UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22245
First Trust Exchange-Traded Fund III
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant’s telephone number, including area code: (630) 765-8000
Date of fiscal year end: July 31
Date of reporting period: July 31, 2023
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-0609. 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 registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/imgfe65f5b51.jpg)
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
For the Year Ended
July 31, 2023
2 | |
Fund Performance Overview | |
3 | |
5 | |
7 | |
9 | |
10 | |
14 | |
Portfolio of Investments | |
15 | |
17 | |
20 | |
24 | |
25 | |
26 | |
28 | |
31 | |
39 | |
40 | |
48 | |
50 |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img0d15b01e2.jpg)
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | Inception (8/24/16) to 7/31/23 | 5 Years Ended 7/31/23 | Inception (8/24/16) to 7/31/23 | ||
Fund Performance | ||||||
NAV | 0.88% | 8.61% | 9.03% | 51.14% | 82.09% | |
Market Price | 0.85% | 8.57% | 9.02% | 50.84% | 82.03% | |
Index Performance | ||||||
S&P 500® Index | 13.02% | 12.20% | 13.40% | 77.78% | 139.10% |
Sector Allocation | % of Total Long-Term Investments |
Information Technology | 17.6% |
Consumer Staples | 16.8 |
Health Care | 13.5 |
Industrials | 13.1 |
Financials | 12.1 |
Consumer Discretionary | 10.3 |
Utilities | 5.5 |
Real Estate | 3.8 |
Communication Services | 3.5 |
Materials | 2.3 |
Energy | 1.5 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
International Business Machines Corp. | 2.7% |
Roper Technologies, Inc. | 2.6 |
Cisco Systems, Inc. | 2.5 |
Coca-Cola (The) Co. | 2.5 |
McDonald’s Corp. | 2.4 |
Johnson & Johnson | 2.4 |
Yum! Brands, Inc. | 2.3 |
PepsiCo, Inc. | 2.0 |
Motorola Solutions, Inc. | 1.8 |
Amphenol Corp., Class A | 1.8 |
Total | 23.0% |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img9776349c3.jpg)
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | Inception (8/24/16) to 7/31/23 | 5 Years Ended 7/31/23 | Inception (8/24/16) to 7/31/23 | ||
Fund Performance | ||||||
NAV | 5.22% | -0.04% | 2.49% | -0.22% | 18.59% | |
Market Price | 5.16% | -0.18% | 2.47% | -0.91% | 18.41% | |
Index Performance | ||||||
MSCI EAFE Index | 16.79% | 4.55% | 6.45% | 24.89% | 54.28% |
Sector Allocation | % of Total Long-Term Investments |
Consumer Staples | 21.2% |
Industrials | 19.1 |
Financials | 14.5 |
Communication Services | 11.4 |
Utilities | 8.3 |
Real Estate | 7.3 |
Consumer Discretionary | 6.4 |
Health Care | 5.7 |
Information Technology | 3.8 |
Materials | 1.8 |
Energy | 0.5 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Oversea-Chinese Banking Corp., Ltd. | 2.0% |
Singapore Exchange Ltd. | 1.9 |
MTR Corp., Ltd. | 1.7 |
SoftBank Corp. | 1.6 |
Henkel AG & Co., KGaA | 1.6 |
Power Assets Holdings Ltd. | 1.5 |
United Overseas Bank Ltd. | 1.5 |
Unilever PLC | 1.5 |
Iberdrola S.A. | 1.4 |
Koninklijke KPN N.V. | 1.4 |
Total | 16.1% |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img8d372d124.jpg)
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 7/31/23 | Inception (4/6/20) to 7/31/23 | Inception (4/6/20) to 7/31/23 | |
Fund Performance | |||
NAV | 0.57% | 14.39% | 56.22% |
Market Price | 0.54% | 14.37% | 56.12% |
Index Performance | |||
S&P 1000® Index | 8.89% | 23.01% | 98.82% |
Sector Allocation | % of Total Long-Term Investments |
Industrials | 21.5% |
Real Estate | 15.9 |
Financials | 15.1 |
Utilities | 10.7 |
Consumer Discretionary | 8.0 |
Information Technology | 7.5 |
Health Care | 6.7 |
Materials | 6.3 |
Consumer Staples | 6.2 |
Communication Services | 1.4 |
Energy | 0.7 |
Total | 100.0% |
Top Ten Holdings | % of Total Long-Term Investments |
Retail Opportunity Investments Corp. | 0.9% |
Corporate Office Properties Trust | 0.8 |
Carlisle Cos., Inc. | 0.8 |
RPM International, Inc. | 0.8 |
EMCOR Group, Inc. | 0.8 |
Gentex Corp. | 0.8 |
Jabil, Inc. | 0.8 |
New York Times (The) Co., Class A | 0.8 |
Commerce Bancshares, Inc. | 0.8 |
CommVault Systems, Inc. | 0.8 |
Total | 8.1% |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/imgac4632ec5.jpg)
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Beginning Account Value February 1, 2023 | Ending Account Value July 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | ||||
Actual | $1,000.00 | $1,008.80 | 0.70% | $3.49 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.32 | 0.70% | $3.51 |
First Trust Horizon Managed Volatility Developed International ETF (HDMV) | ||||
Actual | $1,000.00 | $1,029.20 | 0.80% | $4.03 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.83 | 0.80% | $4.01 |
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | ||||
Actual | $1,000.00 | $975.20 | 0.80% | $3.92 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.83 | 0.80% | $4.01 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (February 1, 2023 through July 31, 2023), multiplied by 181/365 (to reflect the six-month period). |
Shares | Description | Value | ||
COMMON STOCKS – 95.9% | ||||
Aerospace & Defense – 4.6% | ||||
7,031 | General Dynamics Corp. | $1,571,991 | ||
4,004 | Huntington Ingalls Industries, Inc. | 919,599 | ||
2,082 | Lockheed Martin Corp. | 929,342 | ||
8,730 | RTX Corp. | 767,629 | ||
4,188,561 | ||||
Beverages – 5.6% | ||||
36,538 | Coca-Cola (The) Co. | 2,262,798 | ||
28,274 | Keurig Dr. Pepper, Inc. | 961,599 | ||
10,032 | PepsiCo, Inc. | 1,880,599 | ||
5,104,996 | ||||
Biotechnology – 1.6% | ||||
6,234 | Amgen, Inc. | 1,459,691 | ||
Capital Markets – 2.8% | ||||
8,295 | Cboe Global Markets, Inc. | 1,158,645 | ||
7,079 | CME Group, Inc. | 1,408,438 | ||
2,567,083 | ||||
Chemicals – 1.5% | ||||
1,881 | Air Products & Chemicals, Inc. | 574,326 | ||
2,125 | Linde PLC | 830,174 | ||
1,404,500 | ||||
Commercial Services & Supplies – 5.3% | ||||
1,539 | Cintas Corp. | 772,640 | ||
10,762 | Republic Services, Inc. | 1,626,246 | ||
20,630 | Rollins, Inc. | 842,323 | ||
9,708 | Waste Management, Inc. | 1,590,073 | ||
4,831,282 | ||||
Communications Equipment – 5.7% | ||||
44,449 | Cisco Systems, Inc. | 2,313,126 | ||
45,905 | Juniper Networks, Inc. | 1,276,159 | ||
5,772 | Motorola Solutions, Inc. | 1,654,428 | ||
5,243,713 | ||||
Consumer Staples Distribution & Retail – 1.7% | ||||
9,693 | Walmart, Inc. | 1,549,523 | ||
Containers & Packaging – 0.7% | ||||
66,557 | Amcor PLC | 682,875 | ||
Distributors – 1.2% | ||||
7,130 | Genuine Parts Co. | 1,110,284 | ||
Diversified Telecommunication Services – 1.1% | ||||
30,268 | Verizon Communications, Inc. | 1,031,533 |
Shares | Description | Value | ||
Electric Utilities – 1.2% | ||||
14,842 | Southern (The) Co. | $1,073,670 | ||
Electrical Equipment – 1.1% | ||||
6,647 | AMETEK, Inc. | 1,054,214 | ||
Electronic Equipment, Instruments & Components – 3.3% | ||||
18,470 | Amphenol Corp., Class A | 1,631,086 | ||
3,740 | Teledyne Technologies, Inc. (a) | 1,438,142 | ||
3,069,228 | ||||
Entertainment – 2.4% | ||||
9,465 | Activision Blizzard, Inc. (a) | 877,973 | ||
9,405 | Electronic Arts, Inc. | 1,282,372 | ||
2,160,345 | ||||
Financial Services – 3.9% | ||||
4,497 | Berkshire Hathaway, Inc., Class B (a) | 1,582,764 | ||
2,294 | Mastercard, Inc., Class A | 904,478 | ||
4,717 | Visa, Inc., Class A | 1,121,373 | ||
3,608,615 | ||||
Food Products – 6.1% | ||||
5,367 | Hershey (The) Co. | 1,241,441 | ||
28,091 | Hormel Foods Corp. | 1,148,360 | ||
8,658 | J.M. Smucker (The) Co. | 1,304,328 | ||
11,327 | Kellogg Co. | 757,663 | ||
9,547 | Kraft Heinz (The) Co. | 345,410 | ||
11,578 | Mondelez International, Inc., Class A | 858,277 | ||
5,655,479 | ||||
Health Care Equipment & Supplies – 3.8% | ||||
5,464 | Becton Dickinson and Co. | 1,522,380 | ||
19,743 | Boston Scientific Corp. (a) | 1,023,674 | ||
11,692 | Hologic, Inc. (a) | 928,579 | ||
3,474,633 | ||||
Health Care Providers & Services – 2.6% | ||||
7,292 | AmerisourceBergen Corp. | 1,362,875 | ||
7,644 | Quest Diagnostics, Inc. | 1,033,545 | ||
2,396,420 | ||||
Hotels, Restaurants & Leisure – 5.8% | ||||
6,091 | Darden Restaurants, Inc. | 1,028,892 | ||
7,571 | McDonald’s Corp. | 2,219,817 | ||
15,478 | Yum! Brands, Inc. | 2,130,856 | ||
5,379,565 | ||||
Household Products – 3.4% | ||||
9,063 | Colgate-Palmolive Co. | 691,144 | ||
10,072 | Kimberly-Clark Corp. | 1,300,295 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Household Products (Continued) | ||||
7,458 | Procter & Gamble (The) Co. | $1,165,686 | ||
3,157,125 | ||||
Industrial Conglomerates – 0.9% | ||||
4,391 | Honeywell International, Inc. | 852,425 | ||
Insurance – 5.3% | ||||
3,108 | Aon PLC, Class A | 989,898 | ||
4,741 | Arthur J. Gallagher & Co. | 1,018,367 | ||
4,946 | Chubb Ltd. | 1,011,012 | ||
5,656 | Marsh & McLennan Cos., Inc. | 1,065,703 | ||
3,791 | Willis Towers Watson PLC | 801,152 | ||
4,886,132 | ||||
IT Services – 4.4% | ||||
16,948 | International Business Machines Corp. | 2,443,562 | ||
7,606 | VeriSign, Inc. (a) | 1,604,486 | ||
4,048,048 | ||||
Machinery – 1.2% | ||||
11,633 | Otis Worldwide Corp. | 1,058,138 | ||
Multi-Utilities – 2.9% | ||||
14,198 | Consolidated Edison, Inc. | 1,346,823 | ||
21,485 | Public Service Enterprise Group, Inc. | 1,356,133 | ||
2,702,956 | ||||
Oil, Gas & Consumable Fuels – 1.5% | ||||
41,433 | Kinder Morgan, Inc. | 733,778 | ||
18,613 | Williams (The) Cos., Inc. | 641,218 | ||
1,374,996 | ||||
Pharmaceuticals – 5.6% | ||||
25,962 | Bristol-Myers Squibb Co. | 1,614,577 | ||
13,193 | Johnson & Johnson | 2,210,223 | ||
11,993 | Merck & Co., Inc. | 1,279,054 | ||
5,103,854 | ||||
Software – 4.1% | ||||
10,008 | PTC, Inc. (a) | 1,459,267 | ||
4,765 | Roper Technologies, Inc. | 2,349,383 | ||
3,808,650 | ||||
Specialty Retail – 3.2% | ||||
331 | AutoZone, Inc. (a) | 821,449 | ||
1,308 | O’Reilly Automotive, Inc. (a) | 1,210,933 | ||
10,384 | TJX (The) Cos., Inc. | 898,528 | ||
2,930,910 |
Shares | Description | Value | ||
Water Utilities – 1.4% | ||||
8,854 | American Water Works Co., Inc. | $1,305,345 | ||
Total Common Stocks | 88,274,789 | |||
(Cost $84,784,971) | ||||
REAL ESTATE INVESTMENT TRUSTS – 3.8% | ||||
Residential REITs – 1.3% | ||||
8,837 | Equity Residential | 582,712 | ||
3,916 | Mid-America Apartment Communities, Inc. | 586,068 | ||
1,168,780 | ||||
Retail REITs – 1.4% | ||||
21,758 | Realty Income Corp. | 1,326,585 | ||
Specialized REITs – 1.1% | ||||
32,166 | VICI Properties, Inc. | 1,012,586 | ||
Total Real Estate Investment Trusts | 3,507,951 | |||
(Cost $3,677,197) | ||||
Total Investments – 99.7% | 91,782,740 | |||
(Cost $88,462,168) | ||||
Net Other Assets and Liabilities – 0.3% | 254,007 | |||
Net Assets – 100.0% | $92,036,747 |
(a) | Non-income producing security. |
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 88,274,789 | $ 88,274,789 | $ — | $ — |
Real Estate Investment Trusts* | 3,507,951 | 3,507,951 | — | — |
Total Investments | $ 91,782,740 | $ 91,782,740 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
COMMON STOCKS (a) – 97.4% | ||||
Australia – 6.4% | ||||
28,250 | Brambles Ltd. | $266,986 | ||
811 | Cochlear Ltd. | 130,293 | ||
32,402 | Coles Group Ltd. | 395,895 | ||
2,227 | Commonwealth Bank of Australia | 158,129 | ||
1,089 | CSL Ltd. | 196,417 | ||
29,687 | Endeavour Group Ltd. | 121,240 | ||
14,110 | Orica Ltd. | 149,274 | ||
128,579 | Telstra Group Ltd. | 367,921 | ||
9,603 | Washington H Soul Pattinson & Co., Ltd. | 212,538 | ||
4,321 | Wesfarmers Ltd. | 144,105 | ||
12,976 | Westpac Banking Corp. | 194,715 | ||
9,735 | Woolworths Group Ltd. | 252,536 | ||
2,590,049 | ||||
Belgium – 0.8% | ||||
3,467 | Anheuser-Busch InBev S.A./N.V. | 198,413 | ||
1,733 | Groupe Bruxelles Lambert S.A. | 140,125 | ||
338,538 | ||||
Bermuda – 1.2% | ||||
43,606 | CK Infrastructure Holdings Ltd. | 230,641 | ||
5,200 | Jardine Matheson Holdings Ltd. | 256,776 | ||
487,417 | ||||
Cayman Islands – 1.3% | ||||
42,175 | CK Asset Holdings Ltd. | 243,352 | ||
44,475 | CK Hutchison Holdings Ltd. | 274,301 | ||
517,653 | ||||
Denmark – 0.9% | ||||
1,201 | Carlsberg A.S., Class B | 180,131 | ||
9,971 | Tryg A.S. | 196,995 | ||
377,126 | ||||
France – 6.9% | ||||
930 | Air Liquide S.A. | 167,041 | ||
21,870 | Bollore SE | 138,265 | ||
6,390 | Bouygues S.A. | 228,830 | ||
6,214 | Bureau Veritas S.A. | 170,671 | ||
6,622 | Danone S.A. | 404,308 | ||
3,999 | Edenred | 259,769 | ||
1,675 | Eiffage S.A. | 174,258 | ||
10,846 | Getlink SE | 190,743 | ||
27,074 | Orange S.A. | 306,133 | ||
934 | Pernod Ricard S.A. | 206,003 | ||
1,496 | Sanofi | 159,699 | ||
2,331 | Sodexo S.A. | 239,224 | ||
1,505 | Vinci S.A. | 176,694 | ||
2,821,638 | ||||
Germany – 7.1% | ||||
699 | Allianz SE | 167,083 | ||
1,132 | Bayerische Motoren Werke AG | 137,980 |
Shares | Description | Value | ||
Germany (Continued) | ||||
3,197 | Beiersdorf AG | $414,079 | ||
982 | Deutsche Boerse AG | 188,193 | ||
11,213 | Deutsche Telekom AG | 244,626 | ||
24,867 | E.ON SE | 314,561 | ||
3,317 | GEA Group AG | 140,739 | ||
9,054 | Henkel AG & Co., KGaA | 632,533 | ||
1,833 | Mercedes-Benz Group AG | 146,398 | ||
536 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 201,905 | ||
1,197 | SAP SE | 163,723 | ||
47,472 | Telefonica Deutschland Holding AG | 127,931 | ||
2,879,751 | ||||
Hong Kong – 6.6% | ||||
73,500 | BOC Hong Kong Holdings Ltd. | 223,358 | ||
47,438 | CLP Holdings Ltd. | 385,944 | ||
15,196 | Hang Seng Bank Ltd. | 231,285 | ||
263,145 | Hong Kong & China Gas Co., Ltd. | 225,054 | ||
145,080 | MTR Corp., Ltd. | 666,904 | ||
113,959 | Power Assets Holdings Ltd. | 596,177 | ||
16,039 | Sun Hung Kai Properties Ltd. | 200,619 | ||
69,600 | Swire Properties Ltd. | 174,025 | ||
2,703,366 | ||||
Ireland – 0.3% | ||||
1,311 | Kerry Group PLC, Class A | 130,249 | ||
Israel – 0.7% | ||||
1,638 | Check Point Software Technologies Ltd. (b) | 216,560 | ||
1,963 | Tower Semiconductor Ltd. (b) | 72,772 | ||
289,332 | ||||
Italy – 1.2% | ||||
5,873 | Assicurazioni Generali S.p.A. | 125,144 | ||
32,942 | Snam S.p.A. | 173,203 | ||
22,056 | Terna-Rete Elettrica Nazionale S.p.A. | 186,438 | ||
484,785 | ||||
Japan – 24.1% | ||||
8,300 | Aeon Co., Ltd. | 179,576 | ||
5,500 | AGC, Inc. | 198,559 | ||
3,400 | Aisin Corp. | 110,294 | ||
6,300 | ANA Holdings, Inc. (b) | 150,830 | ||
3,000 | Asahi Group Holdings Ltd. | 117,984 | ||
16,700 | Asahi Kasei Corp. | 113,677 | ||
7,300 | Astellas Pharma, Inc. | 106,756 | ||
6,100 | Bandai Namco Holdings, Inc. | 137,809 | ||
3,300 | Bridgestone Corp. | 136,695 | ||
4,400 | Canon, Inc. | 113,599 | ||
1,800 | Central Japan Railway Co. | 229,452 | ||
8,000 | Daiwa House Industry Co., Ltd. | 217,172 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Japan (Continued) | ||||
29,600 | Daiwa Securities Group, Inc. | $160,229 | ||
3,700 | East Japan Railway Co. | 209,441 | ||
1,900 | FUJIFILM Holdings Corp. | 110,142 | ||
7,400 | Hankyu Hanshin Holdings, Inc. | 245,566 | ||
30,900 | Hulic Co., Ltd. | 262,704 | ||
6,500 | Iida Group Holdings Co., Ltd. | 113,972 | ||
6,100 | Japan Exchange Group, Inc. | 106,144 | ||
11,800 | Japan Tobacco, Inc. | 261,522 | ||
2,200 | Kao Corp. | 83,537 | ||
8,500 | KDDI Corp. | 250,163 | ||
3,200 | Keio Corp. | 106,258 | ||
3,100 | Kintetsu Group Holdings Co., Ltd. | 103,962 | ||
15,900 | Kirin Holdings Co., Ltd. | 234,982 | ||
2,100 | Kobayashi Pharmaceutical Co., Ltd. | 115,403 | ||
3,100 | Kyocera Corp. | 166,565 | ||
13,300 | McDonald’s Holdings Co., Japan Ltd. | 523,530 | ||
8,500 | MEIJI Holdings Co., Ltd. | 196,450 | ||
10,300 | Mitsubishi Electric Corp. | 148,493 | ||
10,300 | Mitsubishi Estate Co., Ltd. | 125,759 | ||
10,800 | NGK Insulators Ltd. | 132,243 | ||
1,500 | NIPPON EXPRESS HOLDINGS, Inc. | 87,882 | ||
277,400 | Nippon Telegraph & Telephone Corp. | 317,636 | ||
13,700 | Nisshin Seifun Group, Inc. | 169,872 | ||
1,100 | Nissin Foods Holdings Co., Ltd. | 92,785 | ||
4,200 | Nomura Real Estate Holdings, Inc. | 104,007 | ||
19,200 | Obayashi Corp. | 177,404 | ||
700 | Obic Co., Ltd. | 114,498 | ||
8,700 | Odayku Electric Railway Co., Ltd. | 127,016 | ||
22,700 | Oji Holdings Corp. | 89,514 | ||
4,200 | Otsuka Holdings Co., Ltd. | 154,254 | ||
6,700 | SCSK Corp. | 111,262 | ||
2,900 | Secom Co., Ltd. | 194,325 | ||
8,500 | Sekisui Chemical Co., Ltd. | 128,995 | ||
10,100 | Sekisui House Ltd. | 205,812 | ||
19,100 | Shimizu Corp. | 131,518 | ||
2,700 | Shionogi & Co., Ltd. | 112,581 | ||
58,800 | SoftBank Corp. | 652,208 | ||
28,100 | Sumitomo Chemical Co., Ltd. | 86,533 | ||
6,800 | Sumitomo Electric Industries Ltd. | 86,993 | ||
6,800 | Takeda Pharmaceutical Co., Ltd. | 207,492 | ||
8,800 | Tobu Railway Co., Ltd. | 232,642 | ||
4,600 | Toho Co., Ltd. | 179,130 | ||
16,400 | Tokyu Corp. | 208,019 | ||
7,800 | Tosoh Corp. | 101,787 | ||
6,500 | USS Co., Ltd. | 112,533 |
Shares | Description | Value | ||
Japan (Continued) | ||||
3,300 | West Japan Railway Co. | $135,535 | ||
9,791,701 | ||||
Netherlands – 5.8% | ||||
17,380 | Davide Campari-Milano N.V. | 233,707 | ||
2,783 | Heineken Holding N.V. | 228,116 | ||
2,095 | Heineken N.V. | 205,330 | ||
11,797 | JDE Peet’s N.V. | 355,919 | ||
6,809 | Koninklijke Ahold Delhaize N.V. | 234,963 | ||
154,435 | Koninklijke KPN N.V. | 558,986 | ||
7,494 | QIAGEN N.V. (b) | 351,421 | ||
1,515 | Wolters Kluwer N.V. | 190,228 | ||
2,358,670 | ||||
New Zealand – 1.0% | ||||
38,140 | Auckland International Airport Ltd. (b) | 198,985 | ||
65,443 | Spark New Zealand Ltd. | 210,550 | ||
409,535 | ||||
Norway – 0.8% | ||||
27,292 | Orkla ASA | 215,642 | ||
8,592 | Telenor ASA | 91,981 | ||
307,623 | ||||
Singapore – 13.0% | ||||
56,900 | City Developments Ltd. | 316,218 | ||
20,900 | DBS Group Holdings Ltd. | 538,473 | ||
79,500 | Oversea-Chinese Banking Corp., Ltd. | 795,150 | ||
50,900 | Singapore Airlines Ltd. | 288,232 | ||
105,600 | Singapore Exchange Ltd. | 771,104 | ||
175,200 | Singapore Technologies Engineering Ltd. | 491,443 | ||
181,300 | Singapore Telecommunications Ltd. | 362,668 | ||
26,300 | United Overseas Bank Ltd. | 595,322 | ||
60,700 | UOL Group Ltd. | 320,903 | ||
27,400 | Venture Corp., Ltd. | 308,669 | ||
165,900 | Wilmar International Ltd. | 481,575 | ||
5,269,757 | ||||
Spain – 3.5% | ||||
6,061 | ACS Actividades de Construccion y Servicios S.A. | 211,851 | ||
8,852 | Enagas S.A. | 157,038 | ||
44,960 | Iberdrola S.A. | 561,317 | ||
5,840 | Naturgy Energy Group S.A. | 178,121 | ||
9,815 | Redeia Corp. S.A. | 164,086 | ||
38,905 | Telefonica S.A. | 165,843 | ||
1,438,256 | ||||
Sweden – 0.5% | ||||
4,445 | Essity AB, Class B | 110,171 |
Shares | Description | Value | ||
COMMON STOCKS (a) (Continued) | ||||
Sweden (Continued) | ||||
46,064 | Telia Co., AB | $99,030 | ||
209,201 | ||||
Switzerland – 7.0% | ||||
1,340 | Baloise Holding AG | 207,135 | ||
1,918 | Banque Cantonale Vaudoise | 215,103 | ||
6,637 | Coca-Cola HBC AG | 195,223 | ||
2,939 | Nestle S.A. | 360,209 | ||
2,398 | Novartis AG | 250,428 | ||
1,004 | Roche Holding AG | 311,545 | ||
469 | Roche Holding AG | 155,428 | ||
1,922 | SGS S.A. | 186,106 | ||
2,300 | Swiss Prime Site AG | 222,602 | ||
844 | Swisscom AG | 542,374 | ||
434 | Zurich Insurance Group AG | 209,423 | ||
2,855,576 | ||||
United Kingdom – 8.3% | ||||
5,172 | Bunzl PLC | 191,690 | ||
5,903 | Coca-Cola Europacific Partners PLC | 374,191 | ||
13,996 | Compass Group PLC | 364,085 | ||
9,225 | GSK PLC | 163,921 | ||
2,671 | Intertek Group PLC | 149,522 | ||
1,642 | London Stock Exchange Group PLC | 178,316 | ||
13,930 | National Grid PLC | 184,402 | ||
4,359 | Reckitt Benckiser Group PLC | 326,585 | ||
6,130 | RELX PLC | 206,114 | ||
12,852 | Sage Group (The) PLC | 154,479 | ||
10,257 | Smiths Group PLC | 223,645 | ||
79,712 | Tesco PLC | 263,930 | ||
11,067 | Unilever PLC | 595,241 | ||
3,376,121 | ||||
Total Common Stocks | 39,636,344 | |||
(Cost $39,047,362) | ||||
REAL ESTATE INVESTMENT TRUSTS (a) – 1.8% | ||||
Singapore – 1.8% | ||||
137,900 | CapitaLand Ascendas REIT | 291,408 | ||
173,900 | CapitaLand Integrated Commercial Trust | 266,784 | ||
140,600 | Mapletree Pan Asia Commercial Trust | 174,461 | ||
Total Real Estate Investment Trusts | 732,653 | |||
(Cost $734,151) | ||||
Total Investments – 99.2% | 40,368,997 | |||
(Cost $39,781,513) | ||||
Net Other Assets and Liabilities – 0.8% | 318,282 | |||
Net Assets – 100.0% | $40,687,279 |
(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. |
Currency Exposure Diversification | % of Total Investments |
Euro | 25.9% |
Japanese Yen | 24.3 |
Singapore Dollar | 14.9 |
Hong Kong Dollar | 8.5 |
British Pound Sterling | 7.9 |
Swiss Franc | 6.6 |
Australian Dollar | 6.4 |
United States Dollar | 2.1 |
New Zealand Dollar | 1.0 |
Danish Krone | 0.9 |
Norwegian Krone | 0.8 |
Swedish Krona | 0.5 |
Israeli Shekel | 0.2 |
Total | 100.0% |
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 39,636,344 | $ 39,636,344 | $ — | $ — |
Real Estate Investment Trusts* | 732,653 | 732,653 | — | — |
Total Investments | $ 40,368,997 | $ 40,368,997 | $— | $— |
* | See Portfolio of Investments for country breakout. |
Shares | Description | Value | ||
COMMON STOCKS – 83.3% | ||||
Aerospace & Defense – 1.3% | ||||
704 | Curtiss-Wright Corp. | $134,717 | ||
1,147 | Moog, Inc., Class A | 120,940 | ||
255,657 | ||||
Automobile Components – 0.8% | ||||
4,520 | Gentex Corp. | 151,782 | ||
Banks – 3.6% | ||||
2,809 | Commerce Bancshares, Inc. | 149,383 | ||
10,781 | FNB Corp. | 137,889 | ||
2,679 | International Bancshares Corp. | 132,985 | ||
7,101 | Old National Bancorp | 120,930 | ||
2,147 | Prosperity Bancshares, Inc. | 135,948 | ||
677,135 | ||||
Building Products – 1.5% | ||||
569 | Carlisle Cos., Inc. | 157,727 | ||
326 | Lennox International, Inc. | 119,785 | ||
277,512 | ||||
Capital Markets – 4.2% | ||||
858 | Affiliated Managers Group, Inc. | 118,953 | ||
857 | Evercore, Inc., Class A | 115,746 | ||
3,282 | Federated Hermes, Inc. | 111,030 | ||
3,771 | Janus Henderson Group PLC | 110,679 | ||
2,853 | Jefferies Financial Group, Inc. | 104,962 | ||
2,137 | SEI Investments Co. | 134,610 | ||
1,716 | Stifel Financial Corp. | 109,035 | ||
805,015 | ||||
Chemicals – 2.2% | ||||
1,484 | Ashland, Inc. | 135,578 | ||
932 | Balchem Corp. | 125,578 | ||
1,504 | RPM International, Inc. | 155,378 | ||
416,534 | ||||
Commercial Services & Supplies – 2.2% | ||||
3,010 | ABM Industries, Inc. | 139,303 | ||
892 | Clean Harbors, Inc. (a) | 148,304 | ||
760 | MSA Safety, Inc. | 126,160 | ||
413,767 | ||||
Construction & Engineering – 2.2% | ||||
1,449 | AECOM | 126,063 | ||
706 | EMCOR Group, Inc. | 151,818 | ||
6,152 | MDU Resources Group, Inc. | 136,082 | ||
413,963 | ||||
Construction Materials – 0.7% | ||||
718 | Eagle Materials, Inc. | 132,378 |
Shares | Description | Value | ||
Consumer Staples Distribution & Retail – 2.7% | ||||
569 | Casey’s General Stores, Inc. | $143,764 | ||
3,987 | Grocery Outlet Holding Corp. (a) | 133,365 | ||
2,238 | Performance Food Group Co. (a) | 133,743 | ||
2,868 | Sprouts Farmers Market, Inc. (a) | 112,569 | ||
523,441 | ||||
Containers & Packaging – 2.0% | ||||
1,104 | AptarGroup, Inc. | 134,092 | ||
2,711 | Silgan Holdings, Inc. | 118,878 | ||
2,138 | Sonoco Products Co. | 125,372 | ||
378,342 | ||||
Diversified Consumer Services – 2.1% | ||||
1,233 | Grand Canyon Education, Inc. (a) | 133,842 | ||
4,146 | H&R Block, Inc. | 139,347 | ||
1,908 | Service Corp. International | 127,168 | ||
400,357 | ||||
Diversified Telecommunication Services – 0.6% | ||||
1,911 | Cogent Communications Holdings, Inc. | 117,030 | ||
Electric Utilities – 3.9% | ||||
2,095 | ALLETE, Inc. | 120,316 | ||
3,391 | Hawaiian Electric Industries, Inc. | 130,181 | ||
1,204 | IDACORP, Inc. | 123,795 | ||
3,440 | OGE Energy Corp. | 124,356 | ||
2,736 | PNM Resources, Inc. | 122,628 | ||
2,620 | Portland General Electric Co. | 124,895 | ||
746,171 | ||||
Electrical Equipment – 1.2% | ||||
388 | Hubbell, Inc. | 121,056 | ||
2,201 | nVent Electric PLC | 116,389 | ||
237,445 | ||||
Electronic Equipment, Instruments & Components – 5.4% | ||||
911 | Arrow Electronics, Inc. (a) | 129,854 | ||
2,632 | Avnet, Inc. | 127,652 | ||
873 | Insight Enterprises, Inc. (a) | 128,060 | ||
1,356 | Jabil, Inc. | 150,068 | ||
416 | Littelfuse, Inc. | 126,714 | ||
1,014 | OSI Systems, Inc. (a) | 120,899 | ||
1,242 | Plexus Corp. (a) | 122,325 | ||
1,303 | TD SYNNEX Corp. | 128,619 | ||
1,034,191 | ||||
Financial Services – 2.1% | ||||
2,795 | Essent Group Ltd. | 138,632 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Financial Services (Continued) | ||||
8,204 | MGIC Investment Corp. | $137,335 | ||
2,064 | Mr Cooper Group, Inc. (a) | 119,650 | ||
395,617 | ||||
Food Products – 2.7% | ||||
5,139 | Flowers Foods, Inc. | 126,984 | ||
1,212 | Ingredion, Inc. | 134,847 | ||
668 | Lancaster Colony Corp. | 128,677 | ||
1,466 | Post Holdings, Inc. (a) | 125,050 | ||
515,558 | ||||
Gas Utilities – 3.0% | ||||
998 | Chesapeake Utilities Corp. | 118,003 | ||
2,442 | National Fuel Gas Co. | 129,695 | ||
2,624 | New Jersey Resources Corp. | 117,293 | ||
1,090 | ONE Gas, Inc. | 86,252 | ||
1,963 | Spire, Inc. | 124,788 | ||
576,031 | ||||
Ground Transportation – 1.5% | ||||
2,314 | Knight-Swift Transportation Holdings, Inc. | 140,575 | ||
679 | Landstar System, Inc. | 138,238 | ||
278,813 | ||||
Health Care Equipment & Supplies – 1.9% | ||||
2,141 | Enovis Corp. (a) | 136,810 | ||
3,571 | Envista Holdings Corp. (a) | 122,878 | ||
1,739 | Globus Medical, Inc., Class A (a) | 104,810 | ||
364,498 | ||||
Health Care Providers & Services – 3.3% | ||||
1,676 | Acadia Healthcare Co., Inc. (a) | 132,454 | ||
229 | Chemed Corp. | 119,330 | ||
1,912 | Encompass Health Corp. | 126,249 | ||
1,342 | Ensign Group (The), Inc. | 129,999 | ||
3,876 | Patterson Cos., Inc. | 127,482 | ||
635,514 | ||||
Hotels, Restaurants & Leisure – 2.4% | ||||
1,093 | Choice Hotels International, Inc. | 142,910 | ||
988 | Churchill Downs, Inc. | 114,460 | ||
973 | Cracker Barrel Old Country Store, Inc. | 90,683 | ||
1,396 | Papa John’s International, Inc. | 115,449 | ||
463,502 | ||||
Household Products – 0.7% | ||||
3,775 | Energizer Holdings, Inc. | 134,768 | ||
Insurance – 4.8% | ||||
1,082 | American Financial Group, Inc. | 131,582 | ||
2,302 | First American Financial Corp. | 145,901 |
Shares | Description | Value | ||
Insurance (Continued) | ||||
5,101 | Old Republic International Corp. | $140,634 | ||
872 | Reinsurance Group of America, Inc. | 122,385 | ||
576 | RenaissanceRe Holdings Ltd. | 107,574 | ||
953 | RLI Corp. | 127,140 | ||
1,278 | Selective Insurance Group, Inc. | 131,877 | ||
907,093 | ||||
Leisure Products – 0.6% | ||||
5,424 | Mattel, Inc. (a) | 115,531 | ||
Machinery – 5.0% | ||||
693 | AGCO Corp. | 92,238 | ||
2,035 | Donaldson Co., Inc. | 127,859 | ||
2,752 | Flowserve Corp. | 103,916 | ||
1,475 | Graco, Inc. | 117,012 | ||
1,363 | ITT, Inc. | 135,755 | ||
640 | Lincoln Electric Holdings, Inc. | 128,454 | ||
877 | Middleby (The) Corp. (a) | 133,172 | ||
1,303 | Oshkosh Corp. | 119,967 | ||
958,373 | ||||
Media – 0.8% | ||||
3,679 | New York Times (The) Co., Class A | 149,956 | ||
Metals & Mining – 1.5% | ||||
491 | Reliance Steel & Aluminum Co. | 143,794 | ||
1,107 | Royal Gold, Inc. | 132,995 | ||
276,789 | ||||
Multi-Utilities – 1.9% | ||||
3,140 | Avista Corp. | 121,330 | ||
2,043 | Black Hills Corp. | 123,254 | ||
2,142 | NorthWestern Corp. | 120,959 | ||
365,543 | ||||
Oil, Gas & Consumable Fuels – 0.7% | ||||
2,593 | DT Midstream, Inc. | 138,777 | ||
Pharmaceuticals – 1.4% | ||||
975 | Jazz Pharmaceuticals PLC (a) | 127,160 | ||
2,210 | Prestige Consumer Healthcare, Inc. (a) | 144,114 | ||
271,274 | ||||
Professional Services – 5.2% | ||||
381 | CACI International, Inc., Class A (a) | 133,518 | ||
1,251 | Exponent, Inc. | 112,064 | ||
730 | FTI Consulting, Inc. (a) | 127,867 | ||
3,297 | Genpact Ltd. | 118,989 | ||
1,928 | KBR, Inc. | 118,553 | ||
1,607 | ManpowerGroup, Inc. | 126,760 | ||
1,456 | Maximus, Inc. | 121,954 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Professional Services (Continued) | ||||
1,152 | Science Applications International Corp. | $139,784 | ||
999,489 | ||||
Semiconductors & Semiconductor Equipment – 0.5% | ||||
1,270 | Cirrus Logic, Inc. (a) | 102,616 | ||
Software – 1.5% | ||||
1,916 | CommVault Systems, Inc. (a) | 149,314 | ||
2,183 | Progress Software Corp. | 131,111 | ||
280,425 | ||||
Specialty Retail – 0.7% | ||||
434 | Murphy USA, Inc. | 133,251 | ||
Textiles, Apparel & Luxury Goods – 1.3% | ||||
1,630 | Carter’s, Inc. | 122,266 | ||
1,649 | Columbia Sportswear Co. | 129,628 | ||
251,894 | ||||
Trading Companies & Distributors – 1.4% | ||||
1,005 | GATX Corp. | 125,987 | ||
1,296 | MSC Industrial Direct Co., Inc., Class A | 130,792 | ||
256,779 | ||||
Water Utilities – 1.8% | ||||
1,174 | American States Water Co. | 103,793 | ||
1,961 | California Water Service Group | 103,972 | ||
1,893 | SJW Group | 133,381 | ||
341,146 | ||||
Total Common Stocks | 15,893,957 | |||
(Cost $14,406,082) | ||||
REAL ESTATE INVESTMENT TRUSTS – 16.3% | ||||
Diversified REITs – 0.7% | ||||
5,251 | Essential Properties Realty Trust, Inc. | 128,912 | ||
Health Care REITs – 3.4% | ||||
6,448 | CareTrust REIT, Inc. | 134,054 | ||
6,727 | Healthcare Realty Trust, Inc. | 131,378 | ||
4,092 | Omega Healthcare Investors, Inc. | 130,535 | ||
9,029 | Physicians Realty Trust | 133,087 | ||
8,726 | Sabra Health Care REIT, Inc. | 113,351 | ||
642,405 | ||||
Industrial REITs – 2.0% | ||||
728 | EastGroup Properties, Inc. | 128,987 | ||
2,399 | First Industrial Realty Trust, Inc. | 124,028 |
Shares | Description | Value | ||
Industrial REITs (Continued) | ||||
2,298 | Rexford Industrial Realty, Inc. | $126,597 | ||
379,612 | ||||
Mortgage Real Estate Investment Trusts – 0.5% | ||||
18,531 | ARMOUR Residential REIT, Inc. | 94,693 | ||
Office REITs – 2.4% | ||||
6,195 | Corporate Office Properties Trust | 161,070 | ||
8,707 | Easterly Government Properties, Inc. | 128,515 | ||
3,093 | Highwoods Properties, Inc. | 78,160 | ||
5,550 | JBG SMITH Properties | 92,852 | ||
460,597 | ||||
Residential REITs – 1.8% | ||||
3,501 | Apartment Income REIT Corp. | 120,925 | ||
7,922 | Elme Communities | 128,732 | ||
6,098 | Independence Realty Trust, Inc. | 103,910 | ||
353,567 | ||||
Retail REITs – 2.9% | ||||
1,939 | Agree Realty Corp. | 125,608 | ||
3,004 | NNN Reit, Inc. | 128,211 | ||
11,102 | Retail Opportunity Investments Corp. | 163,533 | ||
3,213 | Spirit Realty Capital, Inc. | 129,580 | ||
546,932 | ||||
Specialized REITs – 2.6% | ||||
4,946 | Four Corners Property Trust, Inc. | 130,080 | ||
1,380 | Lamar Advertising Co., Class A | 136,206 | ||
2,979 | National Storage Affiliates Trust | 100,661 | ||
4,245 | Rayonier, Inc. | 140,594 | ||
507,541 | ||||
Total Real Estate Investment Trusts | 3,114,259 | |||
(Cost $3,236,753) | ||||
Total Investments – 99.6% | 19,008,216 | |||
(Cost $17,642,835) | ||||
Net Other Assets and Liabilities – 0.4% | 83,001 | |||
Net Assets – 100.0% | $19,091,217 |
(a) | Non-income producing security. |
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 15,893,957 | $ 15,893,957 | $ — | $ — |
Real Estate Investment Trusts* | 3,114,259 | 3,114,259 | — | — |
Total Investments | $ 19,008,216 | $ 19,008,216 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | First Trust Horizon Managed Volatility Developed International ETF (HDMV) | First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | |||
ASSETS: | |||||
Investments, at value | $ 91,782,740 | $ 40,368,997 | $ 19,008,216 | ||
Cash | 217,316 | 121,612 | 85,995 | ||
Foreign currency | — | 344 | — | ||
Receivables: | |||||
Investment securities sold | 3,277,556 | — | — | ||
Dividends | 102,731 | 48,227 | 9,809 | ||
Dividend reclaims | 495 | 175,407 | — | ||
Total Assets | 95,380,838 | 40,714,587 | 19,104,020 | ||
LIABILITIES: | |||||
Payables: | |||||
Capital shares redeemed | 3,287,000 | — | — | ||
Investment advisory fees | 57,091 | 27,308 | 12,803 | ||
Total Liabilities | 3,344,091 | 27,308 | 12,803 | ||
NET ASSETS | $92,036,747 | $40,687,279 | $19,091,217 | ||
NET ASSETS consist of: | |||||
Paid-in capital | $ 132,471,629 | $ 70,728,909 | $ 19,971,998 | ||
Par value | 28,000 | 14,000 | 6,000 | ||
Accumulated distributable earnings (loss) | (40,462,882) | (30,055,630) | (886,781) | ||
NET ASSETS | $92,036,747 | $40,687,279 | $19,091,217 | ||
NET ASSET VALUE, per share | $32.87 | $29.06 | $31.82 | ||
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 2,800,002 | 1,400,002 | 600,002 | ||
Investments, at cost | $88,462,168 | $39,781,513 | $17,642,835 | ||
Foreign currency, at cost (proceeds) | $— | $342 | $— |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | First Trust Horizon Managed Volatility Developed International ETF (HDMV) | First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | ||||
INVESTMENT INCOME: | ||||||
Dividends | $ 2,403,768 | $ 1,687,269 | $ 383,278 | |||
Interest | 8,197 | 2,408 | — | |||
Foreign withholding tax | — | (114,079) | (143) | |||
Other | — | 220 | 36 | |||
Total investment income | 2,411,965 | 1,575,818 | 383,171 | |||
EXPENSES: | ||||||
Investment advisory fees | 679,395 | 316,404 | 137,329 | |||
Total expenses | 679,395 | 316,404 | 137,329 | |||
NET INVESTMENT INCOME (LOSS) | 1,732,570 | 1,259,414 | 245,842 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||||
Net realized gain (loss) on: | ||||||
Investments | (2,312,918) | (2,319,491) | (1,432,164) | |||
In-kind redemptions | 2,831,121 | (22,091) | — | |||
Foreign currency transactions | — | (3,660) | — | |||
Net realized gain (loss) | 518,203 | (2,345,242) | (1,432,164) | |||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investments | (811,009) | 3,009,563 | 1,284,546 | |||
Foreign currency translation | — | 17,186 | — | |||
Net change in unrealized appreciation (depreciation) | (811,009) | 3,026,749 | 1,284,546 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (292,806) | 681,507 | (147,618) | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 1,439,764 | $ 1,940,921 | $ 98,224 |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) | First Trust Horizon Managed Volatility Developed International ETF (HDMV) | ||||||
Year Ended 7/31/2023 | Year Ended 7/31/2022 | Year Ended 7/31/2023 | Year Ended 7/31/2022 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 1,732,570 | $ 1,753,621 | $ 1,259,414 | $ 1,837,495 | |||
Net realized gain (loss) | 518,203 | 10,719,961 | (2,345,242) | (571,567) | |||
Net change in unrealized appreciation (depreciation) | (811,009) | (10,221,164) | 3,026,749 | (8,141,611) | |||
Net increase (decrease) in net assets resulting from operations | 1,439,764 | 2,252,418 | 1,940,921 | (6,875,683) | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (1,810,516) | (1,660,766) | (1,333,862) | (1,931,942) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 26,951,541 | 20,067,842 | — | 1,508,580 | |||
Cost of shares redeemed | (34,208,623) | (41,752,654) | (5,676,683) | (33,905,829) | |||
Net increase (decrease) in net assets resulting from shareholder transactions | (7,257,082) | (21,684,812) | (5,676,683) | (32,397,249) | |||
Total increase (decrease) in net assets | (7,627,834) | (21,093,160) | (5,069,624) | (41,204,874) | |||
NET ASSETS: | |||||||
Beginning of period | 99,664,581 | 120,757,741 | 45,756,903 | 86,961,777 | |||
End of period | $92,036,747 | $99,664,581 | $40,687,279 | $45,756,903 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 3,000,002 | 3,650,002 | 1,600,002 | 2,700,002 | |||
Shares sold | 850,000 | 600,000 | — | 50,000 | |||
Shares redeemed | (1,050,000) | (1,250,000) | (200,000) | (1,150,000) | |||
Shares outstanding, end of period | 2,800,002 | 3,000,002 | 1,400,002 | 1,600,002 |
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | ||
Year Ended 7/31/2023 | Year Ended 7/31/2022 | |
$ 245,842 | $ 167,247 | |
(1,432,164) | 366,910 | |
1,284,546 | (864,174) | |
98,224 | (330,017) | |
(255,451) | (133,705) | |
3,180,198 | 6,741,624 | |
— | (5,115,847) | |
3,180,198 | 1,625,777 | |
3,022,971 | 1,162,055 | |
16,068,246 | 14,906,191 | |
$19,091,217 | $16,068,246 | |
500,002 | 450,002 | |
100,000 | 200,000 | |
— | (150,000) | |
600,002 | 500,002 |
Year Ended July 31, | |||||||||
2023 | 2022 | 2021 | 2020 | 2019 | |||||
Net asset value, beginning of period | $ 33.22 | $ 33.08 | $ 27.19 | $ 26.71 | $ 23.49 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.58 (a) | 0.51 | 0.46 | 0.37 | 0.37 | ||||
Net realized and unrealized gain (loss) | (0.31) | 0.10 | 5.87 | 0.52 | 3.17 | ||||
Total from investment operations | 0.27 | 0.61 | 6.33 | 0.89 | 3.54 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.62) | (0.47) | (0.44) | (0.41) | (0.32) | ||||
Net asset value, end of period | $32.87 | $33.22 | $33.08 | $27.19 | $26.71 | ||||
Total return (b) | 0.88% | 1.82% | 23.48% | 3.41% | 15.24% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 92,037 | $ 99,665 | $ 120,758 | $ 214,822 | $ 224,389 | ||||
Ratio of total expenses to average net assets | 0.70% | 0.70% | 0.70% | 0.70% | 0.70% | ||||
Ratio of net investment income (loss) to average net assets | 1.79% | 1.46% | 1.42% | 1.39% | 1.58% | ||||
Portfolio turnover rate (c) | 122% | 76% | 152% | 211% | 147% |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Year Ended July 31, | |||||||||
2023 | 2022 | 2021 | 2020 | 2019 | |||||
Net asset value, beginning of period | $ 28.60 | $ 32.21 | $ 28.12 | $ 32.92 | $ 33.72 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.88 (a) | 0.90 | 0.89 | 0.65 | 0.86 | ||||
Net realized and unrealized gain (loss) | 0.52 | (3.62) | 4.13 | (4.61) | (0.79) | ||||
Total from investment operations | 1.40 | (2.72) | 5.02 | (3.96) | 0.07 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.94) | (0.89) | (0.93) | (0.84) | (0.87) | ||||
Net asset value, end of period | $29.06 | $28.60 | $32.21 | $28.12 | $32.92 | ||||
Total return (b) | 5.22% | (8.50)% | 18.01% (c) | (12.37)% | 0.21% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 40,687 | $ 45,757 | $ 86,962 | $ 123,714 | $ 128,394 | ||||
Ratio of total expenses to average net assets | 0.80% | 0.80% | 0.80% | 0.80% | 0.80% | ||||
Ratio of net investment income (loss) to average net assets | 3.19% | 2.53% | 2.68% | 2.08% | 2.74% | ||||
Portfolio turnover rate (d) | 80% | 65% | 127% | 196% | 99% |
(a) | Based on average shares outstanding. |
(b) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(c) | The Fund received a reimbursement from the advisor in the amount of $6,254, which represents less than $0.01 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Year Ended July 31, | Period Ended 7/31/2020 (a) | ||||||
2023 | 2022 | 2021 | |||||
Net asset value, beginning of period | $ 32.14 | $ 33.12 | $ 25.03 | $ 21.10 | |||
Income from investment operations: | |||||||
Net investment income (loss) | 0.44 (b) | 0.36 | 0.29 | 0.02 | |||
Net realized and unrealized gain (loss) | (0.29) | (1.05) | 8.09 | 3.92 | |||
Total from investment operations | 0.15 | (0.69) | 8.38 | 3.94 | |||
Distributions paid to shareholders from: | |||||||
Net investment income | (0.47) | (0.29) | (0.29) | (0.01) | |||
Net realized gain | — | — | (0.00) (c) | — | |||
Total distributions | (0.47) | (0.29) | (0.29) | (0.01) | |||
Net asset value, end of period | $31.82 | $32.14 | $33.12 | $25.03 | |||
Total return (d) | 0.57% | (2.11)% | 33.72% | 18.67% | |||
Ratios to average net assets/supplemental data: | |||||||
Net assets, end of period (in 000’s) | $ 19,091 | $ 16,068 | $ 14,906 | $ 20,023 | |||
Ratio of total expenses to average net assets | 0.80% | 0.80% | 0.80% | 0.80% (e) | |||
Ratio of net investment income (loss) to average net assets | 1.43% | 1.09% | 1.02% | 0.60% (e) | |||
Portfolio turnover rate (f) | 70% | 71% | 118% | 5% |
(a) | Inception date is April 6, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Amount represents less than $0.01 per share. |
(d) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(e) | Annualized. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
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 Horizon Managed Volatility Domestic ETF | $ 1,810,516 | $ — | $ — | ||
First Trust Horizon Managed Volatility Developed International ETF | 1,333,862 | — | — | ||
First Trust Horizon Managed Volatility Small/Mid ETF | 255,451 | — | — |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |||
First Trust Horizon Managed Volatility Domestic ETF | $ 1,660,766 | $ — | $ — | ||
First Trust Horizon Managed Volatility Developed International ETF | 1,931,942 | — | — | ||
First Trust Horizon Managed Volatility Small/Mid ETF | 133,705 | — | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust Horizon Managed Volatility Domestic ETF | $ 178,012 | $ (43,898,526) | $ 3,257,632 | ||
First Trust Horizon Managed Volatility Developed International ETF | 235,830 | (30,830,145) | 538,685 | ||
First Trust Horizon Managed Volatility Small/Mid ETF | 28,610 | (2,152,557) | 1,237,166 |
Non-Expiring Capital Loss Carryforwards | |
First Trust Horizon Managed Volatility Domestic ETF | $ 43,898,526 |
First Trust Horizon Managed Volatility Developed International ETF | 30,830,145 |
First Trust Horizon Managed Volatility Small/Mid ETF | 2,152,557 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | |||
First Trust Horizon Managed Volatility Domestic ETF | $ — | $ (2,721,381) | $ 2,721,381 | ||
First Trust Horizon Managed Volatility Developed International ETF | 38,862 | (1,637) | (37,225) | ||
First Trust Horizon Managed Volatility Small/Mid ETF | — | — | — |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
First Trust Horizon Managed Volatility Domestic ETF | $ 88,525,108 | $ 5,576,108 | $ (2,318,476) | $ 3,257,632 | |||
First Trust Horizon Managed Volatility Developed International ETF | 39,833,701 | 2,540,724 | (2,005,428) | 535,296 | |||
First Trust Horizon Managed Volatility Small/Mid ETF | 17,771,050 | 1,847,882 | (610,716) | 1,237,166 |
Breakpoints | HUSV | HSMV | |||||||
Fund net assets up to and including $2.5 billion | 0.7000% | 0.80% | |||||||
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.6825% | 0.78% | |||||||
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.6650% | 0.76% | |||||||
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.6475% | 0.74% | |||||||
Fund net assets greater than $10 billion up to and including $15 billion | 0.6300% | 0.72% | |||||||
Fund net assets greater than $15 billion | 0.5950% | 0.68% |
Breakpoints | HDMV | ||||||||
Fund net assets up to and including $2.5 billion | 0.80% | ||||||||
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.78% | ||||||||
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.76% | ||||||||
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.74% | ||||||||
Fund net assets greater than $10 billion | 0.72% |
Purchases | Sales | ||
First Trust Horizon Managed Volatility Domestic ETF | $ 118,008,007 | $ 118,096,818 | |
First Trust Horizon Managed Volatility Developed International ETF | 31,483,862 | 31,530,358 | |
First Trust Horizon Managed Volatility Small/Mid ETF | 12,056,481 | 11,961,771 | |
Purchases | Sales | ||
First Trust Horizon Managed Volatility Domestic ETF | $ 26,887,784 | $ 34,091,566 | |
First Trust Horizon Managed Volatility Developed International ETF | — | 5,602,890 | |
First Trust Horizon Managed Volatility Small/Mid ETF | 3,172,586 | — |
Individual Funds Included in the Trust | Financial Highlights |
First Trust Horizon Managed Volatility Domestic ETF (HUSV) First Trust Horizon Managed Volatility Developed International ETF (HDMV) | For the years ended July 31, 2023, 2022, 2021, 2020, and 2019 |
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) | For the years ended July 31, 2023, 2022, and 2021, and for the period from April 6, 2020 (commencement of investment operations) through July 31, 2020 |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img57d7fd426.jpg)
Dividends Received Deduction | |
First Trust Horizon Managed Volatility Domestic ETF | 100.00% |
First Trust Horizon Managed Volatility Developed International ETF | 0.00% |
First Trust Horizon Managed Volatility Small/Mid ETF | 100.00% |
Qualified Dividend Income | |
First Trust Horizon Managed Volatility Domestic ETF | 100.00% |
First Trust Horizon Managed Volatility Developed International ETF | 70.20% |
First Trust Horizon Managed Volatility Small/Mid ETF | 100.00% |
Gross Foreign Income | Foreign Taxes Paid | ||||||
Amount | Per Share | Amount | Per Share | ||||
First Trust Horizon Managed Volatility Developed International ETF | $1,687,269 | $1.21 | $108,385 | $0.08 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
FIRST TRUST HORIZON MANAGED VOLATILITY DEVELOPED INTERNATIONAL ETF
FIRST TRUST HORIZON MANAGED VOLATILITY SMALL/MID ETF
First Trust Horizon Managed Volatility Developed International ETF (HDMV)
First Trust Horizon Managed Volatility Small/Mid ETF (HSMV)
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 238 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 238 | 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) | 238 | 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 of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 238 | 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) | 238 | 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) | 238 | 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) |
Derek D. Maltbie (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 to present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 to 2021. |
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). |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/imgfe65f5b51.jpg)
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img9cf1b5ed1.jpg)
First Trust New York Municipal High Income ETF (FMNY)
For the Year Ended
July 31, 2023
2 | |
Fund Performance Overview | |
3 | |
6 | |
9 | |
10 | |
15 | |
Portfolio of Investments | |
16 | |
24 | |
27 | |
28 | |
29 | |
30 | |
32 | |
40 | |
41 | |
48 | |
50 |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/imgc0f8b17a2.jpg)
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | Inception (6/20/17) to 7/31/23 | 5 Years Ended 7/31/23 | Inception (6/20/17) to 7/31/23 | ||
Fund Performance | ||||||
NAV | 1.08% | 1.96% | 2.15% | 10.21% | 13.90% | |
Market Price | 1.45% | 1.95% | 2.17% | 10.12% | 14.00% | |
Index Performance | ||||||
Bloomberg 10 Year California Exempt Index | 1.70% | 2.05% | 1.80% | 10.66% | 11.50% |
Sector Allocation | % of Total Investments (including cash) |
Insured | 10.6% |
Special Assessment | 10.4 |
Government Obligation Bond - Unlimited Tax | 10.2 |
Industrial Development Bond | 7.6 |
Water & Sewer | 7.1 |
Education | 6.2 |
Airport | 4.6 |
Gas | 4.3 |
Hospital | 4.2 |
Local Housing | 4.1 |
Certificates of Participation | 4.1 |
Pre-refunded/Escrowed-to-maturity | 4.0 |
Higher Education | 3.8 |
Utility | 3.3 |
Continuing Care Retirement Communities | 3.0 |
Dedicated Tax | 2.8 |
Tobacco | 1.5 |
Toll Road | 1.3 |
Tax Increment | 1.1 |
Student Housing | 1.0 |
Government Obligation Bond - Limited Tax | 0.8 |
Housing | 0.7 |
Other Health | 0.4 |
Cash | 2.9 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 98.5% |
Net Other Assets and Liabilities(1) | 1.5 |
Total | 100.0% |
Credit Rating(2) | % of Total Investments (including cash) |
AAA | 6.6% |
AA | 38.2 |
A | 15.6 |
BBB | 12.6 |
BB | 2.4 |
B | 0.3 |
Not Rated | 21.4 |
Cash | 2.9 |
Total | 100.0% |
(1) | Includes variation margin on futures contracts. |
(2) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img0c270bc13.jpg)
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 7/31/23 | Inception (5/12/21) to 7/31/23 | Inception (5/12/21) to 7/31/23 | |
Fund Performance | |||
NAV | 1.06% | -3.20% | -6.97% |
Market Price | 1.10% | -3.22% | -7.01% |
Index Performance | |||
Bloomberg Municipal New York 12-17 Years Index | 2.36% | -1.94% | -4.26% |
Sector Allocation | % of Total Investments (including cash) |
Dedicated Tax | 11.1% |
Insured | 11.0 |
Government Obligation Bond - Limited Tax | 10.3 |
Higher Education | 9.7 |
Education | 7.3 |
Industrial Development Bond | 6.6 |
Water & Sewer | 5.4 |
Airport | 5.4 |
Utility | 5.3 |
Government Obligation Bond - Unlimited Tax | 5.0 |
Hospital | 4.7 |
Mass Transit | 4.2 |
Special Assessment | 4.1 |
Toll Road | 3.9 |
Housing | 2.3 |
Tobacco | 1.9 |
Cash | 1.8 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 97.2% |
Net Other Assets and Liabilities(1) | 2.8 |
Total | 100.0% |
Credit Quality(2) | % of Total Investments (including cash) |
AAA | 4.5% |
AA | 46.8 |
A | 17.7 |
BBB | 15.0 |
BB | 2.7 |
Not Rated | 9.6 |
MIG1 (short-term) | 1.9 |
Cash | 1.8 |
Total | 100.0% |
(1) | Includes variation margin on futures contracts. |
(2) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/imgf59e87fa4.jpg)
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
• | 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 July 31, 2023, 5-Year and 10-Year U.S. Treasury yields increased by approximately 150 basis points (“bps”) and 133 bps, respectively, to 4.17% and 3.96%. As a reminder, the price of a bond moves inversely to a given change in yield, so higher yields resulted in lower U.S. Treasury bond prices. |
• | Large industry-wide mutual fund and exchange-traded fund (“ETF”) outflows resulted in funds selling municipal bonds to meet redemptions which put additional pressure on municipal bond prices. According to data from the Investment Company Institute, annual fund flows for the 12-month period ended July 31, 2023, were -$55.0 billion (outflow of over $55 billion). |
• | New issue municipal bond supply has been lower year-to-date compared to figures from a year ago. Through July 31, 2023, year-to-date issuance was approximately $204.4 billion, down approximately 17% compared to the $246.6 billion issued for the same period a year ago. However, J.P. Morgan noted that new issue supply inside of 10 years to maturity increased slightly compared to the same period a year ago. |
• | According to data from Bloomberg, municipal credit spreads tightened year-to-date. From December 30, 2022 through July 31, 2023, for municipal bonds rated AA, A, and BBB, credit spreads decreased approximately 4 bps, 15 bps, and 21 bps, respectively. |
• | Looking at the AAA municipal yield curve as prepared by Refinitiv Lipper, year-to-date, 5-Year and 10-Year municipal yields increased by 19 bps and decreased by 11 bps, to 2.66% and 2.57%, respectively. |
• | Years to Maturity: In terms of the Fund’s allocation in years to a bond’s final maturity date, the Fund’s allocation and selection of bonds with a final stated maturity was the largest contributor to the Fund’s underperformance relative to its Benchmark index. Given the general level of higher U.S. Treasury rates and a persistent period of industry fund outflows, we kept a higher percentage of the Fund’s assets in short maturing bonds that we believed would be highly liquid. In addition, the Fund’s underweight allocation to bonds with a stated maturity of 0-2 and 10-12 years were detrimental to Fund performance, as was the Fund’s allocation to bonds with a final stated maturity of 18+ years to maturity relative to the Fund’s Benchmark. |
• | Effective Duration: Focusing on the effective durations of the Fund’s bonds, the Fund’s selection of bonds with an effective duration of 7-10 years was the largest contributor to the Fund’s underperformance relative to its Benchmark, as was the Fund’s allocation to bonds with an effective duration of 10+ years. The Fund’s selection and allocation of bonds with an effective duration of 3-7 years was a positive contributor to the Fund’s performance relative to the Benchmark. |
• | Credit Rating: Regarding the Fund’s credit rating allocation relative to the Benchmark, the Fund’s selection of non-rated bonds, AAA rated, A rated, and BBB rated bonds were negative contributors to the Fund’s performance relative to the Benchmark. The Fund’s allocation and selection of bonds in the AA rating category was a positive contributor to the Fund’s performance. |
• | Sector/Industry: In terms of the Fund’s allocation to municipal bond sectors, the Fund’s selection of bonds in the healthcare, special tax, charter school, utilities, and housing sectors were all detrimental to the Fund’s performance relative to the Benchmark. The Fund’s allocation and selection of state general obligation bonds was a positive contributor to Fund performance. |
• | Distribution Rate: The distribution of $0.1135 paid on July 31, 2023, represents a tax-exempt annualized distribution rate of 2.78% based on the Fund’s closing market price of $49.05 on July 31, 2023. During the reporting period, the Fund’s distribution rate increased seven times. The Fund’s distribution rate is not constant and is subject to change over time based on the performance of the Fund. |
• | 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 July 31, 2023, 5-Year and 10-Year U.S. Treasury yields increased by approximately 150 bps and 133 bps, respectively, to 4.17% and 3.96%. As a reminder, the price of a bond moves inversely to a given change in yield, so higher yields resulted in lower U.S. Treasury bond prices. |
• | 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. According to data from the Investment Company Institute, annual fund flows for the 12-month period ended July 31, 2023, were -$55.0 billion (outflow of over $55 billion). |
• | New issue municipal bond supply has been lower year-to-date compared to figures from a year ago. Through July 31, 2023, year-to-date issuance was approximately $204.4 billion, down approximately 17% compared to the $246.6 billion issued for the same period a year ago. However, J.P. Morgan noted that new issue supply inside of 10 years to maturity increased slightly compared to the same period a year ago. |
• | According to data from Bloomberg, municipal credit spreads tightened year-to-date. From December 30, 2022 through July 31, 2023, for municipal bonds rated AA, A, and BBB, credit spreads decreased approximately 4 bps, 15 bps, and 21 bps, respectively. |
• | Looking at the AAA municipal yield curve as prepared by Refinitiv Lipper, year-to-date, 5-Year and 10-Year municipal yields increased by 19 bps and decreased by 11 bps, to 2.66% and 2.57%, respectively. |
• | Years to Maturity: During the 12-month period ended July 31, 2023, portfolio yield curve and effective duration positions were significant reasons the Fund underperformed relative to the Benchmark. Given the general level of higher U.S. Treasury rates and a persistent period of industry outflows, we kept a higher percentage of the Fund’s assets in shorter maturing bonds that we believed would be highly liquid. In terms of the Fund’s allocation in years to a bond’s final maturity date, the Fund’s selection of bonds in the |
0-2, 8-10 and 18+ year range were the main detractors to the Fund’s performance relative to the Benchmark, while the 2-4 years range was also a negative contributor. The Fund’s allocation to bonds with a final maturity of 16-18 years was a positive contributor to the Fund’s performance. | |
• | Effective Duration: Focusing on the effective durations of the Fund’s bonds, the Fund’s allocation and selection of bonds with effective durations of 0-1 years was the largest single contributor to the Fund’s underperformance relative to the Benchmark. In addition, the Fund’s allocation in bonds with effective durations of 3-10 years and 10+ years were also negative detractors to the Fund’s performance relative to its Benchmark. |
• | Credit Rating: Regarding the Fund’s credit rating allocation relative to the Benchmark, the Fund’s selection of bonds in the AA rated category was the largest single contributor to the Fund’s underperformance relative to the Benchmark. The AAA, A, BBB, and B credit rated categories were detractors to the Fund’s performance versus the Benchmark, while the selection of bonds in the non-rated category was a positive contributor to Fund performance. |
• | Sector/Industry: In terms of the Fund’s allocation to municipal bond sectors, the Fund’s investments in the Local General Obligation and Education sectors were the primary detractors to Fund performance relative to the Benchmark, while the Transportation sector was a secondary detractor. The State General Obligation and Special Tax Bonds sectors were positive contributors to Fund performance relative to the Benchmark. |
• | Distribution Rate: The distribution paid on July 31, 2023, of $0.075 represents a tax-exempt annualized distribution rate of 3.38% based on the Fund’s closing market price of $26.62 on July 31, 2023. During the reporting period, the Fund’s distribution rate increased four times. The Fund’s distribution rate is not constant and is subject to change over time based on the performance of the Fund. |
Beginning Account Value February 1, 2023 | Ending Account Value July 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust California Municipal High Income ETF (FCAL) | ||||
Actual | $1,000.00 | $999.60 | 0.65% | $3.22 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.57 | 0.65% | $3.26 |
First Trust New York Municipal High Income ETF (FMNY) (b) | ||||
Actual | $1,000.00 | $997.50 | 0.50% | $2.48 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.32 | 0.50% | $2.51 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (February 1, 2023 through July 31, 2023), multiplied by 181/365 (to reflect the six-month period). |
(b) | FMNY expense ratios reflect an expense waiver. See Note 3 in the Notes to Financial Statements. |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 98.5% | ||||||||
California – 93.5% | ||||||||
$215,000 | Antelope Vly E Kern CA Wtr Agy Wtr Rev Ref | 5.00% | 06/01/35 | $228,270 | ||||
1,000,000 | Bay Area Ca Toll Auth Toll Bridge Rev Var Ref, Ser A (a) | 3.30% | 04/01/55 | 1,000,000 | ||||
100,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area No 8F | 4.00% | 09/01/33 | 99,435 | ||||
175,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area No 8F | 4.00% | 09/01/34 | 173,942 | ||||
330,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area No 8F | 4.00% | 09/01/36 | 319,498 | ||||
620,000 | Beaumont CA Spl Tax Cmnty Facs Dist No 93-1 Impt Area No 8F | 4.00% | 09/01/40 | 571,862 | ||||
1,080,000 | Beverly Hills CA Pub Fing Auth Wtr Rev, Ser A | 4.00% | 06/01/40 | 1,094,520 | ||||
1,250,000 | Burbank CA Wtr & Pwr Elec Rev | 5.00% | 06/01/43 | 1,376,259 | ||||
2,220,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Green Bond, Ser B-1 (Mandatory put 08/01/31) | 4.00% | 02/01/52 | 2,208,366 | ||||
1,000,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Green Bonds, Ser D (Mandatory put 11/01/28) | 5.50% | 05/01/54 | 1,055,368 | ||||
1,000,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Var Green Bonds Clean Energy Proj, Ser C (Mandatory put 10/01/31) | 5.25% | 01/01/54 | 1,045,108 | ||||
20,000 | CA Cmnty Choice Fing Auth Green Bd Clean Energy Proj Rev, Ser A (Mandatory put 12/01/27) | 4.00% | 10/01/52 | 19,954 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Ref, Sonoma Cnty Securitization Corp, Ser A | 4.00% | 06/01/35 | 203,942 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 4.00% | 06/01/35 | 203,705 | ||||
200,000 | CA Cnty CA Tobacco Securitization Agy Tobacco Stlmt Sr Ref, Ser A | 4.00% | 06/01/39 | 197,679 | ||||
423,240 | CA Hsg Fin Agy Muni Ctfs, Ser A | 4.25% | 01/15/35 | 423,725 | ||||
360,000 | CA Pub Fin Auth Rev Ref Henry Mayo Newhall Hosp, Ser A | 4.00% | 10/15/28 | 363,050 | ||||
1,000,000 | CA Pub Fin Auth Rev Var Sharp Hlthcare Remk 05/04/18, Ser B (a) | 3.35% | 08/01/52 | 1,000,000 | ||||
290,000 | CA Pub Fin Auth Sr Living Rev ENSO Vlg Proj Green Bond, Ser A (b) | 5.00% | 11/15/36 | 282,293 | ||||
250,000 | CA Pub Fin Auth Sr Living Rev ENSO Vlg Proj Green Bond, Ser A (b) | 5.00% | 11/15/56 | 217,023 | ||||
750,000 | CA Pub Fin Auth Sr Living Rev Green Bond Temps 70 ENSO Vlg Proj, Ser B-2 (b) | 2.38% | 11/15/28 | 726,512 | ||||
255,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Proj, Ser A (b) | 5.00% | 07/01/30 | 260,549 | ||||
830,000 | CA Sch Fin Auth Sch Fac Rev Alliance Clg Ready Pub Schs Proj, Ser C (b) | 4.50% | 07/01/26 | 837,641 | ||||
505,000 | CA Sch Fin Auth Sch Fac Rev Granada Hills Chrt Oblig Grp (b) | 5.00% | 07/01/34 | 516,870 | ||||
105,000 | CA Sch Fin Auth Sch Fac Rev Kipp SoCal Pub Schs, Ser A (b) | 5.00% | 07/01/27 | 109,463 | ||||
400,000 | CA Sch Fin Auth Sch Fac Rev Kipp SoCal Pub Schs, Ser A (b) | 5.00% | 07/01/39 | 414,544 | ||||
675,000 | CA Sch Fin Auth Sch Fac Rev Ref Granada Hills Chrt Oblig Grp, Ser A (b) | 4.00% | 07/01/48 | 567,737 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Ref HTH Learning Proj, Ser A (b) | 4.00% | 07/01/25 | 197,172 | ||||
200,000 | CA Sch Fin Auth Sch Fac Rev Ref HTH Learning Proj, Ser A (b) | 5.00% | 07/01/32 | 196,328 | ||||
545,000 | CA Sch Fin Auth Sch Fac Rev Ref Value Schs, Ser A (b) | 5.00% | 07/01/40 | 551,219 | ||||
450,000 | CA Sch Fin Auth Sch Fac Rev Ref Value Schs, Ser A (b) | 5.25% | 07/01/48 | 454,688 | ||||
650,000 | CA Sch Fin Auth Sch Fac Rev, Ser A (b) | 5.00% | 07/01/40 | 655,792 | ||||
1,000,000 | CA St | 5.25% | 10/01/45 | 1,146,632 | ||||
1,000,000 | CA St Hlth Facs Fing Auth Rev Kaiser Premanete, Subser A-2 | 4.00% | 11/01/44 | 987,282 | ||||
220,000 | CA St Hlth Facs Fing Auth Rev Ref Sutter Hlth, Ser B | 5.00% | 11/15/33 | 234,390 | ||||
1,000,000 | CA St Hlth Facs Fing Auth Rev Var Ref Stanford Hlth Care, Ser A (Mandatory put 08/15/25) | 3.00% | 08/15/54 | 997,439 | ||||
1,000,000 | CA St Infra & Econ Dev Bank Natl Chrt Equitable Sch Revolving Fund Social Bonds, Ser B | 5.00% | 11/01/38 | 1,066,625 | ||||
1,000,000 | CA St Infra & Econ Dev Bank Rev Var Brightline W Passenger Rail Proj Remk, Ser A, AMT, (Mandatory put 01/31/24) (b) | 3.65% | 01/01/50 | 995,790 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$250,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Sycamore Acdmy Proj (c) | 5.38% | 07/01/34 | $250,639 | ||||
250,000 | CA St Muni Fin Auth Chrt Sch Lease Rev Vista Chrt Middle Sch Proj (d) | 5.38% | 07/01/34 | 250,307 | ||||
900,000 | CA St Muni Fin Auth Chrt Sch Rev John Adams Acdmys Lincoln Proj, Ser A (b) | 5.00% | 10/01/39 | 863,316 | ||||
200,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj (b) | 4.00% | 07/01/26 | 194,579 | ||||
450,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj, Ser A (b) | 5.00% | 07/01/38 | 440,721 | ||||
250,000 | CA St Muni Fin Auth Chrt Sch Rev, Ser A (b) | 5.50% | 06/01/38 | 250,563 | ||||
785,000 | CA St Muni Fin Auth Mobile Home Park Rev Ref Sr Caritas Projs, Ser A | 5.00% | 08/15/27 | 819,771 | ||||
85,000 | CA St Muni Fin Auth Mobile Home Park Rev Senior Caritas Affordable Hsg Inc Projs, Ser A | 3.00% | 08/15/32 | 78,868 | ||||
400,000 | CA St Muni Fin Auth Mobile Home Park Rev Sr Caritas Affordable Hsg Inc Projs, Ser A | 5.25% | 08/15/39 | 404,343 | ||||
605,000 | CA St Muni Fin Auth Mobile Home Park Rev Sr Caritas Affordable Hsg Inc Projs, Ser A | 5.25% | 08/15/49 | 610,466 | ||||
245,000 | CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas Proj, Ser B | 3.00% | 08/15/31 | 227,172 | ||||
295,000 | CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas Proj, Ser B | 4.00% | 08/15/41 | 272,708 | ||||
435,000 | CA St Muni Fin Auth Mobile Home Park Rev Sub Ref Caritas Proj, Ser B | 4.00% | 08/15/51 | 374,953 | ||||
500,000 | CA St Muni Fin Auth Ref Palomar Hlth, Ser A, COPS, AGM | 5.25% | 11/01/34 | 562,779 | ||||
500,000 | CA St Muni Fin Auth Ref Palomar Hlth, Ser A, COPS, AGM | 5.25% | 11/01/36 | 552,659 | ||||
1,000,000 | CA St Muni Fin Auth Rev Aldersly Proj, Ser A | 5.00% | 05/15/43 | 1,086,635 | ||||
1,500,000 | CA St Muni Fin Auth Rev Bethany Home Proj | 5.00% | 11/15/42 | 1,640,654 | ||||
1,000,000 | CA St Muni Fin Auth Rev CA Baptist Univ, Ser A (b) | 5.00% | 11/01/36 | 1,008,266 | ||||
225,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/30 | 238,132 | ||||
225,000 | CA St Muni Fin Auth Rev Ref CA Lutheran Univ | 5.00% | 10/01/32 | 237,128 | ||||
475,000 | CA St Muni Fin Auth Rev Ref Cmnty Med Ctrs, Ser A | 5.00% | 02/01/36 | 493,358 | ||||
200,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | 209,420 | ||||
250,000 | CA St Muni Fin Auth Rev Ref Emerson Clg, Ser B | 5.00% | 01/01/33 | 260,630 | ||||
1,080,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/34 | 1,083,841 | ||||
500,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 4.00% | 10/01/36 | 499,383 | ||||
110,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/26 | 117,380 | ||||
435,000 | CA St Muni Fin Auth Rev Ref Retmnt Hsg Fdtn Oblig Grp, Ser A | 5.00% | 11/15/27 | 474,729 | ||||
575,000 | CA St Muni Fin Auth Rev Ref Southwestern Law Sch | 4.00% | 11/01/41 | 521,286 | ||||
1,250,000 | CA St Muni Fin Auth Sol Wst Disp Rev Var Ref Rep Svcs Inc Proj Remk, Ser A, AMT (Mandatory put 10/02/23) | 4.10% | 07/01/41 | 1,249,607 | ||||
700,000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 694,864 | ||||
615,000 | CA St Muni Fin Auth Sr Living Rev Temps 50 Mt San Antonio Gardens Proj, Ser B-2 | 2.13% | 11/15/26 | 581,620 | ||||
550,000 | CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I, LLC W Vlg Stdt Hsg Proj | 5.00% | 05/15/27 | 574,421 | ||||
350,000 | CA St Muni Fin Auth Stdt Hsg Rev Chf Davis I, LLC W Vlg Stdt Hsg Proj | 5.00% | 05/15/40 | 359,453 | ||||
1,500,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Rep Svcs Remk, Ser A, AMT (Mandatory put 05/01/23) (b) | 3.88% | 08/01/23 | 1,500,000 | ||||
1,000,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Waste Mgmt Inc, Ser B-1, AMT | 3.00% | 11/01/25 | 977,414 | ||||
600,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt Inc, Ser A1, AMT | 3.38% | 07/01/25 | 592,490 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$1,000,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Wst Mgmt Inc, Ser A3, AMT | 4.30% | 07/01/40 | $1,008,014 | ||||
1,500,000 | CA St Poll Control Fing Auth Wtr Furnishing Rev Plant Bonds, AMT (b) | 5.00% | 07/01/37 | 1,500,358 | ||||
1,500,000 | CA St Poll Control Fing Auth Wtr Furnishing Rev Poseidon Res LP Desalination Proj, AMT (b) | 5.00% | 07/01/36 | 1,575,318 | ||||
5,000 | CA St Prerefunded Various Purp (Pre-refunded maturity 04/01/26) | 5.00% | 10/01/35 | 5,269 | ||||
15,000 | CA St Pub Wks Brd Lease Rev Judicial Council CA, Ser B | 5.00% | 06/01/34 | 15,568 | ||||
310,000 | CA St Pub Wks Brd Lease Rev Various Corr Facs, Ser C | 5.00% | 11/01/26 | 330,860 | ||||
75,000 | CA St Ref | 4.00% | 08/01/34 | 77,030 | ||||
1,000,000 | CA St Ref | 5.00% | 11/01/39 | 1,087,952 | ||||
700,000 | CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies Oceanside Proj, Ser A (b) | 5.00% | 10/01/32 | 741,059 | ||||
600,000 | CA St Sch Fin Auth Chrt Sch Rev Sustainability Bonds Ref Camino Nuevo Chrt Acdmy, Ser A (b) | 5.00% | 06/01/43 | 594,549 | ||||
1,000,000 | CA St Stwd Cmntys Dev Auth Mf Var Hsg Iac Proj, Ser W-1 (a) | 3.50% | 08/01/34 | 1,000,000 | ||||
1,000,000 | CA St Stwd Cmntys Dev Auth Mfh Rev Var Adams Boulevard & Harvard Gardens Apartments Sub, Ser L-1 (Mandatory put 03/01/24) | 3.50% | 03/01/26 | 993,270 | ||||
245,000 | CA St Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/27 | 254,345 | ||||
50,000 | CA St Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 4.00% | 04/01/32 | 50,267 | ||||
50,000 | CA St Stwd Cmntys Dev Auth Rev Ref Insd Enloe Med Ctr, CA MTG INS (Pre-refunded maturity 02/15/26) | 5.00% | 08/15/33 | 52,599 | ||||
500,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No 1 | 4.00% | 09/01/41 | 453,576 | ||||
200,000 | CA St Stwd Cmntys Dev Auth Stdt Hsg Rev Ref Chf Irvine LLC | 5.00% | 05/15/30 | 207,134 | ||||
280,000 | CA St Stwd Cmntys Dev Auth Stdt Hsg Rev Ref Chf Irvine LLC | 5.00% | 05/15/35 | 287,148 | ||||
1,140,000 | CA St Stwd Cmntys Dev Auth Stwd Rev Stwd Cmnty Infra Prog, Ser C-1 | 4.00% | 09/02/31 | 1,110,634 | ||||
500,000 | CA St Univ Rev, Ser A (e) | 5.25% | 11/01/48 | 568,767 | ||||
95,000 | CA St Unrefunded Various Purp | 5.00% | 10/01/35 | 100,070 | ||||
1,000,000 | CA St Various Purp | 5.00% | 05/01/29 | 1,013,690 | ||||
705,000 | CA Stwd Cmntys Dev Auth Rev Kaiser Permanente J Remk, Ser 2004 (Mandatory put 11/01/29) | 5.00% | 04/01/36 | 792,231 | ||||
250,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (b) | 5.00% | 12/01/30 | 255,444 | ||||
300,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (b) | 5.00% | 12/01/33 | 305,787 | ||||
250,000 | CA Stwd Cmntys Dev Auth Rev Ref CA Baptist Univ, Ser A (b) | 5.00% | 11/01/32 | 256,418 | ||||
100,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/30 | 104,082 | ||||
175,000 | CA Stwd Cmntys Dev Auth Rev Ref Front Porch Cmntys & Svcs, Ser A | 5.00% | 04/01/31 | 182,281 | ||||
385,000 | CA Stwd Cmntys Dev Auth Rev Var Adventist Hlth Sys W A Remk, Ser 2007 (Mandatory put 03/01/27) | 5.00% | 03/01/37 | 398,899 | ||||
450,000 | Chino CA Cmnty Facs Dist Spl Tax #2003-3 Impt Area #7 | 5.00% | 09/01/31 | 475,333 | ||||
815,000 | Clovis CA Unif Sch Dist Cops | 5.00% | 06/01/41 | 900,053 | ||||
500,000 | Clovis CA Unif Sch Dist Cops | 5.00% | 06/01/42 | 549,713 | ||||
500,000 | Clovis CA Unif Sch Dist Cops | 5.00% | 06/01/43 | 548,698 | ||||
250,000 | Compton CA Unif Sch Dist Los Angeles Co Schs Fing Prog, Ser A, COPS, BAM | 4.00% | 06/01/35 | 255,771 | ||||
210,000 | Cotati-Rohnert Park CA Unif Sch Dist 2016 Election, Ser C, AGM | 5.00% | 08/01/32 | 223,836 | ||||
2,000,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev Union S Bay Social Bonds, Ser A-2 (b) | 4.00% | 07/01/56 | 1,471,450 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$295,000 | Del Mar CA Union Sch Dist Spl Tax Ref | 4.00% | 09/01/34 | $293,217 | ||||
150,000 | Dinuba CA Jt Unif Sch Dist, COPS, AGM | 4.00% | 02/01/35 | 153,499 | ||||
920,000 | E Bay CA Muni Util Dist Wtr Sys Rev Green Bond, Ser A | 5.00% | 06/01/38 | 1,013,308 | ||||
795,000 | El Dorado CA Irr Dist Rev Ref, Ser C | 4.00% | 03/01/34 | 814,154 | ||||
1,450,000 | Elk Grove CA Fin Auth Spl Tax Rev Laguna Ridge CFD #2005-1 | 4.00% | 09/01/50 | 1,242,965 | ||||
1,000,000 | Elk Grove CA Unif Sch Dist Election of 2016 | 4.00% | 08/01/40 | 1,007,025 | ||||
350,000 | Folsom Ranch CA Fing Auth Spl Tax Rev Cmnty Facs Dist No 19 Mangini | 5.00% | 09/01/32 | 366,299 | ||||
155,000 | Fontana CA Spl Tax Cmnty Facs Dist #80 Bella Strada | 5.00% | 09/01/29 | 163,591 | ||||
500,000 | Fontana CA Spl Tax Cmnty Facs Dist #80 Bella Strada | 5.00% | 09/01/46 | 507,353 | ||||
240,000 | Fontana CA Spl Tax Spl Tax, The Meadows | 4.00% | 09/01/32 | 240,030 | ||||
165,000 | Fontana CA Unif Sch Dist Unrefunded, AGM | (f) | 02/01/33 | 118,281 | ||||
140,000 | Fresno CA Jt Pwrs Fing Auth Lease Rev Ref Master Lease Proj, Ser A, AGM | 5.00% | 04/01/32 | 151,404 | ||||
750,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Ser A-1 (Pre-refunded maturity 06/01/28) | 5.00% | 06/01/34 | 832,091 | ||||
1,000,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Tobacco Stlmt Asset Backed Bonds, Ser A-1 | 5.00% | 06/01/51 | 1,042,097 | ||||
1,000,000 | Imperial CA Cmnty Clg Dist Election of 2022, Ser , AGM | 5.25% | 08/01/53 | 1,121,404 | ||||
2,000,000 | Irvine CA Facs Fing Auth Lease Rev Gateway Preserve Land Acq Proj, Ser A | 5.25% | 05/01/48 | 2,086,126 | ||||
2,000,000 | Irvine CA Spl Tax Great Park Impt Area No 10, BAM (e) | 5.25% | 09/01/53 | 2,236,929 | ||||
150,000 | Irvine CA Unif Sch Dist Spl Tax Cmnty Facs Dist #09-1, Ser C | 5.00% | 09/01/31 | 157,717 | ||||
1,000,000 | Kern CA Cmnty Clg Dist, CABS, BANS | (f) | 08/01/23 | 1,000,000 | ||||
1,000,000 | Kern CA Cmnty Clg Dist, Ser D | 5.25% | 08/01/39 | 1,167,125 | ||||
485,000 | King City CA Union Sch Dist Cap Apprec Election 1998-C, CABS, AMBAC | (f) | 08/01/29 | 394,093 | ||||
25,000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Mountain House Sch Facs | 4.00% | 09/01/33 | 24,920 | ||||
25,000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Mountain House Sch Facs | 4.00% | 09/01/34 | 24,871 | ||||
200,000 | Lammersville CA Jt Unif Sch Dist Spl Tax Cmnty Facs Dist #2014-1 Mountain House Sch Facs | 4.00% | 09/01/40 | 185,363 | ||||
225,000 | Long Beach CA Arpt Rev Ref, Ser A, AGM | 5.00% | 06/01/30 | 259,646 | ||||
500,000 | Long Beach CA Arpt Rev, Sec C, AMT, AGM | 5.25% | 06/01/47 | 534,769 | ||||
750,000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.50% | 11/15/30 | 818,741 | ||||
500,000 | Los Angeles CA Dept of Arpts Arpt Rev Green Bond Ref Subord Priv Activity, Ser A, AMT | 5.25% | 05/15/42 | 548,089 | ||||
50,000 | Los Angeles CA Dept of Arpts Arpt Rev Prerefunded Subord Ref, Ser D, AMT (Pre-refunded maturity 11/15/31) | 5.00% | 05/15/33 | 56,139 | ||||
950,000 | Los Angeles CA Dept of Arpts Arpt Rev Unrefunded Subord Ref, Ser D, AMT | 5.00% | 05/15/33 | 1,061,592 | ||||
690,000 | Los Angeles CA Dept of Arpts Arpt Rev Unrefunded Subord Ref, Ser D, AMT | 5.00% | 05/15/36 | 756,562 | ||||
10,000 | Los Angeles CA Dept of Arpts, Ser E | 5.00% | 05/15/28 | 10,430 | ||||
1,000,000 | Los Angeles CA Dept of Wtr & Pwr Wtrwks Rev, Ser A | 5.00% | 07/01/48 | 1,058,404 | ||||
1,000,000 | Los Angeles CA Dept Wtr & Pwr Rev Var Ref Remk, Subser B-6 (a) | 3.55% | 07/01/34 | 1,000,000 | ||||
1,250,000 | Los Angeles CA Trans | 5.00% | 06/27/24 | 1,270,379 | ||||
650,000 | Los Angeles Cnty Ca Dev Auth Mf Hsg Rev Var, West La Va Building 156 & 157 Apts, Ser C (Mandatory put 12/01/26) | 3.75% | 12/01/46 | 650,693 | ||||
410,000 | Los Osos CA Cmnty Svcs Wstwtr Assmnt Dist #1 Ref Reassmnt | 3.13% | 09/02/32 | 399,667 | ||||
100,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/27 | 105,416 | ||||
250,000 | Marina CA Redev Agy Successor Agy Tax Allocation Hsg, Ser B | 5.00% | 09/01/33 | 263,348 | ||||
600,000 | Menifee CA Spl Tax, Ser A | 5.00% | 09/01/43 | 615,140 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$700,000 | Menifee CA Spl Tax, Ser A | 5.00% | 09/01/48 | $706,169 | ||||
245,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/34 | 259,580 | ||||
500,000 | Menifee CA Union Sch Dist Spl Tax Cmnty Facs Dist #2011-1 | 5.00% | 09/01/44 | 508,633 | ||||
1,000,000 | Met Wtr Dist of Sthrn CA Wtrwks Rev, Ser A | 5.00% | 04/01/48 | 1,117,894 | ||||
530,000 | Modesto CA Elem Sch Dist Stanislaus Cnty Election of 2018 Measure D, Ser C | 5.00% | 08/01/41 | 589,523 | ||||
1,125,000 | Modesto CA Irr Dist Fing Auth Elec Sys Rev, Ser A | 5.25% | 10/01/48 | 1,265,686 | ||||
100,000 | Modesto CA Spl Tax Ref Cmnty Facs Dist # 2004-1 Vlg 1 #2 | 5.00% | 09/01/27 | 101,882 | ||||
200,000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (b) | 5.00% | 10/01/42 | 197,342 | ||||
1,115,000 | Natomas CA Unif Sch Dist, AGM | 3.00% | 08/01/36 | 1,015,600 | ||||
250,000 | Norco CA Spl Tax Ref Norco Ridge Ranch, BAM | 5.00% | 09/01/32 | 270,988 | ||||
1,400,000 | Nrthrn CA Energy Auth Cmnty Spl Rev, Ser A (Mandatory put 07/01/24) | 4.00% | 07/01/49 | 1,403,368 | ||||
100,000 | Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac | 4.00% | 09/01/34 | 98,693 | ||||
65,000 | Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac | 4.00% | 09/01/35 | 63,234 | ||||
275,000 | Ontario CA Cmnty Facs Dist #40 Spl Tax Emeral Park Fac | 4.00% | 09/01/39 | 251,212 | ||||
610,000 | Orange Ctr CA Sch Dist Election of 2022, Ser A, AGM (e) | 5.25% | 08/01/48 | 660,980 | ||||
1,000,000 | Oxnard CA Sch Dist Election of 2022, Ser A, BAM | 5.00% | 08/01/42 | 1,113,201 | ||||
650,000 | Palm Desert CA Spl Tax Ref Univ Park | 4.00% | 09/01/51 | 557,546 | ||||
250,000 | Palomar Hlth CA Rev Ref | 5.00% | 11/01/31 | 260,045 | ||||
210,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/33 | 222,874 | ||||
220,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/34 | 233,225 | ||||
340,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax No 2018-1 Grantline 208 | 5.00% | 09/01/39 | 352,484 | ||||
525,000 | Ripon CA Redev Agy Successor Agy Tax Allocation Ref, BAM | 4.00% | 11/01/31 | 554,675 | ||||
500,000 | River Islands CA Pub Fing Auth Spl Tax Cmnty Facs Dist #2019-1 Phase 2 Pub Impts | 5.00% | 09/01/40 | 489,626 | ||||
575,000 | Riverside CA Unif Sch Dist Election of 2016, Ser B | 3.00% | 08/01/38 | 504,960 | ||||
185,000 | Riverside CA Unif Sch Dist Fing Auth Spl Tax Ref, BAM | 5.00% | 09/01/34 | 191,339 | ||||
750,000 | Riverside CA Wtr Rev, Ser A | 5.00% | 10/01/47 | 831,640 | ||||
185,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac | 5.00% | 09/01/32 | 197,300 | ||||
160,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac | 5.00% | 09/01/33 | 170,293 | ||||
170,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac | 4.00% | 09/01/34 | 171,018 | ||||
150,000 | Roseville CA Spl Tax Fiddyment Ranch Cmnty Fac | 4.00% | 09/01/35 | 149,992 | ||||
225,000 | Roseville CA Spl Tax Vlg CFD #1 | 4.00% | 09/01/33 | 224,098 | ||||
200,000 | Sacramento CA Spl Tax Natomas Meadows Cmnty Facs Dist #2007-01 (b) | 5.00% | 09/01/32 | 208,583 | ||||
500,000 | Sacramento CA Transient Occupancy Tax Rev Sub Convention Ctr Complex, Ser C | 5.00% | 06/01/32 | 541,966 | ||||
1,000,000 | Sacramento Cnty CA Arpt Sys Rev Ref, Ser C, AMT | 5.00% | 07/01/37 | 1,046,877 | ||||
1,000,000 | San Diego CA Pub Fac Fing Auth Swr Rev Subord, Ser A | 5.00% | 05/15/47 | 1,109,002 | ||||
1,075,000 | San Diego CA Pub Fac Fing Auth Wtr Rev, Ser A | 5.00% | 08/01/41 | 1,132,337 | ||||
600,000 | San Diego CA Pub Facs Fing Auth Lease Rev Capital Impt Projects, Ser A | 5.00% | 10/15/40 | 677,997 | ||||
1,500,000 | San Diego CA Unif Sch Dist Green Bond, Ser F2 | 5.00% | 07/01/42 | 1,682,071 | ||||
1,300,000 | San Diego CA Unif Sch Dist Ref, Ser R2, CONV CABS | 0.00% | 07/01/41 | 1,198,701 | ||||
800,000 | San Diego CA Unif Sch Dist, Ser K2, CABS | (f) | 07/01/32 | 574,966 | ||||
510,000 | San Diego Cnty CA Ltd Rev Obligs Ref Sanford Burnham Prebys Med Discovery Institute, Ser A | 5.00% | 11/01/28 | 535,213 | ||||
130,000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord Ref, Ser A | 5.00% | 07/01/39 | 140,935 | ||||
1,000,000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord, Ser B, AMT | 5.00% | 07/01/34 | 1,098,223 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$85,000 | San Diego Cnty CA Spl Tax Harmony Grove Vlg Impt Area No 2, Ser A | 4.00% | 09/01/33 | $85,507 | ||||
1,000,000 | San Francisco CA City & City Pub Utils Commn Wtr Rev Reg & Loc Wtr, Ser A | 5.25% | 11/01/48 | 1,137,750 | ||||
140,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref Second Ser, Ser 2020A, AMT | 5.00% | 05/01/37 | 149,491 | ||||
2,000,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/34 | 2,209,494 | ||||
500,000 | San Francisco CA City & Cnty Dcnty Dev Spl Tax Dist No 2020-1 Mission Rock Facs & Svcs, Ser A (b) | 4.00% | 09/01/46 | 421,096 | ||||
100,000 | San Francisco City & Cnty CA Redev Agy Successor Agy Tax Ref Mission Bay N Redev Proj, Ser A | 5.00% | 08/01/35 | 105,579 | ||||
935,000 | San Francisco City & Cnty CA, Ser B | 2.00% | 06/15/29 | 865,697 | ||||
175,000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Cap Apprec Ref, Ser A, NATL-RE | (f) | 01/15/29 | 143,190 | ||||
120,000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Ref Sr Lien Toll Road, Ser A | 4.00% | 01/15/37 | 122,504 | ||||
1,000,000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Sr Lien Ref, Ser A (Pre-refunded maturity 01/15/25) | 5.00% | 01/15/29 | 1,029,108 | ||||
1,145,000 | San Jose CA Arpt Rev Ref, Ser A, AMT, BAM | 4.00% | 03/01/34 | 1,161,447 | ||||
1,000,000 | San Luis Coastal CA Unif Sch Dist Election of 2022, Ser A | 5.00% | 08/01/41 | 1,132,071 | ||||
1,000,000 | San Luis Obispo Cnty CA Fing Auth Lease Rev Multiple Capital Projs Ref, Ser A | 5.25% | 11/15/40 | 1,109,683 | ||||
1,000,000 | San Mateo Cnty CA Transprtn Auth Sales Tax Rev Var Subord, Ser B (a) | 3.20% | 06/01/49 | 1,000,000 | ||||
1,500,000 | Sanger CA Fing Auth Wstwtr Rev Ref, AGM (Pre-refunded maturity 06/15/24) | 5.00% | 06/15/34 | 1,550,461 | ||||
500,000 | Santa Clara Vly CA Wtr Dist Safe Clean Wtr Rev Green Bond, Ser A | 5.00% | 08/01/40 | 573,070 | ||||
500,000 | Santa Clara Vly CA Wtr Dist Safe Clean Wtr Rev Green Bond, Ser A | 5.00% | 08/01/41 | 571,055 | ||||
800,000 | Santa Clarita CA Cmnty Facs Dist Vista Canyon #2016-1 (b) | 4.00% | 09/01/35 | 786,406 | ||||
1,100,000 | Santa Margarita CA Wtr Dist Spl Tax Ref, Ser A, BAM | 5.00% | 09/01/43 | 1,201,691 | ||||
740,000 | Simi Vly CA Unif Sch Dist, Ser B | 4.00% | 08/01/38 | 747,480 | ||||
1,500,000 | South Orange Cnty CA Public Fing Auth Spl Tax Rev Ref, Senior Lien, Ser A | 5.00% | 08/15/28 | 1,500,921 | ||||
150,000 | Temecula Vly CA Unif Sch Dist Cmnty Facs Dist #2014-1 | 5.00% | 09/01/32 | 157,701 | ||||
400,000 | Temecula Vly Unif Sch Dist Fing Auth CA Spl Tax Rev, BAM | 5.00% | 09/01/34 | 413,140 | ||||
500,000 | Temescal Vly CA Wtr Dist Spl Tax Terramor Cmnty Facs Dist #4 Impt Area #1 | 5.00% | 09/01/31 | 526,667 | ||||
250,000 | Tracy CA Cmnty Facs Dist | 5.00% | 09/01/33 | 263,089 | ||||
735,000 | Transbay Jt Powers Auth CA Green Bond Sr Tax Alloc Bonds, Ser A | 5.00% | 10/01/33 | 795,809 | ||||
850,000 | Tustin CA Cmnty Fac Dist Spl Tax Ref #06-1 Legacy Columbus Vlgs, Ser A | 5.00% | 09/01/35 | 879,838 | ||||
2,000,000 | Univ of California CA Rev Ref, Ser BN | 5.00% | 05/15/42 | 2,304,135 | ||||
400,000 | Univ of California CA Rgts Med Center Pooled Ref Var Ref Remk, Ser B-1 (a) | 3.35% | 05/15/32 | 400,000 | ||||
1,000,000 | Western Placer CA Unif Sch Dist Trans | 6.25% | 06/28/24 | 1,027,137 | ||||
1,295,000 | Western Placer Wst Mgmt Auth CA Solid Wst Rev Landfill Impt Proj, Ser B | 5.00% | 06/01/42 | 1,374,075 | ||||
139,482,840 | ||||||||
Florida – 0.2% | ||||||||
50,000 | Parkland Preserve CDD FL Spl Assmnt Rev, Ser A | 4.50% | 05/01/24 | 50,053 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$245,000 | Rhodine Road N CDD FL Spl Assmnt 2019 Assmnt Area | 4.00% | 05/01/30 | $239,319 | ||||
289,372 | ||||||||
Guam – 0.7% | ||||||||
100,000 | Guam Govt Busn Privilege Tax Rev Ref, Ser D | 5.00% | 11/15/32 | 101,482 | ||||
1,000,000 | Guam Intl Arpt Auth Ref Gen, Ser C, AMT (Forward refunding 10/01/23) | 6.38% | 10/01/43 | 1,004,174 | ||||
1,105,656 | ||||||||
Illinois – 0.1% | ||||||||
135,000 | Chicago IL Ref, Ser C, CABS | (f) | 01/01/24 | 132,688 | ||||
Louisiana – 0.5% | ||||||||
750,000 | Saint James Parish LA Rev Var Nustar Logistics LP Proj, Ser 2008 (Mandatory put 06/01/30) (b) | 6.10% | 06/01/38 | 807,962 | ||||
Ohio – 0.4% | ||||||||
640,000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Ser B-2, Class 2 | 5.00% | 06/01/55 | 595,739 | ||||
Puerto Rico – 2.6% | ||||||||
500,000 | Puerto Rico Cmwlth Hwy & Transprtn Auth Restructured Toll Restructured, Ser A, CABS | 5.00% | 07/01/62 | 492,500 | ||||
510,000 | Puerto Rico Cmwlth Hwy & Transprtn Auth Restructured Toll Restructured, Ser B, CABS | (f) | 07/01/32 | 325,048 | ||||
1,100,000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/33 | 1,046,207 | ||||
500,000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/41 | 430,598 | ||||
1,060,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.55% | 07/01/40 | 1,027,352 | ||||
578,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2 | 4.33% | 07/01/40 | 545,536 | ||||
3,867,241 | ||||||||
Texas – 0.3% | ||||||||
370,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 374,181 | ||||
Utah – 0.2% | ||||||||
500,000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-2 | 4.00% | 06/01/52 | 370,729 |
Total Investments – 98.5% | 147,026,408 | ||
(Cost $148,367,733) | |||
Net Other Assets and Liabilities – 1.5% | 2,191,720 | ||
Net Assets – 100.0% | $149,218,128 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
10-Year U.S. Treasury Notes | Short | 36 | Sep 2023 | $ (4,010,625) | $11,078 | |||||
Ultra 10-Year U.S. Treasury Notes | Short | 30 | Sep 2023 | (3,509,531) | 28,915 | |||||
$(7,520,156) | $39,993 |
(a) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(b) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A 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 July 31, 2023, securities noted as such amounted to $20,362,838 or 13.6% of net assets. |
(c) | 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). |
(d) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(e) | When-issued security. The interest rate shown reflects the rate in effect at July 31, 2023. Interest will begin accruing on the security’s first settlement date. |
(f) | Zero coupon bond. |
Abbreviations throughout the Portfolio of Investments: | |
AGM | Assured Guaranty Municipal Corp. |
AMBAC | American Municipal Bond Assurance Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
BANS | Bond Anticipation Notes |
CA MTG INS | California Mortgage Insurance |
CABS | Capital Appreciation Bonds |
CONV CABS | Convertible Capital Appreciation Bonds |
COPS | Certificates of Participation |
NATL-RE | National Public Finance Guarantee Corp. |
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 147,026,408 | $ — | $ 147,026,408 | $ — |
Futures Contracts** | 39,993 | 39,993 | — | — |
Total | $ 147,066,401 | $ 39,993 | $ 147,026,408 | $— |
* | See Portfolio of Investments for state and territory breakout. |
** | Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Statements of Assets and Liabilities. |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 97.2% | ||||||||
Florida – 1.9% | ||||||||
$250,000 | Ridge at Apopka CDD Fl Spl Assmnt | 5.38% | 05/01/42 | $250,085 | ||||
New York – 89.6% | ||||||||
300,000 | Build NYC Res Corp NY Rev Acad Leadership Chrt Sch Proj | 4.00% | 06/15/31 | 293,432 | ||||
100,000 | Build NYC Res Corp NY Rev Social Bond E Harlem Scholars Acdmy Chrt Sch Proj (a) | 5.75% | 06/01/42 | 102,427 | ||||
300,000 | Build NYC Res Corp NY Rev Social Bond Kipp NYC Pub Sch Facs Canal W Proj | 5.00% | 07/01/42 | 304,971 | ||||
300,000 | Chautauqua Cnty NY Capital Res Corp Exempt Facs Rev Var Ref NRG Energy Proj Remk (Mandatory put 04/03/28) | 4.25% | 04/01/42 | 298,241 | ||||
250,000 | Dutchess Cnty NY Loc Dev Corp Rev Marist Clg Proj | 5.00% | 07/01/52 | 260,439 | ||||
250,000 | Elba Twp NY, BANS | 5.00% | 03/14/24 | 252,177 | ||||
250,000 | Hudson Yards Infra Corp NY 2nd Indenture Rev Ref, Ser A | 5.00% | 02/15/38 | 261,984 | ||||
250,000 | Irondequoit NY, Ser B, BANS | 4.00% | 12/15/23 | 250,623 | ||||
295,000 | Livingston Cnty NY Ref | 4.00% | 05/01/33 | 310,942 | ||||
300,000 | Long Beach NY, Ser B, BAM | 5.25% | 07/15/32 | 335,163 | ||||
350,000 | Long Island NY Pwr Auth Elec Sys Rev Ref, Ser A | 5.00% | 09/01/35 | 397,686 | ||||
255,000 | Met Transprtn Auth NY Dedicated Tax Fund Green Bond, Ser B-1 | 5.00% | 11/15/36 | 268,871 | ||||
275,000 | Met Transprtn Auth NY Rev Green Bond Ref, Sec C-1 | 4.00% | 11/15/37 | 272,112 | ||||
400,000 | Nassau Cnty NY Indl Dev Agy Var Ref & Impt Cold Spring (b) | 3.65% | 01/01/34 | 400,000 | ||||
250,000 | Nassau Cnty NY Loc Econ Asst Corp Edl Rev Roosevelt Children Acdmy Chrt Sch Proj, Ser A | 5.00% | 07/01/43 | 256,026 | ||||
305,000 | Nassau Cnty NY, Ser A, AGM | 5.00% | 04/01/29 | 344,155 | ||||
300,000 | New York City NY Hsg Dev Corp Mf Hsg Rev Sustainable Dev Bonds, Ser F-2A (Mandatory put 12/22/26) | 3.40% | 11/01/62 | 295,233 | ||||
125,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Adj 2nd Gen Resolution Fiscal 2014, Ser AA-6 (b) | 0.33% | 06/15/48 | 125,000 | ||||
250,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref 2nd Gen Resolution, Ser EE | 5.00% | 06/15/41 | 274,119 | ||||
250,000 | New York City NY Transitional Fin Auth Rev Multi Modal Bonds Subord, Ser B-1 | 5.00% | 08/01/34 | 273,919 | ||||
250,000 | New York St Dorm Auth Revs Non St Supported Debt Memorial Sloan Kettering Cancer Ctr, Ser 1 | 5.00% | 07/01/39 | 268,535 | ||||
325,000 | New York St Dorm Auth Revs Non St Supported Debt Ref-Northwell Hlth Oblig Grp, Ser A | 5.00% | 05/01/38 | 352,636 | ||||
250,000 | New York St Dorm Auth Revs Non St Supported Debt Sch Dists Rev Bond Fing Prog, Ser A, BAM | 5.00% | 10/01/29 | 282,033 | ||||
285,000 | New York St Dorm Auth Revs Non St Supported Debt, Ser A | 5.00% | 07/01/40 | 304,348 | ||||
250,000 | NY NY Fiscal 2020, Ser B-1 | 5.00% | 10/01/32 | 280,055 | ||||
280,000 | NY St Dorm Auth Revs Non St Supported Debt Ref New Sch, Ser A | 5.00% | 07/01/31 | 316,018 | ||||
250,000 | NY St Energy, Ser C | 4.00% | 04/01/34 | 253,606 | ||||
290,000 | NY St Envrnmntl Facs Corp St Clean Wtr & Drinking Wtr Ref Subord, Ser B | 5.00% | 06/15/44 | 312,891 | ||||
250,000 | NY St Thruway Auth Gen Rev Jr Indebtedness Obl Subord, Ser B | 4.00% | 01/01/45 | 242,718 | ||||
360,000 | NY St Transprtn Dev Corp Spl Fac Rev Delta Air Lines Inc LaGuardia Arpt Terminals C&D Redev, AMT | 4.00% | 10/01/30 | 358,721 | ||||
250,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref American Airls Inc John F Kennedy Intl Arpt Proj, AMT | 5.00% | 08/01/31 | 250,272 | ||||
435,000 | NY St Transprtn Dev Corp Spl Rev Terminal 4 JFK Intl Arpt Proj, AMT | 5.00% | 12/01/30 | 469,425 | ||||
250,000 | NY St Urban Dev Corp Rev Personal Income Tax, Ser A | 5.00% | 03/15/35 | 283,319 | ||||
250,000 | Oyster Bay NY, Ser A, AGM | 2.00% | 03/01/35 | 211,271 | ||||
250,000 | Port Auth Of NY & NJ NY Ref Two Hundred Ninth Ser | 5.00% | 07/15/32 | 277,145 | ||||
270,000 | Rockland Cnty NY Sol Wst Mgmt Auth Green Bond, Ser A, AMT | 5.00% | 12/15/28 | 292,433 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New York (Continued) | ||||||||
$290,000 | Southampton Vlg NY Ambulance Bldg | 2.13% | 03/01/29 | $266,344 | ||||
250,000 | Syracuse Regl Arpt Auth NY Sr Arpt Rev Ref, AMT | 4.00% | 07/01/36 | 239,316 | ||||
250,000 | Triborough NY Bridge & Tunnel Auth Revs Ref, Ser B | 5.00% | 11/15/38 | 264,311 | ||||
250,000 | Westchester Cnty NY Green Bond, Ser B | 4.00% | 12/15/34 | 272,576 | ||||
250,000 | Westchester NY Tobacco Asset Securitization Ref Sr, Ser B | 5.00% | 06/01/41 | 255,636 | ||||
250,000 | Yonkers NY, Ser F, BAM | 5.00% | 11/15/41 | 276,325 | ||||
11,907,454 | ||||||||
Puerto Rico – 5.7% | ||||||||
400,000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/33 | 380,439 | ||||
400,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2 | 4.33% | 07/01/40 | 377,534 | ||||
757,973 |
Total Investments – 97.2% | 12,915,512 | ||
(Cost $12,844,418) | |||
Net Other Assets and Liabilities – 2.8% | 367,606 | ||
Net Assets – 100.0% | $13,283,118 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
10-Year U.S. Treasury Notes | Short | 1 | Sep 2023 | $ (111,406) | $(953) | |||||
Ultra 10-Year U.S. Treasury Notes | Short | 2 | Sep 2023 | (233,969) | 141 | |||||
$(345,375) | $(812) |
(a) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At July 31, 2023, securities noted as such amounted to $102,427 or 0.8% of net assets. |
(b) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
Abbreviations throughout the Portfolio of Investments: | |
AGM | Assured Guaranty Municipal Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
BANS | Bond Anticipation Notes |
ASSETS TABLE | ||||
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 12,915,512 | $ — | $ 12,915,512 | $ — |
Futures Contract** | 141 | 141 | — | — |
Total | $ 12,915,653 | $ 141 | $ 12,915,512 | $— |
LIABILITIES TABLE | ||||
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contract** | $ (953) | $ (953) | $ — | $ — |
* | See Portfolio of Investments for state and territory breakout. |
** | Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Statements of Assets and Liabilities. |
First Trust California Municipal High Income ETF (FCAL) | First Trust New York Municipal High Income ETF (FMNY) | ||
ASSETS: | |||
Investments, at value | $ 147,026,408 | $ 12,915,512 | |
Cash | 4,230,352 | 234,238 | |
Cash segregated as collateral for open futures contracts | 156,000 | 7,600 | |
Receivables: | |||
Interest receivable | 1,457,799 | 131,545 | |
Investment securities sold | — | 247,572 | |
Total Assets | 152,870,559 | 13,536,467 | |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | 3,566,250 | 247,448 | |
Investment advisory fees | 81,118 | 5,651 | |
Variation margin | 5,063 | 250 | |
Total Liabilities | 3,652,431 | 253,349 | |
NET ASSETS | $149,218,128 | $13,283,118 | |
NET ASSETS consist of: | |||
Paid-in capital | $ 159,878,386 | $ 14,682,490 | |
Par value | 30,500 | 5,000 | |
Accumulated distributable earnings (loss) | (10,690,758) | (1,404,372) | |
NET ASSETS | $149,218,128 | $13,283,118 | |
NET ASSET VALUE, per share | $48.92 | $26.57 | |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 3,050,002 | 500,002 | |
Investments, at cost | $148,367,733 | $12,844,418 |
First Trust California Municipal High Income ETF (FCAL) | First Trust New York Municipal High Income ETF (FMNY) | |||
INVESTMENT INCOME: | ||||
Interest | $ 3,928,232 | $ 463,496 | ||
Other | 12,000 | — | ||
Total investment income | 3,940,232 | 463,496 | ||
EXPENSES: | ||||
Investment advisory fees | 773,003 | 80,469 | ||
Total expenses | 773,003 | 80,469 | ||
Fees waived by the investment advisor | (57,858) | (18,570) | ||
Net expenses | 715,145 | 61,899 | ||
NET INVESTMENT INCOME (LOSS) | 3,225,087 | 401,597 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments | (6,026,852) | (294,528) | ||
Futures contracts | 444,115 | 21,657 | ||
Net realized gain (loss) | (5,582,737) | (272,871) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 2,351,998 | 74,120 | ||
Futures contracts | 252,415 | 9,399 | ||
Net change in unrealized appreciation (depreciation) | 2,604,413 | 83,519 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (2,978,324) | (189,352) | ||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 246,763 | $ 212,245 |
First Trust California Municipal High Income ETF (FCAL) | First Trust New York Municipal High Income ETF (FMNY) | ||||||
Year Ended 7/31/2023 | Year Ended 7/31/2022 | Year Ended 7/31/2023 | Year Ended 7/31/2022 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 3,225,087 | $ 2,451,597 | $ 401,597 | $ 283,942 | |||
Net realized gain (loss) | (5,582,737) | (2,312,252) | (272,871) | (1,342,835) | |||
Net change in unrealized appreciation (depreciation) | 2,604,413 | (10,447,640) | 83,519 | (217,582) | |||
Net increase (decrease) in net assets resulting from operations | 246,763 | (10,308,295) | 212,245 | (1,276,475) | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (3,179,922) | (2,432,622) | (388,501) | (202,851) | |||
Return of capital | (39,081) | (15,880) | — | — | |||
Total distributions to shareholders | (3,219,003) | (2,448,502) | (388,501) | (202,851) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 53,936,928 | 41,720,854 | 5,282,016 | 2,621,647 | |||
Cost of shares redeemed | (23,524,755) | (12,384,469) | (2,670,964) | (5,549,769) | |||
Net increase (decrease) in net assets resulting from shareholder transactions | 30,412,173 | 29,336,385 | 2,611,052 | (2,928,122) | |||
Total increase (decrease) in net assets | 27,439,933 | 16,579,588 | 2,434,796 | (4,407,448) | |||
NET ASSETS: | |||||||
Beginning of period | 121,778,195 | 105,198,607 | 10,848,322 | 15,255,770 | |||
End of period | $ 149,218,128 | $ 121,778,195 | $ 13,283,118 | $ 10,848,322 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 2,450,002 | 1,900,002 | 400,002 | 500,002 | |||
Shares sold | 1,100,000 | 800,000 | 200,000 | 100,000 | |||
Shares redeemed | (500,000) | (250,000) | (100,000) | (200,000) | |||
Shares outstanding, end of period | 3,050,002 | 2,450,002 | 500,002 | 400,002 |
Year Ended July 31, | |||||||||
2023 | 2022 | 2021 | 2020 | 2019 | |||||
Net asset value, beginning of period | $ 49.71 | $ 55.37 | $ 53.16 | $ 52.70 | $ 50.11 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 1.32 (a) | 1.08 | 1.16 | 1.17 | 1.49 | ||||
Net realized and unrealized gain (loss) | (0.81) | (5.65) | 2.19 (b) | 0.51 | 2.60 | ||||
Total from investment operations | 0.51 | (4.57) | 3.35 | 1.68 | 4.09 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.29) | (1.08) | (1.14) | (1.17) | (1.50) | ||||
Return of capital | (0.01) | (0.01) | — | (0.05) | — | ||||
Total distributions | (1.30) | (1.09) | (1.14) | (1.22) | (1.50) | ||||
Net asset value, end of period | $48.92 | $49.71 | $55.37 | $53.16 | $52.70 | ||||
Total return (c) | 1.08% | (8.33)% | 6.37% (b) | 3.23% | 8.32% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 149,218 | $ 121,778 | $ 105,199 | $ 87,706 | $ 34,257 | ||||
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 | 0.60% | 0.50% | 0.50% | 0.50% | 0.50% | ||||
Ratio of net investment income (loss) to average net assets | 2.71% | 2.09% | 2.16% | 2.28% | 3.01% | ||||
Portfolio turnover rate (d) | 54% | 30% | 25% | 81% | 69% |
(a) | Based on average shares outstanding. |
(b) | The Fund received a reimbursement from the advisor in the amount of $219, which represents less than $0.01 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total return would have been lower if certain fees had not been waived by the investment advisor. |
(d) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Year Ended | Period Ended 7/31/2021 (a) | ||||
7/31/2023 | 7/31/2022 | ||||
Net asset value, beginning of period | $ 27.12 | $ 30.51 | $ 30.00 | ||
Income from investment operations: | |||||
Net investment income (loss) | 0.86 (b) | 0.68 | 0.09 | ||
Net realized and unrealized gain (loss) | (0.59) | (3.61) | 0.48 | ||
Total from investment operations | 0.27 | (2.93) | 0.57 | ||
Distributions paid to shareholders from: | |||||
Net investment income | (0.82) | (0.46) | (0.04) | ||
Net realized gain | — | — | (0.02) | ||
Total distributions | (0.82) | (0.46) | (0.06) | ||
Net asset value, end of period | $26.57 | $27.12 | $30.51 | ||
Total return (c) | 1.06% | (9.66)% | 1.90% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 13,283 | $ 10,848 | $ 15,256 | ||
Ratio of total expenses to average net assets | 0.65% | 0.65% | 0.65% (d) | ||
Ratio of net expenses to average net assets | 0.50% | 0.50% | 0.50% (d) | ||
Ratio of net investment income (loss) to average net assets | 3.24% | 2.18% | 1.41% (d) | ||
Portfolio turnover rate (e) | 41% | 154% | 16% |
(a) | Inception date is May 12, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total return would have been lower if certain fees had not been waived by the investment advisor. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer; |
5) | the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; and |
10) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security | Acquisition Date | Principal Value | Current Price | Carrying Cost | Value | % of Net Assets |
CA St Muni Fin Auth Chrt Sch Lease Rev Sycamore Acdmy Proj, 5.38%, 07/01/34 | 06/14/18 | $250,000 | $100.26 | $250,759 | $250,639 | 0.17% |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Tax-exempt Income | Distributions paid from Return of Capital | ||||
First Trust California Municipal High Income ETF | $ 36,889 | $ — | $ 3,143,033 | $ 39,081 | |||
First Trust New York Municipal High Income ETF | — | — | 388,501 | — |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Tax-exempt Income | Distributions paid from Return of Capital | ||||
First Trust California Municipal High Income ETF | $ 19,131 | $ — | $ 2,413,491 | $ 15,880 | |||
First Trust New York Municipal High Income ETF | — | — | 202,851 | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust California Municipal High Income ETF | $ — | $ (9,504,429) | $ (1,186,329) | ||
First Trust New York Municipal High Income ETF | 101,310 | (1,585,064) | 79,382 |
Non-Expiring Capital Loss Carryforward | |
First Trust California Municipal High Income ETF | $ 9,504,429 |
First Trust New York Municipal High Income ETF | 1,585,064 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | |||
First Trust California Municipal High Income ETF | $ (15,091) | $ 15,091 | $ — | ||
First Trust New York Municipal High Income ETF | (9,345) | 9,345 | — |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
First Trust California Municipal High Income ETF | $ 148,252,730 | $ 1,636,953 | $ (2,823,282) | $ (1,186,329) | |||
First Trust New York Municipal High Income ETF | 12,835,318 | 179,022 | (99,640) | 79,382 |
Breakpoints | |||||||
Fund net assets up to and including $2.5 billion | 0.65000% | ||||||
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.63375% | ||||||
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.61750% | ||||||
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.60125% | ||||||
Fund net assets greater than $10 billion | 0.58500% |
Purchases | Sales | ||
First Trust California Municipal High Income ETF | $ 92,290,674 | $ 62,086,505 | |
First Trust New York Municipal High Income ETF | 6,896,842 | 4,811,811 | |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value | |||||
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | $ 39,993 | Unrealized depreciation on futures contracts* | $ — |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value | |||||
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | $ 141 | Unrealized depreciation on futures contracts* | $ 953 |
Interest Rate Risk | ||
Statements of Operations Location | FCAL | FMNY |
Net realized gain (loss) on futures contracts | $444,115 | $21,657 |
Net change in unrealized appreciation (depreciation) on futures contracts | 252,415 | 9,399 |
Individual Funds Included in the Trust | Financial Highlights |
First Trust California Municipal High Income ETF (FCAL) | For the years ended July 31, 2023, 2022, 2021, 2020, and 2019 |
First Trust New York Municipal High Income ETF (FMNY) | For the years ended July 31, 2023, 2022 and the period from May 12, 2021 (commencement of investment operations) through July 31, 2021 |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/imgde293ff15.jpg)
Tax Exempt Interest Dividends | Alternative Minimum Tax (AMT) | ||
First Trust California Municipal High Income ETF | 98.84% | 14.91% | |
First Trust New York Municipal High Income ETF | 100.00% | 8.65% |
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) | 238 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 238 | 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) | 238 | 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 of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 238 | 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) | 238 | 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) | 238 | 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) |
Derek D. Maltbie (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 to present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 to 2021. |
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). |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img9cf1b5ed1.jpg)
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img649dba221.jpg)
For the Year Ended
July 31, 2023
1 | |
2 | |
5 | |
8 | |
9 | |
24 | |
25 | |
26 | |
27 | |
28 | |
35 | |
36 | |
42 | |
44 |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img37dd503e2.jpg)
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1 Year Ended 7/31/23 | 5 Years Ended 7/31/23 | Inception (11/1/17) to 7/31/23 | 5 Years Ended 7/31/23 | Inception (11/1/17) to 7/31/23 | ||
Fund Performance | ||||||
NAV | -0.44% | 2.02% | 2.27% | 10.53% | 13.77% | |
Market Price | -0.41% | 2.03% | 2.28% | 10.55% | 13.81% | |
Index Performance | ||||||
Bloomberg Municipal Bond Index | 0.93% | 1.87% | 1.72% | 9.69% | 10.27% | |
Blended Benchmark(1) | 1.59% | 2.69% | 2.73% | 14.17% | 16.73% |
(1) | The Blended Benchmark consists of the following two indexes: 50% of the Bloomberg High Yield 10-Year Municipal Index (8-12 years) which is comprised of bonds with a final maturity between 8 and 12 years that are part of the Bloomberg Municipal Bond High Yield Index; and 50% of the Bloomberg Revenue 10-Year Municipal Index (8-12 years), which is comprised of revenue bonds that have a final maturity between 8 and 12 years that are part of the Bloomberg Municipal Bond Index. Indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the index performance shown. Indexes are unmanaged and an investor cannot invest directly in an index. The Blended Benchmark returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 50-50 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Blended Benchmark for each period shown above. |
Sector Allocation | % of Total Investments (including cash) |
Special Assessment | 13.3% |
Industrial Development Bond | 13.1 |
Continuing Care Retirement Communities | 10.7 |
Education | 8.5 |
Dedicated Tax | 6.2 |
Government Obligation Bond - Limited Tax | 5.9 |
Government Obligation Bond - Unlimited Tax | 5.4 |
Hospital | 5.4 |
Gas | 4.9 |
Utility | 4.4 |
Airport | 4.0 |
Tobacco | 2.5 |
Tax Increment | 2.3 |
Certificates of Participation | 2.0 |
Insured | 2.0 |
Higher Education | 2.0 |
Water & Sewer | 1.7 |
Student Housing | 1.2 |
Toll Road | 1.1 |
Local Housing | 0.9 |
Skilled Nursing | 0.6 |
Hotel | 0.5 |
Pre-refunded/Escrowed-to-maturity | 0.4 |
Port | 0.3 |
Housing | 0.2 |
Student Loan | 0.1 |
Cash | 0.4 |
Total | 100.0% |
Credit Rating(2) | % of Total Investments (including cash) |
AAA | 1.7% |
AA | 8.0 |
A | 18.9 |
BBB | 14.6 |
BB | 13.8 |
B | 2.1 |
Not Rated | 40.5 |
Cash | 0.4 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Municipal Bonds | 98.0% |
Net Other Assets and Liabilities* | 2.0 |
Total | 100.0% |
* | Includes variation margin on futures contracts. |
(2) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including 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. |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img5be7d9973.jpg)
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
• | 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 July 31, 2023, 5-Year and 10-Year U.S. Treasury yields increased by approximately 150 basis points (“bps”) and 133 bps, respectively, to 4.17% and 3.96%. As a reminder, the price of a bond moves inversely to a given change in yield, so higher yields resulted in lower U.S. Treasury bond prices. |
• | Large industry-wide mutual fund and exchange-traded fund (“ETF”) outflows resulted in funds selling municipal bonds to meet redemptions which put additional pressure on municipal bond prices. According to data from the Investment Company Institute, annual fund flows for the 12-month period ended July 31, 2023, were -$55.0 billion (outflow of over $55 billion). |
• | New issue municipal bond supply has been lower year-to-date compared to figures from a year ago. Through July 31, 2023, year-to-date issuance was approximately $204.4 billion, down approximately 17% compared to the $246.6 billion issued for the same period a year ago. However, J.P. Morgan noted that new issue supply inside of 10 years to maturity increased slightly compared to the same period a year ago. |
• | According to data from Bloomberg, municipal credit spreads tightened year-to-date. From December 30, 2022 through July 31, 2023, for municipal bonds rated AA, A, and BBB, credit spreads decreased approximately 4 bps, 15 bps, and 21 bps, respectively. |
• | Looking at the AAA municipal yield curve as prepared by Refinitiv Lipper, year-to-date, 5-Year and 10-Year municipal yields increased by 19 bps and decreased by 11 bps, to 2.66% and 2.57%, respectively. |
• | Years to Maturity: During the period, the portfolio yield curve and effective duration positions were significant reasons the Fund underperformed relative to the Blended Benchmark. In terms of the Fund’s allocation in years to a bond’s final maturity date, the Fund’s allocation to bonds with a final stated maturity date of 18+ years was the largest single contributor to the Fund’s underperformance relative to the Blended Benchmark. In addition, the Fund’s allocation and/or selection of bonds with 10-12 years to maturity, 16-18 years to maturity, and 0-2 years to maturity detracted from Fund performance. The Fund’s allocation to bonds with a stated maturity of 8-10 years was a positive contributor to the Fund’s performance relative to the Blended Benchmark. |
• | Effective Duration: Focusing on the Fund’s effective duration allocations, the Fund’s selection of bonds with an effective duration of 10+ years was the largest single contributor to the Fund’s underperformance relative to the Blended Benchmark. The Fund’s selection and allocation of bonds with an effective duration of 0-2 years and selection of bonds with an effective duration of 7-10 years also detracted from Fund performance during the period. |
• | Credit Rating: Regarding the Fund’s credit rating allocation relative to its Blended Benchmark, the Fund’s selection of non-rated high yield bonds was the largest single contributor to the Fund’s underperformance. The Fund’s selection of bonds in the BB, BBB, and A credit rating categories were detractors to Fund performance. Finally, the Fund’s allocation and selection of bonds rated single B was a positive contributor to Fund performance. |
• | Sector/Industry: In terms of the Fund’s allocation to municipal bond sectors, the Fund’s selection of bonds in the special tax, health care, and charter school sectors were the largest detractors to Fund performance relative to the Blended Benchmark. The Fund’s allocation and selection of bonds in the lease sector was a modest positive contributor to Fund performance relative to the Blended Benchmark. |
• | Distribution Rate: The distribution of $0.1545 paid on July 31, 2023 represents a tax-exempt annualized distribution rate of 3.94% based on the Fund’s closing market price of $47.00 on July 31, 2023. During the period, the Fund’s distribution rate increased six times. The Fund’s distribution rate is not constant and is subject to change over time based on the performance of the Fund. |
Beginning Account Value February 1, 2023 | Ending Account Value July 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Municipal High Income ETF (FMHI) | ||||
Actual | $1,000.00 | $1,005.70 | 0.70% | $3.48 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.32 | 0.70% | $3.51 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (February 1, 2023 through July 31, 2023), multiplied by 181/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 98.0% | ||||||||
Alabama – 2.0% | ||||||||
$2,000,000 | Black Belt Energy Gas Dist AL Gas Proj Rev Proj No. 6, Ser B (Mandatory put 12/01/26) | 4.00% | 10/01/52 | $1,980,404 | ||||
530,000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 (Mandatory put 6/01/29) | 5.25% | 02/01/53 | 556,676 | ||||
1,340,000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser F (Mandatory put 12/01/28) | 5.50% | 11/01/53 | 1,413,573 | ||||
1,000,000 | Energy SE AL A Cooperative Dist Energy Sply Rev, Ser A-1 (Mandatory put 01/01/31) | 5.50% | 11/01/53 | 1,076,847 | ||||
2,425,000 | SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A (Mandatory put 10/01/28) | 4.00% | 11/01/51 | 2,389,101 | ||||
800,000 | SE Energy Auth AL Cmdy Sply Rev Proj #4, Ser B-1 (Mandatory put 08/01/28) | 5.00% | 05/01/53 | 825,653 | ||||
8,242,254 | ||||||||
Arizona – 3.3% | ||||||||
1,790,000 | AZ St Indl Dev Auth Edu Rev Acads of Math & Science Proj (a) | 5.00% | 07/01/39 | 1,736,411 | ||||
750,000 | AZ St Indl Dev Auth Edu Rev Doral Acdmy NV Fire Mesa & Red Rock Cmps Proj, Ser A | 5.00% | 07/15/39 | 734,926 | ||||
500,000 | AZ St Indl Dev Auth Edu Rev Doral Acdmy NV Pebble, Ser A (a) | 5.00% | 07/15/40 | 486,386 | ||||
400,000 | AZ St Indl Dev Auth Edu Rev Lone Mountain Cmps Proj, Ser A (a) | 5.00% | 12/15/39 | 378,984 | ||||
1,000,000 | AZ St Indl Dev Auth Edu Rev Pinecrest Acdmy Horizon Inspirada & St Rose Cmps, Ser A (a) | 5.75% | 07/15/38 | 1,012,660 | ||||
1,055,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Sch Projs, Ser D (a) | 4.00% | 07/01/27 | 1,021,882 | ||||
290,000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (a) | 4.00% | 07/15/41 | 237,876 | ||||
1,000,000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (a) | 4.00% | 07/15/51 | 745,730 | ||||
1,740,000 | AZ St Indl Dev Auth Edu Rev Somerset Acdmy of LV Aliante & Skye Canyon Cmps Proj, Ser A (a) | 4.00% | 12/15/41 | 1,402,366 | ||||
1,000,000 | AZ St Indl Dev Auth Edu Rev Somerset Acdmy of LV Aliante & Skye Canyon Cmps Proj, Ser A (a) | 4.00% | 12/15/51 | 731,068 | ||||
500,000 | Glendale AZ Indl Dev Auth Sr Living Facs Rev Royal Oaks Inspirata Pointe Proj, Ser A | 5.00% | 05/15/41 | 462,731 | ||||
1,035,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Schs Proj Auth, Ser B (a) | 5.00% | 07/01/49 | 940,338 | ||||
1,000,000 | Maricopa Cnty AZ Indl Dev Auth Edu Rev Ref Legacy Trad Schs Proj Auth, Ser B (a) | 5.00% | 07/01/54 | 888,184 | ||||
2,000,000 | Phoenix AZ Indl Dev Auth Hotel Rev Sr Falcon Properties LLC Proj, Ser A (a) | 4.00% | 12/01/51 | 1,538,174 | ||||
100,000 | Phoenix AZ Indl Dev Auth Stdt Hsg Rev Ref Downtown Phoenix Stdt Hsg LLC AZ St Univ Proj, Ser A | 5.00% | 07/01/27 | 103,586 | ||||
1,000,000 | Pima Cnty AZ Indl Dev Auth Sr Living Rev La Posada at Pusch Ridge Proj, Ser A (a) | 6.75% | 11/15/42 | 1,012,925 | ||||
13,434,227 | ||||||||
Arkansas – 1.5% | ||||||||
3,000,000 | AR Dev Fin Auth Envrnmntl Rev Green Bond United States Steel Corp Proj, AMT | 5.45% | 09/01/52 | 2,999,851 | ||||
1,000,000 | AR Dev Fin Auth Envrnmntl Rev Green Bond US Steel Corp Proj, AMT | 5.70% | 05/01/53 | 1,014,889 | ||||
2,000,000 | AR St Dev Fin Auth Indl Dev Rev Green Bonds Hybar Steel Proj, Ser A, AMT (a) | 6.88% | 07/01/48 | 2,071,764 | ||||
6,086,504 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California – 6.2% | ||||||||
$2,500,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Green Bonds, Ser D (Mandatory put 11/01/28) | 5.50% | 05/01/54 | $2,638,421 | ||||
250,000 | CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Green Bond, Ser A (a) | 5.00% | 11/15/46 | 225,783 | ||||
250,000 | CA Pub Fin Auth Sr Living Rev Enso Vlg Proj Green Bond, Ser A (a) | 5.00% | 11/15/51 | 220,450 | ||||
250,000 | CA Sch Fin Auth Sch Fac Rev Ref Value Schs, Ser A (a) | 5.25% | 07/01/48 | 252,604 | ||||
1,050,000 | CA St Muni Fin Auth Chrt Sch Rev Palmdale Aerospace Acdmy Proj, Ser A (a) | 5.00% | 07/01/38 | 1,028,348 | ||||
450,000 | CA St Muni Fin Auth Chrt Sch Rev, Ser A (a) | 5.50% | 06/01/38 | 451,013 | ||||
2,000,000 | CA St Muni Fin Auth Rev CA Baptist Univ, Ser A (a) | 5.00% | 11/01/46 | 1,943,611 | ||||
205,000 | CA St Muni Fin Auth Rev Ref Eisenhower Med Ctr, Ser A | 5.00% | 07/01/32 | 214,655 | ||||
1,250,000 | CA St Muni Fin Auth Rev Ref HumanGood Oblig Grp, Ser A | 5.00% | 10/01/44 | 1,274,079 | ||||
1,000,000 | CA St Muni Fin Auth Spl Fac Rev United Airls Inc Proj, AMT | 4.00% | 07/15/29 | 992,663 | ||||
1,250,000 | CA St Poll Control Fing Auth Wtr Furnishing Rev Plant Bonds, AMT (a) | 5.00% | 07/01/37 | 1,250,298 | ||||
2,000,000 | CA St Poll Control Fing Auth Wtr Furnishing Rev Plant Bonds, AMT (a) | 5.00% | 11/21/45 | 1,990,058 | ||||
1,000,000 | CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies Oceanside Proj, Ser A (a) | 5.00% | 10/01/42 | 1,005,846 | ||||
550,000 | CA Stwd Cmntys Dev Auth Rev Loma Linda Univ Med Ctr, Ser A (a) | 5.00% | 12/01/33 | 560,610 | ||||
1,500,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev the Link Glendale Social Bonds, Ser A-2 (a) | 4.00% | 07/01/56 | 1,053,386 | ||||
500,000 | CSCDA Cmnty Impt Auth CA Essential Hsg Rev Union S Bay Social Bonds, Ser A-2 (a) | 4.00% | 07/01/56 | 367,862 | ||||
1,000,000 | Golden St Tobacco Securitization Corp CA Tobacco Stlmt Ref, Tobacco Stlmt Asset Backed Bonds, Ser A-1 | 5.00% | 06/01/51 | 1,042,097 | ||||
300,000 | Morongo Band of Mission Indians CA Rev Ref, Ser B (a) | 5.00% | 10/01/42 | 296,013 | ||||
450,000 | Palm Desert CA Spl Tax Ref Univ Park | 4.00% | 09/01/41 | 410,770 | ||||
400,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 4.00% | 09/01/41 | 366,957 | ||||
850,000 | Roseville CA Spl Tax The Ranch at Sierra Vista Cmnty Facs Dt No. 1 | 5.00% | 09/01/48 | 857,491 | ||||
1,100,000 | Roseville CA Spl Tax The Ranch at Sierra Vista Cmnty Facs Dt No. 1 | 5.00% | 09/01/53 | 1,105,111 | ||||
1,000,000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord, Ser B, AMT | 5.00% | 07/01/46 | 1,045,165 | ||||
2,000,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev, Ser A, AMT | 5.00% | 05/01/44 | 2,071,541 | ||||
1,000,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021 | 4.00% | 09/01/46 | 887,848 | ||||
1,615,000 | San Luis Obispo Cnty CA Fing Auth Lease Rev Multiple Capital Projs Ref, Ser A | 5.25% | 11/15/42 | 1,794,153 | ||||
25,346,833 | ||||||||
Colorado – 7.5% | ||||||||
1,125,000 | Allison Vly Met Dist #2 CO Ref | 4.70% | 12/01/47 | 926,546 | ||||
1,000,000 | Baseline Met Dist #1 CO Spl Rev, Ser A | 5.00% | 12/01/51 | 891,857 | ||||
525,000 | Brighton Crossing Met Dist #6 CO, Ser A | 5.00% | 12/01/35 | 500,323 | ||||
1,000,000 | Cascade Ridge Met Dist CO | 5.00% | 12/01/51 | 838,096 | ||||
515,000 | Chambers Highpoint Met Dist #2 CO | 5.00% | 12/01/41 | 461,861 | ||||
750,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Skyview Acdmy Proj (a) | 5.50% | 07/01/49 | 741,788 | ||||
1,000,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp (a) | 5.00% | 12/15/45 | 1,009,454 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Colorado (Continued) | ||||||||
$2,000,000 | CO St Hlth Facs Auth Hosp Rev Aberdeen Ridge, Ser A (b) | 5.00% | 05/15/58 | $1,458,491 | ||||
1,400,000 | CO St Hlth Facs Auth Rev Ref Christian Living Neighborhoods Proj | 5.00% | 01/01/37 | 1,272,173 | ||||
950,000 | CO St Hlth Facs Auth Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/39 | 918,719 | ||||
670,000 | CO St Hlth Facs Auth Rev Ref Frasier Proj, Ser 2023A | 4.00% | 05/15/35 | 606,378 | ||||
1,125,000 | CO St Hlth Facs Auth Rev Ref Frasier Proj, Ser 2023A | 4.00% | 05/15/41 | 930,517 | ||||
625,000 | CO St Hlth Facs Auth Rev Sr Living Ralston Creek Arvada Proj, Ser A (b) (c) | 5.25% | 11/01/32 | 300,000 | ||||
1,120,000 | Denver City & Cnty CO Arpt Rev Ref, Ser D, AMT | 5.75% | 11/15/40 | 1,283,418 | ||||
1,100,000 | Denver City & Cnty CO Arpt Rev Ref, Ser D, AMT | 5.75% | 11/15/45 | 1,242,370 | ||||
1,220,000 | Denver City & Cnty CO Arpt Rev, Ser A, AMT | 5.00% | 11/15/41 | 1,301,878 | ||||
500,000 | Denver CO Intl Busn Ctr CO Met Dist #1 Subord, Ser B | 6.00% | 12/01/48 | 499,953 | ||||
1,700,000 | Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr Bonds, Ser A (a) | 5.00% | 12/01/41 | 1,541,613 | ||||
1,510,000 | Elbert & Hwy 86 CO Comml Spl Rev & Tax Supported Ref Sr Bonds, Ser A (a) | 5.00% | 12/01/51 | 1,269,523 | ||||
1,500,000 | Four Corners Busn Impt Dist CO Ltd Tax Supported | 6.00% | 12/01/52 | 1,382,857 | ||||
1,000,000 | Grandview Reserve Met Dist #3 CO Sr Bonds, Ser A | 6.25% | 12/01/52 | 948,565 | ||||
500,000 | Independence Met Dist #3 CO, Ser A | 6.25% | 12/01/49 | 462,324 | ||||
575,000 | Jefferson Ctr CO Met Dist #1 Spl Rev, Ser A-2 | 4.13% | 12/01/40 | 486,541 | ||||
1,000,000 | Meridian Ranch Met Dist 2018 Subdistrict CO | 6.75% | 12/01/52 | 991,045 | ||||
2,000,000 | Mirabelle Met Dist #2 CO Sr, Ser A | 5.00% | 12/01/49 | 1,790,147 | ||||
905,000 | Mountain Brook Met Dist CO | 4.50% | 12/01/41 | 731,841 | ||||
500,000 | Murphy Creek Met Dist #5 CO Sr Bonds, Ser A | 6.00% | 12/01/52 | 488,490 | ||||
500,000 | Peak Met Dist #1 CO, Ser A (a) | 4.00% | 12/01/35 | 428,209 | ||||
1,000,000 | Peak Met Dist #1 CO, Ser A (a) | 5.00% | 12/01/41 | 923,864 | ||||
1,500,000 | Prairie Ctr CO Met Dist #3 Ltd Property Tax Supported Pri Ref, Ser A (a) | 5.00% | 12/15/41 | 1,483,392 | ||||
500,000 | Prairie Ctr Met Dist #7 CO | 4.13% | 12/15/36 | 443,413 | ||||
785,000 | Siena Lake Met Dist CO | 3.25% | 12/01/31 | 666,864 | ||||
500,000 | Siena Lake Met Dist CO | 4.00% | 12/01/51 | 371,610 | ||||
500,000 | Trails at Crowfoot Met Dist #3 CO Sr Ser, Ser A | 5.00% | 12/01/39 | 480,538 | ||||
700,000 | W Meadow Met Dist CO Ref Sr Bonds, Ser A (a) | 6.00% | 12/01/38 | 719,312 | ||||
30,793,970 | ||||||||
Connecticut – 2.4% | ||||||||
250,000 | Bridgeport CT, Ser A, BAM | 5.00% | 02/01/31 | 276,191 | ||||
2,000,000 | CT St Hlth & Eductnl Facs Auth Rev Covenant Home Inc, Ser B | 5.00% | 12/01/40 | 1,996,606 | ||||
2,725,000 | CT St Hlth & Eductnl Facs Auth Rev Trinity Hlth Corp | 5.00% | 12/01/45 | 2,776,476 | ||||
800,000 | CT St Hlth & Eductnl Facs Auth Rev, Ser A | 4.00% | 07/01/37 | 782,374 | ||||
1,250,000 | CT St Spl Tax Oblig Rev, Ser A | 5.00% | 05/01/41 | 1,376,918 | ||||
2,500,000 | Harbor Point CT Infra Impt Dist Spl Oblig Rev Ref Harbor Point Proj Ltd (a) | 5.00% | 04/01/39 | 2,507,294 | ||||
9,715,859 | ||||||||
Delaware – 0.1% | ||||||||
415,000 | Millsboro DE Spl Oblig Ref Plantation Lakes Spl Dev Dist (a) | 5.00% | 07/01/28 | 417,862 | ||||
Florida – 13.8% | ||||||||
500,000 | Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at The Univ of FL Inc Proj | 4.00% | 10/01/40 | 397,842 | ||||
1,000,000 | Ave Maria FL Stewardship Cmnty Dist Capital Impt Rev Phase 4 Master Impt Proj (a) (d) | 5.25% | 05/01/43 | 996,393 | ||||
485,000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, Ser 2021 | 4.00% | 05/01/52 | 381,272 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$1,000,000 | Berry Bay CDD FL Spl Assmnt Rev Assmnt Area One | 3.63% | 05/01/41 | $806,812 | ||||
735,000 | Bridgewater N Cmnty Dev Dist FL Capital Impt Rev | 4.00% | 05/01/42 | 626,975 | ||||
1,000,000 | Broward Cnty FL Indl Dev Rev Var FL Pwr & Light Co Proj, Ser A, AMT (e) | 4.65% | 12/01/48 | 1,000,000 | ||||
895,000 | Capital Trust Agy FL Eductnl Facs Rev Academir Chrt Schs Inc Proj, Ser A (a) | 4.00% | 07/01/41 | 722,964 | ||||
525,000 | Capital Trust Agy FL Eductnl Facs Rev Academir Chrt Schs Inc Proj, Ser A (a) | 4.00% | 07/01/51 | 384,143 | ||||
200,000 | Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory Sch Inc Proj, Ser A | 4.00% | 08/01/30 | 197,401 | ||||
1,070,000 | Capital Trust Agy FL Eductnl Facs Rev Liza Jackson Preparatory Sch Inc Proj, Ser A | 5.00% | 08/01/40 | 1,074,752 | ||||
750,000 | Charlotte Cnty FL Indl Dev Auth Util Sys Rev Town & Country Utils Proj, Ser A, AMT (a) | 4.00% | 10/01/41 | 658,511 | ||||
1,000,000 | Charlotte Cnty FL Indl Dev Auth Util Sys Rev Town & Country Utils Proj, Ser A, AMT (a) | 4.00% | 10/01/51 | 825,855 | ||||
595,000 | Coco Palms FL CDD Spl Assmnt | 4.50% | 05/01/32 | 590,947 | ||||
1,000,000 | Coco Palms FL CDD Spl Assmnt | 5.00% | 05/01/46 | 957,962 | ||||
1,500,000 | Connerton E CDD FL Spl Assmnt Area One | 5.25% | 06/15/43 | 1,520,669 | ||||
600,000 | Cypress Bluff CDD FL Spl Assmnt Del Web Proj, Ser A (a) | 3.63% | 05/01/40 | 487,567 | ||||
2,650,000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area Two | 4.00% | 05/01/42 | 2,254,287 | ||||
3,470,000 | Epperson N CDD FL Capital Impt Rev Assmnt Area #2 | 4.00% | 05/01/51 | 2,741,460 | ||||
1,250,000 | Fallschase Cmnty Dev Dist FL Spl Assmnt | 3.38% | 05/01/41 | 976,567 | ||||
1,385,000 | FL St Dev Fin Corp Eductnl Facs Rev Ref Global Outreach Chrt Acdmy Proj, Ser A (a) | 4.00% | 06/30/56 | 974,128 | ||||
2,000,000 | FL St Dev Fin Corp Sol Wst Disp Rev Var Waste Pro USA Inc Proj, AMT (Mandatory put 07/01/26) (a) | 6.13% | 07/01/32 | 2,014,673 | ||||
1,005,000 | FL St Dev Fin Corp Sr Living Rev Ref Mayflower Retmnt Cmnty Proj, Ser A (a) | 4.00% | 06/01/41 | 729,179 | ||||
500,000 | Forest Lake Cmnty Dev Dist FL Spl Assmnt Area 1 Proj (a) | 4.00% | 05/01/40 | 460,253 | ||||
1,060,000 | Gulfstream Polo Cmnty Dev Dist FL Spl Assmnt Phase 2 Proj | 4.38% | 11/01/49 | 929,961 | ||||
1,000,000 | Hills Minneola Cmnty Dev Dist FL Spl Assmnt Rev S Parcel Assmnt Area (a) | 4.00% | 05/01/40 | 865,939 | ||||
750,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev N E Sector Proj Phase 1A | 5.00% | 05/01/38 | 753,073 | ||||
1,325,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Stewardship Dist Azario Proj | 4.00% | 05/01/50 | 1,054,097 | ||||
2,575,000 | Lee Cnty FL Indl Dev Auth Hlthcr Facs Rev Shell Point Waterside Hlth Proj | 5.00% | 11/15/49 | 2,411,231 | ||||
1,500,000 | LTC Ranch West Rsdl Cmnty Dev Dist Spl Assmnt Rev Assmnt Area One Proj, Ser A | 4.00% | 05/01/52 | 1,177,611 | ||||
2,570,000 | Miami-Dade Cnty FL Aviation Rev Ref, Ser A, AMT | 5.00% | 10/01/38 | 2,590,509 | ||||
1,000,000 | Miami-Dade Cnty FL Seaport Rev Ref Sr Bonds, Ser A, AMT | 5.00% | 10/01/36 | 1,082,283 | ||||
2,245,000 | Miami-Dade Cnty FL Wtr & Swr Rev Sub | 5.00% | 10/01/46 | 2,375,947 | ||||
1,250,000 | Mirada II Cmnty Dev Dist FL Cap Impt Rev | 4.00% | 05/01/51 | 981,519 | ||||
1,520,000 | N Park Isle Cmnty Dev Dist FL Spl Assmnt Rev Assmnt Area One | 4.50% | 05/01/40 | 1,408,192 | ||||
1,000,000 | N Springs FL Impt Dist Parkland Bay Assmt Area (a) | 4.88% | 05/01/38 | 981,003 | ||||
1,300,000 | Old Hickory CDD FL Spl Assmnt Spl Asmt | 4.00% | 06/15/40 | 1,143,476 | ||||
465,000 | Parkland Preserve CDD FL Spl Assmnt Rev, Ser A | 5.25% | 05/01/39 | 469,703 | ||||
1,000,000 | Pine Isle Cmnty Dev Dist FL Spl Assmnt 2021 Proj (a) | 3.25% | 12/15/41 | 799,525 | ||||
1,000,000 | Polk Cnty FL Indl Dev Auth Mineral Dev LLC Secondary Phosphate Tailings Recovery Proj (a) | 5.88% | 01/01/33 | 1,009,655 | ||||
1,710,000 | Reunion E FL CDD Spl Assmnt, Ser 2021 | 4.00% | 05/01/51 | 1,383,386 | ||||
770,000 | Rivington CDD FL Spl Assmnt Rev Assmnt Area | 3.38% | 05/01/31 | 698,257 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$500,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/36 | $428,776 | ||||
750,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/41 | 595,737 | ||||
1,000,000 | Saint Lucie Cnty FL Sol Wst Disp Ref FL Pwr & Light Co Pj (e) | 4.65% | 05/01/24 | 1,000,000 | ||||
2,055,000 | Sawyers Landing CDD FL Spl Assmnt Rev | 4.13% | 05/01/41 | 1,760,732 | ||||
250,000 | SE Overtown Park W Cmnty Redev Agy FL Tax, Ser A-1 (a) | 5.00% | 03/01/30 | 251,575 | ||||
490,000 | Shell Point Cmnty Dev Dist FL Spl Assmnt (a) | 5.25% | 11/01/39 | 494,357 | ||||
1,000,000 | Shingle Creek At Bronson CDD FL Spl Assmnt | 3.50% | 06/15/41 | 789,116 | ||||
750,000 | Six Mile Creek FL CDD Capital Impt Rev Assmnt Area 3 Phase 1 | 4.00% | 05/01/51 | 592,534 | ||||
2,580,000 | Stillwater CDD FL Sp Assmnt Spl Assmt 2021 Proj (a) | 3.50% | 06/15/41 | 2,045,191 | ||||
835,000 | Triple Creek FL CDD Spl Assmnt Villages Q&R Proj (a) | 4.00% | 11/01/51 | 660,752 | ||||
1,055,000 | Trout Creek CDD FL Capital Impt Rev | 4.00% | 05/01/51 | 810,905 | ||||
230,000 | Villamar CDD FL Spl Assmnt | 4.00% | 05/01/29 | 226,008 | ||||
2,000,000 | Westview S CDD FL Spl Assmnt Area One 2023 Proj Area | 5.38% | 05/01/43 | 1,984,282 | ||||
1,190,000 | Wildblue CDD FL Spl Assmnt (a) | 4.25% | 06/15/39 | 1,065,231 | ||||
56,601,175 | ||||||||
Georgia – 3.3% | ||||||||
1,000,000 | Atlanta GA Arpt Passenger Fac Charge Rev Arpt Rev Subord, Ser D, AMT | 4.00% | 07/01/37 | 992,531 | ||||
1,000,000 | Bartow Cnty GA Dev Auth Solidwaste Disp Fac Rev Var GA Pwr Co Plant Bowen Proj, AMT (e) | 4.80% | 11/01/62 | 1,000,000 | ||||
4,000,000 | Burke Cnty GA Dev Auth Poll Control Rev Adj GA Pwr Co Plant Vogtle Proj Remk (e) | 4.78% | 11/01/52 | 4,000,000 | ||||
55,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/31 | 55,338 | ||||
1,500,000 | Fulton Cnty GA Rsdl Care Facs Elderly Auth Retmnt Fac Rev Ref Lenbrook Sq Fdtn Inc | 5.00% | 07/01/42 | 1,414,114 | ||||
500,000 | Geo L Smith II GA Congress Ctr Auth Convention Ctr Hotel Second Tier, Ser B (a) | 5.00% | 01/01/36 | 473,076 | ||||
1,750,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put 12/01/29) | 4.00% | 09/01/52 | 1,720,381 | ||||
1,285,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put 09/01/26) | 4.00% | 03/01/50 | 1,278,557 | ||||
1,000,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put 09/01/30) | 5.00% | 09/01/53 | 1,051,797 | ||||
1,000,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put 12/01/28) | 4.00% | 05/01/52 | 987,791 | ||||
350,000 | Muni Elec Auth of GA Plant Vogtle Units 3&4 Proj J, Ser A, AGM | 5.00% | 07/01/30 | 391,126 | ||||
13,364,711 | ||||||||
Guam – 0.1% | ||||||||
250,000 | Guam Govt Busn Privilege Tax Rev Ref, Ser D | 5.00% | 11/15/35 | 252,023 | ||||
155,000 | Guam Govt Wtrwks Auth Wtr & Wstwtr Sys Rev, Ser A | 5.00% | 01/01/50 | 157,490 | ||||
409,513 | ||||||||
Idaho – 0.6% | ||||||||
1,000,000 | ID Falls ID Auditorium Dist Annual Approp Ctfs, COPS (a) | 5.25% | 05/15/51 | 957,667 | ||||
1,265,000 | ID St Hlth Facs Auth Rev Ref Madison Memorial Hosp | 5.00% | 09/01/30 | 1,284,563 | ||||
2,242,230 | ||||||||
Illinois – 3.2% | ||||||||
300,000 | Chicago IL Brd of Edu Ref Dedicated, Ser C | 5.00% | 12/01/30 | 307,533 | ||||
3,500,000 | Chicago IL Brd of Edu Ref, Ser B | 5.00% | 12/01/30 | 3,697,512 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$1,000,000 | Chicago IL Brd of Edu, Ser A | 5.00% | 12/01/35 | $1,040,375 | ||||
750,000 | Chicago IL Chicago Wks, Ser A | 5.50% | 01/01/40 | 819,035 | ||||
400,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien, Ser A, AMT | 5.00% | 01/01/37 | 420,783 | ||||
400,000 | Chicago IL Ref 2003B Remk | 5.25% | 01/01/29 | 407,174 | ||||
515,000 | Chicago IL Ref, Ser C, CABS | (f) | 01/01/25 | 485,757 | ||||
65,000 | Hillside IL Tax Incr Rev Ref | 5.00% | 01/01/24 | 65,135 | ||||
100,000 | IL St | 5.00% | 04/01/24 | 100,888 | ||||
250,000 | IL St | 5.50% | 05/01/26 | 263,442 | ||||
200,000 | IL St | 5.00% | 06/01/27 | 208,461 | ||||
250,000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/30 | 258,488 | ||||
250,000 | IL St Fin Auth Chrt Sch Rev Ref & Impt Chicago Intl Chrt Sch Proj | 5.00% | 12/01/31 | 258,174 | ||||
100,000 | IL St Fin Auth Stdt Hsg & Acad Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/26 | 100,684 | ||||
300,000 | IL St Fin Auth Stdt Hsg & Acad Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/27 | 303,674 | ||||
145,000 | IL St Fin Auth Stdt Hsg & Acad Fac Rev Chf Chicago LLC Univ IL Chicago Proj, Ser A | 5.00% | 02/15/28 | 147,218 | ||||
2,000,000 | IL St, Ser C | 5.00% | 11/01/29 | 2,128,206 | ||||
545,000 | IL St, Ser D | 5.00% | 11/01/24 | 554,441 | ||||
1,660,000 | Lincolnwood IL Tax Incr Allocation Rev Nts Dist 1860 Dev Proj, Ser A, COPS (a) | 4.82% | 01/01/41 | 1,524,700 | ||||
13,091,680 | ||||||||
Indiana – 1.7% | ||||||||
250,000 | Fort Wayne IN Mf Hsg Rev Silver Birch at Cook Road (a) | 5.30% | 01/01/32 | 219,818 | ||||
2,000,000 | IN Fin Auth Midwestern Disaster Relief Rev OH Vly Elec Corp Proj Remk, Ser A | 4.25% | 11/01/30 | 2,015,445 | ||||
1,360,000 | IN St Fin Auth Envrnmntl Rev Ref Var Duke Energy IN Inc Proj Remk, Ser A-1, AMT (Mandatory put 06/01/32) | 4.50% | 05/01/35 | 1,363,779 | ||||
750,000 | IN St Fin Auth Hosp Rev Reid Hlth, AGM | 5.00% | 01/01/41 | 802,446 | ||||
1,275,000 | IN St Fin Auth Rev BHI Sr Living, Ser A (Pre-refunded maturity 11/15/23) | 5.88% | 11/15/41 | 1,282,492 | ||||
200,000 | IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Acdmy Proj, Ser A (g) | 5.25% | 07/01/28 | 198,710 | ||||
595,000 | Plainfield IN Mf Hsg Rev Glasswater Creek Proj | 5.38% | 09/01/38 | 480,532 | ||||
600,000 | Terre Haute IN Mf Hsg Rev Silver Birch of Terre Haute Proj | 5.10% | 01/01/32 | 518,393 | ||||
6,881,615 | ||||||||
Iowa – 0.8% | ||||||||
3,000,000 | IA St Fin Auth Midwstrn Disaster Area Rev Ref IA Fertilizer Company Proj | 5.00% | 12/01/50 | 3,035,498 | ||||
300,000 | IA St Fin Auth Midwstrn Disaster Area Rev Ref IA Fertilizer Company Proj (Mandatory put 12/01/42) | 5.00% | 12/01/50 | 306,261 | ||||
3,341,759 | ||||||||
Kansas – 0.5% | ||||||||
500,000 | Goddard KS Sales Tax Spl Oblg Rev Ref Olympic Park Star Bond Proj | 3.60% | 06/01/30 | 474,331 | ||||
175,000 | Shawnee Cnty KS Pub Bldg Commn Rev Corrections and Parks & Rec Projs | 5.50% | 09/01/34 | 208,045 | ||||
1,250,000 | Wyandotte Cnty KS Kansas City Unif Govt Spl Oblg Rev Ref Vlg E Proj Areas 2B 3 5 (a) | 5.75% | 09/01/39 | 1,214,225 | ||||
1,896,601 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Kentucky – 2.6% | ||||||||
$2,000,000 | Boyle Cnty KY Eductnl Facs Rev Ref Centre Clg, Ser A | 5.25% | 06/01/43 | $2,160,748 | ||||
875,000 | Henderson KY Exempt Facs Rev Pratt Paper LLC Proj, Ser A, AMT (a) | 4.45% | 01/01/42 | 846,744 | ||||
1,000,000 | KY St Econ Dev Fin Auth Ref Owensboro Hlth, Ser A | 5.00% | 06/01/41 | 993,865 | ||||
230,000 | KY St Univ KY St Univ Proj, COPS, BAM | 4.00% | 11/01/41 | 228,620 | ||||
1,000,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Norton Hlthcare Inc, Ser A | 4.00% | 10/01/39 | 969,059 | ||||
5,600,000 | Meade Cnty KY Indl Bldg Rev Var Nucor Steel Brandenburg Proj Green Bond, Ser B-1 (e) | 5.40% | 08/01/61 | 5,600,000 | ||||
10,799,036 | ||||||||
Louisiana – 1.2% | ||||||||
1,500,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Ref Westlake Chemical Corp Proj Remk | 3.50% | 11/01/32 | 1,450,331 | ||||
200,000 | Monroe LA Wtr Rev, BAM | 5.00% | 11/01/32 | 219,697 | ||||
1,000,000 | Saint James Parish LA Rev NuStar Logistics LP Proj Remk, Ser 2010 (a) | 6.35% | 07/01/40 | 1,079,619 | ||||
500,000 | Saint James Parish LA Rev Var NuStar Logistics LP Proj Remk, Ser 2010B (Mandatory put 06/01/30) (a) | 6.10% | 12/01/40 | 538,641 | ||||
1,500,000 | Saint John the Baptist Parish LA Rev Ref Var Marathon Oil Corp Proj Remk, Ser A-1 (Mandatory put 07/01/26) | 4.05% | 06/01/37 | 1,491,408 | ||||
4,779,696 | ||||||||
Maryland – 0.9% | ||||||||
1,020,000 | Baltimore MD Spl Oblig Ref E Baltimore Rsrch Park Proj, Ser A | 5.00% | 09/01/38 | 1,023,514 | ||||
175,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 2.95% | 06/01/27 | 164,992 | ||||
185,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.05% | 06/01/28 | 171,554 | ||||
200,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.15% | 06/01/29 | 183,300 | ||||
190,000 | Baltimore MD Spl Oblig Ref Sr Lien Harbor Point Proj, Ser A (a) | 3.20% | 06/01/30 | 172,127 | ||||
900,000 | Frederick Cnty MD Tax Incr & Spl Tax Ref Jefferson Technology Park Proj, Ser B (a) | 4.63% | 07/01/43 | 873,172 | ||||
1,000,000 | MD St Econ Dev Corp Stdt Hsg Rev Morgan St Univ Proj, Ser A | 5.38% | 07/01/38 | 1,091,240 | ||||
3,679,899 | ||||||||
Massachusetts – 1.2% | ||||||||
2,000,000 | MA St Bay Transprtn Auth Sales Tax Rev Sr, Ser A | 5.00% | 07/01/45 | 2,042,647 | ||||
500,000 | MA St Dev Fin Agy Rev Linden Ponds Inc Fac (a) | 5.00% | 11/15/28 | 516,290 | ||||
500,000 | MA St Dev Fin Agy Rev Ref Boston Med Ctr Sustainability Bonds, Ser G | 5.25% | 07/01/48 | 528,570 | ||||
1,020,000 | MA St Dev Fin Agy Rev Ref Salem Cmnty Corp | 5.13% | 01/01/40 | 933,540 | ||||
1,000,000 | MA St Dev Fin Agy Rev Umass Dartmouth Stdt Hsg Proj | 5.00% | 10/01/48 | 920,737 | ||||
4,941,784 | ||||||||
Michigan – 1.3% | ||||||||
300,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/31 | 303,159 | ||||
100,000 | Detroit MI Social Bonds, Ser A | 5.00% | 04/01/46 | 100,692 | ||||
2,000,000 | Detroit MI Social Bonds, Ser A | 5.00% | 04/01/50 | 2,003,124 | ||||
2,000,000 | MI St Fin Auth Rev Henry Ford Hlth Sys, Ser A | 5.00% | 11/15/48 | 2,069,489 | ||||
1,000,000 | MI St Strategic Fund Ltd Oblg Rev Var Green Bond Recycled Brd Machine Proj, AMT (Mandatory put 10/01/26) | 4.00% | 10/01/61 | 994,671 | ||||
5,471,135 | ||||||||
Minnesota – 0.7% | ||||||||
150,000 | Minneapolis MN Stdt Hsg Rev Riverton Cmnty Hsg Proj (a) | 3.80% | 08/01/27 | 144,128 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Minnesota (Continued) | ||||||||
$1,300,000 | Saint Paul MN Hsg & Redev Auth Chrt Sch Lease Rev Ref Hgr Ground Acdmy Proj | 4.25% | 12/01/32 | $1,285,141 | ||||
105,000 | Saint Paul MN Hsg & Redev Auth Chrt Sch Lease Rev Ref, Ser A | 5.00% | 12/01/30 | 105,767 | ||||
850,000 | Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj, Ser A | 4.00% | 07/01/41 | 676,846 | ||||
660,000 | Woodbury MN Chrt Sch Lease Rev Woodbury Leadership Proj, Ser A | 4.00% | 07/01/51 | 478,691 | ||||
2,690,573 | ||||||||
Mississippi – 1.3% | ||||||||
3,000,000 | MS St Busn Fin Corp Sol Wst Disp Rev Adj MS Pwr Co Proj Remk, AMT (e) | 4.90% | 07/01/25 | 3,000,000 | ||||
2,500,000 | MS St Busn Fin Corp Sol Wst Disp Rev Adj MS Pwr Co Proj Remk, AMT (e) | 4.90% | 05/01/28 | 2,500,000 | ||||
5,500,000 | ||||||||
Missouri – 1.0% | ||||||||
550,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svc Projs Svcs Projs, Ser A | 5.00% | 02/01/29 | 553,626 | ||||
1,000,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svc Projs Svcs Projs, Ser A | 5.00% | 02/01/42 | 964,904 | ||||
80,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs | 5.00% | 02/01/35 | 79,861 | ||||
550,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/32 | 511,578 | ||||
10,000 | MO St Hlth & Eductnl Facs Auth Med Rsrch Lutheran Svcs, Ser A | 5.00% | 02/01/29 | 10,054 | ||||
2,000,000 | Taney Cnty MO Indl Dev Auth Sales Tax Rev Big Cedar Infra Proj (a) | 6.00% | 10/01/49 | 1,978,977 | ||||
4,099,000 | ||||||||
Nebraska – 0.4% | ||||||||
1,425,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 (Mandatory put 01/01/24) | 5.00% | 03/01/50 | 1,429,684 | ||||
Nevada – 0.6% | ||||||||
775,000 | Henderson NV Loc Impt Dists Rainbow Canyon Phase II Roject | 5.00% | 03/01/38 | 773,381 | ||||
1,000,000 | Henderson NV Loc Impt Dists Rainbow Canyon Phase II Roject | 5.25% | 03/01/48 | 986,359 | ||||
190,000 | N Las Vegas NV Loc Impt Vly Vista Spl Impt Dist #64 | 4.00% | 06/01/29 | 184,991 | ||||
700,000 | NV Dept of Busn & Ind NV Doral Acdmy, Ser A | 5.00% | 07/15/37 | 696,797 | ||||
2,641,528 | ||||||||
New Hampshire – 0.4% | ||||||||
2,000,000 | Natl Fin Auth NH Rev Ref Green Bond, Ser B, AMT (Mandatory put 07/02/40) (a) | 3.75% | 07/01/45 | 1,565,404 | ||||
New Jersey – 0.4% | ||||||||
100,000 | NJ St Econ Dev Auth Spl Fac Rev Ref Port Newark Container Terminal LLC Proj, AMT | 5.00% | 10/01/25 | 101,819 | ||||
430,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev, Ser 1A, AMT | 4.00% | 12/01/30 | 425,331 | ||||
560,000 | NJ St Transprtn Trust Fund Auth Fun Auth Transprtn Prog Bonds, Ser CC | 5.25% | 06/15/41 | 619,203 | ||||
500,000 | NJ St Transprtn Trust Fund Auth Ref Transprtn Sys, Ser A | 5.00% | 12/15/30 | 544,988 | ||||
1,691,341 | ||||||||
New Mexico – 0.3% | ||||||||
535,000 | Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (a) | 3.75% | 05/01/28 | 506,584 | ||||
500,000 | Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (a) | 4.00% | 05/01/33 | 443,918 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New Mexico (Continued) | ||||||||
$500,000 | Winrock Town Ctr NM Tax Incr Dev Dist #1 Ref Sr Lien (a) | 4.25% | 05/01/40 | $421,626 | ||||
1,372,128 | ||||||||
New York – 5.4% | ||||||||
1,000,000 | Build NYC Res Corp NY Rev Social Bond Kipp NYC Pub Sch Facs Canal W Proj | 5.25% | 07/01/52 | 1,017,224 | ||||
950,000 | Nassau Cnty NY Loc Econ Asst Corp Edl Rev Roosevelt Children Acdmy Chrt Sch Proj, Ser A | 5.00% | 07/01/43 | 972,899 | ||||
3,000,000 | New York City NY Indl Dev Agy Rev Liberty 123 Wash Proj Remk (e) | 5.25% | 10/01/42 | 3,000,000 | ||||
2,000,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Adjustable 2nd General Resolution Fiscal 2014, Ser AA-2 (e) | 4.65% | 06/15/50 | 2,000,000 | ||||
595,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Ref 2nd Gen Resolution Fiscal 2018 Block 4, Ser AA | 5.00% | 06/15/38 | 632,212 | ||||
2,625,000 | New York City NY Transitional Fin Auth Rev Future Tax Secured Subord Bonds, Ser C-1 | 4.00% | 02/01/42 | 2,598,226 | ||||
2,000,000 | NY NY, Ser B, Subser B-1 | 5.25% | 10/01/41 | 2,275,293 | ||||
1,925,000 | NY St Dorm Auth St Personal Income Tax Rev Ref, Ser A | 3.00% | 03/15/42 | 1,602,610 | ||||
500,000 | NY St Transprtn Dev Corp Exempt Fac Rev NY St Thruway Srvc Areas Proj, AMT | 4.00% | 10/31/46 | 439,228 | ||||
1,000,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref American Airls Inc John F Kennedy Intl Arpt Proj, AMT | 5.00% | 08/01/31 | 1,001,086 | ||||
1,865,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref John F. Kennedy Intl Arpt Proj, AMT | 5.25% | 08/01/31 | 1,937,198 | ||||
500,000 | Oyster Bay NY, Ser A, AGM | 2.00% | 03/01/35 | 422,542 | ||||
2,810,000 | Tsasc Inc NY Tsasc Inc Rev Ref Turbo Sub, Ser B | 5.00% | 06/01/48 | 2,631,529 | ||||
100,000 | Westchester Cnty NY Loc Dev Corp Rev Ref Miriam Osborn Memorial Home Assn Proj | 5.00% | 07/01/34 | 105,038 | ||||
1,000,000 | Westchester Cnty NY Loc Dev Corp Rev Ref Pur Sr Learning Cmnty Inc Proj, Ser A (a) | 5.00% | 07/01/56 | 783,906 | ||||
460,000 | Westchester NY Tobacco Asset Securitization Ref Sr, Ser B | 5.00% | 06/01/41 | 470,370 | ||||
21,889,361 | ||||||||
North Carolina – 2.0% | ||||||||
3,300,000 | NC St Med Care Commn Hlth Care Facs Rev Lutheran Svcs For The Aging Ref, Ser A | 4.00% | 03/01/41 | 2,561,782 | ||||
500,000 | NC St Med Care Commn Hlth Care Facs Rev Ref Pennybyrn at Maryfield | 5.00% | 10/01/30 | 497,292 | ||||
1,940,000 | NC St Med Care Commn Retmnt Facs Rev Pennybyrn at Maryfield Proj, Ser A | 5.00% | 10/01/45 | 1,716,729 | ||||
2,850,000 | NC St Med Care Commn Retmnt Facs Rev Ref Southminster Inc | 5.00% | 10/01/37 | 2,670,834 | ||||
715,000 | NC St Med Care Commn Retmnt Facs Rev The Forest at Duke Proj | 4.00% | 09/01/46 | 580,545 | ||||
8,027,182 | ||||||||
North Dakota – 0.1% | ||||||||
520,000 | Horace ND Ref | 3.00% | 05/01/36 | 435,433 | ||||
Ohio – 3.8% | ||||||||
1,000,000 | Brunswick OH City Sch Dist, BAM | 5.25% | 12/01/53 | 1,086,744 | ||||
6,360,000 | Buckeye OH Tobacco Stlmt Fing Auth Ref Sr, Ser B-2, Class 2 | 5.00% | 06/01/55 | 5,920,160 | ||||
1,000,000 | Cleveland Cuyahoga Cnty OH Port Auth Tax Incr Fing Rev Ref Sr Flats E Bank Proj, Ser A (a) | 4.00% | 12/01/55 | 853,235 | ||||
1,000,000 | Cleveland OH, Ser A | 5.00% | 12/01/44 | 1,088,575 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Ohio (Continued) | ||||||||
$3,000,000 | OH St Air Quality Dev Auth Exempt Facs Rev AMG Vanadium Proj, AMT (a) | 5.00% | 07/01/49 | $2,755,250 | ||||
1,000,000 | OH St Hgr Eductnl Fac Commn Ref Rev Judson Oblig Grp 2020 Proj, Ser A | 5.00% | 12/01/45 | 903,940 | ||||
2,535,000 | OH St Hosp Rev Ref Var Univ Hosps Hlth Sys Inc, Ser C (e) | 4.50% | 01/15/51 | 2,535,000 | ||||
490,000 | Port of Gtr Cincinnati Dev Auth OH Rev (a) | 3.75% | 12/01/31 | 432,374 | ||||
15,575,278 | ||||||||
Oklahoma – 0.9% | ||||||||
2,500,000 | OK St Dev Fin Auth Sr OK Proton Ctr, Ser A1 (a) | 7.25% | 09/01/51 | 2,563,725 | ||||
1,165,000 | Tulsa Cnty OK Indl Auth Sr Living Cmnty Rev Ref Montereau Inc Proj | 5.25% | 11/15/37 | 1,170,224 | ||||
3,733,949 | ||||||||
Oregon – 1.2% | ||||||||
290,000 | Clackamas Cnty OR Hosp Fac Auth Rev Mary’s Woods at Marylhurst Inc Proj, Ser A | 5.00% | 05/15/26 | 287,234 | ||||
1,000,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A | 5.13% | 11/15/40 | 949,865 | ||||
2,250,000 | Clackamas Cnty OR Hosp Fac Auth Rev Ref Rose Villa Proj, Ser A | 5.38% | 11/15/55 | 2,080,206 | ||||
500,000 | OR St Facs Auth Rev Legacy Hlth Proj, Ser A | 4.13% | 06/01/52 | 470,825 | ||||
500,000 | Salem OR Hosp Fac Auth Rev Capital Manor Proj | 5.00% | 05/15/38 | 489,418 | ||||
750,000 | Union Cnty OR Hosp Fac Auth Grande Ronde Hosp | 5.00% | 07/01/42 | 760,251 | ||||
5,037,799 | ||||||||
Pennsylvania – 2.7% | ||||||||
300,000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network Obligted Grp Issue, Ser A | 5.00% | 04/01/32 | 317,193 | ||||
1,855,000 | Allegheny Cnty PA Hosp Dev Auth Ref Allegheny Hlth Network Obligted Grp Issue, Ser A | 5.00% | 04/01/47 | 1,871,406 | ||||
500,000 | Allegheny Cnty PA Indl Dev Auth Envrnmtl Impt Rev Ref United States Steel Corp Proj | 4.88% | 11/01/24 | 503,604 | ||||
1,030,000 | Berks Cnty PA Muni Auth Univ Rev Alvernia Univ Proj | 5.00% | 10/01/39 | 982,668 | ||||
100,000 | Chester Cnty PA Indl Dev Auth Renaissance Acdmy Chrt Sch | 5.00% | 10/01/34 | 99,671 | ||||
250,000 | Lancaster Cnty PA Hosp Auth Hlthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/28 | 246,802 | ||||
1,110,000 | Lancaster Cnty PA Hosp Auth Hlthcare Facs Rev Moravian Manors Inc Proj, Ser A | 5.00% | 06/15/38 | 1,016,036 | ||||
250,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/38 | 220,172 | ||||
1,200,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 4.00% | 03/01/46 | 966,207 | ||||
1,655,000 | Montgomery Cnty PA Indl Dev Auth Exempt Facs Rev Var Constellation Energy Genration LLC Proj Ref, Ser C, AMT (Mandatory Put 04/03/28) | 4.45% | 10/01/34 | 1,684,942 | ||||
1,250,000 | PA St Econ Dev Fing Auth T/E Priv Activity Rev The Penndot Major Bridges Package One Proj P3 Proj, AMT | 5.25% | 06/30/35 | 1,408,668 | ||||
10,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/39 | 10,282 | ||||
1,000,000 | Philadelphia PA Arpt Rev Ref Priv Activity, AGM, AMT | 4.00% | 07/01/38 | 980,663 | ||||
850,000 | Philadelphia PA Auth For Indl Dev Chrt Sch Rev Philadelphia E&T Chrt High Sch, Ser A | 4.00% | 06/01/56 | 623,578 | ||||
215,000 | Philadelphia PA Auth for Indl Dev Revs Kipp Philadelphia Chrt Sch Proj, Ser A | 5.00% | 04/01/36 | 210,642 | ||||
125,000 | W Cornwall Twp PA Muni Auth Ref Lebanon Vly Brethren Home Proj, Ser A | 4.00% | 11/15/41 | 101,173 | ||||
11,243,707 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Puerto Rico – 3.5% | ||||||||
$1,000,000 | Puerto Rico Cmwlth Hwy & Transprtn Auth Restructured Toll Restructured, Ser A, CABS | 5.00% | 07/01/62 | $985,000 | ||||
2,000,000 | Puerto Rico Cmwlth Hwy & Transprtn Auth Restructured Toll Restructured, Ser B, CABS | (f) | 07/01/32 | 1,274,700 | ||||
2,900,000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/33 | 2,758,182 | ||||
2,500,000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/35 | 2,315,745 | ||||
2,000,000 | Puerto Rico Cmwlth Restructured, Ser A1 | 4.00% | 07/01/41 | 1,722,391 | ||||
1,559,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.50% | 07/01/34 | 1,549,647 | ||||
2,294,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1 | 4.55% | 07/01/40 | 2,223,344 | ||||
1,500,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-2 | 4.33% | 07/01/40 | 1,415,752 | ||||
14,244,761 | ||||||||
South Carolina – 0.6% | ||||||||
425,000 | Berkeley Cnty SC Assmnt Rev Nexton Impt Dist | 4.00% | 11/01/30 | 402,622 | ||||
230,000 | Lancaster Cnty SC Assmnt Rev Ref Walnut Creek Impt Dist, Ser A-1 | 5.00% | 12/01/31 | 230,090 | ||||
245,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at Furman | 4.00% | 11/15/32 | 223,886 | ||||
1,045,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at Furman | 5.25% | 11/15/47 | 962,875 | ||||
865,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Woodlands at Furman Proj, Ser A | 5.00% | 11/15/42 | 783,359 | ||||
2,602,832 | ||||||||
Tennessee – 1.1% | ||||||||
1,200,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Commonspirit Hlth, Ser A-1 | 4.00% | 08/01/37 | 1,180,859 | ||||
25,000 | Chattanooga TN Hlth Eductnl & Hsg Fac Brd Rev Ref Stdt Hsg CDFI Phase I | 5.00% | 10/01/23 | 25,026 | ||||
1,000,000 | Memphis TN Hlth Eductnl & Hsg Fac Brd Mf Hsg Rev Var Memphis Towers Apts Proj Remk | 3.40% | 12/01/23 | 996,166 | ||||
2,500,000 | TN St Energy Acq Corp Gas Rev (Mandatory put 11/01/25) | 4.00% | 11/01/49 | 2,486,771 | ||||
4,688,822 | ||||||||
Texas – 6.4% | ||||||||
1,200,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Legacy Trad Schs TX Proj, Ser A | 4.00% | 02/15/31 | 1,066,906 | ||||
1,645,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Legacy Trad Schs TX Proj, Ser A | 4.13% | 02/15/41 | 1,248,214 | ||||
2,000,000 | Austin TX Arpt Sys Rev, Ser B, AMT | 5.00% | 11/15/46 | 2,016,748 | ||||
556,000 | Crandall TX Spl Assmnt Rev Cartwright Ranch Pub Impt Dt Impt Area #1 Proj (a) | 4.25% | 09/15/41 | 490,023 | ||||
500,000 | Harris Cnty TX Indl Dev Corp Var Ref Energy Transfer Proj (Mandatory put 06/01/33) | 4.05% | 11/01/50 | 503,777 | ||||
2,500,000 | Houston TX Arpt Sys Rev Ref Subord Lien, Ser A, AGM, AMT | 5.25% | 07/01/48 | 2,696,729 | ||||
1,000,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Arpt Impt Proj, Ser C, AMT | 5.00% | 07/15/27 | 1,011,298 | ||||
1,250,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal E Proj, Ser A, AMT | 5.00% | 07/01/27 | 1,263,864 | ||||
1,085,000 | Houston TX Arpt Sys Rev United Airlines Inc Terminal E Proj, Ser A, AMT | 4.00% | 07/01/41 | 969,402 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$1,065,000 | Houston TX Arpt Sys Rev United Airls Inc Terminal Impt Proj, Ser B-1, AMT | 4.00% | 07/15/41 | $951,393 | ||||
450,000 | Justin TX Spl Assmnt Rev Timberbrook Pub Imp Dt #1 Imp Area #2 Proj (a) | 3.38% | 09/01/41 | 356,738 | ||||
690,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Area #4 (a) | 4.50% | 09/01/33 | 688,316 | ||||
250,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Impt Area #1 (a) | 4.13% | 09/01/29 | 244,012 | ||||
500,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Impt Area #1 (a) | 4.63% | 09/01/39 | 477,779 | ||||
225,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch (a) | 4.35% | 08/15/25 | 226,906 | ||||
1,000,000 | Liberty Hill TX Spl Assmnt Rev Butler Farms Pub Imp Dt Areas #1 and 2 Proj (a) | 3.38% | 09/01/42 | 762,626 | ||||
1,350,000 | Liberty Hill TX Spl Assmnt Rev Butler Farms Pub Imp Dt Areas #1 and 2 Proj (a) | 4.00% | 09/01/52 | 1,057,753 | ||||
1,410,000 | Matagorda Cnty TX Nav Dist #1 Ref AEP Tex Centrl Company Proj, Ser B-2 Remk | 4.00% | 06/01/30 | 1,404,896 | ||||
300,000 | New Hope Cultural Ed Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/37 | 281,549 | ||||
285,000 | New Hope Cultural Edu Facs Fin Corp TX Retmnt Fac Rev Ref Longhorn Vlg Proj | 5.00% | 01/01/32 | 275,490 | ||||
600,000 | Newark Hgr Edu Fin Corp TX Edu Rev Hughen Ctr Inc Proj, Ser A | 5.00% | 08/15/42 | 650,369 | ||||
2,750,000 | North Parkway Muni Mgmt Dist #1 TX Spl Assmnt Rev Major Impts Proj (a) | 5.00% | 09/15/51 | 2,530,129 | ||||
1,100,000 | Princeton TX Spl Assmnt Rev Whitewing Trails Pub Impr Dist #2 Phase 2 Proj Rev (a) | 5.13% | 09/01/43 | 1,091,098 | ||||
1,550,000 | Princeton TX Spl Assmnt Rev Winchester Pub Impr Dist #2 Proj (a) | 5.13% | 09/01/42 | 1,527,361 | ||||
223,000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp Dist Major Imp Area Proj (a) | 3.75% | 09/15/31 | 206,036 | ||||
500,000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp Dist Major Imp Area Proj (a) | 4.13% | 09/15/41 | 440,637 | ||||
765,000 | Rowlett TX Spl Assmnt Rev Trails at Cottonwood Creek Pub Imp Dist Major Imp Area Proj (a) | 4.25% | 09/15/51 | 647,721 | ||||
1,000,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Methodist Hosp of Dallas Proj | 4.00% | 10/01/41 | 986,981 | ||||
250,000 | TX St Transprtn Commn Central TX Turnpike Sys Rev Ref, Ser B | 5.00% | 08/15/37 | 252,523 | ||||
26,327,274 | ||||||||
Utah – 3.2% | ||||||||
3,000,000 | Black Desert Pub Infra Dist Sr Bonds, Ser A (a) | 4.00% | 03/01/51 | 2,284,811 | ||||
500,000 | Downtown E Streetcar Swr Pub Infra Dist Sr Lien, Ser A (a) | 5.75% | 03/01/42 | 500,251 | ||||
1,000,000 | Med Sch Cmps Pub Infra Dist UT, Ser A (a) | 5.25% | 02/01/40 | 874,290 | ||||
1,000,000 | Mida Golf & Equestrian Ctr Pub Infra Dist UT Ltd (a) | 4.25% | 06/01/41 | 771,240 | ||||
3,000,000 | Mida Golf & Equestrian Ctr Pub Infra Dist UT Ltd (a) | 4.63% | 06/01/57 | 2,112,461 | ||||
3,000,000 | Military Installation Dev Auth UT Tax Allocation Rev, Ser A-2 | 4.00% | 06/01/52 | 2,224,372 | ||||
500,000 | Red Bridge Pub Infra Dist #1 UT Sr Infra Dist, Ser 1-A (a) | 4.13% | 02/01/41 | 392,865 | ||||
1,500,000 | Red Bridge Pub Infra Dist #1 UT Sr Infra Dist, Ser 1-A (a) | 4.38% | 02/01/51 | 1,134,436 | ||||
475,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Mountain W Montessori Acdmy Proj, Ser A (a) | 5.00% | 06/15/39 | 456,357 | ||||
675,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner Acdmy Proj, Ser A (a) | 5.00% | 06/15/39 | 624,044 | ||||
1,605,000 | UT St Chrt Sch Fin Auth Chrt Sch Rev Wallace Stegner Acdmy, Ser A (a) | 5.63% | 06/15/42 | 1,564,834 | ||||
12,939,961 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Virginia – 1.7% | ||||||||
$2,250,000 | Botetourt Cnty VA Rsdl Care Fac Rev Ref Glebe Inc, Ser A | 6.00% | 07/01/44 | $2,231,339 | ||||
1,000,000 | Henrico Cnty VA Econ Dev Auth Rsdl Care Fac Rev Westminster Cantebury Richmond, Ser A | 5.00% | 10/01/42 | 1,028,138 | ||||
2,000,000 | VA Small Busn Fing Auth Priv Activity Rev Sr Transform 66 P3 Proj, AMT | 5.00% | 12/31/49 | 2,021,837 | ||||
750,000 | VA St Small Busn Fing Auth Rsdl Fac Care Rev Ref Lifespire of VA | 4.00% | 12/01/31 | 721,121 | ||||
1,000,000 | Virginia Beach VA Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury on Chesapeake Bay | 5.00% | 09/01/29 | 1,004,409 | ||||
7,006,844 | ||||||||
Washington – 1.5% | ||||||||
560,000 | Kalispel Tribe of Indians Priority Dist WA Rev, Ser A (a) | 5.00% | 01/01/32 | 575,658 | ||||
2,000,000 | Port of Seattle WA Rev Ref Intermediate Lein Priv Activity, Ser C, AMT | 5.00% | 08/01/46 | 2,093,956 | ||||
1,000,000 | Port of Seattle WA Rev Ref Intermediate Lien Priv Activity, Ser C, AMT | 5.00% | 08/01/39 | 1,061,784 | ||||
875,000 | WA St Hgr Edu Facs Auth Seattle Univ Proj Rev | 4.00% | 05/01/45 | 830,747 | ||||
710,000 | WA St Hsg Fin Commn Nonprofit Rev Spokane Int Acad Proj, Ser A (a) | 5.00% | 07/01/50 | 658,585 | ||||
968,350 | WA St Hsg Fin Commn Social Ctf, Ser A-1 | 3.50% | 12/20/35 | 895,291 | ||||
6,116,021 | ||||||||
West Virginia – 0.9% | ||||||||
750,000 | Monongalia Cnty WV Commn TX Incr Rev Ref Dev Dist #4 Univ Twn Centre, Ser A (a) | 5.00% | 06/01/33 | 768,714 | ||||
500,000 | Monongalia Cnty WV Commn TX Incr Rev Ref Dev Dist #4 Univ Twn Centre, Ser A (a) | 5.75% | 06/01/43 | 526,423 | ||||
2,000,000 | S Charleston WV Spl Dist Excise Tax Ref S Charleston Park Place Proj, Ser A (a) | 4.50% | 06/01/50 | 1,549,018 | ||||
1,000,000 | WV St Econ Dev Auth Sol Wst Disp Facs Var Sr Arch Res Proj, AMT (Mandatory put 07/01/25) | 5.00% | 07/01/45 | 1,001,713 | ||||
3,845,868 | ||||||||
Wisconsin – 3.4% | ||||||||
445,000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (a) | 4.00% | 06/15/30 | 425,612 | ||||
810,000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (a) | 5.00% | 06/15/40 | 776,967 | ||||
685,000 | Pub Fin Auth WI Chrt Sch Rev Eno River Acdmy Proj, Ser A (a) | 5.00% | 06/15/54 | 614,759 | ||||
475,000 | Pub Fin Auth WI Chrt Sch Rev Founders of Acdmy Las Vegas Proj, Ser A (a) | 4.00% | 07/01/30 | 439,104 | ||||
405,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las Vegas Proj, Ser A (a) | 4.20% | 07/15/27 | 389,848 | ||||
375,000 | Pub Fin Auth WI Chrt Sch Rev Ltd American Prep Acdmy Las Vegas Proj, Ser A (a) | 5.13% | 07/15/37 | 361,414 | ||||
250,000 | Pub Fin Auth WI Edu Rev Coral Acdmy Science Las Vegas, Ser A | 5.00% | 07/01/45 | 249,263 | ||||
200,000 | Pub Fin Auth WI Edu Rev Ref Mountain Island Chrt Sch Ltd | 5.00% | 07/01/52 | 192,957 | ||||
160,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/27 | 163,345 | ||||
1,500,000 | Pub Fin Auth WI Hosp Rev Ref Carson Vly Med Ctr, Ser A | 4.00% | 12/01/41 | 1,288,521 | ||||
1,000,000 | Pub Fin Auth WI Hotel Rev Sr Lien Grand Hyatt San Antonio Hotel Acq Proj, Ser A | 5.00% | 02/01/42 | 1,018,777 | ||||
1,335,000 | Pub Fin Auth WI Retmnt Cmntys Rev Acts Retmnt Life Cmntys Inc Oblig Grp, Ser A | 5.00% | 11/15/41 | 1,289,877 | ||||
2,000,000 | Pub Fin Auth WI Rev Sr Proton Intl AR LLC, Ser A (a) | 6.85% | 01/01/51 | 1,501,072 | ||||
1,000,000 | Pub Fin Auth WI Rev Unrefunded Roseman Univ Hlth Sciences Proj (a) | 4.00% | 04/01/42 | 838,666 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Wisconsin (Continued) | ||||||||
$1,275,000 | Pub Fin Auth WI Sr Living Rev Ref Mary’s Woods at Marylhurst Proj, Ser A (a) | 5.00% | 05/15/32 | $1,224,936 | ||||
1,900,000 | Pub Fin Auth WI Stdt Hsg Rev NC A&T Real Estate Fdtn LLC Proj, Ser B | 5.00% | 06/01/44 | 1,851,869 | ||||
1,000,000 | WI St Hlth & Eductnl Facs Auth Rev Bellin Memorial Hosp Inc, Ser A | 5.50% | 12/01/52 | 1,082,779 | ||||
13,709,766 | ||||||||
Wyoming – 0.3% | ||||||||
1,000,000 | Consol Muni Elec Pwr Sys WY Jt Pwrs Brd Sys Jt Pwrs Brd Ref Electrical Sys Proj | 5.25% | 06/01/40 | 1,100,438 |
Total Investments – 98.0% | 401,053,297 | ||
(Cost $414,464,751) | |||
Net Other Assets and Liabilities – 2.0% | 8,274,267 | ||
Net Assets – 100.0% | $409,327,564 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
10-Year U.S. Treasury Notes | Short | 91 | Sep 2023 | $ (10,137,969) | $21,922 | |||||
Ultra 10-Year U.S. Treasury Notes | Short | 92 | Sep 2023 | (10,762,562) | 108,660 | |||||
$(20,900,531) | $130,582 |
(a) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At July 31, 2023, securities noted as such amounted to $105,818,387 or 25.9% of net assets. |
(b) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(c) | This issuer is in default and interest is not being accrued by the Fund. |
(d) | When-issued security. The interest rate shown reflects the rate in effect at July 31, 2023. Interest will begin accruing on the security’s first settlement date. |
(e) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(f) | Zero coupon bond. |
(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). |
Abbreviations throughout the Portfolio of Investments: | |
AGM | Assured Guaranty Municipal Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
CABS | Capital Appreciation Bonds |
COPS | Certificates of Participation |
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 401,053,297 | $ — | $ 401,053,297 | $ — |
Futures Contracts** | 130,582 | 130,582 | — | — |
Total | $ 401,183,879 | $ 130,582 | $ 401,053,297 | $— |
* | See Portfolio of Investments for state and territory breakout. |
** | Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Statement of Assets and Liabilities. |
ASSETS: | |
Investments, at value | $ 401,053,297 |
Cash | 1,060,677 |
Cash segregated as collateral for open futures contracts | 439,600 |
Receivables: | |
Fund shares sold | 4,706,411 |
Interest | 4,058,992 |
Investment securities sold | 222,816 |
Miscellaneous | 7,625 |
Total Assets | 411,549,418 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 1,973,630 |
Investment advisory fees | 233,912 |
Variation margin | 14,312 |
Total Liabilities | 2,221,854 |
NET ASSETS | $409,327,564 |
NET ASSETS consist of: | |
Paid-in capital | $ 456,705,794 |
Par value | 87,000 |
Accumulated distributable earnings (loss) | (47,465,230) |
NET ASSETS | $409,327,564 |
NET ASSET VALUE, per share | $47.05 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 8,700,002 |
Investments, at cost | $414,464,751 |
INVESTMENT INCOME: | ||
Interest | $ 15,006,589 | |
Other | 18,000 | |
Total investment income | 15,024,589 | |
EXPENSES: | ||
Investment advisory fees | 2,321,932 | |
Total expenses | 2,321,932 | |
Fees waived by the investment advisor | (155,286) | |
Net expenses | 2,166,646 | |
NET INVESTMENT INCOME (LOSS) | 12,857,943 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | (16,034,892) | |
Futures contracts | 1,373,309 | |
Net realized gain (loss) | (14,661,583) | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | (256,896) | |
Futures contracts | 726,895 | |
Net change in unrealized appreciation (depreciation) | 469,999 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (14,191,584) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(1,333,641) |
Year Ended 7/31/2023 | Year Ended 7/31/2022 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 12,857,943 | $ 9,675,790 | |
Net realized gain (loss) | (14,661,583) | (17,058,308) | |
Net change in unrealized appreciation (depreciation) | 469,999 | (32,136,292) | |
Net increase (decrease) in net assets resulting from operations | (1,333,641) | (39,518,810) | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (12,644,552) | (9,560,177) | |
Return of capital | (178,777) | (505,451) | |
Total distributions to shareholders | (12,823,329) | (10,065,628) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 198,607,434 | 234,880,882 | |
Cost of shares redeemed | (114,077,874) | (129,802,313) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 84,529,560 | 105,078,569 | |
Total increase (decrease) in net assets | 70,372,590 | 55,494,131 | |
NET ASSETS: | |||
Beginning of period | 338,954,974 | 283,460,843 | |
End of period | $ 409,327,564 | $ 338,954,974 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 6,900,002 | 5,000,002 | |
Shares sold | 4,250,000 | 4,450,000 | |
Shares redeemed | (2,450,000) | (2,550,000) | |
Shares outstanding, end of period | 8,700,002 | 6,900,002 |
Year Ended July 31, | |||||||||
2023 | 2022 | 2021 | 2020 | 2019 | |||||
Net asset value, beginning of period | $ 49.12 | $ 56.69 | $ 51.93 | $ 52.48 | $ 50.32 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 1.82 (a) | 1.50 | 1.59 | 1.64 | 1.69 | ||||
Net realized and unrealized gain (loss) | (2.08) | (7.50) | 4.83 (b) | (0.48) | 2.27 | ||||
Total from investment operations | (0.26) | (6.00) | 6.42 | 1.16 | 3.96 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (1.78) | (1.49) | (1.59) | (1.62) | (1.67) | ||||
Return of capital | (0.03) | (0.08) | (0.07) | (0.09) | (0.13) | ||||
Total distributions | (1.81) | (1.57) | (1.66) | (1.71) | (1.80) | ||||
Net asset value, end of period | $47.05 | $49.12 | $56.69 | $51.93 | $52.48 | ||||
Total return (c) | (0.44)% | (10.74)% | 12.57% (b) | 2.25% | 8.05% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 409,328 | $ 338,955 | $ 283,461 | $ 111,650 | $ 62,979 | ||||
Ratio of total expenses to average net assets | 0.70% | 0.70% | 0.70% | 0.70% | 0.70% | ||||
Ratio of net expenses to average net assets | 0.65% | 0.55% | 0.55% | 0.55% | 0.55% | ||||
Ratio of net investment income (loss) to average net assets | 3.88% | 2.87% | 3.00% | 3.22% | 3.44% | ||||
Portfolio turnover rate (d) | 69% | 79% | 19% | 89% | 71% |
(a) | Based on average shares outstanding. |
(b) | The Fund received a reimbursement from the advisor in the amount of $469 in connection with a trade error, which represents less than $0.01 per share. Since the advisor reimbursed the Fund, there was no effect on the Fund’s total return. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived by the investment advisor. |
(d) | 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. |
Fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round
lots.
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer; |
5) | the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; and |
10) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security | Acquisition Date | Principal Value | Current Price | Carrying Cost | Value | % of Net Assets |
IN St Fin Auth Rev Eductnl Facs Rock Creek Cmnty Acdmy Proj, Ser A, 5.25%, 07/01/28 | 08/31/18 | $200,000 | $99.36 | $201,282 | $198,710 | 0.05% |
also designate a portion of the amount paid to redeeming shareholders as a distribution for tax purposes.
Distributions paid from: | 2023 | 2022 |
Ordinary income | $122,735 | $19,097 |
Capital gains | — | — |
Tax-exempt income | 12,521,817 | 9,541,080 |
Return of capital | 178,777 | 505,451 |
Undistributed ordinary income | $— |
Accumulated capital and other gain (loss) | (33,632,415) |
Net unrealized appreciation (depreciation) | (13,832,815) |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$(47,011) | $47,011 | $— |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$415,016,694 | $4,928,454 | $(18,761,269) | $(13,832,815) |
Breakpoints | |||||||
Fund net assets up to and including $2.5 billion | 0.7000% | ||||||
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.6825% | ||||||
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.6650% | ||||||
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.6475% | ||||||
Fund net assets greater than $10 billion | 0.6300% |
performs custodial, fund accounting, certain administrative services, and transfer agency services for the Fund. As custodian, BBH is responsible for custody of the Fund’s assets. As fund accountant and administrator, BBH is responsible for maintaining the books and records of the Fund’s securities and cash. As transfer agent, BBH is responsible for maintaining shareholder records for the Fund.
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* | $ 130,582 | Unrealized depreciation on futures contracts* | $ – |
Statement of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $1,373,309 |
Net change in unrealized appreciation (depreciation) on futures contracts | 726,895 |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img0cc552114.jpg)
Federal and State Income Tax | Percentages | |
Tax-Exempt Interest Dividends | 99.03% | |
Alternative Minimum Tax (AMT) | 15.09% |
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) | 238 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 238 | 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) | 238 | 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 of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 238 | 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) | 238 | 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) | 238 | 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) |
Derek D. Maltbie (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 to present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 to 2021. |
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). |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img649dba221.jpg)
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img7141e1c71.jpg)
First Trust Ultra Short Duration Municipal ETF (FUMB)
For the Year Ended
July 31, 2023
2 | |
Fund Performance Overview | |
3 | |
5 | |
7 | |
8 | |
12 | |
Portfolio of Investments | |
13 | |
31 | |
41 | |
42 | |
43 | |
44 | |
46 | |
53 | |
54 | |
60 | |
62 |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img4d0058562.jpg)
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 7/31/23 | Inception (11/1/18) to 7/31/23 | Inception (11/1/18) to 7/31/23 | |
Fund Performance | |||
NAV | 0.45% | 1.47% | 7.17% |
Market Price | 0.35% | 1.46% | 7.12% |
Index Performance | |||
Bloomberg Municipal Short (1-5) Year Index | 0.22% | 1.26% | 6.10% |
Sector Allocation | % of Total Investments (including cash) |
Utility | 11.9% |
Hospital | 10.2 |
Insured | 10.0 |
Gas | 8.8 |
Government Obligation Bond - Unlimited Tax | 8.4 |
Industrial Development Bond | 6.8 |
Pre-refunded/Escrowed-to-maturity | 5.7 |
Airport | 5.5 |
Certificates of Participation | 4.7 |
Water & Sewer | 3.9 |
Special Assessment | 3.9 |
Higher Education | 3.8 |
Dedicated Tax | 2.8 |
Local Housing | 2.3 |
Government Obligation Bond - Limited Tax | 2.2 |
Continuing Care Retirement Communities | 2.1 |
Toll Road | 1.7 |
Housing | 1.2 |
Education | 1.1 |
Port | 1.1 |
Tobacco | 0.4 |
Mass Transit | 0.3 |
Student Loan | 0.1 |
Tax Increment | 0.1 |
Student Housing | 0.0* |
Cash | 1.0 |
Total | 100.0% |
* | Amount is less than 0.1%. |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 11.4% |
AA | 37.7 |
A | 26.6 |
BBB | 10.8 |
BB | 2.5 |
B | 0.2 |
Not Rated | 7.3 |
SP-1+ (short-term) | 0.5 |
SP-1/MIG1 (short-term) | 1.3 |
SP-2/MIG2 (short-term) | 0.7 |
Cash | 1.0 |
Total | 100.0% |
(1) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including 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. |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img2ed1c4903.jpg)
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 7/31/23 | Inception (11/1/18) to 7/31/23 | Inception (11/1/18) to 7/31/23 | |
Fund Performance | |||
NAV | 1.83% | 1.14% | 5.55% |
Market Price | 1.78% | 1.13% | 5.50% |
Index Performance | |||
Bloomberg Municipal Short-Term Index | 2.14% | 1.24% | 6.02% |
Sector Allocation | % of Total Investments (including cash) |
Government Obligation Bond - Unlimited Tax | 19.5% |
Pre-refunded/Escrowed-to-maturity | 11.3 |
Gas | 9.3 |
Industrial Development Bond | 7.8 |
Water & Sewer | 7.3 |
Insured | 6.8 |
Certificates of Participation | 5.7 |
Hospital | 4.8 |
Dedicated Tax | 4.4 |
Airport | 4.2 |
Government Obligation Bond - Limited Tax | 4.0 |
Utility | 4.0 |
Housing | 2.6 |
Higher Education | 1.9 |
Toll Road | 1.4 |
Local Housing | 1.2 |
Municipals | 1.0 |
Mass Transit | 0.7 |
Port | 0.4 |
Continuing Care Retirement Communities | 0.2 |
Special Assessment | 0.2 |
Education | 0.1 |
Student Loan | 0.1 |
Cash | 1.1 |
Total | 100.0% |
Credit Quality(1) | % of Total Investments (including cash) |
AAA | 11.9% |
AA | 34.3 |
A | 23.3 |
BBB | 8.6 |
BB | 0.4 |
Not Rated | 3.2 |
SP-1+ (short-term) | 8.3 |
SP-1/MIG1 (short-term) | 7.8 |
SP-2/MIG2 (short-term) | 1.1 |
Cash | 1.1 |
Total | 100.0% |
(1) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including 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. |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img4463747e4.jpg)
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
• | 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 July 31, 2023, 5-Year and 10-Year U.S. Treasury yields increased by approximately 150 basis points (“bps”) and 133 bps, respectively, to 4.17% and 3.96%. As a reminder, the price of a bond moves inversely to a given change in yield, so higher yields resulted in lower U.S. Treasury bond prices. |
• | Large industry-wide mutual fund and exchange-traded fund (“ETF”) outflows resulted in funds selling municipal bonds to meet redemptions which put additional pressure on municipal bond prices. According to data from the Investment Company Institute, annual fund flows for the 12-month period ended July 31, 2023 were -$55.0 billion (outflow of over $55 billion). |
• | New issue municipal bond supply has been lower year-to-date compared to figures from a year ago. Through July 31, 2023, year-to-date issuance was approximately $204.4 billion, down approximately 17% compared to the $246.6 billion issued for the same period a year ago. However, J.P. Morgan noted that new issue supply inside of 10 years to maturity increased slightly compared to the same period a year ago. |
• | According to data from Bloomberg, municipal credit spreads tightened year-to-date. From December 30, 2022 through July 31, 2023, for municipal bonds rated AA, A, and BBB, credit spreads decreased approximately 4 bps, 15 bps, and 21 bps, respectively. |
• | Looking at the AAA municipal yield curve as prepared by Refinitiv Lipper, year-to-date, 5-Year and 10-Year municipal yields increased by 19 bps and decreased by 11 bps, to 2.66% and 2.57%, respectively. |
• | Years to Maturity: In terms of the Fund’s allocation in years to a bond’s final maturity date, the Fund’s selection of bonds in the 0-6 year maturity range was a positive contributor to the Fund’s performance relative to the Benchmark, while the Fund’s allocation to bonds with a final maturity of 16-18 years was a detractor to Fund performance. |
• | Effective Duration: Focusing on the effective durations of the Fund’s bonds, the Fund’s allocation and selection of bonds with effective durations of 0-5 years was a positive contributor to Fund performance relative to the Benchmark. The Fund’s allocation to bonds with an effective duration of 5-7 years was detrimental to Fund performance relative to the Benchmark. |
• | Credit Rating: Regarding the Fund’s credit rating allocation relative to the Benchmark, the Fund’s selection of bonds in the AAA, AA, and A rating categories and non-rated bonds were positive contributors to the Fund’s performance. No credit rating category was a negative contributor to Fund performance relative to the Benchmark. |
• | Sector/Industry: In terms of the Fund’s allocation to municipal bond sectors, key positive contributors were the Fund’s selection of industrial development bonds, health care, special tax, local general obligation bonds, and utilities. No sector or industry was a material negative contributor to Fund performance. |
• | Distribution Rate: The distribution of $0.041 paid on July 31, 2023 represents a tax-exempt annualized distribution rate of 2.49% based on the Fund’s closing market price of $19.73 on July 31, 2023. During the reporting period, the Fund’s distribution rate increased eight times. The Fund’s distribution rate is not constant and is subject to change over time based on the performance of the Fund. |
• | 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 July 31, 2023, 5-Year and 10-Year U.S. Treasury yields increased by approximately 150 bps and 133 bps, respectively, to 4.17% and 3.96%. As a reminder, the price of a bond moves inversely to a given change in yield, so higher yields resulted in lower U.S. Treasury bond prices. |
• | 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. According to data from the Investment Company Institute, annual fund flows for the 12-month period ended July 31, 2023 were -$55.0 billion (outflow of over $55 billion). |
• | New issue municipal bond supply has been lower year-to-date compared to figures from a year ago. Through July 31, 2023, year-to-date issuance was approximately $204.4 billion, down approximately 17% compared to the $246.6 billion issued for the same period a year ago. However, J.P. Morgan noted that new issue supply inside of 10 years to maturity increased slightly compared to the same period a year ago. |
• | According to data from Bloomberg, municipal credit spreads tightened year-to-date. From December 30, 2022 through July 31, 2023, for municipal bonds rated AA, A, and BBB, credit spreads decreased approximately 4 bps, 15 bps, and 21 bps, respectively. |
• | Looking at the AAA municipal yield curve as prepared by Refinitiv Lipper, year-to-date, 5-Year and 10-Year municipal yields increased by 19 bps and decreased by 11 bps, to 2.66% and 2.57%, respectively. |
• | Years to Maturity: In terms of the Fund’s allocation in years to a bond’s final maturity date, the Fund’s selection of bonds in the 0-2 and 2-4 year range were detractors to the Fund’s performance relative to the Benchmark. |
• | Effective Duration: Focusing on the effective durations of the Fund’s bonds, the Fund’s allocation and selection of bonds with effective durations of 0-1 years was a positive contributor to the Fund’s performance relative to the Benchmark. The Fund’s allocation to bonds with an effective duration of 1-3 years was a detractor to Fund performance relative to the Benchmark. |
• | Credit Rating: Regarding the Fund’s credit rating allocation relative to the Benchmark, the Fund’s selection of bonds in the A and AA rating categories were negative contributors to the Fund’s performance versus the Benchmark. |
• | Sector/Industry: In terms of the Fund’s allocation to municipal bond sectors, the Fund’s investments in the Industrial Development Bond and Transportation sectors were the main detractors from performance relative to the Benchmark, while the Housing sector was also a detractor. The Fund’s selection and allocation to Hospital bonds was a modest positive contributor to the Fund’s performance relative to the Benchmark. |
• | Distribution Rate: The distribution of $0.039 paid on July 31, 2023, represents a tax-exempt annualized distribution rate of 2.34% based on the Fund’s closing market price of $19.97 on July 31, 2023. During the reporting period, the Fund’s distribution rate increased nine times. The Fund’s distribution rate is not constant and is subject to change over time based on the performance of the Fund. |
Beginning Account Value February 1, 2023 | Ending Account Value July 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Short Duration Managed Municipal ETF (FSMB) | ||||
Actual | $1,000.00 | $1,000.70 | 0.55% | $2.73 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.07 | 0.55% | $2.76 |
First Trust Ultra Short Duration Municipal ETF (FUMB) | ||||
Actual | $1,000.00 | $1,010.60 | 0.45% | $2.24 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.56 | 0.45% | $2.26 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (February 1, 2023 through July 31, 2023), multiplied by 181/365 (to reflect the six-month period). |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 98.3% | ||||||||
Alabama – 3.6% | ||||||||
$140,000 | Birmingham AL Spl Care Facs Fing Auth Hlthcare Fac Ref Children’s Hosp of AL | 5.00% | 06/01/26 | $143,523 | ||||
130,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev Proj No. 4, Ser A-1 (Mandatory put 12/01/25) | 4.00% | 12/01/49 | 129,431 | ||||
330,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev, Ser A (Mandatory put 12/01/23) | 4.00% | 12/01/48 | 329,898 | ||||
1,035,000 | Black Belt Energy Gas Dist AL Gas Proj Rev Bonds, Proj No. 7, Ser C-1 (Mandatory put 12/01/26) | 4.00% | 10/01/52 | 1,022,334 | ||||
490,000 | Black Belt Energy Gas Dist AL Gas Proj Rev Proj No. 6, Ser B (Mandatory put 12/01/26) | 4.00% | 10/01/52 | 485,199 | ||||
1,165,000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 | 5.25% | 12/01/27 | 1,222,817 | ||||
1,500,000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser E | 5.00% | 06/01/26 | 1,542,714 | ||||
100,000 | Greenville AL Pub Impt Cooperative Pub Impt Rev Greenville Funding, BAM | 5.00% | 03/01/25 | 102,647 | ||||
1,000,000 | Hlth Care Auth for Baptist Hlth AL Ref Affiliate of UAB Hlth Sys, Ser A | 5.00% | 11/15/29 | 1,089,597 | ||||
245,000 | Infirmary Hlth Sys AL Spl Care Facs Fing Auth Rev Infirmary Hlth Sys Inc, Ser A | 5.00% | 02/01/28 | 252,681 | ||||
500,000 | Infirmary Hlth Sys AL Spl Care Facs Fing Auth Rev Infirmary Hlth Sys Inc, Ser A | 5.00% | 02/01/36 | 512,378 | ||||
2,470,000 | Lower AL Gas Dist Gas Proj Rev Bonds Proj 2 (Mandatory put 12/01/25) | 4.00% | 12/01/50 | 2,451,231 | ||||
300,000 | Midcity Impt Dist AL Spl Assmnt Rev | 3.88% | 11/01/27 | 278,175 | ||||
1,335,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A (Mandatory put 06/01/24) | 4.00% | 06/01/49 | 1,331,952 | ||||
2,000,000 | SE Energy Auth AL Cmdy Sply Rev Proj #1, Ser A (Mandatory put 10/01/28) | 4.00% | 11/01/51 | 1,970,393 | ||||
500,000 | SE Energy Auth AL Cmdy Sply Rev Proj No. 3, Ser A-1 | 5.00% | 12/01/26 | 516,919 | ||||
2,000,000 | Selma AL Indl Dev Brd Rev Var Ref Intl Paper Company Proj, Ser A (Mandatory put 10/01/24) | 2.00% | 11/01/33 | 1,956,681 | ||||
15,338,570 | ||||||||
Arizona – 1.4% | ||||||||
155,000 | AZ St Indl Dev Auth Edu Rev Jerome Fac Proj Social Bonds, Ser B | 5.00% | 07/01/27 | 159,736 | ||||
155,000 | AZ St Indl Dev Auth Edu Rev Jerome Fac Proj Social Bonds, Ser B | 5.00% | 07/01/29 | 160,574 | ||||
125,000 | AZ St Indl Dev Auth Edu Rev Ref Basis Schs Projs, Ser A (a) | 5.00% | 07/01/26 | 125,411 | ||||
115,000 | AZ St Indl Dev Auth Edu Rev Ref Doral Acdmy of Northern NV Proj, Ser A (a) | 4.00% | 07/15/26 | 111,877 | ||||
310,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 11/01/25 | 322,594 | ||||
1,000,000 | AZ St Indl Dev Auth Rev Lincoln S Beltway Proj | 5.00% | 05/01/27 | 1,070,596 | ||||
1,250,000 | Chandler AZ Indl Dev Auth Indl Dev Rev Var Intel Corp Proj, Ser 2022-2, AMT (Mandatory put 09/01/27) | 5.00% | 09/01/52 | 1,285,033 | ||||
1,000,000 | Coconino Cnty AZ Poll Controlcorp Var Ref NV Pwr Co Proj Remk, Ser B (Mandatory put 03/31/26) | 3.75% | 03/01/39 | 1,003,072 | ||||
95,000 | Glendale AZ Indl Dev Auth Sr Living Facs Rev Ref Royal Oaks Life Care Cmnty | 4.00% | 05/15/29 | 89,179 | ||||
580,000 | Phoenix AZ Indl Dev Auth Edu Rev Ref Basis Sch (a) | 5.00% | 07/01/35 | 580,708 | ||||
665,000 | Pima Cnty AZ Indl Dev Auth Sr Living Rev La Posada at Pusch Ridge Proj, Ser A (a) | 5.75% | 11/15/25 | 665,920 | ||||
280,000 | Santa Cruz Cnty AZ Pledged Rev Ref, AGM | 4.00% | 07/01/34 | 286,507 | ||||
5,861,207 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California – 4.3% | ||||||||
$1,000,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Green Bond Clean Energy Proj, Ser B-1 (Mandatory put 08/01/29) | 5.00% | 07/01/53 | $1,049,569 | ||||
200,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Green Bond, Ser A-1 | 4.00% | 02/01/24 | 199,808 | ||||
250,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Green Bond, Ser A-1 | 4.00% | 08/01/24 | 250,554 | ||||
350,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Green Bond, Ser A-1 (Mandatory put 08/01/28) | 4.00% | 05/01/53 | 349,209 | ||||
500,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Green Bond, Ser B-1 (Mandatory put 08/01/31) | 4.00% | 02/01/52 | 497,380 | ||||
25,000 | CA St Enterprise Dev Auth Stdt Hsg Rev M@College Proj, Ser A | 5.00% | 08/01/23 | 25,000 | ||||
50,000 | CA St Enterprise Dev Auth Stdt Hsg Rev M@College Proj, Ser A | 5.00% | 08/01/24 | 50,430 | ||||
605,000 | CA St Hlth Facs Fing Auth Rev Adventist Hlth Sys W, Ser A | 4.00% | 03/01/33 | 597,327 | ||||
385,000 | CA St Hlth Facs Fing Auth Rev El Camino Hosp | 5.00% | 02/01/33 | 409,319 | ||||
1,160,000 | CA St Hlth Facs Fing Auth Rev Var Ref Stanford Hlth Care, Ser A (Mandatory put 08/15/25) | 3.00% | 08/15/54 | 1,157,030 | ||||
525,000 | CA St Muni Fin Auth Mobile Home Park Rev Ref Sr Caritas Projs, Ser A | 5.00% | 08/15/25 | 534,796 | ||||
100,000 | CA St Muni Fin Auth Ref Palomar Hlth, Ser A, COPS, AGM | 5.00% | 11/01/27 | 105,074 | ||||
1,500,000 | CA St Muni Fin Auth Rev Bethany Home Proj | 5.00% | 11/15/42 | 1,640,654 | ||||
1,000,000 | CA St Poll Control Fin Auth Sol Wst Disp Rev Ref Waste Mgmt Inc, Ser B-1, AMT | 3.00% | 11/01/25 | 977,414 | ||||
500,000 | CA St Sch Fin Auth Chrt Sch Rev Ref Classical Academies Oceanside Proj, Ser A (a) | 4.00% | 10/01/27 | 496,681 | ||||
40,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/23 | 39,984 | ||||
50,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/24 | 49,753 | ||||
80,000 | CA St Stwd Cmntys Dev Auth Spl Tax Rev Impt Area No. 1 | 4.00% | 09/01/25 | 79,308 | ||||
355,000 | CA St Stwd Cmntys Dev Auth Stwd Rev Dev Auth, Ser 2021A | 4.00% | 09/02/25 | 351,167 | ||||
115,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 3.00% | 09/01/23 | 114,817 | ||||
100,000 | Folsom Ranch CA Fing Auth Spl Tax Rev White Rock Springs Ranch | 4.00% | 09/01/26 | 99,833 | ||||
1,025,000 | Kern CA Cmnty Clg Dist, CABS, BANS | (b) | 08/01/23 | 1,025,000 | ||||
200,000 | Long Beach CA Arpt Rev Ref, Ser A, AGM | 5.00% | 06/01/26 | 211,577 | ||||
1,490,000 | Los Angeles CA Dept of Arpts Arpt Rev Sub Los Angeles Intl Arpt, Ser B, AMT | 5.00% | 05/15/26 | 1,551,891 | ||||
730,000 | Los Angeles CA Dept of Arpts Arpt Rev Subord Ref, Ser A, AMT | 5.00% | 05/15/29 | 795,515 | ||||
95,000 | March Jt Pwrs Redev Agy Successor Agy CA Tax Allocation Ref March Air Force Base Redev Proj, Ser A, BAM | 4.00% | 08/01/27 | 97,186 | ||||
200,000 | Ontario Pub Fing Auth Lease Rev Capital Projs, AGM (Pre-refunded maturity 10/01/23) | 5.38% | 10/01/40 | 200,703 | ||||
85,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Rev Grantline 208 Cmnty Fac Dt #2018-1 | 3.00% | 09/01/23 | 84,896 | ||||
90,000 | Rancho Cordova CA Cmnty Facs Dist Spl Tax Rev Grantline 208 Cmnty Fac Dt #2018-1 | 3.00% | 09/01/24 | 88,645 | ||||
150,000 | River Islands CA Pub Fing Auth Spl Tax Ref Cmnty Facs Dt #2003-1, Ser A-1, AGM | 5.00% | 09/01/26 | 158,366 | ||||
240,000 | Roseville CA Fin Auth Spl Tax Rev Ref, Ser A | 5.00% | 09/01/25 | 248,876 | ||||
60,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 3.00% | 09/01/24 | 58,572 | ||||
70,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 3.00% | 09/01/25 | 67,111 | ||||
85,000 | Roseville CA Spl Tax Svsp Westpark Federico Cmnty Facs Dt No. 1 | 4.00% | 09/01/26 | 84,252 | ||||
65,000 | San Diego CA Unif Sch Dist Ref Election 1998, Ser C-2, AGM | 5.50% | 07/01/25 | 68,169 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
California (Continued) | ||||||||
$100,000 | San Diego Cnty CA Regl Arpt Auth Arpt Rev Subord Ref, Ser A | 5.00% | 07/01/24 | $101,648 | ||||
140,000 | San Francisco CA City & Cnty Arpts Commn Intl Arpt Rev Ref 2nd Ser, Ser A | 4.00% | 05/01/26 | 143,665 | ||||
200,000 | San Francisco CA City & Cnty Dcnty Dev Spl Tax Dist No Mission Rock Fac and Svcs, Ser A (a) | 4.00% | 09/01/26 | 198,353 | ||||
400,000 | San Francisco City & Cnty CA Cmnty Facs Dist #2016-1, Ser 2021 | 4.00% | 09/01/26 | 398,417 | ||||
1,500,000 | San Joaquin Hills CA Transprtn Corridor Agy Toll Road Rev Sr Lien Ref, Ser A (Pre-refunded maturity 01/15/25) | 5.00% | 01/15/29 | 1,543,661 | ||||
175,000 | San Luis Obispo CA Cmnty Facs Dist #2019-1 Spl Tax | 4.00% | 09/01/25 | 174,379 | ||||
100,000 | San Luis Obispo CA Cmnty Facs Dist #2019-1 Spl Tax | 4.00% | 09/01/26 | 99,833 | ||||
1,500,000 | Sanger CA Fing Auth Wstwtr Rev Ref, AGM (Pre-refunded maturity 06/15/24) | 5.00% | 06/15/34 | 1,550,461 | ||||
225,000 | Western Placer Wst Mgmt Auth CA Solid Wst Rev Landfill Impt Proj, Ser B | 5.00% | 06/01/34 | 244,983 | ||||
18,271,266 | ||||||||
Colorado – 1.6% | ||||||||
500,000 | CO St Eductnl & Cultural Facs Auth Rev Ref & Impt Chrt Sch Univ Lab Bldg Corp (a) | 5.00% | 12/15/28 | 511,991 | ||||
110,000 | CO St Eductnl & Cultural Facs Auth Rev Ref Chrt Sch Stargate Chrt Sch Proj, Ser A | 5.00% | 12/01/25 | 112,844 | ||||
100,000 | CO St Eductnl & Cultural Facs Auth Rev Ref N Star Acdmy Chrt Sch Proj | 4.00% | 11/01/23 | 100,041 | ||||
400,000 | CO St Hlth Facs Auth Rev Commonspirit Hlth Oblig Grp, Ser A | 5.00% | 11/01/26 | 415,929 | ||||
130,000 | CO St Hlth Facs Auth Rev Ref Commonspirit Hlth, Ser B-1 (Mandatory put 08/01/25) | 5.00% | 08/01/49 | 132,275 | ||||
80,000 | CO St Hlth Facs Auth Rev Ref Parkview Med Cntr, Ser A | 3.25% | 09/01/25 | 78,464 | ||||
125,000 | CO St Hlth Facs Auth Rev Var Ref Intermountain Hlthcare, Ser B (Mandatory put 08/17/26) | 5.00% | 05/15/62 | 131,056 | ||||
2,000,000 | CO St Hlth Facs Auth Rev Var Ref Intermountain Hlthcare, Ser C (Mandatory put 08/15/28) | 5.00% | 05/15/62 | 2,182,932 | ||||
1,000,000 | Denver City & Cnty CO Arpt Rev Var Ref, Ser B2, AMT (Mandatory put 11/15/25) | 5.00% | 11/15/31 | 1,026,774 | ||||
770,000 | Denver City & Cnty CO Arpt Rev, Ser A, AMT | 5.00% | 11/15/25 | 792,660 | ||||
1,000,000 | Denver City & Cnty CO Arpt Rev, Ser A, AMT | 5.00% | 11/15/26 | 1,046,438 | ||||
270,000 | Gold Hill Mesa Met Dist #2 CO Ltd Tax & Spl Rev Ref, Ser A, BAM | 5.00% | 12/01/25 | 277,711 | ||||
6,809,115 | ||||||||
Connecticut – 2.3% | ||||||||
235,000 | CT St Green Bond, Ser F | 5.00% | 10/15/30 | 249,647 | ||||
50,000 | CT St Hlth & Eductnl Facs Auth Rev Hartford Hlthcare, Ser E | 5.00% | 07/01/25 | 50,648 | ||||
170,000 | CT St Hlth & Eductnl Facs Auth Rev Ref St Supported Child Care | 5.00% | 07/01/29 | 176,835 | ||||
100,000 | CT St Hlth & Eductnl Facs Auth Rev Ref Yale Univ, Ser A-2 (Mandatory put 07/01/26) | 2.00% | 07/01/42 | 94,756 | ||||
1,500,000 | CT St Hlth & Eductnl Facs Auth Rev Var Remk, Ser A (Mandatory put 02/10/26) | 2.80% | 07/01/48 | 1,469,002 | ||||
215,000 | CT St Hlth & Eductnl Facs Auth Rev, Ser A | 5.00% | 07/01/30 | 234,042 | ||||
365,000 | CT St Spl Tax Oblig Rev Ref Transprtn Infra, Ser B | 5.00% | 08/01/27 | 378,554 | ||||
2,000,000 | CT St Spl Tax Oblig Rev Transptrn Infra, Ser A | 5.00% | 09/01/30 | 2,120,092 | ||||
140,000 | CT St Spl Tax Oblig Rev, Ser B | 5.00% | 10/01/27 | 151,825 | ||||
1,000,000 | CT St, Ser 2021A | 4.00% | 01/15/26 | 1,020,722 | ||||
1,000,000 | CT St, Ser D | 4.00% | 08/15/29 | 1,027,034 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Connecticut (Continued) | ||||||||
$1,500,000 | E Hartford CT Hsg Auth Multifamily Hsg Rev Var Summerfield Townhouses Proj, Ser A (Mandatory put 02/01/25) | 4.25% | 02/01/27 | $1,501,641 | ||||
200,000 | Hamden CT Ref, Ser A, BAM | 5.00% | 08/01/25 | 205,575 | ||||
970,000 | Univ of CT CT, Ser A | 5.00% | 11/01/26 | 1,027,530 | ||||
25,000 | Univ of CT CT, Ser A | 5.00% | 11/01/35 | 27,227 | ||||
9,735,130 | ||||||||
District of Columbia – 0.3% | ||||||||
1,060,000 | Met Washington DC Arpts Auth Arpt Sys Rev Ref, Ser A, AMT | 5.00% | 10/01/30 | 1,132,129 | ||||
250,000 | Met Washington DC Arpts Auth Arpt Sys Rev Ref, Ser B, AMT | 5.00% | 10/01/25 | 256,872 | ||||
1,389,001 | ||||||||
Florida – 7.6% | ||||||||
110,000 | Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/24 | 108,607 | ||||
200,000 | Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/25 | 195,216 | ||||
105,000 | Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/26 | 101,273 | ||||
1,165,000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Assmt Area 3A (a) | 4.50% | 11/01/29 | 1,175,749 | ||||
380,000 | Babcock Ranch Cmnty Indep Spl Dist FL Spl Assmnt Rev Proj, Ser 2021 | 2.38% | 05/01/26 | 360,080 | ||||
160,000 | Berry Bay CDD FL Spl Assmnt Rev Assmnt Area One | 2.63% | 05/01/26 | 152,521 | ||||
645,000 | Berry Bay CDD FL Spl Assmnt Rev Assmnt Area One | 3.13% | 05/01/31 | 577,693 | ||||
205,000 | Black Creek FL CDD Spl Assmnt Expansion Area Proj | 4.80% | 06/15/27 | 206,355 | ||||
1,125,000 | Broward Cnty FL Arpt Sys Rev, Ser A, AMT | 5.25% | 10/01/24 | 1,127,515 | ||||
400,000 | Broward Cnty FL Port Facs Rev, AMT | 5.00% | 09/01/24 | 405,571 | ||||
460,000 | Cross Creek N CDD FL Spl Assmnt, Ser 2022 | 3.40% | 05/01/27 | 450,140 | ||||
810,000 | Edgewater E CDD FL Spl Assmnt Rev Assmnt Area Two | 3.00% | 05/01/27 | 757,383 | ||||
265,000 | Epperson N CDD FL Capital Impt Rev Assmnt Area Three, Ser A | 2.45% | 11/01/26 | 248,762 | ||||
400,000 | Escambia Cnty FL Envrnmntl Impt Rev Var Ref Intl Paper Company Proj, Ser B (Mandatory put 10/01/24) | 2.00% | 11/01/33 | 391,336 | ||||
500,000 | FL St Dept Gen Svcs Div Facs Mgmt Rev Ref FL Facs Pool, Ser A | 4.00% | 09/01/30 | 524,042 | ||||
110,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/24 | 109,216 | ||||
330,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/25 | 326,206 | ||||
155,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/26 | 152,687 | ||||
150,000 | FL St Dev Fin Corp Eductnl Facs Rev River City Science Acdmy Projs, Ser A | 4.00% | 07/01/28 | 147,256 | ||||
105,000 | FL St Dev Fin Corp Sr Living Rev Ref Glenridge on Palmer Ranch Proj (a) | 4.00% | 06/01/24 | 104,024 | ||||
100,000 | FL St Dev Fin Corp Sr Living Rev Ref Glenridge on Palmer Ranch Proj (a) | 4.00% | 06/01/25 | 97,924 | ||||
220,000 | FL St Muni Pwr Agy Ref, Ser A | 5.00% | 10/01/30 | 230,691 | ||||
3,000,000 | Gainesville FL Utilities Sys Rev Var Ref Remk, Ser B (c) | 4.60% | 10/01/42 | 3,000,000 | ||||
785,000 | Gtr Orlando FL Aviation Auth Arpt Facs Rev Prerefunded Priority Sub, Ser A, AMT | 5.00% | 10/01/24 | 795,318 | ||||
125,000 | Gulfstream Polo Cmnty Dev Dist FL Spl Assmnt Phase 2 Proj | 3.00% | 11/01/24 | 123,109 | ||||
2,890,000 | Halifax FL Hosp Med Ctr Ref | 5.00% | 06/01/27 | 3,010,450 | ||||
210,000 | Hills Minneola Cmnty Dev Dist FL Spl Assmnt Rev S Parcel Assmnt Area (a) | 3.00% | 05/01/25 | 205,041 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Florida (Continued) | ||||||||
$1,500,000 | Hillsborough Cnty FL Aviation Auth Tampa Intl, Ser A, AMT (Pre-refunded maturity 10/01/24) | 5.00% | 10/01/44 | $1,523,141 | ||||
55,000 | Lakes of Sarasota CDD FL Impt Rev Phase 1 Proj Assmnt Area One, Ser A-1 | 2.75% | 05/01/26 | 53,032 | ||||
255,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Ref Country Club E Proj, AGM | 5.00% | 05/01/25 | 261,439 | ||||
460,000 | Lee Cnty FL Indl Dev Auth Hlthcr Facs Rev Shell Point Oblig Grp | 4.00% | 11/15/30 | 446,935 | ||||
550,000 | LTC Ranch W Rsdl Cmnty Dev Dist Spl Assmnt Rev Assmnt Area One Proj, Ser A | 2.50% | 05/01/26 | 521,969 | ||||
500,000 | Martin Cnty FL Hlth Facs Auth Martin Mem Med Ctr (Pre-refunded maturity 11/15/24) | 5.00% | 11/15/45 | 509,521 | ||||
1,890,000 | Miami-Dade Cnty FL Sch Brd Ref, Ser C, COPS | 5.00% | 02/01/32 | 1,959,064 | ||||
4,000,000 | Miami-Dade Cnty FL Seaport Rev Ref Sr Bonds, Ser A, AMT | 5.00% | 10/01/30 | 4,373,034 | ||||
310,000 | Mirada II Cmnty Dev Dist FL Cap Impt Rev | 2.50% | 05/01/26 | 294,201 | ||||
385,000 | N Springs FL Impt Dist Heron Bay Wtr Mgmt Proj, Ser 2021-1, AGM | 2.00% | 05/01/26 | 361,904 | ||||
25,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Presbyterian Retmnt Cmntys | 5.00% | 08/01/31 | 25,750 | ||||
1,770,000 | Palm Beach Cnty FL Hlth Facs Auth Ref Acts Retmnt Life Cmntys Inc Oblig Grp | 5.00% | 11/15/32 | 1,791,776 | ||||
165,000 | Pine Isle Cmnty Dev Dist FL Spl Assmnt 2021 Proj (a) | 2.38% | 12/15/26 | 155,527 | ||||
100,000 | Poinciana FL W CDD Spl Assmnt Ref Sr, Ser 1, AGM | 3.60% | 05/01/26 | 100,879 | ||||
40,000 | Rhodine Road N CDD FL Spl Assmnt 2019 Assmnt Area | 3.50% | 05/01/24 | 39,767 | ||||
415,000 | Rhodine Road N CDD FL Spl Assmnt 2019 Assmnt Area | 4.00% | 05/01/30 | 405,377 | ||||
115,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/23 | 114,538 | ||||
145,000 | Saint Johns Cnty FL Indl Dev Auth Sr Living Rev Ref Vicar’s Landing Proj, Ser A | 4.00% | 12/15/24 | 142,852 | ||||
960,000 | San Simeon Cmnty Dev Dist FL Spl Assmnt (a) | 3.75% | 06/15/31 | 896,335 | ||||
375,000 | Sarasota Natl FL CDD Spl Assmnt Ref | 3.00% | 05/01/24 | 371,262 | ||||
240,000 | Sarasota Natl FL CDD Spl Assmnt Ref | 3.00% | 05/01/25 | 234,411 | ||||
740,000 | Shell Point Cmnty Dev Dist FL Spl Assmnt (a) | 4.50% | 11/01/29 | 741,128 | ||||
155,000 | Shingle Creek at Bronson CDD FL Spl Assmnt | 2.50% | 06/15/26 | 146,765 | ||||
305,000 | Silver Palms W CDD FL Spl Assmnt 2022 Proj | 2.60% | 06/15/27 | 280,280 | ||||
215,000 | Six Mile Creek FL CDD Capital Impt Rev Assmnt Area 3 Phase 1 | 2.50% | 05/01/26 | 203,461 | ||||
470,000 | Summer Woods CDD FL Spl Assmnt Area Two 2020 Proj | 3.30% | 05/01/31 | 423,956 | ||||
30,000 | Tampa FL Capital Impt Cigarette Tax Allocation H Lee Moffitt Cancer Ctr Proj, Ser A | 5.00% | 09/01/24 | 30,431 | ||||
425,000 | Timber Creek SW CDD FL Spl Assmnt Area Two Proj | 2.35% | 12/15/26 | 397,497 | ||||
285,000 | V-Dana CDD FL Spl Assmnt CDD Assmnt Area One 2021 Proj | 2.60% | 05/01/26 | 271,983 | ||||
115,000 | Vlg FL CDD #6 Spl Assmnt Rev Ref | 4.00% | 05/01/25 | 115,836 | ||||
190,000 | Westside Haines City CDD Spl Assmnt Area One Proj | 2.50% | 05/01/26 | 180,898 | ||||
32,459,114 | ||||||||
Georgia – 5.7% | ||||||||
2,000,000 | Atlanta GA Arpt Rev Ref, Ser B, AMT | 5.00% | 07/01/26 | 2,080,026 | ||||
915,000 | Atlanta GA Arpt Rev, Ser B, AMT | 5.00% | 07/01/25 | 937,898 | ||||
1,500,000 | Bartow Cnty GA Dev Auth Var GA Pwr Comp Plant Bowen Proj Remk (Mandatory put 08/19/25) | 2.88% | 08/01/43 | 1,454,418 | ||||
100,000 | Burke Cnty GA Dev Auth Poll Control Rev Var GA Pwr Co Plant Vogtle Proj Remk (Mandatory put 06/13/24) | 2.15% | 10/01/32 | 97,790 | ||||
2,000,000 | Burke Cnty GA Dev Auth Poll Control Rev Var Ref GA Pwr Co Plant Vogtle Proj (c) | 5.05% | 11/01/52 | 2,000,000 | ||||
735,000 | GA St Ref Bid Grp 3, Ser C | 4.00% | 07/01/25 | 748,242 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Georgia (Continued) | ||||||||
$175,000 | Gainesville & Hall Cnty GA Hosp Auth Ref NE GA Hlth Sys Inc Proj, Ser A | 5.00% | 02/15/24 | $175,775 | ||||
1,600,000 | Heard Cnty GA Dev Auth Adj GA Pwr Co Plt Wansley Proj (c) | 4.81% | 09/01/26 | 1,600,000 | ||||
120,000 | Main Street Nat Gas Inc GA Gas Rev, Ser A | 5.50% | 09/15/23 | 120,134 | ||||
240,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 05/15/25 | 242,024 | ||||
2,000,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 06/01/29 | 2,070,282 | ||||
3,265,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A (Mandatory put 09/01/27) | 4.00% | 07/01/52 | 3,253,067 | ||||
800,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser B | 5.00% | 06/01/26 | 811,847 | ||||
2,000,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser B (Mandatory put 03/01/30) | 5.00% | 07/01/53 | 2,098,079 | ||||
1,290,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser C (Mandatory put 09/01/26) | 4.00% | 03/01/50 | 1,283,532 | ||||
1,000,000 | Monroe Cnty GA Dev Auth Poll Control Rev GA Pwr Co Plant Scherer Proj Remk, 1st Ser | 2.25% | 07/01/25 | 951,549 | ||||
1,700,000 | Monroe Cnty GA Dev Auth Poll Control Rev Var GA Pwr Co Plt Scherer Proj Remk, 2nd Ser (Mandatory put 03/06/26) | 3.88% | 10/01/48 | 1,690,890 | ||||
1,275,000 | Monroe Cnty GA Dev Auth Var Gulf Pwr Co Proj, AMT (c) | 4.60% | 10/01/49 | 1,275,000 | ||||
200,000 | Muni Elec Auth of GA Plant Vogtle Units 3&4 Proj J Bonds, Ser A, AGM | 5.00% | 07/01/30 | 223,501 | ||||
200,000 | Muni Elec Auth of GA Plant Vogtle Units 3&4 Proj J, Ser A, AGM | 5.00% | 07/01/26 | 209,642 | ||||
405,000 | Muni Elec Auth of GA Plant Vogtle Units 3&4 Proj M, Ser A, AGM | 5.00% | 07/01/28 | 440,630 | ||||
150,000 | Muni Elec Auth of GA Ref Subord General Resolution Projs, Ser A | 4.00% | 01/01/25 | 150,945 | ||||
285,000 | Priv Clgs & Univs Auth GA Ref Mercer Univ Proj | 5.00% | 10/01/24 | 289,658 | ||||
225,000 | Priv Clgs & Univs Auth GA Ref Mercer Univ Proj | 5.00% | 10/01/25 | 231,989 | ||||
24,436,918 | ||||||||
Hawaii – 0.5% | ||||||||
2,000,000 | HI St Dept of Budget & Fin Spl Purp Rev Ref Hawaiian Elec Co Inc, Ser A, AMT | 3.10% | 05/01/26 | 1,936,395 | ||||
150,000 | Honolulu City & Cnty HI Wstwtr Sys Rev Ref Sr First Bd Resolution, Ser B | 4.00% | 07/01/32 | 152,042 | ||||
2,088,437 | ||||||||
Idaho – 0.3% | ||||||||
1,350,000 | ID St Hlth Facs Auth Rev Ref St Lukes Hlth System Proj, Ser A | 5.00% | 03/01/24 | 1,360,199 | ||||
Illinois – 9.1% | ||||||||
590,000 | Bolingbrook IL Ref, Ser A, AGM | 5.00% | 01/01/32 | 635,972 | ||||
115,000 | Chicago IL Brd of Edu Chicago Sch Reform Brd, Ser A, NATL-RE | 5.50% | 12/01/26 | 118,818 | ||||
175,000 | Chicago IL Brd of Edu Green Bond, Ser E | 5.13% | 12/01/32 | 175,765 | ||||
110,000 | Chicago IL Brd of Edu Ref, Ser A | 5.00% | 12/01/26 | 113,539 | ||||
1,000,000 | Chicago IL Met Wtr Reclamation Dist Greater Chicago Ref, Ser C | 5.00% | 12/01/24 | 1,020,094 | ||||
500,000 | Chicago IL Mf Hsg Rev Var Covent Apartments Proj (Mandatory put 09/01/24) | 4.00% | 09/01/25 | 500,140 | ||||
1,000,000 | Chicago IL Midway Arpt Rev Ref 2nd Lien, Ser A, AMT | 5.00% | 01/01/27 | 1,002,591 | ||||
520,000 | Chicago IL O’Hare Intl Arpt Rev Gen Sr Lien, Ser D, AMT | 5.00% | 01/01/29 | 543,081 | ||||
500,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien Ohare Intl Arpt, Ser C, AMT | 5.00% | 01/01/26 | 512,611 | ||||
100,000 | Chicago IL O’Hare Intl Arpt Rev Ref, Ser B | 5.00% | 01/01/26 | 101,988 | ||||
140,000 | Chicago IL O’Hare Intl Arpt Rev Sr Lien, Ser E | 5.00% | 01/01/25 | 143,321 | ||||
80,000 | Chicago IL Prerefunded, Ser A | 5.00% | 01/01/26 | 83,462 | ||||
125,000 | Chicago IL Ref Proj, Ser A (Forward refunding maturity 01/01/24) | 5.00% | 01/01/27 | 125,845 | ||||
210,000 | Chicago IL Ref Remk, 2003B | 5.00% | 01/01/26 | 213,307 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Illinois (Continued) | ||||||||
$100,000 | Chicago IL Ref Remk, 2003B (Pre-refunded maturity 01/01/25) | 5.13% | 01/01/27 | $102,543 | ||||
110,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/26 | 113,552 | ||||
260,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/35 | 264,731 | ||||
65,000 | Chicago IL Ref, Ser C, CABS | (b) | 01/01/25 | 61,309 | ||||
70,000 | Chicago IL Unrefunded, Ser A | 5.00% | 01/01/26 | 71,102 | ||||
1,500,000 | Chicago IL Wtrwks Rev 2nd Lien Remk, BAM | 5.00% | 11/01/30 | 1,584,721 | ||||
2,230,000 | Chicago IL Wtrwks Rev Ref 2nd Lien, AGM | 5.25% | 11/01/34 | 2,401,993 | ||||
675,000 | Cook Cnty IL Sales Tax Rev Ref, Ser A | 5.00% | 11/15/29 | 751,224 | ||||
2,311,000 | Gilberts IL Spl Svc Area #15 Ref, AGM | 5.00% | 03/01/29 | 2,325,279 | ||||
205,000 | Glencoe IL, Ser A | 3.00% | 12/15/28 | 204,410 | ||||
15,000 | Hillside IL Tax Incr Rev Ref | 5.00% | 01/01/24 | 15,031 | ||||
125,000 | IL St | 5.00% | 05/01/24 | 126,247 | ||||
195,000 | IL St | 5.00% | 06/01/27 | 203,250 | ||||
345,000 | IL St Fin Auth Hlth Svcs Facs Lease Rev Univ of IL Hlth Svcs Fac Proj | 5.00% | 10/01/24 | 349,181 | ||||
1,265,000 | IL St Fin Auth Rev Centegra Hlth Sys, Ser A (Pre-refunded maturity 09/01/24) | 5.00% | 09/01/39 | 1,287,060 | ||||
225,000 | IL St Fin Auth Rev Ref Ascension Hlth Credit Grp, Ser C | 5.00% | 02/15/27 | 238,532 | ||||
2,000,000 | IL St Fin Auth Rev Ref Ascension Hlth Credit Grp, Ser C | 5.00% | 02/15/30 | 2,121,665 | ||||
1,000,000 | IL St Fin Auth Rev Ref Rush Univ Med Ctr, Ser A | 5.00% | 11/15/24 | 1,016,079 | ||||
1,755,000 | IL St Fin Auth Rev Ref Rush Univ Med Ctr, Ser A | 5.00% | 11/15/30 | 1,798,741 | ||||
1,500,000 | IL St Fin Auth Rev Var Uchicago Medicine, Ser B2 (Mandatory put 08/15/27) | 5.00% | 08/15/52 | 1,595,162 | ||||
1,000,000 | IL St Hsg Dev Auth Mf Hsg Rev Var Berry Manor (Mandatory put 09/01/24) | 4.00% | 09/01/25 | 999,652 | ||||
625,000 | IL St Hsg Dev Auth Mf Hsg Rev Var S Shore (Mandatory put 06/01/25) | 4.00% | 06/01/26 | 625,151 | ||||
2,000,000 | IL St Muni Elec Agy Pwr Sply Ref, Ser A | 5.00% | 02/01/26 | 2,061,988 | ||||
215,000 | IL St Ref | 4.00% | 08/01/25 | 215,020 | ||||
415,000 | IL St Ref, Ser B | 5.00% | 03/01/25 | 424,189 | ||||
500,000 | IL St Sales Tax Rev Ref, Subser C, BAM | 4.00% | 06/15/27 | 503,557 | ||||
180,000 | IL St Toll Hwy Auth Sr, Ser B | 5.00% | 01/01/33 | 188,531 | ||||
250,000 | IL St, Ser B | 5.00% | 05/01/28 | 268,267 | ||||
2,200,000 | IL St, Ser C | 5.00% | 11/01/29 | 2,341,027 | ||||
280,000 | IL St, Ser D | 5.00% | 11/01/23 | 280,883 | ||||
725,000 | Macon Cnty IL Sch Dist #61 Ref, Ser C, AGM | 4.00% | 01/01/30 | 747,989 | ||||
710,000 | Railsplitter IL Tobacco Stlmt Auth | 5.00% | 06/01/27 | 743,893 | ||||
1,055,000 | Rock Island Cnty IL Sch Dist #41 Rock Island, BAM | 5.00% | 12/01/29 | 1,153,141 | ||||
585,000 | Sales Tax Securitization Corp IL Ref Sales Tax Securitiztn, Ser A | 5.00% | 01/01/29 | 626,627 | ||||
2,750,000 | Schaumburg IL Ref | 4.00% | 12/01/24 | 2,760,916 | ||||
355,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/26 | 360,940 | ||||
1,000,000 | Springfield IL Elec Rev Ref Sr Lien | 5.00% | 03/01/28 | 1,016,886 | ||||
400,000 | Univ of Illinois IL Revs Ref Auxiliary Facs Sys, Ser A | 5.00% | 04/01/27 | 409,043 | ||||
1,000,000 | Wauconda IL Spl Svc Area #1 Spl Tax Ref, BAM | 5.00% | 03/01/33 | 1,013,972 | ||||
38,664,018 | ||||||||
Indiana – 3.4% | ||||||||
125,000 | IN Bond Bank Rev Hamilton Co Projs, CABS | (b) | 01/15/26 | 114,506 | ||||
1,000,000 | IN St Fin Auth Econ Dev Rev Ref Rep Svcs Inc Proj Remk, Ser A, AMT (Mandatory put 09/01/23) | 4.05% | 05/01/34 | 999,828 | ||||
2,000,000 | IN St Fin Auth Envrnmntl Facs Rev Var Ref IN Pwr & Light Co Proj, Ser A | 1.40% | 08/01/29 | 1,743,574 | ||||
3,000,000 | IN St Fin Auth Envrnmntl Rev Var Ref Fulcrum Centerpoint LLC Proj, AMT (Mandatory put 11/15/23) | 4.50% | 12/15/46 | 2,994,112 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Indiana (Continued) | ||||||||
$1,635,000 | IN St Fin Auth Hlth Sys Rev IN Univ Hlth Oblig Group, Ser B (Mandatory put 07/01/25) | 2.25% | 12/01/58 | $1,588,533 | ||||
105,000 | IN St Fin Auth Rev BHI Sr Living, Ser A | 4.00% | 11/15/26 | 102,749 | ||||
1,000,000 | Rockport IN Poll Control Rev Ref AEP Generating Company Proj Remk, Ser A | 3.13% | 07/01/25 | 978,019 | ||||
1,000,000 | Rockport IN Poll Control Rev Ref AEP Generating Company Proj Remk, Ser B | 3.13% | 07/01/25 | 978,019 | ||||
3,610,000 | Rockport IN Poll Control Rev Ref IN MI Pwr Co Proj Remk, Ser A | 3.05% | 06/01/25 | 3,551,564 | ||||
1,360,000 | Whiting IN Envrnmntl Facs Rev Ref BP Products N America Inc Proj, Ser A, AMT (Mandatory put 06/05/26) | 5.00% | 12/01/44 | 1,398,696 | ||||
14,449,600 | ||||||||
Iowa – 1.5% | ||||||||
2,305,000 | Johnston IA Cmnty Sch Dist Infra Sales Svcs & Ref, AGM | 8.35% | 07/01/24 | 2,407,709 | ||||
110,000 | Pefa Inc IA Gas Proj Rev | 5.00% | 09/01/26 | 111,919 | ||||
3,810,000 | Pefa Inc IA Gas Proj Rev (Mandatory put 09/01/26) | 5.00% | 09/01/49 | 3,880,886 | ||||
6,400,514 | ||||||||
Kansas – 0.6% | ||||||||
2,660,000 | Johnson Cnty KS Unif Sch Dist #512 Shawnee Mission Ref, Ser A | 3.25% | 10/01/28 | 2,656,116 | ||||
Kentucky – 2.3% | ||||||||
165,000 | Estrn KY Univ Gen Recpts, Ser A | 5.00% | 04/01/28 | 173,271 | ||||
240,000 | KY St Econ Dev Fin Auth Hlth Sys Rev Norton Hlthcare Inc, Ser B, CABS, NATL-RE | (b) | 10/01/25 | 220,173 | ||||
20,000 | KY St Econ Dev Fin Auth Ref Owensboro Hlth, Ser A | 5.00% | 06/01/25 | 20,337 | ||||
355,000 | KY St Hgr Edu Stdt Loan Corp Sr, Ser A, AMT | 5.00% | 06/01/26 | 366,070 | ||||
300,000 | KY St Muni Pwr Agy Pwr Sys Rev Ref, Ser A, NATL-RE | 5.00% | 09/01/25 | 308,591 | ||||
175,000 | KY St Muni Pwr Agy Pwr Sys Rev Ref, Ser A, NATL-RE | 5.00% | 09/01/30 | 179,058 | ||||
475,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser B (Mandatory put 01/01/25) | 4.00% | 01/01/49 | 474,942 | ||||
325,000 | KY St Pub Energy Auth Gas Sply Rev Var, Ser C (Mandatory put 02/01/28) | 4.00% | 02/01/50 | 322,044 | ||||
975,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A (Mandatory put 06/01/26) | 4.00% | 12/01/50 | 973,041 | ||||
100,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlthcare Inc, Ser A (d) | 5.00% | 10/01/24 | 101,665 | ||||
330,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlthcare Inc, Ser A (d) | 5.00% | 10/01/25 | 340,935 | ||||
325,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlthcare Inc, Ser A | 5.00% | 10/01/28 | 337,289 | ||||
160,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlthcare Inc, Ser A | 5.00% | 10/01/30 | 166,414 | ||||
570,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Ref Norton Hlthcare Inc, Ser A | 5.00% | 10/01/31 | 592,894 | ||||
200,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Var Norton Hlthcare Inc, Ser C (Mandatory put 10/01/26) | 5.00% | 10/01/47 | 206,861 | ||||
1,035,000 | Louisville & Jefferson Cnty KY Met Swr Dist Swr & Drain Sys Sub Safe Clean Waterways, BANS | 4.00% | 10/06/23 | 1,036,223 | ||||
2,600,000 | Meade Cnty KY Indl Bldg Rev Var Nucor Steel Brandenburg Proj Green Bond, Ser B-1 (c) | 5.40% | 08/01/61 | 2,600,000 | ||||
1,195,000 | Paducah KY Elec Plant Brd Rev Ref, Ser A, AGM | 5.00% | 10/01/30 | 1,250,145 | ||||
210,000 | Paducah KY Elec Plant Brd Rev Ref, Ser A, AGM | 5.00% | 10/01/34 | 218,539 | ||||
9,888,492 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Louisiana – 1.3% | ||||||||
$500,000 | E Baton Rouge Parish LA Sales Tax Rev Ref Road & Street Impt | 5.00% | 08/01/28 | $513,548 | ||||
150,000 | LA St Univ & Agric & Mech Clg Ref Auxiliary, Ser A | 5.00% | 07/01/26 | 155,749 | ||||
495,000 | LA St, Ser A (Forward refunding maturity 02/01/24) | 4.00% | 02/01/29 | 496,648 | ||||
20,000 | New Orleans LA Aviation Brd Gen Arpt N Term, Ser B, AMT | 5.00% | 01/01/28 | 20,838 | ||||
455,000 | New Orleans LA Aviation Brd, Ser B, AMT | 5.00% | 01/01/31 | 461,406 | ||||
100,000 | New Orleans LA Aviation Brd, Ser B, AMT, AGM | 5.00% | 01/01/32 | 101,569 | ||||
150,000 | New Orleans LA Wtr Rev | 5.00% | 12/01/26 | 154,792 | ||||
1,000,000 | Saint James Parish LA Rev Var Nustar Logistics LP Proj Remk, Ser 2011 (Mandatory put 06/01/25) (a) | 5.85% | 08/01/41 | 1,023,220 | ||||
2,150,000 | Saint John the Baptist Parish LA Rev Var Ref Marathon Oil Corp Proj Remk, Subser 2017B-1 (Mandatory put 07/01/24) | 2.13% | 06/01/37 | 2,111,127 | ||||
550,000 | Saint John the Baptist Parish LA Rev Var Ref Marathon Oil Corp Proj Remk, Subser 2017B-2 (Mandatory put 07/01/26) | 2.38% | 06/01/37 | 521,861 | ||||
5,560,758 | ||||||||
Maryland – 1.0% | ||||||||
480,000 | Howard Cnty MD Ref, Ser A | 5.00% | 08/15/24 | 489,044 | ||||
1,550,000 | MD St Econ Dev Corp Var Ref Constellation Energy Grp Proj Remk, Ser B (Mandatory put 04/03/28) | 4.10% | 10/01/36 | 1,578,299 | ||||
1,000,000 | MD St First Ser | 4.00% | 06/01/29 | 1,006,218 | ||||
100,000 | MD St Hlth & Hgr Eductnl Facs Auth Rev Ref Stevenson Univ Proj, Ser A | 5.00% | 06/01/28 | 105,902 | ||||
925,000 | MD St Stadium Auth Rev Football Stadium Issue, Ser A | 5.00% | 03/01/25 | 949,776 | ||||
4,129,239 | ||||||||
Massachusetts – 0.6% | ||||||||
575,000 | Chelmsford MA Wtr Dist Ref | 3.00% | 01/15/24 | 573,752 | ||||
1,850,000 | MA St Bay Transprtn Auth Sales Tax Rev Prerefunded Subord Sustainability Bonds, BANS | 4.00% | 05/01/25 | 1,878,841 | ||||
150,000 | MA St Bay Transprtn Auth Sales Tax Rev Unrefunded Subord Sustainability Bonds, BANS | 4.00% | 05/01/25 | 152,390 | ||||
2,604,983 | ||||||||
Michigan – 1.4% | ||||||||
220,000 | Detroit MI | 5.00% | 04/01/26 | 224,755 | ||||
20,000 | Detroit MI Downtown Dev Auth Tax Incr Rev Ref Catalyst Dev Proj, Ser A, AGM | 5.00% | 07/01/31 | 20,211 | ||||
375,000 | Great Lakes MI Wtr Auth Sewage Disposal Sys Rev Ref 2nd Lien, Ser C | 5.00% | 07/01/36 | 391,310 | ||||
140,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Ref Second Lien, Ser D | 5.00% | 07/01/36 | 146,089 | ||||
100,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Sr Lien Bond, Ser A | 5.00% | 07/01/25 | 103,157 | ||||
110,000 | MI St Fin Auth Rev Ref Ascension Sr Credit Grp Remk, Ser E-1 (Mandatory put 08/15/24) | 4.00% | 11/15/44 | 110,280 | ||||
85,000 | MI St Fin Auth Rev Ref Henry Ford Hlth Sys | 4.00% | 11/15/36 | 84,665 | ||||
155,000 | MI St Fin Auth Rev Ref Hosp McLaren Hlth Care, Ser A | 5.00% | 05/15/27 | 159,375 | ||||
1,000,000 | MI St Fin Auth Rev Ref Loc Govt Loan Prog Great Lakes Wtr Auth, Ser D4 | 5.00% | 07/01/30 | 1,010,171 | ||||
500,000 | MI St Fin Auth Rev Ref Sr Lien Great Lakes Wtr Auth, Ser C-6 | 5.00% | 07/01/32 | 505,579 | ||||
1,680,000 | MI St Fin Auth Rev Sr Lien Great Lakes Wtr Auth, Ser C-3, AGM | 5.00% | 07/01/29 | 1,698,898 | ||||
1,500,000 | MI St Strategic Fund Ltd Oblg Rev Var Green Bond Recycled Brd Machine Proj, AMT (Mandatory put 10/01/26) | 4.00% | 10/01/61 | 1,492,007 | ||||
90,000 | Wayne Cnty MI Arpt Auth Rev Ref, Ser F, AMT | 5.00% | 12/01/25 | 92,692 | ||||
6,039,189 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Minnesota – 3.1% | ||||||||
$650,000 | Alexandria MN Indep Sch Dist #206 Ref Sch Bldg, Ser B | 5.00% | 02/01/24 | $655,376 | ||||
2,250,000 | Buffalo MN Indep Sch Dist #877 | 3.00% | 02/01/29 | 2,230,777 | ||||
210,000 | Dakota Cnty MN Cmnty Dev Agy Mf Hsg Rev REE Aster House Apts Proj Remk | 4.13% | 06/01/24 | 209,996 | ||||
3,510,000 | Hennepin Cnty MN Sales Tax Rev Ref 1st Lien Ballpark Proj, Ser A | 5.00% | 12/15/30 | 3,720,571 | ||||
1,500,000 | Minneapolis MN Hlth Care Sys Rev Var Allina Hlth Sys, Ser A (Mandatory put 11/15/28) | 5.00% | 11/15/52 | 1,614,178 | ||||
1,000,000 | Minneapolis MN Mf Rev Var Greenway Apartments Proj (Mandatory put 08/01/24) | 2.70% | 08/01/25 | 979,893 | ||||
2,500,000 | MN Muni Gas Agy Cmdy Sply Rev, Ser A | 4.00% | 12/01/25 | 2,508,327 | ||||
1,250,000 | MN St Rural Wtr Fin Auth Pub Projs Constr Notes | 2.63% | 12/01/23 | 1,240,959 | ||||
13,160,077 | ||||||||
Mississippi – 0.4% | ||||||||
225,000 | MS St Busn Fin Corp Sol Wst Disp Rev Waste Mgmt Inc Proj Remk, AMT (Mandatory put 06/03/24) | 2.20% | 03/01/27 | 221,606 | ||||
1,500,000 | MS St Hosp Equipment & Facs Auth Ref Adj Baptist Memorial Hlth Care Corp Remk, Ser A-2 (Mandatory put 08/30/23) | 3.15% | 09/01/36 | 1,498,829 | ||||
1,720,435 | ||||||||
Missouri – 1.0% | ||||||||
635,000 | Met Saint Louis MO Swr Dist Wstwtr Sys Rev Ref & Impt, Ser B (Forward refunding maturity 05/01/25) | 5.00% | 05/01/33 | 652,339 | ||||
1,230,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref Saint Lukes Hlth Sys Inc | 4.00% | 11/15/33 | 1,245,570 | ||||
2,000,000 | MO St Hlth & Eductnl Facs Auth Hlth Facs Rev Ref SSM Hlth Care, Ser A (Pre-refunded maturity 06/01/24) | 5.00% | 06/01/29 | 2,023,855 | ||||
235,000 | MO St Hlth & Eductnl Facs Auth Lutheran Sr Svcs Projs | 4.00% | 02/01/27 | 229,234 | ||||
200,000 | Plaza at Noah’s Ark Cmnty Impt Dist MO Tax Incr & Impt Ref | 3.00% | 05/01/24 | 197,638 | ||||
4,348,636 | ||||||||
Montana – 0.1% | ||||||||
240,000 | Forsyth MT Poll Control Rev Ref Puget Sound Energy Proj, Ser A (Mandatory put 09/01/23) | 3.90% | 03/01/31 | 232,634 | ||||
Nebraska – 1.0% | ||||||||
70,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 | 5.00% | 01/01/24 | 70,240 | ||||
2,290,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 (Mandatory put 01/01/24) | 5.00% | 03/01/50 | 2,297,527 | ||||
330,000 | Centrl Plains Energy Proj NE Gas Proj Rev Ref Proj #3, Ser A | 5.00% | 09/01/26 | 337,474 | ||||
400,000 | Muni Energy Agy of NE Ref | 5.00% | 04/01/28 | 422,517 | ||||
1,235,000 | Omaha NE Pub Facs Corp Lease Rev, Ser A | 4.00% | 04/15/25 | 1,248,542 | ||||
4,376,300 | ||||||||
Nevada – 0.4% | ||||||||
120,000 | Clark Cnty NV Sch Dist Bldg Cr, Ser B, AGM | 5.00% | 06/15/31 | 132,236 | ||||
275,000 | Las Vegas NV Spl Impt Dist #808 & #810 Ref | 5.00% | 06/01/28 | 276,867 | ||||
300,000 | Las Vegas NV Spl Impt Dist #816 Spl Impt Dist No 816 Summerlin Vlg 22 | 2.00% | 06/01/24 | 293,735 | ||||
225,000 | Las Vegas NV Spl Impt Dist #816 Spl Impt Dist No 816 Summerlin Vlg 22 | 2.00% | 06/01/26 | 208,617 | ||||
275,000 | Reno NV Capital Impt Rev Ref, Ser A-1, AGM | 5.00% | 06/01/25 | 281,583 | ||||
500,000 | Yerington NV USDA Interim DEBS | 1.63% | 11/01/23 | 496,307 | ||||
1,689,345 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New Hampshire – 0.4% | ||||||||
$1,500,000 | Natl Fin Auth NH Sol Wst Disp Rev Var Ref Waste Mgmt Inc Proj Remk, Ser A-3, AMT (Mandatory put 09/01/23) | 4.00% | 04/01/24 | $1,499,804 | ||||
220,000 | Natl Fin Auth NH Sr Living Rev Ref Springpoint Sr Living | 4.00% | 01/01/24 | 219,423 | ||||
1,719,227 | ||||||||
New Jersey – 4.1% | ||||||||
1,000,000 | Casino Reinvestment Dev Auth NJ Luxury Tax Rev Ref, AGM | 5.00% | 11/01/29 | 1,022,221 | ||||
1,000,000 | Gloucester Twp NJ, Ser A, BANS | 5.00% | 07/25/24 | 1,012,843 | ||||
3,000,000 | Newark NJ, Ser D, BANS | 4.00% | 09/29/23 | 3,000,631 | ||||
1,000,000 | NJ St | 2.00% | 06/01/24 | 983,903 | ||||
2,000,000 | NJ St | 2.00% | 06/01/29 | 1,823,997 | ||||
250,000 | NJ St Covid-19 Go Emergency Bonds, Ser A | 4.00% | 06/01/30 | 265,056 | ||||
1,000,000 | NJ St Econ Dev Auth Ref Sch Facs Constr, Ser N-1, NATL-RE | 5.50% | 09/01/23 | 1,001,531 | ||||
580,000 | NJ St Econ Dev Auth Rev Portal N Bridge Proj NJ Transit Transprtn Proj Bonds, Ser A | 5.00% | 11/01/26 | 610,360 | ||||
110,000 | NJ St Econ Dev Auth Rev Ref Sch Facs Constr, Ser PP | 3.50% | 06/15/27 | 109,191 | ||||
1,000,000 | NJ St Econ Dev Auth Spl Fac Rev Continental Airls Inc Pj | 5.13% | 09/15/23 | 1,000,243 | ||||
2,000,000 | NJ St Hlth Care Facs Fing Auth Rev Ref Rwj Barnabas Hlth Oblig Grp Issue, Ser B-2 (Mandatory put 07/01/25) | 5.00% | 07/01/42 | 2,055,275 | ||||
340,000 | NJ St Hlth Care Facs Fing Auth Rev Ref Rwj Barnabas Hlth Oblig Grp Issue, Ser B-3 (Mandatory put 07/01/26) | 5.00% | 07/01/45 | 353,413 | ||||
1,000,000 | NJ St Hsg & Mtge Fin Agy Rev Ref Sf Hsg, Ser D, AMT | 4.00% | 04/01/24 | 999,458 | ||||
2,150,000 | NJ St Transprtn Trust Fund Auth Cap Apprec Transprtn Sys, Ser C, AMBAC | (b) | 12/15/25 | 1,971,544 | ||||
225,000 | NJ St Transprtn Trust Fund Auth Fed Hwy Reimb Nts, Ser A-1, GARVEE | 5.00% | 06/15/27 | 235,414 | ||||
1,000,000 | Tobacco Stlmt Fing Corp NJ Ref, Ser A | 5.00% | 06/01/24 | 1,011,625 | ||||
17,456,705 | ||||||||
New Mexico – 0.5% | ||||||||
2,000,000 | Farmington NM Poll Control Rev Var Ref Pub Svc Co NM San Juan Proj Remk, Ser D (Mandatory put 06/01/28) | 3.90% | 06/01/40 | 2,006,480 | ||||
New York – 3.4% | ||||||||
2,000,000 | Chautauqua Cnty NY Capital Res Corp Exempt Facs Rev Var Ref NRG Energy Proj Remk (Mandatory put 04/03/28) | 4.25% | 04/01/42 | 1,988,273 | ||||
125,000 | Long Beach NY, Ser B | 5.50% | 07/15/25 | 128,728 | ||||
2,000,000 | New York City NY Hsg Dev Corp Mf Hsg Rev Sustainable Dev Bonds, Ser F-2A (Mandatory put 12/22/26) | 3.40% | 11/01/62 | 1,968,219 | ||||
1,350,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev 2nd General Resolution, Ser DD | 5.00% | 06/15/35 | 1,366,806 | ||||
3,000,000 | New York City NY Muni Wtr Fin Auth Wtr & Swr Sys Rev Var Ref Sub 2nd General Resolution, Ser DD (c) | 4.18% | 06/15/33 | 3,000,000 | ||||
340,000 | New York City NY Transitional Fin Auth Bldg Aid Rev Ref Fiscal 2018, Ser S-1 | 5.00% | 07/15/35 | 365,909 | ||||
735,000 | New York City NY Transitional Fin Auth Rev Ref Sub Future Tax Secured, Ser F, Subser F-1 | 5.00% | 11/01/23 | 738,077 | ||||
2,000,000 | New York City NY Transitional Fin Auth Rev Var Future Tax Secd Remk, Subser G-6 (c) | 4.48% | 05/01/34 | 2,000,000 | ||||
1,000,000 | NY NY Adj Fiscal 2020, Subser B-3 (c) | 4.18% | 10/01/46 | 1,000,000 | ||||
405,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref American Airls Inc John F Kennedy Intl Arpt Proj, AMT | 2.25% | 08/01/26 | 390,043 | ||||
180,000 | Onondaga NY Civic Dev Corp Le Moyne Clg Proj | 5.00% | 07/01/26 | 185,041 | ||||
1,180,000 | Port Auth of NY & NJ NY Ref, 194th Ser | 5.00% | 10/15/34 | 1,225,335 | ||||
14,356,431 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
North Carolina – 1.9% | ||||||||
$1,000,000 | Columbus Cnty NC Indl Facs & Poll Control Fing Auth Rev Var Ref Intl Paper Co Proj, Ser A (Mandatory put 06/16/25) | 1.38% | 05/01/34 | $954,474 | ||||
400,000 | NC St Capital Facs Fin Agy Eductnl Facs Rev Ref High Point Univ | 5.00% | 05/01/28 | 428,138 | ||||
3,335,000 | NC St Med Care Commn Hosp Rev Caromont Hlth, Ser B (Mandatory put 02/01/26) | 5.00% | 02/01/51 | 3,476,353 | ||||
2,500,000 | NC St Turnpike Auth, BANS | 5.00% | 02/01/24 | 2,518,088 | ||||
170,000 | Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/29 | 183,569 | ||||
580,000 | Raleigh Durham NC Arpt Auth Arpt Rev Ref, Ser A, AMT | 5.00% | 05/01/35 | 605,127 | ||||
8,165,749 | ||||||||
North Dakota – 0.5% | ||||||||
1,400,000 | Cass Cnty ND Jt Wtr Res Dist, Ser A | 0.48% | 05/01/24 | 1,350,513 | ||||
1,000,000 | Larimore ND Loan Anticipation Temp Impt Bonds | 0.85% | 05/01/24 | 968,200 | ||||
2,318,713 | ||||||||
Ohio – 2.9% | ||||||||
75,000 | NE OH Med Univ Gen Recpts Ref, Ser A | 5.00% | 12/01/24 | 75,950 | ||||
1,000,000 | NW OH Loc Sch Dist Hamilton & Butler Cntys Sch Impt (Pre-refunded maturity 12/01/23) | 5.00% | 12/01/45 | 1,005,497 | ||||
1,000,000 | OH St Air Quality Dev Auth American Elec Pwr Co Proj Remk, Ser A (Mandatory put 10/01/29) | 2.40% | 12/01/38 | 872,390 | ||||
1,000,000 | OH St Air Quality Dev Auth OH Vly Elec Corp Proj Remk, Ser C (Mandatory put 11/04/25) | 1.50% | 02/01/26 | 915,822 | ||||
900,000 | OH St Air Quality Dev Auth Ref American Elec Pwr Company Proj Remk, Ser B, AMT (Mandatory put 10/01/24) | 2.10% | 07/01/28 | 871,603 | ||||
2,700,000 | OH St Air Quality Dev Auth Var OH Vly Elec Corp Proj Remk, Ser B (Mandatory put 11/01/24) | 1.38% | 02/01/26 | 2,569,015 | ||||
870,000 | OH St Air Quality Dev Auth Var Ref Duke Energy Corp Proj, Ser A, AMT (Mandatory put 06/01/27) | 4.25% | 11/01/39 | 862,973 | ||||
1,500,000 | OH St Hgr Eductnl Fac Commn Ref Case Western Reserve Univ Proj | 5.00% | 12/01/23 | 1,508,246 | ||||
200,000 | OH St Hosp Fac Rev Ref Cleveland Clinic Hlth Sys, Ser A | 5.00% | 01/01/25 | 204,688 | ||||
235,000 | OH St Hosp Fac Rev Ref Cleveland Clinic Hlth Sys, Ser A | 5.00% | 01/01/33 | 254,996 | ||||
1,250,000 | OH St Hosp Rev Var Cleveland Clinic Hlth Sys Remk, Ser C (Mandatory put 05/01/28) | 2.75% | 01/01/52 | 1,220,933 | ||||
1,990,000 | OH St, Ser A | 5.00% | 02/01/31 | 2,073,859 | ||||
12,435,972 | ||||||||
Oklahoma – 0.1% | ||||||||
300,000 | Oklahoma Cnty OK Fin Auth Eductnl Facs Lease Rev Midwest City De City Pub Schs Proj | 5.00% | 10/01/26 | 315,223 | ||||
Oregon – 0.6% | ||||||||
260,000 | Port of Portland OR Arpt Rev Portland Intl Arpt, Ser 25B, AMT | 5.00% | 07/01/27 | 272,497 | ||||
1,170,000 | Port of Portland OR Arpt Rev Ref Portland Intl Arpt, Ser 23 | 5.00% | 07/01/34 | 1,205,814 | ||||
130,000 | Port of Portland OR Arpt Rev, Ser 24B, AMT | 5.00% | 07/01/33 | 135,733 | ||||
260,000 | Salem OR Hosp Fac Auth Rev Ref Capital Manor Proj | 5.00% | 05/15/25 | 261,126 | ||||
265,000 | Salem OR Hosp Fac Auth Rev Ref Capital Manor Proj | 5.00% | 05/15/26 | 266,090 | ||||
100,000 | Union Cnty OR Hosp Fac Auth Grande Ronde Hosp | 5.00% | 07/01/25 | 101,650 | ||||
100,000 | Union Cnty OR Hosp Fac Auth Grande Ronde Hosp | 5.00% | 07/01/26 | 102,634 | ||||
2,345,544 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania – 5.6% | ||||||||
$1,500,000 | Allegheny Cnty PA Indl Dev Auth Envrnmtl Impt Rev Ref United States Steel Corp Proj | 4.88% | 11/01/24 | $1,510,813 | ||||
235,000 | Cmwlth Fing Auth PA Tobacco Master Stlmt Payment Rev Bonds | 5.00% | 06/01/26 | 244,698 | ||||
1,000,000 | Cmwlth Fing Auth PA Tobacco Master Stlmt Payment Rev Bonds | 5.00% | 06/01/30 | 1,078,049 | ||||
395,000 | Cumberland Cnty PA Muni Auth Prerefunded Ref Diakon Lutheran Ministries Proj (Pre-refunded maturity 01/01/25) | 5.00% | 01/01/38 | 404,369 | ||||
660,000 | Dauphin Cnty PA Gen Auth Hlth Sys Rev Ref Pinnacle Hlth Sys Proj, Ser A | 4.00% | 06/01/32 | 666,414 | ||||
265,000 | Deer Creek PA Drain Basin Allegheny Cnty Swr Rev Ref, AGM | 5.00% | 12/01/26 | 281,367 | ||||
90,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/24 | 91,222 | ||||
175,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/25 | 179,486 | ||||
390,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/28 | 401,990 | ||||
170,000 | E Hempfield Twp PA Indl Dev Auth Ref Willow Vly Cmntys Proj | 5.00% | 12/01/30 | 175,020 | ||||
50,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/24 | 50,041 | ||||
75,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/25 | 75,312 | ||||
75,000 | Erie PA Hgr Edu Bldg Auth Aicup Fing Prog Gannon Uni Proj Ref, Ser TT1 | 5.00% | 05/01/26 | 75,975 | ||||
500,000 | Lancaster PA Ref, BAM | 5.00% | 05/01/25 | 512,113 | ||||
80,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 5.00% | 03/01/24 | 80,179 | ||||
150,000 | Latrobe PA Indl Dev Auth Univ Rev Ref Seton Hill Univ | 5.00% | 03/01/25 | 150,976 | ||||
255,000 | Lehigh Cnty PA Gen Purp Auth Revs Ref Lehigh Carbon Cmnty Clg, Ser 2016, BAM | 5.00% | 11/01/26 | 266,586 | ||||
1,000,000 | Lehigh Cnty PA Indl Dev Auth Ref Ppl Elec Util Corp Proj 2016 Remk, Ser B | 2.63% | 02/15/27 | 960,182 | ||||
1,840,000 | Lehigh Cnty PA Indl Dev Auth Ref Ppl Elec Util Corp Proj Remk, Ser A | 3.00% | 09/01/29 | 1,786,516 | ||||
175,000 | Montgomery Cnty PA Indl Dev Auth Ref Waverly Heights Ltd Proj | 4.00% | 12/01/26 | 175,182 | ||||
2,000,000 | N Wales PA Wtr Auth Ref | 3.00% | 11/01/23 | 1,995,964 | ||||
400,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/25 | 404,511 | ||||
210,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/27 | 214,704 | ||||
150,000 | Northampton Cnty PA Gen Purp Auth Clg Rev Ref Moravian Clg | 5.00% | 10/01/30 | 154,115 | ||||
180,000 | PA St Econ Dev Fing Auth Rev Ref UPMC | 4.00% | 03/15/35 | 181,133 | ||||
1,500,000 | PA St Econ Dev Fing Auth Solid Waste Disposal Rev Var Ref Rep Svcs Inc Proj Remk, Ser A-2, AMT (Mandatory put 10/16/23) | 4.10% | 04/01/34 | 1,499,560 | ||||
2,100,000 | PA St Econ Dev Fing Auth T/E Priv Activity Rev The Penndot Major Bridges Package One Proj P3 Proj, AMT | 5.00% | 12/31/29 | 2,289,576 | ||||
465,000 | PA St Hsg Fin Agy SF Mtge Rev Non Ace, Ser 123B | 3.45% | 10/01/32 | 455,538 | ||||
405,000 | PA St Ref, Ser 1 | 5.00% | 09/15/27 | 429,163 | ||||
150,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser A | 5.00% | 12/01/36 | 155,985 | ||||
80,000 | PA St Turnpike Commn Turnpike Rev Ref Sub, Ser B | 5.00% | 06/01/39 | 82,254 | ||||
1,735,000 | PA St Turnpike Commn Turnpike Rev, Ser A-1 | 5.00% | 12/01/36 | 1,808,103 | ||||
185,000 | PA St, 1st Ser 2020 | 5.00% | 05/01/29 | 207,548 | ||||
570,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Ref String Theory Chrt Sch Proj (a) | 5.00% | 06/15/24 | 572,905 | ||||
300,000 | Philadelphia PA Auth for Indl Dev Chrt Sch Rev Ref String Theory Chrt Sch Proj (a) | 5.00% | 06/15/25 | 303,396 | ||||
330,000 | Philadelphia PA Auth for Indl Dev Temple Univ Rev Ref, 1st Ser 2015 | 5.00% | 04/01/27 | 339,454 | ||||
35,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/27 | 37,675 | ||||
1,000,000 | Scranton PA Sch Dist Ref | 5.00% | 12/01/23 | 1,003,776 | ||||
820,000 | Scranton PA Sch Dist Ref, Ser D | 5.00% | 06/01/27 | 845,360 | ||||
1,240,000 | Wilkes-Barre PA Area Sch Dist, Ser B, BAM | 5.00% | 08/01/27 | 1,313,763 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Pennsylvania (Continued) | ||||||||
$375,000 | Wyoming PA Area Sch Dist Ref, Ser A, AGM | 4.00% | 11/01/24 | $378,575 | ||||
23,839,548 | ||||||||
Puerto Rico – 0.2% | ||||||||
389,448 | Puerto Rico Cmwlth Restructured, Ser A, CABS | (b) | 07/01/24 | 374,061 | ||||
169,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (b) | 07/01/24 | 163,212 | ||||
328,000 | Puerto Rico Sales Tax Fing Corp Sales Tax Rev Restructured, Ser A-1, CABS | (b) | 07/01/27 | 280,363 | ||||
817,636 | ||||||||
Rhode Island – 0.4% | ||||||||
1,670,000 | Providence RI Pub Bldgs Auth Rev, Ser A, AGM | 5.00% | 09/15/30 | 1,816,866 | ||||
South Carolina – 0.3% | ||||||||
400,000 | Berkeley Cnty SC Assmnt Rev Nexton Impt Dist | 4.00% | 11/01/30 | 378,938 | ||||
850,000 | SC St Jobs Econ Dev Auth Econ Dev Rev Ref The Woodlands at Furman | 4.00% | 11/15/27 | 822,929 | ||||
250,000 | SC St Pub Svc Auth Rev Ref, Ser A | 5.00% | 12/01/24 | 254,501 | ||||
1,456,368 | ||||||||
South Dakota – 0.4% | ||||||||
355,000 | SD St Hlth & Eductnl Facs Auth Ref Sanford Oblig Grp | 5.00% | 11/01/27 | 368,914 | ||||
330,000 | SD St Hlth & Eductnl Facs Auth Ref Sanford Oblig Grp | 5.00% | 11/01/35 | 340,491 | ||||
150,000 | SD St Hlth & Eductnl Facs Auth Ref Westhills Vlg Retmnt Cmnty Issue | 3.00% | 09/01/26 | 145,999 | ||||
990,000 | SD St Hsg Dev Auth Ref Homeownership Mtge, Ser E, AMT | 2.80% | 11/01/25 | 962,789 | ||||
1,818,193 | ||||||||
Tennessee – 1.2% | ||||||||
145,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Trevecca Nazarene Univ Proj, Ser B | 4.00% | 10/01/26 | 142,766 | ||||
450,000 | Met Nashville TN Arpt Auth Arpt Rev, Ser B, AMT | 5.00% | 07/01/27 | 473,306 | ||||
2,000,000 | Montgomery Cnty TN Ref, Ser A | 5.00% | 04/01/24 | 2,023,023 | ||||
1,595,000 | TN St Energy Acq Corp Gas Rev (Mandatory put 11/01/25) | 4.00% | 11/01/49 | 1,586,560 | ||||
765,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/26 | 780,484 | ||||
5,006,139 | ||||||||
Texas – 13.1% | ||||||||
250,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Ref Uplift Edu, Ser A | 4.00% | 12/01/30 | 255,777 | ||||
150,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Trinity Basin Preparatory Inc | 5.00% | 08/15/27 | 158,599 | ||||
150,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Trinity Basin Preparatory Inc | 5.00% | 08/15/28 | 164,013 | ||||
500,000 | Arlington TX Hsg Fin Corp Mf Hsg Rev Var 6900 Matlok Road (Mandatory put 04/01/27) | 4.50% | 04/01/41 | 508,361 | ||||
500,000 | Austin TX Arpt Sys Rev, AMT | 5.00% | 11/15/25 | 514,604 | ||||
250,000 | Austin TX Arpt Sys Rev, AMT | 5.00% | 11/15/28 | 253,362 | ||||
2,000,000 | Austin TX Ref | 3.15% | 09/01/28 | 1,976,327 | ||||
240,000 | Brazoria Cnty TX Ref | 5.00% | 03/01/27 | 249,849 | ||||
290,000 | Centrl TX Regl Mobility Auth Rev Ref | 5.00% | 01/01/27 | 299,881 | ||||
250,000 | Centrl TX Regl Mobility Auth Rev, Ser C | 5.00% | 01/01/27 | 259,458 | ||||
150,000 | Chisum TX Indep Sch Dist Ref Sch Bldg | 5.00% | 08/15/23 | 150,080 | ||||
35,000 | Clifton TX Hgr Edu Fin Corp Edu Rev Idea Pub Schs, Ser B | 5.00% | 08/15/24 | 35,392 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$150,000 | Club Muni Mgmt Dist #1 TX Spl Assmnt Rev Impt Area #2 Proj (a) | 2.50% | 09/01/26 | $138,679 | ||||
1,000,000 | Collin Cnty TX Ref | 4.00% | 02/15/27 | 1,020,857 | ||||
400,000 | Corpus Christi TX Util Sys Rev Junior Lien, Ser B | 5.00% | 07/15/26 | 420,646 | ||||
207,000 | Crandall TX Spl Assmnt Rev Cartwright Ranch Pub Impt Dt Impt Area #1 Proj (a) | 3.38% | 09/15/26 | 192,955 | ||||
100,000 | Cypress Fairbanks TX Indep Sch Dist Ref Sch Bldg | 5.00% | 02/15/27 | 104,791 | ||||
1,000,000 | Denton Cnty TX Hsg Fin Corp Var Pathway on Woodrow Apts (Mandatory put 02/01/25) | 5.00% | 02/01/26 | 1,017,205 | ||||
1,005,000 | Fort Bend Cnty TX Muni Util Dist #182, BAM | 5.25% | 09/01/26 | 1,059,602 | ||||
280,000 | Fort Bend Cnty TX Muni Util Dist #184, BAM | 6.00% | 04/01/27 | 304,947 | ||||
295,000 | Fort Bend Cnty TX Muni Util Dist #184, BAM | 6.00% | 04/01/28 | 321,837 | ||||
840,000 | Fort Bend TX Indep Sch Dist Ref | 5.00% | 08/15/26 | 889,832 | ||||
1,250,000 | Fort Bend TX Indep Sch Dist Var Remk, Ser A (Mandatory put 08/01/24) | 2.38% | 08/01/49 | 1,230,077 | ||||
585,000 | Fort Bend TX Muni Util Dist #169 Contract Rev Road Facs, Ser B, BAM | 4.00% | 12/01/25 | 595,136 | ||||
585,000 | Fort Bend TX Muni Util Dist #169 Contract Rev Road Facs, Ser B, BAM | 4.00% | 12/01/26 | 600,803 | ||||
465,000 | Galveston Cnty TX Muni Util Dist #54 Ref | 2.00% | 12/01/25 | 428,574 | ||||
560,000 | Galveston Cnty TX Muni Util Dist #54 Ref | 2.00% | 12/01/27 | 493,281 | ||||
1,500,000 | Grayson Cnty TX Ref | 3.00% | 01/01/26 | 1,457,568 | ||||
1,475,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Med Facs Rev Ref Baylor Clg of Med | 5.00% | 11/15/23 | 1,480,956 | ||||
1,000,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Rev Memorial Herman Hlth Sys, Ser A | 5.00% | 12/01/26 | 1,024,078 | ||||
1,340,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Rev Var Memorial Hermann Hlth System, Ser B-2 (Mandatory put 12/01/24) | 5.00% | 07/01/49 | 1,362,201 | ||||
1,000,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Thermal Util Re Ref Teco Proj | 5.00% | 11/15/29 | 1,080,094 | ||||
230,000 | Harris Cnty TX Muni Util Dist #536, BAM | 5.50% | 09/01/26 | 243,611 | ||||
240,000 | Harris Cnty TX Muni Util Dist #536, BAM | 5.50% | 09/01/27 | 258,746 | ||||
2,000,000 | Hays Cnty TX Ref | 3.38% | 02/15/29 | 1,991,858 | ||||
100,000 | Houston TX Arpt Sys Rev Ref Sub, Ser B | 5.00% | 07/01/26 | 105,391 | ||||
335,000 | Houston TX Arpt Sys Rev Ref Sub, Ser C, AMT | 5.00% | 07/01/27 | 352,350 | ||||
1,835,000 | Houston TX Arpt Sys Rev Ref Subord Lien, Ser A, AMT, AGM | 5.00% | 07/01/27 | 1,928,666 | ||||
900,000 | Houston TX Arpt Sys Rev Ref United Airls Inc Terminal Impt Proj, Ser B-2, AMT | 5.00% | 07/15/27 | 910,169 | ||||
200,000 | Houston TX Arpt Sys Rev Sub, Ser A, AMT | 5.00% | 07/01/28 | 212,710 | ||||
300,000 | Houston TX Arpt Sys Rev Sub, Ser A, AMT | 5.00% | 07/01/29 | 323,579 | ||||
625,000 | Kingsville TX Ctfs Oblig, BAM | 2.00% | 08/01/23 | 625,000 | ||||
925,000 | Kyle TX Spl Assmnt Rev 6 Creeks Pub Impt Dist Impt Area #1 (a) | 4.13% | 09/01/29 | 902,843 | ||||
975,000 | La Vernia TX Hgr Edu Fin Corp Edu Rev Meridian World Sch, Ser A (Pre-refunded maturity 08/15/24) (a) | 5.25% | 08/15/35 | 988,209 | ||||
1,300,000 | Love Field TX Arpt Modernization Corp Gen Arpt Rev, AMT | 5.00% | 11/01/23 | 1,302,563 | ||||
405,000 | Love Field TX Arpt Modernization Corp Gen Arpt Rev, AMT | 5.00% | 11/01/31 | 420,393 | ||||
700,000 | Love Field TX Arpt Modernization Corp Gen Arpt Rev, AMT | 5.00% | 11/01/33 | 723,757 | ||||
200,000 | Lower CO River TX Auth Trans Contract Rev Ref Lcra Trans Svcs Corp Proj | 5.00% | 05/15/33 | 208,519 | ||||
1,500,000 | Matagorda Cnty TX Nav Dist #1 Var Rev Cent Pwr & Lt Ref Remk, AMT (Mandatory put 09/01/23) | 0.90% | 05/01/30 | 1,494,715 | ||||
1,500,000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Var Rep Svcs Inc Proj Remk, Ser A, AMT (Mandatory put 08/01/23) | 3.88% | 05/01/50 | 1,500,000 | ||||
440,000 | Montgomery Cnty TX Muni Util Dist #105, BAM | 4.63% | 09/01/25 | 451,603 | ||||
450,000 | Montgomery Cnty TX Muni Util Dist #105, BAM | 4.63% | 09/01/26 | 467,846 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Texas (Continued) | ||||||||
$400,000 | N Parkway Muni Mgmt Dist #1 TX Contract Rev Legacy Hills Pub Impt Dt Phase #1A-1B Impts (a) | 3.00% | 09/15/26 | $376,893 | ||||
1,000,000 | N TX Tollway Auth Rev Ref 2nd Tier, Ser A | 5.00% | 01/01/35 | 1,016,636 | ||||
45,000 | N TX Tollway Auth Rev Ref 2nd Tier, Ser B | 5.00% | 01/01/31 | 47,097 | ||||
500,000 | N TX Tollway Auth Rev Ref First Tier Bonds, Ser A | 5.00% | 01/01/24 | 503,297 | ||||
1,000,000 | N TX Tollway Auth Rev Ref First Tier Bonds, Ser A | 5.00% | 01/01/26 | 1,043,751 | ||||
150,000 | N TX Tollway Auth Rev Ref Second Tier Bonds, Ser C | 5.00% | 01/01/27 | 159,842 | ||||
105,000 | N TX Tollway Auth Rev Ref Sys 1st Tier, Ser A | 5.00% | 01/01/25 | 105,750 | ||||
1,000,000 | N TX Tollway Auth Rev Ref, Ser A | 5.00% | 01/01/25 | 1,007,141 | ||||
300,000 | N TX Tollway Auth Rev Second Tier, Ser B | 5.00% | 01/01/27 | 319,684 | ||||
10,000 | N TX Tollway Auth Rev Unrefunded Ref 2nd Tier, Ser B | 5.00% | 01/01/24 | 10,012 | ||||
635,000 | New Hope Cultural Edu Facs Fin Corp TX Edu Rev Ref Jubilee Acad Ctr (a) | 4.00% | 08/15/25 | 620,087 | ||||
1,490,000 | New Hope Cultural Edu Facs Fin Corp TX Stdt Hsg Rev CHF Clegiate Hsg San Antonio I-TX A&M Univ San Antonio, Ser A (Pre-refunded maturity 04/01/26) | 5.00% | 04/01/48 | 1,554,699 | ||||
50,000 | Oak Point TX Spl Assmnt Rev Wildridge Pub Impt Dist #1 Impt Area #2 Proj Accd Inv (a) | 3.50% | 09/01/23 | 49,964 | ||||
1,000,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Ref Baylor Scott & White Hlth Proj, Ser A | 5.00% | 11/15/28 | 1,049,396 | ||||
680,000 | Tarrant Cnty TX Cultural Edu Facs Fin Corp Hosp Rev Var Baylor Scott & White Hlth Proj, Ser E (Mandatory put 05/15/26) | 5.00% | 11/15/52 | 705,152 | ||||
875,000 | Travis Cnty TX Hsg Fin Corp Mf Hsg Rev Var Kensington Apts (Mandatory put 08/01/25) | 3.75% | 08/01/26 | 872,800 | ||||
700,000 | TX St Muni Gas Acq & Sply Corp III Gas Sply Rev Ref | 5.00% | 12/15/25 | 708,049 | ||||
480,000 | TX St Wtr Dev Brd St Wtr Implementation Fund, Ser A | 5.00% | 04/15/25 | 494,589 | ||||
340,000 | Univ of Houston TX Univ Revs Ref Consol, Ser C | 5.00% | 02/15/30 | 353,841 | ||||
4,000,000 | Univ of Texas TX Permanent Univ Fnd Bonds, Ser A | 5.00% | 07/01/26 | 4,221,348 | ||||
1,650,000 | Univ of Texas TX Univ Revs Ref, Ser H | 5.00% | 08/15/25 | 1,711,862 | ||||
1,580,000 | Univ of Texas TX Univ Revs, Ser D | 5.00% | 08/15/26 | 1,674,204 | ||||
630,000 | Viridian TX Muni Mgmt Dist Unlimited Tax Road Impt Bonds, BAM | 4.00% | 12/01/29 | 648,250 | ||||
385,000 | Wilbarger Creek TX Muni Util Dist #2, AGM | 4.00% | 09/01/26 | 394,749 | ||||
760,000 | Williamson Cnty TX Muni Util Dist #10 Ref, BAM | 3.00% | 08/01/26 | 751,184 | ||||
55,862,627 | ||||||||
Utah – 0.6% | ||||||||
650,000 | Salt Lake City UT Arpt Rev, Ser A, AMT (d) | 5.00% | 07/01/26 | 675,460 | ||||
1,895,000 | Utah Cnty UT Hosp Rev IHC Hlth Svcs Inc, Ser B-1 (Mandatory put 08/01/24) | 5.00% | 05/15/60 | 1,921,474 | ||||
2,596,934 | ||||||||
Vermont – 0.0% | ||||||||
100,000 | VT St Econ Dev Auth Solid Wst Disp Rev Var Casella Waste Sys Inc Remk, AMT (Mandatory put 04/03/28) (a) | 4.63% | 04/01/36 | 98,694 | ||||
Virginia – 2.5% | ||||||||
2,000,000 | Arlington Cnty VA Indl Dev Auth Mf Rev Park Shirlington Apartments, Ser A | 5.00% | 01/01/26 | 2,059,282 | ||||
310,000 | Hampton Roads VA Santn Dist Wstwtr Rev Prerefunded Sub, Ser A (Pre-refunded maturity 08/01/26) | 5.00% | 08/01/28 | 328,304 | ||||
600,000 | Henrico Cnty VA Econ Dev Auth Rsdl Care Fac Rev Ref Westminster Canterbury Proj | 5.00% | 10/01/30 | 620,322 | ||||
1,490,000 | Loudoun Cnty VA, Ser B | 4.00% | 12/01/28 | 1,509,040 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Virginia (Continued) | ||||||||
$1,000,000 | Louisa VA Indl Dev Auth Poll Control Rev Var VA Elec & Pwr Co Proj Remk, Ser A (Mandatory put 10/01/27) | 3.65% | 11/01/35 | $994,841 | ||||
1,525,000 | Norfolk VA Wtr Rev Ref | 5.00% | 11/01/31 | 1,666,450 | ||||
845,000 | Richmond VA Redev & Hsg Auth Mf Rev Var Townes at River South (Mandatory put 03/01/25) | 4.25% | 03/01/26 | 849,004 | ||||
125,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/26 | 127,819 | ||||
1,585,000 | VA St Pub Bldg Auth Pub Facs Rev, Ser C, AMT | 5.00% | 08/01/29 | 1,662,636 | ||||
445,000 | VA St Res Auth Clean Wtr Rev Ref Revolving Fund, Ser B | 4.00% | 10/01/27 | 447,984 | ||||
380,000 | Wise Cnty VA Indl Dev Auth Sol Wst & Sewage Disp Rev VA Elec & Pwr Co Remk, Ser A (Mandatory put 05/31/24) | 1.20% | 11/01/40 | 369,271 | ||||
10,634,953 | ||||||||
Washington – 1.6% | ||||||||
1,315,000 | King Cnty WA Swr Rev Ref, Ser B | 5.00% | 07/01/26 | 1,335,248 | ||||
1,500,000 | Port of Seattle WA Rev Ref Intermediate Lien, Ser B, AMT | 5.00% | 08/01/26 | 1,557,089 | ||||
150,000 | Seattle WA Wtr Sys Rev Ref & Impt | 5.00% | 05/01/28 | 154,585 | ||||
100,000 | WA St Hlth Care Facs Auth Ref Seattle Cancer Care Alliance | 5.00% | 09/01/27 | 105,183 | ||||
2,120,000 | WA St Hsg Fin Commn Nonprofit Hsg Rev Heron’s Key, Ser A (Pre-refunded maturity 07/01/25) (a) | 7.00% | 07/01/45 | 2,245,492 | ||||
1,555,000 | WA St, Ser B, COPS | 5.00% | 07/01/24 | 1,578,662 | ||||
6,976,259 | ||||||||
West Virginia – 0.4% | ||||||||
1,500,000 | WV St Econ Dev Auth Sol Wst Disp Facs Var Sr Arch Res Proj, AMT (Mandatory put 07/01/25) | 5.00% | 07/01/45 | 1,502,569 | ||||
Wisconsin – 2.5% | ||||||||
2,000,000 | Oak Creek WI, Ser B, NANS | 4.00% | 04/01/26 | 2,003,345 | ||||
100,000 | Pub Fin Auth WI Edu Rev Coral Acdmy of Science Las Vegas, Ser A | 4.00% | 07/01/26 | 98,027 | ||||
185,000 | Pub Fin Auth WI Eductnl Rev Piedmont Cmnty Chrt Sch | 5.00% | 06/15/25 | 186,505 | ||||
250,000 | Pub Fin Auth WI Hosp Rev Ref Carson Vly Med Ctr, Ser A | 3.00% | 12/01/26 | 237,517 | ||||
4,000,000 | Pub Fin Auth WI Poll Control Rev Var Ref Duke Engery Progress Proj, Ser A-1 (Mandatory put 10/01/26) | 3.30% | 10/01/46 | 3,974,168 | ||||
285,000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt Homes, Ser A | 4.00% | 10/01/25 | 280,581 | ||||
605,000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt Homes, Ser A | 4.00% | 10/01/26 | 590,744 | ||||
325,000 | Pub Fin Auth WI Retmnt Fac Rev Ref United Methodist Retmnt Homes, Ser A | 4.00% | 10/01/29 | 308,586 | ||||
225,000 | Pub Fin Auth WI Rev Unrefunded Roseman Univ Hlth Scienes Proj (a) | 3.00% | 04/01/25 | 218,100 | ||||
800,000 | Pub Fin Auth WI Sr Living Rev Rose Villa Proj, Ser A (Pre-refunded maturity 11/15/24) (a) | 5.75% | 11/15/44 | 819,661 | ||||
1,000,000 | Waukesha WI, Ser A, NANS | 4.00% | 07/01/24 | 1,000,441 | ||||
275,000 | WI St Clean Wtr Rev Ref (Pre-refunded maturity 06/01/24) | 5.00% | 06/01/26 | 278,958 | ||||
400,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Ascension Hlth Credit Grp, Ser A | 5.00% | 11/15/36 | 413,751 | ||||
155,000 | WI St Hlth & Eductnl Facs Auth Rev Three Pillars Sr Living Cmntys, Ser A | 4.00% | 08/15/24 | 153,605 | ||||
10,563,989 | ||||||||
Wyoming – 0.3% | ||||||||
250,000 | Consol Muni Elec Pwr Sys WY Jt Pwrs Brd Sys Jt Pwrs Brd Ref Electrical Sys Proj | 5.00% | 06/01/26 | 262,246 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Wyoming (Continued) | ||||||||
$755,000 | Consol Muni Elec Pwr Sys WY Jt Pwrs Brd Sys Jt Pwrs Brd Ref Electrical Sys Proj | 5.25% | 06/01/37 | $844,872 | ||||
1,107,118 |
Total Investments – 98.3% | 418,887,230 | ||
(Cost $423,852,281) | |||
Net Other Assets and Liabilities – 1.7% | 7,244,501 | ||
Net Assets – 100.0% | $426,131,731 |
(a) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At July 31, 2023, securities noted as such amounted to $14,617,767 or 3.4% of net assets. |
(b) | Zero coupon bond. |
(c) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(d) | When-issued security. The interest rate shown reflects the rate in effect at July 31, 2023. Interest will begin accruing on the security’s first settlement date. |
Abbreviations throughout the Portfolio of Investments: | |
AGM | Assured Guaranty Municipal Corp. |
AMBAC | American Municipal Bond Assurance Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
BANS | Bond Anticipation Notes |
CABS | Capital Appreciation Bonds |
COPS | Certificates of Participation |
GARVEE | Grant Anticipation Revenue Vehicle |
NANS | Note Anticipation Notes |
NATL-RE | National Public Finance Guarantee Corp. |
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 418,887,230 | $ — | $ 418,887,230 | $ — |
* | See Portfolio of Investments for state and territory breakout. |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS – 98.7% | ||||||||
Alabama – 3.5% | ||||||||
$325,000 | AL St Hwy Fin Corp Spl Oblig Rev, Ser A | 5.00% | 08/01/23 | $325,000 | ||||
200,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev Proj #5, Ser A-1 | 4.00% | 10/01/24 | 200,127 | ||||
480,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev Proj No. 4, Ser A-1 | 4.00% | 06/01/24 | 479,846 | ||||
300,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev, Ser A | 5.00% | 12/01/23 | 300,855 | ||||
1,955,000 | Black Belt Energy Gas Dist AL Gas Prepay Rev, Ser A (Mandatory put 12/01/23) | 4.00% | 12/01/48 | 1,954,392 | ||||
525,000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 | 5.25% | 12/01/23 | 526,922 | ||||
385,000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 | 5.25% | 06/01/24 | 388,512 | ||||
625,000 | Black Belt Energy Gas Dist AL Gas Proj Rev, Ser C-1 | 5.25% | 12/01/24 | 634,111 | ||||
2,000,000 | Columbia AL Indl Dev Brd Poll Control Rev Var Ref AL Pwr Co Proj, Ser A (a) | 4.70% | 12/01/37 | 2,000,000 | ||||
1,155,000 | Lower AL Gas Dist Gas Proj Rev Bonds Proj 2 (Mandatory put 12/01/25) | 4.00% | 12/01/50 | 1,146,223 | ||||
1,120,000 | SE AL St Gas Sply Dist Gas Sply Rev Proj #2, Ser A (Mandatory put 06/01/24) | 4.00% | 06/01/49 | 1,117,443 | ||||
500,000 | SE Energy Auth AL Cmdy Sply Rev Proj #4, Ser B-1 | 5.00% | 08/01/23 | 500,000 | ||||
9,573,431 | ||||||||
Alaska – 0.1% | ||||||||
300,000 | AK St, Ser A | 5.00% | 08/01/23 | 300,000 | ||||
Arizona – 2.4% | ||||||||
1,565,000 | AZ St Transprtn Brd Excise Tax Rev Ref | 5.00% | 07/01/25 | 1,622,079 | ||||
1,740,000 | Chandler AZ Indl Dev Auth Indl Dev Rev Var Intel Corp Proj Remk, AMT (Mandatory put 08/14/23) | 2.70% | 12/01/37 | 1,738,906 | ||||
500,000 | Phoenix AZ Civic Impt Corp Arpt Rev Ref Sr Lien, AMT | 5.00% | 07/01/25 | 513,258 | ||||
2,000,000 | Phoenix AZ Civic Impt Corp Wtr Sys Rev Junior Lien, Ser A (Pre-refunded maturity 07/01/24) | 4.75% | 07/01/44 | 2,026,513 | ||||
180,000 | Pima Cnty AZ Indl Dev Auth Sr Living Rev La Posada at Pusch Ridge Proj, Ser A (b) | 5.75% | 11/15/23 | 180,056 | ||||
520,000 | Salt Verde AZ Finl Corp Sr Gas Rev Sr | 5.25% | 12/01/23 | 521,149 | ||||
6,601,961 | ||||||||
California – 1.9% | ||||||||
200,000 | CA Cmnty Choice Fing Auth Clean Energy Proj Rev Var Green Bonds Clean Energy Proj, Ser C | 5.00% | 10/01/24 | 201,200 | ||||
3,000,000 | CA St Infra & Econ Dev Bank Rev Var Brightline W Passenger Rail Proj Remk, Ser A, AMT, (Mandatory put 01/31/24) (b) | 3.65% | 01/01/50 | 2,987,370 | ||||
335,000 | Long Beach CA Bond Fin Auth Nat Gas Pur Rev, Ser A | 5.25% | 11/15/23 | 335,838 | ||||
1,700,000 | Sch Proj for Util Rate Reduction CA Nat Gas Pur Prog, RANS | 4.00% | 08/01/23 | 1,700,000 | ||||
5,224,408 | ||||||||
Colorado – 2.8% | ||||||||
350,000 | Adams & Arapahoe Cntys CO Jt Sch Dist #28J Aurora Ref | 5.00% | 12/01/23 | 351,820 | ||||
1,275,000 | Arapahoe Cnty CO Sch Dist #5 Cherry Creek Ref & Impt, AGM | 2.00% | 12/15/23 | 1,269,023 | ||||
400,000 | CO St Hlth Facs Auth Rev Commonspirit Hlth Oblig Grp, Ser A | 5.00% | 11/01/23 | 401,087 | ||||
185,000 | CO St Hlth Facs Auth Rev Ref Commonspirit Hlth, Ser B-1 (Mandatory put 08/01/25) | 5.00% | 08/01/49 | 188,237 | ||||
2,355,000 | CO St Ref UCDHSC Fitzsimons Acad Projs, Ser A, COPS (Pre-refunded maturity 11/01/23) | 5.00% | 11/01/28 | 2,364,565 | ||||
700,000 | Denver City & Cnty CO Arpt Rev Ref, Ser C | 5.00% | 11/15/23 | 703,390 | ||||
2,000,000 | Denver CO Convention Ctr Hotel Auth Rev Ref Sr | 5.00% | 12/01/23 | 2,004,451 | ||||
250,000 | Leyden Rock Met Dist CO Ref, AGM | 5.00% | 12/01/23 | 251,217 | ||||
7,533,790 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Connecticut – 2.8% | ||||||||
$850,000 | Bridgeport CT Ref, Ser C | 5.00% | 02/15/24 | $857,275 | ||||
900,000 | CT St Hgr Edu Supplement Loan Auth Rev Chesla Ln Prog, Ser A, AMT | 5.00% | 11/15/23 | 903,853 | ||||
2,500,000 | CT St Ref, Ser H | 5.00% | 11/15/23 | 2,511,749 | ||||
2,250,000 | CT St Spl Tax Oblig Rev Ref Transprtn Infra Purp, Ser B | 5.00% | 01/01/24 | 2,265,487 | ||||
30,000 | Hamden CT, BAM | 5.00% | 08/15/23 | 30,013 | ||||
1,080,000 | New Haven CT, Ser A, AGM | 5.00% | 08/01/23 | 1,080,000 | ||||
7,648,377 | ||||||||
District of Columbia – 0.7% | ||||||||
1,985,000 | Met WA DC Arpts Auth Dulles Toll Road Rev Cap Apprec 2nd Sr Lien, Ser B, AGC | (c) | 10/01/23 | 1,972,609 | ||||
Florida – 6.4% | ||||||||
85,000 | Alachua Cnty FL Hlth Facs Auth CCRC Ref Oak Hammock at the Univ of FL Inc Proj | 4.00% | 10/01/23 | 84,841 | ||||
2,065,000 | Broward Cnty FL Arpt Sys Rev, Ser A, AMT (Pre-refunded maturity 10/01/23) | 5.13% | 10/01/38 | 2,069,707 | ||||
1,500,000 | Collier Cnty FL Eductnl Facs Auth Rev Eductnl Facs Hodges Univ Inc (Pre-refunded maturity 11/01/23) | 6.13% | 11/01/43 | 1,509,745 | ||||
100,000 | Gtr Orlando FL Aviation Auth Arpt Facs Rev Ref Priority Sub Arpt Facs, AMT | 5.00% | 10/01/23 | 100,151 | ||||
445,000 | Hollywood Beach FL Cmnty Dev Dist Rev CDD Ref Pub Pkg Fac Proj, Ser I | 5.00% | 10/01/23 | 446,080 | ||||
730,000 | Jacksonville FL Spl Rev Ref, Ser D | 5.00% | 10/01/23 | 731,808 | ||||
1,100,000 | JEA FL Wtr & Swr Rev Ref, Ser A | 5.00% | 10/01/24 | 1,122,398 | ||||
175,000 | Lakewood Ranch FL Stewardship Dist Spl Assmnt Rev Ref Country Club E Proj, AGM | 5.00% | 05/01/25 | 179,419 | ||||
2,000,000 | Miami-Dade Cnty FL Sch Brd Ref, Ser B, COPS | 5.00% | 05/01/24 | 2,023,672 | ||||
1,000,000 | Miami-Dade Cnty FL Seaport Rev Ref Sr Bonds, Ser A, AMT | 5.00% | 10/01/25 | 1,027,908 | ||||
2,500,000 | Miami-Dade Cnty FL Seaport Rev, Ser B, AMT (Pre-refunded maturity 10/01/23) | 6.25% | 10/01/38 | 2,510,766 | ||||
400,000 | Monroe Cnty FL Sch Dist Sales Tax Rev, AGM | 5.00% | 10/01/23 | 401,004 | ||||
2,650,000 | Orange Cnty FL Hlth Facs Auth Rev Ref Presbyterian Retmnt Cmntys | 5.00% | 08/01/41 | 2,729,500 | ||||
1,195,000 | Palm Beach Cnty FL Sch Brd, Ser B, COPS | 5.00% | 08/01/23 | 1,195,000 | ||||
145,000 | Sarasota Cnty FL Util Sys Rev (Pre-refunded maturity 10/01/23) | 5.00% | 10/01/38 | 145,398 | ||||
515,000 | Seminole Cnty FL Wtr & Swr Rev Ref, Ser A | 5.00% | 10/01/23 | 516,352 | ||||
455,000 | Tampa FL Capital Impt Cigarette Tax Allocation H Lee Moffitt Cancer Ctr Proj, Ser A | 5.00% | 09/01/24 | 461,530 | ||||
17,255,279 | ||||||||
Georgia – 4.1% | ||||||||
1,170,000 | Atlanta GA Arpt Rev Ref, Ser B, AMT | 5.00% | 07/01/24 | 1,182,846 | ||||
480,000 | Atlanta GA Wtr & Wstwtr Rev Ref, Ser B | 5.00% | 11/01/23 | 481,950 | ||||
2,000,000 | Burke Cnty GA Dev Auth Poll Control Rev Var Ref GA Pwr Co Plant Vogtle Proj (a) | 5.05% | 11/01/52 | 2,000,000 | ||||
250,000 | Main Street Nat Gas Inc GA Gas Sply Rev Var, Ser B (Mandatory put 12/02/24) | 4.00% | 08/01/49 | 250,481 | ||||
500,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 4.00% | 12/01/23 | 499,675 | ||||
650,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 06/01/24 | 652,242 | ||||
550,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser A | 5.00% | 06/01/25 | 554,711 | ||||
250,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser B | 5.00% | 03/01/24 | 251,416 | ||||
500,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser B | 5.00% | 06/01/24 | 502,008 | ||||
250,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Ser B | 5.00% | 09/01/24 | 252,661 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Georgia (Continued) | ||||||||
$1,105,000 | Main Street Nat Gas Inc GA Gas Sply Rev, Subser C (Mandatory put 12/01/23) | 4.00% | 08/01/48 | $1,106,219 | ||||
2,100,000 | Met Atlanta GA Rapid Transit Auth Sales Tax Rev Ref, Ser A | 4.00% | 07/01/24 | 2,116,045 | ||||
1,370,000 | Monroe Cnty GA Dev Auth Poll Control Rev GA Pwr Co Plant Scherer Proj Remk, 1st Ser | 2.25% | 07/01/25 | 1,303,623 | ||||
11,153,877 | ||||||||
Hawaii – 1.2% | ||||||||
2,500,000 | HI St Arpts Sys Rev Ref, Ser B, AMT | 5.00% | 07/01/24 | 2,524,754 | ||||
615,000 | Honolulu City & Cnty HI, Ser A | 5.00% | 10/01/23 | 616,646 | ||||
3,141,400 | ||||||||
Illinois – 6.6% | ||||||||
230,000 | Chicago IL O’Hare Intl Arpt Rev Ref Sr Lien O’Hare Intl Arpt, Ser C, AMT | 5.00% | 01/01/24 | 231,138 | ||||
600,000 | Chicago IL Ref, Ser A | 5.00% | 01/01/24 | 602,713 | ||||
1,000,000 | Chicago IL Ref, Ser C | 5.00% | 01/01/24 | 1,004,521 | ||||
165,000 | Chicago IL Wtr Rev Second Lien | 5.00% | 11/01/23 | 165,156 | ||||
1,250,000 | Cook Cnty IL Ref, Ser A | 5.00% | 11/15/23 | 1,255,012 | ||||
500,000 | DuPage & Cook Cntys IL Cmnty Consolidated Sch Dist #181 Hinsdale Ref Sch, Ser B | 3.00% | 05/01/24 | 498,170 | ||||
450,000 | DuPage Cnty IL High Sch Dist #88 Ref | 4.00% | 01/15/24 | 450,920 | ||||
180,000 | IL St Fin Auth Hlth Svcs Facs Lease Rev Univ of IL Hlth Svcs Fac Proj | 5.00% | 10/01/23 | 180,317 | ||||
250,000 | IL St Fin Auth Hlth Svcs Facs Lease Rev Univ of IL Hlth Svcs Fac Proj | 5.00% | 10/01/24 | 253,030 | ||||
530,000 | IL St Fin Auth Rev Ref Ann & Robert H Lurie Childrens Hosp | 5.00% | 08/15/23 | 530,288 | ||||
500,000 | IL St Fin Auth Rev Ref Ascension Hlth Credit Grp, Ser C | 5.00% | 02/15/24 | 504,040 | ||||
500,000 | IL St Fin Auth Rev Var Ref Northwestern Memorial Hlthcare, Ser C (a) | 4.43% | 07/15/55 | 500,000 | ||||
625,000 | IL St Hsg Dev Auth Mf Hsg Rev Var S Shore (Mandatory put 06/01/25) | 4.00% | 06/01/26 | 625,151 | ||||
1,500,000 | IL St Hsg Dev Auth Rev Var Social Bonds, Ser H (Mandatory put 12/01/23) | 3.47% | 10/01/53 | 1,495,961 | ||||
100,000 | IL St Ref | 4.00% | 08/01/25 | 100,009 | ||||
1,000,000 | IL St Ref, Ser C | 4.00% | 03/01/24 | 1,002,099 | ||||
2,090,000 | IL St, Ser D | 5.00% | 11/01/24 | 2,126,203 | ||||
1,240,000 | McLean & Woodford Cntys IL Cmnty Unit Sch Dist #5 Ref, Ser A | 4.00% | 12/01/23 | 1,241,517 | ||||
1,805,000 | Mount Vernon IL Ref, BAM | 4.00% | 12/15/23 | 1,808,067 | ||||
2,500,000 | Schaumburg IL Ref | 4.00% | 12/01/23 | 2,501,989 | ||||
840,000 | Schaumburg IL Ref | 4.00% | 12/01/24 | 843,335 | ||||
17,919,636 | ||||||||
Indiana – 2.3% | ||||||||
3,500,000 | IN St Fin Auth Envrnmntl Rev Var Ref Fulcrum Centerpoint LLC Proj, AMT (Mandatory put 11/15/23) | 4.50% | 12/15/46 | 3,493,131 | ||||
275,000 | IN St Muni Pwr Agy Ref, Ser A | 5.00% | 01/01/24 | 276,848 | ||||
2,325,000 | Johnson Cnty IN | 5.50% | 12/31/23 | 2,340,935 | ||||
6,110,914 | ||||||||
Iowa – 0.4% | ||||||||
1,000,000 | IA St Fin Auth Sol Wst Facs Rev Var Green Bond Gevo Nw Rng LLC Renewable Natrl Gas Proj, AMT (Mandatory put 04/01/24) | 1.50% | 01/01/42 | 977,106 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Kansas – 1.8% | ||||||||
$150,000 | Burlington KS Envrn Impt Rev Ref Kansas City Pwr & Light Co Proj Remk, Ser A | 2.95% | 12/01/23 | $149,510 | ||||
1,500,000 | KS St Dept of Transprtn Hwy Rev Ref, Ser A | 2.75% | 09/01/23 | 1,498,180 | ||||
3,000,000 | Leawood KS Temp Nts, Ser 1 | 3.00% | 09/01/23 | 2,998,048 | ||||
320,000 | Wichita KS Hlthcare Facs Rev Ref & Impt Larksfield Place, Ser III (Pre-refunded maturity 12/15/23) | 5.50% | 12/15/25 | 322,198 | ||||
4,967,936 | ||||||||
Kentucky – 6.7% | ||||||||
1,400,000 | KY St Econ Dev Fin Auth Sol Wst Disp Rev Ref Rep Svcs Inc Pj Remk, Ser B (Mandatory put 09/01/23) | 3.80% | 04/01/31 | 1,399,897 | ||||
505,000 | KY St Muni Pwr Agy Pwr Sys Rev Ref, Ser A, NATL-RE | 5.00% | 09/01/23 | 505,507 | ||||
2,500,000 | KY St Property & Bldgs Commn Rev Ref Proj #112, Ser B | 5.00% | 11/01/23 | 2,508,659 | ||||
2,500,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser C-1 | 4.00% | 12/01/23 | 2,500,756 | ||||
165,000 | KY St Pub Energy Auth Gas Sply Rev Gas Sply, Ser C-1 (Mandatory put 06/01/25) | 4.00% | 12/01/49 | 164,253 | ||||
2,500,000 | KY St Pub Energy Auth Gas Sply Rev, Ser A (Mandatory put 04/01/24) | 4.00% | 04/01/48 | 2,498,467 | ||||
1,595,000 | Louisville & Jefferson Cnty KY Met Govt Hlth Sys Rev Var Norton Hlthcare Inc, Ser B (Mandatory put 10/01/23) | 5.00% | 10/01/47 | 1,599,109 | ||||
3,455,000 | Louisville & Jefferson Cnty KY Met Swr Dist Swr & Drain Sys Sub Safe Clean Waterways, BANS | 4.00% | 10/06/23 | 3,459,083 | ||||
2,665,000 | Nthrn KY Wtr Dist Rev Ref, Ser B | 4.00% | 02/01/25 | 2,694,345 | ||||
610,000 | Univ of Louisville KY Rev, Ser B, BAM | 5.00% | 09/01/23 | 610,598 | ||||
17,940,674 | ||||||||
Louisiana – 1.4% | ||||||||
1,500,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Var American Biocarbon Ct LLC Proj Remk, AMT (Mandatory put 03/22/24) (d) | 0.00% | 12/01/46 | 1,499,569 | ||||
1,000,000 | LA St Loc Govt Envrnmntl Facs & Cmnty Dev Auth Rev Var American Biocarbon Ct LLC Proj Remk, AMT (Mandatory put 08/01/23) | 3.85% | 12/01/46 | 1,000,000 | ||||
15,000 | New Orleans LA Wtr Rev Ref (Pre-refunded maturity 12/01/24) | 5.00% | 12/01/29 | 15,347 | ||||
35,000 | New Orleans LA Wtr Rev Ref (Pre-refunded maturity 12/01/24) | 5.00% | 12/01/34 | 35,809 | ||||
280,000 | New Orleans LA Wtr Rev Ref (Pre-refunded maturity 12/01/24) | 5.00% | 12/01/44 | 286,471 | ||||
1,000,000 | Saint James Parish LA Rev Var Nustar Logistics LP Proj Remk, Ser 2011 (Mandatory put 06/01/25) (b) | 5.85% | 08/01/41 | 1,023,220 | ||||
3,860,416 | ||||||||
Maryland – 0.4% | ||||||||
925,000 | MD St Stadium Auth Rev Football Stadium Issue, Ser A | 5.00% | 03/01/25 | 949,776 | ||||
Massachusetts – 0.7% | ||||||||
250,000 | MA St Dev Fin Agy Hosp Rev Ref Cape Cod Hlthcare Oblig Grp (Pre-refunded maturity 11/15/23) | 5.25% | 11/15/41 | 251,354 | ||||
1,025,000 | MA St Dev Fin Agy Rev N Hill Cmntys, Ser A (Pre-refunded maturity 11/15/23) (b) | 6.50% | 11/15/43 | 1,033,267 | ||||
475,000 | MA St Dev Fin Agy Rev Ref Boston Med Ctr Sustainability Bonds, Ser G | 5.00% | 07/01/24 | 480,044 | ||||
1,764,665 | ||||||||
Michigan – 0.6% | ||||||||
400,000 | Great Lakes MI Wtr Auth Wtr Sply Sys Rev Junior Lien Bond, Ser B | 5.00% | 07/01/24 | 405,509 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Michigan (Continued) | ||||||||
$560,000 | MI St Hosp Fin Auth Ascension Hlth Credit Grp Remk, Ser A-4 | 5.00% | 11/01/23 | $562,079 | ||||
545,000 | Wayne Cnty MI Arpt Auth Rev Ref Junior Lien, Ser A | 5.00% | 12/01/23 | 547,472 | ||||
1,515,060 | ||||||||
Minnesota – 1.7% | ||||||||
1,260,000 | Dakota Cnty MN Cmnty Dev Agy Mf Hsg Rev REE Aster House Apts Proj Remk | 4.13% | 06/01/24 | 1,259,977 | ||||
1,000,000 | MN St Hsg Fin Agy Calvary Ctr Apartments, Ser D | 3.65% | 02/01/25 | 998,026 | ||||
1,250,000 | MN St Rural Wtr Fin Auth Pub Projs Constr Notes | 2.63% | 12/01/23 | 1,240,959 | ||||
1,000,000 | Saint Paul MN Hsg & Redev Auth Mf Hsg Rev Var Dale Street Proj (Mandatory put 06/01/24) | 3.50% | 12/01/25 | 992,582 | ||||
4,491,544 | ||||||||
Mississippi – 0.9% | ||||||||
400,000 | MS St Dev Bank Spl Oblg Jackson Wtr & Swr Sys Proj, AGM | 6.75% | 12/01/26 | 403,829 | ||||
100,000 | MS St Dev Bank Spl Oblg Jackson Wtr & Swr Sys Proj, AGM | 6.75% | 12/01/32 | 101,039 | ||||
2,000,000 | MS St Hosp Equipment & Facs Auth Ref Adj Baptist Memorial Hlth Care Corp Remk, Ser A-2 (Mandatory put 08/30/23) | 3.15% | 09/01/36 | 1,998,438 | ||||
2,503,306 | ||||||||
Missouri – 0.8% | ||||||||
625,000 | Kansas City MO Spl Oblg MO Projs, Ser A | 5.00% | 04/01/24 | 631,989 | ||||
1,500,000 | MO St Pub Util Commn Rev Nts | 4.00% | 12/01/24 | 1,502,630 | ||||
2,134,619 | ||||||||
Nebraska – 0.6% | ||||||||
150,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 | 5.00% | 01/01/24 | 150,514 | ||||
1,525,000 | Centrl Plains Energy Proj NE Gas Proj Rev Proj No. 4 (Mandatory put 01/01/24) | 5.00% | 03/01/50 | 1,530,013 | ||||
1,680,527 | ||||||||
Nevada – 1.1% | ||||||||
1,000,000 | Henderson NV Pub Impt Trust Rev Ref Touro Clg & Univ Sys Oblig Grp (Pre-refunded maturity 07/01/24) | 5.50% | 01/01/44 | 1,019,044 | ||||
1,885,000 | Yerington NV USDA Interim DEBS | 1.63% | 11/01/23 | 1,871,079 | ||||
2,890,123 | ||||||||
New Hampshire – 0.7% | ||||||||
2,000,000 | Natl Fin Auth NH Sol Wst Disp Rev Var Ref Waste Mgmt Inc Proj Remk, Ser A-3, AMT (Mandatory put 09/01/23) | 4.00% | 04/01/24 | 1,999,739 | ||||
New Jersey – 10.8% | ||||||||
3,000,000 | Dover NJ, BANS | 5.00% | 01/24/24 | 3,024,511 | ||||
2,660,000 | Hudson Cnty NJ Impt Auth Loc Unit Loan Prog, Ser B-1 | 3.00% | 08/04/23 | 2,659,863 | ||||
2,500,000 | Jersey City NJ, Ser A, BANS | 5.00% | 10/26/23 | 2,509,094 | ||||
2,694,350 | Kinnelon NJ, BANS | 4.00% | 09/29/23 | 2,695,763 | ||||
2,000,000 | Margate City NJ, BANS | 4.50% | 11/29/23 | 2,006,860 | ||||
610,000 | Newark NJ Ref, Ser A, AGM | 5.00% | 10/01/23 | 611,379 | ||||
1,170,000 | Newark NJ Ref, Ser A, AGM | 5.00% | 10/01/24 | 1,190,865 | ||||
340,000 | Newark NJ Ref, Ser B, AGM | 5.00% | 10/01/23 | 340,769 | ||||
3,000,000 | Newark NJ, Ser D, BANS | 4.00% | 09/29/23 | 3,000,631 | ||||
1,000,000 | NJ St Econ Dev Auth Ref Sch Facs Constr, Ser N-1, NATL-RE | 5.50% | 09/01/23 | 1,001,531 | ||||
630,000 | NJ St Econ Dev Auth Rev Portal N Bridge Proj NJ Transit Transprtn Proj Bonds, Ser A | 5.00% | 11/01/23 | 632,260 | ||||
1,080,000 | NJ St Econ Dev Auth Rev Ref, Ser XX | 5.00% | 06/15/24 | 1,094,094 | ||||
100,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev Sr, Ser 2015-1A, AMT | 5.00% | 12/01/24 | 101,280 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
New Jersey (Continued) | ||||||||
$255,000 | NJ St Hgr Edu Asst Auth Stdt Loan Rev, Ser B, AMT | 5.00% | 12/01/23 | $255,904 | ||||
690,000 | NJ St Transprtn Trust Fund Auth Transn Sys, Ser A | 5.50% | 12/15/23 | 694,904 | ||||
180,000 | NJ St Transprtn Trust Fund Auth Transn Sys, Ser B, AMBAC | 5.25% | 12/15/23 | 181,116 | ||||
525,000 | NJ St Transprtn Trust Fund Auth Transn Sys, Ser D | 5.00% | 12/15/23 | 527,779 | ||||
2,500,000 | Ocean City NJ, BANS | 4.50% | 10/17/23 | 2,505,524 | ||||
2,000,000 | Robbinsville Twp NJ Mercer Cnty, Ser B, BANS | 5.00% | 07/11/24 | 2,027,866 | ||||
2,000,000 | Verona Twp NJ, BANS | 5.00% | 10/26/23 | 2,007,764 | ||||
29,069,757 | ||||||||
New Mexico – 0.1% | ||||||||
300,000 | Albuquerque NM Met Arroyo Flood Control Auth | 5.00% | 08/01/23 | 300,000 | ||||
New York – 5.7% | ||||||||
2,000,000 | Batavia Town NY, BANS | 4.75% | 03/07/24 | 2,015,756 | ||||
370,000 | Met Transprtn Auth NY Rev Transprtn, Ser A-1 | 5.00% | 11/15/23 | 371,024 | ||||
1,965,000 | New York City NY Hsg Dev Corp Mf Hsg Rev Sustainable Dev Bonds Var, Ser F-2 (Mandatory put 07/01/25) | 0.60% | 05/01/61 | 1,821,775 | ||||
2,000,000 | New York NY Var Fiscal 2019, Ser D, Subser D-4 (a) | 4.48% | 12/01/47 | 2,000,000 | ||||
100,000 | NY NY, Ser C | 5.00% | 08/01/23 | 100,000 | ||||
125,000 | NY St Hsg Fin Agy Affordable Hsg, Ser E | 2.13% | 11/01/23 | 124,545 | ||||
180,000 | NY St Hsg Fin Agy Sustainability Bonds, Ser Q | 1.35% | 11/01/23 | 178,962 | ||||
175,000 | NY St Mtge Agy Rev Mtge, 55th Ser, AMT | 2.65% | 10/01/23 | 174,633 | ||||
265,000 | NY St Mtge Agy Rev, Ser 51 | 2.25% | 10/01/23 | 264,361 | ||||
1,295,000 | NY St Transprtn Dev Corp Spl Fac Rev Ref Terminal 4 JFK Intl Arpt Proj, Ser A, AMT | 5.00% | 12/01/24 | 1,313,591 | ||||
255,000 | Onondaga NY Civic Dev Corp Le Moyne Clg Proj | 5.00% | 07/01/24 | 256,840 | ||||
1,500,000 | Phelps Clifton Springs NY Centrl Sch Dist, BANS | 4.50% | 06/28/24 | 1,511,561 | ||||
1,500,000 | Triborough NY Bridge & Tunnel Auth Payroll Mobility Tax, Ser A, BANS | 5.00% | 08/15/24 | 1,524,728 | ||||
2,095,525 | Wappingers NY Centrl Sch Dist, BANS | 4.00% | 08/10/23 | 2,095,787 | ||||
1,500,000 | Waterloo NY Centrl Sch Dist, BANS | 4.50% | 06/28/24 | 1,511,168 | ||||
15,264,731 | ||||||||
North Carolina – 1.3% | ||||||||
335,000 | NC St Turnpike Auth Ref Sr Lien, AGM | 5.00% | 01/01/24 | 336,961 | ||||
3,205,000 | NC St Turnpike Auth, BANS | 5.00% | 02/01/24 | 3,228,188 | ||||
3,565,149 | ||||||||
North Dakota – 0.6% | ||||||||
1,500,000 | Cass Cnty ND Jt Wtr Res Dist, Ser A | 0.48% | 05/01/24 | 1,446,979 | ||||
50,000 | Grand Forks ND Hlthcare Sys Rev Altru Hlth System Ref | 5.00% | 12/01/23 | 50,037 | ||||
1,497,016 | ||||||||
Ohio – 3.0% | ||||||||
150,000 | Butler Cnty OH Hosp Facs Ref UC Hlth | 4.00% | 11/15/23 | 149,628 | ||||
555,000 | Cloverleaf OH Loc Sch Dist, COPS, BAM | 3.00% | 12/01/23 | 553,619 | ||||
280,000 | Montgomery Cnty OH Hosp Rev Ref Kettering Hlth Network Oblig Grp Proj | 5.00% | 08/01/23 | 280,000 | ||||
1,000,000 | NW OH Loc Sch Dist Hamilton & Butler Cntys Sch Impt (Pre-refunded maturity 12/01/23) | 5.00% | 12/01/45 | 1,005,497 | ||||
500,000 | OH St Air Quality Dev Auth Ref American Elec Pwr Company Proj Remk, Ser B, AMT (Mandatory put 10/01/24) | 2.10% | 07/01/28 | 484,224 | ||||
1,500,000 | OH St Air Quality Dev Auth Ref American Elec Pwr Company Proj Remk, Ser C, AMT (Mandatory put 10/01/24) | 2.10% | 04/01/28 | 1,452,673 | ||||
1,345,000 | OH St Hosp Fac Rev Ref Cleveland Clinic Hlth Sys, Ser A | 5.00% | 01/01/24 | 1,353,592 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Ohio (Continued) | ||||||||
$400,000 | OH St Hosp Fac Rev Ref Cleveland Clinic Hlth Sys, Ser A | 5.00% | 01/01/25 | $409,376 | ||||
2,500,000 | Plain City OH, BANS | 4.00% | 09/28/23 | 2,501,370 | ||||
8,189,979 | ||||||||
Oregon – 1.5% | ||||||||
1,360,000 | OR St Dept of Transprtn Hwy User Tax Rev Sr Lien, Ser A | 5.00% | 11/15/23 | 1,366,666 | ||||
2,500,000 | Portland OR Wtr Sys Rev Ref Second Lien, Ser B | 5.00% | 05/01/25 | 2,580,301 | ||||
3,946,967 | ||||||||
Pennsylvania – 5.4% | ||||||||
465,000 | Cmwlth Fing Auth PA Tobacco Master Stlmt Payment Rev Tobacco Master Stlmt Payment Bonds | 5.00% | 06/01/24 | 470,089 | ||||
1,250,000 | Lancaster Cnty PA Sol Wst Mgmt Auth Sol Wst Disp Rev, Ser A (Pre-refunded maturity 12/15/23) | 5.25% | 12/15/28 | 1,258,835 | ||||
1,340,000 | N Wales PA Wtr Auth Ref | 3.00% | 11/01/23 | 1,337,296 | ||||
1,500,000 | PA St Econ Dev Fing Auth Solid Waste Disposal Rev Var Ref Rep Svcs Inc Proj Remk, Ser A-2, AMT (Mandatory put 10/16/23) | 4.10% | 04/01/34 | 1,499,560 | ||||
750,000 | PA St Econ Dev Fing Auth Solid Waste Disposal Rev Var Waste Mgmt Inc Proj Remk, AMT (Mandatory put 11/01/23) | 3.88% | 08/01/45 | 750,000 | ||||
260,000 | PA St Econ Dev Fing Auth UPMC Rev Ref, Ser B | 5.00% | 05/15/24 | 262,904 | ||||
225,000 | PA St Econ Dev Fing Auth UPMC Rev, Ser A-2 | 5.00% | 05/15/24 | 227,513 | ||||
335,000 | PA St Turnpike Commn Oil Franchise Tax Rev Ref, Subser B | 4.00% | 12/01/23 | 335,653 | ||||
2,580,000 | PA St Turnpike Commn Turnpike Rev, Ser A (Forward refunding maturity 12/01/24) | 5.00% | 12/01/38 | 2,630,935 | ||||
100,000 | Philadelphia PA Gas Wks Rev Ref | 5.00% | 08/01/23 | 100,000 | ||||
1,000,000 | Philadelphia PA Redev Auth Ref Neighborhood Transform Preservation Initiative, Ser C | 5.00% | 04/15/24 | 1,012,006 | ||||
215,000 | Philadelphia PA Ref, Ser A | 5.00% | 08/01/23 | 215,000 | ||||
260,000 | Philadelphia PA Sch Dist, Ser A | 5.00% | 09/01/23 | 260,231 | ||||
500,000 | Pottsville PA Hosp Auth Hlth Ctr Rev Schuylkill Hlth Sys Proj (b) | 6.00% | 07/01/24 | 509,349 | ||||
255,000 | Riverside PA Sch Dist Ref, BAM | 3.00% | 10/15/23 | 254,585 | ||||
300,000 | Riverside PA Sch Dist Ref, BAM | 4.00% | 10/15/24 | 302,216 | ||||
275,000 | Riverside PA Sch Dist Ref, BAM | 4.00% | 10/15/25 | 278,883 | ||||
785,000 | Scranton PA Sch Dist Ref | 5.00% | 12/01/24 | 798,312 | ||||
2,000,000 | Tender Option Bond Trust Receipts / Ctfs Various States JPM Putters Xm1120, AGM (a) (b) | 4.72% | 10/01/26 | 2,000,000 | ||||
14,503,367 | ||||||||
Rhode Island – 0.6% | ||||||||
1,500,000 | RI St & Providence Plantations Ref Cons Cap Dev Ln, Ser 1 | 4.00% | 10/15/23 | 1,501,239 | ||||
South Carolina – 2.0% | ||||||||
2,500,000 | Cnty Sq Redev Corp SC Installment Pur Rev Greenville Co SC Proj, BANS | 5.00% | 02/09/24 | 2,519,540 | ||||
2,750,000 | Patriots Energy Grp Fing Agy SC Gas Sply Rev, Ser A (Mandatory put 02/01/24) | 4.00% | 10/01/48 | 2,752,440 | ||||
5,271,980 | ||||||||
Tennessee – 0.9% | ||||||||
750,000 | Johnson City TN Hlth & Eductnl Facs Brd Hosp Rev Ref Ballad Hlth, Ser A | 5.00% | 07/01/24 | 758,437 | ||||
500,000 | Memphis TN Hlth Eductnl & Hsg Fac Brd Mf Hsg Rev Var Memphis Towers Apts Proj Remk | 3.40% | 12/01/23 | 498,083 | ||||
135,000 | Met Govt Nashville & Davidson Cnty TN Hlth & Eductnl Fac Brd Trevecca Nazarene Univ Proj, Ser B | 4.00% | 10/01/23 | 134,854 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Tennessee (Continued) | ||||||||
$910,000 | TN St Energy Acq Corp Gas Rev, Ser A | 5.25% | 09/01/24 | $919,759 | ||||
2,311,133 | ||||||||
Texas – 9.9% | ||||||||
240,000 | Arlington TX Hgr Edu Fin Corp Edu Rev Kipp TX Inc | 5.00% | 08/15/23 | 240,126 | ||||
2,500,000 | Austin TX Arpt Sys Rev Ref, AMT | 5.00% | 11/15/23 | 2,507,583 | ||||
305,000 | Brazoria Cnty TX Muni Util Dist #55, BAM | 4.00% | 09/01/23 | 305,018 | ||||
1,000,000 | Dallas Fort Worth TX Intl Arpt Rev Ref, Ser A | 5.00% | 11/01/23 | 1,003,713 | ||||
1,185,000 | Dallas TX Area Rapid Transit Sales Tax Rev Ref Sr Lien | 5.00% | 12/01/25 | 1,234,456 | ||||
805,000 | Fort Bend Cnty TX Muni Util Dist #182, BAM | 5.25% | 09/01/23 | 806,040 | ||||
1,320,000 | Fort Bend TX Indep Sch Dist Var Remk, Ser A (Mandatory put 08/01/24) | 2.38% | 08/01/49 | 1,298,961 | ||||
1,555,000 | Fort Worth TX Wtr & Swr Rev Impt Ref, Ser A | 5.00% | 02/15/25 | 1,598,237 | ||||
1,265,000 | Harris Cnty TX Cultural Edu Facs Fin Corp Med Facs Rev Ref Baylor Clg of Med | 5.00% | 11/15/23 | 1,270,108 | ||||
1,000,000 | Harris Cnty TX Toll Road Rev Ref, Ser A | 5.00% | 08/15/25 | 1,037,091 | ||||
200,000 | Houston TX Ref Pub Impt, Ser A | 5.00% | 03/01/24 | 201,914 | ||||
175,000 | Houston TX Util Sys Rev Ref Comb 1st Lien, Ser D | 5.00% | 11/15/23 | 175,797 | ||||
600,000 | Houston TX Util Sys Rev Rev Ref First Lien, Ser A | 5.00% | 11/15/24 | 613,292 | ||||
700,000 | Love Field TX Arpt Modernization Corp Gen Arpt Rev, AMT | 5.00% | 11/01/24 | 708,313 | ||||
1,000,000 | Matagorda Cnty TX Nav Dist #1 Var Rev Cent Pwr & Lt Ref Remk, AMT (Mandatory put 09/01/23) | 0.90% | 05/01/30 | 996,477 | ||||
265,000 | McLendon Chisholm TX Spl Assmnt Rev Ref Sonoma Pub Impt Dt Phase 1 Proj, BAM | 4.00% | 09/15/23 | 265,046 | ||||
2,000,000 | Mission TX Econ Dev Corp Sol Wst Disp Rev Var Rep Svcs Inc Proj Remk, Ser A, AMT (Mandatory put 08/01/23) | 3.88% | 05/01/50 | 2,000,000 | ||||
420,000 | Montgomery Cnty TX Muni Util Dist #105, BAM | 4.63% | 09/01/23 | 420,301 | ||||
430,000 | Montgomery Cnty TX Muni Util Dist #105, BAM | 4.63% | 09/01/24 | 434,720 | ||||
2,355,000 | N TX Tollway Auth Rev Unrefunded Ref Sys 1st Tier, Ser A | 5.00% | 01/01/24 | 2,370,530 | ||||
130,000 | Newark Hgr Edu Fin Corp TX Edu Rev The Hughen Ctr Inc, Ser A | 4.00% | 08/15/23 | 129,997 | ||||
395,000 | Stafford TX Econ Dev Corp Sales Tax Rev Ref, BAM | 5.00% | 09/01/23 | 395,458 | ||||
865,000 | Tarrant Cnty TX Hosp Dist | 5.00% | 08/15/24 | 880,500 | ||||
875,000 | Travis Cnty TX Hsg Fin Corp Mf Hsg Rev Var Kensington Apts (Mandatory put 08/01/25) | 3.75% | 08/01/26 | 872,800 | ||||
335,000 | TX St Muni Gas Acq & Sply Corp I Gas Sply Rev Sr Lien, Ser A | 5.25% | 12/15/23 | 336,275 | ||||
575,000 | TX St Turnpike Auth Centrl TX Turnpike Sys Rev Unrefunded 1st Tier, Ser A, CABS, AMBAC | (c) | 08/15/24 | 553,701 | ||||
2,000,000 | United TX Indep Sch Dist Sch Bldg (Pre-refunded maturity 08/15/24) | 5.00% | 08/15/44 | 2,033,273 | ||||
1,870,000 | Univ of Texas TX Univ Rev Ref, Ser H | 5.00% | 08/15/23 | 1,871,051 | ||||
250,000 | Viridian TX Muni Mgmt Dist Unlimited Tax Road Impt Bonds, BAM | 4.00% | 12/01/23 | 250,281 | ||||
26,811,059 | ||||||||
Virginia – 1.0% | ||||||||
845,000 | Richmond VA Redev & Hsg Auth Mf Rev Var Townes at River South (Mandatory put 03/01/25) | 4.25% | 03/01/26 | 849,004 | ||||
175,000 | VA Clg Bldg Auth Eductnl Facs Rev Ref Regent Univ Proj | 5.00% | 06/01/24 | 175,533 | ||||
1,250,000 | VA St Clg Bldg Auth Eductnl Facs Rev 21st Century Clg & Equipment Programs, Ser A | 5.00% | 02/01/24 | 1,260,399 | ||||
385,000 | VA St Pub Bldg Auth Pub Facs Rev, Ser A | 5.00% | 08/01/23 | 385,000 | ||||
2,669,936 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
MUNICIPAL BONDS (Continued) | ||||||||
Washington – 2.2% | ||||||||
$2,430,000 | Grant Cnty WA Pub Util Dist #2 Priest Rapids Hydro Elec R Ref, Ser B, AMT (Pre-refunded maturity 07/01/24) | 5.00% | 01/01/29 | $2,459,959 | ||||
1,865,000 | King Cnty WA Rural Library Dist Ref | 4.00% | 12/01/23 | 1,869,680 | ||||
1,700,000 | WA St Hlth Care Facs Auth Ref Commonspirit Hlth, Ser B1 (Mandatory put 08/01/24) | 5.00% | 08/01/49 | 1,708,625 | ||||
6,038,264 | ||||||||
Wisconsin – 1.1% | ||||||||
1,650,000 | Fox Point & Bayside WI Jt Sch Dist #2 Prm Nts | 3.50% | 09/05/23 | 1,649,419 | ||||
410,000 | Milwaukee WI Ref Prom Nts, Ser N2 | 4.00% | 03/15/25 | 410,472 | ||||
490,000 | Milwaukee WI Ref Promissory Nts, Ser N4 | 5.00% | 04/01/24 | 493,355 | ||||
165,000 | WI St Hlth & Eductnl Facs Auth Rev Ref Saint John’s Cmntys Inc, Ser B | 3.00% | 09/15/23 | 164,678 | ||||
150,000 | WI St Hlth & Eductnl Facs Auth Rev Three Pillars Sr Living Cmntys, Ser A | 4.00% | 08/15/23 | 149,947 | ||||
2,867,871 |
Total Investments – 98.7% | 265,919,621 | ||
(Cost $266,904,197) | |||
Net Other Assets and Liabilities – 1.3% | 3,625,084 | ||
Net Assets – 100.0% | $269,544,705 |
(a) | Variable Rate Demand bond. Interest rate is reset periodically by the agent based on current market conditions. |
(b) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At July 31, 2023, securities noted as such amounted to $7,733,262 or 2.9% of net assets. |
(c) | Zero coupon bond. |
(d) | Floating or variable rate security. |
Abbreviations throughout the Portfolio of Investments: | |
AGC | Assured Guaranty Corp. |
AGM | Assured Guaranty Municipal Corp. |
AMBAC | American Municipal Bond Assurance Corp. |
AMT | Alternative Minimum Tax |
BAM | Build America Mutual |
BANS | Bond Anticipation Notes |
CABS | Capital Appreciation Bonds |
COPS | Certificates of Participation |
NATL-RE | National Public Finance Guarantee Corp. |
RANS | Revenue Anticipation Notes |
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Municipal Bonds* | $ 265,919,621 | $ — | $ 265,919,621 | $ — |
* | See Portfolio of Investments for state and territory breakout. |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | ||
ASSETS: | |||
Investments, at value | $ 418,887,230 | $ 265,919,621 | |
Cash | 4,047,757 | 2,976,527 | |
Interest receivable | 4,518,266 | 3,497,682 | |
Total Assets | 427,453,253 | 272,393,830 | |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | 1,120,816 | 2,744,418 | |
Investment advisory fees | 200,706 | 104,707 | |
Total Liabilities | 1,321,522 | 2,849,125 | |
NET ASSETS | $426,131,731 | $269,544,705 | |
NET ASSETS consist of: | |||
Paid-in capital | $ 436,519,657 | $ 270,483,299 | |
Par value | 216,000 | 135,000 | |
Accumulated distributable earnings (loss) | (10,603,926) | (1,073,594) | |
NET ASSETS | $426,131,731 | $269,544,705 | |
NET ASSET VALUE, per share | $19.73 | $19.97 | |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 21,600,002 | 13,500,002 | |
Investments, at cost | $423,852,281 | $266,904,197 |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | |||
INVESTMENT INCOME: | ||||
Interest | $ 10,743,072 | $ 7,417,429 | ||
Total investment income | 10,743,072 | 7,417,429 | ||
EXPENSES: | ||||
Investment advisory fees | 2,212,986 | 1,440,487 | ||
Total expenses | 2,212,986 | 1,440,487 | ||
Fees waived by the investment advisor | (232,733) | (208,049) | ||
Net expenses | 1,980,253 | 1,232,438 | ||
NET INVESTMENT INCOME (LOSS) | 8,762,819 | 6,184,991 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on investments | (5,127,926) | 5,122 | ||
Net change in unrealized appreciation (depreciation) on investments | 96,999 | (190,325) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (5,030,927) | (185,203) | ||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 3,731,892 | $ 5,999,788 |
First Trust Short Duration Managed Municipal ETF (FSMB) | First Trust Ultra Short Duration Municipal ETF (FUMB) | ||||||
Year Ended 7/31/2023 | Year Ended 7/31/2022 | Year Ended 7/31/2023 | Year Ended 7/31/2022 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 8,762,819 | $ 2,383,019 | $ 6,184,991 | $ 1,091,207 | |||
Net realized gain (loss) | (5,127,926) | (715,285) | 5,122 | (222,475) | |||
Net change in unrealized appreciation (depreciation) | 96,999 | (7,616,372) | (190,325) | (1,308,746) | |||
Net increase (decrease) in net assets resulting from operations | 3,731,892 | (5,948,638) | 5,999,788 | (440,014) | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Investment operations | (8,538,673) | (2,336,031) | (6,108,951) | (1,061,950) | |||
Return of capital | (113,528) | (174,270) | — | — | |||
Total distributions to shareholders | (8,652,201) | (2,510,301) | (6,108,951) | (1,061,950) | |||
SHAREHOLDER TRANSACTIONS: | |||||||
Proceeds from shares sold | 178,360,260 | 199,500,283 | 83,686,597 | 157,813,719 | |||
Cost of shares redeemed | (50,275,222) | (18,005,523) | (99,839,409) | (35,979,272) | |||
Net increase (decrease) in net assets resulting from shareholder transactions | 128,085,038 | 181,494,760 | (16,152,812) | 121,834,447 | |||
Total increase (decrease) in net assets | 123,164,729 | 173,035,821 | (16,261,975) | 120,332,483 | |||
NET ASSETS: | |||||||
Beginning of period | 302,967,002 | 129,931,181 | 285,806,680 | 165,474,197 | |||
End of period | $426,131,731 | $302,967,002 | $269,544,705 | $285,806,680 | |||
CHANGES IN SHARES OUTSTANDING: | |||||||
Shares outstanding, beginning of period | 15,100,002 | 6,200,002 | 14,300,002 | 8,200,002 | |||
Shares sold | 9,050,000 | 9,800,000 | 4,200,000 | 7,900,000 | |||
Shares redeemed | (2,550,000) | (900,000) | (5,000,000) | (1,800,000) | |||
Shares outstanding, end of period | 21,600,002 | 15,100,002 | 13,500,002 | 14,300,002 |
Year Ended July 31, | Period Ended 7/31/2019 (a) | ||||||||
2023 | 2022 | 2021 | 2020 | ||||||
Net asset value, beginning of period | $ 20.06 | $ 20.96 | $ 20.66 | $ 20.48 | $ 20.00 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.43 (b) | 0.21 | 0.27 | 0.38 | 0.34 | ||||
Net realized and unrealized gain (loss) | (0.34) | (0.88) | 0.33 | 0.22 | 0.45 | ||||
Total from investment operations | 0.09 | (0.67) | 0.60 | 0.60 | 0.79 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.41) | (0.21) | (0.27) | (0.41) | (0.31) | ||||
Return of capital | (0.01) | (0.02) | (0.03) | (0.01) | — | ||||
Total distributions | (0.42) | (0.23) | (0.30) | (0.42) | (0.31) | ||||
Net asset value, end of period | $19.73 | $20.06 | $20.96 | $20.66 | $20.48 | ||||
Total return (c) | 0.45% | (3.19)% | 2.92% | 2.98% | 3.98% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 426,132 | $ 302,967 | $ 129,931 | $ 61,967 | $ 19,454 | ||||
Ratio of total expenses to average net assets | 0.55% | 0.55% | 0.55% | 0.55% | 0.55% (d) | ||||
Ratio of net expenses to average net assets | 0.49% | 0.35% | 0.43% | 0.45% | 0.45% (d) | ||||
Ratio of net investment income (loss) to average net assets | 2.18% | 1.14% | 1.33% | 2.00% | 2.23% (d) | ||||
Portfolio turnover rate (e) | 50% | 35% | 16% | 58% | 66% |
(a) | Inception date is November 1, 2018, which is consistent with the commencement of operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived by the investment advisor. |
(d) | Annualized. |
(e) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
Year Ended July 31, | Period Ended 7/31/2019 (a) | ||||||||
2023 | 2022 | 2021 | 2020 | ||||||
Net asset value, beginning of period | $ 19.99 | $ 20.18 | $ 20.16 | $ 20.10 | $ 20.00 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.39 (b) | 0.10 | 0.12 | 0.25 | 0.26 | ||||
Net realized and unrealized gain (loss) | (0.03) | (0.19) | 0.02 | 0.07 | 0.09 | ||||
Total from investment operations | 0.36 | (0.09) | 0.14 | 0.32 | 0.35 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.38) | (0.10) | (0.12) | (0.26) | (0.25) | ||||
Net realized gain | — | — | — | (0.00) (c) | — | ||||
Return of capital | — | — | — | (0.00) (c) | — | ||||
Total distributions | (0.38) | (0.10) | (0.12) | (0.26) | (0.25) | ||||
Net asset value, end of period | $19.97 | $19.99 | $20.18 | $20.16 | $20.10 | ||||
Total return (d) | 1.83% | (0.45)% | 0.72% | 1.61% | 1.75% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 269,545 | $ 285,807 | $ 165,474 | $ 83,661 | $ 20,098 | ||||
Ratio of total expenses to average net assets | 0.45% | 0.45% | 0.45% | 0.45% | 0.45% (e) | ||||
Ratio of net expenses to average net assets | 0.39% | 0.25% | 0.26% | 0.35% | 0.35% (e) | ||||
Ratio of net investment income (loss) to average net assets | 1.93% | 0.56% | 0.61% | 1.20% | 1.73% (e) | ||||
Portfolio turnover rate (f) | 121% | 79% | 44% | 149% | 145% |
(a) | Inception date is November 1, 2018, which is consistent with the commencement of operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | Amount is less than $0.01. |
(d) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived by the investment advisor. |
(e) | Annualized. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer; |
5) | the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; and |
10) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Distributions paid from Tax-Exempt Income | Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | ||||
First Trust Short Duration Managed Municipal ETF | $ 8,494,392 | $ 44,281 | $ — | $$ 113,528 | |||
First Trust Ultra Short Duration Municipal ETF | 6,076,905 | 32,046 | — | — |
Distributions paid from Tax-Exempt Income | Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | ||||
First Trust Short Duration Managed Municipal ETF | $ 2,331,384 | $ 4,647 | $ — | $ 174,270 | |||
First Trust Ultra Short Duration Municipal ETF | 1,060,324 | 1,626 | — | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust Short Duration Managed Municipal ETF | $ — | $ (5,939,838) | $ (4,664,088) | ||
First Trust Ultra Short Duration Municipal ETF | 51,846 | (211,433) | (914,007) |
Non-Expiring Capital Loss Carryforward | |
First Trust Short Duration Managed Municipal ETF | $ 5,939,838 |
First Trust Ultra Short Duration Municipal ETF | 211,433 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | |||
First Trust Short Duration Managed Municipal ETF | $ (5,036) | $ 5,036 | $ — | ||
First Trust Ultra Short Duration Municipal ETF | (3,590) | 3,590 | — |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
First Trust Short Duration Managed Municipal ETF | $ 423,551,318 | $ 823,076 | $ (5,487,164) | $ (4,664,088) | |||
First Trust Ultra Short Duration Municipal ETF | 266,833,628 | 72,631 | (986,638) | (914,007) |
Breakpoints | FSMB | FUMB | |||||||
Fund net assets up to and including $2.5 billion | 0.55000% | 0.45000% | |||||||
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.53625% | 0.43875% | |||||||
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.52250% | 0.42750% | |||||||
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.50875% | 0.41625% | |||||||
Fund net assets greater than $10 billion | 0.49500% | 0.40500% |
Purchases | Sales | ||
First Trust Short Duration Managed Municipal ETF | $ 329,727,080 | $ 187,689,338 | |
First Trust Ultra Short Duration Municipal ETF | 324,156,783 | 279,612,803 | |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img49f943595.jpg)
Tax-Exempt Interest Dividends | Alternative Minimum Tax (AMT) | ||
First Trust Short Duration Managed Municipal ETF | 99.48% | 15.80% | |
First Trust Ultra Short Duration Municipal ETF | 99.48% | 16.62% |
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) | 238 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 238 | 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) | 238 | 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 of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 238 | 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) | 238 | 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) | 238 | 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) |
Derek D. Maltbie (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 to present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 to 2021. |
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). |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img7141e1c71.jpg)
FUND ACCOUNTANT &
TRANSFER AGENT
PUBLIC ACCOUNTING FIRM
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/imgd7a2ef221.jpg)
For the Year Ended
July 31, 2023
1 | |
2 | |
4 | |
8 | |
9 | |
11 | |
12 | |
13 | |
14 | |
15 | |
21 | |
22 | |
29 | |
31 |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/imga278ee602.jpg)
Performance | |||
Average Annual Total Returns | Cumulative Total Returns | ||
1 Year Ended 7/31/23 | Inception (2/4/20) to 7/31/23 | Inception (2/4/20) to 7/31/23 | |
Fund Performance | |||
NAV | 1.17% | 0.34% | 1.17% |
Market Price | 0.87% | 0.26% | 0.92% |
Index Performance | |||
Credit Suisse Merger Arbitrage Liquid Index(1) | 4.17% | 3.29% | 11.93% |
S&P 500® Index | 13.02% | 11.76% | 47.32% |
(1) | Effective as of August 1, 2023, the Credit Suisse Merger Arbitrage Liquid Index replaced the Hedge Fund Research Merger Arbitrage Index, which is no longer available for use by the Fund. |
Portfolio Sector Allocation | % of Total Investments - Long Positions |
Health Care | 29.1% |
Financials | 17.7 |
Industrials | 10.2 |
Information Technology | 9.7 |
Energy | 9.6 |
Communication Services | 9.2 |
Consumer Staples | 7.6 |
Consumer Discretionary | 6.9 |
Total | 100.0% |
Portfolio Sector Allocation | % of Total Investments Sold Short |
Energy | 66.3% |
Financials | 33.7 |
Real Estate | 0.0* |
Total | 100.0% |
* | Amount is less than 0.1%. |
Top Ten Investments - Long Positions | % of Net Assets |
Focus Financial Partners, Inc., Class A | 6.2% |
Horizon Therapeutics PLC | 5.4 |
Albertsons Cos., Inc., Class A | 5.3 |
Syneos Health, Inc. | 5.0 |
Amedisys, Inc. | 4.5 |
Univar Solutions, Inc. | 4.1 |
ForgeRock, Inc., Class A | 3.8 |
Radius Global Infrastructure, Inc. | 3.8 |
Magellan Midstream Partners, L.P. | 3.6 |
Argo Group International Holdings Ltd. | 3.5 |
Total | 45.2% |
Top Investments Sold Short | % of Net Assets |
Exxon Mobil Corp. | -3.2% |
Provident Financial Services, Inc. | -2.9 |
ONEOK, Inc. | -2.5 |
Extra Space Storage, Inc. | 0.0* |
Total | -8.6% |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img167ec57c3.jpg)
Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance.
Beginning Account Value February 1, 2023 | Ending Account Value July 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) | |
First Trust Merger Arbitrage ETF (MARB) | ||||
Actual | $1,000.00 | $997.30 | 1.79% | $8.86 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.92 | 1.79% | $8.95 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (February 1, 2023 through July 31, 2023), multiplied by 181/365 (to reflect the six-month period). |
Shares | Description | Value | ||
COMMON STOCKS – 66.9% | ||||
Banks – 2.8% | ||||
128,824 | Lakeland Bancorp, Inc. | $1,946,531 | ||
Biotechnology – 7.9% | ||||
43,869 | Chinook Therapeutics, Inc. (a) | 1,718,788 | ||
36,894 | Horizon Therapeutics PLC (a) (b) | 3,699,361 | ||
5,418,149 | ||||
Capital Markets – 6.2% | ||||
81,198 | Focus Financial Partners, Inc., Class A (a) (b) | 4,249,091 | ||
Consumer Staples Distribution & Retail – 5.4% | ||||
169,889 | Albertsons Cos., Inc., Class A (b) | 3,691,688 | ||
Diversified Telecommunication Services – 3.8% | ||||
174,929 | Radius Global Infrastructure, Inc., Class A (a) | 2,608,191 | ||
Electronic Equipment, Instruments & Components – 3.1% | ||||
35,878 | National Instruments Corp. | 2,116,802 | ||
Health Care Providers & Services – 4.5% | ||||
34,134 | Amedisys, Inc. (a) | 3,100,733 | ||
Household Durables – 2.0% | ||||
34,698 | iRobot Corp. (a) (b) | 1,387,920 | ||
Insurance – 3.5% | ||||
81,725 | Argo Group International Holdings Ltd. (b) | 2,427,232 | ||
Life Sciences Tools & Services – 5.0% | ||||
81,691 | Syneos Health, Inc. (a) | 3,464,515 | ||
Machinery – 3.1% | ||||
38,236 | CIRCOR International, Inc. (a) | 2,129,745 | ||
Media – 2.7% | ||||
111,742 | TEGNA, Inc. (b) | 1,888,440 | ||
Oil, Gas & Consumable Fuels – 3.1% | ||||
24,681 | Denbury, Inc. (a) | 2,169,707 | ||
Pharmaceuticals – 3.1% | ||||
45,854 | DICE Therapeutics, Inc. (a) | 2,155,138 | ||
Software – 3.8% | ||||
126,635 | ForgeRock, Inc., Class A (a) (b) | 2,615,013 | ||
Specialty Retail – 2.8% | ||||
65,421 | Franchise Group, Inc. | 1,946,929 |
Shares | Description | Value | ||
Trading Companies & Distributors – 4.1% | ||||
78,305 | Univar Solutions, Inc. (a) | $2,829,943 | ||
Total Common Stocks | 46,145,767 | |||
(Cost $47,556,232) | ||||
Units | Description | Value | ||
MASTER LIMITED PARTNERSHIPS – 3.6% | ||||
Oil, Gas & Consumable Fuels – 3.6% | ||||
37,744 | Magellan Midstream Partners, L.P. | 2,501,295 | ||
(Cost $2,442,241) | ||||
Shares | Description | Value | ||
REAL ESTATE INVESTMENT TRUSTS – 2.9% | ||||
Specialized REITs – 2.9% | ||||
14,372 | Extra Space Storage, Inc. | 2,005,900 | ||
(Cost $2,139,757) | ||||
RIGHTS – 0.0% | ||||
Pharmaceuticals – 0.0% | ||||
7,137 | Contra Abiomed, Inc., expiring December 31, 2029 (a) (c) (d) (e) | 0 | ||
(Cost $0) | ||||
Total Investments – 73.4% | 50,652,962 | |||
(Cost $52,138,230) | ||||
COMMON STOCKS SOLD SHORT – (8.6)% | ||||
Banks – (2.9)% | ||||
(107,160) | Provident Financial Services, Inc. | (1,986,746) | ||
Oil, Gas & Consumable Fuels – (5.7)% | ||||
(20,789) | Exxon Mobil Corp. | (2,229,413) | ||
(25,176) | ONEOK, Inc. | (1,687,799) | ||
(3,917,212) | ||||
Total Common Stocks Sold Short | (5,903,958) | |||
(Proceeds $6,259,226) | ||||
REAL ESTATE INVESTMENT TRUSTS SOLD SHORT – (2.9)% | ||||
Specialized REITs – (2.9)% | ||||
(14,374) | Extra Space Storage, Inc. | (2,006,179) | ||
(Proceeds $2,168,009) | ||||
Total Investments Sold Short – (11.5)% | (7,910,137) | |||
(Proceeds $8,427,235) | ||||
Net Other Assets and Liabilities – 38.1% | 26,251,899 | |||
Net Assets – 100.0% | $68,994,724 |
(a) | Non-income producing security. |
(b) | This security or a portion of this security is segregated as collateral for investments sold short. At July 31, 2023, the segregated value of these securities amounts to $12,780,602. |
(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 July 31, 2023, securities noted as such are valued at $0 or 0.0% 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). |
ASSETS TABLE | ||||
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 46,145,767 | $ 46,145,767 | $ — | $ — |
Master Limited Partnerships* | 2,501,295 | 2,501,295 | — | — |
Real Estate Investment Trusts* | 2,005,900 | 2,005,900 | — | — |
Rights* | —** | — | — | —** |
Total Investments | $ 50,652,962 | $ 50,652,962 | $— | $—** |
LIABILITIES TABLE | ||||
Total Value at 7/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks Sold Short* | $ (5,903,958) | $ (5,903,958) | $ — | $ — |
Real Estate Investment Trusts Sold Short* | (2,006,179) | (2,006,179) | — | — |
Total Investments | $ (7,910,137) | $ (7,910,137) | $— | $— |
* | See Portfolio of Investments for industry breakout. |
** | Investment is valued at $0. |
ASSETS: | |
Investments, at value | $ 50,652,962 |
Cash | 9,781,193 |
Restricted Cash | 13,651,696 |
Receivables: | |
Investment securities sold | 2,864,446 |
Margin interest rebate | 38,189 |
Dividends | 20,978 |
Total Assets | 77,009,464 |
LIABILITIES: | |
Investments sold short, at value (proceeds $8,427,235) | 7,910,137 |
Payables: | |
Investment advisory fees | 80,560 |
Dividends on investments sold short | 24,043 |
Total Liabilities | 8,014,740 |
NET ASSETS | $68,994,724 |
NET ASSETS consist of: | |
Paid-in capital | $ 69,193,033 |
Par value | 34,500 |
Accumulated distributable earnings (loss) | (232,809) |
NET ASSETS | $68,994,724 |
NET ASSET VALUE, per share | $20.00 |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | 3,450,002 |
Investments, at cost | $52,138,230 |
INVESTMENT INCOME: | ||
Interest | $ 1,073,760 | |
Dividends | 1,015,497 | |
Margin interest rebate | 398,345 | |
Other | 200 | |
Total investment income | 2,487,802 | |
EXPENSES: | ||
Investment advisory fees | 1,046,930 | |
Dividend expense on investments sold short | 461,144 | |
Total expenses | 1,508,074 | |
NET INVESTMENT INCOME (LOSS) | 979,728 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments | 852,867 | |
In-kind redemptions | (242,502) | |
Investments sold short | 141,374 | |
Net realized gain (loss) | 751,739 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | (1,836,720) | |
Investments sold short | 687,613 | |
Net change in unrealized appreciation (depreciation) | (1,149,107) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (397,368) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 582,360 |
Year Ended 7/31/2023 | Year Ended 7/31/2022 | ||
OPERATIONS: | |||
Net investment income (loss) | $ 979,728 | $ (171,542) | |
Net realized gain (loss) | 751,739 | 237,811 | |
Net change in unrealized appreciation (depreciation) | (1,149,107) | 381,649 | |
Net increase (decrease) in net assets resulting from operations | 582,360 | 447,918 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations | (1,115,075) | — | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold | 80,588,123 | 41,694,635 | |
Cost of shares redeemed | (55,091,737) | (8,863,931) | |
Net increase (decrease) in net assets resulting from shareholder transactions | 25,496,386 | 32,830,704 | |
Total increase (decrease) in net assets | 24,963,671 | 33,278,622 | |
NET ASSETS: | |||
Beginning of period | 44,031,053 | 10,752,431 | |
End of period | $68,994,724 | $44,031,053 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period | 2,200,002 | 550,002 | |
Shares sold | 4,000,000 | 2,100,000 | |
Shares redeemed | (2,750,000) | (450,000) | |
Shares outstanding, end of period | 3,450,002 | 2,200,002 |
Year Ended | Period Ended 7/31/2020 (a) | ||||||
7/31/2023 | 7/31/2022 | 7/31/2021 | |||||
Net asset value, beginning of period | $ 20.01 | $ 19.55 | $ 19.46 | $ 20.01 | |||
Income from investment operations: | |||||||
Net investment income (loss) | 0.23 (b) | (0.24) (b) | (0.26) | (0.07) | |||
Net realized and unrealized gain (loss) | 0.01 (c) | 0.70 | 0.35 | (0.48) | |||
Total from investment operations | 0.24 | 0.46 | 0.09 | (0.55) | |||
Distributions paid to shareholders from: | |||||||
Net investment income | (0.15) | — | — | — | |||
Net realized gain | (0.10) | — | — | — | |||
Total distributions | (0.25) | — | — | — | |||
Net asset value, end of period | $20.00 | $20.01 | $19.55 | $19.46 | |||
Total return (d) | 1.17% | 2.35% | 0.46% | (2.75)% | |||
Ratios to average net assets/supplemental data: | |||||||
Net assets, end of period (in 000’s) | $ 68,995 | $ 44,031 | $ 10,752 | $ 12,649 | |||
Ratio of total expenses to average net assets | 1.80% | 1.87% | 2.23% | 2.30% (e) | |||
Ratio of total expenses to average net assets excluding dividend expense and margin interest expense | 1.25% | 1.25% | 1.25% | 1.25% (e) | |||
Ratio of net investment income (loss) to average net assets | 1.17% | (1.23)% | (1.15)% | (1.71)% (e) | |||
Portfolio turnover rate (f) | 367% | 246% | 280% | 137% |
(a) | Inception date is February 4, 2020, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Based on average shares outstanding. |
(c) | The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments. |
(d) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(e) | Annualized. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
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: | 2023 |
Ordinary income | $1,115,075 |
Capital gains | — |
Return of capital | — |
Undistributed ordinary income | $832,373 |
Accumulated capital and other gain (loss) | — |
Net unrealized appreciation (depreciation) | (1,065,182) |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | ||
$(31,408) | $297,417 | $(266,009) |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$43,808,007 | $1,294,854 | $(2,360,036) | $(1,065,182) |
Breakpoints | |||||||
Fund net assets up to and including $2.5 billion | 1.25000% | ||||||
Fund net assets greater than $2.5 billion up to and including $5 billion | 1.21875% | ||||||
Fund net assets greater than $5 billion up to and including $7.5 billion | 1.18750% | ||||||
Fund net assets greater than $7.5 billion up to and including $10 billion | 1.15625% | ||||||
Fund net assets greater than $10 billion | 1.12500% |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/img4308ee754.jpg)
Dividends Received Deduction | Qualified Dividend Income | |
41.23% | 41.23% |
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) | 238 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 238 | 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) | 238 | 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 of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | 238 | 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) | 238 | 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) | 238 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since Inception | Managing Director and Chief Financial Officer, 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) |
Derek D. Maltbie (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 to present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 to 2021. |
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). |
![](https://capedge.com/proxy/N-CSR/0001445546-23-006288/imgd7a2ef221.jpg)
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 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 $292,000 for the fiscal year ended July 31, 2022 and $296,000 for the fiscal year ended July 31, 2023.
(b) Audit-Related Fees (Registrant) -- The aggregate fees billed for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended July 31, 2022 and $0 for the fiscal year ended July 31, 2023.
Audit-Related Fees (Investment Advisor and Distributor) -- The aggregate fees billed for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended July 31, 2022 and $0 for the fiscal year ended July 31, 2023.
(c) Tax Fees (Registrant) -- The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $130,825 for the fiscal year ended July 31, 2022 and $92,114 for the fiscal year ended July 31, 2023. These fees were for tax consultation and/or tax return preparation and professional services rendered for PFIC (Passive Foreign Investment Company) Identification Services.
Tax Fees (Investment Advisor and Distributor) -- The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant’s advisor and distributor were $0 for the fiscal year ended July 31, 2022 and $0 for the fiscal year ended July 31, 2023.
(d) All Other Fees (Registrant) -- The aggregate fees billed for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended July 31, 2022 and $0 for the fiscal year ended July 31, 2023.
All Other Fees (Investment Advisor and Distributor) -- The aggregate fees billed for products and services provided by the principal accountant to the registrant’s investment advisor and distributor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended July 31, 2022 and $0 for the fiscal year ended July 31, 2023.
(e)(1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the “Committee”) is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent auditor’s engagements for non-audit services with the registrant’s advisor (not including a sub-advisor whose role is primarily portfolio management and is sub-contracted or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant’s advisor (other than any sub-advisor whose role is primarily portfolio management and is sub-contracted with or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor’s independence.
(e)(2) The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant’s investment advisor and distributor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows:
Registrant: | Advisor and Distributor: | |||
(b) 0% | (b) 0% | |||
(c) 0% | (c) 0% | |||
(d) 0% | (d) 0% |
(f) The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent.
(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant for the fiscal year ended July 31, 2022 were $130,825 for the registrant, $16,500 for the registrant’s investment advisor and $29,500 for the registrant’s distributor and for the fiscal year ended July 31, 2023 were $92,114 for the registrant, $31,000 for the registrant’s investment advisor and $45,500 for the registrant’s distributor.
(h) The registrant’s audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
(i) Not applicable.
(j) Not applicable.
Items 5. Audit Committee of Listed Registrants.
The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The audit committee of the registrant is comprised of Richard E. Erickson, Thomas R. Kadlec, Denise M. Keefe, Robert F. Keith and Niel B. Nielson.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407 (c) (2) (iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22 (b) (15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Exchange-Traded Fund III |
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | October 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: | October 6, 2023 |
By (Signature and Title)* | /s/ Derek D. Maltbie | |
Derek D. Maltbie, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | October 6, 2023 |
* Print the name and title of each signing officer under his or her signature.