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: 811-04015
Eaton Vance Mutual Funds Trust
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Deidre E. Walsh
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
September 30
Date of Fiscal Year End
March 31, 2022
Date of Reporting Period
Item 1. Reports to Stockholders
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 11/17/2009 | 11/17/2009 | (5.48)% | (2.73)% | 3.16% | 3.46% |
Class A with 4.75% Maximum Sales Charge | — | — | (10.00) | (7.38) | 2.17 | 2.96 |
Class C at NAV | 11/17/2009 | 11/17/2009 | (5.75) | (3.38) | 2.39 | 2.84 |
Class C with 1% Maximum Sales Charge | — | — | (6.68) | (4.32) | 2.39 | 2.84 |
Class I at NAV | 11/17/2009 | 11/17/2009 | (5.28) | (2.41) | 3.42 | 3.72 |
Bloomberg U.S. Aggregate Bond Index | — | — | (5.92)% | (4.15)% | 2.14% | 2.24% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
Gross | 0.82% | 1.57% | 0.57% |
Net | 0.74 | 1.49 | 0.49 |
Asset Allocation (% of total investments) |
Credit Quality (% of bond holdings)* |
* | For purposes of the Fund’s rating restrictions, ratings are based on Moody’s Investors Service, Inc. (“Moody’s”), S&P Global Ratings (“S&P”) or Fitch Ratings (“Fitch”), as applicable. If securities are rated differently by the ratings agencies, the highest rating is applied. Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of a bond based on the issuer’s creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P’s measures. Ratings of BBB or higher by S&P or Fitch (Baa or higher by Moody’s) are considered to be investment-grade quality. Credit ratings are based largely on the ratings agency’s analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer’s current financial condition and does not necessarily reflect its assessment of the volatility of a security’s market value or of the liquidity of an investment in the security. Holdings designated as “Not Rated” (if any) are not rated by the national ratings agencies stated above. |
1 | Bloomberg U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase.Effective May 1, 2015, the Fund changed its investment objective and policies. Prior to May 1, 2015, the Fund invested primarily in Build America Bonds. Performance prior to May 1, 2015 reflects the Fund’s performance under its former investment objective and policies. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/23. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (10/1/21) | Ending Account Value (3/31/22) | Expenses Paid During Period* (10/1/21 – 3/31/22) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 945.20 | $3.59** | 0.74% |
Class C | $1,000.00 | $ 942.50 | $7.22** | 1.49% |
Class I | $1,000.00 | $ 947.20 | $2.38** | 0.49% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,021.24 | $3.73** | 0.74% |
Class C | $1,000.00 | $1,017.50 | $7.49** | 1.49% |
Class I | $1,000.00 | $1,022.49 | $2.47** | 0.49% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2021. |
** | Absent an allocation of certain expenses to an affiliate, expenses would be higher. |
Asset-Backed Securities — 16.1% |
Security | Principal Amount (000s omitted) | Value | |
Aaset Trust, Series 2019-2, Class B, 4.458%, 10/16/39(1) | $ | 3,084 | $ 2,077,068 |
ARI Fleet Lease Trust, Series 2018-B, Class A2, 3.22%, 8/16/27(1) | 6 | 5,694 | |
Avant Credit Card Master Trust, Series 2021-1A, Class A, 1.37%, 4/15/27(1) | 1,450 | 1,379,189 | |
Avant Loans Funding Trust, Series 2021-REV1, Class D, 4.30%, 7/15/30(1) | 5,213 | 4,956,824 | |
Business Jet Securities, LLC, Series 2020-1A, Class A, 2.981%, 11/15/35(1) | 923 | 890,682 | |
Chase Auto Credit Linked Notes: | |||
Series 2021-3, Class D, 1.009%, 2/26/29(1) | 992 | 962,818 | |
Series 2021-3, Class E, 2.102%, 2/26/29(1) | 583 | 569,203 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 5,992 | 5,966,567 | |
Cologix Canadian Issuer L.P., Series 2022-1CAN, Class C, 7.74%, 1/25/52(1)(2) | 2,800 | 2,171,554 | |
Cologix Data Centers US Issuer, LLC: | |||
Series 2021-1A, Class B, 3.79%, 12/26/51(1) | 4,300 | 4,151,226 | |
Series 2021-1A, Class C, 5.99%, 12/26/51(1) | 2,900 | 2,770,918 | |
Conn's Receivables Funding, LLC: | |||
Series 2020-A, Class C, 4.20%, 6/16/25(1) | 552 | 548,017 | |
Series 2021-A, Class B, 2.87%, 5/15/26(1) | 4,030 | 3,914,799 | |
Series 2021-A, Class C, 4.59%, 5/15/26(1) | 7,500 | 7,106,795 | |
Diamond Infrastructure Funding, LLC, Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 992 | 927,094 | |
Driven Brands Funding, LLC, Series 2019-2A, Class A2, 3.981%, 10/20/49(1) | 3,216 | 3,114,862 | |
ExteNet LLC: | |||
Series 2019-1A, Class A2, 3.204%, 7/26/49(1) | 2,475 | 2,455,786 | |
Series 2019-1A, Class B, 4.14%, 7/26/49(1) | 3,502 | 3,483,584 | |
Series 2019-1A, Class C, 5.219%, 7/26/49(1) | 3,040 | 3,042,768 | |
Falcon Aerospace, Ltd.: | |||
Series 2019-1, Class B, 4.791%, 9/15/39(1) | 4,067 | 3,358,490 | |
Series 2019-1, Class C, 6.656%, 9/15/39(1) | 2,856 | 2,079,226 | |
FOCUS Brands Funding, LLC, Series 2017-1A, Class A2IB, 3.857%, 4/30/47(1) | 2,757 | 2,721,391 | |
Foundation Finance Trust, Series 2017-1A, Class A, 3.30%, 7/15/33(1) | 44 | 44,455 | |
Hertz Vehicle Financing, LLC, Series 2021-1A, Class D, 3.98%, 12/26/25(1) | 5,000 | 4,681,045 | |
Horizon Aircraft Finance II, Ltd., Series 2019-1, Class A, 3.721%, 7/15/39(1) | 2,026 | 1,809,991 | |
LL ABS Trust, Series 2020-1A, Class A, 2.33%, 1/17/28(1) | 33 | 32,990 | |
Lunar Aircraft, Ltd.: | |||
Series 2020-1A, Class B, 4.335%, 2/15/45(1) | 656 | 554,102 |
Security | Principal Amount (000s omitted) | Value | |
Lunar Aircraft, Ltd.: (continued) | |||
Series 2020-1A, Class C, 6.413%, 2/15/45(1) | $ | 285 | $ 221,159 |
Mosaic Solar Loan Trust: | |||
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 2,186 | 2,123,679 | |
Series 2020-1A, Class C, 4.47%, 4/20/46(1) | 467 | 468,345 | |
MVW, LLC, Series 2020-1A, Class A, 1.74%, 10/20/37(1) | 324 | 313,600 | |
Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 2,486 | 2,339,813 | |
NRZ Excess Spread-Collateralized Notes: | |||
Series 2021-FHT1, Class A, 3.104%, 7/25/26(1) | 554 | 524,594 | |
Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 4,853 | 4,679,169 | |
Oportun Issuance Trust, Series 2021-B, Class C, 3.65%, 5/8/31(1) | 496 | 482,927 | |
Pagaya AI Debt Selection Trust: | |||
Series 2021-2, 3.00%, 1/25/29(1) | 1,820 | 1,780,663 | |
Series 2021-3, Class C, 3.27%, 5/15/29(1) | 5,900 | 5,585,083 | |
Series 2021-5, Class C, 3.93%, 8/15/29(1) | 4,320 | 3,940,180 | |
Planet Fitness Master Issuer, LLC, Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 2,385 | 2,251,027 | |
PMT Issuer Trust - FMSR, Series-2021-FT1, 3.456%, (1 mo. USD LIBOR + 3.00%), 3/25/26(1)(3) | 390 | 383,435 | |
Pnmac Gmsr Issuer Trust: | |||
Series 2018-GT1, Class A, 3.307%, (1 mo. USD LIBOR + 2.85%), 2/25/23(1)(3) | 775 | 772,109 | |
Series 2018-GT2, Class A, 3.107%, (1 mo. USD LIBOR + 2.65%), 8/25/25(1)(3) | 445 | 441,003 | |
ServiceMaster Funding, LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 663 | 603,788 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 776 | 705,251 | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 3,793 | 3,820,225 | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 3,852 | 3,776,356 | |
Stack Infrastructure Issuer, LLC, Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 1,135 | 1,116,995 | |
Sunnova Helios II Issuer, LLC: | |||
Series 2019-AA, Class C, 5.32%, 6/20/46(1) | 972 | 957,892 | |
Series 2021-A, Class B, 3.15%, 2/20/48(1) | 2,188 | 1,931,375 | |
Theorem Funding Trust, Series 2021-1A, Class B, 1.84%, 12/15/27(1) | 2,461 | 2,350,862 | |
Upstart Securitization Trust, Series 2020-1, Class C, 4.899%, 4/22/30(1) | 3,872 | 3,874,168 | |
Vantage Data Centers Issuer, LLC: | |||
Series 2018-2A, Class A2, 4.196%, 11/16/43(1) | 967 | 968,355 | |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 3,088 | 2,830,217 | |
Series 2021-1A, Class A2, 2.165%, 10/15/46(1) | 3,858 | 3,605,582 |
Security | Principal Amount (000s omitted) | Value | |
Willis Engine Structured Trust V: | |||
Series 2020-A, Class B, 4.212%, 3/15/45(1) | $ | 1,598 | $ 1,380,545 |
Series 2020-A, Class C, 6.657%, 3/15/45(1) | 677 | 471,488 | |
Total Asset-Backed Securities (identified cost $128,412,532) | $120,477,023 |
Collateralized Mortgage Obligations — 4.1% |
Security | Principal Amount (000s omitted) | Value | |
Bellemeade Re, Ltd., Series 2021-2A, Class M1A, 1.299%, (30-day average SOFR + 1.20%), 6/25/31(1)(3) | $ | 3,800 | $ 3,789,458 |
Eagle Re, Ltd., Series 2021-2, Class M1B, 2.149%, (30-day average SOFR + 2.05%), 4/25/34(1)(3) | 1,500 | 1,481,255 | |
Federal Home Loan Mortgage Corp., Series 2019-HAQ2, 4.556%, (1 mo. USD LIBOR + 4.10%), 4/25/49(1)(3) | 599 | 597,973 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2019-DNA4, Class M2, 2.407%, (1 mo. USD LIBOR + 1.95%), 10/25/49(1)(3) | 442 | 443,505 | |
Series 2019-HQA3, Class B1, 3.456%, (1 mo. USD LIBOR + 3.00%), 9/25/49(1)(3) | 1,395 | 1,363,599 | |
Series 2019-HQA4, Class B1, 3.406%, (1 mo. USD LIBOR + 2.95%), 11/25/49(1)(3) | 975 | 960,469 | |
Series 2020-HQA2, Class B1, 4.556%, (1 mo. USD LIBOR + 4.10%), 3/25/50(1)(3) | 1,878 | 1,847,736 | |
$ 4,615,309 | |||
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2019-R01, Class 2B1, 4.806%, (1 mo. USD LIBOR + 4.35%), 7/25/31(1)(3) | $ | 1,390 | $ 1,400,311 |
Series 2019-R02, Class 1B1, 4.606%, (1 mo. USD LIBOR + 4.15%), 8/25/31(1)(3) | 565 | 569,281 | |
Series 2019-R02, Class 1M2, 2.757%, (1 mo. USD LIBOR + 2.30%), 8/25/31(1)(3) | 326 | 326,245 | |
Series 2019-R03, Class 1B1, 4.556%, (1 mo. USD LIBOR + 4.10%), 9/25/31(1)(3) | 1,125 | 1,137,496 | |
Series 2019-R05, Class 1M2, 2.457%, (1 mo. USD LIBOR + 2.00%), 7/25/39(1)(3) | 17 | 17,229 | |
Series 2019-R06, Class 2B1, 4.207%, (1 mo. USD LIBOR + 3.75%), 9/25/39(1)(3) | 5,851 | 5,722,791 | |
Series 2019-R07, Class 1B1, 3.856%, (1 mo. USD LIBOR + 3.40%), 10/25/39(1)(3) | 3,081 | 2,984,804 | |
Series 2020-R02, Class 2B1, 3.456%, (1 mo. USD LIBOR + 3.00%), 1/25/40(1)(3) | 1,612 | 1,484,656 | |
Series 2021-R01, Class 1B2, 6.099%, (30-day average SOFR + 6.00%), 10/25/41(1)(3) | 1,400 | 1,306,857 | |
Series 2021-R02, Class 2B1, 3.399%, (30-day average SOFR + 3.30%), 11/25/41(1)(3) | 584 | 541,682 | |
$ 15,491,352 |
Security | Principal Amount (000s omitted) | Value | |
FMC GMSR Issuer Trust: | |||
Series 2021-GT1, Class A, 3.62%, 7/25/26(1)(4) | $ | 2,285 | $ 2,146,217 |
Series 2021-GT2, Class A, 3.85%, 10/25/26(1)(4) | 1,690 | 1,567,362 | |
$ 3,713,579 | |||
Oaktown Re VI Ltd., Series 2021-1A, Class M1B, 2.149%, (30-day average SOFR + 2.05%), 10/25/33(1)(3) | $ | 1,000 | $ 1,000,177 |
Total Collateralized Mortgage Obligations (identified cost $31,576,671) | $ 30,689,103 |
Commercial Mortgage-Backed Securities — 13.7% |
Security | Principal Amount (000s omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class ENM, 3.843%, 11/5/32(1)(4) | $ | 7,255 | $ 6,322,561 |
Series 2019-BPR, Class FNM, 3.843%, 11/5/32(1)(4) | 7,215 | 5,355,786 | |
BBCMS Mortgage Trust, Series 2017-C1, Class D, 3.492%, 2/15/50(1)(4) | 3,500 | 2,988,946 | |
BX Commercial Mortgage Trust: | |||
Series 2021-VOLT, Class C, 1.497%, (1 mo. USD LIBOR + 1.10%), 9/15/36(1)(3) | 1,469 | 1,414,009 | |
Series 2021-VOLT, Class D, 2.047%, (1 mo. USD LIBOR + 1.65%), 9/15/36(1)(3) | 5,474 | 5,295,367 | |
CFCRE Commercial Mortgage Trust: | |||
Series 2016-C3, Class D, 3.052%, 1/10/48(1)(4) | 1,500 | 1,222,140 | |
Series 2016-C7, Class D, 4.548%, 12/10/54(1)(4) | 1,725 | 1,455,628 | |
CGMS Commercial Mortgage Trust, Series 2017-MDRB, Class C, 2.897%, (1 mo. USD LIBOR + 2.50%), 7/15/30(1)(3) | 1,000 | 997,321 | |
COMM Mortgage Trust: | |||
Series 2013-CR11, Class D, 5.284%, 8/10/50(1)(4) | 3,603 | 3,558,789 | |
Series 2015-CR22, Class D, 4.211%, 3/10/48(1)(4) | 2,324 | 2,190,657 | |
Credit Suisse Mortgage Trust: | |||
Series 2016-NXSR, Class D, 4.451%, 12/15/49(1)(4) | 2,000 | 1,519,756 | |
Series 2022-CNTR, Class A, 4.246%, (SOFR + 4.10%), 1/15/24(1)(3) | 3,745 | 3,647,131 | |
Extended Stay America Trust, Series 2021-ESH, Class C, 2.097%, (1 mo. USD LIBOR + 1.70%), 7/15/38(1)(3) | 3,157 | 3,117,267 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M7, 2.157%, (1 mo. USD LIBOR + 1.70%), 10/15/49(1)(3) | 257 | 251,965 | |
Series 2019-01, Class M10, 3.707%, (1 mo. USD LIBOR + 3.25%), 10/15/49(1)(3) | 3,045 | 2,890,569 | |
Series 2020-01, Class M10, 4.207%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(3) | 3,245 | 3,134,047 |
Security | Principal Amount (000s omitted) | Value | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C22, Class D, 4.703%, 9/15/47(1)(4) | $ | 1,980 | $ 1,568,350 |
Series 2014-C25, Class D, 4.086%, 11/15/47(1)(4) | 3,575 | 2,788,432 | |
Series 2015-C29, Class D, 3.697%, 5/15/48(4) | 500 | 392,475 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2011-C5, Class D, 5.923%, 8/15/46(1)(4) | 244 | 242,481 | |
Series 2013-C16, Class D, 5.008%, 12/15/46(1)(4) | 1,500 | 1,481,431 | |
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 1,384 | 408,866 | |
Morgan Stanley Bank of America Merrill Lynch Trust: | |||
Series 2016-C29, Class C, 4.886%, 5/15/49(4)(5) | 4,199 | 4,034,134 | |
Series 2016-C29, Class D, 3.00%, 5/15/49(1)(5) | 3,048 | 2,542,929 | |
Series 2016-C32, Class D, 3.396%, 12/15/49(1)(4)(5) | 5,000 | 3,865,481 | |
Morgan Stanley Capital I Trust: | |||
Series 2016-UB12, Class D, 3.312%, 12/15/49(1)(5) | 7,150 | 4,212,798 | |
Series 2019-BPR, Class B, 2.497%, (1 mo. USD LIBOR + 2.10%), 5/15/36(1)(3)(5) | 3,960 | 3,862,820 | |
Series 2019-BPR, Class C, 3.447%, (1 mo. USD LIBOR + 3.05%), 5/15/36(1)(3)(5) | 1,540 | 1,477,160 | |
Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class C, 2.597%, (1 mo. USD LIBOR + 2.20%), 6/15/35(1)(3) | 3,219 | 2,934,274 | |
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class D, 4.442%, 4/10/46(1)(4) | 2,000 | 1,589,595 | |
VMC Finance, LLC, Series 2021-HT1, Class B, 4.968%, (1 mo. USD LIBOR + 4.50%), 1/18/37(1)(3) | 8,477 | 8,243,884 | |
Wells Fargo Commercial Mortgage Trust: | |||
Series 2015-C31, Class D, 3.852%, 11/15/48 | 5,598 | 4,908,630 | |
Series 2016-C35, Class D, 3.142%, 7/15/48(1) | 2,150 | 1,719,595 | |
Series 2016-C36, Class D, 2.942%, 11/15/59(1) | 6,000 | 4,294,844 | |
WF-RBS Commercial Mortgage Trust, Series 2014-C24, Class D, 3.692%, 11/15/47(1) | 4,150 | 2,409,050 | |
ZH Trust: | |||
Series 2021-1, Class A, 2.253%, 2/18/27(1) | 2,820 | 2,786,725 | |
Series 2021-2, Class A, 2.349%, 10/17/27(1) | 1,001 | 986,867 | |
Total Commercial Mortgage-Backed Securities (identified cost $107,468,195) | $102,112,760 |
Convertible Bonds — 0.6% |
Security | Principal Amount (000s omitted) | Value | |
Semiconductors — 0.6% | |||
ams-OSRAM, 0.875%, 9/28/22(6) | $ | 4,400 | $ 4,328,126 |
Total Convertible Bonds (identified cost $4,348,146) | $ 4,328,126 |
Corporate Bonds — 34.7% |
Security | Principal Amount (000s omitted) | Value | |
Aerospace & Defense — 1.0% | |||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | $ | 3,202 | $ 3,230,514 |
5.75%, 4/20/29(1) | 812 | 810,071 | |
Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(1) | 3,106 | 3,135,208 | |
$ 7,175,793 | |||
Automotive & Auto Parts — 0.4% | |||
Tupy Overseas S.A., 4.50%, 2/16/31(1) | $ | 3,100 | $ 2,737,595 |
$ 2,737,595 | |||
Banks — 5.8% | |||
Australia & New Zealand Banking Group, Ltd., 2.95% to 7/22/25, 7/22/30(1)(7) | $ | 3,531 | $ 3,401,936 |
Banco de Chile, 2.99%, 12/9/31(1) | 1,747 | 1,614,673 | |
Banco do Brasil S.A., 3.25%, 9/30/26(1) | 2,819 | 2,716,699 | |
Banco Mercantil del Norte S.A./Grand Cayman: | |||
5.75% to 10/4/26, 10/4/31(1)(7) | 6,225 | 6,144,573 | |
7.50% to 6/27/29(1)(7)(8) | 745 | 731,903 | |
Banco Santander S.A., 4.175% to 3/24/27, 3/24/28(7) | 1,000 | 1,005,743 | |
Bank Hapoalim BM, 3.255% to 1/21/27, 1/21/32(1)(6)(7) | 2,600 | 2,405,000 | |
BankUnited, Inc., 5.125%, 6/11/30 | 1,633 | 1,685,506 | |
BBVA Bancomer S.A./Texas, 5.125% to 1/18/28, 1/18/33(1)(7) | 4,920 | 4,652,524 | |
BNP Paribas S.A., 4.625% to 2/25/31(1)(7)(8) | 914 | 818,039 | |
BPCE S.A., 3.648% to 1/14/32, 1/14/37(1)(7) | 1,518 | 1,421,316 | |
Citigroup, Inc., 3.785% to 3/17/32, 3/17/33(7) | 3,735 | 3,706,844 | |
Macquarie Group, Ltd., 2.871% to 1/14/32, 1/14/33(1)(7) | 3,071 | 2,731,945 | |
Societe Generale S.A., 4.75% to 5/26/26(1)(7)(8) | 1,175 | 1,098,625 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(7) | 3,393 | 3,314,230 | |
UBS Group AG, 4.375% to 2/10/31(1)(7)(8) | 3,315 | 3,000,075 | |
United Overseas Bank, Ltd., 3.863% to 10/7/27, 10/7/32(1)(7)(9) | 3,156 | 3,156,000 | |
$ 43,605,631 | |||
Biotechnology — 0.5% | |||
Royalty Pharma PLC Co., 3.30%, 9/2/40 | $ | 4,284 | $ 3,658,211 |
$ 3,658,211 |
Security | Principal Amount (000s omitted) | Value | |
Building and Development — 0.4% | |||
MDC Holdings, Inc., 2.50%, 1/15/31 | $ | 3,641 | $ 3,184,376 |
$ 3,184,376 | |||
Building Materials — 0.5% | |||
Builders FirstSource, Inc., 5.00%, 3/1/30(1) | $ | 3,655 | $ 3,602,003 |
$ 3,602,003 | |||
Chemicals — 0.5% | |||
Alpek SAB de CV: | |||
3.25%, 2/25/31(1) | $ | 1,600 | $ 1,461,424 |
4.25%, 9/18/29(1) | 2,490 | 2,465,361 | |
$ 3,926,785 | |||
Commercial Services — 1.0% | |||
Ashtead Capital, Inc., 4.25%, 11/1/29(1) | $ | 2,785 | $ 2,775,070 |
Block Financial, LLC, 3.875%, 8/15/30 | 2,825 | 2,779,252 | |
Western Union Co. (The), 6.20%, 11/17/36 | 2,075 | 2,269,287 | |
$ 7,823,609 | |||
Computers — 0.4% | |||
Seagate HDD Cayman, 5.75%, 12/1/34 | $ | 2,589 | $ 2,652,469 |
$ 2,652,469 | |||
Consumer Products — 0.4% | |||
Natura Cosmeticos S.A., 4.125%, 5/3/28(1) | $ | 3,007 | $ 2,901,078 |
$ 2,901,078 | |||
Diversified Financial Services — 3.7% | |||
Alliance Data Systems Corp., 4.75%, 12/15/24(1) | $ | 2,942 | $ 2,896,458 |
Alpha Holding S.A. de CV, 9.00%, 2/10/25(1)(10) | 3,125 | 195,312 | |
American AgCredit Corp., 5.25% to 6/15/26(1)(7)(8) | 1,431 | 1,416,690 | |
Banco BTG Pactual S.A./Cayman Islands, 4.50%, 1/10/25(1) | 3,500 | 3,478,492 | |
Brookfield Finance, Inc., 4.70%, 9/20/47 | 3,240 | 3,448,180 | |
CI Financial Corp.: | |||
3.20%, 12/17/30 | 3,912 | 3,570,830 | |
4.10%, 6/15/51 | 969 | 857,918 | |
Enact Holdings, Inc., 6.50%, 8/15/25(1) | 2,470 | 2,552,313 | |
KKR Group Finance Co. X, LLC, 3.25%, 12/15/51(1) | 1,250 | 1,044,442 | |
OneMain Finance Corp., 5.375%, 11/15/29 | 2,696 | 2,623,909 | |
Rocket Mortgage, LLC/Rocket Mortgage Co.-Issuer, Inc., 3.875%, 3/1/31(1) | 2,900 | 2,628,922 | |
UniCredit SpA, 5.861% to 6/19/27, 6/19/32(1)(7) | 3,017 | 2,967,770 | |
$ 27,681,236 |
Security | Principal Amount (000s omitted) | Value | |
Electric Utilities — 1.2% | |||
Calpine Corp., 3.75%, 3/1/31(1) | $ | 2,900 | $ 2,600,937 |
Edison International, 5.00% to 12/15/26(7)(8) | 2,996 | 2,819,236 | |
Engie Energia Chile S.A., 3.40%, 1/28/30(1) | 3,890 | 3,587,222 | |
$ 9,007,395 | |||
Electrical and Electronic Equipment — 0.9% | |||
Imola Merger Corp., 4.75%, 5/15/29(1) | $ | 2,995 | $ 2,888,078 |
Jabil, Inc., 3.00%, 1/15/31 | 3,969 | 3,641,635 | |
$ 6,529,713 | |||
Financial Services — 1.1% | |||
Blackstone Private Credit Fund, 4.70%, 3/24/25(1) | $ | 5,000 | $ 5,075,077 |
Carlyle Finance Subsidiary, LLC, 3.50%, 9/19/29(1) | 3,343 | 3,289,408 | |
$ 8,364,485 | |||
Foods — 1.3% | |||
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc.: | |||
3.75%, 12/1/31(1) | $ | 2,758 | $ 2,565,768 |
5.50%, 1/15/30(1) | 3,015 | 3,088,626 | |
Smithfield Foods, Inc., 5.20%, 4/1/29(1) | 4,000 | 4,201,252 | |
$ 9,855,646 | |||
Health Care — 0.4% | |||
Centene Corp.: | |||
2.50%, 3/1/31 | $ | 1,889 | $ 1,670,197 |
3.375%, 2/15/30 | 990 | 933,273 | |
$ 2,603,470 | |||
Healthcare Products — 0.5% | |||
Avantor Funding, Inc., 4.625%, 7/15/28(1) | $ | 4,061 | $ 4,021,547 |
$ 4,021,547 | |||
Insurance — 3.4% | |||
Athene Global Funding, 2.646%, 10/4/31(1) | $ | 5,300 | $ 4,687,837 |
Brown & Brown, Inc.: | |||
2.375%, 3/15/31 | 625 | 549,997 | |
4.20%, 3/17/32 | 1,139 | 1,159,023 | |
GA Global Funding Trust, 2.90%, 1/6/32(1) | 4,413 | 4,018,204 | |
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(1)(7) | 3,769 | 3,561,385 | |
Maple Grove Funding Trust I, 4.161%, 8/15/51(1) | 2,740 | 2,480,737 | |
Primerica, Inc., 2.80%, 11/19/31 | 1,713 | 1,582,368 |
Security | Principal Amount (000s omitted) | Value | |
Insurance (continued) | |||
Radian Group, Inc., 4.875%, 3/15/27 | $ | 3,621 | $ 3,643,722 |
Stewart Information Services Corp., 3.60%, 11/15/31 | 4,244 | 3,867,624 | |
$ 25,550,897 | |||
Leisure Time — 0.4% | |||
Brunswick Corp., 5.10%, 4/1/52 | $ | 2,791 | $ 2,666,210 |
$ 2,666,210 | |||
Machinery — 0.3% | |||
Valmont Industries, Inc., 5.25%, 10/1/54 | $ | 2,184 | $ 2,381,935 |
$ 2,381,935 | |||
Media — 0.7% | |||
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | $ | 5,215 | $ 4,969,438 |
$ 4,969,438 | |||
Oil and Gas — 1.6% | |||
National Fuel Gas Co., 2.95%, 3/1/31 | $ | 4,065 | $ 3,705,135 |
Neptune Energy Bondco PLC, 6.625%, 5/15/25(1) | 3,059 | 3,080,719 | |
Patterson-UTI Energy, Inc., 5.15%, 11/15/29 | 5,357 | 5,234,593 | |
$ 12,020,447 | |||
Pharmaceuticals — 0.2% | |||
Perrigo Finance Unlimite Co., 3.90%, 6/15/30 | $ | 1,518 | $ 1,429,100 |
$ 1,429,100 | |||
Pipelines — 0.3% | |||
Midwest Connector Capital Co. LLC, 4.625%, 4/1/29(1) | $ | 2,411 | $ 2,441,356 |
$ 2,441,356 | |||
Real Estate Investment Trusts (REITs) — 3.3% | |||
American Assets Trust, L.P., 3.375%, 2/1/31 | $ | 3,290 | $ 3,099,853 |
Broadstone Net Lease, LLC, 2.60%, 9/15/31 | 1,036 | 924,287 | |
Corporate Office Properties, L.P., 2.90%, 12/1/33 | 1,656 | 1,464,050 | |
EPR Properties: | |||
3.60%, 11/15/31 | 1,200 | 1,089,996 | |
3.75%, 8/15/29 | 2,672 | 2,504,335 | |
Iron Mountain, Inc.: | |||
4.50%, 2/15/31(1) | 3,801 | 3,515,165 | |
5.00%, 7/15/28(1) | 503 | 491,272 | |
Newmark Group, Inc., 6.125%, 11/15/23 | 5,219 | 5,465,859 | |
Sabra Health Care, L.P., 3.20%, 12/1/31 | 2,741 | 2,450,687 | |
Service Properties Trust, 4.75%, 10/1/26 | 2,410 | 2,208,042 |
Security | Principal Amount (000s omitted) | Value | |
Real Estate Investment Trusts (REITs) (continued) | |||
Sun Communities Operating, L.P., 2.70%, 7/15/31 | $ | 789 | $ 713,101 |
Vornado Realty, L.P., 3.40%, 6/1/31 | 700 | 659,595 | |
$ 24,586,242 | |||
Retail — 1.0% | |||
Bath & Body Works, Inc., 6.875%, 11/1/35 | $ | 2,845 | $ 2,935,770 |
Dick's Sporting Goods, Inc., 4.10%, 1/15/52 | 2,116 | 1,811,234 | |
Lithia Motors, Inc., 4.375%, 1/15/31(1) | 2,475 | 2,396,443 | |
$ 7,143,447 | |||
Retail-Specialty and Apparel — 0.4% | |||
Nordstrom, Inc., 4.25%, 8/1/31 | $ | 3,600 | $ 3,287,538 |
$ 3,287,538 | |||
Technology — 0.5% | |||
CDW, LLC/CDW Finance Corp., 3.276%, 12/1/28 | $ | 1,787 | $ 1,686,526 |
Western Digital Corp., 4.75%, 2/15/26 | 2,194 | 2,230,618 | |
$ 3,917,144 | |||
Telecommunications — 1.8% | |||
AT&T, Inc.: | |||
3.10%, 2/1/43 | $ | 2,000 | $ 1,731,719 |
3.50%, 9/15/53 | 2,188 | 1,928,207 | |
Nokia Oyj, 4.375%, 6/12/27 | 3,450 | 3,506,649 | |
Rogers Communications, Inc., 3.80%, 3/15/32(1) | 1,120 | 1,112,729 | |
SES Global Americas Holdings GP, 5.30%, 3/25/44(1) | 1,360 | 1,323,125 | |
SES S.A., 5.30%, 4/4/43(1) | 810 | 789,990 | |
T-Mobile USA, Inc., 3.60%, 11/15/60 | 3,746 | 3,231,476 | |
$ 13,623,895 | |||
Thrifts & Mortgage Finance — 0.8% | |||
Nationwide Building Society, 4.125% to 10/18/27, 10/18/32(1)(7) | $ | 6,160 | $ 6,072,530 |
$ 6,072,530 | |||
Total Corporate Bonds (identified cost $275,764,795) | $259,421,221 |
Preferred Stocks — 1.1% |
Security | Shares | Value | |
Real Estate Management & Development — 0.8% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 190,000 | $ 4,005,200 |
Security | Shares | Value | |
Real Estate Management & Development (continued) | |||
Brookfield Property Partners, L.P.: (continued) | |||
Series A2, 6.375% | 74,772 | $ 1,537,312 | |
$ 5,542,512 | |||
Telecommunications — 0.3% | |||
United States Cellular Corp., 5.50% | 108,000 | $ 2,424,600 | |
$ 2,424,600 | |||
Total Preferred Stocks (identified cost $9,319,300) | $ 7,967,112 |
Senior Floating-Rate Loans — 1.2%(11) |
Borrower/Tranche Description | Principal Amount (000s omitted) | Value | |
Health Care Providers & Services — 0.3% | |||
Select Medical Corporation, Term Loan, 2.71%, (1 mo. USD LIBOR + 2.25%), 3/6/25 | $ | 2,400 | $ 2,377,500 |
$ 2,377,500 | |||
Media — 0.3% | |||
CSC Holdings, LLC, Term Loan, 2.647%, (1 mo. USD LIBOR + 2.25%), 1/15/26 | $ | 2,369 | $ 2,331,173 |
$ 2,331,173 | |||
Specialty Retail — 0.6% | |||
PetSmart, Inc., Term Loan, 4.50%, (USD LIBOR + 3.75%, Floor 0.75%), 2/11/28(12) | $ | 4,200 | $ 4,187,400 |
$ 4,187,400 | |||
Total Senior Floating-Rate Loans (identified cost $8,952,679) | $ 8,896,073 |
Sovereign Government Bonds — 1.4% |
Security | Principal Amount (000s omitted) | Value | |
Mexico — 0.6% | |||
Mexican Bonos, 7.75%, 5/29/31 | MXN | 89,055 | $ 4,317,264 |
$ 4,317,264 |
Security | Principal Amount (000s omitted) | Value | |
Supranational — 0.8% | |||
European Bank for Reconstruction & Development, 6.45%, 12/13/22 | IDR | 89,482,200 | $ 6,357,551 |
$ 6,357,551 | |||
Total Sovereign Government Bonds (identified cost $10,753,495) | $ 10,674,815 |
U.S. Government Agency Mortgage-Backed Securities — 0.2% |
Security | Principal Amount (000s omitted) | Value | |
Federal National Mortgage Association, Pool #FM6803, 2.00%, 4/1/51 | $ | 1,288 | $ 1,206,032 |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $1,308,062) | $ 1,206,032 |
U.S. Treasury Obligations — 26.5% |
Security | Principal Amount (000s omitted) | Value | |
U.S. Treasury Bonds: | |||
0.50%, 3/31/25 | $ | 35,600 | $ 33,544,656 |
0.625%, 8/15/30 | 67,624 | 58,757,596 | |
0.875%, 9/30/26 | 28,631 | 26,655,349 | |
1.125%, 8/15/40 | 20,562 | 16,135,548 | |
1.25%, 8/15/31 | 4,757 | 4,325,525 | |
1.25%, 5/15/50 | 61,198 | 45,721,600 | |
2.00%, 11/15/41 | 1,817 | 1,644,669 | |
U.S. Treasury Notes: | |||
1.125%, 2/29/28 | 1 | 927 | |
1.375%, 11/15/31 | 1,900 | 1,743,844 | |
1.875%, 2/28/27 | 4,402 | 4,284,728 | |
1.875%, 2/15/32 | 5,400 | 5,186,531 | |
Total U.S. Treasury Obligations (identified cost $214,702,871) | $198,000,973 |
Short-Term Investments — 0.4% |
Description | Units | Value | |
Eaton Vance Cash Reserves Fund, LLC, 0.19%(13) | $ | 3,000,528 | $ 3,000,228 |
Total Short-Term Investments (identified cost $2,999,928) | $ 3,000,228 | ||
Total Investments — 100.0% (identified cost $795,606,674) | $746,773,466 | ||
Other Assets, Less Liabilities — 0.0%(14) | $ 328,433 | ||
Net Assets — 100.0% | $747,101,899 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At March 31, 2022, the aggregate value of these securities is $385,425,085 or 51.6% of the Fund's net assets. |
(2) | Principal Amount is denominated in Canadian dollars. |
(3) | Variable rate security. The stated interest rate represents the rate in effect at March 31, 2022. |
(4) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at March 31, 2022. |
(5) | Represents an investment in an issuer that may be deemed to be an affiliate (see Note 10). |
(6) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At March 31, 2022, the aggregate value of these securities is $6,733,126 or 0.9% of the Fund's net assets. |
(7) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(8) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(9) | When-issued security. |
(10) | Issuer is in default with respect to interest and/or principal payments. |
(11) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate ("LIBOR") or the Secured Overnight Financing Rate ("SOFR") and secondarily, the prime rate offered by one or more major United States banks (the "Prime Rate"). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(12) | The stated interest rate represents the weighted average interest rate at March 31, 2022 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
(13) | Affiliated investment company, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of March 31, 2022. |
(14) | Amount is less than 0.05%. |
Country Concentration of Portfolio | ||
Country | Percentage of Total Investments | Value |
United States | 84.6% | $631,849,101 |
Mexico | 2.7 | 19,968,361 |
United Kingdom | 1.6 | 11,928,319 |
Brazil | 1.6 | 11,833,864 |
Canada | 1.5 | 11,161,211 |
Cayman Islands | 1.0 | 7,247,707 |
Supranational | 0.9 | 6,357,551 |
Bermuda | 0.8 | 6,270,890 |
Australia | 0.8 | 6,133,881 |
Chile | 0.7 | 5,201,895 |
Austria | 0.6 | 4,328,126 |
Finland | 0.5 | 3,506,649 |
France | 0.4 | 3,337,980 |
Singapore | 0.4 | 3,156,000 |
Switzerland | 0.4 | 3,000,075 |
Italy | 0.4 | 2,967,770 |
Israel | 0.3 | 2,405,000 |
Luxembourg | 0.3 | 2,113,115 |
Spain | 0.1 | 1,005,743 |
Total Investments | 100.0% | $746,773,466 |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 2,182,218 | CAD | 2,799,001 | State Street Bank and Trust Company | 5/31/22 | $ — | $ (56,382) |
$ — | $(56,382) |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 375 | Long | 6/30/22 | $ 79,470,704 | $ (1,067,013) |
U.S. 5-Year Treasury Note | 97 | Long | 6/30/22 | 11,124,688 | (291,146) |
U.S. 10-Year Treasury Note | 21 | Long | 6/21/22 | 2,580,375 | (79,443) |
U.S. Long Treasury Bond | 11 | Long | 6/21/22 | 1,650,687 | (52,958) |
U.S. Ultra-Long Treasury Bond | (65) | Short | 6/21/22 | (11,513,125) | 412,753 |
U.S. Ultra 10-Year Treasury Note | (314) | Short | 6/21/22 | (42,537,188) | 1,410,444 |
$ 332,637 |
Abbreviations: | |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
SOFR | – Secured Overnight Financing Rate |
Currency Abbreviations: | |
CAD | – Canadian Dollar |
IDR | – Indonesian Rupiah |
MXN | – Mexican Peso |
USD | – United States Dollar |
March 31, 2022 | |
Assets | |
Unaffiliated investments, at value (identified cost $770,538,686) | $ 723,777,917 |
Affiliated investments, at value (identified cost $25,067,988) | 22,995,549 |
Cash | 133,465 |
Deposits for derivatives collateral — financial futures contracts | 1,086,233 |
Dividends and interest receivable | 4,233,743 |
Interest and dividends receivable from affiliated investments | 66,038 |
Receivable for investments sold | 624,216 |
Receivable for Fund shares sold | 2,873,596 |
Receivable from affiliate | 91,654 |
Total assets | $755,882,411 |
Liabilities | |
Payable for investments purchased | $ 551,102 |
Payable for when-issued securities | 3,156,000 |
Payable for Fund shares redeemed | 4,333,292 |
Payable for variation margin on open futures contracts | 83,125 |
Payable for open forward foreign currency exchange contracts | 56,382 |
Distributions payable | 9,908 |
Due to custodian — foreign currency, at value (identified cost $89) | 88 |
Payable to affiliates: | |
Investment adviser fee | 287,078 |
Distribution and service fees | 56,233 |
Accrued expenses | 247,304 |
Total liabilities | $ 8,780,512 |
Net Assets | $747,101,899 |
Sources of Net Assets | |
Paid-in capital | $ 799,157,673 |
Accumulated loss | (52,055,774) |
Net Assets | $747,101,899 |
Class A Shares | |
Net Assets | $ 100,461,340 |
Shares Outstanding | 8,769,748 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 11.46 |
Maximum Offering Price Per Share (100 ÷ 95.25 of net asset value per share) | $ 12.03 |
Class C Shares | |
Net Assets | $ 39,536,969 |
Shares Outstanding | 3,453,380 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 11.45 |
Class I Shares | |
Net Assets | $ 607,103,590 |
Shares Outstanding | 53,042,142 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 11.45 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended | |
March 31, 2022 | |
Investment Income | |
Dividend income | $ 301,909 |
Dividend income from affiliated investment | 7,883 |
Interest income (net of foreign taxes, $609) | 11,893,617 |
Interest income from affiliated investments | 537,289 |
Total investment income | $ 12,740,698 |
Expenses | |
Investment adviser fee | $ 1,850,217 |
Distribution and service fees: | |
Class A | 135,112 |
Class C | 224,456 |
Trustees’ fees and expenses | 21,900 |
Custodian fee | 104,013 |
Transfer and dividend disbursing agent fees | 240,889 |
Legal and accounting services | 13,136 |
Printing and postage | 58,225 |
Registration fees | 45,231 |
Miscellaneous | 21,823 |
Total expenses | $ 2,715,002 |
Deduct: | |
Allocation of expenses to affiliate | $ 342,165 |
Total expense reductions | $ 342,165 |
Net expenses | $ 2,372,837 |
Net investment income | $ 10,367,861 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (2,557,068) |
Investment transactions - affiliated investments | (40,238) |
Futures contracts | 3,102,787 |
Foreign currency transactions | (20,601) |
Forward foreign currency exchange contracts | 33,810 |
Net realized gain | $ 518,690 |
Change in unrealized appreciation (depreciation): | |
Investments (including net decrease in accrued foreign capital gains taxes of $64,922) | $ (53,203,803) |
Investments - affiliated investments | (690,142) |
Futures contracts | (1,248,533) |
Foreign currency | 7,098 |
Forward foreign currency exchange contracts | (56,382) |
Net change in unrealized appreciation (depreciation) | $(55,191,762) |
Net realized and unrealized loss | $(54,673,072) |
Net decrease in net assets from operations | $(44,305,211) |
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 10,367,861 | $ 19,603,368 |
Net realized gain | 518,690 | 8,413,857 |
Net change in unrealized appreciation (depreciation) | (55,191,762) | 23,331,636 |
Net increase (decrease) in net assets from operations | $ (44,305,211) | $ 51,348,861 |
Distributions to shareholders: | ||
Class A | $ (2,024,558) | $ (3,322,201) |
Class C | (672,253) | (1,205,585) |
Class I | (13,490,908) | (18,168,241) |
Total distributions to shareholders | $ (16,187,719) | $ (22,696,027) |
Transactions in shares of beneficial interest: | ||
Class A | $ 1,040,425 | $ (33,713,494) |
Class C | (5,652,889) | (7,972,469) |
Class I | 26,001,304 | 77,171,244 |
Net increase in net assets from Fund share transactions | $ 21,388,840 | $ 35,485,281 |
Net increase (decrease) in net assets | $ (39,104,090) | $ 64,138,115 |
Net Assets | ||
At beginning of period | $ 786,205,989 | $ 722,067,874 |
At end of period | $747,101,899 | $786,205,989 |
Class A | ||||||
Year Ended September 30, | ||||||
Six Months Ended March 31, 2022 (Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of period | $ 12.340 | $ 11.820 | $ 11.990 | $ 11.570 | $ 11.930 | $ 11.630 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.142 | $ 0.330 | $ 0.395 | $ 0.427 | $ 0.402 | $ 0.367 |
Net realized and unrealized gain (loss) | (0.797) | 0.573 | (0.143) | 0.451 | (0.344) | 0.319 |
Total income (loss) from operations | $ (0.655) | $ 0.903 | $ 0.252 | $ 0.878 | $ 0.058 | $ 0.686 |
Less Distributions | ||||||
From net investment income | $ (0.152) | $ (0.323) | $ (0.413) | $ (0.458) | $ (0.409) | $ (0.322) |
From net realized gain | (0.073) | (0.060) | (0.009) | — | (0.009) | — |
Tax return of capital | — | — | — | — | — | (0.064) |
Total distributions | $ (0.225) | $ (0.383) | $ (0.422) | $ (0.458) | $ (0.418) | $ (0.386) |
Net asset value — End of period | $ 11.460 | $ 12.340 | $ 11.820 | $ 11.990 | $11.570 | $11.930 |
Total Return(2)(3) | (5.48)% (4) | 7.72% | 2.21% | 7.76% | 0.50% | 6.01% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $100,461 | $107,380 | $136,688 | $137,889 | $ 43,503 | $ 33,927 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses (3) | 0.74% (5) | 0.74% | 0.74% | 0.74% | 0.74% | 0.77% |
Net investment income | 2.36% (5) | 2.70% | 3.38% | 3.62% | 3.43% | 3.13% |
Portfolio Turnover | 75% (4)(6) | 85% (6) | 89% | 75% | 43% | 61% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | The investment adviser and administrator reimbursed certain operating expenses (equal to 0.08%, 0.08%, 0.11%, 0.11%, 0.22% and 0.36% of average daily net assets for the six months ended March 31, 2022 and the years ended September 30, 2021, 2020, 2019, 2018 and 2017, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class C | ||||||
Year Ended September 30, | ||||||
Six Months Ended March 31, 2022 (Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of period | $ 12.330 | $ 11.820 | $ 11.990 | $ 11.560 | $ 11.920 | $ 11.620 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.096 | $ 0.238 | $ 0.307 | $ 0.344 | $ 0.313 | $ 0.282 |
Net realized and unrealized gain (loss) | (0.797) | 0.564 | (0.142) | 0.456 | (0.343) | 0.317 |
Total income (loss) from operations | $ (0.701) | $ 0.802 | $ 0.165 | $ 0.800 | $ (0.030) | $ 0.599 |
Less Distributions | ||||||
From net investment income | $ (0.106) | $ (0.232) | $ (0.326) | $ (0.370) | $ (0.321) | $ (0.249) |
From net realized gain | (0.073) | (0.060) | (0.009) | — | (0.009) | — |
Tax return of capital | — | — | — | — | — | (0.050) |
Total distributions | $ (0.179) | $ (0.292) | $ (0.335) | $ (0.370) | $ (0.330) | $ (0.299) |
Net asset value — End of period | $11.450 | $12.330 | $11.820 | $11.990 | $11.560 | $11.920 |
Total Return(2)(3) | (5.75)% (4) | 6.83% | 1.45% | 7.05% | (0.25)% | 5.23% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 39,537 | $ 48,423 | $ 54,189 | $ 52,001 | $ 20,926 | $ 19,197 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses (3) | 1.49% (5) | 1.49% | 1.49% | 1.49% | 1.49% | 1.52% |
Net investment income | 1.60% (5) | 1.95% | 2.63% | 2.93% | 2.67% | 2.41% |
Portfolio Turnover | 75% (4)(6) | 85% (6) | 89% | 75% | 43% | 61% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | The investment adviser and administrator reimbursed certain operating expenses (equal to 0.08%, 0.08%, 0.11%, 0.11%, 0.22% and 0.36% of average daily net assets for the six months ended March 31, 2022 and the years ended September 30, 2021, 2020, 2019, 2018 and 2017, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class I | ||||||
Year Ended September 30, | ||||||
Six Months Ended March 31, 2022 (Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of period | $ 12.330 | $ 11.810 | $ 11.990 | $ 11.560 | $ 11.920 | $ 11.620 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.157 | $ 0.356 | $ 0.423 | $ 0.457 | $ 0.440 | $ 0.399 |
Net realized and unrealized gain (loss) | (0.798) | 0.578 | (0.152) | 0.460 | (0.352) | 0.316 |
Total income (loss) from operations | $ (0.641) | $ 0.934 | $ 0.271 | $ 0.917 | $ 0.088 | $ 0.715 |
Less Distributions | ||||||
From net investment income | $ (0.166) | $ (0.354) | $ (0.442) | $ (0.487) | $ (0.439) | $ (0.346) |
From net realized gain | (0.073) | (0.060) | (0.009) | — | (0.009) | — |
Tax return of capital | — | — | — | — | — | (0.069) |
Total distributions | $ (0.239) | $ (0.414) | $ (0.451) | $ (0.487) | $ (0.448) | $ (0.415) |
Net asset value — End of period | $ 11.450 | $ 12.330 | $ 11.810 | $ 11.990 | $ 11.560 | $11.920 |
Total Return(2)(3) | (5.28)% (4) | 8.00% | 2.37% | 8.12% | 0.74% | 6.28% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $607,104 | $630,403 | $531,191 | $622,727 | $152,363 | $ 41,563 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses (3) | 0.49% (5) | 0.49% | 0.49% | 0.49% | 0.49% | 0.52% |
Net investment income | 2.61% (5) | 2.92% | 3.62% | 3.89% | 3.77% | 3.40% |
Portfolio Turnover | 75% (4)(6) | 85% (6) | 89% | 75% | 43% | 61% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | The investment adviser and administrator reimbursed certain operating expenses (equal to 0.08%, 0.08%, 0.11%, 0.11%, 0.22% and 0.36% of average daily net assets for the six months ended March 31, 2022 and the years ended September 30, 2021, 2020, 2019, 2018 and 2017, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
Aggregate cost | $ 797,116,471 |
Gross unrealized appreciation | $ 3,755,091 |
Gross unrealized depreciation | (53,821,841) |
Net unrealized depreciation | $ (50,066,750) |
Average Daily Net Assets | Annual Fee Rate |
Up to $1 billion | 0.450% |
$1 billion but less than $2.5 billion | 0.425 |
$2.5 billion but less than $5 billion | 0.410 |
Over $5 billion | 0.400 |
Purchases | Sales | |
Investments (non-U.S. Government) | $ 221,957,298 | $ 153,899,681 |
U.S. Government and Agency Securities | 428,115,654 | 452,175,380 |
$650,072,952 | $606,075,061 |
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 1,473,217 | $ 17,812,803 | 1,767,058 | $ 21,649,585 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 164,558 | 1,986,891 | 266,441 | 3,253,050 | |
Redemptions | (1,619,867) | (19,364,964) | (5,191,095) | (62,232,559) | |
Converted from Class C shares | 50,047 | 605,695 | 298,148 | 3,616,430 | |
Net increase (decrease) | 67,955 | $ 1,040,425 | (2,859,448) | $ (33,713,494) | |
Class C | |||||
Sales | 207,651 | $ 2,518,774 | 776,166 | $ 9,493,517 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 55,385 | 669,464 | 98,682 | 1,203,189 | |
Redemptions | (685,943) | (8,235,432) | (1,236,193) | (15,052,745) | |
Converted to Class A shares | (50,070) | (605,695) | (298,222) | (3,616,430) | |
Net decrease | (472,977) | $ (5,652,889) | (659,567) | $ (7,972,469) | |
Class I | |||||
Sales | 17,665,418 | $ 213,334,964 | 21,841,638 | $ 267,564,797 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,115,534 | 13,460,183 | 1,485,630 | 18,138,739 | |
Redemptions | (16,867,790) | (200,793,843) | (17,164,251) | (208,532,292) | |
Net increase | 1,913,162 | $ 26,001,304 | 6,163,017 | $ 77,171,244 |
Fair Value | |||
Risk | Derivative | Asset Derivative | Liability Derivative |
Foreign Exchange | Forward foreign currency exchange contracts | $ — | $ (56,382)(1) |
Interest Rate | Futures contracts | 1,823,197 (2) | (1,490,560) (2) |
Total | $1,823,197 | $(1,546,942) | |
Derivatives not subject to master netting or similar agreements | $1,823,197 | $(1,490,560) | |
Total Derivatives subject to master netting or similar agreements | $ — | $ (56,382) |
(1) | Statement of Assets and Liabilities location: Payable for open forward foreign currency exchange contracts. |
(2) | Only the current day’s variation margin on open futures contracts is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(b) |
State Street Bank and Trust Company | $(56,382) | $ — | $ — | $ — | $(56,382) |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount payable to the counterparty in the event of default. |
Risk | Derivative | Realized Gain (Loss) on Derivatives Recognized in Income(1) | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income(2) |
Foreign Exchange | Forward foreign currency exchange contracts | $ 33,810 | $ (56,382) |
Interest Rate | Futures contracts | 3,102,787 | (1,248,533) |
Total | $3,136,597 | $(1,304,915) |
(1) | Statement of Operations location: Net realized gain (loss): Futures contracts and Forward foreign currency exchange contracts, respectively. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation): Futures contracts and Forward foreign currency exchange contracts, respectively. |
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* |
$67,862,000 | $87,002,000 | $623,000 |
* | The average notional amount of forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/ Units, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2016-C29, Class C, 4.729%, 5/15/49 | $ 4,420,922 | $ — | $ — | $ — | $ (386,788) | $ 4,034,134 | $ 99,320 | $4,198,800 |
Series 2016-C29, Class D, 3.00%, 5/15/49 | 6,171,758 | — | (3,378,281) | (37,253) | (230,776) | 2,542,929 | 115,529 | 3,047,635 |
Series 2016-C32, Class D, 3.396%, 12/15/49 | 4,156,243 | — | — | — | (306,967) | 3,865,481 | 101,104 | 5,000,000 |
Morgan Stanley Capital I Trust: | ||||||||
Series 2016-UBS12, Class D, 3.312%, 12/15/49 | 4,135,435 | — | — | — | 49,381 | 4,212,798 | 146,386 | 7,150,000 |
Series 2019-BPR, Class B, 2.497%, (1 mo. USD LIBOR + 2.10%), 5/15/36 | 3,760,855 | — | — | — | 96,230 | 3,862,820 | 50,245 | 3,960,000 |
Series 2019-BPR, Class C, 3.447%, (1 mo. USD LIBOR + 3.05%), 5/15/36 | 1,388,682 | — | — | — | 88,478 | 1,477,160 | 24,705 | 1,540,000 |
Short-Term Investments | ||||||||
Eaton Vance Cash Reserves Fund, LLC | 28,815,045 | 182,338,780 | (208,150,912) | (2,985) | 300 | 3,000,228 | 7,883 | 3,000,528 |
Totals | $(40,238) | $(690,142) | $22,995,550 | $545,172 |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $ 120,477,023 | $ — | $ 120,477,023 |
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Collateralized Mortgage Obligations | $ — | $ 30,689,103 | $ — | $ 30,689,103 |
Commercial Mortgage-Backed Securities | — | 102,112,760 | — | 102,112,760 |
Convertible Bonds | — | 4,328,126 | — | 4,328,126 |
Corporate Bonds | — | 259,421,221 | — | 259,421,221 |
Preferred Stocks | 7,967,112 | — | — | 7,967,112 |
Senior Floating-Rate Loans | — | 8,896,073 | — | 8,896,073 |
Sovereign Government Bonds | — | 10,674,815 | — | 10,674,815 |
U.S. Government Agency Mortgage-Backed Securities | — | 1,206,032 | — | 1,206,032 |
U.S. Treasury Obligations | — | 198,000,973 | — | 198,000,973 |
Short-Term Investments | — | 3,000,228 | — | 3,000,228 |
Total Investments | $ 7,967,112 | $ 738,806,354 | $ — | $ 746,773,466 |
Futures Contracts | $ 1,823,197 | $ — | $ — | $ 1,823,197 |
Total | $ 9,790,309 | $ 738,806,354 | $ — | $ 748,596,663 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (56,382) | $ — | $ (56,382) |
Futures Contracts | (1,490,560) | — | — | (1,490,560) |
Total | $ (1,490,560) | $ (56,382) | $ — | $ (1,546,942) |
Officers | |
Eric A. Stein President | Jill R. Damon Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees |
George J. Gorman Chairperson | |
Alan C. Bowser* | |
Thomas E. Faust Jr.** | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley | |
William H. Park |
Helen Frame Peters | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser* |
* | Mr. Bowser and Ms. Wiser began serving as Trustees effective April 4, 2022. |
** | Interested Trustee |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
State Street Financial Center, One Lincoln Street
Boston, MA 02111
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02940-9653
(800) 262-1122
Boston, MA 02110
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 01/06/1998 | 03/16/1978 | (6.19)% | (4.71)% | 2.33% | 3.09% |
Class A with 4.75% Maximum Sales Charge | — | — | (10.61) | (9.22) | 1.34 | 2.58 |
Class C at NAV | 05/02/2006 | 03/16/1978 | (6.58) | (5.46) | 1.57 | 2.46 |
Class C with 1% Maximum Sales Charge | — | — | (7.50) | (6.39) | 1.57 | 2.46 |
Class I at NAV | 03/16/1978 | 03/16/1978 | (6.14) | (4.47) | 2.58 | 3.34 |
Bloomberg Municipal Bond Index | — | — | (5.55)% | (4.47)% | 2.52% | 2.88% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
0.80% | 1.55% | 0.55% |
% Distribution Rates/Yields4 | Class A | Class C | Class I |
Distribution Rate | 2.50% | 1.74% | 2.76% |
Taxable-Equivalent Distribution Rate | 4.23 | 2.94 | 4.66 |
SEC 30-day Yield | 1.67 | 1.00 | 2.01 |
Taxable-Equivalent SEC 30-day Yield | 2.84 | 1.69 | 3.41 |
% Total Leverage5 | |
Residual Interest Bond (RIB) Financing | 5.76% |
Credit Quality (% of total investments)*,** |
* | For purposes of the Fund’s rating restrictions, ratings are based on Moody’s Investors Service, Inc. (“Moody’s”), S&P Global Ratings (“S&P”) or Fitch Ratings (“Fitch”), as applicable. If securities are rated differently by the ratings agencies, the highest rating is applied. Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of a bond based on the issuer’s creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P’s measures. Ratings of BBB or higher by S&P or Fitch (Baa or higher by Moody’s) are considered to be investment-grade quality. Credit ratings are based largely on the ratings agency’s analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer’s current financial condition and does not necessarily reflect its assessment of the volatility of a security’s market value or of the liquidity of an investment in the security. Holdings designated as “Not Rated” (if any) are not rated by the national ratings agencies stated above. |
** | The chart includes the municipal bonds held by a trust that issues residual interest bonds, consistent with the Portfolio of Investments. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 04/05/1994 | 12/19/1985 | (5.68)% | (4.70)% | 2.69% | 3.42% |
Class A with 4.75% Maximum Sales Charge | — | — | (10.13) | (9.19) | 1.69 | 2.92 |
Class C at NAV | 12/03/1993 | 12/19/1985 | (6.04) | (5.41) | 1.93 | 2.80 |
Class C with 1% Maximum Sales Charge | — | — | (6.97) | (6.34) | 1.93 | 2.80 |
Class I at NAV | 07/01/1999 | 12/19/1985 | (5.56) | (4.46) | 2.94 | 3.67 |
Bloomberg Municipal Bond Index | — | — | (5.55)% | (4.47)% | 2.52% | 2.88% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
0.63% | 1.38% | 0.38% |
% Distribution Rates/Yields4 | Class A | Class C | Class I |
Distribution Rate | 2.28% | 1.52% | 2.54% |
Taxable-Equivalent Distribution Rate | 3.86 | 2.57 | 4.29 |
SEC 30-day Yield | 1.73 | 1.06 | 2.07 |
Taxable-Equivalent SEC 30-day Yield | 2.94 | 1.80 | 3.51 |
% Total Leverage5 | |
RIB Financing | 2.87% |
Credit Quality (% of total investments)*,** |
* | For purposes of the Fund’s rating restrictions, ratings are based on Moody’s Investors Service, Inc. (“Moody’s”), S&P Global Ratings (“S&P”) or Fitch Ratings (“Fitch”), as applicable. If securities are rated differently by the ratings agencies, the highest rating is applied. Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of a bond based on the issuer’s creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P’s measures. Ratings of BBB or higher by S&P or Fitch (Baa or higher by Moody’s) are considered to be investment-grade quality. Credit ratings are based largely on the ratings agency’s analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer’s current financial condition and does not necessarily reflect its assessment of the volatility of a security’s market value or of the liquidity of an investment in the security. Holdings designated as “Not Rated” (if any) are not rated by the national ratings agencies stated above. |
** | The chart includes the municipal bonds held by a trust that issues residual interest bonds, consistent with the Portfolio of Investments. |
1 | Bloomberg Municipal Bond Index is an unmanaged index of municipal bonds traded in the U.S. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
4 | The Distribution Rate is based on the Fund’s last regular distribution per share in the period (annualized) divided by the Fund’s NAV at the end of the period. The Fund’s distributions may be comprised of amounts characterized for federal income tax purposes as tax-exempt income, qualified and non-qualified ordinary dividends, capital gains and nondividend distributions, also known as return of capital. The Fund will determine the federal income tax character of distributions paid to a shareholder after the end of the calendar year. This is reported on the IRS form 1099- DIV and provided to the shareholder shortly after each year-end. The Fund’s distributions are determined by the investment adviser based on its current assessment of the Fund’s long-term return potential. As portfolio and market conditions change, the rate of distributions paid by the Fund could change. Taxable-equivalent performance is based on the highest combined federal and state income tax rates, where applicable. Lower tax rates would result in lower tax-equivalent performance. Actual tax rates will vary depending on your income, exemptions and deductions. Rates do not include local taxes. The SEC Yield is a standardized measure based on the estimated yield to maturity of a fund’s investments over a 30-day period and is based on the maximum offer price at the date specified. The SEC Yield is not based on the distributions made by the Fund, which may differ. |
5 | Fund employs RIB financing. The leverage created by RIB investments provides an opportunity for increased income but, at the same time, creates special risks (including the likelihood of greater volatility of NAV). The cost of leverage rises and falls with changes in short-term interest rates. See “Floating Rate Notes Issued in Conjunction with Securities Held” in the notes to the financial statements for more information about RIB financing. RIB leverage represents the amount of Floating Rate Notes outstanding at period end as a percentage of Fund net assets plus Floating Rate Notes. |
Fund profiles subject to change due to active management. |
Beginning Account Value (10/1/21) | Ending Account Value (3/31/22) | Expenses Paid During Period* (10/1/21 – 3/31/22) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 938.10 | $3.91 | 0.81% |
Class C | $1,000.00 | $ 934.20 | $7.52 | 1.56% |
Class I | $1,000.00 | $ 938.60 | $2.71 | 0.56% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.89 | $4.08 | 0.81% |
Class C | $1,000.00 | $1,017.15 | $7.85 | 1.56% |
Class I | $1,000.00 | $1,022.14 | $2.82 | 0.56% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2021. |
Beginning Account Value (10/1/21) | Ending Account Value (3/31/22) | Expenses Paid During Period* (10/1/21 – 3/31/22) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 943.20 | $3.05 | 0.63% |
Class C | $1,000.00 | $ 939.60 | $6.67 | 1.38% |
Class I | $1,000.00 | $ 944.40 | $1.84 | 0.38% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,021.79 | $3.18 | 0.63% |
Class C | $1,000.00 | $1,018.05 | $6.94 | 1.38% |
Class I | $1,000.00 | $1,023.04 | $1.92 | 0.38% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2021. |
Tax-Exempt Mortgage-Backed Securities — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
Housing — 0.4% | |||
Washington Housing Finance Commission, Municipal Certificates, Series 2021-1, Class A, 3.50%, 12/20/35 | $ | 1,077 | $ 1,065,056 |
Total Tax-Exempt Mortgage-Backed Securities (identified cost $1,214,706) | $ 1,065,056 |
Tax-Exempt Municipal Obligations — 107.0% |
Security | Principal Amount (000's omitted) | Value | |
Education — 7.6% | |||
Build NYC Resource Corp., NY, (New World Preparatory Charter School), 4.00%, 6/15/41(1) | $ | 245 | $ 244,988 |
Connecticut Health and Educational Facilities Authority, (Choate Rosemary Hall): | |||
4.00%, 7/1/38 | 315 | 345,955 | |
4.00%, 7/1/39 | 380 | 416,700 | |
4.00%, 7/1/42 | 860 | 938,630 | |
Connecticut Health and Educational Facilities Authority, (Fairfield University), 5.00%, 7/1/46 | 5,000 | 5,524,800 | |
Connecticut Health and Educational Facilities Authority, (Sacred Heart University): | |||
4.00%, 7/1/45 | 875 | 922,311 | |
5.00%, 7/1/40 | 900 | 1,036,431 | |
District of Columbia, (KIPP DC): | |||
4.00%, 7/1/39 | 100 | 102,941 | |
4.00%, 7/1/44 | 100 | 102,149 | |
4.00%, 7/1/49 | 135 | 137,079 | |
Erie Higher Education Building Authority, PA, (Gannon University): | |||
5.00%, 5/1/22 | 100 | 100,279 | |
5.00%, 5/1/24 | 120 | 125,831 | |
5.00%, 5/1/26 | 125 | 135,836 | |
5.00%, 5/1/30 | 390 | 444,148 | |
Florida Development Finance Corp., (River City Science Academy), 4.00%, 7/1/45 | 200 | 194,196 | |
Georgia Private Colleges and Universities Authority, (Savannah College of Art and Design), 4.00%, 4/1/39 | 1,200 | 1,282,680 | |
Maine Health and Higher Educational Facilities Authority, (University of New England), 4.00%, 7/1/51 | 1,500 | 1,575,945 | |
Maryland Stadium Authority, Built to Learn Revenue, 4.00%, 6/1/47 | 2,000 | 2,107,560 |
Security | Principal Amount (000's omitted) | Value | |
Education (continued) | |||
Massachusetts Development Finance Agency, (Babson College), 4.00%, 10/1/37 | $ | 800 | $ 893,384 |
Pennsylvania Higher Educational Facilities Authority, (Drexel University), 5.00%, 5/1/37 | 1,750 | 1,965,495 | |
Pima County Community College District, AZ, 5.00%, 7/1/35 | 725 | 834,707 | |
University of California, 5.25%, 5/15/35 | 3,555 | 3,790,483 | |
$ 23,222,528 | |||
Electric Utilities — 5.9% | |||
Delaware Municipal Electric Corp., (Beasley Power Station): | |||
4.00%, 7/1/35 | $ | 310 | $ 341,518 |
5.00%, 7/1/32 | 470 | 562,595 | |
5.00%, 7/1/33 | 400 | 476,836 | |
5.00%, 7/1/34 | 440 | 523,816 | |
Lower Colorado River Authority, TX, (LCRA Transmission Services Corp.), 5.00%, 5/15/40 | 1,000 | 1,141,200 | |
New York Power Authority: | |||
4.00%, 11/15/45 | 2,285 | 2,428,704 | |
Green Bonds, 4.00%, 11/15/50 | 715 | 756,491 | |
Northern Municipal Power Agency, MN: | |||
5.00%, 1/1/31 | 200 | 222,502 | |
5.00%, 1/1/35 | 170 | 188,402 | |
5.00%, 1/1/36 | 160 | 177,245 | |
Philadelphia, PA, Gas Works Revenue, (LOC: TD Bank, N.A.), 0.50%, 8/1/31(2) | 8,070 | 8,070,000 | |
Utility Debt Securitization Authority, NY, 5.00%, 12/15/33 | 2,895 | 3,045,279 | |
$ 17,934,588 | |||
Escrowed/Prerefunded — 6.0% | |||
Foothill-De Anza Community College District, CA: | |||
Prerefunded to 8/1/24, 5.00%, 8/1/34 | $ | 1,150 | $ 1,231,351 |
Prerefunded to 8/1/24, 5.00%, 8/1/36 | 1,150 | 1,231,351 | |
Henrico County Economic Development Authority, VA, (Bon Secours Health System, Inc.), Prerefunded to 11/1/22, 5.00%, 11/1/30 | 1,185 | 1,210,229 | |
New Jersey Turnpike Authority, Prerefunded to 7/1/22, 5.00%, 1/1/30 | 3,060 | 3,089,774 | |
North Carolina Capital Facilities Finance Agency, (Duke University), Prerefunded to 10/1/25, 5.00%, 10/1/41 | 1,480 | 1,631,907 | |
San Joaquin Hills Transportation Corridor Agency, CA, Prerefunded to 1/15/2025, 5.00%, 1/15/34 | 5,235 | 5,658,773 |
Security | Principal Amount (000's omitted) | Value | |
Escrowed/Prerefunded (continued) | |||
Springfield School District No. 19, OR, Prerefunded to 6/15/25, 5.00%, 6/15/30 | $ | 1,085 | $ 1,185,872 |
West Virginia University, Prerefunded to 10/1/22, 5.00%, 10/1/31 | 3,000 | 3,056,340 | |
$ 18,295,597 | |||
General Obligations — 13.7% | |||
Boston, MA, 5.00%, 11/1/23(3) | $ | 4,200 | $ 4,414,200 |
California, 5.00%, 4/1/35 | 2,125 | 2,248,718 | |
Chicago Board of Education, IL: | |||
5.00%, 12/1/42 | 260 | 264,209 | |
5.00%, 12/1/44 | 1,405 | 1,497,252 | |
Chicago, IL: | |||
5.00%, 1/1/39 | 1,400 | 1,516,158 | |
5.00%, 1/1/44 | 1,490 | 1,601,765 | |
District of Columbia, 5.00%, 6/1/37(4) | 7,000 | 7,919,240 | |
Fennville Public Schools, MI, 4.00%, 5/1/34 | 1,000 | 1,078,080 | |
Gallatin County School District No. 44, MT, 4.00%, 6/1/35 | 520 | 561,070 | |
Illinois: | |||
4.00%, 6/1/33 | 1,000 | 1,030,510 | |
4.00%, 11/1/40 | 1,000 | 1,013,030 | |
5.00%, 5/1/35 | 2,000 | 2,108,940 | |
5.50%, 5/1/39 | 205 | 231,869 | |
5.75%, 5/1/45 | 210 | 239,020 | |
Kane, Cook and DuPage Counties School District No. 46, IL, 5.00%, 1/1/31 | 4,470 | 4,692,964 | |
Lodi Unified School District, CA, (Election of 2016), 4.00%, 8/1/33 | 1,250 | 1,350,075 | |
New York, NY, 4.00%, 8/1/42(4) | 7,000 | 7,422,940 | |
Salem-Keizer School District No. 24J, OR, 0.00%, 6/15/24 | 1,220 | 1,160,793 | |
University of Connecticut, 5.00%, 2/15/32 | 650 | 683,267 | |
Washington, 5.00%, 6/1/38 | 710 | 838,879 | |
$ 41,872,979 | |||
Hospital — 14.7% | |||
Brevard County Health Facilities Authority, FL, (Health First Obligated Group), 5.00%, 4/1/47(3) | $ | 5,000 | $ 5,648,900 |
California Health Facilities Financing Authority, (St. Joseph Health System): | |||
Prerefunded to 7/1/23, 5.00%, 7/1/33 | 1,720 | 1,789,729 | |
Prerefunded to 7/1/23, 5.00%, 7/1/37 | 2,300 | 2,393,242 | |
California Statewide Communities Development Authority, (Loma Linda University Medical Center), 5.25%, 12/1/34 | 3,000 | 3,230,250 |
Security | Principal Amount (000's omitted) | Value | |
Hospital (continued) | |||
Chattanooga Health, Educational and Housing Facility Board, TN, (CommonSpirit Health), 4.00%, 8/1/37 | $ | 1,250 | $ 1,315,487 |
Colorado Health Facilities Authority, (Vail Valley Medical Center), 5.00%, 1/15/35 | 2,000 | 2,169,800 | |
Delaware Health Facilities Authority, (Beebe Medical Center): | |||
5.00%, 6/1/36 | 3,730 | 4,218,294 | |
5.00%, 6/1/37 | 1,000 | 1,130,050 | |
Escambia County Health Facilities Authority, FL, (Baptist Health Care Corp. Obligated Group), 4.00%, 8/15/50 | 520 | 528,674 | |
Massachusetts Development Finance Agency, (Children's Hospital), Prerefunded to 10/1/24, 5.00%, 10/1/31 | 2,110 | 2,263,334 | |
Missouri Health and Educational Facilities Authority, (Mercy Health), 5.00%, 11/15/47 | 3,000 | 3,308,970 | |
Montana Facility Finance Authority, (Bozeman Deaconess Health Services Obligated Group), 4.00%, 6/1/39 | 1,070 | 1,151,063 | |
Ohio, (University Hospitals Health System, Inc.): | |||
4.00%, 1/15/38 | 2,000 | 2,108,780 | |
5.00%, 1/15/36 | 2,500 | 2,721,650 | |
Pennsylvania Higher Educational Facilities Authority, (University of Pennsylvania Health System): | |||
5.00%, 8/15/23(3) | 500 | 519,310 | |
5.00%, 8/15/24(3) | 550 | 584,139 | |
5.00%, 8/15/25(3) | 500 | 543,540 | |
5.00%, 8/15/26(3) | 600 | 666,600 | |
Spartanburg Regional Health Services District, Inc., SC: | |||
5.00%, 4/15/33 | 1,400 | 1,674,568 | |
5.00%, 4/15/34 | 1,505 | 1,796,067 | |
Tarrant County Cultural Education Facilities Finance Corp., TX, (Cook Children's Medical Center), 5.25%, 12/1/39(4) | 5,000 | 5,255,600 | |
$ 45,018,047 | |||
Housing — 1.1% | |||
Cuyahoga Metropolitan Housing Authority, OH, 2.00%, 12/1/31 | $ | 1,250 | $ 1,147,338 |
Phoenix Industrial Development Authority, AZ, (Downtown Phoenix Student Housing, LLC - Arizona State University): | |||
5.00%, 7/1/37 | 500 | 550,230 | |
5.00%, 7/1/42 | 1,250 | 1,365,225 | |
Texas Student Housing Corp., (University of North Texas), 9.375%, 7/1/06(5) | 285 | 285,000 | |
$ 3,347,793 |
Security | Principal Amount (000's omitted) | Value | |
Insured - Education — 1.0% | |||
Northern Illinois University, IL, (BAM), 5.00%, 4/1/31 | $ | 950 | $ 1,105,363 |
Virginia College Building Authority, (Washington and Lee University), (NPFG), 5.25%, 1/1/31 | 1,750 | 2,058,368 | |
$ 3,163,731 | |||
Insured - Electric Utilities — 1.9% | |||
Ohio Municipal Electric Generation Agency, (NPFG), 0.00%, 2/15/29 | $ | 2,865 | $ 2,359,098 |
Philadelphia, PA, Gas Works Revenue, (AGM), 4.00%, 8/1/45 | 1,000 | 1,068,860 | |
Texas Municipal Power Agency, (AGM), 2.00%, 9/1/33 | 2,790 | 2,412,513 | |
$ 5,840,471 | |||
Insured - Escrowed/Prerefunded — 1.6% | |||
Detroit, MI, Sewage Disposal System, (AGM), Prerefunded to 7/1/22, 5.00%, 7/1/39 | $ | 4,825 | $ 4,871,947 |
$ 4,871,947 | |||
Insured - General Obligations — 1.9% | |||
Atlantic City, NJ, (AGM), 4.00%, 3/1/42 | $ | 145 | $ 153,388 |
Chicago Board of Education, IL, (AGM), 5.00%, 12/1/24 | 505 | 541,618 | |
McCook, IL: | |||
(AGM), 4.00%, 12/1/29 | 240 | 264,355 | |
(AGM), 4.00%, 12/1/30 | 200 | 219,004 | |
(AGM), 4.00%, 12/1/33 | 500 | 540,600 | |
(AGM), 4.00%, 12/1/34 | 190 | 205,223 | |
Proviso Township High School District No. 209, IL, (AGM), 4.00%, 12/1/38 | 1,500 | 1,613,925 | |
Santa Rosa Elementary School District, CA, (Election of 2014), (BAM), 4.00%, 8/1/39 | 1,005 | 1,090,897 | |
Santa Rosa High School District, CA, (Election of 2014), (BAM), 4.00%, 8/1/39 | 1,135 | 1,232,009 | |
$ 5,861,019 | |||
Insured - Lease Revenue/Certificates of Participation — 2.2% | |||
Anaheim Public Financing Authority, CA, (Anaheim Public Improvements), (AGM), 0.00%, 9/1/31 | $ | 8,680 | $ 6,571,715 |
$ 6,571,715 | |||
Insured - Other Revenue — 2.0% | |||
Harris County-Houston Sports Authority, TX, (AGM), (NPFG), 0.00%, 11/15/34 | $ | 10,600 | $ 6,061,610 |
$ 6,061,610 |
Security | Principal Amount (000's omitted) | Value | |
Insured - Special Tax Revenue — 3.6% | |||
Massachusetts, Dedicated Tax Revenue: | |||
(NPFG), 5.50%, 1/1/27 | $ | 6,000 | $ 6,825,780 |
(NPFG), 5.50%, 1/1/30 | 2,565 | 3,083,617 | |
Successor Agency to San Francisco City and County Redevelopment Agency, CA, (NPFG), 5.00%, 8/1/43 | 1,100 | 1,220,912 | |
$ 11,130,309 | |||
Insured - Transportation — 7.9% | |||
Chicago, IL, (O'Hare International Airport): | |||
(AGM), 5.00%, 1/1/28 | $ | 1,000 | $ 1,023,890 |
(AGM), 5.125%, 1/1/31 | 1,000 | 1,023,300 | |
(AGM), 5.25%, 1/1/32 | 785 | 804,013 | |
E-470 Public Highway Authority, CO, (NPFG), 0.00%, 9/1/39 | 7,120 | 3,269,219 | |
Metropolitan Transportation Authority, NY: | |||
Green Bonds, (AGM), 4.00%, 11/15/46 | 1,195 | 1,233,945 | |
Green Bonds, (AGM), 5.00%, 11/15/41 | 1,500 | 1,690,935 | |
Green Bonds, (AGM), 5.00%, 11/15/44 | 1,675 | 1,856,537 | |
Pennsylvania Turnpike Commission, (AGM), 6.375%, 12/1/38 | 11,000 | 13,361,150 | |
$ 24,262,989 | |||
Insured - Water and Sewer — 0.7% | |||
Michigan Finance Authority, (Detroit Water and Sewerage Department): | |||
(AGM), 5.00%, 7/1/32 | $ | 655 | $ 694,294 |
(AGM), 5.00%, 7/1/33 | 565 | 598,510 | |
(AGM), 5.00%, 7/1/35 | 280 | 296,290 | |
(AGM), 5.00%, 7/1/37 | 565 | 597,617 | |
$ 2,186,711 | |||
Lease Revenue/Certificates of Participation — 2.6% | |||
Hudson Yards Infrastructure Corp., NY, 4.00%, 2/15/44 | $ | 1,155 | $ 1,210,267 |
New Jersey Economic Development Authority, (School Facilities Construction): | |||
4.00%, 6/15/34 | 500 | 524,795 | |
4.00%, 6/15/35 | 400 | 418,612 | |
4.00%, 6/15/38 | 600 | 621,678 | |
4.00%, 6/15/39 | 650 | 670,936 | |
4.00%, 6/15/40 | 700 | 721,413 | |
4.00%, 6/15/46 | 315 | 320,251 | |
5.00%, 6/15/37 | 3,000 | 3,324,960 | |
$ 7,812,912 |
Security | Principal Amount (000's omitted) | Value | |
Other Revenue — 2.0% | |||
Central Falls Detention Facility Corp., RI, 7.25%, 7/15/35(5) | $ | 1,200 | $ 216,000 |
Main Street Natural Gas, Inc., GA, Gas Supply Revenue, 4.00% to 9/1/27 (Put Date), 7/1/52 | 3,500 | 3,709,755 | |
Mercer County Improvement Authority, NJ, 4.00%, 3/15/40 | 935 | 1,015,419 | |
New York Liberty Development Corp., (One World Trade Center), 4.00%, 2/15/43 | 1,000 | 1,048,550 | |
$ 5,989,724 | |||
Senior Living/Life Care — 6.3% | |||
California Public Finance Authority, (Enso Village), Green Bonds, 2.375%, 11/15/28(1) | $ | 140 | $ 135,932 |
Manhattan, KS, (Meadowlark Hills), 4.00%, 6/1/46 | 1,150 | 1,113,545 | |
National Finance Authority, NH, (The Vista): | |||
5.25%, 7/1/39(1) | 265 | 260,845 | |
5.625%, 7/1/46(1) | 360 | 361,184 | |
5.75%, 7/1/54(1) | 775 | 779,355 | |
New Hope Cultural Education Facilities Finance Corp., TX, (Westminster), 4.00%, 11/1/55 | 1,325 | 1,325,914 | |
North Carolina Medical Care Commission, (EveryAge), 4.00%, 9/1/41 | 840 | 862,529 | |
Palm Beach County Health Facilities Authority, FL, (Sinai Residences of Boca Raton): | |||
Prerefunded to 6/1/22, 7.25%, 6/1/39 | 570 | 586,878 | |
Prerefunded to 6/1/22, 7.50%, 6/1/49 | 2,690 | 2,770,700 | |
Palm Beach County Health Facilities Authority, FL, (Toby & Leon Cooperman Sinai Residences of Boca Raton), 4.00%, 6/1/36 | 2,240 | 2,183,104 | |
Pompano Beach, FL, (John Knox Village), 4.00%, 9/1/41 | 1,270 | 1,271,753 | |
Saint Louis County Industrial Development Authority, MO, (St. Andrew's Resources for Seniors Obligated Group), 5.00%, 12/1/35 | 1,700 | 1,771,927 | |
Tempe Industrial Development Authority, AZ, (Friendship Village of Tempe): | |||
4.00%, 12/1/38 | 445 | 446,753 | |
4.00%, 12/1/46 | 415 | 402,928 | |
4.00%, 12/1/56 | 355 | 331,641 | |
Washington Housing Finance Commission, (Horizon House): | |||
5.00%, 1/1/32(1) | 1,575 | 1,719,097 | |
5.00%, 1/1/38(1) | 2,325 | 2,522,113 | |
Washington Housing Finance Commission, (Transforming Age), 5.00%, 1/1/34(1) | 245 | 254,322 | |
$ 19,100,520 |
Security | Principal Amount (000's omitted) | Value | |
Special Tax Revenue — 5.9% | |||
Connecticut, Special Tax Revenue, 4.00%, 5/1/36 | $ | 3,500 | $ 3,752,595 |
Illinois, Sales Tax Revenue, 4.00%, 6/15/33 | 250 | 259,740 | |
Jurupa Public Financing Authority, CA, 5.00%, 9/1/31 | 1,200 | 1,278,648 | |
Maryland Economic Development Corp., (Port Covington), 4.00%, 9/1/40 | 115 | 114,774 | |
New York City Transitional Finance Authority, NY, Future Tax Revenue: | |||
4.00%, 11/1/38 | 2,490 | 2,619,430 | |
4.00%, 5/1/44 | 1,430 | 1,483,625 | |
4.00%, 11/1/45 | 1,895 | 1,966,934 | |
New York Dormitory Authority, Personal Income Tax Revenue, 4.00%, 3/15/42 | 1,000 | 1,063,120 | |
Sales Tax Securitization Corp., IL, 5.00%, 1/1/36 | 4,000 | 4,539,160 | |
Washington Convention and Sports Authority, D.C., Dedicated Tax Revenue, 4.00%, 10/1/38 | 1,000 | 1,093,000 | |
$ 18,171,026 | |||
Transportation — 12.1% | |||
Central Texas Regional Mobility Authority, 5.00%, 1/1/45 | $ | 1,550 | $ 1,752,802 |
Chicago, IL, (O'Hare International Airport): | |||
4.00%, 1/1/35 | 2,500 | 2,645,025 | |
4.00%, 1/1/36 | 2,750 | 2,899,160 | |
Dallas and Fort Worth, TX, (Dallas/Fort Worth International Airport): | |||
5.25%, 11/1/30 | 1,100 | 1,153,152 | |
5.25%, 11/1/31 | 1,455 | 1,524,607 | |
Grand Parkway Transportation Corp., TX, 5.125%, 10/1/43 | 1,100 | 1,148,213 | |
Memphis-Shelby County Airport Authority, TN, 4.00%, 7/1/37 | 500 | 526,840 | |
Miami-Dade County, FL, Aviation Revenue, 5.00%, 10/1/33 | 2,650 | 2,806,694 | |
Miami-Dade County, FL, Seaport Revenue, 4.00%, 10/1/43 | 2,000 | 2,126,100 | |
New Jersey Transportation Trust Fund Authority, (Transportation Program): | |||
4.00%, 6/15/38 | 2,750 | 2,849,357 | |
4.00%, 6/15/40 | 1,665 | 1,714,451 | |
New Orleans Aviation Board, LA, 5.00%, 1/1/43 | 1,555 | 1,695,479 | |
New York Thruway Authority, 5.00%, 1/1/46 | 875 | 946,978 | |
New York Transportation Development Corp., (Terminal 4 John F. Kennedy International Airport): | |||
4.00%, 12/1/40 | 3,000 | 3,116,370 | |
4.00%, 12/1/41 | 2,900 | 2,997,295 | |
Philadelphia, PA, Airport Revenue, 4.00%, 7/1/40 | 5,000 | 5,244,350 |
Security | Principal Amount (000's omitted) | Value | |
Transportation (continued) | |||
Texas Private Activity Bond Surface Transportation Corp., (North Tarrant Express Managed Lanes Project): | |||
4.00%, 12/31/37 | $ | 275 | $ 285,156 |
4.00%, 12/31/38 | 510 | 528,064 | |
4.00%, 12/31/39 | 265 | 274,352 | |
5.00%, 12/31/35 | 355 | 398,164 | |
Texas Transportation Commission, 0.00%, 8/1/40 | 1,000 | 456,140 | |
$ 37,088,749 | |||
Water and Sewer — 6.3% | |||
Atlanta, GA, Water and Wastewater Revenue, 5.00%, 11/1/35(4) | $ | 6,990 | $ 7,901,496 |
Eastern Municipal Water District Financing Authority, CA, 5.00%, 7/1/36 | 1,000 | 1,209,140 | |
New York City Municipal Water Finance Authority, NY, (Water and Sewer System): | |||
4.00%, 6/15/41 | 4,000 | 4,236,840 | |
Series 2018 CC-1, 5.00%, 6/15/48 | 4,400 | 4,937,548 | |
Phoenix Civic Improvement Corp., AZ, Water System Revenue, 4.00%, 7/1/42 | 1,000 | 1,104,630 | |
$ 19,389,654 | |||
Total Tax-Exempt Municipal Obligations (identified cost $323,745,781) | $ 327,194,619 | ||
Total Investments — 107.4% (identified cost $324,960,487) | $ 328,259,675 | ||
Other Assets, Less Liabilities — (7.4)% | $ (22,538,780) | ||
Net Assets — 100.0% | $ 305,720,895 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At March 31, 2022, the aggregate value of these securities is $6,277,837 or 2.1% of the Fund's net assets. |
(2) | Variable rate demand obligation that may be tendered at par on any day for payment the lesser of 5 business days or 7 calendar days. The stated interest rate, which generally resets weekly, represents the rate in effect at March 31, 2022. |
(3) | When-issued security. |
(4) | Security represents the municipal bond held by a trust that issues residual interest bonds (see Note 1H). |
(5) | Defaulted security. Issuer has defaulted on the payment of interest and/or principal or has filed bankruptcy. |
At March 31, 2022, the concentration of the Fund's investments in the various states and territories, determined as a percentage of net assets, is as follows: |
New York | 14.4% |
California | 11.6% |
Pennsylvania | 10.6% |
Illinois | 10.5% |
Others, representing less than 10% individually | 60.3% |
The Fund invests primarily in debt securities issued by municipalities. The ability of the issuers of the debt securities to meet their obligations may be affected by economic developments in a specific industry or municipality. At March 31, 2022, 21.3% of total investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage insured by an individual financial institution or financial guaranty assurance agency ranged from 1.0% to 14.5% of total investments. |
Abbreviations: | |
AGM | – Assured Guaranty Municipal Corp. |
BAM | – Build America Mutual Assurance Co. |
LOC | – Letter of Credit |
NPFG | – National Public Finance Guarantee Corp. |
Corporate Bonds — 1.3% |
Security | Principal Amount (000's omitted) | Value | |
Education — 0.8% | |||
Chapman University: | |||
1.56%, 4/1/27 | $ | 4,995 | $ 4,474,317 |
1.867%, 4/1/29 | 5,160 | 4,631,970 | |
Grand Canyon University, 4.125%, 10/1/24 | 20,000 | 19,800,000 | |
$ 28,906,287 | |||
Hospital — 0.4% | |||
Tower Health, 4.451%, 2/1/50 | $ | 19,490 | $ 15,007,300 |
$ 15,007,300 | |||
Other Revenue — 0.1% | |||
YMCA of Greater New York, 2.303%, 8/1/26 | $ | 2,590 | $ 2,490,539 |
$ 2,490,539 | |||
Total Corporate Bonds (identified cost $50,618,377) | $ 46,404,126 |
Tax-Exempt Municipal Obligations — 96.4% |
Security | Principal Amount (000's omitted) | Value | |
Bond Bank — 1.8% | |||
Connecticut, (State Revolving Fund), Green Bonds, 5.00%, 3/1/28 | $ | 10,000 | $ 10,845,500 |
Illinois Finance Authority, (Revolving Fund), Green Bonds, 4.00%, 7/1/39 | 10,000 | 10,920,000 | |
New York State Environmental Facilities Corp., (State Revolving Fund), Green Bonds, 5.00%, 8/15/44 | 11,890 | 13,809,165 | |
Ohio Water Development Authority, Water Pollution Control Loan Fund, 5.00%, 6/1/29 | 10,000 | 11,822,700 | |
Rickenbacker Port Authority, OH, (OASBO Expanded Asset Pooled Financing Program), 5.375%, 1/1/32 | 10,615 | 12,478,569 | |
Texas Water Development Board, (State Revolving Fund), 4.00%, 8/1/36 | 3,000 | 3,307,500 | |
$ 63,183,434 | |||
Cogeneration — 0.1% | |||
Northampton County Industrial Development Authority, PA, (Northampton Generating), (AMT), 5.00%, 12/31/23(1) | $ | 14,652 | $ 3,663,079 |
$ 3,663,079 |
Security | Principal Amount (000's omitted) | Value | |
Education — 6.7% | |||
Arizona Industrial Development Authority, (Somerset Academy of Las Vegas), 4.00%, 12/15/41(2) | $ | 600 | $ 583,212 |
Connecticut Health and Educational Facilities Authority, (Trinity College), 4.00%, 6/1/40 | 1,760 | 1,881,141 | |
Connecticut Health and Educational Facilities Authority, (Yale University): | |||
5.00%, 7/1/27 | 5,000 | 5,747,400 | |
Series 2017B, 5.00%, 7/1/29 | 7,255 | 8,660,656 | |
Series T-2, 5.00%, 7/1/29 | 5,880 | 7,019,250 | |
District of Columbia, (District of Columbia International School), 5.00%, 7/1/49 | 2,290 | 2,496,558 | |
Florida Development Finance Corp., (River City Science Academy), 4.00%, 7/1/45 | 400 | 388,392 | |
Florida Higher Educational Facilities Financing Authority, (Jacksonville University), 4.75%, 6/1/38(2) | 2,245 | 2,299,015 | |
Georgia Private Colleges and Universities Authority, (Savannah College of Art and Design), 4.00%, 4/1/44 | 3,500 | 3,700,795 | |
Kentucky Bond Development Corp., (Centre College), 4.00%, 6/1/40 | 210 | 225,710 | |
Louisiana Public Facilities Authority, (Loyola University), 4.00%, 10/1/41 | 650 | 669,370 | |
Maryland Health and Higher Educational Facilities Authority, (Stevenson University): | |||
4.00%, 6/1/36 | 400 | 412,736 | |
4.00%, 6/1/40 | 500 | 512,055 | |
4.00%, 6/1/46 | 1,000 | 1,012,010 | |
Maryland Stadium Authority, Built to Learn Revenue, 4.00%, 6/1/47 | 7,000 | 7,376,460 | |
Massachusetts Development Finance Agency, (Harvard University), 5.00%, 7/15/34 | 18,855 | 21,018,611 | |
Michigan State University, 5.00%, 2/15/31 | 1,200 | 1,400,916 | |
New Jersey Educational Facilities Authority, (Princeton University), 5.00%, 7/1/33 | 4,370 | 4,985,733 | |
New York Dormitory Authority, (Columbia University), 5.00%, 10/1/38 | 18,310 | 21,124,613 | |
New York Dormitory Authority, (New York University), 4.00%, 7/1/46 | 8,000 | 8,632,720 | |
New York Dormitory Authority, (Rockefeller University): | |||
5.00%, 7/1/35 | 2,750 | 3,243,323 | |
5.00%, 7/1/53 | 15,000 | 17,548,200 | |
Ohio Higher Educational Facility Commission, (Case Western Reserve University), 4.00%, 12/1/44 | 4,815 | 5,237,564 | |
Purdue University, IN, 5.00%, 7/1/36 | 1,500 | 1,794,975 | |
San Antonio Education Facilities Corp., TX, (University of the Incarnate Word), 4.00%, 4/1/46 | 3,500 | 3,546,830 | |
Troy Capital Resource Corp., NY, (Rensselaer Polytechnic Institute), 5.00%, 9/1/39 | 6,000 | 6,960,540 |
Security | Principal Amount (000's omitted) | Value | |
Education (continued) | |||
University of California: | |||
5.25%, 5/15/36 | $ | 5,720 | $ 6,096,433 |
5.25%, 5/15/37 | 13,000 | 13,849,940 | |
5.25%, 5/15/38 | 7,700 | 8,198,498 | |
University of Virginia: | |||
5.00%, 4/1/38 | 13,205 | 14,981,469 | |
5.00%, 4/1/39 | 40,970 | 46,436,627 | |
Waco Education Finance Corp., TX, (Baylor University): | |||
4.00%, 3/1/36 | 1,000 | 1,093,130 | |
4.00%, 3/1/46 | 7,645 | 8,261,799 | |
$ 237,396,681 | |||
Electric Utilities — 5.1% | |||
Los Angeles Department of Water & Power, CA, Power System Revenue, 5.00%, 7/1/38 | $ | 6,130 | $ 7,150,768 |
Lower Colorado River Authority, TX, (LCRA Transmission Services Corp.), 5.00%, 5/15/45 | 1,500 | 1,697,370 | |
New Smyrna Beach Utilities Commission, FL: | |||
4.00%, 10/1/41 | 435 | 476,516 | |
4.00%, 10/1/42 | 300 | 325,572 | |
New York Power Authority: | |||
4.00%, 11/15/45 | 17,500 | 18,600,575 | |
Green Bonds, 4.00%, 11/15/50 | 2,700 | 2,856,681 | |
Green Bonds, 4.00%, 11/15/55 | 1,275 | 1,343,837 | |
Omaha Public Power District, NE, 5.00%, 2/1/39 | 10,805 | 11,666,807 | |
Philadelphia, PA, Gas Works Revenue, (LOC: TD Bank, N.A.), 0.50%, 8/1/31(3) | 11,565 | 11,565,000 | |
Public Power Generation Agency, NE, (Whelan Energy Center Unit 2), 5.00%, 1/1/28 | 6,025 | 6,477,598 | |
Sacramento Municipal Utility District, CA: | |||
5.00%, 8/15/35 | 1,000 | 1,184,450 | |
5.00%, 8/15/37 | 8,800 | 10,376,872 | |
5.00%, 8/15/38 | 11,000 | 12,951,290 | |
San Antonio, TX, Electric and Gas Systems Revenue: | |||
3.00%, 2/1/29 | 5,000 | 5,191,500 | |
3.00%, 2/1/30 | 6,500 | 6,755,905 | |
4.00%, 2/1/30 | 2,000 | 2,220,380 | |
Utility Debt Securitization Authority, NY: | |||
5.00%, 12/15/30(4) | 22,500 | 23,679,675 | |
5.00%, 12/15/31(4) | 27,500 | 28,941,825 | |
5.00%, 12/15/33 | 10,000 | 11,036,500 | |
5.00%, 12/15/40 | 13,260 | 15,032,729 | |
$ 179,531,850 |
Security | Principal Amount (000's omitted) | Value | |
Escrowed/Prerefunded — 3.2% | |||
Columbia, SC, Waterworks and Sewer System Revenue, Prerefunded to 2/1/29, 5.00%, 2/1/49 | $ | 2,340 | $ 2,766,348 |
Desert Community College District, CA, Prerefunded to 2/1/26, 5.00%, 8/1/37 | 5,350 | 5,940,800 | |
Detroit, MI, Sewage Disposal System, Prerefunded to 7/1/22, 5.25%, 7/1/39 | 22,500 | 22,732,425 | |
Michigan Finance Authority, (Detroit Water and Sewerage Department), Prerefunded to 7/1/22, 5.00%, 7/1/44 | 8,090 | 8,168,716 | |
New Jersey Turnpike Authority, Prerefunded to 7/1/24, 5.00%, 1/1/31 | 10,000 | 10,683,800 | |
Oxnard Union High School District, CA, (Election of 2018), Prerefunded to 8/1/26, 5.00%, 8/1/43 | 3,750 | 4,212,263 | |
Rutgers State University, NJ, Prerefunded to 5/1/23, 5.00%, 5/1/43(4) | 37,000 | 38,334,960 | |
Southwestern Illinois Development Authority, (Memorial Group, Inc.), Prerefunded to 11/1/23, 7.25%, 11/1/33 | 9,170 | 9,930,010 | |
Unified Government of Wyandotte County/Kansas City, KS, Utility System Revenue, Prerefunded to 9/1/22, 5.00%, 9/1/32 | 10,000 | 10,157,100 | |
University of California, Prerefunded to 5/15/24, 5.25%, 5/15/36 | 1,360 | 1,453,962 | |
$ 114,380,384 | |||
General Obligations — 21.2% | |||
Antelope Valley Community College District, CA, (Election of 2016), 4.00%, 8/1/45 | $ | 2,500 | $ 2,693,125 |
Arlington Independent School District, TX, (PSF Guaranteed), 4.00%, 2/15/39 | 1,250 | 1,391,338 | |
Belmont, MA, 4.00%, 3/15/32 | 3,030 | 3,330,455 | |
Boston, MA: | |||
5.00%, 11/1/23(5) | 4,225 | 4,440,475 | |
5.00%, 11/1/24(5) | 5,000 | 5,396,850 | |
5.00%, 11/1/25(5) | 22,520 | 24,923,334 | |
5.00%, 11/1/26(5) | 23,645 | 26,790,258 | |
Brisbane School District, CA, (Election of 2020), 4.00%, 8/1/47 | 3,745 | 3,966,741 | |
Cabrillo Unified School District, CA, (Election of 2018), 5.00%, 8/1/50 | 10,355 | 11,943,871 | |
California: | |||
0.94%, (SIFMA + 0.43%), 12/1/23 (Put Date), 12/1/29(6) | 15,000 | 15,019,500 | |
5.00%, 9/1/34 | 9,875 | 10,828,332 | |
5.00%, 4/1/42 | 5,000 | 5,626,000 | |
Centennial School District No. 28Jt, OR, 5.00%, 6/15/50 | 10,000 | 11,614,900 | |
Charleston County, SC, 3.00%, 11/1/33 | 2,000 | 2,076,140 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Chicago Board of Education, IL: | |||
5.00%, 12/1/22 | $ | 400 | $ 408,248 |
5.00%, 12/1/30 | 1,435 | 1,590,310 | |
5.00%, 12/1/42 | 2,770 | 2,814,846 | |
5.00%, 12/1/44 | 15,110 | 16,102,123 | |
Chicago, IL: | |||
5.00%, 1/1/39 | 2,100 | 2,274,237 | |
5.00%, 1/1/40 | 1,500 | 1,622,325 | |
Clackamas Community College District, OR: | |||
5.00%, 6/15/38 | 760 | 857,592 | |
5.00%, 6/15/39 | 1,000 | 1,126,850 | |
5.00%, 6/15/40 | 1,250 | 1,407,250 | |
Collin County Community College District, TX, 4.00%, 8/15/37 | 1,000 | 1,093,130 | |
Connecticut: | |||
4.00%, 1/15/37 | 10,000 | 10,680,600 | |
4.00%, 1/15/38 | 5,000 | 5,328,889 | |
Social Bonds, 4.00%, 1/15/38 | 10,000 | 10,777,000 | |
District of Columbia: | |||
4.00%, 2/1/40 | 4,250 | 4,636,878 | |
5.00%, 2/1/30 | 1,940 | 2,321,695 | |
5.00%, 10/15/30 | 4,000 | 4,714,800 | |
Florida, (Department of Transportation), 5.00%, 7/1/29(5) | 5,000 | 5,949,900 | |
Garden City Public Schools, MI: | |||
4.00%, 5/1/43 | 1,560 | 1,701,071 | |
5.00%, 5/1/35 | 1,060 | 1,254,849 | |
5.00%, 5/1/46 | 3,505 | 4,116,132 | |
Hall County School District, GA, 4.00%, 2/1/38 | 1,500 | 1,643,070 | |
Hawaii, 5.00%, 1/1/34 | 13,700 | 15,637,043 | |
Hennepin County Regional Railroad Authority, MN, 5.00%, 12/1/30 | 4,040 | 4,738,435 | |
Hennepin County, MN, (SPA: TD Bank, N.A.), 0.50%, 12/1/38(3) | 44,000 | 44,000,000 | |
Hermiston School District No. 8R, OR: | |||
0.00%, 6/15/42 | 6,475 | 3,363,892 | |
0.00%, 6/15/45 | 4,595 | 2,115,446 | |
Hillsboro School District No. 1J, OR, 4.00%, 6/15/40 | 2,500 | 2,753,550 | |
Howard County, MD: | |||
4.00%, 8/15/35 | 2,065 | 2,284,613 | |
4.00%, 8/15/36 | 6,610 | 7,305,703 | |
4.00%, 8/15/37 | 5,000 | 5,502,600 | |
4.00%, 8/15/38 | 1,245 | 1,363,101 | |
Hudsonville Public Schools, MI: | |||
4.00%, 5/1/37 | 1,500 | 1,651,845 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Hudsonville Public Schools, MI: (continued) | |||
4.00%, 5/1/39 | $ | 1,060 | $ 1,163,763 |
4.00%, 5/1/44 | 1,975 | 2,149,847 | |
Illinois: | |||
5.00%, 2/1/24 | 10,705 | 11,226,119 | |
5.00%, 11/1/24 | 11,295 | 12,026,690 | |
5.00%, 2/1/27 | 18,500 | 19,491,785 | |
5.00%, 2/1/29 | 15,000 | 16,401,150 | |
5.00%, 5/1/39 | 10,000 | 10,533,400 | |
5.25%, 7/1/30 | 6,150 | 6,433,269 | |
5.50%, 5/1/39 | 870 | 984,031 | |
5.75%, 5/1/45 | 890 | 1,012,989 | |
Jackson County Reorganized School District No. 7, MO, 4.00%, 3/1/39 | 1,945 | 2,112,873 | |
Kane, Cook and DuPage Counties School District No. 46, IL: | |||
5.00%, 1/1/29 | 1,920 | 2,016,096 | |
5.00%, 1/1/30 | 4,105 | 4,309,757 | |
Lake Washington School District No. 414, WA, 4.00%, 12/1/28 | 10,000 | 11,129,200 | |
Lamar Consolidated Independent School District, TX, (PSF Guaranteed), 4.00%, 2/15/40(5) | 5,000 | 5,526,700 | |
Massachusetts: | |||
5.00%, 7/1/35 | 10,000 | 10,905,000 | |
5.00%, 3/1/37 | 10,900 | 11,521,300 | |
New Jersey: | |||
5.00%, 6/1/26 | 4,670 | 5,163,059 | |
5.00%, 6/1/27 | 4,000 | 4,496,240 | |
New York, NY: | |||
4.00%, 8/1/38 | 3,590 | 3,821,052 | |
4.00%, 8/1/42(4) | 28,000 | 29,691,760 | |
5.00%, 8/1/26(5) | 7,000 | 7,824,880 | |
Novi Community School District, MI: | |||
5.00%, 5/1/41 | 1,100 | 1,306,481 | |
5.00%, 5/1/42 | 1,700 | 2,015,537 | |
5.00%, 5/1/43 | 1,150 | 1,360,531 | |
Ocean City, NJ, 2.25%, 9/15/32 | 1,760 | 1,645,565 | |
Oklahoma City, OK: | |||
4.00%, 3/1/26(5) | 5,665 | 6,088,912 | |
4.00%, 3/1/27(5) | 5,490 | 5,987,778 | |
Palo Alto Unified School District, CA, (Election of 2018), 5.00%, 8/1/25(5) | 13,945 | 15,345,915 | |
Park City, UT, 4.00%, 2/1/31 | 3,490 | 3,866,780 | |
Piscataway Township, NJ, 2.00%, 10/15/36 | 1,600 | 1,326,240 | |
Puerto Rico: | |||
0.00%, 7/1/24 | 775 | 707,223 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Puerto Rico: (continued) | |||
0.00%, 7/1/33 | $ | 1,938 | $ 1,122,047 |
4.00%, 7/1/33 | 1,506 | 1,473,835 | |
4.00%, 7/1/35 | 1,353 | 1,310,029 | |
4.00%, 7/1/37 | 1,162 | 1,119,089 | |
4.00%, 7/1/41 | 1,579 | 1,505,708 | |
4.00%, 7/1/46 | 1,642 | 1,552,086 | |
5.25%, 7/1/23 | 1,682 | 1,723,077 | |
5.375%, 7/1/25 | 1,677 | 1,770,818 | |
5.625%, 7/1/27 | 1,662 | 1,816,929 | |
5.625%, 7/1/29 | 1,635 | 1,826,393 | |
5.75%, 7/1/31 | 1,588 | 1,812,530 | |
Richmond Community Schools, MI: | |||
4.00%, 5/1/36 | 2,200 | 2,407,174 | |
4.00%, 5/1/37 | 2,655 | 2,893,446 | |
4.00%, 5/1/38 | 2,665 | 2,900,399 | |
4.00%, 5/1/39 | 2,665 | 2,896,482 | |
Tennessee, 5.00%, 9/1/28 | 3,000 | 3,453,240 | |
Texas: | |||
(SPA: State Street Bank and Trust Co.), 0.52%, 12/1/41(3) | 12,070 | 12,070,000 | |
(SPA: State Street Bank and Trust Co.), 0.52%, 6/1/44(3) | 9,795 | 9,795,000 | |
(SPA: State Street Bank and Trust Co.), 0.52%, 6/1/45(3) | 57,755 | 57,755,000 | |
(AMT), 4.50%, 8/1/28 | 1,585 | 1,792,033 | |
(AMT), (SPA: State Street Bank and Trust Co.), 0.56%, 6/1/34(3) | 5,705 | 5,705,000 | |
Texas, (Texas Transportation Commission), Prerefunded to 10/1/24, 5.00%, 10/1/44 | 10,000 | 10,752,000 | |
Virginia Beach, VA, 4.00%, 7/15/32 | 2,300 | 2,572,136 | |
Walled Lake Consolidated School District, MI, 5.00%, 5/1/41 | 700 | 818,531 | |
Washington: | |||
5.00%, 2/1/33 | 13,140 | 13,818,418 | |
5.00%, 6/1/35 | 9,785 | 11,466,161 | |
5.00%, 8/1/35 | 14,355 | 16,263,928 | |
5.00%, 6/1/39 | 2,125 | 2,506,990 | |
5.00%, 8/1/44 | 9,235 | 11,001,563 | |
Washington County, OR, 4.00%, 3/1/30 | 1,000 | 1,064,350 | |
Washington Suburban Sanitary District, MD, (SPA: TD Bank, N.A.), 0.55%, 6/1/23(3) | 6,800 | 6,800,000 | |
West Linn-Wilsonville School District No. 3JT, OR, 0.00%, 6/15/41 | 1,500 | 745,410 | |
West Sonoma County Union High School District, CA, (Election of 2018): | |||
5.00%, 8/1/46 | 1,000 | 1,152,160 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
West Sonoma County Union High School District, CA, (Election of 2018): (continued) | |||
5.00%, 8/1/49 | $ | 3,430 | $ 3,947,210 |
Wisconsin, 5.00%, 5/1/38 | 22,500 | 24,195,375 | |
$ 748,575,811 | |||
Hospital — 9.4% | |||
Allegheny County Hospital Development Authority, PA, (Allegheny Health Network Obligated Group), 4.00%, 4/1/44 | $ | 4,035 | $ 4,216,696 |
Allegheny County Hospital Development Authority, PA, (UPMC Health System), 5.00%, 7/15/32 | 2,250 | 2,602,777 | |
Arlington County Industrial Development Authority, VA, (Virginia Hospital Center): | |||
4.00%, 7/1/38 | 1,000 | 1,091,300 | |
4.00%, 7/1/45 | 3,000 | 3,234,240 | |
Berks County Industrial Development Authority, PA, (Tower Health), 5.00%, 11/1/47 | 510 | 522,684 | |
Brevard County Health Facilities Authority, FL, (Health First Obligated Group), 5.00%, 4/1/47(5) | 20,000 | 22,595,600 | |
Bucks County Industrial Development Authority, PA, (Grand View Hospital), 4.00%, 7/1/46 | 4,000 | 4,117,440 | |
California Health Facilities Financing Authority, (St. Joseph Health System): | |||
Prerefunded to 7/1/23, 5.00%, 7/1/33 | 17,530 | 18,240,666 | |
Prerefunded to 7/1/23, 5.00%, 7/1/37 | 25,465 | 26,497,351 | |
Connecticut Health and Educational Facilities Authority, (Nuvance Health), 4.00%, 7/1/34 | 2,455 | 2,558,208 | |
Decatur Hospital Authority, TX, (Wise Health System), 4.00%, 9/1/35 | 845 | 887,698 | |
DeKalb Private Hospital Authority, GA, (Children's Healthcare of Atlanta), 5.00%, 7/1/31 | 1,000 | 1,174,340 | |
Douglas County Hospital Authority No. 2, NE, (Children's Hospital Obligated Group): | |||
4.00%, 11/15/36 | 425 | 464,266 | |
4.00%, 11/15/41 | 590 | 639,796 | |
DuBois Hospital Authority, PA, (Penn Highlands Healthcare), 5.00%, 7/15/33 | 855 | 999,085 | |
Duluth Economic Development Authority, MN, (St. Luke's Hospital of Duluth Obligated Group), 4.00%, 6/15/35 | 1,260 | 1,334,012 | |
Escambia County Health Facilities Authority, FL, (Baptist Health Care Corp. Obligated Group), 4.00%, 8/15/50 | 4,340 | 4,412,391 | |
Franklin County, OH, (OhioHealth Corp.), 4.00%, 5/15/47 | 3,710 | 3,945,622 | |
Fulton County Development Authority, GA, (Piedmont Healthcare, Inc.), 4.00%, 7/1/37 | 2,000 | 2,147,880 | |
Hamilton County, OH, (UC Health), 5.00%, 9/15/50 | 8,000 | 9,116,160 |
Security | Principal Amount (000's omitted) | Value | |
Hospital (continued) | |||
Idaho Health Facilities Authority, (St. Luke's Health System), 4.00%, 3/1/46 | $ | 5,750 | $ 5,987,532 |
Illinois Finance Authority, (Edward-Elmhurst Healthcare), 1.26%, (SIFMA + 0.75%), 7/1/23 (Put Date), 1/1/46(6) | 9,500 | 9,505,700 | |
Illinois Finance Authority, (Presence Health Network): | |||
5.00%, 2/15/26 | 7,500 | 8,291,700 | |
5.00%, 2/15/33 | 1,500 | 1,681,170 | |
Kentucky Economic Development Finance Authority, (CommonSpirit Health), 5.00%, 8/1/44 | 6,000 | 6,725,460 | |
Lancaster County Hospital Authority, PA, (Penn State Health), 5.00%, 11/1/46 | 18,000 | 20,237,580 | |
Massachusetts Development Finance Agency, (CareGroup), 5.00%, 7/1/43 | 2,785 | 3,163,649 | |
Medford Hospital Facilities Authority, OR, (Asante Health System), 5.00%, 8/15/45 | 3,000 | 3,406,050 | |
Minneapolis and St. Paul Housing and Redevelopment Authority, MN, (Allina Health System), 5.00%, 11/15/23 | 1,700 | 1,786,547 | |
Minneapolis, MN, (Allina Health System), 4.00%, 11/15/38 | 6,750 | 7,331,310 | |
Missouri Health and Educational Facilities Authority, (Mosaic Health System), 4.00%, 2/15/44 | 2,200 | 2,284,392 | |
Missouri Health and Educational Facilities Authority, (SSM Health Care), 5.00%, 6/1/30 | 7,505 | 7,959,353 | |
New York Dormitory Authority, (Memorial Sloan-Kettering Cancer Center), 4.00%, 7/1/38 | 3,400 | 3,637,150 | |
New York Dormitory Authority, (NYU Langone Hospitals Obligated Group): | |||
4.00%, 7/1/50 | 6,830 | 7,085,988 | |
4.00%, 7/1/53 | 7,000 | 7,244,510 | |
North Carolina Medical Care Commission, (Rex Healthcare): | |||
4.00%, 7/1/40 | 1,400 | 1,494,346 | |
4.00%, 7/1/49 | 2,635 | 2,764,695 | |
Oklahoma Development Finance Authority, (OU Medicine): | |||
5.00%, 8/15/38 | 1,750 | 1,868,282 | |
5.25%, 8/15/43 | 5,200 | 5,615,220 | |
Oregon Facilities Authority, (PeaceHealth), (LOC: TD Bank, N.A.), 0.35%, 8/1/34(7) | 18,320 | 18,320,000 | |
Oregon Facilities Authority, (Samaritan Health Services), 5.00%, 10/1/35 | 2,260 | 2,475,514 | |
Paulding County Hospital Authority, GA, (WellStar Health System, Inc.), 5.00%, 4/1/43 | 1,720 | 1,966,579 | |
Pennsylvania Economic Development Financing Authority, (UPMC), 4.00%, 4/15/45 | 3,250 | 3,410,160 |
Security | Principal Amount (000's omitted) | Value | |
Hospital (continued) | |||
Pennsylvania Higher Educational Facilities Authority, (University of Pennsylvania Health System): | |||
5.00%, 8/15/23(5) | $ | 500 | $ 519,310 |
5.00%, 8/15/24(5) | 550 | 584,139 | |
5.00%, 8/15/25(5) | 500 | 543,540 | |
5.00%, 8/15/26(5) | 600 | 666,600 | |
Public Finance Authority, WI, (Blue Ridge HealthCare): | |||
5.00%, 1/1/36 | 470 | 540,697 | |
5.00%, 1/1/37 | 500 | 573,750 | |
Spartanburg Regional Health Services District, Inc., SC: | |||
4.00%, 4/15/36 | 1,380 | 1,499,191 | |
5.00%, 4/15/35 | 1,580 | 1,876,993 | |
Tampa, FL, (BayCare Health System), 5.00%, 11/15/46 | 10,500 | 11,511,780 | |
Tarrant County Cultural Education Facilities Finance Corp., TX, (Cook Children's Medical Center), 4.00%, 12/1/34 | 2,685 | 2,937,041 | |
University of Kansas Hospital Authority, 5.00%, 9/1/45 | 25,500 | 27,672,090 | |
Virginia Small Business Financing Authority, (Sentara Healthcare), 4.00%, 11/1/38 | 5,000 | 5,402,050 | |
Washington Health Care Facilities Authority, (Overlake Hospital Medical Center), 5.00%, 7/1/42 | 2,250 | 2,542,342 | |
West Virginia Hospital Finance Authority, (West Virginia United Health System Obligated Group), Prerefunded to 6/1/23, 5.375%, 6/1/38 | 21,895 | 22,820,502 | |
Wisconsin Health and Educational Facilities Authority, (Ascension Health Alliance Senior Credit Group), 4.00%, 11/15/43 | 6,115 | 6,397,085 | |
$ 331,128,209 | |||
Housing — 0.7% | |||
CMFA Special Finance Agency, CA, (Solana at Grand), 4.00%, 8/1/56(2) | $ | 5,525 | $ 5,080,238 |
Maryland Economic Development Corp., (Morgan State University), Student Housing Revenue, 5.00%, 7/1/56 | 1,750 | 1,906,345 | |
Massachusetts Housing Finance Agency, (Mill Road Apartments), 1.06%, (SIFMA + 0.55%), 11/1/23 (Put Date), 11/1/48(6) | 3,920 | 3,920,000 | |
New York City Housing Development Corp., NY, 2.60%, 11/1/46 | 3,000 | 2,439,630 | |
Texas Student Housing Corp., (University of Northern Texas), 6.85%, 7/1/31 | 10,640 | 10,115,235 | |
$ 23,461,448 | |||
Industrial Development Revenue — 2.4% | |||
Arkansas Development Finance Authority, (Big River Steel), (AMT), 4.50%, 9/1/49(2) | $ | 1,000 | $ 1,019,620 |
Security | Principal Amount (000's omitted) | Value | |
Industrial Development Revenue (continued) | |||
George L. Smith II Georgia World Congress Center Authority, 4.00%, 1/1/54 | $ | 4,690 | $ 4,600,656 |
Metropolitan Nashville Airport Authority, TN, (Aero Nashville), 5.20%, 7/1/26 | 230 | 228,040 | |
Mission Economic Development Corp., TX, (Waste Management, Inc.), (AMT), 1.00% to 6/1/22 (Put Date), 5/1/46 | 10,000 | 9,994,500 | |
New Jersey Economic Development Authority, (New Jersey-American Water Co., Inc.), (AMT), 2.20% to 12/3/29 (Put Date), 10/1/39 | 13,900 | 13,453,949 | |
New York Transportation Development Corp., (Delta Air Lines, Inc. - LaGuardia Airport Terminals C&D Redevelopment): | |||
(AMT), 4.375%, 10/1/45 | 4,475 | 4,589,515 | |
(AMT), 5.00%, 10/1/35 | 41,585 | 46,617,617 | |
Vermont Economic Development Authority, (Casella Waste Systems, Inc.), (AMT), 4.625% to 4/3/28 (Put Date), 4/1/36(2) | 475 | 513,551 | |
Warren County, MS, (International Paper Co.), 1.375% to 6/16/25 (Put Date), 5/1/34 | 4,000 | 3,851,840 | |
$ 84,869,288 | |||
Insured - Education — 0.4% | |||
University of Wyoming: | |||
(AGM), 4.00%, 6/1/41 | $ | 6,645 | $ 7,236,804 |
(AGM), 4.00%, 6/1/51 | 5,000 | 5,368,750 | |
$ 12,605,554 | |||
Insured - Electric Utilities — 0.0%(8) | |||
West Memphis, AR, Public Utility System Revenue, (BAM), 3.00%, 12/1/41 | $ | 1,750 | $ 1,758,785 |
$ 1,758,785 | |||
Insured - Escrowed/Prerefunded — 1.2% | |||
North Texas Tollway Authority, (AGC), Prerefunded to 1/1/25, 6.20%, 1/1/42 | $ | 37,070 | $ 41,263,358 |
$ 41,263,358 | |||
Insured - General Obligations — 1.2% | |||
Grandville Public Schools, MI: | |||
(AGM), 4.00%, 5/1/35 | $ | 785 | $ 859,520 |
(AGM), 4.00%, 5/1/36 | 1,045 | 1,141,589 | |
(AGM), 4.00%, 5/1/38 | 1,000 | 1,088,160 | |
(AGM), 4.00%, 5/1/39 | 1,000 | 1,086,510 | |
(AGM), 4.00%, 5/1/40 | 650 | 705,679 | |
Nassau County, NY, (AGM), 5.00%, 4/1/49 | 10,000 | 11,454,300 | |
New Haven, CT, (AGM), 5.00%, 8/1/39 | 3,000 | 3,456,660 |
Security | Principal Amount (000's omitted) | Value | |
Insured - General Obligations (continued) | |||
Oceanside Unified School District, CA, (Election of 2020), (AGM), 4.00%, 8/1/46 | $ | 3,990 | $ 4,321,569 |
Santa Rosa Elementary School District, CA, (Election of 2014), (BAM), 4.00%, 8/1/43 | 1,000 | 1,077,320 | |
Santa Rosa High School District, CA, (Election of 2014): | |||
(AGM), 5.00%, 8/1/43 | 3,930 | 4,330,389 | |
(BAM), 4.00%, 8/1/40 | 180 | 194,870 | |
(BAM), 4.00%, 8/1/41 | 1,000 | 1,081,280 | |
(BAM), 4.00%, 8/1/42 | 1,200 | 1,295,388 | |
(BAM), 4.00%, 8/1/43 | 1,000 | 1,077,320 | |
Ukiah Unified School District, CA, (Election of 2020): | |||
(AGM), 5.00%, 8/1/38 | 1,330 | 1,545,859 | |
(AGM), 5.00%, 8/1/45 | 2,000 | 2,305,120 | |
(AGM), 5.00%, 8/1/49 | 2,250 | 2,583,585 | |
Wiggins School District No. RE-50(J), CO, (BAM), 4.00%, 12/1/46 | 2,500 | 2,725,150 | |
$ 42,330,268 | |||
Insured - Hospital — 0.0%(8) | |||
Connecticut Health and Educational Facilities Authority, (Hartford HealthCare Obligated Group), (AGM), 4.00%, 7/1/36 | $ | 1,700 | $ 1,830,016 |
$ 1,830,016 | |||
Insured - Other Revenue — 1.0% | |||
Harris County-Houston Sports Authority, TX, (AGM), (NPFG), 0.00%, 11/15/34 | $ | 58,155 | $ 33,255,937 |
New York City Industrial Development Agency, NY, (Yankee Stadium): | |||
(AGM), 3.00%, 3/1/39 | 2,680 | 2,482,752 | |
(AGM), 3.00%, 3/1/40 | 395 | 362,420 | |
$ 36,101,109 | |||
Insured - Special Tax Revenue — 0.5% | |||
Massachusetts, Dedicated Tax Revenue: | |||
(NPFG), 5.50%, 1/1/29 | $ | 11,000 | $ 13,002,550 |
(NPFG), 5.50%, 1/1/30 | 3,080 | 3,702,745 | |
$ 16,705,295 | |||
Insured - Transportation — 1.4% | |||
E-470 Public Highway Authority, CO, (NPFG), 0.00%, 9/1/37 | $ | 13,335 | $ 6,794,049 |
Kansas City Industrial Development Authority, MO, (Kansas City International Airport Terminal Modernization), (AGM), (AMT), 5.00%, 3/1/49 | 14,800 | 16,280,592 |
Security | Principal Amount (000's omitted) | Value | |
Insured - Transportation (continued) | |||
Metropolitan Transportation Authority, NY: | |||
Green Bonds, (AGM), 4.00%, 11/15/46 | $ | 5,970 | $ 6,164,562 |
Green Bonds, (AGM), 4.00%, 11/15/48(4) | 8,900 | 9,181,952 | |
Green Bonds, (AGM), 5.00%, 11/15/41 | 3,500 | 3,945,515 | |
Philadelphia, PA, Airport Revenue, (AGM), (AMT), 4.00%, 7/1/46 | 6,050 | 6,213,290 | |
$ 48,579,960 | |||
Insured - Water and Sewer — 0.0%(8) | |||
West Harris County Regional Water Authority, TX, (BAM), 4.00%, 12/15/39 | $ | 1,300 | $ 1,440,322 |
$ 1,440,322 | |||
Lease Revenue/Certificates of Participation — 1.1% | |||
Hillsborough County, FL, 4.00%, 8/1/31 | $ | 4,760 | $ 5,316,968 |
Hudson Yards Infrastructure Corp., NY, 4.00%, 2/15/44 | 1,530 | 1,603,210 | |
New Jersey Economic Development Authority, (Juvenile Justice Commission Facilities), 5.00%, 6/15/47 | 3,605 | 3,910,307 | |
New Jersey Economic Development Authority, (School Facilities Construction): | |||
4.00%, 6/15/37 | 1,800 | 1,872,162 | |
5.00%, 6/15/34 | 8,460 | 9,420,802 | |
5.00%, 6/15/35 | 13,300 | 14,768,985 | |
5.00%, 6/15/39 | 2,165 | 2,411,832 | |
$ 39,304,266 | |||
Nursing Home — 0.1% | |||
Mississippi Business Finance Corp., (Magnolia Healthcare), 7.99%, 7/1/25 | $ | 4,100 | $ 4,123,903 |
$ 4,123,903 | |||
Other Revenue — 2.4% | |||
Buckeye Tobacco Settlement Financing Authority, OH, 5.00%, 6/1/55 | $ | 10,300 | $ 10,726,317 |
Central Falls Detention Facility Corp., RI, 7.25%, 7/15/35(9) | 250 | 45,000 | |
Cleveland-Cuyahoga County Port Authority, OH, (Playhouse Square Foundation), 5.25%, 12/1/38 | 750 | 811,110 | |
DuPage County, IL, (The Morton Arboretum), Green Bonds, 3.00%, 5/15/47 | 5,085 | 4,531,040 | |
Houston, TX, Hotel Occupancy Tax and Special Revenue: | |||
3.00%, 9/1/32 | 500 | 499,850 | |
3.00%, 9/1/33 | 315 | 313,601 | |
4.00%, 9/1/29 | 435 | 476,386 | |
4.00%, 9/1/30 | 445 | 489,558 |
Security | Principal Amount (000's omitted) | Value | |
Other Revenue (continued) | |||
Houston, TX, Hotel Occupancy Tax and Special Revenue: (continued) | |||
4.00%, 9/1/31 | $ | 425 | $ 469,162 |
Kalispel Tribe of Indians, WA: | |||
Series A, 5.25%, 1/1/38(2) | 1,865 | 2,072,929 | |
Series B, 5.25%, 1/1/38(2) | 1,000 | 1,111,490 | |
Metropolitan Pier and Exposition Authority, IL, (McCormick Place), 4.00%, 12/15/47 | 10,440 | 10,428,934 | |
Minnesota Municipal Gas Agency, 1.188%, (67% of SOFR + 1.00%), 12/1/52(6) | 10,000 | 9,972,700 | |
New York City Transitional Finance Authority, NY, (Building Aid), 5.00%, 7/15/43 | 22,350 | 24,289,309 | |
New York Liberty Development Corp., (One World Trade Center), 4.00%, 2/15/43 | 3,000 | 3,145,650 | |
Texas Municipal Gas Acquisition and Supply Corp. I, Gas Supply Revenue, 6.25%, 12/15/26 | 13,960 | 15,321,100 | |
$ 84,704,136 | |||
Senior Living/Life Care — 1.9% | |||
California Public Finance Authority, (Enso Village): | |||
Green Bonds, 2.125%, 11/15/27(2) | $ | 1,155 | $ 1,122,360 |
Green Bonds, 2.375%, 11/15/28(2) | 970 | 941,812 | |
Green Bonds, 5.00%, 11/15/46(2) | 540 | 564,289 | |
Green Bonds, 5.00%, 11/15/56(2) | 360 | 373,050 | |
Clackamas County Hospital Facility Authority, OR, (Rose Villa): | |||
5.25%, 11/15/50 | 250 | 261,340 | |
5.375%, 11/15/55 | 300 | 314,697 | |
Florida Development Finance Corp., (Mayflower Retirement Community): | |||
4.00%, 6/1/27(2) | 1,270 | 1,335,811 | |
4.00%, 6/1/28(2) | 1,325 | 1,392,098 | |
Iowa Finance Authority, (Lifespace Communities, Inc.): | |||
4.00%, 5/15/28 | 2,355 | 2,425,768 | |
5.00%, 5/15/48 | 9,000 | 9,248,580 | |
Manhattan, KS, (Meadowlark Hills), 4.00%, 6/1/46 | 1,000 | 968,300 | |
Multnomah County Hospital Facilities Authority, OR, (Terwilliger Plaza): | |||
4.00%, 12/1/36 | 2,235 | 2,183,930 | |
4.00%, 12/1/41 | 3,860 | 3,677,615 | |
New Hope Cultural Education Facilities Finance Corp., TX, (Longhorn Village), 5.00%, 1/1/47 | 8,000 | 8,282,480 | |
Palm Beach County Health Facilities Authority, FL, (Lifespace Communities, Inc.): | |||
4.00%, 5/15/28 | 1,280 | 1,318,464 | |
4.00%, 5/15/29 | 1,440 | 1,480,378 |
Security | Principal Amount (000's omitted) | Value | |
Senior Living/Life Care (continued) | |||
Palm Beach County Health Facilities Authority, FL, (Toby & Leon Cooperman Sinai Residences of Boca Raton), 4.25%, 6/1/56 | $ | 6,040 | $ 5,727,068 |
Public Finance Authority, WI, (Searstone CCRC), 3.00%, 6/1/28 | 17,410 | 16,439,915 | |
Rockville, MD, (Ingleside at King Farm): | |||
5.00%, 11/1/31 | 1,010 | 1,060,500 | |
5.00%, 11/1/32 | 525 | 549,917 | |
St. Johns County Industrial Development Authority, FL, (Vicar's Landing), 4.00%, 12/15/41 | 750 | 721,230 | |
Tarrant County Cultural Education Facilities Finance Corp., TX, (MRC Stevenson Oaks): | |||
6.625%, 11/15/41 | 730 | 803,606 | |
6.75%, 11/15/51 | 3,250 | 3,565,380 | |
6.875%, 11/15/55 | 200 | 220,200 | |
Wisconsin Health and Educational Facilities Authority, (Saint John's Communities, Inc.): | |||
4.00%, 9/15/41(5) | 765 | 709,101 | |
4.00%, 9/15/45(5) | 650 | 587,294 | |
5.00%, 9/15/37 | 495 | 503,182 | |
Prerefunded to 9/15/23, 5.00%, 9/15/40 | 750 | 784,245 | |
$ 67,562,610 | |||
Special Tax Revenue — 6.4% | |||
Connecticut, Special Tax Revenue, 4.00%, 5/1/39 | $ | 2,650 | $ 2,825,907 |
District of Columbia, Income Tax Revenue: | |||
4.00%, 5/1/45 | 6,500 | 6,993,675 | |
5.00%, 3/1/39 | 5,060 | 5,964,323 | |
Harris County Metropolitan Transit Authority, TX, Sales and Use Tax Revenue, 5.00%, 11/1/38 | 7,950 | 9,389,665 | |
Illinois Sports Facilities Authority: | |||
5.00%, 6/15/29 | 2,250 | 2,481,525 | |
5.00%, 6/15/30 | 2,400 | 2,626,800 | |
Maryland Economic Development Corp., (Port Covington), 4.00%, 9/1/40 | 1,285 | 1,282,469 | |
Michigan Trunk Line Fund, 4.00%, 11/15/45 | 17,000 | 18,179,803 | |
New River Community Development District, FL, (Capital Improvements): | |||
5.00%, 5/1/13(9) | 230 | 0 | |
5.35%, 5/1/38(9) | 80 | 0 | |
5.75%, 5/1/38 | 340 | 342,927 | |
New York City Transitional Finance Authority, NY, Future Tax Revenue: | |||
4.00%, 8/1/38 | 5,000 | 5,267,150 | |
5.00%, 8/1/35 | 10,485 | 11,795,415 | |
5.00%, 5/1/36 | 4,050 | 4,605,741 | |
5.00%, 5/1/39 | 9,240 | 10,278,761 |
Security | Principal Amount (000's omitted) | Value | |
Special Tax Revenue (continued) | |||
New York City Transitional Finance Authority, NY, Future Tax Revenue: (continued) | |||
5.00%, 11/1/39 | $ | 10,000 | $ 11,300,500 |
2015 Series B, 5.00%, 8/1/39 | 4,585 | 4,883,438 | |
2018 Series A, 5.00%, 8/1/39 | 11,845 | 13,225,179 | |
New York Dormitory Authority, Personal Income Tax Revenue: | |||
4.00%, 3/15/42 | 6,000 | 6,378,720 | |
5.00%, 2/15/45 | 9,995 | 10,661,067 | |
5.00%, 2/15/48 | 7,890 | 8,979,293 | |
New York Dormitory Authority, Sales Tax Revenue: | |||
5.00%, 3/15/36 | 7,840 | 8,689,464 | |
5.00%, 3/15/40 | 10,000 | 11,161,100 | |
(AMT), 5.00%, 3/15/27 | 1,620 | 1,830,649 | |
(AMT), 5.00%, 3/15/28 | 1,705 | 1,966,734 | |
(AMT), 5.00%, 3/15/29 | 1,790 | 2,082,110 | |
(AMT), 5.00%, 3/15/31 | 970 | 1,121,165 | |
(AMT), 5.00%, 3/15/32 | 2,070 | 2,388,159 | |
New York State Urban Development Corp., Personal Income Tax Revenue: | |||
5.00%, 3/15/35 | 12,000 | 13,070,280 | |
5.00%, 3/15/41 | 10,000 | 11,191,700 | |
Puerto Rico Sales Tax Financing Corp.: | |||
4.329%, 7/1/40 | 5,536 | 5,740,666 | |
4.784%, 7/1/58 | 2,219 | 2,338,427 | |
San Francisco Bay Area Rapid Transit District, CA, Sales Tax Revenue: | |||
4.00%, 7/1/37 | ���3,075 | 3,310,729 | |
4.00%, 7/1/38 | 7,495 | 8,054,277 | |
Southern Hills Plantation I Community Development District, FL: | |||
Series A1, 5.80%, 5/1/35 | 440 | 400,497 | |
Series A2, 5.80%, 5/1/35 | 310 | 229,887 | |
Sterling Hill Community Development District, FL, 6.20%, 5/1/35 | 1,532 | 918,988 | |
Texas Transportation Commission, Prerefunded to 4/1/24, 5.00%, 4/1/33(4) | 10,000 | 10,602,300 | |
Washington Convention and Sports Authority, D.C., Dedicated Tax Revenue: | |||
4.00%, 10/1/37 | 1,000 | 1,094,750 | |
4.00%, 10/1/39 | 1,000 | 1,090,490 | |
$ 224,744,730 | |||
Student Loan — 0.1% | |||
New Jersey Higher Education Student Assistance Authority, (AMT), 4.00%, 12/1/28 | $ | 2,720 | $ 2,765,125 |
$ 2,765,125 |
Security | Principal Amount (000's omitted) | Value | |
Transportation — 24.3% | |||
Atlanta, GA, Airport Revenue: | |||
(AMT), 4.00%, 7/1/34 | $ | 3,480 | $ 3,649,163 |
(AMT), 4.00%, 7/1/36 | 5,000 | 5,230,200 | |
(AMT), 4.00%, 7/1/39 | 1,000 | 1,052,440 | |
Austin, TX, Airport System Revenue, (AMT), 5.00%, 11/15/35 | 2,625 | 2,954,962 | |
Charleston County Airport District, SC, (AMT), 5.50%, 7/1/38 | 10,000 | 10,369,800 | |
Chicago, IL, (Midway International Airport): | |||
5.00%, 1/1/33 | 3,830 | 3,996,873 | |
(AMT), 5.00%, 1/1/34 | 5,250 | 5,465,932 | |
Chicago, IL, (O'Hare International Airport): | |||
4.00%, 1/1/36 | 7,000 | 7,379,680 | |
5.00%, 1/1/32 | 15,160 | 17,413,079 | |
5.00%, 1/1/36 | 6,000 | 6,518,340 | |
(AMT), 5.00%, 1/1/23 | 1,125 | 1,150,268 | |
(AMT), 5.00%, 1/1/25 | 16,100 | 16,460,479 | |
(AMT), 5.00%, 1/1/33 | 7,300 | 7,744,132 | |
(AMT), 5.00%, 1/1/39 | 4,000 | 4,408,960 | |
Dallas and Fort Worth, TX, (Dallas/Fort Worth International Airport): | |||
5.25%, 11/1/31 | 10,395 | 10,892,297 | |
(AMT), 5.25%, 11/1/30 | 11,015 | 11,496,576 | |
Denver City and County, CO, Airport System Revenue: | |||
(AMT), 5.00%, 12/1/35 | 11,350 | 12,665,578 | |
(AMT), 5.00%, 12/1/37 | 10,000 | 11,146,400 | |
Florida Department of Transportation, 5.00%, 7/1/27(5) | 10,000 | 11,423,400 | |
Florida Development Finance Corp., (Brightline Florida Passenger Rail), Green Bonds, (AMT), 7.375%, 1/1/49(2) | 15,685 | 16,571,359 | |
Harris County, TX, Toll Road Revenue, 4.00%, 8/15/45 | 2,500 | 2,695,850 | |
Hawaii, Airports System Revenue: | |||
(AMT), 5.00%, 7/1/41 | 2,935 | 3,126,450 | |
(AMT), 5.00%, 7/1/48 | 10,000 | 10,931,000 | |
Houston, TX, Airport System Revenue: | |||
(AMT), 4.00%, 7/1/35 | 1,500 | 1,572,240 | |
(AMT), 4.00%, 7/1/36 | 2,000 | 2,094,360 | |
Kansas City Industrial Development Authority, MO, (Kansas City International Airport Terminal Modernization): | |||
(AMT), 5.00%, 3/1/37 | 6,385 | 7,095,587 | |
(AMT), 5.00%, 3/1/46 | 17,130 | 18,768,313 | |
Kansas Department of Transportation, 5.00%, 9/1/30 | 20,000 | 21,364,400 | |
Los Angeles Department of Airports, CA, (Los Angeles International Airport): | |||
(AMT), 5.00%, 5/15/40 | 6,000 | 6,433,080 | |
(AMT), 5.00%, 5/15/41 | 9,000 | 9,769,140 |
Security | Principal Amount (000's omitted) | Value | |
Transportation (continued) | |||
Louisiana Offshore Terminal Authority, (LOOP, LLC), 2.00% to 10/1/22 (Put Date), 10/1/40 | $ | 2,000 | $ 2,000,980 |
Love Field Airport Modernization Corp., TX, (AMT), 5.00%, 11/1/24 | 1,500 | 1,601,400 | |
Maryland Economic Development Corp., (Transportation Facilities), 5.00%, 6/1/35 | 1,050 | 1,175,675 | |
Massachusetts Port Authority: | |||
5.00%, 7/1/32 | 3,800 | 4,434,106 | |
(AMT), 5.00%, 7/1/26 | 10,105 | 11,130,253 | |
(AMT), 5.00%, 7/1/31 | 2,965 | 3,371,917 | |
(AMT), 5.00%, 7/1/33 | 3,855 | 4,365,903 | |
Memphis-Shelby County Airport Authority, TN: | |||
(AMT), 5.00%, 7/1/35 | 3,440 | 3,812,999 | |
(AMT), 5.00%, 7/1/36 | 3,200 | 3,544,416 | |
(AMT), 5.00%, 7/1/45 | 3,000 | 3,376,170 | |
Metropolitan Washington Airports Authority, D.C.: | |||
(AMT), 4.00%, 10/1/38 | 715 | 754,683 | |
(AMT), 4.00%, 10/1/41 | 580 | 609,180 | |
(AMT), 5.00%, 10/1/28 | 4,500 | 4,782,915 | |
(AMT), 5.00%, 10/1/32 | 10,000 | 11,026,600 | |
(AMT), 5.00%, 10/1/35 | 11,900 | 12,824,630 | |
(AMT), 5.00%, 10/1/42 | 2,000 | 2,232,020 | |
Miami-Dade County, FL, Aviation Revenue: | |||
(AMT), 5.00%, 10/1/33 | 23,250 | 24,509,685 | |
(AMT), 5.00%, 10/1/36 | 9,125 | 9,605,796 | |
(AMT), 5.00%, 10/1/38 | 1,730 | 1,914,037 | |
(AMT), 5.00%, 10/1/40 | 25,230 | 27,571,092 | |
(AMT), 5.00%, 10/1/41 | 2,320 | 2,557,870 | |
Middlesex County Improvement Authority, NJ, (New Brunswick Parking Deck), 4.00%, 9/1/46 | 4,000 | 4,369,360 | |
Minneapolis-St. Paul Metropolitan Airports Commission, MN, (AMT), 5.00%, 1/1/32 | 3,710 | 4,187,848 | |
New Jersey Economic Development Authority, (Transit Transportation Project), 4.00%, 11/1/44 | 8,250 | 8,435,295 | |
New Jersey Transportation Trust Fund Authority, (Transportation Program): | |||
4.00%, 6/15/36 | 6,635 | 6,896,485 | |
4.00%, 6/15/38 | 8,000 | 8,289,040 | |
4.00%, 6/15/40 | 3,335 | 3,434,049 | |
4.00%, 6/15/45 | 18,500 | 18,845,395 | |
5.00%, 6/15/45 | 7,165 | 7,917,827 | |
5.00%, 6/15/50 | 6,040 | 6,646,718 | |
New Jersey Transportation Trust Fund Authority, (Transportation System): | |||
4.00%, 6/15/39(5) | 3,000 | 3,098,790 | |
4.00%, 6/15/40(5) | 3,000 | 3,087,780 |
Security | Principal Amount (000's omitted) | Value | |
Transportation (continued) | |||
New Jersey Transportation Trust Fund Authority, (Transportation System): (continued) | |||
4.00%, 6/15/42(5) | $ | 2,750 | $ 2,810,308 |
New Jersey Turnpike Authority: | |||
Series 2015E, 5.00%, 1/1/31 | 2,680 | 2,875,399 | |
Series 2017B, 5.00%, 1/1/31 | 3,560 | 4,053,879 | |
New York Thruway Authority: | |||
4.00%, 1/1/39 | 18,590 | 19,777,901 | |
4.00%, 1/1/44 | 10,000 | 10,461,300 | |
5.00%, 1/1/36 | 12,200 | 13,916,662 | |
5.00%, 1/1/40 | 17,155 | 19,398,874 | |
New York Transportation Development Corp., (LaGuardia Airport Terminal B Redevelopment): | |||
(AMT), 5.00%, 7/1/41 | 1,705 | 1,784,129 | |
(AMT), 5.00%, 7/1/46 | 14,325 | 15,019,619 | |
(AMT), 5.25%, 1/1/50 | 1,180 | 1,234,929 | |
New York Transportation Development Corp., (Terminal 4 John F. Kennedy International Airport): | |||
5.00%, 12/1/26 | 1,000 | 1,092,860 | |
(AMT), 5.00%, 12/1/25 | 1,100 | 1,173,238 | |
(AMT), 5.00%, 12/1/30 | 1,710 | 1,914,379 | |
(AMT), 5.00%, 12/1/34 | 2,150 | 2,406,431 | |
North Texas Tollway Authority: | |||
4.00%, 1/1/40 | 2,000 | 2,142,080 | |
5.00%, 1/1/29 | 5,000 | 5,480,450 | |
Pennsylvania Turnpike Commission: | |||
4.00%, 12/1/51 | 9,000 | 9,456,480 | |
5.00%, 12/1/45 | 4,165 | 4,780,004 | |
(LOC: TD Bank, N.A.), 0.50%, 12/1/38(3) | 9,000 | 9,000,000 | |
(LOC: TD Bank, N.A.), 0.50%, 12/1/39(3) | 32,000 | 32,000,000 | |
Philadelphia, PA, Airport Revenue: | |||
(AMT), 5.00%, 7/1/23 | 4,460 | 4,611,729 | |
(AMT), 5.00%, 7/1/51 | 5,000 | 5,596,100 | |
Phoenix Civic Improvement Corp., AZ, Airport Revenue, (AMT), 4.00%, 7/1/44 | 3,900 | 4,018,872 | |
Port Authority of New York and New Jersey: | |||
4.00%, 11/1/41 | 6,600 | 7,078,302 | |
5.00%, 9/1/38 | 6,130 | 7,046,987 | |
(AMT), 3.00%, 10/1/27 | 4,050 | 4,135,981 | |
(AMT), 4.00%, 9/1/34 | 8,310 | 8,589,465 | |
(AMT), 5.00%, 9/15/31 | 15,000 | 16,857,000 | |
(AMT), 5.00%, 10/1/35 | 5,000 | 5,539,700 | |
(AMT), 5.00%, 4/1/36 | 10,230 | 11,288,396 | |
(AMT), 5.00%, 10/15/41 | 2,500 | 2,859,150 | |
Port Freeport, TX, (AMT), 4.00%, 6/1/46 | 1,000 | 1,028,360 |
Security | Principal Amount (000's omitted) | Value | |
Transportation (continued) | |||
Port of Portland, OR, (Portland International Airport): | |||
(AMT), 5.00%, 7/1/44 | $ | 5,000 | $ 5,553,900 |
(AMT), 5.00%, 7/1/52 | 10,000 | 11,385,000 | |
Port of Seattle, WA: | |||
(AMT), 5.00%, 4/1/44 | 5,000 | 5,603,450 | |
(AMT), 5.00%, 8/1/46 | 21,250 | 24,050,537 | |
Raleigh-Durham Airport Authority, NC, Series 2020A, (AMT), 5.00%, 5/1/36 | 1,000 | 1,141,900 | |
Salt Lake City, UT, (Salt Lake City International Airport): | |||
5.00%, 7/1/46 | 9,000 | 10,307,970 | |
(AMT), 5.00%, 7/1/38 | 7,165 | 7,930,222 | |
(AMT), 5.00%, 7/1/46 | 10,000 | 11,257,000 | |
San Francisco City and County Airport Commission, CA, (San Francisco International Airport): | |||
(AMT), 5.00%, 5/1/41 | 25,630 | 27,749,601 | |
(AMT), 5.00%, 5/1/44 | 8,535 | 8,909,174 | |
(AMT), 5.00%, 5/1/46 | 5,000 | 5,376,250 | |
Texas Private Activity Bond Surface Transportation Corp., (North Tarrant Express Managed Lanes Project): | |||
4.00%, 12/31/37 | 2,230 | 2,312,354 | |
4.00%, 12/31/38 | 5,390 | 5,580,914 | |
4.00%, 12/31/39 | 2,140 | 2,215,521 | |
5.00%, 12/31/35 | 2,885 | 3,235,787 | |
Texas Private Activity Bond Surface Transportation Corp., (North Tarrant Express Segment 3C), (AMT), 5.00%, 6/30/58 | 12,635 | 13,887,887 | |
Virginia Small Business Financing Authority, (95 Express Lanes, LLC), (AMT), 4.00%, 1/1/48 | 6,940 | 7,049,305 | |
$ 857,226,988 | |||
Water and Sewer — 3.8% | |||
Boston Water and Sewer Commission, MA, 5.00%, 11/1/26 | $ | 2,970 | $ 3,281,107 |
Charleston, SC, Waterworks and Sewer System Revenue, 4.00%, 1/1/30 | 6,000 | 6,751,440 | |
Charlotte, NC, Water and Sewer System Revenue, 4.00%, 7/1/36 | 2,000 | 2,215,860 | |
East Bay Municipal Utility District, CA, Water System Revenue: | |||
5.00%, 6/1/35 | 2,905 | 3,312,281 | |
5.00%, 6/1/37 | 7,280 | 7,916,199 | |
Green Bonds, 5.00%, 6/1/37 | 4,200 | 4,922,694 | |
Fulton County, GA, Water and Sewerage Revenue, 4.00%, 1/1/34 | 1,750 | 1,920,450 | |
Grand Rapids, MI, Sanitary Sewer System Revenue, 5.00%, 1/1/45 | 1,245 | 1,445,072 |
Security | Principal Amount (000's omitted) | Value | |
Water and Sewer (continued) | |||
Metropolitan Water District of Southern California: | |||
0.65%, (SIFMA + 0.14%), 5/21/24 (Put Date), 7/1/37(6) | $ | 3,335 | $ 3,326,029 |
5.00%, 7/1/38 | 4,570 | 5,313,493 | |
Michigan Finance Authority, (Detroit Water and Sewerage Department): | |||
5.00%, 7/1/33 | 8,095 | 8,567,829 | |
5.00%, 7/1/44 | 5 | 5,041 | |
Missoula, MT, Water System Revenue, 5.00%, 7/1/35 | 1,135 | 1,308,167 | |
New York City Municipal Water Finance Authority, NY, (Water and Sewer System): | |||
(SPA: Barclays Bank PLC), 0.55%, 6/15/41(3) | 35,000 | 35,000,000 | |
Series 2018 CC-1, 5.00%, 6/15/48 | 12,960 | 14,543,323 | |
Series 2018 EE, 5.00%, 6/15/35 | 3,955 | 4,339,782 | |
Series 2022 CC, 5.00%, 6/15/35 | 2,000 | 2,404,100 | |
Phoenix Civic Improvement Corp., AZ, Water System Revenue, 4.00%, 7/1/42 | 2,000 | 2,209,260 | |
Seattle, WA, Drainage and Wastewater System Revenue, 5.00%, 9/1/30 | 11,320 | 13,680,107 | |
Tarrant Regional Water District, TX, Prerefunded to 3/1/24, 5.00%, 3/1/30 | 10,000 | 10,575,800 | |
Trinity River Authority, TX, (Mountain Creek Regional Wastewater System), 4.00%, 8/1/36 | 695 | 776,155 | |
$ 133,814,189 | |||
Total Tax-Exempt Municipal Obligations (identified cost $3,400,963,419) | $3,403,050,798 |
Taxable Municipal Obligations — 4.8% |
Security | Principal Amount (000's omitted) | Value | |
Cogeneration — 0.1% | |||
Northampton County Industrial Development Authority, PA, (Northampton Generating), 5.00%, 12/31/23(1) | $ | 5,934 | $ 1,483,490 |
$ 1,483,490 | |||
Education — 0.1% | |||
San Antonio Education Facilities Corp., TX, (University of the Incarnate Word): | |||
2.65%, 4/1/30 | $ | 1,100 | $ 1,002,518 |
3.15%, 4/1/37 | 1,750 | 1,570,905 | |
$ 2,573,423 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 0.6% | |||
Chicago, IL, 7.75%, 1/1/42 | $ | 4,050 | $ 4,455,324 |
Detroit, MI, 2.96%, 4/1/27 | 1,000 | 938,810 | |
Douglas County School District No. 17, NE, 2.192%, 6/15/35 | 775 | 719,440 | |
Lakeside School District No. 9, AR: | |||
1.55%, 4/1/35 | 925 | 811,761 | |
1.65%, 4/1/36 | 1,365 | 1,192,450 | |
1.80%, 4/1/37 | 1,415 | 1,238,748 | |
1.85%, 4/1/38 | 610 | 529,895 | |
1.90%, 4/1/39 | 1,605 | 1,381,552 | |
Larkspur-Corte Madera School District, CA, (Election of 2011 and 2014), 2.302%, 8/1/36 | 1,405 | 1,237,496 | |
Marin Community College District, CA, 2.01%, 8/1/33 | 1,140 | 1,041,037 | |
Mattawan Consolidated School, MI, 2.096%, 5/1/33 | 1,120 | 1,040,749 | |
Naugatuck, CT: | |||
2.79%, 9/15/38 | 800 | 743,480 | |
2.94%, 9/15/41 | 1,700 | 1,572,245 | |
Puerto Rico, GO CVIs, 0.00%, 11/1/43 | 7,511 | 4,046,283 | |
Tustin Unified School District, CA, 2.254%, 8/1/36 | 1,155 | 984,857 | |
$ 21,934,127 | |||
Hospital — 1.0% | |||
California Statewide Communities Development Authority, (Loma Linda University Medical Center), 6.00%, 12/1/24 | $ | 34,250 | $ 36,769,430 |
$ 36,769,430 | |||
Insured - General Obligations — 0.0%(8) | |||
Westland Tax Increment Finance Authority, MI: | |||
(AGM), 2.31%, 4/1/33 | $ | 1,165 | $ 1,042,815 |
(AGM), 2.41%, 4/1/34 | 195 | 173,961 | |
$ 1,216,776 | |||
Insured - Special Tax Revenue — 0.1% | |||
Bexar County, TX, Venue Project Revenue, (AGM), 2.534%, 8/15/34 | $ | 2,805 | $ 2,548,931 |
Rio Elementary School District Community Facilities District No. 1, CA, (BAM), 2.557%, 9/1/33 | 1,055 | 961,538 | |
$ 3,510,469 | |||
Insured - Transportation — 1.4% | |||
Alameda Corridor Transportation Authority, CA: | |||
(AMBAC), 0.00%, 10/1/26 | $ | 22,500 | $ 19,472,400 |
(AMBAC), 0.00%, 10/1/27 | 34,390 | 28,569,492 | |
$ 48,041,892 |
Security | Principal Amount (000's omitted) | Value | |
Lease Revenue/Certificates of Participation — 0.1% | |||
Golden State Tobacco Securitization Corp., CA, 1.60%, 6/1/26 | $ | 4,250 | $ 3,981,103 |
$ 3,981,103 | |||
Other Revenue — 0.8% | |||
Golden State Tobacco Securitization Corp., CA, 3.714%, 6/1/41 | $ | 28,000 | $ 25,050,200 |
Santa Cruz County, CA, Pension Obligation Bonds, 2.291%, 6/1/33 | 3,000 | 2,752,350 | |
$ 27,802,550 | |||
Senior Living/Life Care — 0.0%(8) | |||
Montgomery County Industrial Development Authority, PA, (ACTS Retirement-Life Communities, Inc. Obligated Group), 2.45%, 11/15/23 | $ | 1,250 | $ 1,237,188 |
$ 1,237,188 | |||
Special Tax Revenue — 0.1% | |||
Illinois, Sales Tax Revenue, 1.999%, 6/15/28 | $ | 3,000 | $ 2,736,660 |
$ 2,736,660 | |||
Student Loan — 0.1% | |||
Massachusetts Educational Financing Authority, 2.305%, 7/1/29 | $ | 2,200 | $ 2,025,232 |
$ 2,025,232 | |||
Transportation — 0.4% | |||
Central Texas Regional Mobility Authority, 2.174%, 1/1/29 | $ | 1,260 | $ 1,162,010 |
Virginia Small Business Financing Authority, (I-495 HOT Lanes), 2.00%, 12/31/23 | 13,250 | 13,259,540 | |
$ 14,421,550 | |||
Total Taxable Municipal Obligations (identified cost $169,032,539) | $ 167,733,890 | ||
Total Investments — 102.5% (identified cost $3,620,614,335) | $3,617,188,814 | ||
Other Assets, Less Liabilities — (2.5)% | $ (88,517,300) | ||
Net Assets — 100.0% | $3,528,671,514 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At March 31, 2022, the aggregate value of these securities is $34,980,833 or 1.0% of the Fund's net assets. |
(3) | Variable rate demand obligation that may be tendered at par on any day for payment the lesser of 5 business days or 7 calendar days. The stated interest rate, which generally resets weekly, is determined by the remarketing agent and represents the rate in effect at March 31, 2022. |
(4) | Security represents the municipal bond held by a trust that issues residual interest bonds (see Note 1H). |
(5) | When-issued/delayed delivery security. |
(6) | Floating rate security. The stated interest rate represents the rate in effect at March 31, 2022. |
(7) | Variable rate demand obligation that may be tendered at par on any day for payment the same or next business day. The stated interest rate, which generally resets daily, is determined by the remarketing agent and represents the rate in effect at March 31, 2022. |
(8) | Amount is less than 0.05%. |
(9) | Defaulted security. Issuer has defaulted on the payment of interest and/or principal or has filed for bankruptcy. |
At March 31, 2022, the concentration of the Fund's investments in the various states and territories, determined as a percentage of net assets, is as follows: |
New York | 19.8% |
California | 11.9% |
Texas | 10.7% |
Others, representing less than 10% individually | 58.8% |
The Fund invests primarily in debt securities issued by municipalities. The ability of the issuers of the debt securities to meet their obligations may be affected by economic developments in a specific industry or municipality. At March 31, 2022, 7.1% of total investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage insured by an individual financial institution or financial guaranty assurance agency ranged from 0.3% to 3.6% of total investments. |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. Long Treasury Bond | (925) | Short | 6/21/22 | $(138,807,813) | $ 3,683,808 |
$3,683,808 |
Abbreviations: | |
AGC | – Assured Guaranty Corp. |
AGM | – Assured Guaranty Municipal Corp. |
AMBAC | – AMBAC Financial Group, Inc. |
AMT | – Interest earned from these securities may be considered a tax preference item for purposes of the Federal Alternative Minimum Tax. |
BAM | – Build America Mutual Assurance Co. |
LOC | – Letter of Credit |
NPFG | – National Public Finance Guarantee Corp. |
PSF | – Permanent School Fund |
SIFMA | – Securities Industry and Financial Markets Association Municipal Swap Index |
SOFR | – Secured Overnight Financing Rate |
SPA | – Standby Bond Purchase Agreement |
March 31, 2022 | ||
AMT-Free Fund | National Fund | |
Assets | ||
Investments: | ||
Identified cost | $ 324,960,487 | $ 3,620,614,335 |
Unrealized appreciation (depreciation) | 3,299,188 | (3,425,521) |
Investments, at value | $328,259,675 | $3,617,188,814 |
Cash | $ 3,780,904 | $ 115,786,892 |
Deposits for derivatives collateral — futures contracts | — | 3,237,550 |
Interest receivable | 3,855,751 | 37,473,812 |
Receivable for investments sold | 1,783,804 | 40,064,348 |
Receivable for Fund shares sold | 324,174 | 7,982,208 |
Total assets | $338,004,308 | $3,821,733,624 |
Liabilities | ||
Payable for floating rate notes issued | $ 18,691,319 | $ 104,190,442 |
Payable for investments purchased | — | 8,712,477 |
Payable for when-issued/delayed delivery securities | 12,417,482 | 156,030,472 |
Payable for Fund shares redeemed | 790,542 | 20,183,995 |
Payable for variation margin on open futures contracts | — | 578,092 |
Distributions payable | 98,650 | 1,194,250 |
Payable to affiliates: | ||
Investment adviser fee | 106,072 | 916,535 |
Distribution and service fees | 36,709 | 365,894 |
Interest expense and fees payable | 43,559 | 239,419 |
Accrued expenses | 99,080 | 650,534 |
Total liabilities | $ 32,283,413 | $ 293,062,110 |
Net Assets | $305,720,895 | $3,528,671,514 |
Sources of Net Assets | ||
Paid-in capital | $ 331,010,704 | $ 3,731,688,520 |
Accumulated loss | (25,289,809) | (203,017,006) |
Net Assets | $305,720,895 | $3,528,671,514 |
Class A Shares | ||
Net Assets | $ 139,671,724 | $ 1,372,164,219 |
Shares Outstanding | 16,224,470 | 142,650,794 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.61 | $ 9.62 |
Maximum Offering Price Per Share (100 ÷ 95.25 of net asset value per share) | $ 9.04 | $ 10.10 |
Class C Shares | ||
Net Assets | $ 7,492,783 | $ 75,917,689 |
Shares Outstanding | 875,352 | 7,893,231 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 8.56 | $ 9.62 |
March 31, 2022 | ||
AMT-Free Fund | National Fund | |
Class I Shares | ||
Net Assets | $158,556,388 | $2,080,589,606 |
Shares Outstanding | 16,864,597 | 216,317,494 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 9.40 | $ 9.62 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended March 31, 2022 | ||
AMT-Free Fund | National Fund | |
Investment Income | ||
Interest income | $ 5,433,617 | $ 47,170,690 |
Total investment income | $ 5,433,617 | $ 47,170,690 |
Expenses | ||
Investment adviser fee | $ 669,426 | $ 5,611,321 |
Distribution and service fees: | ||
Class A | 190,090 | 1,866,382 |
Class C | 42,272 | 437,684 |
Trustees’ fees and expenses | 8,950 | 54,250 |
Custodian fee | 40,782 | 338,470 |
Transfer and dividend disbursing agent fees | 51,260 | 694,393 |
Legal and accounting services | 32,794 | 90,722 |
Printing and postage | 3,886 | 60,055 |
Registration fees | 39,476 | 80,299 |
Interest expense and fees | 67,650 | 358,852 |
Miscellaneous | 27,392 | 119,007 |
Total expenses | $ 1,173,978 | $ 9,711,435 |
Net investment income | $ 4,259,639 | $ 37,459,255 |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss): | ||
Investment transactions | $ (2,798,110) | $ (64,509,457) |
Futures contracts | — | 8,845,583 |
Net realized loss | $ (2,798,110) | $ (55,663,874) |
Change in unrealized appreciation (depreciation): | ||
Investments | $ (22,065,254) | $ (199,152,560) |
Futures contracts | — | (339,648) |
Net change in unrealized appreciation (depreciation) | $(22,065,254) | $(199,492,208) |
Net realized and unrealized loss | $(24,863,364) | $(255,156,082) |
Net decrease in net assets from operations | $(20,603,725) | $(217,696,827) |
Six Months Ended March 31, 2022 (Unaudited) | ||
AMT-Free Fund | National Fund | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 4,259,639 | $ 37,459,255 |
Net realized loss | (2,798,110) | (55,663,874) |
Net change in unrealized appreciation (depreciation) | (22,065,254) | (199,492,208) |
Net decrease in net assets from operations | $ (20,603,725) | $ (217,696,827) |
Distributions to shareholders: | ||
Class A | $ (1,840,846) | $ (16,004,854) |
Class C | (70,506) | (608,441) |
Class I | (2,372,750) | (27,543,260) |
Total distributions to shareholders | $ (4,284,102) | $ (44,156,555) |
Transactions in shares of beneficial interest: | ||
Class A | $ (7,090,432) | $ (85,708,351) |
Class C | (915,998) | (13,167,404) |
Class I | (12,383,746) | (111,045,305) |
Net decrease in net assets from Fund share transactions | $ (20,390,176) | $ (209,921,060) |
Net decrease in net assets | $ (45,278,003) | $ (471,774,442) |
Net Assets | ||
At beginning of period | $ 350,998,898 | $ 4,000,445,956 |
At end of period | $305,720,895 | $3,528,671,514 |
Year Ended September 30, 2021 | ||
AMT-Free Fund | National Fund | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 9,214,288 | $ 85,910,593 |
Net realized gain | 1,787,813 | 23,602,415 |
Net change in unrealized appreciation (depreciation) | (339,343) | 2,780,570 |
Net increase in net assets from operations | $ 10,662,758 | $ 112,293,578 |
Distributions to shareholders: | ||
Class A | $ (4,300,571) | $ (36,519,653) |
Class C | (208,934) | (1,594,901) |
Class I | (5,185,414) | (51,964,079) |
Total distributions to shareholders | $ (9,694,919) | $ (90,078,633) |
Transactions in shares of beneficial interest: | ||
Class A | $ (1,156,043) | $ (74,309,751) |
Class C | (6,154,882) | (37,545,612) |
Class I | 15,406,188 | 541,213,178 |
Net increase in net assets from Fund share transactions | $ 8,095,263 | $ 429,357,815 |
Net increase in net assets | $ 9,063,102 | $ 451,572,760 |
Net Assets | ||
At beginning of year | $ 341,935,796 | $ 3,548,873,196 |
At end of year | $350,998,898 | $4,000,445,956 |
AMT-Free Fund — Class A | ||||||
Year Ended September 30, | ||||||
Six Months Ended March 31, 2022 (Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of period | $ 9.290 | $ 9.250 | $ 9.250 | $ 8.870 | $ 9.130 | $ 9.430 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.110 | $ 0.236 | $ 0.274 | $ 0.317 | $ 0.336 | $ 0.351 |
Net realized and unrealized gain (loss) | (0.680) | 0.053 | 0.011 (2) | 0.381 | (0.262) | (0.298) |
Total income (loss) from operations | $ (0.570) | $ 0.289 | $ 0.285 | $ 0.698 | $ 0.074 | $ 0.053 |
Less Distributions | ||||||
From net investment income | $ (0.110) | $ (0.249) | $ (0.285) | $ (0.318) | $ (0.334) | $ (0.353) |
Total distributions | $ (0.110) | $ (0.249) | $ (0.285) | $ (0.318) | $ (0.334) | $ (0.353) |
Net asset value — End of period | $ 8.610 | $ 9.290 | $ 9.250 | $ 9.250 | $ 8.870 | $ 9.130 |
Total Return(3) | (6.19)% (4) | 3.14% | 3.12% | 8.02% | 0.83% | 0.64% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $139,672 | $157,981 | $158,729 | $150,853 | $139,623 | $155,589 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses excluding interest and fees | 0.77% (5) | 0.76% | 0.78% | 0.81% | 0.81% | 0.82% |
Interest and fee expense(6) | 0.04% (5) | 0.04% | 0.14% | 0.23% | 0.24% | 0.16% |
Total expenses | 0.81% (5) | 0.80% | 0.92% | 1.04% | 1.05% | 0.98% |
Net investment income | 2.41% (5) | 2.53% | 2.97% | 3.51% | 3.74% | 3.86% |
Portfolio Turnover | 22% (4) | 32% | 58% | 33% | 18% | 33% |
(1) | Computed using average shares outstanding. |
(2) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of Fund share transactions and the amount of the per share realized and unrealized gains and losses at such time. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Interest and fee expense relates to the liability for floating rate notes issued in conjunction with residual interest bond transactions (see Note 1H). |
AMT-Free Fund — Class C | ||||||
Year Ended September 30, | ||||||
Six Months Ended March 31, 2022 (Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of period | $ 9.240 | $ 9.200 | $ 9.200 | $ 8.820 | $ 9.080 | $ 9.380 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.075 | $ 0.167 | $ 0.204 | $ 0.249 | $ 0.267 | $ 0.281 |
Net realized and unrealized gain (loss) | (0.679) | 0.051 | 0.011 (2) | 0.380 | (0.262) | (0.298) |
Total income (loss) from operations | $(0.604) | $ 0.218 | $ 0.215 | $ 0.629 | $ 0.005 | $ (0.017) |
Less Distributions | ||||||
From net investment income | $ (0.076) | $ (0.178) | $ (0.215) | $ (0.249) | $ (0.265) | $ (0.283) |
Total distributions | $(0.076) | $(0.178) | $ (0.215) | $ (0.249) | $ (0.265) | $ (0.283) |
Net asset value — End of period | $ 8.560 | $ 9.240 | $ 9.200 | $ 9.200 | $ 8.820 | $ 9.080 |
Total Return(3) | (6.58)% (4) | 2.38% | 2.36% | 7.24% | 0.06% | (0.12)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 7,493 | $ 9,017 | $15,094 | $19,715 | $32,545 | $39,099 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses excluding interest and fees | 1.52% (5) | 1.51% | 1.53% | 1.56% | 1.56% | 1.57% |
Interest and fee expense(6) | 0.04% (5) | 0.04% | 0.14% | 0.23% | 0.24% | 0.16% |
Total expenses | 1.56% (5) | 1.55% | 1.67% | 1.79% | 1.80% | 1.73% |
Net investment income | 1.66% (5) | 1.80% | 2.23% | 2.78% | 2.99% | 3.11% |
Portfolio Turnover | 22% (4) | 32% | 58% | 33% | 18% | 33% |
(1) | Computed using average shares outstanding. |
(2) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of Fund share transactions and the amount of the per share realized and unrealized gains and losses at such time. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Interest and fee expense relates to the liability for floating rate notes issued in conjunction with residual interest bond transactions (see Note 1H). |
AMT-Free Fund — Class I | ||||||
Year Ended September 30, | ||||||
Six Months Ended March 31, 2022 (Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of period | $ 10.150 | $ 10.110 | $ 10.100 | $ 9.680 | $ 9.970 | $ 10.300 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.132 | $ 0.283 | $ 0.323 | $ 0.370 | $ 0.391 | $ 0.407 |
Net realized and unrealized gain (loss) | (0.749) | 0.055 | 0.023 (2) | 0.422 | (0.292) | (0.327) |
Total income (loss) from operations | $ (0.617) | $ 0.338 | $ 0.346 | $ 0.792 | $ 0.099 | $ 0.080 |
Less Distributions | ||||||
From net investment income | $ (0.133) | $ (0.298) | $ (0.336) | $ (0.372) | $ (0.389) | $ (0.410) |
Total distributions | $ (0.133) | $ (0.298) | $ (0.336) | $ (0.372) | $ (0.389) | $ (0.410) |
Net asset value — End of period | $ 9.400 | $ 10.150 | $ 10.110 | $ 10.100 | $ 9.680 | $ 9.970 |
Total Return(3) | (6.14)% (4) | 3.36% | 3.48% | 8.34% | 1.02% | 0.87% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $158,556 | $184,002 | $168,113 | $145,788 | $132,313 | $154,177 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses excluding interest and fees | 0.52% (5) | 0.51% | 0.53% | 0.56% | 0.56% | 0.57% |
Interest and fee expense(6) | 0.04% (5) | 0.04% | 0.14% | 0.23% | 0.24% | 0.16% |
Total expenses | 0.56% (5) | 0.55% | 0.67% | 0.79% | 0.80% | 0.73% |
Net investment income | 2.66% (5) | 2.77% | 3.21% | 3.76% | 3.98% | 4.09% |
Portfolio Turnover | 22% (4) | 32% | 58% | 33% | 18% | 33% |
(1) | Computed using average shares outstanding. |
(2) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of Fund share transactions and the amount of the per share realized and unrealized gains and losses at such time. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Interest and fee expense relates to the liability for floating rate notes issued in conjunction with residual interest bond transactions (see Note 1H). |
National Fund — Class A | ||||||
Year Ended September 30, | ||||||
Six Months Ended March 31, 2022 (Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of period | $ 10.310 | $ 10.240 | $ 10.140 | $ 9.650 | $ 9.930 | $ 10.170 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.091 | $ 0.223 | $ 0.265 | $ 0.322 | $ 0.350 | $ 0.366 |
Net realized and unrealized gain (loss) | (0.672) | 0.082 | 0.119 | 0.491 | (0.277) | (0.242) |
Total income (loss) from operations | $ (0.581) | $ 0.305 | $ 0.384 | $ 0.813 | $ 0.073 | $ 0.124 |
Less Distributions | ||||||
From net investment income | $ (0.109) | $ (0.235) | $ (0.284) | $ (0.323) | $ (0.353) | $ (0.364) |
Total distributions | $ (0.109) | $ (0.235) | $ (0.284) | $ (0.323) | $ (0.353) | $ (0.364) |
Net asset value — End of period | $ 9.620 | $ 10.310 | $ 10.240 | $ 10.140 | $ 9.650 | $ 9.930 |
Total Return(2) | (5.68)% (3) | 2.99% | 3.84% | 8.57% | 0.76% | 1.31% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $1,372,164 | $1,558,418 | $1,620,505 | $1,605,407 | $1,419,239 | $1,600,127 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses excluding interest and fees | 0.61% (4) | 0.61% | 0.64% | 0.68% | 0.69% | 0.68% |
Interest and fee expense(5) | 0.02% (4) | 0.02% | 0.05% | 0.12% | 0.19% | 0.16% |
Total expenses | 0.63% (4) | 0.63% | 0.69% | 0.80% | 0.88% | 0.84% |
Net investment income | 1.80% (4) | 2.15% | 2.61% | 3.26% | 3.58% | 3.71% |
Portfolio Turnover | 54% (3) | 56% | 105% | 89% | 67% | 70% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Interest and fee expense relates to the liability for floating rate notes issued in conjunction with residual interest bond transactions (see Note 1H). |
National Fund — Class C | ||||||
Year Ended September 30, | ||||||
Six Months Ended March 31, 2022 (Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of period | $10.310 | $ 10.240 | $ 10.140 | $ 9.650 | $ 9.930 | $ 10.170 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.053 | $ 0.146 | $ 0.190 | $ 0.252 | $ 0.276 | $ 0.292 |
Net realized and unrealized gain (loss) | (0.672) | 0.081 | 0.119 | 0.488 | (0.276) | (0.242) |
Total income (loss) from operations | $ (0.619) | $ 0.227 | $ 0.309 | $ 0.740 | $ — | $ 0.050 |
Less Distributions | ||||||
From net investment income | $ (0.071) | $ (0.157) | $ (0.209) | $ (0.250) | $ (0.280) | $ (0.290) |
Total distributions | $ (0.071) | $ (0.157) | $ (0.209) | $ (0.250) | $ (0.280) | $ (0.290) |
Net asset value — End of period | $ 9.620 | $10.310 | $ 10.240 | $ 10.140 | $ 9.650 | $ 9.930 |
Total Return(2) | (6.04)% (3) | 2.22% | 3.08% | 7.77% | 0.01% | 0.56% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $75,918 | $ 94,851 | $131,330 | $172,417 | $363,026 | $462,269 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses excluding interest and fees | 1.36% (4) | 1.36% | 1.39% | 1.43% | 1.44% | 1.43% |
Interest and fee expense(5) | 0.02% (4) | 0.02% | 0.05% | 0.12% | 0.19% | 0.16% |
Total expenses | 1.38% (4) | 1.38% | 1.44% | 1.55% | 1.63% | 1.59% |
Net investment income | 1.05% (4) | 1.41% | 1.87% | 2.57% | 2.83% | 2.96% |
Portfolio Turnover | 54% (3) | 56% | 105% | 89% | 67% | 70% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Interest and fee expense relates to the liability for floating rate notes issued in conjunction with residual interest bond transactions (see Note 1H). |
National Fund — Class I | ||||||
Year Ended September 30, | ||||||
Six Months Ended March 31, 2022 (Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of period | $ 10.310 | $ 10.240 | $ 10.140 | $ 9.650 | $ 9.930 | $ 10.170 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.104 | $ 0.248 | $ 0.289 | $ 0.341 | $ 0.374 | $ 0.390 |
Net realized and unrealized gain (loss) | (0.673) | 0.082 | 0.120 | 0.495 | (0.277) | (0.241) |
Total income (loss) from operations | $ (0.569) | $ 0.330 | $ 0.409 | $ 0.836 | $ 0.097 | $ 0.149 |
Less Distributions | ||||||
From net investment income | $ (0.121) | $ (0.260) | $ (0.309) | $ (0.346) | $ (0.377) | $ (0.389) |
Total distributions | $ (0.121) | $ (0.260) | $ (0.309) | $ (0.346) | $ (0.377) | $ (0.389) |
Net asset value — End of period | $ 9.620 | $ 10.310 | $ 10.240 | $ 10.140 | $ 9.650 | $ 9.930 |
Total Return(2) | (5.56)% (3) | 3.24% | 4.10% | 8.83% | 1.01% | 1.56% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $2,080,590 | $2,347,177 | $1,797,038 | $1,348,563 | $756,446 | $777,063 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses excluding interest and fees | 0.36% (4) | 0.36% | 0.39% | 0.43% | 0.44% | 0.43% |
Interest and fee expense(5) | 0.02% (4) | 0.02% | 0.05% | 0.12% | 0.19% | 0.16% |
Total expenses | 0.38% (4) | 0.38% | 0.44% | 0.55% | 0.63% | 0.59% |
Net investment income | 2.05% (4) | 2.39% | 2.85% | 3.45% | 3.83% | 3.95% |
Portfolio Turnover | 54% (3) | 56% | 105% | 89% | 67% | 70% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Interest and fee expense relates to the liability for floating rate notes issued in conjunction with residual interest bond transactions (see Note 1H). |
AMT-Free Fund | National Fund | |
Floating Rate Notes Outstanding | $18,691,319 | $104,190,442 |
Interest Rate or Range of Interest Rates (%) | 0.54 | 0.53 - 0.60 |
Collateral for Floating Rate Notes Outstanding | $28,499,276 | $140,432,472 |
AMT-Free Fund | National Fund | |
Average Floating Rate Notes Outstanding | $18,675,000 | $104,175,000 |
Average Interest Rate | 0.73% | 0.69% |
AMT-Free Fund | National Fund | |
Deferred capital losses: | ||
Short-term | $15,332,582 | $103,411,907 |
Long-term | $11,225,671 | $ 35,004,618 |
AMT-Free Fund | National Fund | |
Aggregate cost | $306,281,090 | $3,522,919,787 |
Gross unrealized appreciation | $ 12,044,030 | $ 82,705,243 |
Gross unrealized depreciation | (8,756,764) | (88,942,850) |
Net unrealized appreciation (depreciation) | $ 3,287,266 | $ (6,237,607) |
Total Daily Net Assets | Annual Asset Rate | Daily Income Rate |
Up to $500 million | 0.300% | 3.000% |
$500 million but less than $1 billion | 0.275 | 2.750 |
$1 billion but less than $1.5 billion | 0.250 | 2.500 |
$1.5 billion but less than $2 billion | 0.225 | 2.250 |
$2 billion but less than $3 billion | 0.200 | 2.000 |
$3 billion and over | 0.175 | 1.750 |
AMT-Free Fund | National Fund | |
Investment Adviser Fee | $669,426 | $5,611,321 |
Effective Annual Rate | 0.40% | 0.29% |
AMT-Free Fund | National Fund | |
EVM's Sub-Transfer Agent Fees | $5,706 | $87,528 |
EVD's Class A Sales Charges | $3,003 | $31,187 |
Morgan Stanley affiliated broker-dealers’ Class A Sales Charges | $ — | $10,641 |
AMT-Free Fund | National Fund | |
Class A Distribution and Service Fees | $190,090 | $1,866,382 |
AMT-Free Fund | National Fund | |
Class C Distribution Fees | $31,704 | $328,263 |
AMT-Free Fund | National Fund | |
Class C Service Fees | $10,568 | $109,421 |
AMT-Free Fund | National Fund | |
Class A | $500 | $40,700 |
Class C | $500 | $ 1,500 |
AMT-Free Fund | National Fund | |
Purchases | $77,830,541 | $2,107,053,857 |
Sales | $93,835,210 | $2,240,795,039 |
AMT-Free Fund | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | |||||
Shares | Amount | Shares | Amount | |||
Class A | ||||||
Sales | 439,205 | $ 4,038,581 | 2,641,027 | $ 24,766,387 | ||
Issued to shareholders electing to receive payments of distributions in Fund shares | 168,820 | 1,531,619 | 391,532 | 3,658,118 | ||
Redemptions | (1,419,912) | (12,936,991) | (3,720,359) | (34,629,729) | ||
Converted from Class C shares | 30,520 | 276,359 | 541,353 | 5,049,181 | ||
Net decrease | (781,367) | $ (7,090,432) | (146,447) | $ (1,156,043) | ||
Class C | ||||||
Sales | 26,886 | $ 246,416 | 132,529 | $ 1,235,057 | ||
Issued to shareholders electing to receive payments of distributions in Fund shares | 7,629 | 68,817 | 21,623 | 200,701 | ||
Redemptions | (104,591) | (954,872) | (274,046) | (2,541,459) | ||
Converted to Class A shares | (30,691) | (276,359) | (544,356) | (5,049,181) | ||
Net decrease | (100,767) | $ (915,998) | (664,250) | $ (6,154,882) |
AMT-Free Fund (continued) | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | |||||
Shares | Amount | Shares | Amount | |||
Class I | ||||||
Sales | 1,889,236 | $ 18,906,666 | 5,087,241 | $ 52,068,921 | ||
Issued to shareholders electing to receive payments of distributions in Fund shares | 209,443 | 2,075,711 | 434,152 | 4,431,087 | ||
Redemptions | (3,369,789) | (33,366,123) | (4,019,286) | (41,093,820) | ||
Net increase (decrease) | (1,271,110) | $(12,383,746) | 1,502,107 | $ 15,406,188 |
National Fund | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | |||||
Shares | Amount | Shares | Amount | |||
Class A | ||||||
Sales | 3,057,009 | $ 30,999,900 | 11,047,967 | $ 114,627,273 | ||
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,349,125 | 13,605,878 | 2,984,855 | 30,945,109 | ||
Redemptions | (13,206,461) | (133,651,276) | (24,540,436) | (254,580,665) | ||
Converted from Class C shares | 330,988 | 3,337,147 | 3,351,755 | 34,698,532 | ||
Net decrease | (8,469,339) | $ (85,708,351) | (7,155,859) | $ (74,309,751) | ||
Class C | ||||||
Sales | 263,984 | $ 2,692,480 | 1,859,069 | $ 19,296,295 | ||
Issued to shareholders electing to receive payments of distributions in Fund shares | 54,436 | 548,813 | 137,455 | 1,423,778 | ||
Redemptions | (1,292,828) | (13,071,550) | (2,272,863) | (23,567,153) | ||
Converted to Class A shares | (330,984) | (3,337,147) | (3,351,767) | (34,698,532) | ||
Net decrease | (1,305,392) | $ (13,167,404) | (3,628,106) | $ (37,545,612) | ||
Class I | ||||||
Sales | 40,392,377 | $ 408,012,855 | 90,354,141 | $ 938,155,202 | ||
Issued to shareholders electing to receive payments of distributions in Fund shares | 2,224,567 | 22,432,016 | 4,167,096 | 43,217,465 | ||
Redemptions | (53,922,632) | (541,490,176) | (42,427,981) | (440,159,489) | ||
Net increase (decrease) | (11,305,688) | $(111,045,305) | 52,093,256 | $ 541,213,178 |
National Fund | |
Asset Derivatives | |
Futures contracts | $ 3,683,808(1) |
Total | $3,683,808 |
(1) | Only the current day’s variation margin on open futures contracts is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
National Fund | |
Realized Gain (Loss) on Derivatives Recognized in Income | $8,845,583 (1) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | $ (339,648)(2) |
(1) | Statement of Operations location: Net realized gain (loss) - Futures contracts. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation) - Futures contracts. |
National Fund | |
Average Notional Cost: | |
Futures Contracts — Short | $146,724,000 |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
AMT-Free Fund | ||||
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Tax-Exempt Mortgage-Backed Securities | $ — | $ 1,065,056 | $ — | $ 1,065,056 |
Tax-Exempt Municipal Obligations | — | 327,194,619 | — | 327,194,619 |
Total Investments | $ — | $328,259,675 | $ — | $328,259,675 |
National Fund | ||||
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Corporate Bonds | $ — | $ 46,404,126 | $ — | $ 46,404,126 |
Tax-Exempt Municipal Obligations | — | 3,403,050,798 | — | 3,403,050,798 |
Taxable Municipal Obligations | — | 167,733,890 | — | 167,733,890 |
Total Investments | $ — | $ 3,617,188,814 | $ — | $3,617,188,814 |
Futures Contracts | $ 3,683,808 | $ — | $ — | $ 3,683,808 |
Total | $ 3,683,808 | $ 3,617,188,814 | $ — | $3,620,872,622 |
Officers | |
Eric A. Stein President | Jill R. Damon Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees |
George J. Gorman Chairperson | |
Alan C. Bowser* | |
Thomas E. Faust Jr.** | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley | |
William H. Park |
Helen Frame Peters | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser* |
* | Mr. Bowser and Ms. Wiser began serving as Trustees effective April 4, 2022. |
** | Interested Trustee |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Eaton Vance Management
Two International Place
Boston, MA 02110
Boston Management and Research
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
State Street Financial Center, One Lincoln Street
Boston, MA 02111
Attn: Eaton Vance Funds
P.O. Box 9653
Providence, RI 02940-9653
(800) 262-1122
Boston, MA 02110
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
Not required in this filing.
Item 4. Principal Accountant Fees and Services
Not required in this filing.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
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
No material changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the second fiscal quarter of the period covered by this report that has materially affected, or is 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) | Registrant’s Code of Ethics – Not applicable (please see Item 2). | |
(a)(2)(i) | Treasurer’s Section 302 certification. | |
(a)(2)(ii) | President’s Section 302 certification. | |
(b) | Combined Section 906 certification. |
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.
Eaton Vance Mutual Funds Trust | ||
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | May 23, 2022 |
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: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: | May 23, 2022 |
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | May 23, 2022 |