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, 2023
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 | 4.10% | (5.39)% | 1.20% | 2.05% |
Class A with 3.25% Maximum Sales Charge | — | — | 0.75 | (8.43) | 0.53 | 1.72 |
Class C at NAV | 11/17/2009 | 11/17/2009 | 3.72 | (6.10) | 0.45 | 1.44 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 2.72 | (7.01) | 0.45 | 1.44 |
Class I at NAV | 11/17/2009 | 11/17/2009 | 4.24 | (5.24) | 1.46 | 2.30 |
Bloomberg U.S. Aggregate Bond Index | — | — | 4.89% | (4.78)% | 0.90% | 1.36% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
Gross | 0.86% | 1.61% | 0.61% |
Net | 0.74 | 1.49 | 0.49 |
Asset Allocation (% of total investments) |
Credit Quality (% of bond holdings)1 |
1 | 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”), or Kroll for securitized debt instruments only (such as asset-backed securities and mortgage-backed securities) 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, Fitch or Kroll (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 1/31/24. 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 (10/1/22) | Ending Account Value (3/31/23) | Expenses Paid During Period* (10/1/22 – 3/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,041.00 | $3.77** | 0.74% |
Class C | $1,000.00 | $1,037.20 | $7.57** | 1.49% |
Class I | $1,000.00 | $1,042.40 | $2.50** | 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, 2022. |
** | Absent an allocation of certain expenses to an affiliate, expenses would be higher. |
Asset-Backed Securities — 13.4% |
Security | Principal Amount (000's omitted) | Value | |
Aaset Trust, Series 2019-2, Class B, 4.458%, 10/16/39(1) | $ | 3,084 | $ 1,103,610 |
ACHV ABS Trust, Series 2023-1PL, Class B, 6.80%, 3/18/30(1) | 3,200 | 3,198,129 | |
Avant Credit Card Master Trust, Series 2021-1A, Class A, 1.37%, 4/15/27(1) | 1,450 | 1,349,876 | |
Avant Loans Funding Trust, Series 2021-REV1, Class D, 4.30%, 7/15/30(1) | 5,213 | 4,642,704 | |
Business Jet Securities, LLC, Series 2020-1A, Class A, 2.981%, 11/15/35(1) | 422 | 400,633 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 3,210 | 2,472,857 | |
Cologix Canadian Issuer L.P., Series 2022-1CAN, Class C, 7.74%, 1/25/52(1)(2) | 2,800 | 1,920,388 | |
Cologix Data Centers US Issuer, LLC: | |||
Series 2021-1A, Class B, 3.79%, 12/26/51(1) | 4,300 | 3,842,667 | |
Series 2021-1A, Class C, 5.99%, 12/26/51(1) | 2,900 | 2,471,756 | |
Conn's Receivables Funding, LLC: | |||
Series 2021-A, Class B, 2.87%, 5/15/26(1) | 2,329 | 2,306,492 | |
Series 2021-A, Class C, 4.59%, 5/15/26(1) | 6,808 | 6,591,483 | |
Series 2022-A, Class B, 9.52%, 12/15/26(1) | 2,000 | 1,993,536 | |
Series 2022-A, Class C, 0.00%, 12/15/26(1) | 3,700 | 3,138,118 | |
Diamond Infrastructure Funding, LLC, Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 992 | 795,145 | |
Driven Brands Funding, LLC, Series 2019-2A, Class A2, 3.981%, 10/20/49(1) | 3,183 | 2,906,049 | |
ExteNet, LLC: | |||
Series 2019-1A, Class A2, 3.204%, 7/26/49(1) | 2,475 | 2,356,662 | |
Series 2019-1A, Class B, 4.14%, 7/26/49(1) | 3,502 | 3,345,159 | |
Series 2019-1A, Class C, 5.219%, 7/26/49(1) | 3,040 | 2,858,044 | |
Falcon Aerospace, Ltd.: | |||
Series 2019-1, Class B, 4.791%, 9/15/39(1) | 4,067 | 2,969,177 | |
Series 2019-1, Class C, 6.656%, 9/15/39(1) | 3,086 | 1,560,626 | |
FMC GMSR Issuer Trust: | |||
Series 2021-GT1, Class A, 3.62%, 7/25/26(1)(3) | 2,285 | 1,965,287 | |
Series 2021-GT2, Class A, 3.85%, 10/25/26(1)(3) | 1,690 | 1,453,144 | |
Series 2022-GT2, Class A, 7.90%, 7/25/27(1) | 1,750 | 1,751,094 | |
Hertz Vehicle Financing, LLC, Series 2021-1A, Class D, 3.98%, 12/26/25(1) | 5,000 | 4,603,561 | |
Horizon Aircraft Finance II, Ltd., Series 2019-1, Class A, 3.721%, 7/15/39(1) | 1,786 | 1,556,784 | |
JPMorgan Chase Bank NA: | |||
Series 2021-3, Class D, 1.009%, 2/26/29(1) | 565 | 532,403 | |
Series 2021-3, Class E, 2.102%, 2/26/29(1) | 332 | 312,188 | |
Lunar Aircraft, Ltd.: | |||
Series 2020-1A, Class B, 4.335%, 2/15/45(1) | 585 | 395,723 | |
Series 2020-1A, Class C, 6.413%, 2/15/45(1) | 304 | 155,829 |
Security | Principal Amount (000's omitted) | Value | |
Mosaic Solar Loan Trust, Series 2019-2A, Class B, 3.28%, 9/20/40(1) | $ | 1,767 | $ 1,569,080 |
MVW, LLC, Series 2020-1A, Class A, 1.74%, 10/20/37(1) | 220 | 201,796 | |
Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 2,461 | 2,100,598 | |
NRZ Excess Spread-Collateralized Notes: | |||
Series 2021-FHT1, Class A, 3.104%, 7/25/26(1) | 446 | 401,424 | |
Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 3,870 | 3,536,260 | |
Octane Receivables Trust, Series 2022-1, Class A2, 4.18%, 3/20/28(1) | 1,711 | 1,682,319 | |
Oportun Issuance Trust, Series 2021-B, Class C, 3.65%, 5/8/31(1) | 496 | 442,595 | |
Pagaya AI Debt Selection Trust: | |||
Series 2021-2, 3.00%, 1/25/29(1) | 883 | 842,978 | |
Series 2021-3, Class C, 3.27%, 5/15/29(1) | 2,900 | 2,517,309 | |
Series 2021-5, Class C, 3.93%, 8/15/29(1) | 4,319 | 3,722,773 | |
Planet Fitness Master Issuer, LLC, Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 2,361 | 2,052,130 | |
PMT Issuer Trust - FMSR, Series-2021-FT1, Class A, 7.845%, (1 mo. USD LIBOR + 3.00%), 3/25/26(1)(4) | 390 | 387,773 | |
ServiceMaster Funding, LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 657 | 553,586 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 768 | 609,599 | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 3,754 | 3,443,395 | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 3,813 | 3,528,629 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 1,135 | 1,085,099 | |
Series 2020-1A, Class A2, 1.893%, 8/25/45(1) | 1,096 | 1,002,919 | |
Sunnova Helios II Issuer, LLC: | |||
Series 2019-AA, Class C, 5.32%, 6/20/46(1) | 1,037 | 738,670 | |
Series 2021-A, Class B, 3.15%, 2/20/48(1) | 3,008 | 2,386,678 | |
Series 2021-B, Class B, 2.01%, 7/20/48(1) | 2,390 | 1,913,653 | |
Sunnova Helios X Issuer, LLC, Series 2022-C, Class B, 5.60%, 11/22/49(1) | 3,803 | 3,583,148 | |
Sunnova Sol Issuer, LLC, Series 2020-1A, Class B, 5.54%, 2/1/55(1) | 6,525 | 5,698,520 | |
Theorem Funding Trust, Series 2021-1A, Class B, 1.84%, 12/15/27(1) | 2,461 | 2,331,354 | |
Upstart Securitization Trust, Series 2020-1, Class C, 4.899%, 4/22/30(1) | 2,943 | 2,909,318 | |
Vantage Data Centers Issuer, LLC: | |||
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 3,088 | 2,619,595 | |
Series 2021-1A, Class A2, 2.165%, 10/15/46(1) | 3,858 | 3,442,193 |
Security | Principal Amount (000's omitted) | Value | |
Willis Engine Structured Trust V: | |||
Series 2020-A, Class B, 4.212%, 3/15/45(1) | $ | 1,511 | $ 1,098,649 |
Series 2020-A, Class C, 6.657%, 3/15/45(1) | 561 | 361,365 | |
Total Asset-Backed Securities (identified cost $136,745,200) | $121,712,529 |
Collateralized Mortgage Obligations — 4.1% |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re, Ltd., Series 2021-2A, Class M1A, 5.76%, (30-day average SOFR + 1.20%), 6/25/31(1)(4) | $ | 2,268 | $ 2,241,992 |
Cascade Funding Mortgage Trust, Series 2022-HB10, Class M2, 3.25% to 11/25/25, 11/25/35(1)(5) | 2,000 | 1,754,171 | |
Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54(1)(5) | 2,096 | 1,865,852 | |
CFMT, LLC, Series 2023-HB11, Class M2, 4.00%, 2/25/37(1) | 2,500 | 2,175,939 | |
Eagle Re, Ltd., Series 2021-2, Class M1B, 6.61%, (30-day average SOFR + 2.05%), 4/25/34(1)(4) | 1,500 | 1,489,399 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2019-DNA4, Class M2, 6.795%, (1 mo. USD LIBOR + 1.95%), 10/25/49(1)(4) | 143 | 143,976 | |
Series 2019-HQA3, Class B1, 7.845%, (1 mo. USD LIBOR + 3.00%), 9/25/49(1)(4) | 1,395 | 1,368,013 | |
Series 2019-HQA4, Class B1, 7.795%, (1 mo. USD LIBOR + 2.95%), 11/25/49(1)(4) | 975 | 969,889 | |
Series 2020-HQA2, Class B1, 8.945%, (1 mo. USD LIBOR + 4.10%), 3/25/50(1)(4) | 1,878 | 1,917,778 | |
Series 2021-DNA2, Class B1, 7.96%, (30-day average SOFR + 3.40%), 8/25/33(1)(4) | 2,165 | 2,069,483 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2019-R01, Class 2B1, 9.195%, (1 mo. USD LIBOR + 4.35%), 7/25/31(1)(4) | 1,390 | 1,438,827 | |
Series 2019-R02, Class 1B1, 8.995%, (1 mo. USD LIBOR + 4.15%), 8/25/31(1)(4) | 565 | 577,818 | |
Series 2019-R02, Class 1M2, 7.145%, (1 mo. USD LIBOR + 2.30%), 8/25/31(1)(4) | 62 | 62,215 | |
Series 2019-R03, Class 1B1, 8.945%, (1 mo. USD LIBOR + 4.10%), 9/25/31(1)(4) | 1,125 | 1,152,890 | |
Series 2019-R06, Class 2B1, 8.595%, (1 mo. USD LIBOR + 3.75%), 9/25/39(1)(4) | 5,829 | 5,703,494 | |
Series 2019-R07, Class 1B1, 8.245%, (1 mo. USD LIBOR + 3.40%), 10/25/39(1)(4) | 3,081 | 3,044,350 | |
Series 2020-R02, Class 2B1, 7.845%, (1 mo. USD LIBOR + 3.00%), 1/25/40(1)(4) | 1,612 | 1,525,232 | |
Series 2021-R01, Class 1B2, 10.56%, (30-day average SOFR + 6.00%), 10/25/41(1)(4) | 1,995 | 1,849,888 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association Connecticut Avenue Securities: (continued) | |||
Series 2021-R02, Class 2B1, 7.86%, (30-day average SOFR + 3.30%), 11/25/41(1)(4) | $ | 584 | $ 550,880 |
Finance of America HECM Buyout, Series 2022-HB2, Class M5, 6.00% to 8/25/23, 8/1/32(1)(5) | 1,000 | 612,474 | |
MFRA Trust, Series 2023-NQM1, Class A2, 5.75%, 11/25/67(1)(5) | 1,599 | 1,579,692 | |
Oaktown Re VI Ltd., Series 2021-1A, Class M1B, 6.61%, (30-day average SOFR + 2.05%), 10/25/33(1)(4) | 1,000 | 995,599 | |
PNMAC GMSR Issuer Trust: | |||
Series 2018-GT1, Class A, 7.695%, (1 mo. USD LIBOR + 2.85%), 2/25/25(1)(4) | 775 | 778,181 | |
Series 2018-GT2, Class A, 7.495%, (1 mo. USD LIBOR + 2.65%), 8/25/25(1)(4) | 445 | 442,846 | |
RMF Buyout Issuance Trust, Series 2020-HB1, Class M5, 6.00%, 10/25/50(1) | 1,157 | 808,158 | |
Total Collateralized Mortgage Obligations (identified cost $37,492,438) | $ 37,119,036 |
Commercial Mortgage-Backed Securities — 12.0% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class ENM, 3.719%, 11/5/32(1)(3) | $ | 7,255 | $ 5,185,391 |
Series 2019-BPR, Class FNM, 3.719%, 11/5/32(1)(3) | 7,215 | 4,799,860 | |
BBCMS Mortgage Trust: | |||
Series 2017-C1, Class D, 3.544%, 2/15/50(1)(3) | 3,500 | 2,427,111 | |
Series 2017-DELC, Class E, 7.309%, (1 mo. USD LIBOR + 2.63%), 8/15/36(1)(4) | 4,000 | 3,929,284 | |
Series 2017-DELC, Class F, 8.309%, (1 mo. USD LIBOR + 3.63%), 8/15/36(1)(4) | 3,980 | 3,871,203 | |
BX Commercial Mortgage Trust: | |||
Series 2021-VOLT, Class C, 5.784%, (1 mo. USD LIBOR + 1.10%), 9/15/36(1)(4) | 2,379 | 2,246,735 | |
Series 2021-VOLT, Class D, 6.334%, (1 mo. USD LIBOR + 1.65%), 9/15/36(1)(4) | 474 | 446,954 | |
BX Trust, Series 2018-EXCL, Class C, 6.66%, (1 mo. USD LIBOR + 1.975%), 9/15/37(1)(4) | 246 | 242,622 | |
CFCRE Commercial Mortgage Trust: | |||
Series 2016-C3, Class D, 3.052%, 1/10/48(1)(3) | 1,500 | 1,104,871 | |
Series 2016-C7, Class D, 4.385%, 12/10/54(1)(3) | 1,725 | 1,210,312 | |
CIM Retail Portfolio Trust, Series 2021-RETL, Class F, 9.535%, (1 mo. USD LIBOR + 4.85%), 8/15/36(1)(4) | 3,244 | 3,182,435 | |
COMM Mortgage Trust: | |||
Series 2013-CR11, Class B, 5.111%, 8/10/50(3) | 1,945 | 1,871,151 | |
Series 2013-CR11, Class D, 5.118%, 8/10/50(1)(3) | 3,603 | 3,453,743 | |
Series 2013-CR13, Class C, 4.876%, 11/10/46(3) | 1,000 | 945,691 |
Security | Principal Amount (000's omitted) | Value | |
COMM Mortgage Trust: (continued) | |||
Series 2013-CR9, Class C, 4.513%, 7/10/45(1)(3) | $ | 4,000 | $ 3,819,268 |
Series 2013-CR9, Class D, 4.513%, 7/10/45(1)(3) | 3,032 | 2,684,723 | |
Series 2015-CR22, Class D, 4.071%, 3/10/48(1)(3) | 2,324 | 1,814,014 | |
CSMC Trust: | |||
Series 2016-NXSR, Class D, 4.431%, 12/15/49(1)(3) | 2,000 | 1,160,796 | |
Series 2020-TMIC, Class A, 8.184%, (1 mo. USD LIBOR + 3.50%), 12/15/35(1)(4) | 4,240 | 4,203,207 | |
Series 2022-CNTR, Class A, 8.772%, (1 mo. SOFR + 3.944%), 1/15/24(1)(4) | 3,745 | 3,367,016 | |
Series 2022-NWPT, Class A, 7.97%, (1 mo. SOFR + 3.143%), 9/9/24(1)(4) | 1,900 | 1,884,685 | |
Extended Stay America Trust, Series 2021-ESH, Class C, 6.385%, (1 mo. USD LIBOR + 1.70%), 7/15/38(1)(4) | 3,100 | 3,008,539 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M10, 8.095%, (1 mo. USD LIBOR + 3.25%), 10/25/49(1)(4) | 2,870 | 2,641,048 | |
Series 2020-01, Class M10, 8.595%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(4) | 3,245 | 3,018,635 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C22, Class D, 4.547%, 9/15/47(1)(3) | 1,980 | 1,432,431 | |
Series 2014-C25, Class D, 3.936%, 11/15/47(1)(3) | 3,575 | 1,539,571 | |
Series 2015-C29, Class D, 3.687%, 5/15/48(3) | 500 | 347,369 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2013-C16, Class D, 5.008%, 12/15/46(1)(3) | 1,500 | 1,374,959 | |
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 1,384 | 244,138 | |
Morgan Stanley Bank of America Merrill Lynch Trust: | |||
Series 2016-C29, Class C, 4.722%, 5/15/49(3)(6) | 4,199 | 3,672,441 | |
Series 2016-C29, Class D, 3.00%, 5/15/49(1)(6) | 3,048 | 2,164,184 | |
Series 2016-C32, Class D, 3.396%, 12/15/49(1)(3)(6) | 5,000 | 3,296,235 | |
Morgan Stanley Capital I Trust: | |||
Series 2016-UBS12, Class D, 3.312%, 12/15/49(1)(6) | 7,150 | 3,501,532 | |
Series 2019-BPR, Class B, 7.034%, (1 mo. USD LIBOR + 2.35%), 5/15/36(1)(4)(6) | 3,960 | 3,813,040 | |
Series 2019-BPR, Class C, 7.984%, (1 mo. USD LIBOR + 3.30%), 5/15/36(1)(4)(6) | 1,540 | 1,454,990 | |
Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class C, 6.884%, (1 mo. USD LIBOR + 2.20%), 6/15/35(1)(4) | 3,219 | 2,797,785 | |
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class D, 4.38%, 4/10/46(1)(3) | 2,000 | 1,660,112 | |
VMC Finance, LLC, Series 2021-HT1, Class B, 9.261%, (1 mo. USD LIBOR + 4.50%), 1/18/37(1)(4) | 8,477 | 8,005,438 | |
Wells Fargo Commercial Mortgage Trust: | |||
Series 2015-C31, Class D, 3.852%, 11/15/48 | 5,598 | 4,254,820 | |
Series 2016-C35, Class D, 3.142%, 7/15/48(1) | 2,150 | 1,559,502 | |
Series 2016-C36, Class D, 2.942%, 11/15/59(1) | 6,000 | 3,399,434 |
Security | Principal Amount (000's omitted) | Value | |
WF-RBS Commercial Mortgage Trust: | |||
Series 2013-UBS1, Class D, 5.025%, 3/15/46(1)(3) | $ | 350 | $ 340,477 |
Series 2014-C24, Class D, 3.692%, 11/15/47(1) | 4,150 | 2,248,090 | |
Total Commercial Mortgage-Backed Securities (identified cost $125,596,501) | $109,625,842 |
Convertible Bonds — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
Aerospace & Defense — 0.0%(7) | |||
Spirit Airlines, Inc., 1.00%, 5/15/26 | $ | 200 | $ 162,100 |
$ 162,100 | |||
Agriculture — 0.0%(7) | |||
ADM Ag Holding, Ltd., 0.00%, 8/26/23(8) | $ | 200 | $ 196,500 |
$ 196,500 | |||
Biotechnology — 0.0%(7) | |||
BioMarin Pharmaceutical, Inc., 0.599%, 8/1/24 | $ | 175 | $ 179,984 |
$ 179,984 | |||
Building and Development — 0.1% | |||
Cellnex Telecom S.A., 0.50%, 7/5/28(8) | $ | 200 | $ 231,682 |
$ 231,682 | |||
Commercial Services — 0.0%(7) | |||
Block, Inc., 0.125%, 3/1/25 | $ | 85 | $ 81,643 |
$ 81,643 | |||
Computers — 0.1% | |||
Rapid7, Inc., 0.25%, 3/15/27 | $ | 175 | $ 152,868 |
Zscaler, Inc., 0.125%, 7/1/25 | 90 | 95,355 | |
$ 248,223 | |||
Diversified Financial Services — 0.0%(7) | |||
Ford Motor Co., 0.00%, 3/15/26 | $ | 200 | $ 200,800 |
$ 200,800 | |||
Electric Utilities — 0.0%(7) | |||
NRG Energy, Inc., 2.75%, 6/1/48 | $ | 150 | $ 154,875 |
$ 154,875 |
Security | Principal Amount (000's omitted) | Value | |
Entertainment — 0.0%(7) | |||
Marriott Vacations Worldwide Corp., 3.25%, 12/15/27(1) | $ | 150 | $ 146,625 |
$ 146,625 | |||
Health Care — 0.0%(7) | |||
Lantheus Holdings, Inc., 2.625%, 12/15/27(1) | $ | 175 | $ 227,597 |
$ 227,597 | |||
Internet Software & Services — 0.0%(7) | |||
Okta, Inc., 0.125%, 9/1/25 | $ | 90 | $ 81,585 |
$ 81,585 | |||
Leisure Time — 0.0%(7) | |||
NCL Corp., Ltd., 1.125%, 2/15/27 | $ | 200 | $ 143,231 |
$ 143,231 | |||
Oil and Gas — 0.0%(7) | |||
NextEra Energy Partners, L.P., 2.50%, 6/15/26(1) | $ | 150 | $ 133,950 |
$ 133,950 | |||
Pharmaceuticals — 0.1% | |||
Dexcom, Inc., 0.25%, 11/15/25 | $ | 175 | $ 188,328 |
Herbalife Nutrition, Ltd., 2.625%, 3/15/24 | 175 | 166,250 | |
Jazz Investments I, Ltd., 2.00%, 6/15/26 | 200 | 222,500 | |
$ 577,078 | |||
Real Estate Investment Trusts (REITs) — 0.0%(7) | |||
Blackstone Mortgage Trust, Inc., 5.50%, 3/15/27 | $ | 150 | $ 118,969 |
$ 118,969 | |||
Semiconductors — 0.0%(7) | |||
ON Semiconductor Corp., 0.50%, 3/1/29(1) | $ | 175 | $ 182,806 |
$ 182,806 | |||
Software — 0.1% | |||
Akamai Technologies, Inc., 0.125%, 5/1/25 | $ | 175 | $ 176,810 |
BILL Holdings, Inc., 0.00%, 12/1/25 | 175 | 160,912 | |
Cloudflare, Inc., 0.00%, 8/15/26 | 60 | 50,970 | |
Datadog, Inc., 0.125%, 6/15/25 | 160 | 173,520 | |
Tyler Technologies, Inc., 0.25%, 3/15/26 | 175 | 168,000 | |
$ 730,212 | |||
Total Convertible Bonds (identified cost $3,894,864) | $ 3,797,860 |
Convertible Preferred Stocks — 0.0%(7) |
Security | Shares | Value | |
Banks — 0.0%(7) | |||
Bank of America Corp.,Series L, 7.25% | 120 | $ 140,131 | |
Total Convertible Preferred Stocks (identified cost $146,760) | $ 140,131 |
Corporate Bonds — 37.0% |
Security | Principal Amount (000's omitted) | Value | |
Aerospace & Defense — 1.1% | |||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | $ | 5,102 | $ 5,027,214 |
5.75%, 4/20/29(1) | 1,637 | 1,572,012 | |
Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(1) | 3,106 | 2,999,924 | |
$ 9,599,150 | |||
Auto Manufacturers — 0.3% | |||
General Motors Co., 5.60%, 10/15/32 | $ | 2,911 | $ 2,853,099 |
$ 2,853,099 | |||
Banks — 7.7% | |||
Banco Mercantil del Norte S.A./Grand Cayman, 7.50% to 6/27/29(1)(9)(10) | $ | 745 | $ 644,736 |
Banco Santander S.A., 4.175% to 3/24/27, 3/24/28(10) | 400 | 375,881 | |
Bank Hapoalim BM, 3.255% to 1/21/27, 1/21/32(1)(8)(10) | 2,600 | 2,172,300 | |
Bank Leumi Le-Israel BM, 7.129% to 4/18/28, 7/18/33(1)(8)(10) | 2,360 | 2,296,280 | |
Bank of America Corp., 3.846% to 3/8/32, 3/8/37(10) | 10,500 | 8,961,714 | |
BBVA Bancomer S.A./Texas, 5.125% to 1/18/28, 1/18/33(1)(10) | 2,270 | 1,943,756 | |
BNP Paribas S.A., 4.625% to 2/25/31(1)(9)(10) | 914 | 685,372 | |
BPCE S.A., 3.648% to 1/14/32, 1/14/37(1)(10) | 1,518 | 1,194,307 | |
CaixaBank S.A., 6.208% to 1/18/28, 1/18/29(1)(10) | 3,962 | 3,989,869 | |
Citigroup, Inc., 3.785% to 3/17/32, 3/17/33(10) | 3,735 | 3,351,634 | |
HSBC Holdings PLC: | |||
6.161% to 3/9/28, 3/9/29(10) | 4,615 | 4,748,948 | |
7.39% to 11/3/27, 11/3/28(10) | 887 | 944,824 | |
Intesa Sanpaolo SpA, 8.248% to 11/21/32, 11/21/33(1)(10) | 4,220 | 4,478,055 | |
Macquarie Bank, Ltd., 6.798%, 1/18/33(1) | 2,408 | 2,450,717 | |
Macquarie Group, Ltd., 2.871% to 1/14/32, 1/14/33(1)(10) | 3,071 | 2,490,104 |
Security | Principal Amount (000's omitted) | Value | |
Banks (continued) | |||
PNC Financial Services Group, Inc.: | |||
5.068% to 1/24/33, 1/24/34(10) | $ | 3,000 | $ 2,961,920 |
6.25% to 3/15/30(9)(10) | 5,734 | 5,346,955 | |
Societe Generale S.A.: | |||
6.221% to 6/15/32, 6/15/33(1)(10) | 2,600 | 2,419,680 | |
9.375% to 11/22/27(1)(9)(10) | 2,389 | 2,266,564 | |
Swedbank AB, 5.337%, 9/20/27(1) | 1,711 | 1,712,948 | |
Synchrony Bank, 5.625%, 8/23/27 | 1,662 | 1,527,485 | |
Synovus Bank/Columbus, GA, 5.625%, 2/15/28 | 4,405 | 3,957,305 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(10) | 3,393 | 2,809,237 | |
Toronto-Dominion Bank (The), 8.125% to 10/31/27, 10/31/82(10) | 4,252 | 4,326,410 | |
UBS Group AG, 4.375% to 2/10/31(1)(9)(10) | 3,315 | 2,308,066 | |
$ 70,365,067 | |||
Building and Development — 0.5% | |||
Jacobs Engineering Group, Inc., 5.90%, 3/1/33 | $ | 4,203 | $ 4,212,208 |
$ 4,212,208 | |||
Building Materials — 0.4% | |||
Cemex SAB de CV, 9.125% to 3/14/28(1)(9)(10) | $ | 3,706 | $ 3,716,019 |
$ 3,716,019 | |||
Chemicals — 0.3% | |||
Celanese US Holdings, LLC: | |||
6.165%, 7/15/27 | $ | 1,455 | $ 1,465,366 |
6.33%, 7/15/29 | 1,485 | 1,502,891 | |
$ 2,968,257 | |||
Commercial Services — 1.2% | |||
Ashtead Capital, Inc.: | |||
4.25%, 11/1/29(1) | $ | 2,785 | $ 2,557,466 |
5.55%, 5/30/33(1) | 3,840 | 3,798,062 | |
Block Financial, LLC, 3.875%, 8/15/30 | 2,825 | 2,431,422 | |
Western Union Co. (The), 6.20%, 11/17/36 | 2,075 | 2,076,453 | |
$ 10,863,403 | |||
Computers — 1.6% | |||
Dell International, LLC / EMC Corp. Co., 3.45%, 12/15/51(1) | $ | 3,125 | $ 2,037,004 |
Kyndryl Holdings, Inc.: | |||
2.70%, 10/15/28 | 5,000 | 4,192,087 | |
3.15%, 10/15/31 | 5,446 | 4,168,615 |
Security | Principal Amount (000's omitted) | Value | |
Computers (continued) | |||
Seagate HDD Cayman: | |||
5.75%, 12/1/34 | $ | 2,589 | $ 2,365,699 |
9.625%, 12/1/32(1) | 1,901 | 2,132,346 | |
$ 14,895,751 | |||
Consumer Products — 0.2% | |||
Natura & Co. Luxembourg Holdings S.a.r.l., 6.00%, 4/19/29(1) | $ | 614 | $ 533,224 |
Natura Cosmeticos S.A., 4.125%, 5/3/28(1) | 1,885 | 1,536,827 | |
$ 2,070,051 | |||
Diversified Financial Services — 5.5% | |||
Ally Financial, Inc., 8.00%, 11/1/31 | $ | 5,825 | $ 6,121,264 |
Alpha Holding S.A. de CV, 9.00%, 2/10/25(1)(11) | 2,948 | 40,540 | |
American AgCredit Corp., Series QIB, 5.25% to 6/15/26(1)(9)(10) | 1,431 | 1,236,026 | |
Ameriprise Financial, Inc., 5.15%, 5/15/33 | 2,832 | 2,826,395 | |
Aviation Capital Group, LLC, 6.25%, 4/15/28(1)(12) | 2,518 | 2,519,967 | |
Bread Financial Holdings, Inc., 4.75%, 12/15/24(1) | 2,942 | 2,633,654 | |
Brookfield Finance, Inc., 4.70%, 9/20/47 | 3,240 | 2,803,256 | |
Cantor Fitzgerald, L.P., 4.50%, 4/14/27(1) | 3,850 | 3,596,005 | |
Charles Schwab Corp. (The), Series G, 5.375% to 6/1/25(9)(10) | 4,659 | 4,437,697 | |
CI Financial Corp.: | |||
3.20%, 12/17/30 | 3,912 | 3,018,076 | |
4.10%, 6/15/51 | 4,504 | 2,733,264 | |
Ford Motor Credit Co., LLC, 7.35%, 11/4/27 | 2,100 | 2,168,271 | |
Hyundai Capital America, 5.80%, 4/1/30(1) | 5,030 | 5,075,830 | |
OneMain Finance Corp.: | |||
3.50%, 1/15/27 | 1,700 | 1,428,683 | |
5.375%, 11/15/29 | 2,696 | 2,270,841 | |
Rocket Mortgage, LLC/Rocket Mortgage Co.-Issuer, Inc., 3.875%, 3/1/31(1) | 2,900 | 2,407,392 | |
UniCredit SpA, 5.861% to 6/19/27, 6/19/32(1)(10) | 5,038 | 4,447,519 | |
$ 49,764,680 | |||
Electric Utilities — 0.3% | |||
Edison International, Series B, 5.00% to 12/15/26(9)(10) | $ | 2,996 | $ 2,489,661 |
$ 2,489,661 | |||
Electrical and Electronic Equipment — 0.5% | |||
Jabil, Inc., 3.00%, 1/15/31 | $ | 1,468 | $ 1,235,150 |
Sensata Technologies BV, 5.875%, 9/1/30(1) | 310 | 307,566 | |
Vontier Corp., 2.95%, 4/1/31 | 3,671 | 2,941,903 | |
$ 4,484,619 |
Security | Principal Amount (000's omitted) | Value | |
Entertainment — 0.7% | |||
Magallanes, Inc., 5.141%, 3/15/52(1) | $ | 7,300 | $ 5,922,826 |
$ 5,922,826 | |||
Financial Services — 0.3% | |||
Carlyle Finance Subsidiary, LLC, 3.50%, 9/19/29(1) | $ | 3,343 | $ 3,063,546 |
$ 3,063,546 | |||
Foods — 0.4% | |||
Smithfield Foods, Inc., 5.20%, 4/1/29(1) | $ | 4,300 | $ 4,019,911 |
$ 4,019,911 | |||
Health Care — 0.7% | |||
Centene Corp., 3.375%, 2/15/30 | $ | 990 | $ 864,611 |
HCA, Inc.: | |||
4.625%, 3/15/52(1) | 2,423 | 2,015,594 | |
5.25%, 6/15/49 | 3,700 | 3,342,325 | |
$ 6,222,530 | |||
Insurance — 4.0% | |||
American International Group, Inc., 5.125%, 3/27/33 | $ | 3,430 | $ 3,411,525 |
American National Group, Inc., 6.144%, 6/13/32(1) | 3,300 | 3,210,100 | |
Athene Global Funding, 2.646%, 10/4/31(1) | 5,300 | 4,215,104 | |
F&G Annuities & Life, Inc., 7.40%, 1/13/28(1) | 9,102 | 9,165,280 | |
Global Atlantic Fin Co., 3.125%, 6/15/31(1) | 4,532 | 3,574,756 | |
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(1)(10) | 3,769 | 3,031,294 | |
Metropolitan Life Global Funding I, 5.15%, 3/28/33(1) | 2,760 | 2,784,995 | |
Radian Group, Inc., 4.875%, 3/15/27 | 3,433 | 3,231,847 | |
Stewart Information Services Corp., 3.60%, 11/15/31 | 4,244 | 3,341,835 | |
$ 35,966,736 | |||
Leisure Time — 0.9% | |||
Brunswick Corp., 5.10%, 4/1/52 | $ | 5,491 | $ 4,051,075 |
NCL Corp., Ltd., 5.875%, 3/15/26(1) | 2,550 | 2,172,983 | |
Viking Cruises, Ltd., 5.875%, 9/15/27(1) | 2,525 | 2,176,802 | |
$ 8,400,860 | |||
Media — 0.3% | |||
CCO Holdings, LLC/CCO Holdings Capital Corp., 5.125%, 5/1/27(1) | $ | 3,275 | $ 3,098,936 |
$ 3,098,936 |
Security | Principal Amount (000's omitted) | Value | |
Oil and Gas — 2.2% | |||
Enviva Partners, L.P./Enviva Partners Finance Corp., 6.50%, 1/15/26(1) | $ | 2,879 | $ 2,622,870 |
National Fuel Gas Co., 2.95%, 3/1/31 | 5,065 | 4,074,774 | |
Neptune Energy Bondco PLC, 6.625%, 5/15/25(1) | 1,315 | 1,276,031 | |
Patterson-UTI Energy, Inc., 5.15%, 11/15/29 | 5,357 | 4,939,537 | |
Petroleos Mexicanos: | |||
6.50%, 3/13/27 | 1,250 | 1,137,085 | |
10.00%, 2/7/33(1) | 2,912 | 2,793,464 | |
Var Energi ASA, 7.50%, 1/15/28(1) | 3,000 | 3,111,744 | |
$ 19,955,505 | |||
Packaging & Containers — 0.2% | |||
Berry Global, Inc., 5.50%, 4/15/28(1) | $ | 1,810 | $ 1,804,990 |
$ 1,804,990 | |||
Pharmaceuticals — 0.3% | |||
Perrigo Finance Unlimited Co., 4.40%, 6/15/30 | $ | 3,028 | $ 2,722,271 |
$ 2,722,271 | |||
Pipelines — 0.5% | |||
Midwest Connector Capital Co., LLC, 4.625%, 4/1/29(1) | $ | 4,344 | $ 4,077,479 |
$ 4,077,479 | |||
Real Estate Investment Trusts (REITs) — 3.4% | |||
American Assets Trust, L.P., 3.375%, 2/1/31 | $ | 3,290 | $ 2,645,987 |
Corporate Office Properties, L.P., 2.90%, 12/1/33 | 1,656 | 1,156,800 | |
EPR Properties: | |||
3.60%, 11/15/31 | 1,200 | 899,527 | |
3.75%, 8/15/29 | 2,672 | 2,050,843 | |
4.95%, 4/15/28 | 1,200 | 1,003,236 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.75%, 9/15/30(1) | 5,251 | 3,972,014 | |
6.00%, 4/15/25(1) | 1,600 | 1,538,809 | |
Iron Mountain, Inc.: | |||
4.50%, 2/15/31(1) | 3,801 | 3,270,000 | |
5.00%, 7/15/28(1) | 503 | 468,602 | |
Newmark Group, Inc., 6.125%, 11/15/23 | 5,419 | 5,376,984 | |
Sabra Health Care, L.P., 3.20%, 12/1/31 | 2,741 | 2,013,393 | |
Sun Communities Operating, L.P., 5.70%, 1/15/33 | 3,282 | 3,288,299 | |
VICI Properties, L.P./VICI Note Co., Inc., 5.75%, 2/1/27(1) | 3,078 | 3,024,510 | |
Vornado Realty, L.P., 3.40%, 6/1/31 | 700 | 484,924 | |
$ 31,193,928 |
Security | Principal Amount (000's omitted) | Value | |
Retail — 1.6% | |||
Bath & Body Works, Inc., 6.875%, 11/1/35 | $ | 2,845 | $ 2,567,290 |
Dave & Buster's, Inc., 7.625%, 11/1/25(1) | 2,000 | 2,040,000 | |
Dick's Sporting Goods, Inc., 4.10%, 1/15/52 | 4,354 | 3,101,662 | |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1) | 1,100 | 952,886 | |
4.375%, 1/15/31(1) | 4,075 | 3,515,319 | |
Macy's Retail Holdings, LLC, 5.875%, 4/1/29(1) | 2,778 | 2,572,872 | |
$ 14,750,029 | |||
Semiconductors — 0.3% | |||
Micron Technology, Inc., 3.477%, 11/1/51 | $ | 4,117 | $ 2,688,240 |
$ 2,688,240 | |||
Technology — 0.3% | |||
CDW, LLC/CDW Finance Corp., 3.276%, 12/1/28 | $ | 3,087 | $ 2,725,126 |
$ 2,725,126 | |||
Telecommunications — 1.3% | |||
AT&T, Inc.: | |||
3.10%, 2/1/43 | $ | 2,000 | $ 1,487,942 |
3.55%, 9/15/55 | 1,597 | 1,148,362 | |
Nokia Oyj, 4.375%, 6/12/27 | 3,450 | 3,301,598 | |
Rogers Communications, Inc., 4.55%, 3/15/52(1) | 1,850 | 1,523,318 | |
SES Global Americas Holdings GP, 5.30%, 3/25/44(1) | 1,360 | 1,071,160 | |
SES S.A., 5.30%, 4/4/43(1) | 810 | 606,685 | |
T-Mobile USA, Inc., 3.60%, 11/15/60 | 3,746 | 2,675,505 | |
$ 11,814,570 | |||
Total Corporate Bonds (identified cost $362,664,668) | $336,709,448 |
Preferred Stocks — 0.6% |
Security | Shares | Value | |
Real Estate Management & Development — 0.4% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 187,034 | $ 2,328,573 | |
Series A2, 6.375% | 74,772 | 1,127,562 | |
$ 3,456,135 |
Security | Shares | Value | |
Telecommunications — 0.2% | |||
United States Cellular Corp., 5.50% | 107,100 | $ 1,799,280 | |
$ 1,799,280 | |||
Total Preferred Stocks (identified cost $9,222,650) | $ 5,255,415 |
Senior Floating-Rate Loans — 0.2%(13) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Specialty Retail — 0.2% | |||
PetSmart, Inc., Term Loan, 8.657%, (SOFR + 3.75%), 2/11/28 | $ | 1,383 | $ 1,373,859 |
$ 1,373,859 | |||
Total Senior Floating-Rate Loans (identified cost $1,384,517) | $ 1,373,859 |
Sovereign Government Bonds — 0.9% |
Security | Principal Amount (000's omitted) | Value | |
Costa Rica — 0.1% | |||
Costa Rica Government International Bonds, 6.55%, 4/3/34(1)(12) | USD | 1,098 | $ 1,105,686 |
$ 1,105,686 | |||
Mexico — 0.5% | |||
Mexico Bonos, 8.00%, 9/5/24 | MXN | 85,000 | $ 4,549,845 |
$ 4,549,845 | |||
South Africa — 0.3% | |||
Republic of South Africa, 5.875%, 4/20/32 | USD | 3,118 | $ 2,840,607 |
$ 2,840,607 | |||
Total Sovereign Government Bonds (identified cost $8,573,214) | $ 8,496,138 |
U.S. Government Agency Mortgage-Backed Securities — 8.0% |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: | |||
4.00%, 30-Year, TBA(14) | $ | 8,514 | $ 8,144,839 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
4.50%, 30-Year, TBA(14) | $ | 13,876 | $ 13,596,306 |
5.00%, 30-Year, TBA(14) | 33,795 | 33,709,178 | |
5.50%, 30-Year, TBA(14) | 16,590 | 16,763,672 | |
Pool #FM6803, 2.00%, 4/1/51 | 1,144 | 960,735 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $72,287,707) | $ 73,174,730 |
U.S. Treasury Obligations — 28.7% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: | |||
1.375%, 8/15/50 | $ | 46,200 | $ 27,772,336 |
1.875%, 11/15/51 | 1,900 | 1,294,635 | |
2.00%, 11/15/41 | 1,817 | 1,372,793 | |
2.25%, 2/15/52 | 2,000 | 1,492,422 | |
2.375%, 2/15/42 | 56,319 | 45,320,295 | |
2.875%, 5/15/49 | 5,000 | 4,281,641 | |
2.875%, 5/15/52 | 5,503 | 4,709,902 | |
4.00%, 11/15/42 | 11,390 | 11,703,225 | |
4.00%, 11/15/52 | 4,662 | 4,949,004 | |
U.S. Treasury Notes: | |||
2.75%, 4/30/27 | 37,630 | 36,276,937 | |
3.50%, 2/15/33 | 1,200 | 1,201,969 | |
4.00%, 2/29/28 | 1,750 | 1,781,787 | |
4.50%, 11/30/24 | 17,546 | 17,617,865 | |
4.625%, 2/28/25 | 1,400 | 1,413,727 | |
5.25%, 11/15/28 | 22,355 | 24,207,147 | |
5.375%, 2/15/31 | 48,475 | 54,682,072 | |
6.25%, 5/15/30 | 5,520 | 6,455,273 | |
6.75%, 8/15/26 | 13,295 | 14,533,097 | |
Total U.S. Treasury Obligations (identified cost $256,181,154) | $261,066,127 |
Miscellaneous — 0.0% |
Security | Principal Amount | Value | |
Financial Intermediaries — 0.0% | |||
Alpha Holding S.A., Escrow Certificates(15)(16) | $ 6,250,000 | $ 0 | |
Total Miscellaneous (identified cost $0) | $ 0 |
Short-Term Investments — 2.1% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.73%(17) | 19,444,738 | $ 19,444,738 | |
Total Short-Term Investments (identified cost $19,444,738) | $ 19,444,738 | ||
Total Investments — 107.4% (identified cost $1,033,634,411) | $977,915,853 | ||
Other Assets, Less Liabilities — (7.4)% | $ (67,311,753) | ||
Net Assets — 100.0% | $910,604,100 |
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, 2023, the aggregate value of these securities is $427,084,830 or 46.9% of the Fund's net assets. |
(2) | Principal Amount is denominated in Canadian dollars. |
(3) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at March 31, 2023. |
(4) | Variable rate security. The stated interest rate represents the rate in effect at March 31, 2023. |
(5) | Step coupon security. Interest rate represents the rate in effect at March 31, 2023. |
(6) | Represents an investment in an issuer that may be deemed to be an affiliate (see Note 10). |
(7) | Amount is less than 0.05%. |
(8) | 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, 2023, the aggregate value of these securities is $4,896,762 or 0.5% of the Fund's net assets. |
(9) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(10) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(11) | Issuer is in default with respect to interest and/or principal payments. |
(12) | When-issued security. |
(13) | 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. |
(14) | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
(15) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 11). |
(16) | Non-income producing security. |
(17) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of March 31, 2023. |
Country Concentration of Portfolio | ||
Country | Percentage of Total Investments | Value |
United States | 89.3% | $873,452,780 |
Canada | 1.7 | 16,324,712 |
Mexico | 1.5 | 14,825,445 |
United Kingdom | 1.0 | 9,527,269 |
Italy | 0.9 | 8,925,574 |
Cayman Islands | 0.9 | 8,385,183 |
Bermuda | 0.7 | 7,269,523 |
France | 0.7 | 6,565,923 |
Australia | 0.5 | 4,940,821 |
Spain | 0.5 | 4,597,432 |
Israel | 0.5 | 4,468,580 |
Finland | 0.3 | 3,301,598 |
Norway | 0.3 | 3,111,744 |
South Africa | 0.3 | 2,840,607 |
Switzerland | 0.2 | 2,308,066 |
Brazil | 0.2 | 2,070,051 |
Sweden | 0.2 | 1,712,948 |
Luxembourg | 0.2 | 1,677,845 |
Costa Rica | 0.1 | 1,105,686 |
Netherlands | 0.0 (1) | 307,566 |
British Virgin Islands | 0.0 (1) | 196,500 |
Total Investments | 100.0% | $977,915,853 |
(1) | Amount is less than 0.05%. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
JPY | 353,000,000 | USD | 2,684,847 | State Street Bank and Trust Company | 5/31/23 | $ — | $ (4,158) |
USD | 2,063,519 | CAD | 2,799,001 | State Street Bank and Trust Company | 5/31/23 | — | (9,402) |
$ — | $(13,560) |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 149 | Long | 6/30/23 | $30,761,516 | $ (27,218) |
U.S. 10-Year Treasury Note | 86 | Long | 6/21/23 | 9,883,281 | 119,502 |
U.S. Long Treasury Bond | 84 | Long | 6/21/23 | 11,017,125 | 424,277 |
U.S. 5-Year Treasury Note | (25) | Short | 6/30/23 | (2,737,695) | (11,250) |
Futures Contracts (continued) | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures (continued) | |||||
U.S. 10-Year Ultra Treasury Note | (29) | Short | 6/21/23 | $(3,513,078) | $ (11,684) |
U.S. Ultra-Long Treasury Bond | (14) | Short | 6/21/23 | (1,975,750) | (14,131) |
$479,496 |
Abbreviations: | |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
REITs | – Real Estate Investment Trusts |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
CAD | – Canadian Dollar |
JPY | – Japanese Yen |
MXN | – Mexican Peso |
USD | – United States Dollar |
March 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $992,005,088) | $ 940,568,693 |
Affiliated investments, at value (identified cost $41,629,323) | 37,347,160 |
Cash | 101,474 |
Deposits for derivatives collateral — financial futures contracts | 609,690 |
Interest and dividends receivable | 7,997,840 |
Interest and dividends receivable from affiliated investments | 150,097 |
Receivable for investments sold | 6,523,873 |
Receivable for Fund shares sold | 4,788,424 |
Receivable for variation margin on open futures contracts | 226,384 |
Tax reclaims receivable | 32,680 |
Receivable from affiliate | 151,045 |
Total assets | $ 998,497,360 |
Liabilities | |
Payable for investments purchased | $ 9,975,391 |
Payable for when-issued securities/forward purchase commitments | 74,549,335 |
Payable for Fund shares redeemed | 2,621,177 |
Payable for open forward foreign currency exchange contracts | 13,560 |
Distributions payable | 11,271 |
Due to custodian — foreign currency, at value (identified cost $1,522) | 1,547 |
Payable to affiliates: | |
Investment adviser fee | 331,993 |
Distribution and service fees | 43,563 |
Accrued expenses | 345,423 |
Total liabilities | $ 87,893,260 |
Net Assets | $ 910,604,100 |
Sources of Net Assets | |
Paid-in capital | $1,028,721,883 |
Accumulated loss | (118,117,783) |
Net Assets | $ 910,604,100 |
Class A Shares | |
Net Assets | $ 88,170,710 |
Shares Outstanding | 8,475,249 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 10.40 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 10.75 |
Class C Shares | |
Net Assets | $ 30,038,164 |
Shares Outstanding | 2,888,951 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 10.40 |
Class I Shares | |
Net Assets | $ 792,395,226 |
Shares Outstanding | 76,231,713 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 10.39 |
On sales of $100,000 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, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $26,424) | $ 243,397 |
Dividend income from affiliated investments | 439,551 |
Interest income (net of foreign taxes withheld of $1,576) | 17,717,236 |
Interest income from affiliated investments | 587,852 |
Total investment income | $ 18,988,036 |
Expenses | |
Investment adviser fee | $ 1,659,262 |
Distribution and service fees: | |
Class A | 108,468 |
Class C | 148,735 |
Trustees’ fees and expenses | 24,164 |
Custodian fee | 94,073 |
Transfer and dividend disbursing agent fees | 341,349 |
Legal and accounting services | 32,651 |
Printing and postage | 39,226 |
Registration fees | 55,858 |
Miscellaneous | 22,334 |
Total expenses | $ 2,526,120 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 476,542 |
Total expense reductions | $ 476,542 |
Net expenses | $ 2,049,578 |
Net investment income | $ 16,938,458 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (41,386,401) |
Futures contracts | 407,807 |
Swap contracts | (34,725) |
Foreign currency transactions | (67,202) |
Forward foreign currency exchange contracts | 131,012 |
Net realized loss | $(40,949,509) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 54,671,107 |
Investments - affiliated investments | (1,122,408) |
Futures contracts | 89,805 |
Foreign currency | 793 |
Forward foreign currency exchange contracts | (145,112) |
Net change in unrealized appreciation (depreciation) | $ 53,494,185 |
Net realized and unrealized gain | $ 12,544,676 |
Net increase in net assets from operations | $ 29,483,134 |
Six Months Ended March 31, 2023 (Unaudited) | Year Ended September 30, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 16,938,458 | $ 22,335,702 |
Net realized loss | (40,949,509) | (16,488,780) |
Net change in unrealized appreciation (depreciation) | 53,494,185 | (115,384,239) |
Net increase (decrease) in net assets from operations | $ 29,483,134 | $(109,537,317) |
Distributions to shareholders: | ||
Class A | $ (1,987,090) | $ (3,691,989) |
Class C | (568,609) | (1,157,380) |
Class I | (15,119,885) | (23,898,871) |
Total distributions to shareholders | $ (17,675,584) | $ (28,748,240) |
Transactions in shares of beneficial interest: | ||
Class A | $ 242,617 | $ (2,427,026) |
Class C | (1,103,024) | (10,600,672) |
Class I | 259,976,371 | 4,787,852 |
Net increase (decrease) in net assets from Fund share transactions | $259,115,964 | $ (8,239,846) |
Net increase (decrease) in net assets | $270,923,514 | $(146,525,403) |
Net Assets | ||
At beginning of period | $ 639,680,586 | $ 786,205,989 |
At end of period | $910,604,100 | $ 639,680,586 |
Class A | ||||||
Six Months Ended March 31, 2023 (Unaudited) | Year Ended September 30, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 10.230 | $ 12.340 | $ 11.820 | $ 11.990 | $ 11.570 | $ 11.930 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.225 | $ 0.325 | $ 0.330 | $ 0.395 | $ 0.427 | $ 0.402 |
Net realized and unrealized gain (loss) | 0.180 | (2.017) | 0.573 | (0.143) | 0.451 | (0.344) |
Total income (loss) from operations | $ 0.405 | $ (1.692) | $ 0.903 | $ 0.252 | $ 0.878 | $ 0.058 |
Less Distributions | ||||||
From net investment income | $ (0.235) | $ (0.345) | $ (0.323) | $ (0.413) | $ (0.458) | $ (0.409) |
From net realized gain | — | (0.073) | (0.060) | (0.009) | — | (0.009) |
Total distributions | $ (0.235) | $ (0.418) | $ (0.383) | $ (0.422) | $ (0.458) | $ (0.418) |
Net asset value — End of period | $10.400 | $10.230 | $ 12.340 | $ 11.820 | $ 11.990 | $11.570 |
Total Return(2)(3) | 4.10% (4) | (14.10)% | 7.72% | 2.21% | 7.76% | 0.50% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 88,171 | $ 86,430 | $107,380 | $136,688 | $137,889 | $ 43,503 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses (3) | 0.74% (5)(6) | 0.74% (6) | 0.74% | 0.74% | 0.74% | 0.74% |
Net investment income | 4.38% (5) | 2.84% | 2.70% | 3.38% | 3.62% | 3.43% |
Portfolio Turnover | 76% (4)(7) | 118% (7) | 85% (7) | 89% | 75% | 43% |
(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 reimbursed certain operating expenses (equal to 0.13%, 0.10%, 0.08%, 0.11%, 0.11% and 0.22% of average daily net assets for the six months ended March 31, 2023 and the years ended September 30, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended March 31, 2023 and the year ended September 30, 2022). |
(7) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class C | ||||||
Six Months Ended March 31, 2023 (Unaudited) | Year Ended September 30, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 10.220 | $ 12.330 | $ 11.820 | $ 11.990 | $ 11.560 | $ 11.920 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.186 | $ 0.236 | $ 0.238 | $ 0.307 | $ 0.344 | $ 0.313 |
Net realized and unrealized gain (loss) | 0.191 | (2.014) | 0.564 | (0.142) | 0.456 | (0.343) |
Total income (loss) from operations | $ 0.377 | $ (1.778) | $ 0.802 | $ 0.165 | $ 0.800 | $ (0.030) |
Less Distributions | ||||||
From net investment income | $ (0.197) | $ (0.259) | $ (0.232) | $ (0.326) | $ (0.370) | $ (0.321) |
From net realized gain | — | (0.073) | (0.060) | (0.009) | — | (0.009) |
Total distributions | $ (0.197) | $ (0.332) | $ (0.292) | $ (0.335) | $ (0.370) | $ (0.330) |
Net asset value — End of period | $10.400 | $10.220 | $12.330 | $11.820 | $11.990 | $11.560 |
Total Return(2)(3) | 3.72% (4) | (14.67)% | 6.83% | 1.45% | 7.05% | (0.25)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 30,038 | $ 30,639 | $ 48,423 | $ 54,189 | $ 52,001 | $ 20,926 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses (3) | 1.49% (5)(6) | 1.49% (6) | 1.49% | 1.49% | 1.49% | 1.49% |
Net investment income | 3.63% (5) | 2.05% | 1.95% | 2.63% | 2.93% | 2.67% |
Portfolio Turnover | 76% (4)(7) | 118% (7) | 85% (7) | 89% | 75% | 43% |
(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 reimbursed certain operating expenses (equal to 0.13%, 0.10%, 0.08%, 0.11%, 0.11% and 0.22% of average daily net assets for the six months ended March 31, 2023 and the years ended September 30, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended March 31, 2023 and the year ended September 30, 2022). |
(7) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class I | ||||||
Six Months Ended March 31, 2023 (Unaudited) | Year Ended September 30, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 10.220 | $ 12.330 | $ 11.810 | $ 11.990 | $ 11.560 | $ 11.920 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.239 | $ 0.353 | $ 0.356 | $ 0.423 | $ 0.457 | $ 0.440 |
Net realized and unrealized gain (loss) | 0.179 | (2.016) | 0.578 | (0.152) | 0.460 | (0.352) |
Total income (loss) from operations | $ 0.418 | $ (1.663) | $ 0.934 | $ 0.271 | $ 0.917 | $ 0.088 |
Less Distributions | ||||||
From net investment income | $ (0.248) | $ (0.374) | $ (0.354) | $ (0.442) | $ (0.487) | $ (0.439) |
From net realized gain | — | (0.073) | (0.060) | (0.009) | — | (0.009) |
Total distributions | $ (0.248) | $ (0.447) | $ (0.414) | $ (0.451) | $ (0.487) | $ (0.448) |
Net asset value — End of period | $ 10.390 | $ 10.220 | $ 12.330 | $ 11.810 | $ 11.990 | $ 11.560 |
Total Return(2)(3) | 4.24% (4) | (13.89)% | 8.00% | 2.37% | 8.12% | 0.74% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $792,395 | $522,611 | $630,403 | $531,191 | $622,727 | $152,363 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses (3) | 0.49% (5)(6) | 0.49% (6) | 0.49% | 0.49% | 0.49% | 0.49% |
Net investment income | 4.65% (5) | 3.07% | 2.92% | 3.62% | 3.89% | 3.77% |
Portfolio Turnover | 76% (4)(7) | 118% (7) | 85% (7) | 89% | 75% | 43% |
(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 reimbursed certain operating expenses (equal to 0.13%, 0.10%, 0.08%, 0.11%, 0.11% and 0.22% of average daily net assets for the six months ended March 31, 2023 and the years ended September 30, 2022, 2021, 2020, 2019 and 2018, respectively). Absent this reimbursement, total return would be lower. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended March 31, 2023 and the year ended September 30, 2022). |
(7) | Includes the effect of To-Be-Announced (TBA) transactions. |
that are treated as ordinary for tax purposes plus ordinary losses attributable to that portion of a taxable year after December 31.
Aggregate cost | $1,037,575,796 |
Gross unrealized appreciation | $ 12,728,452 |
Gross unrealized depreciation | (71,922,459) |
Net unrealized depreciation | $ (59,194,007) |
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) | $ 298,571,092 | $ 124,008,735 |
U.S. Government and Agency Securities | 568,576,461 | 447,471,729 |
$867,147,553 | $571,480,464 |
Six Months Ended March 31, 2023 (Unaudited) | Year Ended September 30, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Sales | 1,005,532 | $ 10,398,364 | 2,661,942 | $ 30,817,187 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 188,767 | 1,947,575 | 316,396 | 3,618,999 | |
Redemptions | (1,171,743) | (12,103,322) | (3,227,438) | (36,863,212) | |
Net increase (decrease) | 22,556 | $ 242,617 | (249,100) | $ (2,427,026) |
Six Months Ended March 31, 2023 (Unaudited) | Year Ended September 30, 2022 | ||||
Shares | Amount | Shares | Amount | ||
Class C | |||||
Sales | 427,504 | $ 4,426,090 | 366,358 | $ 4,240,415 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 55,063 | 567,759 | 100,484 | 1,154,212 | |
Redemptions | (591,744) | (6,096,873) | (1,395,071) | (15,995,299) | |
Net decrease | (109,177) | $ (1,103,024) | (928,229) | $ (10,600,672) | |
Class I | |||||
Sales | 38,184,294 | $ 395,014,472 | 33,888,929 | $ 388,383,476 | |
Issued to shareholders electing to receive payments of distributions in Fund shares | 1,463,030 | 15,096,092 | 2,083,169 | 23,847,285 | |
Redemptions | (14,568,438) | (150,134,193) | (35,948,251) | (407,442,909) | |
Net increase | 25,078,886 | $ 259,976,371 | 23,847 | $ 4,787,852 |
Fair Value | |||
Risk | Derivative | Asset Derivative | Liability Derivative |
Foreign Exchange | Forward foreign currency exchange contracts | $ — | $ (13,560)(1) |
Interest Rate | Futures contracts | 543,779 (2) | (64,283) (2) |
Total | $543,779 | $(77,843) | |
Derivatives not subject to master netting or similar agreements | $543,779 | $(64,283) | |
Total Derivatives subject to master netting or similar agreements | $ — | $(13,560) |
(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 | $(13,560) | $ — | $ — | $ — | $(13,560) |
(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. |
Statement of Operations Caption | Credit | Foreign Exchange | Interest Rate | Total |
Net realized gain (loss): | ||||
Futures contracts | $ — | $ — | $ 407,807 | $ 407,807 |
Swap contracts | (34,725) | — | — | (34,725) |
Forward foreign currency exchange contracts | — | 131,012 | — | 131,012 |
Total | $(34,725) | $ 131,012 | $407,807 | $ 504,094 |
Change in unrealized appreciation (depreciation): | ||||
Futures contracts | $ — | $ — | $ 89,805 | $ 89,805 |
Forward foreign currency exchange contracts | — | (145,112) | — | (145,112) |
Total | $ — | $(145,112) | $ 89,805 | $ (55,307) |
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Swap Contracts |
$33,366,000 | $27,079,000 | $2,487,000 | $914,000 |
* | 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/ Shares, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2016-C29, Class C, 4.722%, 5/15/49 | $3,768,534 | $ — | $ — | $ — | $ (96,093) | $ 3,672,441 | $ 99,136 | $ 4,198,800 |
Series 2016-C29, Class D, 3.00%, 5/15/49 | 2,346,956 | — | — | — | (190,953) | 2,164,184 | 53,895 | 3,047,635 |
Series 2016-C32, Class D, 3.396%, 12/15/49 | 3,705,129 | — | — | — | (425,097) | 3,296,235 | 101,104 | 5,000,000 |
Morgan Stanley Capital I Trust: | ||||||||
Series 2016-UBS12, Class D, 3.312%, 12/15/49 | 3,862,789 | — | — | — | (389,240) | 3,501,532 | 146,386 | 7,150,000 |
Series 2019-BPR, Class B, 7.034%, (1 mo. USD LIBOR + 2.35%), 5/15/36 | 3,819,553 | — | — | — | (12,249) | 3,813,040 | 131,159 | 3,960,000 |
Series 2019-BPR, Class C, 7.984%, (1 mo. USD LIBOR + 3.30%), 5/15/36 | 1,463,766 | — | — | — | (8,776) | 1,454,990 | 56,172 | 1,540,000 |
Short-Term Investments | ||||||||
Liquidity Fund | 4,082,231 | 254,178,986 | (238,816,479) | — | — | 19,444,738 | 439,551 | 19,444,738 |
Total | $ — | $(1,122,408) | $37,347,160 | $1,027,403 |
• | 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 | $ — | $ 121,712,529 | $ — | $ 121,712,529 |
Collateralized Mortgage Obligations | — | 37,119,036 | — | 37,119,036 |
Commercial Mortgage-Backed Securities | — | 109,625,842 | — | 109,625,842 |
Convertible Bonds | — | 3,797,860 | — | 3,797,860 |
Convertible Preferred Stocks | 140,131 | — | — | 140,131 |
Corporate Bonds | — | 336,709,448 | — | 336,709,448 |
Preferred Stocks | 5,255,415 | — | — | 5,255,415 |
Senior Floating-Rate Loans | — | 1,373,859 | — | 1,373,859 |
Sovereign Government Bonds | — | 8,496,138 | — | 8,496,138 |
Asset Description (continued) | Level 1 | Level 2 | Level 3* | Total |
U.S. Government Agency Mortgage-Backed Securities | $ — | $ 73,174,730 | $ — | $ 73,174,730 |
U.S. Treasury Obligations | — | 261,066,127 | — | 261,066,127 |
Miscellaneous | — | — | 0 | 0 |
Short-Term Investments | 19,444,738 | — | — | 19,444,738 |
Total Investments | $ 24,840,284 | $ 953,075,569 | $ 0 | $ 977,915,853 |
Futures Contracts | $ 543,779 | $ — | $ — | $ 543,779 |
Total | $ 25,384,063 | $ 953,075,569 | $ 0 | $ 978,459,632 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (13,560) | $ — | $ (13,560) |
Futures Contracts | (64,283) | — | — | (64,283) |
Total | $ (64,283) | $ (13,560) | $ — | $ (77,843) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
Officers | |
Eric A. Stein President | Nicholas S. Di Lorenzo 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 |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
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
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(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 | 6.28% | (2.40)% | 1.23% | 1.99% |
Class A with 3.25% Maximum Sales Charge | — | — | 2.85 | (5.58) | 0.57 | 1.66 |
Class C at NAV | 05/02/2006 | 03/16/1978 | 6.05 | (3.04) | 0.49 | 1.38 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 5.05 | (3.99) | 0.49 | 1.38 |
Class I at NAV | 03/16/1978 | 03/16/1978 | 6.38 | (2.12) | 1.49 | 2.25 |
Bloomberg Municipal Bond Index | — | — | 7.00% | 0.26% | 2.03% | 2.38% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
0.86% | 1.61% | 0.61% |
% Distribution Rates/Yields4 | Class A | Class C | Class I |
Distribution Rate | 3.35% | 2.61% | 3.59% |
Taxable-Equivalent Distribution Rate | 5.65 | 4.40 | 6.07 |
SEC 30-day Yield | 2.96 | 2.32 | 3.30 |
Taxable-Equivalent SEC 30-day Yield | 4.99 | 3.92 | 5.57 |
% Total Leverage5 | |
Residual Interest Bond (RIB) Financing | 5.82% |
Credit Quality (% of total investments)1,2 |
1 | 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. |
2 | 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 | 7.06% | (0.82)% | 1.93% | 2.49% |
Class A with 3.25% Maximum Sales Charge | — | — | 3.64 | (4.01) | 1.26 | 2.15 |
Class C at NAV | 12/03/1993 | 12/19/1985 | 6.66 | (1.56) | 1.18 | 1.88 |
Class C with 1% Maximum Deferred Sales Charge | — | — | 5.66 | (2.52) | 1.18 | 1.88 |
Class I at NAV | 07/01/1999 | 12/19/1985 | 7.19 | (0.57) | 2.19 | 2.73 |
Bloomberg Municipal Bond Index | — | — | 7.00% | 0.26% | 2.03% | 2.38% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
0.67% | 1.42% | 0.42% |
% Distribution Rates/Yields4 | Class A | Class C | Class I |
Distribution Rate | 3.54% | 2.79% | 3.78% |
Taxable-Equivalent Distribution Rate | 5.97 | 4.72 | 6.39 |
SEC 30-day Yield | 3.27 | 2.64 | 3.63 |
Taxable-Equivalent SEC 30-day Yield | 5.52 | 4.45 | 6.12 |
% Total Leverage5 | |
RIB Financing | 1.63% |
Credit Quality (% of total investments)1,2 |
1 | 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. |
2 | 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 (10/1/22) | Ending Account Value (3/31/23) | Expenses Paid During Period* (10/1/22 – 3/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,062.80 | $5.30 | 1.03% |
Class C | $1,000.00 | $1,060.50 | $9.14 | 1.78% |
Class I | $1,000.00 | $1,063.80 | $4.01 | 0.78% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,019.80 | $5.19 | 1.03% |
Class C | $1,000.00 | $1,016.06 | $8.95 | 1.78% |
Class I | $1,000.00 | $1,021.04 | $3.93 | 0.78% |
* | 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, 2022. |
Beginning Account Value (10/1/22) | Ending Account Value (3/31/23) | Expenses Paid During Period* (10/1/22 – 3/31/23) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,070.60 | $4.03 | 0.78% |
Class C | $1,000.00 | $1,066.60 | $7.88 | 1.53% |
Class I | $1,000.00 | $1,071.90 | $2.74 | 0.53% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,021.04 | $3.93 | 0.78% |
Class C | $1,000.00 | $1,017.30 | $7.70 | 1.53% |
Class I | $1,000.00 | $1,022.29 | $2.67 | 0.53% |
* | 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, 2022. |
Tax-Exempt Mortgage-Backed Securities — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
Housing — 0.4% | |||
California Housing Finance Agency, Municipal Certificates, Series 2021-1, Class A, 3.50%, 11/20/35 | $ | 1,024 | $ 975,809 |
Total Tax-Exempt Mortgage-Backed Securities (identified cost $972,768) | $ 975,809 |
Tax-Exempt Municipal Obligations — 104.0% |
Security | Principal Amount (000's omitted) | Value | |
Education — 2.8% | |||
District of Columbia, (KIPP DC), 4.00%, 7/1/44 | $ | 105 | $ 90,924 |
Florida Development Finance Corp., (River City Science Academy), 4.00%, 7/1/45 | 120 | 102,726 | |
Georgia Private Colleges and Universities Authority, (Savannah College of Art and Design), 4.00%, 4/1/40 | 1,400 | 1,392,034 | |
Maryland Stadium Authority, Built to Learn Revenue, 4.00%, 6/1/52 | 1,830 | 1,760,423 | |
University of California, 5.25%, 5/15/35 | 3,555 | 3,664,139 | |
$ 7,010,246 | |||
Electric Utilities — 5.3% | |||
Douglas County Public Utility District No. 1, WA, 3.00%, 9/1/52 | $ | 1,355 | $ 1,053,485 |
Georgia Municipal Electric Power Authority, 5.00%, 1/1/39 | 5,000 | 5,002,550 | |
Seattle, WA, Municipal Light and Power Improvement Revenue, 4.00%, 7/1/47 | 2,500 | 2,478,975 | |
Utility Debt Securitization Authority, NY: | |||
5.00%, 12/15/33 | 2,895 | 2,941,552 | |
Green Bonds, 5.00%, 12/15/49 | 1,500 | 1,687,545 | |
$ 13,164,107 | |||
Escrowed/Prerefunded — 3.6% | |||
New Jersey Economic Development Authority, (School Facilities Construction), Prerefunded to 12/15/28, 5.00%, 6/15/37 | $ | 3,000 | $ 3,442,650 |
San Joaquin Hills Transportation Corridor Agency, CA, Prerefunded to 1/15/25, 5.00%, 1/15/34 | 5,235 | 5,484,448 | |
$ 8,927,098 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 22.5% | |||
Andover, MA, 4.00%, 7/15/52 | $ | 1,355 | $ 1,339,296 |
Chicago Board of Education, IL: | |||
5.00%, 12/1/42 | 390 | 380,909 | |
5.00%, 12/1/44 | 1,405 | 1,395,713 | |
Chicago, IL: | |||
5.00%, 1/1/39 | 1,400 | 1,437,828 | |
5.00%, 1/1/44 | 1,490 | 1,495,036 | |
Del Valle Independent School District, TX, (PSF Guaranteed), 4.00%, 6/15/47 | 4,000 | 3,952,640 | |
District of Columbia: | |||
4.00%, 2/1/46 | 3,500 | 3,514,210 | |
5.00%, 6/1/37(1) | 7,000 | 7,579,180 | |
Fort Worth Independent School District, TX, (PSF Guaranteed), 4.00%, 2/15/42 | 3,970 | 4,026,334 | |
Illinois: | |||
4.00%, 11/1/40 | 1,000 | 964,750 | |
5.00%, 5/1/35 | 2,000 | 2,023,420 | |
5.50%, 5/1/39 | 205 | 226,953 | |
5.50%, 3/1/42 | 2,300 | 2,561,234 | |
5.75%, 5/1/45 | 210 | 231,613 | |
Little Elm Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/46 | 4,225 | 4,523,877 | |
New York, NY: | |||
4.00%, 9/1/46 | 2,000 | 1,956,740 | |
4.00%, 4/1/50(2) | 2,000 | 1,936,600 | |
Northwest Independent School District, TX, (PSF Guaranteed), 4.00%, 2/15/47 | 3,000 | 2,998,050 | |
Prosper Independent School District, TX, (PSF Guaranteed), 4.00%, 2/15/47 | 3,500 | 3,476,445 | |
Salem-Keizer School District No. 24J, OR, 0.00%, 6/15/24 | 1,220 | 1,179,386 | |
Spring Branch Independent School District, TX, (PSF Guaranteed), 4.50%, 2/1/47 | 8,750 | 9,101,050 | |
$ 56,301,264 | |||
Hospital — 10.8% | |||
Brevard County Health Facilities Authority, FL, (Health First Obligated Group): | |||
5.00%, 4/1/47 | $ | 2,500 | $ 2,639,625 |
5.00%, 4/1/52 | 2,500 | 2,622,150 | |
California Health Facilities Financing Authority, (St. Joseph Health System), Prerefunded to 7/1/23, 5.00%, 7/1/33 | 1,720 | 1,729,804 | |
California Statewide Communities Development Authority, (Loma Linda University Medical Center), 5.25%, 12/1/34 | 3,000 | 3,068,850 |
Security | Principal Amount (000's omitted) | Value | |
Hospital (continued) | |||
Colorado Health Facilities Authority, (CommonSpirit Health), 5.25%, 11/1/52 | $ | 1,000 | $ 1,056,360 |
Colorado Health Facilities Authority, (Craig Hospital), 5.00%, 12/1/47 | 1,835 | 1,931,650 | |
Delaware Health Facilities Authority, (Beebe Medical Center): | |||
5.00%, 6/1/36 | 3,730 | 3,958,537 | |
5.00%, 6/1/37 | 1,000 | 1,052,020 | |
Escambia County Health Facilities Authority, FL, (Baptist Health Care Corp. Obligated Group), 4.00%, 8/15/45 | 500 | 445,680 | |
New York Dormitory Authority, (Northwell Health Obligated Group), 5.00%, 5/1/52 | 1,475 | 1,552,098 | |
Ohio Higher Educational Facility Commission, (University Hospitals Health System, Inc.), 4.00%, 1/15/39 | 2,100 | 2,059,869 | |
Tarrant County Cultural Education Facilities Finance Corp., TX, (Cook Children's Medical Center), 5.25%, 12/1/39(1) | 5,000 | 5,049,650 | |
$ 27,166,293 | |||
Housing — 2.3% | |||
Cuyahoga Metropolitan Housing Authority, OH, 2.00%, 12/1/31 | $ | 1,250 | $ 1,134,638 |
Massachusetts Housing Finance Agency, (GNMA),(FNMA),(FHLMC), Social Bonds, 4.95%, 12/1/53 | 2,500 | 2,552,975 | |
Phoenix Industrial Development Authority, AZ, (Downtown Phoenix Student Housing, LLC - Arizona State University): | |||
5.00%, 7/1/37 | 500 | 508,250 | |
5.00%, 7/1/42 | 1,250 | 1,257,912 | |
Texas Student Housing Corp., (University of North Texas), 9.375%, 7/1/06(3) | 285 | 285,000 | |
$ 5,738,775 | |||
Insured - Education — 0.8% | |||
Virginia College Building Authority, (Washington and Lee University), (NPFG), 5.25%, 1/1/31 | $ | 1,750 | $ 1,953,332 |
$ 1,953,332 | |||
Insured - Electric Utilities — 1.5% | |||
Ohio Municipal Electric Generation Agency, (NPFG), 0.00%, 2/15/29 | $ | 2,865 | $ 2,391,387 |
Omaha Public Power District, NE, (AGM), 4.00%, 2/1/51 | 1,395 | 1,369,360 | |
$ 3,760,747 |
Security | Principal Amount (000's omitted) | Value | |
Insured - General Obligations — 2.4% | |||
McCamey Independent School District, TX, (AGM), 4.00%, 2/15/53 | $ | 3,500 | $ 3,350,305 |
McCook, IL: | |||
(AGM), 4.00%, 12/1/29 | 240 | 257,472 | |
(AGM), 4.00%, 12/1/30 | 200 | 214,074 | |
(AGM), 4.00%, 12/1/33 | 450 | 476,964 | |
(AGM), 4.00%, 12/1/34 | 190 | 200,482 | |
Proviso Township High School District No. 209, IL, (AGM), 4.00%, 12/1/38 | 1,500 | 1,522,275 | |
$ 6,021,572 | |||
Insured - Lease Revenue/Certificates of Participation — 3.1% | |||
Anaheim Public Financing Authority, CA, (Anaheim Public Improvements), (AGM), 0.00%, 9/1/31 | $ | 8,680 | $ 6,616,938 |
Hudson Yards Infrastructure Corp., NY, (AGM), 4.00%, 2/15/47 | 1,155 | 1,119,299 | |
$ 7,736,237 | |||
Insured - Other Revenue — 2.5% | |||
Harris County-Houston Sports Authority, TX, (AGM), (NPFG), 0.00%, 11/15/34 | $ | 10,600 | $ 6,205,770 |
$ 6,205,770 | |||
Insured - Special Tax Revenue — 3.8% | |||
Massachusetts, Dedicated Tax Revenue: | |||
(NPFG), 5.50%, 1/1/27 | $ | 6,000 | $ 6,622,560 |
(NPFG), 5.50%, 1/1/30 | 2,565 | 3,014,952 | |
$ 9,637,512 | |||
Insured - Transportation — 7.4% | |||
Chicago, IL, (O'Hare International Airport): | |||
(AGM), 5.00%, 1/1/28 | $ | 1,000 | $ 1,002,590 |
(AGM), 5.125%, 1/1/31 | 1,000 | 1,002,610 | |
(AGM), 5.25%, 1/1/32 | 785 | 787,096 | |
E-470 Public Highway Authority, CO, (NPFG), 0.00%, 9/1/39 | 7,120 | 3,233,477 | |
Pennsylvania Turnpike Commission, (AGM), 6.375%, 12/1/38 | 11,000 | 12,562,880 | |
$ 18,588,653 | |||
Insured - Water and Sewer — 0.8% | |||
Michigan Finance Authority, (Detroit Water and Sewerage Department): | |||
(AGM), 5.00%, 7/1/32 | $ | 655 | $ 671,270 |
(AGM), 5.00%, 7/1/33 | 565 | 578,690 | |
(AGM), 5.00%, 7/1/35 | 280 | 286,163 |
Security | Principal Amount (000's omitted) | Value | |
Insured - Water and Sewer (continued) | |||
Michigan Finance Authority, (Detroit Water and Sewerage Department): (continued) | |||
(AGM), 5.00%, 7/1/37 | $ | 565 | $ 575,842 |
$ 2,111,965 | |||
Other Revenue — 3.6% | |||
Buckeye Tobacco Settlement Financing Authority, OH, 5.00%, 6/1/55 | $ | 1,620 | $ 1,469,000 |
California Community Choice Financing Authority, Clean Energy Project Revenue, Green Bonds, 5.00% to 8/1/29 (Put Date), 12/1/53 | 750 | 784,087 | |
Central Falls Detention Facility Corp., RI, 7.25%, 7/15/35(3) | 1,200 | 216,000 | |
Golden State Tobacco Securitization Corp., CA, 5.00%, 6/1/51 | 640 | 670,157 | |
Loudoun County Economic Development Authority, VA, (Howard Hughes Medical Institute), 4.00%, 10/1/52 | 2,000 | 2,005,040 | |
Mercer County Improvement Authority, NJ, 4.00%, 3/15/40 | 935 | 942,536 | |
New York Dormitory Authority, Personal Income Tax Revenue, 4.00%, 2/15/39 | 3,000 | 3,018,510 | |
$ 9,105,330 | |||
Senior Living/Life Care — 3.1% | |||
California Public Finance Authority, (Enso Village), Green Bonds, 2.375%, 11/15/28(4) | $ | 140 | $ 131,896 |
Manhattan, KS, (Meadowlark Hills), 4.00%, 6/1/46 | 1,150 | 831,013 | |
National Finance Authority, NH, (The Vista): | |||
5.25%, 7/1/39(4) | 265 | 242,472 | |
5.625%, 7/1/46(4) | 360 | 329,692 | |
5.75%, 7/1/54(4) | 775 | 706,227 | |
New Hope Cultural Education Facilities Finance Corp., TX, (The Outlook at Windhaven), 6.75%, 10/1/52 | 1,000 | 915,790 | |
Pompano Beach, FL, (John Knox Village), 4.00%, 9/1/41 | 1,270 | 1,012,177 | |
Saint Louis County Industrial Development Authority, MO, (St. Andrew's Resources for Seniors Obligated Group), 5.00%, 12/1/35 | 1,700 | 1,627,563 | |
Washington Housing Finance Commission, (Horizon House), 5.00%, 1/1/30(4) | 1,730 | 1,670,332 | |
Washington Housing Finance Commission, (Transforming Age), 5.00%, 1/1/34(4) | 245 | 211,572 | |
$ 7,678,734 | |||
Special Tax Revenue — 9.4% | |||
Connecticut, Special Tax Obligation, (Transportation Infrastructure), 5.25%, 7/1/42 | $ | 2,250 | $ 2,572,650 |
Security | Principal Amount (000's omitted) | Value | |
Special Tax Revenue (continued) | |||
Dallas Area Rapid Transit, TX, Sales Tax Revenue, 4.00%, 12/1/51 | $ | 2,500 | $ 2,439,825 |
District of Columbia, Income Tax Revenue, 5.50%, 7/1/47 | 1,500 | 1,731,690 | |
Massachusetts Bay Transportation Authority, Sales Tax Revenue, 4.00%, 7/1/51 | 1,405 | 1,387,578 | |
Metropolitan Pier and Exposition Authority, IL, (McCormick Place Expansion), 4.00%, 6/15/50 | 5,000 | 4,359,450 | |
New York City Transitional Finance Authority, NY, Future Tax Revenue: | |||
4.00%, 5/1/39 | 1,000 | 1,009,350 | |
4.00%, 5/1/45 | 2,795 | 2,755,758 | |
5.00%, 11/1/46(1) | 2,000 | 2,203,140 | |
New York Thruway Authority, Personal Income Tax Revenue: | |||
4.00%, 3/15/44 | 1,000 | 988,190 | |
5.00%, 3/15/48 | 500 | 549,245 | |
Puerto Rico Sales Tax Financing Corp: | |||
0.00%, 7/1/51 | 4,500 | 875,790 | |
5.00%, 7/1/58 | 2,817 | 2,659,727 | |
$ 23,532,393 | |||
Transportation — 9.2% | |||
Dallas and Fort Worth, TX, (Dallas/Fort Worth International Airport): | |||
5.25%, 11/1/30 | $ | 1,100 | $ 1,114,531 |
5.25%, 11/1/31 | 1,455 | 1,474,075 | |
Denver City and County, CO, Airport System Revenue, 5.25%, 11/15/53 | 2,000 | 2,229,560 | |
Georgia Ports Authority, 4.00%, 7/1/47 | 2,625 | 2,614,264 | |
Grand Parkway Transportation Corp., TX, 5.125%, 10/1/43 | 1,100 | 1,103,927 | |
Metropolitan Transportation Authority, NY, Green Bonds, 4.75%, 11/15/45 | 225 | 228,463 | |
New Jersey Economic Development Authority, (Portal North Bridge), 5.25%, 11/1/47 | 4,000 | 4,316,320 | |
New Jersey Transportation Trust Fund Authority, (Transportation Program), 5.00%, 6/15/50 | 2,500 | 2,590,325 | |
New Jersey Transportation Trust Fund Authority, (Transportation System), 4.00%, 6/15/36 | 1,665 | 1,698,650 | |
New Jersey Turnpike Authority, 5.25%, 1/1/52 | 1,000 | 1,120,730 | |
New York Transportation Development Corp., (Terminal 4 John F. Kennedy International Airport), 4.00%, 12/1/42 | 2,400 | 2,295,960 | |
South Jersey Transportation Authority, NJ, 4.625%, 11/1/47 | 1,500 | 1,490,955 |
Security | Principal Amount (000's omitted) | Value | |
Transportation (continued) | |||
Texas Private Activity Bond Surface Transportation Corp., (North Tarrant Express Managed Lanes Project), 5.00%, 12/31/35 | $ | 355 | $ 373,630 |
Texas Transportation Commission, 0.00%, 8/1/40 | 1,000 | 405,620 | |
$ 23,057,010 | |||
Water and Sewer — 9.1% | |||
Atlanta, GA, Water and Wastewater Revenue, 5.00%, 11/1/35(1) | $ | 6,990 | $ 7,681,520 |
Austin, TX, Water and Wastewater System Revenue, 5.00%, 11/15/41 | 2,715 | 3,046,746 | |
New York City Municipal Water Finance Authority, NY, (Water and Sewer System): | |||
4.00%, 6/15/41 | 4,500 | 4,518,720 | |
4.00%, 6/15/51 | 2,000 | 1,949,000 | |
5.25%, 6/15/52(1) | 1,000 | 1,122,000 | |
(SPA: JPMorgan Chase Bank, N.A.), 3.65%, 6/15/43(5) | 4,350 | 4,350,000 | |
$ 22,667,986 | |||
Total Tax-Exempt Municipal Obligations (identified cost $252,955,048) | $ 260,365,024 | ||
Total Investments — 104.4% (identified cost $253,927,816) | $ 261,340,833 | ||
Other Assets, Less Liabilities — (4.4)% | $ (11,062,920) | ||
Net Assets — 100.0% | $ 250,277,913 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Security represents the municipal bond held by a trust that issues residual interest bonds. |
(2) | When-issued security. |
(3) | Defaulted security. Issuer has defaulted on the payment of interest and/or principal or has filed bankruptcy. |
(4) | 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, 2023, the aggregate value of these securities is $3,292,190 or 1.3% of the Fund's net assets. |
(5) | 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, 2023. |
At March 31, 2023, the concentration of the Fund’s investments in the various states determined as a percentage of net assets, is as follows: |
Texas | 21.4% |
New York | 14.4% |
Others, representing less than 10% individually | 68.6% |
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, 2023, 21.4% 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 9.0% to 14.8% of total investments. |
Abbreviations: | |
AGM | – Assured Guaranty Municipal Corp. |
FHLMC | – Federal Home Loan Mortgage Corp. |
FNMA | – Federal National Mortgage Association |
GNMA | – Government National Mortgage Association |
NPFG | – National Public Finance Guarantee Corp. |
PSF | – Permanent School Fund |
SPA | – Standby Bond Purchase Agreement |
Corporate Bonds — 0.9% |
Security | Principal Amount (000's omitted) | Value | |
Education — 0.7% | |||
Chapman University, 1.867%, 4/1/29 | $ | 5,160 | $ 4,372,644 |
Grand Canyon University, 4.125%, 10/1/24 | 20,000 | 18,947,800 | |
$ 23,320,444 | |||
Hospital — 0.2% | |||
UPMC, 1.803%, 4/15/26 | $ | 7,650 | $ 6,976,828 |
$ 6,976,828 | |||
Other — 0.0%(1) | |||
YMCA of Greater New York, 2.303%, 8/1/26 | $ | 2,590 | $ 2,339,318 |
$ 2,339,318 | |||
Total Corporate Bonds (identified cost $30,295,844) | $ 32,636,590 |
Tax-Exempt Municipal Obligations — 93.8% |
Security | Principal Amount (000's omitted) | Value | |
Bond Bank — 0.7% | |||
New York State Environmental Facilities Corp., (State Revolving Fund), Green Bonds, 5.00%, 9/15/47(2) | $ | 10,000 | $ 11,166,700 |
Rickenbacker Port Authority, OH, (OASBO Expanded Asset Pooled Financing Program), 5.375%, 1/1/32 | 10,105 | 11,783,946 | |
$ 22,950,646 | |||
Cogeneration — 0.1% | |||
Northampton County Industrial Development Authority, PA, (Northampton Generating), (AMT), 5.00%, 12/31/23(3) | $ | 14,652 | $ 2,637,417 |
$ 2,637,417 | |||
Education — 6.9% | |||
Florida Development Finance Corp., (River City Science Academy), 4.00%, 7/1/45 | $ | 230 | $ 196,892 |
Louisiana Public Facilities Authority, (Tulane University), 5.00%, 10/15/48 | 3,850 | 4,161,465 | |
Maryland Stadium Authority, Built to Learn Revenue, 4.00%, 6/1/52 | 6,255 | 6,017,185 | |
Massachusetts Development Finance Agency, (Harvard University), 4.00%, 7/15/36 | 7,000 | 7,187,880 | |
Miami University, OH, 4.00%, 9/1/45 | 4,030 | 3,934,287 |
Security | Principal Amount (000's omitted) | Value | |
Education (continued) | |||
New York Dormitory Authority, (Rockefeller University), 5.00%, 7/1/53 | $ | 13,750 | $ 14,765,300 |
Oregon Health and Science University, Green Bonds, 3.00%, 7/1/51 | 10,000 | 7,743,000 | |
Pennsylvania Higher Educational Facilities Authority, (University of Pennsylvania), 4.00%, 2/15/43 | 5,000 | 5,003,850 | |
Pennsylvania State University, 4.00%, 9/1/50 | 5,920 | 5,787,274 | |
Philadelphia Industrial Development Authority, PA, (Temple University), 5.00%, 4/1/45 | 5,000 | 5,099,900 | |
San Antonio Education Facilities Corp., TX, (University of the Incarnate Word), 4.00%, 4/1/54 | 3,500 | 2,855,860 | |
Troy Capital Resource Corp., NY, (Rensselaer Polytechnic Institute), 5.00%, 9/1/38 | 5,000 | 5,338,600 | |
University of California: | |||
5.25%, 5/15/36 | 5,720 | 5,886,681 | |
5.25%, 5/15/37 | 13,000 | 13,365,690 | |
5.25%, 5/15/38 | 7,700 | 7,912,366 | |
University of California Medical Center, 5.00%, 5/15/47 | 28,170 | 30,965,872 | |
University of Massachusetts Building Authority, 5.00%, 11/1/52 | 20,000 | 21,453,200 | |
University of Oregon, 5.00%, 4/1/50 | 12,500 | 13,391,625 | |
University of Texas, 4.00%, 7/1/42 | 4,900 | 4,945,276 | |
University of Utah, 5.00%, 8/1/44 | 12,240 | 13,164,732 | |
University of Virginia: | |||
5.00%, 4/1/39 | 21,600 | 23,275,944 | |
5.00%, 4/1/42 | 19,370 | 20,749,725 | |
Utah Board of Higher Education, (Dixie State University), 4.00%, 6/1/44 | 7,645 | 7,620,765 | |
Vermont Educational and Health Buildings Financing Agency, (Middlebury College), 4.00%, 11/1/50 | 5,000 | 4,855,950 | |
$ 235,679,319 | |||
Electric Utilities — 2.9% | |||
Douglas County Public Utility District No. 1, WA, 3.00%, 9/1/52 | $ | 16,020 | $ 12,455,229 |
New York Power Authority, Green Bonds, 4.00%, 11/15/50 | 5,000 | 4,847,350 | |
Omaha Public Power District, NE: | |||
5.00%, 2/1/47(2) | 20,000 | 22,137,800 | |
5.25%, 2/1/52 | 12,500 | 13,948,875 | |
Philadelphia, PA, Gas Works Revenue, (LOC: TD Bank, N.A.), 3.95%, 8/1/31(4) | 14,000 | 14,000,000 | |
Sacramento Municipal Utility District, CA, 4.00%, 8/15/45 | 11,560 | 11,660,919 |
Security | Principal Amount (000's omitted) | Value | |
Electric Utilities (continued) | |||
Seattle, WA, Municipal Light and Power Improvement Revenue, 4.00%, 7/1/43 | $ | 10,520 | $ 10,585,645 |
Utility Debt Securitization Authority, NY, 5.00%, 12/15/33 | 10,000 | 10,638,900 | |
$ 100,274,718 | |||
Escrowed/Prerefunded — 1.6% | |||
Charleston County Airport District, SC, (AMT), Prerefunded to 7/1/23, 5.50%, 7/1/38 | $ | 10,000 | $ 10,062,800 |
Los Angeles Department of Airports, CA, (Los Angeles International Airport), (AMT), Prerefunded 11/15/31, 5.00%, 5/15/46 | 65 | 74,971 | |
New Jersey Economic Development Authority, (School Facilities Construction): | |||
Prerefunded to 12/15/28, 5.00%, 6/15/34 | 8,460 | 9,708,273 | |
Prerefunded to 12/15/28, 5.00%, 6/15/35 | 13,300 | 15,262,415 | |
New Jersey Turnpike Authority, Prerefunded to 7/1/24, 5.00%, 1/1/31 | 10,000 | 10,300,400 | |
Southwestern Illinois Development Authority, (Memorial Group, Inc.), Prerefunded to 11/1/23, 7.25%, 11/1/33 | 9,170 | 9,393,381 | |
University of California, Prerefunded to 5/15/24, 5.25%, 5/15/36 | 1,360 | 1,400,923 | |
$ 56,203,163 | |||
General Obligations — 19.0% | |||
Alamo Community College District, TX, 4.50%, 8/15/47 | $ | 4,000 | $ 4,165,000 |
Austin Independent School District, TX, 5.00%, 8/1/48 | 5,000 | 5,399,550 | |
Beaverton School District No. 48J, OR, 5.00%, 6/15/52(2) | 15,000 | 16,510,350 | |
Bergen County Improvement Authority, NJ, (Bergen New Bridge Medical Center), 5.00%, 8/1/47 | 5,000 | 5,619,100 | |
California: | |||
5.00%, 11/1/42 | 25,000 | 28,620,250 | |
5.25%, 9/1/47 | 10,500 | 12,037,725 | |
Centennial School District No. 28Jt, OR, 5.00%, 6/15/50 | 10,000 | 10,901,800 | |
Chicago Board of Education, IL: | |||
5.00%, 12/1/30 | 9,000 | 9,346,050 | |
5.00%, 12/1/42 | 10,405 | 10,162,459 | |
5.00%, 12/1/44 | 15,110 | 15,010,123 | |
Chicago, IL: | |||
4.00%, 1/1/35 | 2,500 | 2,455,275 | |
5.00%, 1/1/40 | 1,500 | 1,535,175 | |
5.00%, 1/1/44 | 12,350 | 12,391,743 | |
5.25%, 1/1/38 | 6,750 | 7,253,415 | |
5.50%, 1/1/39 | 5,000 | 5,448,200 | |
Clark County, NV, 5.00%, 5/1/48 | 19,650 | 20,808,367 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
District of Columbia, 4.00%, 2/1/46 | $ | 13,250 | $ 13,303,795 |
Fort Worth Independent School District, TX, (PSF Guaranteed), 5.00%, 2/15/47 | 7,000 | 7,441,000 | |
Galveston Independent School District, TX, (PSF Guaranteed), 4.00%, 2/1/47 | 10,000 | 9,981,000 | |
Harris County Flood Control District, TX, Sustainability Bonds, 4.25%, 10/1/47 | 10,940 | 11,105,522 | |
Hermiston School District No. 8R, OR: | |||
0.00%, 6/15/42 | 6,475 | 2,761,134 | |
0.00%, 6/15/45 | 4,595 | 1,671,845 | |
Houston Independent School District, TX, (PSF Guaranteed), 3.50% to 6/1/25 (Put Date), 6/1/39 | 14,300 | 14,412,112 | |
Illinois: | |||
5.00%, 2/1/24 | 10,705 | 10,875,317 | |
5.00%, 11/1/24 | 11,295 | 11,637,690 | |
5.00%, 2/1/27 | 18,500 | 18,739,945 | |
5.00%, 2/1/29 | 15,000 | 16,071,000 | |
5.00%, 5/1/39 | 10,000 | 10,071,200 | |
5.25%, 7/1/30 | 6,150 | 6,174,662 | |
5.50%, 5/1/39 | 870 | 963,168 | |
5.50%, 3/1/42 | 11,700 | 13,028,886 | |
5.75%, 5/1/45 | 890 | 981,599 | |
Massachusetts: | |||
3.00%, 4/1/49 | 10,000 | 7,814,200 | |
4.00%, 12/1/44 | 7,850 | 7,853,768 | |
New York, NY: | |||
4.00%, 8/1/38 | 11,520 | 11,714,112 | |
4.00%, 9/1/46 | 10,000 | 9,783,700 | |
4.00%, 4/1/50(5) | 5,000 | 4,841,500 | |
4.17%, 4/1/42(6) | 1,700 | 1,700,000 | |
5.00%, 8/1/47 | 22,350 | 24,287,074 | |
5.25%, 5/1/42 | 3,335 | 3,768,884 | |
5.25%, 9/1/42 | 5,000 | 5,670,650 | |
5.25%, 9/1/43 | 1,665 | 1,880,934 | |
5.25%, 4/1/47(5) | 5,000 | 5,611,950 | |
(SPA: JPMorgan Chase Bank, N.A.), 3.65%, 3/1/40(6) | 6,095 | 6,095,000 | |
Northwest Independent School District, TX, (PSF Guaranteed), 5.00%, 2/15/48 | 20,000 | 22,185,000 | |
Norwalk, CT, 4.00%, 8/15/47 | 10,000 | 9,990,000 | |
Norwood, MA, 4.00%, 9/15/47 | 11,065 | 11,019,855 | |
Pasadena Independent School District, (PSF Guaranteed), 4.00%, 2/15/52 | 10,000 | 9,848,200 | |
Prosper Independent School District, TX, (PSF Guaranteed), 4.00%, 2/15/52 | 8,000 | 7,825,440 | |
Puerto Rico: | |||
4.00%, 7/1/41 | 7,500 | 6,101,850 |
Security | Principal Amount (000's omitted) | Value | |
General Obligations (continued) | |||
Puerto Rico: (continued) | |||
5.625%, 7/1/29 | $ | 10,762 | $ 11,252,490 |
5.75%, 7/1/31 | 13,891 | 14,759,733 | |
Rice County, MN, 4.00%, 2/1/52 | 7,170 | 7,051,695 | |
San Antonio Independent School District, TX, (PSF Guaranteed), 5.00%, 8/15/47 | 16,240 | 17,983,689 | |
San Luis Coastal Unified School District, CA, (Election of 2022), 4.00%, 8/1/46 | 11,230 | 11,352,969 | |
Santa Clarita Community College District, CA, (Election of 2016), 5.25%, 8/1/48 | 10,000 | 11,328,900 | |
Spring Branch Independent School District, TX, (PSF Guaranteed), 4.50%, 2/1/47 | 8,750 | 9,101,050 | |
Temple Independent School District, TX, (PSF Guaranteed), 4.25%, 2/1/47 | 13,000 | 13,222,690 | |
Texas, (Texas Transportation Commission), Prerefunded to 10/1/24, 5.00%, 10/1/44 | 10,000 | 10,364,000 | |
Tomball Independent School District, TX, (PSF Guaranteed), 5.00%, 2/15/48 | 8,000 | 8,992,000 | |
Waco Independent School District, TX, (PSF Guaranteed), 4.125%, 8/15/47 | 6,000 | 6,049,560 | |
Washington: | |||
5.00%, 2/1/33 | 13,140 | 13,385,455 | |
5.00%, 6/1/40 | 5,350 | 5,792,017 | |
5.00%, 6/1/41 | 5,465 | 5,898,812 | |
5.00%, 6/1/42 | 5,950 | 6,402,676 | |
Wisconsin, 4.00%, 5/1/41 | 7,090 | 7,199,895 | |
Ysleta Independent School District, TX, (PSF Guaranteed): | |||
4.25%, 8/15/56 | 11,000 | 10,908,370 | |
5.00%, 8/15/56(2) | 5,000 | 5,486,300 | |
$ 651,408,875 | |||
Hospital — 11.8% | |||
Brevard County Health Facilities Authority, FL, (Health First Obligated Group): | |||
5.00%, 4/1/47 | $ | 10,000 | $ 10,558,500 |
5.00%, 4/1/52 | 10,000 | 10,488,600 | |
Bucks County Industrial Development Authority, PA, (Grand View Hospital), 4.00%, 7/1/51 | 4,000 | 3,012,480 | |
California Health Facilities Financing Authority, (Cedars-Sinai Health System): | |||
4.00%, 8/15/48 | 19,665 | 19,108,284 | |
5.00%, 8/15/51 | 13,880 | 15,090,058 | |
California Health Facilities Financing Authority, (St. Joseph Health System): | |||
Prerefunded to 7/1/23, 5.00%, 7/1/33 | 17,530 | 17,629,921 | |
Prerefunded to 7/1/23, 5.00%, 7/1/37 | 25,465 | 25,610,150 |
Security | Principal Amount (000's omitted) | Value | |
Hospital (continued) | |||
Colorado Health Facilities Authority, (AdventHealth Obligated Group): | |||
3.00%, 11/15/51 | $ | 4,515 | $ 3,412,798 |
4.00%, 11/15/43 | 12,145 | 11,809,434 | |
4.00%, 11/15/50 | 10,030 | 9,365,513 | |
Colorado Health Facilities Authority, (Adventist Health System/Sunbelt Obligated Group), 4.00%, 11/15/46 | 9,715 | 9,245,571 | |
Connecticut Health and Educational Facilities Authority, (Nuvance Health), 4.00%, 7/1/41 | 2,885 | 2,651,834 | |
Connecticut Health and Educational Facilities Authority, (Trinity Health Corp.), 5.00%, 12/1/41 | 5,295 | 5,456,339 | |
Escambia County Health Facilities Authority, FL, (Baptist Health Care Corp. Obligated Group), 4.00%, 8/15/45 | 4,005 | 3,569,897 | |
Geisinger Authority, PA, (Geisinger Health System): | |||
4.00%, 6/1/41 | 8,000 | 7,746,080 | |
4.00%, 2/15/47 | 10,210 | 9,498,771 | |
Illinois Finance Authority, (Northwestern Memorial HealthCare), 4.00%, 7/15/47 | 7,500 | 7,210,500 | |
Illinois Finance Authority, (Presence Health Network), 5.00%, 2/15/26 | 7,500 | 7,985,850 | |
Lancaster County Hospital Authority, PA, (Penn State Health), 5.00%, 11/1/46 | 10,500 | 11,034,240 | |
Lehigh County General Purpose Authority, PA, (Lehigh Valley Health Network), 4.00%, 7/1/49 | 10,000 | 9,176,300 | |
Maricopa County Industrial Development Authority, AZ, (Banner Health), Series 2019E, 4.00%, 1/1/45 | 9,000 | 8,785,890 | |
Massachusetts Development Finance Agency, (Partners HealthCare System), 4.00%, 7/1/41 | 8,500 | 8,431,830 | |
Massachusetts Health and Educational Facilities Authority, (Partners HealthCare System), (LOC: TD Bank, N.A.), 3.90%, 7/1/40(4) | 4,950 | 4,950,000 | |
Michigan Finance Authority, (Beaumont Health Credit Group), 5.00%, 11/1/44 | 22,760 | 23,174,460 | |
Michigan Finance Authority, (Henry Ford Health System), 4.00%, 11/15/50 | 11,795 | 10,805,282 | |
Michigan Finance Authority, (Trinity Health Credit Group): | |||
4.00%, 12/1/45 | 10,000 | 9,684,800 | |
4.00%, 12/1/49 | 5,645 | 5,360,492 | |
5.00%, 12/1/41 | 5,395 | 5,693,721 | |
Minneapolis, MN, (Allina Health System), 4.00%, 11/15/39 | 6,405 | 6,420,500 | |
Missouri Health and Educational Facilities Authority, (BJC Health System): | |||
4.00%, 1/1/45 | 9,475 | 9,040,666 | |
5.00%, 1/1/44 | 6,000 | 6,040,200 | |
Missouri Health and Educational Facilities Authority, (Children's Mercy Hospital), 4.00%, 5/15/48 | 5,475 | 5,230,596 |
Security | Principal Amount (000's omitted) | Value | |
Hospital (continued) | |||
New York Dormitory Authority, (Northwell Health Obligated Group), 5.00%, 5/1/52 | $ | 11,795 | $ 12,411,525 |
Oregon Facilities Authority, (Samaritan Health Services), 5.00%, 10/1/35 | 2,260 | 2,343,756 | |
Oregon Health and Science University, Green Bonds, 4.00%, 7/1/51 | 4,185 | 4,185,209 | |
Pennsylvania Higher Educational Facilities Authority, (University of Pennsylvania Health System): | |||
4.00%, 8/15/38 | 2,000 | 2,014,840 | |
4.00%, 8/15/42 | 5,010 | 5,003,487 | |
Salem Hospital Facility Authority, OR, (Salem Health), 5.00%, 5/15/44 | 11,620 | 12,049,940 | |
South Dakota Health and Educational Facilities Authority, (Sanford Health), 5.00%, 11/1/44 | 10,000 | 10,112,100 | |
Southcentral Pennsylvania General Authority, (WellSpan Health Obligated Group), 4.00%, 6/1/49 | 5,000 | 4,619,150 | |
Tarrant County Cultural Education Facilities Finance Corp., TX, (Baylor Scott & White Health), 5.00%, 11/15/45 | 8,000 | 8,244,160 | |
Washington Health Care Facilities Authority, (Seattle Children's Hospital), 4.00%, 10/1/45 | 5,000 | 4,822,150 | |
West Virginia Hospital Finance Authority, (West Virginia United Health System Obligated Group), Prerefunded to 6/1/23, 5.375%, 6/1/38 | 21,895 | 21,985,864 | |
Wisconsin Health and Educational Facilities Authority, (Ascension Health Alliance Senior Credit Group), 4.00%, 11/15/43 | 4,625 | 4,453,921 | |
Wisconsin Health and Educational Facilities Authority, (Ascension Senior Credit Group): | |||
4.00%, 11/15/39 | 5,000 | 5,017,850 | |
4.00%, 11/15/46 | 5,000 | 4,737,150 | |
$ 405,280,659 | |||
Housing — 1.2% | |||
California Community Housing Agency, (Summit at Sausalito Apartments), 3.00%, 2/1/57(7) | $ | 2,335 | $ 1,545,676 |
CSCDA Community Improvement Authority, CA, (City of Orange Portfolio), Essential Housing Revenue, Social Bonds, 3.00%, 3/1/57(7) | 15,730 | 10,315,105 | |
CSCDA Community Improvement Authority, CA, (Pasadena Portfolio), Essential Housing Revenue, Social Bonds, 3.00%, 12/1/56(7) | 9,930 | 6,615,068 | |
Maryland Economic Development Corp., (Morgan State University), Student Housing Revenue: | |||
5.00%, 7/1/56 | 1,750 | 1,724,730 | |
5.75%, 7/1/53 | 2,000 | 2,129,540 | |
Massachusetts Housing Finance Agency, (Mill Road Apartments), 4.52%, (SIFMA + 0.55%), 11/1/23 (Put Date), 11/1/48(8) | 3,890 | 3,890,000 |
Security | Principal Amount (000's omitted) | Value | |
Housing (continued) | |||
New Mexico Mortgage Finance Authority, Single Family Mortgage Program, (FHLMC), (FNMA), (GNMA), 4.45%, 9/1/48 | $ | 1,500 | $ 1,507,410 |
New York City Housing Development Corp., NY, 2.60%, 11/1/46 | 3,000 | 2,149,470 | |
Texas Student Housing Corp., (University of Northern Texas), 6.85%, 7/1/31(9) | 10,640 | 10,427,200 | |
$ 40,304,199 | |||
Industrial Development Revenue — 2.5% | |||
Arkansas Development Finance Authority, (Big River Steel), (AMT), 4.50%, 9/1/49(7) | $ | 1,000 | $ 898,710 |
Metropolitan Nashville Airport Authority, TN, (Aero Nashville), 5.20%, 7/1/26 | 190 | 190,051 | |
Montgomery County Industrial Development Authority, PA, (Constellation Energy Generation, LLC), 4.10% to 4/3/28 (Put Date), 4/1/53(5) | 1,500 | 1,523,715 | |
New York Transportation Development Corp., (Delta Air Lines, Inc. - LaGuardia Airport Terminals C&D Redevelopment): | |||
(AMT), 4.375%, 10/1/45 | 31,500 | 29,529,990 | |
(AMT), 5.00%, 10/1/40 | 41,585 | 41,842,827 | |
Rockdale County Development Authority, GA, (Pratt Paper, LLC), (AMT), 4.00%, 1/1/38(7) | 3,350 | 3,088,968 | |
South Carolina Jobs-Economic Development Authority, (International Paper Co.), (AMT), 4.00% to 4/1/26 (Put Date), 4/1/33 | 5,000 | 5,004,150 | |
Vermont Economic Development Authority, (Casella Waste Systems, Inc.), (AMT), 4.625% to 4/3/28 (Put Date), 4/1/36(7) | 475 | 457,454 | |
Warren County, MS, (International Paper Co.), 1.375% to 6/16/25 (Put Date), 5/1/34 | 4,000 | 3,728,920 | |
$ 86,264,785 | |||
Insured - Electric Utilities — 0.1% | |||
Brownsville, TX, Utility System Revenue, (BAM), 5.00%, 9/1/51 | $ | 1,220 | $ 1,300,593 |
Omaha Public Power District, NE, (AGM), 4.00%, 2/1/51 | 4,125 | 4,049,183 | |
$ 5,349,776 | |||
Insured - Escrowed/Prerefunded — 1.1% | |||
North Texas Tollway Authority, (AGC), Prerefunded to 1/1/25, 6.20%, 1/1/42 | $ | 37,070 | $ 39,330,899 |
$ 39,330,899 |
Security | Principal Amount (000's omitted) | Value | |
Insured - General Obligations — 1.7% | |||
Clark County School District, NV, (AGM), 4.25%, 6/15/41 | $ | 5,000 | $ 5,092,600 |
Ellis County Unified School District No. 489, KS, (AGM), 5.00%, 9/1/47 | 13,600 | 14,717,648 | |
Lumberton Municipal Utility District, TX, (AGM), 3.00%, 8/15/52 | 5,045 | 3,730,979 | |
Marlin Independent School District, TX, (AGM), 4.00%, 2/15/48 | 4,520 | 4,375,496 | |
Montclair Board of Education, NJ: | |||
(BAM), 4.00%, 1/15/40 | 4,200 | 4,266,612 | |
(BAM), 4.00%, 1/15/41 | 4,200 | 4,244,436 | |
(BAM), 4.00%, 1/15/42 | 4,200 | 4,232,970 | |
Nassau County, NY, (AGM), 5.00%, 4/1/49 | 10,335 | 11,057,520 | |
Waller Independent School District, TX, (BAM), 4.00%, 2/15/48 | 5,835 | 5,674,829 | |
$ 57,393,090 | |||
Insured - Hospital — 0.0%(1) | |||
California Statewide Communities Development Authority, (Enloe Medical Center), (AGM), 5.25%, 8/15/52 | $ | 800 | $ 860,728 |
$ 860,728 | |||
Insured - Lease Revenue/Certificates of Participation — 0.3% | |||
Commonwealth Financing Authority, PA, Tobacco Master Settlement Payment Revenue, (AGM), 4.00%, 6/1/39 | $ | 8,000 | $ 7,900,160 |
Hudson Yards Infrastructure Corp., NY, (AGM), 4.00%, 2/15/47 | 1,530 | 1,482,708 | |
$ 9,382,868 | |||
Insured - Other Revenue — 1.0% | |||
Harris County-Houston Sports Authority, TX, (AGM), (NPFG), 0.00%, 11/15/34 | $ | 58,155 | $ 34,046,845 |
$ 34,046,845 | |||
Insured - Special Tax Revenue — 0.8% | |||
Massachusetts, Dedicated Tax Revenue: | |||
(NPFG), 5.50%, 1/1/29 | $ | 11,000 | $ 12,705,660 |
(NPFG), 5.50%, 1/1/30 | 3,080 | 3,620,294 | |
Metropolitan Pier and Exposition Authority, IL, (McCormick Place), (BAM), 4.00%, 12/15/42 | 10,440 | 9,778,730 | |
$ 26,104,684 | |||
Insured - Transportation — 0.9% | |||
E-470 Public Highway Authority, CO, (NPFG), 0.00%, 9/1/37 | $ | 13,335 | $ 6,745,643 |
Security | Principal Amount (000's omitted) | Value | |
Insured - Transportation (continued) | |||
Kansas City Industrial Development Authority, MO, (Kansas City International Airport Terminal Modernization), (AGM), (AMT), 5.00%, 3/1/49 | $ | 10,000 | $ 10,293,100 |
Love Field Airport Modernization Corp., TX, (AGM), (AMT), 4.00%, 11/1/37 | 4,000 | 4,009,920 | |
Metropolitan Transportation Authority, NY, Green Bonds, (AGM), 4.00%, 11/15/48 | 8,900 | 8,457,937 | |
$ 29,506,600 | |||
Insured - Water and Sewer — 0.3% | |||
Pittsburg Public Financing Authority, CA, Water Revenue, (AGM), 5.00%, 8/1/52 | $ | 10,000 | $ 10,977,300 |
$ 10,977,300 | |||
Lease Revenue/Certificates of Participation — 0.5% | |||
Colorado, Certificates of Participation, 6.00%, 12/15/40 | $ | 5,045 | $ 6,150,107 |
Hampton Roads Transportation Accountability Commission, VA, 4.00%, 7/1/57 | 5,000 | 4,769,250 | |
Minnesota, 5.00%, 6/1/38 | 2,500 | 2,506,425 | |
New Jersey Economic Development Authority, (School Facilities Construction), 5.00%, 6/15/39 | 2,165 | 2,312,480 | |
$ 15,738,262 | |||
Nursing Home — 0.1% | |||
Mississippi Business Finance Corp., (Magnolia Healthcare), 7.99%, 7/1/25 | $ | 3,190 | $ 3,197,720 |
$ 3,197,720 | |||
Other Revenue — 2.5% | |||
Buckeye Tobacco Settlement Financing Authority, OH, 5.00%, 6/1/55 | $ | 37,065 | $ 33,610,172 |
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 | 761,670 | |
Golden State Tobacco Securitization Corp., CA, 5.00%, 6/1/51 | 4,900 | 5,130,888 | |
Houston, TX, Hotel Occupancy Tax and Special Revenue, 3.00%, 9/1/33 | 140 | 137,382 | |
Kalispel Tribe of Indians, WA: | |||
Series A, 5.25%, 1/1/38(7) | 1,865 | 1,927,011 | |
Series B, 5.25%, 1/1/38(7) | 1,000 | 1,033,250 | |
Main Street Natural Gas, Inc., GA, Gas Supply Revenue: | |||
5.00% to 3/1/30 (Put Date), 7/1/53 | 6,785 | 7,185,654 | |
5.00% to 6/1/30 (Put Date), 6/1/53 | 10,000 | 10,438,000 |
Security | Principal Amount (000's omitted) | Value | |
Other Revenue (continued) | |||
Minnesota Municipal Gas Agency, (Liq: Royal Bank of Canada), 4.236%, (67% of SOFR + 1.00%), 12/1/27 (Put Date), 12/1/52(8) | $ | 12,500 | $ 12,246,875 |
Texas Municipal Gas Acquisition and Supply Corp. I, Gas Supply Revenue, 6.25%, 12/15/26 | 11,645 | 12,255,897 | |
$ 84,771,799 | |||
Senior Living/Life Care — 1.2% | |||
California Public Finance Authority, (Enso Village): | |||
Green Bonds, 2.125%, 11/15/27(7) | $ | 1,155 | $ 1,097,331 |
Green Bonds, 2.375%, 11/15/28(7) | 970 | 913,847 | |
Green Bonds, 5.00%, 11/15/46(7) | 540 | 475,335 | |
Clackamas County Hospital Facility Authority, OR, (Rose Villa): | |||
5.25%, 11/15/50 | 250 | 223,913 | |
5.375%, 11/15/55 | 300 | 269,733 | |
New Hope Cultural Education Facilities Finance Corp., TX, (Longhorn Village), 5.00%, 1/1/47 | 8,000 | 7,141,920 | |
Palm Beach County Health Facilities Authority, FL, (Green Cay Life Plan Village), 11.50%, 7/1/27(7) | 5,550 | 5,375,508 | |
Palm Beach County Health Facilities Authority, FL, (Toby & Leon Cooperman Sinai Residences of Boca Raton), 4.25%, 6/1/56 | 4,440 | 3,316,902 | |
Public Finance Authority, WI, (Searstone CCRC), 3.00%, 6/1/28(7) | 17,410 | 15,527,805 | |
Rockville, MD, (Ingleside at King Farm): | |||
5.00%, 11/1/31 | 1,010 | 969,125 | |
5.00%, 11/1/32 | 275 | 261,907 | |
Tarrant County Cultural Education Facilities Finance Corp., TX, (MRC Stevenson Oaks): | |||
6.625%, 11/15/41 | 730 | 692,252 | |
6.75%, 11/15/51 | 3,250 | 2,985,482 | |
6.875%, 11/15/55 | 200 | 185,276 | |
Wisconsin Health and Educational Facilities Authority, (Saint John's Communities, Inc.): | |||
4.00%, 9/15/41 | 765 | 630,697 | |
4.00%, 9/15/45 | 650 | 511,023 | |
Prerefunded to 9/15/23, 5.00%, 9/15/40 | 750 | 757,462 | |
$ 41,335,518 | |||
Special Tax Revenue — 9.3% | |||
Central Puget Sound Regional Transit Authority, WA, Sales and Motor Vehicle Excise Tax Revenue, Green Bonds, 4.00%, 11/1/46 | $ | 11,825 | $ 11,773,798 |
Dallas Area Rapid Transit, TX, Sales Tax Revenue, 4.00%, 12/1/51 | 3,820 | 3,728,053 |
Security | Principal Amount (000's omitted) | Value | |
Special Tax Revenue (continued) | |||
District of Columbia, Income Tax Revenue, 5.50%, 7/1/47 | $ | 10,000 | $ 11,544,600 |
Kissimmee City, FL, Sales Tax Revenue, 4.00%, 10/1/51 | 6,880 | 6,693,758 | |
Los Angeles County Metropolitan Transportation Authority, CA, Sales Tax Revenue, 5.00%, 7/1/44 | 15,060 | 16,900,031 | |
Massachusetts Bay Transportation Authority, Sales Tax Revenue: | |||
4.00%, 7/1/48 | 5,405 | 5,369,111 | |
4.00%, 7/1/51 | 12,705 | 12,547,458 | |
Metropolitan Pier and Exposition Authority, IL, (McCormick Place Expansion), 4.00%, 6/15/50 | 10,250 | 8,936,872 | |
Michigan Trunk Line Fund: | |||
4.00%, 11/15/45 | 9,925 | 9,929,565 | |
4.00%, 11/15/46 | 10,000 | 9,903,700 | |
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 | 325 | 327,477 | |
New York City Transitional Finance Authority, NY, Future Tax Revenue: | |||
4.00%, 11/1/38 | 5,000 | 5,084,450 | |
5.00%, 8/1/38 | 10,000 | 10,630,900 | |
5.00%, 8/1/39 | 2,585 | 2,639,518 | |
5.00%, 11/1/46 | 1,095 | 1,206,219 | |
5.00%, 11/1/46(2) | 13,000 | 14,320,410 | |
(SPA: JPMorgan Chase Bank, N.A.), 3.65%, 8/1/39(6) | 5,300 | 5,300,000 | |
(SPA: JPMorgan Chase Bank, N.A.), 3.65%, 8/1/42(6) | 16,900 | 16,900,000 | |
New York Dormitory Authority, Personal Income Tax Revenue: | |||
4.00%, 3/15/39 | 10,000 | 10,077,700 | |
4.00%, 3/15/40 | 10,000 | 10,024,700 | |
4.00%, 3/15/46 | 5,000 | 4,890,700 | |
4.00%, 2/15/47 | 15,220 | 14,839,043 | |
New York Dormitory Authority, Sales Tax Revenue: | |||
5.00%, 3/15/35 | 7,840 | 8,409,498 | |
(AMT), 5.00%, 3/15/28 | 1,705 | 1,897,597 | |
New York State Urban Development Corp., Personal Income Tax Revenue, 5.00%, 3/15/49 | 25,000 | 27,279,250 | |
New York State Urban Development Corp., Sales Tax Revenue, 4.00%, 3/15/46 | 4,950 | 4,885,105 | |
New York Thruway Authority, Personal Income Tax Revenue: | |||
4.00%, 3/15/44 | 5,000 | 4,940,950 | |
5.00%, 3/15/48 | 3,810 | 4,185,247 | |
Green Bonds, 5.00%, 3/15/53 | 10,000 | 10,909,800 |
Security | Principal Amount (000's omitted) | Value | |
Special Tax Revenue (continued) | |||
Pennsylvania Turnpike Commission, Oil Franchise Tax Revenue, 4.00%, 12/1/51 | $ | 5,000 | $ 4,927,500 |
Puerto Rico Sales Tax Financing Corp: | |||
0.00%, 7/1/46 | 19,385 | 5,090,307 | |
4.329%, 7/1/40 | 4,244 | 3,872,820 | |
5.00%, 7/1/58 | 36,291 | 34,264,876 | |
Southern Hills Plantation I Community Development District, FL: | |||
Series A1, 5.80%, 5/1/35(9) | 400 | 359,160 | |
Series A2, 5.80%, 5/1/35(9) | 310 | 208,866 | |
Sterling Hill Community Development District, FL, 6.20%, 5/1/35(9) | 1,532 | 827,089 | |
Triborough Bridge and Tunnel Authority, NY, 5.00%, 5/15/47 | 8,240 | 8,984,566 | |
Triborough Bridge and Tunnel Authority, NY, Sales Tax Revenue, 4.00%, 5/15/48 | 5,000 | 4,897,350 | |
$ 319,508,044 | |||
Student Loan — 0.1% | |||
New Jersey Higher Education Student Assistance Authority, Series 2015-1A, (AMT), 4.00%, 12/1/28 | $ | 2,060 | $ 2,062,554 |
$ 2,062,554 | |||
Transportation — 21.5% | |||
Allegheny County Airport Authority, PA, (Pittsburgh International Airport): | |||
(AMT), 4.00%, 1/1/39 | $ | 7,000 | $ 6,834,800 |
(AMT), 5.00%, 1/1/51 | 12,775 | 13,269,009 | |
Austin, TX, Airport System Revenue, (AMT), 5.00%, 11/15/38 | 6,175 | 6,587,181 | |
Chicago, IL, (Midway International Airport): | |||
5.00%, 1/1/41 | 6,000 | 6,150,480 | |
(AMT), 5.00%, 1/1/34 | 5,250 | 5,283,075 | |
Chicago, IL, (O'Hare International Airport): | |||
4.00%, 1/1/44 | 9,500 | 9,427,705 | |
5.00%, 1/1/36 | 6,000 | 6,256,920 | |
(AMT), 5.00%, 1/1/33 | 7,300 | 7,462,644 | |
(AMT), 5.00%, 1/1/34 | 12,500 | 12,767,000 | |
(AMT), 5.00%, 1/1/47 | 6,450 | 6,569,196 | |
(AMT), 5.00%, 1/1/53 | 14,370 | 14,683,697 | |
(AMT), 5.25%, 1/1/53 | 10,500 | 11,000,745 | |
Dallas and Fort Worth, TX, (Dallas/Fort Worth International Airport): | |||
5.25%, 11/1/31 | 10,395 | 10,531,278 | |
(AMT), 5.25%, 11/1/30 | 11,015 | 11,110,170 |
Security | Principal Amount (000's omitted) | Value | |
Transportation (continued) | |||
Denver City and County, CO, Airport System Revenue: | |||
(AMT), 5.00%, 12/1/35 | $ | 5,000 | $ 5,337,150 |
(AMT), 5.00%, 12/1/38 | 10,000 | 10,544,500 | |
(AMT), 5.00%, 11/15/42 | 9,575 | 10,317,158 | |
(AMT), 5.00%, 11/15/53 | 5,835 | 6,133,810 | |
Hawaii, Airports System Revenue: | |||
(AMT), 5.00%, 7/1/43 | 3,900 | 4,039,347 | |
(AMT), 5.00%, 7/1/45 | 11,205 | 11,334,978 | |
(AMT), 5.00%, 7/1/47 | 12,500 | 13,232,875 | |
Illinois Toll Highway Authority: | |||
4.00%, 1/1/46 | 10,185 | 9,949,828 | |
5.00%, 1/1/38 | 15,000 | 15,156,150 | |
Indianapolis Local Public Improvement Bond Bank, IN, (Indianapolis Airport Authority): | |||
(AMT), 5.25%, 1/1/40 | 5,000 | 5,454,350 | |
(AMT), 5.25%, 1/1/41 | 3,255 | 3,534,377 | |
Kansas City Industrial Development Authority, MO, (Kansas City International Airport Terminal Modernization): | |||
(AMT), 5.00%, 3/1/38 | 13,500 | 14,264,235 | |
(AMT), 5.00%, 3/1/46 | 6,400 | 6,604,864 | |
(AMT), 5.00%, 3/1/54 | 4,835 | 4,945,867 | |
Lee County, FL, Airport Revenue, (AMT), 5.00%, 10/1/46 | 6,775 | 7,110,091 | |
Los Angeles Department of Airports, CA, (Los Angeles International Airport): | |||
(AMT), 5.00%, 5/15/46 | 19,935 | 21,020,062 | |
Green Bonds, (AMT), 5.00%, 5/15/47 | 17,855 | 18,935,585 | |
Maryland Economic Development Corp., (Transportation Facilities), 5.00%, 6/1/35 | 1,050 | 1,111,047 | |
Massachusetts Port Authority: | |||
(AMT), 4.00%, 7/1/46 | 7,000 | 6,664,770 | |
(AMT), 5.00%, 7/1/43 | 8,000 | 8,183,920 | |
Metropolitan Nashville Airport Authority, TN: | |||
(AMT), 5.00%, 7/1/49 | 20,500 | 21,293,145 | |
(AMT), 5.25%, 7/1/47 | 10,750 | 11,507,552 | |
Metropolitan Transportation Authority, NY, Green Bonds, 4.75%, 11/15/45 | 3,050 | 3,096,940 | |
Metropolitan Washington Airports Authority, D.C.: | |||
(LOC: TD Bank, N.A.), 3.93%, 10/1/39(4) | 5,000 | 5,000,000 | |
(LOC: TD Bank, N.A.), 3.96%, 10/1/40(4) | 2,690 | 2,690,000 | |
(AMT), 5.00%, 10/1/44 | 10,500 | 10,994,550 | |
New Jersey Economic Development Authority, (Portal North Bridge), 5.25%, 11/1/47 | 12,700 | 13,704,316 | |
New Jersey Transportation Trust Fund Authority, (Transportation Program): | |||
5.00%, 6/15/50 | 20,500 | 21,240,665 |
Security | Principal Amount (000's omitted) | Value | |
Transportation (continued) | |||
New Jersey Transportation Trust Fund Authority, (Transportation Program): (continued) | |||
2019 Series AA, 5.25%, 6/15/43 | $ | 10,000 | $ 10,593,300 |
2019 Series BB, 4.00%, 6/15/50 | 17,575 | 16,340,708 | |
2020 Series AA, 4.00%, 6/15/50 | 15,000 | 13,946,550 | |
2022 Series CC, 5.25%, 6/15/43 | 5,750 | 6,288,143 | |
New Jersey Turnpike Authority, 4.50%, 1/1/48 | 8,000 | 8,250,800 | |
New York Thruway Authority, 4.00%, 1/1/44 | 10,000 | 9,879,100 | |
New York Transportation Development Corp., (LaGuardia Airport Terminal B Redevelopment): | |||
(AMT), 5.00%, 7/1/46 | 25,865 | 25,918,799 | |
(AMT), 5.25%, 1/1/50 | 1,180 | 1,183,446 | |
New York Transportation Development Corp., (Terminal 4 John F. Kennedy International Airport), (AMT), 5.00%, 12/1/29 | 10,000 | 10,914,800 | |
North Texas Tollway Authority, 4.125%, 1/1/39 | 10,215 | 10,361,790 | |
Oregon Department of Transportation, 4.00%, 11/15/42 | 11,730 | 11,867,827 | |
Pennsylvania Economic Development Financing Authority, (PennDOT Major Bridges Package One), (AMT), 5.75%, 6/30/48 | 9,750 | 10,549,695 | |
Pennsylvania Turnpike Commission: | |||
(LOC: TD Bank N.A.), 3.95%, 12/1/38(4) | 10,000 | 10,000,000 | |
(LOC: TD Bank, N.A.), 3.95%, 12/1/39(4) | 8,700 | 8,700,000 | |
Philadelphia, PA, Airport Revenue, (AMT), 5.00%, 7/1/47 | 4,595 | 4,667,187 | |
Phoenix Civic Improvement Corp., AZ, Airport Revenue: | |||
(AMT), 5.00%, 7/1/42 | 6,250 | 6,434,813 | |
(AMT), 5.00%, 7/1/49 | 10,400 | 10,805,704 | |
Port Authority of New York and New Jersey: | |||
4.00%, 11/1/39 | 2,150 | 2,171,500 | |
5.00%, 9/1/37 | 6,000 | 6,645,780 | |
Port of Portland, OR, (Portland International Airport): | |||
(AMT), 4.00%, 7/1/50 | 5,000 | 4,671,000 | |
(AMT), 5.00%, 7/1/44 | 8,000 | 8,363,600 | |
(AMT), 5.00%, 7/1/45 | 12,260 | 12,876,310 | |
(AMT), 5.25%, 7/1/43 | 17,000 | 18,693,200 | |
Port of Seattle, WA, (AMT), 5.00%, 4/1/44 | 9,870 | 10,335,370 | |
Salt Lake City, UT, (Salt Lake City International Airport): | |||
(AMT), 5.00%, 7/1/42 | 17,330 | 17,828,931 | |
(AMT), 5.00%, 7/1/43 | 3,165 | 3,270,553 | |
(AMT), 5.00%, 7/1/46 | 15,975 | 16,744,835 | |
(AMT), 5.00%, 7/1/47 | 6,500 | 6,642,350 | |
(AMT), 5.25%, 7/1/48 | 16,260 | 16,890,400 |
Security | Principal Amount (000's omitted) | Value | |
Transportation (continued) | |||
San Francisco City and County Airport Commission, CA, (San Francisco International Airport), (AMT), 5.00%, 5/1/49 | $ | 5,000 | $ 5,166,300 |
Southeastern Pennsylvania Transportation Authority, 5.25%, 6/1/47 | 13,000 | 14,653,470 | |
Texas Private Activity Bond Surface Transportation Corp., (North Tarrant Express Managed Lanes Project): | |||
4.00%, 12/31/38 | 4,140 | 3,891,766 | |
5.00%, 12/31/35 | 2,885 | 3,036,405 | |
Virginia Small Business Financing Authority, (95 Express Lanes, LLC), (AMT), 4.00%, 1/1/39 | 7,065 | 6,626,617 | |
$ 736,547,081 | |||
Water and Sewer — 5.7% | |||
Austin, TX, Water and Wastewater System Revenue, 5.00%, 11/15/47 | $ | 4,000 | $ 4,401,560 |
Charleston, SC, Waterworks and Sewer System Revenue, 5.00%, 1/1/47 | 5,500 | 6,189,700 | |
District of Columbia Water and Sewer Authority, 4.00%, 10/1/51 | 10,935 | 10,690,931 | |
Gilbert Water Resources Municipal Property Corp., AZ, Green Bonds, 4.00%, 7/15/47 | 3,000 | 2,951,160 | |
Kansas City, MO, Sanitary Sewer System Revenue, 4.00%, 1/1/48 | 4,000 | 3,874,120 | |
Marin Municipal Water District, CA, 4.00%, 6/15/45 | 10,335 | 10,361,974 | |
Massachusetts Clean Water Trust, Green Bonds, 5.00%, 2/1/43 | 3,000 | 3,409,380 | |
Michigan Finance Authority, (Detroit Water and Sewerage Department), 5.00%, 7/1/33 | 8,095 | 8,263,214 | |
New York City Municipal Water Finance Authority, NY, (Water and Sewer System): | |||
4.00%, 6/15/49 | 10,000 | 9,777,100 | |
4.125%, 6/15/47 | 5,000 | 4,968,500 | |
5.00%, 6/15/47(2) | 8,000 | 8,863,760 | |
5.00%, 6/15/51 | 5,000 | 5,435,800 | |
5.25%, 6/15/46 | 15,000 | 17,070,600 | |
(SPA: Barclays Bank PLC), 3.65%, 6/15/50(6) | 7,500 | 7,500,000 | |
(SPA: Barclays Bank PLC), 3.65%, 6/15/53(6) | 2,775 | 2,775,000 | |
(SPA: JPMorgan Chase Bank, N.A.), 3.65%, 6/15/43(6) | 10,475 | 10,475,000 | |
(SPA: JPMorgan Chase Bank, N.A.), 3.65%, 6/15/50(6) | 14,180 | 14,180,000 | |
Philadelphia, PA, Water and Wastewater Revenue, 5.00%, 10/1/43 | 5,000 | 5,314,850 | |
San Mateo-Foster City Public Financing Authority, CA, (Clean Water Program), 5.00%, 8/1/49 | 23,445 | 25,534,887 | |
Sarasota County, FL, Utility System Revenue, 5.25%, 10/1/52 | 15,000 | 16,887,750 |
Security | Principal Amount (000's omitted) | Value | |
Water and Sewer (continued) | |||
Seattle, WA, Water System, Green Bonds, 5.00%, 9/1/52 | $ | 8,610 | $ 9,515,428 |
Tacoma, WA, Sewer Revenue, 4.00%, 12/1/48 | 5,190 | 5,081,373 | |
Texas Water Development Board, 4.00%, 10/15/49 | 2,500 | 2,459,800 | |
$ 195,981,887 | |||
Total Tax-Exempt Municipal Obligations (identified cost $3,126,508,496) | $3,213,099,436 |
Taxable Municipal Obligations — 5.3% |
Security | Principal Amount (000's omitted) | Value | |
Cogeneration — 0.1% | |||
Northampton County Industrial Development Authority, PA, (Northampton Generating), 5.00%, 12/31/23(3) | $ | 6,976 | $ 1,255,705 |
$ 1,255,705 | |||
Education — 0.1% | |||
San Antonio Education Facilities Corp., TX, (University of the Incarnate Word): | |||
2.65%, 4/1/30 | $ | 1,100 | $ 896,962 |
3.15%, 4/1/37 | 1,750 | 1,298,675 | |
$ 2,195,637 | |||
General Obligations — 0.7% | |||
Douglas County School District No. 17, NE, 2.192%, 6/15/35 | $ | 775 | $ 591,782 |
Lakeside School District No. 9, AR: | |||
1.65%, 4/1/36 | 1,115 | 783,767 | |
1.90%, 4/1/39 | 750 | 502,643 | |
Los Angeles Community College District, CA, 1.806%, 8/1/30 | 15,000 | 12,743,400 | |
Maryland, 0.41%, 8/1/23 | 5,240 | 5,162,396 | |
Mattawan Consolidated School, MI, 2.096%, 5/1/33 | 1,120 | 914,390 | |
Puerto Rico, GO Contingent Value Instrument, 0.00%, 11/1/43 | 7,122 | 3,106,923 | |
$ 23,805,301 | |||
Hospital — 1.0% | |||
California Statewide Communities Development Authority, (Loma Linda University Medical Center), 6.00%, 12/1/24 | $ | 34,250 | $ 34,761,010 |
$ 34,761,010 |
Security | Principal Amount (000's omitted) | Value | |
Industrial Development Revenue — 0.7% | |||
JobsOhio Beverage System, OH, 4.433%, 1/1/33 | $ | 5,000 | $ 5,006,650 |
Louisiana Local Government Environmental Facilities and Community Development Authority, (Louisiana Utilities Restoration Corp./ELL), 5.081%, 6/1/31 | 18,850 | 19,017,011 | |
$ 24,023,661 | |||
Insured - General Obligations — 0.0%(1) | |||
Westland Tax Increment Finance Authority, MI: | |||
(AGM), 2.31%, 4/1/33 | $ | 1,165 | $ 957,549 |
(AGM), 2.41%, 4/1/34 | 195 | 159,071 | |
$ 1,116,620 | |||
Insured - Special Tax Revenue — 0.0%(1) | |||
Rio Elementary School District Community Facilities District No. 1, CA, (BAM), 2.557%, 9/1/33 | $ | 1,055 | $ 845,994 |
$ 845,994 | |||
Insured - Transportation — 1.4% | |||
Alameda Corridor Transportation Authority, CA: | |||
(AMBAC), 0.00%, 10/1/26 | $ | 22,500 | $ 19,064,925 |
(AMBAC), 0.00%, 10/1/27 | 34,390 | 27,665,379 | |
$ 46,730,304 | |||
Lease Revenue/Certificates of Participation — 0.3% | |||
New York City Transitional Finance Authority, NY, (Building Aid), 3.23%, 7/15/24 | $ | 10,000 | $ 9,783,900 |
$ 9,783,900 | |||
Other Revenue — 0.7% | |||
Golden State Tobacco Securitization Corp., CA, 3.714%, 6/1/41 | $ | 28,000 | $ 21,977,760 |
Santa Cruz County, CA, Pension Obligation Bonds, 2.291%, 6/1/33 | 3,000 | 2,431,740 | |
$ 24,409,500 | |||
Senior Living/Life Care — 0.0%(1) | |||
Montgomery County Industrial Development Authority, PA, (ACTS Retirement-Life Communities, Inc. Obligated Group), 2.45%, 11/15/23 | $ | 1,250 | $ 1,221,287 |
$ 1,221,287 |
Security | Principal Amount (000's omitted) | Value | |
Transportation — 0.3% | |||
Bay Area Toll Authority, CA, (San Francisco Bay Area), 2.574%, 4/1/31 | $ | 12,555 | $ 11,403,330 |
$ 11,403,330 | |||
Total Taxable Municipal Obligations (identified cost $193,414,919) | $ 181,552,249 | ||
Total Investments — 100.0% (identified cost $3,350,219,259) | $3,427,288,275 | ||
Other Assets, Less Liabilities — (0.0)%(1) | $ (1,341,251) | ||
Net Assets — 100.0% | $3,425,947,024 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Amount is less than 0.05% or (0.05)%, as applicable. |
(2) | Security represents the municipal bond held by a trust that issues residual interest bonds. |
(3) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(4) | 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, 2023. |
(5) | When-issued security. |
(6) | 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, 2023. |
(7) | 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, 2023, the aggregate value of these securities is $49,271,068 or 1.4% of the Fund's net assets. |
(8) | Floating rate security. The stated interest rate represents the rate in effect at March 31, 2023. |
(9) | Defaulted security. Issuer has defaulted on the payment of interest and/or principal or has filed for bankruptcy. |
At March 31, 2023, 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 | 16.4% |
California | 13.7% |
Texas | 10.8% |
Others, representing less than 10% individually | 58.2% |
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, 2023, 7.6% 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 0.9% 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 | 6/21/23 | $(121,319,531) | $ (5,500,126) |
$(5,500,126) |
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. |
FHLMC | – Federal Home Loan Mortgage Corp. |
FNMA | – Federal National Mortgage Association |
GNMA | – Government National Mortgage Association |
Liq | – Liquidity Provider |
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, 2023 | ||
AMT-Free Fund | National Fund | |
Assets | ||
Investments: | ||
Identified cost | $ 253,927,816 | $ 3,350,219,259 |
Unrealized appreciation | 7,413,017 | 77,069,016 |
Investments, at value | $261,340,833 | $3,427,288,275 |
Cash | $ 3,854,646 | $ 10,560,601 |
Deposits for derivatives collateral — futures contracts | — | 3,961,387 |
Interest receivable | 3,276,866 | 42,535,586 |
Receivable for investments sold | 34,471 | 22,032,100 |
Receivable for Fund shares sold | 82,034 | 12,454,252 |
Total assets | $268,588,850 | $3,518,832,201 |
Liabilities | ||
Payable for floating rate notes issued | $ 15,485,867 | $ 56,919,552 |
Payable for investments purchased | — | 8,114,302 |
Payable for when-issued securities | 1,901,660 | 11,820,450 |
Payable for Fund shares redeemed | 396,908 | 10,407,487 |
Payable for variation margin on open futures contracts | — | 924,974 |
Distributions payable | 113,543 | 2,097,320 |
Payable to affiliates: | ||
Investment adviser fee | 91,070 | 965,739 |
Distribution and service fees | 27,801 | 294,992 |
Interest expense and fees payable | 190,790 | 441,956 |
Accrued expenses | 103,298 | 898,405 |
Total liabilities | $ 18,310,937 | $ 92,885,177 |
Net Assets | $250,277,913 | $3,425,947,024 |
Sources of Net Assets | ||
Paid-in capital | $ 291,846,506 | $ 3,772,546,666 |
Accumulated loss | (41,568,593) | (346,599,642) |
Net Assets | $250,277,913 | $3,425,947,024 |
Class A Shares | ||
Net Assets | $ 112,188,755 | $ 1,190,174,741 |
Shares Outstanding | 13,776,562 | 128,878,473 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.14 | $ 9.23 |
Maximum Offering Price Per Share (100 ÷ 96.75 of net asset value per share) | $ 8.41 | $ 9.54 |
Class C Shares | ||
Net Assets | $ 4,214,154 | $ 52,828,817 |
Shares Outstanding | 520,508 | 5,721,062 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 8.10 | $ 9.23 |
March 31, 2023 | ||
AMT-Free Fund | National Fund | |
Class I Shares | ||
Net Assets | $133,875,004 | $2,182,943,466 |
Shares Outstanding | 15,054,711 | 236,418,990 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 8.89 | $ 9.23 |
On sales of $100,000 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, 2023 | ||
AMT-Free Fund | National Fund | |
Investment Income | ||
Interest income | $ 5,478,100 | $ 73,501,464 |
Total investment income | $ 5,478,100 | $ 73,501,464 |
Expenses | ||
Investment adviser fee | $ 524,817 | $ 5,525,877 |
Distribution and service fees: | ||
Class A | 144,797 | 1,473,800 |
Class C | 23,601 | 272,774 |
Trustees’ fees and expenses | 8,440 | 54,250 |
Custodian fee | 28,569 | 300,171 |
Transfer and dividend disbursing agent fees | 46,998 | 733,803 |
Legal and accounting services | 34,491 | 103,768 |
Printing and postage | 6,332 | 77,570 |
Registration fees | 42,615 | 168,400 |
Interest expense and fees | 244,821 | 1,526,175 |
Miscellaneous | 20,440 | 80,432 |
Total expenses | $ 1,125,921 | $ 10,317,020 |
Net investment income | $ 4,352,179 | $ 63,184,444 |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss): | ||
Investment transactions | $ (5,037,195) | $ (49,732,826) |
Futures contracts | — | 12,097,055 |
Net realized loss | $ (5,037,195) | $ (37,635,771) |
Change in unrealized appreciation (depreciation): | ||
Investments | $ 15,691,967 | $ 211,220,918 |
Futures contracts | — | (15,587,695) |
Net change in unrealized appreciation (depreciation) | $15,691,967 | $195,633,223 |
Net realized and unrealized gain | $10,654,772 | $157,997,452 |
Net increase in net assets from operations | $15,006,951 | $221,181,896 |
Six Months Ended March 31, 2023 (Unaudited) | ||
AMT-Free Fund | National Fund | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 4,352,179 | $ 63,184,444 |
Net realized loss | (5,037,195) | (37,635,771) |
Net change in unrealized appreciation (depreciation) | 15,691,967 | 195,633,223 |
Net increase in net assets from operations | $ 15,006,951 | $ 221,181,896 |
Distributions to shareholders: | ||
Class A | $ (1,974,384) | $ (21,590,595) |
Class C | (62,724) | (794,182) |
Class I | (2,289,855) | (39,689,281) |
Total distributions to shareholders | $ (4,326,963) | $ (62,074,058) |
Transactions in shares of beneficial interest: | ||
Class A | $ (6,881,485) | $ (48,668,983) |
Class C | (904,465) | (5,469,072) |
Class I | 9,077,643 | 194,286,004 |
Net increase in net assets from Fund share transactions | $ 1,291,693 | $ 140,147,949 |
Net increase in net assets | $ 11,971,681 | $ 299,255,787 |
Net Assets | ||
At beginning of period | $ 238,306,232 | $ 3,126,691,237 |
At end of period | $250,277,913 | $3,425,947,024 |
Year Ended September 30, 2022 | ||
AMT-Free Fund | National Fund | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 8,148,480 | $ 87,317,787 |
Net realized loss | (18,029,404) | (232,773,288) |
Net change in unrealized appreciation (depreciation) | (33,643,392) | (323,814,828) |
Net decrease in net assets from operations | $ (43,524,316) | $ (469,270,329) |
Distributions to shareholders: | ||
Class A | $ (3,726,887) | $ (34,992,231) |
Class C | (137,551) | (1,325,303) |
Class I | (4,457,845) | (58,955,993) |
Total distributions to shareholders | $ (8,322,283) | $ (95,273,527) |
Transactions in shares of beneficial interest: | ||
Class A | $ (20,210,316) | $ (162,612,967) |
Class C | (2,892,659) | (27,668,849) |
Class I | (37,743,092) | (118,929,047) |
Net decrease in net assets from Fund share transactions | $ (60,846,067) | $ (309,210,863) |
Net decrease in net assets | $(112,692,666) | $ (873,754,719) |
Net Assets | ||
At beginning of year | $ 350,998,898 | $ 4,000,445,956 |
At end of year | $ 238,306,232 | $3,126,691,237 |
AMT-Free Fund — Class A | ||||||
Six Months Ended March 31, 2023 (Unaudited) | Year Ended September 30, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 7.790 | $ 9.290 | $ 9.250 | $ 9.250 | $ 8.870 | $ 9.130 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.137 | $ 0.227 | $ 0.236 | $ 0.274 | $ 0.317 | $ 0.336 |
Net realized and unrealized gain (loss) | 0.349 | (1.495) | 0.053 | 0.011 (2) | 0.381 | (0.262) |
Total income (loss) from operations | $ 0.486 | $ (1.268) | $ 0.289 | $ 0.285 | $ 0.698 | $ 0.074 |
Less Distributions | ||||||
From net investment income | $ (0.136) | $ (0.232) | $ (0.249) | $ (0.285) | $ (0.318) | $ (0.334) |
Total distributions | $ (0.136) | $ (0.232) | $ (0.249) | $ (0.285) | $ (0.318) | $ (0.334) |
Net asset value — End of period | $ 8.140 | $ 7.790 | $ 9.290 | $ 9.250 | $ 9.250 | $ 8.870 |
Total Return(3) | 6.28% (4) | (13.85)% | 3.14% | 3.12% | 8.02% | 0.83% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $112,189 | $113,933 | $157,981 | $158,729 | $150,853 | $139,623 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses excluding interest and fees | 0.83% (5) | 0.79% | 0.76% | 0.78% | 0.81% | 0.81% |
Interest and fee expense(6) | 0.20% (5) | 0.07% | 0.04% | 0.14% | 0.23% | 0.24% |
Total expenses | 1.03% (5) | 0.86% | 0.80% | 0.92% | 1.04% | 1.05% |
Net investment income | 3.43% (5) | 2.61% | 2.53% | 2.97% | 3.51% | 3.74% |
Portfolio Turnover | 36% (4) | 60% | 32% | 58% | 33% | 18% |
(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 | ||||||
Six Months Ended March 31, 2023 (Unaudited) | Year Ended September 30, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 7.740 | $ 9.240 | $ 9.200 | $ 9.200 | $ 8.820 | $ 9.080 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.106 | $ 0.159 | $ 0.167 | $ 0.204 | $ 0.249 | $ 0.267 |
Net realized and unrealized gain (loss) | 0.359 | (1.493) | 0.051 | 0.011 (2) | 0.380 | (0.262) |
Total income (loss) from operations | $ 0.465 | $(1.334) | $ 0.218 | $ 0.215 | $ 0.629 | $ 0.005 |
Less Distributions | ||||||
From net investment income | $ (0.105) | $ (0.166) | $ (0.178) | $ (0.215) | $ (0.249) | $ (0.265) |
Total distributions | $(0.105) | $(0.166) | $(0.178) | $ (0.215) | $ (0.249) | $ (0.265) |
Net asset value — End of period | $ 8.100 | $ 7.740 | $ 9.240 | $ 9.200 | $ 9.200 | $ 8.820 |
Total Return(3) | 6.05% (4) | (14.59)% | 2.38% | 2.36% | 7.24% | 0.06% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 4,214 | $ 4,906 | $ 9,017 | $15,094 | $19,715 | $32,545 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses excluding interest and fees | 1.58% (5) | 1.54% | 1.51% | 1.53% | 1.56% | 1.56% |
Interest and fee expense(6) | 0.20% (5) | 0.07% | 0.04% | 0.14% | 0.23% | 0.24% |
Total expenses | 1.78% (5) | 1.61% | 1.55% | 1.67% | 1.79% | 1.80% |
Net investment income | 2.68% (5) | 1.83% | 1.80% | 2.23% | 2.78% | 2.99% |
Portfolio Turnover | 36% (4) | 60% | 32% | 58% | 33% | 18% |
(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 | ||||||
Six Months Ended March 31, 2023 (Unaudited) | Year Ended September 30, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 8.500 | $ 10.150 | $ 10.110 | $ 10.100 | $ 9.680 | $ 9.970 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.160 | $ 0.271 | $ 0.283 | $ 0.323 | $ 0.370 | $ 0.391 |
Net realized and unrealized gain (loss) | 0.389 | (1.644) | 0.055 | 0.023 (2) | 0.422 | (0.292) |
Total income (loss) from operations | $ 0.549 | $ (1.373) | $ 0.338 | $ 0.346 | $ 0.792 | $ 0.099 |
Less Distributions | ||||||
From net investment income | $ (0.159) | $ (0.277) | $ (0.298) | $ (0.336) | $ (0.372) | $ (0.389) |
Total distributions | $ (0.159) | $ (0.277) | $ (0.298) | $ (0.336) | $ (0.372) | $ (0.389) |
Net asset value — End of period | $ 8.890 | $ 8.500 | $ 10.150 | $ 10.110 | $ 10.100 | $ 9.680 |
Total Return(3) | 6.38% (4) | (13.64)% | 3.36% | 3.48% | 8.34% | 1.02% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $133,875 | $119,467 | $184,002 | $168,113 | $145,788 | $132,313 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses excluding interest and fees | 0.58% (5) | 0.54% | 0.51% | 0.53% | 0.56% | 0.56% |
Interest and fee expense(6) | 0.20% (5) | 0.07% | 0.04% | 0.14% | 0.23% | 0.24% |
Total expenses | 0.78% (5) | 0.61% | 0.55% | 0.67% | 0.79% | 0.80% |
Net investment income | 3.67% (5) | 2.84% | 2.77% | 3.21% | 3.76% | 3.98% |
Portfolio Turnover | 36% (4) | 60% | 32% | 58% | 33% | 18% |
(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 | ||||||
Six Months Ended March 31, 2023 (Unaudited) | Year Ended September 30, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 8.780 | $ 10.310 | $ 10.240 | $ 10.140 | $ 9.650 | $ 9.930 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.169 | $ 0.224 | $ 0.223 | $ 0.265 | $ 0.322 | $ 0.350 |
Net realized and unrealized gain (loss) | 0.447 | (1.507) | 0.082 | 0.119 | 0.491 | (0.277) |
Total income (loss) from operations | $ 0.616 | $ (1.283) | $ 0.305 | $ 0.384 | $ 0.813 | $ 0.073 |
Less Distributions | ||||||
From net investment income | $ (0.166) | $ (0.247) | $ (0.235) | $ (0.284) | $ (0.323) | $ (0.353) |
Total distributions | $ (0.166) | $ (0.247) | $ (0.235) | $ (0.284) | $ (0.323) | $ (0.353) |
Net asset value — End of period | $ 9.230 | $ 8.780 | $ 10.310 | $ 10.240 | $ 10.140 | $ 9.650 |
Total Return(2) | 7.06% (3) | (12.62)% | 2.99% | 3.84% | 8.57% | 0.76% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $1,190,175 | $1,179,909 | $1,558,418 | $1,620,505 | $1,605,407 | $1,419,239 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses excluding interest and fees | 0.69% (4) | 0.64% | 0.61% | 0.64% | 0.68% | 0.69% |
Interest and fee expense(5) | 0.09% (4) | 0.03% | 0.02% | 0.05% | 0.12% | 0.19% |
Total expenses | 0.78% (4) | 0.67% | 0.63% | 0.69% | 0.80% | 0.88% |
Net investment income | 3.73% (4) | 2.30% | 2.15% | 2.61% | 3.26% | 3.58% |
Portfolio Turnover | 56% (3) | 151% | 56% | 105% | 89% | 67% |
(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 | ||||||
Six Months Ended March 31, 2023 (Unaudited) | Year Ended September 30, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 8.780 | $10.310 | $ 10.240 | $ 10.140 | $ 9.650 | $ 9.930 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.135 | $ 0.148 | $ 0.146 | $ 0.190 | $ 0.252 | $ 0.276 |
Net realized and unrealized gain (loss) | 0.447 | (1.504) | 0.081 | 0.119 | 0.488 | (0.276) |
Total income (loss) from operations | $ 0.582 | $ (1.356) | $ 0.227 | $ 0.309 | $ 0.740 | $ — |
Less Distributions | ||||||
From net investment income | $ (0.132) | $ (0.174) | $ (0.157) | $ (0.209) | $ (0.250) | $ (0.280) |
Total distributions | $ (0.132) | $ (0.174) | $ (0.157) | $ (0.209) | $ (0.250) | $ (0.280) |
Net asset value — End of period | $ 9.230 | $ 8.780 | $10.310 | $ 10.240 | $ 10.140 | $ 9.650 |
Total Return(2) | 6.66% (3) | (13.28)% | 2.22% | 3.08% | 7.77% | 0.01% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $52,829 | $55,558 | $ 94,851 | $131,330 | $172,417 | $363,026 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses excluding interest and fees | 1.44% (4) | 1.39% | 1.36% | 1.39% | 1.43% | 1.44% |
Interest and fee expense(5) | 0.09% (4) | 0.03% | 0.02% | 0.05% | 0.12% | 0.19% |
Total expenses | 1.53% (4) | 1.42% | 1.38% | 1.44% | 1.55% | 1.63% |
Net investment income | 2.98% (4) | 1.52% | 1.41% | 1.87% | 2.57% | 2.83% |
Portfolio Turnover | 56% (3) | 151% | 56% | 105% | 89% | 67% |
(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 | ||||||
Six Months Ended March 31, 2023 (Unaudited) | Year Ended September 30, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $ 8.780 | $ 10.310 | $ 10.240 | $ 10.140 | $ 9.650 | $ 9.930 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.180 | $ 0.248 | $ 0.248 | $ 0.289 | $ 0.341 | $ 0.374 |
Net realized and unrealized gain (loss) | 0.447 | (1.507) | 0.082 | 0.120 | 0.495 | (0.277) |
Total income (loss) from operations | $ 0.627 | $ (1.259) | $ 0.330 | $ 0.409 | $ 0.836 | $ 0.097 |
Less Distributions | ||||||
From net investment income | $ (0.177) | $ (0.271) | $ (0.260) | $ (0.309) | $ (0.346) | $ (0.377) |
Total distributions | $ (0.177) | $ (0.271) | $ (0.260) | $ (0.309) | $ (0.346) | $ (0.377) |
Net asset value — End of period | $ 9.230 | $ 8.780 | $ 10.310 | $ 10.240 | $ 10.140 | $ 9.650 |
Total Return(2) | 7.19% (3) | (12.40)% | 3.24% | 4.10% | 8.83% | 1.01% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $2,182,943 | $1,891,224 | $2,347,177 | $1,797,038 | $1,348,563 | $756,446 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses excluding interest and fees | 0.44% (4) | 0.39% | 0.36% | 0.39% | 0.43% | 0.44% |
Interest and fee expense(5) | 0.09% (4) | 0.03% | 0.02% | 0.05% | 0.12% | 0.19% |
Total expenses | 0.53% (4) | 0.42% | 0.38% | 0.44% | 0.55% | 0.63% |
Net investment income | 3.98% (4) | 2.55% | 2.39% | 2.85% | 3.45% | 3.83% |
Portfolio Turnover | 56% (3) | 151% | 56% | 105% | 89% | 67% |
(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 | $15,485,867 | $56,919,552 |
Interest Rate or Range of Interest Rates (%) | 4.00 | 4.00 |
Collateral for Floating Rate Notes Outstanding | $23,635,490 | $78,485,320 |
AMT-Free Fund | National Fund | |
Average Floating Rate Notes Outstanding | $14,749,725 | $93,934,615 |
Average Interest Rate | 3.33% | 3.26% |
AMT-Free Fund | National Fund | |
Deferred capital losses: | ||
Short-term | $24,969,327 | $260,355,105 |
Long-term | $19,631,722 | $103,810,155 |
AMT-Free Fund | National Fund | |
Aggregate cost | $238,428,401 | $3,299,468,024 |
Gross unrealized appreciation | $ 10,532,049 | $ 114,542,865 |
Gross unrealized depreciation | (3,105,484) | (49,142,292) |
Net unrealized appreciation | $ 7,426,565 | $ 65,400,573 |
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 | $524,817 | $5,525,877 |
Effective Annual Rate | 0.43% | 0.34% |
AMT-Free Fund | National Fund | |
EVM's Sub-Transfer Agent Fees | $7,453 | $114,021 |
EVD's Class A Sales Charges | $ 199 | $ 27,849 |
Morgan Stanley affiliated broker-dealers’ Class A Sales Charges | $ — | $ 17,342 |
AMT-Free Fund | National Fund | |
Class A Distribution and Service Fees | $144,797 | $1,473,800 |
AMT-Free Fund | National Fund | |
Class C Distribution Fees | $17,701 | $204,581 |
AMT-Free Fund | National Fund | |
Class C Service Fees | $5,900 | $68,193 |
AMT-Free Fund | National Fund | |
Class A | $ 100 | $11,400 |
Class C | $ — | $ 800 |
AMT-Free Fund | National Fund | |
Purchases | $98,782,534 | $1,949,341,171 |
Sales | $90,394,031 | $1,833,742,900 |
AMT-Free Fund | ||||||
Six Months Ended March 31, 2023 (Unaudited) | Year Ended September 30, 2022 | |||||
Shares | Amount | Shares | Amount | |||
Class A | ||||||
Sales | 1,555,528 | $ 12,336,829 | 1,383,193 | $ 11,828,411 | ||
Issued to shareholders electing to receive payments of distributions in Fund shares | 205,843 | 1,645,979 | 360,010 | 3,096,193 | ||
Redemptions | (2,614,199) | (20,864,293) | (4,119,650) | (35,134,920) | ||
Net decrease | (852,828) | $ (6,881,485) | (2,376,447) | $(20,210,316) | ||
Class C | ||||||
Sales | 112,609 | $ 898,380 | 35,647 | $ 317,123 | ||
Issued to shareholders electing to receive payments of distributions in Fund shares | 7,516 | 59,734 | 15,751 | 134,955 | ||
Redemptions | (233,222) | (1,862,579) | (393,912) | (3,344,737) | ||
Net decrease | (113,097) | $ (904,465) | (342,514) | $ (2,892,659) |
AMT-Free Fund (continued) | ||||||
Six Months Ended March 31, 2023 (Unaudited) | Year Ended September 30, 2022 | |||||
Shares | Amount | Shares | Amount | |||
Class I | ||||||
Sales | 6,530,602 | $ 57,236,007 | 5,504,437 | $ 51,653,218 | ||
Issued to shareholders electing to receive payments of distributions in Fund shares | 227,385 | 1,987,053 | 410,806 | 3,874,689 | ||
Redemptions | (5,749,969) | (50,145,417) | (10,004,257) | (93,270,999) | ||
Net increase (decrease) | 1,008,018 | $ 9,077,643 | (4,089,014) | $(37,743,092) |
National Fund | ||||||
Six Months Ended March 31, 2023 (Unaudited) | Year Ended September 30, 2022 | |||||
Shares | Amount | Shares | Amount | |||
Class A | ||||||
Sales | 8,656,198 | $ 78,675,237 | 10,084,810 | $ 96,476,496 | ||
Issued to shareholders electing to receive payments of distributions in Fund shares | 2,017,440 | 18,303,715 | 3,099,907 | 29,725,930 | ||
Redemptions | (16,106,591) | (145,647,935) | (29,993,424) | (288,815,393) | ||
Net decrease | (5,432,953) | $ (48,668,983) | (16,808,707) | $ (162,612,967) | ||
Class C | ||||||
Sales | 727,524 | $ 6,602,738 | 590,143 | $ 5,726,338 | ||
Issued to shareholders electing to receive payments of distributions in Fund shares | 79,260 | 718,947 | 124,890 | 1,197,694 | ||
Redemptions | (1,410,465) | (12,790,757) | (3,588,913) | (34,592,881) | ||
Net decrease | (603,681) | $ (5,469,072) | (2,873,880) | $ (27,668,849) | ||
Class I | ||||||
Sales | 112,877,257 | $ 1,021,335,164 | 138,884,926 | $ 1,320,089,504 | ||
Issued to shareholders electing to receive payments of distributions in Fund shares | 3,373,030 | 30,630,749 | 4,908,694 | 47,139,306 | ||
Redemptions | (95,139,757) | (857,679,909) | (156,108,342) | (1,486,157,857) | ||
Net increase (decrease) | 21,110,530 | $ 194,286,004 | (12,314,722) | $ (118,929,047) |
National Fund | |
Liability Derivative | |
Futures contracts | $ (5,500,126)(1) |
Total | $(5,500,126) |
(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 | $ 12,097,055(1) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | $(15,587,695) (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 | $119,986,000 |
• | 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 | $ — | $ 975,809 | $ — | $ 975,809 |
Tax-Exempt Municipal Obligations | — | 260,365,024 | — | 260,365,024 |
Total Investments | $ — | $ 261,340,833 | $ — | $ 261,340,833 |
National Fund | ||||
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Corporate Bonds | $ — | $ 32,636,590 | $ — | $ 32,636,590 |
Tax-Exempt Municipal Obligations | — | 3,213,099,436 | — | 3,213,099,436 |
Taxable Municipal Obligations | — | 181,552,249 | — | 181,552,249 |
Total Investments | $ — | $ 3,427,288,275 | $ — | $ 3,427,288,275 |
Liability Description | ||||
Futures Contracts | $ (5,500,126) | $ — | $ — | $ (5,500,126) |
Total | $ (5,500,126) | $ — | $ — | $ (5,500,126) |
Officers | |
Eric A. Stein President | Nicholas S. Di Lorenzo 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 |
Anchal Pachnanda*(1) | |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
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
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(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) | ||
(a)(2)(ii) | ||
(b) |
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 22, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: | May 22, 2023 | |
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | May 22, 2023 |