remk, Ser C | 5.25% | 06/15/32 | 468,284 | ||||
260,000 | NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA | 5.00% | 06/15/22 | 270,837 | ||||
160,000 | NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA | 5.00% | 06/15/25 | 181,066 | ||||
60,000 | NJ St Turnpike Auth, Ser E | 5.00% | 01/01/31 | 69,186 | ||||
6,278,026 | ||||||||
New York – 4.8% | ||||||||
150,000 | Met Transprtn Auth NY Rev Ref, Ser F | 5.00% | 11/15/26 | 178,065 | ||||
785,000 | Met Transprtn Auth NY Rev Transprtn, Subser C-2, BANS | 5.00% | 09/01/21 | 787,946 | ||||
750,000 | Met Transprtn Auth NY Rev, Ser A-2S, BANS | 4.00% | 02/01/22 | 763,925 | ||||
305,000 | Met Transprtn Auth NY Rev, Ser D-1, BANS | 5.00% | 09/01/22 | 320,685 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$1,000,000 | NY NY Adj Fiscal 2020, Subser B-3 (b) | 0.13% | 10/01/46 | $1,000,000 | ||||
125,000 | NY NY, Ser G | 4.00% | 08/01/29 | 136,664 | ||||
460,000 | NY NY, Ser J | 5.00% | 08/01/21 | 460,000 | ||||
250,000 | NY NY, Subser F-1 | 5.00% | 03/01/27 | 268,744 | ||||
255,000 | NY St Dorm Auth St Personal Income Tax Rev, Ser B | 5.00% | 03/15/30 | 262,744 | ||||
100,000 | NY St Transprtn Dev Corp Spl Fac Rev Delta Airls Inc Laguardia Arpt Terminals C&D Redev, AMT | 5.00% | 01/01/22 | 101,942 | ||||
500,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref American Airls Inc John F Kennedy Intl Arpt Proj, AMT | 2.25% | 08/01/26 | 519,204 | ||||
200,000 | NY St Transprtn Dev Corpspl Fac Rev Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser C | 5.00% | 12/01/24 | 231,234 | ||||
125,000 | NY St Transprtn Dev Corpspl Fac Rev Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser C | 5.00% | 12/01/25 | 149,556 | ||||
15,000 | Port Auth of NY & NJ NY Consol One Hundred Eighty Fifth Ref, AMT | 5.00% | 09/01/23 | 16,486 | ||||
855,000 | Port Auth of NY & NJ NY Ref, Ser 223, AMT | 5.00% | 07/15/25 | 1,005,854 | ||||
6,203,049 | ||||||||
North Carolina – 0.5% | ||||||||
415,000 | NC St Agric & Tech Univ Ref Gen, Ser A | 5.00% | 10/01/40 | 489,746 | ||||
190,000 | NC St Capital Facs Fin Agy Eductnl Facs Rev Ref High Point Univ | 4.00% | 05/01/24 | 208,601 | ||||
698,347 | ||||||||
North Dakota – 1.5% | ||||||||
500,000 | Horace ND Ref & Impt, Ser A | 1.90% | 08/01/22 | 500,517 | ||||
1,000,000 | Larimore ND Loan Anticipation Temp Impt Bonds | 0.85% | 05/01/24 | 1,001,340 | ||||
460,000 | Williston ND Cnty Wide Pub Safety Sales Tax Rev Ref, Ser A | 5.00% | 07/15/22 | 477,773 | ||||
1,979,630 | ||||||||
Ohio – 0.5% | ||||||||
75,000 | NE OH Med Univ Gen Recpts Ref, Ser A | 5.00% | 12/01/24 | 85,372 | ||||
500,000 | OH St Air Quality Dev Auth Ref American Elec Pwr Company Proj Remk, Ser B, AMT (Mandatory put 10/01/24) | 2.10% | 07/01/28 | 523,556 | ||||
608,928 | ||||||||
Oklahoma – 1.2% | ||||||||
1,085,000 | OK St Dev Fin Auth Gilcrease Expressway W Proj P3 Proj, AMT | 1.63% | 07/06/23 | 1,096,824 | ||||
495,000 | Oklahoma City OK Arpt Trust Junior Lien, AMT | 5.00% | 07/01/22 | 516,643 | ||||
1,613,467 | ||||||||
Oregon – 1.3% | ||||||||
500,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Temps 50 Rose Villa Proj, Ser B2 | 2.75% | 11/15/25 | 502,521 | ||||
130,000 | Port of Portland OR Arpt Rev, Ser 24B, AMT | 5.00% | 07/01/33 | 157,080 | ||||
1,000,000 | Yamhill Cnty OR Hosp Auth Friendsview Temps 50, Ser B-3 | 1.75% | 11/15/26 | 1,002,554 | ||||
1,662,155 | ||||||||
Pennsylvania – 7.9% | ||||||||
750,000 | Allentown PA City Sch Dist Tax and Rev Antic Nts | 1.00% | 03/31/22 | 750,232 | ||||
280,000 | Cumberland Cnty PA Muni Auth Ref Messiah Vlg Proj | 4.00% | 07/01/22 | 287,909 | ||||
295,000 | Cumberland Cnty PA Muni Auth Ref Messiah Vlg Proj | 5.00% | 07/01/23 | 317,630 | ||||
660,000 | Dauphin Cnty PA Gen Auth Hlthsys Rev Ref Pinnacle Hlth Sys Proj, Ser A | 4.00% | 06/01/32 | 758,638 | ||||
90,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/24 | 103,537 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$390,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/28 | $456,982 | ||||
140,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/30 | 162,812 | ||||
50,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/24 | 55,763 | ||||
75,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/25 | 86,465 | ||||
75,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/26 | 89,058 | ||||
500,000 | Lancaster PA Ref, BAM | 5.00% | 05/01/25 | 584,500 | ||||
80,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 5.00% | 03/01/24 | 87,915 | ||||
150,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 5.00% | 03/01/25 | 169,637 | ||||
255,000 | Lehigh Cnty PA Gen Purp Auth Revs Ref Lehigh Carbon Cmnty Clg, Ser 2016, BAM | 5.00% | 11/01/26 | 311,007 | ||||
245,000 | Monroeville PA Fin Auth Upmc Rev | 5.00% | 02/15/30 | 257,454 | ||||
100,000 | Montgomery Cnty PA Indl Dev Auth Acts Retmnt Life Cmntys Ref | 5.00% | 11/15/23 | 103,884 | ||||
200,000 | Montgomery Cnty PA Indl Dev Auth Ref Meadowood Sr Living Proj, Ser A | 3.00% | 12/01/21 | 201,615 | ||||
345,000 | Montgomery Cnty PA Indl Dev Auth Ref Meadowood Sr Living Proj, Ser A | 4.00% | 12/01/22 | 360,581 | ||||
400,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/25 | 468,309 | ||||
210,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/27 | 251,613 | ||||
180,000 | PA St Econ Dev Fing Auth Rev Ref Upmc | 4.00% | 03/15/35 | 206,953 | ||||
500,000 | PA St Econ Dev Fing Auth Solid Waste Disposal Rev Repub Svcs Inc Proj Remk, Ser B-1, AMT (Mandatory put 10/15/21) | 0.20% | 04/01/49 | 500,037 | ||||
460,000 | PA St Econ Dev Fing Auth Upmc Rev Ref, Ser A | 5.00% | 11/15/29 | 578,917 | ||||
495,000 | PA St Hsg Fin Agy SF Mtge Rev Non Ace, Ser 123B | 3.45% | 10/01/32 | 536,374 | ||||
475,000 | PA St Turnpike Commn Turnpike Rev Ref Sub | 5.00% | 06/01/27 | 565,991 | ||||
80,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/39 | 95,109 | ||||
100,000 | PA St Turnpike Commn Turnpike Rev Sub, Ser A | 5.00% | 12/01/21 | 101,607 | ||||
30,000 | PA St Turnpike Commn Turnpike Rev Subord, Ser A-1 | 5.00% | 12/01/30 | 35,601 | ||||
570,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Ref String Theory Chrt Sch Proj (a) | 5.00% | 06/15/24 | 637,190 | ||||
300,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Ref String Theory Chrt Sch Proj (a) | 5.00% | 06/15/25 | 345,893 | ||||
135,000 | Philadelphia PA Gas Wks Rev Ref | 5.00% | 08/01/29 | 158,532 | ||||
35,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/27 | 44,016 | ||||
25,000 | Philadelphia PA Ref, Ser A | 5.25% | 07/15/28 | 27,968 | ||||
475,000 | Scranton PA Sch Dist Ref, Ser D | 5.00% | 06/01/27 | 557,078 | ||||
10,256,807 | ||||||||
Puerto Rico – 0.6% | ||||||||
388,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (c) | 07/01/24 | 374,069 | ||||
328,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (c) | 07/01/27 | 301,151 | ||||
168,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (c) | 07/01/29 | 146,943 | ||||
822,163 | ||||||||
Rhode Island – 0.4% | ||||||||
445,000 | RI St Hlth & Eductnl Bldg Corp Pub Schs Rev Ref Providence Pub Bldg Auth, AGM | 5.00% | 05/15/28 | 519,261 | ||||
South Dakota – 0.4% | ||||||||
295,000 | SD St Hlth & Eductnl Facs Auth Ref Sanford Oblig Grp | 5.00% | 11/01/35 | 346,113 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
South Dakota (Continued) | ||||||||
$100,000 | SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty Issue | 3.00% | 09/01/25 | $107,979 | ||||
100,000 | SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty Issue | 3.00% | 09/01/26 | 109,327 | ||||
563,419 | ||||||||
Tennessee – 2.6% | ||||||||
145,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Trevecca Nazarene Univ Proj, Ser B | 4.00% | 10/01/26 | 168,108 | ||||
350,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Vanderbilt Univ Med Ctr, Ser A | 5.00% | 07/01/40 | 420,285 | ||||
300,000 | Tennergy Corp TN Gas Rev, Ser A | 4.00% | 09/01/25 | 342,877 | ||||
500,000 | Tennergy Corp TN Gas Rev, Ser A | 4.00% | 03/01/26 | 577,579 | ||||
210,000 | TN Energy Acq Corp Cmdy Proj Rev the TN Energy Acq Corp Cmdy Proj, Ser A | 5.00% | 11/01/24 | 240,424 | ||||
105,000 | TN St Energy Acq Corp Gas Rev (Mandatory put 11/01/25) | 4.00% | 11/01/49 | 119,323 | ||||
920,000 | TN St Energy Acq Corp Gas Rev Proj, Ser A (Mandatory put 05/01/23) | 4.00% | 05/01/48 | 975,700 | ||||
315,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/26 | 379,627 | ||||
100,000 | TN St Energy Acq Corp Gas Rev, Ser C | 5.00% | 02/01/22 | 102,369 | ||||
3,326,292 | ||||||||
Texas – 9.6% | ||||||||
500,000 | Austin TX Arpt Sys Rev, AMT | 5.00% | 11/15/33 | 569,357 | ||||
125,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fndtn Proj | 5.00% | 07/15/23 | 134,783 | ||||
505,000 | Bexar Cnty TX Rev Ref Tax Exempt Venue Proj | 4.00% | 08/15/35 | 594,847 | ||||
240,000 | Brazoria Cnty TX Ref | 5.00% | 03/01/27 | 289,640 | ||||
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 | 321,041 | ||||
150,000 | Centrl TX Regl Mobility Auth Rev Ref | 5.00% | 01/01/22 | 152,961 | ||||
85,000 | Centrl TX Regl Mobility Auth Rev Ref | 5.00% | 01/01/27 | 101,410 | ||||
1,250,000 | Centrl TX Regl Mobility Auth Rev Ref | 5.00% | 01/01/46 | 1,467,662 | ||||
150,000 | Centrl TX Regl Mobility Auth Rev Sr Lien, Ser A | 5.00% | 01/01/25 | 173,574 | ||||
25,000 | Centrl TX Regl Mobility Auth Rev Sr Lien, Ser A | 5.00% | 01/01/29 | 29,203 | ||||
35,000 | Clifton TX Hgr Edu Fin Corp Edu Rev Idea Pub Sch, Ser B | 5.00% | 08/15/24 | 39,802 | ||||
207,000 | Crandall TX Spl Assmnt Rev Cartwright Ranch Pub Impt Dt Impt Area #1 Proj (a) | 3.38% | 09/15/26 | 207,949 | ||||
150,000 | Dallas TX Ref | 5.00% | 02/15/27 | 167,724 | ||||
465,000 | Galveston Cnty TX Muni Util Dist #54 Ref | 2.00% | 12/01/25 | 467,922 | ||||
560,000 | Galveston Cnty TX Muni Util Dist #54 Ref | 2.00% | 12/01/27 | 556,888 | ||||
380,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Med Facs Rev Ref Baylor Clg of Med | 5.00% | 11/15/23 | 420,751 | ||||
1,275,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 1,530,209 | ||||
200,000 | Houston TX Hgr Edu Fin Corp Edu Rev Ref Harmony Pub Schs, Ser A | 5.00% | 02/15/22 | 205,209 | ||||
365,000 | Lower CO River TX Auth Trans Contract Rev Ref Lcra Trans Srvcs Corp Proj | 5.00% | 05/15/29 | 412,382 | ||||
435,000 | Lower Colorado River TX Auth Trans Contract Rev Ref | 5.00% | 05/15/23 | 473,219 | ||||
500,000 | Matagorda Cnty TX Nav Dist #1 Var Rev Cent Pwr & Lt Ref Remk, AMT (Mandatory put 09/01/23) | 0.90% | 05/01/30 | 504,391 | ||||
275,000 | Mclendon Chisholm TX Spl Assmnt Rev Ref Sonoma Pub Impt Dt Phase 1 Proj, BAM | 4.00% | 09/15/24 | 299,450 | ||||
200,000 | Mesquite TX Indep Sch Dist Ref, Ser A | 5.00% | 08/15/27 | 245,335 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$1,000,000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Rep Svcs Inc Proj Remk, Ser A, AMT (Mandatory put 08/02/21) | 0.20% | 05/01/50 | $1,000,000 | ||||
45,000 | N TX Tollway Auth Rev Ref 2nd Tier, Ser B | 5.00% | 01/01/31 | 53,034 | ||||
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 | 120,805 | ||||
155,000 | Oak Point TX Spl Assmnt Rev Wildridge Pub Impt Dist #1 Impt Area #2 Proj Accd Inv (a) | 3.50% | 09/01/23 | 158,516 | ||||
110,000 | SA Energy Acq Pub Fac Corp TX Gas Sply Rev Gas Sply Rev | 5.50% | 08/01/21 | 110,000 | ||||
130,000 | SA Energy Acq Pub Fac Corp TX Gas Sply Rev Gas Sply Rev | 5.50% | 08/01/25 | 155,280 | ||||
50,000 | San Antonio TX Tax Nts | 5.00% | 08/01/21 | 50,000 | ||||
700,000 | TX St Muni Gas Acq & Sply Corp III Gas Sply Rev Ref | 5.00% | 12/15/24 | 807,171 | ||||
500,000 | TX St Pub Fin Auth Ref Sthrn Univ Fing Sys, BAM | 5.00% | 11/01/21 | 505,732 | ||||
100,000 | TX St Transprtn Commn Central TX Turnpike Sys Rev Ref, Ser B | 5.00% | 08/15/37 | 112,716 | ||||
12,438,963 | ||||||||
Utah – 0.1% | ||||||||
135,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Spectrum Acdmy Proj | 4.00% | 04/15/24 | 146,834 | ||||
Vermont – 0.1% | ||||||||
140,000 | Burlington VT, Ser B | 5.00% | 11/01/21 | 141,668 | ||||
Virginia – 0.2% | ||||||||
100,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/25 | 116,698 | ||||
125,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/26 | 150,148 | ||||
266,846 | ||||||||
Washington – 0.4% | ||||||||
150,000 | Seattle WA Wtr Sys Rev Ref & Impt | 5.00% | 05/01/28 | 175,228 | ||||
105,000 | Tobacco Stlmt Auth WA Tobacco Stlmt Rev Ref | 5.00% | 06/01/23 | 114,116 | ||||
195,000 | WA St Hlthcare Facs Auth Seattle Cancer Care Alliance (a) | 5.00% | 12/01/24 | 225,243 | ||||
514,587 | ||||||||
West Virginia – 0.4% | ||||||||
500,000 | WV St Econ Dev Auth Sol Wst Disp Facs Var Sr Arch Res Proj, AMT (Mandatory put 07/01/25) | 5.00% | 07/01/45 | 550,256 | ||||
Wisconsin – 3.0% | ||||||||
185,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/25 | 211,282 | ||||
425,000 | Pub Fin Auth WI Rev Roseman Univ of Hlth Sciences Proj (a) | 3.00% | 04/01/25 | 442,406 | ||||
1,435,000 | Tender Option Bond Trust Recpts / Ctfs Various States Floaters, Ser 2020-XF2887 (a) (b) | 0.25% | 06/15/38 | 1,435,000 | ||||
810,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Ascension Hlth Credit Grp, Ser A | 5.00% | 11/15/36 | 974,644 | ||||
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 | 568,757 | ||||
85,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Prohealth Care Oblig Grp | 5.00% | 08/15/30 | 96,689 | ||||
155,000 | WI St Hlth & Eductnl Facs Auth Rev Three Pillars Sr Living Cmntys, Ser A | 4.00% | 08/15/24 | 170,620 | ||||
3,899,398 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Wyoming – 0.2% | ||||||||
$200,000 | Laramie Cnty WY Hosp Rev Ref Cheyenne Regl Med Ctr Proj | 4.00% | 05/01/26 | $231,759 |
Total Investments – 96.9% | 125,873,320 | ||
(Cost $123,211,154) (d) | |||
Net Other Assets and Liabilities – 3.1% | 4,057,861 | ||
Net Assets – 100.0% | $129,931,181 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury Long Bonds | Short | 4 | Sep 2021 | $ (658,875) | $(31,938) | |||||
U.S. Treasury Ultra 10-Year Notes | Short | 14 | Sep 2021 | (2,103,500) | (75,906) | |||||
Total Futures Contracts | $(2,762,375) | $(107,844) |
(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 July 31, 2021, securities noted as such amounted to $7,666,962 or 5.9% 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 federal income tax purposes was $123,040,201. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,730,422 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $5,147. The net unrealized appreciation was $2,725,275. 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. |
ASSETS TABLE | ||||
Total Value at 7/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 125,873,320 | $ — | $ 125,873,320 | $ — |
LIABILITIES TABLE | ||||
Total Value at 7/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts** | $ (107,844) | $ (107,844) | $ — | $ — |
* | 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 – 96.2% | ||||||||
Alabama – 4.5% | ||||||||
$50,000 | Albertville AL Warrants, Ser A, BAM | 3.50% | 06/01/35 | $51,415 | ||||
35,000 | Albertville AL Warrants, Ser A, BAM | 3.75% | 06/01/41 | 36,063 | ||||
500,000 | Chatom AL Indl Dev Brd Gulf Opportunity Zone Ref Gulf Opportunity Zone Pwr S Energy Corp Proj, AGM | 5.00% | 08/01/21 | 500,000 | ||||
2,750,000 | Hlthcare Auth for Baptist Hlth AL Var Ref, Ser B (a) | 0.17% | 11/01/42 | 2,750,000 | ||||
1,155,000 | Lower AL Gas Dist Gas Proj Rev Gas Proj Rev Bonds Proj 2 (Mandatory put 12/01/25) | 4.00% | 12/01/50 | 1,319,104 | ||||
1,425,000 | Mizuho Floater Residual Trust Various States Floaters Miz 9024, Ser 2020 (a) (b) | 0.27% | 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 | 347,829 | ||||
270,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A (Mandatory put 06/01/24) | 4.00% | 06/01/49 | 295,850 | ||||
7,425,261 | ||||||||
Arizona – 1.5% | ||||||||
1,000,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 05/01/23 | 1,082,496 | ||||
280,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Sch Proj | 5.00% | 07/01/22 | 291,060 | ||||
300,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Sch Proj | 5.00% | 07/01/23 | 324,377 | ||||
565,000 | 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 | 569,144 | ||||
245,000 | Salt Verde AZ Finl Corp Sr Gas Rev Sr | 5.25% | 12/01/23 | 271,428 | ||||
2,538,505 | ||||||||
Arkansas – 0.2% | ||||||||
260,000 | Sheridan AR Sch Dist #37 Construction Bonds | 3.38% | 02/01/43 | 264,182 | ||||
California – 3.1% | ||||||||
40,000 | Bay Area CA Toll Auth Toll Bridge Rev San Francisco Bay Area, Ser F-1 | 5.00% | 04/01/24 | 41,317 | ||||
20,000 | Bay Area CA Toll Auth Toll Bridge Rev San Francisco Bay Area, Ser F-1 | 5.00% | 04/01/31 | 20,658 | ||||
210,000 | CA Pub Fin Auth Rev Ref Henry Mayo Newhall Hosp, Ser A | 4.00% | 10/15/21 | 211,469 | ||||
2,000,000 | CA St Infra & Econ Dev Bank Rev Var Brightline W Psngrr Rail Proj Remk, Ser A, AMT (Mandatory put 02/01/22) (b) | 0.20% | 01/01/50 | 2,000,461 | ||||
100,000 | CA St Ref | 5.00% | 08/01/21 | 100,000 | ||||
75,000 | CA St Various Purp | 5.00% | 10/01/21 | 75,600 | ||||
90,000 | CA St Various Purp Bid Grp A | 5.00% | 10/01/21 | 90,720 | ||||
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 | 225,000 | ||||
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 | 185,954 | ||||
90,000 | Gilroy CA Unif Sch Dist Ref, AGM | 4.00% | 08/01/21 | 90,000 | ||||
150,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref Enhanced Asset Bkd, Ser A | 5.00% | 06/01/22 | 156,074 | ||||
300,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Ser A-1 | 5.00% | 06/01/22 | 311,957 | ||||
310,000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.25% | 11/15/23 | 345,384 | ||||
125,000 | Los Angeles CA Muni Impt Corp Lease Rev Ref Real Ppty, Ser C | 5.00% | 03/01/24 | 128,596 | ||||
150,000 | Oakland CA Unif Sch Dist Alameda Cnty, Ser A | 4.00% | 08/01/21 | 150,000 | ||||
295,000 | Port of Oakland CA Ref Sr Lien, Ser P, AMT | 5.00% | 05/01/26 | 305,709 | ||||
80,000 | Riverside CA Unif Sch Dist Election of 2016, Ser B | 4.00% | 08/01/21 | 80,000 | ||||
185,000 | San Diego CA Pub Facs Fing Auth Lease Rev Capital Impt Projs, Ser A | 4.50% | 04/15/42 | 190,801 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$90,000 | San Diego CA Pub Facs Fing Auth Lease Rev Ref Ballpark | 5.00% | 10/15/21 | $90,857 | ||||
100,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref Spl Facs Lease SFO Fuel Co LLC, Ser A, AMT | 5.00% | 01/01/23 | 106,755 | ||||
250,000 | Sthrn CA Pub Pwr Auth Nat Gas Proj Rev Proj No 1, Ser A | 5.25% | 11/01/22 | 266,265 | ||||
5,173,577 | ||||||||
Colorado – 2.9% | ||||||||
200,000 | Breckenridge CO Ref, Ser B, COPS | 4.00% | 12/01/21 | 202,466 | ||||
185,000 | CO St Hlth Facs Auth Hosp Rev Ref Commonspirit Hlth, Ser B-1 (Mandatory put 08/01/25) | 5.00% | 08/01/49 | 214,400 | ||||
100,000 | Copperleaf CO Met Dist #2 Ref, BAM | 4.00% | 12/01/21 | 101,267 | ||||
90,000 | Denver City & Cnty CO Arpt Rev Sys, Ser A, AMT | 5.00% | 11/15/22 | 95,664 | ||||
215,000 | Denver City & Cnty CO Arpt Rev Sys, Ser B | 5.00% | 11/15/32 | 228,479 | ||||
850,000 | Denver City & Cnty CO Arpt Rev, Ser A, AMT | 5.00% | 11/15/21 | 861,836 | ||||
100,000 | Denver City & Cnty CO Arpt Rev, Ser A, AMT | 5.25% | 11/15/22 | 101,461 | ||||
375,000 | Denver City & Cnty CO Elevate Denver, Ser A | 5.00% | 08/01/21 | 375,000 | ||||
2,000,000 | Denver CO Convention Ctr Hotel Auth Rev Ref Sr | 5.00% | 12/01/23 | 2,205,176 | ||||
200,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/21 | 203,020 | ||||
100,000 | Vauxmont Met Dist CO Ref Ltd Tax Conv Unltd Sub, AGM | 5.00% | 12/15/21 | 101,667 | ||||
170,000 | Woodmen Road CO Met Dist Ref, BAM | 4.00% | 12/01/22 | 177,649 | ||||
4,868,085 | ||||||||
Connecticut – 2.7% | ||||||||
135,000 | Bridgeport CT Ref, Ser C, NATL-RE | 5.50% | 08/15/21 | 135,241 | ||||
3,000,000 | Capital City CT Econ Dev Auth Pkg & Energy Fee Rev Adj, Ser B (a) | 0.05% | 06/15/34 | 3,000,000 | ||||
100,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Fairfield Univ, Ser S | 5.00% | 07/01/23 | 108,826 | ||||
225,000 | CT St Ref, Ser B | 5.00% | 04/15/23 | 243,931 | ||||
100,000 | CT St, Ser D | 5.00% | 11/01/22 | 101,202 | ||||
75,000 | CT St, Ser F | 5.00% | 11/15/21 | 76,055 | ||||
30,000 | Hamden CT, BAM | 5.00% | 08/15/23 | 32,846 | ||||
150,000 | Naugatuck CT | 5.00% | 09/15/21 | 150,870 | ||||
265,000 | Univ of CT CT Ref, Ser A | 5.00% | 11/01/22 | 281,244 | ||||
100,000 | Univ of CT CT Rev, Ser A | 4.00% | 11/15/21 | 101,115 | ||||
280,000 | Univ of CT CT, Ser A | 5.00% | 02/15/29 | 312,029 | ||||
4,543,359 | ||||||||
Florida – 4.8% | ||||||||
565,000 | Citizens Property Insurance Corp FL, Ser A1 | 5.00% | 06/01/22 | 574,062 | ||||
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 | 1,005,766 | ||||
125,000 | Fort Pierce FL Redev Agy Redev Rev Ref, BAM | 4.00% | 05/01/22 | 128,223 | ||||
100,000 | Gtr Orlando FL Aviation Auth Arpt Facs Rev Ref Priority Sub Arpt Facs, AMT | 5.00% | 10/01/23 | 110,311 | ||||
445,000 | Hollywood Beach FL Cmnty Dev Dist Rev Cdd Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/23 | 489,354 | ||||
160,000 | Hollywood FL Cmnty Redev Agy Redev Rev Ref | 5.00% | 03/01/23 | 171,468 | ||||
30,000 | Jacksonville FL Spl Rev Ref | 5.00% | 10/01/21 | 30,240 | ||||
575,000 | Jacksonville FL Spl Rev Ref, Ser C | 5.00% | 10/01/21 | 579,602 | ||||
100,000 | Jacksonville FL Spl Rev Ref, Ser C | 5.00% | 10/01/24 | 105,636 | ||||
125,000 | Jacksonville FL Spl Rev, Ser B-1 | 5.00% | 10/01/21 | 126,000 | ||||
110,000 | Jea FL Elec Sys Rev Ser Three, Ser A | 5.00% | 10/01/22 | 116,240 | ||||
190,000 | Jea FL Elec Sys Rev Sub, Ser A | 5.00% | 10/01/21 | 191,499 | ||||
25,000 | Jea FL Elec Sys Rev Sub, Ser A | 5.00% | 10/01/22 | 26,418 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$510,000 | Jea FL Elec Sys Rev Sub, Ser B | 5.00% | 10/01/21 | $514,023 | ||||
425,000 | Jea FL Elec Sys Rev Sub, Ser B | 5.00% | 10/01/22 | 449,109 | ||||
25,000 | Jea FL Elec Sys Rev Sub, Ser D | 5.00% | 10/01/22 | 26,418 | ||||
60,000 | Jea FL Elec Sys Rev Unrefunded Sub, Ser B | 5.00% | 10/01/23 | 63,404 | ||||
245,000 | Jea FL Elec Sys Rev Unrefunded, Ser 3-A | 5.00% | 10/01/23 | 258,898 | ||||
60,000 | Jea FL Wtr & Swr Rev Ref, Ser A | 5.00% | 10/01/21 | 60,470 | ||||
175,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Ref Country Club E Proj, AGM | 5.00% | 05/01/25 | 203,652 | ||||
95,000 | Manatee Cnty FL Port Auth Ref, Ser B, AMT | 4.00% | 10/01/37 | 99,173 | ||||
500,000 | Miami-Dade Cnty FL Aviation Rev Ref, Ser A, AMT | 5.00% | 10/01/28 | 528,060 | ||||
395,000 | Miami-Dade Cnty FL Spl Oblig Ref Sub, Ser A | 5.00% | 10/01/27 | 417,645 | ||||
105,000 | Miami-Dade Cnty FL Spl Oblig Ref Sub, Ser B, AGM | 4.00% | 10/01/37 | 109,801 | ||||
200,000 | Miami-Dade Cnty FL Wtr & Swr Rev Ref | 5.00% | 10/01/21 | 201,594 | ||||
695,000 | Orlando & Orange Cnty FL Expressway Auth Ref, Ser B, AGM | 5.00% | 07/01/22 | 726,371 | ||||
210,000 | Palm Beach Cnty FL Sch Brd Ref, Ser B, COPS | 5.00% | 08/01/21 | 210,000 | ||||
300,000 | Pembroke Pines FL Capital Impt Rev Ref, AGM | 5.00% | 12/01/21 | 304,833 | ||||
130,000 | Sarasota Cnty FL Util Sys Rev | 5.00% | 10/01/38 | 143,778 | ||||
7,972,048 | ||||||||
Georgia – 0.3% | ||||||||
195,000 | Atlanta GA Wtr & Wstwtr Rev Ref | 5.00% | 11/01/21 | 197,367 | ||||
140,000 | Priv Clgs & Univs Auth GA Mercer Univ, Ser A | 5.25% | 10/01/27 | 141,154 | ||||
185,000 | Priv Clgs & Univs Auth GA Mercer Univ, Ser A | 5.00% | 10/01/32 | 186,451 | ||||
524,972 | ||||||||
Hawaii – 0.2% | ||||||||
345,000 | HI St Prerefunded, Ser DZ | 5.00% | 12/01/22 | 350,561 | ||||
Illinois – 8.3% | ||||||||
120,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (c) | 12/01/22 | 119,156 | ||||
100,000 | Chicago IL Brd of Edu Cap Apprec Sch, Ser A, BHAC-CR FGIC | (c) | 12/01/22 | 99,626 | ||||
1,500,000 | Chicago IL Brd of Edu Ref, Ser A | 4.00% | 12/01/21 | 1,517,922 | ||||
765,000 | Chicago IL Brd of Edu Ref, Ser B | 5.00% | 12/01/21 | 776,644 | ||||
80,000 | Chicago IL O’Hare Intl Arpt Rev Ref Gen Sr Lien, Ser C | 5.00% | 01/01/23 | 85,510 | ||||
300,000 | Chicago IL Wtr Rev Second Lien | 5.00% | 11/01/21 | 303,552 | ||||
340,000 | Chicago IL Wtrwks Rev 2nd Lien Proj | 5.00% | 11/01/21 | 344,025 | ||||
1,000,000 | Cook Cnty IL Ref, Ser A | 3.00% | 11/15/21 | 1,008,318 | ||||
150,000 | Cook Cnty IL Ref, Ser C | 5.00% | 11/15/23 | 159,274 | ||||
1,500,000 | Grundy Kendall & Will Cntys IL Cmnty High Sch Dist #111 Ref | 4.00% | 11/01/21 | 1,513,982 | ||||
100,000 | IL St | 4.00% | 09/01/21 | 100,304 | ||||
200,000 | IL St | 5.00% | 03/01/22 | 205,596 | ||||
220,000 | IL St | 5.00% | 06/01/22 | 228,761 | ||||
430,000 | IL St | 5.00% | 07/01/22 | 448,806 | ||||
405,000 | IL St | 5.00% | 05/01/23 | 438,166 | ||||
210,000 | IL St | 4.00% | 03/01/26 | 214,309 | ||||
1,000,000 | IL St Dev Fin Auth Sol Wst Disp Rev Wst Mgmt Inc Proj Remk, Ser A, AMT (Mandatory put 11/01/21) | 0.55% | 11/01/44 | 1,001,043 | ||||
180,000 | IL St Fin Auth Hlth Svcs Facs Lease Rev Univ of IL Hlth Svcs Fac Proj | 5.00% | 10/01/23 | 197,326 | ||||
150,000 | IL St Fin Auth Rev Ref Osf Hlthcare Sys, Ser A | 5.00% | 11/15/22 | 159,220 | ||||
475,000 | IL St Fin Auth Rev Univ of Chicago, Ser A | 5.00% | 10/01/51 | 478,764 | ||||
2,000,000 | IL St Fin Auth Rev Var Univ Chicago Med Ctr, Ser A (a) | 0.02% | 08/01/44 | 2,000,000 | ||||
385,000 | IL St Ref | 5.00% | 02/01/22 | 394,239 | ||||
50,000 | IL St Ref | 4.00% | 08/01/25 | 51,789 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$500,000 | IL St, Ser A | 5.00% | 03/01/22 | $513,990 | ||||
200,000 | IL St, Ser A | 5.00% | 04/01/22 | 206,389 | ||||
100,000 | IL St, Ser A | 5.00% | 04/01/23 | 107,816 | ||||
15,000 | IL St, Ser A, AGM | 4.00% | 01/01/22 | 15,242 | ||||
155,000 | IL St, Ser D | 5.00% | 11/01/22 | 164,180 | ||||
115,000 | Kane Kendall Etc Cntys IL Cmnty Clg Dist #516, Ser A | 5.00% | 12/15/22 | 117,095 | ||||
95,000 | Montgomery IL Ref Alt Rev Source | 2.63% | 12/01/21 | 95,177 | ||||
75,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/22 | 77,023 | ||||
500,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/23 | 535,839 | ||||
13,679,083 | ||||||||
Indiana – 3.6% | ||||||||
1,015,000 | Brownsburg IN 1999 Sch Bldg Corp, BANS (b) | 1.50% | 05/13/22 | 1,017,490 | ||||
85,000 | Carmel IN Redev Auth Lease Rental Rev Multipurpose, Ser A | 4.00% | 08/01/30 | 88,329 | ||||
305,000 | Carmel IN Redev Auth Lease Rental Rev Multipurpose, Ser A | 4.00% | 08/01/35 | 316,945 | ||||
500,000 | Greater Clark IN Bldg Corp | 4.00% | 01/15/22 | 508,419 | ||||
170,000 | Greater Clark IN Bldg Corp Greater Clark Sch Corp 1st Mtge Bonds, Ser 2019 | 4.00% | 01/15/22 | 172,862 | ||||
1,000,000 | Hamilton IN S Estrn Schs | 3.00% | 12/31/22 | 1,038,226 | ||||
70,000 | IN Fin Auth IN Wstwtr Util Rev First Lien Cwa Auth, Ser A | 5.25% | 10/01/25 | 70,583 | ||||
80,000 | IN Fin Auth IN Wstwtr Util Rev First Lien Cwa Auth, Ser A | 5.25% | 10/01/31 | 80,666 | ||||
85,000 | IN Fin Auth IN Wstwtr Util Rev First Lien Cwa Auth, Ser A | 5.25% | 10/01/38 | 85,708 | ||||
175,000 | IN St Bond Bank Spl Prog Gas Rev, Ser A | 5.25% | 10/15/21 | 176,715 | ||||
150,000 | IN St Fin Auth Rev BHI Sr Living | 5.50% | 11/15/26 | 152,281 | ||||
105,000 | IN St Muni Pwr Agy Ref, Ser A | 5.00% | 01/01/24 | 116,863 | ||||
45,000 | La Porte IN Wtrwks Rev, AGM | 4.00% | 07/01/22 | 46,457 | ||||
100,000 | La Porte IN Wtrwks Rev, AGM | 4.00% | 07/01/23 | 106,231 | ||||
1,400,000 | Noblesville IN Multi Sch Bldg Corp Ref 1st Mtge | 5.00% | 07/15/22 | 1,447,311 | ||||
470,000 | Saint Joseph Cnty IN Arpt Auth Ref, AMT, BAM | 4.00% | 01/01/23 | 494,032 | ||||
5,919,118 | ||||||||
Iowa – 2.0% | ||||||||
1,030,000 | IA St Fin Auth Midwestern Econ Dev Rev Var Cj Bio Amer Inc Proj (a) | 0.06% | 04/01/22 | 1,030,000 | ||||
1,000,000 | IA St Fin Auth Sol Wst Facs Rev Var Green Bond Gevo NW Rng LLC Renewable Natrl Gas Proj, AMT (Mandatory put 04/01/24) | 1.50% | 01/01/42 | 1,011,371 | ||||
1,250,000 | IA St Hgr Edu Loan Auth Priv Edu Working Capital Loan Prog, Ser A, RANS | 2.00% | 05/19/22 | 1,266,863 | ||||
3,308,234 | ||||||||
Kansas – 0.1% | ||||||||
225,000 | Wyandotte Cnty KS Unif Sch Dist #202, Ser A, AGM | 2.00% | 09/01/21 | 225,318 | ||||
Kentucky – 0.3% | ||||||||
50,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser C-1 (Mandatory put 06/01/25) | 4.00% | 12/01/49 | 56,242 | ||||
150,000 | KY St Pub Energy Auth Gas Sply Rev Var, Ser C | 4.00% | 08/01/21 | 150,000 | ||||
35,000 | Lewis Cnty KY Sch Dist Fin Corp, Ser B | 2.25% | 06/01/22 | 35,583 | ||||
300,000 | Owen Cnty KY Pub Properties Corp 1st Mtge Rev Ref Court Facs Proj | 4.00% | 11/01/21 | 302,632 | ||||
544,457 | ||||||||
Louisiana – 3.2% | ||||||||
1,000,000 | LA St Gas & Fuels Tax Rev Var Ref Second Lien Remk, Ser D-2 (Mandatory put 05/01/22) | 0.55% | 05/01/43 | 1,000,249 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Louisiana (Continued) | ||||||||
$125,000 | LA Stadium & Exposition Dist LA Ref Sr, Ser A | 5.00% | 07/01/28 | $136,204 | ||||
2,400,000 | LA Stadium & Exposition Dist LA, BANS | 4.00% | 07/03/23 | 2,539,123 | ||||
15,000 | New Orleans LA Wtr Rev Ref | 5.00% | 12/01/29 | 17,354 | ||||
35,000 | New Orleans LA Wtr Rev Ref | 5.00% | 12/01/34 | 40,493 | ||||
280,000 | New Orleans LA Wtr Rev Ref | 5.00% | 12/01/44 | 323,946 | ||||
500,000 | Saint John the Baptist Parish LA Rev Ref Marathon Oil Corp Proj Remk, Ser A-1 (Mandatory put 04/01/23) | 2.00% | 06/01/37 | 512,222 | ||||
185,000 | Shreveport LA Wtr & Swr Rev Junior Lien, Ser C, BAM | 5.00% | 12/01/23 | 205,073 | ||||
200,000 | Shreveport LA Wtr & Swr Rev Ref | 5.00% | 12/01/21 | 203,224 | ||||
255,000 | Shreveport LA Wtr & Swr Rev Ref, Ser A, BAM | 5.00% | 12/01/22 | 271,037 | ||||
5,248,925 | ||||||||
Maryland – 0.1% | ||||||||
100,000 | Harford Cnty MD Spl Oblg Ref Beechtree Estates Proj | 3.00% | 07/01/22 | 102,219 | ||||
80,000 | Maryland St Second, Ser B | 5.00% | 08/01/21 | 80,000 | ||||
182,219 | ||||||||
Massachusetts – 1.0% | ||||||||
750,000 | Ludlow MA, BANS | 1.00% | 09/23/21 | 750,898 | ||||
100,000 | MA St Eductnl Fing Auth Ref Issue L Sr, Ser B, AMT | 5.00% | 07/01/22 | 104,467 | ||||
150,000 | MA St Eductnl Fing Auth Sr, Ser B, AMT | 5.00% | 07/01/23 | 163,390 | ||||
530,000 | MA St Port Auth, Ser A, AMT | 5.00% | 07/01/42 | 553,394 | ||||
1,572,149 | ||||||||
Michigan – 0.1% | ||||||||
100,000 | MI St Fin Auth Rev Second Lien Distrib St Aid Rev Chrt Cnty Wayne | 5.00% | 11/01/22 | 105,793 | ||||
55,000 | Port Huron MI, Ser B, AGM | 5.25% | 10/01/40 | 55,458 | ||||
161,251 | ||||||||
Minnesota – 1.0% | ||||||||
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 | 1,000,881 | ||||
600,000 | Forest Lake MN Indep Sch Dist #831 Ref, Ser A, COPS | 4.00% | 04/01/23 | 634,719 | ||||
60,000 | MN St St Trunk Hwy, Ser B | 5.00% | 10/01/22 | 60,480 | ||||
1,696,080 | ||||||||
Mississippi – 0.6% | ||||||||
500,000 | MS St Busn Fin Corp Sol Wst Disp Rev Waste Mgmt Inc Proj Remk (Mandatory put 09/01/21) | 0.55% | 03/01/29 | 500,166 | ||||
400,000 | MS St Dev Bank Spl Oblg Jackson Wtr & Swr Sys Proj, AGM | 6.75% | 12/01/26 | 455,697 | ||||
100,000 | MS St Dev Bank Spl Oblg Jackson Wtr & Swr Sys Proj, AGM | 6.75% | 12/01/32 | 113,475 | ||||
1,069,338 | ||||||||
Missouri – 0.6% | ||||||||
500,000 | Bridgeton MO Spl Oblig Rev Ref, Ser A | 4.00% | 12/01/22 | 524,410 | ||||
140,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Bethesda Hlth Grp Inc Ref | 3.00% | 08/01/21 | 140,000 | ||||
250,000 | Randolph Cnty MO Sch Dist #81 Moberly MO Direct Deposit Prog | 5.75% | 03/01/26 | 257,989 | ||||
922,399 | ||||||||
Nebraska – 2.5% | ||||||||
300,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/22 | 315,600 | ||||
325,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/27 | 341,574 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Nebraska (Continued) | ||||||||
$405,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/32 | $425,744 | ||||
410,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.25% | 09/01/37 | 432,103 | ||||
145,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj #3 | 5.00% | 09/01/42 | 152,427 | ||||
165,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No 1, Ser A | 5.25% | 12/01/21 | 167,754 | ||||
150,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 | 5.00% | 01/01/24 | 167,564 | ||||
1,855,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 (Mandatory put 01/01/24) | 5.00% | 03/01/50 | 2,052,047 | ||||
50,000 | NE St Pub Pwr Dist Rev Gen, Ser C | 5.00% | 01/01/22 | 50,991 | ||||
4,105,804 | ||||||||
Nevada – 3.3% | ||||||||
250,000 | Carson City NV Hosp Rev Ref Carson Tahoe Regl Med Ctr, Ser A | 5.00% | 09/01/21 | 250,924 | ||||
160,000 | Clark Cnty NV Arpt Rev Ref Sys Sub Lien, Ser A-1, AMT | 5.00% | 07/01/22 | 167,117 | ||||
200,000 | Clark Cnty NV Passenger Fac Charge Rev Ref Las Vegas Mccarran Intl Arpt, Ser E | 5.00% | 07/01/23 | 218,741 | ||||
835,000 | Clark Cnty NV Sch Dist Ref Bldg, Ser A | 5.00% | 06/15/23 | 911,602 | ||||
675,000 | Clark Cnty NV Sch Dist Ref, Ser A | 5.00% | 06/15/23 | 736,924 | ||||
800,000 | Clark Cnty NV Sch Dist Various Purp Medium Term, Ser F | 5.00% | 06/15/22 | 814,534 | ||||
750,000 | Director of the St of NV Dept of Busn & Ind Var Brightline W Psngr Rail Proj Remk, Ser A, AMT (Mandatory put 02/01/22) (b) | 0.25% | 01/01/50 | 750,173 | ||||
1,600,000 | Yerington NV USDA Interim Debs | 1.63% | 11/01/23 | 1,616,476 | ||||
5,466,491 | ||||||||
New Jersey – 5.2% | ||||||||
100,000 | Atlantic City NJ Brd of Edu Ref Sch Bd Res Fd, AGM | 4.00% | 04/01/23 | 105,701 | ||||
125,000 | Hamilton Twp NJ Sch Dist, AGM | 3.00% | 07/15/22 | 128,325 | ||||
90,000 | Hudson Cnty NJ Impt Auth Rev Cnty Gtd Spl Acq 830 Bergen Ave Acq Proj | 5.00% | 11/15/31 | 91,254 | ||||
1,795,000 | Jersey City NJ Muni Utilities Auth Wtr Proj Notes | 3.00% | 07/01/22 | 1,839,324 | ||||
640,000 | Jersey City NJ, Ser A, BANS | 1.50% | 01/12/22 | 644,197 | ||||
700,000 | NJ St Covid-19 Go Emergency Bonds, Ser A | 4.00% | 06/01/23 | 748,771 | ||||
25,000 | NJ St Econ Dev Auth Ref, Ser A, BAM | 5.00% | 06/15/23 | 27,284 | ||||
30,000 | NJ St Econ Dev Auth Rev Sch Facs Constr, Ser KK | 5.00% | 03/01/23 | 31,551 | ||||
500,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev Sr Bonds, Ser B, AMT | 5.00% | 12/01/22 | 531,099 | ||||
100,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev Sr, Ser 2015-1A, AMT | 5.00% | 12/01/24 | 114,970 | ||||
255,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev, Ser B, AMT | 5.00% | 12/01/23 | 282,227 | ||||
360,000 | NJ St Transprtn Trust Fund Auth Transn Sys, Ser A | 5.50% | 12/15/21 | 367,011 | ||||
250,000 | NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA | 5.00% | 06/15/23 | 260,385 | ||||
570,000 | NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA | 5.00% | 06/15/28 | 593,678 | ||||
300,000 | NJ St Transprtn Trust Fund Auth Transprtn Prog, Ser AA | 5.00% | 06/15/32 | 312,462 | ||||
580,000 | NJ St Transprtn Trust Fund Auth Transprtn Sys, Ser A | 5.00% | 06/15/42 | 604,094 | ||||
1,000,000 | Prospect Park NJ, BANS | 2.00% | 11/10/21 | 1,004,417 | ||||
600,000 | Ringwood NJ Brd of Edu Ref, BAM | 4.00% | 09/01/22 | 624,876 | ||||
225,000 | Ringwood NJ Brd of Edu Ref, BAM | 4.00% | 09/01/23 | 242,871 | ||||
8,554,497 | ||||||||
New Mexico – 0.8% | ||||||||
550,000 | Farmington NM Poll Control Rev Ref Pub Svc Company Proj Remk, Ser B (Mandatory put 06/01/22) | 2.13% | 06/01/40 | 558,317 | ||||
750,000 | Farmington NM Poll Control Rev Var Ref Pub Svc Co of NM Remk, Ser F, AMT (Mandatory put 06/01/22) | 1.20% | 06/01/40 | 755,516 | ||||
1,313,833 | ||||||||
New York – 13.4% | ||||||||
100,000 | Build NYC Res Corp NY Rev Acad Leadership Chrt Sch Proj | 4.00% | 06/15/23 | 106,474 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$110,000 | Ctr Moriches NY Union Freesch Dist | 5.00% | 08/01/21 | $110,000 | ||||
1,364,700 | E Hampton Town NY, Ser A, BANS | 1.25% | 08/20/21 | 1,365,411 | ||||
2,000,000 | Harpursville NY Centrl Sch Dist, BANS | 1.25% | 06/28/22 | 2,020,006 | ||||
600,000 | Long Beach NY, BAM | 2.00% | 09/15/22 | 612,113 | ||||
285,000 | Met Transprtn Auth NY Rev Transprtn, Ser A-1 | 5.00% | 11/15/23 | 315,291 | ||||
100,000 | Met Transprtn Auth NY Rev Transprtn, Ser B | 5.00% | 11/15/22 | 106,130 | ||||
120,000 | Met Transprtn Auth NY Rev Transprtn, Ser E | 5.00% | 11/15/22 | 127,356 | ||||
410,000 | Met Transprtn Auth NY Rev, Ser A-2S, BANS | 4.00% | 02/01/22 | 417,612 | ||||
100,000 | Met Transprtn Auth NY Rev, Ser B, NATL-RE, FGIC | 5.25% | 11/15/21 | 101,438 | ||||
1,090,000 | Met Transprtn Auth NY Rev, Ser B-1, BANS | 5.00% | 05/15/22 | 1,130,741 | ||||
180,000 | Niagara Cnty NY Tobacco Asset Securitization Corp Tobacco As Ref Asset Bkd Bds | 5.00% | 05/15/22 | 186,771 | ||||
2,000,000 | NY City NY Hsg Dev Corp Mf Hsg Rev Sustainable Dev Bonds Var, Ser F-2 (Mandatory put 07/01/25) | 0.60% | 05/01/61 | 2,009,105 | ||||
1,630,000 | NY City NY Hsg Dev Corp Rev, Ser A | 5.00% | 07/01/25 | 1,770,923 | ||||
1,695,000 | NY City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Var Second Gen Resolution Sub FF-1 (a) | 0.02% | 06/15/44 | 1,695,000 | ||||
1,000,000 | NY NY Adj Fiscal 2017, Subser A-5 (a) | 0.04% | 08/01/44 | 1,000,000 | ||||
2,150,000 | NY NY Adj Fiscal 2020, Subser B-3 (a) | 0.13% | 10/01/46 | 2,150,000 | ||||
75,000 | NY NY Ref, Ser A | 5.00% | 08/01/21 | 75,000 | ||||
1,000,000 | NY NY Var Fiscal 2021 Remk, Ser 3 (a) | 0.12% | 04/01/42 | 1,000,000 | ||||
100,000 | NY NY, Ser C | 5.00% | 08/01/23 | 104,928 | ||||
125,000 | NY St Hsg Fin Agy Affordable Hsg, Ser E | 2.13% | 11/01/23 | 125,115 | ||||
235,000 | NY St Hsg Fin Agy Sustainability Bonds, Ser N | 1.45% | 05/01/23 | 235,245 | ||||
180,000 | NY St Hsg Fin Agy Sustainability Bonds, Ser Q | 1.35% | 11/01/23 | 183,689 | ||||
895,000 | NY St Mtge Agy Homeowner Mtge Rev, Ser 180, AMT | 3.90% | 04/01/22 | 913,955 | ||||
1,000,000 | NY St Mtge Agy Homeowner Mtge Rev, Ser 183, AMT | 3.75% | 04/01/23 | 1,052,537 | ||||
175,000 | NY St Mtge Agy Rev Mtge, 55th Ser, AMT | 2.65% | 10/01/23 | 182,401 | ||||
265,000 | NY St Mtge Agy Rev, Ser 51 | 2.25% | 10/01/23 | 274,808 | ||||
410,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser A, AMT | 5.00% | 12/01/22 | 435,841 | ||||
300,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser C | 5.00% | 12/01/21 | 304,792 | ||||
225,000 | Port Auth of NY & NJ NY Ref 195th Ser, AMT | 5.00% | 10/01/21 | 226,760 | ||||
100,000 | Port Auth of NY & NJ NY Ref Consol Ser 186, AMT | 5.00% | 10/15/22 | 105,812 | ||||
135,000 | Port Auth of NY & NJ NY Ref Consolidated Bonds Two Hundred Second, AMT | 5.00% | 10/15/21 | 136,311 | ||||
180,000 | Port Auth of NY & NJ NY Ref Consolidated Bonds Two Hundred Second, AMT | 5.00% | 10/15/22 | 190,461 | ||||
165,000 | Port Auth of NY & NJ NY Ref, Ser 207, AMT | 5.00% | 09/15/23 | 181,638 | ||||
155,000 | Rochester NY, Ser II, BANS | 2.00% | 08/03/22 | 157,983 | ||||
1,000,000 | Suffolk Cnty NY, Ser II, TANS | 2.00% | 08/19/21 | 1,000,837 | ||||
22,112,484 | ||||||||
North Carolina – 0.3% | ||||||||
220,000 | NC St Capital Facs Fin Agy Eductnl Facs Rev Ref High Point Univ | 3.00% | 05/01/22 | 224,523 | ||||
105,000 | NC St Estrn Muni Pwr Agy Pwr Sys Rev, Ser A | 5.00% | 01/01/23 | 109,734 | ||||
40,000 | NC St Estrn Muni Pwr Agy Pwr Sys Rev, Ser A | 5.00% | 01/01/24 | 41,803 | ||||
75,000 | Univ of NC NC at Charlotte, Ser A | 5.00% | 04/01/37 | 77,459 | ||||
453,519 | ||||||||
North Dakota – 1.5% | ||||||||
1,000,000 | Horace ND Ref & Impt, Ser A | 1.90% | 08/01/22 | 1,001,034 | ||||
110,000 | ND St Hsg Fin Agy Hsg Fin Prog Home Mtge Fin Prog, Ser A | 2.30% | 01/01/22 | 110,929 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
North Dakota (Continued) | ||||||||
$350,000 | W Fargo ND Ref, Ser A | 2.00% | 05/01/22 | $354,779 | ||||
500,000 | Watford City ND St Aid Ctfs Indebtedness Ref, AGM | 3.00% | 12/01/21 | 503,865 | ||||
440,000 | Williston ND Cnty Wide Pub Safety Sales Tax Rev Ref, Ser A | 5.00% | 07/15/22 | 457,000 | ||||
2,427,607 | ||||||||
Ohio – 2.8% | ||||||||
70,000 | American Muni Pwr OH Inc OH Rev Ref Combined Hydroelec Proj, Ser A | 5.00% | 02/15/23 | 75,191 | ||||
155,000 | American Muni Pwr OH Inc OH Rev Ref Prairie St Energy Cmps Proj, Ser A | 5.00% | 02/15/23 | 166,495 | ||||
150,000 | Butler Cnty OH Hosp Facs Ref UC Hlth | 4.00% | 11/15/23 | 162,531 | ||||
120,000 | Franklin Cnty OH Hosp Rev Facs OH Hlth Corp, Ser A | 5.00% | 11/15/41 | 121,690 | ||||
115,000 | Miami Univ OH Ref | 4.00% | 09/01/23 | 115,351 | ||||
280,000 | Montgomery Cnty OH Hosp Rev Ref Kettering Hlth Network Oblig Grp Proj | 5.00% | 08/01/23 | 307,018 | ||||
100,000 | NE OH Med Univ Gen Recpts Ref, Ser A | 3.00% | 12/01/22 | 103,233 | ||||
500,000 | OH St Air Quality Dev Auth Ref American Elec Pwr Company Proj Remk, Ser B, AMT (Mandatory put 10/01/24) | 2.10% | 07/01/28 | 523,556 | ||||
75,000 | OH St Ref Common Schs, Ser A | 5.00% | 09/15/21 | 75,435 | ||||
3,000,000 | Olmsted Falls OH, BANS | 1.25% | 06/09/22 | 3,023,373 | ||||
4,673,873 | ||||||||
Oklahoma – 2.6% | ||||||||
2,700,000 | OK St Dev Fin Auth Gilcrease Expressway W Proj P3 Proj, AMT | 1.63% | 07/06/23 | 2,729,423 | ||||
930,000 | OK St Dev Fin Auth Var Solid Waste Disp Remk, Ser A | 2.38% | 12/01/21 | 936,828 | ||||
75,000 | OK St Wtr Res Brd Revolving Fund Rev Master Trust, Ser A | 5.00% | 04/01/25 | 77,459 | ||||
90,000 | OK St Wtr Res Brd Revolving Fund Rev Master Trust, Ser A | 5.00% | 04/01/28 | 92,951 | ||||
25,000 | OK St Wtr Res Brd Revolving Fund Rev Master Trust, Ser B | 5.00% | 04/01/23 | 25,820 | ||||
465,000 | Tulsa OK Arpts Impt Trust Ref, Ser A, AMT, BAM | 5.00% | 06/01/22 | 483,393 | ||||
4,345,874 | ||||||||
Pennsylvania – 5.8% | ||||||||
200,000 | Berks Cnty PA Indl Dev Auth Hlth Sys Rev Ref Tower Hlth Proj | 5.00% | 11/01/22 | 207,078 | ||||
900,000 | Berks Cnty PA Muni Auth Ref Tower Hlth Proj, Ser A | 5.00% | 02/01/22 | 912,799 | ||||
50,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/22 | 51,653 | ||||
55,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/23 | 59,234 | ||||
165,000 | Hermitage PA Muni Auth Ref, Ser C | 3.00% | 02/01/22 | 167,246 | ||||
150,000 | Mckeesport PA Area Sch Dist Ref, Ser A, AGM | 3.00% | 10/01/21 | 150,698 | ||||
150,000 | Monroeville PA Fin Auth Upmc Rev Ref, Ser B | 3.50% | 07/01/23 | 159,612 | ||||
125,000 | PA St Econ Dev Fing Auth Pkg Sys Rev Capitol Region Pkg Sys Sr, Ser A, AGM | 5.00% | 01/01/23 | 133,021 | ||||
3,000,000 | PA St Econ Dev Fing Auth Solid Waste Disposal Rev Var Ref Rep Svcs Inc Proj Remk, Ser A, AMT (Mandatory put 10/15/21) | 0.18% | 04/01/34 | 3,000,223 | ||||
750,000 | PA St Econ Dev Fing Auth Solid Waste Disposal Rev Waste Mgmt Inc Proj Remk, Ser A, AMT (Mandatory put 08/02/21) | 0.70% | 08/01/37 | 750,000 | ||||
150,000 | PA St First Ser | 4.00% | 11/15/28 | 151,687 | ||||
235,000 | PA St Turnpike Commn Oil Franchise Tax Rev Ref Sub, Ser B | 5.00% | 12/01/21 | 238,785 | ||||
1,280,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/21 | 1,280,000 | ||||
145,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/21 | 145,000 | ||||
275,000 | Philadelphia PA Ref, Ser A | 5.00% | 09/15/21 | 276,574 | ||||
150,000 | Philadelphia PA Ref, Ser A | 5.00% | 07/15/22 | 156,984 | ||||
215,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/23 | 235,927 | ||||
80,000 | Philadelphia PA Wtr & Wstwtr Rev Ref, Ser B | 5.00% | 11/01/21 | 80,961 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$305,000 | Philadelphia PA Wtr & Wstwtr Rev, Ser A | 5.13% | 01/01/43 | $311,310 | ||||
200,000 | Riverside PA Sch Dist Ref, BAM | 2.00% | 10/15/22 | 204,093 | ||||
225,000 | Riverside PA Sch Dist Ref, BAM | 3.00% | 10/15/23 | 238,166 | ||||
300,000 | Riverside PA Sch Dist Ref, BAM | 4.00% | 10/15/24 | 334,215 | ||||
275,000 | Riverside PA Sch Dist Ref, BAM | 4.00% | 10/15/25 | 313,948 | ||||
70,000 | W Cornwall Twp PA Muni Auth Ref Lebanon Vly Brethren Home Proj, Ser A | 4.00% | 11/15/22 | 73,121 | ||||
9,632,335 | ||||||||
South Carolina – 0.9% | ||||||||
500,000 | Berkeley Cnty SC Sch Dist Installment Pur Rev Ref Securing Assets for Edu, Ser A | 5.00% | 12/01/27 | 554,621 | ||||
50,000 | SC St Pub Svc Auth Rev Ref Oblig Santee Cooper Proj, Ser B | 4.00% | 12/01/21 | 50,642 | ||||
145,000 | SC St Pub Svc Auth Rev Ref Obligs, Ser C | 5.00% | 12/01/22 | 154,260 | ||||
60,000 | SC St Pub Svc Auth Rev Ref Santee Cooper, Ser A | 5.00% | 12/01/28 | 60,967 | ||||
90,000 | SC St Pub Svc Auth Rev Ref Santee Cooper, Ser A | 5.00% | 12/01/29 | 91,451 | ||||
100,000 | SC St Pub Svc Auth Rev Ref, Ser B | 5.00% | 12/01/22 | 106,386 | ||||
335,000 | SC St Pub Svc Auth Rev Santee Cooper, Ser D | 5.00% | 12/01/43 | 348,722 | ||||
90,000 | SC St Pub Svc Auth Rev Unrefunded Ref Oblig, Ser B | 5.00% | 12/01/21 | 91,451 | ||||
15,000 | Scago SC Eductnl Facs Corp for Pickens Sch Dist Ref | 5.00% | 12/01/21 | 15,234 | ||||
1,473,734 | ||||||||
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 | 100,716 | ||||
135,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Trevecca Nazarene Univ Proj, Ser B | 4.00% | 10/01/23 | 145,112 | ||||
300,000 | TN St Energy Acq Corp Gas Rev | 5.00% | 11/01/22 | 317,884 | ||||
970,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/22 | 1,022,617 | ||||
445,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/23 | 490,405 | ||||
710,000 | TN St Energy Acq Corp Gas Rev, Ser C | 5.00% | 02/01/23 | 759,666 | ||||
2,836,400 | ||||||||
Texas – 8.4% | ||||||||
40,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Kipp TX Inc | 5.00% | 08/15/23 | 43,906 | ||||
145,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Wayside Schs, Ser A | 4.38% | 08/15/36 | 145,205 | ||||
200,000 | Bexar Cnty TX Hlth Facs Dev Corp Ref Army Retmnt Residence Fndtn Proj | 5.00% | 07/15/23 | 215,652 | ||||
250,000 | Centrl TX Regl Mobility Auth Rev Ref | 5.00% | 01/01/22 | 254,935 | ||||
180,000 | Centrl TX Regl Mobility Auth Rev Ref Sr Lien, Ser A, AGM | 5.00% | 01/01/43 | 192,540 | ||||
45,000 | Dallas TX Wtrwks & Swr Sys Rev Prerefunded Ref | 5.00% | 10/01/22 | 45,356 | ||||
75,000 | Dallas TX Wtrwks & Swr Sys Rev Ref, Ser A | 5.00% | 10/01/37 | 79,300 | ||||
65,000 | Dallas TX Wtrwks & Swr Sys Rev Unrefunded Ref, Ser A | 5.00% | 10/01/29 | 68,726 | ||||
50,000 | Dallas-Fort Worth TX Intl Arpt Rev Jt Impt, Ser D, AMT | 5.00% | 11/01/38 | 50,595 | ||||
325,000 | Dallas-Fort Worth TX Intl Arpt Rev Jt Impt, Ser D, AMT | 5.00% | 11/01/42 | 328,866 | ||||
115,000 | Dallas-Fort Worth TX Intl Arpt Rev, Ser H, AMT | 4.00% | 11/01/45 | 116,087 | ||||
1,000,000 | Denton TX Indep Sch Dist Var Sch Bldg Remk, Ser B (a) | 0.02% | 08/01/35 | 1,000,000 | ||||
75,000 | Fort Worth TX Ref & Impt | 5.00% | 03/01/32 | 77,149 | ||||
200,000 | Gulfgate Redev Auth TX Tax Incr Contract Rev Ref, AGM | 4.00% | 09/01/22 | 207,871 | ||||
145,000 | Harris Cnty TX Muni Util Dist #397 Ref Green Bond, BAM | 4.00% | 05/01/22 | 149,048 | ||||
370,000 | Harris Cnty TX Muni Util Dist #457, AGM | 3.00% | 09/01/21 | 370,793 | ||||
145,000 | Harris Cnty TX Muni Util Dist #502, AGM | 4.00% | 09/01/21 | 145,423 | ||||
15,000 | Houston TX Util Sys Rev Comb First Lien, Ser D | 5.00% | 11/15/40 | 15,211 | ||||
45,000 | Houston TX Util Sys Rev Ref Comb 1st Lien, Ser F | 5.00% | 11/15/31 | 45,634 | ||||
35,000 | Houston TX Util Sys Rev Ref Comb First Lien, Ser F | 5.00% | 11/15/28 | 35,493 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$150,000 | Lower CO River TX Auth Trans Contract Rev Ref Lcra Trans Svcs | 5.00% | 05/15/25 | $155,712 | ||||
45,000 | Lower CO River TX Auth Trans Contract Rev Ref Lcra Trans Svcs Corp Proj | 5.00% | 05/15/23 | 48,954 | ||||
265,000 | Mclendon Chisholm TX Spl Assmnt Rev Ref Sonoma Pub Impt Dt Phase 1 Proj, BAM | 4.00% | 09/15/23 | 282,056 | ||||
2,000,000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Rep Svcs Inc Proj Remk, Ser A, AMT (Mandatory put 08/02/21) | 0.20% | 05/01/50 | 2,000,000 | ||||
250,000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Var Wst Mgmt Inc Proj Remk, Ser B, AMT (Mandatory put 09/01/21) | 0.20% | 07/01/40 | 250,015 | ||||
300,000 | Montgomery Cnty TX Muni Util Dist #105 Road Bonds, AGM | 4.00% | 09/01/21 | 300,864 | ||||
165,000 | Montgomery Cnty TX Muni Util Dist #132, BAM | 4.50% | 09/01/21 | 165,539 | ||||
75,000 | N TX Tollway Auth Rev First Tier Ref, Ser A | 3.75% | 01/01/28 | 76,118 | ||||
100,000 | N TX Tollway Auth Rev First Tier Ref, Ser B | 5.00% | 01/01/22 | 102,018 | ||||
50,000 | N TX Tollway Auth Rev First Tier Ref, Ser B | 5.00% | 01/01/36 | 51,009 | ||||
120,000 | N TX Tollway Auth Rev Ref 1st Tier, Ser A | 5.00% | 01/01/22 | 122,414 | ||||
145,000 | N TX Tollway Auth Rev Spl Projs Sys, Ser D | 5.00% | 09/01/24 | 145,549 | ||||
130,000 | Newark Hgr Edu Fin Corp TX Edu Rev The Hughen Ctr Inc, Ser A | 4.00% | 08/15/23 | 139,479 | ||||
145,000 | SA Energy Acq Pub Fac Corp TX Gas Sply Rev Gas Sply Rev | 5.50% | 08/01/21 | 145,000 | ||||
175,000 | Sienna Plantation TX Muni Util Dist #5 Contract Rev, BAM | 4.50% | 11/01/21 | 176,797 | ||||
210,000 | Sienna Plantation TX Muni Util Dist #5 Contract Rev, BAM | 4.50% | 11/01/21 | 212,156 | ||||
275,000 | Stafford TX Econ Dev Corp Sales Tax Rev Ref, BAM | 5.00% | 09/01/23 | 301,818 | ||||
120,000 | Sunfield TX Muni Util Dist #3, Ser A, AGM | 4.50% | 09/01/21 | 120,392 | ||||
2,000,000 | Tender Option Bond Trust Recpts / Ctfs Various States Floaters, Ser 2021-XF1226 (a) (b) | 0.05% | 08/15/27 | 2,000,000 | ||||
115,000 | Titus Cnty TX Pass Thru Toll Ltd Tax, Ser B | 4.00% | 03/01/34 | 117,597 | ||||
350,000 | TX St Muni Gas Acq & Sply Corp Gas Sply Rev Ref, Ser III | 5.00% | 12/15/21 | 356,110 | ||||
235,000 | TX St Muni Gas Acq & Sply Corp Gas Sply Rev Ref, Ser III | 5.00% | 12/15/22 | 250,176 | ||||
35,000 | TX St Muni Gas Acq & Sply Corp I Gas Sply Rev Sr Lien, Ser A | 5.25% | 12/15/21 | 35,651 | ||||
1,125,000 | TX St Muni Gas Acq & Sply Corp I Gas Sply Rev Sr Lien, Ser A | 5.25% | 12/15/22 | 1,202,127 | ||||
240,000 | TX St Muni Gas Acq & Sply Corp I Gas Sply Rev Sr Lien, Ser A | 5.25% | 12/15/23 | 268,051 | ||||
250,000 | TX St Transprtn Commn Central TX Turnpike Sys Rev Ref 1st Tier, Ser A | 5.00% | 08/15/41 | 262,756 | ||||
100,000 | TX St Univ Sys Fing Rev Ref Sys | 4.10% | 03/15/39 | 102,503 | ||||
170,000 | TX St Univ Sys Fing Rev Ref, Ser A | 5.00% | 03/15/22 | 175,185 | ||||
150,000 | Viridian TX Muni Mgmt Dist Unlimited Tax Road Impt Bonds, BAM | 4.00% | 12/01/22 | 157,344 | ||||
250,000 | Viridian TX Muni Mgmt Dist Unlimited Tax Road Impt Bonds, BAM | 4.00% | 12/01/23 | 271,210 | ||||
380,000 | Viridian TX Muni Mgmt Dist Util Impt Bonds, BAM | 4.00% | 12/01/21 | 384,610 | ||||
13,967,000 | ||||||||
Utah – 0.1% | ||||||||
100,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Spectrum Acdmy Proj | 4.00% | 04/15/22 | 102,497 | ||||
Virginia – 0.6% | ||||||||
100,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/22 | 103,845 | ||||
100,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/23 | 108,445 | ||||
175,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/24 | 197,426 | ||||
80,000 | VA St Pub Bldg Auth Pub Facs Rev Ref, Ser C | 5.00% | 08/01/21 | 80,000 | ||||
120,000 | VA St Res Auth Clean Wtr Rev St Revolving Fd, Ser B | 4.00% | 10/01/21 | 120,765 | ||||
350,000 | VA St Small Busn Fing Auth Rev Ref Natl Sr Cmps Inc | 5.00% | 01/01/22 | 356,806 | ||||
967,287 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Washington – 0.2% | ||||||||
$100,000 | Port of Seattle WA Rev Intermediate Lien, AMT | 5.00% | 04/01/23 | $107,977 | ||||
160,000 | WA St Hlthcare Facs Auth Seattle Cancer Care Alliance (b) | 5.00% | 12/01/21 | 162,540 | ||||
50,000 | WA St Mtr Veh Fuel Tax, Ser B-1 | 4.25% | 08/01/32 | 50,000 | ||||
320,517 | ||||||||
Wisconsin – 5.0% | ||||||||
725,000 | Milwaukee WI Promissory & Corporate Notes, Ser N2 | 5.00% | 05/01/22 | 751,296 | ||||
705,000 | Milwaukee WI Promissory Nts, Ser N1 | 5.00% | 02/01/23 | 756,189 | ||||
100,000 | Milwaukee WI Promissory Nts, Ser N2 | 5.00% | 05/15/22 | 103,816 | ||||
100,000 | Milwaukee WI Ref Prom Nts, Ser N2 | 4.00% | 03/15/22 | 102,389 | ||||
410,000 | Milwaukee WI Ref Prom Nts, Ser N2 | 4.00% | 03/15/25 | 464,035 | ||||
590,000 | Milwaukee WI Ref Promissory Nts, Ser N4 | 5.00% | 04/01/22 | 609,009 | ||||
370,000 | Milwaukee WI Ref Promissory Nts, Ser N4 | 5.00% | 04/01/23 | 399,841 | ||||
440,000 | Milwaukee WI Ref Promissory Nts, Ser N4 | 5.00% | 04/01/24 | 495,865 | ||||
1,977,000 | Tender Option Bond Trust Recpts / Ctfs Various States Floaters, Ser 2020-XF2869 (a) (b) | 0.25% | 11/01/25 | 1,977,000 | ||||
2,000,000 | WI Rapids WI Sch Dist, BANS | 2.00% | 01/06/22 | 2,003,415 | ||||
150,000 | WI St Hlth & Eductnl Facs Auth Rev Three Pillars Sr Living Cmntys, Ser A | 4.00% | 08/15/23 | 160,323 | ||||
100,000 | WI St Transprtn Rev Prerefunded, Ser 1 | 5.00% | 07/01/25 | 109,272 | ||||
50,000 | WI St Unrefunded Ref, Ser 2 | 5.00% | 05/01/27 | 51,846 | ||||
50,000 | WI St, Ser A | 5.00% | 05/01/24 | 51,846 | ||||
105,000 | WI St, Ser A | 4.00% | 05/01/29 | 108,094 | ||||
110,000 | WI St, Ser A | 5.00% | 05/01/30 | 114,061 | ||||
8,258,297 |
Total Investments – 96.2% | 159,201,170 | ||
(Cost $158,686,675) (d) | |||
Net Other Assets and Liabilities – 3.8% | 6,273,027 | ||
Net Assets – 100.0% | $165,474,197 |
(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 July 31, 2021, securities noted as such amounted to $9,332,664 or 5.6% of net assets. |
(c) | Zero coupon bond. |
(d) | Aggregate cost for federal income tax purposes was $158,681,902. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $538,722 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $19,454. The net unrealized appreciation was $519,268. |
AGM | Assured Guaranty Municipal Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
BANS | Bond Anticipation Notes |
BHAC-CR | Berkshire Hathaway Assurance Corp. Custodial Receipts |
COPS | Certificates of Participation |
FGIC | Financial Guaranty Insurance Co. |
NATL-RE | National Public Finance Guarantee Corp. |
RANS | Revenue Anticipation Notes |
TANS | Tax Anticipation Notes |
Total Value at 7/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 159,201,170 | $ — | $ 159,201,170 | $ — |
* | 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 | $ 125,873,320 | $ 159,201,170 | |
Cash | 6,301,707 | 8,249,794 | |
Cash segregated as collateral for open futures contracts | 53,130 | — | |
Interest receivable | 1,050,795 | 1,180,171 | |
Total Assets | 133,278,952 | 168,631,135 | |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | 3,302,319 | 3,122,937 | |
Investment advisory fees | 37,514 | 34,001 | |
Variation margin | 7,938 | — | |
Total Liabilities | 3,347,771 | 3,156,938 | |
NET ASSETS | $129,931,181 | $165,474,197 | |
NET ASSETS consist of: | |||
Paid-in capital | $ 127,381,657 | $ 164,854,664 | |
Par value | 62,000 | 82,000 | |
Accumulated distributable earnings (loss) | 2,487,524 | 537,533 | |
NET ASSETS | $129,931,181 | $165,474,197 | |
NET ASSET VALUE, per share | $20.96 | $20.18 | |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 6,200,002 | 8,200,002 | |
Investments, at cost | $123,211,154 | $158,686,675 |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | |||
INVESTMENT INCOME: | ||||
Interest | $ 1,503,386 | $ 1,023,885 | ||
Total investment income | 1,503,386 | 1,023,885 | ||
EXPENSES: | ||||
Investment advisory fees | 469,256 | 527,269 | ||
Total expenses | 469,256 | 527,269 | ||
Fees waived by the investment advisor | (103,613) | (223,410) | ||
Net expenses | 365,643 | 303,859 | ||
NET INVESTMENT INCOME (LOSS) | 1,137,743 | 720,026 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments | 52,811 | (23,155) | ||
Futures contracts | 52,569 | — | ||
Net realized gain (loss) | 105,380 | (23,155) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,335,323 | 110,241 | ||
Futures contracts | (107,844) | — | ||
Net change in unrealized appreciation (depreciation) | 1,227,479 | 110,241 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 1,332,859 | 87,086 | ||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 2,470,602 | $ 807,112 |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | ||||||
Year Ended 7/31/2021 | Year Ended 7/31/2020 | Year Ended 7/31/2021 | Year Ended 7/31/2020 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 1,137,743 | $ 630,654 | $ 720,026 | $ 547,918 | |||
Net realized gain (loss) | 105,380 | (222,557) | (23,155) | 2,199 | |||
Net change in unrealized appreciation (depreciation) | 1,227,479 | 916,311 | 110,241 | 336,188 | |||
Net increase (decrease) in net assets resulting from operations | 2,470,602 | 1,324,408 | 807,112 | 886,305 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (1,101,754) | (637,095) | (697,650) | (536,002) | |||
Return of capital | (105,072) | (18,716) | — | (2,449) | |||
Total distributions to shareholders | (1,206,826) | (655,811) | (697,650) | (538,451) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 76,025,129 | 47,999,296 | 81,703,675 | 70,260,944 | |||
Cost of shares redeemed | (9,324,497) | (6,154,805) | — | (7,045,546) | |||
Net increase (decrease) in net assets resulting from shareholder transactions | 66,700,632 | 41,844,491 | 81,703,675 | 63,215,398 | |||
Total increase (decrease) in net assets | 67,964,408 | 42,513,088 | 81,813,137 | 63,563,252 | |||
NET ASSETS: | |||||||
Beginning of period | 61,966,773 | 19,453,685 | 83,661,060 | 20,097,808 | |||
End of period | $129,931,181 | $61,966,773 | $165,474,197 | $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 | 3,650,000 | 2,350,000 | 4,050,000 | 3,500,000 | |||
Shares redeemed | (450,000) | (300,000) | — | (350,000) | |||
Shares outstanding, end of period | 6,200,002 | 3,000,002 | 8,200,002 | 4,150,002 |
Year Ended | Period Ended 7/31/2019 (a) | ||||
7/31/2021 | 7/31/2020 | ||||
Net asset value, beginning of period | $ 20.66 | $ 20.48 | $ 20.00 | ||
Income from investment operations: | |||||
Net investment income (loss) | 0.27 | 0.38 | 0.34 | ||
Net realized and unrealized gain (loss) | 0.33 | 0.22 | 0.45 | ||
Total from investment operations | 0.60 | 0.60 | 0.79 | ||
Distributions paid to shareholders from: | |||||
Net investment income | (0.27) | (0.41) | (0.31) | ||
Return of capital | (0.03) | (0.01) | — | ||
Total distributions | (0.30) | (0.42) | (0.31) | ||
Net asset value, end of period | $20.96 | $20.66 | $20.48 | ||
Total return (b) | 2.92% | 2.98% | 3.98% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 129,931 | $ 61,967 | $ 19,454 | ||
Ratio of total expenses to average net assets | 0.55% | 0.55% | 0.55% (c) | ||
Ratio of net expenses to average net assets | 0.43% | 0.45% | 0.45% (c) | ||
Ratio of net investment income (loss) to average net assets | 1.33% | 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. |
Year Ended | Period Ended 7/31/2019 (a) | ||||
7/31/2021 | 7/31/2020 | ||||
Net asset value, beginning of period | $ 20.16 | $ 20.10 | $ 20.00 | ||
Income from investment operations: | |||||
Net investment income (loss) | 0.12 | 0.25 | 0.26 | ||
Net realized and unrealized gain (loss) | 0.02 | 0.07 | 0.09 | ||
Total from investment operations | 0.14 | 0.32 | 0.35 | ||
Distributions paid to shareholders from: | |||||
Net investment income | (0.12) | (0.26) | (0.25) | ||
Net realized gain | — | (0.00) (b) | — | ||
Return of capital | — | (0.00) (b) | — | ||
Total distributions | (0.12) | (0.26) | (0.25) | ||
Net asset value, end of period | $20.18 | $20.16 | $20.10 | ||
Total return (c) | 0.72% | 1.61% | 1.75% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 165,474 | $ 83,661 | $ 20,098 | ||
Ratio of total expenses to average net assets | 0.45% | 0.45% | 0.45% (d) | ||
Ratio of net expenses to average net assets | 0.26% | 0.35% | 0.35% (d) | ||
Ratio of net investment income (loss) to average net assets | 0.61% | 1.20% | 1.73% (d) | ||
Portfolio turnover rate (e) | 44% | 149% | 145% |
(a) | Inception date is November 1, 2018, which is consistent with the commencement of operations and is the date the initial creation units were established. |
(b) | Amount is less than $0.01. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total return would have been lower if certain fees had not been waived by the investment advisor. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer; |
5) | the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; and |
10) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from Tax-Exempt Income | Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | ||||
First Trust Short Duration Managed Municipal ETF | $ 1,095,234 | $ 6,520 | $ — | $ 105,072 | |||
First Trust Ultra Short Duration Municipal ETF | 671,972 | 25,678 | — | — |
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 | $ — | $ (237,751) | $ 2,725,275 | ||
First Trust Ultra Short Duration Municipal ETF | 40,935 | (22,670) | 519,268 |
Non-Expiring Capital Loss Carryforward | |
First Trust Short Duration Managed Municipal ETF | $ 237,751 |
First Trust Ultra Short Duration Municipal ETF | 22,670 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | |||
First Trust Short Duration Managed Municipal ETF | $ (286) | $ (13,496) | $ 13,782 | ||
First Trust Ultra Short Duration Municipal ETF | — | — | — |
Purchases | Sales | ||
First Trust Short Duration Managed Municipal ETF | $ 84,598,017 | $ 13,251,186 | |
First Trust Ultra Short Duration Municipal ETF | 115,753,002 | 39,395,365 | |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value | |||||
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | $ — | Unrealized depreciation on futures contracts* | $ 107,844 |
Statements of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $52,569 |
Net change in unrealized appreciation (depreciation) on futures contracts | (107,844) |
Tax-Exempt Interest Dividends | Alternative Minimum Tax (AMT) | ||
First Trust Short Duration Managed Municipal ETF | 99.41% | 12.19% | |
First Trust Ultra Short Duration Municipal ETF | 96.32% | 13.05% |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016) | 211 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 211 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 211 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 211 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 211 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
For the Year Ended
July 31, 2021
1 | |
2 | |
4 | |
6 | |
7 | |
9 | |
10 | |
11 | |
12 | |
13 | |
18 | |
19 | |
25 | |
27 |
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 7/31/21 | Inception (2/4/20) to 7/31/21 | Inception (2/4/20) to 7/31/21 | |
Fund Performance | |||
NAV | 0.46% | -1.55% | -2.30% |
Market Price | 0.41% | -1.59% | -2.35% |
Index Performance | |||
Hedge Fund Research Merger Arbitrage Index | 8.00% | 4.43% | 6.65% |
S&P 500® Index | 36.45% | 23.43% | 36.70% |
Portfolio Sector Allocation | % of Total Long-Term Investments |
Information Technology | 41.0% |
Health Care | 15.4 |
Financials | 13.0 |
Industrials | 11.7 |
Utilities | 6.4 |
Communication Services | 4.9 |
Materials | 4.2 |
Consumer Discretionary | 3.4 |
Total | 100.0% |
Portfolio Sector Allocation | % of Investments Sold Short |
Financials | 50.3% |
Information Technology | 49.6 |
Industrials | 0.1 |
Health Care | 0.0* |
Total | 100.0% |
* | Amount is less than 0.1%. |
Top Ten Long-Term Investments | % of Net Assets |
Nuance Communications, Inc. | 6.3% |
Maxim Integrated Products, Inc. | 5.3 |
Athene Holding Ltd., Class A | 4.9 |
Xilinx, Inc. | 4.4 |
IHS Markit Ltd. | 3.8 |
Magellan Health, Inc. | 3.7 |
Proofpoint, Inc. | 3.5 |
PNM Resources, Inc. | 3.4 |
ORBCOMM, Inc. | 2.7 |
Cloudera, Inc. | 2.5 |
Total | 40.5% |
Top Investments Sold Short | % of Net Assets |
Analog Devices, Inc. | -5.6% |
Advanced Micro Devices, Inc. | -5.4 |
Apollo Global Management, Inc. | -5.1 |
S&P Global, Inc. | -4.0 |
Independent Bank Corp. | -2.1 |
Herman Miller, Inc. | -0.0* |
ICON PLC | -0.0* |
Total | -22.2% |
* | Amount is less than 0.1%. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Beginning Account Value February 1, 2021 | Ending Account Value July 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 | $1,000.00 | 2.28% | $11.31 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,013.49 | 2.28% | $11.38 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (February 1, 2021 through July 31, 2021), multiplied by 181/365 (to reflect the six-month period). |
Shares | Description | Value | ||
COMMON STOCKS – 53.8% | ||||
Aerospace & Defense – 2.5% | ||||
5,776 | Aerojet Rocketdyne Holdings, Inc. (a) | $272,512 | ||
Chemicals – 2.3% | ||||
3,476 | W.R. Grace & Co. | 241,930 | ||
Diversified Telecommunication Services – 2.7% | ||||
25,190 | ORBCOMM, Inc. (b) | 284,395 | ||
Electric Utilities – 3.4% | ||||
7,651 | PNM Resources, Inc. (a) | 369,773 | ||
Health Care Providers & Services – 3.7% | ||||
4,174 | Magellan Health, Inc. (b) | 393,692 | ||
Health Care Technology – 2.1% | ||||
10,300 | Change Healthcare, Inc. (b) | 223,613 | ||
Insurance – 4.9% | ||||
8,225 | Athene Holding Ltd., Class A (a) (b) | 531,499 | ||
Life Sciences Tools & Services – 2.5% | ||||
5,891 | PPD, Inc. (a) (b) | 271,693 | ||
Professional Services – 3.8% | ||||
3,491 | IHS Markit Ltd. | 407,888 | ||
Semiconductors & Semiconductor Equipment – 9.7% | ||||
5,667 | Maxim Integrated Products, Inc. | 566,190 | ||
3,197 | Xilinx, Inc. (a) | 479,038 | ||
1,045,228 | ||||
Software – 12.3% | ||||
17,237 | Cloudera, Inc. (b) | 273,551 | ||
12,358 | Nuance Communications, Inc. (a) (b) | 678,455 | ||
2,129 | Proofpoint, Inc. (b) | 371,851 | ||
12 | salesforce.com, Inc. (b) | 2,903 | ||
1,326,760 | ||||
Specialty Retail – 1.8% | ||||
11,066 | Sportsman’s Warehouse Holdings, Inc. (b) | 195,536 | ||
Thrifts & Mortgage Finance – 2.1% | ||||
11,575 | Meridian Bancorp, Inc. | 221,198 | ||
Total Investments – 53.8% | 5,785,717 | |||
(Cost $5,791,713) (c) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT – (22.2)% | ||||
Banks – (2.1)% | ||||
(3,175) | Independent Bank Corp. | $(224,409) | ||
Capital Markets – (9.1)% | ||||
(9,388) | Apollo Global Management, Inc. | (552,577) | ||
(990) | S&P Global, Inc. | (424,433) | ||
(977,010) | ||||
Commercial Services & Supplies – (0.0)% | ||||
(48) | Herman Miller, Inc. | (2,071) | ||
Life Sciences Tools & Services – (0.0)% | ||||
(6) | ICON PLC (b) | (1,460) | ||
Semiconductors & Semiconductor Equipment – (11.0)% | ||||
(5,520) | Advanced Micro Devices, Inc. (b) | (586,169) | ||
(3,577) | Analog Devices, Inc. | (598,861) | ||
(1,185,030) | ||||
Total Investments Sold Short – (22.2)% | (2,389,980) | |||
(Proceeds $2,195,264) | ||||
Net Other Assets and Liabilities – 68.4% | 7,356,694 | |||
Net Assets – 100.0% | $10,752,431 |
(a) | This security or a portion of this security is segregated as collateral for investments sold short. |
(b) | Non-income producing security. |
(c) | Aggregate cost for federal income tax purposes was $3,598,146. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $61,277 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $263,686. The net unrealized depreciation was $202,409. |
ASSETS TABLE | ||||
Total Value at 7/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 5,785,717 | $ 5,785,717 | $ — | $ — |
LIABILITIES TABLE | ||||
Total Value at 7/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks Sold Short* | $ (2,389,980) | $ (2,389,980) | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value (Cost $5,791,713) | $ 5,785,717 |
Cash | 3,210,044 |
Restricted Cash | 3,545,596 |
Receivables: | |
Investment securities sold | 612,546 |
Dividends | 698 |
Total Assets | 13,154,601 |
LIABILITIES: | |
Investments sold short, at value (proceeds $2,195,264) | 2,389,980 |
Payables: | |
Investment advisory fees | 11,458 |
Margin interest expense | 732 |
Total Liabilities | 2,402,170 |
NET ASSETS | $10,752,431 |
NET ASSETS consist of: | |
Paid-in capital | $ 11,299,154 |
Par value | 5,500 |
Accumulated distributable earnings (loss) | (552,223) |
NET ASSETS | $10,752,431 |
NET ASSET VALUE, per share | $19.55 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 550,002 |
INVESTMENT INCOME: | ||
Dividends | $ 133,777 | |
Interest | 148 | |
Other | 1,136 | |
Total investment income | 135,061 | |
EXPENSES: | ||
Investment advisory fees | 156,595 | |
Dividend expense on investments sold short | 110,928 | |
Margin interest expense | 11,513 | |
Total expenses | 279,036 | |
NET INVESTMENT INCOME (LOSS) | (143,975) | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | 139,627 | |
In-kind redemptions | 697,865 | |
Investments sold short | (423,010) | |
Net realized gain (loss) | 414,482 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | (11,843) | |
Investments sold short | (162,599) | |
Net change in unrealized appreciation (depreciation) | (174,442) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 240,040 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 96,065 |
Year Ended 7/31/2021 | Period Ended 7/31/2020 (a) | ||
OPERATIONS: | |||
Net investment income (loss) | $ (143,975) | $ (46,812) | |
Net realized gain (loss) | 414,482 | 49,574 | |
Net change in unrealized appreciation (depreciation) | (174,442) | (26,270) | |
Net increase (decrease) in net assets resulting from operations | 96,065 | (23,508) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 21,654,151 | 14,621,923 | |
Cost of shares redeemed | (23,646,537) | (1,949,663) | |
Net increase (decrease) in net assets resulting from shareholder transactions | (1,992,386) | 12,672,260 | |
Total increase (decrease) in net assets | (1,896,321) | 12,648,752 | |
NET ASSETS: | |||
Beginning of period | 12,648,752 | — | |
End of period | $10,752,431 | $12,648,752 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 650,002 | — | |
Shares sold | 1,100,000 | 750,002 | |
Shares redeemed | (1,200,000) | (100,000) | |
Shares outstanding, end of period | 550,002 | 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. |
Year Ended 7/31/2021 | Period Ended 7/31/2020 (a) | ||
Net asset value, beginning of period | $ 19.46 | $ 20.01 | |
Income from investment operations: | |||
Net investment income (loss) | (0.26) | (0.07) | |
Net realized and unrealized gain (loss) | 0.35 | (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) | $ 10,752 | $ 12,649 | |
Ratio of total expenses to average net assets | 2.23% | 2.30% (c) | |
Ratio of total expenses to average net assets excluding dividend expense and margin interest expense | 1.25% | 1.25% (c) | |
Ratio of net investment income (loss) to average net assets | (1.15)% | (1.71)% (c) | |
Portfolio turnover rate (d) | 280% | 137% |
(a) | Inception date is February 4, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | 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) | (349,814) |
Net unrealized appreciation (depreciation) | (202,409) |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$96,279 | $(686,980) | $590,701 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016) | 211 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 211 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 211 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 211 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 211 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since Inception | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since Inception | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant, during the period covered by this report, has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
(e) | Not applicable. |
(f) | A copy of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller is filed as an exhibit pursuant to Item 13(a)(1). |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s board of trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees (Registrant) -- The aggregate fees billed for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $222,375 for the fiscal year ended July 31, 2020 and $267,688 for the fiscal year ended July 31, 2021.
(b) Audit-Related Fees (Registrant) -- The aggregate fees billed for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended July 31, 2020 and $0 for the fiscal year ended July 31, 2021.
Audit-Related Fees (Investment Advisor and Distributor) -- The aggregate fees billed for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended July 31, 2020 and $0 for the fiscal year ended July 31, 2021.
(c) Tax Fees (Registrant) -- The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $73,662 for the fiscal year ended July 31, 2020 and $40,221 for the fiscal year ended July 31, 2021. These fees were for tax consultation and/or tax return preparation and professional services rendered for PFIC (Passive Foreign Investment Company) Identification Services. .
Tax Fees (Investment Advisor and Distributor) -- The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant’s advisor and distributor were $0 for the fiscal year ended July 31, 2020 and $0 for the fiscal year ended July 31, 2021.
(d) All Other Fees (Registrant) -- The aggregate fees billed for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended July 31, 2020 and $0 for the fiscal year ended July 31, 2021.
All Other Fees (Investment Advisor and Distributor) -- The aggregate fees billed for products and services provided by the principal accountant to the registrant’s investment advisor and distributor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended July 31, 2020 and $0 for the fiscal year ended July 31, 2021.
(e)(1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the “Committee”) is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent auditor’s engagements for non-audit services with the registrant’s advisor (not including a sub-advisor whose role is primarily portfolio management and is sub-contracted or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant’s advisor (other than any sub-advisor whose role is primarily portfolio management and is sub-contracted with or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor’s independence.
(e)(2) The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant’s investment advisor and distributor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows:
Registrant: Advisor and Distributor:
(b) 0% (b) 0%
(c) 0% (c) 0%
(d) 0% (d) 0%
(f) The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty
percent.
(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant for the fiscal year ended July 31, 2020 were $73,662 for the registrant, $47,170 for the registrant’s investment advisor and $70,330 for the registrant’s distributor and for the fiscal year ended July 31, 2021 were $40,221 for the registrant, $23,200 for the registrant’s investment advisor and $29,500 for the registrant’s distributor.
(h) The registrant’s audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
(i) Not applicable.
(j) Not applicable.
Items 5. Audit Committee of Listed Registrants.
The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The audit committee of the registrant is comprised of Richard E. Erickson, Thomas R. Kadlec, Robert F. Keith and Niel B. Nielson.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407 (c) (2) (iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22 (b) (15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Exchange-Traded Fund III |
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | October 7, 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: | October 7, 2021 |
By (Signature and Title)* | /s/ Donald P. Swade | |
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | October 7, 2021 |