UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR/A
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22245
First Trust Exchange-Traded Fund III
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant’s telephone number, including area code: (630) 765-8000
Date of fiscal year end: October 31
Date of reporting period: October 31, 2022
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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
(a) The Report to Shareholders is attached herewith.
First Trust Institutional Preferred Securities and Income
ETF (FPEI)
For the Year Ended
October 31, 2022
2 | |
Fund Performance Overview | |
3 | |
6 | |
9 | |
10 | |
13 | |
Portfolio of Investments | |
14 | |
24 | |
30 | |
31 | |
32 | |
33 | |
35 | |
43 | |
44 | |
52 | |
54 |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 10/31/22 | 5 Years Ended 10/31/22 | Inception (2/11/13) to 10/31/22 | 5 Years Ended 10/31/22 | Inception (2/11/13) to 10/31/22 | ||
Fund Performance | ||||||
NAV | -14.65% | 1.37% | 3.54% | 7.06% | 40.26% | |
Market Price | -15.24% | 1.26% | 3.48% | 6.47% | 39.47% | |
Index Performance | ||||||
ICE BofA US Investment Grade Institutional Capital Securities Index | -13.64% | 1.61% | 3.84% | 8.33% | 44.28% | |
Blended Index(1)(2)(3) | -16.71% | 1.06% | N/A | 5.43% | N/A | |
ICE BofA Fixed Rate Preferred Securities Index | -16.32% | 0.60% | 3.31% | 3.05% | 37.23% | |
Prior Blended Index(4) | -15.84% | 0.99% | 3.48% | 5.05% | 39.37% |
(1) | On July 6, 2021, the Fund’s benchmark changed from the Prior Blended Index to the Blended Index because the Advisor believes that the Blended Index better reflects the investment strategies of the Fund. |
(2) | The Blended Index consists of a 30/30/30/10 blend of the ICE BofA Core Plus Fixed Rate Preferred Securities Index, the ICE BofA US Investment Grade Institutional Capital Securities Index, the ICE USD Contingent Capital Index and the ICE BofA US High Yield Institutional Capital Securities Index. The Blended Index is intended to reflect the proportional market cap of each segment of the preferred and hybrid securities market. The indices do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indices are unmanaged and an investor cannot invest directly in an index. The Blended Index returns are calculated by using the monthly returns of the four indices during each period shown above. At the beginning of each month the four indices are rebalanced to a 30/30/30/10 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. |
(3) | Since the ICE USD Contingent Capital Index had an inception date of December 31, 2013, the performance of the Blended Index is not available for all of the periods disclosed. |
(4) | The Prior Blended Index consists of a 50/50 blend of the ICE BofA Fixed Rate Preferred Securities Index and the ICE BofA U.S. Capital Securities Index. The indices do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indices are unmanaged and an investor cannot invest directly in an index. The Prior Blended Index returns are calculated by using the monthly returns 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 |
Financials | 72.7% |
Energy | 8.9 |
Utilities | 8.6 |
Industrials | 3.5 |
Consumer Staples | 2.9 |
Real Estate | 2.0 |
Communication Services | 1.1 |
Consumer Discretionary | 0.3 |
Total | 100.0% |
Credit Rating(5) | % of Total Fixed-Income Investments |
A | 0.4% |
BBB+ | 10.7 |
BBB | 21.8 |
BBB- | 30.3 |
BB+ | 17.0 |
BB | 9.7 |
BB- | 5.0 |
B+ | 0.8 |
B | 0.6 |
Not Rated | 3.7 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
AerCap Holdings N.V. | 2.2% |
Barclays PLC | 2.1 |
Wells Fargo & Co., Series L | 1.7 |
Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc. | 1.5 |
Credit Suisse Group AG | 1.1 |
Wells Fargo & Co., Series BB | 1.1 |
Global Atlantic Fin Co. | 1.1 |
Societe Generale S.A. | 1.0 |
Deutsche Bank AG, Series 2020 | 1.0 |
Bank of America Corp., Series L | 1.0 |
Total | 13.8% |
Country Allocation | % of Total Investments |
United States | 56.6% |
United Kingdom | 8.4 |
Canada | 7.1 |
Switzerland | 5.0 |
France | 4.8 |
Bermuda | 4.7 |
Netherlands | 3.0 |
Australia | 2.1 |
Italy | 1.7 |
Spain | 1.6 |
Multinational | 1.5 |
Germany | 1.4 |
Denmark | 0.9 |
Mexico | 0.8 |
Sweden | 0.2 |
Japan | 0.2 |
Total | 100.0% |
(5) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 10/31/22 | 5 Years Ended 10/31/22 | Inception (8/22/17) to 10/31/22 | 5 Years Ended 10/31/22 | Inception (8/22/17) to 10/31/22 | ||
Fund Performance | ||||||
NAV | -11.68% | 1.88% | 2.20% | 9.77% | 11.97% | |
Market Price | -11.70% | 1.91% | 2.24% | 9.91% | 12.17% | |
Index Performance | ||||||
Blended Benchmark(1)(2) | -14.90% | 1.50% | 1.85% | 7.75% | 9.96% | |
ICE BofA US Investment Grade Institutional Capital Securities Index | -13.64% | 1.61% | 1.80% | 8.33% | 9.69% |
(1) | On July 6, 2021, the Fund’s benchmark changed from the ICE BofA US Investment Grade Institutional Capital Securities Index to the Blended Benchmark because the Advisor believes that the Blended Benchmark better reflects the investment strategies of the Fund. |
(2) | The Blended Benchmark consists of a 45/40/15 blend of the ICE BofA US Investment Grade Institutional Capital Securities Index, the ICE USD Contingent Capital Index and the ICE BofA US High Yield Institutional Capital Securities Index. The Blended Benchmark is intended to reflect the proportional market cap of each segment within the institutional market. The Blended Benchmark returns are calculated by using the monthly returns of the three indices during each period shown above. At the beginning of each month the three indices are rebalanced to a 45/40/15 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Blended Benchmark for each period shown above. |
Sector Allocation | % of Total Investments |
Financials | 77.8% |
Energy | 9.6 |
Utilities | 8.4 |
Industrials | 2.4 |
Consumer Staples | 1.8 |
Total | 100.0% |
Credit Quality(3) | % of Total Investments |
A | 0.5% |
BBB+ | 13.2 |
BBB | 27.2 |
BBB- | 31.7 |
BB+ | 11.7 |
BB | 8.7 |
BB- | 5.3 |
B+ | 1.0 |
Not Rated | 0.7 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Charles Schwab (The) Corp., Series I | 2.6% |
Wells Fargo & Co., Series BB | 1.9 |
Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc. | 1.8 |
Barclays PLC | 1.8 |
Enstar Finance LLC | 1.6 |
Corebridge Financial, Inc. | 1.6 |
Prudential Financial, Inc. | 1.6 |
AerCap Holdings N.V. | 1.5 |
PNC Financial Services Group (The), Inc., Series V | 1.3 |
Deutsche Bank AG, Series 2020 | 1.3 |
Total | 17.0% |
Country Allocation | % of Total Investments |
United States | 56.3% |
United Kingdom | 8.0 |
Canada | 7.5 |
France | 6.6 |
Switzerland | 6.3 |
Australia | 2.8 |
Netherlands | 2.1 |
Multinational | 1.8 |
Germany | 1.8 |
Spain | 1.7 |
Italy | 1.7 |
Bermuda | 1.2 |
Denmark | 0.8 |
Mexico | 0.5 |
Finland | 0.4 |
Japan | 0.3 |
Sweden | 0.2 |
Total | 100.0% |
(3) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Beginning Account Value May 1, 2022 | Ending Account Value October 31, 2022 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Preferred Securities and Income ETF (FPE) | ||||
Actual | $1,000.00 | $1,068.60 | 0.85% | $4.43 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
First Trust Institutional Preferred Securities and Income ETF (FPEI) | ||||
Actual | $1,000.00 | $941.00 | 0.85% | $4.16 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2022 through October 31, 2022), multiplied by 184/365 (to reflect the six-month period). |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES – 23.8% | ||||||||
Automobiles – 0.3% | ||||||||
705,603 | Ford Motor Co. | 6.50% | 08/15/62 | $16,087,748 | ||||
Banks – 4.4% | ||||||||
10,915 | Atlantic Union Bankshares Corp., Series A | 6.88% | (a) | 259,668 | ||||
360,423 | Bank of America Corp., Series KK | 5.38% | (a) | 7,713,052 | ||||
105,331 | Bank of America Corp., Series LL | 5.00% | (a) | 2,100,300 | ||||
1,371,123 | Bank of America Corp., Series NN | 4.38% | (a) | 23,871,251 | ||||
88,701 | Bank of America Corp., Series SS | 4.75% | (a) | 1,727,895 | ||||
320,641 | Citizens Financial Group, Inc., Series D (b) | 6.35% | (a) | 7,519,031 | ||||
48,593 | Citizens Financial Group, Inc., Series E | 5.00% | (a) | 936,873 | ||||
100,000 | Fifth Third Bancorp, Series A | 6.00% | (a) | 2,184,000 | ||||
886,828 | First Republic Bank, Series M | 4.00% | (a) | 13,311,288 | ||||
356,061 | Fulton Financial Corp., Series A | 5.13% | (a) | 7,149,705 | ||||
68,150 | Huntington Bancshares, Inc., Series H | 4.50% | (a) | 1,187,173 | ||||
792 | JPMorgan Chase & Co., Series DD | 5.75% | (a) | 18,351 | ||||
81,943 | JPMorgan Chase & Co., Series JJ | 4.55% | (a) | 1,492,182 | ||||
518,075 | JPMorgan Chase & Co., Series LL | 4.63% | (a) | 9,605,111 | ||||
218,650 | KeyCorp, Series F | 5.65% | (a) | 4,622,261 | ||||
152,538 | Old National Bancorp, Series A | 7.00% | (a) | 3,927,854 | ||||
1,222,469 | PacWest Bancorp, Series A (b) | 7.75% | (a) | 30,341,681 | ||||
835,910 | Pinnacle Financial Partners, Inc., Series B | 6.75% | (a) | 20,354,409 | ||||
1,705,351 | Signature Bank, Series A | 5.00% | (a) | 30,048,285 | ||||
116,076 | Texas Capital Bancshares, Inc., Series B | 5.75% | (a) | 2,301,787 | ||||
135,679 | Truist Financial Corp., Series R | 4.75% | (a) | 2,571,117 | ||||
107,837 | Valley National Bancorp, Series B, 3 Mo. LIBOR + 3.58% (c) | 7.25% | (a) | 2,601,028 | ||||
194,398 | Wells Fargo & Co., Series AA | 4.70% | (a) | 3,489,444 | ||||
83,272 | Wells Fargo & Co., Series DD | 4.25% | (a) | 1,336,516 | ||||
567,107 | Wells Fargo & Co., Series Q (b) | 5.85% | (a) | 12,901,684 | ||||
746,818 | Wells Fargo & Co., Series Y | 5.63% | (a) | 15,929,628 | ||||
391,052 | Wells Fargo & Co., Series Z | 4.75% | (a) | 7,038,936 | ||||
626,023 | WesBanco, Inc., Series A (b) | 6.75% | (a) | 15,688,136 | ||||
620,288 | Western Alliance Bancorp, Series A (b) | 4.25% | (a) | 12,405,760 | ||||
875,783 | Wintrust Financial Corp., Series E (b) | 6.88% | (a) | 22,183,583 | ||||
266,817,989 | ||||||||
Capital Markets – 2.3% | ||||||||
136,104 | Affiliated Managers Group, Inc. | 5.88% | 03/30/59 | 2,813,270 | ||||
288,442 | Affiliated Managers Group, Inc. | 4.75% | 09/30/60 | 4,929,474 | ||||
980,305 | Affiliated Managers Group, Inc. | 4.20% | 09/30/61 | 14,547,726 | ||||
1,436,731 | Carlyle Finance LLC | 4.63% | 05/15/61 | 22,829,656 | ||||
826,758 | Goldman Sachs Group (The), Inc., Series J (b) | 5.50% | (a) | 20,346,514 | ||||
1,126,769 | KKR Group Finance Co., IX LLC | 4.63% | 04/01/61 | 19,639,584 | ||||
920,357 | Morgan Stanley, Series P | 6.50% | (a) | 22,824,854 | ||||
496,152 | Oaktree Capital Group LLC, Series A | 6.63% | (a) | 11,758,802 | ||||
813,527 | Oaktree Capital Group LLC, Series B | 6.55% | (a) | 18,841,285 | ||||
138,531,165 | ||||||||
Consumer Finance – 0.1% | ||||||||
349,303 | Capital One Financial Corp., Series I | 5.00% | (a) | 6,472,585 | ||||
110,166 | Capital One Financial Corp., Series J | 4.80% | (a) | 1,916,888 | ||||
8,389,473 | ||||||||
Diversified Financial Services – 0.6% | ||||||||
529,821 | Apollo Asset Management, Inc., Series B | 6.38% | (a) | 11,550,098 |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES (Continued) | ||||||||
Diversified Financial Services (Continued) | ||||||||
1,284,884 | Equitable Holdings, Inc., Series A | 5.25% | (a) | $23,924,540 | ||||
35,474,638 | ||||||||
Diversified Telecommunication Services – 0.7% | ||||||||
78,274 | AT&T, Inc. | 5.35% | 11/01/66 | 1,681,326 | ||||
249,322 | AT&T, Inc., Series C | 4.75% | (a) | 4,318,257 | ||||
969,955 | Qwest Corp. | 6.50% | 09/01/56 | 16,634,728 | ||||
1,039,347 | Qwest Corp. | 6.75% | 06/15/57 | 18,708,246 | ||||
41,342,557 | ||||||||
Electric Utilities – 1.1% | ||||||||
14,925 | BIP Bermuda Holdings I Ltd. | 5.13% | (a) | 260,441 | ||||
891,011 | Brookfield BRP Holdings Canada, Inc. | 4.63% | (a) | 12,905,047 | ||||
648,305 | Brookfield Infrastructure Finance ULC | 5.00% | 05/24/81 | 10,321,016 | ||||
139,433 | SCE Trust III, Series H (b) | 5.75% | (a) | 2,696,634 | ||||
455,006 | SCE Trust IV, Series J (b) | 5.38% | (a) | 8,162,808 | ||||
1,000,755 | SCE Trust V, Series K (b) | 5.45% | (a) | 19,194,481 | ||||
627,885 | Southern (The) Co., Series 2020A | 4.95% | 01/30/80 | 12,005,161 | ||||
156,295 | Southern (The) Co., Series C | 4.20% | 10/15/60 | 2,789,866 | ||||
68,335,454 | ||||||||
Equity Real Estate Investment Trusts – 0.6% | ||||||||
333 | Digital Realty Trust, Inc., Series L | 5.20% | (a) | 6,433 | ||||
850,146 | Global Net Lease, Inc., Series A | 7.25% | (a) | 18,142,116 | ||||
1,080,167 | Hudson Pacific Properties, Inc., Series C | 4.75% | (a) | 13,728,923 | ||||
957 | National Storage Affiliates Trust, Series A | 6.00% | (a) | 20,709 | ||||
31,880 | PS Business Parks, Inc., Series Z | 4.88% | (a) | 401,688 | ||||
318,431 | Vornado Realty Trust, Series N | 5.25% | (a) | 4,938,865 | ||||
37,238,734 | ||||||||
Food Products – 0.8% | ||||||||
601,882 | CHS, Inc., Series 2 (b) | 7.10% | (a) | 15,077,144 | ||||
1,393,686 | CHS, Inc., Series 3 (b) | 6.75% | (a) | 34,047,749 | ||||
49,124,893 | ||||||||
Gas Utilities – 0.3% | ||||||||
815,676 | South Jersey Industries, Inc. | 5.63% | 09/16/79 | 14,282,487 | ||||
54,298 | Spire, Inc., Series A | 5.90% | (a) | 1,243,424 | ||||
15,525,911 | ||||||||
Independent Power & Renewable Electricity Producers – 0.2% | ||||||||
679,080 | Brookfield Renewable Partners L.P., Series 17 | 5.25% | (a) | 11,130,121 | ||||
Insurance – 6.0% | ||||||||
2,183,916 | Aegon Funding Co., LLC | 5.10% | 12/15/49 | 42,586,362 | ||||
463,083 | Allstate (The) Corp. (b) | 5.10% | 01/15/53 | 11,197,347 | ||||
18,254 | Allstate (The) Corp., Series H | 5.10% | (a) | 358,691 | ||||
1,896,300 | American Equity Investment Life Holding Co., Series A (b) | 5.95% | (a) | 42,723,639 | ||||
941,232 | American Equity Investment Life Holding Co., Series B (b) | 6.63% | (a) | 21,798,933 | ||||
312,756 | AmTrust Financial Services, Inc. | 7.25% | 06/15/55 | 5,352,819 | ||||
363,925 | AmTrust Financial Services, Inc. | 7.50% | 09/15/55 | 6,368,687 | ||||
24,872 | Arch Capital Group Ltd., Series F | 5.45% | (a) | 503,907 | ||||
598,334 | Arch Capital Group Ltd., Series G | 4.55% | (a) | 10,506,745 | ||||
279,359 | Aspen Insurance Holdings Ltd. | 5.63% | (a) | 5,391,629 | ||||
1,711,649 | Aspen Insurance Holdings Ltd. | 5.63% | (a) | 32,504,215 | ||||
508,376 | Aspen Insurance Holdings Ltd. (b) | 5.95% | (a) | 11,596,057 |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES (Continued) | ||||||||
Insurance (Continued) | ||||||||
612,099 | Assurant, Inc. | 5.25% | 01/15/61 | $11,525,824 | ||||
826,625 | Athene Holding Ltd., Series A (b) | 6.35% | (a) | 19,681,941 | ||||
68,990 | Athene Holding Ltd., Series B | 5.63% | (a) | 1,417,744 | ||||
108,391 | Athene Holding Ltd., Series D | 4.88% | (a) | 1,865,409 | ||||
438,412 | Axis Capital Holdings Ltd., Series E | 5.50% | (a) | 8,663,021 | ||||
754,186 | CNO Financial Group, Inc. (d) | 5.13% | 11/25/60 | 13,726,185 | ||||
1,244,856 | Delphi Financial Group, Inc., 3 Mo. LIBOR + 3.19% (c) | 6.10% | 05/15/37 | 27,542,439 | ||||
386,476 | Enstar Group Ltd., Series D (b) | 7.00% | (a) | 8,494,742 | ||||
449,644 | Globe Life, Inc. | 4.25% | 06/15/61 | 7,814,813 | ||||
215,020 | Phoenix Cos. (The), Inc. | 7.45% | 01/15/32 | 3,297,055 | ||||
1,568,378 | Prudential Financial, Inc. | 5.95% | 09/01/62 | 37,594,021 | ||||
2 | Reinsurance Group of America, Inc. (b) | 7.13% | 10/15/52 | 51 | ||||
106,528 | RenaissanceRe Holdings Ltd., Series F | 5.75% | (a) | 2,316,984 | ||||
1,186,079 | RenaissanceRe Holdings Ltd., Series G | 4.20% | (a) | 19,771,937 | ||||
21,531 | Selective Insurance Group, Inc., Series B | 4.60% | (a) | 360,321 | ||||
314,714 | W.R. Berkley Corp. | 5.10% | 12/30/59 | 6,297,427 | ||||
361,258,945 | ||||||||
Mortgage Real Estate Investment Trusts – 0.9% | ||||||||
536,098 | AGNC Investment Corp., Series C, 3 Mo. LIBOR + 5.11% (c) | 9.19% | (a) | 12,651,913 | ||||
300,285 | AGNC Investment Corp., Series D (b) | 6.88% | (a) | 5,522,241 | ||||
138,354 | AGNC Investment Corp., Series E (b) | 6.50% | (a) | 2,711,738 | ||||
670,845 | AGNC Investment Corp., Series F (b) | 6.13% | (a) | 12,477,717 | ||||
651,383 | Annaly Capital Management, Inc., Series F, 3 Mo. LIBOR + 4.99% (c) | 8.67% | (a) | 15,691,817 | ||||
279,676 | Annaly Capital Management, Inc., Series I (b) | 6.75% | (a) | 5,822,854 | ||||
54,878,280 | ||||||||
Multi-Utilities – 1.7% | ||||||||
409,425 | Algonquin Power & Utilities Corp. (b) | 6.88% | 10/17/78 | 9,191,591 | ||||
538,458 | Algonquin Power & Utilities Corp., Series 19-A (b) | 6.20% | 07/01/79 | 12,206,843 | ||||
639,721 | Brookfield Infrastructure Partners L.P., Series 13 | 5.13% | (a) | 10,222,741 | ||||
62,311 | Brookfield Infrastructure Partners L.P., Series 14 | 5.00% | (a) | 962,705 | ||||
175,035 | CMS Energy Corp. | 5.88% | 10/15/78 | 3,810,512 | ||||
115,124 | CMS Energy Corp. | 5.88% | 03/01/79 | 2,508,552 | ||||
330,504 | CMS Energy Corp., Series C | 4.20% | (a) | 5,436,791 | ||||
128,700 | DTE Energy Co. | 4.38% | 12/01/81 | 2,211,066 | ||||
818,320 | DTE Energy Co., Series E | 5.25% | 12/01/77 | 17,577,514 | ||||
955,325 | Integrys Holding, Inc. (b) (d) | 6.00% | 08/01/73 | 22,115,774 | ||||
796,257 | Sempra Energy | 5.75% | 07/01/79 | 17,294,702 | ||||
103,538,791 | ||||||||
Oil, Gas & Consumable Fuels – 1.4% | ||||||||
37,093 | Enbridge, Inc., Series B (b) | 6.38% | 04/15/78 | 880,959 | ||||
92,177 | Energy Transfer L.P., Series C (b) | 7.38% | (a) | 2,064,765 | ||||
2,064,508 | Energy Transfer L.P., Series E (b) | 7.60% | (a) | 47,545,619 | ||||
737,441 | NuStar Energy L.P., Series A, 3 Mo. LIBOR + 6.77% (c) | 10.25% | (a) | 17,079,133 | ||||
599,189 | NuStar Logistics L.P., 3 Mo. LIBOR + 6.73% (c) | 10.81% | 01/15/43 | 14,925,798 | ||||
82,496,274 | ||||||||
Real Estate Management & Development – 1.4% | ||||||||
1,613,702 | Brookfield Property Partners L.P., Series A | 5.75% | (a) | 24,415,311 | ||||
167,079 | Brookfield Property Partners L.P., Series A-1 | 6.50% | (a) | 2,781,865 | ||||
1,281,802 | Brookfield Property Partners L.P., Series A2 | 6.38% | (a) | 20,893,373 | ||||
1,559,574 | Brookfield Property Preferred L.P. | 6.25% | 07/26/81 | 24,360,546 |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$25 PAR PREFERRED SECURITIES (Continued) | ||||||||
Real Estate Management & Development (Continued) | ||||||||
677 | DigitalBridge Group, Inc., Class H | 7.13% | (a) | $12,802 | ||||
448,382 | DigitalBridge Group, Inc., Series I | 7.15% | (a) | 8,523,742 | ||||
41,830 | DigitalBridge Group, Inc., Series J | 7.13% | (a) | 778,038 | ||||
81,765,677 | ||||||||
Thrifts & Mortgage Finance – 0.3% | ||||||||
659,132 | New York Community Bancorp, Inc., Series A (b) | 6.38% | (a) | 14,098,833 | ||||
73,851 | Washington Federal, Inc., Series A | 4.88% | (a) | 1,287,223 | ||||
15,386,056 | ||||||||
Trading Companies & Distributors – 0.3% | ||||||||
462,382 | Air Lease Corp., Series A (b) | 6.15% | (a) | 9,941,213 | ||||
267,732 | WESCO International, Inc., Series A (b) | 10.63% | (a) | 7,228,764 | ||||
17,169,977 | ||||||||
Wireless Telecommunication Services – 0.4% | ||||||||
259,030 | United States Cellular Corp. | 6.25% | 09/01/69 | 5,040,724 | ||||
267,143 | United States Cellular Corp. | 5.50% | 03/01/70 | 4,560,131 | ||||
955,053 | United States Cellular Corp. | �� | 5.50% | 06/01/70 | 16,536,743 | |||
26,137,598 | ||||||||
Total $25 Par Preferred Securities | 1,430,630,281 | |||||||
(Cost $1,761,238,457) | ||||||||
$100 PAR PREFERRED SECURITIES – 0.3% | ||||||||
Banks – 0.3% | ||||||||
28,231 | AgriBank FCB (b) | 6.88% | (a) | 2,805,456 | ||||
49,330 | CoBank ACB, Series H (b) | 6.20% | (a) | 4,982,330 | ||||
120,015 | Farm Credit Bank of Texas (b) (e) | 6.75% | (a) | 11,971,496 | ||||
19,759,282 | ||||||||
Food Products – 0.0% | ||||||||
700 | Dairy Farmers of America, Inc. (e) | 7.88% | (a) | 67,550 | ||||
Total $100 Par Preferred Securities | 19,826,832 | |||||||
(Cost $20,588,116) | ||||||||
$1,000 PAR PREFERRED SECURITIES – 2.8% | ||||||||
Banks – 2.7% | ||||||||
51,461 | Bank of America Corp., Series L | 7.25% | (a) | 59,718,432 | ||||
88,218 | Wells Fargo & Co., Series L | 7.50% | (a) | 102,820,726 | ||||
162,539,158 | ||||||||
Diversified Financial Services – 0.1% | ||||||||
7,900 | Compeer Financial ACA (b) (e) | 6.75% | (a) | 7,860,500 | ||||
Total $1,000 Par Preferred Securities | 170,399,658 | |||||||
(Cost $201,128,350) | ||||||||
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES – 70.0% | ||||||||
Banks – 29.6% | ||||||||
$32,549,000 | Australia & New Zealand Banking Group Ltd. (b) (e) (f) | 6.75% | (a) | 31,199,597 | ||||
30,500,000 | Banco Bilbao Vizcaya Argentaria S.A., Series 9 (b) (f) | 6.50% | (a) | 27,320,683 | ||||
11,250,000 | Banco Mercantil del Norte S.A. (b) (e) (f) | 7.50% | (a) | 8,792,044 | ||||
15,700,000 | Banco Mercantil del Norte S.A. (b) (e) (f) | 7.63% | (a) | 12,896,506 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Banks (Continued) | ||||||||
$21,630,000 | Banco Mercantil del Norte S.A. (b) (e) (f) | 8.38% | (a) | $18,841,136 | ||||
35,600,000 | Banco Santander S.A. (b) (f) | 4.75% | (a) | 25,145,288 | ||||
43,200,000 | Banco Santander S.A. (b) (f) (g) | 7.50% | (a) | 41,013,000 | ||||
27,075,000 | Bank of America Corp., Series RR (b) | 4.38% | (a) | 21,795,375 | ||||
22,000,000 | Bank of America Corp., Series TT (b) | 6.13% | (a) | 20,845,000 | ||||
11,594,000 | Bank of America Corp., Series X (b) | 6.25% | (a) | 11,315,019 | ||||
13,800,000 | Bank of Nova Scotia (The) (b) | 4.90% | (a) | 12,830,444 | ||||
8,000,000 | Bank of Nova Scotia (The) (b) | 8.63% | 10/27/82 | 8,046,654 | ||||
3,000,000 | Bank of Nova Scotia (The), Series 2 (b) | 3.63% | 10/27/81 | 2,118,904 | ||||
24,300,000 | Barclays PLC (b) (f) | 4.38% | (a) | 16,188,886 | ||||
39,909,000 | Barclays PLC (b) (f) | 6.13% | (a) | 34,670,944 | ||||
5,760,000 | Barclays PLC (b) (f) | 7.75% | (a) | 5,436,000 | ||||
134,865,000 | Barclays PLC (b) (f) | 8.00% | (a) | 127,238,101 | ||||
64,400,000 | Barclays PLC (b) (f) | 8.00% | (a) | 57,857,502 | ||||
11,600,000 | BBVA Bancomer S.A. (b) (e) (f) | 5.88% | 09/13/34 | 9,719,060 | ||||
57,500,000 | BNP Paribas S.A. (b) (e) (f) | 4.63% | (a) | 44,159,795 | ||||
7,500,000 | BNP Paribas S.A. (b) (e) (f) | 4.63% | (a) | 5,259,375 | ||||
29,498,000 | BNP Paribas S.A. (b) (e) (f) | 6.63% | (a) | 27,717,561 | ||||
16,665,000 | BNP Paribas S.A. (b) (e) (f) | 7.38% | (a) | 16,161,128 | ||||
34,580,000 | BNP Paribas S.A. (b) (e) (f) | 7.75% | (a) | 32,689,690 | ||||
46,133,000 | Citigroup, Inc. (b) | 3.88% | (a) | 37,990,526 | ||||
13,272,000 | Citigroup, Inc. (b) | 5.95% | (a) | 13,172,460 | ||||
15,113,000 | Citigroup, Inc., Series D (b) | 5.35% | (a) | 14,584,045 | ||||
12,000,000 | Citigroup, Inc., Series M (b) | 6.30% | (a) | 11,235,000 | ||||
16,200,000 | Citigroup, Inc., Series P (b) | 5.95% | (a) | 14,684,048 | ||||
23,355,000 | Citigroup, Inc., Series T (b) | 6.25% | (a) | 22,598,298 | ||||
34,393,000 | Citigroup, Inc., Series W (b) | 4.00% | (a) | 29,096,478 | ||||
29,875,000 | Citigroup, Inc., Series Y (b) | 4.15% | (a) | 23,384,573 | ||||
6,560,000 | Citizens Financial Group, Inc., Series B (b) | 6.00% | (a) | 6,036,124 | ||||
21,030,000 | Citizens Financial Group, Inc., Series G (b) | 4.00% | (a) | 16,713,784 | ||||
18,474,000 | CoBank ACB, Series I (b) | 6.25% | (a) | 17,688,855 | ||||
35,655,000 | CoBank ACB, Series K (b) | 6.45% | (a) | 34,674,738 | ||||
11,200,000 | Commerzbank AG (b) (f) (g) | 7.00% | (a) | 9,630,779 | ||||
18,810,000 | Credit Agricole S.A. (b) (e) (f) | 6.88% | (a) | 17,596,376 | ||||
43,500,000 | Credit Agricole S.A. (b) (e) (f) | 8.13% | (a) | 43,425,963 | ||||
26,200,000 | Danske Bank A.S. (b) (f) (g) | 4.38% | (a) | 20,992,750 | ||||
21,313,000 | Danske Bank A.S. (b) (f) (g) | 6.13% | (a) | 19,833,217 | ||||
15,960,000 | Danske Bank A.S. (b) (f) (g) | 7.00% | (a) | 14,784,785 | ||||
7,650,000 | Farm Credit Bank of Texas, Series 3 (b) (e) | 6.20% | (a) | 6,782,612 | ||||
20,300,000 | Farm Credit Bank of Texas, Series 4 (b) (e) | 5.70% | (a) | 18,349,089 | ||||
8,527,000 | Fifth Third Bancorp, Series H (b) | 5.10% | (a) | 7,787,709 | ||||
1,400,000 | Fifth Third Bancorp, Series L (b) | 4.50% | (a) | 1,288,001 | ||||
12,800,000 | HSBC Holdings PLC (b) (f) | 4.60% | (a) | 8,476,160 | ||||
4,397,000 | Huntington Bancshares, Inc., Series G (b) | 4.45% | (a) | 3,874,896 | ||||
35,836,000 | ING Groep N.V. (b) (f) | 5.75% | (a) | 30,643,507 | ||||
21,579,000 | ING Groep N.V. (b) (f) | 6.50% | (a) | 19,686,544 | ||||
40,125,000 | Intesa Sanpaolo S.p.A. (b) (e) (f) | 7.70% | (a) | 34,834,736 | ||||
15,896,000 | JPMorgan Chase & Co., Series Q (b) | 5.15% | (a) | 15,538,340 | ||||
5,861,000 | JPMorgan Chase & Co., Series R (b) | 6.00% | (a) | 5,787,738 | ||||
32,100,000 | Lloyds Banking Group PLC (b) (f) | 6.75% | (a) | 29,259,466 | ||||
44,931,668 | Lloyds Banking Group PLC (b) (f) | 7.50% | (a) | 42,944,060 | ||||
42,017,000 | Lloyds Banking Group PLC (b) (f) | 7.50% | (a) | 39,075,810 | ||||
14,924,602 | M&T Bank Corp. (b) | 3.50% | (a) | 11,104,593 | ||||
7,932,000 | M&T Bank Corp., Series G (b) | 5.00% | (a) | 7,307,355 | ||||
8,500,000 | NatWest Group PLC (b) (f) | 6.00% | (a) | 7,585,400 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Banks (Continued) | ||||||||
$21,325,000 | NatWest Group PLC (b) (f) | 8.00% | (a) | $20,149,459 | ||||
44,615,000 | PNC Financial Services Group (The), Inc., Series V (b) | 6.20% | (a) | 42,370,865 | ||||
85,600,000 | Societe Generale S.A. (b) (e) (f) | 5.38% | (a) | 62,218,494 | ||||
8,589,000 | Societe Generale S.A. (b) (e) (f) | 7.88% | (a) | 8,383,822 | ||||
11,500,000 | Societe Generale S.A. (b) (e) (f) | 8.00% | (a) | 11,332,061 | ||||
68,460,000 | Standard Chartered PLC (b) (e) (f) | 4.30% | (a) | 45,178,635 | ||||
25,600,000 | Standard Chartered PLC (b) (e) (f) | 6.00% | (a) | 23,384,753 | ||||
46,190,000 | Standard Chartered PLC (b) (e) (f) | 7.75% | (a) | 42,321,587 | ||||
48,046,398 | SVB Financial Group, Series C (b) | 4.00% | (a) | 33,668,277 | ||||
50,341,000 | SVB Financial Group, Series D (b) | 4.25% | (a) | 33,717,337 | ||||
13,000,000 | Swedbank AB, Series NC5 (b) (f) (g) | 5.63% | (a) | 12,262,250 | ||||
5,695,000 | Texas Capital Bancshares, Inc. (b) | 4.00% | 05/06/31 | 4,934,970 | ||||
24,600,000 | Toronto-Dominion Bank (The) (b) | 8.13% | 10/31/82 | 24,955,470 | ||||
5,000,000 | Truist Financial Corp., Series N (b) | 4.80% | (a) | 4,501,250 | ||||
56,950,000 | UniCredit S.p.A. (b) (f) (g) | 8.00% | (a) | 53,426,219 | ||||
4,400,000 | UniCredit S.p.A. (b) (e) | 7.30% | 04/02/34 | 3,734,445 | ||||
13,500,000 | UniCredit S.p.A. (b) (e) | 5.46% | 06/30/35 | 10,055,827 | ||||
79,980,378 | Wells Fargo & Co., Series BB (b) | 3.90% | (a) | 67,953,329 | ||||
1,782,255,557 | ||||||||
Capital Markets – 9.0% | ||||||||
40,096,000 | Apollo Management Holdings L.P. (b) (e) | 4.95% | 01/14/50 | 33,696,354 | ||||
1,500,000 | Bank of New York Mellon (The) Corp., Series H (b) | 3.70% | (a) | 1,316,882 | ||||
24,740,000 | Bank of New York Mellon (The) Corp., Series I (b) | 3.75% | (a) | 19,112,887 | ||||
15,800,000 | Charles Schwab (The) Corp. (b) | 5.00% | (a) | 14,062,000 | ||||
2,000,000 | Charles Schwab (The) Corp., Series H (b) | 4.00% | (a) | 1,488,000 | ||||
63,997,000 | Charles Schwab (The) Corp., Series I (b) | 4.00% | (a) | 52,695,130 | ||||
81,425,000 | Credit Suisse Group AG (b) (e) (f) | 5.25% | (a) | 57,882,624 | ||||
1,200,000 | Credit Suisse Group AG (b) (e) (f) | 6.25% | (a) | 1,013,110 | ||||
51,775,000 | Credit Suisse Group AG (b) (e) (f) | 6.38% | (a) | 38,752,503 | ||||
76,900,000 | Credit Suisse Group AG (b) (e) (f) | 7.50% | (a) | 68,344,875 | ||||
23,400,000 | Credit Suisse Group AG (b) (e) (f) | 9.75% | (a) | 22,279,070 | ||||
77,200,000 | Deutsche Bank AG, Series 2020 (b) (f) | 6.00% | (a) | 60,785,328 | ||||
28,725,000 | EFG International AG (b) (f) (g) | 5.50% | (a) | 22,871,563 | ||||
24,875,000 | Goldman Sachs Group (The), Inc., Series R (b) | 4.95% | (a) | 22,488,990 | ||||
13,870,000 | Goldman Sachs Group (The), Inc., Series T (b) | 3.80% | (a) | 10,681,295 | ||||
40,611,000 | Goldman Sachs Group (The), Inc., Series U (b) | 3.65% | (a) | 30,957,154 | ||||
38,000,000 | UBS Group AG (b) (e) (f) | 4.88% | (a) | 30,419,056 | ||||
2,400,000 | UBS Group AG (b) (f) (g) | 5.13% | (a) | 2,088,000 | ||||
26,389,000 | UBS Group AG (b) (f) (g) | 6.88% | (a) | 25,105,808 | ||||
28,500,000 | UBS Group AG (b) (e) (f) | 7.00% | (a) | 27,636,823 | ||||
543,677,452 | ||||||||
Consumer Finance – 1.6% | ||||||||
35,292,000 | Ally Financial, Inc., Series B (b) | 4.70% | (a) | 25,696,988 | ||||
5,830,000 | Ally Financial, Inc., Series C (b) | 4.70% | (a) | 3,935,250 | ||||
47,679,000 | American Express Co. (b) | 3.55% | (a) | 36,891,626 | ||||
35,077,000 | Capital One Financial Corp., Series M (b) | 3.95% | (a) | 26,271,970 | ||||
92,795,834 | ||||||||
Diversified Financial Services – 3.1% | ||||||||
64,250,000 | American AgCredit Corp. (b) (e) | 5.25% | (a) | 59,029,687 | ||||
40,400,000 | Ares Finance Co. III LLC (b) (e) | 4.13% | 06/30/51 | 30,765,133 | ||||
28,250,000 | Capital Farm Credit ACA, Series 1 (b) (e) | 5.00% | (a) | 24,083,126 | ||||
13,950,000 | Compeer Financial ACA (b) (e) | 4.88% | (a) | 12,363,197 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Diversified Financial Services (Continued) | ||||||||
$50,110,000 | Corebridge Financial, Inc. (b) (e) | 6.88% | 12/15/52 | $44,959,182 | ||||
16,548,000 | Voya Financial, Inc., Series A (b) | 6.13% | (a) | 16,175,670 | ||||
187,375,995 | ||||||||
Electric Utilities – 1.9% | ||||||||
21,918,000 | Duke Energy Corp. (b) | 4.88% | (a) | 19,561,815 | ||||
17,965,000 | Edison International, Series B (b) | 5.00% | (a) | 14,416,912 | ||||
36,567,000 | Emera, Inc., Series 16-A (b) | 6.75% | 06/15/76 | 34,222,033 | ||||
5,000,000 | NextEra Energy Capital Holdings, Inc. (b) | 5.65% | 05/01/79 | 4,224,554 | ||||
12,865,000 | Southern (The) Co., Series 21-A (b) | 3.75% | 09/15/51 | 10,188,265 | ||||
2,000,000 | Southern (The) Co., Series B (b) | 4.00% | 01/15/51 | 1,742,900 | ||||
32,516,000 | Southern California Edison Co., Series E, 3 Mo. LIBOR + 4.20% (c) | 6.98% | (a) | 31,791,657 | ||||
116,148,136 | ||||||||
Energy Equipment & Services – 0.9% | ||||||||
3,524,000 | Transcanada Trust (b) | 5.63% | 05/20/75 | 3,223,403 | ||||
25,600,000 | Transcanada Trust (b) | 5.50% | 09/15/79 | 21,536,000 | ||||
34,700,000 | Transcanada Trust (b) | 5.60% | 03/07/82 | 29,728,878 | ||||
54,488,281 | ||||||||
Food Products – 2.0% | ||||||||
10,700,000 | Dairy Farmers of America, Inc. (h) | 7.13% | (a) | 9,964,383 | ||||
25,362,000 | Land O’Lakes Capital Trust I (h) | 7.45% | 03/15/28 | 25,268,287 | ||||
44,888,000 | Land O’Lakes, Inc. (e) | 7.00% | (a) | 41,627,785 | ||||
14,010,000 | Land O’Lakes, Inc. (e) | 7.25% | (a) | 13,100,121 | ||||
31,520,000 | Land O’Lakes, Inc. (e) | 8.00% | (a) | 31,290,377 | ||||
121,250,953 | ||||||||
Insurance – 8.7% | ||||||||
16,400,000 | Allianz SE (b) (e) | 3.50% | (a) | 12,990,398 | ||||
9,502,000 | Asahi Mutual Life Insurance Co. (b) (g) | 6.50% | (a) | 9,273,002 | ||||
32,200,000 | Assurant, Inc. (b) | 7.00% | 03/27/48 | 30,698,514 | ||||
12,999,000 | Assured Guaranty Municipal Holdings, Inc. (b) (e) | 6.40% | 12/15/66 | 11,829,090 | ||||
38,875,000 | AXIS Specialty Finance LLC (b) | 4.90% | 01/15/40 | 31,583,216 | ||||
11,400,000 | CNP Assurances (b) (g) | 4.88% | (a) | 7,621,060 | ||||
23,688,000 | Enstar Finance LLC (b) | 5.75% | 09/01/40 | 21,100,252 | ||||
55,217,000 | Enstar Finance LLC (b) | 5.50% | 01/15/42 | 43,472,344 | ||||
13,700,000 | Fortegra Financial Corp. (b) (h) | 8.50% | 10/15/57 | 13,929,920 | ||||
87,495,000 | Global Atlantic Fin Co. (b) (e) | 4.70% | 10/15/51 | 64,695,137 | ||||
18,871,000 | Hartford Financial Services Group (The), Inc., 3 Mo. LIBOR + 2.13% (c) (e) | 5.03% | 02/12/47 | 15,662,733 | ||||
26,429,000 | Kuvare US Holdings, Inc. (b) (e) | 7.00% | 02/17/51 | 26,627,217 | ||||
9,310,000 | La Mondiale SAM (b) (g) | 5.88% | 01/26/47 | 8,342,318 | ||||
40,630,000 | Lancashire Holdings Ltd. (b) (g) | 5.63% | 09/18/41 | 30,309,980 | ||||
35,910,000 | Liberty Mutual Group, Inc. (b) (e) | 4.13% | 12/15/51 | 27,243,301 | ||||
27,059,000 | Principal Financial Group, Inc., 3 Mo. LIBOR + 3.04% (c) | 5.95% | 05/15/55 | 26,145,759 | ||||
12,670,000 | Progressive (The) Corp., Series B (b) | 5.38% | (a) | 11,787,281 | ||||
49,840,000 | Prudential Financial, Inc. (b) | 6.00% | 09/01/52 | 45,494,222 | ||||
38,900,000 | QBE Insurance Group Ltd. (b) (e) | 5.88% | (a) | 35,517,882 | ||||
24,999,000 | QBE Insurance Group Ltd. (b) (g) | 6.75% | 12/02/44 | 24,105,161 | ||||
16,000,000 | QBE Insurance Group Ltd. (b) (g) | 5.88% | 06/17/46 | 14,481,134 | ||||
13,110,000 | Reinsurance Group of America, Inc., 3 Mo. LIBOR + 2.67% (c) | 5.96% | 12/15/65 | 11,077,950 | ||||
523,987,871 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Mortgage Real Estate Investment Trusts – 0.3% | ||||||||
$23,600,000 | Scentre Group Trust 2 (b) (e) | 5.13% | 09/24/80 | $18,064,616 | ||||
Multi-Utilities – 3.2% | ||||||||
64,818,000 | Algonquin Power & Utilities Corp. (b) | 4.75% | 01/18/82 | 51,874,818 | ||||
51,658,000 | CenterPoint Energy, Inc., Series A (b) | 6.13% | (a) | 48,544,456 | ||||
17,052,000 | CMS Energy Corp. (b) | 3.75% | 12/01/50 | 12,362,700 | ||||
2,400,000 | Dominion Energy, Inc., Series B (b) | 4.65% | (a) | 2,088,845 | ||||
28,520,000 | NiSource, Inc. (b) | 5.65% | (a) | 26,381,000 | ||||
9,031,000 | Sempra Energy (b) | 4.88% | (a) | 8,218,888 | ||||
59,610,000 | Sempra Energy (b) | 4.13% | 04/01/52 | 44,967,617 | ||||
194,438,324 | ||||||||
Oil, Gas & Consumable Fuels – 6.5% | ||||||||
19,778,000 | Buckeye Partners L.P. (b) | 6.38% | 01/22/78 | 15,945,716 | ||||
50,510,000 | DCP Midstream Operating L.P. (b) (e) | 5.85% | 05/21/43 | 48,940,757 | ||||
57,082,000 | Enbridge, Inc. (b) | 6.25% | 03/01/78 | 50,498,243 | ||||
45,400,000 | Enbridge, Inc. (b) | 7.63% | 01/15/83 | 43,474,416 | ||||
65,166,000 | Enbridge, Inc., Series 16-A (b) | 6.00% | 01/15/77 | 58,707,993 | ||||
40,850,000 | Enbridge, Inc., Series 20-A (b) | 5.75% | 07/15/80 | 36,197,593 | ||||
31,252,000 | Energy Transfer L.P., 3 Mo. LIBOR + 3.02% (c) | 5.80% | 11/01/66 | 23,326,493 | ||||
9,660,000 | Energy Transfer L.P., Series A (b) | 6.25% | (a) | 8,054,352 | ||||
24,986,000 | Energy Transfer L.P., Series F (b) | 6.75% | (a) | 21,454,963 | ||||
24,500,000 | Energy Transfer L.P., Series G (b) | 7.13% | (a) | 20,380,815 | ||||
9,000,000 | Energy Transfer L.P., Series H (b) | 6.50% | (a) | 7,762,500 | ||||
55,280,000 | Enterprise Products Operating LLC, 3 Mo. LIBOR + 2.78% (c) | 5.86% | 06/01/67 | 46,266,928 | ||||
14,318,000 | Enterprise Products Operating LLC, Series D, 3 Mo. LIBOR + 2.99% (c) | 5.91% | 08/16/77 | 12,623,894 | ||||
393,634,663 | ||||||||
Trading Companies & Distributors – 2.9% | ||||||||
142,083,000 | AerCap Holdings N.V. (b) | 5.88% | 10/10/79 | 128,039,516 | ||||
15,700,000 | Air Lease Corp., Series B (b) | 4.65% | (a) | 13,123,649 | ||||
42,300,000 | Aircastle Ltd. (b) (e) | 5.25% | (a) | 31,845,500 | ||||
173,008,665 | ||||||||
Transportation Infrastructure – 0.3% | ||||||||
9,666,000 | AerCap Global Aviation Trust (b) (e) | 6.50% | 06/15/45 | 8,841,973 | ||||
11,000,000 | BNSF Funding Trust I (b) | 6.61% | 12/15/55 | 10,269,679 | ||||
19,111,652 | ||||||||
Total Capital Preferred Securities | 4,220,237,999 | |||||||
(Cost $4,891,088,269) | ||||||||
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
FOREIGN CORPORATE BONDS AND NOTES – 1.5% | ||||||||
Insurance – 1.5% | ||||||||
94,408,028 | Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc. (e) (i) | 7.63% | 10/15/25 | 89,089,890 | ||||
(Cost $98,915,699) | ||||||||
CORPORATE BONDS AND NOTES – 0.2% | ||||||||
Insurance – 0.2% | ||||||||
12,296,000 | AmTrust Financial Services, Inc. | 6.13% | 08/15/23 | 11,987,897 | ||||
(Cost $12,297,919) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
EXCHANGE-TRADED FUNDS – 0.1% | ||||||||
Capital Markets – 0.1% | ||||||||
$363,507 | Invesco Preferred ETF | $4,078,548 | ||||||
(Cost $4,462,557) |
Total Investments – 98.7% | 5,946,251,105 | ||
(Cost $6,989,719,367) | |||
Net Other Assets and Liabilities – 1.3% | 80,444,528 | ||
Net Assets – 100.0% | $6,026,695,633 |
(a) | Perpetual maturity. |
(b) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at October 31, 2022. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(c) | Floating or variable rate security. |
(d) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P. (the “Advisor”). |
(e) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by 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 October 31, 2022, securities noted as such amounted to $1,483,525,355 or 24.6% of net assets. |
(f) | This security is a contingent convertible capital security which may be subject to conversion into common stock of the issuer under certain circumstances. At October 31, 2022, securities noted as such amounted to $1,516,911,889 or 25.2% of net assets. Of these securities, 3.3% originated in emerging markets, and 96.7% originated in foreign markets. |
(g) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
(h) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2C - Restricted Securities in the Notes to Financial Statements). |
(i) | These notes are Senior Payment-in-kind (“PIK”) Toggle Notes whereby the issuer may, at its option, elect to pay interest on the notes (1) entirely in cash or (2) entirely in PIK interest. Interest paid in cash will accrue on the notes at a rate of 7.63% per annum (“Cash Interest Rate”) and PIK interest will accrue on the notes at a rate per annum equal to the Cash Interest Rate plus 75 basis points. For the fiscal year ended October 31, 2022 this security paid all of its interest in cash. |
LIBOR | London Interbank Offered Rate |
Total Value at 10/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
$25 Par Preferred Securities: | ||||
Electric Utilities | $ 68,335,454 | $ 55,430,407 | $ 12,905,047 | $ — |
Insurance | 361,258,945 | 318,697,894 | 42,561,051 | — |
Multi-Utilities | 103,538,791 | 81,423,017 | 22,115,774 | — |
Wireless Telecommunication Services | 26,137,598 | 9,600,855 | 16,536,743 | — |
Other Industry Categories* | 871,359,493 | 871,359,493 | — | — |
$100 Par Preferred Securities* | 19,826,832 | — | 19,826,832 | — |
$1,000 Par Preferred Securities: | ||||
Banks | 162,539,158 | 162,539,158 | — | — |
Diversified Financial Services | 7,860,500 | — | 7,860,500 | — |
Capital Preferred Securities* | 4,220,237,999 | — | 4,220,237,999 | — |
Foreign Corporate Bonds and Notes* | 89,089,890 | — | 89,089,890 | — |
Corporate Bonds and Notes* | 11,987,897 | — | 11,987,897 | — |
Exchange-Traded Funds* | 4,078,548 | 4,078,548 | — | — |
Total Investments | $ 5,946,251,105 | $ 1,503,129,372 | $ 4,443,121,733 | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Stated Rate | Stated Maturity | Value | ||||
$1,000 PAR PREFERRED SECURITIES – 2.1% | ||||||||
Banks – 2.1% | ||||||||
5,014 | Bank of America Corp., Series L | 7.25% | (a) | $5,818,546 | ||||
6,658 | Wells Fargo & Co., Series L | 7.50% | (a) | 7,760,099 | ||||
Total $1,000 Par Preferred Securities | 13,578,645 | |||||||
(Cost $16,550,864) | ||||||||
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES – 90.1% | ||||||||
Banks – 37.4% | ||||||||
$4,950,000 | Australia & New Zealand Banking Group Ltd. (b) (c) (d) | 6.75% | (a) | 4,744,785 | ||||
1,145,000 | Australia & New Zealand Banking Group Ltd. (c) (d) (e) | 6.75% | (a) | 1,097,531 | ||||
5,400,000 | Banco Bilbao Vizcaya Argentaria S.A., Series 9 (c) (d) | 6.50% | (a) | 4,837,104 | ||||
900,000 | Banco Mercantil del Norte S.A. (b) (c) (d) | 7.50% | (a) | 703,364 | ||||
842,000 | Banco Mercantil del Norte S.A. (b) (c) (d) | 7.63% | (a) | 691,647 | ||||
1,400,000 | Banco Mercantil del Norte S.A. (b) (c) (d) | 8.38% | (a) | 1,219,491 | ||||
2,000,000 | Banco Santander S.A. (c) (d) | 4.75% | (a) | 1,412,657 | ||||
4,400,000 | Banco Santander S.A. (c) (d) (e) | 7.50% | (a) | 4,177,250 | ||||
3,656,000 | Bank of America Corp., Series RR (d) | 4.38% | (a) | 2,943,080 | ||||
3,968,000 | Bank of America Corp., Series TT (d) | 6.13% | (a) | 3,759,680 | ||||
5,400,000 | Bank of America Corp., Series X (d) | 6.25% | (a) | 5,270,063 | ||||
3,200,000 | Bank of Nova Scotia (The) (d) | 4.90% | (a) | 2,975,175 | ||||
3,400,000 | Bank of Nova Scotia (The) (d) | 8.63% | 10/27/82 | 3,419,828 | ||||
1,000,000 | Bank of Nova Scotia (The), Series 2 (d) | 3.63% | 10/27/81 | 706,301 | ||||
2,300,000 | Barclays PLC (c) (d) | 4.38% | (a) | 1,532,281 | ||||
6,850,000 | Barclays PLC (c) (d) | 6.13% | (a) | 5,950,938 | ||||
2,000,000 | Barclays PLC (c) (d) | 7.75% | (a) | 1,887,500 | ||||
11,829,000 | Barclays PLC (c) (d) | 8.00% | (a) | 11,160,045 | ||||
4,400,000 | Barclays PLC (c) (d) | 8.00% | (a) | 3,952,997 | ||||
700,000 | BBVA Bancomer S.A. (b) (c) (d) | 5.88% | 09/13/34 | 586,495 | ||||
8,000,000 | BNP Paribas S.A. (b) (c) (d) | 4.63% | (a) | 6,143,972 | ||||
2,000,000 | BNP Paribas S.A. (b) (c) (d) | 4.63% | (a) | 1,402,500 | ||||
2,010,000 | BNP Paribas S.A. (b) (c) (d) | 6.63% | (a) | 1,888,680 | ||||
1,350,000 | BNP Paribas S.A. (b) (c) (d) | 7.38% | (a) | 1,309,182 | ||||
6,740,000 | BNP Paribas S.A. (b) (c) (d) | 7.75% | (a) | 6,371,559 | ||||
3,195,000 | Citigroup, Inc. (d) | 3.88% | (a) | 2,631,083 | ||||
1,281,000 | Citigroup, Inc. (d) | 5.95% | (a) | 1,271,393 | ||||
2,000,000 | Citigroup, Inc., Series D (d) | 5.35% | (a) | 1,930,000 | ||||
1,000,000 | Citigroup, Inc., Series M (d) | 6.30% | (a) | 936,250 | ||||
6,414,000 | Citigroup, Inc., Series P (d) | 5.95% | (a) | 5,813,795 | ||||
3,049,000 | Citigroup, Inc., Series W (d) | 4.00% | (a) | 2,579,454 | ||||
2,979,000 | Citigroup, Inc., Series Y (d) | 4.15% | (a) | 2,331,804 | ||||
493,000 | Citizens Financial Group, Inc., Series B (d) | 6.00% | (a) | 453,629 | ||||
6,170,000 | Citizens Financial Group, Inc., Series G (d) | 4.00% | (a) | 4,903,664 | ||||
1,358,000 | CoBank ACB, Series I (d) | 6.25% | (a) | 1,300,285 | ||||
3,185,000 | CoBank ACB, Series K (d) | 6.45% | (a) | 3,097,435 | ||||
400,000 | Commerzbank AG (c) (d) (e) | 7.00% | (a) | 343,956 | ||||
2,306,000 | Credit Agricole S.A. (b) (c) (d) | 6.88% | (a) | 2,157,217 | ||||
3,000,000 | Credit Agricole S.A. (c) (d) (e) | 7.88% | (a) | 2,990,067 | ||||
2,200,000 | Credit Agricole S.A. (b) (c) (d) | 8.13% | (a) | 2,196,256 | ||||
4,800,000 | Danske Bank A.S. (c) (d) (e) | 4.38% | (a) | 3,846,000 | ||||
550,000 | Danske Bank A.S. (c) (d) (e) | 6.13% | (a) | 511,813 | ||||
850,000 | Danske Bank A.S. (c) (d) (e) | 7.00% | (a) | 787,410 | ||||
800,000 | Farm Credit Bank of Texas, Series 3 (b) (d) | 6.20% | (a) | 709,293 | ||||
1,100,000 | Farm Credit Bank of Texas, Series 4 (b) (d) | 5.70% | (a) | 994,286 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Banks (Continued) | ||||||||
$5,264,000 | Fifth Third Bancorp, Series H (d) | 5.10% | (a) | $4,807,611 | ||||
400,000 | HSBC Holdings PLC (c) (d) | 4.60% | (a) | 264,880 | ||||
5,000,000 | HSBC Holdings PLC (c) (d) | 6.00% | (a) | 4,063,500 | ||||
1,700,000 | Huntington Bancshares, Inc., Series G (d) | 4.45% | (a) | 1,498,140 | ||||
2,950,000 | ING Groep N.V. (c) (d) | 5.75% | (a) | 2,522,557 | ||||
1,200,000 | ING Groep N.V. (c) (d) | 6.50% | (a) | 1,094,761 | ||||
6,570,000 | Intesa Sanpaolo S.p.A. (b) (c) (d) | 7.70% | (a) | 5,703,781 | ||||
5,000,000 | JPMorgan Chase & Co., Series KK (d) | 3.65% | (a) | 4,149,750 | ||||
7,241,000 | JPMorgan Chase & Co., Series Q (d) | 5.15% | (a) | 7,078,078 | ||||
605,000 | JPMorgan Chase & Co., Series R (d) | 6.00% | (a) | 597,438 | ||||
1,550,000 | Lloyds Banking Group PLC (c) (d) | 6.75% | (a) | 1,412,840 | ||||
4,148,424 | Lloyds Banking Group PLC (c) (d) | 7.50% | (a) | 3,964,913 | ||||
4,340,000 | Lloyds Banking Group PLC (c) (d) | 7.50% | (a) | 4,036,200 | ||||
762,742 | M&T Bank Corp. (d) | 3.50% | (a) | 567,515 | ||||
2,341,000 | M&T Bank Corp., Series G (d) | 5.00% | (a) | 2,156,646 | ||||
693,000 | Macquarie Bank Ltd. (b) (c) (d) | 6.13% | (a) | 590,059 | ||||
600,000 | NatWest Group PLC (c) (d) | 6.00% | (a) | 535,440 | ||||
1,550,000 | NatWest Group PLC (c) (d) | 8.00% | (a) | 1,464,556 | ||||
2,425,000 | Nordea Bank Abp (b) (c) (d) | 6.63% | (a) | 2,296,413 | ||||
8,415,000 | PNC Financial Services Group (The), Inc., Series V (d) | 6.20% | (a) | 7,991,726 | ||||
6,800,000 | Societe Generale S.A. (b) (c) (d) | 5.38% | (a) | 4,942,591 | ||||
2,711,000 | Societe Generale S.A. (b) (c) (d) | 7.88% | (a) | 2,646,238 | ||||
400,000 | Societe Generale S.A. (c) (d) (e) | 7.88% | (a) | 390,445 | ||||
2,639,000 | Societe Generale S.A. (b) (c) (d) | 8.00% | (a) | 2,600,462 | ||||
3,800,000 | Standard Chartered PLC (b) (c) (d) | 4.30% | (a) | 2,507,724 | ||||
1,500,000 | Standard Chartered PLC (b) (c) (d) | 6.00% | (a) | 1,370,200 | ||||
5,070,000 | Standard Chartered PLC (b) (c) (d) | 7.75% | (a) | 4,645,388 | ||||
7,836,258 | SVB Financial Group, Series C (d) | 4.00% | (a) | 5,491,219 | ||||
9,518,000 | SVB Financial Group, Series D (d) | 4.25% | (a) | 6,374,955 | ||||
1,200,000 | Swedbank AB, Series NC5 (c) (d) (e) | 5.63% | (a) | 1,131,900 | ||||
463,000 | Texas Capital Bancshares, Inc. (d) | 4.00% | 05/06/31 | 401,210 | ||||
4,550,000 | Toronto-Dominion Bank (The) (d) | 8.13% | 10/31/82 | 4,615,748 | ||||
3,500,000 | Truist Financial Corp., Series L, 3 Mo. LIBOR + 3.10% (f) | 6.39% | (a) | 3,403,750 | ||||
7,800,000 | Truist Financial Corp., Series N (d) | 4.80% | (a) | 7,021,950 | ||||
3,850,000 | UniCredit S.p.A. (c) (d) (e) | 8.00% | (a) | 3,611,781 | ||||
600,000 | UniCredit S.p.A. (b) (d) | 7.30% | 04/02/34 | 509,242 | ||||
750,000 | UniCredit S.p.A. (b) (d) | 5.46% | 06/30/35 | 558,657 | ||||
13,695,000 | Wells Fargo & Co., Series BB (d) | 3.90% | (a) | 11,635,614 | ||||
242,585,073 | ||||||||
Capital Markets – 12.6% | ||||||||
4,820,000 | Apollo Management Holdings L.P. (b) (d) | 4.95% | 01/14/50 | 4,050,689 | ||||
1,870,000 | Bank of New York Mellon (The) Corp., Series I (d) | 3.75% | (a) | 1,444,668 | ||||
250,000 | Charles Schwab (The) Corp. (d) | 5.00% | (a) | 222,500 | ||||
9,627,000 | Charles Schwab (The) Corp., Series H (d) | 4.00% | (a) | 7,162,488 | ||||
19,309,000 | Charles Schwab (The) Corp., Series I (d) | 4.00% | (a) | 15,899,031 | ||||
6,243,000 | Credit Suisse Group AG (b) (c) (d) | 5.25% | (a) | 4,437,964 | ||||
2,057,000 | Credit Suisse Group AG (b) (c) (d) | 6.25% | (a) | 1,736,639 | ||||
7,770,000 | Credit Suisse Group AG (b) (c) (d) | 6.38% | (a) | 5,815,682 | ||||
4,150,000 | Credit Suisse Group AG (b) (c) (d) | 7.50% | (a) | 3,688,312 | ||||
7,800,000 | Credit Suisse Group AG (b) (c) (d) | 9.75% | (a) | 7,426,357 | ||||
9,950,000 | Deutsche Bank AG, Series 2020 (c) (d) | 6.00% | (a) | 7,834,378 | ||||
4,730,000 | EFG International AG (c) (d) (e) | 5.50% | (a) | 3,766,144 | ||||
1,200,000 | Goldman Sachs Group (The), Inc., Series R (d) | 4.95% | (a) | 1,084,896 | ||||
2,899,000 | Goldman Sachs Group (The), Inc., Series T (d) | 3.80% | (a) | 2,232,522 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Capital Markets (Continued) | ||||||||
$3,185,000 | Goldman Sachs Group (The), Inc., Series U (d) | 3.65% | (a) | $2,427,878 | ||||
811,000 | Morgan Stanley, Series M (d) | 5.88% | (a) | 782,298 | ||||
2,700,000 | UBS Group AG (c) (d) (e) | 4.38% | (a) | 1,853,314 | ||||
5,500,000 | UBS Group AG (b) (c) (d) | 4.88% | (a) | 4,402,758 | ||||
200,000 | UBS Group AG (c) (d) (e) | 5.13% | (a) | 174,000 | ||||
2,500,000 | UBS Group AG (c) (d) (e) | 6.88% | (a) | 2,378,435 | ||||
1,425,000 | UBS Group AG (b) (c) (d) | 7.00% | (a) | 1,381,841 | ||||
1,500,000 | UBS Group AG (c) (d) (e) | 7.00% | (a) | 1,454,570 | ||||
81,657,364 | ||||||||
Consumer Finance – 1.7% | ||||||||
7,192,000 | Ally Financial, Inc., Series B (d) | 4.70% | (a) | 5,236,675 | ||||
3,308,000 | Ally Financial, Inc., Series C (d) | 4.70% | (a) | 2,232,900 | ||||
2,497,000 | American Express Co. (d) | 3.55% | (a) | 1,932,054 | ||||
1,932,000 | Capital One Financial Corp., Series M (d) | 3.95% | (a) | 1,447,029 | ||||
10,848,658 | ||||||||
Diversified Financial Services – 3.0% | ||||||||
3,000,000 | American AgCredit Corp. (b) (d) | 5.25% | (a) | 2,756,250 | ||||
2,775,000 | Ares Finance Co. III LLC (b) (d) | 4.13% | 06/30/51 | 2,113,199 | ||||
4,200,000 | Capital Farm Credit ACA, Series 1 (b) (d) | 5.00% | (a) | 3,580,500 | ||||
650,000 | Compeer Financial ACA (b) (d) | 4.88% | (a) | 576,063 | ||||
10,820,000 | Corebridge Financial, Inc. (b) (d) | 6.88% | 12/15/52 | 9,707,810 | ||||
755,000 | Voya Financial, Inc., Series A (d) | 6.13% | (a) | 738,012 | ||||
19,471,834 | ||||||||
Electric Utilities – 4.4% | ||||||||
1,830,000 | Duke Energy Corp. (d) | 4.88% | (a) | 1,633,275 | ||||
1,158,000 | Edison International, Series B (d) | 5.00% | (a) | 929,295 | ||||
5,462,000 | Emera, Inc., Series 16-A (d) | 6.75% | 06/15/76 | 5,111,733 | ||||
5,711,000 | NextEra Energy Capital Holdings, Inc. (d) | 5.65% | 05/01/79 | 4,825,285 | ||||
1,428,000 | Southern (The) Co., Series 21-A (d) | 3.75% | 09/15/51 | 1,130,886 | ||||
5,372,000 | Southern (The) Co., Series B (d) | 4.00% | 01/15/51 | 4,681,429 | ||||
3,100,000 | Southern (The) Co., Series B, 3 Mo. LIBOR + 3.63% (f) | 6.92% | 03/15/57 | 3,084,500 | ||||
7,500,000 | Southern California Edison Co., Series E, 3 Mo. LIBOR + 4.20% (f) | 6.98% | (a) | 7,332,926 | ||||
28,729,329 | ||||||||
Energy Equipment & Services – 0.6% | ||||||||
276,000 | Transcanada Trust (d) | 5.63% | 05/20/75 | 252,457 | ||||
2,000,000 | Transcanada Trust (d) | 5.50% | 09/15/79 | 1,682,500 | ||||
2,650,000 | Transcanada Trust (d) | 5.60% | 03/07/82 | 2,270,361 | ||||
4,205,318 | ||||||||
Food Products – 1.7% | ||||||||
1,200,000 | Dairy Farmers of America, Inc. (g) | 7.13% | (a) | 1,117,501 | ||||
1,400,000 | Land O’Lakes Capital Trust I (g) | 7.45% | 03/15/28 | 1,394,827 | ||||
6,146,000 | Land O’Lakes, Inc. (b) | 7.00% | (a) | 5,699,616 | ||||
2,220,000 | Land O’Lakes, Inc. (b) | 7.25% | (a) | 2,075,822 | ||||
400,000 | Land O’Lakes, Inc. (e) | 7.25% | (a) | 374,022 | ||||
535,000 | Land O’Lakes, Inc. (b) | 8.00% | (a) | 531,103 | ||||
11,192,891 | ||||||||
Insurance – 13.6% | ||||||||
3,500,000 | Allianz SE (b) (d) | 3.50% | (a) | 2,772,341 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Insurance (Continued) | ||||||||
$2,000,000 | Asahi Mutual Life Insurance Co. (d) (e) | 6.50% | (a) | $1,951,800 | ||||
3,858,000 | Assurant, Inc. (d) | 7.00% | 03/27/48 | 3,678,102 | ||||
2,300,000 | Assured Guaranty Municipal Holdings, Inc. (b) (d) | 6.40% | 12/15/66 | 2,093,000 | ||||
1,700,000 | Assured Guaranty Municipal Holdings, Inc. (d) (e) | 6.40% | 12/15/66 | 1,556,299 | ||||
5,170,000 | AXIS Specialty Finance LLC (d) | 4.90% | 01/15/40 | 4,200,263 | ||||
7,000,000 | CNP Assurances (d) (e) | 4.88% | (a) | 4,679,598 | ||||
1,332,000 | Enstar Finance LLC (d) | 5.75% | 09/01/40 | 1,186,488 | ||||
12,538,000 | Enstar Finance LLC (d) | 5.50% | 01/15/42 | 9,871,168 | ||||
10,245,000 | Global Atlantic Fin Co. (b) (d) | 4.70% | 10/15/51 | 7,575,309 | ||||
4,300,000 | Hartford Financial Services Group (The), Inc., 3 Mo. LIBOR + 2.13% (b) (f) | 5.03% | 02/12/47 | 3,568,955 | ||||
2,464,000 | Kuvare US Holdings, Inc. (b) (d) | 7.00% | 02/17/51 | 2,482,480 | ||||
1,000,000 | La Mondiale SAM (d) (e) | 5.88% | 01/26/47 | 896,060 | ||||
6,850,000 | Lancashire Holdings Ltd. (d) (e) | 5.63% | 09/18/41 | 5,110,100 | ||||
7,300,000 | Liberty Mutual Group, Inc. (b) (d) | 4.13% | 12/15/51 | 5,538,182 | ||||
2,501,000 | Markel Corp. (d) | 6.00% | (a) | 2,397,698 | ||||
2,900,000 | MetLife, Inc. (b) | 9.25% | 04/08/38 | 3,328,386 | ||||
3,500,000 | Principal Financial Group, Inc., 3 Mo. LIBOR + 3.04% (f) | 5.95% | 05/15/55 | 3,381,875 | ||||
7,247,000 | Progressive (The) Corp., Series B (d) | 5.38% | (a) | 6,742,102 | ||||
10,415,000 | Prudential Financial, Inc. (d) | 6.00% | 09/01/52 | 9,506,868 | ||||
2,200,000 | QBE Insurance Group Ltd. (b) (d) | 5.88% | (a) | 2,008,723 | ||||
2,850,000 | QBE Insurance Group Ltd. (d) (e) | 6.75% | 12/02/44 | 2,748,098 | ||||
300,000 | QBE Insurance Group Ltd. (d) (e) | 5.88% | 06/17/46 | 271,521 | ||||
999,000 | Reinsurance Group of America, Inc., 3 Mo. LIBOR + 2.67% (f) | 5.96% | 12/15/65 | 844,155 | ||||
88,389,571 | ||||||||
Mortgage Real Estate Investment Trusts – 0.9% | ||||||||
2,830,000 | Scentre Group Trust 2 (b) (d) | 4.75% | 09/24/80 | 2,396,359 | ||||
4,220,000 | Scentre Group Trust 2 (b) (d) | 5.13% | 09/24/80 | 3,230,198 | ||||
5,626,557 | ||||||||
Multi-Utilities – 3.5% | ||||||||
6,927,000 | Algonquin Power & Utilities Corp. (d) | 4.75% | 01/18/82 | 5,543,782 | ||||
6,878,000 | CenterPoint Energy, Inc., Series A (d) | 6.13% | (a) | 6,463,448 | ||||
948,000 | CMS Energy Corp. (d) | 3.75% | 12/01/50 | 687,300 | ||||
180,000 | Dominion Energy, Inc., Series B (d) | 4.65% | (a) | 156,663 | ||||
2,406,000 | NiSource, Inc. (d) | 5.65% | (a) | 2,225,550 | ||||
2,381,000 | Sempra Energy (d) | 4.88% | (a) | 2,166,889 | ||||
6,973,000 | Sempra Energy (d) | 4.13% | 04/01/52 | 5,260,178 | ||||
22,503,810 | ||||||||
Oil, Gas & Consumable Fuels – 8.4% | ||||||||
7,710,000 | Buckeye Partners L.P. (d) | 6.38% | 01/22/78 | 6,216,072 | ||||
7,006,000 | DCP Midstream Operating L.P. (b) (d) | 5.85% | 05/21/43 | 6,788,338 | ||||
1,026,000 | Enbridge, Inc. (d) | 6.25% | 03/01/78 | 907,663 | ||||
8,000,000 | Enbridge, Inc. (d) | 7.63% | 01/15/83 | 7,660,690 | ||||
7,398,000 | Enbridge, Inc., Series 16-A (d) | 6.00% | 01/15/77 | 6,664,852 | ||||
4,475,000 | Enbridge, Inc., Series 20-A (d) | 5.75% | 07/15/80 | 3,965,342 | ||||
1,395,000 | Energy Transfer L.P., 3 Mo. LIBOR + 3.02% (f) | 5.80% | 11/01/66 | 1,041,228 | ||||
1,878,000 | Energy Transfer L.P., Series A (d) | 6.25% | (a) | 1,565,846 | ||||
100,000 | Energy Transfer L.P., Series B (d) | 6.63% | (a) | 72,000 | ||||
8,372,000 | Energy Transfer L.P., Series F (d) | 6.75% | (a) | 7,188,864 | ||||
6,603,000 | Energy Transfer L.P., Series G (d) | 7.13% | (a) | 5,492,838 | ||||
728,000 | Energy Transfer L.P., Series H (d) | 6.50% | (a) | 627,900 | ||||
4,715,000 | Enterprise Products Operating LLC, 3 Mo. LIBOR + 2.78% (f) | 5.86% | 06/01/67 | 3,946,247 |
Par Amount | Description | Stated Rate | Stated Maturity | Value | ||||
CAPITAL PREFERRED SECURITIES (Continued) | ||||||||
Oil, Gas & Consumable Fuels (Continued) | ||||||||
$2,771,000 | Enterprise Products Operating LLC, Series D, 3 Mo. LIBOR + 2.99% (f) | 5.91% | 08/16/77 | $2,443,135 | ||||
54,581,015 | ||||||||
Trading Companies & Distributors – 1.9% | ||||||||
9,900,000 | AerCap Holdings N.V. (d) | 5.88% | 10/10/79 | 8,921,484 | ||||
1,127,000 | Air Lease Corp., Series B (d) | 4.65% | (a) | 942,061 | ||||
2,940,000 | Aircastle Ltd. (b) (d) | 5.25% | (a) | 2,213,375 | ||||
12,076,920 | ||||||||
Transportation Infrastructure – 0.4% | ||||||||
2,722,000 | AerCap Global Aviation Trust (b) (d) | 6.50% | 06/15/45 | 2,489,950 | ||||
Total Capital Preferred Securities | 584,358,290 | |||||||
(Cost $658,153,220) | ||||||||
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
FOREIGN CORPORATE BONDS AND NOTES – 1.7% | ||||||||
Insurance – 1.7% | ||||||||
11,900,342 | Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc. (b) (h) | 7.63% | 10/15/25 | 11,229,979 | ||||
(Cost $12,479,928) | ||||||||
CORPORATE BONDS AND NOTES – 0.3% | ||||||||
Insurance – 0.3% | ||||||||
2,168,000 | AmTrust Financial Services, Inc. | 6.13% | 08/15/23 | 2,113,676 | ||||
(Cost $2,181,882) |
Total Investments – 94.2% | 611,280,590 | ||
(Cost $689,365,894) | |||
Net Other Assets and Liabilities – 5.8% | 37,755,228 | ||
Net Assets – 100.0% | $649,035,818 |
(a) | Perpetual maturity. |
(b) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P., (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At October 31, 2022, securities noted as such amounted to $177,185,662 or 27.3% of net assets. |
(c) | This security is a contingent convertible capital security which may be subject to conversion into common stock of the issuer under certain circumstances. At October 31, 2022, securities noted as such amounted to $172,049,720 or 26.5% of net assets. Of these securities, 1.9% originated in emerging markets, and 98.1% originated in foreign markets. |
(d) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at October 31, 2022. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(e) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
(f) | Floating or variable rate security. |
(g) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2C - Restricted Securities in the Notes to Financial Statements). |
(h) | These notes are Senior Payment-in-kind (“PIK”) Toggle Notes whereby the issuer may, at its option, elect to pay interest on the notes (1) entirely in cash or (2) entirely in PIK interest. Interest paid in cash will accrue on the notes at a rate of 7.63% per annum (“Cash Interest Rate”) and PIK interest will accrue on the notes at a rate per annum equal to the Cash Interest Rate plus 75 basis points. For the fiscal year ended October 31, 2022, this security paid all of its interest in cash. |
LIBOR | London Interbank Offered Rate |
Total Value at 10/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
$1,000 Par Preferred Securities* | $ 13,578,645 | $ 13,578,645 | $ — | $ — |
Capital Preferred Securities* | 584,358,290 | — | 584,358,290 | — |
Foreign Corporate Bonds and Notes* | 11,229,979 | — | 11,229,979 | — |
Corporate Bonds and Notes* | 2,113,676 | — | 2,113,676 | — |
Total Investments | $ 611,280,590 | $ 13,578,645 | $ 597,701,945 | $— |
* | See Portfolio of Investments for industry breakout. |
First Trust Preferred Securities and Income ETF (FPE) | First Trust Institutional Preferred Securities and Income ETF (FPEI) | ||
ASSETS: | |||
Investments, at value | $ 5,946,251,105 | $ 611,280,590 | |
Cash | 8,319,415 | 31,403,654 | |
Receivables: | |||
Interest | 61,723,715 | 8,863,980 | |
Investment securities sold | 22,004,813 | 537,294 | |
Dividends | 3,252,226 | — | |
Interest reclaims | 2,240,345 | 272,797 | |
Dividend reclaims | 172,625 | — | |
Miscellaneous | 72,180 | 27,720 | |
Fund shares sold | — | 6,920,210 | |
Total Assets | 6,044,036,424 | 659,306,245 | |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | 12,947,138 | 9,820,848 | |
Investment advisory fees | 4,393,653 | 449,579 | |
Total Liabilities | 17,340,791 | 10,270,427 | |
NET ASSETS | $6,026,695,633 | $649,035,818 | |
NET ASSETS consist of: | |||
Paid-in capital | $ 7,254,646,672 | $ 733,398,041 | |
Par value | 3,631,550 | 376,000 | |
Accumulated distributable earnings (loss) | (1,231,582,589) | (84,738,223) | |
NET ASSETS | $6,026,695,633 | $649,035,818 | |
NET ASSET VALUE, per share | $16.60 | $17.26 | |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 363,155,000 | 37,600,002 | |
Investments, at cost | $6,989,719,367 | $689,365,894 |
First Trust Preferred Securities and Income ETF (FPE) | First Trust Institutional Preferred Securities and Income ETF (FPEI) | |||
INVESTMENT INCOME: | ||||
Interest | $ 301,367,196 | $ 32,039,723 | ||
Dividends | 112,895,943 | 830,022 | ||
Foreign withholding tax | (159,638) | 822 | ||
Other | — | 13 | ||
Total investment income | 414,103,501 | 32,870,580 | ||
EXPENSES: | ||||
Investment advisory fees | 60,708,917 | 4,869,787 | ||
Total expenses | 60,708,917 | 4,869,787 | ||
NET INVESTMENT INCOME (LOSS) | 353,394,584 | 28,000,793 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments | (112,639,122) | (5,614,594) | ||
In-kind redemptions | (2,311,328) | — | ||
Foreign currency transactions | 22 | — | ||
Net realized gain (loss) | (114,950,428) | (5,614,594) | ||
Net change in unrealized appreciation (depreciation) on investments | (1,384,334,348) | (96,752,605) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (1,499,284,776) | (102,367,199) | ||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(1,145,890,192) | $(74,366,406) |
First Trust Preferred Securities and Income ETF (FPE) | First Trust Institutional Preferred Securities and Income ETF (FPEI) | ||||||
Year Ended 10/31/2022 | Year Ended 10/31/2021 | Year Ended 10/31/2022 | Year Ended 10/31/2021 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 353,394,584 | $ 299,216,791 | $ 28,000,793 | $ 16,636,653 | |||
Net realized gain (loss) | (114,950,428) | 57,939,076 | (5,614,594) | 2,321,122 | |||
Net change in unrealized appreciation (depreciation) | (1,384,334,348) | 290,784,331 | (96,752,605) | 14,036,111 | |||
Net increase (decrease) in net assets resulting from operations | (1,145,890,192) | 647,940,198 | (74,366,406) | 32,993,886 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (343,498,173) | (286,189,376) | (26,784,009) | (15,669,405) | |||
Return of capital | (13,679,185) | (12,681,882) | (1,398,898) | (847,307) | |||
Total distributions to shareholders | (357,177,358) | (298,871,258) | (28,182,907) | (16,516,712) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 718,008,516 | 1,987,661,883 | 317,318,641 | 191,421,574 | |||
Cost of shares redeemed | (886,491,469) | (60,917,203) | (58,151,167) | — | |||
Net increase (decrease) in net assets resulting from shareholder transactions | (168,482,953) | 1,926,744,680 | 259,167,474 | 191,421,574 | |||
Total increase (decrease) in net assets | (1,671,550,503) | 2,275,813,620 | 156,618,161 | 207,898,748 | |||
NET ASSETS: | |||||||
Beginning of period | 7,698,246,136 | 5,422,432,516 | 492,417,657 | 284,518,909 | |||
End of period | $6,026,695,633 | $7,698,246,136 | $649,035,818 | $492,417,657 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 376,405,000 | 281,905,000 | 24,000,002 | 14,700,002 | |||
Shares sold | 36,550,000 | 97,550,000 | 16,700,000 | 9,300,000 | |||
Shares redeemed | (49,800,000) | (3,050,000) | (3,100,000) | — | |||
Shares outstanding, end of period | 363,155,000 | 376,405,000 | 37,600,002 | 24,000,002 |
Year Ended October 31, | |||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
Net asset value, beginning of period | $ 20.45 | $ 19.23 | $ 19.89 | $ 18.76 | $ 20.13 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.92 | 0.90 | 1.00 | 1.08 | 1.08 | ||||
Net realized and unrealized gain (loss) | (3.84) | 1.24 | (0.66) | 1.14 | (1.37) | ||||
Total from investment operations | (2.92) | 2.14 | 0.34 | 2.22 | (0.29) | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.89) | (0.88) | (0.94) | (1.07) | (1.08) | ||||
Return of capital | (0.04) | (0.04) | (0.06) | (0.02) | (0.00) (a) | ||||
Total distributions | (0.93) | (0.92) | (1.00) | (1.09) | (1.08) | ||||
Net asset value, end of period | $16.60 | $20.45 | $19.23 | $19.89 | $18.76 | ||||
Total return (b) | (14.65)% | 11.26% | 1.94% | 12.25% | (1.47)% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 6,026,696 | $ 7,698,246 | $ 5,422,433 | $ 4,678,519 | $ 3,374,372 | ||||
Ratio of total expenses to average net assets | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% | ||||
Ratio of net investment income (loss) to average net assets | 4.95% | 4.54% | 5.24% | 5.69% | 5.56% | ||||
Portfolio turnover rate (c) | 35% | 27% | 43% | 28% | 24% |
(a) | Amount is less than $0.01. |
(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) | 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 October 31, | |||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
Net asset value, beginning of period | $ 20.52 | $ 19.36 | $ 19.85 | $ 18.75 | $ 20.26 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.88 | 0.90 | 1.01 | 1.01 | 0.99 | ||||
Net realized and unrealized gain (loss) | (3.22) | 1.19 | (0.50) | 1.12 | (1.47) | ||||
Total from investment operations | (2.34) | 2.09 | 0.51 | 2.13 | (0.48) | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.87) | (0.88) | (0.97) | (1.00) | (1.03) | ||||
Return of capital | (0.05) | (0.05) | (0.03) | (0.03) | — | ||||
Total distributions | (0.92) | (0.93) | (1.00) | (1.03) | (1.03) | ||||
Net asset value, end of period | $17.26 | $20.52 | $19.36 | $19.85 | $18.75 | ||||
Total return (a) | (11.68)% | 10.91% | 2.76% | 11.75% | (2.42)% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 649,036 | $ 492,418 | $ 284,519 | $ 235,178 | $ 93,757 | ||||
Ratio of total expenses to average net assets | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% | ||||
Ratio of net investment income (loss) to average net assets | 4.89% | 4.60% | 5.22% | 5.39% | 5.36% | ||||
Portfolio turnover rate (b) | 31% | 22% | 48% | 28% | 25% |
(a) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(b) | 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 last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price; |
2) | the type of security; |
3) | the size of the holding; |
4) | the initial cost of the security; |
5) | transactions in comparable securities; |
6) | price quotes from dealers and/or third-party pricing services; |
7) | relationships among various securities; |
8) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
9) | an analysis of the issuer’s financial statements; |
10) | the existence of merger proposals or tender offers that might affect the value of the security; and |
11) | other relevant factors. |
1) | the value of similar foreign securities traded on other foreign markets; |
2) | ADR trading of similar securities; |
3) | closed-end fund or exchange-traded fund trading of similar securities; |
4) | foreign currency exchange activity; |
5) | the trading prices of financial products that are tied to baskets of foreign securities; |
6) | factors relating to the event that precipitated the pricing problem; |
7) | whether the event is likely to recur; |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions; and |
9) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security | Acquisition Date | Par Amount | Current Price | Carrying Cost | Value | % of Net Assets | ||
FPE | ||||||||
Dairy Farmers of America, Inc., 7.13% | 09/15/16-12/10/21 | $10,700,000 | $93.13 | $10,903,500 | $9,964,383 | 0.17% | ||
Fortegra Financial Corp., 8.50%, 10/15/57 | 10/12/17-03/12/18 | 13,700,000 | 101.68 | 13,718,771 | 13,929,920 | 0.23 | ||
Land O’Lakes Capital Trust I, 7.45%, 03/15/28 | 03/20/15-07/23/21 | 25,362,000 | 99.63 | 27,279,432 | 25,268,287 | 0.42 | ||
$51,901,703 | $49,162,590 | 0.82% | ||||||
FPEI | ||||||||
Dairy Farmers of America, Inc., 7.13% | 01/21/21-12/08/21 | $1,200,000 | $93.13 | $1,222,750 | $1,117,501 | 0.17% | ||
Land O’Lakes Capital Trust I, 7.45%, 03/15/28 | 05/04/18-07/21/21 | 1,400,000 | 99.63 | 1,534,736 | 1,394,827 | 0.21 | ||
$2,757,486 | $2,512,328 | 0.38% |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |||
First Trust Preferred Securities and Income ETF | $ 343,498,173 | $ — | $ 13,679,185 | ||
First Trust Institutional Preferred Securities and Income ETF | 26,784,009 | — | 1,398,898 |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |||
First Trust Preferred Securities and Income ETF | $ 286,189,376 | $ — | $ 12,681,882 | ||
First Trust Institutional Preferred Securities and Income ETF | 15,669,405 | — | 847,307 |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust Preferred Securities and Income ETF | $ — | $ (214,257,211) | $ (1,017,325,378) | ||
First Trust Institutional Preferred Securities and Income ETF | — | (8,287,742) | (76,450,481) |
Non-Expiring Capital Loss Carryforward | |
First Trust Preferred Securities and Income ETF | $ 214,257,211 |
First Trust Institutional Preferred Securities and Income ETF | 8,287,742 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | |||
First Trust Preferred Securities and Income ETF | $ (6,911,595) | $ 12,408,769 | $ (5,497,174) | ||
First Trust Institutional Preferred Securities and Income ETF | (390,200) | 386,888 | 3,312 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
First Trust Preferred Securities and Income ETF | $ 6,963,576,483 | $ 15,290,845 | $ (1,032,616,223) | $ (1,017,325,378) | |||
First Trust Institutional Preferred Securities and Income ETF | 687,731,071 | 1,062,984 | (77,513,465) | (76,450,481) |
Purchases | Sales | ||
First Trust Preferred Securities and Income ETF | $ 2,441,753,882 | $ 2,468,501,685 | |
First Trust Institutional Preferred Securities and Income ETF | 410,206,421 | 169,285,828 | |
Purchases | Sales | ||
First Trust Preferred Securities and Income ETF | $ 62,800,994 | $ 95,561,336 | |
First Trust Institutional Preferred Securities and Income ETF | — | — |
Dividends Received Deduction | |
First Trust Preferred Securities and Income ETF | 30.67% |
First Trust Institutional Preferred Securities and Income ETF | 28.63% |
Qualified Dividend Income | |
First Trust Preferred Securities and Income ETF | 63.30% |
First Trust Institutional Preferred Securities and Income ETF | 67.43% |
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, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 223 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 223 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 223 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 223 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 223 | 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) | 223 | 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 2016 | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, 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 2016 | Senior Vice President, 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
October 31, 2022
1 | |
2 | |
5 | |
7 | |
8 | |
46 | |
47 | |
48 | |
49 | |
50 | |
57 | |
58 | |
64 | |
66 |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 10/31/22 | 5 Years Ended 10/31/22 | Inception (5/13/14) to 10/31/22 | 5 Years Ended 10/31/22 | Inception (5/13/14) to 10/31/22 | ||
Fund Performance | ||||||
NAV | -12.47% | 0.44% | 2.16% | 2.21% | 19.82% | |
Market Price | -12.61% | 0.39% | 2.14% | 1.98% | 19.67% | |
Index Performance | ||||||
Bloomberg Revenue 10 Year (8-12) Index | -10.46% | 0.72% | 1.96% | 3.66% | 17.84% |
Sector Allocation | % of Total Investments (including cash) |
Hospital | 14.1% |
Insured | 8.8 |
Government Obligation Bond - Unlimited Tax | 7.8 |
Gas | 6.1 |
Dedicated Tax | 6.0 |
Certificates of Participation | 5.3 |
Airport | 4.9 |
Education | 4.4 |
Utility | 4.4 |
Continuing Care Retirement Communities | 4.3 |
Special Assessment | 4.1 |
Water & Sewer | 3.9 |
Higher Education | 3.5 |
Pre-refunded/Escrowed-to-maturity | 3.5 |
Industrial Development Bond | 3.4 |
Government Obligation Bond - Limited Tax | 3.3 |
Toll Road | 2.4 |
Tobacco | 1.8 |
Mass Transit | 1.4 |
Student Housing | 0.8 |
Tax Increment | 0.8 |
Housing | 0.8 |
Local Housing | 0.4 |
Hotel | 0.3 |
Port | 0.1 |
Other Health | 0.1 |
Pool | 0.1 |
Stadium | 0.0* |
Cash | 3.2 |
Total | 100.0% |
* | Amount is less than 0.1%. |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 5.0% |
AA | 34.5 |
A | 31.6 |
BBB | 11.4 |
BB | 2.8 |
B | 1.2 |
Not Rated | 10.2 |
Short Rated only | 0.1 |
Cash | 3.2 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 96.0% |
Net Other Assets and Liabilities** | 4.0 |
Total | 100.0% |
** | Includes variation margin on futures contracts. |
(1) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. Performance in municipal bond investment strategies can be impacted from the benefits of purchasing odd lot positions. The impact of these investments can be particularly meaningful when funds have limited assets under management and may not be a sustainable source of performance as a fund grows in size.
• | Over the past year, U.S. Treasury rates increased all along the yield curve and municipal interest rates followed U.S. Treasury yields higher. During the 12-month period ended October 31, 2022, 10-Year and 30-Year U.S. Treasury yields increased by approximately 250 basis points (“bps”) and 224 bps, respectively, to 4.05% and 4.17%, respectively. |
• | Large industry-wide mutual fund and ETF outflows resulted in funds selling municipal bonds to meet redemptions which put additional pressure on municipal bond prices. For the 12-month period ended October 31, 2022, municipal fund outflows totaled approximately $115.6 billion. |
• | According to data from Municipal Market Analytics, Inc., the number of municipal bond defaults was lower year-to-date compared to a year ago while the par value of defaulted bonds rose modestly. Through October 26, 2022, the number and par value of municipal bond defaults totaled 42 and $3.14 billion, respectively, compared with 61 defaults and $2.80 billion for the same period a year ago. |
• | New issue municipal bond supply has been lower year-to-date compared to year ago figures. Through October 31, 2022, year-to-date issuance was $333.9 billion, down approximately 17% compared to the same period a year ago. |
• | As a result of these factors, municipal bond yields rose, credit spreads widened and municipal bond prices declined. |
Beginning Account Value May 1, 2022 | Ending Account Value October 31, 2022 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (b) | |
First Trust Managed Municipal ETF (FMB) | ||||
Actual | $1,000.00 | $952.50 | 0.50% | $2.46 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.68 | 0.50% | $2.55 |
(a) | These expense ratios reflect expense waivers. See Note 3 in the Notes to Financial Statements. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2022 through October 31, 2022), multiplied by 184/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 96.0% | ||||||||
Alabama – 3.8% | ||||||||
$225,000 | AL Cmnty Clg Sys Brd of Trustees Rev Bishop St Cmnty Clg, BAM | 4.00% | 01/01/35 | $220,552 | ||||
500,000 | AL St Port Auth Docks Facs Rev Ref Docks Facs Rev, Ser A, AGM, AMT | 5.00% | 10/01/25 | 513,313 | ||||
2,380,000 | AL St Port Auth Docks Facs Rev Ref Docks Facs Rev, Ser A, AGM, AMT | 5.00% | 10/01/29 | 2,475,114 | ||||
940,000 | Birmingham AL Wtrwks Brd Wtr Rev Ref Sr, Ser A (Pre-refunded maturity 01/01/27) | 4.00% | 01/01/34 | 963,061 | ||||
7,070,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev Proj #5, Ser A-1 (Mandatory put 10/01/26) | 4.00% | 10/01/49 | 6,792,773 | ||||
7,695,000 | Black Belt Energy Gas Dist AL Gas Proj Rev Gas Proj Rev Bonds, Proj No. 7, Ser C-1 (Mandatory put 12/01/26) | 4.00% | 10/01/52 | 7,409,983 | ||||
1,000,000 | Black Belt Energy Gas Dist AL Gas Proj Rev Gas Proj, Ser E | 5.00% | 06/01/26 | 1,014,918 | ||||
4,600,000 | Columbia AL Indl Dev Brd Poll Control Rev Var Ref AL Pwr Co Proj, Ser B (a) | 1.72% | 12/01/37 | 4,600,000 | ||||
5,000,000 | Columbia AL Indl Dev Brd Pollcontrol Rev Var Ref AL Pwr Co Proj, Ser A (a) | 1.72% | 12/01/37 | 5,000,000 | ||||
6,500,000 | Eutaw AL Indl Dev Brd Poll Control Rev Adj Ref Ala Pwr Co Pj (a) | 1.72% | 06/01/28 | 6,500,000 | ||||
415,000 | Gulf Shores AL Ref Warrants, Ser A | 5.00% | 12/15/35 | 435,867 | ||||
310,000 | Gulf Shores AL Ref Warrants, Ser A | 5.00% | 12/15/38 | 322,186 | ||||
400,000 | Homewood AL Eductnl Bldg Auth Rev Ref Samford Univ Proj, Ser A | 4.00% | 12/01/33 | 372,316 | ||||
950,000 | Homewood AL Eductnl Bldg Auth Rev Ref Samford Univ Proj, Ser A | 4.00% | 12/01/34 | 871,422 | ||||
450,000 | Infirmary Hlth Sys AL Spl Care Facs Fing Auth Rev Infirmary Hlth Sys Inc, Ser A | 5.00% | 02/01/36 | 451,579 | ||||
930,000 | Leeds AL Pub Eductnl Bldg Auth Eductnl Facs Rev Ref Edu, AGM | 4.00% | 04/01/29 | 947,817 | ||||
695,000 | Leeds AL Pub Eductnl Bldg Auth Eductnl Facs Rev Ref Edu, AGM | 4.00% | 04/01/30 | 708,139 | ||||
1,445,000 | Lower AL Gas Dist Gas Proj Rev, Ser A | 5.00% | 09/01/31 | 1,455,231 | ||||
1,000,000 | Midcity Impt Dist AL Spl Assmnt Rev | 4.50% | 11/01/42 | 747,914 | ||||
375,000 | Mobile AL Impt Dist Sales Tax Rev McGowin Park Proj, Ser A | 5.00% | 08/01/25 | 364,674 | ||||
500,000 | Mobile Cnty AL Impt Warrants (Pre-refunded maturity 08/01/25) | 5.00% | 08/01/30 | 522,815 | ||||
1,105,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 4.00% | 11/01/30 | 696,150 | ||||
1,565,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 4.00% | 11/01/31 | 939,000 | ||||
1,605,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 4.00% | 11/01/32 | 930,900 | ||||
1,395,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 4.00% | 11/01/33 | 781,200 | ||||
1,765,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 4.00% | 11/01/34 | 970,750 | ||||
1,840,000 | Prichard AL Wtrwks & Swr Brd Wtr & Swr Rev Ref | 4.00% | 11/01/35 | 1,012,001 | ||||
110,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #1, Ser A (Mandatory put 04/01/24) | 4.00% | 04/01/49 | 108,502 | ||||
3,000,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A (Mandatory put 06/01/24) | 4.00% | 06/01/49 | 2,959,437 | ||||
6,050,000 | SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A (Mandatory put 10/01/28) | 4.00% | 11/01/51 | 5,650,639 | ||||
2,000,000 | SE Energy Auth AL Cmdy Sply Rev Proj #4, Ser B-1 (Mandatory put 08/01/28) | 5.00% | 05/01/53 | 1,970,044 | ||||
1,500,000 | Southeast Energy Auth AL Cmdy Sply Rev Var Proj No 3 (Mandatory put 12/01/29) (b) | 5.50% | 01/01/53 | 1,517,086 | ||||
1,040,000 | Troy AL Ref Warrants, BAM | 4.00% | 07/01/35 | 954,449 | ||||
105,000 | UAB Medicine Fin Auth AL Rev Ref UAB Medicine, Ser B | 5.00% | 09/01/34 | 108,029 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Alabama (Continued) | ||||||||
$5,000,000 | UAB Medicine Fin Auth AL Rev Ref UAB Medicine, Ser B2 | 5.00% | 09/01/41 | $5,047,571 | ||||
66,335,432 | ||||||||
Alaska – 0.2% | ||||||||
1,880,000 | AK St Indl Dev & Export Auth Pwr Rev Ref Snettisham Hydroelectric Proj, AMT | 4.00% | 01/01/28 | 1,809,318 | ||||
450,000 | Nthrn AK Tobacco Securitization Corp Tobacco Stlmt Rev Ref Sr, Ser A, Class 1 | 4.00% | 06/01/39 | 390,925 | ||||
1,500,000 | Nthrn AK Tobacco Securitization Corp Tobacco Stlmt Rev Ref Sr, Ser A, Class 1 | 4.00% | 06/01/40 | 1,291,063 | ||||
3,491,306 | ||||||||
Arizona – 2.7% | ||||||||
1,205,000 | AZ Brd of Rgts Univ AZ Sys Rev Green Bond, Ser B | 5.00% | 06/01/28 | 1,265,187 | ||||
1,000,000 | AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj (c) | 5.00% | 07/01/49 | 866,518 | ||||
595,000 | AZ St Indl Dev Auth Edu Rev Cadence Cmps Proj, Ser A (c) | 4.00% | 07/15/30 | 543,279 | ||||
925,000 | AZ St Indl Dev Auth Edu Rev Cadence Cmps Proj, Ser A (c) | 4.00% | 07/15/40 | 729,841 | ||||
175,000 | AZ St Indl Dev Auth Edu Rev Doral Acdmy NV Fire Mesa & Red Rock Cmps Proj, Ser A (c) | 5.00% | 07/15/39 | 158,166 | ||||
500,000 | AZ St Indl Dev Auth Edu Rev Macombs Fac Proj Social Bonds, Ser A | 4.00% | 07/01/41 | 395,142 | ||||
375,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser D (c) | 5.00% | 07/01/37 | 358,083 | ||||
880,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (c) | 5.00% | 07/01/26 | 884,350 | ||||
1,030,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser G (c) | 5.00% | 07/01/37 | 983,534 | ||||
500,000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (c) | 4.00% | 07/15/51 | 344,530 | ||||
950,000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (c) | 4.00% | 07/15/56 | 634,110 | ||||
800,000 | AZ St Indl Dev Auth Edu Rev Somerset Acdmy of LV Aliante & Skye Canyon Cmps Proj, Ser A (c) | 4.00% | 12/15/51 | 572,418 | ||||
500,000 | AZ St Indl Dev Auth Edu Rev, Ser A (c) | 4.00% | 07/15/30 | 453,093 | ||||
415,000 | AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan Fd Social Bonds Equitable Sch Revolving Fund, Ser A | 5.00% | 11/01/31 | 430,184 | ||||
1,005,000 | AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan Fd Social Bonds Equitable Sch Revolving Fund, Ser A | 5.00% | 11/01/33 | 1,031,328 | ||||
465,000 | AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan Fd Social Bonds Equitable Sch Revolving Fund, Ser A | 5.00% | 11/01/37 | 472,063 | ||||
595,000 | AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan Fd Social Bonds Equitable Sch Revolving Fund, Ser A | 4.00% | 11/01/38 | 526,453 | ||||
750,000 | AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan Fd Social Bonds Equitable Sch Revolving Fund, Ser A | 4.00% | 11/01/39 | 657,385 | ||||
3,800,000 | AZ St Indl Dev Auth Natl Chrt Sch Revolving Loan Fd Social Bonds Equitable Sch Revolving Fund, Ser A | 4.00% | 11/01/46 | 3,133,018 | ||||
1,000,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 08/01/27 | 1,058,927 | ||||
1,985,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 11/01/27 | 2,106,258 | ||||
1,000,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 05/01/28 | 1,066,618 | ||||
1,000,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 08/01/28 | 1,069,078 | ||||
4,000,000 | Glendale AZ Indl Dev Auth Sr Living Facs Rev Ref Sun Hlth Svcs, Ser A | 5.00% | 11/15/42 | 3,855,381 | ||||
1,350,000 | Maricopa Cnty AZ Elem Sch Dist #25 Liberty, Ser A, AGM | 5.00% | 07/01/32 | 1,461,156 | ||||
200,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Greathearts AZ Projs, Ser C | 5.00% | 07/01/25 | 204,452 | ||||
830,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Schs Proj | 4.00% | 07/01/30 | 796,323 | ||||
435,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Schs Proj | 4.00% | 07/01/31 | 412,403 | ||||
450,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Schs Proj | 4.00% | 07/01/32 | 422,449 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Arizona (Continued) | ||||||||
$700,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Schs Proj | 4.00% | 07/01/33 | $650,132 | ||||
985,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Schs Proj | 4.00% | 07/01/34 | 905,417 | ||||
1,025,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Legacy Trad Schs Proj | 4.00% | 07/01/35 | 932,078 | ||||
750,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Greathearts AZ Projs, Ser A | 5.00% | 07/01/37 | 758,767 | ||||
500,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Horizon Cmnty Learning Ctr Proj | 5.00% | 07/01/35 | 466,632 | ||||
500,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Sch Proj | 4.00% | 07/01/34 | 459,602 | ||||
1,100,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Schs Proj Auth, Ser B (c) | 5.00% | 07/01/39 | 1,018,894 | ||||
1,000,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Schs Proj Auth, Ser B (c) | 5.00% | 07/01/49 | 874,898 | ||||
400,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Paradise Schs Projs Paragon Mgmt Inc (c) | 4.00% | 07/01/26 | 385,700 | ||||
1,475,000 | Maricopa Cnty AZ Spl Hlthcare Dist Aka Maricopa Integrated Hlth Sys, Ser C | 5.00% | 07/01/27 | 1,573,878 | ||||
300,000 | Phoenix AZ Indl Dev Auth Edu Rev Fac Legacy Trad Schs Projs, Ser A (c) | 4.00% | 07/01/26 | 286,883 | ||||
3,655,000 | Phoenix AZ Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (c) | 5.00% | 07/01/35 | 3,551,236 | ||||
5,000,000 | Phoenix AZ Indl Dev Auth Hotel Rev Sr Falcon Properties LLC Proj, Ser A (c) | 4.00% | 12/01/41 | 3,768,594 | ||||
300,000 | Phoenix AZ Indl Dev Auth Stdt Hsg Rev Downtown Phoenix Stdt Hsg II LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/32 | 292,576 | ||||
300,000 | Phoenix AZ Indl Dev Auth Stdt Hsg Rev Downtown Phoenix Stdt Hsg II LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/33 | 289,874 | ||||
300,000 | Phoenix AZ Indl Dev Auth Stdt Hsg Rev Downtown Phoenix Stdt Hsg II LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/34 | 287,438 | ||||
350,000 | Phoenix AZ Indl Dev Auth Stdt Hsg Rev Downtown Phoenix Stdt Hsg II LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/35 | 332,324 | ||||
700,000 | Phoenix AZ Indl Dev Auth Stdt Hsg Rev Downtown Phoenix Stdt Hsg II LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/44 | 623,462 | ||||
200,000 | Phoenix AZ Indl Dev Auth Stdt Hsg Rev Ref Downtown Phoenix Stdt Hsg LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/26 | 201,450 | ||||
1,000,000 | Tempe AZ Indl Dev Auth Rev Ref Friendship Vlg of Tempe Proj, Ser A | 4.00% | 12/01/38 | 771,222 | ||||
1,435,000 | Yavapai Cnty AZ Jail Dist Rev, BAM | 5.00% | 07/01/31 | 1,545,331 | ||||
1,030,000 | Yavapai Cnty AZ Jail Dist Rev, BAM | 4.00% | 07/01/32 | 1,034,568 | ||||
47,902,683 | ||||||||
Arkansas – 0.0% | ||||||||
610,000 | AR Dev Fin Auth Hlthcare Rev Baptist Hlth | 4.00% | 12/01/44 | 510,823 | ||||
350,000 | Univ of Central Arkansas AR Rev, Ser A, AGM | 5.00% | 11/01/34 | 362,203 | ||||
873,026 | ||||||||
California – 7.6% | ||||||||
4,500,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Green Bond, Ser A-1 (Mandatory put 08/01/28) | 4.00% | 05/01/53 | 4,324,253 | ||||
225,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Settle Ref Sonoma Cnty Securitization Corp, Ser A | 5.00% | 06/01/31 | 231,371 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Settle Ref Sonoma Cnty Securitization Corp, Ser A | 5.00% | 06/01/32 | 204,647 | ||||
230,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Settle Ref Sonoma Cnty Securitization Corp, Ser A | 5.00% | 06/01/33 | 234,034 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$150,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Settle Ref Sonoma Cnty Securitization Corp, Ser A | 4.00% | 06/01/34 | $138,412 | ||||
250,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Settle Ref Sonoma Cnty Securitization Corp, Ser A | 4.00% | 06/01/36 | 226,457 | ||||
450,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 5.00% | 06/01/32 | 459,857 | ||||
1,000,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Proj, Ser C (c) | 4.50% | 07/01/26 | 1,009,383 | ||||
460,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (c) | 5.00% | 07/01/32 | 461,824 | ||||
480,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (c) | 5.00% | 07/01/33 | 480,708 | ||||
2,000,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (c) | 5.00% | 07/01/43 | 1,903,019 | ||||
1,325,000 | CA Sch Fin Auth Sch Fac Rev Kipp SoCal Pub Schs, Ser A (c) | 5.00% | 07/01/39 | 1,274,952 | ||||
455,000 | CA Sch Fin Auth Sch Fac Rev Ref HTH Learning Proj, Ser A (c) | 4.00% | 07/01/26 | 439,176 | ||||
800,000 | CA Sch Fin Auth Sch Fac Rev Ref HTH Learning Proj, Ser A (c) | 5.00% | 07/01/32 | 767,369 | ||||
655,000 | CA Sch Fin Auth Sch Fac Rev, Ser A (c) | 5.00% | 07/01/40 | 596,162 | ||||
750,000 | CA St | 5.00% | 08/01/32 | 799,005 | ||||
225,000 | CA St Ent Dev Auth Lease Rev Riverside Cnty Library Fac Proj | 4.00% | 11/01/37 | 204,917 | ||||
2,190,000 | CA St Ent Dev Auth Lease Rev Riverside Cnty Library Fac Proj | 4.00% | 11/01/49 | 1,810,863 | ||||
480,000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A | 4.00% | 03/01/33 | 449,910 | ||||
400,000 | CA St Hlth Facs Fing Auth Rev Ref Sutter Hlth, Ser B | 5.00% | 11/15/33 | 412,942 | ||||
600,000 | CA St Hlth Facs Fing Auth Rev Sutter Hlth, Ser A | 5.00% | 11/15/33 | 620,441 | ||||
3,000,000 | CA St Infra & Econ Dev Bank Rev Var Brightline W Passenger Rail Proj Remk, Ser A, AMT (Mandatory put 01/26/23) (c) | 0.85% | 01/01/50 | 2,972,960 | ||||
445,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Vista Chrt Middle Sch Proj (d) | 5.38% | 07/01/34 | 437,967 | ||||
500,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj (c) | 4.00% | 07/01/26 | 479,545 | ||||
1,515,000 | CA St Muni Fin Auth Mobile Home Park Rev Sr Caritas Affordable Hsg Inc Projs, Ser A | 5.25% | 08/15/39 | 1,526,562 | ||||
1,805,000 | CA St Muni Fin Auth Mobile Home Park Rev Sr Caritas Affordable Hsg Inc Projs, Ser A | 5.25% | 08/15/49 | 1,811,032 | ||||
1,000,000 | CA St Muni Fin Auth Ref Palomar Hlth, Ser A, AGM, COPS (b) | 5.25% | 11/01/35 | 1,039,093 | ||||
200,000 | CA St Muni Fin Auth Rev Channing House Proj, Ser B | 5.00% | 05/15/37 | 209,601 | ||||
1,000,000 | CA St Muni Fin Auth Rev Cmnty Hlth Sys, Ser A | 4.00% | 02/01/40 | 851,914 | ||||
1,000,000 | CA St Muni Fin Auth Rev Cmnty Hlth Sys, Ser A | 4.00% | 02/01/41 | 845,315 | ||||
500,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/34 | 504,561 | ||||
1,250,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/33 | 1,167,707 | ||||
600,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/34 | 556,572 | ||||
1,000,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/35 | 919,993 | ||||
1,000,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/36 | 912,078 | ||||
2,130,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/39 | 1,894,398 | ||||
3,420,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 5.00% | 10/01/44 | 3,435,282 | ||||
680,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/27 | 721,305 | ||||
650,000 | CA St Muni Fin Auth Rev Sr Lien Linxs APM Proj, Ser A, AMT | 5.00% | 06/30/28 | 664,413 | ||||
2,000,000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 1,857,433 | ||||
200,000 | CA St Muni Fin Auth Sr Living Rev Ref Mt San Antonio Gardens Proj | 4.00% | 11/15/27 | 191,532 | ||||
1,000,000 | CA St Muni Fin Auth Stdt Hsg Rev Green Bond Orchard Park Stdt Hsg Proj, BAM | 4.00% | 05/15/40 | 892,648 | ||||
1,000,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt Inc, Ser A1, AMT | 3.38% | 07/01/25 | 972,011 | ||||
3,000,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Var Ref Rep Svcs Remk, Ser A, AMT (Mandatory put 11/01/22) (c) | 2.25% | 08/01/23 | 2,999,949 | ||||
5,990,000 | CA St Poll Control Fin Auth Wtr Furnishing Rev Plant Bonds, AMT (c) | 5.00% | 07/01/37 | 5,621,888 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$1,000,000 | CA St Pub Wks Brd Lease Rev Various Capital Proj, Ser B | 4.00% | 05/01/37 | $949,519 | ||||
4,015,000 | CA St Ref, AGM | 5.25% | 08/01/32 | 4,525,413 | ||||
500,000 | CA St Ref, Ser C | 5.00% | 09/01/32 | 519,914 | ||||
2,000,000 | CA St Sch Fin Auth Chrt Sch Rev Arts in Action Chrt Schs, Ser A (c) | 5.00% | 06/01/40 | 1,833,256 | ||||
500,000 | CA St Sch Fin Auth Chrt Sch Rev Summit Pub Schs (c) | 5.00% | 06/01/37 | 491,534 | ||||
2,315,000 | CA St Stwd Cmntys Dev Auth Transprtn Rev Total Road Impt Prog, Ser B, COPS, AGM | 5.00% | 12/01/41 | 2,409,283 | ||||
1,000,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (c) | 5.00% | 12/01/30 | 986,564 | ||||
450,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (c) | 5.00% | 12/01/33 | 430,393 | ||||
50,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (c) | 3.00% | 11/01/22 | 50,000 | ||||
500,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (c) | 5.00% | 11/01/32 | 504,396 | ||||
100,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/30 | 103,258 | ||||
195,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/31 | 200,592 | ||||
370,000 | Chino CA Cmnty Facs Dist Spl Tax #2003-3 Impt Area #7 | 5.00% | 09/01/30 | 381,062 | ||||
300,000 | Chino Vly CA Unif Sch Dist, Ser B | 5.00% | 08/01/38 | 317,563 | ||||
250,000 | Chino Vly CA Unif Sch Dist, Ser B | 5.00% | 08/01/39 | 263,693 | ||||
1,000,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev The Link Glendale Social Bonds, Ser A-2 (c) | 4.00% | 07/01/56 | 690,525 | ||||
1,000,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev Union S Bay Social Bonds, Ser A-2 (c) | 4.00% | 07/01/56 | 700,132 | ||||
2,160,000 | Etiwanda CA Sch Dist Cmnty Facs Dist #9 Spl Tax Ref | 5.00% | 09/01/35 | 2,223,617 | ||||
130,000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No 19 Mangini | 4.00% | 09/01/24 | 129,566 | ||||
155,000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No 19 Mangini | 4.00% | 09/01/25 | 154,092 | ||||
165,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 4.00% | 09/01/39 | 142,886 | ||||
170,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 4.00% | 09/01/40 | 144,687 | ||||
175,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 4.00% | 09/01/41 | 147,675 | ||||
250,000 | Fontana CA Spl Tax Spl Tax the Meadows | 4.00% | 09/01/27 | 246,062 | ||||
265,000 | Fontana CA Spl Tax Spl Tax the Meadows | 4.00% | 09/01/28 | 259,677 | ||||
280,000 | Fontana CA Spl Tax Spl Tax the Meadows | 4.00% | 09/01/29 | 273,092 | ||||
535,000 | Fontana CA Spl Tax Spl Tax the Meadows | 4.00% | 09/01/36 | 478,300 | ||||
500,000 | Foothill-De Anza CA Cmnty Clg Dist Ref, COPS (Pre-refunded maturity 10/01/24) | 5.00% | 04/01/32 | 517,013 | ||||
300,000 | Gilroy CA Unif Sch Dist Election 2016 | 4.00% | 08/01/39 | 272,035 | ||||
1,360,000 | Hawthorne CA Cmnty Redev Agy Successor Agy Tax Allocation Ref Sub, AGM | 5.00% | 09/01/32 | 1,408,594 | ||||
175,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist No 09-1, Ser A | 5.00% | 09/01/31 | 180,508 | ||||
365,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist No 09-1, Ser A | 5.00% | 09/01/32 | 374,145 | ||||
125,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist No 09-1, Ser A | 5.00% | 09/01/34 | 126,610 | ||||
2,885,000 | Kaweah CA Delta Hlthcare Dist Rev, Ser B | 5.00% | 06/01/40 | 2,821,924 | ||||
825,000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Impt Area #1 Mountain House Sch Facs | 5.00% | 09/01/42 | 817,287 | ||||
1,045,000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Mountain House Sch Facs | 4.00% | 09/01/49 | 806,045 | ||||
835,000 | Live Oak CA Sch Dist Santa Cruz Cnty Ref | 5.00% | 08/01/30 | 882,556 | ||||
45,000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.25% | 11/15/23 | 45,500 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$4,000,000 | Los Angeles CA Dept of Arpts Arpt Rev Ref Sub Priv Activity, Ser A, AMT | 5.00% | 05/15/39 | $3,980,086 | ||||
1,500,000 | Los Angeles CA Dept of Arpts Arpt Rev Sr Bonds Green Bond Priv Activity, Ser G, AMT | 5.00% | 05/15/34 | 1,535,632 | ||||
1,500,000 | Los Angeles CA Dept of Arpts Arpt Rev Sr Bonds Green Bond Priv Activity, Ser G, AMT | 5.50% | 05/15/35 | 1,583,077 | ||||
400,000 | Los Angeles CA Dept of Arpts Arpt Rev Sub Los Angeles Intl Arpt, Ser B, AMT | 5.00% | 05/15/31 | 405,444 | ||||
100,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/33 | 102,507 | ||||
1,260,000 | Marina Coast CA Wtr Dist Enterprise Rev, COPS | 4.00% | 06/01/44 | 1,106,946 | ||||
325,000 | Menifee CA Union Sch Dist Pub Fing Auth Spl Tax Rev Ref, Ser A | 5.00% | 09/01/28 | 333,044 | ||||
175,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/30 | 180,484 | ||||
150,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/31 | 154,010 | ||||
145,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/32 | 148,291 | ||||
165,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/33 | 168,094 | ||||
1,710,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/44 | 1,662,941 | ||||
1,450,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/48 | 1,391,352 | ||||
1,315,000 | Oak Vly CA Hosp Dist Hlth Facs Rev Ref, Ser A | 4.00% | 11/01/36 | 1,035,909 | ||||
110,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax #2018-1 Grantline 208 | 5.00% | 09/01/26 | 113,719 | ||||
200,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Rev Grantline 208 Cmnty Fac Dt #2018-1 | 4.00% | 09/01/50 | 157,111 | ||||
500,000 | River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2003-1, Ser A | 5.00% | 09/01/43 | 479,876 | ||||
500,000 | River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2019-1 Phase 2 Pub Impts | 4.00% | 09/01/33 | 457,563 | ||||
215,000 | Riverside CA Unif Sch Dist Cmnty Facs Dt #33 Citrus Heights II Spl Tax | 4.00% | 09/01/27 | 208,877 | ||||
225,000 | Riverside CA Unif Sch Dist Cmnty Facs Dt #33 Citrus Heights II Spl Tax | 4.00% | 09/01/28 | 216,502 | ||||
500,000 | Riverside CA Unif Sch Dist Election of 2016, Ser B | 4.00% | 08/01/35 | 493,045 | ||||
865,000 | Rocklin CA Unif Sch Dist Cmnty Facs Dist Subord, Ser 2019, BAM | 5.00% | 09/15/34 | 920,201 | ||||
625,000 | Rocklin CA Unif Sch Dist Cmnty Facs Dist Subord, Ser 2019, BAM | 4.00% | 09/15/35 | 601,273 | ||||
110,000 | Roseville CA Spl Tax | 5.00% | 09/01/30 | 113,971 | ||||
100,000 | Roseville CA Spl Tax | 5.00% | 09/01/31 | 103,148 | ||||
350,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No 1 | 4.00% | 09/01/37 | 309,047 | ||||
640,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No 1 | 4.00% | 09/01/46 | 515,415 | ||||
205,000 | Roseville CA Spl Tax Vlg CFD #1 | 4.00% | 09/01/32 | 190,764 | ||||
225,000 | Roseville CA Spl Tax Vlg CFD #1 | 4.00% | 09/01/37 | 198,459 | ||||
310,000 | Roseville CA Spl Tax Vlg CFD #1 | 4.00% | 09/01/41 | 261,596 | ||||
520,000 | Roseville CA Spl Tax Vlg CFD #1 | 4.00% | 09/01/46 | 418,775 | ||||
710,000 | Roseville CA Spl Tax Vlg CFD #1 | 4.00% | 09/01/51 | 554,730 | ||||
340,000 | S San Francisco CA Pub Facs Fing Auth Lease Rev Police Station Proj, Ser A | 4.00% | 06/01/33 | 342,923 | ||||
400,000 | S San Francisco CA Pub Facs Fing Auth Lease Rev Police Station Proj, Ser A | 4.00% | 06/01/34 | 400,015 | ||||
260,000 | Sacramento CA Spl Tax | 4.00% | 09/01/30 | 247,331 | ||||
220,000 | Sacramento CA Spl Tax | 4.00% | 09/01/31 | 206,997 | ||||
315,000 | Sacramento CA Spl Tax | 4.00% | 09/01/32 | 293,359 | ||||
515,000 | Sacramento CA Spl Tax | 4.00% | 09/01/33 | 473,722 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$615,000 | Sacramento CA Spl Tax | 4.00% | 09/01/35 | $553,575 | ||||
500,000 | Sacramento CA Transient Occupancy Tax Rev Sub Convention Ctr Complex, Ser C | 5.00% | 06/01/35 | 520,447 | ||||
645,000 | San Diego Cnty CA Ltd Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A | 5.00% | 11/01/25 | 674,311 | ||||
945,000 | San Diego Cnty CA Regl Arpt Auth Sr, Ser B, AMT (Pre-refunded maturity 07/01/23) | 5.00% | 07/01/30 | 955,665 | ||||
1,250,000 | San Diego Cnty CA Regl Transprtn Commn Sales Tax Rev, Ser A | 5.00% | 04/01/35 | 1,311,223 | ||||
6,000,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev, Ser A, AMT | 5.00% | 05/01/38 | 5,955,886 | ||||
1,000,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev, Ser A, AMT | 5.00% | 05/01/39 | 991,734 | ||||
2,000,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev, Ser E, AMT | 5.00% | 05/01/40 | 1,972,308 | ||||
700,000 | San Francisco CA City & Cnty Dcnty Dev Spl Tax Dist No Mission Rock Fac & Svcs, Ser A (c) | 4.00% | 09/01/41 | 568,346 | ||||
185,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1 | 4.00% | 09/01/29 | 177,900 | ||||
145,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1 | 4.00% | 09/01/30 | 137,752 | ||||
335,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1 | 4.00% | 09/01/31 | 315,200 | ||||
245,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1 | 4.00% | 09/01/32 | 228,168 | ||||
300,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1 | 4.00% | 09/01/33 | 276,192 | ||||
525,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1 | 4.00% | 09/01/42 | 437,028 | ||||
1,000,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021 | 4.00% | 09/01/46 | 798,539 | ||||
280,000 | San Francisco City & Cnty CA Redev Agy Successor Agy Tax Ref Mission Bay N Redev Proj, Ser A | 5.00% | 08/01/35 | 288,995 | ||||
800,000 | San Luis Obispo CA Cmnty Facs Dist #2019-1 Spl Tax | 4.00% | 09/01/36 | 715,950 | ||||
2,110,000 | San Luis Obispo Cnty CA Fing Auth Lease Rev Multiple Capital Projs Ref, Ser A (b) | 5.25% | 11/15/40 | 2,232,638 | ||||
1,665,000 | San Luis Obispo Cnty CA Fing Auth Lease Rev Multiple Capital Projs Ref, Ser A (b) | 5.25% | 11/15/41 | 1,756,032 | ||||
4,000,000 | Sanger CA Fing Auth Wstwtr Rev Ref, AGM (Pre-refunded maturity 06/15/24) | 5.00% | 06/15/34 | 4,169,960 | ||||
150,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/32 | 151,931 | ||||
375,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/39 | 345,369 | ||||
160,000 | Tahoe Truckee CA Unif Sch Dist, COPS, BAM | 4.00% | 06/01/35 | 158,163 | ||||
255,000 | Tahoe Truckee CA Unif Sch Dist, COPS, BAM | 4.00% | 06/01/36 | 248,044 | ||||
100,000 | Temecula Vly Unif Sch Dist Fing Auth CA Spl Tax Rev, BAM | 5.00% | 09/01/34 | 102,410 | ||||
385,000 | Temescal Vly CA Wtr Dist Spl Tax Terramor Cmnty Facs Dist #4 Impt Area #1 | 4.00% | 09/01/23 | 384,257 | ||||
1,000,000 | Tobacco Securitization Auth Nthrn CA Tobacco Stlmt Rev Ref Sr Bonds Sacramento Co Tobacco Secur Corp Class 1, Ser A | 4.00% | 06/01/37 | 884,424 | ||||
1,000,000 | Tobacco Securitization Auth Sthrn CA Tobacco Stlmt Rev Ref San Diego Co Asset Securitization Corp Class 1, Ser A | 5.00% | 06/01/34 | 1,014,244 | ||||
1,500,000 | Tobacco Securitization Auth Sthrn CA Tobacco Stlmt Rev Ref San Diego Co Tobacco Securitization Corp, Ser A, Class 1 | 5.00% | 06/01/35 | 1,515,975 | ||||
650,000 | Tulare CA Loc Hlthcare Dist Ref, BAM | 4.00% | 08/01/35 | 616,499 | ||||
865,000 | Tustin CA Cmnty Fac Dist Spl Tax Ref #06-1 Legacy Columbus Vlgs, Ser A | 5.00% | 09/01/35 | 882,135 | ||||
300,000 | Vacaville CA Unif Sch Dist, Ser D | 4.00% | 08/01/35 | 293,789 | ||||
600,000 | Vacaville CA Unif Sch Dist, Ser D | 4.00% | 08/01/37 | 559,759 | ||||
500,000 | Vacaville CA Unif Sch Dist, Ser D | 4.00% | 08/01/38 | 459,775 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$1,050,000 | Victor CA Elem Sch Dist Cmnty Facs Dist Spl Tax Ref 2005-1, BAM | 5.00% | 09/01/46 | $1,076,533 | ||||
134,141,821 | ||||||||
Colorado – 6.3% | ||||||||
1,125,000 | Allison Vly Met Dist #2 CO Ref | 4.70% | 12/01/47 | 873,721 | ||||
1,625,000 | Bennett Ranch Met Dist #1 CO, Ser A | 5.00% | 12/01/41 | 1,391,888 | ||||
225,000 | Breckenridge CO Ref, Ser B, COPS | 5.00% | 12/01/32 | 243,255 | ||||
1,240,000 | Breckenridge CO Ref, Ser B, COPS | 4.00% | 12/01/39 | 1,130,279 | ||||
1,340,000 | Brighton Crossing Met Dist #6 CO, Ser A | 5.00% | 12/01/50 | 1,059,133 | ||||
455,000 | Buffalo Ridge CO Met Dist Ref & Impt Sr, Ser A, BAM | 5.00% | 12/01/25 | 473,754 | ||||
250,000 | Buffalo Ridge CO Met Dist Ref & Impt Sr, Ser A, BAM | 5.00% | 12/01/26 | 263,249 | ||||
750,000 | Cascade Ridge Met Dist CO | 5.00% | 12/01/51 | 573,205 | ||||
400,000 | CO Eductnl & Cultural Auth Rev Ref W Ridge Acdmy Chrt Sch Proj, Ser A | 5.00% | 06/01/49 | 401,688 | ||||
700,000 | CO St Bldg Excellent Schs Today, Ser O, COPS | 5.00% | 03/15/31 | 750,527 | ||||
1,250,000 | CO St Bldg Excellent Schs Today, Ser O, COPS | 4.00% | 03/15/44 | 1,090,059 | ||||
1,920,000 | CO St Eductnl & Cultural Facs Auth Rev Chrt Sch Loveland Classical Schs Proj (c) | 5.00% | 07/01/36 | 1,739,184 | ||||
540,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp (c) | 4.00% | 12/15/25 | 531,050 | ||||
660,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp (c) | 5.00% | 12/15/28 | 669,111 | ||||
2,245,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp (c) | 5.00% | 12/15/35 | 2,250,920 | ||||
4,000,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp (c) | 5.00% | 12/15/45 | 3,857,648 | ||||
1,020,000 | CO St Eductnl & Cultural Facs Auth Rev Univ Denver Proj, Ser A | 4.00% | 03/01/35 | 986,386 | ||||
1,750,000 | CO St Hlth Facs Auth Rev Parkview Med Ctr Proj, Ser A | 4.00% | 09/01/50 | 1,294,996 | ||||
3,000,000 | CO St Hlth Facs Auth Rev Ref Adventhealth Oblig, Ser A | 4.00% | 11/15/38 | 2,752,766 | ||||
250,000 | CO St Hlth Facs Auth Rev Ref Commonspirit Hlth, Ser A-1 | 5.00% | 08/01/35 | 251,900 | ||||
4,500,000 | CO St Hlth Facs Auth Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/38 | 3,850,437 | ||||
3,025,000 | CO St Hlth Facs Auth Rev Ref Commonspirit Hlth, Ser A-2 | 5.00% | 08/01/44 | 2,888,877 | ||||
525,000 | CO St Hlth Facs Auth Rev Ref Covenant Retmnt Cmntys, Ser A (Pre-refunded maturity 12/01/22) | 5.00% | 12/01/33 | 525,748 | ||||
300,000 | CO St Hlth Facs Auth Rev Ref Frasier Meadows Retmnt Cmnty Proj, Ser A | 5.00% | 05/15/25 | 298,515 | ||||
350,000 | CO St Hlth Facs Auth Rev Ref Frasier Meadows Retmnt Cmnty Proj, Ser A | 5.00% | 05/15/26 | 347,091 | ||||
3,215,000 | CO St Hlth Facs Auth Rev Ref Sanford Hlth, Ser A | 5.00% | 11/01/30 | 3,379,662 | ||||
10,640,000 | CO St Hlth Facs Auth Rev Ref Scl Hlth Sys, Ser B | 4.00% | 01/01/40 | 9,756,696 | ||||
625,000 | CO St Hlth Facs Auth Rev Sr Living Ralston Creek Arvada Proj, Ser A | 5.25% | 11/01/32 | 312,500 | ||||
325,000 | CO St Ref, COPS | 4.00% | 06/15/37 | 304,477 | ||||
2,500,000 | CO St, Ser A, COPS | 5.00% | 12/15/34 | 2,699,889 | ||||
1,085,000 | CO St, Ser A, COPS | 4.00% | 12/15/37 | 1,014,766 | ||||
495,000 | Colorado Springs CO Pikes Peak Americas Mountain Enterprise Pikes Peak | 5.00% | 12/01/25 | 513,207 | ||||
1,200,000 | Colorado Springs CO Pikes Peak Americas Mountain Enterprise Pikes Peak | 5.25% | 12/01/48 | 1,257,219 | ||||
180,000 | Crystal Vly CO Met Dist #2 Ref, Ser A, AGM | 4.00% | 12/01/32 | 182,735 | ||||
325,000 | Crystal Vly CO Met Dist #2 Ref, Ser A, AGM | 4.00% | 12/01/33 | 328,547 | ||||
500,000 | Crystal Vly CO Met Dist #2 Ref, Ser A, AGM | 4.00% | 12/01/34 | 497,491 | ||||
330,000 | Crystal Vly CO Met Dist #2 Ref, Ser A, AGM | 4.00% | 12/01/35 | 324,222 | ||||
500,000 | Crystal Vly CO Met Dist #2 Ref, Ser A, AGM | 4.00% | 12/01/36 | 485,855 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado (Continued) | ||||||||
$5,000,000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/34 | $4,997,225 | ||||
975,000 | Denver City & Cnty CO Arpt Rev Ref Sub Sys, Ser A, AMT | 5.00% | 12/01/38 | 956,063 | ||||
1,000,000 | Denver City & Cnty CO Arpt Rev, Ser A, AMT | 5.00% | 11/15/41 | 985,180 | ||||
1,500,000 | Denver City & Cnty CO Arpt Rev, Ser A, AMT | 5.50% | 11/15/42 | 1,543,700 | ||||
1,000,000 | Denver CO City & Cnty Dedicated Tax Rev, Ser A-1 | 5.00% | 08/01/41 | 1,031,412 | ||||
600,000 | Denver CO Hlth & Hosp Auth 550 Acoma Inc, COPS | 5.00% | 12/01/26 | 618,914 | ||||
1,790,000 | Denver CO Intl Busn Ctr CO Met Dist #1 Subord, Ser B | 6.00% | 12/01/48 | 1,659,822 | ||||
2,000,000 | Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr Bonds, Ser A (c) | 5.00% | 12/01/51 | 1,533,985 | ||||
525,000 | Firestone CO Wtr Enterprise Rev Ref, BAM | 4.00% | 12/01/37 | 506,160 | ||||
600,000 | Firestone CO Wtr Enterprise Rev Ref, BAM | 4.00% | 12/01/39 | 547,371 | ||||
375,000 | Flying Horse CO Met Dist #2 Ref, Ser A, AGM | 5.00% | 12/01/33 | 403,462 | ||||
225,000 | Flying Horse CO Met Dist #2 Ref, Ser A, AGM | 4.00% | 12/01/38 | 206,795 | ||||
200,000 | Flying Horse CO Met Dist #2 Ref, Ser A, AGM | 4.00% | 12/01/39 | 182,197 | ||||
2,735,000 | Hunters Overlook Metro Dist #5 CO Sr Bonds, Ser A | 5.00% | 12/01/49 | 2,291,858 | ||||
1,000,000 | Independence Met Dist #3 CO, Ser A | 6.25% | 12/01/49 | 844,655 | ||||
1,000,000 | Jefferson Ctr CO Met Dist # 1 Spl Rev, Ser A-2 | 4.38% | 12/01/47 | 784,112 | ||||
860,000 | Lakes at Centerra Met Dist No 2 CO Impt, Ser A | 4.63% | 12/01/27 | 820,039 | ||||
1,000,000 | Lanterns Met Dist #1 CO Sr, Ser A | 5.00% | 12/01/49 | 849,065 | ||||
300,000 | Larimer Weld & Boulder Cnty CO Sch Dist #R-2J Thompson | 5.00% | 12/15/30 | 325,650 | ||||
100,000 | Lorson Ranch Met Dist #2 CO | 4.00% | 12/01/24 | 99,489 | ||||
170,000 | Lorson Ranch Met Dist #2 CO | 5.00% | 12/01/27 | 173,330 | ||||
3,260,000 | Mirabelle Met Dist #2 CO Sr, Ser A | 5.00% | 12/01/39 | 2,888,364 | ||||
1,700,000 | Nexus N at DIA Met Dist CO | 5.00% | 12/01/51 | 1,351,983 | ||||
2,460,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/24 | 2,530,981 | ||||
150,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/31 | 153,542 | ||||
150,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/34 | 152,890 | ||||
155,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/35 | 157,852 | ||||
2,000,000 | Park Creek CO Met Dist Rev Ref Sr Ltd Property Tax Supported, Ser A | 5.00% | 12/01/45 | 2,017,285 | ||||
1,120,000 | Park Creek CO Met Dist Rev Sr Lien, Ser A, AGM | 4.00% | 12/01/34 | 1,114,967 | ||||
1,455,000 | Park Creek CO Met Dist Rev Sr Lien, Ser A, AGM | 4.00% | 12/01/35 | 1,439,011 | ||||
1,040,000 | Park Creek CO Met Dist Rev Sr Lien, Ser A, AGM | 4.00% | 12/01/36 | 1,018,038 | ||||
420,000 | Park Creek CO Met Dist Rev Sr, Ser A | 5.00% | 12/01/30 | 447,235 | ||||
30,000 | Park Creek CO Met Dist Rev Sr, Ser A, NATL-RE | 5.00% | 12/01/24 | 30,890 | ||||
1,150,000 | Peak Met Dist #1 CO, Ser A (c) | 5.00% | 12/01/51 | 923,333 | ||||
920,000 | Pinon Pines Met Dist #2 CO MDD | 5.00% | 12/01/40 | 817,414 | ||||
1,195,000 | Pinon Pines Met Dist #2 CO MDD | 5.00% | 12/01/50 | 977,105 | ||||
1,000,000 | Prairie Ctr CO Met Dist #3 Ltd Property Tax Supported Pri Ref, Ser A (c) | 4.13% | 12/15/27 | 949,242 | ||||
700,000 | Prairie Ctr Met Dist #7 CO | 4.88% | 12/15/44 | 573,341 | ||||
5,235,000 | Rampart Range CO Met Dist #1 Ltd Tax Supported & Spl Rev Ref & Impt, AGM | 5.00% | 12/01/42 | 5,408,058 | ||||
1,000,000 | Ridgeline Vista Met Dist CO, Ser A | 5.25% | 12/01/60 | 875,956 | ||||
2,500,000 | Riverwalk Metro Dist #2 CO, Ser A | 5.00% | 12/01/42 | 2,097,533 | ||||
2,015,000 | S Suburban Park & Recreation Dist CO, COPS | 4.00% | 12/15/35 | 1,969,538 | ||||
1,000,000 | Sagebrush Farm Met Dist #1 CO Sr Bonds, Ser A | 6.38% | 12/01/42 | 953,748 | ||||
550,000 | Serenity Ridge CO Met Dist #2 Ref, Ser A (Pre-refunded maturity 12/01/23) (d) | 5.13% | 12/01/37 | 575,668 | ||||
1,500,000 | Sky Ranch Cmnty Auth Brd CO Sr Bonds, Ser A | 5.75% | 12/01/52 | 1,294,171 | ||||
175,000 | Sterling Hills CO W Met Dist Ref | 5.00% | 12/01/32 | 180,911 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado (Continued) | ||||||||
$1,800,000 | Takoda CO Met Dist Ref | 6.00% | 12/01/36 | $1,885,344 | ||||
825,000 | Third Creek Met Dist #1 CO, Ser A-1 | 4.50% | 12/01/37 | 665,808 | ||||
825,000 | Third Creek Met Dist #1 CO, Ser A-1 | 4.50% | 12/01/42 | 621,357 | ||||
1,400,000 | Thompson Crossing Met Dist #4 CO Ref | 5.00% | 12/01/39 | 1,259,977 | ||||
500,000 | Trails at Crowfoot Met Dist #3 CO Sr Ser, Ser A | 5.00% | 12/01/39 | 447,986 | ||||
1,210,000 | Transport Met Dist #3 CO MDD, Ser 2021-A-1 | 5.00% | 12/01/51 | 892,323 | ||||
1,500,000 | Westerly Met Dist #4 CO Sr, Ser A | 5.00% | 12/01/50 | 1,191,673 | ||||
110,776,661 | ||||||||
Connecticut – 2.8% | ||||||||
2,000,000 | CT St Hlth & Eductnl Facs Auth Rev Covenant Home Inc, Ser B | 5.00% | 12/01/40 | 1,892,672 | ||||
1,250,000 | CT St Hlth & Eductnl Facs Auth Rev Fairfield Univ, Ser Q-1 | 5.00% | 07/01/46 | 1,265,714 | ||||
1,000,000 | CT St Hlth & Eductnl Facs Auth Rev Quinnipiac Univ Ref, Ser M | 5.00% | 07/01/36 | 1,014,947 | ||||
5,130,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Fairfield Univ, Ser R | 4.00% | 07/01/42 | 4,391,676 | ||||
1,030,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Fairfield Univ, Ser R | 4.00% | 07/01/47 | 849,084 | ||||
1,000,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Fairfield Univ, Ser S | 5.00% | 07/01/26 | 1,046,762 | ||||
2,250,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Quinnipiac Univ, Ser L | 5.00% | 07/01/31 | 2,303,497 | ||||
200,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Quinnipiac Univ, Ser L | 4.00% | 07/01/33 | 190,489 | ||||
500,000 | CT St Hlth & Eductnl Facs Auth Rev, Ser A | 5.00% | 07/01/34 | 512,429 | ||||
1,000,000 | CT St Hlth & Eductnl Facs Auth Rev, Ser A | 5.00% | 07/01/35 | 1,024,560 | ||||
1,000,000 | CT St Hlth & Eductnl Facs Auth Rev, Ser A | 4.00% | 07/01/36 | 909,144 | ||||
4,700,000 | CT St Hlth & Eductnl Facs Auth Rev, Ser A | 4.00% | 07/01/37 | 4,230,669 | ||||
300,000 | CT St Hsg Fin Auth Hsg Fin Mtge Prog Ref, Subser A-1 | 3.65% | 11/15/32 | 292,212 | ||||
5,490,000 | CT St Spl Tax Oblig Rev, Ser A | 5.00% | 05/01/41 | 5,740,192 | ||||
1,445,000 | CT St, Ser A | 5.00% | 04/15/29 | 1,533,943 | ||||
500,000 | CT St, Ser A | 4.00% | 01/15/36 | 476,329 | ||||
5,000,000 | CT St, Ser A | 4.00% | 01/15/37 | 4,713,455 | ||||
5,145,000 | CT St, Ser A | 4.00% | 04/15/37 | 4,843,511 | ||||
5,695,000 | CT St, Ser A | 4.00% | 01/15/38 | 5,321,853 | ||||
560,000 | CT St, Ser E | 4.00% | 10/15/35 | 534,564 | ||||
625,000 | Hamden CT, BAM | 6.00% | 08/15/33 | 689,903 | ||||
500,000 | Harbor Point CT Infra Impt Dist Spl Oblig Rev Ref Harbor Point Proj Ltd (c) | 5.00% | 04/01/39 | 465,148 | ||||
1,500,000 | Univ of Connecticut CT, Ser A | 5.00% | 11/01/36 | 1,556,616 | ||||
3,730,000 | Univ of Connecticut CT, Ser A | 5.00% | 02/15/41 | 3,850,920 | ||||
49,650,289 | ||||||||
Delaware – 0.6% | ||||||||
325,000 | DE St Hlth Facs Auth Rev Beebe Med Ctr | 5.00% | 06/01/26 | 335,045 | ||||
4,335,000 | DE St Hlth Facs Auth Rev Ref Christiana Hlth Care Sys Oblig Grp, Ser A | 5.00% | 10/01/35 | 4,501,515 | ||||
3,000,000 | DE St Hlth Facs Auth Rev Ref Christiana Hlth Care Sys Oblig Grp, Ser A | 5.00% | 10/01/38 | 3,068,648 | ||||
2,077,000 | Millsboro DE Spl Oblig Ref Plantation Lakes Spl Dev Dist (c) | 5.00% | 07/01/28 | 2,041,896 | ||||
9,947,104 | ||||||||
District of Columbia – 0.4% | ||||||||
1,745,000 | Dist of Columbia Wtr & Swr Auth Pub Util Rev Green Bond, Ser A | 5.00% | 10/01/39 | 1,827,870 | ||||
3,175,000 | Met Washington DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.00% | 10/01/33 | 3,220,270 | ||||
1,000,000 | Washington DC Met Area Transit Auth Gross Rev | 5.00% | 07/01/33 | 1,050,208 | ||||
885,000 | Washington DC Met Area Transit Auth Gross Rev Ref, Ser A-1 | 5.00% | 07/01/29 | 943,644 | ||||
7,041,992 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida – 6.8% | ||||||||
$380,000 | Academical Vlg CDD FL Spl Assmnt Rev CDD | 2.88% | 05/01/25 | $357,720 | ||||
1,000,000 | Academical Vlg CDD FL Spl Assmnt Rev CDD | 3.63% | 05/01/40 | 760,157 | ||||
2,945,000 | Alachua Cnty FL Hlth Facs Auth Ref Shands Teaching Hosp & Clinics Inc, Ser B-1 | 5.00% | 12/01/37 | 2,957,719 | ||||
545,000 | Alachua Cnty FL Hlth Facs CCRC Auth Ref Oak Hammock at The Univ of FL Inc Proj | 4.00% | 10/01/40 | 438,140 | ||||
1,250,000 | Berry Bay CDD FL Spl Assmnt Rev Assmnt Area 1 | 4.00% | 05/01/51 | 939,285 | ||||
200,000 | Bexley CDD FL Spl Assmnt Rev | 4.10% | 05/01/26 | 195,613 | ||||
185,000 | Brookstone CDD FL Spl Assmnt Rev CDD (e) | 3.88% | 11/01/23 | 182,911 | ||||
2,725,000 | Broward Cnty FL Arpt Sys Rev, Ser A, AMT | 5.00% | 10/01/38 | 2,686,941 | ||||
1,350,000 | Broward Cnty FL Port Facs Rev Ref Subord Bond, Ser D, AMT | 5.00% | 09/01/27 | 1,405,439 | ||||
2,000,000 | Coco Palms FL CDD Spl Assmnt | 4.50% | 05/01/32 | 1,907,730 | ||||
500,000 | Creekview CDD FL Spl Assmnt Rev Phase I Proj | 3.88% | 05/01/27 | 471,341 | ||||
1,000,000 | Cross Creek N CDD FL Spl Assmnt | 4.50% | 05/01/52 | 819,028 | ||||
1,000,000 | Cypress Ml Cmnty Dev Dist FL Spl Assmt CDD Assmnt Area Two Proj | 4.00% | 06/15/40 | 827,109 | ||||
420,000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area One | 2.50% | 05/01/26 | 382,637 | ||||
1,000,000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area One | 4.00% | 05/01/51 | 754,602 | ||||
1,000,000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area Two | 4.00% | 05/01/52 | 748,878 | ||||
180,000 | Epperson N CDD FL Capital Impt Rev Assmnt Area #2 | 2.50% | 05/01/26 | 163,987 | ||||
1,250,000 | Epperson N CDD FL Capital Impt Rev Assmnt Area Three, Ser A | 3.40% | 11/01/41 | 892,421 | ||||
1,250,000 | Fallschase Cmnty Dev Dist FL Spl Assmnt | 3.38% | 05/01/41 | 922,749 | ||||
200,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/26 | 193,797 | ||||
155,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/29 | 145,807 | ||||
310,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/35 | 266,109 | ||||
450,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/45 | 343,501 | ||||
750,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/55 | 536,690 | ||||
725,000 | FL St Govtl Util Auth Rev Ref, AGM | 4.00% | 10/01/37 | 659,396 | ||||
825,000 | FL St Govtl Util Auth Rev Ref, AGM | 4.00% | 10/01/38 | 742,102 | ||||
500,000 | Fort Pierce FL Utils Auth Ref, Ser A, AGM | 5.00% | 10/01/35 | 531,308 | ||||
210,000 | Harmony FL CDD Capital Impt Rev Ref, Ser 2015 | 4.75% | 05/01/25 | 208,490 | ||||
365,000 | Heritage Harbour FL N CDD Capital Impt Rev Ref Sr Lien, Ser A-1, AGM | 5.00% | 05/01/25 | 376,532 | ||||
495,000 | Hollywood Beach FL Cmnty Dev Dist Rev CDD Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/25 | 505,312 | ||||
545,000 | Hollywood Beach FL Cmnty Dev Dist Rev CDD Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/27 | 560,368 | ||||
2,970,000 | Hollywood Beach FL Cmnty Dev Dist Rev CDD Ref Pub Pkg Fac Proj, Ser I | 4.00% | 10/01/35 | 2,697,715 | ||||
125,000 | Hollywood FL Cmnty Redev Agy Redev Rev Ref | 5.00% | 03/01/23 | 125,615 | ||||
1,000,000 | Jacksonville FL Hlthcare Facs Rev Ref Baptist Hlth | 5.00% | 08/15/35 | 1,034,895 | ||||
3,700,000 | Jacksonville FL Spl Rev Ref Spl Rev, Ser A | 5.00% | 10/01/31 | 3,871,118 | ||||
1,000,000 | Jacksonville FL Spl Rev Ref Spl Rev, Ser B | 5.00% | 10/01/28 | 1,051,085 | ||||
2,980,000 | Jea FL Wtr & Swr Rev Ref, Ser A | 4.00% | 10/01/39 | 2,707,053 | ||||
480,000 | Jea FL Wtr & Swr Rev Subord Ref, Ser A | 4.00% | 10/01/37 | 445,147 | ||||
500,000 | Jea FL Wtr & Swr Rev Subord Ref, Ser A | 4.00% | 10/01/38 | 456,949 | ||||
500,000 | Jea FL Wtr & Swr Rev Subord Ref, Ser A | 4.00% | 10/01/39 | 454,100 | ||||
1,230,000 | Lakeland FL Hosp Sys Rev Lakeland Regl Hlth (Pre-refunded maturity 11/15/24) | 5.00% | 11/15/33 | 1,271,172 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$155,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Ref Country Club E Proj, AGM | 4.50% | 05/01/26 | $156,843 | ||||
460,000 | Lee Cnty FL Indl Dev Auth Hlthcr Facs Rev Shell Point Oblig Grp | 4.00% | 11/15/30 | 430,145 | ||||
1,115,000 | Lee Cnty FL Indl Dev Auth Hlthcr Facs Rev Shell Point Oblig Grp | 4.00% | 11/15/31 | 1,031,640 | ||||
1,000,000 | Lee Cnty FL Indl Dev Auth Shell Point/Waterside Hlth Proj | 5.00% | 11/15/39 | 977,557 | ||||
300,000 | Lee Cnty FL Loc Optional Gas Tax Rev | 5.00% | 08/01/40 | 307,170 | ||||
1,250,000 | Lee Cnty FL Loc Optional Gas Tax Rev | 5.00% | 08/01/41 | 1,275,765 | ||||
400,000 | Miami FL Spl Oblg Prerefunded Ref (Pre-refunded maturity 03/01/23) (c) | 5.00% | 03/01/30 | 401,718 | ||||
1,265,000 | Miami FL Spl Oblg Ref Street & Sidewalk Impt Prog, Ser A, AGM (c) | 5.00% | 01/01/35 | 1,326,544 | ||||
100,000 | Miami FL Spl Oblg Unrefunded Ref (c) | 5.00% | 03/01/30 | 100,532 | ||||
190,000 | Miami World Ctr CDD FL Spl Assmnt | 4.00% | 11/01/23 | 189,251 | ||||
275,000 | Miami World Ctr CDD FL Spl Assmnt | 4.75% | 11/01/27 | 274,595 | ||||
2,000,000 | Miami World Ctr CDD FL Spl Assmnt | 5.13% | 11/01/39 | 1,921,914 | ||||
6,000,000 | Miami-Dade Cnty FL Aviation Rev Ref | 5.00% | 10/01/41 | 5,968,787 | ||||
1,000,000 | Miami-Dade Cnty FL Aviation Rev Ref, Ser A | 4.00% | 10/01/34 | 925,904 | ||||
2,625,000 | Miami-Dade Cnty FL Aviation Rev Ref, Ser B, AMT | 5.00% | 10/01/40 | 2,510,884 | ||||
2,000,000 | Miami-Dade Cnty FL Eductnl Facs Auth Rev Ref Univ Miami, Ser A | 5.00% | 04/01/31 | 2,035,870 | ||||
445,000 | Miami-Dade Cnty FL Indl Dev Auth Doral Acdmy Proj | 5.00% | 01/15/25 | 446,350 | ||||
550,000 | Miami-Dade Cnty FL Indl Dev Auth Doral Acdmy Proj | 5.00% | 01/15/32 | 540,304 | ||||
1,210,000 | Miami-Dade Cnty FL Indl Dev Auth Doral Acdmy Proj | 5.00% | 01/15/37 | 1,142,106 | ||||
1,080,000 | Miami-Dade Cnty FL Spl Oblig Sub Ref | 5.00% | 10/01/35 | 1,105,815 | ||||
2,500,000 | Miami-Dade Cnty FL Wtr & Swr Rev Ref Sys, Ser B | 4.00% | 10/01/34 | 2,484,354 | ||||
2,130,000 | Miami-Dade Cnty FL Wtr & Swr Rev Sys, Ser A | 4.00% | 10/01/40 | 1,935,296 | ||||
225,000 | N Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 3.63% | 05/01/24 | 221,129 | ||||
800,000 | N Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 4.00% | 05/01/30 | 748,425 | ||||
1,545,000 | N Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 4.50% | 05/01/40 | 1,374,830 | ||||
780,000 | N Sumter Cnty FL Util Dependent Dist Util Rev Sumter Wtr Conservation Auth Proj, AGM | 4.00% | 10/01/41 | 685,465 | ||||
355,000 | Nthrn Palm Beach Cnty FL Impt Dist | 5.00% | 08/01/37 | 342,057 | ||||
680,000 | Orange Cnty FL Hlth Facs Auth Rev Presbyterian Retmnt Cmntys Proj | 5.00% | 08/01/29 | 689,257 | ||||
345,000 | Orange Cnty FL Hlth Facs Auth Rev Presbyterian Retmnt Cmntys Proj | 5.00% | 08/01/34 | 348,035 | ||||
2,000,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Orlando Hlth Inc, Ser A | 5.00% | 10/01/39 | 2,017,261 | ||||
825,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Presbyterian Retmnt Cmntys | 5.00% | 08/01/31 | 855,924 | ||||
1,000,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Presbyterian Retmnt Cmntys | 5.00% | 08/01/41 | 1,037,484 | ||||
800,000 | Palm Beach Cnty FL Hlth Facs Auth Hosp Rev Baptist Hlth S FL Oblig Grp | 5.00% | 08/15/23 | 808,957 | ||||
200,000 | Panama City Beach FL Capital Impt Rev Front Beach Road Proj | 5.00% | 11/01/32 | 217,321 | ||||
685,000 | Panama City Beach FL Capital Impt Rev Front Beach Road Proj | 5.00% | 11/01/33 | 740,410 | ||||
1,645,000 | Panama City Beach FL Capital Impt Rev Front Beach Road Proj | 5.00% | 11/01/36 | 1,746,264 | ||||
6,500,000 | Polk Cnty FL Indl Dev Auth Mineral Dev LLC Secondary Phosphate Tailings Recovery Proj (c) | 5.88% | 01/01/33 | 6,327,510 | ||||
85,000 | Rhodine Road N CDD FL Spl Assmnt | 3.50% | 05/01/24 | 82,974 | ||||
815,000 | Rhodine Road N CDD FL Spl Assmnt | 4.50% | 05/01/40 | 727,586 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$500,000 | Ridge at Apopka Cdd Fl Spl Assmnt | 5.38% | 05/01/42 | $465,567 | ||||
350,000 | Rivington CDD FL Spl Assmnt Rev 2022 Assmnt Area | 3.25% | 05/01/27 | 321,409 | ||||
305,000 | Rivington CDD FL Spl Assmnt Rev Assmnt Area | 2.88% | 05/01/25 | 287,118 | ||||
205,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/31 | 177,034 | ||||
500,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/36 | 399,494 | ||||
1,175,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/41 | 878,063 | ||||
10,000,000 | Saint Lucie Cnty FL Sol Wst Disp Ref FL Pwr & Light Co Pj (a) | 1.83% | 05/01/24 | 10,000,000 | ||||
335,000 | San Simeon Cmnty Dev Dist FL Spl Assmnt (c) | 4.13% | 06/15/39 | 287,521 | ||||
1,745,000 | Sarasota Natl FL CDD Spl Assmnt Ref | 4.00% | 05/01/39 | 1,465,801 | ||||
1,615,000 | Sawyers Landing CDD FL Spl Assmnt Rev | 4.13% | 05/01/41 | 1,342,222 | ||||
3,635,000 | Sawyers Landing CDD FL Spl Assmnt Rev | 4.25% | 05/01/53 | 2,837,834 | ||||
2,250,000 | SE Overtown Park W Cmnty Redev Agy FL Tax, Ser A-1 (c) | 5.00% | 03/01/30 | 2,270,330 | ||||
310,000 | Shell Point Cmnty Dev Dist FL Spl Assmnt (c) | 4.00% | 11/01/24 | 305,522 | ||||
2,730,000 | Stoneybrook FL S CDD Spl Assmnt Rev Assmnt Area Two, A Proj | 5.13% | 11/01/34 | 2,691,332 | ||||
1,295,000 | Summer Woods CDD FL Spl Assmnt Area Two 2020 Proj | 4.00% | 05/01/50 | 983,776 | ||||
500,000 | Tallahassee FL Energy Sys Rev Energy Sys | 5.00% | 10/01/29 | 513,542 | ||||
125,000 | Tampa FL Hosp Rev H Lee Moffitt Cancer Ctr Proj, Ser B | 5.00% | 07/01/27 | 129,987 | ||||
120,000 | Tampa FL Hosp Rev H Lee Moffitt Cancer Ctr Proj, Ser B | 5.00% | 07/01/31 | 124,497 | ||||
200,000 | Tampa FL Hosp Rev H Lee Moffitt Cancer Ctr Proj, Ser B | 5.00% | 07/01/32 | 206,691 | ||||
250,000 | Tampa FL Hosp Rev H Lee Moffitt Cancer Ctr Proj, Ser B | 5.00% | 07/01/33 | 257,302 | ||||
250,000 | Tampa FL Hosp Rev H Lee Moffitt Cancer Ctr Proj, Ser B | 5.00% | 07/01/34 | 256,578 | ||||
455,000 | Tampa FL Hosp Rev H Lee Moffitt Cancer Ctr Proj, Ser B | 5.00% | 07/01/35 | 461,542 | ||||
400,000 | Tampa FL Hosp Rev H Lee Moffitt Cancer Ctr Proj, Ser B | 4.00% | 07/01/38 | 357,604 | ||||
300,000 | Tampa FL Hosp Rev H Lee Moffitt Cancer Ctr Proj, Ser B | 4.00% | 07/01/39 | 265,858 | ||||
230,000 | Tampa FL Rev Ref The Univ of Tampa Proj, Ser A | 5.00% | 04/01/34 | 235,988 | ||||
5,035,000 | Tampa FL Rev Ref The Univ of Tampa Proj, Ser A | 5.00% | 04/01/45 | 4,969,585 | ||||
1,000,000 | Tern Bay CDD FL Spl Assmnt | 3.13% | 06/15/27 | 912,328 | ||||
1,250,000 | Tern Bay CDD FL Spl Assmnt | 4.00% | 06/15/42 | 1,013,581 | ||||
135,000 | Timber Creek CDD FL Spl Assmnt Rev (e) | 4.13% | 11/01/24 | 133,385 | ||||
100,000 | UCF Stadium Corp FL Rev Ref, Ser A | 5.00% | 03/01/24 | 101,309 | ||||
75,000 | Villamar CDD FL Spl Assmnt (d) | 3.75% | 05/01/24 | 73,479 | ||||
70,000 | Vlg FL CDD #6 Spl Assmnt Rev Ref | 4.00% | 05/01/25 | 70,218 | ||||
500,000 | Volusia Cnty FL Eductnl Fac Auth Ref Embry Riddle Aeronautical Univ Inc Proj, Ser A | 4.00% | 10/15/37 | 446,717 | ||||
835,000 | Westside FL CDD Spl Assmnt Rev Ref (c) | 4.10% | 05/01/37 | 730,901 | ||||
210,000 | WildBlue CDD FL Spl Assmnt (c) | 3.50% | 06/15/24 | 204,576 | ||||
119,637,592 | ||||||||
Georgia – 3.9% | ||||||||
1,090,000 | Athens GA Hsg Auth Rev Univ of Georgia Proj | 5.00% | 06/15/33 | 1,171,883 | ||||
1,145,000 | Athens GA Hsg Auth Rev Univ of Georgia Proj | 5.00% | 06/15/34 | 1,227,483 | ||||
8,980,000 | Atlanta GA Arpt Passenger Fac Charge Rev Arpt Rev Subord, Ser D, AMT | 4.00% | 07/01/37 | 8,153,162 | ||||
1,000,000 | Atlanta GA Arpt Rev Ref, Ser C, AMT | 4.00% | 07/01/39 | 884,187 | ||||
3,000,000 | Atlanta GA Arpt Rev, Ser A | 5.00% | 07/01/42 | 3,112,806 | ||||
650,000 | Atlanta GA Tax Allocation Ref Eastside Proj (Pre-refunded maturity 01/01/26) | 5.00% | 01/01/30 | 681,805 | ||||
1,300,000 | Brookhaven Dev Auth GA Children’s Hlthcare of Atlanta, Ser A | 5.00% | 07/01/35 | 1,343,584 | ||||
4,000,000 | Burke Cnty GA Dev Auth Poll Control Rev Var GA Pwr Co Vogtle, Ser 1 (a) | 1.79% | 07/01/49 | 4,000,000 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Georgia (Continued) | ||||||||
$6,700,000 | Burke Cnty GA Dev Auth Poll Control Rev Var Ref GA Pwr Co Plant Vogtle Proj (a) | 1.89% | 11/01/52 | $6,700,000 | ||||
625,000 | De Kalb GA Priv Hosp Auth Children’s Hlthcare of Atlanta, Ser B | 4.00% | 07/01/37 | 590,004 | ||||
500,000 | Etowah GA Wtr & Swr Auth Rev Ref, BAM | 4.00% | 03/01/34 | 472,481 | ||||
350,000 | Etowah GA Wtr & Swr Auth Rev Ref, BAM | 4.00% | 03/01/35 | 324,984 | ||||
400,000 | Etowah GA Wtr & Swr Auth Rev Ref, BAM | 4.00% | 03/01/36 | 371,045 | ||||
1,000,000 | Fulton Cnty GA Dev Auth Rev Ref Children’s Hlthcare of Atlanta, Ser C | 5.00% | 07/01/35 | 1,033,526 | ||||
2,775,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/31 | 2,721,332 | ||||
750,000 | GA St Hgr Edu Facs Auth Rev Ref USG Real Estate Fdtn II LLC Projs | 5.00% | 06/15/34 | 790,821 | ||||
890,000 | GA St Hgr Edu Facs Auth Rev Ref USG Real Estate Fdtn II LLC Projs | 5.00% | 06/15/35 | 932,749 | ||||
2,525,000 | GA St Hsg & Fin Auth Rev SF Mtge, Ser C | 3.25% | 12/01/33 | 2,252,801 | ||||
40,000 | Gainesville & Hall Cnty GA Hosp Auth Ref NE GA Hlth Sys Inc Proj, Ser A | 5.00% | 02/15/26 | 40,776 | ||||
5,800,000 | Gainesville & Hall Cnty GA Hosp Auth Ref NE GA Hlth Sys Inc Proj, Ser A | 4.00% | 02/15/39 | 5,112,414 | ||||
250,000 | Geo L Smith II GA Congress Ctr Auth Convention Ctr Hotel First Tier, Ser A | 4.00% | 01/01/36 | 216,307 | ||||
1,000,000 | Geo L Smith II GA Congress Ctr Auth Convention Ctr Hotel First Tier, Ser A | 4.00% | 01/01/54 | 754,136 | ||||
985,000 | Glynn-Brunswick GA Memorial Hosp Auth Ref Rev Anticipation Ctfs SE GA Hlth Sys Proj | 4.00% | 08/01/37 | 849,907 | ||||
175,000 | Main Street Nat Gas Inc GA Gas Rev, Ser A | 5.50% | 09/15/23 | 177,080 | ||||
1,000,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/27 | 1,015,410 | ||||
2,630,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/30 | 2,674,110 | ||||
1,625,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put 09/01/27) | 4.00% | 07/01/52 | 1,570,536 | ||||
14,500,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put 12/01/29) | 4.00% | 09/01/52 | 13,371,073 | ||||
2,850,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put 11/01/27) (c) | 4.00% | 08/01/52 | 2,633,200 | ||||
350,000 | Muni Elec Auth of GA Ref Plant Vogtle Units 3 & 4 Proj J, Ser A, AGM | 4.00% | 01/01/39 | 319,002 | ||||
320,000 | Muni Elec Auth of GA Ref Plant Vogtle Units 3 & 4 Proj J, Ser A, AGM | 4.00% | 01/01/40 | 288,860 | ||||
275,000 | Priv Clgs & Univs Auth GA Ref Mercer Univ Proj | 5.00% | 10/01/29 | 291,065 | ||||
1,175,000 | Priv Clgs & Univs Auth GA Savannah Clg of Art & Design Proj (Pre-refunded maturity 04/01/24) | 5.00% | 04/01/33 | 1,202,999 | ||||
500,000 | Priv Clgs & Univs Auth GA Savannah Clg of Art & Design Proj (Pre-refunded maturity 04/01/24) | 5.00% | 04/01/44 | 511,914 | ||||
67,793,442 | ||||||||
Guam – 0.4% | ||||||||
1,000,000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A | 5.00% | 01/01/50 | 949,278 | ||||
5,000,000 | Guam Intl Arpt Auth Prerefunded Gen, Sec C, AGM, AMT (Pre-refunded maturity 10/01/23) | 6.13% | 10/01/43 | 5,105,763 | ||||
300,000 | Guam Port Auth Port Rev, Ser B, AMT | 5.00% | 07/01/32 | 308,488 | ||||
6,363,529 | ||||||||
Hawaii – 0.5% | ||||||||
1,750,000 | HI St Dept of Budget & Fin Spl Purp Rev Ref Hawaiian Elec Co Inc, Ser A, AMT | 3.10% | 05/01/26 | 1,673,646 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Hawaii (Continued) | ||||||||
$4,980,000 | HI St, Ser FG | 4.00% | 10/01/33 | $4,951,266 | ||||
455,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Ref First Bond Resolution, Ser B | 5.00% | 07/01/40 | 477,270 | ||||
2,450,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Ref Sr First Bd Resolution, Ser B | 4.00% | 07/01/32 | 2,468,614 | ||||
9,570,796 | ||||||||
Idaho – 0.1% | ||||||||
1,000,000 | ID St Hlth Facs Auth Rev Ref Madison Memorial Hosp | 5.00% | 09/01/37 | 955,721 | ||||
Illinois – 4.2% | ||||||||
1,210,000 | Bolingbrook IL Ref, Ser A | 4.00% | 01/01/35 | 1,182,696 | ||||
1,000,000 | Bolingbrook IL Ref, Ser A, AGM | 5.00% | 01/01/30 | 1,074,064 | ||||
1,000,000 | Bolingbrook IL Ref, Ser A, AGM | 5.00% | 01/01/31 | 1,072,640 | ||||
130,000 | Chicago IL Brd of Edu Cap Apprec Sch Reform, Ser B-1, NATL-RE | (f) | 12/01/22 | 129,618 | ||||
500,000 | Chicago IL Brd of Edu Ref Dedicated, Ser C | 5.00% | 12/01/30 | 489,063 | ||||
3,000,000 | Chicago IL Brd of Edu Ref, Ser B | 5.00% | 12/01/30 | 2,930,461 | ||||
305,000 | Chicago IL O’Hare Intl Arpt Rev Ref Gen Sr Lien, Ser A, AMT | 5.00% | 01/01/30 | 308,785 | ||||
325,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien O’hare Intl Arpt, Ser C, AMT | 5.00% | 01/01/34 | 328,442 | ||||
600,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien, Ser A, AMT | 5.00% | 01/01/37 | 588,840 | ||||
610,000 | Chicago IL O’Hare Intl Arpt Rev, Ser C, AMT | 5.00% | 01/01/34 | 605,606 | ||||
450,000 | Chicago IL Ref 2003B Remk | 5.25% | 01/01/29 | 451,194 | ||||
185,000 | Chicago IL Ref Proj, Ser A | 5.00% | 01/01/27 | 184,850 | ||||
1,155,000 | Chicago IL Ref Proj, Ser A | 5.00% | 01/01/35 | 1,096,296 | ||||
500,000 | Chicago IL Ref, Ser A | 5.63% | 01/01/29 | 506,344 | ||||
500,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/25 | 501,979 | ||||
645,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/26 | 646,321 | ||||
270,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/38 | 255,684 | ||||
145,000 | Chicago IL Ref, Ser C, CABS | (f) | 01/01/24 | 138,234 | ||||
125,000 | Chicago IL Ref, Ser C, CABS | (f) | 01/01/25 | 114,033 | ||||
3,500,000 | Chicago IL Wtrwks Rev 2nd Lien Remk, BAM | 5.00% | 11/01/30 | 3,626,916 | ||||
2,060,000 | Chicago IL, Ser A | 5.00% | 01/01/27 | 2,058,568 | ||||
2,425,000 | DuPage & Cook Cntys IL Twp High Sch Dist #86 Hinsdale | 4.00% | 01/15/36 | 2,374,149 | ||||
505,000 | Hampshire IL Spl Svc Area #14 Spl Tax Ref Lakewood Crossing, BAM | 4.00% | 03/01/25 | 511,307 | ||||
170,000 | Hillside IL Tax Incr Rev Ref | 5.00% | 01/01/24 | 169,931 | ||||
305,000 | IL St | 5.00% | 05/01/23 | 306,546 | ||||
240,000 | IL St | 5.00% | 05/01/24 | 242,113 | ||||
125,000 | IL St | 5.00% | 06/01/27 | 125,564 | ||||
325,000 | IL St Fin Auth Acad Facs Lease Rev Univ of Illinois at Urbana-Champaign Proj, Ser A | 5.00% | 10/01/33 | 334,924 | ||||
850,000 | IL St Fin Auth Acad Facs Lease Rev Univ of Illinois at Urbana-Champaign Proj, Ser A | 5.00% | 10/01/34 | 870,687 | ||||
970,000 | IL St Fin Auth Acad Facs Lease Rev Univ of Illinois at Urbana-Champaign Proj, Ser A | 5.00% | 10/01/35 | 988,685 | ||||
300,000 | IL St Fin Auth Acad Facs Lease Rev Univ of Illinois at Urbana-Champaign Proj, Ser A | 5.00% | 10/01/36 | 304,409 | ||||
1,000,000 | IL St Fin Auth Rev Centegra Hlth Sys, Ser A (Pre-refunded maturity 09/01/24) | 5.00% | 09/01/39 | 1,027,603 | ||||
500,000 | IL St Fin Auth Rev Loc Govt Prog E Prairie Sch Dist #73 Proj, BAM | 5.00% | 12/01/30 | 537,868 | ||||
845,000 | IL St Fin Auth Rev Ref Mercy Hlth Sys Oblig Grp | 5.00% | 12/01/33 | 852,522 | ||||
35,000 | IL St Fin Auth Rev Ref Presbyterian Homes Oblig Grp, Ser A | 5.00% | 11/01/24 | 35,406 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$1,010,000 | IL St Fin Auth Rev Sthrn IL Hlthcare, Ser A | 5.00% | 03/01/47 | $966,505 | ||||
6,600,000 | IL St Fin Auth Rev Var Northshore Univ Hlth Sys, Ser B (a) | 1.63% | 08/15/49 | 6,600,000 | ||||
6,100,000 | IL St Fin Auth Rev Var Univ Chicago Med D-2 (a) | 1.64% | 08/01/43 | 6,100,000 | ||||
500,000 | IL St Fin Auth Stdt Hsg & Acad Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/27 | 489,781 | ||||
95,000 | IL St Fin Auth Stdt Hsg & Acad Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/31 | 90,407 | ||||
465,000 | IL St Fin Auth Stdt Hsg & Acad Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/32 | 436,948 | ||||
320,000 | IL St Ref | 4.00% | 08/01/25 | 314,433 | ||||
115,000 | IL St Ref, Ser B | 5.00% | 10/01/24 | 116,028 | ||||
2,405,000 | IL St Sales Tax Rev Junior Oblig, Ser A, BAM | 3.00% | 06/15/34 | 2,003,531 | ||||
100,000 | IL St Sales Tax Rev Ref Junior Oblig Build IL Bonds, Ser C | 5.00% | 06/15/29 | 103,757 | ||||
1,500,000 | IL St, Ser A | 5.00% | 12/01/26 | 1,510,662 | ||||
2,500,000 | IL St, Ser A | 5.50% | 03/01/42 | 2,475,205 | ||||
2,000,000 | IL St, Ser B | 4.00% | 12/01/37 | 1,684,191 | ||||
6,200,000 | IL St, Ser C | 5.00% | 11/01/29 | 6,205,389 | ||||
1,250,000 | IL St, Ser D | 5.00% | 11/01/23 | 1,260,012 | ||||
1,005,000 | IL St, Ser D | 5.00% | 11/01/24 | 1,013,922 | ||||
325,000 | IL St, Ser D | 5.00% | 11/01/26 | 327,337 | ||||
1,500,000 | Lincolnwood IL Tax Incr Allocation Rev Nts Dist 1860 Dev Proj, Ser A, COPS (c) | 4.82% | 01/01/41 | 1,194,073 | ||||
500,000 | Macon Cnty IL Sch Dist #61 Ref, Ser C, AGM | 4.00% | 01/01/28 | 506,186 | ||||
1,175,000 | Madison Bond Etc Cntys IL Cmnty Unit Sch Dist #5, Ser B, AGM | 5.50% | 02/01/39 | 1,245,806 | ||||
700,000 | Madison Bond Etc Cntys IL Cmnty Unit Sch Dist #5, Ser B, AGM | 5.50% | 02/01/40 | 740,578 | ||||
3,635,000 | Morton Grove-Niles Wtr Commn IL Wtr, Ser A | 5.00% | 12/01/41 | 3,805,169 | ||||
405,000 | Peoria IL Ref, Ser C, AGM | 4.00% | 01/01/33 | 403,108 | ||||
1,000,000 | Piatt Champaign & De Witt Cntys IL Cmnty Unit Sch Dist #25 Ref, Ser B, BAM | 5.00% | 11/01/33 | 1,050,932 | ||||
145,000 | Railsplitter IL Tobacco Stlmt Auth | 5.00% | 06/01/26 | 150,117 | ||||
645,000 | Rockford IL Ref Wtrwks Sys, Ser B, BAM | 5.00% | 12/15/26 | 681,487 | ||||
110,000 | Romeoville IL Rev Ref Lewis Univ Proj | 5.00% | 10/01/24 | 111,593 | ||||
125,000 | Romeoville IL Rev Ref Lewis Univ Proj | 5.00% | 10/01/25 | 127,265 | ||||
2,740,000 | Schaumburg IL Ref | 4.00% | 12/01/23 | 2,751,895 | ||||
1,560,000 | Woodford McLean & Livingston Cntys IL Cmnty United Sch Dist, Ser B, BAM | 4.00% | 11/01/36 | 1,514,239 | ||||
72,952,904 | ||||||||
Indiana – 1.9% | ||||||||
2,270,000 | Avon IN Cmnty Sch Bldg Corp | 5.00% | 01/15/41 | 2,353,712 | ||||
3,080,000 | Borden Henryville Multi Sch Bldg Corp IN | 5.00% | 07/15/39 | 3,220,258 | ||||
1,920,000 | Carmel IN Loc Pub Impt Bond Bank Multipurpose, Ser 2016 | 5.00% | 07/15/34 | 2,013,335 | ||||
5,820,000 | Carmel IN Loc Pub Impt Bond Bank, Ser A | 4.00% | 07/15/36 | 5,571,103 | ||||
3,050,000 | Carmel IN Loc Pub Impt Bond Bank, Ser A | 4.00% | 07/15/37 | 2,874,219 | ||||
250,000 | Fort Wayne IN Mf Hsg Rev Silver Birch at Cook Road (c) | 5.30% | 01/01/32 | 211,773 | ||||
3,000,000 | IN Fin Auth Midwestern Disaster Relief Rev OH Vly Elec Corp Proj Remk, Ser A | 4.25% | 11/01/30 | 2,789,565 | ||||
1,250,000 | IN St Fin Auth Envrnmntl Rev Ref Var Duke Energy IN Inc Proj Remk, Ser A-1, AMT (Mandatory put 06/01/32) | 4.50% | 05/01/35 | 1,207,094 | ||||
3,500,000 | IN St Fin Auth Envrnmntl Rev Var Ref Fulcrum Centerpoint LLC Proj, AMT (Mandatory put 11/15/23) (b) | 4.50% | 12/15/46 | 3,500,422 | ||||
930,000 | IN St Fin Auth Hosp Rev Goshen Hlth, Ser A | 4.00% | 11/01/36 | 835,125 | ||||
1,330,000 | IN St Fin Auth Hosp Rev Goshen Hlth, Ser A | 4.00% | 11/01/37 | 1,191,197 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Indiana (Continued) | ||||||||
$1,000,000 | IN St Fin Auth Hosp Rev Reid Hlth, AGM | 5.00% | 01/01/40 | $1,028,012 | ||||
700,000 | IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Acdmy Proj, Ser A (e) | 5.25% | 07/01/28 | 685,538 | ||||
1,000,000 | IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Acdmy Proj, Ser A (e) | 5.88% | 07/01/38 | 957,013 | ||||
460,000 | IN St Fin Auth Rev Greencroft Oblig Grp, Ser A | 5.75% | 11/15/28 | 470,289 | ||||
55,000 | IN St Fin Auth Rev Greencroft Oblig Grp, Ser A | 6.00% | 11/15/28 | 56,358 | ||||
500,000 | IN St Fin Auth Rev Marian Univ Proj, Ser A | 5.00% | 09/15/34 | 503,143 | ||||
275,000 | IN St Fin Auth Rev Ref Rev Cmnty Fdtn of NW IN | 5.00% | 09/01/31 | 283,388 | ||||
550,000 | NW Hendricks IN Multi-Bldg Corp | 4.00% | 07/15/30 | 556,242 | ||||
400,000 | NW Hendricks IN Multi-Bldg Corp | 4.00% | 07/15/32 | 400,978 | ||||
500,000 | NW Hendricks IN Multi-Bldg Corp | 4.00% | 07/15/33 | 499,274 | ||||
1,690,000 | Plainfield IN Mf Hsg Rev Glasswater Creek Proj | 5.38% | 09/01/38 | 1,323,439 | ||||
765,000 | Westfield Washington IN Multi Sch Bldg Corp Rev | 4.00% | 07/15/33 | 763,889 | ||||
330,000 | Zionsville IN Cmnty Schs Bldgcorp | 4.00% | 07/15/33 | 329,521 | ||||
33,624,887 | ||||||||
Iowa – 0.9% | ||||||||
1,000,000 | Altoona IA, Ser A, COPS, BAM | 5.00% | 06/01/33 | 1,064,579 | ||||
720,000 | Altoona IA, Ser A, COPS, BAM | 5.00% | 06/01/34 | 764,955 | ||||
2,385,000 | Coralville IA Ref, Ser A | 5.00% | 05/01/38 | 2,405,603 | ||||
2,000,000 | IA St Fin Auth Midwstrn Disaster Area Rev Ref IA Fertilizer Company Proj (Mandatory put 12/01/42) | 5.00% | 12/01/50 | 1,783,254 | ||||
8,190,000 | Pefa Inc IA Gas Proj Rev (Mandatory put 09/01/26) | 5.00% | 09/01/49 | 8,184,568 | ||||
200,000 | Tobacco Stlmt Auth IA Tobacco Stlmt Rev Ref Sr, Ser A-2, Class 1 | 5.00% | 06/01/32 | 203,540 | ||||
300,000 | Tobacco Stlmt Auth IA Tobacco Stlmt Rev Ref Sr, Ser A-2, Class 1 | 4.00% | 06/01/35 | 269,334 | ||||
200,000 | Tobacco Stlmt Auth IA Tobacco Stlmt Rev Ref Sr, Ser A-2, Class 1 | 4.00% | 06/01/38 | 173,621 | ||||
300,000 | Tobacco Stlmt Auth IA Tobacco Stlmt Rev Ref Sr, Ser A-2, Class 1 | 4.00% | 06/01/39 | 256,664 | ||||
15,106,118 | ||||||||
Kansas – 1.0% | ||||||||
1,075,000 | Goddard KS Sales Tax Spl Oblg Rev Ref Olympic Park Star Bond Proj | 3.60% | 06/01/30 | 957,745 | ||||
4,210,000 | Johnson & Miami Cntys KS Unif Sch Dist #230 Spring Hill, Ser A | 5.00% | 09/01/35 | 4,485,513 | ||||
1,240,000 | KS Muni Energy Agy Pwr Proj Rev Dogwood Proj, Ser A, BAM | 5.00% | 04/01/29 | 1,299,741 | ||||
1,470,000 | KS Muni Energy Agy Pwr Proj Rev Dogwood Proj, Ser A, BAM | 5.00% | 04/01/30 | 1,540,339 | ||||
500,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/31 | 502,409 | ||||
625,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/32 | 626,029 | ||||
575,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/33 | 574,292 | ||||
500,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/34 | 493,993 | ||||
525,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/35 | 512,403 | ||||
600,000 | Leavenworth Cnty KS Unif Sch Dist #464 Ref, Ser A | 4.00% | 09/01/36 | 582,446 | ||||
1,045,000 | Lenexa KS Hlthcare Fac Rev Ref Lakeview Vlg Inc, Ser A | 5.00% | 05/15/26 | 1,045,984 | ||||
2,000,000 | Wyandotte Cnty Kansas City KS Unif Govt Util Sys Rev Impt, Ser A | 5.00% | 09/01/40 | 2,037,895 | ||||
475,000 | Wyandotte Cnty Kansas City KS Unif Govt Util Sys Rev Ref & Impt, Ser A | 5.00% | 09/01/29 | 485,989 | ||||
2,000,000 | Wyandotte Cnty KS Kansas City Unif Govt Spl Oblg Rev Ref Vlg E Proj Areas 2B 3 5 (c) | 5.75% | 09/01/39 | 1,807,891 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Kansas (Continued) | ||||||||
$150,000 | Wyandotte Cnty KS Unif Sch Dist #202, Ser A, AGM (Pre-refunded maturity 09/01/27) | 5.00% | 09/01/32 | $160,298 | ||||
17,112,967 | ||||||||
Kentucky – 2.5% | ||||||||
2,350,000 | Bowling Green KY Wtr & Swr Rev, AGM | 4.00% | 06/01/32 | 2,352,634 | ||||
1,000,000 | Estrn KY Univ Gen Recpts, Ser A | 5.00% | 04/01/25 | 1,032,925 | ||||
500,000 | Hazard KY Hlthcare Rev Ref Appalachian Regl Hlthcare Proj | 4.00% | 07/01/39 | 440,039 | ||||
3,500,000 | KY Bond Dev Corp Indl Bldg Rev KY Commns Network Auth Proj, BAM | 5.00% | 09/01/49 | 3,584,479 | ||||
145,000 | KY St Econ Dev Fin Auth Baptist Hlthcare Sys, Ser B | 5.00% | 08/15/28 | 151,106 | ||||
275,000 | KY St Econ Dev Fin Auth Baptist Hlthcare Sys, Ser B | 5.00% | 08/15/36 | 278,550 | ||||
3,000,000 | KY St Econ Dev Fin Auth Baptist Hlthcare Sys, Ser B | 5.00% | 08/15/41 | 3,003,234 | ||||
160,000 | KY St Econ Dev Fin Auth Hlth Sys Rev Norton Hlthcare Inc, Ser B, NATL-RE, CABS | (f) | 10/01/25 | 141,502 | ||||
625,000 | KY St Econ Dev Fin Auth Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/38 | 537,778 | ||||
3,795,000 | KY St Econ Dev Fin Auth Ref Commonspirit Hlth, Ser A-1 | 5.00% | 08/01/44 | 3,624,228 | ||||
730,000 | KY St Econ Dev Fin Auth Ref Commonspirit Hlth, Ser A-2 | 5.00% | 08/01/35 | 735,548 | ||||
895,000 | KY St Econ Dev Fin Auth Ref Commonspirit Hlth, Ser A-2 | 5.00% | 08/01/36 | 900,385 | ||||
5,620,000 | KY St Office Building Proj, Ser A, COPS | 5.00% | 04/15/38 | 5,851,124 | ||||
5,000,000 | KY St Property & Bldgs Commn Revs Proj #124, Ser A, AGM | 5.00% | 11/01/37 | 5,270,611 | ||||
5,395,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser B (Mandatory put 01/01/25) | 4.00% | 01/01/49 | 5,310,564 | ||||
6,300,000 | KY St Pub Energy Auth Gas Sply Rev Var, Ser C (Mandatory put 02/01/28) | 4.00% | 02/01/50 | 5,957,401 | ||||
440,000 | KY St Univ Proj, COPS, BAM | 4.00% | 11/01/46 | 372,195 | ||||
500,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Norton Hlthcare Inc, Ser A | 4.00% | 10/01/40 | 435,626 | ||||
3,315,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlthcare Inc, Ser A | 5.00% | 10/01/30 | 3,394,611 | ||||
550,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlthcare Inc, Ser A | 5.00% | 10/01/31 | 561,422 | ||||
290,000 | Louisville & Jefferson Cnty KY Met Swr Dist Swr & Drain Sys Green Bond, Ser A | 5.00% | 05/15/29 | 315,103 | ||||
45,000 | Warren Cnty KY Hosp Rev Ref Bowling Green Warren Cnty Cmnty Hosp Corp | 5.00% | 04/01/23 | 45,345 | ||||
44,296,410 | ||||||||
Louisiana – 1.2% | ||||||||
1,260,000 | E Baton Rouge Parish LA Capital Impts Dist MOVEBR Sales, Ser T | 4.00% | 08/01/35 | 1,245,649 | ||||
1,520,000 | E Baton Rouge Parish LA Capital Impts Dist MOVEBR Sales, Ser T | 4.00% | 08/01/36 | 1,483,309 | ||||
2,530,000 | E Baton Rouge Parish LA Capital Impts Dist MOVEBR Sales, Ser T | 4.00% | 08/01/38 | 2,411,659 | ||||
6,500,000 | E Baton Rouge Parish LA Swr Commn Rev Ref, Ser A | 4.00% | 02/01/45 | 5,835,550 | ||||
1,000,000 | LA Pub Facs Auth Rev Ref Ochsner Clinic Fdtn Proj | 5.00% | 05/15/36 | 1,009,377 | ||||
250,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Ascension Psh Courthouse Proj | 5.00% | 11/01/31 | 263,113 | ||||
1,700,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Ref Hosp Womans Fdtn Proj, Ser A | 5.00% | 10/01/37 | 1,717,151 | ||||
380,000 | LA Stadium & Exposition Dist LA Ref Sr, Ser A | 5.00% | 07/01/31 | 382,268 | ||||
750,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/28 | 764,900 | ||||
750,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/29 | 761,784 | ||||
200,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/31 | 201,847 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Louisiana (Continued) | ||||||||
$1,305,000 | New Orleans LA Wtr Rev (Pre-refunded maturity 12/01/25) | 5.00% | 12/01/34 | $1,367,335 | ||||
1,050,000 | New Orleans LA Wtr Rev Ref (Pre-refunded maturity 12/01/24) | 5.00% | 12/01/28 | 1,086,916 | ||||
625,000 | Shreveport LA Wtr & Swr Rev Junior Lien, Ser A, AGM | 5.00% | 12/01/32 | 661,431 | ||||
1,650,000 | Shreveport LA Wtr & Swr Rev, Ser B, BAM | 5.00% | 12/01/30 | 1,699,951 | ||||
20,892,240 | ||||||||
Maine – 0.0% | ||||||||
1,000,000 | ME St Fin Auth Green Bond Go Lab Madison, LLC Proj, AMT (c) | 8.00% | 12/01/51 | 701,794 | ||||
Maryland – 1.3% | ||||||||
2,000,000 | Baltimore Cnty MD | 5.00% | 03/01/29 | 2,191,217 | ||||
565,000 | Baltimore Cnty MD Rev Ref Oak Crest Vlg Inc Fac | 4.00% | 01/01/39 | 490,075 | ||||
650,000 | Baltimore Cnty MD Rev Ref Oak Crest Vlg Inc Fac | 4.00% | 01/01/40 | 558,077 | ||||
600,000 | Baltimore Cnty MD Rev Ref Riderwood Vlg Inc Proj | 4.00% | 01/01/33 | 580,056 | ||||
685,000 | Baltimore Cnty MD Rev Ref Riderwood Vlg Inc Proj | 4.00% | 01/01/34 | 659,565 | ||||
650,000 | Baltimore Cnty MD Rev Ref Riderwood Vlg Inc Proj | 4.00% | 01/01/36 | 612,572 | ||||
700,000 | Baltimore Cnty MD Rev Ref Riderwood Vlg Inc Proj | 4.00% | 01/01/38 | 646,602 | ||||
2,020,000 | Baltimore MD Spl Oblig Ref E Baltimore Rsrch Park Proj, Ser A | 5.00% | 09/01/38 | 1,932,456 | ||||
100,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (c) | 2.75% | 06/01/24 | 95,843 | ||||
125,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (c) | 2.80% | 06/01/25 | 116,931 | ||||
135,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (c) | 2.85% | 06/01/26 | 123,547 | ||||
1,000,000 | Gaithersburg MD Econ Dev Rev Ref Proj Asbury MD Oblig Grp, Ser A | 4.50% | 01/01/25 | 995,786 | ||||
550,000 | Harford Cnty MD Spl Oblg Ref Beechtree Estates Proj | 4.00% | 07/01/36 | 507,112 | ||||
500,000 | MD St Econ Dev Corp Stdt Hsg Rev Bowie St Univ Proj | 4.00% | 07/01/40 | 416,900 | ||||
1,650,000 | MD St Econ Dev Corp Stdt Hsg Rev Bowie St Univ Proj | 5.00% | 07/01/55 | 1,455,263 | ||||
600,000 | MD St Econ Dev Corp Stdt Hsg Rev Ref Sr Univ MD Proj | 4.00% | 07/01/24 | 593,511 | ||||
2,490,000 | MD St Econ Dev Corp Stdt Hsg Rev Ref Univ MD Clg Park Projs, AGM | 5.00% | 06/01/35 | 2,541,358 | ||||
500,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Adventist Hlthcare Oblig Grp, Ser A | 5.50% | 01/01/26 | 517,010 | ||||
5,000,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Johns Hopkins Hlth, Ser C (Pre-refunded maturity 05/15/23) | 5.00% | 05/15/38 | 5,049,492 | ||||
555,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Adventist Hlthcare | 4.00% | 01/01/27 | 545,992 | ||||
800,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Anne Arundel Hlth Sys, Ser A | 5.00% | 07/01/30 | 821,546 | ||||
1,000,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Anne Arundel Hlth Sys, Ser A | 5.00% | 07/01/32 | 1,021,671 | ||||
250,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Stevenson Univ Proj, Ser A | 4.00% | 06/01/35 | 220,418 | ||||
225,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Stevenson Univ Proj, Ser A | 4.00% | 06/01/36 | 196,363 | ||||
750,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Stevenson Univ Proj, Ser A | 4.00% | 06/01/46 | 588,078 | ||||
23,477,441 | ||||||||
Massachusetts – 0.7% | ||||||||
2,000,000 | MA St Bay Transprtn Auth Sales Tax Rev Ref Sr, Ser B | 5.25% | 07/01/30 | 2,186,775 | ||||
2,155,000 | MA St Bay Transprtn Auth Sales Tax Rev Sr, Ser A | 5.00% | 07/01/45 | 2,185,007 | ||||
250,000 | MA St Dev Fin Agy Rev Linden Ponds Inc Fac (c) | 5.00% | 11/15/28 | 255,117 | ||||
3,920,000 | MA St Port Auth Ref, Ser A, AMT | 5.00% | 07/01/32 | 4,013,735 | ||||
1,555,000 | MA St Port Auth, Ser C, AMT | 5.00% | 07/01/31 | 1,597,687 | ||||
2,000,000 | MA St Transprtn Fund Rev Rail Enhancement Prog, Ser A | 5.00% | 06/01/45 | 2,026,583 | ||||
12,264,904 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Michigan – 3.3% | ||||||||
$240,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/32 | $244,196 | ||||
500,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/33 | 507,855 | ||||
250,000 | Genesee Cnty MI Swr Disp Sys Rev, Ser A, BAM | 4.00% | 06/01/30 | 254,554 | ||||
150,000 | Genesee Cnty MI Swr Disp Sys Rev, Ser A, BAM | 4.00% | 06/01/32 | 151,247 | ||||
155,000 | Genesee Cnty MI Swr Disp Sys Rev, Ser A, BAM | 4.00% | 06/01/36 | 151,710 | ||||
100,000 | Genesee Cnty MI Swr Disp Sys Rev, Ser A, BAM | 4.00% | 06/01/37 | 95,194 | ||||
150,000 | Genesee Cnty MI Swr Disp Sys Rev, Ser A, BAM | 4.00% | 06/01/38 | 140,237 | ||||
525,000 | Grand Rapids MI Santn Swr Sys Rev Ref | 5.00% | 01/01/45 | 545,860 | ||||
735,000 | Grand Traverse Cnty MI Hosp Fin Auth Munson Hlthcare Oblig Grp, Ser A | 5.00% | 07/01/44 | 706,556 | ||||
1,000,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Ref Sr Lien, Ser C | 5.00% | 07/01/31 | 1,043,162 | ||||
575,000 | Kalamazoo MI Econ Dev Corp Heritage Cmnty of Kalamazoo Revel Creek Proj Temps 60, Ser B2 | 2.63% | 05/15/25 | 540,105 | ||||
1,195,000 | Lake Shore MI Pub Schs, Ser I | 5.00% | 11/01/37 | 1,255,254 | ||||
1,000,000 | Marquette MI Brd of Light & Pwr Elec Util Sys Rev Ref, Ser A | 5.00% | 07/01/29 | 1,044,317 | ||||
890,000 | MI St Fin Auth Ltd Oblig Rev Ref Clg for Creative Studies Proj | 5.00% | 12/01/25 | 891,408 | ||||
325,000 | MI St Fin Auth Rev Loc Govt Loan Prog Great Lakes Wtr Auth Ref, Ser C | 5.00% | 07/01/27 | 332,976 | ||||
2,000,000 | MI St Fin Auth Rev Multi Modal Mclaren Hlth Care, Ser A | 4.00% | 02/15/47 | 1,622,065 | ||||
375,000 | MI St Fin Auth Rev Prerefunded Che Trinity Hlth Credit Grp Ref, Ser 2013-5 (Pre-refunded maturity 12/01/29) | 4.00% | 12/01/40 | 387,651 | ||||
2,460,000 | MI St Fin Auth Rev Ref 2nd Lien Great Lakes Wtr Auth, Ser C-7, NATL-RE | 5.00% | 07/01/29 | 2,503,808 | ||||
1,070,000 | MI St Fin Auth Rev Ref Beaumont Spectrum Consolidation, Ser A | 5.00% | 04/15/33 | 1,161,499 | ||||
2,155,000 | MI St Fin Auth Rev Ref Che Trinity Hlth Credit Grp Remk, Ser 2013-4 | 5.00% | 12/01/39 | 2,185,106 | ||||
4,050,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 4.00% | 11/15/35 | 3,718,668 | ||||
2,565,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 4.00% | 11/15/36 | 2,355,776 | ||||
7,905,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 5.00% | 11/15/41 | 7,863,903 | ||||
2,000,000 | MI St Fin Auth Rev Ref Hosp McLaren Hlth Care, Ser B | 5.00% | 05/15/33 | 2,031,599 | ||||
1,000,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog Great Lakes Wtr Auth, Ser D-1 | 5.00% | 07/01/34 | 1,017,960 | ||||
7,000,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog Great Lakes Wtr Auth, Ser D4 | 5.00% | 07/01/30 | 7,112,225 | ||||
125,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog, Ser F1 | 3.88% | 10/01/23 | 124,244 | ||||
4,000,000 | MI St Fin Auth Rev Ref Sr Lien Great Lakes Wtr Auth, Ser C-6 | 5.00% | 07/01/33 | 4,051,896 | ||||
2,500,000 | MI St Fin Auth Rev Ref Sr Turbo, Ser A-2 | 5.00% | 06/01/40 | 2,398,233 | ||||
1,000,000 | MI St Hosp Fin Auth Ref Ascension Hlth Sr Cr Grp Remk, Ser F-4 | 5.00% | 11/15/47 | 980,799 | ||||
565,000 | MI St Hosp Fin Auth Ref Ascension Sr Credit Remk, Ser F7 | 5.00% | 11/15/47 | 554,151 | ||||
1,000,000 | MI St Univ Revs Brd of Trustees, Ser B | 5.00% | 02/15/34 | 1,059,702 | ||||
650,000 | Midland MI Pub Schs Sch Bldg & Site, Ser II | 5.00% | 05/01/35 | 691,920 | ||||
3,000,000 | Royal Oak MI Hosp Fin Auth Ref Beaumont Hlth Credit Grp, Ser D (Pre-refunded maturity 03/01/24) | 5.00% | 09/01/39 | 3,067,458 | ||||
1,990,000 | Utica MI Cmnty Schs Ref Sch Bldg & Site | 5.00% | 05/01/31 | 2,089,378 | ||||
2,800,000 | Wayne Cnty MI Arpt Auth Rev Ref, Ser F, AMT | 5.00% | 12/01/25 | 2,870,996 | ||||
57,753,668 | ||||||||
Minnesota – 0.4% | ||||||||
370,000 | Duluth MN Indep Sch Dist #709 Ref, Ser B, COPS | 5.00% | 02/01/27 | 387,625 | ||||
2,500,000 | MN Muni Gas Agy Cmdy Sply Rev, Ser A | 4.00% | 12/01/25 | 2,455,605 | ||||
580,000 | Saint Paul MN Hsg & Redev Auth Hlthcare Fac Rev Ref HealthPartners Oblig Grp, Ser A | 5.00% | 07/01/30 | 591,924 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Minnesota (Continued) | ||||||||
$4,000,000 | Saint Paul MN Hsg & Redev Auth Hlthcare Fac Rev Ref HealthPartners Oblig Grp, Ser A | 5.00% | 07/01/32 | $4,061,633 | ||||
7,496,787 | ||||||||
Mississippi – 0.5% | ||||||||
5,000,000 | MS St Hosp Equipment & Facs Auth Baptist Memorial Hlth Care, Ser A | 5.00% | 09/01/41 | 4,633,699 | ||||
2,000,000 | MS St, Ser A (Pre-refunded maturity 11/01/26) | 5.00% | 11/01/33 | 2,128,671 | ||||
500,000 | W Rankin MS Util Auth Rev, AGM (Pre-refunded maturity 01/01/25) | 5.00% | 01/01/32 | 518,237 | ||||
1,215,000 | W Rankin MS Util Auth Rev, AGM (Pre-refunded maturity 01/01/25) | 5.00% | 01/01/33 | 1,259,315 | ||||
8,539,922 | ||||||||
Missouri – 1.5% | ||||||||
285,000 | Bridgeton MO Spl Oblig Rev Ref, Ser A | 4.00% | 12/01/30 | 287,522 | ||||
300,000 | Bridgeton MO Spl Oblig Rev Ref, Ser A | 4.00% | 12/01/31 | 301,592 | ||||
2,150,000 | Jackson Cnty MO Consol Sch Dist #4 | 4.00% | 03/01/31 | 2,161,280 | ||||
2,000,000 | Jackson Cnty MO Consol Sch Dist #4 | 5.00% | 03/01/35 | 2,070,405 | ||||
220,000 | Jackson Cnty MO Spl Oblig Ref Truman Sports Complex Proj | 5.00% | 12/01/22 | 220,268 | ||||
700,000 | Jackson Cnty MO Spl Oblig Ref Truman Sports Complex Proj | 5.00% | 12/01/31 | 718,216 | ||||
1,670,000 | Joplin MO Indl Dev Auth Hlth Facs Rev Ref Freeman Hlth Sys | 5.00% | 02/15/26 | 1,694,036 | ||||
220,000 | Lincoln Cnty MO Pub Wtr Sply Dist #1 Ref, COPS | 4.00% | 07/01/30 | 221,407 | ||||
415,000 | Lincoln Cnty MO Pub Wtr Sply Dist #1 Ref, COPS | 4.00% | 07/01/31 | 416,887 | ||||
1,000,000 | Lincoln Cnty MO Pub Wtr Sply Dist #1 Ref, COPS | 4.00% | 07/01/38 | 921,890 | ||||
440,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Bethesda Hlth Grp Inc Ref | 4.00% | 08/01/36 | 373,469 | ||||
410,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Bethesda Hlth Grp Inc Ref | 4.00% | 08/01/41 | 325,095 | ||||
750,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Mosaic Hlth Sys, Ser A | 5.00% | 02/15/32 | 776,193 | ||||
710,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Mosaic Hlth Sys, Ser A | 4.00% | 02/15/39 | 630,127 | ||||
160,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs | 5.00% | 02/01/23 | 160,213 | ||||
245,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs | 5.00% | 02/01/25 | 246,157 | ||||
1,000,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/27 | 965,805 | ||||
650,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/28 | 618,841 | ||||
1,960,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/29 | 1,837,770 | ||||
2,120,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/31 | 1,911,272 | ||||
1,105,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/32 | 978,657 | ||||
160,000 | MO St Hlth & Eductnl Facs Auth Med Rsrch Lutheran Svcs, Ser A | 5.00% | 02/01/28 | 160,463 | ||||
6,925,000 | MO St Hlth & Eductnl Facs Auth Var St Louis Univ, Ser B-1 (a) | 1.69% | 10/01/35 | 6,925,000 | ||||
1,040,000 | Saint Louis MO Muni Fin Corp Sales Tax Leasehold Rev Ref | 5.00% | 02/15/28 | 1,083,454 | ||||
26,006,019 | ||||||||
Montana – 0.3% | ||||||||
1,080,000 | MT St Fac Fin Auth Hlthcare Facs Rev Montana Children’s Home and Hosp Proj, Ser A | 4.00% | 07/01/35 | 927,354 | ||||
2,395,000 | MT St Fac Fin Auth Hlthcare Facs Rev Montana Children’s Home and Hosp Proj, Ser A | 4.00% | 07/01/40 | 1,974,998 | ||||
740,000 | MT St Fac Fin Auth Rev Ref | 5.00% | 02/15/25 | 755,141 | ||||
130,000 | MT St Fac Fin Auth Rev Ref | 5.00% | 02/15/29 | 133,305 | ||||
2,000,000 | MT St Fac Fin Auth Rev Ref Scl Hlth Sys, Ser A | 4.00% | 01/01/36 | 1,908,952 | ||||
5,699,750 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Nebraska – 0.4% | ||||||||
$5,870,000 | Centrl Plains Energy Proj NE Gas Proj Rev Ref Proj #3, Ser A | 5.00% | 09/01/29 | $5,991,573 | ||||
500,000 | NE St Pub Pwr Dist Rev Gen, Ser C | 5.00% | 01/01/35 | 514,912 | ||||
6,506,485 | ||||||||
Nevada – 0.6% | ||||||||
750,000 | Carson City NV Hosp Rev Ref Carson Tahoe Regl Med Ctr, Ser A | 5.00% | 09/01/30 | 767,326 | ||||
805,000 | Clark Cnty NV Impt Dist Ref Spl Loc Impt #151 | 4.50% | 08/01/23 | 804,422 | ||||
4,000,000 | Clark Cnty NV Sch Dist, Ser A | 5.00% | 06/15/37 | 4,222,921 | ||||
250,000 | Las Vegas NV Spl Impt Dist #616 Spl Impt Dist No 816 Summerlin Vlg 22 | 2.25% | 06/01/27 | 218,320 | ||||
250,000 | Las Vegas NV Spl Impt Dist #616 Spl Impt Dist No 816 Summerlin Vlg 22 | 2.50% | 06/01/28 | 214,023 | ||||
1,230,000 | Las Vegas Vly NV Wtr Dist Ref Wtr Impt, Ser A | 5.00% | 06/01/46 | 1,254,865 | ||||
115,000 | N Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 3.50% | 06/01/24 | 112,286 | ||||
135,000 | N Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 3.75% | 06/01/25 | 130,580 | ||||
170,000 | N Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 3.75% | 06/01/26 | 161,850 | ||||
240,000 | N Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 3.75% | 06/01/27 | 224,904 | ||||
335,000 | NV Dept of Busn & Ind NV Doral Acdmy, Ser A (c) | 5.00% | 07/15/27 | 330,291 | ||||
300,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/29 | 314,740 | ||||
950,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/30 | 993,020 | ||||
275,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/31 | 286,166 | ||||
550,000 | Sparks NV Tourism Impt Dist #1 Rev Ref Sales Tax Sr, Ser A (c) | 2.50% | 06/15/24 | 527,489 | ||||
10,563,203 | ||||||||
New Hampshire – 0.2% | ||||||||
2,740,000 | NH St Hlth & Edu Facs Auth Rev Concord Hosp Trust | 5.00% | 10/01/42 | 2,657,608 | ||||
New Jersey – 2.2% | ||||||||
1,600,000 | Newark NJ, Ser D, BANS | 4.00% | 09/29/23 | 1,600,344 | ||||
1,000,000 | NJ St Econ Dev Auth Mtr Vehcl Surcharge Rev Ref Sub, Ser A | 5.00% | 07/01/23 | 1,009,377 | ||||
450,000 | NJ St Econ Dev Auth Mtr Vehcl Surcharge Rev Ref, Subser A, BAM | 5.00% | 07/01/28 | 466,622 | ||||
2,000,000 | NJ St Econ Dev Auth Ref Sch Facs Constr, Ser N-1, NATL-RE | 5.50% | 09/01/23 | 2,029,355 | ||||
500,000 | NJ St Econ Dev Auth Ref, Ser A, BAM | 5.00% | 06/15/23 | 504,735 | ||||
1,750,000 | NJ St Econ Dev Auth Rev NJ Transit Transprtn Proj, Ser A | 5.00% | 11/01/44 | 1,684,041 | ||||
2,000,000 | NJ St Econ Dev Auth Rev Portal N Bridge Proj NJ Transit Transprtn Proj Bonds, Ser A | 5.25% | 11/01/40 | 2,024,712 | ||||
3,250,000 | NJ St Econ Dev Auth Rev Sch Facs Constr Prog, Ser LLL | 5.00% | 06/15/39 | 3,197,750 | ||||
350,000 | NJ St Econ Dev Auth Rev Self Designated Social Bonds, Ser QQQ | 4.00% | 06/15/35 | 318,911 | ||||
1,050,000 | NJ St Econ Dev Auth Rev Social Bonds, Ser QQQ | 5.00% | 06/15/31 | 1,086,462 | ||||
490,000 | NJ St Econ Dev Auth Spl Fac Rev Ref Port Newark Container Terminal LLC Proj, AMT | 5.00% | 10/01/25 | 495,935 | ||||
1,290,000 | NJ St Transprtn Trust Fund Auth Cap Apprec Transprtn Sys, Ser C, AMBAC | (f) | 12/15/25 | 1,136,085 | ||||
165,000 | NJ St Transprtn Trust Fund Auth Fed Hwy Reimb Nts, Ser A-1, GARVEE | 5.00% | 06/15/28 | 170,113 | ||||
1,750,000 | NJ St Transprtn Trust Fund Auth Ref Transprtn Sys Bonds, Ser A | 5.00% | 12/15/28 | 1,822,974 | ||||
140,000 | NJ St Transprtn Trust Fund Auth Ref Transprtn Sys Bonds, Ser A | 5.00% | 12/15/39 | 137,707 | ||||
3,040,000 | NJ St Transprtn Trust Fund Auth Ref Transprtn Sys, Ser A | 5.00% | 12/15/26 | 3,156,379 | ||||
500,000 | NJ St Transprtn Trust Fund Auth Ref Transprtn Sys, Ser A | 5.00% | 12/15/30 | 515,699 | ||||
1,000,000 | NJ St Transprtn Trust Fund Auth Transprtn Prog Bonds, Ser AA | 5.00% | 06/15/34 | 1,010,261 | ||||
2,250,000 | NJ St Transprtn Trust Fund Auth Transprtn ProgBonds, Ser AA | 5.00% | 06/15/31 | 2,311,390 | ||||
1,400,000 | NJ St Transprtn Trust Fund Auth Transprtn Sys, Ser D | 5.25% | 12/15/23 | 1,423,423 | ||||
105,000 | NJ St Transprtn Trust Fund Auth Transprtn Sys, Ser D | 5.00% | 12/15/24 | 107,305 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New Jersey (Continued) | ||||||||
$220,000 | NJ St Transprtn Trust Fund Auth, Ser BB | 5.00% | 06/15/31 | $226,003 | ||||
1,000,000 | NJ St Transprtn Trust Fund Auth, Ser BB | 5.00% | 06/15/33 | 1,017,840 | ||||
2,000,000 | NJ St Turnpike Auth Turnpike Rev, Ser A | 5.00% | 01/01/32 | 2,044,062 | ||||
500,000 | Tobacco Stlmt Fing Corp NJ Ref, Ser A | 5.00% | 06/01/27 | 517,315 | ||||
1,850,000 | Tobacco Stlmt Fing Corp NJ Ref, Ser A | 5.00% | 06/01/37 | 1,863,076 | ||||
5,505,000 | Tobacco Stlmt Fing Corp NJ Ref, Ser A | 5.25% | 06/01/46 | 5,338,260 | ||||
1,010,000 | Tobacco Stlmt Fing Corp NJ Ref, Subser B | 5.00% | 06/01/46 | 928,661 | ||||
38,144,797 | ||||||||
New Mexico – 0.4% | ||||||||
325,000 | Albuquerque NM Muni Sch Dist #12, Ser A | 4.00% | 08/01/32 | 326,500 | ||||
400,000 | Albuquerque NM Muni Sch Dist #12, Ser A | 4.00% | 08/01/36 | 373,328 | ||||
265,000 | Albuquerque NM Refuse Removal & Disp Rev | 5.00% | 07/01/31 | 289,879 | ||||
185,000 | Albuquerque NM Refuse Removal & Disp Rev | 5.00% | 07/01/32 | 200,932 | ||||
290,000 | Albuquerque NM Refuse Removal & Disp Rev | 5.00% | 07/01/33 | 313,668 | ||||
565,000 | Los Ranchos De Albuquerque NM Eductnl Facs Rev Ref Albuquerque Acdmy Proj | 4.00% | 09/01/33 | 552,160 | ||||
375,000 | Los Ranchos De Albuquerque NM Eductnl Facs Rev Ref Albuquerque Acdmy Proj | 4.00% | 09/01/34 | 357,121 | ||||
300,000 | Los Ranchos De Albuquerque NM Eductnl Facs Rev Ref Albuquerque Acdmy Proj | 4.00% | 09/01/35 | 280,280 | ||||
150,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.00% | 10/01/23 | 148,120 | ||||
230,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.20% | 10/01/24 | 224,263 | ||||
240,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.30% | 10/01/25 | 231,272 | ||||
250,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.45% | 10/01/26 | 238,153 | ||||
260,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 4.55% | 10/01/27 | 245,096 | ||||
365,000 | Lower Petroglyphs Pub Impt Dist NM Spl Levy Rev Ref | 5.00% | 10/01/33 | 338,821 | ||||
825,000 | NM St Hosp Equipment Loan Council Hosp Rev Ref | 5.00% | 06/01/32 | 836,718 | ||||
1,000,000 | NM St Hosp Equipment Loan Council Hosp Rev Ref | 4.00% | 06/01/33 | 899,373 | ||||
1,360,000 | NM St Hosp Equipment Loan Council Hosp Rev Ref | 4.00% | 06/01/34 | 1,193,674 | ||||
520,000 | Santa Fe NM Retmnt Fac Rev El Castillo Retmnt Proj, Ser A | 5.00% | 05/15/34 | 465,146 | ||||
7,514,504 | ||||||||
New York – 6.7% | ||||||||
460,000 | Buffalo NY Muni Wtr Fin Auth, Ser A, AGM | 4.00% | 07/01/49 | 436,999 | ||||
715,000 | Hempstead Town NY Loc Dev Corp Rev Ref Hofstra Univ Proj, Ser A | 4.00% | 07/01/40 | 630,688 | ||||
495,000 | Hudson Yards Infra Corp NY 2nd Indenture Rev Ref, Ser A | 5.00% | 02/15/38 | 505,891 | ||||
5,000,000 | Long Island NY Pwr Auth Elec Sys Rev Elec Sys Rev Gen, Ser A, BAM | 5.00% | 09/01/44 | 5,084,600 | ||||
350,000 | Long Island NY Pwr Auth Elec Sys Rev Ref, Ser A | 5.00% | 09/01/35 | 369,514 | ||||
500,000 | Long Island NY Pwr Auth Elec Sys Rev Ref, Ser A | 4.00% | 09/01/39 | 455,863 | ||||
2,150,000 | Met Transprtn Auth NY Rev Ref Transprtn, Subser C-1 | 5.00% | 11/15/34 | 2,120,846 | ||||
4,000,000 | Met Transprtn Auth NY Rev Transprtn, Subser D-1 | 5.00% | 11/15/39 | 3,837,712 | ||||
840,000 | Monroe Cnty NY Indl Dev Corp Rev Ref Nazareth Clg of Rochester Proj, Ser A | 5.00% | 10/01/23 | 847,026 | ||||
750,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev 2nd Gen Resolution, Sec CC-1 | 4.00% | 06/15/42 | 667,695 | ||||
4,285,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref 2nd Gen Resolution, Subser CC-1 | 4.00% | 06/15/33 | 4,233,507 | ||||
3,000,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Var Second Gen Resolution, Sub FF-2 (a) | 1.59% | 06/15/44 | 3,000,000 | ||||
5,000,000 | New York City NY Transitional Fin Auth Rev Adj Subord Future Tax Secured Fiscal 2019, Ser A-4 (a) | 1.59% | 08/01/45 | 5,000,000 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$1,000,000 | New York City NY Transitional Fin Auth Rev Future Tax Secured Sub Fiscal 2016, Ser A-1 | 5.00% | 08/01/37 | $1,021,049 | ||||
1,500,000 | New York City NY Transitional Fin Auth Rev Future Tax Sub, Subser E-1 | 5.00% | 02/01/37 | 1,528,816 | ||||
1,350,000 | New York City NY Transitional Fin Auth Rev Sub Future Tax Secured Fiscal 1999, Ser A, Subser E-1 | 5.00% | 02/01/36 | 1,387,860 | ||||
5,415,000 | New York City NY Transitional Fin Auth Rev Sub Future Tax Secured Fiscal 1999, Ser A, Subser E-1 | 5.00% | 02/01/40 | 5,520,184 | ||||
2,500,000 | New York City NY Transitional Fin Auth Rev Sub, Ser B-1 | 4.00% | 11/01/38 | 2,297,059 | ||||
10,000,000 | New York City NY Transitional Fin Auth Rev, Subser B-1 | 4.00% | 11/01/37 | 9,287,008 | ||||
500,000 | New York St Dorm Auth Revs Non St Supported Debt Ref-Northwell Hlth Oblig Grp, Ser A | 5.00% | 05/01/38 | 497,916 | ||||
1,000,000 | NY City NY Transitional Fin Auth Bldg Aid Rev Subord Ref, Ser S-2A | 5.00% | 07/15/34 | 1,045,697 | ||||
10,400,000 | NY NY Adj Fiscal 2020, Subser B-3 (a) | 2.53% | 10/01/46 | 10,400,000 | ||||
415,000 | NY NY Fiscal 2020, Ser B-1 | 4.00% | 10/01/37 | 384,439 | ||||
5,690,000 | NY NY Fiscal 2020, Ser B-1 | 4.00% | 10/01/40 | 5,096,180 | ||||
6,000,000 | NY NY Fiscal 2022, Subser D-1 | 5.25% | 05/01/39 | 6,438,397 | ||||
1,000,000 | NY NY, Ser B, Subser B-1 | 5.25% | 10/01/39 | 1,075,606 | ||||
2,925,000 | NY NY, Ser B, Subser B-1 | 5.25% | 10/01/41 | 3,115,010 | ||||
6,000,000 | NY NY, Ser F-1 | 5.00% | 03/01/43 | 6,167,746 | ||||
245,000 | NY St Dorm Auth Revs Non St Supported Debt Ref New Sch, Ser A | 5.00% | 07/01/31 | 257,693 | ||||
300,000 | NY St Dorm Auth Revs Non St Supported Debt Ref Orange Regl Med Ctr (c) | 5.00% | 12/01/25 | 301,227 | ||||
475,000 | NY St Dorm Auth Revs Non St Supported Debt Sch Dists Bd Fing Prog, Ser A, AGM | 4.00% | 10/01/35 | 449,002 | ||||
8,000,000 | NY St Dorm Auth Sales Tax Rev Ref Grp 3, Ser E | 5.00% | 03/15/38 | 8,308,796 | ||||
1,925,000 | NY St Dorm Auth St Personal Income Tax Rev Ref, Ser A | 3.00% | 03/15/42 | 1,393,251 | ||||
2,850,000 | NY St Dorm Auth St Personal Income Tax Rev Ref, Ser E | 5.00% | 03/15/34 | 2,940,411 | ||||
2,225,000 | NY St Thruway Auth Personal Income Tax Rev Ref Bidding Grp 3 | 5.00% | 03/15/40 | 2,323,448 | ||||
1,250,000 | NY St Transprtn Dev Corp Spl Fac Rev Delta Air Lines Inc LaGuardia Arpt Terminals C&D Redev, AMT | 4.00% | 10/01/30 | 1,172,196 | ||||
2,720,000 | NY St Transprtn Dev Corp Spl Fac Rev Delta Air Lines Inc LaGuardia Arpt Terminals C&D Redev, AMT | 5.00% | 10/01/35 | 2,622,050 | ||||
200,000 | NY St Urban Dev Corp Rev Ref St Personal Income Tax Rev, Ser C | 5.00% | 03/15/44 | 205,062 | ||||
2,000,000 | Onondaga Cnty NY Trust Cultural Res Rev Ref Syracuse Univ Proj | 5.00% | 12/01/39 | 2,089,011 | ||||
500,000 | Port Auth of NY & NJ NY Consol One Hundred Eighty Fifth Ref, AMT | 5.00% | 09/01/23 | 504,660 | ||||
465,000 | Port Auth of NY & NJ NY Ref Consol, Ser 186, AMT | 5.00% | 10/15/35 | 469,772 | ||||
5,000,000 | Port Auth of NY & NJ NY Ref, 194th Ser | 5.00% | 10/15/34 | 5,171,388 | ||||
700,000 | Suffolk NY Tobacco Asset Securitization Corp Tobacco Stlmt Ref Tobacco Stlmt Asset Backed Sr Bonds, Ser A-2 | 4.00% | 06/01/50 | 550,982 | ||||
8,000,000 | Tsasc Inc NY Tsasc Inc Rev Ref Turbo Sub, Ser B | 5.00% | 06/01/48 | 6,841,427 | ||||
400,000 | Yonkers NY Econ Dev Corp Eductnl Rev Chrt Sch Edu Excellence Proj, Ser A | 4.00% | 10/15/29 | 364,627 | ||||
118,418,311 | ||||||||
North Carolina – 0.9% | ||||||||
250,000 | Buncombe Cnty NC Ltd Oblig Ref Rev, Ser A | 5.00% | 06/01/29 | 273,292 | ||||
890,000 | Charlotte NC Arpt Rev Charlotte Douglas Intl Arp, Ser B, AMT | 5.00% | 07/01/29 | 921,093 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
North Carolina (Continued) | ||||||||
$575,000 | Charlotte-Mecklenburg NC Hosp Auth Hlthcare Sys Rev Ref Carolinas Hlthcare Sys, Ser A | 5.00% | 01/15/34 | $588,116 | ||||
750,000 | Greenville NC Comb Enterprise Sys Rev Ref | 5.00% | 04/01/28 | 789,460 | ||||
1,330,000 | Monroe NC Comb Enterprise Sys Rev Ref | 5.00% | 03/01/28 | 1,391,568 | ||||
1,000,000 | NC St Agric & Tech Univ Ref Gen, Ser A | 5.00% | 10/01/40 | 1,024,138 | ||||
400,000 | NC St Capital Facs Fin Agy Eductnl Facs Rev Ref High Point Univ | 5.00% | 05/01/28 | 421,243 | ||||
900,000 | NC St Capital Facs Fin Agy Stdt Rev Ref Hsg NC A&T Univ Fdtn Proj, Ser A, AGC | 5.00% | 06/01/26 | 931,304 | ||||
1,270,000 | NC St Med Care Commn Hlthcare Facs Rev the Presbyterian Homes Oblig Grp, Ser A | 5.00% | 10/01/45 | 1,176,881 | ||||
1,500,000 | NC St Med Care Commn Retmnt Facs Rev Pennybyrn at Maryfield Proj, Ser A | 5.00% | 10/01/50 | 1,319,963 | ||||
1,000,000 | NC St Med Care Commn Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A | 5.00% | 10/01/35 | 992,446 | ||||
630,000 | NC St Med Care Commn Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A (Pre-refunded maturity 10/01/23) | 5.00% | 10/01/29 | 658,039 | ||||
470,000 | NC St Med Care Commn Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A (Pre-refunded maturity 10/01/23) | 5.00% | 10/01/32 | 490,918 | ||||
750,000 | NC St Med Care Commn Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A (Pre-refunded maturity 10/01/23) | 5.00% | 10/01/37 | 783,379 | ||||
500,000 | NC St Med Care Commn Retmnt Facs Rev Ref United Methodist Retmnt Homes, Ser A (Pre-refunded maturity 10/01/23) | 5.00% | 10/01/47 | 522,253 | ||||
3,000,000 | NC St Turnpike Auth Ref Sr Lien, AGM | 5.00% | 01/01/38 | 3,084,815 | ||||
15,368,908 | ||||||||
North Dakota – 0.0% | ||||||||
500,000 | Grand Forks ND Hlthcare Sys Rev Altru Hlth Sys Ref | 4.00% | 12/01/36 | 433,118 | ||||
Ohio – 3.4% | ||||||||
750,000 | Akron Bath Copley Jt Twp OH Hosp Dist Ref Summa Hlth Oblig Grp Hosp Facs Rev | 4.00% | 11/15/35 | 635,458 | ||||
900,000 | Akron Bath Copley Jt Twp OH Hosp Dist Ref Summa Hlth Oblig Grp Hosp Facs Rev | 4.00% | 11/15/36 | 754,426 | ||||
2,600,000 | Allen Cnty OH Hosp Facs Rev Ref, Ser A | 5.00% | 08/01/42 | 2,637,552 | ||||
1,500,000 | American Muni Pwr OH Inc OH Rev Ref Fremont Energy Ctr Proj, Ser A | 4.00% | 02/15/36 | 1,359,841 | ||||
500,000 | American Muni Pwr OH Inc OH Rev Ref Fremont Energy Ctr Proj, Ser A | 4.00% | 02/15/37 | 448,320 | ||||
5,000,000 | American Muni Pwr OH Inc OH Rev Ref Prairie St Energy Cmps Proj, Ser A | 4.00% | 02/15/36 | 4,532,804 | ||||
100,000 | Bowling Green OH St Univ Ref, Ser A | 4.00% | 06/01/38 | 93,417 | ||||
195,000 | Bowling Green OH St Univ Ref, Ser A | 4.00% | 06/01/39 | 180,935 | ||||
3,000,000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Ser A-2 Class 1 | 4.00% | 06/01/37 | 2,712,181 | ||||
2,400,000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Ser B-2, Class 2 | 5.00% | 06/01/55 | 2,022,870 | ||||
135,000 | Butler Cnty OH Hosp Facs Ref UC Hlth | 5.00% | 11/15/30 | 137,874 | ||||
1,500,000 | Butler Cnty OH Hosp Facs Ref UC Hlth | 5.00% | 11/15/31 | 1,537,263 | ||||
1,000,000 | Butler Cnty OH Hosp Facs Ref UC Hlth | 5.00% | 11/15/32 | 1,022,289 | ||||
370,000 | Butler Cnty OH Port Auth Econdev Lease Rev Ref Cmnty First Solutions Oblg Grp Proj, Ser A | 4.00% | 05/15/46 | 318,920 | ||||
1,000,000 | Chillicothe OH City Sch Dist Ref, AGM | 4.00% | 12/01/31 | 1,009,359 | ||||
80,000 | Cleveland OH Pub Pwr Sys Rev Prerefunded Ref, Ser A, AGM | 5.00% | 11/15/24 | 82,678 | ||||
1,000,000 | Cleveland OH Pub Pwr Sys Rev Ref, Ser A, AGM | 4.00% | 11/15/35 | 940,020 | ||||
420,000 | Cleveland OH Pub Pwr Sys Rev Unrefunded Ref, Ser A, AGM | 5.00% | 11/15/24 | 433,216 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Ohio (Continued) | ||||||||
$310,000 | Hamilton Cnty OH Hosp Facs Rev Ref Trihealth Inc Oblig Grp Proj, Ser A | 5.00% | 08/15/31 | $321,587 | ||||
250,000 | Hamilton Cnty OH Hosp Facs Rev Ref Trihealth Inc Oblig Grp Proj, Ser A | 5.00% | 08/15/32 | 258,028 | ||||
380,000 | Hamilton Cnty OH Hosp Facs Rev Ref Trihealth Inc Oblig Grp Proj, Ser A | 5.00% | 08/15/33 | 390,527 | ||||
2,100,000 | Hamilton Cnty OH Hosp Facs Rev UC Hlth | 4.00% | 09/15/50 | 1,679,019 | ||||
960,000 | Miami Cnty OH Hosp Facs Rev Ref & Impt Kettering Hlth Network Oblig Grp | 5.00% | 08/01/32 | 989,243 | ||||
1,000,000 | Miami Cnty OH Hosp Facs Rev Ref & Impt Kettering Hlth Network Oblig Grp | 5.00% | 08/01/33 | 1,026,061 | ||||
3,000,000 | Miami Cnty OH Hosp Facs Rev Ref & Impt Kettering Hlth Network Oblig Grp | 5.00% | 08/01/36 | 3,039,692 | ||||
575,000 | Miamisburg OH City Sch Dist Ref (Pre-refunded maturity 12/01/25) | 5.00% | 12/01/35 | 604,186 | ||||
400,000 | Montgomery Cnty OH Hosp Rev Ref Kettering Hlth Network Oblig Grp Proj | 4.00% | 08/01/37 | 360,950 | ||||
1,375,000 | Montgomery Cnty OH Hosp Rev Ref Kettering Hlth Network Oblig Grp Proj | 4.00% | 08/01/41 | 1,199,025 | ||||
1,760,000 | N W OH Loc Sch Dist Hamilton & Butler Cntys Sch Impt (Pre-refunded maturity 12/01/23) | 5.00% | 12/01/45 | 1,792,688 | ||||
600,000 | NE OH Med Univ Gen Recpts Ref, Ser A | 4.00% | 12/01/35 | 547,479 | ||||
5,750,000 | OH St Air Quality Dev Auth Exempt Facs Rev AMG Vanadium Proj, AMT (c) | 5.00% | 07/01/49 | 4,855,088 | ||||
1,000,000 | 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 | 949,898 | ||||
2,225,000 | OH St Air Quality Dev Auth Ref OH Vly Elec Corp Proj, Ser A | 3.25% | 09/01/29 | 1,982,659 | ||||
1,000,000 | OH St Air Quality Dev Auth Var Ref Duke Energy Corp Proj, Ser A, AMT (Mandatory put 06/01/27) | 4.25% | 11/01/39 | 976,794 | ||||
2,000,000 | OH St Air Quality Dev Auth Var Ref Duke Energy Corp Proj, Ser B (Mandatory put 06/01/27) | 4.00% | 09/01/30 | 1,952,509 | ||||
1,000,000 | OH St Hgr Eductnl Fac Commn Denison Univ Proj | 5.00% | 11/01/38 | 1,043,977 | ||||
1,000,000 | OH St Hgr Eductnl Fac Commn Ref Rev Judson Oblig Grp 2020 Proj, Ser A | 5.00% | 12/01/45 | 890,730 | ||||
2,455,000 | OH St Hosp Rev Ref Univ Hosps Hlth Sys Inc, Ser E | 4.00% | 01/15/40 | 2,074,651 | ||||
150,000 | OH St Hosp Rev Ref, Ser A | 5.00% | 01/15/33 | 154,453 | ||||
325,000 | OH St Hosp Rev Ref, Ser A | 5.00% | 01/15/35 | 332,285 | ||||
500,000 | OH St Hosp Rev Ref, Ser A | 4.00% | 01/15/38 | 433,927 | ||||
2,500,000 | OH St, Ser T | 5.00% | 05/01/32 | 2,646,428 | ||||
6,325,000 | Ross Cnty OH Hosp Rev Ref Adena Hlth Sys Oblig Grp Proj | 5.00% | 12/01/39 | 6,330,503 | ||||
550,000 | Sharonville OH Spl Oblg Rev | 4.00% | 12/01/39 | 504,927 | ||||
500,000 | Sharonville OH Spl Oblg Rev | 4.00% | 12/01/40 | 455,162 | ||||
1,500,000 | Sthrn OH Port Exempt Fac Rev Purecycle Proj, Ser A, AMT (c) | 7.00% | 12/01/42 | 1,204,684 | ||||
59,856,583 | ||||||||
Oklahoma – 0.8% | ||||||||
900,000 | Catoosa OK Indl Auth Sales Tax Rev | 4.50% | 10/01/32 | 804,958 | ||||
6,000,000 | OK St Dev Fin Auth Sr OK Proton Ctr, Ser A1 (c) | 7.25% | 09/01/51 | 5,691,664 | ||||
500,000 | OK St Wtr Res Brd Revolving Fund Rev 2019 Master Trust | 4.00% | 04/01/33 | 500,110 | ||||
2,815,000 | Oklahoma City OK Arpt Trust Junior Lien, AMT | 5.00% | 07/01/34 | 2,816,470 | ||||
1,000,000 | Oklahoma Cnty OK Fin Auth Eductnl Facs Lease Rev Midwest City De City Pub Schs Proj | 5.00% | 10/01/25 | 1,037,774 | ||||
1,000,000 | Oklahoma Cnty OK Fin Auth Eductnl Facs Lease Rev Midwest City De City Pub Schs Proj | 5.00% | 10/01/26 | 1,047,362 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Oklahoma (Continued) | ||||||||
$1,000,000 | Tulsa Cnty OK Indl Auth Sr Living Cmnty Rev Ref Montereau Inc Proj | 5.00% | 11/15/25 | $1,005,288 | ||||
250,000 | Tulsa Cnty OK Indl Auth Sr Living Cmnty Rev Ref Montereau Inc Proj | 5.00% | 11/15/26 | 251,264 | ||||
1,000,000 | Weatherford OK Indl Trust Eductnl Facs Lease Rev Weatherford Pub Schs Proj | 5.00% | 03/01/31 | 1,074,872 | ||||
14,229,762 | ||||||||
Oregon – 1.2% | ||||||||
500,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A | 5.25% | 11/15/50 | 422,087 | ||||
170,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Sr Living Willamette View Proj, Ser A | 4.00% | 05/15/26 | 165,299 | ||||
250,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Sr Living Willamette View Proj, Ser A | 5.00% | 11/15/32 | 242,136 | ||||
1,250,000 | Medford OR Hosp Facs Auth Rev Ref Asante Proj, Ser A | 5.00% | 08/15/34 | 1,288,838 | ||||
4,000,000 | OR St Dept of Admin Svcs Lottery Rev, Ser A | 5.00% | 04/01/34 | 4,187,114 | ||||
2,035,000 | OR St Dept of Admin Svcs Lottery Rev, Ser A | 5.00% | 04/01/35 | 2,124,312 | ||||
1,100,000 | OR St Facs Auth Rev Ref Univ Portland, Ser A | 5.00% | 04/01/32 | 1,119,088 | ||||
500,000 | Oregon City OR | 4.00% | 06/01/37 | 492,579 | ||||
1,890,000 | Port of Portland OR Arpt Rev Portland Intl Arpt, Ser 25B, AMT | 5.00% | 07/01/29 | 1,950,518 | ||||
2,500,000 | Portland OR Swr Sys Rev 2nd Lien, Ser A | 4.50% | 05/01/31 | 2,564,069 | ||||
4,950,000 | Tri Cnty OR Met Transprtn Dist, Ser A, GARVEE | 5.00% | 10/01/32 | 5,185,597 | ||||
725,000 | Tri-Cnty OR Met Transprtn Dist, Ser A | 4.00% | 09/01/39 | 679,436 | ||||
1,000,000 | Union Cnty OR Hosp Fac Auth Grande Ronde Hosp | 5.00% | 07/01/47 | 914,127 | ||||
21,335,200 | ||||||||
Pennsylvania – 6.4% | ||||||||
1,500,000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network Oblig Grp Issue, Ser A | 5.00% | 04/01/32 | 1,538,918 | ||||
505,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Ctr, Ser A | 5.00% | 07/15/34 | 520,551 | ||||
3,050,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Ctr, Ser A | 4.00% | 07/15/35 | 2,780,510 | ||||
2,180,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Ctr, Ser A | 4.00% | 07/15/36 | 1,964,498 | ||||
2,095,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Ctr, Ser A | 4.00% | 07/15/37 | 1,861,568 | ||||
2,650,000 | Allegheny Cnty PA Hosp Dev Auth Ref Univ Pittsburgh Med Ctr, Ser A | 4.00% | 07/15/38 | 2,315,383 | ||||
1,075,000 | Allegheny Vly PA Jt Sewage Auth Green Bond, BAM | 4.00% | 08/01/47 | 913,025 | ||||
900,000 | Armstrong PA Sch Dist Ref, Ser A, BAM | 5.00% | 03/15/31 | 976,652 | ||||
500,000 | Armstrong PA Sch Dist Ref, Ser A, BAM | 4.00% | 03/15/37 | 468,276 | ||||
460,000 | Berks Cnty PA Indl Dev Auth Hlthcare Facs Rev Ref Highlands at Wyomissing, Ser A | 5.00% | 05/15/32 | 452,802 | ||||
735,000 | Bucks Cnty PA Indl Dev Auth Hosp Rev St Luke’s Univ Hlth Network Proj | 4.00% | 08/15/38 | 646,249 | ||||
1,050,000 | Bucks Cnty PA Indl Dev Auth Hosp Rev St Luke’s Univ Hlth Network Proj | 4.00% | 08/15/44 | 864,145 | ||||
1,185,000 | Bucks Cnty PA Indl Dev Auth Ref Pennswood Vlg Proj, Ser A | 5.00% | 10/01/32 | 1,190,582 | ||||
415,000 | Bucks Cnty PA Indl Dev Auth Ref Pennswood Vlg Proj, Ser A | 5.00% | 10/01/33 | 416,416 | ||||
765,000 | Chester Cnty PA Indl Dev Auth Renaissance Acdmy Chrt Sch | 5.00% | 10/01/34 | 758,562 | ||||
1,000,000 | Cmwlth Fing Auth PA Tobacco Master Stlmt Payment Rev Tobacco Master Stlmt Payment Bonds | 5.00% | 06/01/25 | 1,025,100 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$410,000 | Cmwlth Fing Auth PA Tobacco Master Stlmt Payment Rev Tobacco Master Stlmt Payment Bonds | 5.00% | 06/01/26 | $423,501 | ||||
500,000 | Colonial PA Sch Dist | 5.00% | 02/15/36 | 514,859 | ||||
300,000 | Colonial PA Sch Dist, Ser A | 5.00% | 02/15/34 | 311,596 | ||||
270,000 | Conestoga Vly PA Sch Dist | 4.00% | 02/01/31 | 274,875 | ||||
300,000 | Conestoga Vly PA Sch Dist | 4.00% | 02/01/32 | 303,421 | ||||
145,000 | Cumberland Cnty PA Muni Auth Prerefunded Ref Diakon Lutheran Ministries Proj | 5.00% | 01/01/30 | 145,995 | ||||
350,000 | Cumberland Cnty PA Muni Auth Prerefunded Ref Diakon Lutheran Ministries Proj | 5.00% | 01/01/38 | 350,331 | ||||
50,000 | Cumberland Cnty PA Muni Auth Prerefunded Ref Diakon Lutheran Ministries Proj (Pre-refunded maturity 01/01/25) | 5.00% | 01/01/30 | 51,771 | ||||
105,000 | Cumberland Cnty PA Muni Auth Prerefunded Ref Diakon Lutheran Ministries Proj (Pre-refunded maturity 01/01/25) | 5.00% | 01/01/30 | 108,718 | ||||
65,000 | Cumberland Cnty PA Muni Auth Prerefunded Ref Diakon Lutheran Ministries Proj (Pre-refunded maturity 01/01/25) | 5.00% | 01/01/38 | 67,302 | ||||
285,000 | Cumberland Cnty PA Muni Auth Prerefunded Ref Diakon Lutheran Ministries Proj (Pre-refunded maturity 01/01/25) | 5.00% | 01/01/38 | 295,093 | ||||
1,150,000 | Cumberland Cnty PA Muni Auth Ref Diakon Lutheran Social Ministries | 5.00% | 01/01/25 | 1,169,729 | ||||
1,000,000 | Cumberland Cnty PA Muni Auth Ref Diakon Lutheran Social Ministries | 5.00% | 01/01/33 | 1,003,994 | ||||
1,660,000 | Cumberland Cnty PA Muni Auth Ref Messiah Vlg Proj | 5.00% | 07/01/28 | 1,618,375 | ||||
280,000 | Deer Creek PA Drain Basin Allegheny Cnty Swr Rev Ref, AGM | 4.00% | 12/01/34 | 275,847 | ||||
390,000 | Deer Creek PA Drain Basin Allegheny Cnty Swr Rev Ref, AGM | 4.00% | 12/01/35 | 381,080 | ||||
1,165,000 | Dover PA Area Sch Dist, BAM | 4.00% | 04/01/32 | 1,175,774 | ||||
100,000 | Dubois PA Hosp Auth Penn Highlands Hlthcare | 5.00% | 07/15/32 | 102,077 | ||||
115,000 | Dubois PA Hosp Auth Penn Highlands Hlthcare | 5.00% | 07/15/33 | 116,952 | ||||
245,000 | Dubois PA Hosp Auth Penn Highlands Hlthcare | 5.00% | 07/15/34 | 248,351 | ||||
290,000 | Dubois PA Hosp Auth Penn Highlands Hlthcare | 5.00% | 07/15/35 | 292,498 | ||||
715,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/28 | 733,877 | ||||
770,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/29 | 789,202 | ||||
2,500,000 | Geisinger PA Auth Hlth Sys Rev Ref Geisinger Hlth Sys, Ser A-1 | 5.00% | 02/15/45 | 2,464,264 | ||||
760,000 | Hermitage PA Muni Auth Ref, Ser C | 4.00% | 02/01/31 | 771,989 | ||||
515,000 | Hermitage PA Muni Auth Ref, Ser C | 4.00% | 02/01/33 | 516,437 | ||||
1,730,000 | Kiski Vly PA Wtr Poll Control Auth Ref, AGM | 4.00% | 09/01/42 | 1,553,296 | ||||
655,000 | Kutztown PA Area Sch Dist, AGM | 4.00% | 03/15/36 | 622,778 | ||||
480,000 | Lancaster Cnty PA Hosp Auth Hlthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/30 | 460,294 | ||||
1,110,000 | Lancaster Cnty PA Hosp Auth Hlthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/38 | 1,002,577 | ||||
1,000,000 | Lancaster Cnty PA Hosp Auth Penn St Hlth | 5.00% | 11/01/38 | 1,017,173 | ||||
1,000,000 | Lancaster Cnty PA Hosp Auth Penn St Hlth | 5.00% | 11/01/39 | 1,013,276 | ||||
1,735,000 | Lancaster Cnty PA Hosp Auth Penn St Hlth | 5.00% | 11/01/40 | 1,752,259 | ||||
750,000 | Lancaster Cnty PA Hosp Auth Ref, St Annes Retmnt Cmnty Inc Proj | 5.00% | 03/01/45 | 606,278 | ||||
750,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/46 | 555,213 | ||||
2,415,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/51 | 1,718,661 | ||||
405,000 | Lebanon PA Auth Swr Rev Ref Green Bond, BAM | 4.00% | 12/15/29 | 414,165 | ||||
420,000 | Lebanon PA Auth Swr Rev Ref Green Bond, BAM | 4.00% | 12/15/30 | 426,978 | ||||
3,000,000 | Lehigh Cnty PA Indl Dev Auth Ref Ppl Elec Util Corp Proj Remk, Ser A | 3.00% | 09/01/29 | 2,765,630 | ||||
500,000 | Maxatawny Twp PA Muni Auth Rev Diakon Lutheran Social Ministries Proj, Ser A | 5.00% | 01/01/41 | 473,122 | ||||
1,550,000 | Mechanicsburg PA Area Sch Dist, Ser A | 4.00% | 03/01/36 | 1,500,392 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$1,090,000 | Mechanicsburg PA Area Sch Dist, Ser A | 4.00% | 03/01/38 | $995,983 | ||||
300,000 | Mifflinburg PA Area Sch Dist Ref, Ser A | 4.00% | 06/15/35 | 292,623 | ||||
550,000 | Mifflinburg PA Area Sch Dist Ref, Ser A | 4.00% | 06/15/36 | 522,722 | ||||
610,000 | Mifflinburg PA Area Sch Dist Ref, Ser A | 4.00% | 06/15/38 | 563,690 | ||||
1,000,000 | Montgomery Cnty PA Hgr Edu & Hlth Auth Ref Thomas Jefferson Univ Proj | 4.00% | 09/01/34 | 931,312 | ||||
1,000,000 | Montgomery Cnty PA Hgr Edu & Hlth Auth Ref Thomas Jefferson Univ Proj | 4.00% | 09/01/35 | 920,567 | ||||
2,000,000 | Montgomery Cnty PA Hgr Edu & Hlth Auth Ref Thomas Jefferson Univ Proj | 4.00% | 09/01/44 | 1,699,760 | ||||
480,000 | Montgomery Cnty PA Indl Dev Auth Ref Meadowood Sr Living Proj, Ser A | 5.00% | 12/01/26 | 488,301 | ||||
100,000 | Montgomery Cnty PA Indl Dev Auth Ref Waverly Heights Ltd Proj | 4.00% | 12/01/33 | 96,641 | ||||
200,000 | Montgomery Cnty PA Indl Dev Auth Ref Waverly Heights Ltd Proj | 4.00% | 12/01/34 | 191,550 | ||||
580,000 | Montgomery Cnty PA Indl Dev Auth Ref Waverly Heights Ltd Proj | 5.00% | 12/01/44 | 584,450 | ||||
140,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/25 | 142,149 | ||||
225,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/26 | 229,000 | ||||
540,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/31 | 545,606 | ||||
1,800,000 | Northampton Cnty PA Gen Purp Auth Hosp Rev Ref St Luke’s Univ Hlth Network Proj, Ser A | 5.00% | 08/15/28 | 1,846,484 | ||||
500,000 | PA St 2nd, Ser CR, AGM | 4.00% | 09/15/31 | 502,090 | ||||
50,000 | PA St Econ Dev Fin Auth Rev UPMC Rev, Ser B | 4.00% | 03/15/40 | 42,684 | ||||
5,000,000 | PA St Econ Dev Fing Auth Solid Waste Disposal Rev Var Waste Mgmt Inc Proj Remk, AMT (Mandatory put 11/01/22) | 2.25% | 08/01/45 | 5,000,160 | ||||
1,105,000 | PA St Hgr Eductnl Facs Auth Rev Ref Drexel Univ | 5.00% | 05/01/34 | 1,121,618 | ||||
2,810,000 | PA St Hsg Fin Agy SF Mtge Rev Non Ace, Ser 123B | 3.45% | 10/01/32 | 2,552,358 | ||||
880,000 | PA St Hsg Fin Agy SF Mtge Rev Non Ace, Ser 125B, AMT | 3.70% | 10/01/47 | 821,767 | ||||
5,410,000 | PA St Hsg Fin Agy SF Mtge Rev, Ser 127B | 3.55% | 10/01/33 | 4,870,116 | ||||
565,000 | PA St Turnpike Commn Turnpike Rev Conv Cap Apprec, Subser E | 6.38% | 12/01/38 | 625,599 | ||||
1,000,000 | PA St Turnpike Commn Turnpike Rev Ref | 5.00% | 12/01/33 | 1,025,861 | ||||
550,000 | PA St Turnpike Commn Turnpike Rev Subord, Ser A-1 | 5.00% | 12/01/30 | 568,916 | ||||
4,500,000 | PA St Turnpike Commn Turnpike Rev, Subser A | 4.00% | 12/01/45 | 3,740,421 | ||||
200,000 | Parkland PA Sch Dist, Ser B | 4.00% | 02/01/34 | 199,031 | ||||
300,000 | Parkland PA Sch Dist, Ser B | 4.00% | 02/01/35 | 293,987 | ||||
1,200,000 | Philadelphia PA Arpt Rev Ref Priv Activity, AGM, AMT | 4.00% | 07/01/38 | 1,049,383 | ||||
750,000 | Philadelphia PA Arpt Rev Ref Priv Activity, AGM, AMT | 4.00% | 07/01/40 | 642,821 | ||||
620,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Mast Chrt Sch Proj | 5.00% | 08/01/40 | 584,382 | ||||
375,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Mast Chrt Sch Proj | 5.00% | 08/01/50 | 337,828 | ||||
2,250,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Philadelphia E&T Chrt High Sch, Ser A | 4.00% | 06/01/41 | 1,712,377 | ||||
290,000 | Philadelphia PA Gas Wks Rev Ref | 5.00% | 08/01/25 | 299,604 | ||||
1,625,000 | Philadelphia PA Gas Wks Rev Ref | 5.00% | 08/01/29 | 1,674,957 | ||||
1,000,000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, 14th Ser | 5.00% | 10/01/29 | 1,037,756 | ||||
2,000,000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, 14th Ser | 5.00% | 10/01/34 | 2,045,638 | ||||
5,235,000 | Philadelphia PA Gas Wks Rev Ref 1998 General Ordinance, 15th Ser | 5.00% | 08/01/42 | 5,284,172 | ||||
500,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/26 | 524,028 | ||||
500,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/27 | 528,421 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$750,000 | Philadelphia PA Ref, Ser A (Pre-refunded maturity 01/15/24) | 5.25% | 07/15/28 | $767,978 | ||||
3,260,000 | Philadelphia PA, Ser B, BAM | 5.00% | 02/01/34 | 3,504,088 | ||||
300,000 | Pittsburgh PA Wtr & Swr Auth, Ser B, AGM | 5.00% | 09/01/32 | 319,820 | ||||
205,000 | Pittsburgh PA Wtr & Swr Auth, Ser B, AGM | 5.00% | 09/01/34 | 216,878 | ||||
2,000,000 | S Estrn PA Transprtn Auth Asset Impt Prog | 5.25% | 06/01/40 | 2,162,407 | ||||
2,250,000 | S Estrn PA Transprtn Auth Asset Impt Prog | 5.25% | 06/01/41 | 2,419,498 | ||||
300,000 | S Wayne Cnty PA Wtr & Swr Auth Wtr & Swr Rev Ref, BAM | 4.00% | 02/15/34 | 298,290 | ||||
325,000 | S Wayne Cnty PA Wtr & Swr Auth Wtr & Swr Rev Ref, BAM | 4.00% | 02/15/35 | 319,378 | ||||
235,000 | S Wayne Cnty PA Wtr & Swr Auth Wtr & Swr Rev Ref, BAM | 4.00% | 02/15/36 | 229,119 | ||||
1,835,000 | Scranton PA Sch Dist | 4.00% | 12/01/42 | 1,597,039 | ||||
405,000 | Southcentrl PA General Auth Rev Ref Hanover Hosp Inc | 5.00% | 12/01/23 | 410,667 | ||||
390,000 | Upper Darby PA Sch Dist, AGM | 4.00% | 04/01/31 | 395,011 | ||||
250,000 | Upper Darby PA Sch Dist, AGM | 4.00% | 04/01/34 | 250,493 | ||||
300,000 | Upper Darby PA Sch Dist, AGM | 4.00% | 04/01/35 | 293,265 | ||||
250,000 | Upper Darby PA Sch Dist, AGM | 4.00% | 04/01/36 | 238,083 | ||||
200,000 | Upper Darby PA Sch Dist, Ser A, BAM | 4.00% | 04/01/39 | 181,752 | ||||
300,000 | Upper Darby PA Sch Dist, Ser A, BAM | 4.00% | 04/01/40 | 269,596 | ||||
300,000 | Upper Darby PA Sch Dist, Ser A, BAM | 4.00% | 04/01/42 | 267,642 | ||||
245,000 | Upper Darby PA Sch Dist, Ser A, BAM | 4.00% | 04/01/43 | 216,283 | ||||
105,000 | W Cornwall Twp PA Muni Auth Ref Lebanon Vly Brethren Home Proj, Ser A | 4.00% | 11/15/28 | 100,270 | ||||
135,000 | W Cornwall Twp PA Muni Auth Ref Lebanon Vly Brethren Home Proj, Ser A | 4.00% | 11/15/29 | 127,456 | ||||
215,000 | W Cornwall Twp PA Muni Auth Ref Lebanon Vly Brethren Home Proj, Ser A | 4.00% | 11/15/36 | 186,216 | ||||
1,970,000 | Westmoreland Cnty PA Muni Auth Ref, BAM | 5.00% | 08/15/42 | 2,001,106 | ||||
112,992,385 | ||||||||
Puerto Rico – 0.6% | ||||||||
6,558,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.50% | 07/01/34 | 5,962,140 | ||||
429,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (f) | 07/01/27 | 334,606 | ||||
1,536,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (f) | 07/01/31 | 939,284 | ||||
3,500,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2 | 4.33% | 07/01/40 | 2,944,212 | ||||
10,180,242 | ||||||||
Rhode Island – 0.3% | ||||||||
150,000 | Providence RI Pub Bldgs Auth Rev, Ser B, AGM | 5.00% | 06/15/31 | 161,585 | ||||
320,000 | Providence RI Pub Bldgs Auth Rev, Ser B, AGM | 5.00% | 06/15/33 | 338,806 | ||||
230,000 | Providence RI Pub Bldgs Auth Rev, Ser B, AGM | 5.00% | 06/15/35 | 241,047 | ||||
1,125,000 | RI St Hlth & Eductnl Bldg Corp Rev Ref Hosp Fing Lifespan Oblig Grp | 5.00% | 05/15/29 | 1,131,260 | ||||
1,460,000 | RI St Hlth & Eductnl Bldg Corp Rev Ref Hosp Fing Lifespan Oblig Grp | 5.00% | 05/15/32 | 1,445,639 | ||||
1,700,000 | RI St Hlth & Eductnl Bldg Corp Rev Ref Hosp Fing Lifespan Oblig Grp | 5.00% | 05/15/39 | 1,602,440 | ||||
4,920,777 | ||||||||
South Carolina – 0.4% | ||||||||
2,250,000 | Berkeley Cnty SC Assmnt Rev Nexton Impt Dist | 4.25% | 11/01/40 | 1,793,776 | ||||
1,000,000 | Greenville SC Hosp Sys Brd Hosp Facs Rev, Ser B | 5.00% | 05/01/30 | 1,008,791 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
South Carolina (Continued) | ||||||||
$25,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 3.13% | 12/01/22 | $24,982 | ||||
1,310,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 5.00% | 12/01/26 | 1,301,493 | ||||
1,000,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 5.00% | 12/01/31 | 966,053 | ||||
1,075,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Woodlands at Furman Proj, Ser A | 5.00% | 11/15/54 | 879,779 | ||||
500,000 | SC St Jobs Econ Dev Auth Hlth Facs Rev Ref Lutheran Homes of SC Inc | 5.00% | 05/01/42 | 405,898 | ||||
30,000 | SC St Jobs Econ Dev Auth Hosp Rev Ref Palmetto Hlth, Ser A | 5.00% | 08/01/23 | 30,394 | ||||
355,000 | SC St Pub Svc Auth Rev Ref, Ser A | 4.00% | 12/01/35 | 321,107 | ||||
6,732,273 | ||||||||
South Dakota – 0.2% | ||||||||
1,000,000 | Lincoln Cnty SD Econ Dev Rev Ref Augustana Clg Assoc Proj, Ser A | 4.00% | 08/01/51 | 718,475 | ||||
510,000 | SD St Brd of Rgts Hsg & Auxiliary Fac Sys Rev | 5.00% | 04/01/31 | 532,641 | ||||
505,000 | SD St Brd of Rgts Hsg & Auxiliary Fac Sys Rev | 5.00% | 04/01/32 | 525,740 | ||||
1,000,000 | SD St Brd of Rgts Hsg & Auxiliary Fac Sys Rev Ref Hsg & Auxiliary Facs Sys | 5.00% | 04/01/30 | 1,064,215 | ||||
420,000 | SD St Brd of Rgts Hsg & Auxiliary Fac Sys Rev, Ser B | 5.00% | 04/01/29 | 431,768 | ||||
105,000 | SD St Hlth & Eductnl Facs Auth Ref Sanford Oblig Grp | 5.00% | 11/01/35 | 106,156 | ||||
200,000 | SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty Issue | 3.00% | 09/01/28 | 184,628 | ||||
640,000 | SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty Issue | 3.00% | 09/01/32 | 541,168 | ||||
4,104,791 | ||||||||
Tennessee – 1.5% | ||||||||
250,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Commonspirit Hlth, Ser A-1 | 5.00% | 08/01/34 | 252,593 | ||||
200,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/37 | 174,053 | ||||
825,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Commonspirit Hlth, Ser A-2 | 5.00% | 08/01/34 | 833,557 | ||||
2,500,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Commonspirit Hlth, Ser A-2 | 5.00% | 08/01/44 | 2,387,502 | ||||
325,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Stdt Hsg CDFI Phase I | 5.00% | 10/01/23 | 326,166 | ||||
865,000 | Met Govt Nashville & Davidson Cnty TN Elec Rev Sys, Ser A | 5.00% | 05/15/35 | 903,865 | ||||
1,385,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Lipscomb Univ Proj, Ser A | 5.00% | 10/01/29 | 1,398,994 | ||||
600,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Trevecca Nazarene Univ Proj | 5.00% | 10/01/29 | 599,519 | ||||
400,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Trevecca Nazarene Univ Proj | 5.00% | 10/01/34 | 386,581 | ||||
700,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Ref Trevecca Nazarene Univ Proj | 5.00% | 10/01/39 | 656,285 | ||||
3,000,000 | Met Govt Nashville & Davidson Cnty TN, Ser A | 4.00% | 01/01/37 | 2,850,185 | ||||
4,000,000 | TN Energy Acq Corp Cmdy Proj Rev, Ser A (Mandatory put 11/01/31) | 5.00% | 05/01/52 | 3,899,902 | ||||
4,000,000 | TN St Energy Acq Corp Gas Rev (Mandatory put 11/01/25) | 4.00% | 11/01/49 | 3,889,144 | ||||
3,435,000 | TN St Energy Acq Corp Gas Rev Proj, Ser A (Mandatory put 05/01/23) | 4.00% | 05/01/48 | 3,427,666 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Tennessee (Continued) | ||||||||
$5,000,000 | TN St Sch Bond Auth Hgr Eductnl Facs 2nd Prog Ref, Ser B (Pre-refunded maturity 11/01/25) | 5.00% | 11/01/45 | $5,240,305 | ||||
27,226,317 | ||||||||
Texas – 6.7% | ||||||||
975,000 | Arlington TX Hgr Edu Fin Corp Edu Rev | 5.00% | 08/15/32 | 1,041,951 | ||||
415,000 | Arlington TX Hgr Edu Fin Corp Edu Rev | 5.00% | 08/15/33 | 441,020 | ||||
525,000 | Arlington TX Hgr Edu Fin Corp Edu Rev | 5.00% | 08/15/34 | 555,435 | ||||
565,000 | Arlington TX Hgr Edu Fin Corp Edu Rev | 4.00% | 08/15/35 | 531,371 | ||||
875,000 | Arlington TX Hgr Edu Fin Corp Edu Rev | 4.00% | 08/15/36 | 815,659 | ||||
1,645,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Legacy Trad Schs TX Proj, Ser A | 4.13% | 02/15/41 | 1,214,731 | ||||
450,000 | Austin TX Arpt Sys Rev, AMT | 5.00% | 11/15/33 | 451,361 | ||||
350,000 | Austin TX Arpt Sys Rev, AMT | 5.00% | 11/15/35 | 347,227 | ||||
4,150,000 | Austin TX Arpt Sys Rev, Ser B, AMT | 5.00% | 11/15/37 | 4,095,427 | ||||
4,000,000 | Austin TX Wtr & Wstwtr Sys Rev Ref | 5.00% | 11/15/42 | 4,153,990 | ||||
910,000 | Bexar Cnty Tx Rev Ref Tax Exempt Venue Proj | 4.00% | 08/15/38 | 831,644 | ||||
600,000 | Brd of Managers TX Jt Guadalupe Cnty City of Seguin Hosp Mtg Ref | 5.00% | 12/01/24 | 602,825 | ||||
305,000 | Celina TX Spl Assmnt Rev Ref the Lakes at Mustang Ranch Pub Impt Dt Phase #1 Proj, BAM | 4.00% | 09/01/29 | 301,759 | ||||
350,000 | Centrl TX Regl Mobility Auth Rev Ref | 5.00% | 01/01/27 | 362,574 | ||||
600,000 | Centrl TX Regl Mobility Auth Rev Ref Sub Lien (Pre-refunded maturity 01/01/23) | 5.00% | 01/01/33 | 601,675 | ||||
850,000 | Centrl TX Regl Mobility Auth Rev Sr Lien, Ser A (Pre-refunded maturity 07/01/25) | 5.00% | 01/01/29 | 886,587 | ||||
130,000 | Centrl TX Regl Mobility Auth Rev, Ser B | 5.00% | 01/01/35 | 134,229 | ||||
700,000 | Centrl TX Regl Mobility Auth Rev, Ser B | 5.00% | 01/01/38 | 708,892 | ||||
445,000 | Centrl TX Regl Mobility Auth Rev, Ser B | 5.00% | 01/01/39 | 448,395 | ||||
600,000 | Centrl TX Regl Mobility Auth Rev, Ser B | 4.00% | 01/01/40 | 522,538 | ||||
640,000 | Centrl TX Regl Mobility Auth Rev, Ser B | 4.00% | 01/01/41 | 547,525 | ||||
500,000 | Clifton TX Hgr Edu Fin Corp Edu Rev Idea Pub Schs | 5.00% | 08/15/32 | 500,349 | ||||
840,000 | Clifton TX Hgr Edu Fin Corp Edu Rev, Ser A | 4.00% | 12/01/25 | 816,868 | ||||
415,000 | Corpus Christi TX Util Sys Rev Junior Lien, Ser B | 5.00% | 07/15/35 | 441,075 | ||||
1,300,000 | Dallas TX Area Rapid Transit Sales Tax Rev Ref, Ser A | 4.00% | 12/01/34 | 1,270,018 | ||||
490,000 | Dallas TX Hotel Occupancy Tax Rev Ref | 4.00% | 08/15/37 | 435,260 | ||||
4,350,000 | Dallas-Fort Worth TX Intl Arpt Rev Ref, Ser A | 4.00% | 11/01/36 | 4,040,370 | ||||
500,000 | El Paso TX Ref, Ser A | 4.00% | 08/15/36 | 474,065 | ||||
1,170,000 | Galveston Cnty TX Muni Util Dist #54 Ref | 2.50% | 12/01/31 | 910,849 | ||||
1,500,000 | Galveston TX Indep Sch Dist | 5.00% | 02/01/36 | 1,591,602 | ||||
1,750,000 | Galveston TX Indep Sch Dist | 5.00% | 02/01/37 | 1,849,317 | ||||
1,000,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Med Facs Rev Ref Baylor Clg of Med | 4.00% | 11/15/30 | 997,849 | ||||
1,100,000 | Harris Cnty TX Ref Sr Lien Toll Road, Ser B | 5.00% | 08/15/36 | 1,132,200 | ||||
2,600,000 | Harris Cnty TX Ref Sr Lien, Ser A | 5.00% | 08/15/36 | 2,693,474 | ||||
1,500,000 | Hidalgo Cnty TX Regl Mobility Auth Toll & Vehcl Registration Sr Lien, Ser A | 4.00% | 12/01/37 | 1,320,578 | ||||
1,770,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal E Proj, Ser A, AMT | 5.00% | 07/01/27 | 1,760,439 | ||||
2,750,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 2,735,019 | ||||
2,500,000 | Houston TX Arpt Sys Rev Sub, Ser A, AMT | 4.00% | 07/01/39 | 2,154,462 | ||||
250,000 | Houston TX Arpt Sys Rev Sub, Ser A, AMT | 4.00% | 07/01/40 | 213,243 | ||||
2,000,000 | Houston TX Arpt Sys Rev United Airls Inc Terminal Impt Proj, Ser B-1, AMT | 4.00% | 07/15/41 | 1,540,712 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$1,730,000 | Houston TX Cmnty Clg Ref | 4.00% | 02/15/37 | $1,704,667 | ||||
1,000,000 | Houston TX Hotel Occupancy Tax & Spl Rev Ref Convention & Entertainment Facs Dept | 5.00% | 09/01/32 | 1,045,260 | ||||
1,000,000 | Houston TX Util Sys Rev Ref 1st Lien Subord, Ser D | 5.00% | 11/15/29 | 1,044,699 | ||||
225,000 | Imperial Redev Dist TX, BAM | 4.50% | 05/01/26 | 230,651 | ||||
225,000 | Imperial Redev Dist TX, BAM | 4.50% | 05/01/27 | 231,050 | ||||
700,000 | Justin TX Spl Assmnt Rev Timberbrook Pub Imp Dt #1 Imp Area #2 Proj (c) | 3.38% | 09/01/41 | 517,716 | ||||
500,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pid #1 (c) | 4.63% | 09/01/39 | 446,721 | ||||
430,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch (c) | 4.35% | 08/15/25 | 435,707 | ||||
410,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch, Ser A (c) | 4.20% | 08/15/25 | 414,524 | ||||
1,250,000 | Laredo TX Cmnty Clg Dist Combined Fee Rev Ref, BAM | 4.00% | 08/01/33 | 1,252,334 | ||||
1,290,000 | Leander TX Spl Assmnt Rev Crystal Springs Pub Impt Dist Proj Accd Inv (e) | 5.13% | 09/01/38 | 1,211,196 | ||||
500,000 | Liberty Hill TX Indep Sch Dist Ref | 5.00% | 08/01/30 | 527,078 | ||||
3,795,000 | Liberty Hill TX Indep Sch Dist Ref, Ser A (b) | 5.00% | 02/01/36 | 4,073,780 | ||||
700,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/33 | 727,429 | ||||
400,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/37 | 412,147 | ||||
610,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/38 | 627,695 | ||||
1,000,000 | Lower Colorado River TX Auth Trans Contract Rev Ref LCRA Trans Svcs Corp Proj | 5.00% | 05/15/40 | 1,024,382 | ||||
370,000 | Mission TX Ctfs Oblig, AGM | 5.00% | 02/15/30 | 391,103 | ||||
1,570,000 | N Fort Bend TX Wtr Auth Wtr Sys Rev Ref, BAM | 3.00% | 12/15/35 | 1,297,752 | ||||
700,000 | N Parkway Muni Mgmt Dist #1 TX Contract Rev Legacy Hills Pub Impt Dt Phase #1A-1B Impts (c) | 4.25% | 09/15/51 | 547,168 | ||||
2,003,000 | N Parkway Muni Mgmt Dist #1 TX Spl Assmnt Rev Major Impts Proj (c) | 4.75% | 09/15/41 | 1,757,254 | ||||
2,250,000 | N TX Tollway Auth Rev Ref 2nd Tier, Ser B | 5.00% | 01/01/31 | 2,328,904 | ||||
1,000,000 | N TX Tollway Auth Rev Ref First Tier Bonds, Ser A | 5.25% | 01/01/38 | 1,070,559 | ||||
5,950,000 | N TX Tollway Auth Rev Ref First Tier Bonds, Ser A | 4.00% | 01/02/38 | 5,456,554 | ||||
170,000 | N TX Tollway Auth Rev Ref Second Tier, Ser B | 5.00% | 01/01/29 | 182,270 | ||||
1,525,000 | N TX Tollway Auth Rev Ref Sys Second Tier, Ser B | 5.00% | 01/01/31 | 1,545,371 | ||||
250,000 | N TX Tollway Auth Rev Ref, Ser A | 5.00% | 01/01/33 | 258,409 | ||||
1,415,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/31 | 1,366,155 | ||||
1,200,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/32 | 1,148,844 | ||||
250,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Wesleyan Homes Inc Proj Fin Corp | 5.00% | 01/01/50 | 178,809 | ||||
2,000,000 | New Hope Cultural Edu Facs Fincorp TX Edu Rev Ref Jubilee Acad Ctr (c) | 4.00% | 08/15/36 | 1,658,023 | ||||
2,010,000 | San Antonio TX Wtr Rev Ref Wtr Sys Junior Lien, Ser C | 5.00% | 05/15/38 | 2,123,463 | ||||
2,690,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Ref Baylor Scott & White Hlth Proj, Ser A | 5.00% | 11/15/45 | 2,636,739 | ||||
750,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Ref Cook Children’s Med Ctr | 4.00% | 12/01/35 | 702,967 | ||||
4,080,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Rev Christus Hlth, Ser B | 5.00% | 07/01/43 | 4,037,524 | ||||
1,635,000 | TX St Muni Gas Acq & Sply Corp I Gas Sply Rev Sr Lien, Ser A | 5.25% | 12/15/26 | 1,690,991 | ||||
250,000 | TX St Muni Gas Acq & Sply Corp III Gas Sply Rev Ref | 5.00% | 12/15/29 | 253,270 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$5,000,000 | TX St Priv Activity Bond Surface Transprtn Corp Rev Ref Sr N Tarrant Express Managed Lanes Proj, Ser A | 5.00% | 12/31/34 | $4,964,517 | ||||
2,750,000 | TX St Priv Activity Bond Surface Transprtn Corp Rev Segment 3C Proj, AMT | 5.00% | 06/30/58 | 2,457,581 | ||||
7,510,000 | TX St Transprtn Commn Central TX Turnpike Sys Rev Ref, Ser A | 5.00% | 08/15/39 | 7,741,620 | ||||
865,000 | TX St Transprtn Commn Central TX Turnpike Sys Rev Ref, Ser B | 5.00% | 08/15/37 | 881,268 | ||||
785,000 | TX St Wtr Dev Brd St Wtr Implementation Fund, Ser A | 5.00% | 04/15/30 | 844,946 | ||||
250,000 | TX St Wtr Dev Brd St Wtr Implementation Rev Fund for TX | 4.00% | 10/15/32 | 253,423 | ||||
2,175,000 | TX Wtr Dev Brd St Wtr Implementation Rev Fund Master Trust | 5.00% | 10/15/34 | 2,387,914 | ||||
150,000 | Univ of Houston TX Univ Revs Ref, Ser A | 5.00% | 02/15/26 | 157,883 | ||||
1,900,000 | Univ of Houston TX Univ Revs Ref, Ser A | 5.00% | 02/15/35 | 1,963,311 | ||||
1,560,000 | Uptown Dev Auth TX Incr Contract Rev, Ser A | 5.00% | 09/01/36 | 1,524,101 | ||||
500,000 | Viridian TX Muni Mgmt Dist Ref Util Impt, BAM | 6.00% | 12/01/26 | 525,973 | ||||
155,000 | Viridian TX Muni Mgmt Dist Road Impt, BAM | 5.00% | 12/01/26 | 157,619 | ||||
125,000 | Viridian TX Muni Mgmt Dist Util Impt, BAM | 5.00% | 12/01/26 | 127,112 | ||||
1,605,000 | W Harris Cnty TX Regl Wtr Auth Wtr Sys Rev Ref, BAM | 3.00% | 12/15/36 | 1,263,592 | ||||
118,284,589 | ||||||||
Utah – 1.1% | ||||||||
4,400,000 | Black Desert Pub Infra Dist Sr Bonds, Ser A (c) | 4.00% | 03/01/51 | 3,015,953 | ||||
1,370,000 | Grand Cnty Sch Dist Loc Bldg Auth UT, AGM | 5.00% | 12/15/30 | 1,417,274 | ||||
1,400,000 | Grand Cnty Sch Dist Loc Bldg Auth UT, AGM | 5.00% | 12/15/31 | 1,444,980 | ||||
1,515,000 | Grand Cnty Sch Dist Loc Bldg Auth UT, AGM | 5.00% | 12/15/32 | 1,561,429 | ||||
1,750,000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-1 | 4.00% | 06/01/52 | 1,211,258 | ||||
1,500,000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-2 | 4.00% | 06/01/41 | 1,127,705 | ||||
1,250,000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-2 | 4.00% | 06/01/52 | 851,439 | ||||
400,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Quest Acdmy | 5.00% | 04/15/32 | 409,267 | ||||
325,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Ref Quest Acdmy | 5.00% | 04/15/37 | 332,111 | ||||
1,590,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner Acdmy Proj, Ser A (c) | 5.00% | 06/15/49 | 1,317,633 | ||||
4,875,000 | UT St Transit Auth Sales Tax Rev Ref Sub, BAM | 5.00% | 12/15/40 | 5,092,820 | ||||
1,145,000 | UT St Transit Auth Sales Tax Rev Ref, Subser A (Pre-refunded maturity 06/15/25) | 5.00% | 06/15/35 | 1,195,009 | ||||
18,976,878 | ||||||||
Vermont – 0.4% | ||||||||
550,000 | Burlington VT Ref Lakeview Garage Proj, Ser A, COPS | 5.00% | 12/01/24 | 566,874 | ||||
745,000 | VT St Econ Dev Auth Mtge Rev Ref Wake Robin Corp Proj, Ser A | 5.00% | 05/01/25 | 741,895 | ||||
585,000 | VT St Econ Dev Auth Mtge Rev Ref Wake Robin Corp Proj, Ser A | 5.00% | 05/01/26 | 580,014 | ||||
2,000,000 | VT St Econ Dev Auth Solid Wst Disp Rev Var Casella Wst Sys Inc Remk, AMT (Mandatory put 04/03/28) (c) | 4.63% | 04/01/36 | 1,884,855 | ||||
2,500,000 | VT St Eductnl & Hlth Bldgs Fing Agy Rev Ref Univ of VT Med Ctr, Ser A | 5.00% | 12/01/33 | 2,555,280 | ||||
6,328,918 | ||||||||
Virginia – 1.3% | ||||||||
1,000,000 | Chesapeake VA Hosp Auth Hosp Fac Rev Ref Chesapeake Regl Med Ctr | 4.00% | 07/01/35 | 920,734 | ||||
1,365,000 | Fairfax Cnty VA Econ Dev Auth Fac Rev Green Bond Cnty Fac Proj, Ser A | 5.00% | 10/01/39 | 1,452,283 | ||||
4,590,000 | Loudoun Cnty VA, Ser A | 4.00% | 12/01/41 | 4,316,901 | ||||
1,100,000 | Norfolk VA Redev & Hsg Auth Rev Ft Norfolk Retmnt Cmnty Harbors Edge Proj, Ser A | 4.00% | 01/01/29 | 1,020,098 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Virginia (Continued) | ||||||||
$5,595,000 | Richmond VA Pub Util Rev, Ser A | 4.00% | 01/15/38 | $5,397,254 | ||||
200,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 4.00% | 06/01/36 | 169,868 | ||||
350,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 4.00% | 06/01/46 | 264,746 | ||||
2,000,000 | VA St Pub Bldg Auth Pub Facs Rev, Ser C, AMT | 5.00% | 08/01/33 | 2,048,593 | ||||
1,000,000 | VA St Res Auth Infra Rev Ref Infra VA Pooled Fing Prog, Ser C | 4.00% | 11/01/33 | 1,001,584 | ||||
750,000 | VA St Small Busn Fing Auth Rsdl Fac Care Rev Ref Lifespire of VA | 4.00% | 12/01/31 | 683,453 | ||||
1,570,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/32 | 1,494,842 | ||||
1,000,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/33 | 944,700 | ||||
1,210,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/35 | 1,128,338 | ||||
275,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/36 | 254,742 | ||||
1,185,000 | Wstrn VA Regl Jail Auth Regl Jail Facs Rev Prerefunded Ref (Pre-refunded maturity 12/01/26) | 5.00% | 12/01/34 | 1,257,972 | ||||
1,180,000 | Wstrn VA Regl Jail Auth Regl Jail Facs Rev Unrefunded Ref | 5.00% | 12/01/34 | 1,245,749 | ||||
23,601,857 | ||||||||
Washington – 2.0% | ||||||||
1,235,000 | Benton Cnty WA Pub Util Dist #1 Ref | 4.00% | 11/01/36 | 1,217,964 | ||||
1,090,000 | Centrl Puget Sound WA Regl Transit Auth Green Bond, Ser S-1 | 5.00% | 11/01/36 | 1,137,266 | ||||
1,250,000 | Centrl Puget Sound WA Regl Transit Auth Sales & Use Tax Green Bond Ref & Impt, Ser S-1 (Pre-refunded maturity 11/01/25) | 5.00% | 11/01/35 | 1,311,898 | ||||
1,250,000 | Energy NW WA Elec Rev Ref Columbia Generating Sys, Ser A | 5.00% | 07/01/38 | 1,286,412 | ||||
1,500,000 | Fyi Properties WA Lease Rev Ref Green Bond WA Dis Proj | 5.00% | 06/01/38 | 1,557,656 | ||||
530,000 | Kalispel Tribe of Indians Priority Dist WA Rev, Ser A (c) | 5.00% | 01/01/32 | 547,146 | ||||
5,000,000 | Port of Seattle WA Rev Ref Intermediate Lien Priv Activity, Ser C, AMT | 5.00% | 08/01/39 | 4,935,683 | ||||
2,315,000 | Port of Seattle WA Rev Ref Intermediate Lien, Ser B, AMT | 5.00% | 08/01/37 | 2,326,123 | ||||
2,000,000 | Port of Seattle WA Rev Ref Intermediate Lien, Ser B, AMT | 5.00% | 08/01/39 | 1,978,707 | ||||
3,000,000 | Seattle WA Drain & Wstwtr Rev Ref | 4.00% | 07/01/36 | 2,925,574 | ||||
270,000 | Skagit Cnty WA Pub Hosp Dist #1 Ref & Impt Skagit Regl Hlth | 4.00% | 12/01/24 | 267,894 | ||||
110,000 | Skagit Cnty WA Pub Hosp Dist #1 Ref & Impt, Ser A | 5.00% | 12/01/22 | 110,139 | ||||
500,000 | Snohomish Cnty WA Hsg Auth | 5.00% | 04/01/34 | 515,708 | ||||
5,000,000 | WA St Convention Ctr Pub Facs Dist Sub | 4.00% | 07/01/58 | 3,555,536 | ||||
525,000 | WA St Hgr Edu Facs Auth Seattle Univ Proj Rev | 4.00% | 05/01/45 | 432,559 | ||||
1,850,000 | WA St Hlthcare Facs Auth Overlake Hosp Med Ctr, Ser A | 5.00% | 07/01/35 | 1,879,920 | ||||
305,000 | WA St Hlthcare Facs Auth Seattle Cancer Care Alliance (c) | 5.00% | 12/01/28 | 319,161 | ||||
450,000 | WA St Hlthcare Facs Auth Seattle Cancer Care Alliance (c) | 5.00% | 12/01/32 | 457,371 | ||||
50,000 | WA St Hsg Fin Commn Nonprofit Hsg Rev Ref Emerald Heights Proj | 5.00% | 07/01/28 | 50,289 | ||||
2,449,145 | WA St Hsg Fin Commn Social Ctf, Ser A-1 | 3.50% | 12/20/35 | 2,071,131 | ||||
2,500,000 | WA St Ref R-2015D | 5.00% | 07/01/32 | 2,574,800 | ||||
4,000,000 | WA St, Ser B | 5.00% | 02/01/36 | 4,103,934 | ||||
35,562,871 | ||||||||
West Virginia – 0.4% | ||||||||
5,000,000 | Kanawha Cnty WV Cnty Commn Stdt Hsg Rev WV Univ Fndtn Proj (Pre-refunded maturity 07/01/23) (c) | 6.75% | 07/01/45 | 5,110,029 | ||||
1,000,000 | S Charleston WV Spl Dist Excise Tax Ref S Charleston Park Place Proj, Ser A (c) | 4.25% | 06/01/42 | 740,036 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
West Virginia (Continued) | ||||||||
$1,000,000 | WV St Econ Dev Auth Sol Wst Disp Facs Var Sr Arch Res Proj, AMT (Mandatory put 07/01/25) | 5.00% | 07/01/45 | $988,177 | ||||
6,838,242 | ||||||||
Wisconsin – 2.1% | ||||||||
825,000 | Fond Du Lac WI Sch Dist, Ser A, BAM | 4.00% | 04/01/35 | 817,482 | ||||
1,255,000 | Fond Du Lac WI Sch Dist, Ser A, BAM | 4.00% | 04/01/36 | 1,239,474 | ||||
1,375,000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (c) | 5.00% | 06/15/54 | 1,142,453 | ||||
500,000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas Proj, Ser A (c) | 5.00% | 07/01/40 | 435,611 | ||||
1,240,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las Vegas Proj, Ser A (c) | 4.20% | 07/15/27 | 1,188,273 | ||||
1,250,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las Vegas Proj, Ser A (c) | 5.13% | 07/15/37 | 1,177,794 | ||||
2,000,000 | Pub Fin Auth WI Edu Rev Coral Acdmy of Science Las Vegas, Ser A | 4.00% | 07/01/51 | 1,429,155 | ||||
1,285,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 4.00% | 07/01/27 | 1,228,904 | ||||
1,730,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/37 | 1,666,104 | ||||
1,000,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/47 | 911,884 | ||||
1,000,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/52 | 898,447 | ||||
1,275,000 | Pub Fin Auth WI Edu Rev Triad Eductnl Sers Inc, Ser A | 4.00% | 06/15/41 | 1,030,403 | ||||
425,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/34 | 418,962 | ||||
1,000,000 | Pub Fin Auth WI Exempt Facs Rev Ref Celanese Proj, Ser B, AMT | 5.00% | 12/01/25 | 1,011,043 | ||||
1,250,000 | Pub Fin Auth WI Hosp Rev Ref Renown Regl Med Ctr Proj, Ser A | 4.00% | 06/01/35 | 1,144,803 | ||||
2,000,000 | Pub Fin Auth WI Hosp Rev Ref Renown Regl Med Ctr Proj, Ser A | 4.00% | 06/01/39 | 1,760,808 | ||||
600,000 | Pub Fin Auth WI Retmnt Cmntys Rev Acts Retmnt Life Cmntys Inc Oblig Grp, Ser A | 4.00% | 11/15/37 | 512,582 | ||||
1,450,000 | Pub Fin Auth WI Retmnt Fac Rev Ref Penick Vlg Oblig Grp (c) | 5.00% | 09/01/49 | 1,089,739 | ||||
1,000,000 | Pub Fin Auth WI Retmnt Fac Rev Southminster (c) | 5.00% | 10/01/43 | 830,731 | ||||
2,000,000 | Pub Fin Auth WI Rev Green Bond Fargo Moorhead Met Area Flood Mgmnt, AMT | 4.00% | 03/31/56 | 1,375,332 | ||||
1,500,000 | Pub Fin Auth WI Rev Sr Proton Intl AR LLC, Ser A (c) | 6.50% | 01/01/41 | 1,175,136 | ||||
600,000 | Pub Fin Auth WI Rev TX Biomedical Rsrch Institute Proj, Ser A | 4.00% | 06/01/37 | 506,360 | ||||
535,000 | Pub Fin Auth WI Rev TX Biomedical Rsrch Institute Proj, Ser A | 4.00% | 06/01/38 | 447,901 | ||||
1,595,000 | Pub Fin Auth WI Stdt Hsg Rev Nc A&T Real Estate Fdtn LLC Proj, Ser B | 5.00% | 06/01/39 | 1,445,963 | ||||
1,300,000 | WI St Gen Fund Annual Approp Rev Ref, Ser B | 5.00% | 05/01/34 | 1,345,844 | ||||
100,000 | WI St Hlth & Eductnl Facs Auth Rev Marshfield Clinic Hlth Sys, Ser A | 4.00% | 02/15/36 | 90,300 | ||||
3,650,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Ascension Hlth Credit Grp, Ser A | 5.00% | 11/15/36 | 3,706,449 | ||||
1,780,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Beloit Hlth Sys Inc | 4.00% | 07/01/36 | 1,588,652 | ||||
1,135,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Froedtert Hlth Inc Oblg, Ser A | 4.00% | 04/01/39 | 1,013,957 | ||||
1,175,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Prohealth Care Oblig Grp | 5.00% | 08/15/31 | 1,193,040 | ||||
175,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Prohealth Care Oblig Grp | 5.00% | 08/15/33 | 176,707 | ||||
700,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Rogers Memorial Hosp Inc, Ser A | 5.00% | 07/01/44 | 669,436 | ||||
435,000 | WI St Hlth & Eductnl Facs Auth Rev St Johns Cmntys Inc Proj, Ser A (Pre-refunded maturity 09/15/23) | 5.00% | 09/15/30 | 441,223 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Wisconsin (Continued) | ||||||||
$2,000,000 | WI St Ref, Ser 3 | 4.00% | 11/01/34 | $1,997,489 | ||||
37,108,441 |
Total Investments – 96.0% | 1,688,294,265 | ||
(Cost $1,843,107,095) | |||
Net Other Assets and Liabilities – 4.0% | 69,517,588 | ||
Net Assets – 100.0% | $1,757,811,853 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
10-Year U.S. Treasury Notes | Short | 258 | Dec 2022 | $ (28,533,188) | $1,658,859 | |||||
U.S. Treasury Long Bonds | Short | 228 | Dec 2022 | (27,474,000) | 3,548,250 | |||||
Ultra 10-Year U.S. Treasury Notes | Short | 496 | Dec 2022 | (57,528,250) | 2,015,516 | |||||
$(113,535,438) | $7,222,625 |
(a) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(b) | When-issued security. The interest rate shown reflects the rate in effect at October 31, 2022. Interest will begin accruing on the security’s first settlement date. |
(c) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At October 31, 2022, securities noted as such amounted to $114,852,525 or 6.5% of net assets. |
(d) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(e) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2C - Restricted Securities in the Notes to Financial Statements). |
(f) | Zero coupon bond. |
AGC | Assured Guaranty Corp. |
AGM | Assured Guaranty Municipal Corp. |
AMBAC | American Municipal Bond Assurance Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
BANS | Bond Anticipation Notes |
CABS | Capital Appreciation Bonds |
COPS | Certificates of Participation |
GARVEE | Grant Anticipation Revenue Vehicle |
NATL-RE | National Public Finance Guarantee Corp. |
Total Value at 10/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 1,688,294,265 | $ — | $ 1,688,294,265 | $ — |
Futures Contracts | 7,222,625 | 7,222,625 | — | — |
Total | $ 1,695,516,890 | $ 7,222,625 | $ 1,688,294,265 | $— |
* | See Portfolio of Investments for state and territory breakout. |
ASSETS: | |
Investments, at value (Cost $1,843,107,095) | $ 1,688,294,265 |
Cash | 51,653,267 |
Cash segregated as collateral for open futures contracts | 4,158,835 |
Receivables: | |
Interest | 23,696,598 |
Fund shares sold | 19,347,033 |
Investment securities sold | 4,489,025 |
Total Assets | 1,791,639,023 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 32,260,937 |
Variation margin | 818,875 |
Investment advisory fees | 747,358 |
Total Liabilities | 33,827,170 |
NET ASSETS | $1,757,811,853 |
NET ASSETS consist of: | |
Paid-in capital | $ 2,035,287,887 |
Par value | 363,500 |
Accumulated distributable earnings (loss) | (277,839,534) |
NET ASSETS | $1,757,811,853 |
NET ASSET VALUE, per share | $48.36 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 36,350,002 |
INVESTMENT INCOME: | ||
Interest | $ 59,912,495 | |
Total investment income | 59,912,495 | |
EXPENSES: | ||
Investment advisory fees | 14,254,119 | |
Total expenses | 14,254,119 | |
Fees waived by the investment advisor | (3,289,412) | |
Net expenses | 10,964,707 | |
NET INVESTMENT INCOME (LOSS) | 48,947,788 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (124,528,829) | |
Futures contracts | 16,279,901 | |
Net realized gain (loss) | (108,248,928) | |
Net increase from payment by the advisor | 5,130 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | (245,032,914) | |
Futures contracts | 7,962,060 | |
Net change in unrealized appreciation (depreciation) | (237,070,854) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (345,314,652) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(296,366,864) |
Year Ended 10/31/2022 | Year Ended 10/31/2021 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 48,947,788 | $ 41,667,232 | |
Net realized gain (loss) | (108,248,928) | 575,194 | |
Net increase from payment by the advisor | 5,130 | 4,688 | |
Net change in unrealized appreciation (depreciation) | (237,070,854) | 29,567,010 | |
Net increase (decrease) in net assets resulting from operations | (296,366,864) | 71,814,124 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (48,226,078) | (41,343,498) | |
Return of capital | — | (653,379) | |
Total distributions to shareholders | (48,226,078) | (41,996,877) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 434,158,734 | 683,145,950 | |
Cost of shares redeemed | (725,159,348) | (34,043,084) | |
Net increase (decrease) in net assets resulting from shareholder transactions | (291,000,614) | 649,102,866 | |
Total increase (decrease) in net assets | (635,593,556) | 678,920,113 | |
NET ASSETS: | |||
Beginning of period | 2,393,405,409 | 1,714,485,296 | |
End of period | $1,757,811,853 | $2,393,405,409 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 42,350,002 | 30,950,002 | |
Shares sold | 8,100,000 | 12,000,000 | |
Shares redeemed | (14,100,000) | (600,000) | |
Shares outstanding, end of period | 36,350,002 | 42,350,002 |
Year Ended October 31, | |||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
Net asset value, beginning of period | $ 56.51 | $ 55.40 | $ 55.38 | $ 51.75 | $ 53.16 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 1.20 | 1.13 | 1.23 | 1.35 | 1.35 | ||||
Net realized and unrealized gain (loss) | (8.17) | 1.12 | 0.05 | 3.67 | (1.41) | ||||
Total from investment operations | (6.97) | 2.25 | 1.28 | 5.02 | (0.06) | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.18) | (1.12) | (1.23) | (1.36) | (1.35) | ||||
Return of capital | — | (0.02) | (0.03) | (0.03) | — | ||||
Total distributions | (1.18) | (1.14) | (1.26) | (1.39) | (1.35) | ||||
Net asset value, end of period | $48.36 | $56.51 | $55.40 | $55.38 | $51.75 | ||||
Total return (a) | (12.47)% (b) | 4.06% (b) | 2.33% | 9.79% | (0.12)% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 1,757,812 | $ 2,393,405 | $ 1,714,485 | $ 1,135,258 | $ 455,371 | ||||
Ratio of total expenses to average net assets | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% | ||||
Ratio of net expenses to average net assets | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% | ||||
Ratio of net investment income (loss) to average net assets | 2.23% | 1.99% | 2.24% | 2.53% | 2.60% | ||||
Portfolio turnover rate (c) | 63% | 9% | 35% | 26% | 42% |
(a) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. For some periods, the total returns would have been lower if certain fees had not been waived by the advisor. |
(b) | During the fiscal years ended October 31, 2022 and 2021, the Fund received reimbursements from the advisor in the amounts of $5,130 and $4,688, respectively, each representing less than $0.01 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer; |
5) | the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; and |
10) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security | Acquisition Date | Principal Value | Current Price | Carrying Cost | Value | % of Net Assets | ||
Brookstone CDD FL Spl Assmnt Rev CDD, 3.88%, 11/01/23 | 01/24/18 | $185,000 | $98.87 | $185,000 | $182,911 | 0.01% | ||
IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Acdmy Proj, Ser A, 5.25%, 07/01/28 | 09/04/18 | 700,000 | 97.93 | 705,040 | 685,538 | 0.04 | ||
IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Acdmy Proj, Ser A, 5.88%, 07/01/38 | 09/04/18 | 1,000,000 | 95.70 | 1,003,444 | 957,013 | 0.05 | ||
Leander TX Spl Assmnt Rev Crystal Springs Pub Impt Dist Proj Accd Inv, 5.13%, 09/01/38 | 05/04/18 | 1,290,000 | 93.89 | 1,290,000 | 1,211,196 | 0.07 | ||
Timber Creek CDD FL Spl Assmnt Rev, 4.13%, 11/01/24 | 06/21/18 | 135,000 | 98.80 | 135,000 | 133,385 | 0.01 | ||
$3,318,484 | $3,170,043 | 0.18% |
Distributions paid from: | 2022 | 2021 |
Ordinary income | $174,605 | $1,652 |
Capital gains | — | — |
Tax-exempt income | 48,051,473 | 41,341,846 |
Return of capital | — | 653,379 |
Undistributed ordinary income | $440,113 |
Accumulated capital and other gain (loss) | (122,643,308) |
Net unrealized appreciation (depreciation) | (155,636,339) |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$(347,699) | $347,699 | $— |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$1,851,153,229 | $364,463 | $(156,000,802) | $(155,636,339) |
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* | $ 7,222,625 | Unrealized depreciation on futures contracts* | $ — |
Statement of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $16,279,901 |
Net change in unrealized appreciation (depreciation) on futures contracts | 7,962,060 |
Federal and State Income Tax | Percentages | |
Tax-Exempt Interest Dividends | 99.64% | |
Alternative Minimum Tax (AMT) | 9.44% |
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, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 223 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 223 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 223 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 223 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 223 | 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) | 223 | 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 2016 | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, 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 2016 | Senior Vice President, 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
October 31, 2022
1 | |
2 | |
5 | |
7 | |
8 | |
21 | |
22 | |
23 | |
24 | |
25 | |
32 | |
33 | |
40 | |
42 |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 10/31/22 | 5 Years Ended 10/31/22 | Inception (9/8/14) to 10/31/22 | 5 Years Ended 10/31/22 | Inception (9/8/14) to 10/31/22 | ||
Fund Performance | ||||||
NAV | -2.74% | 5.76% | 6.79% | 32.33% | 70.80% | |
Market Price | -2.76% | 5.77% | 6.80% | 32.35% | 70.86% | |
Index Performance | ||||||
S&P 500® Index | -14.61% | 10.44% | 10.51% | 64.31% | 125.69% |
Portfolio Sector Allocation | % of Total Investments – Long Positions |
Information Technology | 23.2% |
Health Care | 17.9 |
Financials | 13.4 |
Industrials | 10.5 |
Energy | 10.2 |
Consumer Discretionary | 8.2 |
Consumer Staples | 7.5 |
Materials | 4.3 |
Communication Services | 4.0 |
Real Estate | 0.6 |
Utilities | 0.2 |
Total | 100.0% |
Portfolio Sector Allocation | % of Total Investments Sold Short |
Information Technology | 20.6% |
Industrials | 15.8 |
Materials | 12.7 |
Financials | 11.3 |
Consumer Staples | 10.0 |
Health Care | 9.9 |
Communication Services | 6.4 |
Energy | 6.2 |
Consumer Discretionary | 6.1 |
Real Estate | 1.0 |
Total | 100.0% |
Top Ten Investments – Long Positions | % of Net Assets |
Apple, Inc. | 4.4% |
Microsoft Corp. | 2.3 |
AstraZeneca PLC, ADR | 1.7 |
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 1.6 |
Gilead Sciences, Inc. | 1.5 |
Hershey (The) Co. | 1.4 |
Walgreens Boots Alliance, Inc. | 1.3 |
CVS Health Corp. | 1.3 |
Amazon.com, Inc. | 1.2 |
UnitedHealth Group, Inc. | 1.2 |
Total | 17.9% |
Top Ten Investments Sold Short | % of Net Assets |
PepsiCo., Inc. | -0.7% |
Northrop Grumman Corp. | -0.7 |
Raytheon Technologies Corp. | -0.6 |
Oracle Corp. | -0.6 |
Verizon Communications, Inc. | -0.5 |
Baker Hughes Co. | -0.5 |
Intel Corp. | -0.5 |
PNC Financial Services Group (The), Inc. | -0.5 |
Estee Lauder (The) Cos., Inc., Class A | -0.4 |
Bank of America Corp. | -0.4 |
Total | -5.4% |
Fund Allocation | % of Net Assets |
Common Stocks | 84.1% |
Exchange-Traded Funds | 4.9 |
Master Limited Partnerships | 1.2 |
Real Estate Investment Trusts | 0.5 |
Common Stocks Sold Short | (22.3) |
Real Estate Investment Trusts Sold Short | (0.2) |
Net Other Assets and Liabilities * | 31.8 |
Total | 100.0% |
* | Includes variation margin on futures contracts. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the 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 May 1, 2022 | Ending Account Value October 31, 2022 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (a)(b) | |
First Trust Long/Short Equity ETF (FTLS) | ||||
Actual | $1,000.00 | $979.10 | 1.36% | $6.78 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.35 | 1.36% | $6.92 |
(a) | Annualized expense ratio and expenses paid during the six-month period do not include fees and expenses of the underlying funds in which the Fund invests. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2022 through October 31, 2022), multiplied by 184/365 (to reflect the six-month period). |
Shares/ Units | Description | Value | ||
COMMON STOCKS – 84.1% | ||||
Aerospace & Defense – 0.5% | ||||
4,518 | TransDigm Group, Inc. (a) | $2,601,284 | ||
Air Freight & Logistics – 0.2% | ||||
67,493 | ZTO Express Cayman, Inc., ADR | 1,139,957 | ||
Airlines – 0.6% | ||||
47,136 | Alaska Air Group, Inc. (b) | 2,095,667 | ||
16,707 | Ryanair Holdings PLC, ADR (b) | 1,150,945 | ||
3,246,612 | ||||
Auto Components – 0.3% | ||||
30,579 | Magna International, Inc. | 1,704,168 | ||
Automobiles – 1.5% | ||||
151,285 | Stellantis N.V. | 2,045,373 | ||
21,796 | Tesla, Inc. (b) | 4,959,462 | ||
19,226 | Winnebago Industries, Inc. | 1,147,600 | ||
8,152,435 | ||||
Banks – 2.7% | ||||
117,891 | Citigroup, Inc. | 5,406,481 | ||
41,994 | HSBC Holdings PLC, ADR | 1,088,064 | ||
23,512 | JPMorgan Chase & Co. (a) | 2,959,691 | ||
110,629 | US Bancorp. | 4,696,201 | ||
14,150,437 | ||||
Beverages – 0.5% | ||||
12,696 | Celsius Holdings, Inc. (b) | 1,156,352 | ||
32,706 | Coca-Cola European Partners PLC | 1,538,817 | ||
2,695,169 | ||||
Biotechnology – 3.0% | ||||
21,718 | AbbVie, Inc. | 3,179,515 | ||
5,661 | Amgen, Inc. | 1,530,451 | ||
99,230 | Gilead Sciences, Inc. | 7,785,586 | ||
49,425 | Horizon Therapeutics PLC (b) | 3,080,166 | ||
15,575,718 | ||||
Building Products – 0.7% | ||||
13,283 | Advanced Drainage Systems, Inc. | 1,539,234 | ||
28,228 | Owens Corning | 2,416,599 | ||
3,955,833 | ||||
Capital Markets – 0.8% | ||||
16,890 | CME Group, Inc. | 2,927,037 | ||
21,781 | Tradeweb Markets, Inc., Class A | 1,199,697 | ||
4,126,734 | ||||
Chemicals – 2.2% | ||||
42,505 | CF Industries Holdings, Inc. (a) | 4,516,581 | ||
22,968 | Mosaic (The) Co. | 1,234,530 | ||
47,184 | Sociedad Quimica y Minera de Chile SA, ADR | 4,420,197 | ||
11,852 | Westlake Corp. | 1,145,496 | ||
11,316,804 | ||||
Commercial Services & Supplies – 2.2% | ||||
13,060 | Cintas Corp. | 5,583,803 |
Shares/ Units | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Commercial Services & Supplies (Continued) | ||||
8,500 | Republic Services, Inc. | $1,127,270 | ||
45,162 | Rollins, Inc. | 1,900,417 | ||
24,114 | Waste Connections, Inc. | 3,180,878 | ||
11,792,368 | ||||
Construction Materials – 0.2% | ||||
9,631 | Eagle Materials, Inc. | 1,177,968 | ||
Consumer Finance – 0.2% | ||||
10,872 | Capital One Financial Corp. | 1,152,649 | ||
Containers & Packaging – 0.3% | ||||
28,244 | Sealed Air Corp. | 1,344,979 | ||
Diversified Consumer Services – 0.4% | ||||
52,668 | H&R Block, Inc. | 2,167,288 | ||
Diversified Financial Services – 0.8% | ||||
13,953 | Berkshire Hathaway, Inc., Class B (b) | 4,117,391 | ||
Diversified Telecommunication Services – 0.1% | ||||
7,526 | Iridium Communications, Inc. (b) | 387,815 | ||
66,573 | Sitios Latinoamerica S.A.B. de C.V. (b) | 19,723 | ||
407,538 | ||||
Electric Utilities – 0.2% | ||||
11,136 | Duke Energy Corp. | 1,037,652 | ||
Electrical Equipment – 1.5% | ||||
7,489 | Hubbell, Inc. | 1,778,488 | ||
23,937 | Rockwell Automation, Inc. | 6,111,116 | ||
7,889,604 | ||||
Electronic Equipment, Instruments & Components – 0.7% | ||||
29,363 | TE Connectivity Ltd. | 3,589,039 | ||
Food & Staples Retailing – 1.6% | ||||
45,343 | Sprouts Farmers Market, Inc. (b) | 1,337,619 | ||
190,820 | Walgreens Boots Alliance, Inc. (a) | 6,964,930 | ||
8,302,549 | ||||
Food Products – 3.0% | ||||
75,383 | Campbell Soup Co. | 3,988,515 | ||
119,313 | Conagra Brands, Inc. | 4,378,787 | ||
30,087 | Hershey (The) Co. (a) | 7,183,873 | ||
15,551,175 | ||||
Health Care Equipment & Supplies – 0.4% | ||||
30,107 | Lantheus Holdings, Inc. (b) | 2,227,617 | ||
Health Care Providers & Services – 6.0% | ||||
20,952 | AMN Healthcare Services, Inc. (b) | 2,629,476 | ||
76,043 | Centene Corp. (b) | 6,473,541 | ||
72,510 | CVS Health Corp. | 6,866,697 | ||
25,299 | Henry Schein, Inc. (b) | 1,731,969 | ||
10,950 | Molina Healthcare, Inc. (a) (b) | 3,929,517 | ||
24,218 | Quest Diagnostics, Inc. | 3,478,916 |
Shares/ Units | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Health Care Providers & Services (Continued) | ||||
11,706 | UnitedHealth Group, Inc. | $6,498,586 | ||
31,608,702 | ||||
Health Care Technology – 0.4% | ||||
14,090 | Veeva Systems, Inc., Class A (b) | 2,366,275 | ||
Hotels, Restaurants & Leisure – 1.9% | ||||
2,697 | Booking Holdings, Inc. (b) | 5,041,987 | ||
39,039 | Restaurant Brands International, Inc. | 2,318,136 | ||
26,846 | Texas Roadhouse, Inc. | 2,656,412 | ||
10,016,535 | ||||
Household Durables – 0.2% | ||||
37,632 | KB Home | 1,084,554 | ||
Household Products – 0.5% | ||||
19,917 | Procter & Gamble (The) Co. | 2,682,222 | ||
Insurance – 2.7% | ||||
27,185 | Chubb Ltd. | 5,841,785 | ||
11,005 | RenaissanceRe Holdings Ltd. | 1,702,253 | ||
43,818 | W.R. Berkley Corp. | 3,259,183 | ||
15,447 | Willis Towers Watson PLC | 3,370,690 | ||
14,173,911 | ||||
Interactive Media & Services – 1.8% | ||||
45,570 | Alphabet, Inc., Class A (a) (b) | 4,306,820 | ||
42,080 | Alphabet, Inc., Class C (a) (b) | 3,983,293 | ||
118,918 | Kanzhun Ltd., ADR (b) | 1,299,774 | ||
9,589,887 | ||||
Internet & Direct Marketing Retail – 1.7% | ||||
63,583 | Amazon.com, Inc. (a) (b) | 6,513,443 | ||
58,673 | JD.com, Inc., ADR | 2,187,916 | ||
8,701,359 | ||||
IT Services – 3.1% | ||||
17,480 | Accenture PLC, Class A | 4,962,572 | ||
62,166 | Cognizant Technology Solutions Corp., Class A | 3,869,834 | ||
76,609 | Shopify, Inc., Class A (b) | 2,622,326 | ||
22,364 | Visa, Inc., Class A (a) | 4,632,926 | ||
16,087,658 | ||||
Life Sciences Tools & Services – 0.8% | ||||
10,697 | ICON PLC (b) | 2,116,294 | ||
8,570 | Medpace Holdings, Inc. (b) | 1,902,369 | ||
4,018,663 | ||||
Machinery – 3.3% | ||||
6,333 | Caterpillar, Inc. | 1,370,841 | ||
57,778 | Fortive Corp. | 3,692,014 | ||
10,414 | IDEX Corp. | 2,315,136 | ||
49,549 | Ingersoll Rand, Inc. | 2,502,225 | ||
19,570 | Parker-Hannifin Corp. | 5,687,433 | ||
8,253 | Snap-on, Inc. | 1,832,579 | ||
17,400,228 |
Shares/ Units | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Media – 0.4% | ||||
66,402 | Fox Corp., Class A | $1,917,026 | ||
Metals & Mining – 1.2% | ||||
19,851 | Franco-Nevada Corp. | 2,453,187 | ||
8,740 | Nucor Corp. | 1,148,261 | ||
89,139 | Wheaton Precious Metals Corp. | 2,913,954 | ||
6,515,402 | ||||
Oil, Gas & Consumable Fuels – 8.1% | ||||
108,102 | Antero Midstream Corp. | 1,151,286 | ||
31,165 | Antero Resources Corp. (b) | 1,142,509 | ||
66,026 | Canadian Natural Resources Ltd. | 3,957,598 | ||
70,470 | Cenovus Energy, Inc. | 1,423,494 | ||
7,754 | Cheniere Energy, Inc. | 1,367,883 | ||
13,110 | Chesapeake Energy Corp. | 1,340,760 | ||
7,976 | Chevron Corp. | 1,442,858 | ||
19,757 | Civitas Resources, Inc. | 1,381,212 | ||
36,078 | ConocoPhillips | 4,549,075 | ||
43,016 | Coterra Energy, Inc. | 1,339,088 | ||
58,455 | Exxon Mobil Corp. | 6,477,399 | ||
66,831 | Kinder Morgan, Inc. | 1,210,978 | ||
55,235 | Magnolia Oil & Gas Corp., Class A | 1,418,435 | ||
12,885 | Marathon Petroleum Corp. | 1,463,994 | ||
21,893 | Matador Resources, Co. | 1,454,790 | ||
40,681 | Occidental Petroleum Corp. | 2,953,441 | ||
19,742 | ONEOK, Inc. | 1,171,095 | ||
36,758 | PBF Energy, Inc., Class A | 1,626,541 | ||
111,471 | Petroleo Brasileiro S.A., ADR | 1,429,058 | ||
5,490 | Pioneer Natural Resources Co. | 1,407,691 | ||
11,842 | Valero Energy Corp. | 1,486,763 | ||
36,320 | Williams (The) Cos., Inc. | 1,188,754 | ||
42,384,702 | ||||
Pharmaceuticals – 5.6% | ||||
149,214 | AstraZeneca PLC, ADR (a) | 8,775,275 | ||
297,675 | Bausch Health Cos., Inc. (b) | 1,934,888 | ||
22,077 | Johnson & Johnson (a) | 3,840,736 | ||
36,111 | Merck & Co, Inc. | 3,654,433 | ||
67,195 | Novartis AG, ADR | 5,451,530 | ||
45,159 | Novo Nordisk A/S | 4,915,106 | ||
100,692 | SIGA Technologies, Inc. | 925,359 | ||
29,497,327 | ||||
Semiconductors & Semiconductor Equipment – 4.9% | ||||
34,715 | Analog Devices, Inc. | 4,951,053 | ||
8,121 | ASML Holding N.V. | 3,836,523 | ||
6,232 | Broadcom, Inc. | 2,929,788 | ||
43,706 | Microchip Technology, Inc. | 2,698,408 | ||
19,481 | NVIDIA Corp. | 2,629,351 | ||
139,161 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR (a) | 8,565,360 | ||
25,610,483 | ||||
Software – 8.0% | ||||
17,960 | Adobe, Inc. (a) (b) | 5,720,260 | ||
18,266 | Autodesk, Inc. (b) | 3,914,404 |
Shares/ Units | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Software (Continued) | ||||
15,514 | Cadence Design Systems, Inc. (b) | $2,348,664 | ||
10,493 | CyberArk Software Ltd. (b) | 1,646,457 | ||
99,468 | Gen Digital, Inc., Class A | 2,241,014 | ||
10,703 | Intuit, Inc. | 4,575,533 | ||
53,043 | Microsoft Corp. (a) | 12,312,872 | ||
6,109 | Nice Ltd., ADR (b) | 1,160,038 | ||
9,114 | Qualys, Inc. (b) | 1,299,292 | ||
19,933 | Salesforce, Inc. (b) | 3,240,906 | ||
11,493 | Synopsys, Inc. (b) | 3,362,277 | ||
41,821,717 | ||||
Specialty Retail – 1.2% | ||||
923 | AutoZone, Inc. (b) | 2,337,848 | ||
13,120 | Home Depot (The), Inc. | 3,885,226 | ||
6,223,074 | ||||
Technology Hardware, Storage & Peripherals – 4.4% | ||||
151,940 | Apple, Inc. (a) | 23,298,480 | ||
Textiles, Apparel & Luxury Goods – 0.2% | ||||
16,571 | Crocs, Inc. (b) | 1,172,398 | ||
Tobacco – 1.3% | ||||
106,031 | Altria Group, Inc. (a) | 4,906,054 | ||
43,234 | British American Tobacco PLC, ADR | 1,712,931 | ||
6,618,985 | ||||
Trading Companies & Distributors – 0.4% | ||||
17,794 | Ferguson PLC | 1,944,172 | ||
Wireless Telecommunication Services – 1.4% | ||||
69,480 | America Movil SAB de CV, ADR, Class L | 1,306,919 | ||
24,521 | T-Mobile US, Inc. (b) | 3,716,403 | ||
188,625 | Vodafone Group PLC, ADR | 2,227,661 | ||
7,250,983 | ||||
Total Common Stocks | 441,407,711 | |||
(Cost $457,605,190) | ||||
EXCHANGE-TRADED FUNDS – 4.9% | ||||
Capital Markets – 4.9% | ||||
33,907 | iShares Rusell 1000 Value ETF | 5,077,234 | ||
36,183 | iShares S&P 500 Value ETF | 5,186,110 | ||
79,138 | Schwab U.S. Large-Cap Value ETF | 5,137,639 | ||
135,110 | SPDR Portfolio S&P 500 Value ETF | 5,190,926 | ||
52,575 | Vanguard Mega Cap Value ETF | 5,299,034 | ||
Total Exchange-Traded Funds | 25,890,943 | |||
(Cost $25,858,618) | ||||
MASTER LIMITED PARTNERSHIPS – 1.2% | ||||
Oil, Gas & Consumable Fuels – 1.2% | ||||
84,472 | Enterprise Products Partners, L.P. | 2,132,918 | ||
13,985 | Hess Midstream, L.P., Class A (c) | 404,726 | ||
31,075 | Magellan Midstream Partners, L.P. | 1,676,496 |
Shares/ Units | Description | Value | ||
MASTER LIMITED PARTNERSHIPS (Continued) | ||||
Oil, Gas & Consumable Fuels (Continued) | ||||
56,313 | MPLX, L.P. | $1,888,738 | ||
Total Master Limited Partnerships | 6,102,878 | |||
(Cost $6,147,726) | ||||
REAL ESTATE INVESTMENT TRUSTS – 0.5% | ||||
Equity Real Estate Investment Trusts – 0.5% | ||||
10,320 | Crown Castle, Inc. | 1,375,243 | ||
42,013 | Weyerhaeuser Co. | 1,299,462 | ||
Total Real Estate Investment Trusts | 2,674,705 | |||
(Cost $3,382,644) |
Total Investments – 90.7% | 476,076,237 | ||
(Cost $492,994,178) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT – (22.3)% | ||||
Aerospace & Defense – (1.7)% | ||||
(7,780) | Boeing (The) Co. (b) | (1,108,728) | ||
(4,211) | BWX Technologies, Inc. | (239,943) | ||
(1,574) | Curtiss-Wright Corp. | (264,164) | ||
(4,242) | Kratos Defense & Security Solutions, Inc. (b) | (47,001) | ||
(4,089) | Mercury Systems, Inc. (b) | (197,908) | ||
(6,238) | Northrop Grumman Corp. | (3,424,724) | ||
(35,872) | Raytheon Technologies Corp. | (3,401,383) | ||
(26,387) | Rocket Lab USA, Inc. (b) | (134,310) | ||
(2,731) | Woodward, Inc. | (250,433) | ||
(9,068,594) | ||||
Air Freight & Logistics – (0.0)% | ||||
(3,522) | GXO Logistics, Inc. (b) | (128,694) | ||
Auto Components – (0.0)% | ||||
(12,613) | Solid Power, Inc. (b) | (70,759) | ||
Automobiles – (0.1)% | ||||
(16,812) | Rivian Automotive, Inc., Class A (b) | (587,916) | ||
Banks – (0.9)% | ||||
(59,117) | Bank of America Corp. | (2,130,577) | ||
(15,161) | PNC Financial Services Group (The), Inc. | (2,453,504) | ||
(4,584,081) | ||||
Beverages – (0.7)% | ||||
(19,018) | PepsiCo, Inc. | (3,453,288) | ||
(6,567) | Primo Water Corp. | (95,813) | ||
(3,549,101) | ||||
Biotechnology – (0.1)% | ||||
(8,036) | Natera, Inc. (b) | (377,370) | ||
Capital Markets – (0.7)% | ||||
(1,758) | B. Riley Financial, Inc. | (71,515) | ||
(31,774) | Bank of New York Mellon (The) Corp. | (1,338,003) | ||
(6,647) | Franklin Resources, Inc. | (155,872) | ||
(29,386) | Invesco, Ltd. | (450,194) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Capital Markets (Continued) | ||||
(10,725) | Janus Henderson Group PLC | $(244,208) | ||
(4,856) | Lazard Ltd., Class A | (183,120) | ||
(7,102) | Northern Trust Corp. | (599,054) | ||
(9,682) | State Street Corp. | (716,468) | ||
(3,758,434) | ||||
Chemicals – (1.8)% | ||||
(8,157) | Air Products & Chemicals, Inc. | (2,042,513) | ||
(3,560) | Ashland Global Holdings, Inc. | (373,515) | ||
(18,199) | Axalta Coating Systems Ltd. (b) | (424,401) | ||
(31,336) | Corteva, Inc. | (2,047,494) | ||
(24,173) | DuPont de Nemours, Inc. | (1,382,696) | ||
(8,472) | Ecolab, Inc. | (1,330,697) | ||
(3,427) | International Flavors & Fragrances, Inc. | (334,510) | ||
(10,240) | Origin Materials, Inc. (b) | (58,163) | ||
(10,135) | PPG Industries, Inc. | (1,157,214) | ||
(4,776) | Scotts Miracle-Gro (The) Co. | (219,266) | ||
(9,370,469) | ||||
Commercial Services & Supplies – (0.1)% | ||||
(12,320) | ACV Auctions, Inc., Class A (b) | (112,359) | ||
(7,738) | KAR Auction Services, Inc. (b) | (112,433) | ||
(1,004) | MSA Safety, Inc. | (134,777) | ||
(2,892) | Stericycle, Inc. (b) | (128,925) | ||
(488,494) | ||||
Communications Equipment – (0.3)% | ||||
(21,228) | Infinera Corp. (b) | (119,089) | ||
(31,453) | Juniper Networks, Inc. | (962,462) | ||
(84,569) | Nokia Oyj, ADR | (372,104) | ||
(2,971) | Viasat, Inc. (b) | (121,692) | ||
(1,575,347) | ||||
Construction & Engineering – (0.1)% | ||||
(3,008) | Granite Construction, Inc. | (101,460) | ||
(9,921) | MDU Resources Group, Inc. | (282,550) | ||
(384,010) | ||||
Construction Materials – (0.2)% | ||||
(3,396) | Martin Marietta Materials, Inc. | (1,140,988) | ||
Consumer Finance – (0.0)% | ||||
(4,592) | Green Dot Corp., Class A (b) | (87,386) | ||
Containers & Packaging – (0.4)% | ||||
(2,161) | AptarGroup, Inc. | (214,263) | ||
(15,748) | Ardagh Metal Packaging S.A. | (69,921) | ||
(25,019) | International Paper Co. | (840,888) | ||
(4,823) | Packaging Corp. of America | (579,773) | ||
(3,960) | Silgan Holdings, Inc. | (187,546) | ||
(1,892,391) | ||||
Diversified Consumer Services – (0.0)% | ||||
(10,666) | Coursera, Inc. (b) | (137,485) | ||
Diversified Financial Services – (0.1)% | ||||
(9,084) | Voya Financial, Inc. | (620,982) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Diversified Telecommunication Services – (0.8)% | ||||
(23,285) | AT&T, Inc. | $(424,486) | ||
(10,832) | BCE, Inc. | (488,523) | ||
(11,475) | Frontier Communications Parent, Inc. (b) | (268,745) | ||
(7,233) | KT Corp., ADR | (91,931) | ||
(74,574) | Verizon Communications, Inc. | (2,786,830) | ||
(4,060,515) | ||||
Electrical Equipment – (0.1)% | ||||
(30,064) | Ballard Power Systems, Inc. (b) | (170,463) | ||
(13,902) | Bloom Energy Corp., Class A (b) | (260,106) | ||
(8,822) | Enovix Corp. (b) | (166,471) | ||
(5,808) | FREYR Battery SA (b) | (77,305) | ||
(674,345) | ||||
Electronic Equipment, Instruments & Components – (0.1)% | ||||
(6,421) | Knowles Corp. (b) | (88,289) | ||
(6,056) | National Instruments Corp. | (231,218) | ||
(1,962) | PAR Technology Corp. (b) | (56,466) | ||
(375,973) | ||||
Energy Equipment & Services – (0.8)% | ||||
(99,932) | Baker Hughes Co. | (2,764,119) | ||
(1,727) | Nabors Industries Ltd. (b) | (300,550) | ||
(25,754) | Schlumberger Ltd. | (1,339,980) | ||
(4,404,649) | ||||
Food & Staples Retailing – (0.7)% | ||||
(24,413) | Walmart, Inc. | (3,474,702) | ||
Food Products – (0.4)% | ||||
(7,141) | Freshpet, Inc. (b) | (420,962) | ||
(2,677) | Ingredion, Inc. | (238,574) | ||
(21,965) | Mondelez International, Inc., Class A | (1,350,408) | ||
(3,323) | Post Holdings, Inc. (b) | (300,466) | ||
(2,310,410) | ||||
Health Care Equipment & Supplies – (1.1)% | ||||
(26,742) | Baxter International, Inc. | (1,453,428) | ||
(54,266) | Boston Scientific Corp. (b) | (2,339,407) | ||
(1,603) | Cooper (The) Cos., Inc. | (438,244) | ||
(1,116) | Establishment Labs Holdings, Inc. (b) | (62,931) | ||
(3,893) | Integra LifeSciences Holdings Corp. (b) | (195,623) | ||
(1,344) | Stryker Corp. | (308,099) | ||
(9,573) | Zimmer Biomet Holdings, Inc. | (1,085,100) | ||
(5,882,832) | ||||
Health Care Providers & Services – (0.6)% | ||||
(18,482) | agilon health, Inc. (b) | (366,868) | ||
(1,957) | DaVita, Inc. (b) | (142,881) | ||
(3,515) | HCA Healthcare, Inc. | (764,407) | ||
(3,319) | Oak Street Health, Inc. (b) | (67,143) | ||
(2,737) | R1 RCM, Inc. (b) | (48,335) | ||
(10,188) | Signify Health, Inc., Class A (b) | (297,795) | ||
(13,119) | Tenet Healthcare Corp. (b) | (581,959) | ||
(6,972) | Universal Health Services, Inc., Class B | (807,846) | ||
(3,077,234) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Health Care Technology – (0.0)% | ||||
(4,540) | Schrodinger, Inc. (b) | $(108,824) | ||
Hotels, Restaurants & Leisure – (0.4)% | ||||
(52,504) | Las Vegas Sands Corp. (b) | (1,995,677) | ||
Household Durables – (0.1)% | ||||
(27,589) | Newell Brands, Inc. | (381,004) | ||
Household Products – (0.0)% | ||||
(3,257) | Reynolds Consumer Products, Inc. | (99,469) | ||
Industrial Conglomerates – (0.5)% | ||||
(5,743) | 3M Co. | (722,412) | ||
(27,078) | General Electric Co. | (2,106,939) | ||
(2,829,351) | ||||
Insurance – (0.8)% | ||||
(19,026) | Aflac, Inc. | (1,238,783) | ||
(5,740) | MetLife, Inc. | (420,225) | ||
(11,121) | Principal Financial Group, Inc. | (980,094) | ||
(14,806) | Prudential Financial, Inc. | (1,557,443) | ||
(4,196,545) | ||||
Interactive Media & Services – (0.1)% | ||||
(10,146) | Match Group, Inc. (b) | (438,307) | ||
Internet & Direct Marketing Retail – (0.3)% | ||||
(81,605) | Farfetch Ltd., Class A (b) | (692,010) | ||
(20,215) | Wayfair, Inc., Class A (b) | (766,553) | ||
(1,458,563) | ||||
IT Services – (1.4)% | ||||
(14,234) | Affirm Holdings, Inc. (b) | (285,676) | ||
(1,630) | CSG Systems International, Inc. | (105,412) | ||
(17,691) | DXC Technology Co. (b) | (508,616) | ||
(2,926) | Euronet Worldwide, Inc. (b) | (245,813) | ||
(24,919) | Fidelity National Information Services, Inc. | (2,068,028) | ||
(25,005) | International Business Machines Corp. | (3,457,942) | ||
(21,277) | Kyndryl Holdings, Inc. (b) | (205,749) | ||
(28,961) | Western Union (The) Co. | (391,263) | ||
(7,268,499) | ||||
Life Sciences Tools & Services – (0.4)% | ||||
(46,734) | Avantor, Inc. (b) | (942,625) | ||
(4,303) | IQVIA Holdings, Inc. (b) | (902,210) | ||
(11,519) | NeoGenomics, Inc. (b) | (87,602) | ||
(34,921) | Pacific Biosciences of California, Inc. (b) | (294,733) | ||
(2,227,170) | ||||
Machinery – (0.4)% | ||||
(10,725) | 3D Systems Corp. (b) | (94,702) | ||
(7,019) | Flowserve Corp. | (201,305) | ||
(5,621) | Gates Industrial Corp, PLC (b) | (62,674) | ||
(4,605) | Oshkosh Corp. | (405,240) | ||
(16,571) | Stanley Black & Decker, Inc. | (1,300,658) | ||
(2,064,579) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Marine – (0.0)% | ||||
(3,137) | Kirby Corp. (b) | $(218,806) | ||
Media – (0.6)% | ||||
(46,158) | Comcast Corp., Class A | (1,465,055) | ||
(37,163) | DISH Network Corp., Class A (b) | (554,100) | ||
(12,417) | Omnicom Group, Inc. | (903,337) | ||
(2,922,492) | ||||
Metals & Mining – (0.5)% | ||||
(2,606) | ATI, Inc. (b) | (77,555) | ||
(20,181) | Eldorado Gold Corp. (b) | (112,812) | ||
(57,018) | Freeport-McMoRan, Inc. | (1,806,900) | ||
(14,032) | Southern Copper Corp. | (659,083) | ||
(2,656,350) | ||||
Oil, Gas & Consumable Fuels – (0.6)% | ||||
(10,816) | Archaea Energy, Inc. (b) | (279,161) | ||
(2,704) | Cameco Corp. | (64,139) | ||
(3,409) | Enviva Inc. | (203,994) | ||
(1,883) | EOG Resources, Inc. | (257,067) | ||
(24,221) | EQT Corp. | (1,013,407) | ||
(9,990) | Euronav NV | (178,122) | ||
(9,558) | Golar LNG Ltd. (b) | (265,903) | ||
(15,699) | TC Energy Corp. | (689,500) | ||
(2,951,293) | ||||
Personal Products – (0.4)% | ||||
(14,428) | Beauty Health (The) Co. (b) | (164,912) | ||
(10,962) | Estee Lauder (The) Cos., Inc., Class A | (2,197,771) | ||
(2,362,683) | ||||
Professional Services – (0.4)% | ||||
(28,849) | Alight, Inc., Class A (b) | (239,158) | ||
(3,541) | Equifax, Inc. | (600,341) | ||
(4,422) | Jacobs Solutions, Inc. | (509,503) | ||
(11,176) | TransUnion | (662,402) | ||
(2,011,404) | ||||
Real Estate Management & Development – (0.0)% | ||||
(13,239) | DigitalBridge Group, Inc. | (169,459) | ||
Road & Rail – (0.1)% | ||||
(14,721) | Hertz Global Holdings, Inc. (b) | (270,867) | ||
(860) | Norfolk Southern Corp. | (196,140) | ||
(467,007) | ||||
Semiconductors & Semiconductor Equipment – (1.2)% | ||||
(10,264) | First Solar, Inc. (b) | (1,494,130) | ||
(9,759) | indie Semiconductor, Inc., Class A (b) | (76,315) | ||
(94,279) | Intel Corp. | (2,680,352) | ||
(13,796) | Teradyne, Inc. | (1,122,305) | ||
(10,926) | Wolfspeed, Inc. (b) | (860,423) | ||
(6,233,525) | ||||
Software – (1.7)% | ||||
(59,589) | BlackBerry Ltd. (b) | (277,685) | ||
(4,458) | Cerence, Inc. (b) | (76,678) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Software (Continued) | ||||
(11,052) | Ceridian HCM Holding, Inc. (b) | $(731,532) | ||
(19,442) | Confluent, Inc.. Class A (b) | (522,601) | ||
(4,202) | Freshworks, Inc., Class A (b) | (57,105) | ||
(11,251) | Gitlab, Inc., Class A (b) | (545,223) | ||
(3,564) | Informatica, Inc., Class A (b) | (68,999) | ||
(37,912) | Matterport, Inc. (b) | (132,313) | ||
(17,712) | NCR Corp. (b) | (376,557) | ||
(21,651) | Nutanix, Inc., Series A (b) | (593,237) | ||
(39,569) | Oracle Corp. | (3,089,152) | ||
(3,036) | Paycor HCM, Inc. (b) | (92,507) | ||
(6,202) | Pegasystems, Inc. | (230,776) | ||
(15,924) | Qualtrics International, Inc., Class A (b) | (190,610) | ||
(10,220) | Samsara, Inc., Class A (b) | (125,808) | ||
(5,962) | SAP SE, ADR | (572,710) | ||
(27,158) | SentinelOne, Inc., Class A (b) | (620,289) | ||
(1,918) | Tyler Technologies, Inc. (b) | (620,147) | ||
(8,923,929) | ||||
Specialty Retail – (0.2)% | ||||
(2,456) | Burlington Stores, Inc. (b) | (351,110) | ||
(69,748) | Gap (The), Inc. | (786,060) | ||
(1,137,170) | ||||
Textiles, Apparel & Luxury Goods – (0.3)% | ||||
(3,352) | Columbia Sportswear Co. | (249,724) | ||
(10,228) | Skechers U.S.A., Inc., Class A (b) | (352,150) | ||
(28,558) | VF Corp. | (806,763) | ||
(1,408,637) | ||||
Tobacco – (0.0)% | ||||
(1,301) | Universal Corp. | (65,844) | ||
Trading Companies & Distributors – (0.1)% | ||||
(4,549) | Air Lease Corp. | (160,534) | ||
(1,360) | GATX Corp. | (142,406) | ||
(302,940) | ||||
Wireless Telecommunication Services – (0.0)% | ||||
(8,279) | Telephone & Data Systems, Inc. | (140,743) | ||
Total Common Stocks Sold Short | (117,123,431) | |||
(Proceeds $128,565,177) | ||||
REAL ESTATE INVESTMENT TRUSTS SOLD SHORT – (0.2)% | ||||
Equity Real Estate Investment Trusts – (0.2)% | ||||
(12,148) | Douglas Emmett, Inc. | (213,683) | ||
(20,412) | Hudson Pacific Properties, Inc. | (225,348) | ||
(8,398) | JBG SMITH Properties | (165,273) | ||
(15,949) | Vornado Realty Trust | (376,237) | ||
(980,541) |
Shares | Description | Value | ||
REAL ESTATE INVESTMENT TRUSTS SOLD SHORT (Continued) | ||||
Mortgage Real Estate Investment Trusts – (0.0)% | ||||
(7,925) | Apollo Commercial Real Estate Finance, Inc. | $(89,236) | ||
Total Real Estate Investment Trusts Sold Short | (1,069,777) | |||
(Proceeds $1,377,239) | ||||
Total Investments Sold Short – (22.5)% | (118,193,208) | |||
(Proceeds $129,942,416) | ||||
Net Other Assets and Liabilities – 31.8% | 166,881,773 | |||
Net Assets – 100.0% | $524,764,802 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
NASDAQ 100 E-mini Futures | Short | 163 | Dec 2022 | $ (37,318,035) | $3,102,771 | |||||
Russell 2000 E-mini Futures | Short | 387 | Dec 2022 | (35,855,550) | (879,567) | |||||
$(73,173,585) | $2,223,204 |
(a) | This security or a portion of this security is segregated as collateral for investments sold short. |
(b) | Non-income producing security. |
(c) | This security is taxed as a “C” corporation for federal income tax purposes. |
ADR | American Depositary Receipt |
ASSETS TABLE | ||||
Total Value at 10/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $441,407,711 | $441,407,711 | $— | $— |
Exchange-Traded Funds* | 25,890,943 | 25,890,943 | — | — |
Master Limited Partnerships* | 6,102,878 | 6,102,878 | — | — |
Real Estate Investment Trusts* | 2,674,705 | 2,674,705 | — | — |
Total Investments | 476,076,237 | 476,076,237 | — | — |
Futures Contracts** | 3,102,771 | 3,102,771 | — | — |
Total | $ 479,179,008 | $ 479,179,008 | $— | $— |
LIABILITIES TABLE | ||||
Total Value at 10/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks Sold Short* | $ (117,123,431) | $ (117,123,431) | $— | $— |
Real Estate Investment Trusts Sold Short* | (1,069,777) | (1,069,777) | — | — |
Total Investments | (118,193,208) | (118,193,208) | — | — |
Futures Contracts** | (879,567) | (879,567) | — | — |
Total | $ (119,072,775) | $ (119,072,775) | $— | $— |
* | See Portfolio of Investments for industry 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 $492,994,178) | $ 476,076,237 |
Cash | 41,574,516 |
Cash held at broker as collateral for open futures contracts | 4,573,500 |
Restricted Cash | 120,079,280 |
Receivables: | |
Fund shares sold | 2,440,345 |
Variation margin | 428,495 |
Dividends | 293,109 |
Margin interest rebate | 115,137 |
Miscellaneous | 8,931 |
Dividend reclaims | 7,353 |
Total Assets | 645,596,903 |
LIABILITIES: | |
Investments sold short, at value (proceeds $129,942,416) | 118,193,208 |
Payables: | |
Investment securities purchased | 2,214,598 |
Investment advisory fees | 404,800 |
Dividends on investments sold short | 19,495 |
Total Liabilities | 120,832,101 |
NET ASSETS | $524,764,802 |
NET ASSETS consist of: | |
Paid-in capital | $ 592,060,887 |
Par value | 107,500 |
Accumulated distributable earnings (loss) | (67,403,585) |
NET ASSETS | $524,764,802 |
NET ASSET VALUE, per share | $48.82 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 10,750,002 |
INVESTMENT INCOME: | ||
Dividends | $ 7,513,003 | |
Margin interest rebate | 951,716 | |
Margin interest income | 183,684 | |
Interest | 128,804 | |
Foreign withholding tax | (81,721) | |
Other | 11 | |
Total investment income | 8,695,497 | |
EXPENSES: | ||
Investment advisory fees | 4,557,183 | |
Dividend expense on investments sold short | 2,034,162 | |
Margin interest expense | 165,971 | |
Total expenses | 6,757,316 | |
NET INVESTMENT INCOME (LOSS) | 1,938,181 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (9,130,945) | |
In-kind redemptions | 5,221,770 | |
Futures contracts | 6,018,732 | |
Investments sold short | 17,346,840 | |
Net realized gain (loss) | 19,456,397 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | (54,054,025) | |
Futures contracts | 2,005,339 | |
Investments sold short | 15,588,771 | |
Net change in unrealized appreciation (depreciation) | (36,459,915) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (17,003,518) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(15,065,337) |
Year Ended 10/31/2022 | Year Ended 10/31/2021 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 1,938,181 | $ (1,003,242) | |
Net realized gain (loss) | 19,456,397 | 40,742,569 | |
Net change in unrealized appreciation (depreciation) | (36,459,915) | 19,551,117 | |
Net increase (decrease) in net assets resulting from operations | (15,065,337) | 59,290,444 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (701,300) | (895,180) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 184,437,643 | 547,568,213 | |
Cost of shares redeemed | (73,660,960) | (477,583,820) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 110,776,683 | 69,984,393 | |
Total increase (decrease) in net assets | 95,010,046 | 128,379,657 | |
NET ASSETS: | |||
Beginning of period | 429,754,756 | 301,375,099 | |
End of period | $524,764,802 | $429,754,756 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 8,550,002 | 7,200,002 | |
Shares sold | 3,700,000 | 12,000,000 | |
Shares redeemed | (1,500,000) | (10,650,000) | |
Shares outstanding, end of period | 10,750,002 | 8,550,002 |
Year Ended October 31, | |||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
Net asset value, beginning of period | $ 50.26 | $ 41.86 | $ 41.67 | $ 38.47 | $ 37.78 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.19 | (0.10) | 0.05 | 0.39 | 0.26 | ||||
Net realized and unrealized gain (loss) | (1.56) | 8.63 | 0.25 | 3.23 | 0.67 | ||||
Total from investment operations | (1.37) | 8.53 | 0.30 | 3.62 | 0.93 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.07) | (0.13) | (0.11) | (0.42) | (0.24) | ||||
Net asset value, end of period | $48.82 | $50.26 | $41.86 | $41.67 | $38.47 | ||||
Total return (a) | (2.74)% | 20.41% | 0.74% | 9.49% | 2.45% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 524,765 | $ 429,755 | $ 301,375 | $ 245,867 | $ 155,803 | ||||
Ratio of total expenses to average net assets (b) | 1.41% | 1.36% | 1.55% | 1.60% | 1.59% | ||||
Ratio of total expenses to average net assets excluding dividend expense and margin interest expense (b) | 0.95% | 0.95% | 0.95% | 0.95% | 0.95% | ||||
Ratio of net investment income (loss) to average net assets | 0.40% | (0.28)% | 0.09% | 1.03% | 0.71% | ||||
Portfolio turnover rate (c) | 223% | 250% | 250% | 210% | 249% |
(a) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(b) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price; |
2) | the type of security; |
3) | the size of the holding; |
4) | the initial cost of the security; |
5) | transactions in comparable securities; |
6) | price quotes from dealers and/or third-party pricing services; |
7) | relationships among various securities; |
8) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
9) | an analysis of the issuer’s financial statements; |
10) | the existence of merger proposals or tender offers that might affect the value of the security; and |
11) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from: | 2022 | 2021 |
Ordinary income | $701,300 | $895,180 |
Capital gains | — | — |
Return of capital | — | — |
Undistributed ordinary income | $588,816 |
Accumulated capital and other gain (loss) | (60,966,459) |
Net unrealized appreciation (depreciation) | (7,025,942) |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$(519,748) | $(3,480,328) | $4,000,076 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$367,132,175 | $36,682,822 | $(43,708,764) | $(7,025,942) |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statement of Assets and Liabilities Location | Value | Statement of Assets and Liabilities Location | Value | |||||
Futures contracts | Equity Risk | Unrealized appreciation on futures contracts* | $ 3,102,771 | Unrealized depreciation on futures contracts* | $ 879,567 |
Statement of Operations Location | |
Equity Risk Exposure | |
Net realized gain (loss) on futures contracts | $6,018,732 |
Net change in unrealized appreciation (depreciation) on futures contracts | 2,005,339 |
Dividends Received Deduction | Qualified Dividend Income | |
100.00% | 100.00% |
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, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 223 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 223 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 223 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 223 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 223 | 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) | 223 | 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 2016 | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, 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 2016 | Senior Vice President, 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
October 31, 2022
1 | |
2 | |
5 | |
7 | |
8 | |
13 | |
14 | |
15 | |
16 | |
17 | |
25 | |
26 | |
33 | |
35 |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 10/31/22 | 5 Years Ended 10/31/22 | Inception (11/4/14) to 10/31/22 | 5 Years Ended 10/31/22 | Inception (11/4/14) to 10/31/22 | ||
Fund Performance | ||||||
NAV | -18.71% | -4.67% | -3.30% | -21.25% | -23.50% | |
Market Price | -19.09% | -4.81% | -3.37% | -21.85% | -23.94% | |
Index Performance | ||||||
Bloomberg Emerging Markets Local Currency Government - 10% Country Capped Index | -18.28% | -2.58% | -1.70% | -12.24% | -12.84% | |
JP Morgan GBI-EM Global Diversified Index | -20.27% | -3.54% | -2.59% | -16.49% | -18.92% |
Industry Classification | % of Total Investments |
Sovereigns | 93.9% |
Supranationals | 6.1 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Foreign Sovereign Bonds and Notes | 91.7% |
Net Other Assets and Liabilities(1) | 8.3 |
Total | 100.0% |
Credit Quality(2) | % of Total Investments (including cash) |
AAA | 5.8% |
AA | 1.3 |
AA- | 0.7 |
A+ | 2.2 |
A | 14.1 |
A- | 7.9 |
BBB+ | 13.9 |
BBB | 22.4 |
BBB- | 5.0 |
BB | 20.3 |
B | 1.1 |
Cash | 5.3 |
Total | 100.0% |
Top Ten Holdings | % of Total Investments |
Republic of South Africa Government Bond, 10.50%, 12/21/26 | 6.2% |
Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/01/27 | 5.9 |
Indonesia Treasury Bond, 8.38%, 9/15/26 | 5.4 |
Mexican Bonos, 7.50%, 6/03/27 | 4.8 |
Indonesia Treasury Bond, 9.00%, 3/15/29 | 4.5 |
Republic of Poland Government Bond, 2.75%, 4/25/28 | 4.0 |
Malaysia Government Bond, 3.89%, 8/15/29 | 3.8 |
Thailand Government Bond, 2.13%, 12/17/26 | 3.7 |
Colombian TES, 7.75%, 9/18/30 | 3.5 |
Philippine Government International Bond, 6.25%, 1/14/36 | 3.3 |
Total | 45.1% |
(1) | Includes forward foreign currency contracts. |
(2) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Beginning Account Value May 1, 2022 | Ending Account Value October 31, 2022 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Emerging Markets Local Currency Bond ETF (FEMB) | ||||
Actual | $1,000.00 | $899.60 | 0.85% | $4.07 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | 0.85% | $4.33 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2022 through October 31, 2022), multiplied by 184/365 (to reflect the six-month period). |
Principal Value (Local Currency) | Description | Stated Coupon | Stated Maturity | Value (US Dollars) | ||||
FOREIGN SOVEREIGN BONDS AND NOTES – 91.7% | ||||||||
Brazil – 10.0% | ||||||||
3,000,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/23 | $577,260 | ||||
16,150,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/25 | 3,024,300 | ||||
34,450,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/27 | 6,334,291 | ||||
9,200,000 | Brazil Notas do Tesouro Nacional, Series F (BRL) | 10.00% | 01/01/29 | 1,653,116 | ||||
11,588,967 | ||||||||
Chile – 2.1% | ||||||||
2,255,000,000 | Bonos de la Tesoreria de la Republica en Pesos (CLP) | 4.50% | 03/01/26 | 2,221,862 | ||||
270,000,000 | Bonos de la Tesoreria de la Republica en Pesos (CLP) (a) (b) | 4.70% | 09/01/30 | 254,787 | ||||
2,476,649 | ||||||||
Colombia – 4.8% | ||||||||
6,062,000,000 | Colombian TES (COP) | 7.50% | 08/26/26 | 1,017,396 | ||||
5,270,000,000 | Colombian TES (COP) | 6.00% | 04/28/28 | 762,187 | ||||
25,920,000,000 | Colombian TES (COP) | 7.75% | 09/18/30 | 3,766,557 | ||||
5,546,140 | ||||||||
Czech Republic – 1.3% | ||||||||
39,700,000 | Czech Republic Government Bond (CZK) (b) | 2.40% | 09/17/25 | 1,451,227 | ||||
Hungary – 4.4% | ||||||||
806,000,000 | Hungary Government Bond (HUF) | 5.50% | 06/24/25 | 1,627,399 | ||||
1,695,000,000 | Hungary Government Bond (HUF) | 6.75% | 10/22/28 | 3,346,337 | ||||
80,000,000 | Hungary Government Bond (HUF) | 3.00% | 08/21/30 | 120,444 | ||||
5,094,180 | ||||||||
India – 0.4% | ||||||||
40,000,000 | India Government Bond (INR) | 6.10% | 07/12/31 | 443,599 | ||||
Indonesia – 12.5% | ||||||||
86,660,000,000 | Indonesia Treasury Bond (IDR) | 8.38% | 09/15/26 | 5,769,370 | ||||
69,702,000,000 | Indonesia Treasury Bond (IDR) | 9.00% | 03/15/29 | 4,821,917 | ||||
38,940,000,000 | Indonesia Treasury Bond (IDR) | 7.00% | 09/15/30 | 2,421,432 | ||||
14,485,000,000 | Indonesia Treasury Bond (IDR) | 8.38% | 03/15/34 | 981,952 | ||||
8,786,000,000 | Indonesia Treasury Bond (IDR) | 8.25% | 05/15/36 | 586,650 | ||||
14,581,321 | ||||||||
Israel – 0.7% | ||||||||
2,400,000 | Israel Government Bond - Fixed (ILS) | 6.25% | 10/30/26 | 753,581 | ||||
Malaysia – 8.9% | ||||||||
5,500,000 | Malaysia Government Bond (MYR) | 3.48% | 06/14/24 | 1,164,122 | ||||
16,750,000 | Malaysia Government Bond (MYR) | 3.90% | 11/30/26 | 3,530,749 | ||||
19,705,000 | Malaysia Government Bond (MYR) | 3.89% | 08/15/29 | 4,040,393 | ||||
9,035,000 | Malaysia Government Bond (MYR) | 2.63% | 04/15/31 | 1,654,939 | ||||
10,390,203 | ||||||||
Mexico – 4.7% | ||||||||
111,180,000 | Mexican Bonos (MXN) | 7.50% | 06/03/27 | 5,138,056 | ||||
7,590,000 | Mexican Bonos (MXN) | 8.50% | 05/31/29 | 358,876 | ||||
5,496,932 | ||||||||
Peru – 4.8% | ||||||||
3,925,000 | Peru Government Bond (PEN) | 8.20% | 08/12/26 | 1,017,701 | ||||
14,680,000 | Peru Government Bond (PEN) | 6.95% | 08/12/31 | 3,391,160 |
Principal Value (Local Currency) | Description | Stated Coupon | Stated Maturity | Value (US Dollars) | ||||
FOREIGN SOVEREIGN BONDS AND NOTES (Continued) | ||||||||
Peru (Continued) | ||||||||
5,590,000 | Peru Government Bond (PEN) | 6.90% | 08/12/37 | $1,206,308 | ||||
5,615,169 | ||||||||
Philippines – 3.9% | ||||||||
60,000,000 | Philippine Government International Bond (PHP) | 3.90% | 11/26/22 | 1,025,048 | ||||
226,000,000 | Philippine Government International Bond (PHP) | 6.25% | 01/14/36 | 3,545,993 | ||||
4,571,041 | ||||||||
Poland – 4.7% | ||||||||
545,000 | Republic of Poland Government Bond (PLN) | 4.00% | 10/25/23 | 110,413 | ||||
6,640,000 | Republic of Poland Government Bond (PLN) | 2.50% | 07/25/26 | 1,128,074 | ||||
26,485,000 | Republic of Poland Government Bond (PLN) | 2.75% | 04/25/28 | 4,257,095 | ||||
5,495,582 | ||||||||
Romania – 4.5% | ||||||||
15,210,000 | Romania Government Bond (RON) | 4.50% | 06/17/24 | 2,868,868 | ||||
12,680,000 | Romania Government Bond (RON) | 4.75% | 02/24/25 | 2,330,625 | ||||
5,199,493 | ||||||||
South Africa – 9.7% | ||||||||
115,005,000 | Republic of South Africa Government Bond (ZAR) | 10.50% | 12/21/26 | 6,570,663 | ||||
76,010,000 | Republic of South Africa Government Bond (ZAR) | 8.25% | 03/31/32 | 3,410,338 | ||||
30,270,000 | Republic of South Africa Government Bond (ZAR) | 8.88% | 02/28/35 | 1,344,610 | ||||
11,325,611 | ||||||||
Supranationals – 5.6% | ||||||||
100,000,000 | African Development Bank (ZAR) | (c) | 04/05/46 | 650,027 | ||||
277,020,000 | Asian Development Bank (INR) | 6.20% | 10/06/26 | 3,190,110 | ||||
51,050,000 | International Finance Corp. (INR) | 5.85% | 11/25/22 | 616,195 | ||||
116,000,000 | International Finance Corp. (INR) | 6.30% | 11/25/24 | 1,360,673 | ||||
62,500,000 | International Finance Corp. (MXN) | (c) | 02/22/38 | 717,332 | ||||
6,534,337 | ||||||||
Thailand – 7.7% | ||||||||
6,100,000 | Thailand Government Bond (THB) | 3.63% | 06/16/23 | 162,449 | ||||
153,100,000 | Thailand Government Bond (THB) | 2.13% | 12/17/26 | 3,955,917 | ||||
53,400,000 | Thailand Government Bond (THB) | 1.60% | 12/17/29 | 1,282,793 | ||||
129,760,000 | Thailand Government Bond (THB) | 3.65% | 06/20/31 | 3,544,900 | ||||
8,946,059 | ||||||||
Turkey – 1.0% | ||||||||
23,800,000 | Turkey Government Bond (TRY) | 10.60% | 02/11/26 | 1,194,843 |
Total Investments – 91.7% | 106,704,934 | ||
(Cost $140,101,395) | |||
Net Other Assets and Liabilities – 8.3% | 9,626,539 | ||
Net Assets – 100.0% | $116,331,473 |
Forward Foreign Currency Contracts | ||||||||||||||
Settlement Date | Counterparty | Amount Purchased | Amount Sold | Purchase Value as of 10/31/2022 | Sale Value as of 10/31/2022 | Unrealized Appreciation/ (Depreciation) | ||||||||
11/22/22 | BBH | CNH | 7,000,000 | USD | 983,171 | $ 962,954 | $ 983,171 | $ (20,217) | ||||||
11/22/22 | BNS | COP | 17,100,000,000 | USD | 3,668,741 | 3,450,490 | 3,668,741 | (218,251) | ||||||
11/22/22 | BBH | HUF | 471,000,000 | USD | 1,080,549 | 1,129,745 | 1,080,549 | 49,196 | ||||||
11/22/22 | BNS | KRW | 3,000,000,000 | USD | 2,103,226 | 2,106,172 | 2,103,226 | 2,946 | ||||||
11/22/22 | BBH | MXN | 55,100,000 | USD | 2,729,307 | 2,770,414 | 2,729,307 | 41,107 | ||||||
11/22/22 | BNS | PHP | 60,820,000 | USD | 1,029,626 | 1,049,175 | 1,029,626 | 19,549 | ||||||
11/22/22 | BNS | USD | 2,441,949 | BRL | 13,000,000 | 2,441,949 | 2,505,154 | (63,205) | ||||||
11/22/22 | BNS | USD | 2,753,717 | IDR | 42,600,000,000 | 2,753,717 | 2,730,220 | 23,497 | ||||||
11/22/22 | BBH | USD | 2,070,751 | ILS | 7,320,000 | 2,070,751 | 2,074,097 | (3,346) | ||||||
11/22/22 | BNS | USD | 685,469 | INR | 56,750,000 | 685,469 | 684,376 | 1,093 | ||||||
11/22/22 | BNS | USD | 575,216 | PEN | 2,300,000 | 575,216 | 575,924 | (708) | ||||||
11/22/22 | BBH | USD | 1,524,146 | PLN | 7,590,000 | 1,524,146 | 1,586,014 | (61,868) | ||||||
11/22/22 | BBH | USD | 1,393,129 | RON | 7,080,000 | 1,393,129 | 1,422,166 | (29,037) | ||||||
11/22/22 | BBH | USD | 3,131,825 | THB | 119,200,000 | 3,131,825 | 3,136,658 | (4,833) | ||||||
11/22/22 | BBH | USD | 1,892,971 | ZAR | 34,600,000 | 1,892,971 | 1,880,682 | 12,289 | ||||||
Net Unrealized Appreciation / (Depreciation) | $(251,788) |
Counterparty Abbreviations | |
BBH | Brown Brothers Harriman and Co. |
BNS | Bank of Nova Scotia |
(a) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P., the Fund’s advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At October 31, 2022, securities noted as such amounted to $254,787 or 0.2% of net assets. |
(b) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act. |
(c) | Zero coupon bond. |
Currency Exposure Diversification | % of Total Investments (including cash)† |
IDR | 10.5% |
MYR | 9.2 |
ZAR | 9.0 |
COP | 8.8 |
MXN | 8.3 |
BRL | 8.1 |
USD | 6.9 |
HUF | 5.8 |
THB | 5.2 |
PHP | 5.0 |
PEN | 4.9 |
INR | 4.4 |
PLN | 4.3 |
RON | 3.3 |
CLP | 2.3 |
KRW | 1.9 |
CZK | 1.3 |
TRY | 1.1 |
CNH | 0.8 |
EUR | 0.0* |
ILS | (1.1) |
Total | 100.0% |
† | The weightings include the impact of currency forwards. |
* | Amount is less than 0.1%. |
Currency Abbreviations | |
BRL | Brazilian Real |
CLP | Chilean Peso |
CNH | Chinese Yuan |
COP | Colombian Peso |
CZK | Czech Republic Koruna |
EUR | Euro |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
PEN | Peruvian Nuevo Sol |
PHP | Philippine Peso |
PLN | Polish Zloty |
RON | Romanian New Leu |
THB | Thai Baht |
TRY | Turkish Lira |
USD | United States Dollar |
ZAR | South African Rand |
ASSETS TABLE | ||||
Total Value at 10/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Foreign Sovereign Bonds and Notes* | $ 106,704,934 | $ — | $ 106,704,934 | $ — |
Forward Foreign Currency Contracts** | 149,677 | — | 149,677 | — |
Total | $ 106,854,611 | $— | $ 106,854,611 | $— |
LIABILITIES TABLE | ||||
Total Value at 10/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Forward Foreign Currency Contracts** | $ (401,465) | $ — | $ (401,465) | $ — |
* | See Portfolio of Investments for country breakout. |
** | See the Schedule of Forward Foreign Currency Contracts for contract and currency detail. |
ASSETS: | |
Investments, at value (Cost $140,101,395) | $ 106,704,934 |
Cash | 2,546,405 |
Cash segregated as collateral for open forward foreign currency contracts | 330,000 |
Foreign currency (Cost $3,069,222) | 3,061,948 |
Unrealized appreciation on forward foreign currency contracts | 149,677 |
Receivables: | |
Investment securities sold | 1,979,783 |
Interest | 1,892,867 |
Interest reclaims | 170,287 |
Total Assets | 116,835,901 |
LIABILITIES: | |
Unrealized depreciation on forward foreign currency contracts | 401,465 |
Due to broker | 7,716 |
Payables: | |
Investment advisory fees | 87,002 |
Deferred foreign capital gains tax | 8,245 |
Total Liabilities | 504,428 |
NET ASSETS | $116,331,473 |
NET ASSETS consist of: | |
Paid-in capital | $ 184,685,333 |
Par value | 47,500 |
Accumulated distributable earnings (loss) | (68,401,360) |
NET ASSETS | $116,331,473 |
NET ASSET VALUE, per share | $24.49 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 4,750,002 |
INVESTMENT INCOME: | ||
Interest | $ 12,615,070 | |
Foreign withholding tax | (152,958) | |
Other | 1,730 | |
Total investment income | 12,463,842 | |
EXPENSES: | ||
Investment advisory fees | 1,890,150 | |
Total expenses | 1,890,150 | |
NET INVESTMENT INCOME (LOSS) | 10,573,692 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (39,841,132) | |
Forward foreign currency contracts | (13,890,956) | |
Foreign currency transactions | (1,225,108) | |
Net realized gain (loss) | (54,957,196) | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | (2,415,309) | |
Forward foreign currency contracts | (603,560) | |
Foreign currency translation | 143,367 | |
Deferred foreign capital gains tax | 112,164 | |
Net change in unrealized appreciation (depreciation) | (2,763,338) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (57,720,534) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(47,146,842) |
Year Ended 10/31/2022 | Year Ended 10/31/2021 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 10,573,692 | $ 11,957,035 | |
Net realized gain (loss) | (54,957,196) | (6,348,806) | |
Net change in unrealized appreciation (depreciation) | (2,763,338) | (18,292,516) | |
Net increase (decrease) in net assets resulting from operations | (47,146,842) | (12,684,287) | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | — | (11,218,417) | |
Return of capital | (12,906,898) | (3,557,692) | |
Total distributions to shareholders | (12,906,898) | (14,776,109) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 48,914,060 | 139,192,070 | |
Cost of shares redeemed | (131,758,936) | (32,886,326) | |
Net increase (decrease) in net assets resulting from shareholder transactions | (82,844,876) | 106,305,744 | |
Total increase (decrease) in net assets | (142,898,616) | 78,845,348 | |
NET ASSETS: | |||
Beginning of period | 259,230,089 | 180,384,741 | |
End of period | $116,331,473 | $259,230,089 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 8,100,002 | 5,250,002 | |
Shares sold | 1,550,000 | 3,800,000 | |
Shares redeemed | (4,900,000) | (950,000) | |
Shares outstanding, end of period | 4,750,002 | 8,100,002 |
Year Ended October 31, | |||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
Net asset value, beginning of period | $ 32.00 | $ 34.36 | $ 38.45 | $ 36.11 | $ 41.55 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 1.74 | 1.84 | 1.66 | 2.25 | 1.80 | ||||
Net realized and unrealized gain (loss) | (7.55) | (2.25) | (3.72) | 2.16 | (4.76) | ||||
Total from investment operations | (5.81) | (0.41) | (2.06) | 4.41 | (2.96) | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | — | (1.48) | (0.04) | (1.94) | (0.79) | ||||
Return of capital | (1.70) | (0.47) | (1.99) | (0.13) | (1.69) | ||||
Total distributions | (1.70) | (1.95) | (2.03) | (2.07) | (2.48) | ||||
Net asset value, end of period | $24.49 | $32.00 | $34.36 | $38.45 | $36.11 | ||||
Total return (a) | (18.71)% | (1.53)% | (5.37)% | 12.46% | (7.55)% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 116,331 | $ 259,230 | $ 180,385 | $ 148,045 | $ 55,976 | ||||
Ratio of total expenses to average net assets | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% (b) | ||||
Ratio of net investment income (loss) to average net assets | 4.75% | 4.55% | 4.82% | 4.91% | 4.63% (b) | ||||
Portfolio turnover rate (c) | 43% | 42% | 59% | 25% | 61% |
(a) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(b) | Includes excise tax. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
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 most recent price provided by a pricing service; |
2) | the fundamental business data relating to the issuer, or economic data relating to the country of issue; |
3) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
4) | the type, size and cost of the security; |
5) | the financial statements of the issuer/borrower, or the financial condition of the country of issue; |
6) | the credit quality and cash flow of the issuer; |
7) | the information as to any transactions in or offers for the security; |
8) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
9) | the coupon payments; |
10) | the quality, value and salability of collateral, if any, securing the security; |
11) | the business prospects of the issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the issuer’s management (for corporate debt only); |
12) | the economic, political and social prospects/developments of the country of issue and the assessment of the country’s governmental leaders/officials (for sovereign debt only); |
13) | the prospects for the issuer’s industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry (for corporate debt only); and |
14) | 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. |
Gross Amounts not Offset in the Statement of Assets and Liabilities | |||||||||||
Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | Financial Instruments | Collateral Amounts Received | Net Amount | ||||||
Forward Foreign Currency Contracts* | $ 149,677 | $ — | $ 149,677 | $ (149,677) | $ — | $ — | |||||
Gross Amounts not Offset in the Statement of Assets and Liabilities | |||||||||||
Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | Financial Instruments | Collateral Amounts Pledged | Net Amount | ||||||
Forward Foreign Currency Contracts* | $ (401,465) | $ — | $ (401,465) | $ 149,677 | $ — | $ (251,788) |
Distributions paid from: | 2022 | 2021 |
Ordinary income | $— | $11,218,417 |
Capital gains | — | — |
Return of capital | 12,906,898 | 3,557,692 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (27,770,776) |
Net unrealized appreciation (depreciation) | (40,630,584) |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$(10,014,612) | $33,223,155 | $(23,208,543) |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$146,954,217 | $30,858 | $(40,531,929) | $(40,501,071) |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statement of Assets and Liabilities Location | Value | Statement of Assets and Liabilities Location | Value | |||||
Forward foreign currency contracts | Currency Risk | Unrealized appreciation on forward foreign currency contracts | $ 149,677 | Unrealized depreciation on forward foreign currency contracts | $ 401,465 |
Statement of Operations Location | |
Currency Risk Exposure | |
Net realized gain (loss) on forward foreign currency contracts | $(13,890,956) |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | (603,560) |
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, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 223 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 223 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 223 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 223 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 223 | 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) | 223 | 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 2016 | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, 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 2016 | Senior Vice President, 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. |
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FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
First Trust RiverFront Dynamic Europe ETF (RFEU)
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM)
For the Year Ended
October 31, 2022
2 | |
Fund Performance Overview | |
3 | |
5 | |
7 | |
9 | |
10 | |
13 | |
Portfolio of Investments | |
14 | |
17 | |
20 | |
23 | |
24 | |
26 | |
28 | |
31 | |
41 | |
42 | |
50 | |
52 |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 10/31/22 | 5 Years Ended 10/31/22 | Inception (4/13/16) to 10/31/22 | 5 Years Ended 10/31/22 | Inception (4/13/16) to 10/31/22 | ||
Fund Performance | ||||||
NAV | -28.21% | -2.35% | 2.21% | -11.20% | 15.43% | |
Market Price | -28.83% | -2.46% | 2.19% | -11.73% | 15.25% | |
Index Performance | ||||||
MSCI EAFE Index | -23.00% | -0.09% | 3.45% | -0.47% | 24.90% |
Sector Allocation | % of Total Investments |
Health Care | 18.9% |
Industrials | 18.5 |
Financials | 13.3 |
Consumer Discretionary | 10.4 |
Materials | 8.7 |
Energy | 8.2 |
Consumer Staples | 6.4 |
Utilities | 5.3 |
Information Technology | 3.9 |
Real Estate | 3.5 |
Communication Services | 2.9 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Common Stocks | 96.1% |
Real Estate Investment Trusts | 2.6 |
Net Other Assets and Liabilities* | 1.3 |
Total | 100.0% |
* | Includes forward foreign currency contracts. |
Top Ten Holdings | % of Total Investments |
Nestle S.A. | 3.4% |
Roche Holding AG | 3.1 |
Novartis AG | 3.0 |
Novo Nordisk A.S., Class B | 2.3 |
Glencore PLC | 1.8 |
Mercedes-Benz Group AG | 1.8 |
BHP Group Ltd. | 1.8 |
Rio Tinto PLC | 1.7 |
Banco Bilbao Vizcaya Argentaria S.A. | 1.6 |
Imperial Brands PLC | 1.6 |
Total | 22.1% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 10/31/22 | 5 Years Ended 10/31/22 | Inception (4/13/16) to 10/31/22 | 5 Years Ended 10/31/22 | Inception (4/13/16) to 10/31/22 | ||
Fund Performance | ||||||
NAV | -27.33% | -1.27% | 3.64% | -6.18% | 26.39% | |
Market Price | -27.79% | -1.40% | 3.58% | -6.81% | 25.93% | |
Index Performance | ||||||
MSCI Europe Index | -22.88% | 0.04% | 3.47% | 0.21% | 25.02% |
Sector Allocation | % of Total Investments |
Health Care | 23.5% |
Industrials | 16.4 |
Consumer Staples | 15.6 |
Energy | 11.3 |
Consumer Discretionary | 8.9 |
Financials | 7.8 |
Information Technology | 5.5 |
Materials | 4.9 |
Real Estate | 1.8 |
Communication Services | 1.6 |
Utilities | 1.2 |
Other* | 1.5 |
Total | 100.0% |
* | Exchange-traded fund with holdings representing multiple sectors. |
Fund Allocation | % of Net Assets |
Common Stocks | 96.5% |
Real Estate Investment Trusts | 1.8 |
Exchange-Traded Funds | 1.5 |
Net Other Assets and Liabilities** | 0.2 |
Total | 100.0% |
** | Includes forward foreign currency contracts. |
Top Ten Holdings | % of Total Investments |
Nestle S.A. | 5.0% |
Roche Holding AG | 4.0 |
Novo Nordisk A.S., Class B | 3.6 |
Novartis AG | 3.4 |
LVMH Moet Hennessy Louis Vuitton SE | 3.3 |
TotalEnergies SE | 2.9 |
Shell PLC | 2.6 |
Unilever PLC | 2.6 |
ASML Holding N.V. | 2.5 |
British American Tobacco PLC | 2.3 |
Total | 32.2% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 10/31/22 | 5 Years Ended 10/31/22 | Inception (6/14/16) to 10/31/22 | 5 Years Ended 10/31/22 | Inception (6/14/16) to 10/31/22 | ||
Fund Performance | ||||||
NAV | -24.97% | -3.97% | 2.67% | -18.35% | 18.29% | |
Market Price | -24.54% | -4.13% | 2.63% | -19.01% | 18.00% | |
Index Performance | ||||||
MSCI Emerging Markets Index | -31.03% | -3.09% | 3.34% | -14.54% | 23.29% |
Sector Allocation | % of Total Investments |
Information Technology | 30.5% |
Materials | 14.2 |
Energy | 10.2 |
Financials | 9.6 |
Consumer Staples | 9.4 |
Communication Services | 6.4 |
Consumer Discretionary | 5.8 |
Industrials | 5.7 |
Health Care | 4.2 |
Utilities | 3.7 |
Real Estate | 0.3 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Common Stocks | 99.4% |
Net Other Assets and Liabilities* | 0.6 |
Total | 100.0% |
* | Includes forward foreign currency contracts. |
Top Ten Holdings | % of Total Investments |
Taiwan Semiconductor Manufacturing Co., Ltd. | 4.4% |
ITC Ltd. | 2.3 |
Infosys Ltd. | 2.2 |
Tata Steel Ltd. | 2.2 |
JBS S.A. | 2.1 |
Petroleo Brasileiro S.A. (Preference Shares) | 2.0 |
United Microelectronics Corp., ADR | 2.0 |
Petroleo Brasileiro S.A. | 2.0 |
Tencent Holdings Ltd. | 1.9 |
Wal-Mart de Mexico S.A.B. de C.V. | 1.8 |
Total | 22.9% |
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
2022 Performance | ||
RFDI Market | -28.83% | |
RFDI NAV | -28.21% | |
Benchmark: MSCI EAFE Index | -23.00% |
2022 Performance | ||
RFEU Market | -27.29% | |
RFEU NAV | -27.33% | |
Benchmark: MSCI Europe Index | -22.88% |
2022 Performance | ||
RFEM Market | -24.54% | |
RFEM NAV | -24.97% | |
Benchmark: MSCI Emerging Markets Index | -31.03% |
• | Expect High Volatility – Given the uncertainty surrounding inflation, recession risk, and the consumer, we expect volatility to remain high across the globe, in our opinion. Traditionally, defensive sectors and security selection that tends toward stocks with low volatility characteristics could provide positive relative performance. |
• | Commodity producers are likely to outperform, in our opinion. Commodity prices remain toward the top of the previous decade’s price range. Given their operating leverage and exposure to these prices, commodity producing countries and companies should, in our opinion, be able to continue their outperformance if inflation remains high. |
• | In our view, interest rate differentials provide currency hedging opportunities. As long as several global central banks lag the Fed, we believe there will be opportunities to hedge the currency exposure of international equities. Specifically, being able to dynamically hedge a portfolio, in order to respond to changes in global central bank policies, could provide alpha to a U.S. domiciled investor. |
Beginning Account Value May 1, 2022 | Ending Account Value October 31, 2022 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust RiverFront Dynamic Developed International ETF (RFDI) | ||||
Actual | $1,000.00 | $833.30 | 0.83% | $3.84 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.02 | 0.83% | $4.23 |
First Trust RiverFront Dynamic Europe ETF (RFEU) | ||||
Actual | $1,000.00 | $848.50 | 0.83% | $3.87 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.02 | 0.83% | $4.23 |
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) | ||||
Actual | $1,000.00 | $816.00 | 0.95% | $4.35 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.42 | 0.95% | $4.84 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2022 through October 31, 2022), multiplied by 184/365 (to reflect the six-month period). |
Shares | Description | Value | ||
COMMON STOCKS (a) – 96.1% | ||||
Australia – 5.8% | ||||
92,781 | ALS Ltd. | $678,934 | ||
88,087 | BHP Group Ltd. | 2,105,043 | ||
436,051 | Harvey Norman Holdings Ltd. | 1,160,307 | ||
41,998 | JB Hi-Fi Ltd. | 1,152,735 | ||
72,919 | Sonic Healthcare Ltd. | 1,528,479 | ||
16,058 | Woodside Energy Group Ltd. | 369,569 | ||
6,995,067 | ||||
Bermuda – 1.9% | ||||
274,000 | CK Infrastructure Holdings Ltd. | 1,301,995 | ||
69,100 | Orient Overseas International Ltd. | 1,009,697 | ||
2,311,692 | ||||
Canada – 4.9% | ||||
121,379 | ARC Resources Ltd. | 1,708,848 | ||
30,950 | Canadian Natural Resources Ltd. | 1,856,296 | ||
18,867 | Tourmaline Oil Corp. | 1,063,039 | ||
17,331 | West Fraser Timber Co., Ltd. | 1,301,272 | ||
5,929,455 | ||||
Denmark – 4.7% | ||||
704 | AP Moller - Maersk A.S., Class A | 1,409,065 | ||
715 | AP Moller - Maersk A.S., Class B | 1,495,613 | ||
25,742 | Novo Nordisk A.S., Class B | 2,798,571 | ||
5,703,249 | ||||
France – 5.9% | ||||
14,793 | BioMerieux | 1,309,001 | ||
2,507 | Christian Dior SE | 1,552,180 | ||
8,987 | Dassault Aviation S.A. | 1,335,763 | ||
50,796 | Engie S.A. | 660,320 | ||
2,698 | LVMH Moet Hennessy Louis Vuitton SE | 1,703,765 | ||
5,969 | Vinci S.A. | 549,656 | ||
7,110,685 | ||||
Germany – 5.3% | ||||
8,394 | Hapag-Lloyd AG (b) (c) | 1,517,223 | ||
36,580 | Mercedes-Benz Group AG | 2,118,401 | ||
11,690 | Nemetschek SE | 558,686 | ||
7,640 | Siemens AG | 835,357 | ||
8,060 | Volkswagen AG | 1,377,996 | ||
6,407,663 | ||||
Hong Kong – 1.1% | ||||
288,500 | Power Assets Holdings Ltd. | 1,380,084 | ||
Israel – 1.0% | ||||
9,633 | Check Point Software Technologies Ltd. (d) | 1,244,873 | ||
Italy – 1.1% | ||||
176,578 | Banca Mediolanum S.p.A. | 1,322,734 |
Shares | Description | Value | ||
Japan – 23.6% | ||||
66,100 | Chugai Pharmaceutical Co., Ltd. | $1,533,643 | ||
10,600 | Daito Trust Construction Co., Ltd. | 1,048,630 | ||
65,300 | H.U. Group Holdings, Inc. | 1,216,456 | ||
60,600 | Honda Motor Co., Ltd. | 1,374,651 | ||
58,200 | ITOCHU Corp. | 1,506,519 | ||
98,000 | Japan Tobacco, Inc. | 1,623,942 | ||
9,400 | Kajima Corp. | 88,567 | ||
78,300 | Mitsubishi Chemical Group Corp. | 353,915 | ||
62,700 | Mitsubishi Corp. | 1,699,746 | ||
31,100 | Mitsui OSK Lines Ltd. | 617,210 | ||
44,550 | Nintendo Co., Ltd. | 1,818,612 | ||
70,800 | Nippon Yusen KK | 1,285,108 | ||
17,200 | Nissan Chemical Corp. | 775,009 | ||
11,900 | Oracle Corp., Japan | 635,435 | ||
99,900 | ORIX Corp. | 1,467,981 | ||
40,600 | Recruit Holdings Co., Ltd. | 1,253,263 | ||
180,600 | Santen Pharmaceutical Co., Ltd. | 1,236,429 | ||
70,200 | SBI Holdings, Inc. | 1,269,025 | ||
5,800 | Shimano, Inc. | 900,064 | ||
12,600 | Softbank Corp. | 124,182 | ||
61,500 | Sumitomo Mitsui Financial Group, Inc. | 1,725,946 | ||
69,900 | Takeda Pharmaceutical Co., Ltd. | 1,841,812 | ||
6,000 | Tokyo Electron Ltd. | 1,593,463 | ||
85,600 | Tokyo Gas Co., Ltd. | 1,529,569 | ||
28,519,177 | ||||
Jersey – 1.8% | ||||
373,155 | Glencore PLC | 2,137,531 | ||
Luxembourg – 0.5% | ||||
173,946 | B&M European Value Retail S.A. | 643,527 | ||
Netherlands – 0.9% | ||||
1,316 | ASML Holding N.V. | 621,657 | ||
2,573 | Ferrari N.V. | 507,282 | ||
1,128,939 | ||||
New Zealand – 0.8% | ||||
338,007 | Spark New Zealand Ltd. | 1,006,168 | ||
Norway – 5.1% | ||||
18,141 | Aker ASA, Class A | 1,278,192 | ||
1,043,899 | DNO ASA | 1,361,588 | ||
45,921 | Equinor ASA | 1,680,050 | ||
264,523 | Wallenius Wilhelmsen ASA | 1,881,608 | ||
6,201,438 | ||||
Singapore – 1.1% | ||||
223,100 | Singapore Exchange Ltd. | 1,327,001 | ||
Spain – 4.2% | ||||
382,441 | Banco Bilbao Vizcaya Argentaria S.A. | 1,968,727 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Spain (Continued) | ||||
607,153 | Banco Santander S.A., ADR | $1,584,669 | ||
92,944 | Red Electrica Corp. S.A. | 1,501,779 | ||
5,055,175 | ||||
Sweden – 0.6% | ||||
39,253 | Swedish Orphan Biovitrum AB (d) | 722,760 | ||
Switzerland – 15.7% | ||||
3,936 | Banque Cantonale Vaudoise | 350,225 | ||
7,156 | Kuehne + Nagel International AG | 1,525,032 | ||
37,859 | Nestle S.A. | 4,122,580 | ||
43,856 | Novartis AG | 3,543,167 | ||
1,942 | Partners Group Holding AG | 1,744,280 | ||
11,164 | Roche Holding AG | 3,707,583 | ||
4,032 | Roche Holding AG | 1,635,590 | ||
413 | SGS S.A. | 911,087 | ||
15,586 | Straumann Holding AG | 1,484,588 | ||
19,024,132 | ||||
United Kingdom – 8.7% | ||||
125,882 | 3i Group PLC | 1,675,315 | ||
56,691 | Anglo American PLC | 1,695,870 | ||
74,354 | Evraz PLC (e) (f) | 68,974 | ||
161,083 | IG Group Holdings PLC | 1,469,527 | ||
77,932 | Imperial Brands PLC | 1,898,270 | ||
47,573 | RELX PLC | 1,277,173 |
Shares | Description | Value | ||
United Kingdom (Continued) | ||||
81,883 | Rightmove PLC | $461,817 | ||
38,046 | Rio Tinto PLC | 1,979,546 | ||
10,526,492 | ||||
United States – 1.4% | ||||
34,245 | Ovintiv, Inc. | 1,734,509 | ||
Total Common Stocks | 116,432,351 | |||
(Cost $126,917,565) | ||||
REAL ESTATE INVESTMENT TRUSTS (a) – 2.6% | ||||
Australia – 0.9% | ||||
524,656 | Growthpoint Properties Australia Ltd. | 1,114,180 | ||
Belgium – 0.8% | ||||
37,536 | Warehouses De Pauw CVA | 963,727 | ||
United Kingdom – 0.9% | ||||
104,266 | Safestore Holdings PLC | 1,080,335 | ||
Total Real Estate Investment Trusts | 3,158,242 | |||
(Cost $3,661,738) | ||||
Total Investments – 98.7% | 119,590,593 | |||
(Cost $130,579,303) | ||||
Net Other Assets and Liabilities – 1.3% | 1,556,614 | |||
Net Assets – 100.0% | $121,147,207 |
Forward Foreign Currency Contracts | ||||||||||||||
Settlement Date | Counterparty | Amount Purchased | Amount Sold | Purchase Value as of 10/31/2022 | Sale Value as of 10/31/2022 | Unrealized Appreciation/ (Depreciation) | ||||||||
12/01/22 | BBH | USD | 7,677,596 | EUR | 7,598,194 | $ 7,677,596 | $ 7,524,366 | $ 153,230 | ||||||
12/01/22 | BBH | USD | 5,548,842 | GBP | 4,767,660 | 5,548,842 | 5,471,881 | 76,961 | ||||||
12/01/22 | BBH | USD | 11,229,099 | JPY | 1,637,651,697 | $11,229,099 | 11,049,084 | 180,015 | ||||||
Net Unrealized Appreciation / (Depreciation) | $410,206 |
Counterparty Abbreviations | |
BBH | Brown Brothers Harriman and Co. |
(a) | Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
(b) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”). |
(c) | This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
(d) | Non-income producing security. |
(e) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At October 31, 2022, securities noted as such are valued at $68,974 or 0.1% of net assets. |
(f) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor. |
ADR | American Depositary Receipt |
Currency Exposure Diversification | % of Total Investments† |
USD | 25.3% |
CHF | 15.8 |
JPY | 14.6 |
EUR | 10.7 |
GBP | 7.4 |
AUD | 6.8 |
NOK | 5.2 |
DKK | 4.7 |
CAD | 3.9 |
HKD | 3.1 |
SGD | 1.1 |
NZD | 0.8 |
SEK | 0.6 |
Total | 100.0% |
† | The weightings include the impact of currency forwards. |
Currency Abbreviations | |
AUD | Australian Dollar |
CAD | Canadian Dollar |
CHF | Swiss Franc |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound Sterling |
HKD | Hong Kong Dollar |
JPY | Japanese Yen |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | United States Dollar |
Total Value at 10/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
United Kingdom | $ 10,526,492 | $ 10,457,518 | $ 68,974 | $ — |
Other Country Categories* | 105,905,859 | 105,905,859 | — | — |
Real Estate Investment Trusts* | 3,158,242 | 3,158,242 | — | — |
Total Investments | 119,590,593 | 119,521,619 | 68,974 | — |
Forward Foreign Currency Contracts** | 410,206 | — | 410,206 | — |
Total | $ 120,000,799 | $ 119,521,619 | $ 479,180 | $— |
* | See Portfolio of Investments for country breakout. |
** | See the Schedule of Forward Foreign Currency Contracts for contract and currency detail. |
Shares | Description | Value | ||
COMMON STOCKS (a) – 96.5% | ||||
Australia – 1.1% | ||||
3,750 | Rio Tinto Ltd. | $211,564 | ||
Belgium – 1.6% | ||||
2,211 | KBC Ancora | 78,617 | ||
2,892 | UCB S.A. | 218,124 | ||
296,741 | ||||
Denmark – 6.2% | ||||
120 | AP Moller - Maersk A.S., Class A | 240,182 | ||
123 | AP Moller - Maersk A.S., Class B | 257,287 | ||
6,128 | Novo Nordisk A.S., Class B | 666,212 | ||
1,163,681 | ||||
Finland – 1.0% | ||||
7,645 | Tieto OYJ | 182,382 | ||
France – 15.3% | ||||
1,740 | Arkema S.A. | 137,771 | ||
2,265 | BioMerieux | 200,425 | ||
3,713 | Bureau Veritas S.A. | 91,991 | ||
14,561 | Carrefour S.A. | 234,340 | ||
103 | Euroapi S.A. (b) | 1,802 | ||
1,985 | Ipsen S.A. | 204,014 | ||
995 | LVMH Moet Hennessy Louis Vuitton SE | 628,334 | ||
2,449 | Sanofi | 211,358 | ||
460 | Sartorius Stedim Biotech | 146,016 | ||
1,843 | Sodexo S.A. | 163,448 | ||
10,124 | TotalEnergies SE | 551,278 | ||
3,232 | Vinci S.A. | 297,619 | ||
2,868,396 | ||||
Germany – 7.7% | ||||
9,553 | 1&1 AG | 125,940 | ||
5,762 | Deutsche Post AG | 204,482 | ||
26,317 | E.ON SE | 220,442 | ||
8,530 | Fresenius SE & Co., KGaA | 196,414 | ||
3,591 | HUGO BOSS AG | 165,516 | ||
5,848 | Mercedes-Benz Group AG | 338,666 | ||
846 | Nemetschek SE | 40,432 | ||
1,208 | Volkswagen AG (Preference Shares) | 154,407 | ||
1,446,299 | ||||
Israel – 3.0% | ||||
97,691 | Bezeq The Israeli Telecommunication Corp., Ltd. | 173,013 | ||
1,831 | Check Point Software Technologies Ltd. (b) | 236,620 | ||
1,021 | Delek Group Ltd. (b) | 156,204 | ||
565,837 | ||||
Italy – 1.9% | ||||
27,694 | Autogrill S.p.A. (b) | 173,243 |
Shares | Description | Value | ||
Italy (Continued) | ||||
11,849 | Azimut Holding S.p.A. | $190,870 | ||
364,113 | ||||
Jersey – 2.5% | ||||
6,240 | Experian PLC | 198,508 | ||
46,682 | Glencore PLC | 267,407 | ||
465,915 | ||||
Luxembourg – 1.1% | ||||
20,058 | Subsea 7 S.A. | 200,654 | ||
Netherlands – 8.5% | ||||
993 | ASML Holding N.V. | 469,077 | ||
3,865 | ASR Nederland N.V. | 170,315 | ||
293 | Ferrari N.V. | 57,767 | ||
3,264 | Heineken Holding N.V. | 222,892 | ||
11,178 | Koninklijke Ahold Delhaize N.V. | 312,068 | ||
1,532 | OCI N.V. | 58,622 | ||
450 | QIAGEN N.V. (b) | 19,602 | ||
2,786 | Wolters Kluwer N.V. | 296,114 | ||
1,606,457 | ||||
Norway – 3.8% | ||||
2,590 | Aker ASA, Class A | 182,488 | ||
149,062 | DNO ASA | 194,426 | ||
9,184 | Equinor ASA | 336,003 | ||
712,917 | ||||
Portugal – 1.0% | ||||
51,441 | Navigator (The) Co., S.A. | 196,127 | ||
Spain – 3.1% | ||||
9,459 | Cia de Distribucion Integral Logista Holdings S.A. | 195,744 | ||
6,736 | Grupo Catalana Occidente S.A. | 183,064 | ||
109,878 | Mapfre S.A. | 188,398 | ||
380 | Red Electrica Corp. S.A. | 6,140 | ||
573,346 | ||||
Switzerland – 22.0% | ||||
1,886 | Banque Cantonale Vaudoise | 167,816 | ||
1,123 | Flughafen Zurich AG (b) | 174,279 | ||
2,371 | Galenica AG (c) | 170,245 | ||
854 | Kuehne + Nagel International AG | 181,998 | ||
2,086 | Logitech International S.A. | 103,847 | ||
8,631 | Nestle S.A. | 939,855 | ||
7,857 | Novartis AG | 634,774 | ||
25,893 | OC Oerlikon Corp. AG | 167,173 | ||
2,258 | Roche Holding AG | 749,885 | ||
608 | Roche Holding AG | 246,637 | ||
72 | SGS S.A. | 158,834 | ||
652 | Straumann Holding AG | 62,104 | ||
1,233 | Vifor Pharma AG | 220,348 | ||
2,437 | VZ Holding AG | 167,926 | ||
4,145,721 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
United Kingdom – 16.7% | ||||
19,812 | 3i Group PLC | $263,670 | ||
1,198 | AstraZeneca PLC | 140,876 | ||
11,020 | British American Tobacco PLC | 433,917 | ||
125,864 | Diversified Energy Co. PLC | 181,581 | ||
44,089 | Evraz PLC (d) (e) | 40,899 | ||
19,196 | GSK PLC | 314,536 | ||
10,934 | HSBC Holdings PLC | 56,087 | ||
12,178 | Imperial Brands PLC | 296,632 | ||
2,388 | Intertek Group PLC | 100,067 | ||
12,506 | RELX PLC | 335,743 | ||
17,948 | Shell PLC | 494,810 | ||
10,739 | Unilever PLC | 489,479 | ||
3,148,297 | ||||
Total Common Stocks | 18,148,447 | |||
(Cost $20,824,185) | ||||
REAL ESTATE INVESTMENT TRUSTS (a) – 1.8% | ||||
Belgium – 0.6% | ||||
4,153 | Warehouses De Pauw CVA | 106,627 |
Shares | Description | Value | ||
United Kingdom – 1.2% | ||||
24,855 | Segro PLC | $223,754 | ||
Total Real Estate Investment Trusts | 330,381 | |||
(Cost $573,887) | ||||
EXCHANGE-TRADED FUNDS (a) – 1.5% | ||||
United States – 1.5% | ||||
6,700 | iShares Core MSCI Europe ETF | 287,363 | ||
(Cost $276,509) | ||||
Total Investments – 99.8% | 18,766,191 | |||
(Cost $21,674,581) | ||||
Net Other Assets and Liabilities – 0.2% | 46,420 | |||
Net Assets – 100.0% | $18,812,611 |
Forward Foreign Currency Contracts | ||||||||||||||
Settlement Date | Counterparty | Amount Purchased | Amount Sold | Purchase Value as of 10/31/2022 | Sale Value as of 10/31/2022 | Unrealized Appreciation/ (Depreciation) | ||||||||
12/01/22 | BBH | USD | 2,881,864 | EUR | 2,852,060 | $ 2,881,864 | $ 2,824,348 | $ 57,516 | ||||||
12/01/22 | BBH | USD | 1,458,851 | GBP | 1,253,469 | 1,458,851 | 1,438,617 | 20,234 | ||||||
Net Unrealized Appreciation / (Depreciation) | $77,750 |
Counterparty Abbreviations | |
BBH | Brown Brothers Harriman and Co. |
(a) | Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
(b) | Non-income producing security. |
(c) | This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
(d) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At October 31, 2022, securities noted as such are valued at $40,899 or 0.2% of net assets. |
(e) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor. |
Currency Exposure Diversification | % of Total Investments† |
USD | 26.0% |
EUR | 25.5 |
CHF | 22.0 |
GBP | 12.6 |
DKK | 6.2 |
NOK | 4.9 |
ILS | 1.7 |
AUD | 1.1 |
Total | 100.0% |
† | The weightings include the impact of currency forwards. |
Currency Abbreviations | |
AUD | Australian Dollar |
CHF | Swiss Franc |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound Sterling |
ILS | Israeli Shekel |
NOK | Norwegian Krone |
USD | United States Dollar |
Total Value at 10/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
United Kingdom | $ 3,148,297 | $ 3,107,398 | $ 40,899 | $ — |
Other Country Categories* | 15,000,150 | 15,000,150 | — | — |
Real Estate Investment Trusts* | 330,381 | 330,381 | — | — |
Exchange-Traded Funds* | 287,363 | 287,363 | — | — |
Total Investments | 18,766,191 | 18,725,292 | 40,899 | — |
Forward Foreign Currency Contracts** | 77,750 | — | 77,750 | — |
Total | $ 18,843,941 | $ 18,725,292 | $ 118,649 | $— |
* | See Portfolio of Investments for country breakout. |
** | See the Schedule of Forward Foreign Currency Contracts for contract and currency detail. |
Shares | Description | Value | ||
COMMON STOCKS (a) – 99.4% | ||||
Argentina – 0.8% | ||||
28,167 | Grupo Financiero Galicia S.A., ADR | $218,576 | ||
Brazil – 17.2% | ||||
67,267 | Bradespar S.A. (Preference Shares) | 312,667 | ||
75,562 | Cia Siderurgica Nacional S.A., ADR | 182,104 | ||
60,547 | CPFL Energia S.A. | 415,173 | ||
66,648 | EDP - Energias do Brasil S.A. | 297,661 | ||
59,293 | Equatorial Energia S.A. | 344,704 | ||
121,843 | JBS S.A. | 588,753 | ||
83,749 | Marfrig Global Foods S.A. | 173,481 | ||
88,274 | Petroleo Brasileiro S.A. | 568,385 | ||
100,361 | Petroleo Brasileiro S.A. (Preference Shares) | 579,181 | ||
37,633 | Petroleo Brasileiro S.A., ADR | 482,455 | ||
37,154 | Petroleo Brasileiro S.A., ADR | 427,643 | ||
27,531 | Suzano S.A. | 283,544 | ||
21,484 | Vale S.A. | 279,203 | ||
4,934,954 | ||||
Cayman Islands – 5.6% | ||||
42,400 | Alibaba Group Holding Ltd. (b) | 331,923 | ||
26,486 | ANTA Sports Products Ltd. | 232,817 | ||
404,711 | Country Garden Holdings Co., Ltd. | 52,073 | ||
521,572 | Sino Biopharmaceutical Ltd. | 253,157 | ||
78,219 | Sunac China Holdings Ltd. (b) (c) (d) (e) | 22,819 | ||
20,347 | Tencent Holdings Ltd. | 532,934 | ||
104,088 | Wisdom Marine Lines Co., Ltd. | 168,944 | ||
1,594,667 | ||||
Chile – 1.0% | ||||
3,997,470 | Cia Sud Americana de Vapores S.A. | 277,514 | ||
Colombia – 0.6% | ||||
327,548 | Ecopetrol S.A. | 162,489 | ||
Hong Kong – 1.3% | ||||
454,000 | Lenovo Group Ltd. | 363,216 | ||
India – 25.3% | ||||
10,651 | Asian Paints Ltd. | 399,868 | ||
26,078 | Aurobindo Pharma Ltd. | 169,537 | ||
17,760 | Axis Bank Ltd. | 194,383 | ||
76,014 | Bharat Petroleum Corp., Ltd. | 278,840 | ||
51,237 | Chambal Fertilisers and Chemicals Ltd. | 202,033 | ||
37,651 | Dabur India Ltd. | 252,303 | ||
6,313 | Divi’s Laboratories Ltd. | 275,232 | ||
28,719 | HCL Technologies Ltd. | 361,219 | ||
4,942 | HDFC Asset Management Co., Ltd. (f) (g) | 123,858 |
Shares | Description | Value | ||
India (Continued) | ||||
15,415 | Hindustan Unilever Ltd. | $474,997 | ||
34,372 | Infosys Ltd. | 638,484 | ||
17,818 | Infosys Ltd., ADR | 333,731 | ||
155,484 | ITC Ltd. | 654,976 | ||
55,103 | Jindal Steel & Power Ltd. | 306,111 | ||
16,340 | Jubilant Foodworks Ltd. | 120,402 | ||
3,034 | Mindtree Ltd. | 124,756 | ||
3,434 | Reliance Industries Ltd. | 105,769 | ||
33,369 | State Bank of India | 231,308 | ||
40,461 | Sun Pharmaceutical Industries Ltd. | 497,053 | ||
30,938 | Sun TV Network Ltd. | 195,415 | ||
12,805 | Tata Consultancy Services Ltd. | 493,954 | ||
519,028 | Tata Steel Ltd. | 636,735 | ||
46,558 | Vedanta Ltd. | 157,935 | ||
7,228,899 | ||||
Mexico – 3.2% | ||||
111,544 | Grupo Mexico S.A.B. de C.V., Series B | 401,801 | ||
135,383 | Wal-Mart de Mexico S.A.B. de C.V. | 523,001 | ||
924,802 | ||||
Poland – 0.6% | ||||
12,435 | Asseco Poland S.A. | 179,072 | ||
Russia – 0.1% | ||||
59,735 | Rosneft Oil Co. PJSC (c) (d) (e) | 7,423 | ||
23,602 | Severstal PAO (c) (d) (e) | 13,427 | ||
20,850 | ||||
South Africa – 5.0% | ||||
3,578 | Capitec Bank Holdings Ltd. | 370,207 | ||
24,935 | Exxaro Resources Ltd. | 277,630 | ||
36,154 | Impala Platinum Holdings Ltd. | 370,225 | ||
12,099 | Kumba Iron Ore Ltd. | 227,894 | ||
28,625 | Vodacom Group Ltd. | 195,277 | ||
1,441,233 | ||||
South Korea – 14.5% | ||||
3,601 | Coway Co., Ltd. | 139,798 | ||
7,420 | GS Holdings Corp. | 239,615 | ||
22,316 | HMM Co., Ltd. | 299,228 | ||
6,913 | Kia Corp. | 321,761 | ||
4,147 | KIWOOM Securities Co., Ltd. | 235,233 | ||
6,700 | Korea Investment Holdings Co., Ltd. | 233,062 | ||
15,276 | KT Corp. | 392,503 | ||
2,946 | Kumho Petrochemical Co., Ltd. | 270,930 | ||
2,999 | LX Semicon Co., Ltd. | 174,535 | ||
64,109 | Mirae Asset Securities Co., Ltd. | 285,789 | ||
30,138 | NH Investment & Securities Co., Ltd. | 189,784 | ||
11,533 | Samsung Electronics Co., Ltd. | 480,930 | ||
13,154 | Samsung Securities Co., Ltd. | 293,193 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
South Korea (Continued) | ||||
6,654 | SIMMTECH Co., Ltd. | $165,130 | ||
7,530 | SK Hynix, Inc. | 437,173 | ||
4,158,664 | ||||
Taiwan – 20.4% | ||||
678,559 | AUO Corp. | 355,889 | ||
43,673 | Evergreen Marine Corp. Taiwan Ltd. | 186,362 | ||
66,903 | Faraday Technology Corp. | 294,832 | ||
78,356 | Gigabyte Technology Co., Ltd. | 224,934 | ||
25,384 | International Games System Co., Ltd. | 276,902 | ||
227,957 | Macronix International Co., Ltd. | 210,819 | ||
23,784 | MediaTek, Inc. | 435,489 | ||
46,309 | Nan Ya Printed Circuit Board Corp. | 303,960 | ||
43,638 | Novatek Microelectronics Corp. | 326,379 | ||
33,810 | Realtek Semiconductor Corp. | 267,563 | ||
102,878 | Taiwan Semiconductor Manufacturing Co., Ltd. | 1,245,168 | ||
2,736 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 168,401 | ||
422,333 | United Microelectronics Corp. | 512,475 |
Shares | Description | Value | ||
Taiwan (Continued) | ||||
96,518 | United Microelectronics Corp., ADR | $572,352 | ||
111,908 | Wan Hai Lines Ltd. | 235,121 | ||
119,037 | Yang Ming Marine Transport Corp. | 222,392 | ||
5,839,038 | ||||
Thailand – 0.6% | ||||
207,100 | Com7 PCL, NVDR | 164,603 | ||
Turkey – 3.2% | ||||
1,048,390 | Dogan Sirketler Grubu Holding A.S. | 335,678 | ||
202,419 | Haci Omer Sabanci Holding A.S. | 364,728 | ||
336,278 | Turk Telekomunikasyon A.S. | 223,833 | ||
924,239 | ||||
Total Investments – 99.4% | 28,432,816 | |||
(Cost $33,920,138) | ||||
Net Other Assets and Liabilities – 0.6% | 175,428 | |||
Net Assets – 100.0% | $28,608,244 |
Forward Foreign Currency Contracts | ||||||||||||||
Settlement Date | Counterparty | Amount Purchased | Amount Sold | Purchase Value as of 10/31/2022 | Sale Value as of 10/31/2022 | Unrealized Appreciation/ (Depreciation) | ||||||||
12/01/22 | SG | USD | 1,004,237 | KRW | 1,429,110,000 | $ 1,004,237 | $ 1,003,402 | $ 835 | ||||||
12/01/22 | SG | USD | 2,080,221 | TWD | 66,906,150 | 2,080,221 | 2,080,682 | (461) | ||||||
Net Unrealized Appreciation / (Depreciation) | $374 |
Counterparty Abbreviations | |
SG | Societe Generale |
(a) | Portfolio securities are categorized based upon their country of incorporation. For a breakdown of the portfolio securities by sector, please see the Fund Performance Overview. |
(b) | Non-income producing security. |
(c) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At October 31, 2022, securities noted as such are valued at $43,669 or 0.2% of net assets. |
(d) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor. |
(e) | This security’s value was determined using significant unobservable inputs (see Note 2A – Portfolio Valuation in the Notes to Financial Statements). |
(f) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended (the “1933 Act”). |
(g) | This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. |
ADR | American Depositary Receipt |
NVDR | Non-Voting Depositary Receipt |
Currency Exposure Diversification | % of Total Investments† |
INR | 24.3% |
USD | 19.2 |
BRL | 13.5 |
TWD | 11.2 |
KRW | 11.1 |
HKD | 6.3 |
ZAR | 5.1 |
MXN | 3.2 |
TRY | 3.2 |
CLP | 1.0 |
PLN | 0.6 |
THB | 0.6 |
COP | 0.6 |
RUB | 0.1 |
Total | 100.0% |
† | The weightings include the impact of currency forwards. |
Currency Abbreviations | |
BRL | Brazilian Real |
CLP | Chilean Peso |
COP | Colombian Peso |
HKD | Hong Kong Dollar |
INR | Indian Rupee |
KRW | South Korean Won |
MXN | Mexican Peso |
PLN | Polish Zloty |
RUB | Russian Ruble |
THB | Thai Baht |
TRY | Turkish Lira |
TWD | New Taiwan Dollar |
USD | United States Dollar |
ZAR | South African Rand |
ASSETS TABLE | ||||
Total Value at 10/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
Cayman Islands | $ 1,594,667 | $ 1,571,848 | $ — | $ 22,819 |
Russia | 20,850 | — | — | 20,850 |
Other Country Categories* | 26,817,299 | 26,817,299 | — | — |
Total Investments | 28,432,816 | 28,389,147 | — | 43,669 |
Forward Foreign Currency Contracts** | 835 | — | 835 | — |
Total | $ 28,433,651 | $ 28,389,147 | $ 835 | $ 43,669 |
LIABILITIES TABLE | ||||
Total Value at 10/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Forward Foreign Currency Contracts** | $ (461) | $ — | $ (461) | $ — |
* | See Portfolio of Investments for country breakout. |
** | See the Schedule of Forward Foreign Currency Contracts for contract and currency detail. |
First Trust RiverFront Dynamic Developed International ETF (RFDI) | First Trust RiverFront Dynamic Europe ETF (RFEU) | First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) | |||
ASSETS: | |||||
Investments, at value | $ 119,590,593 | $ 18,766,191 | $ 28,432,816 | ||
Cash | 174,181 | — | 211,227 | ||
Foreign currency | 1,816 | 6,051 | 31,446 | ||
Unrealized appreciation on forward foreign currency contracts | 410,206 | 77,750 | 835 | ||
Receivables: | |||||
Dividends | 531,182 | 22,142 | 48,963 | ||
Dividend reclaims | 519,717 | 120,707 | 1,938 | ||
Miscellaneous | 2,605 | — | — | ||
Total Assets | 121,230,300 | 18,992,841 | 28,727,225 | ||
LIABILITIES: | |||||
Unrealized depreciation on forward foreign currency contracts | — | — | 461 | ||
Due to custodian | — | 167,477 | — | ||
Payables: | |||||
Investment advisory fees payable | 83,093 | 12,753 | 23,184 | ||
Deferred foreign capital gains tax | — | — | 95,336 | ||
Total Liabilities | 83,093 | 180,230 | 118,981 | ||
NET ASSETS | $121,147,207 | $18,812,611 | $28,608,244 | ||
NET ASSETS consist of: | |||||
Paid-in capital | $ 215,658,379 | $ 42,671,756 | $ 56,347,002 | ||
Par value | 24,674 | 3,500 | 6,000 | ||
Accumulated distributable earnings (loss) | (94,535,846) | (23,862,645) | (27,744,758) | ||
NET ASSETS | $121,147,207 | $18,812,611 | $28,608,244 | ||
NET ASSET VALUE, per share | $49.10 | $53.75 | $47.68 | ||
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 2,467,387 | 350,002 | 600,002 | ||
Investments, at cost | $130,579,303 | $21,674,581 | $33,920,138 | ||
Foreign currency, at cost (proceeds) | $1,801 | $6,051 | $31,751 |
First Trust RiverFront Dynamic Developed International ETF (RFDI) | First Trust RiverFront Dynamic Europe ETF (RFEU) | First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) | ||||
INVESTMENT INCOME: | ||||||
Dividends | $ 7,186,498 | $ 971,085 | $ 2,787,582 | |||
Interest | 3,944 | 734 | 1,508 | |||
Foreign withholding tax | (503,074) | (81,746) | (261,822) | |||
Other | 1,906 | 102 | 763 | |||
Total investment income | 6,689,274 | 890,175 | 2,528,031 | |||
EXPENSES: | ||||||
Investment advisory fees | 1,251,304 | 185,522 | 374,308 | |||
Total expenses | 1,251,304 | 185,522 | 374,308 | |||
NET INVESTMENT INCOME (LOSS) | 5,437,970 | 704,653 | 2,153,723 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||||
Net realized gain (loss) on: | ||||||
Investments | (15,067,503) | (5,290,593) | 232,231 | |||
In-kind redemptions | (585,877) | (25,453) | 63,304 | |||
Forward foreign currency contracts | 1,683,195 | 137,835 | 268,083 | |||
Foreign currency transactions | (169,451) | (80,796) | (126,709) | |||
Foreign capital gains tax | — | — | (127,636) | |||
Net realized gain (loss) | (14,139,636) | (5,259,007) | 309,273 | |||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investments | (40,244,099) | (2,636,354) | (13,109,665) | |||
Forward foreign currency contracts | 342,582 | 67,860 | 374 | |||
Foreign currency translation | (91,921) | (23,579) | 1,159 | |||
Deferred foreign capital gains tax | — | — | 172,872 | |||
Net change in unrealized appreciation (depreciation) | (39,993,438) | (2,592,073) | (12,935,260) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (54,133,074) | (7,851,080) | (12,625,987) | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(48,695,104) | $(7,146,427) | $(10,472,264) |
First Trust RiverFront Dynamic Developed International ETF (RFDI) | First Trust RiverFront Dynamic Europe ETF (RFEU) | ||||||
Year Ended 10/31/2022 | Year Ended 10/31/2021 | Year Ended 10/31/2022 | Year Ended 10/31/2021 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 5,437,970 | $ 2,920,667 | $ 704,653 | $ 264,761 | |||
Net realized gain (loss) | (14,139,636) | 19,871,112 | (5,259,007) | 7,437,295 | |||
Net change in unrealized appreciation (depreciation) | (39,993,438) | 22,666,834 | (2,592,073) | (1,019,540) | |||
Net increase (decrease) in net assets resulting from operations | (48,695,104) | 45,458,613 | (7,146,427) | 6,682,516 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (8,358,471) | (2,850,031) | (731,214) | (420,473) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 16,350,807 | 12,917,390 | 7,163,511 | 62,017,714 | |||
Proceeds from shares issued through reorganization | — | 8,762,219 | — | — | |||
Cost of shares redeemed | (13,466,905) | (20,020,290) | (3,439,455) | (62,042,949) | |||
Net increase (decrease) in net assets resulting from shareholder transactions | 2,883,902 | 1,659,319 | 3,724,056 | (25,235) | |||
Total increase (decrease) in net assets | (54,169,673) | 44,267,901 | (4,153,585) | 6,236,808 | |||
NET ASSETS: | |||||||
Beginning of period | 175,316,880 | 131,048,979 | 22,966,196 | 16,729,388 | |||
End of period | $ 121,147,207 | $ 175,316,880 | $ 18,812,611 | $ 22,966,196 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 2,417,387 | 2,400,002 | 300,002 | 300,002 | |||
Shares sold | 300,000 | 200,000 | 100,000 | 800,000 | |||
Shares issued through reorganization | — | 117,432 | — | — | |||
Shares redeemed | (250,000) | (300,047) | (50,000) | (800,000) | |||
Shares outstanding, end of period | 2,467,387 | 2,417,387 | 350,002 | 300,002 |
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM) | ||
Year Ended 10/31/2022 | Year Ended 10/31/2021 | |
$ 2,153,723 | $ 1,162,686 | |
309,273 | 3,314,598 | |
(12,935,260) | 1,310,373 | |
(10,472,264) | 5,787,657 | |
(2,105,337) | (990,423) | |
— | — | |
— | — | |
(6,186,633) | (3,602,441) | |
(6,186,633) | (3,602,441) | |
(18,764,234) | 1,194,793 | |
47,372,478 | 46,177,685 | |
$ 28,608,244 | $ 47,372,478 | |
700,002 | 750,002 | |
— | — | |
— | — | |
(100,000) | (50,000) | |
600,002 | 700,002 |
Year Ended October 31, | |||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
Net asset value, beginning of period | $ 72.52 | $ 54.60 | $ 57.70 | $ 55.84 | $ 63.96 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 2.23 | 1.21 | 0.85 | 1.54 | 1.34 | ||||
Net realized and unrealized gain (loss) | (22.22) | 17.89 | (2.84) | 1.81 | (8.00) | ||||
Total from investment operations | (19.99) | 19.10 | (1.99) | 3.35 | (6.66) | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (3.43) | (1.18) | (1.11) | (1.49) | (1.44) | ||||
Net realized gain | — | — | — | — | (0.02) | ||||
Total distributions | (3.43) | (1.18) | (1.11) | (1.49) | (1.46) | ||||
Net asset value, end of period | $49.10 | $72.52 | $54.60 | $57.70 | $55.84 | ||||
Total return (a) | (28.21)% | 35.11% | (3.45)% | 6.12% | (10.65)% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 121,147 | $ 175,317 | $ 131,049 | $ 245,234 | $ 499,726 | ||||
Ratio of total expenses to average net assets | 0.83% | 0.83% | 0.83% | 0.83% | 0.83% | ||||
Ratio of net investment income (loss) to average net assets | 3.61% | 1.79% | 1.43% | 2.51% | 2.28% | ||||
Portfolio turnover rate (b) | 95% | 45% | 96% | 87% | 133% |
(a) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(b) | 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 October 31, | |||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
Net asset value, beginning of period | $ 76.55 | $ 55.76 | $ 59.49 | $ 57.23 | $ 65.25 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 2.04 | 0.98 | 0.96 | 1.78 | 1.48 | ||||
Net realized and unrealized gain (loss) | (22.71) | 21.31 | (3.50) | 2.20 | (7.97) | ||||
Total from investment operations | (20.67) | 22.29 | (2.54) | 3.98 | (6.49) | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (2.13) | (1.50) | (1.19) | (1.72) | (1.53) | ||||
Net asset value, end of period | $53.75 | $76.55 | $55.76 | $59.49 | $57.23 | ||||
Total return (a) | (27.33)% | 40.20% | (4.22)% | 7.01% | (10.16)% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 18,813 | $ 22,966 | $ 16,729 | $ 38,666 | $ 88,706 | ||||
Ratio of total expenses to average net assets | 0.83% | 0.83% | 0.83% | 0.83% | 0.83% | ||||
Ratio of net investment income (loss) to average net assets | 3.15% | 1.29% | 1.59% | 2.77% | 2.45% | ||||
Portfolio turnover rate (b) | 71% | 50% | 87% | 81% | 130% |
(a) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(b) | 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 October 31, | |||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
Net asset value, beginning of period | $ 67.67 | $ 61.57 | $ 60.76 | $ 56.40 | $ 68.64 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 3.48 | 1.61 | 1.10 | 1.79 | 1.20 | ||||
Net realized and unrealized gain (loss) | (20.11) | 5.85 | 1.81 | 3.94 | (11.87) | ||||
Total from investment operations | (16.63) | 7.46 | 2.91 | 5.73 | (10.67) | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (3.36) | (1.36) | (1.73) | (1.37) | (1.18) | ||||
Net realized gain | — | — | — | — | (0.30) | ||||
Return of capital | — | — | (0.37) | — | (0.09) | ||||
Total distributions | (3.36) | (1.36) | (2.10) | (1.37) | (1.57) | ||||
Net asset value, end of period | $47.68 | $67.67 | $61.57 | $60.76 | $56.40 | ||||
Total return (a) | (24.97)% | 12.01% | 4.74% | 10.32% | (15.92)% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 28,608 | $ 47,372 | $ 46,178 | $ 72,917 | $ 101,512 | ||||
Ratio of total expenses to average net assets | 0.95% | 0.95% | 0.95% | 0.95% | 0.95% | ||||
Ratio of net investment income (loss) to average net assets | 5.47% | 2.19% | 1.92% | 2.60% | 1.90% | ||||
Portfolio turnover rate (b) | 75% | 32% | 89% | 116% | 126% |
(a) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(b) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price; |
2) | the type of security; |
3) | the size of the holding; |
4) | the initial cost of the security; |
5) | transactions in comparable securities; |
6) | price quotes from dealers and/or third-party pricing services; |
7) | relationships among various securities; |
8) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
9) | an analysis of the issuer’s financial statements; |
10) | the existence of merger proposals or tender offers that might affect the value of the security; and |
11) | other relevant factors. |
1) | the value of similar foreign securities traded on other foreign markets; |
2) | ADR trading of similar securities; |
3) | closed-end fund or exchange-traded fund trading of similar securities; |
4) | foreign currency exchange activity; |
5) | the trading prices of financial products that are tied to baskets of foreign securities; |
6) | factors relating to the event that precipitated the pricing problem; |
7) | whether the event is likely to recur; |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions; and |
9) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |||
First Trust RiverFront Dynamic Developed International ETF | $ 8,358,471 | $ — | $ — | ||
First Trust RiverFront Dynamic Europe ETF | 731,214 | — | — | ||
First Trust RiverFront Dynamic Emerging Markets ETF | 2,105,337 | — | — |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |||
First Trust RiverFront Dynamic Developed International ETF | $ 2,850,031 | $ — | $ — | ||
First Trust RiverFront Dynamic Europe ETF | 420,473 | — | — | ||
First Trust RiverFront Dynamic Emerging Markets ETF | 990,423 | — | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust RiverFront Dynamic Developed International ETF | $ 795,999 | $ (82,940,557) | $ (12,391,288) | ||
First Trust RiverFront Dynamic Europe ETF | 137,868 | (21,011,350) | (2,989,163) | ||
First Trust RiverFront Dynamic Emerging Markets ETF | 352,376 | (22,354,470) | (5,742,664) |
Non-Expiring Capital Loss Carryforward | |
First Trust RiverFront Dynamic Developed International ETF | $ 82,940,557 |
First Trust RiverFront Dynamic Europe ETF | 21,011,350 |
First Trust RiverFront Dynamic Emerging Markets ETF | 22,354,470 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | |||
First Trust RiverFront Dynamic Developed International ETF | $ 1,746,445 | $ (1,104,498) | $ (641,947) | ||
First Trust RiverFront Dynamic Europe ETF | 57,177 | (22,375) | (34,802) | ||
First Trust RiverFront Dynamic Emerging Markets ETF | 20,204 | (83,508) | 63,304 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
First Trust RiverFront Dynamic Developed International ETF | $ 131,802,118 | $ 5,210,073 | $ (17,011,392) | $ (11,801,319) | |||
First Trust RiverFront Dynamic Europe ETF | 21,815,556 | 454,269 | (3,425,884) | (2,971,615) | |||
First Trust RiverFront Dynamic Emerging Markets ETF | 34,078,998 | 2,439,926 | (8,085,274) | (5,645,348) |
Acquired Fund | Shares Redeemed | Net Assets on August 27, 2021 | Unrealized Appreciation (Depreciation) | Accumulated Net Realized Gain (Loss) | Share Conversion Ratio | Acquiring (Surviving) Fund | Shares Issued | Net Assets on August 27, 2021* | ||||||||
RFAP | 150,002 | $8,762,219 | $514,662 | $(8,654,877) | 0.782867 | RFDI | 117,432 | $171,615,711 |
Net Investment Income | Net Realized and Unrealized Gain (Loss) on Investments | Net Increase (Decrease) from Operations | |||
Acquired Fund for the Period November 1, 2020 to August 27, 2021 RFAP | $89,635 | $1,793,143 | $1,882,778 | ||
Acquiring Fund for the Fiscal Year Ended October 31, 2021 RFDI | 2,920,667 | 43,052,608 | 45,973,275 | ||
Combined Total | $3,010,302 | $44,845,751 | $47,856,053 |
Purchases | Sales | ||
First Trust RiverFront Dynamic Developed International ETF | $ 142,358,650 | $ 143,637,081 | |
First Trust RiverFront Dynamic Europe ETF | 16,082,693 | 15,699,462 | |
First Trust RiverFront Dynamic Emerging Markets ETF | 29,128,209 | 32,444,085 | |
Purchases | Sales | ||
First Trust RiverFront Dynamic Developed International ETF | $ 15,767,996 | $ 13,102,008 | |
First Trust RiverFront Dynamic Europe ETF | 7,048,680 | 3,385,062 | |
First Trust RiverFront Dynamic Emerging Markets ETF | — | 3,002,772 |
Asset Derivatives | Liability Derivatives | |||||||||||
Fund | Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value | ||||||
RFDI | Forward foreign currency contracts | Currency Risk | Unrealized appreciation on forward foreign currency contracts | $ 410,206 | Unrealized depreciation on forward foreign currency contracts | $ — | ||||||
RFEU | Forward foreign currency contracts | Currency Risk | Unrealized appreciation on forward foreign currency contracts | 77,750 | Unrealized depreciation on forward foreign currency contracts | — | ||||||
RFEM | Forward foreign currency contracts | Currency Risk | Unrealized appreciation on forward foreign currency contracts | 835 | Unrealized depreciation on forward foreign currency contracts | 461 |
Equity Risk | |||
Statements of Operations Location | RFDI | RFEU | RFEM |
Currency Risk Exposure | |||
Net realized gain (loss) on forward foreign currency contracts | $1,683,195 | $137,835 | $268,083 |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | 342,582 | 67,860 | 374 |
Opened | Closed | ||
First Trust RiverFront Dynamic Developed International ETF | $ 233,286,853 | $ 228,069,316 | |
First Trust RiverFront Dynamic Europe ETF | 36,633,330 | 34,538,615 | |
First Trust RiverFront Dynamic Emerging Markets ETF | 34,862,373 | 31,777,915 |
Dividends Received Deduction | |
First Trust RiverFront Dynamic Developed International ETF | 0.00% |
First Trust RiverFront Dynamic Europe ETF | 0.00% |
First Trust RiverFront Dynamic Emerging Markets ETF | 0.00% |
Qualified Dividend Income | |
First Trust RiverFront Dynamic Developed International ETF | 73.57% |
First Trust RiverFront Dynamic Europe ETF | 92.06% |
First Trust RiverFront Dynamic Emerging Markets ETF | 50.76% |
Gross Foreign Income | Foreign Taxes Paid | ||||||
Amount | Per Share | Amount | Per Share | ||||
First Trust RiverFront Dynamic Developed International ETF | $7,126,594 | $2.89 | $502,488 | $0.20 | |||
First Trust RiverFront Dynamic Europe ETF | 966,341 | 2.76 | 78,439 | 0.20 | |||
First Trust RiverFront Dynamic Emerging Markets ETF | 2,755,273 | 4.59 | 387,618 | 0.65 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
First Trust RiverFront Dynamic Europe ETF (RFEU)
First Trust RiverFront Dynamic Emerging Markets ETF (RFEM)
First Trust RiverFront Dynamic Developed International ETF (RFDI)
First Trust RiverFront Dynamic Europe ETF (RFEU)
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, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 223 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 223 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 223 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 223 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 223 | 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) | 223 | 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 2016 | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, 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 2016 | Senior Vice President, 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
(b) Not applicable.
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 each of the last two fiscal years 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 $209,000 for fiscal year ended October 31, 2021 and $213,000 for the fiscal year ended October 31, 2022.
(b) Audit-Related Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years 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 October 31, 2021, and $0 for the fiscal year ended October 31, 2022.
Audit-Related Fees (Investment Advisor) -- The aggregate fees billed in each of the last two fiscal years 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 October 31, 2021, and $0 for the fiscal year ended October 31, 2022.
(c) Tax Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $133,756 for fiscal year ended October 31, 2021 and $137,000 for the fiscal year ended October 31, 2022. 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 in each of the last two fiscal years 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 October 31, 2021, and $0 for the fiscal year ended October 31, 2022.
(d) All Other Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years 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 October 31, 2021, and $0 for the fiscal year ended October 31, 2022.
All Other Fees (Investment Advisor and Distributor) -- The aggregate fees billed in each of the last two fiscal years 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 October 31, 2021, and $0 for the fiscal year ended October 31, 2022.
(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 fiscal year ended October 31, 2021 were $133,756 for the registrant, $16,500 for the registrant’s investment advisor, $29,500 for the registrant’s distributor and $4,000 for Stonebridge Advisors LLC (“Stonebridge”), which is under common control with the registrant’s investment advisor and serves as the registrant’s investment sub-advisor for the First Trust Preferred Securities and Income ETF and the First Trust Institutional Preferred Securities and Income ETF, and for the fiscal year ended October 31, 2022 were $137,000 for the registrant, $0 for the registrant’s investment advisor, $0 for the registrant’s distributor and $0 for Stonebridge.
(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.
(a) | 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 consisting of all the independent directors of the registrant. The audit committee of the registrant is comprised of: Richard E. Erickson, Thomas R. Kadlec, Denise M. Keefe, Robert F. Keith and Niel B. Nielson. |
(b) | Not applicable. |
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.
(a) | Not applicable. |
(b) | 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: | January 6, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | January 6, 2023 |
By (Signature and Title)* | /s/ Donald P. Swade | |
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | January 6, 2023 |
* Print the name and title of each signing officer under his or her signature.